Consolidated Schedule of Investments Commodity Strategy Fund^ (Unaudited)
July 31, 2022
July 31, 2022
Principal Amount | Value | |
U.S. Treasury Obligations 1.2% | ||
$ 3,000,000 | U.S. Cash Management Bill, 1.70%, due 10/4/2022 (Cost $2,990,923) | $2,987,973(a) |
Asset-Backed Securities 20.0% | ||
1,961,000 | Ally Auto Receivables Trust, Ser. 2022-1, Class A2, 2.67%, due 4/15/2025 | 1,947,584 |
1,658,628 | BMW Vehicle Lease Trust, Ser. 2022-1, Class A2, 0.67%, due 5/28/2024 | 1,641,477 |
Capital One Prime Auto Receivables Trust | ||
980,325 | Ser. 2021-1, Class A2, 0.32%, due 2/18/2025 | 967,696 |
3,601,000 | Ser. 2022-1, Class A2, 2.71%, due 6/16/2025 | 3,567,913 |
674,174 | CNH Equipment Trust, Ser. 2021-C, Class A2, 0.33%, due 1/15/2025 | 663,854 |
511,866 | DLLMT LLC, Ser. 2021-1A, Class A2, 0.60%, due 3/20/2024 | 504,792(b) |
622,000 | DLLST LLC, Ser. 2022-1A, Class A2, 2.79%, due 1/22/2024 | 616,303(b) |
1,895,000 | Ford Credit Auto Lease Trust, Ser. 2022-A, Class A2A, 2.78%, due 10/15/2024 | 1,883,121 |
Ford Credit Auto Owner Trust | ||
1,741,443 | Ser. 2022-A, Class A2, 0.73%, due 9/15/2024 | 1,721,952 |
2,120,000 | Ser. 2022-B, Class A2A, 3.44%, due 2/15/2025 | 2,117,197 |
1,227,000 | GM Financial Automobile Leasing Trust, Ser. 2022-2, Class A2, 2.93%, due 10/21/2024 | 1,218,409 |
GM Financial Consumer Automobile Receivables Trust | ||
1,468,744 | Ser. 2021-4, Class A2, 0.28%, due 11/18/2024 | 1,449,941 |
579,233 | Ser. 2022-1, Class A2, 0.76%, due 2/18/2025 | 571,857 |
877,000 | Ser. 2022-2, Class A2, 2.52%, due 5/16/2025 | 869,612 |
2,138,000 | Ser. 2022-3, Class A2A, 3.50%, due 9/16/2025 | 2,134,538 |
630,000 | Harley-Davidson Motorcycle Trust, Ser. 2022-A, Class A2A, 2.45%, due 5/15/2025 | 625,786 |
1,966,878 | Honda Auto Receivables Owner Trust, Ser. 2021-4, Class A2, 0.39%, due 5/21/2024 | 1,941,104 |
1,290,000 | HPEFS Equipment Trust, Ser. 2022-1A, Class A2, 1.02%, due 5/21/2029 | 1,264,677(b) |
Hyundai Auto Lease Securitization Trust | ||
802,723 | Ser. 2021-B, Class A2, 0.19%, due 10/16/2023 | 797,663(b) |
413,000 | Ser. 2022-B, Class A2A, 2.75%, due 10/15/2024 | 409,311(b) |
Hyundai Auto Receivables Trust | ||
998,565 | Ser. 2021-C, Class A2A, 0.36%, due 10/15/2024 | 985,915 |
2,119,000 | Ser. 2022-A, Class A2A, 1.81%, due 2/18/2025 | 2,097,679 |
1,296,000 | Kubota Credit Owner Trust, Ser. 2022-1A, Class A2, 2.34%, due 4/15/2025 | 1,277,216(b) |
MMAF Equipment Finance LLC | ||
638,483 | Ser. 2021-A, Class A2, 0.30%, due 4/15/2024 | 633,584(b) |
1,005,000 | Ser. 2022-A, Class A2, 2.77%, due 2/13/2025 | 993,347(b) |
Navient Student Loan Trust | ||
164,265 | Ser. 2017-4A, Class A2, (1M USD LIBOR + 0.50%), 2.76%, due 9/27/2066 | 163,940(b)(c) |
157,032 | Ser. 2019-7A, Class A1, (1M USD LIBOR + 0.50%), 2.76%, due 1/25/2068 | 156,150(b)(c) |
104,715 | Ser. 2019-4A, Class A1, (1M USD LIBOR + 0.28%), 2.54%, due 7/25/2068 | 104,644(b)(c) |
Nissan Auto Lease Trust | ||
787,826 | Ser. 2021-A, Class A2, 0.30%, due 12/15/2023 | 780,627 |
1,018,000 | Ser. 2022-A, Class A2A, 3.45%, due 8/15/2024 | 1,015,820 |
Santander Retail Auto Lease Trust | ||
675,723 | Ser. 2021-A, Class A2, 0.32%, due 2/20/2024 | 669,583(b) |
1,070,465 | Ser. 2022-A, Class A2, 0.97%, due 3/20/2025 | 1,046,337(b) |
1,096,000 | Ser. 2022-B, Class A2, 2.84%, due 5/20/2025 | 1,089,447(b) |
863,787 | Tesla Auto Lease Trust, Ser. 2021-A, Class A2, 0.36%, due 3/20/2025 | 851,026(b) |
Toyota Auto Receivables Owner Trust | ||
1,560,335 | Ser. 2022-A, Class A2, 0.74%, due 10/15/2024 | 1,541,828 |
800,000 | Ser. 2022-B, Class A2A, 2.35%, due 1/15/2025 | 794,135 |
Toyota Lease Owner Trust | ||
1,470,216 | Ser. 2021-B, Class A2, 0.25%, due 3/20/2024 | 1,451,892(b) |
658,000 | Ser. 2022-A, Class A2, 1.73%, due 7/22/2024 | 647,528(b) |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Commodity Strategy Fund^ (Unaudited) (cont’d)
Principal Amount | Value | |
Asset-Backed Securities – cont'd | ||
$ 1,434,000 | Verizon Owner Trust, Ser. 2020-B, Class A, 0.47%, due 2/20/2025 | $ 1,412,086 |
World Omni Auto Receivables Trust | ||
456,147 | Ser. 2021-B, Class A2, 0.20%, due 7/15/2024 | 453,542 |
2,007,000 | Ser. 2022-A, Class A2, 1.15%, due 4/15/2025 | 1,978,012 |
909,000 | Ser. 2022-B, Class A2A, 2.77%, due 10/15/2025 | 901,656 |
World Omni Automobile Lease Securitization Trust | ||
265,569 | Ser. 2021-A, Class A2, 0.21%, due 4/15/2024 | 263,277 |
1,555,000 | Ser. 2022-A, Class A2, 2.63%, due 10/15/2024 | 1,543,158 |
Total Asset-Backed Securities (Cost $50,257,182) | 49,767,216 | |
Corporate Bonds 54.6% | ||
Agriculture 0.5% | ||
1,170,000 | BAT Capital Corp., (3M USD LIBOR + 0.88%), 2.29%, due 8/15/2022 | 1,169,636(c) |
Auto Manufacturers 2.6% | ||
Toyota Motor Credit Corp. | ||
2,875,000 | (SOFR + 0.65%), 2.69%, due 12/29/2023 | 2,874,997(c) |
1,565,000 | (SOFR + 0.62%), 2.57%, due 3/22/2024 | 1,556,458(c) |
2,000,000 | Volkswagen Group of America Finance LLC, (SOFR + 0.95%), 2.67%, due 6/7/2024 | 1,996,368(b)(c) |
6,427,823 | ||
Banks 18.7% | ||
Bank of America Corp. | ||
1,775,000 | (3M USD LIBOR + 0.79%), 2.40%, due 3/5/2024 | 1,762,255(c) |
3,765,000 | (SOFR + 1.10%), 3.36%, due 4/25/2025 | 3,721,201(c) |
3,048,000 | Bank of New York Mellon Corp., Ser. J, (SOFR + 0.20%), 2.43%, due 10/25/2024 | 2,988,238(c) |
Citigroup, Inc. | ||
1,091,000 | (3M USD LIBOR + 1.43%), 3.01%, due 9/1/2023 | 1,090,586(c) |
4,138,000 | (3M USD LIBOR + 1.10%), 2.54%, due 5/17/2024 | 4,129,348(c) |
5,442,000 | Goldman Sachs Group, Inc., (3M USD LIBOR + 1.60%), 3.20%, due 11/29/2023 | 5,467,245(c)(d) |
6,005,000 | JPMorgan Chase & Co., (SOFR + 0.58%), 2.56%, due 6/23/2025 | 5,848,358(c)(d) |
1,155,000 | Lloyds Banking Group PLC, (3M USD LIBOR + 0.81%), 2.91%, due 11/7/2023 | 1,150,487(e) |
Morgan Stanley | ||
215,000 | (SOFR + 0.47%), 0.56%, due 11/10/2023 | 213,059(e) |
5,484,000 | (SOFR + 0.63%), 2.89%, due 1/24/2025 | 5,364,830(c) |
Royal Bank of Canada | ||
270,000 | (3M USD LIBOR + 0.36%), 3.10%, due 1/17/2023 | 269,709(c) |
1,240,000 | (SOFR + 0.44%), 2.65%, due 1/21/2025 | 1,211,650(c) |
1,218,000 | Toronto-Dominion Bank, (SOFR + 0.48%), 2.74%, due 1/27/2023 | 1,216,571(c) |
Truist Bank | ||
2,045,000 | (SOFR + 0.73%), 2.51%, due 3/9/2023 | 2,042,463(c) |
2,460,000 | (SOFR + 0.20%), 2.37%, due 1/17/2024 | 2,428,250(c) |
530,000 | Truist Financial Corp., (SOFR + 0.40%), 2.18%, due 6/9/2025 | 513,777(c) |
1,185,000 | U.S. Bank N.A., (3M USD LIBOR + 0.40%), 2.09%, due 12/9/2022 | 1,183,809(c) |
5,435,000 | Wells Fargo & Co., (3M USD LIBOR + 1.23%), 4.04%, due 10/31/2023 | 5,439,287(c) |
640,000 | Westpac Banking Corp., (3M USD LIBOR + 0.39%), 2.85%, due 1/13/2023 | 639,558(c) |
46,680,681 | ||
Cosmetics - Personal Care 0.6% | ||
1,605,000 | GSK Consumer Healthcare Capital U.S. LLC, (SOFR + 0.89%), 2.88%, due 3/24/2024 | 1,599,386(b)(c) |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Commodity Strategy Fund^ (Unaudited) (cont’d)
Principal Amount | Value | |
Diversified Financial Services 2.5% | ||
American Express Co. | ||
$ 995,000 | (SOFR + 0.23%), 1.37%, due 11/3/2023 | $ 986,559(c) |
3,052,000 | (SOFR + 0.93%), 2.62%, due 3/4/2025 | 3,027,764(c) |
Capital One Financial Corp. | ||
1,175,000 | (3M USD LIBOR + 0.72%), 3.53%, due 1/30/2023 | 1,172,277(c) |
1,175,000 | (SOFR + 1.35%), 2.59%, due 5/9/2025 | 1,154,394(c) |
6,340,994 | ||
Electric 7.4% | ||
1,855,000 | Duke Energy Corp., (SOFR + 0.25%), 2.05%, due 6/10/2023 | 1,841,705(c) |
2,745,000 | Florida Power & Light Co., (SOFR + 0.25%), 1.53%, due 5/10/2023 | 2,733,082(c) |
National Rural Utilities Cooperative Finance Corp. | ||
1,040,000 | Ser. D, (SOFR + 0.40%), 1.63%, due 8/7/2023 | 1,034,901(c) |
2,220,000 | Ser. D, (SOFR + 0.33%), 2.50%, due 10/18/2024 | 2,193,403(c) |
4,500,000 | NextEra Energy Capital Holdings, Inc., (SOFR + 0.40%), 1.54%, due 11/3/2023 | 4,443,937(c) |
3,767,000 | PPL Electric Utilities Corp., (SOFR + 0.33%), 2.32%, due 6/24/2024 | 3,697,399(c) |
2,507,000 | Southern California Edison Co., (SOFR + 0.47%), 2.14%, due 12/2/2022 | 2,502,456(c) |
18,446,883 | ||
Entertainment 0.8% | ||
2,010,000 | Magallanes, Inc., (SOFR + 1.78%), 3.66%, due 3/15/2024 | 2,002,764(b)(c) |
Gas 0.7% | ||
565,000 | Atmos Energy Corp., (3M USD LIBOR + 0.38%), 2.07%, due 3/9/2023 | 564,082(c) |
601,000 | CenterPoint Energy Resources Corp., (3M USD LIBOR + 0.50%), 2.11%, due 3/2/2023 | 599,359(c) |
585,000 | Southern California Gas Co., (3M USD LIBOR + 0.35%), 2.09%, due 9/14/2023 | 581,645(c) |
1,745,086 | ||
Healthcare - Products 2.5% | ||
2,500,000 | Baxter Int'l, Inc., (SOFR + 0.26%), 1.88%, due 12/1/2023 | 2,458,110(c) |
Thermo Fisher Scientific, Inc. | ||
1,995,000 | (SOFR + 0.35%), 2.52%, due 4/18/2023 | 1,988,933(c) |
1,755,000 | (SOFR + 0.39%), 2.56%, due 10/18/2023 | 1,741,549(c) |
6,188,592 | ||
Healthcare - Services 1.1% | ||
2,845,000 | Roche Holdings, Inc., (SOFR + 0.56%), 2.35%, due 3/10/2025 | 2,835,181(b)(c) |
Insurance 0.5% | ||
1,356,000 | Protective Life Global Funding, (SOFR + 0.98%), 2.99%, due 3/28/2025 | 1,352,786(b)(c) |
Machinery - Construction & Mining 2.0% | ||
Caterpillar Financial Services Corp. | ||
605,000 | (SOFR + 0.15%), 1.54%, due 11/17/2022 | 604,402(c) |
4,344,000 | (SOFR + 0.27%), 2.08%, due 9/13/2024 | 4,266,425(c) |
4,870,827 | ||
Machinery - Diversified 1.7% | ||
John Deere Capital Corp. | ||
955,000 | (3M USD LIBOR + 0.55%), 2.18%, due 6/7/2023 | 954,292(c) |
2,323,000 | (SOFR + 0.12%), 2.19%, due 7/10/2023 | 2,315,009(c) |
605,000 | (SOFR + 0.20%), 2.27%, due 10/11/2024 | 595,635(c) |
398,000 | (SOFR + 0.56%), 2.22%, due 3/7/2025 | 392,616(c) |
4,257,552 |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Commodity Strategy Fund^ (Unaudited) (cont’d)
Principal Amount | Value | |
Media 1.3% | ||
$ 2,504,000 | Comcast Cable Communications Holdings, Inc., 9.46%, due 11/15/2022 | $ 2,549,871 |
645,000 | Comcast Corp., (3M USD LIBOR + 0.63%), 3.14%, due 4/15/2024 | 645,088(c) |
3,194,959 | ||
Miscellaneous Manufacturer 1.9% | ||
General Electric Capital Corp. | ||
3,440,000 | (3M USD LIBOR + 1.00%), 2.83%, due 3/15/2023 | 3,430,630(c) |
580,000 | (3M USD LIBOR + 1.00%), 3.51%, due 4/15/2023 | 578,117(c) |
730,000 | Siemens Financieringsmaatschappij NV, (SOFR + 0.43%), 2.24%, due 3/11/2024 | 725,816(b)(c) |
4,734,563 | ||
Pharmaceuticals 1.9% | ||
4,659,000 | AbbVie, Inc., (3M USD LIBOR + 0.65%), 2.15%, due 11/21/2022 | 4,654,754(c) |
Pipelines 1.2% | ||
3,040,000 | Enbridge, Inc., (SOFR + 0.63%), 1.99%, due 2/16/2024 | 2,999,583(c) |
Real Estate Investment Trusts 1.6% | ||
4,090,000 | Simon Property Group L.P., (SOFR + 0.43%), 2.54%, due 1/11/2024 | 4,044,936(c) |
Retail 1.0% | ||
2,505,000 | Starbucks Corp., (SOFR + 0.42%), 1.77%, due 2/14/2024 | 2,480,697(c) |
Semiconductors 1.0% | ||
2,462,000 | Analog Devices, Inc., (SOFR + 0.25%), 2.30%, due 10/1/2024 | 2,404,924(c) |
Telecommunications 3.1% | ||
AT&T, Inc. | ||
455,000 | (3M USD LIBOR + 0.89%), 2.30%, due 2/15/2023 | 455,175(c) |
4,759,000 | (SOFR + 0.64%), 2.63%, due 3/25/2024 | 4,701,116(c) |
2,605,000 | Verizon Communications, Inc., (SOFR + 0.50%), 2.45%, due 3/22/2024 | 2,577,407(c) |
7,733,698 | ||
Total Corporate Bonds (Cost $137,369,740) | 136,166,305 | |
Number of Shares | ||
Short-Term Investments 13.0% | ||
Investment Companies 13.0% | ||
32,293,336 | State Street Institutional U.S. Government Money Market Fund Premier Class, 1.88%(f) (Cost $32,293,337) | $32,293,337(d) |
Total Investments 88.8% (Cost $222,911,182) | 221,214,831 | |
Other Assets Less Liabilities 11.2% | 27,898,698(g) | |
Net Assets 100.0% | $249,113,529 |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Commodity Strategy Fund^ (Unaudited) (cont’d)
(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 July 31, 2022, these securities amounted to $23,189,741, which represents 9.3% of net assets of the Fund. |
(c) | Variable or floating rate security. The interest rate shown was the current rate as of July 31, 2022 and changes periodically. |
(d) | All or a portion of this security is segregated in connection with obligations for futures contracts with a total value of $43,608,939. |
(e) | Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end. |
(f) | Represents 7-day effective yield as of July 31, 2022. |
(g) | Includes the impact of the Fund's open positions in derivatives at July 31, 2022. |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Commodity Strategy Fund^ (Unaudited) (cont’d)
Derivative Instruments
Futures contracts (“futures”)
At July 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) |
8/2022 | 6 | Bitcoin | $719,700 | $92,660 |
8/2022 | 27 | Cattle Feeder | 2,410,763 | 89,365 |
8/2022 | 110 | Lead | 5,618,938 | (1,063,340) |
8/2022 | 289 | Primary Aluminum | 18,071,459 | (5,488,082) |
8/2022 | 197 | Zinc | 16,687,181 | (5,240,601) |
9/2022 | 63 | Nickel | 8,922,312 | (3,835,482) |
9/2022 | 7 | Palladium | 1,490,790 | 51,933 |
9/2022 | 79 | Silver | 7,977,815 | (612,745) |
10/2022 | 61 | Lead | 3,108,713 | (88,008) |
10/2022 | 118 | New York Harbor ULSD | 17,339,557 | (71,520) |
10/2022 | 33 | Nickel | 4,676,562 | (715,283) |
10/2022 | 66 | Platinum | 2,936,340 | (216,727) |
10/2022 | 129 | Primary Aluminum | 8,081,012 | (1,085,567) |
10/2022 | 134 | Zinc | 11,125,350 | (999,118) |
11/2022 | 62 | Lead | 3,151,925 | (123,623) |
11/2022 | 114 | Natural Gas | 9,442,620 | 2,434,482 |
11/2022 | 41 | Nickel | 5,816,178 | (350,656) |
11/2022 | 122 | Primary Aluminum | 7,596,757 | (59,103) |
11/2022 | 171 | RBOB Gasoline | 19,805,801 | 224,312 |
11/2022 | 101 | Soybean | 7,415,925 | (321,373) |
11/2022 | 155 | Zinc | 12,766,188 | (932,055) |
12/2022 | 177 | Brent Crude Oil | 17,632,740 | 1,116,218 |
12/2022 | 113 | Cocoa | 2,681,490 | 28,791 |
12/2022 | 41 | Coffee 'C' | 3,287,175 | (313,932) |
12/2022 | 162 | Copper | 14,501,025 | (3,286,442) |
12/2022 | 565 | Corn | 17,515,000 | 1,238,847 |
12/2022 | 126 | Cotton No. 2 | 6,094,620 | (1,079,789) |
12/2022 | 198 | Gold 100 Oz. | 35,279,640 | (87,271) |
12/2022 | 124 | Hard Red Winter Wheat | 5,465,300 | (1,585,706) |
12/2022 | 57 | Lead | 2,890,613 | 65,686 |
12/2022 | 201 | Lean Hogs | 7,063,140 | 404,878 |
12/2022 | 61 | Live Cattle | 3,614,860 | 75,193 |
12/2022 | 125 | Low Sulphur Gasoil | 12,800,000 | 475,257 |
12/2022 | 45 | Nickel | 6,390,630 | 451,978 |
12/2022 | 131 | Primary Aluminum | 8,162,086 | 299,629 |
12/2022 | 257 | Soybean Meal | 10,755,450 | 509,918 |
12/2022 | 134 | Soybean Oil | 5,279,064 | (725,936) |
12/2022 | 110 | Wheat | 4,541,625 | (1,275,379) |
12/2022 | 165 | WTI Crude Oil | 15,488,550 | 913,551 |
12/2022 | 161 | Zinc | 13,147,663 | 1,086,025 |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Commodity Strategy Fund^ (Unaudited) (cont’d)
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) |
3/2023 | 235 | Sugar 11 | $4,656,008 | $(87,231) |
Total Long Positions | $372,408,565 | $(20,086,246) |
Short Futures: |
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) |
8/2022 | 110 | Lead | $(5,618,938) | $572,878 |
8/2022 | 289 | Primary Aluminum | (18,071,459) | 3,935,310 |
8/2022 | 197 | Zinc | (16,687,181) | 2,810,457 |
9/2022 | 63 | Nickel | (8,922,312) | 2,489,215 |
10/2022 | 61 | Lead | (3,108,713) | 122,455 |
10/2022 | 33 | Nickel | (4,676,562) | 389,639 |
10/2022 | 129 | Primary Aluminum | (8,081,012) | 128,099 |
10/2022 | 134 | Zinc | (11,125,350) | 874,120 |
11/2022 | 62 | Lead | (3,151,925) | (112,251) |
11/2022 | 41 | Nickel | (5,816,178) | (432,512) |
11/2022 | 122 | Primary Aluminum | (7,596,757) | (325,557) |
11/2022 | 155 | Zinc | (12,766,188) | (1,137,312) |
12/2022 | 4 | Lead | (202,850) | (16,083) |
12/2022 | 4 | Nickel | (568,056) | (53,962) |
12/2022 | 11 | Primary Aluminum | (685,366) | (27,865) |
12/2022 | 15 | Zinc | (1,224,938) | (70,071) |
Total Short Positions | $(108,303,785) | $9,146,560 | ||
Total Futures | $(10,939,686) |
At July 31, 2022, the Fund had $37,556,449 deposited in a segregated account to cover margin requirements on open futures.
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 July 31, 2022:
Asset Valuation Inputs | Level 1 | Level 2 | Level 3 | Total |
Investments: | ||||
U.S. Treasury Obligations | $— | $2,987,973 | $— | $2,987,973 |
Asset-Backed Securities | — | 49,767,216 | — | 49,767,216 |
Corporate Bonds# | — | 136,166,305 | — | 136,166,305 |
Short-Term Investments | — | 32,293,337 | — | 32,293,337 |
Total Investments | $— | $221,214,831 | $— | $221,214,831 |
# | 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 Consolidated Schedule of Investments), of inputs used to value the Fund’s derivatives as of July 31, 2022:
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Futures@ | ||||
Assets | $20,880,896 | $— | $— | $20,880,896 |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Commodity Strategy Fund^ (Unaudited) (cont’d)
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Liabilities | $(31,820,582) | $— | $— | $(31,820,582) |
Total | $(10,939,686) | $— | $— | $(10,939,686) |
@ | Futures are reported at the cumulative unrealized appreciation/(depreciation) of the instrument. |
^ A balance indicated with a “—”, reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Consolidated Schedule of Investments
Schedule of Investments Global Allocation Fund^ (Unaudited)
July 31, 2022
July 31, 2022
Number of Shares | Value | ||||
Common Stocks 60.3% | |||||
Australia 1.2% | |||||
1,204 | APA Group | $ 9,872(a) | |||
181 | ASX Ltd. | 11,250 | |||
1,020 | Dexus | 6,854 | |||
1,746 | Fortescue Metals Group Ltd. | 22,468 | |||
1,188 | National Australia Bank Ltd. | 25,657 | |||
455 | Sonic Healthcare Ltd. | 10,957 | |||
2,930 | Telstra Corp. Ltd. | 8,008 | |||
532 | Woodside Energy Group Ltd. | 12,013 | |||
107,079 | |||||
Brazil 0.3% | |||||
33 | MercadoLibre, Inc. | 26,852* | |||
Canada 2.0% | |||||
98 | Alimentation Couche-Tard, Inc. | 4,378 | |||
438 | Bank of Nova Scotia | 26,683 | |||
34 | George Weston Ltd. | 4,058 | |||
188 | Gildan Activewear, Inc. | 5,510 | |||
296 | Great-West Lifeco, Inc. | 7,193 | |||
274 | Hydro One Ltd. | 7,649(b) | |||
166 | Loblaw Cos. Ltd. | 15,111 | |||
609 | Manulife Financial Corp. | 11,148 | |||
236 | Metro, Inc. | 13,068 | |||
189 | Nutrien Ltd. | 16,179 | |||
442 | Power Corp. of Canada | 12,012 | |||
342 | Rogers Communications, Inc. Class B | 15,723 | |||
40 | Royal Bank of Canada | 3,900 | |||
89 | TELUS Corp. | 2,049 | |||
329 | Toronto-Dominion Bank | 21,371 | |||
45 | Tourmaline Oil Corp. | 2,819 | |||
86 | West Fraser Timber Co. Ltd. | 8,052 | |||
176,903 | |||||
Chile 0.1% | |||||
385 | Antofagasta PLC | 5,478 | |||
China 0.4% | |||||
3,844 | BOC Hong Kong Holdings Ltd. | 13,905 | |||
112 | NXP Semiconductors NV | 20,595 | |||
34,500 | |||||
Denmark 0.6% | |||||
9 | AP Moeller - Maersk A/S Class B | 24,573 | |||
210 | Novo Nordisk A/S Class B | 24,460 | |||
49,033 | |||||
Finland 0.3% | |||||
3,096 | Nordea Bank Abp | 30,526 | |||
France 2.7% | |||||
281 | Bureau Veritas SA | 7,750 | |||
149 | Capgemini SE | 28,420 |
Number of Shares | Value | ||||
France – cont'd | |||||
381 | Cie de Saint-Gobain | $ 17,766 | |||
676 | Cie Generale des Etablissements Michelin SCA | 18,918 | |||
279 | Danone SA | 15,344 | |||
128 | Dassault Systemes SE | 5,490 | |||
258 | Edenred | 13,243 | |||
81 | Eiffage SA | 7,601 | |||
14 | Kering SA | 8,015 | |||
208 | Klepierre SA | 4,622* | |||
44 | LVMH Moet Hennessy Louis Vuitton SE | 30,552 | |||
107 | Orange SA | 1,093 | |||
286 | Sanofi | 28,421 | |||
416 | Societe Generale SA | 9,321 | |||
664 | TotalEnergies SE | 33,915 | |||
106 | Vinci SA | 10,161 | |||
240,632 | |||||
Germany 0.4% | |||||
26 | Allianz SE | 4,722 | |||
145 | GEA Group AG | 5,412 | |||
363 | Mercedes-Benz Group AG | 21,408 | |||
31,542 | |||||
Hong Kong 0.2% | |||||
258 | CK Asset Holdings Ltd. | 1,827 | |||
1,900 | Link REIT | 15,911 | |||
17,738 | |||||
Ireland 0.2% | |||||
458 | CRH PLC | 17,575 | |||
Italy 0.2% | |||||
1,045 | Assicurazioni Generali SpA | 15,622 | |||
Japan 3.7% | |||||
500 | Ajinomoto Co., Inc. | 13,158 | |||
200 | Bridgestone Corp. | 7,801 | |||
1,000 | Canon, Inc. | 23,658 | |||
200 | Dai Nippon Printing Co. Ltd. | 4,413 | |||
500 | Honda Motor Co. Ltd. | 12,813 | |||
1,000 | Inpex Corp. | 11,462 | |||
206 | Kajima Corp. | 2,352 | |||
753 | KDDI Corp. | 24,143 | |||
800 | Kirin Holdings Co. Ltd. | 13,159 | |||
1,488 | Mitsui & Co. Ltd. | 32,829 | |||
700 | Nippon Telegraph & Telephone Corp. | 19,996 | |||
200 | Nippon Yusen KK | 15,710 | |||
300 | Ono Pharmaceutical Co. Ltd. | 8,436 | |||
946 | ORIX Corp. | 16,859 | |||
745 | Sekisui House Ltd. | 13,195 | |||
183 | Taisei Corp. | 5,839 | |||
1,500 | Takeda Pharmaceutical Co. Ltd. | 44,010 | |||
200 | TIS, Inc. | 5,671 |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont’d)
Number of Shares | Value | ||||
Japan – cont'd | |||||
300 | Tokio Marine Holdings, Inc. | $ 17,562 | |||
1,195 | Toyota Motor Corp. | 19,396 | |||
100 | Trend Micro, Inc. | 5,811 | |||
300 | Yamaha Motor Co. Ltd. | 5,795 | |||
324,068 | |||||
Netherlands 0.5% | |||||
609 | Koninklijke Ahold Delhaize NV | 16,771 | |||
101 | Randstad NV | 5,105 | |||
216 | Wolters Kluwer NV | 23,458 | |||
45,334 | |||||
New Zealand 0.1% | |||||
1,799 | Spark New Zealand Ltd. | 5,785 | |||
Norway 0.4% | |||||
959 | Equinor ASA | 36,925 | |||
Portugal 0.1% | |||||
288 | Jeronimo Martins SGPS SA | 6,666 | |||
Singapore 0.4% | |||||
300 | DBS Group Holdings Ltd. | 6,835 | |||
980 | Singapore Exchange Ltd. | 7,025 | |||
543 | STMicroelectronics NV | 20,549 | |||
34,409 | |||||
South Africa 0.5% | |||||
1,264 | Anglo American PLC | 45,687 | |||
Spain 0.6% | |||||
6,260 | Banco Bilbao Vizcaya Argentaria SA | 28,368 | |||
248 | Enagas SA | 4,895 | |||
452 | Iberdrola SA | 4,827 | |||
13 | Iberdrola SA | 139 | |||
215 | Naturgy Energy Group SA | 6,306 | |||
541 | Red Electrica Corp. SA | 10,636 | |||
305 | Telefonica SA | 1,362 | |||
56,533 | |||||
Sweden 0.2% | |||||
2,678 | Ericsson LM B Shares | 20,370 | |||
Switzerland 2.0% | |||||
4 | Baloise Holding AG | 637 | |||
2 | Chocoladefabriken Lindt & Spruengli AG | 22,117 | |||
51 | Kuehne & Nagel International AG | 13,735 | |||
146 | Roche Holding AG | 48,473 | |||
40 | Sonova Holding AG | 14,407 | |||
73 | Swiss Prime Site AG | 6,648 | |||
24 | Swisscom AG | 12,975 | |||
133 | TE Connectivity Ltd. | 17,786 | |||
66 | Temenos AG | 5,239 |
Number of Shares | Value | ||||
Switzerland – cont'd | |||||
2,009 | UBS Group AG | $ 32,828 | |||
174,845 | |||||
United Kingdom 2.2% | |||||
1,396 | BAE Systems PLC | 13,121 | |||
2,091 | Barclays PLC | 4,006 | |||
408 | Burberry Group PLC | 8,969 | |||
2,188 | Kingfisher PLC | 6,923 | |||
674 | Land Securities Group PLC | 6,023 | |||
462 | Liberty Global PLC Class C | 10,575* | |||
111 | Linde PLC | 33,522 | |||
5,030 | NatWest Group PLC | 15,277 | |||
298 | Persimmon PLC | 6,874 | |||
1,281 | RELX PLC | 37,930 | |||
536 | Sage Group PLC | 4,619 | |||
133 | Schroders PLC | 4,824 | |||
399 | Smiths Group PLC | 7,530 | |||
298 | SSE PLC | 6,436 | |||
3,765 | Taylor Wimpey PLC | 5,860 | |||
7,918 | Tesco PLC | 25,394 | |||
197,883 | |||||
United States 41.0% | |||||
75 | 3M Co. | 10,743 | |||
238 | Abbott Laboratories | 25,904 | |||
181 | AbbVie, Inc. | 25,975 | |||
229 | Accenture PLC Class A | 70,134 | |||
23 | Adobe, Inc. | 9,433* | |||
329 | Aflac, Inc. | 18,852 | |||
139 | Agilent Technologies, Inc. | 18,640 | |||
127 | Airbnb, Inc. Class A | 14,094* | |||
1,300 | Alphabet, Inc. Class A | 151,216* | |||
444 | Amazon.com, Inc. | 59,918* | |||
92 | American Express Co. | 14,170 | |||
111 | Ameriprise Financial, Inc. | 29,961 | |||
133 | Amgen, Inc. | 32,914 | |||
1,698 | Apple, Inc. | 275,942 | |||
111 | Applied Materials, Inc. | 11,764 | |||
1,264 | AT&T, Inc. | 23,738 | |||
55 | Automatic Data Processing, Inc. | 13,262 | |||
3 | AutoZone, Inc. | 6,412* | |||
54 | Becton, Dickinson & Co. | 13,193 | |||
83 | Berkshire Hathaway, Inc. Class B | 24,950* | |||
68 | Blackstone, Inc. | 6,941 | |||
18 | Booking Holdings, Inc. | 34,842* | |||
379 | Bristol-Myers Squibb Co. | 27,963 | |||
42 | Broadcom, Inc. | 22,490 | |||
92 | Cadence Design Systems, Inc. | 17,119* | |||
88 | Caterpillar, Inc. | 17,446 | |||
106 | Cboe Global Markets, Inc. | 13,078 | |||
69 | Celanese Corp. | 8,108 | |||
140 | Chevron Corp. | 22,929 |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont’d)
Number of Shares | Value | ||||
United States – cont'd | |||||
149 | Chubb Ltd. | $ 28,107 | |||
47 | Cigna Corp. | 12,942 | |||
53 | Cintas Corp. | 22,551 | |||
296 | Cisco Systems, Inc. | 13,430 | |||
599 | Citigroup, Inc. | 31,088 | |||
633 | Coca-Cola Co. | 40,620 | |||
368 | Cognizant Technology Solutions Corp. Class A | 25,009 | |||
219 | Colgate-Palmolive Co. | 17,244 | |||
1,385 | Comcast Corp. Class A | 51,965 | |||
543 | ConocoPhillips | 52,904 | |||
39 | Crown Castle International Corp. | 7,046 | |||
993 | CSX Corp. | 32,104 | |||
61 | Cummins, Inc. | 13,500 | |||
363 | CVS Health Corp. | 34,732 | |||
77 | Danaher Corp. | 22,443 | |||
624 | Devon Energy Corp. | 39,218 | |||
22 | Discover Financial Services | 2,222 | |||
69 | Dominion Energy, Inc. | 5,657 | |||
192 | Edison International | 13,012 | |||
273 | Electronic Arts, Inc. | 35,826 | |||
90 | Elevance Health, Inc. | 42,939 | |||
72 | Eli Lilly & Co. | 23,738 | |||
278 | Emerson Electric Co. | 25,039 | |||
59 | EOG Resources, Inc. | 6,562 | |||
173 | Equity LifeStyle Properties, Inc. | 12,719 | |||
417 | Exelon Corp. | 19,386 | |||
130 | Expeditors International of Washington, Inc. | 13,812 | |||
79 | Extra Space Storage, Inc. | 14,972 | |||
185 | Ferguson PLC | 23,273 | |||
286 | Fidelity National Financial, Inc. | 11,429 | |||
321 | FirstEnergy Corp. | 13,193 | |||
579 | General Mills, Inc. | 43,303 | |||
142 | Genuine Parts Co. | 21,708 | |||
510 | Gilead Sciences, Inc. | 30,472 | |||
115 | Goldman Sachs Group, Inc. | 38,340 | |||
466 | GSK PLC | 9,791 | |||
338 | Hartford Financial Services Group, Inc. | 21,791 | |||
287 | Hilton Worldwide Holdings, Inc. | 36,756 | |||
182 | Hologic, Inc. | 12,991* | |||
5 | Illinois Tool Works, Inc. | 1,039 | |||
365 | Interpublic Group of Cos., Inc. | 10,903 | |||
67 | Intuit, Inc. | 30,563 | |||
82 | Johnson & Johnson | 14,311 | |||
329 | JPMorgan Chase & Co. | 37,953 | |||
202 | Kellogg Co. | 14,932 | |||
97 | KLA Corp. | 37,203 | |||
246 | Kroger Co. | 11,424 | |||
56 | Lam Research Corp. | 28,029 | |||
265 | LKQ Corp. | 14,533 |
Number of Shares | Value | ||||
United States – cont'd | |||||
31 | Lockheed Martin Corp. | $ 12,828 | |||
174 | LyondellBasell Industries NV Class A | 15,507 | |||
478 | Marathon Oil Corp. | 11,854 | |||
160 | Marsh & McLennan Cos., Inc. | 26,234 | |||
76 | MasterCard, Inc. Class A | 26,888 | |||
535 | Merck & Co., Inc. | 47,797 | |||
65 | Meta Platforms, Inc. Class A | 10,341* | |||
365 | MGM Resorts International | 11,946 | |||
854 | Microsoft Corp. | 239,752 | |||
168 | Morgan Stanley | 14,162 | |||
110 | Motorola Solutions, Inc. | 26,245 | |||
154 | Nucor Corp. | 20,913 | |||
215 | NVIDIA Corp. | 39,050 | |||
209 | Omnicom Group, Inc. | 14,597 | |||
108 | Owens Corning | 10,016 | |||
27 | Parker-Hannifin Corp. | 7,805 | |||
169 | PepsiCo, Inc. | 29,568 | |||
224 | Pfizer, Inc. | 11,314 | |||
153 | Pioneer Natural Resources Co. | 36,253 | |||
566 | Procter & Gamble Co. | 78,623 | |||
216 | Prudential Financial, Inc. | 21,598 | |||
470 | Public Service Enterprise Group, Inc. | 30,865 | |||
133 | Public Storage | 43,413 | |||
275 | QUALCOMM, Inc. | 39,891 | |||
40 | Quest Diagnostics, Inc. | 5,463 | |||
620 | Regions Financial Corp. | 13,132 | |||
42 | Reliance Steel & Aluminum Co. | 7,991 | |||
9 | ResMed Inc. | 2,165 | |||
104 | Robert Half International, Inc. | 8,231 | |||
120 | Sealed Air Corp. | 7,334 | |||
51 | Snap-on, Inc. | 11,427 | |||
425 | Starbucks Corp. | 36,031 | |||
123 | Steel Dynamics, Inc. | 9,579 | |||
67 | STERIS PLC | 15,119 | |||
139 | Tesla, Inc. | 123,912* | |||
292 | Texas Instruments, Inc. | 52,236 | |||
73 | Thermo Fisher Scientific, Inc. | 43,684 | |||
113 | Tractor Supply Co. | 21,637 | |||
78 | Travelers Cos., Inc. | 12,379 | |||
195 | UGI Corp. | 8,416 | |||
50 | Ulta Beauty, Inc. | 19,445* | |||
229 | Union Pacific Corp. | 52,052 | |||
148 | United Parcel Service, Inc. Class B | 28,844 | |||
110 | UnitedHealth Group, Inc. | 59,657 | |||
41 | Vail Resorts, Inc. | 9,722 | |||
69 | VICI Properties, Inc. | 2,359 | |||
130 | Visa, Inc. Class A | 27,574 | |||
38 | W.W. Grainger, Inc. | 20,654 | |||
683 | Weyerhaeuser Co. | 24,807 |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont’d)
Number of Shares | Value | ||||
United States – cont'd | |||||
188 | WP Carey, Inc. | $ 16,788 | |||
3,614,953 | |||||
Total Common Stocks (Cost $4,980,623) | 5,316,938 |
Principal Amount | Value | ||||
Corporate Bonds 9.2% | |||||
Belgium 0.2% | |||||
$ | 15,000 | Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, due 2/1/2046 | $ 15,107 | ||
5,000 | Anheuser-Busch InBev Worldwide, Inc., 4.60%, due 4/15/2048 | 4,830 | |||
19,937 | |||||
Canada 0.2% | |||||
5,000 | Canadian Natural Resources Ltd., 4.95%, due 6/1/2047 | 4,930 | |||
Rogers Communications, Inc. | |||||
5,000 | 4.50%, due 3/15/2042 | 4,716(c) | |||
5,000 | 4.35%, due 5/1/2049 | 4,466 | |||
14,112 | |||||
France 0.0%(d) | |||||
5,000 | Total Capital Int'l SA, 3.13%, due 5/29/2050 | 4,046 | |||
Ireland 0.0%(d) | |||||
5,000 | AerCap Ireland Capital Designated Activity Co./AerCap Global Aviation Trust, 3.85%, due 10/29/2041 | 3,792 | |||
Mexico 0.1% | |||||
5,000 | Grupo Bimbo SAB de CV, 4.70%, due 11/10/2047 | 4,661(c) | |||
Netherlands 0.0%(d) | |||||
5,000 | Shell Int'l Finance BV, 4.00%, due 5/10/2046 | 4,629 | |||
Supranational 0.1% | |||||
5,000 | Asian Development Bank, 3.13%, due 4/27/2032 | 5,092 | |||
United Kingdom 0.6% | |||||
10,000 | AstraZeneca PLC, 2.13%, due 8/6/2050 | 7,078 | |||
BAT Capital Corp. | |||||
10,000 | 2.73%, due 3/25/2031 | 8,092 | |||
5,000 | 4.54%, due 8/15/2047 | 3,727 | |||
10,000 | BP Capital PLC, 4.88%, due 3/22/2030 | 9,091(e)(f) | |||
15,000 | NatWest Group PLC, 3.03%, due 11/28/2035 | 12,212(e) | |||
10,000 | Vodafone Group PLC, 4.25%, due 9/17/2050 | 8,737 | |||
48,937 | |||||
United States 8.0% | |||||
AbbVie, Inc. | |||||
10,000 | 4.05%, due 11/21/2039 | 9,468 | |||
10,000 | 4.45%, due 5/14/2046 | 9,553 | |||
5,000 | Allstate Corp., 4.20%, due 12/15/2046 | 4,678 | |||
10,000 | Altria Group, Inc., 3.88%, due 9/16/2046 | 7,047 | |||
5,000 | American Int'l Group, Inc., 4.75%, due 4/1/2048 | 4,865 | |||
5,000 | American Water Capital Corp., 4.15%, due 6/1/2049 | 4,573 | |||
10,000 | Amgen, Inc., 4.40%, due 5/1/2045 | 9,676 |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont’d)
Principal Amount | Value | ||||
United States – cont'd | |||||
$ | 10,000 | Analog Devices, Inc., 2.95%, due 10/1/2051 | $ 8,058 | ||
10,000 | Appalachian Power Co., Ser. Z, 3.70%, due 5/1/2050 | 8,251 | |||
10,000 | Apple, Inc., 3.75%, due 11/13/2047 | 9,473 | |||
5,000 | Aqua America, Inc., 4.28%, due 5/1/2049 | 4,518 | |||
AT&T, Inc. | |||||
10,000 | 3.50%, due 6/1/2041 | 8,386 | |||
10,000 | 3.65%, due 6/1/2051 | 8,147 | |||
10,000 | Baltimore Gas and Electric Co., 2.90%, due 6/15/2050 | 7,620 | |||
Bank of America Corp. | |||||
10,000 | 4.24%, due 4/24/2038 | 9,656(e) | |||
10,000 | 4.08%, due 3/20/2051 | 9,074(e) | |||
5,000 | 2.97%, due 7/21/2052 | 3,729(e) | |||
5,000 | Berkshire Hathaway Finance Corp., 4.25%, due 1/15/2049 | 4,926 | |||
Boeing Co. | |||||
10,000 | 3.25%, due 2/1/2035 | 8,163 | |||
5,000 | 5.81%, due 5/1/2050 | 4,967(g) | |||
5,000 | BP Capital Markets America, Inc., 2.77%, due 11/10/2050 | 3,701 | |||
5,000 | Bristol-Myers Squibb Co., 4.25%, due 10/26/2049 | 4,940 | |||
10,000 | Broadcom, Inc., 3.75%, due 2/15/2051 | 7,784(c) | |||
5,000 | Burlington Northern Santa Fe LLC, 4.38%, due 9/1/2042 | 4,959 | |||
10,000 | Capital One Financial Corp., 2.36%, due 7/29/2032 | 7,866(e) | |||
10,000 | Carrier Global Corp., 2.70%, due 2/15/2031 | 8,818 | |||
10,000 | CDW LLC/CDW Finance Corp., 3.57%, due 12/1/2031 | 8,508 | |||
15,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.80%, due 3/1/2050 | 12,378 | |||
10,000 | Cigna Corp., 4.80%, due 8/15/2038 | 10,199 | |||
5,000 | Coca-Cola Co., 2.50%, due 3/15/2051 | 3,776 | |||
Comcast Corp. | |||||
10,000 | 4.65%, due 7/15/2042 | 9,961 | |||
10,000 | 4.00%, due 8/15/2047 | 9,063 | |||
5,000 | Commonwealth Edison Co., 3.70%, due 3/1/2045 | 4,397 | |||
5,000 | Constellation Brands, Inc., 3.75%, due 5/1/2050 | 4,216 | |||
5,000 | Corebridge Financial, Inc., 3.90%, due 4/5/2032 | 4,654(c) | |||
Crown Castle Int'l Corp. | |||||
5,000 | 2.90%, due 4/1/2041 | 3,785 | |||
5,000 | 5.20%, due 2/15/2049 | 4,991 | |||
CVS Health Corp. | |||||
10,000 | 2.70%, due 8/21/2040 | 7,610 | |||
10,000 | 5.05%, due 3/25/2048 | 10,157 | |||
5,000 | Diamondback Energy, Inc., 4.40%, due 3/24/2051 | 4,472 | |||
Discovery Communications LLC | |||||
5,000 | 4.65%, due 5/15/2050 | 4,120 | |||
5,000 | 4.00%, due 9/15/2055 | 3,631 | |||
Duke Energy Corp. | |||||
5,000 | 3.75%, due 9/1/2046 | 4,204 | |||
5,000 | 3.50%, due 6/15/2051 | 3,993 | |||
10,000 | Duke Energy Progress LLC, 2.50%, due 8/15/2050 | 7,136 | |||
5,000 | Emerson Electric Co., 2.80%, due 12/21/2051 | 3,851 | |||
5,000 | Entergy Texas, Inc., 3.55%, due 9/30/2049 | 4,159 | |||
10,000 | Enterprise Products Operating LLC, 3.20%, due 2/15/2052 | 7,582 | |||
5,000 | Exelon Corp., 4.70%, due 4/15/2050 | 4,902 |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont’d)
Principal Amount | Value | ||||
United States – cont'd | |||||
$ | 10,000 | Exxon Mobil Corp., 4.23%, due 3/19/2040 | $ 9,869 | ||
5,000 | Fox Corp., 5.48%, due 1/25/2039 | 5,117 | |||
5,000 | Freeport-McMoRan, Inc., 5.45%, due 3/15/2043 | 4,687 | |||
5,000 | General Electric Capital Corp., 5.88%, due 1/14/2038 | 5,395 | |||
5,000 | General Motors Co., 5.00%, due 4/1/2035 | 4,675 | |||
5,000 | Gilead Sciences, Inc., 4.75%, due 3/1/2046 | 5,006 | |||
15,000 | Goldman Sachs Group, Inc., 4.02%, due 10/31/2038 | 13,909(e) | |||
5,000 | HCA, Inc., 5.25%, due 6/15/2049 | 4,694 | |||
5,000 | Home Depot, Inc., 3.35%, due 4/15/2050 | 4,279 | |||
5,000 | Jackson Financial, Inc., 4.00%, due 11/23/2051 | 3,530(c) | |||
JPMorgan Chase & Co. | |||||
10,000 | 5.40%, due 1/6/2042 | 10,673 | |||
5,000 | 4.03%, due 7/24/2048 | 4,502(e) | |||
5,000 | 3.33%, due 4/22/2052 | 3,992(e) | |||
10,000 | Kinder Morgan, Inc., 5.55%, due 6/1/2045 | 9,992 | |||
5,000 | Kraft Heinz Foods Co., 5.20%, due 7/15/2045 | 4,977 | |||
5,000 | Lockheed Martin Corp., 2.80%, due 6/15/2050 | 3,973 | |||
5,000 | Lowe's Cos., Inc., 3.00%, due 10/15/2050 | 3,705 | |||
5,000 | LYB Int'l Finance III LLC, 4.20%, due 5/1/2050 | 4,179 | |||
5,000 | Magallanes, Inc., 5.39%, due 3/15/2062 | 4,414(c) | |||
5,000 | Magellan Midstream Partners L.P., 3.95%, due 3/1/2050 | 4,075 | |||
5,000 | Masco Corp., 4.50%, due 5/15/2047 | 4,413 | |||
10,000 | McDonald's Corp., 3.63%, due 9/1/2049 | 8,691 | |||
10,000 | Merck & Co., Inc., 2.90%, due 12/10/2061 | 7,527 | |||
5,000 | MetLife, Inc., 4.88%, due 11/13/2043 | 5,155 | |||
10,000 | Micron Technology, Inc., 3.48%, due 11/1/2051 | 7,166 | |||
10,000 | Microsoft Corp., 2.68%, due 6/1/2060 | 7,699 | |||
5,000 | MidAmerican Energy Co., 4.25%, due 5/1/2046 | 4,801 | |||
Morgan Stanley | |||||
5,000 | 4.30%, due 1/27/2045 | 4,700 | |||
10,000 | 4.38%, due 1/22/2047 | 9,565 | |||
5,000 | MPLX L.P., 5.50%, due 2/15/2049 | 4,829 | |||
10,000 | Nevada Power Co., Ser. EE, 3.13%, due 8/1/2050 | 7,720 | |||
5,000 | Norfolk Southern Corp., 3.94%, due 11/1/2047 | 4,567 | |||
5,000 | Oglethorpe Power Corp., 4.50%, due 4/1/2047 | 4,470(c) | |||
Oracle Corp. | |||||
10,000 | 4.00%, due 7/15/2046 | 7,739 | |||
5,000 | 3.60%, due 4/1/2050 | 3,644 | |||
5,000 | 3.95%, due 3/25/2051 | 3,873 | |||
Pacific Gas and Electric Co. | |||||
5,000 | 4.30%, due 3/15/2045 | 3,738 | |||
10,000 | 3.50%, due 8/1/2050 | 7,071 | |||
10,000 | Pfizer, Inc., 2.70%, due 5/28/2050 | 8,066 | |||
5,000 | Public Service Co. of Colorado, 4.05%, due 9/15/2049 | 4,644 | |||
5,000 | Raytheon Technologies Corp., 4.35%, due 4/15/2047 | 4,836 | |||
10,000 | Royalty Pharma PLC, 2.20%, due 9/2/2030 | 8,446 | |||
10,000 | salesforce.com, Inc., 2.70%, due 7/15/2041 | 8,203 | |||
Southern California Edison Co. | |||||
5,000 | Ser. B, 4.88%, due 3/1/2049 | 4,724 | |||
5,000 | Ser. 20A, 2.95%, due 2/1/2051 | 3,571 | |||
10,000 | Southwestern Public Service Co., 3.15%, due 5/1/2050 | 8,049 |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont’d)
Principal Amount | Value | ||||
United States – cont'd | |||||
$ | 10,000 | Starbucks Corp., 3.50%, due 11/15/2050 | $ 8,245 | ||
5,000 | Sysco Corp., 6.60%, due 4/1/2050 | 6,071(g) | |||
T-Mobile USA, Inc. | |||||
10,000 | 4.38%, due 4/15/2040 | 9,306 | |||
5,000 | 4.50%, due 4/15/2050 | 4,627 | |||
5,000 | Union Pacific Corp., 3.80%, due 10/1/2051 | 4,510 | |||
5,000 | United Technologies Corp., 4.50%, due 6/1/2042 | 5,000 | |||
5,000 | UnitedHealth Group, Inc., 4.20%, due 1/15/2047 | 4,873 | |||
10,000 | Upjohn, Inc., 3.85%, due 6/22/2040 | 7,296 | |||
Verizon Communications, Inc. | |||||
5,000 | 3.40%, due 3/22/2041 | 4,257 | |||
10,000 | 4.13%, due 8/15/2046 | 9,217 | |||
5,000 | 3.70%, due 3/22/2061 | 4,098 | |||
10,000 | ViacomCBS, Inc., 4.20%, due 5/19/2032 | 9,077 | |||
5,000 | Virginia Electric and Power Co., 2.45%, due 12/15/2050 | 3,554 | |||
10,000 | Walmart, Inc., 2.50%, due 9/22/2041 | 8,220 | |||
5,000 | Walt Disney Co., 4.70%, due 3/23/2050 | 5,182 | |||
Wells Fargo & Co. | |||||
10,000 | 3.07%, due 4/30/2041 | 8,104(e) | |||
5,000 | 5.01%, due 4/4/2051 | 5,189(e) | |||
705,017 | |||||
Total Corporate Bonds (Cost $1,018,249) | 810,223 | ||||
U.S. Treasury Obligations 8.1% | |||||
U.S. Treasury Bills | |||||
5,000 | 1.71%, due 8/18/2022 | 4,995(h) | |||
5,000 | 2.09%, due 9/15/2022 | 4,987(h) | |||
5,000 | 2.11%, due 9/20/2022 | 4,985(h) | |||
U.S. Treasury Bonds | |||||
35,000 | 4.38%, due 2/15/2038 | 42,189 | |||
15,000 | 3.50%, due 2/15/2039 | 16,233 | |||
5,000 | 4.25%, due 11/15/2040 | 5,823 | |||
30,000 | 2.00%, due 11/15/2041 - 8/15/2051 | 24,012 | |||
180,000 | 2.38%, due 2/15/2042 - 5/15/2051 | 155,731 | |||
175,000 | 3.00%, due 5/15/2042 - 2/15/2048 | 166,449 | |||
15,000 | 3.13%, due 2/15/2043 - 8/15/2044 | 14,552 | |||
65,000 | 3.63%, due 8/15/2043 - 2/15/2044 | 68,270 | |||
5,000 | 2.50%, due 2/15/2045 | 4,335 | |||
110,000 | 2.88%, due 8/15/2045 - 5/15/2052 | 104,652 | |||
25,000 | 2.75%, due 8/15/2047 | 22,802 | |||
10,000 | 3.38%, due 11/15/2048 | 10,397 | |||
15,000 | 1.88%, due 11/15/2051 | 11,543 | |||
20,000 | 2.25%, due 2/15/2052 | 16,866 | |||
31,622 | U.S. Treasury Inflation-Indexed Notes, 0.13%, due 1/15/2032 | 31,547(i) | |||
Total U.S. Treasury Obligations (Cost $774,132) | 710,368 | ||||
U.S. Government Agency Securities 0.3% | |||||
20,000 | Fannie Mae Principal Strip, 0.00%, due 7/15/2037 | 12,299(j) | |||
10,000 | Federal Home Loan Bank, 5.50%, due 7/15/2036 | 12,478 | |||
Total U.S. Government Agency Securities (Cost $25,522) | 24,777 |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont’d)
Number of Shares | Value | |||
Exchange-Traded Funds 16.8% | ||||
4,169 | Invesco DB Commodity Index Tracking Fund | $ 108,853* | ||
26,754 | iShares Core International Aggregate Bond ETF | 1,372,881 | ||
Total Exchange-Traded Funds (Cost $1,577,192) | 1,481,734 | |||
Total Purchased Options(k) 0.0%(d) (Cost $3,273) | 868 | |||
Short-Term Investments 3.9% | ||||
Investment Companies 3.9% | ||||
347,632 | State Street Institutional U.S. Government Money Market Fund Premier Class, 1.88%(l) (Cost $347,632) | 347,632(m) | ||
Total Investments 98.6% (Cost $8,726,623) | 8,692,540 | |||
Other Assets Less Liabilities 1.4% | 122,388(n) | |||
Net Assets 100.0% | $8,814,928 |
* | 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 July 31, 2022 amounted to $7,649, which represents 0.1% of net assets of the Fund. |
(c) | Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At July 31, 2022, these securities amounted to $34,229, which represents 0.4% of net assets of the Fund. |
(d) | Represents less than 0.05% of net assets of the Fund. |
(e) | Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end. |
(f) | Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer. The date shown reflects the next call date. |
(g) | Step Bond. Coupon rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown was the current rate as of July 31, 2022. |
(h) | Rate shown was the discount rate at the date of purchase. |
(i) | Index-linked bond whose principal amount adjusts according to a government retail price index. |
(j) | Principal only security. This security entitles the holder to receive principal payments from an underlying pool of assets or on the security itself. |
(k) | See “Purchased option contracts” under Derivative Instruments. |
(l) | Represents 7-day effective yield as of July 31, 2022. |
(m) | All or a portion of this security is segregated in connection with obligations for options written, swaps, futures and/or forward foreign currency contracts with a total value of $347,632. |
(n) | Includes the impact of the Fund's open positions in derivatives at July 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* | $1,481,734 | 16.8% |
U.S. Treasury Obligations | 710,368 | 8.1% |
Pharmaceuticals | 370,608 | 4.2% |
Banks | 363,327 | 4.1% |
Software | 349,184 | 4.0% |
Technology Hardware, Storage & Peripherals | 299,600 | 3.4% |
Semiconductors & Semiconductor Equipment | 271,807 | 3.1% |
Oil, Gas & Consumable Fuels | 266,854 | 3.0% |
Insurance | 237,094 | 2.7% |
IT Services | 210,201 | 2.4% |
Automobiles | 183,324 | 2.1% |
Health Care Providers & Services | 166,690 | 1.9% |
Interactive Media & Services | 161,557 | 1.8% |
Capital Markets | 158,409 | 1.8% |
Equity Real Estate Investment Trusts | 155,514 | 1.8% |
Hotels, Restaurants & Leisure | 143,391 | 1.6% |
Media | 135,994 | 1.5% |
Biotechnology | 112,489 | 1.3% |
Metals & Mining | 112,116 | 1.3% |
Beverages | 111,276 | 1.3% |
Food Products | 108,854 | 1.2% |
Electric | 97,004 | 1.1% |
Food & Staples Retailing | 96,870 | 1.1% |
Household Products | 95,867 | 1.1% |
Internet & Direct Marketing Retail | 86,770 | 1.0% |
Diversified Telecommunication Services | 85,581 | 1.0% |
Life Sciences Tools & Services | 84,767 | 1.0% |
Road & Rail | 84,156 | 1.0% |
Health Care Equipment & Supplies | 83,779 | 0.9% |
Professional Services | 82,474 | 0.9% |
Chemicals | 77,495 | 0.9% |
Trading Companies & Distributors | 76,756 | 0.9% |
Electric Utilities | 75,278 | 0.8% |
Telecommunications | 65,957 | 0.7% |
Communications Equipment | 60,045 | 0.7% |
Machinery | 56,629 | 0.6% |
Specialty Retail | 54,417 | 0.6% |
Marine | 54,018 | 0.6% |
Diversified Financial Services | 53,467 | 0.6% |
Textiles, Apparel & Luxury Goods | 53,046 | 0.6% |
Aerospace & Defense | 52,888 | 0.6% |
Air Freight & Logistics | 42,656 | 0.5% |
Oil & Gas | 40,738 | 0.5% |
Entertainment | 40,240 | 0.5% |
Wireless Telecommunication Services | 39,866 | 0.4% |
Multi-Utilities | 36,522 | 0.4% |
Distributors | 36,241 | 0.4% |
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 |
Retail | $33,140 | 0.4% |
Gas Utilities | 29,489 | 0.3% |
Building Products | 27,782 | 0.3% |
Commercial Services & Supplies | 26,964 | 0.3% |
Auto Components | 26,719 | 0.3% |
Pipelines | 26,478 | 0.3% |
Construction & Engineering | 25,953 | 0.3% |
Household Durables | 25,929 | 0.3% |
Electrical Equipment | 25,039 | 0.3% |
U.S. Government Agency Securities | 24,777 | 0.3% |
Semiconductors | 23,008 | 0.3% |
Agriculture | 18,866 | 0.2% |
Industrial Conglomerates | 18,273 | 0.2% |
Electronic Equipment, Instruments & Components | 17,786 | 0.2% |
Construction Materials | 17,575 | 0.2% |
Consumer Finance | 16,392 | 0.2% |
Food | 15,709 | 0.2% |
Transportation | 14,036 | 0.2% |
Building Materials | 13,231 | 0.1% |
Healthcare - Services | 9,567 | 0.1% |
Computers | 9,473 | 0.1% |
Water | 9,091 | 0.1% |
Real Estate Investment Trusts | 8,776 | 0.1% |
Office - Business Equipment | 8,508 | 0.1% |
Real Estate Management & Development | 8,475 | 0.1% |
Paper & Forest Products | 8,052 | 0.1% |
Containers & Packaging | 7,334 | 0.1% |
Miscellaneous Manufacturer | 5,395 | 0.1% |
Multi-National | 5,092 | 0.1% |
Other industries representing less than 0.05% of net assets of the Fund | 13,213 | 0.0% |
Purchased Options | 868 | 0.0%(a) |
Short-Term Investments and Other Assets—Net | 470,020 | 5.3% |
$8,814,928 | 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 July 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) |
9/2022 | 3 | MSCI Emerging Markets Index | $149,775 | $(1,605) |
Total Long Positions | $149,775 | $(1,605) |
Short Futures: |
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) |
9/2022 | 1 | Euro-Bund | $(161,116) | $(7,726) |
9/2022 | 1 | Euro-Buxl Bond, 30 Year | (189,897) | (17,416) |
9/2022 | 1 | Japanese Government Bond, 10 Year | (1,128,684) | (9,074) |
9/2022 | 6 | U.S. Treasury Note, 10 Year | (726,844) | (5,625) |
9/2022 | 1 | U.S. Treasury Ultra Bond | (158,312) | 938 |
3/2024 | 3 | SOFR, 3 Months | (730,200) | (2,503) |
Total Short Positions | $(3,095,053) | $(41,406) | ||
Total Futures | $(43,011) |
At July 31, 2022, the Fund had $146,874 deposited in a segregated account to cover margin requirements on open futures.
Forward foreign currency contracts (“forward FX contracts”)
At July 31, 2022, open forward FX contracts for the Fund were as follows:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||
EUR | 80,000 | USD | 81,825 | GSI | 9/20/2022 | $219 |
JPY | 5,800,286 | AUD | 62,000 | GSI | 9/2/2022 | 252 |
Total unrealized appreciation | $471 | |||||
EUR | 87,000 | USD | 89,373 | GSI | 9/20/2022 | (149) |
USD | 170,378 | EUR | 167,000 | GSI | 9/20/2022 | (888) |
Total unrealized depreciation | $(1,037) | |||||
Total net unrealized depreciation | $(566) |
Total return swap contracts (“total return swaps”)
At July 31, 2022, the Fund had outstanding total return swaps as follows:
Over-the-counter total return swaps—Long(a) |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont’d)
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 | |
CITI | Citi CUBES-D (GSCI weighted) ER Index | USD | 39,358 | 12/22/2022 | 0.19%(c) | —% | — | T/T | $(2,462) | $(9) | $(2,471) |
GS | Energy Select Sector SPDR Fund | USD | 4,627 | 12/27/2022 | 2.57% | 0.30% | SOFR | T/3M | 270 | (12) | 258 |
CITI | iShares GSCI Commodity Dynamic Roll Strategy ETF | USD | 176,552 | 12/22/2022 | 2.81% | 0.50% | OBFR | T/3M | 5,546 | (234) | 5,312 |
Total | $3,354 | $(255) | $3,099 |
Over-the-counter total return swaps—Short(d) |
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable Rate | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |
GS | SPDR S&P 500 ETF Trust | USD | (4,532) | 12/27/2022 | 2.02% | (0.25)% | SOFR | 3M/T | $(261) | $9 | $(252) |
Total | $(261) | $9 | $(252) |
(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 July 31, 2022. |
(c) | Fixed financing cost. |
(d) | 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. |
Purchased option contracts (“options purchased”)
At July 31, 2022, the Fund had outstanding options purchased as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value |
Calls | |||||
Exchange-Traded Funds | |||||
iShares China Large-Cap ETF(a) | 18 | $54,684 | $37 | 9/16/2022 | $92 |
Total calls | $92 | ||||
Puts | |||||
Exchange-Traded Funds | |||||
SPDR S&P 500 ETF Trust(a) | 2 | $82,398 | $380 | 9/16/2022 | $776 |
Total puts | $776 | ||||
Total options purchased (cost $3,273) | $868 |
(a) | OTC option. Counterparty is Goldman Sachs International. |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont’d)
Written option contracts (“options written”)
At July 31, 2022, the Fund had outstanding options written as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value |
Calls | |||||
Exchange-Traded Funds | |||||
SPDR S&P 500 ETF Trust(a) | 2 | $(82,398) | $410 | 9/16/2022 | $(2,473) |
Total options written (premium received $1,422) | $(2,473) |
(a) | OTC option. Counterparty is Goldman Sachs International. |
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 July 31, 2022:
Asset Valuation Inputs | Level 1 | Level 2 | Level 3 | Total |
Investments: | ||||
Common Stocks | ||||
Australia | $— | $107,079 | $— | $107,079 |
Chile | — | 5,478 | — | 5,478 |
China | 20,595 | 13,905 | — | 34,500 |
Denmark | — | 49,033 | — | 49,033 |
Finland | — | 30,526 | — | 30,526 |
France | 15,344 | 225,288 | — | 240,632 |
Germany | — | 31,542 | — | 31,542 |
Hong Kong | — | 17,738 | — | 17,738 |
Ireland | — | 17,575 | — | 17,575 |
Italy | — | 15,622 | — | 15,622 |
Japan | — | 324,068 | — | 324,068 |
Netherlands | — | 45,334 | — | 45,334 |
New Zealand | — | 5,785 | — | 5,785 |
Norway | — | 36,925 | — | 36,925 |
Portugal | — | 6,666 | — | 6,666 |
Singapore | — | 34,409 | — | 34,409 |
South Africa | — | 45,687 | — | 45,687 |
Spain | — | 56,533 | — | 56,533 |
Sweden | — | 20,370 | — | 20,370 |
Switzerland | 17,786 | 157,059 | — | 174,845 |
United Kingdom | 44,097 | 153,786 | — | 197,883 |
United States | 3,581,889 | 33,064 | — | 3,614,953 |
Other Common Stocks# | 203,755 | — | — | 203,755 |
Total Common Stocks | 3,883,466 | 1,433,472 | — | 5,316,938 |
U.S. Treasury Obligations | — | 710,368 | — | 710,368 |
U.S. Government Agency Securities | — | 24,777 | — | 24,777 |
Corporate Bonds | — | 810,223 | — | 810,223 |
Exchange-Traded Funds | 1,481,734 | — | — | 1,481,734 |
Options Purchased@ | — | 868 | — | 868 |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont’d)
Asset Valuation Inputs | Level 1 | Level 2 | Level 3 | Total |
Short-Term Investments | $— | $347,632 | $— | $347,632 |
Total Investments | $5,365,200 | $3,327,340 | $— | $8,692,540 |
# | The Schedule of Investments provides a geographic categorization as well as a Positions by Industry summary. |
@ | The “Purchased option contracts” table under Derivative Instruments 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 July 31, 2022:
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Futures@ | ||||
Assets | $938 | $— | $— | $938 |
Liabilities | (43,949) | — | — | (43,949) |
Forward FX Contracts@ | ||||
Assets | — | 471 | — | 471 |
Liabilities | — | (1,037) | — | (1,037) |
Swaps | ||||
Assets | — | 5,570 | — | 5,570 |
Liabilities | — | (2,723) | — | (2,723) |
Options Written | ||||
Liabilities | — | (2,473) | — | (2,473) |
Total | $(43,011) | $(192) | $— | $(43,203) |
@ | 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
Consolidated Schedule of Investments Long Short Fund^ (Unaudited)
July 31, 2022
July 31, 2022
Number of Shares | Value | |
Long Positions 100.5% | ||
Common Stocks 74.9% | ||
Aerospace & Defense 1.2% | ||
130,700 | Airbus SE | $ 14,092,294(a) |
170,200 | Boeing Co. | 27,114,562*(b) |
256,330 | Raytheon Technologies Corp. | 23,892,520 |
65,099,376 | ||
Banks 1.9% | ||
890,174 | JPMorgan Chase & Co. | 102,690,473(b) |
Beverages 1.2% | ||
1,748,228 | Keurig Dr Pepper, Inc. | 67,726,353(b) |
Capital Markets 3.5% | ||
760,131 | Brookfield Asset Management, Inc. Class A | 37,740,504 |
298,752 | CME Group, Inc. | 59,595,049(b) |
247,771 | S&P Global, Inc. | 93,392,323(b) |
190,727,876 | ||
Chemicals 1.7% | ||
176,908 | Air Products & Chemicals, Inc. | 43,913,873(b) |
508,101 | Ashland Global Holdings, Inc. | 51,048,907 |
94,962,780 | ||
Commercial Services & Supplies 1.4% | ||
447,785 | Waste Management, Inc. | 73,687,500(b) |
Computers 0.1% | ||
359,091 | Arctic Wolf Networks, Inc. | 3,950,001*#(c)(d) |
Containers & Packaging 1.1% | ||
313,437 | Avery Dennison Corp. | 59,697,211 |
Diversified Consumer Services 0.2% | ||
464,119 | European Wax Center, Inc. Class A | 9,709,369 |
Diversified Financial Services 3.2% | ||
1,862,451 | Apollo Global Management, Inc. | 106,345,952 |
2,102,747 | Equitable Holdings, Inc. | 59,781,097 |
1,800,000 | Sunlight Financial Holdings, Inc. | 6,840,000* |
172,967,049 | ||
Diversified Telecommunication Services 0.2% | ||
472,631 | Frontier Communications Parent, Inc. | 12,245,869*(b) |
Electric Utilities 2.3% | ||
1,462,047 | NextEra Energy, Inc. | 123,528,351(b) |
Electrical Equipment 0.9% | ||
1,361,898 | nVent Electric PLC | 48,088,618 |
Number of Shares | Value | |
Electronic Equipment, Instruments & Components 2.5% | ||
357,800 | Amphenol Corp. Class A | $ 27,597,114 |
241,389 | CDW Corp. | 43,819,345 |
486,829 | TE Connectivity Ltd. | 65,103,642 |
136,520,101 | ||
Entertainment 1.3% | ||
566,582 | Activision Blizzard, Inc. | 45,298,231(b) |
118,450 | Netflix, Inc. | 26,639,405*(b) |
71,937,636 | ||
Equity Real Estate Investment Trusts 0.7% | ||
117,343 | SBA Communications Corp. | 39,402,606(b) |
Food & Staples Retailing 1.6% | ||
81,959 | Costco Wholesale Corp. | 44,364,407(b) |
340,271 | Walmart, Inc. | 44,932,785 |
89,297,192 | ||
Food Products 0.6% | ||
424,289 | Mondelez International, Inc. Class A | 27,171,468(b) |
1,000,000 | Whole Earth Brands, Inc. | 5,380,000* |
32,551,468 | ||
Health Care Equipment & Supplies 1.2% | ||
64,125 | Becton, Dickinson & Co. | 15,666,379 |
512,282 | Medtronic PLC | 47,396,330 |
63,062,709 | ||
Health Care Providers & Services 2.2% | ||
69,900 | Humana, Inc. | 33,691,800 |
159,397 | UnitedHealth Group, Inc. | 86,447,369(b) |
120,139,169 | ||
Holding Companies—Diversified 0.2% | ||
1,082,400 | Independence Holdings Corp. | 10,650,816* |
Hotels, Restaurants & Leisure 3.3% | ||
198,159 | Expedia Group, Inc. | 21,014,762*(b) |
764,150 | First Watch Restaurant Group, Inc. | 12,700,173* |
188,946 | Marriott International, Inc. Class A | 30,008,404(b) |
381,718 | McDonald's Corp. | 100,533,070(b) |
1,118,443 | Sweetgreen, Inc. Class A | 17,570,739* |
181,827,148 | ||
Household Products 0.8% | ||
301,365 | Procter & Gamble Co. | 41,862,612(b) |
Interactive Media & Services 3.9% | ||
951,960 | Alphabet, Inc. Class A | 110,731,987*(b) |
189,640 | Match Group, Inc. | 13,902,508* |
551,908 | Meta Platforms, Inc. Class A | 87,808,563*(b) |
212,443,058 |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Number of Shares | Value | |
Internet & Direct Marketing Retail 3.2% | ||
1,126,028 | Amazon.com, Inc. | $ 151,957,479*(b) |
604,852 | Chewy, Inc. Class A | 23,474,306*(b)(e) |
175,431,785 | ||
IT Services 3.8% | ||
346,168 | Fidelity National Information Services, Inc. | 35,364,523(b) |
164,113 | MasterCard, Inc. Class A | 58,061,538(b) |
380,874 | Okta, Inc. | 37,497,045*(b) |
1,869,977 | Repay Holdings Corp. | 25,057,692*(b) |
233,231 | Visa, Inc. Class A | 49,470,628(b) |
205,451,426 | ||
Life Sciences Tools & Services 0.7% | ||
68,198 | Thermo Fisher Scientific, Inc. | 40,810,365 |
Metals & Mining 0.3% | ||
348,968 | Alcoa Corp. | 17,758,982 |
Multi-Utilities 1.4% | ||
1,807,955 | CenterPoint Energy, Inc. | 57,294,094(b) |
186,191 | WEC Energy Group, Inc. | 19,328,488(b) |
76,622,582 | ||
Oil, Gas & Consumable Fuels 1.6% | ||
240,598 | Chevron Corp. | 39,405,140(b) |
1,016,530 | Enbridge, Inc. | 45,672,693 |
329 | Venture Global LNG, Inc. | 3,245,256*#(c)(d) |
88,323,089 | ||
Pharmaceuticals 0.8% | ||
251,014 | Johnson & Johnson | 43,806,963(b) |
Professional Services 1.4% | ||
378,341 | Dun & Bradstreet Holdings, Inc. | 5,962,654 |
340,302 | Equifax, Inc. | 71,092,491 |
77,055,145 | ||
Road & Rail 2.5% | ||
1,166,708 | Uber Technologies, Inc. | 27,359,303* |
477,725 | Union Pacific Corp. | 108,586,892(b) |
135,946,195 | ||
Semiconductors & Semiconductor Equipment 1.2% | ||
268,796 | Analog Devices, Inc. | 46,222,160 |
29,397 | ASML Holding NV | 16,886,813(b) |
63,108,973 | ||
Software 10.1% | ||
189,423 | Adobe, Inc. | 77,686,161*(b) |
451,021 | DoubleVerify Holdings, Inc. | 10,341,911*(b) |
179,381 | Grammarly, Inc. Class A | 3,761,530*#(c)(d) |
646,160 | Microsoft Corp. | 181,402,958(b) |
1,266,856 | Paycor HCM, Inc. | 33,812,387*(b) |
467,894 | salesforce, Inc. | 86,101,854*(b) |
Number of Shares | Value | |
Software – cont'd | ||
136,938 | ServiceNow, Inc. | $ 61,164,727*(b) |
244,681 | Splunk, Inc. | 25,424,803*(b) |
265,045 | Workday, Inc. Class A | 41,108,479*(b) |
382,764 | Zendesk, Inc. | 28,868,061*(b) |
549,672,871 | ||
Specialty Retail 6.5% | ||
171,944 | Asbury Automotive Group, Inc. | 29,512,468* |
2,026,590 | Fanatics Holdings, Inc. Class A | 137,483,866*#(c)(d) |
258,774 | Floor & Decor Holdings, Inc. Class A | 20,849,421*(b) |
232,053 | Home Depot, Inc. | 69,834,030(b) |
1,539,949 | TJX Cos., Inc. | 94,183,281 |
351,863,066 | ||
Technology Hardware, Storage & Peripherals 3.2% | ||
1,056,905 | Apple, Inc. | 171,757,632(b) |
Textiles, Apparel & Luxury Goods 1.0% | ||
451,835 | NIKE, Inc. Class B | 51,924,878(b) |
Total Common Stocks (Cost $3,373,099,630) | 4,074,309,293 | |
Preferred Stocks 1.1% | ||
Capital Markets 0.1% | ||
82,110 | Savage X, Inc. Ser. C | 3,949,983*#(c)(d) |
Entertainment 0.1% | ||
39,203 | A24 Films LLC | 4,463,653*#(c)(d)(f) |
Internet 0.4% | ||
23,000 | Fabletics, Inc. Ser. G | 23,000,000*#(c)(d) |
IT Services 0.3% | ||
959,038 | Cybereason, Inc. Ser. F | 4,750,000*#(c)(d) |
658,071 | Druva, Inc. Ser. 4 | 6,167,968*#(c)(d) |
480,112 | Druva, Inc. Ser. 5 | 4,499,994*#(c)(d) |
15,417,962 | ||
Software 0.2% | ||
55,626 | Grammarly, Inc. Ser. 3 | 1,458,063*#(c)(d) |
180,619 | Signifyd, Inc. Ser. Seed | 2,532,278*#(c)(d) |
78,686 | Signifyd, Inc. Ser. A | 1,104,752*#(c)(d) |
325,371 | Videoamp, Inc. Ser. F1 | 5,135,005*#(c)(d) |
10,230,098 | ||
Total Preferred Stocks (Cost $58,686,273) | 57,061,696 |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Number of Units | Value | |
Master Limited Partnerships and Limited Partnerships 2.8% | ||
Multi-Utilities 1.0% | ||
1,354,657 | Brookfield Infrastructure Partners L.P. | $53,955,989(b) |
Number of Units | Value | |
Oil, Gas & Consumable Fuels 1.8% | ||
3,715,544 | Enterprise Products Partners L.P. | $99,316,491 |
Total Master Limited Partnerships and Limited Partnerships (Cost $114,951,627) | 153,272,480 |
Principal Amount | ||
Corporate Bonds 1.7% | ||
Computers 0.1% | ||
$11,360,000 | Apple, Inc., 2.85%, due 8/5/2061 | $8,811,810 |
Healthcare - Services 0.0%(g) | ||
1,890,000 | UnitedHealth Group, Inc., 3.13%, due 5/15/2060 | 1,480,087 |
Internet 0.2% | ||
3,790,000 | Alphabet, Inc., 2.25%, due 8/15/2060 | 2,635,525 |
11,360,000 | Amazon.com, Inc., 3.25%, due 5/12/2061 | 9,312,158 |
11,947,683 | ||
Miscellaneous Manufacturer 0.8% | ||
Anagram International, Inc./Anagram Holdings LLC | ||
24,232,536 | 10.00% Cash & 5.00% PIK, due 8/15/2025 | 24,959,512(h)(i) |
16,536,965 | 5.00% Cash & 5.00% PIK, due 8/15/2026 | 16,826,362(h)(i) |
41,785,874 | ||
Pharmaceuticals 0.1% | ||
5,670,000 | Johnson & Johnson, 2.45%, due 9/1/2060 | 4,088,337 |
Retail 0.4% | ||
27,199,035 | Party City Holdings, Inc., (6M USD LIBOR + 5.00%, Floor 5.75%), 8.06%, due 7/15/2025 | 16,455,416(h)(j) |
5,670,000 | Walmart, Inc., 2.65%, due 9/22/2051 | 4,509,534 |
20,964,950 | ||
Software 0.1% | ||
3,780,000 | Activision Blizzard, Inc., 2.50%, due 9/15/2050 | 2,741,645 |
3,790,000 | Microsoft Corp., 2.68%, due 6/1/2060 | 2,918,087 |
5,659,732 | ||
Total Corporate Bonds (Cost $72,864,103) | 94,738,473 | |
Loan Assignments 0.5% | ||
Leisure Goods - Activities - Movies 0.5% | ||
25,000,000 | One Spa World, LLC,, Second Lien Term Loan, (3M USD LIBOR + 7.50%), 10.27%, due 3/18/2027 (Cost $24,704,851) | 25,500,000#(c)(d)(j) |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Number of Shares | Value | |
Warrants 0.0%(g) | ||
Diversified Consumer Services 0.0%(g) | ||
52,600 | OneSpaWorld Holdings Ltd. Expires 3/19/2024 | $ 34,495* |
653,334 | OneSpaWorld Holdings Ltd. Expires 6/12/2025 | 1,946,935*(c)(d) |
1,981,430 | ||
Food Products 0.0%(g) | ||
701,800 | Whole Earth Brands, Inc. Expires 6/25/2025 | 154,396* |
301,400 | Whole Earth Brands, Inc. Expires 6/25/2025 | 66,308* |
220,704 | ||
Total Warrants (Cost $433,413) | 2,202,134 | |
Purchased Option Contracts 0.0%(g) (Cost $1,340,081) | 577,219 | |
Short-Term Investments 19.5% | ||
Investment Companies 19.5% | ||
1,044,678,778 | State Street Institutional U.S. Government Money Market Fund Premier Class, 1.88%(k) | 1,044,678,778(a) |
14,144,960 | State Street Navigator Securities Lending Government Money Market Portfolio, 2.00%(k) | 14,144,960(l) |
Total Short-Term Investments (Cost $1,058,823,738) | 1,058,823,738 | |
Total Long Positions (100.5%) (Cost $4,704,903,716) | 5,466,485,033 |
Short Positions ((16.6)%) | ||
Common Stocks Sold Short (14.7)% | ||
Aerospace & Defense (0.2)% | ||
(92,300) | Woodward, Inc. | $(9,663,810) |
Air Freight & Logistics (0.1)% | ||
(51,100) | Expeditors International of Washington, Inc. | (5,429,375) |
Automobiles (0.2)% | ||
(890,298) | Canoo, Inc. | (3,080,431)* |
Number of Shares | Value | |
Automobiles – cont'd | ||
(454,940) | Lucid Group, Inc. | $ (8,302,655)* |
(11,383,086) | ||
Building Products (0.1)% | ||
(54,300) | Owens Corning | (5,035,782) |
Capital Markets (0.4)% | ||
(120,471) | Coinbase Global, Inc. | (7,584,854)* |
(125,175) | T Rowe Price Group, Inc. | (15,455,357) |
(23,040,211) | ||
Commercial Services & Supplies (0.1)% | ||
(479,083) | Steelcase, Inc. | (5,332,194) |
Communications Equipment (0.1)% | ||
(149,603) | NetScout Systems, Inc. | (5,322,875)* |
Consumer Finance (0.5)% | ||
(2,699,411) | SoFi Technologies, Inc. | (17,033,283)* |
(390,373) | Upstart Holdings, Inc. | (9,497,775)* |
(26,531,058) | ||
Containers & Packaging (0.4)% | ||
(48,501) | AptarGroup, Inc. | (5,226,468) |
(128,049) | Packaging Corp. of America | (18,004,970) |
(23,231,438) | ||
Diversified Consumer Services (0.5)% | ||
(425,411) | H&R Block, Inc. | (16,999,424) |
(772,082) | Mister Car Wash, Inc. | (8,956,151)* |
(25,955,575) | ||
Electric Utilities (0.3)% | ||
(191,784) | Southern Co. | (14,746,272) |
Entertainment (0.3)% | ||
(368,568) | ROBLOX Corp. | (15,822,624)* |
Equity Real Estate Investment Trusts (0.8)% | ||
(290,823) | Iron Mountain, Inc. | (14,102,007) |
(282,374) | Lamar Advertising Co. | (28,536,717) |
(42,638,724) | ||
Food & Staples Retailing (0.2)% | ||
(288,349) | Grocery Outlet Holding Corp. | (12,318,269)* |
Food Products (1.1)% | ||
(509,788) | Campbell Soup Co. | (25,158,038) |
(391,568) | Conagra Brands, Inc. | (13,395,541) |
(159,917) | General Mills, Inc. | (11,960,193) |
(92,275) | McCormick & Co., Inc. | (8,060,221) |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Number of Shares | Value | |
Food Products – cont'd | ||
(59,881) | Sovos Brands, Inc. | $ (847,915)* |
(59,421,908) | ||
Hotels, Restaurants & Leisure (0.7)% | ||
(103,978) | Airbnb, Inc. | (11,539,479)* |
(203,638) | Dine Brands Global, Inc. | (14,521,426) |
(148,913) | Dutch Bros, Inc. | (5,582,748)* |
(142,712) | Portillo's, Inc. | (3,258,115)* |
(107,074) | Restaurant Brands International, Inc. | (5,740,237) |
(40,642,005) | ||
Household Durables (0.3)% | ||
(877,727) | Purple Innovation, Inc. | (3,063,267)* |
(54,496) | TopBuild Corp. | (11,537,893)* |
(211,452) | Weber, Inc. | (1,346,949) |
(15,948,109) | ||
Household Products (0.3)% | ||
(166,967) | Church & Dwight Co., Inc. | (14,688,087) |
Industrial Conglomerates (0.4)% | ||
(79,383) | 3M Co. | (11,370,821) |
(107,400) | General Electric Co. | (7,937,934) |
(19,308,755) | ||
Insurance (0.3)% | ||
(819,122) | Lemonade, Inc. | (15,440,450)* |
Interactive Media & Services (0.0)%(g) | ||
(825,945) | fuboTV, Inc. | (2,073,122)* |
Internet & Direct Marketing Retail (0.2)% | ||
(307,098) | 1stdibs.com, Inc. | (1,989,995)* |
(63,100) | DoorDash, Inc. | (4,401,225)* |
(208,664) | Poshmark, Inc. | (2,251,485)* |
(8,642,705) | ||
IT Services (0.9)% | ||
(92,000) | Automatic Data Processing, Inc. | (22,183,040) |
(1,549,903) | Western Union Co. | (26,379,349) |
(48,562,389) | ||
Machinery (0.2)% | ||
(62,598) | Illinois Tool Works, Inc. | (13,005,360) |
Media (1.1)% | ||
(536,763) | Interpublic Group of Cos., Inc. | (16,033,111) |
(275,563) | Omnicom Group, Inc. | (19,245,320) |
(524,142) | Paramount Global | (12,395,958) |
Number of Shares | Value | |
Media – cont'd | ||
(2,201,932) | Sirius XM Holdings, Inc. | $ (14,708,906) |
(62,383,295) | ||
Multiline Retail (0.0)%(g) | ||
(71,977) | Big Lots, Inc. | (1,453,216) |
Multi-Utilities (0.3)% | ||
(172,824) | Consolidated Edison, Inc. | (17,156,238) |
Personal Products (0.2)% | ||
(697,469) | Beauty Health Co. | (9,290,287)* |
Professional Services (0.2)% | ||
(103,257) | TransUnion | (8,181,052) |
Real Estate Management & Development (0.2)% | ||
(2,089,414) | Opendoor Technologies, Inc. | (10,259,023)* |
Road & Rail (0.1)% | ||
(34,900) | Landstar System, Inc. | (5,464,642) |
Semiconductors & Semiconductor Equipment (0.2)% | ||
(65,269) | Texas Instruments, Inc. | (11,675,971) |
Software (2.1)% | ||
(120,051) | Descartes Systems Group, Inc. | (8,288,321)* |
(242,666) | Guidewire Software, Inc. | (18,860,002)* |
(134,398) | Oracle Corp. | (10,461,540) |
(1,194,642) | Palantir Technologies, Inc. | (12,364,545)* |
(55,403) | Paycom Software, Inc. | (18,310,137)* |
(82,705) | Paylocity Holding Corp. | (17,031,441)* |
(183,353) | SAP SE ADR | (17,090,333) |
(74,624) | SPS Commerce, Inc. | (8,936,970)* |
(61,946) | Trade Desk, Inc. | (2,787,570)* |
(120,877) | UiPath, Inc. | (2,215,675)* |
(116,346,534) | ||
Specialty Retail (1.3)% | ||
(88,693) | AutoNation, Inc. | (10,531,407)* |
(1,043,515) | Bed Bath & Beyond, Inc. | (5,248,880)* |
(130,765) | Burlington Stores, Inc. | (18,454,864)* |
(311,888) | CarMax, Inc. | (31,045,332)* |
(118,674) | Carvana Co. | (3,459,347)* |
(194,510) | Sally Beauty Holdings, Inc. | (2,485,838)* |
(71,225,668) | ||
Textiles, Apparel & Luxury Goods (0.4)% | ||
(220,297) | On Holding AG | (4,795,866)* |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) ��(cont’d)
Number of Shares | Value | |
Textiles, Apparel & Luxury Goods – cont'd | ||
(387,394) | VF Corp. | $ (17,308,764) |
(22,104,630) | ||
Total Common Stocks Sold Short (Proceeds $(853,894,908)) | (799,724,739) |
Principal Amount | ||
Corporate Bonds Sold Short (1.4)% | ||
Advertising (0.1)% | ||
$ (5,000,000) | Clear Channel Worldwide Holdings, Inc., 5.13%, due 8/15/2027 | $(4,650,000)(h) |
Banks (0.1)% | ||
(4,000,000) | BAC Capital Trust XIV, 3M USD LIBOR + 0.40%, 4.00%, due 8/15/2022 | (3,021,522)(j)(m) |
(5,000,000) | PNC Financial Services Group, Inc., 3.40%, due 9/15/2026 | (4,125,000)(m)(n) |
(7,146,522) | ||
Diversified Financial Services (0.2)% | ||
(5,000,000) | Radian Group, Inc., 4.88%, due 3/15/2027 | (4,910,500) |
(5,000,000) | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.63%, due 3/1/2029 | (4,287,600)(h) |
(9,198,100) | ||
Electric (0.1)% | ||
(5,000,000) | Wisconsin Energy Corp., 3M USD LIBOR + 2.11%, 3.52%, due 5/15/2067 | (3,935,850)(j) |
Insurance (0.1)% | ||
(7,000,000) | Hartford Financial Services Group, Inc., 3M USD LIBOR + 2.13%, 3.54%, due 2/12/2047 | (5,713,854)(h)(j) |
Lodging (0.1)% | ||
(7,000,000) | Boyd Gaming Corp., 4.75%, due 12/1/2027 | (6,761,510) |
Media (0.3)% | ||
(5,000,000) | Entercom Media Corp., 6.50%, due 5/1/2027 | (2,500,750)(h) |
(6,000,000) | iHeartCommunications, Inc., 8.38%, due 5/1/2027 | (5,454,600) |
(5,000,000) | Sirius XM Radio, Inc., 4.00%, due 7/15/2028 | (4,658,300)(h) |
(12,613,650) | ||
Office Equipment (0.1)% | ||
(7,000,000) | Steelcase, Inc., 5.13%, due 1/18/2029 | (6,705,160) |
Pipelines (0.2)% | ||
(15,000,000) | TransCanada PipeLines Ltd., 3M USD LIBOR + 2.21%, 3.62%, due 5/15/2067 | (11,450,940)(j) |
Retail (0.1)% | ||
(5,000,000) | Macy's Retail Holdings LLC, 5.88%, due 4/1/2029 | (4,408,575)(h) |
Total Corporate Bonds Sold Short (Proceeds $(78,367,761)) | (72,584,161) |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Number of Shares | Value | |
Exchange-Traded Funds Sold Short (0.5)% | ||
(355,490) | iShares iBoxx High Yield Corporate Bond ETF (Proceeds $ (26,211,881)) | $(27,795,763) |
Total Short Positions (Proceeds $(958,474,550)) | (900,104,663) | |
Total Investments 83.9% (Cost $3,746,429,166) | 4,566,380,370 | |
Other Assets Less Liabilities 16.1% | 873,581,870(o) | |
Net Assets 100.0% | $5,439,962,240 |
* | 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 $1,049,950,180. |
(b) | All or a portion of this security is pledged as collateral for options written. |
(c) | Value determined using significant unobservable inputs. |
(d) | Security fair valued as of July 31, 2022 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at July 31, 2022 amounted to $232,949,284, which represents 4.3% of net assets of the Fund. |
(e) | All or a portion of this security is on loan at July 31, 2022. Total value of all such securities at July 31, 2022 amounted to $13,724,147 for the Fund. |
(f) | Security represented in Units. |
(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 July 31, 2022, these securities amounted to $58,241,290 of long positions and $(26,219,079) of short positions, which represents 1.1% and (0.5)%, respectively, of net assets of the Fund. |
(i) | Payment-in-kind (PIK) security. |
(j) | Variable or floating rate security. The interest rate shown was the current rate as of July 31, 2022 and changes periodically. |
(k) | Represents 7-day effective yield as of July 31, 2022. |
(l) | Represents investment of cash collateral received from securities lending. |
(m) | 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. |
(n) | 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. |
(o) | Includes the impact of the Fund’s open positions in derivatives at July 31, 2022. |
# These securities have been deemed by Management to be illiquid, and are subject to restrictions on resale. At July 31, 2022, these securities amounted to $231,002,349, which represents 4.2% of net assets of the Fund. Acquisition dates shown with a range, if any, represent securities that were acquired over the period shown in the table.
Restricted Security | Acquisition Date(s) | Acquisition Cost | Value as of 7/31/2022 | Fair Value Percentage of Net Assets as of 7/31/2022 |
A24 Films LLC (Preferred Units) | 2/25/2022 | $4,463,654 | $4,463,653 | 0.1% |
Arctic Wolf Networks, Inc. | 12/31/2021 | 3,950,001 | 3,950,001 | 0.1% |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Restricted Security | Acquisition Date(s) | Acquisition Cost | Value as of 7/31/2022 | Fair Value Percentage of Net Assets as of 7/31/2022 |
Cybereason, Inc. (Ser. F Preferred Shares) | 7/19/2021 | $4,750,000 | $4,750,000 | 0.1% |
Druva, Inc. (Ser. 4 Preferred Shares) | 6/14/2019 | 3,429,998 | 6,167,968 | 0.1% |
Druva, Inc. (Ser. 5 Preferred Shares) | 4/1/2021 | 4,500,000 | 4,499,994 | 0.1% |
Fabletics, Inc. (Ser. G Preferred Shares) | 1/10/2022 | 23,000,000 | 23,000,000 | 0.4% |
Fanatics Holdings, Inc. Class A | 8/13/2020 - 4/29/2021 | 37,719,975 | 137,483,866 | 2.5% |
Grammarly, Inc. Class A | 12/23/2021 - 1/24/2022 | 4,701,917 | 3,761,530 | 0.1% |
Grammarly, Inc. (Ser. 3 Preferred Shares) | 12/23/2021 - 1/24/2022 | 1,458,063 | 1,458,063 | 0.0% |
One Spa World, LLC, Second Lien Term Loan | 3/19/2019 | 24,562,500 | 25,500,000 | 0.5% |
Savage X, Inc. (Ser. C Preferred Shares) | 11/30/2021 | 3,949,984 | 3,949,983 | 0.1% |
Signifyd, Inc. (Ser. Seed Preferred Shares) | 5/24/2021 | 5,572,106 | 2,532,278 | 0.0% |
Signifyd, Inc. (Ser. A Preferred Shares) | 5/24/2021 | 2,427,463 | 1,104,752 | 0.0% |
Venture Global LNG, Inc. Ser. C | 11/21/2018 | 2,303,000 | 3,245,256 | 0.0% |
Videoamp, Inc. (Ser. F1 Preferred Shares) | 1/4/2022 | 5,135,005 | 5,135,005 | 0.1% |
Total | $131,923,666 | $231,002,349 | 4.2% |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Derivative Instruments
Futures contracts (“futures”)
At July 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) |
9/2022 | 171 | NASDAQ 100 E-Mini Index | $(44,362,530) | $(3,770,377) |
9/2022 | 341 | Russell 2000 E-Mini Index | (32,144,365) | (1,439,872) |
9/2022 | 1,862 | S&P 500 E-Mini Index | (384,828,850) | (21,208,609) |
Total Futures | $(26,418,858) |
At July 31, 2022, the Fund had $43,820,417 deposited in a segregated account to cover margin requirements on open futures.
Total return basket swap contracts (“total return basket swaps”)
At July 31, 2022, the Fund had outstanding total return basket swaps(a) as follows:
Over-the-counter total return basket swaps—Short(a) |
Counterparty | Reference Entity | Effective Variable Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Maturity Date(s) | Value |
GSI | GSCBECS1 | (0.49)% | (0.40)% | €STR | 3M/T | 7/7/2023 | $(1,472,398) |
GSI | GSCBECS1 | (0.49)% | (0.40)% | €STR | 3M/T | 7/7/2023 | (59,687) |
GSI | GSCBOEC1 | 1.92% | (0.40)% | FEDL01 | 3M/T | 1/19/2024 | (6,898,318) |
GSI | GSNBLIPO | 0.52% | (1.80)% | FEDL01 | 1M/T | 5/25/2023 | 9,609,226 |
GSI | GSNBSPC4 | (1.60)% | (3.87)% | SOFR | 1M/T | 7/21/2023 | 3,581,202 |
JPM | JPNBGCND | 1.66% | (0.65)% | OBFR | 3M/T | 5/1/2023 | 11,169,285 |
JPM | JPNBLQGS | 2.34% | 0.03% | OBFR | 1M/T | 5/23/2023 | 2,760,740 |
JPM | JPNBLQGS | 2.34% | 0.03% | OBFR | 1M/T | 5/23/2023 | 55,097,061 |
JPM | JPNBRMV3 | 2.30% | (0.01)% | OBFR | 1M/T | 11/6/2023 | 1,947,154 |
Total | $75,734,265 |
(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 |
GSCBECS1 | ||||
Delivery Hero SE | (8,402) | $(2,628,957) | $(132,147) | 9.1% |
EssilorLuxottica SA | (2,110) | (2,145,096) | (107,825) | 7.4% |
Industria de Diseno Textil SA | (13,369) | (2,112,445) | (106,184) | 7.3% |
H & M Hennes & Mauritz AB | (25,155) | (2,089,321) | (105,022) | 7.2% |
Henkel AG & Co KGaA | (4,919) | (2,043,216) | (102,704) | 7.0% |
adidas AG | (1,759) | (1,968,736) | (98,960) | 6.8% |
Zalando SE | (8,874) | (1,618,723) | (81,367) | 5.6% |
Swatch Group AG/The | (868) | (1,506,742) | (75,738) | 5.2% |
HelloFresh SE | (8,274) | (1,481,719) | (74,480) | 5.1% |
Puma SE | (3,157) | (1,381,590) | (69,447) | 4.8% |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting |
GSCBECS1 (cont’d) | ||||
HUGO BOSS AG | (3,527) | $(1,352,733) | $(67,996) | 4.7% |
Next PLC | (2,077) | (1,125,264) | (56,562) | 3.9% |
Kingfisher PLC | (54,653) | (1,124,971) | (56,548) | 3.9% |
Pandora A/S | (2,298) | (1,106,936) | (55,641) | 3.8% |
Pearson PLC | (14,614) | (880,092) | (44,239) | 3.0% |
Auto Trader Group PLC | (15,070) | (755,197) | (37,961) | 2.6% |
Dufry AG | (2,738) | (671,898) | (33,774) | 2.3% |
JD Sports Fashion PLC | (58,942) | (607,799) | (30,552) | 2.1% |
Thule Group AB | (2,566) | (483,137) | (24,285) | 1.7% |
ProSiebenSat.1 Media SE | (7,069) | (392,755) | (19,742) | 1.3% |
MIPS AB | (777) | (269,609) | (13,552) | 0.9% |
Adevinta ASA | (5,103) | (250,604) | (12,597) | 0.9% |
Games Workshop Group PLC | (384) | (236,650) | (11,895) | 0.8% |
Watches of Switzerland Group PLC | (3,211) | (226,733) | (11,397) | 0.8% |
Dr Martens PLC | (8,162) | (168,644) | (8,477) | 0.6% |
RTL Group SA | (575) | (146,899) | (7,384) | 0.5% |
Stroeer SE & Co KGaA | (395) | (112,508) | (5,655) | 0.4% |
Fielmann AG | (369) | (97,030) | (4,877) | 0.3% |
$(28,986,004) | $(1,457,008) | |||
Accrued Net Interest Receivable/(Payable) | (15,390) | |||
$(1,472,398) | ||||
GSCBECS1 | ||||
Delivery Hero SE | (2,372) | (742,150) | (5,229) | 9.1% |
EssilorLuxottica SA | (596) | (605,557) | (4,267) | 7.4% |
Industria de Diseno Textil SA | (3,774) | (596,340) | (4,202) | 7.3% |
H & M Hennes & Mauritz AB | (7,101) | (589,812) | (4,156) | 7.2% |
Henkel AG & Co KGaA | (1,389) | (576,797) | (4,064) | 7.0% |
adidas AG | (497) | (555,771) | (3,916) | 6.8% |
Zalando SE | (2,505) | (456,963) | (3,220) | 5.6% |
Swatch Group AG/The | (245) | (425,351) | (2,997) | 5.2% |
HelloFresh SE | (2,336) | (418,287) | (2,947) | 5.1% |
Puma SE | (891) | (390,021) | (2,748) | 4.8% |
HUGO BOSS AG | (996) | (381,874) | (2,691) | 4.7% |
Next PLC | (586) | (317,660) | (2,238) | 3.9% |
Kingfisher PLC | (15,429) | (317,577) | (2,238) | 3.9% |
Pandora A/S | (649) | (312,486) | (2,202) | 3.8% |
Pearson PLC | (4,125) | (248,449) | (1,751) | 3.0% |
Auto Trader Group PLC | (4,254) | (213,191) | (1,502) | 2.6% |
Dufry AG | (773) | (189,676) | (1,336) | 2.3% |
JD Sports Fashion PLC | (16,639) | (171,581) | (1,209) | 2.1% |
Thule Group AB | (724) | (136,389) | (961) | 1.7% |
ProSiebenSat.1 Media SE | (1,996) | (110,874) | (781) | 1.3% |
MIPS AB | (219) | (76,110) | (536) | 0.9% |
Adevinta ASA | (1,440) | (70,745) | (498) | 0.9% |
Games Workshop Group PLC | (108) | (66,806) | (471) | 0.8% |
Watches of Switzerland Group PLC | (907) | (64,006) | (451) | 0.8% |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting |
GSCBECS1 (cont’d) | ||||
Dr Martens PLC | (2,304) | $(47,608) | $(335) | 0.6% |
RTL Group SA | (162) | (41,469) | (292) | 0.5% |
Stroeer SE & Co KGaA | (112) | (31,761) | (224) | 0.4% |
Fielmann AG | (104) | (27,391) | (193) | 0.3% |
$(8,182,702) | $(57,655) | |||
Accrued Net Interest Receivable/(Payable) | (2,032) | |||
$(59,687) | ||||
GSCBOEC1 | ||||
Herc Holdings Inc. | (10,553) | (2,387,794) | (164,147) | 2.4% |
United Rentals Inc. | (3,856) | (2,269,809) | (156,036) | 2.2% |
XPO Logistics Inc. | (20,235) | (2,205,471) | (151,614) | 2.2% |
Ford Motor Co. | (81,770) | (2,191,556) | (150,657) | 2.2% |
Matson Inc. | (12,781) | (2,137,679) | (146,953) | 2.1% |
Avis Budget Group Inc. | (6,399) | (2,125,258) | (146,099) | 2.1% |
ON Semiconductor Corp. | (17,324) | (2,110,784) | (145,104) | 2.1% |
WW Grainger Inc. | (2,125) | (2,107,720) | (144,894) | 2.1% |
SiTime Corp. | (6,141) | (2,083,898) | (143,256) | 2.1% |
Onto Innovation Inc. | (13,709) | (2,082,296) | (143,146) | 2.1% |
Diodes Inc. | (13,933) | (2,068,442) | (142,194) | 2.1% |
Flex Ltd. | (67,086) | (2,056,277) | (141,357) | 2.0% |
STMicroelectronics NV | (29,699) | (2,055,785) | (141,324) | 2.0% |
EMCOR Group Inc. | (9,510) | (2,019,132) | (138,804) | 2.0% |
Knight-Swift Transportation Holdings Inc. | (20,120) | (2,017,148) | (138,667) | 2.0% |
Univar Solutions Inc. | (40,750) | (2,010,366) | (138,201) | 2.0% |
AMERCO | (2,045) | (2,004,116) | (137,772) | 2.0% |
Cummins Inc. | (4,950) | (1,998,620) | (137,394) | 2.0% |
NXP Semiconductors NV | (5,924) | (1,987,332) | (136,618) | 2.0% |
CSX Corp. | (33,663) | (1,985,652) | (136,502) | 2.0% |
A O Smith Corp. | (17,147) | (1,979,338) | (136,068) | 2.0% |
Texas Instruments Inc. | (6,050) | (1,974,538) | (135,738) | 2.0% |
Jabil Inc. | (18,235) | (1,974,239) | (135,718) | 1.9% |
Power Integrations Inc. | (12,701) | (1,969,932) | (135,422) | 1.9% |
Microchip Technology Inc. | (15,571) | (1,956,285) | (134,484) | 1.9% |
Korn Ferry | (16,345) | (1,953,552) | (134,296) | 1.9% |
Signet Jewelers Ltd. | (17,554) | (1,952,312) | (134,210) | 1.9% |
Landstar System Inc. | (6,726) | (1,921,410) | (132,086) | 1.9% |
Morgan Stanley | (12,449) | (1,914,709) | (131,625) | 1.9% |
Werner Enterprises Inc. | (23,861) | (1,913,764) | (131,560) | 1.9% |
Group 1 Automotive Inc. | (5,884) | (1,899,166) | (130,557) | 1.9% |
United Parcel Service Inc. | (5,322) | (1,892,434) | (130,094) | 1.9% |
Boyd Gaming Corp. | (18,631) | (1,886,850) | (129,710) | 1.9% |
Macy's Inc. | (58,487) | (1,883,404) | (129,473) | 1.9% |
Bank of America Corp. | (30,123) | (1,858,152) | (127,738) | 1.8% |
Masco Corp. | (18,127) | (1,831,492) | (125,905) | 1.8% |
Churchill Downs Inc. | (4,726) | (1,809,151) | (124,369) | 1.8% |
Popular Inc. | (12,707) | (1,800,654) | (123,785) | 1.8% |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting |
GSCBOEC1 (cont’d) | ||||
Super Micro Computer Inc. | (18,247) | $(1,798,039) | $(123,605) | 1.8% |
Photronics Inc. | (40,664) | (1,766,489) | (121,436) | 1.8% |
Steven Madden Ltd. | (30,512) | (1,764,721) | (121,315) | 1.8% |
Discover Financial Services | (9,338) | (1,720,776) | (118,294) | 1.7% |
GMS Inc. | (17,416) | (1,686,313) | (115,925) | 1.7% |
Boot Barn Holdings Inc. | (14,775) | (1,679,403) | (115,449) | 1.7% |
ABM Industries Inc. | (19,118) | (1,564,003) | (107,516) | 1.5% |
Encore Capital Group Inc. | (10,925) | (1,443,726) | (99,248) | 1.4% |
Hibbett Inc. | (15,159) | (1,297,667) | (89,207) | 1.3% |
Customers Bancorp Inc. | (17,645) | (1,229,465) | (84,519) | 1.2% |
FormFactor Inc. | (18,270) | (1,185,310) | (81,483) | 1.2% |
Sonic Automotive Inc. | (15,503) | (1,183,692) | (81,372) | 1.2% |
Buckle Inc./The | (18,992) | (1,046,420) | (71,935) | 1.0% |
Triumph Bancorp Inc. | (7,476) | (990,973) | (68,124) | 1.0% |
Other Securities | (59,741) | (4,186,883) | (287,824) | 4.0% |
$(100,820,397) | $(6,930,829) | |||
Accrued Net Interest Receivable/(Payable) | 32,511 | |||
$(6,898,318) | ||||
GSNBLIPO | ||||
Ryan Specialty Holdings Inc. | (1,136) | (514,367) | 403,618 | 4.2% |
Airbnb Inc. | (418) | (486,166) | 381,489 | 4.0% |
Bumble Inc. | (1,084) | (430,432) | 337,755 | 3.5% |
XPeng Inc. | (1,546) | (395,392) | 310,259 | 3.2% |
Duolingo Inc. | (376) | (361,110) | 283,359 | 2.9% |
Shoals Technologies Group Inc. | (1,402) | (346,886) | 272,197 | 2.8% |
Snowflake Inc. | (218) | (341,701) | 268,129 | 2.8% |
DigitalOcean Holdings Inc. | (695) | (298,276) | 234,054 | 2.4% |
Full Truck Alliance Co Ltd. | (3,344) | (297,301) | 233,289 | 2.4% |
Driven Brands Holdings Inc. | (878) | (279,230) | 219,109 | 2.3% |
Atotech Ltd. | (1,147) | (272,387) | 213,739 | 2.2% |
Affirm Holdings Inc. | (855) | (240,448) | 188,677 | 2.0% |
Endeavor Group Holdings Inc. | (1,006) | (240,075) | 188,384 | 2.0% |
DiDi Global Inc. | (7,740) | (231,798) | 181,889 | 1.9% |
SentinelOne Inc. | (881) | (229,247) | 179,887 | 1.9% |
Allegro MicroSystems Inc. | (877) | (228,148) | 179,025 | 1.9% |
Array Technologies Inc. | (1,282) | (226,220) | 177,513 | 1.8% |
Broadstone Net Lease Inc. | (948) | (224,947) | 176,514 | 1.8% |
DoorDash Inc. | (287) | (209,962) | 164,755 | 1.7% |
Certara Inc. | (857) | (206,317) | 161,895 | 1.7% |
C3.ai Inc. | (1,058) | (203,940) | 160,029 | 1.7% |
Lufax Holding Ltd. | (4,203) | (201,592) | 158,187 | 1.6% |
JFrog Ltd. | (848) | (197,110) | 154,670 | 1.6% |
agilon health Inc. | (705) | (184,864) | 145,060 | 1.5% |
DoubleVerify Holdings Inc. | (765) | (183,793) | 144,220 | 1.5% |
UiPath Inc. | (912) | (175,096) | 137,396 | 1.4% |
Leslie's Inc. | (1,097) | (174,162) | 136,662 | 1.4% |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting |
GSNBLIPO (cont’d) | ||||
Sotera Health Co. | (814) | $(163,663) | $128,425 | 1.3% |
Unity Software Inc. | (414) | (162,040) | 127,151 | 1.3% |
StepStone Group Inc. | (535) | (149,212) | 117,085 | 1.2% |
Dlocal Ltd./Uruguay | (498) | (144,729) | 113,567 | 1.2% |
AppLovin Corp. | (385) | (143,116) | 112,302 | 1.2% |
Hayward Holdings Inc. | (1,163) | (142,150) | 111,543 | 1.2% |
QuidelOrtho Corp. | (128) | (137,188) | 107,650 | 1.1% |
Clear Secure Inc. | (506) | (134,075) | 105,207 | 1.1% |
Xometry Inc. | (334) | (132,835) | 104,234 | 1.1% |
Playtika Holding Corp. | (1,003) | (128,918) | 101,160 | 1.1% |
ContextLogic Inc. | (8,051) | (126,469) | 99,239 | 1.0% |
Frontier Group Holdings Inc. | (813) | (123,263) | 96,723 | 1.0% |
Petco Health & Wellness Co Inc. | (827) | (120,612) | 94,643 | 1.0% |
Olink Holding AB | (855) | (120,463) | 94,526 | 1.0% |
Maravai LifeSciences Holdings Inc. | (428) | (117,025) | 91,828 | 1.0% |
Duckhorn Portfolio Inc./The | (603) | (115,831) | 90,891 | 0.9% |
LifeStance Health Group Inc. | (1,823) | (113,749) | 89,257 | 0.9% |
Qualtrics International Inc. | (840) | (112,203) | 88,044 | 0.9% |
Figs Inc. | (923) | (102,171) | 80,172 | 0.8% |
Verve Therapeutics Inc. | (392) | (101,068) | 79,307 | 0.8% |
American Well Corp. | (2,418) | (98,754) | 77,491 | 0.8% |
Coursera Inc. | (673) | (97,917) | 76,834 | 0.8% |
Marqeta Inc. | (963) | (96,736) | 75,908 | 0.8% |
Other Securities | (36,505) | (1,980,753) | 1,554,276 | 16.4% |
$(12,245,907) | $9,609,223 | |||
Accrued Net Interest Receivable/(Payable) | 3 | |||
$9,609,226 | ||||
GSNBSPC4 | ||||
FREYR Battery SA | (6,349) | (817,915) | 289,488 | 8.0% |
Planet Labs PBC | (11,434) | (786,690) | 278,437 | 7.7% |
Ardagh Metal Packaging SA | (8,143) | (710,594) | 251,504 | 7.0% |
Butterfly Network Inc. | (12,126) | (679,329) | 240,438 | 6.7% |
Proterra Inc. | (9,156) | (637,042) | 225,471 | 6.3% |
QuantumScape Corp. | (4,498) | (628,249) | 222,359 | 6.2% |
ironSource Ltd. | (11,416) | (574,717) | 203,412 | 5.6% |
DocGo Inc. | (5,112) | (510,076) | 180,533 | 5.0% |
BTRS Holdings Inc. | (5,637) | (469,396) | 166,136 | 4.6% |
Blade Air Mobility Inc. | (6,182) | (443,288) | 156,895 | 4.4% |
SomaLogic Inc. | (6,716) | (437,843) | 154,968 | 4.3% |
Aurora Innovation Inc. | (12,849) | (421,297) | 149,112 | 4.1% |
Hillman Solutions Corp. | (2,936) | (392,217) | 138,819 | 3.9% |
Genius Sports Ltd. | (10,948) | (366,033) | 129,552 | 3.6% |
PLBY Group Inc. | (4,246) | (351,919) | 124,556 | 3.5% |
Algoma Steel Group Inc. | (2,853) | (338,798) | 119,913 | 3.3% |
Arrival SA | (15,891) | (322,069) | 113,991 | 3.2% |
DraftKings Inc. | (1,436) | (254,565) | 90,099 | 2.5% |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting |
GSNBSPC4 (cont’d) | ||||
GCM Grosvenor Inc. | (1,801) | $(183,935) | $65,101 | 1.8% |
Advantage Solutions Inc. | (2,720) | (155,916) | 55,184 | 1.5% |
Taboola.com Ltd. | (4,585) | (155,080) | 54,888 | 1.5% |
Skillsoft Corp. | (2,362) | (117,101) | 41,446 | 1.1% |
CareMax Inc. | (1,167) | (107,692) | 38,116 | 1.1% |
Vintage Wine Estates Inc. | (1,066) | (100,978) | 35,740 | 1.0% |
Vacasa Inc. | (2,655) | (89,442) | 31,657 | 0.9% |
Whole Earth Brands Inc. | (1,201) | (83,412) | 29,523 | 0.8% |
Tango Therapeutics Inc. | (807) | (42,595) | 15,076 | 0.4% |
$(10,178,188) | $3,602,414 | |||
Accrued Net Interest Receivable/(Payable) | (21,212) | |||
$3,581,202 | ||||
JPNBGCND | ||||
Amazon.com Inc. | 65,551 | 11,538,618 | 2,410,550 | 21.7% |
Home Depot Inc./The | 7,172 | 2,815,411 | 588,172 | 5.3% |
Toyota Motor Corp. | 103,216 | 2,158,199 | 450,873 | 4.1% |
McDonald's Corp. | 6,258 | 2,149,862 | 449,131 | 4.0% |
LVMH Moet Hennessy Louis Vuitton SE | 2,352 | 2,111,393 | 441,094 | 4.0% |
Lowe's Cos Inc. | 6,844 | 1,709,726 | 357,181 | 3.2% |
NIKE Inc. | 10,755 | 1,612,161 | 336,799 | 3.0% |
Sony Group Corp. | 11,097 | 1,269,841 | 265,284 | 2.4% |
Starbucks Corp. | 10,838 | 1,198,540 | 250,389 | 2.2% |
Booking Holdings Inc. | 402 | 1,015,143 | 212,075 | 1.9% |
Target Corp. | 4,479 | 954,553 | 199,417 | 1.8% |
TJX Cos Inc./The | 11,248 | 897,284 | 187,453 | 1.7% |
Cie Financiere Richemont SA | 5,209 | 813,130 | 169,872 | 1.5% |
AutoZone Inc. | 277 | 772,668 | 161,419 | 1.5% |
Dollar General Corp. | 2,276 | 737,518 | 154,076 | 1.4% |
O'Reilly Automotive Inc. | 795 | 729,548 | 152,411 | 1.4% |
Mercedes-Benz Group AG | 9,535 | 725,650 | 151,597 | 1.4% |
Ford Motor Co. | 37,494 | 718,431 | 150,089 | 1.3% |
Hermes International | 375 | 665,660 | 139,064 | 1.2% |
Chipotle Mexican Grill Inc. | 320 | 652,093 | 136,230 | 1.2% |
Compass Group PLC | 20,334 | 617,915 | 129,090 | 1.2% |
eBay Inc. | 9,221 | 584,884 | 122,189 | 1.1% |
General Motors Co. | 12,325 | 582,936 | 121,782 | 1.1% |
Kering SA | 735 | 544,269 | 113,704 | 1.0% |
Marriott International Inc./MD | 2,601 | 538,765 | 112,554 | 1.0% |
Yum! Brands Inc. | 3,297 | 527,007 | 110,098 | 1.0% |
Honda Motor Co Ltd. | 15,500 | 513,817 | 107,342 | 1.0% |
Hilton Worldwide Holdings Inc. | 3,018 | 504,176 | 105,328 | 0.9% |
Oriental Land Co Ltd./Japan | 2,479 | 488,735 | 102,102 | 0.9% |
Aptiv PLC | 3,471 | 474,875 | 99,207 | 0.9% |
Dollar Tree Inc. | 2,196 | 473,745 | 98,971 | 0.9% |
DR Horton Inc. | 4,432 | 451,042 | 94,228 | 0.8% |
Fast Retailing Co Ltd. | 549 | 430,478 | 89,932 | 0.8% |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting |
JPNBGCND (cont’d) | ||||
Bayerische Motoren Werke AG | 3,899 | $412,231 | $86,120 | 0.8% |
Lennar Corp. | 3,716 | 412,032 | 86,078 | 0.8% |
Ross Stores Inc. | 3,833 | 406,265 | 84,873 | 0.8% |
Bandai Namco Holdings Inc. | 3,821 | 387,332 | 80,918 | 0.7% |
Genuine Parts Co. | 1,874 | 373,636 | 78,057 | 0.7% |
Denso Corp. | 5,274 | 373,282 | 77,983 | 0.7% |
Volkswagen AG | 1,985 | 362,586 | 75,748 | 0.7% |
adidas AG | 1,611 | 359,558 | 75,116 | 0.7% |
Magna International Inc. | 4,237 | 352,746 | 73,693 | 0.7% |
Michelin | 9,702 | 350,550 | 73,234 | 0.7% |
Industria de Diseno Textil SA | 11,026 | 347,409 | 72,578 | 0.7% |
LKQ Corp. | 4,537 | 324,537 | 67,800 | 0.6% |
Ulta Beauty Inc. | 620 | 314,269 | 65,654 | 0.6% |
Bridgestone Corp. | 6,034 | 306,889 | 64,113 | 0.6% |
Toyota Industries Corp. | 3,633 | 286,186 | 59,787 | 0.5% |
CarMax Inc. | 2,198 | 285,328 | 59,608 | 0.5% |
Panasonic Holdings Corp. | 26,596 | 284,695 | 59,476 | 0.5% |
Other Securities | 235,153 | 5,366,360 | 1,121,093 | 9.9% |
$53,283,964 | $11,131,632 | |||
Accrued Net Interest Receivable/(Payable) | 37,653 | |||
$11,169,285 | ||||
JPNBLQGS | ||||
Take-Two Interactive Software Inc. | (387) | (147,698) | 50,720 | 1.8% |
GoDaddy Inc. | (624) | (133,008) | 45,675 | 1.7% |
Enphase Energy Inc. | (162) | (131,959) | 45,315 | 1.6% |
Lumentum Holdings Inc. | (463) | (120,276) | 41,303 | 1.5% |
Pure Storage Inc. | (1,463) | (119,211) | 40,937 | 1.5% |
Sprouts Farmers Market Inc. | (1,482) | (117,684) | 40,413 | 1.5% |
Performance Food Group Co. | (823) | (117,618) | 40,390 | 1.5% |
Jabil Inc. | (678) | (115,648) | 39,714 | 1.4% |
Palo Alto Networks Inc. | (78) | (112,400) | 38,598 | 1.4% |
Dropbox Inc. | (1,651) | (107,894) | 37,051 | 1.3% |
Monolithic Power Systems Inc. | (77) | (102,609) | 35,236 | 1.3% |
NXP Semiconductors NV | (192) | (101,509) | 34,858 | 1.3% |
Microchip Technology Inc. | (506) | (100,080) | 34,367 | 1.2% |
II-VI Inc. | (654) | (98,917) | 33,968 | 1.2% |
Zendesk Inc. | (427) | (92,478) | 31,757 | 1.2% |
Marvell Technology Inc. | (578) | (92,413) | 31,735 | 1.2% |
Electronic Arts Inc. | (240) | (90,452) | 31,061 | 1.1% |
Silicon Laboratories Inc. | (211) | (89,526) | 30,743 | 1.1% |
Crowdstrike Holdings Inc. | (167) | (88,318) | 30,328 | 1.1% |
Sabre Corp. | (4,932) | (87,161) | 29,931 | 1.1% |
Live Nation Entertainment Inc. | (321) | (86,748) | 29,789 | 1.1% |
F5 Inc. | (180) | (86,406) | 29,672 | 1.1% |
Wolfspeed Inc. | (343) | (82,156) | 28,212 | 1.0% |
Twitter Inc. | (638) | (76,338) | 26,215 | 1.0% |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting |
JPNBLQGS (cont’d) | ||||
Coty Inc. | (3,611) | $(75,963) | $26,086 | 0.9% |
New York Times Co./The | (814) | (74,703) | 25,653 | 0.9% |
AmerisourceBergen Corp. | (178) | (74,468) | 25,572 | 0.9% |
MongoDB Inc. | (83) | (74,388) | 25,545 | 0.9% |
Avalara Inc. | (293) | (73,608) | 25,277 | 0.9% |
Paramount Global | (1,038) | (70,513) | 24,214 | 0.9% |
Dynatrace Inc. | (650) | (70,327) | 24,150 | 0.9% |
EPAM Systems Inc. | (70) | (70,093) | 24,070 | 0.9% |
Centene Corp. | (257) | (68,789) | 23,622 | 0.9% |
Datadog Inc. | (234) | (68,456) | 23,508 | 0.9% |
Azenta Inc. | (349) | (68,455) | 23,507 | 0.9% |
United Natural Foods Inc. | (556) | (67,964) | 23,339 | 0.8% |
Incyte Corp. | (300) | (67,010) | 23,011 | 0.8% |
Maximus Inc. | (349) | (66,987) | 23,003 | 0.8% |
Murphy USA Inc. | (82) | (66,814) | 22,944 | 0.8% |
StoneCo Ltd. | (2,362) | (65,038) | 22,334 | 0.8% |
Synaptics Inc. | (155) | (64,661) | 22,205 | 0.8% |
agilon health Inc. | (897) | (64,499) | 22,149 | 0.8% |
Elastic NV | (269) | (61,825) | 21,231 | 0.8% |
Molina Healthcare Inc. | (62) | (58,581) | 20,117 | 0.7% |
Palantir Technologies Inc. | (1,956) | (58,181) | 19,979 | 0.7% |
Seagen Inc. | (109) | (56,541) | 19,416 | 0.7% |
Zscaler Inc. | (123) | (54,737) | 18,797 | 0.7% |
Nutanix Inc. | (1,255) | (54,576) | 18,742 | 0.7% |
Okta Inc. | (192) | (54,393) | 18,678 | 0.7% |
AdaptHealth Corp. | (844) | (53,608) | 18,409 | 0.7% |
Other Securities | (36,195) | (3,829,663) | 1,315,117 | 47.6% |
$(8,033,348) | $2,758,663 | |||
Accrued Net Interest Receivable/(Payable) | 2,077 | |||
$2,760,740 | ||||
JPNBLQGS | ||||
Take-Two Interactive Software Inc. | (6,635) | (2,530,733) | 1,012,322 | 1.8% |
GoDaddy Inc. | (10,691) | (2,279,030) | 911,637 | 1.7% |
Enphase Energy Inc. | (2,769) | (2,261,049) | 904,445 | 1.6% |
Lumentum Holdings Inc. | (7,928) | (2,060,859) | 824,367 | 1.5% |
Pure Storage Inc. | (25,072) | (2,042,614) | 817,068 | 1.5% |
Sprouts Farmers Market Inc. | (25,387) | (2,016,461) | 806,607 | 1.5% |
Performance Food Group Co. | (14,108) | (2,015,329) | 806,154 | 1.5% |
Jabil Inc. | (11,620) | (1,981,577) | 792,653 | 1.4% |
Palo Alto Networks Inc. | (1,343) | (1,925,911) | 770,386 | 1.4% |
Dropbox Inc. | (28,290) | (1,848,709) | 739,504 | 1.3% |
Monolithic Power Systems Inc. | (1,317) | (1,758,155) | 703,282 | 1.3% |
NXP Semiconductors NV | (3,292) | (1,739,305) | 695,742 | 1.3% |
Microchip Technology Inc. | (8,666) | (1,714,812) | 685,944 | 1.2% |
II-VI Inc. | (11,204) | (1,694,889) | 677,975 | 1.2% |
Zendesk Inc. | (7,311) | (1,584,558) | 633,841 | 1.2% |
See Notes to Consolidated Schedule of Investments
Consolidated 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. | (9,896) | $(1,583,448) | $633,397 | 1.2% |
Electronic Arts Inc. | (4,110) | (1,549,849) | 619,957 | 1.1% |
Silicon Laboratories Inc. | (3,619) | (1,533,978) | 613,608 | 1.1% |
Crowdstrike Holdings Inc. | (2,868) | (1,513,279) | 605,328 | 1.1% |
Sabre Corp. | (84,503) | (1,493,455) | 597,399 | 1.1% |
Live Nation Entertainment Inc. | (5,503) | (1,486,374) | 594,566 | 1.1% |
F5 Inc. | (3,078) | (1,480,526) | 592,227 | 1.1% |
Wolfspeed Inc. | (5,881) | (1,407,692) | 563,093 | 1.0% |
Twitter Inc. | (10,939) | (1,308,018) | 523,222 | 1.0% |
Coty Inc. | (61,876) | (1,301,591) | 520,651 | 0.9% |
New York Times Co./The | (13,941) | (1,279,996) | 512,013 | 0.9% |
AmerisourceBergen Corp. | (3,043) | (1,275,962) | 510,399 | 0.9% |
MongoDB Inc. | (1,419) | (1,274,608) | 509,858 | 0.9% |
Avalara Inc. | (5,020) | (1,261,229) | 504,506 | 0.9% |
Paramount Global | (17,777) | (1,208,210) | 483,297 | 0.9% |
Dynatrace Inc. | (11,143) | (1,205,019) | 482,021 | 0.9% |
EPAM Systems Inc. | (1,197) | (1,201,012) | 480,418 | 0.9% |
Centene Corp. | (4,412) | (1,178,668) | 471,480 | 0.9% |
Datadog Inc. | (4,001) | (1,172,960) | 469,197 | 0.9% |
Azenta Inc. | (5,980) | (1,172,938) | 469,188 | 0.9% |
United Natural Foods Inc. | (9,533) | (1,164,533) | 465,826 | 0.8% |
Incyte Corp. | (5,143) | (1,148,175) | 459,283 | 0.8% |
Maximus Inc. | (5,975) | (1,147,783) | 459,126 | 0.8% |
Murphy USA Inc. | (1,401) | (1,144,825) | 457,943 | 0.8% |
StoneCo Ltd. | (40,479) | (1,114,391) | 445,769 | 0.8% |
Synaptics Inc. | (2,660) | (1,107,935) | 443,186 | 0.8% |
agilon health Inc. | (15,364) | (1,105,153) | 442,074 | 0.8% |
Elastic NV | (4,614) | (1,059,333) | 423,745 | 0.8% |
Molina Healthcare Inc. | (1,066) | (1,003,747) | 401,510 | 0.7% |
Palantir Technologies Inc. | (33,517) | (996,901) | 398,771 | 0.7% |
Seagen Inc. | (1,873) | (968,807) | 387,534 | 0.7% |
Zscaler Inc. | (2,105) | (937,894) | 375,168 | 0.7% |
Nutanix Inc. | (21,508) | (935,133) | 374,064 | 0.7% |
Okta Inc. | (3,294) | (931,989) | 372,806 | 0.7% |
AdaptHealth Corp. | (14,457) | (918,542) | 367,427 | 0.7% |
Other Securities | (620,181) | (65,619,302) | 26,248,462 | 47.6% |
$(137,647,246) | $55,060,446 | |||
Accrued Net Interest Receivable/(Payable) | 36,615 | |||
$55,097,061 | ||||
JPNBRMV3 | ||||
Analog Devices Inc. | (4,292) | (1,809,948) | 25,924 | 1.4% |
Synopsys Inc. | (1,861) | (1,677,586) | 24,028 | 1.3% |
Freeport-McMoRan Inc. | (20,253) | (1,567,084) | 22,446 | 1.2% |
Archer-Daniels-Midland Co. | (7,690) | (1,561,006) | 22,358 | 1.2% |
Agilent Technologies Inc. | (4,506) | (1,481,874) | 21,225 | 1.2% |
Devon Energy Corp. | (9,383) | (1,446,230) | 20,715 | 1.1% |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting |
JPNBRMV3 (cont’d) | ||||
IQVIA Holdings Inc. | (2,444) | $(1,440,319) | $20,630 | 1.1% |
Nucor Corp. | (4,213) | (1,403,066) | 20,096 | 1.1% |
Williams Cos Inc./The | (16,205) | (1,354,777) | 19,405 | 1.1% |
Kroger Co./The | (10,812) | (1,231,360) | 17,637 | 1.0% |
Roper Technologies Inc. | (1,142) | (1,223,263) | 17,521 | 1.0% |
Newmont Corp. | (10,894) | (1,209,776) | 17,328 | 0.9% |
Motorola Solutions Inc. | (1,971) | (1,153,531) | 16,522 | 0.9% |
Dollar Tree Inc. | (2,741) | (1,111,419) | 15,919 | 0.9% |
M&T Bank Corp. | (2,551) | (1,110,287) | 15,903 | 0.9% |
Arthur J Gallagher & Co. | (2,504) | (1,099,022) | 15,741 | 0.9% |
Ameriprise Financial Inc. | (1,592) | (1,053,584) | 15,091 | 0.8% |
Parker-Hannifin Corp. | (1,475) | (1,045,922) | 14,981 | 0.8% |
PACCAR Inc. | (4,656) | (1,044,994) | 14,968 | 0.8% |
Keysight Technologies Inc. | (2,604) | (1,038,462) | 14,874 | 0.8% |
Fidelity National Information Services I | (4,128) | (1,034,124) | 14,812 | 0.8% |
Hess Corp. | (3,599) | (992,722) | 14,219 | 0.8% |
Corning Inc. | (10,874) | (980,286) | 14,041 | 0.8% |
Republic Services Inc. | (2,798) | (951,472) | 13,628 | 0.7% |
Willis Towers Watson PLC | (1,814) | (920,688) | 13,187 | 0.7% |
First Republic Bank/CA | (2,265) | (903,624) | 12,943 | 0.7% |
Fifth Third Bancorp | (10,736) | (898,324) | 12,867 | 0.7% |
Albemarle Corp. | (1,467) | (879,033) | 12,590 | 0.7% |
Tyson Foods Inc. | (3,982) | (859,489) | 12,311 | 0.7% |
Laboratory Corp of America Holdings | (1,318) | (847,625) | 12,141 | 0.7% |
Ball Corp. | (4,556) | (820,402) | 11,751 | 0.6% |
ConocoPhillips | (3,431) | (819,748) | 11,741 | 0.6% |
Canadian Pacific Railway Ltd. | (4,025) | (777,853) | 11,141 | 0.6% |
CF Industries Holdings Inc. | (3,320) | (777,541) | 11,137 | 0.6% |
Hartford Financial Services Group Inc./Th | (4,907) | (775,763) | 11,111 | 0.6% |
AMETEK Inc. | (2,551) | (772,588) | 11,066 | 0.6% |
Marvell Technology Inc. | (5,641) | (770,266) | 11,033 | 0.6% |
Zimmer Biomet Holdings Inc. | (2,830) | (766,179) | 10,974 | 0.6% |
Genuine Parts Co. | (1,999) | (749,369) | 10,733 | 0.6% |
Regions Financial Corp. | (14,372) | (746,532) | 10,693 | 0.6% |
Nasdaq Inc. | (1,608) | (713,349) | 10,217 | 0.6% |
Cummins Inc. | (1,314) | (713,067) | 10,213 | 0.6% |
Marathon Oil Corp. | (11,512) | (700,154) | 10,028 | 0.5% |
McCormick & Co Inc./MD | (3,163) | (677,484) | 9,704 | 0.5% |
Mosaic Co./The | (5,215) | (673,481) | 9,646 | 0.5% |
West Pharmaceutical Services Inc. | (776) | (654,176) | 9,370 | 0.5% |
Dover Corp. | (1,990) | (652,367) | 9,344 | 0.5% |
Hologic Inc. | (3,720) | (651,245) | 9,328 | 0.5% |
STERIS PLC | (1,170) | (647,403) | 9,273 | 0.5% |
KeyCorp. | (14,120) | (633,707) | 9,077 | 0.5% |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting |
JPNBRMV3 (cont’d) | ||||
Other Securities | (677,633) | $(77,992,304) | $1,117,091 | 61.1% |
$(127,815,875) | $1,830,722 | |||
Accrued Net Interest Receivable/(Payable) | 116,432 | |||
$1,947,154 | ||||
Total Return Basket Swaps, at Value | $75,734,265 |
(a) | The Fund receives a specified rate based on a reference rate plus or minus a spread, and pays the total return on the reference entity. |
(b) | Effective rate at July 31, 2022. |
Total return swap contracts (“total return swaps”)
At July 31, 2022, the Fund had outstanding over-the-counter total return swaps as follows:
Over-the-counter total return swaps—Short(a) |
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |
JPM | S&P 500 Equal Weight Total Return Index | USD | 207,145,113 | 11/6/2023 | 2.46% | 0.15% | SOFR | 1M/T | $9,311,326 | $275,128 | $9,586,454 |
Total | $9,311,326 | $275,128 | $9,586,454 |
(a) | The Fund receives a specified rate based on a reference rate plus or minus a spread, and pays the total return on the reference entity. The cash flows may be denominated in various foreign currencies based on local currencies of the positions within the swaps. |
(b) | Effective rate at July 31, 2022. |
At July 31, 2022, the Fund had cash collateral of $8,160,000 and $39,580,000 received from Goldman Sachs International and JPMorgan Chase Bank N.A., respectively, to cover collateral requirements on over-the-counter derivatives.
Purchased option contracts (“options purchased”)
At July 31, 2022, the Fund had outstanding options purchased as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value |
Puts | |||||
Exchange-Traded Funds | |||||
SPDR Energy Select Sector Fund ETF | 2,277 | $17,856,234 | $65 | 1/20/2023 | $577,219 |
Total options purchased (cost $1,340,081) | $577,219 |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Written option contracts (“options written”)
At July 31, 2022, the Fund had outstanding options written as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value |
Puts | |||||
Exchange-Traded Funds | |||||
SPDR Energy Select Sector Fund ETF | 2,277 | $(17,856,234) | $40 | 1/20/2023 | $(84,249) |
Total options written (premium received $180,951) | $(84,249) |
At July 31, 2022, the Fund had securities pledged in the amount of $462,414,580 to cover collateral requirements for options written.
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 July 31, 2022:
Asset Valuation Inputs | Level 1 | Level 2 | Level 3(a) | Total |
Investments: | ||||
Common Stocks | ||||
Aerospace & Defense | $51,007,082 | $14,092,294 | $— | $65,099,376 |
Computers | — | — | 3,950,001 | 3,950,001 |
Oil, Gas & Consumable Fuels | 85,077,833 | — | 3,245,256 | 88,323,089 |
Software | 545,911,341 | — | 3,761,530 | 549,672,871 |
Specialty Retail | 214,379,200 | — | 137,483,866 | 351,863,066 |
Other Common Stocks# | 3,015,400,890 | — | — | 3,015,400,890 |
Total Common Stocks | 3,911,776,346 | 14,092,294 | 148,440,653 | 4,074,309,293 |
Preferred Stocks# | — | — | 57,061,696 | 57,061,696 |
Master Limited Partnerships and Limited Partnerships# | 153,272,480 | — | — | 153,272,480 |
Corporate Bonds# | — | 94,738,473 | — | 94,738,473 |
Loan Assignments | — | — | 25,500,000 | 25,500,000 |
Warrants | ||||
Diversified Consumer Services | 34,495 | — | 1,946,935 | 1,981,430 |
Other Warrants# | 220,704 | — | — | 220,704 |
Total Warrants | 255,199 | — | 1,946,935 | 2,202,134 |
Options Purchased@ | 577,219 | — | — | 577,219 |
Short-Term Investments | — | 1,058,823,738 | — | 1,058,823,738 |
Total Investments | $4,065,881,244 | $1,167,654,505 | $232,949,284 | $5,466,485,033 |
# | The Consolidated Schedule of Investments provides information on the industry or sector categorization. |
@ | The “Purchased option contracts” table under Derivative Instruments provides information on the industry or sector categorization. |
(a) | The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value: |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
(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 7/31/2022 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 7/31/2022 |
Investments in Securities: | ||||||||||
Common Stocks(1)(2) | $103,106 | $— | $5,153 | $38,446 | $8,652 | $(6,916) | $— | $— | $148,441 | $38,446 |
Preferred Stocks(2) | 36,016 | — | — | (7,559) | 38,007 | — | — | (9,403) | 57,061 | (4,362) |
Loan Assignments(2) | 25,500 | 35 | — | (35) | — | — | — | — | 25,500 | (35) |
Warrants(1)(3) | — | — | — | (1,849) | — | — | 3,795 | — | 1,946 | (1,849) |
Purchased Option Contracts(1) | 15 | — | (603) | 588 | — | — | — | — | — | — |
Total | $164,637 | $35 | $4,550 | $29,591 | $46,659 | $(6,916) | $3,795 | $(9,403) | $232,948 | $32,200 |
(1) At the beginning of the period, certain of these investments were valued in accordance with procedures approved by the Board of Trustees. The Fund no longer held these investments at July 31, 2022 and, therefore, disclosure of unobservable inputs used in formulating valuations is not presented. | ||||||||||
(2) Quantitative Information about Level 3 Fair Value Measurements: |
Investment type | Fair value at 7/31/2022 | Valuation approach | Unobservable input(s) | Input value/ range | Weighted average(a) | Impact to valuation from increase in input(b) |
Common Stocks | $141,433,867 | Market Approach | Transaction Price | $11.00 – $67.84 | $67.20 | Increase |
Common Stocks | 3,245,256 | Market Approach | Enterprise value EBITDA multiple(c) (EV/EBITDA) | 11.0x | 11.0x | Increase |
Common Stocks | 3,761,530 | Market Approach | Enterprise value Revenue multiple (EV/Revenue) | 11.0x | 11.0x | Increase |
Preferred Stocks | 38,293,052 | Market Approach | Transaction Price | $4.95 – $1,000 | $609.32 | Increase |
Preferred Stocks | 14,304,991 | Market Approach | Enterprise value Revenue multiple(c) (EV/Revenue) | 5.0x-11.0x | 9.5x | Increase |
Expected Volatility | 70% | 70% | Decrease | |||
Option Term (Years) | 2.5 | 2.5 | Decrease | |||
Discount Rate | 0.3% | 0.3% | Decrease | |||
Preferred Units | 4,463,653 | Market Approach | Transaction Price | $113.86 | $113.86 | Increase |
Loan Assignments | 25,500,000 | Market Approach | Call Price | $102.00 | $102.00 | Decrease |
(a) The weighted averages disclosed in the table above were weighted by relative fair value. | ||||||
(b) 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. | ||||||
(c) Represents amounts used when the reporting entity has determined that market participants would use such multiples when pricing the investments. |
(3) For the period ended July 31, 2022, these investments were valued in accordance with procedures approved by the Board of Directors. These investments did not have a material impact on the Fund’s net assets and, therefore, disclosure of unobservable inputs used in formulating valuations is not presented. |
See Notes to Consolidated Schedule of Investments
Consolidated 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 short investments as of July 31, 2022:
Liability Valuation Inputs | Level 1 | Level 2 | Level 3 | Total |
Investments: | ||||
Common Stocks Sold Short# | $(799,724,739) | $— | $— | $(799,724,739) |
Corporate Bonds Sold Short# | — | (72,584,161) | — | (72,584,161) |
Exchange-Traded Funds Sold Short | (27,795,763) | — | — | (27,795,763) |
Total Short Positions | $(827,520,502) | $(72,584,161) | $— | $(900,104,663) |
# | 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 July 31, 2022:
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Futures@ | ||||
Liabilities | $(26,418,858) | $— | $— | $(26,418,858) |
Swaps | ||||
Assets | — | 93,751,122 | — | 93,751,122 |
Liabilities | — | (8,430,403) | — | (8,430,403) |
Options Written | ||||
Liabilities | (84,249) | — | — | (84,249) |
Total | $(26,503,107) | $85,320,719 | $— | $58,817,612 |
@ | Futures are reported at the cumulative unrealized appreciation/(depreciation) of the instrument. |
^ A balance indicated with a “—”, reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Consolidated Schedule of Investments
Schedule of Investments U.S. Equity Index Putwrite Strategy Fund^ (Unaudited)
July 31, 2022
July 31, 2022
Principal Amount | Value | |
U.S. Treasury Obligations 73.8% | ||
U.S. Treasury Notes | ||
$ 37,200,000 | 1.50%, due 9/15/2022 | $ 37,172,693(a) |
76,000,000 | 1.63%, due 12/15/2022 | 75,720,937(b) |
77,600,000 | 0.50%, due 3/15/2023 | 76,429,938 |
65,600,000 | 0.25%, due 6/15/2023 | 64,070,188 |
139,100,000 | 0.13%, due 9/15/2023 - 12/15/2023 | 134,341,937(b) |
Total U.S. Treasury Obligations (Cost $395,239,532) | 387,735,693 | |
Corporate Bonds 15.2% | ||
Diversified Financial Services 15.2% | ||
92,226,000 | GS Finance Corp., 25.00% €STR, due 2/16/2024 (Cost $92,452,229) | 79,564,907(c) |
Number of Shares | ||
Short-Term Investments 9.9% | ||
Investment Companies 9.9% | ||
52,087,065 | State Street Institutional U.S. Government Money Market Fund Premier Class, 1.88%(d) (Cost $52,087,065) | $52,087,065(a) |
Total Investments 98.9% (Cost $539,778,826) | 519,387,665 | |
Other Assets Less Liabilities 1.1% | 5,857,952(e) | |
Net Assets 100.0% | $525,245,617 |
(a) | All or a portion of this security is segregated in connection with obligations for options written with a total value of $89,259,758. |
(b) | All or a portion of this security is pledged as collateral for options written. |
(c) | Value determined using significant unobservable inputs. |
(d) | Represents 7-day effective yield as of July 31, 2022. |
(e) | Includes the impact of the Fund's open positions in derivatives at July 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 July 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 | 101 | $(41,715,929) | $3,880 | 8/5/2022 | $(13,887) |
S&P 500 Index | 46 | (18,999,334) | 3,890 | 8/5/2022 | (7,130) |
S&P 500 Index | 37 | (15,282,073) | 4,035 | 8/5/2022 | (41,810) |
S&P 500 Index | 138 | (56,998,002) | 4,100 | 8/5/2022 | (376,671) |
S&P 500 Index | 49 | (20,238,421) | 3,855 | 8/12/2022 | (27,930) |
S&P 500 Index | 21 | (8,673,609) | 3,860 | 8/12/2022 | (12,495) |
S&P 500 Index | 68 | (28,085,972) | 3,880 | 8/12/2022 | (47,600) |
S&P 500 Index | 56 | (23,129,624) | 4,035 | 8/12/2022 | (148,400) |
S&P 500 Index | 128 | (52,867,712) | 4,100 | 8/12/2022 | (595,648) |
S&P 500 Index | 4 | (1,652,116) | 3,855 | 8/19/2022 | (4,600) |
S&P 500 Index | 9 | (3,717,261) | 3,885 | 8/19/2022 | (12,555) |
S&P 500 Index | 18 | (7,434,522) | 3,915 | 8/19/2022 | (30,510) |
S&P 500 Index | 17 | (7,021,493) | 3,955 | 8/19/2022 | (37,655) |
S&P 500 Index | 137 | (56,584,973) | 3,960 | 8/19/2022 | (314,415) |
S&P 500 Index | 142 | (58,650,118) | 3,980 | 8/19/2022 | (372,750) |
S&P 500 Index | 9 | (3,717,261) | 3,925 | 8/26/2022 | (26,235) |
S&P 500 Index | 10 | (4,130,290) | 3,960 | 8/26/2022 | (35,000) |
S&P 500 Index | 55 | (22,716,595) | 3,965 | 8/26/2022 | (197,450) |
S&P 500 Index | 21 | (8,673,609) | 3,975 | 8/26/2022 | (79,485) |
S&P 500 Index | 54 | (22,303,566) | 4,055 | 8/26/2022 | (311,040) |
S&P 500 Index | 174 | (71,867,046) | 4,120 | 8/26/2022 | (1,418,883) |
S&P 500 Index | 16 | (6,608,464) | 4,120 | 9/2/2022 | (151,571) |
Total options written (premium received $10,405,170) | $(4,263,720) |
At July 31, 2022, the Fund had securities pledged in the amount of $133,840,609 to cover collateral requirements for options written.
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 July 31, 2022:
Asset Valuation Inputs | Level 1 | Level 2 | Level 3(a) | Total |
Investments: | ||||
U.S. Treasury Obligations | $— | $387,735,693 | $— | $387,735,693 |
Corporate Bonds# | — | — | 79,564,907 | 79,564,907 |
Short-Term Investments | — | 52,087,065 | — | 52,087,065 |
Total Investments | $— | $439,822,758 | $79,564,907 | $519,387,665 |
# | The Schedule of Investments provides information on the industry or sector categorization. |
See Notes to Schedule of Investments
Schedule of Investments U.S. Equity Index Putwrite Strategy Fund^ (Unaudited) (cont’d)
(a) | 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 7/31/2022 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 7/31/2022 |
Investments in Securities: | ||||||||||
Corporate Bonds(1) | $— | $(47) | $— | $(12,888) | $92,500 | $— | $— | $— | $79,565 | $(12,888) |
Total | $— | $(47) | $— | $(12,888) | $92,500 | $— | $— | $— | $79,565 | $(12,888) |
(1) | Securities categorized as Level 3 were valued using a single quotation obtained from a dealer. The Fund does not have access to unobservable inputs and therefore cannot disclose such inputs used in formulating such quotation. |
The following is a summary, categorized by Level (see the Notes to Schedule of Investments), of inputs used to value the Fund’s derivatives as of July 31, 2022:
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Options Written | ||||
Liabilities | $(4,263,720) | $— | $— | $(4,263,720) |
Total | $(4,263,720) | $— | $— | $(4,263,720) |
^ 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
July 31, 2022
Notes to Schedule of Investments Alternative and Multi-Asset Class Fundsß(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 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.
For information on the Funds' significant accounting policies, please refer to the Funds' most recent shareholder reports.
ßConsolidated Notes to Schedule of Investments for Commodity Strategy and Long Short.
ßConsolidated Notes to Schedule of Investments for Commodity Strategy and Long Short.
Notes to Schedule of Investments Alternative and Multi-Asset Class Fundsß(Unaudited) (cont’d)
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.
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 loan assignments is determined by Management primarily by obtaining valuations from independent pricing services based on broker quotes (generally Level 2 or Level 3 inputs depending on the number of quotes available).
The value of futures contracts is determined by Management by obtaining valuations from independent pricing services at the settlement price at the market close (Level 1 inputs).
The value of total return swaps and total return basket swaps is determined by Management by obtaining valuations from independent pricing services using the underlying asset and stated benchmark interest rate curves, credit curves, volatility surfaces, and exchange rates (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).
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 Trustees (the "Board") has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Inputs and assumptions considered in determining the fair value of a security based on Level 2 or Level 3 inputs may include, but are not limited to, the type of the security; the initial cost of the security; the existence of any contractual restrictions on the security's disposition; the price and extent of public trading in similar securities of the issuer or of comparable companies; quotations or evaluated prices from broker-dealers and/or pricing services; information obtained from the issuer and/or analysts; an analysis of the company's or issuer's financial statements; an evaluation of the inputs that influence the issuer and the market(s) in which the security is purchased and sold.
The value of the Funds’ investments in foreign securities is generally determined using the same valuation methods and inputs as other Fund investments, as discussed above. Foreign security prices expressed in local currency values are normally translated from the local currency into U.S. dollars using the exchange rates as of 4:00 p.m., Eastern Time on days the New York Stock Exchange 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
For information on the Funds' significant accounting policies, please refer to the Funds' most recent shareholder reports.
ßConsolidated Notes to Schedule of Investments for Commodity Strategy and Long Short.
ßConsolidated Notes to Schedule of Investments for Commodity Strategy and Long Short.
Notes to Schedule of Investments Alternative and Multi-Asset Class Fundsß(Unaudited) (cont’d)
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 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 updating and implementing policies and procedures to ensure compliance with Rule 2a-5 by the September 8, 2022 compliance date.
Commodity Strategy invests in commodity-related instruments through Neuberger Berman Cayman Commodity Fund I Ltd. (the “CS Subsidiary”), which is organized under the laws of the Cayman Islands. Subscription agreements were entered into between the Fund and the CS Subsidiary with the intent that the Fund will remain the sole shareholder of the CS Subsidiary. The CS Subsidiary is governed by its own Board of Directors.
As of July 31, 2022, the value of the Commodity Strategy's investment in the CS Subsidiary was as follows:
Investment in CS Subsidiary | Percentage of Net Assets | |
$49,102,957 | 19.7% |
On February 25, 2022, to facilitate compliance with certain requirements necessary to maintain its regulated investment company (“RIC”) status, Long Short formed NB A24 Long Short Blocker LLC (the “LS Blocker”), a Delaware limited liability company, to hold interests in certain private placements. The LS Blocker is a wholly owned subsidiary of Long Short and the Fund will remain its sole member.
As of July 31, 2022, the value of Long Short's investment in the LS Blocker was as follows:
Investment in LS Blocker | Percentage of Net Assets | |
$4,434,639 | 0.1% |
Other Matters:
Coronavirus: The outbreak of the novel coronavirus in many countries has, among other things, disrupted global travel and supply chains, and adversely impacted global commercial activity, the transportation industry and commodity prices in the energy sector. The impact of this virus has negatively affected and may continue to affect the economies of many nations, individual companies and the global securities and commodities markets, including liquidity and volatility. The development and fluidity of this situation precludes any prediction as to its ultimate impact, which may have a continued adverse effect on global economic and market conditions. Such conditions (which may be across industries, sectors or geographies) have impacted and may continue to impact certain issuers of the securities held by the Funds and in turn, may impact the financial performance of the Funds.
For information on the Funds' significant accounting policies, please refer to the Funds' most recent shareholder reports.
ßConsolidated Notes to Schedule of Investments for Commodity Strategy and Long Short.
ßConsolidated Notes to Schedule of Investments for Commodity Strategy and Long Short.
Notes to Schedule of Investments Alternative and Multi-Asset Class Fundsß(Unaudited) (cont’d)
Russia's Invasion of Ukraine: Russia's invasion of Ukraine, and corresponding events in late February 2022, have had, and could continue to have, severe adverse effects on regional and global economic markets for securities and commodities. Following Russia's actions, various governments, including the United States, have issued broad-ranging economic sanctions against Russia. The current events have had, and could continue to have, an adverse effect on global markets performance and liquidity, thereby negatively affecting the value of a Fund's investments beyond any direct exposure to Russian or Ukrainian issuers. The duration of ongoing hostilities and the vast array of sanctions and related events cannot be predicted. Those events present material uncertainty and risk with respect to markets globally and the performance of a Fund and its investments or operations could be negatively impacted.
For information on the Funds' significant accounting policies, please refer to the Funds' most recent shareholder reports.
ßConsolidated Notes to Schedule of Investments for Commodity Strategy and Long Short.
ßConsolidated Notes to Schedule of Investments for Commodity Strategy and Long Short.
Notes to Consolidated Schedule of Investments Alternative and Multi-Asset Class Funds (Unaudited) (cont'd)
Legend
Neuberger Berman Alternative Funds
Benchmarks: | |
€STR | = Euro Short Term Rate |
FEDL01 | = US Federal Funds Effective Rate |
LIBOR | = London Interbank Offered Rate |
OBFR | = United States Overnight Bank Funding Rate |
SOFR | = Secured Overnight Financing Rate |
Counterparties: | |
CITI | = Citibank, N.A. |
GSI | = Goldman Sachs International |
JPM | = JPMorgan Chase Bank N.A. |
Index Periods/Payment Frequencies: | |
1M | = 1 Month |
3M | = 3 Months |
6M | = 6 Months |
T | = Termination |
Other Abbreviations: | |
ADR | = American Depositary Receipt |
Management | = Neuberger Berman Investment Advisers LLC |
Currency Abbreviations: | |
AUD | = Australian Dollar |
EUR | = Euro |
JPY | = Japanese Yen |
USD | = United States Dollar |
For information on the Funds' significant accounting policies, please refer to the Funds' most recent shareholder reports.