1
See
Notes
to
Consolidated
Schedule
of
Investments
Consolidated
Schedule
of
Investments
Absolute
Return
Multi-Manager
Fund^
(Unaudited)
January
31,
2024
Investments
Shares
Value
Long
Positions
88.2%
Common
Stocks
37.6%
Aerospace
&
Defense
0.3%
Kaman
Corp.
7,900
$
355,895
Automobile
Components
0.0%
(a)
Garrett
Motion,
Inc.
(Switzerland)
*
5,118
43,964
Banks
0.2%
American
National
Bankshares,
Inc.
3,826
173,279
Lakeland
Bancorp,
Inc.
3,164
42,050
215,329
Biotechnology
4.3%
Ambrx
Biopharma,
Inc.
*
11,500
319,700
Cerevel
Therapeutics
Holdings,
Inc.
*
16,695
699,520
Grifols
SA,
ADR
(Spain)
*
3,800
30,552
Harpoon
Therapeutics,
Inc.
*
15,046
335,977
ImmunoGen,
Inc.
*
39,452
1,156,733
Karuna
Therapeutics,
Inc.
*
4,838
1,516,326
RayzeBio,
Inc.
*
7,450
462,645
4,521,453
Broadline
Retail
3.2%
Alibaba
Group
Holding
Ltd.,
ADR
(China)
6,950
501,582
Alibaba
Group
Holding
Ltd.
(China)
21,712
194,734
Amazon.com,
Inc.
*
3,972
616,454
eBay,
Inc.
4,589
188,470
JD.com,
Inc.,
Class
A
(China)
723
8,153
MercadoLibre,
Inc.
(Brazil)
*
419
717,248
Prosus
NV
(China)
37,713
1,115,436
3,342,077
Building
Products
0.3%
PGT
Innovations,
Inc.
*
6,618
272,794
Capital
Markets
0.1%
Canaccord
Genuity
Group,
Inc.
(Canada)
26,200
144,013
Pegasus
Acquisition
Co.
Europe
BV,
Class
A
(Netherlands)
*(b)(c)
12,042
—
Pershing
Square,
Escrow
*(b)
6,100
229
144,242
Chemicals
0.1%
Arcadium
Lithium
plc
(Jersey)
*
15,983
78,157
Commercial
Services
&
Supplies
0.3%
SP
Plus
Corp.
*
6,397
330,917
Investments
Shares
Value
Communications
Equipment
0.2%
Comtech
Telecommunications
Corp.
*
2,850
$
18,041
Juniper
Networks,
Inc.
6,400
236,544
254,585
Consumer
Staples
Distribution
&
Retail
1.0%
Albertsons
Cos.,
Inc.,
Class
A
40,823
866,264
Cia
Brasileira
de
Distribuicao,
ADR
(Brazil)
*
1,071
783
Cia
Brasileira
de
Distribuicao,
ADR
(Brazil)
*
2,780
2,032
Fix
Price
Group
plc,
GDR
(Russia)
(b)(c)(d)
144
—
Sendas
Distribuidora
SA,
ADR
(Brazil)
4,023
55,880
Wal-Mart
de
Mexico
SAB
de
CV
(Mexico)
41,235
170,364
X5
Retail
Group
NV,
GDR
(Russia)
*(b)(c)(d)
4,390
—
1,095,323
Containers
&
Packaging
0.5%
Westrock
Co.
13,325
536,465
Diversified
Consumer
Services
0.2%
Rover
Group,
Inc.
*
18,843
206,142
Diversified
Telecommunication
Services
0.4%
Altaba,
Inc.
Escrow
*(b)
152,806
373,611
Telesat
Corp.
(Canada)
*
4,885
48,166
421,777
Electric
Utilities
1.0%
PNM
Resources,
Inc.
28,230
1,022,773
Electronic
Equipment,
Instruments
&
Components
0.1%
Hollysys
Automation
Technologies
Ltd.
(China)
*
4,081
100,964
Entertainment
0.3%
Atlanta
Braves
Holdings,
Inc.,
Class
C
*
7,354
296,440
Financial
Services
0.3%
PayPal
Holdings,
Inc.
*
4,448
272,885
Food
Products
1.6%
Nestle
SA
(Registered)
11,602
1,322,055
Sovos
Brands,
Inc.
*
17,400
383,670
1,705,725
Gas
Utilities
0.1%
Brookfield
Infrastructure
Corp.,
Class
A
(Canada)
1,145
40,086
Southwest
Gas
Holdings,
Inc.
1,200
70,416
110,502
Consolidated
Schedule
of
Investments
Absolute
Return
Multi-Manager
Fund^
(Unaudited)
(cont’d)
2
See
Notes
to
Consolidated
Schedule
of
Investments
Investments
Shares
Value
Ground
Transportation
0.0%
(a)
Daseke,
Inc.
*
6,452
$
52,519
Health
Care
Equipment
&
Supplies
0.3%
Axonics,
Inc.
*
4,784
324,738
Health
Care
Providers
&
Services
1.0%
Amedisys,
Inc.
*
10,328
973,620
Shanghai
Pharmaceuticals
Holding
Co.
Ltd.,
Class
H
(China)
30,284
42,807
Sinopharm
Group
Co.
Ltd.,
Class
H
(China)
16,945
44,557
1,060,984
Hotels,
Restaurants
&
Leisure
1.4%
Booking
Holdings,
Inc.
*
165
578,733
Carrols
Restaurant
Group,
Inc.
18,289
171,917
Deliveroo
plc,
Class
A
(United
Kingdom)
*(d)
10,109
15,053
Expedia
Group,
Inc.
*
2,059
305,411
NEOGAMES
SA
(Israel)
*
11,861
331,871
Playtech
plc
(United
Kingdom)
*
21,590
121,592
1,524,577
Household
Durables
0.4%
Lennar
Corp.,
Class
B
2,550
353,812
MDC
Holdings,
Inc.
250
15,645
369,457
Household
Products
0.1%
Spectrum
Brands
Holdings,
Inc.
1,136
89,312
Insurance
0.7%
AIA
Group
Ltd.
(Hong
Kong)
72,499
568,568
American
Equity
Investment
Life
Holding
Co.
*
3,900
215,319
783,887
Interactive
Media
&
Services
2.4%
Alphabet,
Inc.,
Class
A
*
7,113
996,531
Baidu,
Inc.,
ADR
(China)
*
749
78,877
Baidu,
Inc.,
Class
A
(China)
*
1,931
25,001
Meta
Platforms,
Inc.,
Class
A
*
3,625
1,414,258
VK
IPJSC,
GDR
(Russia)
*(b)
(c)(d)
1,305
—
Yandex
NV,
Class
A
(Russia)
*(b)(c)
1,428
—
2,514,667
Life
Sciences
Tools
&
Services
1.1%
Eurofins
Scientific
SE
(Luxembourg)
14,650
882,176
Gerresheimer
AG
(Germany)
459
46,794
Investments
Shares
Value
Olink
Holding
AB,
ADR
(Sweden)
*
10,050
$
246,024
1,174,994
Machinery
0.1%
Stratasys
Ltd.
*
4,644
61,393
Velan,
Inc.
(Canada)
2,100
8,185
69,578
Media
1.2%
Aimia,
Inc.
(Canada)
*
18,800
46,145
Stroeer
SE
&
Co.
KGaA
(Germany)
7,211
423,373
TEGNA,
Inc.
47,820
745,514
WideOpenWest,
Inc.
*
2,582
9,579
1,224,611
Metals
&
Mining
0.8%
ArcelorMittal
SA
(Luxembourg)
4,832
133,074
Artemis
Gold,
Inc.
(Canada)
*
605
2,835
United
States
Steel
Corp.
13,350
627,717
Vale
SA,
Class
B,
ADR
(Brazil)
8,667
118,651
882,277
Oil,
Gas
&
Consumable
Fuels
3.8%
Callon
Petroleum
Co.
*
1,240
39,829
Euronav
NV
(Belgium)
2,400
42,277
Euronav
NV
(Belgium)
11,983
211,500
Hess
Corp.
12,884
1,810,588
LUKOIL
PJSC,
ADR
(Russia)
*(b)(c)
661
—
Petroleo
Brasileiro
SA,
ADR
(Brazil)
9,839
167,952
Pioneer
Natural
Resources
Co.
7,530
1,730,620
4,002,766
Passenger
Airlines
0.0%
(a)
American
Airlines
Group,
Inc.
*
768
10,929
American
Airlines
Group,
Inc.
Escrow
*(b)(c)
14,383
144
Hawaiian
Holdings,
Inc.
*
2,650
37,762
48,835
Pharmaceuticals
1.2%
Aralez
Pharmaceuticals,
Inc.
(Canada)
*(b)
345
—
Dr
Reddy's
Laboratories
Ltd.,
ADR
(India)
2,719
195,632
Hikma
Pharmaceuticals
plc
(Jordan)
6,852
167,169
Roche
Holding
AG
2,960
842,760
Teva
Pharmaceutical
Industries
Ltd.,
ADR
(Israel)
*
1,671
20,219
1,225,780
Professional
Services
0.5%
HireRight
Holdings
Corp.
*
2,900
35,960
Consolidated
Schedule
of
Investments
Absolute
Return
Multi-Manager
Fund^
(Unaudited)
(cont’d)
3
See
Notes
to
Consolidated
Schedule
of
Investments
Investments
Shares
Value
SGS
SA
(Registered)
(Switzerland)
5,054
$
467,019
TDCX,
Inc.,
ADR
(Singapore)
*
4,189
26,265
529,244
Real
Estate
Management
&
Development
0.5%
Seritage
Growth
Properties,
Class
A
*
36,123
330,525
Tricon
Residential,
Inc.
(Canada)
13,300
146,699
477,224
Semiconductors
&
Semiconductor
Equipment
0.5%
ASML
Holding
NV
(Netherlands)
100
86,759
Magnachip
Semiconductor
Corp.
(South
Korea)
*
11,350
74,115
Silicon
Motion
Technology
Corp.,
ADR
(Taiwan)
3,212
202,292
SunEdison,
Inc.
*(b)(c)
16,689
—
Tower
Semiconductor
Ltd.
(Israel)
*
4,411
127,257
Transphorm,
Inc.
*
12,200
59,048
549,471
Software
3.1%
Alteryx,
Inc.,
Class
A
*
10,605
503,313
SAP
SE
(Germany)
7,074
1,225,546
Splunk,
Inc.
*
9,950
1,526,032
3,254,891
Specialty
Retail
0.2%
ASOS
plc
(United
Kingdom)
*
1,085
5,068
GNC
Holdings,
Inc.
Escrow
*(b)(c)
5,700
—
Sportsman's
Warehouse
Holdings,
Inc.
*
39,025
150,246
Toys
R
Us,
Inc.
*(b)
2,810
14,050
169,364
Technology
Hardware,
Storage
&
Peripherals
1.0%
Apple,
Inc.
3,594
662,734
Samsung
Electronics
Co.
Ltd.,
GDR
(South
Korea)
(d)
312
426,369
1,089,103
Textiles,
Apparel
&
Luxury
Goods
1.6%
Capri
Holdings
Ltd.
*
24,974
1,217,233
NIKE,
Inc.,
Class
B
2,132
216,462
Tapestry,
Inc.
6,569
254,811
1,688,506
Trading
Companies
&
Distributors
1.2%
Brenntag
SE
(Germany)
4,444
392,894
IMCD
NV
(Netherlands)
2,702
412,435
McGrath
RentCorp
456
57,297
Textainer
Group
Holdings
Ltd.
(China)
7,380
366,417
1,229,043
Investments
Shares
Value
Wireless
Telecommunication
Services
0.0%
(a)
Millicom
International
Cellular
SA
(Guatemala)
*
2,500
$
42,600
Total
Common
Stocks
(Cost
$39,050,515
)
39,706,837
Preferred
Stocks
0.1%
Broadline
Retail
0.1%
Qurate
Retail,
Inc.
8.00%,
3/15/2031
891
35,248
Trading
Companies
&
Distributors
0.0%
(a)
Textainer
Group
Holdings
Ltd.,
Series
B,
6.25%,
12/15/2026
(China)
(e)
1,400
34,860
Total
Preferred
Stocks
(Cost
$73,420)
70,108
Principal
Amount
Corporate
Bonds
0.0%
Independent
Power
and
Renewable
Electricity
Producers
0.0%
GenOn
Energy,
Inc.
Escrow
,
9.50%,
10/15/2018
(b)(c)(f)
$
354,000
—
9.88%,
10/15/2020
(b)(c)(f)
1,655,000
—
Total
Corporate
Bonds
(Cost
$—
)
—
Insurance
Linked
Securities
6.1%
Atlas
Capital
Reinsurance
2020
DAC
(Ireland)
Series
2020,
(3
Month
Treasury
Bill
Rate
+
8.29%),
13.67%,
6/10/2024
(g)(h)
700,000
704,200
Gateway
Re
Ltd.
Series
A,
(1
Month
Treasury
Bill
Rate
+
13.00%),
18.34%,
2/24/2026
(g)(h)
250,000
270,625
Herbie
Re
Ltd.
(Bermuda)
Series
B,
(3
Month
Treasury
Bill
Rate
+
9.72%),
15.02%,
1/8/2025
(g)(h)
750,000
738,600
Consolidated
Schedule
of
Investments
Absolute
Return
Multi-Manager
Fund^
(Unaudited)
(cont’d)
4
See
Notes
to
Consolidated
Schedule
of
Investments
Investments
Principal
Amount
Value
Series
A,
(3
Month
Treasury
Bill
Rate
+
6.73%),
12.03%,
1/8/2025
(g)(h)
$
250,000
$
249,100
Hestia
Re
Ltd.
(Bermuda)
Series
A,
(1
Month
Treasury
Bill
Rate
+
9.75%),
15.08%,
4/7/2026
(g)(h)
500,000
508,700
Kendall
Re
Ltd.
(Bermuda)
Series
B,
(3
Month
Treasury
Bill
Rate
+
6.25%),
11.64%,
5/2/2024
(g)(h)
275,000
274,725
Kilimanjaro
III
Re
Ltd.
(Bermuda)
Series
B,
(3
Month
Treasury
Bill
Rate
+
9.91%),
15.28%,
12/19/2024
(g)(h)
250,000
246,725
Series
A,
(3
Month
Treasury
Bill
Rate
+
5.25%),
5.25%,
6/25/2025
(g)(h)
650,000
656,175
Lightning
Re
Series
2023-
1,
(3
Month
Treasury
Bill
Rate
+
11.00%),
16.36%,
3/31/2026
(g)(h)
500,000
526,200
Matterhorn
Re
Ltd.
(Bermuda)
(SOFR
+
7.75%),
13.09%,
3/24/2025
(g)(h)
500,000
495,650
Purple
Re
Ltd.
(Bermuda)
Series
A,
(1
Month
Treasury
Bill
Rate
+
10.00%),
15.36%,
6/5/2026
(g)(h)
250,000
255,375
Tailwind
RE
Ltd.
(Bermuda)
Series
B,
(3
Month
Treasury
Bill
Rate
+
9.08%),
14.43%,
1/8/2025
(g)(h)
500,000
495,000
Investments
Principal
Amount
Value
Titania
RE
Ltd.
(Bermuda)
Series
A,
(1
Month
Treasury
Bill
Rate
+
6.50%),
11.84%,
12/27/2024
(g)(h)
$
250,000
$
241,950
Series
A,
(1
Month
Treasury
Bill
Rate
+
12.25%),
17.59%,
2/27/2026
(g)(h)
750,000
814,125
Total
Insurance
Linked
Securities
(Cost
$6,267,230)
6,477,150
Loan
Assignments
0.0%
(a)
Media
0.0%
(a)
Deluxe
Entertainment
Services
Group,
Inc.,
1st
Lien
Term
Loan
,
(ICE
LIBOR
USD
3
Month
+
5.50%),
14.00%
Cash
due
3/25/2024
(b)
(c)(g)(i)
14,155
5,628
Deluxe
Entertainment
Services
Group,
Inc.,
2nd
Lien
Term
Loan
,
(ICE
LIBOR
USD
3
Month
+
5.00%),
13.50%
Cash/2.50%
PIK
due
9/25/2024
(b)
(c)(g)(i)
153,519
—
Total
Loan
Assignments
(Cost
$104,059)
5,628
No.
of
Rights
Rights
0.1%
Biotechnology
0.1%
Achillion
Pharmaceuticals,
Inc.,
CVR
*(b)
23,300
11,650
Adamas
Pharmaceuticals,
Inc.,
CVR
*(b)
24,600
1,230
Akouos,
Inc.,
CVR
*(b)
38,850
29,137
Ambit
Biosciences
Corp.,
CVR
*(b)(c)
70,000
—
Clementia
Pharmaceuticals,
Inc.,
CVR
(France)
*(b)(c)
3,200
—
Tobira
Therapeutics,
Inc.,
CVR
*(b)(c)
6,900
—
42,017
Consolidated
Schedule
of
Investments
Absolute
Return
Multi-Manager
Fund^
(Unaudited)
(cont’d)
5
See
Notes
to
Consolidated
Schedule
of
Investments
All
bonds
are
denominated
in
US
dollars,
unless
noted
otherwise.
Investments
No.
of
Rights
Value
Capital
Markets
0.0%
(a)
Pershing
Square
Holdings
Gp
LLC
*(b)
1,525
$
229
Health
Care
Equipment
&
Supplies
0.0%
(a)
ABIOMED,
Inc.,
CVR
*(b)
3,300
5,775
IT
Services
0.0%
(a)
Flexion
Therapeutics,
Inc.,
CVR
*(b)
18,500
12,025
Metals
&
Mining
0.0%
(a)
Kinross
Gold
Corp.,
CVR
(Canada)
*(b)(c)
4,800
4
Pan
American
Silver
Corp.,
CVR
(Canada)
*
39,600
18,612
18,616
Paper
&
Forest
Products
0.0%
(a)
Resolute
Forest
Products,
Inc.,
CVR
*(b)
5,750
11,500
Total
Rights
(Cost
$71,472)
90,162
No.
of
Warrants
Warrants
0.0%
(a)
Leisure
Products
0.0%
(a)
Tonies
SE,
expiring
4/30/2026
(Germany)
*
(Cost
$—)
4,329
234
Shares
Short-Term
Investments
44.3%
Investment
Companies
44.3%
Fidelity
Treasury
Only
Portfolio,
Institutional
Class,
5.25%
(j)
46,807,137
46,807,137
Investments
Shares
Value
Morgan
Stanley
Institutional
Liquidity
Funds
Treasury
Securities
Portfolio,
Institutional
Class,
5.18%
(j)
1
$
1
Total
Investment
Companies
(Cost
$46,807,138)
46,807,138
Total
Long
Positions
(Cost
$92,373,834
)
93,157,257
Short
Positions
(4.2)%
(k)
Common
Stocks
Sold
Short
(4.2)%
Banks
(0.2)%
Atlantic
Union
Bankshares
Corp.
(5,169)
(176,573)
Provident
Financial
Services,
Inc.
(2,632)
(43,560)
(220,133)
Chemicals
(0.1)%
Arcadium
Lithium
plc
(Jersey)
(12,708)
(62,142)
Construction
&
Engineering
(0.0)%
(a)
WillScot
Mobile
Mini
Holdings
Corp.
(515)
(24,359)
Household
Durables
(0.3)%
Lennar
Corp.,
Class
A
(2,240)
(335,664)
Oil,
Gas
&
Consumable
Fuels
(3.6)%
APA
Corp.
(1,293)
(40,510)
Chevron
Corp.
(13,210)
(1,947,550)
Exxon
Mobil
Corp.
(17,489)
(1,798,044)
(3,786,104)
Total
Common
Stocks
Sold
Short
(Proceeds
$(4,366,839))
(4,428,402)
Total
Short
Positions
(Proceeds
$(4,366,839))
(4,428,402)
Total
Investments
84.0%
(Cost
$88,006,995
)
88,728,855
Other
Assets
Less
Liabilities
16.0%
(l)
16,892,901
Net
Assets
100.0%
$105,621,756
*
Non-income
producing
security.
(a)
Represents
less
than
0.05%
of
net
assets
of
the
Fund.
(b)
Value
determined
using
significant
unobservable
inputs.
(c)
Security
fair
valued
as
of
January
31,
2024,
in
accordance
with
procedures
approved
by
the
valuation
designee.
Total
value
of
all
such
securities
at
January
31,
2024,
amounted
to
$5,776,
which
represents
0.0%
of
net
assets
of
the
Fund.
Consolidated
Schedule
of
Investments
Absolute
Return
Multi-Manager
Fund^
(Unaudited)
(cont’d)
6
See
Notes
to
Consolidated
Schedule
of
Investments
(d)
Security
exempt
from
registration
pursuant
to
Regulation
S
under
the
Securities
Act
of
1933,
as
amended.
Regulation
S
applies
to
securities
offerings
that
are
made
outside
of
the
United
States
and
do
not
involve
directed
selling
efforts
in
the
United
States
and
as
such
may
have
restrictions
on
resale.
At
January
31,
2024,
these
securities
amounted
to
$441,422
of
long
positions
which
represents
0.4%
of
net
assets
of
the
Fund.
(e)
Perpetual
security.
Perpetual
securities
have
no
stated
maturity
date,
but
they
may
be
called/redeemed
by
the
issuer.
The
date
shown
reflects
the
next
call
date.
(f)
Defaulted
security.
(g)
Variable
or
floating
rate
security.
The
interest
rate
shown
was
the
current
rate
as
of
January
31,
2024,
and
changes
periodically.
(h)
Securities
were
purchased
or
sold
short
under
Rule
144A
of
the
Securities
Act
of
1933,
as
amended,
or
are
otherwise
restricted
and,
unless
registered
under
the
Securities
Act
of
1933
or
exempted
from
registration,
may
only
be
sold
to
qualified
institutional
investors
or
may
have
other
restrictions
on
resale.
At
January
31,
2024,
these
securities
amounted
to
$6,477,150
of
long
positions,
which
represents
6.1%
of
net
assets
of
the
Fund.
(i)
Payment
in-kind
security.
(j)
Represents
7-day
effective
yield
as
of
January
31,
2024.
(k)
At
January
31,
2024,
the
Fund
had
approximately
$4,681,108
deposited
in
one
or
more
accounts
to
satisfy
collateral
requirements
for
borrowing
in
connection
with
securities
sold
short.
(l)
Includes
the
impact
of
the
Fund’s
open
positions
in
derivatives
at
January
31,
2024.
Abbreviations
ADR
American
Depositary
Receipt
CVR
Contingent
Value
Rights
GDR
Global
Depositary
Receipt
ICE
Intercontinental
Exchange
IPJSC
International
Public
Joint
Stock
Company
LIBOR
London
Interbank
Offered
Rate
PJSC
Public
Joint
Stock
Company
SA
Société
Anonyme
USD
United
States
Dollar
Consolidated
Schedule
of
Investments
Absolute
Return
Multi-Manager
Fund^
(Unaudited)
(cont’d)
7
See
Notes
to
Consolidated
Schedule
of
Investments
LONG
POSITIONS
BY
COUNTRY
Country
Investments
at
Value
Percentage
of
Net
Assets
United
States
$
29,421,903
27.8%
Bermuda
4,976,125
4.7%
China
2,513,388
2.4%
Germany
2,088,841
2.0%
Brazil
1,062,546
1.0%
Luxembourg
1,015,250
1.0%
Ireland
704,200
0.7%
Hong
Kong
568,568
0.5%
Switzerland
510,983
0.5%
South
Korea
500,484
0.5%
Netherlands
499,194
0.5%
Israel
479,347
0.5%
Canada
454,745
0.4%
Belgium
253,777
0.2%
Sweden
246,024
0.2%
Taiwan
202,292
0.2%
India
195,632
0.2%
Mexico
170,364
0.2%
Jordan
167,169
0.2%
United
Kingdom
141,713
0.1%
Jersey
78,157
0.1%
Guatemala
42,600
0.0%
(a)
Spain
30,552
0.0%
(a)
Singapore
26,265
0.0%
(a)
Short-Term
Investments
and
Other
Assets-Net
63,700,039
60.3%
Short
Positions
(See
summary
below)
(4,428,402)
(4.2)%
$
105,621,756
100.0%
SHORT
POSITIONS
BY
COUNTRY
Country
Investments
at
Value
Percentage
of
Net
Assets
United
States
$
(4,366,260)
(4.1)%
Jersey
(62,142)
(0.1)%
Total
Short
Positions
$(4,428,402)
(4.2)%
(a)
Represents
less
than
0.05%
of
net
assets
of
the
Fund.
Consolidated
Schedule
of
Investments
Absolute
Return
Multi-Manager
Fund^
(Unaudited)
(cont’d)
8
See
Notes
to
Consolidated
Schedule
of
Investments
Derivative
Instruments
Futures
contracts
("futures")
At
January
31,
2024,
open
positions
in
futures
for
the
Fund
were
as
follows:
Description
Number
of
Contracts
Expiration
Date
Notional
Amount
Value
and
Unrealized
Appreciation/
(Depreciation)
Long
Contracts
Brent
Crude
Oil
1
2/2024
$
80,550
$
(1,540)
CAC
40
10
Euro
Index
6
2/2024
497,533
2,421
IFSC
NIFTY
50
Index
3
2/2024
130,785
1,282
NY
Harbor
ULSD
4
2/2024
467,914
2,588
OMXS30
Index
5
2/2024
113,485
1,703
RBOB
Gasoline
1
2/2024
93,710
(1,741)
SGX
FTSE
Taiwan
Index
5
2/2024
307,850
(1,875)
Australia
3
Year
Bond
10
3/2024
701,603
2,356
Brent
Crude
Oil
1
3/2024
80,270
(271)
Canada
10
Year
Bond
2
3/2024
180,996
(2,421)
Cocoa
6
3/2024
289,320
32,714
Coffee
'C'
4
3/2024
291,075
4,396
Copper
1
3/2024
97,650
598
EURO
STOXX
50
Index
11
3/2024
554,561
5,754
Euro-Bobl
6
3/2024
768,572
2,845
Euro-BTP
9
3/2024
1,157,235
12,478
Euro-Bund
4
3/2024
587,252
5,154
Euro-Buxl
1
3/2024
148,661
(2,449)
Euro-OAT
3
3/2024
422,705
4,355
Euro-Schatz
8
3/2024
918,076
939
Foreign
Exchange
MXN/USD
1
3/2024
28,925
558
Foreign
Exchange
USD/NOK
1
3/2024
99,396
(4,006)
Foreign
Exchange
ZAR/USD
1
3/2024
26,738
641
Long
Gilt
2
3/2024
253,384
(4,067)
Low
Sulphur
Gasoil
8
3/2024
669,600
9,515
NASDAQ
100
E-Mini
Index
2
3/2024
689,690
(12,429)
Nikkei
225
Index
23
3/2024
877,986
14,649
Robusta
Coffee
6
3/2024
198,300
24,619
S&P
500
E-Mini
Index
2
3/2024
487,050
7,772
Short-Term
Euro-BTP
5
3/2024
574,932
858
SPI
200
Index
1
3/2024
125,355
4,705
TOPIX
Index
3
3/2024
520,485
18,760
U.S.
Treasury
2
Year
Note
2
3/2024
411,312
(96)
U.S.
Treasury
5
Year
Note
4
3/2024
433,562
1,237
U.S.
Treasury
10
Year
Note
3
3/2024
336,984
1,481
Consolidated
Schedule
of
Investments
Absolute
Return
Multi-Manager
Fund^
(Unaudited)
(cont’d)
9
See
Notes
to
Consolidated
Schedule
of
Investments
Description
Number
of
Contracts
Expiration
Date
Notional
Amount
Value
and
Unrealized
Appreciation/
(Depreciation)
U.S.
Treasury
Long
Bond
1
3/2024
$
122,344
$
(95)
WTI
Crude
Oil
1
3/2024
75,710
(1,262)
100
oz
Gold
3
4/2024
620,220
204
Brent
Crude
Oil
1
4/2024
79,950
(1,411)
Lean
Hogs
1
4/2024
33,930
47
Live
Cattle
1
4/2024
72,280
(433)
Cocoa
8
5/2024
380,320
8,629
Robusta
Coffee
6
5/2024
190,080
11,169
3
Month
SOFR
1
6/2024
237,287
(77)
3
Month
SONIA
3
6/2024
902,001
139
3
Month
Canadian
Bankers
Acceptance
2
9/2024
354,941
(532)
3
Month
EURIBOR
2
9/2024
525,328
472
3
Month
SOFR
2
9/2024
476,950
(379)
WTI
Crude
Oil
1
11/2024
72,890
(432)
3
Month
Canadian
Bankers
Acceptance
1
12/2024
178,103
(57)
3
Month
EURIBOR
7
12/2024
1,845,079
(348)
3
Month
SONIA
3
12/2024
909,272
(766)
3
Month
Canadian
Bankers
Acceptance
1
3/2025
178,642
110
3
Month
EURIBOR
3
3/2025
792,612
819
3
Month
SOFR
4
3/2025
961,750
(921)
3
Month
SONIA
3
3/2025
912,551
(1,366)
3
Month
EURIBOR
8
6/2025
2,116,443
(358)
3
Month
SOFR
4
6/2025
964,600
(959)
3
Month
SONIA
3
6/2025
915,070
(1,035)
3
Month
EURIBOR
15
9/2025
3,970,154
1,301
3
Month
SOFR
4
9/2025
966,550
(958)
3
Month
SONIA
3
9/2025
916,876
(50)
3
Month
EURIBOR
18
12/2025
4,764,185
1,478
3
Month
SOFR
5
12/2025
1,209,562
1,227
3
Month
SONIA
3
12/2025
917,969
(400)
3
Month
EURIBOR
7
3/2026
1,852,077
960
3
Month
SOFR
6
3/2026
1,452,000
1,325
3
Month
SONIA
2
3/2026
612,423
(447)
3
Month
EURIBOR
10
6/2026
2,645,013
1,397
3
Month
SOFR
7
6/2026
1,693,738
1,285
3
Month
SONIA
2
6/2026
612,613
(383)
3
Month
SOFR
7
9/2026
1,693,213
1,010
3
Month
SONIA
2
9/2026
612,740
(320)
3
Month
SOFR
8
9/2027
1,933,100
1,046
Total
Long
Contracts
$
53,394,068
$153,112
Consolidated
Schedule
of
Investments
Absolute
Return
Multi-Manager
Fund^
(Unaudited)
(cont’d)
10
See
Notes
to
Consolidated
Schedule
of
Investments
Description
Number
of
Contracts
Expiration
Date
Notional
Amount
Value
and
Unrealized
Appreciation/
(Depreciation)
Short
Contracts
Hang
Seng
Index
(3)
2/2024
$
(297,872)
$
11,985
HSCEI
(6)
2/2024
(199,656)
8,812
MSCI
Singapore
Index
(38)
2/2024
(785,919)
2,613
Natural
Gas
(1)
2/2024
(21,000)
2,248
SGX
FTSE
China
A50
Index
(54)
2/2024
(597,240)
8,636
3
Month
Canadian
Bankers
Acceptance
(4)
3/2024
(704,303)
(219)
Canada
10
Year
Bond
(4)
3/2024
(361,992)
(8,061)
Canola
(21)
3/2024
(190,686)
17,726
CBOE
Volatility
Index
(10)
3/2024
(156,748)
(3,050)
Corn
(31)
3/2024
(694,788)
33,435
Foreign
Exchange
AUD/USD
(104)
3/2024
(6,869,200)
4,350
Foreign
Exchange
CAD/USD
(3)
3/2024
(223,995)
(2,494)
Foreign
Exchange
CHF/USD
(4)
3/2024
(584,175)
(7,709)
Foreign
Exchange
EUR/USD
(64)
3/2024
(8,688,400)
(23,171)
Foreign
Exchange
GBP/USD
(7)
3/2024
(556,281)
(6,299)
Foreign
Exchange
JPY/USD
(39)
3/2024
(3,355,706)
71,372
Foreign
Exchange
NZD/USD
(2)
3/2024
(122,930)
26
FTSE
100
Index
(7)
3/2024
(676,776)
(9,215)
FTSE/JSE
Top
40
Index
(8)
3/2024
(291,978)
(3,520)
KC
HRW
Wheat
(12)
3/2024
(373,200)
1,108
Long
Gilt
(3)
3/2024
(380,076)
(12,853)
Milling
Wheat
No.
2
(49)
3/2024
(558,006)
37,234
Natural
Gas
(3)
3/2024
(63,630)
94
Palladium
(2)
3/2024
(199,360)
12,134
S&P
500
E-Mini
Index
(7)
3/2024
(1,704,675)
(30,121)
Silver
(1)
3/2024
(115,845)
(1,872)
Soybean
(8)
3/2024
(488,900)
27,255
Soybean
Meal
(7)
3/2024
(257,810)
(3,078)
Soybean
Oil
(10)
3/2024
(276,120)
18,383
U.S.
Treasury
10
Year
Note
(11)
3/2024
(1,235,609)
(39,113)
Wheat
(12)
3/2024
(357,150)
1,070
Platinum
(6)
4/2024
(279,780)
(8,284)
Rapeseed
(15)
4/2024
(347,107)
908
Canola
(3)
5/2024
(27,580)
475
Corn
(2)
5/2024
(45,850)
(342)
Cotton
No.
2
(1)
5/2024
(43,205)
(558)
Soybean
(1)
5/2024
(61,638)
(1,115)
Soybean
Meal
(1)
5/2024
(36,410)
(1,672)
Soybean
Oil
(4)
5/2024
(111,696)
1,436
Wheat
(2)
5/2024
(60,525)
(392)
Consolidated
Schedule
of
Investments
Absolute
Return
Multi-Manager
Fund^
(Unaudited)
(cont’d)
11
See
Notes
to
Consolidated
Schedule
of
Investments
Description
Number
of
Contracts
Expiration
Date
Notional
Amount
Value
and
Unrealized
Appreciation/
(Depreciation)
3
Month
Canadian
Bankers
Acceptance
(4)
6/2024
$
(706,609)
$
(227)
Total
Short
Contracts
$
(33,110,426)
$97,935
Total
Futures
$251,047
Forward
foreign
currency
contracts
("forward
contracts")
At
January
31,
2024,
open
forward
contracts
for
the
Fund
were
as
follows:
Currenc
y
Purchased
Currency
Sold
Counterparty
Settlement
Date
Net
Unrealized
Appreciation/
(Depreciation)
USD
4,873,175
EUR
4,449,231
JPM
2/15/2024
$
62,242
BRL**
6,240,000
USD
1,248,858
SG
3/20/2024
5,077
CAD
200,000
USD
148,423
SG
3/20/2024
426
CHF
2,480,000
USD
2,860,069
SG
3/20/2024
28,560
EUR
182,323
PLN
790,000
SG
3/20/2024
251
EUR
700,000
TRY
24,005,132
SG
3/20/2024
2,479
GBP
2,180,000
USD
2,740,792
SG
3/20/2024
22,951
HUF
206,660,000
USD
578,141
SG
3/20/2024
1,037
ILS
1,900,000
USD
516,456
SG
3/20/2024
5,277
INR**
476,090,000
USD
5,709,390
SG
3/20/2024
9,998
KRW**
192,500,000
USD
143,993
SG
3/20/2024
633
MXN
23,770,000
USD
1,349,502
SG
3/20/2024
20,711
NOK
3,210,000
USD
304,845
SG
3/20/2024
713
PHP**
3,150,000
USD
55,944
SG
3/20/2024
53
PLN
18,300,000
EUR
4,193,191
SG
3/20/2024
26,957
PLN
6,370,000
USD
1,583,958
SG
3/20/2024
5,976
SEK
16,110,000
USD
1,548,093
SG
3/20/2024
2,897
TRY
15,793,924
EUR
450,000
SG
3/20/2024
9,803
TRY
7,910,000
USD
246,325
SG
3/20/2024
2,631
USD
2,870,016
AUD
4,290,000
SG
3/20/2024
51,215
USD
1,292,382
BRL**
6,400,000
SG
3/20/2024
6,291
USD
1,944,928
CAD
2,600,000
SG
3/20/2024
9,885
USD
2,146,730
CHF
1,820,000
SG
3/20/2024
26,849
USD
497,019
CLP**
449,830,000
SG
3/20/2024
14,959
USD
1,163,249
CZK
26,360,000
SG
3/20/2024
17,231
USD
3,284,430
EUR
3,000,000
SG
3/20/2024
35,826
Consolidated
Schedule
of
Investments
Absolute
Return
Multi-Manager
Fund^
(Unaudited)
(cont’d)
12
See
Notes
to
Consolidated
Schedule
of
Investments
Currency
Purchased
Currency
Sold
Counterparty
Settlement
Date
Net
Unrealized
Appreciation/
(Depreciation)
USD
1,322,774
GBP
1,040,000
SG
3/20/2024
$
4,293
USD
983,071
HUF
345,640,000
SG
3/20/2024
14,389
USD
41,339
ILS
150,000
SG
3/20/2024
149
USD
681,745
KRW**
894,080,000
SG
3/20/2024
10,021
USD
487,478
MXN
8,410,000
SG
3/20/2024
2,687
USD
309,279
NOK
3,220,000
SG
3/20/2024
2,767
USD
1,296,096
NZD
2,090,000
SG
3/20/2024
18,508
USD
3,616,535
PHP**
201,890,000
SG
3/20/2024
27,644
USD
1,061,593
PLN
4,220,000
SG
3/20/2024
8,292
USD
1,144,942
SEK
11,670,000
SG
3/20/2024
21,414
USD
3,174,090
SGD
4,220,000
SG
3/20/2024
21,717
USD
406,893
THB
14,190,000
SG
3/20/2024
5,440
USD
785,305
TRY
24,810,000
SG
3/20/2024
4,445
USD
106,563
ZAR
2,000,000
SG
3/20/2024
163
ZAR
1,030,000
USD
54,474
SG
3/20/2024
322
AUD
2,900,000
JPY
274,754,806
SG
3/21/2024
24,449
JPY
94,335,358
AUD
980,000
SG
3/21/2024
1,919
JPY
66,410,000
USD
452,678
SG
3/21/2024
1,994
USD
1,460,309
JPY
209,360,000
SG
3/21/2024
26,944
USD
35,912
AUD
53,058
JPM
3/28/2024
1,040
USD
195,450
CAD
258,019
JPM
3/28/2024
3,400
USD
125,448
GBP
98,019
JPM
3/28/2024
1,175
Total
unrealized
appreciation
$
574,100
Currenc
y
Purchased
Currency
Sold
Counterparty
Settlement
Date
Net
Unrealized
Appreciation/
(Depreciation)
GBP
108,940
USD
138,590
JPM
2/15/2024
$
(516)
AUD
4,570,000
USD
3,090,952
SG
3/20/2024
(88,175)
BRL**
9,170,000
USD
1,873,623
SG
3/20/2024
(30,900)
CAD
4,980,000
USD
3,756,268
SG
3/20/2024
(49,914)
CHF
780,000
USD
918,265
SG
3/20/2024
(9,745)
CLP**
148,690,000
USD
170,008
SG
3/20/2024
(10,665)
CZK
19,660,000
USD
876,569
SG
3/20/2024
(21,841)
EUR
1,940,107
PLN
8,480,000
SG
3/20/2024
(15,699)
EUR
450,000
TRY
15,766,335
SG
3/20/2024
(8,934)
Consolidated
Schedule
of
Investments
Absolute
Return
Multi-Manager
Fund^
(Unaudited)
(cont’d)
13
See
Notes
to
Consolidated
Schedule
of
Investments
Currency
Purchased
Currency
Sold
Counterparty
Settlement
Date
Net
Unrealized
Appreciation/
(Depreciation)
EUR
3,530,000
USD
3,883,834
SG
3/20/2024
$
(61,309)
GBP
660,000
USD
840,408
SG
3/20/2024
(3,680)
HUF
319,350,000
USD
911,731
SG
3/20/2024
(16,732)
ILS
1,830,000
USD
506,021
SG
3/20/2024
(3,510)
INR**
140,790,000
USD
1,692,791
SG
3/20/2024
(1,445)
KRW**
773,250,000
USD
597,295
SG
3/20/2024
(16,351)
MXN
12,040,000
USD
698,775
SG
3/20/2024
(4,733)
NOK
15,810,000
USD
1,527,734
SG
3/20/2024
(22,791)
NZD
2,980,000
USD
1,861,644
SG
3/20/2024
(40,008)
PHP**
214,450,000
USD
3,845,809
SG
3/20/2024
(33,647)
PLN
860,000
USD
216,720
SG
3/20/2024
(2,066)
SEK
2,400,000
USD
236,452
SG
3/20/2024
(5,392)
SGD
5,000,000
USD
3,764,424
SG
3/20/2024
(29,388)
THB
41,210,000
USD
1,192,251
SG
3/20/2024
(26,371)
TRY
4,290,000
USD
136,267
SG
3/20/2024
(1,244)
USD
262,408
AUD
400,000
SG
3/20/2024
(417)
USD
1,631,181
BRL**
8,150,000
SG
3/20/2024
(6,569)
USD
1,184,113
CAD
1,600,000
SG
3/20/2024
(6,684)
USD
1,299,616
CHF
1,120,000
SG
3/20/2024
(4,926)
USD
345,967
CLP**
323,690,000
SG
3/20/2024
(916)
USD
714,492
EUR
660,000
SG
3/20/2024
(200)
USD
1,341,107
GBP
1,060,000
SG
3/20/2024
(2,731)
USD
342,843
HUF
123,000,000
SG
3/20/2024
(1,872)
USD
614,436
ILS
2,300,000
SG
3/20/2024
(17,132)
USD
6,510,229
INR**
544,100,000
SG
3/20/2024
(26,174)
USD
415,489
KRW**
555,840,000
SG
3/20/2024
(2,116)
USD
1,154,333
MXN
20,200,000
SG
3/20/2024
(10,089)
USD
1,085,046
NOK
11,830,000
SG
3/20/2024
(41,042)
USD
256,087
NZD
420,000
SG
3/20/2024
(653)
USD
434,912
PHP**
24,550,000
SG
3/20/2024
(1,500)
USD
471,481
PLN
1,900,000
SG
3/20/2024
(2,754)
USD
340,791
SEK
3,550,000
SG
3/20/2024
(984)
USD
656,241
SGD
880,000
SG
3/20/2024
(1,126)
USD
896,753
THB
31,820,000
SG
3/20/2024
(3,475)
USD
550,159
TRY
17,690,000
SG
3/20/2024
(6,609)
Consolidated
Schedule
of
Investments
Absolute
Return
Multi-Manager
Fund^
(Unaudited)
(cont’d)
14
See
Notes
to
Consolidated
Schedule
of
Investments
Currency
Purchased
Currency
Sold
Counterparty
Settlement
Date
Net
Unrealized
Appreciation/
(Depreciation)
USD
1,400,381
ZAR
26,730,000
SG
3/20/2024
$
(21,656)
ZAR
18,810,000
USD
1,018,849
SG
3/20/2024
(18,160)
AUD
2,780,000
JPY
268,207,335
SG
3/21/2024
(9,572)
JPY
218,014,062
AUD
2,300,000
SG
3/21/2024
(18,674)
JPY
165,850,000
USD
1,172,077
SG
3/21/2024
(36,600)
USD
2,177,204
JPY
319,530,000
SG
3/21/2024
(10,436)
AUD
118,419
USD
81,307
JPM
3/28/2024
(3,479)
USD
6,897
AUD
10,500
JPM
3/28/2024
(4)
USD
7,699
CAD
10,384
JPM
3/28/2024
(30)
Total
unrealized
depreciation
$
(761,636)
Net
unrealized
depreciation
$(187,536)
** Non-deliverable
forward.
Equity
swap
contracts
("equity
swaps")
At
January
31,
2024,
the
Fund
had
outstanding
equity
swaps
as
follows:
Over
the
counter
equity
swaps
—
Long
(a)
Counterparty
Reference
Entity
Notional
Amount
Maturity
Date
Variable-
Rate
(b)
Spread
Reference
Rate
Frequency
of
Fund
Receipt/
Payment
Value
and
Unrealized
Appreciation/
(Depreciation)
MS
adidas
AG
EUR
496,658
2/17/2025
4.48%
0.60%
1M
EURIBOR
T/1M
$
115,209
JPM
Alliance
Aviation
Services
Ltd.
AUD
38,525
7/15/2024
4.97%
0.65%
1D
RBACR
T/1M
4,276
MS
Amundi
SA
EUR
1,785,983
2/17/2025
4.48%
0.60%
1M
EURIBOR
T/1M
(130)
MS
Anima
Holding
SpA
EUR
384,909
2/17/2025
4.48%
0.60%
1M
EURIBOR
T/1M
16,645
JPM
Applus
Services
SA
EUR
254,707
7/5/2024
4.54%
0.65%
1D
ESTR
T/1M
32,962
JPM
Ascential
plc
GBP
185,608
11/4/2024
5.59%
0.40%
1D
SONIA
T/1M
20,502
MS
Aspen
Pharmacare
Holdings
Ltd.
USD
69,370
12/17/2024
6.23%
0.90%
1D
FEDEF
T/1M
246
JPM
Azure
Minerals
Ltd.
AUD
45,500
12/23/2024
4.97%
0.65%
1D
RBACR
T/1M
(364)
MS
Brenntag
SE
EUR
614,729
2/17/2025
4.48%
0.60%
1M
EURIBOR
T/1M
96,156
MS
Bureau
Veritas
SA
EUR
691,007
2/17/2025
4.48%
0.60%
1M
EURIBOR
T/1M
(34,353)
MS
Croda
International
plc
GBP
45,119
12/3/2024
5.83%
0.64%
1D
SONIA
T/1M
(16,862)
MS
Danone
SA
EUR
1,228,070
2/17/2025
4.48%
0.60%
1M
EURIBOR
T/1M
236,502
MS
Elis
SA
EUR
479,135
2/17/2025
4.48%
0.60%
1M
EURIBOR
T/1M
98,263
JPM
Entain
plc
GBP
110,801
2/8/2024
5.59%
0.40%
1D
SONIA
T/1M
(56,433)
MS
Eurofins
Scientific
SE
EUR
253,235
2/17/2025
4.48%
0.60%
1M
EURIBOR
T/1M
(53,807)
MS
Heidelberg
Materials
AG
EUR
602,792
2/17/2025
4.48%
0.60%
1M
EURIBOR
T/1M
177,701
MS
Hermes
International
SCA
EUR
217,316
2/17/2025
4.48%
0.60%
1M
EURIBOR
T/1M
29,489
MS
Holcim
AG
CHF
495,737
2/17/2025
2.28%
0.58%
1D
SARON
T/1M
87,291
Consolidated
Schedule
of
Investments
Absolute
Return
Multi-Manager
Fund^
(Unaudited)
(cont’d)
15
See
Notes
to
Consolidated
Schedule
of
Investments
Counterparty
Reference
Entity
Notional
Amount
Maturity
Date
Variable-
Rate
(b)
Spread
Reference
Rate
Frequency
of
Fund
Receipt/
Payment
Value
and
Unrealized
Appreciation/
(Depreciation)
MS
Hypera
SA
USD
87,888
7/15/2024
5.98%
0.65%
1D
FEDEF
T/1M
$
(40,100)
JPM
IMAX
China
Holding,
Inc.
HKD
655,157
7/17/2024
5.05%
0.00%
1D
HONIA
T/1M
(26,271)
MS
ITV
plc
GBP
87,956
12/3/2024
5.83%
0.64%
1D
SONIA
T/1M
(38,225)
JPM
JSR
Corp.
JPY
72,630,000
7/16/2024
0.34%
0.35%
1D
MUTSC
T/1M
(4,233)
MS
Kering
SA
EUR
491,710
2/17/2025
4.48%
0.60%
1M
EURIBOR
T/1M
(243,180)
JPM
Kin
&
Carta
plc
GBP
25,840
12/11/2024
5.59%
0.40%
1D
SONIA
T/1M
5,764
JPM
Kindred
Group
plc
SEK
2,300,735
1/24/2025
4.43%
0.40%
1M
STIBOR
T/1M
1,648
JPM
Link
Administration
Holdings
Ltd.
AUD
292,965
12/30/2024
4.97%
0.65%
1D
RBACR
T/1M
106
MS
LVMH
Moet
Hennessy
Louis
Vuitton
SE
EUR
191,079
2/17/2025
4.48%
0.60%
1M
EURIBOR
T/1M
(9,281)
JPM
Musti
Group
OYJ
EUR
39,150
12/9/2024
4.29%
0.40%
1D
ESTR
T/1M
(29)
MS
NAVER
Corp.
USD
70,757
8/15/2024
6.83%
1.50%
1D
FEDEF
T/1M
(7,378)
JPM
Network
International
Holdings
plc
GBP
437,785
5/7/2024
5.59%
0.40%
1D
SONIA
T/1M
5,331
JPM
Orange
Belgium
SA
EUR
13,206
12/11/2024
4.29%
-
4.39%
0.40%
-
0.50%
1D
ESTR
T/1M
(4,318)
JPM
Origin
Energy
Ltd.
AUD
155,805
3/28/2024
4.97%
0.65%
1D
RBACR
T/1M
2,493
JPM
PGS
ASA
NOK
546,140
12/27/2024
5.00%
0.40%
1M
NIBOR
T/1M
(15,153)
JPM
R&Q
Insurance
Holdings
Ltd.
GBP
379
4/11/2024
5.59%
0.40%
1D
SONIA
T/1M
(4,097)
MS
Ryanair
Holdings
plc
EUR
245,977
2/17/2025
4.48%
0.60%
1M
EURIBOR
T/1M
59,168
MS
SAP
SE
EUR
99,857
2/17/2025
4.48%
0.60%
1M
EURIBOR
T/1M
34,321
JPM
Shinko
Electric
Industries
Co.
Ltd.
JPY
13,238,820
1/30/2025
0.34%
0.35%
1D
MUTSC
T/1M
796
JPM
Siltronic
AG
EUR
11,281
2/7/2024
4.54%
0.65%
1D
ESTR
T/1M
2,520
JPM
Smart
Metering
Systems
plc
GBP
196,077
12/11/2024
5.59%
0.40%
1D
SONIA
T/1M
(24)
MS
Smith
&
Nephew
plc
GBP
514,162
12/3/2024
5.83%
0.64%
1D
SONIA
T/1M
(33,231)
JPM
Spire
Healthcare
Group
plc
GBP
14,225
6/20/2024
5.59%
0.40%
1D
SONIA
T/1M
1,026
MS
Stroeer
SE
&
Co.
KGaA
EUR
173,314
2/17/2025
4.48%
0.60%
1M
EURIBOR
T/1M
9,364
JPM
Telecom
Italia
SpA
EUR
15,180
11/25/2024
4.54%
0.65%
1D
ESTR
T/1M
1,366
JPM
Wincanton
plc
GBP
200,078
1/23/2025
5.59%
0.40%
1D
SONIA
T/1M
(2,295)
Total
long
positions
of
equity
swaps
$449,381
Over
the
counter
equity
swaps
—
Short
(c)
Counterparty
Reference
Entity
Notional
Amount
Maturity
Date
Variable-
Rate
(b)
Spread
Reference
Rate
Frequency
of
Fund
Receipt/
Payment
Value
and
Unrealized
Appreciation/
(Depreciation)
MS
Air
Liquide
SA
EUR
(526,424)
2/17/2025
3.54%
(0.35)%
1D
ESTR
1M/T
$
(96,591)
MS
Allianz
SE
(Registered)
EUR
(425,720)
2/17/2025
3.54%
(0.35)%
1D
ESTR
1M/T
(53,116)
MS
AXA
SA
EUR
(274,239)
2/17/2025
3.54%
(0.35)%
1D
ESTR
1M/T
(28,920)
MS
BASF
SE
EUR
(170,282)
2/17/2025
3.54%
(0.35)%
1D
ESTR
1M/T
26,539
Consolidated
Schedule
of
Investments
Absolute
Return
Multi-Manager
Fund^
(Unaudited)
(cont’d)
16
See
Notes
to
Consolidated
Schedule
of
Investments
Counterparty
Reference
Entity
Notional
Amount
Maturity
Date
Variable-
Rate
(b)
Spread
Reference
Rate
Frequency
of
Fund
Receipt/
Payment
Value
and
Unrealized
Appreciation/
(Depreciation)
MS
Bayerische
Motoren
Werke
AG
EUR
(125,040)
2/17/2025
3.54%
(0.35)%
1D
ESTR
1M/T
$
1,138
MS
Deutsche
Post
AG
EUR
(275,623)
2/17/2025
3.54%
(0.35)%
1D
ESTR
1M/T
(24,260)
MS
Enel
SpA
EUR
(129,173)
2/17/2025
3.49%
(0.40)%
1D
ESTR
1M/T
(21,575)
MS
Engie
SA
EUR
(235,968)
2/17/2025
3.54%
(0.35)%
1D
ESTR
1M/T
(27,064)
JPM
Grifols
SA
USD
(26,675)
4/15/2024
4.92%
(0.40)%
1D
OBFR
1M/T
(1,407)
MS
H
&
M
Hennes
&
Mauritz
AB
SEK
(1,716,667)
10/21/2024
3.64%
(0.40)%
1W
STIBOR
1M/T
14,840
MS
Hannover
Rueck
SE
EUR
(274,639)
2/17/2025
3.54%
(0.35)%
1D
ESTR
1M/T
(58,352)
MS
Marks
&
Spencer
Group
plc
GBP
(303,519)
12/3/2024
4.89%
(0.30)%
1D
SONIA
1M/T
(129,072)
MS
Merck
&
Co.,
Inc.
USD
(211,727)
12/17/2024
4.98%
(0.35)%
1D
FEDEF
1M/T
(20,793)
MS
Next
plc
GBP
(215,087)
12/3/2024
4.89%
(0.30)%
1D
SONIA
1M/T
(58,434)
MS
Schneider
Electric
SE
EUR
(401,100)
2/17/2025
3.54%
(0.35)%
1D
ESTR
1M/T
(75,421)
JPM
Smurfit
Kappa
Group
plc
USD
(491,931)
9/16/2024
4.57%
(0.75)%
1D
OBFR
1M/T
(23,221)
MS
Swisscom
AG
(Registered)
CHF
(219,385)
2/17/2025
1.35%
(0.35)%
1D
SARON
1M/T
25,472
MS
Telefonica
SA
EUR
(94,356)
2/17/2025
3.49%
(0.40)%
1D
ESTR
1M/T
(3,266)
MS
Tencent
Holdings
Ltd.
USD
(207,676)
7/23/2025
4.93%
(0.40)%
1D
FEDEF
1M/T
37,327
JPM
TGS
ASA
NOK
(580,236)
12/27/2024
3.35%
-
3.55%
(1.25)%
-
(1.05)%
1M
NIBOR
1M/T
14,932
MS
Vinci
SA
EUR
(358,499)
2/17/2025
3.54%
(0.35)%
1D
ESTR
1M/T
(32,376)
Total
short
positions
of
equity
swaps
$(533,620)
Total
long
and
short
positions
of
equity
swaps
$(84,239)
Total
financing
costs
and
other
receivables/(payables)
of
equity
swaps
$(26,645)
Total
long
and
short
positions
including
financing
costs
and
other
receivables/(payables)
of
equity
swaps
$(110,884)
(a) The
Fund
pays
a
specified
rate
based
on
a
reference
rate
plus
or
minus
a
spread,
and
receives
the
total
tttttttttttt
return
on
the
reference
entity.
(b) Effective
rate
at
January
31,
2024.
(c) The
Fund
receives
a
specified
rate
based
on
a
reference
rate
plus
or
minus
a
spread,
and
pays
the
total
t
return
on
the
reference
entity.
Abbreviations
CBOE
Chicago
Board
Options
Exchange
ESTR
Euro
Short-Term
Rate
EURIBOR
Euro
Interbank
Offered
Rate
FEDEF
Federal
Funds
Floating
Rate
FTSE
Financial
Times
Stock
Exchange
HONIA
Hong
Kong
Overnight
Index
Average
HSCEI
Hang
Seng
China
Enterprises
Index
JPM
JPMorgan
Chase
Bank,
NA
JSE
Johannesburg
Stock
Exchange
Consolidated
Schedule
of
Investments
Absolute
Return
Multi-Manager
Fund^
(Unaudited)
(cont’d)
17
See
Notes
to
Consolidated
Schedule
of
Investments
MS
Morgan
Stanley
Capital
Services
LLC
MSCI
Morgan
Stanley
Capital
International
MUTSC
Bank
of
Japan
Unsecured
Overnight
Call
Rate
NIBOR
Norway
Interbank
Offered
Rate
OBFR
Overnight
Bank
Funding
Rate
OMX
Stockholm
Stock
Exchange
RBACR
Reserve
Bank
of
Australia
Cash
Rate
SARON
Swiss
Average
Overnight
Rate
SG
Societe
Generale
SGX
Singapore
Exchange
SOFR
Secured
Overnight
Financing
Rate
SPI
Australian
Benchmark
Index
SONIA
Sterling
Overnight
Index
Average
Rate
STIBOR
Stockholm
Interbank
Offered
Rate
TOPIX
Tokyo
Stock
Price
Index
T
Termination
Date
1D
One
Day
1M
One
Month
1W
One
Week
Currency
Abbreviations
AUD
Australian
Dollar
BRL
Brazilian
Real
CAD
Canadian
Dollar
CHF
Swiss
Franc
CLP
Chilean
Peso
CZK
Czech
Republic
Koruna
EUR
Euro
GBP
Pound
Sterling
HKD
Hong
Kong
Dollar
HUF
Hungarian
Forint
ILS
Israeli
New
Shekel
INR
Indian
Rupee
JPY
Japanese
Yen
KRW
Korean
Won
MXN
Mexican
Peso
NOK
Norwegian
Krone
NZD
New
Zealand
Dollar
PHP
Philippine
Peso
PLN
Polish
Zloty
SEK
Swedish
Krona
SGD
Singapore
Dollar
THB
Thailand
Baht
Consolidated
Schedule
of
Investments
Absolute
Return
Multi-Manager
Fund^
(Unaudited)
(cont’d)
18
See
Notes
to
Consolidated
Schedule
of
Investments
TRY
Turkish
Lira
USD
United
States
Dollar
ZAR
South
African
Rand
The
following
is
a
summary,
categorized
by
Level
(See
Notes
to
Consolidated
Schedule
of
Investments),
of
inputs
used
to
value
the
Fund's
investments
as
of
January
31,
2024:
Asset
Valuation
Inputs
Level
1
Level
2
Level
3
*
Total
Investments:
Common
Stocks
Broadline
Retail
$
2,023,754
$
1,318,323
$
—
$
3,342,077
Capital
Markets
144,013
—
229
144,242
Consumer
Staples
Distribution
&
Retail
1,095,323
—
—
1,095,323
Diversified
Telecommunication
Services
48,166
—
373,611
421,777
Food
Products
383,670
1,322,055
—
1,705,725
Health
Care
Providers
&
Services
973,620
87,364
—
1,060,984
Insurance
215,319
568,568
—
783,887
Interactive
Media
&
Services
2,489,666
25,001
—
2,514,667
Life
Sciences
Tools
&
Services
246,024
928,970
—
1,174,994
Media
801,238
423,373
—
1,224,611
Metals
&
Mining
749,203
133,074
—
882,277
Oil,
Gas
&
Consumable
Fuels
4,002,766
—
—
4,002,766
Passenger
Airlines
48,691
—
144
48,835
Pharmaceuticals
215,851
1,009,929
—
1,225,780
Professional
Services
62,225
467,019
—
529,244
Semiconductors
&
Semiconductor
Equipment
462,712
86,759
—
549,471
Software
2,029,345
1,225,546
—
3,254,891
Specialty
Retail
150,246
5,068
14,050
169,364
Technology
Hardware,
Storage
&
Peripherals
662,734
426,369
—
1,089,103
Trading
Companies
&
Distributors
423,714
805,329
—
1,229,043
Other
Common
Stocks
(a)
13,257,776
—
—
13,257,776
Total
Common
Stocks
30,486,056
8,832,747
388,034
39,706,837
Preferred
Stocks
(a)
70,108
—
—
70,108
Corporate
Bonds
(a)
—
—
—
—
Insurance
Linked
Securities
(a)
—
6,477,150
—
6,477,150
Loan
Assignments
(a)
—
—
5,628
5,628
Rights
Biotechnology
—
—
42,017
42,017
Capital
Markets
—
—
229
229
Health
Care
Equipment
&
Supplies
—
—
5,775
5,775
IT
Services
—
—
12,025
12,025
Metals
&
Mining
18,612
—
4
18,616
Paper
&
Forest
Products
—
—
11,500
11,500
Total
Rights
18,612
—
71,550
90,162
Warrants
(a)
234
—
—
234
Short-Term
Investments
—
46,807,138
—
46,807,138
Total
Long
Positions
$30,575,010
$62,117,035
$465,212
$93,157,257
Consolidated
Schedule
of
Investments
Absolute
Return
Multi-Manager
Fund^
(Unaudited)
(cont’d)
19
See
Notes
to
Consolidated
Schedule
of
Investments
(a)
The
Consolidated
Schedule
of
Investments
provides
information
on
the
industry
or
sector
categorization
as
well
as
a
Positions
by
Country
summary.
*
The
following
is
a
reconciliation
between
the
beginning
and
ending
balances
of
investments
in
which
significant
unobservable
inputs
(Level
3)
were
used
in
determining
value:
Common
Stocks
(a)(b)
Corporate
Bonds
(a)(c)
Loan
Assignments
(a)
Rights
(a)(b)
Total
Assets:
Investments
in
Securities:
Beginning
Balance
as
of
November
1,
2023
$1,470,019
$–
$5,632
$71,320
$1,546,971
Transfers
into
Level
3
–
–
–
–
—
Transfers
out
of
Level
3
–
–
–
–
–
Accrued
discounts/(premiums)
–
–
–
–
–
Realized
gain/(loss)
463,948
–
(27)
–
463,921
Change
in
unrealized
appreciation/
(depreciation)
(177,403)
–
30
230
(177,143)
Purchases
58,197
–
53
–
58,250
Sales
(1,426,727)
–
(60)
–
(1,426,787)
Balance
as
of
January
31,
2024
$388,034
$–
$5,628
$71,550
$465,212
Net
change
in
unrealized
appreciation/
(depreciation)
on
investments
still
held
as
of
January
31,
2024
$16,068
$–
$30
$230
$16,328
(a)
As
of
the
period
ended
January
31,
2024,
these
securities
were
fair
valued
in
accordance
with
procedures
approved
by
the
valuation
designee.
These
investments
did
not
have
a
material
impact
on
the
Fund’s
net
assets;
therefore,
disclosure
of
significant
unobservable
inputs
used
in
formulating
valuations
is
not
presented.
(b)
These
securities
were
valued
based
on
a
single
quotation
obtained
from
a
dealer.
The
Fund
does
not
have
access
to
unobservable
inputs
and
therefore
cannot
disclose
such
inputs
used
in
formulating
such
quotation.
(c)
The
reconciliation
between
beginning
and
ending
balances
of
investments
in
which
significant
unobservable
inputs
(Level
3)
were
used
is
not
presented
as
all
values
are
zero.
The
following
is
a
summary,
categorized
by
Level
(See
Notes
to
Consolidated
Schedule
of
Investments)
,
of
inputs
used
to
value
the
Fund's
short
investments
as
of
January
31,
2024
:
Liability
Valuation
Inputs
Level
1
Level
2
Level
3
Total
Investments:
Common
Stocks
Sold
Short
(a)
$
(4,428,402)
$
—
$
—
$
(4,428,402)
Total
Short
Positions
$(4,428,402)
$—
$—
$(4,428,402)
(a)
The
Consolidated
Schedule
of
Investments
provides
information
on
the
industry
or
sector
categorization
as
well
as
a
Positions
by
Country
summary.
Consolidated
Schedule
of
Investments
Absolute
Return
Multi-Manager
Fund^
(Unaudited)
(cont’d)
20
See
Notes
to
Consolidated
Schedule
of
Investments
^
A
balance
indicated
with
a
“—”,
reflects
either
a
zero
balance
or
an
amount
that
rounds
to
less
than
1.
The
following
is
a
summary,
categorized
by
level
(See
Notes
to
Consolidated
Schedule
of
Investments),
of
inputs
used
to
value
the
Fund's
derivatives
as
of
January
31,
2024:
Other
Financial
Instruments
Level
1
Level
2
Level
3
*
Total
Futures
(a)
Assets
$
458,296
$
—
$
—
$
458,296
Liabilities
(207,249)
—
—
(207,249)
Forward
contracts
(a)
Assets
—
574,100
—
574,100
Liabilities
—
(761,636)
—
(761,636)
Swaps
Assets
—
1,159,393
—
1,159,393
Liabilities
—
(1,270,277)
—
(1,270,277)
Total
$
251,047
$
(298,420)
$
—
$
(47,373)
(a)
Futures
and
forward
contracts
are
reported
at
the
cumulative
unrealized
appreciation/(depreciation)
of
the
instruments.
*
The
following
is
a
reconciliation
between
the
beginning
and
ending
balances
of
investments
in
which
significant
unobservable
inputs
(Level
3)
were
used
in
determining
value:
Options
Written
(a)
Other
Financial
Instruments:
Beginning
Balance
as
of
November
1,
2023
$–
Transfers
into
Level
3
–
Transfers
out
of
Level
3
–
Accrued
discounts/(premiums)
–
Realized
gain/(loss)
182
Change
in
unrealized
appreciation/(depreciation)
(182)
Purchases
–
Sales
–
Balance
as
of
January
31,
2024
$–
Net
change
in
unrealized
appreciation/(depreciation)
on
investments
still
held
as
of
January
31,
2024
$–
(a)
The
reconciliation
between
beginning
and
ending
balances
of
investments
in
which
unobservable
inputs
(Level
3)
were
used
is
not
presented
as
all
values
are
zero.
Notes
to
Consolidated
Schedule
of
Investments
Absolute
Return
Multi-Manager
Fund
(Unaudited)
21
January
31,
2024
For
information
on
the
Fund’s
signifcant
accounting
policies,
please
refer
to
the
Fund’s
most
recent
shareholder
reports.
In
accordance
with
ASC
820
“Fair
Value
Measurement”
(“ASC
820”),
all
investments
held
by
Neuberger
Berman
Absolute
Return
Multi-Manager
Fund
(the
“Fund”)
are
carried
at
the
value
that
Neuberger
Berman
Investment
Advisers
LLC
(“Management”)
believes
the
Fund
would
receive
upon
selling
an
investment
in
an
orderly
transaction
to
an
independent
buyer
in
the
principal
or
most
advantageous
market
for
the
investment
under
current
market
conditions.
Various
inputs,
including
the
volume
and
level
of
activity
for
the
asset
or
liability
in
the
market,
are
considered
in
valuing
the
Fund’s
investments,
some
of
which
are
discussed
below.
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
the
Fund’s
own
assumptions
in
determining
the
fair
value
of
investments)
The
inputs
or
methodology
used
for
valuing
an
investment
are
not
necessarily
an
indication
of
the
risk
associated
with
investing
in
those
securities.
The
value
of
the
Fund’s
investments
(long
and
short
positions)
in
equity
securities,
preferred
stocks,
rights
and
warrants
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
Fund’s
investments
for
long
positions
in
debt
securities
is
determined
by
Management
primarily
by
obtaining
valuations
from
independent
pricing
services
based
on
bid
quotations,
or
if
quotations
are
not
available,
by
methods that
include
various
considerations
based
on
security
type
(generally
Level
2
inputs).
In
addition
to
the
consideration
of
yields
or
prices
of
securities
of
comparable
quality,
coupon,
maturity
and
type,
indications
as
to
values
from
dealers,
and
general
market
conditions,
the
following
is
a
description
of
other
Level
2
inputs
and
related
valuation
techniques
used
by
independent
pricing
services
to
value
certain
types
of
debt
securities
held
by
the
Fund:
Corporate
Bonds
.
Inputs
used
to
value
corporate
debt
securities
generally
include
relevant
credit
information,
observed
market
movements,
sector
news,
U.S.
Treasury
yield
curve
or
relevant
benchmark
curve
and
other
market
information,
which
may
include
benchmark
yield
curves,
reported
trades,
broker-dealer
quotes,
issuer
spreads,
comparable
securities,
and
reference
data,
such
as
market
research
publications,
when
available
(“Other
Market
Information”).
High
Yield
Securities.
Inputs
used
to
value
high
yield
securities
generally
include
a
number
of
observations
of
equity
and
credit
default
swap
curves
related
to
the
issuer
and
Other
Market
Information.
22
For
information
on
the
Fund’s
signifcant
accounting
policies,
please
refer
to
the
Fund’s
most
recent
shareholder
reports.
The
value
of
insurance
linked
securities
is
determined
by
Management
primarily
by
obtaining
valuations
from
independent
third-party
pricing
services
based
on
bid
quotations
(Level
2
or
3
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
forward
foreign
currency
contracts
is
determined
by
Management
by
obtaining
valuations
from
independent
pricing
services
based
on
actual
traded
currency
rates
on
independent
pricing
services’
networks,
along
with
other
traded
and
quoted
currency
rates
provided
to
the
pricing
services
by
leading
market
participants
(Level
2
inputs).
The
value
of
equity
swaps
is
determined
by
Management
by
obtaining
valuations
from
independent
pricing
services
using
the
underlying
asset
and
stated
benchmark
interest
rate
(Level
2
inputs).
Management
has
developed
a
process
to
periodically
review
information
provided
by
independent
pricing
services
for
all
types
of
securities.
Investments
in
non-exchange
traded
investment
companies
are
valued
using
the
respective
fund’s
daily
calculated
net
asset
value
(“NAV”)
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
the
Fund
might
reasonably
expect
to
receive
on
a
current
sale
in
an
orderly
transaction,
Management
seeks
to
obtain
quotations
from
brokers
or
dealers
(generally
considered
Level
2
or
Level
3
inputs
depending
on
the
number
of
quotes
available).
If
such
quotations
are
not
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
1940
Act,
the
Board
designated
Management
as
the
Fund’s
valuation
designee.
As
the
Fund’s
valuation
designee,
Management
is
responsible
for
determining
fair
value
in
good
faith
for
all
Fund
investments.
Inputs
and
assumptions
considered
in
determining
fair
value
of
a
security
based
on
Level
2
or
Level
3
inputs
may
include,
but
are
not
limited
to,
the
type
of
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
or
pricing
services;
information
obtained
from
the
issuer
and
analysts;
an
analysis
of
the
company’s
or
issuer’s
financial
statements;
an
evaluation
of
the
inputs
that
influence
the
issuer
and
the
market(s)
in
which
the
security
is
purchased
and
sold.
The
value
of
the
Fund’s
investments
in
foreign
securities
is
generally
determined
using
the
same
valuation
methods
and
inputs
as
other
Fund
investments,
as
discussed
above.
Foreign
security
prices
expressed
in
local
currency
values
are
normally
translated
from
the
local
currency
into
U.S.
dollars
using
the
exchange
rates
as
of
4:00
p.m.
Eastern
Time
on
days
the
New
York
Stock
Exchange
(“NYSE”)
is
open
for
business.
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
the
Fund
could
expect
to
receive
for
those
securities
or
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
at which
the
Fund’s
share
price
is
calculated.
ICE
utilizes
benchmark
spread
and
yield
curves
and
evaluates
available
market
activity
from
the
local
close
to
the
time
as
of
which
the
Fund’s
share
price
is
calculated
(Level
2
inputs)
to
assist
in
determining
prices
for
certain
foreign
debt
securities.
In
the
case
of
both
foreign
equity
and
foreign
debt
securities,
in
the
absence
of
precise
information
about
the
market
values
of
these
foreign
securities
as
of
the
time at
which
the
Fund’s
share
price
is
calculated,
Management
has
determined based
on available
data
that
prices
adjusted
or
evaluated
in
this
way
are
likely
to
be
closer
to
the
prices
the
Fund
could
realize
on
a
current
sale
than
the
23
For
information
on
the
Fund’s
signifcant
accounting
policies,
please
refer
to
the
Fund’s
most
recent
shareholder
reports.
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
traded.
The
Fund
invests
in
commodity-related
instruments
through
Neuberger
Berman
Cayman
ARMM
Fund
I
Ltd.
(the
“Subsidiary”),
which
is
organized
under
the
laws
of
the
Cayman
Islands.
The
Fund
is
and
expects
to
remain
the
sole
shareholder
of
the
Subsidiary.
The
Subsidiary
is
governed
by
its
own
Board
of
Directors.
As
of
January
31,
2024,
the
Fund's
investment
in
the
Subsidiary
was
$19,333,760,
which
represents
18.3%
of
the
Fund’s
net
assets.