Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) January 31, 2022
Investments | Shares | Value ($) | ||||||
LONG POSITIONS - 93.5% | ||||||||
COMMON STOCKS - 48.5% | ||||||||
Aerospace & Defense - 0.2% | ||||||||
PAE, Inc.* | 11,700 | 117,117 | ||||||
Air Freight & Logistics - 0.4% | ||||||||
GXO Logistics, Inc.* | 3,217 | 261,253 | ||||||
Airlines - 0.0%(a) | ||||||||
American Airlines Group, Inc.* | 768 | 12,649 | ||||||
Auto Components - 0.5% | ||||||||
Garrett Motion, Inc. (Switzerland)* | 700 | 4,900 | ||||||
Veoneer, Inc. (Sweden)* | 9,600 | 338,016 | ||||||
342,916 | ||||||||
Automobiles - 0.7% | ||||||||
General Motors Co.* | 10,391 | 547,917 | ||||||
Banks - 0.8% | ||||||||
Bank of America Corp. | 8,133 | 375,257 | ||||||
People's United Financial, Inc. | 9,200 | 178,296 | ||||||
Spirit of Texas Bancshares, Inc. | 600 | 16,704 | ||||||
TriState Capital Holdings, Inc.* | 1,400 | 44,226 | ||||||
614,483 | ||||||||
Beverages - 0.2% | ||||||||
Constellation Brands, Inc., Class A | 599 | 142,412 | ||||||
Biotechnology - 1.1% | ||||||||
Arena Pharmaceuticals, Inc.* | 4,300 | 395,514 | ||||||
Grifols SA, ADR (Spain) | 3,800 | 44,612 | ||||||
Regeneron Pharmaceuticals, Inc.* | 658 | 400,452 | ||||||
840,578 | ||||||||
Capital Markets - 1.7% | ||||||||
BlackRock, Inc. | 281 | 231,246 | ||||||
Dune Acquisition Corp., Class A* | 1,800 | 17,802 | ||||||
Morgan Stanley | 5,152 | 528,286 | ||||||
Pegasus Acquisition Co. Europe BV, Class A (Netherlands)* | 12,042 | 129,874 | ||||||
Pershing Square Tontine Holdings Ltd., Class A* | 6,100 | 121,085 | ||||||
Sanne Group plc (Jersey) | 10,400 | 127,981 | ||||||
Social Capital Hedosophia Holdings Corp. VI, Class A* | 10,100 | 99,687 | ||||||
1,255,961 | ||||||||
Chemicals - 1.3% | ||||||||
Atotech Ltd. (China)* | 6,700 | 163,681 | ||||||
Ferro Corp.* | 16,400 | 357,520 | ||||||
GCP Applied Technologies, Inc.* | 800 | 25,520 | ||||||
Hexion Holdings Corp., Class B* | 9,000 | 256,500 | ||||||
Kraton Corp.* | 2,600 | 120,588 | ||||||
923,809 | ||||||||
Commercial Services & Supplies - 0.1% | ||||||||
RR Donnelley & Sons Co.* | 4,100 | 45,182 | ||||||
Communications Equipment - 0.8% | ||||||||
Cisco Systems, Inc. | 7,081 | 394,200 | ||||||
Comtech Telecommunications Corp. | 2,800 | 56,924 | ||||||
Motorola Solutions, Inc. | 729 | 169,084 | ||||||
620,208 | ||||||||
Construction & Engineering - 0.5% | ||||||||
Quanta Services, Inc. | 3,420 | 351,302 | ||||||
Construction Materials - 0.1% | ||||||||
Forterra, Inc.* | 3,750 | 88,012 | ||||||
Diversified Consumer Services - 0.1% | ||||||||
Terminix Global Holdings, Inc.* | 1,800 | 77,652 | ||||||
Diversified Financial Services - 1.2% | ||||||||
4L Holdings Corp.*(b) | 3,790 | 190 | ||||||
Apollo Global Management, Inc. | 6,398 | 447,860 | ||||||
Equitable Holdings, Inc. | 11,983 | 403,108 | ||||||
851,158 | ||||||||
Diversified Telecommunication Services - 0.1% | ||||||||
Telesat Corp. (Canada)* | 2,585 | 58,550 | ||||||
Electric Utilities - 0.8% | ||||||||
PNM Resources, Inc. | 12,900 | 578,049 | ||||||
Electronic Equipment, Instruments & Components - 1.2% | ||||||||
Coherent, Inc.* | 1,600 | 413,568 | ||||||
Rogers Corp.* | 1,600 | 436,720 | ||||||
850,288 | ||||||||
Energy Equipment & Services - 0.0%(a) | ||||||||
FTS International, Inc., Class A* | 400 | 10,540 | ||||||
Entertainment - 0.5% | ||||||||
Activision Blizzard, Inc. | 1,800 | 142,218 | ||||||
Sciplay Corp., Class A* | 4,400 | 55,000 | ||||||
Zynga, Inc., Class A* | 20,100 | 182,307 | ||||||
379,525 | ||||||||
Equity Real Estate Investment Trusts (REITs) - 0.8% | ||||||||
Bluerock Residential Growth REIT, Inc. | 1,400 | 37,170 | ||||||
CyrusOne, Inc. | 6,000 | 539,100 | ||||||
576,270 | ||||||||
Food & Staples Retailing - 0.3% | ||||||||
Cia Brasileira de Distribuicao, ADR (Brazil) | 1,664 | 7,072 | ||||||
Magnit PJSC, GDR (Russia)(c) | 1,638 | 21,575 | ||||||
Sendas Distribuidora SA, ADR (Brazil) | 1,664 | 19,885 | ||||||
Wal-Mart de Mexico SAB de CV (Mexico) | 20,047 | 68,164 | ||||||
X5 Retail Group NV, GDR (Russia)(c) | 4,390 | 99,259 | ||||||
215,955 | ||||||||
Food Products - 1.4% | ||||||||
Nestle SA (Registered) (Switzerland) | 5,525 | 713,490 | ||||||
Pilgrim's Pride Corp.* | 500 | 13,985 | ||||||
Sanderson Farms, Inc. | 1,500 | 276,000 | ||||||
1,003,475 | ||||||||
Gas Utilities - 0.1% | ||||||||
Macquarie Infrastructure Holdings LLC | 26,400 | 95,304 | ||||||
Health Care Equipment & Supplies - 0.2% | ||||||||
Intersect ENT, Inc.* | 3,900 | 106,860 | ||||||
Ortho Clinical Diagnostics Holdings plc* | 2,000 | 34,720 | ||||||
141,580 | ||||||||
Health Care Providers & Services - 0.5% | ||||||||
Anthem, Inc. | 643 | 283,557 |
See Notes to Consolidated Schedule of Investments
1
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Investments | Shares | Value ($) | ||||||
Apria, Inc.* | 900 | 33,669 | ||||||
Shanghai Pharmaceuticals Holding Co. Ltd., Class H (China) | 13,084 | 25,546 | ||||||
Sinopharm Group Co. Ltd., Class H (China) | 7,345 | 16,429 | ||||||
Triple-S Management Corp. (Puerto Rico)* | 700 | 25,193 | ||||||
384,394 | ||||||||
Health Care Technology - 1.5% | ||||||||
Castlight Health, Inc., Class B* | 4,000 | 8,160 | ||||||
Cerner Corp. | 4,900 | 446,880 | ||||||
Change Healthcare, Inc.* | 17,900 | 352,272 | ||||||
Vocera Communications, Inc.* | 3,500 | 276,535 | ||||||
1,083,847 | ||||||||
Hotels, Restaurants & Leisure - 1.5% | ||||||||
Booking Holdings, Inc.* | 192 | 471,577 | ||||||
Del Taco Restaurants, Inc. | 11,500 | 143,405 | ||||||
Expedia Group, Inc.* | 2,444 | 447,961 | ||||||
Playtech plc (United Kingdom)* | 8,600 | 67,546 | ||||||
1,130,489 | ||||||||
Household Durables - 0.3% | ||||||||
Lennar Corp., Class A | 2,483 | 238,641 | ||||||
Industrial Conglomerates - 0.1% | ||||||||
Smiths Group plc (United Kingdom) | 1,961 | 41,333 | ||||||
Insurance - 1.7% | ||||||||
AIA Group Ltd. (Hong Kong) | 31,852 | 332,529 | ||||||
American National Group, Inc. | 115 | 21,711 | ||||||
Chubb Ltd. | 1,486 | 293,158 | ||||||
Independence Holding Co. | 600 | 34,170 | ||||||
Lincoln National Corp. | 5,431 | 380,061 | ||||||
State Auto Financial Corp. | 2,000 | 103,400 | ||||||
Syncora Holdings Ltd.* | 15,303 | 2,908 | ||||||
Willis Towers Watson plc | 200 | 46,792 | ||||||
1,214,729 | ||||||||
Interactive Media & Services - 3.1% | ||||||||
Actua Corp.*(b)(d) | 6,700 | 67 | ||||||
Alphabet, Inc., Class A* | 331 | 895,709 | ||||||
Baidu, Inc., ADR (China)* | 324 | 51,756 | ||||||
Baidu, Inc., Class A (China)* | 310 | 6,141 | ||||||
Meta Platforms, Inc., Class A* | 2,554 | 800,066 | ||||||
Sohu.com Ltd., ADR (China)* | 500 | 9,100 | ||||||
Tencent Holdings Ltd. (China) | 6,798 | 425,978 | ||||||
VK Co. Ltd., GDR (Russia)*(c) | 1,305 | 10,531 | ||||||
Yandex NV, Class A (Russia)* | 1,428 | 68,630 | ||||||
2,267,978 | ||||||||
Internet & Direct Marketing Retail - 3.3% | ||||||||
Alibaba Group Holding Ltd., ADR (China)* | 3,518 | 442,529 | ||||||
Alibaba Group Holding Ltd. (China)* | 7,750 | 121,470 | ||||||
Altaba, Inc. Escrow*(b) | 59,006 | 351,086 | ||||||
Amazon.com, Inc.* | 194 | 580,345 | ||||||
ASOS plc (United Kingdom)* | 468 | 14,042 | ||||||
Deliveroo plc (United Kingdom)*(c) | 11,689 | 24,558 | ||||||
eBay, Inc. | 2,232 | 134,076 | ||||||
JD.com, Inc., Class A (China)* | 323 | 12,242 | ||||||
MercadoLibre, Inc. (Argentina)* | 246 | 278,487 | ||||||
Overstock.com, Inc.* | 8,806 | 422,160 | ||||||
2,380,995 | ||||||||
IT Services - 2.2% | ||||||||
Fidelity National Information Services, Inc. | 2,695 | 323,184 | ||||||
GreenSky, Inc., Class A* | 17,100 | 180,405 | ||||||
PayPal Holdings, Inc.* | 2,232 | 383,770 | ||||||
Repay Holdings Corp.* | 12,469 | 223,070 | ||||||
Visa, Inc., Class A | 2,127 | 481,064 | ||||||
1,591,493 | ||||||||
Life Sciences Tools & Services - 0.8% | ||||||||
Eurofins Scientific SE (Luxembourg) | 2,727 | 273,798 | ||||||
Gerresheimer AG (Germany) | 350 | 31,409 | ||||||
Thermo Fisher Scientific, Inc. | 442 | 256,935 | ||||||
562,142 | ||||||||
Machinery - 0.8% | ||||||||
Oshkosh Corp. | 2,433 | 276,900 | ||||||
SPX FLOW, Inc. | 1,300 | 112,060 | ||||||
Welbilt, Inc.* | 8,400 | 199,500 | ||||||
588,460 | ||||||||
Media - 0.9% | ||||||||
Deluxe Television GmbH (Germany)*(b) | 16,063 | 1,606 | ||||||
Shaw Communications, Inc., Class B (Canada) | 14,700 | 438,173 | ||||||
Stroeer SE & Co. KGaA (Germany) | 2,647 | 198,197 | ||||||
Tribune Co. Litigation, Class 1C*(b)(d) | 302,443 | — | ||||||
637,976 | ||||||||
Metals & Mining - 1.0% | ||||||||
ArcelorMittal SA (Luxembourg) | 1,928 | 57,269 | ||||||
Artemis Gold, Inc. (Canada)* | 605 | 3,094 | ||||||
Golden Star Resources Ltd.* | 19,900 | 77,809 | ||||||
Great Bear Resources Ltd. (Canada)* | 4,800 | 106,977 | ||||||
Kirkland Lake Gold Ltd. (Canada) | 7,500 | 282,525 | ||||||
Neo Lithium Corp. (Canada)* | 24,600 | 125,695 | ||||||
Neo Lithium Corp. (Canada)* | 7,500 | 38,253 | ||||||
Vale SA, ADR (Brazil) | 3,708 | 56,287 | ||||||
747,909 | ||||||||
Multiline Retail - 0.0%(a) | ||||||||
Fix Price Group Ltd., GDR (Russia)(c) | 144 | 822 | ||||||
Oil, Gas & Consumable Fuels - 0.2% | ||||||||
Falcon Minerals Corp. | 3,400 | 17,578 | ||||||
LUKOIL PJSC, ADR (Russia) | 661 | 59,193 | ||||||
Petroleo Brasileiro SA, ADR (Brazil) | 4,209 | 56,190 | ||||||
Southcross Energy Partners LP*(b) | 49,093 | 2,455 | ||||||
135,416 | ||||||||
Paper & Forest Products - 0.1% | ||||||||
Verso Corp., Class A | 1,800 | 48,384 | ||||||
Personal Products - 1.0% | ||||||||
Estee Lauder Cos., Inc. (The), Class A | 886 | 276,246 | ||||||
Unilever plc (United Kingdom) | 8,368 | 427,414 | ||||||
703,660 | ||||||||
Pharmaceuticals - 1.8% | ||||||||
Aralez Pharmaceuticals, Inc. (Canada)*(b) | 345 | — |
See Notes to Consolidated Schedule of Investments
2
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Investments | Shares | Value ($) | ||||||
Dr Reddy's Laboratories Ltd., ADR (India) | 1,322 | 76,015 | ||||||
Hikma Pharmaceuticals plc (Jordan) | 3,332 | 93,606 | ||||||
Johnson & Johnson | 244 | 42,039 | ||||||
Roche Holding AG (Switzerland) | 1,819 | 703,952 | ||||||
Teva Pharmaceutical Industries Ltd., ADR (Israel)* | 722 | 6,086 | ||||||
Vifor Pharma AG (Switzerland) | 1,700 | 301,150 | ||||||
Zogenix, Inc.* | 4,700 | 122,247 | ||||||
1,345,095 | ||||||||
Professional Services - 1.9% | ||||||||
51job, Inc., ADR (China)* | 500 | 25,200 | ||||||
IHS Markit Ltd. | 6,850 | 800,012 | ||||||
Intertrust NV (Netherlands)*(c) | 16,403 | 356,576 | ||||||
SGS SA (Registered) (Switzerland) | 63 | 179,649 | ||||||
1,361,437 | ||||||||
Real Estate Management & Development - 0.2% | ||||||||
Zillow Group, Inc., Class C* | 3,145 | 158,760 | ||||||
Road & Rail - 0.1% | ||||||||
HyreCar, Inc.* | 20,640 | 70,176 | ||||||
Semiconductors & Semiconductor Equipment - 2.8% | ||||||||
ASML Holding NV (Netherlands) | 46 | 31,156 | ||||||
CMC Materials, Inc. | 1,100 | 198,968 | ||||||
Magnachip Semiconductor Corp. (South Korea)* | 5,900 | 104,961 | ||||||
NeoPhotonics Corp.* | 5,300 | 81,408 | ||||||
NVIDIA Corp. | 725 | 177,523 | ||||||
QUALCOMM, Inc. | 2,503 | 439,927 | ||||||
SunEdison, Inc.*(b)(d) | 16,689 | — | ||||||
Xilinx, Inc. | 5,400 | 1,045,170 | ||||||
2,079,113 | ||||||||
Software - 3.4% | ||||||||
Aspen Technology, Inc.* | 200 | 30,032 | ||||||
Bottomline Technologies DE, Inc.* | 3,000 | 169,170 | ||||||
Citrix Systems, Inc. | 100 | 10,194 | ||||||
McAfee Corp., Class A | 5,100 | 130,815 | ||||||
Microsoft Corp. | 1,240 | 385,615 | ||||||
Mimecast Ltd.* | 3,300 | 263,043 | ||||||
Nuance Communications, Inc.* | 16,750 | 925,437 | ||||||
Rekor Systems, Inc.* | 8,618 | 40,074 | ||||||
SAP SE (Germany) | 2,224 | 279,026 | ||||||
Vonage Holdings Corp.* | 13,100 | 273,004 | ||||||
2,506,410 | ||||||||
Specialty Retail - 0.8% | ||||||||
Frasers Group plc (United Kingdom)* | 9,144 | 90,831 | ||||||
Sportsman's Warehouse Holdings, Inc.* | 15,600 | 170,976 | ||||||
Toys R Us, Inc.*(b) | 1,040 | 5,200 | ||||||
Ulta Beauty, Inc.* | 875 | 318,273 | ||||||
585,280 | ||||||||
Technology Hardware, Storage & Peripherals - 2.0% | ||||||||
Apple, Inc. | 7,046 | 1,231,500 | ||||||
Samsung Electronics Co. Ltd., GDR (South Korea)(c) | 157 | 244,802 | ||||||
1,476,302 | ||||||||
Textiles, Apparel & Luxury Goods - 0.9% | ||||||||
adidas AG (Germany) | 1,414 | 388,026 | ||||||
Capri Holdings Ltd.* | 1,943 | 116,716 | ||||||
Tapestry, Inc. | 3,195 | 121,250 | ||||||
625,992 | ||||||||
Thrifts & Mortgage Finance - 0.0%(a) | ||||||||
Flagstar Bancorp, Inc. | 600 | 27,150 | ||||||
Trading Companies & Distributors - 0.2% | ||||||||
Brenntag SE (Germany) | 1,347 | 115,406 | ||||||
IMCD NV (Netherlands) | 234 | 40,253 | ||||||
155,659 | ||||||||
Wireless Telecommunication Services - 0.3% | ||||||||
T-Mobile US, Inc.* | 2,404 | 260,041 | ||||||
TOTAL COMMON STOCKS (Cost $33,484,301) | 35,412,228 |
Investments | No. of Rights | Value ($) | ||||||
RIGHTS - 0.4% | ||||||||
Biotechnology - 0.3% | ||||||||
Achillion Pharmaceuticals, Inc., CVR*(b) | 23,300 | 11,650 | ||||||
Adamas Pharmaceuticals, Inc., CVR*(b)(d) | 24,600 | 1,230 | ||||||
Alder Biopharmaceuticals, Inc., CVR*(b) | 35,400 | 70,800 | ||||||
Ambit Biosciences Corp., CVR*(b)(d) | 70,000 | 118,300 | ||||||
Clementia Pharmaceuticals, Inc., CVR (France)*(b)(d) | 3,200 | — | ||||||
Tobira Therapeutics, Inc., CVR*(b)(d) | 6,900 | — | ||||||
201,980 | ||||||||
IT Services - 0.0%(a) | ||||||||
Flexion Therapeutics, Inc., CVR*(b)(d) | 18,500 | 12,580 | ||||||
Media - 0.0% | ||||||||
Media General, Inc., CVR*(b)(d) | 76,116 | — | ||||||
Metals & Mining - 0.1% | ||||||||
Pan American Silver Corp., CVR (Canada)* | 39,600 | 28,116 | ||||||
Pharmaceuticals - 0.0%(a) | ||||||||
Dova Pharmaceuticals, Inc., CVR (Sweden)*(b) | 8,800 | 1,100 | ||||||
TOTAL RIGHTS (Cost $52,846) | 243,776 |
Investments | No. of Warrants | Value ($) | ||||||
WARRANTS - 0.3% | ||||||||
Capital Markets - 0.0%(a) | ||||||||
FinTech Acquisition Corp. III, expiring 12/1/2023*(b)(d) | 1,770 | 6 | ||||||
Pegasus Acquisition Co. Europe BV, expiring 4/27/2026 (Netherlands)*(b) | 4,014 | 1,804 | ||||||
1,810 |
See Notes to Consolidated Schedule of Investments
3
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Investments | No. of Warrants | Value ($) | ||||||
Leisure Products - 0.0%(a) | ||||||||
Tonies SE, expiring 4/30/2026 (Germany)* | 4,329 | 6,323 | ||||||
Oil, Gas & Consumable Fuels - 0.3% | ||||||||
Southcross Energy Partners LP, expiring 12/31/2029*(b) | 303,095 | 197,012 | ||||||
TOTAL WARRANTS (Cost $151,500) | 205,145 |
Investments | Principal Amount ($) | Value ($) | ||||||
CONVERTIBLE PREFERRED STOCKS - 0.1% | ||||||||
Auto Components - 0.1% | ||||||||
Garrett Motion, Inc. (Switzerland), | ||||||||
Series A, 11.00%, 4/30/2027 (e) (Cost $38,031) | 7,244 | 56,431 |
Investments | Principal Amount ($) | Value ($) | ||||||
LOAN ASSIGNMENTS - 0.0%(a) | ||||||||
Media - 0.0%(a) | ||||||||
Deluxe Entertainment Services Group, Inc., 1st Lien Term Loan, | ||||||||
(ICE LIBOR USD 3 Month + 5.00%), 6.00%, 3/25/2024(b)(d)(f) | 15,879 | 6,314 | ||||||
Deluxe Entertainment Services Group, Inc., 2nd Lien Term Loan, | ||||||||
(ICE LIBOR USD 3 Month + 6.00%), 0.00%, 9/25/2024(b)(f) | 146,896 | — | ||||||
TOTAL LOAN ASSIGNMENTS (Cost $11,309) | 6,314 |
Investments | Principal Amount ($) | Value ($) | ||||||
CORPORATE BONDS - 0.0% | ||||||||
Independent Power and Renewable Electricity Producers - 0.0% | ||||||||
GenOn Energy, Inc. Escrow, | ||||||||
9.50%, 10/15/2018 (b)(d)(g) | 354,000 | — | ||||||
9.88%, 10/15/2020 (b)(d)(g) | 1,655,000 | — | ||||||
TOTAL CORPORATE BONDS (Cost $—) | — |
Investments | Shares | Value ($) | ||||||
SHORT-TERM INVESTMENTS - 44.2% | ||||||||
INVESTMENT COMPANIES - 44.2% | ||||||||
Morgan Stanley Institutional Liquidity Funds Treasury Portfolio, Institutional Class, 0.01%(h)(i) (Cost $32,283,887) | 32,283,887 | 32,283,887 | ||||||
TOTAL LONG POSITIONS (Cost $66,021,874) | 68,207,781 |
Investments | Shares | Value ($) | ||||||
SHORT POSITIONS - (13.4)%(j) | ||||||||
COMMON STOCKS - (13.4)% | ||||||||
Banks - (0.9)% | ||||||||
M&T Bank Corp. | (1,130 | ) | (191,399 | ) | ||||
National Bank of Canada (Canada) | (2,723 | ) | (217,857 | ) | ||||
Royal Bank of Canada (Canada) | (1,991 | ) | (227,004 | ) | ||||
Simmons First National Corp., Class A | (600 | ) | (17,160 | ) | ||||
(653,420 | ) | |||||||
Building Products - (0.1)% | ||||||||
Trex Co., Inc.* | (1,181 | ) | (108,026 | ) | ||||
Capital Markets - (2.0)% | ||||||||
Evercore, Inc., Class A | (1,724 | ) | (215,190 | ) | ||||
Goldman Sachs Group, Inc. (The) | (500 | ) | (177,340 | ) | ||||
Moelis & Co., Class A | (3,817 | ) | (215,546 | ) | ||||
Raymond James Financial, Inc. | (350 | ) | (37,054 | ) | ||||
S&P Global, Inc. | (1,939 | ) | (805,112 | ) | ||||
(1,450,242 | ) | |||||||
Chemicals - (0.4)% | ||||||||
International Flavors & Fragrances, Inc. | (2,356 | ) | (310,804 | ) | ||||
Consumer Finance - (0.3)% | ||||||||
Credit Acceptance Corp.* | (402 | ) | (216,903 | ) | ||||
Diversified Consumer Services - (1.6)% | ||||||||
Adtalem Global Education, Inc.* | (9,661 | ) | (284,226 | ) | ||||
Grand Canyon Education, Inc.* | (1,429 | ) | (119,579 | ) | ||||
Perdoceo Education Corp.* | (32,737 | ) | (360,762 | ) | ||||
Strategic Education, Inc. | (6,582 | ) | (392,682 | ) | ||||
(1,157,249 | ) | |||||||
Electronic Equipment, Instruments & Components - (0.1)% | ||||||||
II-VI, Inc.* | (1,192 | ) | (75,573 | ) | ||||
Entertainment - (0.1)% | ||||||||
Take-Two Interactive Software, Inc.* | (227 | ) | (37,078 | ) | ||||
Equity Real Estate Investment Trusts (REITs) - (1.7)% | ||||||||
Digital Realty Trust, Inc. | (2,517 | ) | (375,612 | ) | ||||
Equinix, Inc. | (514 | ) | (372,599 | ) | ||||
SL Green Realty Corp. | (4,305 | ) | (312,217 | ) | ||||
Vornado Realty Trust | (4,605 | ) | (188,851 | ) | ||||
(1,249,279 | ) | |||||||
Food Products - (1.1)% | ||||||||
Campbell Soup Co. | (6,520 | ) | (287,662 | ) | ||||
J M Smucker Co. (The) | (1,693 | ) | (238,002 | ) | ||||
Kellogg Co. | (4,437 | ) | (279,531 | ) | ||||
(805,195 | ) | |||||||
Household Products - (0.8)% | ||||||||
Church & Dwight Co., Inc. | (2,426 | ) | (249,029 | ) | ||||
Clorox Co. (The) | (2,036 | ) | (341,763 | ) | ||||
(590,792 | ) | |||||||
Industrial Conglomerates - (0.4)% | ||||||||
3M Co. | (1,648 | ) | (273,601 | ) | ||||
Insurance - (0.2)% | ||||||||
Trupanion, Inc.* | (1,428 | ) | (136,017 | ) | ||||
IT Services - (0.3)% | ||||||||
Western Union Co. (The) | (10,313 | ) | (195,019 | ) | ||||
Media - (0.5)% | ||||||||
Fox Corp., Class A | (5,137 | ) | (208,614 | ) |
See Notes to Consolidated Schedule of Investments
4
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Investments | Shares | Value ($) | ||||||
Omnicom Group, Inc. | (2,418 | ) | (182,220 | ) | ||||
(390,834 | ) | |||||||
Metals & Mining - (0.4)% | ||||||||
Agnico Eagle Mines Ltd. (Canada) | (5,950 | ) | (284,291 | ) | ||||
Kinross Gold Corp. (Canada) | (4,626 | ) | (25,001 | ) | ||||
(309,292 | ) | |||||||
Real Estate Management & Development - (0.3)% | ||||||||
eXp World Holdings, Inc. | (7,909 | ) | (214,650 | ) | ||||
Semiconductors & Semiconductor Equipment - (1.5)% | ||||||||
Advanced Micro Devices, Inc.* | (8,314 | ) | (949,875 | ) | ||||
Entegris, Inc. | (455 | ) | (54,527 | ) | ||||
MKS Instruments, Inc. | (369 | ) | (57,317 | ) | ||||
(1,061,719 | ) | |||||||
Software - (0.7)% | ||||||||
Fair Isaac Corp.* | (985 | ) | (487,565 | ) | ||||
NortonLifeLock, Inc. | (121 | ) | (3,147 | ) | ||||
(490,712 | ) | |||||||
Thrifts & Mortgage Finance - (0.0)%(a) | ||||||||
New York Community Bancorp, Inc. | (2,410 | ) | (28,101 | ) | ||||
TOTAL COMMON STOCKS (Proceeds $(9,748,227)) | (9,754,506 | ) | ||||||
TOTAL SHORT POSITIONS (Proceeds $(9,748,227)) | (9,754,506 | ) | ||||||
Total Investments - 80.1% (Cost $56,273,647) | 58,453,275 | |||||||
Other Assets Less Liabilities - 19.9%(k) | 14,532,312 | |||||||
Net Assets - 100.0% | 72,985,587 |
All bonds are denominated in US dollars, unless noted otherwise.
* | Non-income producing security. |
(a) | Represents less than 0.05% of net assets of the Fund. |
(b) | Value determined using significant unobservable inputs. |
(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. At January 31, 2022, the total value of these securities amounted to $758,123, which represents 1.0% of net assets of the Fund. |
(d) | Security fair valued as of January 31, 2022, in accordance with procedures approved by the Board of Trustees. Total value of all such securities at January 31, 2022, amounted to $138,497, which represents 0.2% of net assets of the Fund. |
(e) | Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer. |
(f) | Variable or floating rate security. The interest rate shown was the current rate as of January 31, 2022, and changes periodically. |
(g) | Defaulted security. |
(h) | Represents 7-day effective yield as of January 31, 2022. |
(i) | All or a portion of this security is segregated in connection with obligations for futures, swaps, and/or forward foreign currency contracts with a total value of $29,221,099. |
(j) | At January 31, 2022, the Fund had $9,832,040 deposited in one or more accounts to satisfy collateral requirements for borrowing in connection with securities sold short. |
(k) | Includes the impact of the Fund’s open positions in derivatives at January 31, 2022. |
Abbreviations | |
ADR | American Depositary Receipt |
CVR | Contingent Value Rights |
GDR | Global Depositary Receipt |
ICE | Intercontinental Exchange |
LIBOR | London Interbank Offered Rate |
PJSC | Public Joint Stock Company |
SA | Société Anonyme |
USD | United States Dollar |
See Notes to Consolidated Schedule of Investments
5
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
LONG POSITIONS BY COUNTRY | ||||||||
Country | Investments at Value | Percentage of Net Assets | ||||||
United States | $ | 26,865,424 | 36.8 | % | ||||
Switzerland | 1,959,572 | 2.7 | % | |||||
China | 1,300,072 | 1.8 | % | |||||
Canada | 1,081,383 | 1.5 | % | |||||
Germany | 1,019,993 | 1.4 | % | |||||
United Kingdom | 665,724 | 0.9 | % | |||||
Netherlands | 559,663 | 0.8 | % | |||||
South Korea | 349,763 | 0.5 | % | |||||
Sweden | 339,116 | 0.5 | % | |||||
Hong Kong | 332,529 | 0.5 | % | |||||
Luxembourg | 331,067 | 0.4 | % | |||||
Argentina | 278,487 | 0.4 | % | |||||
Russia | 260,010 | 0.4 | % | |||||
Brazil | 139,434 | 0.2 | % | |||||
Jersey | 127,981 | 0.2 | % | |||||
Jordan | 93,606 | 0.1 | % | |||||
India | 76,015 | 0.1 | % | |||||
Mexico | 68,164 | 0.1 | % | |||||
Spain | 44,612 | 0.0 | %(a) | |||||
Puerto Rico | 25,193 | 0.0 | %(a) | |||||
Israel | 6,086 | 0.0 | %(a) | |||||
Short-Term Investments and Other Assets-Net | 46,816,199 | 64.1 | % | |||||
Short Positions (See summary below) | (9,754,506 | ) | (13.4 | )% | ||||
$ | 72,985,587 | 100.0 | % |
SHORT POSITIONS BY COUNTRY | ||||||||
Country | Investments at Value | Percentage of Net Assets | ||||||
United States | $ | (9,000,353 | ) | (12.4 | )% | |||
Canada | (754,153 | ) | (1.0 | )% | ||||
Total Short Positions | $ | (9,754,506 | ) | (13.4 | )% |
(a) Represents less than 0.05% of net assets of the Fund.
See Notes to Consolidated Schedule of Investments
6
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
Derivative Instruments
Futures contracts ("futures")
At January 31, 2022, open positions in futures for the Fund were as follows:
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | |||||||||||
Long Contracts | |||||||||||||||
Brent Crude Oil | 7 | 2/2022 | $ | 624,820 | $ | 12,211 | |||||||||
CAC 40 10 Euro Index | 1 | 2/2022 | 78,602 | 1,506 | |||||||||||
Low Sulphur Gasoil | 5 | 2/2022 | 398,125 | 38,219 | |||||||||||
Natural Gas | 1 | 2/2022 | 48,740 | 1,218 | |||||||||||
NY Harbor ULSD | 5 | 2/2022 | 570,297 | 22,485 | |||||||||||
RBOB Gasoline | 5 | 2/2022 | 536,424 | 19,722 | |||||||||||
SGX FTSE Taiwan Index | 2 | 2/2022 | 122,340 | 3,048 | |||||||||||
WTI Crude Oil | 6 | 2/2022 | 528,900 | 37,658 | |||||||||||
Brent Crude Oil | 4 | 3/2022 | 351,400 | 3,075 | |||||||||||
Canola | 12 | 3/2022 | 191,298 | 4,068 | |||||||||||
Coffee 'C' | 4 | 3/2022 | 352,650 | 2,689 | |||||||||||
Corn | 24 | 3/2022 | 751,200 | 30,290 | |||||||||||
Cotton No. 2 | 9 | 3/2022 | 574,065 | 52,096 | |||||||||||
Euro-Schatz | 12 | 3/2022 | 1,508,232 | (2,969 | ) | ||||||||||
FCOJ-A | 1 | 3/2022 | 22,147 | 1,550 | |||||||||||
Foreign Exchange USD/NOK | 4 | 3/2022 | 399,948 | (3,020 | ) | ||||||||||
Foreign Exchange USD/SEK | 7 | 3/2022 | 698,773 | 10,475 | |||||||||||
FTSE 100 Index | 2 | 3/2022 | 198,951 | 274 | |||||||||||
FTSE/JSE Top 40 Index | 2 | 3/2022 | 87,817 | (86 | ) | ||||||||||
KC HRW Wheat | 3 | 3/2022 | 117,188 | (5,145 | ) | ||||||||||
Milling Wheat No. 2 | 3 | 3/2022 | 44,826 | (2,188 | ) | ||||||||||
Robusta Coffee | 5 | 3/2022 | 108,750 | (4,731 | ) | ||||||||||
Soybean | 8 | 3/2022 | 596,200 | 48,255 | |||||||||||
Soybean Meal | 5 | 3/2022 | 209,450 | 6,537 | |||||||||||
Soybean Oil | 8 | 3/2022 | 311,136 | 11,116 | |||||||||||
Wheat | 3 | 3/2022 | 114,187 | (5,645 | ) | ||||||||||
Brent Crude Oil | 3 | 4/2022 | 259,920 | 926 | |||||||||||
Lean Hogs | 4 | 4/2022 | 153,120 | 1,120 | |||||||||||
Live Cattle | 3 | 4/2022 | 173,430 | 662 | |||||||||||
Rapeseed | 3 | 4/2022 | 120,616 | 3,546 | |||||||||||
WTI Crude Oil | 3 | 11/2022 | 234,900 | 17,714 | |||||||||||
Total Long Contracts | $ | 10,488,452 | $ | 306,676 |
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | |||||||||||
Short Contracts | |||||||||||||||
Hang Seng Index | (2 | ) | 2/2022 | $ | (306,039 | ) | $ | 622 | |||||||
HSCEI | (3 | ) | 2/2022 | (160,926 | ) | 1,090 | |||||||||
MSCI Singapore Index | (2 | ) | 2/2022 | (49,232 | ) | 556 | |||||||||
SGX FTSE China A50 Index | (16 | ) | 2/2022 | (236,016 | ) | 6,100 | |||||||||
Sugar No. 11 | (1 | ) | 2/2022 | (20,406 | ) | (204 | ) | ||||||||
Australia 10 Year Bond | (8 | ) | 3/2022 | (775,019 | ) | (1,775 | ) | ||||||||
Australia 3 Year Bond | (28 | ) | 3/2022 | (2,248,565 | ) | 8,192 | |||||||||
Canada 10 Year Bond | (9 | ) | 3/2022 | (984,856 | ) | 2,448 | |||||||||
Canada 10 Year Bond | (9 | ) | 3/2022 | (984,856 | ) | (1,202 | ) | ||||||||
Cocoa | (4 | ) | 3/2022 | (101,120 | ) | (1,921 | ) | ||||||||
Euro-Bobl | (21 | ) | 3/2022 | (3,119,866 | ) | 20,138 | |||||||||
Euro-BTP | (5 | ) | 3/2022 | (819,444 | ) | 2,330 | |||||||||
Euro-Bund | (10 | ) | 3/2022 | (1,899,866 | ) | 15,801 | |||||||||
Euro-Bund | (2 | ) | 3/2022 | (379,973 | ) | 7,409 | |||||||||
Euro-Buxl | (1 | ) | 3/2022 | (228,397 | ) | (697 | ) | ||||||||
Euro-OAT | (6 | ) | 3/2022 | (1,085,320 | ) | 11,174 | |||||||||
Foreign Exchange AUD/USD | (127 | ) | 3/2022 | (8,984,615 | ) | 88,972 | |||||||||
Foreign Exchange CAD/USD | (19 | ) | 3/2022 | (1,496,155 | ) | 11,646 | |||||||||
Foreign Exchange EUR/USD | (63 | ) | 3/2022 | (8,862,131 | ) | 58,765 |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | |||||||||||
Foreign Exchange GBP/USD | (8 | ) | 3/2022 | $ | (672,750 | ) | $ | (8,035 | ) | ||||||
Foreign Exchange JPY/USD | (3 | ) | 3/2022 | (326,213 | ) | 3,594 | |||||||||
Foreign Exchange MXN/USD | (3 | ) | 3/2022 | (72,270 | ) | (1,941 | ) | ||||||||
Foreign Exchange NZD/USD | (13 | ) | 3/2022 | (855,660 | ) | 18,909 | |||||||||
Foreign Exchange ZAR/USD | (6 | ) | 3/2022 | (194,550 | ) | (7,212 | ) | ||||||||
Japan 10 Year Bond | (4 | ) | 3/2022 | (5,238,790 | ) | 13,252 | |||||||||
Long Gilt | (9 | ) | 3/2022 | (1,476,216 | ) | 24,460 | |||||||||
Long Gilt | (5 | ) | 3/2022 | (820,120 | ) | 19,619 | |||||||||
MSCI Emerging Markets E-Mini Index | (4 | ) | 3/2022 | (244,960 | ) | (4,567 | ) | ||||||||
Nikkei 225 Index | (13 | ) | 3/2022 | (305,570 | ) | (4,158 | ) | ||||||||
Nikkei 225 Index | (2 | ) | 3/2022 | (273,300 | ) | (1,455 | ) | ||||||||
Russell 2000 E-Mini Index | (1 | ) | 3/2022 | (101,220 | ) | (5,917 | ) | ||||||||
S&P 500 E-Mini Index | (7 | ) | 3/2022 | (1,576,488 | ) | 69,379 | |||||||||
Silver | (1 | ) | 3/2022 | (111,965 | ) | 483 | |||||||||
U.S. Treasury 2 Year Note | (16 | ) | 3/2022 | (3,466,500 | ) | 14,513 | |||||||||
U.S. Treasury 5 Year Note | (26 | ) | 3/2022 | (3,099,281 | ) | 29,352 | |||||||||
U.S. Treasury 10 Year Note | (14 | ) | 3/2022 | (1,791,563 | ) | 18,591 | |||||||||
U.S. Treasury 10 Year Note | (9 | ) | 3/2022 | (1,151,719 | ) | 10,952 | |||||||||
U.S. Treasury Long Bond | (5 | ) | 3/2022 | (778,125 | ) | 4,275 | |||||||||
U.S. Treasury Ultra Bond | (1 | ) | 3/2022 | (188,938 | ) | 1,749 | |||||||||
100 oz Gold | (2 | ) | 4/2022 | (359,280 | ) | (1,644 | ) | ||||||||
3 Month Canadian Bankers Acceptance | (31 | ) | 9/2022 | (5,986,793 | ) | 6,230 | |||||||||
3 Month Canadian Bankers Acceptance | (27 | ) | 12/2022 | (5,202,091 | ) | 7,836 | |||||||||
3 Month Euro Euribor | (23 | ) | 12/2022 | (6,472,111 | ) | 6,725 | |||||||||
3 Month SONIA | (31 | ) | 12/2022 | (10,281,744 | ) | 23,621 | |||||||||
3 Month SONIA | (23 | ) | 3/2023 | (7,617,564 | ) | 16,603 | |||||||||
3 Month Euro Euribor | (20 | ) | 6/2023 | (5,608,824 | ) | 10,419 | |||||||||
3 Month Eurodollar | (5 | ) | 6/2023 | (1,228,063 | ) | 1,554 | |||||||||
3 Month SOFR | (14 | ) | 6/2023 | (3,448,725 | ) | 15,043 | |||||||||
3 Month SONIA | (21 | ) | 9/2023 | (6,945,282 | ) | 13,308 | |||||||||
3 Month Eurodollar | (6 | ) | 12/2023 | (1,470,975 | ) | 2,102 | |||||||||
3 Month SOFR | (19 | ) | 12/2023 | (4,672,575 | ) | 11,373 | |||||||||
3 Month SONIA | (19 | ) | 3/2024 | (6,284,146 | ) | 15,062 | |||||||||
3 Month Euro Euribor | (21 | ) | 6/2024 | (5,873,635 | ) | 11,279 | |||||||||
3 Month Eurodollar | (6 | ) | 6/2024 | (1,470,825 | ) | (573 | ) | ||||||||
3 Month SOFR | (19 | ) | 6/2024 | (4,669,963 | ) | 6,907 | |||||||||
3 Month SONIA | (21 | ) | 9/2024 | (6,952,696 | ) | 14,712 | |||||||||
3 Month Eurodollar | (15 | ) | 6/2025 | (3,675,938 | ) | 4,573 | |||||||||
3 Month SOFR | (3 | ) | 6/2025 | (737,138 | ) | 1,520 | |||||||||
Total Short Contracts | $ | (144,447,368 | ) | $ | 591,937 | ||||||||||
Total Futures | $ | 898,613 |
At January 31, 2022, the Fund had $1,716,542 deposited in segregated accounts to cover margin requirements on open futures.
Forward foreign currency contracts ("forward contracts")
At January 31, 2022, open forward contracts for the Fund were as follows:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
USD | 1,707,588 | CHF | 1,561,870 | JPM | 2/18/2022 | $ | 21,431 | |||||||||||||
USD | 2,283,457 | EUR | 2,011,164 | JPM | 2/18/2022 | 23,330 | ||||||||||||||
USD | 193,891 | GBP | 142,349 | JPM | 2/18/2022 | 2,465 | ||||||||||||||
USD | 957,358 | HKD | 7,453,870 | JPM | 2/18/2022 | 1,376 | ||||||||||||||
USD | 18,711 | SEK | 170,794 | JPM | 2/18/2022 | 393 | ||||||||||||||
CAD | 323,754 | USD | 253,818 | JPM | 3/1/2022 | 873 | ||||||||||||||
AUD | 60,000 | JPY | 4,871,705 | SG | 3/16/2022 | 81 | ||||||||||||||
AUD | 60,000 | USD | 42,332 | SG | 3/16/2022 | 98 | ||||||||||||||
BRL** | 5,670,000 | USD | 1,000,654 | SG | 3/16/2022 | 55,895 |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
CAD | 2,550,000 | USD | 2,000,469 | SG | 3/16/2022 | $ | 5,486 | |||||||||||||
CLP** | 483,400,000 | USD | 576,398 | SG | 3/16/2022 | 23,987 | ||||||||||||||
EUR | 134,918 | PLN | 620,000 | SG | 3/16/2022 | 222 | ||||||||||||||
EUR | 30,000 | TRY | 440,388 | SG | 3/16/2022 | 1,348 | ||||||||||||||
EUR | 220,000 | USD | 245,956 | SG | 3/16/2022 | 1,426 | ||||||||||||||
GBP | 490,000 | USD | 655,674 | SG | 3/16/2022 | 3,160 | ||||||||||||||
HUF | 103,690,000 | USD | 320,924 | SG | 3/16/2022 | 5,394 | ||||||||||||||
INR** | 193,540,000 | USD | 2,562,169 | SG | 3/16/2022 | 19,434 | ||||||||||||||
JPY | 79,340,064 | AUD | 960,000 | SG | 3/16/2022 | 10,811 | ||||||||||||||
JPY | 63,320,000 | USD | 547,982 | SG | 3/16/2022 | 2,461 | ||||||||||||||
KRW** | 47,580,000 | USD | 39,356 | SG | 3/16/2022 | 66 | ||||||||||||||
MXN | 21,610,000 | USD | 1,025,961 | SG | 3/16/2022 | 14,354 | ||||||||||||||
NOK | 2,050,000 | USD | 228,744 | SG | 3/16/2022 | 1,581 | ||||||||||||||
NZD | 100,000 | USD | 65,432 | SG | 3/16/2022 | 324 | ||||||||||||||
PHP** | 3,550,000 | USD | 68,720 | SG | 3/16/2022 | 529 | ||||||||||||||
PLN | 3,540,000 | EUR | 763,488 | SG | 3/16/2022 | 6,429 | ||||||||||||||
PLN | 210,000 | USD | 51,180 | SG | 3/16/2022 | 131 | ||||||||||||||
SEK | 370,000 | USD | 39,190 | SG | 3/16/2022 | 506 | ||||||||||||||
SGD | 5,020,000 | USD | 3,696,809 | SG | 3/16/2022 | 18,500 | ||||||||||||||
THB | 900,000 | USD | 26,815 | JPM | 3/16/2022 | 212 | ||||||||||||||
THB | 35,714,732 | USD | 1,066,599 | SG | 3/16/2022 | 5,923 | ||||||||||||||
TRY | 1,473,316 | EUR | 80,000 | SG | 3/16/2022 | 18,390 | ||||||||||||||
TRY | 950,000 | USD | 56,831 | SG | 3/16/2022 | 13,031 | ||||||||||||||
USD | 3,990,733 | AUD | 5,580,000 | SG | 3/16/2022 | 44,671 | ||||||||||||||
USD | 1,543,047 | CAD | 1,950,000 | SG | 3/16/2022 | 9,080 | ||||||||||||||
USD | 3,811,684 | CHF | 3,510,000 | SG | 3/16/2022 | 19,542 | ||||||||||||||
USD | 5,309,559 | EUR | 4,690,000 | SG | 3/16/2022 | 35,805 | ||||||||||||||
USD | 216,537 | GBP | 160,000 | SG | 3/16/2022 | 1,408 | ||||||||||||||
USD | 525,451 | ILS | 1,640,000 | SG | 3/16/2022 | 6,922 | ||||||||||||||
USD | 127,684 | INR** | 9,540,000 | SG | 3/16/2022 | 433 | ||||||||||||||
USD | 2,864,460 | JPY | 325,740,000 | SG | 3/16/2022 | 32,799 | ||||||||||||||
USD | 2,628,553 | KRW** | 3,118,940,000 | SG | 3/16/2022 | 44,377 | ||||||||||||||
USD | 229,181 | MXN | 4,730,000 | SG | 3/16/2022 | 1,478 | ||||||||||||||
USD | 39,501 | NOK | 350,000 | SG | 3/16/2022 | 178 | ||||||||||||||
USD | 1,552,897 | NZD | 2,300,000 | SG | 3/16/2022 | 40,534 | ||||||||||||||
USD | 1,053,785 | PHP** | 53,490,000 | SG | 3/16/2022 | 10,366 | ||||||||||||||
USD | 766,890 | PLN | 3,122,500 | SG | 3/16/2022 | 3,954 | ||||||||||||||
USD | 1,303,553 | SEK | 11,840,000 | SG | 3/16/2022 | 33,294 | ||||||||||||||
USD | 303,545 | SGD | 410,000 | SG | 3/16/2022 | 103 | ||||||||||||||
USD | 54,787 | THB | 1,820,000 | SG | 3/16/2022 | 131 | ||||||||||||||
USD | 90,321 | TRY | 1,190,000 | SG | 3/16/2022 | 2,809 | ||||||||||||||
ZAR | 8,340,000 | USD | 526,467 | SG | 3/16/2022 | 13,015 | ||||||||||||||
CAD | 24,813 | USD | 19,493 | JPM | 3/31/2022 | 26 | ||||||||||||||
USD | 35,253 | CAD | 44,393 | JPM | 3/31/2022 | 333 | ||||||||||||||
USD | 15,856 | GBP | 11,683 | JPM | 3/31/2022 | 149 | ||||||||||||||
Total unrealized appreciation | $ | 561,054 |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
CAD | 55,000 | USD | 43,495 | JPM | 3/1/2022 | $ | (227 | ) | ||||||||||||
USD | 15,581 | CAD | 20,000 | JPM | 3/1/2022 | (153 | ) | |||||||||||||
AUD | 1,260,000 | JPY | 104,455,035 | SG | 3/16/2022 | (16,981 | ) | |||||||||||||
AUD | 4,200,000 | USD | 3,040,447 | SG | 3/16/2022 | (70,294 | ) | |||||||||||||
BRL** | 290,000 | USD | 54,266 | SG | 3/16/2022 | (227 | ) | |||||||||||||
CAD | 1,780,000 | USD | 1,408,620 | SG | 3/16/2022 | (8,382 | ) | |||||||||||||
CHF | 3,080,000 | USD | 3,364,245 | SG | 3/16/2022 | (36,668 | ) | |||||||||||||
CLP** | 23,020,000 | USD | 28,626 | SG | 3/16/2022 | (35 | ) | |||||||||||||
EUR | 763,617 | PLN | 3,540,000 | SG | 3/16/2022 | (6,282 | ) | |||||||||||||
EUR | 90,000 | TRY | 1,479,883 | SG | 3/16/2022 | (7,627 | ) | |||||||||||||
EUR | 2,770,000 | USD | 3,146,861 | SG | 3/16/2022 | (32,087 | ) | |||||||||||||
GBP | 1,590,000 | USD | 2,153,691 | SG | 3/16/2022 | (15,831 | ) | |||||||||||||
HUF | 160,810,000 | USD | 513,407 | SG | 3/16/2022 | (7,330 | ) | |||||||||||||
ILS | 3,720,000 | USD | 1,197,225 | SG | 3/16/2022 | (21,047 | ) | |||||||||||||
INR** | 55,290,000 | USD | 739,812 | SG | 3/16/2022 | (2,305 | ) |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
JPY | 40,416,028 | AUD | 500,000 | SG | 3/16/2022 | $ | (2,252 | ) | ||||||||||||
JPY | 187,930,000 | USD | 1,649,224 | SG | 3/16/2022 | (15,554 | ) | |||||||||||||
KRW** | 1,372,680,000 | USD | 1,154,435 | SG | 3/16/2022 | (17,110 | ) | |||||||||||||
MXN | 12,360,000 | USD | 600,182 | SG | 3/16/2022 | (5,164 | ) | |||||||||||||
NOK | 7,160,000 | USD | 816,369 | SG | 3/16/2022 | (11,920 | ) | |||||||||||||
NZD | 1,050,000 | USD | 714,352 | SG | 3/16/2022 | (23,926 | ) | |||||||||||||
PHP** | 53,160,000 | USD | 1,059,912 | SG | 3/16/2022 | (22,930 | ) | |||||||||||||
PLN | 2,410,000 | EUR | 527,574 | SG | 3/16/2022 | (4,392 | ) | |||||||||||||
PLN | 4,570,000 | USD | 1,140,536 | SG | 3/16/2022 | (23,924 | ) | |||||||||||||
SEK | 4,020,000 | USD | 445,293 | SG | 3/16/2022 | (14,005 | ) | |||||||||||||
SGD | 1,590,000 | USD | 1,180,321 | SG | 3/16/2022 | (3,559 | ) | |||||||||||||
THB | 8,970,000 | USD | 271,072 | SG | 3/16/2022 | (1,700 | ) | |||||||||||||
TRY | 300,957 | EUR | 20,000 | SG | 3/16/2022 | (357 | ) | |||||||||||||
TRY | 800,000 | USD | 60,402 | SG | 3/16/2022 | (1,571 | ) | |||||||||||||
USD | 21,086 | AUD | 30,000 | SG | 3/16/2022 | (129 | ) | |||||||||||||
USD | 742,583 | BRL** | 4,270,000 | SG | 3/16/2022 | (53,094 | ) | |||||||||||||
USD | 1,893,830 | CAD | 2,430,000 | SG | 3/16/2022 | (17,726 | ) | |||||||||||||
USD | 570,619 | CHF | 530,000 | SG | 3/16/2022 | (1,984 | ) | |||||||||||||
USD | 571,009 | CLP** | 486,510,000 | SG | 3/16/2022 | (33,238 | ) | |||||||||||||
USD | 67,008 | EUR | 60,000 | SG | 3/16/2022 | (458 | ) | |||||||||||||
USD | 3,624,370 | GBP | 2,730,000 | SG | 3/16/2022 | (46,290 | ) | |||||||||||||
USD | 969,960 | HUF | 318,000,000 | SG | 3/16/2022 | (30,804 | ) | |||||||||||||
USD | 520,350 | ILS | 1,660,000 | SG | 3/16/2022 | (4,503 | ) | |||||||||||||
USD | 2,318,112 | INR** | 176,690,000 | SG | 3/16/2022 | (38,731 | ) | |||||||||||||
USD | 1,004,064 | JPY | 115,810,000 | SG | 3/16/2022 | (2,673 | ) | |||||||||||||
USD | 1,165,436 | MXN | 24,670,000 | SG | 3/16/2022 | (22,193 | ) | |||||||||||||
USD | 1,367,038 | NOK | 12,270,000 | SG | 3/16/2022 | (11,537 | ) | |||||||||||||
USD | 13,134 | NZD | 20,000 | SG | 3/16/2022 | (17 | ) | |||||||||||||
USD | 1,008,299 | PHP** | 52,460,000 | SG | 3/16/2022 | (15,026 | ) | |||||||||||||
USD | 9,722 | PLN | 40,000 | JPM | 3/16/2022 | (52 | ) | |||||||||||||
USD | 1,183,214 | PLN | 4,857,500 | SG | 3/16/2022 | (3,645 | ) | |||||||||||||
USD | 11,721 | SEK | 110,000 | SG | 3/16/2022 | (80 | ) | |||||||||||||
USD | 4,755,111 | SGD | 6,480,000 | SG | 3/16/2022 | (40,748 | ) | |||||||||||||
USD | 28,069 | THB | 940,000 | JPM | 3/16/2022 | (160 | ) | |||||||||||||
USD | 1,603,975 | THB | 53,814,732 | SG | 3/16/2022 | (12,099 | ) | |||||||||||||
USD | 54,371 | TRY | 790,000 | SG | 3/16/2022 | (3,724 | ) | |||||||||||||
USD | 23,632 | ZAR | 380,000 | JPM | 3/16/2022 | (949 | ) | |||||||||||||
USD | 633,103 | ZAR | 10,170,000 | SG | 3/16/2022 | (24,752 | ) | |||||||||||||
ZAR | 2,100,000 | USD | 136,850 | SG | 3/16/2022 | (1,008 | ) | |||||||||||||
CAD | 79,401 | USD | 62,859 | JPM | 3/31/2022 | (402 | ) | |||||||||||||
GBP | 2,281 | USD | 3,068 | JPM | 3/31/2022 | (2 | ) | |||||||||||||
USD | 730,689 | CAD | 936,501 | JPM | 3/31/2022 | (5,974 | ) | |||||||||||||
USD | 190,418 | GBP | 141,799 | JPM | 3/31/2022 | (224 | ) | |||||||||||||
Total unrealized depreciation | $ | (746,062 | ) | |||||||||||||||||
Net unrealized depreciation | $ | (185,008 | ) |
** Non-deliverable forward.
Equity swap contracts ("equity swaps") |
At January 31, 2022, the Fund had outstanding equity swaps as follows: | ||||||||||||||||||||||||||||||
Over the counter equity swaps — Long(a) | ||||||||||||||||||||||||||||||
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable-Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
JPM | Aareal Bank AG | EUR | 19,835 | 12/23/2022 | 0.07 | % | 0.65 | % | 1D ESTR | T/1M | $ | 446 | ||||||||||||||||||
JPM | Accell Group NV | EUR | 16,733 | 1/31/2023 | 0.07 | % | 0.65 | % | 1D ESTR | T/1M | 47 | |||||||||||||||||||
MS | Amundi SA | EUR | 319,909 | 12/9/2022 | 0.03 | % | 0.60 | % | 1M EURIBOR | T/1M | 42,065 | |||||||||||||||||||
MS | Anima Holding SpA | EUR | 379,809 | 12/9/2022 | 0.03 | % | 0.60 | % | 1M EURIBOR | T/1M | 16,968 | |||||||||||||||||||
MS | Aspen Pharmacare Holdings Ltd. | USD | 36,430 | 12/15/2022 | 0.98 | % | 0.90 | % | 1D FEDEF | T/1M | (705 | ) |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
JPM | Aspire Global plc | SEK | 442,519 | 1/20/2023 | 0.33 | % | 0.40 | % | 1M STIBOR | T/1M | $ | (159 | ) | |||||||||||||||||
JPM | Atrium European Real Estate Ltd. | EUR | 167,585 | 7/27/2022 | (0.18)% - 0.07 | % | 0.40% - 0.65 | % | 1D ESTR | T/1M | (17,898 | ) | ||||||||||||||||||
JPM | AusNet Services Ltd. | AUD | 46,007 | 11/3/2022 | 0.70 | % | 0.65 | % | 1D RBACR | T/1M | 392 | |||||||||||||||||||
JPM | Ausnutria Dairy Corp. Ltd. | HKD | 278,873 | 11/3/2022 | 0.10 | % | 0.00 | % | 1D HONIA | T/1M | 1,691 | |||||||||||||||||||
JPM | Avast plc | GBP | 13,754 | 7/22/2022 | 0.60 | % | 0.40 | % | 1D SONIA | T/1M | 894 | |||||||||||||||||||
JPM | Avast plc | USD | 626,816 | 8/15/2022 | 0.47 | % | 0.40 | % | 1D OBFR | T/1M | 17,601 | |||||||||||||||||||
JPM | Blue Prism Group plc | GBP | 147,746 | 10/19/2022 | 0.60 | % | 0.40 | % | 1D SONIA | T/1M | 8,575 | |||||||||||||||||||
MS | Brenntag SE | EUR | 183,324 | 12/9/2022 | 0.03 | % | 0.60 | % | 1M EURIBOR | T/1M | 43,653 | |||||||||||||||||||
MS | Bureau Veritas SA | EUR | 288,129 | 12/9/2022 | 0.03 | % | 0.60 | % | 1M EURIBOR | T/1M | 70,272 | |||||||||||||||||||
JPM | Clinigen Group plc | GBP | 61,103 | 12/28/2022 | 0.60 | % | 0.40 | % | 1D SONIA | T/1M | 270 | |||||||||||||||||||
JPM | CNP Assurances | EUR | 205,683 | 11/4/2022 | (0.18 | )% | 0.40 | % | 1D ESTR | T/1M | 2,351 | |||||||||||||||||||
MS | Croda International plc | GBP | 30,214 | 12/2/2022 | 0.84 | % | 0.64 | % | 1D SONIA | T/1M | 10,311 | |||||||||||||||||||
JPM | Crown Resorts Ltd. | AUD | 29,088 | 7/4/2022 | 0.70 | % | 0.65 | % | 1D RBACR | T/1M | 416 | |||||||||||||||||||
MS | Danone SA | EUR | 529,184 | 12/9/2022 | 0.03 | % | 0.60 | % | 1M EURIBOR | T/1M | (128,512 | ) | ||||||||||||||||||
JPM | Distell Group Holdings Ltd. | ZAR | 1,398,851 | 11/18/2022 | 4.64 | % | 0.90 | % | 1M JIBAR | T/1M | 2,500 | |||||||||||||||||||
JPM | Electricite de France SA | EUR | 25,256 | 6/22/2022 | (0.18)% - 0.07 | % | 0.40% - 0.65 | % | 1D ESTR | T/1M | (9,814 | ) | ||||||||||||||||||
MS | Elis SA | EUR | 58,926 | 12/9/2022 | 0.03 | % | 0.60 | % | 1M EURIBOR | T/1M | 3,250 | |||||||||||||||||||
MS | Eurofins Scientific SE | EUR | 120,106 | 12/9/2022 | 0.03 | % | 0.60 | % | 1M EURIBOR | T/1M | 13,856 | |||||||||||||||||||
JPM | Falck Renewables SpA | EUR | 30,285 | 12/12/2022 | 0.07 | % | 0.65 | % | 1D ESTR | T/1M | 259 | |||||||||||||||||||
MS | Gerresheimer AG | EUR | 64,473 | 12/9/2022 | 0.03 | % | 0.60 | % | 1M EURIBOR | T/1M | 13,174 | |||||||||||||||||||
MS | HeidelbergCement AG | EUR | 215,758 | 12/9/2022 | 0.03 | % | 0.60 | % | 1M EURIBOR | T/1M | (26,594 | ) | ||||||||||||||||||
MS | Hermes International | EUR | 73,836 | 12/9/2022 | 0.03 | % | 0.60 | % | 1M EURIBOR | T/1M | 28,726 | |||||||||||||||||||
MS | Holcim Ltd. | CHF | 147,011 | 12/9/2022 | (0.15 | )% | 0.56 | % | 1D SARON | T/1M | (1,724 | ) | ||||||||||||||||||
JPM | Hunter Douglas NV | EUR | 51,840 | 1/10/2023 | 0.07 | % | 0.65 | % | 1D ESTR | T/1M | 416 | |||||||||||||||||||
MS | Hypera SA | USD | 35,357 | 12/7/2022 | 0.73 | % | 0.65 | % | 1D FEDEF | T/1M | (7,180 | ) | ||||||||||||||||||
JPM | Intertrust NV | EUR | 105,171 | 12/8/2022 | 0.07 | % | 0.65 | % | 1D ESTR | T/1M | (2,162 | ) | ||||||||||||||||||
MS | ITV plc | GBP | 86,872 | 12/2/2022 | 0.84 | % | 0.64 | % | 1D SONIA | T/1M | 1,262 | |||||||||||||||||||
MS | Kering SA | EUR | 422,001 | 12/9/2022 | 0.03 | % | 0.60 | % | 1M EURIBOR | T/1M | 89,983 | |||||||||||||||||||
JPM | La Doria SpA | EUR | 41,529 | 12/6/2022 | 0.07 | % | 0.65 | % | 1D ESTR | T/1M | (32 | ) | ||||||||||||||||||
JPM | Lagardere SA | EUR | 45,021 | 11/22/2022 | (0.18 | )% | 0.40 | % | 1D ESTR | T/1M | 2,012 | |||||||||||||||||||
JPM | Link Administration Holdings Ltd. | AUD | 86,177 | 12/30/2022 | 0.70 | % | 0.65 | % | 1D RBACR | T/1M | (1,471 | ) | ||||||||||||||||||
JPM | Lundin Energy AB | USD | 40,218 | 12/28/2022 | 0.72 | % | 0.65 | % | 1D OBFR | T/1M | 3,891 | |||||||||||||||||||
MS | LVMH Moet Hennessy Louis Vuitton SE | EUR | 86,712 | 12/9/2022 | 0.03 | % | 0.60 | % | 1M EURIBOR | T/1M | 29,510 | |||||||||||||||||||
JPM | Meggitt plc | GBP | 548,715 | 8/4/2022 | 0.60 | % | 0.40 | % | 1D SONIA | T/1M | 11,270 | |||||||||||||||||||
MS | NAVER Corp. | USD | 121,120 | 9/15/2022 | 1.58 | % | 1.50 | % | 1D FEDEF | T/1M | (41,982 | ) | ||||||||||||||||||
JPM | Neles OYJ | EUR | 27,141 | 7/8/2022 | (0.18)% - 0.07 | % | 0.40% - 0.65 | % | 1D ESTR | T/1M | (274 | ) | ||||||||||||||||||
MS | Nestle SA (Registered) | CHF | 147,421 | 12/9/2022 | (0.17 | )% | 0.54 | % | 1D SARON | T/1M | 26,005 | |||||||||||||||||||
JPM | Orange Belgium SA | EUR | 19,419 | 12/9/2022 | (0.18)% - (0.08 | )% | 0.40% - 0.50 | % | 1D ESTR | T/1M | (176 | ) | ||||||||||||||||||
MS | Orpea SA | EUR | 31,467 | 12/9/2022 | 0.03 | % | 0.60 | % | 1M EURIBOR | T/1M | (3,161 | ) | ||||||||||||||||||
JPM | Playtech plc | GBP | 8,988 | 10/20/2022 | 0.60 | % | 0.40 | % | 1D SONIA | T/1M | (1,889 | ) | ||||||||||||||||||
MS | Publicis Groupe SA | EUR | 97,848 | 12/9/2022 | 0.03 | % | 0.60 | % | 1M EURIBOR | T/1M | 15,293 | |||||||||||||||||||
MS | Ryanair Holdings plc | EUR | 104,875 | 12/9/2022 | 0.03 | % | 0.60 | % | 1M EURIBOR | T/1M | 31,167 | |||||||||||||||||||
JPM | Sanne Group plc | GBP | 22,189 | 9/12/2022 | 0.60 | % | 0.40 | % | 1D SONIA | T/1M | 260 | |||||||||||||||||||
MS | SAP SE | EUR | 522,413 | 12/9/2022 | 0.03 | % | 0.60 | % | 1M EURIBOR | T/1M | (32,099 | ) | ||||||||||||||||||
JPM | Sbanken ASA | NOK | 810,938 | 4/19/2022 | 1.56 | % | 0.65 | % | 1M NIBOR | T/1M | (9,915 | ) | ||||||||||||||||||
JPM | Siltronic AG | EUR | 111,456 | 3/1/2022 | 0.07 | % | 0.65 | % | 1D ESTR | T/1M | (20,092 | ) | ||||||||||||||||||
MS | Smith & Nephew plc | GBP | 479,012 | 12/2/2022 | 0.84 | % | 0.64 | % | 1D SONIA | T/1M | (80,148 | ) | ||||||||||||||||||
JPM | SOHO China Ltd. | HKD | 130,759 | 6/23/2022 | 0.50 | % | 0.40 | % | 1D HONIA | T/1M | (26,563 | ) | ||||||||||||||||||
JPM | Spire Healthcare Group plc | GBP | 25,923 | 6/20/2022 | 0.60 | % | 0.40 | % | 1D SONIA | T/1M | (985 | ) | ||||||||||||||||||
MS | Stroeer SE & Co. KGaA | EUR | 48,001 | 12/9/2022 | 0.03 | % | 0.60 | % | 1M EURIBOR | T/1M | (9,874 | ) | ||||||||||||||||||
JPM | Sydney Airport | AUD | 383,300 | 11/10/2022 | 0.70 | % | 0.65 | % | 1D RBACR | T/1M | 4,985 | |||||||||||||||||||
JPM | Telecom Italia SpA | EUR | 20,802 | 11/24/2022 | 0.07 | % | 0.65 | % | 1D ESTR | T/1M | (1,895 | ) | ||||||||||||||||||
JPM | Toshiba Corp. | JPY | 1,246,094 | 4/25/2022 | 0.38 | % | 0.40 | % | 1D MUTSC | T/1M | 1,357 | |||||||||||||||||||
JPM | Ultra Electronics Holdings plc | GBP | 120,785 | 8/30/2022 | 0.60 | % | 0.40 | % | 1D SONIA | T/1M | (16,256 | ) | ||||||||||||||||||
JPM | Veoneer, Inc. | USD | 138,779 | 10/7/2022 | 0.72 | % | 0.65 | % | 1D OBFR | T/1M | (990 | ) | ||||||||||||||||||
JPM | Vivo Energy plc | USD | 87,870 | 12/15/2022 | 0.47 | % | 0.40 | % | 1D OBFR | T/1M | 514 | |||||||||||||||||||
JPM | Z Energy Ltd. | NZD | 425,361 | 8/26/2022 | 1.22 | % | 0.40 | % | 1M BKBM | T/1M | (687 | ) | ||||||||||||||||||
JPM | Zardoya Otis SA | EUR | 21,312 | 9/27/2022 | 0.07 | % | 0.65 | % | 1D ESTR | T/1M | 68 | |||||||||||||||||||
Total Long Positions of equity swaps | $ | 52,473 |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
Over the counter equity swaps — Short(c)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
MS | Air Liquide SA | EUR | (209,207 | ) | 12/9/2022 | (0.93 | )% | (0.35 | )% | 1D ESTR | 1M/T | $ | (18,608 | ) | ||||||||||||||||
JPM | Aker BP ASA | USD | (32,749 | ) | 12/28/2022 | (0.43 | )% | (0.50 | )% | 1D OBFR | 1M/T | (2,911 | ) | |||||||||||||||||
MS | Allianz SE (Registered) | EUR | (195,748 | ) | 12/9/2022 | (0.93 | )% | (0.35 | )% | 1D ESTR | 1M/T | (24,038 | ) | |||||||||||||||||
MS | Anheuser-Busch InBev SA/NV | EUR | (108,208 | ) | 12/9/2022 | (0.98 | )% | (0.40 | )% | 1D ESTR | 1M/T | (12,048 | ) | |||||||||||||||||
MS | AXA SA | EUR | (123,421 | ) | 12/9/2022 | (0.93 | )% | (0.35 | )% | 1D ESTR | 1M/T | (25,010 | ) | |||||||||||||||||
MS | BASF SE | EUR | (125,722 | ) | 12/9/2022 | (0.93 | )% | (0.35 | )% | 1D ESTR | 1M/T | (8,732 | ) | |||||||||||||||||
MS | Bayerische Motoren Werke AG | EUR | (58,373 | ) | 12/9/2022 | (0.93 | )% | (0.35 | )% | 1D ESTR | 1M/T | (3,497 | ) | |||||||||||||||||
MS | Bunzl plc | GBP | (149,363 | ) | 12/2/2022 | (0.10 | )% | (0.30 | )% | 1D SONIA | 1M/T | (32,790 | ) | |||||||||||||||||
MS | Deutsche Post AG (Registered) | EUR | (164,587 | ) | 12/9/2022 | (0.93 | )% | (0.35 | )% | 1D ESTR | 1M/T | (16,706 | ) | |||||||||||||||||
MS | Deutsche Telekom AG (Registered) | EUR | (139,511 | ) | 12/9/2022 | (0.93 | )% | (0.35 | )% | 1D ESTR | 1M/T | (10,510 | ) | |||||||||||||||||
MS | Elisa OYJ | EUR | (106,608 | ) | 12/9/2022 | (0.98 | )% | (0.40 | )% | 1D ESTR | 1M/T | (4,724 | ) | |||||||||||||||||
MS | Enel SpA | EUR | (67,159 | ) | 12/9/2022 | (0.98 | )% | (0.40 | )% | 1D ESTR | 1M/T | 10,179 | ||||||||||||||||||
MS | Engie SA | EUR | (108,351 | ) | 12/9/2022 | (0.93 | )% | (0.35 | )% | 1D ESTR | 1M/T | (13,789 | ) | |||||||||||||||||
MS | Etablissements Franz Colruyt NV | EUR | (105,354 | ) | 12/9/2022 | (0.98 | )% | (0.40 | )% | 1D ESTR | 1M/T | 74,455 | ||||||||||||||||||
MS | GlaxoSmithKline plc | GBP | (69,745 | ) | 12/2/2022 | (0.10 | )% | (0.30 | )% | 1D SONIA | 1M/T | (9,368 | ) | |||||||||||||||||
JPM | Grifols SA | USD | (42,668 | ) | 4/14/2022 | (0.33 | )% | (0.40 | )% | 1D OBFR | 1M/T | 24,803 | ||||||||||||||||||
MS | H & M Hennes & Mauritz AB | SEK | (1,543,906 | ) | 10/19/2022 | (0.47 | )% | (0.40 | )% | 1W STIBOR | 1M/T | 8,200 | ||||||||||||||||||
MS | Hannover Rueck SE | EUR | (110,538 | ) | 12/9/2022 | (0.93 | )% | (0.35 | )% | 1D ESTR | 1M/T | (10,770 | ) | |||||||||||||||||
MS | Koninklijke Ahold Delhaize NV | EUR | (290,771 | ) | 12/9/2022 | (0.93 | )% | (0.35 | )% | 1D ESTR | 1M/T | (66,650 | ) | |||||||||||||||||
MS | Marks & Spencer Group plc | GBP | (34,092 | ) | 12/2/2022 | (0.10 | )% | (0.30 | )% | 1D SONIA | 1M/T | 1,968 | ||||||||||||||||||
MS | Merck & Co., Inc. | USD | (69,421 | ) | 12/14/2022 | (0.27 | )% | (0.35 | )% | 1D FEDEF | 1M/T | (968 | ) | |||||||||||||||||
MS | Next plc | GBP | (57,210 | ) | 12/2/2022 | (0.10 | )% | (0.30 | )% | 1D SONIA | 1M/T | (6,490 | ) | |||||||||||||||||
MS | Pfizer, Inc. | USD | (75,136 | ) | 12/14/2022 | (0.27 | )% | (0.35 | )% | 1D FEDEF | 1M/T | (17,993 | ) | |||||||||||||||||
JPM | Santos Ltd. | AUD | (14 | ) | 9/16/2022 | (0.45 | )% | (0.50 | )% | 1D RBACR | 1M/T | - | ||||||||||||||||||
MS | Schneider Electric SE | EUR | (164,296 | ) | 12/9/2022 | (0.93 | )% | (0.35 | )% | 1D ESTR | 1M/T | (22,291 | ) | |||||||||||||||||
MS | Siemens AG (Registered) | EUR | (179,046 | ) | 12/9/2022 | (0.93 | )% | (0.35 | )% | 1D ESTR | 1M/T | (8,219 | ) | |||||||||||||||||
MS | Swisscom AG (Registered) | CHF | (112,507 | ) | 12/9/2022 | (1.06 | )% | (0.35 | )% | 1D SARON | 1M/T | (1,457 | ) | |||||||||||||||||
MS | Telefonica SA | EUR | (48,844 | ) | 12/9/2022 | (0.98 | )% | (0.40 | )% | 1D ESTR | 1M/T | (8,704 | ) | |||||||||||||||||
JPM | Valmet OYJ | EUR | (24,113 | ) | 7/8/2022 | (1.08)% - (0.98 | )% | (0.50)% - (0.40 | )% | 1D ESTR | 1M/T | (251 | ) | |||||||||||||||||
MS | Vinci SA | EUR | (148,470 | ) | 12/9/2022 | (0.93 | )% | (0.35 | )% | 1D ESTR | 1M/T | (13,099 | ) | |||||||||||||||||
Total Short Positions of equity swaps | $ | (220,018 | ) | |||||||||||||||||||||||||||
Total Long and Short Positions of equity swaps | $ | (167,545 | ) | |||||||||||||||||||||||||||
Total Financing Costs and Other Receivables/(Payables) of equity swaps | $ | (25,866 | ) | |||||||||||||||||||||||||||
Total Long and Short Positions including Financing Costs and Other Receivables/(Payables) of equity swaps | $ | (193,411 | ) |
(a) The Fund pays a specified rate based on a reference rate plus or minus a spread, and receives the total return on the reference entity.
(b) Effective rate at January 31, 2022.
(c) The Fund receives a specified rate based on a reference rate plus or minus a spread, and pays the total return on the reference entity.
At January 31, 2022, the Fund had cash collateral of $1,490,000, $2,330,000 and $575,557 deposited in a segregated account for JPMorgan Chase Bank, NA, Morgan Stanley Capital Services LLC and Societe Generale, respectively, to cover collateral requirements on over the counter derivatives.
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
Written option contracts ("options written")
At January 31, 2022, the Fund had outstanding options written as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||
Calls | ||||||||||||||||||
Capital Markets | ||||||||||||||||||
Social Capital Hedosophia Holdings Corp. VI | 32 | $ | (31,584 | ) | $ | 10 | 4/14/2022 | $ | (432 | ) | ||||||||
Health Care Technology | ||||||||||||||||||
Vocera Communications, Inc. | 4 | (31,604 | ) | 80 | 2/18/2022 | (30 | ) | |||||||||||
Software | ||||||||||||||||||
Mimecast Ltd. | 2 | (15,942 | ) | 80 | 5/20/2022 | (115 | ) | |||||||||||
Total options written (premium received $1,405) | $ | (577 | ) |
Abbreviations
BKBM | New Zealand’s Bank Bill Benchmark Rate |
ESTR | Euro Short-Term Rate |
EURIBOR | Euro Interbank Offered Rate |
FEDEF | Federal Funds Floating Rate |
HONIA | Hong Kong Overnight Index Average |
JIBAR | Johannesburg Interbank Agreed Rate |
JPM | JPMorgan Chase Bank, NA |
MS | Morgan Stanley Capital Services LLC |
MUTSC | Bank of Japan Estimate Unsecured Overnight Call Rate |
NIBOR | Norway Interbank Offered Rate |
OBFR | Overnight Bank Funding Rate |
RBACR | Reserve Bank of Australia Cash Rate |
SARON | Swiss Average Overnight Rate |
SG | Societe Generale |
SONIA | Sterling Overnight Index Average Rate |
STIBOR | Stockholm Interbank Offered Rate |
T | Termination Date |
1D | One Day |
1M | One Month |
1W | One Week |
Currency Abbreviations | ||
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
CLP | Chilean Peso | |
EUR | Euro | |
GBP | Pound Sterling | |
HKD | Hong Kong Dollar | |
HUF | Hungarian Forint | |
ILS | Israeli New Shekel | |
INR | Indian Rupee | |
JPY | Japanese Yen | |
KRW | Korean Won | |
MXN | Mexican Peso | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar | |
PHP | Philippine Peso | |
PLN | Polish Zloty | |
SEK | Swedish Krona | |
SGD | Singapore Dollar | |
THB | Thailand Baht | |
TRY | Turkish Lira | |
USD | United States Dollar | |
ZAR | South African Rand |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
The following is a summary, categorized by Level (See Notes to Consolidated Schedule of Investments), of inputs used to value the Fund's investments as of January 31, 2022:
Asset Valuation Inputs | ||||||||||||||||
Level 1 | Level 2 | Level 3* | Total | |||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Capital Markets | $ | 1,126,087 | $ | 129,874 | $ | — | $ | 1,255,961 | ||||||||
Diversified Financial Services | 850,968 | — | 190 | 851,158 | ||||||||||||
Food & Staples Retailing | 95,121 | 120,834 | — | 215,955 | ||||||||||||
Food Products | 289,985 | 713,490 | — | 1,003,475 | ||||||||||||
Health Care Providers & Services | 342,419 | 41,975 | — | 384,394 | ||||||||||||
Industrial Conglomerates | — | 41,333 | — | 41,333 | ||||||||||||
Insurance | 879,292 | 335,437 | — | 1,214,729 | ||||||||||||
Interactive Media & Services | 1,825,261 | 442,650 | 67 | 2,267,978 | ||||||||||||
Internet & Direct Marketing Retail | 1,869,839 | 160,070 | 351,086 | 2,380,995 | ||||||||||||
Life Sciences Tools & Services | 256,935 | 305,207 | — | 562,142 | ||||||||||||
Media | 438,173 | 198,197 | 1,606 | 637,976 | ||||||||||||
Metals & Mining | 612,831 | 135,078 | — | 747,909 | ||||||||||||
Multiline Retail | — | 822 | — | 822 | ||||||||||||
Oil, Gas & Consumable Fuels | 73,768 | 59,193 | 2,455 | 135,416 | ||||||||||||
Personal Products | 276,246 | 427,414 | — | 703,660 | ||||||||||||
Pharmaceuticals | 246,387 | 1,098,708 | — | 1,345,095 | ||||||||||||
Professional Services | 825,212 | 536,225 | — | 1,361,437 | ||||||||||||
Semiconductors & Semiconductor Equipment | 2,047,957 | 31,156 | — | 2,079,113 | ||||||||||||
Software | 2,227,384 | 279,026 | — | 2,506,410 | ||||||||||||
Specialty Retail | 489,249 | 90,831 | 5,200 | 585,280 | ||||||||||||
Technology Hardware, Storage & Peripherals | 1,231,500 | 244,802 | — | 1,476,302 | ||||||||||||
Textiles, Apparel & Luxury Goods | 237,966 | 388,026 | — | 625,992 | ||||||||||||
Trading Companies & Distributors | — | 155,659 | — | 155,659 | ||||||||||||
Other Common Stocks(a) | 12,873,037 | — | — | 12,873,037 | ||||||||||||
Total Common Stocks | 29,115,617 | 5,936,007 | 360,604 | 35,412,228 | ||||||||||||
Rights | ||||||||||||||||
Biotechnology | — | — | 201,980 | 201,980 | ||||||||||||
IT Services | — | — | 12,580 | 12,580 | ||||||||||||
Media | — | — | — | — | ||||||||||||
Metals & Mining | 28,116 | — | — | 28,116 | ||||||||||||
Pharmaceuticals | — | — | 1,100 | 1,100 | ||||||||||||
Total Rights | 28,116 | — | 215,660 | 243,776 | ||||||||||||
Warrants | ||||||||||||||||
Capital Markets | — | — | 1,810 | 1,810 | ||||||||||||
Leisure Products | 6,323 | — | — | 6,323 | ||||||||||||
Oil, Gas & Consumable Fuels | — | — | 197,012 | 197,012 | ||||||||||||
Total Warrants | 6,323 | — | 198,822 | 205,145 | ||||||||||||
Convertible Preferred Stocks(a) | 56,431 | — | — | 56,431 | ||||||||||||
Loan Assignments(a) | — | — | 6,314 | 6,314 | ||||||||||||
Corporate Bonds(a) | — | — | — | — | ||||||||||||
Short-Term Investments | — | 32,283,887 | — | 32,283,887 | ||||||||||||
Total Long Positions | $ | 29,206,487 | $ | 38,219,894 | $ | 781,400 | $ | 68,207,781 |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
(a) | The Consolidated Schedule of Investments provides information on the industry or sector categorization as well as a Positions by Country summary. |
* | The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value: |
Common Stocks(a)(b) | Corporate Bonds(a)(c) | Loan Assignments(a)(b) | Rights(a)(b) | Warrants(a)(b) | Total | |||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Investments in Securities: | ||||||||||||||||||||||||
Beginning Balance as of November 1, 2021 | $ | 437,077 | $ | – | $ | 6,311 | $ | 177,026 | $ | 166,761 | $ | 787,175 | ||||||||||||
Transfers into Level 3 | – | – | – | – | – | – | ||||||||||||||||||
Transfers out of Level 3 | – | – | – | – | – | – | ||||||||||||||||||
Accrued discounts/(premiums) | – | – | 548 | – | – | 548 | ||||||||||||||||||
Realized gain/(loss) | (31,294 | ) | – | 32 | (10,425 | ) | – | (41,687 | ) | |||||||||||||||
Change in unrealized appreciation/(depreciation) | 27,525 | – | (1,518 | ) | 37,589 | 32,061 | 95,657 | |||||||||||||||||
Purchases | 637 | – | 993 | 11,470 | – | 13,100 | ||||||||||||||||||
Sales | (73,341 | ) | – | (52 | ) | – | – | (73,393 | ) | |||||||||||||||
Balance as of January 31, 2022 | $ | 360,604 | $ | – | $ | 6,314 | $ | 215,660 | $ | 198,822 | $ | 781,400 | ||||||||||||
Net change in unrealized appreciation/(depreciation) on investments still held as of January 31, 2022 | $ | (39,312 | ) | $ | – | $ | (1,518 | ) | $ | 37,740 | $ | 32,061 | $ | 28,971 |
(a) | As of the period ended January 31, 2022, certain of these securities were fair valued in accordance with procedures approved by the Board of Trustees. These investments did not have a material impact on the Fund’s net assets; therefore, disclosure of unobservable inputs used in formulating valuations is not presented. |
(b) | Certain of these securities were valued based on a single quotation obtained from a dealer. The Fund does not have access to unobservable inputs and therefore cannot disclose such inputs used in formulating such quotation. |
(c) | The reconciliation between beginning and ending balances of investments in which unobservable inputs (Level 3) were used is not presented as all values are zero. |
The following is a summary, categorized by Level (See Notes to Consolidated Schedule of Investments), of inputs used to value the Fund's short investments as of January 31, 2022:
Liability Valuation Inputs | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments: | ||||||||||||||||
Common Stocks Sold Short(a) | $ | (9,754,506 | ) | $ | — | $ | — | $ | (9,754,506 | ) | ||||||
Total Short Positions | $ | (9,754,506 | ) | $ | — | $ | — | $ | (9,754,506 | ) |
(a) The Consolidated Schedule of Investments provides information on the industry or sector categorization as well as a Positions by Country summary. |
The following is a summary, categorized by level (See Notes to Consolidated Schedule of Investments), of inputs used to value the Fund's derivatives as of January 31, 2022:
Other Financial Instruments | ||||||||||||||||
Level 1 | Level 2 | Level 3* | Total | |||||||||||||
Futures(a) | ||||||||||||||||
Assets | $ | 963,698 | $ | — | $ | — | $ | 963,698 | ||||||||
Liabilities | (65,085 | ) | — | — | (65,085 | ) | ||||||||||
Forward contracts(a) | ||||||||||||||||
Assets | — | 561,054 | — | 561,054 | ||||||||||||
Liabilities | — | (746,062 | ) | — | (746,062 | ) | ||||||||||
Swaps | ||||||||||||||||
Assets | — | 615,315 | — | 615,315 | ||||||||||||
Liabilities | — | (808,726 | ) | — | (808,726 | ) | ||||||||||
Options written | ||||||||||||||||
Liabilities | (577 | ) | — | — | (577 | ) | ||||||||||
Total | $ | 898,036 | $ | (378,419 | ) | $ | — | $ | 519,617 |
(a) | Futures and forward contracts are reported at the cumulative unrealized appreciation/(depreciation) of the instrument. |
* | The following is a reconciliation between the beginning and ending balances of derivative investments in which unobservable inputs (Level 3) were used in determining value: |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
Equity swaps | ||||
Other Financial Instruments: | ||||
Beginning Balance as of November 1, 2021(a) | $ | (3,127 | ) | |
Transfers into Level 3 | – | |||
Transfers out of Level 3 | – | |||
Accrued discounts/(premiums) | – | |||
Realized gain/(loss) | 3,127 | |||
Change in unrealized appreciation/(depreciation) | – | |||
Purchases | – | |||
Sales | – | |||
Balance as of January31, 2022 | $ | – | ||
Net change in unrealized appreciation/(depreciation) on investments still held as of January 31, 2022 | $ | – |
(a) | At the beginning of the year, certain equity swaps were valued in accordance with procedures approved by the Board of Trustees. The Fund held no Level 3 derivatives at January 31, 2022. |
^ A balance indicated with a "-", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Consolidated Schedule of Investments
January 31, 2022
Notes to Consolidated Schedule of Investments Absolute Return Multi-Manager Fund (Unaudited) |
In accordance with Accounting Standards Codification 820 “Fair Value Measurement” (“ASC 820”), all investments held by Neuberger Berman Absolute Return Multi-Manager Fund (the “Fund”) are carried at the value that Neuberger Berman Investment Advisers LLC (“Management”) believes the Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Fund’s investments, some of which are discussed below. Significant Management judgment may be necessary to value investments in accordance with ASC 820.
ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
· | Level 1 – unadjusted quoted prices in active markets for identical investments |
· | Level 2 – other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.) |
· | Level 3 – unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
The value of the Fund’s investments (long and short positions) in equity securities, convertible preferred stocks, rights and warrants, for which market quotations are readily available, is generally determined by Management by obtaining valuations from independent pricing services based on the latest sale price quoted on a principal exchange or market for that security (Level 1 inputs). Securities traded primarily on the NASDAQ Stock Market are normally valued at the NASDAQ Official Closing Price (“NOCP”) provided by NASDAQ each business day. The NOCP is the most recently reported price as of 4:00:02 p.m., Eastern Time, unless that price is outside the range of the “inside” bid and asked prices (i.e., the bid and asked prices that dealers quote to each other when trading for their own accounts); in that case, NASDAQ will adjust the price to equal the inside bid or asked price, whichever is closer. Because of delays in reporting trades, the NOCP may not be based on the price of the last trade to occur before the market closes. If there is no sale of a security on a particular day, the independent pricing services may value the security based on market quotations.
The value of the Fund’s investments for long positions in debt securities is determined by Management primarily by obtaining valuations from independent pricing services based on readily available bid quotations, or if quotations are not available, by methods which include various considerations based on security type (generally Level 2 inputs). In addition to the consideration of yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions, the following is a description of other Level 2 inputs and related valuation techniques used by independent pricing services to value certain types of debt securities held by the Fund:
Corporate Bonds. Inputs used to value corporate debt securities generally include 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.
The value of loan assignments is determined by Management primarily by obtaining valuations from independent pricing services based on broker quotes (generally Level 2 or Level 3 inputs depending on the number of quotes available).
The value of futures contracts is determined by Management by obtaining valuations from independent pricing services at the settlement price at the market close (Level 1 inputs).
The value of forward foreign currency contracts is determined by Management by obtaining valuations from independent pricing services based on actual traded currency rates on independent pricing services’ networks, along with other traded and quoted currency rates provided to the pricing services by leading market participants (Level 2 inputs).
The value of equity swaps is determined by Management by obtaining valuations from independent pricing services using the underlying asset and stated benchmark interest rate (Level 2 inputs).
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
Investments in non-exchange traded investment companies with readily determinable fair value are valued using the respective fund’s daily calculated net asset value per share (Level 2 inputs).
For information on the Fund’s significant accounting policies, please refer to the Fund’s most recent shareholder reports.
Notes to Consolidated Schedule of Investments Absolute Return Multi-Manager Fund (Unaudited) (cont’d)
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount the Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not readily available, the security is valued using methods the Board has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Inputs and assumptions considered in determining the fair value of a security based on Level 2 or Level 3 inputs may include, but are not limited to, the type of the security; the initial cost of the security; the existence of any contractual restrictions on the security’s disposition; the price and extent of public trading in similar securities of the issuer or of comparable companies; quotations or evaluated prices from broker-dealers and/or pricing services; information obtained from the issuer and/or analysts; an analysis of the company’s or issuer’s financial statements; an evaluation of the inputs that influence the issuer and the market(s) in which the security is purchased and sold.
The value of the Fund’s investments in foreign securities is generally determined using the same valuation methods and inputs as other Fund investments, as discussed above. Foreign security prices expressed in local currency values are normally translated from the local currency into U.S. dollars using the exchange rates as of 4:00 p.m. Eastern Time on days the New York Stock Exchange is open for business. The Board has approved the use of ICE Data Services (“ICE”) to assist in determining the fair value of foreign equity securities when changes in the value of a certain index suggest that the closing prices on the foreign exchanges may no longer represent the amount that the Fund could expect to receive for those securities or on days when foreign markets are closed and U.S. markets are open. In each of these events, ICE will provide adjusted prices for certain foreign equity securities using a statistical analysis of historical correlations of multiple factors (Level 2 inputs). The Board has also approved the use of ICE to evaluate the prices of foreign debt securities as of the time as of which the Fund’s share price is calculated. ICE utilizes benchmark spread and yield curves and evaluates available market activity from the local close to the time as of which the Fund’s share price is calculated (Level 2 inputs) to assist in determining prices for certain foreign debt securities. In the case of both foreign equity and foreign debt securities, in the absence of precise information about the market values of these foreign securities as of the time as of which the Fund’s share price is calculated, the Board has determined on the basis of available data that prices adjusted or evaluated in this way are likely to be closer to the prices the Fund could realize on a current sale than are the prices of those securities established at the close of the foreign markets in which the securities primarily trade.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.
In December 2020, the Securities and Exchange Commission ("SEC") adopted Rule 2a-5 under the Investment Company Act of 1940, as amended (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 this guidance.
The Fund invests in commodity-related instruments through Neuberger Berman Cayman ARMM Fund I Ltd. (the “Subsidiary”), which is organized under the laws of the Cayman Islands. The Fund is and expects to remain the sole shareholder of the Subsidiary. The Subsidiary is governed by its own Board of Directors. As of January 31, 2022, the Fund's investment in the Subsidiary was $14,640,171, which represents 20.1% of the Fund’s net assets.
Other matters
Russia’s invasion of Ukraine: Russia’s invasion of the 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, and could continue to have, an adverse effect on global markets performance and liquidity, thereby negatively affecting the value of the 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 the Fund and its investments or operations could be negatively impacted.
Coronavirus: The outbreak of the novel coronavirus in many countries has, among other things, disrupted global travel and supply chains, and adversely impacted global commercial activity, the transportation industry and commodity prices in the energy sector. The impact of this virus has negatively affected and may continue to affect the economies of many nations, individual companies and the global securities and commodities markets, including liquidity and volatility. The development and fluidity of this situation precludes any prediction as to its ultimate impact, which may have a continued adverse effect on global economic and market conditions. Such conditions (which may be across industries, sectors or geographies) have impacted and may continue to impact the issuers of the securities held by the Fund and in turn, may impact the financial performance of the Fund.
For information on the Fund’s significant accounting policies, please refer to the Fund’s most recent shareholder reports.
Consolidated Schedule of Investments Commodity Strategy Fund^
(Unaudited) January 31, 2022
PRINCIPAL AMOUNT | VALUE | |||||||
U.S. Treasury Obligations 15.3% | ||||||||
U.S. Treasury Bills | ||||||||
$ | 14,015,000 | 0.05%, due 2/3/2022 | $ | 14,014,974 | (a) | |||
14,000,000 | 0.03%, due 3/24/2022 | 13,998,463 | (a) | |||||
Total U.S. Treasury Obligations (Cost 28,014,277) | 28,013,437 | |||||||
Asset-Backed Securities 18.1% | ||||||||
2,055,000 | BMW Vehicle Lease Trust, Ser. 2022-1, Class A2, 0.67%, due 5/28/2024 | 2,051,194 | ||||||
1,347,000 | Capital One Prime Auto Receivables Trust, Ser. 2021-1, Class A2, 0.32%, due 2/18/2025 | 1,340,846 | ||||||
834,000 | CNH Equipment Trust, Ser. 2021-C, Class A2, 0.33%, due 1/15/2025 | 830,549 | ||||||
570,000 | DLLMT LLC, Ser. 2021-1A, Class A2, 0.60%, due 3/20/2024 | 567,388 | (b) | |||||
564,369 | Ford Credit Auto Lease Trust, Ser. 2021-A, Class A2, 0.19%, due 7/15/2023 | 564,051 | ||||||
1,950,000 | Ford Credit Auto Owner Trust, Ser. 2022-A, Class A2, 0.73%, due 9/15/2024 | 1,947,293 | ||||||
GM Financial Consumer Automobile Receivables Trust | ||||||||
40,970 | Ser. 2020-3, Class A2, 0.35%, due 7/17/2023 | 40,969 | ||||||
326,581 | Ser. 2021-1, Class A2, 0.23%, due 11/16/2023 | 326,382 | ||||||
2,125,000 | Ser. 2021-4, Class A2, 0.28%, due 11/18/2024 | 2,115,810 | ||||||
650,000 | Ser. 2022-1, Class A2, 0.76%, due 2/18/2025 | 648,679 | ||||||
1,000,000 | Golden Credit Card Trust, Ser. 2017-4A, Class A, (1M USD LIBOR + 0.52%), 0.62%, due 7/15/2024 | 1,001,875 | (b)(c) | |||||
2,428,000 | Honda Auto Receivables, Ser. 2021-4, Class A2, 0.39%, due 5/21/2024 | 2,421,401 | ||||||
1,290,000 | HPEFS Equipment Trust, Ser. 2022-1A, Class A2, 1.02%, due 5/21/2029 | 1,288,091 | (b) | |||||
Hyundai Auto Lease Securitization Trust | ||||||||
200,735 | Ser. 2020-B, Class A2, 0.36%, due 1/17/2023 | 200,722 | (b) | |||||
1,513,181 | Ser. 2021-B, Class A2, 0.19%, due 10/16/2023 | 1,509,370 | (b) | |||||
1,255,000 | Hyundai Auto Receivables Trust, Ser. 2021-C, Class A2A, 0.36%, due 10/15/2024 | 1,250,097 | ||||||
157,648 | Mercedes-Benz Auto Lease Trust, Ser. 2020-B, Class A2, 0.31%, due 2/15/2023 | 157,618 | ||||||
920,000 | MMAF Equipment Finance LLC, Ser. 2021-A, Class A2, 0.30%, due 4/15/2024 | 918,168 | (b) | |||||
Navient Student Loan Trust | ||||||||
267,920 | Ser. 2017-4A, Class A2, (1M USD LIBOR + 0.50%), 0.61%, due 9/27/2066 | 268,178 | (b)(c) | |||||
235,170 | Ser. 2019-7A, Class A1, (1M USD LIBOR + 0.50%), 0.61%, due 1/25/2068 | 235,571 | (b)(c) | |||||
355,566 | Ser. 2019-4A, Class A1, (1M USD LIBOR + 0.28%), 0.39%, due 7/25/2068 | 355,486 | (b)(c) | |||||
1,077,000 | Nissan Auto Lease Trust, Ser. 2021-A, Class A2, 0.30%, due 12/15/2023 | 1,073,164 | ||||||
398,509 | Santander Consumer Auto Receivables Trust, Ser. 2021-AA, Class A2, 0.23%, due 11/15/2023 | 398,358 | (b) | |||||
Santander Retail Auto Lease Trust | ||||||||
1,336,143 | Ser. 2021-A, Class A2, 0.32%, due 2/20/2024 | 1,331,090 | (b) | |||||
1,285,000 | Ser. 2022-A, Class A2, 0.97%, due 3/20/2025 | 1,281,679 | (b) | |||||
Tesla Auto Lease Trust | ||||||||
185,797 | Ser. 2020-A, Class A2, 0.55%, due 5/22/2023 | 185,808 | (b) | |||||
1,284,763 | Ser. 2021-A, Class A2, 0.36%, due 3/20/2025 | 1,280,401 | (b) | |||||
1,620,000 | Toyota Auto Receivables Owner Trust, Ser. 2022-A, Class A2, 0.74%, due 10/15/2024 | 1,618,035 | ||||||
2,500,000 | Toyota Lease Owner Trust, Ser. 2021-B, Class A2, 0.25%, due 3/20/2024 | 2,487,933 | (b) | |||||
1,434,000 | Verizon Owner Trust, Ser. 2020-B, Class A, 0.47%, due 2/20/2025 | 1,426,123 | ||||||
World Omni Auto Receivables Trust | ||||||||
435,137 | Ser. 2020-C, Class A2, 0.35%, due 12/15/2023 | 435,002 | ||||||
1,084,529 | Ser. 2021-B, Class A2, 0.20%, due 7/15/2024 | 1,082,207 |
See Notes to Schedule of Investments
Consolidated Schedule of Investments Commodity Strategy Fund^
(Unaudited) (cont’d)
PRINCIPAL AMOUNT | VALUE | |||||||
$ | 538,897 | World Omni Automobile Lease Securitization Trust, Ser. 2021-A, Class A2, 0.21%, due 4/15/2024 | $ | 537,334 | ||||
Total Asset-Backed Securities (Cost $33,253,841) | 33,176,872 | |||||||
Corporate Bonds 40.4% | ||||||||
Agriculture 0.6% | ||||||||
1,170,000 | BAT Capital Corp., (3M USD LIBOR + 0.88%), 1.04%, due 8/15/2022 | 1,172,017 | (c) | |||||
Auto Manufacturers 1.0% | ||||||||
1,930,000 | Daimler Finance N.A. LLC, (3M USD LIBOR + 0.90%), 1.06%, due 2/15/2022 | 1,930,579 | (b)(c) | |||||
Banks 15.4% | ||||||||
Bank of America Corp. | ||||||||
1,495,000 | (3M USD LIBOR + 1.00%), 1.26%, due 4/24/2023 | 1,497,498 | (c) | |||||
1,775,000 | (3M USD LIBOR + 0.79%), 0.97%, due 3/5/2024 | 1,783,911 | (c) | |||||
881,000 | Bank of New York Mellon Corp., Ser. J, (SOFR + 0.20%), 0.25%, due 10/25/2024 | 878,524 | (c) | |||||
475,000 | BB&T Corp., (3M USD LIBOR + 0.65%), 0.86%, due 4/1/2022 | 475,125 | (c) | |||||
2,205,000 | BNP Paribas SA, 2.95%, due 5/23/2022 | 2,221,373 | (b) | |||||
3,138,000 | Citigroup, Inc., (3M USD LIBOR + 1.10%), 1.26%, due 5/17/2024 | 3,172,503 | (c) | |||||
3,947,000 | Goldman Sachs Group, Inc., (3M USD LIBOR + 1.60%), 1.78%, due 11/29/2023 | 4,033,502 | (c) | |||||
3,315,000 | JPMorgan Chase & Co., (3M USD LIBOR + 0.90%), 1.16%, due 4/25/2023 | 3,328,661 | (c) | |||||
Lloyds Banking Group PLC | ||||||||
285,000 | (3M USD LIBOR + 1.25%), 2.86%, due 3/17/2023 | 285,576 | (d) | |||||
630,000 | (3M USD LIBOR + 0.81%), 2.91%, due 11/7/2023 | 637,130 | (d) | |||||
1,728,000 | Morgan Stanley, (SOFR + 0.63%), 0.67%, due 1/24/2025 | 1,732,251 | (c) | |||||
Royal Bank of Canada | ||||||||
1,035,000 | (3M USD LIBOR + 0.47%), 0.77%, due 4/29/2022 | 1,036,048 | (c) | |||||
270,000 | (3M USD LIBOR + 0.36%), 0.60%, due 1/17/2023 | 270,389 | (c) | |||||
875,000 | Toronto-Dominion Bank, (SOFR + 0.48%), 0.53%, due 1/27/2023 | 877,001 | (c) | |||||
945,000 | Truist Bank, (SOFR + 0.20%), 0.25%, due 1/17/2024 | 943,450 | (c) | |||||
1,185,000 | U.S. Bank N.A., (3M USD LIBOR + 0.40%), 0.60%, due 12/9/2022 | 1,186,410 | (c) | |||||
3,175,000 | Wells Fargo & Co., (3M USD LIBOR + 1.23%), 1.53%, due 10/31/2023 | 3,200,472 | (c) | |||||
640,000 | Westpac Banking Corp., (3M USD LIBOR + 0.39%), 0.63%, due 1/13/2023 | 642,076 | (c) | |||||
28,201,900 | ||||||||
Diversified Financial Services 1.9% | ||||||||
1,705,000 | American Express Co., (3M USD LIBOR + 0.61%), 0.93%, due 8/1/2022 | 1,708,091 | (c) | |||||
1,755,000 | Capital One Financial Corp., (3M USD LIBOR + 0.95%), 1.15%, due 3/9/2022 | 1,755,305 | (c) | |||||
3,463,396 | ||||||||
Electric 6.6% | ||||||||
1,855,000 | Duke Energy Corp., (SOFR + 0.25%), 0.30%, due 6/10/2023 | 1,851,694 | (c) | |||||
1,000,000 | Florida Power & Light Co., (SOFR + 0.25%), 0.30%, due 5/10/2023 | 1,000,020 | (c) | |||||
National Rural Utilities Cooperative Finance Corp. | ||||||||
1,040,000 | (SOFR + 0.40%), 0.45%, due 8/7/2023 | 1,040,000 | (c)(e) | |||||
2,220,000 | Ser. D, (SOFR + 0.33%), 0.38%, due 10/18/2024 | 2,218,785 | (c) | |||||
2,000,000 | NextEra Energy Capital Holdings, Inc., (SOFR + 0.40%), 0.45%, due 11/3/2023 | 2,000,400 | (c) | |||||
2,837,000 | PPL Electric Utilities Corp., (SOFR + 0.33%), 0.38%, due 6/24/2024 | 2,836,145 | (c) | |||||
1,102,000 | Southern California Edison Co., (SOFR + 0.47%), 0.52%, due 12/2/2022 | 1,102,919 | (c) | |||||
12,049,963 | ||||||||
Gas 1.0% | ||||||||
565,000 | Atmos Energy Corp., (3M USD LIBOR + 0.38%), 0.58%, due 3/9/2023 | 564,898 | (c) | |||||
601,000 | CenterPoint Energy Resources Corp., (3M USD LIBOR + 0.50%), 0.67%, due 3/2/2023 | 601,231 | (c) |
See Notes to Schedule of Investments
Consolidated Schedule of Investments Commodity Strategy Fund^
(Unaudited) (cont’d)
PRINCIPAL AMOUNT | VALUE | |||||||
$ | 585,000 | Southern California Gas Co., (3M USD LIBOR + 0.35%), 0.55%, due 9/14/2023 | $ | 584,546 | (c) | |||
1,750,675 | ||||||||
Healthcare - Products 2.4% | ||||||||
2,000,000 | Baxter International, Inc., (SOFR + 0.26%), 0.31%, due 12/1/2023 | 1,996,314 | (b)(c) | |||||
Thermo Fisher Scientific, Inc. | ||||||||
1,235,000 | (SOFR + 0.35%), 0.40%, due 4/18/2023 | 1,235,000 | (c) | |||||
1,115,000 | (SOFR + 0.39%), 0.44%, due 10/18/2023 | 1,114,236 | (c) | |||||
4,345,550 | ||||||||
Insurance 0.6% | ||||||||
1,025,000 | New York Life Global Funding, (3M USD LIBOR + 0.44%), 0.68%, due 7/12/2022 | 1,026,329 | (b)(c) | |||||
Machinery - Construction & Mining 0.4% | ||||||||
679,000 | Caterpillar Financial Services Corp., (SOFR + 0.27%), 0.32%, due 9/13/2024 | 680,256 | (c) | |||||
Machinery - Diversified 0.8% | ||||||||
John Deere Capital Corp. | ||||||||
918,000 | (SOFR + 0.12%), 0.17%, due 7/10/2023 | 917,999 | (c) | |||||
605,000 | (SOFR + 0.20%), 0.25%, due 10/11/2024 | 604,046 | (c) | |||||
1,522,045 | ||||||||
Media 2.2% | ||||||||
2,504,000 | Comcast Cable Communications Holdings, Inc., 9.46%, due 11/15/2022 | 2,670,616 | ||||||
645,000 | Comcast Corp., (3M USD LIBOR + 0.63%), 0.87%, due 4/15/2024 | 651,326 | (c) | |||||
755,000 | Walt Disney Co., (3M USD LIBOR + 0.39%), 0.57%, due 3/4/2022 | 755,262 | (c) | |||||
4,077,204 | ||||||||
Miscellaneous Manufacturer 1.9% | ||||||||
General Electric Capital Corp. | ||||||||
2,255,000 | (3M USD LIBOR + 1.00%), 1.20%, due 3/15/2023 | 2,265,679 | (c) | |||||
580,000 | (3M USD LIBOR + 1.00%), 1.24%, due 4/15/2023 | 583,146 | (c) | |||||
585,000 | Siemens Financieringsmaatschappij NV, (3M USD LIBOR + 0.61%), 0.82%, due 3/16/2022 | 585,371 | (b)(c) | |||||
3,434,196 | ||||||||
Pharmaceuticals 2.1% | ||||||||
2,060,000 | AbbVie, Inc., (3M USD LIBOR + 0.65%), 0.81%, due 11/21/2022 | 2,067,609 | (c) | |||||
1,810,000 | Bristol-Myers Squibb Co., (3M USD LIBOR + 0.38%), 0.54%, due 5/16/2022 | 1,811,291 | (c) | |||||
3,878,900 | ||||||||
REITS 0.7% | ||||||||
1,220,000 | Simon Property Group L.P., (SOFR + 0.43%), 0.48%, due 1/11/2024 | 1,221,501 | (c) | |||||
Semiconductor 0.8% | ||||||||
1,397,000 | Analog Devices, Inc., (SOFR + 0.25%), 0.30%, due 10/1/2024 | 1,396,832 | (c) | |||||
Telecommunications 2.0% | ||||||||
AT&T, Inc. | ||||||||
455,000 | (3M USD LIBOR + 0.89%), 1.05%, due 2/15/2023 | 457,899 | (c) | |||||
3,189,000 | (SOFR + 0.64%), 0.69%, due 3/25/2024 | 3,185,971 | (c) | |||||
3,643,870 | ||||||||
Total Corporate Bonds (Cost $73,784,229) | 73,795,213 | |||||||
NUMBER OF SHARES | ||||||||
Short-Term Investments 19.5% | ||||||||
Investment Companies 19.5% | ||||||||
35,711,305 | State Street Institutional U.S. Government Money Market Fund Premier Class, 0.03%(f) (Cost $35,711,305) | 35,711,305 | (g) |
See Notes to Schedule of Investments
Consolidated Schedule of Investments Commodity Strategy Fund^
(Unaudited) (cont’d)
VALUE | ||||||||
Total Investments 93.3% (Cost $170,763,652) | $ | 170,696,827 | ||||||
Other Assets Less Liabilities 6.7% | 12,207,489 | (h) | ||||||
Net Assets 100.0% | $ | 182,904,316 |
(a) | Rate shown was the discount rate at the date of purchase. |
(b) | 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 January 31, 2022, these securities amounted to $21,070,084, which represents 11.5% of net assets of the Fund. |
(c) | Variable or floating rate security. The interest rate shown was the current rate as of January 31, 2022 and changes periodically. |
(d) | 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. |
(e) | When-issued security. Total value of all such securities at January 31, 2022 amounted to $1,040,000, which represents 0.6% of net assets of the Fund. |
(f) | Represents 7-day effective yield as of January 31, 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 $35,711,305. |
(h) | Includes the impact of the Fund's open positions in derivatives at January 31, 2022. |
See Notes to Schedule of Investments
Consolidated Schedule of Investments Commodity Strategy Fund^
(Unaudited) (cont’d)
Derivative Instruments
Futures contracts ("futures")
At January 31, 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) | ||||||||||
2/2022 | 1 | Bitcoin | $ | 192,425 | $ | 1,975 | ||||||||
3/2022 | 390 | Lead | 21,969,188 | 544,875 | ||||||||||
3/2022 | 112 | Nickel | 15,179,136 | 2,432,463 | ||||||||||
3/2022 | 5 | Palladium | 1,177,900 | 166,420 | ||||||||||
3/2022 | 212 | Primary Aluminum | 16,053,700 | 1,122,475 | ||||||||||
3/2022 | 66 | Silver | 7,389,690 | (156,688 | ) | |||||||||
3/2022 | 274 | Zinc | 24,704,525 | 3,235,159 | ||||||||||
4/2022 | 20 | Cattle Feeder | 1,684,500 | (7,763 | ) | |||||||||
4/2022 | 114 | Gold 100 Oz. | 20,478,960 | 181,187 | ||||||||||
4/2022 | 135 | Lean Hogs | 5,167,800 | 469,020 | ||||||||||
4/2022 | 90 | Live Cattle | 5,202,900 | 225,947 | ||||||||||
4/2022 | 77 | Platinum | 3,930,080 | 255,033 | ||||||||||
7/2022 | 160 | Brent Crude Oil | 13,691,200 | 1,855,705 | ||||||||||
7/2022 | 105 | Cocoa | 2,730,000 | 73,137 | ||||||||||
7/2022 | 36 | Coffee 'C' | 3,167,100 | 41,568 | ||||||||||
7/2022 | 100 | Copper | 10,810,000 | 17,061 | ||||||||||
7/2022 | 477 | Corn | 14,769,112 | 379,292 | ||||||||||
7/2022 | 81 | Cotton No. 2 | 4,846,230 | 350,537 | ||||||||||
7/2022 | 120 | Hard Red Winter Wheat | 4,704,000 | (55,742 | ) | |||||||||
7/2022 | 93 | Low Sulphur Gasoil | 6,833,175 | 134,367 | ||||||||||
7/2022 | 241 | Natural Gas | 11,408,940 | 2,360,759 | ||||||||||
7/2022 | 71 | New York Harbor ULSD | 7,560,861 | 176,425 | ||||||||||
7/2022 | 86 | RBOB Gasoline | 9,285,007 | 288,341 | ||||||||||
7/2022 | 96 | Soybean | 7,164,000 | 454,470 | ||||||||||
7/2022 | 187 | Soybean Meal | 7,773,590 | 130,650 | ||||||||||
7/2022 | 92 | Soybean Oil | 3,554,880 | 341,711 | ||||||||||
7/2022 | 132 | Sugar 11 | 2,601,984 | (85,755 | ) | |||||||||
7/2022 | 133 | Wheat | 5,057,325 | 9,759 | ||||||||||
7/2022 | 117 | WTI Crude Oil | 9,675,900 | 220,223 | ||||||||||
Total Long Positions | $ | 248,764,108 | $ | 15,162,611 |
Short Futures:
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||
3/2022 | 313 | Lead | $ | (17,631,681 | ) | $ | (410,108 | ) | ||||||
3/2022 | 67 | Nickel | (9,080,376 | ) | (1,613,624 | ) | ||||||||
3/2022 | 138 | Primary Aluminum | (10,450,050 | ) | (721,131 | ) | ||||||||
3/2022 | 168 | Zinc | (15,147,300 | ) | (1,976,130 | ) | ||||||||
Total Short Positions | $ | (52,309,407 | ) | $ | (4,720,993 | ) | ||||||||
Total Futures | $ | 10,441,618 |
At January 31, 2022, the Fund had $5,763,817 deposited in a segregated account to cover margin requirements on open futures.
The Fund 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 the Fund will remain the sole shareholder of the CS Subsidiary. The CS Subsidiary is governed by its own Board of Directors.
See Notes to Schedule of Investments
Consolidated Schedule of Investments Commodity Strategy Fund^
(Unaudited) (cont’d)
As of January 31, 2022, the value of the Fund’s investment in the CS Subsidiary was as follows:
Investment in CS Subsidiary | Percentage of Net Assets | |||||
$ | 36,919,015 | 20.2 | % |
See Notes to Schedule of Investments
Consolidated Schedule of Investments Commodity Strategy Fund^
(Unaudited) (cont’d)
The following is a summary, categorized by Level (see the Notes to Schedule of Investments), of inputs used to value the Fund's investments as of January 31, 2022:
Asset Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments: | ||||||||||||||||
U.S. Treasury Obligations | $ | — | $ | 28,013,437 | $ | — | $ | 28,013,437 | ||||||||
Asset-Backed Securities | — | 33,176,872 | — | 33,176,872 | ||||||||||||
Corporate Bonds(a) | — | 73,795,213 | — | 73,795,213 | ||||||||||||
Short-Term Investments | — | 35,711,305 | — | 35,711,305 | ||||||||||||
Total Investments | $ | — | $ | 170,696,827 | $ | — | $ | 170,696,827 |
(a) | The Consolidated Schedule of Investments provides information on the industry or sector categorization. |
The following is a summary, categorized by Level (see the Notes to Schedule of Investments), of inputs used to value the Fund's derivatives as of January 31, 2022:
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures(a) | ||||||||||||||||
Assets | $ | 15,468,559 | $ | — | $ | — | $ | 15,468,559 | ||||||||
Liabilities | (5,026,941 | ) | — | — | (5,026,941 | ) | ||||||||||
Total | $ | 10,441,618 | $ | — | $ | — | $ | 10,441,618 |
(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 Schedule of Investments
Schedule of Investments Global Allocation Fund^
(Unaudited) January 31, 2022
Number of Shares | Value | |||||||
Common Stocks 62.0% | ||||||||
Australia 1.3% | ||||||||
1,253 | APA Group | $ | 8,498 | (a) | ||||
492 | Aristocrat Leisure Ltd. | 14,262 | ||||||
188 | ASX Ltd. | 11,150 | ||||||
422 | BlueScope Steel Ltd. | 5,531 | ||||||
1,060 | Dexus | 7,717 | ||||||
1,816 | Fortescue Metals Group Ltd. | 25,500 | ||||||
401 | Rio Tinto PLC | 28,264 | ||||||
472 | Sonic Healthcare Ltd. | 12,711 | ||||||
3,050 | Telstra Corp. Ltd. | 8,479 | ||||||
122,112 | ||||||||
Austria 0.1% | ||||||||
144 | OMV AG | 8,814 | ||||||
422 | Telekom Austria AG | 3,650 | * | |||||
12,464 | ||||||||
Belgium 0.1% | ||||||||
74 | Solvay SA | 8,916 | ||||||
Canada 2.0% | ||||||||
408 | Alimentation Couche-Tard, Inc. | 16,456 | ||||||
454 | Bank of Nova Scotia | 32,701 | ||||||
937 | Enbridge, Inc. | 39,613 | ||||||
35 | George Weston Ltd. | 3,817 | ||||||
195 | Gildan Activewear, Inc. | 7,762 | ||||||
307 | Great-West Lifeco, Inc. | 9,591 | ||||||
284 | Hydro One Ltd. | 7,337 | (b) | |||||
92 | Loblaw Cos. Ltd. | 7,098 | ||||||
245 | Metro, Inc. | 13,104 | ||||||
458 | Power Corp. of Canada | 14,722 | ||||||
227 | Sun Life Financial, Inc. | 12,856 | ||||||
92 | TELUS Corp. | 2,165 | ||||||
247 | Toronto-Dominion Bank | 19,783 | ||||||
89 | West Fraser Timber Co. Ltd. | 8,238 | ||||||
195,243 | ||||||||
China 0.1% | ||||||||
1,844 | BOC Hong Kong Holdings Ltd. | 7,120 | ||||||
Denmark 0.7% | ||||||||
9 | AP Moeller - Maersk A/S Class B | 32,329 | ||||||
353 | Novo Nordisk A/S Class B | 35,113 | ||||||
67,442 | ||||||||
Finland 0.4% | ||||||||
140 | Elisa OYJ | 8,224 | ||||||
72 | Kone OYJ Class B | 4,663 | ||||||
2,587 | Nordea Bank Abp | 30,727 | ||||||
43,614 | ||||||||
France 2.0% | ||||||||
62 | Arkema SA | 9,168 | ||||||
83 | BNP Paribas SA | 5,925 | ||||||
260 | Bureau Veritas SA | 7,439 | ||||||
154 | Capgemini SE | 34,622 | ||||||
163 | Cie Generale des Etablissements Michelin SCA | 27,274 | ||||||
23 | Hermes Int'l | 34,533 | ||||||
23 | Kering SA | 17,176 | ||||||
135 | Publicis Groupe SA | 9,148 | ||||||
49 | Sanofi | 5,123 | ||||||
794 | Societe Generale SA | 29,473 | ||||||
151 | TotalEnergies SE | 8,587 | ||||||
188,468 | ||||||||
Germany 1.6% | ||||||||
94 | Allianz SE | 24,135 | ||||||
60 | Daimler AG | 4,788 | ||||||
697 | Deutsche Post AG | 41,946 | ||||||
207 | Evonik Industries AG | 6,753 | ||||||
150 | GEA Group AG | 7,087 | ||||||
147 | HeidelbergCement AG | 10,229 | ||||||
128 | Merck KGaA | 28,070 | ||||||
258 | SAP SE | 32,369 | ||||||
155,377 | ||||||||
Hong Kong 0.4% | ||||||||
258 | CK Asset Holdings Ltd. | 1,722 | ||||||
300 | Hong Kong Exchanges & Clearing Ltd. | 17,123 | ||||||
1,578 | Sun Hung Kai Properties Ltd. | 19,252 | ||||||
38,097 | ||||||||
Israel 0.1% | ||||||||
1,400 | Bank Leumi Le-Israel BM | 15,015 | ||||||
Italy 0.2% | ||||||||
1,086 | Assicurazioni Generali SpA | 22,855 | ||||||
Japan 4.2% | ||||||||
500 | Ajinomoto Co., Inc. | 13,951 | ||||||
1,800 | Astellas Pharma, Inc. | 29,053 | ||||||
600 | Bridgestone Corp. | 26,275 | ||||||
800 | Canon, Inc. | 18,921 | ||||||
1,800 | Daiwa Securities Group, Inc. | 10,846 | ||||||
343 | FUJIFILM Holdings Corp. | 22,993 | ||||||
29 | Fujitsu Ltd. | 3,834 | ||||||
206 | Kajima Corp. | 2,488 | ||||||
1,153 | KDDI Corp. | 36,837 | ||||||
300 | MEIJI Holdings Co. Ltd. | 18,714 | ||||||
900 | Mitsubishi Electric Corp. | 11,271 | ||||||
1,088 | Mitsui & Co. Ltd. | 27,130 | ||||||
700 | Nippon Telegraph & Telephone Corp. | 20,032 | ||||||
200 | Nippon Yusen KK | 15,679 | ||||||
200 | Nitto Denko Corp. | 15,572 | ||||||
400 | Nomura Research Institute Ltd. | 14,002 | ||||||
946 | ORIX Corp. | 19,513 | ||||||
745 | Sekisui House Ltd. | 15,094 | ||||||
100 | Shionogi & Co. Ltd. | 5,699 | ||||||
183 | Taisei Corp. | 5,999 | ||||||
800 | Takeda Pharmaceutical Co. Ltd. | 23,187 | ||||||
1,195 | Toyota Motor Corp. | 23,617 | ||||||
100 | Trend Micro, Inc. | 5,305 | ||||||
300 | Yamaha Motor Co. Ltd. | 7,144 | ||||||
300 | Yamato Holdings Co. Ltd. | 6,388 | ||||||
399,544 | ||||||||
Netherlands 0.9% | ||||||||
4 | ASML Holding NV | 2,709 | ||||||
1,615 | Koninklijke Ahold Delhaize NV | 52,366 | ||||||
1,307 | Koninklijke KPN NV | 4,311 |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^
(Unaudited) (cont’d)
Number of Shares | Value | |||||||
224 | Wolters Kluwer NV | $ | 22,799 | |||||
82,185 | ||||||||
Norway 0.3% | ||||||||
997 | Equinor ASA | 27,485 | ||||||
Russia 0.1% | ||||||||
188 | Coca-Cola HBC AG | 6,227 | * | |||||
Singapore 0.2% | ||||||||
980 | Singapore Exchange Ltd. | 6,783 | ||||||
318 | STMicroelectronics NV | 14,953 | ||||||
21,736 | ||||||||
South Africa 0.5% | ||||||||
998 | Anglo American PLC | 43,997 | ||||||
Spain 0.4% | ||||||||
1,667 | Banco Bilbao Vizcaya Argentaria SA | 10,643 | ||||||
415 | Endesa SA | 9,291 | ||||||
469 | Iberdrola SA | 5,377 | ||||||
223 | Naturgy Energy Group SA | 7,061 | ||||||
562 | Red Electrica Corp. SA | 11,329 | ||||||
43,701 | ||||||||
Sweden 0.4% | ||||||||
23 | Industrivarden AB, A Shares | 727 | ||||||
720 | Skandinaviska Enskilda Banken AB Class A | 9,307 | ||||||
954 | Svenska Handelsbanken AB, A Shares | 10,167 | ||||||
767 | Swedbank AB, A Shares | 15,017 | ||||||
35,218 | ||||||||
Switzerland 1.8% | ||||||||
497 | ABB Ltd. | 17,232 | ||||||
2 | Chocoladefabriken Lindt & Spruengli AG | 23,211 | ||||||
38 | Geberit AG | 25,818 | ||||||
53 | Kuehne & Nagel Int’l AG | 14,966 | ||||||
106 | Nestle SA | 13,689 | ||||||
190 | Roche Holding AG | 73,530 | ||||||
76 | Swiss Prime Site AG | 7,514 | ||||||
3 | Swisscom AG | 1,715 | ||||||
177,675 | ||||||||
United Kingdom 1.9% | ||||||||
2,178 | Barclays PLC | 5,843 | ||||||
985 | Barratt Developments PLC | 8,192 | ||||||
24 | Experian PLC | 1,003 | ||||||
1,723 | J Sainsbury PLC | 6,771 | ||||||
2,280 | Kingfisher PLC | 10,224 | ||||||
479 | Liberty Global PLC Class C | 12,952 | * | |||||
115 | Linde PLC | 36,648 | ||||||
22,066 | Lloyds Banking Group PLC | 15,313 | ||||||
309 | Persimmon PLC | 10,067 | ||||||
1,143 | RELX PLC | 35,159 | ||||||
5,235 | NatWest Group PLC | 17,206 | ||||||
556 | Sage Group PLC | 5,433 | ||||||
138 | Schroders PLC | 6,328 | ||||||
309 | SSE PLC | 6,649 | ||||||
39 | Unilever PLC | 2,000 | ||||||
179,788 | ||||||||
United States 42.3% | ||||||||
168 | 3M Co. | 27,891 | ||||||
60 | Abbott Laboratories | 7,648 | ||||||
361 | AbbVie, Inc. | 49,417 | ||||||
261 | Accenture PLC Class A | 92,284 | ||||||
128 | Activision Blizzard, Inc. | 10,113 | ||||||
24 | Adobe, Inc. | 12,823 | * | |||||
341 | Aflac, Inc. | 21,422 | ||||||
299 | Agilent Technologies, Inc. | 41,657 | ||||||
258 | AGNC Investment Corp. | 3,842 | ||||||
234 | Allstate Corp. | 28,237 | ||||||
79 | Alphabet, Inc. Class A | 213,780 | *(c) | |||||
26 | Amazon.com, Inc. | 77,778 | * | |||||
49 | American Tower Corp. | 12,323 | ||||||
1,365 | Annaly Capital Management, Inc. | 10,783 | ||||||
93 | Anthem, Inc. | 41,012 | ||||||
1,852 | Apple, Inc. | 323,693 | ||||||
313 | Applied Materials, Inc. | 43,250 | ||||||
197 | Archer-Daniels-Midland Co. | 14,775 | ||||||
21 | AutoZone, Inc. | 41,713 | * | |||||
222 | Bath & Body Works, Inc. | 12,448 | ||||||
61 | Berkshire Hathaway, Inc. Class B | 19,094 | * | |||||
17 | BlackRock, Inc. | 13,990 | ||||||
203 | Blackstone, Inc. Class A | 26,790 | ||||||
16 | Booking Holdings, Inc. | 39,298 | * | |||||
67 | Broadcom, Inc. | 39,254 | ||||||
195 | Caesars Entertainment, Inc. | 14,847 | * | |||||
156 | Carlyle Group, Inc. | 7,964 | ||||||
338 | CBRE Group, Inc. Class A | 34,253 | * | |||||
71 | Celanese Corp. | 11,055 | ||||||
300 | Cerner Corp. | 27,360 | ||||||
108 | Chubb Ltd. | 21,306 | ||||||
890 | Cisco Systems, Inc. | 49,546 | ||||||
622 | Citigroup, Inc. | 40,505 | ||||||
869 | Coca-Cola Co. | 53,018 | ||||||
382 | Cognizant Technology Solutions Corp. Class A | 32,630 | ||||||
228 | Colgate-Palmolive Co. | 18,799 | ||||||
1,440 | Comcast Corp. Class A | 71,986 | ||||||
266 | ConocoPhillips | 23,573 | ||||||
180 | Consolidated Edison, Inc. | 15,561 | ||||||
1,032 | CSX Corp. | 35,315 | ||||||
377 | CVS Health Corp. | 40,154 | ||||||
105 | Darden Restaurants, Inc. | 14,686 | ||||||
67 | Deere & Co. | 25,219 | ||||||
372 | Devon Energy Corp. | 18,812 | ||||||
71 | Dominion Energy, Inc. | 5,727 | ||||||
72 | DoorDash, Inc. Class A | 8,171 | * | |||||
136 | Dover Corp. | 23,108 | ||||||
136 | Eastman Chemical Co. | 16,174 | ||||||
283 | Electronic Arts, Inc. | 37,543 | ||||||
447 | Emerson Electric Co. | 41,102 | ||||||
126 | Etsy, Inc. | 19,792 | * | |||||
147 | Exelon Corp. | 8,519 | ||||||
82 | Extra Space Storage, Inc. | 16,252 | ||||||
192 | Ferguson PLC | 30,200 | ||||||
164 | General Mills, Inc. | 11,263 | ||||||
97 | Genuine Parts Co. | 12,923 | ||||||
530 | Gilead Sciences, Inc. | 36,400 | ||||||
160 | Goldman Sachs Group, Inc. | 56,749 | ||||||
188 | Hartford Financial Services Group, Inc. | 13,512 | ||||||
142 | Hershey Co. | 27,984 | ||||||
237 | Hilton Worldwide Holdings, Inc. | 34,391 | * | |||||
58 | IBM Corp. | 7,747 | ||||||
377 | Intel Corp. | 18,405 | ||||||
379 | Interpublic Group of Cos., Inc. | 13,470 | ||||||
69 | Intuit, Inc. | 38,311 |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^
(Unaudited) (cont’d)
Number of Shares | Value | ||||||
341 | Invesco Ltd. | $ | 7,727 | ||||
341 | JPMorgan Chase & Co. | 50,673 | |||||
1,927 | Kinder Morgan, Inc. | 33,453 | |||||
58 | KLA Corp. | 22,578 | |||||
68 | L3Harris Technologies, Inc. | 14,232 | |||||
50 | Lam Research Corp. | 29,496 | |||||
275 | LKQ Corp. | 15,095 | |||||
23 | Lockheed Martin Corp. | 8,950 | |||||
166 | Marsh & McLennan Cos., Inc. | 25,504 | |||||
7 | MasterCard, Inc. Class A | 2,705 | |||||
27 | McDonald's Corp. | 7,005 | |||||
301 | Medtronic PLC | 31,150 | |||||
555 | Merck & Co., Inc. | 45,221 | |||||
104 | MGM Resorts Int'l | 4,443 | |||||
887 | Microsoft Corp. | 275,839 | |||||
35 | Moody's Corp. | 12,005 | |||||
174 | Morgan Stanley | 17,842 | |||||
183 | Motorola Solutions, Inc. | 42,445 | |||||
150 | NIKE, Inc. Class B | 22,210 | |||||
48 | NVIDIA Corp. | 11,753 | |||||
3 | NVR, Inc. | 15,982 | * | ||||
217 | Omnicom Group, Inc. | 16,353 | |||||
376 | ONEOK, Inc. | 22,816 | |||||
395 | Oracle Corp. | 32,058 | |||||
588 | Procter & Gamble Co. | 94,345 | |||||
237 | Prologis, Inc. | 37,166 | |||||
487 | Public Service Enterprise Group, Inc. | 32,400 | |||||
97 | Public Storage | 34,777 | |||||
96 | QUALCOMM, Inc. | 16,873 | |||||
138 | Quest Diagnostics, Inc. | 18,633 | |||||
43 | Reliance Steel & Aluminum Co. | 6,574 | |||||
143 | ResMed Inc. | 32,690 | |||||
17 | S&P Global, Inc. | 7,059 | |||||
124 | Sealed Air Corp. | 8,422 | |||||
154 | Sempra Energy | 21,277 | |||||
39 | Sherwin-Williams Co. | 11,174 | |||||
53 | Snap-on, Inc. | 11,037 | |||||
72 | Southern Co. | 5,003 | |||||
69 | STERIS PLC | 15,484 | |||||
221 | T. Rowe Price Group, Inc. | 34,129 | |||||
224 | Target Corp. | 49,376 | |||||
138 | TE Connectivity Ltd. | 19,735 | |||||
71 | Tesla, Inc. | 66,507 | * | ||||
385 | Texas Instruments, Inc. | 69,104 | |||||
100 | Thermo Fisher Scientific, Inc. | 58,130 | |||||
114 | Tractor Supply Co. | 24,887 | |||||
78 | Trane Technologies PLC | 13,502 | |||||
203 | UGI Corp. | 9,206 | |||||
46 | Ulta Beauty, Inc. | 16,732 | * | ||||
238 | Union Pacific Corp. | 58,203 | |||||
153 | United Parcel Service, Inc. Class B | 30,938 | |||||
114 | UnitedHealth Group, Inc. | 53,873 | |||||
638 | Verizon Communications, Inc. | 33,961 | |||||
105 | Visa, Inc. Class A | 23,748 | |||||
39 | W.W. Grainger, Inc. | 19,309 | |||||
196 | Walmart, Inc. | 27,403 | |||||
72 | West Pharmaceutical Services, Inc. | 28,312 | |||||
1,281 | Williams Cos., Inc. | 38,353 | |||||
4,055,504 | |||||||
Total Common Stocks (Cost $5,175,074) | 5,949,783 |
Principal Amount | Value | ||||||||
U.S. Treasury Obligations 8.5% | |||||||||
$ | 35,000 | U.S. Treasury Bill, 0.09%, due 6/16/2022 | $ | 34,956 | (d) | ||||
U.S. Treasury Bonds | |||||||||
5,000 | 5.00%, due 5/15/2037 | 7,050 | |||||||
15,000 | 3.50%, due 2/15/2039 | 18,181 | |||||||
20,000 | 1.13%, due 5/15/2040 | 16,874 | |||||||
30,000 | 1.88%, due 2/15/2041–11/15/2051 | 28,546 | |||||||
55,000 | 2.25%, due 5/15/2041–8/15/2046 | 55,639 | |||||||
40,000 | 3.13%, due 11/15/2041–8/15/2044 | 46,392 | |||||||
25,000 | 2.00%, due 11/15/2041–8/15/2051 | 24,369 | |||||||
85,000 | 3.63%, due 8/15/2043–2/15/2044 | 106,280 | |||||||
175,000 | 3.00%, due 11/15/2044–2/15/2048 | 201,092 | |||||||
45,000 | 2.88%, due 8/15/2045 | 50,738 | |||||||
25,000 | 2.75%, due 8/15/2047–11/15/2047 | 27,928 | |||||||
165,000 | 2.38%, due 5/15/2051 | 174,668 | |||||||
5,405 | U.S. Treasury Inflation-Indexed Bonds, 0.25%, due 2/15/2050 | 5,993 | (e) | ||||||
15,000 | U.S. Treasury Note, 2.75%, due 4/30/2023 | 15,339 |
Total U.S. Treasury Obligations (Cost $832,975) | 814,045 | |||||
U.S. Government Agency Securities 0.2% | ||||||
10,000 | Federal Home Loan Bank, 5.50%, due 7/15/2036 (Cost $12,566) | 14,026 | ||||
Corporate Bonds 10.2% | ||||||
Belgium 0.2% | ||||||
15,000 | Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, due 2/1/2046 | 17,747 | ||||
5,000 | Anheuser-Busch InBev Worldwide, Inc., 4.60%, due 4/15/2048 | 5,721 | ||||
23,468 | ||||||
Canada 0.1% | ||||||
Canadian Natural Resources Ltd. | ||||||
5,000 | 2.95%, due 7/15/2030 | 4,982 | ||||
5,000 | 4.95%, due 6/1/2047 | 5,894 | ||||
5,000 | Rogers Communications, Inc., 4.35%, due 5/1/2049 | 5,327 | ||||
16,203 | ||||||
France 0.1% | ||||||
5,000 | Total Capital Int’l SA, 3.13%, due 5/29/2050 | 4,851 | ||||
Ireland 0.1% | ||||||
5,000 | AerCap Ireland Capital Designated Activity Co./AerCap Global Aviation Trust, 3.85%, due 10/29/2041 | 4,887 | ||||
Mexico 0.1% | ||||||
5,000 | Grupo Bimbo SAB de CV, 4.70%, due 11/10/2047 | 5,703 | (f) | |||
Netherlands 0.1% | ||||||
5,000 | Shell Int'l Finance BV, 4.00%, due 5/10/2046 | 5,543 |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^
(Unaudited) (cont’d)
Principal Amount | Value | |||||||
United Kingdom 0.6% | ||||||||
$ | 10,000 | AstraZeneca PLC, 2.13%, due 8/6/2050 | $ | 8,265 | ||||
BAT Capital Corp. | ||||||||
10,000 | 2.73%, due 3/25/2031 | 9,370 | ||||||
5,000 | 4.54%, due 8/15/2047 | 4,863 | ||||||
10,000 | BP Capital Markets PLC, 4.88%, due 3/22/2030 | 10,563 | (g)(h) | |||||
15,000 | Natwest Group PLC, 3.03%, due 11/28/2035 | 14,266 | (h) | |||||
10,000 | Vodafone Group PLC, 4.25%, due 9/17/2050 | 10,713 | ||||||
58,040 | ||||||||
United States 8.9% | ||||||||
AbbVie, Inc. | ||||||||
10,000 | 4.05%, due 11/21/2039 | 10,773 | ||||||
10,000 | 4.45%, due 5/14/2046 | 11,204 | ||||||
5,000 | Allstate Corp., 4.20%, due 12/15/2046 | 5,729 | ||||||
10,000 | Altria Group, Inc., 3.88%, due 9/16/2046 | 8,943 | ||||||
5,000 | American Int'l Group, Inc., 4.75%, due 4/1/2048 | 6,032 | ||||||
5,000 | American Water Capital Corp., 4.15%, due 6/1/2049 | 5,555 | ||||||
10,000 | Amgen, Inc., 4.40%, due 5/1/2045 | 11,028 | ||||||
10,000 | Analog Devices, Inc., 2.95%, due 10/1/2051 | 9,612 | ||||||
10,000 | Appalachian Power Co., Ser. Z, 3.70%, due 5/1/2050 | 10,272 | ||||||
10,000 | Apple, Inc., 3.75%, due 11/13/2047 | 10,930 | ||||||
5,000 | Aqua America, Inc., 4.28%, due 5/1/2049 | 5,542 | ||||||
AT&T, Inc. | ||||||||
10,000 | 3.50%, due 6/1/2041 | 9,746 | ||||||
10,000 | 3.65%, due 6/1/2051 | 9,775 | ||||||
10,000 | Baltimore Gas and Electric Co., 2.90%, due 6/15/2050 | 9,439 | ||||||
Bank of America Corp. | ||||||||
5,000 | 2.97%, due 7/21/2052 | 4,648 | (h) | |||||
10,000 | 4.08%, due 3/20/2051 | 11,238 | (h) | |||||
10,000 | 4.24%, due 4/24/2038 | 11,160 | (h) | |||||
5,000 | Berkshire Hathaway Finance Corp., 4.25%, due 1/15/2049 | 5,755 | ||||||
Boeing Co. | ||||||||
10,000 | 3.25%, due 2/1/2035 | 9,558 | ||||||
5,000 | 5.81%, due 5/1/2050 | 6,287 | (i) | |||||
5,000 | BP Capital Markets America, Inc., 2.77%, due 11/10/2050 | 4,351 | ||||||
5,000 | Bristol-Myers Squibb Co., 4.25%, due 10/26/2049 | 5,769 | ||||||
Broadcom, Inc. | ||||||||
10,000 | 3.75%, due 2/15/2051 | 9,628 | (f) | |||||
5,000 | 4.30%, due 11/15/2032 | 5,344 | ||||||
5,000 | 5.00%, due 4/15/2030 | 5,592 | ||||||
5,000 | Burlington Northern Santa Fe LLC, 4.38%, due 9/1/2042 | 5,787 | ||||||
10,000 | Capital One Financial Corp., 2.36%, due 7/29/2032 | 9,168 | (h) | |||||
10,000 | Carrier Global Corp., 2.70%, due 2/15/2031 | 9,826 | ||||||
15,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.80%, due 3/1/2050 | 15,320 | ||||||
10,000 | Cigna Corp., 4.80%, due 8/15/2038 | 11,491 | ||||||
5,000 | Citigroup, Inc., 2.98%, due 11/5/2030 | 5,029 | (h) | |||||
5,000 | Coca-Cola Co., 2.50%, due 3/15/2051 | 4,442 | ||||||
Comcast Corp. | ||||||||
10,000 | 4.00%, due 8/15/2047 | 10,818 | ||||||
10,000 | 4.65%, due 7/15/2042 | 11,589 | ||||||
5,000 | Commonwealth Edison Co., 3.70%, due 3/1/2045 | 5,251 | ||||||
5,000 | Constellation Brands, Inc., 3.75%, due 5/1/2050 | 5,101 | ||||||
Crown Castle Int'l Corp. | ||||||||
5,000 | 2.90%, due 4/1/2041 | 4,538 | ||||||
5,000 | 5.20%, due 2/15/2049 | 6,058 | ||||||
CVS Health Corp. | ||||||||
10,000 | 2.70%, due 8/21/2040 | 8,933 | ||||||
10,000 | 5.05%, due 3/25/2048 | 12,247 | (c) | |||||
5,000 | Dell Int'l LLC/EMC Corp., 6.20%, due 7/15/2030 | 6,072 | ||||||
Diamondback Energy, Inc. | ||||||||
5,000 | 3.50%, due 12/1/2029 | 5,144 | ||||||
5,000 | 4.40%, due 3/24/2051 | 5,436 | ||||||
Discovery Communications LLC | ||||||||
5,000 | 4.00%, due 9/15/2055 | 4,857 | ||||||
5,000 | 4.65%, due 5/15/2050 | 5,411 | ||||||
Duke Energy Corp. | ||||||||
5,000 | 3.50%, due 6/15/2051 | 4,906 | ||||||
5,000 | 3.75%, due 9/1/2046 | 5,095 | ||||||
10,000 | Duke Energy Progress LLC, 2.50%, due 8/15/2050 | 8,665 | ||||||
5,000 | Emerson Electric Co., 2.80%, due 12/21/2051 | 4,612 | ||||||
10,000 | Energy Transfer L.P., 5.00%, due 5/15/2050 | 10,823 | ||||||
5,000 | Entergy Texas, Inc., 3.55%, due 9/30/2049 | 5,048 | ||||||
10,000 | Enterprise Products Operating LLC, 3.20%, due 2/15/2052 | 9,008 | ||||||
5,000 | Exelon Corp., 4.70%, due 4/15/2050 | 5,926 | ||||||
10,000 | Exxon Mobil Corp., 4.23%, due 3/19/2040 | 11,321 | ||||||
Fox Corp. | ||||||||
5,000 | 5.48%, due 1/25/2039 | 6,048 | ||||||
5,000 | 5.58%, due 1/25/2049 | 6,303 | ||||||
5,000 | Freeport-McMoRan, Inc., 5.45%, due 3/15/2043 | 5,881 | ||||||
5,000 | General Motors Co., 5.00%, due 4/1/2035 | 5,634 | ||||||
5,000 | Gilead Sciences, Inc., 4.75%, due 3/1/2046 | 5,993 | ||||||
15,000 | Goldman Sachs Group, Inc., 4.02%, due 10/31/2038 | 16,225 | (h) | |||||
5,000 | HCA, Inc., 5.25%, due 6/15/2049 | 5,891 | ||||||
5,000 | Healthpeak Properties, Inc., 2.88%, due 1/15/2031 | 5,020 | ||||||
5,000 | Home Depot, Inc., 3.35%, due 4/15/2050 | 5,082 | ||||||
JPMorgan Chase & Co. | ||||||||
5,000 | 3.33%, due 4/22/2052 | 5,031 | (h) |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^
(Unaudited) (cont’d)
Principal Amount | Value | |||||||
$ | 5,000 | 4.03%, due 7/24/2048 | $ | 5,523 | (h) | |||
10,000 | 5.40%, due 1/6/2042 | 12,797 | ||||||
10,000 | Kinder Morgan, Inc., 5.55%, due 6/1/2045 | 11,901 | ||||||
5,000 | Lockheed Martin Corp., 2.80%, due 6/15/2050 | 4,655 | ||||||
5,000 | Lowe's Cos., Inc., 3.00%, due 10/15/2050 | 4,570 | ||||||
5,000 | LYB Int'l Finance III LLC, 4.20%, due 5/1/2050 | 5,360 | ||||||
5,000 | Magellan Midstream Partners L.P., 3.95%, due 3/1/2050 | 4,987 | ||||||
5,000 | Masco Corp., 4.50%, due 5/15/2047 | 5,728 | ||||||
10,000 | McDonald's Corp., 3.63%, due 9/1/2049 | 10,218 | ||||||
10,000 | Merck & Co., Inc., 2.90%, due 12/10/2061 | 9,114 | ||||||
5,000 | MetLife, Inc., 4.88%, due 11/13/2043 | 6,140 | ||||||
10,000 | Micron Technology, Inc., 3.48%, due 11/1/2051 | 9,423 | ||||||
10,000 | Microsoft Corp., 2.68%, due 6/1/2060 | 9,044 | ||||||
5,000 | MidAmerican Energy Co., 4.25%, due 5/1/2046 | 5,741 | ||||||
Morgan Stanley | ||||||||
5,000 | 4.30%, due 1/27/2045 | 5,739 | ||||||
10,000 | 4.38%, due 1/22/2047 | 11,642 | ||||||
5,000 | MPLX L.P., 5.50%, due 2/15/2049 | 5,975 | ||||||
10,000 | Nevada Power Co., Ser. EE, 3.13%, due 8/1/2050 | 9,389 | ||||||
5,000 | Norfolk Southern Corp., 3.94%, due 11/1/2047 | 5,425 | ||||||
Oracle Corp. | ||||||||
5,000 | 3.60%, due 4/1/2050 | 4,429 | ||||||
5,000 | 3.95%, due 3/25/2051 | 4,712 | ||||||
10,000 | 4.00%, due 7/15/2046 | 9,488 | ||||||
Pacific Gas and Electric Co. | ||||||||
10,000 | 3.50%, due 8/1/2050 | 8,518 | ||||||
5,000 | 4.30%, due 3/15/2045 | 4,686 | ||||||
10,000 | Pepsico, Inc., 2.75%, due 10/21/2051 | 9,482 | ||||||
10,000 | Pfizer, Inc., 2.70%, due 5/28/2050 | 9,401 | ||||||
5,000 | Public Service Co. of Colorado, 4.05%, due 9/15/2049 | 5,626 | ||||||
5,000 | Raytheon Technologies Corp., 4.35%, due 4/15/2047 | 5,730 | ||||||
10,000 | Royalty Pharma PLC, 2.20%, due 9/2/2030 | 9,259 | ||||||
10,000 | salesforce.com, Inc., 2.70%, due 7/15/2041 | 9,422 | ||||||
Southern California Edison Co. | ||||||||
5,000 | Ser. 20A, 2.95%, due 2/1/2051 | 4,479 | ||||||
5,000 | Ser. B, 4.88%, due 3/1/2049 | 5,661 | ||||||
10,000 | Southwestern Public Service Co., 3.15%, due 5/1/2050 | 9,834 | ||||||
10,000 | Starbucks Corp., 3.50%, due 11/15/2050 | 9,893 | ||||||
5,000 | Sysco Corp., 6.60%, due 4/1/2050 | 7,292 | (i) | |||||
T-Mobile USA, Inc. | ||||||||
10,000 | 4.38%, due 4/15/2040 | 10,729 | ||||||
5,000 | 4.50%, due 4/15/2050 | 5,478 | ||||||
5,000 | Union Pacific Corp., 3.80%, due 10/1/2051 | 5,428 | ||||||
5,000 | United Technologies Corp., 4.50%, due 6/1/2042 | 5,784 | ||||||
5,000 | UnitedHealth Group, Inc., 4.20%, due 1/15/2047 | 5,643 | ||||||
10,000 | Upjohn, Inc., 3.85%, due 6/22/2040 | 9,981 | ||||||
Verizon Communications, Inc. | ||||||||
5,000 | 3.40%, due 3/22/2041 | 4,951 | ||||||
5,000 | 3.70%, due 3/22/2061 | 5,012 | ||||||
10,000 | 4.13%, due 8/15/2046 | 10,899 | ||||||
10,000 | ViacomCBS, Inc., 4.20%, due 5/19/2032 | 10,851 | ||||||
5,000 | Virginia Electric and Power Co., 2.45%, due 12/15/2050 | 4,267 | ||||||
10,000 | Walmart, Inc., 2.50%, due 9/22/2041 | 9,470 | ||||||
5,000 | Walt Disney Co., 4.70%, due 3/23/2050 | 6,158 | ||||||
Wells Fargo & Co. | ||||||||
10,000 | 3.07%, due 4/30/2041 | 9,646 | (h) | |||||
5,000 | 5.01%, due 4/4/2051 | 6,405 | (h) | |||||
860,925 | ||||||||
Total Corporate Bonds (Cost $1,036,283) | 979,620 | |||||||
Number of Shares | ||||||||
Exchange-Traded Funds 16.0% | ||||||||
28,573 | iShares Core International Aggregate Bond ETF (Cost $1,574,517) | 1,537,227 | ||||||
Short-Term Investments 2.0% | ||||||||
Investment Companies 2.0% | ||||||||
190,568 | State Street Institutional U.S. Government Money Market Fund Premier Class, 0.03%(j) (Cost $190,568) | 190,568 | (c) | |||||
Total Investments 98.9% (Cost $8,821,983) | 9,485,269 | |||||||
Other Assets Less Liabilities 1.1% | 105,722 | (k) | ||||||
Net Assets 100.0% | $ | 9,590,991 |
* | 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) | 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 January 31, 2022 amounted to $7,337, which represents 0.1% of net assets of the Fund. |
(c) | All or a portion of this security is segregated in connection with obligations for written options, swaps, futures and/or forward foreign currency contracts with a total value of $416,594. |
(d) | Rate shown was the discount rate at the date of purchase. |
(e) | Index-linked bond whose principal amount adjusts according to a government retail price index. |
(f) | 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 January 31, 2022, these securities amounted to $15,331, which represents 0.2% of net assets of the Fund. |
(g) | 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. |
(h) | 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. |
(i) | 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 January 31, 2022. |
(j) | Represents 7-day effective yield as of January 31, 2022. |
(k) | Includes the impact of the Fund's open positions in derivatives at January 31, 2022. |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^
(Unaudited) (cont’d)
POSITIONS BY INDUSTRY | ||||||||
Industry | Investments at Value | Percentage of Net Assets | ||||||
Exchange-Traded Funds* | $ | 1,537,227 | 16.0 | % | ||||
U.S. Treasury Obligations | 814,045 | 8.5 | % | |||||
Software | 439,233 | 4.6 | % | |||||
Banks | 434,767 | 4.5 | % | |||||
Technology Hardware, Storage & Peripherals | 365,607 | 3.8 | % | |||||
Pharmaceuticals | 342,174 | 3.6 | % | |||||
Semiconductors & Semiconductor Equipment | 268,375 | 2.8 | % | |||||
Capital Markets | 236,485 | 2.5 | % | |||||
Oil, Gas & Consumable Fuels | 221,506 | 2.3 | % | |||||
Insurance | 217,796 | 2.3 | % | |||||
Interactive Media & Services | 213,780 | 2.2 | % | |||||
IT Services | 211,572 | 2.2 | % | |||||
Media | 188,312 | 2.0 | % | |||||
Health Care Providers & Services | 166,383 | 1.7 | % | |||||
Hotels, Restaurants & Leisure | 128,932 | 1.3 | % | |||||
Life Sciences Tools & Services | 128,099 | 1.3 | % | |||||
Food & Staples Retailing | 127,015 | 1.3 | % | |||||
Food Products | 123,587 | 1.3 | % | |||||
Chemicals | 120,820 | 1.3 | % | |||||
Household Products | 113,144 | 1.2 | % | |||||
Electric | 112,803 | 1.2 | % | |||||
Biotechnology | 112,097 | 1.2 | % | |||||
Metals & Mining | 109,866 | 1.1 | % | |||||
Equity Real Estate Investment Trusts | 108,235 | 1.1 | % | |||||
Specialty Retail | 106,004 | 1.1 | % | |||||
Internet & Direct Marketing Retail | 105,741 | 1.1 | % | |||||
Automobiles | 102,056 | 1.1 | % | |||||
Beverages | 101,738 | 1.1 | % | |||||
Diversified Telecommunication Services | 95,489 | 1.0 | % | |||||
Road & Rail | 93,518 | 1.0 | % | |||||
Communications Equipment | 91,991 | 1.0 | % | |||||
Health Care Equipment & Supplies | 86,972 | 0.9 | % | |||||
Textiles, Apparel & Luxury Goods | 81,681 | 0.8 | % | |||||
Air Freight & Logistics | 79,272 | 0.8 | % | |||||
Trading Companies & Distributors | 76,639 | 0.8 | % | |||||
Multi-Utilities | 74,965 | 0.8 | % | |||||
Telecommunications | 72,630 | 0.7 | % | |||||
Machinery | 71,114 | 0.7 | % | |||||
Electrical Equipment | 69,605 | 0.7 | % | |||||
Professional Services | 66,400 | 0.7 | % | |||||
Marine | 62,974 | 0.7 | % | |||||
Real Estate Management & Development | 62,741 | 0.6 | % | |||||
Oil & Gas | 58,085 | 0.6 | % | |||||
Aerospace & Defense | 55,196 | 0.6 | % | |||||
Auto Components | 53,549 | 0.6 | % | |||||
Electric Utilities | 53,505 | 0.5 | % | |||||
Diversified Financial Services | 53,389 | 0.5 | % | |||||
Multiline Retail | 49,376 | 0.5 | % | |||||
Household Durables | 49,335 | 0.5 | % | |||||
Entertainment | 47,656 | 0.5 | % | |||||
Pipelines | 42,694 | 0.4 | % | |||||
Semiconductors | 39,599 | 0.4 | % |
Building Products | 39,320 | 0.4 | % | |||||
Retail | 39,233 | 0.4 | % | |||||
Wireless Telecommunication Services | 36,837 | 0.4 | % | |||||
Distributors | 28,018 | 0.3 | % | |||||
Industrial Conglomerates | 27,891 | 0.3 | % | |||||
Health Care Technology | 27,360 | 0.3 | % | |||||
Gas Utilities | 24,765 | 0.3 | % | |||||
Agriculture | 23,176 | 0.2 | % | |||||
Electronic Equipment, Instruments & Components | 19,735 | 0.2 | % | |||||
Computers | 17,002 | 0.2 | % | |||||
Transportation | 16,640 | 0.2 | % |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^
(Unaudited) (cont’d)
Real Estate Investment Trusts | 15,616 | 0.2 | % | |||||
Building Materials | 15,554 | 0.2 | % | |||||
Mortgage Real Estate Investment Trusts | 14,625 | 0.2 | % | |||||
U.S. Government Agency Securities | 14,026 | 0.2 | % | |||||
Food | 12,995 | 0.1 | % | |||||
Healthcare - Services | 11,534 | 0.1 | % | |||||
Water | 11,097 | 0.1 | % | |||||
Construction Materials | 10,229 | 0.1 | % | |||||
Construction & Engineering | 8,487 | 0.1 | % | |||||
Containers & Packaging | 8,422 | 0.1 | % | |||||
Paper & Forest Products | 8,238 | 0.1 | % | |||||
Mining | 5,881 | 0.1 | % | |||||
Auto Manufacturers | 5,634 | 0.1 | % | |||||
Electrical Components & Equipment | 4,612 | 0.0 | %(a) | |||||
Personal Products | 2,000 | 0.0 | %(a) | |||||
Short-Term Investments and Other Assets-Net | 296,290 | 3.1 | % | |||||
$ | 9,590,991 | 100.0 | % |
(a) | Represents less than 0.05% of net assets of the Fund. |
* | Each position is an Investment Company registered under the 1940 Act, as amended, and is not treated as an industry for purposes of the Fund’s policy on industry concentration. This represents the aggregate of all investment companies. |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^
(Unaudited) (cont’d)
Derivative Instruments
Futures contracts ("futures")
At January 31, 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) | ||||||||||
3/2022 | 2 | MSCI Emerging Markets Index | $ | 122,480 | $ | 4,224 | ||||||||
3/2022 | 1 | S&P 500 E-Mini Index | 225,213 | 7,141 | ||||||||||
Total Long Positions | $ | 347,693 | $ | 11,365 | ||||||||||
Short Futures: |
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||
3/2022 | 1 | Euro-Bund | $ | (189,987 | ) | $ | 6,213 | |||||||
3/2022 | 1 | Euro-Buxl Bond, 30 Year | (228,397 | ) | 16,470 | |||||||||
3/2022 | 1 | S&P 500 E-Mini Index | (225,213 | ) | (4,211 | ) | ||||||||
3/2022 | 3 | U.S. Treasury Note, 5 Year | (357,609 | ) | 1,254 | |||||||||
3/2022 | 1 | U.S. Treasury Ultra Bond | (188,938 | ) | 3,265 | |||||||||
Total Short Positions | $ | (1,190,144 | ) | $ | 22,991 | |||||||||
Total Futures | $ | 34,356 |
At January 31, 2022, the Fund has $68,343 deposited in a segregated account to cover margin requirements on open futures..
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^
(Unaudited) (cont’d)
Forward foreign currency contracts ("forward FX contracts")
At January 31, 2022, open forward FX contracts for the Fund were as follows:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
803,880 | BRL | 145,000 | USD | GSI | 4/28/2022 | $ | 3,027 | ||||||||||
66,156,376 | JPY | 572,000 | USD | GSI | 2/14/2022 | 2,925 | |||||||||||
190,000 | USD | 21,620,100 | JPY | GSI | 2/14/2022 | 2,113 | |||||||||||
190,000 | USD | 21,627,510 | JPY | GSI | 2/14/2022 | 2,048 | |||||||||||
82,538 | USD | 98,319,061 | KRW | GSI | 2/25/2022 | 1,033 | |||||||||||
Total unrealized appreciation | $ | 11,146 | |||||||||||||||
145,000 | USD | 129,812 | EUR | GSI | 4/26/2022 | (1,136 | ) | ||||||||||
192,000 | USD | 22,163,904 | JPY | GSI | 2/14/2022 | (613 | ) | ||||||||||
98,301,000 | KRW | 84,000 | USD | GSI | 2/25/2022 | (2,510 | ) | ||||||||||
Total unrealized depreciation | $ | (4,259 | ) | ||||||||||||||
Total net unrealized appreciation | $ | 6,887 |
Total return basket swap contracts ("total return basket swaps")
At January 31, 2022, the Fund had outstanding total return basket swaps(a) as follows:
Over-the-counter total return basket swaps - Long (b)
Counterparty | Reference Entity | Effective Variable Rate(d) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Maturity Date(s) | Value | |||||||||||||||
GSI | GSCBNBDE | 0.58 | % | 0.50 | % | FEDL01 | T/1M | 6/2/2022 | $ | 167 | ||||||||||||
GSI | GSCBNBDE | 0.50 | % | 0.45 | % | SOFR | T/1M | 6/2/2022 | 122 | |||||||||||||
GSI | GSCBNBRO | 0.55 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2/20/2022 | 102 | |||||||||||||
Total | $ | 391 |
(a) The following table represents required component disclosures associated with the total return basket swaps:
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
GSCBNBDE | ||||||||||||||||
Apple Inc. | 11 | $ | 6,964 | $ | 19 | 12.6 | % | |||||||||
Microsoft Corp. | 5 | 5,864 | 16 | 10.6 | % | |||||||||||
Amazon.com Inc. | — | 3,211 | 9 | 5.8 | % | |||||||||||
Johnson & Johnson | 2 | 1,139 | 3 | 2.1 | % | |||||||||||
UnitedHealth Group Inc. | 1 | 1,130 | 3 | 2.0 | % | |||||||||||
Procter & Gamble Co./The | 2 | 1,002 | 3 | 1.8 | % | |||||||||||
Home Depot Inc./The | 1 | 985 | 3 | 1.8 | % | |||||||||||
Visa Inc. | 1 | 962 | 3 | 1.7 | % | |||||||||||
Mastercard Inc. | 1 | 857 | 2 | 1.5 | % | |||||||||||
Pfizer Inc. | 4 | 731 | 2 | 1.3 | % | |||||||||||
Adobe Inc. | — | 643 | 2 | 1.2 | % | |||||||||||
AbbVie Inc. | 1 | 607 | 2 | 1.1 | % | |||||||||||
PepsiCo Inc. | 1 | 601 | 2 | 1.1 | % | |||||||||||
Coca-Cola Co./The | 3 | 594 | 2 | 1.1 | % | |||||||||||
Cisco Systems Inc./Delaware | 3 | 591 | 2 | 1.1 | % | |||||||||||
Thermo Fisher Scientific Inc. | — | 590 | 2 | 1.1 | % | |||||||||||
Accenture PLC | — | 572 | 2 | 1.0 | % | |||||||||||
Abbott Laboratories | 1 | 570 | 2 | 1.0 | % | |||||||||||
Costco Wholesale Corp. | — | 568 | 2 | 1.0 | % | |||||||||||
Verizon Communications Inc. | 3 | 556 | 2 | 1.0 | % | |||||||||||
salesforce.com Inc. | 1 | 533 | 1 | 1.0 | % | |||||||||||
Merck & Co Inc. | 2 | 517 | 1 | 0.9 | % | |||||||||||
PayPal Holdings Inc. | 1 | 510 | 1 | 0.9 | % | |||||||||||
Walmart Inc. | 1 | 490 | 1 | 0.9 | % | |||||||||||
McDonald's Corp. | 1 | 490 | 1 | 0.9 | % | |||||||||||
Eli Lilly & Co. | 1 | 487 | 1 | 0.9 | % |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^
(Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
GSCBNBDE (cont’d) | ||||||||||||||||
Danaher Corp. | — | $ | 459 | $ | 1 | 0.8 | % | |||||||||
AT&T Inc. | 5 | 458 | 1 | 0.8 | % | |||||||||||
Lowe's Cos Inc. | — | 436 | 1 | 0.8 | % | |||||||||||
Philip Morris International Inc. | 1 | 402 | 1 | 0.7 | % | |||||||||||
Oracle Corp. | 1 | 394 | 1 | 0.7 | % | |||||||||||
NextEra Energy Inc. | 1 | 387 | 1 | 0.7 | % | |||||||||||
Intuit Inc. | — | 370 | 1 | 0.7 | % | |||||||||||
Bristol-Myers Squibb Co. | 2 | 367 | 1 | 0.7 | % | |||||||||||
Medtronic PLC | 1 | 352 | 1 | 0.6 | % | |||||||||||
CVS Health Corp. | 1 | 352 | 1 | 0.6 | % | |||||||||||
Amgen Inc. | — | 328 | 1 | 0.6 | % | |||||||||||
International Business Machines Corp. | 1 | 301 | 1 | 0.5 | % | |||||||||||
Prologis Inc. | 1 | 289 | 1 | 0.5 | % | |||||||||||
ServiceNow Inc. | — | 287 | 1 | 0.5 | % | |||||||||||
Starbucks Corp. | 1 | 285 | 1 | 0.5 | % | |||||||||||
Target Corp. | — | 280 | 1 | 0.5 | % | |||||||||||
American Tower Corp. | — | 277 | 1 | 0.5 | % | |||||||||||
Anthem Inc. | — | 276 | 1 | 0.5 | % | |||||||||||
Booking Holdings Inc. | — | 258 | 1 | 0.5 | % | |||||||||||
Intuitive Surgical Inc. | — | 256 | 1 | 0.5 | % | |||||||||||
Altria Group Inc. | 1 | 241 | 1 | 0.4 | % | |||||||||||
Mondelez International Inc. | 1 | 240 | 1 | 0.4 | % | |||||||||||
Zoetis Inc. | — | 239 | 1 | 0.4 | % | |||||||||||
Automatic Data Processing Inc. | — | 224 | 1 | 0.4 | % | |||||||||||
Other Securities | 43 | 15,906 | 42 | 28.8 | % | |||||||||||
$ | 55,428 | $ | 155 | |||||||||||||
Accrued Net Interest Receivable/(Payable) | 12 | |||||||||||||||
$ | 167 | |||||||||||||||
GSCBNBDE | ||||||||||||||||
Apple Inc. | 5 | $ | 3,062 | $ | 15 | 12.6 | % | |||||||||
Microsoft Corp. | 2 | 2,578 | 13 | 10.6 | % | |||||||||||
Amazon.com Inc. | — | 1,411 | 7 | 5.8 | % | |||||||||||
Johnson & Johnson | 1 | 500 | 3 | 2.1 | % | |||||||||||
UnitedHealth Group Inc. | — | 497 | 2 | 2.0 | % | |||||||||||
Procter & Gamble Co./The | 1 | 440 | 2 | 1.8 | % | |||||||||||
Home Depot Inc./The | — | 433 | 2 | 1.8 | % | |||||||||||
Visa Inc. | 1 | 423 | 2 | 1.7 | % | |||||||||||
Mastercard Inc. | — | 377 | 2 | 1.5 | % | |||||||||||
Pfizer Inc. | 2 | 321 | 2 | 1.3 | % | |||||||||||
Adobe Inc. | — | 283 | 1 | 1.2 | % | |||||||||||
AbbVie Inc. | 1 | 267 | 1 | 1.1 | % | |||||||||||
PepsiCo Inc. | 1 | 264 | 1 | 1.1 | % | |||||||||||
Coca-Cola Co./The | 1 | 261 | 1 | 1.1 | % | |||||||||||
Cisco Systems Inc./Delaware | 1 | 260 | 1 | 1.1 | % | |||||||||||
Thermo Fisher Scientific Inc. | — | 259 | 1 | 1.1 | % | |||||||||||
Accenture PLC | — | 251 | 1 | 1.0 | % | |||||||||||
Abbott Laboratories | 1 | 251 | 1 | 1.0 | % | |||||||||||
Costco Wholesale Corp. | — | 250 | 1 | 1.0 | % | |||||||||||
Verizon Communications Inc. | 1 | 244 | 1 | 1.0 | % | |||||||||||
salesforce.com Inc. | — | 234 | 1 | 1.0 | % | |||||||||||
Merck & Co. Inc. | 1 | 227 | 1 | 0.9 | % | |||||||||||
PayPal Holdings Inc. | — | 224 | 1 | 0.9 | % | |||||||||||
Walmart Inc. | 1 | 215 | 1 | 0.9 | % | |||||||||||
McDonald's Corp. | — | 215 | 1 | 0.9 | % | |||||||||||
Eli Lilly & Co. | — | 214 | 1 | 0.9 | % | |||||||||||
Danaher Corp. | — | 202 | 1 | 0.8 | % | |||||||||||
AT&T Inc. | 2 | 201 | 1 | 0.8 | % | |||||||||||
Lowe's Cos Inc. | — | 192 | 1 | 0.8 | % | |||||||||||
Philip Morris International Inc. | 1 | 177 | 1 | 0.7 | % | |||||||||||
Oracle Corp. | 1 | 173 | 1 | 0.7 | % | |||||||||||
NextEra Energy Inc. | 1 | 170 | 1 | 0.7 | % | |||||||||||
Intuit Inc. | — | 162 | 1 | 0.7 | % | |||||||||||
Bristol-Myers Squibb Co. | 1 | 161 | 1 | 0.7 | % |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^
(Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
GSCBNBDE (cont’d) | ||||||||||||||||
Medtronic PLC | — | $ | 155 | $ | 1 | 0.6 | % | |||||||||
CVS Health Corp. | — | 155 | 1 | 0.6 | % | |||||||||||
Amgen Inc. | — | 144 | 1 | 0.6 | % | |||||||||||
International Business Machines Corp. | — | 132 | 1 | 0.5 | % | |||||||||||
Prologis Inc. | — | 127 | 1 | 0.5 | % | |||||||||||
ServiceNow Inc. | — | 126 | 1 | 0.5 | % | |||||||||||
Starbucks Corp. | — | 125 | 1 | 0.5 | % | |||||||||||
Target Corp. | — | 123 | 1 | 0.5 | % | |||||||||||
American Tower Corp. | — | 122 | 1 | 0.5 | % | |||||||||||
Anthem Inc. | — | 121 | 1 | 0.5 | % | |||||||||||
Booking Holdings Inc. | — | 114 | 1 | 0.5 | % | |||||||||||
Intuitive Surgical Inc. | — | 112 | 1 | 0.5 | % | |||||||||||
Altria Group Inc. | 1 | 106 | 1 | 0.4 | % | |||||||||||
Mondelez International Inc. | 1 | 105 | — | 0.4 | % | |||||||||||
Zoetis Inc. | — | 105 | — | 0.4 | % | |||||||||||
Automatic Data Processing Inc. | — | 99 | — | 0.4 | % | |||||||||||
Other Securities | 19 | 6,997 | 35 | 28.8 | % | |||||||||||
$ | 24,367 | $ | 122 | |||||||||||||
Accrued Net Interest Receivable/(Payable) | — | |||||||||||||||
$ | 122 | |||||||||||||||
GSCBNBRO | ||||||||||||||||
Kohl's Corp. | 7 | $ | 1,329 | $ | 6 | 5.1 | % | |||||||||
Wells Fargo & Co. | 6 | 1,059 | 5 | 4.1 | % | |||||||||||
Simon Property Group Inc. | 2 | 1,022 | 4 | 3.9 | % | |||||||||||
Kimco Realty Corp. | 12 | 990 | 4 | 3.8 | % | |||||||||||
Zions Bancorp NA | 4 | 980 | 4 | 3.8 | % | |||||||||||
CBRE Group Inc. | 3 | 938 | 4 | 3.6 | % | |||||||||||
Regency Centers Corp. | 4 | 860 | 4 | 3.3 | % | |||||||||||
Textron Inc. | 4 | 844 | 4 | 3.2 | % | |||||||||||
Nordstrom Inc. | 10 | 783 | 3 | 3.0 | % | |||||||||||
UDR Inc. | 4 | 775 | 3 | 3.0 | % | |||||||||||
Federal Realty Investment Trust | 2 | 771 | 3 | 3.0 | % | |||||||||||
Equity Residential | 3 | 770 | 3 | 3.0 | % | |||||||||||
Prudential Financial Inc. | 2 | 758 | 3 | 2.9 | % | |||||||||||
Loews Corp. | 4 | 751 | 3 | 2.9 | % | |||||||||||
Marriott International Inc./MD | 1 | 742 | 3 | 2.9 | % | |||||||||||
Essex Property Trust Inc. | 1 | 741 | 3 | 2.9 | % | |||||||||||
General Electric Co. | 2 | 729 | 3 | 2.8 | % | |||||||||||
Host Hotels & Resorts Inc. | 12 | 712 | 3 | 2.7 | % | |||||||||||
Huntington Bancshares Inc./OH | 14 | 701 | 3 | 2.7 | % | |||||||||||
PVH Corp. | 2 | 688 | 3 | 2.6 | % | |||||||||||
US Bancorp. | 3 | 669 | 3 | 2.6 | % | |||||||||||
Ralph Lauren Corp. | 2 | 667 | 3 | 2.6 | % | |||||||||||
Raytheon Technologies Corp. | 2 | 657 | 3 | 2.5 | % | |||||||||||
SL Green Realty Corp. | 3 | 650 | 3 | 2.5 | % | |||||||||||
Boston Properties Inc. | 2 | 649 | 3 | 2.4 | % | |||||||||||
Carnival Corp. | 9 | 633 | 3 | 2.4 | % | |||||||||||
Alaska Air Group Inc. | 3 | 626 | 3 | 2.4 | % | |||||||||||
Royal Caribbean Cruises Ltd. | 2 | 595 | 3 | 2.3 | % | |||||||||||
American Airlines Group Inc. | 11 | 595 | 3 | 2.3 | % | |||||||||||
Norwegian Cruise Line Holdings Ltd. | 8 | 578 | 3 | 2.2 | % | |||||||||||
Delta Air Lines Inc. | 4 | 567 | 2 | 2.2 | % | |||||||||||
United Airlines Holdings Inc. | 4 | 565 | 2 | 2.2 | % | |||||||||||
Vornado Realty Trust | 4 | 542 | 2 | 2.1 | % | |||||||||||
Boeing Co./The | 1 | 539 | 2 | 2.1 | % | |||||||||||
Southwest Airlines Co. | 3 | 507 | 2 | 2.0 | % | |||||||||||
$ | 25,982 | $ | 111 | |||||||||||||
Accrued Net Interest Receivable/(Payable) | (9 | ) | ||||||||||||||
$ | 102 | |||||||||||||||
Total Return Basket Swaps — Long, at value | $ | 391 |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^
(Unaudited) (cont’d)
Over-the-counter total return basket swaps - Short (c) | ||||||||||||||||||||||
Counterparty | Reference Entity | Effective Variable Rate(d) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Maturity Date(s) | Value | |||||||||||||||
GSI | GSCBNBST | 0.10 | % | — | % | 1M USD LIBOR | 1M/T | 2/22/2022 | $ | 3,237 | ||||||||||||
GSI | GSSBCYCL | 0.08 | % | — | % | FEDL01 | 1M/T | 6/2/2022 | 772 | |||||||||||||
GSI | GSSBCYCL | 0.05 | % | — | % | SOFR | 1M/T | 6/2/2022 | (464 | ) | ||||||||||||
Total | $ | 3,545 |
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
GSCBNBST | ||||||||||||||||
CVS Health Corp. | (3 | ) | $ | (768 | ) | $ | 108 | 3.3 | % | |||||||
General Mills Inc. | (4 | ) | (721 | ) | 102 | 3.1 | % | |||||||||
NetEase Inc. | (3 | ) | (711 | ) | 100 | 3.1 | % | |||||||||
Constellation Brands Inc. | (1 | ) | (681 | ) | 96 | 3.0 | % | |||||||||
Costco Wholesale Corp. | (1 | ) | (675 | ) | 95 | 2.9 | % | |||||||||
Keurig Dr Pepper Inc. | (7 | ) | (669 | ) | 94 | 2.9 | % | |||||||||
Advanced Micro Devices Inc. | (2 | ) | (668 | ) | 94 | 2.9 | % | |||||||||
Zynga Inc. | (30 | ) | (662 | ) | 93 | 2.9 | % | |||||||||
STERIS PLC | (1 | ) | (644 | ) | 91 | 2.8 | % | |||||||||
Conagra Brands Inc. | (8 | ) | (643 | ) | 91 | 2.8 | % | |||||||||
Take-Two Interactive Software Inc. | (2 | ) | (638 | ) | 90 | 2.8 | % | |||||||||
Campbell Soup Co. | (6 | ) | (635 | ) | 89 | 2.8 | % | |||||||||
Akamai Technologies Inc. | (2 | ) | (629 | ) | 89 | 2.7 | % | |||||||||
Kellogg Co. | (4 | ) | (622 | ) | 88 | 2.7 | % | |||||||||
Clorox Co./The | (1 | ) | (613 | ) | 86 | 2.7 | % | |||||||||
Activision Blizzard Inc. | (3 | ) | (613 | ) | 86 | 2.7 | % | |||||||||
Verizon Communications Inc. | (5 | ) | (603 | ) | 85 | 2.6 | % | |||||||||
Citrix Systems Inc. | (2 | ) | (593 | ) | 84 | 2.6 | % | |||||||||
Walmart Inc. | (2 | ) | (589 | ) | 83 | 2.6 | % | |||||||||
Kroger Co./The | (5 | ) | (584 | ) | 82 | 2.6 | % | |||||||||
Dollar General Corp. | (1 | ) | (579 | ) | 82 | 2.5 | % | |||||||||
AT&T Inc. | (9 | ) | (573 | ) | 81 | 2.5 | % | |||||||||
Electronic Arts Inc. | (2 | ) | (571 | ) | 80 | 2.5 | % | |||||||||
Intel Corp. | (5 | ) | (567 | ) | 80 | 2.5 | % | |||||||||
Target Corp. | (1 | ) | (559 | ) | 79 | 2.4 | % | |||||||||
salesforce.com Inc. | (1 | ) | (550 | ) | 77 | 2.4 | % | |||||||||
Domino's Pizza Inc. | (1 | ) | (542 | ) | 76 | 2.4 | % | |||||||||
Amazon.com Inc. | — | (527 | ) | 74 | 2.3 | % | ||||||||||
BJ's Wholesale Club Holdings Inc. | (3 | ) | (513 | ) | 72 | 2.2 | % | |||||||||
Spotify Technology SA | (1 | ) | (487 | ) | 69 | 2.1 | % | |||||||||
RingCentral Inc. | (1 | ) | (464 | ) | 65 | 2.0 | % | |||||||||
Charter Communications Inc. | — | (463 | ) | 65 | 2.0 | % | ||||||||||
Netflix Inc. | — | (438 | ) | 62 | 1.9 | % | ||||||||||
Shopify Inc. | — | (402 | ) | 57 | 1.8 | % | ||||||||||
Fastly Inc. | (6 | ) | (398 | ) | 56 | 1.7 | % | |||||||||
Twitter Inc. | (4 | ) | (374 | ) | 53 | 1.6 | % | |||||||||
Teladoc Health Inc. | (2 | ) | (340 | ) | 48 | 1.5 | % | |||||||||
Zoom Video Communications Inc. | (1 | ) | (325 | ) | 46 | 1.4 | % | |||||||||
Altice USA Inc. | (9 | ) | (320 | ) | 45 | 1.4 | % | |||||||||
Roku Inc. | (1 | ) | (303 | ) | 43 | 1.3 | % | |||||||||
DocuSign Inc. | (1 | ) | (277 | ) | 39 | 1.2 | % | |||||||||
Interactive Brokers Group Inc. | (2 | ) | (263 | ) | 37 | 1.1 | % | |||||||||
Peloton Interactive Inc. | (3 | ) | (174 | ) | 24 | 0.8 | % | |||||||||
$ | (22,970 | ) | $ | 3,236 | ||||||||||||
Accrued Net Interest Receivable/(Payable) | 1 | |||||||||||||||
$ | 3,237 | |||||||||||||||
GSSBCYCL | ||||||||||||||||
Alphabet Inc. | — | $ | (2,840 | ) | $ | 40 | 5.2 | % | ||||||||
Tesla Inc. | (1 | ) | (2,631 | ) | 37 | 4.8 | % | |||||||||
Meta Platforms Inc. | (2 | ) | (2,614 | ) | 37 | 4.8 | % | |||||||||
Berkshire Hathaway Inc. | (2 | ) | (2,184 | ) | 31 | 4.0 | % | |||||||||
NVIDIA Corp. | (2 | ) | (2,131 | ) | 30 | 3.9 | % |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^
(Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
GSSBCYCL (cont’d) | ||||||||||||||||
JPMorgan Chase & Co. | (3 | ) | $ | (1,623 | ) | $ | 23 | 3.0 | % | |||||||
Bank of America Corp. | (7 | ) | (1,247 | ) | 18 | 2.3 | % | |||||||||
Exxon Mobil Corp. | (4 | ) | (1,162 | ) | 16 | 2.1 | % | |||||||||
WALT DISNEY CO./THE | (2 | ) | (929 | ) | 13 | 1.7 | % | |||||||||
Chevron Corp. | (2 | ) | (917 | ) | 13 | 1.7 | % | |||||||||
Broadcom Inc. | (1 | ) | (826 | ) | 12 | 1.5 | % | |||||||||
Comcast Corp. | (4 | ) | (801 | ) | 11 | 1.5 | % | |||||||||
Wells Fargo & Co. | (4 | ) | (795 | ) | 11 | 1.5 | % | |||||||||
Intel Corp. | (4 | ) | (698 | ) | 10 | 1.3 | % | |||||||||
QUALCOMM Inc. | (1 | ) | (693 | ) | 10 | 1.3 | % | |||||||||
Netflix Inc. | — | (663 | ) | 9 | 1.2 | % | ||||||||||
NIKE Inc. | (1 | ) | (659 | ) | 9 | 1.2 | % | |||||||||
Linde PLC | (1 | ) | (588 | ) | 8 | 1.1 | % | |||||||||
Union Pacific Corp. | (1 | ) | (586 | ) | 8 | 1.1 | % | |||||||||
Texas Instruments Inc. | (1 | ) | (576 | ) | 8 | 1.1 | % | |||||||||
Morgan Stanley | (1 | ) | (554 | ) | 8 | 1.0 | % | |||||||||
Honeywell International Inc. | (1 | ) | (519 | ) | 7 | 1.0 | % | |||||||||
United Parcel Service Inc. | (1 | ) | (512 | ) | 7 | 0.9 | % | |||||||||
Raytheon Technologies Corp. | (1 | ) | (493 | ) | 7 | 0.9 | % | |||||||||
Citigroup Inc. | (2 | ) | (486 | ) | 7 | 0.9 | % | |||||||||
Advanced Micro Devices Inc. | (1 | ) | (485 | ) | 7 | 0.9 | % | |||||||||
Charles Schwab Corp./The | (1 | ) | (469 | ) | 7 | 0.9 | % | |||||||||
ConocoPhillips | (1 | ) | (437 | ) | 6 | 0.8 | % | |||||||||
Applied Materials Inc. | (1 | ) | (433 | ) | 6 | 0.8 | % | |||||||||
American Express Co. | (1 | ) | (426 | ) | 6 | 0.8 | % | |||||||||
Deere & Co. | — | (419 | ) | 6 | 0.8 | % | ||||||||||
BlackRock Inc. | — | (411 | ) | 6 | 0.8 | % | ||||||||||
Caterpillar Inc. | (1 | ) | (395 | ) | 6 | 0.7 | % | |||||||||
Boeing Co./The | (1 | ) | (392 | ) | 6 | 0.7 | % | |||||||||
General Electric Co. | (1 | ) | (372 | ) | 5 | 0.7 | % | |||||||||
S&P Global Inc. | — | (357 | ) | 5 | 0.7 | % | ||||||||||
3M Co. | (1 | ) | (344 | ) | 5 | 0.6 | % | |||||||||
Lockheed Martin Corp. | — | (339 | ) | 5 | 0.6 | % | ||||||||||
Chubb Ltd. | — | (319 | ) | 4 | 0.6 | % | ||||||||||
Micron Technology Inc. | (1 | ) | (315 | ) | 4 | 0.6 | % | |||||||||
PNC Financial Services Group Inc./The | — | (312 | ) | 4 | 0.6 | % | ||||||||||
Analog Devices Inc. | (1 | ) | (308 | ) | 4 | 0.6 | % | |||||||||
Truist Financial Corp. | (1 | ) | (306 | ) | 4 | 0.6 | % | |||||||||
Charter Communications Inc. | — | (300 | ) | 4 | 0.5 | % | ||||||||||
Ford Motor Co. | (4 | ) | (297 | ) | 4 | 0.5 | % | |||||||||
Lam Research Corp. | — | (295 | ) | 4 | 0.5 | % | ||||||||||
CME Group Inc. | — | (295 | ) | 4 | 0.5 | % | ||||||||||
US Bancorp. | (1 | ) | (283 | ) | 4 | 0.5 | % | |||||||||
CSX Corp. | (2 | ) | (283 | ) | 4 | 0.5 | % | |||||||||
Marsh & McLennan Cos Inc. | — | (276 | ) | 4 | 0.5 | % | ||||||||||
Other Securities | (62 | ) | (17,984 | ) | 256 | 32.7 | % | |||||||||
$ | (54,579 | ) | $ | 770 | ||||||||||||
Accrued Net Interest Receivable/(Payable) | 2 | |||||||||||||||
$ | 772 | |||||||||||||||
GSSBCYCL | ||||||||||||||||
Alphabet Inc. | — | $ | (1,286 | ) | (24 | ) | 5.2 | % | ||||||||
Tesla Inc. | — | (1,191 | ) | (22 | ) | 4.8 | % | |||||||||
Meta Platforms Inc. | (1 | ) | (1,183 | ) | (22 | ) | 4.8 | % | ||||||||
Berkshire Hathaway Inc. | (1 | ) | (989 | ) | (19 | ) | 4.0 | % | ||||||||
NVIDIA Corp. | (1 | ) | (965 | ) | (18 | ) | 3.9 | % | ||||||||
JPMorgan Chase & Co. | (1 | ) | (735 | ) | (14 | ) | 3.0 | % | ||||||||
Bank of America Corp. | (3 | ) | (565 | ) | (11 | ) | 2.3 | % | ||||||||
Exxon Mobil Corp. | (2 | ) | (526 | ) | (10 | ) | 2.1 | % | ||||||||
Walt Disney Co./The | (1 | ) | (420 | ) | (8 | ) | 1.7 | % | ||||||||
Chevron Corp. | (1 | ) | (415 | ) | (8 | ) | 1.7 | % | ||||||||
Broadcom Inc. | — | (374 | ) | (7 | ) | 1.5 | % | |||||||||
Comcast Corp. | (2 | ) | (363 | ) | (7 | ) | 1.5 | % | ||||||||
Wells Fargo & Co. | (2 | ) | (360 | ) | (7 | ) | 1.5 | % |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^
(Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
GSSBCYCL (cont’d) | ||||||||||||||||
Intel Corp. | (2 | ) | $ | (316 | ) | $ | (6 | ) | 1.3 | % | ||||||
QUALCOMM Inc. | (1 | ) | (314 | ) | (6 | ) | 1.3 | % | ||||||||
Netflix Inc. | — | (300 | ) | (6 | ) | 1.2 | % | |||||||||
NIKE Inc. | (1 | ) | (298 | ) | (6 | ) | 1.2 | % | ||||||||
Linde PLC | — | (266 | ) | (5 | ) | 1.1 | % | |||||||||
Union Pacific Corp. | — | (265 | ) | (5 | ) | 1.1 | % | |||||||||
Texas Instruments Inc. | — | (261 | ) | (5 | ) | 1.1 | % | |||||||||
Morgan Stanley | (1 | ) | (251 | ) | (5 | ) | 1.0 | % | ||||||||
Honeywell International Inc. | — | (235 | ) | (4 | ) | 1.0 | % | |||||||||
United Parcel Service Inc. | — | (232 | ) | (4 | ) | 0.9 | % | |||||||||
Raytheon Technologies Corp. | (1 | ) | (223 | ) | (4 | ) | 0.9 | % | ||||||||
Citigroup Inc. | (1 | ) | (220 | ) | (4 | ) | 0.9 | % | ||||||||
Advanced Micro Devices Inc. | (1 | ) | (220 | ) | (4 | ) | 0.9 | % | ||||||||
Charles Schwab Corp./The | (1 | ) | (213 | ) | (4 | ) | 0.9 | % | ||||||||
ConocoPhillips | (1 | ) | (198 | ) | (4 | ) | 0.8 | % | ||||||||
Applied Materials Inc. | — | (196 | ) | (4 | ) | 0.8 | % | |||||||||
American Express Co. | — | (193 | ) | (4 | ) | 0.8 | % | |||||||||
Deere & Co. | — | (190 | ) | (4 | ) | 0.8 | % | |||||||||
BlackRock Inc. | — | (186 | ) | (3 | ) | 0.8 | % | |||||||||
Caterpillar Inc. | — | (179 | ) | (3 | ) | 0.7 | % | |||||||||
Boeing Co./The | — | (177 | ) | (3 | ) | 0.7 | % | |||||||||
General Electric Co. | (1 | ) | (168 | ) | (3 | ) | 0.7 | % | ||||||||
S&P Global Inc. | — | (162 | ) | (3 | ) | 0.7 | % | |||||||||
3M Co. | — | (156 | ) | (3 | ) | 0.6 | % | |||||||||
Lockheed Martin Corp. | — | (153 | ) | (3 | ) | 0.6 | % | |||||||||
Chubb Ltd | — | (144 | ) | (3 | ) | 0.6 | % | |||||||||
Micron Technology Inc. | — | (143 | ) | (3 | ) | 0.6 | % | |||||||||
PNC Financial Services Group Inc./The | — | (141 | ) | (3 | ) | 0.6 | % | |||||||||
Analog Devices Inc. | — | (139 | ) | (3 | ) | 0.6 | % | |||||||||
Truist Financial Corp. | (1 | ) | (139 | ) | (3 | ) | 0.6 | % | ||||||||
Charter Co.mmunications Inc. | — | (136 | ) | (2 | ) | 0.5 | % | |||||||||
Ford Motor Co. | (2 | ) | (134 | ) | (2 | ) | 0.5 | % | ||||||||
Lam Research Corp. | — | (134 | ) | (2 | ) | 0.5 | % | |||||||||
CME Group Inc. | — | (133 | ) | (2 | ) | 0.5 | % | |||||||||
US Bancorp | (1 | ) | (128 | ) | (2 | ) | 0.5 | % | ||||||||
CSX Corp. | (1 | ) | (128 | ) | (2 | ) | 0.5 | % | ||||||||
Marsh & McLennan Cos Inc. | — | (125 | ) | (2 | ) | 0.5 | % | |||||||||
Other Securities | (27 | ) | (8,141 | ) | (153 | ) | 32.7 | % | ||||||||
$ | (24,709 | ) | $ | (464 | ) | |||||||||||
Accrued Net Interest Receivable/(Payable) | — | |||||||||||||||
$ | (464 | ) | ||||||||||||||
Total Return Basket Swaps — Short, at value | $ | 3,545 |
(b) | The Fund pays a specified rate based on a reference rate plus or minus a spread, and receives the total return on the reference entity. The receipts may be denominated in various foreign currencies based on the local currencies of the positions within the swaps. | |
(c) | The Fund receives a specified rate based on a reference rate plus or minus a spread, and pays the total return on the reference entity. The receipts may be denominated in various foreign currencies based on the local currencies of the positions within the swaps. | |
(d) | Effective rate at January 31, 2022. |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^
(Unaudited) (cont’d)
Total return swap contracts ("total return swaps")
At January 31, 2022 the Fund had outstanding total return swaps as follows:
Over-the-counter total return swaps - Long (a)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable-Rate(c) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||
JPM | iShares 20+ Year Treasury Bond | USD | 48,128 | 7/29/2022 | 0.38 | % | 0.46 | % | FEDL01 | T/1M | 8 | — | 8 | ||||||||||||||||
Total | $ | 8 | $ | — | $ | 8 |
Over-the-counter total return swaps - Short (b)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable-Rate(c) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||
GSI | iShares TIPS Bond ETF | USD | (121,225 | ) | 7/12/2022 | (0.27 | )% | (0.32 | )% | SOFR | 1M/T | (481 | ) | 12 | (469 | ) | |||||||||||||
Total | $ | (481 | ) | $ | 12 | $ | (469 | ) |
(a) | The Fund pays a specified rate based on a reference rate plus or minus a spread, and receives the total return on the reference entity. | |
(b) | The Fund receives a specified rate based on a reference rate plus or minus a spread, and pays the total return on the reference entity. | |
(c) | Effective rate at January 31, 2022. |
Written option contracts ("options written") | |||||||||
At January 31, 2022, the Fund had outstanding options purchased as follows: | |||||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||
Put | ||||||||||||||||||
iShares 20+ Year Treasury Bond (a) | 16 | $ | (227,824 | ) | $ | 141 | 6/17/2022 | $ | (8,217 | ) | ||||||||
Total put options written (premium received $8,640) | $ | (8,217 | ) | |||||||||||||||
(a) Over-the-counter option. Counterparty is GSI |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^
(Unaudited) (cont’d)
The following is a summary, categorized by Level (see the Notes to Schedule of Investments), of inputs used to value the Fund's investments as of January 31, 2022:
Asset Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 122,112 | $ | — | $ | 122,112 | ||||||||
Austria | — | 12,464 | — | 12,464 | ||||||||||||
Belgium | — | 8,916 | — | 8,916 | ||||||||||||
China | — | 7,120 | — | 7,120 | ||||||||||||
Denmark | — | 67,442 | — | 67,442 | ||||||||||||
Finland | — | 43,614 | — | 43,614 | ||||||||||||
France | — | 188,468 | — | 188,468 | ||||||||||||
Germany | — | 155,377 | — | 155,377 | ||||||||||||
Hong Kong | — | 38,097 | — | 38,097 | ||||||||||||
Israel | — | 15,015 | — | 15,015 | ||||||||||||
Italy | — | 22,855 | — | 22,855 | ||||||||||||
Japan | — | 399,544 | — | 399,544 | ||||||||||||
Netherlands | — | 82,185 | — | 82,185 | ||||||||||||
Norway | — | 27,485 | — | 27,485 | ||||||||||||
Russia | — | 6,227 | — | 6,227 | ||||||||||||
Singapore | — | 21,736 | — | 21,736 | ||||||||||||
South Africa | — | 43,997 | — | 43,997 | ||||||||||||
Spain | — | 43,701 | — | 43,701 | ||||||||||||
Sweden | — | 35,218 | — | 35,218 | ||||||||||||
Switzerland | — | 177,675 | — | 177,675 | ||||||||||||
United Kingdom | 49,600 | 130,188 | — | 179,788 | ||||||||||||
United States | 4,025,304 | 30,200 | — | 4,055,504 | ||||||||||||
Other Common Stocks(a) | 195,243 | — | — | 195,243 | ||||||||||||
Total Common Stocks | 4,270,147 | 1,679,636 | — | 5,949,783 | ||||||||||||
U.S. Treasury Obligations | — | 814,045 | — | 814,045 | ||||||||||||
U.S. Government Agency Securities | — | 14,026 | — | 14,026 | ||||||||||||
Corporate Bonds(a) | — | 979,620 | — | 979,620 | ||||||||||||
Exchange-Traded Funds | 1,537,227 | — | — | 1,537,227 | ||||||||||||
Short-Term Investments | — | 190,568 | — | 190,568 | ||||||||||||
Total Investments | $ | 5,807,374 | $ | 3,677,895 | $ | — | $ | 9,485,269 |
(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 the Notes to Schedule of Investments), of inputs used to value the Fund's derivatives as of January 31, 2022:
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures(a) | ||||||||||||||||
Assets | $ | 38,567 | $ | — | $ | — | $ | 38,567 | ||||||||
Liabilities | (4,211 | ) | — | — | (4,211 | ) | ||||||||||
Forward FX Contracts(a) | ||||||||||||||||
Assets | — | 11,146 | — | 11,146 | ||||||||||||
Liabilities | — | (4,259 | ) | — | (4,259 | ) | ||||||||||
Swaps | ||||||||||||||||
Assets | — | 4,408 | — | 4,408 | ||||||||||||
Liabilities | — | (933 | ) | — | (933 | ) | ||||||||||
Written Options | ||||||||||||||||
Liabilities | — | (8,217 | ) | — | (8,217 | ) | ||||||||||
Total | $ | 34,356 | $ | 2,145 | $ | — | $ | 36,501 |
(a) Futures and forward FX contracts are reported at the cumulative unrealized appreciation/(depreciation) of the instrument.
^ A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) January 31, 2022
Number of Shares | Value | |||||||
Long Positions 105.3% | ||||||||
Common Stocks 78.9% | ||||||||
Aerospace & Defense 0.3% | ||||||||
129,200 | Airbus SE | $ | 16,497,964 | *(a) | ||||
Air Freight & Logistics 0.6% | ||||||||
137,200 | FedEx Corp. | 33,731,992 | ||||||
Banks 2.3% | ||||||||
675,408 | Citigroup, Inc. | 43,982,569 | (b) | |||||
525,540 | JPMorgan Chase & Co. | 78,095,244 | ||||||
122,077,813 | ||||||||
Beverages 1.6% | ||||||||
2,323,848 | Keurig Dr Pepper, Inc. | 88,190,032 | (b) | |||||
Capital Markets 4.7% | ||||||||
1,690,099 | Apollo Global Management, Inc. | 118,306,930 | (b) | |||||
23,758 | BlackRock, Inc. | 19,551,409 | (b) | |||||
850,854 | Brookfield Asset Management, Inc. Class A | 46,882,055 | ||||||
298,500 | CME Group, Inc. | 68,505,750 | (b) | |||||
253,246,144 | ||||||||
Chemicals 2.4% | ||||||||
176,908 | Air Products & Chemicals, Inc. | 49,909,285 | (b) | |||||
813,969 | Ashland Global Holdings, Inc. | 78,173,583 | ||||||
128,082,868 | ||||||||
Commercial Services & Supplies 2.1% | ||||||||
2,298,334 | LegalZoom.com, Inc. | 36,497,544 | *(c) | |||||
502,185 | Waste Management, Inc. | 75,548,711 | ||||||
112,046,255 | ||||||||
Computers 0.1% | ||||||||
359,091 | Arctic Wolf Networks, Inc. | 3,950,001 | *(d)(e)(p) | |||||
Containers & Packaging 0.5% | ||||||||
132,545 | Avery Dennison Corp. | 27,227,394 | ||||||
Diversified Consumer Services 0.1% | ||||||||
192,000 | European Wax Center, Inc. Class A | 4,692,480 | * | |||||
Diversified Financial Services 0.8% | ||||||||
1,158,839 | Equitable Holdings, Inc. | 38,983,344 | ||||||
1,800,000 | Sunlight Financial Holdings, Inc. | 5,292,000 | ||||||
44,275,344 | ||||||||
Diversified Telecommunication Services 0.2% | ||||||||
472,631 | Frontier Communications Parent, Inc. | 12,600,342 | * | |||||
Electric Utilities 2.3% | ||||||||
1,599,679 | NextEra Energy, Inc. | 124,966,923 | (b) | |||||
Electrical Equipment 0.8% | ||||||||
1,243,410 | nVent Electric PLC | 43,009,552 | ||||||
Electronic Equipment, Instruments & Components 2.6% | ||||||||
357,800 | Amphenol Corp. Class A | 28,477,302 | ||||||
241,389 | CDW Corp. | 45,634,591 | ||||||
445,429 | TE Connectivity Ltd. | 63,700,801 | ||||||
137,812,694 | ||||||||
Entertainment 1.6% | ||||||||
729,467 | Activision Blizzard, Inc. | 57,635,188 | (b) | |||||
151,938 | Spotify Technology SA | 29,819,352 | * | |||||
87,454,540 | ||||||||
Equity Real Estate Investment Trusts 0.6% | ||||||||
99,815 | SBA Communications Corp. | 32,483,794 | (b) | |||||
Food & Staples Retailing 1.2% | ||||||||
40,100 | Costco Wholesale Corp. | 20,255,713 | (b) | |||||
327,001 | Walmart, Inc. | 45,718,010 | (b) | |||||
65,973,723 | ||||||||
Food Products 1.4% | ||||||||
561,844 | Lamb Weston Holdings, Inc. | 36,076,003 | (b) | |||||
456,374 | Mondelez Int'l, Inc. Class A | 30,590,749 | (b) | |||||
1,000,000 | Whole Earth Brands, Inc. | 9,480,000 | ||||||
76,146,752 | ||||||||
Health Care Equipment & Supplies 1.3% | ||||||||
72,741 | Becton, Dickinson & Co. | 18,486,398 | ||||||
512,282 | Medtronic PLC | 53,016,064 | (b) | |||||
71,502,462 | ||||||||
Health Care Providers & Services 1.6% | ||||||||
184,163 | UnitedHealth Group, Inc. | 87,029,909 | (b) | |||||
Hotels, Restaurants & Leisure 3.2% | ||||||||
843,426 | First Watch Restaurant Group, Inc. | 12,685,127 | * | |||||
194,769 | Marriott Int'l, Inc. Class A | 31,381,181 | * | |||||
418,224 | McDonald's Corp. | 108,508,217 | (b) | |||||
748,702 | Sweetgreen, Inc. Class A | 21,315,546 | *(p)(d) | |||||
173,890,071 | ||||||||
Household Products 0.8% | ||||||||
257,466 | Procter & Gamble Co. | 41,310,420 | (b) | |||||
Interactive Media & Services 4.2% | ||||||||
47,748 | Alphabet, Inc. Class A | 129,209,430 | *(b) | |||||
314,527 | Meta Platforms, Inc. Class A | 98,528,728 | *(b) | |||||
227,738,158 | ||||||||
Internet & Direct Marketing Retail 3.5% | ||||||||
51,295 | Amazon.com, Inc. | 153,447,454 | *(b) | |||||
787,197 | Chewy, Inc. Class A | 37,478,449 | *(b)(c) | |||||
190,925,903 | ||||||||
IT Services 3.8% | ||||||||
346,168 | Fidelity National Information Services, Inc. | 41,512,467 | (b) | |||||
125,439 | Mastercard, Inc. Class A | 48,467,121 | (b) | |||||
170,389 | Okta, Inc. | 33,718,279 | *(b) | |||||
1,041,501 | Repay Holdings Corp. | 18,632,453 | * | |||||
288,513 | Visa, Inc. Class A | 65,252,985 | (b) | |||||
207,583,305 | ||||||||
Life Sciences Tools & Services 0.8% | ||||||||
74,800 | Thermo Fisher Scientific, Inc. | 43,481,240 | ||||||
Multi-Utilities 1.2% | ||||||||
1,315,200 | CenterPoint Energy, Inc. | 37,299,072 | (b) | |||||
306,283 | WEC Energy Group, Inc. | 29,721,702 | (b) | |||||
67,020,774 |
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
Number of Shares | Value | |||||||
Oil, Gas & Consumable Fuels 1.8% | ||||||||
380,672 | Chevron Corp. | $ | 49,993,654 | (b) | ||||
1,067,429 | Enbridge, Inc. | 45,120,224 | (b) | |||||
329 | Venture Global LNG, Inc. Ser. C | 2,873,157 | *(d)(e)(p) | |||||
97,987,035 | ||||||||
Pharmaceuticals 0.6% | ||||||||
180,300 | Johnson & Johnson | 31,063,887 | (b) | |||||
Professional Services 3.8% | ||||||||
2,037,012 | Dun & Bradstreet Holdings, Inc. | 40,862,461 | * | |||||
306,074 | Equifax, Inc. | 73,384,302 | ||||||
760,856 | IHS Markit Ltd. | 88,860,372 | (b) | |||||
203,107,135 | ||||||||
Road & Rail 2.2% | ||||||||
958,086 | Uber Technologies, Inc. | 35,832,416 | * | |||||
344,900 | Union Pacific Corp. | 84,345,295 | (b) | |||||
120,177,711 | ||||||||
Semiconductors & Semiconductor Equipment 1.1% | ||||||||
241,696 | Analog Devices, Inc. | 39,630,893 | ||||||
29,397 | ASML Holding NV | 19,907,648 | (b) | |||||
59,538,541 | ||||||||
Software 13.0% | ||||||||
143,114 | Adobe, Inc. | 76,465,810 | *(b) | |||||
793,909 | Anaplan, Inc. | 38,329,927 | *(b) | |||||
540,431 | AvidXchange Holdings, Inc. | 5,598,865 | * | |||||
1,362,980 | AvidXchange Holdings, Inc. | 13,575,281 | *(d)(p) | |||||
534,065 | DoubleVerify Holdings, Inc. | 14,772,238 | * | |||||
179,381 | Grammarly, Inc. | 4,701,917 | *(d)(e)(p) | |||||
512,177 | Microsoft Corp. | 159,276,803 | (b) | |||||
2,059,403 | Paycor HCM, Inc. | 53,420,914 | * | |||||
480,516 | salesforce.com, Inc. | 111,782,437 | *(b) | |||||
121,998 | ServiceNow, Inc. | 71,463,988 | *(b) | |||||
421,706 | Splunk, Inc. | 52,257,808 | *(b) | |||||
339,489 | Workday, Inc. Class A | 85,894,112 | *(b) | |||||
180,101 | Zendesk, Inc. | 17,741,749 | * | |||||
705,281,849 | ||||||||
Specialty Retail 6.7% | ||||||||
237,686 | Asbury Automotive Group, Inc. | 38,260,315 | * | |||||
2,128,538 | Fanatics Holdings, Inc. Class A | 144,400,018 | *(d)(e)(p) | |||||
734,907 | Gap, Inc. | 13,279,770 | (b) | |||||
153,055 | Home Depot, Inc. | 56,168,124 | (b) | |||||
1,556,594 | TJX Cos., Inc. | 112,028,070 | ||||||
364,136,297 | ||||||||
Technology Hardware, Storage & Peripherals 2.4% | ||||||||
733,841 | Apple, Inc. | 128,260,730 | (b) | |||||
Textiles, Apparel & Luxury Goods 0.4% | ||||||||
136,090 | NIKE, Inc. Class B | 20,150,846 | (b) |
Number of Units | ||||||||
Holding Companies - Diversified 0.2% | ||||||||
1,082,400 | Independence Holdings Corp. (Cost $10,824,000) | 10,596,696 | *(o) | |||||
Total Common Stocks (Cost $3,170,886,853) | 4,265,249,576 | |||||||
Preferred Stocks 1.0% | ||||||||
Capital Markets 0.1% | ||||||||
82,110 | Savage X, Inc. Ser. C | 3,949,983 | *(d)(e)(p) | |||||
Internet 0.4% | ||||||||
23,000 | Fabletics LLC | 23,000,000 | *(d)(e)(p) | |||||
IT Services 0.3% | ||||||||
959,038 | Cybereason, Inc. Ser. F | 4,750,000 | *(d)(e)(p) | |||||
658,071 | Druva, Inc. Ser. 4 | 6,167,968 | *(d)(e)(p) | |||||
480,112 | Druva, Inc. Ser. 5 | 4,499,994 | *(d)(e)(p) | |||||
15,417,962 | ||||||||
Software 0.2% | ||||||||
55,626 | Grammarly, Inc. Ser. 3 | 1,458,063 | *(d)(e)(p) | |||||
78,686 | Signifyd, Inc. Ser. A | 1,966,363 | *(d)(e)(p) | |||||
180,619 | Signifyd, Inc. Ser. Seed | 4,511,863 | *(d)(e)(p) | |||||
325,371 | Videoamp, Inc. Ser. F1 | 5,135,005 | *(d)(e)(p) | |||||
13,071,294 | ||||||||
Total Preferred Stocks (Cost $54,222,619) | 55,439,239 |
Principal Amount | ||||||||
Loan Assignment(f) 0.5% | ||||||||
Leisure Goods - Activities - Movies 0.5% | ||||||||
25,000,000 | OneSpa World, LLC, Second Lien Term Loan, (3M USD LIBOR +7.50%) 7.77%, due 3/18/2027 (Cost $24,562,457) | 25,500,000 | (d)(e)(p) | |||||
Corporate Bonds 1.6% | ||||||||
Electric 0.0%(g) | ||||||||
937,000 | Wisconsin Energy Corp., (3M USD LIBOR + 2.11%), 2.27%, due 5/15/2067 | 855,013 | (b)(f) | |||||
Gas 0.1% | ||||||||
6,860,000 | Rockpoint Gas Storage Canada Ltd., 7.00%, due 3/31/2023 | 6,860,000 | (b)(h) | |||||
Internet 0.0%(g) | ||||||||
2,205,000 | Uber Technologies, Inc., 6.25%, due 1/15/2028 | 2,287,687 | (b)(h) | |||||
Miscellaneous Manufacturer 0.8% | ||||||||
Anagram International, Inc./Anagram Holdings LLC | ||||||||
23,641,499 | 10.00% Cash & 5.00% PIK, due 8/15/2025 | 26,242,065 | (h)(i) | |||||
15,749,491 | 5.00% Cash & 5.00% PIK, due 8/15/2026 | 16,458,218 | (h)(i) | |||||
42,700,283 | ||||||||
Retail 0.5% | ||||||||
27,199,035 | Party City Holdings, Inc., (6M USD LIBOR + 5.00%, Floor 5.75%), 5.75%, due 7/15/2025 | 25,159,107 | (b)(f)(h) | |||||
Specialty Retail 0.2% | ||||||||
10,000,000 | Petsmart, Inc./Petsmart Finance Corp., 7.75%, due 2/15/2029 | 10,727,300 | (b)(h) | |||||
Total Corporate Bonds (Cost $54,168,937) | 88,589,390 |
Number of Units | ||||||||
Master Limited Partnerships and Limited Partnerships 2.1% | ||||||||
Multi-Utilities 0.8% | ||||||||
755,300 | Brookfield Infrastructure Partners L.P. | 44,592,912 | (b) | |||||
Oil, Gas & Consumable Fuels 1.3% | ||||||||
2,886,459 | Enterprise Products Partners L.P. | 68,235,891 | (b) | |||||
Total Master Limited Partnerships and Limited Partnerships (Cost $85,629,476) | $ | 112,828,803 |
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
Number of Shares | ||||||||
Warrants 0.1% | ||||||||
Diversified Consumer Services 0.1% | ||||||||
52,600 | OneSpaWorld Holdings Ltd. Expires 3/19/2024 | 158,326 | * | |||||
653,334 | OneSpaWorld Holdings Ltd. Expires 6/12/2025 | 3,534,537 | *(d)(n) | |||||
3,692,863 | ||||||||
Food Products 0.0%(g) | ||||||||
701,800 | Whole Earth Brands, Inc. Expires 6/25/2025 | 561,440 | * | |||||
301,400 | Whole Earth Brands, Inc. Expires 6/25/2025 | 241,120 | * | |||||
802,560 | ||||||||
Total Warrants (Cost $433,413) | 4,495,423 | |||||||
Total Purchased Options(j)0.0%(g) (Cost $1,991,893) | 1,791,160 | |||||||
Short-Term Investments 21.1% | ||||||||
Investment Companies 21.1% | ||||||||
1,104,807,647 | State Street Institutional U.S. Government Money Market Fund Premier Class, 0.03%(k) | 1,104,807,647 | (a) | |||||
34,744,021 | State Street Navigator Securities Lending Government Money Market Portfolio, 0.04%(k) | 34,744,021 | (l) | |||||
Total Short-Term Investments (Cost $1,139,551,668) | 1,139,551,668 | |||||||
Total Long Positions (105.3%) (Cost $4,531,447,316) | 5,693,445,259 | |||||||
Short Positions ((12.5)% | ||||||||
Common Stocks Sold Short (10.5)% | ||||||||
Air Freight & Logistics (0.2)% | ||||||||
(91,300 | ) | Expeditors Int'l of Washington, Inc. | (10,452,024 | ) | ||||
Automobiles (0.4)% | ||||||||
(351,648 | ) | Lucid Group, Inc. | (10,334,935 | )* | ||||
(12,750 | ) | Tesla, Inc. | (11,943,180 | )* | ||||
(22,278,115 | ) | |||||||
Building Products (0.3)% | ||||||||
(33,000 | ) | A O Smith Corp. | (2,521,860 | ) | ||||
(200,796 | ) | Masco Corp. | (12,716,411 | ) | ||||
(15,238,271 | ) | |||||||
Capital Markets (0.3)% | ||||||||
(498,300 | ) | Franklin Resources, Inc. | (15,930,651 | ) | ||||
Consumer Finance (0.3)% | ||||||||
(1,205,940 | ) | SoFi Technologies, Inc. | (15,050,131 | )* | ||||
Electric Utilities (0.2)% | ||||||||
(143,900 | ) | Southern Co. | (9,999,611 | ) | ||||
Equity Real Estate Investment Trusts (0.5)% | ||||||||
(349,900 | ) | Iron Mountain, Inc. | (16,067,408 | ) | ||||
(98,380 | ) | Lamar Advertising Co. Class A | (10,896,569 | ) | ||||
(26,963,977 | ) | |||||||
Food & Staples Retailing (0.5)% | ||||||||
(327,858 | ) | Kroger Co. | (14,291,330 | ) | ||||
(468,302 | ) | Sprouts Farmers Market, Inc. | (12,709,716 | )* | ||||
(27,001,046 | ) | |||||||
Food Products (0.9)% | ||||||||
(258,906 | ) | B&G Foods, Inc. | (8,051,976 | ) | ||||
(608,401 | ) | Campbell Soup Co. | (26,842,652 | ) | ||||
(317,073 | ) | Hain Celestial Group, Inc. | (11,582,677 | )* | ||||
(46,477,305 | ) | |||||||
Health Care Equipment & Supplies (0.1)% | ||||||||
(11,723 | ) | Dexcom, Inc. | (5,046,517 | )* | ||||
(106,576 | ) | Figs, Inc. Class A | (2,395,828 | )* | ||||
(7,442,345 | ) | |||||||
Hotels, Restaurants & Leisure (0.2)% | ||||||||
(231,916 | ) | Dutch Bros, Inc. Class A | (12,094,419 | )* | ||||
Household Durables (0.4)% | ||||||||
(205,438 | ) | La-Z-Boy, Inc. | (7,541,629 | ) | ||||
(59,696 | ) | TopBuild Corp. | (13,888,274 | )* | ||||
(21,429,903 | ) | |||||||
Household Products (0.4)% | ||||||||
(206,149 | ) | Church & Dwight Co., Inc. | (21,161,195 | ) | ||||
Industrial Conglomerates (0.3)% | ||||||||
(104,283 | ) | 3M Co. | (17,313,064 | ) | ||||
Insurance (0.3)% | ||||||||
(558,523 | ) | Lemonade, Inc. | (17,833,639 | )* | ||||
Interactive Media & Services (0.1)% | ||||||||
(271,289 | ) | fuboTV, Inc. | (2,913,644 | )* | ||||
Internet & Direct Marketing Retail (0.1)% | ||||||||
(46,748 | ) | Shutterstock, Inc. | (4,533,154 | ) | ||||
IT Services (1.2)% | ||||||||
(165,526 | ) | Affirm Holdings, Inc. | (10,605,251 | )* | ||||
(92,000 | ) | Automatic Data Processing, Inc. | (18,967,640 | ) | ||||
(53,089 | ) | Cloudflare, Inc. Class A | (5,117,779 | )* | ||||
(1,549,903 | ) | Western Union Co. | (29,308,666 | ) | ||||
(63,999,336 | ) | |||||||
Media (0.1)% | ||||||||
(223,270 | ) | Interpublic Group of Cos., Inc. | (7,935,016 | ) | ||||
Multi-Utilities (0.5)% | ||||||||
(343,968 | ) | Consolidated Edison, Inc. | (29,736,034 | ) | ||||
Multiline Retail (0.3)% | ||||||||
(67,819 | ) | Dollar General Corp. | (14,138,905 | ) | ||||
Oil, Gas & Consumable Fuels (0.3)% | ||||||||
(561,734 | ) | APA Corp. | (18,655,186 | ) | ||||
Software (1.9)% | ||||||||
(63,285 | ) | Asana, Inc. Class A | (3,321,197 | )* | ||||
(26,889 | ) | Crowdstrike Holdings, Inc. Class A | (4,857,229 | )* | ||||
(122,000 | ) | Guidewire Software, Inc. | (12,302,480 | )* | ||||
(152,575 | ) | Oracle Corp. | (12,382,987 | ) | ||||
(27,191 | ) | Paycom Software, Inc. | (9,117,142 | )* | ||||
(47,305 | ) | Paylocity Holding Corp. | (9,649,274 | )* | ||||
(237,324 | ) | Sailpoint Technologies Holdings, Inc. | (9,182,066 | )* | ||||
(180,000 | ) | SAP SE ADR | (22,537,800 | ) | ||||
(94,874 | ) | SentinelOne, Inc. Class A | (4,245,611 | )* |
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
Number of Shares | Value | |||||||
(53,343 | ) | Zoom Video Communications, Inc. Class A | $ | (8,229,758 | )* | |||
(16,909 | ) | Zscaler, Inc. | (4,347,473 | )* | ||||
(100,173,017 | ) | |||||||
Specialty Retail (0.7)% | ||||||||
(61,655 | ) | AutoNation, Inc. | (6,720,395 | )* | ||||
(23,999 | ) | Burlington Stores, Inc. | (5,686,083 | )* | ||||
(83,074 | ) | CarMax, Inc. | (9,235,337 | )* | ||||
(39,842 | ) | GameStop Corp. Class A | (4,339,989 | )* | ||||
(435,799 | ) | Sally Beauty Holdings, Inc. | (7,482,669 | )* | ||||
(391,952 | ) | Vroom, Inc. | (3,143,455 | )* | ||||
(36,607,928 | ) | |||||||
Total Common Stocks Sold Short (Proceeds $(589,523,504)) | (565,357,916 | ) |
Principal Amount | ||||||||
Corporate Bonds Sold Short (0.9)% | ||||||||
Lodging (0.1)% | ||||||||
(7,000,000 | ) | Boyd Gaming Corp., 4.75%, due 12/1/2027 | (6,998,320 | ) | ||||
Media (0.5)% | ||||||||
(5,000,000 | ) | Clear Channel Worldwide Holdings, Inc., 5.13%, due 8/15/2027 | (5,011,650 | )(h) | ||||
(5,000,000 | ) | Entercom Media Corp., 6.50%, due 5/1/2027 | (4,771,300 | )(h) | ||||
(10,000,000 | ) | iHeartCommunications, Inc., 8.38%, due 5/1/2027 | (10,485,950 | ) | ||||
(6,000,000 | ) | Univision Communications, Inc., 5.13%, due 2/15/2025 | (6,060,000 | )(h) | ||||
(26,328,900 | ) | |||||||
Retail (0.3)% | ||||||||
(5,000,000 | ) | Macy's Retail Holdings LLC, 5.88%, due 4/1/2029 | (5,112,500 | )(h) | ||||
(10,000,000 | ) | Sally Holdings LLC/Sally Capital, Inc., 5.63%, due 12/1/2025 | (10,171,875 | ) | ||||
(15,284,375 | ) | |||||||
Total Corporate Bonds Sold Short (Proceeds $(47,226,210)) | (48,611,595 | ) |
Number of Shares | ||||||||
Exchange-Traded Funds Sold Short (1.1)% | ||||||||
(178,300 | ) | iShares iBoxx $ Investment Grade Corporate Bond ETF | (22,779,608 | ) | ||||
(482,887 | ) | SPDR S&P Retail ETF | (39,466,355 | ) | ||||
Total Exchange-Traded Funds Sold Short (Proceeds $(64,401,632)) | (62,245,963 | ) | ||||||
Total Short Positions (Proceeds $(701,151,346)) | (676,215,474 | ) | ||||||
Total Investments 92.8% (Cost $3,830,295,970) | 5,017,229,785 | |||||||
Other Assets Less Liabilities 7.2% | 388,282,339 | (m) | ||||||
Net Assets 100.0% | $ | 5,405,512,124 |
* | 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 $1,113,388,759. |
(b) | All or a portion of this security is pledged as collateral for options written. |
(c) | The security or a portion of this security is on loan at January 31, 2022. Total value of all such securities at January 31, 2022 amounted to $36,554,758 for the Fund. |
(d) | Security fair valued as of January 31, 2022 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at January 31, 2022 amounted to $275,289,696, which represents 5.1% of net assets of the Fund. |
(e) | Value determined using significant unobservable inputs. |
(f) | Variable or floating rate security. The interest rate shown was the current rate as of January 31, 2022 and changes periodically. |
(g) | Represents less than 0.05% of net assets of the Fund. |
(h) | Securities were purchased or sold short under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At January 31, 2022, these securities amounted to $87,734,377 of long positions and $(20,955,450) of short positions, which represents 1.6% and (0.4)%, respectively, of net assets of the Fund. |
(i) | Payment-in-kind (PIK) security. |
(j) | See “Purchased option contracts” under Derivative Instruments. |
(k) | Represents 7-day effective yield as of January 31, 2022. |
(l) | Represents investment of cash collateral received from securities lending. |
(m) | Includes the impact of the Fund's open positions in derivatives at January 31, 2022. |
(n) | Security acquired via a PIPE transaction. |
(o) | Affiliated company (see Note § below). |
(p) | These securities have been deemed by the investment manager to be illiquid, and are subject to restrictions on resale. |
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
At January 31, 2022, these securities amounted to $271,755,159, which represents 5.0% 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 1/31/2022 | Fair Value Percentage of Net Assets as of 1/31/2022 | |||||||||||||
Arctic Wolf Networks, Inc. | 12/31/2021 | $ | 3,950,001 | 0.1 | % | $ | 3,950,001 | 0.1 | % | |||||||||
AvidXchange, Inc. | 4/7/2020 | 16,700,594 | 0.6 | % | 13,575,281 | 0.3 | % | |||||||||||
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 | 1/10/2022 | 23,000,000 | 0.4 | % | 23,000,000 | 0.4 | % | |||||||||||
Fanatics Holdings, Inc. | 8/13/2020 | 35,900,005 | 1.0 | % | 140,859,245 | 2.6 | % | |||||||||||
Fanatics Holdings, Inc. | 4/29/2021 | 1,819,970 | 0.0 | % | 3,540,773 | 0.1 | % | |||||||||||
Grammarly, Inc. | 12/23/2021 | 2,412,019 | 0.0 | % | 2,412,019 | 0.0 | % | |||||||||||
Grammarly, Inc. | 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 | % | |||||||||||
Grammarly, Inc. (Ser. 3 Preferred Shares) | 1/24/2022 | 710,107 | 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 | % | 3,949,983 | 0.1 | % | |||||||||||
Signifyd, Inc. (Ser. A Preferred Shares) | 5/24/2021 | 2,427,463 | 0.1 | % | 1,966,363 | 0.0 | % | |||||||||||
Signifyd, Inc. (Ser. Seed Preferred Shares) | 5/24/2021 | 5,572,106 | 0.1 | % | 4,511,863 | 0.1 | % | |||||||||||
Sweetgreen, Inc. Ser. A | 11/30/2018 | 7,520,004 | 0.3 | % | 17,841,209 | 0.3 | % | |||||||||||
Sweetgreen, Inc. Ser. A | 9/13/2019 | 1,009,430 | 0.0 | % | 1,680,613 | 0.0 | % | |||||||||||
Sweetgreen, Inc. Ser. A | 1/21/2021 | 873,383 | 0.0 | % | 1,454,105 | 0.0 | % | |||||||||||
Sweetgreen, Inc. Ser. A | 1/21/2021 | — | 0.0 | % | 339,619 | 0.0 | % | |||||||||||
Venture Global LNG, Inc. Ser. C | 11/21/2018 | 2,303,000 | 0.1 | % | 2,873,157 | 0.1 | % | |||||||||||
Videoamp, Inc. (Ser. F1 Preferred Shares) | 1/4/2022 | 5,135,005 | 0.1 | % | 5,135,005 | 0.1 | % | |||||||||||
Total | $ | 153,563,424 | 4.1 | % | $ | 271,755,159 | 5.0 | % |
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
Derivative Instruments
Futures contracts ("futures")
At January 31, 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) | ||||||||||
3/2022 | 299 | NASDAQ 100 E-Mini Index | $ | (89,131,900 | ) | $ | 8,522,397 | |||||||
3/2022 | 536 | Russell 2000 E-Mini Index | (54,253,920 | ) | 4,944,600 | |||||||||
3/2022 | 2,146 | S&P 500 E-Mini Index | (483,306,025 | ) | 21,282,955 | |||||||||
3/2022 | 158 | U.S. Treasury Long Bond | (24,588,750 | ) | 757,906 | |||||||||
Total Futures | $ | (651,280,595 | ) | $ | 35,507,858 |
Total return basket swap contracts ("total return basket swaps")
At January 31, 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 | (0.01 | )% | (0.09 | )% | OBFR | 3M/T | 8/12/2022 | $ | (12,192,582 | ) | |||||||||||
GSI | GSNBLIPO | 0.08 | % | (1.80 | )% | FEDL01 | 1M/T | 5/25/2023 | 8,595,282 | |||||||||||||
GSI | GSNBSPC4 | (1.90 | )% | (1.95 | )% | SOFR | 1M/T | 7/21/2023 | (193,928 | ) | ||||||||||||
JPM | JPNBGCND | (0.58 | )% | (0.65 | )% | OBFR | 3M/T | 5/1/2023 | 2,634,527 | |||||||||||||
JPM | JPNBLQGS | 0.10 | % | 0.03 | % | OBFR | 1M/T | 5/23/2023 | 1,146,880 | |||||||||||||
JPM | JPNBLQGS | 0.10 | % | 0.03 | % | OBFR | 1M/T | 5/23/2023 | 31,882,796 | |||||||||||||
JPM | JPNBRMV3 | 0.06 | % | (0.01 | )% | OBFR | 3M/T | 5/6/2022 | (38,971,536 | ) | ||||||||||||
Total | $ | (7,098,561 | ) |
(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 | ) | $ | (2,054,774 | ) | $ | (335,942 | ) | 2.8 | % | ||||||
Albemarle Corp. | (2,352 | ) | (1,691,825 | ) | (276,602 | ) | 2.3 | % | ||||||||
SVB Financial Group. | (828 | ) | (1,576,077 | ) | (257,678 | ) | 2.1 | % | ||||||||
United Rentals Inc. | (1,429 | ) | (1,490,822 | ) | (243,740 | ) | 2.0 | % | ||||||||
Bath & Body Works Inc. | (7,238 | ) | (1,322,590 | ) | (216,235 | ) | 1.8 | % | ||||||||
Seagate Technology Holdings PLC | (3,680 | ) | (1,284,995 | ) | (210,088 | ) | 1.7 | % | ||||||||
Ameriprise Financial Inc. | (1,253 | ) | (1,242,428 | ) | (203,129 | ) | 1.7 | % | ||||||||
LKQ Corp. | (6,492 | ) | (1,161,210 | ) | (189,850 | ) | 1.6 | % | ||||||||
Devon Energy Corp. | (6,868 | ) | (1,131,865 | ) | (185,052 | ) | 1.5 | % | ||||||||
Coterra Energy Inc. | (15,411 | ) | (1,099,820 | ) | (179,813 | ) | 1.5 | % | ||||||||
Nucor Corp. | (3,235 | ) | (1,068,864 | ) | (174,752 | ) | 1.4 | % | ||||||||
Capri Holdings Ltd. | (5,329 | ) | (1,043,105 | ) | (170,541 | ) | 1.4 | % | ||||||||
Lennar Corp. | (3,302 | ) | (1,034,177 | ) | (169,081 | ) | 1.4 | % | ||||||||
Skyworks Solutions Inc. | (2,131 | ) | (1,017,412 | ) | (166,340 | ) | 1.4 | % | ||||||||
Parker-Hannifin Corp. | (1,005 | ) | (1,014,826 | ) | (165,917 | ) | 1.4 | % | ||||||||
Kroger Co./The | (7,083 | ) | (1,006,134 | ) | (164,496 | ) | 1.3 | % | ||||||||
WW Grainger Inc. | (615 | ) | (992,616 | ) | (162,286 | ) | 1.3 | % | ||||||||
First Republic Bank/CA | (1,749 | ) | (989,682 | ) | (161,806 | ) | 1.3 | % | ||||||||
McKesson Corp. | (1,178 | ) | (985,134 | ) | (161,063 | ) | 1.3 | % | ||||||||
Affiliated Managers Group Inc. | (2,064 | ) | (983,198 | ) | (160,746 | ) | 1.3 | % | ||||||||
Fortune Brands Home & Security Inc. | (3,185 | ) | (977,411 | ) | (159,800 | ) | 1.3 | % | ||||||||
DaVita Inc. | (2,767 | ) | (977,124 | ) | (159,753 | ) | 1.3 | % | ||||||||
State Street Corp. | (3,119 | ) | (960,608 | ) | (157,053 | ) | 1.3 | % | ||||||||
Mosaic Co./The | (7,309 | ) | (951,526 | ) | (155,568 | ) | 1.3 | % | ||||||||
Eastman Chemical Co. | (2,451 | ) | (950,017 | ) | (155,321 | ) | 1.3 | % |
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
GSCBNBVL (cont’d) | ||||||||||||||||
Interpublic Group of Cos Inc./The | (7,791 | ) | $ | (902,340 | ) | $ | (147,527 | ) | 1.2 | % | ||||||
Fifth Third Bancorp. | (6,176 | ) | (898,255 | ) | (146,859 | ) | 1.2 | % | ||||||||
Laboratory Corp of America Holdings. | (1,001 | ) | (885,469 | ) | (144,769 | ) | 1.2 | % | ||||||||
Aptiv PLC | (1,977 | ) | (879,935 | ) | (143,864 | ) | 1.2 | % | ||||||||
Zions Bancorp NA | (3,946 | ) | (872,108 | ) | (142,584 | ) | 1.2 | % | ||||||||
Halliburton Co. | (8,461 | ) | (847,555 | ) | (138,570 | ) | 1.1 | % | ||||||||
Regions Financial Corp. | (11,258 | ) | (841,612 | ) | (137,598 | ) | 1.1 | % | ||||||||
Citizens Financial Group Inc. | (4,959 | ) | (831,693 | ) | (135,976 | ) | 1.1 | % | ||||||||
Whirlpool Corp. | (1,210 | ) | (828,528 | ) | (135,459 | ) | 1.1 | % | ||||||||
Hess Corp. | (2,725 | ) | (819,610 | ) | (134,001 | ) | 1.1 | % | ||||||||
KeyCorp. | (10,028 | ) | (818,906 | ) | (133,886 | ) | 1.1 | % | ||||||||
Marathon Oil Corp. | (12,833 | ) | (814,230 | ) | (133,121 | ) | 1.1 | % | ||||||||
Sealed Air Corp. | (3,677 | ) | (813,821 | ) | (133,054 | ) | 1.1 | % | ||||||||
APA Corp. | (7,517 | ) | (813,533 | ) | (133,007 | ) | 1.1 | % | ||||||||
Iron Mountain Inc. | (5,401 | ) | (808,181 | ) | (132,132 | ) | 1.1 | % | ||||||||
eBay Inc. | (4,097 | ) | (801,930 | ) | (131,110 | ) | 1.1 | % | ||||||||
Packaging Corp of America | (1,633 | ) | (801,372 | ) | (131,019 | ) | 1.1 | % | ||||||||
Comerica Inc. | (2,637 | ) | (797,319 | ) | (130,356 | ) | 1.1 | % | ||||||||
Newell Brands Inc. | (10,426 | ) | (788,626 | ) | (128,935 | ) | 1.1 | % | ||||||||
Textron Inc. | (3,531 | ) | (783,162 | ) | (128,042 | ) | 1.0 | % | ||||||||
AES Corp./The | (10,608 | ) | (766,714 | ) | (125,353 | ) | 1.0 | % | ||||||||
Tapestry Inc. | (6,030 | ) | (745,778 | ) | (121,930 | ) | 1.0 | % | ||||||||
Invesco Ltd. | (10,090 | ) | (745,094 | ) | (121,818 | ) | 1.0 | % | ||||||||
Mohawk Industries Inc. | (1,415 | ) | (727,794 | ) | (118,990 | ) | 1.0 | % | ||||||||
CF Industries Holdings Inc. | (3,236 | ) | (726,323 | ) | (118,749 | ) | 1.0 | % | ||||||||
Westrock Co. | (4,813 | ) | (723,959 | ) | (118,363 | ) | 1.0 | % | ||||||||
Quest Diagnostics Inc. | (1,639 | ) | (721,144 | ) | (117,902 | ) | 1.0 | % | ||||||||
Truist Financial Corp. | (3,502 | ) | (716,950 | ) | (117,216 | ) | 1.0 | % | ||||||||
Macy's Inc. | (8,501 | ) | (709,178 | ) | (115,946 | ) | 1.0 | % | ||||||||
Other Securities | (213,528 | ) | (22,393,442 | ) | (3,661,180 | ) | 29.6 | % | ||||||||
$ | (74,632,801 | ) | $ | (12,201,968 | ) | |||||||||||
Accrued Net Interest Receivable/(Payable) | 9,386 | |||||||||||||||
$ | (12,192,582 | ) | ||||||||||||||
GSNBLIPO | ||||||||||||||||
Airbnb Inc. | (631 | ) | $ | (999,635 | ) | $ | 339,940 | 4.0 | % | |||||||
Snowflake Inc. | (328 | ) | (932,036 | ) | 316,952 | 3.7 | % | |||||||||
Affirm Holdings Inc. | (1,290 | ) | (850,667 | ) | 289,281 | 3.4 | % | |||||||||
XPeng Inc. | (2,330 | ) | (841,693 | ) | 286,229 | 3.3 | % | |||||||||
Unity Software Inc. | (624 | ) | (675,371 | ) | 229,669 | 2.7 | % | |||||||||
Ryan Specialty Group Holdings Inc. | (1,712 | ) | (659,540 | ) | 224,286 | 2.6 | % | |||||||||
DigitalOcean Holdings Inc. | (1,048 | ) | (618,544 | ) | 210,344 | 2.5 | % | |||||||||
SentinelOne Inc. | (1,328 | ) | (611,837 | ) | 208,064 | 2.4 | % | |||||||||
Duolingo Inc. | (567 | ) | (583,368 | ) | 198,383 | 2.3 | % | |||||||||
UiPath Inc. | (1,375 | ) | (517,165 | ) | 175,869 | 2.1 | % | |||||||||
DoorDash Inc. | (433 | ) | (506,314 | ) | 172,179 | 2.0 | % | |||||||||
Bumble Inc. | (1,634 | ) | (496,445 | ) | 168,823 | 2.0 | % | |||||||||
Endeavor Group Holdings Inc. | (1,516 | ) | (489,760 | ) | 166,550 | 1.9 | % | |||||||||
GoodRx Holdings Inc. | (1,841 | ) | (455,213 | ) | 154,801 | 1.8 | % | |||||||||
Full Truck Alliance Co Ltd. | (5,041 | ) | (439,580 | ) | 149,485 | 1.7 | % | |||||||||
Atotech Ltd. | (1,729 | ) | (434,843 | ) | 147,874 | 1.7 | % | |||||||||
DiDi Global Inc. | (11,667 | ) | (433,627 | ) | 147,461 | 1.7 | % | |||||||||
C3.ai Inc. | (1,595 | ) | (432,444 | ) | 147,059 | 1.7 | % | |||||||||
Allegro MicroSystems Inc. | (1,323 | ) | (386,472 | ) | 131,425 | 1.5 | % | |||||||||
Driven Brands Holdings Inc. | (1,323 | ) | (384,821 | ) | 130,864 | 1.5 | % | |||||||||
AppLovin Corp. | (580 | ) | (384,466 | ) | 130,743 | 1.5 | % | |||||||||
Qualtrics International Inc. | (1,267 | ) | (381,752 | ) | 129,820 | 1.5 | % | |||||||||
McAfee Corp. | (1,437 | ) | (379,446 | ) | 129,036 | 1.5 | % | |||||||||
Shoals Technologies Group Inc. | (2,113 | ) | (366,814 | ) | 124,740 | 1.5 | % | |||||||||
Certara Inc. | (1,292 | ) | (355,518 | ) | 120,899 | 1.4 | % | |||||||||
Hayward Holdings Inc. | (1,753 | ) | (355,456 | ) | 120,878 | 1.4 | % | |||||||||
Leslie's Inc. | (1,654 | ) | (354,657 | ) | 120,606 | 1.4 | % | |||||||||
JFrog Ltd. | (1,278 | ) | (351,608 | ) | 119,569 | 1.4 | % | |||||||||
Broadstone Net Lease Inc. | (1,428 | ) | (339,856 | ) | 115,573 | 1.3 | % |
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
GSNBLIPO (cont’d) | ||||||||||||||||
ContextLogic Inc. | (12,137 | ) | $ | (331,136 | ) | $ | 112,607 | 1.3 | % | |||||||
DoubleVerify Holdings Inc. | (1,154 | ) | (328,581 | ) | 111,738 | 1.3 | % | |||||||||
Ortho Clinical Diagnostics Holdings PLC | (1,834 | ) | (327,875 | ) | 111,498 | 1.3 | % | |||||||||
Lufax Holding Ltd. | (6,336 | ) | (324,213 | ) | 110,253 | 1.3 | % | |||||||||
Figs Inc. | (1,391 | ) | (322,044 | ) | 109,515 | 1.3 | % | |||||||||
StepStone Group Inc. | (806 | ) | (290,621 | ) | 98,830 | 1.2 | % | |||||||||
Sotera Health Co. | (1,227 | ) | (271,742 | ) | 92,409 | 1.1 | % | |||||||||
Xometry Inc. | (503 | ) | (267,327 | ) | 90,908 | 1.1 | % | |||||||||
Traeger Inc. | (2,540 | ) | (266,455 | ) | 90,612 | 1.1 | % | |||||||||
Playtika Holding Corp. | (1,512 | ) | (265,185 | ) | 90,180 | 1.1 | % | |||||||||
ACV Auctions Inc. | (1,857 | ) | (253,534 | ) | 86,218 | 1.0 | % | |||||||||
Petco Health & Wellness Co Inc. | (1,247 | ) | (240,779 | ) | 81,880 | 1.0 | % | |||||||||
Sumo Logic Inc. | (1,913 | ) | (234,553 | ) | 79,763 | 0.9 | % | |||||||||
Dlocal Ltd./Uruguay | (750 | ) | (231,020 | ) | 78,562 | 0.9 | % | |||||||||
LifeStance Health Group Inc. | (2,747 | ) | (215,819 | ) | 73,392 | 0.9 | % | |||||||||
Olink Holding AB | (1,289 | ) | (214,770 | ) | 73,036 | 0.9 | % | |||||||||
Coursera Inc. | (1,015 | ) | (212,193 | ) | 72,159 | 0.8 | % | |||||||||
Array Technologies Inc. | (1,933 | ) | (209,719 | ) | 71,318 | 0.8 | % | |||||||||
Honest Co Inc./The | (3,006 | ) | (200,890 | ) | 68,315 | 0.8 | % | |||||||||
Zymergen Inc. | (3,726 | ) | (199,492 | ) | 67,840 | 0.8 | % | |||||||||
Olo Inc. | (1,075 | ) | (194,211 | ) | 66,044 | 0.8 | % | |||||||||
Other Securities | (50,061 | ) | (4,792,672 | ) | 1,629,817 | 18.9 | % | |||||||||
$ | (25,213,779 | ) | $ | 8,574,296 | ||||||||||||
Accrued Net Interest Receivable/(Payable) | 20,986 | |||||||||||||||
$ | 8,595,282 | |||||||||||||||
GSNBSPC4 | ||||||||||||||||
ironSource Ltd. | (15,413 | ) | $ | (1,371,001 | ) | $ | (10,706 | ) | 5.5 | % | ||||||
Ardagh Metal Packaging SA | (10,995 | ) | (1,362,923 | ) | (10,643 | ) | 5.5 | % | ||||||||
Nikola Corp. | (13,075 | ) | (1,351,560 | ) | (10,554 | ) | 5.4 | % | ||||||||
Canoo Inc. | (17,060 | ) | (1,343,980 | ) | (10,495 | ) | 5.4 | % | ||||||||
QuantumScape Corp. | (6,073 | ) | (1,304,761 | ) | (10,188 | ) | 5.3 | % | ||||||||
Proterra Inc. | (12,362 | ) | (1,258,712 | ) | (9,829 | ) | 5.1 | % | ||||||||
Genius Sports Ltd. | (14,782 | ) | (1,233,008 | ) | (9,628 | ) | 5.0 | % | ||||||||
Butterfly Network Inc. | (16,372 | ) | (1,222,330 | ) | (9,545 | ) | 4.9 | % | ||||||||
Planet Labs PBC. | (15,438 | ) | (1,212,206 | ) | (9,466 | ) | 4.9 | % | ||||||||
PLBY Group Inc. | (5,733 | ) | (1,172,742 | ) | (9,158 | ) | 4.7 | % | ||||||||
Aurora Innovation Inc. | (17,348 | ) | (1,100,960 | ) | (8,597 | ) | 4.4 | % | ||||||||
Arrival SA | (21,456 | ) | (1,079,932 | ) | (8,433 | ) | 4.3 | % | ||||||||
WeWork Inc. | (10,860 | ) | (1,038,658 | ) | (8,110 | ) | 4.2 | % | ||||||||
FREYR Battery SA | (8,572 | ) | (1,001,922 | ) | (7,824 | ) | 4.0 | % | ||||||||
SomaLogic Inc. | (9,068 | ) | (1,001,578 | ) | (7,821 | ) | 4.0 | % | ||||||||
Blade Air Mobility Inc. | (8,346 | ) | (656,467 | ) | (5,126 | ) | 2.7 | % | ||||||||
DocGo Inc. | (6,902 | ) | (629,012 | ) | (4,912 | ) | 2.6 | % | ||||||||
BTRS Holdings Inc. | (7,612 | ) | (627,090 | ) | (4,897 | ) | 2.5 | % | ||||||||
PAE Inc. | (4,826 | ) | (621,809 | ) | (4,856 | ) | 2.5 | % | ||||||||
Golden Nugget Online Gaming Inc. | (5,313 | ) | (549,863 | ) | (4,294 | ) | 2.2 | % | ||||||||
AST SpaceMobile Inc. | (7,185 | ) | (531,859 | ) | (4,153 | ) | 2.1 | % | ||||||||
Taboola.com Ltd. | (6,191 | ) | (482,149 | ) | (3,765 | ) | 1.9 | % | ||||||||
Hillman Solutions Corp. | (3,963 | ) | (457,666 | ) | (3,574 | ) | 1.8 | % | ||||||||
Algoma Steel Group Inc. | (3,852 | ) | (445,246 | ) | (3,477 | ) | 1.8 | % | ||||||||
Advantage Solutions Inc. | (3,673 | ) | (344,199 | ) | (2,688 | ) | 1.4 | % | ||||||||
Skillsoft Corp. | (3,190 | ) | (304,652 | ) | (2,379 | ) | 1.2 | % | ||||||||
GCM Grosvenor Inc. | (2,432 | ) | (284,591 | ) | (2,222 | ) | 1.1 | % | ||||||||
Vacasa Inc. | (3,584 | ) | (279,143 | ) | (2,180 | ) | 1.1 | % | ||||||||
Whole Earth Brands Inc. | (1,621 | ) | (197,891 | ) | (1,545 | ) | 0.8 | % | ||||||||
Vintage Wine Estates Inc. | (1,439 | ) | (157,627 | ) | (1,231 | ) | 0.7 | % | ||||||||
CareMax Inc. | (1,575 | ) | (125,730 | ) | (982 | ) | 0.5 | % | ||||||||
Tango Therapeutics Inc. | (1,089 | ) | (119,607 | ) | (934 | ) | 0.5 | % | ||||||||
$ | (24,870,874 | ) | $ | (194,212 | ) | |||||||||||
Accrued Net Interest Receivable/(Payable) | 284 | |||||||||||||||
$ | (193,928 | ) |
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
JPNBGCND | ||||||||||||||||
Amazon.com Inc. | (3,636 | ) | $ | (12,660,281 | ) | $ | 540,090 | 20.5 | % | |||||||
Home Depot Inc./The | (7,956 | ) | (3,398,694 | ) | 144,989 | 5.5 | % | |||||||||
Toyota Motor Corp. | (114,496 | ) | (2,599,453 | ) | 110,893 | 4.2 | % | |||||||||
LVMH Moet Hennessy Louis Vuitton SE | (2,609 | ) | (2,461,844 | ) | 105,023 | 4.0 | % | |||||||||
Lowe's Cos Inc. | (7,592 | ) | (2,097,426 | ) | 89,477 | 3.4 | % | |||||||||
McDonald's Corp. | (6,942 | ) | (2,096,553 | ) | 89,439 | 3.4 | % | |||||||||
NIKE Inc. | (11,930 | ) | (2,056,306 | ) | 87,722 | 3.3 | % | |||||||||
Sony Group Corp. | (12,310 | ) | (1,583,136 | ) | 67,537 | 2.6 | % | |||||||||
Starbucks Corp. | (12,023 | ) | (1,375,969 | ) | 58,699 | 2.2 | % | |||||||||
Booking Holdings Inc. | (446 | ) | (1,275,118 | ) | 54,397 | 2.1 | % | |||||||||
Target Corp. | (4,969 | ) | (1,274,911 | ) | 54,388 | 2.1 | % | |||||||||
TJX Cos Inc./The | (12,477 | ) | (1,045,254 | ) | 44,591 | 1.7 | % | |||||||||
Ford Motor Co. | (41,592 | ) | (982,805 | ) | 41,927 | 1.6 | % | |||||||||
Mercedes-Benz Group AG | (10,577 | ) | (965,917 | ) | 41,206 | 1.6 | % | |||||||||
Cie Financiere Richemont SA | (5,779 | ) | (961,584 | ) | 41,021 | 1.6 | % | |||||||||
General Motors Co. | (13,672 | ) | (839,187 | ) | 35,800 | 1.4 | % | |||||||||
Hermes International | (416 | ) | (716,595 | ) | 30,570 | 1.2 | % | |||||||||
eBay Inc. | (10,228 | ) | (715,206 | ) | 30,511 | 1.2 | % | |||||||||
AutoZone Inc. | (307 | ) | (710,841 | ) | 30,325 | 1.2 | % | |||||||||
Kering SA | (815 | ) | (698,612 | ) | 29,803 | 1.1 | % | |||||||||
O'Reilly Automotive Inc. | (882 | ) | (668,995 | ) | 28,539 | 1.1 | % | |||||||||
Chipotle Mexican Grill Inc. | (355 | ) | (613,077 | ) | 26,154 | 1.0 | % | |||||||||
Dollar General Corp. | (2,525 | ) | (612,690 | ) | 26,137 | 1.0 | % | |||||||||
Aptiv PLC | (3,850 | ) | (612,125 | ) | 26,113 | 1.0 | % | |||||||||
Compass Group PLC | (22,557 | ) | (588,818 | ) | 25,119 | 1.0 | % | |||||||||
Honda Motor Co Ltd. | (17,194 | ) | (583,057 | ) | 24,873 | 0.9 | % | |||||||||
Hilton Worldwide Holdings Inc. | (3,348 | ) | (565,509 | ) | 24,125 | 0.9 | % | |||||||||
adidas AG | (1,787 | ) | (565,376 | ) | 24,119 | 0.9 | % | |||||||||
Oriental Land Co Ltd./Japan | (2,750 | ) | (552,710 | ) | 23,579 | 0.9 | % | |||||||||
Marriott International Inc./MD | (2,885 | ) | (541,067 | ) | 23,082 | 0.9 | % | |||||||||
Yum! Brands Inc. | (3,657 | ) | (532,901 | ) | 22,734 | 0.9 | % | |||||||||
Volkswagen AG | (2,202 | ) | (527,288 | ) | 22,494 | 0.9 | % | |||||||||
Bayerische Motoren Werke AG | (4,326 | ) | (525,085 | ) | 22,400 | 0.8 | % | |||||||||
Michelin | (2,691 | ) | (518,989 | ) | 22,140 | 0.8 | % | |||||||||
DR Horton Inc. | (4,916 | ) | (510,535 | ) | 21,780 | 0.8 | % | |||||||||
Denso Corp. | (5,850 | ) | (502,405 | ) | 21,433 | 0.8 | % | |||||||||
Ross Stores Inc. | (4,252 | ) | (483,790 | ) | 20,639 | 0.8 | % | |||||||||
Lennar Corp. | (4,122 | ) | (461,199 | ) | 19,675 | 0.7 | % | |||||||||
Magna International Inc. | (4,700 | ) | (441,265 | ) | 18,824 | 0.7 | % | |||||||||
Industria de Diseno Textil SA | (12,231 | ) | (427,105 | ) | 18,220 | 0.7 | % | |||||||||
Fast Retailing Co Ltd. | (609 | ) | (412,163 | ) | 17,583 | 0.7 | % | |||||||||
Panasonic Corp. | (29,503 | ) | (373,612 | ) | 15,938 | 0.6 | % | |||||||||
Dollar Tree Inc. | (2,436 | ) | (372,153 | ) | 15,876 | 0.6 | % | |||||||||
Toyota Industries Corp. | (4,030 | ) | (362,680 | ) | 15,472 | 0.6 | % | |||||||||
Bandai Namco Holdings Inc. | (4,239 | ) | (343,144 | ) | 14,639 | 0.6 | % | |||||||||
Best Buy Co Inc. | (2,956 | ) | (341,629 | ) | 14,574 | 0.6 | % | |||||||||
Expedia Group Inc. | (1,598 | ) | (341,039 | ) | 14,549 | 0.6 | % | |||||||||
MGM Resorts International | (6,846 | ) | (340,420 | ) | 14,522 | 0.6 | % | |||||||||
Bridgestone Corp. | (6,693 | ) | (339,254 | ) | 14,473 | 0.5 | % | |||||||||
Genuine Parts Co. | (2,079 | ) | (322,357 | ) | 13,752 | 0.5 | % | |||||||||
Other Securities | (257,559 | ) | (6,881,920 | ) | 293,582 | 10.7 | % | |||||||||
$ | (61,780,049 | ) | $ | 2,635,547 | ||||||||||||
Accrued Net Interest Receivable/(Payable) | (1,020 | ) | ||||||||||||||
$ | 2,634,527 | |||||||||||||||
JPNBLQGS | ||||||||||||||||
GoDaddy Inc. | (587 | ) | $ | (134,494 | ) | $ | 15,998 | 1.4 | % | |||||||
Lumentum Holdings Inc. | (435 | ) | (133,678 | ) | 15,901 | 1.4 | % | |||||||||
Sabre Corp. | (4,642 | ) | (128,477 | ) | 15,283 | 1.3 | % | |||||||||
Zynga Inc. | (4,626 | ) | (126,908 | ) | 15,096 | 1.3 | % | |||||||||
Zendesk Inc. | (402 | ) | (119,671 | ) | 14,235 | 1.2 | % | |||||||||
Jabil Inc. | (638 | ) | (118,728 | ) | 14,123 | 1.2 | % | |||||||||
II-VI Inc. | (615 | ) | (118,033 | ) | 14,040 | 1.2 | % |
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
JPNBLQGS (cont’d) | ||||||||||||||||
Marvell Technology Inc. | (544 | ) | $ | (117,406 | ) | $ | 13,966 | 1.2 | % | |||||||
Dropbox Inc. | (1,554 | ) | (116,343 | ) | 13,839 | 1.2 | % | |||||||||
Palo Alto Networks Inc. | (74 | ) | (115,441 | ) | 13,732 | 1.2 | % | |||||||||
Sprouts Farmers Market Inc. | (1,395 | ) | (114,485 | ) | 13,618 | 1.2 | % | |||||||||
NXP Semiconductors NV | (181 | ) | (112,360 | ) | 13,366 | 1.2 | % | |||||||||
Microchip Technology Inc. | (476 | ) | (111,564 | ) | 13,271 | 1.2 | % | |||||||||
Pure Storage Inc. | (1,377 | ) | (110,358 | ) | 13,127 | 1.1 | % | |||||||||
Okta Inc. | (181 | ) | (108,319 | ) | 12,885 | 1.1 | % | |||||||||
F5 Inc. | (169 | ) | (106,199 | ) | 12,633 | 1.1 | % | |||||||||
StoneCo Ltd. | (2,224 | ) | (104,792 | ) | 12,465 | 1.1 | % | |||||||||
Dynatrace Inc. | (612 | ) | (101,579 | ) | 12,083 | 1.1 | % | |||||||||
RingCentral Inc. | (189 | ) | (100,671 | ) | 11,975 | 1.0 | % | |||||||||
Live Nation Entertainment Inc. | (302 | ) | (100,135 | ) | 11,911 | 1.0 | % | |||||||||
Silicon Laboratories Inc. | (199 | ) | (99,347 | ) | 11,818 | 1.0 | % | |||||||||
Performance Food Group Co. | (775 | ) | (98,901 | ) | 11,765 | 1.0 | % | |||||||||
ViacomCBS Inc. | (977 | ) | (98,808 | ) | 11,754 | 1.0 | % | |||||||||
Wix.com Ltd. | (248 | ) | (98,410 | ) | 11,706 | 1.0 | % | |||||||||
Nutanix Inc. | (1,181 | ) | (97,706 | ) | 11,622 | 1.0 | % | |||||||||
Datadog Inc. | (220 | ) | (97,142 | ) | 11,555 | 1.0 | % | |||||||||
MongoDB Inc. | (78 | ) | (95,549 | ) | 11,366 | 1.0 | % | |||||||||
EPAM Systems Inc. | (66 | ) | (94,674 | ) | 11,262 | 1.0 | % | |||||||||
Snowflake Inc. | (112 | ) | (93,850 | ) | 11,164 | 1.0 | % | |||||||||
Synaptics Inc. | (146 | ) | (92,966 | ) | 11,059 | 1.0 | % | |||||||||
New York Times Co./The | (766 | ) | (92,728 | ) | 11,030 | 1.0 | % | |||||||||
Wolfspeed Inc. | (323 | ) | (92,084 | ) | 10,954 | 1.0 | % | |||||||||
Avalara Inc. | (276 | ) | (91,445 | ) | 10,878 | 0.9 | % | |||||||||
Electronic Arts Inc. | (226 | ) | (90,591 | ) | 10,776 | 0.9 | % | |||||||||
Zscaler Inc. | (116 | ) | (89,921 | ) | 10,696 | 0.9 | % | |||||||||
Monolithic Power Systems Inc. | (72 | ) | (88,142 | ) | 10,485 | 0.9 | % | |||||||||
Twilio Inc. | (140 | ) | (87,332 | ) | 10,388 | 0.9 | % | |||||||||
Take-Two Interactive Software Inc. | (177 | ) | (87,287 | ) | 10,383 | 0.9 | % | |||||||||
Coty Inc. | (3,399 | ) | (87,186 | ) | 10,371 | 0.9 | % | |||||||||
Crowdstrike Holdings Inc. | (158 | ) | (86,089 | ) | 10,241 | 0.9 | % | |||||||||
Azenta Inc. | (328 | ) | (83,797 | ) | 9,968 | 0.9 | % | |||||||||
iHeartMedia Inc. | (1,373 | ) | (83,671 | ) | 9,953 | 0.9 | % | |||||||||
Trade Desk Inc./The | (374 | ) | (78,613 | ) | 9,351 | 0.8 | % | |||||||||
HubSpot Inc. | (52 | ) | (77,309 | ) | 9,196 | 0.8 | % | |||||||||
Coupa Software Inc. | (190 | ) | (77,174 | ) | 9,180 | 0.8 | % | |||||||||
Maximus Inc. | (328 | ) | (76,760 | ) | 9,131 | 0.8 | % | |||||||||
Palantir Technologies Inc. | (1,841 | ) | (76,355 | ) | 9,083 | 0.8 | % | |||||||||
Elastic NV | (253 | ) | (71,495 | ) | 8,505 | 0.7 | % | |||||||||
Bill.com Holdings Inc. | (122 | ) | (69,497 | ) | 8,267 | 0.7 | % | |||||||||
AmerisourceBergen Corp. | (167 | ) | (68,858 | ) | 8,191 | 0.7 | % | |||||||||
Other Securities | (34,654 | ) | (4,721,413 | ) | 561,625 | 49.2 | % | |||||||||
$ | (9,644,741 | ) | $ | 1,147,270 | ||||||||||||
Accrued Net Interest Receivable/(Payable) | (390 | ) | ||||||||||||||
$ | 1,146,880 | |||||||||||||||
JPNBLQGS | ||||||||||||||||
GoDaddy Inc. | (11,691 | ) | $ | (2,677,303 | ) | $ | 444,713 | 1.4 | % | |||||||
Lumentum Holdings Inc. | (8,669 | ) | (2,661,049 | ) | 442,013 | 1.4 | % | |||||||||
Sabre Corp. | (92,404 | ) | (2,557,519 | ) | 424,816 | 1.3 | % | |||||||||
Zynga Inc. | (92,081 | ) | (2,526,286 | ) | 419,628 | 1.3 | % | |||||||||
Zendesk Inc. | (7,995 | ) | (2,382,226 | ) | 395,699 | 1.2 | % | |||||||||
Jabil Inc. | (12,707 | ) | (2,363,462 | ) | 392,582 | 1.2 | % | |||||||||
II-VI Inc. | (12,252 | ) | (2,349,610 | ) | 390,281 | 1.2 | % | |||||||||
Marvell Technology Inc. | (10,821 | ) | (2,337,136 | ) | 388,209 | 1.2 | % | |||||||||
Dropbox Inc. | (30,935 | ) | (2,315,977 | ) | 384,695 | 1.2 | % | |||||||||
Palo Alto Networks Inc. | (1,468 | ) | (2,298,031 | ) | 381,714 | 1.2 | % | |||||||||
Sprouts Farmers Market Inc. | (27,761 | ) | (2,278,991 | ) | 378,551 | 1.2 | % | |||||||||
NXP Semiconductors NV | (3,599 | ) | (2,236,697 | ) | 371,526 | 1.2 | % | |||||||||
Microchip Technology Inc. | (9,476 | ) | (2,220,854 | ) | 368,894 | 1.2 | % | |||||||||
Pure Storage Inc. | (27,416 | ) | (2,196,828 | ) | 364,903 | 1.1 | % | |||||||||
Okta Inc. | (3,602 | ) | (2,156,252 | ) | 358,164 | 1.1 | % |
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
JPNBLQGS (cont’d) | ||||||||||||||||
F5 Inc. | (3,366 | ) | $ | (2,114,045 | ) | $ | 351,153 | 1.1 | % | |||||||
StoneCo Ltd. | (44,264 | ) | (2,086,029 | ) | 346,499 | 1.1 | % | |||||||||
Dynatrace Inc. | (12,185 | ) | (2,022,073 | ) | 335,876 | 1.1 | % | |||||||||
RingCentral Inc. | (3,754 | ) | (2,003,996 | ) | 332,873 | 1.0 | % | |||||||||
Live Nation Entertainment Inc. | (6,018 | ) | (1,993,339 | ) | 331,103 | 1.0 | % | |||||||||
Silicon Laboratories Inc. | (3,958 | ) | (1,977,655 | ) | 328,498 | 1.0 | % | |||||||||
Performance Food Group Co. | (15,427 | ) | (1,968,760 | ) | 327,020 | 1.0 | % | |||||||||
ViacomCBS Inc. | (19,440 | ) | (1,966,926 | ) | 326,716 | 1.0 | % | |||||||||
Wix.com Ltd. | (4,930 | ) | (1,958,991 | ) | 325,398 | 1.0 | % | |||||||||
Nutanix Inc. | (23,519 | ) | (1,944,974 | ) | 323,069 | 1.0 | % | |||||||||
Datadog Inc. | (4,375 | ) | (1,933,754 | ) | 321,206 | 1.0 | % | |||||||||
MongoDB Inc. | (1,552 | ) | (1,902,050 | ) | 315,939 | 1.0 | % | |||||||||
EPAM Systems Inc. | (1,309 | ) | (1,884,633 | ) | 313,046 | 1.0 | % | |||||||||
Snowflake Inc. | (2,239 | ) | (1,868,212 | ) | 310,319 | 1.0 | % | |||||||||
Synaptics Inc. | (2,909 | ) | (1,850,629 | ) | 307,398 | 1.0 | % | |||||||||
New York Times Co./The | (15,245 | ) | (1,845,883 | ) | 306,610 | 1.0 | % | |||||||||
Wolfspeed Inc. | (6,430 | ) | (1,833,069 | ) | 304,481 | 1.0 | % | |||||||||
Avalara Inc. | (5,490 | ) | (1,820,346 | ) | 302,368 | 0.9 | % | |||||||||
Electronic Arts Inc. | (4,494 | ) | (1,803,339 | ) | 299,543 | 0.9 | % | |||||||||
Zscaler Inc. | (2,302 | ) | (1,790,003 | ) | 297,328 | 0.9 | % | |||||||||
Monolithic Power Systems Inc. | (1,440 | ) | (1,754,592 | ) | 291,446 | 0.9 | % | |||||||||
Twilio Inc. | (2,788 | ) | (1,738,465 | ) | 288,767 | 0.9 | % | |||||||||
Take-Two Interactive Software Inc. | (3,517 | ) | (1,737,568 | ) | 288,618 | 0.9 | % | |||||||||
Coty Inc. | (67,661 | ) | (1,735,564 | ) | 288,285 | 0.9 | % | |||||||||
Crowdstrike Holdings Inc. | (3,136 | ) | (1,713,725 | ) | 284,658 | 0.9 | % | |||||||||
Azenta Inc. | (6,539 | ) | (1,668,103 | ) | 277,080 | 0.9 | % | |||||||||
iHeartMedia Inc. | (27,327 | ) | (1,665,598 | ) | 276,664 | 0.9 | % | |||||||||
Trade Desk Inc./The | (7,440 | ) | (1,564,909 | ) | 259,939 | 0.8 | % | |||||||||
HubSpot Inc. | (1,041 | ) | (1,538,952 | ) | 255,627 | 0.8 | % | |||||||||
Coupa Software Inc. | (3,783 | ) | (1,536,270 | ) | 255,182 | 0.8 | % | |||||||||
Maximus Inc. | (6,533 | ) | (1,528,025 | ) | 253,812 | 0.8 | % | |||||||||
Palantir Technologies Inc. | (36,651 | ) | (1,519,952 | ) | 252,471 | 0.8 | % | |||||||||
Elastic NV | (5,046 | ) | (1,423,213 | ) | 236,402 | 0.7 | % | |||||||||
Bill.com Holdings Inc. | (2,430 | ) | (1,383,432 | ) | 229,795 | 0.7 | % | |||||||||
AmerisourceBergen Corp. | (3,327 | ) | (1,370,728 | ) | 227,684 | 0.7 | % | |||||||||
Other Securities | (689,858 | ) | (93,986,644 | ) | 15,611,620 | 49.2 | % | |||||||||
$ | (191,992,667 | ) | $ | 31,890,881 | ||||||||||||
Accrued Net Interest Receivable/(Payable) | (8,085 | ) | ||||||||||||||
$ | 31,882,796 | |||||||||||||||
JPNBRMV3 | ||||||||||||||||
Freeport-McMoRan Inc. | (19,671 | ) | $ | (1,813,503 | ) | $ | (530,989 | ) | 1.4 | % | ||||||
Analog Devices Inc. | (4,169 | ) | (1,692,980 | ) | (495,700 | ) | 1.3 | % | ||||||||
Newmont Corp. | (10,581 | ) | (1,603,194 | ) | (469,411 | ) | 1.2 | % | ||||||||
Agilent Technologies Inc. | (4,376 | ) | (1,510,238 | ) | (442,194 | ) | 1.1 | % | ||||||||
IQVIA Holdings Inc. | (2,374 | ) | (1,440,114 | ) | (421,662 | ) | 1.1 | % | ||||||||
Synopsys Inc. | (1,808 | ) | (1,390,395 | ) | (407,104 | ) | 1.0 | % | ||||||||
Archer-Daniels-Midland Co. | (7,469 | ) | (1,387,529 | ) | (406,265 | ) | 1.0 | % | ||||||||
Roper Technologies Inc. | (1,109 | ) | (1,201,311 | ) | (351,741 | ) | 0.9 | % | ||||||||
Fidelity National Information Services I | (4,009 | ) | (1,190,781 | ) | (348,658 | ) | 0.9 | % | ||||||||
Williams Cos Inc./The | (15,739 | ) | (1,167,190 | ) | (341,750 | ) | 0.9 | % | ||||||||
Ameriprise Financial Inc. | (1,546 | ) | (1,165,197 | ) | (341,167 | ) | 0.9 | % | ||||||||
Fifth Third Bancorp. | (10,427 | ) | (1,152,657 | ) | (337,495 | ) | 0.9 | % | ||||||||
Devon Energy Corp. | (9,113 | ) | (1,141,494 | ) | (334,227 | ) | 0.9 | % | ||||||||
Kroger Co./The | (10,501 | ) | (1,133,781 | ) | (331,968 | ) | 0.9 | % | ||||||||
Parker-Hannifin Corp. | (1,433 | ) | (1,100,250 | ) | (322,150 | ) | 0.8 | % | ||||||||
Motorola Solutions Inc. | (1,915 | ) | (1,100,023 | ) | (322,084 | ) | 0.8 | % | ||||||||
Corning Inc. | (10,561 | ) | (1,099,738 | ) | (322,000 | ) | 0.8 | % | ||||||||
Ball Corp. | (4,425 | ) | (1,064,340 | ) | (311,636 | ) | 0.8 | % | ||||||||
Keysight Technologies Inc. | (2,529 | ) | (1,057,652 | ) | (309,678 | ) | 0.8 | % | ||||||||
PACCAR Inc. | (4,522 | ) | (1,041,558 | ) | (304,966 | ) | 0.8 | % | ||||||||
Nucor Corp. | (4,092 | ) | (1,027,697 | ) | (300,907 | ) | 0.8 | % | ||||||||
Willis Towers Watson PLC | (1,762 | ) | (1,021,078 | ) | (298,969 | ) | 0.8 | % | ||||||||
Marvell Technology Inc. | (5,479 | ) | (968,921 | ) | (283,698 | ) | 0.7 | % | ||||||||
Arthur J Gallagher & Co. | (2,432 | ) | (951,303 | ) | (278,539 | ) | 0.7 | % |
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
JPNBRMV3 (cont’d) | ||||||||||||||||
First Republic Bank/CA | (2,199 | ) | $ | (945,687 | ) | $ | (276,895 | ) | 0.7 | % | ||||||
Stanley Black & Decker Inc. | (2,044 | ) | (884,278 | ) | (258,914 | ) | 0.7 | % | ||||||||
Tyson Foods Inc. | (3,868 | ) | (870,710 | ) | (254,942 | ) | 0.7 | % | ||||||||
Dollar Tree Inc. | (2,662 | ) | (865,161 | ) | (253,317 | ) | 0.6 | % | ||||||||
Laboratory Corp of America Holdings | (1,280 | ) | (860,563 | ) | (251,971 | ) | 0.6 | % | ||||||||
Republic Services Inc. | (2,718 | ) | (859,307 | ) | (251,603 | ) | 0.6 | % | ||||||||
KeyCorp. | (13,715 | ) | (851,271 | ) | (249,250 | ) | 0.6 | % | ||||||||
Hartford Financial Services Group Inc./Th | (4,766 | ) | (848,337 | ) | (248,391 | ) | 0.6 | % | ||||||||
AMETEK Inc. | (2,478 | ) | (839,307 | ) | (245,747 | ) | 0.6 | % | ||||||||
Zimmer Biomet Holdings Inc. | (2,749 | ) | (837,579 | ) | (245,241 | ) | 0.6 | % | ||||||||
Dover Corp. | (1,933 | ) | (813,381 | ) | (238,156 | ) | 0.6 | % | ||||||||
Citizens Financial Group Inc. | (6,325 | ) | (806,310 | ) | (236,086 | ) | 0.6 | % | ||||||||
Hess Corp. | (3,496 | ) | (799,088 | ) | (233,971 | ) | 0.6 | % | ||||||||
Regions Financial Corp. | (13,959 | ) | (793,167 | ) | (232,237 | ) | 0.6 | % | ||||||||
Liberty Broadband Corp. | (2,155 | ) | (792,185 | ) | (231,950 | ) | 0.6 | % | ||||||||
M&T Bank Corp. | (1,858 | ) | (779,595 | ) | (228,263 | ) | 0.6 | % | ||||||||
Albemarle Corp. | (1,425 | ) | (779,101 | ) | (228,119 | ) | 0.6 | % | ||||||||
McCormick & Co Inc./MD | (3,072 | ) | (763,185 | ) | (223,459 | ) | 0.6 | % | ||||||||
West Pharmaceutical Services Inc. | (754 | ) | (734,475 | ) | (215,052 | ) | 0.6 | % | ||||||||
ConocoPhillips | (3,332 | ) | (731,423 | ) | (214,159 | ) | 0.5 | % | ||||||||
Cummins Inc. | (1,276 | ) | (698,128 | ) | (204,410 | ) | 0.5 | % | ||||||||
Discover Financial Services | (2,421 | ) | (694,013 | ) | (203,205 | ) | 0.5 | % | ||||||||
Canadian Pacific Railway Ltd. | (3,909 | ) | (693,412 | ) | (203,029 | ) | 0.5 | % | ||||||||
Nasdaq Inc. | (1,562 | ) | (693,225 | ) | (202,975 | ) | 0.5 | % | ||||||||
Morgan Stanley | (2,676 | ) | (679,772 | ) | (199,036 | ) | 0.5 | % | ||||||||
Principal Financial Group Inc. | (3,715 | ) | (672,284 | ) | (196,843 | ) | 0.5 | % | ||||||||
Other Securities | (692,234 | ) | (83,101,989 | ) | (24,332,047 | ) | 62.6 | % | ||||||||
$ | (133,109,857 | ) | $ | (38,974,226 | ) | |||||||||||
Accrued Net Interest Receivable/(Payable) | 2,690 | |||||||||||||||
$ | (38,971,536 | ) | ||||||||||||||
Total Return Basket Swaps, at value | $ | (7,098,561 | ) |
(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 January 31, 2022. |
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
Total return swap contracts ("total return swaps") |
At January 31, 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 | MSCI Daily TR World Gross Industrials Index | USD | (10,595,502) | 5/15/2022 | 0.24 | % | 0.08 | % | 3M USD LIBOR | 3M/T | $ | (1,417,542 | ) | $ | 2,245 | $ | (1,415,297 | ) | ||||||||||||||
JPM | S&P 500 Equal Weight Total Return Index | USD | (236,234,595) | 5/4/2022 | 0.22 | % | 0.15 | % | OBFR | 1M/T | (67,873,313 | ) | (13,376 | ) | (67,886,689 | ) | ||||||||||||||||
Total | $ | (69,290,855 | ) | $ | (11,131 | ) | $ | (69,301,986 | ) |
(a) | The Fund receives a specified rate based on a reference rate (e.g. LIBOR) plus or minus a spread, and pays the total return on the reference entity. |
(b) | Effective rate at January 31, 2022. |
At January 31, 2022, the Fund had cash collateral of $112,080,000 deposited in segregated accounts for JPMorgan Chase Bank N.A. and received $1,000,000 from Goldman Sachs International, to cover collateral requirements on over-the-counter derivatives.
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
Purchased option contracts ("options purchased")
At January 31, 2022, the Fund had outstanding options purchased as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||
Calls | ||||||||||||||||||
Internet & Direct Marketing Retail | ||||||||||||||||||
Chewy, Inc. | 1,645 | $ | 7,831,845 | $ | 65 | 3/18/2022 | $ | 70,735 | ||||||||||
IT Services | ||||||||||||||||||
Fidelity National Information | 1,645 | 19,726,840 | 120 | 4/14/2022 | 1,167,950 | |||||||||||||
Okta, Inc. | 686 | 13,575,254 | 250 | 3/18/2022 | 138,915 | |||||||||||||
1,306,865 | ||||||||||||||||||
Software | ||||||||||||||||||
Splunk, Inc. | 784 | 9,715,328 | 125 | 2/18/2022 | 413,560 | |||||||||||||
Total options purchased (cost $1,991,893) | $ | 1,791,160 |
Written option contracts ("options written")
At January 31, 2022, the Fund had outstanding options written as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||
Puts | ||||||||||||||||||
Internet & Direct Marketing Retail | ||||||||||||||||||
Chewy, Inc. | 1,645 | $ | (7,831,845 | ) | $ | 50 | 3/18/2022 | $ | (925,313 | ) | ||||||||
IT Services | ||||||||||||||||||
Fidelity National Information | 1,645 | (19,726,840 | ) | 100 | 4/14/2022 | (283,762 | ) | |||||||||||
Okta, Inc. | 686 | (13,575,254 | ) | 200 | 3/18/2022 | (1,167,915 | ) | |||||||||||
(1,451,677 | ) | |||||||||||||||||
Total options written (premium received $1,653,543) | $ | (2,376,990 | ) |
At January 31, 2022, the Fund had securities pledged in the amount of $760,351,067 to cover collateral requirements for options written.
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
The following is a summary, categorized by Level (see the Notes to Schedule of Investments), of inputs used to value the Fund's investments as of January 31, 2022:
Asset Valuation Inputs | Level 1 | Level 2 | Level 3(c) | Total | ||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | $ | — | $ | 16,497,964 | $ | — | $ | 16,497,964 | ||||||||
Computers | — | — | 3,950,001 | 3,950,001 | ||||||||||||
Hotels, Restaurants & Leisure | 152,574,525 | 21,315,546 | — | 173,890,071 | ||||||||||||
Oil, Gas & Consumable Fuels | 95,113,878 | — | 2,873,157 | 97,987,035 | ||||||||||||
Software | 687,004,651 | 13,575,281 | 4,701,917 | 705,281,849 | ||||||||||||
Specialty Retail | 219,736,279 | — | 144,400,018 | 364,136,297 | ||||||||||||
Other Common Stocks(a) | 2,903,506,359 | — | — | 2,903,506,359 | ||||||||||||
Total Common Stocks | 4,057,935,692 | 51,388,791 | 155,925,093 | 4,265,249,576 | ||||||||||||
Preferred Stocks(a) | — | — | 55,439,239 | 55,439,239 | ||||||||||||
Loan Assignment(a) | — | — | 25,500,000 | 25,500,000 | ||||||||||||
Corporate Bonds(a) | — | 88,589,390 | — | 88,589,390 | ||||||||||||
Master Limited Partnerships and Limited Partnerships(a) | 112,828,803 | — | — | 112,828,803 | ||||||||||||
Warrants | ||||||||||||||||
Diversified Consumer Services | 158,326 | 3,534,537 | — | 3,692,863 | ||||||||||||
Other Warrants(a) | 802,560 | — | — | 802,560 | ||||||||||||
Total Warrants | 960,886 | 3,534,537 | — | 4,495,423 | ||||||||||||
Short-Term Investments | — | 1,139,551,668 | — | 1,139,551,668 | ||||||||||||
Options Purchased(b) | 1,791,160 | — | — | 1,791,160 | ||||||||||||
Total Investments | $ | 4,173,516,541 | $ | 1,283,064,386 | $ | 236,864,332 | $ | 5,693,445,259 |
(a) | The 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. |
(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 1/31/2022 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 1/31/2022 | |||||||||||||||||||||
Investments in Securities: | |||||||||||||||||||||||||||||||
Common Stocks(d)(h) | $ | 103,106 | $ | — | $ | — | $ | 44,167 | $ | 8,652 | $ | — | $ | — | $ | — | $ | 155,925 | $ | 44,167 | |||||||||||
Preferred Stocks(d) | 36,016 | — | — | (4,717 | ) | 33,543 | — | — | (9,403 | ) | 55,439 | (1,521 | ) | ||||||||||||||||||
Loan Assignments(d) | 25,500 | 12 | — | (12 | ) | — | — | — | — | 25,500 | (12 | ) | |||||||||||||||||||
Options Purchased(h) | 15 | — | (603 | ) | 588 | — | — | — | — | — | — | ||||||||||||||||||||
Warrants(h) | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||
Total | $ | 164,637 | $ | 12 | $ | (603 | ) | $ | 40,026 | $ | 42,195 | $ | — | $ | — | $ | (9,403 | ) | $ | 236,864 | $ | 42,634 |
(d) | Quantitative Information about Level 3 Fair Value Measurements: |
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
Investment type | Fair value at 1/31/2022 | Valuation approach | Unobservable input(s) | Input value/range | Weighted average(f) | Impact to valuation from increase in Input(g) | |||||||||||
Common Stocks | $ | 153,051,936 | Market Approach | Transaction Price | $11.00 - $67.84 | $ | 66.07 | Increase | |||||||||
Common Stocks | 2,873,157 | Market Approach | Enterprise value/EBITDA multiple(e) (EV/EBITDA) | 11.0x | 11.0 | x | Increase | ||||||||||
Preferred Stocks | 48,961,013 | Market Approach | Transaction Price | $4.95 - $48.11 | $ | 14.01 | Increase | ||||||||||
Preferred Stocks | 6,478,226 | Market Approach | Enterprise value/Revenue multiple(e) (EV/Revenue) | 5.6x | 5.6 | x | Increase | ||||||||||
Loan Assignments | 25,500,000 | Market Approach | Yield | 8.0% | 8.0 | % | 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. |
The following is a summary, categorized by Level (see the Notes to Schedule of Investments), of inputs used to value the Fund's short investments as of January 31, 2022:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments: | ||||||||||||||||
Common Stocks Sold Short(a) | $ | (565,357,916 | ) | $ | — | $ | — | $ | (565,357,916 | ) | ||||||
Corporate Bonds Sold Short(a) | — | (48,611,595 | ) | — | (48,611,595 | ) | ||||||||||
Exchange-Traded Funds Sold Short | (62,245,963 | ) | — | — | (62,245,963 | ) | ||||||||||
Total Short Positions | $ | (627,603,879 | ) | $ | (48,611,595 | ) | $ | — | $ | (676,215,474 | ) |
(a) | The Schedule of Investments provides information on the industry or sector categorization. |
The following is a summary, categorized by Level (see the Notes to Schedule of Investments), of inputs used to value the Fund's derivatives as of January 31, 2022:
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures(a) | ||||||||||||||||
Assets | $ | 35,507,858 | $ | — | $ | — | $ | 35,507,858 | ||||||||
Swaps | ||||||||||||||||
Assets | — | 44,259,485 | — | 44,259,485 | ||||||||||||
Liabilities | — | (120,660,032 | ) | — | (120,660,032 | ) | ||||||||||
Options Written | ||||||||||||||||
Liabilities | (2,376,990 | ) | — | — | (2,376,990 | ) | ||||||||||
Total | $ | 33,130,868 | $ | (76,400,547 | ) | $ | — | $ | (43,269,679 | ) |
(a) | Futures are reported at the cumulative unrealized appreciation/(depreciation) of the instrument. |
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
§ | Investments in Affiliates(a): |
Long Short | Value at October 31, 2021 | Purchase Cost | Sales Return of |
Change in Net | Net Realized Gain/(Loss) from Investments in Affiliated Persons | Distributions from Investments in Affiliated Persons | Shares Held at January 31, 2022 | Value at January 31, 2022 | ||||||||||||||||||||||||
Independence Holdings Corp. | $ | 10,818,588 | $ | - | $ | - | $ | (221,892 | ) | $ | - | $ | - | * | 1,082,400 | $ | 10,596,696 | |||||||||||||||
Sub-total for affiliates held as of 1/31/22(b)(c) | $ | 10,818,588 | $ | - | $ | - | $ | (221,892 | ) | $ | - | $ | - | $ | 10,596,696 |
(a) | Affiliated issuers, as defined in the Investment Company Act of 1940, as amended. |
(b) | At January 31, 2022, this security amounted to approximately 0.20% of net assets of the Fund. |
(c) | Not an affiliated issuer at October 31, 2021. |
* | Non-income producing security. |
^ | A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1. |
See Notes to Schedule of Investments
Schedule of Investments U.S. Equity Index PutWrite Strategy Fund^
(Unaudited) January 31, 2022
PRINCIPAL AMOUNT | VALUE | ||||||||
U.S. Treasury Obligations 80.6% | |||||||||
U.S. Treasury Notes | |||||||||
$ | 58,500,000 | 2.38%, due 3/15/2022 | $ | 58,655,979 | |||||
53,800,000 | 1.75%, due 6/15/2022 | 54,075,305 | |||||||
67,500,000 | 1.50%, due 9/15/2022 | 67,900,781 | (a) | ||||||
59,200,000 | 1.63%, due 12/15/2022 | 59,664,812 | (a) | ||||||
59,600,000 | 0.50%, due 3/15/2023 | 59,367,187 | |||||||
65,600,000 | 0.25%, due 6/15/2023 | 64,961,938 | |||||||
121,100,000 | 0.13%, due 9/15/2023 – 12/15/2023 | 119,044,044 | (a) | ||||||
Total U.S. Treasury Obligations (Cost $486,289,435) | 483,670,046 |
NUMBER OF SHARES | ||||||||
Short-Term Investments 5.5% | ||||||||
Investment Companies 5.5% | ||||||||
33,291,035 | State Street Institutional U.S. Government Money Market Fund Premier Class, 0.03%(b) (Cost $33,291,035) | 33,291,035 | (c) | |||||
Total Investments 86.1% (Cost $519,580,470) | 516,961,081 | |||||||
Other Assets Less Liabilities 13.9% | 83,230,825 | (d) | ||||||
Net Assets 100.0% | $ | 600,191,906 |
(a) | All or a portion of this security is pledged as collateral for options written. | |
(b) | Represents 7-day effective yield as of January 31, 2022. | |
(c) | All or a portion of this security is segregated in connection with obligations for options written with a total value of $33,291,035. | |
(d) | Includes the impact of the Fund's open positions in derivatives at January 31, 2022. |
See Notes to Schedule of Investments
Schedule of Investments U.S. Equity Index PutWrite Strategy Fund^
(Unaudited) (cont’d)
Derivative Instruments
Written option contracts ("options written")
At January 31, 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 | 35 | $ | (15,804,425 | ) | $ | 4,325 | 2/4/2022 | $ | (28,350 | ) | ||||||||||
S&P 500 Index | 55 | (24,835,525 | ) | 4,335 | 2/4/2022 | (49,500 | ) | |||||||||||||
S&P 500 Index | 27 | (12,191,985 | ) | 4,350 | 2/4/2022 | (28,620 | ) | |||||||||||||
S&P 500 Index | 17 | (7,676,435 | ) | 4,370 | 2/4/2022 | (22,270 | ) | |||||||||||||
S&P 500 Index | 14 | (6,321,770 | ) | 4,415 | 2/4/2022 | (29,260 | ) | |||||||||||||
S&P 500 Index | 110 | (49,671,050 | ) | 4,440 | 2/4/2022 | (293,700 | ) | |||||||||||||
S&P 500 Index | 17 | (7,676,435 | ) | 4,590 | 2/4/2022 | (173,230 | ) | |||||||||||||
S&P 500 Index | 124 | (55,992,820 | ) | 4,325 | 2/11/2022 | (310,620 | ) | |||||||||||||
S&P 500 Index | 5 | (2,257,775 | ) | 4,335 | 2/11/2022 | (13,275 | ) | |||||||||||||
S&P 500 Index | 17 | (7,676,435 | ) | 4,350 | 2/11/2022 | (49,385 | ) | |||||||||||||
S&P 500 Index | 9 | (4,063,995 | ) | 4,415 | 2/11/2022 | (38,340 | ) | |||||||||||||
S&P 500 Index | 9 | (4,063,995 | ) | 4,440 | 2/11/2022 | (44,370 | ) | |||||||||||||
S&P 500 Index | 124 | (55,992,820 | ) | 4,625 | 2/11/2022 | (1,779,400 | ) | |||||||||||||
S&P 500 Index | 93 | (41,994,615 | ) | 4,445 | 2/18/2022 | (618,915 | ) | |||||||||||||
S&P 500 Index | 44 | (19,868,420 | ) | 4,490 | 2/18/2022 | (361,240 | ) | |||||||||||||
S&P 500 Index | 77 | (34,769,735 | ) | 4,585 | 2/18/2022 | (995,610 | ) | |||||||||||||
S&P 500 Index | 94 | (42,446,170 | ) | 4,590 | 2/18/2022 | (1,244,560 | ) | |||||||||||||
S&P 500 Index | 27 | (12,191,985 | ) | 4,625 | 2/18/2022 | (420,525 | ) | |||||||||||||
S&P 500 Index | 34 | (15,352,870 | ) | 4,330 | 2/25/2022 | (172,380 | ) | |||||||||||||
S&P 500 Index | 7 | (3,160,885 | ) | 4,335 | 2/25/2022 | (36,190 | ) | |||||||||||||
S&P 500 Index | 125 | (56,444,375 | ) | 4,355 | 2/25/2022 | (698,125 | ) | |||||||||||||
S&P 500 Index | 43 | (19,416,865 | ) | 4,375 | 2/25/2022 | (259,935 | ) | |||||||||||||
S&P 500 Index | 67 | (30,254,185 | ) | 4,420 | 2/25/2022 | (483,405 | ) | |||||||||||||
S&P 500 Index | 20 | (9,031,100 | ) | 4,445 | 2/25/2022 | (159,000 | ) | |||||||||||||
S&P 500 Index | 50 | (22,577,750 | ) | 4,490 | 2/25/2022 | (475,750 | ) | |||||||||||||
S&P 500 Index | 13 | (5,870,215 | ) | 4,375 | 3/4/2022 | (94,250 | ) | |||||||||||||
S&P 500 Index | 111 | (50,122,605 | ) | 4,490 | 3/4/2022 | (1,201,020 | ) | |||||||||||||
Total options written (premium received $14,617,190) | $ | (10,081,225 | ) |
At January 31, 2022, the Fund had securities pledged in the amount of $129,333,883 to cover collateral requirements for options written.
See Notes to Schedule of Investments
Schedule of Investments U.S. Equity Index PutWrite Strategy Fund^
(Unaudited) (cont’d)
The following is a summary, categorized by Level (see the Notes to Schedule of Investments), of inputs used to value the Fund's investments as of January 31, 2022: | ||||||||||||||||
Asset Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments: | ||||||||||||||||
U.S. Treasury Obligations | $ | — | $ | 483,670,046 | $ | — | $ | 483,670,046 | ||||||||
Short-Term Investments | — | 33,291,035 | — | 33,291,035 | ||||||||||||
Total Investments | $ | — | $ | 516,961,081 | $ | — | $ | 516,961,081 |
The following is a summary, categorized by Level (see the Notes to Schedule of Investments), of inputs used to value the Fund's derivatives as of January 31, 2022: | ||||||||||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Options Written | ||||||||||||||||
Liabilities | $ | (10,081,225 | ) | $ | — | $ | — | $ | (10,081,225 | ) | ||||||
Total | $ | (10,081,225 | ) | $ | — | $ | — | $ | (10,081,225 | ) |
^ A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Schedule of Investments
January 31, 2022
Notes to Schedule of Investmentsß Alternative and Multi-Asset Class Funds
(Unaudited)
In accordance with Accounting Standards Codification 820 “Fair Value Measurement” (“ASC 820”), all investments held by 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”) are carried at the value that Neuberger Berman Investment Advisers LLC ("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.
U.S. Government Agency Securities. Inputs used to value U.S. Government Agency securities generally include obtaining benchmark quotes and Other Market Information.
For information on the Funds’ significant accounting policies, please refer to the Funds’ most recent shareholder reports.
ß Consolidated Notes to Schedule of Investments for Neuberger Berman Commodity Strategy Fund.
Notes to Schedule of Investmentsß Alternative and Multi-Asset Class Funds
(Unaudited) (cont’d)
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.
Emerging Markets Debt and Foreign Government Securities. Inputs used to value emerging markets debt and foreign government securities generally include dealer quotes, bond market activity, discounted cash flow models, and other relevant information such as credit spreads, benchmark curves and Other Market Information.
The value of loan assignments is determined by Management primarily by obtaining valuations from independent pricing services based on broker quotes (generally Level 2 or Level 3 inputs depending on the number of quotes available).
The value of futures contracts is determined by Management by obtaining valuations from independent pricing services at the settlement price at the market close (Level 1 inputs).
The value of forward foreign currency contracts is determined by Management by obtaining valuations from independent pricing services based on actual traded currency rates on independent pricing services’ networks, along with other traded and quoted currency rates provided to the pricing services by leading market participants (Level 2 inputs).
The value of total return swaps and total return basket swaps is determined by Management by obtaining valuations from independent pricing services using the underlying asset and stated benchmark interest rate (Level 2 inputs).
Option contracts that are traded over-the-counter are generally valued on the basis of quotations provided by broker-dealers or prices provided by independent pricing services who use a series of techniques including simulated pricing models and/or curve fitting (bootstrapping), which aids in determining the present value of the contracts. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, yield curves, credit curves, volatility surfaces, and exchange rates (Level 2 inputs).
Publicly traded securities acquired via a private investment in public equity (PIPE) transaction are typically valued at a discount to the market price of an issuer’s common stock. Discounts are applied due to certain trading restrictions imposed or a lack of marketability preceding the conversion to publicly traded securities. The primary inputs used in determining the discount are the length of the lock-up time period and volatility of the underlying security (Level 2 Inputs).
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
Investments in non-exchange traded investment companies with a readily determinable fair value are valued using the respective fund’s daily calculated net asset value 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 Funds’ Board of Directors (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.
For information on the Funds’ significant accounting policies, please refer to the Funds’ most recent shareholder reports.
ß Consolidated Notes to Schedule of Investments for Neuberger Berman Commodity Strategy Fund.
Notes to Schedule of Investmentsß Alternative and Multi-Asset Class Funds
(Unaudited) (cont’d)
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 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 market activity from the local close to the time as of which a Fund’s share price is calculated (Level 2 inputs) to assist in determining prices for certain foreign debt securities. In the case of both foreign equity and foreign debt securities, in the absence of precise information about the market values of these foreign securities as of the time as of which a Fund’s share price is calculated, the Board has determined on the basis of available data that prices adjusted or evaluated in this way are likely to be closer to the prices a Fund could realize on a current sale than are the prices of those securities established at the close of the foreign markets in which the securities primarily trade.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.
In December 2020, the Securities and Exchange Commission (“SEC”) adopted Rule 2a-5 under the 1940 Act, which establishes requirements for determining fair value in good faith for purposes of the 1940 Act, including related oversight and reporting requirements. The rule also defines when market quotations are “readily available” for purposes of the 1940 Act, the threshold for determining whether a fund must fair value a security. The rule became effective on March 8, 2021, however, the SEC adopted an eighteen-month transition period beginning from the effective date. Management is currently evaluating the rule.
Other matters:
Russia’s Invasion of Ukraine: Russia’s invasion of the 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, 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.
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.
For information on the Funds’ significant accounting policies, please refer to the Funds’ most recent shareholder reports.
ß Consolidated Notes to Schedule of Investments for Neuberger Berman Commodity Strategy Fund.
Notes to Schedule of Investmentsß Alternative and Multi-Asset Class Funds
(Unaudited) (cont’d)
Legend
Benchmarks: | ||
FEDL01 | = | US Federal Funds Effective Rate |
LIBOR | = | London Interbank Offered Rate |
SOFR | = | Secured Overnight Financing Rate |
OBFR | = | Overnight Bank Funding Rate |
Currency Abbreviations: | ||
BRL | = | Brazilian Real |
EUR | = | Euro |
JPY | = | Japanese Yen |
KRW | = | South Korean Won |
USD | = | United States Dollar |
Non-Deliverable Forward Contracts: | ||
BRL | = | Brazilian Real |
KRW | = | South Korean Won |
Counterparties: | ||
GSI | = | Goldman Sachs International |
JPM | = | JPMorgan Chase Bank N.A. |
Index Periods/Payment Frequencies: | ||
1D | = | 1 Day |
1M | = | 1 Month |
3M | = | 3 Months |
6M | = | 6 Months |
T | = | Termination |
Other abbreviations: | ||
PIPE | = | Private investment in public entity |
For information on the Funds’ significant accounting policies, please refer to the Funds’ most recent shareholder reports.
ß Consolidated Notes to Schedule of Investments for Neuberger Berman Commodity Strategy Fund.