Consolidated Schedule of Investments Long Short Fund^ (Unaudited) January 31, 2024
Number of Shares | Value | |
Long Positions 96.0% | ||
Common Stocks 81.3% | ||
Aerospace & Defense 1.0% | ||
245,678 | Airbus SE | $39,133,027 |
61,643 | Boeing Co. | 13,009,139 * |
75,000 | L3Harris Technologies, Inc. | 15,631,500 |
67,773,666 | ||
Banks 1.5% | ||
577,708 | JPMorgan Chase & Co. | 100,728,994 |
Beverages 1.8% | ||
3,730,140 | Keurig Dr Pepper, Inc. | 117,275,602 |
Biotechnology 0.6% | ||
233,927 | AbbVie, Inc. | 38,457,589 |
Broadline Retail 3.2% | ||
1,375,233 | Amazon.com, Inc. | 213,436,162 * |
Capital Markets 3.6% | ||
1,466,976 | Brookfield Corp. Class A | 58,209,608 |
437,353 | CME Group, Inc. | 90,024,741 |
196,281 | S&P Global, Inc. | 88,002,586 |
236,236,935 | ||
Chemicals 0.5% | ||
327,560 | Ashland, Inc. | 30,666,167 |
Commercial Services 0.5% | ||
2,041,517 | Celebration Bidco Holdings LLC | 30,622,755 *(a)(b) |
Commercial Services & Supplies 1.0% | ||
360,817 | Waste Management, Inc. | 66,978,460 |
Consumer Staples Distribution & Retail 2.8% | ||
38,154 | Costco Wholesale Corp. | 26,512,451 |
736,366 | Dollar Tree, Inc. | 96,184,127 * |
390,380 | Walmart, Inc. | 64,510,295 |
187,206,873 | ||
Containers & Packaging 0.9% | ||
281,092 | Avery Dennison Corp. | 56,063,799 |
Diversified Consumer Services 0.2% | ||
1,090,006 | European Wax Center, Inc. Class A | 16,175,689 * |
Electric Utilities 2.5% | ||
1,529,413 | FirstEnergy Corp. | 56,098,869 |
1,874,795 | NextEra Energy, Inc. | 109,919,231 |
166,018,100 | ||
Electrical Equipment 0.8% | ||
905,549 | nVent Electric PLC | 54,369,162 |
Number of Shares | Value | |
Electronic Equipment, Instruments & Components 1.9% | ||
410,733 | Amphenol Corp. Class A | $41,525,106 |
204,159 | CDW Corp. | 46,286,929 |
278,570 | TE Connectivity Ltd. | 39,609,868 |
127,421,903 | ||
Entertainment 1.2% | ||
140,481 | Netflix, Inc. | 79,246,737 * |
Financial Services 3.0% | ||
207,084 | MasterCard, Inc. Class A | 93,028,345 |
1,866,780 | Repay Holdings Corp. | 14,635,555 * |
333,561 | Visa, Inc. Class A | 91,148,879 |
198,812,779 | ||
Food Products 1.0% | ||
192,398 | Lamb Weston Holdings, Inc. | 19,709,251 |
586,967 | Mondelez International, Inc. Class A | 44,181,006 |
63,890,257 | ||
Ground Transportation 2.6% | ||
142,479 | Canadian Pacific Kansas City Ltd. | 11,465,285 |
501,316 | Uber Technologies, Inc. | 32,720,896 * |
510,426 | Union Pacific Corp. | 124,508,214 |
168,694,395 | ||
Health Care Equipment & Supplies 0.9% | ||
912,378 | Boston Scientific Corp. | 57,717,032 * |
Health Care Providers & Services 2.0% | ||
45,833 | Humana, Inc. | 17,327,624 |
217,563 | UnitedHealth Group, Inc. | 111,335,690 |
128,663,314 | ||
Hotels, Restaurants & Leisure 3.2% | ||
493,755 | First Watch Restaurant Group, Inc. | 10,595,982 * |
91,869 | Marriott International, Inc. Class A | 22,023,755 |
524,845 | McDonald's Corp. | 153,632,629 |
2,333,050 | Sweetgreen, Inc. Class A | 24,916,974 * |
211,169,340 | ||
Household Products 0.5% | ||
207,314 | Procter & Gamble Co. | 32,577,322 |
Insurance 1.3% | ||
473,786 | Progressive Corp. | 84,452,354 |
Interactive Media & Services 6.5% | ||
1,154,478 | Alphabet, Inc. Class A | 161,742,368 * |
2,708,386 | Match Group, Inc. | 103,947,855 * |
412,683 | Meta Platforms, Inc. Class A | 161,004,145 * |
426,694,368 |
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Number of Shares | Value | |
IT Services 0.6% | ||
511,562 | Okta, Inc. | $42,280,599 * |
Life Sciences Tools & Services 1.1% | ||
115,480 | Illumina, Inc. | 16,514,795 * |
100,846 | Thermo Fisher Scientific, Inc. | 54,353,977 |
70,868,772 | ||
Media 0.5% | ||
2,311,288 | Paramount Global Class B | 33,721,692 |
Multi-Utilities 2.2% | ||
2,413,791 | CenterPoint Energy, Inc. | 67,441,321 |
941,853 | WEC Energy Group, Inc. | 76,064,048 |
143,505,369 | ||
Oil, Gas & Consumable Fuels 1.2% | ||
530,710 | Chevron Corp. | 78,242,575 |
Personal Care Products 0.5% | ||
1,370,563 | Kenvue, Inc. | 28,452,888 |
190,037 | Oddity Tech Ltd. Class A | 7,848,528 *(c) |
36,301,416 | ||
Pharmaceuticals 0.6% | ||
253,833 | Johnson & Johnson | 40,334,064 |
Professional Services 3.2% | ||
392,185 | Equifax, Inc. | 95,826,483 |
476,179 | Jacobs Solutions, Inc. | 64,174,644 |
2,519,710 | Paycor HCM, Inc. | 48,957,965 * |
208,959,092 | ||
Semiconductors & Semiconductor Equipment 2.6% | ||
76,900 | Advanced Micro Devices, Inc. | 12,895,361 * |
289,110 | Analog Devices, Inc. | 55,613,200 |
44,409 | ASML Holding NV | 38,627,836 |
104,053 | NVIDIA Corp. | 64,020,689 |
171,157,086 | ||
Software 13.3% | ||
198,288 | Adobe, Inc. | 122,498,361 * |
359,091 | Arctic Wolf Networks, Inc. | 3,841,807 *#(a)(b) |
91,770 | Atlassian Corp. Class A | 22,921,393 * |
179,381 | Grammarly, Inc. Class A | 3,217,360 *#(a)(b) |
111,775 | Intuit, Inc. | 70,566,911 |
41,693 | Klaviyo, Inc. Class A | 1,077,764 * |
690,304 | Microsoft Corp. | 274,451,064 |
615,614 | Salesforce, Inc. | 173,042,939 * |
71,994 | ServiceNow, Inc. | 55,104,208 * |
247,022 | Splunk, Inc. | 37,885,764 * |
63,967 | Synopsys, Inc. | 34,116,799 * |
272,376 | Workday, Inc. Class A | 79,280,482 * |
878,004,852 |
Number of Shares | Value | |
Specialized REITs 1.4% | ||
60,566 | Equinix, Inc. | $50,255,850 |
187,930 | SBA Communications Corp. | 42,070,010 |
92,325,860 | ||
Specialty Retail 6.4% | ||
213,963 | Asbury Automotive Group, Inc. | 44,731,105 * |
2,716,101 | Chewy, Inc. Class A | 48,400,920 * |
2,026,590 | Fanatics Holdings, Inc. Class A | 160,728,853 *#(a)(b) |
92,752 | Home Depot, Inc. | 32,737,746 |
1,393,439 | TJX Cos., Inc. | 132,251,295 |
418,849,919 | ||
Technology Hardware, Storage & Peripherals 2.3% | ||
805,422 | Apple, Inc. | 148,519,817 |
Textiles, Apparel & Luxury Goods 0.4% | ||
275,403 | NIKE, Inc. Class B | 27,961,667 |
Total Common Stocks (Cost $3,707,538,579) | 5,352,382,534 | |
Preferred Stocks 0.8% | ||
Entertainment 0.1% | ||
39,203 | A24 Films LLC | 4,611,449 *#(a)(b)(d) |
Internet 0.4% | ||
23,000 | Fabletics LLC Series G | 25,904,900 *#(a)(b) |
82,110 | Savage X, Inc. Series C | 3,757,354 *#(a)(b) |
29,662,254 | ||
IT Services 0.2% | ||
959,038 | Cybereason, Inc. Series F | 441,157 *#(a)(b) |
658,071 | Druva, Inc. Series 4 | 5,580,442 *#(a)(b) |
480,112 | Druva, Inc. Series 5 | 4,599,473 *#(a)(b) |
10,621,072 | ||
Software 0.1% | ||
55,626 | Grammarly, Inc. Series 3 | 1,623,454 *#(a)(b) |
180,619 | Signifyd, Inc. Series Seed | 1,405,216 *#(a)(b) |
78,686 | Signifyd, Inc. Series A | 613,751 *#(a)(b) |
325,371 | Videoamp, Inc. Series F1 | 5,134,354 *#(a)(b) |
8,776,775 | ||
Total Preferred Stocks (Cost $58,686,273) | 53,671,550 |
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Number of Units | Value | |
Master Limited Partnerships and Limited Partnerships 2.5% | ||
Multi-Utilities 1.0% | ||
2,027,754 | Brookfield Infrastructure Partners LP | $63,651,198 |
Oil, Gas & Consumable Fuels 1.5% | ||
3,825,906 | Enterprise Products Partners LP | 102,381,245 |
Total Master Limited Partnerships and Limited Partnerships (Cost $134,587,333) | 166,032,443 |
Principal Amount | Value | |
Corporate Bonds 2.5% | ||
Beverages 0.1% | ||
$11,355,000 | PepsiCo, Inc., 2.75%, due 10/21/2051 | $7,757,511 |
Computers 0.2% | ||
19,030,000 | Apple, Inc., 2.85%, due 8/5/2061 | 12,823,054 |
Diversified Financial Services 0.0%(e) | ||
2,838,000 | Mastercard, Inc., 2.95%, due 3/15/2051 | 2,052,480 |
Electric 0.1% | ||
11,350,000 | Florida Power & Light Co., 2.88%, due 12/4/2051 | 7,687,647 |
Healthcare - Services 0.2% | ||
UnitedHealth Group, Inc. | ||
4,775,000 | 5.05%, due 4/15/2053 | 4,745,189 |
12,337,000 | 3.13%, due 5/15/2060 | 8,537,977 |
13,283,166 | ||
Internet 0.8% | ||
9,527,000 | Alphabet, Inc., 2.25%, due 8/15/2060 | 5,696,615 |
15,187,000 | Amazon.com, Inc., 3.25%, due 5/12/2061 | 10,947,463 |
Meta Platforms, Inc. | ||
6,693,000 | 5.60%, due 5/15/2053 | 7,142,771 |
18,990,000 | 4.65%, due 8/15/2062 | 17,409,342 |
478,000 | 5.75%, due 5/15/2063 | 518,407 |
9,590,000 | Uber Technologies, Inc., 8.00%, due 11/1/2026 | 9,764,692 (f) |
51,479,290 | ||
Machinery - Diversified 0.0%(e) | ||
2,850,000 | nVent Finance SARL, 4.55%, due 4/15/2028 | 2,779,056 (g) |
Miscellaneous Manufacturer 0.0%(e) | ||
19,239,321 | Anagram Holdings LLC/Anagram International, Inc., 5.00% Cash & 5.00% PIK, due 8/15/2026 | 0 #(a)(b)(h)(i) |
Office - Business Equipment 0.1% | ||
5,700,000 | CDW LLC/CDW Finance Corp., 2.67%, due 12/1/2026 | 5,330,434 |
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Principal Amount | Value | |
Pharmaceuticals 0.2% | ||
$20,880,000 | Johnson & Johnson, 2.45%, due 9/1/2060 | $12,730,810 |
Real Estate Investment Trusts 0.0%(e) | ||
2,850,000 | SBA Communications Corp., 3.88%, due 2/15/2027 | 2,719,815 |
Retail 0.3% | ||
Walmart, Inc. | ||
20,880,000 | 2.65%, due 9/22/2051 | 14,206,470 |
4,770,000 | 4.50%, due 4/15/2053 | 4,529,710 |
18,736,180 | ||
Software 0.5% | ||
Microsoft Corp. | ||
20,890,000 | 2.50%, due 9/15/2050 | 13,792,053 (f) |
11,392,000 | 2.68%, due 6/1/2060 | 7,504,967 |
Oracle Corp. | ||
1,950,000 | 6.90%, due 11/9/2052 | 2,289,921 |
9,467,000 | 3.85%, due 4/1/2060 | 6,873,019 |
30,459,960 | ||
Total Corporate Bonds (Cost $176,404,184) | 167,839,403 | |
Loan Assignments(j) 0.3% | ||
Equipment Leasing 0.2% | ||
10,250,147 | Celebration Bidco LLC, Term Loan, (3 mo. USD Term SOFR + 8.00%), 8.00%, due 12/28/2030 | 10,250,147 (a)(b) |
Miscellaneous Manufacturer 0.1% | ||
Anagram Holdings LLC | ||
2,152,051 | Term Loan A, (1 mo. USD Term SOFR + 13.00%), 18.34%, due 5/13/2024 | 1,915,325 #(a)(b) |
2,582,461 | Term Loan B, (1 mo. USD Term SOFR + 13.00%), 18.34%, due 5/13/2024 | 2,582,461 #(a)(b) |
4,734,512 | Anagram International, Inc., Super Senior DIP Facility, 13.00%, due 5/8/2024 | 4,199,566 #(a)(b)(k)(l) |
8,697,352 | ||
Total Loan Assignments (Cost $19,403,459) | 18,947,499 | |
Convertible Bonds 0.3% | ||
Software 0.3% | ||
19,850 | Arctic Wolf Networks, Inc., 0.00%, due 9/29/2027 (Cost $19,850,000) | 20,514,975 #(a)(b) |
Number of Shares | ||
Warrants 0.1% | ||
Diversified Consumer Services 0.1% | ||
653,334 | OneSpaWorld Holdings Ltd.Expires 6/12/2025 (Cost $0) | $5,213,606 *#(a)(b) |
Total Purchased Option Contracts 0.0%(e) (Cost $918,192) | 911,183 | |
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Number of Shares | Value | |
Short-Term Investments 8.2% | ||
Investment Companies 8.2% | ||
529,338,344 | State Street Institutional U.S. Government Money Market Fund Premier Class, 5.30%(m) | $529,338,344 |
8,053,544 | State Street Navigator Securities Lending Government Money Market Portfolio, 5.35%(m) | 8,053,544 (n) |
Total Short-Term Investments (Cost $537,391,888) | 537,391,888 | |
Total Long Positions (96.0%) (Cost $4,654,779,908) | 6,322,905,081 |
Number of Shares | Value | |
Short Positions ((15.1)%) | ||
Common Stocks Sold Short (14.5)% | ||
Air Freight & Logistics (0.1)% | ||
(76,587 ) | Expeditors International of Washington, Inc. | $(9,675,236 ) |
Automobiles (0.3)% | ||
(96,429 ) | Tesla, Inc. | (18,060,187 )* |
Broadline Retail (0.1)% | ||
(122,934 ) | Etsy, Inc. | (8,182,487 )* |
Capital Markets (0.9)% | ||
(364,696 ) | Moelis & Co. | (20,047,339 ) |
(357,052 ) | T Rowe Price Group, Inc. | (38,722,290 ) |
(58,769,629 ) | ||
Commercial Services & Supplies (0.1)% | ||
(707,496 ) | Steelcase, Inc. | (8,971,049 ) |
Consumer Finance (0.4)% | ||
(34,746 ) | Credit Acceptance Corp. | (18,800,018 )* |
(46,853 ) | World Acceptance Corp. | (6,152,268 )* |
(24,952,286 ) | ||
Consumer Staples Distribution & Retail (1.2)% | ||
(217,821 ) | BJ's Wholesale Club Holdings, Inc. | (14,014,603 )* |
(252,010 ) | Dollar General Corp. | (33,282,961 ) |
(387,811 ) | Grocery Outlet Holding Corp. | (9,609,957 )* |
(283,208 ) | Kroger Co. | (13,067,217 ) |
(139,261 ) | Sprouts Farmers Market, Inc. | (7,014,576 )* |
(76,989,314 ) | ||
Electric Utilities (0.4)% | ||
(532,628 ) | Exelon Corp. | (18,540,781 ) |
(151,162 ) | Southern Co. | (10,508,782 ) |
(29,049,563 ) |
Number of Shares | Value | |
Electrical Equipment (0.3)% | ||
(53,628 ) | Eaton Corp. PLC | $(13,196,778 ) |
(229,380 ) | Sunrun, Inc. | (3,321,423 )* |
(16,518,201 ) | ||
Entertainment (0.4)% | ||
(302,879 ) | ROBLOX Corp. | (11,754,734 )* |
(1,717,722 ) | Warner Bros Discovery, Inc. | (17,211,574 )* |
(28,966,308 ) | ||
Financial Services (0.3)% | ||
(8,191 ) | Adyen NV | (10,273,043 )*(f) |
(148,317 ) | PayPal Holdings, Inc. | (9,099,248 )* |
(19,372,291 ) | ||
Food Products (0.9)% | ||
(158,134 ) | Campbell Soup Co. | (7,057,520 ) |
(527,104 ) | Conagra Brands, Inc. | (15,365,082 ) |
(6,862 ) | J & J Snack Foods Corp. | (1,092,636 ) |
(201,224 ) | J M Smucker Co. | (26,471,017 ) |
(114,491 ) | McCormick & Co., Inc. | (7,803,707 ) |
(57,789,962 ) | ||
Ground Transportation (0.1)% | ||
(35,793 ) | Landstar System, Inc. | (6,862,234 ) |
Health Care Providers & Services (0.4)% | ||
(398,455 ) | agilon health, Inc. | (2,346,900 )* |
(132,092 ) | Centene Corp. | (9,947,849 )* |
(111,672 ) | DaVita, Inc. | (12,078,443 )* |
(24,373,192 ) | ||
Hotels, Restaurants & Leisure (0.7)% | ||
(165,088 ) | Cava Group, Inc. | (7,726,118 )* |
(105,442 ) | Darden Restaurants, Inc. | (17,142,760 ) |
(281,302 ) | Planet Fitness, Inc. | (19,061,024 )* |
(43,929,902 ) | ||
Independent Power and Renewable Electricity Producers (0.2)% | ||
(450,058 ) | Clearway Energy, Inc. | (10,909,406 ) |
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Number of Shares | Value | |
Insurance (0.4)% | ||
(174,798 ) | Lemonade, Inc. | $(2,765,304 )* |
(25,807 ) | RenaissanceRe Holdings Ltd. | (5,905,416 ) |
(373,063 ) | Ryan Specialty Holdings, Inc. | (16,161,089 )* |
(24,831,809 ) | ||
Interactive Media & Services (0.4)% | ||
(2,092,189 ) | fuboTV, Inc. | (5,209,550 )* |
(453,773 ) | Shutterstock, Inc. | (21,313,718 ) |
(26,523,268 ) | ||
IT Services (0.2)% | ||
(76,157 ) | International Business Machines Corp. | (13,986,995 ) |
Life Sciences Tools & Services (0.2)% | ||
(34,713 ) | Agilent Technologies, Inc. | (4,516,161 ) |
(3,616 ) | Mettler-Toledo International, Inc. | (4,329,039 )* |
(14,705 ) | Waters Corp. | (4,671,926 )* |
(13,517,126 ) | ||
Machinery (0.7)% | ||
(79,627 ) | Graco, Inc. | (6,792,183 ) |
(79,389 ) | Illinois Tool Works, Inc. | (20,712,590 ) |
(89,540 ) | Ingersoll Rand, Inc. | (7,150,665 ) |
(84,550 ) | ITT, Inc. | (10,211,949 ) |
(40,231 ) | Timken Co. | (3,295,321 ) |
(48,162,708 ) | ||
Media (0.9)% | ||
(506,067 ) | Interpublic Group of Cos., Inc. | (16,695,150 ) |
(232,180 ) | Omnicom Group, Inc. | (20,984,428 ) |
(362,764 ) | Trade Desk, Inc. | (24,823,941 )* |
(62,503,519 ) | ||
Passenger Airlines (0.0)%(e) | ||
(584,577 ) | Joby Aviation, Inc. | (3,191,790 )* |
Personal Care Products (0.3)% | ||
(127,753 ) | Estee Lauder Cos., Inc. | (16,862,119 ) |
Number of Shares | Value | |
Professional Services (0.4)% | ||
(70,080 ) | Paycom Software, Inc. | $(13,332,019 ) |
(153,261 ) | Robert Half, Inc. | (12,190,380 ) |
(25,522,399 ) | ||
Real Estate Management & Development (0.4)% | ||
(4,545,911 ) | Opendoor Technologies, Inc. | (15,547,015 )* |
(1,071,204 ) | Redfin Corp. | (8,741,025 )* |
(24,288,040 ) | ||
Semiconductors & Semiconductor Equipment (0.3)% | ||
(174,572 ) | ARM Holdings PLC | (12,337,003 )* |
(64,005 ) | Texas Instruments, Inc. | (10,248,481 ) |
(22,585,484 ) | ||
Software (1.1)% | ||
(29,990 ) | HubSpot, Inc. | (18,323,890 )* |
(1,842,209 ) | Palantir Technologies, Inc. | (29,641,143 )* |
(778,470 ) | Samsara, Inc. | (24,443,958 )* |
(72,408,991 ) | ||
Specialized REITs (0.7)% | ||
(155,411 ) | Iron Mountain, Inc. | (10,493,351 ) |
(337,993 ) | Lamar Advertising Co. | (35,381,107 ) |
(45,874,458 ) | ||
Specialty Retail (1.7)% | ||
(239,913 ) | Best Buy Co., Inc. | (17,391,293 ) |
(332,734 ) | CarMax, Inc. | (23,684,006 )* |
(345,355 ) | Floor & Decor Holdings, Inc. | (34,728,899 )* |
(224,441 ) | Foot Locker, Inc. | (6,320,259 ) |
(418,229 ) | Sonic Automotive, Inc. | (21,145,658 ) |
(172,953 ) | Upbound Group, Inc. | (5,742,040 ) |
(109,012,155 ) | ||
Total Common Stocks Sold Short (Proceeds $(893,992,645)) | (952,642,108 ) |
Principal Amount | ||
Corporate Bonds Sold Short (0.6)% | ||
Diversified Financial Services (0.1)% | ||
$(5,000,000 ) | Radian Group, Inc., 4.88%, due 3/15/2027 | $(4,871,709 ) |
(5,000,000 ) | Rocket Mortgage LLC/Rocket Mortgage Co.-Issuer, Inc., 3.63%, due 3/1/2029 | (4,453,486 )(f) |
(9,325,195 ) |
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Principal Amount | Value | |
Insurance (0.0)%(e) | ||
$(2,650,000 ) | Hartford Financial Services Group, Inc., 3 mo. USD Term SOFR + 2.39%, 7.77%, due 2/12/2047 | $(2,297,963 )(f)(j) |
Lodging (0.1)% | ||
(7,000,000 ) | Boyd Gaming Corp., 4.75%, due 12/1/2027 | (6,788,250 ) |
Media (0.1)% | ||
(4,000,000 ) | iHeartCommunications, Inc., 8.38%, due 5/1/2027 | (2,487,823 ) |
(5,000,000 ) | Sirius XM Radio, Inc., 4.00%, due 7/15/2028 | (4,547,891 )(f) |
(7,035,714 ) | ||
Office Furnishings (0.1)% | ||
(7,000,000 ) | Steelcase, Inc., 5.13%, due 1/18/2029 | (6,723,710 ) |
Pipelines (0.1)% | ||
(8,170,000 ) | TransCanada PipeLines Ltd., (3 mo. USD LIBOR + 2.21%), 7.85%, due 5/15/2067 | (6,907,846 )(j) |
Retail (0.1)% | ||
(5,000,000 ) | Macy's Retail Holdings LLC, 5.88%, due 4/1/2029 | (4,859,050 )(f) |
Total Corporate Bonds Sold Short (Proceeds $(45,762,900)) | (43,937,728 ) | |
Total Short Positions (Proceeds $(939,755,545)) | (996,579,836 ) | |
Total Investments 80.9% (Cost $3,715,024,363) | 5,326,325,245 | |
Other Assets Less Liabilities 19.1% | 1,257,740,993 (o) | |
Net Assets 100.0% | $6,584,066,238 |
* | Non-income producing security. |
(a) | Value determined using significant unobservable inputs. |
(b) | 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 $296,758,405, which represents 4.5% of net assets of the Fund. |
(c) | All or a portion of this security is on loan at January 31, 2024. Total value of all such securities at January 31, 2024 amounted to $7,780,383 for the Fund. |
(d) | Security represented in Units. |
(e) | Represents less than 0.05% of net assets of the Fund. |
(f) | 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 $23,556,745 of long positions and $(26,431,432) of short positions, which represents 0.4% and (0.4)%, respectively, of net assets of the Fund. |
(g) | Step Bond. Coupon rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown was the current rate as of January 31, 2024. |
(h) | Defaulted security. |
(i) | Payment-in-kind (PIK) security. |
(j) | Variable or floating rate security. The interest rate shown was the current rate as of January 31, 2024 and changes periodically. |
(k) | All or a portion of this security was purchased on a delayed delivery basis. |
(l) | All or a portion of this security had not settled as of January 31, 2024 and thus may not have an interest rate in effect. Interest rates do not take effect until settlement. |
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
(m) | Represents 7-day effective yield as of January 31, 2024. |
(n) | Represents investment of cash collateral received from securities lending. |
(o) | Includes the impact of the Fund’s open positions in derivatives at January 31, 2024. |
# This security is subject to restrictions on resale. Total value of all such securities at January 31, 2024 amounted to $255,885,503, which represents 3.9% 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 1/31/2024 | Fair Value Percentage of Net Assets as of 1/31/2024 |
A24 Films LLC (Preferred Units) | 2/25/2022 | $4,463,654 | $4,611,449 | 0.1% |
Anagram Holdings LLC | 11/8/2023 | 2,015,023 | 1,915,325 | 0.0% |
Anagram Holdings LLC | 11/8/2023 | 2,582,461 | 2,582,461 | 0.0% |
Anagram Holdings LLC/Anagram International, Inc. | 7/30/2020 | 11,170,595 | — | 0.0% |
Anagram International, Inc. | 11/8/2023 | 4,555,828 | 4,199,566 | 0.1% |
Arctic Wolf Networks, Inc. | 12/31/2021 | 3,950,001 | 3,841,807 | 0.1% |
Arctic Wolf Networks, Inc. (Convertible Bonds) | 9/30/2022 | 19,850,000 | 20,514,975 | 0.3% |
Cybereason, Inc. (Series 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 | 5,580,442 | 0.1% |
Druva, Inc. (Series 5 Preferred Shares) | 4/1/2021 | 4,500,000 | 4,599,473 | 0.1% |
Fabletics LLC (Series G Preferred Shares) | 1/10/2022 | 23,000,000 | 25,904,900 | 0.4% |
Fanatics Holdings, Inc. Class A | 8/13/2020-4/29/2021 | 35,957,294 | 160,728,853 | 2.4% |
Grammarly, Inc. (Series 3 Preferred Shares) | 12/23/2021-1/24/2022 | 1,458,063 | 1,623,454 | 0.0% |
Grammarly, Inc. Class A | 12/23/2021-1/24/2022 | 4,701,917 | 3,217,360 | 0.0% |
OneSpaWorld Holdings Ltd. | 6/12/2020 | — | 5,213,606 | 0.1% |
Savage X, Inc. (Series C Preferred Shares) | 11/30/2021 | 3,949,983 | 3,757,354 | 0.1% |
Signifyd, Inc. (Series A Preferred Shares) | 5/24/2021 | 2,427,463 | 613,751 | 0.0% |
Signifyd, Inc. (Series Seed Preferred Shares) | 5/24/2021 | 5,572,107 | 1,405,216 | 0.0% |
Videoamp, Inc. (Series F1 Preferred Shares) | 1/4/2022 | 5,135,005 | 5,134,354 | 0.1% |
Total | $143,469,392 | $255,885,503 | 3.9% |
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Derivative Instruments
Futures contracts ("futures")
At January 31, 2024, open positions in futures for the Fund were as follows:
Short Futures: |
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) |
3/2024 | 1,034 | NASDAQ 100 E-Mini Index | $(356,569,730 ) | $(15,375,697 ) |
3/2024 | 3,846 | S&P 500 E-Mini Index | (936,597,150 ) | (36,074,279 ) |
Total Futures | $(51,449,976 ) |
Total return basket swap contracts ("total return basket swaps")
At January 31, 2024, 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 | 1M/T | 7/19/2025 | $(4,244,867 ) |
JPM | JPNBGCND | 4.67 % | (0.65 )% | OBFR | 1M/T | 11/1/2024 | (7,710,268 ) |
JPM | JPNBLQGS | 5.35 % | 0.03 % | OBFR | 1M/T | 7/19/2024 | (14,073,878 ) |
JPM | JPNBLQGS | 5.35 % | 0.03 % | OBFR | 1M/T | 7/19/2024 | (3,231,741 ) |
JPM | JPNBLQGS | 5.35 % | 0.03 % | OBFR | 1M/T | 7/19/2024 | (3,102,649 ) |
Total | $(32,363,403 ) |
(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 | (24,196 ) | $(24,209,244 ) | $(578,836 ) | 12.9 % |
United Rentals Inc | (5,113 ) | (6,040,718 ) | (144,432 ) | 3.2 % |
Jabil Inc | (24,181 ) | (5,723,592 ) | (136,849 ) | 3.1 % |
Onto Innovation Inc | (18,179 ) | (5,546,651 ) | (132,619 ) | 3.0 % |
EMCOR Group Inc | (12,611 ) | (5,434,605 ) | (129,940 ) | 2.9 % |
WW Grainger Inc | (2,818 ) | (4,768,953 ) | (114,024 ) | 2.6 % |
Signet Jewelers Ltd | (23,277 ) | (4,374,618 ) | (104,596 ) | 2.3 % |
XPO Inc | (26,832 ) | (4,331,093 ) | (103,555 ) | 2.3 % |
Flex Ltd | (88,959 ) | (3,989,819 ) | (95,395 ) | 2.1 % |
Herc Holdings Inc | (13,993 ) | (3,899,131 ) | (93,227 ) | 2.1 % |
Group 1 Automotive Inc | (7,802 ) | (3,833,184 ) | (91,650 ) | 2.1 % |
GMS Inc | (23,094 ) | (3,671,935 ) | (87,795 ) | 2.0 % |
Matson Inc | (16,948 ) | (3,587,150 ) | (85,768 ) | 1.9 % |
A O Smith Corp | (22,737 ) | (3,333,804 ) | (79,710 ) | 1.8 % |
Microchip Technology Inc | (20,648 ) | (3,322,789 ) | (79,447 ) | 1.8 % |
STMicroelectronics NV | (39,382 ) | (3,282,586 ) | (78,486 ) | 1.8 % |
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting |
GSCBOEC1 (cont’d) | ||||
Landstar System Inc | (8,919 ) | $(3,230,361 ) | $(77,237 ) | 1.7 % |
Steven Madden Ltd | (40,461 ) | (3,201,277 ) | (76,542 ) | 1.7 % |
NXP Semiconductors NV | (7,855 ) | (3,124,874 ) | (74,715 ) | 1.7 % |
ON Semiconductor Corp | (22,973 ) | (3,087,096 ) | (73,812 ) | 1.7 % |
Masco Corp | (24,036 ) | (3,055,643 ) | (73,060 ) | 1.6 % |
CSX Corp | (44,639 ) | (3,010,688 ) | (71,985 ) | 1.6 % |
Photronics Inc | (53,922 ) | (2,976,678 ) | (71,172 ) | 1.6 % |
Cummins Inc | (6,564 ) | (2,967,372 ) | (70,949 ) | 1.6 % |
Boyd Gaming Corp | (24,705 ) | (2,963,272 ) | (70,851 ) | 1.6 % |
U-Haul Holding Co | (24,409 ) | (2,945,258 ) | (70,420 ) | 1.6 % |
Knight-Swift Transportation Holdings Inc | (26,680 ) | (2,892,216 ) | (69,152 ) | 1.5 % |
Churchill Downs Inc | (12,535 ) | (2,864,688 ) | (68,494 ) | 1.5 % |
Morgan Stanley | (16,508 ) | (2,720,764 ) | (65,053 ) | 1.5 % |
Popular Inc | (16,850 ) | (2,720,126 ) | (65,037 ) | 1.5 % |
Macy's Inc | (77,556 ) | (2,679,862 ) | (64,075 ) | 1.4 % |
Boot Barn Holdings Inc | (19,592 ) | (2,655,391 ) | (63,490 ) | 1.4 % |
Avis Budget Group Inc | (8,486 ) | (2,624,485 ) | (62,751 ) | 1.4 % |
Bank of America Corp | (39,944 ) | (2,566,509 ) | (61,364 ) | 1.4 % |
Hibbett Inc | (20,101 ) | (2,531,079 ) | (60,517 ) | 1.4 % |
Discover Financial Services | (12,383 ) | (2,468,528 ) | (59,022 ) | 1.3 % |
Texas Instruments Inc | (8,022 ) | (2,426,750 ) | (58,023 ) | 1.3 % |
Korn Ferry | (21,674 ) | (2,402,334 ) | (57,439 ) | 1.3 % |
Ford Motor Co | (108,429 ) | (2,400,815 ) | (57,403 ) | 1.3 % |
Power Integrations Inc | (16,842 ) | (2,385,124 ) | (57,028 ) | 1.3 % |
Werner Enterprises Inc | (31,641 ) | (2,364,162 ) | (56,526 ) | 1.3 % |
Customers Bancorp Inc | (23,398 ) | (2,362,287 ) | (56,482 ) | 1.3 % |
Diodes Inc | (18,475 ) | (2,349,760 ) | (56,182 ) | 1.3 % |
Sonic Automotive Inc | (20,557 ) | (1,963,588 ) | (46,949 ) | 1.1 % |
ABM Industries Inc | (25,351 ) | (1,953,555 ) | (46,709 ) | 1.0 % |
United Parcel Service Inc | (7,057 ) | (1,891,967 ) | (45,236 ) | 1.0 % |
Badger Meter Inc | (6,814 ) | (1,853,703 ) | (44,322 ) | 1.0 % |
FormFactor Inc | (24,226 ) | (1,774,459 ) | (42,427 ) | 0.9 % |
Buckle Inc/The | (25,183 ) | (1,769,398 ) | (42,306 ) | 0.9 % |
Granite Construction Inc | (19,790 ) | (1,686,538 ) | (40,325 ) | 0.9 % |
Other Securities | (129,825 ) | (10,725,800 ) | (256,448 ) | 5.5 % |
$(186,946,279 ) | $(4,469,832 ) | |||
Accrued Net Interest Receivable/(Payable) | 224,965 | |||
$(4,244,867 ) | ||||
JPNBGCND | ||||
Amazon.com Inc | (60,010 ) | (13,608,422 ) | (1,662,785 ) | 21.2 % |
Home Depot Inc/The | (6,566 ) | (3,386,278 ) | (413,762 ) | 5.3 % |
Toyota Motor Corp | (94,491 ) | (2,829,982 ) | (345,790 ) | 4.4 % |
LVMH Moet Hennessy Louis Vuitton SE | (2,153 ) | (2,640,342 ) | (322,618 ) | 4.1 % |
McDonald's Corp | (5,729 ) | (2,450,371 ) | (299,406 ) | 3.8 % |
Lowe's Cos Inc | (6,265 ) | (1,948,399 ) | (238,071 ) | 3.0 % |
Booking Holdings Inc | (368 ) | (1,886,342 ) | (230,488 ) | 2.9 % |
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting |
JPNBGCND (cont’d) | ||||
Sony Group Corp | (10,159 ) | $(1,490,370 ) | $(182,105 ) | 2.3 % |
NIKE Inc | (9,846 ) | (1,460,637 ) | (178,472 ) | 2.3 % |
TJX Cos Inc/The | (10,297 ) | (1,427,939 ) | (174,477 ) | 2.2 % |
Starbucks Corp | (9,922 ) | (1,348,706 ) | (164,796 ) | 2.1 % |
O'Reilly Automotive Inc | (728 ) | (1,087,843 ) | (132,921 ) | 1.7 % |
Hermes International SCA | (343 ) | (1,065,965 ) | (130,248 ) | 1.7 % |
Cie Financiere Richemont SA | (4,769 ) | (1,045,567 ) | (127,756 ) | 1.6 % |
Chipotle Mexican Grill Inc | (293 ) | (1,029,774 ) | (125,826 ) | 1.6 % |
AutoZone Inc | (254 ) | (1,023,972 ) | (125,117 ) | 1.6 % |
Mercedes-Benz Group AG | (8,729 ) | (869,687 ) | (106,265 ) | 1.4 % |
DR Horton Inc | (4,057 ) | (847,137 ) | (103,510 ) | 1.3 % |
Marriott International Inc/MD | (2,381 ) | (833,973 ) | (101,901 ) | 1.3 % |
Target Corp | (4,101 ) | (833,299 ) | (101,819 ) | 1.3 % |
Hilton Worldwide Holdings Inc | (2,763 ) | (770,925 ) | (94,198 ) | 1.2 % |
Compass Group PLC | (18,615 ) | (753,453 ) | (92,063 ) | 1.2 % |
Lennar Corp | (3,402 ) | (744,911 ) | (91,019 ) | 1.2 % |
Ross Stores Inc | (3,509 ) | (719,222 ) | (87,880 ) | 1.1 % |
Honda Motor Co Ltd | (42,569 ) | (712,043 ) | (87,003 ) | 1.1 % |
General Motors Co | (11,283 ) | (639,676 ) | (78,161 ) | 1.0 % |
Industria de Diseno Textil SA | (10,094 ) | (635,410 ) | (77,639 ) | 1.0 % |
Oriental Land Co Ltd/Japan | (11,347 ) | (623,253 ) | (76,154 ) | 1.0 % |
Fast Retailing Co Ltd | (1,507 ) | (597,725 ) | (73,035 ) | 0.9 % |
Ford Motor Co | (34,324 ) | (587,795 ) | (71,821 ) | 0.9 % |
Yum! Brands Inc | (3,018 ) | (571,097 ) | (69,781 ) | 0.9 % |
Bayerische Motoren Werke AG | (3,570 ) | (547,705 ) | (66,923 ) | 0.9 % |
eBay Inc | (8,441 ) | (506,554 ) | (61,895 ) | 0.8 % |
Denso Corp | (19,312 ) | (451,332 ) | (55,147 ) | 0.7 % |
Cie Generale des Etablissements Michelin SCA | (8,882 ) | (433,963 ) | (53,025 ) | 0.7 % |
Toyota Industries Corp | (3,326 ) | (417,907 ) | (51,063 ) | 0.7 % |
Ulta Beauty Inc | (567 ) | (416,039 ) | (50,835 ) | 0.6 % |
adidas AG | (1,475 ) | (411,778 ) | (50,314 ) | 0.6 % |
Kering SA | (673 ) | (408,692 ) | (49,937 ) | 0.6 % |
Dollar General Corp | (2,084 ) | (402,076 ) | (49,129 ) | 0.6 % |
Dollar Tree Inc | (2,011 ) | (383,759 ) | (46,891 ) | 0.6 % |
Aptiv PLC | (3,177 ) | (377,599 ) | (46,138 ) | 0.6 % |
Sekisui House Ltd | (10,731 ) | (358,566 ) | (43,812 ) | 0.6 % |
MGM Resorts International | (5,650 ) | (358,014 ) | (43,745 ) | 0.6 % |
InterContinental Hotels Group PLC | (2,558 ) | (356,545 ) | (43,566 ) | 0.6 % |
Bridgestone Corp | (5,524 ) | (355,366 ) | (43,421 ) | 0.6 % |
Genuine Parts Co | (1,715 ) | (351,482 ) | (42,947 ) | 0.5 % |
Volkswagen AG | (1,818 ) | (345,319 ) | (42,194 ) | 0.5 % |
Panasonic Holdings Corp | (24,348 ) | (342,368 ) | (41,833 ) | 0.5 % |
Bandai Namco Holdings Inc | (10,494 ) | (336,823 ) | (41,156 ) | 0.5 % |
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting |
JPNBGCND (cont’d) | ||||
Other Securities | (206,152 ) | $(6,023,950 ) | $(736,054 ) | 9.6 % |
$(64,056,352 ) | $(7,826,912 ) | |||
Accrued Net Interest Receivable/(Payable) | 116,644 | |||
$(7,710,268 ) | ||||
JPNBLQGS | ||||
Jabil Inc | (4,615 ) | (1,726,759 ) | (372,798 ) | 2.6 % |
Palo Alto Networks Inc | (1,647 ) | (1,664,705 ) | (359,401 ) | 2.5 % |
Sprouts Farmers Market Inc | (10,157 ) | (1,527,871 ) | (329,859 ) | 2.3 % |
GoDaddy Inc | (4,396 ) | (1,400,089 ) | (302,272 ) | 2.1 % |
Nutanix Inc | (8,264 ) | (1,386,998 ) | (299,445 ) | 2.1 % |
Take-Two Interactive Software Inc | (2,783 ) | (1,370,642 ) | (295,914 ) | 2.1 % |
Performance Food Group Co | (5,828 ) | (1,264,926 ) | (273,091 ) | 1.9 % |
Pure Storage Inc | (9,927 ) | (1,185,558 ) | (255,955 ) | 1.8 % |
Dropbox Inc | (11,625 ) | (1,099,834 ) | (237,448 ) | 1.7 % |
Crowdstrike Holdings Inc | (1,187 ) | (1,036,759 ) | (223,831 ) | 1.6 % |
Monolithic Power Systems Inc | (535 ) | (962,498 ) | (207,798 ) | 1.5 % |
Coty Inc | (25,393 ) | (916,061 ) | (197,773 ) | 1.4 % |
Microchip Technology Inc | (3,516 ) | (894,494 ) | (193,116 ) | 1.4 % |
Cencora Inc | (1,249 ) | (867,673 ) | (187,326 ) | 1.3 % |
StoneCo Ltd | (16,740 ) | (859,376 ) | (185,535 ) | 1.3 % |
NXP Semiconductors NV | (1,335 ) | (839,780 ) | (181,304 ) | 1.3 % |
New York Times Co/The | (5,750 ) | (833,856 ) | (180,025 ) | 1.3 % |
Marvell Technology Inc | (3,930 ) | (794,517 ) | (171,532 ) | 1.2 % |
Dynatrace Inc | (4,599 ) | (782,906 ) | (169,025 ) | 1.2 % |
HubSpot Inc | (394 ) | (718,982 ) | (155,224 ) | 1.1 % |
MongoDB Inc | (597 ) | (714,656 ) | (154,290 ) | 1.1 % |
Wix.com Ltd | (1,851 ) | (701,293 ) | (151,405 ) | 1.1 % |
Electronic Arts Inc | (1,700 ) | (698,403 ) | (150,781 ) | 1.1 % |
Palantir Technologies Inc | (14,212 ) | (682,911 ) | (147,437 ) | 1.0 % |
F5 Inc | (1,241 ) | (681,030 ) | (147,031 ) | 1.0 % |
Elastic NV | (1,892 ) | (661,457 ) | (142,805 ) | 1.0 % |
Datadog Inc | (1,655 ) | (614,982 ) | (132,771 ) | 0.9 % |
Coherent Corp | (4,315 ) | (612,552 ) | (132,247 ) | 0.9 % |
PulteGroup Inc | (1,954 ) | (610,193 ) | (131,737 ) | 0.9 % |
Live Nation Entertainment Inc | (2,288 ) | (607,062 ) | (131,061 ) | 0.9 % |
Zscaler Inc | (861 ) | (606,149 ) | (130,864 ) | 0.9 % |
Maximus Inc | (2,452 ) | (593,938 ) | (128,228 ) | 0.9 % |
Murphy USA Inc | (563 ) | (592,269 ) | (127,868 ) | 0.9 % |
Trade Desk Inc/The | (2,842 ) | (580,729 ) | (125,376 ) | 0.9 % |
Pinterest Inc | (5,109 ) | (571,685 ) | (123,424 ) | 0.9 % |
Taylor Morrison Home Corp | (3,584 ) | (558,020 ) | (120,473 ) | 0.8 % |
Silicon Laboratories Inc | (1,450 ) | (534,011 ) | (115,290 ) | 0.8 % |
Royal Caribbean Cruises Ltd | (1,394 ) | (530,737 ) | (114,583 ) | 0.8 % |
Lumentum Holdings Inc | (3,142 ) | (515,537 ) | (111,302 ) | 0.8 % |
MDC Holdings Inc | (2,652 ) | (495,647 ) | (107,007 ) | 0.8 % |
Snowflake Inc | (840 ) | (490,705 ) | (105,940 ) | 0.7 % |
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting |
JPNBLQGS (cont’d) | ||||
Azenta Inc | (2,468 ) | $(480,492 ) | $(103,735 ) | 0.7 % |
Booking Holdings Inc | (45 ) | (475,336 ) | (102,622 ) | 0.7 % |
Meritage Homes Corp | (960 ) | (474,827 ) | (102,513 ) | 0.7 % |
Molina Healthcare Inc | (443 ) | (471,225 ) | (101,735 ) | 0.7 % |
RenaissanceRe Holdings Ltd | (686 ) | (468,980 ) | (101,250 ) | 0.7 % |
Texas Roadhouse Inc | (1,244 ) | (466,881 ) | (100,797 ) | 0.7 % |
Hyatt Hotels Corp | (1,200 ) | (459,985 ) | (99,308 ) | 0.7 % |
Lennar Corp | (986 ) | (441,028 ) | (95,216 ) | 0.7 % |
KB Home | (2,436 ) | (433,526 ) | (93,596 ) | 0.7 % |
Other Securities | (275,209 ) | (26,795,743 ) | (5,785,054 ) | 40.9 % |
$(65,756,273 ) | $(14,196,418 ) | |||
Accrued Net Interest Receivable/(Payable) | 122,540 | |||
$(14,073,878 ) | ||||
JPNBLQGS | ||||
Jabil Inc | (1,117 ) | (417,875 ) | (85,655 ) | 2.6 % |
Palo Alto Networks Inc | (399 ) | (402,858 ) | (82,577 ) | 2.5 % |
Sprouts Farmers Market Inc | (2,458 ) | (369,744 ) | (75,789 ) | 2.3 % |
GoDaddy Inc | (1,064 ) | (338,821 ) | (69,451 ) | 2.1 % |
Nutanix Inc | (2,000 ) | (335,653 ) | (68,801 ) | 2.1 % |
Take-Two Interactive Software Inc | (673 ) | (331,695 ) | (67,990 ) | 2.1 % |
Performance Food Group Co | (1,410 ) | (306,112 ) | (62,746 ) | 1.9 % |
Pure Storage Inc | (2,402 ) | (286,905 ) | (58,809 ) | 1.8 % |
Dropbox Inc | (2,813 ) | (266,159 ) | (54,557 ) | 1.7 % |
Crowdstrike Holdings Inc | (287 ) | (250,896 ) | (51,428 ) | 1.6 % |
Monolithic Power Systems Inc | (129 ) | (232,924 ) | (47,744 ) | 1.5 % |
Coty Inc | (6,145 ) | (221,687 ) | (45,441 ) | 1.4 % |
Microchip Technology Inc | (851 ) | (216,467 ) | (44,371 ) | 1.4 % |
Cencora Inc | (302 ) | (209,977 ) | (43,041 ) | 1.3 % |
StoneCo Ltd | (4,051 ) | (207,969 ) | (42,629 ) | 1.3 % |
NXP Semiconductors NV | (323 ) | (203,227 ) | (41,657 ) | 1.3 % |
New York Times Co/The | (1,392 ) | (201,793 ) | (41,363 ) | 1.3 % |
Marvell Technology Inc | (951 ) | (192,273 ) | (39,412 ) | 1.2 % |
Dynatrace Inc | (1,113 ) | (189,463 ) | (38,836 ) | 1.2 % |
HubSpot Inc | (95 ) | (173,994 ) | (35,665 ) | 1.1 % |
MongoDB Inc | (145 ) | (172,946 ) | (35,450 ) | 1.1 % |
Wix.com Ltd | (448 ) | (169,713 ) | (34,787 ) | 1.1 % |
Electronic Arts Inc | (411 ) | (169,013 ) | (34,644 ) | 1.1 % |
Palantir Technologies Inc | (3,439 ) | (165,264 ) | (33,875 ) | 1.0 % |
F5 Inc | (300 ) | (164,809 ) | (33,782 ) | 1.0 % |
Elastic NV | (458 ) | (160,073 ) | (32,811 ) | 1.0 % |
Datadog Inc | (400 ) | (148,825 ) | (30,506 ) | 0.9 % |
Coherent Corp | (1,044 ) | (148,237 ) | (30,385 ) | 0.9 % |
PulteGroup Inc | (473 ) | (147,667 ) | (30,268 ) | 0.9 % |
Live Nation Entertainment Inc | (554 ) | (146,909 ) | (30,113 ) | 0.9 % |
Zscaler Inc | (208 ) | (146,688 ) | (30,068 ) | 0.9 % |
Maximus Inc | (593 ) | (143,733 ) | (29,462 ) | 0.9 % |
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting |
JPNBLQGS (cont’d) | ||||
Murphy USA Inc | (136 ) | $(143,329 ) | $(29,379 ) | 0.9 % |
Trade Desk Inc/The | (688 ) | (140,536 ) | (28,807 ) | 0.9 % |
Pinterest Inc | (1,236 ) | (138,348 ) | (28,358 ) | 0.9 % |
Taylor Morrison Home Corp | (867 ) | (135,041 ) | (27,680 ) | 0.8 % |
Silicon Laboratories Inc | (351 ) | (129,230 ) | (26,489 ) | 0.8 % |
Royal Caribbean Cruises Ltd | (337 ) | (128,438 ) | (26,327 ) | 0.8 % |
Lumentum Holdings Inc | (760 ) | (124,760 ) | (25,573 ) | 0.8 % |
MDC Holdings Inc | (642 ) | (119,946 ) | (24,586 ) | 0.8 % |
Snowflake Inc | (203 ) | (118,750 ) | (24,341 ) | 0.7 % |
Azenta Inc | (597 ) | (116,279 ) | (23,835 ) | 0.7 % |
Booking Holdings Inc | (11 ) | (115,031 ) | (23,579 ) | 0.7 % |
Meritage Homes Corp | (232 ) | (114,908 ) | (23,554 ) | 0.7 % |
Molina Healthcare Inc | (107 ) | (114,036 ) | (23,375 ) | 0.7 % |
RenaissanceRe Holdings Ltd | (166 ) | (113,493 ) | (23,264 ) | 0.7 % |
Texas Roadhouse Inc | (301 ) | (112,985 ) | (23,159 ) | 0.7 % |
Hyatt Hotels Corp | (290 ) | (111,316 ) | (22,817 ) | 0.7 % |
Lennar Corp | (238 ) | (106,729 ) | (21,877 ) | 0.7 % |
KB Home | (590 ) | (104,913 ) | (21,505 ) | 0.7 % |
Other Securities | (66,606 ) | (6,484,564 ) | (1,329,190 ) | 40.9 % |
$(15,913,001 ) | $(3,261,808 ) | |||
Accrued Net Interest Receivable/(Payable) | 30,067 | |||
$(3,231,741 ) | ||||
JPNBLQGS | ||||
Jabil Inc | (1,117 ) | (417,879 ) | (82,273 ) | 2.6 % |
Palo Alto Networks Inc | (399 ) | (402,862 ) | (79,317 ) | 2.5 % |
Sprouts Farmers Market Inc | (2,458 ) | (369,748 ) | (72,797 ) | 2.3 % |
GoDaddy Inc | (1,064 ) | (338,824 ) | (66,709 ) | 2.1 % |
Nutanix Inc | (2,000 ) | (335,656 ) | (66,085 ) | 2.1 % |
Take-Two Interactive Software Inc | (673 ) | (331,698 ) | (65,306 ) | 2.1 % |
Performance Food Group Co | (1,410 ) | (306,114 ) | (60,269 ) | 1.9 % |
Pure Storage Inc | (2,402 ) | (286,907 ) | (56,487 ) | 1.8 % |
Dropbox Inc | (2,813 ) | (266,162 ) | (52,403 ) | 1.7 % |
Crowdstrike Holdings Inc | (287 ) | (250,898 ) | (49,397 ) | 1.6 % |
Monolithic Power Systems Inc | (129 ) | (232,926 ) | (45,859 ) | 1.5 % |
Coty Inc | (6,145 ) | (221,689 ) | (43,647 ) | 1.4 % |
Microchip Technology Inc | (851 ) | (216,469 ) | (42,619 ) | 1.4 % |
Cencora Inc | (302 ) | (209,979 ) | (41,341 ) | 1.3 % |
StoneCo Ltd | (4,051 ) | (207,971 ) | (40,946 ) | 1.3 % |
NXP Semiconductors NV | (323 ) | (203,228 ) | (40,012 ) | 1.3 % |
New York Times Co/The | (1,392 ) | (201,795 ) | (39,730 ) | 1.3 % |
Marvell Technology Inc | (951 ) | (192,275 ) | (37,856 ) | 1.2 % |
Dynatrace Inc | (1,113 ) | (189,465 ) | (37,302 ) | 1.2 % |
HubSpot Inc | (95 ) | (173,995 ) | (34,257 ) | 1.1 % |
MongoDB Inc | (145 ) | (172,948 ) | (34,050 ) | 1.1 % |
Wix.com Ltd | (448 ) | (169,714 ) | (33,414 ) | 1.1 % |
Electronic Arts Inc | (411 ) | (169,015 ) | (33,276 ) | 1.1 % |
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 | (3,439 ) | $(165,266 ) | $(32,538 ) | 1.0 % |
F5 Inc | (300 ) | (164,811 ) | (32,448 ) | 1.0 % |
Elastic NV | (458 ) | (160,074 ) | (31,516 ) | 1.0 % |
Datadog Inc | (400 ) | (148,827 ) | (29,301 ) | 0.9 % |
Coherent Corp | (1,044 ) | (148,239 ) | (29,186 ) | 0.9 % |
PulteGroup Inc | (473 ) | (147,668 ) | (29,073 ) | 0.9 % |
Live Nation Entertainment Inc | (554 ) | (146,910 ) | (28,924 ) | 0.9 % |
Zscaler Inc | (208 ) | (146,689 ) | (28,881 ) | 0.9 % |
Maximus Inc | (593 ) | (143,734 ) | (28,299 ) | 0.9 % |
Murphy USA Inc | (136 ) | (143,330 ) | (28,219 ) | 0.9 % |
Trade Desk Inc/The | (688 ) | (140,538 ) | (27,669 ) | 0.9 % |
Pinterest Inc | (1,236 ) | (138,349 ) | (27,239 ) | 0.9 % |
Taylor Morrison Home Corp | (867 ) | (135,042 ) | (26,587 ) | 0.8 % |
Silicon Laboratories Inc | (351 ) | (129,232 ) | (25,443 ) | 0.8 % |
Royal Caribbean Cruises Ltd | (337 ) | (128,439 ) | (25,287 ) | 0.8 % |
Lumentum Holdings Inc | (760 ) | (124,761 ) | (24,563 ) | 0.8 % |
MDC Holdings Inc | (642 ) | (119,948 ) | (23,616 ) | 0.8 % |
Snowflake Inc | (203 ) | (118,752 ) | (23,380 ) | 0.7 % |
Azenta Inc | (597 ) | (116,280 ) | (22,894 ) | 0.7 % |
Booking Holdings Inc | (11 ) | (115,032 ) | (22,648 ) | 0.7 % |
Meritage Homes Corp | (232 ) | (114,909 ) | (22,624 ) | 0.7 % |
Molina Healthcare Inc | (107 ) | (114,037 ) | (22,452 ) | 0.7 % |
RenaissanceRe Holdings Ltd | (166 ) | (113,494 ) | (22,345 ) | 0.7 % |
Texas Roadhouse Inc | (301 ) | (112,986 ) | (22,245 ) | 0.7 % |
Hyatt Hotels Corp | (290 ) | (111,317 ) | (21,916 ) | 0.7 % |
Lennar Corp | (238 ) | (106,730 ) | (21,013 ) | 0.7 % |
KB Home | (590 ) | (104,914 ) | (20,656 ) | 0.7 % |
Other Securities | (66,607 ) | (6,484,617 ) | (1,276,709 ) | 40.9 % |
$(15,913,142 ) | $(3,133,023 ) | |||
Accrued Net Interest Receivable/(Payable) | 30,374 | |||
$(3,102,649 ) | ||||
Total Return Basket Swaps, at Value | $(32,363,403 ) |
(b) | The Fund receives a specified rate based on a reference rate plus or minus a spread, and pays the total return on the reference entity. The cash flows may be denominated in various foreign currencies based on the local currencies of the positions within the swaps. |
(c) | Effective rate at January 31, 2024. |
Total return swap contracts ("total return swaps")
At January 31, 2024, the Fund had outstanding over-the-counter total return swaps as follows:
Over-the-counter total return swaps—Short(a) |
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |
JPM | S&P 500 Equal Weight Total Return Index | USD | (35,141,373) | 5/2/2025 | 5.67% | 0.35% | SOFR | 1M/T | $(3,485,301) | $79,773 | $(3,405,528) |
JPM | S&P Retail Select Industry Index | USD | (31,069,047) | 11/19/2024 | 4.57% | (0.75)% | OBFR | 1M/T | (915,273) | 71,297 | (843,976) |
JPM | S&P Retail Select Industry Index | USD | (3,325,721) | 11/19/2024 | 4.57% | (0.75)% | OBFR | 1M/T | (309,290) | 6,124 | (303,166) |
JPM | S&P Retail Select Industry Index | USD | (7,716,543) | 11/19/2024 | 4.57% | (0.75)% | OBFR | 1M/T | (211,347) | 15,235 | (196,112) |
JPM | S&P Retail Select Industry Index | USD | (49,443,838) | 11/19/2024 | 4.57% | (0.75)% | OBFR | 1M/T | (6,673,757) | 86,822 | (6,586,935) |
Total | $(11,594,968) | $259,251 | $(11,335,717) |
(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 January 31, 2024. |
Contracts for Difference |
Counterparty | Number of Units | Reference Entity | Notional Amount | Frequency of Fund Receipt/ Payment | Maturity Date | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | ||
CITI | (100,000) | Birkenstock Holding PLC | USD | (4,639,000) | 1M/T | 4/11/2025 | $(988,690) | $(2,307) | $(990,997) |
The Fund receives a rate based on SOFR less a 7.16% spread.
Purchased option contracts ("options purchased")
At January 31, 2024, the Fund had outstanding options purchased as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value |
Calls | |||||
Interactive Media & Services | |||||
Match Group, Inc. | 3,458 | $13,271,804 | $42.5 | 6/21/2024 | $911,183 |
Total options purchased (cost $918,192) | $911,183 |
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
Written option contracts ("options written")
At January 31, 2024, the Fund had outstanding options written as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value |
Calls | |||||
Diversified Consumer Services | |||||
H+R Block, Inc. | 3,289 | $(15,405,676) | $50 | 1/17/2025 | $(1,430,715) |
Total calls | $(1,430,715) | ||||
Puts | |||||
Interactive Media & Services | |||||
Match Group, Inc. | 3,458 | (13,271,804) | 32.5 | 6/21/2024 | (484,120) |
Specialty Retail | |||||
Chewy, Inc. | 17,157 | (30,573,774) | 15 | 7/19/2024 | (2,582,129) |
Total puts | $(3,066,249) | ||||
Total options written (premium received $3,944,128) | $(4,496,964) |
At January 31, 2024, the Fund had securities pledged in the amount of $10,723,126 to cover collateral requirements for options written.
The following is a summary, categorized by Level (see the 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(a) | Total |
Investments: | ||||
Common Stocks | ||||
Aerospace & Defense | $28,640,639 | $39,133,027 | $— | $67,773,666 |
Commercial Services | — | — | 30,622,755 | 30,622,755 |
Software | 870,945,685 | — | 7,059,167 | 878,004,852 |
Specialty Retail | 258,121,066 | — | 160,728,853 | 418,849,919 |
Other Common Stocks# | 3,957,131,342 | — | — | 3,957,131,342 |
Total Common Stocks | 5,114,838,732 | 39,133,027 | 198,410,775 | 5,352,382,534 |
Preferred Stocks# | — | — | 53,671,550 | 53,671,550 |
Master Limited Partnerships and Limited Partnerships# | 166,032,443 | — | — | 166,032,443 |
Corporate Bonds# | — | 167,839,403 | — | 167,839,403 |
Loan Assignments# | — | — | 18,947,499 | 18,947,499 |
Convertible Bonds# | — | — | 20,514,975 | 20,514,975 |
Warrants# | — | — | 5,213,606 | 5,213,606 |
Options Purchased@ | 911,183 | — | — | 911,183 |
Short-Term Investments | — | 537,391,888 | — | 537,391,888 |
Total Investments | $5,281,782,358 | $744,364,318 | $296,758,405 | $6,322,905,081 |
# | The Consolidated Schedule of Investments provides information on the industry or sector categorization. |
@ | The “Purchased option contracts” table under Derivative Instruments provides information on the industry or sector categorization. |
(a) | The following is a reconciliation between the beginning and ending balances of investments in which significant unobservable inputs (Level 3) were used in determining value: |
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
(000's omitted) | Beginning balance as of 11/1/2023 | Accrued discounts/ (premiums) | Realized gain/(loss) | Change in unrealized appreciation/ (depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 1/31/2024 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 1/31/2024 |
Investments in Securities: | ||||||||||
Common Stocks(1) | $167,788 | $— | $— | $— | $30,623 | $— | $— | $— | $198,411 | $— |
Preferred Stocks(1) | 54,548 | — | — | (876 ) | — | — | — | — | 53,672 | (876 ) |
Corporate Bonds(2) | 13,275 | 110 | — | (13,385 ) | — | — | — | — | — | (13,385 ) |
Loan Assignments(1) | — | 170 | — | (456 ) | 19,233 | — | — | — | 18,947 | (456 ) |
Convertible Bonds(1) | 20,515 | — | — | — | — | — | — | — | 20,515 | — |
Warrants(2) | 3,443 | — | — | 1,771 | — | — | — | — | 5,214 | 1,771 |
Total | $259,569 | $280 | $— | $(12,946 ) | $49,856 | $— | $— | $— | $296,759 | $(12,946 ) |
(1) Quantitative Information about Level 3 Fair Value Measurements: | ||||||
Investment type | Fair value at 1/31/2024 | Valuation approach | Significant unobservable input(s) | Input value/ range | Weighted average(a) | Impact to valuation from increase in input(b) |
Common Stocks | $198,410,775 | Market Approach | Enterprise value Revenue multiple(c) (EV/Revenue) | 1.8x - 11.9x | 4.2x | Increase |
Discount rate | 4.9% - 5.1% | 5.0% | Decrease | |||
Term (Years) | 2.2 - 3.2 | 2.6 | Increase | |||
Expected Volatility | 65% - 80% | 73.2% | Increase | |||
Preferred Stocks | 441,157 | Market Approach | Transaction Price | $0.46 | $0.46 | Increase |
Preferred Stocks | 48,618,944 | Market Approach | Enterprise value Revenue multiple(c) (EV/Revenue) | 0.7x - 10.5x | 4.3x | Increase |
Discount Rate | 0.3% - 5.4% | 5.1% | Decrease | |||
Term (Years) | 1.2 - 3.2 | 1.4 | Increase | |||
Expected Volatility | 55% - 70% | 61.1% | Increase | |||
Preferred Units | 4,611,449 | Market Approach | Enterprise value Revenue multiple(c) (EV/Revenue) | 2.5x | 2.5x | Increase |
Discount Rate | 4.9% | 4.9% | Decrease | |||
Term (Years) | 3.3 | 3.3 | Increase | |||
Expected Volatility | 20.0% | 20.0% | Increase | |||
Convertible Bonds | 20,514,975 | Income Approach | Credit Yield Spread | 4.9% | 4.9% | Decrease |
Loan Assignments | 8,697,352 | Market Approach | Transaction Price (of Par Value) | 88.7% - 100% | 92.1% | Increase |
Loan Assignments | 10,250,147 | Income Approach | Credit Yield Spread | 5.0% | 5.0% | Decrease |
(a) The weighted averages disclosed in the table above were weighted by relative fair value. | ||||||
(b) Represents the expected directional change in the fair value of the Level 3 investments that would result from an increase or decrease in the corresponding input. Significant changes in these inputs could result in significantly higher or lower fair value measurements. | ||||||
(c) Represents amounts used when the reporting entity has determined that market participants would use such multiples when pricing the investments. |
(2) At January 31, 2024, 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 significant unobservable inputs used in formulating valuations is not presented. |
Consolidated Schedule of Investments Long Short Fund^ (Unaudited) (cont’d)
The following is a summary, categorized by Level (see the 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# | $(942,369,065 ) | $(10,273,043 ) | $— | $(952,642,108 ) |
Corporate Bonds Sold Short# | — | (43,937,728 ) | — | (43,937,728 ) |
Total Short Positions | $(942,369,065 ) | $(54,210,771 ) | $— | $(996,579,836 ) |
# | The Consolidated Schedule of Investments provides information on the industry or sector categorization. |
The following is a summary, categorized by Level (see the Notes to Consolidated Schedule of Investments), of inputs used to value the Fund’s derivatives as of January 31, 2024:
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Futures@ | ||||
Liabilities | $(51,449,976 ) | $— | $— | $(51,449,976 ) |
Swaps | ||||
Liabilities | — | (44,690,117 ) | — | (44,690,117 ) |
Options Written | ||||
Liabilities | (4,496,964 ) | — | — | (4,496,964 ) |
Total | $(55,946,940 ) | $(44,690,117 ) | $— | $(100,637,057 ) |
@ | 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.
Notes to Consolidated Schedule of Investments Long Short Fund (Unaudited)
In accordance with Accounting Standards Codification 820 “Fair Value Measurement” (“ASC 820”), all investments held by Neuberger Berman Long Short Fund (the “Fund”) are carried at the value that 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, 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 Fund's investments for long and short 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").
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 Fund's significant accounting policies, please refer to the Fund's most recent shareholder reports.
Notes to Consolidated Schedule of Investments Long Short Fund (Unaudited) (cont’d)
High Yield Securities. Inputs used to value high yield securities generally include a number of observations of equity and credit default swap curves related to the issuer and Other Market Information.
The value of loan assignments is determined by Management primarily by obtaining valuations from independent pricing services based on broker quotes (generally Level 2 or Level 3 inputs depending on the number of quotes available).
The value of futures contracts is determined by Management by obtaining valuations from independent pricing services at the settlement price at the market close (Level 1 inputs).
The value of 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).
The value of contracts for difference ("CFD") is determined primarily by obtaining valuations from independent pricing services, which are based on references to the underlying asset and the stated reference 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 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 Investment Company Act of 1940, the Board of Trustees 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 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 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
For information on the Fund's significant accounting policies, please refer to the Fund's most recent shareholder reports.
Notes to Consolidated Schedule of Investments Long Short Fund (Unaudited) (cont’d)
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 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.
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.
As of January 31, 2024, the value of Long Short's investment in the Blocker was as follows:
Investment in Blocker | Percentage of Net Assets | |
$4,588,465 | 0.1 % |
For information on the Fund's significant accounting policies, please refer to the Fund's most recent shareholder reports.
Notes to Consolidated Schedule of Investments Long Short Fund (Unaudited) (cont'd)
Legend
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: | |
CITI | = Citibank, N.A. |
GSI | = Goldman Sachs International |
JPM | = JPMorgan Chase Bank N.A. |
Index Periods/Payment Frequencies: | |
1M | = 1 Month |
T | = Termination |
Other Abbreviations: | |
Management | = Neuberger Berman Investment Advisers LLC |
Currency Abbreviations: | |
USD | = United States Dollar |
For information on the Fund's significant accounting policies, please refer to the Fund's most recent shareholder reports.