Consolidated Schedule of Investments Long Short Fund^ (Unaudited)
July 31, 2023
July 31, 2023
Number of Shares | Value | |
Long Positions 98.0% | ||
Common Stocks 78.9% | ||
Aerospace & Defense 1.2% | ||
245,678 | Airbus SE | $36,191,087 |
153,100 | Boeing Co. | 36,567,935 *(a) |
72,759,022 | ||
Banks 1.6% | ||
616,980 | JPMorgan Chase & Co. | 97,458,161 (a) |
Beverages 1.9% | ||
3,318,607 | Keurig Dr Pepper, Inc. | 112,865,824 (a) |
Biotechnology 0.6% | ||
233,927 | AbbVie, Inc. | 34,990,801 (a) |
Broadline Retail 2.3% | ||
1,051,440 | Amazon.com, Inc. | 140,556,499 *(a) |
Capital Markets 4.1% | ||
1,656,220 | Brookfield Corp. Class A | 57,802,078 (b) |
498,280 | CME Group, Inc. | 99,137,789 |
240,043 | S&P Global, Inc. | 94,699,364 |
251,639,231 | ||
Chemicals 0.6% | ||
433,104 | Ashland, Inc. | 39,568,381 |
Commercial Services & Supplies 0.9% | ||
344,285 | Waste Management, Inc. | 56,390,440 (a) |
Computers 0.1% | ||
359,091 | Arctic Wolf Networks, Inc. | 3,555,001 *#(c)(d) |
Consumer Staples Distribution & Retail 3.0% | ||
88,617 | Costco Wholesale Corp. | 49,684,894 (a) |
521,355 | Dollar Tree, Inc. | 80,460,717 * |
309,798 | Walmart, Inc. | 49,524,308 (a) |
179,669,919 | ||
Containers & Packaging 0.8% | ||
281,092 | Avery Dennison Corp. | 51,723,739 (a) |
Diversified Consumer Services 0.1% | ||
480,460 | European Wax Center, Inc. Class A | 9,306,510 * |
Electric Utilities 2.1% | ||
1,740,200 | NextEra Energy, Inc. | 127,556,660 (a) |
Electrical Equipment 0.8% | ||
905,549 | nVent Electric PLC | 47,885,431 |
Electronic Equipment, Instruments & Components 1.9% | ||
410,733 | Amphenol Corp. Class A | 36,271,831 (a) |
204,159 | CDW Corp. | 38,192,024 |
Number of Shares | Value | |
Electronic Equipment, Instruments & Components – cont'd | ||
292,270 | TE Connectivity Ltd. | $41,937,823 |
116,401,678 | ||
Entertainment 1.9% | ||
666,882 | Activision Blizzard, Inc. | 61,859,975 * |
116,190 | Netflix, Inc. | 51,003,924 *(a) |
112,863,899 | ||
Financial Services 2.8% | ||
183,750 | MasterCard, Inc. Class A | 72,448,950 (a) |
1,964,324 | Repay Holdings Corp. Class A | 16,402,105 * |
333,561 | Visa, Inc. Class A | 79,297,457 (a) |
168,148,512 | ||
Food Products 1.0% | ||
221,949 | Freshpet, Inc. | 16,322,129 * |
562,189 | Mondelez International, Inc. Class A | 41,675,071 (a) |
57,997,200 | ||
Ground Transportation 2.4% | ||
534,510 | Uber Technologies, Inc. | 26,436,865 *(a) |
510,426 | Union Pacific Corp. | 118,429,040 (a) |
144,865,905 | ||
Health Care Equipment & Supplies 0.8% | ||
912,378 | Boston Scientific Corp. | 47,306,799 * |
Health Care Providers & Services 2.5% | ||
73,639 | Humana, Inc. | 33,640,505 (a) |
231,530 | UnitedHealth Group, Inc. | 117,239,846 (a) |
150,880,351 | ||
Hotels, Restaurants & Leisure 3.2% | ||
773,727 | First Watch Restaurant Group, Inc. | 14,422,271 * |
96,339 | Marriott International, Inc. Class A | 19,442,173 (a) |
452,509 | McDonald's Corp. | 132,675,639 (a) |
1,812,467 | Sweetgreen, Inc. Class A | 27,313,878 * |
193,853,961 | ||
Household Products 0.5% | ||
207,314 | Procter & Gamble Co. | 32,403,178 (a) |
Insurance 1.2% | ||
589,870 | Progressive Corp. | 74,311,823 (a) |
Interactive Media & Services 6.5% | ||
1,154,478 | Alphabet, Inc. Class A | 153,222,320 * |
1,664,315 | Match Group, Inc. | 77,407,291 * |
508,080 | Meta Platforms, Inc. Class A | 161,874,288 *(a) |
392,503,899 |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Number of Shares | Value | |
IT Services 0.5% | ||
397,644 | Okta, Inc. | $30,562,918 * |
Life Sciences Tools & Services 0.9% | ||
100,155 | Thermo Fisher Scientific, Inc. | 54,951,042 |
Multi-Utilities 2.0% | ||
2,119,875 | CenterPoint Energy, Inc. | 63,787,039 |
659,937 | WEC Energy Group, Inc. | 59,301,939 |
123,088,978 | ||
Oil, Gas & Consumable Fuels 1.8% | ||
417,121 | Chevron Corp. | 68,266,023 (a) |
1,204,872 | Enbridge, Inc. | 44,339,289 (a) |
112,605,312 | ||
Personal Care Products 0.3% | ||
588,245 | Kenvue, Inc. | 13,929,642 *(a) |
51,000 | Oddity Tech Ltd. Class A | 2,717,790 * |
16,647,432 | ||
Pharmaceuticals 0.9% | ||
330,649 | Johnson & Johnson | 55,393,627 (a) |
Professional Services 3.2% | ||
327,982 | Equifax, Inc. | 66,934,567 |
354,045 | Jacobs Solutions, Inc. | 44,400,783 |
1,903,715 | Paycor HCM, Inc. | 51,133,785 * |
418,435 | TransUnion | 33,345,085 (a) |
195,814,220 | ||
Semiconductors & Semiconductor Equipment 2.2% | ||
299,710 | Analog Devices, Inc. | 59,801,136 (a) |
44,409 | ASML Holding NV | 31,815,052 |
90,646 | NVIDIA Corp. | 42,357,969 (a) |
133,974,157 | ||
Software 11.5% | ||
220,887 | Adobe, Inc. | 120,641,853 *(a) |
91,770 | Atlassian Corp. Class A | 16,696,634 * |
179,381 | Grammarly, Inc. Class A | 3,228,858 *#(c)(d) |
99,073 | Intuit, Inc. | 50,695,654 (a) |
668,466 | Microsoft Corp. | 224,551,099 |
637,391 | Salesforce, Inc. | 143,419,349 * |
89,255 | ServiceNow, Inc. | 52,035,665 * |
247,022 | Splunk, Inc. | 26,759,893 * |
256,150 | Workday, Inc. Class A | 60,740,849 * |
698,769,854 | ||
Specialized REITs 1.0% | ||
31,110 | Equinix, Inc. | 25,196,611 (a) |
151,979 | SBA Communications Corp. Class A | 33,275,802 (a) |
58,472,413 |
Number of Shares | Value | |
Specialty Retail 6.6% | ||
216,275 | Asbury Automotive Group, Inc. | $48,791,640 * |
965,226 | Chewy, Inc. Class A | 32,721,162 * |
2,026,590 | Fanatics Holdings, Inc. Class A | 154,365,360 *#(c)(d) |
116,674 | Home Depot, Inc. | 38,950,448 (a) |
1,474,893 | TJX Cos., Inc. | 127,622,491 |
402,451,101 | ||
Technology Hardware, Storage & Peripherals 2.6% | ||
805,422 | Apple, Inc. | 158,225,152 (a) |
Textiles, Apparel & Luxury Goods 0.6% | ||
357,741 | NIKE, Inc. Class B | 39,491,029 (a) |
Total Common Stocks (Cost $3,415,739,962) | 4,797,910,059 | |
Preferred Stocks 0.8% | ||
Entertainment 0.1% | ||
39,203 | A24 Films LLC | 4,463,653 *#(c)(d)(e) |
Internet 0.4% | ||
23,000 | Fabletics LLC Series G | 23,000,000 *#(c)(d) |
82,110 | Savage X, Inc. Series C | 3,949,983 *#(c)(d) |
26,949,983 | ||
IT Services 0.2% | ||
959,038 | Cybereason, Inc. Series F | 441,157 *#(c)(d) |
658,071 | Druva, Inc. Series 4 | 6,167,968 *#(c)(d) |
480,112 | Druva, Inc. Series 5 | 4,499,994 *#(c)(d) |
11,109,119 | ||
Software 0.1% | ||
55,626 | Grammarly, Inc. Series 3 | 1,458,063 *#(c)(d) |
180,619 | Signifyd, Inc. Series Seed | 1,723,106 *#(c)(d) |
78,686 | Signifyd, Inc. Series A | 752,238 *#(c)(d) |
325,371 | Videoamp, Inc. Series F1 | 5,135,005 *#(c)(d) |
9,068,412 | ||
Total Preferred Stocks (Cost $58,686,273) | 51,591,167 | |
Number of Units | ||
Master Limited Partnerships and Limited Partnerships 2.8% | ||
Multi-Utilities 1.0% | ||
1,600,530 | Brookfield Infrastructure Partners LP | 57,122,916 |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Number of Units | Value | |
Oil, Gas & Consumable Fuels 1.8% | ||
4,180,641 | Enterprise Products Partners LP | $110,828,793 |
Total Master Limited Partnerships and Limited Partnerships (Cost $135,194,331) | 167,951,709 |
Principal Amount | Value | |
Corporate Bonds 3.7% | ||
Beverages 0.1% | ||
$11,355,000 | PepsiCo, Inc., 2.75%, due 10/21/2051 | $7,994,211 |
Computers 0.2% | ||
21,845,000 | Apple, Inc., 2.85%, due 8/5/2061 | 14,633,130 |
Diversified Financial Services 0.0%(f) | ||
2,838,000 | Mastercard, Inc., 2.95%, due 3/15/2051 | 2,044,964 |
Electric 0.1% | ||
11,350,000 | Florida Power & Light Co., 2.88%, due 12/4/2051 | 7,728,706 |
Healthcare - Services 0.2% | ||
UnitedHealth Group, Inc. | ||
4,775,000 | 5.05%, due 4/15/2053 | 4,695,799 |
12,337,000 | 3.13%, due 5/15/2060 | 8,442,282 |
13,138,081 | ||
Internet 1.0% | ||
16,612,000 | Alphabet, Inc., 2.25%, due 8/15/2060 | 10,048,383 |
19,932,000 | Amazon.com, Inc., 3.25%, due 5/12/2061 | 14,207,275 |
Meta Platforms, Inc. | ||
6,693,000 | 5.60%, due 5/15/2053 | 6,891,695 |
18,990,000 | 4.65%, due 8/15/2062 | 16,792,700 |
478,000 | 5.75%, due 5/15/2063 | 495,724 |
9,590,000 | Uber Technologies, Inc., 8.00%, due 11/1/2026 | 9,783,560 (a)(g) |
58,219,337 | ||
Machinery - Diversified 0.1% | ||
2,850,000 | nVent Finance Sarl, 4.55%, due 4/15/2028 | 2,710,288 (h) |
Miscellaneous Manufacturer 0.6% | ||
Anagram International, Inc./Anagram Holdings LLC | ||
25,586,603 | 10.00% Cash & 5.00% PIK, due 8/15/2025 | 24,563,139 (g)(i) |
18,323,163 | 5.00% Cash & 5.00% PIK, due 8/15/2026 | 13,811,084 (g)(i) |
38,374,223 | ||
Office - Business Equipment 0.1% | ||
5,700,000 | CDW LLC/CDW Finance Corp., 2.67%, due 12/1/2026 | 5,153,816 (a) |
Pharmaceuticals 0.2% | ||
20,880,000 | Johnson & Johnson, 2.45%, due 9/1/2060 | 13,203,437 |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Principal Amount | Value | |
Real Estate Investment Trusts 0.1% | ||
$2,850,000 | SBA Communications Corp., 3.88%, due 2/15/2027 | $2,625,622 (a) |
Retail 0.3% | ||
Walmart, Inc. | ||
20,880,000 | 2.65%, due 9/22/2051 | 14,636,050 |
4,770,000 | 4.50%, due 4/15/2053 | 4,598,911 |
19,234,961 | ||
Software 0.7% | ||
20,890,000 | Activision Blizzard, Inc., 2.50%, due 9/15/2050 | 13,597,665 |
17,082,000 | Microsoft Corp., 2.68%, due 6/1/2060 | 11,303,187 |
Oracle Corp. | ||
4,765,000 | 6.90%, due 11/9/2052 | 5,338,466 |
14,212,000 | 3.85%, due 4/1/2060 | 9,913,411 |
40,152,729 | ||
Total Corporate Bonds (Cost $221,211,252) | 225,213,505 | |
Convertible Bonds 0.3% | ||
Computers 0.3% | ||
19,850 | Arctic Wolf Networks, Inc., 0.00%, due 9/29/2027 (Cost $19,850,000) | 19,850,000 #(c)(d) |
Number of Shares | ||
Warrants 0.1% | ||
Diversified Consumer Services 0.1% | ||
653,334 | OneSpaWorld Holdings Ltd. Expires 6/12/2025 (Cost $0) | $4,802,005 *(c)(d) |
Total Purchased Option Contracts 0.0%(f)(j) (Cost $353,541) | 5,300 | |
Short-Term Investments 11.4% | ||
Investment Companies 11.4% | ||
695,095,717 | State Street Institutional U.S. Government Money Market Fund Premier Class, 5.19%(k)(Cost $695,095,717) | 695,095,717 |
Total Long Positions (98.0%) (Cost $4,546,131,076) | 5,962,419,462 |
Number of Shares | Value | |
Short Positions ((15.9)%) | ||
Common Stocks Sold Short (15.2)% | ||
Air Freight & Logistics (0.2)% | ||
(78,100 ) | Expeditors International of Washington, Inc. | $(9,942,130 ) |
Number of Shares | Value | |
Automobiles (0.3)% | ||
(498,230 ) | Ford Motor Co. | $(6,581,618 ) |
(34,892 ) | Tesla, Inc. | (9,331,168 )* |
(15,912,786 ) | ||
Broadline Retail (0.4)% | ||
(771,176 ) | Big Lots, Inc. | (7,904,554 ) |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Number of Shares | Value | |
Broadline Retail – cont'd | ||
(148,467 ) | Etsy, Inc. | $(15,091,671 )* |
(22,996,225 ) | ||
Building Products (0.1)% | ||
(57,000 ) | Allegion PLC | (6,661,020 ) |
Capital Markets (0.6)% | ||
(307,107 ) | T Rowe Price Group, Inc. | (37,854,009 ) |
Commercial Services & Supplies (0.1)% | ||
(791,597 ) | Steelcase, Inc. | (6,783,986 ) |
Consumer Finance (0.1)% | ||
(368,180 ) | SoFi Technologies, Inc. | (4,215,661 )* |
Consumer Staples Distribution & Retail (0.7)% | ||
(56,369 ) | Dollar General Corp. | (9,518,469 ) |
(454,459 ) | Grocery Outlet Holding Corp. | (15,201,654 )* |
(398,789 ) | Sprouts Farmers Market, Inc. | (15,652,468 )* |
(40,372,591 ) | ||
Containers & Packaging (0.1)% | ||
(23,382 ) | Packaging Corp. of America | (3,585,630 ) |
Diversified Consumer Services (0.1)% | ||
(453,992 ) | Udemy, Inc. | (5,361,646 )* |
Electric Utilities (0.4)% | ||
(350,452 ) | Hawaiian Electric Industries, Inc. | (13,453,852 ) |
(163,611 ) | Southern Co. | (11,835,620 ) |
(25,289,472 ) | ||
Electrical Equipment (0.2)% | ||
(52,700 ) | Eaton Corp. PLC | (10,820,364 ) |
Entertainment (0.6)% | ||
(338,829 ) | ROBLOX Corp. | (13,299,038 )* |
(1,740,817 ) | Warner Bros Discovery, Inc. | (22,752,478 )* |
(36,051,516 ) | ||
Food Products (0.6)% | ||
(215,646 ) | Campbell Soup Co. | (9,880,900 ) |
(468,960 ) | Conagra Brands, Inc. | (15,386,577 ) |
(116,752 ) | McCormick & Co., Inc. | (10,446,969 ) |
(35,714,446 ) | ||
Ground Transportation (0.1)% | ||
(22,900 ) | Landstar System, Inc. | (4,662,211 ) |
Number of Shares | Value | |
Health Care Equipment & Supplies (0.1)% | ||
(18,667 ) | Align Technology, Inc. | $(7,054,073 )* |
Health Care Providers & Services (0.5)% | ||
(526,541 ) | agilon health, Inc. | (10,083,260 )* |
(133,245 ) | Centene Corp. | (9,072,652 )* |
(144,820 ) | DaVita, Inc. | (14,770,192 )* |
(33,926,104 ) | ||
Hotels, Restaurants & Leisure (0.5)% | ||
(231,277 ) | Cava Group, Inc. | (13,208,229 )* |
(89,152 ) | Darden Restaurants, Inc. | (15,059,556 ) |
(167,609 ) | Dutch Bros, Inc. | (5,197,555 )* |
(33,465,340 ) | ||
Household Durables (0.2)% | ||
(390,447 ) | Cricut, Inc. | (4,630,701 ) |
(19,602 ) | TopBuild Corp. | (5,369,576 )* |
(10,000,277 ) | ||
Household Products (0.2)% | ||
(148,411 ) | Church & Dwight Co., Inc. | (14,198,480 ) |
Insurance (0.4)% | ||
(176,142 ) | Lemonade, Inc. | (4,095,301 )* |
(30,112 ) | RenaissanceRe Holdings Ltd. | (5,623,717 ) |
(375,932 ) | Ryan Specialty Holdings, Inc. | (16,292,893 )* |
(26,011,911 ) | ||
Interactive Media & Services (0.3)% | ||
(2,108,290 ) | fuboTV, Inc. | (7,104,937 )* |
(252,953 ) | Shutterstock, Inc. | (13,014,432 ) |
(20,119,369 ) | ||
IT Services (0.2)% | ||
(76,743 ) | International Business Machines Corp. | (11,064,806 ) |
Machinery (0.6)% | ||
(98,457 ) | Illinois Tool Works, Inc. | (25,925,697 ) |
(91,308 ) | Ingersoll Rand, Inc. | (5,959,673 ) |
(70,700 ) | Timken Co. | (6,565,202 ) |
(38,450,572 ) | ||
Media (1.3)% | ||
(501,862 ) | iHeartMedia, Inc. | (2,373,807 )* |
(610,924 ) | Interpublic Group of Cos., Inc. | (20,911,929 ) |
(275,563 ) | Omnicom Group, Inc. | (23,318,141 ) |
(332,492 ) | Trade Desk, Inc. | (30,343,220 )* |
(76,947,097 ) | ||
Passenger Airlines (0.1)% | ||
(642,670 ) | Joby Aviation, Inc. | (5,751,897 )* |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Number of Shares | Value | |
Professional Services (0.8)% | ||
(73,091 ) | Paycom Software, Inc. | $(26,953,037 ) |
(100,387 ) | Paylocity Holding Corp. | (22,772,791 )* |
(49,725,828 ) | ||
Real Estate Management & Development (0.0)%(f) | ||
(584,080 ) | Opendoor Technologies, Inc. | (2,984,649 )* |
Semiconductors & Semiconductor Equipment (0.2)% | ||
(65,269 ) | Texas Instruments, Inc. | (11,748,420 ) |
Software (1.7)% | ||
(106,617 ) | Descartes Systems Group, Inc. | (8,302,266 )* |
(354,998 ) | DocuSign, Inc. | (19,105,992 )* |
(30,221 ) | HubSpot, Inc. | (17,544,802 )* |
(2,278,811 ) | Palantir Technologies, Inc. | (45,211,610 )* |
(82,102 ) | SAP SE ADR | (11,194,608 ) |
(101,359,278 ) | ||
Specialized REITs (0.9)% | ||
(336,649 ) | Iron Mountain, Inc. | (20,670,249 ) |
(303,379 ) | Lamar Advertising Co. | (29,943,507 ) |
Number of Shares | Value | |
Specialized REITs – cont'd | ||
(475,703 ) | Outfront Media, Inc. | $(7,354,368 ) |
(57,968,124 ) | ||
Specialty Retail (2.1)% | ||
(144,619 ) | Aaron's Co., Inc. | (2,287,873 ) |
(312,522 ) | Best Buy Co., Inc. | (25,954,952 ) |
(81,134 ) | Burlington Stores, Inc. | (14,411,021 )* |
(467,115 ) | CarMax, Inc. | (38,588,370 )* |
(235,845 ) | Floor & Decor Holdings, Inc. | (27,086,798 )* |
(333,614 ) | Sonic Automotive, Inc. | (15,976,774 ) |
(108,801 ) | Upbound Group, Inc. | (3,767,779 ) |
(683,236 ) | Vroom, Inc. | (1,578,275 )* |
(129,651,842 ) | ||
Textiles, Apparel & Luxury Goods (0.5)% | ||
(1,273,771 ) | Figs, Inc. | (9,374,955 )* |
(589,878 ) | G-III Apparel Group Ltd. | (12,216,373 )* |
(63,255 ) | Ralph Lauren Corp. | (8,307,279 ) |
(29,898,607 ) | ||
Total Common Stocks Sold Short (Proceeds $(810,238,152)) | (926,550,367 ) |
Principal Amount | ||
Corporate Bonds Sold Short (0.7)% | ||
Diversified Financial Services (0.2)% | ||
$(5,000,000 ) | Radian Group, Inc., 4.88%, due 3/15/2027 | $(4,782,150 ) |
(5,000,000 ) | Rocket Mortgage LLC/Rocket Mortgage Co.-Issuer, Inc., 3.63%, due 3/1/2029 | (4,271,405 )(g) |
(9,053,555 ) | ||
Insurance (0.0)%(f) | ||
(2,650,000 ) | Hartford Financial Services Group, Inc., (3 mo. USD LIBOR + 2.13%), 7.45%, due 2/12/2047 | (2,273,042 )(g)(l) |
Lodging (0.1)% | ||
(7,000,000 ) | Boyd Gaming Corp., 4.75%, due 12/1/2027 | (6,618,728 ) |
Media (0.1)% | ||
(4,000,000 ) | iHeartCommunications, Inc., 8.38%, due 5/1/2027 | (2,745,560 ) |
(5,000,000 ) | Sirius XM Radio, Inc., 4.00%, due 7/15/2028 | (4,359,761 )(g) |
(7,105,321 ) | ||
Office Equipment (0.1)% | ||
(7,000,000 ) | Steelcase, Inc., 5.13%, due 1/18/2029 | (6,207,213 ) |
Pipelines (0.1)% | ||
(8,170,000 ) | TransCanada PipeLines Ltd., (3 mo. USD LIBOR + 2.21%), 7.53%, due 5/15/2067 | (6,920,053 )(l) |
Retail (0.1)% | ||
(5,000,000 ) | Macy's Retail Holdings LLC, 5.88%, due 4/1/2029 | (4,655,000 )(g) |
Total Corporate Bonds Sold Short (Proceeds $(45,577,665)) | (42,832,912 ) | |
Total Short Positions (Proceeds $(855,815,817)) | (969,383,279 ) |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Principal Amount | Value | |
Total Investments 82.1% (Cost $3,690,315,259) | 4,993,036,183 | |
Other Assets Less Liabilities 17.9% | 1,087,930,816 (m) | |
Net Assets 100.0% | $6,080,966,999 |
* | Non-income producing security. |
(a) | All or a portion of this security is pledged as collateral for options written. |
(b) | All or a portion of this security is on loan at July 31, 2023. Total value of all such securities at July 31, 2023 amounted to $15,879,291, collateralized by non-cash (U.S. Treasury Securities) collateral of $16,591,115 for the Fund . |
(c) | Value determined using significant unobservable inputs. |
(d) | Security fair valued as of July 31, 2023 in accordance with procedures approved by the valuation designee. Total value of all such securities at July 31, 2023 amounted to $237,392,391, which represents 3.9% of net assets of the Fund. |
(e) | Security represented in Units. |
(f) | Represents less than 0.05% of net assets of the Fund. |
(g) | Securities were purchased or sold short under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At July 31, 2023, these securities amounted to $48,157,783 of long positions and $(15,559,208) of short positions, which represents 0.8% and (0.3)%, respectively, of net assets of the Fund. |
(h) | Step Bond. Coupon rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown was the current rate as of July 31, 2023. |
(i) | Payment-in-kind (PIK) security. |
(j) | See "Purchased option contracts" under Derivative Instruments. |
(k) | Represents 7-day effective yield as of July 31, 2023. |
(l) | Variable or floating rate security. The interest rate shown was the current rate as of July 31, 2023 and changes periodically. |
(m) | Includes the impact of the Fund’s open positions in derivatives at July 31, 2023. |
# This security has been deemed by Management to be illiquid, and is subject to restrictions on resale. Total value of all such securities at July 31, 2023 amounted to $232,590,386, which represents 3.7% 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 7/31/2023 | Fair Value Percentage of Net Assets as of 7/31/2023 |
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 | 3,555,001 | 0.1% |
Arctic Wolf Networks, Inc. (Convertible Bonds) | 9/30/2022 | 19,850,000 | 19,850,000 | 0.3% |
Cybereason, Inc. (Ser. F Preferred Shares) | 7/19/2021 | 4,750,000 | 441,157 | 0.0% |
Druva, Inc. (Series 4 Preferred Shares) | 6/14/2019 | 3,429,998 | 6,167,968 | 0.1% |
Druva, Inc. (Series 5 Preferred Shares) | 4/1/2021 | 4,500,000 | 4,499,994 | 0.1% |
Fabletics LLC (Series G Preferred Shares) | 1/10/2022 | 23,000,000 | 23,000,000 | 0.4% |
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 7/31/2023 | Fair Value Percentage of Net Assets as of 7/31/2023 |
Fanatics Holdings, Inc. Class A | 8/13/2020-4/29/2021 | $35,957,294 | $154,365,360 | 2.5% |
Grammarly, Inc. (Series 3 Preferred Shares) | 12/23/2021-1/24/2022 | 1,458,063 | 1,458,063 | 0.0% |
Grammarly, Inc. Class A | 12/23/2021-1/24/2022 | 4,701,917 | 3,228,858 | 0.0% |
Savage X, Inc. (Series C Preferred Shares) | 11/30/2021 | 3,949,983 | 3,949,983 | 0.0% |
Signifyd, Inc. (Series A Preferred Shares) | 5/24/2021 | 2,427,463 | 752,238 | 0.0% |
Signifyd, Inc. (Series Seed Preferred Shares) | 5/24/2021 | 5,572,107 | 1,723,106 | 0.0% |
Videoamp, Inc. (Series F1 Preferred Shares) | 1/4/2022 | 5,135,005 | 5,135,005 | 0.1% |
Total | $123,145,485 | $232,590,386 | 3.7% |
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, 2023, 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) |
9/2023 | 832 | NASDAQ 100 E-Mini Index | $(263,868,800 ) | $(16,328,147 ) |
9/2023 | 2,893 | S&P 500 E-Mini Index | (667,487,425 ) | (35,267,285 ) |
Total Futures | $(51,595,432 ) |
Total return basket swap contracts ("total return basket swaps")
At July 31, 2023, the Fund had outstanding total return basket swaps(a) as follows:
Over-the-counter total return basket swaps—Short(b) |
Counterparty | Reference Entity | Effective Variable Rate(c) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Maturity Date(s) | Value |
GSI | GSCBOEC1 | 4.93 % | (0.40 )% | FEDL01 | 3M/T | 1/19/2024 | $(36,117,524 ) |
GSI | GSCBOEC1 | 4.93 % | (0.40 )% | FEDL01 | 3M/T | 1/19/2024 | (8,207,960 ) |
GSI | GSCBOEC1 | 4.93 % | (0.40 )% | FEDL01 | 3M/T | 1/19/2024 | (1,771,277 ) |
JPM | JPNBGCND | 4.67 % | (0.65 )% | OBFR | 1M/T | 11/1/2024 | (4,832,059 ) |
JPM | JPNBLQGS | 5.35 % | 0.03 % | OBFR | 1M/T | 7/19/2024 | (12,305,791 ) |
JPM | JPNBLQGS | 5.35 % | 0.03 % | OBFR | 1M/T | 7/19/2024 | (2,394,896 ) |
JPM | JPNBLQGS | 5.35 % | 0.03 % | OBFR | 1M/T | 7/19/2024 | (2,265,787 ) |
Total | $(67,895,294 ) |
(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 |
GSCBOEC1 | ||||
Super Micro Computer Inc | (17,500 ) | $(10,994,972 ) | $(3,064,348 ) | 8.4 % |
EMCOR Group Inc | (9,121 ) | (3,731,152 ) | (1,039,889 ) | 2.9 % |
Jabil Inc | (17,489 ) | (3,681,986 ) | (1,026,186 ) | 2.8 % |
ON Semiconductor Corp | (16,616 ) | (3,405,764 ) | (949,202 ) | 2.6 % |
Flex Ltd | (64,342 ) | (3,348,795 ) | (933,324 ) | 2.6 % |
United Rentals Inc | (3,698 ) | (3,268,772 ) | (911,022 ) | 2.5 % |
Onto Innovation Inc | (13,149 ) | (3,109,562 ) | (866,649 ) | 2.4 % |
STMicroelectronics NV | (28,484 ) | (2,908,661 ) | (810,657 ) | 2.2 % |
WW Grainger Inc | (2,039 ) | (2,863,744 ) | (798,138 ) | 2.2 % |
Group 1 Automotive Inc | (5,643 ) | (2,775,217 ) | (773,466 ) | 2.1 % |
Univar Solutions Inc | (39,083 ) | (2,686,931 ) | (748,860 ) | 2.1 % |
Microchip Technology Inc | (14,934 ) | (2,668,798 ) | (743,806 ) | 2.1 % |
Signet Jewelers Ltd | (16,836 ) | (2,577,783 ) | (718,440 ) | 2.0 % |
Herc Holdings Inc | (10,121 ) | (2,576,670 ) | (718,129 ) | 2.0 % |
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 |
GSCBOEC1 (cont’d) | ||||
Avis Budget Group Inc | (6,138 ) | $(2,571,956 ) | $(716,816 ) | 2.0 % |
XPO Inc | (19,407 ) | (2,556,191 ) | (712,422 ) | 2.0 % |
Boot Barn Holdings Inc | (14,171 ) | (2,531,236 ) | (705,467 ) | 1.9 % |
Landstar System Inc | (6,451 ) | (2,498,275 ) | (696,280 ) | 1.9 % |
NXP Semiconductors NV | (5,681 ) | (2,409,916 ) | (671,655 ) | 1.9 % |
Diodes Inc | (13,363 ) | (2,401,955 ) | (669,436 ) | 1.8 % |
Cummins Inc | (4,747 ) | (2,355,249 ) | (656,419 ) | 1.8 % |
GMS Inc | (16,704 ) | (2,341,519 ) | (652,592 ) | 1.8 % |
Boyd Gaming Corp | (17,869 ) | (2,322,277 ) | (647,229 ) | 1.8 % |
A O Smith Corp | (16,445 ) | (2,272,156 ) | (633,260 ) | 1.7 % |
Power Integrations Inc | (12,182 ) | (2,251,020 ) | (627,370 ) | 1.7 % |
Knight-Swift Transportation Holdings Inc | (19,297 ) | (2,230,059 ) | (621,527 ) | 1.7 % |
Matson Inc | (12,259 ) | (2,179,420 ) | (607,414 ) | 1.7 % |
Morgan Stanley | (11,940 ) | (2,079,606 ) | (579,595 ) | 1.6 % |
Werner Enterprises Inc | (22,885 ) | (2,046,978 ) | (570,502 ) | 1.6 % |
CSX Corp | (32,287 ) | (2,046,456 ) | (570,357 ) | 1.6 % |
Masco Corp | (17,385 ) | (2,006,770 ) | (559,296 ) | 1.5 % |
Churchill Downs Inc | (9,066 ) | (1,998,001 ) | (556,852 ) | 1.5 % |
Texas Instruments Inc | (5,802 ) | (1,986,790 ) | (553,727 ) | 1.5 % |
Ford Motor Co | (78,425 ) | (1,970,760 ) | (549,260 ) | 1.5 % |
Photronics Inc | (39,001 ) | (1,962,353 ) | (546,917 ) | 1.5 % |
U-Haul Holding Co | (17,654 ) | (1,921,314 ) | (535,479 ) | 1.5 % |
Steven Madden Ltd | (29,265 ) | (1,858,245 ) | (517,901 ) | 1.4 % |
United Parcel Service Inc | (5,105 ) | (1,817,082 ) | (506,429 ) | 1.4 % |
Discover Financial Services | (8,956 ) | (1,798,297 ) | (501,193 ) | 1.4 % |
Macy's Inc | (56,095 ) | (1,770,293 ) | (493,389 ) | 1.4 % |
Bank of America Corp | (28,891 ) | (1,758,678 ) | (490,151 ) | 1.4 % |
Popular Inc | (12,187 ) | (1,681,955 ) | (468,769 ) | 1.3 % |
ABM Industries Inc | (18,336 ) | (1,614,229 ) | (449,893 ) | 1.2 % |
Korn Ferry | (15,676 ) | (1,570,952 ) | (437,832 ) | 1.2 % |
Badger Meter Inc | (4,929 ) | (1,543,631 ) | (430,217 ) | 1.2 % |
SiTime Corp | (5,890 ) | (1,445,552 ) | (402,882 ) | 1.1 % |
Sonic Automotive Inc | (14,869 ) | (1,354,528 ) | (377,513 ) | 1.0 % |
Customers Bancorp Inc | (16,924 ) | (1,351,477 ) | (376,663 ) | 1.0 % |
Hibbett Inc | (14,539 ) | (1,283,286 ) | (357,658 ) | 1.0 % |
Buckle Inc/The | (18,215 ) | (1,266,792 ) | (353,061 ) | 1.0 % |
FormFactor Inc | (17,522 ) | (1,238,642 ) | (345,215 ) | 1.0 % |
Other Securities | (91,387 ) | (7,279,534 ) | (2,028,838 ) | 5.6 % |
$(130,172,237 ) | $(36,279,592 ) | |||
Accrued Net Interest Receivable/(Payable) | 162,068 | |||
$(36,117,524 ) | ||||
GSCBOEC1 | ||||
Super Micro Computer Inc | (4,616 ) | (2,899,927 ) | (697,082 ) | 8.4 % |
EMCOR Group Inc | (2,406 ) | (984,092 ) | (236,555 ) | 2.9 % |
Jabil Inc | (4,613 ) | (971,125 ) | (233,438 ) | 2.8 % |
ON Semiconductor Corp | (4,382 ) | (898,271 ) | (215,926 ) | 2.6 % |
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) | ||||
Flex Ltd | (16,970 ) | $(883,246 ) | $(212,314 ) | 2.6 % |
United Rentals Inc | (975 ) | (862,139 ) | (207,240 ) | 2.5 % |
Onto Innovation Inc | (3,468 ) | (820,148 ) | (197,147 ) | 2.4 % |
STMicroelectronics NV | (7,513 ) | (767,160 ) | (184,409 ) | 2.2 % |
WW Grainger Inc | (538 ) | (755,313 ) | (181,562 ) | 2.2 % |
Group 1 Automotive Inc | (1,488 ) | (731,964 ) | (175,949 ) | 2.1 % |
Univar Solutions Inc | (10,308 ) | (708,679 ) | (170,352 ) | 2.1 % |
Microchip Technology Inc | (3,939 ) | (703,896 ) | (169,202 ) | 2.1 % |
Signet Jewelers Ltd | (4,440 ) | (679,891 ) | (163,432 ) | 2.0 % |
Herc Holdings Inc | (2,669 ) | (679,597 ) | (163,361 ) | 2.0 % |
Avis Budget Group Inc | (1,619 ) | (678,354 ) | (163,062 ) | 2.0 % |
XPO Inc | (5,119 ) | (674,196 ) | (162,063 ) | 2.0 % |
Boot Barn Holdings Inc | (3,738 ) | (667,614 ) | (160,481 ) | 1.9 % |
Landstar System Inc | (1,701 ) | (658,921 ) | (158,391 ) | 1.9 % |
NXP Semiconductors NV | (1,498 ) | (635,616 ) | (152,789 ) | 1.9 % |
Diodes Inc | (3,524 ) | (633,516 ) | (152,284 ) | 1.8 % |
Cummins Inc | (1,252 ) | (621,198 ) | (149,323 ) | 1.8 % |
GMS Inc | (4,406 ) | (617,576 ) | (148,452 ) | 1.8 % |
Boyd Gaming Corp | (4,713 ) | (612,501 ) | (147,233 ) | 1.8 % |
A O Smith Corp | (4,338 ) | (599,282 ) | (144,055 ) | 1.7 % |
Power Integrations Inc | (3,213 ) | (593,707 ) | (142,715 ) | 1.7 % |
Knight-Swift Transportation Holdings Inc | (5,090 ) | (588,179 ) | (141,386 ) | 1.7 % |
Matson Inc | (3,233 ) | (574,823 ) | (138,175 ) | 1.7 % |
Morgan Stanley | (3,149 ) | (548,497 ) | (131,847 ) | 1.6 % |
Werner Enterprises Inc | (6,036 ) | (539,891 ) | (129,779 ) | 1.6 % |
CSX Corp | (8,516 ) | (539,753 ) | (129,745 ) | 1.6 % |
Masco Corp | (4,585 ) | (529,286 ) | (127,229 ) | 1.5 % |
Churchill Downs Inc | (2,391 ) | (526,973 ) | (126,673 ) | 1.5 % |
Texas Instruments Inc | (1,530 ) | (524,016 ) | (125,963 ) | 1.5 % |
Ford Motor Co | (20,685 ) | (519,788 ) | (124,946 ) | 1.5 % |
Photronics Inc | (10,287 ) | (517,571 ) | (124,413 ) | 1.5 % |
U-Haul Holding Co | (4,656 ) | (506,747 ) | (121,811 ) | 1.5 % |
Steven Madden Ltd | (7,719 ) | (490,113 ) | (117,813 ) | 1.4 % |
United Parcel Service Inc | (1,346 ) | (479,256 ) | (115,203 ) | 1.4 % |
Discover Financial Services | (2,362 ) | (474,301 ) | (114,012 ) | 1.4 % |
Macy's Inc | (14,795 ) | (466,915 ) | (112,237 ) | 1.4 % |
Bank of America Corp | (7,620 ) | (463,852 ) | (111,500 ) | 1.4 % |
Popular Inc | (3,214 ) | (443,616 ) | (106,636 ) | 1.3 % |
ABM Industries Inc | (4,836 ) | (425,753 ) | (102,342 ) | 1.2 % |
Korn Ferry | (4,135 ) | (414,339 ) | (99,599 ) | 1.2 % |
Badger Meter Inc | (1,300 ) | (407,133 ) | (97,866 ) | 1.2 % |
SiTime Corp | (1,554 ) | (381,265 ) | (91,648 ) | 1.1 % |
Sonic Automotive Inc | (3,922 ) | (357,257 ) | (85,877 ) | 1.0 % |
Customers Bancorp Inc | (4,464 ) | (356,452 ) | (85,684 ) | 1.0 % |
Hibbett Inc | (3,835 ) | (338,467 ) | (81,360 ) | 1.0 % |
Buckle Inc/The | (4,804 ) | (334,117 ) | (80,315 ) | 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 |
GSCBOEC1 (cont’d) | ||||
FormFactor Inc | (4,622 ) | $(326,692 ) | $(78,530 ) | 1.0 % |
Other Securities | (24,102 ) | (1,919,979 ) | (461,525 ) | 5.6 % |
$(34,332,960 ) | $(8,252,931 ) | |||
Accrued Net Interest Receivable/(Payable) | 44,971 | |||
$(8,207,960 ) | ||||
GSCBOEC1 | ||||
Super Micro Computer Inc | (1,410 ) | (885,847 ) | (150,879 ) | 8.4 % |
EMCOR Group Inc | (735 ) | (300,613 ) | (51,201 ) | 2.9 % |
Jabil Inc | (1,409 ) | (296,651 ) | (50,526 ) | 2.8 % |
ON Semiconductor Corp | (1,339 ) | (274,397 ) | (46,736 ) | 2.6 % |
Flex Ltd | (5,184 ) | (269,807 ) | (45,954 ) | 2.6 % |
United Rentals Inc | (298 ) | (263,360 ) | (44,856 ) | 2.5 % |
Onto Innovation Inc | (1,059 ) | (250,532 ) | (42,671 ) | 2.4 % |
STMicroelectronics NV | (2,295 ) | (234,346 ) | (39,914 ) | 2.2 % |
WW Grainger Inc | (164 ) | (230,727 ) | (39,298 ) | 2.2 % |
Group 1 Automotive Inc | (455 ) | (223,595 ) | (38,083 ) | 2.1 % |
Univar Solutions Inc | (3,149 ) | (216,482 ) | (36,872 ) | 2.1 % |
Microchip Technology Inc | (1,203 ) | (215,021 ) | (36,623 ) | 2.1 % |
Signet Jewelers Ltd | (1,356 ) | (207,688 ) | (35,374 ) | 2.0 % |
Herc Holdings Inc | (815 ) | (207,598 ) | (35,359 ) | 2.0 % |
Avis Budget Group Inc | (494 ) | (207,218 ) | (35,294 ) | 2.0 % |
XPO Inc | (1,564 ) | (205,948 ) | (35,078 ) | 2.0 % |
Boot Barn Holdings Inc | (1,142 ) | (203,937 ) | (34,735 ) | 1.9 % |
Landstar System Inc | (520 ) | (201,282 ) | (34,283 ) | 1.9 % |
NXP Semiconductors NV | (458 ) | (194,163 ) | (33,070 ) | 1.9 % |
Diodes Inc | (1,077 ) | (193,522 ) | (32,961 ) | 1.8 % |
Cummins Inc | (382 ) | (189,759 ) | (32,320 ) | 1.8 % |
GMS Inc | (1,346 ) | (188,652 ) | (32,132 ) | 1.8 % |
Boyd Gaming Corp | (1,440 ) | (187,102 ) | (31,868 ) | 1.8 % |
A O Smith Corp | (1,325 ) | (183,064 ) | (31,180 ) | 1.7 % |
Power Integrations Inc | (981 ) | (181,361 ) | (30,890 ) | 1.7 % |
Knight-Swift Transportation Holdings Inc | (1,555 ) | (179,672 ) | (30,602 ) | 1.7 % |
Matson Inc | (988 ) | (175,592 ) | (29,907 ) | 1.7 % |
Morgan Stanley | (962 ) | (167,550 ) | (28,538 ) | 1.6 % |
Werner Enterprises Inc | (1,844 ) | (164,922 ) | (28,090 ) | 1.6 % |
CSX Corp | (2,601 ) | (164,880 ) | (28,083 ) | 1.6 % |
Masco Corp | (1,401 ) | (161,682 ) | (27,538 ) | 1.5 % |
Churchill Downs Inc | (730 ) | (160,976 ) | (27,418 ) | 1.5 % |
Texas Instruments Inc | (467 ) | (160,072 ) | (27,264 ) | 1.5 % |
Ford Motor Co | (6,319 ) | (158,781 ) | (27,044 ) | 1.5 % |
Photronics Inc | (3,142 ) | (158,104 ) | (26,929 ) | 1.5 % |
U-Haul Holding Co | (1,422 ) | (154,797 ) | (26,365 ) | 1.5 % |
Steven Madden Ltd | (2,358 ) | (149,716 ) | (25,500 ) | 1.4 % |
United Parcel Service Inc | (411 ) | (146,399 ) | (24,935 ) | 1.4 % |
Discover Financial Services | (722 ) | (144,886 ) | (24,677 ) | 1.4 % |
Macy's Inc | (4,519 ) | (142,630 ) | (24,293 ) | 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 |
GSCBOEC1 (cont’d) | ||||
Bank of America Corp | (2,328 ) | $(141,694 ) | $(24,134 ) | 1.4 % |
Popular Inc | (982 ) | (135,512 ) | (23,081 ) | 1.3 % |
ABM Industries Inc | (1,477 ) | (130,056 ) | (22,151 ) | 1.2 % |
Korn Ferry | (1,263 ) | (126,569 ) | (21,558 ) | 1.2 % |
Badger Meter Inc | (397 ) | (124,368 ) | (21,183 ) | 1.2 % |
SiTime Corp | (475 ) | (116,466 ) | (19,837 ) | 1.1 % |
Sonic Automotive Inc | (1,198 ) | (109,132 ) | (18,588 ) | 1.0 % |
Customers Bancorp Inc | (1,364 ) | (108,886 ) | (18,546 ) | 1.0 % |
Hibbett Inc | (1,171 ) | (103,392 ) | (17,610 ) | 1.0 % |
Buckle Inc/The | (1,468 ) | (102,063 ) | (17,384 ) | 1.0 % |
FormFactor Inc | (1,412 ) | (99,795 ) | (16,997 ) | 1.0 % |
Other Securities | (7,362 ) | (586,497 ) | (99,889 ) | 5.6 % |
$(10,487,761 ) | $(1,786,298 ) | |||
Accrued Net Interest Receivable/(Payable) | 15,021 | |||
$(1,771,277 ) | ||||
JPNBGCND | ||||
Amazon.com Inc | (63,864 ) | (11,646,285 ) | (940,137 ) | 19.0 % |
Home Depot Inc/The | (6,988 ) | (3,182,294 ) | (256,888 ) | 5.2 % |
LVMH Moet Hennessy Louis Vuitton SE | (2,291 ) | (2,917,782 ) | (235,536 ) | 4.8 % |
McDonald's Corp | (6,097 ) | (2,438,644 ) | (196,858 ) | 4.0 % |
Toyota Motor Corp | (100,560 ) | (2,303,058 ) | (185,913 ) | 3.8 % |
Lowe's Cos Inc | (6,668 ) | (2,130,818 ) | (172,009 ) | 3.5 % |
Booking Holdings Inc | (392 ) | (1,587,467 ) | (128,147 ) | 2.6 % |
NIKE Inc | (10,478 ) | (1,577,911 ) | (127,376 ) | 2.6 % |
Starbucks Corp | (10,559 ) | (1,463,068 ) | (118,105 ) | 2.4 % |
Sony Group Corp | (10,812 ) | (1,381,777 ) | (111,543 ) | 2.3 % |
TJX Cos Inc/The | (10,958 ) | (1,293,509 ) | (104,417 ) | 2.1 % |
Cie Financiere Richemont SA | (5,075 ) | (1,117,125 ) | (90,179 ) | 1.8 % |
Hermes International | (366 ) | (1,106,713 ) | (89,339 ) | 1.8 % |
Mercedes-Benz Group AG | (9,289 ) | (1,013,201 ) | (81,790 ) | 1.7 % |
O'Reilly Automotive Inc | (774 ) | (978,107 ) | (78,957 ) | 1.6 % |
AutoZone Inc | (270 ) | (914,117 ) | (73,791 ) | 1.5 % |
Chipotle Mexican Grill Inc | (311 ) | (833,514 ) | (67,285 ) | 1.4 % |
Target Corp | (4,364 ) | (812,417 ) | (65,582 ) | 1.3 % |
DR Horton Inc | (4,317 ) | (748,114 ) | (60,391 ) | 1.2 % |
Compass Group PLC | (19,811 ) | (704,377 ) | (56,860 ) | 1.2 % |
Marriott International Inc/MD | (2,534 ) | (697,553 ) | (56,309 ) | 1.1 % |
Ford Motor Co | (36,529 ) | (658,274 ) | (53,139 ) | 1.1 % |
Honda Motor Co Ltd | (15,101 ) | (654,152 ) | (52,806 ) | 1.1 % |
Bayerische Motoren Werke AG | (3,799 ) | (632,409 ) | (51,051 ) | 1.0 % |
Oriental Land Co Ltd/Japan | (12,076 ) | (631,703 ) | (50,994 ) | 1.0 % |
General Motors Co | (12,008 ) | (628,528 ) | (50,737 ) | 1.0 % |
Lennar Corp | (3,621 ) | (626,433 ) | (50,568 ) | 1.0 % |
Hilton Worldwide Holdings Inc | (2,940 ) | (623,702 ) | (50,348 ) | 1.0 % |
Yum! Brands Inc | (3,212 ) | (603,278 ) | (48,699 ) | 1.0 % |
Ross Stores Inc | (3,734 ) | (583,994 ) | (47,142 ) | 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 |
JPNBGCND (cont’d) | ||||
Kering SA | (716 ) | $(562,829 ) | $(45,434 ) | 0.9 % |
Industria de Diseno Textil SA | (10,742 ) | (561,462 ) | (45,324 ) | 0.9 % |
Fast Retailing Co Ltd | (1,603 ) | (547,277 ) | (44,179 ) | 0.9 % |
eBay Inc | (8,983 ) | (545,461 ) | (44,032 ) | 0.9 % |
Dollar General Corp | (2,217 ) | (510,782 ) | (41,232 ) | 0.8 % |
Aptiv PLC | (3,382 ) | (505,079 ) | (40,772 ) | 0.8 % |
Denso Corp | (5,138 ) | (487,313 ) | (39,338 ) | 0.8 % |
Dollar Tree Inc | (2,140 ) | (450,510 ) | (36,367 ) | 0.7 % |
Panasonic Holdings Corp | (25,912 ) | (437,745 ) | (35,337 ) | 0.7 % |
adidas AG | (1,570 ) | (433,645 ) | (35,006 ) | 0.7 % |
Cie Generale des Etablissements Michelin SCA | (9,452 ) | (422,533 ) | (34,109 ) | 0.7 % |
MGM Resorts International | (6,012 ) | (416,412 ) | (33,615 ) | 0.7 % |
Genuine Parts Co | (1,826 ) | (387,803 ) | (31,305 ) | 0.6 % |
Ulta Beauty Inc | (604 ) | (366,233 ) | (29,564 ) | 0.6 % |
Magna International Inc | (4,128 ) | (362,786 ) | (29,286 ) | 0.6 % |
Volkswagen AG | (1,934 ) | (350,174 ) | (28,268 ) | 0.6 % |
Toyota Industries Corp | (3,540 ) | (348,615 ) | (28,142 ) | 0.6 % |
Bandai Namco Holdings Inc | (11,168 ) | (344,540 ) | (27,813 ) | 0.6 % |
Bridgestone Corp | (5,879 ) | (332,529 ) | (26,843 ) | 0.5 % |
LKQ Corp | (4,420 ) | (330,376 ) | (26,669 ) | 0.5 % |
Other Securities | (225,236 ) | (5,972,677 ) | (482,135 ) | 9.8 % |
$(61,167,105 ) | $(4,937,666 ) | |||
Accrued Net Interest Receivable/(Payable) | 105,607 | |||
$(4,832,059 ) | ||||
JPNBLQGS | ||||
Jabil Inc | (5,333 ) | (1,731,340 ) | (298,168 ) | 2.4 % |
Take-Two Interactive Software Inc | (3,215 ) | (1,442,722 ) | (248,462 ) | 2.0 % |
Palo Alto Networks Inc | (1,903 ) | (1,395,318 ) | (240,299 ) | 1.9 % |
Sprouts Farmers Market Inc | (11,736 ) | (1,351,424 ) | (232,739 ) | 1.9 % |
Pure Storage Inc | (11,471 ) | (1,244,781 ) | (214,373 ) | 1.7 % |
Performance Food Group Co | (6,734 ) | (1,180,587 ) | (203,318 ) | 1.6 % |
GoDaddy Inc | (5,079 ) | (1,148,654 ) | (197,819 ) | 1.6 % |
Microchip Technology Inc | (4,063 ) | (1,119,766 ) | (192,844 ) | 1.6 % |
Dropbox Inc | (13,433 ) | (1,062,032 ) | (182,901 ) | 1.5 % |
Coty Inc | (29,341 ) | (1,036,385 ) | (178,484 ) | 1.4 % |
Monolithic Power Systems Inc | (618 ) | (1,014,177 ) | (174,659 ) | 1.4 % |
NXP Semiconductors NV | (1,543 ) | (1,009,421 ) | (173,840 ) | 1.4 % |
Palantir Technologies Inc | (16,422 ) | (955,844 ) | (164,613 ) | 1.3 % |
Trade Desk Inc/The | (3,284 ) | (879,113 ) | (151,399 ) | 1.2 % |
Marvell Technology Inc | (4,541 ) | (867,626 ) | (149,421 ) | 1.2 % |
MongoDB Inc | (690 ) | (857,552 ) | (147,686 ) | 1.2 % |
Dynatrace Inc | (5,314 ) | (852,668 ) | (146,845 ) | 1.2 % |
Nutanix Inc | (9,549 ) | (846,026 ) | (145,701 ) | 1.2 % |
StoneCo Ltd | (19,343 ) | (822,267 ) | (141,609 ) | 1.1 % |
New York Times Co/The | (6,644 ) | (794,481 ) | (136,824 ) | 1.1 % |
AmerisourceBergen Corp | (1,443 ) | (791,122 ) | (136,245 ) | 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 |
JPNBLQGS (cont’d) | ||||
Electronic Arts Inc | (1,964 ) | $(785,676 ) | $(135,307 ) | 1.1 % |
HubSpot Inc | (455 ) | (775,450 ) | (133,546 ) | 1.1 % |
Silicon Laboratories Inc | (1,675 ) | (732,837 ) | (126,208 ) | 1.0 % |
Maximus Inc | (2,833 ) | (696,124 ) | (119,885 ) | 1.0 % |
Coherent Corp | (4,985 ) | (692,680 ) | (119,292 ) | 1.0 % |
Live Nation Entertainment Inc | (2,644 ) | (680,550 ) | (117,203 ) | 0.9 % |
F5 Inc | (1,434 ) | (665,903 ) | (114,680 ) | 0.9 % |
Datadog Inc | (1,912 ) | (654,764 ) | (112,762 ) | 0.9 % |
Crowdstrike Holdings Inc | (1,371 ) | (650,417 ) | (112,013 ) | 0.9 % |
Wix.com Ltd | (2,139 ) | (591,762 ) | (101,912 ) | 0.8 % |
Taylor Morrison Home Corp | (4,141 ) | (588,221 ) | (101,302 ) | 0.8 % |
Murphy USA Inc | (650 ) | (585,535 ) | (100,840 ) | 0.8 % |
Enphase Energy Inc | (1,312 ) | (584,561 ) | (100,672 ) | 0.8 % |
Las Vegas Sands Corp | (3,319 ) | (582,367 ) | (100,294 ) | 0.8 % |
PulteGroup Inc | (2,258 ) | (559,023 ) | (96,274 ) | 0.8 % |
Lumentum Holdings Inc | (3,631 ) | (557,709 ) | (96,047 ) | 0.8 % |
Exact Sciences Corp | (1,840 ) | (526,500 ) | (90,673 ) | 0.7 % |
Royal Caribbean Cruises Ltd | (1,611 ) | (515,549 ) | (88,787 ) | 0.7 % |
Hyatt Hotels Corp | (1,386 ) | (513,916 ) | (88,506 ) | 0.7 % |
Seagen Inc | (899 ) | (506,062 ) | (87,153 ) | 0.7 % |
Snowflake Inc | (970 ) | (505,955 ) | (87,134 ) | 0.7 % |
Pinterest Inc | (5,903 ) | (502,064 ) | (86,464 ) | 0.7 % |
Meritage Homes Corp | (1,109 ) | (484,760 ) | (83,484 ) | 0.7 % |
Sabre Corp | (40,069 ) | (481,960 ) | (83,002 ) | 0.7 % |
Group 1 Automotive Inc | (623 ) | (472,863 ) | (81,435 ) | 0.7 % |
Aramark | (3,981 ) | (471,529 ) | (81,206 ) | 0.7 % |
Texas Roadhouse Inc | (1,437 ) | (470,229 ) | (80,982 ) | 0.7 % |
Zscaler Inc | (995 ) | (468,234 ) | (80,638 ) | 0.6 % |
MDC Holdings Inc | (3,064 ) | (461,022 ) | (79,396 ) | 0.6 % |
Other Securities | (277,926 ) | (33,037,257 ) | (5,689,605 ) | 45.7 % |
$(72,204,785 ) | $(12,434,951 ) | |||
Accrued Net Interest Receivable/(Payable) | 129,160 | |||
$(12,305,791 ) | ||||
JPNBLQGS | ||||
Jabil Inc | (1,113 ) | (361,520 ) | (58,081 ) | 2.4 % |
Take-Two Interactive Software Inc | (671 ) | (301,253 ) | (48,399 ) | 2.0 % |
Palo Alto Networks Inc | (397 ) | (291,355 ) | (46,808 ) | 1.9 % |
Sprouts Farmers Market Inc | (2,451 ) | (282,190 ) | (45,336 ) | 1.9 % |
Pure Storage Inc | (2,395 ) | (259,922 ) | (41,758 ) | 1.7 % |
Performance Food Group Co | (1,406 ) | (246,517 ) | (39,605 ) | 1.6 % |
GoDaddy Inc | (1,061 ) | (239,849 ) | (38,534 ) | 1.6 % |
Microchip Technology Inc | (848 ) | (233,817 ) | (37,565 ) | 1.6 % |
Dropbox Inc | (2,805 ) | (221,762 ) | (35,628 ) | 1.5 % |
Coty Inc | (6,127 ) | (216,407 ) | (34,767 ) | 1.4 % |
Monolithic Power Systems Inc | (129 ) | (211,769 ) | (34,022 ) | 1.4 % |
NXP Semiconductors NV | (322 ) | (210,776 ) | (33,863 ) | 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 |
JPNBLQGS (cont’d) | ||||
Palantir Technologies Inc | (3,429 ) | $(199,589 ) | $(32,066 ) | 1.3 % |
Trade Desk Inc/The | (686 ) | (183,567 ) | (29,491 ) | 1.2 % |
Marvell Technology Inc | (948 ) | (181,168 ) | (29,106 ) | 1.2 % |
MongoDB Inc | (144 ) | (179,065 ) | (28,768 ) | 1.2 % |
Dynatrace Inc | (1,110 ) | (178,045 ) | (28,604 ) | 1.2 % |
Nutanix Inc | (1,994 ) | (176,658 ) | (28,381 ) | 1.2 % |
StoneCo Ltd | (4,039 ) | (171,697 ) | (27,584 ) | 1.1 % |
New York Times Co/The | (1,387 ) | (165,895 ) | (26,652 ) | 1.1 % |
AmerisourceBergen Corp | (301 ) | (165,193 ) | (26,540 ) | 1.1 % |
Electronic Arts Inc | (410 ) | (164,056 ) | (26,357 ) | 1.1 % |
HubSpot Inc | (95 ) | (161,921 ) | (26,014 ) | 1.1 % |
Silicon Laboratories Inc | (350 ) | (153,023 ) | (24,584 ) | 1.0 % |
Maximus Inc | (592 ) | (145,357 ) | (23,353 ) | 1.0 % |
Coherent Corp | (1,041 ) | (144,638 ) | (23,237 ) | 1.0 % |
Live Nation Entertainment Inc | (552 ) | (142,105 ) | (22,830 ) | 0.9 % |
F5 Inc | (300 ) | (139,047 ) | (22,339 ) | 0.9 % |
Datadog Inc | (399 ) | (136,721 ) | (21,965 ) | 0.9 % |
Crowdstrike Holdings Inc | (286 ) | (135,813 ) | (21,819 ) | 0.9 % |
Wix.com Ltd | (447 ) | (123,565 ) | (19,852 ) | 0.8 % |
Taylor Morrison Home Corp | (865 ) | (122,826 ) | (19,733 ) | 0.8 % |
Murphy USA Inc | (136 ) | (122,265 ) | (19,643 ) | 0.8 % |
Enphase Energy Inc | (274 ) | (122,062 ) | (19,610 ) | 0.8 % |
Las Vegas Sands Corp | (693 ) | (121,604 ) | (19,537 ) | 0.8 % |
PulteGroup Inc | (471 ) | (116,729 ) | (18,753 ) | 0.8 % |
Lumentum Holdings Inc | (758 ) | (116,455 ) | (18,709 ) | 0.8 % |
Exact Sciences Corp | (384 ) | (109,938 ) | (17,662 ) | 0.7 % |
Royal Caribbean Cruises Ltd | (336 ) | (107,651 ) | (17,295 ) | 0.7 % |
Hyatt Hotels Corp | (289 ) | (107,310 ) | (17,240 ) | 0.7 % |
Seagen Inc | (188 ) | (105,670 ) | (16,977 ) | 0.7 % |
Snowflake Inc | (203 ) | (105,648 ) | (16,973 ) | 0.7 % |
Pinterest Inc | (1,233 ) | (104,835 ) | (16,843 ) | 0.7 % |
Meritage Homes Corp | (232 ) | (101,222 ) | (16,262 ) | 0.7 % |
Sabre Corp | (8,367 ) | (100,638 ) | (16,168 ) | 0.7 % |
Group 1 Automotive Inc | (130 ) | (98,738 ) | (15,863 ) | 0.7 % |
Aramark | (831 ) | (98,460 ) | (15,818 ) | 0.7 % |
Texas Roadhouse Inc | (300 ) | (98,188 ) | (15,775 ) | 0.7 % |
Zscaler Inc | (208 ) | (97,771 ) | (15,708 ) | 0.6 % |
MDC Holdings Inc | (640 ) | (96,266 ) | (15,466 ) | 0.6 % |
Other Securities | (58,033 ) | (6,898,482 ) | (1,108,298 ) | 45.7 % |
$(15,077,018 ) | $(2,422,241 ) | |||
Accrued Net Interest Receivable/(Payable) | 27,345 | |||
$(2,394,896 ) | ||||
JPNBLQGS | ||||
Jabil Inc | (1,113 ) | (361,523 ) | (54,992 ) | 2.4 % |
Take-Two Interactive Software Inc | (671 ) | (301,256 ) | (45,825 ) | 2.0 % |
Palo Alto Networks Inc | (397 ) | (291,358 ) | (44,319 ) | 1.9 % |
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) | ||||
Sprouts Farmers Market Inc | (2,451 ) | $(282,192 ) | $(42,925 ) | 1.9 % |
Pure Storage Inc | (2,395 ) | (259,924 ) | (39,537 ) | 1.7 % |
Performance Food Group Co | (1,406 ) | (246,519 ) | (37,498 ) | 1.6 % |
GoDaddy Inc | (1,061 ) | (239,852 ) | (36,484 ) | 1.6 % |
Microchip Technology Inc | (848 ) | (233,819 ) | (35,567 ) | 1.6 % |
Dropbox Inc | (2,805 ) | (221,764 ) | (33,733 ) | 1.5 % |
Coty Inc | (6,127 ) | (216,409 ) | (32,918 ) | 1.4 % |
Monolithic Power Systems Inc | (129 ) | (211,771 ) | (32,213 ) | 1.4 % |
NXP Semiconductors NV | (322 ) | (210,778 ) | (32,062 ) | 1.4 % |
Palantir Technologies Inc | (3,429 ) | (199,591 ) | (30,360 ) | 1.3 % |
Trade Desk Inc/The | (686 ) | (183,568 ) | (27,923 ) | 1.2 % |
Marvell Technology Inc | (948 ) | (181,170 ) | (27,558 ) | 1.2 % |
MongoDB Inc | (144 ) | (179,066 ) | (27,238 ) | 1.2 % |
Dynatrace Inc | (1,110 ) | (178,046 ) | (27,083 ) | 1.2 % |
Nutanix Inc | (1,994 ) | (176,660 ) | (26,872 ) | 1.2 % |
StoneCo Ltd | (4,039 ) | (171,698 ) | (26,117 ) | 1.1 % |
New York Times Co/The | (1,387 ) | (165,896 ) | (25,235 ) | 1.1 % |
AmerisourceBergen Corp | (301 ) | (165,195 ) | (25,128 ) | 1.1 % |
Electronic Arts Inc | (410 ) | (164,058 ) | (24,955 ) | 1.1 % |
HubSpot Inc | (95 ) | (161,922 ) | (24,630 ) | 1.1 % |
Silicon Laboratories Inc | (350 ) | (153,024 ) | (23,277 ) | 1.0 % |
Maximus Inc | (592 ) | (145,358 ) | (22,111 ) | 1.0 % |
Coherent Corp | (1,041 ) | (144,639 ) | (22,001 ) | 1.0 % |
Live Nation Entertainment Inc | (552 ) | (142,106 ) | (21,616 ) | 0.9 % |
F5 Inc | (300 ) | (139,048 ) | (21,151 ) | 0.9 % |
Datadog Inc | (399 ) | (136,722 ) | (20,797 ) | 0.9 % |
Crowdstrike Holdings Inc | (286 ) | (135,814 ) | (20,659 ) | 0.9 % |
Wix.com Ltd | (447 ) | (123,566 ) | (18,796 ) | 0.8 % |
Taylor Morrison Home Corp | (865 ) | (122,827 ) | (18,683 ) | 0.8 % |
Murphy USA Inc | (136 ) | (122,266 ) | (18,598 ) | 0.8 % |
Enphase Energy Inc | (274 ) | (122,063 ) | (18,567 ) | 0.8 % |
Las Vegas Sands Corp | (693 ) | (121,605 ) | (18,497 ) | 0.8 % |
PulteGroup Inc | (471 ) | (116,730 ) | (17,756 ) | 0.8 % |
Lumentum Holdings Inc | (758 ) | (116,456 ) | (17,714 ) | 0.8 % |
Exact Sciences Corp | (384 ) | (109,939 ) | (16,723 ) | 0.7 % |
Royal Caribbean Cruises Ltd | (336 ) | (107,652 ) | (16,375 ) | 0.7 % |
Hyatt Hotels Corp | (290 ) | (107,311 ) | (16,323 ) | 0.7 % |
Seagen Inc | (188 ) | (105,671 ) | (16,074 ) | 0.7 % |
Snowflake Inc | (203 ) | (105,649 ) | (16,070 ) | 0.7 % |
Pinterest Inc | (1,233 ) | (104,836 ) | (15,947 ) | 0.7 % |
Meritage Homes Corp | (232 ) | (101,223 ) | (15,397 ) | 0.7 % |
Sabre Corp | (8,367 ) | (100,639 ) | (15,308 ) | 0.7 % |
Group 1 Automotive Inc | (130 ) | (98,739 ) | (15,019 ) | 0.7 % |
Aramark | (831 ) | (98,460 ) | (14,977 ) | 0.7 % |
Texas Roadhouse Inc | (300 ) | (98,189 ) | (14,936 ) | 0.7 % |
Zscaler Inc | (208 ) | (97,772 ) | (14,872 ) | 0.6 % |
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) | ||||
MDC Holdings Inc | (640 ) | $(96,267 ) | $(14,643 ) | 0.6 % |
Other Securities | (58,033 ) | (6,898,546 ) | (1,049,352 ) | 45.7 % |
$(15,077,152 ) | $(2,293,411 ) | |||
Accrued Net Interest Receivable/(Payable) | 27,624 | |||
$(2,265,787 ) | ||||
Total Return Basket Swaps, at Value | $(67,895,294 ) |
(b) | The Fund receives a specified rate based on a reference rate plus or minus a spread, and pays the total return on the reference entity. The cash flows may be denominated in various foreign currencies based on the local currencies of the positions within the swaps. |
(c) | Effective rate at July 31, 2023. |
Total return swap contracts ("total return swaps")
At July 31, 2023, 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 | 143,580,343 | 11/4/2023 | 5.47% | 0.15% | OBFR | 1M/T | $(5,058,200) | $306,338 | $(4,751,862) |
JPM | S&P Retail Select Industry Index | USD | 30,682,741 | 11/19/2024 | 5.31% | —% | SOFR | 1M/T | (528,967) | 77,349 | (451,618) |
JPM | S&P Retail Select Industry Index | USD | 3,284,370 | 11/19/2024 | 4.57% | (0.75)% | OBFR | 1M/T | (267,938) | 5,539 | (262,399) |
JPM | S&P Retail Select Industry Index | USD | 7,620,597 | 11/19/2024 | 4.57% | (0.75)% | OBFR | 1M/T | (115,401) | 7,467 | (107,934) |
JPM | S&P Retail Select Industry Index | USD | 48,829,064 | 11/19/2024 | 4.57% | (0.75)% | OBFR | 1M/T | (6,058,983) | 78,546 | (5,980,437) |
Total | $(12,029,489) | $475,239 | $(11,554,250) |
(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, 2023. |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Purchased option contracts ("options purchased")
At July 31, 2023, the Fund had outstanding options purchased as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value |
Calls | |||||
Professional Services | |||||
Equifax, Inc. | 1,060 | $21,632,480 | $250 | 8/18/2023 | $5,300 (a)(b) |
Total options purchased (cost $353,541) | $5,300 |
(a) | Value determined using significant unobservable inputs. |
(b) | Security fair valued as of July 31, 2023 in accordance with procedures approved by the valuation designee. |
Written option contracts ("options written")
At July 31, 2023, the Fund had outstanding options written as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value |
Calls | |||||
Hotels, Restaurants & Leisure | |||||
Sweetgreen, Inc. | 1,000 | $(1,507,000) | $20 | 9/15/2023 | $(15,000) |
Puts | |||||
Interactive Media & Services | |||||
Match Group, Inc. | 6,412 | (29,822,212) | 37.5 | 8/18/2023 | (128,240) |
Match Group, Inc. | 2,500 | (11,627,500) | 35 | 9/15/2023 | (67,500) |
(195,740) | |||||
Professional Services | |||||
Equifax, Inc. | 1,060 | (21,632,480) | 200 | 1/19/2024 | (1,134,200) |
Specialty Retail | |||||
Chewy, Inc. | 1,831 | (6,207,090) | 32.5 | 8/18/2023 | (130,001) |
Total puts | $(1,459,941) | ||||
Total options written (premium received $1,319,624) | $(1,474,941) |
At July 31, 2023, the Fund had securities pledged in the amount of $14,078,822 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, 2023:
Asset Valuation Inputs | Level 1 | Level 2 | Level 3(a) | Total |
Investments: | ||||
Common Stocks | ||||
Computers | $— | $— | $3,555,001 | $3,555,001 |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Asset Valuation Inputs | Level 1 | Level 2 | Level 3(a) | Total |
Software | $695,540,996 | $— | $3,228,858 | $698,769,854 |
Specialty Retail | 248,085,741 | — | 154,365,360 | 402,451,101 |
Other Common Stocks# | 3,693,134,103 | — | — | 3,693,134,103 |
Total Common Stocks | 4,636,760,840 | — | 161,149,219 | 4,797,910,059 |
Preferred Stocks# | — | — | 51,591,167 | 51,591,167 |
Master Limited Partnerships and Limited Partnerships# | 167,951,709 | — | — | 167,951,709 |
Corporate Bonds# | — | 225,213,505 | — | 225,213,505 |
Convertible Bonds# | — | — | 19,850,000 | 19,850,000 |
Warrants# | — | — | 4,802,005 | 4,802,005 |
Options Purchased@ | — | — | 5,300 | 5,300 |
Short-Term Investments | — | 695,095,717 | — | 695,095,717 |
Total Investments | $4,804,712,549 | $920,309,222 | $237,397,691 | $5,962,419,462 |
# | 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 for the portfolio. |
(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 11/1/2022 | 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 7/31/2023 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 7/31/2023 |
Investments in Securities: | ||||||||||
Common Stocks(1) | $162,951 | $— | $3,619 | $501 | $— | $(5,922 ) | $— | $— | $161,149 | $1,443 |
Preferred Stocks(1) | 57,339 | — | — | (5,748 ) | — | — | — | — | 51,591 | (5,748 ) |
Loan Assignments | 20,400 | 12 | 714 | (626 ) | — | (20,500 ) | — | — | — | — |
Convertible Bonds(1) | 19,850 | — | — | — | — | — | — | — | 19,850 | — |
Warrants(2) | 2,868 | — | — | 1,934 | — | — | — | — | 4,802 | 1,934 |
Options Purchased(2) | — | — | — | (348 ) | 354 | — | — | — | 6 | (348 ) |
Total | $263,408 | $12 | $4,333 | $(4,287 ) | $354 | $(26,422 ) | $— | $— | $237,398 | $(2,719 ) |
(1) Quantitative Information about Level 3 Fair Value Measurements: | ||||||
Investment type | Fair value at 7/31/2023 | Valuation approach | Unobservable input(s) | Input value/ range | Weighted average(a) | Impact to valuation from increase in input(b) |
Common Stocks | $161,149,219 | Market Approach | Enterprise value Revenue multiple(c) (EV/Revenue) | 5.0x - 12.0x | 7.7x | Increase |
Liquidation Preference Discount | 31.3% | 31.3% | Decrease | |||
Preferred Stocks | 441,157 | Market Approach | Transaction Price | $0.46 | $0.46 | Increase |
Preferred Stocks | 46,686,357 | Market Approach | Enterprise value Revenue multiple(c) (EV/Revenue) | 0.86x - 12.0x | 5.1x | Increase |
Expected Volatility | 70.0% | 70.0% | Decrease | |||
Option Term (Years) | 2.5 | 2.5 | Decrease | |||
Discount Rate | 0.3% | 0.3% | Decrease |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
(1)Quantitative Information about Level 3 Fair Value Measurements: | ||||||
Investment type | Fair value at 7/31/2023 | Valuation approach | Unobservable input(s) | Input value/ range | Weighted average(a) | Impact to valuation from increase in input(b) |
Preferred Units | $4,463,653 | Market Approach | Enterprise value Revenue multiple (EV/Revenue) | 3.0x | 3.0x | Increase |
Convertible Bonds | 19,850,000 | Market Approach | Transaction Price | $1,000.00 | $1,000.00 | Increase |
(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. |
(2) For the period ended July 31, 2023, these investments were valued in accordance with procedures approved by the valuation designee. 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. |
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, 2023:
Liability Valuation Inputs | Level 1 | Level 2 | Level 3 | Total |
Investments: | ||||
Common Stocks Sold Short# | $(926,550,367 ) | $— | $— | $(926,550,367 ) |
Corporate Bonds Sold Short# | — | (42,832,912 ) | — | (42,832,912 ) |
Total Short Positions | $(926,550,367 ) | $(42,832,912 ) | $— | $(969,383,279 ) |
# | 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, 2023:
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Futures@ | ||||
Liabilities | $(51,595,432 ) | $— | $— | $(51,595,432 ) |
Swaps | ||||
Liabilities | — | (79,449,544 ) | — | (79,449,544 ) |
Options Written | ||||
Liabilities | (1,474,941 ) | — | — | (1,474,941 ) |
Total | $(53,070,373 ) | $(79,449,544 ) | $— | $(132,519,917 ) |
@ | 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, 2023
July 31, 2023
Principal Amount | Value | |
U.S. Treasury Obligations 82.1% | ||
U.S. Treasury Notes | ||
$202,800,000 | 0.13%, due 9/15/2023 - 12/15/2023 | $200,093,320 (a) |
209,000,000 | 0.25%, due 3/15/2024 - 6/15/2024 | 201,178,164 (a) |
Total U.S. Treasury Obligations (Cost $403,530,261) | 401,271,484 | |
Index-Linked Notes 11.6% | ||
Financial Services 11.6% | ||
92,226,000 | GS Finance Corp., 25.00%, due 2/16/2024 (Cost $92,314,609) | 56,434,627 |
Number of Shares | ||
Short-Term Investments 8.7% | ||
Investment Companies 8.7% | ||
42,602,197 | State Street Institutional U.S. Government Money Market Fund Premier Class, 5.19%(b) (Cost $42,602,197) | 42,602,197 |
Total Investments 102.4% (Cost $538,447,067) | 500,308,308 | |
Liabilities Less Other Assets (2.4)% | (11,517,452 )(c) | |
Net Assets 100.0% | $488,790,856 |
(a) | All or a portion of this security is pledged as collateral for options written. |
(b) | Represents 7-day effective yield as of July 31, 2023. |
(c) | Includes the impact of the Fund's open positions in derivatives at July 31, 2023. |
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, 2023, 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 | 20 | $(9,177,920) | $4,455 | 8/4/2023 | $(2,150) |
S&P 500 Index | 1 | (458,896) | 4,535 | 8/4/2023 | (505) |
S&P 500 Index | 189 | (86,731,344) | 4,550 | 8/4/2023 | (137,970) |
S&P 500 Index | 40 | (18,355,840) | 4,555 | 8/4/2023 | (32,800) |
S&P 500 Index | 8 | (3,671,168) | 4,430 | 8/11/2023 | (2,960) |
S&P 500 Index | 90 | (41,300,640) | 4,480 | 8/11/2023 | (59,850) |
S&P 500 Index | 92 | (42,218,432) | 4,505 | 8/11/2023 | (84,640) |
S&P 500 Index | 76 | (34,876,096) | 4,510 | 8/11/2023 | (74,860) |
S&P 500 Index | 1 | (458,896) | 4,555 | 8/11/2023 | (1,865) |
S&P 500 Index | 8 | (3,671,168) | 4,560 | 8/11/2023 | (16,200) |
S&P 500 Index | 13 | (5,965,648) | 4,510 | 8/18/2023 | (20,930) |
S&P 500 Index | 22 | (10,095,712) | 4,520 | 8/18/2023 | (39,380) |
S&P 500 Index | 66 | (30,287,136) | 4,545 | 8/18/2023 | (154,440) |
S&P 500 Index | 36 | (16,520,256) | 4,550 | 8/18/2023 | (88,740) |
S&P 500 Index | 46 | (21,109,216) | 4,555 | 8/18/2023 | (119,830) |
S&P 500 Index | 91 | (41,759,536) | 4,560 | 8/18/2023 | (250,705) |
S&P 500 Index | 9 | (4,130,064) | 4,550 | 8/25/2023 | (30,105) |
S&P 500 Index | 87 | (39,923,952) | 4,555 | 8/25/2023 | (303,195) |
S&P 500 Index | 77 | (35,334,992) | 4,570 | 8/25/2023 | (304,535) |
S&P 500 Index | 103 | (47,266,288) | 4,575 | 8/25/2023 | (424,360) |
S&P 500 Index | 14 | (6,424,544) | 4,575 | 9/1/2023 | (66,920) |
S&P 500 Index | 23 | (10,554,608) | 4,580 | 9/1/2023 | (120,750) |
Total options written (premium received $4,994,518) | $(2,337,690) |
At July 31, 2023, the Fund had securities pledged in the amount of $122,467,312 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, 2023:
Asset Valuation Inputs | Level 1 | Level 2 | Level 3 | Total |
Investments: | ||||
U.S. Treasury Obligations | $— | $401,271,484 | $— | $401,271,484 |
Index-Linked Notes# | — | 56,434,627 | — | 56,434,627 |
Short-Term Investments | — | 42,602,197 | — | 42,602,197 |
Total Investments | $— | $500,308,308 | $— | $500,308,308 |
# | 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)
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, 2023:
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Options Written | ||||
Liabilities | $(2,337,690 ) | $— | $— | $(2,337,690 ) |
Total | $(2,337,690 ) | $— | $— | $(2,337,690 ) |
^ 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, 2023
Notes to Schedule of Investments Alternative Funds ß (Unaudited)
In accordance with Accounting Standards Codification 820 "Fair Value Measurement" ("ASC 820"), all investments held by each of 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. At times, Management may need to apply significant judgment 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, preferred stocks, master limited partnerships and limited partnerships, warrants and exchange-traded options purchased and written, for which market quotations are 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 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").
Convertible Bonds. Inputs used to value convertible bonds generally include underlying stock data, conversion rates, credit specific details, relevant listed bond and preferred stock prices and Other Market Information.
For information on the Funds' significant accounting policies, please refer to the Funds' most recent shareholder reports.
ßNotes to Consolidated Schedule of Investments for Long Short.
ßNotes to Consolidated Schedule of Investments for Long Short.
Notes to Schedule of Investments Alternative Funds ß (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.
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.
Index Linked Notes. The value of the index linked notes is determined by obtaining a valuation from a calculation agent and is primarily based on accrued interest, the underlying index change, participation rate related to the issuer and Other Market Information.
The value of futures contracts is determined by Management by obtaining valuations from independent pricing services at the settlement price at the market close (Level 1 inputs).
The value of total return swaps and total return basket swaps is determined by Management by obtaining valuations from independent pricing services using the underlying asset and stated benchmark interest rate (Level 2 inputs).
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 are valued using the respective fund’s daily calculated net asset value per share (Level 2 inputs), when available.
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 available, the security is valued using methods Management has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Pursuant to Rule 2a-5 under the Investment Company Act of 1940, as amended, the Funds' Board of Trustees designated Management as the Funds' valuation designee. As the Funds' valuation designee, Management is responsible for determining fair value in good faith for any and all Fund investments. 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. Management has approved the use of ICE Data Services (“ICE”) to assist in determining the fair value of foreign equity securities when changes in the value of a certain index suggest that the closing prices on the foreign exchanges may no longer represent the amount that a Fund could expect to receive for those securities or on days when foreign markets are closed and U.S. markets are open. In each of these events, ICE will provide adjusted prices for certain foreign equity securities using a statistical analysis of historical correlations of multiple factors (Level 2 inputs). Management 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
For information on the Funds' significant accounting policies, please refer to the Funds' most recent shareholder reports.
ßNotes to Consolidated Schedule of Investments for Long Short.
ßNotes to Consolidated Schedule of Investments for Long Short.
Notes to Schedule of Investments Alternative Funds ß (Unaudited) (cont’d)
as of which a Fund’s share price is calculated, Management 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.
On February 25, 2022, to facilitate compliance with certain requirements necessary to maintain its status as a regulated investment company, Long Short formed NB A24 Long Short Blocker LLC (the "Blocker"), a Delaware limited liability company, to hold interests in certain private placements. The Blocker is a wholly owned subsidiary of Long Short and Long Short will remain its sole member.
As of July 31, 2023, the value of Long Short's investment in the Blocker was as follows:
Investment in Blocker | Percentage of Net Assets | |
$4,439,714 | 0.1 % |
For information on the Funds' significant accounting policies, please refer to the Funds' most recent shareholder reports.
ßNotes to Consolidated Schedule of Investments for Long Short.
ßNotes to Consolidated Schedule of Investments for Long Short.
Notes to Schedule of Investments Alternative Funds ß (Unaudited) (cont'd)
Legend
Legend July 31, 2023 (Unaudited)
Benchmarks: | |
FEDL01 | = United States Federal Funds Effective Rate |
LIBOR | = London Interbank Offered Rate |
OBFR | = United States Overnight Bank Funding Rate |
SOFR | = Secured Overnight Financing Rate |
Counterparties: | |
GSI | = Goldman Sachs International |
JPM | = JPMorgan Chase Bank N.A. |
Index Periods/Payment Frequencies: | |
1M | = 1 Month |
3M | = 3 Months |
T | = Termination |
Other Abbreviations: | |
ADR | = American Depositary Receipt |
Management | = Neuberger Berman Investment Advisers LLC |
Currency Abbreviations: | |
USD | = United States Dollar |
For information on the Funds' significant accounting policies, please refer to the Funds' most recent shareholder reports.
ßNotes to Consolidated Schedule of Investments for Long Short.
ßNotes to Consolidated Schedule of Investments for Long Short.