UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-22027
FundVantage Trust
(Exact name of registrant as specified in charter)
301 Bellevue Parkway
Wilmington, DE 19809
(Address of principal executive offices) (Zip code)
Joel L. Weiss
JW Fund Management LLC
100 Springdale Rd., Suite A3-416
Cherry Hill, NJ 08003
(Name and address of agent for service)
Registrant’s telephone number, including area code: 856-528-3500
Date of fiscal year end: September 30
Date of reporting period: March 31, 2022
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
| | (a) | The Report to Shareholders is attached herewith. |
| C WorldWide International Equities Fund |
of
FundVantage Trust
SEMI-ANNUAL REPORT
March 31, 2022
(Unaudited)
This report is submitted for the general information of shareholders and is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus.
C WORLDWIDE INTERNATIONAL EQUITIES FUND
Fund Expense Disclosure
March 31, 2022
(Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including redemption fees (if any), and (2) ongoing costs, including management fees, distribution and/or service (Rule 12b-1) fees (if any) and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested at the beginning of the six-month period from October 1, 2021 through March 31, 2022 and held for the entire period.
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000= 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Examples for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund(s) and other funds. To do so, compare this 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments (if any) or redemption fees. Therefore, the second line of each accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | Beginning Account Value
October 1, 2021 | | Ending Account Value
March 31, 2022 | | Expenses Paid
During Period* |
| C WorldWide International Equities Fund |
| Class I | | | | | |
| Actual | $1,000.00 | | $ 980.00 | | $0.48 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,022.19 | | 2.77 |
| * | Expenses are equal to an annualized expense ratio for the period beginning February 28, 2022, commencement of operations, to March 31, 2022 of 0.55% for Class I shares, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (32), then divided by 365 to reflect the period. The Fund’s ending account values on the first line of the table is based on the actual six-month total returns for the Fund of (2.00)% for Class I shares. For comparative purposes, the Hypothetical expenses are as if the Class I shares had been in existence from October 1, 2021, and are equal to the Class I shares annualized expense ratio, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (182), then divided by 365 to reflect the period. |
C WorldWide International Equities Fund
Portfolio Holdings Summary Table
March 31, 2022
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| COMMON STOCKS: | | | |
| Semiconductors | 12.7% | | $124,500 |
| Pharmaceuticals | 10.1 | | 99,167 |
| Banks | 8.2 | | 80,658 |
| Machinery-Diversified | 7.4 | | 72,582 |
| Food | 6.8 | | 66,687 |
| Electronics | 6.8 | | 66,605 |
| Electric | 4.9 | | 48,001 |
| Agriculture | 4.8 | | 47,384 |
| Distribution/Wholesale | 4.4 | | 43,218 |
| Home Furnishings | 4.2 | | 41,150 |
| Miscellaneous Manufacturing | 3.8 | | 36,832 |
| Building Materials | 3.7 | | 36,321 |
| Apparel | 3.7 | | 35,690 |
| Insurance | 3.2 | | 31,326 |
| Software | 3.0 | | 29,702 |
| Diversified Financial Services | 3.0 | | 29,342 |
| Cosmetics/Personal Care | 2.6 | | 25,084 |
| Engineering & Construction | 2.0 | | 19,413 |
| Real Estate | 1.8 | | 17,992 |
| Commercial Services | 1.0 | | 9,904 |
| Total Common Stocks | 98.1 | | 961,558 |
| Other Assets in Excess of Liabilities | 1.9% | | 18,574 |
| NET ASSETS | 100.0% | | $980,132 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
C WORLDWIDE INTERNATIONAL EQUITIES FUND
Portfolio of Investments
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — 98.1% |
| Denmark — 6.0% |
| Novo Nordisk A/S, Class B | 533 | | $ 59,118 |
| France — 5.6% |
| LVMH Moet Hennessy Louis Vuitton SE | 50 | | 35,690 |
| Vinci SA | 190 | | 19,413 |
| | | | 55,103 |
| Germany — 11.6% |
| Deutsche Boerse AG | 163 | | 29,342 |
| SAP SE | 268 | | 29,702 |
| Siemens AG | 266 | | 36,832 |
| Vonovia SE | 386 | | 17,992 |
| | | | 113,868 |
| Hong Kong — 3.2% |
| AIA Group Ltd. | 3,000 | | 31,326 |
| India — 5.1% |
| HDFC Bank Ltd., ADR | 819 | | 50,229 |
| Indonesia — 3.1% |
| Bank Central Asia Tbk PT | 54,800 | | 30,429 |
| Ireland — 2.9% |
| Kerry Group PLC, Class A | 251 | | 28,072 |
| Japan — 16.1% |
| Daikin Industries Ltd. | 200 | | 36,321 |
| Hoya Corp. | 300 | | 34,188 |
| Keyence Corp. | 100 | | 46,370 |
| Sony Group Corp. | 400 | | 41,150 |
| | | | 158,029 |
| Netherlands — 6.9% |
| Adyen NV* | 5 | | 9,904 |
| ASML Holding NV | 86 | | 57,467 |
| | | | 67,371 |
| South Korea — 3.3% |
| Samsung Electronics Co. Ltd., GDR | 23 | | 32,419 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Spain — 1.8% |
| Iberdrola SA | 1,580 | | $ 17,269 |
| Sweden — 10.8% |
| Assa Abloy AB, Class B | 1,206 | | 32,417 |
| Atlas Copco AB, Class A | 505 | | 26,212 |
| Swedish Match AB | 6,301 | | 47,384 |
| | | | 106,013 |
| Switzerland — 4.0% |
| Nestle SA | 297 | | 38,615 |
| Taiwan — 3.5% |
| Taiwan Semiconductor Manufacturing Co. Ltd., SP ADR | 332 | | 34,614 |
| United Kingdom — 14.2% |
| AstraZeneca PLC | 302 | | 40,049 |
| Ferguson PLC | 319 | | 43,218 |
| SSE PLC | 1,345 | | 30,732 |
| Unilever PLC | 555 | | 25,084 |
| | | | 139,083 |
TOTAL COMMON STOCKS
(Cost $982,626) | | | 961,558 |
TOTAL INVESTMENTS - 98.1%
(Cost $982,626) | | | 961,558 |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 1.9% | | | 18,574 |
| NET ASSETS - 100.0% | | | $ 980,132 |
| ADR | American Depositary Receipt |
| GDR | Global Depository Receipt |
| PLC | Public Limited Company |
| SP ADR | Sponsored American Depository Receipt |
The accompanying notes are an integral part of the financial statements.
C WORLDWIDE INTERNATIONAL EQUITIES FUND
Statement of Assets and Liabilities
March 31, 2022
(Unaudited)
| Assets | |
| Investments, at value (Cost $982,626) | $961,558 |
| Cash and cash equivalents | 10,575 |
| Foreign currency, at value (Cost $1,762) | 1,770 |
| Receivables: | |
| Dividends | 1,162 |
| Investment adviser | 11,103 |
| Prepaid expenses and other assets | 70 |
| Total Assets | 986,238 |
| Liabilities | |
| Payables: | |
| Audit fees | 2,224 |
| Administration and accounting fees | 1,443 |
| Custodian fees | 721 |
| Legal fees | 711 |
| Transfer agent fees | 552 |
| Shareholder reporting fees | 438 |
| Accrued expenses | 17 |
| Total Liabilities | 6,106 |
| Net Assets | $980,132 |
| Net Assets Consisted of: | |
| Capital stock, $0.01 par value | $ 1,000 |
| Paid-in capital | 999,000 |
| Total distributable earnings | (19,868) |
| Net Assets | $980,132 |
| Class I Shares: | |
| Net assets | $980,132 |
| Shares outstanding | 100,000 |
| Net asset value, offering and redemption price per share | $ 9.80 |
The accompanying notes are an integral part of the financial statements.
C WORLDWIDE INTERNATIONAL EQUITIES FUND
Statement of Operations
For the period ended March 31, 2022*
(Unaudited)
| Investment income | |
| Dividends | $ 1,778 |
| Less: foreign taxes withheld | (219) |
| Total investment income | 1,559 |
| Expenses | |
| Administration and accounting fees (Note 2) | 11,942 |
| Transfer agent fees (Note 2) | 4,152 |
| Trustees’ and officers’ fees(Note 2) | 3,134 |
| Custodian fees(Note 2) | 2,971 |
| Legal fees | 2,937 |
| Audit fees | 2,224 |
| Advisory fees (Note 2) | 657 |
| Shareholder reporting fees | 438 |
| Other expenses | 105 |
| Total expenses before waivers and reimbursements | 28,560 |
| Less: waivers and reimbursements(Note 2) | (28,109) |
| Net expenses after waivers and reimbursements | 451 |
| Net investment income | 1,108 |
| Net realized and unrealized gain/(loss) from investments: | |
| Net realized loss from investments | (3,509) |
| Net realized gain from foreign currency transactions | 3,593 |
| Net change in unrealized depreciation on investments | (21,068) |
| Net change in unrealized appreciation on foreign currency translations | 8 |
| Net realized and unrealized loss on investments | (20,976) |
| Net decrease in net assets resulting from operations | $(19,868) |
| * | The C WorldWide International Equities Fund commenced operations on February 28, 2022. |
The accompanying notes are an integral part of the financial statements.
C WORLDWIDE INTERNATIONAL EQUITIES FUND
Statement of Changes in Net Assets
| | For the Period from
February 28, 2022*
to March 31, 2022
(Unaudited) |
| Net increase/(decrease) in net assets from operations: | |
| Net investment income | $ 1,108 |
| Net realized gains from investments and foreign currency transactions | 84 |
| Net change in unrealized depreciation on investments and foreign currency translations | (21,060) |
| Net decrease in net assets resulting from operations | (19,868) |
| Increase in net assets derived from capital share transactions (Note 4) | 1,000,000 |
| Total increase in net assets | 980,132 |
| Net assets | |
| Beginning of period | — |
| End of period | $ 980,132 |
| * | Commencement of operations. |
The accompanying notes are an integral part of the financial statements.
C WORLDWIDE INTERNATIONAL EQUITIES FUND
Financial Highlights
Contained below is per share operating performance data for Class I shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Class I |
| | For the Period from
February 28, 2022*
to March 31,
2022
(Unaudited) |
| Per Share Operating Performance | |
| Net asset value, beginning of period | $10.00 |
| Net investment income(1) | 0.01 |
| Net realized and unrealized gain/(loss) on investments | (0.21) |
| Total from investment operations | (0.20) |
| Net asset value, end of period | $ 9.80 |
| Total investment return(2) | (2.00)% |
| Ratios/Supplemental Data | |
| Net assets, end of period (in 000s) | $ 980 |
| Ratio of expenses to average net assets | 0.55% (3) |
| Ratio of expenses to average net assets without waivers and reimbursements(4) | 34.78% (3) |
| Ratio of net investment income to average net assets | 1.35% (3) |
| Portfolio turnover rate | 3% (5) |
| * | Commencement of operations. |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (3) | Annualized. |
| (4) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
| (5) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
C WORLDWIDE INTERNATIONAL EQUITIES FUND
Notes to Financial Statements March 31, 2022
(Unaudited)
1. Organization and Significant Accounting Policies
The C WorldWide International Equities Fund (the “Fund”) is a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), and commenced investment operations on February 28, 2022. The Fund is a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. The Fund offers separate classes of shares: Class A and Class I Shares. As of March 31, 2022, Class A shares have not been issued.
The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board Accounting Standards Codification Topic 946.
Portfolio Valuation — The Fund's net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. The Fund’s equity securities listed on any national exchange market system will be valued at the last sale price. Equity securities traded in the over-the-counter ("OTC") market are valued at their closing sale or official closing price. If there were no transactions on that day, securities traded principally on an exchange will be valued at the mean of the last bid and ask prices prior to the market close. Securities that do not have a readily available current market value are valued in accordance with procedures adopted by the Trust’s Board of Trustees. The Board of Trustees has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available and has delegated to C WorldWide Asset Management Fondsmaeglerselskab A/S (“C WorldWide” or the “Adviser”) the responsibility for applying the valuation methods. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. In the event that market quotes are not readily available, and the security or asset cannot be valued pursuant to one of the valuation methods, the value of the security or asset will be determined in good faith by the Adviser. The Trust has established a Valuation Committee which performs certain functions including the oversight of the Adviser’s fair valuation determinations. Prices for equity securities normally are supplied by an independent pricing service approved by the Trust’s Board of Trustees. Fixed income securities are valued based on market quotations, which are furnished by an independent pricing service. Fixed income securities having remaining maturities of 60 days or less are generally valued at amortized cost, provided such amount approximates fair value. Any assets held by the Fund that are denominated in foreign currencies are valued daily in U.S. dollars at the foreign currency exchange rates that are prevailing at the time that the Fund determines the daily NAV per share. Foreign securities may trade on weekends or other days when the Fund does not calculate NAV. As a result, the market value of these investments may change on days when you cannot buy or sell shares of the Fund. Investments in other open-end investment companies are valued based on the NAV of such investment companies (which may use fair value pricing as disclosed in their prospectuses). Exchange traded futures contracts are generally valued using the settlement price determined by the relevant exchange. Exchange traded futures contracts for which no settlement price is reported, are generally valued at the mean between the most recent bid and ask prices obtained from approved pricing services, established market makers, or from broker-dealers.
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
• Level 1 — quoted prices in active markets for identical securities;
• Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
• Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers in and out are recognized at the value at the end of the period.
C WORLDWIDE INTERNATIONAL EQUITIES FUND
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
Securities listed on a non-U.S. exchange are generally fair valued daily by an independent fair value pricing service approved by the Board of Trustees and categorized as Level 2 investments within the hierarchy. The fair valuations for these securities may not be the same as quoted or published prices of the securities on their primary markets. Securities for which daily fair value prices from the independent fair value pricing service are not available are generally valued at the last quoted sale price at the close of an exchange on which the security is traded and categorized as Level 1 investments within the hierarchy. Values of foreign securities, currencies, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the exchange rate of said currencies against the U.S. dollar, as of valuation time, as provided by an independent pricing service approved by the Board of Trustees.
The following is a summary of the inputs used, as of March 31, 2022, in valuing the Fund's investments carried at fair value:
| | Total
Value at 03/31/22 | | Level 1
Quoted
Price | | Level 2
Other
Significant
Observable
Inputs | | Level 3
Significant
Unobservable
Inputs |
| Assets | | | | | | | |
| Common Stocks | | | | | | | |
| Denmark | $ 59,118 | | $ — | | $ 59,118 | | $ — |
| France | 55,103 | | — | | 55,103 | | — |
| Germany | 113,868 | | — | | 113,868 | | — |
| Hong Kong | 31,326 | | — | | 31,326 | | — |
| India | 50,229 | | 50,229 | | — | | — |
| Indonesia | 30,429 | | 30,429 | | — | | — |
| Ireland | 28,072 | | 28,072 | | — | | — |
| Japan | 158,029 | | — | | 158,029 | | — |
| Netherlands | 67,371 | | — | | 67,371 | | — |
| South Korea | 32,419 | | — | | 32,419 | | — |
| Spain | 17,269 | | — | | 17,269 | | — |
| Sweden | 106,013 | | — | | 106,013 | | — |
| Switzerland | 38,615 | | — | | 38,615 | | — |
| Taiwan | 34,614 | | 34,614 | | — | | — |
| United Kingdom | 139,083 | | — | | 139,083 | | — |
| Total Assets | $ 961,558 | | $ 143,344 | | $ 818,214 | | $ — |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third-party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that present changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that
C WORLDWIDE INTERNATIONAL EQUITIES FUND
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
was meaningful in relation to net assets. The amounts and reasons for all transfers in and out of Level 3 are disclosed when the Fund had an amount of transfers during the reporting period that was meaningful in relation to net assets as of the end of the reporting period.
For the period from February 28, 2022 to March 31, 2022, there were no transfers in or out of Level 3 for the Fund.
Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. The Fund may be subject to foreign taxes on unrealized and realized gains on certain foreign investments. The Fund will accrue such taxes and reclaims, as applicable, based upon the current interpretation of tax rules and regulations that exist in the market in which the Fund invests. General expenses of the Trust are generally allocated to each fund under methodologies approved by the Board of Trustees. Expenses directly attributable to a particular fund in the Trust are charged directly to that fund.
Foreign Currency Translation—Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investments in the Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currency transactions in the Statement of Operations.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on ex-date and paid at least annually to shareholders. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended (“Internal Revenue Code”), and make the requisite distributions to its shareholder which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to its long-term implications. The COVID-19 pandemic could adversely affect the value and liquidity of the Fund’s investments, impair the Fund’s ability to satisfy redemption requests, and negatively impact the Fund’s performance. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services provided to the Fund by its service providers. Fund management is continuing to monitor this development and evaluate its impact on the Fund.
On February 24, 2022, Russia commenced a military attack on Ukraine. The outbreak of hostilities between the two countries could result in more widespread conflict and could have a severe adverse effect on the region and the markets. In addition, sanctions imposed on Russia by the United States and other countries, and any sanctions imposed in the future could have a significant adverse
C WORLDWIDE INTERNATIONAL EQUITIES FUND
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
impact on the Russian economy and related markets. The price and liquidity of investments may fluctuate widely as a result of the conflict and related events. Management is continuing to monitor this development and evaluate its impact on the Fund. The extent and duration of Russia’s military actions and the repercussions of such actions are impossible to predict, but could result in significant market disruption.
Currency Risk — The Fund invests in securities of foreign issuers, including American Depositary Receipts. These markets are subject to special risks associated with foreign investments not typically associated with investing in U.S. markets. Because the foreign securities in which the Fund may invest generally trade in currencies other than the U.S. dollar, changes in currency exchange rates will affect the Fund's NAV, the value of dividends and interest earned and gains and losses realized on the sale of securities. Because the NAV for the Fund is determined on the basis of U.S. dollars, the Fund may lose money by investing in a foreign security if the local currency of a foreign market depreciates against the U.S. dollar, even if the local currency value of the Fund's holdings goes up. Generally, a strong U.S. dollar relative to these other currencies will adversely affect the value of the Fund's holdings in foreign securities.
Foreign Securities Market Risk — Securities of many non-U.S. companies may be less liquid and their prices more volatile than securities of comparable U.S. companies. Securities of companies traded in many countries outside the U.S., particularly emerging markets countries, may be subject to further risks due to the inexperience of local investment professionals and financial institutions, the possibility of permanent or temporary termination of trading and greater spreads between bid and asked prices of securities. In addition, non-U.S. stock exchanges and investment professionals are subject to less governmental regulation, and commissions may be higher than in the United States. Also, there may be delays in the settlement of non-U.S. stock exchange transactions.
Emerging Markets Risk — The securities of issuers located or doing substantial business in emerging market countries tend to be more volatile and less liquid than the securities of issuers located in countries with more mature economies. Emerging markets generally have less diverse and less mature economic structures and less stable political systems than those of developed countries. Investments in these countries may be subject to political, economic, legal, market and currency risks. The risks may include less protection of property rights and uncertain political and economic policies, the imposition of capital controls and/or foreign investment limitations by a country, nationalization of businesses and the imposition of sanctions by other countries, such as the United States. Recent statements by U.S. securities and accounting regulatory agencies have expressed concern regarding information access and audit quality regarding issuers in China and other emerging market countries, which could present heightened risks associated with investments in these markets.
2. Transactions with Related Parties and Other Service Providers
C WorldWide Asset Management Fondsmaeglerselskab A/S (“C WorldWide” or the “Adviser”) serves as investment adviser to the Fund. For its services, the Adviser is paid a monthly fee at the annual rate of 0.80% of the Fund’s average daily net assets. The Adviser has contractually agreed to waive fees and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding taxes, fees and expenses attributable to a distribution or service plan adopted by the Trust, interest, extraordinary items “Acquired Fund Fees and Expenses” and brokerage commissions) do not exceed 0.55% (on an annual basis) of the Fund's average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place for a period of one year from February 1, 2022 and for an indefinite period of time thereafter, unless the Board of Trustees of the Trust approves its earlier termination.
For the period ended March 31, 2022, the Adviser earned advisory fees of $657 and waived fees and reimbursed expenses of $11,760.
Other Service Providers
The Bank of New York Mellon ("BNY Mellon") serves as administrator and custodian for the Fund. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets and is subject to certain minimum monthly fees. For providing certain custodial services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses. For the period ended March 31, 2022, BNY Mellon
C WORLDWIDE INTERNATIONAL EQUITIES FUND
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
accrued administration and accounting fees totaling $11,942 and waived fees totaling $10,499. For the period ended March 31, 2022, BNY Mellon accrued custodian fees totaling $2,971 and waived fees totaling $2,250.
BNY Mellon Investment Servicing (US) Inc. (the “Transfer Agent”) provides transfer agent services to the Fund. The Transfer Agent is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses. For the period ended March 31, 2022, BNY Mellon waived transfer agent fees totaling $3,600.
BNY Mellon and the Transfer Agent have the ability to recover such amounts previously waived, if the Fund terminates its agreements with BNY Mellon and the Transfer Agent within three years of commencing operations. As of March 31, 2022, the amount of potential recovery was $16,349. The ability to recover such amounts previously waived expires on February 28, 2025.
The Trust, on behalf of the Fund, has entered into agreements with financial intermediaries to provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries investing in the Fund and has agreed to compensate the intermediaries for providing those services. The fees incurred by the Fund for these services are included in Transfer Agent fees in the Statements of Operations.
Foreside Funds Distributors LLC (the "Underwriter") provides principal underwriting services to the Fund pursuant to an underwriting agreement between the Trust and the Underwriter.
Trustees and Officers
The Trust is governed by its Board of Trustees. The Trustees receive compensation in the form of an annual retainer and per meeting fees for their services to the Trust. An employee of BNY Mellon serves as the Secretary of the Trust and is not compensated by the Fund or the Trust.
JW Fund Management LLC ("JWFM") provides a Principal Executive Officer and Principal Financial Officer, respectively, to the Trust. Foreside Consulting LLC ("Foreside") provides the Trust with a Chief Compliance Officer and an Anti-Money Laundering Officer. JWFM and Foreside are compensated for their services provided to the Trust.
3. Investment in Securities
From February 28, 2022, commencement of operations, to March 31, 2022, aggregated purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
| | Purchases | | Sales |
| Investment Securities | $1,010,756 | | $24,621 |
C WORLDWIDE INTERNATIONAL EQUITIES FUND
Notes to Financial Statements (Concluded) March 31, 2022
(Unaudited)
4. Capital Share Transactions
From February 28, 2022, commencement of operations, to March 31, 2022, transactions in capital shares (authorized shares unlimited) were as follows:
| | For the Period Ended
March 31, 2022
(Unaudited) |
| | Shares | | Amount |
| Class I | | | |
| Sales | 100,001 | | $1,000,005 |
| Reinvestments | — | | — |
| Redemptions | (1) | | (5) |
| Net increase | 100,000 | | $1,000,000 |
5. Federal Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as tax benefit or expense in the current year.The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
As of the March 31, 2022, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund was as follows:
| Federal Tax Cost* | $982,626 |
| Unrealized Appreciation | 12,354 |
| Unrealized Depreciation | (33,422) |
| Net Unrealized Depreciation | $ (21,068) |
| * | Because tax adjustments are calculated annually at the end of the Fund’s fiscal year, the above table does not reflect tax adjustments for the current fiscal year. |
6. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements.
C WORLDWIDE INTERNATIONAL EQUITIES FUND
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (833) 996-0797 and on the Securities and Exchange Commission's ("SEC") website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended December 31 and June 30) as an exhibit to their reports on Form N-PORT. The Trust's portfolio holdings on Form N-PORT are available on the SEC's website at http://www.sec.gov.
Board Consideration of Investment Advisory Agreement
At a meeting held on June 22, 2020 (the “Meeting”), the Board of Trustees (the “Board” or the “Trustees”) of FundVantage Trust (the “Trust”), including a majority of the Trustees who are not “interested persons” within the meaning of Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Trustees”), unanimously approved an investment advisory agreement between C WorldWide Asset Management Fondsmaeglerselskab A/S (“C WorldWide”) and the Trust (the “Agreement”) on behalf of the C Worldwide International Equities Fund (the “New C WorldWide Fund”). At the Meeting, the Board considered the approval of the Agreement for an initial two year period.
In determining whether to approve the Agreement for an initial two-year period, the Trustees, including the Independent Trustees, considered information provided in the C WorldWide 15(c) Response regarding: (i) services to be performed for the New C WorldWide Fund, (ii) the size and qualifications of C WorldWide’s portfolio management staff, (iii) any potential or actual material conflicts of interest that may arise in connection with a portfolio manager’s management of the New C WorldWide Fund, (iv) the financial condition of C WorldWide, (v) brokerage selection procedures (including soft dollar arrangements, if any), (vi) the procedures for allocating investment opportunities between the New C WorldWide Fund and other clients, (vii) results of any regulatory examination, including any recommendations or deficiencies noted, (viii) any litigation, investigation or administrative proceeding that may have a material impact on C WorldWide’s ability to service the New C WorldWide Fund, and (ix) compliance with federal securities laws and other regulatory requirements.
With respect to the New C WorldWide Fund, the Trustees considered that the proposed strategy for the fund was new, and therefore did not have historical performance. However, they noted that they had received gross performance information for a composite of separately managed accounts managed in a manner similar to the proposed New C WorldWide Fund. The Trustees were satisfied that C WorldWide could execute the strategy of the New C WorldWide Fund.
The Board discussed C WorldWide’s business continuity plan, and its potential ability to manage the New C WorldWide Fund effectively in light of the recent volatility in financial markets as a result of the COVID-19 virus outbreak.
The Trustees also noted that C WorldWide had provided information regarding its proposed advisory fee of 0.80% and an analysis of the fee in relation to the delivery of services to the New C WorldWide Fund and any other ancillary benefit resulting from C WorldWide’s relationship with the New C WorldWide Fund. The Trustees reviewed information regarding the fees C WorldWide charges to the other accounts advised by C WorldWide that use a similar investment process, and evaluated the explanations provided by C WorldWide as to differences in fees charged to the New C WorldWide Fund and similarly managed accounts.
The Trustees evaluated explanations provided by C WorldWide regarding its belief that the proposed advisory fee for the New C WorldWide Fund is within the normal range of fees and expenses for funds of similar size, composition and type of investment product. The Trustees concluded that the advisory fee and services proposed to be provided by C WorldWide are sufficiently consistent with those of other advisers which manage mutual funds with investment objectives, strategies and policies similar to those of the New C WorldWide Fund.
C WORLDWIDE INTERNATIONAL EQUITIES FUND
Other Information (Continued)
(Unaudited)
The Board considered C WorldWide’s personnel who would provide investment management services to the New C WorldWide Fund. Based on the C WorldWide 15(c) Response, the Trustees concluded that (i) the nature, extent and quality of the services to be provided by C WorldWide are appropriate and consistent with the terms of the Agreement, (ii) the quality of those services were consistent with industry norms, (iii) the New C WorldWide Fund is likely to benefit from the provision of those services, (iv) C WorldWide has sufficient personnel, with the appropriate skills and experience, to serve the New C WorldWide Fund effectively and C WorldWide has demonstrated its continuing ability to attract and retain qualified personnel, and (v) the satisfactory nature, extent, and quality of services to be provided to the New C WorldWide Fund and its shareholders is likely to occur under the Agreement.
The Trustees considered the costs of the services to be provided by C WorldWide, the compensation and benefits to be received by C WorldWide in providing services to the New C WorldWide Fund, its profitability and certain additional information related to C WorldWide’s financial condition.
The Trustees considered the extent to which economies of scale would be realized relative to fee levels as the New C WorldWide Fund is expected to grow, and whether the advisory fee levels reflect these economies of scale for the benefit of shareholders. Because the New C WorldWide Fund had not yet commenced operations and in light of anticipated asset growth upon launch, the Board concluded that economies of scale were not a necessary consideration at the present time.
After consideration of all the factors, taking into consideration the information presented at the Board Meeting, the entire Board, including the Independent Trustees, unanimously approved the Agreement for an initial two year period. In arriving at their decision, the Trustees did not identify any single matter as controlling, but made their determination in light of all the circumstances.
C WORLDWIDE INTERNATIONAL EQUITIES FUND
Privacy Notice
(Unaudited)
The privacy of your personal financial information is extremely important to us. When you open an account with us, we collect a significant amount of information from you in order to properly invest and administer your account. We take very seriously the obligation to keep that information private and confidential, and we want you to know how we protect that important information.
We collect nonpublic personal information about you from applications or other forms you complete and from your transactions with us or our affiliates. We do not disclose information about you, or our former clients, to our affiliates or to service providers or other third parties, except as permitted by law. We share only the information required to properly administer your accounts, which enables us to send transaction confirmations, monthly or quarterly statements, financials and tax forms. Even within FundVantage Trust and its affiliated entities, a limited number of people who actually service accounts will have access to your personal financial information. Further, we do not share information about our current or former clients with any outside marketing groups or sales entities.
To ensure the highest degree of security and confidentiality, FundVantage Trust and its affiliates maintain various physical, electronic and procedural safeguards to protect your personal information. We also apply special measures for authentication of information you request or submit to us on our web site.
If you have questions or comments about our privacy practices, please call us at (833) 996-0797.
Investment Adviser
C WorldWide Asset Management Fondsmaeglerselskab A/S
Dampfaergevej 26
DK-2100 Copenhagen, Denmark
Administrator
The Bank of New York Mellon
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
Independent Registered Public Accounting Firm
Grant Thornton LLP
171 North Clark, Suite 200
Chicago, IL 60601
Legal Counsel
Troutman Pepper Hamilton Sanders LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
GOTHAM FUNDS
of
FundVantage Trust
| Gotham Absolute Return Fund |
| Gotham Enhanced Return Fund |
| Gotham Neutral Fund |
| Gotham Index Plus Fund |
| Gotham Large Value Fund |
| Gotham Enhanced S&P 500 Index Fund |
| Gotham Hedged Core Fund |
SEMI-ANNUAL REPORT
March 31, 2022
(Unaudited)
This report is submitted for the general information of shareholders and is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus.
GOTHAM FUNDS
SEMI-ANNUAL REPORT
AS OF MARCH 31, 2022
TABLE OF CONTENTS
[THIS PAGE INTENTIONALLY LEFT BLANK.]
GOTHAM FUNDS
Important Information
The performance data quoted in this report represents past performance and does not guarantee future results. The investment return and principal value of an investment in a Gotham Fund will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (877) 974-6852.
Each Gotham Fund covered by this report (each a "Fund") compares its performance to an unmanaged index. An index does not reflect operational and transactional costs which apply to a mutual fund. It is not possible to invest directly in an index.
Mutual fund investing involves risks, including possible loss of principal. Each Fund except Gotham Large Value Fund and Gotham Enhanced S&P 500 Index Fund will short securities. Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. Each Fund, except Gotham Large Value Fund and Gotham Enhanced S&P 500 Index Fund, will also use leverage to make additional investments which could result in greater losses than if the Fund were not leveraged. Gotham Absolute Return Fund, Gotham Enhanced Return Fund, Gotham Neutral Fund and Gotham Index Plus Fund utilize one or more swap agreements in their investment programs. The use of derivatives, such as swaps, exposes a Fund to additional risks including increased volatility, lack of liquidity and possible losses greater than a Fund’s initial investments. Certain Funds may invest in securities of large-, mid- and small-cap companies. The securities issued by small-cap and mid-cap companies tend to be more volatile and less liquid than those of large-cap issuers. Each Fund may have a high turnover of its portfolio securities. High turnover rates generally result in higher brokerage costs to a Fund. There can be no guarantee that a Fund will achieve its objectives.
A prospective investor should consider the investment objectives, risks, charges and expenses of a Fund carefully before investing. The prospectus and summary prospectus contains this and other information about the Funds, and should be read carefully before investing. A copy of the prospectus or summary prospectus is available at www.GothamFunds.com or by calling (877) 974-6852.
GOTHAM FUNDS
Gotham Absolute Return Fund
Semi-Annual Report
Performance Data
March 31, 2022
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2022 |
| | Six
Months* | | 1 Year | | 3 Years | | 5 Years | | Since
Inception |
| Institutional Class Shares | 8.01% | | 14.59% | | 7.15% | | 5.85% | | 7.26% ** |
| HFRX Equity Hedge Index | 2.35% | | 8.92% | | 6.91% | | 4.66% | | 3.97% *** |
| * | Not annualized. |
| ** | The Gotham Absolute Return Fund (the “Fund”) commenced operations on August 31, 2012. |
| *** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2022, the “Total Annual Fund Operating Expenses” are 1.77% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 1.50% for Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s "Other Expenses" (exclusive of taxes, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 0.00% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). Gotham’s aggregate direct and indirect compensation from the Fund and any other investment companies advised or sub-advised by Gotham, does not exceed 1.50%, of the annual investment advisory fee, prior to February 1, 2021. The Expense Limitation will remain in place until January 31, 2023, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination.
The Fund evaluates its performance as compared to that of the Hedge Fund Research Inc. Equity Hedge Index ("HFRX"). The HFRX is an index of quantitatively-selected hedge funds which maintain positions both long and short in primarily equity and equity derivative securities. Constituents of the HFRX report net of all fees returns.
GOTHAM FUNDS
Gotham Enhanced Return Fund
Semi-Annual Report
Performance Data
March 31, 2022
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2022 |
| | Six
Months* | | 1 Year | | 3 Years | | 5 Years | | Since
Inception |
| Institutional Class Shares | 10.27% | | 20.32% | | 10.46% | | 9.50% | | 10.30% ** |
| S&P 500® Total Return Index | 5.92% | | 15.65% | | 18.92% | | 15.99% | | 14.46% *** |
| * | Not annualized. |
| ** | The Gotham Enhanced Return Fund (the “Fund”) commenced operations on May 31, 2013. |
| *** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2022, the “Total Annual Fund Operating Expenses” are 1.79% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 1.50% for Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s "Other Expenses" (exclusive of taxes, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 0.00% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). Gotham’s aggregate direct and indirect compensation from the Fund and any other investment companies advised or sub-advised by Gotham, does not exceed 1.50%, of the annual investment advisory fee, prior to February 1, 2021. The Expense Limitation will remain in place until January 31, 2023, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination.
The Fund evaluates its performance as compared to that of the Standard & Poor's 500® Total Return Index ("S&P 500® Total Return Index"). The S&P 500® Total Return Index is a market capitalization weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. Its returns reflect reinvested dividends.
GOTHAM FUNDS
Gotham Neutral Fund
Semi-Annual Report
Performance Data
March 31, 2022
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2022 |
| | Six
Months* | | 1 Year | | 3 Years | | 5 Years | | Since
Inception |
| Institutional Class Shares | 10.30% | | 14.22% | | 0.23% | | -0.15% | | 0.70% ** |
| BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.05% | | 0.06% | | 0.81% | | 1.13% | | 0.72% *** |
| * | Not annualized. |
| ** | The Gotham Neutral Fund (the “Fund”) commenced operations on August 30, 2013. |
| *** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2022, the “Total Annual Fund Operating Expenses” are 2.07% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 1.50% for Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses”, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 1.50% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2023, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination.
The Fund evaluates its performance as compared to that of the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index (the “BofA Index”). The BofA Index is an index comprised of a single Treasury bill issue purchased at the beginning of the month and held for a full month, then sold and rolled into a newly selected Treasury bill issue.
GOTHAM FUNDS
Gotham Index Plus Fund
Semi-Annual Report
Performance Data
March 31, 2022
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2022 |
| | Six
Months* | | 1 Year | | 3 Years | | 5 Years | | Since
Inception |
| Institutional Class Shares | 9.41% | | 18.33% | | 16.09% | | 13.86% | | 13.21% ** |
| Investor Class Shares | 9.27% | | 18.03% | | 15.77% | | 13.57% | | 11.46% ** |
| S&P 500® Total Return Index | 5.92% | | 15.65% | | 18.92% | | 15.99% | | 14.01% *** |
| * | Not annualized. |
| ** | Institutional Class shares and Investor Class shares of the Gotham Index Plus Fund (the “Fund”) incepted on March 31, 2015 and December 29, 2017, respectively. |
| *** | Benchmark performance is from inception date of the Fund’s Institutional Class shares only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class and Investor Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2022, the “Total Annual Fund Operating Expenses” and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 1.24% and 1.15% for Institutional Class shares, respectively, and 1.49% and 1.40% for Investor Class shares, respectively, of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s "Other Expenses" (exclusive of taxes, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 0.15% with respect to Institutional Class shares (on an annual basis) and 0.15% with respect to Investor Class shares (on an annual basis), of average daily net assets of the Fund (the “Expense Limitation”). Gotham’s aggregate direct and indirect compensation from the Fund and any other investment companies advised or sub-advised by Gotham, does not exceed 1.00%, the annual investment advisory fee, prior to February 1, 2021. The Expense Limitation will remain in place until January 31, 2023, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation.
The Fund evaluates its performance as compared to that of the Standard & Poor's 500® Total Return Index ("S&P 500® Total Return Index"). The S&P 500® Total Return Index is a market capitalization weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. Its returns reflect reinvested dividends.
GOTHAM FUNDS
Gotham Large Value Fund
Semi-Annual Report
Performance Data
March 31, 2022
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2022 |
| | Six
Months* | | 1 Year | | 3 Years | | 5 Years | | Since
Inception |
| Institutional Class Shares | 9.12% | | 15.04% | | 14.33% | | 13.24% | | 13.72% ** |
| S&P 500® Total Return Index | 5.92% | | 15.65% | | 18.92% | | 15.99% | | 15.74% *** |
| * | Not annualized. |
| ** | The Gotham Large Value Fund (the “Fund”) commenced operations on December 31, 2015. |
| *** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2022, the “Total Annual Fund Operating Expenses” are 1.05% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 0.75% for Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses”, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 0.75% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2023, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination.
The Fund evaluates its performance as compared to that of the Standard & Poor's 500® Total Return Index ("S&P 500® Total Return Index"). The S&P 500® Total Return Index is a market capitalization weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. Its returns reflect reinvested dividends.
GOTHAM FUNDS
Gotham Enhanced S&P 500 Index Fund
Semi-Annual Report
Performance Data
March 31, 2022
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2022 |
| | Six
Months* | | 1 Year | | 3 Years | | 5 Years | | Since
Inception |
| Institutional Class Shares | 7.49% | | 15.86% | | 16.89% | | 15.86% | | 16.40% ** |
| S&P 500® Total Return Index | 5.92% | | 15.65% | | 18.92% | | 15.99% | | 16.49% *** |
| * | Not annualized. |
| ** | The Gotham Enhanced S&P 500 Index Fund (the “Fund”) commenced operations on December 30, 2016. |
| *** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2022, the “Total Annual Fund Operating Expenses” are 0.65% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 0.50% for Institutional Class shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s “Other Expenses” (exclusive of taxes, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 0.00% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). Gotham’s aggregate direct and indirect compensation from the Fund and any other investment companies advised or sub-advised by Gotham, does not exceed 0.50%, the annual investment advisory fee, prior to February 1, 2021. The Expense Limitation will remain in place until January 31, 2023, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination.
The Fund evaluates its performance as compared to that of the Standard & Poor's 500® Total Return Index ("S&P 500® Total Return Index"). The S&P 500® Total Return Index is a market capitalization weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. Its returns reflect reinvested dividends.
GOTHAM FUNDS
Gotham Hedged Core Fund
Semi-Annual Report
Performance Data
March 31, 2022
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2022 |
| | Six
Months* | | 1 Year | | 3 Years | | 5 Years | | Since
Inception |
| Institutional Class Shares | 7.83% | | 14.03% | | 11.12% | | 9.67% | | 10.33% ** |
| HFRX Equity Hedge Index | 2.35% | | 8.92% | | 6.91% | | 4.66% | | 4.89% *** |
| * | Not annualized. |
| ** | The Gotham Hedged Core Fund (the “Fund”) commenced operations on September 30, 2016. |
| *** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2022, the “Total Annual Fund Operating Expenses” and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are both 1.66% for Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses”, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 0.85% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2023, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation.
The Fund evaluates its performance as compared to that of the Hedge Fund Research Inc. Equity Hedge Index ("HFRX"). The HFRX is an index of quantitatively-selected hedge funds which maintain positions both long and short in primarily equity and equity derivative securities. Constituents of the HFRX report net of all fees returns.
GOTHAM FUNDS
Fund Expense Disclosure
March 31, 2022
(Unaudited)
As a shareholder of a Fund(s), you incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management fees, distribution and/or service (Rule 12b-1) fees (if any) and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from October 1, 2021 through March 31, 2022.
Actual Expenses
The first line for each Fund in the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000= 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line for each Fund in the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | Beginning Account Value
October 1, 2021 | | Ending Account Value
March 31, 2022 | | Annualized
Expense Ratio* | | Expenses Paid
During Period** |
| Gotham Absolute Return Fund |
| Institutional Class | | | | | | | |
| Actual | $1,000.00 | | $1,080.10 | | 1.50% | | $7.78 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,017.45 | | 1.50% | | 7.54 |
| Gotham Enhanced Return Fund |
| Institutional Class | | | | | | | |
| Actual | $1,000.00 | | $1,102.70 | | 1.50% | | $7.86 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,017.45 | | 1.50% | | 7.54 |
| Gotham Neutral Fund |
| Institutional Class | | | | | | | |
| Actual | $1,000.00 | | $1,103.00 | | 1.50% | | $7.86 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,017.45 | | 1.50% | | 7.54 |
GOTHAM FUNDS
Fund Expense Disclosure (Concluded)
March 31, 2022
(Unaudited)
| | Beginning Account Value
October 1, 2021 | | Ending Account Value
March 31, 2022 | | Annualized
Expense Ratio* | | Expenses Paid
During Period** |
| Gotham Index Plus Fund |
| Institutional Class | | | | | | | |
| Actual | $1,000.00 | | $1,094.10 | | 0.99% | | $5.17 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,020.00 | | 0.99% | | 4.99 |
| Investor Class | | | | | | | |
| Actual | $1,000.00 | | $1,092.70 | | 1.24% | | $6.47 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,018.75 | | 1.24% | | 6.24 |
| Gotham Large Value Fund |
| Institutional Class | | | | | | | |
| Actual | $1,000.00 | | $1,091.20 | | 0.75% | | $3.91 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,021.19 | | 0.75% | | 3.78 |
| Gotham Enhanced S&P 500 Index Fund |
| Institutional Class | | | | | | | |
| Actual | $1,000.00 | | $1,074.90 | | 0.50% | | $2.59 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,022.44 | | 0.50% | | 2.52 |
| Gotham Hedged Core Fund |
| Institutional Class | | | | | | | |
| Actual | $1,000.00 | | $1,078.30 | | 1.73% | | $8.96 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,016.31 | | 1.73% | | 8.70 |
| * | Annualized expense ratios include dividend expense on securities sold short and interest expense on securities sold short and borrowings, except for Gotham Large Value Fund and Gotham Enhanced S&P 500 Index Fund, which do not short securities or use leverage. |
| ** | Expenses are equal to a Fund’s annualized expense ratio, in the table above, which include waived fees or reimbursement expenses for the six-month period ended March 31, 2022, multiplied by the average account value over the period, multiplied by the number of days in the most recent period, then divided by 365 to reflect the period. Hypothetical expenses are equal to the Fund’s annualized expense ratios, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by 365 to reflect the period. |
Gotham Absolute Return Fund
Portfolio Holdings Summary Table
March 31, 2022
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| Common Stocks: | | | |
| Software & Services | 13.5% | | $ 77,981,619 |
| Capital Goods | 8.1 | | 46,700,403 |
| Health Care Equipment & Services | 7.1 | | 40,897,536 |
| Media & Entertainment | 6.8 | | 39,020,575 |
| Semiconductors & Semiconductor Equipment | 6.5 | | 37,306,375 |
| Retailing | 6.3 | | 36,694,578 |
| Energy | 6.2 | | 36,103,089 |
| Technology Hardware & Equipment | 6.1 | | 35,181,824 |
| Pharmaceuticals, Biotechnology & Life Sciences | 6.0 | | 34,526,744 |
| Materials | 5.2 | | 30,045,743 |
| Food, Beverage & Tobacco | 3.7 | | 21,337,893 |
| Diversified Financials | 2.6 | | 14,865,469 |
| Transportation | 2.4 | | 13,816,472 |
| Consumer Durables & Apparel | 2.3 | | 13,067,820 |
| Commercial & Professional Services | 2.2 | | 12,595,548 |
| Consumer Services | 2.0 | | 11,527,403 |
| Utilities | 1.8 | | 10,479,346 |
| Household & Personal Products | 1.6 | | 9,501,274 |
| Automobiles & Components | 1.4 | | 8,318,225 |
| Food & Staples Retailing | 1.4 | | 8,221,780 |
| Telecommunication Services | 1.4 | | 8,185,928 |
| Total Common Stocks | 94.6 | | 546,375,644 |
| Other Assets in Excess of Liabilities | 5.4 | | 31,360,375 |
| NET ASSETS | 100.0% | | $577,736,019 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
Gotham Enhanced Return Fund
Portfolio Holdings Summary Table
March 31, 2022
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| Common Stocks: | | | |
| Software & Services | 13.6% | | $ 34,389,345 |
| Capital Goods | 7.9 | | 20,094,437 |
| Health Care Equipment & Services | 7.1 | | 17,968,386 |
| Media & Entertainment | 6.8 | | 17,304,604 |
| Semiconductors & Semiconductor Equipment | 6.6 | | 16,734,317 |
| Pharmaceuticals, Biotechnology & Life Sciences | 6.3 | | 16,074,118 |
| Retailing | 6.3 | | 15,851,952 |
| Energy | 6.1 | | 15,445,583 |
| Technology Hardware & Equipment | 5.8 | | 14,596,873 |
| Materials | 4.7 | | 11,921,498 |
| Food, Beverage & Tobacco | 3.6 | | 9,048,492 |
| Diversified Financials | 3.5 | | 8,741,176 |
| Transportation | 2.5 | | 6,365,867 |
| Consumer Services | 2.2 | | 5,457,186 |
| Consumer Durables & Apparel | 2.1 | | 5,400,929 |
| Commercial & Professional Services | 2.0 | | 5,039,086 |
| Utilities | 1.9 | | 4,786,622 |
| Automobiles & Components | 1.6 | | 4,170,177 |
| Household & Personal Products | 1.6 | | 3,990,463 |
| Telecommunication Services | 1.5 | | 3,782,300 |
| Food & Staples Retailing | 1.4 | | 3,569,134 |
| Total Common Stocks | 95.1 | | 240,732,545 |
| Other Assets in Excess of Liabilities | 4.9 | | 12,466,611 |
| NET ASSETS | 100.0% | | $253,199,156 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
Gotham Neutral Fund
Portfolio Holdings Summary Table
March 31, 2022
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| Common Stocks: | | | |
| Software & Services | 12.0% | | $ 5,888,205 |
| Capital Goods | 8.8 | | 4,329,941 |
| Health Care Equipment & Services | 7.5 | | 3,679,630 |
| Energy | 7.0 | | 3,456,704 |
| Semiconductors & Semiconductor Equipment | 6.5 | | 3,198,220 |
| Materials | 6.4 | | 3,123,686 |
| Retailing | 6.3 | | 3,074,572 |
| Technology Hardware & Equipment | 5.4 | | 2,658,776 |
| Pharmaceuticals, Biotechnology & Life Sciences | 5.3 | | 2,627,436 |
| Media & Entertainment | 4.9 | | 2,391,155 |
| Food, Beverage & Tobacco | 3.9 | | 1,927,038 |
| Consumer Durables & Apparel | 2.9 | | 1,420,917 |
| Commercial & Professional Services | 2.9 | | 1,411,655 |
| Transportation | 2.5 | | 1,241,852 |
| Consumer Services | 2.4 | | 1,168,450 |
| Diversified Financials | 2.3 | | 1,118,463 |
| Utilities | 2.1 | | 1,023,951 |
| Household & Personal Products | 1.7 | | 833,715 |
| Automobiles & Components | 1.2 | | 570,798 |
| Telecommunication Services | 1.1 | | 566,020 |
| Food & Staples Retailing | 1.0 | | 493,883 |
| Total Common Stocks | 94.1 | | 46,205,067 |
| Other Assets in Excess of Liabilities | 5.9 | | 2,871,006 |
| NET ASSETS | 100.0% | | $49,076,073 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
Gotham Index Plus Fund
Portfolio Holdings Summary Table
March 31, 2022
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| Common Stocks: | | | |
| Capital Goods | 4.4% | | $ 22,525,599 |
| Software & Services | 4.1 | | 20,917,287 |
| Health Care Equipment & Services | 3.1 | | 16,018,866 |
| Energy | 3.1 | | 15,987,717 |
| Pharmaceuticals, Biotechnology & Life Sciences | 3.0 | | 15,323,269 |
| Food, Beverage & Tobacco | 2.7 | | 14,112,642 |
| Materials | 2.7 | | 13,912,639 |
| Utilities | 2.7 | | 13,772,395 |
| Diversified Financials | 2.6 | | 13,324,928 |
| Retailing | 2.5 | | 12,726,504 |
| Semiconductors & Semiconductor Equipment | 2.4 | | 12,377,285 |
| Real Estate | 1.9 | | 9,993,258 |
| Media & Entertainment | 1.7 | | 8,845,660 |
| Transportation | 1.5 | | 7,989,954 |
| Consumer Services | 1.5 | | 7,818,984 |
| Insurance | 1.4 | | 7,295,894 |
| Banks | 1.4 | | 6,964,834 |
| Technology Hardware & Equipment | 1.3 | | 6,706,990 |
| Household & Personal Products | 1.0 | | 5,257,365 |
| Commercial & Professional Services | 1.0 | | 5,010,830 |
| Consumer Durables & Apparel | 0.9 | | 4,859,777 |
| Telecommunication Services | 0.7 | | 3,755,261 |
| Food & Staples Retailing | 0.4 | | 2,288,687 |
| Automobiles & Components | 0.3 | | 1,457,960 |
| Exchange Traded Funds | 0.3 | | 1,624,097 |
| Affiliated Equity Registered Investment Company | 45.3 | | 234,069,406 |
| Total Investments | 93.9 | | 484,938,088 |
| Other Assets in Excess of Liabilities | 6.1 | | 31,682,899 |
| NET ASSETS | 100.0% | | $516,620,987 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
Gotham Large Value Fund
Portfolio Holdings Summary Table
March 31, 2022
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| Common Stocks: | | | |
| Semiconductors & Semiconductor Equipment | 11.9% | | $ 7,324,117 |
| Capital Goods | 9.1 | | 5,600,428 |
| Energy | 8.2 | | 5,030,307 |
| Software & Services | 6.7 | | 4,105,444 |
| Retailing | 6.4 | | 3,923,724 |
| Media & Entertainment | 6.3 | | 3,857,012 |
| Health Care Equipment & Services | 6.2 | | 3,839,112 |
| Materials | 6.1 | | 3,786,392 |
| Technology Hardware & Equipment | 6.0 | | 3,702,893 |
| Pharmaceuticals, Biotechnology & Life Sciences | 5.3 | | 3,279,623 |
| Diversified Financials | 4.4 | | 2,732,774 |
| Banks | 4.0 | | 2,463,990 |
| Food, Beverage & Tobacco | 3.3 | | 2,065,127 |
| Insurance | 2.6 | | 1,620,626 |
| Real Estate | 2.4 | | 1,498,334 |
| Transportation | 2.3 | | 1,426,484 |
| Automobiles & Components | 1.9 | | 1,157,078 |
| Consumer Services | 1.8 | | 1,103,608 |
| Telecommunication Services | 1.3 | | 792,088 |
| Consumer Durables & Apparel | 1.3 | | 785,246 |
| Utilities | 0.8 | | 501,151 |
| Commercial & Professional Services | 0.7 | | 421,425 |
| Food & Staples Retailing | 0.3 | | 194,123 |
| Household & Personal Products | 0.0 | | 2,723 |
| Total Common Stocks | 99.3 | | 61,213,829 |
| Other Assets in Excess of Liabilities | 0.7 | | 421,366 |
| NET ASSETS | 100.0% | | $61,635,195 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
Gotham Enhanced S&P 500 Index Fund
Portfolio Holdings Summary Table
March 31, 2022
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| Common Stocks: | | | |
| Software & Services | 14.0% | | $ 2,388,452 |
| Media & Entertainment | 12.2 | | 2,082,223 |
| Pharmaceuticals, Biotechnology & Life Sciences | 10.2 | | 1,740,360 |
| Technology Hardware & Equipment | 9.6 | | 1,646,700 |
| Retailing | 8.3 | | 1,424,887 |
| Capital Goods | 5.6 | | 964,438 |
| Health Care Equipment & Services | 5.2 | | 883,727 |
| Semiconductors & Semiconductor Equipment | 4.6 | | 779,320 |
| Food, Beverage & Tobacco | 4.6 | | 778,574 |
| Energy | 4.5 | | 776,788 |
| Diversified Financials | 3.8 | | 645,361 |
| Materials | 3.0 | | 504,416 |
| Automobiles & Components | 2.4 | | 415,594 |
| Telecommunication Services | 2.3 | | 390,634 |
| Transportation | 1.8 | | 311,498 |
| Insurance | 1.6 | | 279,949 |
| Real Estate | 1.4 | | 231,563 |
| Consumer Services | 1.0 | | 166,437 |
| Consumer Durables & Apparel | 0.9 | | 148,392 |
| Utilities | 0.8 | | 132,132 |
| Household & Personal Products | 0.5 | | 89,290 |
| Banks | 0.5 | | 84,114 |
| Food & Staples Retailing | 0.3 | | 43,316 |
| Commercial & Professional Services | 0.2 | | 37,287 |
| Total Common Stocks | 99.3 | | 16,945,452 |
| Other Assets in Excess of Liabilities | 0.7 | | 117,964 |
| NET ASSETS | 100.0% | | $17,063,416 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
Gotham Hedged Core Fund
Portfolio Holdings Summary Table
March 31, 2022
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| LONG POSITIONS: | | | |
| Common Stocks: | | | |
| Health Care Equipment & Services | 15.5% | | $ 1,307,627 |
| Media & Entertainment | 14.9 | | 1,251,173 |
| Pharmaceuticals, Biotechnology & Life Sciences | 12.9 | | 1,082,960 |
| Software & Services | 11.9 | | 999,874 |
| Food, Beverage & Tobacco | 11.0 | | 929,466 |
| Technology Hardware & Equipment | 10.1 | | 853,659 |
| Real Estate | 9.1 | | 766,166 |
| Retailing | 8.5 | | 714,699 |
| Capital Goods | 5.8 | | 492,456 |
| Utilities | 5.7 | | 481,683 |
| Diversified Financials | 5.5 | | 459,540 |
| Semiconductors & Semiconductor Equipment | 4.9 | | 410,510 |
| Insurance | 4.4 | | 373,926 |
| Household & Personal Products | 3.8 | | 317,535 |
| Transportation | 3.3 | | 279,418 |
| Consumer Services | 2.9 | | 240,115 |
| Telecommunication Services | 2.6 | | 215,018 |
| Energy | 2.3 | | 195,764 |
| Food & Staples Retailing | 1.0 | | 80,929 |
| Materials | 0.9 | | 77,313 |
| Commercial & Professional Services | 0.7 | | 61,086 |
| Consumer Durables & Apparel | 0.6 | | 54,315 |
| Total Long Positions | 138.3 | | 11,645,232 |
| | % of Net
Assets | | Value |
| SHORT POSITIONS: | | | |
| Common Stocks: | | | |
| Energy | (0.0)% | | $ (1,519) |
| Food, Beverage & Tobacco | (0.0) | | (2,037) |
| Commercial & Professional Services | (0.2) | | (14,434) |
| Technology Hardware & Equipment | (0.5) | | (38,343) |
| Transportation | (0.5) | | (45,476) |
| Consumer Durables & Apparel | (0.6) | | (53,424) |
| Automobiles & Components | (0.7) | | (57,704) |
| Real Estate | (0.9) | | (78,357) |
| Insurance | (1.1) | | (91,399) |
| Consumer Services | (1.1) | | (95,166) |
| Media & Entertainment | (1.2) | | (102,775) |
| Pharmaceuticals, Biotechnology & Life Sciences | (1.9) | | (157,960) |
| Software & Services | (2.1) | | (172,337) |
| Retailing | (2.1) | | (174,701) |
| Semiconductors & Semiconductor Equipment | (2.3) | | (189,946) |
| Materials | (2.3) | | (190,077) |
| Diversified Financials | (2.6) | | (218,378) |
| Banks | (3.9) | | (332,109) |
| Capital Goods | (4.3) | | (362,905) |
| Health Care Equipment & Services | (5.5) | | (463,815) |
| Utilities | (5.9) | | (495,987) |
| Total Short Positions | (39.7) | | (3,338,849) |
| Other Assets in Excess of Liabilities | 1.4 | | 114,613 |
| NET ASSETS | 100.0% | | $ 8,420,996 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — 94.6% |
| Automobiles & Components — 1.4% |
| American Axle & Manufacturing Holdings, Inc.* | 15,198 | | $ 117,937 |
| Ford Motor Co.(a) | 175,716 | | 2,971,358 |
| General Motors Co.(a)* | 67,451 | | 2,950,307 |
| Gentherm, Inc.* | 1,961 | | 143,231 |
| Lear Corp. | 1,036 | | 147,723 |
| Magna International, Inc. (Canada) | 7,314 | | 470,363 |
| Tenneco, Inc., Class A* | 19,795 | | 362,644 |
| Thor Industries, Inc. | 7,468 | | 587,732 |
| Visteon Corp.* | 5,195 | | 566,930 |
| | | | 8,318,225 |
| Capital Goods — 8.1% |
| 3M Co.(a) | 10,990 | | 1,636,191 |
| A.O. Smith Corp. | 15,883 | | 1,014,765 |
| AECOM | 10,338 | | 794,062 |
| Aerojet Rocketdyne Holdings, Inc.* | 11,798 | | 464,251 |
| Albany International Corp., Class A | 2,765 | | 233,145 |
| Apogee Enterprises, Inc. | 3,111 | | 147,648 |
| Armstrong World Industries, Inc. | 1,451 | | 130,605 |
| Atkore, Inc.* | 15,316 | | 1,507,707 |
| Barnes Group, Inc. | 2,102 | | 84,479 |
| Boise Cascade Co. | 16,425 | | 1,141,045 |
| Builders FirstSource, Inc.* | 34,663 | | 2,237,150 |
| Carrier Global Corp. | 12,132 | | 556,495 |
| Crane Co. | 3,617 | | 391,649 |
| CSW Industrials, Inc. | 114 | | 13,405 |
| Cummins, Inc. | 6,013 | | 1,233,326 |
| Deere & Co.(a) | 3,681 | | 1,529,308 |
| Dover Corp. | 740 | | 116,106 |
| Dycom Industries, Inc.* | 5,972 | | 568,893 |
| Eaton Corp. PLC (Ireland) | 16,259 | | 2,467,466 |
| Encore Wire Corp. | 13,646 | | 1,556,599 |
| Enerpac Tool Group Corp. | 226 | | 4,947 |
| Fastenal Co. | 11,038 | | 655,657 |
| Fortune Brands Home & Security, Inc. | 4,710 | | 349,859 |
| General Dynamics Corp.(a) | 12,358 | | 2,980,502 |
| General Electric Co. | 15,944 | | 1,458,876 |
| Graco, Inc. | 1,472 | | 102,628 |
| Herc Holdings, Inc. | 467 | | 78,031 |
| Honeywell International, Inc. | 3,240 | | 630,439 |
| Howmet Aerospace, Inc. | 11,018 | | 395,987 |
| Hubbell, Inc. | 1,145 | | 210,417 |
| Ingersoll Rand, Inc. | 20,111 | | 1,012,589 |
| ITT, Inc. | 7,271 | | 546,852 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Capital Goods — (Continued) |
| Johnson Controls International PLC (Ireland) | 12,350 | | $ 809,789 |
| Kadant, Inc. | 43 | | 8,350 |
| Kennametal, Inc. | 16,885 | | 483,080 |
| L3Harris Technologies, Inc. | 2,285 | | 567,754 |
| Lockheed Martin Corp.(a) | 6,781 | | 2,993,133 |
| Masco Corp. | 14,848 | | 757,248 |
| Mueller Industries, Inc. | 11,577 | | 627,126 |
| Nordson Corp. | 3,261 | | 740,508 |
| NOW, Inc.* | 32,453 | | 357,957 |
| nVent Electric PLC (Ireland) | 6,766 | | 235,321 |
| Otis Worldwide Corp. | 19,451 | | 1,496,754 |
| Owens Corning | 1,153 | | 105,499 |
| Parker-Hannifin Corp. | 1,561 | | 442,949 |
| Pentair PLC (Ireland) | 13,717 | | 743,599 |
| Quanta Services, Inc. | 3,485 | | 458,661 |
| Raytheon Technologies Corp. | 4,005 | | 396,775 |
| Resideo Technologies, Inc.* | 22,202 | | 529,074 |
| Roper Technologies, Inc. | 824 | | 389,118 |
| Shyft Group, Inc. (The) | 3,916 | | 141,407 |
| SiteOne Landscape Supply, Inc.* | 96 | | 15,522 |
| Snap-on, Inc. | 3,354 | | 689,180 |
| Spirit AeroSystems Holdings, Inc., Class A | 44,279 | | 2,164,800 |
| SPX Corp.* | 2,948 | | 145,661 |
| SPX FLOW, Inc.* | 1,083 | | 93,376 |
| Standex International Corp. | 47 | | 4,696 |
| Textron, Inc. | 2,576 | | 191,603 |
| Timken Co. (The) | 75 | | 4,553 |
| Trane Technologies PLC (Ireland) | 3,699 | | 564,837 |
| Trex Co., Inc.* | 14,853 | | 970,346 |
| UFP Industries, Inc. | 5,067 | | 390,970 |
| Veritiv Corp.* | 2,901 | | 387,545 |
| Watts Water Technologies, Inc., Class A | 884 | | 123,398 |
| Westinghouse Air Brake Technologies Corp. | 8,316 | | 799,750 |
| WW Grainger, Inc. | 513 | | 264,600 |
| Xylem, Inc. | 361 | | 30,779 |
| Zurn Water Solutions Corp. | 37,390 | | 1,323,606 |
| | | | 46,700,403 |
| Commercial & Professional Services — 2.2% |
| ACV Auctions, Inc., Class A* | 1,797 | | 26,614 |
| Brink's Co. (The) | 2,145 | | 145,860 |
| Cintas Corp. | 3,264 | | 1,388,473 |
| Clean Harbors, Inc.* | 66 | | 7,368 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Commercial & Professional Services — (Continued) |
| Copart, Inc.* | 11,998 | | $ 1,505,389 |
| Huron Consulting Group, Inc.* | 846 | | 38,755 |
| Jacobs Engineering Group, Inc. | 11,224 | | 1,546,779 |
| KBR, Inc. | 4,260 | | 233,150 |
| Kelly Services, Inc., Class A | 35 | | 759 |
| Kforce, Inc. | 2,192 | | 162,142 |
| Korn Ferry | 12,348 | | 801,879 |
| Nielsen Holdings PLC (United Kingdom) | 52,106 | | 1,419,367 |
| Republic Services, Inc. | 6,176 | | 818,320 |
| Ritchie Bros Auctioneers, Inc. (Canada) | 6,426 | | 379,327 |
| Robert Half International, Inc. | 7,442 | | 849,728 |
| Tetra Tech, Inc. | 9,848 | | 1,624,329 |
| Thomson Reuters Corp. (Canada) | 67 | | 7,293 |
| TriNet Group, Inc.* | 4,857 | | 477,735 |
| Waste Management, Inc. | 7,333 | | 1,162,281 |
| | | | 12,595,548 |
| Consumer Durables & Apparel — 2.3% |
| Acushnet Holdings Corp. | 6,956 | | 280,049 |
| BRP, Inc., sub-voting shares (Canada) | 236 | | 19,302 |
| Cavco Industries, Inc.* | 509 | | 122,593 |
| Crocs, Inc.* | 5,112 | | 390,557 |
| DR Horton, Inc. | 13,784 | | 1,027,046 |
| G-III Apparel Group Ltd.* | 3,318 | | 89,752 |
| GoPro, Inc., Class A* | 69,112 | | 589,525 |
| Hasbro, Inc. | 4,558 | | 373,391 |
| Levi Strauss & Co., Class A | 4,832 | | 95,480 |
| Mattel, Inc.* | 37,219 | | 826,634 |
| Mohawk Industries, Inc.* | 5,629 | | 699,122 |
| Movado Group, Inc. | 57 | | 2,226 |
| Newell Brands, Inc. | 15,806 | | 338,407 |
| NIKE, Inc., Class B | 18,633 | | 2,507,257 |
| PVH Corp. | 2,233 | | 171,070 |
| Ralph Lauren Corp. | 4,124 | | 467,827 |
| Skyline Champion Corp.* | 24,272 | | 1,332,047 |
| Smith & Wesson Brands, Inc. | 15,461 | | 233,925 |
| Sonos, Inc.* | 13,685 | | 386,191 |
| Steven Madden Ltd. | 14,403 | | 556,532 |
| Sturm Ruger & Co., Inc. | 4,418 | | 307,581 |
| Tapestry, Inc. | 3,636 | | 135,077 |
| Tempur Sealy International, Inc. | 10,358 | | 289,195 |
| Under Armour, Inc., Class C* | 24,295 | | 378,030 |
| VF Corp. | 762 | | 43,327 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Consumer Durables & Apparel — (Continued) |
| Vista Outdoor, Inc.* | 16,676 | | $ 595,166 |
| Whirlpool Corp. | 4,691 | | 810,511 |
| | | | 13,067,820 |
| Consumer Services — 2.0% |
| Accel Entertainment, Inc.* | 408 | | 4,970 |
| Airbnb, Inc., Class A* | 2,032 | | 349,016 |
| Bloomin' Brands, Inc. | 20,061 | | 440,138 |
| Booking Holdings, Inc.* | 625 | | 1,467,781 |
| Boyd Gaming Corp. | 2,773 | | 182,408 |
| Caesars Entertainment, Inc.* | 3,141 | | 242,988 |
| Cheesecake Factory, Inc. (The)* | 14,050 | | 559,050 |
| Choice Hotels International, Inc. | 1,354 | | 191,943 |
| Cracker Barrel Old Country Store, Inc. | 4,108 | | 487,743 |
| Darden Restaurants, Inc. | 690 | | 91,736 |
| Dine Brands Global, Inc. | 7,534 | | 587,275 |
| Domino's Pizza, Inc. | 241 | | 98,090 |
| European Wax Center, Inc., Class A* | 228 | | 6,740 |
| Golden Entertainment, Inc.* | 2,775 | | 161,144 |
| Houghton Mifflin Harcourt Co.* | 29,222 | | 613,954 |
| McDonald's Corp. | 6,718 | | 1,661,227 |
| MGM Resorts International | 7,919 | | 332,123 |
| Monarch Casino & Resort, Inc.* | 58 | | 5,059 |
| Penn National Gaming, Inc.* | 11,910 | | 505,222 |
| Red Rock Resorts, Inc., Class A | 6,883 | | 334,239 |
| Service Corp. International | 3,711 | | 244,258 |
| Six Flags Entertainment Corp.* | 2,528 | | 109,968 |
| Starbucks Corp. | 12,694 | | 1,154,773 |
| Strategic Education, Inc. | 1,690 | | 112,182 |
| WW International, Inc.* | 10,570 | | 108,131 |
| Wyndham Hotels & Resorts, Inc. | 4,977 | | 421,502 |
| Wynn Resorts Ltd.* | 1,937 | | 154,456 |
| Yum! Brands, Inc. | 7,587 | | 899,287 |
| | | | 11,527,403 |
| Diversified Financials — 2.6% |
| Affiliated Managers Group, Inc. | 2,737 | | 385,780 |
| Berkshire Hathaway, Inc., Class B* | 5,020 | | 1,771,608 |
| BlackRock, Inc. | 2,917 | | 2,229,084 |
| Cboe Global Markets, Inc. | 1,689 | | 193,255 |
| CME Group, Inc. | 4,373 | | 1,040,162 |
| Donnelley Financial Solutions, Inc.* | 6,880 | | 228,829 |
| Franklin Resources, Inc. | 50,255 | | 1,403,120 |
| Intercontinental Exchange, Inc. | 3,849 | | 508,530 |
| Invesco Ltd. (Bermuda) | 24,960 | | 575,578 |
| Moody's Corp. | 3,437 | | 1,159,678 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Diversified Financials — (Continued) |
| MSCI, Inc. | 1,385 | | $ 696,489 |
| Nasdaq, Inc. | 8,747 | | 1,558,715 |
| Open Lending Corp., Class A* | 272 | | 5,144 |
| S&P Global, Inc. | 2,269 | | 930,698 |
| T Rowe Price Group, Inc.(a) | 14,411 | | 2,178,799 |
| | | | 14,865,469 |
| Energy — 6.2% |
| Antero Resources Corp.* | 2,376 | | 72,539 |
| APA Corp.(a) | 30,866 | | 1,275,692 |
| Arch Resources, Inc. | 411 | | 56,463 |
| Baker Hughes Co. | 32,718 | | 1,191,262 |
| Canadian Natural Resources Ltd. (Canada) | 22,809 | | 1,413,702 |
| Centennial Resource Development, Inc., Class A* | 93,830 | | 757,208 |
| ChampionX Corp. | 9,225 | | 225,828 |
| Cheniere Energy, Inc. | 9,682 | | 1,342,409 |
| Chevron Corp.(a) | 16,617 | | 2,705,746 |
| Comstock Resources, Inc.* | 11,301 | | 147,478 |
| Continental Resources, Inc. | 8,661 | | 531,179 |
| Denbury, Inc.* | 8,578 | | 673,973 |
| Dril-Quip, Inc.* | 4,076 | | 152,239 |
| DT Midstream, Inc. | 759 | | 41,183 |
| EOG Resources, Inc.(a) | 22,577 | | 2,691,856 |
| Exxon Mobil Corp.(a) | 36,288 | | 2,997,026 |
| Gulfport Energy Corp.* | 306 | | 27,485 |
| Halliburton Co. | 33,974 | | 1,286,595 |
| Helmerich & Payne, Inc. | 13,693 | | 585,787 |
| Imperial Oil Ltd. (Canada) | 5,527 | | 267,065 |
| Marathon Oil Corp. | 86,763 | | 2,178,619 |
| Marathon Petroleum Corp.(a) | 52,358 | | 4,476,609 |
| Murphy Oil Corp. | 14,932 | | 603,103 |
| Oasis Petroleum, Inc. | 3,923 | | 573,935 |
| Occidental Petroleum Corp. | 25,080 | | 1,423,039 |
| Oceaneering International, Inc.* | 37,599 | | 570,001 |
| ONEOK, Inc. | 25,568 | | 1,805,868 |
| Ovintiv, Inc. | 16,295 | | 881,071 |
| PDC Energy, Inc. | 13,467 | | 978,782 |
| Pembina Pipeline Corp. (Canada) | 13,673 | | 514,105 |
| Phillips 66 | 10,131 | | 875,217 |
| Schlumberger NV (Curacao) | 6,433 | | 265,747 |
| Suncor Energy, Inc. (Canada) | 11,985 | | 390,591 |
| Talos Energy, Inc.* | 17,592 | | 277,778 |
| Valero Energy Corp. | 5,650 | | 573,701 |
| Vermilion Energy, Inc. (Canada) | 39,107 | | 822,029 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Energy — (Continued) |
| Weatherford International PLC (Ireland)* | 36 | | $ 1,199 |
| Whiting Petroleum Corp. | 3,565 | | 290,583 |
| Williams Cos., Inc. (The) | 4,741 | | 158,397 |
| | | | 36,103,089 |
| Food & Staples Retailing — 1.4% |
| Costco Wholesale Corp. | 4,563 | | 2,627,604 |
| Ingles Markets, Inc., Class A | 308 | | 27,427 |
| Kroger Co. (The) | 9,657 | | 554,022 |
| Sysco Corp. | 7,683 | | 627,317 |
| United Natural Foods, Inc.* | 3,134 | | 129,591 |
| Walgreens Boots Alliance, Inc. | 14,559 | | 651,806 |
| Walmart, Inc.(a) | 24,201 | | 3,604,013 |
| | | | 8,221,780 |
| Food, Beverage & Tobacco — 3.7% |
| Altria Group, Inc. | 21,344 | | 1,115,224 |
| Archer-Daniels-Midland Co. | 16,227 | | 1,464,649 |
| Brown-Forman Corp., Class B | 4,970 | | 333,089 |
| Bunge Ltd. (Bermuda) | 149 | | 16,511 |
| Coca-Cola Co. (The)(a) | 32,063 | | 1,987,906 |
| Coca-Cola Consolidated, Inc. | 659 | | 327,424 |
| Constellation Brands, Inc., Class A | 4,670 | | 1,075,594 |
| Darling Ingredients, Inc.* | 3,556 | | 285,831 |
| General Mills, Inc. | 15,478 | | 1,048,170 |
| Hain Celestial Group, Inc. (The)* | 6,325 | | 217,580 |
| Hormel Foods Corp. | 15,542 | | 801,035 |
| Kraft Heinz Co. (The)(a) | 19,498 | | 768,026 |
| Molson Coors Beverage Co., Class B | 4,776 | | 254,943 |
| Mondelez International, Inc., Class A | 21,439 | | 1,345,941 |
| Monster Beverage Corp.* | 17,457 | | 1,394,814 |
| PepsiCo, Inc. | 10,731 | | 1,796,155 |
| Philip Morris International, Inc. | 26,459 | | 2,485,559 |
| Sanderson Farms, Inc. | 9,998 | | 1,874,525 |
| TreeHouse Foods, Inc.* | 3,203 | | 103,329 |
| Tyson Foods, Inc., Class A | 26,560 | | 2,380,573 |
| Vector Group Ltd. | 21,679 | | 261,015 |
| | | | 21,337,893 |
| Health Care Equipment & Services — 7.1% |
| Abbott Laboratories(a) | 26,476 | | 3,133,699 |
| ABIOMED, Inc.* | 32 | | 10,600 |
| Acadia Healthcare Co., Inc.* | 15,094 | | 989,110 |
| Addus HomeCare Corp.* | 1,541 | | 143,760 |
| Align Technology, Inc.* | 2,732 | | 1,191,152 |
| Allscripts Healthcare Solutions, Inc.* | 22,572 | | 508,321 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Health Care Equipment & Services — (Continued) |
| Amedisys, Inc.* | 2,328 | | $ 401,091 |
| AMN Healthcare Services, Inc.* | 1,811 | | 188,942 |
| Anthem, Inc.(a) | 6,960 | | 3,418,891 |
| Apollo Medical Holdings, Inc.* | 17,920 | | 868,582 |
| Avanos Medical, Inc.* | 12,031 | | 403,038 |
| Axonics, Inc.* | 738 | | 46,199 |
| Centene Corp.* | 3,152 | | 265,367 |
| Cerner Corp. | 16,220 | | 1,517,543 |
| Chemed Corp. | 237 | | 120,052 |
| Cigna Corp. | 1,937 | | 464,125 |
| CVS Health Corp. | 4,542 | | 459,696 |
| DaVita, Inc.* | 4,388 | | 496,327 |
| Dexcom, Inc.* | 3,926 | | 2,008,542 |
| Doximity, Inc., Class A* | 2,280 | | 118,765 |
| Edwards Lifesciences Corp.* | 8,803 | | 1,036,289 |
| Envista Holdings Corp.* | 7,684 | | 374,288 |
| Evolent Health, Inc., Class A* | 1,325 | | 42,798 |
| Fulgent Genetics, Inc.* | 18,105 | | 1,129,933 |
| HCA Healthcare, Inc. | 5,152 | | 1,291,194 |
| Hologic, Inc.(a)* | 15,830 | | 1,216,061 |
| ICU Medical, Inc.* | 1,831 | | 407,654 |
| IDEXX Laboratories, Inc.* | 660 | | 361,060 |
| Integra LifeSciences Holdings Corp.* | 8,801 | | 565,552 |
| Intuitive Surgical, Inc.* | 416 | | 125,499 |
| Laboratory Corp. of America Holdings* | 4,798 | | 1,265,041 |
| LivaNova PLC (United Kingdom)* | 15,154 | | 1,240,052 |
| Masimo Corp.* | 2,921 | | 425,122 |
| McKesson Corp.(a) | 6,576 | | 2,013,111 |
| MEDNAX, Inc.* | 12,169 | | 285,728 |
| Medtronic PLC (Ireland) | 21,741 | | 2,412,164 |
| Merit Medical Systems, Inc.* | 4,898 | | 325,815 |
| ModivCare, Inc.* | 245 | | 28,271 |
| Molina Healthcare, Inc.* | 1,938 | | 646,497 |
| Natus Medical, Inc.* | 151 | | 3,968 |
| Omnicell, Inc.* | 2,619 | | 339,134 |
| Ortho Clinical Diagnostics Holdings PLC (United Kingdom)* | 24,362 | | 454,595 |
| Quest Diagnostics, Inc. | 7,861 | | 1,075,856 |
| Select Medical Holdings Corp. | 17,914 | | 429,757 |
| STAAR Surgical Co.* | 8,284 | | 661,974 |
| Tandem Diabetes Care, Inc.* | 1,196 | | 139,083 |
| Teleflex, Inc. | 6,281 | | 2,228,687 |
| Tivity Health, Inc.* | 9,812 | | 315,652 |
| UnitedHealth Group, Inc.(a) | 4,922 | | 2,510,072 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Health Care Equipment & Services — (Continued) |
| Universal Health Services, Inc., Class B | 2,091 | | $ 303,090 |
| Varex Imaging Corp.* | 9,062 | | 192,930 |
| Veeva Systems, Inc., Class A* | 1,397 | | 296,807 |
| | | | 40,897,536 |
| Household & Personal Products — 1.6% |
| Church & Dwight Co., Inc. | 2,089 | | 207,605 |
| Colgate-Palmolive Co.(a) | 31,503 | | 2,388,872 |
| Coty, Inc., Class A* | 68,416 | | 615,060 |
| Estee Lauder Cos., Inc. (The), Class A | 8,268 | | 2,251,542 |
| Kimberly-Clark Corp. | 8,965 | | 1,104,129 |
| Procter & Gamble Co. (The)(a) | 19,202 | | 2,934,066 |
| | | | 9,501,274 |
| Materials — 5.2% |
| AdvanSix, Inc. | 5,430 | | 277,419 |
| Alcoa Corp. | 4,029 | | 362,731 |
| Avery Dennison Corp. | 1,450 | | 252,257 |
| Avient Corp. | 4,737 | | 227,376 |
| Balchem Corp. | 1,655 | | 226,239 |
| Ball Corp. | 1,616 | | 145,440 |
| Celanese Corp. | 1,718 | | 245,451 |
| CF Industries Holdings, Inc. | 17,128 | | 1,765,212 |
| Chemours Co. (The) | 5,504 | | 173,266 |
| Corteva, Inc. | 21,503 | | 1,235,992 |
| Dow, Inc. | 9,982 | | 636,053 |
| DuPont de Nemours, Inc.(a) | 39,312 | | 2,892,577 |
| Eagle Materials, Inc. | 7,361 | | 944,858 |
| Eastman Chemical Co. | 6,425 | | 719,985 |
| ERO Copper Corp. (Canada)* | 38 | | 556 |
| Ferro Corp.* | 17,762 | | 386,146 |
| FMC Corp. | 9,717 | | 1,278,466 |
| Franco-Nevada Corp. (Canada) | 739 | | 117,885 |
| Freeport-McMoRan, Inc.(a) | 21,777 | | 1,083,188 |
| Hecla Mining Co. | 17,499 | | 114,968 |
| Huntsman Corp. | 6,643 | | 249,179 |
| Ingevity Corp.* | 2,621 | | 167,927 |
| Innospec, Inc. | 1,123 | | 103,934 |
| International Paper Co. | 39,490 | | 1,822,463 |
| Intrepid Potash, Inc.* | 420 | | 34,499 |
| Kronos Worldwide, Inc. | 337 | | 5,230 |
| Linde PLC (Ireland) | 7,744 | | 2,473,666 |
| Louisiana-Pacific Corp. | 2,505 | | 155,611 |
| LyondellBasell Industries NV, Class A (Netherlands) | 8,367 | | 860,295 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Materials — (Continued) |
| Methanex Corp. (Canada) | 3,608 | | $ 196,852 |
| New Gold, Inc. (Canada)* | 162,582 | | 292,648 |
| Newmont Corp. | 731 | | 58,078 |
| Nucor Corp. | 15,406 | | 2,290,102 |
| Nutrien Ltd. (Canada) | 7,880 | | 819,441 |
| O-I Glass, Inc.* | 33,324 | | 439,210 |
| Olin Corp. | 15,611 | | 816,143 |
| Pan American Silver Corp. (Canada) | 17,633 | | 481,381 |
| PPG Industries, Inc. | 4,634 | | 607,378 |
| Reliance Steel & Aluminum Co. | 1,795 | | 329,113 |
| Royal Gold, Inc. | 1,309 | | 184,936 |
| Sealed Air Corp. | 15,025 | | 1,006,074 |
| Sensient Technologies Corp. | 4,123 | | 346,126 |
| Silgan Holdings, Inc. | 2,572 | | 118,904 |
| SSR Mining, Inc. (Canada) | 43,237 | | 940,405 |
| Sylvamo Corp.* | 4,201 | | 139,809 |
| TriMas Corp. | 336 | | 10,782 |
| Tronox Holdings PLC, Class A (United Kingdom) | 4,822 | | 95,427 |
| United States Steel Corp. | 2,872 | | 108,389 |
| Warrior Met Coal, Inc. | 13,527 | | 501,987 |
| Yamana Gold, Inc. (Canada) | 233,636 | | 1,303,689 |
| | | | 30,045,743 |
| Media & Entertainment — 6.8% |
| Activision Blizzard, Inc. | 15,857 | | 1,270,304 |
| Alphabet, Inc., Class A(a)* | 2,809 | | 7,812,812 |
| AMC Entertainment Holdings, Inc., Class A* | 39,522 | | 973,822 |
| AMC Networks, Inc., Class A* | 3,547 | | 144,115 |
| Bumble, Inc., Class A* | 35,014 | | 1,014,706 |
| Cars.com, Inc.* | 83 | | 1,198 |
| Charter Communications, Inc., Class A(a)* | 5,420 | | 2,956,718 |
| Clear Channel Outdoor Holdings, Inc.* | 21,197 | | 73,342 |
| Comcast Corp., Class A | 28,792 | | 1,348,042 |
| Discovery, Inc., Class A* | 90,835 | | 2,263,608 |
| Fox Corp., Class A | 6,462 | | 254,926 |
| Interpublic Group of Cos., Inc. (The) | 27,512 | | 975,300 |
| Live Nation Entertainment, Inc.* | 485 | | 57,055 |
| Match Group, Inc.* | 21,596 | | 2,348,349 |
| Meta Platforms, Inc., Class A(a)* | 38,574 | | 8,577,315 |
| Netflix, Inc.(a)* | 8,426 | | 3,156,295 |
| News Corp., Class A(a) | 40,381 | | 894,439 |
| PubMatic, Inc., Class A* | 17,532 | | 457,936 |
| Scholastic Corp. | 30 | | 1,208 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Media & Entertainment — (Continued) |
| Take-Two Interactive Software, Inc.* | 715 | | $ 109,924 |
| Thryv Holdings, Inc.* | 3,448 | | 96,958 |
| TripAdvisor, Inc.* | 9,959 | | 270,088 |
| Twitter, Inc.(a)* | 56,957 | | 2,203,666 |
| Walt Disney Co. (The)* | 8,669 | | 1,189,040 |
| Yelp, Inc.* | 115 | | 3,923 |
| Ziff Davis, Inc.* | 5,843 | | 565,486 |
| | | | 39,020,575 |
| Pharmaceuticals, Biotechnology & Life Sciences — 6.0% |
| Agilent Technologies, Inc.(a) | 14,176 | | 1,875,910 |
| Alnylam Pharmaceuticals, Inc.* | 185 | | 30,209 |
| Amphastar Pharmaceuticals, Inc.* | 1,201 | | 43,116 |
| Avantor, Inc.* | 7,369 | | 249,220 |
| Biogen, Inc.* | 5,745 | | 1,209,897 |
| Bio-Rad Laboratories, Inc., Class A* | 2,325 | | 1,309,510 |
| Bio-Techne Corp. | 781 | | 338,204 |
| Bristol-Myers Squibb Co. | 23,777 | | 1,736,434 |
| Charles River Laboratories International, Inc.* | 4,896 | | 1,390,317 |
| Corcept Therapeutics, Inc.* | 9,984 | | 224,840 |
| Cronos Group, Inc. (Canada)* | 7,093 | | 27,592 |
| Danaher Corp.(a) | 3,248 | | 952,736 |
| Dynavax Technologies Corp.* | 26,970 | | 292,355 |
| Elanco Animal Health, Inc.* | 34,066 | | 888,782 |
| Gilead Sciences, Inc. | 14,494 | | 861,668 |
| Halozyme Therapeutics, Inc.* | 2,547 | | 101,574 |
| Horizon Therapeutics PLC (Ireland)* | 2,719 | | 286,066 |
| Innoviva, Inc.* | 10,318 | | 199,653 |
| Ionis Pharmaceuticals, Inc.* | 6,245 | | 231,315 |
| IQVIA Holdings, Inc.* | 973 | | 224,967 |
| Ironwood Pharmaceuticals, Inc.* | 21,238 | | 267,174 |
| iTeos Therapeutics, Inc.* | 1,365 | | 43,926 |
| Johnson & Johnson(a) | 13,000 | | 2,303,990 |
| Merck & Co., Inc.(a) | 36,900 | | 3,027,645 |
| Mettler-Toledo International, Inc.* | 1,141 | | 1,566,810 |
| Moderna, Inc.(a)* | 20,570 | | 3,543,388 |
| Organogenesis Holdings, Inc.* | 2,912 | | 22,189 |
| Organon & Co. | 14,220 | | 496,705 |
| PerkinElmer, Inc. | 2,762 | | 481,859 |
| Pfizer, Inc.(a) | 55,730 | | 2,885,142 |
| Prestige Consumer Healthcare, Inc.* | 3,680 | | 194,819 |
| Prothena Corp. PLC (Ireland)* | 5,278 | | 193,016 |
| QIAGEN NV (Netherlands)* | 2,596 | | 127,204 |
| Regeneron Pharmaceuticals, Inc.(a)* | 1,715 | | 1,197,790 |
| REGENXBIO, Inc.* | 2,900 | | 96,251 |
| Sarepta Therapeutics, Inc.* | 4,550 | | 355,446 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
Pharmaceuticals, Biotechnology & Life Sciences —
(Continued) |
| Sundial Growers, Inc. (Canada)* | 686,894 | | $ 480,826 |
| Syndax Pharmaceuticals, Inc.* | 226 | | 3,928 |
| Thermo Fisher Scientific, Inc. | 1,399 | | 826,319 |
| Vertex Pharmaceuticals, Inc.* | 1,291 | | 336,912 |
| Viatris, Inc. | 42,717 | | 464,761 |
| Waters Corp.* | 2,694 | | 836,191 |
| West Pharmaceutical Services, Inc. | 1,220 | | 501,066 |
| Xencor, Inc.* | 1,310 | | 34,951 |
| Zoetis, Inc. | 9,354 | | 1,764,071 |
| | | | 34,526,744 |
| Retailing — 6.3% |
| Academy Sports & Outdoors, Inc. | 5,497 | | 216,582 |
| Advance Auto Parts, Inc. | 3,108 | | 643,232 |
| Amazon.com, Inc.(a)* | 2,605 | | 8,492,170 |
| AutoNation, Inc.* | 4,073 | | 405,589 |
| AutoZone, Inc.* | 1,197 | | 2,447,362 |
| Bath & Body Works, Inc.(a) | 49,298 | | 2,356,444 |
| Best Buy Co., Inc. | 1,973 | | 179,346 |
| Buckle, Inc. (The) | 5,943 | | 196,357 |
| Burlington Stores, Inc.* | 587 | | 106,934 |
| Dick's Sporting Goods, Inc. | 1,351 | | 135,127 |
| Dillard's, Inc., Class A | 805 | | 216,054 |
| Dollar General Corp. | 4,619 | | 1,028,328 |
| eBay, Inc.(a) | 44,703 | | 2,559,694 |
| Etsy, Inc.(a)* | 9,179 | | 1,140,766 |
| Genesco, Inc.* | 606 | | 38,548 |
| Genuine Parts Co. | 850 | | 107,117 |
| Guess?, Inc. | 15,162 | | 331,290 |
| Home Depot, Inc. (The)(a) | 5,066 | | 1,516,406 |
| LKQ Corp. | 24,166 | | 1,097,378 |
| Lowe's Cos., Inc.(a) | 15,547 | | 3,143,448 |
| Macy's, Inc. | 19 | | 463 |
| MarineMax, Inc.* | 11,705 | | 471,243 |
| ODP Corp. (The)* | 4,013 | | 183,916 |
| O'Reilly Automotive, Inc.* | 1,846 | | 1,264,436 |
| Overstock.com, Inc.* | 34,339 | | 1,511,088 |
| Penske Automotive Group, Inc. | 1,040 | | 97,469 |
| RH * | 1,923 | | 627,071 |
| Ross Stores, Inc. | 11,304 | | 1,022,560 |
| Shoe Carnival, Inc. | 5,463 | | 159,301 |
| Shutterstock, Inc. | 1,516 | | 141,109 |
| Signet Jewelers Ltd. (Bermuda) | 10,225 | | 743,357 |
| Sonic Automotive, Inc., Class A | 4,132 | | 175,651 |
| Target Corp.(a) | 12,307 | | 2,611,791 |
| Ulta Beauty, Inc.* | 2,056 | | 818,740 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Retailing — (Continued) |
| Victoria's Secret & Co.* | 6,479 | | $ 332,761 |
| Williams-Sonoma, Inc. | 1,210 | | 175,450 |
| | | | 36,694,578 |
| Semiconductors & Semiconductor Equipment — 6.5% |
| Advanced Micro Devices, Inc.(a)* | 38,825 | | 4,245,126 |
| Allegro MicroSystems, Inc.* | 12,589 | | 357,528 |
| Alpha & Omega Semiconductor Ltd. (Bermuda)* | 16,670 | | 911,016 |
| Amkor Technology, Inc. | 434 | | 9,426 |
| Applied Materials, Inc.(a) | 9,324 | | 1,228,903 |
| Axcelis Technologies, Inc.* | 14,027 | | 1,059,459 |
| Broadcom, Inc.(a) | 4,002 | | 2,519,979 |
| CEVA, Inc.* | 963 | | 39,146 |
| Cohu, Inc.* | 10,068 | | 298,013 |
| Diodes, Inc.* | 6,370 | | 554,126 |
| KLA Corp.(a) | 4,715 | | 1,725,973 |
| Lam Research Corp. | 1,405 | | 755,342 |
| Lattice Semiconductor Corp.* | 20,199 | | 1,231,129 |
| Microchip Technology, Inc. | 2,294 | | 172,371 |
| Micron Technology, Inc.(a) | 59,100 | | 4,603,299 |
| NVIDIA Corp.(a) | 9,463 | | 2,582,074 |
| NXP Semiconductors NV (Netherlands) | 6,423 | | 1,188,769 |
| ON Semiconductor Corp.* | 15,857 | | 992,807 |
| Onto Innovation, Inc.* | 8,652 | | 751,772 |
| Photronics, Inc.* | 8,197 | | 139,103 |
| Power Integrations, Inc. | 7,037 | | 652,189 |
| Qorvo, Inc.* | 1,644 | | 204,020 |
| QUALCOMM, Inc.(a) | 38,850 | | 5,937,057 |
| Rambus, Inc.* | 24,767 | | 789,820 |
| Semtech Corp.* | 9,084 | | 629,885 |
| Silicon Laboratories, Inc.* | 4,609 | | 692,272 |
| Skyworks Solutions, Inc. | 7,678 | | 1,023,324 |
| Synaptics, Inc.* | 3,207 | | 639,797 |
| Teradyne, Inc. | 11,610 | | 1,372,650 |
| | | | 37,306,375 |
| Software & Services — 13.5% |
| A10 Networks, Inc. | 8,018 | | 111,851 |
| Accenture PLC, Class A (Ireland) | 8,399 | | 2,832,395 |
| Adobe, Inc.(a)* | 6,634 | | 3,022,583 |
| Agilysys, Inc.* | 253 | | 10,090 |
| Akamai Technologies, Inc.* | 4,846 | | 578,564 |
| Alkami Technology, Inc.* | 68 | | 973 |
| Appian Corp.* | 3,162 | | 192,313 |
| Autodesk, Inc.* | 8,754 | | 1,876,420 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Software & Services — (Continued) |
| Automatic Data Processing, Inc.(a) | 12,227 | | $ 2,782,132 |
| Bentley Systems, Inc., Class B | 7,019 | | 310,099 |
| Bread Financial Holdings, Inc. | 564 | | 31,669 |
| Cadence Design Systems, Inc.(a)* | 3,975 | | 653,729 |
| CGI, Inc. (Canada)* | 2,357 | | 188,159 |
| Concentrix Corp. | 961 | | 160,064 |
| Crowdstrike Holdings, Inc., Class A* | 4,432 | | 1,006,419 |
| Datadog, Inc., Class A* | 13,105 | | 1,985,014 |
| Descartes Systems Group, Inc. (The) (Canada)* | 214 | | 15,678 |
| DigitalOcean Holdings, Inc.* | 10,143 | | 586,773 |
| Dropbox, Inc., Class A* | 12,825 | | 298,181 |
| DXC Technology Co.* | 30,244 | | 986,862 |
| Euronet Worldwide, Inc.* | 1,143 | | 148,761 |
| Fair Isaac Corp.* | 3,559 | | 1,660,131 |
| Fidelity National Information Services, Inc. | 1,095 | | 109,960 |
| Fiserv, Inc.* | 10,746 | | 1,089,644 |
| FleetCor Technologies, Inc.* | 3,591 | | 894,374 |
| Fortinet, Inc.(a)* | 9,283 | | 3,172,372 |
| Gartner, Inc.* | 6,466 | | 1,923,376 |
| Global Payments, Inc. | 3,448 | | 471,824 |
| Globant S.A. (Luxembourg)* | 2,067 | | 541,699 |
| GoDaddy, Inc., Class A* | 10,386 | | 869,308 |
| HubSpot, Inc.* | 4,843 | | 2,300,134 |
| InterDigital, Inc. | 4,648 | | 296,542 |
| International Business Machines Corp. | 14,189 | | 1,844,854 |
| Intuit, Inc.(a) | 4,512 | | 2,169,550 |
| Manhattan Associates, Inc.* | 4,605 | | 638,760 |
| Mastercard, Inc., Class A | 370 | | 132,231 |
| Microsoft Corp.(a) | 24,286 | | 7,487,617 |
| MongoDB, Inc.* | 5,211 | | 2,311,548 |
| NortonLifeLock, Inc. | 63,767 | | 1,691,101 |
| Open Text Corp. (Canada) | 3,786 | | 160,526 |
| Oracle Corp.(a) | 77,045 | | 6,373,933 |
| Paychex, Inc.(a) | 19,373 | | 2,643,833 |
| Paycom Software, Inc.* | 6,100 | | 2,112,918 |
| PayPal Holdings, Inc.(a)* | 47,082 | | 5,445,033 |
| Progress Software Corp. | 3,285 | | 154,691 |
| Sailpoint Technologies Holdings, Inc.* | 1,799 | | 92,073 |
| Salesforce, Inc.* | 4,626 | | 982,192 |
| ServiceNow, Inc.(a)* | 10,498 | | 5,846,231 |
| Splunk, Inc.* | 866 | | 128,696 |
| SPS Commerce, Inc.* | 1,893 | | 248,362 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Software & Services — (Continued) |
| SS&C Technologies Holdings, Inc. | 2,381 | | $ 178,623 |
| Synopsys, Inc.(a)* | 6,587 | | 2,195,249 |
| Teradata Corp.* | 5,880 | | 289,825 |
| Trade Desk, Inc. (The), Class A* | 16,392 | | 1,135,146 |
| TTEC Holdings, Inc. | 103 | | 8,500 |
| Varonis Systems, Inc.* | 3,351 | | 159,307 |
| Verint Systems, Inc.* | 3,559 | | 184,000 |
| VeriSign, Inc.* | 4,527 | | 1,007,076 |
| Visa, Inc., Class A | 1,155 | | 256,144 |
| Western Union Co. (The) | 28,711 | | 538,044 |
| Zendesk, Inc.* | 3,803 | | 457,463 |
| | | | 77,981,619 |
| Technology Hardware & Equipment — 6.1% |
| 3D Systems Corp.* | 31,938 | | 532,726 |
| Amphenol Corp., Class A | 4,220 | | 317,977 |
| Apple, Inc.(a) | 47,735 | | 8,335,008 |
| Badger Meter, Inc. | 2,691 | | 268,320 |
| Belden, Inc. | 2,037 | | 112,850 |
| CDW Corp. | 1,241 | | 222,002 |
| Celestica, Inc. (Canada)* | 88 | | 1,048 |
| Ciena Corp.* | 2,598 | | 157,517 |
| Cisco Systems, Inc.(a) | 82,434 | | 4,596,520 |
| Coherent, Inc.* | 1,904 | | 520,477 |
| Corning, Inc. | 60,222 | | 2,222,794 |
| CTS Corp. | 21 | | 742 |
| Dell Technologies, Inc., Class C | 4,929 | | 247,387 |
| Extreme Networks, Inc.* | 63,236 | | 772,112 |
| Hewlett Packard Enterprise Co. | 60,997 | | 1,019,260 |
| HP, Inc.(a) | 63,511 | | 2,305,449 |
| Infinera Corp.* | 14,349 | | 124,406 |
| Itron, Inc.* | 3,275 | | 172,527 |
| Jabil, Inc. | 18,756 | | 1,157,808 |
| Juniper Networks, Inc. | 5,546 | | 206,089 |
| Keysight Technologies, Inc.* | 9,211 | | 1,455,062 |
| Knowles Corp.* | 10,665 | | 229,617 |
| Lumentum Holdings, Inc.* | 1,534 | | 149,718 |
| Motorola Solutions, Inc. | 6,220 | | 1,506,484 |
| NetApp, Inc. | 16,584 | | 1,376,472 |
| NetScout Systems, Inc.* | 9,372 | | 300,654 |
| PC Connection, Inc. | 203 | | 10,635 |
| Pure Storage, Inc., Class A* | 28,460 | | 1,004,923 |
| Sanmina Corp.* | 3,538 | | 143,006 |
| Seagate Technology Holdings PLC (Ireland) | 27,808 | | 2,499,939 |
| TE Connectivity Ltd. (Switzerland) | 4,356 | | 570,549 |
| Trimble, Inc.* | 5,026 | | 362,576 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Technology Hardware & Equipment — (Continued) |
| Vishay Intertechnology, Inc. | 27,360 | | $ 536,256 |
| Western Digital Corp.* | 21,414 | | 1,063,205 |
| Zebra Technologies Corp., Class A* | 1,643 | | 679,709 |
| | | | 35,181,824 |
| Telecommunication Services — 1.4% |
| AT&T, Inc. | 87,813 | | 2,075,021 |
| EchoStar Corp., Class A* | 11,984 | | 291,690 |
| Gogo, Inc.* | 8,315 | | 158,484 |
| Iridium Communications, Inc.* | 8,127 | | 327,681 |
| Lumen Technologies, Inc. | 53,027 | | 597,614 |
| TELUS Corp. (Canada) | 197 | | 5,150 |
| T-Mobile US, Inc.* | 23,534 | | 3,020,589 |
| Verizon Communications, Inc. | 33,563 | | 1,709,699 |
| | | | 8,185,928 |
| Transportation — 2.4% |
| Alaska Air Group, Inc.* | 8,336 | | 483,571 |
| ArcBest Corp. | 11,812 | | 950,866 |
| Atlas Air Worldwide Holdings, Inc.* | 6,841 | | 590,857 |
| CSX Corp.(a) | 46,349 | | 1,735,770 |
| Expeditors International of Washington, Inc. | 12,660 | | 1,306,006 |
| FedEx Corp. | 11,522 | | 2,666,076 |
| Forward Air Corp. | 27 | | 2,640 |
| Heartland Express, Inc. | 49 | | 689 |
| Hub Group, Inc., Class A* | 1,962 | | 151,486 |
| Matson, Inc. | 5,838 | | 704,180 |
| Norfolk Southern Corp. | 1,785 | | 509,118 |
| Old Dominion Freight Line, Inc. | 4,508 | | 1,346,449 |
| Union Pacific Corp. | 5,649 | | 1,543,363 |
| United Airlines Holdings, Inc.* | 1,707 | | 79,137 |
| United Parcel Service, Inc., Class B | 7,111 | | 1,525,025 |
| XPO Logistics, Inc.* | 3,039 | | 221,239 |
| | | | 13,816,472 |
| Utilities — 1.8% |
| AES Corp. (The) | 23,550 | | 605,941 |
| American Electric Power Co., Inc. | 20,995 | | 2,094,671 |
| American Water Works Co., Inc. | 2,720 | | 450,242 |
| Consolidated Edison, Inc. | 9,910 | | 938,279 |
| Constellation Energy Corp.(a) | 16,795 | | 944,719 |
| DTE Energy Co.(a) | 13,588 | | 1,796,469 |
| Edison International | 53 | | 3,715 |
| Exelon Corp. | 5,604 | | 266,919 |
| FirstEnergy Corp. | 4,203 | | 192,750 |
| NextEra Energy, Inc. | 225 | | 19,060 |
| NRG Energy, Inc. | 15,867 | | 608,658 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Utilities — (Continued) |
| Otter Tail Corp. | 1,864 | | $ 116,500 |
| PPL Corp.(a) | 53,309 | | 1,522,505 |
| Sempra Energy | 69 | | 11,600 |
| Southern Co. (The) | 12,513 | | 907,318 |
| | | | 10,479,346 |
TOTAL COMMON STOCKS
(Cost $502,694,033) | | | 546,375,644 |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 5.4% | | | 31,360,375 |
| NET ASSETS - 100.0% | | | $ 577,736,019 |
| (a) | Security position is either entirely or partially designated as collateral for total return swaps. (See Note 1 of the Notes to Financial Statements) |
| * | Non-income producing. |
| PLC | Public Limited Company |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Over-the-counter total return swaps outstanding as of March 31, 2022
The Fund maintains a portfolio of long and short positions and receives/pays a rebate based upon the Fed Funds 1-Day Rate less a specified spread as negotiated by the parties. The notional gain or loss, dividends payable and rebates are payable the earlier of maturity of the swaps or upon termination. The portfolio matures between July 23, 2025 and January 7, 2027, however underlying individual contracts are entered into and closed (terminated) on a daily basis. The cash amounts payable/receivable due to individual contracts being closed are settled, on a net basis, once a week. The value of total return swaps represents (35.0)% of net assets as of March 31, 2022.
The following table represents the individual long and short positions and related values of total return swaps as of March 31, 2022:
Total Return Swaps
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Long | | | | | | | | | | |
| Automobiles & Components | | | | | | | | |
| American Axle & Manufacturing Holdings, Inc. | | Morgan Stanley | | 262 | | $ 1,749 | | $ 2,033 | | $ 284 |
| Ford Motor Co. | | Morgan Stanley | | 66,379 | | 732,384 | | 1,122,469 | | 400,917 |
| General Motors Co. | | Morgan Stanley | | 31,153 | | 1,454,445 | | 1,362,632 | | (91,701) |
| Gentherm, Inc. | | Morgan Stanley | | 524 | | 36,457 | | 38,273 | | 1,819 |
| Lear Corp. | | Morgan Stanley | | 290 | | 48,223 | | 41,351 | | (6,595) |
| Magna International, Inc. (Canada) | | Morgan Stanley | | 1,919 | | 113,211 | | 123,411 | | 10,923 |
| Tenneco, Inc., Class A | | Morgan Stanley | | 1,594 | | 16,625 | | 29,202 | | 12,849 |
| Thor Industries, Inc. | | Morgan Stanley | | 1,959 | | 165,090 | | 154,173 | | (10,904) |
| Visteon Corp. | | Morgan Stanley | | 1,372 | | 152,487 | | 149,726 | | (2,789) |
| | | | | 105,452 | | 2,720,671 | | 3,023,270 | | 314,803 |
| Capital Goods | | | | | | | | |
| 3M Co. | | Morgan Stanley | | 5,882 | | 969,615 | | 875,712 | | (48,251) |
| A O Smith Corp. | | Morgan Stanley | | 9,372 | | 553,594 | | 598,777 | | 54,273 |
| AECOM | | Morgan Stanley | | 2,905 | | 209,615 | | 223,133 | | 13,535 |
| Aerojet Rocketdyne Holdings, Inc. | | Morgan Stanley | | 3,287 | | 128,343 | | 129,343 | | 1,010 |
| Albany International Corp., Class A | | Morgan Stanley | | 730 | | 62,579 | | 61,554 | | (909) |
| Apogee Enterprises, Inc. | | Morgan Stanley | | 2,370 | | 58,604 | | 112,480 | | 57,246 |
| Armstrong World Industries, Inc. | | Morgan Stanley | | 378 | | 36,432 | | 34,024 | | (2,450) |
| Atkore, Inc. | | Morgan Stanley | | 3,205 | | 177,666 | | 315,500 | | 137,848 |
| Barnes Group, Inc. | | Morgan Stanley | | 589 | | 25,442 | | 23,672 | | (1,761) |
| Boise Cascade Co. | | Morgan Stanley | | 2,559 | | 141,687 | | 177,774 | | 45,744 |
| Builders FirstSource, Inc. | | Morgan Stanley | | 9,092 | | 655,850 | | 586,798 | | (69,002) |
| Carrier Global Corp. | | Morgan Stanley | | 3,570 | | 159,885 | | 163,756 | | 4,005 |
| Crane Co. | | Morgan Stanley | | 913 | | 86,130 | | 98,860 | | 14,469 |
| CSW Industrials, Inc. | | Morgan Stanley | | 28 | | 3,289 | | 3,293 | | 4 |
| Cummins, Inc. | | Morgan Stanley | | 1,578 | | 326,432 | | 323,664 | | (2,303) |
| Deere & Co. | | Morgan Stanley | | 169 | | 57,702 | | 70,213 | | 13,132 |
| Dover Corp. | | Morgan Stanley | | 206 | | 30,398 | | 32,321 | | 2,991 |
| Dycom Industries, Inc. | | Morgan Stanley | | 1,572 | | 150,060 | | 149,749 | | (300) |
| Eaton Corp. PLC (Ireland) | | Morgan Stanley | | 4,297 | | 705,162 | | 652,113 | | (47,603) |
| Encore Wire Corp. | | Morgan Stanley | | 3,615 | | 448,358 | | 412,363 | | (35,862) |
| Enerpac Tool Group Corp. | | Morgan Stanley | | 61 | | 1,335 | | 1,335 | | — |
| Fastenal Co. | | Morgan Stanley | | 2,904 | | 151,415 | | 172,498 | | 21,094 |
| Fortune Brands Home & Security, Inc. | | Morgan Stanley | | 1,257 | | 103,751 | | 93,370 | | (10,298) |
| General Dynamics Corp. | | Morgan Stanley | | 3,255 | | 664,698 | | 785,041 | | 157,346 |
| General Electric Co. | | Morgan Stanley | | 4,245 | | 387,641 | | 388,418 | | 1,103 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Capital Goods — (continued) | | | | | | | | |
| Graco, Inc. | | Morgan Stanley | | 385 | | $ 26,781 | | $ 26,842 | | $ 64 |
| Herc Holdings, Inc. | | Morgan Stanley | | 103 | | 9,694 | | 17,210 | | 7,628 |
| Honeywell International, Inc. | | Morgan Stanley | | 967 | | 177,118 | | 188,159 | | 12,168 |
| Howmet Aerospace, Inc. | | Morgan Stanley | | 3,016 | | 87,605 | | 108,395 | | 22,184 |
| Hubbell, Inc. | | Morgan Stanley | | 362 | | 64,664 | | 66,525 | | 2,069 |
| Ingersoll Rand, Inc. | | Morgan Stanley | | 3,992 | | 199,953 | | 200,997 | | 182 |
| ITT, Inc. | | Morgan Stanley | | 1,914 | | 157,654 | | 143,952 | | (13,481) |
| Johnson Controls International PLC (Ireland) | | Morgan Stanley | | 3,179 | | 184,711 | | 208,447 | | 29,619 |
| Kadant, Inc. | | Morgan Stanley | | 11 | | 2,162 | | 2,136 | | (25) |
| Kennametal, Inc. | | Morgan Stanley | | 4,406 | | 154,798 | | 126,056 | | (28,088) |
| L3Harris Technologies, Inc. | | Morgan Stanley | | 600 | | 150,294 | | 149,082 | | (1,200) |
| Lockheed Martin Corp. | | Morgan Stanley | | 1,994 | | 767,198 | | 880,152 | | 122,699 |
| Masco Corp. | | Morgan Stanley | | 3,904 | | 256,322 | | 199,104 | | (55,855) |
| Mueller Industries, Inc. | | Morgan Stanley | | 3,061 | | 172,271 | | 165,814 | | (5,652) |
| Nordson Corp. | | Morgan Stanley | | 838 | | 187,804 | | 190,293 | | 3,086 |
| NOW, Inc. | | Morgan Stanley | | 5,586 | | 38,275 | | 61,614 | | 23,341 |
| nVent Electric PLC (Ireland) | | Morgan Stanley | | 1,983 | | 67,484 | | 68,969 | | 1,495 |
| Otis Worldwide Corp. | | Morgan Stanley | | 5,126 | | 407,283 | | 394,446 | | (11,877) |
| Owens Corning | | Morgan Stanley | | 339 | | 28,956 | | 31,019 | | 2,814 |
| Parker-Hannifin Corp. | | Morgan Stanley | | 415 | | 120,217 | | 117,760 | | (2,067) |
| Pentair PLC (Ireland) | | Morgan Stanley | | 3,371 | | 169,164 | | 182,742 | | 17,252 |
| Quanta Services, Inc. | | Morgan Stanley | | 915 | | 96,298 | | 120,423 | | 24,138 |
| Raytheon Technologies Corp. | | Morgan Stanley | | 1,625 | | 152,481 | | 160,989 | | 7,089 |
| Resideo Technologies, Inc. | | Morgan Stanley | | 5,944 | | 156,037 | | 141,646 | | (14,380) |
| Roper Technologies, Inc. | | Morgan Stanley | | 216 | | 95,715 | | 102,002 | | 6,294 |
| Shyft Group, Inc. (The) | | Morgan Stanley | | 1,052 | | 48,385 | | 37,988 | | (10,684) |
| SiteOne Landscape Supply, Inc. | | Morgan Stanley | | 25 | | 4,083 | | 4,042 | | (40) |
| Snap-on, Inc. | | Morgan Stanley | | 1,953 | | 294,456 | | 401,302 | | 123,522 |
| Spirit AeroSystems Holdings, Inc., Class A | | Morgan Stanley | | 11,626 | | 553,271 | | 568,395 | | 15,225 |
| SPX Corp. | | Morgan Stanley | | 774 | | 43,713 | | 38,243 | | (5,679) |
| SPX FLOW, Inc. | | Morgan Stanley | | 191 | | 12,655 | | 16,468 | | 3,882 |
| Standex International Corp. | | Morgan Stanley | | 11 | | 1,134 | | 1,099 | | (34) |
| Textron, Inc. | | Morgan Stanley | | 736 | | 48,456 | | 54,744 | | 6,346 |
| Timken Co. (The) | | Morgan Stanley | | 20 | | 1,234 | | 1,214 | | 170 |
| Trane Technologies PLC | | Morgan Stanley | | 968 | | 162,160 | | 147,814 | | (13,520) |
| Trex Co., Inc. | | Morgan Stanley | | 3,948 | | 407,587 | | 257,923 | | (149,632) |
| UFP Industries, Inc. | | Morgan Stanley | | 1,395 | | 117,066 | | 107,638 | | (9,331) |
| Veritiv Corp. | | Morgan Stanley | | 769 | | 81,352 | | 102,731 | | 21,489 |
| Watts Water Technologies, Inc., Class A | | Morgan Stanley | | 240 | | 36,019 | | 33,502 | | (2,452) |
| Westinghouse Air Brake Technologies Corp. | | Morgan Stanley | | 2,207 | | 202,315 | | 212,247 | | 10,225 |
| WW Grainger, Inc. | | Morgan Stanley | | 137 | | 56,444 | | 70,663 | | 14,629 |
| Xylem, Inc. | | Morgan Stanley | | 95 | | 8,343 | | 8,100 | | (1,555) |
| Zurn Water Solutions Corp. | | Morgan Stanley | | 9,979 | | 342,123 | | 353,257 | | 11,495 |
| | | | | 158,417 | | 12,647,418 | | 12,957,905 | | 468,614 |
| Commercial & Professional Services | | | | | | | | |
| ACV Auctions, Inc., Class A | | Morgan Stanley | | 661 | | 9,908 | | 9,789 | | (118) |
| Brink's Co. (The) | | Morgan Stanley | | 491 | | 31,361 | | 33,388 | | 2,211 |
| Cintas Corp. | | Morgan Stanley | | 858 | | 357,175 | | 364,985 | | 7,845 |
| Clean Harbors, Inc. | | Morgan Stanley | | 13 | | 1,147 | | 1,451 | | 305 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Commercial & Professional Services — (continued) | | | | | | | | |
| Copart, Inc. | | Morgan Stanley | | 3,190 | | $ 423,440 | | $ 400,249 | | $ (25,705) |
| Huron Consulting Group, Inc. | | Morgan Stanley | | 216 | | 10,010 | | 9,895 | | (114) |
| Jacobs Engineering Group, Inc. | | Morgan Stanley | | 3,147 | | 389,968 | | 433,688 | | 49,785 |
| KBR, Inc. | | Morgan Stanley | | 1,186 | | 63,809 | | 64,910 | | 1,106 |
| Kelly Services, Inc., Class A | | Morgan Stanley | | 10 | | 218 | | 217 | | (1) |
| Kforce, Inc. | | Morgan Stanley | | 581 | | 41,063 | | 42,977 | | 2,054 |
| Korn Ferry | | Morgan Stanley | | 3,248 | | 228,978 | | 210,925 | | (17,473) |
| Nielsen Holdings PLC | | Morgan Stanley | | 9,870 | | 196,117 | | 268,859 | | 82,669 |
| Republic Services, Inc. | | Morgan Stanley | | 1,997 | | 171,780 | | 264,603 | | 114,661 |
| Ritchie Bros Auctioneers, Inc. (Canada) | | Morgan Stanley | | 1,693 | | 101,455 | | 99,938 | | (1,354) |
| Robert Half International, Inc. | | Morgan Stanley | | 1,909 | | 183,255 | | 217,970 | | 37,172 |
| Tetra Tech, Inc. | | Morgan Stanley | | 2,612 | | 396,054 | | 430,823 | | 35,221 |
| Thomson Reuters Corp. | | Morgan Stanley | | 18 | | 1,975 | | 1,959 | | (15) |
| TriNet Group, Inc. | | Morgan Stanley | | 1,284 | | 114,163 | | 126,294 | | 12,557 |
| Waste Management, Inc. | | Morgan Stanley | | 1,944 | | 279,429 | | 308,124 | | 30,078 |
| | | | | 34,928 | | 3,001,305 | | 3,291,044 | | 330,884 |
| Consumer Durables & Apparel | | | | | | | | |
| Acushnet Holdings Corp. | | Morgan Stanley | | 1,834 | | 88,306 | | 73,837 | | (14,002) |
| BRP, Inc. (Canada) | | Morgan Stanley | | 63 | | 5,067 | | 5,153 | | 114 |
| Cavco Industries, Inc. | | Morgan Stanley | | 134 | | 34,780 | | 32,274 | | (2,503) |
| Crocs, Inc. | | Morgan Stanley | | 1,612 | | 144,984 | | 123,157 | | (21,816) |
| DR Horton, Inc. | | Morgan Stanley | | 1,351 | | 122,012 | | 100,663 | | (20,678) |
| G-III Apparel Group Ltd. | | Morgan Stanley | | 3,450 | | 34,063 | | 93,323 | | 59,262 |
| GoPro, Inc., Class A | | Morgan Stanley | | 15,545 | | 144,475 | | 132,599 | | (12,875) |
| Hasbro, Inc. | | Morgan Stanley | | 1,204 | | 107,990 | | 98,632 | | (8,086) |
| Levi Strauss & Co., Class A | | Morgan Stanley | | 1,325 | | 30,736 | | 26,182 | | (4,399) |
| Mattel, Inc. | | Morgan Stanley | | 9,900 | | 237,438 | | 219,879 | | (17,541) |
| Mohawk Industries, Inc. | | Morgan Stanley | | 729 | | 93,686 | | 90,542 | | (3,137) |
| Movado Group, Inc. | | Morgan Stanley | | 14 | | 560 | | 547 | | (13) |
| Newell Brands, Inc. | | Morgan Stanley | | 5,556 | | 123,703 | | 118,954 | | (115) |
| NIKE, Inc., Class B | | Morgan Stanley | | 5,120 | | 741,049 | | 688,947 | | (52,035) |
| PVH Corp. | | Morgan Stanley | | 592 | | 55,068 | | 45,353 | | (9,697) |
| Ralph Lauren Corp. | | Morgan Stanley | | 1,107 | | 130,719 | | 125,578 | | (4,710) |
| Skyline Champion Corp. | | Morgan Stanley | | 6,123 | | 379,219 | | 336,030 | | (43,159) |
| Smith & Wesson Brands, Inc. | | Morgan Stanley | | 4,875 | | 77,233 | | 73,759 | | (1,504) |
| Sonos, Inc. | | Morgan Stanley | | 3,610 | | 88,530 | | 101,874 | | 14,294 |
| Steven Madden Ltd. | | Morgan Stanley | | 3,848 | | 167,503 | | 148,687 | | (18,082) |
| Sturm Ruger & Co., Inc. | | Morgan Stanley | | 1,335 | | 84,530 | | 92,943 | | 14,441 |
| Tapestry, Inc. | | Morgan Stanley | | 1,095 | | 41,343 | | 40,679 | | (219) |
| Tempur Sealy International, Inc. | | Morgan Stanley | | 2,748 | | 102,589 | | 76,724 | | (25,385) |
| Under Armour, Inc., Class C | | Morgan Stanley | | 6,452 | | 116,965 | | 100,393 | | (19,323) |
| VF Corp. | | Morgan Stanley | | 243 | | 13,583 | | 13,817 | | 352 |
| Vista Outdoor, Inc. | | Morgan Stanley | | 4,383 | | 169,540 | | 156,429 | | (13,358) |
| Whirlpool Corp. | | Morgan Stanley | | 1,258 | | 247,150 | | 217,357 | | (20,206) |
| | | | | 85,506 | | 3,582,821 | | 3,334,312 | | (224,380) |
| Consumer Services | | | | | | | | |
| Accel Entertainment, Inc. | | Morgan Stanley | | 148 | | 1,918 | | 1,803 | | (115) |
| Airbnb, Inc., Class A | | Morgan Stanley | | 824 | | 120,965 | | 141,530 | | 20,575 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Consumer Services — (continued) | | | | | | | | |
| Bloomin' Brands, Inc. | | Morgan Stanley | | 1,777 | | $ 36,939 | | $ 38,987 | | $ 2,108 |
| Booking Holdings, Inc. | | Morgan Stanley | | 166 | | 336,617 | | 389,843 | | 53,252 |
| Boyd Gaming Corp. | | Morgan Stanley | | 778 | | 46,890 | | 51,177 | | 4,397 |
| Caesars Entertainment, Inc. | | Morgan Stanley | | 826 | | 64,916 | | 63,899 | | (1,012) |
| Cheesecake Factory, Inc. (The) | | Morgan Stanley | | 3,778 | | 146,507 | | 150,327 | | 3,831 |
| Choice Hotels International, Inc. | | Morgan Stanley | | 327 | | 37,752 | | 46,356 | | 8,836 |
| Cracker Barrel Old Country Store, Inc. | | Morgan Stanley | | 1,091 | | 137,025 | | 129,534 | | (6,686) |
| Darden Restaurants, Inc. | | Morgan Stanley | | 180 | | 23,898 | | 23,931 | | 831 |
| Dine Brands Global, Inc. | | Morgan Stanley | | 830 | | 59,571 | | 64,699 | | 5,680 |
| Domino's Pizza, Inc. | | Morgan Stanley | | 66 | | 27,845 | | 26,863 | | (908) |
| European Wax Center, Inc., Class A | | Morgan Stanley | | 60 | | 1,822 | | 1,774 | | (48) |
| Golden Entertainment, Inc. | | Morgan Stanley | | 472 | | 20,563 | | 27,409 | | 6,848 |
| Houghton Mifflin Harcourt Co. | | Morgan Stanley | | 7,782 | | 122,574 | | 163,500 | | 40,935 |
| McDonald's Corp. | | Morgan Stanley | | 1,645 | | 384,618 | | 406,776 | | 37,093 |
| MGM Resorts International | | Morgan Stanley | | 2,078 | | 88,358 | | 87,151 | | (1,585) |
| Monarch Casino & Resort, Inc. | | Morgan Stanley | | 15 | | 1,289 | | 1,308 | | 20 |
| Penn National Gaming, Inc. | | Morgan Stanley | | 3,271 | | 207,482 | | 138,756 | | (68,710) |
| Red Rock Resorts, Inc., Class A | | Morgan Stanley | | 1,792 | | 79,694 | | 87,020 | | 7,989 |
| Service Corp. International | | Morgan Stanley | | 782 | | 41,015 | | 51,471 | | 11,682 |
| Six Flags Entertainment Corp. | | Morgan Stanley | | 680 | | 28,661 | | 29,580 | | 921 |
| Starbucks Corp. | | Morgan Stanley | | 3,432 | | 301,505 | | 312,209 | | 11,447 |
| Strategic Education, Inc. | | Morgan Stanley | | 446 | | 26,962 | | 29,605 | | 2,680 |
| WW International, Inc. | | Morgan Stanley | | 2,850 | | 38,090 | | 29,156 | | (9,281) |
| Wyndham Hotels & Resorts, Inc. | | Morgan Stanley | | 1,348 | | 100,553 | | 114,162 | | 14,126 |
| Wynn Resorts Ltd. | | Morgan Stanley | | 536 | | 43,191 | | 42,741 | | (1,787) |
| Yum! Brands, Inc. | | Morgan Stanley | | 5,626 | | 530,608 | | 666,850 | | 156,849 |
| | | | | 43,606 | | 3,057,828 | | 3,318,417 | | 299,968 |
| Diversified Financials | | | | | | | | |
| Affiliated Managers Group, Inc. | | Morgan Stanley | | 638 | | 95,048 | | 89,926 | | (5,381) |
| Berkshire Hathaway, Inc., Class B | | Morgan Stanley | | 13,737 | | 3,111,529 | | 4,847,925 | | 1,743,181 |
| BlackRock, Inc. | | Morgan Stanley | | 809 | | 588,022 | | 618,214 | | 39,196 |
| Cboe Global Markets, Inc. | | Morgan Stanley | | 441 | | 50,461 | | 50,459 | | 3 |
| CME Group, Inc. | | Morgan Stanley | | 1,175 | | 281,252 | | 279,486 | | (1,203) |
| Donnelley Financial Solutions, Inc. | | Morgan Stanley | | 1,809 | | 74,637 | | 60,167 | | (14,464) |
| Franklin Resources, Inc. | | Morgan Stanley | | 9,914 | | 310,613 | | 276,799 | | (30,015) |
| Intercontinental Exchange, Inc. | | Morgan Stanley | | 1,011 | | 132,444 | | 133,573 | | 2,147 |
| Invesco Ltd. (Bermuda) | | Morgan Stanley | | 6,675 | | 161,994 | | 153,926 | | (5,983) |
| Moody's Corp. | | Morgan Stanley | | 841 | | 300,707 | | 283,762 | | (15,929) |
| MSCI, Inc. | | Morgan Stanley | | 368 | | 176,028 | | 185,060 | | 9,093 |
| Nasdaq, Inc. | | Morgan Stanley | | 2,811 | | 392,663 | | 500,920 | | 115,577 |
| Open Lending Corp., Class A | | Morgan Stanley | | 71 | | 1,358 | | 1,343 | | (15) |
| S&P Global, Inc. | | Morgan Stanley | | 594 | | 232,602 | | 243,647 | | 13,018 |
| T Rowe Price Group, Inc. | | Morgan Stanley | | 3,889 | | 662,778 | | 587,978 | | (52,956) |
| | | | | 44,783 | | 6,572,136 | | 8,313,185 | | 1,796,269 |
| Energy | | | | | | | | |
| Antero Resources Corp. | | Morgan Stanley | | 638 | | 13,113 | | 19,478 | | 22,335 |
| APA Corp. | | Morgan Stanley | | 7,983 | | 189,271 | | 329,937 | | 141,850 |
| Arch Resources, Inc. | | Morgan Stanley | | 108 | | 15,101 | | 14,837 | | (262) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Energy — (continued) | | | | | | | | |
| Baker Hughes Co. | | Morgan Stanley | | 9,570 | | $ 256,796 | | $ 348,444 | | $ 93,464 |
| Canadian Natural Resources Ltd. (Canada) | | Morgan Stanley | | 5,804 | | 310,539 | | 359,732 | | 51,986 |
| Centennial Resource Development, Inc., Class A | | Morgan Stanley | | 24,640 | | 204,893 | | 198,845 | | (6,033) |
| ChampionX Corp. | | Morgan Stanley | | 2,438 | | 50,191 | | 59,682 | | 11,135 |
| Cheniere Energy, Inc. | | Morgan Stanley | | 2,551 | | 332,285 | | 353,696 | | 21,877 |
| Chevron Corp. | | Morgan Stanley | | 4,509 | | 590,180 | | 734,200 | | 149,485 |
| Comstock Resources, Inc. | | Morgan Stanley | | 3,099 | | 23,854 | | 40,442 | | 16,895 |
| Continental Resources, Inc. | | Morgan Stanley | | 1,094 | | 35,031 | | 67,095 | | 32,662 |
| Denbury, Inc. | | Morgan Stanley | | 2,308 | | 160,474 | | 181,340 | | 21,741 |
| Dril-Quip, Inc. | | Morgan Stanley | | 1,075 | | 38,877 | | 40,151 | | 1,278 |
| DT Midstream, Inc. | | Morgan Stanley | | 199 | | 10,791 | | 10,798 | | 7 |
| EOG Resources, Inc. | | Morgan Stanley | | 6,100 | | 526,164 | | 727,303 | | 232,098 |
| Exxon Mobil Corp. | | Morgan Stanley | | 9,628 | | 554,869 | | 795,177 | | 270,163 |
| Gulfport Energy Corp. | | Morgan Stanley | | 81 | | 6,740 | | 7,275 | | 536 |
| Halliburton Co. | | Morgan Stanley | | 8,966 | | 228,480 | | 339,542 | | 113,013 |
| Helmerich & Payne, Inc. | | Morgan Stanley | | 3,655 | | 85,175 | | 156,361 | | 72,106 |
| Imperial Oil Ltd. (Canada) | | Morgan Stanley | | 1,022 | | 34,486 | | 49,383 | | 15,425 |
| Marathon Oil Corp. | | Morgan Stanley | | 24,578 | | 301,058 | | 617,154 | | 351,840 |
| Marathon Petroleum Corp. | | Morgan Stanley | | 14,026 | | 964,818 | | 1,199,223 | | 252,126 |
| Murphy Oil Corp. | | Morgan Stanley | | 4,000 | | 107,340 | | 161,560 | | 54,881 |
| Oasis Petroleum, Inc. | | Morgan Stanley | | 1,047 | | 133,041 | | 153,176 | | 20,491 |
| Occidental Petroleum Corp. | | Morgan Stanley | | 9,956 | | 236,615 | | 564,903 | | 339,643 |
| Oceaneering International, Inc. | | Morgan Stanley | | 9,557 | | 120,768 | | 144,884 | | 24,126 |
| ONEOK, Inc. | | Morgan Stanley | | 6,725 | | 357,864 | | 474,987 | | 130,288 |
| Ovintiv, Inc. | | Morgan Stanley | | 4,133 | | 104,948 | | 223,471 | | 120,955 |
| PDC Energy, Inc. | | Morgan Stanley | | 3,553 | | 210,514 | | 258,232 | | 49,279 |
| Pembina Pipeline Corp. | | Morgan Stanley | | 3,594 | | 130,453 | | 135,134 | | 5,087 |
| Phillips 66 | | Morgan Stanley | | 2,802 | | 217,691 | | 242,065 | | 27,476 |
| Schlumberger NV | | Morgan Stanley | | 1,888 | | 58,387 | | 77,993 | | 19,967 |
| Suncor Energy, Inc. (Canada) | | Morgan Stanley | | 3,239 | | 78,679 | | 105,559 | | 28,590 |
| Talos Energy, Inc. | | Morgan Stanley | | 4,608 | | 74,046 | | 72,760 | | (1,280) |
| Valero Energy Corp. | | Morgan Stanley | | 1,483 | | 103,440 | | 150,584 | | 50,562 |
| Vermilion Energy, Inc. (Canada) | | Morgan Stanley | | 10,414 | | 149,976 | | 218,902 | | 69,335 |
| Weatherford International PLC (Ireland) | | Morgan Stanley | | 13 | | 432 | | 433 | | 26 |
| Whiting Petroleum Corp. | | Morgan Stanley | | 941 | | 39,065 | | 76,701 | | 37,837 |
| Williams Cos., Inc. (The) | | Morgan Stanley | | 1,245 | | 40,474 | | 41,595 | | 1,124 |
| | | | | 203,270 | | 7,096,919 | | 9,753,034 | | 2,844,114 |
| Food & Staples Retailing | | | | | | | | |
| Costco Wholesale Corp. | | Morgan Stanley | | 1,200 | | 620,684 | | 691,020 | | 70,967 |
| Ingles Markets, Inc., Class A | | Morgan Stanley | | 81 | | 7,352 | | 7,213 | | (139) |
| Kroger Co. (The) | | Morgan Stanley | | 2,533 | | 116,685 | | 145,318 | | 30,503 |
| Sysco Corp. | | Morgan Stanley | | 2,014 | | 163,638 | | 164,443 | | 1,813 |
| United Natural Foods, Inc. | | Morgan Stanley | | 899 | | 37,873 | | 37,174 | | (1,595) |
| Walgreens Boots Alliance, Inc. | | Morgan Stanley | | 3,998 | | 159,956 | | 178,990 | | 28,772 |
| Walmart, Inc. | | Morgan Stanley | | 2,508 | | 343,271 | | 373,491 | | 40,167 |
| | | | | 13,233 | | 1,449,459 | | 1,597,649 | | 170,488 |
| Food, Beverage & Tobacco | | | | | | | | |
| Altria Group, Inc. | | Morgan Stanley | | 5,610 | | 282,919 | | 293,123 | | 16,887 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Food, Beverage & Tobacco — (continued) | | | | | | | | |
| Archer-Daniels-Midland Co. | | Morgan Stanley | | 2,376 | | $ 144,643 | | $ 214,458 | | $ 84,148 |
| Brown-Forman Corp., Class B | | Morgan Stanley | | 1,301 | | 84,664 | | 87,193 | | 2,535 |
| Bunge Ltd. | | Morgan Stanley | | 39 | | 4,179 | | 4,322 | | 143 |
| Coca-Cola Co. (The) | | Morgan Stanley | | 7,635 | | 413,761 | | 473,370 | | 71,760 |
| Coca-Cola Consolidated, Inc. | | Morgan Stanley | | 165 | | 76,018 | | 81,980 | | 6,002 |
| Constellation Brands, Inc., Class A | | Morgan Stanley | | 1,133 | | 250,621 | | 260,953 | | 11,499 |
| Darling Ingredients, Inc. | | Morgan Stanley | | 929 | | 69,888 | | 74,673 | | 4,791 |
| General Mills, Inc. | | Morgan Stanley | | 4,519 | | 295,896 | | 306,027 | | 13,195 |
| Hain Celestial Group, Inc. (The) | | Morgan Stanley | | 1,655 | | 58,479 | | 56,932 | | (1,542) |
| Hormel Foods Corp. | | Morgan Stanley | | 4,082 | | 206,517 | | 210,386 | | 3,885 |
| Kraft Heinz Co. (The) | | Morgan Stanley | | 7,840 | | 238,038 | | 308,818 | | 89,606 |
| Molson Coors Beverage Co., Class B | | Morgan Stanley | | 9,689 | | 363,687 | | 517,199 | | 163,860 |
| Mondelez International, Inc., Class A | | Morgan Stanley | | 5,826 | | 334,813 | | 365,756 | | 38,146 |
| Monster Beverage Corp. | | Morgan Stanley | | 4,602 | | 365,994 | | 367,700 | | 1,734 |
| PepsiCo, Inc. | | Morgan Stanley | | 2,614 | | 403,062 | | 437,531 | | 43,238 |
| Philip Morris International, Inc. | | Morgan Stanley | | 6,975 | | 663,969 | | 655,232 | | 12,322 |
| Sanderson Farms, Inc. | | Morgan Stanley | | 2,663 | | 495,344 | | 499,286 | | 5,720 |
| TreeHouse Foods, Inc. | | Morgan Stanley | | 841 | | 27,104 | | 27,131 | | 29 |
| Tyson Foods, Inc., Class A | | Morgan Stanley | | 7,001 | | 572,730 | | 627,500 | | 61,623 |
| Vector Group Ltd. | | Morgan Stanley | | 5,879 | | 63,971 | | 70,783 | | 8,503 |
| | | | | 83,374 | | 5,416,297 | | 5,940,353 | | 638,084 |
| Health Care Equipment & Services | | | | | | | | |
| Abbott Laboratories | | Morgan Stanley | | 8,678 | | 1,046,205 | | 1,027,128 | | (16,001) |
| ABIOMED, Inc. | | Morgan Stanley | | 9 | | 3,045 | | 2,981 | | 1,066 |
| Acadia Healthcare Co., Inc. | | Morgan Stanley | | 2,374 | | 137,260 | | 155,568 | | 18,319 |
| Addus HomeCare Corp. | | Morgan Stanley | | 407 | | 32,413 | | 37,969 | | 5,578 |
| Align Technology, Inc. | | Morgan Stanley | | 1,263 | | 612,538 | | 550,668 | | (61,823) |
| Allscripts Healthcare Solutions, Inc. | | Morgan Stanley | | 6,363 | | 115,299 | | 143,295 | | 28,249 |
| Amedisys, Inc. | | Morgan Stanley | | 635 | | 83,872 | | 109,404 | | 29,661 |
| AMN Healthcare Services, Inc. | | Morgan Stanley | | 481 | | 48,092 | | 50,183 | | 2,095 |
| Anthem, Inc. | | Morgan Stanley | | 1,515 | | 593,566 | | 744,198 | | 157,465 |
| Apollo Medical Holdings, Inc. | | Morgan Stanley | | 4,838 | | 336,195 | | 234,498 | | (107,521) |
| Avanos Medical, Inc. | | Morgan Stanley | | 3,197 | | 102,076 | | 107,100 | | 5,032 |
| Axonics, Inc. | | Morgan Stanley | | 195 | | 12,150 | | 12,207 | | 58 |
| Centene Corp. | | Morgan Stanley | | 987 | | 82,344 | | 83,096 | | 758 |
| Cerner Corp. | | Morgan Stanley | | 4,266 | | 332,263 | | 399,127 | | 68,962 |
| Chemed Corp. | | Morgan Stanley | | 66 | | 31,203 | | 33,432 | | 2,367 |
| Cigna Corp. | | Morgan Stanley | | 526 | | 120,710 | | 126,035 | | 5,832 |
| CVS Health Corp. | | Morgan Stanley | | 1,262 | | 120,203 | | 127,727 | | 10,844 |
| Danaher Corp. | | Morgan Stanley | | 750 | | 199,048 | | 219,998 | | 24,946 |
| DaVita, Inc. | | Morgan Stanley | | 1,155 | | 131,586 | | 130,642 | | (934) |
| Dexcom, Inc. | | Morgan Stanley | | 1,032 | | 510,766 | | 527,971 | | 14,962 |
| Doximity, Inc., Class A | | Morgan Stanley | | 625 | | 42,848 | | 32,556 | | (10,288) |
| Edwards Lifesciences Corp. | | Morgan Stanley | | 2,383 | | 257,707 | | 280,527 | | 22,840 |
| Envista Holdings Corp. | | Morgan Stanley | | 1,905 | | 76,828 | | 92,793 | | 15,971 |
| Evolent Health, Inc., Class A | | Morgan Stanley | | 344 | | 10,698 | | 11,111 | | 414 |
| Fulgent Genetics, Inc. | | Morgan Stanley | | 4,783 | | 358,779 | | 298,507 | | (60,245) |
| HCA Healthcare, Inc. | | Morgan Stanley | | 665 | | 137,153 | | 166,662 | | 32,547 |
| Hologic, Inc. | | Morgan Stanley | | 2,036 | | 144,007 | | 156,406 | | 12,410 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Health Care Equipment & Services — (continued) | | | | | | | | |
| ICU Medical, Inc. | | Morgan Stanley | | 505 | | $ 109,581 | | $ 112,433 | | $ 2,861 |
| IDEXX Laboratories, Inc. | | Morgan Stanley | | 177 | | 87,064 | | 96,830 | | 9,772 |
| Integra LifeSciences Holdings Corp. | | Morgan Stanley | | 2,209 | | 147,412 | | 141,950 | | (5,525) |
| Intuitive Surgical, Inc. | | Morgan Stanley | | 108 | | 29,353 | | 32,581 | | 3,231 |
| Laboratory Corp. of America Holdings | | Morgan Stanley | | 2,270 | | 511,487 | | 598,508 | | 87,060 |
| LivaNova PLC (United Kingdom) | | Morgan Stanley | | 3,640 | | 287,717 | | 297,861 | | 10,095 |
| Masimo Corp. | | Morgan Stanley | | 787 | | 125,432 | | 114,540 | | (13,800) |
| McKesson Corp. | | Morgan Stanley | | 1,665 | | 368,197 | | 509,706 | | 144,146 |
| MEDNAX, Inc. | | Morgan Stanley | | 2,580 | | 75,766 | | 60,578 | | (15,340) |
| Medtronic PLC (Ireland) | | Morgan Stanley | | 5,777 | | 591,642 | | 640,958 | | 54,243 |
| Merit Medical Systems, Inc. | | Morgan Stanley | | 1,642 | | 90,963 | | 109,226 | | 18,515 |
| ModivCare, Inc. | | Morgan Stanley | | 66 | | 7,505 | | 7,616 | | 112 |
| Molina Healthcare, Inc. | | Morgan Stanley | | 526 | | 159,123 | | 175,468 | | 16,357 |
| Natus Medical, Inc. | | Morgan Stanley | | 39 | | 1,017 | | 1,025 | | 8 |
| Omnicell, Inc. | | Morgan Stanley | | 693 | | 89,385 | | 89,737 | | 359 |
| Ortho Clinical Diagnostics Holdings PLC | | Morgan Stanley | | 6,460 | | 111,588 | | 120,544 | | 9,120 |
| Quest Diagnostics, Inc. | | Morgan Stanley | | 2,661 | | 358,128 | | 364,184 | | 9,304 |
| Select Medical Holdings Corp. | | Morgan Stanley | | 2,708 | | 64,596 | | 64,965 | | 150 |
| STAAR Surgical Co. | | Morgan Stanley | | 2,218 | | 240,359 | | 177,240 | | (64,024) |
| Tandem Diabetes Care, Inc. | | Morgan Stanley | | 346 | | 36,814 | | 40,236 | | 3,450 |
| Teleflex, Inc. | | Morgan Stanley | | 1,655 | | 550,465 | | 587,244 | | 37,312 |
| Tivity Health, Inc. | | Morgan Stanley | | 278 | | 6,820 | | 8,943 | | 2,124 |
| UnitedHealth Group, Inc. | | Morgan Stanley | | 1,484 | | 615,222 | | 756,795 | | 163,346 |
| Universal Health Services, Inc., Class B | | Morgan Stanley | | 550 | | 80,838 | | 79,723 | | (1,319) |
| Varex Imaging Corp. | | Morgan Stanley | | 2,387 | | 65,774 | | 50,819 | | (15,218) |
| Veeva Systems, Inc., Class A | | Morgan Stanley | | 388 | | 68,640 | | 82,434 | | 19,336 |
| West Pharmaceutical Services, Inc. | | Morgan Stanley | | 321 | | 120,932 | | 131,838 | | 11,407 |
| | | | | 96,880 | | 10,680,674 | | 11,315,771 | | 690,646 |
| Household & Personal Products | | | | | | | | |
| Church & Dwight Co., Inc. | | Morgan Stanley | | 587 | | 51,584 | | 58,336 | | 7,059 |
| Colgate-Palmolive Co. | | Morgan Stanley | | 6,371 | | 488,191 | | 483,113 | | 4,617 |
| Coty, Inc., Class A | | Morgan Stanley | | 18,125 | | 150,100 | | 162,944 | | 12,533 |
| Estee Lauder Cos., Inc. (The), Class A | | Morgan Stanley | | 2,130 | | 605,986 | | 580,042 | | (27,225) |
| Kimberly-Clark Corp. | | Morgan Stanley | | 2,411 | | 313,530 | | 296,939 | | (15,731) |
| Procter & Gamble Co. (The) | | Morgan Stanley | | 5,072 | | 717,476 | | 775,002 | | 65,021 |
| | | | | 34,696 | | 2,326,867 | | 2,356,376 | | 46,274 |
| Materials | | | | | | | | |
| AdvanSix, Inc. | | Morgan Stanley | | 1,391 | | 57,298 | | 71,066 | | 14,270 |
| Alcoa Corp. | | Morgan Stanley | | 2,272 | | 105,086 | | 204,548 | | 99,844 |
| Avery Dennison Corp. | | Morgan Stanley | | 290 | | 56,923 | | 50,451 | | (6,768) |
| Avient Corp. | | Morgan Stanley | | 1,249 | | 64,598 | | 59,952 | | (4,423) |
| Balchem Corp. | | Morgan Stanley | | 436 | | 60,411 | | 59,601 | | (805) |
| Ball Corp. | | Morgan Stanley | | 429 | | 38,119 | | 38,610 | | 494 |
| Celanese Corp. | | Morgan Stanley | | 487 | | 75,094 | | 69,578 | | (5,179) |
| CF Industries Holdings, Inc. | | Morgan Stanley | | 4,427 | | 283,571 | | 456,247 | | 177,249 |
| Chemours Co. (The) | | Morgan Stanley | | 1,461 | | 41,931 | | 45,992 | | 5,452 |
| Corteva, Inc. | | Morgan Stanley | | 6,368 | | 285,935 | | 366,033 | | 81,552 |
| Dow, Inc. | | Morgan Stanley | | 2,977 | | 168,627 | | 189,694 | | 26,661 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Materials — (continued) | | | | | | | | |
| DuPont de Nemours, Inc. | | Morgan Stanley | | 10,327 | | $ 791,051 | | $ 759,861 | | $ (27,149) |
| Eagle Materials, Inc. | | Morgan Stanley | | 1,839 | | 254,164 | | 236,054 | | (17,365) |
| Eastman Chemical Co. | | Morgan Stanley | | 1,669 | | 184,646 | | 187,028 | | 3,700 |
| ERO Copper Corp. | | Morgan Stanley | | 18 | | 253 | | 264 | | 11 |
| Ferro Corp. | | Morgan Stanley | | 3,974 | | 82,552 | | 86,395 | | 3,849 |
| FMC Corp. | | Morgan Stanley | | 2,637 | | 294,267 | | 346,950 | | 54,644 |
| Franco-Nevada Corp. (Canada) | | Morgan Stanley | | 192 | | 30,164 | | 30,628 | | 466 |
| Freeport-McMoRan, Inc. | | Morgan Stanley | | 4,295 | | 150,896 | | 213,633 | | 63,710 |
| Hecla Mining Co. | | Morgan Stanley | | 4,598 | | 30,132 | | 30,209 | | 80 |
| Huntsman Corp. | | Morgan Stanley | | 1,757 | | 69,053 | | 65,905 | | (3,142) |
| Ingevity Corp. | | Morgan Stanley | | 13 | | 829 | | 833 | | 5 |
| Innospec, Inc. | | Morgan Stanley | | 303 | | 28,795 | | 28,043 | | (713) |
| International Paper Co. | | Morgan Stanley | | 11,867 | | 544,963 | | 547,662 | | 9,267 |
| Intrepid Potash, Inc. | | Morgan Stanley | | 111 | | 9,125 | | 9,118 | | (7) |
| Kronos Worldwide, Inc. | | Morgan Stanley | | 90 | | 1,397 | | 1,397 | | 3 |
| Linde PLC (Ireland) | | Morgan Stanley | | 1,036 | | 302,627 | | 330,929 | | 31,667 |
| Louisiana-Pacific Corp. | | Morgan Stanley | | 841 | | 47,767 | | 52,243 | | 5,518 |
| LyondellBasell Industries N.V., Class A | | Morgan Stanley | | 2,228 | | 214,684 | | 229,083 | | 18,863 |
| Methanex Corp. | | Morgan Stanley | | 948 | | 46,027 | | 51,723 | | 5,790 |
| New Gold, Inc. (Canada) | | Morgan Stanley | | 43,013 | | 76,357 | | 77,423 | | 1,073 |
| Newmont Corp. | | Morgan Stanley | | 195 | | 15,672 | | 15,493 | | (178) |
| Nucor Corp. | | Morgan Stanley | | 3,382 | | 311,891 | | 502,734 | | 195,233 |
| Nutrien Ltd. (Canada) | | Morgan Stanley | | 2,273 | | 189,274 | | 236,369 | | 47,995 |
| O-I Glass, Inc. | | Morgan Stanley | | 3,461 | | 45,496 | | 45,616 | | 123 |
| Olin Corp. | | Morgan Stanley | | 4,072 | | 189,877 | | 212,884 | | 25,304 |
| Pan American Silver Corp. (Canada) | | Morgan Stanley | | 4,974 | | 109,763 | | 135,790 | | 30,524 |
| PPG Industries, Inc. | | Morgan Stanley | | 1,218 | | 152,843 | | 159,643 | | 7,088 |
| Reliance Steel & Aluminum Co. | | Morgan Stanley | | 519 | | 93,249 | | 95,159 | | 2,280 |
| Royal Gold, Inc. | | Morgan Stanley | | 362 | | 46,061 | | 51,143 | | 5,232 |
| Sealed Air Corp. | | Morgan Stanley | | 4,072 | | 245,435 | | 272,661 | | 29,107 |
| Sensient Technologies Corp. | | Morgan Stanley | | 1,094 | | 100,367 | | 91,841 | | (8,601) |
| Silgan Holdings, Inc. | | Morgan Stanley | | 701 | | 30,093 | | 32,407 | | 2,343 |
| SSR Mining, Inc. (Canada) | | Morgan Stanley | | 11,661 | | 201,205 | | 253,627 | | 53,073 |
| Sylvamo Corp. | | Morgan Stanley | | 1,099 | | 39,304 | | 36,575 | | (2,726) |
| TriMas Corp. | | Morgan Stanley | | 85 | | 2,735 | | 2,728 | | (7) |
| Tronox Holdings PLC, Class A | | Morgan Stanley | | 1,274 | | 24,379 | | 25,212 | | 693 |
| United States Steel Corp. | | Morgan Stanley | | 755 | | 14,025 | | 28,494 | | 14,507 |
| Warrior Met Coal, Inc. | | Morgan Stanley | | 3,551 | | 136,353 | | 131,778 | | (4,565) |
| Yamana Gold, Inc. (Canada) | | Morgan Stanley | | 61,369 | | 336,711 | | 342,439 | | 7,160 |
| | | | | 219,660 | | 6,682,075 | | 7,569,746 | | 943,202 |
| Media & Entertainment | | | | | | | | |
| Activision Blizzard, Inc. | | Morgan Stanley | | 5,786 | | 416,122 | | 463,516 | | 48,697 |
| Alphabet, Inc., Class A | | Morgan Stanley | | 728 | | 1,908,799 | | 2,024,823 | | 116,170 |
| AMC Entertainment Holdings, Inc., Class A | | Morgan Stanley | | 10,374 | | 269,205 | | 255,615 | | (13,569) |
| AMC Networks, Inc., Class A | | Morgan Stanley | | 946 | | 33,999 | | 38,436 | | 5,424 |
| Bumble, Inc., Class A | | Morgan Stanley | | 9,196 | | 245,848 | | 266,500 | | 20,671 |
| Cars.com, Inc. | | Morgan Stanley | | 20 | | 292 | | 289 | | (4) |
| Charter Communications, Inc., Class A | | Morgan Stanley | | 1,100 | | 625,402 | | 600,072 | | (26,924) |
| Clear Channel Outdoor Holdings, Inc. | | Morgan Stanley | | 5,519 | | 20,215 | | 19,096 | | (1,118) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Media & Entertainment — (continued) | | | | | | | | |
| Comcast Corp., Class A | | Morgan Stanley | | 7,852 | | $ 378,633 | | $ 367,631 | | $ (10,631) |
| Discovery, Inc., Class A | | Morgan Stanley | | 24,425 | | 622,212 | | 608,671 | | (13,493) |
| Fox Corp., Class A | | Morgan Stanley | | 1,115 | | 40,093 | | 43,987 | | 5,376 |
| Interpublic Group of Cos., Inc. (The) | | Morgan Stanley | | 5,281 | | 167,557 | | 187,211 | | 29,965 |
| Live Nation Entertainment, Inc. | | Morgan Stanley | | 128 | | 15,051 | | 15,058 | | 8 |
| Match Group, Inc. | | Morgan Stanley | | 5,669 | | 688,556 | | 616,447 | | (77,804) |
| Meta Platforms, Inc., Class A | | Morgan Stanley | | 6,583 | | 1,668,094 | | 1,463,796 | | (204,170) |
| Netflix, Inc. | | Morgan Stanley | | 2,326 | | 1,059,328 | | 871,296 | | (187,950) |
| News Corp., Class A | | Morgan Stanley | | 1,561 | | 34,556 | | 34,576 | | 180 |
| PubMatic, Inc., Class A | | Morgan Stanley | | 4,633 | | 118,391 | | 121,014 | | 1,137 |
| Scholastic Corp. | | Morgan Stanley | | 10 | | 412 | | 403 | | (9) |
| Take-Two Interactive Software, Inc. | | Morgan Stanley | | 203 | | 28,713 | | 31,209 | | 3,413 |
| Thryv Holdings, Inc. | | Morgan Stanley | | 903 | | 28,028 | | 25,392 | | (2,634) |
| TripAdvisor, Inc. | | Morgan Stanley | | 2,648 | | 70,607 | | 71,814 | | 1,212 |
| Twitter, Inc. | | Morgan Stanley | | 3,908 | | 170,387 | | 151,201 | | (19,173) |
| Walt Disney Co. (The) | | Morgan Stanley | | 2,433 | | 350,582 | | 333,710 | | (16,845) |
| Yelp, Inc. | | Morgan Stanley | | 30 | | 1,043 | | 1,023 | | (19) |
| Ziff Davis, Inc. | | Morgan Stanley | | 1,563 | | 156,269 | | 151,267 | | (4,989) |
| | | | | 104,940 | | 9,118,394 | | 8,764,053 | | (347,079) |
| Pharmaceuticals, Biotechnology & Life Sciences | | | | | | | | |
| Agilent Technologies, Inc. | | Morgan Stanley | | 4,005 | | 566,019 | | 529,982 | | (34,633) |
| Alnylam Pharmaceuticals, Inc. | | Morgan Stanley | | 48 | | 7,948 | | 7,838 | | (109) |
| Amphastar Pharmaceuticals, Inc. | | Morgan Stanley | | 306 | | 10,716 | | 10,985 | | 271 |
| Avantor, Inc. | | Morgan Stanley | | 1,936 | | 65,665 | | 65,476 | | (185) |
| Biogen, Inc. | | Morgan Stanley | | 1,532 | | 326,462 | | 322,639 | | (3,798) |
| Bio-Rad Laboratories, Inc., Class A | | Morgan Stanley | | 761 | | 470,044 | | 428,618 | | (43,763) |
| Bio-Techne Corp. | | Morgan Stanley | | 203 | | 81,540 | | 87,907 | | 8,482 |
| Bristol-Myers Squibb Co. | | Morgan Stanley | | 7,023 | | 458,599 | | 512,890 | | 58,118 |
| Charles River Laboratories International, Inc. | | Morgan Stanley | | 1,324 | | 371,996 | | 375,976 | | 4,009 |
| Corcept Therapeutics, Inc. | | Morgan Stanley | | 2,624 | | 46,347 | | 59,092 | �� | 13,413 |
| Cronos Group, Inc. | | Morgan Stanley | | 1,843 | | 6,989 | | 7,169 | | 181 |
| Dynavax Technologies Corp. | | Morgan Stanley | | 7,054 | | 78,470 | | 76,465 | | (1,998) |
| Elanco Animal Health, Inc. | | Morgan Stanley | | 8,986 | | 246,815 | | 234,445 | | (12,352) |
| Gilead Sciences, Inc. | | Morgan Stanley | | 3,865 | | 227,601 | | 229,774 | | 2,363 |
| Halozyme Therapeutics, Inc. | | Morgan Stanley | | 671 | | 21,683 | | 26,759 | | 6,600 |
| Horizon Therapeutics PLC | | Morgan Stanley | | 714 | | 75,765 | | 75,120 | | (639) |
| Innoviva, Inc. | | Morgan Stanley | | 2,841 | | 42,765 | | 54,973 | | 13,076 |
| Ionis Pharmaceuticals, Inc. | | Morgan Stanley | | 1,623 | | 57,953 | | 60,116 | | 2,167 |
| IQVIA Holdings, Inc. | | Morgan Stanley | | 255 | | 57,469 | | 58,959 | | 1,913 |
| Ironwood Pharmaceuticals, Inc. | | Morgan Stanley | | 5,061 | | 55,441 | | 63,667 | | 8,231 |
| iTeos Therapeutics, Inc. | | Morgan Stanley | | 359 | | 11,808 | | 11,553 | | (254) |
| Johnson & Johnson | | Morgan Stanley | | 2,946 | | 471,993 | | 522,120 | | 65,281 |
| Merck & Co., Inc. | | Morgan Stanley | | 10,519 | | 770,220 | | 863,084 | | 117,288 |
| Mettler-Toledo International, Inc. | | Morgan Stanley | | 302 | | 436,890 | | 414,703 | | (25,193) |
| Moderna, Inc. | | Morgan Stanley | | 5,764 | | 844,597 | | 992,907 | | 148,375 |
| Organogenesis Holdings, Inc. | | Morgan Stanley | | 770 | | 5,801 | | 5,867 | | 67 |
| Organon & Co. | | Morgan Stanley | | 3,920 | | 127,457 | | 136,926 | | 11,514 |
| PerkinElmer, Inc. | | Morgan Stanley | | 753 | | 127,275 | | 131,368 | | 4,143 |
| Pfizer, Inc. | | Morgan Stanley | | 14,558 | | 600,787 | | 753,668 | | 170,692 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Pharmaceuticals, Biotechnology & Life Sciences — (continued) | | | | | | | | |
| Prestige Consumer Healthcare, Inc. | | Morgan Stanley | | 1,080 | | $ 48,156 | | $ 57,175 | | $ 9,023 |
| Prothena Corp. PLC (Ireland) | | Morgan Stanley | | 1,364 | | 41,840 | | 49,881 | | 7,129 |
| QIAGEN NV | | Morgan Stanley | | 685 | | 30,080 | | 33,565 | | 3,858 |
| Regeneron Pharmaceuticals, Inc. | | Morgan Stanley | | 464 | | 281,950 | | 324,067 | | 44,122 |
| REGENXBIO, Inc. | | Morgan Stanley | | 760 | | 22,860 | | 25,224 | | 2,366 |
| Sarepta Therapeutics, Inc. | | Morgan Stanley | | 1,193 | | 95,230 | | 93,197 | | (2,025) |
| Sundial Growers, Inc. (Canada) | | Morgan Stanley | | 188,031 | | 119,462 | | 131,622 | | 12,169 |
| Syndax Pharmaceuticals, Inc. | | Morgan Stanley | | 59 | | 1,034 | | 1,025 | | 180 |
| Thermo Fisher Scientific, Inc. | | Morgan Stanley | | 366 | | 210,041 | | 216,178 | | 6,226 |
| Vertex Pharmaceuticals, Inc. | | Morgan Stanley | | 338 | | 85,180 | | 88,208 | | 3,034 |
| Viatris, Inc. | | Morgan Stanley | | 11,228 | | 116,839 | | 122,161 | | 5,331 |
| Waters Corp. | | Morgan Stanley | | 710 | | 204,163 | | 220,377 | | 16,229 |
| Xencor, Inc. | | Morgan Stanley | | 326 | | 9,238 | | 8,698 | | (539) |
| Zoetis, Inc. | | Morgan Stanley | | 2,455 | | 478,634 | | 462,988 | | (14,874) |
| | | | | 301,625 | | 8,417,822 | | 8,955,412 | | 605,489 |
| Retailing | | | | | | | | |
| Academy Sports & Outdoors, Inc. | | Morgan Stanley | | 1,616 | | 55,483 | | 63,670 | | 8,384 |
| Advance Auto Parts, Inc. | | Morgan Stanley | | 1,838 | | 337,408 | | 380,392 | | 58,671 |
| Amazon.com, Inc. | | Morgan Stanley | | 386 | | 1,153,607 | | 1,258,341 | | 104,822 |
| AutoNation, Inc. | | Morgan Stanley | | 846 | | 86,966 | | 84,245 | | (2,715) |
| AutoZone, Inc. | | Morgan Stanley | | 306 | | 556,421 | | 625,641 | | 72,215 |
| Bath & Body Works, Inc. | | Morgan Stanley | | 12,793 | | 721,959 | | 611,505 | | (107,659) |
| Best Buy Co., Inc. | | Morgan Stanley | | 108 | | 10,224 | | 9,817 | | (321) |
| Buckle, Inc. (The) | | Morgan Stanley | | 1,551 | | 57,265 | | 51,245 | | (5,702) |
| Burlington Stores, Inc. | | Morgan Stanley | | 159 | | 34,363 | | 28,965 | | (6,710) |
| Dick's Sporting Goods, Inc. | | Morgan Stanley | | 355 | | 36,235 | | 35,507 | | (725) |
| Dillard's, Inc., Class A | | Morgan Stanley | | 234 | | 57,530 | | 62,803 | | 5,563 |
| Dollar General Corp. | | Morgan Stanley | | 1,245 | | 277,153 | | 277,174 | | (104) |
| eBay, Inc. | | Morgan Stanley | | 11,083 | | 645,636 | | 634,613 | | (13,288) |
| Etsy, Inc. | | Morgan Stanley | | 3,248 | | 450,313 | | 403,661 | | (46,617) |
| Genesco, Inc. | | Morgan Stanley | | 163 | | 11,119 | | 10,368 | | (749) |
| Genuine Parts Co. | | Morgan Stanley | | 484 | | 48,507 | | 60,994 | | 18,707 |
| Guess?, Inc. | | Morgan Stanley | | 1,739 | | 36,267 | | 37,997 | | 2,321 |
| Home Depot, Inc. (The) | | Morgan Stanley | | 974 | | 313,906 | | 291,547 | | (18,648) |
| LKQ Corp. | | Morgan Stanley | | 3,334 | | 159,293 | | 151,397 | | (6,217) |
| Lowe's Cos., Inc. | | Morgan Stanley | | 1,736 | | 379,482 | | 351,002 | | (27,871) |
| Macy's, Inc. | | Morgan Stanley | | 4 | | 99 | | 97 | | (1) |
| MarineMax, Inc. | | Morgan Stanley | | 2,560 | | 125,279 | | 103,066 | | (22,203) |
| ODP Corp. (The) | | Morgan Stanley | | 1,076 | | 41,202 | | 49,313 | | 8,332 |
| O'Reilly Automotive, Inc. | | Morgan Stanley | | 503 | | 322,260 | | 344,535 | | 22,300 |
| Overstock.com, Inc. | | Morgan Stanley | | 9,222 | | 474,166 | | 405,814 | | (68,315) |
| Penske Automotive Group, Inc. | | Morgan Stanley | | 280 | | 23,876 | | 26,242 | | 2,723 |
| RH | | Morgan Stanley | | 513 | | 191,096 | | 167,284 | | (28,910) |
| Ross Stores, Inc. | | Morgan Stanley | | 3,018 | | 314,056 | | 273,008 | | (39,891) |
| Shoe Carnival, Inc. | | Morgan Stanley | | 1,451 | | 50,913 | | 42,311 | | (8,804) |
| Shutterstock, Inc. | | Morgan Stanley | | 1,068 | | 71,792 | | 99,409 | | 36,607 |
| Signet Jewelers Ltd. (Bermuda) | | Morgan Stanley | | 2,747 | | 195,031 | | 199,707 | | 4,810 |
| Target Corp. | | Morgan Stanley | | 3,235 | | 707,542 | | 686,532 | | (15,013) |
| Ulta Beauty, Inc. | | Morgan Stanley | | 552 | | 207,461 | | 219,817 | | 12,727 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Retailing — (continued) | | | | | | | | |
| Victoria's Secret & Co. | | Morgan Stanley | | 1,796 | | $ 88,871 | | $ 92,243 | | $ 3,358 |
| Williams-Sonoma, Inc. | | Morgan Stanley | | 318 | | 47,353 | | 46,110 | | (1,235) |
| | | | | 72,541 | | 8,290,134 | | 8,186,372 | | (60,158) |
| Semiconductors & Semiconductor Equipment | | | | | | | | |
| Advanced Micro Devices, Inc. | | Morgan Stanley | | 10,372 | | 1,143,410 | | 1,134,074 | | (2,835) |
| Allegro MicroSystems, Inc. | | Morgan Stanley | | 3,380 | | 93,512 | | 95,992 | | 2,487 |
| Alpha & Omega Semiconductor Ltd. (Bermuda) | | Morgan Stanley | | 4,463 | | 221,466 | | 243,903 | | 22,454 |
| Amkor Technology, Inc. | | Morgan Stanley | | 112 | | 2,496 | | 2,433 | | (317) |
| Applied Materials, Inc. | | Morgan Stanley | | 2,423 | | 313,025 | | 319,351 | | 7,037 |
| Axcelis Technologies, Inc. | | Morgan Stanley | | 5,276 | | 294,327 | | 398,496 | | 112,643 |
| Broadcom, Inc. | | Morgan Stanley | | 1,092 | | 625,501 | | 687,611 | | 105,107 |
| CEVA, Inc. | | Morgan Stanley | | 248 | | 9,829 | | 10,081 | | 253 |
| Cohu, Inc. | | Morgan Stanley | | 2,682 | | 85,273 | | 79,387 | | (6,031) |
| Diodes, Inc. | | Morgan Stanley | | 1,688 | | 161,049 | | 146,839 | | (14,453) |
| KLA Corp. | | Morgan Stanley | | 1,229 | | 429,174 | | 449,888 | | 23,445 |
| Lam Research Corp. | | Morgan Stanley | | 393 | | 210,138 | | 211,281 | | 1,482 |
| Lattice Semiconductor Corp. | | Morgan Stanley | | 5,306 | | 309,491 | | 323,401 | | 13,934 |
| Microchip Technology, Inc. | | Morgan Stanley | | 602 | | 46,430 | | 45,234 | | (1,135) |
| Micron Technology, Inc. | | Morgan Stanley | | 15,527 | | 1,155,962 | | 1,209,398 | | 53,671 |
| NVIDIA Corp. | | Morgan Stanley | | 2,627 | | 676,999 | | 716,803 | | 39,956 |
| NXP Semiconductors N.V. | | Morgan Stanley | | 1,725 | | 324,828 | | 319,263 | | (2,480) |
| ON Semiconductor Corp. | | Morgan Stanley | | 4,274 | | 201,352 | | 267,595 | | 69,368 |
| Onto Innovation, Inc. | | Morgan Stanley | | 2,332 | | 190,718 | | 202,627 | | 11,925 |
| Photronics, Inc. | | Morgan Stanley | | 2,154 | | 38,048 | | 36,553 | | (1,492) |
| Power Integrations, Inc. | | Morgan Stanley | | 1,876 | | 169,504 | | 173,868 | | 4,342 |
| Qorvo, Inc. | | Morgan Stanley | | 433 | | 55,551 | | 53,735 | | (1,811) |
| QUALCOMM, Inc. | | Morgan Stanley | | 10,526 | | 1,577,054 | | 1,608,583 | | 38,417 |
| Rambus, Inc. | | Morgan Stanley | | 6,546 | | 158,819 | | 208,752 | | 49,945 |
| Semtech Corp. | | Morgan Stanley | | 2,389 | | 187,916 | | 165,653 | | (22,249) |
| Silicon Laboratories, Inc. | | Morgan Stanley | | 1,219 | | 226,771 | | 183,094 | | (45,129) |
| Skyworks Solutions, Inc. | | Morgan Stanley | | 2,067 | | 280,390 | | 275,490 | | (4,171) |
| Synaptics, Inc. | | Morgan Stanley | | 915 | | 170,474 | | 182,543 | | 12,082 |
| Teradyne, Inc. | | Morgan Stanley | | 3,056 | | 413,217 | | 361,311 | | (51,304) |
| | | | | 96,932 | | 9,772,724 | | 10,113,239 | | 415,141 |
| Software & Services | | | | | | | | |
| A10 Networks, Inc. | | Morgan Stanley | | 2,193 | | 30,807 | | 30,592 | | (129) |
| Accenture PLC, Class A (Ireland) | | Morgan Stanley | | 1,840 | | 576,626 | | 620,503 | | 46,236 |
| Adobe, Inc. | | Morgan Stanley | | 1,586 | | 718,618 | | 722,613 | | 245 |
| Agilysys, Inc. | | Morgan Stanley | | 67 | | 2,725 | | 2,672 | | (53) |
| Akamai Technologies, Inc. | | Morgan Stanley | | 1,307 | | 133,035 | | 156,043 | | 23,018 |
| Alkami Technology, Inc. | | Morgan Stanley | | 18 | | 256 | | 258 | | 1 |
| Alliance Data Systems Corp. | | Morgan Stanley | | 147 | | 8,435 | | 8,254 | | 399 |
| Appian Corp. | | Morgan Stanley | | 866 | | 47,805 | | 52,670 | | 4,869 |
| Autodesk, Inc. | | Morgan Stanley | | 2,352 | | 487,608 | | 504,151 | | 16,576 |
| Automatic Data Processing, Inc. | | Morgan Stanley | | 1,067 | | 209,314 | | 242,785 | | 41,207 |
| Bentley Systems, Inc., Class B | | Morgan Stanley | | 1,873 | | 76,691 | | 82,749 | | 5,866 |
| Cadence Design Systems, Inc. | | Morgan Stanley | | 1,025 | | 144,411 | | 168,572 | | 30,249 |
| CGI, Inc. (Canada) | | Morgan Stanley | | 1,009 | | 70,826 | | 80,548 | | 9,728 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Software & Services — (continued) | | | | | | | | |
| Concentrix Corp. | | Morgan Stanley | | 266 | | $ 43,825 | | $ 44,305 | | $ 550 |
| Crowdstrike Holdings, Inc., Class A | | Morgan Stanley | | 1,161 | | 250,362 | | 263,640 | | 13,297 |
| Datadog, Inc., Class A | | Morgan Stanley | | 3,441 | | 505,494 | | 521,208 | | 15,753 |
| Descartes Systems Group Inc (The) (Canada) | | Morgan Stanley | | 57 | | 4,249 | | 4,176 | | (73) |
| DigitalOcean Holdings, Inc. | | Morgan Stanley | | 2,779 | | 178,951 | | 160,765 | | (18,172) |
| Dropbox, Inc., Class A | | Morgan Stanley | | 3,378 | | 71,134 | | 78,539 | | 8,041 |
| DXC Technology Co. | | Morgan Stanley | | 4,390 | | 160,355 | | 143,246 | | (17,097) |
| Euronet Worldwide, Inc. | | Morgan Stanley | | 304 | | 33,772 | | 39,566 | | 5,796 |
| Fair Isaac Corp. | | Morgan Stanley | | 934 | | 446,351 | | 435,674 | | (10,643) |
| Fidelity National Information Services, Inc. | | Morgan Stanley | | 292 | | 28,582 | | 29,323 | | 743 |
| Fiserv, Inc. | | Morgan Stanley | | 2,857 | | 273,614 | | 289,700 | | 16,106 |
| FleetCor Technologies, Inc. | | Morgan Stanley | | 940 | | 207,906 | | 234,116 | | 26,227 |
| Fortinet, Inc. | | Morgan Stanley | | 1,845 | | 450,109 | | 630,510 | | 180,436 |
| Gartner, Inc. | | Morgan Stanley | | 992 | | 283,346 | | 295,080 | | 11,756 |
| Global Payments, Inc. | | Morgan Stanley | | 909 | | 123,008 | | 124,388 | | 1,389 |
| Globant S.A. (Luxembourg) | | Morgan Stanley | | 591 | | 142,906 | | 154,883 | | 11,989 |
| GoDaddy, Inc., Class A | | Morgan Stanley | | 2,803 | | 221,948 | | 234,611 | | 13,018 |
| HubSpot, Inc. | | Morgan Stanley | | 1,307 | | 621,622 | | 620,747 | | (827) |
| InterDigital, Inc. | | Morgan Stanley | | 1,222 | | 82,919 | | 77,964 | | (4,714) |
| International Business Machines Corp. | | Morgan Stanley | | 4,066 | | 531,034 | | 528,661 | | 4,281 |
| Intuit, Inc. | | Morgan Stanley | | 634 | | 293,397 | | 304,853 | | 11,816 |
| Manhattan Associates, Inc. | | Morgan Stanley | | 1,209 | | 173,554 | | 167,700 | | (6,426) |
| Mastercard, Inc., Class A | | Morgan Stanley | | 144 | | 45,044 | | 51,463 | | 25,539 |
| Microsoft Corp. | | Morgan Stanley | | 3,511 | | 949,244 | | 1,082,476 | | 159,308 |
| MongoDB, Inc. | | Morgan Stanley | | 1,370 | | 565,798 | | 607,718 | | 41,963 |
| NortonLifeLock, Inc. | | Morgan Stanley | | 8,721 | | 228,236 | | 231,281 | | 4,881 |
| Open Text Corp. (Canada) | | Morgan Stanley | | 1,532 | | 62,109 | | 64,957 | | 4,850 |
| Oracle Corp. | | Morgan Stanley | | 18,838 | | 1,479,179 | | 1,558,468 | | 87,804 |
| Paychex, Inc. | | Morgan Stanley | | 3,059 | | 364,718 | | 417,462 | | 55,492 |
| Paycom Software, Inc. | | Morgan Stanley | | 1,608 | | 558,392 | | 556,979 | | (5,660) |
| PayPal Holdings, Inc. | | Morgan Stanley | | 11,213 | | 1,317,761 | | 1,296,783 | | (20,876) |
| Progress Software Corp. | | Morgan Stanley | | 877 | | 40,830 | | 41,298 | | 632 |
| Sailpoint Technologies Holdings, Inc. | | Morgan Stanley | | 471 | | 23,324 | | 24,106 | | 784 |
| salesforce.com, Inc. | | Morgan Stanley | | 1,333 | | 284,956 | | 283,023 | | (1,912) |
| ServiceNow, Inc. | | Morgan Stanley | | 1,471 | | 797,430 | | 819,185 | | 21,816 |
| Splunk, Inc. | | Morgan Stanley | | 228 | | 32,490 | | 33,883 | | 1,396 |
| SPS Commerce, Inc. | | Morgan Stanley | | 493 | | 55,039 | | 64,682 | | 9,647 |
| SS&C Technologies Holdings, Inc. | | Morgan Stanley | | 650 | | 47,397 | | 48,763 | | 1,681 |
| Synopsys, Inc. | | Morgan Stanley | | 1,761 | | 513,160 | | 586,888 | | 79,619 |
| Teradata Corp. | | Morgan Stanley | | 1,389 | | 47,352 | | 68,464 | | 24,539 |
| Trade Desk, Inc. (The), Class A | | Morgan Stanley | | 4,464 | | 264,953 | | 309,132 | | 50,170 |
| TTEC Holdings, Inc. | | Morgan Stanley | | 26 | | 2,189 | | 2,146 | | (44) |
| Varonis Systems, Inc. | | Morgan Stanley | | 878 | | 41,313 | | 41,740 | | 431 |
| Verint Systems, Inc. | | Morgan Stanley | | 934 | | 40,612 | | 48,288 | | 7,715 |
| VeriSign, Inc. | | Morgan Stanley | | 891 | | 180,213 | | 198,212 | | 18,440 |
| Visa, Inc., Class A | | Morgan Stanley | | 447 | | 85,613 | | 99,131 | | 13,550 |
| Western Union Co. (The) | | Morgan Stanley | | 7,841 | | 139,742 | | 146,940 | | 7,289 |
| Zendesk, Inc. | | Morgan Stanley | | 1,000 | | 119,283 | | 120,290 | | 1,016 |
| | | | | 126,877 | | 15,921,972 | | 16,859,823 | | 1,031,528 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Technology Hardware & Equipment | | | | | | | | |
| 3D Systems Corp. | | Morgan Stanley | | 9,239 | | $ 216,685 | | $ 154,107 | | $ (62,561) |
| Amphenol Corp., Class A | | Morgan Stanley | | 1,213 | | 92,770 | | 91,400 | | (1,138) |
| Apple, Inc. | | Morgan Stanley | | 8,618 | | 1,321,289 | | 1,504,789 | | 185,701 |
| Badger Meter, Inc. | | Morgan Stanley | | 720 | | 71,316 | | 71,791 | | 545 |
| Belden, Inc. | | Morgan Stanley | | 551 | | 30,701 | | 30,525 | | (145) |
| CDW Corp. | | Morgan Stanley | | 367 | | 62,214 | | 65,653 | | 3,576 |
| Celestica, Inc. | | Morgan Stanley | | 23 | | 275 | | 274 | | — |
| Ciena Corp. | | Morgan Stanley | | 735 | | 46,856 | | 44,563 | | (3,441) |
| Cisco Systems, Inc. | | Morgan Stanley | | 21,973 | | 1,194,192 | | 1,225,214 | | 39,384 |
| Coherent, Inc. | | Morgan Stanley | | 383 | | 97,088 | | 104,697 | | 7,616 |
| Corning, Inc. | | Morgan Stanley | | 14,070 | | 547,388 | | 519,324 | | (22,094) |
| CTS Corp. | | Morgan Stanley | | 7 | | 248 | | 247 | | — |
| Dell Technologies, Inc., Class C | | Morgan Stanley | | 1,469 | | 75,395 | | 73,729 | | (1,660) |
| EchoStar Corp., Class A | | Morgan Stanley | | 12,579 | | 330,555 | | 306,173 | | (24,453) |
| Extreme Networks, Inc. | | Morgan Stanley | | 12,884 | | 144,682 | | 157,314 | | 12,643 |
| Hewlett Packard Enterprise Co. | | Morgan Stanley | | 16,096 | | 269,151 | | 268,964 | | 1,588 |
| HP, Inc. | | Morgan Stanley | | 2,426 | | 68,944 | | 88,064 | | 74,826 |
| Infinera Corp. | | Morgan Stanley | | 4,017 | | 32,940 | | 34,827 | | 1,948 |
| Itron, Inc. | | Morgan Stanley | | 902 | | 49,104 | | 47,517 | | (1,643) |
| Jabil, Inc. | | Morgan Stanley | | 4,954 | | 301,504 | | 305,810 | | 4,372 |
| Juniper Networks, Inc. | | Morgan Stanley | | 1,508 | | 48,651 | | 56,037 | | 7,724 |
| Keysight Technologies, Inc. | | Morgan Stanley | | 2,402 | | 389,486 | | 379,444 | | (10,012) |
| Knowles Corp. | | Morgan Stanley | | 2,536 | | 51,858 | | 54,600 | | 2,932 |
| Lumentum Holdings, Inc. | | Morgan Stanley | | 475 | | 43,124 | | 46,360 | | 3,591 |
| Motorola Solutions, Inc. | | Morgan Stanley | | 1,628 | | 381,834 | | 394,302 | | 13,400 |
| NetApp, Inc. | | Morgan Stanley | | 3,503 | | 235,694 | | 290,749 | | 64,632 |
| NetScout Systems, Inc. | | Morgan Stanley | | 2,442 | | 76,447 | | 78,339 | | 1,898 |
| PC Connection, Inc. | | Morgan Stanley | | 47 | | 2,373 | | 2,462 | | 90 |
| Pure Storage, Inc., Class A | | Morgan Stanley | | 7,474 | | 246,011 | | 263,907 | | 17,915 |
| Sanmina Corp. | | Morgan Stanley | | 194 | | 5,776 | | 7,841 | | 2,066 |
| Seagate Technology Holdings PLC (Ireland) | | Morgan Stanley | | 6,698 | | 606,018 | | 602,150 | | 4,216 |
| TE Connectivity Ltd. (Switzerland) | | Morgan Stanley | | 1,172 | | 161,091 | | 153,509 | | (5,877) |
| Trimble, Inc. | | Morgan Stanley | | 1,409 | | 98,569 | | 101,645 | | 2,998 |
| Vishay Intertechnology, Inc. | | Morgan Stanley | | 7,223 | | 150,186 | | 141,571 | | (7,128) |
| Western Digital Corp. | | Morgan Stanley | | 5,616 | | 334,819 | | 278,834 | | (55,959) |
| Zebra Technologies Corp., Class A | | Morgan Stanley | | 399 | | 185,817 | | 165,066 | | (20,736) |
| | | | | 157,952 | | 7,971,051 | | 8,111,798 | | 236,814 |
| Telecommunication Services | | | | | | | | |
| AT&T, Inc. | | Morgan Stanley | | 17,114 | | 434,728 | | 404,404 | | (14,907) |
| Gogo, Inc. | | Morgan Stanley | | 1,695 | | 17,558 | | 32,307 | | 14,750 |
| Iridium Communications, Inc. | | Morgan Stanley | | 2,176 | | 80,110 | | 87,736 | | 7,732 |
| Lumen Technologies, Inc. | | Morgan Stanley | | 16,075 | | 199,161 | | 181,165 | | (5,500) |
| TELUS Corp. | | Morgan Stanley | | 56 | | 1,450 | | 1,464 | | 15 |
| T-Mobile U.S., Inc. | | Morgan Stanley | | 5,957 | | 692,740 | | 764,581 | | 71,894 |
| Verizon Communications, Inc. | | Morgan Stanley | | 7,019 | | 373,328 | | 357,548 | | (12,235) |
| | | | | 50,092 | | 1,799,075 | | 1,829,205 | | 61,749 |
| Transportation | | | | | | | | |
| Alaska Air Group, Inc. | | Morgan Stanley | | 5,614 | | 237,861 | | 325,668 | | 90,171 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Transportation — (continued) | | | | | | | | |
| ArcBest Corp. | | Morgan Stanley | | 6,200 | | $ 296,004 | | $ 499,100 | | $ 206,221 |
| Atlas Air Worldwide Holdings, Inc. | | Morgan Stanley | | 3,485 | | 232,892 | | 300,999 | | 68,125 |
| CSX Corp. | | Morgan Stanley | | 10,042 | | 323,343 | | 376,073 | | 57,245 |
| Expeditors International of Washington, Inc. | | Morgan Stanley | | 7,001 | | 657,553 | | 722,223 | | 70,726 |
| FedEx Corp. | | Morgan Stanley | | 3,093 | | 686,516 | | 715,689 | | 29,837 |
| Forward Air Corp. | | Morgan Stanley | | 7 | | 687 | | 684 | | (2) |
| Heartland Express, Inc. | | Morgan Stanley | | 12 | | 170 | | 169 | | (1) |
| Hub Group, Inc., Class A | | Morgan Stanley | | 509 | | 40,690 | | 39,300 | | (1,387) |
| Matson, Inc. | | Morgan Stanley | | 1,540 | | 133,117 | | 185,755 | | 53,100 |
| Norfolk Southern Corp. | | Morgan Stanley | | 494 | | 131,591 | | 140,899 | | 9,696 |
| Old Dominion Freight Line, Inc. | | Morgan Stanley | | 948 | | 272,901 | | 283,149 | | 10,752 |
| Union Pacific Corp. | | Morgan Stanley | | 1,497 | | 330,278 | | 408,995 | | 83,533 |
| United Airlines Holdings, Inc. | | Morgan Stanley | | 448 | | 20,521 | | 20,769 | | 250 |
| United Parcel Service, Inc., Class B | | Morgan Stanley | | 1,907 | | 373,889 | | 408,975 | | 46,459 |
| XPO Logistics, Inc. | | Morgan Stanley | | 868 | | 63,508 | | 63,190 | | (312) |
| | | | | 43,665 | | 3,801,521 | | 4,491,637 | | 724,413 |
| Utilities | | | | | | | | |
| AES Corp. (The) | | Morgan Stanley | | 6,186 | | 136,634 | | 159,166 | | 22,808 |
| American Electric Power Co., Inc. | | Morgan Stanley | | 5,681 | | 538,582 | | 566,793 | | 28,474 |
| American Water Works Co., Inc. | | Morgan Stanley | | 547 | | 92,358 | | 90,545 | | (1,259) |
| Consolidated Edison, Inc. | | Morgan Stanley | | 2,601 | | 235,458 | | 246,263 | | 10,823 |
| Constellation Energy Corp. | | Morgan Stanley | | 5,904 | | 213,826 | | 332,100 | | 119,089 |
| DTE Energy Co. | | Morgan Stanley | | 3,718 | | 424,614 | | 491,557 | | 72,837 |
| Edison International | | Morgan Stanley | | 15 | | 1,050 | | 1,052 | | (6,331) |
| Exelon Corp. | | Morgan Stanley | | 1,255 | | 40,268 | | 59,776 | | 24,740 |
| FirstEnergy Corp. | | Morgan Stanley | | 1,111 | | 48,468 | | 50,950 | | 2,638 |
| NextEra Energy, Inc. | | Morgan Stanley | | 59 | | 5,062 | | 4,998 | | (63) |
| NRG Energy, Inc. | | Morgan Stanley | | 17,056 | | 593,883 | | 654,268 | | 92,705 |
| Otter Tail Corp. | | Morgan Stanley | | 484 | | 29,956 | | 30,250 | | 297 |
| PPL Corp. | | Morgan Stanley | | 14,781 | | 423,687 | | 422,145 | | 8,774 |
| Sempra Energy | | Morgan Stanley | | 18 | | 3,044 | | 3,026 | | 29 |
| Southern Co. (The) | | Morgan Stanley | | 3,285 | | 228,035 | | 238,195 | | 10,178 |
| | | | | 62,701 | | 3,014,925 | | 3,351,084 | | 385,739 |
|
|
| Total Reference Entity — Long | | | | | | 133,342,088 | | 143,433,685 | | 11,372,602 |
| Short | | | | | | | | | | |
| Automobiles & Components | | | | | | | | |
| Adient PLC | | Morgan Stanley | | (16,785) | | (781,200) | | (684,324) | | 95,907 |
| BorgWarner, Inc. | | Morgan Stanley | | (1,818) | | (87,479) | | (70,720) | | 15,092 |
| Dana, Inc. | | Morgan Stanley | | (41,377) | | (943,980) | | (726,994) | | 212,781 |
| Fox Factory Holding Corp. | | Morgan Stanley | | (4,916) | | (565,479) | | (481,522) | | 83,165 |
| Gentex Corp. | | Morgan Stanley | | (12,673) | | (396,352) | | (369,671) | | 26,336 |
| Goodyear Tire & Rubber Co. (The) | | Morgan Stanley | | (25,821) | | (430,312) | | (368,982) | | 60,796 |
| LCI Industries | | Morgan Stanley | | (12,966) | | (1,792,158) | | (1,346,000) | | 408,964 |
| Patrick Industries, Inc. | | Morgan Stanley | | (6,875) | | (588,946) | | (414,563) | | 169,480 |
| Rivian Automotive, Inc., Class A | | Morgan Stanley | | (39,789) | | (1,524,791) | | (1,998,999) | | (509,250) |
| Winnebago Industries, Inc. | | Morgan Stanley | | (1,738) | | (95,933) | | (93,904) | | 1,959 |
| | | | | (164,758) | | (7,206,630) | | (6,555,679) | | 565,230 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Capital Goods | | | | | | | | |
| AAON, Inc. | | Morgan Stanley | | (5,097) | | $ (279,081) | | $ (284,056) | | $ (5,321) |
| Acuity Brands, Inc. | | Morgan Stanley | | (1,049) | | (220,848) | | (198,576) | | 22,235 |
| Advanced Drainage Systems, Inc. | | Morgan Stanley | | (12,394) | | (1,500,927) | | (1,472,531) | | 24,446 |
| AeroVironment, Inc. | | Morgan Stanley | | (10,475) | | (785,951) | | (986,117) | | (202,935) |
| AGCO Corp. | | Morgan Stanley | | (1,735) | | (217,913) | | (253,362) | | (36,391) |
| Allison Transmission Holdings, Inc. | | Morgan Stanley | | (5,161) | | (209,102) | | (202,621) | | 3,415 |
| American Woodmark Corp. | | Morgan Stanley | | (8,988) | | (586,304) | | (439,963) | | 145,618 |
| Arcosa, Inc. | | Morgan Stanley | | (16,690) | | (928,117) | | (955,503) | | (32,302) |
| Array Technologies, Inc. | | Morgan Stanley | | (14,018) | | (303,798) | | (157,983) | | 145,439 |
| Astec Industries, Inc. | | Morgan Stanley | | (1,370) | | (61,215) | | (58,910) | | 2,230 |
| Axon Enterprise, Inc. | | Morgan Stanley | | (1,230) | | (154,994) | | (169,408) | | (14,606) |
| AZEK Co., Inc. (The) | | Morgan Stanley | | (69,472) | | (2,346,950) | | (1,725,684) | | 618,354 |
| Ballard Power Systems, Inc. (Canada) | | Morgan Stanley | | (78,775) | | (1,233,351) | | (916,941) | | 316,195 |
| Beacon Roofing Supply, Inc. | | Morgan Stanley | | (2,873) | | (173,994) | | (170,311) | | 3,466 |
| Bloom Energy Corp., Class A | | Morgan Stanley | | (827) | | (21,370) | | (19,972) | | 1,514 |
| Boeing Co. (The) | | Morgan Stanley | | (9,618) | | (1,886,909) | | (1,841,847) | | 42,722 |
| BWX Technologies, Inc. | | Morgan Stanley | | (15,162) | | (970,933) | | (816,625) | | 142,360 |
| CAE, Inc. (Canada) | | Morgan Stanley | | (5,065) | | (133,513) | | (132,095) | | 1,003 |
| Chart Industries, Inc. | | Morgan Stanley | | (3,463) | | (577,040) | | (594,840) | | (18,515) |
| Columbus McKinnon Corp. | | Morgan Stanley | | (5,490) | | (254,717) | | (232,776) | | 21,389 |
| Comfort Systems USA, Inc. | | Morgan Stanley | | (1,556) | | (141,034) | | (138,500) | | 2,375 |
| Construction Partners, Inc., Class A | | Morgan Stanley | | (24,549) | | (698,276) | | (642,693) | | 54,094 |
| Cornerstone Building Brands, Inc. | | Morgan Stanley | | (57,840) | | (1,219,012) | | (1,406,669) | | (189,169) |
| Donaldson Co., Inc. | | Morgan Stanley | | (6,780) | | (397,452) | | (352,085) | | 44,790 |
| Energy Recovery, Inc. | | Morgan Stanley | | (14,565) | | (307,881) | | (293,339) | | 14,024 |
| EnerSys | | Morgan Stanley | | (21,491) | | (1,647,128) | | (1,602,584) | | 36,915 |
| EnPro Industries, Inc. | | Morgan Stanley | | (1,980) | | (208,405) | | (193,505) | | 14,399 |
| ESCO Technologies, Inc. | | Morgan Stanley | | (2,447) | | (173,526) | | (171,094) | | 2,217 |
| Federal Signal Corp. | | Morgan Stanley | | (2,563) | | (87,227) | | (86,501) | | 531 |
| Flowserve Corp. | | Morgan Stanley | | (19,535) | | (653,869) | | (701,307) | | (51,446) |
| Franklin Electric Co., Inc. | | Morgan Stanley | | (5,319) | | (466,844) | | (441,690) | | 22,761 |
| GATX Corp. | | Morgan Stanley | | (4,594) | | (446,245) | | (566,578) | | (133,199) |
| Gibraltar Industries, Inc. | | Morgan Stanley | | (7,653) | | (529,080) | | (328,696) | | 200,623 |
| Global Industrial Co. | | Morgan Stanley | | (509) | | (16,259) | | (16,405) | | (188) |
| GMS, Inc. | | Morgan Stanley | | (14,717) | | (781,191) | | (732,465) | | 47,045 |
| Granite Construction, Inc. | | Morgan Stanley | | (3,668) | | (116,780) | | (120,310) | | (4,066) |
| Great Lakes Dredge & Dock Corp. | | Morgan Stanley | | (16,627) | | (246,124) | | (233,277) | | 12,542 |
| Greenbrier Cos., Inc. (The) | | Morgan Stanley | | (3,539) | | (150,448) | | (182,294) | | (32,988) |
| Griffon Corp. | | Morgan Stanley | | (12,891) | | (312,496) | | (258,207) | | 52,336 |
| Huntington Ingalls Industries, Inc. | | Morgan Stanley | | (8,460) | | (1,608,273) | | (1,687,262) | | (96,663) |
| JELD-WEN Holding, Inc. | | Morgan Stanley | | (17,394) | | (420,845) | | (352,750) | | 67,520 |
| Kratos Defense & Security Solutions, Inc. | | Morgan Stanley | | (33,447) | | (706,539) | | (684,995) | | 20,668 |
| Lennox International, Inc. | | Morgan Stanley | | (1,759) | | (480,350) | | (453,576) | | 24,631 |
| Lincoln Electric Holdings, Inc. | | Morgan Stanley | | (257) | | (35,616) | | (35,417) | | 155 |
| Lindsay Corp. | | Morgan Stanley | | (2,551) | | (387,313) | | (400,533) | | (15,410) |
| Masonite International Corp. | | Morgan Stanley | | (2,023) | | (191,224) | | (179,926) | | 10,873 |
| MasTec, Inc. | | Morgan Stanley | | (10,587) | | (856,397) | | (922,128) | | (66,793) |
| MDU Resources Group, Inc. | | Morgan Stanley | | (41,089) | | (1,177,512) | | (1,095,022) | | 72,470 |
| Mercury Systems, Inc. | | Morgan Stanley | | (38,331) | | (2,364,316) | | (2,470,433) | | (109,050) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Capital Goods — (continued) | | | | | | | | |
| Meritor, Inc. | | Morgan Stanley | | (15,546) | | $ (456,146) | | $ (552,971) | | $ (97,953) |
| Middleby Corp. (The) | | Morgan Stanley | | (10,975) | | (1,859,372) | | (1,799,241) | | 57,823 |
| MSC Industrial Direct Co., Inc., Class A | | Morgan Stanley | | (7,925) | | (691,630) | | (675,289) | | 3,189 |
| PGT Innovations, Inc. | | Morgan Stanley | | (31,953) | | (613,477) | | (574,515) | | 37,905 |
| Primoris Services Corp. | | Morgan Stanley | | (33,018) | | (843,674) | | (786,489) | | 52,486 |
| Proto Labs, Inc. | | Morgan Stanley | | (20,570) | | (2,231,166) | | (1,088,153) | | 1,139,343 |
| RBC Bearings, Inc. | | Morgan Stanley | | (2,792) | | (544,140) | | (541,313) | | 2,152 |
| Regal Rexnord Corp. | | Morgan Stanley | | (5,094) | | (789,106) | | (757,885) | | 28,701 |
| Rockwell Automation, Inc. | | Morgan Stanley | | (2,781) | | (802,839) | | (778,763) | | 20,045 |
| Sensata Technologies Holding PLC (United Kingdom) | | Morgan Stanley | | (16,990) | | (1,034,453) | | (863,942) | | 173,558 |
| Shoals Technologies Group, Inc., Class A | | Morgan Stanley | | (12,008) | | (300,463) | | (204,616) | | 95,474 |
| Simpson Manufacturing Co., Inc. | | Morgan Stanley | | (2,191) | | (296,121) | | (238,907) | | 60,793 |
| Stanley Black & Decker, Inc. | | Morgan Stanley | | (25,861) | | (4,221,705) | | (3,615,109) | | 584,290 |
| Sunrun, Inc. | | Morgan Stanley | | (18,540) | | (1,115,831) | | (563,060) | | 549,092 |
| Textainer Group Holdings Ltd. (Bermuda) | | Morgan Stanley | | (19,914) | | (671,625) | | (758,126) | | (97,457) |
| Toro Co. (The) | | Morgan Stanley | | (4,828) | | (412,869) | | (412,746) | | (348) |
| United Rentals, Inc. | | Morgan Stanley | | (3,233) | | (1,237,735) | | (1,148,394) | | 81,922 |
| Valmont Industries, Inc. | | Morgan Stanley | | (3,183) | | (762,478) | | (759,464) | | (2,008) |
| Vertiv Holdings Co. | | Morgan Stanley | | (56,494) | | (691,970) | | (790,916) | | (99,804) |
| Vicor Corp. | | Morgan Stanley | | (3,479) | | (260,746) | | (245,443) | | 14,934 |
| Welbilt, Inc. | | Morgan Stanley | | (12,198) | | (289,012) | | (289,703) | | (1,117) |
| WESCO International, Inc. | | Morgan Stanley | | (1,025) | | (134,548) | | (133,394) | | 987 |
| | | | | (958,271) | | (49,935,795) | | (45,958,801) | | 3,786,320 |
| Commercial & Professional Services | | | | | | | | |
| ABM Industries, Inc. | | Morgan Stanley | | (2,763) | | (121,489) | | (127,209) | | (5,545) |
| ADT, Inc. | | Morgan Stanley | | (172,302) | | (1,555,394) | | (1,307,772) | | 224,283 |
| Alight, Inc., Class A | | Morgan Stanley | | (17,373) | | (163,188) | | (172,861) | | (9,876) |
| ASGN, Inc. | | Morgan Stanley | | (2,225) | | (256,116) | | (259,680) | | (3,881) |
| Booz Allen Hamilton Holding Corp. | | Morgan Stanley | | (20,026) | | (1,555,637) | | (1,759,084) | | (205,376) |
| Brady Corp., Class A | | Morgan Stanley | | (581) | | (27,399) | | (26,883) | | 482 |
| CACI International, Inc., Class A | | Morgan Stanley | | (2,541) | | (666,204) | | (765,502) | | (103,069) |
| Clarivate PLC (Jersey) | | Morgan Stanley | | (17,709) | | (417,567) | | (296,803) | | 117,856 |
| CoreCivic, Inc. | | Morgan Stanley | | (1,175) | | (11,834) | | (13,125) | | (1,305) |
| CoStar Group, Inc. | | Morgan Stanley | | (3,133) | | (297,449) | | (208,689) | | 88,391 |
| Deluxe Corp. | | Morgan Stanley | | (3,489) | | (139,248) | | (105,507) | | 32,086 |
| Driven Brands Holdings, Inc. | | Morgan Stanley | | (21,967) | | (665,660) | | (577,293) | | 87,542 |
| Dun & Bradstreet Holdings, Inc. | | Morgan Stanley | | (62,054) | | (1,207,042) | | (1,087,186) | | 119,783 |
| GFL Environmental, Inc. (Canada) | | Morgan Stanley | | (14,709) | | (570,473) | | (478,631) | | 91,765 |
| Harsco Corp. | | Morgan Stanley | | (24,687) | | (412,963) | | (302,169) | | 111,433 |
| Healthcare Services Group, Inc. | | Morgan Stanley | | (15,333) | | (257,836) | | (284,734) | | (27,968) |
| IAA, Inc. | | Morgan Stanley | | (3,677) | | (141,437) | | (140,645) | | 617 |
| ICF International, Inc. | | Morgan Stanley | | (1,314) | | (118,575) | | (123,700) | | (5,385) |
| Insperity, Inc. | | Morgan Stanley | | (4,302) | | (474,781) | | (432,007) | | 28,270 |
| Leidos Holdings, Inc. | | Morgan Stanley | | (9,094) | | (874,366) | | (982,334) | | (120,194) |
| ManTech International Corp., Class A | | Morgan Stanley | | (7,132) | | (597,711) | | (614,707) | | (21,432) |
| MillerKnoll, Inc. | | Morgan Stanley | | (22,708) | | (867,284) | | (784,788) | | 75,776 |
| Pitney Bowes, Inc. | | Morgan Stanley | | (81,349) | | (698,386) | | (423,015) | | 262,445 |
| Steelcase, Inc., Class A | | Morgan Stanley | | (2,301) | | (26,650) | | (27,497) | | (875) |
| Stericycle, Inc. | | Morgan Stanley | | (755) | | (44,181) | | (44,485) | | (358) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Commercial & Professional Services — (continued) | | | | | | | | |
| TransUnion | | Morgan Stanley | | (3,498) | | $ (359,373) | | $ (361,483) | | $ (2,556) |
| TrueBlue, Inc. | | Morgan Stanley | | (5,831) | | (160,625) | | (168,458) | | (8,031) |
| U.S. Ecology, Inc. | | Morgan Stanley | | (12,431) | | (455,502) | | (595,196) | | (141,010) |
| UniFirst Corp. | | Morgan Stanley | | (2,270) | | (447,724) | | (418,316) | | 28,206 |
| Upwork, Inc. | | Morgan Stanley | | (83,280) | | (2,622,735) | | (1,935,427) | | 679,800 |
| Viad Corp. | | Morgan Stanley | | (6,776) | | (291,746) | | (241,497) | | 50,196 |
| Waste Connections, Inc. | | Morgan Stanley | | (2,267) | | (273,835) | | (316,700) | | (47,439) |
| | | | | (631,052) | | (16,780,410) | | (15,383,383) | | 1,294,631 |
| Consumer Durables & Apparel | | | | | | | | |
| Allbirds, Inc., Class A | | Morgan Stanley | | (5,103) | | (31,689) | | (30,669) | | 981 |
| Brunswick Corp. | | Morgan Stanley | | (13,327) | | (1,247,675) | | (1,078,021) | | 164,681 |
| Callaway Golf Co. | | Morgan Stanley | | (60,470) | | (1,506,561) | | (1,416,207) | | 88,485 |
| Canada Goose Holdings, Inc. (Canada) | | Morgan Stanley | | (18,296) | | (722,033) | | (481,734) | | 239,404 |
| Carter's, Inc. | | Morgan Stanley | | (2,576) | | (279,205) | | (236,966) | | 41,408 |
| Deckers Outdoor Corp. | | Morgan Stanley | | (2,355) | | (726,586) | | (644,728) | | 82,537 |
| Garmin Ltd. | | Morgan Stanley | | (13,520) | | (1,514,782) | | (1,603,607) | | (93,117) |
| Hanesbrands, Inc. | | Morgan Stanley | | (28,985) | | (460,879) | | (431,587) | | 24,206 |
| Helen of Troy Ltd. | | Morgan Stanley | | (6,414) | | (1,444,977) | | (1,256,118) | | 187,067 |
| Installed Building Products, Inc. | | Morgan Stanley | | (4,386) | | (543,500) | | (370,573) | | 171,899 |
| iRobot Corp. | | Morgan Stanley | | (7,287) | | (507,144) | | (461,996) | | 44,520 |
| La-Z-Boy, Inc. | | Morgan Stanley | | (11,727) | | (386,317) | | (309,241) | | 74,757 |
| Leggett & Platt, Inc. | | Morgan Stanley | | (14,370) | | (623,669) | | (500,076) | | 117,855 |
| Malibu Boats, Inc., Class A | | Morgan Stanley | | (1,856) | | (159,980) | | (107,667) | | 53,153 |
| Oxford Industries, Inc. | | Morgan Stanley | | (2,170) | | (174,532) | | (196,385) | | (26,098) |
| Peloton Interactive, Inc., Class A | | Morgan Stanley | | (30,246) | | (3,280,066) | | (799,099) | | 2,476,897 |
| Polaris, Inc. | | Morgan Stanley | | (8,492) | | (1,044,668) | | (894,377) | | 140,610 |
| Skechers USA, Inc., Class A | | Morgan Stanley | | (36,289) | | (1,646,520) | | (1,479,140) | | 162,684 |
| TopBuild Corp. | | Morgan Stanley | | (7,979) | | (1,662,455) | | (1,447,311) | | 213,082 |
| Traeger, Inc. | | Morgan Stanley | | (645) | | (4,869) | | (4,799) | | 18 |
| Wolverine World Wide, Inc. | | Morgan Stanley | | (22,944) | | (651,766) | | (517,617) | | 129,657 |
| YETI Holdings, Inc. | | Morgan Stanley | | (6,810) | | (585,289) | | (408,464) | | 176,099 |
| | | | | (306,247) | | (19,205,162) | | (14,676,382) | | 4,470,785 |
| Consumer Services | | | | | | | | |
| Adtalem Global Education, Inc. | | Morgan Stanley | | (5,427) | | (152,489) | | (161,236) | | (8,936) |
| Aramark | | Morgan Stanley | | (3,993) | | (155,312) | | (150,137) | | 2,558 |
| Bally's Corp. | | Morgan Stanley | | (17,099) | | (1,033,530) | | (525,623) | | 507,293 |
| Carnival Corp. (Panama) | | Morgan Stanley | | (5,698) | | (121,441) | | (115,214) | | 6,077 |
| Churchill Downs, Inc. | | Morgan Stanley | | (634) | | (150,337) | | (140,609) | | 9,394 |
| Denny's Corp. | | Morgan Stanley | | (23,663) | | (408,837) | | (338,618) | | 69,756 |
| DraftKings, Inc., Class A | | Morgan Stanley | | (35,959) | | (1,531,206) | | (700,122) | | 829,185 |
| Frontdoor, Inc. | | Morgan Stanley | | (265) | | (14,971) | | (7,910) | | 7,042 |
| Graham Holdings Co., Class B | | Morgan Stanley | | (374) | | (223,843) | | (228,690) | | (5,109) |
| International Game Technology PLC | | Morgan Stanley | | (13,929) | | (343,996) | | (343,768) | | (2,726) |
| Life Time Group Holdings, Inc. | | Morgan Stanley | | (8,794) | | (118,118) | | (127,865) | | (9,893) |
| Mister Car Wash, Inc. | | Morgan Stanley | | (1,966) | | (30,151) | | (29,077) | | 1,036 |
| Norwegian Cruise Line Holdings Ltd. (Bermuda) | | Morgan Stanley | | (9,543) | | (276,730) | | (208,801) | | 64,935 |
| Royal Caribbean Cruises Ltd. (Liberia) | | Morgan Stanley | | (5,381) | | (478,091) | | (450,820) | | 26,678 |
| Shake Shack, Inc., Class A | | Morgan Stanley | | (8,832) | | (823,261) | | (599,693) | | 222,140 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Consumer Services — (continued) | | | | | | | | |
| Stride, Inc. | | Morgan Stanley | | (13,148) | | $ (609,147) | | $ (477,667) | | $ 132,624 |
| Terminix Global Holdings, Inc. | | Morgan Stanley | | (11,418) | | (512,621) | | (521,003) | | (9,619) |
| Wendy's Co. (The) | | Morgan Stanley | | (88,737) | | (1,986,490) | | (1,949,552) | | 27,132 |
| Wingstop, Inc. | | Morgan Stanley | | (11,174) | | (1,940,098) | | (1,311,269) | | 577,742 |
| | | | | (266,034) | | (10,910,669) | | (8,387,674) | | 2,447,309 |
| Diversified Financials | | | | | | | | |
| Blucora, Inc. | | Morgan Stanley | | (6,670) | | (128,811) | | (130,399) | | (1,747) |
| Coinbase Global, Inc., Class A | | Morgan Stanley | | (5,451) | | (1,088,571) | | (1,034,927) | | 52,293 |
| FactSet Research Systems, Inc. | | Morgan Stanley | | (132) | | (58,246) | | (57,308) | | 866 |
| MarketAxess Holdings, Inc. | | Morgan Stanley | | (1,451) | | (525,598) | | (493,630) | | 31,316 |
| State Street Corp. | | Morgan Stanley | | (2,543) | | (227,318) | | (221,546) | | 3,923 |
| | | | | (16,247) | | (2,028,544) | | (1,937,810) | | 86,651 |
| Energy | | | | | | | | |
| Antero Midstream Corp. | | Morgan Stanley | | (45,063) | | (456,918) | | (489,835) | | (33,483) |
| Cactus, Inc., Class A | | Morgan Stanley | | (2,339) | | (114,636) | | (132,715) | | (18,608) |
| California Resources Corp. | | Morgan Stanley | | (7,821) | | (337,424) | | (349,833) | | (13,264) |
| Chesapeake Energy Corp. | | Morgan Stanley | | (2,124) | | (187,491) | | (184,788) | | 2,470 |
| Civitas Resources, Inc. | | Morgan Stanley | | (29,575) | | (1,580,914) | | (1,765,923) | | (211,442) |
| CNX Resources Corp. | | Morgan Stanley | | (15,980) | | (303,378) | | (331,106) | | (28,104) |
| Core Laboratories N.V. | | Morgan Stanley | | (33,782) | | (934,616) | | (1,068,525) | | (135,511) |
| Coterra Energy, Inc. | | Morgan Stanley | | (136,196) | | (3,449,073) | | (3,673,206) | | (251,903) |
| Crescent Point Energy Corp. (Canada) | | Morgan Stanley | | (38,667) | | (182,384) | | (280,336) | | (130,654) |
| Delek U.S. Holdings, Inc. | | Morgan Stanley | | (57,799) | | (1,054,072) | | (1,226,495) | | (186,694) |
| Enbridge, Inc. (Canada) | | Morgan Stanley | | (31,072) | | (1,327,804) | | (1,432,108) | | (134,350) |
| EQT Corp. | | Morgan Stanley | | (32,079) | | (689,263) | | (1,103,838) | | (419,749) |
| Equitrans Midstream Corp. | | Morgan Stanley | | (52,487) | | (429,978) | | (442,990) | | (13,546) |
| Green Plains, Inc. | | Morgan Stanley | | (6,232) | | (190,448) | | (193,254) | | (3,042) |
| Hess Corp. | | Morgan Stanley | | (4,803) | | (440,480) | | (514,113) | | (76,325) |
| HF Sinclair Corp. | | Morgan Stanley | | (68,952) | | (2,408,895) | | (2,747,737) | | (341,831) |
| Kinder Morgan, Inc. | | Morgan Stanley | | (26,048) | | (463,460) | | (492,568) | | (46,249) |
| Kosmos Energy Ltd. (Ghana) | | Morgan Stanley | | (274,762) | | (1,380,844) | | (1,975,539) | | (596,408) |
| Laredo Petroleum, Inc. | | Morgan Stanley | | (7,462) | | (511,928) | | (590,543) | | (95,221) |
| Liberty Oilfield Services, Inc., Class A | | Morgan Stanley | | (56,524) | | (618,121) | | (837,686) | | (224,852) |
| New Fortress Energy, Inc. | | Morgan Stanley | | (13,504) | | (393,199) | | (575,405) | | (201,412) |
| Northern Oil and Gas, Inc. | | Morgan Stanley | | (8,105) | | (164,104) | | (228,480) | | (68,089) |
| NOV, Inc. | | Morgan Stanley | | (16,069) | | (287,845) | | (315,113) | | (31,364) |
| Par Pacific Holdings, Inc. | | Morgan Stanley | | (18,290) | | (287,078) | | (238,136) | | 48,900 |
| Patterson-UTI Energy, Inc. | | Morgan Stanley | | (44,822) | | (388,906) | | (693,845) | | (307,731) |
| Ranger Oil Corp., Class A | | Morgan Stanley | | (1,346) | | (47,729) | | (46,477) | | 1,192 |
| Renewable Energy Group, Inc. | | Morgan Stanley | | (33,282) | | (1,767,464) | | (2,018,553) | | (282,513) |
| RPC, Inc. | | Morgan Stanley | | (40,116) | | (139,679) | | (428,038) | | (298,180) |
| Southwestern Energy Co. | | Morgan Stanley | | (381,542) | | (1,954,827) | | (2,735,656) | | (825,831) |
| TC Energy Corp. (Canada) | | Morgan Stanley | | (41,633) | | (2,102,550) | | (2,348,934) | | (314,855) |
| TechnipFMC PLC (United Kingdom) | | Morgan Stanley | | (114,387) | | (919,297) | | (886,499) | | 26,921 |
| Tellurian, Inc. | | Morgan Stanley | | (127,134) | | (382,229) | | (673,810) | | (325,746) |
| Uranium Energy Corp. | | Morgan Stanley | | (14,977) | | (71,556) | | (68,744) | | 2,723 |
| | | | | (1,784,974) | | (25,968,590) | | (31,090,828) | | (5,534,751) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Food & Staples Retailing | | | | | | | | |
| Albertsons Cos., Inc., Class A | | Morgan Stanley | | (7,670) | | $ (274,447) | | $ (255,028) | | $ 20,002 |
| BJ's Wholesale Club Holdings, Inc. | | Morgan Stanley | | (5,973) | | (385,273) | | (403,835) | | (19,039) |
| Casey's General Stores, Inc. | | Morgan Stanley | | (11,123) | | (2,183,559) | | (2,204,245) | | (34,696) |
| Grocery Outlet Holding Corp. | | Morgan Stanley | | (13,492) | | (509,722) | | (442,268) | | 66,822 |
| Performance Food Group Co. | | Morgan Stanley | | (4,696) | | (228,674) | | (239,073) | | (11,492) |
| U.S. Foods Holding Corp. | | Morgan Stanley | | (9,952) | | (382,548) | | (374,494) | | 7,579 |
| | | | | (52,906) | | (3,964,223) | | (3,918,943) | | 29,176 |
| Food, Beverage & Tobacco | | | | | | | | |
| B&G Foods, Inc. | | Morgan Stanley | | (17,984) | | (587,931) | | (485,208) | | 58,535 |
| Boston Beer Co., Inc. (The), Class A | | Morgan Stanley | | (1,479) | | (557,974) | | (574,547) | | (17,266) |
| Celsius Holdings, Inc. | | Morgan Stanley | | (40,141) | | (2,843,247) | | (2,214,980) | | 622,143 |
| Dole PLC | | Morgan Stanley | | (5,418) | | (71,304) | | (67,183) | | 3,723 |
| Flowers Foods, Inc. | | Morgan Stanley | | (4,009) | | (102,767) | | (103,071) | | (285) |
| Freshpet, Inc. | | Morgan Stanley | | (14,216) | | (1,808,178) | | (1,459,130) | | 342,527 |
| Ingredion, Inc. | | Morgan Stanley | | (3,155) | | (304,573) | | (274,958) | | 21,474 |
| J & J Snack Foods Corp. | | Morgan Stanley | | (1,368) | | (213,073) | | (212,177) | | (344) |
| J M Smucker Co. (The) | | Morgan Stanley | | (13,024) | | (1,708,097) | | (1,763,580) | | (56,367) |
| John B Sanfilippo & Son, Inc. | | Morgan Stanley | | (631) | | (50,862) | | (52,651) | | (1,852) |
| Lamb Weston Holdings, Inc. | | Morgan Stanley | | (2,070) | | (173,740) | | (124,014) | | 47,967 |
| Lancaster Colony Corp. | | Morgan Stanley | | (6,877) | | (1,131,386) | | (1,025,705) | | 101,421 |
| MGP Ingredients, Inc. | | Morgan Stanley | | (4,981) | | (256,726) | | (426,324) | | (172,855) |
| Mission Produce, Inc. | | Morgan Stanley | | (2,550) | | (40,710) | | (32,258) | | 8,402 |
| National Beverage Corp. | | Morgan Stanley | | (2,107) | | (88,751) | | (91,655) | | (3,014) |
| Pilgrim's Pride Corp. | | Morgan Stanley | | (5,754) | | (138,028) | | (144,425) | | (6,627) |
| Post Holdings, Inc. | | Morgan Stanley | | (2,192) | | (173,078) | | (151,818) | | 21,046 |
| Primo Water Corp. | | Morgan Stanley | | (10,711) | | (152,178) | | (152,632) | | (1,087) |
| Simply Good Foods Co. (The) | | Morgan Stanley | | (14,312) | | (540,334) | | (543,140) | | (3,476) |
| Universal Corp | | Morgan Stanley | | (3,399) | | (185,458) | | (197,380) | | (12,152) |
| Utz Brands, Inc. | | Morgan Stanley | | (33,387) | | (689,839) | | (493,460) | | 192,374 |
| | | | | (189,765) | | (11,818,234) | | (10,590,296) | | 1,144,287 |
| Health Care Equipment & Services | | | | | | | | |
| 1Life Healthcare, Inc. | | Morgan Stanley | | (50,566) | | (1,096,931) | | (560,271) | | 533,574 |
| Accolade, Inc. | | Morgan Stanley | | (14,794) | | (595,870) | | (259,783) | | 335,485 |
| AdaptHealth Corp. | | Morgan Stanley | | (43,165) | | (937,122) | | (691,935) | | 244,025 |
| Agiliti, Inc. | | Morgan Stanley | | (190) | | (3,928) | | (4,009) | | (86) |
| Alphatec Holdings, Inc. | | Morgan Stanley | | (54,076) | | (669,195) | | (621,874) | | 46,490 |
| American Well Corp., Class A | | Morgan Stanley | | (23,291) | | (328,101) | | (98,055) | | 229,639 |
| Baxter International, Inc. | | Morgan Stanley | | (25,280) | | (2,115,586) | | (1,960,211) | | 152,306 |
| BioLife Solutions, Inc. | | Morgan Stanley | | (30,015) | | (999,554) | | (682,241) | | 316,073 |
| Brookdale Senior Living, Inc. | | Morgan Stanley | | (17,280) | | (121,352) | | (121,824) | | (1,426) |
| Cardiovascular Systems, Inc. | | Morgan Stanley | | (8,286) | | (317,519) | | (187,264) | | 131,349 |
| Castle Biosciences, Inc. | | Morgan Stanley | | (16,656) | | (1,016,914) | | (747,188) | | 267,054 |
| Certara, Inc. | | Morgan Stanley | | (6,305) | | (171,268) | | (135,431) | | 35,965 |
| Change Healthcare, Inc. | | Morgan Stanley | | (51,415) | | (1,069,050) | | (1,120,847) | | (55,436) |
| CONMED Corp. | | Morgan Stanley | | (1,607) | | (250,848) | | (238,720) | | 11,348 |
| Covetrus, Inc. | | Morgan Stanley | | (22,715) | | (718,229) | | (381,385) | | 336,693 |
| Encompass Health Corp. | | Morgan Stanley | | (25,441) | | (1,611,239) | | (1,809,110) | | (207,210) |
| Globus Medical, Inc., Class A | | Morgan Stanley | | (278) | | (20,743) | | (20,511) | | 207 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Health Care Equipment & Services — (continued) | | | | | | | | |
| GoodRx Holdings, Inc., Class A | | Morgan Stanley | | (6,626) | | $ (258,340) | | $ (128,081) | | $ 129,939 |
| Guardant Health, Inc. | | Morgan Stanley | | (25,470) | | (2,590,513) | | (1,687,133) | | 903,609 |
| Haemonetics Corp. | | Morgan Stanley | | (2,034) | | (237,498) | | (128,589) | | 118,241 |
| Health Catalyst, Inc. | | Morgan Stanley | | (18,902) | | (716,047) | | (493,909) | | 220,868 |
| HealthEquity, Inc. | | Morgan Stanley | | (27,067) | | (1,405,263) | | (1,825,398) | | (430,511) |
| Inari Medical, Inc. | | Morgan Stanley | | (7,581) | | (697,148) | | (687,142) | | 8,167 |
| Innovage Holding Corp. | | Morgan Stanley | | (172) | | (1,150) | | (1,104) | | 45 |
| Insulet Corp. | | Morgan Stanley | | (4,332) | | (1,263,718) | | (1,154,001) | | 112,567 |
| Integer Holdings Corp. | | Morgan Stanley | | (3,586) | | (291,150) | | (288,924) | | 1,865 |
| Lantheus Holdings, Inc. | | Morgan Stanley | | (7,529) | | (200,136) | | (416,429) | | (238,293) |
| LHC Group, Inc. | | Morgan Stanley | | (4,278) | | (622,913) | | (721,271) | | (99,131) |
| LifeStance Health Group, Inc. | | Morgan Stanley | | (9,683) | | (88,542) | | (97,895) | | (9,463) |
| Mesa Laboratories, Inc. | | Morgan Stanley | | (1,166) | | (299,593) | | (297,190) | | 1,437 |
| Nevro Corp. | | Morgan Stanley | | (5,924) | | (517,472) | | (428,483) | | 86,645 |
| Novocure Ltd. (Jersey) | | Morgan Stanley | | (10,406) | | (994,369) | | (862,137) | | 125,888 |
| NuVasive, Inc. | | Morgan Stanley | | (11,492) | | (631,405) | | (651,596) | | (21,331) |
| Oak Street Health, Inc. | | Morgan Stanley | | (46,822) | | (2,303,197) | | (1,258,575) | | 1,041,764 |
| OrthoPediatrics Corp. | | Morgan Stanley | | (2,588) | | (140,205) | | (139,726) | | 49 |
| Outset Medical, Inc. | | Morgan Stanley | | (10,906) | | (479,097) | | (495,132) | | (18,348) |
| Patterson Cos., Inc. | | Morgan Stanley | | (6,793) | | (202,732) | | (219,889) | | (17,405) |
| Penumbra, Inc. | | Morgan Stanley | | (1,269) | | (353,380) | | (281,883) | | 71,059 |
| Phreesia, Inc. | | Morgan Stanley | | (17,322) | | (644,189) | | (456,608) | | 186,782 |
| Progyny, Inc. | | Morgan Stanley | | (17,374) | | (1,019,007) | | (893,024) | | 123,212 |
| Pulmonx Corp. | | Morgan Stanley | | (177) | | (4,395) | | (4,391) | | (549) |
| Quidel Corp. | | Morgan Stanley | | (5,488) | | (795,402) | | (617,180) | | 177,235 |
| RadNet, Inc. | | Morgan Stanley | | (18,840) | | (379,821) | | (421,451) | | (43,293) |
| Schrodinger, Inc. | | Morgan Stanley | | (28,474) | | (1,508,491) | | (971,533) | | 525,219 |
| Silk Road Medical, Inc. | | Morgan Stanley | | (17,835) | | (839,921) | | (736,407) | | 97,844 |
| Simulations Plus, Inc. | | Morgan Stanley | | (2,348) | | (186,512) | | (119,701) | | 66,043 |
| STERIS PLC (Ireland) | | Morgan Stanley | | (3,720) | | (827,163) | | (899,384) | | (85,139) |
| Surgery Partners, Inc. | | Morgan Stanley | | (20,689) | | (1,022,269) | | (1,138,929) | | (119,025) |
| Teladoc Health, Inc. | | Morgan Stanley | | (2,117) | | (330,002) | | (152,699) | | 176,893 |
| US Physical Therapy, Inc. | | Morgan Stanley | | (29) | | (2,880) | | (2,884) | | (223) |
| Zimmer Biomet Holdings, Inc. | | Morgan Stanley | | (15,748) | | (1,898,637) | | (2,014,169) | | (121,001) |
| | | | | (756,147) | | (35,796,006) | | (30,333,506) | | 5,347,709 |
| Household & Personal Products | | | | | | | | |
| Central Garden & Pet Co., Class A | | Morgan Stanley | | (7,143) | | (313,505) | | (291,292) | | 21,825 |
| Clorox Co. (The) | | Morgan Stanley | | (3,890) | | (712,648) | | (540,827) | | 162,313 |
| Energizer Holdings, Inc. | | Morgan Stanley | | (24,983) | | (904,007) | | (768,477) | | 124,074 |
| Inter Parfums, Inc. | | Morgan Stanley | | (1,526) | | (129,454) | | (134,364) | | (5,071) |
| Olaplex Holdings, Inc. | | Morgan Stanley | | (10,210) | | (249,297) | | (159,582) | | 89,406 |
| Reynolds Consumer Products, Inc. | | Morgan Stanley | | (12,902) | | (380,117) | | (378,545) | | (4,946) |
| WD-40 Co. | | Morgan Stanley | | (777) | | (188,220) | | (142,370) | | 48,734 |
| | | | | (61,431) | | (2,877,248) | | (2,415,457) | | 436,335 |
| Materials | | | | | | | | |
| Agnico Eagle Mines Ltd. (Canada) | | Morgan Stanley | | (38,147) | | (2,176,147) | | (2,336,122) | | (182,670) |
| Alamos Gold, Inc., Class A (Canada) | | Morgan Stanley | | (173,253) | | (1,362,256) | | (1,458,790) | | (99,643) |
| Alpha Metallurgical Resources, Inc. | | Morgan Stanley | | (1,245) | | (159,432) | | (164,290) | | (5,056) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Materials — (continued) | | | | | | | | |
| Amyris, Inc. | | Morgan Stanley | | (128,312) | | $ (902,557) | | $ (559,440) | | $ 341,103 |
| AptarGroup, Inc. | | Morgan Stanley | | (3,804) | | (475,747) | | (446,970) | | 27,000 |
| Arconic Corp. | | Morgan Stanley | | (11,011) | | (292,240) | | (282,102) | | 9,776 |
| Axalta Coating Systems Ltd. | | Morgan Stanley | | (24,007) | | (795,132) | | (590,092) | | 217,665 |
| Berry Global Group, Inc. | | Morgan Stanley | | (24,530) | | (1,503,365) | | (1,421,759) | | 79,741 |
| Coeur Mining, Inc. | | Morgan Stanley | | (404,975) | | (2,236,498) | | (1,802,139) | | 431,585 |
| Commercial Metals Co. | | Morgan Stanley | | (6,413) | | (232,781) | | (266,909) | | (44,442) |
| Compass Minerals International, Inc. | | Morgan Stanley | | (3,100) | | (183,327) | | (194,649) | | (11,792) |
| Ecolab, Inc. | | Morgan Stanley | | (659) | | (118,605) | | (116,353) | | 1,877 |
| Element Solutions, Inc. | | Morgan Stanley | | (24,277) | | (606,176) | | (531,666) | | 72,286 |
| Equinox Gold Corp. (Canada) | | Morgan Stanley | | (158,812) | | (1,515,939) | | (1,313,375) | | 199,568 |
| First Majestic Silver Corp. | | Morgan Stanley | | (71,174) | | (909,998) | | (936,650) | | (31,012) |
| Fortuna Silver Mines, Inc. (Canada) | | Morgan Stanley | | (256,938) | | (930,391) | | (978,934) | | (49,697) |
| GCP Applied Technologies, Inc. | | Morgan Stanley | | (14,935) | | (476,627) | | (469,258) | | 6,962 |
| Graphic Packaging Holding Co. | | Morgan Stanley | | (63,495) | | (1,281,715) | | (1,272,440) | | 140 |
| HB Fuller Co. | | Morgan Stanley | | (7,221) | | (494,979) | | (477,091) | | 16,297 |
| Hudbay Minerals, Inc. (Canada) | | Morgan Stanley | | (23,663) | | (167,840) | | (185,755) | | (20,387) |
| IAMGOLD Corp. (Canada) | | Morgan Stanley | | (295,302) | | (898,209) | | (1,027,651) | | (130,556) |
| International Flavors & Fragrances, Inc. | | Morgan Stanley | | (2,671) | | (396,198) | | (350,782) | | 37,503 |
| Kaiser Aluminum Corp. | | Morgan Stanley | | (3,471) | | (340,331) | | (326,829) | | 11,897 |
| Martin Marietta Materials, Inc. | | Morgan Stanley | | (3,688) | | (1,411,356) | | (1,419,474) | | (10,991) |
| MP Materials Corp. | | Morgan Stanley | | (2,680) | | (151,818) | | (153,671) | | (2,042) |
| NewMarket Corp. | | Morgan Stanley | | (2,550) | | (854,581) | | (827,169) | | 19,076 |
| Novagold Resources, Inc. (Canada) | | Morgan Stanley | | (15,689) | | (175,616) | | (121,276) | | 56,470 |
| Pactiv Evergreen, Inc. | | Morgan Stanley | | (1,630) | | (15,620) | | (16,398) | | (815) |
| PureCycle Technologies, Inc. | | Morgan Stanley | | (375) | | (3,025) | | (3,000) | | (977) |
| Quaker Chemical Corp. | | Morgan Stanley | | (2,759) | | (681,024) | | (476,783) | | 200,834 |
| Ranpak Holdings Corp. | | Morgan Stanley | | (9,844) | | (214,787) | | (201,113) | | 13,408 |
| RPM International, Inc. | | Morgan Stanley | | (12,217) | | (1,081,486) | | (994,952) | | 78,467 |
| Schnitzer Steel Industries, Inc., Class A | | Morgan Stanley | | (9,919) | | (463,739) | | (515,193) | | (52,029) |
| Schweitzer-Mauduit International, Inc. | | Morgan Stanley | | (8,096) | | (260,587) | | (222,640) | | 33,167 |
| Scotts Miracle-Gro Co. (The) | | Morgan Stanley | | (18,748) | | (2,651,800) | | (2,305,254) | | 329,876 |
| Seabridge Gold, Inc. (Canada) | | Morgan Stanley | | (14,259) | | (269,682) | | (263,792) | | 5,430 |
| SilverCrest Metals, Inc. (Canada) | | Morgan Stanley | | (1,733) | | (16,122) | | (15,441) | | 661 |
| Sonoco Products Co. | | Morgan Stanley | | (8,425) | | (493,259) | | (527,068) | | (36,592) |
| Stepan Co. | | Morgan Stanley | | (4,412) | | (528,588) | | (435,950) | | 88,228 |
| Trinseo PLC (Ireland) | | Morgan Stanley | | (17,539) | | (984,701) | | (840,469) | | 141,391 |
| Vulcan Materials Co. | | Morgan Stanley | | (5,689) | | (1,154,178) | | (1,045,069) | | 105,737 |
| West Fraser Timber Co. Ltd. (Canada) | | Morgan Stanley | | (2,830) | | (274,181) | | (233,277) | | 40,030 |
| Wheaton Precious Metals Corp. (Brazil) | | Morgan Stanley | | (2,093) | | (101,258) | | (99,585) | | 1,547 |
| Worthington Industries, Inc. | | Morgan Stanley | | (11,996) | | (662,292) | | (616,714) | | 41,902 |
| | | | | (1,898,586) | | (30,906,190) | | (28,844,334) | | 1,930,923 |
| Media & Entertainment | | | | | | | | |
| Advantage Solutions, Inc. | | Morgan Stanley | | (180) | | (1,157) | | (1,148) | | 8 |
| Angi, Inc. | | Morgan Stanley | | (142,179) | | (1,663,758) | | (806,155) | | 855,539 |
| Cable One, Inc. | | Morgan Stanley | | (905) | | (1,762,938) | | (1,325,137) | | 430,880 |
| Cardlytics, Inc. | | Morgan Stanley | | (2,049) | | (137,849) | | (112,654) | | 23,690 |
| Cargurus, Inc. | | Morgan Stanley | | (30,824) | | (1,218,776) | | (1,308,787) | | (91,523) |
| DISH Network Corp., Class A | | Morgan Stanley | | (15,471) | | (478,349) | | (489,657) | | (14,068) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Media & Entertainment — (continued) | | | | | | | | |
| fuboTV, Inc. | | Morgan Stanley | | (86,995) | | $ (1,238,320) | | $ (571,557) | | $ 663,502 |
| Gray Television, Inc. | | Morgan Stanley | | (19,251) | | (430,420) | | (424,870) | | 5,174 |
| IAC/InterActiveCorp. | | Morgan Stanley | | (13,471) | | (1,425,121) | | (1,350,872) | | 72,482 |
| Lions Gate Entertainment Corp., Class B (Canada) | | Morgan Stanley | | (41,791) | | (567,663) | | (628,119) | | (61,160) |
| Madison Square Garden Entertainment Corp. | | Morgan Stanley | | (3,965) | | (396,905) | | (330,324) | | 66,190 |
| Madison Square Garden Sports Corp. | | Morgan Stanley | | (1,138) | | (196,536) | | (204,112) | | (8,293) |
| Magnite, Inc. | | Morgan Stanley | | (69,383) | | (1,306,420) | | (916,549) | | 389,496 |
| Paramount Global, Class B | | Morgan Stanley | | (30,703) | | (1,154,551) | | (1,160,880) | | (7,762) |
| ROBLOX Corp., Class A | | Morgan Stanley | | (7,276) | | (330,112) | | (336,442) | | (28,283) |
| Roku, Inc. | | Morgan Stanley | | (11,963) | | (1,597,015) | | (1,498,605) | | 96,429 |
| Sinclair Broadcast Group, Inc., Class A | | Morgan Stanley | | (9,969) | | (270,971) | | (279,331) | | (9,562) |
| Skillz, Inc. | | Morgan Stanley | | (111,636) | | (293,864) | | (334,908) | | (41,409) |
| Snap, Inc., Class A | | Morgan Stanley | | (11,041) | | (624,202) | | (397,366) | | 226,063 |
| TechTarget, Inc. | | Morgan Stanley | | (5,043) | | (386,508) | | (409,895) | | (23,867) |
| TEGNA, Inc. | | Morgan Stanley | | (5,798) | | (129,682) | | (129,875) | | (354) |
| Warner Music Group Corp., Class A | | Morgan Stanley | | (7,539) | | (310,203) | | (285,351) | | 23,756 |
| World Wrestling Entertainment, Inc., Class A | | Morgan Stanley | | (2,706) | | (159,205) | | (168,963) | | (10,237) |
| ZoomInfo Technologies, Inc. | | Morgan Stanley | | (34,104) | | (1,794,226) | | (2,037,373) | | (260,316) |
| | | | | (665,380) | | (17,874,751) | | (15,508,930) | | 2,296,375 |
| Pharmaceuticals, Biotechnology & Life Sciences | | | | | | | | |
| 10X Genomics, Inc., Class A | | Morgan Stanley | | (19,194) | | (1,687,531) | | (1,460,088) | | 221,226 |
| AbCellera Biologics, Inc. (Canada) | | Morgan Stanley | | (16,218) | | (152,440) | | (158,126) | | (5,874) |
| Adaptive Biotechnologies Corp. | | Morgan Stanley | | (35,436) | | (1,108,821) | | (491,852) | | 615,064 |
| Amneal Pharmaceuticals, Inc. | | Morgan Stanley | | (5,462) | | (22,300) | | (22,777) | | (504) |
| Apellis Pharmaceuticals, Inc. | | Morgan Stanley | | (1,856) | | (120,720) | | (94,303) | | 26,267 |
| Arrowhead Pharmaceuticals, Inc. | | Morgan Stanley | | (2,000) | | (98,778) | | (91,980) | | 5,903 |
| Arvinas, Inc. | | Morgan Stanley | | (9,727) | | (795,156) | | (654,627) | | 139,166 |
| Aurinia Pharmaceuticals, Inc. | | Morgan Stanley | | (46,494) | | (522,908) | | (575,596) | | (53,336) |
| Avid Bioservices, Inc. | | Morgan Stanley | | (11,011) | | (301,753) | | (224,294) | | 76,756 |
| Axsome Therapeutics, Inc. | | Morgan Stanley | | (14,137) | | (611,146) | | (585,130) | | 14,996 |
| Bridgebio Pharma, Inc. | | Morgan Stanley | | (13,966) | | (333,526) | | (141,755) | | 190,843 |
| C4 Therapeutics, Inc. | | Morgan Stanley | | (465) | | (17,045) | | (11,281) | | 5,743 |
| CareDx, Inc. | | Morgan Stanley | | (7,040) | | (314,883) | | (260,410) | | 56,102 |
| Catalent, Inc. | | Morgan Stanley | | (12,767) | | (1,560,080) | | (1,415,860) | | 140,170 |
| Catalyst Pharmaceutical, Inc. | | Morgan Stanley | | (113) | | (958) | | (937) | | 20 |
| ChemoCentryx, Inc. | | Morgan Stanley | | (20,600) | | (507,650) | | (516,442) | | (9,422) |
| Coherus Biosciences, Inc. | | Morgan Stanley | | (7,130) | | (86,632) | | (92,048) | | (5,524) |
| Denali Therapeutics, Inc. | | Morgan Stanley | | (1,694) | | (53,091) | | (54,496) | | (1,790) |
| Eli Lilly & Co. | | Morgan Stanley | | (2,726) | | (790,167) | | (780,645) | | (1,225) |
| Emergent BioSolutions, Inc. | | Morgan Stanley | | (10,542) | | (504,785) | | (432,855) | | 74,551 |
| Exact Sciences Corp. | | Morgan Stanley | | (6,019) | | (420,867) | | (420,848) | | (6,504) |
| FibroGen, Inc. | | Morgan Stanley | | (6,159) | | (78,887) | | (74,031) | | 4,759 |
| Invitae Corp. | | Morgan Stanley | | (36,883) | | (387,454) | | (293,958) | | 91,508 |
| Jazz Pharmaceuticals PLC | | Morgan Stanley | | (4,518) | | (686,915) | | (703,317) | | (23,000) |
| Ligand Pharmaceuticals, Inc. | | Morgan Stanley | | (268) | | (30,483) | | (30,147) | | 298 |
| MannKind Corp. | | Morgan Stanley | | (10,308) | | (37,136) | | (37,933) | | (843) |
| Mirati Therapeutics, Inc. | | Morgan Stanley | | (33) | | (2,753) | | (2,713) | | 37 |
| NanoString Technologies, Inc. | | Morgan Stanley | | (24,697) | | (993,211) | | (858,221) | | 133,004 |
| Nektar Therapeutics | | Morgan Stanley | | (21,491) | | (268,652) | | (115,836) | | 152,482 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Pharmaceuticals, Biotechnology & Life Sciences — (continued) | | | | | | | | |
| NeoGenomics, Inc. | | Morgan Stanley | | (43,837) | | $ (1,334,663) | | $ (532,620) | | $ 800,387 |
| Novavax, Inc. | | Morgan Stanley | | (3,742) | | (665,685) | | (275,598) | | 389,261 |
| OPKO Health, Inc. | | Morgan Stanley | | (21,413) | | (67,565) | | (73,661) | | (6,870) |
| Pacira BioSciences, Inc. | | Morgan Stanley | | (4,529) | | (327,256) | | (345,653) | | (18,803) |
| Perrigo Co. PLC (Ireland) | | Morgan Stanley | | (36,124) | | (1,653,354) | | (1,388,245) | | 246,011 |
| Quanterix Corp. | | Morgan Stanley | | (3,191) | | (87,022) | | (93,145) | | (6,231) |
| Revance Therapeutics, Inc. | | Morgan Stanley | | (1,871) | | (53,630) | | (36,485) | | 20,697 |
| Sana Biotechnology, Inc. | | Morgan Stanley | | (2,915) | | (43,487) | | (24,078) | | 20,443 |
| Seagen, Inc. | | Morgan Stanley | | (7,762) | | (988,820) | | (1,118,116) | | (130,523) |
| Sotera Health Co. | | Morgan Stanley | | (11,464) | | (258,965) | | (248,310) | | 10,295 |
| SpringWorks Therapeutics, Inc. | | Morgan Stanley | | (3,139) | | (176,818) | | (177,165) | | (567) |
| Travere Therapeutics, Inc. | | Morgan Stanley | | (300) | | (7,605) | | (7,731) | | (138) |
| Turning Point Therapeutics, Inc. | | Morgan Stanley | | (93) | | (2,586) | | (2,497) | | 86 |
| Twist Bioscience Corp. | | Morgan Stanley | | (2,517) | | (225,664) | | (124,289) | | 101,095 |
| Xenon Pharmaceuticals, Inc. (Canada) | | Morgan Stanley | | (8,995) | | (260,443) | | (274,977) | | (15,510) |
| | | | | (500,846) | | (18,650,291) | | (15,325,076) | | 3,250,506 |
| Retailing | | | | | | | | |
| 1-800-Flowers.com, Inc., Class A | | Morgan Stanley | | (10,995) | | (348,628) | | (140,296) | | 207,899 |
| Abercrombie & Fitch Co., Class A | | Morgan Stanley | | (3,148) | | (103,668) | | (100,705) | | 2,835 |
| American Eagle Outfitters, Inc. | | Morgan Stanley | | (34,332) | | (616,567) | | (576,778) | | 36,806 |
| Asbury Automotive Group, Inc. | | Morgan Stanley | | (3,992) | | (725,851) | | (639,518) | | 85,432 |
| Bed Bath & Beyond, Inc. | | Morgan Stanley | | (35,381) | | (566,320) | | (797,134) | | (243,630) |
| Big Lots, Inc. | | Morgan Stanley | | (5,716) | | (215,018) | | (197,774) | | 16,784 |
| Boot Barn Holdings, Inc. | | Morgan Stanley | | (1,519) | | (151,511) | | (143,986) | | 7,337 |
| CarMax, Inc. | | Morgan Stanley | | (36,511) | | (4,779,339) | | (3,522,581) | | 1,254,229 |
| Carvana Co. | | Morgan Stanley | | (4,518) | | (929,990) | | (538,952) | | 393,201 |
| Chewy, Inc., Class A | | Morgan Stanley | | (32,835) | | (1,881,507) | | (1,339,011) | | 540,161 |
| Designer Brands, Inc., Class A | | Morgan Stanley | | (3,050) | | (52,574) | | (41,206) | | 14,313 |
| Dollar Tree, Inc. | | Morgan Stanley | | (12,630) | | (1,906,593) | | (2,022,694) | | (118,467) |
| Five Below, Inc. | | Morgan Stanley | | (5,316) | | (1,021,617) | | (841,895) | | 178,455 |
| Floor & Decor Holdings, Inc., Class A | | Morgan Stanley | | (18,266) | | (1,960,602) | | (1,479,546) | | 478,624 |
| Foot Locker, Inc. | | Morgan Stanley | | (23,696) | | (801,793) | | (702,823) | | 97,285 |
| Franchise Group, Inc. | | Morgan Stanley | | (6,274) | | (249,454) | | (259,932) | | (17,007) |
| Group 1 Automotive, Inc. | | Morgan Stanley | | (1,765) | | (326,711) | | (296,220) | | 29,558 |
| Kohl's Corp. | | Morgan Stanley | | (4,505) | | (272,157) | | (272,372) | | (4,281) |
| Leslie's, Inc. | | Morgan Stanley | | (29,008) | | (834,360) | | (561,595) | | 276,617 |
| Monro, Inc. | | Morgan Stanley | | (1,042) | | (64,502) | | (46,202) | | 18,751 |
| Murphy U.S.A., Inc. | | Morgan Stanley | | (1,940) | | (316,946) | | (387,922) | | (76,085) |
| National Vision Holdings, Inc. | | Morgan Stanley | | (16,646) | | (690,849) | | (725,266) | | (35,274) |
| Nordstrom, Inc. | | Morgan Stanley | | (11) | | (419) | | (298) | | 119 |
| Ollie's Bargain Outlet Holdings, Inc. | | Morgan Stanley | | (13,337) | | (650,658) | | (572,958) | | 76,893 |
| Petco Health & Wellness Co., Inc. | | Morgan Stanley | | (86,362) | | (1,685,229) | | (1,690,104) | | (6,966) |
| Pool Corp. | | Morgan Stanley | | (1,151) | | (521,177) | | (486,700) | | 30,487 |
| Poshmark, Inc., Class A | | Morgan Stanley | | (31,672) | | (570,777) | | (400,968) | | 168,004 |
| Qurate Retail, Inc. | | Morgan Stanley | | (173,653) | | (1,394,676) | | (826,588) | | 562,404 |
| Rent-A-Center, Inc. | | Morgan Stanley | | (388) | | (10,012) | | (9,774) | | 226 |
| Sleep Number Corp. | | Morgan Stanley | | (3,636) | | (229,332) | | (184,382) | | 46,232 |
| Stitch Fix, Inc., Class A | | Morgan Stanley | | (33,803) | | (376,074) | | (340,396) | | 35,212 |
| Tractor Supply Co. | | Morgan Stanley | | (8,229) | | (1,844,896) | | (1,920,402) | | (87,130) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Retailing — (continued) | | | | | | | | |
| Urban Outfitters, Inc. | | Morgan Stanley | | (11,064) | | $ (361,744) | | $ (277,817) | | $ 93,221 |
| Wayfair, Inc., Class A | | Morgan Stanley | | (4,677) | | (624,500) | | (518,118) | | 102,438 |
| | | | | (661,068) | | (27,086,051) | | (22,862,913) | | 4,164,683 |
| Semiconductors & Semiconductor Equipment | | | | | | | | |
| ACM Research, Inc., Class A | | Morgan Stanley | | (36,300) | | (1,038,607) | | (751,047) | | 285,818 |
| Ambarella, Inc. | | Morgan Stanley | | (6,465) | | (583,920) | | (678,308) | | (106,185) |
| Azenta, Inc. | | Morgan Stanley | | (14,583) | | (1,632,512) | | (1,208,639) | | 420,501 |
| Cirrus Logic, Inc. | | Morgan Stanley | | (24,540) | | (2,103,433) | | (2,080,747) | | 20,077 |
| Enphase Energy, Inc. | | Morgan Stanley | | (4,483) | | (707,922) | | (904,580) | | (227,787) |
| Entegris, Inc. | | Morgan Stanley | | (4,207) | | (553,080) | | (552,211) | | (2,383) |
| First Solar, Inc. | | Morgan Stanley | | (6,449) | | (516,228) | | (540,039) | | (24,452) |
| FormFactor, Inc. | | Morgan Stanley | | (18,965) | | (744,317) | | (797,099) | | (54,988) |
| Ichor Holdings Ltd. | | Morgan Stanley | | (1,149) | | (41,623) | | (40,927) | | 644 |
| Impinj, Inc. | | Morgan Stanley | | (3,118) | | (184,716) | | (198,118) | | (14,321) |
| MaxLinear, Inc. | | Morgan Stanley | | (1,939) | | (117,135) | | (113,141) | | 3,849 |
| SMART Global Holdings, Inc. (Cayman Islands) | | Morgan Stanley | | (43,692) | | (1,178,278) | | (1,128,564) | | 48,252 |
| Texas Instruments, Inc. | | Morgan Stanley | | (1,160) | | (215,940) | | (212,837) | | 3,553 |
| Wolfspeed, Inc. | | Morgan Stanley | | (11,044) | | (1,049,981) | | (1,257,470) | | (272,474) |
| | | | | (178,094) | | (10,667,692) | | (10,463,727) | | 80,104 |
| Software & Services | | | | | | | | |
| 8x8, Inc. | | Morgan Stanley | | (20,096) | | (422,495) | | (253,009) | | 169,489 |
| Alteryx, Inc., Class A | | Morgan Stanley | | (12,586) | | (1,521,237) | | (900,277) | | 682,534 |
| Amdocs Ltd. | | Morgan Stanley | | (12,415) | | (961,628) | | (1,020,637) | | (67,781) |
| Appfolio, Inc., Class A | | Morgan Stanley | | (5,798) | | (782,737) | | (656,392) | | 125,374 |
| AppLovin Corp., Class A | | Morgan Stanley | | (7,411) | | (407,303) | | (408,124) | | (1,326) |
| Asana, Inc., Class A | | Morgan Stanley | | (19,023) | | (1,266,586) | | (760,349) | | 504,665 |
| Aspen Technology, Inc. | | Morgan Stanley | | (5,891) | | (879,032) | | (974,195) | | (96,253) |
| Avalara, Inc. | | Morgan Stanley | | (10,381) | | (1,493,566) | | (1,033,013) | | 466,651 |
| Avaya Holdings Corp. | | Morgan Stanley | | (68,025) | | (1,055,245) | | (861,877) | | 192,059 |
| BigCommerce Holdings, Inc. | | Morgan Stanley | | (16,458) | | (342,106) | | (360,595) | | (18,913) |
| Blackbaud, Inc. | | Morgan Stanley | | (7,346) | | (446,318) | | (439,805) | | 5,934 |
| Blackline, Inc. | | Morgan Stanley | | (4,016) | | (294,918) | | (294,052) | | 280 |
| Bottomline Technologies DE, Inc. | | Morgan Stanley | | (8,198) | | (343,941) | | (464,663) | | (136,482) |
| Ceridian HCM Holding, Inc. | | Morgan Stanley | | (1,014) | | (101,721) | | (69,317) | | 32,278 |
| Citrix Systems, Inc. | | Morgan Stanley | | (12,118) | | (1,421,453) | | (1,222,706) | | 184,920 |
| Clearwater Analytics Holdings, Inc., Class A | | Morgan Stanley | | (1,775) | | (37,185) | | (37,275) | | (136) |
| CommVault Systems, Inc. | | Morgan Stanley | | (2,190) | | (151,717) | | (145,307) | | 6,504 |
| Confluent, Inc., Class A | | Morgan Stanley | | (25,212) | | (941,614) | | (1,033,692) | | (111,281) |
| Coupa Software, Inc. | | Morgan Stanley | | (15,248) | | (2,540,408) | | (1,549,654) | | 983,119 |
| Datto Holding Corp. | | Morgan Stanley | | (1,131) | | (29,785) | | (30,220) | | (472) |
| Digital Turbine, Inc. | | Morgan Stanley | | (5,051) | | (380,062) | | (221,284) | | 158,307 |
| Domo, Inc., Class B | | Morgan Stanley | | (8,233) | | (379,227) | | (416,343) | | (39,756) |
| Duck Creek Technologies, Inc. | | Morgan Stanley | | (6,890) | | (181,830) | | (152,407) | | 29,197 |
| Envestnet, Inc. | | Morgan Stanley | | (4,358) | | (320,707) | | (324,410) | | (4,461) |
| Everbridge, Inc. | | Morgan Stanley | | (20,339) | | (1,235,688) | | (887,594) | | 341,084 |
| Evo Payments, Inc., Class A | | Morgan Stanley | | (1,972) | | (58,476) | | (45,533) | | 14,066 |
| Expensify, Inc. | | Morgan Stanley | | (150) | | (2,463) | | (2,634) | | (174) |
| Fastly, Inc., Class A | | Morgan Stanley | | (41,646) | | (1,505,962) | | (723,807) | | 780,257 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Software & Services — (continued) | | | | | | | | |
| Five9, Inc. | | Morgan Stanley | | (5,153) | | $ (528,912) | | $ (568,891) | | $ (53,922) |
| Guidewire Software, Inc. | | Morgan Stanley | | (8,894) | | (1,022,826) | | (841,550) | | 183,971 |
| Hive Blockchain Technologies Ltd. (Canada) | | Morgan Stanley | | (101,748) | | (338,602) | | (216,723) | | 121,165 |
| Jack Henry & Associates, Inc. | | Morgan Stanley | | (274) | | (54,423) | | (53,992) | | 364 |
| Jamf Holding Corp. | | Morgan Stanley | | (27,891) | | (933,175) | | (970,886) | | (41,506) |
| JFrog Ltd. (Israel) | | Morgan Stanley | | (15,432) | | (499,126) | | (415,892) | | 82,541 |
| Lightspeed Commerce, Inc. (Canada) | | Morgan Stanley | | (33,792) | | (1,587,229) | | (1,029,642) | | 547,450 |
| LivePerson, Inc. | | Morgan Stanley | | (23,835) | | (747,979) | | (582,051) | | 165,001 |
| LiveRamp Holdings, Inc. | | Morgan Stanley | | (16,469) | | (703,936) | | (615,776) | | 87,287 |
| Mandiant, Inc. | | Morgan Stanley | | (7,307) | | (136,280) | | (163,019) | | (40,973) |
| Model N, Inc. | | Morgan Stanley | | (10,397) | | (335,553) | | (279,679) | | 55,362 |
| nCino, Inc. | | Morgan Stanley | | (15,617) | | (829,813) | | (639,985) | | 187,914 |
| New Relic, Inc. | | Morgan Stanley | | (5,855) | | (370,990) | | (391,582) | | (21,053) |
| Okta, Inc. | | Morgan Stanley | | (15,596) | | (2,493,114) | | (2,354,372) | | 135,649 |
| Paymentus Holdings, Inc., Class A | | Morgan Stanley | | (2,717) | | (55,875) | | (57,274) | | (1,469) |
| Perficient, Inc. | | Morgan Stanley | | (1,713) | | (218,148) | | (188,584) | | 29,293 |
| Ping Identity Holding Corp. | | Morgan Stanley | | (18,134) | | (619,516) | | (497,416) | | 129,428 |
| PROS Holdings, Inc. | | Morgan Stanley | | (9,807) | | (413,122) | | (326,671) | | 88,258 |
| Q2 Holdings, Inc. | | Morgan Stanley | | (5,079) | | (608,822) | | (313,120) | | 301,531 |
| Qualtrics International, Inc., Class A | | Morgan Stanley | | (6,254) | | (178,975) | | (178,552) | | 22 |
| Qualys, Inc. | | Morgan Stanley | | (535) | | (75,661) | | (76,189) | | (622) |
| Rackspace Technology, Inc. | | Morgan Stanley | | (30,422) | | (739,155) | | (339,510) | | 407,292 |
| RingCentral, Inc., Class A | | Morgan Stanley | | (17,639) | | (2,601,681) | | (2,067,467) | | 530,986 |
| Riot Blockchain, Inc. | | Morgan Stanley | | (32,902) | | (777,356) | | (696,535) | | 50,423 |
| Sabre Corp. | | Morgan Stanley | | (25,174) | | (350,486) | | (287,739) | | 62,312 |
| SecureWorks Corp., Class A | | Morgan Stanley | | (74) | | (986) | | (981) | | 5 |
| Shift4 Payments, Inc., Class A | | Morgan Stanley | | (11,602) | | (821,612) | | (718,512) | | 101,452 |
| Smartsheet, Inc., Class A | | Morgan Stanley | | (10,680) | | (601,596) | | (585,050) | | 15,799 |
| SolarWinds Corp. | | Morgan Stanley | | (23,221) | | (466,589) | | (309,072) | | 123,799 |
| Sumo Logic, Inc. | | Morgan Stanley | | (25,255) | | (407,832) | | (294,726) | | 112,344 |
| Switch, Inc., Class A | | Morgan Stanley | | (32,186) | | (820,041) | | (991,973) | | (193,945) |
| Toast, Inc., Class A | | Morgan Stanley | | (19,759) | | (366,146) | | (429,363) | | (80,196) |
| Tucows, Inc., Class A | | Morgan Stanley | | (2,888) | | (182,551) | | (197,250) | | (14,988) |
| Twilio, Inc., Class A | | Morgan Stanley | | (9,595) | | (2,825,976) | | (1,581,352) | | 1,241,118 |
| Tyler Technologies, Inc. | | Morgan Stanley | | (802) | | (387,711) | | (356,802) | | 30,711 |
| Verra Mobility Corp. | | Morgan Stanley | | (21,500) | | (314,413) | | (350,020) | | (38,285) |
| VMware, Inc., Class A | | Morgan Stanley | | (11,925) | | (1,394,363) | | (1,357,900) | | 26,218 |
| Vonage Holdings Corp. | | Morgan Stanley | | (17,853) | | (359,352) | | (362,237) | | (4,104) |
| WEX, Inc. | | Morgan Stanley | | (10,110) | | (2,018,930) | | (1,804,129) | | 212,295 |
| Xperi Holding Corp. | | Morgan Stanley | | (9,189) | | (155,244) | | (159,153) | | (4,323) |
| | | | | (990,246) | | (47,849,507) | | (38,940,788) | | 8,734,287 |
| Technology Hardware & Equipment | | | | | | | | |
| Advanced Energy Industries, Inc. | | Morgan Stanley | | (7,352) | | (656,924) | | (632,860) | | 22,357 |
| Avid Technology, Inc. | | Morgan Stanley | | (83) | | (2,928) | | (2,894) | | 324 |
| Avnet, Inc. | | Morgan Stanley | | (23,411) | | (954,788) | | (950,252) | | (11,615) |
| Benchmark Electronics, Inc. | | Morgan Stanley | | (974) | | (25,252) | | (24,389) | | 694 |
| Calix, Inc. | | Morgan Stanley | | (7,665) | | (476,055) | | (328,905) | | 146,559 |
| Cognex Corp. | | Morgan Stanley | | (2,088) | | (160,784) | | (161,089) | | (490) |
| CommScope Holding Co., Inc. | | Morgan Stanley | | (159,992) | | (1,879,234) | | (1,260,737) | | 625,463 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Technology Hardware & Equipment — (continued) | | | | | | | | |
| Corsair Gaming, Inc. | | Morgan Stanley | | (16,786) | | $ (397,922) | | $ (355,192) | | $ 42,236 |
| Dolby Laboratories, Inc., Class A | | Morgan Stanley | | (6,383) | | (488,527) | | (499,278) | | (11,358) |
| Fabrinet (Cayman Islands) | | Morgan Stanley | | (2,721) | | (255,039) | | (286,059) | | (31,336) |
| Harmonic, Inc. | | Morgan Stanley | | (5,098) | | (47,622) | | (47,360) | | 202 |
| Insight Enterprises, Inc. | | Morgan Stanley | | (3,191) | | (310,330) | | (342,458) | | (36,500) |
| IPG Photonics Corp. | | Morgan Stanley | | (277) | | (64,701) | | (30,404) | | 34,217 |
| Littelfuse, Inc. | | Morgan Stanley | | (3,322) | | (846,913) | | (828,540) | | 16,440 |
| Methode Electronics, Inc. | | Morgan Stanley | | (2,762) | | (117,694) | | (119,457) | | (1,908) |
| National Instruments Corp. | | Morgan Stanley | | (24,197) | | (1,008,997) | | (982,156) | | 14,209 |
| nLight, Inc. | | Morgan Stanley | | (3,001) | | (83,480) | | (52,037) | | 31,339 |
| OSI Systems, Inc. | | Morgan Stanley | | (6,155) | | (534,893) | | (523,914) | | 10,315 |
| PAR Technology Corp. | | Morgan Stanley | | (3,395) | | (130,114) | | (136,954) | | (7,014) |
| Plantronics, Inc. | | Morgan Stanley | | (6,116) | | (168,690) | | (240,970) | | (72,490) |
| Plexus Corp. | | Morgan Stanley | | (7,279) | | (623,759) | | (595,495) | | 27,490 |
| Rogers Corp. | | Morgan Stanley | | (2,025) | | (552,422) | | (550,193) | | 1,532 |
| ScanSource, Inc. | | Morgan Stanley | | (645) | | (22,376) | | (22,440) | | (91) |
| Super Micro Computer, Inc. | | Morgan Stanley | | (14,188) | | (537,895) | | (540,137) | | (2,909) |
| TD SYNNEX Corp. | | Morgan Stanley | | (4,270) | | (455,817) | | (440,707) | | 14,623 |
| Teledyne Technologies, Inc. | | Morgan Stanley | | (1,280) | | (587,770) | | (604,966) | | (18,276) |
| TTM Technologies, Inc. | | Morgan Stanley | | (5,389) | | (79,050) | | (79,865) | | (913) |
| Ubiquiti, Inc. | | Morgan Stanley | | (2,011) | | (551,196) | | (585,523) | | (35,010) |
| Viasat, Inc. | | Morgan Stanley | | (28,698) | | (1,319,757) | | (1,400,462) | | (82,343) |
| Viavi Solutions, Inc. | | Morgan Stanley | | (9,954) | | (169,989) | | (160,060) | | 10,025 |
| | | | | (360,708) | | (13,510,918) | | (12,785,753) | | 685,772 |
| Telecommunication Services | | | | | | | | |
| Bandwidth, Inc., Class A | | Morgan Stanley | | (8,542) | | (748,652) | | (276,675) | | 471,048 |
| Frontier Communications Parent, Inc. | | Morgan Stanley | | (5,988) | | (157,191) | | (165,688) | | (8,692) |
| Globalstar, Inc. | | Morgan Stanley | | (521,583) | | (795,161) | | (766,727) | | 24,212 |
| Radius Global Infrastructure, Inc., Class A | | Morgan Stanley | | (8,100) | | (114,639) | | (115,668) | | (1,171) |
| Rogers Communications, Inc., Class B (Canada) | | Morgan Stanley | | (2,605) | | (133,907) | | (147,834) | | (15,643) |
| Shenandoah Telecommunications Co. | | Morgan Stanley | | (7,605) | | (258,724) | | (179,326) | | 19,244 |
| United States Cellular Corp. | | Morgan Stanley | | (4,543) | | (150,979) | | (137,335) | | 13,457 |
| | | | | (558,966) | | (2,359,253) | | (1,789,253) | | 502,455 |
| Transportation | | | | | | | | |
| Air Transport Services Group, Inc. | | Morgan Stanley | | (19,653) | | (478,380) | | (657,393) | | (183,096) |
| Canadian Pacific Railway Ltd. (Canada) | | Morgan Stanley | | (11,757) | | (920,929) | | (970,423) | | (52,247) |
| CH Robinson Worldwide, Inc. | | Morgan Stanley | | (39,210) | | (3,835,065) | | (4,223,309) | | (428,940) |
| Genco Shipping & Trading Ltd. | | Morgan Stanley | | (710) | | (16,660) | | (16,770) | | (130) |
| Hawaiian Holdings, Inc. | | Morgan Stanley | | (4,135) | | (103,176) | | (81,460) | | 21,589 |
| JB Hunt Transport Services, Inc. | | Morgan Stanley | | (5,587) | | (1,119,716) | | (1,121,814) | | (8,803) |
| Kirby Corp. | | Morgan Stanley | | (2,347) | | (148,526) | | (169,430) | | (29,762) |
| Schneider National, Inc., Class B | | Morgan Stanley | | (5,994) | | (155,497) | | (152,847) | | 1,947 |
| SkyWest, Inc. | | Morgan Stanley | | (6,379) | | (173,775) | | (184,034) | | (10,474) |
| TFI International, Inc. (Canada) | | Morgan Stanley | | (3,223) | | (359,559) | | (343,282) | | 13,381 |
| Werner Enterprises, Inc. | | Morgan Stanley | | (33,525) | | (1,556,926) | | (1,374,525) | | 177,470 |
| | | | | (132,520) | | (8,868,209) | | (9,295,287) | | (499,065) |
| Utilities | | | | | | | | |
| Algonquin Power & Utilities Corp. (Canada) | | Morgan Stanley | | (68,176) | | (1,064,734) | | (1,058,092) | | (35,300) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Concluded)
March 31, 2022
(Unaudited)
Total Return Swaps (concluded)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Utilities — (continued) | | | | | | | | |
| ALLETE, Inc. | | Morgan Stanley | | (6,123) | | $ (365,154) | | $ (410,119) | | $ (73,596) |
| Ameren Corp. | | Morgan Stanley | | (3,596) | | (302,227) | | (337,161) | | (45,160) |
| Avangrid, Inc. | | Morgan Stanley | | (10,246) | | (514,316) | | (478,898) | | 16,565 |
| Avista Corp. | | Morgan Stanley | | (18,627) | | (775,591) | | (841,009) | | (75,248) |
| Black Hills Corp. | | Morgan Stanley | | (13,294) | | (904,269) | | (1,023,904) | | (142,943) |
| Clearway Energy, Inc., Class A | | Morgan Stanley | | (11,189) | | (285,386) | | (372,817) | | (107,169) |
| Dominion Energy, Inc. | | Morgan Stanley | | (5,692) | | (472,186) | | (483,649) | | (9,493) |
| Duke Energy Corp. | | Morgan Stanley | | (4,237) | | (437,350) | | (473,103) | | (54,671) |
| Entergy Corp. | | Morgan Stanley | | (6,827) | | (751,639) | | (797,052) | | (69,671) |
| Essential Utilities, Inc. | | Morgan Stanley | | (5,379) | | (254,820) | | (275,028) | | (20,524) |
| Evergy, Inc. | | Morgan Stanley | | (16,103) | | (1,050,317) | | (1,100,479) | | (59,481) |
| Eversource Energy | | Morgan Stanley | | (11,690) | | (1,035,211) | | (1,030,941) | | (13,518) |
| Fortis, Inc. (Canada) | | Morgan Stanley | | (10,131) | | (462,186) | | (501,485) | | (44,915) |
| MGE Energy, Inc. | | Morgan Stanley | | (185) | | (14,754) | | (14,761) | | (26) |
| New Jersey Resources Corp. | | Morgan Stanley | | (6,510) | | (256,542) | | (298,549) | | (45,972) |
| Northwest Natural Holding Co. | | Morgan Stanley | | (9,382) | | (476,482) | | (485,237) | | (28,390) |
| NorthWestern Corp. | | Morgan Stanley | | (6,534) | | (411,997) | | (395,242) | | (1,827) |
| OGE Energy Corp. | | Morgan Stanley | | (12,500) | | (471,569) | | (509,750) | | (42,814) |
| ONE Gas, Inc. | | Morgan Stanley | | (5,365) | | (408,967) | | (473,408) | | (67,581) |
| Ormat Technologies, Inc. | | Morgan Stanley | | (3,528) | | (303,334) | | (288,696) | | 9,632 |
| Pinnacle West Capital Corp. | | Morgan Stanley | | (22,042) | | (1,735,516) | | (1,721,480) | | (32,384) |
| PNM Resources, Inc. | | Morgan Stanley | | (4,977) | | (241,025) | | (237,254) | | (815) |
| Portland General Electric Co. | | Morgan Stanley | | (8,181) | | (408,293) | | (451,182) | | (56,825) |
| Public Service Enterprise Group, Inc. | | Morgan Stanley | | (2,184) | | (145,884) | | (152,880) | | (8,356) |
| SJW Group | | Morgan Stanley | | (4,778) | | (321,572) | | (332,453) | | (20,052) |
| South Jersey Industries, Inc. | | Morgan Stanley | | (28,621) | | (753,372) | | (988,856) | | (285,561) |
| Southwest Gas Holdings, Inc. | | Morgan Stanley | | (12,358) | | (851,331) | | (967,508) | | (146,638) |
| Spire, Inc. | | Morgan Stanley | | (12,653) | | (869,294) | | (907,979) | | (58,982) |
| Sunnova Energy International, Inc. | | Morgan Stanley | | (9,833) | | (238,295) | | (226,749) | | 3,325 |
| Vistra Corp. | | Morgan Stanley | | (22,339) | | (422,411) | | (519,382) | | (113,376) |
| WEC Energy Group, Inc. | | Morgan Stanley | | (3,045) | | (262,975) | | (303,921) | | (51,535) |
| Xcel Energy, Inc. | | Morgan Stanley | | (5,166) | | (360,678) | | (372,830) | | (19,845) |
| | | | | (371,491) | | (17,629,677) | | (18,831,854) | | (1,703,146) |
|
|
| Total Reference Entity — Short | | | | | | (381,894,050) | | (345,896,674) | | 33,516,576 |
| Net Value of Reference Entity | | | | | | $(248,551,962) | | $(202,462,989) | | $44,889,178 |
| * | Includes $(1,199,795) related to open trades, dividends receivables/payables and swap receivables/payables activities. |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — 95.1% |
| Automobiles & Components — 1.6% |
| American Axle & Manufacturing Holdings, Inc.* | 10,548 | | $ 81,852 |
| BorgWarner, Inc. | 5,723 | | 222,625 |
| Ford Motor Co.(a) | 89,415 | | 1,512,008 |
| General Motors Co.(a)* | 37,522 | | 1,641,212 |
| Gentherm, Inc.* | 718 | | 52,443 |
| Lear Corp. | 331 | | 47,197 |
| Magna International, Inc. (Canada) | 2,743 | | 176,402 |
| Thor Industries, Inc. | 2,904 | | 228,545 |
| Visteon Corp.* | 1,905 | | 207,893 |
| | | | 4,170,177 |
| Capital Goods — 7.9% |
| 3M Co.(a) | 6,392 | | 951,641 |
| A.O. Smith Corp. | 7,740 | | 494,509 |
| AAR Corp.* | 1,551 | | 75,115 |
| AECOM | 4,093 | | 314,383 |
| Aerojet Rocketdyne Holdings, Inc.* | 4,795 | | 188,683 |
| Albany International Corp., Class A | 867 | | 73,105 |
| Apogee Enterprises, Inc. | 2,344 | | 111,246 |
| Armstrong World Industries, Inc. | 551 | | 49,596 |
| Atkore, Inc.* | 5,575 | | 548,803 |
| Barnes Group, Inc. | 737 | | 29,620 |
| Boise Cascade Co. | 5,692 | | 395,423 |
| Builders FirstSource, Inc.* | 12,680 | | 818,367 |
| Carrier Global Corp. | 4,179 | | 191,691 |
| Crane Co. | 1,482 | | 160,471 |
| CSW Industrials, Inc. | 37 | | 4,351 |
| Cummins, Inc. | 3,035 | | 622,509 |
| Curtiss-Wright Corp. | 235 | | 35,288 |
| Deere & Co. | 1,391 | | 577,905 |
| Dover Corp. | 515 | | 80,803 |
| Dycom Industries, Inc.* | 1,837 | | 174,993 |
| Eaton Corp. PLC (Ireland) | 7,552 | | 1,146,092 |
| Encore Wire Corp. | 5,189 | | 591,909 |
| Enerpac Tool Group Corp. | 80 | | 1,751 |
| Fastenal Co. | 4,919 | | 292,189 |
| Fortune Brands Home & Security, Inc. | 2,103 | | 156,211 |
| General Dynamics Corp.(a) | 5,879 | | 1,417,897 |
| General Electric Co. | 7,390 | | 676,185 |
| Graco, Inc. | 611 | | 42,599 |
| Herc Holdings, Inc. | 321 | | 53,636 |
| Hillenbrand, Inc. | 1,769 | | 78,137 |
| Honeywell International, Inc. | 1,532 | | 298,097 |
| Ingersoll Rand, Inc. | 8,030 | | 404,310 |
| ITT, Inc. | 2,833 | | 213,070 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Capital Goods — (Continued) |
| Johnson Controls International PLC (Ireland) | 4,504 | | $ 295,327 |
| Kadant, Inc. | 16 | | 3,107 |
| Kennametal, Inc. | 6,075 | | 173,806 |
| L3Harris Technologies, Inc. | 1,163 | | 288,971 |
| Lockheed Martin Corp.(a) | 3,319 | | 1,465,007 |
| Masco Corp. | 6,722 | | 342,822 |
| Mueller Industries, Inc. | 4,035 | | 218,576 |
| MYR Group, Inc.* | 505 | | 47,490 |
| Nordson Corp. | 1,403 | | 318,593 |
| NOW, Inc.* | 7,815 | | 86,199 |
| nVent Electric PLC (Ireland) | 2,594 | | 90,219 |
| Otis Worldwide Corp. | 9,526 | | 733,026 |
| Owens Corning | 631 | | 57,736 |
| Parker-Hannifin Corp. | 557 | | 158,054 |
| Pentair PLC (Ireland) | 5,448 | | 295,336 |
| Quanta Services, Inc. | 1,311 | | 172,541 |
| Raytheon Technologies Corp. | 1,727 | | 171,094 |
| Resideo Technologies, Inc.* | 6,862 | | 163,521 |
| Roper Technologies, Inc. | 295 | | 139,308 |
| Shyft Group, Inc. (The) | 1,374 | | 49,615 |
| SiteOne Landscape Supply, Inc.* | 343 | | 55,460 |
| Snap-on, Inc. | 1,799 | | 369,659 |
| Spirit AeroSystems Holdings, Inc., Class A | 16,687 | | 815,827 |
| SPX Corp.* | 976 | | 48,224 |
| SPX FLOW, Inc.* | 511 | | 44,058 |
| Standex International Corp. | 13 | | 1,299 |
| Terex Corp. | 1,614 | | 57,555 |
| Textron, Inc. | 1,261 | | 93,793 |
| Timken Co. (The) | 555 | | 33,688 |
| Trane Technologies PLC (Ireland) | 1,630 | | 248,901 |
| TransDigm Group, Inc.* | 48 | | 31,274 |
| Trex Co., Inc.* | 5,642 | | 368,592 |
| UFP Industries, Inc. | 1,837 | | 141,743 |
| Veritiv Corp.* | 971 | | 129,716 |
| Watts Water Technologies, Inc., Class A | 642 | | 89,617 |
| Westinghouse Air Brake Technologies Corp. | 3,491 | | 335,729 |
| WillScot Mobile Mini Holdings Corp.* | 1,313 | | 51,378 |
| WW Grainger, Inc. | 259 | | 133,590 |
| Xylem, Inc. | 67 | | 5,712 |
| Zurn Water Solutions Corp. | 14,059 | | 497,689 |
| | | | 20,094,437 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Commercial & Professional Services — 2.0% |
| ACV Auctions, Inc., Class A* | 776 | | $ 11,493 |
| Brink's Co. (The) | 553 | | 37,604 |
| Cintas Corp. | 1,254 | | 533,439 |
| Clean Harbors, Inc.* | 43 | | 4,801 |
| Copart, Inc.* | 4,938 | | 619,571 |
| Exponent, Inc. | 377 | | 40,735 |
| Huron Consulting Group, Inc.* | 258 | | 11,819 |
| Jacobs Engineering Group, Inc. | 4,979 | | 686,156 |
| KBR, Inc. | 1,738 | | 95,121 |
| Kelly Services, Inc., Class A | 10 | | 217 |
| Kforce, Inc. | 707 | | 52,297 |
| Korn Ferry | 4,758 | | 308,984 |
| Nielsen Holdings PLC (United Kingdom) | 19,818 | | 539,842 |
| Republic Services, Inc. | 2,653 | | 351,522 |
| Ritchie Bros Auctioneers, Inc. (Canada) | 2,290 | | 135,179 |
| Robert Half International, Inc. | 2,732 | | 311,940 |
| Tetra Tech, Inc. | 3,769 | | 621,659 |
| Thomson Reuters Corp. (Canada) | 27 | | 2,939 |
| TriNet Group, Inc.* | 1,882 | | 185,113 |
| Waste Management, Inc. | 3,083 | | 488,655 |
| | | | 5,039,086 |
| Consumer Durables & Apparel — 2.1% |
| Acushnet Holdings Corp. | 2,253 | | 90,706 |
| BRP, Inc., sub-voting shares (Canada) | 76 | | 6,216 |
| Cavco Industries, Inc.* | 260 | | 62,621 |
| Crocs, Inc.* | 2,132 | | 162,885 |
| DR Horton, Inc. | 3,559 | | 265,181 |
| GoPro, Inc., Class A* | 25,601 | | 218,377 |
| Hasbro, Inc. | 2,598 | | 212,828 |
| Levi Strauss & Co., Class A | 2,654 | | 52,443 |
| Mattel, Inc.* | 14,619 | | 324,688 |
| Mohawk Industries, Inc.* | 2,040 | | 253,368 |
| Movado Group, Inc. | 14 | | 547 |
| Newell Brands, Inc. | 6,871 | | 147,108 |
| NIKE, Inc., Class B(a) | 8,461 | | 1,138,512 |
| PVH Corp. | 1,568 | | 120,124 |
| Ralph Lauren Corp. | 1,858 | | 210,772 |
| Skyline Champion Corp.* | 9,558 | | 524,543 |
| Smith & Wesson Brands, Inc. | 6,993 | | 105,804 |
| Sonos, Inc.* | 5,179 | | 146,151 |
| Steven Madden Ltd. | 5,469 | | 211,322 |
| Sturm Ruger & Co., Inc. | 1,674 | | 116,544 |
| Tapestry, Inc. | 2,587 | | 96,107 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Consumer Durables & Apparel — (Continued) |
| Tempur Sealy International, Inc. | 4,136 | | $ 115,477 |
| Under Armour, Inc., Class C* | 13,830 | | 215,195 |
| VF Corp. | 1,299 | | 73,861 |
| Vista Outdoor, Inc.* | 6,380 | | 227,702 |
| Whirlpool Corp. | 1,747 | | 301,847 |
| | | | 5,400,929 |
| Consumer Services — 2.2% |
| Accel Entertainment, Inc.* | 163 | | 1,985 |
| Airbnb, Inc., Class A* | 819 | | 140,671 |
| Bloomin' Brands, Inc. | 5,398 | | 118,432 |
| Booking Holdings, Inc.* | 322 | | 756,201 |
| Boyd Gaming Corp. | 1,240 | | 81,567 |
| Caesars Entertainment, Inc.* | 1,798 | | 139,093 |
| Cheesecake Factory, Inc. (The)* | 5,234 | | 208,261 |
| Choice Hotels International, Inc. | 430 | | 60,957 |
| Cracker Barrel Old Country Store, Inc. | 1,529 | | 181,538 |
| Darden Restaurants, Inc. | 253 | | 33,636 |
| Dine Brands Global, Inc. | 2,973 | | 231,745 |
| Domino's Pizza, Inc. | 110 | | 44,771 |
| European Wax Center, Inc., Class A* | 70 | | 2,069 |
| Golden Entertainment, Inc.* | 953 | | 55,341 |
| Houghton Mifflin Harcourt Co.* | 11,495 | | 241,510 |
| McDonald's Corp.(a) | 3,008 | | 743,818 |
| MGM Resorts International | 3,080 | | 129,175 |
| Norwegian Cruise Line Holdings Ltd. (Bermuda)* | 2,915 | | 63,780 |
| Penn National Gaming, Inc.* | 5,312 | | 225,335 |
| Red Rock Resorts, Inc., Class A | 2,821 | | 136,988 |
| Service Corp. International | 1,279 | | 84,184 |
| Six Flags Entertainment Corp.* | 867 | | 37,715 |
| Starbucks Corp. | 6,304 | | 573,475 |
| Strategic Education, Inc. | 617 | | 40,957 |
| WW International, Inc.* | 4,727 | | 48,357 |
| Wyndham Hotels & Resorts, Inc. | 1,700 | | 143,973 |
| Wynn Resorts Ltd.* | 886 | | 70,650 |
| Yum! Brands, Inc.(a) | 7,264 | | 861,002 |
| | | | 5,457,186 |
| Diversified Financials — 3.5% |
| Affiliated Managers Group, Inc. | 1,037 | | 146,165 |
| Berkshire Hathaway, Inc., Class B(a)* | 8,522 | | 3,007,499 |
| BlackRock, Inc. | 1,261 | | 963,619 |
| Blackstone, Inc. | 430 | | 54,584 |
| Cboe Global Markets, Inc. | 697 | | 79,751 |
| CME Group, Inc. | 2,099 | | 499,268 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Diversified Financials — (Continued) |
| Donnelley Financial Solutions, Inc.* | 2,388 | | $ 79,425 |
| Franklin Resources, Inc. | 18,988 | | 530,145 |
| Intercontinental Exchange, Inc. | 1,913 | | 252,746 |
| Invesco Ltd. (Bermuda) | 8,989 | | 207,286 |
| Moody's Corp. | 1,445 | | 487,558 |
| MSCI, Inc. | 548 | | 275,578 |
| Nasdaq, Inc. | 4,345 | | 774,279 |
| Open Lending Corp., Class A* | 97 | | 1,834 |
| S&P Global, Inc. | 923 | | 378,596 |
| T Rowe Price Group, Inc.(a) | 6,633 | | 1,002,843 |
| | | | 8,741,176 |
| Energy — 6.1% |
| Antero Resources Corp.* | 313 | | 9,556 |
| APA Corp. | 13,632 | | 563,411 |
| Arch Resources, Inc. | 147 | | 20,195 |
| Baker Hughes Co. | 13,598 | | 495,103 |
| Canadian Natural Resources Ltd. (Canada) | 8,666 | | 537,119 |
| Centennial Resource Development, Inc., Class A* | 36,580 | | 295,201 |
| ChampionX Corp. | 4,859 | | 118,948 |
| Cheniere Energy, Inc. | 3,682 | | 510,509 |
| Chevron Corp.(a) | 8,243 | | 1,342,208 |
| Comstock Resources, Inc.* | 4,549 | | 59,364 |
| Denbury, Inc.* | 3,000 | | 235,710 |
| Dril-Quip, Inc.* | 1,362 | | 50,871 |
| DT Midstream, Inc. | 332 | | 18,014 |
| EOG Resources, Inc.(a) | 10,592 | | 1,262,884 |
| Exxon Mobil Corp.(a) | 16,961 | | 1,400,809 |
| Halliburton Co. | 13,658 | | 517,228 |
| Helmerich & Payne, Inc. | 5,338 | | 228,360 |
| Imperial Oil Ltd. (Canada) | 2,134 | | 103,115 |
| Marathon Oil Corp. | 39,331 | | 987,601 |
| Marathon Petroleum Corp.(a) | 21,355 | | 1,825,853 |
| Murphy Oil Corp. | 6,118 | | 247,106 |
| Oasis Petroleum, Inc. | 1,508 | | 220,620 |
| Occidental Petroleum Corp.(a) | 19,996 | | 1,134,573 |
| Oceaneering International, Inc.* | 14,186 | | 215,060 |
| ONEOK, Inc. | 11,683 | | 825,170 |
| Ovintiv, Inc. | 5,373 | | 290,518 |
| PDC Energy, Inc. | 5,075 | | 368,851 |
| Pembina Pipeline Corp. (Canada) | 5,369 | | 201,874 |
| Phillips 66 | 3,959 | | 342,018 |
| Schlumberger NV (Curacao) | 1,672 | | 69,070 |
| SM Energy Co. | 719 | | 28,005 |
| Suncor Energy, Inc. (Canada) | 4,221 | | 137,562 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Energy — (Continued) |
| Talos Energy, Inc.* | 6,837 | | $ 107,956 |
| Valero Energy Corp. | 2,022 | | 205,314 |
| Vermilion Energy, Inc. (Canada) | 14,875 | | 312,673 |
| Weatherford International PLC (Ireland)* | 14 | | 466 |
| Whiting Petroleum Corp. | 948 | | 77,272 |
| Williams Cos., Inc. (The) | 2,377 | | 79,416 |
| | | | 15,445,583 |
| Food & Staples Retailing — 1.4% |
| Costco Wholesale Corp.(a) | 2,159 | | 1,243,260 |
| Ingles Markets, Inc., Class A | 119 | | 10,597 |
| Kroger Co. (The) | 3,931 | | 225,521 |
| Sysco Corp. | 3,048 | | 248,869 |
| United Natural Foods, Inc.* | 1,077 | | 44,534 |
| Walgreens Boots Alliance, Inc. | 6,232 | | 279,007 |
| Walmart, Inc.(a) | 10,189 | | 1,517,346 |
| | | | 3,569,134 |
| Food, Beverage & Tobacco — 3.6% |
| Altria Group, Inc.(a) | 9,451 | | 493,815 |
| Archer-Daniels-Midland Co. | 5,328 | | 480,905 |
| Brown-Forman Corp., Class B | 1,675 | | 112,259 |
| Bunge Ltd. (Bermuda) | 79 | | 8,754 |
| Coca-Cola Co. (The)(a) | 14,705 | | 911,710 |
| Coca-Cola Consolidated, Inc. | 233 | | 115,766 |
| Constellation Brands, Inc., Class A | 2,009 | | 462,713 |
| Darling Ingredients, Inc.* | 1,404 | | 112,854 |
| General Mills, Inc. | 7,389 | | 500,383 |
| Hain Celestial Group, Inc. (The)* | 962 | | 33,093 |
| Hormel Foods Corp. | 5,786 | | 298,210 |
| Kraft Heinz Co. (The)(a) | 8,703 | | 342,811 |
| Molson Coors Beverage Co., Class B | 4,085 | | 218,057 |
| Mondelez International, Inc., Class A | 9,712 | | 609,719 |
| Monster Beverage Corp.* | 8,623 | | 688,978 |
| PepsiCo, Inc. | 4,434 | | 742,163 |
| Philip Morris International, Inc. | 11,242 | | 1,056,073 |
| Sanderson Farms, Inc. | 3,792 | | 710,962 |
| Tyson Foods, Inc., Class A | 11,860 | | 1,063,012 |
| Vector Group Ltd. | 7,164 | | 86,255 |
| | | | 9,048,492 |
| Health Care Equipment & Services — 7.1% |
| Abbott Laboratories(a) | 13,242 | | 1,567,323 |
| ABIOMED, Inc.* | 11 | | ��3,644 |
| Acadia Healthcare Co., Inc.* | 5,605 | | 367,296 |
| Addus HomeCare Corp.* | 484 | | 45,152 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Health Care Equipment & Services — (Continued) |
| Align Technology, Inc.* | 1,358 | | $ 592,088 |
| Allscripts Healthcare Solutions, Inc.* | 8,697 | | 195,856 |
| Amedisys, Inc.* | 1,068 | | 184,006 |
| AMN Healthcare Services, Inc.* | 712 | | 74,283 |
| Anthem, Inc.(a) | 3,095 | | 1,520,326 |
| Apollo Medical Holdings, Inc.* | 6,898 | | 334,346 |
| Avanos Medical, Inc.* | 3,900 | | 130,650 |
| Axonics, Inc.* | 291 | | 18,217 |
| Centene Corp.* | 1,358 | | 114,330 |
| Cerner Corp. | 6,635 | | 620,771 |
| Chemed Corp. | 102 | | 51,668 |
| Cigna Corp. | 743 | | 178,030 |
| CVS Health Corp. | 1,732 | | 175,296 |
| DaVita, Inc.* | 1,725 | | 195,115 |
| Dexcom, Inc.* | 1,785 | | 913,206 |
| Doximity, Inc., Class A* | 976 | | 50,840 |
| Edwards Lifesciences Corp.* | 3,926 | | 462,169 |
| Ensign Group, Inc. (The) | 624 | | 56,166 |
| Envista Holdings Corp.* | 3,454 | | 168,244 |
| Evolent Health, Inc., Class A* | 668 | | 21,576 |
| Fulgent Genetics, Inc.* | 7,031 | | 438,805 |
| Globus Medical, Inc., Class A* | 444 | | 32,758 |
| HCA Healthcare, Inc. | 2,045 | | 512,518 |
| Hologic, Inc.(a)* | 6,946 | | 533,592 |
| ICU Medical, Inc.* | 736 | | 163,863 |
| IDEXX Laboratories, Inc.(a)* | 304 | | 166,306 |
| Integra LifeSciences Holdings Corp.* | 3,477 | | 223,432 |
| Intuitive Surgical, Inc.(a)* | 218 | | 65,766 |
| Laboratory Corp. of America Holdings* | 2,612 | | 688,680 |
| LivaNova PLC (United Kingdom)* | 5,804 | | 474,941 |
| Masimo Corp.* | 1,069 | | 155,582 |
| McKesson Corp.(a) | 2,815 | | 861,756 |
| MEDNAX, Inc.* | 6,024 | | 141,443 |
| Medtronic PLC (Ireland) | 10,715 | | 1,188,829 |
| Merit Medical Systems, Inc.* | 1,704 | | 113,350 |
| Molina Healthcare, Inc.* | 814 | | 271,542 |
| Natus Medical, Inc.* | 51 | | 1,340 |
| NextGen Healthcare, Inc.* | 1,781 | | 37,241 |
| Omnicell, Inc.* | 1,141 | | 147,748 |
| Ortho Clinical Diagnostics Holdings PLC (United Kingdom)* | 8,186 | | 152,751 |
| Quest Diagnostics, Inc. | 3,728 | | 510,214 |
| Select Medical Holdings Corp. | 6,736 | | 161,597 |
| STAAR Surgical Co.* | 3,290 | | 262,904 |
| Tandem Diabetes Care, Inc.* | 761 | | 88,497 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Health Care Equipment & Services — (Continued) |
| Teleflex, Inc. | 2,610 | | $ 926,106 |
| Tenet Healthcare Corp.* | 237 | | 20,373 |
| Tivity Health, Inc.* | 4,214 | | 135,564 |
| UnitedHealth Group, Inc.(a) | 2,400 | | 1,223,928 |
| Universal Health Services, Inc., Class B | 229 | | 33,194 |
| Varex Imaging Corp.* | 2,876 | | 61,230 |
| Veeva Systems, Inc., Class A* | 621 | | 131,938 |
| | | | 17,968,386 |
| Household & Personal Products — 1.6% |
| Church & Dwight Co., Inc. | 682 | | 67,777 |
| Colgate-Palmolive Co.(a) | 13,004 | | 986,093 |
| Coty, Inc., Class A* | 25,477 | | 229,038 |
| Estee Lauder Cos., Inc. (The), Class A | 3,324 | | 905,192 |
| Kimberly-Clark Corp. | 3,848 | | 473,920 |
| Procter & Gamble Co. (The)(a) | 8,694 | | 1,328,443 |
| | | | 3,990,463 |
| Materials — 4.7% |
| AdvanSix, Inc. | 2,020 | | 103,202 |
| Alcoa Corp. | 1,275 | | 114,788 |
| Ashland Global Holdings, Inc. | 705 | | 69,379 |
| Avery Dennison Corp. | 620 | | 107,861 |
| Avient Corp. | 2,612 | | 125,376 |
| Balchem Corp. | 604 | | 82,567 |
| Ball Corp. | 692 | | 62,280 |
| Celanese Corp. | 754 | | 107,724 |
| CF Industries Holdings, Inc. | 6,209 | | 639,900 |
| Chemours Co. (The) | 2,693 | | 84,776 |
| Corteva, Inc. | 8,464 | | 486,511 |
| Dow, Inc. | 3,859 | | 245,895 |
| DuPont de Nemours, Inc.(a) | 16,934 | | 1,246,004 |
| Eagle Materials, Inc. | 2,839 | | 364,414 |
| Eastman Chemical Co. | 2,475 | | 277,348 |
| ERO Copper Corp. (Canada)* | 17 | | 249 |
| Ferro Corp.* | 6,794 | | 147,702 |
| FMC Corp. | 4,167 | | 548,252 |
| Franco-Nevada Corp. (Canada) | 188 | | 29,990 |
| Freeport-McMoRan, Inc.(a) | 8,754 | | 435,424 |
| Hecla Mining Co. | 7,078 | | 46,502 |
| Huntsman Corp. | 1,756 | | 65,868 |
| Ingevity Corp.* | 1,255 | | 80,408 |
| Innospec, Inc. | 337 | | 31,189 |
| International Paper Co. | 16,873 | | 778,689 |
| Intrepid Potash, Inc.* | 146 | | 11,992 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Materials — (Continued) |
| Kronos Worldwide, Inc. | 112 | | $ 1,738 |
| Linde PLC (Ireland) | 3,244 | | 1,036,231 |
| Louisiana-Pacific Corp. | 1,397 | | 86,782 |
| LyondellBasell Industries NV, Class A (Netherlands) | 3,369 | | 346,401 |
| Methanex Corp. (Canada) | 1,330 | | 72,565 |
| Minerals Technologies, Inc. | 399 | | 26,394 |
| Mosaic Co. (The) | 449 | | 29,858 |
| New Gold, Inc. (Canada)* | 52,609 | | 94,696 |
| Newmont Corp. | 865 | | 68,724 |
| Nucor Corp. | 5,120 | | 761,088 |
| Nutrien Ltd. (Canada) | 2,905 | | 302,091 |
| O-I Glass, Inc.* | 8,359 | | 110,172 |
| Olin Corp. | 6,359 | | 332,449 |
| Pan American Silver Corp. (Canada) | 7,534 | | 205,678 |
| PPG Industries, Inc. | 2,320 | | 304,082 |
| Reliance Steel & Aluminum Co. | 635 | | 116,427 |
| Royal Gold, Inc. | 969 | | 136,900 |
| Sealed Air Corp. | 6,305 | | 422,183 |
| Sensient Technologies Corp. | 1,617 | | 135,747 |
| SSR Mining, Inc. (Canada) | 14,894 | | 323,944 |
| Sylvamo Corp.* | 1,352 | | 44,995 |
| TriMas Corp. | 105 | | 3,369 |
| Tronox Holdings PLC, Class A (United Kingdom) | 1,664 | | 32,931 |
| United States Steel Corp. | 536 | | 20,229 |
| Warrior Met Coal, Inc. | 4,511 | | 167,403 |
| Westlake Corp. | 892 | | 110,073 |
| Yamana Gold, Inc. (Canada) | 59,867 | | 334,058 |
| | | | 11,921,498 |
| Media & Entertainment — 6.8% |
| Activision Blizzard, Inc. | 7,947 | | 636,634 |
| Alphabet, Inc., Class A(a)* | 1,360 | | 3,782,636 |
| AMC Entertainment Holdings, Inc., Class A* | 14,772 | | 363,982 |
| AMC Networks, Inc., Class A* | 1,456 | | 59,157 |
| Bumble, Inc., Class A* | 13,024 | | 377,435 |
| Cars.com, Inc.* | 30 | | 433 |
| Charter Communications, Inc., Class A(a)* | 2,308 | | 1,259,060 |
| Clear Channel Outdoor Holdings, Inc.* | 7,072 | | 24,469 |
| Comcast Corp., Class A | 12,704 | | 594,801 |
| Discovery, Inc., Class A* | 36,985 | | 921,666 |
| Fox Corp., Class A | 704 | | 27,773 |
| Interpublic Group of Cos., Inc. (The) | 10,897 | | 386,299 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Media & Entertainment — (Continued) |
| Live Nation Entertainment, Inc.* | 162 | | $ 19,058 |
| Match Group, Inc.* | 9,599 | | 1,043,795 |
| Meta Platforms, Inc., Class A(a)* | 17,579 | | 3,908,866 |
| Netflix, Inc.(a)* | 4,364 | | 1,634,711 |
| News Corp., Class A | 12,891 | | 285,536 |
| Pinterest, Inc., Class A(a)* | 1,494 | | 36,767 |
| PubMatic, Inc., Class A* | 7,364 | | 192,348 |
| Scholastic Corp. | 12 | | 483 |
| Take-Two Interactive Software, Inc.* | 341 | | 52,425 |
| Thryv Holdings, Inc.* | 1,108 | | 31,157 |
| TripAdvisor, Inc.* | 3,722 | | 100,941 |
| Twitter, Inc.(a)* | 22,214 | | 859,460 |
| Walt Disney Co. (The)* | 3,141 | | 430,820 |
| Yelp, Inc.* | 1,833 | | 62,524 |
| Ziff Davis, Inc.* | 2,184 | | 211,368 |
| | | | 17,304,604 |
| Pharmaceuticals, Biotechnology & Life Sciences — 6.3% |
| Agilent Technologies, Inc.(a) | 7,357 | | 973,552 |
| Alnylam Pharmaceuticals, Inc.* | 80 | | 13,063 |
| Amphastar Pharmaceuticals, Inc.* | 463 | | 16,622 |
| Avantor, Inc.* | 3,047 | | 103,050 |
| Biogen, Inc.* | 3,007 | | 633,274 |
| Bio-Rad Laboratories, Inc., Class A* | 1,044 | | 588,012 |
| Bio-Techne Corp. | 337 | | 145,935 |
| Bristol-Myers Squibb Co.(a) | 12,075 | | 881,837 |
| Bruker Corp. | 570 | | 36,651 |
| Charles River Laboratories International, Inc.* | 2,006 | | 569,644 |
| Corcept Therapeutics, Inc.* | 3,364 | | 75,757 |
| Cronos Group, Inc. (Canada)* | 2,706 | | 10,526 |
| Danaher Corp. | 1,245 | | 365,196 |
| Dynavax Technologies Corp.* | 7,519 | | 81,506 |
| Elanco Animal Health, Inc.* | 12,818 | | 334,422 |
| Gilead Sciences, Inc. | 6,892 | | 409,729 |
| Harmony Biosciences Holdings, Inc.* | 612 | | 29,774 |
| Horizon Therapeutics PLC (Ireland)* | 1,103 | | 116,047 |
| Innoviva, Inc.* | 4,235 | | 81,947 |
| Ionis Pharmaceuticals, Inc.* | 1,960 | | 72,598 |
| IQVIA Holdings, Inc.* | 383 | | 88,553 |
| Ironwood Pharmaceuticals, Inc.* | 4,559 | | 57,352 |
| iTeos Therapeutics, Inc.* | 408 | | 13,129 |
| Johnson & Johnson(a) | 6,353 | | 1,125,942 |
| Merck & Co., Inc.(a) | 17,874 | | 1,466,562 |
| Mettler-Toledo International, Inc.* | 508 | | 697,581 |
| Moderna, Inc.(a)* | 10,014 | | 1,725,012 |
| Organogenesis Holdings, Inc.* | 943 | | 7,186 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
Pharmaceuticals, Biotechnology & Life Sciences —
(Continued) |
| Organon & Co. | 7,500 | | $ 261,975 |
| PerkinElmer, Inc. | 1,341 | | 233,951 |
| Pfizer, Inc.(a) | 28,135 | | 1,456,549 |
| Prestige Consumer Healthcare, Inc.* | 1,530 | | 80,998 |
| Prothena Corp. PLC (Ireland)* | 820 | | 29,987 |
| QIAGEN NV (Netherlands)* | 1,547 | | 75,803 |
| Regeneron Pharmaceuticals, Inc.(a)* | 778 | | 543,371 |
| REGENXBIO, Inc.* | 831 | | 27,581 |
| Sarepta Therapeutics, Inc.* | 1,847 | | 144,288 |
| Sundial Growers, Inc. (Canada)* | 276,439 | | 193,507 |
| Syndax Pharmaceuticals, Inc.* | 71 | | 1,234 |
| Thermo Fisher Scientific, Inc. | 717 | | 423,496 |
| Vertex Pharmaceuticals, Inc.* | 694 | | 181,113 |
| Viatris, Inc. | 20,967 | | 228,121 |
| Waters Corp.* | 1,245 | | 386,436 |
| West Pharmaceutical Services, Inc. | 595 | | 244,372 |
| Xencor, Inc.* | 380 | | 10,138 |
| Zoetis, Inc. | 4,405 | | 830,739 |
| | | | 16,074,118 |
| Retailing — 6.3% |
| Academy Sports & Outdoors, Inc. | 2,273 | | 89,556 |
| Advance Auto Parts, Inc. | 1,360 | | 281,466 |
| Amazon.com, Inc.(a)* | 1,226 | | 3,996,699 |
| AutoNation, Inc.* | 1,518 | | 151,162 |
| AutoZone, Inc.(a)* | 510 | | 1,042,736 |
| Bath & Body Works, Inc.(a) | 20,546 | | 982,099 |
| Best Buy Co., Inc. | 308 | | 27,997 |
| Buckle, Inc. (The) | 3,571 | | 117,986 |
| Burlington Stores, Inc.* | 185 | | 33,701 |
| Dick's Sporting Goods, Inc. | 502 | | 50,210 |
| Dillard's, Inc., Class A | 311 | | 83,469 |
| Dollar General Corp. | 1,675 | | 372,905 |
| eBay, Inc.(a) | 19,573 | | 1,120,750 |
| Etsy, Inc.(a)* | 4,345 | | 539,997 |
| Genesco, Inc.* | 230 | | 14,630 |
| Genuine Parts Co. | 366 | | 46,123 |
| Guess?, Inc. | 4,137 | | 90,393 |
| Home Depot, Inc. (The)(a) | 2,382 | | 713,004 |
| LKQ Corp. | 11,909 | | 540,788 |
| Lowe's Cos., Inc.(a) | 6,416 | | 1,297,251 |
| Macy's, Inc. | 33 | | 804 |
| MarineMax, Inc.* | 3,815 | | 153,592 |
| ODP Corp. (The)* | 1,379 | | 63,200 |
| O'Reilly Automotive, Inc.* | 700 | | 479,472 |
| Overstock.com, Inc.* | 12,972 | | 570,833 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Retailing — (Continued) |
| Penske Automotive Group, Inc. | 548 | | $ 51,358 |
| RH * | 612 | | 199,567 |
| Ross Stores, Inc. | 5,367 | | 485,499 |
| Shoe Carnival, Inc. | 2,260 | | 65,902 |
| Shutterstock, Inc. | 1,300 | | 121,004 |
| Signet Jewelers Ltd. (Bermuda) | 3,925 | | 285,347 |
| Sonic Automotive, Inc., Class A | 1,373 | | 58,366 |
| Target Corp.(a) | 5,508 | | 1,168,908 |
| TJX Cos., Inc. (The) | 796 | | 48,222 |
| Ulta Beauty, Inc.* | 814 | | 324,151 |
| Victoria's Secret & Co.* | 2,430 | | 124,805 |
| Williams-Sonoma, Inc. | 400 | | 58,000 |
| | | | 15,851,952 |
| Semiconductors & Semiconductor Equipment — 6.6% |
| Advanced Micro Devices, Inc.(a)* | 16,830 | | 1,840,192 |
| Allegro MicroSystems, Inc.* | 4,856 | | 137,910 |
| Alpha & Omega Semiconductor Ltd. (Bermuda)* | 6,225 | | 340,196 |
| Applied Materials, Inc.(a) | 3,922 | | 516,920 |
| Axcelis Technologies, Inc.* | 5,765 | | 435,430 |
| Broadcom, Inc.(a) | 1,700 | | 1,070,456 |
| CEVA, Inc.* | 290 | | 11,789 |
| Cohu, Inc.* | 3,817 | | 112,983 |
| Diodes, Inc.* | 2,470 | | 214,865 |
| Ichor Holdings Ltd. (Cayman Islands)* | 985 | | 35,086 |
| Intel Corp. | 9,312 | | 461,503 |
| KLA Corp.(a) | 2,071 | | 758,110 |
| Lam Research Corp. | 663 | | 356,435 |
| Lattice Semiconductor Corp.* | 7,608 | | 463,708 |
| MACOM Technology Solutions Holdings, Inc.* | 1,024 | | 61,307 |
| Microchip Technology, Inc. | 1,247 | | 93,700 |
| Micron Technology, Inc.(a) | 25,657 | | 1,998,424 |
| NVIDIA Corp.(a) | 4,497 | | 1,227,051 |
| NXP Semiconductors NV (Netherlands) | 2,779 | | 514,337 |
| ON Semiconductor Corp.* | 6,479 | | 405,650 |
| Onto Innovation, Inc.* | 3,322 | | 288,649 |
| Photronics, Inc.* | 2,626 | | 44,563 |
| Power Integrations, Inc. | 2,726 | | 252,646 |
| Qorvo, Inc.* | 933 | | 115,785 |
| QUALCOMM, Inc.(a) | 18,054 | | 2,759,012 |
| Rambus, Inc.* | 9,877 | | 314,978 |
| Semtech Corp.* | 3,513 | | 243,591 |
| Silicon Laboratories, Inc.* | 1,603 | | 240,771 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
Semiconductors & Semiconductor Equipment —
(Continued) |
| Skyworks Solutions, Inc. | 3,710 | | $ 494,469 |
| Synaptics, Inc.* | 1,460 | | 291,270 |
| Teradyne, Inc. | 5,350 | | 632,531 |
| | | | 16,734,317 |
| Software & Services — 13.6% |
| A10 Networks, Inc. | 2,984 | | 41,627 |
| Accenture PLC, Class A (Ireland) | 3,292 | | 1,110,161 |
| ACI Worldwide, Inc.* | 28 | | 882 |
| Adobe, Inc.(a)* | 2,857 | | 1,301,706 |
| Agilysys, Inc.* | 83 | | 3,310 |
| Akamai Technologies, Inc.* | 1,916 | | 228,751 |
| Alkami Technology, Inc.* | 27 | | 386 |
| Appian Corp.* | 655 | | 39,837 |
| Autodesk, Inc.* | 3,530 | | 756,656 |
| Automatic Data Processing, Inc.(a) | 5,690 | | 1,294,703 |
| Bentley Systems, Inc., Class B | 2,996 | | 132,363 |
| Black Knight, Inc.* | 518 | | 30,039 |
| Box, Inc., Class A* | 1,451 | | 42,166 |
| Bread Financial Holdings, Inc. | 741 | | 41,607 |
| Cadence Design Systems, Inc.(a)* | 1,621 | | 266,590 |
| Cerence, Inc.* | 871 | | 31,443 |
| CGI, Inc. (Canada)* | 1,113 | | 88,851 |
| Concentrix Corp. | 403 | | 67,124 |
| Crowdstrike Holdings, Inc., Class A* | 1,726 | | 391,940 |
| Datadog, Inc., Class A* | 5,051 | | 765,075 |
| Descartes Systems Group, Inc. (The) (Canada)* | 85 | | 6,227 |
| DigitalOcean Holdings, Inc.* | 3,974 | | 229,896 |
| Dropbox, Inc., Class A* | 4,201 | | 97,673 |
| DXC Technology Co.* | 10,698 | | 349,076 |
| Euronet Worldwide, Inc.* | 249 | | 32,407 |
| Fair Isaac Corp.* | 1,306 | | 609,197 |
| Fidelity National Information Services, Inc. | 536 | | 53,825 |
| Fiserv, Inc.* | 5,217 | | 529,004 |
| FleetCor Technologies, Inc.* | 1,725 | | 429,629 |
| Fortinet, Inc.(a)* | 4,278 | | 1,461,964 |
| Gartner, Inc.* | 2,631 | | 782,617 |
| Global Payments, Inc. | 1,708 | | 233,723 |
| Globant S.A. (Luxembourg)* | 752 | | 197,077 |
| GoDaddy, Inc., Class A* | 3,919 | | 328,020 |
| HubSpot, Inc.* | 1,859 | | 882,913 |
| InterDigital, Inc. | 1,478 | | 94,296 |
| International Business Machines Corp.(a) | 5,778 | | 751,256 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Software & Services — (Continued) |
| Intuit, Inc.(a) | 1,813 | | $ 871,763 |
| Manhattan Associates, Inc.* | 1,887 | | 261,746 |
| Mastercard, Inc., Class A | 193 | | 68,974 |
| Microsoft Corp.(a) | 13,177 | | 4,062,601 |
| MongoDB, Inc.* | 1,982 | | 879,195 |
| NortonLifeLock, Inc.(a) | 25,214 | | 668,675 |
| Open Text Corp. (Canada) | 2,346 | | 99,470 |
| Oracle Corp.(a) | 36,913 | | 3,053,813 |
| Paychex, Inc.(a) | 8,044 | | 1,097,765 |
| Paycom Software, Inc.* | 2,564 | | 888,118 |
| Paylocity Holding Corp.* | 253 | | 52,060 |
| PayPal Holdings, Inc.(a)* | 22,494 | | 2,601,431 |
| Progress Software Corp. | 1,382 | | 65,078 |
| Sailpoint Technologies Holdings, Inc.* | 146 | | 7,472 |
| Salesforce, Inc.* | 2,018 | | 428,462 |
| ServiceNow, Inc.(a)* | 4,892 | | 2,724,306 |
| Splunk, Inc.* | 425 | | 63,159 |
| SPS Commerce, Inc.* | 870 | | 114,144 |
| SS&C Technologies Holdings, Inc. | 1,059 | | 79,446 |
| Synopsys, Inc.(a)* | 2,738 | | 912,493 |
| Teradata Corp.* | 2,575 | | 126,922 |
| Trade Desk, Inc. (The), Class A* | 6,314 | | 437,245 |
| TTEC Holdings, Inc. | 39 | | 3,218 |
| Varonis Systems, Inc.* | 1,297 | | 61,659 |
| Verint Systems, Inc.* | 3,482 | | 180,019 |
| VeriSign, Inc.* | 1,664 | | 370,173 |
| Visa, Inc., Class A | 457 | | 101,349 |
| Western Union Co. (The) | 11,986 | | 224,618 |
| Zendesk, Inc.* | 1,496 | | 179,954 |
| | | | 34,389,345 |
| Technology Hardware & Equipment — 5.8% |
| 3D Systems Corp.* | 13,867 | | 231,301 |
| Amphenol Corp., Class A | 1,509 | | 113,703 |
| Apple, Inc.(a) | 17,701 | | 3,090,772 |
| Badger Meter, Inc. | 849 | | 84,654 |
| Belden, Inc. | 747 | | 41,384 |
| CDW Corp. | 599 | | 107,155 |
| Ciena Corp.* | 1,060 | | 64,268 |
| Cisco Systems, Inc.(a) | 34,836 | | 1,942,455 |
| Coherent, Inc.* | 749 | | 204,747 |
| Corning, Inc. | 24,742 | | 913,227 |
| CTS Corp. | 5 | | 177 |
| Dell Technologies, Inc., Class C | 1,698 | | 85,223 |
| Extreme Networks, Inc.* | 19,883 | | 242,771 |
| Hewlett Packard Enterprise Co. | 30,288 | | 506,112 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Technology Hardware & Equipment — (Continued) |
| HP, Inc.(a) | 22,886 | | $ 830,762 |
| Infinera Corp.* | 7,093 | | 61,496 |
| IPG Photonics Corp.* | 4,562 | | 500,725 |
| Itron, Inc.* | 1,254 | | 66,061 |
| Jabil, Inc. | 6,286 | | 388,035 |
| Juniper Networks, Inc. | 3,030 | | 112,595 |
| Keysight Technologies, Inc.* | 3,958 | | 625,245 |
| Knowles Corp.* | 4,790 | | 103,129 |
| Lumentum Holdings, Inc.* | 691 | | 67,442 |
| Motorola Solutions, Inc. | 3,034 | | 734,835 |
| NetApp, Inc. | 7,071 | | 586,893 |
| NetScout Systems, Inc.* | 3,045 | | 97,684 |
| PC Connection, Inc. | 52 | | 2,724 |
| Pure Storage, Inc., Class A* | 10,738 | | 379,159 |
| Sanmina Corp.* | 1,650 | | 66,693 |
| Seagate Technology Holdings PLC (Ireland) | 11,268 | | 1,012,993 |
| TE Connectivity Ltd. (Switzerland) | 1,872 | | 245,194 |
| Trimble, Inc.* | 2,007 | | 144,785 |
| Vishay Intertechnology, Inc. | 10,613 | | 208,015 |
| Western Digital Corp.* | 9,860 | | 489,549 |
| Zebra Technologies Corp., Class A* | 592 | | 244,910 |
| | | | 14,596,873 |
| Telecommunication Services — 1.5% |
| AT&T, Inc.(a) | 42,457 | | 1,003,259 |
| EchoStar Corp., Class A* | 9,120 | | 221,981 |
| Gogo, Inc.* | 4,083 | | 77,822 |
| Iridium Communications, Inc.* | 3,825 | | 154,224 |
| Lumen Technologies, Inc. | 21,322 | | 240,299 |
| TELUS Corp. (Canada) | 138 | | 3,607 |
| T-Mobile US, Inc.(a)* | 10,142 | | 1,301,726 |
| Verizon Communications, Inc.(a) | 15,300 | | 779,382 |
| | | | 3,782,300 |
| Transportation — 2.5% |
| Alaska Air Group, Inc.* | 4,706 | | 272,995 |
| ArcBest Corp. | 5,584 | | 449,512 |
| Atlas Air Worldwide Holdings, Inc.* | 2,756 | | 238,036 |
| CSX Corp.(a) | 20,238 | | 757,913 |
| Expeditors International of Washington, Inc. | 6,732 | | 694,473 |
| FedEx Corp. | 5,164 | | 1,194,898 |
| Forward Air Corp. | 10 | | 978 |
| Heartland Express, Inc. | 14 | | 197 |
| Hub Group, Inc., Class A* | 670 | | 51,731 |
| Matson, Inc. | 2,477 | | 298,776 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Transportation — (Continued) |
| Norfolk Southern Corp. | 664 | | $ 189,386 |
| Old Dominion Freight Line, Inc. | 1,862 | | 556,142 |
| Southwest Airlines Co.* | 767 | | 35,128 |
| Union Pacific Corp. | 2,647 | | 723,187 |
| United Airlines Holdings, Inc.* | 870 | | 40,333 |
| United Parcel Service, Inc., Class B(a) | 3,600 | | 772,056 |
| XPO Logistics, Inc.* | 1,238 | | 90,126 |
| | | | 6,365,867 |
| Utilities — 1.9% |
| AES Corp. (The) | 9,260 | | 238,260 |
| American Electric Power Co., Inc. | 9,219 | | 919,780 |
| American Water Works Co., Inc. | 980 | | 162,219 |
| Consolidated Edison, Inc. | 4,394 | | 416,024 |
| Constellation Energy Corp.(a) | 8,529 | | 479,756 |
| DTE Energy Co.(a) | 6,116 | | 808,596 |
| Exelon Corp.(a) | 2,701 | | 128,649 |
| FirstEnergy Corp. | 1,865 | | 85,529 |
| NextEra Energy, Inc. | 66 | | 5,591 |
| NRG Energy, Inc. | 10,618 | | 407,306 |
| Otter Tail Corp. | 588 | | 36,750 |
| PPL Corp. | 24,259 | | 692,837 |
| Sempra Energy | 28 | | 4,707 |
| Southern Co. (The) | 5,525 | | 400,618 |
| | | | 4,786,622 |
TOTAL COMMON STOCKS
(Cost $218,527,778) | | | 240,732,545 |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 4.9% | | | 12,466,611 |
| NET ASSETS - 100.0% | | | $ 253,199,156 |
| (a) | Security position is either entirely or partially designated as collateral for total return swaps. (See Note 1 of the Notes to Financial Statements) |
| * | Non-income producing. |
| PLC | Public Limited Company |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Over-the-counter total return swaps outstanding as of March 31, 2022
The Fund maintains a portfolio of long and short positions and receives/pays a rebate based upon the Fed Funds 1-Day Rate less a specified spread as negotiated by the parties. The notional gain or loss, dividends payable and rebates are payable the earlier of maturity of the swaps or upon termination. The portfolio matures between August 27, 2024 and July 6, 2026, however underlying individual contracts are entered into and closed (terminated) on a daily basis. The cash amounts payable/receivable due to individual contracts being closed are settled, on a net basis, once a week. The value of total return swaps represents 3.7% of net assets as of March 31, 2022.
The following table represents the individual long and short positions and related values of total return swaps as of March 31, 2022:
Total Return Swaps
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Long | | | | | | | | | | |
| Automobiles & Components | | | | | | | | |
| American Axle & Manufacturing Holdings, Inc. | | Morgan Stanley | | 6,144 | | $ 39,100 | | $ 47,677 | | $ 8,824 |
| BorgWarner, Inc. | | Morgan Stanley | | 4,665 | | 176,762 | | 181,469 | | 4,735 |
| Ford Motor Co. | | Morgan Stanley | | 79,919 | | 952,843 | | 1,351,430 | | 411,198 |
| General Motors Co. | | Morgan Stanley | | 30,582 | | 1,474,264 | | 1,337,657 | | (136,308) |
| Gentherm, Inc. | | Morgan Stanley | | 589 | | 41,082 | | 43,021 | | 1,940 |
| Lear Corp. | | Morgan Stanley | | 266 | | 43,754 | | 37,929 | | (5,840) |
| Magna International, Inc. (Canada) | | Morgan Stanley | | 2,240 | | 132,544 | | 144,054 | | 12,103 |
| Thor Industries, Inc. | | Morgan Stanley | | 2,345 | | 197,735 | | 184,552 | | (13,270) |
| Visteon Corp. | | Morgan Stanley | | 1,557 | | 172,899 | | 169,915 | | (3,205) |
| | | | | 128,307 | | 3,230,983 | | 3,497,704 | | 280,177 |
| Capital Goods | | | | | | | | |
| 3M Co. | | Morgan Stanley | | 4,846 | | 798,853 | | 721,472 | | (40,821) |
| A.O. Smith Corp. | | Morgan Stanley | | 6,642 | | 416,230 | | 424,357 | | 12,593 |
| AAR Corp. | | Morgan Stanley | | 1,246 | | 42,194 | | 60,344 | | 18,151 |
| AECOM | | Morgan Stanley | | 3,557 | | 252,473 | | 273,213 | | 20,843 |
| Aerojet Rocketdyne Holdings, Inc. | | Morgan Stanley | | 3,999 | | 156,210 | | 157,361 | | 1,175 |
| Albany International Corp., Class A | | Morgan Stanley | | 704 | | 60,401 | | 59,361 | | (932) |
| Apogee Enterprises, Inc. | | Morgan Stanley | | 1,169 | | 32,140 | | 55,481 | | 24,698 |
| Armstrong World Industries, Inc. | | Morgan Stanley | | 467 | | 45,036 | | 42,035 | | (2,981) |
| Atkore, Inc. | | Morgan Stanley | | 5,158 | | 346,098 | | 507,754 | | 161,720 |
| Barnes Group, Inc. | | Morgan Stanley | | 419 | | 18,072 | | 16,840 | | (1,227) |
| Boise Cascade Co. | | Morgan Stanley | | 4,661 | | 258,415 | | 323,800 | | 83,351 |
| Builders FirstSource, Inc. | | Morgan Stanley | | 10,583 | | 764,871 | | 683,027 | | (81,693) |
| Carrier Global Corp. | | Morgan Stanley | | 3,549 | | 158,959 | | 162,793 | | 3,945 |
| Crane Co. | | Morgan Stanley | | 1,200 | | 113,328 | | 129,936 | | 18,584 |
| CSW Industrials, Inc. | | Morgan Stanley | | 29 | | 3,407 | | 3,410 | | (4) |
| Cummins, Inc. | | Morgan Stanley | | 2,490 | | 520,916 | | 510,724 | | (7,628) |
| Curtiss-Wright Corp. | | Morgan Stanley | | 191 | | 25,087 | | 28,681 | | 3,670 |
| Deere & Co. | | Morgan Stanley | | 1,157 | | 183,869 | | 480,687 | | 304,952 |
| Dover Corp. | | Morgan Stanley | | 422 | | 62,340 | | 66,212 | | 5,059 |
| Dycom Industries, Inc. | | Morgan Stanley | | 1,500 | | 143,242 | | 142,890 | | (330) |
| Eaton Corp. PLC (Ireland) | | Morgan Stanley | | 6,148 | | 1,012,789 | | 933,020 | | (77,547) |
| Encore Wire Corp. | | Morgan Stanley | | 4,238 | | 526,123 | | 483,429 | | (42,476) |
| Enerpac Tool Group Corp. | | Morgan Stanley | | 68 | | 1,492 | | 1,489 | | (11) |
| Fastenal Co. | | Morgan Stanley | | 4,016 | | 209,622 | | 238,550 | | 28,982 |
| Fortune Brands Home & Security, Inc. | | Morgan Stanley | | 1,723 | | 143,998 | | 127,984 | | (15,850) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Capital Goods — (continued) | | | | | | | | |
| General Dynamics Corp. | | Morgan Stanley | | 4,737 | | $ 968,995 | | $ 1,142,470 | | $ 187,954 |
| General Electric Co. | | Morgan Stanley | | 6,021 | | 546,780 | | 550,921 | | 4,574 |
| Graco, Inc. | | Morgan Stanley | | 499 | | 34,743 | | 34,790 | | 46 |
| Herc Holdings, Inc. | | Morgan Stanley | | 256 | | 24,642 | | 42,775 | | 18,614 |
| Hillenbrand, Inc. | | Morgan Stanley | | 1,464 | | 63,470 | | 64,665 | | 2,075 |
| Honeywell International, Inc. | | Morgan Stanley | | 1,250 | | 231,112 | | 243,225 | | 16,000 |
| Ingersoll Rand, Inc. | | Morgan Stanley | | 6,623 | | 330,861 | | 333,468 | | 1,027 |
| ITT, Inc. | | Morgan Stanley | | 2,304 | | 190,120 | | 173,284 | | (16,553) |
| Johnson Controls International PLC (Ireland) | | Morgan Stanley | | 3,923 | | 245,827 | | 257,231 | | 18,683 |
| Kadant, Inc. | | Morgan Stanley | | 14 | | 2,751 | | 2,719 | | (40) |
| Kennametal, Inc. | | Morgan Stanley | | 4,933 | | 171,074 | | 141,133 | | (29,311) |
| L3Harris Technologies, Inc. | | Morgan Stanley | | 946 | | 237,357 | | 235,053 | | (2,291) |
| Lockheed Martin Corp. | | Morgan Stanley | | 2,712 | | 1,045,149 | | 1,197,077 | | 164,227 |
| Masco Corp. | | Morgan Stanley | | 5,494 | | 363,218 | | 280,194 | | (80,962) |
| Mueller Industries, Inc. | | Morgan Stanley | | 3,304 | | 186,263 | | 178,978 | | (6,403) |
| MYR Group, Inc. | | Morgan Stanley | | 416 | | 36,032 | | 39,121 | | 3,070 |
| Nordson Corp. | | Morgan Stanley | | 1,146 | | 252,658 | | 260,234 | | 8,584 |
| NOW, Inc. | | Morgan Stanley | | 6,938 | | 47,371 | | 76,526 | | 30,052 |
| nVent Electric PLC (Ireland) | | Morgan Stanley | | 2,338 | | 79,683 | | 81,316 | | 1,645 |
| Otis Worldwide Corp. | | Morgan Stanley | | 7,764 | | 621,204 | | 597,440 | | (22,013) |
| Owens Corning | | Morgan Stanley | | 510 | | 43,820 | | 46,665 | | 4,679 |
| Parker-Hannifin Corp. | | Morgan Stanley | | 469 | | 137,848 | | 133,083 | | (3,459) |
| Pentair PLC (Ireland) | | Morgan Stanley | | 4,436 | | 205,198 | | 240,476 | | 41,213 |
| Quanta Services, Inc. | | Morgan Stanley | | 1,074 | | 113,951 | | 141,349 | | 27,423 |
| Raytheon Technologies Corp. | | Morgan Stanley | | 1,439 | | 135,352 | | 142,562 | | 7,960 |
| Resideo Technologies, Inc. | | Morgan Stanley | | 5,472 | | 139,850 | | 130,398 | | (9,431) |
| Roper Technologies, Inc. | | Morgan Stanley | | 238 | | 105,547 | | 112,391 | | 6,918 |
| Shyft Group, Inc. (The) | | Morgan Stanley | | 1,103 | | 51,080 | | 39,829 | | (11,431) |
| SiteOne Landscape Supply, Inc. | | Morgan Stanley | | 281 | | 48,356 | | 45,435 | | (2,919) |
| Snap-on, Inc. | | Morgan Stanley | | 1,462 | | 237,636 | | 300,412 | | 76,938 |
| Spirit AeroSystems Holdings, Inc., Class A | | Morgan Stanley | | 13,587 | | 647,131 | | 664,268 | | 17,247 |
| SPX Corp. | | Morgan Stanley | | 800 | | 45,394 | | 39,528 | | (6,043) |
| SPX FLOW, Inc. | | Morgan Stanley | | 422 | | 28,296 | | 36,385 | | 8,233 |
| Standex International Corp. | | Morgan Stanley | | 13 | | 1,339 | | 1,299 | | (47) |
| Terex Corp. | | Morgan Stanley | | 1,344 | | 17,530 | | 47,927 | | 33,112 |
| Textron, Inc. | | Morgan Stanley | | 1,023 | | 67,332 | | 76,091 | | 8,839 |
| Timken Co. (The) | | Morgan Stanley | | 452 | | 28,198 | | 27,436 | | (764) |
| Trane Technologies PLC (Ireland) | | Morgan Stanley | | 1,335 | | 226,666 | | 203,855 | | (22,689) |
| TransDigm Group, Inc. | | Morgan Stanley | | 41 | | 26,884 | | 26,713 | | (173) |
| Trex Co., Inc. | | Morgan Stanley | | 4,639 | | 486,977 | | 303,066 | | (183,818) |
| UFP Industries, Inc. | | Morgan Stanley | | 1,497 | | 125,466 | | 115,509 | | (9,846) |
| Veritiv Corp. | | Morgan Stanley | | 774 | | 82,290 | | 103,399 | | 21,244 |
| Watts Water Technologies, Inc., Class A | | Morgan Stanley | | 521 | | 73,640 | | 72,726 | | (504) |
| Westinghouse Air Brake Technologies Corp. | | Morgan Stanley | | 2,856 | | 260,972 | | 274,662 | | 14,222 |
| WillScot Mobile Mini Holdings Corp. | | Morgan Stanley | | 1,068 | | 39,478 | | 41,791 | | 3,301 |
| WW Grainger, Inc. | | Morgan Stanley | | 210 | | 86,857 | | 108,316 | | 22,085 |
| Xylem, Inc. | | Morgan Stanley | | 54 | | 4,691 | | 4,604 | | 4,633 |
| Zurn Water Solutions Corp. | | Morgan Stanley | | 11,422 | | 392,112 | | 404,339 | | 12,657 |
| | | | | 191,806 | | 15,835,366 | | 16,451,984 | | 774,781 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Commercial & Professional Services | | | | | | | | |
| ACV Auctions, Inc., Class A | | Morgan Stanley | | 632 | | $ 9,436 | | $ 9,360 | | $ (83) |
| Brink's Co. (The) | | Morgan Stanley | | 473 | | 29,362 | | 32,164 | | 3,198 |
| Cintas Corp. | | Morgan Stanley | | 1,022 | | 425,429 | | 434,749 | | 9,417 |
| Clean Harbors, Inc. | | Morgan Stanley | | 34 | | 3,028 | | 3,796 | | 761 |
| Copart, Inc. | | Morgan Stanley | | 4,035 | | 532,924 | | 506,271 | | (29,017) |
| Exponent, Inc. | | Morgan Stanley | | 304 | | 27,302 | | 32,847 | | 6,515 |
| Huron Consulting Group, Inc. | | Morgan Stanley | | 210 | | 9,721 | | 9,620 | | (107) |
| Jacobs Engineering Group, Inc. | | Morgan Stanley | | 4,065 | | 506,702 | | 560,198 | | 56,866 |
| KBR, Inc. | | Morgan Stanley | | 1,419 | | 76,371 | | 77,662 | | 1,299 |
| Kelly Services, Inc., Class A | | Morgan Stanley | | 8 | | 175 | | 174 | | (9) |
| Kforce, Inc. | | Morgan Stanley | | 575 | | 40,649 | | 42,533 | | 2,019 |
| Korn Ferry | | Morgan Stanley | | 3,862 | | 271,881 | | 250,798 | | (20,365) |
| Nielsen Holdings PLC (United Kingdom) | | Morgan Stanley | | 16,155 | | 279,432 | | 440,062 | | 181,184 |
| Republic Services, Inc. | | Morgan Stanley | | 2,161 | | 161,595 | | 286,332 | | 138,710 |
| Ritchie Bros Auctioneers, Inc. (Canada) | | Morgan Stanley | | 1,859 | | 111,429 | | 109,737 | | (1,411) |
| Robert Half International, Inc. | | Morgan Stanley | | 2,215 | | 213,295 | | 252,909 | | 43,172 |
| Tetra Tech, Inc. | | Morgan Stanley | | 3,067 | | 466,899 | | 505,871 | | 39,589 |
| Thomson Reuters Corp. (Canada) | | Morgan Stanley | | 21 | | 2,304 | | 2,286 | | (25) |
| TriNet Group, Inc. | | Morgan Stanley | | 1,560 | | 138,905 | | 153,442 | | 15,067 |
| Waste Management, Inc. | | Morgan Stanley | | 2,512 | | 361,428 | | 398,152 | | 38,633 |
| | | | | 46,189 | | 3,668,267 | | 4,108,963 | | 485,413 |
| Consumer Durables & Apparel | | | | | | | | |
| Acushnet Holdings Corp. | | Morgan Stanley | | 1,829 | | 88,410 | | 73,636 | | (14,300) |
| BRP, Inc. (Canada) | | Morgan Stanley | | 60 | | 4,828 | | 4,907 | | 73 |
| Cavco Industries, Inc. | | Morgan Stanley | | 228 | | 51,912 | | 54,914 | | 3,005 |
| Crocs, Inc. | | Morgan Stanley | | 1,742 | | 156,916 | | 133,089 | | (23,979) |
| DR Horton, Inc. | | Morgan Stanley | | 6,107 | | 308,517 | | 455,033 | | 154,675 |
| GoPro, Inc., Class A | | Morgan Stanley | | 20,936 | | 198,567 | | 178,584 | | (20,760) |
| Hasbro, Inc. | | Morgan Stanley | | 2,110 | | 191,877 | | 172,851 | | (16,765) |
| Levi Strauss & Co., Class A | | Morgan Stanley | | 2,165 | | 49,684 | | 42,780 | | (6,945) |
| Mattel, Inc. | | Morgan Stanley | | 11,891 | | 286,026 | | 264,099 | | (21,875) |
| Mohawk Industries, Inc. | | Morgan Stanley | | 1,664 | | 143,364 | | 206,669 | | 63,327 |
| Movado Group, Inc. | | Morgan Stanley | | 15 | | 602 | | 586 | | (24) |
| Newell Brands, Inc. | | Morgan Stanley | | 5,700 | | 126,561 | | 122,037 | | 652 |
| NIKE, Inc., Class B | | Morgan Stanley | | 6,913 | | 1,023,099 | | 930,213 | | (100,464) |
| PVH Corp. | | Morgan Stanley | | 1,270 | | 83,655 | | 97,295 | | 13,717 |
| Ralph Lauren Corp. | | Morgan Stanley | | 1,542 | | 180,086 | | 174,924 | | (4,363) |
| Skyline Champion Corp. | | Morgan Stanley | | 7,779 | | 461,453 | | 426,912 | | (34,453) |
| Smith & Wesson Brands, Inc. | | Morgan Stanley | | 5,707 | | 92,374 | | 86,347 | | (4,622) |
| Sonos, Inc. | | Morgan Stanley | | 4,242 | | 104,271 | | 119,709 | | 16,691 |
| Steven Madden Ltd. | | Morgan Stanley | | 4,459 | | 193,918 | | 172,296 | | (20,759) |
| Sturm Ruger & Co., Inc. | | Morgan Stanley | | 1,362 | | 86,466 | | 94,822 | | 14,447 |
| Tapestry, Inc. | | Morgan Stanley | | 2,132 | | 80,221 | | 79,204 | | 121 |
| Tempur Sealy International, Inc. | | Morgan Stanley | | 3,367 | | 130,175 | | 94,007 | | (35,181) |
| Under Armour, Inc., Class C | | Morgan Stanley | | 11,325 | | 205,728 | | 176,217 | | (33,437) |
| VF Corp. | | Morgan Stanley | | 1,075 | | 60,861 | | 61,125 | | 785 |
| Vista Outdoor, Inc. | | Morgan Stanley | | 5,203 | | 201,363 | | 185,695 | | (16,011) |
| Whirlpool Corp. | | Morgan Stanley | | 1,425 | | 279,493 | | 246,212 | | (26,660) |
| | | | | 112,248 | | 4,790,427 | | 4,654,163 | | (113,105) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Consumer Services | | | | | | | | |
| Accel Entertainment, Inc. | | Morgan Stanley | | 120 | | $ 1,568 | | $ 1,462 | | $ (114) |
| Airbnb, Inc., Class A | | Morgan Stanley | | 702 | | 100,899 | | 120,576 | | 22,423 |
| Bloomin' Brands, Inc. | | Morgan Stanley | | 6,518 | | 75,924 | | 143,005 | | 67,776 |
| Booking Holdings, Inc. | | Morgan Stanley | | 262 | | 540,754 | | 615,294 | | 74,645 |
| Boyd Gaming Corp. | | Morgan Stanley | | 1,016 | | 60,304 | | 66,832 | | 6,668 |
| Caesars Entertainment, Inc. | | Morgan Stanley | | 1,459 | | 114,618 | | 112,868 | | (1,734) |
| Cheesecake Factory, Inc. (The) | | Morgan Stanley | | 4,268 | | 165,401 | | 169,824 | | 4,152 |
| Choice Hotels International, Inc. | | Morgan Stanley | | 353 | | 40,692 | | 50,041 | | 9,602 |
| Cracker Barrel Old Country Store, Inc. | | Morgan Stanley | | 1,240 | | 155,197 | | 147,225 | | (7,117) |
| Darden Restaurants, Inc. | | Morgan Stanley | | 208 | | 27,613 | | 27,654 | | 1,970 |
| Dine Brands Global, Inc. | | Morgan Stanley | | 2,740 | | 110,973 | | 213,583 | | 108,489 |
| Domino's Pizza, Inc. | | Morgan Stanley | | 90 | | 37,781 | | 36,631 | | (1,132) |
| European Wax Center, Inc., Class A | | Morgan Stanley | | 57 | | 1,731 | | 1,685 | | (54) |
| Golden Entertainment, Inc. | | Morgan Stanley | | 778 | | 34,171 | | 45,178 | | 11,039 |
| Houghton Mifflin Harcourt Co. | | Morgan Stanley | | 9,382 | | 153,011 | | 197,116 | | 44,129 |
| McDonald's Corp. | | Morgan Stanley | | 2,447 | | 570,536 | | 605,094 | | 50,342 |
| MGM Resorts International | | Morgan Stanley | | 2,509 | | 106,819 | | 105,227 | | (2,073) |
| Norwegian Cruise Line Holdings Ltd. (Bermuda) | | Morgan Stanley | | 2,370 | | 49,403 | | 51,856 | | 2,455 |
| Penn National Gaming, Inc. | | Morgan Stanley | | 4,326 | | 274,650 | | 183,509 | | (91,092) |
| Red Rock Resorts, Inc., Class A | | Morgan Stanley | | 2,331 | | 101,048 | | 113,193 | | 13,536 |
| Service Corp. International | | Morgan Stanley | | 1,046 | | 54,904 | | 68,848 | | 15,805 |
| Six Flags Entertainment Corp. | | Morgan Stanley | | 704 | | 29,637 | | 30,624 | | 985 |
| Starbucks Corp. | | Morgan Stanley | | 5,211 | | 452,185 | | 474,045 | | 22,681 |
| Strategic Education, Inc. | | Morgan Stanley | | 504 | | 30,956 | | 33,456 | | 2,552 |
| WW International, Inc. | | Morgan Stanley | | 3,908 | | 53,164 | | 39,979 | | (14,009) |
| Wyndham Hotels & Resorts, Inc. | | Morgan Stanley | | 1,397 | | 103,219 | | 118,312 | | 15,650 |
| Wynn Resorts Ltd. | | Morgan Stanley | | 723 | | 56,963 | | 57,652 | | (235) |
| Yum! Brands, Inc. | | Morgan Stanley | | 1,393 | | 134,556 | | 165,112 | | 37,459 |
| | | | | 58,062 | | 3,638,677 | | 3,995,881 | | 394,798 |
| Diversified Financials | | | | | | | | |
| Affiliated Managers Group, Inc. | | Morgan Stanley | | 880 | | 132,797 | | 124,036 | | (9,080) |
| Berkshire Hathaway, Inc., Class B | | Morgan Stanley | | 5,119 | | 1,195,555 | | 1,806,546 | | 612,603 |
| BlackRock, Inc. | | Morgan Stanley | | 1,171 | | 866,372 | | 894,843 | | 41,440 |
| Blackstone, Inc. | | Morgan Stanley | | 351 | | 45,549 | | 44,556 | | (992) |
| Cboe Global Markets, Inc. | | Morgan Stanley | | 569 | | 65,110 | | 65,105 | | 1 |
| CME Group, Inc. | | Morgan Stanley | | 1,721 | | 412,261 | | 409,357 | | (2,093) |
| Donnelley Financial Solutions, Inc. | | Morgan Stanley | | 1,924 | | 79,706 | | 63,992 | | (15,705) |
| Franklin Resources, Inc. | | Morgan Stanley | | 15,500 | | 483,879 | | 432,760 | | (44,894) |
| Intercontinental Exchange, Inc. | | Morgan Stanley | | 1,559 | | 206,202 | | 205,975 | | 1,607 |
| Invesco Ltd. (Bermuda) | | Morgan Stanley | | 7,371 | | 174,540 | | 169,975 | | (1,411) |
| Moody's Corp. | | Morgan Stanley | | 1,189 | | 422,607 | | 401,180 | | (20,466) |
| MSCI, Inc. | | Morgan Stanley | | 442 | | 210,789 | | 222,273 | | 11,677 |
| Nasdaq, Inc. | | Morgan Stanley | | 3,558 | | 484,131 | | 634,036 | | 159,813 |
| Open Lending Corp., Class A | | Morgan Stanley | | 88 | | 1,683 | | 1,664 | | (26) |
| S&P Global, Inc. | | Morgan Stanley | | 751 | | 294,507 | | 308,045 | | 16,818 |
| T Rowe Price Group, Inc. | | Morgan Stanley | | 5,405 | | 923,729 | | 817,182 | | (74,600) |
| | | | | 47,598 | | 5,999,417 | | 6,601,525 | | 674,692 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Energy | | | | | | | | |
| Antero Resources Corp. | | Morgan Stanley | | 929 | | $ 19,080 | | $ 28,362 | | $ 12,474 |
| APA Corp. | | Morgan Stanley | | 11,246 | | 267,304 | | 464,797 | | 199,220 |
| Arch Resources, Inc. | | Morgan Stanley | | 120 | | 16,824 | | 16,486 | | (343) |
| Baker Hughes Co. | | Morgan Stanley | | 11,078 | | 297,227 | | 403,350 | | 114,039 |
| Cactus, Inc., Class A | | Morgan Stanley | | 2 | | 45 | | 113 | | 62 |
| Canadian Natural Resources Ltd. (Canada) | | Morgan Stanley | | 7,059 | | 405,530 | | 437,517 | | 34,871 |
| Centennial Resource Development, Inc., Class A | | Morgan Stanley | | 29,803 | | 247,448 | | 240,510 | | (6,894) |
| ChampionX Corp. | | Morgan Stanley | | 3,952 | | 82,258 | | 96,745 | | 15,597 |
| Cheniere Energy, Inc. | | Morgan Stanley | | 3,004 | | 391,011 | | 416,505 | | 26,020 |
| Chevron Corp. | | Morgan Stanley | | 6,715 | | 890,658 | | 1,093,403 | | 210,983 |
| Comstock Resources, Inc. | | Morgan Stanley | | 3,680 | | 28,407 | | 48,024 | | 20,101 |
| Denbury, Inc. | | Morgan Stanley | | 2,526 | | 177,079 | | 198,468 | | 22,276 |
| Dril-Quip, Inc. | | Morgan Stanley | | 1,116 | | 40,262 | | 41,683 | | 1,421 |
| DT Midstream, Inc. | | Morgan Stanley | | 269 | | 14,593 | | 14,596 | | (2) |
| EOG Resources, Inc. | | Morgan Stanley | | 8,625 | | 720,518 | | 1,028,359 | | 347,854 |
| Exxon Mobil Corp. | | Morgan Stanley | | 13,857 | | 795,132 | | 1,144,450 | | 421,776 |
| Halliburton Co. | | Morgan Stanley | | 11,188 | | 272,569 | | 423,690 | | 161,700 |
| Helmerich & Payne, Inc. | | Morgan Stanley | | 4,345 | | 101,221 | | 185,879 | | 85,757 |
| Imperial Oil Ltd. (Canada) | | Morgan Stanley | | 1,760 | | 58,570 | | 85,043 | | 27,431 |
| Marathon Oil Corp. | | Morgan Stanley | | 32,128 | | 376,096 | | 806,734 | | 464,155 |
| Marathon Petroleum Corp. | | Morgan Stanley | | 17,411 | | 1,185,666 | | 1,488,640 | | 324,059 |
| Murphy Oil Corp. | | Morgan Stanley | | 5,068 | | 138,863 | | 204,697 | | 68,099 |
| Oasis Petroleum, Inc. | | Morgan Stanley | | 1,273 | | 162,445 | | 186,240 | | 24,217 |
| Occidental Petroleum Corp. | | Morgan Stanley | | 16,311 | | 455,105 | | 925,486 | | 533,207 |
| Oceaneering International, Inc. | | Morgan Stanley | | 11,546 | | 145,760 | | 175,037 | | 29,300 |
| ONEOK, Inc. | | Morgan Stanley | | 9,555 | | 506,610 | | 674,870 | | 187,408 |
| Ovintiv, Inc. | | Morgan Stanley | | 4,375 | | 114,622 | | 236,556 | | 124,472 |
| PDC Energy, Inc. | | Morgan Stanley | | 4,131 | | 252,080 | | 300,241 | | 49,700 |
| Pembina Pipeline Corp. (Canada) | | Morgan Stanley | | 4,370 | | 158,676 | | 164,312 | | 6,139 |
| Phillips 66 | | Morgan Stanley | | 3,260 | | 251,646 | | 281,631 | | 34,752 |
| Schlumberger NV (Curacao) | | Morgan Stanley | | 1,456 | | 43,615 | | 60,147 | | 16,796 |
| SM Energy Co. | | Morgan Stanley | | 598 | | 3,321 | | 23,292 | | 22,647 |
| Suncor Energy, Inc. (Canada) | | Morgan Stanley | | 3,456 | | 83,363 | | 112,631 | | 31,171 |
| Talos Energy, Inc. | | Morgan Stanley | | 5,585 | | 89,462 | | 88,187 | | (1,264) |
| Valero Energy Corp. | | Morgan Stanley | | 1,655 | | 114,708 | | 168,049 | | 56,531 |
| Vermilion Energy, Inc. (Canada) | | Morgan Stanley | | 12,147 | | 180,661 | | 255,330 | | 75,159 |
| Weatherford International PLC (Ireland) | | Morgan Stanley | | 14 | | 465 | | 466 | | 29 |
| Whiting Petroleum Corp. | | Morgan Stanley | | 768 | | 36,548 | | 62,600 | | 26,186 |
| Williams Cos., Inc. (The) | | Morgan Stanley | | 1,940 | | 62,983 | | 64,815 | | 1,837 |
| | | | | 258,321 | | 9,188,431 | | 12,647,941 | | 3,768,943 |
| Food & Staples Retailing | | | | | | | | |
| Costco Wholesale Corp. | | Morgan Stanley | | 1,789 | | 924,424 | | 1,030,196 | | 106,961 |
| Ingles Markets, Inc., Class A | | Morgan Stanley | | 100 | | 9,102 | | 8,905 | | (203) |
| Kroger Co. (The) | | Morgan Stanley | | 3,199 | | 146,109 | | 183,527 | | 38,416 |
| Sysco Corp. | | Morgan Stanley | | 2,493 | | 201,104 | | 203,553 | | 3,655 |
| United Natural Foods, Inc. | | Morgan Stanley | | 877 | | 36,363 | | 36,264 | | (1,203) |
| Walgreens Boots Alliance, Inc. | | Morgan Stanley | | 5,054 | | 203,123 | | 226,268 | | 34,857 |
| Walmart, Inc. | | Morgan Stanley | | 8,359 | | 1,036,370 | | 1,244,822 | | 245,779 |
| | | | | 21,871 | | 2,556,595 | | 2,933,535 | | 428,262 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Food, Beverage & Tobacco | | | | | | | | |
| Altria Group, Inc. | | Morgan Stanley | | 7,730 | | $ 352,619 | | $ 403,892 | | $ 98,656 |
| Archer-Daniels-Midland Co. | | Morgan Stanley | | 5,113 | | 303,329 | | 461,499 | | 166,161 |
| Brown-Forman Corp., Class B | | Morgan Stanley | | 1,366 | | 88,913 | | 91,549 | | 2,647 |
| Bunge Ltd. (Bermuda) | | Morgan Stanley | | 65 | | 6,966 | | 7,203 | | 230 |
| Coca-Cola Co. (The) | | Morgan Stanley | | 11,986 | | 645,107 | | 743,132 | | 130,939 |
| Coca-Cola Consolidated, Inc. | | Morgan Stanley | | 192 | | 89,234 | | 95,395 | | 6,038 |
| Constellation Brands, Inc., Class A | | Morgan Stanley | | 1,690 | | 335,381 | | 389,241 | | 58,023 |
| Darling Ingredients, Inc. | | Morgan Stanley | | 1,149 | | 86,530 | | 92,357 | | 5,837 |
| General Mills, Inc. | | Morgan Stanley | | 6,033 | | 398,011 | | 408,555 | | 14,827 |
| Hain Celestial Group, Inc. (The) | | Morgan Stanley | | 800 | | 26,628 | | 27,520 | | 890 |
| Hormel Foods Corp. | | Morgan Stanley | | 4,714 | | 238,214 | | 242,960 | | 4,769 |
| Kraft Heinz Co. (The) | | Morgan Stanley | | 7,095 | | 212,251 | | 279,472 | | 77,774 |
| Molson Coors Beverage Co., Class B | | Morgan Stanley | | 3,330 | | 157,040 | | 177,755 | | 24,646 |
| Mondelez International, Inc., Class A | | Morgan Stanley | | 7,910 | | 454,602 | | 496,590 | | 54,020 |
| Monster Beverage Corp. | | Morgan Stanley | | 7,035 | | 559,025 | | 562,096 | | 3,180 |
| PepsiCo, Inc. | | Morgan Stanley | | 3,625 | | 557,085 | | 606,752 | | 65,304 |
| Philip Morris International, Inc. | | Morgan Stanley | | 9,181 | | 851,819 | | 862,463 | | 42,749 |
| Sanderson Farms, Inc. | | Morgan Stanley | | 3,091 | | 573,387 | | 579,532 | | 8,367 |
| Tyson Foods, Inc., Class A | | Morgan Stanley | | 9,682 | | 792,228 | | 867,798 | | 85,060 |
| Vector Group Ltd. | | Morgan Stanley | | 5,930 | | 64,476 | | 71,397 | | 8,681 |
| | | | | 97,717 | | 6,792,845 | | 7,467,158 | | 858,798 |
| Health Care Equipment & Services | | | | | | | | |
| Abbott Laboratories | | Morgan Stanley | | 10,513 | | 1,257,639 | | 1,244,319 | | (6,653) |
| ABIOMED, Inc. | | Morgan Stanley | | 8 | | 2,707 | | 2,650 | | (39) |
| Acadia Healthcare Co., Inc. | | Morgan Stanley | | 4,715 | | 280,267 | | 308,974 | | 28,758 |
| Addus HomeCare Corp. | | Morgan Stanley | | 392 | | 31,349 | | 36,570 | | 5,234 |
| Align Technology, Inc. | | Morgan Stanley | | 1,121 | | 538,007 | | 488,756 | | (49,849) |
| Allscripts Healthcare Solutions, Inc. | | Morgan Stanley | | 7,127 | | 130,015 | | 160,500 | | 31,259 |
| Amedisys, Inc. | | Morgan Stanley | | 907 | | 120,948 | | 156,267 | | 37,394 |
| AMN Healthcare Services, Inc. | | Morgan Stanley | | 581 | | 58,105 | | 60,616 | | 2,515 |
| Anthem, Inc. | | Morgan Stanley | | 2,727 | | 1,064,094 | | 1,339,557 | | 286,551 |
| Apollo Medical Holdings, Inc. | | Morgan Stanley | | 5,648 | | 396,898 | | 273,759 | | (129,148) |
| Avanos Medical, Inc. | | Morgan Stanley | | 3,288 | | 105,411 | | 110,148 | | 4,751 |
| Axonics, Inc. | | Morgan Stanley | | 238 | | 14,827 | | 14,899 | | 66 |
| Centene Corp. | | Morgan Stanley | | 1,120 | | 93,624 | | 94,293 | | 681 |
| Cerner Corp. | | Morgan Stanley | | 5,419 | | 422,273 | | 507,002 | | 88,145 |
| Chemed Corp. | | Morgan Stanley | | 87 | | 41,321 | | 44,070 | | 2,898 |
| Cigna Corp. | | Morgan Stanley | | 607 | | 139,251 | | 145,443 | | 6,995 |
| CVS Health Corp. | | Morgan Stanley | | 1,527 | | 143,048 | | 154,548 | | 14,502 |
| DaVita, Inc. | | Morgan Stanley | | 1,407 | | 160,507 | | 159,146 | | (1,335) |
| Dexcom, Inc. | | Morgan Stanley | | 1,453 | | 708,399 | | 743,355 | | 30,652 |
| Doximity, Inc., Class A | | Morgan Stanley | | 802 | | 52,456 | | 41,776 | | (10,677) |
| Edwards Lifesciences Corp. | | Morgan Stanley | | 3,209 | | 343,111 | | 377,763 | | 35,292 |
| Ensign Group, Inc. (The) | | Morgan Stanley | | 505 | | 37,422 | | 45,455 | | 9,245 |
| Envista Holdings Corp. | | Morgan Stanley | | 2,970 | | 120,612 | | 144,669 | | 24,186 |
| Evolent Health, Inc., Class A | | Morgan Stanley | | 542 | | 16,497 | | 17,507 | | 1,005 |
| Fulgent Genetics, Inc. | | Morgan Stanley | | 5,770 | | 433,175 | | 360,106 | | (73,438) |
| Globus Medical, Inc., Class A | | Morgan Stanley | | 367 | | 23,273 | | 27,077 | | 4,904 |
| HCA Healthcare, Inc. | | Morgan Stanley | | 1,726 | | 281,285 | | 432,570 | | 162,291 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Health Care Equipment & Services — (continued) | | | | | | | | |
| Hologic, Inc. | | Morgan Stanley | | 5,712 | | $ 329,092 | | $ 438,796 | | $ 109,765 |
| ICU Medical, Inc. | | Morgan Stanley | | 611 | | 132,896 | | 136,033 | | 3,157 |
| IDEXX Laboratories, Inc. | | Morgan Stanley | | 245 | | 118,907 | | 134,030 | | 15,139 |
| Integra LifeSciences Holdings Corp. | | Morgan Stanley | | 2,835 | | 189,607 | | 182,177 | | (7,595) |
| Intuitive Surgical, Inc. | | Morgan Stanley | | 174 | | 47,310 | | 52,492 | | 5,184 |
| Laboratory Corp. of America Holdings | | Morgan Stanley | | 2,135 | | 501,544 | | 562,914 | | 61,380 |
| LivaNova PLC (United Kingdom) | | Morgan Stanley | | 4,721 | | 375,919 | | 386,319 | | 10,309 |
| Masimo Corp. | | Morgan Stanley | | 868 | | 132,636 | | 126,329 | | (8,174) |
| McKesson Corp. | | Morgan Stanley | | 2,287 | | 502,714 | | 700,119 | | 203,390 |
| MEDNAX, Inc. | | Morgan Stanley | | 4,908 | | 111,499 | | 115,240 | | 3,450 |
| Medtronic PLC (Ireland) | | Morgan Stanley | | 8,920 | | 902,674 | | 989,674 | | 114,076 |
| Merit Medical Systems, Inc. | | Morgan Stanley | | 1,394 | | 79,824 | | 92,729 | | 13,087 |
| Molina Healthcare, Inc. | | Morgan Stanley | | 660 | | 199,915 | | 220,169 | | 20,288 |
| Natus Medical, Inc. | | Morgan Stanley | | 39 | | 1,017 | | 1,025 | | — |
| NextGen Healthcare, Inc. | | Morgan Stanley | | 3,572 | | 54,190 | | 74,691 | | 20,555 |
| Omnicell, Inc. | | Morgan Stanley | | 932 | | 119,753 | | 120,685 | | 904 |
| Ortho Clinical Diagnostics Holdings PLC (United Kingdom) | | Morgan Stanley | | 6,671 | | 115,069 | | 124,481 | | 9,554 |
| Quest Diagnostics, Inc. | | Morgan Stanley | | 3,047 | | 427,750 | | 417,012 | | (9,136) |
| Select Medical Holdings Corp. | | Morgan Stanley | | 5,476 | | 106,908 | | 131,369 | | 25,721 |
| STAAR Surgical Co. | | Morgan Stanley | | 2,674 | | 295,102 | | 213,679 | | (84,442) |
| Tandem Diabetes Care, Inc. | | Morgan Stanley | | 620 | | 71,585 | | 72,100 | | 341 |
| Teleflex, Inc. | | Morgan Stanley | | 2,129 | | 706,842 | | 755,433 | | 49,359 |
| Tenet Healthcare Corp. | | Morgan Stanley | | 194 | | 10,844 | | 16,676 | | 5,826 |
| Tivity Health, Inc. | | Morgan Stanley | | 3,435 | | 35,104 | | 110,504 | | 78,182 |
| UnitedHealth Group, Inc. | | Morgan Stanley | | 1,959 | | 786,649 | | 999,031 | | 245,084 |
| Universal Health Services, Inc., Class B | | Morgan Stanley | | 187 | | 27,378 | | 27,106 | | (3,846) |
| Varex Imaging Corp. | | Morgan Stanley | | 2,342 | | 64,807 | | 49,861 | | (15,123) |
| Veeva Systems, Inc., Class A | | Morgan Stanley | | 505 | | 90,040 | | 107,292 | | 22,361 |
| | | | | 134,028 | | 13,554,096 | | 14,849,761 | | 1,394,981 |
| Household & Personal Products | | | | | | | | |
| Church & Dwight Co., Inc. | | Morgan Stanley | | 639 | | 56,051 | | 63,504 | | 7,783 |
| Colgate-Palmolive Co. | | Morgan Stanley | | 12,547 | | 914,226 | | 951,439 | | 68,203 |
| Coty, Inc., Class A | | Morgan Stanley | | 20,773 | | 172,185 | | 186,749 | | 14,379 |
| Estee Lauder Cos., Inc. (The), Class A | | Morgan Stanley | | 2,719 | | 788,341 | | 740,438 | | (48,965) |
| Kimberly-Clark Corp. | | Morgan Stanley | | 3,147 | | 405,239 | | 387,585 | | (15,470) |
| Procter & Gamble Co. (The) | | Morgan Stanley | | 7,118 | | 1,011,463 | | 1,087,630 | | 98,244 |
| | | | | 46,943 | | 3,347,505 | | 3,417,345 | | 124,174 |
| Materials | | | | | | | | |
| AdvanSix, Inc. | | Morgan Stanley | | 1,651 | | 68,175 | | 84,350 | | 16,883 |
| Alcoa Corp. | | Morgan Stanley | | 2,005 | | 95,667 | | 180,510 | | 85,534 |
| Ashland Global Holdings, Inc. | | Morgan Stanley | | 586 | | 50,499 | | 57,668 | | 8,985 |
| Avery Dennison Corp. | | Morgan Stanley | | 531 | | 106,228 | | 92,378 | | (13,933) |
| Avient Corp. | | Morgan Stanley | | 2,273 | | 79,847 | | 109,104 | | 29,729 |
| Balchem Corp. | | Morgan Stanley | | 489 | | 67,862 | | 66,846 | | (1,009) |
| Ball Corp. | | Morgan Stanley | | 579 | | 51,477 | | 52,110 | | 636 |
| Celanese Corp. | | Morgan Stanley | | 618 | | 95,217 | | 88,294 | | (6,589) |
| CF Industries Holdings, Inc. | | Morgan Stanley | | 5,135 | | 326,923 | | 529,213 | | 208,903 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Materials — (continued) | | | | | | | | |
| Chemours Co. (The) | | Morgan Stanley | | 2,271 | | $ 64,605 | | $ 71,491 | | $ 26,884 |
| Corteva, Inc. | | Morgan Stanley | | 6,940 | | 307,644 | | 398,911 | | 95,482 |
| Dow, Inc. | | Morgan Stanley | | 3,154 | | 176,708 | | 200,973 | | 41,335 |
| DuPont de Nemours, Inc. | | Morgan Stanley | | 13,805 | | 1,059,332 | | 1,015,772 | | (36,000) |
| Eagle Materials, Inc. | | Morgan Stanley | | 2,322 | | 321,606 | | 298,052 | | (22,515) |
| Eastman Chemical Co. | | Morgan Stanley | | 2,066 | | 229,397 | | 231,516 | | 3,914 |
| ERO Copper Corp. (Canada) | | Morgan Stanley | | 11 | | 156 | | 161 | | (3) |
| Ferro Corp. | | Morgan Stanley | | 5,440 | | 111,931 | | 118,266 | | 6,524 |
| FMC Corp. | | Morgan Stanley | | 3,391 | | 376,887 | | 446,154 | | 71,888 |
| Franco-Nevada Corp. (Canada) | | Morgan Stanley | | 151 | | 23,591 | | 24,088 | | 115 |
| Freeport-McMoRan, Inc. | | Morgan Stanley | | 7,138 | | 211,127 | | 355,044 | | 148,426 |
| Hecla Mining Co. | | Morgan Stanley | | 5,818 | | 38,148 | | 38,224 | | 77 |
| Huntsman Corp. | | Morgan Stanley | | 1,421 | | 54,249 | | 53,302 | | (822) |
| Ingevity Corp. | | Morgan Stanley | | 1,039 | | 48,016 | | 66,569 | | 19,691 |
| Innospec, Inc. | | Morgan Stanley | | 273 | | 25,911 | | 25,266 | | (611) |
| International Paper Co. | | Morgan Stanley | | 13,759 | | 632,978 | | 634,978 | | 10,481 |
| Intrepid Potash, Inc. | | Morgan Stanley | | 128 | | 10,520 | | 10,514 | | (11) |
| Kronos Worldwide, Inc. | | Morgan Stanley | | 92 | | 1,429 | | 1,428 | | (4) |
| Linde PLC (Ireland) | | Morgan Stanley | | 2,657 | | 614,861 | | 848,726 | | 254,027 |
| Louisiana-Pacific Corp. | | Morgan Stanley | | 1,136 | | 64,438 | | 70,568 | | 6,997 |
| LyondellBasell Industries N.V., Class A (Netherlands) | | Morgan Stanley | | 2,758 | | 265,785 | | 283,578 | | 22,796 |
| Methanex Corp. (Canada) | | Morgan Stanley | | 1,080 | | 52,506 | | 58,925 | | 6,524 |
| Minerals Technologies, Inc. | | Morgan Stanley | | 540 | | 28,934 | | 35,721 | | 6,924 |
| Mosaic Co. (The) | | Morgan Stanley | | 367 | | 23,206 | | 24,406 | | 1,406 |
| New Gold, Inc. (Canada) | | Morgan Stanley | | 43,329 | | 76,873 | | 77,992 | | 1,127 |
| Newmont Corp. | | Morgan Stanley | | 706 | | 55,494 | | 56,092 | | 601 |
| Nucor Corp. | | Morgan Stanley | | 4,170 | | 377,848 | | 619,870 | | 249,421 |
| Nutrien Ltd. (Canada) | | Morgan Stanley | | 2,403 | | 214,392 | | 249,888 | | 36,461 |
| O-I Glass, Inc. | | Morgan Stanley | | 6,830 | | 81,823 | | 90,019 | | 8,206 |
| Olin Corp. | | Morgan Stanley | | 5,183 | | 238,484 | | 270,967 | | 35,375 |
| Pan American Silver Corp. (Canada) | | Morgan Stanley | | 6,137 | | 135,965 | | 167,540 | | 37,370 |
| PPG Industries, Inc. | | Morgan Stanley | | 1,884 | | 237,326 | | 246,936 | | 9,734 |
| Reliance Steel & Aluminum Co. | | Morgan Stanley | | 517 | | 92,986 | | 94,792 | | 2,244 |
| Royal Gold, Inc. | | Morgan Stanley | | 801 | | 96,233 | | 113,165 | | 17,322 |
| Sealed Air Corp. | | Morgan Stanley | | 5,159 | | 310,214 | | 345,447 | | 38,005 |
| Sensient Technologies Corp. | | Morgan Stanley | | 1,312 | | 116,907 | | 110,142 | | (6,410) |
| SSR Mining, Inc. (Canada) | | Morgan Stanley | | 12,168 | | 211,362 | | 264,654 | | 53,972 |
| Sylvamo Corp. | | Morgan Stanley | | 1,105 | | 39,440 | | 36,774 | | (2,666) |
| TriMas Corp. | | Morgan Stanley | | 82 | | 2,639 | | 2,631 | | (15) |
| Tronox Holdings PLC, Class A (United Kingdom) | | Morgan Stanley | | 1,362 | | 25,880 | | 26,954 | | 1,152 |
| United States Steel Corp. | | Morgan Stanley | | 448 | | 8,352 | | 16,908 | | 8,571 |
| Warrior Met Coal, Inc. | | Morgan Stanley | | 3,669 | | 140,800 | | 136,157 | | (4,622) |
| Westlake Corp. | | Morgan Stanley | | 715 | | 66,047 | | 88,231 | | 22,664 |
| Yamana Gold, Inc. (Canada) | | Morgan Stanley | | 48,781 | | 271,204 | | 272,198 | | 2,041 |
| | | | | 238,385 | | 8,486,129 | | 9,860,463 | | 1,503,217 |
| Media & Entertainment | | | | | | | | |
| Activision Blizzard, Inc. | | Morgan Stanley | | 6,479 | | 457,598 | | 519,033 | | 61,947 |
| Alphabet, Inc., Class A | | Morgan Stanley | | 1,106 | | 1,633,721 | | 3,076,173 | | 1,442,784 |
| AMC Entertainment Holdings, Inc., Class A | | Morgan Stanley | | 12,028 | | 313,479 | | 296,370 | | (17,052) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Media & Entertainment — (continued) | | | | | | | | |
| AMC Networks, Inc., Class A | | Morgan Stanley | | 1,217 | | $ 44,529 | | $ 49,447 | | $ 5,218 |
| Bumble, Inc., Class A | | Morgan Stanley | | 10,617 | | 284,016 | | 307,681 | | 23,716 |
| Cars.com, Inc. | | Morgan Stanley | | 25 | | 365 | | 361 | | (13) |
| Charter Communications, Inc., Class A | | Morgan Stanley | | 1,942 | | 1,117,207 | | 1,059,400 | | (57,904) |
| Clear Channel Outdoor Holdings, Inc. | | Morgan Stanley | | 5,737 | | 20,987 | | 19,850 | | (1,140) |
| Comcast Corp., Class A | | Morgan Stanley | | 10,381 | | 493,130 | | 486,038 | | (7,304) |
| Discovery, Inc., Class A | | Morgan Stanley | | 30,163 | | 771,839 | | 751,662 | | (20,024) |
| Fox Corp., Class A | | Morgan Stanley | | 575 | | 20,399 | | 22,684 | | 2,768 |
| Interpublic Group of Cos., Inc. (The) | | Morgan Stanley | | 8,845 | | 271,573 | | 313,555 | | 61,330 |
| Live Nation Entertainment, Inc. | | Morgan Stanley | | 135 | | 15,909 | | 15,881 | | (32) |
| Match Group, Inc. | | Morgan Stanley | | 7,825 | | 997,691 | | 850,890 | | (154,183) |
| Meta Platforms, Inc., Class A | | Morgan Stanley | | 14,335 | | 3,117,445 | | 3,187,531 | | 61,386 |
| Netflix, Inc. | | Morgan Stanley | | 3,552 | | 1,624,395 | | 1,330,544 | | (293,520) |
| News Corp., Class A | | Morgan Stanley | | 10,627 | | 122,040 | | 235,388 | | 117,092 |
| Pinterest, Inc., Class A | | Morgan Stanley | | 1,224 | | 28,869 | | 30,123 | | 1,481 |
| PubMatic, Inc., Class A | | Morgan Stanley | | 5,977 | | 154,380 | | 156,119 | | 168 |
| Scholastic Corp. | | Morgan Stanley | | 10 | | 412 | | 403 | | (17) |
| Take-Two Interactive Software, Inc. | | Morgan Stanley | | 279 | | 39,563 | | 42,893 | | 4,354 |
| Thryv Holdings, Inc. | | Morgan Stanley | | 890 | | 27,822 | | 25,027 | | (2,797) |
| TripAdvisor, Inc. | | Morgan Stanley | | 3,027 | | 80,631 | | 82,092 | | 1,470 |
| Twitter, Inc. | | Morgan Stanley | | 18,156 | | 609,760 | | 702,456 | | 92,814 |
| Walt Disney Co. (The) | | Morgan Stanley | | 2,560 | | 370,978 | | 351,130 | | (19,779) |
| Yelp, Inc. | | Morgan Stanley | | 1,500 | | 53,267 | | 51,165 | | (2,099) |
| Ziff Davis, Inc. | | Morgan Stanley | | 1,784 | | 178,147 | | 172,656 | | (5,566) |
| | | | | 160,996 | | 12,850,152 | | 14,136,552 | | 1,295,098 |
| Pharmaceuticals, Biotechnology & Life Sciences | | | | | | | | |
| Agilent Technologies, Inc. | | Morgan Stanley | | 4,437 | | 601,786 | | 587,148 | | (12,683) |
| Alnylam Pharmaceuticals, Inc. | | Morgan Stanley | | 66 | | 10,928 | | 10,777 | | (157) |
| Amphastar Pharmaceuticals, Inc. | | Morgan Stanley | | 380 | | 13,317 | | 13,642 | | 320 |
| Avantor, Inc. | | Morgan Stanley | | 2,479 | | 84,103 | | 83,840 | | (254) |
| Biogen, Inc. | | Morgan Stanley | | 2,450 | | 524,541 | | 515,970 | | (8,470) |
| Bio-Rad Laboratories, Inc., Class A | | Morgan Stanley | | 857 | | 539,617 | | 482,688 | | (58,101) |
| Bio-Techne Corp. | | Morgan Stanley | | 280 | | 112,796 | | 121,251 | | 9,807 |
| Bristol-Myers Squibb Co. | | Morgan Stanley | | 9,991 | | 657,012 | | 729,643 | | 78,155 |
| Bruker Corp. | | Morgan Stanley | | 456 | | 29,399 | | 29,321 | | 89 |
| Charles River Laboratories International, Inc. | | Morgan Stanley | | 1,634 | | 458,019 | | 464,007 | | 5,996 |
| Corcept Therapeutics, Inc. | | Morgan Stanley | | 2,743 | | 48,770 | | 61,772 | | 13,082 |
| Cronos Group, Inc. (Canada) | | Morgan Stanley | | 2,303 | | 8,755 | | 8,959 | | 197 |
| Danaher Corp. | | Morgan Stanley | | 1,082 | | 275,890 | | 317,383 | | 46,174 |
| Dynavax Technologies Corp. | | Morgan Stanley | | 6,192 | | 68,957 | | 67,121 | | (1,829) |
| Elanco Animal Health, Inc. | | Morgan Stanley | | 10,402 | | 285,415 | | 271,388 | | (13,975) |
| Gilead Sciences, Inc. | | Morgan Stanley | | 5,618 | | 330,549 | | 333,990 | | 3,930 |
| Harmony Biosciences Holdings, Inc. | | Morgan Stanley | | 498 | | 21,015 | | 24,228 | | 3,209 |
| Horizon Therapeutics PLC (Ireland) | | Morgan Stanley | | 898 | | 95,318 | | 94,479 | | (827) |
| Innoviva, Inc. | | Morgan Stanley | | 3,643 | | 54,647 | | 70,492 | | 17,065 |
| Ionis Pharmaceuticals, Inc. | | Morgan Stanley | | 1,570 | | 56,803 | | 58,153 | | 1,353 |
| IQVIA Holdings, Inc. | | Morgan Stanley | | 311 | | 69,934 | | 71,906 | | 2,321 |
| Ironwood Pharmaceuticals, Inc. | | Morgan Stanley | | 3,697 | | 40,279 | | 46,508 | | 6,230 |
| iTeos Therapeutics, Inc. | | Morgan Stanley | | 334 | | 10,982 | | 10,748 | | (239) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Pharmaceuticals, Biotechnology & Life Sciences — (continued) | | | | | | | | |
| Johnson & Johnson | | Morgan Stanley | | 5,182 | | $ 832,864 | | $ 918,406 | | $125,389 |
| Merck & Co., Inc. | | Morgan Stanley | | 14,587 | | 1,062,581 | | 1,196,863 | | 177,395 |
| Mettler-Toledo International, Inc. | | Morgan Stanley | | 414 | | 601,869 | | 568,501 | | (37,507) |
| Moderna, Inc. | | Morgan Stanley | | 8,163 | | 1,229,461 | | 1,406,158 | | 178,066 |
| Organogenesis Holdings, Inc. | | Morgan Stanley | | 783 | | 5,913 | | 5,966 | | 47 |
| Organon & Co. | | Morgan Stanley | | 6,064 | | 193,055 | | 211,816 | | 22,905 |
| PerkinElmer, Inc. | | Morgan Stanley | | 1,090 | | 180,945 | | 190,161 | | 9,503 |
| Pfizer, Inc. | | Morgan Stanley | | 23,014 | | 956,610 | | 1,191,435 | | 275,984 |
| Prestige Consumer Healthcare, Inc. | | Morgan Stanley | | 1,231 | | 55,997 | | 65,169 | | 9,176 |
| Prothena Corp. PLC (Ireland) | | Morgan Stanley | | 675 | | 27,540 | | 24,685 | | (3,863) |
| QIAGEN NV (Netherlands) | | Morgan Stanley | | 1,266 | | 57,806 | | 62,034 | | 4,134 |
| Regeneron Pharmaceuticals, Inc. | | Morgan Stanley | | 637 | | 387,087 | | 444,894 | | 60,639 |
| REGENXBIO, Inc. | | Morgan Stanley | | 689 | | 20,980 | | 22,868 | | 1,885 |
| Sarepta Therapeutics, Inc. | | Morgan Stanley | | 1,504 | | 120,012 | | 117,492 | | (2,503) |
| Sundial Growers, Inc. (Canada) | | Morgan Stanley | | 225,171 | | 142,624 | | 157,620 | | 15,017 |
| Syndax Pharmaceuticals, Inc. | | Morgan Stanley | | 58 | | 1,017 | | 1,008 | | 120 |
| Thermo Fisher Scientific, Inc. | | Morgan Stanley | | 590 | | 338,289 | | 348,483 | | 10,421 |
| Vertex Pharmaceuticals, Inc. | | Morgan Stanley | | 568 | | 142,953 | | 148,231 | | 5,300 |
| Viatris, Inc. | | Morgan Stanley | | 17,031 | | 177,858 | | 185,297 | | 7,468 |
| Waters Corp. | | Morgan Stanley | | 1,018 | | 298,319 | | 315,977 | | 17,713 |
| West Pharmaceutical Services, Inc. | | Morgan Stanley | | 484 | | 182,073 | | 198,784 | | 17,348 |
| Xencor, Inc. | | Morgan Stanley | | 308 | | 8,741 | | 8,217 | | (530) |
| Zoetis, Inc. | | Morgan Stanley | | 3,578 | | 701,131 | | 674,775 | | (25,175) |
| | | | | 376,426 | | 12,124,557 | | 12,940,254 | | 960,325 |
| Retailing | | | | | | | | |
| Academy Sports & Outdoors, Inc. | | Morgan Stanley | | 2,407 | | 83,837 | | 94,836 | | 11,239 |
| Advance Auto Parts, Inc. | | Morgan Stanley | | 1,199 | | 233,661 | | 248,145 | | 23,669 |
| Amazon.com, Inc. | | Morgan Stanley | | 899 | | 2,492,096 | | 2,930,695 | | 439,111 |
| AutoNation, Inc. | | Morgan Stanley | | 1,347 | | 139,794 | | 134,134 | | (5,639) |
| AutoZone, Inc. | | Morgan Stanley | | 424 | | 769,951 | | 866,902 | | 101,161 |
| Bath & Body Works, Inc. | | Morgan Stanley | | 16,293 | | 667,462 | | 778,805 | | 115,343 |
| Best Buy Co., Inc. | | Morgan Stanley | | 1,181 | | 72,330 | | 107,353 | | 41,154 |
| Buckle, Inc. (The) | | Morgan Stanley | | 2,499 | | 76,272 | | 82,567 | | 14,971 |
| Burlington Stores, Inc. | | Morgan Stanley | | 157 | | 33,937 | | 28,601 | | (6,749) |
| Dick's Sporting Goods, Inc. | | Morgan Stanley | | 409 | | 41,747 | | 40,908 | | (838) |
| Dillard's, Inc., Class A | | Morgan Stanley | | 250 | | 61,611 | | 67,098 | | 5,662 |
| Dollar General Corp. | | Morgan Stanley | | 1,364 | | 303,461 | | 303,667 | | 130 |
| eBay, Inc. | | Morgan Stanley | | 16,093 | | 969,785 | | 921,485 | | (43,916) |
| Etsy, Inc. | | Morgan Stanley | | 3,469 | | 495,271 | | 431,127 | | (64,048) |
| Genesco, Inc. | | Morgan Stanley | | 197 | | 13,467 | | 12,531 | | (941) |
| Genuine Parts Co. | | Morgan Stanley | | 291 | | 26,907 | | 36,672 | | 14,550 |
| Guess?, Inc. | | Morgan Stanley | | 3,383 | | 51,458 | | 73,919 | | 24,897 |
| Home Depot, Inc. (The) | | Morgan Stanley | | 1,956 | | 602,688 | | 585,489 | | 2,157 |
| LKQ Corp. | | Morgan Stanley | | 5,761 | | 270,842 | | 261,607 | | (6,306) |
| Lowe's Cos., Inc. | | Morgan Stanley | | 5,007 | | 771,251 | | 1,012,365 | | 257,800 |
| Macy's, Inc. | | Morgan Stanley | | 23 | | 568 | | 560 | | (16) |
| MarineMax, Inc. | | Morgan Stanley | | 3,151 | | 153,847 | | 126,859 | | (26,964) |
| ODP Corp. (The) | | Morgan Stanley | | 1,104 | | 42,261 | | 50,596 | | 8,682 |
| O'Reilly Automotive, Inc. | | Morgan Stanley | | 578 | | 384,120 | | 395,907 | | 11,859 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Retailing — (continued) | | | | | | | | |
| Overstock.com, Inc. | | Morgan Stanley | | 10,639 | | $ 547,252 | | $ 468,169 | | $ (78,976) |
| Penske Automotive Group, Inc. | | Morgan Stanley | | 445 | | 38,262 | | 41,705 | | 4,070 |
| RH | | Morgan Stanley | | 499 | | 187,033 | | 162,719 | | (30,607) |
| Ross Stores, Inc. | | Morgan Stanley | | 4,370 | | 457,976 | | 395,310 | | (60,941) |
| Shoe Carnival, Inc. | | Morgan Stanley | | 1,842 | | 53,888 | | 53,713 | | (363) |
| Shutterstock, Inc. | | Morgan Stanley | | 1,061 | | 71,570 | | 98,758 | | 30,553 |
| Signet Jewelers Ltd. (Bermuda) | | Morgan Stanley | | 3,208 | | 229,947 | | 233,222 | | 3,554 |
| Sonic Automotive, Inc., Class A | | Morgan Stanley | | 1,116 | | 24,061 | | 47,441 | | 25,532 |
| Target Corp. | | Morgan Stanley | | 4,496 | | 979,605 | | 954,141 | | (16,858) |
| TJX Cos, Inc. (The) | | Morgan Stanley | | 649 | | 39,911 | | 39,316 | | (577) |
| Ulta Beauty, Inc. | | Morgan Stanley | | 664 | | 249,770 | | 264,418 | | 14,967 |
| Victoria's Secret & Co. | | Morgan Stanley | | 1,981 | | 97,401 | | 101,744 | | 4,122 |
| Williams-Sonoma, Inc. | | Morgan Stanley | | 325 | | 48,350 | | 47,125 | | (1,143) |
| | | | | 100,737 | | 11,783,650 | | 12,500,609 | | 810,301 |
| Semiconductors & Semiconductor Equipment | | | | | | | | |
| Advanced Micro Devices, Inc. | | Morgan Stanley | | 13,919 | | 1,545,186 | | 1,521,903 | | (17,382) |
| Allegro MicroSystems, Inc. | | Morgan Stanley | | 3,982 | | 110,185 | | 113,089 | | 2,910 |
| Alpha & Omega Semiconductor Ltd. (Bermuda) | | Morgan Stanley | | 5,240 | | 260,574 | | 286,366 | | 25,839 |
| Applied Materials, Inc. | | Morgan Stanley | | 3,771 | | 476,527 | | 497,018 | | 25,824 |
| Axcelis Technologies, Inc. | | Morgan Stanley | | 4,705 | | 279,958 | | 355,369 | | 77,434 |
| Broadcom, Inc. | | Morgan Stanley | | 1,362 | | 766,874 | | 857,624 | | 104,713 |
| CEVA, Inc. | | Morgan Stanley | | 240 | | 9,527 | | 9,756 | | 223 |
| Cohu, Inc. | | Morgan Stanley | | 3,131 | | 99,838 | | 92,678 | | (7,221) |
| Diodes, Inc. | | Morgan Stanley | | 2,013 | | 193,079 | | 175,111 | | (18,036) |
| Ichor Holdings Ltd. (Cayman Islands) | | Morgan Stanley | | 806 | | 36,788 | | 28,710 | | (8,625) |
| Intel Corp. | | Morgan Stanley | | 7,711 | | 346,216 | | 382,157 | | 36,720 |
| KLA Corp. | | Morgan Stanley | | 1,709 | | 597,384 | | 625,597 | | 33,052 |
| Lam Research Corp. | | Morgan Stanley | | 537 | | 283,192 | | 288,697 | | 5,965 |
| Lattice Semiconductor Corp. | | Morgan Stanley | | 6,234 | | 363,544 | | 379,962 | | 16,486 |
| MACOM Technology Solutions Holdings, Inc. | | Morgan Stanley | | 770 | | 22,528 | | 46,100 | | 24,407 |
| Microchip Technology, Inc. | | Morgan Stanley | | 1,025 | | 76,300 | | 77,019 | | 880 |
| Micron Technology, Inc. | | Morgan Stanley | | 20,886 | | 1,558,031 | | 1,626,811 | | 69,137 |
| NVIDIA Corp. | | Morgan Stanley | | 3,664 | | 962,993 | | 999,759 | | 37,116 |
| NXP Semiconductors N.V. (Netherlands) | | Morgan Stanley | | 2,269 | | 426,984 | | 419,947 | | (2,924) |
| ON Semiconductor Corp. | | Morgan Stanley | | 5,357 | | 241,937 | | 335,402 | | 96,177 |
| Onto Innovation, Inc. | | Morgan Stanley | | 2,708 | | 218,457 | | 235,298 | | 16,848 |
| Photronics, Inc. | | Morgan Stanley | | 2,104 | | 37,197 | | 35,705 | | (1,493) |
| Power Integrations, Inc. | | Morgan Stanley | | 2,227 | | 201,031 | | 206,398 | | 5,305 |
| Qorvo, Inc. | | Morgan Stanley | | 760 | | 97,939 | | 94,316 | | (3,610) |
| QUALCOMM, Inc. | | Morgan Stanley | | 14,744 | | 2,203,865 | | 2,253,178 | | 63,089 |
| Rambus, Inc. | | Morgan Stanley | | 8,134 | | 194,114 | | 259,393 | | 65,349 |
| Semtech Corp. | | Morgan Stanley | | 2,867 | | 225,586 | | 198,798 | | (26,749) |
| Silicon Laboratories, Inc. | | Morgan Stanley | | 1,310 | | 240,508 | | 196,762 | | (45,509) |
| Skyworks Solutions, Inc. | | Morgan Stanley | | 3,025 | | 410,046 | | 403,172 | | (5,574) |
| Synaptics, Inc. | | Morgan Stanley | | 1,199 | | 203,186 | | 239,201 | | 36,049 |
| Teradyne, Inc. | | Morgan Stanley | | 4,368 | | 591,524 | | 516,429 | | (74,163) |
| | | | | 132,777 | | 13,281,098 | | 13,757,725 | | 532,237 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Software & Services | | | | | | | | |
| A10 Networks, Inc. | | Morgan Stanley | | 2,500 | | $ 35,082 | | $ 34,875 | | $ (125) |
| Accenture PLC, Class A (Ireland) | | Morgan Stanley | | 3,567 | | 1,017,877 | | 1,202,899 | | 198,512 |
| ACI Worldwide, Inc. | | Morgan Stanley | | 23 | | 750 | | 724 | | (33) |
| Adobe, Inc. | | Morgan Stanley | | 2,627 | | 1,196,470 | | 1,196,914 | | (17,888) |
| Agilysys, Inc. | | Morgan Stanley | | 66 | | 2,688 | | 2,632 | | (63) |
| Akamai Technologies, Inc. | | Morgan Stanley | | 1,606 | | 163,974 | | 191,740 | | 28,201 |
| Alkami Technology, Inc. | | Morgan Stanley | | 20 | | 285 | | 286 | | (6) |
| Appian Corp. | | Morgan Stanley | | 531 | | 27,931 | | 32,295 | | 4,362 |
| Autodesk, Inc. | | Morgan Stanley | | 2,984 | | 618,868 | | 639,620 | | 21,057 |
| Automatic Data Processing, Inc. | | Morgan Stanley | | 4,832 | | 927,981 | | 1,099,473 | | 200,323 |
| Bentley Systems, Inc., Class B | | Morgan Stanley | | 2,442 | | 100,982 | | 107,888 | | 6,671 |
| Black Knight, Inc. | | Morgan Stanley | | 432 | | 28,360 | | 25,052 | | (3,310) |
| Box, Inc., Class A | | Morgan Stanley | | 1,191 | | 27,083 | | 34,610 | | 7,525 |
| Bread Financial Holdings, Inc. | | Morgan Stanley | | 611 | | 40,110 | | 34,308 | | (6,681) |
| Cadence Design Systems, Inc. | | Morgan Stanley | | 1,326 | | 188,562 | | 218,074 | | 43,125 |
| Cerence, Inc. | | Morgan Stanley | | 713 | | 61,566 | | 25,739 | | (44,117) |
| CGI, Inc. (Canada) | | Morgan Stanley | | 907 | | 64,861 | | 72,406 | | 7,550 |
| Concentrix Corp. | | Morgan Stanley | | 330 | | 54,527 | | 54,965 | | 524 |
| Crowdstrike Holdings, Inc., Class A | | Morgan Stanley | | 1,408 | | 308,488 | | 319,729 | | 11,297 |
| Datadog, Inc., Class A | | Morgan Stanley | | 4,112 | | 603,892 | | 622,845 | | 19,070 |
| Descartes Systems Group, Inc. (The) (Canada) | | Morgan Stanley | | 69 | | 5,145 | | 5,055 | | (97) |
| DigitalOcean Holdings, Inc. | | Morgan Stanley | | 3,238 | | 209,804 | | 187,318 | | (22,450) |
| Dropbox, Inc., Class A | | Morgan Stanley | | 3,443 | | 72,147 | | 80,050 | | 8,434 |
| DXC Technology Co. | | Morgan Stanley | | 8,722 | | 328,300 | | 284,599 | | (43,818) |
| Euronet Worldwide, Inc. | | Morgan Stanley | | 204 | | 23,447 | | 26,551 | | 3,100 |
| Fair Isaac Corp. | | Morgan Stanley | | 1,065 | | 509,150 | | 496,780 | | (12,272) |
| Fidelity National Information Services, Inc. | | Morgan Stanley | | 431 | | 42,263 | | 43,281 | | 1,019 |
| Fiserv, Inc. | | Morgan Stanley | | 4,249 | | 408,699 | | 430,849 | | 22,227 |
| FleetCor Technologies, Inc. | | Morgan Stanley | | 1,414 | | 312,689 | | 352,171 | | 39,539 |
| Fortinet, Inc. | | Morgan Stanley | | 3,472 | | 602,502 | | 1,186,521 | | 584,137 |
| Gartner, Inc. | | Morgan Stanley | | 2,190 | | 491,726 | | 651,437 | | 159,777 |
| Global Payments, Inc. | | Morgan Stanley | | 1,390 | | 188,137 | | 190,208 | | 2,102 |
| Globant S.A. (Luxembourg) | | Morgan Stanley | | 618 | | 149,465 | | 161,959 | | 12,459 |
| GoDaddy, Inc., Class A | | Morgan Stanley | | 3,214 | | 254,193 | | 269,012 | | 15,291 |
| HubSpot, Inc. | | Morgan Stanley | | 1,523 | | 723,164 | | 723,334 | | 312 |
| InterDigital, Inc. | | Morgan Stanley | | 1,210 | | 82,460 | | 77,198 | | (5,015) |
| International Business Machines Corp. | | Morgan Stanley | | 4,811 | | 614,474 | | 625,526 | | 20,237 |
| Intuit, Inc. | | Morgan Stanley | | 1,479 | | 680,632 | | 711,162 | | 32,227 |
| Manhattan Associates, Inc. | | Morgan Stanley | | 1,539 | | 221,741 | | 213,475 | | (8,929) |
| Mastercard, Inc., Class A | | Morgan Stanley | | 156 | | 48,797 | | 55,751 | | 24,693 |
| Microsoft Corp. | | Morgan Stanley | | 6,641 | | 1,573,581 | | 2,047,487 | | 522,143 |
| MongoDB, Inc. | | Morgan Stanley | | 1,613 | | 666,174 | | 715,511 | | 49,468 |
| NortonLifeLock, Inc. | | Morgan Stanley | | 20,556 | | 464,127 | | 545,145 | | 95,607 |
| Open Text Corp. (Canada) | | Morgan Stanley | | 1,919 | | 78,256 | | 81,366 | | 5,486 |
| Oracle Corp. | | Morgan Stanley | | 30,269 | | 2,421,969 | | 2,504,154 | | 124,135 |
| Paychex, Inc. | | Morgan Stanley | | 6,557 | | 617,283 | | 894,834 | | 306,336 |
| Paycom Software, Inc. | | Morgan Stanley | | 2,091 | | 748,966 | | 724,281 | | (31,332) |
| Paylocity Holding Corp. | | Morgan Stanley | | 207 | | 39,675 | | 42,594 | | 2,920 |
| PayPal Holdings, Inc. | | Morgan Stanley | | 18,333 | | 2,211,117 | | 2,120,211 | | (98,792) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Software & Services — (continued) | | | | | | | | |
| Progress Software Corp. | | Morgan Stanley | | 1,134 | | $ 51,480 | | $ 53,400 | | $ 2,208 |
| Sailpoint Technologies Holdings, Inc. | | Morgan Stanley | | 118 | | 5,990 | | 6,039 | | 43 |
| Salesforce, Inc. | | Morgan Stanley | | 1,651 | | 342,906 | | 350,540 | | 7,698 |
| ServiceNow, Inc. | | Morgan Stanley | | 3,537 | | 1,588,103 | | 1,969,720 | | 381,941 |
| Splunk, Inc. | | Morgan Stanley | | 348 | | 49,630 | | 51,716 | | 2,088 |
| SPS Commerce, Inc. | | Morgan Stanley | | 717 | | 77,738 | | 94,070 | | 16,340 |
| SS&C Technologies Holdings, Inc. | | Morgan Stanley | | 869 | | 63,141 | | 65,192 | | 2,472 |
| Synopsys, Inc. | | Morgan Stanley | | 2,241 | | 657,695 | | 746,858 | | 95,289 |
| Teradata Corp. | | Morgan Stanley | | 2,096 | | 62,051 | | 103,312 | | 44,656 |
| Trade Desk, Inc. (The), Class A | | Morgan Stanley | | 5,149 | | 306,068 | | 356,568 | | 57,224 |
| TTEC Holdings, Inc. | | Morgan Stanley | | 31 | | 2,611 | | 2,558 | | (60) |
| Varonis Systems, Inc. | | Morgan Stanley | | 1,056 | | 49,679 | | 50,202 | | 526 |
| Verint Systems, Inc. | | Morgan Stanley | | 2,858 | | 124,961 | | 147,759 | | 23,267 |
| VeriSign, Inc. | | Morgan Stanley | | 1,375 | | 274,250 | | 305,882 | | 32,654 |
| Visa, Inc., Class A | | Morgan Stanley | | 372 | | 71,249 | | 82,498 | | 11,346 |
| Western Union Co. (The) | | Morgan Stanley | | 9,752 | | 170,475 | | 182,752 | | 13,155 |
| Zendesk, Inc. | | Morgan Stanley | | 1,218 | | 145,251 | | 146,513 | | 1,284 |
| | | | | 199,373 | | 24,303,698 | | 27,080,473 | | 2,977,069 |
| Technology Hardware & Equipment | | | | | | | | |
| 3D Systems Corp. | | Morgan Stanley | | 11,304 | | 265,285 | | 188,551 | | (82,919) |
| Amphenol Corp., Class A | | Morgan Stanley | | 1,257 | | 95,207 | | 94,715 | | (261) |
| Apple, Inc. | | Morgan Stanley | | 22,503 | | 2,460,798 | | 3,929,249 | | 1,501,007 |
| Badger Meter, Inc. | | Morgan Stanley | | 690 | | 68,340 | | 68,800 | | 524 |
| Belden, Inc. | | Morgan Stanley | | 618 | | 34,551 | | 34,237 | | (284) |
| CDW Corp. | | Morgan Stanley | | 493 | | 84,100 | | 88,193 | | 4,256 |
| Ciena Corp. | | Morgan Stanley | | 859 | | 55,229 | | 52,081 | | (4,492) |
| Cisco Systems, Inc. | | Morgan Stanley | | 28,793 | | 1,566,995 | | 1,605,498 | | 85,737 |
| Coherent, Inc. | | Morgan Stanley | | 608 | | 154,139 | | 166,203 | | 12,615 |
| Corning, Inc. | | Morgan Stanley | | 19,686 | | 682,725 | | 726,610 | | 56,565 |
| CTS Corp. | | Morgan Stanley | | 6 | | 212 | | 212 | | (8) |
| Dell Technologies, Inc., Class C | | Morgan Stanley | | 1,378 | | 70,726 | | 69,162 | | (1,465) |
| Extreme Networks, Inc. | | Morgan Stanley | | 16,081 | | 181,092 | | 196,349 | | 15,284 |
| Hewlett Packard Enterprise Co. | | Morgan Stanley | | 24,835 | | 402,402 | | 414,993 | | 17,506 |
| HP, Inc. | | Morgan Stanley | | 21,887 | | 355,814 | | 794,498 | | 502,532 |
| Infinera Corp. | | Morgan Stanley | | 5,821 | | 48,481 | | 50,468 | | 1,966 |
| IPG Photonics Corp. | | Morgan Stanley | | 3,716 | | 562,763 | | 407,868 | | (156,169) |
| Itron, Inc. | | Morgan Stanley | | 1,025 | | 55,919 | | 53,997 | | (2,072) |
| Jabil, Inc. | | Morgan Stanley | | 5,129 | | 312,681 | | 316,613 | | 4,000 |
| Juniper Networks, Inc. | | Morgan Stanley | | 2,474 | | 78,250 | | 91,934 | | 14,412 |
| Keysight Technologies, Inc. | | Morgan Stanley | | 3,225 | | 521,046 | | 509,453 | | (11,735) |
| Knowles Corp. | | Morgan Stanley | | 3,903 | | 79,364 | | 84,032 | | 4,834 |
| Lumentum Holdings, Inc. | | Morgan Stanley | | 568 | | 51,548 | | 55,437 | | 4,306 |
| Motorola Solutions, Inc. | | Morgan Stanley | | 2,477 | | 580,974 | | 599,929 | | 20,872 |
| NetApp, Inc. | | Morgan Stanley | | 5,771 | | 418,462 | | 478,993 | | 74,406 |
| NetScout Systems, Inc. | | Morgan Stanley | | 2,493 | | 78,164 | | 79,975 | | 1,820 |
| PC Connection, Inc. | | Morgan Stanley | | 46 | | 2,327 | | 2,410 | | 75 |
| Pure Storage, Inc., Class A | | Morgan Stanley | | 8,765 | | 287,553 | | 309,492 | | 21,991 |
| Sanmina Corp. | | Morgan Stanley | | 1,446 | | 34,933 | | 58,447 | | 23,626 |
| Seagate Technology Holdings PLC (Ireland) | | Morgan Stanley | | 9,179 | | 789,006 | | 825,192 | | 48,610 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Technology Hardware & Equipment — (continued) | | | | | | | | |
| TE Connectivity Ltd. (Switzerland) | | Morgan Stanley | | 1,528 | | $ 214,261 | | $ 200,137 | | $ (8,097) |
| Trimble, Inc. | | Morgan Stanley | | 1,631 | | 114,243 | | 117,660 | | 3,194 |
| Vishay Intertechnology, Inc. | | Morgan Stanley | | 8,646 | | 180,218 | | 169,462 | | (9,048) |
| Western Digital Corp. | | Morgan Stanley | | 8,039 | | 482,296 | | 399,136 | | (83,067) |
| Zebra Technologies Corp., Class A | | Morgan Stanley | | 483 | | 214,180 | | 199,817 | | (14,326) |
| | | | | 227,363 | | 11,584,284 | | 13,439,803 | | 2,046,195 |
| Telecommunication Services | | | | | | | | |
| AT&T, Inc. | | Morgan Stanley | | 28,632 | | 749,463 | | 676,574 | | (18,479) |
| EchoStar Corp., Class A | | Morgan Stanley | | 3,934 | | 97,823 | | 95,754 | | (2,153) |
| Gogo, Inc. | | Morgan Stanley | | 3,326 | | 34,843 | | 63,394 | | 28,549 |
| Iridium Communications, Inc. | | Morgan Stanley | | 3,145 | | 106,930 | | 126,806 | | 20,254 |
| Lumen Technologies, Inc. | | Morgan Stanley | | 17,283 | | 214,191 | | 194,779 | | (6,363) |
| TELUS Corp. (Canada) | | Morgan Stanley | | 114 | | 2,949 | | 2,980 | | 23 |
| T-Mobile U.S., Inc. | | Morgan Stanley | | 7,011 | | 794,275 | | 899,862 | | 105,744 |
| Verizon Communications, Inc. | | Morgan Stanley | | 12,541 | | 655,226 | | 638,839 | | 16,735 |
| | | | | 75,986 | | 2,655,700 | | 2,698,988 | | 144,310 |
| Transportation | | | | | | | | |
| Alaska Air Group, Inc. | | Morgan Stanley | | 4,608 | | 226,617 | | 267,310 | | 43,673 |
| ArcBest Corp. | | Morgan Stanley | | 4,417 | | 327,264 | | 355,568 | | 29,912 |
| Atlas Air Worldwide Holdings, Inc. | | Morgan Stanley | | 2,286 | | 172,885 | | 197,442 | | 24,585 |
| CSX Corp. | | Morgan Stanley | | 16,581 | | 533,752 | | 620,958 | | 98,799 |
| Expeditors International of Washington, Inc. | | Morgan Stanley | | 5,498 | | 623,581 | | 567,174 | | (56,216) |
| FedEx Corp. | | Morgan Stanley | | 4,209 | | 936,117 | | 973,921 | | 38,891 |
| Forward Air Corp. | | Morgan Stanley | | 7 | | 687 | | 684 | | (10) |
| Heartland Express, Inc. | | Morgan Stanley | | 11 | | 156 | | 155 | | (9) |
| Hub Group, Inc., Class A | | Morgan Stanley | | 544 | | 43,546 | | 42,002 | | (1,543) |
| Matson, Inc. | | Morgan Stanley | | 2,020 | | 168,609 | | 243,652 | | 75,814 |
| Norfolk Southern Corp. | | Morgan Stanley | | 542 | | 142,850 | | 154,589 | | 13,002 |
| Old Dominion Freight Line, Inc. | | Morgan Stanley | | 1,516 | | 414,028 | | 452,799 | | 39,769 |
| Southwest Airlines Co. | | Morgan Stanley | | 676 | | 27,633 | | 30,961 | | 3,871 |
| Union Pacific Corp. | | Morgan Stanley | | 2,160 | | 488,130 | | 590,134 | | 106,984 |
| United Airlines Holdings, Inc. | | Morgan Stanley | | 709 | | 32,408 | | 32,869 | | 460 |
| United Parcel Service, Inc., Class B | | Morgan Stanley | | 2,933 | | 570,964 | | 629,011 | | 75,163 |
| XPO Logistics, Inc. | | Morgan Stanley | | 1,004 | | 73,488 | | 73,091 | | (389) |
| | | | | 49,721 | | 4,782,715 | | 5,232,320 | | 492,756 |
| Utilities | | | | | | | | |
| AES Corp. (The) | | Morgan Stanley | | 7,549 | | 167,545 | | 194,236 | | 27,225 |
| American Electric Power Co., Inc. | | Morgan Stanley | | 7,994 | | 756,871 | | 797,561 | | 41,012 |
| American Water Works Co., Inc. | | Morgan Stanley | | 816 | | 135,734 | | 135,072 | | 484 |
| Consolidated Edison, Inc. | | Morgan Stanley | | 3,580 | | 324,177 | | 338,954 | | 14,837 |
| Constellation Energy Corp. | | Morgan Stanley | | 6,225 | | 228,824 | | 350,156 | | 122,186 |
| DTE Energy Co. | | Morgan Stanley | | 4,978 | | 568,167 | | 658,141 | | 99,325 |
| Exelon Corp. | | Morgan Stanley | | 2,192 | | 70,156 | | 104,405 | | 45,801 |
| FirstEnergy Corp. | | Morgan Stanley | | 1,524 | | 66,536 | | 69,891 | | 4,978 |
| NextEra Energy, Inc. | | Morgan Stanley | | 56 | | 4,804 | | 4,744 | | 410 |
| NRG Energy, Inc. | | Morgan Stanley | | 8,623 | | 329,698 | | 330,778 | | 9,811 |
| Otter Tail Corp. | | Morgan Stanley | | 481 | | 29,798 | | 30,063 | | 262 |
| PPL Corp. | | Morgan Stanley | | 19,804 | | 566,495 | | 565,602 | | 12,140 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Utilities — (continued) | | | | | | | | |
| Sempra Energy | | Morgan Stanley | | 22 | | $ 3,720 | | $ 3,699 | | $ 82 |
| Southern Co. (The) | | Morgan Stanley | | 4,501 | | 312,841 | | 326,368 | | 13,908 |
| | | | | 68,345 | | 3,565,366 | | 3,909,670 | | 392,461 |
|
|
| Total Reference Entity — Long | | | | | | 178,019,958 | | 196,182,817 | | 20,225,883 |
| Short | | | | | | | | | | |
| Automobiles & Components | | | | | | | | |
| Adient PLC (Ireland) | | Morgan Stanley | | (5,699) | | (262,656) | | (232,348) | | 29,684 |
| Dana, Inc. | | Morgan Stanley | | (23,278) | | (531,679) | | (408,994) | | 119,770 |
| Dorman Products, Inc. | | Morgan Stanley | | (2,021) | | (186,627) | | (192,056) | | (5,919) |
| Fox Factory Holding Corp. | | Morgan Stanley | | (2,378) | | (270,274) | | (232,925) | | 36,667 |
| Gentex Corp. | | Morgan Stanley | | (6,810) | | (213,507) | | (198,648) | | 14,530 |
| Goodyear Tire & Rubber Co. (The) | | Morgan Stanley | | (16,221) | | (277,704) | | (231,798) | | 45,247 |
| LCI Industries | | Morgan Stanley | | (6,244) | | (862,928) | | (648,190) | | 197,863 |
| Patrick Industries, Inc. | | Morgan Stanley | | (3,366) | | (287,501) | | (202,970) | | 81,820 |
| Rivian Automotive, Inc., Class A | | Morgan Stanley | | (22,287) | | (866,423) | | (1,119,699) | | (275,045) |
| Winnebago Industries, Inc. | | Morgan Stanley | | (790) | | (43,612) | | (42,684) | | 876 |
| XPEL, Inc. | | Morgan Stanley | | (930) | | (56,743) | | (48,927) | | 7,556 |
| | | | | (90,024) | | (3,859,654) | | (3,559,239) | | 253,049 |
| Capital Goods | | | | | | | | |
| AAON, Inc. | | Morgan Stanley | | (2,238) | | (122,608) | | (124,724) | | (2,411) |
| Acuity Brands, Inc. | | Morgan Stanley | | (338) | | (70,252) | | (63,983) | | 6,169 |
| Advanced Drainage Systems, Inc. | | Morgan Stanley | | (7,011) | | (854,153) | | (832,977) | | 17,976 |
| AeroVironment, Inc. | | Morgan Stanley | | (4,226) | | (305,289) | | (397,836) | | (93,576) |
| AGCO Corp. | | Morgan Stanley | | (1,116) | | (140,140) | | (162,969) | | (23,605) |
| Allison Transmission Holdings, Inc. | | Morgan Stanley | | (3,234) | | (130,510) | | (126,967) | | 1,751 |
| American Woodmark Corp. | | Morgan Stanley | | (5,549) | | (401,502) | | (271,624) | | 128,973 |
| Arcosa, Inc. | | Morgan Stanley | | (8,032) | | (446,732) | | (459,832) | | (15,909) |
| Array Technologies, Inc. | | Morgan Stanley | | (8,965) | | (195,641) | | (101,036) | | 94,824 |
| Astec Industries, Inc. | | Morgan Stanley | | (605) | | (27,005) | | (26,015) | | 919 |
| Axon Enterprise, Inc. | | Morgan Stanley | | (700) | | (88,986) | | (96,411) | | (7,642) |
| AZEK Co., Inc. (The) | | Morgan Stanley | | (39,100) | | (1,346,920) | | (971,244) | | 372,511 |
| Ballard Power Systems, Inc. (Canada) | | Morgan Stanley | | (39,681) | | (648,564) | | (461,887) | | 185,149 |
| Beacon Roofing Supply, Inc. | | Morgan Stanley | | (5,588) | | (316,160) | | (331,257) | | (15,959) |
| Boeing Co. (The) | | Morgan Stanley | | (5,342) | | (1,042,756) | | (1,022,993) | | 17,311 |
| BWX Technologies, Inc. | | Morgan Stanley | | (8,955) | | (570,344) | | (482,316) | | 80,300 |
| CAE, Inc. (Canada) | | Morgan Stanley | | (2,399) | | (63,361) | | (62,566) | | 527 |
| Chart Industries, Inc. | | Morgan Stanley | | (1,502) | | (247,939) | | (257,999) | | (10,650) |
| Columbus McKinnon Corp. | | Morgan Stanley | | (2,489) | | (115,867) | | (105,534) | | 9,942 |
| Comfort Systems USA, Inc. | | Morgan Stanley | | (813) | | (73,706) | | (72,365) | | 1,207 |
| Construction Partners, Inc., Class A | | Morgan Stanley | | (10,574) | | (322,139) | | (276,827) | | 44,496 |
| Cornerstone Building Brands, Inc. | | Morgan Stanley | | (29,412) | | (623,028) | | (715,300) | | (93,740) |
| Donaldson Co., Inc. | | Morgan Stanley | | (2,797) | | (164,398) | | (145,248) | | 19,016 |
| Energy Recovery, Inc. | | Morgan Stanley | | (7,095) | | (149,732) | | (142,893) | | 6,415 |
| EnerSys | | Morgan Stanley | | (10,189) | | (782,186) | | (759,794) | | 18,002 |
| Enovis Corp. | | Morgan Stanley | | (2,520) | | (134,641) | | (100,271) | | 34,046 |
| EnPro Industries, Inc. | | Morgan Stanley | | (830) | | (87,230) | | (81,116) | | 5,817 |
| ESCO Technologies, Inc. | | Morgan Stanley | | (1,167) | | (82,948) | | (81,597) | | 1,149 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Capital Goods — (continued) | | | | | | | | |
| Federal Signal Corp. | | Morgan Stanley | | (1,912) | | $ (65,425) | | $ (64,530) | | $ 637 |
| Flowserve Corp. | | Morgan Stanley | | (10,814) | | (361,742) | | (388,223) | | (29,117) |
| Franklin Electric Co., Inc. | | Morgan Stanley | | (2,678) | | (235,963) | | (222,381) | | 12,200 |
| GATX Corp. | | Morgan Stanley | | (2,529) | | (246,260) | | (311,902) | | (72,666) |
| Gibraltar Industries, Inc. | | Morgan Stanley | | (2,293) | | (155,195) | | (98,484) | | 56,744 |
| Global Industrial Co. | | Morgan Stanley | | (207) | | (6,648) | | (6,672) | | (54) |
| GMS, Inc. | | Morgan Stanley | | (7,589) | | (398,893) | | (377,705) | | 19,884 |
| Granite Construction, Inc. | | Morgan Stanley | | (768) | | (25,103) | | (25,190) | | (140) |
| Great Lakes Dredge & Dock Corp. | | Morgan Stanley | | (7,851) | | (116,342) | | (110,150) | | 5,912 |
| Greenbrier Cos., Inc. (The) | | Morgan Stanley | | (1,867) | | (79,259) | | (96,169) | | (17,608) |
| Griffon Corp. | | Morgan Stanley | | (6,072) | | (147,631) | | (121,622) | | 24,888 |
| Huntington Ingalls Industries, Inc. | | Morgan Stanley | | (3,513) | | (674,792) | | (700,633) | | (32,165) |
| JELD-WEN Holding, Inc. | | Morgan Stanley | | (9,356) | | (231,492) | | (189,740) | | 41,179 |
| Kratos Defense & Security Solutions, Inc. | | Morgan Stanley | | (18,290) | | (393,167) | | (374,579) | | 17,658 |
| Lennox International, Inc. | | Morgan Stanley | | (1,061) | | (290,115) | | (273,589) | | 15,008 |
| Lincoln Electric Holdings, Inc. | | Morgan Stanley | | (135) | | (18,704) | | (18,604) | | 48 |
| Lindsay Corp. | | Morgan Stanley | | (1,312) | | (200,303) | | (205,997) | | (7,076) |
| Masonite International Corp. (Canada) | | Morgan Stanley | | (1,035) | | (98,270) | | (92,053) | | 5,897 |
| MasTec, Inc. | | Morgan Stanley | | (5,522) | | (447,541) | | (480,966) | | (34,482) |
| MDU Resources Group, Inc. | | Morgan Stanley | | (20,673) | | (589,452) | | (550,935) | | 33,609 |
| Mercury Systems, Inc. | | Morgan Stanley | | (20,447) | | (1,255,549) | | (1,317,809) | | (65,210) |
| Meritor, Inc. | | Morgan Stanley | | (6,579) | | (197,750) | | (234,015) | | (36,788) |
| Middleby Corp. (The) | | Morgan Stanley | | (5,886) | | (997,610) | | (964,951) | | 30,313 |
| MSC Industrial Direct Co., Inc., Class A | | Morgan Stanley | | (4,594) | | (401,847) | | (391,455) | | 2,430 |
| NV5 Global, Inc. | | Morgan Stanley | | (524) | | (38,694) | | (69,849) | | (31,746) |
| PGT Innovations, Inc. | | Morgan Stanley | | (16,810) | | (280,315) | | (302,244) | | (22,812) |
| Primoris Services Corp. | | Morgan Stanley | | (16,025) | | (410,092) | | (381,716) | | 25,590 |
| Proto Labs, Inc. | | Morgan Stanley | | (10,503) | | (1,125,589) | | (555,609) | | 566,867 |
| RBC Bearings, Inc. | | Morgan Stanley | | (1,183) | | (230,889) | | (229,360) | | 980 |
| Regal Rexnord Corp. | | Morgan Stanley | | (2,130) | | (332,075) | | (316,901) | | 13,672 |
| Rockwell Automation, Inc. | | Morgan Stanley | | (1,419) | | (410,514) | | (397,363) | | 10,796 |
| Sensata Technologies Holding PLC (United Kingdom) | | Morgan Stanley | | (9,404) | | (575,273) | | (478,193) | | 98,164 |
| Shoals Technologies Group, Inc., Class A | | Morgan Stanley | | (6,890) | | (178,769) | | (117,406) | | 60,936 |
| Simpson Manufacturing Co., Inc. | | Morgan Stanley | | (480) | | (66,129) | | (52,339) | | 15,721 |
| Stanley Black & Decker, Inc. | | Morgan Stanley | | (13,954) | | (2,284,264) | | (1,950,630) | | 319,499 |
| Sunrun, Inc. | | Morgan Stanley | | (8,272) | | (512,804) | | (251,221) | | 259,492 |
| Textainer Group Holdings Ltd. (Bermuda) | | Morgan Stanley | | (10,443) | | (353,960) | | (397,565) | | (49,728) |
| Toro Co. (The) | | Morgan Stanley | | (2,477) | | (211,957) | | (211,759) | | (267) |
| United Rentals, Inc. | | Morgan Stanley | | (1,267) | | (412,159) | | (450,051) | | (41,092) |
| Valmont Industries, Inc. | | Morgan Stanley | | (1,755) | | (424,570) | | (418,743) | | 2,599 |
| Vertiv Holdings Co. | | Morgan Stanley | | (29,641) | | (364,572) | | (414,974) | | (51,264) |
| Vicor Corp. | | Morgan Stanley | | (3,193) | | (366,878) | | (225,266) | | 140,745 |
| Welbilt, Inc. | | Morgan Stanley | | (6,113) | | (144,818) | | (145,184) | | (736) |
| WESCO International, Inc. | | Morgan Stanley | | (581) | | (76,319) | | (75,611) | | 521 |
| | | | | (498,514) | | (25,990,430) | | (23,795,919) | | 2,072,046 |
| Commercial & Professional Services | | | | | | | | |
| ADT, Inc. | | Morgan Stanley | | (92,297) | | (842,302) | | (700,534) | | 128,113 |
| Alight, Inc., Class A | | Morgan Stanley | | (9,300) | | (87,722) | | (92,535) | | (5,027) |
| ASGN, Inc. | | Morgan Stanley | | (1,206) | | (138,955) | | (140,752) | | (2,131) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Commercial & Professional Services — (continued) | | | | | | | | |
| Booz Allen Hamilton Holding Corp. | | Morgan Stanley | | (10,741) | | $ (832,551) | | $ (943,489) | | $(113,187) |
| Brady Corp., Class A | | Morgan Stanley | | (296) | | (13,960) | | (13,696) | | 224 |
| BrightView Holdings, Inc. | | Morgan Stanley | | (3,868) | | (53,193) | | (52,643) | | 417 |
| CACI International, Inc., Class A | | Morgan Stanley | | (1,321) | | (345,242) | | (397,964) | | (54,793) |
| Clarivate PLC (Jersey) | | Morgan Stanley | | (13,029) | | (300,188) | | (218,366) | | 79,886 |
| CoreCivic, Inc. | | Morgan Stanley | | (605) | | (6,089) | | (6,758) | | (691) |
| CoStar Group, Inc. | | Morgan Stanley | | (2,108) | | (200,397) | | (140,414) | | 59,506 |
| Deluxe Corp. | | Morgan Stanley | | (1,980) | | (78,298) | | (59,875) | | 17,274 |
| Driven Brands Holdings, Inc. | | Morgan Stanley | | (11,253) | | (340,491) | | (295,729) | | 43,956 |
| Dun & Bradstreet Holdings, Inc. | | Morgan Stanley | | (35,479) | | (690,304) | | (621,592) | | 67,876 |
| Forrester Research, Inc. | | Morgan Stanley | | (1,391) | | (49,931) | | (78,480) | | (28,874) |
| GFL Environmental, Inc. (Canada) | | Morgan Stanley | | (9,368) | | (363,324) | | (304,835) | | 58,010 |
| Harsco Corp. | | Morgan Stanley | | (10,611) | | (178,255) | | (129,879) | | 48,460 |
| Healthcare Services Group, Inc. | | Morgan Stanley | | (6,710) | | (113,383) | | (124,605) | | (11,722) |
| IAA, Inc. | | Morgan Stanley | | (2,152) | | (82,834) | | (82,314) | | 318 |
| ICF International, Inc. | | Morgan Stanley | | (574) | | (51,865) | | (54,036) | | (2,341) |
| Insperity, Inc. | | Morgan Stanley | | (3,537) | | (378,891) | | (355,186) | | 2,830 |
| Leidos Holdings, Inc. | | Morgan Stanley | | (4,752) | | (454,864) | | (513,311) | | (64,576) |
| ManTech International Corp., Class A | | Morgan Stanley | | (3,562) | | (299,378) | | (307,009) | | (10,206) |
| MillerKnoll, Inc. | | Morgan Stanley | | (12,391) | | (474,196) | | (428,233) | | 41,606 |
| Pitney Bowes, Inc. | | Morgan Stanley | | (43,511) | | (370,734) | | (226,257) | | 137,188 |
| Steelcase, Inc., Class A | | Morgan Stanley | | (1,216) | | (14,091) | | (14,531) | | (481) |
| Stericycle, Inc. | | Morgan Stanley | | (416) | | (24,341) | | (24,511) | | (234) |
| TransUnion | | Morgan Stanley | | (1,883) | | (193,542) | | (194,589) | | (1,509) |
| TrueBlue, Inc. | | Morgan Stanley | | (2,661) | | (73,470) | | (76,876) | | (3,587) |
| U.S. Ecology, Inc. | | Morgan Stanley | | (6,074) | | (368,983) | | (290,823) | | 77,276 |
| UniFirst Corp. | | Morgan Stanley | | (1,320) | | (261,762) | | (243,250) | | 17,408 |
| Upwork, Inc. | | Morgan Stanley | | (45,572) | | (1,488,131) | | (1,059,093) | | 423,067 |
| Viad Corp. | | Morgan Stanley | | (3,051) | | (131,807) | | (108,738) | | 22,902 |
| Waste Connections, Inc. (Canada) | | Morgan Stanley | | (1,043) | | (125,966) | | (145,707) | | (21,379) |
| | | | | (345,278) | | (9,429,440) | | (8,446,610) | | 905,579 |
| Consumer Durables & Apparel | | | | | | | | |
| Allbirds, Inc., Class A | | Morgan Stanley | | (4,277) | | (26,444) | | (25,705) | | 669 |
| Brunswick Corp. | | Morgan Stanley | | (6,948) | | (650,826) | | (562,024) | | 85,780 |
| Callaway Golf Co. | | Morgan Stanley | | (32,182) | | (812,281) | | (753,702) | | 56,667 |
| Canada Goose Holdings, Inc. (Canada) | | Morgan Stanley | | (9,370) | | (370,021) | | (246,712) | | 122,433 |
| Carter's, Inc. | | Morgan Stanley | | (1,625) | | (176,097) | | (149,484) | | 25,335 |
| Deckers Outdoor Corp. | | Morgan Stanley | | (1,193) | | (368,519) | | (326,608) | | 42,824 |
| Garmin Ltd. (Switzerland) | | Morgan Stanley | | (6,790) | | (762,745) | | (805,362) | | (46,178) |
| G-III Apparel Group Ltd. | | Morgan Stanley | | (11,053) | | (326,419) | | (298,984) | | 26,394 |
| Hanesbrands, Inc. | | Morgan Stanley | | (16,153) | | (257,348) | | (240,518) | | 13,749 |
| Helen of Troy Ltd. (Bermuda) | | Morgan Stanley | | (3,433) | | (778,947) | | (672,319) | | 104,795 |
| Installed Building Products, Inc. | | Morgan Stanley | | (2,797) | | (350,940) | | (236,319) | | 113,280 |
| iRobot Corp. | | Morgan Stanley | | (3,353) | | (236,406) | | (212,580) | | 23,263 |
| Kontoor Brands, Inc. | | Morgan Stanley | | (1,370) | | (60,380) | | (56,650) | | 3,744 |
| Latham Group, Inc. | | Morgan Stanley | | (1,617) | | (35,432) | | (21,409) | | 13,932 |
| La-Z-Boy, Inc. | | Morgan Stanley | | (5,979) | | (198,972) | | (157,666) | | 39,883 |
| Leggett & Platt, Inc. | | Morgan Stanley | | (8,290) | | (360,987) | | (288,492) | | 68,251 |
| Malibu Boats, Inc., Class A | | Morgan Stanley | | (1,144) | | (98,555) | | (66,363) | | 33,789 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Consumer Durables & Apparel — (continued) | | | | | | | | |
| Oxford Industries, Inc. | | Morgan Stanley | | (826) | | $ (67,434) | | $ (74,753) | | $ (8,861) |
| Peloton Interactive, Inc., Class A | | Morgan Stanley | | (13,730) | | (1,523,071) | | (362,747) | | 1,156,747 |
| Polaris, Inc. | | Morgan Stanley | | (3,779) | | (466,018) | | (398,004) | | 63,278 |
| Skechers U.S.A., Inc., Class A | | Morgan Stanley | | (20,117) | | (921,717) | | (819,969) | | 97,751 |
| TopBuild Corp. | | Morgan Stanley | | (4,219) | | (879,640) | | (765,284) | | 112,286 |
| Traeger, Inc. | | Morgan Stanley | | (266) | | (2,008) | | (1,979) | | (16) |
| Wolverine World Wide, Inc. | | Morgan Stanley | | (13,417) | | (389,363) | | (302,688) | | 78,396 |
| YETI Holdings, Inc. | | Morgan Stanley | | (3,465) | | (296,730) | | (207,831) | | 88,196 |
| | | | | (177,393) | | (10,417,300) | | (8,054,152) | | 2,316,387 |
| Consumer Services | | | | | | | | |
| Adtalem Global Education, Inc. | | Morgan Stanley | | (2,252) | | (62,182) | | (66,907) | | (4,879) |
| Aramark | | Morgan Stanley | | (3,738) | | (159,582) | | (140,549) | | 16,605 |
| Bally's Corp. | | Morgan Stanley | | (9,052) | | (543,208) | | (278,258) | | 263,935 |
| Bright Horizons Family Solutions, Inc. | | Morgan Stanley | | (68) | | (12,264) | | (9,023) | | 5,838 |
| Carnival Corp. (Panama) | | Morgan Stanley | | (4,004) | | (78,868) | | (80,961) | | (2,286) |
| Chegg, Inc. | | Morgan Stanley | | (3,813) | | (121,577) | | (138,336) | | (17,051) |
| Churchill Downs, Inc. | | Morgan Stanley | | (372) | | (87,821) | | (82,502) | | 5,009 |
| Denny's Corp. | | Morgan Stanley | | (15,303) | | (255,429) | | (218,986) | | 35,775 |
| DraftKings, Inc., Class A | | Morgan Stanley | | (16,629) | | (711,628) | | (323,767) | | 386,186 |
| Duolingo, Inc. | | Morgan Stanley | | (1,306) | | (108,750) | | (124,214) | | (15,727) |
| Frontdoor, Inc. | | Morgan Stanley | | (956) | | (53,369) | | (28,537) | | 24,699 |
| Graham Holdings Co., Class B | | Morgan Stanley | | (139) | | (83,293) | | (84,994) | | (1,882) |
| International Game Technology PLC (United Kingdom) | | Morgan Stanley | | (7,002) | | (173,010) | | (172,809) | | (1,269) |
| Life Time Group Holdings, Inc. | | Morgan Stanley | | (4,268) | | (57,494) | | (62,057) | | (4,706) |
| Mister Car Wash, Inc. | | Morgan Stanley | | (1,064) | | (16,348) | | (15,737) | | 565 |
| Monarch Casino & Resort, Inc. | | Morgan Stanley | | (1,808) | | (79,705) | | (157,712) | | (79,998) |
| Royal Caribbean Cruises Ltd. (Liberia) | | Morgan Stanley | | (3,937) | | (349,666) | | (329,842) | | 18,997 |
| Shake Shack, Inc., Class A | | Morgan Stanley | | (4,238) | | (391,092) | | (287,760) | | 102,408 |
| Stride, Inc. | | Morgan Stanley | | (2,287) | | (84,114) | | (83,087) | | 845 |
| Terminix Global Holdings, Inc. | | Morgan Stanley | | (6,728) | | (302,025) | | (306,999) | | (6,019) |
| Wendy's Co. (The) | | Morgan Stanley | | (48,275) | | (1,083,756) | | (1,060,602) | | 16,722 |
| Wingstop, Inc. | | Morgan Stanley | | (6,590) | | (1,146,662) | | (773,337) | | 341,863 |
| | | | | (143,829) | | (5,961,843) | | (4,826,976) | | 1,085,630 |
| Diversified Financials | | | | | | | | |
| Blucora, Inc. | | Morgan Stanley | | (2,958) | | (57,109) | | (57,829) | | (861) |
| Coinbase Global, Inc., Class A | | Morgan Stanley | | (3,043) | | (608,862) | | (577,744) | | 29,683 |
| FactSet Research Systems, Inc. | | Morgan Stanley | | (65) | | (28,682) | | (28,220) | | 387 |
| MarketAxess Holdings, Inc. | | Morgan Stanley | | (815) | | (293,443) | | (277,263) | | 15,484 |
| Northern Trust Corp. | | Morgan Stanley | | (512) | | (59,994) | | (59,622) | | 223 |
| State Street Corp. | | Morgan Stanley | | (1,505) | | (134,200) | | (131,116) | | 1,866 |
| | | | | (8,898) | | (1,182,290) | | (1,131,794) | | 46,782 |
| Energy | | | | | | | | |
| Antero Midstream Corp. | | Morgan Stanley | | (31,041) | | (322,556) | | (337,416) | | (18,338) |
| California Resources Corp. | | Morgan Stanley | | (4,153) | | (179,158) | | (185,764) | | (7,256) |
| Chesapeake Energy Corp. | | Morgan Stanley | | (915) | | (80,617) | | (79,605) | | 815 |
| Civitas Resources, Inc. | | Morgan Stanley | | (14,839) | | (805,113) | | (886,037) | | (94,401) |
| CNX Resources Corp. | | Morgan Stanley | | (7,415) | | (140,403) | | (153,639) | | (13,573) |
| Continental Resources, Inc. | | Morgan Stanley | | (4,628) | | (250,222) | | (283,835) | | (34,780) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Energy — (continued) | | | | | | | | |
| Core Laboratories N.V. (Netherlands) | | Morgan Stanley | | (16,837) | | $ (468,357) | | $ (532,554) | | $ (65,382) |
| Coterra Energy, Inc. | | Morgan Stanley | | (72,595) | | (1,838,363) | | (1,957,887) | | (135,877) |
| Delek U.S. Holdings, Inc. | | Morgan Stanley | | (29,011) | | (562,308) | | (615,613) | | (65,428) |
| Enbridge, Inc. (Canada) | | Morgan Stanley | | (15,574) | | (668,159) | | (717,806) | | (67,155) |
| Enerplus Corp. (Canada) | | Morgan Stanley | | (11,947) | | (106,656) | | (151,727) | | (55,829) |
| EQT Corp. | | Morgan Stanley | | (16,360) | | (351,899) | | (562,948) | | (214,067) |
| Equitrans Midstream Corp. | | Morgan Stanley | | (19,867) | | (166,218) | | (167,677) | | (1,857) |
| Green Plains, Inc. | | Morgan Stanley | | (2,833) | | (86,551) | | (87,851) | | (1,512) |
| Gulfport Energy Corp. | | Morgan Stanley | | (785) | | (59,132) | | (70,509) | | (12,493) |
| Hess Corp. | | Morgan Stanley | | (2,656) | | (243,632) | | (284,298) | | (42,944) |
| HF Sinclair Corp. | | Morgan Stanley | | (36,848) | | (1,299,625) | | (1,468,393) | | (171,821) |
| Kinder Morgan, Inc. | | Morgan Stanley | | (14,397) | | (256,168) | | (272,247) | | (21,046) |
| Kosmos Energy Ltd. | | Morgan Stanley | | (128,918) | | (714,486) | | (926,920) | | (214,117) |
| Laredo Petroleum, Inc. | | Morgan Stanley | | (3,231) | | (227,039) | | (255,701) | | (35,997) |
| Liberty Oilfield Services, Inc., Class A | | Morgan Stanley | | (29,705) | | (323,104) | | (440,228) | | (120,294) |
| New Fortress Energy, Inc. | | Morgan Stanley | | (9,980) | | (290,124) | | (425,248) | | (146,525) |
| Northern Oil and Gas, Inc. | | Morgan Stanley | | (5,128) | | (103,274) | | (144,558) | | (44,027) |
| NOV, Inc. | | Morgan Stanley | | (8,353) | | (150,915) | | (163,802) | | (14,720) |
| Par Pacific Holdings, Inc. | | Morgan Stanley | | (9,599) | | (150,613) | | (124,979) | | 25,438 |
| Patterson-UTI Energy, Inc. | | Morgan Stanley | | (25,123) | | (218,998) | | (388,904) | | (171,597) |
| Ranger Oil Corp., Class A | | Morgan Stanley | | (683) | | (24,236) | | (23,584) | | 587 |
| Renewable Energy Group, Inc. | | Morgan Stanley | | (18,768) | | (1,008,615) | | (1,138,279) | | (147,131) |
| RPC, Inc. | | Morgan Stanley | | (19,354) | | (96,510) | | (206,507) | | (113,700) |
| Southwestern Energy Co. | | Morgan Stanley | | (197,648) | | (1,016,224) | | (1,417,136) | | (426,539) |
| TC Energy Corp. (Canada) | | Morgan Stanley | | (21,995) | | (1,108,499) | | (1,240,958) | | (170,454) |
| TechnipFMC PLC (United Kingdom) | | Morgan Stanley | | (72,185) | | (574,704) | | (559,434) | | 11,261 |
| Tellurian, Inc. | | Morgan Stanley | | (59,878) | | (181,189) | | (317,353) | | (153,536) |
| Uranium Energy Corp. | | Morgan Stanley | | (7,703) | | (36,902) | | (35,357) | | 1,451 |
| World Fuel Services Corp. | | Morgan Stanley | | (3,057) | | (83,336) | | (82,661) | | 433 |
| | | | | (924,009) | | (14,193,905) | | (16,707,415) | | (2,742,411) |
| Food & Staples Retailing | | | | | | | | |
| Albertsons Cos., Inc., Class A | | Morgan Stanley | | (4,388) | | (156,844) | | (145,901) | | 10,913 |
| BJ's Wholesale Club Holdings, Inc. | | Morgan Stanley | | (3,119) | | (201,455) | | (210,876) | | (9,900) |
| Casey's General Stores, Inc. | | Morgan Stanley | | (6,198) | | (1,219,122) | | (1,228,258) | | (18,227) |
| Grocery Outlet Holding Corp. | | Morgan Stanley | | (6,869) | | (267,330) | | (225,166) | | 41,529 |
| Performance Food Group Co. | | Morgan Stanley | | (3,123) | | (152,131) | | (158,992) | | (7,376) |
| U.S. Foods Holding Corp. | | Morgan Stanley | | (3,194) | | (122,852) | | (120,190) | | 2,366 |
| | | | | (26,891) | | (2,119,734) | | (2,089,383) | | 19,305 |
| Food, Beverage & Tobacco | | | | | | | | |
| B&G Foods, Inc. | | Morgan Stanley | | (8,447) | | (276,655) | | (227,900) | | 27,672 |
| Boston Beer Co., Inc. (The), Class A | | Morgan Stanley | | (648) | | (244,624) | | (251,729) | | (7,685) |
| Celsius Holdings, Inc. | | Morgan Stanley | | (22,398) | | (1,625,343) | | (1,235,922) | | 384,454 |
| Dole PLC (Ireland) | | Morgan Stanley | | (2,615) | | (34,439) | | (32,426) | | 1,771 |
| Flowers Foods, Inc. | | Morgan Stanley | | (4,056) | | (103,085) | | (104,280) | | (997) |
| Fresh Del Monte Produce, Inc. (Cayman Islands) | | Morgan Stanley | | (6,260) | | (171,468) | | (162,197) | | 3,118 |
| Freshpet, Inc. | | Morgan Stanley | | (7,889) | | (1,022,308) | | (809,727) | | 208,201 |
| Ingredion, Inc. | | Morgan Stanley | | (2,536) | | (244,372) | | (221,012) | | 16,565 |
| J & J Snack Foods Corp. | | Morgan Stanley | | (1,107) | | (185,797) | | (171,696) | | 10,690 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Food, Beverage & Tobacco — (continued) | | | | | | | | |
| J M Smucker Co. (The) | | Morgan Stanley | | (7,213) | | $ (947,228) | | $ (976,712) | | $ (31,700) |
| John B Sanfilippo & Son, Inc. | | Morgan Stanley | | (268) | | (21,607) | | (22,362) | | (814) |
| Lamb Weston Holdings, Inc. | | Morgan Stanley | | (1,818) | | (152,337) | | (108,916) | | 42,855 |
| Lancaster Colony Corp. | | Morgan Stanley | | (3,362) | | (553,184) | | (501,442) | | 49,023 |
| MGP Ingredients, Inc. | | Morgan Stanley | | (2,913) | | (170,636) | | (249,324) | | (82,056) |
| Mission Produce, Inc. | | Morgan Stanley | | (1,257) | | (19,996) | | (15,901) | | 4,040 |
| National Beverage Corp. | | Morgan Stanley | | (967) | | (40,773) | | (42,065) | | (1,395) |
| Pilgrim's Pride Corp. | | Morgan Stanley | | (2,913) | | (71,932) | | (73,116) | | (1,361) |
| Post Holdings, Inc. | | Morgan Stanley | | (1,430) | | (112,889) | | (99,042) | | 13,575 |
| Primo Water Corp. (Canada) | | Morgan Stanley | | (5,010) | | (71,124) | | (71,393) | | (626) |
| Simply Good Foods Co. (The) | | Morgan Stanley | | (7,584) | | (285,579) | | (287,813) | | (2,911) |
| Sovos Brands, Inc. | | Morgan Stanley | | (404) | | (5,415) | | (5,729) | | (335) |
| TreeHouse Foods, Inc. | | Morgan Stanley | | (1,939) | | (77,757) | | (62,552) | | 16,439 |
| Universal Corp. | | Morgan Stanley | | (1,495) | | (81,562) | | (86,815) | | (5,452) |
| Utz Brands, Inc. | | Morgan Stanley | | (16,878) | | (351,030) | | (249,457) | | 99,101 |
| | | | | (111,407) | | (6,871,140) | | (6,069,528) | | 742,172 |
| Health Care Equipment & Services | | | | | | | | |
| 1Life Healthcare, Inc. | | Morgan Stanley | | (28,853) | | (633,548) | | (319,691) | | 311,520 |
| Accolade, Inc. | | Morgan Stanley | | (8,421) | | (342,663) | | (147,873) | | 195,104 |
| AdaptHealth Corp. | | Morgan Stanley | | (23,245) | | (513,939) | | (372,617) | | 140,109 |
| Agiliti, Inc. | | Morgan Stanley | | (90) | | (1,862) | | (1,899) | | (50) |
| Alphatec Holdings, Inc. | | Morgan Stanley | | (26,793) | | (331,791) | | (308,120) | | 22,886 |
| American Well Corp., Class A | | Morgan Stanley | | (13,212) | | (186,742) | | (55,623) | | 130,674 |
| Baxter International, Inc. | | Morgan Stanley | | (13,342) | | (1,114,432) | | (1,034,539) | | 77,034 |
| BioLife Solutions, Inc. | | Morgan Stanley | | (14,060) | | (478,443) | | (319,584) | | 157,730 |
| Brookdale Senior Living, Inc. | | Morgan Stanley | | (11,682) | | (81,002) | | (82,358) | | (1,965) |
| Cardinal Health, Inc. | | Morgan Stanley | | (1,446) | | (76,083) | | (81,988) | | (9,937) |
| Cardiovascular Systems, Inc. | | Morgan Stanley | | (5,395) | | (263,829) | | (121,927) | | 143,454 |
| Castle Biosciences, Inc. | | Morgan Stanley | | (8,372) | | (518,714) | | (375,568) | | 141,306 |
| Certara, Inc. | | Morgan Stanley | | (4,021) | | (108,799) | | (86,371) | | 22,316 |
| Change Healthcare, Inc. | | Morgan Stanley | | (27,435) | | (571,209) | | (598,083) | | (29,513) |
| Covetrus, Inc. | | Morgan Stanley | | (11,423) | | (374,167) | | (191,792) | | 181,640 |
| Encompass Health Corp. | | Morgan Stanley | | (13,910) | | (879,153) | | (989,140) | | (115,931) |
| GoodRx Holdings, Inc., Class A | | Morgan Stanley | | (4,645) | | (188,725) | | (89,788) | | 98,487 |
| Guardant Health, Inc. | | Morgan Stanley | | (14,290) | | (1,471,959) | | (946,570) | | 524,253 |
| Haemonetics Corp. | | Morgan Stanley | | (1,874) | | (215,731) | | (118,474) | | 101,507 |
| Health Catalyst, Inc. | | Morgan Stanley | | (12,351) | | (509,317) | | (322,732) | | 185,217 |
| HealthEquity, Inc. | | Morgan Stanley | | (14,501) | | (756,750) | | (977,947) | | (228,057) |
| Inari Medical, Inc. | | Morgan Stanley | | (5,149) | | (473,296) | | (466,705) | | 4,942 |
| Innovage Holding Corp. | | Morgan Stanley | | (71) | | (475) | | (456) | | 10 |
| Insulet Corp. | | Morgan Stanley | | (2,871) | | (837,726) | | (764,806) | | 70,960 |
| Integer Holdings Corp. | | Morgan Stanley | | (1,614) | | (130,992) | | (130,040) | | 637 |
| Invitae Corp. | | Morgan Stanley | | (17,164) | | (165,024) | | (136,797) | | 27,081 |
| Lantheus Holdings, Inc. | | Morgan Stanley | | (3,906) | | (104,249) | | (216,041) | | (122,729) |
| LHC Group, Inc. | | Morgan Stanley | | (2,594) | | (378,035) | | (437,348) | | (60,207) |
| LifeStance Health Group, Inc. | | Morgan Stanley | | (4,932) | | (45,159) | | (49,863) | | (4,817) |
| Meridian Bioscience, Inc. | | Morgan Stanley | | (2,097) | | (44,125) | | (54,438) | | (10,425) |
| Mesa Laboratories, Inc. | | Morgan Stanley | | (542) | | (144,534) | | (138,145) | | 5,675 |
| ModivCare, Inc. | | Morgan Stanley | | (593) | | (88,817) | | (68,426) | | 21,073 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Health Care Equipment & Services — (continued) | | | | | | | | |
| Nevro Corp. | | Morgan Stanley | | (3,537) | | $ (309,100) | | $ (255,831) | | $ 51,615 |
| Novocure Ltd. (Jersey) | | Morgan Stanley | | (5,709) | | (566,085) | | (472,991) | | 88,723 |
| NuVasive, Inc. | | Morgan Stanley | | (6,342) | | (348,775) | | (359,591) | | (11,835) |
| Oak Street Health, Inc. | | Morgan Stanley | | (20,022) | | (1,028,844) | | (538,191) | | 488,234 |
| Option Care Health, Inc. | | Morgan Stanley | | (2,208) | | (61,341) | | (63,060) | | (2,360) |
| OrthoPediatrics Corp. | | Morgan Stanley | | (1,251) | | (67,419) | | (67,541) | | (409) |
| Outset Medical, Inc. | | Morgan Stanley | | (5,962) | | (265,968) | | (270,675) | | (6,130) |
| Patterson Cos, Inc. | | Morgan Stanley | | (3,409) | | (101,969) | | (110,349) | | (7,786) |
| Penumbra, Inc. | | Morgan Stanley | | (858) | | (237,517) | | (190,588) | | 46,366 |
| Phreesia, Inc. | | Morgan Stanley | | (9,255) | | (353,836) | | (243,962) | | 109,037 |
| Progyny, Inc. | | Morgan Stanley | | (9,689) | | (575,763) | | (498,015) | | 75,521 |
| Pulmonx Corp. | | Morgan Stanley | | (87) | | (2,160) | | (2,158) | | (289) |
| Quidel Corp. | | Morgan Stanley | | (3,201) | | (465,717) | | (359,984) | | 104,633 |
| RadNet, Inc. | | Morgan Stanley | | (8,789) | | (168,284) | | (196,610) | | (29,422) |
| Schrodinger, Inc. | | Morgan Stanley | | (16,771) | | (904,853) | | (572,227) | | 326,145 |
| Silk Road Medical, Inc. | | Morgan Stanley | | (8,767) | | (425,696) | | (361,989) | | 60,631 |
| Simulations Plus, Inc. | | Morgan Stanley | | (1,213) | | (95,131) | | (61,839) | | 32,782 |
| STERIS PLC (Ireland) | | Morgan Stanley | | (2,149) | | (478,217) | | (519,564) | | (49,578) |
| Surgery Partners, Inc. | | Morgan Stanley | | (10,433) | | (524,018) | | (574,337) | | (52,002) |
| Teladoc Health, Inc. | | Morgan Stanley | | (1,192) | | (193,348) | | (85,979) | | 106,908 |
| U.S. Physical Therapy, Inc. | | Morgan Stanley | | (2,195) | | (270,371) | | (218,293) | | 47,119 |
| Zimmer Biomet Holdings, Inc. | | Morgan Stanley | | (8,297) | | (1,002,622) | | (1,061,186) | | (62,502) |
| | | | | (432,230) | | (20,478,324) | | (17,090,709) | | 3,295,385 |
| Household & Personal Products | | | | | | | | |
| Central Garden & Pet Co., Class A | | Morgan Stanley | | (6,572) | | (271,969) | | (268,006) | | 3,317 |
| Clorox Co. (The) | | Morgan Stanley | | (2,465) | | (450,720) | | (342,709) | | 100,945 |
| Edgewell Personal Care Co. | | Morgan Stanley | | (1,608) | | (59,196) | | (58,965) | | 78 |
| Energizer Holdings, Inc. | | Morgan Stanley | | (13,902) | | (506,410) | | (427,626) | | 71,490 |
| Inter Parfums, Inc. | | Morgan Stanley | | (671) | | (56,916) | | (59,082) | | (2,276) |
| Olaplex Holdings, Inc. | | Morgan Stanley | | (6,605) | | (158,327) | | (103,236) | | 54,712 |
| Reynolds Consumer Products, Inc. | | Morgan Stanley | | (7,144) | | (210,031) | | (209,605) | | (3,376) |
| WD-40 Co. | | Morgan Stanley | | (403) | | (97,295) | | (73,842) | | 24,505 |
| | | | | (39,370) | | (1,810,864) | | (1,543,071) | | 249,395 |
| Materials | | | | | | | | |
| Agnico Eagle Mines Ltd. (Canada) | | Morgan Stanley | | (19,937) | | (1,136,434) | | (1,220,942) | | (97,221) |
| Alamos Gold, Inc., Class A (Canada) | | Morgan Stanley | | (91,712) | | (722,146) | | (772,215) | | (52,558) |
| Alpha Metallurgical Resources, Inc. | | Morgan Stanley | | (1,256) | | (158,913) | | (165,742) | | (7,209) |
| Amyris, Inc. | | Morgan Stanley | | (58,297) | | (451,295) | | (254,175) | | 195,696 |
| AptarGroup, Inc. | | Morgan Stanley | | (2,305) | | (295,166) | | (270,838) | | 22,629 |
| Arconic Corp. | | Morgan Stanley | | (5,353) | | (140,367) | | (137,144) | | 2,886 |
| Axalta Coating Systems Ltd. (Bermuda) | | Morgan Stanley | | (14,975) | | (496,298) | | (368,086) | | 133,487 |
| Berry Global Group, Inc. | | Morgan Stanley | | (12,123) | | (741,195) | | (702,649) | | 36,801 |
| Coeur Mining, Inc. | | Morgan Stanley | | (208,037) | | (1,170,614) | | (925,765) | | 242,098 |
| Compass Minerals International, Inc. | | Morgan Stanley | | (1,291) | | (77,829) | | (81,062) | | (3,237) |
| Ecolab, Inc. | | Morgan Stanley | | (704) | | (126,008) | | (124,298) | | 1,248 |
| Element Solutions, Inc. | | Morgan Stanley | | (15,163) | | (378,755) | | (332,070) | | 44,519 |
| Equinox Gold Corp. (Canada) | | Morgan Stanley | | (74,626) | | (691,616) | | (617,157) | | 72,360 |
| First Majestic Silver Corp. (Canada) | | Morgan Stanley | | (40,847) | | (529,163) | | (537,547) | | (11,283) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Materials — (continued) | | | | | | | | |
| Fortuna Silver Mines, Inc. (Canada) | | Morgan Stanley | | (121,794) | | $ (442,582) | | $ (464,035) | | $ (22,498) |
| GCP Applied Technologies, Inc. | | Morgan Stanley | | (7,767) | | (247,856) | | (244,039) | | 3,307 |
| Graphic Packaging Holding Co. | | Morgan Stanley | | (32,985) | | (664,774) | | (661,019) | | (1,672) |
| HB Fuller Co. | | Morgan Stanley | | (4,068) | | (278,627) | | (268,773) | | 8,553 |
| Hudbay Minerals, Inc. (Canada) | | Morgan Stanley | | (11,261) | | (80,084) | | (88,399) | | (9,520) |
| IAMGOLD Corp. (Canada) | | Morgan Stanley | | (150,535) | | (459,087) | | (523,862) | | (65,858) |
| International Flavors & Fragrances, Inc. | | Morgan Stanley | | (1,374) | | (203,756) | | (180,447) | | 19,689 |
| Kaiser Aluminum Corp. | | Morgan Stanley | | (1,738) | | (170,510) | | (163,650) | | 5,358 |
| Martin Marietta Materials, Inc. | | Morgan Stanley | | (1,799) | | (684,955) | | (692,417) | | (8,954) |
| MP Materials Corp. | | Morgan Stanley | | (1,554) | | (87,693) | | (89,106) | | (1,627) |
| NewMarket Corp. | | Morgan Stanley | | (1,200) | | (402,976) | | (389,256) | | 9,227 |
| Novagold Resources, Inc. (Canada) | | Morgan Stanley | | (12,211) | | (136,262) | | (94,391) | | 42,630 |
| Pactiv Evergreen, Inc. | | Morgan Stanley | | (727) | | (6,992) | | (7,314) | | (353) |
| PureCycle Technologies, Inc. | | Morgan Stanley | | (140) | | (1,129) | | (1,120) | | (620) |
| Quaker Chemical Corp. | | Morgan Stanley | | (1,458) | | (358,410) | | (251,957) | | 104,233 |
| Ranpak Holdings Corp. | | Morgan Stanley | | (4,722) | | (103,356) | | (96,470) | | 6,635 |
| RPM International, Inc. | | Morgan Stanley | | (6,719) | | (594,568) | | (547,195) | | 42,043 |
| Schnitzer Steel Industries, Inc., Class A | | Morgan Stanley | | (3,844) | | (184,323) | | (199,657) | | (15,775) |
| Schweitzer-Mauduit International, Inc. | | Morgan Stanley | | (3,865) | | (124,593) | | (106,288) | | 15,857 |
| Scotts Miracle-Gro Co. (The) | | Morgan Stanley | | (10,041) | | (1,424,843) | | (1,234,641) | | 179,523 |
| Seabridge Gold, Inc. (Canada) | | Morgan Stanley | | (7,050) | | (133,066) | | (130,425) | | 2,260 |
| SilverCrest Metals, Inc. (Canada) | | Morgan Stanley | | (8,728) | | (69,987) | | (77,766) | | (7,952) |
| Sonoco Products Co. | | Morgan Stanley | | (4,502) | | (263,512) | | (281,645) | | (19,977) |
| Stepan Co. | | Morgan Stanley | | (2,063) | | (247,964) | | (203,845) | | 41,748 |
| Trinseo PLC (Ireland) | | Morgan Stanley | | (8,001) | | (447,773) | | (383,408) | | 62,579 |
| Vulcan Materials Co. | | Morgan Stanley | | (2,738) | | (557,639) | | (502,971) | | 52,566 |
| West Fraser Timber Co., Ltd. (Canada) | | Morgan Stanley | | (1,776) | | (171,887) | | (146,396) | | 25,224 |
| Wheaton Precious Metals Corp. (Canada) | | Morgan Stanley | | (1,074) | | (51,959) | | (51,101) | | 729 |
| Worthington Industries, Inc. | | Morgan Stanley | | (4,380) | | (243,762) | | (225,176) | | 17,035 |
| | | | | (966,740) | | (15,960,724) | | (14,816,459) | | 1,064,606 |
| Media & Entertainment | | | | | | | | |
| Advantage Solutions, Inc. | | Morgan Stanley | | (79) | | (508) | | (504) | | (5) |
| Angi, Inc. | | Morgan Stanley | | (70,057) | | (841,532) | | (397,223) | | 442,329 |
| Cable One, Inc. | | Morgan Stanley | | (537) | | (1,046,004) | | (786,297) | | 254,208 |
| Cardlytics, Inc. | | Morgan Stanley | | (1,209) | | (87,582) | | (66,471) | | 20,313 |
| Cargurus, Inc. | | Morgan Stanley | | (17,855) | | (698,834) | | (758,123) | | (60,935) |
| DISH Network Corp., Class A | | Morgan Stanley | | (4,324) | | (136,005) | | (136,855) | | (1,400) |
| EW Scripps Co. (The), Class A | | Morgan Stanley | | (5,324) | | (86,789) | | (110,686) | | (25,005) |
| fuboTV, Inc. | | Morgan Stanley | | (37,153) | | (546,685) | | (244,095) | | 300,582 |
| Gray Television, Inc. | | Morgan Stanley | | (9,944) | | (222,705) | | (219,464) | | 2,787 |
| IAC/InterActiveCorp. | | Morgan Stanley | | (7,126) | | (754,182) | | (714,595) | | 37,812 |
| Lions Gate Entertainment Corp., Class B (Canada) | | Morgan Stanley | | (13,728) | | (188,842) | | (206,332) | | (17,940) |
| Madison Square Garden Entertainment Corp. | | Morgan Stanley | | (2,109) | | (214,470) | | (175,701) | | 38,259 |
| Madison Square Garden Sports Corp. | | Morgan Stanley | | (843) | | (144,791) | | (151,200) | | (7,009) |
| Magnite, Inc. | | Morgan Stanley | | (39,445) | | (747,294) | | (521,068) | | 225,369 |
| Paramount Global, Class B | | Morgan Stanley | | (17,762) | | (666,914) | | (671,581) | | (6,238) |
| ROBLOX Corp., Class A | | Morgan Stanley | | (3,858) | | (176,930) | | (178,394) | | (12,725) |
| Roku, Inc. | | Morgan Stanley | | (6,928) | | (926,209) | | (867,871) | | 56,160 |
| Sinclair Broadcast Group, Inc., Class A | | Morgan Stanley | | (10,463) | | (356,846) | | (293,173) | | 50,420 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Media & Entertainment — (continued) | | | | | | | | |
| Skillz, Inc. | | Morgan Stanley | | (49,552) | | $ (131,875) | | $ (148,656) | | $ (17,186) |
| Snap, Inc., Class A | | Morgan Stanley | | (6,948) | | (392,880) | | (250,059) | | 141,892 |
| TechTarget, Inc. | | Morgan Stanley | | (1,741) | | (134,179) | | (141,508) | | (7,652) |
| TEGNA, Inc. | | Morgan Stanley | | (3,468) | | (77,504) | | (77,683) | | (369) |
| Warner Music Group Corp., Class A | | Morgan Stanley | | (6,022) | | (260,275) | | (227,933) | | 30,854 |
| World Wrestling Entertainment, Inc., Class A | | Morgan Stanley | | (1,423) | | (83,658) | | (88,852) | | (5,546) |
| ZoomInfo Technologies, Inc. | | Morgan Stanley | | (17,107) | | (900,593) | | (1,021,972) | | (130,990) |
| | | | | (335,005) | | (9,824,086) | | (8,456,296) | | 1,307,985 |
| Pharmaceuticals, Biotechnology & Life Sciences | | | | | | | | |
| 10X Genomics, Inc., Class A | | Morgan Stanley | | (10,155) | | (909,254) | | (772,491) | | 132,698 |
| AbCellera Biologics, Inc. (Canada) | | Morgan Stanley | | (8,988) | | (84,370) | | (87,633) | | (3,468) |
| Adaptive Biotechnologies Corp. | | Morgan Stanley | | (18,637) | | (592,266) | | (258,682) | | 331,893 |
| Amneal Pharmaceuticals, Inc. | | Morgan Stanley | | (2,457) | | (10,041) | | (10,246) | | (236) |
| Apellis Pharmaceuticals, Inc. | | Morgan Stanley | | (2,926) | | (184,995) | | (148,670) | | 35,883 |
| Arrowhead Pharmaceuticals, Inc. | | Morgan Stanley | | (970) | | (49,193) | | (44,610) | | 4,268 |
| Arvinas, Inc. | | Morgan Stanley | | (6,592) | | (544,799) | | (443,642) | | 99,741 |
| Aurinia Pharmaceuticals, Inc. (Canada) | | Morgan Stanley | | (24,681) | | (278,990) | | (305,551) | | (27,223) |
| Avid Bioservices, Inc. | | Morgan Stanley | | (5,233) | | (150,328) | | (106,596) | | 43,538 |
| Axsome Therapeutics, Inc. | | Morgan Stanley | | (7,895) | | (347,435) | | (326,774) | | 15,047 |
| Bridgebio Pharma, Inc. | | Morgan Stanley | | (5,299) | | (159,349) | | (53,785) | | 105,475 |
| C4 Therapeutics, Inc. | | Morgan Stanley | | (315) | | (11,578) | | (7,642) | | 3,901 |
| CareDx, Inc. | | Morgan Stanley | | (4,255) | | (192,040) | | (157,392) | | 35,448 |
| Catalent, Inc. | | Morgan Stanley | | (6,534) | | (810,676) | | (724,621) | | 85,140 |
| Catalyst Pharmaceuticals, Inc. | | Morgan Stanley | | (47) | | (399) | | (390) | | — |
| ChemoCentryx, Inc. | | Morgan Stanley | | (10,713) | | (265,873) | | (268,575) | | (3,333) |
| Coherus Biosciences, Inc. | | Morgan Stanley | | (2,342) | | (28,807) | | (30,235) | | (1,504) |
| Denali Therapeutics, Inc. | | Morgan Stanley | | (783) | | (24,729) | | (25,189) | | (694) |
| Eli Lilly & Co. | | Morgan Stanley | | (1,540) | | (446,472) | | (441,010) | | (4,523) |
| Emergent BioSolutions, Inc. | | Morgan Stanley | | (6,479) | | (310,922) | | (266,028) | | 45,911 |
| Exact Sciences Corp. | | Morgan Stanley | | (2,874) | | (200,522) | | (200,950) | | (3,975) |
| FibroGen, Inc. | | Morgan Stanley | | (2,678) | | (34,379) | | (32,190) | | 2,101 |
| Jazz Pharmaceuticals PLC (Ireland) | | Morgan Stanley | | (2,552) | | (389,054) | | (397,270) | | (11,844) |
| Ligand Pharmaceuticals, Inc. | | Morgan Stanley | | (164) | | (18,611) | | (18,448) | | 111 |
| MannKind Corp. | | Morgan Stanley | | (3,932) | | (14,126) | | (14,470) | | (385) |
| Medpace Holdings, Inc. | | Morgan Stanley | | (352) | | (69,066) | | (57,584) | | 11,313 |
| Mirati Therapeutics, Inc. | | Morgan Stanley | | (8) | | (667) | | (658) | | (36) |
| NanoString Technologies, Inc. | | Morgan Stanley | | (12,718) | | (524,547) | | (441,951) | | 81,006 |
| Nektar Therapeutics | | Morgan Stanley | | (11,283) | | (141,516) | | (60,815) | | 80,361 |
| NeoGenomics, Inc. | | Morgan Stanley | | (23,473) | | (734,980) | | (285,197) | | 448,052 |
| Novavax, Inc. | | Morgan Stanley | | (1,439) | | (247,672) | | (105,982) | | 141,101 |
| OPKO Health, Inc. | | Morgan Stanley | | (5,968) | | (18,984) | | (20,530) | | (1,932) |
| Pacira BioSciences, Inc. | | Morgan Stanley | | (1,595) | | (116,534) | | (121,730) | | (5,478) |
| Perrigo Co. PLC (Ireland) | | Morgan Stanley | | (21,640) | | (1,012,781) | | (831,625) | | 166,676 |
| Quanterix Corp. | | Morgan Stanley | | (1,590) | | (43,570) | | (46,412) | | (2,952) |
| Reata Pharmaceuticals, Inc., Class A | | Morgan Stanley | | (440) | | (91,659) | | (14,414) | | 87,657 |
| Revance Therapeutics, Inc. | | Morgan Stanley | | (1,254) | | (35,856) | | (24,453) | | 12,875 |
| Sana Biotechnology, Inc. | | Morgan Stanley | | (1,311) | | (19,528) | | (10,829) | | 8,790 |
| Seagen, Inc. | | Morgan Stanley | | (4,091) | | (522,915) | | (589,309) | | (67,627) |
| Sotera Health Co. | | Morgan Stanley | | (5,688) | | (128,197) | | (123,202) | | 4,672 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Pharmaceuticals, Biotechnology & Life Sciences — (continued) | | | | | | | | |
| SpringWorks Therapeutics, Inc. | | Morgan Stanley | | (1,576) | | $ (89,811) | | $ (88,949) | | $ 643 |
| Travere Therapeutics, Inc. | | Morgan Stanley | | (128) | | (3,240) | | (3,299) | | (94) |
| Turning Point Therapeutics, Inc. | | Morgan Stanley | | (44) | | (1,223) | | (1,181) | | 31 |
| Twist Bioscience Corp. | | Morgan Stanley | | (1,452) | | (130,966) | | (71,700) | | 58,952 |
| Xenon Pharmaceuticals, Inc. (Canada) | | Morgan Stanley | | (4,059) | | (119,285) | | (124,084) | | (5,467) |
| | | | | (239,150) | | (10,112,205) | | (8,166,994) | | 1,902,513 |
| Retailing | | | | | | | | |
| 1-800-Flowers.com, Inc., Class A | | Morgan Stanley | | (4,922) | | (154,320) | | (62,805) | | 91,145 |
| Abercrombie & Fitch Co., Class A | | Morgan Stanley | | (1,632) | | (53,854) | | (52,208) | | 1,513 |
| American Eagle Outfitters, Inc. | | Morgan Stanley | | (15,128) | | (272,687) | | (254,150) | | 16,952 |
| Asbury Automotive Group, Inc. | | Morgan Stanley | | (2,104) | | (381,727) | | (337,061) | | 43,763 |
| Bed Bath & Beyond, Inc. | | Morgan Stanley | | (16,287) | | (250,807) | | (366,946) | | (120,773) |
| Big Lots, Inc. | | Morgan Stanley | | (3,061) | | (115,243) | | (105,911) | | 8,928 |
| Boot Barn Holdings, Inc. | | Morgan Stanley | | (724) | | (72,008) | | (68,628) | | 3,203 |
| CarMax, Inc. | | Morgan Stanley | | (19,426) | | (2,592,925) | | (1,874,220) | | 714,798 |
| Carvana Co. | | Morgan Stanley | | (2,998) | | (608,471) | | (357,631) | | 249,857 |
| Chewy, Inc., Class A | | Morgan Stanley | | (18,326) | | (1,055,081) | | (747,334) | | 305,266 |
| Designer Brands, Inc., Class A | | Morgan Stanley | | (4,573) | | (77,179) | | (61,781) | | 16,085 |
| Dollar Tree, Inc. | | Morgan Stanley | | (7,289) | | (1,098,608) | | (1,167,333) | | (71,308) |
| Five Below, Inc. | | Morgan Stanley | | (2,830) | | (544,088) | | (448,187) | | 94,618 |
| Floor & Decor Holdings, Inc., Class A | | Morgan Stanley | | (10,341) | | (1,126,501) | | (837,621) | | 286,232 |
| Foot Locker, Inc. | | Morgan Stanley | | (13,623) | | (464,302) | | (404,058) | | 58,951 |
| Franchise Group, Inc. | | Morgan Stanley | | (3,461) | | (136,788) | | (143,389) | | (6,930) |
| Group 1 Automotive, Inc. | | Morgan Stanley | | (860) | | (159,472) | | (144,334) | | 14,703 |
| Kohl's Corp. | | Morgan Stanley | | (2,366) | | (139,739) | | (143,048) | | (5,792) |
| Leslie's, Inc. | | Morgan Stanley | | (14,946) | | (430,705) | | (289,355) | | 141,361 |
| Monro, Inc. | | Morgan Stanley | | (1,794) | | (142,711) | | (79,546) | | 61,871 |
| Murphy U.S.A., Inc. | | Morgan Stanley | | (1,247) | | (202,150) | | (249,350) | | (50,433) |
| National Vision Holdings, Inc. | | Morgan Stanley | | (8,956) | | (372,265) | | (390,213) | | (18,828) |
| Nordstrom, Inc. | | Morgan Stanley | | (226) | | (8,604) | | (6,127) | | 2,405 |
| Ollie's Bargain Outlet Holdings, Inc. | | Morgan Stanley | | (5,897) | | (288,512) | | (253,335) | | 34,493 |
| Petco Health & Wellness Co., Inc. | | Morgan Stanley | | (46,704) | | (914,197) | | (913,997) | | (1,951) |
| Pool Corp. | | Morgan Stanley | | (519) | | (236,291) | | (219,459) | | 15,136 |
| Poshmark, Inc., Class A | | Morgan Stanley | | (16,273) | | (302,054) | | (206,016) | | 94,777 |
| Qurate Retail, Inc. | | Morgan Stanley | | (98,729) | | (781,968) | | (469,950) | | 310,177 |
| Rent-A-Center, Inc. | | Morgan Stanley | | (210) | | (5,419) | | (5,290) | | 108 |
| Sally Beauty Holdings, Inc. | | Morgan Stanley | | (7,328) | | (153,707) | | (114,537) | | 41,504 |
| Sleep Number Corp. | | Morgan Stanley | | (1,662) | | (104,713) | | (84,280) | | 20,754 |
| Stitch Fix, Inc., Class A | | Morgan Stanley | | (14,539) | | (160,500) | | (146,408) | | 13,708 |
| Tractor Supply Co. | | Morgan Stanley | | (4,427) | | (994,209) | | (1,033,129) | | (45,574) |
| Urban Outfitters, Inc. | | Morgan Stanley | | (11,485) | | (427,051) | | (288,388) | | 141,036 |
| Wayfair, Inc., Class A | | Morgan Stanley | | (2,095) | | (295,167) | | (232,084) | | 61,314 |
| | | | | (366,988) | | (15,124,023) | | (12,558,109) | | 2,523,069 |
| Semiconductors & Semiconductor Equipment | | | | | | | | |
| ACM Research, Inc., Class A | | Morgan Stanley | | (18,233) | | (521,941) | | (377,241) | | 143,254 |
| Ambarella, Inc. (Cayman Islands) | | Morgan Stanley | | (3,353) | | (303,178) | | (351,797) | | (55,266) |
| Amkor Technology, Inc. | | Morgan Stanley | | (2,829) | | (71,924) | | (61,446) | | 11,120 |
| Analog Devices, Inc. | | Morgan Stanley | | (358) | | (66,721) | | (59,134) | | 6,962 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Semiconductors & Semiconductor Equipment — (continued) | | | | | | | | |
| Azenta, Inc. | | Morgan Stanley | | (2,836) | | $ (249,940) | | $ (235,048) | | $ 14,164 |
| Cirrus Logic, Inc. | | Morgan Stanley | | (13,309) | | (1,144,943) | | (1,128,470) | | 13,781 |
| CMC Materials, Inc. | | Morgan Stanley | | (430) | | (82,192) | | (79,722) | | 1,817 |
| Enphase Energy, Inc. | | Morgan Stanley | | (2,066) | | (330,491) | | (416,877) | | (101,680) |
| Entegris, Inc. | | Morgan Stanley | | (2,013) | | (265,110) | | (264,226) | | (950) |
| First Solar, Inc. | | Morgan Stanley | | (3,690) | | (294,772) | | (309,001) | | (14,928) |
| FormFactor, Inc. | | Morgan Stanley | | (9,645) | | (378,419) | | (405,379) | | (28,542) |
| Impinj, Inc. | | Morgan Stanley | | (1,548) | | (92,034) | | (98,360) | | (6,869) |
| MaxLinear, Inc. | | Morgan Stanley | | (68) | | (4,058) | | (3,968) | | 73 |
| SMART Global Holdings, Inc. (Cayman Islands) | | Morgan Stanley | | (20,473) | | (555,328) | | (528,818) | | 25,201 |
| Texas Instruments, Inc. | | Morgan Stanley | | (544) | | (101,268) | | (99,813) | | 2,510 |
| Wolfspeed, Inc. | | Morgan Stanley | | (5,884) | | (559,235) | | (669,952) | | (145,344) |
| | | | | (87,279) | | (5,021,554) | | (5,089,252) | | (134,697) |
| Software & Services | | | | | | | | |
| 8x8, Inc. | | Morgan Stanley | | (11,055) | | (261,833) | | (139,182) | | 121,863 |
| Alteryx, Inc., Class A | | Morgan Stanley | | (7,585) | | (907,579) | | (542,555) | | 393,987 |
| Amdocs Ltd. (Guernsey) | | Morgan Stanley | | (6,905) | | (535,175) | | (567,660) | | (37,998) |
| Appfolio, Inc., Class A | | Morgan Stanley | | (2,927) | | (394,200) | | (331,366) | | 61,903 |
| AppLovin Corp., Class A | | Morgan Stanley | | (4,109) | | (225,845) | | (226,283) | | (975) |
| Asana, Inc., Class A | | Morgan Stanley | | (8,370) | | (570,274) | | (334,549) | | 234,380 |
| Aspen Technology, Inc. | | Morgan Stanley | | (3,558) | | (543,841) | | (588,386) | | (45,828) |
| Avalara, Inc. | | Morgan Stanley | | (5,987) | | (871,170) | | (595,766) | | 277,594 |
| Avaya Holdings Corp. | | Morgan Stanley | | (30,228) | | (474,637) | | (382,989) | | 90,527 |
| BigCommerce Holdings, Inc. | | Morgan Stanley | | (8,028) | | (167,325) | | (175,893) | | (8,968) |
| Blackbaud, Inc. | | Morgan Stanley | | (3,299) | | (200,564) | | (197,511) | | 2,574 |
| Blackline, Inc. | | Morgan Stanley | | (1,996) | | (147,350) | | (146,147) | | 782 |
| Bottomline Technologies DE, Inc. | | Morgan Stanley | | (4,189) | | (175,386) | | (237,433) | | (69,480) |
| Ceridian HCM Holding, Inc. | | Morgan Stanley | | (651) | | (64,905) | | (44,502) | | 20,243 |
| Citrix Systems, Inc. | | Morgan Stanley | | (7,367) | | (867,185) | | (743,330) | | 114,314 |
| Clearwater Analytics Holdings, Inc., Class A | | Morgan Stanley | | (1,590) | | (31,403) | | (33,390) | | (2,068) |
| CommVault Systems, Inc. | | Morgan Stanley | | (1,935) | | (133,928) | | (128,387) | | 5,355 |
| Conduent, Inc. | | Morgan Stanley | | (18,582) | | (131,470) | | (95,883) | | 36,215 |
| Confluent, Inc., Class A | | Morgan Stanley | | (13,335) | | (489,866) | | (546,735) | | (66,944) |
| Coupa Software, Inc. | | Morgan Stanley | | (7,150) | | (1,232,754) | | (726,655) | | 503,203 |
| Datto Holding Corp. | | Morgan Stanley | | (574) | | (15,111) | | (15,337) | | (269) |
| Digital Turbine, Inc. | | Morgan Stanley | | (2,968) | | (223,978) | | (130,028) | | 93,417 |
| Dolby Laboratories, Inc., Class A | | Morgan Stanley | | (1,432) | | (111,590) | | (112,011) | | (691) |
| Domo, Inc., Class B | | Morgan Stanley | | (4,295) | | (199,683) | | (217,198) | | (19,156) |
| Duck Creek Technologies, Inc. | | Morgan Stanley | | (4,053) | | (106,826) | | (89,652) | | 16,915 |
| Dynatrace, Inc. | | Morgan Stanley | | (1,314) | | (97,595) | | (61,889) | | 35,469 |
| Envestnet, Inc. | | Morgan Stanley | | (2,337) | | (172,144) | | (173,966) | | (2,413) |
| Everbridge, Inc. | | Morgan Stanley | | (10,615) | | (643,650) | | (463,239) | | 175,913 |
| Evo Payments, Inc., Class A | | Morgan Stanley | | (1,039) | | (30,710) | | (23,991) | | 7,157 |
| Expensify, Inc., Class A | | Morgan Stanley | | (74) | | (1,215) | | (1,299) | | (95) |
| Fastly, Inc., Class A | | Morgan Stanley | | (17,880) | | (669,528) | | (310,754) | | 357,196 |
| Five9, Inc. | | Morgan Stanley | | (2,759) | | (280,595) | | (304,594) | | (31,743) |
| Guidewire Software, Inc. | | Morgan Stanley | | (5,319) | | (605,282) | | (503,284) | | 102,283 |
| Hive Blockchain Technologies Ltd. (Canada) | | Morgan Stanley | | (64,457) | | (211,497) | | (137,293) | | 73,535 |
| Jack Henry & Associates, Inc. | | Morgan Stanley | | (140) | | (27,808) | | (27,587) | | 147 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Software & Services — (continued) | | | | | | | | |
| Jamf Holding Corp. | | Morgan Stanley | | (15,762) | | $ (528,369) | | $ (548,675) | | $ (22,893) |
| JFrog Ltd. (Israel) | | Morgan Stanley | | (8,969) | | (293,764) | | (241,715) | | 51,353 |
| Lightspeed Commerce, Inc. (Canada) | | Morgan Stanley | | (18,309) | | (862,713) | | (557,875) | | 298,317 |
| LivePerson, Inc. | | Morgan Stanley | | (10,438) | | (336,911) | | (254,896) | | 81,217 |
| LiveRamp Holdings, Inc. | | Morgan Stanley | | (8,208) | | (358,672) | | (306,897) | | 50,927 |
| Mandiant, Inc. | | Morgan Stanley | | (5,907) | | (110,014) | | (131,785) | | (29,022) |
| Model N, Inc. | | Morgan Stanley | | (4,796) | | (154,649) | | (129,012) | | 25,224 |
| nCino, Inc. | | Morgan Stanley | | (8,781) | | (469,158) | | (359,845) | | 107,667 |
| New Relic, Inc. | | Morgan Stanley | | (2,193) | | (145,955) | | (146,668) | | (1,063) |
| Okta, Inc. | | Morgan Stanley | | (8,630) | | (1,382,064) | | (1,302,785) | | 76,033 |
| PagerDuty, Inc. | | Morgan Stanley | | (565) | | (23,864) | | (19,317) | | 4,611 |
| Paymentus Holdings, Inc., Class A | | Morgan Stanley | | (1,249) | | (25,653) | | (26,329) | | (744) |
| Paysafe Ltd. (Bermuda) | | Morgan Stanley | | (24,940) | | (165,018) | | (84,547) | | 80,297 |
| Perficient, Inc. | | Morgan Stanley | | (1,593) | | (216,955) | | (175,373) | | 41,065 |
| Ping Identity Holding Corp. | | Morgan Stanley | | (10,672) | | (362,905) | | (292,733) | | 72,929 |
| PROS Holdings, Inc. | | Morgan Stanley | | (4,629) | | (223,445) | | (154,192) | | 70,340 |
| Q2 Holdings, Inc. | | Morgan Stanley | | (3,500) | | (398,301) | | (215,775) | | 184,575 |
| Qualtrics International, Inc., Class A | | Morgan Stanley | | (3,899) | | (111,587) | | (111,316) | | (84) |
| Qualys, Inc. | | Morgan Stanley | | (315) | | (44,607) | | (44,859) | | (365) |
| Rackspace Technology, Inc. | | Morgan Stanley | | (19,072) | | (460,040) | | (212,844) | | 248,513 |
| RingCentral, Inc., Class A | | Morgan Stanley | | (9,463) | | (1,411,774) | | (1,109,158) | | 299,299 |
| Riot Blockchain, Inc. | | Morgan Stanley | | (14,545) | | (347,328) | | (307,918) | | 24,648 |
| Sabre Corp. | | Morgan Stanley | | (12,817) | | (179,928) | | (146,498) | | 33,000 |
| SecureWorks Corp., Class A | | Morgan Stanley | | (35) | | (467) | | (464) | | (6) |
| Shift4 Payments, Inc., Class A | | Morgan Stanley | | (4,957) | | (363,877) | | (306,987) | | 55,860 |
| Smartsheet, Inc., Class A | �� | Morgan Stanley | | (6,615) | | (385,317) | | (362,370) | | 22,036 |
| SolarWinds Corp. | | Morgan Stanley | | (12,539) | | (251,762) | | (166,894) | | 85,353 |
| Sumo Logic, Inc. | | Morgan Stanley | | (13,446) | | (215,696) | | (156,915) | | 58,170 |
| Switch, Inc., Class A | | Morgan Stanley | | (17,560) | | (454,064) | | (541,199) | | (100,298) |
| TaskUS, Inc., Class A | | Morgan Stanley | | (1,551) | | (60,481) | | (59,651) | | 432 |
| Toast, Inc., Class A | | Morgan Stanley | | (10,456) | | (195,346) | | (227,209) | | (41,121) |
| Tucows, Inc., Class A | | Morgan Stanley | | (1,350) | | (77,215) | | (92,205) | | (15,219) |
| Twilio, Inc., Class A | | Morgan Stanley | | (5,493) | | (1,633,595) | | (905,301) | | 724,457 |
| Tyler Technologies, Inc. | | Morgan Stanley | | (464) | | (225,322) | | (206,429) | | 18,518 |
| Verra Mobility Corp. | | Morgan Stanley | | (10,677) | | (156,968) | | (173,822) | | (18,274) |
| VMware, Inc., Class A | | Morgan Stanley | | (6,375) | | (744,886) | | (725,921) | | 13,142 |
| Vonage Holdings Corp. | | Morgan Stanley | | (8,554) | | (172,159) | | (173,561) | | (2,138) |
| WEX, Inc. | | Morgan Stanley | | (6,125) | | (1,222,647) | | (1,093,006) | | 127,189 |
| Xperi Holding Corp. | | Morgan Stanley | | (4,053) | | (68,574) | | (70,198) | | (1,806) |
| | | | | (577,604) | | (26,665,952) | | (21,499,868) | | 5,060,483 |
| Technology Hardware & Equipment | | | | | | | | |
| ADTRAN, Inc. | | Morgan Stanley | | (3,398) | | (44,352) | | (62,693) | | (21,154) |
| Advanced Energy Industries, Inc. | | Morgan Stanley | | (4,080) | | (366,575) | | (351,206) | | 13,959 |
| Avid Technology, Inc. | | Morgan Stanley | | (44) | | (1,552) | | (1,534) | | 172 |
| Avnet, Inc. | | Morgan Stanley | | (13,358) | | (548,004) | | (542,201) | | (4,429) |
| Benchmark Electronics, Inc. | | Morgan Stanley | | (1,280) | | (32,841) | | (32,051) | | 506 |
| Calix, Inc. | | Morgan Stanley | | (4,370) | | (279,534) | | (187,517) | | 91,354 |
| Celestica, Inc. (Canada) | | Morgan Stanley | | (8,092) | | (67,090) | | (96,376) | | (30,957) |
| Cognex Corp. | | Morgan Stanley | | (1,148) | | (88,439) | | (88,568) | | (309) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Technology Hardware & Equipment — (continued) | | | | | | | | |
| CommScope Holding Co., Inc. | | Morgan Stanley | | (87,417) | | $(1,039,061) | | $ (688,846) | | $ 352,022 |
| Corsair Gaming, Inc. | | Morgan Stanley | | (7,977) | | (189,937) | | (168,793) | | 20,691 |
| Fabrinet (Cayman Islands) | | Morgan Stanley | | (1,394) | | (130,682) | | (146,551) | | (16,183) |
| Harmonic, Inc. | | Morgan Stanley | | (2,458) | | (22,949) | | (22,835) | | 53 |
| Insight Enterprises, Inc. | | Morgan Stanley | | (1,993) | | (194,336) | | (213,889) | | (21,906) |
| Littelfuse, Inc. | | Morgan Stanley | | (1,683) | | (428,921) | | (419,757) | | 7,732 |
| Methode Electronics, Inc. | | Morgan Stanley | | (1,235) | | (52,648) | | (53,414) | | (897) |
| National Instruments Corp. | | Morgan Stanley | | (13,352) | | (558,030) | | (541,958) | | 8,511 |
| nLight, Inc. | | Morgan Stanley | | (1,354) | | (37,879) | | (23,478) | | 14,304 |
| Novanta, Inc. (Canada) | | Morgan Stanley | | (595) | | (103,587) | | (84,663) | | 19,520 |
| OSI Systems, Inc. | | Morgan Stanley | | (2,547) | | (219,715) | | (216,801) | | 2,392 |
| PAR Technology Corp. | | Morgan Stanley | | (1,527) | | (58,582) | | (61,599) | | (3,169) |
| Plantronics, Inc. | | Morgan Stanley | | (2,603) | | (71,991) | | (102,558) | | (30,744) |
| Plexus Corp. | | Morgan Stanley | | (3,260) | | (280,430) | | (266,701) | | 13,065 |
| Rogers Corp. | | Morgan Stanley | | (905) | | (246,933) | | (245,889) | | 454 |
| ScanSource, Inc. | | Morgan Stanley | | (305) | | (10,585) | | (10,611) | | (58) |
| Stratasys Ltd. (Israel) | | Morgan Stanley | | (2,245) | | (52,107) | | (57,001) | | (5,188) |
| Super Micro Computer, Inc. | | Morgan Stanley | | (5,602) | | (221,115) | | (213,268) | | 7,321 |
| TD SYNNEX Corp. | | Morgan Stanley | | (1,360) | | (147,215) | | (140,366) | | 6,705 |
| Teledyne Technologies, Inc. | | Morgan Stanley | | (702) | | (322,328) | | (331,786) | | (10,397) |
| TTM Technologies, Inc. | | Morgan Stanley | | (3,360) | | (49,278) | | (49,795) | | (641) |
| Ubiquiti, Inc. | | Morgan Stanley | | (1,100) | | (302,059) | | (320,276) | | (18,863) |
| Viasat, Inc. | | Morgan Stanley | | (14,527) | | (694,126) | | (708,918) | | (16,427) |
| Viavi Solutions, Inc. | | Morgan Stanley | | (6,434) | | (109,820) | | (103,459) | | 6,242 |
| | | | | (201,705) | | (6,972,701) | | (6,555,358) | | 383,681 |
| Telecommunication Services | | | | | | | | |
| Bandwidth, Inc., Class A | | Morgan Stanley | | (4,030) | | (357,365) | | (130,532) | | 225,988 |
| Frontier Communications Parent, Inc. | | Morgan Stanley | | (2,744) | | (72,208) | | (75,926) | | (3,895) |
| Globalstar, Inc. | | Morgan Stanley | | (297,323) | | (452,854) | | (437,065) | | 13,044 |
| Radius Global Infrastructure, Inc., Class A | | Morgan Stanley | | (4,059) | | (57,467) | | (57,963) | | (639) |
| Rogers Communications, Inc., Class B (Canada) | | Morgan Stanley | | (1,631) | | (83,648) | | (92,559) | | (9,457) |
| Shenandoah Telecommunications Co. | | Morgan Stanley | | (4,242) | | (151,902) | | (100,026) | | 11,736 |
| United States Cellular Corp. | | Morgan Stanley | | (2,163) | | (73,851) | | (65,387) | | 8,282 |
| | | | | (316,192) | | (1,249,295) | | (959,458) | | 245,059 |
| Transportation | | | | | | | | |
| Air Transport Services Group, Inc. | | Morgan Stanley | | (10,126) | | (225,233) | | (338,715) | | (116,349) |
| Canadian Pacific Railway Ltd. (Canada) | | Morgan Stanley | | (7,303) | | (555,236) | | (602,790) | | (48,862) |
| CH Robinson Worldwide, Inc. | | Morgan Stanley | | (20,871) | | (2,044,993) | | (2,248,015) | | (227,333) |
| Genco Shipping & Trading Ltd. (Marshall Islands) | | Morgan Stanley | | (394) | | (9,248) | | (9,306) | | (88) |
| JB Hunt Transport Services, Inc. | | Morgan Stanley | | (2,948) | | (592,431) | | (591,929) | | (3,984) |
| Kirby Corp. | | Morgan Stanley | | (2,012) | | (124,819) | | (145,246) | | (25,181) |
| SkyWest, Inc. | | Morgan Stanley | | (5,045) | | (166,290) | | (145,548) | | 20,344 |
| TFI International, Inc. (Canada) | | Morgan Stanley | | (1,919) | | (214,174) | | (204,393) | | 7,822 |
| Werner Enterprises, Inc. | | Morgan Stanley | | (18,325) | | (851,326) | | (751,325) | | 96,341 |
| | | | | (68,943) | | (4,783,750) | | (5,037,267) | | (297,290) |
| Utilities | | | | | | | | |
| Algonquin Power & Utilities Corp. (Canada) | | Morgan Stanley | | (39,432) | | (616,301) | | (611,985) | | (20,534) |
| ALLETE, Inc. | | Morgan Stanley | | (3,091) | | (249,812) | | (207,035) | | 24,819 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Concluded)
March 31, 2022
(Unaudited)
Total Return Swaps (concluded)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Utilities — (continued) | | | | | | | | |
| Ameren Corp. | | Morgan Stanley | | (2,007) | | $ (169,707) | | $ (188,176) | | $ (24,210) |
| Avangrid, Inc. | | Morgan Stanley | | (6,026) | | (310,835) | | (281,655) | | 11,278 |
| Avista Corp. | | Morgan Stanley | | (9,483) | | (394,868) | | (428,157) | | (38,845) |
| Black Hills Corp. | | Morgan Stanley | | (7,844) | | (603,293) | | (604,145) | | (34,210) |
| California Water Service Group | | Morgan Stanley | | (1,266) | | (64,612) | | (75,048) | | (11,884) |
| CenterPoint Energy, Inc. | | Morgan Stanley | | (2,129) | | (57,044) | | (65,233) | | (9,395) |
| Clearway Energy, Inc., Class A | | Morgan Stanley | | (4,201) | | (109,775) | | (139,977) | | (35,954) |
| Dominion Energy, Inc. | | Morgan Stanley | | (2,553) | | (214,221) | | (216,928) | | (1,062) |
| Duke Energy Corp. | | Morgan Stanley | | (2,282) | | (234,677) | | (254,808) | | (29,569) |
| Entergy Corp. | | Morgan Stanley | | (3,607) | | (399,165) | | (421,117) | | (34,838) |
| Essential Utilities, Inc. | | Morgan Stanley | | (2,984) | | (141,656) | | (152,572) | | (11,256) |
| Evergy, Inc. | | Morgan Stanley | | (8,469) | | (555,054) | | (578,771) | | (30,568) |
| Eversource Energy | | Morgan Stanley | | (5,763) | | (515,358) | | (508,239) | | (1,546) |
| Fortis, Inc. (Canada) | | Morgan Stanley | | (5,011) | | (229,151) | | (248,045) | | (21,671) |
| MGE Energy, Inc. | | Morgan Stanley | | (86) | | (6,860) | | (6,862) | | (26) |
| New Jersey Resources Corp. | | Morgan Stanley | | (3,645) | | (143,574) | | (167,160) | | (25,962) |
| NiSource, Inc. | | Morgan Stanley | | (2,560) | | (67,226) | | (81,408) | | (24,697) |
| Northwest Natural Holding Co. | | Morgan Stanley | | (4,814) | | (246,669) | | (248,980) | | (12,415) |
| NorthWestern Corp. | | Morgan Stanley | | (3,949) | | (266,961) | | (238,875) | | 13,752 |
| OGE Energy Corp. | | Morgan Stanley | | (7,045) | | (263,512) | | (287,295) | | (27,226) |
| ONE Gas, Inc. | | Morgan Stanley | | (2,850) | | (215,367) | | (251,484) | | (38,156) |
| Ormat Technologies, Inc. | | Morgan Stanley | | (2,085) | | (169,114) | | (170,616) | | (4,290) |
| Pinnacle West Capital Corp. | | Morgan Stanley | | (12,196) | | (964,368) | | (952,508) | | (15,445) |
| PNM Resources, Inc. | | Morgan Stanley | | (2,974) | | (144,152) | | (141,771) | | (517) |
| Portland General Electric Co. | | Morgan Stanley | | (4,720) | | (235,884) | | (260,308) | | (33,503) |
| SJW Group | | Morgan Stanley | | (2,079) | | (136,651) | | (144,657) | | (12,037) |
| South Jersey Industries, Inc. | | Morgan Stanley | | (17,219) | | (451,151) | | (594,916) | | (172,952) |
| Southwest Gas Holdings, Inc. | | Morgan Stanley | | (7,017) | | (555,170) | | (549,361) | | (21,301) |
| Spire, Inc. | | Morgan Stanley | | (6,630) | | (456,897) | | (475,769) | | (30,318) |
| Sunnova Energy International, Inc. | | Morgan Stanley | | (5,051) | | (122,919) | | (116,476) | | 2,263 |
| Vistra Corp. | | Morgan Stanley | | (11,279) | | (214,349) | | (262,237) | | (55,868) |
| WEC Energy Group, Inc. | | Morgan Stanley | | (1,624) | | (140,355) | | (162,091) | | (27,490) |
| Xcel Energy, Inc. | | Morgan Stanley | | (3,084) | | (215,203) | | (222,572) | | (12,207) |
| | | | | (207,055) | | (9,881,911) | | (10,317,237) | | (767,840) |
|
|
| Total Reference Entity — Short | | | | | | (207,911,125) | | (186,771,094) | | 19,530,888 |
| Net Value of Reference Entity | | | | | | $ (29,891,167) | | $ 9,411,723 | | $39,756,771 |
| * | Includes $453,881 related to open trades, dividends receivables/payables and swap receivables/payables activities. |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — 94.1% |
| Automobiles & Components — 1.2% |
| Ford Motor Co.(a) | 9,209 | | $ 155,724 |
| General Motors Co.(a)* | 3,020 | | 132,095 |
| Gentherm, Inc.(a)* | 255 | | 18,625 |
| Luminar Technologies, Inc.* | 369 | | 5,768 |
| Magna International, Inc. (Canada) | 965 | | 62,059 |
| Tenneco, Inc., Class A(a)* | 1,563 | | 28,634 |
| Thor Industries, Inc. | 1,232 | | 96,958 |
| Visteon Corp.* | 650 | | 70,935 |
| | | | 570,798 |
| Capital Goods — 8.8% |
| 3M Co.(a) | 610 | | 90,817 |
| A.O. Smith Corp.(a) | 1,813 | | 115,833 |
| AECOM (a) | 1,849 | | 142,022 |
| Aerojet Rocketdyne Holdings, Inc.* | 2,150 | | 84,602 |
| Albany International Corp., Class A | 348 | | 29,343 |
| Apogee Enterprises, Inc. | 152 | | 7,214 |
| Armstrong World Industries, Inc. | 157 | | 14,132 |
| Atkore, Inc.(a)* | 2,207 | | 217,257 |
| Boise Cascade Co.(a) | 1,744 | | 121,156 |
| Builders FirstSource, Inc.(a)* | 4,838 | | 312,244 |
| Carrier Global Corp.(a) | 1,505 | | 69,034 |
| Crane Co.(a) | 817 | | 88,465 |
| CSW Industrials, Inc. | 9 | | 1,058 |
| Cummins, Inc. | 261 | | 53,534 |
| Curtiss-Wright Corp. | 108 | | 16,217 |
| Deere & Co.(a) | 171 | | 71,044 |
| Eaton Corp. PLC (Ireland) | 829 | | 125,809 |
| Encore Wire Corp.(a) | 1,592 | | 181,599 |
| Enerpac Tool Group Corp. | 28 | | 613 |
| Fastenal Co. | 599 | | 35,581 |
| Fortune Brands Home & Security, Inc. | 394 | | 29,266 |
| General Dynamics Corp.(a) | 639 | | 154,114 |
| General Electric Co. | 869 | | 79,513 |
| Graco, Inc. | 271 | | 18,894 |
| Hillenbrand, Inc. | 241 | | 10,645 |
| Honeywell International, Inc. | 221 | | 43,002 |
| Hubbell, Inc. | 56 | | 10,291 |
| Ingersoll Rand, Inc.(a) | 2,143 | | 107,900 |
| ITT, Inc. | 1,184 | | 89,049 |
| Johnson Controls International PLC (Ireland) | 1,138 | | 74,619 |
| Kadant, Inc. | 5 | | 971 |
| L3Harris Technologies, Inc. | 94 | | 23,356 |
| Lockheed Martin Corp.(a) | 519 | | 229,087 |
| Masco Corp. | 941 | | 47,991 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Capital Goods — (Continued) |
| Mueller Industries, Inc. | 1,163 | | $ 63,000 |
| Nordson Corp.(a) | 434 | | 98,553 |
| NOW, Inc.* | 897 | | 9,894 |
| nVent Electric PLC (Ireland) | 1,038 | | 36,102 |
| Otis Worldwide Corp. | 1,087 | | 83,645 |
| Owens Corning(a) | 212 | | 19,398 |
| Parker-Hannifin Corp.(a) | 188 | | 53,347 |
| Pentair PLC (Ireland) | 1,223 | | 66,299 |
| Quanta Services, Inc. | 367 | | 48,301 |
| Raytheon Technologies Corp.(a) | 621 | | 61,522 |
| Resideo Technologies, Inc.* | 1,485 | | 35,388 |
| Roper Technologies, Inc. | 128 | | 60,445 |
| Shyft Group, Inc. (The) | 280 | | 10,111 |
| Simpson Manufacturing Co., Inc.(a) | 235 | | 25,624 |
| SiteOne Landscape Supply, Inc.* | 155 | | 25,062 |
| Snap-on, Inc.(a) | 270 | | 55,480 |
| Spirit AeroSystems Holdings, Inc., Class A(a) | 6,098 | | 298,131 |
| SPX FLOW, Inc.(a)* | 129 | | 11,122 |
| Standex International Corp. | 1 | | 100 |
| Terex Corp.(a) | 234 | | 8,344 |
| Textron, Inc. | 94 | | 6,992 |
| Trane Technologies PLC (Ireland) | 286 | | 43,672 |
| TransDigm Group, Inc.* | 25 | | 16,288 |
| Trex Co., Inc.(a)* | 1,938 | | 126,610 |
| Veritiv Corp.* | 228 | | 30,458 |
| Wabash National Corp.(a) | 1,411 | | 20,939 |
| Watts Water Technologies, Inc., Class A(a) | 302 | | 42,156 |
| Westinghouse Air Brake Technologies Corp. | 664 | | 63,857 |
| WillScot Mobile Mini Holdings Corp.(a)* | 647 | | 25,317 |
| WW Grainger, Inc. | 42 | | 21,663 |
| Zurn Water Solutions Corp.(a) | 4,685 | | 165,849 |
| | | | 4,329,941 |
| Commercial & Professional Services — 2.9% |
| ACV Auctions, Inc., Class A* | 255 | | 3,777 |
| Brink's Co. (The) | 392 | | 26,656 |
| Cimpress PLC (Ireland)* | 319 | | 20,285 |
| Cintas Corp. | 403 | | 171,432 |
| Clean Harbors, Inc.(a)* | 29 | | 3,238 |
| Copart, Inc.(a)* | 1,089 | | 136,637 |
| CoreCivic, Inc.* | 1,303 | | 14,555 |
| Deluxe Corp. | 43 | | 1,300 |
| Exponent, Inc. | 145 | | 15,667 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Commercial & Professional Services — (Continued) |
| Huron Consulting Group, Inc.* | 65 | | $ 2,978 |
| Jacobs Engineering Group, Inc.(a) | 978 | | 134,778 |
| KBR, Inc. | 727 | | 39,789 |
| Kelly Services, Inc., Class A | 2 | | 43 |
| Kforce, Inc. | 202 | | 14,942 |
| Korn Ferry | 1,502 | | 97,540 |
| Nielsen Holdings PLC (United Kingdom) | 4,276 | | 116,478 |
| Republic Services, Inc. | 473 | | 62,673 |
| Ritchie Bros Auctioneers, Inc. (Canada) | 659 | | 38,901 |
| Robert Half International, Inc.(a) | 778 | | 88,832 |
| Science Applications International Corp. | 85 | | 7,834 |
| Tetra Tech, Inc.(a) | 1,335 | | 220,195 |
| Thomson Reuters Corp. (Canada) | 37 | | 4,027 |
| TriNet Group, Inc.(a)* | 829 | | 81,540 |
| Verisk Analytics, Inc.(a) | 109 | | 23,395 |
| Waste Management, Inc.(a) | 531 | | 84,163 |
| | | | 1,411,655 |
| Consumer Durables & Apparel — 2.9% |
| Acushnet Holdings Corp. | 694 | | 27,940 |
| BRP, Inc., sub-voting shares (Canada) | 18 | | 1,472 |
| Cavco Industries, Inc.* | 15 | | 3,613 |
| Crocs, Inc.(a)* | 650 | | 49,660 |
| DR Horton, Inc.(a) | 696 | | 51,859 |
| G-III Apparel Group Ltd.* | 9 | | 244 |
| GoPro, Inc., Class A* | 7,771 | | 66,287 |
| Hasbro, Inc.(a) | 697 | | 57,098 |
| Levi Strauss & Co., Class A | 1,036 | | 20,471 |
| Lululemon Athletica, Inc.* | 24 | | 8,766 |
| Mattel, Inc.(a)* | 6,333 | | 140,656 |
| Mohawk Industries, Inc.(a)* | 455 | | 56,511 |
| Movado Group, Inc. | 2 | | 78 |
| Newell Brands, Inc. | 1,276 | | 27,319 |
| NIKE, Inc., Class B(a) | 1,377 | | 185,289 |
| NVR, Inc.* | 4 | | 17,869 |
| PVH Corp. | 167 | | 12,794 |
| Ralph Lauren Corp. | 694 | | 78,727 |
| Skyline Champion Corp.(a)* | 3,217 | | 176,549 |
| Smith & Wesson Brands, Inc.(a) | 3,049 | | 46,131 |
| Sonos, Inc.* | 1,797 | | 50,711 |
| Steven Madden Ltd. | 1,321 | | 51,044 |
| Sturm Ruger & Co., Inc.(a) | 998 | | 69,481 |
| Tapestry, Inc. | 21 | | 780 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Consumer Durables & Apparel — (Continued) |
| Tempur Sealy International, Inc.(a) | 1,478 | | $ 41,266 |
| Under Armour, Inc., Class C(a)* | 1,796 | | 27,946 |
| VF Corp. | 84 | | 4,776 |
| Vista Outdoor, Inc.(a)* | 2,007 | | 71,630 |
| Whirlpool Corp.(a) | 428 | | 73,950 |
| | | | 1,420,917 |
| Consumer Services — 2.4% |
| Accel Entertainment, Inc.* | 42 | | 512 |
| Adtalem Global Education, Inc.(a)* | 48 | | 1,426 |
| Airbnb, Inc., Class A(a)* | 328 | | 56,337 |
| Bloomin' Brands, Inc.(a) | 3,150 | | 69,111 |
| Booking Holdings, Inc.* | 18 | | 42,272 |
| Boyd Gaming Corp.(a) | 453 | | 29,798 |
| Caesars Entertainment, Inc.* | 31 | | 2,398 |
| Cheesecake Factory, Inc. (The)(a)* | 2,204 | | 87,697 |
| Choice Hotels International, Inc. | 164 | | 23,249 |
| Cracker Barrel Old Country Store, Inc. | 706 | | 83,823 |
| Darden Restaurants, Inc. | 152 | | 20,208 |
| Dine Brands Global, Inc.(a) | 1,004 | | 78,262 |
| Domino's Pizza, Inc. | 33 | | 13,431 |
| European Wax Center, Inc., Class A* | 18 | | 532 |
| Graham Holdings Co., Class B | 9 | | 5,503 |
| Grand Canyon Education, Inc.* | 79 | | 7,672 |
| Houghton Mifflin Harcourt Co.* | 3,574 | | 75,090 |
| McDonald's Corp.(a) | 399 | | 98,665 |
| MGM Resorts International(a) | 1,163 | | 48,776 |
| Papa John's International, Inc. | 128 | | 13,476 |
| Penn National Gaming, Inc.(a)* | 522 | | 22,143 |
| Red Rock Resorts, Inc., Class A(a) | 1,539 | | 74,734 |
| Service Corp. International(a) | 682 | | 44,889 |
| Six Flags Entertainment Corp.* | 273 | | 11,876 |
| Starbucks Corp.(a) | 736 | | 66,954 |
| Strategic Education, Inc. | 185 | | 12,280 |
| WW International, Inc.* | 2,199 | | 22,496 |
| Wyndham Hotels & Resorts, Inc.(a) | 702 | | 59,452 |
| Wynn Resorts Ltd.* | 398 | | 31,737 |
| Yum! Brands, Inc.(a) | 537 | | 63,651 |
| | | | 1,168,450 |
| Diversified Financials — 2.3% |
| Affiliated Managers Group, Inc.(a) | 371 | | 52,292 |
| Berkshire Hathaway, Inc., Class B(a)* | 341 | | 120,342 |
| BlackRock, Inc.(a) | 163 | | 124,560 |
| Blackstone, Inc. | 137 | | 17,391 |
| Cboe Global Markets, Inc. | 255 | | 29,177 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Diversified Financials — (Continued) |
| CME Group, Inc. | 355 | | $ 84,440 |
| Donnelley Financial Solutions, Inc.* | 611 | | 20,322 |
| Franklin Resources, Inc.(a) | 5,670 | | 158,306 |
| Intercontinental Exchange, Inc. | 315 | | 41,618 |
| Invesco Ltd. (Bermuda) | 2,013 | | 46,420 |
| Moody's Corp.(a) | 208 | | 70,181 |
| MSCI, Inc. | 176 | | 88,507 |
| Nasdaq, Inc.(a) | 449 | | 80,012 |
| Open Lending Corp., Class A* | 44 | | 832 |
| S&P Global, Inc.(a) | 153 | | 62,758 |
| SEI Investments Co. | 149 | | 8,971 |
| T Rowe Price Group, Inc.(a) | 743 | | 112,334 |
| | | | 1,118,463 |
| Energy — 7.0% |
| Antero Resources Corp.* | 6 | | 183 |
| APA Corp.(a) | 1,044 | | 43,148 |
| Arch Resources, Inc. | 134 | | 18,409 |
| Baker Hughes Co.(a) | 3,026 | | 110,177 |
| Cactus, Inc., Class A | 32 | | 1,816 |
| Canadian Natural Resources Ltd. (Canada) | 2,979 | | 184,638 |
| Centennial Resource Development, Inc., Class A* | 12,567 | | 101,416 |
| ChampionX Corp.(a) | 1,605 | | 39,290 |
| Cheniere Energy, Inc. | 1,607 | | 222,811 |
| Chevron Corp.(a) | 796 | | 129,613 |
| Comstock Resources, Inc.* | 3,868 | | 50,477 |
| CONSOL Energy, Inc.* | 271 | | 10,198 |
| Continental Resources, Inc. | 869 | | 53,296 |
| Coterra Energy, Inc.(a) | 1 | | 27 |
| Denbury, Inc.(a)* | 1,021 | | 80,220 |
| Dril-Quip, Inc.* | 428 | | 15,986 |
| DT Midstream, Inc. | 161 | | 8,736 |
| EOG Resources, Inc.(a) | 1,363 | | 162,510 |
| Exxon Mobil Corp.(a) | 1,848 | | 152,626 |
| Gulfport Energy Corp.* | 12 | | 1,078 |
| Halliburton Co.(a) | 2,578 | | 97,629 |
| Helmerich & Payne, Inc. | 1,597 | | 68,320 |
| Imperial Oil Ltd. (Canada) | 853 | | 41,217 |
| Marathon Oil Corp.(a) | 6,811 | | 171,024 |
| Marathon Petroleum Corp.(a) | 6,032 | | 515,736 |
| Murphy Oil Corp.(a) | 1,593 | | 64,341 |
| Oasis Petroleum, Inc. | 654 | | 95,680 |
| Occidental Petroleum Corp.(a) | 1,844 | | 104,629 |
| Oceaneering International, Inc.* | 2,773 | | 42,039 |
| ONEOK, Inc.(a) | 1,589 | | 112,231 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Energy — (Continued) |
| Ovintiv, Inc.(a) | 1,396 | | $ 75,482 |
| PDC Energy, Inc.(a) | 1,624 | | 118,032 |
| Pembina Pipeline Corp. (Canada) | 2,134 | | 80,238 |
| Phillips 66(a) | 1,472 | | 127,166 |
| Range Resources Corp.(a)* | 511 | | 15,524 |
| SM Energy Co. | 1 | | 39 |
| Suncor Energy, Inc. (Canada) | 1,488 | | 48,494 |
| Talos Energy, Inc.* | 2,126 | | 33,570 |
| Targa Resources Corp. | 189 | | 14,264 |
| Valaris Ltd. (Bermuda)* | 163 | | 8,471 |
| Valero Energy Corp.(a) | 536 | | 54,425 |
| Vermilion Energy, Inc. (Canada) | 5,325 | | 111,931 |
| Weatherford International PLC (Ireland)* | 13 | | 433 |
| Whiting Petroleum Corp. | 717 | | 58,443 |
| Williams Cos., Inc. (The) | 320 | | 10,691 |
| | | | 3,456,704 |
| Food & Staples Retailing — 1.0% |
| Costco Wholesale Corp.(a) | 216 | | 124,384 |
| Ingles Markets, Inc., Class A | 125 | | 11,131 |
| Kroger Co. (The)(a) | 803 | | 46,068 |
| Sprouts Farmers Market, Inc.(a)* | 771 | | 24,657 |
| Sysco Corp. | 735 | | 60,013 |
| United Natural Foods, Inc.(a)* | 930 | | 38,455 |
| Walgreens Boots Alliance, Inc. | 926 | | 41,457 |
| Walmart, Inc.(a) | 955 | | 142,219 |
| Weis Markets, Inc. | 77 | | 5,499 |
| | | | 493,883 |
| Food, Beverage & Tobacco — 3.9% |
| Altria Group, Inc.(a) | 1,189 | | 62,125 |
| Archer-Daniels-Midland Co.(a) | 1,378 | | 124,378 |
| Brown-Forman Corp., Class B | 663 | | 44,434 |
| Bunge Ltd. (Bermuda) | 401 | | 44,435 |
| Coca-Cola Co. (The)(a) | 1,492 | | 92,504 |
| Coca-Cola Consolidated, Inc. | 72 | | 35,773 |
| Constellation Brands, Inc., Class A | 291 | | 67,023 |
| Darling Ingredients, Inc.* | 577 | | 46,379 |
| General Mills, Inc.(a) | 1,045 | | 70,768 |
| Hain Celestial Group, Inc. (The)* | 1,196 | | 41,142 |
| Hormel Foods Corp.(a) | 2,639 | | 136,014 |
| Kellogg Co.(a) | 443 | | 28,569 |
| Kraft Heinz Co. (The)(a) | 1,598 | | 62,945 |
| Molson Coors Beverage Co., Class B | 889 | | 47,455 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Food, Beverage & Tobacco — (Continued) |
| Mondelez International, Inc., Class A(a) | 1,634 | | $ 102,583 |
| Monster Beverage Corp.* | 720 | | 57,528 |
| PepsiCo, Inc.(a) | 675 | | 112,982 |
| Philip Morris International, Inc.(a) | 2,074 | | 194,832 |
| Sanderson Farms, Inc.(a) | 1,262 | | 236,612 |
| TreeHouse Foods, Inc.* | 471 | | 15,195 |
| Tyson Foods, Inc., Class A(a) | 2,467 | | 221,117 |
| Vector Group Ltd.(a) | 6,831 | | 82,245 |
| | | | 1,927,038 |
| Health Care Equipment & Services — 7.5% |
| Abbott Laboratories(a) | 2,199 | | 260,274 |
| Acadia Healthcare Co., Inc.(a)* | 2,160 | | 141,545 |
| Addus HomeCare Corp.* | 119 | | 11,102 |
| Align Technology, Inc.(a)* | 256 | | 111,616 |
| Allscripts Healthcare Solutions, Inc.* | 3,121 | | 70,285 |
| Amedisys, Inc.(a)* | 430 | | 74,085 |
| AMN Healthcare Services, Inc.* | 389 | | 40,584 |
| Anthem, Inc.(a) | 335 | | 164,559 |
| Apollo Medical Holdings, Inc.(a)* | 1,870 | | 90,639 |
| Avanos Medical, Inc.* | 1,145 | | 38,358 |
| Centene Corp.(a)* | 614 | | 51,693 |
| Cerner Corp.(a) | 2,375 | | 222,205 |
| Chemed Corp. | 65 | | 32,926 |
| Cigna Corp. | 148 | | 35,462 |
| CVS Health Corp. | 361 | | 36,537 |
| DaVita, Inc.* | 564 | | 63,794 |
| Dexcom, Inc.* | 136 | | 69,578 |
| Doximity, Inc., Class A* | 205 | | 10,678 |
| Edwards Lifesciences Corp.(a)* | 508 | | 59,802 |
| Ensign Group, Inc. (The) | 106 | | 9,541 |
| Envista Holdings Corp.(a)* | 1,170 | | 56,991 |
| Fulgent Genetics, Inc.(a)* | 2,389 | | 149,097 |
| Globus Medical, Inc., Class A* | 262 | | 19,330 |
| HCA Healthcare, Inc.(a) | 302 | | 75,687 |
| Hologic, Inc.(a)* | �� 876 | | 67,294 |
| ICU Medical, Inc.(a)* | 302 | | 67,237 |
| IDEXX Laboratories, Inc.* | 32 | | 17,506 |
| Integra LifeSciences Holdings Corp.(a)* | 1,074 | | 69,015 |
| Laboratory Corp. of America Holdings(a)* | 274 | | 72,243 |
| LivaNova PLC (United Kingdom)* | 1,668 | | 136,492 |
| Masimo Corp.* | 391 | | 56,906 |
| McKesson Corp.(a) | 401 | | 122,758 |
| MEDNAX, Inc.(a)* | 2,628 | | 61,705 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Health Care Equipment & Services — (Continued) |
| Medtronic PLC (Ireland) | 1,022 | | $ 113,391 |
| Merit Medical Systems, Inc.* | 371 | | 24,679 |
| ModivCare, Inc.* | 23 | | 2,654 |
| Molina Healthcare, Inc.(a)* | 243 | | 81,062 |
| Natus Medical, Inc.* | 8 | | 210 |
| NextGen Healthcare, Inc.(a)* | 1,663 | | 34,773 |
| Omnicell, Inc.(a)* | 331 | | 42,861 |
| Ortho Clinical Diagnostics Holdings PLC (United Kingdom)* | 2,639 | | 49,244 |
| Owens & Minor, Inc. | 268 | | 11,797 |
| Quest Diagnostics, Inc.(a) | 592 | | 81,021 |
| Select Medical Holdings Corp.(a) | 2,206 | | 52,922 |
| STAAR Surgical Co.(a)* | 979 | | 78,232 |
| Tandem Diabetes Care, Inc.* | 333 | | 38,725 |
| Teleflex, Inc.(a) | 744 | | 263,994 |
| Tivity Health, Inc.(a)* | 1,348 | | 43,365 |
| UnitedHealth Group, Inc.(a) | 236 | | 120,353 |
| Varex Imaging Corp.* | 776 | | 16,521 |
| Veeva Systems, Inc., Class A(a)* | 265 | | 56,302 |
| | | | 3,679,630 |
| Household & Personal Products — 1.7% |
| Church & Dwight Co., Inc.(a) | 367 | | 36,472 |
| Colgate-Palmolive Co.(a) | 1,935 | | 146,731 |
| Coty, Inc., Class A(a)* | 8,016 | | 72,064 |
| elf Beauty, Inc.(a)* | 459 | | 11,856 |
| Estee Lauder Cos., Inc. (The), Class A(a) | 749 | | 203,968 |
| Kimberly-Clark Corp.(a) | 997 | | 122,790 |
| Procter & Gamble Co. (The)(a) | 1,560 | | 238,368 |
| WD-40 Co. | 8 | | 1,466 |
| | | | 833,715 |
| Materials — 6.4% |
| AdvanSix, Inc. | 338 | | 17,268 |
| Alcoa Corp.(a) | 741 | | 66,712 |
| Ashland Global Holdings, Inc.(a) | 373 | | 36,707 |
| Avery Dennison Corp.(a) | 143 | | 24,878 |
| Avient Corp.(a) | 1,417 | | 68,016 |
| Balchem Corp. | 268 | | 36,636 |
| Ball Corp. | 192 | | 17,280 |
| Celanese Corp.(a) | 157 | | 22,431 |
| CF Industries Holdings, Inc.(a) | 1,798 | | 185,302 |
| Chemours Co. (The)(a) | 908 | | 28,584 |
| Corteva, Inc.(a) | 2,984 | | 171,520 |
| Dow, Inc.(a) | 589 | | 37,531 |
| DuPont de Nemours, Inc.(a) | 3,396 | | 249,878 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Materials — (Continued) |
| Eagle Materials, Inc.(a) | 1,087 | | $ 139,527 |
| Eastman Chemical Co. | 710 | | 79,563 |
| ERO Copper Corp. (Canada)* | 2 | | 29 |
| Ferro Corp.* | 2,099 | | 45,632 |
| FMC Corp.(a) | 824 | | 108,414 |
| Franco-Nevada Corp. (Canada) | 19 | | 3,031 |
| Freeport-McMoRan, Inc.(a) | 1,117 | | 55,560 |
| Hecla Mining Co. | 2,735 | | 17,969 |
| Huntsman Corp. | 492 | | 18,455 |
| Ingevity Corp.(a)* | 657 | | 42,094 |
| Innospec, Inc. | 88 | | 8,144 |
| International Paper Co.(a) | 4,246 | | 195,953 |
| Intrepid Potash, Inc.* | 45 | | 3,696 |
| Kinross Gold Corp. (Canada) | 4,835 | | 28,430 |
| Kronos Worldwide, Inc. | 18 | | 279 |
| Linde PLC (Ireland) | 296 | | 94,551 |
| Louisiana-Pacific Corp.(a) | 350 | | 21,742 |
| LyondellBasell Industries NV, Class A (Netherlands) | 623 | | 64,057 |
| New Gold, Inc. (Canada)* | 16,547 | | 29,785 |
| Nucor Corp.(a) | 1,310 | | 194,731 |
| Nutrien Ltd. (Canada) | 1,175 | | 122,188 |
| O-I Glass, Inc.(a)* | 4,367 | | 57,557 |
| Olin Corp.(a) | 1,153 | | 60,279 |
| Packaging Corp. of America(a) | 209 | | 32,627 |
| Pan American Silver Corp. (Canada) | 2,944 | | 80,371 |
| PPG Industries, Inc. | 152 | | 19,923 |
| Reliance Steel & Aluminum Co. | 122 | | 22,369 |
| Royal Gold, Inc. | 452 | | 63,858 |
| Sealed Air Corp. | 1,706 | | 114,234 |
| Sensient Technologies Corp.(a) | 717 | | 60,192 |
| Silgan Holdings, Inc. | 283 | | 13,083 |
| SSR Mining, Inc. (Canada) | 4,674 | | 101,659 |
| Sylvamo Corp.* | 447 | | 14,876 |
| Teck Resources Ltd., Class B (Canada) | 239 | | 9,653 |
| TriMas Corp. | 26 | | 834 |
| Tronox Holdings PLC, Class A (United Kingdom) | 674 | | 13,338 |
| United States Steel Corp.(a) | 263 | | 9,926 |
| Warrior Met Coal, Inc. | 1,343 | | 49,839 |
| Westlake Corp.(a) | 304 | | 37,514 |
| Yamana Gold, Inc. (Canada) | 22,398 | | 124,981 |
| | | | 3,123,686 |
| Media & Entertainment — 4.9% |
| Activision Blizzard, Inc.(a) | 1,051 | | 84,196 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Media & Entertainment — (Continued) |
| Alphabet, Inc., Class A(a)* | 111 | | $ 308,730 |
| AMC Entertainment Holdings, Inc., Class A* | 5,192 | | 127,931 |
| AMC Networks, Inc., Class A* | 602 | | 24,459 |
| Bumble, Inc., Class A* | 1,764 | | 51,121 |
| Cars.com, Inc.* | 11 | | 159 |
| Charter Communications, Inc., Class A(a)* | 405 | | 220,935 |
| Comcast Corp., Class A(a) | 1,639 | | 76,738 |
| Discovery, Inc., Class A(a)* | 11,204 | | 279,204 |
| Fox Corp., Class A(a) | 323 | | 12,742 |
| Interpublic Group of Cos., Inc. (The)(a) | 2,002 | | 70,971 |
| Live Nation Entertainment, Inc.* | 67 | | 7,882 |
| Match Group, Inc.(a)* | 1,511 | | 164,306 |
| Meta Platforms, Inc., Class A(a)* | 1,356 | | 301,520 |
| Netflix, Inc.(a)* | 207 | | 77,540 |
| News Corp., Class A(a) | 4,078 | | 90,328 |
| Pinterest, Inc., Class A(a)* | 403 | | 9,918 |
| PubMatic, Inc., Class A(a)* | 2,303 | | 60,154 |
| Scholastic Corp. | 6 | | 242 |
| Take-Two Interactive Software, Inc.* | 184 | | 28,288 |
| Thryv Holdings, Inc.* | 270 | | 7,592 |
| TripAdvisor, Inc.* | 1,451 | | 39,351 |
| Twitter, Inc.(a)* | 2,122 | | 82,100 |
| Walt Disney Co. (The)(a)* | 1,155 | | 158,420 |
| Yelp, Inc.(a)* | 575 | | 19,613 |
| Ziff Davis, Inc.* | 896 | | 86,715 |
| | | | 2,391,155 |
| Pharmaceuticals, Biotechnology & Life Sciences — 5.3% |
| AbbVie, Inc. | 117 | | 18,967 |
| Agilent Technologies, Inc.(a) | 1,068 | | 141,328 |
| Alnylam Pharmaceuticals, Inc.* | 39 | | 6,368 |
| Amgen, Inc. | 38 | | 9,189 |
| Amphastar Pharmaceuticals, Inc.* | 168 | | 6,031 |
| Avantor, Inc.* | 1,323 | | 44,744 |
| Biogen, Inc.* | 304 | | 64,022 |
| Bio-Rad Laboratories, Inc., Class A(a)* | 237 | | 133,486 |
| Bio-Techne Corp. | 108 | | 46,768 |
| Bristol-Myers Squibb Co.(a) | 1,456 | | 106,332 |
| Bruker Corp.(a) | 341 | | 21,926 |
| Charles River Laboratories International, Inc.(a)* | 457 | | 129,774 |
| Corcept Therapeutics, Inc.* | 1,024 | | 23,061 |
| Cronos Group, Inc. (Canada)* | 910 | | 3,540 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
Pharmaceuticals, Biotechnology & Life Sciences —
(Continued) |
| Danaher Corp.(a) | 224 | | $ 65,706 |
| Dynavax Technologies Corp.* | 1,956 | | 21,203 |
| Elanco Animal Health, Inc.(a)* | 5,398 | | 140,834 |
| Exelixis, Inc.* | 532 | | 12,060 |
| Gilead Sciences, Inc.(a) | 2,008 | | 119,376 |
| Harmony Biosciences Holdings, Inc.* | 207 | | 10,071 |
| Horizon Therapeutics PLC (Ireland)* | 486 | | 51,132 |
| Innoviva, Inc.* | 1,016 | | 19,660 |
| Ionis Pharmaceuticals, Inc.* | 898 | | 33,262 |
| IQVIA Holdings, Inc.* | 162 | | 37,456 |
| Ironwood Pharmaceuticals, Inc.* | 1,358 | | 17,084 |
| iTeos Therapeutics, Inc.* | 125 | | 4,023 |
| Johnson & Johnson(a) | 728 | | 129,023 |
| Maravai LifeSciences Holdings, Inc., Class A* | 487 | | 17,177 |
| Medpace Holdings, Inc.* | 55 | | 8,997 |
| Merck & Co., Inc.(a) | 1,570 | | 128,819 |
| Mettler-Toledo International, Inc.(a)* | 94 | | 129,080 |
| Moderna, Inc.(a)* | 1,019 | | 175,533 |
| Organogenesis Holdings, Inc.* | 324 | | 2,469 |
| Organon & Co. | 240 | | 8,383 |
| Pacira BioSciences, Inc.(a)* | 105 | | 8,014 |
| PerkinElmer, Inc.(a) | 194 | | 33,845 |
| Pfizer, Inc.(a) | 2,161 | | 111,875 |
| Prestige Consumer Healthcare, Inc.* | 378 | | 20,011 |
| QIAGEN NV (Netherlands)* | 834 | | 40,866 |
| Regeneron Pharmaceuticals, Inc.(a)* | 129 | | 90,096 |
| REGENXBIO, Inc.* | 283 | | 9,393 |
| Sarepta Therapeutics, Inc.* | 983 | | 76,792 |
| Sundial Growers, Inc. (Canada)* | 84,598 | | 59,219 |
| Syndax Pharmaceuticals, Inc.* | 19 | | 330 |
| Thermo Fisher Scientific, Inc. | 62 | | 36,620 |
| Vertex Pharmaceuticals, Inc.* | 101 | | 26,358 |
| Viatris, Inc. | 2,901 | | 31,563 |
| Waters Corp.(a)* | 173 | | 53,697 |
| West Pharmaceutical Services, Inc.(a) | 124 | | 50,928 |
| Xencor, Inc.* | 136 | | 3,628 |
| Zoetis, Inc.(a) | 463 | | 87,317 |
| | | | 2,627,436 |
| Retailing — 6.3% |
| Academy Sports & Outdoors, Inc.(a) | 1,148 | | 45,231 |
| Advance Auto Parts, Inc.(a) | 528 | | 109,275 |
| Amazon.com, Inc.(a)* | 98 | | 319,475 |
| AutoNation, Inc.(a)* | 645 | | 64,229 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Retailing — (Continued) |
| AutoZone, Inc.(a)* | 106 | | $ 216,726 |
| Bath & Body Works, Inc.(a) | 6,383 | | 305,107 |
| Best Buy Co., Inc. | 85 | | 7,727 |
| Buckle, Inc. (The)(a) | 1,040 | | 34,362 |
| Burlington Stores, Inc.(a)* | 121 | | 22,043 |
| Dick's Sporting Goods, Inc. | 209 | | 20,904 |
| Dillard's, Inc., Class A | 93 | | 24,960 |
| Dollar General Corp.(a) | 701 | | 156,064 |
| eBay, Inc.(a) | 3,096 | | 177,277 |
| Etsy, Inc.(a)* | 486 | | 60,400 |
| Genesco, Inc.* | 88 | | 5,598 |
| Genuine Parts Co.(a) | 69 | | 8,695 |
| Guess?, Inc. | 699 | | 15,273 |
| Home Depot, Inc. (The)(a) | 106 | | 31,729 |
| LKQ Corp.(a) | 1,671 | | 75,880 |
| Lowe's Cos., Inc.(a) | 1,144 | | 231,305 |
| Macy's, Inc. | 26 | | 633 |
| MarineMax, Inc.* | 949 | | 38,207 |
| ODP Corp. (The)* | 335 | | 15,353 |
| O'Reilly Automotive, Inc.(a)* | 254 | | 173,980 |
| Overstock.com, Inc.(a)* | 4,410 | | 194,062 |
| Penske Automotive Group, Inc.(a) | 246 | | 23,055 |
| RH * | 178 | | 58,044 |
| Ross Stores, Inc.(a) | 440 | | 39,802 |
| Shoe Carnival, Inc. | 445 | | 12,976 |
| Shutterstock, Inc.(a) | 241 | | 22,432 |
| Signet Jewelers Ltd. (Bermuda) | 1,675 | | 121,773 |
| Sonic Automotive, Inc., Class A(a) | 794 | | 33,753 |
| Target Corp.(a) | 919 | | 195,030 |
| TJX Cos., Inc. (The) | 429 | | 25,989 |
| Ulta Beauty, Inc.(a)* | 273 | | 108,714 |
| Victoria's Secret & Co.(a)* | 1,187 | | 60,964 |
| Williams-Sonoma, Inc. | 121 | | 17,545 |
| | | | 3,074,572 |
| Semiconductors & Semiconductor Equipment — 6.5% |
| Advanced Micro Devices, Inc.(a)* | 3,669 | | 401,168 |
| Allegro MicroSystems, Inc.* | 1,598 | | 45,383 |
| Alpha & Omega Semiconductor Ltd. (Bermuda)* | 1,974 | | 107,879 |
| Applied Materials, Inc.(a) | 849 | | 111,898 |
| Axcelis Technologies, Inc.(a)* | 1,691 | | 127,721 |
| Broadcom, Inc.(a) | 414 | | 260,687 |
| Cohu, Inc.* | 337 | | 9,975 |
| Diodes, Inc.* | 814 | | 70,810 |
| KLA Corp.(a) | 226 | | 82,730 |
| Lam Research Corp. | 75 | | 40,321 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
Semiconductors & Semiconductor Equipment —
(Continued) |
| Lattice Semiconductor Corp.(a)* | 2,679 | | $ 163,285 |
| MACOM Technology Solutions Holdings, Inc.(a)* | 195 | | 11,675 |
| Microchip Technology, Inc. | 162 | | 12,173 |
| Micron Technology, Inc.(a) | 5,511 | | 429,252 |
| NVIDIA Corp.(a) | 436 | | 118,967 |
| NXP Semiconductors NV (Netherlands) | 353 | | 65,333 |
| ON Semiconductor Corp.(a)* | 1,616 | | 101,178 |
| Onto Innovation, Inc.* | 818 | | 71,076 |
| Photronics, Inc.* | 696 | | 11,811 |
| Power Integrations, Inc.(a) | 941 | | 87,212 |
| QUALCOMM, Inc.(a) | 2,831 | | 432,633 |
| Rambus, Inc.* | 2,869 | | 91,492 |
| Semtech Corp.* | 1,140 | | 79,048 |
| Silicon Laboratories, Inc.(a)* | 408 | | 61,282 |
| Skyworks Solutions, Inc. | 324 | | 43,183 |
| Synaptics, Inc.(a)* | 452 | | 90,174 |
| Teradyne, Inc.(a) | 591 | | 69,874 |
| | | | 3,198,220 |
| Software & Services — 12.0% |
| A10 Networks, Inc. | 877 | | 12,234 |
| Accenture PLC, Class A (Ireland) | 420 | | 141,637 |
| ACI Worldwide, Inc.* | 14 | | 441 |
| Adobe, Inc.(a)* | 368 | | 167,668 |
| Agilysys, Inc.* | 16 | | 638 |
| Akamai Technologies, Inc.(a)* | 583 | | 69,604 |
| Alkami Technology, Inc.* | 9 | | 129 |
| Autodesk, Inc.(a)* | 910 | | 195,059 |
| Automatic Data Processing, Inc.(a) | 569 | | 129,470 |
| Bentley Systems, Inc., Class B(a) | 1,109 | | 48,996 |
| Black Knight, Inc.* | 277 | | 16,063 |
| Box, Inc., Class A(a)* | 858 | | 24,933 |
| Bread Financial Holdings, Inc. | 246 | | 13,813 |
| Cadence Design Systems, Inc.(a)* | 414 | | 68,086 |
| CGI, Inc. (Canada)* | 271 | | 21,634 |
| Concentrix Corp.(a) | 152 | | 25,317 |
| Crowdstrike Holdings, Inc., Class A(a)* | 672 | | 152,598 |
| CSG Systems International, Inc. | 91 | | 5,785 |
| Datadog, Inc., Class A(a)* | 1,878 | | 284,461 |
| Descartes Systems Group, Inc. (The) (Canada)* | 29 | | 2,125 |
| DigitalOcean Holdings, Inc.(a)* | 1,040 | | 60,164 |
| DXC Technology Co.(a)* | 2,722 | | 88,819 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Software & Services — (Continued) |
| Fair Isaac Corp.(a)* | 428 | | $ 199,645 |
| Fidelity National Information Services, Inc. | 110 | | 11,046 |
| Fiserv, Inc.* | 537 | | 54,452 |
| FleetCor Technologies, Inc.* | 130 | | 32,378 |
| Fortinet, Inc.(a)* | 354 | | 120,976 |
| Gartner, Inc.(a)* | 365 | | 108,573 |
| Global Payments, Inc. | 240 | | 32,842 |
| Globant S.A. (Luxembourg)* | 232 | | 60,800 |
| GoDaddy, Inc., Class A(a)* | 1,616 | | 135,259 |
| HubSpot, Inc.(a)* | 702 | | 333,408 |
| InterDigital, Inc. | 410 | | 26,158 |
| International Business Machines Corp.(a) | 1,602 | | 208,292 |
| Intuit, Inc.(a) | 241 | | 115,882 |
| Manhattan Associates, Inc.(a)* | 630 | | 87,387 |
| Mastercard, Inc., Class A(a) | 100 | | 35,738 |
| Maximus, Inc.(a) | 206 | | 15,440 |
| Microsoft Corp.(a) | 925 | | 285,187 |
| MongoDB, Inc.(a)* | 726 | | 322,046 |
| NortonLifeLock, Inc.(a) | 5,185 | | 137,506 |
| Open Text Corp. (Canada) | 627 | | 26,585 |
| Oracle Corp.(a) | 3,190 | | 263,909 |
| Paychex, Inc.(a) | 1,140 | | 155,576 |
| Paycom Software, Inc.(a)* | 556 | | 192,587 |
| PayPal Holdings, Inc.(a)* | 1,825 | | 211,061 |
| Progress Software Corp.(a) | 455 | | 21,426 |
| Sailpoint Technologies Holdings, Inc.* | 27 | | 1,382 |
| Salesforce, Inc.(a)* | 267 | | 56,689 |
| ServiceNow, Inc.(a)* | 433 | | 241,133 |
| Splunk, Inc.* | 182 | | 27,047 |
| SPS Commerce, Inc.(a)* | 170 | | 22,304 |
| SS&C Technologies Holdings, Inc.(a) | 498 | | 37,360 |
| Synopsys, Inc.(a)* | 610 | | 203,295 |
| Teradata Corp.(a)* | 968 | | 47,713 |
| Trade Desk, Inc. (The), Class A(a)* | 2,157 | | 149,372 |
| TTEC Holdings, Inc. | 14 | | 1,155 |
| Varonis Systems, Inc.* | 485 | | 23,057 |
| Verint Systems, Inc.(a)* | 957 | | 49,477 |
| VeriSign, Inc.(a)* | 450 | | 100,107 |
| Visa, Inc., Class A(a) | 100 | | 22,177 |
| Western Union Co. (The)(a) | 5,436 | | 101,871 |
| Zendesk, Inc.* | 667 | | 80,233 |
| | | | 5,888,205 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Technology Hardware & Equipment — 5.4% |
| 3D Systems Corp.(a)* | 3,601 | | $ 60,065 |
| Amphenol Corp., Class A | 204 | | 15,371 |
| Apple, Inc.(a) | 1,874 | | 327,219 |
| Badger Meter, Inc. | 234 | | 23,332 |
| Belden, Inc. | 196 | | 10,858 |
| CDW Corp. | 18 | | 3,220 |
| Ciena Corp.* | 320 | | 19,402 |
| Cisco Systems, Inc.(a) | 8,981 | | 500,781 |
| Coherent, Inc.(a)* | 296 | | 80,915 |
| Corning, Inc.(a) | 7,206 | | 265,973 |
| Dell Technologies, Inc., Class C | 600 | | 30,114 |
| Extreme Networks, Inc.* | 5,199 | | 63,480 |
| Hewlett Packard Enterprise Co. | 2,206 | | 36,862 |
| HP, Inc.(a) | 1,491 | | 54,123 |
| Infinera Corp.* | 1,695 | | 14,696 |
| Itron, Inc.* | 644 | | 33,926 |
| Jabil, Inc. | 1,891 | | 116,731 |
| Juniper Networks, Inc. | 617 | | 22,928 |
| Keysight Technologies, Inc.(a)* | 603 | | 95,256 |
| Knowles Corp.* | 1,718 | | 36,989 |
| Lumentum Holdings, Inc.* | 360 | | 35,136 |
| Motorola Solutions, Inc. | 300 | | 72,660 |
| NetApp, Inc.(a) | 727 | | 60,341 |
| NetScout Systems, Inc.* | 922 | | 29,578 |
| PC Connection, Inc. | 2 | | 105 |
| Pure Storage, Inc., Class A* | 3,608 | | 127,398 |
| Sanmina Corp.(a)* | 764 | | 30,881 |
| Seagate Technology Holdings PLC (Ireland) | 2,699 | | 242,640 |
| TE Connectivity Ltd. (Switzerland) | 249 | | 32,614 |
| Trimble, Inc.(a)* | 601 | | 43,356 |
| Vishay Intertechnology, Inc.(a) | 2,999 | | 58,780 |
| Western Digital Corp.* | 1,027 | | 50,991 |
| Zebra Technologies Corp., Class A(a)* | 150 | | 62,055 |
| | | | 2,658,776 |
| Telecommunication Services — 1.1% |
| AT&T, Inc.(a) | 3,876 | | 91,590 |
| EchoStar Corp., Class A* | 1,385 | | 33,711 |
| Gogo, Inc.* | 1,481 | | 28,228 |
| Iridium Communications, Inc.(a)* | 1,054 | | 42,497 |
| Lumen Technologies, Inc.(a) | 4,969 | | 56,001 |
| TELUS Corp. (Canada) | 86 | | 2,248 |
| T-Mobile US, Inc.(a)* | 1,826 | | 234,367 |
| Verizon Communications, Inc.(a) | 1,519 | | 77,378 |
| | | | 566,020 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Transportation — 2.5% |
| Alaska Air Group, Inc.* | 610 | | $ 35,386 |
| ArcBest Corp.(a) | 1,086 | | 87,423 |
| Atlas Air Worldwide Holdings, Inc.* | 1,052 | | 90,861 |
| CSX Corp.(a) | 2,332 | | 87,333 |
| Expeditors International of Washington, Inc.(a) | 1,465 | | 151,130 |
| FedEx Corp.(a) | 1,095 | | 253,372 |
| Forward Air Corp. | 4 | | 391 |
| Frontier Group Holdings, Inc.* | 70 | | 793 |
| Heartland Express, Inc. | 5 | | 70 |
| Hub Group, Inc., Class A* | 507 | | 39,146 |
| Matson, Inc.(a) | 770 | | 92,877 |
| Norfolk Southern Corp. | 136 | | 38,790 |
| Old Dominion Freight Line, Inc.(a) | 476 | | 142,172 |
| Schneider National, Inc., Class B(a) | 595 | | 15,173 |
| Southwest Airlines Co.* | 269 | | 12,320 |
| Union Pacific Corp.(a) | 346 | | 94,531 |
| United Airlines Holdings, Inc.* | 133 | | 6,166 |
| United Parcel Service, Inc., Class B(a) | 331 | | 70,986 |
| XPO Logistics, Inc.(a)* | 315 | | 22,932 |
| | | | 1,241,852 |
| Utilities — 2.1% |
| AES Corp. (The) | 1,656 | | 42,609 |
| American Electric Power Co., Inc.(a) | 2,386 | | 238,051 |
| American Water Works Co., Inc. | 269 | | 44,528 |
| Consolidated Edison, Inc. | 1,370 | | 129,712 |
| Constellation Energy Corp.(a) | 902 | | 50,737 |
| DTE Energy Co.(a) | 958 | | 126,657 |
| Exelon Corp.(a) | 427 | | 20,338 |
| FirstEnergy Corp. | 505 | | 23,159 |
| NextEra Energy, Inc. | 67 | | 5,676 |
| NRG Energy, Inc.(a) | 1,979 | | 75,914 |
| Otter Tail Corp. | 183 | | 11,438 |
| PPL Corp.(a) | 4,115 | | 117,524 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Utilities — (Continued) |
| Sempra Energy | 15 | | $ 2,522 |
| Southern Co. (The)(a) | 1,863 | | 135,086 |
| | | | 1,023,951 |
TOTAL COMMON STOCKS
(Cost $43,343,888) | | | 46,205,067 |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 5.9% | | | 2,871,006 |
| NET ASSETS - 100.0% | | | $ 49,076,073 |
| (a) | Security position is either entirely or partially designated as collateral for total return swaps. (See Note 1 of the Notes to Financial Statements) |
| * | Non-income producing. |
| PLC | Public Limited Company |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Over-the-counter total return swaps outstanding as of March 31, 2022
The Fund maintains a portfolio of long and short positions and receives/pays a rebate based upon the Fed Funds 1-Day Rate less a specified spread as negotiated by the parties. The notional gain or loss, dividends payable and rebates are payable the earlier of maturity of the swaps or upon termination. The portfolio matures between August 29, 2025 and January 7, 2027, however underlying individual contracts are entered into and closed (terminated) on a daily basis. The cash amounts payable/receivable due to individual contracts being closed are settled, on a net basis, once a week. The value of total return swaps represents (69.6)% of net assets as of March 31, 2022.
The following table represents the individual long and short positions and related values of total return swaps as of March 31, 2022:
Total Return Swaps
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Long | | | | | | | | | | |
| Automobiles & Components | | | | | | | | |
| Ford Motor Co. | | Morgan Stanley | | 2,445 | | $ 40,893 | | $ 41,345 | | $ 839 |
| General Motors Co. | | Morgan Stanley | | 1,332 | | 63,959 | | 58,262 | | (5,691) |
| Gentherm, Inc. | | Morgan Stanley | | 65 | | 4,700 | | 4,748 | | 47 |
| Luminar Technologies, Inc. | | Morgan Stanley | | 100 | | 1,556 | | 1,563 | | 7 |
| Magna International, Inc. (Canada) | | Morgan Stanley | | 267 | | 15,787 | | 17,171 | | 1,430 |
| Tenneco, Inc., Class A | | Morgan Stanley | | 44 | | 452 | | 806 | | 353 |
| Thor Industries, Inc. | | Morgan Stanley | | 338 | | 29,040 | | 26,601 | | (2,425) |
| Visteon Corp. | | Morgan Stanley | | 187 | | 20,761 | | 20,407 | | (371) |
| | | | | 4,778 | | 177,148 | | 170,903 | | (5,811) |
| Capital Goods | | | | | | | | |
| 3M Co. | | Morgan Stanley | | 196 | | 32,377 | | 29,180 | | (2,188) |
| A O Smith Corp. | | Morgan Stanley | | 1,207 | | 70,877 | | 77,115 | | 7,428 |
| AECOM | | Morgan Stanley | | 413 | | 29,682 | | 31,723 | | 2,043 |
| Aerojet Rocketdyne Holdings, Inc. | | Morgan Stanley | | 421 | | 16,164 | | 16,566 | | 403 |
| Albany International Corp., Class A | | Morgan Stanley | | 204 | | 12,981 | | 17,201 | | 4,431 |
| Apogee Enterprises, Inc. | | Morgan Stanley | | 259 | | 6,255 | | 12,292 | | 6,357 |
| Armstrong World Industries, Inc. | | Morgan Stanley | | 40 | | 3,853 | | 3,600 | | (247) |
| Atkore, Inc. | | Morgan Stanley | | 273 | | 25,162 | | 26,874 | | 1,714 |
| Boise Cascade Co. | | Morgan Stanley | | 204 | | 12,196 | | 14,172 | | 2,538 |
| Builders FirstSource, Inc. | | Morgan Stanley | | 1,341 | | 97,589 | | 86,548 | | (11,031) |
| Carrier Global Corp. | | Morgan Stanley | | 402 | | 17,946 | | 18,440 | | 547 |
| Crane Co. | | Morgan Stanley | | 142 | | 13,297 | | 15,376 | | 2,265 |
| Cummins, Inc. | | Morgan Stanley | | 79 | | 15,984 | | 16,204 | | 292 |
| Curtiss-Wright Corp. | | Morgan Stanley | | 29 | | 3,826 | | 4,355 | | 537 |
| Deere & Co. | | Morgan Stanley | | 54 | | 18,046 | | 22,435 | | 4,602 |
| Eaton Corp. PLC (Ireland) | | Morgan Stanley | | 220 | | 33,702 | | 33,387 | | (291) |
| Encore Wire Corp. | | Morgan Stanley | | 430 | | 53,358 | | 49,050 | | (4,290) |
| Enerpac Tool Group Corp. | | Morgan Stanley | | 5 | | 110 | | 109 | | (1) |
| Fastenal Co. | | Morgan Stanley | | 167 | | 8,761 | | 9,920 | | 1,159 |
| Fortune Brands Home & Security, Inc. | | Morgan Stanley | | 104 | | 8,400 | | 7,725 | | (670) |
| General Dynamics Corp. | | Morgan Stanley | | 143 | | 29,203 | | 34,489 | | 5,681 |
| General Electric Co. | | Morgan Stanley | | 233 | | 20,970 | | 21,319 | | 367 |
| Graco, Inc. | | Morgan Stanley | | 75 | | 5,223 | | 5,229 | | 6 |
| Hillenbrand, Inc. | | Morgan Stanley | | 68 | | 2,887 | | 3,004 | | 125 |
| Honeywell International, Inc. | | Morgan Stanley | | 61 | | 11,318 | | 11,869 | | 622 |
| Hubbell, Inc. | | Morgan Stanley | | 16 | | 2,920 | | 2,940 | | 20 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Capital Goods — (continued) | | | | | | | | |
| Ingersoll Rand, Inc. | | Morgan Stanley | | 582 | | $ 29,512 | | $ 29,304 | | $ (341) |
| ITT, Inc. | | Morgan Stanley | | 320 | | 26,346 | | 24,067 | | (2,241) |
| Johnson Controls International PLC (Ireland) | | Morgan Stanley | | 257 | | 14,140 | | 16,851 | | 3,024 |
| L3Harris Technologies, Inc. | | Morgan Stanley | | 23 | | 5,845 | | 5,715 | | (130) |
| Lockheed Martin Corp. | | Morgan Stanley | | 139 | | 54,930 | | 61,355 | | 6,843 |
| Masco Corp. | | Morgan Stanley | | 264 | | 17,329 | | 13,464 | | (3,779) |
| Mueller Industries, Inc. | | Morgan Stanley | | 318 | | 17,952 | | 17,226 | | (643) |
| Nordson Corp. | | Morgan Stanley | | 113 | | 25,284 | | 25,660 | | 462 |
| NOW, Inc. | | Morgan Stanley | | 4,851 | | 35,558 | | 53,507 | | 18,280 |
| nVent Electric PLC (Ireland) | | Morgan Stanley | | 287 | | 9,754 | | 9,982 | | 229 |
| Otis Worldwide Corp. | | Morgan Stanley | | 328 | | 25,834 | | 25,240 | | (534) |
| Owens Corning | | Morgan Stanley | | 58 | | 4,970 | | 5,307 | | 451 |
| Parker-Hannifin Corp. | | Morgan Stanley | | 43 | | 12,421 | | 12,202 | | (88) |
| Pentair PLC (Ireland) | | Morgan Stanley | | 280 | | 18,419 | | 15,179 | | (3,128) |
| Quanta Services, Inc. | | Morgan Stanley | | 101 | | 10,865 | | 13,293 | | 2,431 |
| Raytheon Technologies Corp. | | Morgan Stanley | | 175 | | 16,332 | | 17,337 | | 1,148 |
| Resideo Technologies, Inc. | | Morgan Stanley | | 481 | | 12,127 | | 11,462 | | (664) |
| Roper Technologies, Inc. | | Morgan Stanley | | 38 | | 16,950 | | 17,945 | | 1,009 |
| Shyft Group, Inc. (The) | | Morgan Stanley | | 76 | | 3,411 | | 2,744 | | (673) |
| Simpson Manufacturing Co., Inc. | | Morgan Stanley | | 18 | | 2,023 | | 1,963 | | (61) |
| SiteOne Landscape Supply, Inc. | | Morgan Stanley | | 43 | | 7,424 | | 6,953 | | (471) |
| Snap-on, Inc. | | Morgan Stanley | | 128 | | 22,404 | | 26,301 | | 4,703 |
| Spirit AeroSystems Holdings, Inc., Class A | | Morgan Stanley | | 1,666 | | 78,529 | | 81,451 | | 2,926 |
| SPX FLOW, Inc. | | Morgan Stanley | | 28 | | 1,882 | | 2,414 | | 536 |
| Standex International Corp. | | Morgan Stanley | | 3 | | 309 | | 300 | | (10) |
| Terex Corp. | | Morgan Stanley | | 71 | | 2,944 | | 2,532 | | (401) |
| Textron, Inc. | | Morgan Stanley | | 27 | | 1,761 | | 2,008 | | 249 |
| Trane Technologies PLC (Ireland) | | Morgan Stanley | | 74 | | 12,327 | | 11,300 | | (940) |
| TransDigm Group, Inc. | | Morgan Stanley | | 7 | | 4,619 | | 4,561 | | (58) |
| Trex Co., Inc. | | Morgan Stanley | | 536 | | 50,953 | | 35,017 | | (15,931) |
| Veritiv Corp. | | Morgan Stanley | | 66 | | 6,916 | | 8,817 | | 1,913 |
| Watts Water Technologies, Inc., Class A | | Morgan Stanley | | 49 | | 6,938 | | 6,840 | | (70) |
| Westinghouse Air Brake Technologies Corp. | | Morgan Stanley | | 183 | | 16,608 | | 17,599 | | 1,015 |
| WillScot Mobile Mini Holdings Corp. | | Morgan Stanley | | 200 | | 7,412 | | 7,826 | | 473 |
| WW Grainger, Inc. | | Morgan Stanley | | 7 | | 2,826 | | 3,611 | | 807 |
| Zurn Water Solutions Corp. | | Morgan Stanley | | 1,302 | | 44,450 | | 46,091 | | 1,687 |
| | | | | 19,928 | | 1,181,391 | | 1,214,546 | | 40,442 |
| Commercial & Professional Services | | | | | | | | |
| ACV Auctions, Inc., Class A | | Morgan Stanley | | 72 | | 1,076 | | 1,066 | | (11) |
| Brink's Co. (The) | | Morgan Stanley | | 54 | | 3,731 | | 3,672 | | (27) |
| Cimpress PLC (Ireland) | | Morgan Stanley | | 2 | | 134 | | 127 | | (8) |
| Cintas Corp. | | Morgan Stanley | | 110 | | 46,076 | | 46,793 | | 721 |
| Clean Harbors, Inc. | | Morgan Stanley | | 4 | | 359 | | 447 | | 178 |
| Copart, Inc. | | Morgan Stanley | | 299 | | 37,263 | | 37,516 | | 39 |
| CoreCivic, Inc. | | Morgan Stanley | | 232 | | 1,883 | | 2,591 | | 720 |
| Deluxe Corp. | | Morgan Stanley | | 461 | | 13,109 | | 13,941 | | 1,650 |
| Exponent, Inc. | | Morgan Stanley | | 42 | | 3,783 | | 4,538 | | 868 |
| Huron Consulting Group, Inc. | | Morgan Stanley | | 25 | | 1,162 | | 1,145 | | (17) |
| Jacobs Engineering Group, Inc. | | Morgan Stanley | | 274 | | 33,541 | | 37,760 | | 4,419 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Commercial & Professional Services — (continued) | | | | | | | | |
| KBR, Inc. | | Morgan Stanley | | 201 | | $ 10,812 | | $ 11,001 | | $ 189 |
| Kelly Services, Inc., Class A | | Morgan Stanley | | 2 | | 44 | | 43 | | (1) |
| Kforce, Inc. | | Morgan Stanley | | 56 | | 3,972 | | 4,142 | | 184 |
| Korn Ferry | | Morgan Stanley | | 398 | | 27,960 | | 25,846 | | (2,046) |
| Nielsen Holdings PLC (United Kingdom) | | Morgan Stanley | | 1,169 | | 21,770 | | 31,844 | | 11,107 |
| Republic Services, Inc. | | Morgan Stanley | | 138 | | 15,385 | | 18,285 | | 3,108 |
| Ritchie Bros Auctioneers, Inc. (Canada) | | Morgan Stanley | | 183 | | 10,923 | | 10,802 | | (99) |
| Robert Half International, Inc. | | Morgan Stanley | | 197 | | 19,318 | | 22,493 | | 3,404 |
| Science Applications International Corp. | | Morgan Stanley | | 23 | | 1,902 | | 2,120 | | 307 |
| Tetra Tech, Inc. | | Morgan Stanley | | 368 | | 55,707 | | 60,698 | | 5,046 |
| Thomson Reuters Corp. (Canada) | | Morgan Stanley | | 10 | | 956 | | 1,089 | | 140 |
| TriNet Group, Inc. | | Morgan Stanley | | 166 | | 14,882 | | 16,328 | | 1,446 |
| Verisk Analytics, Inc. | | Morgan Stanley | | 31 | | 5,486 | | 6,654 | | 1,856 |
| Waste Management, Inc. | | Morgan Stanley | | 147 | | 20,899 | | 23,299 | | 2,538 |
| | | | | 4,664 | | 352,133 | | 384,240 | | 35,711 |
| Consumer Durables & Apparel | | | | | | | | |
| Acushnet Holdings Corp. | | Morgan Stanley | | 175 | | 8,405 | | 7,045 | | (1,308) |
| BRP, Inc. (Canada) | | Morgan Stanley | | 5 | | 401 | | 409 | | 9 |
| Cavco Industries, Inc. | | Morgan Stanley | | 5 | | 1,266 | | 1,204 | | (62) |
| Crocs, Inc. | | Morgan Stanley | | 199 | | 17,663 | | 15,204 | | (2,458) |
| DR Horton, Inc. | | Morgan Stanley | | 89 | | 8,191 | | 6,631 | | (1,523) |
| G-III Apparel Group Ltd. | | Morgan Stanley | | 2 | | 55 | | 54 | | 2 |
| GoPro, Inc., Class A | | Morgan Stanley | | 2,310 | | 21,238 | | 19,704 | | (1,555) |
| Hasbro, Inc. | | Morgan Stanley | | 172 | | 15,420 | | 14,090 | | (1,158) |
| Levi Strauss & Co., Class A | | Morgan Stanley | | 286 | | 6,292 | | 5,651 | | (654) |
| Lululemon Athletica, Inc. | | Morgan Stanley | | 5 | | 1,881 | | 1,826 | | (58) |
| Mattel, Inc. | | Morgan Stanley | | 1,762 | | 42,912 | | 39,134 | | (3,774) |
| Mohawk Industries, Inc. | | Morgan Stanley | | 63 | | 10,409 | | 7,825 | | (2,583) |
| Movado Group, Inc. | | Morgan Stanley | | 1 | | 39 | | 39 | | (1) |
| Newell Brands, Inc. | | Morgan Stanley | | 472 | | 11,543 | | 10,106 | | (1,193) |
| NIKE, Inc., Class B | | Morgan Stanley | | 382 | | 49,315 | | 51,402 | | 2,018 |
| PVH Corp. | | Morgan Stanley | | 47 | | 3,702 | | 3,601 | | (101) |
| Ralph Lauren Corp. | | Morgan Stanley | | 197 | | 23,357 | | 22,348 | | (1,015) |
| Skyline Champion Corp. | | Morgan Stanley | | 891 | | 55,436 | | 48,898 | | (6,532) |
| Smith & Wesson Brands, Inc. | | Morgan Stanley | | 664 | | 10,501 | | 10,046 | | (230) |
| Sonos, Inc. | | Morgan Stanley | | 505 | | 12,321 | | 14,251 | | 2,155 |
| Steven Madden Ltd. | | Morgan Stanley | | 2,046 | | 48,511 | | 79,057 | | 32,010 |
| Sturm Ruger & Co., Inc. | | Morgan Stanley | | 126 | | 7,971 | | 8,772 | | 1,402 |
| Tapestry, Inc. | | Morgan Stanley | | 5 | | 191 | | 186 | | (5) |
| Tempur Sealy International, Inc. | | Morgan Stanley | | 409 | | 15,495 | | 11,419 | | (4,032) |
| Under Armour, Inc., Class C | | Morgan Stanley | | 455 | | 7,864 | | 7,080 | | (1,062) |
| VF Corp. | | Morgan Stanley | | 27 | | 1,463 | | 1,535 | | 105 |
| Vista Outdoor, Inc. | | Morgan Stanley | | 543 | | 20,809 | | 19,380 | | (1,477) |
| Whirlpool Corp. | | Morgan Stanley | | 124 | | 24,406 | | 21,425 | | (2,593) |
| | | | | 11,967 | | 427,057 | | 428,322 | | 4,327 |
| Consumer Services | | | | | | | | |
| Accel Entertainment, Inc. | | Morgan Stanley | | 21 | | 272 | | 256 | | (16) |
| Adtalem Global Education, Inc. | | Morgan Stanley | | 325 | | 7,786 | | 9,656 | | 2,155 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Consumer Services — (continued) | | | | | | | | |
| Airbnb, Inc., Class A | | Morgan Stanley | | 75 | | $ 10,530 | | $ 12,882 | | $ 2,792 |
| Bloomin' Brands, Inc. | | Morgan Stanley | | 355 | | 7,443 | | 7,789 | | 351 |
| Booking Holdings, Inc. | | Morgan Stanley | | 4 | | 8,785 | | 9,394 | | 609 |
| Boyd Gaming Corp. | | Morgan Stanley | | 122 | | 7,341 | | 8,025 | | 701 |
| Caesars Entertainment, Inc. | | Morgan Stanley | | 10 | | 787 | | 774 | | 966 |
| Cheesecake Factory, Inc. (The) | | Morgan Stanley | | 596 | | 23,033 | | 23,715 | | 675 |
| Choice Hotels International, Inc. | | Morgan Stanley | | 17 | | 1,969 | | 2,410 | | 452 |
| Cracker Barrel Old Country Store, Inc. | | Morgan Stanley | | 187 | | 23,295 | | 22,203 | | (984) |
| Darden Restaurants, Inc. | | Morgan Stanley | | 42 | | 5,571 | | 5,584 | | 198 |
| Dine Brands Global, Inc. | | Morgan Stanley | | 59 | | 4,118 | | 4,599 | | 516 |
| Domino's Pizza, Inc. | | Morgan Stanley | | 9 | | 3,891 | | 3,663 | | (218) |
| European Wax Center, Inc., Class A | | Morgan Stanley | | 7 | | 213 | | 207 | | (6) |
| Graham Holdings Co., Class B | | Morgan Stanley | | 1 | | 569 | | 611 | | 48 |
| Grand Canyon Education, Inc. | | Morgan Stanley | | 23 | | 1,650 | | 2,234 | | 699 |
| Houghton Mifflin Harcourt Co. | | Morgan Stanley | | 902 | | 15,486 | | 18,951 | | 3,466 |
| McDonald's Corp. | | Morgan Stanley | | 111 | | 25,328 | | 27,448 | | 2,610 |
| MGM Resorts International | | Morgan Stanley | | 325 | | 13,749 | | 13,630 | | (145) |
| Papa John's International, Inc. | | Morgan Stanley | | 36 | | 3,766 | | 3,790 | | 10 |
| Penn National Gaming, Inc. | | Morgan Stanley | | 147 | | 6,308 | | 6,236 | | (72) |
| Red Rock Resorts, Inc., Class A | | Morgan Stanley | | 250 | | 11,437 | | 12,140 | | 713 |
| Service Corp. International | | Morgan Stanley | | 185 | | 9,761 | | 12,177 | | 2,591 |
| Six Flags Entertainment Corp. | | Morgan Stanley | | 73 | | 3,065 | | 3,176 | | 110 |
| Starbucks Corp. | | Morgan Stanley | | 204 | | 17,710 | | 18,558 | | 884 |
| Strategic Education, Inc. | | Morgan Stanley | | 52 | | 3,194 | | 3,452 | | 265 |
| WW International, Inc. | | Morgan Stanley | | 579 | | 8,192 | | 5,923 | | (2,304) |
| Wyndham Hotels & Resorts, Inc. | | Morgan Stanley | | 176 | | 13,183 | | 14,905 | | 1,784 |
| Wynn Resorts Ltd. | | Morgan Stanley | | 116 | | 8,959 | | 9,250 | | 201 |
| Yum! Brands, Inc. | | Morgan Stanley | | 155 | | 16,776 | | 18,372 | | 1,922 |
| | | | | 5,164 | | 264,167 | | 282,010 | | 20,973 |
| Diversified Financials | | | | | | | | |
| Affiliated Managers Group, Inc. | | Morgan Stanley | | 70 | | 10,363 | | 9,866 | | (496) |
| Berkshire Hathaway, Inc., Class B | | Morgan Stanley | | 320 | | 75,777 | | 112,931 | | 37,429 |
| BlackRock, Inc. | | Morgan Stanley | | 38 | | 28,675 | | 29,038 | | 555 |
| Blackstone, Inc. | | Morgan Stanley | | 39 | | 5,058 | | 4,951 | | (108) |
| Cboe Global Markets, Inc. | | Morgan Stanley | | 68 | | 7,780 | | 7,781 | | — |
| CME Group, Inc. | | Morgan Stanley | | 101 | | 24,150 | | 24,024 | | (86) |
| Donnelley Financial Solutions, Inc. | | Morgan Stanley | | 159 | | 6,498 | | 5,288 | | (1,210) |
| Franklin Resources, Inc. | | Morgan Stanley | | 1,187 | | 36,073 | | 33,141 | | (2,647) |
| Intercontinental Exchange, Inc. | | Morgan Stanley | | 85 | | 11,099 | | 11,230 | | 132 |
| Invesco Ltd. (Bermuda) | | Morgan Stanley | | 571 | | 13,444 | | 13,167 | | (153) |
| Moody's Corp. | | Morgan Stanley | | 56 | | 19,589 | | 18,895 | | (638) |
| MSCI, Inc. | | Morgan Stanley | | 49 | | 23,605 | | 24,641 | | 1,061 |
| Nasdaq, Inc. | | Morgan Stanley | | 118 | | 19,061 | | 21,028 | | 2,194 |
| Open Lending Corp., Class A | | Morgan Stanley | | 7 | | 134 | | 132 | | (2) |
| S&P Global, Inc. | | Morgan Stanley | | 44 | | 17,126 | | 18,048 | | 1,000 |
| SEI Investments Co. | | Morgan Stanley | | 43 | | 2,504 | | 2,589 | | 91 |
| T Rowe Price Group, Inc. | | Morgan Stanley | | 207 | | 38,714 | | 31,296 | | (6,726) |
| | | | | 3,162 | | 339,650 | | 368,046 | | 30,396 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Energy | | | | | | | | |
| APA Corp. | | Morgan Stanley | | 130 | | $ 3,230 | | $ 5,373 | | $ 2,158 |
| Arch Resources, Inc. | | Morgan Stanley | | 39 | | 5,697 | | 5,358 | | (340) |
| Baker Hughes Co. | | Morgan Stanley | | 819 | | 21,766 | | 29,820 | | 9,311 |
| Cactus, Inc., Class A | | Morgan Stanley | | 12 | | 341 | | 681 | | 345 |
| Canadian Natural Resources Ltd. (Canada) | | Morgan Stanley | | 813 | | 49,444 | | 50,390 | | 1,218 |
| Centennial Resource Development, Inc., Class A | | Morgan Stanley | | 3,426 | | 28,514 | | 27,648 | | (864) |
| ChampionX Corp. | | Morgan Stanley | | 405 | | 8,438 | | 9,914 | | 1,519 |
| Cheniere Energy, Inc. | | Morgan Stanley | | 443 | | 57,645 | | 61,422 | | 3,822 |
| Chevron Corp. | | Morgan Stanley | | 132 | | 16,045 | | 21,494 | | 5,635 |
| Comstock Resources, Inc. | | Morgan Stanley | | 864 | | 6,246 | | 11,275 | | 5,030 |
| CONSOL Energy, Inc. | | Morgan Stanley | | 69 | | 2,051 | | 2,596 | | 550 |
| Continental Resources, Inc. | | Morgan Stanley | | 124 | | 3,816 | | 7,605 | | 3,861 |
| Denbury, Inc. | | Morgan Stanley | | 271 | | 18,720 | | 21,292 | | 2,681 |
| Dril-Quip, Inc. | | Morgan Stanley | | 124 | | 4,478 | | 4,631 | | 154 |
| DT Midstream, Inc. | | Morgan Stanley | | 44 | | 2,387 | | 2,387 | | — |
| EOG Resources, Inc. | | Morgan Stanley | | 323 | | 29,968 | | 38,511 | | 9,325 |
| Exxon Mobil Corp. | | Morgan Stanley | | 522 | | 29,924 | | 43,112 | | 14,466 |
| Gulfport Energy Corp. | | Morgan Stanley | | 3 | | 259 | | 269 | | 10 |
| Halliburton Co. | | Morgan Stanley | | 591 | | 18,117 | | 22,381 | | 4,353 |
| Helmerich & Payne, Inc. | | Morgan Stanley | | 443 | | 10,326 | | 18,952 | | 8,737 |
| Imperial Oil Ltd. (Canada) | | Morgan Stanley | | 192 | | 6,505 | | 9,277 | | 2,864 |
| Marathon Oil Corp. | | Morgan Stanley | | 1,702 | | 23,432 | | 42,737 | | 19,825 |
| Marathon Petroleum Corp. | | Morgan Stanley | | 1,573 | | 115,677 | | 134,491 | | 19,396 |
| Murphy Oil Corp. | | Morgan Stanley | | 543 | | 14,478 | | 21,932 | | 7,593 |
| Oasis Petroleum, Inc. | | Morgan Stanley | | 172 | | 19,435 | | 25,164 | | 6,029 |
| Occidental Petroleum Corp. | | Morgan Stanley | | 511 | | 15,119 | | 28,994 | | 13,942 |
| Oceaneering International, Inc. | | Morgan Stanley | | 861 | | 11,016 | | 13,053 | | 2,038 |
| ONEOK, Inc. | | Morgan Stanley | | 400 | | 21,526 | | 28,252 | | 7,374 |
| Ovintiv, Inc. | | Morgan Stanley | | 336 | | 8,376 | | 18,168 | | 10,011 |
| PDC Energy, Inc. | | Morgan Stanley | | 435 | | 28,274 | | 31,616 | | 3,443 |
| Pembina Pipeline Corp. (Canada) | | Morgan Stanley | | 583 | | 21,370 | | 21,921 | | 567 |
| Phillips 66 | | Morgan Stanley | | 380 | | 29,274 | | 32,828 | | 4,168 |
| Range Resources Corp. | | Morgan Stanley | | 141 | | 1,375 | | 4,284 | | 2,950 |
| SM Energy Co. | | Morgan Stanley | | 1 | | 6 | | 39 | | 33 |
| Suncor Energy, Inc. (Canada) | | Morgan Stanley | | 373 | | 8,981 | | 12,156 | | 3,417 |
| Talos Energy, Inc. | | Morgan Stanley | | 579 | | 9,297 | | 9,142 | | (155) |
| Targa Resources Corp. | | Morgan Stanley | | 55 | | 3,588 | | 4,151 | | 608 |
| Valaris Ltd. (Bermuda) | | Morgan Stanley | | 52 | | 2,084 | | 2,702 | | 766 |
| Valero Energy Corp. | | Morgan Stanley | | 158 | | 10,827 | | 16,043 | | 5,379 |
| Vermilion Energy, Inc. (Canada) | | Morgan Stanley | | 1,518 | | 21,776 | | 31,908 | | 10,192 |
| Weatherford International PLC (Ireland) | | Morgan Stanley | | 2 | | 66 | | 67 | | 6 |
| Whiting Petroleum Corp. | | Morgan Stanley | | 205 | | 7,747 | | 16,710 | | 9,011 |
| Williams Cos., Inc. (The) | | Morgan Stanley | | 89 | | 2,909 | | 2,973 | | 64 |
| | | | | 20,458 | | 700,550 | | 893,719 | | 201,492 |
| Food & Staples Retailing | | | | | | | | |
| Costco Wholesale Corp. | | Morgan Stanley | | 63 | | 32,015 | | 36,279 | | 4,314 |
| Ingles Markets, Inc., Class A | | Morgan Stanley | | 47 | | 4,033 | | 4,185 | | 152 |
| Kroger Co. (The) | | Morgan Stanley | | 224 | | 10,128 | | 12,851 | | 2,962 |
| Sprouts Farmers Market, Inc. | | Morgan Stanley | | 221 | | 4,872 | | 7,068 | | 2,195 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Food & Staples Retailing — (continued) | | | | | | | | |
| Sysco Corp. | | Morgan Stanley | | 203 | | $ 16,406 | | $ 16,575 | | $ 281 |
| United Natural Foods, Inc. | | Morgan Stanley | | 257 | | 10,895 | | 10,627 | | (357) |
| Walgreens Boots Alliance, Inc. | | Morgan Stanley | | 428 | | 18,226 | | 19,162 | | 1,693 |
| Walmart, Inc. | | Morgan Stanley | | 219 | | 30,010 | | 32,613 | | 3,079 |
| Weis Markets, Inc. | | Morgan Stanley | | 285 | | 14,328 | | 20,355 | | 6,570 |
| | | | | 1,947 | | 140,913 | | 159,715 | | 20,889 |
| Food, Beverage & Tobacco | | | | | | | | |
| Altria Group, Inc. | | Morgan Stanley | | 326 | | 16,428 | | 17,033 | | 1,199 |
| Archer-Daniels-Midland Co. | | Morgan Stanley | | 125 | | 7,728 | | 11,282 | | 3,688 |
| Brown-Forman Corp., Class B | | Morgan Stanley | | 180 | | 11,689 | | 12,064 | | 375 |
| Bunge Ltd. (Bermuda) | | Morgan Stanley | | 109 | | 10,921 | | 12,078 | | 1,176 |
| Coca-Cola Co. (The) | | Morgan Stanley | | 373 | | 20,117 | | 23,126 | | 3,731 |
| Coca-Cola Consolidated, Inc. | | Morgan Stanley | | 131 | | 36,644 | | 65,087 | | 28,639 |
| Constellation Brands, Inc., Class A | | Morgan Stanley | | 78 | | 17,456 | | 17,965 | | 568 |
| Darling Ingredients, Inc. | | Morgan Stanley | | 153 | | 11,518 | | 12,298 | | 781 |
| General Mills, Inc. | | Morgan Stanley | | 262 | | 16,603 | | 17,743 | | 1,327 |
| Hain Celestial Group, Inc. (The) | | Morgan Stanley | | 310 | | 11,026 | | 10,664 | | (361) |
| Hormel Foods Corp. | | Morgan Stanley | | 723 | | 36,584 | | 37,263 | | 683 |
| John B Sanfilippo & Son, Inc. | | Morgan Stanley | | 186 | | 14,966 | | 15,520 | | 1,635 |
| Kellogg Co. | | Morgan Stanley | | 117 | | 7,203 | | 7,545 | | 644 |
| Kraft Heinz Co. (The) | | Morgan Stanley | | 438 | | 13,556 | | 17,253 | | 5,058 |
| Molson Coors Beverage Co., Class B | | Morgan Stanley | | 242 | | 11,284 | | 12,918 | | 1,798 |
| Mondelez International, Inc., Class A | | Morgan Stanley | | 410 | | 24,336 | | 25,740 | | 2,648 |
| Monster Beverage Corp. | | Morgan Stanley | | 197 | | 15,355 | | 15,740 | | 386 |
| PepsiCo, Inc. | | Morgan Stanley | | 203 | | 31,301 | | 33,978 | | 3,043 |
| Philip Morris International, Inc. | | Morgan Stanley | | 567 | | 55,412 | | 53,264 | | (1,525) |
| Sanderson Farms, Inc. | | Morgan Stanley | | 337 | | 62,281 | | 63,184 | | 1,141 |
| TreeHouse Foods, Inc. | | Morgan Stanley | | 135 | | 4,383 | | 4,355 | | (28) |
| Tyson Foods, Inc., Class A | | Morgan Stanley | | 668 | | 56,857 | | 59,873 | | 3,539 |
| Vector Group Ltd. | | Morgan Stanley | | 256 | | 2,871 | | 3,082 | | 263 |
| | | | | 6,526 | | 496,519 | | 549,055 | | 60,408 |
| Health Care Equipment & Services | | | | | | | | |
| Abbott Laboratories | | Morgan Stanley | | 391 | | 46,241 | | 46,279 | | 208 |
| Acadia Healthcare Co., Inc. | | Morgan Stanley | | 280 | | 16,047 | | 18,348 | | 2,303 |
| Addus HomeCare Corp. | | Morgan Stanley | | 33 | | 2,614 | | 3,079 | | 464 |
| Align Technology, Inc. | | Morgan Stanley | | 68 | | 29,793 | | 29,648 | | (246) |
| Allscripts Healthcare Solutions, Inc. | | Morgan Stanley | | 1,352 | | 19,661 | | 30,447 | | 11,820 |
| Amedisys, Inc. | | Morgan Stanley | | 121 | | 16,138 | | 20,847 | | 4,813 |
| AMN Healthcare Services, Inc. | | Morgan Stanley | | 103 | | 10,382 | | 10,746 | | 364 |
| Anthem, Inc. | | Morgan Stanley | | 66 | | 26,018 | | 32,421 | | 6,547 |
| Apollo Medical Holdings, Inc. | | Morgan Stanley | | 469 | | 33,773 | | 22,732 | | (11,038) |
| Avanos Medical, Inc. | | Morgan Stanley | | 318 | | 10,220 | | 10,653 | | 433 |
| Centene Corp. | | Morgan Stanley | | 190 | | 15,863 | | 15,996 | | 134 |
| Cerner Corp. | | Morgan Stanley | | 492 | | 38,422 | | 46,032 | | 7,847 |
| Chemed Corp. | | Morgan Stanley | | 18 | | 8,620 | | 9,118 | | 512 |
| Cigna Corp. | | Morgan Stanley | | 38 | | 8,680 | | 9,105 | | 463 |
| CVS Health Corp. | | Morgan Stanley | | 95 | | 8,879 | | 9,615 | | 1,012 |
| DaVita, Inc. | | Morgan Stanley | | 156 | | 17,820 | | 17,645 | | (174) |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Health Care Equipment & Services — (continued) | | | | | | | | |
| Dexcom, Inc. | | Morgan Stanley | | 37 | | $ 15,622 | | $ 18,929 | | $ 3,309 |
| Doximity, Inc., Class A | | Morgan Stanley | | 57 | | 2,947 | | 2,969 | | 22 |
| Edwards Lifesciences Corp. | | Morgan Stanley | | 132 | | 14,151 | | 15,539 | | 1,389 |
| Ensign Group, Inc. (The) | | Morgan Stanley | | 32 | | 2,338 | | 2,880 | | 562 |
| Envista Holdings Corp. | | Morgan Stanley | | 340 | | 13,756 | | 16,561 | | 2,807 |
| Fulgent Genetics, Inc. | | Morgan Stanley | | 623 | | 45,805 | | 38,881 | | (6,966) |
| Globus Medical, Inc., Class A | | Morgan Stanley | | 73 | | 4,710 | | 5,386 | | 744 |
| HCA Healthcare, Inc. | | Morgan Stanley | | 65 | | 13,656 | | 16,290 | | 2,781 |
| Hologic, Inc. | | Morgan Stanley | | 206 | | 14,458 | | 15,825 | | 1,377 |
| ICU Medical, Inc. | | Morgan Stanley | | 80 | | 17,215 | | 17,811 | | 598 |
| IDEXX Laboratories, Inc. | | Morgan Stanley | | 10 | | 5,111 | | 5,471 | | 359 |
| Integra LifeSciences Holdings Corp. | | Morgan Stanley | | 287 | | 19,240 | | 18,443 | | (809) |
| Laboratory Corp. of America Holdings | | Morgan Stanley | | 139 | | 33,836 | | 36,649 | | 2,811 |
| LivaNova PLC (United Kingdom) | | Morgan Stanley | | 448 | | 35,583 | | 36,660 | | 1,054 |
| Masimo Corp. | | Morgan Stanley | | 106 | | 15,540 | | 15,427 | | (94) |
| McKesson Corp. | | Morgan Stanley | | 91 | | 20,210 | | 27,858 | | 8,032 |
| MEDNAX, Inc. | | Morgan Stanley | | 288 | | 6,429 | | 6,762 | | 318 |
| Medtronic PLC (Ireland) | | Morgan Stanley | | 283 | | 28,524 | | 31,399 | | 3,118 |
| Merit Medical Systems, Inc. | | Morgan Stanley | | 96 | | 5,639 | | 6,386 | | 751 |
| ModivCare, Inc. | | Morgan Stanley | | 6 | | 678 | | 692 | | 14 |
| Molina Healthcare, Inc. | | Morgan Stanley | | 69 | | 20,404 | | 23,018 | | 2,645 |
| Natus Medical, Inc. | | Morgan Stanley | | 1,327 | | 24,151 | | 34,874 | | 10,724 |
| NextGen Healthcare, Inc. | | Morgan Stanley | | 66 | | 1,142 | | 1,380 | | 237 |
| Omnicell, Inc. | | Morgan Stanley | | 279 | | 36,266 | | 36,128 | | (151) |
| Ortho Clinical Diagnostics Holdings PLC (United Kingdom) | | Morgan Stanley | | 723 | | 12,450 | | 13,491 | | 1,053 |
| Owens & Minor, Inc. | | Morgan Stanley | | 73 | | 3,007 | | 3,213 | | 232 |
| Quest Diagnostics, Inc. | | Morgan Stanley | | 184 | | 24,766 | | 25,182 | | 859 |
| Select Medical Holdings Corp. | | Morgan Stanley | | 272 | | 6,488 | | 6,525 | | 33 |
| STAAR Surgical Co. | | Morgan Stanley | | 261 | | 28,036 | | 20,857 | | (7,569) |
| Tandem Diabetes Care, Inc. | | Morgan Stanley | | 97 | | 11,318 | | 11,280 | | (95) |
| Teleflex, Inc. | | Morgan Stanley | | 197 | | 65,508 | | 69,902 | | 4,451 |
| Tivity Health, Inc. | | Morgan Stanley | | 25 | | 614 | | 804 | | 190 |
| UnitedHealth Group, Inc. | | Morgan Stanley | | 56 | | 23,411 | | 28,558 | | 5,500 |
| Varex Imaging Corp. | | Morgan Stanley | | 222 | | 6,088 | | 4,726 | | (1,372) |
| Veeva Systems, Inc., Class A | | Morgan Stanley | | 74 | | 13,285 | | 15,722 | | 2,955 |
| | | | | 11,514 | | 901,553 | | 965,189 | | 67,331 |
| Household & Personal Products | | | | | | | | |
| Church & Dwight Co., Inc. | | Morgan Stanley | | 78 | | 6,875 | | 7,752 | | 947 |
| Colgate-Palmolive Co. | | Morgan Stanley | | 423 | | 31,884 | | 32,076 | | 270 |
| Coty, Inc., Class A | | Morgan Stanley | | 1,850 | | 15,657 | | 16,631 | | 941 |
| Estee Lauder Cos., Inc. (The), Class A | | Morgan Stanley | | 209 | | 56,936 | | 56,915 | | (555) |
| Kimberly-Clark Corp. | | Morgan Stanley | | 283 | | 36,800 | | 34,854 | | (1,835) |
| Procter & Gamble Co. (The) | | Morgan Stanley | | 407 | | 60,664 | | 62,190 | | 1,899 |
| WD-40 Co. | | Morgan Stanley | | 1 | | 184 | | 183 | | 1 |
| | | | | 3,251 | | 209,000 | | 210,601 | | 1,668 |
| Materials | | | | | | | | |
| AdvanSix, Inc. | | Morgan Stanley | | 88 | | 3,851 | | 4,496 | | 680 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Materials — (continued) | | | | | | | | |
| Alcoa Corp. | | Morgan Stanley | | 69 | | $ 3,097 | | $ 6,212 | | $ 3,143 |
| Ashland Global Holdings, Inc. | | Morgan Stanley | | 36 | | 3,400 | | 3,543 | | 296 |
| Avery Dennison Corp. | | Morgan Stanley | | 35 | | 6,646 | | 6,089 | | (510) |
| Avient Corp. | | Morgan Stanley | | 121 | | 6,236 | | 5,808 | | (407) |
| Balchem Corp. | | Morgan Stanley | | 63 | | 8,911 | | 8,612 | | (298) |
| Ball Corp. | | Morgan Stanley | | 53 | | 4,738 | | 4,770 | | 32 |
| Celanese Corp. | | Morgan Stanley | | 46 | | 7,071 | | 6,572 | | (466) |
| CF Industries Holdings, Inc. | | Morgan Stanley | | 402 | | 26,099 | | 41,430 | | 15,507 |
| Chemours Co. (The) | | Morgan Stanley | | 105 | | 3,009 | | 3,305 | | 387 |
| Corteva, Inc. | | Morgan Stanley | | 760 | | 33,834 | | 43,685 | | 10,244 |
| Dow, Inc. | | Morgan Stanley | | 142 | | 8,187 | | 9,048 | | 1,021 |
| DuPont de Nemours, Inc. | | Morgan Stanley | | 858 | | 65,135 | | 63,132 | | (1,562) |
| Eagle Materials, Inc. | | Morgan Stanley | | 280 | | 38,592 | | 35,941 | | (2,546) |
| Eastman Chemical Co. | | Morgan Stanley | | 191 | | 20,730 | | 21,403 | | 744 |
| Ferro Corp. | | Morgan Stanley | | 408 | | 8,556 | | 8,870 | | 314 |
| FMC Corp. | | Morgan Stanley | | 231 | | 26,116 | | 30,393 | | 4,429 |
| Franco-Nevada Corp. (Canada) | | Morgan Stanley | | 7 | | 1,120 | | 1,117 | | (124) |
| Freeport-McMoRan, Inc. | | Morgan Stanley | | 280 | | 10,252 | | 13,927 | | 3,779 |
| Hecla Mining Co. | | Morgan Stanley | | 730 | | 4,794 | | 4,796 | | 2 |
| Huntsman Corp. | | Morgan Stanley | | 155 | | 5,941 | | 5,814 | | (127) |
| Innospec, Inc. | | Morgan Stanley | | 27 | | 2,587 | | 2,499 | | (85) |
| International Paper Co. | | Morgan Stanley | | 1,163 | | 53,024 | | 53,672 | | 1,010 |
| Intrepid Potash, Inc. | | Morgan Stanley | | 13 | | 1,072 | | 1,068 | | (4) |
| Kinross Gold Corp. (Canada) | | Morgan Stanley | | 1,409 | | 7,208 | | 8,285 | | 1,385 |
| Kronos Worldwide, Inc. | | Morgan Stanley | | 14 | | 220 | | 217 | | (3) |
| Linde PLC (Ireland) | | Morgan Stanley | | 146 | | 38,613 | | 46,637 | | 8,681 |
| Louisiana-Pacific Corp. | | Morgan Stanley | | 94 | | 5,439 | | 5,839 | | 472 |
| LyondellBasell Industries NV, Class A (Netherlands) | | Morgan Stanley | | 171 | | 16,409 | | 17,582 | | 1,501 |
| New Gold, Inc. (Canada) | | Morgan Stanley | | 4,264 | | 7,540 | | 7,675 | | 136 |
| Nucor Corp. | | Morgan Stanley | | 299 | | 27,315 | | 44,446 | | 17,448 |
| Nutrien Ltd. (Canada) | | Morgan Stanley | | 344 | | 32,172 | | 35,773 | | 3,733 |
| O-I Glass, Inc. | | Morgan Stanley | | 410 | | 5,383 | | 5,404 | | 21 |
| Olin Corp. | | Morgan Stanley | | 298 | | 13,770 | | 15,579 | | 2,035 |
| Packaging Corp. of America | | Morgan Stanley | | 57 | | 7,671 | | 8,898 | | 1,627 |
| Pan American Silver Corp. (Canada) | | Morgan Stanley | | 839 | | 18,726 | | 22,905 | | 4,665 |
| PPG Industries, Inc. | | Morgan Stanley | | 41 | | 5,346 | | 5,374 | | 56 |
| Reliance Steel & Aluminum Co. | | Morgan Stanley | | 34 | | 6,296 | | 6,234 | | (42) |
| Royal Gold, Inc. | | Morgan Stanley | | 126 | | 15,085 | | 17,801 | | 2,772 |
| Sealed Air Corp. | | Morgan Stanley | | 458 | | 29,035 | | 30,668 | | 1,775 |
| Sensient Technologies Corp. | | Morgan Stanley | | 91 | | 8,296 | | 7,639 | | (674) |
| Silgan Holdings, Inc. | | Morgan Stanley | | 77 | | 3,271 | | 3,560 | | 300 |
| SSR Mining, Inc. (Canada) | | Morgan Stanley | | 1,268 | | 22,408 | | 27,579 | | 5,235 |
| Sylvamo Corp. | | Morgan Stanley | | 121 | | 4,264 | | 4,027 | | (237) |
| Teck Resources Ltd., Class B (Canada) | | Morgan Stanley | | 66 | | 2,614 | | 2,666 | | 51 |
| TriMas Corp. | | Morgan Stanley | | 7 | | 225 | | 225 | | — |
| Tronox Holdings PLC, Class A (United Kingdom) | | Morgan Stanley | | 183 | | 3,466 | | 3,622 | | 133 |
| United States Steel Corp. | | Morgan Stanley | | 88 | | 1,643 | | 3,321 | | 1,682 |
| Warrior Met Coal, Inc. | | Morgan Stanley | | 379 | | 14,521 | | 14,065 | | (455) |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Materials — (continued) | | | | | | | | |
| Westlake Corp. | | Morgan Stanley | | 77 | | $ 7,083 | | $ 9,502 | | $ 2,477 |
| Yamana Gold, Inc. (Canada) | | Morgan Stanley | | 6,110 | | 34,130 | | 34,094 | | 88 |
| | | | | 23,734 | | 691,147 | | 775,819 | | 90,321 |
| Media & Entertainment | | | | | | | | |
| Activision Blizzard, Inc. | | Morgan Stanley | | 175 | | 12,510 | | 14,019 | | 1,514 |
| Alphabet, Inc., Class A | | Morgan Stanley | | 33 | | 80,438 | | 91,785 | | 11,355 |
| AMC Entertainment Holdings, Inc., Class A | | Morgan Stanley | | 1,428 | | 37,067 | | 35,186 | | (1,878) |
| AMC Networks, Inc., Class A | | Morgan Stanley | | 137 | | 5,203 | | 5,566 | | 369 |
| Bumble, Inc., Class A | | Morgan Stanley | | 483 | | 13,912 | | 13,997 | | 87 |
| Cars.com, Inc. | | Morgan Stanley | | 6 | | 88 | | 87 | | (2) |
| Charter Communications, Inc., Class A | | Morgan Stanley | | 111 | | 62,870 | | 60,553 | | (2,373) |
| Comcast Corp., Class A | | Morgan Stanley | | 458 | | 22,255 | | 21,444 | | (813) |
| Discovery, Inc. | | Morgan Stanley | | 3,139 | | 79,025 | | 78,224 | | (793) |
| Fox Corp., Class A | | Morgan Stanley | | 78 | | 2,762 | | 3,077 | | 343 |
| Interpublic Group of Cos., Inc. (The) | | Morgan Stanley | | 434 | | 14,166 | | 15,385 | | 1,639 |
| Live Nation Entertainment, Inc. | | Morgan Stanley | | 20 | | 2,357 | | 2,353 | | (5) |
| Match Group, Inc. | | Morgan Stanley | | 414 | | 38,208 | | 45,018 | | 6,665 |
| Meta Platforms, Inc., Class A | | Morgan Stanley | | 452 | | 119,389 | | 100,507 | | (18,869) |
| Netflix, Inc. | | Morgan Stanley | | 133 | | 58,319 | | 49,820 | | (8,493) |
| News Corp., Class A | | Morgan Stanley | | 266 | | 5,797 | | 5,892 | | 120 |
| Pinterest, Inc., Class A | | Morgan Stanley | | 180 | | 4,269 | | 4,430 | | 175 |
| PubMatic, Inc., Class A | | Morgan Stanley | | 637 | | 16,230 | | 16,638 | | 245 |
| Take-Two Interactive Software, Inc. | | Morgan Stanley | | 52 | | 7,406 | | 7,994 | | 684 |
| Thryv Holdings, Inc. | | Morgan Stanley | | 93 | | 2,864 | | 2,615 | | (250) |
| TripAdvisor, Inc. | | Morgan Stanley | | 398 | | 10,543 | | 10,794 | | 251 |
| Twitter, Inc. | | Morgan Stanley | | 654 | | 31,270 | | 25,303 | | (5,964) |
| Walt Disney Co. (The) | | Morgan Stanley | | 378 | | 54,629 | | 51,846 | | (2,797) |
| Yelp, Inc. | | Morgan Stanley | | 157 | | 5,549 | | 5,355 | | (193) |
| Ziff Davis, Inc. | | Morgan Stanley | | 244 | | 24,330 | | 23,614 | | (720) |
| | | | | 10,560 | | 711,456 | | 691,502 | | (19,703) |
| Pharmaceuticals, Biotechnology & Life Sciences | | | | | | | | |
| AbbVie, Inc. | | Morgan Stanley | | 27 | | 4,283 | | 4,377 | | 141 |
| Agilent Technologies, Inc. | | Morgan Stanley | | 207 | | 28,150 | | 27,392 | | (692) |
| Alnylam Pharmaceuticals, Inc. | | Morgan Stanley | | 10 | | 1,656 | | 1,633 | | (23) |
| Amgen, Inc. | | Morgan Stanley | | 10 | | 2,358 | | 2,418 | | 60 |
| Amphastar Pharmaceuticals, Inc. | | Morgan Stanley | | 51 | | 1,798 | | 1,831 | | 33 |
| Avantor, Inc. | | Morgan Stanley | | 364 | | 12,355 | | 12,310 | | (44) |
| Biogen, Inc. | | Morgan Stanley | | 84 | | 17,317 | | 17,690 | | 374 |
| Bio-Rad Laboratories, Inc., Class A | | Morgan Stanley | | 90 | | 53,688 | | 50,691 | | (3,617) |
| Bio-Techne Corp. | | Morgan Stanley | | 32 | | 12,901 | | 13,857 | | 1,019 |
| Bristol-Myers Squibb Co. | | Morgan Stanley | | 217 | | 14,398 | | 15,848 | | 1,660 |
| Bruker Corp. | | Morgan Stanley | | 94 | | 6,113 | | 6,044 | | (75) |
| Charles River Laboratories International, Inc. | | Morgan Stanley | | 126 | | 34,505 | | 35,780 | | 1,272 |
| Corcept Therapeutics, Inc. | | Morgan Stanley | | 342 | | 6,105 | | 7,702 | | 1,609 |
| Cronos Group, Inc. (Canada) | | Morgan Stanley | | 236 | | 916 | | 918 | | 1 |
| Danaher Corp. | | Morgan Stanley | | 55 | | 14,496 | | 16,133 | | 1,729 |
| Dynavax Technologies Corp. | | Morgan Stanley | | 543 | | 6,072 | | 5,886 | | (186) |
| Elanco Animal Health, Inc. | | Morgan Stanley | | 1,432 | | 39,257 | | 37,361 | | (1,892) |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Pharmaceuticals, Biotechnology & Life Sciences — (continued) | | | | | | | | |
| Exelixis, Inc. | | Morgan Stanley | | 149 | | $ 3,097 | | $ 3,378 | | $ 293 |
| Gilead Sciences, Inc. | | Morgan Stanley | | 616 | | 36,279 | | 36,621 | | 411 |
| Harmony Biosciences Holdings, Inc. | | Morgan Stanley | | 52 | | 2,197 | | 2,530 | | 332 |
| Horizon Therapeutics PLC (Ireland) | | Morgan Stanley | | 134 | | 14,226 | | 14,098 | | (127) |
| Innoviva, Inc. | | Morgan Stanley | | 2,489 | | 30,347 | | 48,162 | | 18,280 |
| Ionis Pharmaceuticals, Inc. | | Morgan Stanley | | 252 | | 9,114 | | 9,334 | | 220 |
| IQVIA Holdings, Inc. | | Morgan Stanley | | 45 | | 10,087 | | 10,404 | | 375 |
| Ironwood Pharmaceuticals, Inc. | | Morgan Stanley | | 372 | | 4,049 | | 4,680 | | 631 |
| iTeos Therapeutics, Inc. | | Morgan Stanley | | 44 | | 1,442 | | 1,416 | | (26) |
| Johnson & Johnson | | Morgan Stanley | | 186 | | 29,543 | | 32,965 | | 4,503 |
| Maravai LifeSciences Holdings, Inc., Class A | | Morgan Stanley | | 140 | | 3,515 | | 4,938 | | 1,471 |
| Medpace Holdings, Inc. | | Morgan Stanley | | 16 | | 2,672 | | 2,617 | | (78) |
| Merck & Co., Inc. | | Morgan Stanley | | 417 | | 30,625 | | 34,215 | | 4,115 |
| Mettler-Toledo International, Inc. | | Morgan Stanley | | 21 | | 29,059 | | 28,837 | | (356) |
| Moderna, Inc. | | Morgan Stanley | | 309 | | 42,515 | | 53,228 | | 11,100 |
| Organogenesis Holdings, Inc. | | Morgan Stanley | | 96 | | 727 | | 732 | | 4 |
| Organon & Co. | | Morgan Stanley | | 50 | | 1,699 | | 1,747 | | 47 |
| Pacira BioSciences, Inc. | | Morgan Stanley | | 35 | | 1,739 | | 2,671 | | 932 |
| PerkinElmer, Inc. | | Morgan Stanley | | 62 | | 9,484 | | 10,817 | | 1,353 |
| Pfizer, Inc. | | Morgan Stanley | | 348 | | 18,087 | | 18,016 | | 33 |
| Prestige Consumer Healthcare, Inc. | | Morgan Stanley | | 892 | | 33,641 | | 47,222 | | 13,585 |
| QIAGEN NV (Netherlands) | | Morgan Stanley | | 230 | | 10,915 | | 11,270 | | 308 |
| Regeneron Pharmaceuticals, Inc. | | Morgan Stanley | | 31 | | 18,772 | | 21,651 | | 3,058 |
| REGENXBIO, Inc. | | Morgan Stanley | | 70 | | 2,158 | | 2,323 | | 165 |
| Sarepta Therapeutics, Inc. | | Morgan Stanley | | 266 | | 21,204 | | 20,780 | | (422) |
| Sundial Growers, Inc. (Canada) | | Morgan Stanley | | 22,957 | | 14,584 | | 16,070 | | 1,487 |
| Syndax Pharmaceuticals, Inc. | | Morgan Stanley | | 5 | | 88 | | 87 | | 20 |
| Thermo Fisher Scientific, Inc. | | Morgan Stanley | | 17 | | 9,543 | | 10,041 | | 504 |
| Vertex Pharmaceuticals, Inc. | | Morgan Stanley | | 27 | | 6,780 | | 7,046 | | 266 |
| Viatris, Inc. | | Morgan Stanley | | 787 | | 8,153 | | 8,563 | | 410 |
| Waters Corp. | | Morgan Stanley | | 56 | | 15,817 | | 17,382 | | 1,566 |
| West Pharmaceutical Services, Inc. | | Morgan Stanley | | 36 | | 13,519 | | 14,786 | | 1,298 |
| Xencor, Inc. | | Morgan Stanley | | 31 | | 881 | | 827 | | (55) |
| Zoetis, Inc. | | Morgan Stanley | | 127 | | 24,995 | | 23,951 | | (1,015) |
| | | | | 35,285 | | 717,921 | | 781,276 | | 66,057 |
| Retailing | | | | | | | | |
| Academy Sports & Outdoors, Inc. | | Morgan Stanley | | 317 | | 11,005 | | 12,490 | | 1,567 |
| Advance Auto Parts, Inc. | | Morgan Stanley | | 167 | | 32,701 | | 34,562 | | 5,642 |
| Amazon.com, Inc. | | Morgan Stanley | | 21 | | 62,691 | | 68,459 | | 5,774 |
| AutoNation, Inc. | | Morgan Stanley | | 153 | | 16,321 | | 15,236 | | (1,084) |
| AutoZone, Inc. | | Morgan Stanley | | 20 | | 36,737 | | 40,892 | | 5,096 |
| Bath & Body Works, Inc. | | Morgan Stanley | | 1,467 | | 77,865 | | 70,123 | | (7,587) |
| Best Buy Co., Inc. | | Morgan Stanley | | 11 | | 1,038 | | 1,000 | | (34) |
| Buckle, Inc. (The) | | Morgan Stanley | | 292 | | 9,764 | | 9,648 | | 446 |
| Burlington Stores, Inc. | | Morgan Stanley | | 33 | | 7,204 | | 6,012 | | (1,412) |
| Dick's Sporting Goods, Inc. | | Morgan Stanley | | 57 | | 5,818 | | 5,701 | | (117) |
| Dillard's, Inc., Class A | | Morgan Stanley | | 21 | | 5,142 | | 5,636 | | 520 |
| Dollar General Corp. | | Morgan Stanley | | 195 | | 43,405 | | 43,413 | | 6 |
| eBay, Inc. | | Morgan Stanley | | 890 | | 47,994 | | 50,961 | | 3,696 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Retailing — (continued) | | | | | | | | |
| Etsy, Inc. | | Morgan Stanley | | 139 | | $ 18,257 | | $ 17,275 | | $ (981) |
| Genesco, Inc. | | Morgan Stanley | | 14 | | 948 | | 891 | | (57) |
| Genuine Parts Co. | | Morgan Stanley | | 17 | | 1,686 | | 2,142 | | 671 |
| Guess?, Inc. | | Morgan Stanley | | 194 | | 3,960 | | 4,239 | | 319 |
| Home Depot, Inc. (The) | | Morgan Stanley | | 36 | | 10,966 | | 10,776 | | 13 |
| LKQ Corp. | | Morgan Stanley | | 429 | | 19,655 | | 19,481 | | 32 |
| Lowe's Cos., Inc. | | Morgan Stanley | | 306 | | 64,790 | | 61,870 | | (2,712) |
| Macy's, Inc. | | Morgan Stanley | | 8 | | 198 | | 195 | | (3) |
| MarineMax, Inc. | | Morgan Stanley | | 238 | | 11,197 | | 9,582 | | (1,614) |
| ODP Corp. (The) | | Morgan Stanley | | 103 | | 3,951 | | 4,720 | | 770 |
| O'Reilly Automotive, Inc. | | Morgan Stanley | | 71 | | 47,531 | | 48,632 | | 1,106 |
| Overstock.com, Inc. | | Morgan Stanley | | 1,266 | | 63,953 | | 55,710 | | (8,236) |
| Penske Automotive Group, Inc. | | Morgan Stanley | | 62 | | 5,385 | | 5,811 | | 498 |
| RH | | Morgan Stanley | | 50 | | 18,588 | | 16,304 | | (3,111) |
| Ross Stores, Inc. | | Morgan Stanley | | 130 | | 11,996 | | 11,760 | | (205) |
| Shoe Carnival, Inc. | | Morgan Stanley | | 129 | | 4,496 | | 3,762 | | (741) |
| Shutterstock, Inc. | | Morgan Stanley | | 203 | | 13,760 | | 18,895 | | 5,562 |
| Signet Jewelers Ltd. (Bermuda) | | Morgan Stanley | | 402 | | 28,693 | | 29,225 | | 541 |
| Sonic Automotive, Inc., Class A | | Morgan Stanley | | 6 | | 273 | | 255 | | (24) |
| Target Corp. | | Morgan Stanley | | 251 | | 53,207 | | 53,267 | | 74 |
| TJX Cos., Inc. (The) | | Morgan Stanley | | 126 | | 7,681 | | 7,633 | | (49) |
| Ulta Beauty, Inc. | | Morgan Stanley | | 80 | | 29,947 | | 31,858 | | 1,969 |
| Victoria's Secret & Co. | | Morgan Stanley | | 327 | | 15,861 | | 16,795 | | 885 |
| Williams-Sonoma, Inc. | | Morgan Stanley | | 34 | | 5,041 | | 4,930 | | (102) |
| | | | | 8,265 | | 799,705 | | 800,141 | | 7,118 |
| Semiconductors & Semiconductor Equipment | | | | | | | | |
| Advanced Micro Devices, Inc. | | Morgan Stanley | | 978 | | 107,857 | | 106,935 | | 767 |
| Allegro MicroSystems, Inc. | | Morgan Stanley | | 440 | | 12,123 | | 12,496 | | 374 |
| Alpha & Omega Semiconductor Ltd. (Bermuda) | | Morgan Stanley | | 556 | | 27,719 | | 30,385 | | 2,669 |
| Applied Materials, Inc. | | Morgan Stanley | | 93 | | 11,621 | | 12,257 | | 694 |
| Axcelis Technologies, Inc. | | Morgan Stanley | | 389 | | 24,948 | | 29,381 | | 4,948 |
| Broadcom, Inc. | | Morgan Stanley | | 94 | | 53,456 | | 59,190 | | 7,114 |
| Cohu, Inc. | | Morgan Stanley | | 90 | | 2,850 | | 2,664 | | (188) |
| Diodes, Inc. | | Morgan Stanley | | 227 | | 21,555 | | 19,747 | | (1,823) |
| KLA Corp. | | Morgan Stanley | | 58 | | 19,971 | | 21,231 | | 1,400 |
| Lam Research Corp. | | Morgan Stanley | | 20 | | 10,904 | | 10,752 | | (144) |
| Lattice Semiconductor Corp. | | Morgan Stanley | | 743 | | 43,400 | | 45,286 | | 1,890 |
| MACOM Technology Solutions Holdings, Inc. | | Morgan Stanley | | 29 | | 934 | | 1,736 | | 802 |
| Microchip Technology, Inc. | | Morgan Stanley | | 45 | | 3,464 | | 3,381 | | (83) |
| Micron Technology, Inc. | | Morgan Stanley | | 1,517 | | 114,777 | | 118,159 | | 3,152 |
| NVIDIA Corp. | | Morgan Stanley | | 127 | | 31,573 | | 34,653 | | 3,087 |
| NXP Semiconductors NV (Netherlands) | | Morgan Stanley | | 96 | | 17,887 | | 17,768 | | 28 |
| ON Semiconductor Corp. | | Morgan Stanley | | 441 | | 22,275 | | 27,611 | | 5,843 |
| Onto Innovation, Inc. | | Morgan Stanley | | 218 | | 19,342 | | 18,942 | | (407) |
| Photronics, Inc. | | Morgan Stanley | | 209 | | 3,699 | | 3,547 | | (152) |
| Power Integrations, Inc. | | Morgan Stanley | | 249 | | 21,488 | | 23,077 | | 1,602 |
| QUALCOMM, Inc. | | Morgan Stanley | | 787 | | 121,180 | | 120,269 | | (833) |
| Rambus, Inc. | | Morgan Stanley | | 816 | | 19,938 | | 26,022 | | 6,112 |
| Semtech Corp. | | Morgan Stanley | | 316 | | 24,687 | | 21,911 | | (2,774) |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Semiconductors & Semiconductor Equipment — (continued) | | | | | | | | |
| Silicon Laboratories, Inc. | | Morgan Stanley | | 112 | | $ 19,132 | | $ 16,822 | | $ (2,418) |
| Skyworks Solutions, Inc. | | Morgan Stanley | | 89 | | 12,122 | | 11,862 | | (202) |
| Synaptics, Inc. | | Morgan Stanley | | 124 | | 21,358 | | 24,738 | | 3,385 |
| Teradyne, Inc. | | Morgan Stanley | | 158 | | 19,856 | | 18,680 | | (1,145) |
| | | | | 9,021 | | 810,116 | | 839,502 | | 33,698 |
| Software & Services | | | | | | | | |
| A10 Networks, Inc. | | Morgan Stanley | | 242 | | 3,380 | | 3,376 | | 7 |
| Accenture PLC, Class A (Ireland) | | Morgan Stanley | | 105 | | 34,075 | | 35,409 | | 1,641 |
| ACI Worldwide, Inc. | | Morgan Stanley | | 6 | | 195 | | 189 | | (7) |
| Adobe, Inc. | | Morgan Stanley | | 89 | | 37,838 | | 40,550 | | 3,276 |
| Agilysys, Inc. | | Morgan Stanley | | 3 | | 124 | | 120 | | (5) |
| Akamai Technologies, Inc. | | Morgan Stanley | | 150 | | 15,250 | | 17,908 | | 2,820 |
| Alkami Technology, Inc. | | Morgan Stanley | | 3 | | 43 | | 43 | | — |
| Autodesk, Inc. | | Morgan Stanley | | 236 | | 48,410 | | 50,587 | | 2,181 |
| Automatic Data Processing, Inc. | | Morgan Stanley | | 102 | | 20,051 | | 23,209 | | 3,671 |
| Bentley Systems, Inc., Class B | | Morgan Stanley | | 321 | | 13,263 | | 14,182 | | 903 |
| Black Knight, Inc. | | Morgan Stanley | | 77 | | 4,993 | | 4,465 | | (528) |
| Box, Inc., Class A | | Morgan Stanley | | 39 | | 874 | | 1,133 | | 259 |
| Bread Financial Holdings, Inc. | | Morgan Stanley | | 67 | | 4,370 | | 3,762 | | (599) |
| Cadence Design Systems, Inc. | | Morgan Stanley | | 105 | | 14,693 | | 17,268 | | 3,046 |
| CGI, Inc. (Canada) | | Morgan Stanley | | 248 | | 17,841 | | 19,798 | | 1,959 |
| Concentrix Corp. | | Morgan Stanley | | 42 | | 6,981 | | 6,996 | | 25 |
| Crowdstrike Holdings, Inc., Class A | | Morgan Stanley | | 184 | | 40,257 | | 41,783 | | 1,529 |
| CSG Systems International, Inc. | | Morgan Stanley | | 226 | | 9,514 | | 14,367 | | 5,413 |
| Datadog, Inc., Class A | | Morgan Stanley | | 519 | | 75,572 | | 78,613 | | 3,049 |
| Descartes Systems Group, Inc. (The) (Canada) | | Morgan Stanley | | 7 | | 522 | | 513 | | (9) |
| DigitalOcean Holdings, Inc. | | Morgan Stanley | | 286 | | 17,500 | | 16,545 | | (954) |
| DXC Technology Co. | | Morgan Stanley | | 590 | | 20,524 | | 19,252 | | (1,270) |
| Fair Isaac Corp. | | Morgan Stanley | | 120 | | 56,901 | | 55,975 | | (920) |
| Fidelity National Information Services, Inc. | | Morgan Stanley | | 26 | | 2,545 | | 2,611 | | 66 |
| Fiserv, Inc. | | Morgan Stanley | | 142 | | 13,738 | | 14,399 | | 661 |
| FleetCor Technologies, Inc. | | Morgan Stanley | | 38 | | 8,923 | | 9,464 | | 542 |
| Fortinet, Inc. | | Morgan Stanley | | 96 | | 29,561 | | 32,807 | | 3,248 |
| Gartner, Inc. | | Morgan Stanley | | 100 | | 28,442 | | 29,746 | | 1,306 |
| Global Payments, Inc. | | Morgan Stanley | | 59 | | 7,691 | | 8,074 | | 387 |
| Globant SA (Luxembourg) | | Morgan Stanley | | 64 | | 15,462 | | 16,772 | | 1,297 |
| GoDaddy, Inc., Class A | | Morgan Stanley | | 443 | | 35,026 | | 37,079 | | 2,128 |
| HubSpot, Inc. | | Morgan Stanley | | 193 | | 91,324 | | 91,663 | | 349 |
| InterDigital, Inc. | | Morgan Stanley | | 100 | | 6,760 | | 6,380 | | (367) |
| International Business Machines Corp. | | Morgan Stanley | | 442 | | 58,585 | | 57,469 | | (537) |
| Intuit, Inc. | | Morgan Stanley | | 71 | | 32,953 | | 34,140 | | 1,197 |
| Manhattan Associates, Inc. | | Morgan Stanley | | 174 | | 25,103 | | 24,136 | | (1,027) |
| Mastercard, Inc., Class A | | Morgan Stanley | | 37 | | 11,643 | | 13,223 | | 3,740 |
| Maximus, Inc. | | Morgan Stanley | | 55 | | 4,215 | | 4,122 | | (57) |
| Microsoft Corp. | | Morgan Stanley | | 213 | | 59,168 | | 65,670 | | 7,089 |
| MongoDB, Inc. | | Morgan Stanley | | 201 | | 82,966 | | 89,162 | | 6,205 |
| NortonLifeLock, Inc. | | Morgan Stanley | | 1,365 | | 35,780 | | 36,200 | | 626 |
| Open Text Corp. (Canada) | | Morgan Stanley | | 305 | | 12,527 | | 12,932 | | 760 |
| Oracle Corp. | | Morgan Stanley | | 883 | | 70,955 | | 73,051 | | 2,157 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Software & Services — (continued) | | | | | | | | |
| Paychex, Inc. | | Morgan Stanley | | 307 | | $ 36,015 | | $ 41,896 | | $ 6,194 |
| Paycom Software, Inc. | | Morgan Stanley | | 152 | | 49,670 | | 52,650 | | 2,934 |
| PayPal Holdings, Inc. | | Morgan Stanley | | 587 | | 83,345 | | 67,887 | | (15,449) |
| Progress Software Corp. | | Morgan Stanley | | 78 | | 3,498 | | 3,673 | | 202 |
| Sailpoint Technologies Holdings, Inc. | | Morgan Stanley | | 8 | | 410 | | 409 | | (802) |
| Salesforce, Inc. | | Morgan Stanley | | 58 | | 12,950 | | 12,315 | | (635) |
| ServiceNow, Inc. | | Morgan Stanley | | 84 | | 44,384 | | 46,779 | | 2,400 |
| Splunk, Inc. | | Morgan Stanley | | 51 | | 7,277 | | 7,579 | | 303 |
| SPS Commerce, Inc. | | Morgan Stanley | | 43 | | 5,221 | | 5,642 | | 420 |
| SS&C Technologies Holdings, Inc. | | Morgan Stanley | | 138 | | 10,017 | | 10,353 | | 401 |
| Synopsys, Inc. | | Morgan Stanley | | 156 | | 44,893 | | 51,990 | | 7,877 |
| Teradata Corp. | | Morgan Stanley | | 249 | | 9,951 | | 12,273 | | 2,545 |
| Trade Desk, Inc. (The), Class A | | Morgan Stanley | | 595 | | 35,708 | | 41,204 | | 6,461 |
| TTEC Holdings, Inc. | | Morgan Stanley | | 3 | | 253 | | 248 | | (6) |
| Varonis Systems, Inc. | | Morgan Stanley | | 135 | | 6,345 | | 6,418 | | 73 |
| Verint Systems, Inc. | | Morgan Stanley | | 263 | | 11,422 | | 13,597 | | 2,179 |
| VeriSign, Inc. | | Morgan Stanley | | 138 | | 28,311 | | 30,699 | | 2,548 |
| Visa, Inc., Class A | | Morgan Stanley | | 39 | | 7,470 | | 8,649 | | 1,183 |
| Western Union Co. (The) | | Morgan Stanley | | 1,493 | | 26,094 | | 27,979 | | 2,028 |
| Zendesk, Inc. | | Morgan Stanley | | 183 | | 21,834 | | 22,013 | | 181 |
| | | | | 13,534 | | 1,521,606 | | 1,589,396 | | 76,294 |
| Technology Hardware & Equipment | | | | | | | | |
| 3D Systems Corp. | | Morgan Stanley | | 982 | | 22,045 | | 16,380 | | (6,174) |
| Amphenol Corp., Class A | | Morgan Stanley | | 52 | | 3,915 | | 3,918 | | 11 |
| Apple, Inc. | | Morgan Stanley | | 401 | | 62,842 | | 70,019 | | 7,250 |
| Badger Meter, Inc. | | Morgan Stanley | | 60 | | 5,905 | | 5,983 | | 81 |
| Belden, Inc. | | Morgan Stanley | | 40 | | 2,224 | | 2,216 | | (7) |
| CDW Corp. | | Morgan Stanley | | 6 | | 1,080 | | 1,073 | | (70) |
| Ciena Corp. | | Morgan Stanley | | 94 | | 6,081 | | 5,699 | | (525) |
| Cisco Systems, Inc. | | Morgan Stanley | | 2,378 | | 129,964 | | 132,597 | | 3,624 |
| Coherent, Inc. | | Morgan Stanley | | 53 | | 13,469 | | 14,488 | | 1,020 |
| Corning, Inc. | | Morgan Stanley | | 1,912 | | 73,515 | | 70,572 | | (2,617) |
| CTS Corp. | | Morgan Stanley | | 3 | | 106 | | 106 | | (1) |
| Dell Technologies, Inc., Class C | | Morgan Stanley | | 171 | | 8,731 | | 8,582 | | (116) |
| Extreme Networks, Inc. | | Morgan Stanley | | 1,337 | | 15,148 | | 16,325 | | 1,178 |
| Hewlett Packard Enterprise Co. | | Morgan Stanley | | 601 | | 9,938 | | 10,043 | | 162 |
| HP, Inc. | | Morgan Stanley | | 389 | | 11,550 | | 14,121 | | 5,804 |
| Infinera Corp. | | Morgan Stanley | | 476 | | 3,984 | | 4,127 | | 140 |
| Itron, Inc. | | Morgan Stanley | | 188 | | 10,736 | | 9,904 | | (873) |
| Jabil, Inc. | | Morgan Stanley | | 516 | | 31,761 | | 31,853 | | 95 |
| Juniper Networks, Inc. | | Morgan Stanley | | 157 | | 5,034 | | 5,834 | | 837 |
| Keysight Technologies, Inc. | | Morgan Stanley | | 144 | | 22,751 | | 22,748 | | (9) |
| Knowles Corp. | | Morgan Stanley | | 477 | | 9,836 | | 10,270 | | 446 |
| Lumentum Holdings, Inc. | | Morgan Stanley | | 106 | | 9,553 | | 10,346 | | 872 |
| Motorola Solutions, Inc. | | Morgan Stanley | | 78 | | 18,912 | | 18,892 | | (111) |
| NetApp, Inc. | | Morgan Stanley | | 213 | | 16,778 | | 17,679 | | 1,222 |
| NetScout Systems, Inc. | | Morgan Stanley | | 240 | | 7,541 | | 7,699 | | 158 |
| PC Connection, Inc. | | Morgan Stanley | | 3 | | 148 | | 157 | | 8 |
| Pure Storage, Inc., Class A | | Morgan Stanley | | 989 | | 32,673 | | 34,922 | | 2,252 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Technology Hardware & Equipment — (continued) | | | | | | | | |
| Sanmina Corp. | | Morgan Stanley | | 13 | | $ 344 | | $ 525 | | $ 180 |
| Seagate Technology Holdings PLC (Ireland) | | Morgan Stanley | | 721 | | 65,435 | | 64,818 | | 33 |
| TE Connectivity Ltd. (Switzerland) | | Morgan Stanley | | 64 | | 8,469 | | 8,383 | | 21 |
| Trimble, Inc. | | Morgan Stanley | | 168 | | 11,540 | | 12,120 | | 592 |
| Vishay Intertechnology, Inc. | | Morgan Stanley | | 780 | | 16,221 | | 15,288 | | (783) |
| Western Digital Corp. | | Morgan Stanley | | 262 | | 14,641 | | 13,008 | | (1,631) |
| Zebra Technologies Corp., Class A | | Morgan Stanley | | 40 | | 18,818 | | 16,548 | | (2,268) |
| | | | | 14,114 | | 671,688 | | 677,243 | | 10,801 |
| Telecommunication Services | | | | | | | | |
| AT&T, Inc. | | Morgan Stanley | | 1,084 | | 26,078 | | 25,615 | | 166 |
| EchoStar Corp., Class A | | Morgan Stanley | | 1,358 | | 38,098 | | 33,054 | | (5,045) |
| Gogo, Inc. | | Morgan Stanley | | 389 | | 4,158 | | 7,414 | | 3,256 |
| Iridium Communications, Inc. | | Morgan Stanley | | 294 | | 10,576 | | 11,854 | | 1,282 |
| Lumen Technologies, Inc. | | Morgan Stanley | | 1,303 | | 16,431 | | 14,685 | | (956) |
| TELUS Corp. (Canada) | | Morgan Stanley | | 28 | | 727 | | 732 | | 5 |
| T-Mobile U.S., Inc. | | Morgan Stanley | | 509 | | 58,412 | | 65,330 | | 6,924 |
| Verizon Communications, Inc. | | Morgan Stanley | | 420 | | 22,332 | | 21,395 | | (131) |
| | | | | 5,385 | | 176,812 | | 180,079 | | 5,501 |
| Transportation | | | | | | | | |
| Alaska Air Group, Inc. | | Morgan Stanley | | 194 | | 9,034 | | 11,254 | | 2,265 |
| ArcBest Corp. | | Morgan Stanley | | 1,228 | | 51,380 | | 98,854 | | 48,022 |
| Atlas Air Worldwide Holdings, Inc. | | Morgan Stanley | | 341 | | 25,713 | | 29,452 | | 3,741 |
| CSX Corp. | | Morgan Stanley | | 630 | | 20,016 | | 23,593 | | 3,766 |
| Expeditors International of Washington, Inc. | | Morgan Stanley | | 397 | | 44,085 | | 40,955 | | (3,500) |
| FedEx Corp. | | Morgan Stanley | | 311 | | 68,700 | | 71,962 | | 3,292 |
| Forward Air Corp. | | Morgan Stanley | | 2 | | 196 | | 196 | | (1) |
| Frontier Group Holdings, Inc. | | Morgan Stanley | | 24 | | 274 | | 272 | | (3) |
| Heartland Express, Inc. | | Morgan Stanley | | 2 | | 28 | | 28 | | (1) |
| Hub Group, Inc., Class A | | Morgan Stanley | | 117 | | 8,381 | | 9,034 | | 653 |
| Matson, Inc. | | Morgan Stanley | | 210 | | 18,605 | | 25,330 | | 6,783 |
| Norfolk Southern Corp. | | Morgan Stanley | | 37 | | 9,974 | | 10,553 | | 619 |
| Old Dominion Freight Line, Inc. | | Morgan Stanley | | 128 | | 37,840 | | 38,231 | | 435 |
| Schneider National, Inc., Class B | | Morgan Stanley | | 31 | | 659 | | 791 | | 138 |
| Southwest Airlines Co. | | Morgan Stanley | | 77 | | 3,169 | | 3,527 | | 364 |
| Union Pacific Corp. | | Morgan Stanley | | 88 | | 18,941 | | 24,042 | | 5,352 |
| United Airlines Holdings, Inc. | | Morgan Stanley | | 35 | | 1,603 | | 1,623 | | 19 |
| United Parcel Service, Inc., Class B | | Morgan Stanley | | 72 | | 14,014 | | 15,441 | | 2,243 |
| XPO Logistics, Inc. | | Morgan Stanley | | 98 | | 7,033 | | 7,134 | | 101 |
| | | | | 4,022 | | 339,645 | | 412,272 | | 74,288 |
| Utilities | | | | | | | | |
| AES Corp. (The) | | Morgan Stanley | | 459 | | 10,496 | | 11,810 | | 1,315 |
| American Electric Power Co., Inc. | | Morgan Stanley | | 701 | | 66,507 | | 69,939 | | 3,493 |
| American Water Works Co., Inc. | | Morgan Stanley | | 56 | | 9,060 | | 9,270 | | 252 |
| Consolidated Edison, Inc. | | Morgan Stanley | | 374 | | 33,888 | | 35,410 | | 1,525 |
| Constellation Energy Corp. | | Morgan Stanley | | 228 | | 9,247 | | 12,825 | | 3,607 |
| DTE Energy Co. | | Morgan Stanley | | 265 | | 29,739 | | 35,036 | | 6,027 |
| Exelon Corp. | | Morgan Stanley | | 106 | | 3,381 | | 5,049 | | 1,890 |
| FirstEnergy Corp. | | Morgan Stanley | | 145 | | 6,331 | | 6,650 | | 319 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Utilities — (continued) | | | | | | | | |
| NextEra Energy, Inc. | | Morgan Stanley | | 17 | | $ 1,458 | | $ 1,440 | | $ (19) |
| NRG Energy, Inc. | | Morgan Stanley | | 468 | | 19,322 | | 17,952 | | (1,088) |
| Otter Tail Corp. | | Morgan Stanley | | 56 | | 3,472 | | 3,500 | | 27 |
| PPL Corp. | | Morgan Stanley | | 1,128 | | 31,756 | | 32,216 | | 1,058 |
| Sempra Energy | | Morgan Stanley | | 4 | | 676 | | 672 | | 9 |
| Southern Co. (The) | | Morgan Stanley | | 510 | | 35,297 | | 36,980 | | 1,687 |
| | | | | 4,517 | | 260,630 | | 278,749 | | 20,102 |
|
|
| Total Reference Entity — Long | | | | | | 11,890,807 | | 12,652,325 | | 842,303 |
| Short | | | | | | | | | | |
| Automobiles & Components | | | | | | | | |
| Adient PLC (Ireland) | | Morgan Stanley | | (790) | | (34,068) | | (32,208) | | 1,827 |
| Aptiv PLC (Jersey) | | Morgan Stanley | | (195) | | (28,043) | | (23,343) | | 4,813 |
| BorgWarner, Inc. | | Morgan Stanley | | (403) | | (20,090) | | (15,677) | | 5,360 |
| Dana, Inc. | | Morgan Stanley | | (6,236) | | (146,225) | | (109,567) | | 35,767 |
| Fox Factory Holding Corp. | | Morgan Stanley | | (777) | | (99,535) | | (76,107) | | 23,324 |
| Gentex Corp. | | Morgan Stanley | | (1,659) | | (51,921) | | (48,393) | | 3,532 |
| Goodyear Tire & Rubber Co. (The) | | Morgan Stanley | | (4,020) | | (67,998) | | (57,446) | | 10,487 |
| LCI Industries | | Morgan Stanley | | (1,399) | | (182,455) | | (145,230) | | 32,457 |
| Patrick Industries, Inc. | | Morgan Stanley | | (909) | | (69,372) | | (54,813) | | 13,079 |
| Rivian Automotive, Inc., Class A | | Morgan Stanley | | (5,785) | | (224,825) | | (290,638) | | (70,747) |
| Winnebago Industries, Inc. | | Morgan Stanley | | (152) | | (8,386) | | (8,213) | | 177 |
| XPEL, Inc. | | Morgan Stanley | | (219) | | (13,373) | | (11,522) | | 1,812 |
| | | | | (22,544) | | (946,291) | | (873,157) | | 61,888 |
| Capital Goods | | | | | | | | |
| AAON, Inc. | | Morgan Stanley | | (443) | | (24,250) | | (24,688) | | (462) |
| Acuity Brands, Inc. | | Morgan Stanley | | (243) | | (50,661) | | (46,000) | | 4,626 |
| Advanced Drainage Systems, Inc. | | Morgan Stanley | | (2,068) | | (247,883) | | (245,699) | | 1,456 |
| AeroVironment, Inc. | | Morgan Stanley | | (823) | | (58,731) | | (77,477) | | (18,841) |
| AGCO Corp. | | Morgan Stanley | | (350) | | (43,784) | | (51,111) | | (7,504) |
| Allegion PLC (Ireland) | | Morgan Stanley | | (129) | | (15,208) | | (14,162) | | 1,153 |
| Allison Transmission Holdings, Inc. | | Morgan Stanley | | (860) | | (34,545) | | (33,764) | | 409 |
| Altra Industrial Motion Corp. | | Morgan Stanley | | (296) | | (12,633) | | (11,523) | | 1,073 |
| American Woodmark Corp. | | Morgan Stanley | | (922) | | (64,474) | | (45,132) | | 19,279 |
| Arcosa, Inc. | | Morgan Stanley | | (1,586) | | (88,038) | | (90,799) | | (3,163) |
| Array Technologies, Inc. | | Morgan Stanley | | (2,988) | | (63,258) | | (33,675) | | 29,656 |
| Astec Industries, Inc. | | Morgan Stanley | | (122) | | (5,452) | | (5,246) | | 200 |
| Axon Enterprise, Inc. | | Morgan Stanley | | (290) | | (36,848) | | (39,942) | | (3,129) |
| AZEK Co., Inc. (The) | | Morgan Stanley | | (11,310) | | (382,269) | | (280,940) | | 100,966 |
| Ballard Power Systems, Inc. (Canada) | | Morgan Stanley | | (8,019) | | (134,357) | | (93,341) | | 40,888 |
| Barnes Group, Inc. | | Morgan Stanley | | (62) | | (3,490) | | (2,492) | | 1,094 |
| Beacon Roofing Supply, Inc. | | Morgan Stanley | | (1,475) | | (83,593) | | (87,438) | | (3,960) |
| Bloom Energy Corp., Class A | | Morgan Stanley | | (821) | | (20,777) | | (19,827) | | 738 |
| Boeing Co. (The) | | Morgan Stanley | | (1,482) | | (288,452) | | (283,803) | | 4,375 |
| BWX Technologies, Inc. | | Morgan Stanley | | (1,639) | | (102,459) | | (88,277) | | 12,896 |
| CAE, Inc. (Canada) | | Morgan Stanley | | (586) | | (15,251) | | (15,283) | | (68) |
| Chart Industries, Inc. | | Morgan Stanley | | (298) | | (46,940) | | (51,187) | | (4,292) |
| Columbus McKinnon Corp. | | Morgan Stanley | | (215) | | (9,478) | | (9,116) | | 350 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Capital Goods — (continued) | | | | | | | | |
| Comfort Systems USA, Inc. | | Morgan Stanley | | (200) | | $ (18,143) | | $ (17,802) | | $ 323 |
| Construction Partners, Inc., Class A | | Morgan Stanley | | (2,200) | | (59,145) | | (57,596) | | 1,462 |
| Cornerstone Building Brands, Inc. | | Morgan Stanley | | (6,800) | | (143,641) | | (165,376) | | (21,872) |
| Donaldson Co., Inc. | | Morgan Stanley | | (865) | | (50,617) | | (44,919) | | 5,561 |
| Dycom Industries, Inc. | | Morgan Stanley | | (304) | | (24,777) | | (28,959) | | (4,638) |
| Energy Recovery, Inc. | | Morgan Stanley | | (1,305) | | (27,434) | | (26,283) | | 1,114 |
| EnerSys | | Morgan Stanley | | (2,181) | | (167,159) | | (162,637) | | 3,807 |
| Enovis, Corp. | | Morgan Stanley | | (752) | | (40,063) | | (29,922) | | 10,791 |
| EnPro Industries, Inc. | | Morgan Stanley | | (180) | | (18,929) | | (17,591) | | 1,301 |
| ESCO Technologies, Inc. | | Morgan Stanley | | (250) | | (17,729) | | (17,480) | | 232 |
| Evoqua Water Technologies Corp. | | Morgan Stanley | | (328) | | (10,970) | | (15,409) | | (5,253) |
| Federal Signal Corp. | | Morgan Stanley | | (83) | | (2,846) | | (2,801) | | 47 |
| Flowserve Corp. | | Morgan Stanley | | (2,922) | | (97,409) | | (104,900) | | (8,080) |
| Franklin Electric Co., Inc. | | Morgan Stanley | | (460) | | (40,805) | | (38,198) | | 2,434 |
| GATX Corp. | | Morgan Stanley | | (551) | | (53,526) | | (67,955) | | (15,904) |
| Generac Holdings, Inc. | | Morgan Stanley | | (156) | | (64,566) | | (46,373) | | 18,132 |
| Global Industrial Co. | | Morgan Stanley | | (38) | | (1,206) | | (1,225) | | (22) |
| GMS, Inc. | | Morgan Stanley | | (976) | | (55,444) | | (48,576) | | 6,791 |
| Granite Construction, Inc. | | Morgan Stanley | | (344) | | (10,981) | | (11,283) | | (344) |
| Great Lakes Dredge & Dock Corp. | | Morgan Stanley | | (1,419) | | (20,930) | | (19,909) | | 1,001 |
| Greenbrier Cos., Inc. (The) | | Morgan Stanley | | (371) | | (15,647) | | (19,110) | | (3,578) |
| Griffon Corp. | | Morgan Stanley | | (1,225) | | (29,512) | | (24,537) | | 4,805 |
| Helios Technologies, Inc. | | Morgan Stanley | | (335) | | (16,922) | | (26,884) | | (10,262) |
| Herc Holdings, Inc. | | Morgan Stanley | | (1,211) | | (189,603) | | (202,346) | | (13,161) |
| Huntington Ingalls Industries, Inc. | | Morgan Stanley | | (1,007) | | (194,589) | | (200,836) | | (8,035) |
| JELD-WEN Holding, Inc. | | Morgan Stanley | | (2,242) | | (55,192) | | (45,468) | | 9,666 |
| Kennametal, Inc. | | Morgan Stanley | | (187) | | (7,857) | | (5,350) | | 2,348 |
| Kratos Defense & Security Solutions, Inc. | | Morgan Stanley | | (4,688) | | (100,468) | | (96,010) | | 4,362 |
| Lennox International, Inc. | | Morgan Stanley | | (286) | | (78,040) | | (73,748) | | 3,948 |
| Lincoln Electric Holdings, Inc. | | Morgan Stanley | | (38) | | (5,265) | | (5,237) | | 23 |
| Lindsay Corp. | | Morgan Stanley | | (231) | | (35,011) | | (36,269) | | (1,446) |
| Masonite International Corp. (Canada) | | Morgan Stanley | | (470) | | (48,144) | | (41,802) | | 6,279 |
| MasTec, Inc. | | Morgan Stanley | | (1,488) | | (119,832) | | (129,605) | | (9,887) |
| Maxar Technologies, Inc. | | Morgan Stanley | | (486) | | (22,901) | | (19,178) | | 3,691 |
| MDU Resources Group, Inc. | | Morgan Stanley | | (4,932) | | (139,408) | | (131,438) | | 6,974 |
| Mercury Systems, Inc. | | Morgan Stanley | | (4,732) | | (286,788) | | (304,977) | | (18,461) |
| Meritor, Inc. | | Morgan Stanley | | (2,576) | | (70,258) | | (91,628) | | (21,588) |
| Middleby Corp. (The) | | Morgan Stanley | | (1,897) | | (325,239) | | (310,994) | | 13,937 |
| MSC Industrial Direct Co., Inc., Class A | | Morgan Stanley | | (978) | | (85,180) | | (83,335) | | 353 |
| NV5 Global, Inc. | | Morgan Stanley | | (145) | | (7,796) | | (19,329) | | (11,704) |
| Parsons Corp. | | Morgan Stanley | | (301) | | (11,312) | | (11,649) | | (348) |
| PGT Innovations, Inc. | | Morgan Stanley | | (2,810) | | (56,513) | | (50,524) | | 5,934 |
| Primoris Services Corp. | | Morgan Stanley | | (3,164) | | (80,804) | | (75,366) | | 5,020 |
| Proto Labs, Inc. | | Morgan Stanley | | (2,030) | | (230,080) | | (107,387) | | 122,351 |
| RBC Bearings, Inc. | | Morgan Stanley | | (184) | | (36,328) | | (35,674) | | 619 |
| Regal Rexnord Corp. | | Morgan Stanley | | (490) | | (75,844) | | (72,902) | | 2,735 |
| REV Group, Inc. | | Morgan Stanley | | (1,006) | | (9,145) | | (13,480) | | (4,521) |
| Rockwell Automation, Inc. | | Morgan Stanley | | (325) | | (94,035) | | (91,010) | | 2,559 |
| Sensata Technologies Holding PLC (United Kingdom) | | Morgan Stanley | | (2,502) | | (152,549) | | (127,227) | | 25,656 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Capital Goods — (continued) | | | | | | | | |
| Shoals Technologies Group, Inc., Class A | | Morgan Stanley | | (2,055) | | $ (53,179) | | $ (35,017) | | $ 18,111 |
| Stanley Black & Decker, Inc. | | Morgan Stanley | | (3,731) | | (635,530) | | (521,556) | | 110,484 |
| Sunrun, Inc. | | Morgan Stanley | | (1,652) | | (108,219) | | (50,171) | | 57,299 |
| Textainer Group Holdings Ltd. (Bermuda) | | Morgan Stanley | | (2,170) | | (73,756) | | (82,612) | | (9,992) |
| Timken Co. (The) | | Morgan Stanley | | (145) | | (11,429) | | (8,802) | | 2,485 |
| Toro Co. (The) | | Morgan Stanley | | (616) | | (52,646) | | (52,662) | | (63) |
| UFP Industries, Inc. | | Morgan Stanley | | (153) | | (11,476) | | (11,805) | | (607) |
| United Rentals, Inc. | | Morgan Stanley | | (339) | | (131,510) | | (120,416) | | 11,343 |
| Univar Solutions, Inc. | | Morgan Stanley | | (2,045) | | (54,376) | | (65,726) | | (11,903) |
| Valmont Industries, Inc. | | Morgan Stanley | | (368) | | (88,971) | | (87,805) | | 724 |
| Vertiv Holdings Co. | | Morgan Stanley | | (8,437) | | (103,219) | | (118,118) | | (14,997) |
| Vicor Corp. | | Morgan Stanley | | (1,100) | | (105,379) | | (77,605) | | 27,675 |
| Welbilt, Inc. | | Morgan Stanley | | (1,855) | | (43,725) | | (44,056) | | (430) |
| WESCO International, Inc. | | Morgan Stanley | | (161) | | (21,137) | | (20,953) | | 164 |
| Woodward, Inc. | | Morgan Stanley | | (330) | | (38,949) | | (41,220) | | (2,350) |
| Xylem, Inc. | | Morgan Stanley | | (345) | | (32,495) | | (29,415) | | 3,537 |
| | | | | (127,180) | | (6,905,409) | | (6,397,355) | | 484,372 |
| Commercial & Professional Services | | | | | | | | |
| ADT, Inc. | | Morgan Stanley | | (18,548) | | (170,776) | | (140,779) | | 27,352 |
| Alight, Inc., Class A | | Morgan Stanley | | (2,268) | | (21,383) | | (22,567) | | (1,204) |
| ASGN, Inc. | | Morgan Stanley | | (183) | | (21,308) | | (21,358) | | (71) |
| Booz Allen Hamilton Holding Corp. | | Morgan Stanley | | (2,639) | | (205,802) | | (231,810) | | (26,203) |
| Brady Corp., Class A | | Morgan Stanley | | (61) | | (2,873) | | (2,822) | | 48 |
| BrightView Holdings, Inc. | | Morgan Stanley | | (834) | | (11,400) | | (11,351) | | 38 |
| CACI International, Inc., Class A | | Morgan Stanley | | (331) | | (86,812) | | (99,717) | | (13,295) |
| Clarivate PLC (Jersey) | | Morgan Stanley | | (2,831) | | (64,768) | | (47,448) | | 17,053 |
| CoStar Group, Inc. | | Morgan Stanley | | (509) | | (48,109) | | (33,904) | | 14,158 |
| Driven Brands Holdings, Inc. | | Morgan Stanley | | (2,499) | | (74,611) | | (65,674) | | 8,866 |
| Dun & Bradstreet Holdings, Inc. | | Morgan Stanley | | (8,039) | | (156,864) | | (140,843) | | 16,026 |
| Forrester Research, Inc. | | Morgan Stanley | | (310) | | (11,337) | | (17,490) | | (6,206) |
| GFL Environmental, Inc. (Canada) | | Morgan Stanley | | (2,411) | | (92,756) | | (78,454) | | 14,292 |
| Harsco Corp. | | Morgan Stanley | | (3,617) | | (53,884) | | (44,272) | | 9,643 |
| Healthcare Services Group, Inc. | | Morgan Stanley | | (829) | | (14,403) | | (15,395) | | (992) |
| IAA, Inc. | | Morgan Stanley | | (651) | | (25,056) | | (24,901) | | 131 |
| ICF International, Inc. | | Morgan Stanley | | (107) | | (9,641) | | (10,073) | | (447) |
| Insperity, Inc. | | Morgan Stanley | | (644) | | (64,096) | | (64,670) | | (2,877) |
| KAR Auction Services, Inc. | | Morgan Stanley | | (1,646) | | (27,497) | | (29,710) | | (2,301) |
| Leidos Holdings, Inc. | | Morgan Stanley | | (1,202) | | (115,750) | | (129,840) | | (15,306) |
| ManTech International Corp., Class A | | Morgan Stanley | | (778) | | (65,271) | | (67,056) | | (2,204) |
| MillerKnoll, Inc. | | Morgan Stanley | | (3,048) | | (116,343) | | (105,339) | | 10,153 |
| Pitney Bowes, Inc. | | Morgan Stanley | | (10,656) | | (90,865) | | (55,411) | | 33,609 |
| Steelcase, Inc., Class A | | Morgan Stanley | | (277) | | (3,214) | | (3,310) | | (98) |
| Stericycle, Inc. | | Morgan Stanley | | (275) | | (15,770) | | (16,203) | | (448) |
| TransUnion | | Morgan Stanley | | (477) | | (49,076) | | (49,293) | | (264) |
| TrueBlue, Inc. | | Morgan Stanley | | (500) | | (13,753) | | (14,445) | | (705) |
| U.S. Ecology, Inc. | | Morgan Stanley | | (1,355) | | (53,783) | | (64,877) | | (11,194) |
| UniFirst Corp. | | Morgan Stanley | | (133) | | (25,611) | | (24,509) | | 1,045 |
| Upwork, Inc. | | Morgan Stanley | | (12,454) | | (399,518) | | (289,431) | | 109,181 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Commercial & Professional Services — (continued) | | | | | | | | |
| Viad Corp. | | Morgan Stanley | | (753) | | $ (31,772) | | $ (26,837) | | $ 4,908 |
| Waste Connections, Inc. (Canada) | | Morgan Stanley | | (250) | | (30,205) | | (34,925) | | (5,080) |
| | | | | (81,115) | | (2,174,307) | | (1,984,714) | | 177,608 |
| Consumer Durables & Apparel | | | | | | | | |
| Allbirds, Inc., Class A | | Morgan Stanley | | (727) | | (4,491) | | (4,369) | | 117 |
| Brunswick Corp. | | Morgan Stanley | | (1,494) | | (141,495) | | (120,850) | | 20,143 |
| Callaway Golf Co. | | Morgan Stanley | | (9,361) | | (243,543) | | (219,235) | | 24,078 |
| Canada Goose Holdings, Inc. (Canada) | | Morgan Stanley | | (2,185) | | (85,334) | | (57,531) | | 27,721 |
| Carter's, Inc. | | Morgan Stanley | | (520) | | (56,164) | | (47,835) | | 7,743 |
| Deckers Outdoor Corp. | | Morgan Stanley | | (354) | | (120,974) | | (96,915) | | 24,466 |
| Garmin Ltd. (Switzerland) | | Morgan Stanley | | (2,116) | | (237,066) | | (250,979) | | (14,675) |
| Green Brick Partners, Inc. | | Morgan Stanley | | (17) | | (340) | | (336) | | 3 |
| Hanesbrands, Inc. | | Morgan Stanley | | (3,860) | | (61,064) | | (57,475) | | 2,966 |
| Helen of Troy Ltd. (Bermuda) | | Morgan Stanley | | (651) | | (147,712) | | (127,492) | | 20,151 |
| Installed Building Products, Inc. | | Morgan Stanley | | (926) | | (114,771) | | (78,238) | | 36,033 |
| iRobot Corp. | | Morgan Stanley | | (743) | | (50,054) | | (47,106) | | 2,900 |
| KB Home | | Morgan Stanley | | (178) | | (5,981) | | (5,764) | | 211 |
| Kontoor Brands, Inc. | | Morgan Stanley | | (315) | | (13,885) | | (13,025) | | 846 |
| La-Z-Boy, Inc. | | Morgan Stanley | | (1,411) | | (46,262) | | (37,208) | | 8,807 |
| Leggett & Platt, Inc. | | Morgan Stanley | | (2,169) | | (93,700) | | (75,481) | | 16,953 |
| Malibu Boats, Inc., Class A | | Morgan Stanley | | (250) | | (21,504) | | (14,503) | | 7,265 |
| Peloton Interactive, Inc., Class A | | Morgan Stanley | | (2,567) | | (287,093) | | (67,820) | | 219,001 |
| Polaris, Inc. | | Morgan Stanley | | (855) | | (114,043) | | (90,049) | | 22,314 |
| Skechers U.S.A., Inc., Class A | | Morgan Stanley | | (5,570) | | (255,288) | | (227,033) | | 27,424 |
| TopBuild Corp. | | Morgan Stanley | | (1,188) | | (247,806) | | (215,491) | | 32,080 |
| Traeger, Inc. | | Morgan Stanley | | (76) | | (574) | | (565) | | 1 |
| Wolverine World Wide, Inc. | | Morgan Stanley | | (2,145) | | (60,383) | | (48,391) | | 11,564 |
| YETI Holdings, Inc. | | Morgan Stanley | | (1,150) | | (100,634) | | (68,977) | | 31,561 |
| | | | | (40,828) | | (2,510,161) | | (1,972,668) | | 529,673 |
| Consumer Services | | | | | | | | |
| Aramark | | Morgan Stanley | | (1,329) | | (51,395) | | (49,970) | | 754 |
| Bally's Corp. | | Morgan Stanley | | (1,891) | | (110,083) | | (58,129) | | 51,889 |
| Bright Horizons Family Solutions, Inc. | | Morgan Stanley | | (63) | | (10,887) | | (8,359) | | 3,077 |
| Carnival Corp. (Panama) | | Morgan Stanley | | (1,309) | | (25,784) | | (26,468) | | (709) |
| Chegg, Inc. | | Morgan Stanley | | (1,250) | | (39,128) | | (45,350) | | (6,260) |
| Churchill Downs, Inc. | | Morgan Stanley | | (113) | | (26,553) | | (25,061) | | 1,449 |
| Denny's Corp. | | Morgan Stanley | | (3,398) | | (57,287) | | (48,625) | | 8,597 |
| DraftKings, Inc., Class A | | Morgan Stanley | | (3,347) | | (131,097) | | (65,166) | | 65,806 |
| Duolingo, Inc. | | Morgan Stanley | | (415) | | (34,007) | | (39,471) | | (5,496) |
| Frontdoor, Inc. | | Morgan Stanley | | (34) | | (1,921) | | (1,015) | | 904 |
| International Game Technology PLC (United Kingdom) | | Morgan Stanley | | (1,815) | | (44,898) | | (44,794) | | (207) |
| Life Time Group Holdings, Inc. | | Morgan Stanley | | (938) | | (12,607) | | (13,639) | | (1,044) |
| Mister Car Wash, Inc. | | Morgan Stanley | | (1,091) | | (18,301) | | (16,136) | | 2,147 |
| Monarch Casino & Resort, Inc. | | Morgan Stanley | | (483) | | (22,720) | | (42,132) | | (19,678) |
| Norwegian Cruise Line Holdings Ltd. (Bermuda) | | Morgan Stanley | | (1,829) | | (32,192) | | (40,019) | | (14,840) |
| Royal Caribbean Cruises Ltd. (Liberia) | | Morgan Stanley | | (883) | | (78,609) | | (73,978) | | 4,556 |
| Shake Shack, Inc., Class A | | Morgan Stanley | | (915) | | (81,491) | | (62,129) | | 19,228 |
| Stride, Inc. | | Morgan Stanley | | (1,230) | | (47,786) | | (44,686) | | 3,110 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Consumer Services — (continued) | | | | | | | | |
| Terminix Global Holdings, Inc. | | Morgan Stanley | | (1,560) | | $ (69,858) | | $ (71,183) | | $ (1,462) |
| Texas Roadhouse, Inc. | | Morgan Stanley | | (202) | | (18,697) | | (16,913) | | 2,131 |
| Wendy's Co. (The) | | Morgan Stanley | | (11,143) | | (250,197) | | (244,812) | | 4,361 |
| Wingstop, Inc. | | Morgan Stanley | | (1,510) | | (262,143) | | (177,199) | | 78,112 |
| | | | | (36,748) | | (1,427,641) | | (1,215,234) | | 196,425 |
| Diversified Financials | | | | | | | | |
| Blucora, Inc. | | Morgan Stanley | | (702) | | (13,566) | | (13,724) | | (172) |
| Coinbase Global, Inc., Class A | | Morgan Stanley | | (890) | | (177,417) | | (168,975) | | 8,273 |
| FactSet Research Systems, Inc. | | Morgan Stanley | | (21) | | (9,266) | | (9,117) | | 140 |
| Federated Hermes, Inc. | | Morgan Stanley | | (423) | | (16,324) | | (14,407) | | 1,787 |
| MarketAxess Holdings, Inc. | | Morgan Stanley | | (249) | | (89,179) | | (84,710) | | 4,362 |
| Northern Trust Corp. | | Morgan Stanley | | (173) | | (20,337) | | (20,146) | | 171 |
| State Street Corp. | | Morgan Stanley | | (456) | | (39,054) | | (39,727) | | (1,164) |
| | | | | (2,914) | | (365,143) | | (350,806) | | 13,397 |
| Energy | | | | | | | | |
| Antero Midstream Corp. | | Morgan Stanley | | (7,315) | | (74,580) | | (79,514) | | (5,005) |
| California Resources Corp. | | Morgan Stanley | | (1,446) | | (62,457) | | (64,680) | | (2,352) |
| Cenovus Energy, Inc. (Canada) | | Morgan Stanley | | (713) | | (11,628) | | (11,893) | | (335) |
| Chesapeake Energy Corp. | | Morgan Stanley | | (432) | | (32,938) | | (37,584) | | (5,208) |
| Civitas Resources, Inc. | | Morgan Stanley | | (3,894) | | (214,208) | | (232,511) | | (21,127) |
| CNX Resources Corp. | | Morgan Stanley | | (2,539) | | (46,348) | | (52,608) | | (6,305) |
| Core Laboratories N.V. (Netherlands) | | Morgan Stanley | | (2,670) | | (71,042) | | (84,452) | | (13,501) |
| Crescent Point Energy Corp. (Canada) | | Morgan Stanley | | (9,082) | | (41,710) | | (65,845) | | (27,365) |
| Delek U.S. Holdings, Inc. | | Morgan Stanley | | (6,142) | | (103,929) | | (130,333) | | (27,093) |
| Enbridge, Inc. (Canada) | | Morgan Stanley | | (3,664) | | (157,933) | | (168,874) | | (14,276) |
| Enerplus Corp. (Canada) | | Morgan Stanley | | (4,264) | | (32,328) | | (54,153) | | (23,813) |
| EQT Corp. | | Morgan Stanley | | (5,434) | | (117,428) | | (186,984) | | (70,395) |
| Equitrans Midstream Corp. | | Morgan Stanley | | (2,540) | | (21,584) | | (21,438) | | 126 |
| Green Plains, Inc. | | Morgan Stanley | | (62) | | (1,938) | | (1,923) | | 13 |
| Hess Corp. | | Morgan Stanley | | (741) | | (67,945) | | (79,317) | | (11,747) |
| HF Sinclair Corp. | | Morgan Stanley | | (10,129) | | (355,626) | | (403,641) | | (48,352) |
| Kinder Morgan, Inc. | | Morgan Stanley | | (2,615) | | (46,529) | | (49,450) | | (4,709) |
| Kosmos Energy Ltd. | | Morgan Stanley | | (41,428) | | (225,516) | | (297,867) | | (72,565) |
| Laredo Petroleum, Inc. | | Morgan Stanley | | (710) | | (48,660) | | (56,189) | | (8,269) |
| Liberty Oilfield Services, Inc., Class A | | Morgan Stanley | | (6,218) | | (67,479) | | (92,151) | | (25,211) |
| New Fortress Energy, Inc. | | Morgan Stanley | | (3,122) | | (90,603) | | (133,028) | | (45,057) |
| Northern Oil and Gas, Inc. | | Morgan Stanley | | (1,362) | | (27,100) | | (38,395) | | (11,745) |
| NOV, Inc. | | Morgan Stanley | | (1,662) | | (29,509) | | (32,592) | | (3,547) |
| Par Pacific Holdings, Inc. | | Morgan Stanley | | (1,612) | | (25,207) | | (20,988) | | 4,229 |
| Patterson-UTI Energy, Inc. | | Morgan Stanley | | (6,350) | | (55,974) | | (98,298) | | (42,991) |
| Ranger Oil Corp., Class A | | Morgan Stanley | | (219) | | (7,789) | | (7,562) | | 219 |
| Renewable Energy Group, Inc. | | Morgan Stanley | | (4,449) | | (235,095) | | (269,832) | | (38,577) |
| RPC, Inc. | | Morgan Stanley | | (1,409) | | (5,947) | | (15,034) | | (9,741) |
| Southwestern Energy Co. | | Morgan Stanley | | (55,997) | | (285,488) | | (401,498) | | (121,711) |
| TC Energy Corp. (Canada) | | Morgan Stanley | | (5,498) | | (279,551) | | (310,197) | | (39,437) |
| TechnipFMC PLC (United Kingdom) | | Morgan Stanley | | (16,981) | | (136,367) | | (131,603) | | 4,115 |
| Tellurian, Inc. | | Morgan Stanley | | (15,801) | | (47,926) | | (83,745) | | (37,678) |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Energy — (continued) | | | | | | | | |
| Uranium Energy Corp. | | Morgan Stanley | | (7,743) | | $ (34,568) | | $ (35,540) | | $ (1,006) |
| World Fuel Services Corp. | | Morgan Stanley | | (596) | | (16,334) | | (16,116) | | 189 |
| | | | | (234,839) | | (3,079,264) | | (3,765,835) | | (730,227) |
| Food & Staples Retailing | | | | | | | | |
| Albertsons Cos., Inc., Class A | | Morgan Stanley | | (412) | | (14,838) | | (13,699) | | 1,191 |
| BJ's Wholesale Club Holdings, Inc. | | Morgan Stanley | | (699) | | (45,216) | | (47,259) | | (2,087) |
| Casey's General Stores, Inc. | | Morgan Stanley | | (1,283) | | (251,875) | | (254,252) | | (3,881) |
| Chefs' Warehouse, Inc. (The) | | Morgan Stanley | | (471) | | (14,735) | | (15,355) | | (641) |
| Grocery Outlet Holding Corp. | | Morgan Stanley | | (1,325) | | (50,358) | | (43,434) | | 6,876 |
| Performance Food Group Co. | | Morgan Stanley | | (1,264) | | (61,167) | | (64,350) | | (3,242) |
| U.S. Foods Holding Corp. | | Morgan Stanley | | (905) | | (34,688) | | (34,055) | | 600 |
| | | | | (6,359) | | (472,877) | | (472,404) | | (1,184) |
| Food, Beverage & Tobacco | | | | | | | | |
| B&G Foods, Inc. | | Morgan Stanley | | (1,327) | | (40,494) | | (35,802) | | 2,480 |
| Boston Beer Co., Inc. (The), Class A | | Morgan Stanley | | (172) | | (69,711) | | (66,817) | | 2,827 |
| Celsius Holdings, Inc. | | Morgan Stanley | | (5,735) | | (403,180) | | (316,457) | | 86,007 |
| Dole PLC (Ireland) | | Morgan Stanley | | (491) | | (6,468) | | (6,088) | | 344 |
| Flowers Foods, Inc. | | Morgan Stanley | | (1,426) | | (35,973) | | (36,662) | | (717) |
| Freshpet, Inc. | | Morgan Stanley | | (1,966) | | (248,202) | | (201,790) | | 45,684 |
| Ingredion, Inc. | | Morgan Stanley | | (570) | | (54,913) | | (49,676) | | 3,790 |
| J & J Snack Foods Corp. | | Morgan Stanley | | (139) | | (21,833) | | (21,559) | | 155 |
| J M Smucker Co. (The) | | Morgan Stanley | | (1,953) | | (256,231) | | (264,456) | | (8,582) |
| Lamb Weston Holdings, Inc. | | Morgan Stanley | | (599) | | (45,856) | | (35,886) | | 9,763 |
| Lancaster Colony Corp. | | Morgan Stanley | | (616) | | (101,007) | | (91,876) | | 8,805 |
| MGP Ingredients, Inc. | | Morgan Stanley | | (500) | | (24,086) | | (42,795) | | (19,018) |
| Mission Produce, Inc. | | Morgan Stanley | | (238) | | (3,850) | | (3,011) | | 835 |
| National Beverage Corp. | | Morgan Stanley | | (178) | | (7,499) | | (7,743) | | (252) |
| Post Holdings, Inc. | | Morgan Stanley | | (345) | | (27,228) | | (23,895) | | 3,307 |
| Primo Water Corp. (Canada) | | Morgan Stanley | | (1,135) | | (16,135) | | (16,174) | | (98) |
| Simply Good Foods Co. (The) | | Morgan Stanley | | (1,873) | | (70,443) | | (71,080) | | (705) |
| Sovos Brands, Inc. | | Morgan Stanley | | (80) | | (1,072) | | (1,134) | | (64) |
| Universal Corp. | | Morgan Stanley | | (284) | | (15,492) | | (16,492) | | (1,015) |
| Utz Brands, Inc. | | Morgan Stanley | | (2,939) | | (60,322) | | (43,438) | | 16,550 |
| | | | | (22,566) | | (1,509,995) | | (1,352,831) | | 150,096 |
| Health Care Equipment & Services | | | | | | | | |
| 1Life Healthcare, Inc. | | Morgan Stanley | | (7,903) | | (155,749) | | (87,565) | | 67,826 |
| ABIOMED, Inc. | | Morgan Stanley | | (47) | | (17,209) | | (15,568) | | 1,815 |
| Accolade, Inc. | | Morgan Stanley | | (2,222) | | (86,823) | | (39,018) | | 47,849 |
| AdaptHealth Corp. | | Morgan Stanley | | (5,182) | | (111,482) | | (83,067) | | 28,308 |
| Agiliti, Inc. | | Morgan Stanley | | (38) | | (773) | | (802) | | (31) |
| Alcon, Inc. (Switzerland) | | Morgan Stanley | | (72) | | (5,813) | | (5,712) | | 95 |
| Alphatec Holdings, Inc. | | Morgan Stanley | | (5,240) | | (64,294) | | (60,260) | | 3,972 |
| American Well Corp., Class A | | Morgan Stanley | | (2,108) | | (29,393) | | (8,875) | | 20,490 |
| Axonics, Inc. | | Morgan Stanley | | (249) | | (12,506) | | (15,587) | | (3,635) |
| Baxter International, Inc. | | Morgan Stanley | | (3,368) | | (280,650) | | (261,155) | | 19,161 |
| BioLife Solutions, Inc. | | Morgan Stanley | | (2,971) | | (99,817) | | (67,531) | | 32,191 |
| Brookdale Senior Living, Inc. | | Morgan Stanley | | (3,820) | | (25,868) | | (26,931) | | (1,153) |
| Cardinal Health, Inc. | | Morgan Stanley | | (359) | | (18,577) | | (20,355) | | (2,470) |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Health Care Equipment & Services — (continued) | | | | | | | | |
| Cardiovascular Systems, Inc. | | Morgan Stanley | | (1,026) | | $ (37,186) | | $ (23,188) | | $ 14,088 |
| Castle Biosciences, Inc. | | Morgan Stanley | | (1,693) | | (100,183) | | (75,948) | | 24,054 |
| Certara, Inc. | | Morgan Stanley | | (1,245) | | (33,378) | | (26,743) | | 6,630 |
| Change Healthcare, Inc. | | Morgan Stanley | | (6,373) | | (132,428) | | (138,931) | | (6,891) |
| Community Health Systems, Inc. | | Morgan Stanley | | (1,441) | | (15,743) | | (17,105) | | (1,399) |
| Covetrus, Inc. | | Morgan Stanley | | (3,650) | | (112,243) | | (61,284) | | 50,907 |
| CryoPort, Inc. | | Morgan Stanley | | (371) | | (21,341) | | (12,952) | | 8,893 |
| DENTSPLY SIRONA, Inc. | | Morgan Stanley | | (454) | | (26,070) | | (22,346) | | 4,498 |
| Encompass Health Corp. | | Morgan Stanley | | (3,378) | | (214,346) | | (240,210) | | (27,062) |
| Evolent Health, Inc., Class A | | Morgan Stanley | | (804) | | (11,521) | | (25,969) | | (15,405) |
| Figs, Inc., Class A | | Morgan Stanley | | (1,347) | | (39,744) | | (28,987) | | 10,747 |
| Glaukos Corp. | | Morgan Stanley | | (56) | | (2,985) | | (3,238) | | (256) |
| GoodRx Holdings, Inc., Class A | | Morgan Stanley | | (1,355) | | (53,626) | | (26,192) | | 27,383 |
| Guardant Health, Inc. | | Morgan Stanley | | (3,779) | | (370,941) | | (250,321) | | 120,570 |
| Haemonetics Corp. | | Morgan Stanley | | (438) | | (49,608) | | (27,690) | | 22,597 |
| Health Catalyst, Inc. | | Morgan Stanley | | (2,309) | | (84,266) | | (60,334) | | 23,810 |
| HealthEquity, Inc. | | Morgan Stanley | | (3,461) | | (180,695) | | (233,410) | | (53,973) |
| Inari Medical, Inc. | | Morgan Stanley | | (1,470) | | (136,464) | | (133,241) | | 2,916 |
| Innovage Holding Corp. | | Morgan Stanley | | (21) | | (140) | | (135) | | 5 |
| Insulet Corp. | | Morgan Stanley | | (672) | | (195,090) | | (179,014) | | 16,226 |
| Integer Holdings Corp. | | Morgan Stanley | | (414) | | (34,532) | | (33,356) | | 1,143 |
| iRhythm Technologies, Inc. | | Morgan Stanley | | (177) | | (8,764) | | (27,872) | | (21,169) |
| Lantheus Holdings, Inc. | | Morgan Stanley | | (861) | | (22,638) | | (47,622) | | (26,760) |
| LHC Group, Inc. | | Morgan Stanley | | (738) | | (106,537) | | (124,427) | | (17,991) |
| LifeStance Health Group, Inc. | | Morgan Stanley | | (1,329) | | (12,133) | | (13,436) | | (1,316) |
| Meridian Bioscience, Inc. | | Morgan Stanley | | (433) | | (9,090) | | (11,241) | | (2,160) |
| Mesa Laboratories, Inc. | | Morgan Stanley | | (133) | | (33,995) | | (33,899) | | (29) |
| Nevro Corp. | | Morgan Stanley | | (844) | | (72,655) | | (61,047) | | 11,408 |
| Novocure Ltd. (Jersey) | | Morgan Stanley | | (1,619) | | (153,355) | | (134,134) | | 18,515 |
| NuVasive, Inc. | | Morgan Stanley | | (1,721) | | (94,447) | | (97,581) | | (3,298) |
| Oak Street Health, Inc. | | Morgan Stanley | | (4,020) | | (209,717) | | (108,058) | | 101,461 |
| Option Care Health, Inc. | | Morgan Stanley | | (793) | | (21,831) | | (22,648) | | (922) |
| OrthoPediatrics Corp. | | Morgan Stanley | | (178) | | (9,644) | | (9,610) | | 5 |
| Outset Medical, Inc. | | Morgan Stanley | | (1,205) | | (54,102) | | (54,707) | | (754) |
| Patterson Cos., Inc. | | Morgan Stanley | | (915) | | (27,441) | | (29,619) | | (2,204) |
| Penumbra, Inc. | | Morgan Stanley | | (174) | | (48,264) | | (38,651) | | 9,567 |
| Phreesia, Inc. | | Morgan Stanley | | (2,254) | | (84,897) | | (59,415) | | 25,401 |
| Progyny, Inc. | | Morgan Stanley | | (2,314) | | (135,682) | | (118,940) | | 16,461 |
| Pulmonx Corp. | | Morgan Stanley | | (31) | | (770) | | (769) | | (56) |
| Quidel Corp. | | Morgan Stanley | | (558) | | (79,633) | | (62,753) | | 16,804 |
| RadNet, Inc. | | Morgan Stanley | | (1,917) | | (35,674) | | (42,883) | | (7,320) |
| Schrodinger, Inc. | | Morgan Stanley | | (4,459) | | (233,083) | | (152,141) | | 79,866 |
| Silk Road Medical, Inc. | | Morgan Stanley | | (1,741) | | (82,461) | | (71,886) | | 10,155 |
| STERIS PLC (Ireland) | | Morgan Stanley | | (523) | | (115,861) | | (126,446) | | (12,214) |
| Surgery Partners, Inc. | | Morgan Stanley | | (2,527) | | (117,968) | | (139,111) | | (21,395) |
| Teladoc Health, Inc. | | Morgan Stanley | | (145) | | (24,646) | | (10,459) | | 14,164 |
| Universal Health Services, Inc., Class B | | Morgan Stanley | | (95) | | (12,944) | | (13,770) | | (1,608) |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Health Care Equipment & Services — (continued) | | | | | | | | |
| US Physical Therapy, Inc. | | Morgan Stanley | | (114) | | $ (10,817) | | $ (11,337) | | $ (556) |
| Zimmer Biomet Holdings, Inc. | | Morgan Stanley | | (2,155) | | (260,867) | | (275,625) | | (15,413) |
| | | | | (103,309) | | (4,841,400) | | (4,213,107) | | 612,541 |
| Household & Personal Products | | | | | | | | |
| Central Garden & Pet Co., Class A | | Morgan Stanley | | (655) | | (28,595) | | (26,711) | | 1,857 |
| Clorox Co. (The) | | Morgan Stanley | | (135) | | (25,042) | | (18,769) | | 5,787 |
| Energizer Holdings, Inc. | | Morgan Stanley | | (3,329) | | (118,964) | | (102,400) | | 15,184 |
| Inter Parfums, Inc. | | Morgan Stanley | | (133) | | (11,275) | | (11,711) | | (447) |
| Olaplex Holdings, Inc. | | Morgan Stanley | | (1,919) | | (44,714) | | (29,994) | | 14,677 |
| Reynolds Consumer Products, Inc. | | Morgan Stanley | | (1,162) | | (34,387) | | (34,093) | | (270) |
| | | | | (7,333) | | (262,977) | | (223,678) | | 36,788 |
| Materials | | | | | | | | |
| Agnico Eagle Mines Ltd. (Canada) | | Morgan Stanley | | (4,997) | | (282,524) | | (306,016) | | (26,259) |
| Alamos Gold, Inc., Class A (Canada) | | Morgan Stanley | | (14,256) | | (114,101) | | (120,036) | | (6,043) |
| Albemarle Corp. | | Morgan Stanley | | (56) | | (11,737) | | (12,384) | | (659) |
| Alpha Metallurgical Resources, Inc. | | Morgan Stanley | | (363) | | (45,962) | | (47,901) | | (1,983) |
| Amyris, Inc. | | Morgan Stanley | | (11,851) | | (90,300) | | (51,670) | | 38,484 |
| AptarGroup, Inc. | | Morgan Stanley | | (518) | | (66,154) | | (60,865) | | 4,986 |
| Arconic Corp. | | Morgan Stanley | | (1,501) | | (39,828) | | (38,456) | | 1,335 |
| Axalta Coating Systems Ltd. (Bermuda) | | Morgan Stanley | | (3,365) | | (111,550) | | (82,712) | | 29,752 |
| Berry Global Group, Inc. | | Morgan Stanley | | (2,580) | | (154,649) | | (149,537) | | 4,966 |
| Century Aluminum Co. | | Morgan Stanley | | (1,716) | | (26,445) | | (45,148) | | (19,316) |
| Coeur Mining, Inc. | | Morgan Stanley | | (43,986) | | (244,193) | | (195,738) | | 48,224 |
| Commercial Metals Co. | | Morgan Stanley | | (1,011) | | (36,850) | | (42,078) | | (6,186) |
| Compass Minerals International, Inc. | | Morgan Stanley | | (347) | | (20,976) | | (21,788) | | (849) |
| Ecolab, Inc. | | Morgan Stanley | | (239) | | (42,563) | | (42,198) | | 273 |
| Element Solutions, Inc. | | Morgan Stanley | | (3,897) | | (96,526) | | (85,344) | | 10,627 |
| Equinox Gold Corp. (Canada) | | Morgan Stanley | | (16,326) | | (177,446) | | (135,016) | | 42,135 |
| First Majestic Silver Corp. (Canada) | | Morgan Stanley | | (9,842) | | (122,574) | | (129,521) | | (7,593) |
| Fortuna Silver Mines, Inc. (Canada) | | Morgan Stanley | | (25,408) | | (93,089) | | (96,804) | | (3,804) |
| GCP Applied Technologies, Inc. | | Morgan Stanley | | (1,640) | | (52,321) | | (51,529) | | 755 |
| Graphic Packaging Holding Co. | | Morgan Stanley | | (8,080) | | (160,529) | | (161,923) | | (2,377) |
| HB Fuller Co. | | Morgan Stanley | | (945) | | (64,852) | | (62,436) | | 2,185 |
| Hudbay Minerals, Inc. (Canada) | | Morgan Stanley | | (2,747) | | (19,628) | | (21,564) | | (2,130) |
| IAMGOLD Corp. (Canada) | | Morgan Stanley | | (24,484) | | (73,955) | | (85,204) | | (11,320) |
| International Flavors & Fragrances, Inc. | | Morgan Stanley | | (317) | | (47,055) | | (41,632) | | 4,564 |
| Kaiser Aluminum Corp. | | Morgan Stanley | | (5) | | (476) | | (471) | | (2) |
| Livent Corp. | | Morgan Stanley | | (1,548) | | (34,928) | | (40,356) | | (5,510) |
| Martin Marietta Materials, Inc. | | Morgan Stanley | | (685) | | (259,910) | | (263,650) | | (4,223) |
| Methanex Corp. (Canada) | | Morgan Stanley | | (351) | | (8,143) | | (19,151) | | (12,443) |
| MP Materials Corp. | | Morgan Stanley | | (448) | | (25,463) | | (25,688) | | (250) |
| NewMarket Corp. | | Morgan Stanley | | (44) | | (14,223) | | (14,273) | | (82) |
| Newmont Corp. | | Morgan Stanley | | (527) | | (38,464) | | (41,870) | | (11,632) |
| Novagold Resources, Inc. (Canada) | | Morgan Stanley | | (2,257) | | (25,239) | | (17,447) | | 7,917 |
| Pactiv Evergreen, Inc. | | Morgan Stanley | | (146) | | (1,394) | | (1,469) | | (78) |
| PureCycle Technologies, Inc. | | Morgan Stanley | | (228) | | (1,780) | | (1,824) | | (47) |
| Quaker Chemical Corp. | | Morgan Stanley | | (307) | | (71,508) | | (53,053) | | 17,985 |
| Ranpak Holdings Corp. | | Morgan Stanley | | (1,109) | | (24,171) | | (22,657) | | 1,490 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Materials — (continued) | | | | | | | | |
| RPM International, Inc. | | Morgan Stanley | | (1,474) | | $ (131,100) | | $ (120,043) | | $ 10,137 |
| Schnitzer Steel Industries, Inc., Class A | | Morgan Stanley | | (903) | | (42,218) | | (46,902) | | (4,724) |
| Schweitzer-Mauduit International, Inc. | | Morgan Stanley | | (732) | | (23,163) | | (20,130) | | 2,636 |
| Scotts Miracle-Gro Co. (The) | | Morgan Stanley | | (2,657) | | (373,586) | | (326,705) | | 44,731 |
| SilverCrest Metals, Inc. (Canada) | | Morgan Stanley | | (2,048) | | (16,436) | | (18,248) | | (1,828) |
| Sonoco Products Co. | | Morgan Stanley | | (1,172) | | (68,623) | | (73,320) | | (5,045) |
| Stepan Co. | | Morgan Stanley | | (341) | | (40,530) | | (33,694) | | 6,519 |
| Trinseo PLC (Ireland) | | Morgan Stanley | | (1,643) | | (91,292) | | (78,733) | | 12,277 |
| Valvoline, Inc. | | Morgan Stanley | | (615) | | (21,013) | | (19,409) | | 1,268 |
| Vulcan Materials Co. | | Morgan Stanley | | (617) | | (125,519) | | (113,343) | | 11,873 |
| West Fraser Timber Co. Ltd. (Canada) | | Morgan Stanley | | (443) | | (42,882) | | (36,516) | | 6,226 |
| Wheaton Precious Metals Corp. (Canada) | | Morgan Stanley | | (295) | | (14,272) | | (14,036) | | 222 |
| Worthington Industries, Inc. | | Morgan Stanley | | (1,146) | | (63,544) | | (58,916) | | 4,291 |
| | | | | (202,213) | | (3,755,684) | | (3,549,404) | | 181,475 |
| Media & Entertainment | | | | | | | | |
| Advantage Solutions, Inc. | | Morgan Stanley | | (20) | | (129) | | (128) | | — |
| Angi, Inc. | | Morgan Stanley | | (14,389) | | (175,190) | | (81,586) | | 93,438 |
| Cable One, Inc. | | Morgan Stanley | | (115) | | (221,732) | | (168,388) | | 52,309 |
| Cardlytics, Inc. | | Morgan Stanley | | (473) | | (43,807) | | (26,006) | | 17,654 |
| Cargurus, Inc. | | Morgan Stanley | | (5,289) | | (206,097) | | (224,571) | | (18,669) |
| DISH Network Corp., Class A | | Morgan Stanley | | (3,818) | | (118,842) | | (120,840) | | (2,489) |
| EW Scripps Co. (The), Class A | | Morgan Stanley | | (2,472) | | (30,565) | | (51,393) | | (21,087) |
| fuboTV, Inc. | | Morgan Stanley | | (7,594) | | (105,455) | | (49,893) | | 55,337 |
| Gray Television, Inc. | | Morgan Stanley | | (4,888) | | (107,059) | | (107,878) | | (1,129) |
| IAC | | Morgan Stanley | | (2,037) | | (215,493) | | (204,270) | | 11,018 |
| Lions Gate Entertainment Corp., Class B (Canada) | | Morgan Stanley | | (2,849) | | (39,306) | | (42,820) | | (3,552) |
| Madison Square Garden Sports Corp. | | Morgan Stanley | | (203) | | (34,679) | | (36,410) | | (1,791) |
| Magnite, Inc. | | Morgan Stanley | | (11,015) | | (204,972) | | (145,508) | | 59,049 |
| Paramount Global, Class B | | Morgan Stanley | | (4,821) | | (180,702) | | (182,282) | | (1,881) |
| ROBLOX Corp., Class A | | Morgan Stanley | | (843) | | (38,465) | | (38,980) | | (2,387) |
| Roku, Inc. | | Morgan Stanley | | (2,024) | | (269,478) | | (253,546) | | 15,675 |
| Sinclair Broadcast Group, Inc., Class A | | Morgan Stanley | | (1,489) | | (40,601) | | (41,722) | | (1,285) |
| Skillz, Inc. | | Morgan Stanley | | (19,308) | | (93,910) | | (57,924) | | 35,738 |
| Snap, Inc., Class A | | Morgan Stanley | | (2,588) | | (144,187) | | (93,142) | | 50,908 |
| TechTarget, Inc. | | Morgan Stanley | | (643) | | (49,173) | | (52,263) | | (3,137) |
| TEGNA, Inc. | | Morgan Stanley | | (1,105) | | (24,676) | | (24,752) | | (92) |
| Vimeo, Inc. | | Morgan Stanley | | (1,012) | | (11,027) | | (12,023) | | (1,006) |
| Warner Music Group Corp., Class A | | Morgan Stanley | | (394) | | (15,070) | | (14,913) | | 150 |
| World Wrestling Entertainment, Inc., Class A | | Morgan Stanley | | (501) | | (29,360) | | (31,282) | | (2,000) |
| ZoomInfo Technologies, Inc. | | Morgan Stanley | | (5,213) | | (275,582) | | (311,425) | | (38,129) |
| | | | | (95,103) | | (2,675,557) | | (2,373,945) | | 292,642 |
| Pharmaceuticals, Biotechnology & Life Sciences | | | | | | | | |
| 10X Genomics, Inc., Class A | | Morgan Stanley | | (2,991) | | (257,695) | | (227,525) | | 29,303 |
| AbCellera Biologics, Inc. (Canada) | | Morgan Stanley | | (4,138) | | (37,317) | | (40,346) | | (3,064) |
| Adaptive Biotechnologies Corp. | | Morgan Stanley | | (5,238) | | (154,928) | | (72,703) | | 81,990 |
| Amneal Pharmaceuticals, Inc. | | Morgan Stanley | | (523) | | (2,133) | | (2,181) | | (51) |
| Apellis Pharmaceuticals, Inc. | | Morgan Stanley | | (764) | | (48,277) | | (38,819) | | 9,412 |
| Arrowhead Pharmaceuticals, Inc. | | Morgan Stanley | | (482) | | (23,651) | | (22,167) | | 1,348 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Pharmaceuticals, Biotechnology & Life Sciences — (continued) | | | | | | | | |
| Arvinas, Inc. | | Morgan Stanley | | (1,561) | | $ (126,164) | | $ (105,055) | | $ 20,939 |
| Aurinia Pharmaceuticals, Inc. (Canada) | | Morgan Stanley | | (6,864) | | (77,418) | | (84,976) | | (7,632) |
| Avid Bioservices, Inc. | | Morgan Stanley | | (1,095) | | (31,545) | | (22,305) | | 9,186 |
| Axsome Therapeutics, Inc. | | Morgan Stanley | | (2,017) | | (87,725) | | (83,484) | | 3,261 |
| Bridgebio Pharma, Inc. | | Morgan Stanley | | (1,353) | | (47,542) | | (13,733) | | 33,763 |
| C4 Therapeutics, Inc. | | Morgan Stanley | | (52) | | (1,946) | | (1,262) | | 682 |
| CareDx, Inc. | | Morgan Stanley | | (1,458) | | (64,517) | | (53,931) | | 10,717 |
| Catalent, Inc. | | Morgan Stanley | | (1,483) | | (184,841) | | (164,465) | | 20,184 |
| Catalyst Pharmaceuticals, Inc. | | Morgan Stanley | | (19) | | (161) | | (158) | | 3 |
| ChemoCentryx, Inc. | | Morgan Stanley | | (3,423) | | (83,799) | | (85,815) | | (2,096) |
| Codexis, Inc. | | Morgan Stanley | | (925) | | (14,411) | | (19,074) | | (4,761) |
| Coherus Biosciences, Inc. | | Morgan Stanley | | (420) | | (5,136) | | (5,422) | | (292) |
| Denali Therapeutics, Inc. | | Morgan Stanley | | (266) | | (8,353) | | (8,557) | | (228) |
| Eli Lilly & Co. | | Morgan Stanley | | (399) | | (115,378) | | (114,262) | | (1,312) |
| Emergent BioSolutions, Inc. | | Morgan Stanley | | (1,297) | | (62,631) | | (53,255) | | 9,687 |
| Exact Sciences Corp. | | Morgan Stanley | | (966) | | (68,967) | | (67,543) | | 733 |
| FibroGen, Inc. | | Morgan Stanley | | (438) | | (5,653) | | (5,265) | | 382 |
| Intellia Therapeutics, Inc. | | Morgan Stanley | | (187) | | (20,108) | | (13,589) | | 6,499 |
| Invitae Corp. | | Morgan Stanley | | (5,529) | | (52,827) | | (44,066) | | 8,513 |
| Jazz Pharmaceuticals PLC (Ireland) | | Morgan Stanley | | (604) | | (88,659) | | (94,025) | | (6,124) |
| Ligand Pharmaceuticals, Inc. | | Morgan Stanley | | (37) | | (4,221) | | (4,162) | | 54 |
| MannKind Corp. | | Morgan Stanley | | (432) | | (1,569) | | (1,590) | | (23) |
| Mirati Therapeutics, Inc. | | Morgan Stanley | | (7) | | (584) | | (576) | | 7 |
| NanoString Technologies, Inc. | | Morgan Stanley | | (3,118) | | (128,698) | | (108,351) | | 20,148 |
| Nektar Therapeutics | | Morgan Stanley | | (2,536) | | (31,128) | | (13,669) | | 17,429 |
| NeoGenomics, Inc. | | Morgan Stanley | | (5,501) | | (167,929) | | (66,837) | | 100,933 |
| Novavax, Inc. | | Morgan Stanley | | (291) | | (48,809) | | (21,432) | | 27,330 |
| OPKO Health, Inc. | | Morgan Stanley | | (840) | | (2,684) | | (2,890) | | (256) |
| Perrigo Co. PLC (Ireland) | | Morgan Stanley | | (4,488) | | (212,576) | | (172,474) | | 36,901 |
| Quanterix Corp. | | Morgan Stanley | | (430) | | (11,851) | | (12,552) | | (713) |
| Revance Therapeutics, Inc. | | Morgan Stanley | | (333) | | (9,468) | | (6,494) | | 3,176 |
| Sana Biotechnology, Inc. | | Morgan Stanley | | (282) | | (4,173) | | (2,329) | | 1,964 |
| Seagen, Inc. | | Morgan Stanley | | (1,116) | | (141,833) | | (160,760) | | (19,062) |
| Sotera Health Co. | | Morgan Stanley | | (1,306) | | (29,078) | | (28,288) | | 758 |
| SpringWorks Therapeutics, Inc. | | Morgan Stanley | | (502) | | (28,240) | | (28,333) | | (121) |
| Supernus Pharmaceuticals, Inc. | | Morgan Stanley | | (19) | | (614) | | (614) | | — |
| Travere Therapeutics, Inc. | | Morgan Stanley | | (15) | | (380) | | (387) | | (13) |
| Turning Point Therapeutics, Inc. | | Morgan Stanley | | (67) | | (1,921) | | (1,799) | | 120 |
| Twist Bioscience Corp. | | Morgan Stanley | | (553) | | (49,192) | | (27,307) | | 21,838 |
| Verve Therapeutics, Inc. | | Morgan Stanley | | (3) | | (73) | | (68) | | 4 |
| Xenon Pharmaceuticals, Inc. (Canada) | | Morgan Stanley | | (418) | | (12,829) | | (12,778) | | 16 |
| | | | | (66,786) | | (2,559,632) | | (2,117,673) | | 431,532 |
| Retailing | | | | | | | | |
| 1-800-Flowers.com, Inc., Class A | | Morgan Stanley | | (945) | | (29,286) | | (12,058) | | 17,199 |
| Abercrombie & Fitch Co., Class A | | Morgan Stanley | | (345) | | (11,311) | | (11,037) | | 263 |
| American Eagle Outfitters, Inc. | | Morgan Stanley | | (2,905) | | (52,172) | | (48,804) | | 3,069 |
| Asbury Automotive Group, Inc. | | Morgan Stanley | | (507) | | (91,683) | | (81,221) | | 10,374 |
| Bed Bath & Beyond, Inc. | | Morgan Stanley | | (3,259) | | (49,824) | | (73,425) | | (24,429) |
| Big Lots, Inc. | | Morgan Stanley | | (833) | | (30,561) | | (28,822) | | 1,588 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Retailing — (continued) | | | | | | | | |
| CarMax, Inc. | | Morgan Stanley | | (4,713) | | $ (620,029) | | $ (454,710) | | $165,279 |
| Carvana Co. | | Morgan Stanley | | (635) | | (132,974) | | (75,749) | | 57,099 |
| Chewy, Inc., Class A | | Morgan Stanley | | (4,636) | | (263,460) | | (189,056) | | 74,154 |
| ContextLogic, Inc., Class A | | Morgan Stanley | | (848) | | (1,929) | | (1,908) | | 18 |
| Designer Brands, Inc., Class A | | Morgan Stanley | | (1,275) | | (21,380) | | (17,225) | | 4,234 |
| Dollar Tree, Inc. | | Morgan Stanley | | (1,904) | | (287,144) | | (304,926) | | (18,054) |
| Five Below, Inc. | | Morgan Stanley | | (791) | | (151,997) | | (125,271) | | 26,582 |
| Floor & Decor Holdings, Inc., Class A | | Morgan Stanley | | (2,409) | | (253,580) | | (195,129) | | 58,211 |
| Foot Locker, Inc. | | Morgan Stanley | | (4,024) | | (146,082) | | (119,352) | | 26,353 |
| Franchise Group, Inc. | | Morgan Stanley | | (326) | | (14,048) | | (13,506) | | 344 |
| Group 1 Automotive, Inc. | | Morgan Stanley | | (178) | | (33,501) | | (29,874) | | 3,629 |
| Kohl's Corp. | | Morgan Stanley | | (490) | | (28,101) | | (29,625) | | (1,991) |
| Leslie's, Inc. | | Morgan Stanley | | (2,778) | | (79,738) | | (53,782) | | 25,974 |
| Monro, Inc. | | Morgan Stanley | | (345) | | (16,067) | | (15,297) | | 133 |
| Murphy USA, Inc. | | Morgan Stanley | | (331) | | (52,500) | | (66,187) | | (14,298) |
| National Vision Holdings, Inc. | | Morgan Stanley | | (2,433) | | (100,685) | | (106,006) | | (5,416) |
| Nordstrom, Inc. | | Morgan Stanley | | (37) | | (1,411) | | (1,003) | | 396 |
| Ollie's Bargain Outlet Holdings, Inc. | | Morgan Stanley | | (1,128) | | (54,520) | | (48,459) | | 6,009 |
| Petco Health & Wellness Co., Inc. | | Morgan Stanley | | (11,167) | | (216,616) | | (218,538) | | (2,128) |
| Pool Corp. | | Morgan Stanley | | (122) | | (55,370) | | (51,588) | | 3,506 |
| Poshmark, Inc., Class A | | Morgan Stanley | | (4,373) | | (77,711) | | (55,362) | | 22,188 |
| Qurate Retail, Inc. | | Morgan Stanley | | (21,719) | | (169,159) | | (103,382) | | 66,009 |
| Rent-A-Center, Inc. | | Morgan Stanley | | (71) | | (1,832) | | (1,788) | | 41 |
| Sally Beauty Holdings, Inc. | | Morgan Stanley | | (2,442) | | (48,544) | | (38,168) | | 10,339 |
| Sleep Number Corp. | | Morgan Stanley | | (391) | | (24,696) | | (19,828) | | 4,957 |
| Stitch Fix, Inc., Class A | | Morgan Stanley | | (3,840) | | (42,698) | | (38,669) | | 3,988 |
| Tractor Supply Co. | | Morgan Stanley | | (1,124) | | (252,741) | | (262,308) | | (11,027) |
| Urban Outfitters, Inc. | | Morgan Stanley | | (1,879) | | (61,215) | | (47,182) | | 14,568 |
| Wayfair, Inc., Class A | | Morgan Stanley | | (411) | | (59,598) | | (45,531) | | 13,872 |
| | | | | (85,614) | | (3,534,163) | | (2,984,776) | | 543,033 |
| Semiconductors & Semiconductor Equipment | | | | | | | | |
| ACM Research, Inc., Class A | | Morgan Stanley | | (4,502) | | (125,772) | | (93,146) | | 32,464 |
| Ambarella, Inc. (Cayman Islands) | | Morgan Stanley | | (1,102) | | (99,667) | | (115,622) | | (17,189) |
| Amkor Technology, Inc. | | Morgan Stanley | | (1,990) | | (49,199) | | (43,223) | | 5,885 |
| Analog Devices, Inc. | | Morgan Stanley | | (246) | | (45,847) | | (40,634) | | 4,851 |
| Azenta, Inc. | | Morgan Stanley | | (2,208) | | (242,356) | | (182,999) | | 58,946 |
| CEVA, Inc. | | Morgan Stanley | | (272) | | (12,107) | | (11,057) | | 1,052 |
| Cirrus Logic, Inc. | | Morgan Stanley | | (3,561) | | (306,060) | | (301,937) | | 3,833 |
| CMC Materials, Inc. | | Morgan Stanley | | (198) | | (37,563) | | (36,709) | | 585 |
| Enphase Energy, Inc. | | Morgan Stanley | | (470) | | (75,505) | | (94,837) | | (22,418) |
| Entegris, Inc. | | Morgan Stanley | | (701) | | (91,902) | | (92,013) | | (602) |
| First Solar, Inc. | | Morgan Stanley | | (913) | | (73,460) | | (76,455) | | (3,065) |
| FormFactor, Inc. | | Morgan Stanley | | (2,313) | | (90,330) | | (97,215) | | (7,074) |
| Ichor Holdings Ltd. (Cayman Islands) | | Morgan Stanley | | (546) | | (19,433) | | (19,449) | | (34) |
| Impinj, Inc. | | Morgan Stanley | | (479) | | (28,546) | | (30,436) | | (1,979) |
| Intel Corp. | | Morgan Stanley | | (8,483) | | (432,222) | | (420,417) | | 11,455 |
| MaxLinear, Inc. | | Morgan Stanley | | (260) | | (15,905) | | (15,171) | | 718 |
| Monolithic Power Systems, Inc. | | Morgan Stanley | | (139) | | (63,842) | | (67,510) | | (4,193) |
| Qorvo, Inc. | | Morgan Stanley | | (421) | | (57,805) | | (52,246) | | 6,883 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Semiconductors & Semiconductor Equipment — (continued) | | | | | | | | |
| SMART Global Holdings, Inc. (Cayman Islands) | | Morgan Stanley | | (5,959) | | $ (160,591) | | $ (153,921) | | $ 6,517 |
| Texas Instruments, Inc. | | Morgan Stanley | | (247) | | (45,980) | | (45,320) | | 692 |
| Universal Display Corp. | | Morgan Stanley | | (302) | | (50,956) | | (50,419) | | 428 |
| Wolfspeed, Inc. | | Morgan Stanley | | (1,926) | | (182,856) | | (219,294) | | (44,790) |
| | | | | (37,238) | | (2,307,904) | | (2,260,030) | | 32,965 |
| Software & Services | | | | | | | | |
| 8x8, Inc. | | Morgan Stanley | | (2,536) | | (52,081) | | (31,928) | | 20,087 |
| Alteryx, Inc., Class A | | Morgan Stanley | | (1,836) | | (224,599) | | (131,329) | | 100,026 |
| Amdocs Ltd. | | Morgan Stanley | | (1,768) | | (137,151) | | (145,347) | | (9,364) |
| Appfolio, Inc., Class A | | Morgan Stanley | | (523) | | (70,372) | | (59,209) | | 11,127 |
| AppLovin Corp., Class A | | Morgan Stanley | | (1,152) | | (63,315) | | (63,441) | | (186) |
| Asana, Inc., Class A | | Morgan Stanley | | (1,672) | | (115,706) | | (66,830) | | 48,766 |
| Aspen Technology, Inc. | | Morgan Stanley | | (885) | | (135,521) | | (146,352) | | (10,961) |
| Avalara, Inc. | | Morgan Stanley | | (1,613) | | (226,964) | | (160,510) | | 66,618 |
| Avaya Holdings Corp. | | Morgan Stanley | | (6,553) | | (104,839) | | (83,027) | | 21,712 |
| BigCommerce Holdings, Inc. | | Morgan Stanley | | (2,550) | | (66,038) | | (55,871) | | 10,104 |
| Blackbaud, Inc. | | Morgan Stanley | | (891) | | (55,898) | | (53,344) | | 2,500 |
| Blackline, Inc. | | Morgan Stanley | | (650) | | (47,587) | | (47,593) | | (94) |
| Bottomline Technologies DE, Inc. | | Morgan Stanley | | (861) | | (35,687) | | (48,801) | | (14,272) |
| Ceridian HCM Holding, Inc. | | Morgan Stanley | | (153) | | (15,049) | | (10,459) | | 4,575 |
| Citrix Systems, Inc. | | Morgan Stanley | | (1,605) | | (187,978) | | (161,945) | | 24,534 |
| Clearwater Analytics Holdings, Inc., Class A | | Morgan Stanley | | (427) | | (8,306) | | (8,967) | | (669) |
| CommVault Systems, Inc. | | Morgan Stanley | | (541) | | (37,285) | | (35,895) | | 1,359 |
| Conduent, Inc. | | Morgan Stanley | | (6,302) | | (31,432) | | (32,518) | | (1,224) |
| Confluent, Inc., Class A | | Morgan Stanley | | (4,542) | | (171,229) | | (186,222) | | (17,752) |
| Coupa Software, Inc. | | Morgan Stanley | | (1,645) | | (279,196) | | (167,181) | | 111,750 |
| Datto Holding Corp. | | Morgan Stanley | | (109) | | (2,869) | | (2,912) | | (47) |
| Digital Turbine, Inc. | | Morgan Stanley | | (1,189) | | (87,510) | | (52,090) | | 35,336 |
| Dolby Laboratories, Inc., Class A | | Morgan Stanley | | (374) | | (29,150) | | (29,254) | | (133) |
| Domo, Inc., Class B | | Morgan Stanley | | (1,264) | | (57,685) | | (63,920) | | (6,451) |
| Duck Creek Technologies, Inc. | | Morgan Stanley | | (1,019) | | (26,668) | | (22,540) | | 4,102 |
| Dynatrace, Inc. | | Morgan Stanley | | (737) | | (46,256) | | (34,713) | | 11,499 |
| Envestnet, Inc. | | Morgan Stanley | | (636) | | (46,833) | | (47,344) | | (584) |
| Everbridge, Inc. | | Morgan Stanley | | (2,824) | | (162,170) | | (123,239) | | 38,175 |
| Evo Payments, Inc., Class A | | Morgan Stanley | | (220) | | (6,447) | | (5,080) | | 1,434 |
| Expensify, Inc., Class A | | Morgan Stanley | | (26) | | (427) | | (457) | | (31) |
| Fastly, Inc., Class A | | Morgan Stanley | | (5,039) | | (159,292) | | (87,578) | | 71,469 |
| Five9, Inc. | | Morgan Stanley | | (815) | | (84,099) | | (89,976) | | (7,305) |
| Guidewire Software, Inc. | | Morgan Stanley | | (1,303) | | (147,020) | | (123,290) | | 23,781 |
| Hive Blockchain Technologies Ltd. (Canada) | | Morgan Stanley | | (26,491) | | (81,167) | | (56,426) | | 24,623 |
| Jack Henry & Associates, Inc. | | Morgan Stanley | | (45) | | (8,938) | | (8,867) | | 62 |
| Jamf Holding Corp. | | Morgan Stanley | | (3,762) | | (126,849) | | (130,955) | | (4,489) |
| JFrog Ltd. (Israel) | | Morgan Stanley | | (1,952) | | (61,960) | | (52,606) | | 9,294 |
| Lightspeed Commerce, Inc. (Canada) | | Morgan Stanley | | (5,481) | | (245,824) | | (167,006) | | 77,801 |
| LivePerson, Inc. | | Morgan Stanley | | (2,240) | | (71,109) | | (54,701) | | 16,340 |
| LiveRamp Holdings, Inc. | | Morgan Stanley | | (2,178) | | (99,837) | | (81,435) | | 18,306 |
| Mandiant, Inc. | | Morgan Stanley | | (1,904) | | (35,306) | | (42,478) | | (8,478) |
| Model N, Inc. | | Morgan Stanley | | (391) | | (11,077) | | (10,518) | | 544 |
| nCino, Inc. | | Morgan Stanley | | (2,124) | | (112,283) | | (87,042) | | 25,026 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Software & Services — (continued) | | | | | | | | |
| NCR Corp. | | Morgan Stanley | | (390) | | $ (16,771) | | $ (15,674) | | $ 1,096 |
| New Relic, Inc. | | Morgan Stanley | | (153) | | (10,374) | | (10,233) | | 131 |
| Okta, Inc. | | Morgan Stanley | | (2,465) | | (395,200) | | (372,116) | | 22,709 |
| PagerDuty, Inc. | | Morgan Stanley | | (257) | | (10,825) | | (8,787) | | 2,378 |
| Paymentus Holdings, Inc., Class A | | Morgan Stanley | | (787) | | (16,649) | | (16,590) | | 43 |
| Paysafe Ltd. (Bermuda) | | Morgan Stanley | | (8,375) | | (48,623) | | (28,391) | | 20,183 |
| Perficient, Inc. | | Morgan Stanley | | (433) | | (58,174) | | (47,669) | | 10,449 |
| Ping Identity Holding Corp. | | Morgan Stanley | | (3,623) | | (130,151) | | (99,379) | | 31,643 |
| PROS Holdings, Inc. | | Morgan Stanley | | (1,124) | | (46,235) | | (37,440) | | 8,903 |
| Q2 Holdings, Inc. | | Morgan Stanley | | (977) | | (107,512) | | (60,232) | | 47,508 |
| Qualtrics International, Inc., Class A | | Morgan Stanley | | (1,146) | | (33,219) | | (32,718) | | 438 |
| Qualys, Inc. | | Morgan Stanley | | (91) | | (12,895) | | (12,959) | | (77) |
| Rackspace Technology, Inc. | | Morgan Stanley | | (3,833) | | (92,865) | | (42,776) | | 50,171 |
| RingCentral, Inc., Class A | | Morgan Stanley | | (2,675) | | (369,162) | | (313,537) | | 55,178 |
| Riot Blockchain, Inc. | | Morgan Stanley | | (2,943) | | (69,387) | | (62,303) | | 4,167 |
| Sabre Corp. | | Morgan Stanley | | (2,207) | | (31,016) | | (25,226) | | 5,760 |
| SecureWorks Corp., Class A | | Morgan Stanley | | (6) | | (80) | | (80) | | (1) |
| Shift4 Payments, Inc., Class A | | Morgan Stanley | | (1,052) | | (75,856) | | (65,150) | | 10,633 |
| Shopify, Inc., Class A (Canada) | | Morgan Stanley | | (37) | | (26,139) | | (25,011) | | 433 |
| Smartsheet, Inc., Class A | | Morgan Stanley | | (2,083) | | (124,863) | | (114,107) | | 10,638 |
| SolarWinds Corp. | | Morgan Stanley | | (2,236) | | (45,024) | | (29,761) | | 11,893 |
| Sumo Logic, Inc. | | Morgan Stanley | | (3,188) | | (52,105) | | (37,204) | | 14,830 |
| Switch, Inc., Class A | | Morgan Stanley | | (4,249) | | (113,617) | | (130,954) | | (19,529) |
| TaskUS, Inc., Class A | | Morgan Stanley | | (531) | | (20,560) | | (20,422) | | 51 |
| Toast, Inc., Class A | | Morgan Stanley | | (3,564) | | (66,840) | | (77,446) | | (12,030) |
| Twilio, Inc., Class A | | Morgan Stanley | | (1,403) | | (409,592) | | (231,228) | | 177,975 |
| Tyler Technologies, Inc. | | Morgan Stanley | | (126) | | (60,964) | | (56,056) | | 4,881 |
| Verra Mobility Corp. | | Morgan Stanley | | (2,794) | | (40,856) | | (45,486) | | (4,864) |
| VMware, Inc., Class A | | Morgan Stanley | | (1,789) | | (209,881) | | (203,713) | | 5,099 |
| Vonage Holdings Corp. | | Morgan Stanley | | (1,845) | | (37,153) | | (37,435) | | (365) |
| WEX, Inc. | | Morgan Stanley | | (1,433) | | (296,672) | | (255,719) | | 41,578 |
| Xperi Holding Corp. | | Morgan Stanley | | (892) | | (15,037) | | (15,449) | | (450) |
| Zuora, Inc., Class A | | Morgan Stanley | | (1,959) | | (29,096) | | (29,346) | | (278) |
| | | | | (161,494) | | (6,850,402) | | (5,631,793) | | 1,200,084 |
| Technology Hardware & Equipment | | | | | | | | |
| Advanced Energy Industries, Inc. | | Morgan Stanley | | (1,149) | | (104,384) | | (98,906) | | 5,215 |
| Avid Technology, Inc. | | Morgan Stanley | | (23) | | (811) | | (802) | | 35 |
| Avnet, Inc. | | Morgan Stanley | | (3,105) | | (128,603) | | (126,032) | | 142 |
| Benchmark Electronics, Inc. | | Morgan Stanley | | (295) | | (7,557) | | (7,387) | | 116 |
| Calix, Inc. | | Morgan Stanley | | (1,362) | | (84,484) | | (58,443) | | 26,359 |
| Cognex Corp. | | Morgan Stanley | | (279) | | (21,541) | | (21,525) | | (3) |
| CommScope Holding Co., Inc. | | Morgan Stanley | | (20,027) | | (240,552) | | (157,813) | | 83,143 |
| Corsair Gaming, Inc. | | Morgan Stanley | | (1,715) | | (40,203) | | (36,289) | | 3,875 |
| Fabrinet (Cayman Islands) | | Morgan Stanley | | (534) | | (42,687) | | (56,139) | | (13,531) |
| FARO Technologies, Inc. | | Morgan Stanley | | (476) | | (30,439) | | (24,714) | | 5,693 |
| Harmonic, Inc. | | Morgan Stanley | | (493) | | (4,589) | | (4,580) | | 4 |
| Insight Enterprises, Inc. | | Morgan Stanley | | (517) | | (49,688) | | (55,484) | | (6,806) |
| IPG Photonics Corp. | | Morgan Stanley | | (69) | | (15,774) | | (7,573) | | 8,185 |
| Littelfuse, Inc. | | Morgan Stanley | | (406) | | (103,071) | | (101,260) | | 1,628 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Technology Hardware & Equipment — (continued) | | | | | | | | |
| Methode Electronics, Inc. | | Morgan Stanley | | (248) | | $ (10,569) | | $ (10,726) | | $ (168) |
| National Instruments Corp. | | Morgan Stanley | | (3,177) | | (132,995) | | (128,954) | | 2,268 |
| nLight, Inc. | | Morgan Stanley | | (313) | | (8,332) | | (5,427) | | 2,897 |
| Novanta, Inc. (Canada) | | Morgan Stanley | | (289) | | (48,171) | | (41,122) | | 6,964 |
| OSI Systems, Inc. | | Morgan Stanley | | (37) | | (3,142) | | (3,149) | | (11) |
| PAR Technology Corp. | | Morgan Stanley | | (434) | | (16,611) | | (17,508) | | (913) |
| Plantronics, Inc. | | Morgan Stanley | | (687) | | (18,891) | | (27,068) | | (8,196) |
| Plexus Corp. | | Morgan Stanley | | (631) | | (53,793) | | (51,622) | | 2,119 |
| Rogers Corp. | | Morgan Stanley | | (170) | | (46,374) | | (46,189) | | 140 |
| ScanSource, Inc. | | Morgan Stanley | | (55) | | (1,904) | | (1,913) | | (12) |
| Stratasys Ltd. (Israel) | | Morgan Stanley | | (875) | | (20,320) | | (22,216) | | (1,954) |
| Super Micro Computer, Inc. | | Morgan Stanley | | (1,140) | | (44,872) | | (43,400) | | 1,429 |
| TD SYNNEX Corp. | | Morgan Stanley | | (330) | | (35,596) | | (34,059) | | 1,511 |
| Teledyne Technologies, Inc. | | Morgan Stanley | | (180) | | (82,590) | | (85,073) | | (2,627) |
| TTM Technologies, Inc. | | Morgan Stanley | | (821) | | (12,023) | | (12,167) | | (156) |
| Ubiquiti, Inc. | | Morgan Stanley | | (240) | | (67,226) | | (69,878) | | (2,717) |
| Viasat, Inc. | | Morgan Stanley | | (3,058) | | (136,757) | | (149,230) | | (12,604) |
| Viavi Solutions, Inc. | | Morgan Stanley | | (1,755) | | (29,934) | | (28,220) | | 1,704 |
| | | | | (44,890) | | (1,644,483) | | (1,534,868) | | 103,729 |
| Telecommunication Services | | | | | | | | |
| Bandwidth, Inc., Class A | | Morgan Stanley | | (726) | | (60,372) | | (23,515) | | 36,799 |
| Frontier Communications Parent, Inc. | | Morgan Stanley | | (1,227) | | (36,503) | | (33,951) | | 2,517 |
| Globalstar, Inc. | | Morgan Stanley | | (76,172) | | (112,732) | | (111,973) | | 201 |
| Radius Global Infrastructure, Inc., Class A | | Morgan Stanley | | (1,047) | | (14,845) | | (14,951) | | (121) |
| Rogers Communications, Inc., Class B (Canada) | | Morgan Stanley | | (358) | | (18,384) | | (20,317) | | (2,141) |
| Shenandoah Telecommunications Co. | | Morgan Stanley | | (827) | | (30,214) | | (19,501) | | 3,704 |
| United States Cellular Corp. | | Morgan Stanley | | (407) | | (14,476) | | (12,304) | | 2,158 |
| | | | | (80,764) | | (287,526) | | (236,512) | | 43,117 |
| Transportation | | | | | | | | |
| Air Transport Services Group, Inc. | | Morgan Stanley | | (2,345) | | (60,465) | | (78,440) | | (18,271) |
| Canadian Pacific Railway Ltd. (Canada) | | Morgan Stanley | | (1,720) | | (130,689) | | (141,969) | | (11,831) |
| CH Robinson Worldwide, Inc. | | Morgan Stanley | | (5,404) | | (531,085) | | (582,065) | | (55,928) |
| Genco Shipping & Trading Ltd. (Marshall Islands) | | Morgan Stanley | | (121) | | (2,839) | | (2,858) | | (22) |
| Hawaiian Holdings, Inc. | | Morgan Stanley | | (970) | | (23,148) | | (19,109) | | 4,016 |
| JB Hunt Transport Services, Inc. | | Morgan Stanley | | (764) | | (153,772) | | (153,404) | | (497) |
| Kirby Corp. | | Morgan Stanley | | (475) | | (29,573) | | (34,290) | | (5,495) |
| Knight-Swift Transportation Holdings, Inc. | | Morgan Stanley | | (200) | | (12,032) | | (10,092) | | 2,119 |
| Landstar System, Inc. | | Morgan Stanley | | (68) | | (12,059) | | (10,256) | | 1,596 |
| SkyWest, Inc. | | Morgan Stanley | | (901) | | (24,528) | | (25,994) | | (1,489) |
| TFI International, Inc. (Canada) | | Morgan Stanley | | (432) | | (47,801) | | (46,012) | | 1,419 |
| Werner Enterprises, Inc. | | Morgan Stanley | | (3,557) | | (164,388) | | (145,837) | | 18,092 |
| | | | | (16,957) | | (1,192,379) | | (1,250,326) | | (66,291) |
| Utilities | | | | | | | | |
| Algonquin Power & Utilities Corp. (Canada) | | Morgan Stanley | | (7,961) | | (124,378) | | (123,555) | | (4,109) |
| ALLETE, Inc. | | Morgan Stanley | | (880) | | (47,496) | | (58,942) | | (14,996) |
| Ameren Corp. | | Morgan Stanley | | (323) | | (27,606) | | (30,284) | | (3,568) |
| Avangrid, Inc. | | Morgan Stanley | | (1,153) | | (57,891) | | (53,891) | | 2,065 |
| Avista Corp. | | Morgan Stanley | | (1,744) | | (73,166) | | (78,742) | | (6,438) |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Concluded)
March 31, 2022
(Unaudited)
Total Return Swaps (concluded)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Utilities — (continued) | | | | | | | | |
| Black Hills Corp. | | Morgan Stanley | | (1,624) | | $ (110,698) | | $ (125,080) | | $ (16,649) |
| Brookfield Renewable Corp., Class A (Canada) | | Morgan Stanley | | (247) | | (10,559) | | (10,819) | | (516) |
| Clearway Energy, Inc., Class A | | Morgan Stanley | | (787) | | (20,478) | | (26,223) | | (6,789) |
| Dominion Energy, Inc. | | Morgan Stanley | | (662) | | (55,153) | | (56,250) | | (836) |
| Duke Energy Corp. | | Morgan Stanley | | (410) | | (42,151) | | (45,781) | | (5,216) |
| Entergy Corp. | | Morgan Stanley | | (621) | | (68,976) | | (72,502) | | (5,453) |
| Essential Utilities, Inc. | | Morgan Stanley | | (673) | | (31,764) | | (34,410) | | (2,677) |
| Evergy, Inc. | | Morgan Stanley | | (2,084) | | (135,523) | | (142,421) | | (8,077) |
| Eversource Energy | | Morgan Stanley | | (1,010) | | (90,795) | | (89,072) | | 203 |
| Fortis, Inc. (Canada) | | Morgan Stanley | | (1,034) | | (47,494) | | (51,183) | | (4,201) |
| MGE Energy, Inc. | | Morgan Stanley | | (14) | | (1,117) | | (1,117) | | (2) |
| National Fuel Gas Co. | | Morgan Stanley | | (176) | | (11,628) | | (12,091) | | (555) |
| New Jersey Resources Corp. | | Morgan Stanley | | (1,000) | | (37,371) | | (45,860) | | (9,556) |
| NiSource, Inc. | | Morgan Stanley | | (464) | | (12,915) | | (14,755) | | (3,674) |
| Northwest Natural Holding Co. | | Morgan Stanley | | (863) | | (44,045) | | (44,634) | | (2,343) |
| NorthWestern Corp. | | Morgan Stanley | | (639) | | (40,896) | | (38,653) | | 584 |
| OGE Energy Corp. | | Morgan Stanley | | (1,529) | | (57,758) | | (62,353) | | (5,184) |
| ONE Gas, Inc. | | Morgan Stanley | | (594) | | (46,025) | | (52,415) | | (6,680) |
| Ormat Technologies, Inc. | | Morgan Stanley | | (464) | | (39,985) | | (37,969) | | 1,550 |
| Pinnacle West Capital Corp. | | Morgan Stanley | | (2,332) | | (183,760) | | (182,129) | | (3,299) |
| PNM Resources, Inc. | | Morgan Stanley | | (477) | | (22,973) | | (22,739) | | (120) |
| Portland General Electric Co. | | Morgan Stanley | | (829) | | (41,709) | | (45,719) | | (5,284) |
| Public Service Enterprise Group, Inc. | | Morgan Stanley | | (321) | | (21,401) | | (22,470) | | (1,276) |
| SJW Group | | Morgan Stanley | | (473) | | (30,883) | | (32,911) | | (2,839) |
| South Jersey Industries, Inc. | | Morgan Stanley | | (3,102) | | (81,134) | | (107,174) | | (30,664) |
| Southwest Gas Holdings, Inc. | | Morgan Stanley | | (1,233) | | (83,785) | | (96,532) | | (15,021) |
| Spire, Inc. | | Morgan Stanley | | (1,366) | | (93,444) | | (98,024) | | (6,473) |
| Sunnova Energy International, Inc. | | Morgan Stanley | | (2,215) | | (51,858) | | (51,078) | | (133) |
| Vistra Corp. | | Morgan Stanley | | (2,424) | | (46,096) | | (56,358) | | (11,588) |
| Xcel Energy, Inc. | | Morgan Stanley | | (482) | | (33,649) | | (34,786) | | (1,846) |
| | | | | (42,210) | | (1,926,560) | | (2,058,922) | | (181,660) |
|
|
| Total Reference Entity — Short | | | | | | (51,229,755) | | (46,820,038) | | 4,112,003 |
| Net Value of Reference Entity | | | | | | $(39,338,948) | | $(34,167,713) | | $4,954,306 |
| * | Includes $(216,929) related to open trades, dividends receivables/payables and swap receivables/payables activities. |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — 48.3% |
| Automobiles & Components — 0.3% |
| BorgWarner, Inc.(a) | 28,756 | | $ 1,118,608 |
| Ford Motor Co. | 19,468 | | 329,204 |
| General Motors Co.* | 232 | | 10,148 |
| | | | 1,457,960 |
| Banks — 1.4% |
| Bank of America Corp.(a) | 20,963 | | 864,095 |
| Fifth Third Bancorp | 4,911 | | 211,369 |
| First Republic Bank(a) | 5,871 | | 951,689 |
| JPMorgan Chase & Co.(a) | 13,838 | | 1,886,396 |
| People's United Financial, Inc.* | 1,445 | | 28,886 |
| PNC Financial Services Group, Inc. (The)(a) | 4,440 | | 818,958 |
| Signature Bank(a) | 1,853 | | 543,837 |
| SVB Financial Group(a)* | 1,478 | | 826,867 |
| Wells Fargo & Co.(a) | 17,184 | | 832,737 |
| | | | 6,964,834 |
| Capital Goods — 4.4% |
| 3M Co.(a) | 8,943 | | 1,331,434 |
| A.O. Smith Corp.(a) | 10,114 | | 646,183 |
| AMETEK, Inc. | 441 | | 58,732 |
| Caterpillar, Inc.(a) | 1,339 | | 298,356 |
| Cummins, Inc.(a) | 3,713 | | 761,573 |
| Dover Corp.(a) | 6,466 | | 1,014,515 |
| Eaton Corp. PLC (Ireland) | 15,575 | | 2,363,662 |
| Emerson Electric Co.(a) | 1,406 | | 137,858 |
| Fastenal Co. | 3,060 | | 181,764 |
| Fortive Corp. | 1,002 | | 61,052 |
| General Dynamics Corp.(a) | 9,350 | | 2,255,033 |
| General Electric Co. | 1,624 | | 148,596 |
| Howmet Aerospace, Inc.(a) | 8,056 | | 289,533 |
| Ingersoll Rand, Inc.(a) | 9,442 | | 475,405 |
| Johnson Controls International PLC (Ireland) | 2,506 | | 164,318 |
| L3Harris Technologies, Inc.(a) | 4,989 | | 1,239,617 |
| Lockheed Martin Corp.(a) | 5,802 | | 2,561,003 |
| Masco Corp.(a) | 31,425 | | 1,602,675 |
| Nordson Corp.(a) | 3,737 | | 848,598 |
| Northrop Grumman Corp.(a) | 1,591 | | 711,527 |
| Otis Worldwide Corp.(a) | 16,825 | | 1,294,684 |
| Pentair PLC (Ireland) | 16,956 | | 919,185 |
| Roper Technologies, Inc. | 530 | | 250,282 |
| Snap-on, Inc.(a) | 1,781 | | 365,960 |
| Textron, Inc.(a) | 10,444 | | 776,825 |
| Trane Technologies PLC (Ireland) | 6,493 | | 991,481 |
| WW Grainger, Inc.(a) | 1,504 | | 775,748 |
| | | | 22,525,599 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Commercial & Professional Services — 1.0% |
| Cintas Corp.(a) | 559 | | $ 237,793 |
| Jacobs Engineering Group, Inc.(a) | 9,094 | | 1,253,244 |
| Nielsen Holdings PLC (United Kingdom) | 65,977 | | 1,797,213 |
| Republic Services, Inc. | 611 | | 80,958 |
| Robert Half International, Inc.(a) | 5,267 | | 601,386 |
| Waste Management, Inc.(a) | 6,563 | | 1,040,236 |
| | | | 5,010,830 |
| Consumer Durables & Apparel — 0.9% |
| DR Horton, Inc.(a) | 4,356 | | 324,565 |
| Hasbro, Inc. | 1,905 | | 156,058 |
| Lennar Corp., Class A | 862 | | 69,968 |
| Mohawk Industries, Inc.(a)* | 3,669 | | 455,690 |
| Newell Brands, Inc. | 9,977 | | 213,608 |
| NIKE, Inc., Class B | 2,150 | | 289,304 |
| PVH Corp.(a) | 11,688 | | 895,418 |
| Ralph Lauren Corp.(a) | 4,895 | | 555,289 |
| Tapestry, Inc.(a) | 13,513 | | 502,008 |
| Under Armour, Inc., Class C(a)* | 62,710 | | 975,768 |
| Whirlpool Corp.(a) | 2,443 | | 422,101 |
| | | | 4,859,777 |
| Consumer Services — 1.5% |
| Booking Holdings, Inc.(a)* | 290 | | 681,051 |
| Caesars Entertainment, Inc.* | 1,813 | | 140,254 |
| Marriott International, Inc., Class A(a)* | 2,430 | | 427,073 |
| McDonald's Corp.(a) | 8,805 | | 2,177,300 |
| Penn National Gaming, Inc.(a)* | 48,544 | | 2,059,236 |
| Starbucks Corp.(a) | 18,262 | | 1,661,294 |
| Yum! Brands, Inc.(a) | 5,676 | | 672,776 |
| | | | 7,818,984 |
| Diversified Financials — 2.6% |
| American Express Co.(a) | 6,028 | | 1,127,236 |
| Ameriprise Financial, Inc.(a) | 151 | | 45,354 |
| Berkshire Hathaway, Inc., Class B(a)* | 1,384 | | 488,428 |
| BlackRock, Inc.(a) | 2,313 | | 1,767,525 |
| Capital One Financial Corp.(a) | 1,712 | | 224,769 |
| Charles Schwab Corp. (The)(a) | 8,553 | | 721,104 |
| CME Group, Inc.(a) | 3,128 | | 744,026 |
| Franklin Resources, Inc.(a) | 58,658 | | 1,637,731 |
| Intercontinental Exchange, Inc.(a) | 4,911 | | 648,841 |
| Invesco Ltd. (Bermuda) | 28,272 | | 651,952 |
| Moody's Corp.(a) | 2,117 | | 714,297 |
| Nasdaq, Inc.(a) | 7,862 | | 1,401,008 |
| Raymond James Financial, Inc.(a) | 9,420 | | 1,035,352 |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Diversified Financials — (Continued) |
| S&P Global, Inc.(a) | 1,473 | | $ 604,195 |
| T Rowe Price Group, Inc.(a) | 10,008 | | 1,513,110 |
| | | | 13,324,928 |
| Energy — 3.1% |
| APA Corp.(a) | 41,417 | | 1,711,765 |
| EOG Resources, Inc.(a) | 17,389 | | 2,073,290 |
| Exxon Mobil Corp.(a) | 34,453 | | 2,845,473 |
| Halliburton Co.(a) | 28,556 | | 1,081,416 |
| Marathon Oil Corp.(a) | 25,309 | | 635,509 |
| Marathon Petroleum Corp.(a) | 32,746 | | 2,799,783 |
| Occidental Petroleum Corp.(a) | 33,617 | | 1,907,429 |
| ONEOK, Inc.(a) | 21,359 | | 1,508,586 |
| Schlumberger NV (Curacao) | 4,544 | | 187,713 |
| Valero Energy Corp.(a) | 2,486 | | 252,428 |
| Williams Cos., Inc. (The)(a) | 29,462 | | 984,325 |
| | | | 15,987,717 |
| Food & Staples Retailing — 0.4% |
| Kroger Co. (The) | 206 | | 11,818 |
| Walgreens Boots Alliance, Inc.(a) | 9,045 | | 404,945 |
| Walmart, Inc.(a) | 12,570 | | 1,871,924 |
| | | | 2,288,687 |
| Food, Beverage & Tobacco — 2.7% |
| Altria Group, Inc.(a) | 13,156 | | 687,401 |
| Archer-Daniels-Midland Co.(a) | 6,577 | | 593,640 |
| Campbell Soup Co.(a) | 11,130 | | 496,064 |
| Coca-Cola Co. (The)(a) | 23,618 | | 1,464,316 |
| Constellation Brands, Inc., Class A(a) | 5,347 | | 1,231,521 |
| General Mills, Inc.(a) | 18,222 | | 1,233,994 |
| Hershey Co. (The)(a) | 3,645 | | 789,616 |
| J M Smucker Co. (The)(a) | 263 | | 35,613 |
| Kraft Heinz Co. (The)(a) | 33,456 | | 1,317,832 |
| Molson Coors Beverage Co., Class B(a) | 4,761 | | 254,142 |
| Mondelez International, Inc., Class A(a) | 24,469 | | 1,536,164 |
| PepsiCo, Inc.(a) | 7,614 | | 1,274,431 |
| Philip Morris International, Inc.(a) | 9,857 | | 925,967 |
| Tyson Foods, Inc., Class A(a) | 25,348 | | 2,271,941 |
| | | | 14,112,642 |
| Health Care Equipment & Services — 3.1% |
| Abbott Laboratories(a) | 11,552 | | 1,367,295 |
| AmerisourceBergen Corp.(a) | 1,689 | | 261,305 |
| Anthem, Inc.(a) | 4,713 | | 2,315,120 |
| Cerner Corp. | 3,773 | | 353,002 |
| Cigna Corp.(a) | 2,880 | | 690,077 |
| CVS Health Corp. | 2,258 | | 228,532 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Health Care Equipment & Services — (Continued) |
| DENTSPLY SIRONA, Inc.(a) | 20,137 | | $ 991,143 |
| HCA Healthcare, Inc.(a) | 4,157 | | 1,041,827 |
| Hologic, Inc.(a)* | 13,553 | | 1,041,141 |
| Laboratory Corp. of America Holdings(a)* | 1,637 | | 431,611 |
| McKesson Corp.(a) | 6,429 | | 1,968,110 |
| Medtronic PLC (Ireland) | 20,097 | | 2,229,762 |
| Molina Healthcare, Inc.(a)* | 1,786 | | 595,792 |
| Quest Diagnostics, Inc.(a) | 3,410 | | 466,693 |
| Stryker Corp.(a) | 1,433 | | 383,113 |
| UnitedHealth Group, Inc.(a) | 3,244 | | 1,654,343 |
| | | | 16,018,866 |
| Household & Personal Products — 1.0% |
| Colgate-Palmolive Co.(a) | 19,544 | | 1,482,021 |
| Estee Lauder Cos., Inc. (The), Class A | 971 | | 264,423 |
| Kimberly-Clark Corp.(a) | 8,010 | | 986,512 |
| Procter & Gamble Co. (The)(a) | 16,521 | | 2,524,409 |
| | | | 5,257,365 |
| Insurance — 1.4% |
| Aflac, Inc.(a) | 15,944 | | 1,026,634 |
| Allstate Corp. (The) | 678 | | 93,910 |
| Aon PLC, Class A (Ireland) | 2,057 | | 669,821 |
| Assurant, Inc.(a) | 4,540 | | 825,508 |
| Brown & Brown, Inc.(a) | 10,628 | | 768,086 |
| Chubb Ltd. (Switzerland) | 3,402 | | 727,688 |
| Loews Corp.(a) | 5,579 | | 361,631 |
| Marsh & McLennan Cos., Inc.(a) | 3,351 | | 571,077 |
| Principal Financial Group, Inc.(a) | 8,178 | | 600,347 |
| Prudential Financial, Inc.(a) | 5,242 | | 619,447 |
| W R Berkley Corp.(a) | 15,494 | | 1,031,745 |
| | | | 7,295,894 |
| Materials — 2.7% |
| Celanese Corp.(a) | 3,818 | | 545,478 |
| CF Industries Holdings, Inc.(a) | 16,807 | | 1,732,129 |
| Dow, Inc.(a) | 5,871 | | 374,100 |
| DuPont de Nemours, Inc.(a) | 22,956 | | 1,689,103 |
| Eastman Chemical Co.(a) | 16,422 | | 1,840,249 |
| FMC Corp.(a) | 3,496 | | 459,969 |
| Freeport-McMoRan, Inc.(a) | 11,281 | | 561,117 |
| International Paper Co.(a) | 38,164 | | 1,761,269 |
| Linde PLC (Ireland) | 910 | | 290,681 |
| LyondellBasell Industries NV, Class A (Netherlands) | 7,568 | | 778,142 |
| Martin Marietta Materials, Inc. | 135 | | 51,960 |
| Newmont Corp.(a) | 3,322 | | 263,933 |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Materials — (Continued) |
| Nucor Corp.(a) | 4,193 | | $ 623,289 |
| Sealed Air Corp.(a) | 26,906 | | 1,801,626 |
| Sherwin-Williams Co. (The) | 602 | | 150,271 |
| Westrock Co.(a) | 21,036 | | 989,323 |
| | | | 13,912,639 |
| Media & Entertainment — 1.7% |
| Activision Blizzard, Inc.(a) | 13,920 | | 1,115,131 |
| Alphabet, Inc., Class A(a)* | 182 | | 506,206 |
| Charter Communications, Inc., Class A(a)* | 1,298 | | 708,085 |
| Comcast Corp., Class A(a) | 24,200 | | 1,133,044 |
| Electronic Arts, Inc. | 1,124 | | 142,197 |
| Interpublic Group of Cos., Inc. (The) | 7,110 | | 252,050 |
| Meta Platforms, Inc., Class A(a)* | 16,644 | | 3,700,960 |
| Netflix, Inc.(a)* | 1,782 | | 667,519 |
| News Corp., Class A(a) | 18,753 | | 415,379 |
| Omnicom Group, Inc. | 1,652 | | 140,222 |
| Take-Two Interactive Software, Inc.* | 149 | | 22,907 |
| Twitter, Inc.* | 691 | | 26,735 |
| Walt Disney Co. (The)* | 111 | | 15,225 |
| | | | 8,845,660 |
| Pharmaceuticals, Biotechnology & Life Sciences — 3.0% |
| AbbVie, Inc.(a) | 8,042 | | 1,303,689 |
| Agilent Technologies, Inc.(a) | 1,009 | | 133,521 |
| Biogen, Inc.(a)* | 2,804 | | 590,522 |
| Bristol-Myers Squibb Co.(a) | 14,394 | | 1,051,194 |
| Danaher Corp.(a) | 1,281 | | 375,756 |
| Gilead Sciences, Inc.(a) | 10,651 | | 633,202 |
| Illumina, Inc.* | 596 | | 208,242 |
| Incyte Corp.* | 709 | | 56,309 |
| Johnson & Johnson(a) | 9,896 | | 1,753,868 |
| Merck & Co., Inc.(a) | 27,866 | | 2,286,405 |
| Organon & Co.(a) | 48,257 | | 1,685,617 |
| PerkinElmer, Inc. | 56 | | 9,770 |
| Pfizer, Inc.(a) | 18,477 | | 956,554 |
| Regeneron Pharmaceuticals, Inc.(a)* | 2,505 | | 1,749,542 |
| Thermo Fisher Scientific, Inc.(a) | 1,508 | | 890,700 |
| Vertex Pharmaceuticals, Inc.(a)* | 5,185 | | 1,353,130 |
| Waters Corp.(a)* | 919 | | 285,248 |
| | | | 15,323,269 |
| Real Estate — 1.9% |
| Alexandria Real Estate Equities, Inc., REIT(a) | 9,051 | | 1,821,514 |
| American Tower Corp., REIT | 1,257 | | 315,783 |
| AvalonBay Communities, Inc., REIT(a) | 1,674 | | 415,771 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Real Estate — (Continued) |
| CBRE Group, Inc., Class A(a)* | 5,166 | | $ 472,792 |
| Crown Castle International Corp., REIT | 1,561 | | 288,161 |
| Duke Realty Corp., REIT | 261 | | 15,154 |
| Extra Space Storage, Inc., REIT(a) | 2,350 | | 483,160 |
| Healthpeak Properties, Inc., REIT(a) | 2,764 | | 94,888 |
| Mid-America Apartment Communities, Inc., REIT | 1,019 | | 213,429 |
| Prologis, Inc., REIT(a) | 4,661 | | 752,658 |
| Public Storage, REIT(a) | 2,631 | | 1,026,827 |
| Realty Income Corp., REIT(a) | 10,932 | | 757,588 |
| Regency Centers Corp., REIT | 4,327 | | 308,688 |
| SBA Communications Corp., REIT | 447 | | 153,813 |
| Simon Property Group, Inc., REIT(a) | 4,809 | | 632,672 |
| UDR, Inc., REIT(a) | 12,056 | | 691,653 |
| Welltower, Inc., REIT(a) | 5,957 | | 572,706 |
| Weyerhaeuser Co., REIT(a) | 25,752 | | 976,001 |
| | | | 9,993,258 |
| Retailing — 2.5% |
| Advance Auto Parts, Inc. | 147 | | 30,423 |
| Amazon.com, Inc.(a)* | 1,036 | | 3,377,308 |
| AutoZone, Inc.(a)* | 697 | | 1,425,072 |
| Bath & Body Works, Inc.(a) | 19,724 | | 942,807 |
| Best Buy Co., Inc.(a) | 3,400 | | 309,060 |
| Dollar General Corp. | 645 | | 143,596 |
| eBay, Inc.(a) | 18,579 | | 1,063,834 |
| Genuine Parts Co.(a) | 65 | | 8,191 |
| Home Depot, Inc. (The) | 879 | | 263,111 |
| LKQ Corp.(a) | 9,244 | | 419,770 |
| Lowe's Cos., Inc.(a) | 2,230 | | 450,884 |
| O'Reilly Automotive, Inc.(a)* | 1,495 | | 1,024,015 |
| Ross Stores, Inc.(a) | 10,372 | | 938,251 |
| Target Corp.(a) | 7,062 | | 1,498,698 |
| Ulta Beauty, Inc.(a)* | 2,088 | | 831,484 |
| | | | 12,726,504 |
| Semiconductors & Semiconductor Equipment — 2.4% |
| Applied Materials, Inc.(a) | 1,400 | | 184,520 |
| Broadcom, Inc.(a) | 776 | | 488,632 |
| Intel Corp.(a) | 49,059 | | 2,431,364 |
| KLA Corp.(a) | 2,531 | | 926,498 |
| Lam Research Corp.(a) | 1,493 | | 802,652 |
| Micron Technology, Inc.(a) | 19,700 | | 1,534,433 |
| NVIDIA Corp.(a) | 3,134 | | 855,143 |
| NXP Semiconductors NV (Netherlands) | 3,804 | | 704,044 |
| Qorvo, Inc.(a)* | 9,476 | | 1,175,972 |
| QUALCOMM, Inc.(a) | 12,645 | | 1,932,409 |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
Semiconductors & Semiconductor Equipment —
(Continued) |
| SolarEdge Technologies, Inc.* | 20 | | $ 6,447 |
| Teradyne, Inc.(a) | 11,293 | | 1,335,171 |
| | | | 12,377,285 |
| Software & Services — 4.1% |
| Accenture PLC, Class A (Ireland) | 949 | | 320,031 |
| Adobe, Inc.* | 232 | | 105,704 |
| ANSYS, Inc.* | 189 | | 60,036 |
| Autodesk, Inc.(a)* | 1,953 | | 418,625 |
| Cadence Design Systems, Inc.* | 106 | | 17,433 |
| Cognizant Technology Solutions Corp., Class A | 71 | | 6,367 |
| DXC Technology Co.(a)* | 2,224 | | 72,569 |
| EPAM Systems, Inc.* | 18 | | 5,339 |
| Fiserv, Inc.(a)* | 3,958 | | 401,341 |
| FleetCor Technologies, Inc.(a)* | 3,931 | | 979,055 |
| Gartner, Inc.(a)* | 2,630 | | 782,320 |
| International Business Machines Corp.(a) | 6,197 | | 805,734 |
| Intuit, Inc. | 782 | | 376,017 |
| Mastercard, Inc., Class A(a) | 2,801 | | 1,001,021 |
| Microsoft Corp.(a) | 28,893 | | 8,908,001 |
| NortonLifeLock, Inc.(a) | 30,229 | | 801,673 |
| Oracle Corp.(a) | 7,729 | | 639,420 |
| Paychex, Inc.(a) | 4,057 | | 553,659 |
| PayPal Holdings, Inc.(a)* | 12,480 | | 1,443,312 |
| Salesforce, Inc.(a)* | 3,566 | | 757,133 |
| ServiceNow, Inc.* | 557 | | 310,188 |
| Synopsys, Inc.(a)* | 1,570 | | 523,234 |
| VeriSign, Inc.* | 575 | | 127,914 |
| Visa, Inc., Class A(a) | 6,769 | | 1,501,161 |
| | | | 20,917,287 |
| Technology Hardware & Equipment — 1.3% |
| Apple, Inc. | 1,711 | | 298,758 |
| Cisco Systems, Inc.(a) | 13,405 | | 747,463 |
| Corning, Inc.(a) | 23,838 | | 879,861 |
| HP, Inc.(a) | 16,333 | | 592,888 |
| Juniper Networks, Inc. | 7,151 | | 265,731 |
| Keysight Technologies, Inc.(a)* | 5,660 | | 894,110 |
| Motorola Solutions, Inc.(a) | 4,257 | | 1,031,045 |
| NetApp, Inc.(a) | 2,602 | | 215,966 |
| Seagate Technology Holdings PLC (Ireland) | 6,789 | | 610,331 |
| TE Connectivity Ltd. (Switzerland) | 1,485 | | 194,505 |
| Zebra Technologies Corp., Class A(a)* | 2,360 | | 976,332 |
| | | | 6,706,990 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Telecommunication Services — 0.7% |
| AT&T, Inc.(a) | 77,415 | | $ 1,829,316 |
| Lumen Technologies, Inc.(a) | 33,418 | | 376,621 |
| T-Mobile US, Inc.(a)* | 5,638 | | 723,637 |
| Verizon Communications, Inc.(a) | 16,209 | | 825,687 |
| | | | 3,755,261 |
| Transportation — 1.5% |
| Alaska Air Group, Inc.(a)* | 7,041 | | 408,449 |
| CSX Corp.(a) | 20,687 | | 774,728 |
| Expeditors International of Washington, Inc.(a) | 15,868 | | 1,636,943 |
| FedEx Corp.(a) | 7,270 | | 1,682,205 |
| Old Dominion Freight Line, Inc.(a) | 1,937 | | 578,543 |
| Union Pacific Corp.(a) | 4,686 | | 1,280,262 |
| United Parcel Service, Inc., Class B(a) | 7,595 | | 1,628,824 |
| | | | 7,989,954 |
| Utilities — 2.7% |
| AES Corp. (The) | 252 | | 6,484 |
| American Electric Power Co., Inc. | 3,901 | | 389,203 |
| Constellation Energy Corp.(a) | 24,372 | | 1,370,925 |
| DTE Energy Co.(a) | 33,454 | | 4,422,953 |
| Exelon Corp.(a) | 11,429 | | 544,363 |
| NRG Energy, Inc.(a) | 104,439 | | 4,006,280 |
| PPL Corp.(a) | 106,169 | | 3,032,187 |
| | | | 13,772,395 |
TOTAL COMMON STOCKS
(Cost $229,927,788) | | | 249,244,585 |
AFFILIATED EQUITY REGISTERED
INVESTMENT COMPANY — 45.3% | | |
| Gotham Enhanced 500 ETF | 9,510,300 | | 234,069,406 |
TOTAL AFFILIATED EQUITY REGISTERED INVESTMENT COMPANY
(Cost $232,808,996) | | | 234,069,406 |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| EXCHANGE TRADED FUNDS — 0.3% |
| SPDR S&P 500 ETF Trust | 3,596 | | $ 1,624,097 |
TOTAL EXCHANGE TRADED FUNDS
(Cost $1,516,142) | | | 1,624,097 |
TOTAL INVESTMENTS - 93.9%
(Cost $464,252,926) | | | 484,938,088 |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 6.1% | | | 31,682,899 |
| NET ASSETS - 100.0% | | | $ 516,620,987 |
| (a) | Security position is either entirely or partially designated as collateral for total return swaps. (See Note 1 of the Notes to Financial Statements) |
| * | Non-income producing. |
| ETF | Exchange-Traded Fund |
| PLC | Public Limited Company |
| REIT | Real Estate Investment Trust |
| SPDR | Standard & Poor's Depository Receipt |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Over-the-counter total return swaps outstanding as of March 31, 2022
The Fund maintains a portfolio of long and short positions and receives/pays a rebate based upon the Fed Funds 1-Day Rate less a specified spread as negotiated by the parties. The notional gain or loss, dividends payable and rebates are payable the earlier of maturity of the swaps or upon termination. The portfolio matures between July 29, 2024 and January 7, 2027, however underlying individual contracts are entered into and closed (terminated) on a daily basis. The cash amounts payable/receivable due to individual contracts being closed are settled, on a net basis, once a week. The value of total return swaps represents 5.1% of net assets as of March 31, 2022.
The following table represents the individual long and short positions and related values of total return swaps as of March 31, 2022:
Total Return Swaps
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Long | | | | | | | | | | |
| Automobiles & Components | | | | | | | | |
| BorgWarner, Inc. | | Morgan Stanley | | 67,717 | | $ 2,797,347 | | $ 2,634,191 | | $(155,375) |
| Ford Motor Co. | | Morgan Stanley | | 153,335 | | 2,103,414 | | 2,592,895 | | 511,527 |
| General Motors Co. | | Morgan Stanley | | 9,821 | | 403,836 | | 429,571 | | 25,823 |
| | | | | 230,873 | | 5,304,597 | | 5,656,657 | | 381,975 |
| Banks | | | | | | | | |
| Bank of America Corp. | | Morgan Stanley | | 36,758 | | 1,502,116 | | 1,515,165 | | 44,809 |
| Fifth Third Bancorp | | Morgan Stanley | | 11,604 | | 499,174 | | 499,436 | | 10,662 |
| First Republic Bank/CA | | Morgan Stanley | | 8,308 | | 1,222,036 | | 1,346,727 | | 127,536 |
| JPMorgan Chase & Co. | | Morgan Stanley | | 15,283 | | 2,038,801 | | 2,083,379 | | 66,253 |
| People's United Financial, Inc. | | Morgan Stanley | | 1,480 | | 30,109 | | 29,585 | | (31,073) |
| PNC Financial Services Group, Inc. (The) | | Morgan Stanley | | 5,514 | | 1,023,764 | | 1,017,057 | | 40,384 |
| Signature Bank/New York NY | | Morgan Stanley | | 4,008 | | 1,206,509 | | 1,176,308 | | (32,326) |
| SVB Financial Group | | Morgan Stanley | | 3,003 | | 1,500,232 | | 1,680,028 | | 180,188 |
| Wells Fargo & Co. | | Morgan Stanley | | 25,489 | | 1,317,113 | | 1,235,197 | | (73,713) |
| | | | | 111,447 | | 10,339,854 | | 10,582,882 | | 332,720 |
| Capital Goods | | | | | | | | |
| 3M Co. | | Morgan Stanley | | 9,627 | | 1,489,412 | | 1,433,268 | | 38,549 |
| A O Smith Corp. | | Morgan Stanley | | 39,158 | | 2,864,118 | | 2,501,805 | | (355,183) |
| AMETEK, Inc. | | Morgan Stanley | | 1,696 | | 217,733 | | 225,873 | | 8,202 |
| Caterpillar, Inc. | | Morgan Stanley | | 6,884 | | 1,323,226 | | 1,533,893 | | 219,096 |
| Cummins, Inc. | | Morgan Stanley | | 11,492 | | 2,376,848 | | 2,357,124 | | 37,099 |
| Dover Corp. | | Morgan Stanley | | 7,658 | | 1,105,029 | | 1,201,540 | | 112,045 |
| Eaton Corp. PLC (Ireland) | | Morgan Stanley | | 20,717 | | 3,321,514 | | 3,144,012 | | (158,341) |
| Emerson Electric Co. | | Morgan Stanley | | 3,725 | | 330,497 | | 365,236 | | 73,969 |
| Fastenal Co. | | Morgan Stanley | | 7,385 | | 383,103 | | 438,669 | | 59,371 |
| Fortive Corp. | | Morgan Stanley | | 3,378 | | 198,382 | | 205,822 | | 8,360 |
| General Dynamics Corp. | | Morgan Stanley | | 12,145 | | 2,264,945 | | 2,929,131 | | 735,571 |
| General Electric Co. | | Morgan Stanley | | 26,570 | | 2,397,627 | | 2,431,155 | | 35,983 |
| Howmet Aerospace, Inc. | | Morgan Stanley | | 13,026 | | 434,611 | | 468,154 | | 34,792 |
| Ingersoll Rand, Inc. | | Morgan Stanley | | 14,305 | | 711,714 | | 720,257 | | 9,152 |
| Johnson Controls International PLC (Ireland) | | Morgan Stanley | | 20,365 | | 1,260,134 | | 1,335,333 | | 112,215 |
| L3Harris Technologies, Inc. | | Morgan Stanley | | 7,007 | | 1,581,580 | | 1,741,029 | | 172,210 |
| Lockheed Martin Corp. | | Morgan Stanley | | 6,039 | | 2,181,329 | | 2,665,615 | | 525,523 |
| Masco Corp. | | Morgan Stanley | | 36,472 | | 2,241,344 | | 1,860,072 | | (370,740) |
| Nordson Corp. | | Morgan Stanley | | 3,950 | | 893,088 | | 896,966 | | 4,468 |
| Northrop Grumman Corp. | | Morgan Stanley | | 2,758 | | 972,645 | | 1,233,433 | | 279,825 |
| Otis Worldwide Corp. | | Morgan Stanley | | 17,634 | | 1,381,999 | | 1,356,936 | | (21,302) |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Capital Goods — (continued) | | | | | | | | |
| Pentair PLC (Ireland) | | Morgan Stanley | | 36,703 | | $ 2,178,464 | | $ 1,989,670 | | $ (165,286) |
| Roper Technologies, Inc. | | Morgan Stanley | | 200 | | 80,487 | | 94,446 | | 14,589 |
| Snap-on, Inc. | | Morgan Stanley | | 12,834 | | 2,061,806 | | 2,637,130 | | 652,508 |
| Textron, Inc. | | Morgan Stanley | | 13,038 | | 877,268 | | 969,766 | | 93,436 |
| Trane Technologies PLC (Ireland) | | Morgan Stanley | | 6,648 | | 1,019,343 | | 1,015,150 | | (777) |
| WW Grainger, Inc. | | Morgan Stanley | | 1,758 | | 759,564 | | 906,759 | | 161,893 |
| | | | | 343,172 | | 36,907,810 | | 38,658,244 | | 2,317,227 |
| Commercial & Professional Services | | | | | | | | |
| Cintas Corp. | | Morgan Stanley | | 1,144 | | 449,851 | | 486,646 | | 38,425 |
| Jacobs Engineering Group, Inc. | | Morgan Stanley | | 12,207 | | 1,581,769 | | 1,682,247 | | 106,092 |
| Nielsen Holdings PLC (United Kingdom) | | Morgan Stanley | | 78,708 | | 1,504,159 | | 2,144,006 | | 653,278 |
| Republic Services, Inc. | | Morgan Stanley | | 10,656 | | 1,036,330 | | 1,411,920 | | 410,482 |
| Robert Half International, Inc. | | Morgan Stanley | | 7,273 | | 712,872 | | 830,431 | | 146,275 |
| Waste Management, Inc. | | Morgan Stanley | | 7,241 | | 1,079,287 | | 1,147,699 | | 79,145 |
| | | | | 117,229 | | 6,364,268 | | 7,702,949 | | 1,433,697 |
| Consumer Durables & Apparel | | | | | | | | |
| DR Horton, Inc. | | Morgan Stanley | | 12,998 | | 1,110,441 | | 968,481 | | (137,796) |
| Hasbro, Inc. | | Morgan Stanley | | 4,284 | | 379,842 | | 350,945 | | (24,751) |
| Lennar Corp., Class A | | Morgan Stanley | | 1,210 | | 108,977 | | 98,216 | | (8,511) |
| Mohawk Industries, Inc. | | Morgan Stanley | | 8,594 | | 933,518 | | 1,067,375 | | 134,103 |
| Newell Brands, Inc. | | Morgan Stanley | | 21,526 | | 469,552 | | 460,872 | | 17,203 |
| NIKE, Inc., Class B | | Morgan Stanley | | 5,889 | | 609,823 | | 792,424 | | 195,118 |
| PVH Corp. | | Morgan Stanley | | 20,509 | | 1,749,048 | | 1,571,194 | | (176,894) |
| Ralph Lauren Corp. | | Morgan Stanley | | 5,760 | | 653,343 | | 653,414 | | 11,869 |
| Tapestry, Inc. | | Morgan Stanley | | 33,275 | | 1,218,472 | | 1,236,166 | | 35,382 |
| Under Armour, Inc., Class C | | Morgan Stanley | | 71,795 | | 1,100,244 | | 1,117,130 | | 17,175 |
| Whirlpool Corp. | | Morgan Stanley | | 3,689 | | 621,800 | | 637,385 | | 35,668 |
| | | | | 189,529 | | 8,955,060 | | 8,953,602 | | 98,566 |
| Consumer Services | | | | | | | | |
| Booking Holdings, Inc. | | Morgan Stanley | | 879 | | 1,754,685 | | 2,064,288 | | 310,059 |
| Caesars Entertainment, Inc. | | Morgan Stanley | | 7,211 | | 563,731 | | 557,843 | | (5,737) |
| Marriott International, Inc./MD, Class A | | Morgan Stanley | | 2,604 | | 379,056 | | 457,653 | | 79,978 |
| McDonald's Corp. | | Morgan Stanley | | 11,762 | | 2,670,114 | | 2,908,507 | | 348,580 |
| Penn National Gaming, Inc. | | Morgan Stanley | | 61,649 | | 3,112,514 | | 2,615,151 | | (496,558) |
| Starbucks Corp. | | Morgan Stanley | | 20,065 | | 1,809,994 | | 1,825,313 | | 20,876 |
| Yum! Brands, Inc. | | Morgan Stanley | | 23,953 | | 2,325,013 | | 2,839,149 | | 581,359 |
| | | | | 128,123 | | 12,615,107 | | 13,267,904 | | 838,557 |
| Diversified Financials | | | | | | | | |
| American Express Co. | | Morgan Stanley | | 10,238 | | 1,692,208 | | 1,914,506 | | 228,567 |
| Ameriprise Financial, Inc. | | Morgan Stanley | | 813 | | 188,511 | | 244,193 | | 112,621 |
| Berkshire Hathaway, Inc., Class B | | Morgan Stanley | | 15,406 | | 3,273,097 | | 5,436,931 | | 2,164,681 |
| BlackRock, Inc. | | Morgan Stanley | | 4,722 | | 3,613,945 | | 3,608,411 | | 69,504 |
| Capital One Financial Corp. | | Morgan Stanley | | 3,102 | | 409,519 | | 407,262 | | 496 |
| Charles Schwab Corp. (The) | | Morgan Stanley | | 8,894 | | 752,958 | | 749,853 | | (2,354) |
| CME Group, Inc. | | Morgan Stanley | | 9,879 | | 2,348,830 | | 2,349,819 | | 11,460 |
| Franklin Resources, Inc. | | Morgan Stanley | | 81,684 | | 2,486,781 | | 2,280,617 | | (117,348) |
| Intercontinental Exchange, Inc. | | Morgan Stanley | | 7,174 | | 883,380 | | 947,829 | | 75,990 |
| Invesco Ltd. (Bermuda) | | Morgan Stanley | | 98,172 | | 1,191,701 | | 2,263,846 | | 1,175,252 |
| Moody's Corp. | | Morgan Stanley | | 3,110 | | 1,071,990 | | 1,049,345 | | (20,207) |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Diversified Financials — (continued) | | | | | | | | |
| Nasdaq, Inc. | | Morgan Stanley | | 9,412 | | $ 1,560,641 | | $ 1,677,218 | | $ 148,298 |
| Raymond James Financial, Inc. | | Morgan Stanley | | 9,597 | | 830,608 | | 1,054,806 | | 232,752 |
| S&P Global, Inc. | | Morgan Stanley | | 1,910 | | 698,538 | | 783,444 | | 113,917 |
| T Rowe Price Group, Inc. | | Morgan Stanley | | 27,290 | | 4,531,204 | | 4,125,975 | | (265,787) |
| | | | | 291,403 | | 25,533,911 | | 28,894,055 | | 3,927,842 |
| Energy | | | | | | | | |
| APA Corp. | | Morgan Stanley | | 175,297 | | 3,730,234 | | 7,245,025 | | 3,568,523 |
| Chevron Corp. | | Morgan Stanley | | 195 | | 25,579 | | 31,752 | | 6,463 |
| EOG Resources, Inc. | | Morgan Stanley | | 33,715 | | 2,846,733 | | 4,019,839 | | 1,328,889 |
| Exxon Mobil Corp. | | Morgan Stanley | | 35,510 | | 2,031,261 | | 2,932,771 | | 992,116 |
| Halliburton Co. | | Morgan Stanley | | 34,726 | | 777,949 | | 1,315,074 | | 549,128 |
| Marathon Oil Corp. | | Morgan Stanley | | 225,100 | | 2,647,090 | | 5,652,261 | | 3,062,004 |
| Marathon Petroleum Corp. | | Morgan Stanley | | 42,107 | | 2,427,857 | | 3,600,149 | | 1,233,759 |
| Occidental Petroleum Corp. | | Morgan Stanley | | 44,992 | | 1,147,431 | | 2,552,846 | | 1,424,776 |
| ONEOK, Inc. | | Morgan Stanley | | 22,715 | | 1,233,750 | | 1,604,360 | | 408,766 |
| Schlumberger NV (Curacao) | | Morgan Stanley | | 11,186 | | 334,246 | | 462,094 | | 129,866 |
| SPDR S&P 500 ETF Trust | | Morgan Stanley | | 5,295 | | 2,265,896 | | 2,391,434 | | 134,058 |
| Valero Energy Corp. | | Morgan Stanley | | 3,267 | | 238,217 | | 331,731 | | 96,519 |
| Williams Cos., Inc. (The) | | Morgan Stanley | | 31,317 | | 1,019,674 | | 1,046,301 | | 35,790 |
| | | | | 665,422 | | 20,725,917 | | 33,185,637 | | 12,970,657 |
| Food & Staples Retailing | | | | | | | | |
| Costco Wholesale Corp. | | Morgan Stanley | | 490 | | 248,385 | | 282,167 | | 33,852 |
| Kroger Co. (The) | | Morgan Stanley | | 274 | | 11,984 | | 15,719 | | 4,149 |
| Walgreens Boots Alliance, Inc. | | Morgan Stanley | | 9,440 | | 439,055 | | 422,629 | | (3,581) |
| Walmart, Inc. | | Morgan Stanley | | 15,045 | | 1,678,305 | | 2,240,501 | | 649,532 |
| | | | | 25,249 | | 2,377,729 | | 2,961,016 | | 683,952 |
| Food, Beverage & Tobacco | | | | | | | | |
| Altria Group, Inc. | | Morgan Stanley | | 13,818 | | 547,428 | | 721,991 | | 273,782 |
| Archer-Daniels-Midland Co. | | Morgan Stanley | | 11,966 | | 758,039 | | 1,080,051 | | 342,889 |
| Campbell Soup Co. | | Morgan Stanley | | 31,003 | | 1,335,560 | | 1,381,804 | | 55,517 |
| Coca-Cola Co. (The) | | Morgan Stanley | | 36,686 | | 2,027,162 | | 2,274,532 | | 339,760 |
| Constellation Brands, Inc., Class A | | Morgan Stanley | | 5,854 | | 1,185,121 | | 1,348,293 | | 195,634 |
| General Mills, Inc. | | Morgan Stanley | | 24,551 | | 1,465,091 | | 1,662,594 | | 253,270 |
| Hershey Co. (The) | | Morgan Stanley | | 4,596 | | 741,945 | | 995,631 | | 271,256 |
| J M Smucker Co. (The) | | Morgan Stanley | | 402 | | 51,921 | | 54,435 | | 10,772 |
| Kraft Heinz Co. (The) | | Morgan Stanley | | 40,859 | | 1,389,715 | | 1,609,436 | | 281,833 |
| Molson Coors Beverage Co., Class B | | Morgan Stanley | | 6,026 | | 265,962 | | 321,668 | | 61,706 |
| Mondelez International, Inc., Class A | | Morgan Stanley | | 24,973 | | 1,434,012 | | 1,567,805 | | 168,961 |
| PepsiCo, Inc. | | Morgan Stanley | | 8,040 | | 1,210,455 | | 1,345,735 | | 166,401 |
| Philip Morris International, Inc. | | Morgan Stanley | | 10,715 | | 885,474 | | 1,006,567 | | 195,204 |
| Tyson Foods, Inc., Class A | | Morgan Stanley | | 27,310 | | 2,123,650 | | 2,447,795 | | 381,136 |
| | | | | 246,799 | | 15,421,535 | | 17,818,337 | | 2,998,121 |
| Health Care Equipment & Services | | | | | | | | |
| Abbott Laboratories | | Morgan Stanley | | 38,399 | | 4,577,663 | | 4,544,906 | | 19,262 |
| AmerisourceBergen Corp. | | Morgan Stanley | | 14,522 | | 2,022,556 | | 2,246,699 | | 232,057 |
| Anthem, Inc. | | Morgan Stanley | | 5,000 | | 1,945,705 | | 2,456,100 | | 543,704 |
| Cerner Corp. | | Morgan Stanley | | 4,564 | | 372,588 | | 427,008 | | 58,392 |
| Cigna Corp. | | Morgan Stanley | | 5,317 | | 1,187,417 | | 1,274,006 | | 95,120 |
| CVS Health Corp. | | Morgan Stanley | | 22,532 | | 1,700,098 | | 2,280,464 | | 646,746 |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Health Care Equipment & Services — (continued) | | | | | | | | |
| Danaher Corp. | | Morgan Stanley | | 9,056 | | $ 2,325,210 | | $ 2,656,396 | | $ 341,079 |
| DENTSPLY SIRONA, Inc. | | Morgan Stanley | | 21,915 | | 1,116,510 | | 1,078,656 | | (35,380) |
| HCA Healthcare, Inc. | | Morgan Stanley | | 4,802 | | 961,604 | | 1,203,477 | | 280,095 |
| Hologic, Inc. | | Morgan Stanley | | 57,473 | | 3,808,287 | | 4,415,076 | | 607,827 |
| Laboratory Corp. of America Holdings | | Morgan Stanley | | 2,114 | | 512,646 | | 557,377 | | 48,467 |
| McKesson Corp. | | Morgan Stanley | | 9,357 | | 1,887,713 | | 2,864,458 | | 998,386 |
| Medtronic PLC (Ireland) | | Morgan Stanley | | 33,072 | | 3,338,009 | | 3,669,338 | | 421,065 |
| Molina Healthcare, Inc. | | Morgan Stanley | | 1,862 | | 602,474 | | 621,145 | | 18,832 |
| Quest Diagnostics, Inc. | | Morgan Stanley | | 3,899 | | 539,468 | | 533,617 | | (3,188) |
| Stryker Corp. | | Morgan Stanley | | 1,770 | | 450,396 | | 473,210 | | 26,910 |
| UnitedHealth Group, Inc. | | Morgan Stanley | | 8,140 | | 3,215,966 | | 4,151,156 | | 1,023,768 |
| | | | | 243,794 | | 30,564,310 | | 35,453,089 | | 5,323,142 |
| Household & Personal Products | | | | | | | | |
| Colgate-Palmolive Co. | | Morgan Stanley | | 22,851 | | 1,748,474 | | 1,732,791 | | 34,716 |
| Estee Lauder Cos., Inc. (The), Class A | | Morgan Stanley | | 1,795 | | 502,281 | | 488,814 | | (10,818) |
| Kimberly-Clark Corp. | | Morgan Stanley | | 9,366 | | 1,198,435 | | 1,153,517 | | (16,912) |
| Procter & Gamble Co. (The) | | Morgan Stanley | | 18,456 | | 2,615,393 | | 2,820,077 | | 255,403 |
| | | | | 52,468 | | 6,064,583 | | 6,195,199 | | 262,389 |
| Insurance | | | | | | | | |
| Aflac, Inc. | | Morgan Stanley | | 23,827 | | 1,299,023 | | 1,534,221 | | 263,217 |
| Allstate Corp. (The) | | Morgan Stanley | | 3,299 | | 433,762 | | 456,944 | | 25,008 |
| Aon PLC, Class A (Ireland) | | Morgan Stanley | | 3,117 | | 755,190 | | 1,014,989 | | 268,991 |
| Arthur J Gallagher & Co. | | Morgan Stanley | | 329 | | 41,299 | | 57,443 | | 34,232 |
| Assurant, Inc. | | Morgan Stanley | | 11,243 | | 1,839,342 | | 2,044,315 | | 217,013 |
| Brown & Brown, Inc. | | Morgan Stanley | | 11,611 | | 659,868 | | 839,127 | | 181,814 |
| Chubb Ltd. (Switzerland) | | Morgan Stanley | | 4,353 | | 825,373 | | 931,107 | | 111,388 |
| Loews Corp. | | Morgan Stanley | | 6,212 | | 340,087 | | 402,662 | | 63,746 |
| Marsh & McLennan Cos., Inc. | | Morgan Stanley | | 17,537 | | 2,324,483 | | 2,988,656 | | 730,910 |
| Principal Financial Group, Inc. | | Morgan Stanley | | 9,696 | | 688,093 | | 711,783 | | 31,240 |
| Prudential Financial, Inc. | | Morgan Stanley | | 7,090 | | 777,049 | | 837,825 | | 72,939 |
| W R Berkley Corp. | | Morgan Stanley | | 18,551 | | 988,857 | | 1,235,311 | | 256,154 |
| | | | | 116,865 | | 10,972,426 | | 13,054,383 | | 2,256,652 |
| Materials | | | | | | | | |
| Celanese Corp. | | Morgan Stanley | | 5,421 | | 847,518 | | 774,498 | | (69,743) |
| CF Industries Holdings, Inc. | | Morgan Stanley | | 21,416 | | 1,062,215 | | 2,207,133 | | 1,179,382 |
| Dow, Inc. | | Morgan Stanley | | 8,922 | | 496,479 | | 568,510 | | 124,476 |
| DuPont de Nemours, Inc. | | Morgan Stanley | | 34,589 | | 2,619,216 | | 2,545,059 | | (52,720) |
| Eastman Chemical Co. | | Morgan Stanley | | 19,113 | | 2,082,767 | | 2,141,803 | | 85,076 |
| FMC Corp. | | Morgan Stanley | | 9,034 | | 1,007,009 | | 1,188,603 | | 186,712 |
| Freeport-McMoRan, Inc. | | Morgan Stanley | | 20,655 | | 742,526 | | 1,027,380 | | 292,908 |
| International Paper Co. | | Morgan Stanley | | 45,126 | | 1,786,507 | | 2,082,565 | | 331,981 |
| Linde PLC (Ireland) | | Morgan Stanley | | 10,283 | | 2,523,265 | | 3,284,699 | | 819,974 |
| LyondellBasell Industries NV, Class A (Netherlands) | | Morgan Stanley | | 8,482 | | 808,015 | | 872,119 | | 77,225 |
| Martin Marietta Materials, Inc. | | Morgan Stanley | | 152 | | 57,181 | | 58,503 | | 1,436 |
| Mosaic Co. (The) | | Morgan Stanley | | 25,446 | | 837,699 | | 1,692,159 | | 866,831 |
| Newmont Corp. | | Morgan Stanley | | 3,387 | | 185,085 | | 269,097 | | 88,121 |
| Nucor Corp. | | Morgan Stanley | | 11,647 | | 1,072,536 | | 1,731,327 | | 675,959 |
| Sealed Air Corp. | | Morgan Stanley | | 35,003 | | 2,282,590 | | 2,343,801 | | 68,688 |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Materials — (continued) | | | | | | | | |
| Sherwin-Williams Co. (The) | | Morgan Stanley | | 614 | | $ 151,634 | | $ 153,267 | | $ 3,747 |
| Westrock Co. | | Morgan Stanley | | 24,093 | | 1,112,324 | | 1,133,094 | | 28,496 |
| | | | | 283,383 | | 19,674,566 | | 24,073,617 | | 4,708,549 |
| Media & Entertainment | | | | | | | | |
| Activision Blizzard, Inc. | | Morgan Stanley | | 17,431 | | 1,099,319 | | 1,396,397 | | 297,367 |
| Alphabet, Inc., Class A | | Morgan Stanley | | 4,870 | | 6,533,498 | | 13,545,175 | | 7,219,399 |
| Charter Communications, Inc., Class A | | Morgan Stanley | | 4,331 | | 2,382,260 | | 2,362,647 | | (18,995) |
| Comcast Corp., Class A | | Morgan Stanley | | 59,173 | | 2,810,195 | | 2,770,480 | | (21,866) |
| Electronic Arts, Inc. | | Morgan Stanley | | 828 | | 99,432 | | 104,750 | | 6,049 |
| Interpublic Group of Cos., Inc. (The) | | Morgan Stanley | | 41,020 | | 1,268,969 | | 1,454,159 | | 238,431 |
| Meta Platforms, Inc., Class A | | Morgan Stanley | | 29,495 | | 6,647,270 | | 6,558,508 | | (87,048) |
| Netflix, Inc. | | Morgan Stanley | | 4,949 | | 1,983,301 | | 1,853,846 | | (128,939) |
| News Corp., Class A | | Morgan Stanley | | 29,637 | | 644,534 | | 656,460 | | 15,055 |
| Omnicom Group, Inc. | | Morgan Stanley | | 710 | | 52,996 | | 60,265 | | 10,553 |
| Take-Two Interactive Software, Inc. | | Morgan Stanley | | 649 | | 88,974 | | 99,777 | | 10,832 |
| Twitter, Inc. | | Morgan Stanley | | 4,840 | | 156,408 | | 187,260 | | 30,869 |
| Walt Disney Co. (The) | | Morgan Stanley | | 582 | | 78,072 | | 79,827 | | 2,190 |
| | | | | 198,515 | | 23,845,228 | | 31,129,551 | | 7,573,897 |
| Pharmaceuticals, Biotechnology & Life Sciences | | | | | | | | |
| AbbVie, Inc. | | Morgan Stanley | | 11,478 | | 1,262,889 | | 1,860,699 | | 669,648 |
| Agilent Technologies, Inc. | | Morgan Stanley | | 10,793 | | 1,465,637 | | 1,428,238 | | (40,698) |
| Biogen, Inc. | | Morgan Stanley | | 6,755 | | 1,453,697 | | 1,422,603 | | (30,714) |
| Bristol-Myers Squibb Co. | | Morgan Stanley | | 22,797 | | 1,382,430 | | 1,664,865 | | 303,864 |
| Eli Lilly & Co. | | Morgan Stanley | | 625 | | 112,316 | | 178,981 | | 68,956 |
| Gilead Sciences, Inc. | | Morgan Stanley | | 16,689 | | 1,013,483 | | 992,161 | | 17,490 |
| ILLUMINA INC | | Morgan Stanley | | 491 | | 172,002 | | 171,555 | | (396) |
| Incyte Corp. | | Morgan Stanley | | 821 | | 75,911 | | 65,204 | | (10,681) |
| Johnson & Johnson | | Morgan Stanley | | 20,018 | | 2,760,293 | | 3,547,790 | | 998,464 |
| Merck & Co., Inc. | | Morgan Stanley | | 31,690 | | 2,312,602 | | 2,600,165 | | 396,784 |
| Organon & Co. | | Morgan Stanley | | 49,973 | | 1,534,065 | | 1,745,557 | | 244,678 |
| PerkinElmer, Inc. | | Morgan Stanley | | 4,546 | | 607,588 | | 793,095 | | 188,218 |
| Pfizer, Inc. | | Morgan Stanley | | 92,645 | | 3,815,883 | | 4,796,232 | | 1,138,760 |
| Regeneron Pharmaceuticals, Inc. | | Morgan Stanley | | 2,851 | | 1,735,335 | | 1,991,195 | | 256,541 |
| Thermo Fisher Scientific, Inc. | | Morgan Stanley | | 1,611 | | 915,652 | | 951,537 | | 36,347 |
| Vertex Pharmaceuticals, Inc. | | Morgan Stanley | | 5,290 | | 973,923 | | 1,380,531 | | 406,865 |
| Waters Corp. | | Morgan Stanley | | 3,428 | | 970,812 | | 1,064,017 | | 91,903 |
| | | | | 282,501 | | 22,564,518 | | 26,654,425 | | 4,736,029 |
| Real Estate | | | | | | | | |
| Alexandria Real Estate Equities, Inc., REIT | | Morgan Stanley | | 13,870 | | 2,536,492 | | 2,791,338 | | 322,503 |
| American Tower Corp., REIT | | Morgan Stanley | | 1,897 | | 456,972 | | 476,564 | | 28,926 |
| AvalonBay Communities, Inc., REIT | | Morgan Stanley | | 4,438 | | 971,300 | | 1,102,266 | | 157,236 |
| CBRE Group, Inc., Class A | | Morgan Stanley | | 10,354 | | 957,440 | | 947,598 | | (9,590) |
| Crown Castle International Corp., REIT | | Morgan Stanley | | 1,428 | | 237,835 | | 263,609 | | 33,851 |
| Duke Realty Corp., REIT | | Morgan Stanley | | 9,346 | | 396,951 | | 542,629 | | 157,099 |
| Extra Space Storage, Inc., REIT | | Morgan Stanley | | 14,751 | | 2,617,388 | | 3,032,806 | | 458,219 |
| Healthpeak Properties, Inc., REIT | | Morgan Stanley | | 3,151 | | 99,497 | | 108,174 | | 14,912 |
| IRON MOUNTAIN INC, REIT | | Morgan Stanley | | 10,602 | | 403,816 | | 587,457 | | 209,980 |
| Mid-America Apartment Communities, Inc., REIT | | Morgan Stanley | | 7,207 | | 1,270,344 | | 1,509,506 | | 276,091 |
| Prologis, Inc., REIT | | Morgan Stanley | | 6,143 | | 910,868 | | 991,972 | | 87,748 |
| Public Storage, REIT | | Morgan Stanley | | 5,960 | | 1,760,695 | | 2,326,069 | | 626,886 |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Real Estate — (continued) | | | | | | | | |
| Realty Income Corp., REIT | | Morgan Stanley | | 12,635 | | $ 836,787 | | $ 875,606 | | $ 49,760 |
| Regency Centers Corp., REIT | | Morgan Stanley | | 8,667 | | 609,316 | | 618,304 | | 14,983 |
| SBA Communications Corp., REIT | | Morgan Stanley | | 307 | | 90,947 | | 105,639 | | 15,591 |
| Simon Property Group, Inc., REIT | | Morgan Stanley | | 6,231 | | 793,126 | | 819,750 | | 62,341 |
| UDR, Inc., REIT | | Morgan Stanley | | 12,844 | | 698,517 | | 736,860 | | 43,749 |
| Welltower, Inc., REIT | | Morgan Stanley | | 7,138 | | 621,389 | | 686,247 | | 75,240 |
| Weyerhaeuser Co., REIT | | Morgan Stanley | | 69,619 | | 2,561,393 | | 2,638,560 | | 264,688 |
| | | | | 206,588 | | 18,831,073 | | 21,160,954 | | 2,890,213 |
| Retailing | | | | | | | | |
| Advance Auto Parts, Inc. | | Morgan Stanley | | 3,215 | | 548,206 | | 665,376 | | 129,684 |
| Amazon.com, Inc. | | Morgan Stanley | | 3,120 | | 8,086,547 | | 10,171,044 | | 2,086,581 |
| AutoZone, Inc. | | Morgan Stanley | | 1,433 | | 2,409,042 | | 2,929,883 | | 521,466 |
| Bath & Body Works, Inc. | | Morgan Stanley | | 93,398 | | 4,537,346 | | 4,464,424 | | (47,405) |
| Best Buy Co., Inc. | | Morgan Stanley | | 8,939 | | 793,543 | | 812,555 | | 47,803 |
| Dollar General Corp. | | Morgan Stanley | | 1,782 | | 357,550 | | 396,727 | | 44,971 |
| eBay, Inc. | | Morgan Stanley | | 35,872 | | 2,097,841 | | 2,054,031 | | (47,047) |
| Genuine Parts Co. | | Morgan Stanley | | 13,606 | | 1,363,264 | | 1,714,628 | | 421,260 |
| Home Depot, Inc. (The) | | Morgan Stanley | | 8,170 | | 2,354,307 | | 2,445,526 | | 140,651 |
| LKQ Corp. | | Morgan Stanley | | 53,044 | | 2,000,862 | | 2,408,728 | | 428,831 |
| Lowe's Cos., Inc. | | Morgan Stanley | | 4,601 | | 746,101 | | 930,276 | | 189,807 |
| O'Reilly Automotive, Inc. | | Morgan Stanley | | 3,091 | | 1,766,414 | | 2,117,211 | | 352,757 |
| Ross Stores, Inc. | | Morgan Stanley | | 18,866 | | 1,795,631 | | 1,706,618 | | (88,546) |
| Target Corp. | | Morgan Stanley | | 13,572 | | 2,530,425 | | 2,880,250 | | 409,660 |
| Ulta Beauty, Inc. | | Morgan Stanley | | 2,130 | | 824,486 | | 848,209 | | 23,941 |
| | | | | 264,839 | | 32,211,565 | | 36,545,486 | | 4,614,414 |
| Semiconductors & Semiconductor Equipment | | | | | | | | |
| Applied Materials, Inc. | | Morgan Stanley | | 16,300 | | 2,077,321 | | 2,148,340 | | 87,497 |
| Broadcom, Inc. | | Morgan Stanley | | 4,674 | | 2,661,639 | | 2,943,124 | | 305,512 |
| Intel Corp. | | Morgan Stanley | | 66,727 | | 3,185,427 | | 3,306,990 | | 270,747 |
| KLA Corp. | | Morgan Stanley | | 3,972 | | 1,369,225 | | 1,453,990 | | 101,731 |
| Lam Research Corp. | | Morgan Stanley | | 2,196 | | 1,140,946 | | 1,180,592 | | 51,313 |
| Micron Technology, Inc. | | Morgan Stanley | | 30,597 | | 2,265,416 | | 2,383,200 | | 125,185 |
| NVIDIA Corp. | | Morgan Stanley | | 7,641 | | 1,655,622 | | 2,084,923 | | 430,832 |
| NXP Semiconductors NV (Netherlands) | | Morgan Stanley | | 4,370 | | 804,112 | | 808,800 | | 10,612 |
| Qorvo, Inc. | | Morgan Stanley | | 11,204 | | 1,462,679 | | 1,390,416 | | (71,880) |
| QUALCOMM, Inc. | | Morgan Stanley | | 25,974 | | 3,917,084 | | 3,969,347 | | 93,297 |
| SolarEdge Technologies, Inc. | | Morgan Stanley | | 345 | | 90,459 | | 111,218 | | 20,788 |
| Teradyne, Inc. | | Morgan Stanley | | 11,739 | | 1,305,074 | | 1,387,902 | | 84,490 |
| | | | | 185,739 | | 21,935,004 | | 23,168,842 | | 1,510,124 |
| Software & Services | | | | | | | | |
| Accenture PLC, Class A (Ireland) | | Morgan Stanley | | 8,101 | | 2,599,872 | | 2,731,900 | | 141,240 |
| Adobe, Inc. | | Morgan Stanley | | 5,853 | | 2,394,204 | | 2,666,744 | | 273,161 |
| ANSYS, Inc. | | Morgan Stanley | | 415 | | 133,743 | | 131,825 | | (1,877) |
| Autodesk, Inc. | | Morgan Stanley | | 4,866 | | 1,008,156 | | 1,043,027 | | 35,136 |
| Automatic Data Processing, Inc. | | Morgan Stanley | | 11,988 | | 2,266,938 | | 2,727,750 | | 552,959 |
| Cadence Design Systems, Inc. | | Morgan Stanley | | 1,809 | | 205,383 | | 297,508 | | 92,304 |
| Cognizant Technology Solutions Corp., Class A | | Morgan Stanley | | 3,561 | | 231,160 | | 319,315 | | 96,283 |
| DXC Technology Co. | | Morgan Stanley | | 3,056 | | 91,266 | | 99,717 | | 10,550 |
| EPAM Systems, Inc. | | Morgan Stanley | | 375 | | 232,213 | | 111,229 | | (120,918) |
| Fiserv, Inc. | | Morgan Stanley | | 18,287 | | 1,757,319 | | 1,854,302 | | 97,441 |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Software & Services — (continued) | | | | | | | | |
| FleetCor Technologies, Inc. | | Morgan Stanley | | 7,673 | | $ 1,616,694 | | $ 1,911,037 | | $ 300,272 |
| Gartner, Inc. | | Morgan Stanley | | 4,136 | | 1,092,290 | | 1,230,295 | | 139,207 |
| International Business Machines Corp. | | Morgan Stanley | | 7,249 | | 866,932 | | 942,515 | | 100,458 |
| Intuit, Inc. | | Morgan Stanley | | 3,529 | | 1,661,143 | | 1,696,884 | | (3,576) |
| Mastercard, Inc., Class A | | Morgan Stanley | | 3,924 | | 1,151,366 | | 1,402,359 | | 261,884 |
| Microsoft Corp. | | Morgan Stanley | | 32,798 | | 7,923,235 | | 10,111,951 | | 2,316,683 |
| NortonLifeLock, Inc. | | Morgan Stanley | | 32,578 | | 884,042 | | 863,969 | | (19,222) |
| Oracle Corp. | | Morgan Stanley | | 10,749 | | 737,636 | | 889,265 | | 497,290 |
| Paychex, Inc. | | Morgan Stanley | | 18,806 | | 2,002,339 | | 2,566,455 | | 628,066 |
| PayPal Holdings, Inc. | | Morgan Stanley | | 15,454 | | 1,770,579 | | 1,787,255 | | (43,522) |
| salesforce.com, Inc. | | Morgan Stanley | | 7,393 | | 1,517,492 | | 1,569,682 | | 52,586 |
| ServiceNow, Inc. | | Morgan Stanley | | 824 | | 472,562 | | 458,877 | | (13,557) |
| Synopsys, Inc. | | Morgan Stanley | | 2,167 | | 636,172 | | 722,196 | | 86,194 |
| VeriSign, Inc. | | Morgan Stanley | | 1,143 | | 229,797 | | 254,272 | | 48,435 |
| Visa, Inc., Class A | | Morgan Stanley | | 7,746 | | 1,532,605 | | 1,717,830 | | 207,903 |
| | | | | 214,480 | | 35,015,138 | | 40,108,159 | | 5,735,380 |
| Technology Hardware & Equipment | | | | | | | | |
| Apple, Inc. | | Morgan Stanley | | 117,172 | | 9,542,501 | | 20,459,403 | | 11,203,139 |
| Cisco Systems, Inc. | | Morgan Stanley | | 77,642 | | 3,530,475 | | 4,329,318 | | 954,517 |
| Corning, Inc. | | Morgan Stanley | | 37,675 | | 1,448,869 | | 1,390,584 | | (43,285) |
| HP, Inc. | | Morgan Stanley | | 89,207 | | 2,101,664 | | 3,238,214 | | 1,254,699 |
| Juniper Networks, Inc. | | Morgan Stanley | | 31,397 | | 897,920 | | 1,166,713 | | 299,419 |
| Keysight Technologies, Inc. | | Morgan Stanley | | 9,558 | | 1,590,053 | | 1,509,877 | | (80,597) |
| Motorola Solutions, Inc. | | Morgan Stanley | | 5,094 | | 1,208,420 | | 1,233,767 | | 29,877 |
| NetApp, Inc. | | Morgan Stanley | | 2,649 | | 202,477 | | 219,867 | | 27,706 |
| Seagate Technology Holdings PLC (Ireland) | | Morgan Stanley | | 15,489 | | 1,305,605 | | 1,392,461 | | 114,127 |
| TE Connectivity Ltd. (Switzerland) | | Morgan Stanley | | 8,801 | | 918,942 | | 1,152,755 | | 267,060 |
| Zebra Technologies Corp., Class A | | Morgan Stanley | | 2,428 | | 1,005,697 | | 1,004,464 | | (2,326) |
| | | | | 397,112 | | 23,752,623 | | 37,097,423 | | 14,024,336 |
| Telecommunication Services | | | | | | | | |
| AT&T, Inc. | | Morgan Stanley | | 12,109 | | 295,187 | | 286,136 | | (7,646) |
| Lumen Technologies, Inc. | | Morgan Stanley | | 48,397 | | 527,446 | | 545,434 | | 46,394 |
| T-Mobile US, Inc. | | Morgan Stanley | | 7,441 | | 873,446 | | 955,052 | | 81,836 |
| Verizon Communications, Inc. | | Morgan Stanley | | 18,529 | | 955,073 | | 943,867 | | 81,393 |
| | | | | 86,476 | | 2,651,152 | | 2,730,489 | | 201,977 |
| Transportation | | | | | | | | |
| Alaska Air Group, Inc. | | Morgan Stanley | | 18,772 | | 975,522 | | 1,088,964 | | 113,699 |
| CSX Corp. | | Morgan Stanley | | 21,921 | | 705,217 | | 820,941 | | 136,494 |
| Expeditors International of Washington, Inc. | | Morgan Stanley | | 25,090 | | 2,765,452 | | 2,588,284 | | (158,173) |
| FedEx Corp. | | Morgan Stanley | | 9,381 | | 2,062,883 | | 2,170,670 | | 113,655 |
| Old Dominion Freight Line, Inc. | | Morgan Stanley | | 3,294 | | 1,023,784 | | 983,852 | | (38,829) |
| Union Pacific Corp. | | Morgan Stanley | | 5,170 | | 1,094,375 | | 1,412,496 | | 333,572 |
| United Parcel Service, Inc., Class B | | Morgan Stanley | | 8,809 | | 1,591,920 | | 1,889,178 | | 343,116 |
| | | | | 92,437 | | 10,219,153 | | 10,954,385 | | 843,534 |
| Utilities | | | | | | | | |
| AES Corp. (The) | | Morgan Stanley | | 54,247 | | 1,180,717 | | 1,395,775 | | 217,710 |
| American Electric Power Co., Inc. | | Morgan Stanley | | 12,393 | | 1,185,053 | | 1,236,450 | | 51,707 |
| Constellation Energy Corp. | | Morgan Stanley | | 49,324 | | 2,195,988 | | 2,774,475 | | 589,764 |
| DTE Energy Co. | | Morgan Stanley | | 35,353 | | 3,964,405 | | 4,674,020 | | 771,310 |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Utilities — (continued) | | | | | | | | |
| Exelon Corp. | | Morgan Stanley | | 10,470 | | $ 335,351 | | $ 498,686 | | $ 236,289 |
| NRG Energy, Inc. | | Morgan Stanley | | 117,889 | | 3,822,683 | | 4,522,222 | | 868,734 |
| PPL Corp. | | Morgan Stanley | | 112,890 | | 3,269,226 | | 3,224,138 | | 60,458 |
| | | | | 392,566 | | 15,953,423 | | 18,325,766 | | 2,795,972 |
|
|
| Total Reference Entity — Long | | | | | | 418,800,550 | | 494,333,051 | | 83,459,922 |
| Short | | | | | | | | | | |
| Automobiles & Components | | | | | | | | |
| Aptiv PLC (Jersey) | | Morgan Stanley | | (26,097) | | (3,564,717) | | (3,124,072) | | 428,782 |
| Banks | | | | | | | | |
| Citigroup, Inc. | | Morgan Stanley | | (14,995) | | (951,263) | | (800,733) | | 142,797 |
| Citizens Financial Group, Inc. | | Morgan Stanley | | (45,838) | | (2,342,256) | | (2,077,837) | | 250,897 |
| Comerica, Inc. | | Morgan Stanley | | (15,222) | | (1,438,967) | | (1,376,525) | | 48,669 |
| Huntington Bancshares, Inc./OH | | Morgan Stanley | | (44,864) | | (708,340) | | (655,912) | | 34,213 |
| KeyCorp. | | Morgan Stanley | | (46,586) | | (1,135,375) | | (1,042,595) | | 76,805 |
| M&T Bank Corp. | | Morgan Stanley | | (12,417) | | (2,166,341) | | (2,104,681) | | (18,946) |
| Regions Financial Corp. | | Morgan Stanley | | (89,358) | | (2,149,480) | | (1,989,109) | | 133,059 |
| Truist Financial Corp. | | Morgan Stanley | | (39,329) | | (2,435,230) | | (2,229,954) | | 187,356 |
| US Bancorp | | Morgan Stanley | | (45,781) | | (2,549,668) | | (2,433,260) | | 86,053 |
| Zions Bancorp NA | | Morgan Stanley | | (20,534) | | (1,376,072) | | (1,346,209) | | 16,652 |
| | | | | (374,924) | | (17,252,992) | | (16,056,815) | | 957,555 |
| Capital Goods | | | | | | | | |
| Allegion PLC (Ireland) | | Morgan Stanley | | (23,240) | | (2,642,680) | | (2,551,287) | | 73,189 |
| Boeing Co. (The) | | Morgan Stanley | | (22,778) | | (6,165,293) | | (4,361,987) | | 1,738,920 |
| Carrier Global Corp. | | Morgan Stanley | | (63,426) | | (3,127,953) | | (2,909,351) | | 204,678 |
| Deere & Co. | | Morgan Stanley | | (264) | | (103,331) | | (109,681) | | (7,720) |
| Fortune Brands Home & Security, Inc. | | Morgan Stanley | | (6,126) | | (649,982) | | (455,039) | | 190,328 |
| Generac Holdings, Inc. | | Morgan Stanley | | (12,352) | | (4,979,149) | | (3,671,756) | | 1,290,821 |
| Honeywell International, Inc. | | Morgan Stanley | | (1,358) | | (263,076) | | (264,240) | | (4,442) |
| Huntington Ingalls Industries, Inc. | | Morgan Stanley | | (29,636) | | (5,591,307) | | (5,910,604) | | (376,038) |
| IDEX Corp. | | Morgan Stanley | | (10,485) | | (2,370,938) | | (2,010,289) | | 337,036 |
| Illinois Tool Works, Inc. | | Morgan Stanley | | (4,880) | | (1,090,554) | | (1,021,872) | | 59,350 |
| PACCAR, Inc. | | Morgan Stanley | | (24,641) | | (2,264,332) | | (2,170,133) | | 25,426 |
| Parker-Hannifin Corp. | | Morgan Stanley | | (1,416) | | (445,758) | | (401,804) | | 42,710 |
| Quanta Services, Inc. | | Morgan Stanley | | (6,947) | | (772,504) | | (914,295) | | (144,692) |
| Raytheon Technologies Corp. | | Morgan Stanley | | (20,807) | | (1,949,197) | | (2,061,349) | | (143,533) |
| Rockwell Automation, Inc. | | Morgan Stanley | | (8,559) | | (2,635,377) | | (2,396,777) | | 217,981 |
| Stanley Black & Decker, Inc. | | Morgan Stanley | | (36,326) | | (6,385,968) | | (5,078,012) | | 1,259,240 |
| TransDigm Group, Inc. | | Morgan Stanley | | (5,443) | | (3,416,859) | | (3,546,332) | | (140,844) |
| United Rentals, Inc. | | Morgan Stanley | | (8,601) | | (2,784,725) | | (3,055,161) | | (279,702) |
| Westinghouse Air Brake Technologies Corp. | | Morgan Stanley | | (16,945) | | (1,602,446) | | (1,629,601) | | (32,764) |
| Xylem, Inc./NY | | Morgan Stanley | | (29,376) | | (3,608,547) | | (2,504,598) | | 1,070,433 |
| | | | | (333,606) | | (52,849,976) | | (47,024,168) | | 5,380,377 |
| Commercial & Professional Services | | | | | | | | |
| Copart, Inc. | | Morgan Stanley | | (4,759) | | (596,698) | | (597,112) | | (2,394) |
| Equifax, Inc. | | Morgan Stanley | | (9,180) | | (2,302,969) | | (2,176,578) | | 115,298 |
| Leidos Holdings, Inc. | | Morgan Stanley | | (15,510) | | (1,551,401) | | (1,675,390) | | (135,130) |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Commercial & Professional Services — (continued) | | | | | | | | |
| Rollins, Inc. | | Morgan Stanley | | (97,250) | | $ (3,568,829) | | $ (3,408,612) | | $ 103,744 |
| Verisk Analytics, Inc. | | Morgan Stanley | | (10,590) | | (2,151,329) | | (2,272,932) | | (136,565) |
| | | | | (137,289) | | (10,171,226) | | (10,130,624) | | (55,047) |
| Consumer Durables & Apparel | | | | | | | | |
| Garmin Ltd. (Switzerland) | | Morgan Stanley | | (3,579) | | (397,238) | | (424,505) | | (30,919) |
| NVR, Inc. | | Morgan Stanley | | (455) | | (2,398,735) | | (2,032,608) | | 358,147 |
| PulteGroup, Inc. | | Morgan Stanley | | (18,397) | | (981,893) | | (770,834) | | 201,871 |
| VF Corp. | | Morgan Stanley | | (11,509) | | (985,258) | | (654,402) | | 307,851 |
| | | | | (33,940) | | (4,763,124) | | (3,882,349) | | 836,950 |
| Consumer Services | | | | | | | | |
| Carnival Corp. (Panama) | | Morgan Stanley | | (48,169) | | (1,369,719) | | (973,977) | | 391,187 |
| Chipotle Mexican Grill, Inc. | | Morgan Stanley | | (2,355) | | (3,807,410) | | (3,725,681) | | 54,087 |
| Darden Restaurants, Inc. | | Morgan Stanley | | (26,757) | | (3,882,949) | | (3,557,343) | | 270,881 |
| Domino's Pizza, Inc. | | Morgan Stanley | | (5,857) | | (2,759,323) | | (2,383,858) | | 352,036 |
| Expedia Group, Inc. | | Morgan Stanley | | (6,766) | | (1,217,042) | | (1,323,903) | | (110,922) |
| Hilton Worldwide Holdings, Inc. | | Morgan Stanley | | (11,693) | | (1,722,575) | | (1,774,296) | | (57,450) |
| Las Vegas Sands Corp. | | Morgan Stanley | | (42,367) | | (1,808,302) | | (1,646,805) | | 155,482 |
| MGM Resorts International | | Morgan Stanley | | (54,647) | | (2,380,317) | | (2,291,895) | | 80,196 |
| Norwegian Cruise Line Holdings Ltd. (Bermuda) | | Morgan Stanley | | (24,655) | | (802,064) | | (539,451) | | 259,948 |
| Royal Caribbean Cruises Ltd. (Liberia) | | Morgan Stanley | | (21,428) | | (2,029,582) | | (1,795,238) | | 222,763 |
| Wynn Resorts Ltd. | | Morgan Stanley | | (22,288) | | (2,390,372) | | (1,777,245) | | 572,840 |
| | | | | (266,982) | | (24,169,655) | | (21,789,692) | | 2,191,048 |
| Diversified Financials | | | | | | | | |
| Bank of New York Mellon Corp. (The) | | Morgan Stanley | | (63,167) | | (3,560,552) | | (3,134,978) | | 400,286 |
| Cboe Global Markets, Inc. | | Morgan Stanley | | (4,593) | | (570,296) | | (525,531) | | 31,656 |
| Discover Financial Services | | Morgan Stanley | | (17,368) | | (2,020,919) | | (1,913,780) | | 93,068 |
| FactSet Research Systems, Inc. | | Morgan Stanley | | (4,847) | | (2,186,213) | | (2,104,325) | | 72,060 |
| Goldman Sachs Group, Inc. (The) | | Morgan Stanley | | (4,655) | | (1,652,810) | | (1,536,615) | | 102,921 |
| MarketAxess Holdings, Inc. | | Morgan Stanley | | (10,906) | | (5,117,261) | | (3,710,221) | | 1,366,101 |
| MSCI, Inc. | | Morgan Stanley | | (4,818) | | (2,841,045) | | (2,422,876) | | 403,559 |
| Northern Trust Corp. | | Morgan Stanley | | (40,457) | | (4,669,553) | | (4,711,218) | | (147,216) |
| State Street Corp. | | Morgan Stanley | | (48,950) | | (4,447,770) | | (4,264,524) | | 44,685 |
| Synchrony Financial | | Morgan Stanley | | (56,058) | | (2,682,453) | | (1,951,379) | | 713,559 |
| | | | | (255,819) | | (29,748,872) | | (26,275,447) | | 3,080,679 |
| Energy | | | | | | | | |
| Baker Hughes Co. | | Morgan Stanley | | (32,418) | | (967,198) | | (1,180,339) | | (222,459) |
| ConocoPhillips | | Morgan Stanley | | (37,995) | | (3,565,918) | | (3,799,500) | | (272,316) |
| Coterra Energy, Inc. | | Morgan Stanley | | (228,271) | | (5,365,114) | | (6,156,469) | | (929,910) |
| Devon Energy Corp. | | Morgan Stanley | | (39,851) | | (1,873,093) | | (2,356,390) | | (502,753) |
| Diamondback Energy, Inc. | | Morgan Stanley | | (15,610) | | (1,720,765) | | (2,139,819) | | (455,394) |
| Hess Corp. | | Morgan Stanley | | (41,167) | | (3,586,935) | | (4,406,516) | | (853,112) |
| Kinder Morgan, Inc. | | Morgan Stanley | | (237,527) | | (4,051,135) | | (4,491,636) | | (480,523) |
| Phillips 66 | | Morgan Stanley | | (30,258) | | (2,484,204) | | (2,613,989) | | (168,314) |
| Pioneer Natural Resources Co. | | Morgan Stanley | | (183) | | (42,902) | | (45,755) | | (4,835) |
| | | | | (663,280) | | (23,657,264) | | (27,190,413) | | (3,889,616) |
| Food & Staples Retailing | | | | | | | | |
| Sysco Corp. | | Morgan Stanley | | (10,503) | | (841,683) | | (857,570) | | (27,665) |
| Food, Beverage & Tobacco | | | | | | | | |
| Brown-Forman Corp., Class B | | Morgan Stanley | | (27,881) | | (2,129,583) | | (1,868,585) | | 206,039 |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Food, Beverage & Tobacco — (continued) | | | | | | | | |
| Conagra Brands, Inc. | | Morgan Stanley | | (109,816) | | $ (3,749,582) | | $ (3,686,523) | | $ 10,313 |
| Hormel Foods Corp. | | Morgan Stanley | | (20,070) | | (1,003,760) | | (1,034,408) | | (82,262) |
| Kellogg Co. | | Morgan Stanley | | (34,883) | | (2,139,764) | | (2,249,605) | | (115,598) |
| Lamb Weston Holdings, Inc. | | Morgan Stanley | | (59,360) | | (4,826,456) | | (3,556,258) | | 1,222,157 |
| McCormick & Co., Inc./MD, non-voting shares | | Morgan Stanley | | (30,694) | | (2,944,956) | | (3,063,261) | | (154,088) |
| Monster Beverage Corp. | | Morgan Stanley | | (28,345) | | (2,659,219) | | (2,264,765) | | 385,605 |
| | | | | (311,049) | | (19,453,320) | | (17,723,405) | | 1,472,166 |
| Health Care Equipment & Services | | | | | | | | |
| ABIOMED, Inc. | | Morgan Stanley | | (7,765) | | (2,433,709) | | (2,572,079) | | (150,805) |
| Align Technology, Inc. | | Morgan Stanley | | (2,111) | | (1,372,352) | | (920,396) | | 447,393 |
| Baxter International, Inc. | | Morgan Stanley | | (44,713) | | (3,743,887) | | (3,467,046) | | 264,529 |
| Becton Dickinson and Co. | | Morgan Stanley | | (11,357) | | (2,951,915) | | (3,020,962) | | (74,368) |
| Boston Scientific Corp. | | Morgan Stanley | | (57,494) | | (2,491,753) | | (2,546,409) | | (62,947) |
| Cardinal Health, Inc. | | Morgan Stanley | | (92,615) | | (4,845,570) | | (5,251,270) | | (502,441) |
| Centene Corp. | | Morgan Stanley | | (17,085) | | (1,425,802) | | (1,438,386) | | (19,015) |
| Cooper Cos., Inc. (The) | | Morgan Stanley | | (6,961) | | (2,787,454) | | (2,906,844) | | (128,831) |
| DaVita, Inc. | | Morgan Stanley | | (7,311) | | (789,832) | | (826,947) | | (43,449) |
| Dexcom, Inc. | | Morgan Stanley | | (1,920) | | (1,038,488) | | (982,272) | | 52,401 |
| Edwards Lifesciences Corp. | | Morgan Stanley | | (4,129) | | (492,745) | | (486,066) | | 5,045 |
| Henry Schein, Inc. | | Morgan Stanley | | (11,595) | | (987,774) | | (1,010,968) | | (26,477) |
| Humana, Inc. | | Morgan Stanley | | (12,610) | | (5,537,138) | | (5,487,494) | | 10,290 |
| IDEXX Laboratories, Inc. | | Morgan Stanley | | (3,879) | | (2,448,637) | | (2,122,046) | | 318,178 |
| Intuitive Surgical, Inc. | | Morgan Stanley | | (4,194) | | (1,455,832) | | (1,265,246) | | 185,745 |
| ResMed, Inc. | | Morgan Stanley | | (4,876) | | (1,275,267) | | (1,182,479) | | 85,257 |
| STERIS PLC (Ireland) | | Morgan Stanley | | (8,474) | | (1,893,593) | | (2,048,759) | | (167,957) |
| Teleflex, Inc. | | Morgan Stanley | | (766) | | (318,827) | | (271,800) | | 45,122 |
| Universal Health Services, Inc., Class B | | Morgan Stanley | | (4,427) | | (686,586) | | (641,694) | | 51,068 |
| Zimmer Biomet Holdings, Inc. | | Morgan Stanley | | (20,561) | | (3,022,799) | | (2,629,752) | | 369,242 |
| | | | | (324,843) | | (41,999,960) | | (41,078,915) | | 657,980 |
| Household & Personal Products | | | | | | | | |
| Church & Dwight Co., Inc. | | Morgan Stanley | | (22,879) | | (2,235,164) | | (2,273,715) | | (55,749) |
| Clorox Co. (The) | | Morgan Stanley | | (38,455) | | (6,612,491) | | (5,346,399) | | 1,174,472 |
| | | | | (61,334) | | (8,847,655) | | (7,620,114) | | 1,118,723 |
| Insurance | | | | | | | | |
| American International Group, Inc. | | Morgan Stanley | | (10,860) | | (676,469) | | (681,682) | | (7,459) |
| Cincinnati Financial Corp. | | Morgan Stanley | | (12,410) | | (1,531,083) | | (1,687,264) | | (172,842) |
| Everest Re Group Ltd. (Bermuda) | | Morgan Stanley | | (1,299) | | (374,516) | | (391,493) | | (19,859) |
| Globe Life, Inc. | | Morgan Stanley | | (15,465) | | (1,500,280) | | (1,555,779) | | (68,246) |
| Hartford Financial Services Group, Inc. (The) | | Morgan Stanley | | (34,077) | | (2,367,818) | | (2,447,069) | | (93,203) |
| Lincoln National Corp. | | Morgan Stanley | | (38,327) | | (2,691,508) | | (2,505,053) | | 149,222 |
| MetLife, Inc. | | Morgan Stanley | | (27,654) | | (1,906,041) | | (1,943,523) | | (47,671) |
| Progressive Corp. (The) | | Morgan Stanley | | (5,066) | | (554,771) | | (577,473) | | (58,688) |
| Travelers Cos., Inc. (The) | | Morgan Stanley | | (5,087) | | (875,179) | | (929,548) | | (61,220) |
| Willis Towers Watson PLC (Ireland) | | Morgan Stanley | | (8,663) | | (2,104,930) | | (2,046,374) | | 35,551 |
| | | | | (158,908) | | (14,582,595) | | (14,765,258) | | (344,415) |
| Materials | | | | | | | | |
| Air Products and Chemicals, Inc. | | Morgan Stanley | | (8,698) | | (2,559,426) | | (2,173,717) | | 332,612 |
| Albemarle Corp. | | Morgan Stanley | | (17,982) | | (4,048,144) | | (3,976,719) | | 18,135 |
| Amcor PLC (Jersey) | | Morgan Stanley | | (354,884) | | (4,236,389) | | (4,020,836) | | 104,819 |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Materials — (continued) | | | | | | | | |
| Avery Dennison Corp. | | Morgan Stanley | | (5,019) | | $ (886,597) | | $ (873,155) | | $ 7,990 |
| Ball Corp. | | Morgan Stanley | | (15,507) | | (1,421,620) | | (1,395,630) | | 12,349 |
| Corteva, Inc. | | Morgan Stanley | | (28,596) | | (1,359,343) | | (1,643,698) | | (294,483) |
| Ecolab, Inc. | | Morgan Stanley | | (12,171) | | (2,757,204) | | (2,148,912) | | 580,429 |
| International Flavors & Fragrances, Inc. | | Morgan Stanley | | (23,440) | | (3,341,634) | | (3,078,375) | | 204,450 |
| Packaging Corp. of America | | Morgan Stanley | | (20,453) | | (2,958,990) | | (3,192,918) | | (266,853) |
| PPG Industries, Inc. | | Morgan Stanley | | (432) | | (75,372) | | (56,622) | | 18,250 |
| Vulcan Materials Co. | | Morgan Stanley | | (10,572) | | (1,968,827) | | (1,942,076) | | 11,378 |
| | | | | (497,754) | | (25,613,546) | | (24,502,658) | | 729,076 |
| Media & Entertainment | | | | | | | | |
| Discovery, Inc., Class A | | Morgan Stanley | | (26,746) | | (1,167,565) | | (666,510) | | 497,183 |
| DISH Network Corp., Class A | | Morgan Stanley | | (108,992) | | (3,398,126) | | (3,449,597) | | (62,779) |
| Fox Corp., Class A | | Morgan Stanley | | (39,928) | | (1,594,458) | | (1,575,160) | | 13,996 |
| Live Nation Entertainment, Inc. | | Morgan Stanley | | (13,721) | | (1,346,021) | | (1,614,138) | | (272,593) |
| Match Group, Inc. | | Morgan Stanley | | (43,245) | | (6,143,239) | | (4,702,461) | | 1,417,990 |
| Paramount Global, Class B | | Morgan Stanley | | (18,204) | | (688,519) | | (688,293) | | (2,142) |
| | | | | (250,836) | | (14,337,928) | | (12,696,159) | | 1,591,655 |
| Pharmaceuticals, Biotechnology & Life Sciences | | | | | | | | |
| Amgen, Inc. | | Morgan Stanley | | (3,334) | | (772,736) | | (806,228) | | (39,019) |
| Bio-Rad Laboratories, Inc., Class A | | Morgan Stanley | | (2,498) | | (1,679,899) | | (1,406,949) | | 267,363 |
| Bio-Techne Corp. | | Morgan Stanley | | (6,847) | | (3,310,600) | | (2,965,025) | | 330,991 |
| Catalent, Inc. | | Morgan Stanley | | (53,169) | | (6,012,037) | | (5,896,442) | | 93,836 |
| Charles River Laboratories International, Inc. | | Morgan Stanley | | (6,425) | | (2,327,262) | | (1,824,507) | | 495,012 |
| IQVIA Holdings, Inc. | | Morgan Stanley | | (8,437) | | (2,082,375) | | (1,950,719) | | 124,729 |
| Mettler-Toledo International, Inc. | | Morgan Stanley | | (736) | | (1,042,535) | | (1,010,668) | | 28,402 |
| Moderna, Inc. | | Morgan Stanley | | (5,844) | | (2,441,799) | | (1,006,687) | | 1,426,987 |
| Viatris, Inc. | | Morgan Stanley | | (132,319) | | (1,951,077) | | (1,439,631) | | 473,365 |
| West Pharmaceutical Services, Inc. | | Morgan Stanley | | (3,723) | | (1,610,687) | | (1,529,073) | | 75,609 |
| Zoetis, Inc. | | Morgan Stanley | | (12,269) | | (2,516,013) | | (2,313,811) | | 189,657 |
| | | | | (235,601) | | (25,747,020) | | (22,149,740) | | 3,466,932 |
| Real Estate | | | | | | | | |
| Boston Properties, Inc., REIT | | Morgan Stanley | | (14,477) | | (1,741,072) | | (1,864,638) | | (172,546) |
| Digital Realty Trust, Inc., REIT | | Morgan Stanley | | (15,072) | | (2,256,659) | | (2,137,210) | | 82,719 |
| Equinix, Inc., REIT | | Morgan Stanley | | (9,262) | | (7,143,264) | | (6,868,884) | | 157,467 |
| Equity Residential, REIT | | Morgan Stanley | | (13,201) | | (1,157,150) | | (1,187,034) | | (48,990) |
| Essex Property Trust, Inc., REIT | | Morgan Stanley | | (3,781) | | (1,295,868) | | (1,306,260) | | (27,525) |
| Federal Realty Investment Trust, REIT | | Morgan Stanley | | (8,661) | | (1,071,939) | | (1,057,248) | | 3,039 |
| Host Hotels & Resorts, Inc., REIT | | Morgan Stanley | | (25,834) | | (464,241) | | (501,955) | | (61,072) |
| Kimco Realty Corp., REIT | | Morgan Stanley | | (86,680) | | (2,110,452) | | (2,140,996) | | (67,897) |
| Ventas, Inc., REIT | | Morgan Stanley | | (29,407) | | (1,669,243) | | (1,816,176) | | (244,918) |
| Vornado Realty Trust, REIT | | Morgan Stanley | | (65,433) | | (3,482,877) | | (2,965,424) | | 325,652 |
| | | | | (271,808) | | (22,392,765) | | (21,845,825) | | (54,071) |
| Retailing | | | | | | | | |
| CarMax, Inc. | | Morgan Stanley | | (60,300) | | (7,428,456) | | (5,817,744) | | 1,585,984 |
| Dollar Tree, Inc. | | Morgan Stanley | | (21,916) | | (2,929,887) | | (3,509,847) | | (634,459) |
| Etsy, Inc. | | Morgan Stanley | | (31,189) | | (6,226,799) | | (3,876,169) | | 2,329,903 |
| Pool Corp. | | Morgan Stanley | | (9,656) | | (4,279,747) | | (4,083,040) | | 161,043 |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Retailing — (continued) | | | | | | | | |
| TJX Cos., Inc. (The) | | Morgan Stanley | | (11,096) | | $ (732,899) | | $ (672,196) | | $ 57,356 |
| Tractor Supply Co. | | Morgan Stanley | | (25,828) | | (5,671,510) | | (6,027,480) | | (393,818) |
| | | | | (159,985) | | (27,269,298) | | (23,986,476) | | 3,106,009 |
| Semiconductors & Semiconductor Equipment | | | | | | | | |
| Advanced Micro Devices, Inc. | | Morgan Stanley | | (6,575) | | (807,182) | | (718,911) | | 85,094 |
| Analog Devices, Inc. | | Morgan Stanley | | (24,543) | | (4,318,895) | | (4,054,013) | | 224,458 |
| Enphase Energy, Inc. | | Morgan Stanley | | (24,839) | | (4,854,520) | | (5,012,013) | | (192,961) |
| Microchip Technology, Inc. | | Morgan Stanley | | (16,528) | | (1,371,899) | | (1,241,914) | | 117,158 |
| Monolithic Power Systems, Inc. | | Morgan Stanley | | (5,696) | | (2,544,826) | | (2,766,433) | | (239,058) |
| Skyworks Solutions, Inc. | | Morgan Stanley | | (8,650) | | (1,420,772) | | (1,152,872) | | 253,601 |
| Texas Instruments, Inc. | | Morgan Stanley | | (8,389) | | (1,451,407) | | (1,539,214) | | (88,092) |
| | | | | (95,220) | | (16,769,501) | | (16,485,370) | | 160,200 |
| Software & Services | | | | | | | | |
| Akamai Technologies, Inc. | | Morgan Stanley | | (6,174) | | (702,090) | | (737,114) | | (54,650) |
| Broadridge Financial Solutions, Inc. | | Morgan Stanley | | (13,327) | | (1,957,125) | | (2,075,147) | | (131,985) |
| Ceridian HCM Holding, Inc. | | Morgan Stanley | | (26,273) | | (2,892,226) | | (1,796,022) | | 1,086,580 |
| Citrix Systems, Inc. | | Morgan Stanley | | (19,321) | | (2,497,677) | | (1,949,489) | | 517,504 |
| Fidelity National Information Services, Inc. | | Morgan Stanley | | (14,771) | | (2,190,210) | | (1,483,304) | | 823,935 |
| Fortinet, Inc. | | Morgan Stanley | | (8,590) | | (2,708,631) | | (2,935,547) | | (235,928) |
| Global Payments, Inc. | | Morgan Stanley | | (9,203) | | (1,874,942) | | (1,259,339) | | 600,485 |
| Jack Henry & Associates, Inc. | | Morgan Stanley | | (23,188) | | (3,988,595) | | (4,569,195) | | (676,041) |
| Paycom Software, Inc. | | Morgan Stanley | | (3,006) | | (1,195,010) | | (1,041,218) | | 147,262 |
| PTC, Inc. | | Morgan Stanley | | (28,108) | | (3,156,268) | | (3,027,794) | | 116,927 |
| Tyler Technologies, Inc. | | Morgan Stanley | | (5,452) | | (2,433,980) | | (2,425,540) | | 342 |
| | | | | (157,413) | | (25,596,754) | | (23,299,709) | | 2,194,431 |
| Technology Hardware & Equipment | | | | | | | | |
| Amphenol Corp., Class A | | Morgan Stanley | | (13,537) | | (1,034,705) | | (1,020,013) | | 8,660 |
| Arista Networks, Inc. | | Morgan Stanley | | (16,023) | | (2,151,161) | | (2,226,877) | | (82,872) |
| CDW Corp. | | Morgan Stanley | | (2,425) | | (436,263) | | (433,808) | | 1,743 |
| F5, Inc. | | Morgan Stanley | | (12,251) | | (2,635,426) | | (2,559,846) | | 66,810 |
| Hewlett Packard Enterprise Co. | | Morgan Stanley | | (184,668) | | (3,020,505) | | (3,085,802) | | (135,041) |
| IPG Photonics Corp. | | Morgan Stanley | | (6,993) | | (1,551,855) | | (767,552) | | 779,142 |
| Teledyne Technologies, Inc. | | Morgan Stanley | | (7,234) | | (3,279,150) | | (3,419,005) | | (150,768) |
| Trimble, Inc. | | Morgan Stanley | | (17,175) | | (1,418,080) | | (1,239,005) | | 157,190 |
| Western Digital Corp. | | Morgan Stanley | | (5,034) | | (369,540) | | (249,938) | | 118,377 |
| | | | | (265,340) | | (15,896,685) | | (15,001,846) | | 763,241 |
| Transportation | | | | | | | | |
| American Airlines Group, Inc. | | Morgan Stanley | | (38,326) | | (823,440) | | (699,450) | | 121,255 |
| CH Robinson Worldwide, Inc. | | Morgan Stanley | | (72,732) | | (7,032,896) | | (7,833,964) | | (941,600) |
| Delta Air Lines, Inc. | | Morgan Stanley | | (42,072) | | (1,817,539) | | (1,664,789) | | 146,704 |
| JB Hunt Transport Services, Inc. | | Morgan Stanley | | (12,621) | | (2,535,027) | | (2,534,171) | | (11,651) |
| Norfolk Southern Corp. | | Morgan Stanley | | (5,219) | | (1,504,330) | | (1,488,563) | | 7,871 |
| Southwest Airlines Co. | | Morgan Stanley | | (18,172) | | (1,061,144) | | (832,278) | | 225,339 |
| United Airlines Holdings, Inc. | | Morgan Stanley | | (24,828) | | (1,544,372) | | (1,151,026) | | 388,210 |
| | | | | (213,970) | | (16,318,748) | | (16,204,241) | | (63,872) |
| Utilities | | | | | | | | |
| Alliant Energy Corp. | | Morgan Stanley | | (36,280) | | (2,208,149) | | (2,266,774) | | (85,041) |
| Ameren Corp. | | Morgan Stanley | | (28,810) | | (2,450,540) | | (2,701,226) | | (290,348) |
| American Water Works Co., Inc. | | Morgan Stanley | | (9,030) | | (1,493,203) | | (1,494,736) | | (16,710) |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Concluded)
March 31, 2022
(Unaudited)
Total Return Swaps (concluded)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Utilities — (continued) | | | | | | | | |
| Atmos Energy Corp. | | Morgan Stanley | | (12,138) | | $ (1,300,598) | | $ (1,450,370) | | $ (214,199) |
| CenterPoint Energy, Inc. | | Morgan Stanley | | (67,017) | | (1,719,113) | | (2,053,401) | | (366,219) |
| CMS Energy Corp. | | Morgan Stanley | | (37,419) | | (2,403,195) | | (2,617,085) | | (271,046) |
| Consolidated Edison, Inc. | | Morgan Stanley | | (8,636) | | (735,496) | | (817,656) | | (139,923) |
| Dominion Energy, Inc. | | Morgan Stanley | | (30,567) | | (2,500,081) | | (2,597,278) | | (103,891) |
| Duke Energy Corp. | | Morgan Stanley | | (22,897) | | (2,359,164) | | (2,556,679) | | (221,667) |
| Edison International | | Morgan Stanley | | (37,250) | | (2,700,875) | | (2,611,225) | | (197,248) |
| Entergy Corp. | | Morgan Stanley | | (36,956) | | (3,981,730) | | (4,314,613) | | (487,053) |
| Evergy, Inc. | | Morgan Stanley | | (47,565) | | (3,086,369) | | (3,250,592) | | (212,569) |
| Eversource Energy | | Morgan Stanley | | (51,476) | | (4,465,381) | | (4,539,668) | | (168,588) |
| FirstEnergy Corp. | | Morgan Stanley | | (42,977) | | (1,759,658) | | (1,970,925) | | (243,935) |
| NextEra Energy, Inc. | | Morgan Stanley | | (22,337) | | (1,911,693) | | (1,892,167) | | (2,607) |
| NiSource, Inc. | | Morgan Stanley | | (49,992) | | (1,294,457) | | (1,589,746) | | (330,199) |
| Pinnacle West Capital Corp. | | Morgan Stanley | | (52,062) | | (4,357,215) | | (4,066,042) | | 81,292 |
| Public Service Enterprise Group, Inc. | | Morgan Stanley | | (25,342) | | (1,691,962) | | (1,773,940) | | (87,007) |
| Sempra Energy | | Morgan Stanley | | (6,977) | | (943,375) | | (1,172,973) | | (292,555) |
| Southern Co. (The) | | Morgan Stanley | | (9,016) | | (613,522) | | (653,750) | | (83,182) |
| WEC Energy Group, Inc. | | Morgan Stanley | | (33,924) | | (3,219,789) | | (3,385,954) | | (243,481) |
| Xcel Energy, Inc. | | Morgan Stanley | | (59,460) | | (4,096,180) | | (4,291,228) | | (288,587) |
| | | | | (728,128) | | (51,291,745) | | (54,068,028) | | (4,264,763) |
|
|
| Total Reference Entity — Short | | | | | | (493,137,029) | | (467,758,894) | | 19,436,355 |
| Net Value of Reference Entity | | | | | | $ (74,336,479) | | $ 26,574,157 | | $102,896,277 |
| * | Includes $1,985,641 related to open trades, dividends receivables/payables and swap receivables/payables activities. |
The accompanying notes are an integral part of the financial statements.
GOTHAM LARGE VALUE FUND
Portfolio of Investments
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — 99.3% |
| Automobiles & Components — 1.9% |
| Aptiv PLC (Jersey)* | 241 | | $ 28,850 |
| BorgWarner, Inc. | 1,889 | | 73,482 |
| Ford Motor Co. | 33,321 | | 563,458 |
| General Motors Co.* | 11,232 | | 491,288 |
| | | | 1,157,078 |
| Banks — 4.0% |
| Citigroup, Inc. | 9,615 | | 513,441 |
| Citizens Financial Group, Inc. | 314 | | 14,234 |
| Comerica, Inc. | 1,260 | | 113,942 |
| Fifth Third Bancorp | 5,380 | | 231,555 |
| JPMorgan Chase & Co. | 4,198 | | 572,271 |
| KeyCorp. | 7,724 | | 172,863 |
| Regions Financial Corp. | 9,515 | | 211,804 |
| Wells Fargo & Co. | 10,924 | | 529,377 |
| Zions Bancorp NA | 1,594 | | 104,503 |
| | | | 2,463,990 |
| Capital Goods — 9.1% |
| 3M Co. | 4,501 | | 670,109 |
| A.O. Smith Corp. | 1,338 | | 85,485 |
| Cummins, Inc. | 1,108 | | 227,262 |
| Dover Corp. | 1,078 | | 169,138 |
| Eaton Corp. PLC (Ireland) | 3,353 | | 508,851 |
| Emerson Electric Co. | 2 | | 196 |
| Fortune Brands Home & Security, Inc. | 1,131 | | 84,011 |
| General Dynamics Corp. | 2,032 | | 490,078 |
| General Electric Co. | 8,661 | | 792,482 |
| Honeywell International, Inc. | 3,171 | | 617,013 |
| IDEX Corp. | 25 | | 4,793 |
| Ingersoll Rand, Inc. | 259 | | 13,041 |
| Johnson Controls International PLC (Ireland) | 5,647 | | 370,274 |
| Lockheed Martin Corp. | 596 | | 263,074 |
| Masco Corp. | 2,046 | | 104,346 |
| Nordson Corp. | 158 | | 35,879 |
| Northrop Grumman Corp. | 393 | | 175,757 |
| Otis Worldwide Corp. | 3,270 | | 251,627 |
| Parker-Hannifin Corp. | 224 | | 63,562 |
| Pentair PLC (Ireland) | 1,299 | | 70,419 |
| Snap-on, Inc. | 562 | | 115,480 |
| Textron, Inc. | 2,280 | | 169,586 |
| Trane Technologies PLC (Ireland) | 1,869 | | 285,396 |
| Xylem, Inc. | 382 | | 32,569 |
| | | | 5,600,428 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Commercial & Professional Services — 0.7% |
| Jacobs Engineering Group, Inc. | 1,358 | | $ 187,146 |
| Nielsen Holdings PLC (United Kingdom) | 3,776 | | 102,858 |
| Robert Half International, Inc. | 1,151 | | 131,421 |
| | | | 421,425 |
| Consumer Durables & Apparel — 1.3% |
| Hasbro, Inc. | 60 | | 4,915 |
| Mohawk Industries, Inc.* | 706 | | 87,685 |
| Newell Brands, Inc. | 4,451 | | 95,296 |
| PVH Corp. | 740 | | 56,692 |
| Ralph Lauren Corp. | 749 | | 84,967 |
| Tapestry, Inc. | 2,775 | | 103,091 |
| Under Armour, Inc., Class C* | 3,918 | | 60,964 |
| VF Corp. | 3,242 | | 184,340 |
| Whirlpool Corp. | 621 | | 107,296 |
| | | | 785,246 |
| Consumer Services — 1.8% |
| Caesars Entertainment, Inc.* | 1,630 | | 126,097 |
| McDonald's Corp. | 1,396 | | 345,203 |
| Norwegian Cruise Line Holdings Ltd. (Bermuda)* | 56 | | 1,225 |
| Penn National Gaming, Inc.* | 1,691 | | 71,732 |
| Starbucks Corp. | 3,221 | | 293,014 |
| Yum! Brands, Inc. | 2,247 | | 266,337 |
| | | | 1,103,608 |
| Diversified Financials — 4.4% |
| Ameriprise Financial, Inc. | 604 | | 181,417 |
| Berkshire Hathaway, Inc., Class B* | 794 | | 280,211 |
| BlackRock, Inc. | 1,265 | | 966,675 |
| CME Group, Inc. | 583 | | 138,672 |
| Franklin Resources, Inc. | 5,282 | | 147,473 |
| Invesco Ltd. (Bermuda) | 4,848 | | 111,795 |
| Morgan Stanley | 583 | | 50,954 |
| Nasdaq, Inc. | 1,413 | | 251,797 |
| Raymond James Financial, Inc. | 2,181 | | 239,714 |
| T Rowe Price Group, Inc. | 2,408 | | 364,066 |
| | | | 2,732,774 |
| Energy — 8.2% |
| APA Corp. | 3,647 | | 150,731 |
| Chevron Corp. | 4,719 | | 768,395 |
| EOG Resources, Inc. | 6,151 | | 733,384 |
| Exxon Mobil Corp. | 16,699 | | 1,379,170 |
| Halliburton Co. | 527 | | 19,957 |
| Marathon Oil Corp. | 7,809 | | 196,084 |
The accompanying notes are an integral part of the financial statements.
GOTHAM LARGE VALUE FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Energy — (Continued) |
| Marathon Petroleum Corp. | 6,085 | | $ 520,267 |
| Occidental Petroleum Corp. | 8,461 | | 480,077 |
| ONEOK, Inc. | 4,689 | | 331,184 |
| Phillips 66 | 808 | | 69,803 |
| Schlumberger NV (Curacao) | 2,944 | | 121,617 |
| Valero Energy Corp. | 2,557 | | 259,638 |
| | | | 5,030,307 |
| Food & Staples Retailing — 0.3% |
| Walgreens Boots Alliance, Inc. | 4,336 | | 194,123 |
| Food, Beverage & Tobacco — 3.3% |
| Altria Group, Inc. | 7,406 | | 386,963 |
| Archer-Daniels-Midland Co. | 3,381 | | 305,169 |
| Coca-Cola Co. (The) | 2,997 | | 185,814 |
| Constellation Brands, Inc., Class A | 744 | | 171,358 |
| General Mills, Inc. | 1,362 | | 92,235 |
| Kraft Heinz Co. (The) | 2,785 | | 109,701 |
| Mondelez International, Inc., Class A | 1,734 | | 108,861 |
| Monster Beverage Corp.* | 291 | | 23,251 |
| Philip Morris International, Inc. | 4,545 | | 426,957 |
| Tyson Foods, Inc., Class A | 2,843 | | 254,818 |
| | | | 2,065,127 |
| Health Care Equipment & Services — 6.2% |
| Abbott Laboratories | 237 | | 28,051 |
| Align Technology, Inc.* | 175 | | 76,300 |
| Anthem, Inc. | 1,112 | | 546,237 |
| Cigna Corp. | 2,120 | | 507,973 |
| CVS Health Corp. | 6,768 | | 684,989 |
| DaVita, Inc.* | 971 | | 109,830 |
| HCA Healthcare, Inc. | 1,689 | | 423,297 |
| Hologic, Inc.* | 2,401 | | 184,445 |
| Laboratory Corp. of America Holdings* | 979 | | 258,123 |
| McKesson Corp. | 1,576 | | 482,461 |
| Medtronic PLC (Ireland) | 1,833 | | 203,372 |
| Quest Diagnostics, Inc. | 1,019 | | 139,460 |
| UnitedHealth Group, Inc. | 211 | | 107,604 |
| Universal Health Services, Inc., Class B | 600 | | 86,970 |
| | | | 3,839,112 |
| Household & Personal Products — 0.0% |
| Estee Lauder Cos., Inc. (The), Class A | 10 | | 2,723 |
| Insurance — 2.6% |
| Aflac, Inc. | 405 | | 26,078 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Insurance — (Continued) |
| Aon PLC, Class A (Ireland) | 1,583 | | $ 515,472 |
| Assurant, Inc. | 91 | | 16,546 |
| Brown & Brown, Inc. | 2,517 | | 181,904 |
| Marsh & McLennan Cos., Inc. | 4,168 | | 710,311 |
| Willis Towers Watson PLC (Ireland) | 721 | | 170,315 |
| | | | 1,620,626 |
| Materials — 6.1% |
| Avery Dennison Corp. | 630 | | 109,601 |
| CF Industries Holdings, Inc. | 2,054 | | 211,685 |
| Corteva, Inc. | 5,725 | | 329,073 |
| Dow, Inc. | 4,894 | | 311,846 |
| DuPont de Nemours, Inc. | 4,268 | | 314,039 |
| Eastman Chemical Co. | 1,015 | | 113,741 |
| FMC Corp. | 1,069 | | 140,648 |
| Freeport-McMoRan, Inc. | 15,313 | | 761,669 |
| International Paper Co. | 3,978 | | 183,585 |
| Linde PLC (Ireland) | 680 | | 217,212 |
| LyondellBasell Industries NV, Class A (Netherlands) | 3,464 | | 356,169 |
| Nucor Corp. | 2,863 | | 425,585 |
| PPG Industries, Inc. | 1,005 | | 131,725 |
| Sealed Air Corp. | 1,261 | | 84,437 |
| Westrock Co. | 2,028 | | 95,377 |
| | | | 3,786,392 |
| Media & Entertainment — 6.3% |
| Activision Blizzard, Inc. | 5,715 | | 457,829 |
| Alphabet, Inc., Class A* | 175 | | 486,736 |
| Charter Communications, Inc., Class A* | 771 | | 420,596 |
| Comcast Corp., Class A | 10,939 | | 512,164 |
| Discovery, Inc., Class A* | 5,067 | | 126,269 |
| Interpublic Group of Cos., Inc. (The) | 4,138 | | 146,692 |
| Meta Platforms, Inc., Class A* | 6,367 | | 1,415,766 |
| News Corp., Class A | 4,759 | | 105,412 |
| Omnicom Group, Inc. | 2,186 | | 185,548 |
| | | | 3,857,012 |
| Pharmaceuticals, Biotechnology & Life Sciences — 5.3% |
| AbbVie, Inc. | 1,709 | | 277,046 |
| Amgen, Inc. | 920 | | 222,474 |
| Biogen, Inc.* | 1,225 | | 257,985 |
| Charles River Laboratories International, Inc.* | 387 | | 109,896 |
| Gilead Sciences, Inc. | 6,378 | | 379,172 |
| Johnson & Johnson | 487 | | 86,311 |
| Merck & Co., Inc. | 2,341 | | 192,079 |
The accompanying notes are an integral part of the financial statements.
GOTHAM LARGE VALUE FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
Pharmaceuticals, Biotechnology & Life Sciences —
(Continued) |
| Moderna, Inc.* | 3,377 | | $ 581,722 |
| Organon & Co. | 2,664 | | 93,054 |
| PerkinElmer, Inc. | 132 | | 23,029 |
| Pfizer, Inc. | 2,074 | | 107,371 |
| Regeneron Pharmaceuticals, Inc.* | 770 | | 537,783 |
| Vertex Pharmaceuticals, Inc.* | 1,116 | | 291,243 |
| Viatris, Inc. | 9,531 | | 103,697 |
| Waters Corp.* | 54 | | 16,761 |
| | | | 3,279,623 |
| Real Estate — 2.4% |
| Alexandria Real Estate Equities, Inc., REIT | 1,229 | | 247,336 |
| AvalonBay Communities, Inc., REIT | 137 | | 34,027 |
| CBRE Group, Inc., Class A* | 2,637 | | 241,338 |
| Duke Realty Corp., REIT | 3,151 | | 182,947 |
| Extra Space Storage, Inc., REIT | 944 | | 194,086 |
| Mid-America Apartment Communities, Inc., REIT | 560 | | 117,292 |
| Prologis, Inc., REIT | 1,137 | | 183,603 |
| Weyerhaeuser Co., REIT | 7,855 | | 297,705 |
| | | | 1,498,334 |
| Retailing — 6.4% |
| Advance Auto Parts, Inc. | 461 | | 95,409 |
| AutoZone, Inc.* | 188 | | 384,381 |
| Bath & Body Works, Inc. | 2,670 | | 127,626 |
| Best Buy Co., Inc. | 2,390 | | 217,251 |
| eBay, Inc. | 5,519 | | 316,018 |
| Genuine Parts Co. | 708 | | 89,222 |
| Home Depot, Inc. (The) | 1,180 | | 353,209 |
| LKQ Corp. | 3,017 | | 137,002 |
| Lowe's Cos., Inc. | 1,699 | | 343,521 |
| O'Reilly Automotive, Inc.* | 569 | | 389,742 |
| Ross Stores, Inc. | 2,949 | | 266,767 |
| Target Corp. | 2,920 | | 619,682 |
| TJX Cos., Inc. (The) | 6,023 | | 364,873 |
| Ulta Beauty, Inc.* | 550 | | 219,021 |
| | | | 3,923,724 |
| Semiconductors & Semiconductor Equipment — 11.9% |
| Advanced Micro Devices, Inc.* | 3,887 | | 425,005 |
| Applied Materials, Inc. | 6,631 | | 873,966 |
| Broadcom, Inc. | 540 | | 340,027 |
| Intel Corp. | 19,171 | | 950,115 |
| KLA Corp. | 1,271 | | 465,262 |
| Lam Research Corp. | 1,145 | | 615,563 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
Semiconductors & Semiconductor Equipment —
(Continued) |
| Microchip Technology, Inc. | 3,880 | | $ 291,543 |
| Micron Technology, Inc. | 8,826 | | 687,457 |
| Monolithic Power Systems, Inc. | 20 | | 9,714 |
| NVIDIA Corp. | 1,978 | | 539,717 |
| NXP Semiconductors NV (Netherlands) | 2,180 | | 403,474 |
| Qorvo, Inc.* | 1,143 | | 141,846 |
| QUALCOMM, Inc. | 8,062 | | 1,232,035 |
| Skyworks Solutions, Inc. | 1,357 | | 180,861 |
| Teradyne, Inc. | 1,417 | | 167,532 |
| | | | 7,324,117 |
| Software & Services — 6.7% |
| Accenture PLC, Class A (Ireland) | 2,197 | | 740,894 |
| Adobe, Inc.* | ���72 | | 32,805 |
| Autodesk, Inc.* | 53 | | 11,361 |
| Automatic Data Processing, Inc. | 2,666 | | 606,622 |
| DXC Technology Co.* | 2,581 | | 84,218 |
| Fiserv, Inc.* | 1,066 | | 108,092 |
| FleetCor Technologies, Inc.* | 625 | | 155,662 |
| Fortinet, Inc.* | 531 | | 181,464 |
| Gartner, Inc.* | 866 | | 257,600 |
| Global Payments, Inc. | 506 | | 69,241 |
| International Business Machines Corp. | 2,634 | | 342,473 |
| NortonLifeLock, Inc. | 2,107 | | 55,878 |
| Oracle Corp. | 3,756 | | 310,734 |
| Paychex, Inc. | 3,166 | | 432,064 |
| PayPal Holdings, Inc.* | 6,194 | | 716,336 |
| | | | 4,105,444 |
| Technology Hardware & Equipment — 6.0% |
| Amphenol Corp., Class A | 1,154 | | 86,954 |
| Apple, Inc. | 2,915 | | 508,988 |
| Arista Networks, Inc.* | 400 | | 55,592 |
| Cisco Systems, Inc. | 14,020 | | 781,755 |
| Corning, Inc. | 7,199 | | 265,715 |
| F5, Inc.* | 2 | | 418 |
| HP, Inc. | 11,139 | | 404,346 |
| IPG Photonics Corp.* | 444 | | 48,733 |
| Juniper Networks, Inc. | 2,709 | | 100,667 |
| Keysight Technologies, Inc.* | 1,432 | | 226,213 |
| Motorola Solutions, Inc. | 1,409 | | 341,260 |
| NetApp, Inc. | 904 | | 75,032 |
| Seagate Technology Holdings PLC (Ireland) | 2,307 | | 207,399 |
The accompanying notes are an integral part of the financial statements.
GOTHAM LARGE VALUE FUND
Portfolio of Investments (Concluded)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Technology Hardware & Equipment — (Continued) |
| TE Connectivity Ltd. (Switzerland) | 1,998 | | $ 261,698 |
| Trimble, Inc.* | 350 | | 25,249 |
| Western Digital Corp.* | 2,902 | | 144,084 |
| Zebra Technologies Corp., Class A* | 408 | | 168,790 |
| | | | 3,702,893 |
| Telecommunication Services — 1.3% |
| AT&T, Inc. | 17,660 | | 417,306 |
| Lumen Technologies, Inc. | 8,565 | | 96,528 |
| T-Mobile US, Inc.* | 1,192 | | 152,993 |
| Verizon Communications, Inc. | 2,459 | | 125,261 |
| | | | 792,088 |
| Transportation — 2.3% |
| CSX Corp. | 1,374 | | 51,456 |
| Expeditors International of Washington, Inc. | 1,473 | | 151,955 |
| FedEx Corp. | 2,000 | | 462,780 |
| Union Pacific Corp. | 873 | | 238,512 |
| United Parcel Service, Inc., Class B | 2,433 | | 521,781 |
| | | | 1,426,484 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Utilities — 0.8% |
| AES Corp. (The) | 5,254 | | $ 135,186 |
| DTE Energy Co. | 1,616 | | 213,651 |
| NRG Energy, Inc. | 2,562 | | 98,278 |
| PPL Corp. | 1,892 | | 54,036 |
| | | | 501,151 |
TOTAL COMMON STOCKS
(Cost $52,981,918) | | | 61,213,829 |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 0.7% | | | 421,366 |
| NET ASSETS - 100.0% | | | $ 61,635,195 |
| PLC | Public Limited Company |
| REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — 99.3% |
| Automobiles & Components — 2.4% |
| Aptiv PLC (Jersey)* | 15 | | $ 1,795 |
| BorgWarner, Inc. | 402 | | 15,638 |
| Ford Motor Co. | 6,692 | | 113,162 |
| General Motors Co.* | 603 | | 26,375 |
| Tesla, Inc.* | 240 | | 258,624 |
| | | | 415,594 |
| Banks — 0.5% |
| Bank of America Corp. | 489 | | 20,157 |
| Citigroup, Inc. | 83 | | 4,432 |
| Citizens Financial Group, Inc. | 18 | | 816 |
| Comerica, Inc. | 6 | | 543 |
| Fifth Third Bancorp | 29 | | 1,248 |
| First Republic Bank | 10 | | 1,621 |
| Huntington Bancshares, Inc. | 60 | | 877 |
| JPMorgan Chase & Co. | 173 | | 23,583 |
| KeyCorp. | 39 | | 873 |
| M&T Bank Corp. | 6 | | 1,017 |
| People's United Financial, Inc.* | 175 | | 3,498 |
| PNC Financial Services Group, Inc. (The) | 25 | | 4,611 |
| Regions Financial Corp. | 40 | | 890 |
| Signature Bank | 3 | | 881 |
| SVB Financial Group* | 3 | | 1,678 |
| Truist Financial Corp. | 55 | | 3,119 |
| US Bancorp | 62 | | 3,295 |
| Wells Fargo & Co. | 217 | | 10,516 |
| Zions Bancorp NA | 7 | | 459 |
| | | | 84,114 |
| Capital Goods — 5.6% |
| 3M Co. | 958 | | 142,627 |
| A.O. Smith Corp. | 264 | | 16,867 |
| Allegion PLC (Ireland) | 5 | | 549 |
| AMETEK, Inc. | 13 | | 1,731 |
| Boeing Co. (The)* | 24 | | 4,596 |
| Carrier Global Corp. | 47 | | 2,156 |
| Caterpillar, Inc. | 32 | | 7,130 |
| Cummins, Inc. | 11 | | 2,256 |
| Deere & Co. | 18 | | 7,478 |
| Dover Corp. | 8 | | 1,255 |
| Eaton Corp. PLC (Ireland) | 668 | | 101,376 |
| Emerson Electric Co. | 35 | | 3,432 |
| Fastenal Co. | 24 | | 1,426 |
| Fortive Corp. | 149 | | 9,079 |
| Fortune Brands Home & Security, Inc. | 92 | | 6,834 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Capital Goods — (Continued) |
| Generac Holdings, Inc.* | 3 | | $ 892 |
| General Dynamics Corp. | 468 | | 112,872 |
| General Electric Co. | 1,841 | | 168,451 |
| Honeywell International, Inc. | 507 | | 98,652 |
| Howmet Aerospace, Inc. | 25 | | 899 |
| Huntington Ingalls Industries, Inc. | 2 | | 399 |
| IDEX Corp. | 4 | | 767 |
| Illinois Tool Works, Inc. | 17 | | 3,560 |
| Ingersoll Rand, Inc. | 25 | | 1,259 |
| Johnson Controls International PLC (Ireland) | 43 | | 2,820 |
| L3Harris Technologies, Inc. | 11 | | 2,733 |
| Lockheed Martin Corp. | 318 | | 140,365 |
| Masco Corp. | 408 | | 20,808 |
| Nordson Corp. | 3 | | 681 |
| Northrop Grumman Corp. | 66 | | 29,517 |
| Otis Worldwide Corp. | 25 | | 1,924 |
| PACCAR, Inc. | 18 | | 1,585 |
| Parker-Hannifin Corp. | 7 | | 1,986 |
| Pentair PLC (Ireland) | 10 | | 542 |
| Quanta Services, Inc. | 8 | | 1,053 |
| Raytheon Technologies Corp. | 62 | | 6,142 |
| Rockwell Automation, Inc. | 5 | | 1,400 |
| Roper Technologies, Inc. | 45 | | 21,250 |
| Snap-on, Inc. | 72 | | 14,795 |
| Stanley Black & Decker, Inc. | 9 | | 1,258 |
| Textron, Inc. | 13 | | 967 |
| Trane Technologies PLC (Ireland) | 70 | | 10,689 |
| TransDigm Group, Inc.* | 4 | | 2,606 |
| United Rentals, Inc.* | 5 | | 1,776 |
| Westinghouse Air Brake Technologies Corp. | 8 | | 769 |
| WW Grainger, Inc. | 3 | | 1,547 |
| Xylem, Inc. | 8 | | 682 |
| | | | 964,438 |
| Commercial & Professional Services — 0.2% |
| Cintas Corp. | 5 | | 2,127 |
| Copart, Inc.* | 10 | | 1,255 |
| Equifax, Inc. | 6 | | 1,423 |
| Jacobs Engineering Group, Inc. | 8 | | 1,103 |
| Leidos Holdings, Inc. | 6 | | 648 |
| Nielsen Holdings PLC (United Kingdom) | 88 | | 2,397 |
| Republic Services, Inc. | 16 | | 2,120 |
| Robert Half International, Inc. | 185 | | 21,123 |
| Rollins, Inc. | 21 | | 736 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Commercial & Professional Services — (Continued) |
| Verisk Analytics, Inc. | 7 | | $ 1,502 |
| Waste Management, Inc. | 18 | | 2,853 |
| | | | 37,287 |
| Consumer Durables & Apparel — 0.9% |
| DR Horton, Inc. | 15 | | 1,118 |
| Garmin Ltd. (Switzerland) | 11 | | 1,305 |
| Hasbro, Inc. | 7 | | 573 |
| Lennar Corp., Class A | 125 | | 10,146 |
| Mohawk Industries, Inc.* | 113 | | 14,035 |
| Newell Brands, Inc. | 26 | | 557 |
| NIKE, Inc., Class B | 66 | | 8,881 |
| NVR, Inc.* | 1 | | 4,467 |
| PulteGroup, Inc. | 11 | | 461 |
| PVH Corp. | 118 | | 9,040 |
| Ralph Lauren Corp. | 124 | | 14,066 |
| Tapestry, Inc. | 443 | | 16,457 |
| Under Armour, Inc., Class C* | 798 | | 12,417 |
| VF Corp. | 652 | | 37,073 |
| Whirlpool Corp. | 103 | | 17,796 |
| | | | 148,392 |
| Consumer Services — 1.0% |
| Booking Holdings, Inc.* | 2 | | 4,697 |
| Caesars Entertainment, Inc.* | 9 | | 696 |
| Carnival Corp. (Panama)* | 48 | | 970 |
| Chipotle Mexican Grill, Inc.* | 1 | | 1,582 |
| Darden Restaurants, Inc. | 7 | | 931 |
| Domino's Pizza, Inc. | 2 | | 814 |
| Expedia Group, Inc.* | 6 | | 1,174 |
| Hilton Worldwide Holdings, Inc.* | 11 | | 1,669 |
| Las Vegas Sands Corp.* | 32 | | 1,244 |
| Marriott International, Inc., Class A* | 13 | | 2,285 |
| McDonald's Corp. | 510 | | 126,113 |
| MGM Resorts International | 20 | | 839 |
| Norwegian Cruise Line Holdings Ltd. (Bermuda)* | 18 | | 394 |
| Penn National Gaming, Inc.* | 92 | | 3,903 |
| Royal Caribbean Cruises Ltd. (Liberia)* | 10 | | 838 |
| Starbucks Corp. | 49 | | 4,457 |
| Wynn Resorts Ltd.* | 4 | | 319 |
| Yum! Brands, Inc. | 114 | | 13,512 |
| | | | 166,437 |
| Diversified Financials — 3.8% |
| American Express Co. | 33 | | 6,171 |
| Ameriprise Financial, Inc. | 6 | | 1,802 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Diversified Financials — (Continued) |
| Bank of New York Mellon Corp. (The) | 35 | | $ 1,737 |
| Berkshire Hathaway, Inc., Class B* | 815 | | 287,622 |
| BlackRock, Inc. | 254 | | 194,099 |
| Capital One Financial Corp. | 25 | | 3,282 |
| Cboe Global Markets, Inc. | 5 | | 572 |
| Charles Schwab Corp. (The) | 79 | | 6,660 |
| CME Group, Inc. | 16 | | 3,806 |
| Discover Financial Services | 17 | | 1,873 |
| FactSet Research Systems, Inc. | 2 | | 868 |
| Franklin Resources, Inc. | 842 | | 23,509 |
| Goldman Sachs Group, Inc. (The) | 20 | | 6,602 |
| Intercontinental Exchange, Inc. | 24 | | 3,171 |
| Invesco Ltd. (Bermuda) | 773 | | 17,825 |
| MarketAxess Holdings, Inc. | 2 | | 680 |
| Moody's Corp. | 11 | | 3,712 |
| Morgan Stanley | 108 | | 9,439 |
| MSCI, Inc. | 3 | | 1,509 |
| Nasdaq, Inc. | 10 | | 1,782 |
| Northern Trust Corp. | 9 | | 1,048 |
| Raymond James Financial, Inc. | 12 | | 1,319 |
| S&P Global, Inc. | 14 | | 5,743 |
| State Street Corp. | 16 | | 1,394 |
| Synchrony Financial | 31 | | 1,079 |
| T Rowe Price Group, Inc. | 384 | | 58,057 |
| | | | 645,361 |
| Energy — 4.5% |
| APA Corp. | 633 | | 26,162 |
| Baker Hughes Co. | 62 | | 2,258 |
| Chevron Corp. | 1,040 | | 169,343 |
| ConocoPhillips | 55 | | 5,500 |
| Coterra Energy, Inc. | 34 | | 917 |
| Devon Energy Corp. | 28 | | 1,656 |
| Diamondback Energy, Inc. | 8 | | 1,097 |
| EOG Resources, Inc. | 980 | | 116,845 |
| Exxon Mobil Corp. | 2,207 | | 182,276 |
| Halliburton Co. | 53 | | 2,007 |
| Hess Corp. | 18 | | 1,927 |
| Kinder Morgan, Inc. | 135 | | 2,553 |
| Marathon Oil Corp. | 1,321 | | 33,170 |
| Marathon Petroleum Corp. | 1,041 | | 89,006 |
| Occidental Petroleum Corp. | 1,564 | | 88,741 |
| ONEOK, Inc. | 27 | | 1,907 |
| Phillips 66 | 26 | | 2,246 |
| Pioneer Natural Resources Co. | 11 | | 2,750 |
| Schlumberger NV (Curacao) | 84 | | 3,470 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Energy — (Continued) |
| Valero Energy Corp. | 402 | | $ 40,819 |
| Williams Cos., Inc. (The) | 64 | | 2,138 |
| | | | 776,788 |
| Food & Staples Retailing — 0.3% |
| Costco Wholesale Corp. | 19 | | 10,941 |
| Kroger Co. (The) | 40 | | 2,295 |
| Sysco Corp. | 28 | | 2,286 |
| Walgreens Boots Alliance, Inc. | 52 | | 2,328 |
| Walmart, Inc. | 171 | | 25,466 |
| | | | 43,316 |
| Food, Beverage & Tobacco — 4.6% |
| Altria Group, Inc. | 3,090 | | 161,453 |
| Archer-Daniels-Midland Co. | 938 | | 84,664 |
| Brown-Forman Corp., Class B | 20 | | 1,340 |
| Campbell Soup Co. | 16 | | 713 |
| Coca-Cola Co. (The) | 1,427 | | 88,474 |
| Conagra Brands, Inc. | 27 | | 906 |
| Constellation Brands, Inc., Class A | 11 | | 2,534 |
| General Mills, Inc. | 585 | | 39,616 |
| Hershey Co. (The) | 49 | | 10,615 |
| Hormel Foods Corp. | 23 | | 1,185 |
| J M Smucker Co. (The) | 6 | | 813 |
| Kellogg Co. | 19 | | 1,225 |
| Kraft Heinz Co. (The) | 1,224 | | 48,213 |
| Lamb Weston Holdings, Inc. | 6 | | 359 |
| McCormick & Co., Inc., non-voting shares | 12 | | 1,198 |
| Molson Coors Beverage Co., Class B | 13 | | 694 |
| Mondelez International, Inc., Class A | 411 | | 25,803 |
| Monster Beverage Corp.* | 23 | | 1,838 |
| PepsiCo, Inc. | 58 | | 9,708 |
| Philip Morris International, Inc. | 2,581 | | 242,459 |
| Tyson Foods, Inc., Class A | 611 | | 54,764 |
| | | | 778,574 |
| Health Care Equipment & Services — 5.2% |
| Abbott Laboratories | 738 | | 87,350 |
| ABIOMED, Inc.* | 2 | | 662 |
| Align Technology, Inc.* | 3 | | 1,308 |
| AmerisourceBergen Corp. | 12 | | 1,857 |
| Anthem, Inc. | 210 | | 103,156 |
| Baxter International, Inc. | 21 | | 1,628 |
| Becton Dickinson and Co. | 12 | | 3,192 |
| Boston Scientific Corp.* | 59 | | 2,613 |
| Cardinal Health, Inc. | 12 | | 680 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Health Care Equipment & Services — (Continued) |
| Centene Corp.* | 25 | | $ 2,105 |
| Cerner Corp. | 17 | | 1,591 |
| Cigna Corp. | 537 | | 128,671 |
| Cooper Cos., Inc. (The) | 2 | | 835 |
| CVS Health Corp. | 2,127 | | 215,274 |
| DaVita, Inc.* | 172 | | 19,455 |
| DENTSPLY SIRONA, Inc. | 10 | | 492 |
| Dexcom, Inc.* | 4 | | 2,046 |
| Edwards Lifesciences Corp.* | 26 | | 3,061 |
| HCA Healthcare, Inc. | 274 | | 68,670 |
| Henry Schein, Inc.* | 6 | | 523 |
| Hologic, Inc.* | 124 | | 9,526 |
| Humana, Inc. | 6 | | 2,611 |
| IDEXX Laboratories, Inc.* | 4 | | 2,188 |
| Intuitive Surgical, Inc.* | 14 | | 4,223 |
| Laboratory Corp. of America Holdings* | 161 | | 42,449 |
| McKesson Corp. | 256 | | 78,369 |
| Medtronic PLC (Ireland) | 83 | | 9,209 |
| Molina Healthcare, Inc.* | 2 | | 667 |
| Quest Diagnostics, Inc. | 201 | | 27,509 |
| ResMed, Inc. | 6 | | 1,455 |
| STERIS PLC (Ireland) | 4 | | 967 |
| Stryker Corp. | 16 | | 4,278 |
| Teleflex, Inc. | 2 | | 710 |
| UnitedHealth Group, Inc. | 101 | | 51,507 |
| Universal Health Services, Inc., Class B | 12 | | 1,739 |
| Zimmer Biomet Holdings, Inc. | 9 | | 1,151 |
| | | | 883,727 |
| Household & Personal Products — 0.5% |
| Church & Dwight Co., Inc. | 11 | | 1,093 |
| Clorox Co. (The) | 6 | | 834 |
| Colgate-Palmolive Co. | 51 | | 3,867 |
| Estee Lauder Cos., Inc. (The), Class A | 15 | | 4,085 |
| Kimberly-Clark Corp. | 17 | | 2,094 |
| Procter & Gamble Co. (The) | 506 | | 77,317 |
| | | | 89,290 |
| Insurance — 1.6% |
| Aflac, Inc. | 28 | | 1,803 |
| Allstate Corp. (The) | 12 | | 1,662 |
| American International Group, Inc. | 35 | | 2,197 |
| Aon PLC, Class A (Ireland) | 230 | | 74,895 |
| Arthur J Gallagher & Co. | 41 | | 7,159 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Insurance — (Continued) |
| Assurant, Inc. | 3 | | $ 545 |
| Brown & Brown, Inc. | 359 | | 25,945 |
| Chubb Ltd. (Switzerland) | 18 | | 3,850 |
| Cincinnati Financial Corp. | 7 | | 952 |
| Everest Re Group Ltd. (Bermuda) | 2 | | 603 |
| Globe Life, Inc. | 5 | | 503 |
| Hartford Financial Services Group, Inc. (The) | 15 | | 1,077 |
| Lincoln National Corp. | 8 | | 523 |
| Loews Corp. | 11 | | 713 |
| Marsh & McLennan Cos., Inc. | 849 | | 144,687 |
| MetLife, Inc. | 35 | | 2,460 |
| Principal Financial Group, Inc. | 11 | | 807 |
| Progressive Corp. (The) | 25 | | 2,850 |
| Prudential Financial, Inc. | 16 | | 1,891 |
| Travelers Cos., Inc. (The) | 13 | | 2,375 |
| W R Berkley Corp. | 12 | | 799 |
| Willis Towers Watson PLC (Ireland) | 7 | | 1,653 |
| | | | 279,949 |
| Materials — 3.0% |
| Air Products and Chemicals, Inc. | 9 | | 2,249 |
| Albemarle Corp. | 4 | | 885 |
| Amcor PLC (Jersey) | 82 | | 929 |
| Avery Dennison Corp. | 5 | | 870 |
| Ball Corp. | 13 | | 1,170 |
| Celanese Corp. | 6 | | 857 |
| CF Industries Holdings, Inc. | 348 | | 35,865 |
| Corteva, Inc. | 1,210 | | 69,551 |
| Dow, Inc. | 410 | | 26,125 |
| DuPont de Nemours, Inc. | 307 | | 22,589 |
| Eastman Chemical Co. | 8 | | 897 |
| Ecolab, Inc. | 15 | | 2,648 |
| FMC Corp. | 211 | | 27,761 |
| Freeport-McMoRan, Inc. | 2,198 | | 109,329 |
| International Flavors & Fragrances, Inc. | 10 | | 1,313 |
| International Paper Co. | 648 | | 29,905 |
| Linde PLC (Ireland) | 31 | | 9,902 |
| LyondellBasell Industries NV, Class A (Netherlands) | 559 | | 57,476 |
| Martin Marietta Materials, Inc. | 3 | | 1,155 |
| Mosaic Co. (The) | 45 | | 2,993 |
| Newmont Corp. | 42 | | 3,337 |
| Nucor Corp. | 479 | | 71,203 |
| Packaging Corp. of America | 5 | | 781 |
| PPG Industries, Inc. | 14 | | 1,835 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Materials — (Continued) |
| Sealed Air Corp. | 250 | | $ 16,740 |
| Sherwin-Williams Co. (The) | 17 | | 4,244 |
| Vulcan Materials Co. | 6 | | 1,102 |
| Westrock Co. | 15 | | 705 |
| | | | 504,416 |
| Media & Entertainment — 12.2% |
| Activision Blizzard, Inc. | 1,116 | | 89,403 |
| Alphabet, Inc., Class A* | 306 | | 851,093 |
| Charter Communications, Inc., Class A* | 288 | | 157,110 |
| Comcast Corp., Class A | 4,027 | | 188,544 |
| Discovery, Inc., Class A* | 40 | | 997 |
| DISH Network Corp., Class A* | 32 | | 1,013 |
| Electronic Arts, Inc. | 119 | | 15,055 |
| Fox Corp., Class A | 34 | | 1,341 |
| Interpublic Group of Cos., Inc. (The) | 660 | | 23,397 |
| Live Nation Entertainment, Inc.* | 9 | | 1,059 |
| Match Group, Inc.* | 11 | | 1,196 |
| Meta Platforms, Inc., Class A* | 2,827 | | 628,612 |
| Netflix, Inc.* | 184 | | 68,925 |
| News Corp., Class A | 950 | | 21,042 |
| Omnicom Group, Inc. | 15 | | 1,273 |
| Paramount Global, Class B | 36 | | 1,361 |
| Take-Two Interactive Software, Inc.* | 49 | | 7,533 |
| Twitter, Inc.* | 332 | | 12,845 |
| Walt Disney Co. (The)* | 76 | | 10,424 |
| | | | 2,082,223 |
| Pharmaceuticals, Biotechnology & Life Sciences — 10.2% |
| AbbVie, Inc. | 1,428 | | 231,493 |
| Agilent Technologies, Inc. | 13 | | 1,720 |
| Amgen, Inc. | 173 | | 41,835 |
| Biogen, Inc.* | 246 | | 51,808 |
| Bio-Rad Laboratories, Inc., Class A* | 1 | | 563 |
| Bio-Techne Corp. | 1 | | 433 |
| Bristol-Myers Squibb Co. | 93 | | 6,792 |
| Catalent, Inc.* | 7 | | 776 |
| Charles River Laboratories International, Inc.* | 3 | | 852 |
| Danaher Corp. | 299 | | 87,706 |
| Eli Lilly & Co. | 40 | | 11,455 |
| Gilead Sciences, Inc. | 2,102 | | 124,964 |
| Illumina, Inc.* | 67 | | 23,410 |
| Incyte Corp.* | 92 | | 7,307 |
| IQVIA Holdings, Inc.* | 8 | | 1,850 |
| Johnson & Johnson | 1,125 | | 199,384 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
Pharmaceuticals, Biotechnology & Life Sciences —
(Continued) |
| Merck & Co., Inc. | 2,481 | | $ 203,566 |
| Mettler-Toledo International, Inc.* | 1 | | 1,373 |
| Moderna, Inc.* | 675 | | 116,275 |
| Organon & Co. | 423 | | 14,775 |
| PerkinElmer, Inc. | 7 | | 1,221 |
| Pfizer, Inc. | 6,143 | | 318,023 |
| Regeneron Pharmaceuticals, Inc.* | 205 | | 143,176 |
| Thermo Fisher Scientific, Inc. | 17 | | 10,041 |
| Vertex Pharmaceuticals, Inc.* | 426 | | 111,173 |
| Viatris, Inc. | 2,026 | | 22,043 |
| Waters Corp.* | 3 | | 931 |
| West Pharmaceutical Services, Inc. | 4 | | 1,643 |
| Zoetis, Inc. | 20 | | 3,772 |
| | | | 1,740,360 |
| Real Estate — 1.4% |
| Alexandria Real Estate Equities, Inc., REIT | 9 | | 1,811 |
| American Tower Corp., REIT | 189 | | 47,481 |
| AvalonBay Communities, Inc., REIT | 6 | | 1,490 |
| Boston Properties, Inc., REIT | 7 | | 902 |
| CBRE Group, Inc., Class A* | 558 | | 51,068 |
| Crown Castle International Corp., REIT | 179 | | 33,043 |
| Digital Realty Trust, Inc., REIT | 12 | | 1,702 |
| Duke Realty Corp., REIT | 17 | | 987 |
| Equinix, Inc., REIT | 3 | | 2,225 |
| Equity Residential, REIT | 16 | | 1,439 |
| Essex Property Trust, Inc., REIT | 3 | | 1,036 |
| Extra Space Storage, Inc., REIT | 8 | | 1,645 |
| Federal Realty Investment Trust, REIT | 4 | | 488 |
| Healthpeak Properties, Inc., REIT | 23 | | 790 |
| Host Hotels & Resorts, Inc., REIT | 30 | | 583 |
| Iron Mountain, Inc., REIT | 12 | | 665 |
| Kimco Realty Corp., REIT | 37 | | 914 |
| Mid-America Apartment Communities, Inc., REIT | 5 | | 1,047 |
| Prologis, Inc., REIT | 45 | | 7,267 |
| Public Storage, REIT | 9 | | 3,512 |
| Realty Income Corp., REIT | 25 | | 1,732 |
| Regency Centers Corp., REIT | 10 | | 713 |
| SBA Communications Corp., REIT | 45 | | 15,484 |
| Simon Property Group, Inc., REIT | 19 | | 2,500 |
| UDR, Inc., REIT | 14 | | 803 |
| Ventas, Inc., REIT | 17 | | 1,050 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Real Estate — (Continued) |
| Vornado Realty Trust, REIT | 8 | | $ 363 |
| Welltower, Inc., REIT | 19 | | 1,827 |
| Weyerhaeuser Co., REIT | 1,240 | | 46,996 |
| | | | 231,563 |
| Retailing — 8.3% |
| Advance Auto Parts, Inc. | 3 | | 621 |
| Amazon.com, Inc.* | 254 | | 828,027 |
| AutoZone, Inc.* | 35 | | 71,560 |
| Bath & Body Works, Inc. | 437 | | 20,889 |
| Best Buy Co., Inc. | 408 | | 37,087 |
| CarMax, Inc.* | 7 | | 675 |
| Dollar General Corp. | 13 | | 2,894 |
| Dollar Tree, Inc.* | 13 | | 2,082 |
| eBay, Inc. | 995 | | 56,974 |
| Etsy, Inc.* | 5 | | 622 |
| Genuine Parts Co. | 8 | | 1,008 |
| Home Depot, Inc. (The) | 296 | | 88,602 |
| LKQ Corp. | 17 | | 772 |
| Lowe's Cos., Inc. | 131 | | 26,487 |
| O'Reilly Automotive, Inc.* | 113 | | 77,401 |
| Pool Corp. | 2 | | 846 |
| Ross Stores, Inc. | 581 | | 52,557 |
| Target Corp. | 701 | | 148,766 |
| TJX Cos., Inc. (The) | 73 | | 4,422 |
| Tractor Supply Co. | 6 | | 1,400 |
| Ulta Beauty, Inc.* | 3 | | 1,195 |
| | | | 1,424,887 |
| Semiconductors & Semiconductor Equipment — 4.6% |
| Advanced Micro Devices, Inc.* | 74 | | 8,091 |
| Analog Devices, Inc. | 21 | | 3,469 |
| Applied Materials, Inc. | 367 | | 48,370 |
| Broadcom, Inc. | 18 | | 11,334 |
| Enphase Energy, Inc.* | 5 | | 1,009 |
| Intel Corp. | 6,447 | | 319,513 |
| KLA Corp. | 63 | | 23,062 |
| Lam Research Corp. | 58 | | 31,181 |
| Microchip Technology, Inc. | 33 | | 2,480 |
| Micron Technology, Inc. | 464 | | 36,141 |
| Monolithic Power Systems, Inc. | 1 | | 486 |
| NVIDIA Corp. | 104 | | 28,377 |
| NXP Semiconductors NV (Netherlands) | 15 | | 2,776 |
| Qorvo, Inc.* | 6 | | 745 |
| QUALCOMM, Inc. | 1,404 | | 214,559 |
| Skyworks Solutions, Inc. | 7 | | 933 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
Semiconductors & Semiconductor Equipment —
(Continued) |
| SolarEdge Technologies, Inc.* | 21 | | $ 6,770 |
| Teradyne, Inc. | 278 | | 32,868 |
| Texas Instruments, Inc. | 39 | | 7,156 |
| | | | 779,320 |
| Software & Services — 14.0% |
| Accenture PLC, Class A (Ireland) | 577 | | 194,582 |
| Adobe, Inc.* | 196 | | 89,302 |
| Akamai Technologies, Inc.* | 7 | | 836 |
| ANSYS, Inc.* | 36 | | 11,436 |
| Autodesk, Inc.* | 91 | | 19,506 |
| Automatic Data Processing, Inc. | 267 | | 60,753 |
| Broadridge Financial Solutions, Inc. | 6 | | 934 |
| Cadence Design Systems, Inc.* | 115 | | 18,913 |
| Ceridian HCM Holding, Inc.* | 6 | | 410 |
| Citrix Systems, Inc. | 6 | | 605 |
| Cognizant Technology Solutions Corp., Class A | 217 | | 19,458 |
| DXC Technology Co.* | 15 | | 490 |
| EPAM Systems, Inc.* | 24 | | 7,119 |
| Fidelity National Information Services, Inc. | 26 | | 2,611 |
| Fiserv, Inc.* | 28 | | 2,839 |
| FleetCor Technologies, Inc.* | 4 | | 996 |
| Fortinet, Inc.* | 7 | | 2,392 |
| Gartner, Inc.* | 137 | | 40,752 |
| Global Payments, Inc. | 12 | | 1,642 |
| International Business Machines Corp. | 1,193 | | 155,114 |
| Intuit, Inc. | 12 | | 5,770 |
| Jack Henry & Associates, Inc. | 4 | | 788 |
| Mastercard, Inc., Class A | 406 | | 145,096 |
| Microsoft Corp. | 3,754 | | 1,157,396 |
| NortonLifeLock, Inc. | 37 | | 981 |
| Oracle Corp. | 170 | | 14,064 |
| Paychex, Inc. | 145 | | 19,788 |
| Paycom Software, Inc.* | 2 | | 693 |
| PayPal Holdings, Inc.* | 537 | | 62,104 |
| PTC, Inc.* | 4 | | 431 |
| Salesforce, Inc.* | 410 | | 87,051 |
| ServiceNow, Inc.* | 83 | | 46,222 |
| Synopsys, Inc.* | 64 | | 21,329 |
| Tyler Technologies, Inc.* | 1 | | 445 |
| VeriSign, Inc.* | 5 | | 1,112 |
| Visa, Inc., Class A | 877 | | 194,492 |
| | | | 2,388,452 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Technology Hardware & Equipment — 9.6% |
| Amphenol Corp., Class A | 27 | | $ 2,034 |
| Apple, Inc. | 6,816 | | 1,190,142 |
| Arista Networks, Inc.* | 16 | | 2,224 |
| CDW Corp. | 7 | | 1,252 |
| Cisco Systems, Inc. | 5,467 | | 304,840 |
| Corning, Inc. | 264 | | 9,744 |
| F5, Inc.* | 3 | | 627 |
| Hewlett Packard Enterprise Co. | 55 | | 919 |
| HP, Inc. | 1,917 | | 69,587 |
| IPG Photonics Corp.* | 89 | | 9,769 |
| Juniper Networks, Inc. | 19 | | 706 |
| Keysight Technologies, Inc.* | 8 | | 1,264 |
| Motorola Solutions, Inc. | 25 | | 6,055 |
| NetApp, Inc. | 13 | | 1,079 |
| Seagate Technology Holdings PLC (Ireland) | 166 | | 14,923 |
| TE Connectivity Ltd. (Switzerland) | 19 | | 2,489 |
| Teledyne Technologies, Inc.* | 2 | | 945 |
| Trimble, Inc.* | 11 | | 794 |
| Western Digital Corp.* | 525 | | 26,066 |
| Zebra Technologies Corp., Class A* | 3 | | 1,241 |
| | | | 1,646,700 |
| Telecommunication Services — 2.3% |
| AT&T, Inc. | 8,699 | | 205,557 |
| Lumen Technologies, Inc. | 1,714 | | 19,317 |
| T-Mobile US, Inc.* | 77 | | 9,883 |
| Verizon Communications, Inc. | 3,060 | | 155,877 |
| | | | 390,634 |
| Transportation — 1.8% |
| Alaska Air Group, Inc.* | 5 | | 290 |
| American Airlines Group, Inc.* | 27 | | 493 |
| CH Robinson Worldwide, Inc. | 6 | | 646 |
| CSX Corp. | 505 | | 18,912 |
| Delta Air Lines, Inc.* | 26 | | 1,029 |
| Expeditors International of Washington, Inc. | 280 | | 28,885 |
| FedEx Corp. | 432 | | 99,961 |
| JB Hunt Transport Services, Inc. | 5 | | 1,004 |
| Norfolk Southern Corp. | 14 | | 3,993 |
| Old Dominion Freight Line, Inc. | 5 | | 1,493 |
| Southwest Airlines Co.* | 25 | | 1,145 |
| Union Pacific Corp. | 38 | | 10,382 |
| United Airlines Holdings, Inc.* | 14 | | 649 |
| United Parcel Service, Inc., Class B | 665 | | 142,616 |
| | | | 311,498 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Concluded)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Utilities — 0.8% |
| AES Corp. (The) | 1,117 | | $ 28,740 |
| Alliant Energy Corp. | 11 | | 687 |
| Ameren Corp. | 10 | | 938 |
| American Electric Power Co., Inc. | 21 | | 2,095 |
| American Water Works Co., Inc. | 8 | | 1,324 |
| Atmos Energy Corp. | 5 | | 597 |
| CenterPoint Energy, Inc. | 27 | | 827 |
| CMS Energy Corp. | 12 | | 839 |
| Consolidated Edison, Inc. | 15 | | 1,420 |
| Constellation Energy Corp. | 19 | | 1,069 |
| Dominion Energy, Inc. | 49 | | 4,164 |
| DTE Energy Co. | 325 | | 42,968 |
| Duke Energy Corp. | 32 | | 3,573 |
| Edison International | 15 | | 1,052 |
| Entergy Corp. | 8 | | 934 |
| Evergy, Inc. | 10 | | 683 |
| Eversource Energy | 14 | | 1,235 |
| Exelon Corp. | 59 | | 2,810 |
| FirstEnergy Corp. | 24 | | 1,101 |
| NextEra Energy, Inc. | 82 | | 6,946 |
| NiSource, Inc. | 17 | | 541 |
| NRG Energy, Inc. | 410 | | 15,728 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Utilities — (Continued) |
| Pinnacle West Capital Corp. | 4 | | $ 312 |
| PPL Corp. | 44 | | 1,257 |
| Public Service Enterprise Group, Inc. | 29 | | 2,030 |
| Sempra Energy | 13 | | 2,186 |
| Southern Co. (The) | 44 | | 3,190 |
| WEC Energy Group, Inc. | 13 | | 1,298 |
| Xcel Energy, Inc. | 22 | | 1,588 |
| | | | 132,132 |
TOTAL COMMON STOCKS
(Cost $14,074,543) | | | 16,945,452 |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 0.7% | | | 117,964 |
| NET ASSETS - 100.0% | | | $ 17,063,416 |
| PLC | Public Limited Company |
| REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of the financial statements.
GOTHAM HEDGED CORE FUND
Portfolio of Investments
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| LONG POSITIONS — 138.3% |
| COMMON STOCKS — 138.3% |
| Capital Goods — 5.8% |
| 3M Co.† | 474 | | $ 70,569 |
| General Dynamics Corp. | 307 | | 74,042 |
| L3Harris Technologies, Inc. | 201 | | 49,943 |
| Lockheed Martin Corp.† | 376 | | 165,967 |
| Masco Corp.† | 1,811 | | 92,361 |
| Northrop Grumman Corp.† | 42 | | 18,783 |
| Otis Worldwide Corp. | 172 | | 13,235 |
| Roper Technologies, Inc.† | 16 | | 7,556 |
| | | | 492,456 |
| Commercial & Professional Services — 0.7% |
| Robert Half International, Inc.† | 535 | | 61,086 |
| Consumer Durables & Apparel — 0.6% |
| NIKE, Inc., Class B | 316 | | 42,521 |
| Under Armour, Inc., Class C* | 758 | | 11,794 |
| | | | 54,315 |
| Consumer Services — 2.9% |
| Booking Holdings, Inc.* | 22 | | 51,666 |
| Domino's Pizza, Inc. | 77 | | 31,340 |
| McDonald's Corp.† | 357 | | 88,279 |
| Penn National Gaming, Inc.* | 748 | | 31,730 |
| Yum! Brands, Inc.† | 313 | | 37,100 |
| | | | 240,115 |
| Diversified Financials — 5.5% |
| Berkshire Hathaway, Inc., Class B†* | 448 | | 158,104 |
| BlackRock, Inc.† | 85 | | 64,954 |
| Cboe Global Markets, Inc. | 16 | | 1,831 |
| CME Group, Inc. | 21 | | 4,995 |
| Intercontinental Exchange, Inc. | 221 | | 29,198 |
| Moody's Corp. | 17 | | 5,736 |
| Nasdaq, Inc.† | 473 | | 84,289 |
| S&P Global, Inc.† | 2 | | 820 |
| T Rowe Price Group, Inc.† | 725 | | 109,613 |
| | | | 459,540 |
| Energy — 2.3% |
| Baker Hughes Co. | 507 | | 18,460 |
| Chevron Corp. | 360 | | 58,619 |
| Coterra Energy, Inc. | 1,021 | | 27,536 |
| EOG Resources, Inc. | 462 | | 55,084 |
| Exxon Mobil Corp. | 33 | | 2,725 |
| Halliburton Co. | 15 | | 568 |
| Marathon Petroleum Corp. | 320 | | 27,360 |
| Schlumberger NV (Curacao) | 131 | | 5,412 |
| | | | 195,764 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Food & Staples Retailing — 1.0% |
| Sysco Corp.† | 92 | | $ 7,512 |
| Walmart, Inc.† | 493 | | 73,417 |
| | | | 80,929 |
| Food, Beverage & Tobacco — 11.0% |
| Altria Group, Inc.† | 1,450 | | 75,762 |
| Archer-Daniels-Midland Co.† | 587 | | 52,983 |
| Campbell Soup Co.† | 1,401 | | 62,443 |
| Coca-Cola Co. (The)† | 873 | | 54,126 |
| Constellation Brands, Inc., Class A | 297 | | 68,405 |
| General Mills, Inc.† | 1,657 | | 112,212 |
| Hershey Co. (The)† | 28 | | 6,066 |
| Hormel Foods Corp. | 1,132 | | 58,343 |
| Kraft Heinz Co. (The)† | 1,135 | | 44,708 |
| Mondelez International, Inc., Class A† | 1,526 | | 95,802 |
| PepsiCo, Inc.† | 257 | | 43,017 |
| Philip Morris International, Inc.† | 1,533 | | 144,010 |
| Tyson Foods, Inc., Class A† | 1,245 | | 111,589 |
| | | | 929,466 |
| Health Care Equipment & Services — 15.5% |
| Abbott Laboratories† | 889 | | 105,222 |
| AmerisourceBergen Corp. | 32 | | 4,951 |
| Anthem, Inc.† | 100 | | 49,122 |
| Cerner Corp.† | 1,685 | | 157,649 |
| Cigna Corp. | 51 | | 12,220 |
| CVS Health Corp.† | 833 | | 84,308 |
| DaVita, Inc.* | 296 | | 33,480 |
| HCA Healthcare, Inc. | 88 | | 22,054 |
| Hologic, Inc.†* | 3,388 | | 260,266 |
| Laboratory Corp. of America Holdings†* | 701 | | 184,826 |
| McKesson Corp.† | 398 | | 121,840 |
| Medtronic PLC (Ireland) | 259 | | 28,736 |
| Quest Diagnostics, Inc.† | 1,492 | | 204,195 |
| UnitedHealth Group, Inc.† | 76 | | 38,758 |
| | | | 1,307,627 |
| Household & Personal Products — 3.8% |
| Colgate-Palmolive Co.† | 1,486 | | 112,684 |
| Kimberly-Clark Corp.† | 739 | | 91,015 |
| Procter & Gamble Co. (The)† | 745 | | 113,836 |
| | | | 317,535 |
| Insurance — 4.4% |
| Aon PLC, Class A (Ireland)† | 259 | | 84,338 |
| Arthur J Gallagher & Co.† | 418 | | 72,983 |
The accompanying notes are an integral part of the financial statements.
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Insurance — (Continued) |
| Brown & Brown, Inc. | 665 | | $ 48,060 |
| Marsh & McLennan Cos., Inc.† | 989 | | 168,545 |
| | | | 373,926 |
| Materials — 0.9% |
| CF Industries Holdings, Inc.† | 8 | | 825 |
| FMC Corp. | 248 | | 32,629 |
| Sealed Air Corp.† | 655 | | 43,859 |
| | | | 77,313 |
| Media & Entertainment — 14.9% |
| Activision Blizzard, Inc.† | 3,499 | | 280,305 |
| Alphabet, Inc., Class A†* | 102 | | 283,698 |
| Charter Communications, Inc., Class A†* | 326 | | 177,840 |
| Comcast Corp., Class A | 1,092 | | 51,127 |
| Electronic Arts, Inc.† | 44 | | 5,566 |
| Meta Platforms, Inc., Class A†* | 1,570 | | 349,105 |
| Netflix, Inc.†* | 269 | | 100,765 |
| Take-Two Interactive Software, Inc.†* | 18 | | 2,767 |
| | | | 1,251,173 |
| Pharmaceuticals, Biotechnology & Life Sciences — 12.9% |
| Bristol-Myers Squibb Co.† | 1,517 | | 110,786 |
| Charles River Laboratories International, Inc.* | 72 | | 20,446 |
| Danaher Corp.† | 135 | | 39,600 |
| Illumina, Inc.†* | 24 | | 8,386 |
| Johnson & Johnson† | 733 | | 129,910 |
| Merck & Co., Inc.† | 2,519 | | 206,684 |
| Moderna, Inc.†* | 1,111 | | 191,381 |
| Organon & Co.† | 744 | | 25,988 |
| PerkinElmer, Inc.† | 181 | | 31,577 |
| Pfizer, Inc.† | 4,947 | | 256,106 |
| Thermo Fisher Scientific, Inc. | 93 | | 54,930 |
| Zoetis, Inc. | 38 | | 7,166 |
| | | | 1,082,960 |
| Real Estate — 9.1% |
| Alexandria Real Estate Equities, Inc., REIT† | 609 | | 122,561 |
| AvalonBay Communities, Inc., REIT | 19 | | 4,719 |
| Digital Realty Trust, Inc., REIT | 220 | | 31,196 |
| Duke Realty Corp., REIT† | 1,661 | | 96,438 |
| Extra Space Storage, Inc., REIT† | 620 | | 127,472 |
| Mid-America Apartment Communities, Inc., REIT | 236 | | 49,430 |
| Prologis, Inc., REIT† | 720 | | 116,266 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Real Estate — (Continued) |
| Public Storage, REIT† | 377 | | $ 147,135 |
| Weyerhaeuser Co., REIT† | 1,872 | | 70,949 |
| | | | 766,166 |
| Retailing — 8.5% |
| Amazon.com, Inc.†* | 78 | | 254,276 |
| AutoZone, Inc.†* | 21 | | 42,936 |
| Bath & Body Works, Inc. | 613 | | 29,301 |
| Best Buy Co., Inc.† | 46 | | 4,181 |
| eBay, Inc.† | 2,977 | | 170,463 |
| Home Depot, Inc. (The)† | 159 | | 47,594 |
| Lowe's Cos., Inc.† | 211 | | 42,662 |
| O'Reilly Automotive, Inc.†* | 60 | | 41,098 |
| Ross Stores, Inc. | 182 | | 16,464 |
| Target Corp.† | 290 | | 61,544 |
| TJX Cos., Inc. (The) | 69 | | 4,180 |
| | | | 714,699 |
| Semiconductors & Semiconductor Equipment — 4.9% |
| Broadcom, Inc. | 46 | | 28,965 |
| Intel Corp.† | 3,025 | | 149,919 |
| KLA Corp. | 90 | | 32,945 |
| QUALCOMM, Inc.† | 880 | | 134,482 |
| Teradyne, Inc.† | 543 | | 64,199 |
| | | | 410,510 |
| Software & Services — 11.9% |
| Accenture PLC, Class A (Ireland) | 301 | | 101,506 |
| Adobe, Inc.* | 132 | | 60,142 |
| Automatic Data Processing, Inc. | 37 | | 8,419 |
| Gartner, Inc.* | 142 | | 42,239 |
| International Business Machines Corp. | 456 | | 59,289 |
| Mastercard, Inc., Class A† | 149 | | 53,250 |
| Microsoft Corp.† | 1,148 | | 353,940 |
| NortonLifeLock, Inc.† | 4,258 | | 112,922 |
| Paychex, Inc. | 142 | | 19,379 |
| PayPal Holdings, Inc.†* | 938 | | 108,480 |
| VeriSign, Inc.* | 40 | | 8,898 |
| Visa, Inc., Class A† | 322 | | 71,410 |
| | | | 999,874 |
| Technology Hardware & Equipment — 10.1% |
| Apple, Inc.† | 2,269 | | 396,190 |
| Cisco Systems, Inc.† | 1,960 | | 109,290 |
| HP, Inc.† | 3,378 | | 122,621 |
| IPG Photonics Corp.* | 1,042 | | 114,370 |
| Keysight Technologies, Inc.* | 43 | | 6,793 |
The accompanying notes are an integral part of the financial statements.
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Technology Hardware & Equipment — (Continued) |
| Motorola Solutions, Inc. | 215 | | $ 52,073 |
| Seagate Technology Holdings PLC (Ireland)† | 582 | | 52,322 |
| | | | 853,659 |
| Telecommunication Services — 2.6% |
| AT&T, Inc.† | 2,103 | | 49,694 |
| T-Mobile US, Inc.* | 355 | | 45,564 |
| Verizon Communications, Inc.† | 2,351 | | 119,760 |
| | | | 215,018 |
| Transportation — 3.3% |
| Expeditors International of Washington, Inc.† | 1,535 | | 158,350 |
| FedEx Corp. | 297 | | 68,723 |
| Southwest Airlines Co.* | 286 | | 13,099 |
| United Parcel Service, Inc., Class B† | 183 | | 39,246 |
| | | | 279,418 |
| Utilities — 5.7% |
| AES Corp. (The) | 4,581 | | 117,869 |
| DTE Energy Co.† | 1,275 | | 168,568 |
| NRG Energy, Inc.† | 3,367 | | 129,158 |
| PPL Corp.† | 2,314 | | 66,088 |
| | | | 481,683 |
TOTAL COMMON STOCKS
(Cost $10,311,947) | | | 11,645,232 |
|
| |
TOTAL LONG POSITIONS - 138.3%
(Cost $10,311,947) | | | 11,645,232 |
| SHORT POSITIONS — (39.7)% |
| COMMON STOCKS — (39.7)% |
| Automobiles & Components — (0.7)% |
| Aptiv PLC (Jersey)* | (338) | | (40,462) |
| Tesla, Inc.* | (16) | | (17,242) |
| | | | (57,704) |
| Banks — (3.9)% |
| Bank of America Corp. | (91) | | (3,751) |
| Citigroup, Inc. | (139) | | (7,422) |
| Citizens Financial Group, Inc. | (837) | | (37,941) |
| Comerica, Inc. | (288) | | (26,044) |
| Fifth Third Bancorp | (521) | | (22,424) |
| KeyCorp. | (637) | | (14,256) |
| M&T Bank Corp. | (188) | | (31,866) |
| Regions Financial Corp. | (1,849) | | (41,159) |
| Signature Bank | (47) | | (13,794) |
| | Number
of Shares | | Value |
|
| COMMON STOCKS — (Continued) |
| Banks — (Continued) |
| SVB Financial Group* | (38) | | $ (21,259) |
| Truist Financial Corp. | (770) | | (43,659) |
| US Bancorp | (709) | | (37,683) |
| Wells Fargo & Co. | (132) | | (6,397) |
| Zions Bancorp NA | (373) | | (24,454) |
| | | | (332,109) |
| Capital Goods — (4.3)% |
| Boeing Co. (The)* | (378) | | (72,387) |
| Deere & Co. | (47) | | (19,527) |
| Generac Holdings, Inc.* | (114) | | (33,888) |
| Howmet Aerospace, Inc. | (303) | | (10,890) |
| Huntington Ingalls Industries, Inc. | (247) | | (49,262) |
| Quanta Services, Inc. | (271) | | (35,666) |
| Raytheon Technologies Corp. | (130) | | (12,879) |
| Rockwell Automation, Inc. | (9) | | (2,520) |
| Stanley Black & Decker, Inc. | (208) | | (29,076) |
| Textron, Inc. | (49) | | (3,645) |
| TransDigm Group, Inc.* | (69) | | (44,956) |
| United Rentals, Inc.* | (129) | | (45,822) |
| Xylem, Inc. | (28) | | (2,387) |
| | | | (362,905) |
| Commercial & Professional Services — (0.2)% |
| Equifax, Inc. | (5) | | (1,185) |
| Rollins, Inc. | (378) | | (13,249) |
| | | | (14,434) |
| Consumer Durables & Apparel — (0.6)% |
| DR Horton, Inc. | (128) | | (9,537) |
| Garmin Ltd. (Switzerland) | (29) | | (3,440) |
| NVR, Inc.* | (7) | | (31,271) |
| PulteGroup, Inc. | (219) | | (9,176) |
| | | | (53,424) |
| Consumer Services — (1.1)% |
| Chipotle Mexican Grill, Inc.* | (29) | | (45,879) |
| Darden Restaurants, Inc. | (245) | | (32,573) |
| Las Vegas Sands Corp.* | (430) | | (16,714) |
| | | | (95,166) |
| Diversified Financials — (2.6)% |
| Capital One Financial Corp. | (177) | | (23,238) |
| Discover Financial Services | (393) | | (43,304) |
| Goldman Sachs Group, Inc. (The) | (62) | | (20,466) |
| MarketAxess Holdings, Inc. | (49) | | (16,670) |
| Morgan Stanley | (182) | | (15,907) |
| MSCI, Inc. | (36) | | (18,104) |
| Northern Trust Corp. | (186) | | (21,660) |
The accompanying notes are an integral part of the financial statements.
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
|
| COMMON STOCKS — (Continued) |
| Diversified Financials — (Continued) |
| State Street Corp. | (274) | | $ (23,871) |
| Synchrony Financial | (1,010) | | (35,158) |
| | | | (218,378) |
| Energy — (0.0)% |
| Hess Corp. | (5) | | (535) |
| Kinder Morgan, Inc. | (52) | | (984) |
| | | | (1,519) |
| Food, Beverage & Tobacco — (0.0)% |
| Lamb Weston Holdings, Inc. | (34) | | (2,037) |
| Health Care Equipment & Services — (5.5)% |
| ABIOMED, Inc.* | (175) | | (57,967) |
| Align Technology, Inc.* | (63) | | (27,468) |
| Baxter International, Inc. | (280) | | (21,711) |
| Becton Dickinson and Co. | (71) | | (18,886) |
| Boston Scientific Corp.* | (680) | | (30,117) |
| Cardinal Health, Inc. | (306) | | (17,350) |
| Cooper Cos., Inc. (The) | (79) | | (32,990) |
| Dexcom, Inc.* | (70) | | (35,812) |
| Edwards Lifesciences Corp.* | (182) | | (21,425) |
| Humana, Inc. | (64) | | (27,851) |
| IDEXX Laboratories, Inc.* | (81) | | (44,312) |
| Intuitive Surgical, Inc.* | (142) | | (42,839) |
| ResMed, Inc. | (27) | | (6,548) |
| STERIS PLC (Ireland) | (66) | | (15,957) |
| Stryker Corp. | (92) | | (24,596) |
| Zimmer Biomet Holdings, Inc. | (297) | | (37,986) |
| | | | (463,815) |
| Insurance — (1.1)% |
| Globe Life, Inc. | (37) | | (3,722) |
| Hartford Financial Services Group, Inc. (The) | (153) | | (10,987) |
| Lincoln National Corp. | (779) | | (50,915) |
| MetLife, Inc. | (319) | | (22,419) |
| Principal Financial Group, Inc. | (28) | | (2,056) |
| Prudential Financial, Inc. | (11) | | (1,300) |
| | | | (91,399) |
| Materials — (2.3)% |
| Albemarle Corp. | (361) | | (79,835) |
| Ball Corp. | (348) | | (31,320) |
| International Flavors & Fragrances, Inc. | (8) | | (1,051) |
| Martin Marietta Materials, Inc. | (104) | | (40,029) |
| Vulcan Materials Co. | (206) | | (37,842) |
| | | | (190,077) |
| | Number
of Shares | | Value |
|
| COMMON STOCKS — (Continued) |
| Media & Entertainment — (1.2)% |
| DISH Network Corp., Class A* | (566) | | $ (17,914) |
| Fox Corp., Class A | (766) | | (30,219) |
| Live Nation Entertainment, Inc.* | (97) | | (11,411) |
| Match Group, Inc.* | (263) | | (28,599) |
| Paramount Global, Class B | (387) | | (14,632) |
| | | | (102,775) |
| Pharmaceuticals, Biotechnology & Life Sciences — (1.9)% |
| AbbVie, Inc. | (4) | | (647) |
| Amgen, Inc. | (93) | | (22,489) |
| Biogen, Inc.* | (22) | | (4,633) |
| Bio-Rad Laboratories, Inc., Class A* | (11) | | (6,196) |
| Bio-Techne Corp. | (103) | | (44,603) |
| Catalent, Inc.* | (339) | | (37,595) |
| Gilead Sciences, Inc. | (25) | | (1,486) |
| IQVIA Holdings, Inc.* | (105) | | (24,277) |
| Mettler-Toledo International, Inc.* | (8) | | (10,986) |
| Waters Corp.* | (7) | | (2,173) |
| West Pharmaceutical Services, Inc. | (7) | | (2,875) |
| | | | (157,960) |
| Real Estate — (0.9)% |
| Equinix, Inc., REIT | (68) | | (50,430) |
| Host Hotels & Resorts, Inc., REIT | (41) | | (796) |
| Iron Mountain, Inc., REIT | (214) | | (11,858) |
| Vornado Realty Trust, REIT | (337) | | (15,273) |
| | | | (78,357) |
| Retailing — (2.1)% |
| CarMax, Inc.* | (619) | | (59,721) |
| Dollar Tree, Inc.* | (149) | | (23,862) |
| Etsy, Inc.* | (412) | | (51,204) |
| Pool Corp. | (53) | | (22,411) |
| Tractor Supply Co. | (75) | | (17,503) |
| | | | (174,701) |
| Semiconductors & Semiconductor Equipment — (2.3)% |
| Advanced Micro Devices, Inc.* | (170) | | (18,588) |
| Analog Devices, Inc. | (229) | | (37,826) |
| Enphase Energy, Inc.* | (219) | | (44,190) |
| Microchip Technology, Inc. | (87) | | (6,537) |
| Monolithic Power Systems, Inc. | (77) | | (37,397) |
| NVIDIA Corp. | (157) | | (42,839) |
| Texas Instruments, Inc. | (14) | | (2,569) |
| | | | (189,946) |
| Software & Services — (2.1)% |
| Ceridian HCM Holding, Inc.* | (378) | | (25,840) |
| Fortinet, Inc.* | (96) | | (32,807) |
The accompanying notes are an integral part of the financial statements.
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Concluded)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
|
| COMMON STOCKS — (Continued) |
| Software & Services — (Continued) |
| Intuit, Inc. | (7) | | $ (3,366) |
| Jack Henry & Associates, Inc. | (2) | | (394) |
| Paycom Software, Inc.* | (82) | | (28,403) |
| PTC, Inc.* | (476) | | (51,275) |
| Tyler Technologies, Inc.* | (68) | | (30,252) |
| | | | (172,337) |
| Technology Hardware & Equipment — (0.5)% |
| CDW Corp. | (61) | | (10,913) |
| Teledyne Technologies, Inc.* | (24) | | (11,343) |
| Trimble, Inc.* | (223) | | (16,087) |
| | | | (38,343) |
| Transportation — (0.5)% |
| CH Robinson Worldwide, Inc. | (178) | | (19,172) |
| JB Hunt Transport Services, Inc. | (131) | | (26,304) |
| | | | (45,476) |
| Utilities — (5.9)% |
| Alliant Energy Corp. | (56) | | (3,499) |
| Ameren Corp. | (243) | | (22,784) |
| American Water Works Co., Inc. | (266) | | (44,031) |
| Atmos Energy Corp. | (219) | | (26,168) |
| CenterPoint Energy, Inc. | (875) | | (26,810) |
| CMS Energy Corp. | (207) | | (14,478) |
| Dominion Energy, Inc. | (349) | | (29,654) |
| Duke Energy Corp. | (179) | | (19,987) |
| Edison International | (342) | | (23,974) |
| Entergy Corp. | (332) | | (38,761) |
| Evergy, Inc. | (449) | | (30,685) |
| Eversource Energy | (464) | | (40,920) |
| | Number
of Shares | | Value |
|
| COMMON STOCKS — (Continued) |
| Utilities — (Continued) |
| Exelon Corp. | (26) | | $ (1,238) |
| FirstEnergy Corp. | (240) | | (11,006) |
| NextEra Energy, Inc. | (331) | | (28,039) |
| NiSource, Inc. | (255) | | (8,109) |
| Pinnacle West Capital Corp. | (486) | | (37,957) |
| Public Service Enterprise Group, Inc. | (161) | | (11,270) |
| Sempra Energy | (51) | | (8,574) |
| WEC Energy Group, Inc. | (305) | | (30,442) |
| Xcel Energy, Inc. | (521) | | (37,601) |
| | | | (495,987) |
TOTAL COMMON STOCKS
(Proceeds $3,526,873) | | | (3,338,849) |
|
| |
TOTAL SHORT POSITIONS - (39.7)%
(Proceeds $3,526,873) | | (3,338,849) |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 1.4% | | | 114,613 |
| NET ASSETS - 100.0% | | | $ 8,420,996 |
| † | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. (See Note 1 of the Notes to Financial Statements) |
| * | Non-income producing. |
| PLC | Public Limited Company |
| REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statements of Assets and Liabilities
March 31, 2022
(Unaudited)
| | Gotham Absolute
Return Fund | | Gotham Enhanced
Return Fund | | Gotham Neutral
Fund |
| Assets | | | | | |
| Non-affiliated investments, at value1,2 | $546,375,644 | | $240,732,545 | | $ 46,205,067 |
| Swaps, at value(a) | 44,889,178 | | 39,756,771 | | 4,954,306 |
| Cash and cash equivalents | 2,233,397 | | 890,590 | | 1,622,935 |
| Due from broker | 3,585,230 | | 10,575,135 | | 146,053 |
| Receivables: | | | | | |
| Investments sold | 11,880,078 | | 5,361,281 | | 1,474,075 |
| Capital shares sold | 930,552 | | 477,845 | | 142,976 |
| Dividends | 374,637 | | 158,558 | | 29,640 |
| Prepaid expenses and other assets | 31,855 | | 4,945 | | 200 |
| Total Assets | 610,300,571 | | 297,957,670 | | 54,575,252 |
| Liabilities | | | | | |
| Obligation to return cash collateral on swap contracts (Note 1) | 18,950,000 | | 38,980,000 | | 3,550,000 |
| Payables: | | | | | |
| Investments purchased | 12,429,049 | | 5,253,780 | | 1,758,409 |
| Investment adviser | 608,476 | | 263,130 | | 42,759 |
| Capital shares redeemed | 408,948 | | 158,965 | | 24,410 |
| Administration and accounting fees | 24,955 | | 30,364 | | 18,069 |
| Accrued expenses | 143,124 | | 72,275 | | 105,532 |
| Total Liabilities | 32,564,552 | | 44,758,514 | | 5,499,179 |
| Net Assets | $577,736,019 | | $253,199,156 | | $ 49,076,073 |
| Net Assets Consisted of: | | | | | |
| Capital stock, $0.01 par value | $ 319,695 | | $ 213,382 | | $ 47,723 |
| Paid-in capital | 516,778,745 | | 171,367,992 | | 115,558,881 |
| Total distributable earnings/(loss) | 60,637,579 | | 81,617,782 | | (66,530,531) |
| Net Assets | $577,736,019 | | $253,199,156 | | $ 49,076,073 |
| Institutional Class Shares: | | | | | |
| Net assets | $577,736,019 | | $253,199,156 | | $ 49,076,073 |
| Shares outstanding | 31,969,535 | | 21,338,174 | | 4,772,317 |
| Net asset value, offering and redemption price per share | $ 18.07 | | $ 11.87 | | $ 10.28 |
| 1Non-affiliated investments, at cost | $502,694,033 | | $218,527,778 | | $ 43,343,888 |
| 2Includes market value of securities designated as collateral for swaps | $150,951,755 | | $ 77,619,254 | | $ 28,273,259 |
| (a) | Primary risk exposure is equity contracts. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statements of Assets and Liabilities (Continued)
March 31, 2022
(Unaudited)
| | Gotham Index
Plus Fund | | Gotham Large
Value Fund | | Gotham Hedged
Core Fund |
| Assets | | | | | |
| Non-affiliated investments, at value1,2 | $250,868,682 | | $61,213,829 | | $11,645,232 |
| Affiliated investments, at value3 | 234,069,406 | | — | | — |
| Swaps, at value(a) | 102,896,277 | | — | | — |
| Cash and cash equivalents | 2,003,043 | | — | | 50,435 |
| Due from broker | 35,222,627 | | — | | — |
| Deposits with brokers for securities sold short | — | | — | | 61,207 |
| Receivables: | | | | | |
| Investments sold | 4,282,234 | | 1,859,517 | | 278,251 |
| Capital shares sold | 381,314 | | 42,628 | | — |
| Dividends | 259,463 | | 52,707 | | 12,544 |
| Prepaid expenses and other assets | 65,025 | | 12,364 | | — |
| Total Assets | 630,048,071 | | 63,181,045 | | 12,047,669 |
| Liabilities | | | | | |
| Securities sold short, at value4 | — | | — | | 3,338,849 |
| Due to custodian | — | | 421,130 | | — |
| Obligation to return cash collateral on swap contracts (Note 1) | 109,050,000 | | — | | — |
| Payables: | | | | | |
| Investments purchased | 3,168,236 | | 923,959 | | 278,637 |
| Capital shares redeemed | 789,556 | | 137,120 | | — |
| Investment adviser | 288,107 | | 21,943 | | 4,760 |
| Administration and accounting fees | 23,035 | | 4,699 | | — |
| 12b-1 distribution fees (Investor Class Shares) | 2,717 | | — | | — |
| Dividends and fees on securities sold short | — | | — | | 3,385 |
| Accrued expenses | 105,433 | | 36,999 | | 1,042 |
| Total Liabilities | 113,427,084 | | 1,545,850 | | 3,626,673 |
| Net Assets | $516,620,987 | | $61,635,195 | | $ 8,420,996 |
| Net Assets Consisted of: | | | | | |
| Capital stock, $0.01 par value | $ 245,476 | | $ 40,225 | | $ 7,273 |
| Paid-in capital | 343,330,658 | | 48,874,270 | | 7,170,959 |
| Total distributable earnings | 173,044,853 | | 12,720,700 | | 1,242,764 |
| Net Assets | $516,620,987 | | $61,635,195 | | $ 8,420,996 |
| Institutional Class Shares: | | | | | |
| Net assets | $503,481,675 | | $61,635,195 | | $ 8,420,996 |
| Shares outstanding | 23,922,037 | | 4,022,462 | | 727,344 |
| Net asset value, offering and redemption price per share | $ 21.05 | | $ 15.32 | | $ 11.58 |
| Investor Class Shares: | | | | | |
| Net assets | $ 13,139,312 | | N/A | | N/A |
| Shares outstanding | 625,543 | | N/A | | N/A |
| Net asset value, offering and redemption price per share | $ 21.00 | | N/A | | N/A |
| 1Non-affiliated investments, at cost | $231,443,930 | | $52,981,918 | | $10,311,947 |
| 2Includes market value of securities designated as collateral for swaps | $200,637,041 | | $ — | | $ — |
| 3Affiliated investments, at cost | $232,808,996 | | $ — | | $ — |
| 4Proceeds received, securities sold short | $ — | | $ — | | $ 3,526,873 |
| (a) | Primary risk exposure is equity contracts. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statements of Assets and Liabilities (Concluded)
March 31, 2022
(Unaudited)
| | Gotham Enhanced S&P
500 Index Fund | | Gotham Hedged
Core Fund |
| Assets | | | |
| Non-affiliated investments, at value1 | $16,945,452 | | $11,645,232 |
| Cash and cash equivalents | 105,561 | | 50,435 |
| Deposits with brokers for securities sold short | — | | 61,207 |
| Receivables: | | | |
| Investments sold | 292,001 | | 278,251 |
| Capital shares sold | 9,691 | | — |
| Dividends | 12,125 | | 12,544 |
| Total Assets | 17,364,830 | | 12,047,669 |
| Liabilities | | | |
| Securities sold short, at value2 | — | | 3,338,849 |
| Payables: | | | |
| Investments purchased | 292,997 | | 278,637 |
| Investment adviser | 4,908 | | 4,760 |
| Capital shares redeemed | 1,406 | | — |
| Dividends and fees on securities sold short | — | | 3,385 |
| Accrued expenses | 2,103 | | 1,042 |
| Total Liabilities | 301,414 | | 3,626,673 |
| Net Assets | $17,063,416 | | $ 8,420,996 |
| Net Assets Consisted of: | | | |
| Capital stock, $0.01 par value | $ 10,552 | | $ 7,273 |
| Paid-in capital | 13,844,985 | | 7,170,959 |
| Total distributable earnings | 3,207,879 | | 1,242,764 |
| Net Assets | $17,063,416 | | $ 8,420,996 |
| Institutional Class Shares: | | | |
| Net assets | $17,063,416 | | $ 8,420,996 |
| Shares outstanding | 1,055,225 | | 727,344 |
| Net asset value, offering and redemption price per share | $ 16.17 | | $ 11.58 |
| 1Non-affiliated investments, at cost | $14,074,543 | | $10,311,947 |
| 2Proceeds received, securities sold short | $ — | | $ 3,526,873 |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statements of Operations
For the Six Months Ended March 31, 2022
(Unaudited)
| | Gotham Absolute
Return Fund | | Gotham Enhanced
Return Fund | | Gotham Neutral
Fund |
| Investment income | | | | | |
| Dividends from non-affiliated investments | $ 3,376,686 | | $ 1,543,635 | | $ 264,856 |
| Interest | 35 | | 10 | | 7 |
| Less: taxes withheld | (15,250) | | (10,606) | | (1,634) |
| Total investment income | 3,361,471 | | 1,533,039 | | 263,229 |
| Expenses | | | | | |
| Advisory fees (Note 2) | 4,100,621 | | 1,853,466 | | 330,009 |
| Transfer agent fees (Note 2) | 221,681 | | 76,700 | | 16,194 |
| Administration and accounting fees (Note 2) | 113,399 | | 78,294 | | 48,513 |
| Trustees’ and officers’ fees(Note 2) | 72,729 | | 33,884 | | 6,063 |
| Legal fees | 65,423 | | 29,489 | | 6,424 |
| Audit fees | 40,261 | | 25,538 | | 18,772 |
| Shareholder reporting fees | 37,255 | | 20,555 | | 12,190 |
| Custodian fees(Note 2) | 29,799 | | 16,696 | | 2,661 |
| Registration and filing fees | 22,132 | | 6,189 | | 6,190 |
| Other expenses | 13,503 | | 8,377 | | 5,973 |
| Total expenses before recoupments, waivers and/or reimbursements | 4,716,803 | | 2,149,188 | | 452,989 |
| Recoupments, waivers and/or reimbursements(Note 2) | (616,128) | | (295,700) | | (122,980) |
| Net expenses after recoupments, waivers and/or reimbursements | 4,100,675 | | 1,853,488 | | 330,009 |
| Net investment loss | (739,204) | | (320,449) | | (66,780) |
| Net realized and unrealized gain/(loss) from investments: | | | | | |
| Net realized gain from non-affiliated investments | 31,768,132 | | 13,191,669 | | 2,004,102 |
| Net realized gain from swaps | 10,739,215 (a) | | 12,347,750 (a) | | 519,284 (a) |
| Net realized gain from foreign currency transactions | 207 | | 101 | | 46 |
| Net change in unrealized depreciation on non-affiliated investments | (13,572,214) | | (6,303,630) | | (216,643) |
| Net change in unrealized appreciation on swaps | 12,746,345 (a) | | 4,437,726 (a) | | 1,898,284 (a) |
| Net change in unrealized depreciation on foreign currency translations | (708) | | (361) | | (95) |
| Net realized and unrealized gain on investments | 41,680,977 | | 23,673,255 | | 4,204,978 |
| Net increase in net assets resulting from operations | $ 40,941,773 | | $23,352,806 | | $4,138,198 |
| (a) | Primary risk exposure is equity contracts. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statements of Operations (Continued)
For the Six Months Ended March 31, 2022
(Unaudited)
| | Gotham Index
Plus Fund | | Gotham Large
Value Fund |
| Investment income | | | |
| Dividends from non-affiliated investments from non-affiliated investments | $ 2,708,042 | | $ 673,960 |
| Dividends from affiliated investments | 534,389 | | — |
| Interest | 13 | | 8 |
| Less: taxes withheld | (704) | | (467) |
| Total investment income | 3,241,740 | | 673,501 |
| Expenses | | | |
| Advisory fees (Note 2) | 2,084,251 | | 248,376 |
| Transfer agent fees (Note 2) | 191,042 | | 31,297 |
| Administration and accounting fees (Note 2) | 80,631 | | 14,819 |
| Trustees’ and officers’ fees(Note 2) | 68,623 | | 12,010 |
| Legal fees | 56,817 | | 12,228 |
| Registration and filing fees | 37,419 | | 9,253 |
| Custodian fees(Note 2) | 36,738 | | 3,183 |
| Audit fees | 30,569 | | 12,927 |
| Shareholder reporting fees | 26,181 | | 11,794 |
| Distribution fees (Investor Class)(Note 2) | 16,284 | | — |
| Other expenses | 15,759 | | 5,309 |
| Total expenses before recoupments, waivers and/or reimbursements | 2,644,314 | | 361,196 |
| Recoupments, waivers and/or reimbursements(Note 2) | (172,122) | | (112,839) |
| Net expenses after recoupments, waivers and/or reimbursements | 2,472,192 | | 248,357 |
| Net investment income | 769,548 | | 425,144 |
| Net realized and unrealized gain/(loss) from investments: | | | |
| Net realized gain from non-affiliated investments | 70,761,387 (a) | | 7,136,731 |
| Net realized loss from swaps | (3,068,116) (b) | | — |
| Net change in unrealized depreciation on non-affiliated investments | (40,738,979) | | (1,727,774) |
| Net change in unrealized appreciation on affiliated investments | 1,166,033 | | — |
| Net change in unrealized appreciation on swaps | 15,733,041 (b) | | — |
| Net realized and unrealized gain on investments | 43,853,366 | | 5,408,957 |
| Net increase in net assets resulting from operations | $ 44,622,914 | | $ 5,834,101 |
| (a) | Includes net realized gains of $58,353,007 relating to a redemption in-kind. For tax purposes, no gain or losses will be recognized. |
| (b) | Primary risk exposure is equity contracts. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statements of Operations (Concluded)
For the Six Months Ended March 31, 2022
(Unaudited)
| | Gotham Enhanced S&P
500 Index Fund | | Gotham Hedged
Core Fund |
| Investment income | | | |
| Dividends from non-affiliated investments | $ 141,998 | | $ 107,632 |
| Interest | 2 | | 2 |
| Less: taxes withheld | (3) | | — |
| Total investment income | 141,997 | | 107,634 |
| Expenses | | | |
| Advisory fees (Note 2) | 41,754 | | 29,250 |
| Support services fees | 12,526 | | 6,268 |
| Dividends and fees on securities sold short (Note 1) | — | | 36,940 |
| Total expenses before recoupments, waivers and/or reimbursements | 54,280 | | 72,458 |
| Recoupments, waivers and/or reimbursements(Note 2) | (12,526) | | — |
| Net expenses after recoupments, waivers and/or reimbursements | 41,754 | | 72,458 |
| Net investment income | 100,243 | | 35,176 |
| Net realized and unrealized gain/(loss) from investments: | | | |
| Net realized gain from non-affiliated investments | 668,896 | | 382,918 |
| Net realized loss from securities sold short | — | | (141,444) |
| Net change in unrealized appreciation on non-affiliated investments | 395,835 | | 268,954 |
| Net change in unrealized appreciation on securities sold short | — | | 90,055 |
| Net realized and unrealized gain on investments | 1,064,731 | | 600,483 |
| Net increase in net assets resulting from operations | $1,164,974 | | $ 635,659 |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statements of Changes in Net Assets
| | Gotham Absolute Return Fund | | Gotham Enhanced Return Fund |
| | For the
Six Months Ended
March 31, 2022
(Unaudited) | | For the Year
Ended
September 30, 2021 | | For the
Six Months Ended
March 31, 2022
(Unaudited) | | For the Year
Ended
September 30, 2021 |
| Net increase/(decrease) in net assets from operations: | | | | | | | |
| Net investment loss | $ (739,204) | | $ (1,887,777) | | $ (320,449) | | $ (806,654) |
| Net realized gains from investments, swaps and foreign currency transactions | 42,507,554 | | 73,266,111 | | 25,539,520 | | 64,088,645 |
| Net change in unrealized depreciation on investments, swaps and foreign currency translations | (826,577) | | (1,145,601) | | (1,866,265) | | (11,239,376) |
| Net increase in net assets resulting from operations | 40,941,773 | | 70,232,733 | | 23,352,806 | | 52,042,615 |
| Less dividends and distributions to shareholders from: | | | | | | | |
| Total distributable earnings: | | | | | | | |
| Institutional Class | — | | — | | (42,651,417) | | (334,852) |
| Net decrease in net assets from dividends and distributions to shareholders | — | | — | | (42,651,417) | | (334,852) |
| Increase/(decrease) in net assets derived from capital share transactions (Note 4) | 37,265,395 | | (76,693,148) | | 45,179,176 | | (61,113,855) |
| Total increase/(decrease) in net assets | 78,207,168 | | (6,460,415) | | 25,880,565 | | (9,406,092) |
| Net assets | | | | | | | |
| Beginning of period | 499,528,851 | | 505,989,266 | | 227,318,591 | | 236,724,683 |
| End of period | $577,736,019 | | $499,528,851 | | $253,199,156 | | $227,318,591 |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
| | Gotham Neutral Fund | | Gotham Index Plus Fund |
| | For the
Six Months Ended
March 31, 2022
(Unaudited) | | For the Year
Ended
September 30, 2021 | | For the
Six Months Ended
March 31, 2022
(Unaudited) | | For the Year
Ended
September 30, 2021 |
| Net increase/(decrease) in net assets from operations: | | | | | | | |
| Net investment income/(loss) | $ (66,780) | | $ (226,259) | | $ 769,548 | | $ 2,375,987 |
| Net realized gains from investments, swaps and foreign currency transactions | 2,523,432 | | 6,805,014 | | 67,693,271 | | 139,673,952 |
| Net change in unrealized appreciation/(depreciation) on investments, swaps and foreign currency translations | 1,681,546 | | (6,635,519) | | (23,839,905) | | (41,397,278) |
| Net increase/(decrease) in net assets resulting from operations | 4,138,198 | | (56,764) | | 44,622,914 | | 100,652,661 |
| Less dividends and distributions to shareholders from: | | | | | | | |
| Total distributable earnings: | | | | | | | |
| Institutional Class | — | | — | | (25,263,484) | | (4,445,820) |
| Investor Class | N/A | | N/A | | (667,869) | | (98,640) |
| Net decrease in net assets from dividends and distributions to shareholders | — | | — | | (25,931,353) | | (4,544,460) |
| Increase/(decrease) in net assets derived from capital share transactions (Note 4) | 4,769,685 | | (15,450,336) | | 40,502,725 | | (43,732,266) |
| Total increase/(decrease) in net assets | 8,907,883 | | (15,507,100) | | 59,194,286 | | 52,375,935 |
| Net assets | | | | | | | |
| Beginning of period | 40,168,190 | | 55,675,290 | | 457,426,701 | | 405,050,766 |
| End of period | $49,076,073 | | $ 40,168,190 | | $516,620,987 | | $457,426,701 |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
| | Gotham Large Value Fund | | Gotham Enhanced S&P 500 Index Fund |
| | For the
Six Months Ended
March 31, 2022
(Unaudited) | | For the Year
Ended
September 30, 2021 | | For the
Six Months Ended
March 31, 2022
(Unaudited) | | For the Year
Ended
September 30, 2021 |
| Net increase/(decrease) in net assets from operations: | | | | | | | |
| Net investment income | $ 425,144 | | $ 1,138,914 | | $ 100,243 | | $ 146,962 |
| Net realized gains from investments | 7,136,731 | | 18,029,679 | | 668,896 | | 1,005,340 |
| Net change in unrealized appreciation/(depreciation) on investments | (1,727,774) | | 4,213,869 | | 395,835 | | 1,553,131 |
| Net increase in net assets resulting from operations | 5,834,101 | | 23,382,462 | | 1,164,974 | | 2,705,433 |
| Less dividends and distributions to shareholders from: | | | | | | | |
| Total distributable earnings: | | | | | | | |
| Institutional Class | (11,158,028) | | (1,307,860) | | (1,109,897) | | (114,476) |
| Net decrease in net assets from dividends and distributions to shareholders | (11,158,028) | | (1,307,860) | | (1,109,897) | | (114,476) |
| Increase/(decrease) in net assets derived from capital share transactions (Note 4) | 1,607,860 | | (26,725,897) | | 1,439,410 | | 6,631,865 |
| Total increase/(decrease) in net assets | (3,716,067) | | (4,651,295) | | 1,494,487 | | 9,222,822 |
| Net assets | | | | | | | |
| Beginning of period | 65,351,262 | | 70,002,557 | | 15,568,929 | | 6,346,107 |
| End of period | $ 61,635,195 | | $ 65,351,262 | | $17,063,416 | | $15,568,929 |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statements of Changes in Net Assets (Concluded)
| | Gotham Hedged Core Fund |
| | For the
Six Months Ended
March 31, 2022
(Unaudited) | | For the Year
Ended
September 30, 2021 |
| Net increase in net assets from operations: | | | |
| Net investment income | $ 35,176 | | $ 103,349 |
| Net realized gains from investments and securities sold short | 241,474 | | 1,189,444 |
| Net change in unrealized appreciation on investments and securities sold short | 359,009 | | 181,311 |
| Net increase in net assets resulting from operations | 635,659 | | 1,474,104 |
| Less dividends and distributions to shareholders from: | | | |
| Total distributable earnings: | | | |
| Institutional Class | (1,449,183) | | (83,766) |
| Net decrease in net assets from dividends and distributions to shareholders | (1,449,183) | | (83,766) |
| Increase/(decrease) in net assets derived from capital share transactions (Note 4) | 1,057,830 | | (2,017,190) |
| Total increase/(decrease) in net assets | 244,306 | | (626,852) |
| Net assets | | | |
| Beginning of period | 8,176,690 | | 8,803,542 |
| End of period | $ 8,420,996 | | $ 8,176,690 |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statement of Cash Flow
For the Six Months Ended March 31, 2022
(Unaudited)
| | Gotham Hedged Core Fund |
| Cash flows from operating activities: | |
| Net increase in net assets resulting from operations | $ 635,659 |
| |
| Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities: | |
| Purchases of long-term portfolio investments | (11,876,042) |
| Proceeds from disposition of long-term portfolio investments | 12,260,116 |
| Purchases to cover securities sold short | (6,244,512) |
| Proceeds from securities sold short | 6,242,268 |
| Net realized gain on investments and investments sold short | (241,474) |
| Net change in unrealized appreciation/(depreciation) on investments and investments sold short | (359,009) |
| Increase in receivable for investments sold | (72,175) |
| Decrease in dividends and interest receivable | 1,879 |
| Increase in payable for investments purchased | 72,566 |
| Decrease in payable for dividends and fees on securities sold short | (641) |
| Decrease in payable to investment adviser | (14,827) |
| Decrease in accrued expense payable | (8) |
| Net cash provided by operating activities | 403,800 |
| Cash flows from financing activities: | |
| Proceeds from shares sold | 25,000 |
| Payment of shares redeemed | (416,353) |
| Net cash used in financing activities | (391,353) |
| Net increase in cash and restricted cash | 12,447 |
| Cash and restricted cash: | |
| Beginning of period: | $ 99,195 |
| End of period: | $ 111,642 |
| Reconciliation of restricted and unrestricted cash at the beginning of the period to the statements of assets and liabilities: | |
| Cash | $ 27,188 |
| Restricted Cash | $ 72,007 |
| Reconciliation of restricted and unrestricted cash at the end of the period to the statements of assets and liabilities: | |
| Cash | $ 50,435 |
| Restricted Cash | $ 61,207 |
| |
| Supplemental disclosure of cash flow information: | |
| Cash received during the period for financing charges | $ 11,251 |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Gotham Absolute Return Fund
Financial Highlights
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class Shares |
| | For the
Six Months Ended
March 31,
2022
(Unaudited) | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 | | For the
Year Ended
September 30,
2018 | | For the
Year Ended
September 30,
2017 |
| Per Share Operating Performance | | | | | | | | | | | |
| Net asset value, beginning of period | $ 16.73 | | $ 14.39 | | $ 15.01 | | $ 14.86 | | $ 13.94 | | $ 12.70 |
| Net investment loss(1) | (0.02) | | (0.06) | | (0.06) | | (0.00) (2) | | (0.09) | | (0.12) |
| Net realized and unrealized gain/(loss) on investments | 1.36 | | 2.40 | | (0.56) | | 0.15 | | 1.01 | | 1.36 |
| Total from investment operations | 1.34 | | 2.34 | | (0.62) | | 0.15 | | 0.92 | | 1.24 |
| Redemption fees | 0.00 (3) | | 0.00 (3) | | 0.00 (3) | | 0.00 (3) | | 0.00 (3) | | 0.00 (3) |
| Net asset value, end of period | $ 18.07 | | $ 16.73 | | $ 14.39 | | $ 15.01 | | $ 14.86 | | $ 13.94 |
| Total investment return(4) | 8.01% | | 16.26% | | (4.13)% | | 1.01% | | 6.60% | | 9.76% |
| Ratios/Supplemental Data | | | | | | | | | | | |
| Net assets, end of period (in 000s) | $577,736 | | $499,529 | | $505,989 | | $857,247 | | $1,069,045 | | $884,205 |
| Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any (including dividend and interest expense)(5) | 1.50% (6) | | 1.50% | | 2.55% | | 2.58% | | 2.56% | | 2.81% |
| Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(5)(7) | 1.73% (6) | | 1.77% | | 2.65% | | 2.60% | | 2.63% | | 2.95% |
| Ratio of net investment loss to average net assets (including dividend and interest expense) | (0.27)% (6) | | (0.39)% | | (0.39)% | | (0.02)% (8) | | (0.58)% | | (0.88)% |
| Portfolio turnover rate | 143% (9) | | 210% | | 259% | | 233% | | 258% | | 238% |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Amount is less than $(0.005) per share. |
| (3) | Amount is less than $0.005 per share. |
| (4) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (5) | Expense ratio includes dividend and fees on securities sold short and fees on cash collateral. Excluding such dividend and fees on securities sold short and fees on cash collateral, the ratio of expenses to average net assets including waivers, reimbursement, and recoupments for the Fund would be 2.05%, 2.15%, 2.15% and 2.15% for the years ended September 30, 2020, 2019, 2018 and 2017, respectively. |
| (6) | Annualized. |
| (7) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
| (8) | Net rebate income on securities sold short exceeded dividends and fees on securities sold short during the period. (See Note 1). |
| (9) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Gotham Enhanced Return Fund
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class Shares |
| | For the
Six Months Ended
March 31,
2022
(Unaudited) | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 | | For the
Year Ended
September 30,
2018 | | For the
Year Ended
September 30,
2017 |
| Per Share Operating Performance | | | | | | | | | | | |
| Net asset value, beginning of period | $ 12.92 | | $ 10.21 | | $ 14.51 | | $ 15.55 | | $ 13.68 | | $ 11.79 |
| Net investment loss(1) | (0.02) | | (0.04) | | (0.04) | | (0.08) | | (0.13) | | (0.07) |
| Net realized and unrealized gain/(loss) on investments | 1.37 | | 2.77 | | (0.48) | | 0.26 | | 2.14 | | 1.96 |
| Total from investment operations | 1.35 | | 2.73 | | (0.52) | | 0.18 | | 2.01 | | 1.89 |
| Dividends and distributions to shareholders from: | | | | | | | | | | | |
| Net investment income | — | | (0.02) | | — | | — | | — | | — |
| Net realized capital gains | (2.40) | | — | | (3.78) | | (1.22) | | (0.14) | | — |
| Total dividends and distributions to shareholders | (2.40) | | (0.02) | | (3.78) | | (1.22) | | (0.14) | | — |
| Redemption fees | 0.00 (2) | | 0.00 (2) | | 0.00 (2) | | 0.00 (2) | | 0.00 (2) | | 0.00 (2) |
| Net asset value, end of period | $ 11.87 | | $ 12.92 | | $ 10.21 | | $ 14.51 | | $ 15.55 | | $ 13.68 |
| Total investment return(3) | 10.27% | | 26.73% | | (6.81)% | | 1.79% | | 14.79% | | 16.03% |
| Ratios/Supplemental Data | | | | | | | | | | | |
| Net assets, end of period (in 000s) | $253,199 | | $227,319 | | $236,725 | | $519,067 | | $845,833 | | $897,371 |
| Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any (including dividend and interest expense)(4) | 1.50% (5) | | 1.50% | | 2.12% | | 3.56% | | 3.63% | | 3.55% |
| Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(4)(6) | 1.74% (5) | | 1.79% | | 2.22% | | 3.56% | | 3.67% | | 3.56% |
| Ratio of net investment loss to average net assets (including dividend and interest expense) | (0.26)% (5) | | (0.36)% | | (0.37)% | | (0.56)% | | (0.84)% | | (0.51)% |
| Portfolio turnover rate | 133% (7) | | 203% | | 213% | | 204% | | 197% | | 196% |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Amount is less than $0.005 per share. |
| (3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (4) | Expense ratio includes dividend and fees on securities sold short and fees on cash collateral. Excluding such dividend and fees on securities sold short and fees on cash collateral, the ratio of expenses to average net assets including recoupments, waivers and/or reimbursements for the Fund would be 2.06%, 2.15%, 2.15% and 2.15% for years ended September 30, 2020, 2019, 2018 and 2017, respectively. |
| (5) | Annualized. |
| (6) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
| (7) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Gotham Neutral Fund
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class Shares |
| | For the
Six Months Ended
March 31,
2022
(Unaudited) | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 | | For the
Year Ended
September 30,
2018 | | For the
Year Ended
September 30,
2017 |
| Per Share Operating Performance | | | | | | | | | | | |
| Net asset value, beginning of period | $ 9.32 | | $ 9.19 | | $ 10.35 | | $ 10.25 | | $ 10.23 | | $ 9.91 |
| Net investment income/(loss)(1) | (0.02) | | (0.05) | | (0.09) | | 0.01 | | (0.09) | | (0.13) |
| Net realized and unrealized gain/(loss) on investments | 0.98 | | 0.18 | | (1.07) | | 0.09 | | 0.11 | | 0.45 |
| Total from investment operations | 0.96 | | 0.13 | | (1.16) | | 0.10 | | 0.02 | | 0.32 |
| Redemption fees | — | | 0.00 (2) | | 0.00 (2) | | 0.00 (2) | | 0.00 (2) | | 0.00 (2) |
| Net asset value, end of period | $ 10.28 | | $ 9.32 | | $ 9.19 | | $ 10.35 | | $ 10.25 | | $ 10.23 |
| Total investment return(3) | 10.30% | | 1.42% | | (11.21)% | | 0.98% | | 0.20% | | 3.23% |
| Ratios/Supplemental Data | | | | | | | | | | | |
| Net assets, end of period (in 000s) | $49,076 | | $40,168 | | $55,675 | | $181,413 | | $356,672 | | $669,540 |
| Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any (including dividend and interest expense)(4) | 1.50% (5) | | 1.50% | | 2.79% | | 2.34% | | 2.61% | | 3.10% |
| Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(4)(6) | 2.06% (5) | | 2.07% | | 2.90% | | 2.33% | | 2.73% | | 3.14% |
| Ratio of net investment income/(loss) to average net assets (including dividend and interest expense) | (0.30)% (5) | | (0.53)% | | (0.95)% | | 0.11% (7) | | (0.87)% | | (1.31)% |
| Portfolio turnover rate | 208% (8) | | 282% | | 356% | | 331% | | 274% | | 261% |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Amount is less than $0.005 per share. |
| (3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (4) | Expense ratio includes dividend and fees on securities sold short and fees on cash collateral. Excluding such dividend and fees on securities sold short and fees on cash collateral, the ratio of expenses to average net assets including waivers, reimbursement, and recoupments for the Fund would be 2.09%, 2.15%, 2.15% and 2.15% for the years ended September 30, 2020, 2019, 2018 and 2017, respectively. |
| (5) | Annualized. |
| (6) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
| (7) | Net rebate income on securities sold short exceeded dividends and fees on securities sold short during the period. (See Note 1). |
| (8) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Gotham Index Plus Fund
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class Shares |
| | For the
Six Months Ended
March 31,
2022
(Unaudited) | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 | | For the
Year Ended
September 30,
2018 | | For the
Year Ended
September 30,
2017 |
| Per Share Operating Performance | | | | | | | | | | | |
| Net asset value, beginning of period | $ 20.30 | | $ 16.19 | | $ 15.18 | | $ 15.73 | | $ 13.00 | | $ 10.59 |
| Net investment income(1) | 0.03 | | 0.10 | | 0.14 | | 0.13 | | 0.10 | | 0.06 |
| Net realized and unrealized gain/(loss) on investments | 1.87 | | 4.19 | | 1.09 | | (0.39) | | 2.68 | | 2.41 |
| Total from investment operations | 1.90 | | 4.29 | | 1.23 | | (0.26) | | 2.78 | | 2.47 |
| Dividends and distributions to shareholders from: | | | | | | | | | | | |
| Net investment income | (0.10) | | (0.18) | | (0.22) | | (0.06) | | (0.05) | | (0.06) |
| Net realized capital gains | (1.05) | | — | | — | | (0.23) | | — | | — |
| Total dividends and distributions to shareholders | (1.15) | | (0.18) | | (0.22) | | (0.29) | | (0.05) | | (0.06) |
| Redemption fees | 0.00 (2) | | 0.00 (2) | | 0.00 (2) | | 0.00 (2) | | 0.00 (2) | | 0.00 (2) |
| Net asset value, end of period | $ 21.05 | | $ 20.30 | | $ 16.19 | | $ 15.18 | | $ 15.73 | | $ 13.00 |
| Total investment return(3) | 9.41% | | 26.76% | | 8.14% | | (1.57)% | | 21.45% | | 23.25% |
| Ratios/Supplemental Data | | | | | | | | | | | |
| Net assets, end of period (in 000s) | $503,482 | | $444,756 | | $394,773 | | $647,415 | | $631,060 | | $199,796 |
| Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any (including dividend and interest expense)(4) | 0.99% (5) | | 1.13% | | 1.17% | | 2.99% | | 3.39% | | 3.61% |
| Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(6) | 1.06% (5) | | 1.22% | | 1.25% | | 3.04% | | 3.39% | | 3.62% |
| Ratio of net investment income to average net assets (including dividend and interest expense) | 0.32% (5) | | 0.55% | | 0.89% | | 0.89% | | 0.69% | | 0.46% |
| Portfolio turnover rate | 98% (7)(8) | | 158% (8) | | 224% | | 253% | | 218% | | 204% |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Amount is less than $0.005 per share. |
| (3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (4) | Expense ratio includes dividend and fees on securities sold short and fees on cash collateral. Excluding such dividend and fees on securities sold short and fees on cash collateral, the ratio of expenses to average net assets including recoupments, waivers and/or reimbursements for the Fund’s Institutional Class Shares would be 1.15%, 1.15%, 1.15% and 1.15% for the years ended September 30, 2020, 2019, 2018 and 2017, respectively. |
| (5) | Annualized. |
| (6) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
| (7) | Not annualized. |
| (8) | Portfolio turnover rate excludes securities delivered from processing a redemption in-kind. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Gotham Index Plus Fund
Financial Highlights (Continued)
Contained below is per share operating performance data for Investor Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Investor Class Shares |
| | For the
Six Months Ended
March 31,
2022
(Unaudited) | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 | | For the
Period Ended
September 30,
2018* |
| Per Share Operating Performance | | | | | | | | | |
| Net asset value, beginning of period | $ 20.23 | | $ 16.15 | | $ 15.13 | | $ 15.70 | | $ 14.48 |
| Net investment income/(loss)(1) | 0.01 | | 0.06 | | 0.10 | | (0.06) | | 0.05 |
| Net realized and unrealized gain/(loss) on investments | 1.86 | | 4.16 | | 1.10 | | (0.24) | | 1.17 |
| Total from investment operations | 1.87 | | 4.22 | | 1.20 | | (0.30) | | 1.22 |
| Dividends and distributions to shareholders from: | | | | | | | | | |
| Net investment loss | (0.05) | | (0.14) | | (0.18) | | (0.04) | | — |
| Net realized capital gains | (1.05) | | — | | — | | (0.23) | | — |
| Total dividends and distributions to shareholders | (1.10) | | (0.14) | | (0.18) | | (0.27) | | — |
| Redemption fees | 0.00 (2) | | 0.00 (2) | | 0.00 (2) | | 0.00 (2) | | 0.00 (2) |
| Net asset value, end of period | $ 21.00 | | $ 20.23 | | $ 16.15 | | $ 15.13 | | $ 15.70 |
| Total investment return(3) | 9.27% | | 26.33% | | 7.94% | | (1.82)% | | 8.43% |
| Ratios/Supplemental Data | | | | | | | | | |
| Net assets, end of period (in 000s) | $13,139 | | $12,671 | | $10,278 | | $17,464 | | $14,403 |
| Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any (including dividend and interest expense)(4) | 1.24% (5) | | 1.38% | | 1.42% | | 4.28% | | 3.64% (5) |
| Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(4)(6) | 1.32% (5) | | 1.47% | | 1.50% | | 4.34% | | 3.64% (5) |
| Ratio of net investment income/(loss) to average net assets (including dividend and interest expense) | 0.07% (5) | | 0.30% | | 0.64% | | (0.40)% | | 0.49% (5) |
| Portfolio turnover rate | 98% (7)(8) | | 158% (8) | | 224% | | 253% | | 218% (9) |
| * | Investor Class commenced operations on January 2, 2018. Total return is calculated based on inception date of December 29, 2017, when initial seed capital was issued at $14.48 per share. |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Amount is less than $0.005 per share. |
| (3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (4) | Expense ratio includes dividend and fees on securities sold short and fees on cash collateral. Excluding such dividend and fees on securities sold short and fees on cash collateral, the ratio of expenses to average net assets including recoupments, waivers and/or reimbursements for the Fund’s Investor Class Shares would be 1.40%, 1.40% and 1.40% for the years ended September 30, 2020, 2019 and the period ended September 30, 2018, respectively. |
| (5) | Annualized. |
| (6) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
| (7) | Not annualized. |
| (8) | Portfolio turnover rate excludes securities delivered from processing a redemption in-kind. |
| (9) | Reflects portfolio turnover of the Fund for the year ended September 30, 2018. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Gotham Large Value Fund
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class Shares |
| | For the
Six Months Ended
March 31,
2022
(Unaudited) | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 | | For the
Year Ended
September 30,
2018 | | For the
Year Ended
September 30,
2017 |
| Per Share Operating Performance | | | | | | | | | | | |
| Net asset value, beginning of period | $ 16.71 | | $ 12.98 | | $ 13.29 | | $ 13.02 | | $ 12.46 | | $ 10.87 |
| Net investment income(1) | 0.10 | | 0.20 | | 0.25 | | 0.20 | | 0.14 | | 0.14 |
| Net realized and unrealized gain/(loss) on investments | 1.38 | | 3.76 | | (0.22) | | 0.18 | | 2.03 | | 1.71 |
| Total from investment operations | 1.48 | | 3.96 | | 0.03 | | 0.38 | | 2.17 | | 1.85 |
| Dividends and distributions to shareholders from: | | | | | | | | | | | |
| Net investment income | (0.25) | | (0.23) | | (0.23) | | (0.01) | | (0.28) | | (0.26) |
| Net realized capital gains | (2.62) | | — | | (0.11) | | (0.10) | | (1.33) | | — |
| Total dividends and distributions to shareholders | (2.87) | | (0.23) | | (0.34) | | (0.11) | | (1.61) | | (0.26) |
| Redemption fees | — | | — | | 0.00 (2) | | — | | — | | — |
| Net asset value, end of period | $ 15.32 | | $ 16.71 | | $ 12.98 | | $ 13.29 | | $ 13.02 | | $ 12.46 |
| Total investment return(3) | 9.12% | | 30.83% | | 0.04% | | 3.11% | | 18.93% | | 17.31% |
| Ratios/Supplemental Data | | | | | | | | | | | |
| Net assets, end of period (in 000s) | $61,635 | | $65,351 | | $70,003 | | $58,978 | | $31,318 | | $ 2,627 |
| Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any | 0.75% (4) | | 0.75% | | 0.75% | | 0.75% | | 0.88% | | 0.95% |
| Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(5) | 1.09% (4) | | 1.05% | | 1.03% | | 1.05% | | 2.19% | | 4.40% |
| Ratio of net investment income to average net assets | 1.28% (4) | | 1.29% | | 1.95% | | 1.61% | | 1.12% | | 1.19% |
| Portfolio turnover rate | 135% (6) | | 226% | | 406% | | 316% | | 670% | | 169% |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Amount is less than $0.005 per share. |
| (3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (4) | Annualized. |
| (5) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
| (6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Gotham Enhanced S&P 500 Index Fund
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class Shares |
| | For the
Six Months Ended
March 31,
2022
(Unaudited) | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 | | For the
Year Ended
September 30,
2018 | | For the
Period Ended
September 30,
2017* |
| Per Share Operating Performance | | | | | | | | | | | |
| Net asset value, beginning of period | $ 16.07 | | $ 12.86 | | $ 11.93 | | $ 13.70 | | $ 11.53 | | $10.00 |
| Net investment income(1) | 0.10 | | 0.17 | | 0.21 | | 0.19 | | 0.20 | | 0.13 |
| Net realized and unrealized gain on investments | 1.11 | | 3.17 | | 1.14 | | 0.03 | | 2.39 | | 1.40 |
| Total from investment operations | 1.21 | | 3.34 | | 1.35 | | 0.22 | | 2.59 | | 1.53 |
| Dividends and distributions to shareholders from: | | | | | | | | | | | |
| Net investment income | (0.17) | | (0.13) | | (0.15) | | (0.21) | | (0.16) | | — |
| Net realized capital gains | (0.94) | | — | | (0.27) | | (1.78) | | (0.26) | | — |
| Total dividends and distributions to shareholders | (1.11) | | (0.13) | | (0.42) | | (1.99) | | (0.42) | | — |
| Redemption fees | 0.00 (2) | | 0.00 (2) | | 0.00 (2) | | 0.00 (2) | | — | | — |
| Net asset value, end of period | $ 16.17 | | $ 16.07 | | $ 12.86 | | $ 11.93 | | $ 13.70 | | $11.53 |
| Total investment return(3) | 7.49% | | 26.17% | | 11.53% | | 3.46% | | 22.97% | | 15.30% |
| Ratios/Supplemental Data | | | | | | | | | | | |
| Net assets, end of period (in 000s) | $17,063 | | $15,569 | | $ 6,346 | | $ 6,635 | | $ 3,529 | | $2,931 |
| Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any | 0.50% (4) | | 0.50% | | 0.50% | | 0.50% | | 0.50% | | 0.50% (4) |
| Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(5) | 0.65% (4) | | 1.12% | | 2.13% | | 3.20% | | 2.55% | | 3.61% (4) |
| Ratio of net investment income to average net assets | 1.20% (4) | | 1.14% | | 1.75% | | 1.65% | | 1.59% | | 1.66% (4) |
| Portfolio turnover rate | 98% (6) | | 178% | | 345% | | 328% | | 230% | | 268% (6) |
| * | Commencement of operations. Initial seed capital was issued at $10.00 per share on December 30, 2016. |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Amount is less than $0.005 per share. |
| (3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (4) | Annualized. |
| (5) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
| (6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Gotham Hedged Core Fund
Financial Highlights (Concluded)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class Shares |
| | For the
Six Months Ended
March 31,
2022
(Unaudited) | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 | | For the
Year Ended
September 30,
2018 | | For the
Year Ended
September 30,
2017 |
| Per Share Operating Performance | | | | | | | | | | | |
| Net asset value, beginning of period | $ 12.88 | | $ 11.33 | | $ 11.16 | | $ 12.61 | | $ 11.34 | | $10.00 |
| Net investment income(1) | 0.05 | | 0.13 | | 0.13 | | 0.14 | | 0.11 | | 0.07 |
| Net realized and unrealized gain/(loss) on investments | 0.94 | | 1.51 | | 0.70 | | (0.11) | | 1.35 | | 1.27 |
| Total from investment operations | 0.99 | | 1.64 | | 0.83 | | 0.03 | | 1.46 | | 1.34 |
| Dividends and distributions to shareholders from: | | | | | | | | | | | |
| Net investment income | (0.17) | | (0.07) | | (0.17) | | (0.07) | | (0.18) | | — |
| Net realized capital gains | (2.12) | | (0.02) | | (0.49) | | (1.41) | | (0.01) | | — |
| Total dividends and distributions to shareholders | (2.29) | | (0.09) | | (0.66) | | (1.48) | | (0.19) | | — |
| Redemption fees | — | | 0.00 (2) | | — | | — | | — | | — |
| Net asset value, end of period | $ 11.58 | | $ 12.88 | | $ 11.33 | | $ 11.16 | | $ 12.61 | | $11.34 |
| Total investment return(3) | 7.83% | | 14.56% | | 7.59% | | 0.86% | | 12.93% | | 13.40% |
| Ratios/Supplemental Data | | | | | | | | | | | |
| Net assets, end of period (in 000s) | $ 8,421 | | $ 8,177 | | $ 8,804 | | $ 2,582 | | $ 2,561 | | $2,267 |
| Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any (including dividend and interest expense)(4) | 1.73% (5) | | 1.66% | | 1.52% | | 1.00% | | 1.16% | | 1.40% |
| Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(6) | 1.73% (5) | | 2.10% | | 3.47% | | 4.05% | | 3.85% | | 4.91% |
| Ratio of net investment income to average net assets (including dividend and interest expense) | 0.84% (5) | | 1.07% | | 1.20% | | 1.29% | | 0.91% | | 0.66% |
| Portfolio turnover rate | 102% (7) | | 205% | | 267% | | 228% | | 221% | | 249% |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Amount is less than $0.005 per share. |
| (3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (4) | Expense ratio includes dividend and fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including waivers, reimbursements, and recoupments for the Fund would be 0.85%, 0.85%, 0.85%, 0.85%, 0.85% and 0.85% for the six months ended March 31, 2022 and the years ended September 30, 2021, 2020, 2019, 2018 and 2017, respectively. |
| (5) | Annualized. |
| (6) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
| (7) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Notes to Financial Statements
March 31, 2022
(Unaudited)
1. Organization and Significant Accounting Policies
The Gotham Absolute Return Fund, the Gotham Enhanced Return Fund, the Gotham Neutral Fund, the Gotham Index Plus Fund, the Gotham Large Value Fund, the Gotham Enhanced S&P 500 Index Fund and the Gotham Hedged Core Fund (each a “Fund” and together, the “Funds”) are each a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Funds are each a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. Each of the Funds, except for the Gotham Index Plus Fund, offers one class of shares, Institutional Class. The Gotham Index Plus Fund offers two classes of shares, Institutional Class and Investor Class. The Funds’ commencement of operations are as follows:
| Gotham Absolute Return Fund ("Absolute Return") | August 31, 2012 |
| Gotham Enhanced Return Fund ("Enhanced Return") | May 31, 2013 |
| Gotham Neutral Fund ("Neutral ") | August 30, 2013 |
| Gotham Index Plus Fund ("Index Plus") | March 31, 2015 |
| Gotham Large Value Fund ("Large Value") | December 31, 2015 |
| Gotham Enhanced S&P 500 Index Fund ("Enhanced S&P 500 Index") | December 30, 2016 |
| Gotham Hedged Core Fund ("Hedged Core") | September 30, 2016 |
All the Funds, except for Large Value and Enhanced S&P 500 Index, seek to achieve their investment objectives by primarily investing in long and short positions of U.S. equity securities. Equity securities include common and preferred stocks. Large Value seeks to achieve its investment objective by primarily investing in long positions of U.S. large capitalization equity securities with market capitalization similar to companies in the S&P 500® Index or Russell 1000® Index, but may invest in other large capitalization companies. Enhanced S&P 500 Index seeks to achieve its investment objective by generally investing at least 80% of its assets in U.S. equity securities listed in the S&P 500® Index.
The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board Accounting Standards Codification Topic 946.
Portfolio Valuation — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each business day the NYSE is open. Each Fund’s equity securities, including exchange-traded funds, listed on any national or foreign exchange market system will be valued at the last sale price. Equity securities traded in the over-the-counter market are valued at their closing sale or official closing price. If there were no transactions on that day, securities traded principally on an exchange will be valued at the mean of the last bid and ask prices prior to the market close. Prices for equity securities normally are supplied by an independent pricing service approved by the Board of Trustees (the “Board”). Any assets held by a Fund that are denominated in foreign currencies are valued daily in U.S. dollars at the foreign currency exchange rates that are prevailing at the time that a Fund determines the daily NAV per share. Foreign securities may trade on weekends or other days when a Fund does not calculate NAV. As a result, the market value of these investments may change on days when you cannot buy or sell shares of a Fund. Certain Funds invest in securities of other investment companies, which are valued at their respective NAVs as determined by those investment companies each business day. Over the Counter (“OTC”) investments (including swap agreements) are generally valued by approved pricing services that use evaluated prices from various observable market factors. Securities that do not have a readily available current market value are valued in good faith under the direction of the Board. The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available and has delegated to Gotham Asset Management, LLC (“Gotham” or “the Adviser”) the responsibility for applying the valuation methods. In the event that market quotes are not readily available, and the security or asset cannot be valued pursuant to one of the valuation methods, the value of the security, asset or liability will be determined in good faith by the Adviser. The Trust has established a Valuation Committee which performs certain functions including the oversight of the Adviser’s fair valuation determinations.
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
• Level 1 — quoted prices in active markets for identical securities;
• Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
• Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers in and out are recognized at the value at the end of the period.
All financial instruments listed in the Portfolio of Investments are considered Level 1, measured at fair value on a recurring basis based on quoted prices for identical assets in active markets, except for the following: total return swaps with an end of period unrealized appreciation of $44,889,178, $39,756,771, $4,954,306 and $102,896,277 held by Absolute Return, Enhanced Return, Neutral, and Index Plus, respectively. These securities are considered Level 2 as of and for the six months ended March 31, 2022.
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third-party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of a Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Funds to present a reconciliation of the beginning to ending balances for reported market values that present changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. A reconciliation of Level 3 investments is presented only when the Funds had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to net assets. The amounts and reasons for all transfers in and out of Level 3 are disclosed when the Funds had an amount of transfers during the reporting period that was meaningful in relation to net assets as of the end of the reporting period.
For the six months ended March 31, 2022, there were no transfers in or out of Level 3 for the Funds.
Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Cash and Cash Equivalents — Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits with a financial institution with original maturities of three months or less. Each Fund maintains deposits with a high quality financial institution in an amount that is in excess of federally insured limits.
Due to/from Brokers — Due to/from brokers represents cash balances on deposit with, or cash balances owed to, the Funds’ prime brokers and counterparties. The Funds are subject to credit risk should the prime brokers and counterparties be unable to meet their obligations to the Funds.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis.
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. Distribution (12b-1) fees and shareholder services fees relating to a specific class are charged directly to that class. The Fund records as dividend income the amount characterized as ordinary income and records as realized gain the amount characterized by a REIT as long-term capital gain in the Statements of Operations. The amount characterized as return of capital is a reduction to the cost of investments in the Statements of Assets and Liabilities if the security is still held; otherwise it is recorded as an adjustment to realized gain/(loss) from investment transactions in the Statements of Operations. These characterizations are reflected in the accompanying financial statements. General expenses of the Trust are generally allocated to each Fund under methodologies approved by the Board of Trustees. Expenses directly attributable to a particular Fund in the Trust are charged directly to that Fund.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on ex-date and paid at least annually to shareholders. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences include the treatment of non-taxable dividends, losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
U.S. Tax Status — No provision is made for U.S. income taxes as it is each Fund's intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended (“Internal Revenue Code”), and make the requisite distributions to such Fund's shareholders, which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to its long-term implications. The COVID-19 pandemic could adversely affect the value and liquidity of the Funds’ investments, impair the Funds’ ability to satisfy redemption requests, and negatively impact the Funds’ performance. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services provided to the Funds by its service providers. Fund management is continuing to monitor this development and evaluate its impact on the Funds.
Short Sales — All Funds except for Large Value and Enhanced S&P 500 Index may sell securities short. A short sale involves the sale by a Fund of a security that it does not own with the anticipation of purchasing the same security at a later date at a lower price. If the price of the security has increased during this time, then the Fund will incur a loss equal to the increase in price from the time that the short sale was entered into plus any premiums and interest paid to the third party. Therefore, short sales involve the risk that losses may be exaggerated, potentially losing more money than the actual cost of the investment. Also, there is the risk that the third party to the short sale may fail to honor its contract terms, causing a loss to the Fund. There can be no assurance that a Fund will be able to close out a short position at any particular time or at an acceptable price. Although a Fund’s gain is limited to the amount at which it sold a security short, its potential loss is unlimited. The Funds will comply with guidelines established by the Securities and Exchange Commission ("SEC") and other applicable regulatory bodies with respect to coverage of short sales.
As of March 31, 2022, the following Fund had securities sold short, securities pledged as collateral and deposits with brokers for securities sold short:
| | Value of
Securities
Sold Short | | Securities
Pledged
as Collateral | | Deposits with
Brokers for
Securities Sold Short |
| Hedged Core | $3,338,849 | | $7,773,396 | | $61,207 |
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
In accordance with the terms of its prime brokerage agreements, the Funds may receive rebate income or be charged fees on securities sold short. Such income or fee is calculated on a daily basis based upon the market value of securities sold short and a variable rate that is dependent upon the availability of such security. These amounts are included in dividends and fees on securities sold short on the Statements of Operations. In those instances where rebate income is in excess of dividends on securities sold short and finance charges, the net amount is shown in the Investment Income section on the Statements of Operations. On the ex-dividend date, dividends on short sales are recorded as an expense to the Fund. The following Fund had net charges as shown in the table below for the six months ended March 31, 2022:
| | Dividends on
Securities Sold Short | | Rebate
(Income)/Fees |
| Hedged Core | $25,367 | | $3,375 |
The following Fund utilized short sales proceeds and incurred financing charges to finance purchases of long securities in order to accomplish the Fund's respective investment objectives. A financing fee is charged to the Fund based on the Federal Funds rate plus an agreed upon spread. These fees are included in dividends and fees on securities sold short on the Statements of Operations and are as follows for the six months ended March 31, 2022:
| | Short Sales
(Deposits)
Proceeds | | Financing
Charges |
| Hedged Core | $3,338,816 | | $8,198 |
Swap Agreements — A swap agreement is a bilateral financial instrument that involves the exchange of cash flows between two parties on specified dates (settlement dates), where the cash flows are based on valuation changes to market referenced securities. The nominal amount on which the cash flows are calculated is called the notional amount.
Swap agreements may increase or decrease the overall volatility of the investments of a Fund and its share price. The performance of swap agreements will be affected by a change in the market value of the referenced underlying securities that determine the amounts of payments due to and from a Fund. If a swap agreement calls for payments by a Fund, the Fund must be prepared to make such payments when due. In addition, if the counterparty’s creditworthiness declined, the value of a swap agreement would be likely to decline, potentially resulting in losses.
Generally, swap agreements have a fixed maturity date that will be agreed upon by the parties. The agreement can be terminated before the maturity date, in whole or part, under certain circumstances, such as default by one of the parties or insolvency, among others, and can be transferred by a party only with the prior written consent of the other party. A Fund may be able to eliminate its exposure under a swap agreement either by assignment or by other disposition, or by entering into an offsetting swap agreement with the same party or a similarly creditworthy party. If the counterparty is unable to meet its obligations under the contract, declares bankruptcy, defaults or becomes insolvent, a Fund may not be able to recover the money it expected to receive under the swap agreement. A Fund will not enter into any swap agreement unless the Adviser believes that the counterparty to the transaction is creditworthy.
A swap agreement can be a form of leverage, which can magnify a Fund’s gains or losses. In order to reduce the risk associated with leveraging, a Fund may cover its current obligations under swap agreements according to guidelines established by the SEC. If a Fund enters into a swap agreement on a net basis, it will segregate assets with a daily value at least equal to the excess, if any, of a Fund’s accrued obligations under the swap agreement over the accrued amount a Fund is entitled to receive under the agreement. If a Fund enters into a swap agreement on other than a net basis, it will segregate assets with a value equal to the full amount of a Fund’s accrued obligations under the swap agreement.
Total Return Swaps: Total return swaps are contracts in which both parties agree to make payments of the total return from a reference instrument during a specified period. The total return includes appreciation or depreciation on the underlying asset, plus any interest or dividend accruals or payments. The unrealized appreciation or depreciation also includes interest charges and credits (“financing fees”) related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on a specified benchmark rate, such as the U.S. effective federal funds rate (“EFFR”). Payments under
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
the swap are based upon an agreed upon principal amount but, since the principal amount is not exchanged, it represents neither an asset nor a liability to either counterparty, and is referred to as notional. Total return swaps are marked to market daily using different sources, including quotations from counterparties, pricing services, brokers or market makers. The unrealized appreciation or depreciation related to the change in the valuation of the notional amount of the swap is combined with the amount due to or from the Fund at termination or settlement. The primary risks associated with total return swaps are credit risks (if the counterparty fails to meet its obligations) and market risk (if there is no liquid market for the swap or unfavorable changes occur to the underlying reference instrument). As of and for the six months ended March 31, 2022, only Absolute Return, Enhanced Return, Neutral and Index Plus held total return swaps.
For the six months ended March 31, 2022, the quarterly average notional value of the total return swaps for each Fund was as follows:
| | Notional Amount |
| Absolute Return | $(233,121,160) |
| Enhanced Return | (30,005,627) |
| Neutral | (35,275,241) |
| Index Plus | (69,790,931) |
Counterparty Risk — During the six months ended March 31, 2022, Absolute Return, Enhanced Return, Neutral and Index Plus were subject to counterparty risk. Certain of the derivatives entered into by the Funds may not be traded on an exchange but instead will be privately negotiated in the over-the-counter market. This means that these instruments are traded between counterparties based on contractual relationships. Relying on a counterparty exposes the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss. If a counterparty defaults on its payment obligations to the Funds, this default will cause the value of an investment in the Funds to decrease. In addition, to the extent the Funds deal with a limited number of counterparties, it will be more susceptible to the credit risks associated with those counterparties. The Funds are neither restricted from dealing with any particular counterparty nor from concentrating any or all of its transactions with one counterparty. The ability of the Funds to transact business with any one or number of counterparties and the absence of a regulated market to facilitate settlement may increase the potential for losses by the Funds.
The Funds are subject to the risk that issuers of the instruments in which it invests and trades may default on their obligations, and that certain events may occur that have an immediate and significant adverse effect on the value of those instruments. There can be no assurance that an issuer will not default, or that an event that has an immediate and significant adverse effect on the value of an instrument will not occur, and that the Funds will not sustain a loss on a transaction as a result.
Liquidity Risk — During the six months ended March 31, 2022, Absolute Return, Enhanced Return, Neutral and Index Plus were subject to liquidity risk. The Funds may be subject to liquidity risk primarily due to investments in derivatives. The Funds may invest up to 15% of its net assets in illiquid securities or instruments. Certain derivatives, such as swaps, forward contracts and options may not be readily marketable and, therefore, may be deemed to be illiquid. An asset is not readily marketable if it cannot be sold within seven business days in the ordinary course of business for approximately the amount at which it is valued. Investments in illiquid assets involve the risk that the Funds may be unable to sell the asset or sell it at a reasonable price. In addition, the Funds may be required to liquidate positions or close out derivatives on unfavorable terms at a time contrary to the interests of the Funds in order to raise cash to pay redemptions.
An investment in derivatives is also subject to the risk that the Funds may not be able to terminate the derivatives effective on whatever date it chooses, or that the settlement of any early termination may depend on subsequent market movements. As a result, the Funds may be exposed to the risk of additional losses due to such delays.
Master Netting Agreement — During the six months ended March 31, 2022, Absolute Return, Enhanced Return, Neutral and Index Plus were subject to a Master Netting agreement. In order to define their contractual rights and to secure rights that will help mitigate their counterparty risk, the Funds have entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”). An ISDA Master Agreement is a bilateral agreement between the Funds and the counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
event of a default and/or termination event. Under an ISDA Master Agreement, the Funds may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the Funds' net assets decline by a stated percentage or the Funds fails to meet the terms of its ISDA Master Agreements. The result would cause the Funds to accelerate payment of any net liability owed to the counterparty.
LIBOR Phase-out Risk — The United Kingdom's Financial Conduct Authority, which regulates London Interbank Overnight Rates ("LIBOR"), has announced plans to phase out the use of LIBOR by June 2023. There remains uncertainty regarding the future use of LIBOR and the nature of any replacement rate. The transition process away from LIBOR may involve, among other things, increased volatility or illiquidity in markets for instruments that currently rely on LIBOR. The transition process may also result in a reduction in the value of certain instruments held by a Fund or reduce the effectiveness of related Fund transactions such as hedges. Volatility, the potential reduction in value, and/or the hedge effectiveness of financial instruments may be heightened for financial instruments that do not include fallback provisions that address the cessation of LIBOR. Any potential effects of the transition away from LIBOR on any of the Funds or on financial instruments in which the Funds invest, as well as other unforeseen effects, could result in losses to the Funds.
Collateral Requirements — During the six months ended March 31, 2022, Absolute Return, Enhanced Return, Neutral and Index Plus were subject to collateral requirements. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Portfolio of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. The Funds generally agree not to use non-cash collateral that they receive but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Funds from their counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to a counterparty and stands ready to perform under the terms of its agreement with such counterparty, they bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts. For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.
| | | | | | | | Gross Amount Not Offset in the
Statements of Assets and Liabilities | | |
| | Gross Amounts
of Recognized
Assets/(Liabilities) | | Gross Amounts
Offset in the
Statements of
Assets and
Liabilities | | Net Amounts of
Assets Presented
in the Statements
of Assets and
Liabilities | | Financial
Instruments | | Collateral
Pledged/(Received)* | | Net
Amount** |
| Absolute Return | $ 44,889,178 | | $— | | $ 44,889,178 | | $— | | $ (18,950,000) | | $25,939,178 |
| Enhanced Return | 39,756,771 | | — | | 39,756,771 | | — | | (38,980,000) | | 776,771 |
| Neutral | 4,954,306 | | — | | 4,954,306 | | — | | (3,550,000) | | 1,404,306 |
| Index Plus | 102,896,277 | | — | | 102,896,277 | | — | | (102,896,277) | | — |
| | | | | | | | | | | | |
| * | Amount disclosed is limited to the amount of assets presented in each Statements of Assets and Liabilities. Actual collateral pledged/(received) may be more than the amount shown. |
| ** | Net amount represents the net receivable from the counterparty in the event of a default. |
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
2. Transactions with Related Parties and Other Service Providers
Gotham Asset Management, LLC (“Gotham” or the “Adviser”) serves as investment adviser to the Funds pursuant to an investment advisory agreement with the Trust (the “Advisory Agreement”). For its services as the investment adviser, each Fund pays the Adviser a fee, which is computed and accrued daily and paid monthly, at an annual rate based on average daily net assets of each Fund as shown in the table below:
| Absolute Return(1) | 1.50% |
| Enhanced Return(1) | 1.50% |
| Neutral | 1.50% |
| Index Plus(1) | 1.00% |
| Large Value | 0.75% |
| Enhanced S&P 500 Index(1)(2) | 0.50% |
| Hedged Core(2) | 0.70% |
| (1) | Effective February 1, 2021, the advisory fee payable to Gotham shall be reduced by the dollar amount attributable to any Fund assets invested in other investment companies advised or sub-advised by Gotham (each an "underlying fund" and collectively, the "underlying Funds"), and the amount of such reduction shall be calculated based on the Fund's average daily assets invested in an underlying fund. The effect of the reduction of investment advisory fee is intended to provide that Gotham's aggregated direct and indirect compensation from a Fund and any underlying fund, respectively, does not exceed the annual advisory fee, prior to February 1, 2021. |
| (2) | Effective November 1, 2020 and February 1, 2021, Enhanced S&P 500 and Hedged Core, respectively entered into a Support, Service and Fee Assumption Agreement (“Support Agreement”) pursuant to which Gotham supports the Fund’s non-investment advisory operations by (i) performing or contracting for certain operational support services of the Fund, and (ii) assuming certain of the Fund’s payment obligations, including such payment obligations specified in contracts between the Fund and its service providers and other Trust expenses incurred by or otherwise allocated to the Fund by the Trust. In exchange for the performance of services and the assumption of payment obligations, Gotham receives a fee of the lesser of (a) the annualized rate of 0.15% of the Fund’s average daily net assets, or (b) the actual amount of the Gotham’s payment obligation under the Support Agreement. |
For all Funds, except for Neutral, Large Value and Hedged Core, the Adviser contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of each Fund to the extent necessary to ensure that the Fund’s “Other Expenses” (exclusive of taxes, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed the percentages set forth in the table below (on an annual basis) of each Fund’s average daily net assets (the “Expense Limitation”). For Neutral, Large Value and Hedged Core, the Adviser contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of each Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses,” dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed the percentages set forth in the table below (on an annual basis). The Expense Limitation will remain in place until the termination date set forth below, unless the Board approves its earlier termination. The table below reflects the Expense Limitation amounts, as a percentage of average daily net assets, in effect during the six months ended March 31, 2022.
| | Institutional
Class | | Investor
Class | | Termination Date |
| Absolute Return | 0.00% | | N/A | | January 31, 2023 |
| Enhanced Return | 0.00% | | N/A | | January 31, 2023 |
| Neutral | 1.50% | | N/A | | January 31, 2023 |
| Index Plus | 0.15% | | 0.15% | | January 31, 2023 |
| Large Value | 0.75% | | N/A | | January 31, 2023 |
| Enhanced S&P 500 Index | 0.00% | | N/A | | January 31, 2023 |
| Hedged Core | 0.85% | | N/A | | January 31, 2023 |
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
For the six months ended March 31, 2022, investment advisory fees accrued and waivers were as follows:
| | Gross
Advisory Fee | | Recoupments,
Waivers and/or
Reimbursements | | Net Advisory Fee/
(Reimbursement) |
| Absolute Return | $4,100,621 | | $(616,128) | | $3,484,493 |
| Enhanced Return | 1,853,466 | | (295,700) | | 1,557,766 |
| Neutral | 330,009 | | (122,980) | | 207,029 |
| Index Plus | 2,084,251 | | (172,122) | | 1,912,129 |
| Large Value | 248,376 | | (112,839) | | 135,537 |
| Enhanced S&P 500 Index | 41,754 | | (12,526) | | 29,228 |
| Hedged Core | 29,250 | | — | | 29,250 |
For all Funds, except for Absolute Return, Enhanced Return, Neutral, Large Value and Enhanced S&P 500 Index, the Adviser is entitled to recover, subject to approval by the Board, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No recoupment will occur unless a Fund’s expenses are below the Expense Limitation amount. As of March 31, 2022, the amounts of potential reimbursement from the Funds to the Adviser are as follows:
| | | | Expiration |
| | 09/30/2022 | | 09/30/2023 | | 09/30/2024 | | 03/31/2025 | | Total |
| Index Plus | | | | | | | | | |
| Institutional Class | $368,534 | | $422,424 | | $391,665 | | $167,301 | | $1,349,924 |
| Investor Class | 11,505 | | 10,902 | | 11,305 | | 4,821 | | 38,533 |
| Hedged Core | 40,343 | | 84,728 | | 42,614 | | — | | 167,685 |
Other Service Providers
The Bank of New York Mellon ("BNY Mellon") serves as administrator and custodian for the Funds. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Funds’ average daily net assets and is subject to certain minimum monthly fees. For providing certain custodial services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
BNY Mellon Investment Servicing (US) Inc. (the “Transfer Agent”) provides transfer agent services to the Funds. The Transfer Agent is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
The Trust, on behalf of the Funds, has entered into agreements with financial intermediaries to provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries investing in the Funds and has agreed to compensate the intermediaries for providing those services. The fees incurred by the Funds for these services are included in Transfer Agent fees in the Statements of Operations.
Pershing LLC provides prime brokerage services to the Funds under an Agreement for Prime Brokerage Services. Pershing LLC is a wholly owned subsidiary of The Bank of New York Mellon Corporation.
Foreside Funds Distributors LLC (the "Underwriter") provides principal underwriting services to the Funds pursuant to an underwriting agreement between the Trust and the Underwriter.
The Trust and the Underwriter are parties to an underwriting agreement. The Trust has adopted a distribution plan for Investor Class shares of Index Plus, in accordance with Rule 12b-1 under the 1940 Act. Pursuant to the Investor Class shares plan, Index Plus
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
compensates the Underwriter for direct and indirect costs and expenses incurred in connection with advertising, marketing and other distribution services in an amount not to exceed 0.25%, on an annualized basis of the average daily net assets of Index Plus's Investor Class shares.
Trustees and Officers
The Trust is governed by its Board of Trustees. The Trustees receive compensation in the form of an annual retainer and per meeting fees for their services to the Trust. An employee of BNY Mellon serves as the Secretary of the Trust and is not compensated by the Funds or the Trust.
JW Fund Management LLC ("JWFM") provides a Principal Executive Officer and Principal Financial Officer, respectively, to the Trust. Alaric Compliance Services LLC ("Alaric") provided the Trust with a Chief Compliance Officer and an Anti-Money Laundering Officer until December 6, 2021. Effective December 7, 2021, Foreside Consulting LLC ("Foreside") provides the Trust with a Chief Compliance Officer and an Anti-Money Laundering Officer. JWFM, Alaric and Foreside are compensated for their services provided to the Trust.
Investment in Affiliated Funds
The following table lists an issuer owned by Index Plus that may be deemed an "affiliated company" under the 1940 Act, as well as transactions that occurred in the security of such issuer during the six months ended March 31, 2022:
| Name of Issuer | | Value at
09/30/21 | | Purchase
Cost | | Sales
Proceeds | | Net
Realized
Gain/(Loss) | | Change in
Unrealized
Appreciation/
(Depreciation) | | Value at
03/31/22 | | Shares
Held at
03/31/22 | | Dividend
Income |
| Gotham Enhanced 500 ETF | | $56,600,440 | | $176,302,933 | | $— | | $— | | $1,166,033 | | $234,069,406 | | 9,510,300 | | $534,389 |
| Total | | $56,600,440 | | | | | | $— | | $1,166,033 | | $234,069,406 | | | | $534,389 |
3. Investment in Securities
For the six months ended March 31, 2022, aggregated purchases and sales of investment securities (excluding short-term investments) of the Funds were as follows:
| | Purchases | | Sales |
| Absolute Return | $796,088,340 | | $740,573,755 |
| Enhanced Return | 327,713,348 | | 310,699,065 |
| Neutral | 93,576,548 | | 86,882,414 |
| Index Plus | 639,729,775 | | 453,993,402 |
| Large Value | 88,457,396 | | 97,589,404 |
| Enhanced S&P 500 Index | 16,640,042 | | 16,233,457 |
| Hedged Core | 11,878,670 | | 12,260,116 |
For the six months ended March 31, 2022, the Funds had no purchases and sales of U.S. Government securities.
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
4. Capital Share Transactions
For the six months ended March 31, 2022 and the year ended September 30, 2021, transactions in capital shares (authorized shares unlimited) were as follows:
| | For the Six Months Ended
March 31, 2022
(Unaudited) | | For the Year Ended
September 30, 2021 |
| | Shares | | Value | | Shares | | Value |
| Absolute Return: | | | | | | | |
| Institutional Class | | | | | | | |
| Sales | 5,190,720 | | $ 92,311,749 | | 7,666,168 | | $ 119,418,117 |
| Reinvestments | — | | — | | — | | — |
| Redemption Fees* | — | | 149 | | — | | 3,195 |
| Redemptions | (3,081,581) | | (55,046,503) | | (12,960,370) | | (196,114,460) |
| Net increase/(decrease) | 2,109,139 | | $ 37,265,395 | | (5,294,202) | | $ (76,693,148) |
| |
| Enhanced Return: | | | | | | | |
| Institutional Class | | | | | | | |
| Sales | 2,661,949 | | $ 32,613,953 | | 2,371,756 | | $ 28,529,943 |
| Reinvestments | 3,184,005 | | 38,112,539 | | 28,679 | | 300,838 |
| Redemption Fees* | — | | 71 | | — | | 405 |
| Redemptions | (2,107,789) | | (25,547,387) | | (7,991,664) | | (89,945,041) |
| Net increase/(decrease) | 3,738,165 | | $ 45,179,176 | | (5,591,229) | | $ (61,113,855) |
| |
| Neutral : | | | | | | | |
| Institutional Class | | | | | | | |
| Sales | 714,458 | | $ 7,235,905 | | 1,337,315 | | $ 11,923,402 |
| Reinvestments | — | | — | | — | | — |
| Redemption Fees* | — | | — | | — | | 427 |
| Redemptions | (253,616) | | (2,466,220) | | (3,086,156) | | (27,374,165) |
| Net increase/(decrease) | 460,842 | | $ 4,769,685 | | (1,748,841) | | $ (15,450,336) |
| |
| Index Plus: | | | | | | | |
| Institutional Class | | | | | | | |
| Sales | 10,932,249 | | $ 228,998,111 | | 5,446,249 | | $ 103,170,604 |
| Reinvestments | 831,227 | | 17,389,271 | | 202,608 | | 3,379,499 |
| Redemption Fees* | — | | 925 | | — | | 1,856 |
| Redemptions | (9,754,882) | | (205,870,237)** | | (8,112,889) | | (149,954,593)*** |
| Net increase/(decrease) | 2,008,594 | | $ 40,518,070 | | (2,464,032) | | $ (43,402,634) |
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
| | For the Six Months Ended
March 31, 2022
(Unaudited) | | For the Year Ended
September 30, 2021 |
| | Shares | | Value | | Shares | | Value |
| |
| Investor Class | | | | | | | |
| Sales | 29,506 | | $ 619,451 | | 176,170 | | $ 3,083,440 |
| Reinvestments | 31,565 | | 659,395 | | 5,855 | | 97,550 |
| Redemption Fees* | — | | 29 | | — | | 53 |
| Redemptions | (61,756) | | (1,294,220) | | (192,351) | | (3,510,675) |
| Net decrease | (685) | | $ (15,345) | | (10,326) | | $ (329,632) |
| |
| Total net increase/(decrease) | 2,007,909 | | $ 40,502,725 | | (2,474,358) | | $ (43,732,266) |
| Large Value: | | | | | | | |
| Institutional Class | | | | | | | |
| Sales | 290,570 | | $ 4,607,374 | | 1,586,757 | | $ 24,657,014 |
| Reinvestments | 732,035 | | 11,053,734 | | 92,168 | | 1,307,860 |
| Redemption Fees* | — | | — | | — | | — |
| Redemptions | (911,282) | | (14,053,248) | | (3,159,326) | | (52,690,771) |
| Net increase/(decrease) | 111,323 | | $ 1,607,860 | | (1,480,401) | | $ (26,725,897) |
| |
| Enhanced S&P 500 Index: | | | | | | | |
| Institutional Class | | | | | | | |
| Sales | 156,042 | | $ 2,540,364 | | 647,845 | | $ 9,238,470 |
| Reinvestments | 67,997 | | 1,109,708 | | 8,342 | | 114,453 |
| Redemption Fees* | — | | 970 | | — | | 59 |
| Redemptions | (137,770) | | (2,211,632) | | (180,580) | | (2,721,117) |
| Net increase | 86,269 | | $ 1,439,410 | | 475,607 | | $ 6,631,865 |
| |
| Hedged Core: | | | | | | | |
| Institutional Class | | | | | | | |
| Sales | 2,252 | | $ 25,000 | | 253,294 | | $ 2,911,941 |
| Reinvestments | 126,346 | | 1,449,183 | | 7,446 | | 83,766 |
| Redemption Fees* | — | | — | | — | | 2,923 |
| Redemptions | (36,115) | | (416,353) | | (403,008) | | (5,015,820) |
| Net increase/(decrease) | 92,483 | | $ 1,057,830 | | (142,268) | | $ (2,017,190) |
| * | There is a 1.00% redemption fee that may be charged on shares redeemed which have been held 30 days or less. The redemption fees are retained by each Fund for the benefit of the remaining shareholders and recorded as paid-in capital. |
| ** | Index Plus had a redemption in-kind on March 21, 2022, in the amount of $166,753,322. The redemption was comprised securities and cash in the amount of $165,957,903 and $795,419, respectively. |
| *** | Index Plus had a redemption in-kind on September 29, 2021, in the amount of $20,610,000. The redemption was comprised of securities and cash, in the amount of $20,364,792 and $245,208, respectively. |
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
Significant Shareholders
As of March 31, 2022, the Funds below had shareholders that held 10% or more of the total outstanding shares of each respective Fund. Transactions by these shareholders may have a material impact on each respective Fund.
| Neutral | |
| Affiliated Fund | 6% |
| Index Plus | |
| Affiliated Shareholders | 1% |
| Large Value | |
| Affiliated Fund | 9% |
| Enhanced S&P 500 Index | |
| Affiliated Fund | 25% |
| Affiliated Shareholders | 1% |
| Non-affiliated Shareholders | 24% |
| Hedged Core | |
| Affiliated Fund | 51% |
| Non-affiliated Shareholders | 42% |
5. Securities Lending
All Funds, except for Large Value and Enhanced S&P 500 Index, may lend securities to financial institutions, such as broker-dealers, and are required to be secured continuously by collateral in cash, cash equivalents, letter of credit or U.S. Government securities maintained on a current basis at an amount at least equal to the market value of the securities loaned. Cash collateral received, pursuant to investment guidelines established by the Funds and approved by the Board, is invested in short-term investments and/or securities consistent with the Fund's investment objective. Securities purchased with cash collateral are included in market value of securities designated as collateral for securities on loan on the Statements of Assets and Liabilities. All such investments are made at the risk of the Funds and, as such, the Funds are liable for investment losses. The Funds pay a fee on the cash collateral received by the Funds at a rate equal to the Federal Funds (Open) rate plus 40 basis points with respect to the cash collateral received on those securities on loan that have a rebate that equals or exceeds the greater of either the Federal Funds (Open) rate minus 10 basis points or zero. These fees are included in the fees on cash collateral on the Statements of Operations. Such loans would involve risks of delay in receiving additional collateral in the event the value of the collateral decreased below the value of the securities loaned or of delay in recovering the securities loaned or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers deemed by the Adviser to be of good standing and only when, in the Adviser's judgment, the income to be earned from the loans justifies the attendant risks. Any loans of a Fund's securities will be fully collateralized and marked to market daily. When the collateral falls below specified amounts, the lending agent will use its best effort to obtain additional collateral on the next business day to meet required amounts under the security lending agreement. Securities on loan are not used as collateral for swaps or as collateral for short securities, if any. During the six months ended March 31, 2022, none of the Funds entered into the securities lending program or had any income generated from the program.
Securities lending transactions are entered into by the Funds under a Master Securities Lending Agreement ("MSLA") which permits the Funds, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Funds to the same counterparty against amounts to be received from that counterparty and create one single net payment due to or from the Funds. The Funds had no open securities lending transactions which were subject to a MSLA as of March 31, 2022.
6. Federal Tax Information
The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. Tax positions not deemed to meet the
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
more-likely-than-not threshold would be recorded as tax benefit or expense in the current year.Each Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
The tax character of distributions paid by the Funds during the year ended September 30, 2021, were as follows:
| | Ordinary
Income
Dividend | | Long-Term
Capital Gain
Dividend | | Return
of Capital |
| Enhanced Return | $ 334,833 | | $ 19 | | $— |
| Index Plus | 4,544,442 | | 18 | | — |
| Large Value | 1,307,860 | | — | | — |
| Enhanced S&P 500 Index | 114,476 | | — | | — |
| Hedged Core | 64,724 | | 19,042 | | — |
Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
As of September 30, 2021, the components of distributable earnings on a tax basis were as follows:
| | Capital Loss
Carryforward | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Gain | | Unrealized
Appreciation/
(Depreciation) | | Qualified
Late-Year
Losses |
| Absolute Return | $(57,597,239) | | $ — | | $ — | | $ 79,123,406 | | $(1,830,361) |
| Enhanced Return | — | | — | | 42,650,867 | | 59,273,404 | | (1,007,878) |
| Neutral | (75,556,945) | | — | | — | | 5,128,471 | | (240,255) |
| Index Plus | — | | — | | 18,126,410 | | 137,649,971 | | (1,423,089) |
| Large Value | — | | 563,127 | | 9,133,859 | | 8,347,641 | | — |
| Enhanced S&P 500 Index | — | | 120,041 | | 848,438 | | 2,184,323 | | — |
| Hedged Core | — | | 82,367 | | 1,112,773 | | 861,148 | | — |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes. The temporary differences as of September 30, 2021, were primarily attributed to wash sales, deferral of loss on unsettled short sale transactions, straddle losses outstanding, amortization of organizational costs and deferred interest expense. Foreign currency and short-term capital gains are reported as ordinary income for federal income tax purposes.
GOTHAM FUNDS
Notes to Financial Statements (Concluded) March 31, 2022
(Unaudited)
As of March 31, 2022, the federal tax cost, aggregated gross unrealized appreciation and depreciation of securities held by the Funds were as follows:
| | | Federal
Tax Cost* | | Unrealized
Appreciation | | Unrealized
(Depreciation) | | Net Unrealized
Appreciation/
(Depreciation) |
| Absolute Return | | $502,694,033 | | $120,555,558 | | $(31,984,769) | | $ 88,570,789 |
| Enhanced Return | | 218,527,778 | | 80,208,585 | | (18,247,047) | | 61,961,538 |
| Neutral | | 43,343,888 | | 11,529,016 | | (3,713,531) | | 7,815,485 |
| Index Plus | | 464,252,926 | | 150,813,210 | | (27,231,771) | | 123,581,439 |
| Large Value | | 52,981,918 | | 9,469,001 | | (1,237,090) | | 8,231,911 |
| Enhanced S&P 500 Index | | 14,074,543 | | 3,070,347 | | (199,438) | | 2,870,909 |
| Hedged Core | | 10,311,947 | | 1,737,170 | | (215,861) | | 1,521,309 |
| * | Because tax adjustments are calculated annually at the end of the Fund’s fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent annual report. |
Pursuant to federal income tax rules applicable to regulated investment companies, the Funds may elect to treat certain capital losses between November 1 and September 30 and late year ordinary losses ((i) ordinary losses between January 1 and September 30 or (ii) specified ordinary losses between November 1 and September 30) as occurring on the first day of the following tax year. For the year ended September 30, 2021, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until October 1, 2021. For the year ended September 30, 2021, the Funds deferred to October 1, 2021 the following losses:
| | Late-Year Ordinary
Losses Deferral | | Short-Term Capital
Loss Deferral | | Long-Term Capital
Loss Deferral |
| Absolute Return | $1,830,361 | | $— | | $— |
| Enhanced Return | 1,007,878 | | — | | — |
| Neutral | 240,255 | | — | | — |
| Index Plus | 1,423,089 | | — | | — |
Accumulated capital losses represent net capital loss carryforwards as of September 30, 2021 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. The Funds are permitted to carry forward capital losses for an unlimited period. Capital losses that are carried forward will retain their character as either short-term or long-term capital losses. As of September 30, 2021, the following Funds had long-term and short-term capital loss carryforwards in the following amounts:
| | Capital Loss Carryforward |
| | Short-Term | | Long-Term |
| Absolute Return | $57,597,239 | | $— |
| Neutral | 75,556,945 | | — |
7. Subsequent Events
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were available to be issued, and has determined that there are no material subsequent events requiring recognition or disclosure in the financial statements.
GOTHAM FUNDS
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Funds uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (877) 974-6852 and on the Securities and Exchange Commission's ("SEC") website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended December 31 and June 30) as an exhibit to their reports on Form N-PORT. The Trust's portfolio holdings on Form N-PORT are available on the SEC's website at http://www.sec.gov.
GOTHAM FUNDS
Statement Regarding Liquidity Risk Management Program
(Unaudited)
On October 16, 2016, the Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Board of Trustees (the “Board”) of FundVantage Trust, on behalf of the Gotham Funds (each a “Fund” and, collectively, the “Funds”), met on December 1-2, 2021 (the “Meeting”) to review the liquidity risk management program (the “Program”) applicable to the Funds, pursuant to the Liquidity Rule. The Board has appointed a committee of individuals to serve as the program administrator for the Funds’ Program (the “Program Committee”). At the Meeting, the Program Committee provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation and any material changes to the Program as of September 30, 2021 (the “Report”).
The Report described the Program’s liquidity classification methodology. It also described the Program Committee’s methodology in determining whether a Highly Liquid Investment Minimum (a “HLIM”) is necessary and noted that, given the composition of each Fund’s portfolio holdings, a HLIM was not currently required for any of the Funds.
The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing liquidity risk, as follows:
A. Each Fund’s investment strategy and liquidity of Fund investments during both normal and reasonably foreseeable stressed conditions: As part of the Report, the Program Committee reviewed each Fund’s strategy and its determination that the strategy remains appropriate for an open-end fund structure. This determination was based on each Fund’s holdings of Highly Liquid Investments, the diversification of holdings and the related average position size of the holdings.
B. Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions: As part of the Report, the Program Committee reviewed historical net redemption activity and noted that it used this information as a component to establish each Fund’s reasonably anticipated trading size. Each Fund has adopted an in-kind redemption policy which may be utilized to meet larger redemption requests. The Program Committee also took into consideration each Fund’s shareholder ownership concentration and the fact that shares of the Funds are offered through intermediaries. The intermediary agreements increase the likelihood of large unanticipated redemptions, meaning a Fund may not have the ability to conduct an orderly sale of portfolio securities. The amount of assets a Fund has on these platforms is a significant factor in the ability of the Fund to meet redemption expectations. In light of each Fund’s holdings, it was noted that each Fund maintains a high level of liquidity to meet shareholder redemptions under both normal and stressed market conditions.
C. Holdings of cash and cash equivalents, as well as borrowing arrangements: As part of the Report, the Program Committee reviewed any changes in each Fund’s cash and cash equivalents positions in response to current/anticipated redemption activity or market conditions. It was noted that the Funds do not currently have a borrowing or other credit funding arrangement.
Investment Adviser
Gotham Asset Management, LLC
535 Madison Avenue, 30th Floor
New York, NY 10022
Administrator
The Bank of New York Mellon
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1800
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Troutman Pepper Hamilton Sanders LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
GOTHAM FUNDS
of
FundVantage Trust
| Gotham ESG Large Value Fund |
| Gotham Defensive Long 500 Fund |
| Gotham Total Return Fund |
| Gotham Enhanced 500 Plus Fund |
| Gotham Hedged Plus Fund |
| Gotham Short Strategies Fund |
SEMI-ANNUAL REPORT
March 31, 2022
(Unaudited)
The report is submitted for general information of shareholders and is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus.
GOTHAM FUNDS
SEMI-ANNUAL REPORT
AS OF MARCH 31, 2022
[THIS PAGE INTENTIONALLY LEFT BLANK.]
GOTHAM FUNDS
Important Information
The performance data quoted in this report represents past performance and does not guarantee future results. The investment return and principal value of an investment in a Gotham Fund will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (877) 974-6852.
Each Gotham Fund covered by this report (each a "Fund") compares its performance to an unmanaged index. An index does not reflect operational and transactional costs which apply to a mutual fund. It is not possible to invest directly in an index.
Mutual fund investing involves risks, including possible loss of principal. Each Fund except Gotham ESG Large Value Fund will short securities. Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. Each Fund, except Gotham ESG Large Value Fund, will also use leverage to make additional investments which could result in greater losses than if the Fund were not leveraged. The Gotham Defensive Long 500 Fund and Gotham Short Strategies Fund utilize one or more swap agreements in their investment programs. The use of derivatives, such as swaps, exposes a Fund to additional risks including increased volatility, lack of liquidity and possible losses greater than a Fund’s initial investment. Gotham Total Return Fund will primarily engage in short sales, leverage and swaps through its investments in underlying funds. Certain Funds may invest in securities of large-, mid- and small-cap companies. The securities issued by small-cap and mid-cap companies tend to be more volatile and less liquid than those of large-cap issuers. Each Fund may have a high turnover of its portfolio securities. High turnover rates generally result in higher brokerage costs to a Fund. There can be no guarantee that a Fund will achieve its objectives.
A prospective investor should consider the investment objectives, risks, charges and expenses of a Fund carefully before investing. The prospectus and summary prospectus contains this and other information about the Funds, and should be read carefully before investing. A copy of the prospectus or summary prospectus is available at www.GothamFunds.com or by calling (877) 974-6852.
GOTHAM FUNDS
Gotham ESG Large Value Fund
Semi-Annual Report
Performance Data
March 31, 2022
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2022 |
| | Six
Months* | | 1 Year | | 3 Years | | Since
Inception |
| Institutional Class Shares | 7.56% | | 14.17% | | 14.42% | | 18.21% ** |
| S&P 500® Total Return Index | 5.92% | | 15.65% | | 18.92% | | 22.32% *** |
| * | Not annualized. |
| ** | The Gotham ESG Large Value Fund (the “Fund”) incepted on December 31, 2018. |
| *** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2022, the “Total Annual Fund Operating Expenses” and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursement” are both 0.75% for Institutional Class Shares of the Fund’s average daily net assets. This ratio may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses”, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 0.75% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2023, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination.
The Fund evaluates its performance as compared to that of the Standard & Poor's 500® Total Return Index ("S&P 500® Total Return Index"). The S&P 500® Total Return Index is a market capitalization weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. Its returns reflect reinvested dividends.
GOTHAM FUNDS
Gotham Defensive Long 500 Fund
Semi-Annual Report
Performance Data
March 31, 2022
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2022 |
| | Six
Months* | | 1 Year | | 3 Years | | 5 Years | | Since
Inception |
| Institutional Class Shares | 10.59% | | 14.87% | | 5.28% | | 7.46% | | 8.81% ** |
| S&P 500® Total Return Index | 5.92% | | 15.65% | | 18.92% | | 15.99% | | 16.46% *** |
| * | Not annualized. |
| ** | The Gotham Defensive Long 500 Fund (the “Fund”) commenced operations on September 30, 2016. |
| *** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2022, the “Total Annual Fund Operating Expenses” are 1.78% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 1.35% for Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses”, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 1.35% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2023, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination.
The Fund evaluates its performance as compared to that of the Standard & Poor's 500® Total Return Index ("S&P 500® Total Return Index"). The S&P 500® Total Return Index is a market capitalization weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. Its returns reflect reinvested dividends.
GOTHAM FUNDS
Gotham Total Return Fund
Semi-Annual Report
Performance Data
March 31, 2022
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2022 |
| | Six
Months* | | 1 Year | | 3 Years | | 5 Years | | Since
Inception |
| Institutional Class Shares | 9.11% | | 15.50% | | 5.79% | | 6.93% | | 6.80% ** |
| Investor Class Shares | 9.03% | | 15.24% | | 5.54% | | 6.58% | | 4.58% ** |
| HFRX Equity Hedge Index | 2.35% | | 8.92% | | 6.91% | | 4.66% | | 3.05% *** |
| * | Not annualized. |
| ** | Institutional Class shares and Investor Class shares of the Gotham Total Return Fund (the “Fund”) incepted on March 31, 2015 and December 29, 2017, respectively. |
| *** | Benchmark performance is from inception date of the Fund’s Institutional Class shares only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class and Investor Class to the value of the shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2022, the “Total Annual Fund Operating Expenses” and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 1.66% and 1.00% for the Institutional Class shares, respectively, and 1.91% and 1.25% for the Investor Class shares, respectively, of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses”, dividend and interest expense on securities sold short, interest, extraordinary items, management fees (if any) and brokerage commissions), do not exceed 0.00% with respect to Institutional Class shares, (on an annual basis) and 0.25% with respect to Investor Class shares, (on an annual basis), of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2023, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The recoupment of fees waived or expenses reimbursed are limited to the lesser of (a) the Expense Limitation in effect at the time fees were waived or expenses were reimbursed, and (b) the Expense Limitation in effect at the time of recoupment.
The Fund evaluates its performance as compared to that of the Hedge Fund Research Inc. Equity Hedge Index ("HFRX"). The HFRX is an index of quantitatively-selected hedge funds which maintain positions both long and short in primarily equity and equity derivative securities. Constituents of the HFRX report net of all fees returns.
The Fund normally allocates the majority of its assets among mutual funds advised by Gotham. Therefore, the Fund's shareholders will indirectly bear the Fund's proportionate share of fees and expenses of the underlying funds in addition to the Fund's own expenses. The Fund also is subject to the risks of the underlying funds, which may include any or all of the risks described in Important Information.
GOTHAM FUNDS
Gotham Enhanced 500 Plus Fund
Semi-Annual Report
Performance Data
March 31, 2022
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2022 |
| | Six
Months* | | 1 Year | | 3 Years | | 5 Years | | Since
Inception |
| Institutional Class Shares | 10.52% | | 16.64% | | 14.17% | | 13.27% | | 14.22% ** |
| S&P 500® Total Return Index | 5.92% | | 15.65% | | 18.92% | | 15.99% | | 16.45% *** |
| * | Not annualized. |
| ** | The Gotham Enhanced 500 Plus Fund (the “Fund”) commenced operations on September 30, 2016. |
| *** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2022, the “Total Annual Fund Operating Expenses” are 4.70% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 2.06% for Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses”, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 1.15% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2023, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation.
The Fund evaluates its performance as compared to that of the Standard & Poor's 500® Total Return Index ("S&P 500® Total Return Index"). The S&P 500® Total Return Index is a market capitalization weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. Its returns reflect reinvested dividends.
GOTHAM FUNDS
Gotham Hedged Plus Fund
Semi-Annual Report
Performance Data
March 31, 2022
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2022 |
| | Six
Months* | | 1 Year | | 3 Years | | 5 Years | | Since
Inception |
| Institutional Class Shares | 16.25% | | 25.48% | | 8.48% | | 7.79% | | 8.43% ** |
| HFRX Equity Hedge Index | 2.35% | | 8.92% | | 6.91% | | 4.66% | | 4.87% *** |
| * | Not annualized. |
| ** | The Gotham Hedged Plus Fund (the “Fund”) commenced operations on March 31, 2016. |
| *** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2022, the “Total Annual Fund Operating Expenses” are 3.26% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 2.27% for Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses”, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 1.15% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2023, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation.
The Fund evaluates its performance as compared to that of the Hedge Fund Research Inc. Equity Hedge Index ("HFRX"). The HFRX is an index of quantitatively-selected hedge funds which maintain positions both long and short in primarily equity and equity derivative securities. Constituents of the HFRX report net of all fees returns.
GOTHAM FUNDS
Gotham Short Strategies Fund
Semi-Annual Report
Performance Data
March 31, 2022
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2022 |
| | Six
Months* | | 1 Year | | 3 Years | | 5 Years | | 10 Years |
| Institutional Class Shares** | 22.93% | | 21.09% | | -7.16% | | -6.80% | | -4.85% |
| 50% Inverse of the S&P 500® | -4.80% | | -9.59% | | -10.40% | | -8.85% | | -8.23% |
| * | Not annualized. |
| ** | A privately offered fund (the “Predecessor Fund”) managed by Gotham Asset Management, LLC was reorganized into the Gotham Short Strategies Fund (the “Fund” or “GSSFX”) on July 31, 2017, the date GSSFX commenced operations. The Predecessor Fund was organized and commenced operations in February 2008 and had an investment objective, investment policies and restrictions that were, in all material respects, equivalent to those of GSSFX. However, the Predecessor Fund was not registered as an investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). In addition, this Predecessor Fund was not subject to certain investment limitations, diversification requirements, liquidity requirements, and other restrictions imposed by the 1940 Act and the Internal Revenue Code of 1986, as amended, which, if applicable, might have adversely affected its performance. GSSFX’s performance for periods prior to the commencement of operations on July 31, 2017 is that of the Predecessor Fund adjusted to reflect GSSFX’s fee structure. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2022, the “Total Annual Fund Operating Expenses” are 2.92% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 1.35% for Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses”, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 1.35% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2023, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination.
The Fund evaluates its performance as compared to that of the 50% Inverse of the Standard & Poor's 500® Total Return Index ("50% Inverse of the S&P 500®"). The 50% Inverse of the S&P 500® reflects the return of the S&P 500® adjusted to show the negative 50% targeted net short exposure of the Predecessor Fund. Its returns reflect reinvested dividends.
GOTHAM FUNDS
Fund Expense Disclosure
March 31, 2022
(Unaudited)
As a shareholder of a Fund(s), you incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management fees, distribution and/or service (Rule 12b-1) fees (if any) and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from October 1, 2021 through March 31, 2022 and held for the entire period.
Actual Expenses
The first line for each Fund in the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000= 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line for each Fund in the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | Beginning Account Value
October 1, 2021 | | Ending Account Value
March 31, 2022 | | Annualized
Expense Ratio* | | Expenses Paid
During Period** |
| Gotham ESG Large Value Fund |
| Institutional Class | | | | | | | |
| Actual | $1,000.00 | | $1,075.60 | | 0.75% | | $ 3.88 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,021.19 | | 0.75% | | 3.78 |
| Gotham Defensive Long 500 Fund |
| Institutional Class | | | | | | | |
| Actual | $1,000.00 | | $1,105.90 | | 1.35% | | $ 7.09 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,018.20 | | 1.35% | | 6.79 |
GOTHAM FUNDS
Fund Expense Disclosure (Concluded)
March 31, 2022
(Unaudited)
| | Beginning Account Value
October 1, 2021 | | Ending Account Value
March 31, 2022 | | Annualized
Expense Ratio* | | Expenses Paid
During Period** |
| Gotham Total Return Fund |
| Institutional Class | | | | | | | |
| Actual | $1,000.00 | | $1,091.10 | | 0.00% | | $ — |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,024.93 | | 0.00% | | — |
| Investor Class | | | | | | | |
| Actual | $1,000.00 | | $1,090.30 | | 0.25% | | $ 1.30 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,023.68 | | 0.25% | | 1.26 |
| Gotham Enhanced 500 Plus Fund |
| Institutional Class | | | | | | | |
| Actual | $1,000.00 | | $1,105.20 | | 2.08% | | $10.92 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,014.56 | | 2.08% | | 10.45 |
| Gotham Hedged Plus Fund |
| Institutional Class | | | | | | | |
| Actual | $1,000.00 | | $1,162.50 | | 2.42% | | $13.05 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,012.86 | | 2.42% | | 12.14 |
| Gotham Short Strategies Fund |
| Institutional Class | | | | | | | |
| Actual | $1,000.00 | | $1,229.30 | | 1.35% | | $ 7.50 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,018.20 | | 1.35% | | 6.79 |
| * | Annualized expense ratios include dividend expense on securities sold short and interest expense on securities sold short and borrowings, except for the Gotham ESG Large Value Fund which does not short securities or use leverage. |
| ** | Expenses are equal to a Fund’s annualized expense ratio, in the table above, which include waived fees or reimbursement expenses for the six-month period ended March 31, 2022, multiplied by the average account value over the period, multiplied by the number of days in the most recent period, then divided by 365 to reflect the period. Hypothetical expenses are equal to the Fund’s annualized expense ratios, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by 365 to reflect the period. |
Gotham ESG Large Value Fund
Portfolio Holdings Summary Table
March 31, 2022
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| Common Stocks: | | | |
| Semiconductors & Semiconductor Equipment | 10.7% | | $ 160,558 |
| Software & Services | 9.4 | | 140,439 |
| Capital Goods | 8.2 | | 121,833 |
| Retailing | 7.9 | | 117,355 |
| Technology Hardware & Equipment | 7.6 | | 113,282 |
| Health Care Equipment & Services | 6.6 | | 98,171 |
| Diversified Financials | 5.7 | | 85,101 |
| Pharmaceuticals, Biotechnology & Life Sciences | 5.6 | | 84,466 |
| Real Estate | 5.1 | | 75,605 |
| Energy | 5.0 | | 74,025 |
| Materials | 4.8 | | 71,149 |
| Banks | 3.4 | | 51,277 |
| Insurance | 3.3 | | 49,142 |
| Media & Entertainment | 2.6 | | 39,640 |
| Transportation | 2.5 | | 36,722 |
| Consumer Services | 1.8 | | 27,561 |
| Automobiles & Components | 1.5 | | 21,778 |
| Telecommunication Services | 1.5 | | 21,754 |
| Food, Beverage & Tobacco | 1.4 | | 21,609 |
| Consumer Durables & Apparel | 1.4 | | 21,484 |
| Utilities | 0.8 | | 12,597 |
| Commercial & Professional Services | 0.8 | | 11,400 |
| Food & Staples Retailing | 0.3 | | 4,567 |
| Household & Personal Products | 0.0 | | 621 |
| Total Common Stocks | 97.9 | | 1,462,136 |
| Other Assets in Excess of Liabilities | 2.1 | | 31,552 |
| NET ASSETS | 100.0% | | $1,493,688 |
Portfolio holdings are subject to change at any time.
Gotham Defensive Long 500 Fund
Portfolio Holdings Summary Table
March 31, 2022
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| Common Stocks: | | | |
| Health Care Equipment & Services | 10.3% | | $ 2,798,441 |
| Media & Entertainment | 9.6 | | 2,603,840 |
| Pharmaceuticals, Biotechnology & Life Sciences | 7.9 | | 2,147,927 |
| Software & Services | 7.6 | | 2,067,351 |
| Food, Beverage & Tobacco | 7.4 | | 2,010,960 |
| Real Estate | 6.8 | | 1,848,381 |
| Semiconductors & Semiconductor Equipment | 5.9 | | 1,614,819 |
| Technology Hardware & Equipment | 5.7 | | 1,559,433 |
| Diversified Financials | 4.8 | | 1,295,034 |
| Retailing | 4.7 | | 1,289,670 |
| Utilities | 4.0 | | 1,101,528 |
| Capital Goods | 4.0 | | 1,100,659 |
| Insurance | 3.5 | | 945,956 |
| Transportation | 2.6 | | 707,485 |
| Consumer Services | 2.2 | | 590,492 |
| Household & Personal Products | 2.1 | | 573,849 |
| Energy | 1.6 | | 427,248 |
| Telecommunication Services | 1.4 | | 388,615 |
| Materials | 0.9 | | 258,395 |
| Commercial & Professional Services | 0.7 | | 191,708 |
| Food & Staples Retailing | 0.6 | | 156,619 |
| Consumer Durables & Apparel | 0.3 | | 92,330 |
| Automobiles & Components | 0.1 | | 23,928 |
| Total Common Stocks | 94.7 | | 25,794,668 |
| Other Assets in Excess of Liabilities | 5.3 | | 1,455,677 |
| NET ASSETS | 100.0% | | $27,250,345 |
Portfolio holdings are subject to change at any time.
Gotham Total Return Fund
Portfolio Holdings Summary Table
March 31, 2022
(Unaudited)
The following table presents a summary by security type of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| Affiliated Equity Registered Investment Companies | 99.9% | | $28,888,116 |
| Other Assets in Excess of Liabilities | 0.1 | | 20,336 |
| NET ASSETS | 100.0% | | $28,908,452 |
Portfolio holdings are subject to change at any time.
Gotham Enhanced 500 Plus Fund
Portfolio Holdings Summary Table
March 31, 2022
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| LONG POSITIONS: | | | |
| Common Stocks: | | | |
| Software & Services | 16.8% | | $ 628,144 |
| Media & Entertainment | 15.3 | | 572,011 |
| Pharmaceuticals, Biotechnology & Life Sciences | 14.1 | | 527,091 |
| Technology Hardware & Equipment | 12.0 | | 446,493 |
| Retailing | 11.4 | | 424,197 |
| Capital Goods | 9.3 | | 348,509 |
| Energy | 8.6 | | 320,721 |
| Semiconductors & Semiconductor Equipment | 8.4 | | 315,391 |
| Health Care Equipment & Services | 8.0 | | 297,415 |
| Food, Beverage & Tobacco | 7.5 | | 278,294 |
| Materials | 5.3 | | 196,475 |
| Diversified Financials | 5.2 | | 195,302 |
| Telecommunication Services | 3.2 | | 120,929 |
| Transportation | 3.1 | | 114,028 |
| Insurance | 2.7 | | 101,455 |
| Real Estate | 2.6 | | 97,126 |
| Consumer Services | 1.9 | | 69,540 |
| Automobiles & Components | 1.6 | | 60,184 |
| Consumer Durables & Apparel | 1.3 | | 46,926 |
| Utilities | 1.0 | | 35,511 |
| Household & Personal Products | 0.5 | | 19,890 |
| Commercial & Professional Services | 0.4 | | 15,754 |
| Food & Staples Retailing | 0.3 | | 10,972 |
| Banks | 0.0 | | 1,339 |
| Total Long Positions | 140.5 | | 5,243,697 |
| | % of Net
Assets | | Value |
| SHORT POSITIONS: | | | |
| Common Stocks: | | | |
| Automobiles & Components | (0.2)% | | $ (6,464) |
| Household & Personal Products | (0.2) | | (8,922) |
| Technology Hardware & Equipment | (0.4) | | (13,870) |
| Retailing | (0.6) | | (22,705) |
| Food & Staples Retailing | (0.7) | | (26,551) |
| Food, Beverage & Tobacco | (0.8) | | (27,891) |
| Consumer Durables & Apparel | (0.8) | | (30,673) |
| Transportation | (0.9) | | (33,488) |
| Commercial & Professional Services | (0.9) | | (33,792) |
| Semiconductors & Semiconductor Equipment | (1.1) | | (40,686) |
| Software & Services | (1.1) | | (40,754) |
| Media & Entertainment | (1.5) | | (56,411) |
| Real Estate | (1.6) | | (57,701) |
| Energy | (1.6) | | (59,097) |
| Insurance | (1.8) | | (68,382) |
| Materials | (1.9) | | (72,522) |
| Consumer Services | (2.2) | | (82,215) |
| Diversified Financials | (2.5) | | (93,103) |
| Pharmaceuticals, Biotechnology & Life Sciences | (2.8) | | (105,539) |
| Banks | (3.2) | | (119,829) |
| Capital Goods | (4.4) | | (162,619) |
| Health Care Equipment & Services | (4.7) | | (176,609) |
| Utilities | (5.7) | | (212,580) |
| Total Short Positions | (41.6) | | (1,552,403) |
| Other Assets in Excess of Liabilities | 1.1 | | 42,583 |
| NET ASSETS | 100.0% | | $ 3,733,877 |
Portfolio holdings are subject to change at any time.
Gotham Hedged Plus Fund
Portfolio Holdings Summary Table
March 31, 2022
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| LONG POSITIONS: | | | |
| Common Stocks: | | | |
| Pharmaceuticals, Biotechnology & Life Sciences | 22.6% | | $ 3,189,417 |
| Software & Services | 17.7 | | 2,493,310 |
| Media & Entertainment | 17.3 | | 2,443,648 |
| Health Care Equipment & Services | 13.9 | | 1,957,227 |
| Technology Hardware & Equipment | 11.7 | | 1,651,252 |
| Food, Beverage & Tobacco | 11.6 | | 1,639,776 |
| Energy | 10.6 | | 1,495,508 |
| Diversified Financials | 10.0 | | 1,418,650 |
| Retailing | 10.0 | | 1,416,360 |
| Materials | 7.1 | | 1,005,611 |
| Capital Goods | 5.5 | | 776,132 |
| Consumer Services | 5.4 | | 758,110 |
| Utilities | 5.1 | | 713,916 |
| Insurance | 5.0 | | 698,718 |
| Telecommunication Services | 4.1 | | 583,753 |
| Transportation | 3.5 | | 500,295 |
| Commercial & Professional Services | 2.4 | | 344,611 |
| Household & Personal Products | 2.2 | | 312,446 |
| Semiconductors & Semiconductor Equipment | 2.2 | | 307,441 |
| Food & Staples Retailing | 1.9 | | 261,644 |
| Consumer Durables & Apparel | 1.5 | | 218,261 |
| Real Estate | 1.3 | | 179,908 |
| Automobiles & Components | 0.6 | | 90,597 |
| Total Long Positions | 173.2 | | 24,456,591 |
| | % of Net
Assets | | Value |
| SHORT POSITIONS: | | | |
| Common Stocks: | | | |
| Food, Beverage & Tobacco | (0.2)% | | $ (31,555) |
| Technology Hardware & Equipment | (0.6) | | (88,655) |
| Media & Entertainment | (0.8) | | (107,272) |
| Real Estate | (0.8) | | (116,548) |
| Automobiles & Components | (0.9) | | (126,864) |
| Transportation | (1.2) | | (163,286) |
| Commercial & Professional Services | (1.7) | | (237,290) |
| Semiconductors & Semiconductor Equipment | (1.7) | | (241,657) |
| Insurance | (2.0) | | (275,030) |
| Consumer Durables & Apparel | (2.0) | | (286,669) |
| Health Care Equipment & Services | (2.1) | | (294,851) |
| Consumer Services | (2.1) | | (298,908) |
| Diversified Financials | (2.5) | | (354,847) |
| Retailing | (2.7) | | (381,869) |
| Energy | (4.8) | | (672,024) |
| Materials | (5.6) | | (797,111) |
| Utilities | (6.2) | | (881,198) |
| Software & Services | (6.3) | | (890,919) |
| Banks | (7.4) | | (1,042,815) |
| Capital Goods | (9.7) | | (1,366,662) |
| Pharmaceuticals, Biotechnology & Life Sciences | (13.2) | | (1,869,522) |
| Total Short Positions | (74.5) | | (10,525,552) |
| Other Assets in Excess of Liabilities | 1.3 | | 186,062 |
| NET ASSETS | 100.0% | | $ 14,117,101 |
Portfolio holdings are subject to change at any time.
Gotham Short Strategies Fund
Portfolio Holdings Summary Table
March 31, 2022
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| Common Stocks: | | | |
| Software & Services | 11.1% | | $ 476,060 |
| Semiconductors & Semiconductor Equipment | 10.4 | | 444,306 |
| Energy | 9.6 | | 412,569 |
| Materials | 6.3 | | 268,711 |
| Pharmaceuticals, Biotechnology & Life Sciences | 6.1 | | 260,821 |
| Food, Beverage & Tobacco | 5.8 | | 247,059 |
| Technology Hardware & Equipment | 5.5 | | 234,973 |
| Retailing | 5.1 | | 217,262 |
| Capital Goods | 4.9 | | 208,473 |
| Health Care Equipment & Services | 3.4 | | 144,751 |
| Media & Entertainment | 3.3 | | 142,040 |
| Transportation | 2.5 | | 105,502 |
| Household & Personal Products | 2.2 | | 95,804 |
| Consumer Services | 1.9 | | 82,641 |
| Commercial & Professional Services | 1.5 | | 64,995 |
| Automobiles & Components | 1.2 | | 52,892 |
| Telecommunication Services | 1.2 | | 52,752 |
| Consumer Durables & Apparel | 1.2 | | 51,372 |
| Utilities | 0.8 | | 35,889 |
| Food & Staples Retailing | 0.5 | | 20,012 |
| Total Common Stocks | 84.5 | | 3,618,884 |
| Other Assets in Excess of Liabilities | 15.5 | | 662,628 |
| NET ASSETS | 100.0% | | $4,281,512 |
Portfolio holdings are subject to change at any time.
GOTHAM ESG LARGE VALUE FUND
Portfolio of Investments
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — 97.9% |
| Automobiles & Components — 1.5% |
| Aptiv PLC (Jersey)* | 49 | | $ 5,866 |
| BorgWarner, Inc. | 50 | | 1,945 |
| Ford Motor Co. | 826 | | 13,967 |
| | | | 21,778 |
| Banks — 3.4% |
| Citizens Financial Group, Inc. | 95 | | 4,306 |
| Comerica, Inc. | 32 | | 2,894 |
| Fifth Third Bancorp | 144 | | 6,198 |
| JPMorgan Chase & Co. | 149 | | 20,312 |
| KeyCorp. | 226 | | 5,058 |
| M&T Bank Corp. | 26 | | 4,407 |
| Regions Financial Corp. | 224 | | 4,986 |
| SVB Financial Group* | 1 | | 559 |
| Zions Bancorp NA | 39 | | 2,557 |
| | | | 51,277 |
| Capital Goods — 8.2% |
| 3M Co. | 119 | | 17,717 |
| A.O. Smith Corp. | 33 | | 2,108 |
| Allegion PLC (Ireland) | 15 | | 1,647 |
| Carrier Global Corp. | 3 | | 138 |
| Cummins, Inc. | 30 | | 6,153 |
| Dover Corp. | 32 | | 5,021 |
| Eaton Corp. PLC (Ireland) | 89 | | 13,507 |
| Fortune Brands Home & Security, Inc. | 30 | | 2,228 |
| General Dynamics Corp. | 44 | | 10,612 |
| Honeywell International, Inc. | 56 | | 10,896 |
| IDEX Corp. | 6 | | 1,150 |
| Ingersoll Rand, Inc. | 59 | | 2,971 |
| Johnson Controls International PLC (Ireland) | 155 | | 10,163 |
| Lockheed Martin Corp. | 15 | | 6,621 |
| Masco Corp. | 54 | | 2,754 |
| Nordson Corp. | 9 | | 2,044 |
| Otis Worldwide Corp. | 90 | | 6,925 |
| Parker-Hannifin Corp. | 3 | | 851 |
| Pentair PLC (Ireland) | 35 | | 1,897 |
| Snap-on, Inc. | 14 | | 2,877 |
| Textron, Inc. | 36 | | 2,678 |
| Trane Technologies PLC (Ireland) | 50 | | 7,635 |
| Xylem, Inc. | 38 | | 3,240 |
| | | | 121,833 |
| Commercial & Professional Services — 0.8% |
| Copart, Inc.* | 14 | | 1,757 |
| Jacobs Engineering Group, Inc. | 31 | | 4,272 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Commercial & Professional Services — (Continued) |
| Nielsen Holdings PLC (United Kingdom) | 84 | | $ 2,288 |
| Robert Half International, Inc. | 27 | | 3,083 |
| | | | 11,400 |
| Consumer Durables & Apparel — 1.4% |
| Hasbro, Inc. | 28 | | 2,294 |
| Mohawk Industries, Inc.* | 19 | | 2,360 |
| Newell Brands, Inc. | 99 | | 2,120 |
| PVH Corp. | 15 | | 1,149 |
| Ralph Lauren Corp. | 17 | | 1,928 |
| Tapestry, Inc. | 65 | | 2,415 |
| Under Armour, Inc., Class C* | 104 | | 1,618 |
| VF Corp. | 82 | | 4,663 |
| Whirlpool Corp. | 17 | | 2,937 |
| | | | 21,484 |
| Consumer Services — 1.8% |
| Caesars Entertainment, Inc.* | 44 | | 3,404 |
| Las Vegas Sands Corp.* | 5 | | 194 |
| McDonald's Corp. | 30 | | 7,419 |
| Norwegian Cruise Line Holdings Ltd. (Bermuda)* | 84 | | 1,838 |
| Penn National Gaming, Inc.* | 36 | | 1,527 |
| Starbucks Corp. | 68 | | 6,186 |
| Yum! Brands, Inc. | 59 | | 6,993 |
| | | | 27,561 |
| Diversified Financials — 5.7% |
| Ameriprise Financial, Inc. | 17 | | 5,106 |
| Berkshire Hathaway, Inc., Class B* | 26 | | 9,176 |
| BlackRock, Inc. | 32 | | 24,453 |
| CME Group, Inc. | 39 | | 9,277 |
| Franklin Resources, Inc. | 141 | | 3,937 |
| Intercontinental Exchange, Inc. | 3 | | 396 |
| Invesco Ltd. (Bermuda) | 128 | | 2,952 |
| Moody's Corp. | 11 | | 3,711 |
| Morgan Stanley | 22 | | 1,923 |
| Nasdaq, Inc. | 40 | | 7,128 |
| Raymond James Financial, Inc. | 46 | | 5,056 |
| S&P Global, Inc. | 6 | | 2,461 |
| T Rowe Price Group, Inc. | 63 | | 9,525 |
| | | | 85,101 |
| Energy — 5.0% |
| Baker Hughes Co. | 93 | | 3,386 |
| EOG Resources, Inc. | 129 | | 15,381 |
| Exxon Mobil Corp. | 355 | | 29,319 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ESG LARGE VALUE FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Energy — (Continued) |
| Marathon Petroleum Corp. | 142 | | $ 12,141 |
| ONEOK, Inc. | 103 | | 7,275 |
| Schlumberger NV (Curacao) | 94 | | 3,883 |
| Valero Energy Corp. | 26 | | 2,640 |
| | | | 74,025 |
| Food & Staples Retailing — 0.3% |
| Walgreens Boots Alliance, Inc. | 102 | | 4,567 |
| Food, Beverage & Tobacco — 1.4% |
| Archer-Daniels-Midland Co. | 56 | | 5,054 |
| Coca-Cola Co. (The) | 18 | | 1,116 |
| Constellation Brands, Inc., Class A | 20 | | 4,606 |
| General Mills, Inc. | 58 | | 3,928 |
| Kraft Heinz Co. (The) | 36 | | 1,418 |
| Molson Coors Beverage Co., Class B | 18 | | 961 |
| Mondelez International, Inc., Class A | 67 | | 4,206 |
| Monster Beverage Corp.* | 4 | | 320 |
| | | | 21,609 |
| Health Care Equipment & Services — 6.6% |
| Align Technology, Inc.* | 14 | | 6,104 |
| AmerisourceBergen Corp. | 6 | | 928 |
| Anthem, Inc. | 35 | | 17,193 |
| Cerner Corp. | 8 | | 748 |
| Cigna Corp. | 65 | | 15,575 |
| CVS Health Corp. | 129 | | 13,056 |
| DaVita, Inc.* | 23 | | 2,602 |
| HCA Healthcare, Inc. | 39 | | 9,774 |
| Henry Schein, Inc.* | 8 | | 698 |
| Hologic, Inc.* | 57 | | 4,379 |
| Laboratory Corp. of America Holdings* | 23 | | 6,064 |
| McKesson Corp. | 32 | | 9,796 |
| Medtronic PLC (Ireland) | 34 | | 3,772 |
| Quest Diagnostics, Inc. | 26 | | 3,558 |
| UnitedHealth Group, Inc. | 4 | | 2,040 |
| Universal Health Services, Inc., Class B | 13 | | 1,884 |
| | | | 98,171 |
| Household & Personal Products — 0.0% |
| Colgate-Palmolive Co. | 1 | | 76 |
| Estee Lauder Cos., Inc. (The), Class A | 2 | | 545 |
| | | | 621 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Insurance — 3.3% |
| Aflac, Inc. | 35 | | $ 2,254 |
| Aon PLC, Class A (Ireland) | 46 | | 14,979 |
| Arthur J Gallagher & Co. | 3 | | 524 |
| Brown & Brown, Inc. | 63 | | 4,553 |
| Loews Corp. | 4 | | 259 |
| Marsh & McLennan Cos., Inc. | 107 | | 18,235 |
| Principal Financial Group, Inc. | 15 | | 1,101 |
| W R Berkley Corp. | 20 | | 1,332 |
| Willis Towers Watson PLC (Ireland) | 25 | | 5,905 |
| | | | 49,142 |
| Materials — 4.8% |
| Avery Dennison Corp. | 17 | | 2,957 |
| CF Industries Holdings, Inc. | 50 | | 5,153 |
| Dow, Inc. | 75 | | 4,779 |
| DuPont de Nemours, Inc. | 107 | | 7,873 |
| Eastman Chemical Co. | 27 | | 3,026 |
| FMC Corp. | 28 | | 3,684 |
| International Paper Co. | 108 | | 4,984 |
| Linde PLC (Ireland) | 34 | | 10,860 |
| LyondellBasell Industries NV, Class A (Netherlands) | 74 | | 7,609 |
| Nucor Corp. | 67 | | 9,959 |
| PPG Industries, Inc. | 41 | | 5,374 |
| Sealed Air Corp. | 33 | | 2,210 |
| Westrock Co. | 57 | | 2,681 |
| | | | 71,149 |
| Media & Entertainment — 2.6% |
| Charter Communications, Inc., Class A* | 20 | | 10,910 |
| Comcast Corp., Class A | 293 | | 13,718 |
| Discovery, Inc., Class A* | 139 | | 3,464 |
| Interpublic Group of Cos., Inc. (The) | 110 | | 3,900 |
| News Corp., Class A | 123 | | 2,725 |
| Omnicom Group, Inc. | 58 | | 4,923 |
| | | | 39,640 |
| Pharmaceuticals, Biotechnology & Life Sciences — 5.6% |
| AbbVie, Inc. | 40 | | 6,484 |
| Amgen, Inc. | 30 | | 7,254 |
| Biogen, Inc.* | 31 | | 6,529 |
| Charles River Laboratories International, Inc.* | 10 | | 2,840 |
| Gilead Sciences, Inc. | 175 | | 10,404 |
| Merck & Co., Inc. | 48 | | 3,938 |
| Moderna, Inc.* | 85 | | 14,642 |
| Organon & Co. | 57 | | 1,991 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ESG LARGE VALUE FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
Pharmaceuticals, Biotechnology & Life Sciences —
(Continued) |
| PerkinElmer, Inc. | 2 | | $ 349 |
| Pfizer, Inc. | 132 | | 6,834 |
| Regeneron Pharmaceuticals, Inc.* | 20 | | 13,968 |
| Vertex Pharmaceuticals, Inc.* | 33 | | 8,612 |
| Waters Corp.* | 2 | | 621 |
| | | | 84,466 |
| Real Estate — 5.1% |
| Alexandria Real Estate Equities, Inc., REIT | 33 | | 6,641 |
| AvalonBay Communities, Inc., REIT | 29 | | 7,203 |
| CBRE Group, Inc., Class A* | 71 | | 6,498 |
| Duke Realty Corp., REIT | 84 | | 4,877 |
| Equity Residential, REIT | 52 | | 4,676 |
| Essex Property Trust, Inc., REIT | 6 | | 2,073 |
| Extra Space Storage, Inc., REIT | 28 | | 5,757 |
| Kimco Realty Corp., REIT | 49 | | 1,210 |
| Mid-America Apartment Communities, Inc., REIT | 26 | | 5,446 |
| Prologis, Inc., REIT | 70 | | 11,304 |
| Public Storage, REIT | 9 | | 3,512 |
| Realty Income Corp., REIT | 4 | | 277 |
| Regency Centers Corp., REIT | 21 | | 1,498 |
| Simon Property Group, Inc., REIT | 29 | | 3,815 |
| UDR, Inc., REIT | 67 | | 3,844 |
| Weyerhaeuser Co., REIT | 184 | | 6,974 |
| | | | 75,605 |
| Retailing — 7.9% |
| Advance Auto Parts, Inc. | 16 | | 3,311 |
| AutoZone, Inc.* | 5 | | 10,223 |
| Bath & Body Works, Inc. | 69 | | 3,298 |
| Best Buy Co., Inc. | 63 | | 5,727 |
| eBay, Inc. | 147 | | 8,417 |
| Etsy, Inc.* | 6 | | 746 |
| Genuine Parts Co. | 40 | | 5,041 |
| Home Depot, Inc. (The) | 48 | | 14,368 |
| LKQ Corp. | 82 | | 3,724 |
| Lowe's Cos., Inc. | 63 | | 12,738 |
| O'Reilly Automotive, Inc.* | 16 | | 10,959 |
| Ross Stores, Inc. | 74 | | 6,694 |
| Target Corp. | 73 | | 15,492 |
| TJX Cos., Inc. (The) | 202 | | 12,237 |
| Ulta Beauty, Inc.* | 11 | | 4,380 |
| | | | 117,355 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Semiconductors & Semiconductor Equipment — 10.7% |
| Advanced Micro Devices, Inc.* | 106 | | $ 11,590 |
| Applied Materials, Inc. | 186 | | 24,515 |
| Broadcom, Inc. | 10 | | 6,297 |
| Intel Corp. | 466 | | 23,095 |
| KLA Corp. | 33 | | 12,080 |
| Lam Research Corp. | 29 | | 15,591 |
| Microchip Technology, Inc. | 111 | | 8,340 |
| Micron Technology, Inc. | 236 | | 18,382 |
| Monolithic Power Systems, Inc. | 8 | | 3,885 |
| NVIDIA Corp. | 51 | | 13,916 |
| NXP Semiconductors NV (Netherlands) | 58 | | 10,735 |
| Qorvo, Inc.* | 26 | | 3,227 |
| Skyworks Solutions, Inc. | 34 | | 4,531 |
| Teradyne, Inc. | 37 | | 4,374 |
| | | | 160,558 |
| Software & Services — 9.4% |
| Accenture PLC, Class A (Ireland) | 64 | | 21,583 |
| Adobe, Inc.* | 12 | | 5,467 |
| Autodesk, Inc.* | 28 | | 6,002 |
| Automatic Data Processing, Inc. | 67 | | 15,245 |
| Ceridian HCM Holding, Inc.* | 12 | | 820 |
| DXC Technology Co.* | 59 | | 1,925 |
| Fidelity National Information Services, Inc. | 22 | | 2,209 |
| Fiserv, Inc.* | 64 | | 6,490 |
| FleetCor Technologies, Inc.* | 17 | | 4,234 |
| Fortinet, Inc.* | 19 | | 6,493 |
| Gartner, Inc.* | 20 | | 5,949 |
| Global Payments, Inc. | 29 | | 3,968 |
| International Business Machines Corp. | 87 | | 11,312 |
| Intuit, Inc. | 3 | | 1,443 |
| Microsoft Corp. | 5 | | 1,542 |
| NortonLifeLock, Inc. | 126 | | 3,341 |
| Oracle Corp. | 136 | | 11,251 |
| Paychex, Inc. | 74 | | 10,099 |
| Paycom Software, Inc.* | 4 | | 1,386 |
| PayPal Holdings, Inc.* | 150 | | 17,347 |
| Synopsys, Inc.* | 7 | | 2,333 |
| | | | 140,439 |
| Technology Hardware & Equipment — 7.6% |
| Amphenol Corp., Class A | 43 | | 3,240 |
| Apple, Inc. | 69 | | 12,048 |
| Arista Networks, Inc.* | 46 | | 6,393 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ESG LARGE VALUE FUND
Portfolio of Investments (Concluded)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Technology Hardware & Equipment — (Continued) |
| CDW Corp. | 1 | | $ 179 |
| Cisco Systems, Inc. | 389 | | 21,691 |
| Corning, Inc. | 178 | | 6,570 |
| F5, Inc.* | 9 | | 1,880 |
| Hewlett Packard Enterprise Co. | 89 | | 1,487 |
| HP, Inc. | 304 | | 11,035 |
| IPG Photonics Corp.* | 12 | | 1,317 |
| Juniper Networks, Inc. | 68 | | 2,527 |
| Keysight Technologies, Inc.* | 38 | | 6,003 |
| Motorola Solutions, Inc. | 35 | | 8,477 |
| NetApp, Inc. | 52 | | 4,316 |
| Seagate Technology Holdings PLC (Ireland) | 61 | | 5,484 |
| TE Connectivity Ltd. (Switzerland) | 68 | | 8,907 |
| Trimble, Inc.* | 52 | | 3,751 |
| Western Digital Corp.* | 69 | | 3,426 |
| Zebra Technologies Corp., Class A* | 11 | | 4,551 |
| | | | 113,282 |
| Telecommunication Services — 1.5% |
| AT&T, Inc. | 475 | | 11,224 |
| Lumen Technologies, Inc. | 216 | | 2,434 |
| T-Mobile US, Inc.* | 21 | | 2,696 |
| Verizon Communications, Inc. | 106 | | 5,400 |
| | | | 21,754 |
| Transportation — 2.5% |
| CSX Corp. | 16 | | 599 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Transportation — (Continued) |
| Expeditors International of Washington, Inc. | 40 | | $ 4,127 |
| FedEx Corp. | 54 | | 12,495 |
| Union Pacific Corp. | 18 | | 4,918 |
| United Parcel Service, Inc., Class B | 68 | | 14,583 |
| | | | 36,722 |
| Utilities — 0.8% |
| AES Corp. (The) | 140 | | 3,602 |
| DTE Energy Co. | 43 | | 5,685 |
| NRG Energy, Inc. | 55 | | 2,110 |
| PPL Corp. | 42 | | 1,200 |
| | | | 12,597 |
TOTAL COMMON STOCKS
(Cost $1,280,357) | | | 1,462,136 |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 2.1% | | | 31,552 |
| NET ASSETS - 100.0% | | | $ 1,493,688 |
| PLC | Public Limited Company |
| REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of the financial statements.
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — 94.7% |
| Automobiles & Components — 0.1% |
| Ford Motor Co. | 1,415 | | $ 23,928 |
| Capital Goods — 4.0% |
| 3M Co. | 951 | | 141,585 |
| A.O. Smith Corp. | 140 | | 8,945 |
| Eaton Corp. PLC (Ireland) | 184 | | 27,924 |
| General Dynamics Corp. | 550 | | 132,649 |
| L3Harris Technologies, Inc. | 280 | | 69,571 |
| Lockheed Martin Corp.(a) | 755 | | 333,257 |
| Masco Corp. | 4,347 | | 221,697 |
| Nordson Corp. | 12 | | 2,725 |
| Northrop Grumman Corp. | 218 | | 97,494 |
| Otis Worldwide Corp. | 475 | | 36,551 |
| Roper Technologies, Inc. | 38 | | 17,945 |
| WW Grainger, Inc. | 20 | | 10,316 |
| | | | 1,100,659 |
| Commercial & Professional Services — 0.7% |
| Robert Half International, Inc. | 1,679 | | 191,708 |
| Consumer Durables & Apparel — 0.3% |
| NIKE, Inc., Class B | 523 | | 70,375 |
| Under Armour, Inc., Class C* | 1,411 | | 21,955 |
| | | | 92,330 |
| Consumer Services — 2.2% |
| Booking Holdings, Inc.* | 37 | | 86,892 |
| Domino's Pizza, Inc. | 119 | | 48,434 |
| McDonald's Corp. | 864 | | 213,650 |
| Penn National Gaming, Inc.* | 2,821 | | 119,667 |
| Yum! Brands, Inc. | 1,028 | | 121,849 |
| | | | 590,492 |
| Diversified Financials — 4.8% |
| Berkshire Hathaway, Inc., Class B(a)* | 1,084 | | 382,554 |
| BlackRock, Inc. | 280 | | 213,968 |
| Cboe Global Markets, Inc. | 12 | | 1,373 |
| CME Group, Inc. | 72 | | 17,126 |
| Intercontinental Exchange, Inc. | 471 | | 62,228 |
| Moody's Corp. | 187 | | 63,096 |
| Nasdaq, Inc. | 1,140 | | 203,148 |
| S&P Global, Inc. | 97 | | 39,787 |
| T Rowe Price Group, Inc.(a) | 2,062 | | 311,754 |
| | | | 1,295,034 |
| Energy — 1.6% |
| Baker Hughes Co. | 906 | | 32,987 |
| Chevron Corp. | 1,002 | | 163,156 |
| EOG Resources, Inc. | 1,143 | | 136,280 |
| Exxon Mobil Corp. | 547 | | 45,177 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Energy — (Continued) |
| Halliburton Co. | 64 | | $ 2,424 |
| Marathon Petroleum Corp. | 519 | | 44,374 |
| Schlumberger NV (Curacao) | 69 | | 2,850 |
| | | | 427,248 |
| Food & Staples Retailing — 0.6% |
| Costco Wholesale Corp. | 31 | | 17,852 |
| Sysco Corp. | 131 | | 10,696 |
| Walmart, Inc.(a) | 860 | | 128,071 |
| | | | 156,619 |
| Food, Beverage & Tobacco — 7.4% |
| Altria Group, Inc.(a) | 2,607 | | 136,216 |
| Archer-Daniels-Midland Co. | 1,431 | | 129,162 |
| Campbell Soup Co. | 1,879 | | 83,747 |
| Coca-Cola Co. (The)(a) | 2,165 | | 134,230 |
| Constellation Brands, Inc., Class A | 533 | | 122,761 |
| General Mills, Inc.(a) | 3,166 | | 214,401 |
| Hershey Co. (The)(a) | 970 | | 210,131 |
| Hormel Foods Corp. | 1,793 | | 92,411 |
| Kraft Heinz Co. (The)(a) | 1,470 | | 57,903 |
| Mondelez International, Inc., Class A(a) | 3,037 | | 190,663 |
| PepsiCo, Inc. | 523 | | 87,540 |
| Philip Morris International, Inc.(a) | 3,231 | | 303,520 |
| Tyson Foods, Inc., Class A | 2,770 | | 248,275 |
| | | | 2,010,960 |
| Health Care Equipment & Services — 10.3% |
| Abbott Laboratories | 2,142 | | 253,527 |
| AmerisourceBergen Corp. | 80 | | 12,377 |
| Anthem, Inc. | 160 | | 78,595 |
| Cerner Corp.(a) | 3,296 | | 308,374 |
| Cigna Corp. | 165 | | 39,535 |
| CVS Health Corp.(a) | 1,909 | | 193,210 |
| DaVita, Inc.* | 493 | | 55,763 |
| HCA Healthcare, Inc. | 669 | | 167,665 |
| Hologic, Inc.(a)* | 6,227 | | 478,358 |
| Laboratory Corp. of America Holdings(a)* | 1,489 | | 392,590 |
| McKesson Corp.(a) | 813 | | 248,884 |
| Medtronic PLC (Ireland) | 504 | | 55,919 |
| Quest Diagnostics, Inc.(a) | 3,019 | | 413,180 |
| UnitedHealth Group, Inc. | 197 | | 100,464 |
| | | | 2,798,441 |
| Household & Personal Products — 2.1% |
| Colgate-Palmolive Co.(a) | 2,709 | | 205,423 |
The accompanying notes are an integral part of the financial statements.
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Household & Personal Products — (Continued) |
| Kimberly-Clark Corp.(a) | 1,190 | | $ 146,560 |
| Procter & Gamble Co. (The) | 1,452 | | 221,866 |
| | | | 573,849 |
| Insurance — 3.5% |
| Aon PLC, Class A (Ireland) | 600 | | 195,378 |
| Arthur J Gallagher & Co.(a) | 1,209 | | 211,091 |
| Brown & Brown, Inc. | 1,796 | | 129,797 |
| Marsh & McLennan Cos., Inc.(a) | 2,404 | | 409,690 |
| | | | 945,956 |
| Materials — 0.9% |
| CF Industries Holdings, Inc. | 460 | | 47,408 |
| FMC Corp. | 828 | | 108,940 |
| Sealed Air Corp. | 1,524 | | 102,047 |
| | | | 258,395 |
| Media & Entertainment — 9.6% |
| Activision Blizzard, Inc.(a) | 7,722 | | 618,609 |
| Alphabet, Inc., Class A(a)* | 150 | | 417,203 |
| Charter Communications, Inc., Class A(a)* | 697 | | 380,227 |
| Comcast Corp., Class A | 2,746 | | 128,568 |
| Electronic Arts, Inc. | 69 | | 8,729 |
| Interpublic Group of Cos., Inc. (The) | 44 | | 1,560 |
| Meta Platforms, Inc., Class A(a)* | 3,644 | | 810,280 |
| Netflix, Inc.(a)* | 624 | | 233,744 |
| Take-Two Interactive Software, Inc.* | 32 | | 4,920 |
| | | | 2,603,840 |
| Pharmaceuticals, Biotechnology & Life Sciences — 7.9% |
| Biogen, Inc.* | 376 | | 79,186 |
| Bristol-Myers Squibb Co. | 2,958 | | 216,023 |
| Danaher Corp. | 529 | | 155,172 |
| Illumina, Inc.* | 56 | | 19,566 |
| Johnson & Johnson(a) | 1,541 | | 273,111 |
| Merck & Co., Inc.(a) | 5,496 | | 450,947 |
| Organon & Co. | 1,307 | | 45,653 |
| PerkinElmer, Inc.(a) | 385 | | 67,167 |
| Pfizer, Inc.(a) | 9,641 | | 499,115 |
| Regeneron Pharmaceuticals, Inc.* | 262 | | 182,986 |
| Thermo Fisher Scientific, Inc. | 177 | | 104,545 |
| Vertex Pharmaceuticals, Inc.* | 114 | | 29,751 |
| Zoetis, Inc. | 131 | | 24,705 |
| | | | 2,147,927 |
| Real Estate — 6.8% |
| Alexandria Real Estate Equities, Inc., REIT(a) | 1,507 | | 303,284 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Real Estate — (Continued) |
| AvalonBay Communities, Inc., REIT | 56 | | $ 13,909 |
| CBRE Group, Inc., Class A* | 260 | | 23,795 |
| Digital Realty Trust, Inc., REIT | 431 | | 61,116 |
| Duke Realty Corp., REIT | 3,287 | | 190,843 |
| Extra Space Storage, Inc., REIT(a) | 1,435 | | 295,036 |
| Mid-America Apartment Communities, Inc., REIT | 537 | | 112,475 |
| Prologis, Inc., REIT(a) | 1,744 | | 281,621 |
| Public Storage, REIT(a) | 872 | | 340,324 |
| Realty Income Corp., REIT | 695 | | 48,163 |
| UDR, Inc., REIT | 159 | | 9,122 |
| Weyerhaeuser Co., REIT | 4,451 | | 168,693 |
| | | | 1,848,381 |
| Retailing — 4.7% |
| Amazon.com, Inc.* | 50 | | 162,998 |
| AutoZone, Inc.* | 73 | | 149,254 |
| Bath & Body Works, Inc. | 2,145 | | 102,531 |
| Best Buy Co., Inc. | 130 | | 11,817 |
| eBay, Inc.(a) | 6,896 | | 394,865 |
| Genuine Parts Co. | 124 | | 15,626 |
| Home Depot, Inc. (The) | 293 | | 87,704 |
| Lowe's Cos., Inc. | 309 | | 62,477 |
| O'Reilly Automotive, Inc.* | 171 | | 117,128 |
| Ross Stores, Inc. | 366 | | 33,108 |
| Target Corp. | 717 | | 152,162 |
| | | | 1,289,670 |
| Semiconductors & Semiconductor Equipment — 5.9% |
| Applied Materials, Inc. | 590 | | 77,762 |
| Broadcom, Inc. | 225 | | 141,678 |
| Intel Corp.(a) | 7,103 | | 352,025 |
| KLA Corp.(a) | 557 | | 203,895 |
| Lam Research Corp. | 160 | | 86,017 |
| Micron Technology, Inc. | 1,098 | | 85,523 |
| Qorvo, Inc.* | 46 | | 5,709 |
| QUALCOMM, Inc.(a) | 2,632 | | 402,222 |
| Teradyne, Inc.(a) | 2,199 | | 259,988 |
| | | | 1,614,819 |
| Software & Services — 7.6% |
| Accenture PLC, Class A (Ireland) | 876 | | 295,413 |
| Adobe, Inc.* | 416 | | 189,538 |
| Automatic Data Processing, Inc. | 608 | | 138,344 |
| Gartner, Inc.* | 519 | | 154,382 |
| International Business Machines Corp. | 950 | | 123,519 |
| Mastercard, Inc., Class A | 105 | | 37,525 |
The accompanying notes are an integral part of the financial statements.
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Software & Services — (Continued) |
| Microsoft Corp.(a) | 1,025 | | $ 316,018 |
| NortonLifeLock, Inc.(a) | 9,003 | | 238,760 |
| Paychex, Inc. | 394 | | 53,769 |
| PayPal Holdings, Inc.(a)* | 2,749 | | 317,922 |
| ServiceNow, Inc.* | 14 | | 7,796 |
| VeriSign, Inc.* | 137 | | 30,477 |
| Visa, Inc., Class A | 739 | | 163,888 |
| | | | 2,067,351 |
| Technology Hardware & Equipment — 5.7% |
| Apple, Inc.(a) | 4,700 | | 820,667 |
| Cisco Systems, Inc.(a) | 4,586 | | 255,715 |
| HP, Inc. | 4,706 | | 170,828 |
| Keysight Technologies, Inc.* | 274 | | 43,284 |
| Motorola Solutions, Inc. | 554 | | 134,179 |
| Seagate Technology Holdings PLC (Ireland) | 1,499 | | 134,760 |
| | | | 1,559,433 |
| Telecommunication Services — 1.4% |
| AT&T, Inc. | 3,553 | | 83,957 |
| T-Mobile US, Inc.* | 673 | | 86,380 |
| Verizon Communications, Inc. | 4,285 | | 218,278 |
| | | | 388,615 |
| Transportation — 2.6% |
| Expeditors International of Washington, Inc.(a) | 3,753 | | 387,160 |
| FedEx Corp. | 783 | | 181,178 |
| Southwest Airlines Co.* | 341 | | 15,618 |
| United Parcel Service, Inc., Class B(a) | 576 | | 123,529 |
| | | | 707,485 |
| Utilities — 4.0% |
| AES Corp. (The) | 9,857 | | 253,621 |
| DTE Energy Co.(a) | 2,862 | | 378,385 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Utilities — (Continued) |
| NRG Energy, Inc.(a) | 8,690 | | $ 333,348 |
| PPL Corp. | 4,768 | | 136,174 |
| | | | 1,101,528 |
TOTAL COMMON STOCKS
(Cost $22,983,955) | | | 25,794,668 |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 5.3% | | | 1,455,677 |
| NET ASSETS - 100.0% | | | $ 27,250,345 |
| (a) | Security position is either entirely or partially designated as collateral for total return swaps. (See Note 1 of the Notes to Financial Statements) |
| * | Non-income producing. |
| PLC | Public Limited Company |
| REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of the financial statements.
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Over-the-counter total return swaps outstanding as of March 31, 2022
The Fund maintains a portfolio of long and short positions and receives/pays a rebate based upon the Fed Funds 1-Day Rate less a specified spread as negotiated by the parties. The notional gain or loss, dividends payable and rebates are payable the earlier of maturity of the swaps or upon termination. The portfolio matures between August 29, 2024 and January 7, 2027, however underlying individual contracts are entered into and closed (terminated) on a daily basis. The cash amounts payable/receivable due to individual contracts being closed are settled, on a net basis, once a week. The value of total return swaps represents 4.1% of net assets as of March 31, 2022.
The following table represents the individual long and short positions and related values of total return swaps as of March 31, 2022:
Total Return Swaps
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Long | | | | | | | | | | |
| Automobiles & Components | | | | | | | | |
| Ford Motor Co. | | Morgan Stanley | | 1,407 | | $ 16,322 | | $ 23,792 | | $ 7,735 |
| Capital Goods | | | | | | | | |
| 3M Co. | | Morgan Stanley | | 938 | | 142,194 | | 139,649 | | 7,577 |
| A O Smith Corp. | | Morgan Stanley | | 185 | | 12,240 | | 11,820 | | (438) |
| Eaton Corp. PLC (Ireland) | | Morgan Stanley | | 181 | | 28,585 | | 27,469 | | (1,319) |
| General Dynamics Corp. | | Morgan Stanley | | 535 | | 107,019 | | 129,031 | | 22,649 |
| L3Harris Technologies, Inc. | | Morgan Stanley | | 278 | | 69,791 | | 69,075 | | (770) |
| Lockheed Martin Corp. | | Morgan Stanley | | 704 | | 256,348 | | 310,746 | | 58,643 |
| Masco Corp. | | Morgan Stanley | | 4,287 | | 263,596 | | 218,637 | | (43,586) |
| Nordson Corp. | | Morgan Stanley | | 14 | | 3,220 | | 3,179 | | (61) |
| Northrop Grumman Corp. | | Morgan Stanley | | 215 | | 76,068 | | 96,152 | | 21,848 |
| Otis Worldwide Corp. | | Morgan Stanley | | 462 | | 34,963 | | 35,551 | | 617 |
| Roper Technologies, Inc. | | Morgan Stanley | | 15 | | 5,910 | | 7,083 | | 1,198 |
| WW Grainger, Inc. | | Morgan Stanley | | 13 | | 5,178 | | 6,705 | | 2,193 |
| | | | | 7,827 | | 1,005,112 | | 1,055,097 | | 68,551 |
| Commercial & Professional Services | | | | | | | | |
| Robert Half International, Inc. | | Morgan Stanley | | 1,701 | | 188,621 | | 194,220 | | 6,515 |
| Consumer Durables & Apparel | | | | | | | | |
| NIKE, Inc., Class B | | Morgan Stanley | | 495 | | 65,718 | | 66,607 | | 1,724 |
| Under Armour, Inc., Class C | | Morgan Stanley | | 1,388 | | 23,253 | | 21,597 | | (1,669) |
| | | | | 1,883 | | 88,971 | | 88,204 | | 55 |
| Consumer Services | | | | | | | | |
| Booking Holdings, Inc. | | Morgan Stanley | | 30 | | 66,640 | | 70,454 | | 3,815 |
| Domino's Pizza, Inc. | | Morgan Stanley | | 120 | | 48,312 | | 48,841 | | 554 |
| McDonald's Corp. | | Morgan Stanley | | 851 | | 198,780 | | 210,435 | | 14,610 |
| Penn National Gaming, Inc. | | Morgan Stanley | | 2,832 | | 124,268 | | 120,133 | | (4,131) |
| Yum! Brands, Inc. | | Morgan Stanley | | 1,019 | | 111,509 | | 120,782 | | 13,201 |
| | | | | 4,852 | | 549,509 | | 570,645 | | 28,049 |
| Diversified Financials | | | | | | | | |
| Berkshire Hathaway, Inc., Class B | | Morgan Stanley | | 366 | | 100,267 | | 129,165 | | 28,910 |
| BlackRock, Inc. | | Morgan Stanley | | 283 | | 227,806 | | 216,260 | | (8,590) |
| Cboe Global Markets, Inc. | | Morgan Stanley | | 13 | | 1,496 | | 1,487 | | (29) |
| CME Group, Inc. | | Morgan Stanley | | 38 | | 8,731 | | 9,039 | | 308 |
| Intercontinental Exchange, Inc. | | Morgan Stanley | | 465 | | 60,583 | | 61,436 | | 1,327 |
The accompanying notes are an integral part of the financial statements.
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Diversified Financials — (continued) | | | | | | | | |
| Moody's Corp. | | Morgan Stanley | | 183 | | $ 60,908 | | $ 61,746 | | $ 1,009 |
| Nasdaq, Inc. | | Morgan Stanley | | 1,124 | | 172,070 | | 200,297 | | 32,923 |
| S&P Global, Inc. | | Morgan Stanley | | 93 | | 36,372 | | 38,147 | | 2,786 |
| T Rowe Price Group, Inc. | | Morgan Stanley | | 2,022 | | 313,356 | | 305,706 | | 7,407 |
| | | | | 4,587 | | 981,589 | | 1,023,283 | | 66,051 |
| Energy | | | | | | | | |
| Baker Hughes Co. | | Morgan Stanley | | 813 | | 25,766 | | 29,601 | | 3,832 |
| Chevron Corp. | | Morgan Stanley | | 918 | | 121,259 | | 149,478 | | 29,305 |
| EOG Resources, Inc. | | Morgan Stanley | | 1,127 | | 77,140 | | 134,372 | | 61,928 |
| Exxon Mobil Corp. | | Morgan Stanley | | 542 | | 42,067 | | 44,764 | | 2,848 |
| Halliburton Co. | | Morgan Stanley | | 65 | | 1,410 | | 2,462 | | 1,095 |
| Marathon Petroleum Corp. | | Morgan Stanley | | 503 | | 29,396 | | 43,007 | | 14,197 |
| Schlumberger NV (Curacao) | | Morgan Stanley | | 71 | | 2,050 | | 2,933 | | 902 |
| | | | | 4,039 | | 299,088 | | 406,617 | | 114,107 |
| Food & Staples Retailing | | | | | | | | |
| Costco Wholesale Corp. | | Morgan Stanley | | 26 | | 13,366 | | 14,972 | | 1,600 |
| Sysco Corp. | | Morgan Stanley | | 134 | | 8,167 | | 10,941 | | 3,240 |
| Walmart, Inc. | | Morgan Stanley | | 852 | | 114,027 | | 126,880 | | 18,967 |
| | | | | 1,012 | | 135,560 | | 152,793 | | 23,807 |
| Food, Beverage & Tobacco | | | | | | | | |
| Altria Group, Inc. | | Morgan Stanley | | 2,571 | | 101,576 | | 134,335 | | 50,281 |
| Archer-Daniels-Midland Co. | | Morgan Stanley | | 1,282 | | 78,727 | | 115,713 | | 40,787 |
| Campbell Soup Co. | | Morgan Stanley | | 1,919 | | 88,396 | | 85,530 | | (724) |
| Coca-Cola Co. (The) | | Morgan Stanley | | 2,136 | | 114,464 | | 132,432 | | 20,651 |
| Constellation Brands, Inc., Class A | | Morgan Stanley | | 520 | | 119,443 | | 119,766 | | 662 |
| General Mills, Inc. | | Morgan Stanley | | 3,132 | | 183,187 | | 212,099 | | 43,513 |
| Hershey Co. (The) | | Morgan Stanley | | 976 | | 156,114 | | 211,431 | | 67,006 |
| Hormel Foods Corp. | | Morgan Stanley | | 1,774 | | 89,288 | | 91,432 | | 2,153 |
| Kraft Heinz Co. (The) | | Morgan Stanley | | 1,410 | | 42,146 | | 55,540 | | 17,135 |
| Mondelez International, Inc., Class A | | Morgan Stanley | | 3,016 | | 165,876 | | 189,344 | | 30,346 |
| PepsiCo, Inc. | | Morgan Stanley | | 517 | | 78,649 | | 86,535 | | 9,073 |
| Philip Morris International, Inc. | | Morgan Stanley | | 3,198 | | 286,798 | | 300,420 | | 34,996 |
| Tyson Foods, Inc., Class A | | Morgan Stanley | | 2,743 | | 211,715 | | 245,855 | | 39,298 |
| | | | | 25,194 | | 1,716,379 | | 1,980,432 | | 355,177 |
| Health Care Equipment & Services | | | | | | | | |
| Abbott Laboratories | | Morgan Stanley | | 1,672 | | 200,386 | | 197,898 | | (2,106) |
| AmerisourceBergen Corp. | | Morgan Stanley | | 83 | | 12,753 | | 12,841 | | 92 |
| Anthem, Inc. | | Morgan Stanley | | 169 | | 69,803 | | 83,016 | | 13,517 |
| Cerner Corp. | | Morgan Stanley | | 3,190 | | 295,683 | | 298,456 | | 5,140 |
| Cigna Corp. | | Morgan Stanley | | 167 | | 36,157 | | 40,015 | | 4,146 |
| CVS Health Corp. | | Morgan Stanley | | 1,976 | | 145,923 | | 199,991 | | 59,010 |
| DaVita, Inc. | | Morgan Stanley | | 475 | | 49,595 | | 53,727 | | 4,128 |
| HCA Healthcare, Inc. | | Morgan Stanley | | 658 | | 136,971 | | 164,908 | | 29,199 |
| Hologic, Inc. | | Morgan Stanley | | 6,291 | | 436,488 | | 483,275 | | 46,912 |
| Laboratory Corp. of America Holdings | | Morgan Stanley | | 1,469 | | 366,745 | | 387,317 | | 20,673 |
| McKesson Corp. | | Morgan Stanley | | 804 | | 171,879 | | 246,129 | | 76,578 |
| Medtronic PLC (Ireland) | | Morgan Stanley | | 499 | | 52,930 | | 55,364 | | 2,584 |
The accompanying notes are an integral part of the financial statements.
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Health Care Equipment & Services — (continued) | | | | | | | | |
| Quest Diagnostics, Inc. | | Morgan Stanley | | 2,955 | | $ 379,607 | | $ 404,421 | | $ 30,885 |
| UnitedHealth Group, Inc. | | Morgan Stanley | | 192 | | 75,602 | | 97,914 | | 23,159 |
| | | | | 20,600 | | 2,430,522 | | 2,725,272 | | 313,917 |
| Household & Personal Products | | | | | | | | |
| Colgate-Palmolive Co. | | Morgan Stanley | | 2,726 | | 194,739 | | 206,713 | | 20,465 |
| Kimberly-Clark Corp. | | Morgan Stanley | | 1,152 | | 146,344 | | 141,880 | | 745 |
| Procter & Gamble Co. (The) | | Morgan Stanley | | 1,432 | | 188,248 | | 218,810 | | 38,505 |
| | | | | 5,310 | | 529,331 | | 567,403 | | 59,715 |
| Insurance | | | | | | | | |
| Aon PLC, Class A (Ireland) | | Morgan Stanley | | 616 | | 139,858 | | 200,588 | | 62,800 |
| Arthur J Gallagher & Co. | | Morgan Stanley | | 1,200 | | 163,416 | | 209,520 | | 53,919 |
| Brown & Brown, Inc. | | Morgan Stanley | | 1,669 | | 94,815 | | 120,619 | | 26,156 |
| Marsh & McLennan Cos., Inc. | | Morgan Stanley | | 2,370 | | 296,148 | | 403,895 | | 114,073 |
| | | | | 5,855 | | 694,237 | | 934,622 | | 256,948 |
| Materials | | | | | | | | |
| CF Industries Holdings, Inc. | | Morgan Stanley | | 452 | | 40,994 | | 46,583 | | 5,582 |
| FMC Corp. | | Morgan Stanley | | 815 | | 97,858 | | 107,230 | | 10,254 |
| Sealed Air Corp. | | Morgan Stanley | | 1,514 | | 100,870 | | 101,377 | | 760 |
| | | | | 2,781 | | 239,722 | | 255,190 | | 16,596 |
| Media & Entertainment | | | | | | | | |
| Activision Blizzard, Inc. | | Morgan Stanley | | 7,274 | | 459,044 | | 582,720 | | 123,809 |
| Alphabet, Inc., Class A | | Morgan Stanley | | 180 | | 322,594 | | 500,643 | | 178,137 |
| Charter Communications, Inc., Class A | | Morgan Stanley | | 673 | | 399,772 | | 367,135 | | (32,524) |
| Comcast Corp., Class A | | Morgan Stanley | | 2,751 | | 127,665 | | 128,802 | | 1,158 |
| Electronic Arts, Inc. | | Morgan Stanley | | 71 | | 8,442 | | 8,982 | | 587 |
| Interpublic Group of Cos., Inc. (The) | | Morgan Stanley | | 44 | | 1,355 | | 1,560 | | 221 |
| Meta Platforms, Inc., Class A | | Morgan Stanley | | 2,701 | | 594,309 | | 600,594 | | 6,464 |
| Netflix, Inc. | | Morgan Stanley | | 480 | | 203,952 | | 179,803 | | (24,101) |
| Take-Two Interactive Software, Inc. | | Morgan Stanley | | 25 | | 3,358 | | 3,844 | | 465 |
| | | | | 14,199 | | 2,120,491 | | 2,374,083 | | 254,216 |
| Pharmaceuticals, Biotechnology & Life Sciences | | | | | | | | |
| Biogen, Inc. | | Morgan Stanley | | 391 | | 82,450 | | 82,345 | | (99) |
| Bristol-Myers Squibb Co. | | Morgan Stanley | | 2,906 | | 187,808 | | 212,225 | | 27,891 |
| Danaher Corp. | | Morgan Stanley | | 256 | | 69,462 | | 75,092 | | 5,850 |
| Illumina, Inc. | | Morgan Stanley | | 22 | | 7,362 | | 7,687 | | 306 |
| Johnson & Johnson | | Morgan Stanley | | 1,519 | | 244,827 | | 269,212 | | 29,930 |
| Merck & Co., Inc. | | Morgan Stanley | | 5,414 | | 417,241 | | 444,219 | | 37,505 |
| Organon & Co. | | Morgan Stanley | | 1,309 | | 46,199 | | 45,723 | | (481) |
| PerkinElmer, Inc. | | Morgan Stanley | | 388 | | 50,878 | | 67,690 | | 21,680 |
| Pfizer, Inc. | | Morgan Stanley | | 9,560 | | 358,987 | | 494,921 | | 150,845 |
| Regeneron Pharmaceuticals, Inc. | | Morgan Stanley | | 261 | | 160,490 | | 182,288 | | 21,830 |
| Thermo Fisher Scientific, Inc. | | Morgan Stanley | | 171 | | 88,099 | | 101,001 | | 13,099 |
| Vertex Pharmaceuticals, Inc. | | Morgan Stanley | | 113 | | 21,200 | | 29,490 | | 8,276 |
| Zoetis, Inc. | | Morgan Stanley | | 130 | | 24,960 | | 24,517 | | (471) |
| | | | | 22,440 | | 1,759,963 | | 2,036,410 | | 316,161 |
The accompanying notes are an integral part of the financial statements.
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Real Estate | | | | | | | | |
| Alexandria Real Estate Equities, Inc., REIT | | Morgan Stanley | | 1,454 | | $ 282,292 | | $ 292,617 | | $ 16,300 |
| AvalonBay Communities, Inc., REIT | | Morgan Stanley | | 57 | | 13,928 | | 14,157 | | 392 |
| CBRE Group, Inc., Class A | | Morgan Stanley | | 250 | | 22,391 | | 22,880 | | 475 |
| Digital Realty Trust, Inc., REIT | | Morgan Stanley | | 422 | | 62,544 | | 59,840 | | (3,465) |
| Duke Realty Corp., REIT | | Morgan Stanley | | 3,212 | | 165,512 | | 186,489 | | 23,143 |
| Extra Space Storage, Inc., REIT | | Morgan Stanley | | 1,421 | | 250,699 | | 292,158 | | 43,858 |
| Mid-America Apartment Communities, Inc., REIT | | Morgan Stanley | | 523 | | 103,557 | | 109,542 | | 6,699 |
| Prologis, Inc., REIT | | Morgan Stanley | | 1,726 | | 253,044 | | 278,714 | | 27,047 |
| Public Storage, REIT | | Morgan Stanley | | 852 | | 268,628 | | 332,519 | | 66,843 |
| Realty Income Corp., REIT | | Morgan Stanley | | 685 | | 44,579 | | 47,471 | | 4,470 |
| UDR, Inc., REIT | | Morgan Stanley | | 151 | | 8,631 | | 8,663 | | 13 |
| Weyerhaeuser Co., REIT | | Morgan Stanley | | 4,395 | | 150,452 | | 166,570 | | 27,456 |
| | | | | 15,148 | | 1,626,257 | | 1,811,620 | | 213,231 |
| Retailing | | | | | | | | |
| Amazon.com, Inc. | | Morgan Stanley | | 201 | | 383,041 | | 655,250 | | 272,317 |
| AutoZone, Inc. | | Morgan Stanley | | 62 | | 88,857 | | 126,764 | | 37,915 |
| Bath & Body Works, Inc. | | Morgan Stanley | | 2,119 | | 107,657 | | 101,288 | | (6,082) |
| Best Buy Co., Inc. | | Morgan Stanley | | 27 | | 2,643 | | 2,454 | | (8) |
| eBay, Inc. | | Morgan Stanley | | 6,735 | | 416,564 | | 385,646 | | (29,610) |
| Genuine Parts Co. | | Morgan Stanley | | 116 | | 13,519 | | 14,618 | | 4,405 |
| Home Depot, Inc. (The) | | Morgan Stanley | | 268 | | 79,782 | | 80,220 | | 1,829 |
| Lowe's Cos., Inc. | | Morgan Stanley | | 313 | | 64,234 | | 63,285 | | (923) |
| O'Reilly Automotive, Inc. | | Morgan Stanley | | 163 | | 86,677 | | 111,648 | | 25,790 |
| Ross Stores, Inc. | | Morgan Stanley | | 373 | | 34,775 | | 33,742 | | (1,043) |
| Target Corp. | | Morgan Stanley | | 718 | | 148,851 | | 152,374 | | 4,691 |
| | | | | 11,095 | | 1,426,600 | | 1,727,289 | | 309,281 |
| Semiconductors & Semiconductor Equipment | | | | | | | | |
| Applied Materials, Inc. | | Morgan Stanley | | 392 | | 48,306 | | 51,666 | | 3,593 |
| Broadcom, Inc. | | Morgan Stanley | | 212 | | 124,705 | | 133,492 | | 9,525 |
| Intel Corp. | | Morgan Stanley | | 7,058 | | 339,380 | | 349,794 | | 13,867 |
| KLA Corp. | | Morgan Stanley | | 552 | | 193,455 | | 202,065 | | 8,951 |
| Lam Research Corp. | | Morgan Stanley | | 153 | | 77,592 | | 82,254 | | 5,157 |
| Micron Technology, Inc. | | Morgan Stanley | | 1,083 | | 82,137 | | 84,355 | | 3,114 |
| Qorvo, Inc. | | Morgan Stanley | | 50 | | 6,399 | | 6,205 | | (213) |
| QUALCOMM, Inc. | | Morgan Stanley | | 2,595 | | 421,964 | | 396,568 | | (22,788) |
| Teradyne, Inc. | | Morgan Stanley | | 2,182 | | 248,365 | | 257,978 | | 9,188 |
| | | | | 14,277 | | 1,542,303 | | 1,564,377 | | 30,394 |
| Software & Services | | | | | | | | |
| Accenture PLC, Class A (Ireland) | | Morgan Stanley | | 799 | | 263,864 | | 269,447 | | 5,984 |
| Adobe, Inc. | | Morgan Stanley | | 413 | | 178,482 | | 188,171 | | 9,728 |
| Automatic Data Processing, Inc. | | Morgan Stanley | | 600 | | 112,587 | | 136,524 | | 26,950 |
| Gartner, Inc. | | Morgan Stanley | | 515 | | 149,569 | | 153,192 | | 3,652 |
| International Business Machines Corp. | | Morgan Stanley | | 939 | | 117,426 | | 122,089 | | 6,699 |
| Mastercard, Inc., Class A | | Morgan Stanley | | 378 | | 98,739 | | 135,090 | | 37,634 |
| Microsoft Corp. | | Morgan Stanley | | 2,707 | | 493,029 | | 834,595 | | 353,070 |
| NortonLifeLock, Inc. | | Morgan Stanley | | 8,963 | | 222,223 | | 237,699 | | 20,635 |
| Paychex, Inc. | | Morgan Stanley | | 389 | | 49,417 | | 53,087 | | 4,119 |
| PayPal Holdings, Inc. | | Morgan Stanley | | 2,793 | | 293,201 | | 323,010 | | 29,887 |
The accompanying notes are an integral part of the financial statements.
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Software & Services — (continued) | | | | | | | | |
| ServiceNow, Inc. | | Morgan Stanley | | 13 | | $ 7,493 | | $ 7,240 | | $ (272) |
| VeriSign, Inc. | | Morgan Stanley | | 131 | | 27,252 | | 29,142 | | 2,415 |
| Visa, Inc., Class A | | Morgan Stanley | | 305 | | 57,141 | | 67,640 | | 11,180 |
| | | | | 18,945 | | 2,070,423 | | 2,556,926 | | 511,681 |
| Technology Hardware & Equipment | | | | | | | | |
| Apple, Inc. | | Morgan Stanley | | 3,052 | | 265,721 | | 532,910 | | 272,244 |
| Cisco Systems, Inc. | | Morgan Stanley | | 4,692 | | 221,311 | | 261,626 | | 51,358 |
| HP, Inc. | | Morgan Stanley | | 4,254 | | 110,447 | | 154,420 | | 49,343 |
| Keysight Technologies, Inc. | | Morgan Stanley | | 275 | | 41,917 | | 43,442 | | 1,517 |
| Motorola Solutions, Inc. | | Morgan Stanley | | 545 | | 128,184 | | 131,999 | | 4,578 |
| Seagate Technology Holdings PLC (Ireland) | | Morgan Stanley | | 1,484 | | 125,579 | | 133,412 | | 10,676 |
| | | | | 14,302 | | 893,159 | | 1,257,809 | | 389,716 |
| Telecommunication Services | | | | | | | | |
| AT&T, Inc. | | Morgan Stanley | | 3,535 | | 82,987 | | 83,532 | | 1,689 |
| T-Mobile US, Inc. | | Morgan Stanley | | 674 | | 84,739 | | 86,508 | | 1,776 |
| Verizon Communications, Inc. | | Morgan Stanley | | 4,239 | | 224,453 | | 215,935 | | (3,286) |
| | | | | 8,448 | | 392,179 | | 385,975 | | 179 |
| Transportation | | | | | | | | |
| Expeditors International of Washington, Inc. | | Morgan Stanley | | 3,714 | | 402,112 | | 383,136 | | (15,308) |
| FedEx Corp. | | Morgan Stanley | | 776 | | 173,620 | | 179,559 | | 6,688 |
| Southwest Airlines Co. | | Morgan Stanley | | 359 | | 15,571 | | 16,442 | | 855 |
| United Parcel Service, Inc., Class B | | Morgan Stanley | | 579 | | 103,075 | | 124,172 | | 25,859 |
| | | | | 5,428 | | 694,378 | | 703,309 | | 18,094 |
| Utilities | | | | | | | | |
| AES Corp. (The) | | Morgan Stanley | | 9,668 | | 222,915 | | 248,758 | | 25,896 |
| DTE Energy Co. | | Morgan Stanley | | 2,834 | | 330,096 | | 374,683 | | 50,901 |
| NRG Energy, Inc. | | Morgan Stanley | | 8,654 | | 353,724 | | 331,967 | | (17,367) |
| PPL Corp. | | Morgan Stanley | | 4,724 | | 135,925 | | 134,917 | | 3,754 |
| | | | | 25,880 | | 1,042,660 | | 1,090,325 | | 63,184 |
|
|
| Total Reference Entity — Long | | | | | | 22,443,376 | | 25,485,693 | | 3,423,360 |
| Short | | | | | | | | | | |
| Automobiles & Components | | | | | | | | |
| Aptiv PLC (Jersey) | | Morgan Stanley | | (3,059) | | (526,860) | | (366,193) | | 159,312 |
| BorgWarner, Inc. | | Morgan Stanley | | (1,021) | | (50,208) | | (39,717) | | 9,881 |
| Tesla, Inc. | | Morgan Stanley | | (50) | | (50,760) | | (53,880) | | (3,270) |
| | | | | (4,130) | | (627,828) | | (459,790) | | 165,923 |
| Banks | | | | | | | | |
| Bank of America Corp. | | Morgan Stanley | | (69) | | (2,910) | | (2,844) | | 37 |
| Citigroup, Inc. | | Morgan Stanley | | (651) | | (36,826) | | (34,763) | | 1,948 |
| Citizens Financial Group, Inc. | | Morgan Stanley | | (5,031) | | (254,278) | | (228,055) | | 24,245 |
| Comerica, Inc. | | Morgan Stanley | | (1,514) | | (141,010) | | (136,911) | | 2,935 |
| Fifth Third Bancorp | | Morgan Stanley | | (2,935) | | (135,912) | | (126,322) | | 8,349 |
| KeyCorp. | | Morgan Stanley | | (3,314) | | (81,432) | | (74,167) | | 6,514 |
| M&T Bank Corp. | | Morgan Stanley | | (1,125) | | (196,819) | | (190,688) | | 1,555 |
| Regions Financial Corp. | | Morgan Stanley | | (11,353) | | (268,655) | | (252,718) | | 12,572 |
The accompanying notes are an integral part of the financial statements.
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Banks — (continued) | | | | | | | | |
| Signature Bank | | Morgan Stanley | | (152) | | $ (46,208) | | $ (44,610) | | $ 1,459 |
| SVB Financial Group | | Morgan Stanley | | (160) | | (88,281) | | (89,512) | | (1,476) |
| Truist Financial Corp. | | Morgan Stanley | | (4,825) | | (296,708) | | (273,578) | | 20,957 |
| US Bancorp | | Morgan Stanley | | (4,690) | | (260,641) | | (249,274) | | 8,542 |
| Wells Fargo & Co. | | Morgan Stanley | | (301) | | (15,385) | | (14,586) | | 738 |
| Zions Bancorp NA | | Morgan Stanley | | (2,026) | | (133,898) | | (132,825) | | (140) |
| | | | | (38,146) | | (1,958,963) | | (1,850,853) | | 88,235 |
| Capital Goods | | | | | | | | |
| Boeing Co. (The) | | Morgan Stanley | | (2,749) | | (772,945) | | (526,434) | | 240,973 |
| Deere & Co. | | Morgan Stanley | | (316) | | (119,666) | | (131,285) | | (13,133) |
| Generac Holdings, Inc. | | Morgan Stanley | | (761) | | (291,404) | | (226,215) | | 64,430 |
| Howmet Aerospace, Inc. | | Morgan Stanley | | (1,161) | | (40,784) | | (41,726) | | (1,252) |
| Huntington Ingalls Industries, Inc. | | Morgan Stanley | | (1,664) | | (324,592) | | (331,868) | | (8,996) |
| Quanta Services, Inc. | | Morgan Stanley | | (1,873) | | (223,584) | | (246,506) | | (23,650) |
| Raytheon Technologies Corp. | | Morgan Stanley | | (906) | | (87,606) | | (89,757) | | (5,193) |
| Rockwell Automation, Inc. | | Morgan Stanley | | (83) | | (22,588) | | (23,242) | | (1,283) |
| Stanley Black & Decker, Inc. | | Morgan Stanley | | (2,474) | | (421,716) | | (345,840) | | 73,156 |
| Textron, Inc. | | Morgan Stanley | | (16) | | (1,201) | | (1,190) | | (40) |
| TransDigm Group, Inc. | | Morgan Stanley | | (462) | | (297,814) | | (301,011) | | (3,973) |
| United Rentals, Inc. | | Morgan Stanley | | (829) | | (303,239) | | (294,469) | | 7,981 |
| Xylem, Inc./NY | | Morgan Stanley | | (242) | | (31,023) | | (20,633) | | 10,170 |
| | | | | (13,536) | | (2,938,162) | | (2,580,176) | | 339,190 |
| Commercial & Professional Services | | | | | | | | |
| Rollins, Inc. | | Morgan Stanley | | (5,886) | | (219,957) | | (206,304) | | 10,590 |
| Consumer Durables & Apparel | | | | | | | | |
| DR Horton, Inc. | | Morgan Stanley | | (564) | | (50,791) | | (42,024) | | 8,617 |
| Garmin Ltd. (Switzerland) | | Morgan Stanley | | (54) | | (6,374) | | (6,405) | | (65) |
| NVR, Inc. | | Morgan Stanley | | (37) | | (192,114) | | (165,289) | | 26,317 |
| PulteGroup, Inc. | | Morgan Stanley | | (1,403) | | (82,159) | | (58,786) | | 22,465 |
| | | | | (2,058) | | (331,438) | | (272,504) | | 57,334 |
| Consumer Services | | | | | | | | |
| Chipotle Mexican Grill, Inc. | | Morgan Stanley | | (190) | | (335,848) | | (300,586) | | 33,341 |
| Darden Restaurants, Inc. | | Morgan Stanley | | (1,581) | | (235,435) | | (210,194) | | 23,538 |
| Las Vegas Sands Corp. | | Morgan Stanley | | (3,141) | | (127,688) | | (122,091) | | 5,252 |
| Wynn Resorts Ltd. | | Morgan Stanley | | (903) | | (98,705) | | (72,005) | | 26,428 |
| | | | | (5,815) | | (797,676) | | (704,876) | | 88,559 |
| Diversified Financials | | | | | | | | |
| Capital One Financial Corp. | | Morgan Stanley | | (1,003) | | (148,119) | | (131,684) | | 16,039 |
| Discover Financial Services | | Morgan Stanley | | (2,390) | | (275,697) | | (263,354) | | 10,489 |
| Goldman Sachs Group, Inc. (The) | | Morgan Stanley | | (370) | | (128,649) | | (122,137) | | 5,677 |
| MarketAxess Holdings, Inc. | | Morgan Stanley | | (355) | | (189,026) | | (120,771) | | 66,849 |
| MSCI, Inc. | �� | Morgan Stanley | | (210) | | (131,901) | | (105,605) | | 25,692 |
| Northern Trust Corp. | | Morgan Stanley | | (819) | | (95,788) | | (95,373) | | 117 |
| State Street Corp. | | Morgan Stanley | | (1,554) | | (139,431) | | (135,384) | | 2,482 |
| Synchrony Financial | | Morgan Stanley | | (6,238) | | (282,773) | | (217,145) | | 63,740 |
| | | | | (12,939) | | (1,391,384) | | (1,191,453) | | 191,085 |
The accompanying notes are an integral part of the financial statements.
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Energy | | | | | | | | |
| Coterra Energy, Inc. | | Morgan Stanley | | (363) | | $ (9,382) | | $ (9,790) | | $ (524) |
| Kinder Morgan, Inc. | | Morgan Stanley | | (589) | | (11,058) | | (11,138) | | (129) |
| | | | | (952) | | (20,440) | | (20,928) | | (653) |
| Food, Beverage & Tobacco | | | | | | | | |
| Brown-Forman Corp., Class B | | Morgan Stanley | | (299) | | (22,292) | | (20,039) | | 1,227 |
| Lamb Weston Holdings, Inc. | | Morgan Stanley | | (3,145) | | (249,724) | | (188,417) | | 57,829 |
| | | | | (3,444) | | (272,016) | | (208,456) | | 59,056 |
| Health Care Equipment & Services | | | | | | | | |
| ABIOMED, Inc. | | Morgan Stanley | | (1,211) | | (386,162) | | (401,132) | | (16,221) |
| Align Technology, Inc. | | Morgan Stanley | | (442) | | (288,114) | | (192,712) | | 94,652 |
| Baxter International, Inc. | | Morgan Stanley | | (2,197) | | (183,549) | | (170,355) | | 12,792 |
| Becton Dickinson and Co. | | Morgan Stanley | | (567) | | (152,327) | | (150,822) | | 1,098 |
| Boston Scientific Corp. | | Morgan Stanley | | (4,730) | | (206,581) | | (209,492) | | (3,455) |
| Cardinal Health, Inc. | | Morgan Stanley | | (2,095) | | (113,587) | | (118,787) | | (6,515) |
| Cooper Cos., Inc. (The) | | Morgan Stanley | | (565) | | (226,859) | | (235,938) | | (9,689) |
| DENTSPLY SIRONA, Inc. | | Morgan Stanley | | (1,882) | | (126,226) | | (92,632) | | 32,403 |
| Dexcom, Inc. | | Morgan Stanley | | (469) | | (230,119) | | (239,940) | | (11,610) |
| Edwards Lifesciences Corp. | | Morgan Stanley | | (1,047) | | (121,069) | | (123,253) | | (2,512) |
| Humana, Inc. | | Morgan Stanley | | (478) | | (207,643) | | (208,011) | | (1,481) |
| IDEXX Laboratories, Inc. | | Morgan Stanley | | (581) | | (356,247) | | (317,842) | | 36,817 |
| Intuitive Surgical, Inc. | | Morgan Stanley | | (931) | | (300,208) | | (280,864) | | 18,562 |
| ResMed, Inc. | | Morgan Stanley | | (186) | | (45,912) | | (45,107) | | 605 |
| STERIS PLC (Ireland) | | Morgan Stanley | | (417) | | (97,613) | | (100,818) | | (3,554) |
| Stryker Corp. | | Morgan Stanley | | (598) | | (157,193) | | (159,875) | | (3,545) |
| Teleflex, Inc. | | Morgan Stanley | | (150) | | (62,694) | | (53,225) | | 9,108 |
| Zimmer Biomet Holdings, Inc. | | Morgan Stanley | | (2,050) | | (283,803) | | (262,195) | | 19,641 |
| | | | | (20,596) | | (3,545,906) | | (3,363,000) | | 167,096 |
| Household & Personal Products | | | | | | | | |
| Clorox Co. (The) | | Morgan Stanley | | (367) | | (65,541) | | (51,024) | | 16,160 |
| Estee Lauder Cos., Inc. (The), Class A | | Morgan Stanley | | (165) | | (60,615) | | (44,933) | | 15,409 |
| | | | | (532) | | (126,156) | | (95,957) | | 31,569 |
| Insurance | | | | | | | | |
| Globe Life, Inc. | | Morgan Stanley | | (162) | | (15,718) | | (16,297) | | (671) |
| Hartford Financial Services Group, Inc. (The) | | Morgan Stanley | | (789) | | (55,991) | | (56,658) | | (830) |
| Lincoln National Corp. | | Morgan Stanley | | (4,758) | | (331,003) | | (310,983) | | 17,539 |
| MetLife, Inc. | | Morgan Stanley | | (1,825) | | (127,546) | | (128,261) | | (1,457) |
| | | | | (7,534) | | (530,258) | | (512,199) | | 14,581 |
| Materials | | | | | | | | |
| Air Products and Chemicals, Inc. | | Morgan Stanley | | (136) | | (42,664) | | (33,988) | | 8,069 |
| Albemarle Corp. | | Morgan Stanley | | (2,428) | | (526,931) | | (536,952) | | (15,685) |
| Ball Corp. | | Morgan Stanley | | (2,707) | | (259,422) | | (243,630) | | 12,971 |
| Ecolab, Inc. | | Morgan Stanley | | (657) | | (150,145) | | (116,000) | | 32,567 |
| International Flavors & Fragrances, Inc. | | Morgan Stanley | | (959) | | (142,212) | | (125,945) | | 14,228 |
| Martin Marietta Materials, Inc. | | Morgan Stanley | | (717) | | (275,452) | | (275,966) | | (1,695) |
| Vulcan Materials Co. | | Morgan Stanley | | (1,439) | | (273,778) | | (264,344) | | 7,581 |
| | | | | (9,043) | | (1,670,604) | | (1,596,825) | | 58,036 |
The accompanying notes are an integral part of the financial statements.
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Media & Entertainment | | | | | | | | |
| DISH Network Corp., Class A | | Morgan Stanley | | (2,557) | | $ (79,460) | | $ (80,929) | | $ (1,691) |
| Fox Corp., Class A | | Morgan Stanley | | (5,279) | | (225,431) | | (208,257) | | 15,608 |
| Live Nation Entertainment, Inc. | | Morgan Stanley | | (962) | | (106,648) | | (113,170) | | (6,813) |
| Match Group, Inc. | | Morgan Stanley | | (2,280) | | (341,532) | | (247,927) | | 92,719 |
| Paramount Global, Class B | | Morgan Stanley | | (2,474) | | (93,802) | | (93,542) | | 57 |
| Walt Disney Co/The | | Morgan Stanley | | (94) | | (16,400) | | (12,893) | | 3,444 |
| | | | | (13,646) | | (863,273) | | (756,718) | | 103,324 |
| Pharmaceuticals, Biotechnology & Life Sciences | | | | | | | | |
| Amgen, Inc. | | Morgan Stanley | | (10) | | (2,440) | | (2,418) | | (6) |
| Bio-Rad Laboratories, Inc., Class A | | Morgan Stanley | | (106) | | (83,665) | | (59,702) | | 23,871 |
| Bio-Techne Corp. | | Morgan Stanley | | (717) | | (331,510) | | (310,490) | | 19,971 |
| Catalent, Inc. | | Morgan Stanley | | (2,450) | | (280,532) | | (271,705) | | 7,938 |
| Charles River Laboratories International, Inc. | | Morgan Stanley | | (296) | | (107,538) | | (84,055) | | 23,189 |
| Eli Lilly & Co. | | Morgan Stanley | | (30) | | (8,063) | | (8,591) | | (569) |
| IQVIA Holdings, Inc. | | Morgan Stanley | | (658) | | (158,657) | | (152,136) | | 6,098 |
| Mettler-Toledo International, Inc. | | Morgan Stanley | | (38) | | (52,661) | | (52,181) | | 325 |
| Moderna, Inc. | | Morgan Stanley | | (298) | | (128,133) | | (51,333) | | 76,454 |
| Waters Corp. | | Morgan Stanley | | (25) | | (7,940) | | (7,760) | | 139 |
| West Pharmaceutical Services, Inc. | | Morgan Stanley | | (57) | | (25,279) | | (23,410) | | 1,777 |
| | | | | (4,685) | | (1,186,418) | | (1,023,781) | | 159,187 |
| Real Estate | | | | | | | | |
| Equinix, Inc., REIT | | Morgan Stanley | | (509) | | (400,117) | | (377,485) | | 17,412 |
| Iron Mountain, Inc., REIT | | Morgan Stanley | | (1,261) | | (65,024) | | (69,872) | | (5,794) |
| Ventas, Inc., REIT | | Morgan Stanley | | (109) | | (6,571) | | (6,732) | | (2,966) |
| Vornado Realty Trust, REIT | | Morgan Stanley | | (1,706) | | (80,281) | | (77,316) | | 1,053 |
| | | | | (3,585) | | (551,993) | | (531,405) | | 9,705 |
| Retailing | | | | | | | | |
| CarMax, Inc. | | Morgan Stanley | | (4,264) | | (563,035) | | (411,391) | | 150,198 |
| Dollar Tree, Inc. | | Morgan Stanley | | (1,146) | | (157,678) | | (183,532) | | (28,205) |
| Etsy, Inc. | | Morgan Stanley | | (2,700) | | (548,825) | | (335,556) | | 211,774 |
| Pool Corp. | | Morgan Stanley | | (331) | | (149,285) | | (139,963) | | 8,715 |
| Tractor Supply Co. | | Morgan Stanley | | (710) | | (156,662) | | (165,693) | | (9,960) |
| | | | | (9,151) | | (1,575,485) | | (1,236,135) | | 332,522 |
| Semiconductors & Semiconductor Equipment | | | | | | | | |
| Advanced Micro Devices, Inc. | | Morgan Stanley | | (943) | | (131,735) | | (103,108) | | 28,373 |
| Analog Devices, Inc. | | Morgan Stanley | | (1,567) | | (282,959) | | (258,837) | | 21,384 |
| Enphase Energy, Inc. | | Morgan Stanley | | (1,502) | | (326,746) | | (303,074) | | 21,937 |
| Microchip Technology, Inc. | | Morgan Stanley | | (2,023) | | (166,585) | | (152,008) | | 12,915 |
| Monolithic Power Systems, Inc. | | Morgan Stanley | | (489) | | (212,833) | | (237,498) | | (27,272) |
| NVIDIA Corp. | | Morgan Stanley | | (923) | | (233,844) | | (251,850) | | (18,984) |
| Skyworks Solutions, Inc. | | Morgan Stanley | | (706) | | (119,459) | | (94,096) | | 24,185 |
| Texas Instruments, Inc. | | Morgan Stanley | | (26) | | (4,840) | | (4,770) | | 252 |
| | | | | (8,179) | | (1,479,001) | | (1,405,241) | | 62,790 |
| Software & Services | | | | | | | | |
| Ceridian HCM Holding, Inc. | | Morgan Stanley | | (3,414) | | (375,052) | | (233,381) | | 140,701 |
| Citrix Systems, Inc. | | Morgan Stanley | | (1,559) | | (207,014) | | (157,303) | | 48,108 |
| Fidelity National Information Services, Inc. | | Morgan Stanley | | (1,689) | | (255,767) | | (169,609) | | 82,839 |
The accompanying notes are an integral part of the financial statements.
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Concluded)
March 31, 2022
(Unaudited)
Total Return Swaps (concluded)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Software & Services — (continued) | | | | | | | | |
| Fortinet, Inc. | | Morgan Stanley | | (571) | | $ (186,547) | | $ (195,134) | | $ (9,080) |
| Global Payments, Inc. | | Morgan Stanley | | (991) | | (208,041) | | (135,608) | | 70,948 |
| Intuit, Inc. | | Morgan Stanley | | (74) | | (49,076) | | (35,582) | | 13,299 |
| Jack Henry & Associates, Inc. | | Morgan Stanley | | (237) | | (44,896) | | (46,701) | | (5,631) |
| Paycom Software, Inc. | | Morgan Stanley | | (522) | | (208,736) | | (180,810) | | 27,807 |
| PTC, Inc. | | Morgan Stanley | | (3,254) | | (414,495) | | (350,521) | | 62,727 |
| Tyler Technologies, Inc. | | Morgan Stanley | | (445) | | (204,311) | | (197,976) | | 5,797 |
| | | | | (12,756) | | (2,153,935) | | (1,702,625) | | 437,515 |
| Technology Hardware & Equipment | | | | | | | | |
| CDW Corp. | | Morgan Stanley | | (251) | | (43,944) | | (44,901) | | (1,090) |
| IPG Photonics Corp. | | Morgan Stanley | | (498) | | (112,426) | | (54,660) | | 57,460 |
| Teledyne Technologies, Inc. | | Morgan Stanley | | (194) | | (88,916) | | (91,690) | | (3,021) |
| Trimble, Inc. | | Morgan Stanley | | (2,104) | | (181,944) | | (151,783) | | 29,680 |
| Zebra Technologies Corp., Class A | | Morgan Stanley | | (48) | | (28,982) | | (19,858) | | 9,030 |
| | | | | (3,095) | | (456,212) | | (362,892) | | 92,059 |
| Transportation | | | | | | | | |
| CH Robinson Worldwide, Inc. | | Morgan Stanley | | (1,406) | | (138,260) | | (151,440) | | (15,027) |
| JB Hunt Transport Services, Inc. | | Morgan Stanley | | (888) | | (178,467) | | (178,302) | | (537) |
| | | | | (2,294) | | (316,727) | | (329,742) | | (15,564) |
| Utilities | | | | | | | | |
| Alliant Energy Corp. | | Morgan Stanley | | (430) | | (26,446) | | (26,866) | | (508) |
| Ameren Corp. | | Morgan Stanley | | (1,953) | | (165,822) | | (183,113) | | (21,743) |
| American Water Works Co., Inc. | | Morgan Stanley | | (1,936) | | (319,695) | | (320,466) | | (4,066) |
| Atmos Energy Corp. | | Morgan Stanley | | (1,794) | | (192,109) | | (214,365) | | (31,553) |
| CenterPoint Energy, Inc. | | Morgan Stanley | | (6,900) | | (193,768) | | (211,416) | | (27,201) |
| CMS Energy Corp. | | Morgan Stanley | | (1,864) | | (120,453) | | (130,368) | | (10,720) |
| Dominion Energy, Inc. | | Morgan Stanley | | (2,860) | | (231,630) | | (243,014) | | (11,602) |
| Duke Energy Corp. | | Morgan Stanley | | (1,442) | | (152,637) | | (161,014) | | (10,894) |
| Edison International | | Morgan Stanley | | (2,976) | | (217,526) | | (208,618) | | (14,236) |
| Entergy Corp. | | Morgan Stanley | | (2,492) | | (283,905) | | (290,941) | | (20,406) |
| Evergy, Inc. | | Morgan Stanley | | (3,170) | | (208,574) | | (216,638) | | (10,178) |
| Eversource Energy | | Morgan Stanley | | (3,592) | | (320,546) | | (316,778) | | (8,708) |
| Exelon Corp. | | Morgan Stanley | | (595) | | (25,658) | | (28,340) | | (2,769) |
| FirstEnergy Corp. | | Morgan Stanley | | (2,104) | | (101,311) | | (96,489) | | (4,653) |
| NextEra Energy, Inc. | | Morgan Stanley | | (2,620) | | (218,124) | | (221,940) | | (7,826) |
| NiSource, Inc. | | Morgan Stanley | | (2,680) | | (70,461) | | (85,224) | | (16,991) |
| Pinnacle West Capital Corp. | | Morgan Stanley | | (3,841) | | (335,193) | | (299,982) | | 16,336 |
| Public Service Enterprise Group, Inc. | | Morgan Stanley | | (1,302) | | (86,772) | | (91,140) | | (4,885) |
| Sempra Energy | | Morgan Stanley | | (512) | | (68,591) | | (86,077) | | (25,344) |
| WEC Energy Group, Inc. | | Morgan Stanley | | (2,426) | | (237,252) | | (242,139) | | (12,607) |
| Xcel Energy, Inc. | | Morgan Stanley | | (4,020) | | (282,252) | | (290,123) | | (16,336) |
| | | | | (51,509) | | (3,858,725) | | (3,965,051) | | (246,890) |
|
|
| Total Reference Entity — Short | | | | | | (26,872,557) | | (24,376,911) | | 2,205,249 |
| Net Value of Reference Entity | | | | | | $ (4,429,181) | | $ 1,108,782 | | $5,628,609 |
| * | Includes $90,646 related to open trades, dividends receivables/payables and swap receivables/payables activities. |
The accompanying notes are an integral part of the financial statements.
GOTHAM TOTAL RETURN FUND
Portfolio of Investments
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
AFFILIATED EQUITY REGISTERED
INVESTMENT COMPANIES(a) — 99.9% | | |
| Gotham Defensive Long 500 Fund | 208,358 | | $ 2,944,101 |
| Gotham Enhanced 500 ETF | 228,200 | | 5,616,504 |
| Gotham Enhanced S&P 500 Index Fund | 262,675 | | 4,247,458 |
| Gotham Hedged Core Fund | 373,965 | | 4,330,517 |
| Gotham Hedged Plus Fund | 227,058 | | 2,979,003 |
| Gotham Large Value Fund | 378,935 | | 5,805,284 |
| Gotham Neutral Fund* | 288,449 | | 2,965,249 |
TOTAL AFFILIATED EQUITY REGISTERED INVESTMENT COMPANIES
(Cost $26,318,066) | | | 28,888,116 |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 0.1% | | | 20,336 |
| NET ASSETS - 100.0% | | | $ 28,908,452 |
| (a) | All affiliated fund investments are in Institutional Class shares. The financial statements of the affiliated funds are publicly available on the Securities and Exchange Commission’s website. |
| * | Non-income producing. |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| LONG POSITIONS — 140.5% |
| COMMON STOCKS — 140.5% |
| Automobiles & Components — 1.6% |
| BorgWarner, Inc. | 139 | | $ 5,407 |
| Ford Motor Co.† | 2,378 | | 40,212 |
| General Motors Co.†* | 333 | | 14,565 |
| | | | 60,184 |
| Banks — 0.0% |
| People's United Financial, Inc.* | 39 | | 780 |
| SVB Financial Group†* | 1 | | 559 |
| | | | 1,339 |
| Capital Goods — 9.3% |
| 3M Co.† | 332 | | 49,428 |
| A.O. Smith Corp. | 91 | | 5,814 |
| Allegion PLC (Ireland) | 1 | | 110 |
| Cummins, Inc.† | 32 | | 6,564 |
| Dover Corp.† | 17 | | 2,667 |
| Eaton Corp. PLC (Ireland)† | 232 | | 35,208 |
| Fortive Corp.† | 32 | | 1,950 |
| Fortune Brands Home & Security, Inc. | 60 | | 4,457 |
| General Dynamics Corp.† | 162 | | 39,071 |
| General Electric Co.† | 637 | | 58,286 |
| Honeywell International, Inc.† | 190 | | 36,970 |
| Ingersoll Rand, Inc.† | 5 | | 252 |
| Johnson Controls International PLC (Ireland)† | 182 | | 11,934 |
| L3Harris Technologies, Inc.† | 2 | | 497 |
| Lockheed Martin Corp.† | 97 | | 42,816 |
| Masco Corp. | 142 | | 7,242 |
| Nordson Corp. | 3 | | 681 |
| Northrop Grumman Corp.† | 18 | | 8,050 |
| Otis Worldwide Corp.† | 94 | | 7,233 |
| Parker-Hannifin Corp. | 1 | | 284 |
| Pentair PLC (Ireland) | 37 | | 2,006 |
| Roper Technologies, Inc. | 10 | | 4,722 |
| Snap-on, Inc. | 26 | | 5,342 |
| Textron, Inc. | 51 | | 3,793 |
| Trane Technologies PLC (Ireland)† | 86 | | 13,132 |
| | | | 348,509 |
| Commercial & Professional Services — 0.4% |
| Jacobs Engineering Group, Inc. | 38 | | 5,237 |
| Nielsen Holdings PLC (United Kingdom) | 112 | | 3,051 |
| Robert Half International, Inc. | 64 | | 7,308 |
| Waste Management, Inc. | 1 | | 158 |
| | | | 15,754 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Consumer Durables & Apparel — 1.3% |
| Hasbro, Inc. | 1 | | $ 82 |
| Lennar Corp., Class A | 27 | | 2,192 |
| Mohawk Industries, Inc.* | 39 | | 4,844 |
| Newell Brands, Inc. | 128 | | 2,740 |
| PVH Corp. | 41 | | 3,141 |
| Ralph Lauren Corp. | 43 | | 4,878 |
| Tapestry, Inc. | 153 | | 5,684 |
| Under Armour, Inc., Class C* | 276 | | 4,295 |
| VF Corp.† | 226 | | 12,850 |
| Whirlpool Corp.† | 36 | | 6,220 |
| | | | 46,926 |
| Consumer Services — 1.9% |
| McDonald's Corp.† | 186 | | 45,994 |
| Penn National Gaming, Inc.* | 56 | | 2,376 |
| Starbucks Corp. | 92 | | 8,369 |
| Yum! Brands, Inc.† | 108 | | 12,801 |
| | | | 69,540 |
| Diversified Financials — 5.2% |
| American Express Co. | 6 | | 1,122 |
| Ameriprise Financial, Inc. | 2 | | 601 |
| Berkshire Hathaway, Inc., Class B†* | 202 | | 71,288 |
| BlackRock, Inc.† | 88 | | 67,247 |
| CME Group, Inc. | 11 | | 2,616 |
| Franklin Resources, Inc.† | 302 | | 8,432 |
| Intercontinental Exchange, Inc. | 5 | | 661 |
| Invesco Ltd. (Bermuda) | 290 | | 6,687 |
| Moody's Corp. | 3 | | 1,012 |
| Nasdaq, Inc.† | 47 | | 8,375 |
| Raymond James Financial, Inc.† | 47 | | 5,166 |
| S&P Global, Inc. | 3 | | 1,231 |
| T Rowe Price Group, Inc.† | 138 | | 20,864 |
| | | | 195,302 |
| Energy — 8.6% |
| APA Corp. | 219 | | 9,051 |
| Baker Hughes Co. | 14 | | 510 |
| Chevron Corp.† | 467 | | 76,042 |
| EOG Resources, Inc.† | 340 | | 40,538 |
| Exxon Mobil Corp.† | 938 | | 77,470 |
| Halliburton Co.† | 190 | | 7,195 |
| Marathon Oil Corp. | 456 | | 11,450 |
| Marathon Petroleum Corp.† | 368 | | 31,464 |
| Occidental Petroleum Corp.† | 564 | | 32,001 |
| ONEOK, Inc.† | 135 | | 9,535 |
| Phillips 66 | 72 | | 6,220 |
| Pioneer Natural Resources Co. | 2 | | 500 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Energy — (Continued) |
| Schlumberger NV (Curacao)† | 18 | | $ 744 |
| Valero Energy Corp.† | 173 | | 17,567 |
| Williams Cos., Inc. (The) | 13 | | 434 |
| | | | 320,721 |
| Food & Staples Retailing — 0.3% |
| Walgreens Boots Alliance, Inc.† | 122 | | 5,462 |
| Walmart, Inc. | 37 | | 5,510 |
| | | | 10,972 |
| Food, Beverage & Tobacco — 7.5% |
| Altria Group, Inc.† | 1,052 | | 54,967 |
| Archer-Daniels-Midland Co.† | 338 | | 30,508 |
| Campbell Soup Co. | 3 | | 134 |
| Coca-Cola Co. (The)† | 546 | | 33,852 |
| Constellation Brands, Inc., Class A† | 23 | | 5,297 |
| General Mills, Inc.† | 257 | | 17,404 |
| Hershey Co. (The)† | 31 | | 6,715 |
| Kraft Heinz Co. (The)† | 454 | | 17,883 |
| Molson Coors Beverage Co., Class B | 10 | | 534 |
| Mondelez International, Inc., Class A† | 221 | | 13,874 |
| Monster Beverage Corp.* | 5 | | 399 |
| PepsiCo, Inc. | 12 | | 2,009 |
| Philip Morris International, Inc.† | 806 | | 75,716 |
| Tyson Foods, Inc., Class A† | 212 | | 19,002 |
| | | | 278,294 |
| Health Care Equipment & Services — 8.0% |
| Abbott Laboratories† | 162 | | 19,174 |
| AmerisourceBergen Corp. | 4 | | 619 |
| Anthem, Inc.† | 78 | | 38,315 |
| Cerner Corp. | 17 | | 1,590 |
| Cigna Corp.† | 194 | | 46,484 |
| CVS Health Corp.† | 661 | | 66,900 |
| DaVita, Inc.†* | 60 | | 6,787 |
| HCA Healthcare, Inc.† | 136 | | 34,084 |
| Henry Schein, Inc.* | 1 | | 87 |
| Hologic, Inc.†* | 101 | | 7,759 |
| Laboratory Corp. of America Holdings†* | 59 | | 15,556 |
| McKesson Corp.† | 89 | | 27,246 |
| Medtronic PLC (Ireland)† | 48 | | 5,326 |
| Quest Diagnostics, Inc.† | 70 | | 9,580 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Health Care Equipment & Services — (Continued) |
| UnitedHealth Group, Inc.† | 30 | | $ 15,299 |
| Universal Health Services, Inc., Class B | 18 | | 2,609 |
| | | | 297,415 |
| Household & Personal Products — 0.5% |
| Colgate-Palmolive Co.† | 25 | | 1,896 |
| Estee Lauder Cos., Inc. (The), Class A | 3 | | 817 |
| Kimberly-Clark Corp. | 3 | | 369 |
| Procter & Gamble Co. (The)† | 110 | | 16,808 |
| | | | 19,890 |
| Insurance — 2.7% |
| Aflac, Inc. | 7 | | 451 |
| Aon PLC, Class A (Ireland)† | 103 | | 33,540 |
| Arthur J Gallagher & Co.† | 22 | | 3,841 |
| Brown & Brown, Inc.† | 160 | | 11,563 |
| Chubb Ltd. (Switzerland) | 3 | | 641 |
| Marsh & McLennan Cos., Inc.† | 295 | | 50,274 |
| W R Berkley Corp. | 3 | | 200 |
| Willis Towers Watson PLC (Ireland) | 4 | | 945 |
| | | | 101,455 |
| Materials — 5.3% |
| Avery Dennison Corp. | 2 | | 348 |
| CF Industries Holdings, Inc. | 121 | | 12,470 |
| Corteva, Inc.† | 418 | | 24,027 |
| Dow, Inc.† | 306 | | 19,498 |
| DuPont de Nemours, Inc.† | 193 | | 14,201 |
| Eastman Chemical Co.† | 30 | | 3,362 |
| FMC Corp. | 73 | | 9,605 |
| Freeport-McMoRan, Inc.† | 830 | | 41,284 |
| International Paper Co.† | 243 | | 11,214 |
| Linde PLC (Ireland)† | 17 | | 5,430 |
| LyondellBasell Industries NV, Class A (Netherlands)† | 193 | | 19,844 |
| Mosaic Co. (The)† | 10 | | 665 |
| Nucor Corp.† | 170 | | 25,271 |
| PPG Industries, Inc. | 5 | | 655 |
| Sealed Air Corp. | 87 | | 5,826 |
| Westrock Co. | 59 | | 2,775 |
| | | | 196,475 |
| Media & Entertainment — 15.3% |
| Activision Blizzard, Inc.† | 397 | | 31,804 |
| Alphabet, Inc., Class A†* | 73 | | 203,039 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Media & Entertainment — (Continued) |
| Charter Communications, Inc., Class A†* | 97 | | $ 52,916 |
| Comcast Corp., Class A† | 1,274 | | 59,649 |
| Discovery, Inc., Class A* | 149 | | 3,713 |
| Electronic Arts, Inc. | 26 | | 3,289 |
| Interpublic Group of Cos., Inc. (The) | 238 | | 8,437 |
| Meta Platforms, Inc., Class A†* | 795 | | 176,776 |
| Netflix, Inc.†* | 40 | | 14,984 |
| News Corp., Class A | 329 | | 7,287 |
| Omnicom Group, Inc.† | 66 | | 5,602 |
| Take-Two Interactive Software, Inc.* | 11 | | 1,691 |
| Twitter, Inc.* | 73 | | 2,824 |
| | | | 572,011 |
| Pharmaceuticals, Biotechnology & Life Sciences — 14.1% |
| AbbVie, Inc.† | 414 | | 67,113 |
| Amgen, Inc.† | 72 | | 17,411 |
| Biogen, Inc.†* | 86 | | 18,112 |
| Bristol-Myers Squibb Co. | 20 | | 1,461 |
| Charles River Laboratories International, Inc.* | 6 | | 1,704 |
| Danaher Corp.† | 66 | | 19,360 |
| Gilead Sciences, Inc.† | 729 | | 43,339 |
| Illumina, Inc.* | 14 | | 4,892 |
| Incyte Corp.* | 20 | | 1,588 |
| Johnson & Johnson† | 298 | | 52,814 |
| Merck & Co., Inc.† | 751 | | 61,619 |
| Moderna, Inc.†* | 234 | | 40,309 |
| Organon & Co.† | 146 | | 5,100 |
| PerkinElmer, Inc. | 23 | | 4,012 |
| Pfizer, Inc.† | 1,790 | | 92,668 |
| Regeneron Pharmaceuticals, Inc.†* | 71 | | 49,588 |
| Vertex Pharmaceuticals, Inc.†* | 147 | | 38,363 |
| Viatris, Inc. | 702 | | 7,638 |
| | | | 527,091 |
| Real Estate — 2.6% |
| Alexandria Real Estate Equities, Inc., REIT | 48 | | 9,660 |
| American Tower Corp., REIT† | 41 | | 10,300 |
| AvalonBay Communities, Inc., REIT | 1 | | 248 |
| CBRE Group, Inc., Class A†* | 193 | | 17,663 |
| Crown Castle International Corp., REIT | 39 | | 7,199 |
| Duke Realty Corp., REIT | 84 | | 4,877 |
| Equity Residential, REIT | 3 | | 270 |
| Essex Property Trust, Inc., REIT | 1 | | 346 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Real Estate — (Continued) |
| Extra Space Storage, Inc., REIT | 31 | | $ 6,374 |
| Mid-America Apartment Communities, Inc., REIT | 13 | | 2,723 |
| Prologis, Inc., REIT | 73 | | 11,788 |
| Public Storage, REIT | 12 | | 4,683 |
| Realty Income Corp., REIT | 6 | | 416 |
| Regency Centers Corp., REIT | 2 | | 143 |
| SBA Communications Corp., REIT | 10 | | 3,441 |
| Simon Property Group, Inc., REIT | 4 | | 526 |
| UDR, Inc., REIT | 3 | | 172 |
| Weyerhaeuser Co., REIT† | 430 | | 16,297 |
| | | | 97,126 |
| Retailing — 11.4% |
| Advance Auto Parts, Inc. | 9 | | 1,863 |
| Amazon.com, Inc.†* | 56 | | 182,557 |
| AutoZone, Inc.†* | 13 | | 26,580 |
| Bath & Body Works, Inc.† | 166 | | 7,935 |
| Best Buy Co., Inc.† | 142 | | 12,908 |
| eBay, Inc.† | 344 | | 19,698 |
| Genuine Parts Co.† | 2 | | 252 |
| Home Depot, Inc. (The)† | 98 | | 29,334 |
| LKQ Corp.† | 87 | | 3,951 |
| Lowe's Cos., Inc.† | 102 | | 20,623 |
| O'Reilly Automotive, Inc.†* | 40 | | 27,398 |
| Ross Stores, Inc.† | 202 | | 18,273 |
| Target Corp.† | 264 | | 56,026 |
| TJX Cos., Inc. (The) | 205 | | 12,419 |
| Ulta Beauty, Inc.†* | 11 | | 4,380 |
| | | | 424,197 |
| Semiconductors & Semiconductor Equipment — 8.4% |
| Advanced Micro Devices, Inc.* | 16 | | 1,749 |
| Applied Materials, Inc.† | 219 | | 28,864 |
| Broadcom, Inc. | 8 | | 5,037 |
| Intel Corp.† | 2,067 | | 102,441 |
| KLA Corp.† | 58 | | 21,232 |
| Lam Research Corp.† | 42 | | 22,580 |
| Microchip Technology, Inc. | 8 | | 601 |
| Micron Technology, Inc.† | 352 | | 27,417 |
| NVIDIA Corp. | 22 | | 6,003 |
| NXP Semiconductors NV (Netherlands)† | 5 | | 925 |
| Qorvo, Inc.* | 24 | | 2,978 |
| QUALCOMM, Inc.† | 534 | | 81,606 |
| Skyworks Solutions, Inc. | 9 | | 1,200 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
Semiconductors & Semiconductor Equipment —
(Continued) |
| SolarEdge Technologies, Inc.* | 4 | | $ 1,290 |
| Teradyne, Inc. | 97 | | 11,468 |
| | | | 315,391 |
| Software & Services — 16.8% |
| Accenture PLC, Class A (Ireland)† | 211 | | 71,156 |
| Adobe, Inc.†* | 43 | | 19,592 |
| ANSYS, Inc.* | 8 | | 2,541 |
| Autodesk, Inc.* | 20 | | 4,287 |
| Automatic Data Processing, Inc.† | 148 | | 33,676 |
| Cadence Design Systems, Inc.* | 25 | | 4,111 |
| Cognizant Technology Solutions Corp., Class A | 47 | | 4,214 |
| DXC Technology Co.* | 75 | | 2,447 |
| EPAM Systems, Inc.* | 5 | | 1,483 |
| Fiserv, Inc.* | 23 | | 2,332 |
| FleetCor Technologies, Inc.* | 24 | | 5,977 |
| Gartner, Inc.†* | 47 | | 13,981 |
| Global Payments, Inc. | 2 | | 274 |
| International Business Machines Corp.† | 407 | | 52,918 |
| Mastercard, Inc., Class A† | 89 | | 31,807 |
| Microsoft Corp.† | 818 | | 252,198 |
| NortonLifeLock, Inc. | 136 | | 3,607 |
| Oracle Corp.† | 38 | | 3,144 |
| Paychex, Inc.† | 107 | | 14,602 |
| PayPal Holdings, Inc.†* | 239 | | 27,640 |
| Salesforce, Inc.†* | 90 | | 19,109 |
| ServiceNow, Inc.†* | 18 | | 10,024 |
| Synopsys, Inc.* | 14 | | 4,666 |
| Visa, Inc., Class A† | 191 | | 42,358 |
| | | | 628,144 |
| Technology Hardware & Equipment — 12.0% |
| Amphenol Corp., Class A | 6 | | 452 |
| Apple, Inc.† | 1,567 | | 273,614 |
| Arista Networks, Inc.* | 3 | | 417 |
| Cisco Systems, Inc.† | 1,748 | | 97,468 |
| Corning, Inc.† | 231 | | 8,526 |
| HP, Inc.† | 714 | | 25,918 |
| IPG Photonics Corp.* | 31 | | 3,403 |
| Juniper Networks, Inc. | 72 | | 2,675 |
| Keysight Technologies, Inc.* | 1 | | 158 |
| Motorola Solutions, Inc.† | 56 | | 13,563 |
| NetApp, Inc.† | 19 | | 1,577 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Technology Hardware & Equipment — (Continued) |
| Seagate Technology Holdings PLC (Ireland)† | 101 | | $ 9,080 |
| TE Connectivity Ltd. (Switzerland)† | 5 | | 655 |
| Western Digital Corp.†* | 181 | | 8,987 |
| | | | 446,493 |
| Telecommunication Services — 3.2% |
| AT&T, Inc.† | 2,654 | | 62,714 |
| Lumen Technologies, Inc. | 593 | | 6,683 |
| T-Mobile US, Inc.* | 57 | | 7,316 |
| Verizon Communications, Inc.† | 868 | | 44,216 |
| | | | 120,929 |
| Transportation — 3.1% |
| CSX Corp.† | 110 | | 4,119 |
| Expeditors International of Washington, Inc.† | 97 | | 10,007 |
| FedEx Corp.† | 149 | | 34,477 |
| Union Pacific Corp.† | 55 | | 15,027 |
| United Parcel Service, Inc., Class B† | 235 | | 50,398 |
| | | | 114,028 |
| Utilities — 1.0% |
| AES Corp. (The) | 388 | | 9,983 |
| DTE Energy Co.† | 113 | | 14,940 |
| NRG Energy, Inc. | 142 | | 5,447 |
| PPL Corp.† | 180 | | 5,141 |
| | | | 35,511 |
TOTAL COMMON STOCKS
(Cost $4,247,832) | | | 5,243,697 |
|
| |
TOTAL LONG POSITIONS - 140.5%
(Cost $4,247,832) | | | 5,243,697 |
| SHORT POSITIONS — (41.6)% |
| COMMON STOCKS — (41.6)% |
| Automobiles & Components — (0.2)% |
| Aptiv PLC (Jersey)* | (54) | | (6,464) |
| Banks — (3.2)% |
| Bank of America Corp. | (270) | | (11,129) |
| Citigroup, Inc. | (400) | | (21,360) |
| Citizens Financial Group, Inc. | (86) | | (3,898) |
| Comerica, Inc. | (28) | | (2,532) |
| Fifth Third Bancorp | (139) | | (5,983) |
| Huntington Bancshares, Inc. | (293) | | (4,284) |
| JPMorgan Chase & Co. | (20) | | (2,726) |
| KeyCorp. | (195) | | (4,364) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
|
| COMMON STOCKS — (Continued) |
| Banks — (Continued) |
| M&T Bank Corp. | (28) | | $ (4,746) |
| PNC Financial Services Group, Inc. (The) | (59) | | (10,883) |
| Regions Financial Corp. | (193) | | (4,296) |
| Signature Bank | (11) | | (3,228) |
| Truist Financial Corp. | (271) | | (15,366) |
| US Bancorp | (302) | | (16,051) |
| Wells Fargo & Co. | (138) | | (6,688) |
| Zions Bancorp NA | (35) | | (2,295) |
| | | | (119,829) |
| Capital Goods — (4.4)% |
| AMETEK, Inc. | (47) | | (6,259) |
| Boeing Co. (The)* | (120) | | (22,980) |
| Carrier Global Corp. | (84) | | (3,853) |
| Caterpillar, Inc. | (18) | | (4,011) |
| Deere & Co. | (61) | | (25,343) |
| Emerson Electric Co. | (118) | | (11,570) |
| Fastenal Co. | (118) | | (7,009) |
| Generac Holdings, Inc.* | (12) | | (3,567) |
| Howmet Aerospace, Inc. | (85) | | (3,055) |
| Huntington Ingalls Industries, Inc. | (9) | | (1,795) |
| PACCAR, Inc. | (72) | | (6,341) |
| Quanta Services, Inc. | (28) | | (3,685) |
| Raytheon Technologies Corp. | (304) | | (30,117) |
| Rockwell Automation, Inc. | (23) | | (6,441) |
| Stanley Black & Decker, Inc. | (32) | | (4,473) |
| TransDigm Group, Inc.* | (12) | | (7,819) |
| United Rentals, Inc.* | (14) | | (4,973) |
| Westinghouse Air Brake Technologies Corp. | (38) | | (3,654) |
| WW Grainger, Inc. | (11) | | (5,674) |
| | | | (162,619) |
| Commercial & Professional Services — (0.9)% |
| Cintas Corp. | (17) | | (7,232) |
| Copart, Inc.* | (10) | | (1,255) |
| Equifax, Inc. | (25) | | (5,927) |
| Leidos Holdings, Inc. | (29) | | (3,133) |
| Republic Services, Inc. | (35) | | (4,637) |
| Rollins, Inc. | (123) | | (4,311) |
| Verisk Analytics, Inc. | (34) | | (7,297) |
| | | | (33,792) |
| Consumer Durables & Apparel — (0.8)% |
| DR Horton, Inc. | (72) | | (5,365) |
| Garmin Ltd. (Switzerland) | (39) | | (4,626) |
| NIKE, Inc., Class B | (104) | | (13,994) |
| | Number
of Shares | | Value |
|
| COMMON STOCKS — (Continued) |
| Consumer Durables & Apparel — (Continued) |
| NVR, Inc.* | (1) | | $ (4,467) |
| PulteGroup, Inc. | (53) | | (2,221) |
| | | | (30,673) |
| Consumer Services — (2.2)% |
| Booking Holdings, Inc.* | (5) | | (11,742) |
| Caesars Entertainment, Inc.* | (23) | | (1,779) |
| Carnival Corp. (Panama)* | (238) | | (4,812) |
| Chipotle Mexican Grill, Inc.* | (7) | | (11,074) |
| Darden Restaurants, Inc. | (27) | | (3,590) |
| Domino's Pizza, Inc. | (8) | | (3,256) |
| Expedia Group, Inc.* | (31) | | (6,066) |
| Hilton Worldwide Holdings, Inc.* | (60) | | (9,105) |
| Las Vegas Sands Corp.* | (155) | | (6,025) |
| Marriott International, Inc., Class A* | (68) | | (11,951) |
| MGM Resorts International | (104) | | (4,362) |
| Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (85) | | (1,860) |
| Royal Caribbean Cruises Ltd. (Liberia)* | (53) | | (4,440) |
| Wynn Resorts Ltd.* | (27) | | (2,153) |
| | | | (82,215) |
| Diversified Financials — (2.5)% |
| Bank of New York Mellon Corp. (The) | (114) | | (5,658) |
| Capital One Financial Corp. | (81) | | (10,635) |
| Cboe Global Markets, Inc. | (9) | | (1,030) |
| Charles Schwab Corp. (The) | (19) | | (1,602) |
| Discover Financial Services | (59) | | (6,501) |
| FactSet Research Systems, Inc. | (8) | | (3,473) |
| Goldman Sachs Group, Inc. (The) | (63) | | (20,796) |
| MarketAxess Holdings, Inc. | (9) | | (3,062) |
| Morgan Stanley | (181) | | (15,819) |
| MSCI, Inc. | (18) | | (9,052) |
| Northern Trust Corp. | (43) | | (5,007) |
| State Street Corp. | (77) | | (6,708) |
| Synchrony Financial | (108) | | (3,760) |
| | | | (93,103) |
| Energy — (1.6)% |
| ConocoPhillips | (265) | | (26,500) |
| Coterra Energy, Inc. | (166) | | (4,477) |
| Devon Energy Corp. | (135) | | (7,983) |
| Diamondback Energy, Inc. | (36) | | (4,935) |
| Hess Corp. | (62) | | (6,636) |
| Kinder Morgan, Inc. | (453) | | (8,566) |
| | | | (59,097) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
|
| COMMON STOCKS — (Continued) |
| Food & Staples Retailing — (0.7)% |
| Costco Wholesale Corp. | (17) | | $ (9,790) |
| Kroger Co. (The) | (147) | | (8,433) |
| Sysco Corp. | (102) | | (8,328) |
| | | | (26,551) |
| Food, Beverage & Tobacco — (0.8)% |
| Brown-Forman Corp., Class B | (105) | | (7,037) |
| Conagra Brands, Inc. | (97) | | (3,256) |
| Hormel Foods Corp. | (54) | | (2,783) |
| J M Smucker Co. (The) | (22) | | (2,979) |
| Kellogg Co. | (69) | | (4,450) |
| Lamb Weston Holdings, Inc. | (30) | | (1,797) |
| McCormick & Co., Inc., non-voting shares | (56) | | (5,589) |
| | | | (27,891) |
| Health Care Equipment & Services — (4.7)% |
| ABIOMED, Inc.* | (11) | | (3,644) |
| Align Technology, Inc.* | (14) | | (6,104) |
| Baxter International, Inc. | (102) | | (7,909) |
| Becton Dickinson and Co. | (58) | | (15,428) |
| Boston Scientific Corp.* | (291) | | (12,888) |
| Cardinal Health, Inc. | (57) | | (3,232) |
| Centene Corp.* | (118) | | (9,934) |
| Cooper Cos., Inc. (The) | (13) | | (5,429) |
| DENTSPLY SIRONA, Inc. | (45) | | (2,215) |
| Dexcom, Inc.* | (20) | | (10,232) |
| Edwards Lifesciences Corp.* | (126) | | (14,833) |
| Humana, Inc. | (27) | | (11,750) |
| IDEXX Laboratories, Inc.* | (22) | | (12,035) |
| Intuitive Surgical, Inc.* | (73) | | (22,023) |
| Molina Healthcare, Inc.* | (2) | | (667) |
| ResMed, Inc. | (32) | | (7,760) |
| STERIS PLC (Ireland) | (20) | | (4,835) |
| Stryker Corp. | (76) | | (20,319) |
| Zimmer Biomet Holdings, Inc. | (42) | | (5,372) |
| | | | (176,609) |
| Household & Personal Products — (0.2)% |
| Church & Dwight Co., Inc. | (52) | | (5,168) |
| Clorox Co. (The) | (27) | | (3,754) |
| | | | (8,922) |
| Insurance — (1.8)% |
| Allstate Corp. (The) | (58) | | (8,034) |
| American International Group, Inc. | (164) | | (10,294) |
| Cincinnati Financial Corp. | (33) | | (4,487) |
| Everest Re Group Ltd. (Bermuda) | (8) | | (2,411) |
| | Number
of Shares | | Value |
|
| COMMON STOCKS — (Continued) |
| Insurance — (Continued) |
| Globe Life, Inc. | (22) | | $ (2,213) |
| Hartford Financial Services Group, Inc. (The) | (70) | | (5,027) |
| Lincoln National Corp. | (37) | | (2,418) |
| Loews Corp. | (46) | | (2,982) |
| MetLife, Inc. | (169) | | (11,877) |
| Principal Financial Group, Inc. | (51) | | (3,744) |
| Progressive Corp. (The) | (30) | | (3,420) |
| Prudential Financial, Inc. | (60) | | (7,090) |
| Travelers Cos., Inc. (The) | (24) | | (4,385) |
| | | | (68,382) |
| Materials — (1.9)% |
| Air Products and Chemicals, Inc. | (49) | | (12,246) |
| Albemarle Corp. | (26) | | (5,750) |
| Amcor PLC (Jersey) | (305) | | (3,456) |
| Ball Corp. | (73) | | (6,570) |
| Celanese Corp. | (10) | | (1,429) |
| International Flavors & Fragrances, Inc. | (52) | | (6,829) |
| Martin Marietta Materials, Inc. | (13) | | (5,003) |
| Newmont Corp. | (160) | | (12,712) |
| Packaging Corp. of America | (19) | | (2,966) |
| Sherwin-Williams Co. (The) | (41) | | (10,234) |
| Vulcan Materials Co. | (29) | | (5,327) |
| | | | (72,522) |
| Media & Entertainment — (1.5)% |
| DISH Network Corp., Class A* | (105) | | (3,323) |
| Fox Corp., Class A | (114) | | (4,497) |
| Live Nation Entertainment, Inc.* | (48) | | (5,647) |
| Match Group, Inc.* | (58) | | (6,307) |
| Paramount Global, Class B | (131) | | (4,953) |
| Walt Disney Co. (The)* | (231) | | (31,684) |
| | | | (56,411) |
| Pharmaceuticals, Biotechnology & Life Sciences — (2.8)% |
| Agilent Technologies, Inc. | (60) | | (7,940) |
| Bio-Rad Laboratories, Inc., Class A* | (7) | | (3,943) |
| Bio-Techne Corp. | (8) | | (3,464) |
| Catalent, Inc.* | (37) | | (4,103) |
| Eli Lilly & Co. | (105) | | (30,069) |
| IQVIA Holdings, Inc.* | (51) | | (11,792) |
| Mettler-Toledo International, Inc.* | (5) | | (6,866) |
| Thermo Fisher Scientific, Inc. | (28) | | (16,538) |
| Waters Corp.* | (13) | | (4,035) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
|
| COMMON STOCKS — (Continued) |
Pharmaceuticals, Biotechnology & Life Sciences —
(Continued) |
| West Pharmaceutical Services, Inc. | (17) | | $ (6,982) |
| Zoetis, Inc. | (52) | | (9,807) |
| | | | (105,539) |
| Real Estate — (1.6)% |
| Boston Properties, Inc., REIT | (32) | | (4,122) |
| Digital Realty Trust, Inc., REIT | (58) | | (8,224) |
| Equinix, Inc., REIT | (22) | | (16,316) |
| Federal Realty Investment Trust, REIT | (1) | | (122) |
| Healthpeak Properties, Inc., REIT | (110) | | (3,776) |
| Host Hotels & Resorts, Inc., REIT | (161) | | (3,128) |
| Iron Mountain, Inc., REIT | (59) | | (3,269) |
| Kimco Realty Corp., REIT | (123) | | (3,038) |
| Ventas, Inc., REIT | (81) | | (5,003) |
| Vornado Realty Trust, REIT | (41) | | (1,858) |
| Welltower, Inc., REIT | (92) | | (8,845) |
| | | | (57,701) |
| Retailing — (0.6)% |
| CarMax, Inc.* | (35) | | (3,377) |
| Dollar Tree, Inc.* | (45) | | (7,207) |
| Etsy, Inc.* | (29) | | (3,604) |
| Pool Corp. | (8) | | (3,383) |
| Tractor Supply Co. | (22) | | (5,134) |
| | | | (22,705) |
| Semiconductors & Semiconductor Equipment — (1.1)% |
| Analog Devices, Inc. | (108) | | (17,840) |
| Enphase Energy, Inc.* | (27) | | (5,448) |
| Monolithic Power Systems, Inc. | (9) | | (4,371) |
| Texas Instruments, Inc. | (71) | | (13,027) |
| | | | (40,686) |
| Software & Services — (1.1)% |
| Akamai Technologies, Inc.* | (33) | | (3,940) |
| Broadridge Financial Solutions, Inc. | (24) | | (3,737) |
| Ceridian HCM Holding, Inc.* | (31) | | (2,119) |
| Citrix Systems, Inc. | (27) | | (2,724) |
| Fortinet, Inc.* | (11) | | (3,759) |
| Intuit, Inc. | (10) | | (4,808) |
| Jack Henry & Associates, Inc. | (17) | | (3,350) |
| Paycom Software, Inc.* | (13) | | (4,503) |
| PTC, Inc.* | (25) | | (2,693) |
| Tyler Technologies, Inc.* | (9) | | (4,004) |
| VeriSign, Inc.* | (23) | | (5,117) |
| | | | (40,754) |
| | Number
of Shares | | Value |
|
| COMMON STOCKS — (Continued) |
| Technology Hardware & Equipment — (0.4)% |
| CDW Corp. | (27) | | $ (4,830) |
| F5, Inc.* | (6) | | (1,254) |
| Hewlett Packard Enterprise Co. | (56) | | (936) |
| Teledyne Technologies, Inc.* | (9) | | (4,253) |
| Trimble, Inc.* | (36) | | (2,597) |
| | | | (13,870) |
| Transportation — (0.9)% |
| Alaska Air Group, Inc.* | (27) | | (1,566) |
| American Airlines Group, Inc.* | (135) | | (2,464) |
| CH Robinson Worldwide, Inc. | (28) | | (3,016) |
| Delta Air Lines, Inc.* | (138) | | (5,461) |
| JB Hunt Transport Services, Inc. | (23) | | (4,618) |
| Norfolk Southern Corp. | (2) | | (570) |
| Old Dominion Freight Line, Inc. | (23) | | (6,870) |
| Southwest Airlines Co.* | (126) | | (5,771) |
| United Airlines Holdings, Inc.* | (68) | | (3,152) |
| | | | (33,488) |
| Utilities — (5.7)% |
| Alliant Energy Corp. | (61) | | (3,811) |
| Ameren Corp. | (62) | | (5,813) |
| American Electric Power Co., Inc. | (124) | | (12,371) |
| American Water Works Co., Inc. | (41) | | (6,787) |
| Atmos Energy Corp. | (30) | | (3,585) |
| CenterPoint Energy, Inc. | (128) | | (3,922) |
| CMS Energy Corp. | (70) | | (4,896) |
| Consolidated Edison, Inc. | (82) | | (7,764) |
| Constellation Energy Corp. | (24) | | (1,350) |
| Dominion Energy, Inc. | (161) | | (13,680) |
| Duke Energy Corp. | (163) | | (18,200) |
| Edison International | (90) | | (6,309) |
| Entergy Corp. | (50) | | (5,837) |
| Evergy, Inc. | (50) | | �� (3,417) |
| Eversource Energy | (82) | | (7,232) |
| Exelon Corp. | (195) | | (9,288) |
| FirstEnergy Corp. | (136) | | (6,237) |
| NextEra Energy, Inc. | (414) | | (35,070) |
| NiSource, Inc. | (94) | | (2,989) |
| Pinnacle West Capital Corp. | (26) | | (2,031) |
| Public Service Enterprise Group, Inc. | (101) | | (7,070) |
| Sempra Energy | (64) | | (10,760) |
| Southern Co. (The) | (230) | | (16,677) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments (Concluded)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
|
| COMMON STOCKS — (Continued) |
| Utilities — (Continued) |
| WEC Energy Group, Inc. | (79) | | $ (7,885) |
| Xcel Energy, Inc. | (133) | | (9,599) |
| | | | (212,580) |
TOTAL COMMON STOCKS
(Proceeds $1,424,851) | | | (1,552,403) |
|
| |
TOTAL SHORT POSITIONS - (41.6)%
(Proceeds $1,424,851) | | (1,552,403) |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 1.1% | | | 42,583 |
| NET ASSETS - 100.0% | | | $ 3,733,877 |
| † | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. (See Note 1 of the Notes to Financial Statements) |
| * | Non-income producing. |
| PLC | Public Limited Company |
| REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of the financial statements.
GOTHAM HEDGED PLUS FUND
Portfolio of Investments
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| LONG POSITIONS — 173.2% |
| COMMON STOCKS — 173.2% |
| Automobiles & Components — 0.6% |
| Ford Motor Co.† | 4,886 | | $ 82,622 |
| Magna International, Inc. (Canada) | 124 | | 7,975 |
| | | | 90,597 |
| Capital Goods — 5.5% |
| 3M Co.† | 1,027 | | 152,900 |
| A.O. Smith Corp. | 4 | | 256 |
| Builders FirstSource, Inc.* | 1,528 | | 98,617 |
| General Dynamics Corp.† | 503 | | 121,314 |
| L3Harris Technologies, Inc. | 32 | | 7,951 |
| Lockheed Martin Corp.† | 592 | | 261,309 |
| Masco Corp.† | 1,908 | | 97,308 |
| Northrop Grumman Corp.† | 52 | | 23,255 |
| Roper Technologies, Inc.† | 28 | | 13,222 |
| | | | 776,132 |
| Commercial & Professional Services — 2.4% |
| Booz Allen Hamilton Holding Corp. | 19 | | 1,669 |
| CACI International, Inc., Class A* | 282 | | 84,955 |
| ManpowerGroup, Inc.† | 178 | | 16,718 |
| Nielsen Holdings PLC (United Kingdom) | 129 | | 3,514 |
| Robert Half International, Inc.† | 1,563 | | 178,463 |
| Stantec, Inc. (Canada) | 278 | | 13,939 |
| Thomson Reuters Corp. (Canada)† | 29 | | 3,157 |
| TriNet Group, Inc.* | 429 | | 42,196 |
| | | | 344,611 |
| Consumer Durables & Apparel — 1.5% |
| Deckers Outdoor Corp.†* | 599 | | 163,988 |
| Gildan Activewear, Inc. (Canada)† | 141 | | 5,285 |
| Mohawk Industries, Inc.* | 2 | | 249 |
| Tempur Sealy International, Inc.† | 1,121 | | 31,298 |
| Under Armour, Inc., Class C* | 306 | | 4,761 |
| VF Corp. | 223 | | 12,680 |
| | | | 218,261 |
| Consumer Services — 5.4% |
| Choice Hotels International, Inc.† | 1,071 | | 151,825 |
| McDonald's Corp.† | 762 | | 188,427 |
| Penn National Gaming, Inc.†* | 1,572 | | 66,684 |
| Restaurant Brands International, Inc. (Canada) | 6 | | 350 |
| Service Corp. International† | 3,361 | | 221,221 |
| Wyndham Hotels & Resorts, Inc.† | 594 | | 50,306 |
| Yum! Brands, Inc.† | 669 | | 79,297 |
| | | | 758,110 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Diversified Financials — 10.0% |
| Berkshire Hathaway, Inc., Class B†* | 750 | | $ 264,682 |
| BlackRock, Inc.† | 236 | | 180,344 |
| Coinbase Global, Inc., Class A†* | 3,103 | | 589,136 |
| Nasdaq, Inc.† | 493 | | 87,853 |
| T Rowe Price Group, Inc.† | 1,962 | | 296,635 |
| | | | 1,418,650 |
| Energy — 10.6% |
| Baker Hughes Co. | 111 | | 4,042 |
| Canadian Natural Resources Ltd. (Canada)† | 6,558 | | 406,465 |
| Chevron Corp.† | 1,476 | | 240,337 |
| Coterra Energy, Inc.† | 5,123 | | 138,167 |
| EOG Resources, Inc. | 504 | | 60,092 |
| Exxon Mobil Corp.† | 1,815 | | 149,901 |
| Halliburton Co. | 689 | | 26,092 |
| Imperial Oil Ltd. (Canada) | 535 | | 25,851 |
| Marathon Oil Corp. | 164 | | 4,118 |
| Marathon Petroleum Corp. | 1,773 | | 151,592 |
| Ovintiv, Inc. | 978 | | 52,880 |
| Pembina Pipeline Corp. (Canada) | 2,001 | | 75,238 |
| Schlumberger NV (Curacao) | 198 | | 8,179 |
| Suncor Energy, Inc. (Canada) | 2,444 | | 79,650 |
| Targa Resources Corp. | 966 | | 72,904 |
| | | | 1,495,508 |
| Food & Staples Retailing — 1.9% |
| Albertsons Cos., Inc., Class A | 5,492 | | 182,609 |
| Kroger Co. (The) | 757 | | 43,429 |
| Sysco Corp. | 33 | | 2,695 |
| Walmart, Inc.† | 221 | | 32,911 |
| | | | 261,644 |
| Food, Beverage & Tobacco — 11.6% |
| Altria Group, Inc.† | 2,860 | | 149,435 |
| Archer-Daniels-Midland Co.† | 1,327 | | 119,775 |
| Bunge Ltd. (Bermuda)† | 1,250 | | 138,512 |
| Campbell Soup Co. | 92 | | 4,100 |
| Coca-Cola Co. (The)† | 2,895 | | 179,490 |
| Coca-Cola Consolidated, Inc. | 16 | | 7,950 |
| Constellation Brands, Inc., Class A | 203 | | 46,755 |
| General Mills, Inc.† | 2,697 | | 182,641 |
| Hershey Co. (The)† | 577 | | 124,996 |
| Ingredion, Inc. | 50 | | 4,357 |
| Keurig Dr Pepper, Inc.† | 2 | | 76 |
| Kraft Heinz Co. (The)† | 1,036 | | 40,808 |
| Mondelez International, Inc., Class A† | 2,088 | | 131,085 |
The accompanying notes are an integral part of the financial statements.
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Food, Beverage & Tobacco — (Continued) |
| PepsiCo, Inc.† | 176 | | $ 29,459 |
| Philip Morris International, Inc.† | 2,685 | | 252,229 |
| Tyson Foods, Inc., Class A† | 2,545 | | 228,108 |
| | | | 1,639,776 |
| Health Care Equipment & Services — 13.9% |
| Abbott Laboratories† | 533 | | 63,086 |
| Anthem, Inc.† | 118 | | 57,964 |
| Cerner Corp.† | 1,796 | | 168,034 |
| Cigna Corp. | 197 | | 47,203 |
| CVS Health Corp.† | 1,741 | | 176,207 |
| DaVita, Inc.* | 257 | | 29,069 |
| HCA Healthcare, Inc.† | 305 | | 76,439 |
| Hologic, Inc.†* | 3,894 | | 299,137 |
| Laboratory Corp. of America Holdings†* | 1,011 | | 266,560 |
| Masimo Corp.* | 814 | | 118,470 |
| McKesson Corp.† | 779 | | 238,475 |
| Quest Diagnostics, Inc.† | 2,552 | | 349,267 |
| UnitedHealth Group, Inc. | 132 | | 67,316 |
| | | | 1,957,227 |
| Household & Personal Products — 2.2% |
| Colgate-Palmolive Co.† | 1,678 | | 127,243 |
| Kimberly-Clark Corp.† | 309 | | 38,057 |
| Procter & Gamble Co. (The)† | 963 | | 147,146 |
| | | | 312,446 |
| Insurance — 5.0% |
| Aon PLC, Class A (Ireland)† | 498 | | 162,164 |
| Arthur J Gallagher & Co.† | 731 | | 127,633 |
| Brown & Brown, Inc.† | 1,350 | | 97,564 |
| Marsh & McLennan Cos., Inc.† | 1,827 | | 311,357 |
| | | | 698,718 |
| Materials — 7.1% |
| Barrick Gold Corp. (Canada)† | 7,410 | | 181,767 |
| CF Industries Holdings, Inc.† | 1,370 | | 141,192 |
| Crown Holdings, Inc. | 544 | | 68,049 |
| FMC Corp. | 700 | | 92,099 |
| Ginkgo Bioworks Holdings, Inc.* | 1,403 | | 5,654 |
| Huntsman Corp. | 485 | | 18,192 |
| International Paper Co. | 729 | | 33,643 |
| Louisiana-Pacific Corp.† | 1,479 | | 91,876 |
| Nucor Corp. | 450 | | 66,893 |
| Nutrien Ltd. (Canada) | 1,234 | | 128,324 |
| Olin Corp. | 321 | | 16,782 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Materials — (Continued) |
| Sealed Air Corp.† | 1,077 | | $ 72,116 |
| West Fraser Timber Co. Ltd. (Canada)† | 1,080 | | 89,024 |
| | | | 1,005,611 |
| Media & Entertainment — 17.3% |
| Activision Blizzard, Inc.† | 7,474 | | 598,742 |
| Alphabet, Inc., Class A†* | 171 | | 475,611 |
| Altice USA, Inc., Class A†* | 19,107 | | 238,455 |
| Charter Communications, Inc., Class A†* | 459 | | 250,394 |
| Comcast Corp., Class A | 103 | | 4,823 |
| Discovery, Inc., Class A* | 260 | | 6,479 |
| Electronic Arts, Inc.† | 73 | | 9,235 |
| Interpublic Group of Cos., Inc. (The) | 11 | | 390 |
| Meta Platforms, Inc., Class A†* | 2,847 | | 633,059 |
| Netflix, Inc.†* | 369 | | ��138,224 |
| Playtika Holding Corp.* | 110 | | 2,126 |
| Shaw Communications, Inc., Class B (Canada)† | 1,225 | | 38,024 |
| Take-Two Interactive Software, Inc.†* | 30 | | 4,612 |
| Zynga, Inc., Class A* | 4,705 | | 43,474 |
| | | | 2,443,648 |
| Pharmaceuticals, Biotechnology & Life Sciences — 22.6% |
| AbbVie, Inc.† | 1,149 | | 186,264 |
| Biogen, Inc.†* | 1,670 | | 351,702 |
| Bristol-Myers Squibb Co. | 1,292 | | 94,355 |
| Danaher Corp.† | 184 | | 53,973 |
| Gilead Sciences, Inc.† | 3,106 | | 184,652 |
| Illumina, Inc.†* | 41 | | 14,325 |
| Johnson & Johnson† | 1,079 | | 191,231 |
| Merck & Co., Inc.† | 3,680 | | 301,944 |
| Moderna, Inc.†* | 3,458 | | 595,675 |
| Organon & Co. | 260 | | 9,082 |
| PerkinElmer, Inc.† | 447 | | 77,983 |
| Pfizer, Inc.† | 8,001 | | 414,212 |
| QIAGEN NV (Netherlands)* | 353 | | 17,297 |
| Regeneron Pharmaceuticals, Inc.†* | 563 | | 393,210 |
| Vertex Pharmaceuticals, Inc.†* | 1,140 | | 297,506 |
| Viatris, Inc. | 552 | | 6,006 |
| | | | 3,189,417 |
| Real Estate — 1.3% |
| CBRE Group, Inc., Class A* | 85 | | 7,779 |
| Jones Lang LaSalle, Inc.* | 229 | | 54,836 |
The accompanying notes are an integral part of the financial statements.
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Real Estate — (Continued) |
| Rayonier, Inc., REIT | 539 | | $ 22,164 |
| Weyerhaeuser Co., REIT† | 2,510 | | 95,129 |
| | | | 179,908 |
| Retailing — 10.0% |
| Amazon.com, Inc.†* | 130 | | 423,794 |
| AutoNation, Inc.* | 6 | | 598 |
| AutoZone, Inc.†* | 73 | | 149,254 |
| Bath & Body Works, Inc. | 176 | | 8,413 |
| Best Buy Co., Inc.† | 77 | | 6,999 |
| Burlington Stores, Inc.* | 13 | | 2,368 |
| Dick's Sporting Goods, Inc.† | 999 | | 99,920 |
| eBay, Inc.† | 5,043 | | 288,762 |
| Home Depot, Inc. (The)† | 411 | | 123,025 |
| Lowe's Cos., Inc.† | 495 | | 100,084 |
| O'Reilly Automotive, Inc.* | 168 | | 115,073 |
| RH * | 6 | | 1,957 |
| Ross Stores, Inc. | 354 | | 32,023 |
| Target Corp.† | 302 | | 64,090 |
| | | | 1,416,360 |
| Semiconductors & Semiconductor Equipment — 2.2% |
| Intel Corp.† | 5,081 | | 251,814 |
| QUALCOMM, Inc. | 364 | | 55,627 |
| | | | 307,441 |
| Software & Services — 17.7% |
| Accenture PLC, Class A (Ireland)† | 494 | | 166,592 |
| Amdocs Ltd. (Guernsey)† | 15 | | 1,233 |
| Automatic Data Processing, Inc.† | 237 | | 53,927 |
| CDK Global, Inc. | 135 | | 6,572 |
| CGI, Inc. (Canada)†* | 850 | | 67,855 |
| Gartner, Inc.†* | 370 | | 110,060 |
| International Business Machines Corp.† | 857 | | 111,427 |
| Mastercard, Inc., Class A† | 251 | | 89,702 |
| Microsoft Corp.† | 1,923 | | 592,880 |
| NortonLifeLock, Inc.† | 5,896 | | 156,362 |
| Open Text Corp. (Canada)† | 1,307 | | 55,417 |
| Paychex, Inc. | 81 | | 11,054 |
| PayPal Holdings, Inc.†* | 2,064 | | 238,702 |
| SS&C Technologies Holdings, Inc.† | 2,603 | | 195,277 |
| Visa, Inc., Class A† | 541 | | 119,978 |
| VMware, Inc., Class A† | 1 | | 114 |
| Western Union Co. (The) | 3,384 | | 63,416 |
| Zoom Video Communications, Inc., Class A†* | 3,862 | | 452,742 |
| | | | 2,493,310 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Technology Hardware & Equipment — 11.7% |
| Apple, Inc.† | 3,715 | | $ 648,676 |
| Arrow Electronics, Inc.†* | 20 | | 2,373 |
| Cisco Systems, Inc.† | 3,078 | | 171,629 |
| Dell Technologies, Inc., Class C† | 3,648 | | 183,093 |
| HP, Inc.† | 5,847 | | 212,246 |
| IPG Photonics Corp.* | 996 | | 109,321 |
| Jabil, Inc.† | 2,260 | | 139,510 |
| Motorola Solutions, Inc. | 157 | | 38,026 |
| NetApp, Inc.† | 10 | | 830 |
| Seagate Technology Holdings PLC (Ireland)† | 1,619 | | 145,548 |
| | | | 1,651,252 |
| Telecommunication Services — 4.1% |
| AT&T, Inc.† | 4,118 | | 97,308 |
| BCE, Inc. (Canada)† | 3,816 | | 211,635 |
| Rogers Communications, Inc., Class B (Canada)† | 1,385 | | 78,599 |
| T-Mobile US, Inc.* | 92 | | 11,808 |
| Verizon Communications, Inc.† | 3,620 | | 184,403 |
| | | | 583,753 |
| Transportation — 3.5% |
| Expeditors International of Washington, Inc.† | 2,469 | | 254,702 |
| FedEx Corp. | 585 | | 135,363 |
| Southwest Airlines Co.* | 309 | | 14,152 |
| United Parcel Service, Inc., Class B† | 448 | | 96,078 |
| | | | 500,295 |
| Utilities — 5.1% |
| AES Corp. (The) | 3,378 | | 86,916 |
| DTE Energy Co.† | 2,314 | | 305,934 |
| NRG Energy, Inc.† | 5,691 | | 218,307 |
| PPL Corp.† | 3,598 | | 102,759 |
| | | | 713,916 |
TOTAL COMMON STOCKS
(Cost $21,917,583) | | | 24,456,591 |
|
| |
TOTAL LONG POSITIONS - 173.2%
(Cost $21,917,583) | | | 24,456,591 |
| SHORT POSITIONS — (74.5)% |
| COMMON STOCKS — (74.5)% |
| Automobiles & Components — (0.9)% |
| Fisker, Inc.* | (673) | | (8,682) |
| Fox Factory Holding Corp.* | (69) | | (6,758) |
The accompanying notes are an integral part of the financial statements.
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
|
| COMMON STOCKS — (Continued) |
| Automobiles & Components — (Continued) |
| Lear Corp. | (331) | | $ (47,197) |
| QuantumScape Corp.* | (1,426) | | (28,506) |
| Rivian Automotive, Inc., Class A* | (711) | | (35,721) |
| | | | (126,864) |
| Banks — (7.4)% |
| Bank OZK | (831) | | (35,484) |
| Citizens Financial Group, Inc. | (1,311) | | (59,428) |
| Commerce Bancshares, Inc. | (777) | | (55,625) |
| East West Bancorp, Inc. | (312) | | (24,654) |
| First Citizens BancShares, Inc., Class A | (154) | | (102,502) |
| First Financial Bankshares, Inc. | (1,073) | | (47,341) |
| Glacier Bancorp, Inc. | (1,097) | | (55,157) |
| M&T Bank Corp. | (168) | | (28,476) |
| New York Community Bancorp, Inc. | (333) | | (3,570) |
| PacWest Bancorp | (388) | | (16,734) |
| Pinnacle Financial Partners, Inc. | (585) | | (53,867) |
| Prosperity Bancshares, Inc. | (996) | | (69,103) |
| Regions Financial Corp. | (2,730) | | (60,770) |
| SouthState Corp. | (761) | | (62,090) |
| Synovus Financial Corp. | (1,459) | | (71,491) |
| Truist Financial Corp. | (1,403) | | (79,550) |
| US Bancorp | (1,788) | | (95,032) |
| Valley National Bancorp | (5,180) | | (67,444) |
| Webster Financial Corp. | (644) | | (36,141) |
| Wintrust Financial Corp. | (194) | | (18,028) |
| Zions Bancorp NA | (5) | | (328) |
| | | | (1,042,815) |
| Capital Goods — (9.7)% |
| Advanced Drainage Systems, Inc. | (649) | | (77,108) |
| AerCap Holdings NV (Netherlands)* | (1,795) | | (90,253) |
| Axon Enterprise, Inc.* | (1,093) | | (150,539) |
| AZEK Co., Inc. (The)* | (1,366) | | (33,931) |
| Ballard Power Systems, Inc. (Canada)* | (363) | | (4,225) |
| Bloom Energy Corp., Class A* | (729) | | (17,605) |
| Boeing Co. (The)* | (1,048) | | (200,692) |
| CAE, Inc. (Canada)* | (1,250) | | (32,600) |
| ChargePoint Holdings, Inc.* | (994) | | (19,761) |
| Chart Industries, Inc.* | (91) | | (15,631) |
| Deere & Co. | (56) | | (23,266) |
| FuelCell Energy, Inc.* | (2,006) | | (11,555) |
| Huntington Ingalls Industries, Inc. | (95) | | (18,947) |
| MasTec, Inc.* | (1,519) | | (132,305) |
| MDU Resources Group, Inc. | (1,789) | | (47,677) |
| | Number
of Shares | | Value |
|
| COMMON STOCKS — (Continued) |
| Capital Goods — (Continued) |
| Mercury Systems, Inc.* | (576) | | $ (37,123) |
| Middleby Corp. (The)* | (628) | | (102,954) |
| Plug Power, Inc.* | (735) | | (21,028) |
| Quanta Services, Inc. | (85) | | (11,187) |
| RBC Bearings, Inc.* | (413) | | (80,072) |
| Regal Rexnord Corp. | (447) | | (66,505) |
| Stanley Black & Decker, Inc. | (158) | | (22,087) |
| Sunrun, Inc.* | (497) | | (15,094) |
| United Rentals, Inc.* | (345) | | (122,547) |
| Virgin Galactic Holdings, Inc.* | (984) | | (9,722) |
| Woodward, Inc. | (18) | | (2,248) |
| | | | (1,366,662) |
| Commercial & Professional Services — (1.7)% |
| ADT, Inc. | (8,427) | | (63,961) |
| Clean Harbors, Inc.* | (391) | | (43,651) |
| GFL Environmental, Inc., sub-voting shares (Canada) | (3,871) | | (125,962) |
| MSA Safety, Inc. | (28) | | (3,716) |
| | | | (237,290) |
| Consumer Durables & Apparel — (2.0)% |
| Brunswick Corp. | (539) | | (43,600) |
| Helen of Troy Ltd. (Bermuda)* | (252) | | (49,352) |
| Peloton Interactive, Inc., Class A* | (748) | | (19,762) |
| Polaris, Inc. | (657) | | (69,195) |
| Skechers USA, Inc., Class A* | (2,272) | | (92,607) |
| TopBuild Corp.* | (67) | | (12,153) |
| | | | (286,669) |
| Consumer Services — (2.1)% |
| Aramark | (3,584) | | (134,759) |
| Carnival Corp. (Panama)* | (2,247) | | (45,434) |
| Churchill Downs, Inc. | (85) | | (18,851) |
| DraftKings, Inc., Class A* | (1,003) | | (19,529) |
| Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (1,194) | | (26,125) |
| Planet Fitness, Inc., Class A* | (7) | | (591) |
| Royal Caribbean Cruises Ltd. (Liberia)* | (640) | | (53,619) |
| | | | (298,908) |
| Diversified Financials — (2.5)% |
| Ally Financial, Inc. | (2,264) | | (98,439) |
| Capital One Financial Corp. | (77) | | (10,109) |
| Discover Financial Services | (736) | | (81,100) |
| Northern Trust Corp. | (121) | | (14,090) |
| OneMain Holdings, Inc. | (629) | | (29,821) |
The accompanying notes are an integral part of the financial statements.
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
|
| COMMON STOCKS — (Continued) |
| Diversified Financials — (Continued) |
| Robinhood Markets, Inc., Class A* | (2,503) | | $ (33,816) |
| SLM Corp. | (22) | | (404) |
| State Street Corp. | (271) | | (23,610) |
| Stifel Financial Corp. | (46) | | (3,123) |
| Synchrony Financial | (1,678) | | (58,411) |
| Voya Financial, Inc. | (29) | | (1,924) |
| | | | (354,847) |
| Energy — (4.8)% |
| Cameco Corp. (Canada) | (34) | | (989) |
| Chesapeake Energy Corp. | (235) | | (20,445) |
| Continental Resources, Inc. | (260) | | (15,946) |
| EQT Corp. | (4,151) | | (142,836) |
| HF Sinclair Corp.* | (2,750) | | (109,587) |
| New Fortress Energy, Inc. | (1,152) | | (49,087) |
| Range Resources Corp.* | (2,721) | | (82,664) |
| Southwestern Energy Co.* | (34,933) | | (250,470) |
| | | | (672,024) |
| Food, Beverage & Tobacco — (0.2)% |
| Celsius Holdings, Inc.* | (38) | | (2,097) |
| Freshpet, Inc.* | (287) | | (29,458) |
| | | | (31,555) |
| Health Care Equipment & Services — (2.1)% |
| ABIOMED, Inc.* | (129) | | (42,730) |
| HealthEquity, Inc.* | (168) | | (11,330) |
| Inspire Medical Systems, Inc.* | (107) | | (27,466) |
| Insulet Corp.* | (284) | | (75,655) |
| iRhythm Technologies, Inc.* | (72) | | (11,338) |
| Neogen Corp.* | (104) | | (3,207) |
| Nevro Corp.* | (153) | | (11,067) |
| Oak Street Health, Inc.* | (968) | | (26,020) |
| Penumbra, Inc.* | (348) | | (77,301) |
| Schrodinger, Inc.* | (250) | | (8,530) |
| Shockwave Medical, Inc.* | (1) | | (207) |
| | | | (294,851) |
| Insurance — (2.0)% |
| Lincoln National Corp. | (2,442) | | (159,609) |
| Unum Group | (3,663) | | (115,421) |
| | | | (275,030) |
| Materials — (5.6)% |
| Albemarle Corp. | (494) | | (109,248) |
| Ball Corp. | (580) | | (52,200) |
| Franco-Nevada Corp. (Canada) | (308) | | (49,132) |
| Graphic Packaging Holding Co. | (7,518) | | (150,661) |
| Martin Marietta Materials, Inc. | (280) | | (107,769) |
| | Number
of Shares | | Value |
|
| COMMON STOCKS — (Continued) |
| Materials — (Continued) |
| MP Materials Corp.* | (641) | | $ (36,755) |
| Royal Gold, Inc. | (467) | | (65,978) |
| Scotts Miracle-Gro Co. (The) | (372) | | (45,741) |
| Vulcan Materials Co. | (760) | | (139,612) |
| Wheaton Precious Metals Corp. (Canada) | (841) | | (40,015) |
| | | | (797,111) |
| Media & Entertainment — (0.8)% |
| Angi, Inc.* | (4,283) | | (24,285) |
| Fox Corp., Class A | (370) | | (14,596) |
| IAC/InterActiveCorp * | (682) | | (68,391) |
| | | | (107,272) |
| Pharmaceuticals, Biotechnology & Life Sciences — (13.2)% |
| ACADIA Pharmaceuticals, Inc.* | (1,383) | | (33,496) |
| Adaptive Biotechnologies Corp.* | (179) | | (2,484) |
| Agios Pharmaceuticals, Inc.* | (160) | | (4,658) |
| Allakos, Inc.* | (835) | | (4,759) |
| Allogene Therapeutics, Inc.* | (1,358) | | (12,371) |
| Alnylam Pharmaceuticals, Inc.* | (948) | | (154,799) |
| Amicus Therapeutics, Inc.* | (1,638) | | (15,512) |
| Arrowhead Pharmaceuticals, Inc.* | (1,379) | | (63,420) |
| Beam Therapeutics, Inc.* | (340) | | (19,482) |
| Biohaven Pharmaceutical Holding Co. Ltd. (British Virgin Islands)* | (342) | | (40,551) |
| BioMarin Pharmaceutical, Inc.* | (2,736) | | (210,946) |
| Bio-Techne Corp. | (18) | | (7,795) |
| Bluebird Bio, Inc.* | (748) | | (3,628) |
| Blueprint Medicines Corp.* | (1,280) | | (81,766) |
| Bridgebio Pharma, Inc.* | (1,963) | | (19,924) |
| Catalent, Inc.* | (123) | | (13,641) |
| ChemoCentryx, Inc.* | (491) | | (12,309) |
| Denali Therapeutics, Inc.* | (27) | | (869) |
| Elanco Animal Health, Inc.* | (1,904) | | (49,675) |
| Exact Sciences Corp.* | (2,651) | | (185,358) |
| Fate Therapeutics, Inc.* | (89) | | (3,451) |
| FibroGen, Inc.* | (878) | | (10,554) |
| Global Blood Therapeutics, Inc.* | (561) | | (19,433) |
| Intellia Therapeutics, Inc.* | (1,292) | | (93,890) |
| Intra-Cellular Therapies, Inc.* | (770) | | (47,116) |
| Iovance Biotherapeutics, Inc.* | (827) | | (13,770) |
| Kodiak Sciences, Inc.* | (448) | | (3,459) |
| Mirati Therapeutics, Inc.* | (957) | | (78,685) |
| Natera, Inc.* | (1,094) | | (44,504) |
| Nektar Therapeutics* | (1,344) | | (7,244) |
| NeoGenomics, Inc.* | (484) | | (5,881) |
The accompanying notes are an integral part of the financial statements.
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
|
| COMMON STOCKS — (Continued) |
Pharmaceuticals, Biotechnology & Life Sciences —
(Continued) |
| Neurocrine Biosciences, Inc.* | (550) | | $ (51,562) |
| Novavax, Inc.* | (196) | | (14,435) |
| PTC Therapeutics, Inc.* | (593) | | (22,125) |
| Reata Pharmaceuticals, Inc., Class A* | (158) | | (5,176) |
| Sarepta Therapeutics, Inc.* | (2,572) | | (200,925) |
| Seagen, Inc.* | (1,628) | | (234,513) |
| Sotera Health Co.* | (575) | | (12,454) |
| TG Therapeutics, Inc.* | (179) | | (1,702) |
| Turning Point Therapeutics, Inc.* | (286) | | (7,679) |
| Ultragenyx Pharmaceutical, Inc.* | (737) | | (53,521) |
| | | | (1,869,522) |
| Real Estate — (0.8)% |
| Douglas Emmett, Inc., REIT | (762) | | (25,466) |
| Equinix, Inc., REIT | (79) | | (58,588) |
| Vornado Realty Trust, REIT | (717) | | (32,494) |
| | | | (116,548) |
| Retailing — (2.7)% |
| CarMax, Inc.* | (1,110) | | (107,093) |
| Carvana Co.* | (4) | | (477) |
| Five Below, Inc.* | (553) | | (87,579) |
| Floor & Decor Holdings, Inc., Class A* | (855) | | (69,255) |
| Lithia Motors, Inc. | (338) | | (101,441) |
| Vroom, Inc.* | (985) | | (2,620) |
| Wayfair, Inc., Class A* | (121) | | (13,404) |
| | | | (381,869) |
| Semiconductors & Semiconductor Equipment — (1.7)% |
| Analog Devices, Inc. | (131) | | (21,639) |
| Azenta, Inc. | (1,154) | | (95,643) |
| Entegris, Inc. | (107) | | (14,045) |
| Wolfspeed, Inc.* | (969) | | (110,330) |
| | | | (241,657) |
| Software & Services — (6.3)% |
| Altair Engineering, Inc., Class A* | (18) | | (1,159) |
| Anaplan, Inc.* | (1,402) | | (91,200) |
| Appfolio, Inc., Class A* | (356) | | (40,303) |
| Aspen Technology, Inc.* | (58) | | (9,591) |
| BlackBerry Ltd. (Canada)* | (20,775) | | (154,982) |
| Envestnet, Inc.* | (75) | | (5,583) |
| Guidewire Software, Inc.* | (997) | | (94,336) |
| Informatica, Inc., Class A* | (150) | | (2,961) |
| LiveRamp Holdings, Inc.* | (169) | | (6,319) |
| | Number
of Shares | | Value |
|
| COMMON STOCKS — (Continued) |
| Software & Services — (Continued) |
| Mandiant, Inc.* | (1,411) | | $ (31,479) |
| nCino, Inc.* | (385) | | (15,777) |
| Nutanix, Inc., Class A* | (3,667) | | (98,349) |
| Pegasystems, Inc. | (13) | | (1,048) |
| Qualtrics International, Inc., Class A* | (1,655) | | (47,250) |
| Sailpoint Technologies Holdings, Inc.* | (206) | | (10,543) |
| Smartsheet, Inc., Class A* | (597) | | (32,704) |
| Splunk, Inc.* | (780) | | (115,916) |
| Tenable Holdings, Inc.* | (973) | | (56,230) |
| Workday, Inc., Class A* | (208) | | (49,808) |
| Zendesk, Inc.* | (211) | | (25,381) |
| | | | (890,919) |
| Technology Hardware & Equipment — (0.6)% |
| National Instruments Corp. | (23) | | (934) |
| Novanta, Inc. (Canada)* | (4) | | (569) |
| TD SYNNEX Corp. | (788) | | (81,329) |
| Ubiquiti, Inc. | (20) | | (5,823) |
| | | | (88,655) |
| Transportation — (1.2)% |
| Lyft, Inc., Class A* | (3,442) | | (132,173) |
| Uber Technologies, Inc.* | (872) | | (31,113) |
| | | | (163,286) |
| Utilities — (6.2)% |
| Algonquin Power & Utilities Corp. (Canada) | (155) | | (2,406) |
| Ameren Corp. | (317) | | (29,722) |
| American Water Works Co., Inc. | (3) | | (497) |
| Atmos Energy Corp. | (1,051) | | (125,584) |
| Avangrid, Inc. | (1,693) | | (79,131) |
| Black Hills Corp. | (366) | | (28,189) |
| Brookfield Renewable Corp., Class A (Canada) | (2,090) | | (91,542) |
| CenterPoint Energy, Inc. | (3,019) | | (92,502) |
| Entergy Corp. | (1,006) | | (117,450) |
| Essential Utilities, Inc. | (1,297) | | (66,316) |
| Eversource Energy | (583) | | (51,415) |
| Ormat Technologies, Inc. | (35) | | (2,864) |
| Pinnacle West Capital Corp. | (563) | | (43,970) |
| Southwest Gas Holdings, Inc. | (85) | | (6,655) |
| Vistra Corp. | (2,430) | | (56,497) |
The accompanying notes are an integral part of the financial statements.
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Concluded)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
|
| COMMON STOCKS — (Continued) |
| Utilities — (Continued) |
| WEC Energy Group, Inc. | (60) | | $ (5,989) |
| Xcel Energy, Inc. | (1,115) | | (80,469) |
| | | | (881,198) |
TOTAL COMMON STOCKS
(Proceeds $12,210,004) | | | (10,525,552) |
|
| |
TOTAL SHORT POSITIONS - (74.5)%
(Proceeds $12,210,004) | | (10,525,552) |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 1.3% | | | 186,062 |
| NET ASSETS - 100.0% | | | $ 14,117,101 |
| † | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. (See Note 1 of the Notes to Financial Statements) |
| * | Non-income producing. |
| PLC | Public Limited Company |
| REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of the financial statements.
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — 84.5% |
| Automobiles & Components — 1.2% |
| BorgWarner, Inc.(a) | 240 | | $ 9,336 |
| Ford Motor Co.(a) | 998 | | 16,876 |
| Harley-Davidson, Inc. | 8 | | 315 |
| Thor Industries, Inc.(a) | 335 | | 26,365 |
| | | | 52,892 |
| Capital Goods — 4.9% |
| A.O. Smith Corp.(a) | 155 | | 9,903 |
| AECOM (a) | 105 | | 8,065 |
| Atkore, Inc.* | 26 | | 2,560 |
| Builders FirstSource, Inc.(a)* | 600 | | 38,724 |
| BWX Technologies, Inc. | 31 | | 1,670 |
| Colfax Corp.* | 43 | | 1,711 |
| Fortune Brands Home & Security, Inc. | 3 | | 223 |
| General Electric Co.(a) | 302 | | 27,633 |
| Graco, Inc. | 11 | | 767 |
| ITT, Inc. | 99 | | 7,446 |
| Lockheed Martin Corp. | 23 | | 10,152 |
| Nordson Corp. | 4 | | 908 |
| nVent Electric PLC (Ireland) | 24 | | 835 |
| Raytheon Technologies Corp. | 17 | | 1,684 |
| Roper Technologies, Inc.(a) | 84 | | 39,667 |
| Simpson Manufacturing Co., Inc. | 10 | | 1,090 |
| Spirit AeroSystems Holdings, Inc., Class A(a) | 803 | | 39,259 |
| Timken Co. (The) | 1 | | 61 |
| Trex Co., Inc.* | 71 | | 4,638 |
| UFP Industries, Inc.(a) | 68 | | 5,247 |
| Zurn Water Solutions Corp.(a) | 176 | | 6,230 |
| | | | 208,473 |
| Commercial & Professional Services — 1.5% |
| Cintas Corp.(a) | 79 | | 33,606 |
| KBR, Inc. | 19 | | 1,040 |
| Tetra Tech, Inc.(a) | 184 | | 30,349 |
| | | | 64,995 |
| Consumer Durables & Apparel — 1.2% |
| BRP, Inc., sub-voting shares (Canada) | 11 | | 900 |
| Crocs, Inc.(a)* | 164 | | 12,529 |
| Mattel, Inc.(a)* | 433 | | 9,617 |
| Mohawk Industries, Inc.* | 19 | | 2,360 |
| Ralph Lauren Corp.(a) | 113 | | 12,819 |
| Skyline Champion Corp.(a)* | 93 | | 5,104 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Consumer Durables & Apparel — (Continued) |
| Tempur Sealy International, Inc. | 22 | | $ 614 |
| Whirlpool Corp.(a) | 43 | | 7,429 |
| | | | 51,372 |
| Consumer Services — 1.9% |
| Airbnb, Inc., Class A(a)* | 123 | | 21,127 |
| Boyd Gaming Corp. | 16 | | 1,052 |
| Bright Horizons Family Solutions, Inc.* | 27 | | 3,583 |
| Darden Restaurants, Inc. | 34 | | 4,520 |
| McDonald's Corp.(a) | 54 | | 13,353 |
| MGM Resorts International(a) | 519 | | 21,767 |
| Restaurant Brands International, Inc. (Canada) | 2 | | 117 |
| Texas Roadhouse, Inc. | 11 | | 921 |
| Wyndham Hotels & Resorts, Inc. | 35 | | 2,964 |
| Wynn Resorts Ltd.(a)* | 166 | | 13,237 |
| | | | 82,641 |
| Energy — 9.6% |
| Canadian Natural Resources Ltd. (Canada) | 880 | | 54,542 |
| Cheniere Energy, Inc. | 214 | | 29,671 |
| Chevron Corp.(a) | 205 | | 33,380 |
| DT Midstream, Inc. | 8 | | 434 |
| EOG Resources, Inc.(a) | 231 | | 27,542 |
| Exxon Mobil Corp.(a) | 788 | | 65,081 |
| Imperial Oil Ltd. (Canada) | 221 | | 10,679 |
| Marathon Oil Corp.(a) | 1,649 | | 41,406 |
| Marathon Petroleum Corp.(a) | 717 | | 61,304 |
| PDC Energy, Inc.(a) | 343 | | 24,929 |
| Pembina Pipeline Corp. (Canada) | 151 | | 5,678 |
| Phillips 66(a) | 49 | | 4,233 |
| Range Resources Corp.* | 23 | | 699 |
| Suncor Energy, Inc. (Canada) | 1,626 | | 52,991 |
| | | | 412,569 |
| Food & Staples Retailing — 0.5% |
| Walgreens Boots Alliance, Inc.(a) | 447 | | 20,012 |
| Food, Beverage & Tobacco — 5.8% |
| Altria Group, Inc. | 24 | | 1,254 |
| Brown-Forman Corp., Class B(a) | 431 | | 28,886 |
| Bunge Ltd. (Bermuda) | 93 | | 10,305 |
| Darling Ingredients, Inc.(a)* | 426 | | 34,242 |
| Hormel Foods Corp.(a) | 704 | | 36,284 |
| Mondelez International, Inc., Class A(a) | 430 | | 26,995 |
| Philip Morris International, Inc.(a) | 609 | | 57,210 |
The accompanying notes are an integral part of the financial statements.
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Food, Beverage & Tobacco — (Continued) |
| Post Holdings, Inc.* | 24 | | $ 1,662 |
| Sanderson Farms, Inc.(a) | 47 | | 8,812 |
| Tyson Foods, Inc., Class A(a) | 462 | | 41,409 |
| | | | 247,059 |
| Health Care Equipment & Services — 3.4% |
| Abbott Laboratories(a) | 226 | | 26,749 |
| Align Technology, Inc.* | 2 | | 872 |
| AMN Healthcare Services, Inc.(a)* | 104 | | 10,850 |
| Centene Corp.* | 15 | | 1,263 |
| Cerner Corp.(a) | 453 | | 42,383 |
| DaVita, Inc.(a)* | 98 | | 11,085 |
| Inari Medical, Inc.* | 13 | | 1,178 |
| Option Care Health, Inc.(a)* | 283 | | 8,082 |
| Ortho Clinical Diagnostics Holdings PLC (United Kingdom)* | 386 | | 7,203 |
| Tandem Diabetes Care, Inc.* | 1 | | 116 |
| Teleflex, Inc.(a) | 72 | | 25,548 |
| Universal Health Services, Inc., Class B | 65 | | 9,422 |
| | | | 144,751 |
| Household & Personal Products — 2.2% |
| Church & Dwight Co., Inc. | 11 | | 1,093 |
| Colgate-Palmolive Co.(a) | 220 | | 16,683 |
| Estee Lauder Cos., Inc. (The), Class A(a) | 63 | | 17,156 |
| Kimberly-Clark Corp.(a) | 96 | | 11,823 |
| Procter & Gamble Co. (The)(a) | 321 | | 49,049 |
| | | | 95,804 |
| Materials — 6.3% |
| Avient Corp. | 56 | | 2,688 |
| Balchem Corp. | 20 | | 2,734 |
| CF Industries Holdings, Inc.(a) | 86 | | 8,863 |
| Corteva, Inc.(a) | 798 | | 45,869 |
| DuPont de Nemours, Inc.(a) | 542 | | 39,880 |
| Eagle Materials, Inc.(a) | 122 | | 15,660 |
| Eastman Chemical Co. | 48 | | 5,379 |
| FMC Corp.(a) | 133 | | 17,499 |
| Huntsman Corp.(a) | 977 | | 36,647 |
| International Paper Co.(a) | 301 | | 13,891 |
| Nutrien Ltd. (Canada) | 293 | | 30,469 |
| Reliance Steel & Aluminum Co. | 30 | | 5,501 |
| Royal Gold, Inc. | 4 | | 565 |
| Sealed Air Corp. | 48 | | 3,214 |
| Silgan Holdings, Inc. | 34 | | 1,572 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Materials — (Continued) |
| SSR Mining, Inc. (Canada) | 57 | | $ 1,240 |
| Yamana Gold, Inc. (Canada) | 6,638 | | 37,040 |
| | | | 268,711 |
| Media & Entertainment — 3.3% |
| AMC Entertainment Holdings, Inc., Class A* | 505 | | 12,443 |
| Charter Communications, Inc., Class A(a)* | 99 | | 54,006 |
| Discovery, Inc., Class A* | 289 | | 7,202 |
| News Corp., Class A(a) | 1,554 | | 34,421 |
| Take-Two Interactive Software, Inc.(a)* | 10 | | 1,537 |
| Walt Disney Co. (The)(a)* | 168 | | 23,043 |
| Ziff Davis, Inc.(a)* | 97 | | 9,388 |
| | | | 142,040 |
| Pharmaceuticals, Biotechnology & Life Sciences — 6.1% |
| Agilent Technologies, Inc. | 8 | | 1,059 |
| Bausch Health Cos., Inc. (Canada)* | 15 | | 343 |
| Bio-Rad Laboratories, Inc., Class A* | 2 | | 1,126 |
| Bio-Techne Corp.(a) | 19 | | 8,228 |
| Bristol-Myers Squibb Co.(a) | 165 | | 12,050 |
| Charles River Laboratories International, Inc.(a)* | 34 | | 9,655 |
| Elanco Animal Health, Inc.(a)* | 1,695 | | 44,223 |
| Gilead Sciences, Inc.(a) | 378 | | 22,472 |
| Horizon Therapeutics PLC (Ireland)* | 127 | | 13,362 |
| Ionis Pharmaceuticals, Inc.* | 201 | | 7,445 |
| Moderna, Inc.(a)* | 452 | | 77,861 |
| Perrigo Co. PLC (Ireland) | 722 | | 27,746 |
| Regeneron Pharmaceuticals, Inc.(a)* | 15 | | 10,476 |
| Sarepta Therapeutics, Inc.(a)* | 117 | | 9,140 |
| Viatris, Inc.(a) | 1,437 | | 15,635 |
| | | | 260,821 |
| Retailing — 5.1% |
| Advance Auto Parts, Inc.(a) | 71 | | 14,694 |
| AutoZone, Inc.(a)* | 15 | | 30,669 |
| Bath & Body Works, Inc.(a) | 1,115 | | 53,297 |
| Dick's Sporting Goods, Inc. | 43 | | 4,301 |
| Dollar General Corp.(a) | 70 | | 15,584 |
| eBay, Inc.(a) | 106 | | 6,070 |
| Lowe's Cos., Inc.(a) | 56 | | 11,323 |
| Macy's, Inc. | 19 | | 463 |
| Nordstrom, Inc. | 36 | | 976 |
| O'Reilly Automotive, Inc.(a)* | 65 | | 44,522 |
| RH * | 3 | | 978 |
The accompanying notes are an integral part of the financial statements.
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Retailing — (Continued) |
| Signet Jewelers Ltd. (Bermuda) | 3 | | $ 218 |
| Target Corp.(a) | 74 | | 15,704 |
| Ulta Beauty, Inc.(a)* | 46 | | 18,318 |
| Williams-Sonoma, Inc. | 1 | | 145 |
| | | | 217,262 |
| Semiconductors & Semiconductor Equipment — 10.4% |
| Advanced Micro Devices, Inc.(a)* | 803 | | 87,800 |
| Allegro MicroSystems, Inc.(a)* | 445 | | 12,638 |
| Amkor Technology, Inc. | 82 | | 1,781 |
| Broadcom, Inc.(a) | 141 | | 88,785 |
| Diodes, Inc.(a)* | 101 | | 8,786 |
| Lattice Semiconductor Corp.(a)* | 575 | | 35,046 |
| Micron Technology, Inc.(a) | 1,030 | | 80,227 |
| Onto Innovation, Inc.(a)* | 75 | | 6,517 |
| Power Integrations, Inc.(a) | 74 | | 6,858 |
| QUALCOMM, Inc.(a) | 523 | | 79,925 |
| Semtech Corp.(a)* | 266 | | 18,444 |
| Silicon Laboratories, Inc.(a)* | 74 | | 11,115 |
| Synaptics, Inc.* | 32 | | 6,384 |
| | | | 444,306 |
| Software & Services — 11.1% |
| Autodesk, Inc.(a)* | 86 | | 18,434 |
| CGI, Inc. (Canada)* | 15 | | 1,197 |
| Concentrix Corp. | 1 | | 167 |
| Datadog, Inc., Class A(a)* | 168 | | 25,447 |
| Descartes Systems Group, Inc. (The) (Canada)* | 17 | | 1,245 |
| DigitalOcean Holdings, Inc.* | 49 | | 2,835 |
| DXC Technology Co.(a)* | 644 | | 21,014 |
| Euronet Worldwide, Inc.(a)* | 111 | | 14,447 |
| Fair Isaac Corp.(a)* | 89 | | 41,515 |
| Gartner, Inc.(a)* | 24 | | 7,139 |
| Global Payments, Inc.(a) | 60 | | 8,210 |
| Globant S.A. (Luxembourg)* | 11 | | 2,883 |
| GoDaddy, Inc., Class A(a)* | 192 | | 16,070 |
| HubSpot, Inc.(a)* | 99 | | 47,019 |
| International Business Machines Corp.(a) | 630 | | 81,913 |
| Mastercard, Inc., Class A(a) | 84 | | 30,020 |
| MongoDB, Inc.(a)* | 104 | | 46,133 |
| NortonLifeLock, Inc. | 466 | | 12,358 |
| Paychex, Inc. | 108 | | 14,739 |
| Paycom Software, Inc.(a)* | 85 | | 29,442 |
| SPS Commerce, Inc.* | 5 | | 656 |
| Synopsys, Inc.(a)* | 70 | | 23,329 |
| Varonis Systems, Inc.* | 16 | | 761 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Software & Services — (Continued) |
| VeriSign, Inc.* | 1 | | $ 222 |
| Western Union Co. (The)(a) | 1,521 | | 28,504 |
| Zendesk, Inc.* | 3 | | 361 |
| | | | 476,060 |
| Technology Hardware & Equipment — 5.5% |
| Cisco Systems, Inc.(a) | 1,093 | | 60,946 |
| Corning, Inc.(a) | 1,203 | | 44,403 |
| Dell Technologies, Inc., Class C(a) | 74 | | 3,714 |
| Hewlett Packard Enterprise Co. | 50 | | 836 |
| IPG Photonics Corp.(a)* | 204 | | 22,391 |
| Jabil, Inc.(a) | 548 | | 33,828 |
| Pure Storage, Inc., Class A(a)* | 537 | | 18,961 |
| Seagate Technology Holdings PLC (Ireland) | 555 | | 49,894 |
| | | | 234,973 |
| Telecommunication Services — 1.2% |
| T-Mobile US, Inc.(a)* | 411 | | 52,752 |
| Transportation — 2.5% |
| Expeditors International of Washington, Inc.(a) | 240 | | 24,759 |
| FedEx Corp.(a) | 168 | | 38,874 |
| Kirby Corp.* | 2 | | 144 |
| Matson, Inc.(a) | 147 | | 17,731 |
| Old Dominion Freight Line, Inc.(a) | 71 | | 21,206 |
| United Parcel Service, Inc., Class B(a) | 13 | | 2,788 |
| | | | 105,502 |
| Utilities — 0.8% |
| AES Corp. (The)(a) | 920 | | 23,672 |
| American Electric Power Co., Inc.(a) | 121 | | 12,072 |
| Southern Co. (The) | 2 | | 145 |
| | | | 35,889 |
TOTAL COMMON STOCKS
(Cost $3,551,544) | | | 3,618,884 |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 15.5% | | | 662,628 |
| NET ASSETS - 100.0% | | | $ 4,281,512 |
| (a) | Security position is either entirely or partially designated as collateral for total return swaps. (See Note 1 of the Notes to Financial Statements) |
| * | Non-income producing. |
| PLC | Public Limited Company |
The accompanying notes are an integral part of the financial statements.
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Over-the-counter total return swaps outstanding as of March 31, 2022
The Fund maintains a portfolio of long and short positions and receives/pays a rebate based upon the Fed Funds 1-Day Rate less a specified spread as negotiated by the parties. The notional gain or loss, dividends payable and rebates are payable the earlier of maturity of the swaps or upon termination. The portfolio matures between May 4, 2022 and January 5, 2026, however underlying individual contracts are entered into and closed (terminated) on a daily basis. The cash amounts payable/receivable due to individual contracts being closed are settled, on a net basis, once a week. The value of total return swaps represents (133.1)% of net assets as of March 31, 2022.
The following table represents the individual long and short positions and related values of total return swaps as of March 31, 2022:
Total Return Swaps
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Long | | | | | | | | | | |
| Automobiles & Components | | | | | | | | |
| BorgWarner, Inc. | | Morgan Stanley | | 57 | | $ 2,210 | | $ 2,217 | | $ 6 |
| Ford Motor Co. | | Morgan Stanley | | 150 | | 2,406 | | 2,537 | | 153 |
| Thor Industries, Inc. | | Morgan Stanley | | 39 | | 3,278 | | 3,069 | | (210) |
| | | | | 246 | | 7,894 | | 7,823 | | (51) |
| Capital Goods | | | | | | | | |
| A O Smith Corp. | | Morgan Stanley | | 23 | | 1,540 | | 1,469 | | (72) |
| Atkore, Inc. | | Morgan Stanley | | 3 | | 307 | | 295 | | (14) |
| Builders FirstSource, Inc. | | Morgan Stanley | | 167 | | 12,277 | | 10,778 | | (1,496) |
| BWX Technologies, Inc. | | Morgan Stanley | | 1 | | 54 | | 54 | | (30) |
| Colfax Corp. | | Morgan Stanley | | 12 | | 465 | | 477 | | 10 |
| General Electric Co. | | Morgan Stanley | | 10 | | 924 | | 915 | | (11) |
| Graco, Inc. | | Morgan Stanley | | 3 | | 207 | | 209 | | — |
| ITT, Inc. | | Morgan Stanley | | 10 | | 771 | | 752 | | (21) |
| Lockheed Martin Corp. | | Morgan Stanley | | 2 | | 867 | | 883 | | 14 |
| nVent Electric PLC (Ireland) | | Morgan Stanley | | 3 | | 103 | | 104 | | (1) |
| Raytheon Technologies Corp. | | Morgan Stanley | | 3 | | 301 | | 297 | | (6) |
| Roper Technologies, Inc. | | Morgan Stanley | | 4 | | 1,775 | | 1,889 | | 113 |
| Spirit AeroSystems Holdings, Inc., Class A | | Morgan Stanley | | 86 | | 3,958 | | 4,205 | | 247 |
| Trex Co., Inc. | | Morgan Stanley | | 9 | | 624 | | 588 | | (38) |
| UFP Industries, Inc. | | Morgan Stanley | | 14 | | 1,171 | | 1,080 | | (92) |
| Zurn Water Solutions Corp. | | Morgan Stanley | | 4 | | 137 | | 142 | | 2 |
| | | | | 354 | | 25,481 | | 24,137 | | (1,395) |
| Commercial & Professional Services | | | | | | | | |
| Cintas Corp. | | Morgan Stanley | | 9 | | 3,727 | | 3,829 | | 100 |
| KBR, Inc. | | Morgan Stanley | | 2 | | 109 | | 109 | | (2) |
| | | | | 11 | | 3,836 | | 3,938 | | 98 |
| Consumer Durables & Apparel | | | | | | | | |
| Crocs, Inc. | | Morgan Stanley | | 7 | | 570 | | 535 | | (41) |
| Mattel, Inc. | | Morgan Stanley | | 62 | | 1,496 | | 1,377 | | (121) |
| Mohawk Industries, Inc. | | Morgan Stanley | | 1 | | 127 | | 124 | | (5) |
| Ralph Lauren Corp. | | Morgan Stanley | | 4 | | 422 | | 454 | | 32 |
| Tempur Sealy International, Inc. | | Morgan Stanley | | 5 | | 141 | | 140 | | (4) |
| Whirlpool Corp. | | Morgan Stanley | | 5 | | 907 | | 864 | | (46) |
| | | | | 84 | | 3,663 | | 3,494 | | (185) |
The accompanying notes are an integral part of the financial statements.
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Consumer Services | | | | | | | | |
| Bright Horizons Family Solutions, Inc. | | Morgan Stanley | | 3 | | $ 387 | | $ 398 | | $ 9 |
| Darden Restaurants, Inc. | | Morgan Stanley | | 3 | | 401 | | 399 | | (4) |
| McDonald's Corp. | | Morgan Stanley | | 7 | | 1,656 | | 1,731 | | 73 |
| MGM Resorts International | | Morgan Stanley | | 108 | | 4,616 | | 4,530 | | (87) |
| Restaurant Brands International, Inc. (Canada) | | Morgan Stanley | | 1 | | 59 | | 58 | | (3) |
| Texas Roadhouse, Inc. | | Morgan Stanley | | 1 | | 82 | | 84 | | — |
| Wynn Resorts Ltd. | | Morgan Stanley | | 19 | | 1,504 | | 1,515 | | 9 |
| | | | | 142 | | 8,705 | | 8,715 | | (3) |
| Energy | | | | | | | | |
| Canadian Natural Resources Ltd. (Canada) | | Morgan Stanley | | 52 | | 3,185 | | 3,223 | | 48 |
| Cheniere Energy, Inc. | | Morgan Stanley | | 76 | | 9,979 | | 10,537 | | 560 |
| Chevron Corp. | | Morgan Stanley | | 4 | | 657 | | 651 | | (8) |
| DT Midstream, Inc. | | Morgan Stanley | | 1 | | 54 | | 54 | | (2) |
| EOG Resources, Inc. | | Morgan Stanley | | 101 | | 11,817 | | 12,042 | | 325 |
| Exxon Mobil Corp. | | Morgan Stanley | | 13 | | 1,003 | | 1,074 | | 68 |
| Imperial Oil Ltd. (Canada) | | Morgan Stanley | | 11 | | 486 | | 532 | | 43 |
| Marathon Oil Corp. | | Morgan Stanley | | 235 | | 5,431 | | 5,901 | | 470 |
| Marathon Petroleum Corp. | | Morgan Stanley | | 167 | | 13,051 | | 14,279 | | 1,230 |
| PDC Energy, Inc. | | Morgan Stanley | | 74 | | 5,102 | | 5,378 | | 288 |
| Pembina Pipeline Corp. (Canada) | | Morgan Stanley | | 88 | | 3,122 | | 3,309 | | 195 |
| Phillips 66 | | Morgan Stanley | | 16 | | 1,268 | | 1,382 | | 130 |
| Suncor Energy, Inc. (Canada) | | Morgan Stanley | | 8 | | 237 | | 261 | | 21 |
| | | | | 846 | | 55,392 | | 58,623 | | 3,368 |
| Food & Staples Retailing | | | | | | | | |
| Walgreens Boots Alliance, Inc. | | Morgan Stanley | | 48 | | 2,257 | | 2,149 | | (109) |
| Food, Beverage & Tobacco | | | | | | | | |
| Altria Group, Inc. | | Morgan Stanley | | 1 | | 52 | | 52 | | (2) |
| Brown-Forman Corp., Class B | | Morgan Stanley | | 45 | | 2,912 | | 3,016 | | 103 |
| Bunge Ltd. (Bermuda) | | Morgan Stanley | | 2 | | 214 | | 222 | | 5 |
| Darling Ingredients, Inc. | | Morgan Stanley | | 81 | | 6,166 | | 6,511 | | 345 |
| Hormel Foods Corp. | | Morgan Stanley | | 137 | | 6,867 | | 7,061 | | 194 |
| Mondelez International, Inc., Class A | | Morgan Stanley | | 51 | | 3,088 | | 3,202 | | 130 |
| Philip Morris International, Inc. | | Morgan Stanley | | 171 | | 16,797 | | 16,064 | | (520) |
| Post Holdings, Inc. | | Morgan Stanley | | 3 | | 202 | | 208 | | 4 |
| Sanderson Farms, Inc. | | Morgan Stanley | | 2 | | 357 | | 375 | | 16 |
| Tyson Foods, Inc., Class A | | Morgan Stanley | | 39 | | 3,351 | | 3,496 | | 143 |
| | | | | 532 | | 40,006 | | 40,207 | | 418 |
| Health Care Equipment & Services | | | | | | | | |
| Abbott Laboratories | | Morgan Stanley | | 13 | | 1,551 | | 1,539 | | (14) |
| AMN Healthcare Services, Inc. | | Morgan Stanley | | 7 | | 697 | | 730 | | 31 |
| Centene Corp. | | Morgan Stanley | | 2 | | 169 | | 168 | | (3) |
| Cerner Corp. | | Morgan Stanley | | 105 | | 9,810 | | 9,824 | | 38 |
| DaVita, Inc. | | Morgan Stanley | | 16 | | 1,787 | | 1,810 | | 21 |
| Inari Medical, Inc. | | Morgan Stanley | | 3 | | 258 | | 272 | | 11 |
| Option Care Health, Inc. | | Morgan Stanley | | 70 | | 1,809 | | 1,999 | | 189 |
| Tandem Diabetes Care, Inc. | | Morgan Stanley | | 1 | | 110 | | 116 | | 4 |
The accompanying notes are an integral part of the financial statements.
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Health Care Equipment & Services — (continued) | | | | | | | | |
| Teleflex, Inc. | | Morgan Stanley | | 27 | | $ 9,070 | | $ 9,580 | | $ 520 |
| Universal Health Services, Inc., Class B | | Morgan Stanley | | 8 | | 1,172 | | 1,160 | | (27) |
| | | | | 252 | | 26,433 | | 27,198 | | 770 |
| Household & Personal Products | | | | | | | | |
| Colgate-Palmolive Co. | | Morgan Stanley | | 17 | | 1,259 | | 1,289 | | 28 |
| Estee Lauder Cos., Inc. (The), Class A | | Morgan Stanley | | 4 | | 1,034 | | 1,089 | | 54 |
| Kimberly-Clark Corp. | | Morgan Stanley | | 9 | | 1,086 | | 1,108 | | 21 |
| Procter & Gamble Co. (The) | | Morgan Stanley | | 36 | | 5,244 | | 5,501 | | 256 |
| | | | | 66 | | 8,623 | | 8,987 | | 359 |
| Materials | | | | | | | | |
| Avient Corp. | | Morgan Stanley | | 2 | | 97 | | 96 | | (4) |
| Balchem Corp. | | Morgan Stanley | | 2 | | 267 | | 273 | | 4 |
| CF Industries Holdings, Inc. | | Morgan Stanley | | 8 | | 778 | | 824 | | 44 |
| DuPont de Nemours, Inc. | | Morgan Stanley | | 35 | | 2,589 | | 2,575 | | (15) |
| Eagle Materials, Inc. | | Morgan Stanley | | 6 | | 781 | | 770 | | (13) |
| Eastman Chemical Co. | | Morgan Stanley | | 6 | | 650 | | 672 | | 21 |
| Huntsman Corp. | | Morgan Stanley | | 163 | | 6,309 | | 6,114 | | (195) |
| International Paper Co. | | Morgan Stanley | | 3 | | 124 | | 138 | | 12 |
| Nutrien Ltd. (Canada) | | Morgan Stanley | | 4 | | 401 | | 416 | | 14 |
| Reliance Steel & Aluminum Co. | | Morgan Stanley | | 3 | | 555 | | 550 | | (7) |
| Sealed Air Corp. | | Morgan Stanley | | 3 | | 183 | | 201 | | 16 |
| SSR Mining, Inc. (Canada) | | Morgan Stanley | | 8 | | 174 | | 174 | | (3) |
| Yamana Gold, Inc. (Canada) | | Morgan Stanley | | 1,365 | | 7,077 | | 7,617 | | 575 |
| | | | | 1,608 | | 19,985 | | 20,420 | | 449 |
| Media & Entertainment | | | | | | | | |
| AMC Entertainment Holdings, Inc., Class A | | Morgan Stanley | | 58 | | 1,564 | | 1,429 | | (136) |
| Charter Communications, Inc., Class A | | Morgan Stanley | | 4 | | 2,256 | | 2,182 | | (75) |
| Discovery, Inc. | | Morgan Stanley | | 17 | | 436 | | 424 | | (15) |
| News Corp., Class A | | Morgan Stanley | | 85 | | 1,867 | | 1,883 | | 23 |
| Take-Two Interactive Software, Inc. | | Morgan Stanley | | 6 | | 851 | | 922 | | 69 |
| Walt Disney Co/The | | Morgan Stanley | | 12 | | 1,662 | | 1,646 | | (18) |
| Ziff Davis, Inc. | | Morgan Stanley | | 14 | | 1,377 | | 1,355 | | (24) |
| | | | | 196 | | 10,013 | | 9,841 | | (176) |
| Pharmaceuticals, Biotechnology & Life Sciences | | | | | | | | |
| Agilent Technologies, Inc. | | Morgan Stanley | | 1 | | 135 | | 132 | | (6) |
| Bausch Health Cos., Inc. (Canada) | | Morgan Stanley | | 1 | | 23 | | 23 | | (3) |
| Elanco Animal Health, Inc. | | Morgan Stanley | | 350 | | 9,789 | | 9,132 | | (657) |
| Gilead Sciences, Inc. | | Morgan Stanley | | 40 | | 2,361 | | 2,378 | | 15 |
| Horizon Therapeutics PLC (Ireland) | | Morgan Stanley | | 13 | | 1,378 | | 1,368 | | (12) |
| Ionis Pharmaceuticals, Inc. | | Morgan Stanley | | 36 | | 1,231 | | 1,333 | | 100 |
| Perrigo Co. PLC (Ireland) | | Morgan Stanley | | 57 | | 2,135 | | 2,191 | | 54 |
| Sarepta Therapeutics, Inc. | | Morgan Stanley | | 19 | | 1,517 | | 1,484 | | (34) |
| Viatris, Inc. | | Morgan Stanley | | 175 | | 1,800 | | 1,904 | | 102 |
| | | | | 692 | | 20,369 | | 19,945 | | (441) |
| Retailing | | | | | | | | |
| Bath & Body Works, Inc. | | Morgan Stanley | | 29 | | 1,431 | | 1,386 | | (47) |
| Dick's Sporting Goods, Inc. | | Morgan Stanley | | 5 | | 510 | | 500 | | (12) |
The accompanying notes are an integral part of the financial statements.
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Retailing — (continued) | | | | | | | | |
| Dollar General Corp. | | Morgan Stanley | | 7 | | $ 1,550 | | $ 1,558 | | $ 7 |
| eBay, Inc. | | Morgan Stanley | | 124 | | 6,703 | | 7,100 | | 677 |
| Lowe's Cos., Inc. | | Morgan Stanley | | 8 | | 1,725 | | 1,618 | | (109) |
| Macy's, Inc. | | Morgan Stanley | | 1 | | 25 | | 24 | | (3) |
| Nordstrom, Inc. | | Morgan Stanley | | 3 | | 80 | | 81 | | (1) |
| O'Reilly Automotive, Inc. | | Morgan Stanley | | 7 | | 4,672 | | 4,795 | | 122 |
| Target Corp. | | Morgan Stanley | | 10 | | 2,121 | | 2,122 | | — |
| Ulta Beauty, Inc. | | Morgan Stanley | | 5 | | 1,849 | | 1,991 | | 141 |
| | | | | 199 | | 20,666 | | 21,175 | | 775 |
| Semiconductors & Semiconductor Equipment | | | | | | | | |
| Advanced Micro Devices, Inc. | | Morgan Stanley | | 14 | | 1,460 | | 1,531 | | 69 |
| Amkor Technology, Inc. | | Morgan Stanley | | 2 | | 45 | | 43 | | (4) |
| Broadcom, Inc. | | Morgan Stanley | | 4 | | 2,294 | | 2,519 | | 240 |
| Lattice Semiconductor Corp. | | Morgan Stanley | | 68 | | 4,102 | | 4,145 | | 42 |
| Micron Technology, Inc. | | Morgan Stanley | | 61 | | 4,455 | | 4,751 | | 295 |
| QUALCOMM, Inc. | | Morgan Stanley | | 11 | | 1,606 | | 1,681 | | 73 |
| Semtech Corp. | | Morgan Stanley | | 20 | | 1,407 | | 1,387 | | (23) |
| Synaptics, Inc. | | Morgan Stanley | | 4 | | 840 | | 798 | | (44) |
| | | | | 184 | | 16,209 | | 16,855 | | 648 |
| Software & Services | | | | | | | | |
| Datadog, Inc., Class A | | Morgan Stanley | | 17 | | 2,565 | | 2,575 | | 9 |
| DigitalOcean Holdings, Inc. | | Morgan Stanley | | 6 | | 369 | | 347 | | (24) |
| DXC Technology Co. | | Morgan Stanley | | 132 | | 4,148 | | 4,307 | | 159 |
| Euronet Worldwide, Inc. | | Morgan Stanley | | 26 | | 3,018 | | 3,384 | | 365 |
| Fair Isaac Corp. | | Morgan Stanley | | 25 | | 11,929 | | 11,662 | | (265) |
| Global Payments, Inc. | | Morgan Stanley | | 25 | | 3,300 | | 3,421 | | 126 |
| Globant SA (Luxembourg) | | Morgan Stanley | | 1 | | 264 | | 262 | | (4) |
| GoDaddy, Inc., Class A | | Morgan Stanley | | 23 | | 1,799 | | 1,925 | | 125 |
| HubSpot, Inc. | | Morgan Stanley | | 10 | | 4,853 | | 4,749 | | (104) |
| International Business Machines Corp. | | Morgan Stanley | | 1 | | 124 | | 130 | | 4 |
| Mastercard, Inc., Class A | | Morgan Stanley | | 82 | | 28,111 | | 29,305 | | 1,267 |
| MongoDB, Inc. | | Morgan Stanley | | 11 | | 4,660 | | 4,880 | | 219 |
| NortonLifeLock, Inc. | | Morgan Stanley | | 62 | | 1,668 | | 1,644 | | (26) |
| Paychex, Inc. | | Morgan Stanley | | 14 | | 1,919 | | 1,911 | | (10) |
| SPS Commerce, Inc. | | Morgan Stanley | | 1 | | 129 | | 131 | | — |
| Synopsys, Inc. | | Morgan Stanley | | 7 | | 2,119 | | 2,333 | | 264 |
| Varonis Systems, Inc. | | Morgan Stanley | | 1 | | 48 | | 48 | | (3) |
| Western Union Co/The | | Morgan Stanley | | 336 | | 5,930 | | 6,297 | | 441 |
| | | | | 780 | | 76,953 | | 79,311 | | 2,543 |
| Technology Hardware & Equipment | | | | | | | | |
| Cisco Systems, Inc. | | Morgan Stanley | | 141 | | 7,775 | | 7,862 | | 87 |
| Corning, Inc. | | Morgan Stanley | | 255 | | 9,824 | | 9,412 | | (411) |
| Dell Technologies, Inc., Class C | | Morgan Stanley | | 27 | | 1,353 | | 1,355 | | 46 |
| Hewlett Packard Enterprise Co. | | Morgan Stanley | | 6 | | 102 | | 100 | | (6) |
| IPG Photonics Corp. | | Morgan Stanley | | 7 | | 827 | | 768 | | (61) |
| Jabil, Inc. | | Morgan Stanley | | 40 | | 2,462 | | 2,469 | | 6 |
The accompanying notes are an integral part of the financial statements.
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Technology Hardware & Equipment — (continued) | | | | | | | | |
| Pure Storage, Inc., Class A | | Morgan Stanley | | 46 | | $ 1,588 | | $ 1,624 | | $ 34 |
| Seagate Technology Holdings PLC (Ireland) | | Morgan Stanley | | 69 | | 6,609 | | 6,203 | | (371) |
| | | | | 591 | | 30,540 | | 29,793 | | (676) |
| Telecommunication Services | | | | | | | | |
| T-Mobile US, Inc. | | Morgan Stanley | | 6 | | 737 | | 770 | | 31 |
| Transportation | | | | | | | | |
| Expeditors International of Washington, Inc. | | Morgan Stanley | | 15 | | 1,520 | | 1,547 | | 25 |
| FedEx Corp. | | Morgan Stanley | | 18 | | 4,028 | | 4,165 | | 112 |
| Matson, Inc. | | Morgan Stanley | | 34 | | 3,697 | | 4,101 | | 403 |
| Old Dominion Freight Line, Inc. | | Morgan Stanley | | 8 | | 2,492 | | 2,389 | | (104) |
| United Parcel Service, Inc., Class B | | Morgan Stanley | | 21 | | 4,347 | | 4,504 | | 156 |
| | | | | 96 | | 16,084 | | 16,706 | | 592 |
| Utilities | | | | | | | | |
| AES Corp. (The) | | Morgan Stanley | | 41 | | 897 | | 1,055 | | 270 |
| American Electric Power Co., Inc. | | Morgan Stanley | | 8 | | 771 | | 798 | | 25 |
| | | | | 49 | | 1,668 | | 1,853 | | 295 |
|
|
| Total Reference Entity — Long | | | | | | 395,514 | | 401,940 | | 7,310 |
| Short | | | | | | | | | | |
| Automobiles & Components | | | | | | | | |
| Adient PLC (Ireland) | | Morgan Stanley | | (710) | | (33,502) | | (28,947) | | 4,546 |
| Fox Factory Holding Corp. | | Morgan Stanley | | (137) | | (14,359) | | (13,419) | | 934 |
| Gentex Corp. | | Morgan Stanley | | (174) | | (5,527) | | (5,076) | | 448 |
| Goodyear Tire & Rubber Co. (The) | | Morgan Stanley | | (925) | | (17,777) | | (13,218) | | 4,552 |
| Rivian Automotive, Inc., Class A | | Morgan Stanley | | (241) | | (8,618) | | (12,108) | | (3,494) |
| | | | | (2,187) | | (79,783) | | (72,768) | | 6,986 |
| Capital Goods | | | | | | | | |
| Acuity Brands, Inc. | | Morgan Stanley | | (2) | | (386) | | (379) | | 5 |
| Advanced Drainage Systems, Inc. | | Morgan Stanley | | (347) | | (42,178) | | (41,227) | | 891 |
| AGCO Corp. | | Morgan Stanley | | (30) | | (4,235) | | (4,381) | | (149) |
| Allegion PLC (Ireland) | | Morgan Stanley | | (1) | | (118) | | (110) | | 221 |
| API Group Corp. | | Morgan Stanley | | (8) | | (163) | | (168) | | (51) |
| Axon Enterprise, Inc. | | Morgan Stanley | | (81) | | (10,315) | | (11,156) | | (845) |
| AZEK Co., Inc. (The) | | Morgan Stanley | | (1,640) | | (53,773) | | (40,738) | | 13,022 |
| Beacon Roofing Supply, Inc. | | Morgan Stanley | | (192) | | (11,592) | | (11,382) | | 206 |
| Boeing Co. (The) | | Morgan Stanley | | (657) | | (125,325) | | (125,815) | | (520) |
| Carlisle Cos., Inc. | | Morgan Stanley | | (6) | | (1,355) | | (1,476) | | (125) |
| Chart Industries, Inc. | | Morgan Stanley | | (31) | | (3,744) | | (5,325) | | (1,584) |
| Deere & Co. | | Morgan Stanley | | (135) | | (48,841) | | (56,087) | | (7,401) |
| Dover Corp. | | Morgan Stanley | | (157) | | (25,957) | | (24,633) | | 1,240 |
| Fastenal Co. | | Morgan Stanley | | (22) | | (1,326) | | (1,307) | | 16 |
| Flowserve Corp. | | Morgan Stanley | | (424) | | (14,046) | | (15,222) | | (1,274) |
| Generac Holdings, Inc. | | Morgan Stanley | | (108) | | (33,763) | | (32,104) | | 1,609 |
| Herc Holdings, Inc. | | Morgan Stanley | | (362) | | (54,953) | | (60,487) | | (5,598) |
| Huntington Ingalls Industries, Inc. | | Morgan Stanley | | (300) | | (57,679) | | (59,832) | | (2,495) |
| Lincoln Electric Holdings, Inc. | | Morgan Stanley | | (4) | | (555) | | (551) | | 1 |
| MasTec, Inc. | | Morgan Stanley | | (527) | | (43,180) | | (45,902) | | (2,733) |
The accompanying notes are an integral part of the financial statements.
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Capital Goods — (continued) | | | | | | | | |
| MDU Resources Group, Inc. | | Morgan Stanley | | (1,595) | | $ (44,015) | | $ (42,507) | | $ 1,177 |
| Middleby Corp (The) | | Morgan Stanley | | (284) | | (48,938) | | (46,559) | | 2,366 |
| MSC Industrial Direct Co., Inc., Class A | | Morgan Stanley | | (32) | | (2,745) | | (2,727) | | 16 |
| RBC Bearings, Inc. | | Morgan Stanley | | (132) | | (24,782) | | (25,592) | | (818) |
| Regal Rexnord Corp. | | Morgan Stanley | | (376) | | (59,055) | | (55,941) | | 2,977 |
| Rockwell Automation, Inc. | | Morgan Stanley | | (94) | | (26,907) | | (26,323) | | 470 |
| Sensata Technologies Holding PLC (United Kingdom) | | Morgan Stanley | | (394) | | (22,686) | | (20,035) | | 2,815 |
| Stanley Black & Decker, Inc. | | Morgan Stanley | | (885) | | (145,118) | | (123,714) | | 20,755 |
| Sunrun, Inc. | | Morgan Stanley | | (151) | | (4,527) | | (4,586) | | (62) |
| Toro Co (The) | | Morgan Stanley | | (406) | | (34,692) | | (34,709) | | (27) |
| United Rentals, Inc. | | Morgan Stanley | | (187) | | (63,833) | | (66,424) | | (2,608) |
| Valmont Industries, Inc. | | Morgan Stanley | | (107) | | (25,238) | | (25,530) | | (402) |
| Vertiv Holdings Co. | | Morgan Stanley | | (2,366) | | (29,326) | | (33,124) | | (3,807) |
| Watsco, Inc. | | Morgan Stanley | | (43) | | (12,462) | | (13,099) | | (643) |
| WESCO International, Inc. | | Morgan Stanley | | (40) | | (5,247) | | (5,206) | | 38 |
| WillScot Mobile Mini Holdings Corp. | | Morgan Stanley | | (780) | | (28,649) | | (30,521) | | (1,881) |
| Woodward, Inc. | | Morgan Stanley | | (80) | | (9,380) | | (9,993) | | (624) |
| Xylem, Inc. | | Morgan Stanley | | (186) | | (17,167) | | (15,858) | | 1,359 |
| | | | | (13,172) | | (1,138,251) | | (1,120,730) | | 15,537 |
| Commercial & Professional Services | | | | | | | | |
| Alight, Inc., Class A | | Morgan Stanley | | (249) | | (2,272) | | (2,478) | | (208) |
| ASGN, Inc. | | Morgan Stanley | | (93) | | (10,159) | | (10,854) | | (700) |
| Booz Allen Hamilton Holding Corp. | | Morgan Stanley | | (870) | | (69,478) | | (76,421) | | (7,046) |
| CACI International, Inc., Class A | | Morgan Stanley | | (78) | | (21,615) | | (23,498) | | (2,016) |
| Clarivate PLC (Jersey) | | Morgan Stanley | | (712) | | (10,268) | | (11,933) | | (1,972) |
| Clean Harbors, Inc. | | Morgan Stanley | | (353) | | (36,292) | | (39,409) | | (3,127) |
| CoStar Group, Inc. | | Morgan Stanley | | (83) | | (5,559) | | (5,529) | | 27 |
| Driven Brands Holdings, Inc. | | Morgan Stanley | | (513) | | (15,014) | | (13,482) | | 1,527 |
| Equifax, Inc. | | Morgan Stanley | | (16) | | (3,660) | | (3,794) | | (338) |
| GFL Environmental, Inc. (Canada) | | Morgan Stanley | | (42) | | (1,699) | | (1,367) | | 329 |
| IAA, Inc. | | Morgan Stanley | | (123) | | (4,716) | | (4,705) | | 8 |
| Leidos Holdings, Inc. | | Morgan Stanley | | (434) | | (42,756) | | (46,881) | | (4,261) |
| MSA Safety, Inc. | | Morgan Stanley | | (25) | | (3,392) | | (3,317) | | 71 |
| Nielsen Holdings PLC (United Kingdom) | | Morgan Stanley | | (87) | | (2,369) | | (2,370) | | (4) |
| Republic Services, Inc. | | Morgan Stanley | | (53) | | (6,793) | | (7,022) | | (496) |
| Stantec, Inc. (Canada) | | Morgan Stanley | | (5) | | (254) | | (251) | | — |
| Stericycle, Inc. | | Morgan Stanley | | (88) | | (5,041) | | (5,185) | | (147) |
| TransUnion | | Morgan Stanley | | (199) | | (20,397) | | (20,565) | | (175) |
| Upwork, Inc. | | Morgan Stanley | | (156) | | (6,529) | | (3,625) | | 2,899 |
| Waste Connections, Inc. (Canada) | | Morgan Stanley | | (133) | | (17,463) | | (18,580) | | (1,530) |
| | | | | (4,312) | | (285,726) | | (301,266) | | (17,159) |
| Consumer Durables & Apparel | | | | | | | | |
| Brunswick Corp. | | Morgan Stanley | | (542) | | (50,387) | | (43,842) | | 6,384 |
| Callaway Golf Co. | | Morgan Stanley | | (1,789) | | (41,739) | | (41,898) | | (170) |
| Garmin Ltd. (Switzerland) | | Morgan Stanley | | (724) | | (81,625) | | (85,874) | | (4,269) |
| Gildan Activewear, Inc. (Canada) | | Morgan Stanley | | (108) | | (4,111) | | (4,048) | | 50 |
| Helen of Troy Ltd. (Bermuda) | | Morgan Stanley | | (28) | | (6,871) | | (5,483) | | 2,345 |
| Peloton Interactive, Inc., Class A | | Morgan Stanley | | (204) | | (14,124) | | (5,390) | | 8,729 |
| Polaris, Inc. | | Morgan Stanley | | (72) | | (9,075) | | (7,583) | | 1,411 |
The accompanying notes are an integral part of the financial statements.
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Consumer Durables & Apparel — (continued) | | | | | | | | |
| Skechers USA, Inc., Class A | | Morgan Stanley | | (678) | | $ (31,095) | | $ (27,635) | | $ 3,451 |
| TopBuild Corp. | | Morgan Stanley | | (258) | | (54,122) | | (46,799) | | 7,309 |
| Under Armour, Inc., Class C | | Morgan Stanley | | (363) | | (5,766) | | (5,648) | | 114 |
| YETI Holdings, Inc. | | Morgan Stanley | | (45) | | (2,813) | | (2,699) | | 111 |
| | | | | (4,811) | | (301,728) | | (276,899) | | 25,465 |
| Consumer Services | | | | | | | | |
| Caesars Entertainment, Inc. | | Morgan Stanley | | (254) | | (20,539) | | (19,649) | | 822 |
| Carnival Corp. (Panama) | | Morgan Stanley | | (324) | | (6,291) | | (6,551) | | (264) |
| Chegg, Inc. | | Morgan Stanley | | (115) | | (3,453) | | (4,172) | | (722) |
| DraftKings, Inc., Class A | | Morgan Stanley | | (280) | | (8,689) | | (5,452) | | 3,233 |
| International Game Technology PLC (United Kingdom) | | Morgan Stanley | | (621) | | (15,639) | | (15,326) | | 216 |
| Mister Car Wash, Inc. | | Morgan Stanley | | (85) | | (1,302) | | (1,257) | | 42 |
| Norwegian Cruise Line Holdings Ltd. (Bermuda) | | Morgan Stanley | | (393) | | (7,203) | | (8,599) | | (1,400) |
| Royal Caribbean Cruises Ltd. (Liberia) | | Morgan Stanley | | (189) | | (13,484) | | (15,834) | | (2,861) |
| Service Corp. International | | Morgan Stanley | | (58) | | (3,657) | | (3,818) | | (169) |
| Travel + Leisure Co. | | Morgan Stanley | | (42) | | (2,249) | | (2,433) | | (201) |
| Wendy's Co (The) | | Morgan Stanley | | (1,869) | | (40,472) | | (41,062) | | (673) |
| | | | | (4,230) | | (122,978) | | (124,153) | | (1,977) |
| Energy | | | | | | | | |
| Antero Midstream Corp. | | Morgan Stanley | | (2,231) | | (22,428) | | (24,251) | | (1,866) |
| Civitas Resources, Inc. | | Morgan Stanley | | (596) | | (33,771) | | (35,587) | | (2,183) |
| Continental Resources, Inc. | | Morgan Stanley | | (79) | | (4,164) | | (4,845) | | (698) |
| Coterra Energy, Inc. | | Morgan Stanley | | (3,337) | | (81,122) | | (89,999) | | (9,924) |
| Enbridge, Inc. (Canada) | | Morgan Stanley | | (1,927) | | (80,594) | | (88,815) | | (8,619) |
| EQT Corp. | | Morgan Stanley | | (169) | | (4,388) | | (5,815) | | (1,430) |
| HF Sinclair Corp. | | Morgan Stanley | | (2,234) | | (77,021) | | (89,025) | | (12,023) |
| NOV, Inc. | | Morgan Stanley | | (259) | | (4,475) | | (5,079) | | (636) |
| Southwestern Energy Co. | | Morgan Stanley | | (8,630) | | (43,631) | | (61,877) | | (18,258) |
| TC Energy Corp. (Canada) | | Morgan Stanley | | (1,699) | | (86,310) | | (95,858) | | (11,271) |
| | | | | (21,161) | | (437,904) | | (501,151) | | (66,908) |
| Food & Staples Retailing | | | | | | | | |
| BJ's Wholesale Club Holdings, Inc. | | Morgan Stanley | | (390) | | (25,296) | | (26,368) | | (1,080) |
| Casey's General Stores, Inc. | | Morgan Stanley | | (192) | | (36,860) | | (38,049) | | (1,295) |
| US Foods Holding Corp. | | Morgan Stanley | | (64) | | (2,433) | | (2,408) | | 22 |
| | | | | (646) | | (64,589) | | (66,825) | | (2,353) |
| Food, Beverage & Tobacco | | | | | | | | |
| Boston Beer Co., Inc. (The), Class A | | Morgan Stanley | | (125) | | (47,218) | | (48,559) | | (1,353) |
| Celsius Holdings, Inc. | | Morgan Stanley | | (888) | | (61,180) | | (49,000) | | 12,164 |
| Flowers Foods, Inc. | | Morgan Stanley | | (63) | | (1,586) | | (1,620) | | (36) |
| Freshpet, Inc. | | Morgan Stanley | | (183) | | (22,844) | | (18,783) | | 4,053 |
| J M Smucker Co. (The) | | Morgan Stanley | | (233) | | (30,479) | | (31,551) | | (1,081) |
| Lancaster Colony Corp. | | Morgan Stanley | | (107) | | (17,379) | | (15,959) | | 1,319 |
| National Beverage Corp. | | Morgan Stanley | | (1) | | (41) | | (43) | | (5) |
| | | | | (1,600) | | (180,727) | | (165,515) | | 15,061 |
| Health Care Equipment & Services | | | | | | | | |
| Alcon, Inc. (Switzerland) | | Morgan Stanley | | (42) | | (3,177) | | (3,332) | | (158) |
| Baxter International, Inc. | | Morgan Stanley | | (943) | | (77,974) | | (73,120) | | 4,834 |
The accompanying notes are an integral part of the financial statements.
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Health Care Equipment & Services — (continued) | | | | | | | | |
| Change Healthcare, Inc. | | Morgan Stanley | | (1,213) | | $ (24,949) | | $ (26,443) | | $ (1,502) |
| Dexcom, Inc. | | Morgan Stanley | | (46) | | (18,355) | | (23,534) | | (8,792) |
| Encompass Health Corp. | | Morgan Stanley | | (936) | | (60,569) | | (66,559) | | (6,266) |
| Ensign Group Inc (The) | | Morgan Stanley | | (4) | | (336) | | (360) | | (27) |
| Globus Medical, Inc., Class A | | Morgan Stanley | | (7) | | (522) | | (516) | | 3 |
| GoodRx Holdings, Inc., Class A | | Morgan Stanley | | (48) | | (930) | | (928) | | — |
| Guardant Health, Inc. | | Morgan Stanley | | (156) | | (15,173) | | (10,333) | | 5,572 |
| HealthEquity, Inc. | | Morgan Stanley | | (584) | | (31,535) | | (39,385) | | (7,859) |
| LHC Group, Inc. | | Morgan Stanley | | (30) | | (4,573) | | (5,058) | | (489) |
| Novocure Ltd. (Jersey) | | Morgan Stanley | | (290) | | (21,530) | | (24,026) | | (2,504) |
| Progyny, Inc. | | Morgan Stanley | | (32) | | (1,427) | | (1,645) | | (221) |
| Quidel Corp. | | Morgan Stanley | | (5) | | (566) | | (562) | | 1 |
| Surgery Partners, Inc. | | Morgan Stanley | | (92) | | (4,962) | | (5,065) | | (106) |
| Zimmer Biomet Holdings, Inc. | | Morgan Stanley | | (620) | | (73,105) | | (79,298) | | (6,353) |
| | | | | (5,048) | | (339,683) | | (360,164) | | (23,867) |
| Household & Personal Products | | | | | | | | |
| Olaplex Holdings, Inc. | | Morgan Stanley | | (132) | | (2,096) | | (2,063) | | 30 |
| Materials | | | | | | | | |
| Agnico Eagle Mines Ltd. (Canada) | | Morgan Stanley | | (1,557) | | (90,103) | | (95,351) | | (5,526) |
| AptarGroup, Inc. | | Morgan Stanley | | (69) | | (8,780) | | (8,107) | | 646 |
| Berry Global Group, Inc. | | Morgan Stanley | | (718) | | (43,682) | | (41,615) | | 2,055 |
| Ecolab, Inc. | | Morgan Stanley | | (48) | | (8,679) | | (8,475) | | 179 |
| Graphic Packaging Holding Co. | | Morgan Stanley | | (2,104) | | (42,101) | | (42,164) | | (249) |
| Martin Marietta Materials, Inc. | | Morgan Stanley | | (187) | | (70,500) | | (71,974) | | (1,572) |
| MP Materials Corp. | | Morgan Stanley | | (34) | | (1,977) | | (1,950) | | 25 |
| Newmont Corp. | | Morgan Stanley | | (965) | | (61,805) | | (76,669) | | (15,588) |
| RPM International, Inc. | | Morgan Stanley | | (270) | | (24,283) | | (21,989) | | 2,162 |
| Scotts Miracle-Gro Co. (The) | | Morgan Stanley | | (523) | | (68,663) | | (64,308) | | 4,207 |
| Sonoco Products Co. | | Morgan Stanley | | (297) | | (17,563) | | (18,580) | | (1,064) |
| West Fraser Timber Co. Ltd. (Canada) | | Morgan Stanley | | (94) | | (9,199) | | (7,748) | | 1,502 |
| Wheaton Precious Metals Corp. (Canada) | | Morgan Stanley | | (103) | | (4,983) | | (4,901) | | 75 |
| | | | | (6,969) | | (452,318) | | (463,831) | | (13,148) |
| Media & Entertainment | | | | | | | | |
| Altice USA, Inc., Class A | | Morgan Stanley | | (153) | | (1,766) | | (1,909) | | (259) |
| Angi, Inc. | | Morgan Stanley | | (538) | | (5,221) | | (3,050) | | 2,167 |
| Cargurus, Inc. | | Morgan Stanley | | (747) | | (31,340) | | (31,718) | | (386) |
| DISH Network Corp., Class A | | Morgan Stanley | | (1,325) | | (42,037) | | (41,936) | | (47) |
| IAC/InterActiveCorp. | | Morgan Stanley | | (430) | | (45,367) | | (43,120) | | 2,235 |
| Nexstar Media Group, Inc., Class A | | Morgan Stanley | | (88) | | (15,718) | | (16,586) | | (971) |
| Paramount Global, Class B | | Morgan Stanley | | (2,148) | | (76,547) | | (81,216) | | (4,894) |
| ROBLOX Corp., Class A | | Morgan Stanley | | (736) | | (34,937) | | (34,033) | | 894 |
| Roku, Inc. | | Morgan Stanley | | (368) | | (52,250) | | (46,099) | | 6,137 |
| TEGNA, Inc. | | Morgan Stanley | | (860) | | (19,194) | | (19,264) | | (105) |
| Warner Music Group Corp., Class A | | Morgan Stanley | | (62) | | (2,325) | | (2,347) | | (24) |
| World Wrestling Entertainment, Inc., Class A | | Morgan Stanley | | (180) | | (10,398) | | (11,239) | | (867) |
| ZoomInfo Technologies, Inc. | | Morgan Stanley | | (1,870) | | (97,872) | | (111,714) | | (13,866) |
| | | | | (9,505) | | (434,972) | | (444,231) | | (9,986) |
The accompanying notes are an integral part of the financial statements.
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Pharmaceuticals, Biotechnology & Life Sciences | | | | | | | | |
| 10X Genomics, Inc., Class A | | Morgan Stanley | | (698) | | $ (48,971) | | $ (53,097) | | $ (4,139) |
| Allakos, Inc. | | Morgan Stanley | | (49) | | (4,003) | | (279) | | 3,721 |
| Apellis Pharmaceuticals, Inc. | | Morgan Stanley | | (72) | | (3,141) | | (3,658) | | (521) |
| Arrowhead Pharmaceuticals, Inc. | | Morgan Stanley | | (565) | | (26,760) | | (25,984) | | 768 |
| Bridgebio Pharma, Inc. | | Morgan Stanley | | (228) | | (9,726) | | (2,314) | | 7,407 |
| Eli Lilly & Co. | | Morgan Stanley | | (8) | | (2,152) | | (2,291) | | (142) |
| Exact Sciences Corp. | | Morgan Stanley | | (830) | | (60,646) | | (58,034) | | 2,597 |
| Fate Therapeutics, Inc. | | Morgan Stanley | | (35) | | (1,724) | | (1,357) | | 364 |
| Kodiak Sciences, Inc. | | Morgan Stanley | | (67) | | (6,451) | | (517) | | 5,930 |
| Medpace Holdings, Inc. | | Morgan Stanley | | (3) | | (470) | | (491) | | (23) |
| Mirati Therapeutics, Inc. | | Morgan Stanley | | (115) | | (10,440) | | (9,455) | | 980 |
| Natera, Inc. | | Morgan Stanley | | (287) | | (21,366) | | (11,675) | | 9,683 |
| NeoGenomics, Inc. | | Morgan Stanley | | (100) | | (4,173) | | (1,215) | | 2,954 |
| Novavax, Inc. | | Morgan Stanley | | (58) | | (6,852) | | (4,272) | | 2,577 |
| Seagen, Inc. | | Morgan Stanley | | (520) | | (69,391) | | (74,906) | | (5,533) |
| Thermo Fisher Scientific, Inc. | | Morgan Stanley | | (62) | | (36,955) | | (36,620) | | 312 |
| Twist Bioscience Corp. | | Morgan Stanley | | (58) | | (6,257) | | (2,864) | | 3,389 |
| | | | | (3,755) | | (319,478) | | (289,029) | | 30,324 |
| Retailing | | | | | | | | |
| Asbury Automotive Group, Inc. | | Morgan Stanley | | (78) | | (14,795) | | (12,496) | | 2,294 |
| CarMax, Inc. | | Morgan Stanley | | (847) | | (101,133) | | (81,719) | | 19,384 |
| Carvana Co. | | Morgan Stanley | | (52) | | (6,937) | | (6,203) | | 730 |
| Chewy, Inc., Class A | | Morgan Stanley | | (1,022) | | (51,201) | | (41,677) | | 9,510 |
| Dollar Tree, Inc. | | Morgan Stanley | | (284) | | (42,552) | | (45,483) | | (2,942) |
| Five Below, Inc. | | Morgan Stanley | | (33) | | (5,351) | | (5,226) | | 121 |
| Floor & Decor Holdings, Inc., Class A | | Morgan Stanley | | (417) | | (44,211) | | (33,777) | | 10,422 |
| Genuine Parts Co. | | Morgan Stanley | | (42) | | (5,099) | | (5,293) | | (219) |
| LKQ Corp. | | Morgan Stanley | | (341) | | (15,916) | | (15,485) | | 366 |
| Petco Health & Wellness Co., Inc. | | Morgan Stanley | | (1,410) | | (27,207) | | (27,594) | | (395) |
| Pool Corp. | | Morgan Stanley | | (42) | | (19,338) | | (17,760) | | 1,549 |
| Tractor Supply Co. | | Morgan Stanley | | (218) | | (49,258) | | (50,875) | | (1,659) |
| Wayfair, Inc., Class A | | Morgan Stanley | | (38) | | (4,459) | | (4,210) | | 246 |
| | | | | (4,824) | | (387,457) | | (347,798) | | 39,407 |
| Semiconductors & Semiconductor Equipment | | | | | | | | |
| Azenta, Inc. | | Morgan Stanley | | (212) | | (24,052) | | (17,571) | | 6,456 |
| Cirrus Logic, Inc. | | Morgan Stanley | | (459) | | (38,593) | | (38,919) | | (336) |
| Enphase Energy, Inc. | | Morgan Stanley | | (38) | | (6,311) | | (7,668) | | (1,360) |
| First Solar, Inc. | | Morgan Stanley | | (61) | | (4,699) | | (5,108) | | (412) |
| Intel Corp. | | Morgan Stanley | | (1,928) | | (98,861) | | (95,552) | | 3,254 |
| MaxLinear, Inc. | | Morgan Stanley | | (211) | | (12,645) | | (12,312) | | 328 |
| Qorvo, Inc. | | Morgan Stanley | | (342) | | (45,755) | | (42,442) | | 3,389 |
| Universal Display Corp. | | Morgan Stanley | | (13) | | (2,096) | | (2,170) | | (81) |
| Wolfspeed, Inc. | | Morgan Stanley | | (91) | | (8,727) | | (10,361) | | (4,647) |
| | | | | (3,355) | | (241,739) | | (232,103) | | 6,591 |
| Software & Services | | | | | | | | |
| Amdocs Ltd. (Guernsey) | | Morgan Stanley | | (98) | | (7,559) | | (8,057) | | (557) |
| AppLovin Corp., Class A | | Morgan Stanley | | (171) | | (9,410) | | (9,417) | | (11) |
| Asana, Inc., Class A | | Morgan Stanley | | (133) | | (9,243) | | (5,316) | | 3,923 |
The accompanying notes are an integral part of the financial statements.
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
Total Return Swaps (continued)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Software & Services — (continued) | | | | | | | | |
| Aspen Technology, Inc. | | Morgan Stanley | | (63) | | $ (9,918) | | $ (10,418) | | $ (505) |
| Avalara, Inc. | | Morgan Stanley | | (17) | | (2,684) | | (1,692) | | 5,130 |
| Blackline, Inc. | | Morgan Stanley | | (120) | | (8,736) | | (8,786) | | (55) |
| CDK Global, Inc. | | Morgan Stanley | | (4) | | (191) | | (195) | | (6) |
| Citrix Systems, Inc. | | Morgan Stanley | | (303) | | (31,015) | | (30,573) | | 479 |
| Confluent, Inc., Class A | | Morgan Stanley | | (1,076) | | (40,309) | | (44,116) | | (3,818) |
| Coupa Software, Inc. | | Morgan Stanley | | (157) | | (24,387) | | (15,956) | | 8,423 |
| Datto Holding Corp. | | Morgan Stanley | | (15) | | (394) | | (401) | | (10) |
| Dolby Laboratories, Inc., Class A | | Morgan Stanley | | (126) | | (9,770) | | (9,856) | | (106) |
| Dynatrace, Inc. | | Morgan Stanley | | (1) | | (48) | | (47) | | (2) |
| Five9, Inc. | | Morgan Stanley | | (93) | | (9,873) | | (10,267) | | (785) |
| Lightspeed Commerce, Inc. (Canada) | | Morgan Stanley | | (890) | | (37,802) | | (27,118) | | 10,673 |
| Monday.com Ltd. (Israel) | | Morgan Stanley | | (71) | | (9,262) | | (11,223) | | (1,965) |
| nCino, Inc. | | Morgan Stanley | | (148) | | (7,603) | | (6,065) | | 1,534 |
| New Relic, Inc. | | Morgan Stanley | | (151) | | (10,165) | | (10,099) | | 61 |
| Okta, Inc. | | Morgan Stanley | | (578) | | (90,597) | | (87,255) | | 3,320 |
| Procore Technologies, Inc. | | Morgan Stanley | | (25) | | (1,468) | | (1,449) | | 16 |
| Qualtrics International, Inc., Class A | | Morgan Stanley | | (256) | | (7,192) | | (7,309) | | (120) |
| Qualys, Inc. | | Morgan Stanley | | (9) | | (1,263) | | (1,282) | | (21) |
| RingCentral, Inc., Class A | | Morgan Stanley | | (510) | | (59,181) | | (59,777) | | (611) |
| Shopify, Inc., Class A (Canada) | | Morgan Stanley | | (6) | | (4,219) | | (4,056) | | 160 |
| Smartsheet, Inc., Class A | | Morgan Stanley | | (172) | | (9,036) | | (9,422) | | (390) |
| Toast, Inc., Class A | | Morgan Stanley | | (72) | | (1,366) | | (1,565) | | (648) |
| VMware, Inc., Class A | | Morgan Stanley | | (547) | | (63,043) | | (62,287) | | 632 |
| | | | | (5,812) | | (465,734) | | (444,004) | | 24,741 |
| Technology Hardware & Equipment | | | | | | | | |
| Avnet, Inc. | | Morgan Stanley | | (144) | | (5,878) | | (5,845) | | 4 |
| CDW Corp. | | Morgan Stanley | | (432) | | (78,710) | | (77,280) | | 1,246 |
| Cognex Corp. | | Morgan Stanley | | (94) | | (7,230) | | (7,252) | | (26) |
| Littelfuse, Inc. | | Morgan Stanley | | (74) | | (18,785) | | (18,456) | | 303 |
| National Instruments Corp. | | Morgan Stanley | | (397) | | (15,980) | | (16,114) | | (169) |
| Rogers Corp. | | Morgan Stanley | | (16) | | (4,359) | | (4,347) | | 9 |
| TD SYNNEX Corp. | | Morgan Stanley | | (405) | | (42,201) | | (41,800) | | 379 |
| Ubiquiti, Inc. | | Morgan Stanley | | (78) | | (20,724) | | (22,710) | | (1,993) |
| | | | | (1,640) | | (193,867) | | (193,804) | | (247) |
| Telecommunication Services | | | | | | | | |
| Frontier Communications Parent, Inc. | | Morgan Stanley | | (274) | | (7,153) | | (7,582) | | (432) |
| Transportation | | | | | | | | |
| Canadian Pacific Railway Ltd. (Canada) | | Morgan Stanley | | (1,159) | | (85,892) | | (95,664) | | (9,965) |
| CH Robinson Worldwide, Inc. | | Morgan Stanley | | (925) | | (91,171) | | (99,632) | | (8,929) |
| JB Hunt Transport Services, Inc. | | Morgan Stanley | | (114) | | (23,509) | | (22,890) | | 452 |
| Schneider National, Inc., Class B | | Morgan Stanley | | (12) | | (317) | | (306) | | 8 |
| United Airlines Holdings, Inc. | | Morgan Stanley | | (70) | | (2,635) | | (3,245) | | (682) |
| | | | | (2,280) | | (203,524) | | (221,737) | | (19,116) |
| Utilities | | | | | | | | |
| Algonquin Power & Utilities Corp. (Canada) | | Morgan Stanley | | (708) | | (11,296) | | (10,988) | | (342) |
| Atmos Energy Corp. | | Morgan Stanley | | (509) | | (50,585) | | (60,820) | | (10,685) |
| Avangrid, Inc. | | Morgan Stanley | | (4) | | (183) | | (187) | | (6) |
The accompanying notes are an integral part of the financial statements.
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Concluded)
March 31, 2022
(Unaudited)
Total Return Swaps (concluded)
| Reference Entity | | Counterparty | | Number of
Contracts
Long/(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
|
| Utilities — (continued) | | | | | | | | |
| Black Hills Corp. | | Morgan Stanley | | (258) | | $ (18,402) | | $ (19,871) | | $ (1,476) |
| CMS Energy Corp. | | Morgan Stanley | | (242) | | (15,277) | | (16,925) | | (1,654) |
| Dominion Energy, Inc. | | Morgan Stanley | | (1,156) | | (90,648) | | (98,225) | | (8,362) |
| Essential Utilities, Inc. | | Morgan Stanley | | (308) | | (14,708) | | (15,748) | | (1,110) |
| Evergy, Inc. | | Morgan Stanley | | (556) | | (35,479) | | (37,997) | | (2,603) |
| Exelon Corp. | | Morgan Stanley | | (2,350) | | (101,455) | | (111,930) | | (10,499) |
| Fortis, Inc. (Canada) | | Morgan Stanley | | (216) | | (9,898) | | (10,692) | | (865) |
| IDACORP, Inc. | | Morgan Stanley | | (20) | | (2,151) | | (2,307) | | (172) |
| National Fuel Gas Co. | | Morgan Stanley | | (436) | | (27,366) | | (29,953) | | (2,788) |
| New Jersey Resources Corp. | | Morgan Stanley | | (84) | | (3,728) | | (3,852) | | (153) |
| NextEra Energy, Inc. | | Morgan Stanley | | (49) | | (3,599) | | (4,151) | | (576) |
| NiSource, Inc. | | Morgan Stanley | | (362) | | (10,348) | | (11,512) | | (1,168) |
| OGE Energy Corp. | | Morgan Stanley | | (257) | | (10,003) | | (10,480) | | (482) |
| ONE Gas, Inc. | | Morgan Stanley | | (185) | | (15,603) | | (16,324) | | (727) |
| Pinnacle West Capital Corp. | | Morgan Stanley | | (34) | | (2,558) | | (2,655) | | (101) |
| Portland General Electric Co. | | Morgan Stanley | | (32) | | (1,575) | | (1,765) | | (206) |
| | | | | (7,766) | | (424,862) | | (466,382) | | (43,975) |
|
|
| Total Reference Entity — Short | | | | | | (6,084,569) | | (6,102,035) | | (35,026) |
| Net Value of Reference Entity | | | | | | $(5,689,055) | | $(5,700,095) | | $(27,716) |
| * | Includes $(16,676) related to open trades, dividends receivables/payables and swap receivables/payables activities. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statements of Assets and Liabilities
March 31, 2022
(Unaudited)
| | Gotham ESG
Large Value Fund | | Gotham Defensive
Long 500 Fund | | Gotham Total
Return Fund |
| Assets | | | | | |
| Non-affiliated investments, at value1,2 | $1,462,136 | | $25,794,668 | | $ — |
| Affiliated investments, at value3 | — | | — | | 28,888,116 |
| Swaps, at value(a) | — | | 5,628,609 | | — |
| Cash and cash equivalents | 29,403 | | 967,246 | | 5,648 |
| Due from broker | — | | 895,916 | | — |
| Receivables: | | | | | |
| Investments sold | 27,948 | | 362,688 | | — |
| Dividends | 1,087 | | 26,232 | | — |
| Investment adviser | 1,057 | | — | | 22,104 |
| Prepaid expenses and other assets | — | | 18,505 | | 27,327 |
| Total Assets | 1,521,631 | | 33,693,864 | | 28,943,195 |
| Liabilities | | | | | |
| Obligation to return cash collateral on swap contracts (Note 1) | — | | 5,900,000 | | — |
| Payables: | | | | | |
| Investments purchased | 27,943 | | 487,621 | | — |
| Investment adviser | — | | 17,238 | | — |
| Administration and accounting fees | — | | 12,799 | | 8,093 |
| 12b-1 distribution fees (Investor Class Shares) | — | | — | | 645 |
| Custodian fees | — | | 2,567 | | 2,484 |
| Transfer agent fees | — | | 2,032 | | 4,686 |
| Audit fees | — | | 13,220 | | 11,431 |
| Shareholder reporting fees | — | | 6,654 | | 6,792 |
| Accrued expenses | — | | 1,388 | | 612 |
| Total Liabilities | 27,943 | | 6,443,519 | | 34,743 |
| Net Assets | $1,493,688 | | $27,250,345 | | $28,908,452 |
| Net Assets Consisted of: | | | | | |
| Capital stock, $0.01 par value | $ 1,182 | | $ 19,278 | | $ 21,321 |
| Paid-in capital | 1,226,121 | | 26,321,237 | | 24,596,893 |
| Total distributable earnings | 266,385 | | 909,830 | | 4,290,238 |
| Net Assets | $1,493,688 | | $27,250,345 | | $28,908,452 |
| Institutional Class Shares: | | | | | |
| Net assets | $1,493,688 | | $27,250,345 | | $25,796,225 |
| Shares outstanding | 118,193 | | 1,927,833 | | 1,902,207 |
| Net asset value, offering and redemption price per share | $ 12.64 | | $ 14.14 | | $ 13.56 |
| Investor Class Shares: | | | | | |
| Net assets | N/A | | N/A | | $ 3,112,227 |
| Shares outstanding | N/A | | N/A | | 229,854 |
| Net asset value, offering and redemption price per share | N/A | | N/A | | $ 13.54 |
| 1Non-affiliated investments, at cost | $1,280,357 | | $22,983,955 | | $ — |
| 2Includes market value of securities designated as collateral for swaps | $ — | | $11,061,266 | | $ — |
| 3Affiliated investments, at cost | $ — | | $ — | | $26,318,066 |
| (a) | Primary risk exposure is equity contracts. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statements of Assets and Liabilities (Concluded)
March 31, 2022
(Unaudited)
| | Gotham Enhanced
500 Plus Fund | | Gotham Hedged
Plus Fund | | Gotham Short
Strategies Fund |
| Assets | | | | | |
| Non-affiliated investments, at value1,2 | $5,243,697 | | $24,456,591 | | $ 3,618,884 |
| Cash and cash equivalents | 45,985 | | 118,607 | | 620,099 |
| Cash pledged on swap contracts | — | | — | | 100,000 |
| Due from broker | — | | — | | 3,594 |
| Deposits with brokers for securities sold short | 14,521 | | 68,466 | | — |
| Receivables: | | | | | |
| Investments sold | 107,919 | | 401,151 | | 212,164 |
| Dividends | 4,286 | | 27,577 | | 2,486 |
| Investment adviser | 4,771 | | — | | 7,478 |
| Prepaid expenses and other assets | 990 | | 11,778 | | 7,614 |
| Total Assets | 5,422,169 | | 25,084,170 | | 4,572,319 |
| Liabilities | | | | | |
| Securities sold short, at value3 | 1,552,403 | | 10,525,552 | | — |
| Swaps, at value(a) | — | | — | | 27,716 |
| Payables: | | | | | |
| Investments purchased | 107,781 | | 402,170 | | 238,294 |
| Audit fees | 11,367 | | 13,946 | | 12,299 |
| Shareholder reporting fees | 8,491 | | 5,951 | | 3,351 |
| Administration and accounting fees | 5,438 | | 6,063 | | 7,873 |
| Dividends and fees on securities sold short | 1,748 | | 8,759 | | — |
| Transfer agent fees | 841 | | 885 | | 117 |
| Custodian fees | 68 | | 393 | | 561 |
| Investment adviser | — | | 3,026 | | — |
| Accrued expenses | 155 | | 324 | | 596 |
| Total Liabilities | 1,688,292 | | 10,967,069 | | 290,807 |
| Net Assets | $3,733,877 | | $14,117,101 | | $ 4,281,512 |
| Net Assets Consisted of: | | | | | |
| Capital stock, $0.01 par value | $ 2,718 | | $ 10,760 | | $ 6,020 |
| Paid-in capital | 2,819,911 | | 10,821,350 | | 20,260,756 |
| Total distributable earnings/(loss) | 911,248 | | 3,284,991 | | (15,985,264) |
| Net Assets | $3,733,877 | | $14,117,101 | | $ 4,281,512 |
| Institutional Class Shares: | | | | | |
| Net assets | $3,733,877 | | $14,117,101 | | $ 4,281,512 |
| Shares outstanding | 271,849 | | 1,075,997 | | 602,031 |
| Net asset value, offering and redemption price per share | $ 13.74 | | $ 13.12 | | $ 7.11 |
| 1Non-affiliated investments, at cost | $4,247,832 | | $21,917,583 | | $ 3,551,544 |
| 2Includes market value of securities designated as collateral for swaps | $ — | | $ — | | $ 2,804,340 |
| 3Proceeds received, securities sold short | $1,424,851 | | $12,210,004 | | $ — |
| (a) | Primary risk exposure is equity contracts. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statements of Operations
For the Six Months Ended March 31, 2022
(Unaudited)
| | Gotham ESG
Large Value Fund | | Gotham Defensive
Long 500 Fund | | Gotham Total
Return Fund |
| Investment income | | | | | |
| Dividends from non-affiliated investments | $ 15,140 | | $ 236,161 | | $ — |
| Dividends from affiliated investments | — | | — | | 239,396 |
| Interest | 1 | | 12 | | 2 |
| Less: taxes withheld | (12) | | — | | — |
| Total investment income | 15,129 | | 236,173 | | 239,398 |
| Expenses | | | | | |
| Advisory fees (Note 2) | 5,712 | | 183,405 | | — |
| Administration and accounting fees (Note 2) | — | | 17,931 | | 19,411 |
| Distribution fees (Investor Class)(Note 2) | — | | — | | 3,832 |
| Custodian fees(Note 2) | — | | 3,493 | | 5,042 |
| Registration and filing fees | — | | 13,341 | | 20,724 |
| Legal fees | — | | 7,150 | | 7,256 |
| Audit fees | — | | 12,637 | | 11,431 |
| Transfer agent fees (Note 2) | — | | 3,183 | | 13,934 |
| Trustees’ and officers’ fees(Note 2) | — | | 4,679 | | 4,053 |
| Shareholder reporting fees | — | | 10,653 | | 9,489 |
| Other expenses | — | | 4,462 | | 4,755 |
| Total expenses before recoupments, waivers and/or reimbursements | 5,712 | | 260,934 | | 99,927 |
| Recoupments, waivers and/or reimbursements(Note 2) | — | | (77,540) | | (96,102) |
| Net expenses after recoupments, waivers and/or reimbursements | 5,712 | | 183,394 | | 3,825 |
| Net investment income | 9,417 | | 52,779 | | 235,573 |
| Net realized and unrealized gain/(loss) from investments: | | | | | |
| Net realized gain from non-affiliated investments | 133,058 | | 2,408,622 | | — |
| Net realized gain from affiliated investments | — | | — | | 43,949 |
| Net realized gain from swaps | — | | 885,924 (a) | | — |
| Capital gain distributions from affiliated investments | — | | — | | 1,747,927 |
| Net change in unrealized depreciation on non-affiliated investments | (27,167) | | (707,234) | | — |
| Net change in unrealized appreciation on affiliated investments | — | | — | | 423,189 |
| Net change in unrealized appreciation on swaps | — | | 237,382 (a) | | — |
| Net realized and unrealized gain on investments | 105,891 | | 2,824,694 | | 2,215,065 |
| Net increase in net assets resulting from operations | $115,308 | | $2,877,473 | | $2,450,638 |
| (a) | Primary risk exposure is equity contracts. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statements of Operations (Concluded)
For the Six Months Ended March 31, 2022
(Unaudited)
| | Gotham Enhanced
500 Plus Fund | | Gotham Hedged
Plus Fund | | Gotham Short
Strategies Fund |
| Investment income | | | | | |
| Dividends from non-affiliated investments | $ 49,263 | | $ 212,325 | | $ 18,762 |
| Interest | 1 | | 2 | | 2 |
| Less: taxes withheld | (3) | | (2,627) | | (303) |
| Total investment income | 49,261 | | 209,700 | | 18,461 |
| Expenses | | | | | |
| Advisory fees (Note 2) | 18,433 | | 67,312 | | 17,992 |
| Dividends and fees on securities sold short (Note 1) | 17,190 | | 85,558 | | — |
| Administration and accounting fees (Note 2) | 15,340 | | 16,636 | | 14,167 |
| Shareholder reporting fees | 10,708 | | 9,013 | | 10,027 |
| Audit fees | 10,701 | | 12,718 | | 10,446 |
| Legal fees | 1,735 | | 2,820 | | 1,953 |
| Transfer agent fees (Note 2) | 1,704 | | 1,697 | | 1,948 |
| Registration and filing fees | 879 | | 9,382 | | 15,420 |
| Trustees’ and officers’ fees(Note 2) | 531 | | 1,897 | | 280 |
| Custodian fees(Note 2) | 165 | | 778 | | 107 |
| Other expenses | 3,861 | | 3,957 | | 3,858 |
| Total expenses before recoupments, waivers and/or reimbursements | 81,247 | | 211,768 | | 76,198 |
| Recoupments, waivers and/or reimbursements(Note 2) | (42,860) | | (48,804) | | (58,222) |
| Net expenses after recoupments, waivers and/or reimbursements | 38,387 | | 162,964 | | 17,976 |
| Net investment income | 10,874 | | 46,736 | | 485 |
| Net realized and unrealized gain/(loss) from investments: | | | | | |
| Net realized gain from non-affiliated investments | 332,353 | | 642,241 | | 278,397 |
| Net realized gain/(loss) from securities sold short | (53,072) | | 96,170 | | — |
| Net realized gain from swaps | — | | — | | 227,690 (a) |
| Net realized gain from foreign currency transactions | — | | 93 | | 12 |
| Net change in unrealized appreciation on non-affiliated investments | 57,065 | | 453,735 | | 107,748 |
| Net change in unrealized appreciation on securities sold short | 23,496 | | 749,250 | | — |
| Net change in unrealized depreciation on swaps | — | | — | | (81,354) (a) |
| Net change in unrealized appreciation/(depreciation) on foreign currency translations | — | | 119 | | (15) |
| Net realized and unrealized gain on investments | 359,842 | | 1,941,608 | | 532,478 |
| Net increase in net assets resulting from operations | $ 370,716 | | $1,988,344 | | $532,963 |
| (a) | Primary risk exposure is equity contracts. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statements of Changes in Net Assets
| | Gotham ESG Large Value Fund | | Gotham Defensive Long 500 Fund |
| | For the
Six Months Ended
March 31, 2022
(Unaudited) | | For the Year
Ended
September 30, 2021 | | For the
Six Months Ended
March 31, 2022
(Unaudited) | | For the Year
Ended
September 30, 2021 |
| Net increase/(decrease) in net assets from operations: | | | | | | | |
| Net investment income | $ 9,417 | | $ 16,321 | | $ 52,779 | | $ 214,787 |
| Net realized gains from investments and swaps | 133,058 | | 251,422 | | 3,294,546 | | 10,413,786 |
| Net change in unrealized appreciation/(depreciation) on investments and swaps | (27,167) | | 99,783 | | (469,852) | | (7,134,767) |
| Net increase in net assets resulting from operations | 115,308 | | 367,526 | | 2,877,473 | | 3,493,806 |
| Less dividends and distributions to shareholders from: | | | | | | | |
| Total distributable earnings: | | | | | | | |
| Institutional Class | (278,911) | | (60,804) | | (169,751) | | (476,753) |
| Net decrease in net assets from dividends and distributions to shareholders | (278,911) | | (60,804) | | (169,751) | | (476,753) |
| Increase/(decrease) in net assets derived from capital share transactions (Note 4) | 148,086 | | 31,555 | | (10,494,582) | | (22,655,205) |
| Total increase/(decrease) in net assets | (15,517) | | 338,277 | | (7,786,860) | | (19,638,152) |
| Net assets | | | | | | | |
| Beginning of period | 1,509,205 | | 1,170,928 | | 35,037,205 | | 54,675,357 |
| End of period | $1,493,688 | | $1,509,205 | | $ 27,250,345 | | $ 35,037,205 |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
| | Gotham Total Return Fund | | Gotham Enhanced 500 Plus Fund |
| | For the
Six Months Ended
March 31, 2022
(Unaudited) | | For the Year
Ended
September 30, 2021 | | For the
Six Months Ended
March 31, 2022
(Unaudited) | | For the Year
Ended
September 30, 2021 |
| Net increase/(decrease) in net assets from operations: | | | | | | | |
| Net investment income | $ 235,573 | | $ 178,207 | | $ 10,874 | | $ 16,642 |
| Net realized gains from investments, securities sold short and capital gain distributions from affiliated investments | 1,791,876 | | 3,219,439 | | 279,281 | | 417,254 |
| Net change in unrealized appreciation/(depreciation) on investments and securities sold short | 423,189 | | (303,103) | | 80,561 | | 219,085 |
| Net increase in net assets resulting from operations | 2,450,638 | | 3,094,543 | | 370,716 | | 652,981 |
| Less dividends and distributions to shareholders from: | | | | | | | |
| Total distributable earnings: | | | | | | | |
| Institutional Class | (1,193,833) | | (178,762) | | (411,225) | | (32,071) |
| Investor Class | (135,579) | | (10,943) | | N/A | | N/A |
| Net decrease in net assets from dividends and distributions to shareholders | (1,329,412) | | (189,705) | | (411,225) | | (32,071) |
| Increase/(decrease) in net assets derived from capital share transactions (Note 4) | 840,214 | | (4,595,192) | | 218,277 | | 44,339 |
| Total increase/(decrease) in net assets | 1,961,440 | | (1,690,354) | | 177,768 | | 665,249 |
| Net assets | | | | | | | |
| Beginning of period | 26,947,012 | | 28,637,366 | | 3,556,109 | | 2,890,860 |
| End of period | $28,908,452 | | $26,947,012 | | $3,733,877 | | $3,556,109 |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statements of Changes in Net Assets (Concluded)
| | Gotham Hedged Plus Fund | | Gotham Short Strategies Fund |
| | For the
Six Months Ended
March 31, 2022
(Unaudited) | | For the Year
Ended
September 30, 2021 | | For the
Six Months Ended
March 31, 2022
(Unaudited) | | For the Year
Ended
September 30, 2021 |
| Net increase/(decrease) in net assets from operations: | | | | | | | |
| Net investment income/(loss) | $ 46,736 | | $ 117,346 | | $ 485 | | $ (21,215) |
| Net realized gains/(losses) from investments, securities sold short, swaps and foreign currency transactions | 738,504 | | (568,311) | | 506,099 | | (8,121,735) |
| Net change in unrealized appreciation on investments, securities sold short, swaps and foreign currency translations | 1,203,104 | | 1,727,634 | | 26,379 | | 568,830 |
| Net increase/(decrease) in net assets resulting from operations | 1,988,344 | | 1,276,669 | | 532,963 | | (7,574,120) |
| Less dividends and distributions to shareholders from: | | | | | | | |
| Total distributable earnings: | | | | | | | |
| Institutional Class | (145,983) | | (57,670) | | (46,504) | | (3,624) |
| Net decrease in net assets from dividends and distributions to shareholders | (145,983) | | (57,670) | | (46,504) | | (3,624) |
| Increase/(decrease) in net assets derived from capital share transactions (Note 4) | (27,835) | | 1,889,615 | | 2,274,954 | | (28,520,694) |
| Total increase/(decrease) in net assets | 1,814,526 | | 3,108,614 | | 2,761,413 | | (36,098,438) |
| Net assets | | | | | | | |
| Beginning of period | 12,302,575 | | 9,193,961 | | 1,520,099 | | 37,618,537 |
| End of period | $14,117,101 | | $12,302,575 | | $4,281,512 | | $ 1,520,099 |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statements of Cash Flow
For the Six Months Ended March 31, 2022
(Unaudited)
| | Gotham Enhanced 500 Plus Fund | | Gotham Hedged Plus Fund |
| Cash flows from operating activities: | | | |
| Net increase in net assets resulting from operations | $ 370,716 | | $ 1,988,344 |
| |
| Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities: | | | |
| Purchases of long-term portfolio investments | (5,137,836) | | (22,678,590) |
| Proceeds from disposition of long-term portfolio investments | 5,256,250 | | 20,874,707 |
| Purchases to cover securities sold short | (1,814,501) | | (15,976,687) |
| Proceeds from securities sold short | 1,869,466 | | 17,957,548 |
| Net realized gain on investments, securities sold short and foreign currency transactions | (279,281) | | (738,504) |
| Net change in unrealized appreciation/(depreciation) on investments, securities sold short and foreign currency translations | (80,561) | | (1,203,104) |
| Return of capital received from real estate investment trusts | 730 | | 3,207 |
| Increase in receivable for investments sold | (31,748) | | (17,501) |
| Decrease in dividends and interest receivable | 259 | | 806 |
| Decrease in receivable from investment adviser | 3,180 | | 2,692 |
| Increase in prepaid expenses and other assets | (349) | | (11,456) |
| Increase in payable for investments purchased | 31,321 | | 19,267 |
| Increase in payable for dividends and fees on securities sold short | 317 | | 1,458 |
| Increase in payable to investment adviser | — | | 3,026 |
| Decrease in accrued expense payable | (8,824) | | (10,922) |
| Net cash provided by operating activities | 179,139 | | 214,291 |
| Cash flows from financing activities: | | | |
| Proceeds from shares sold | 6,250 | | 21,600 |
| Payment of shares redeemed | (199,198) | | (195,418) |
| Net cash used in financing activities | (192,948) | | (173,818) |
| Net increase (decrease) in cash and restricted cash | (13,809) | | 40,473 |
| Cash and restricted cash: | | | |
| Beginning of period: | $ 74,315 | | $ 146,600 |
| End of period: | $ 60,506 | | $ 187,073 |
| Reconciliation of restricted and unrestricted cash at the beginning of the period to the statements of assets and liabilities: | | | |
| Cash | $ 18,081 | | $ 109,837 |
| Restricted Cash | $ 56,234 | | $ 36,763 |
| Reconciliation of restricted and unrestricted cash at the end of the period to the statements of assets and liabilities: | | | |
| Cash | $ 45,985 | | $ 118,607 |
| Restricted Cash | $ 14,521 | | $ 68,466 |
| |
| Supplemental disclosure of cash flow information: | | | |
| Cash received during the period for financing charges | $ 5,288 | | $ 36,390 |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Gotham ESG Large Value Fund
Financial Highlights
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class Shares |
| | For the
Six Months Ended
March 31,
2022
(Unaudited) | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Period Ended
September 30,
2019* |
| Per Share Operating Performance | | | | | | | |
| Net asset value, beginning of period | $ 14.16 | | $ 11.27 | | $ 12.18 | | $10.00 |
| Net investment income(1) | 0.08 | | 0.15 | | 0.20 | | 0.13 |
| Net realized and unrealized gain/(loss) on investments | 1.01 | | 3.33 | | (0.16) | | 2.05 |
| Total from investment operations | 1.09 | | 3.48 | | 0.04 | | 2.18 |
| Dividends and distributions to shareholders from: | | | | | | | |
| Net investment income | (0.20) | | (0.13) | | (0.18) | | — |
| Net realized capital gains | (2.41) | | (0.46) | | (0.77) | | — |
| Total dividends and distributions to shareholders | (2.61) | | (0.59) | | (0.95) | | — |
| Redemption fees | — | | — | | — | | — |
| Net asset value, end of period | $ 12.64 | | $ 14.16 | | $ 11.27 | | $12.18 |
| Total investment return(2) | 7.56% | | 31.82% | | (0.17)% | | 21.80% |
| Ratios/Supplemental Data | | | | | | | |
| Net assets, end of period (in 000s) | $ 1,494 | | $ 1,509 | | $ 1,171 | | $1,218 |
| Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any | 0.75% (3) | | 0.75% | | 0.75% | | 0.75% (3) |
| Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(4) | 0.75% (3) | | 2.85% | | 6.46% | | 6.59% (3) |
| Ratio of net investment income to average net assets | 1.24% (3) | | 1.16% | | 1.74% | | 1.49% (3) |
| Portfolio turnover rate | 117% (5) | | 186% | | 284% | | 169% (5) |
| * | Institutional class commenced operations on December 31, 2018. Total return is calculated based on inception date of December 28, 2018, when initial seed capital was issued at $10.00 per share. |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (3) | Annualized. |
| (4) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
| (5) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Gotham Defensive Long 500 Fund
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class Shares |
| | For the
Six Months Ended
March 31,
2022
(Unaudited) | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 | | For the
Year Ended
September 30,
2018 | | For the
Year Ended
September 30,
2017 |
| Per Share Operating Performance | | | | | | | | | | | |
| Net asset value, beginning of period | $ 12.87 | | $ 11.98 | | $ 13.20 | | $ 13.78 | | $ 11.71 | | $ 9.99 |
| Net investment income(1) | 0.03 | | 0.06 | | 0.14 | | 0.13 | | 0.09 | | 0.04 |
| Net realized and unrealized gain/(loss) on investments | 1.33 | | 0.96 | | (1.17) | | 0.32 | | 2.06 | | 1.68 |
| Total from investment operations | 1.36 | | 1.02 | | (1.03) | | 0.45 | | 2.15 | | 1.72 |
| Dividends and distributions to shareholders from: | | | | | | | | | | | |
| Net investment income | (0.09) | | (0.13) | | (0.08) | | (0.07) | | (0.08) | | — |
| Net realized capital gains | — | | — | | (0.11) | | (0.96) | | — | | — |
| Total dividends and distributions to shareholders | (0.09) | | (0.13) | | (0.19) | | (1.03) | | (0.08) | | — |
| Redemption fees | — | | — | | 0.00 (2) | | — | | — | | — |
| Net asset value, end of period | $ 14.14 | | $ 12.87 | | $ 11.98 | | $ 13.20 | | $ 13.78 | | $11.71 |
| Total investment return(3) | 10.59% | | 8.65% | | (7.95)% | | 3.71% | | 18.42% | | 17.10% |
| Ratios/Supplemental Data | | | | | | | | | | | |
| Net assets, end of period (in 000s) | $27,250 | | $35,037 | | $54,675 | | $59,368 | | $11,031 | | $7,940 |
| Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any (including dividend and interest expense)(4) | 1.35% (5) | | 1.35% | | 1.35% | | 3.21% | | 3.51% | | 3.80% |
| Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(4)(6) | 1.92% (5) | | 1.78% | | 1.66% | | 3.81% | | 4.08% | | 5.01% |
| Ratio of net investment income to average net assets (including dividend and interest expense) | 0.39% (5) | | 0.51% | | 1.11% | | 1.03% | | 0.73% | | 0.39% |
| Portfolio turnover rate | 101% (7) | | 163% | | 294% | | 429% | | 220% | | 259% |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Amount is less than $0.005 per share. |
| (3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (4) | Expense ratio includes dividend and fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including recoupments, waivers and/or reimbursements for the Fund would be 1.42%, 1.50% and 1.50% for the years ended September 30, 2019, 2018 and 2017, respectively. |
| (5) | Annualized. |
| (6) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
| (7) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Gotham Total Return Fund
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class Shares |
| | For the
Six Months Ended
March 31,
2022
(Unaudited) | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 | | For the
Year Ended
September 30,
2018 | | For the
Year Ended
September 30,
2017 |
| Per Share Operating Performance | | | | | | | | | | | |
| Net asset value, beginning of period | $ 13.03 | | $ 11.70 | | $ 13.28 | | $ 13.38 | | $ 11.60 | | $ 10.02 |
| Net investment income(1) | 0.11 | | 0.08 | | 0.11 | | 0.05 | | 0.03 | | 0.01 |
| Net realized and unrealized gain/(loss) on investments | 1.07 | | 1.33 | | (0.91) | | 0.03 | | 1.80 | | 1.58 |
| Total from investment operations | 1.18 | | 1.41 | | (0.80) | | 0.08 | | 1.83 | | 1.59 |
| Dividends and distributions to shareholders from: | | | | | | | | | | | |
| Net investment income | (0.13) | | (0.08) | | (0.11) | | (0.05) | | (0.04) | | (0.01) |
| Net realized capital gains | (0.52) | | (0.00) (2) | | (0.67) | | (0.13) | | (0.01) | | — |
| Total dividends and distributions to shareholders | (0.65) | | (0.08) | | (0.78) | | (0.18) | | (0.05) | | (0.01) |
| Redemption fees | — | | 0.00 (3) | | 0.00 (3) | | 0.00 (3) | | — | | — |
| Net asset value, end of period | $ 13.56 | | $ 13.03 | | $ 11.70 | | $ 13.28 | | $ 13.38 | | $ 11.60 |
| Total investment return(4) | 9.11% | | 12.17% | | (6.54)% | | 0.67% | | 15.73% | | 15.82% |
| Ratios/Supplemental Data | | | | | | | | | | | |
| Net assets, end of period (in 000s) | $25,796 | | $23,987 | | $25,967 | | $32,167 | | $26,218 | | $18,539 |
| Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any | (0.00)% (5) | | 0.00% | | 0.00% | | 0.00% | | 0.00% | | 0.02% |
| Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(6) | 0.68% (5) | | 0.66% | | 0.59% | | 0.69% | | 0.51% | | 0.74% |
| Ratio of net investment income to average net assets | 1.69% (5) | | 0.68% | | 0.94% | | 0.35% | | 0.27% | | 0.09% |
| Portfolio turnover rate | 2% (7) | | 85% | | 55% | | 3% | | 1% | | 27% |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Amount is less than $(0.005) per share. |
| (3) | Amount is less than $0.005 per share. |
| (4) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (5) | Annualized. |
| (6) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
| (7) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Gotham Total Return Fund
Financial Highlights (Continued)
Contained below is per share operating performance data for Investor Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Investor Class Shares |
| | For the
Six Months Ended
March 31,
2022
(Unaudited) | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 | | For the
Period Ended
September 30,
2018* |
| Per Share Operating Performance | | | | | | | | | |
| Net asset value, beginning of period | $ 12.99 | | $ 11.67 | | $ 13.24 | | $ 13.35 | | $12.60 |
| Net investment income/(loss)(1) | 0.10 | | 0.05 | | 0.08 | | 0.01 | | (0.02) |
| Net realized and unrealized gain/(loss) on investments | 1.06 | | 1.32 | | (0.90) | | 0.03 | | 0.77 |
| Total from investment operations | 1.16 | | 1.37 | | (0.82) | | 0.04 | | 0.75 |
| Dividends and distributions to shareholders from: | | | | | | | | | |
| Net investment loss | (0.09) | | (0.05) | | (0.08) | | (0.02) | | — |
| Net realized capital gains | (0.52) | | (0.00) (2) | | (0.67) | | (0.13) | | — |
| Total dividends and distributions to shareholders | (0.61) | | (0.05) | | (0.75) | | (0.15) | | — |
| Redemption fees | — | | 0.00 (3) | | 0.00 (3) | | 0.00 (3) | | — |
| Net asset value, end of period | $ 13.54 | | $ 12.99 | | $ 11.67 | | $ 13.24 | | $13.35 |
| Total investment return(4) | 9.03% | | 11.80% | | (6.70)% | | 0.40% | | 5.95% |
| Ratios/Supplemental Data | | | | | | | | | |
| Net assets, end of period (in 000s) | $ 3,112 | | $ 2,960 | | $ 2,670 | | $ 2,723 | | $2,110 |
| Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any | 0.25% (5) | | 0.25% | | 0.25% | | 0.25% | | 0.25% (5) |
| Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(6) | 0.93% (5) | | 0.91% | | 0.84% | | 0.93% | | 0.76% (5) |
| Ratio of net investment income/(loss) to average net assets | 1.44% (5) | | 0.37% | | 0.67% | | 0.08% | | (0.24)% (5) |
| Portfolio turnover rate | 2% (7) | | 85% | | 55% | | 3% | | 1% (7) |
| * | Investor Class commenced operations on January 2, 2018. Total return is calculated based on inception date of December 29, 2017, when initial seed capital was issued at $12.60 per share. |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Amount is less than $(0.005) per share. |
| (3) | Amount is less than $0.005 per share. |
| (4) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (5) | Annualized. |
| (6) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
| (7) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Gotham Enhanced 500 Plus Fund
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class Shares |
| | For the
Six Months Ended
March 31,
2022
(Unaudited) | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 | | For the
Year Ended
September 30,
2018 | | For the
Year Ended
September 30,
2017 |
| Per Share Operating Performance | | | | | | | | | | | |
| Net asset value, beginning of period | $ 13.91 | | $ 11.47 | | $ 11.86 | | $ 13.99 | | $ 11.86 | | $ 9.99 |
| Net investment income(1) | 0.04 | | 0.07 | | 0.13 | | 0.10 | | 0.13 | | 0.09 |
| Net realized and unrealized gain on investments | 1.40 | | 2.50 | | 0.47 | | 0.07 | | 2.20 | | 1.78 |
| Total from investment operations | 1.44 | | 2.57 | | 0.60 | | 0.17 | | 2.33 | | 1.87 |
| Dividends and distributions to shareholders from: | | | | | | | | | | | |
| Net investment income | (0.07) | | (0.13) | | (0.14) | | (0.12) | | (0.16) | | — |
| Net realized capital gains | (1.54) | | — | | (0.85) | | (2.18) | | (0.04) | | — |
| Total dividends and distributions to shareholders | (1.61) | | (0.13) | | (0.99) | | (2.30) | | (0.20) | | — |
| Redemption fees | — | | — | | — | | — | | — | | — |
| Net asset value, end of period | $ 13.74 | | $ 13.91 | | $ 11.47 | | $ 11.86 | | $ 13.99 | | $11.86 |
| Total investment return(2) | 10.52% | | 22.56% | | 4.95% | | 2.78% | | 19.86% | | 18.60% |
| Ratios/Supplemental Data | | | | | | | | | | | |
| Net assets, end of period (in 000s) | $ 3,734 | | $ 3,556 | | $ 2,891 | | $ 2,960 | | $ 2,881 | | $2,399 |
| Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any(3) | 2.08% (4) | | 2.06% | | 2.21% | | 2.20% | | 2.10% | | 2.21% |
| Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(3)(5) | 4.41% (4) | | 4.70% | | 5.04% | | 5.23% | | 4.24% | | 5.28% |
| Ratio of net investment income to average net assets | 0.59% (4) | | 0.50% | | 1.15% | | 0.90% | | 0.97% | | 0.83% |
| Portfolio turnover rate | 99% (6) | | 140% | | 263% | | 274% | | 224% | | 237% |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (3) | Expense ratio includes dividend and fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including recoupments, waivers and/or reimbursements for the Fund would be 1.15%, 1.15%, 1.15%, 1.15%, 1.15% and 1.15% for the six months ended March 31, 2022 and years ended September 30, 2021, 2020, 2019, 2018 and 2017, respectively. |
| (4) | Annualized. |
| (5) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
| (6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Gotham Hedged Plus Fund
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class Shares |
| | For the
Six Months Ended
March 31,
2022
(Unaudited) | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 | | For the
Year Ended
September 30,
2018 | | For the
Year Ended
September 30,
2017 |
| Per Share Operating Performance | | | | | | | | | | | |
| Net asset value, beginning of period | $ 11.41 | | $ 10.58 | | $ 11.31 | | $ 12.87 | | $ 11.43 | | $ 10.08 |
| Net investment income(1) | 0.04 | | 0.10 | | 0.12 | | 0.10 | | 0.06 | | 0.01 |
| Net realized and unrealized gain/(loss) on investments | 1.81 | | 0.78 | | (0.17) | | (0.44) | | 1.64 | | 1.49 |
| Total from investment operations | 1.85 | | 0.88 | | (0.05) | | (0.34) | | 1.70 | | 1.50 |
| Dividends and distributions to shareholders from: | | | | | | | | | | | |
| Net investment income | (0.14) | | (0.05) | | (0.12) | | (0.06) | | (0.09) | | (0.11) |
| Net realized capital gains | — | | — | | (0.56) | | (1.16) | | (0.17) | | (0.04) |
| Total dividends and distributions to shareholders | (0.14) | | (0.05) | | (0.68) | | (1.22) | | (0.26) | | (0.15) |
| Redemption fees | 0.00 (2) | | — | | — | | — | | — | | — |
| Net asset value, end of period | $ 13.12 | | $ 11.41 | | $ 10.58 | | $ 11.31 | | $ 12.87 | | $ 11.43 |
| Total investment return(3) | 16.25% | | 8.37% | | (0.82)% | | (2.45)% | | 15.00% | | 15.01% |
| Ratios/Supplemental Data | | | | | | | | | | | |
| Net assets, end of period (in 000s) | $14,117 | | $12,303 | | $ 9,194 | | $ 2,928 | | $ 2,665 | | $ 2,319 |
| Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any(4) | 2.42% (5) | | 2.27% | | 2.51% | | 2.68% | | 2.71% | | 3.10% |
| Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(4)(6) | 3.15% (5) | | 3.26% | | 4.81% | | 6.97% | | 5.57% | | 8.46% |
| Ratio of net investment income to average net assets | 0.69% (5) | | 0.98% | | 1.11% | | 0.84% | | 0.48% | | 0.09% |
| Portfolio turnover rate | 89% (7) | | 218% | | 353% | | 239% | | 227% | | 183% |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Amount is less than $0.005 per share. |
| (3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (4) | Expense ratio includes dividend and fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including recoupments, waivers and/or reimbursements for the Fund would be 1.15%, 1.15%, 1.15%, 1.15%, 1.15% and 1.15% for the six months ended March 31, 2022 and years ended September 30, 2021, 2020, 2019, 2018, and 2017, respectively. |
| (5) | Annualized. |
| (6) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
| (7) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Gotham Short Strategies Fund
Financial Highlights (Concluded)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class Shares |
| | For the
Six Months Ended
March 31,
2022
(Unaudited) | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 | | For the
Year Ended
September 30,
2018 | | For the
Period Ended
September 30,
2017* |
| Per Share Operating Performance | | | | | | | | | | | |
| Net asset value, beginning of period | $ 5.90 | | $ 7.42 | | $ 8.78 | | $ 9.05 | | $ 10.07 | | $ 10.00 |
| Net investment income/(loss)(1) | 0.00 (2) | | (0.02) | | 0.01 | | 0.03 | | (0.03) | | 0.02 |
| Net realized and unrealized gain/(loss) on investments | 1.33 | | (1.50) | | (1.35) | | (0.09) | | (0.97) | | 0.05 |
| Total from investment operations | 1.33 | | (1.52) | | (1.34) | | (0.06) | | (1.00) | | 0.07 |
| Dividends and distributions to shareholders from: | | | | | | | | | | | |
| Net investment income | (0.12) | | (0.00) (3) | | (0.02) | | — | | (0.02) | | — |
| Net realized capital gains | — | | — | | — | | (0.21) | | — | | — |
| Return of capital | — | | — | | (0.00) (3) | | — | | — | | — |
| Total dividends and distributions to shareholders | (0.12) | | (0.00) (3) | | (0.02) | | (0.21) | | (0.02) | | — |
| Redemption fees | — | | 0.00 (2) | | 0.00 (2) | | 0.00 (2) | | — | | — |
| Net asset value, end of period | $ 7.11 | | $ 5.90 | | $ 7.42 | | $ 8.78 | | $ 9.05 | | $ 10.07 |
| Total investment return(4) | 22.93% | | (20.47)% | | (15.27)% | | (0.81)% | | (9.90)% | | 0.70% |
| Ratios/Supplemental Data | | | | | | | | | | | |
| Net assets, end of period (in 000s) | $ 4,282 | | $ 1,520 | | $37,619 | | $32,076 | | $ 1,591 | | $18,328 |
| Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any | 1.35% (5) | | 1.35% | | 1.35% | | 1.35% | | 1.35% | | 1.35% (5) |
| Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(6) | 5.72% (5) | | 2.92% | | 1.88% | | 2.20% | | 2.49% | | 3.06% (5) |
| Ratio of net investment income/(loss) to average net assets | 0.04% (5) | | (0.25)% | | 0.12% | | 0.39% | | (0.30)% | | 1.19% (5) |
| Portfolio turnover rate | 349% (7) | | 459% | | 692% | | 616% | | 591% | | 165% (7)(8) |
| * | Commencement of operations. Initial seed capital was issued at $10.00 per share on July 31, 2017. |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Amount is less than $0.005 per share. |
| (3) | Amount is less than $(0.005) per share. |
| (4) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (5) | Annualized. |
| (6) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
| (7) | Not annualized. |
| (8) | Portfolio turnover rate excludes securities received from processing a subscription due to a reorganization. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Notes to Financial Statements March 31, 2022
(Unaudited)
1. Organization and Significant Accounting Policies
The Gotham ESG Large Value Fund, the Gotham Defensive Long 500 Fund, the Gotham Total Return Fund, the Gotham Enhanced 500 Plus Fund, the Gotham Hedged Plus Fund and the Gotham Short Strategies Fund (each a “Fund” and together, the “Funds”) are each a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Funds are each a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. Each of the Funds, except for the Gotham Total Return Fund, offers one class of shares, Institutional Class. The Gotham Total Return Fund offers two classes of shares, Institutional Class and Investor Class. The Funds’ commencement of operations are as follows:
| Gotham ESG Large Value Fund ("ESG Large Value") | December 31, 2018 |
| Gotham Defensive Long 500 Fund ("Defensive Long 500") | September 30, 2016 |
Gotham Total Return Fund ("Total Return")
(operates as a "Fund of Funds") | March 31, 2015 |
| Gotham Enhanced 500 Plus Fund ("Enhanced 500 Plus") | September 30, 2016 |
| Gotham Hedged Plus Fund ("Hedged Plus") | March 31, 2016 |
| Gotham Short Strategies Fund ("Short Strategies") | July 31, 2017 |
All the Funds, except for ESG Large Value and Total Return, seek to achieve their investment objectives by primarily investing in long and short positions of U.S. equity securities. Equity securities include common and preferred stocks. ESG Large Value seeks to achieve its investment objective by primarily investing in long positions of equity securities. Total Return seeks to achieve its investment objective by primarily investing in other funds advised by Gotham.
The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board Accounting Standards Codification Topic 946.
Portfolio Valuation — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each business day the NYSE is open. Each Fund’s equity securities, including exchange-traded funds, listed on any national or foreign exchange market system will be valued at the last sale price. Equity securities traded in the over-the-counter market are valued at their closing sale or official closing price. If there were no transactions on that day, securities traded principally on an exchange will be valued at the mean of the last bid and ask prices prior to the market close. Prices for equity securities normally are supplied by an independent pricing service approved by the Board of Trustees (the “Board”). Any assets held by a Fund that are denominated in foreign currencies are valued daily in U.S. dollars at the foreign currency exchange rates that are prevailing at the time that a Fund determines the daily NAV per share. Foreign securities may trade on weekends or other days when a Fund does not calculate NAV. As a result, the market value of these investments may change on days when you cannot buy or sell shares of a Fund. Certain Funds invest in securities of other investment companies, which are valued at their respective NAVs as determined by those investment companies each business day. Over the Counter (“OTC”) investments (including swap agreements) are generally valued by approved pricing services that use evaluated prices from various observable market factors. Securities that do not have a readily available current market value are valued in good faith under the direction of the Board. The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available and has delegated to Gotham Asset Management, LLC (“Gotham” or “the Adviser”) the responsibility for applying the valuation methods. In the event that market quotes are not readily available, and the security or asset cannot be valued pursuant to one of the valuation methods, the value of the security, asset or liability will be determined in good faith by the Adviser. The Trust has established a Valuation Committee which performs certain functions including the oversight of the Adviser’s fair valuation determinations.
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:
• Level 1 — quoted prices in active markets for identical securities;
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
• Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
• Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers in and out are recognized at the value at the end of the period.
All financial instruments listed in the Portfolio of Investments are considered Level 1, measured at fair value on a recurring basis based on quoted prices for identical assets in active markets, except for the following: total return swaps with end of period unrealized appreciation/(depreciation) of $5,628,609 and $(27,716) held by Defensive Long 500 and Short Strategies, respectively. These securities are considered Level 2 as of and for the six months ended March 31, 2022.
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third-party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of a Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Funds to present a reconciliation of the beginning to ending balances for reported market values that present changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. A reconciliation of Level 3 investments is presented only when the Funds had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to net assets. The amounts and reasons for all transfers in and out of Level 3 are disclosed when the Funds had an amount of transfers during the reporting period that was meaningful in relation to net assets as of the end of the reporting period.
For the six months ended March 31, 2022, there were no transfers in or out of Level 3 for the Funds.
Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Cash and Cash Equivalents — Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits with a financial institution with original maturities of three months or less. Each Fund maintains deposits with a high quality financial institution in an amount that is in excess of federally insured limits.
Due to/from Brokers — Due to/from brokers represents cash balances on deposit with, or cash balances owed to, the Funds’ prime brokers and counterparties. The Funds are subject to credit risk should the prime brokers and counterparties be unable to meet their obligations to the Funds.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. Distribution (12b-1) fees and shareholder services fees relating to a specific class are charged directly to that class. The Fund records as dividend income the
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
amount characterized as ordinary income and records as realized gain the amount characterized by a REIT as long-term capital gain in the Statements of Operations. The amount characterized as return of capital is a reduction to the cost of investments in the Statements of Assets and Liabilities if the security is still held; otherwise it is recorded as an adjustment to realized gain/(loss) from investment transactions in the Statements of Operations. These characterizations are reflected in the accompanying financial statements. General expenses of the Trust are generally allocated to each Fund under methodologies approved by the Board of Trustees. Expenses directly attributable to a particular Fund in the Trust are charged directly to that Fund.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on ex-date and paid at least annually to shareholders. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences include the treatment of non-taxable dividends, capitalized dividends on short sales, losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
U.S. Tax Status — No provision is made for U.S. income taxes as it is each Fund's intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended (“Internal Revenue Code”), and make the requisite distributions to such Fund's shareholders, which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to its long-term implications. The COVID-19 pandemic could adversely affect the value and liquidity of the Funds’ investments, impair the Funds’ ability to satisfy redemption requests, and negatively impact the Funds’ performance. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services provided to the Funds by its service providers. Fund management is continuing to monitor this development and evaluate its impact on the Funds.
Short Sales — All Funds except for ESG Large Value may sell securities short. Total Return indirectly invests in short sales through its underlying securities. A short sale involves the sale by a Fund of a security that it does not own with the anticipation of purchasing the same security at a later date at a lower price. If the price of the security has increased during this time, then the Fund will incur a loss equal to the increase in price from the time that the short sale was entered into plus any premiums and interest paid to the third party. Therefore, short sales involve the risk that losses may be exaggerated, potentially losing more money than the actual cost of the investment. Also, there is the risk that the third party to the short sale may fail to honor its contract terms, causing a loss to the Fund. There can be no assurance that a Fund will be able to close out a short position at any particular time or at an acceptable price. Although a Fund’s gain is limited to the amount at which it sold a security short, its potential loss is unlimited. The Funds will comply with guidelines established by the Securities and Exchange Commission ("SEC") and other applicable regulatory bodies with respect to coverage of short sales.
As of March 31, 2022, the following Funds had securities sold short, securities pledged as collateral and deposits with brokers for securities sold short:
| | Value of
Securities
Sold Short | | Securities
Pledged
as Collateral | | Deposits with
Brokers for
Securities Sold Short |
| Enhanced 500 Plus | $ 1,552,403 | | $ 4,266,386 | | $14,521 |
| Hedged Plus | 10,525,552 | | 19,016,153 | | 68,466 |
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
In accordance with the terms of its prime brokerage agreements, the Funds may receive rebate income or be charged fees on securities sold short. Such income or fee is calculated on a daily basis based upon the market value of securities sold short and a variable rate that is dependent upon the availability of such security. These amounts are included in dividends and fees on securities sold short on the Statements of Operations. In those instances where rebate income is in excess of dividends on securities sold short and finance charges, the net amount is shown in the Investment Income section on the Statements of Operations. On the ex-dividend date, dividends on short sales are recorded as an expense to the Fund. The following Funds had net charges as shown in the table below for the six months ended March 31, 2022:
| | Dividends on
Securities Sold Short | | Rebate
(Income)/Fees |
| Enhanced 500 Plus | $11,902 | | $ 1,549 |
| Hedged Plus | 49,169 | | 11,585 |
The following Funds utilized short sales proceeds and incurred financing charges to finance purchases of long securities in order to accomplish the Funds' respective investment objectives. A financing fee is charged to the Funds based on the Federal Funds rate plus an agreed upon spread. These fees are included in dividends and fees on securities sold short on the Statements of Operations and are as follows for the six months ended March 31, 2022:
| | Short Sales
(Deposits)
Proceeds | | Financing
Charges |
| Enhanced 500 Plus | $ 1,555,579 | | $ 3,739 |
| Hedged Plus | 10,507,659 | | 24,804 |
Swap Agreements — A swap agreement is a bilateral financial instrument that involves the exchange of cash flows between two parties on specified dates (settlement dates), where the cash flows are based on valuation changes to market referenced securities. The nominal amount on which the cash flows are calculated is called the notional amount.
Swap agreements may increase or decrease the overall volatility of the investments of a Fund and its share price. The performance of swap agreements will be affected by a change in the market value of the referenced underlying securities that determine the amounts of payments due to and from a Fund. If a swap agreement calls for payments by a Fund, the Fund must be prepared to make such payments when due. In addition, if the counterparty’s creditworthiness declined, the value of a swap agreement would be likely to decline, potentially resulting in losses.
Generally, swap agreements have a fixed maturity date that will be agreed upon by the parties. The agreement can be terminated before the maturity date, in whole or part, under certain circumstances, such as default by one of the parties or insolvency, among others, and can be transferred by a party only with the prior written consent of the other party. A Fund may be able to eliminate its exposure under a swap agreement either by assignment or by other disposition, or by entering into an offsetting swap agreement with the same party or a similarly creditworthy party. If the counterparty is unable to meet its obligations under the contract, declares bankruptcy, defaults or becomes insolvent, a Fund may not be able to recover the money it expected to receive under the swap agreement. A Fund will not enter into any swap agreement unless the Adviser believes that the counterparty to the transaction is creditworthy.
A swap agreement can be a form of leverage, which can magnify a Fund’s gains or losses. In order to reduce the risk associated with leveraging, a Fund may cover its current obligations under swap agreements according to guidelines established by the SEC. If a Fund enters into a swap agreement on a net basis, it will segregate assets with a daily value at least equal to the excess, if any, of a Fund’s accrued obligations under the swap agreement over the accrued amount a Fund is entitled to receive under the agreement. If a Fund enters into a swap agreement on other than a net basis, it will segregate assets with a value equal to the full amount of a Fund’s accrued obligations under the swap agreement.
Total Return Swaps: Total return swaps are contracts in which both parties agree to make payments of the total return from a reference instrument during a specified period. The total return includes appreciation or depreciation on the underlying asset, plus any interest or dividend accruals or payments. The unrealized appreciation or depreciation also includes interest charges and credits
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
(“financing fees”) related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on a specified benchmark rate, such as the U.S. effective federal funds rate (“EFFR”). Payments under the swap are based upon an agreed upon principal amount but, since the principal amount is not exchanged, it represents neither an asset nor a liability to either counterparty, and is referred to as notional. Total return swaps are marked to market daily using different sources, including quotations from counterparties, pricing services, brokers or market makers. The unrealized appreciation or depreciation related to the change in the valuation of the notional amount of the swap is combined with the amount due to or from the Fund at termination or settlement. The primary risks associated with total return swaps are credit risks (if the counterparty fails to meet its obligations) and market risk (if there is no liquid market for the swap or unfavorable changes occur to the underlying reference instrument). As of and for the six months ended March 31, 2022, only Defensive Long 500 and Short Strategies held total return swaps.
For the six months ended March 31, 2022, the quarterly average notional value of the total return swaps for each Fund was as follows:
| | Notional Amount |
| Defensive Long 500 | $(4,294,898) |
| Short Strategies | (3,866,733) |
Counterparty Risk — During the six months ended March 31, 2022, Defensive Long 500 and Short Strategies were subject to counterparty risk. Certain of the derivatives entered into by the Funds may not be traded on an exchange but instead will be privately negotiated in the over-the-counter market. This means that these instruments are traded between counterparties based on contractual relationships. Relying on a counterparty exposes the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss. If a counterparty defaults on its payment obligations to the Funds, this default will cause the value of an investment in the Funds to decrease. In addition, to the extent the Funds deal with a limited number of counterparties, it will be more susceptible to the credit risks associated with those counterparties. The Funds are neither restricted from dealing with any particular counterparty nor from concentrating any or all of its transactions with one counterparty. The ability of the Funds to transact business with any one or number of counterparties and the absence of a regulated market to facilitate settlement may increase the potential for losses by the Funds.
The Funds are subject to the risk that issuers of the instruments in which it invests and trades may default on their obligations, and that certain events may occur that have an immediate and significant adverse effect on the value of those instruments. There can be no assurance that an issuer will not default, or that an event that has an immediate and significant adverse effect on the value of an instrument will not occur, and that the Funds will not sustain a loss on a transaction as a result.
Liquidity Risk — During the six months ended March 31, 2022, Defensive Long 500 and Short Strategies were subject to liquidity risk. The Funds may be subject to liquidity risk primarily due to investments in derivatives. The Funds may invest up to 15% of its net assets in illiquid securities or instruments. Certain derivatives, such as swaps, forward contracts and options may not be readily marketable and, therefore, may be deemed to be illiquid. An asset is not readily marketable if it cannot be sold within seven business days in the ordinary course of business for approximately the amount at which it is valued. Investments in illiquid assets involve the risk that the Funds may be unable to sell the asset or sell it at a reasonable price. In addition, the Funds may be required to liquidate positions or close out derivatives on unfavorable terms at a time contrary to the interests of the Funds in order to raise cash to pay redemptions.
An investment in derivatives is also subject to the risk that the Funds may not be able to terminate the derivatives effective on whatever date it chooses, or that the settlement of any early termination may depend on subsequent market movements. As a result, the Funds may be exposed to the risk of additional losses due to such delays.
Master Netting Agreement — During the six months ended March 31, 2022, Defensive Long 500 and Short Strategies were subject to a Master Netting agreement. In order to define their contractual rights and to secure rights that will help mitigate their counterparty risk, the Funds have entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”). An ISDA Master Agreement is a bilateral agreement between the Funds and the counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
default and/or termination event. Under an ISDA Master Agreement, the Funds may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the Funds' net assets decline by a stated percentage or the Funds fails to meet the terms of its ISDA Master Agreements. The result would cause the Funds to accelerate payment of any net liability owed to the counterparty.
LIBOR Phase-out Risk — The United Kingdom's Financial Conduct Authority, which regulates London Interbank Overnight Rates ("LIBOR"), has announced plans to phase out the use of LIBOR by June 2023. There remains uncertainty regarding the future use of LIBOR and the nature of any replacement rate. The transition process away from LIBOR may involve, among other things, increased volatility or illiquidity in markets for instruments that currently rely on LIBOR. The transition process may also result in a reduction in the value of certain instruments held by a Fund or reduce the effectiveness of related Fund transactions such as hedges. Volatility, the potential reduction in value, and/or the hedge effectiveness of financial instruments may be heightened for financial instruments that do not include fallback provisions that address the cessation of LIBOR. Any potential effects of the transition away from LIBOR on any of the Funds or on financial instruments in which the Funds invest, as well as other unforeseen effects, could result in losses to the Funds.
Collateral Requirements — During the six months ended March 31, 2022, Defensive Long 500 and Short Strategies were subject to collateral requirements. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Portfolio of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. The Funds generally agree not to use non-cash collateral that they receive but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Funds from their counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to a counterparty and stands ready to perform under the terms of its agreement with such counterparty, they bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts. For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.
| | | | | | | | Gross Amount Not Offset in the
Statements of Assets and Liabilities | | |
| | Gross Amounts
of Recognized
Assets/(Liabilities) | | Gross Amounts
Offset in the
Statements of
Assets and
Liabilities | | Net Amounts of
Assets Presented
in the Statements
of Assets and
Liabilities | | Financial
Instruments | | Collateral
Pledged/(Received)* | | Net
Amount** |
| Defensive Long 500 | $5,628,609 | | $— | | $5,628,609 | | $— | | $(5,628,609) | | $— |
| Short Strategies | (27,716) | | — | | (27,716) | | — | | 27,716 | | — |
| | | | | | | | | | | | |
| * | Amount disclosed is limited to the amount of assets presented in each Statements of Assets and Liabilities. Actual collateral pledged/(received) may be more than the amount shown. |
| ** | Net amount represents the net receivable from the counterparty in the event of a default. |
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
ESG Strategy Risk — The ESG Large Value's ESG strategies could cause it to perform differently compared to funds that do not have such a policy. The criteria related to this ESG policy may result in the Fund's forgoing opportunities to buy certain securities when it might otherwise be advantageous to do so, or selling securities for ESG reasons when it might be otherwise disadvantageous for it to do so. In addition, there is a risk that the companies identified by the ESG policy do not operate as expected when addressing ESG issues. There are significant differences in interpretations of what it means for a company to have positive ESG characteristics. While the Adviser believes its definitions are reasonable, the portfolio decisions it makes may differ with other investors' or advisers' views.
2. Transactions with Related Parties and Other Service Providers
Gotham Asset Management, LLC (“Gotham” or the “Adviser”) serves as investment adviser to the Funds pursuant to an investment advisory agreement with the Trust (the “Advisory Agreement”). For its services as the investment adviser, each Fund pays the Adviser a fee, which is computed and accrued daily and paid monthly, at an annual rate based on average daily net assets of each Fund as shown in the table below:
| ESG Large Value(1) | 0.75% |
| Defensive Long 500 | 1.35% |
| Total Return(2) | —% |
| Enhanced 500 Plus | 1.00% |
| Hedged Plus | 1.00% |
| Short Strategies | 1.35% |
| (1) | Effective as of May 1, 2021, ESG Large Value entered into a Support, Service and Fee Assumption Agreement (“Support Agreement”) pursuant to which Gotham supports the Fund’s non-investment advisory operations. Under the Support Agreement, Gotham supports the Fund’s non-investment advisory operations by (a) performing or contracting for certain operational support services of the Fund, and/or (b) assuming certain of the Fund’s payment obligations, including such payment obligations specified in contracts between the Fund and its service providers and other Trust expenses incurred by or otherwise allocated to the Fund by the Trust. |
| (2) | For Total Return (the “Fund”), Gotham is not entitled to receive an investment advisory fee on assets invested in mutual funds advised by Gotham (each an “underlying fund” and collectively, the “underlying funds”), but is entitled to receive an investment advisory fee of 1.00% of the Fund’s average net assets invested in investments other than an underlying fund. Gotham does not receive an investment advisory fee from the Fund on assets invested in an underlying fund, but does receive an investment advisory fee from each underlying fund as investment adviser to such funds. The Fund does not currently expect to invest in assets other than underlying funds; however, to the extent it does, the Fund will pay an investment advisory fee on such assets. |
The Adviser contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of each Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses,” dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed the percentages set forth in the table below (on an annual basis) of each Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until the termination date set forth below, unless the Board approves its earlier termination. The table below reflects the Expense Limitation amounts, as a percentage of average daily net assets, in effect during the six months ended March 31, 2022.
| | Institutional
Class | | Investor
Class | | Termination Date |
| ESG Large Value | 0.75% | | N/A | | January 31, 2023 |
| Defensive Long 500 | 1.35% | | N/A | | January 31, 2023 |
| Total Return(1) | 0.00% | | 0.25% | | January 31, 2023 |
| Enhanced 500 Plus | 1.15% | | N/A | | January 31, 2023 |
| Hedged Plus | 1.15% | | N/A | | January 31, 2023 |
| Short Strategies | 1.35% | | N/A | | January 31, 2023 |
| (1) | Per the Expense Limitation agreement for the Fund, the expenses subject to the expense limitation are also exclusive of management fees, if any. |
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
For the six months ended March 31, 2022, investment advisory fees accrued and waivers were as follows:
| | Gross
Advisory Fee | | Recoupments,
Waivers and/or
Reimbursements | | Net Advisory Fee/
(Reimbursement) |
| ESG Large Value | $ 5,712 | | $ — | | $ 5,712 |
| Defensive Long 500 | 183,405 | | (77,540) | | 105,865 |
| Total Return | — | | (96,102) | | (96,102) |
| Enhanced 500 Plus | 18,433 | | (42,860) | | (24,427) |
| Hedged Plus | 67,312 | | (48,804) | | 18,508 |
| Short Strategies | 17,992 | | (58,222) | | (40,230) |
For all Funds, except for ESG Large Value, Defensive Long 500 and Short Strategies, the Adviser is entitled to recover, subject to approval by the Board, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No recoupment will occur unless a Fund’s expenses are below the Expense Limitation amount. As of March 31, 2022, the amounts of potential reimbursement from the Funds to the Adviser are as follows:
| | | | Expiration |
| | 09/30/2022 | | 09/30/2023 | | 09/30/2024 | | 03/31/2025 | | Total |
| Total Return | | | | | | | | | |
| Institutional Class | $116,580 | | $170,911 | | $164,802 | | $85,733 | | $538,026 |
| Investor Class | 10,799 | | 17,025 | | 18,550 | | 10,369 | | 56,743 |
| Enhanced 500 Plus | 52,438 | | 79,156 | | 88,717 | | 42,860 | | 263,171 |
| Hedged Plus | 66,309 | | 109,329 | | 118,207 | | 48,804 | | 342,649 |
Other Service Providers
The Bank of New York Mellon ("BNY Mellon") serves as administrator and custodian for the Funds. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Funds’ average daily net assets and is subject to certain minimum monthly fees. For providing certain custodial services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
BNY Mellon Investment Servicing (US) Inc. (the “Transfer Agent”) provides transfer agent services to the Funds. The Transfer Agent is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
The Trust, on behalf of the Funds, has entered into agreements with financial intermediaries to provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries investing in the Funds and has agreed to compensate the intermediaries for providing those services. The fees incurred by the Funds for these services are included in Transfer Agent fees in the Statements of Operations.
Pershing LLC provides prime brokerage services to the Funds under an Agreement for Prime Brokerage Services. Pershing LLC is a wholly owned subsidiary of The Bank of New York Mellon Corporation.
Foreside Funds Distributors LLC (the "Underwriter") provides principal underwriting services to the Funds pursuant to an underwriting agreement between the Trust and the Underwriter.
The Trust and the Underwriter are parties to an underwriting agreement. The Trust has adopted a distribution plan for Investor Class shares of Total Return, in accordance with Rule 12b-1 under the 1940 Act. Pursuant to the Investor Class shares plan, Total
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
Return compensates the Underwriter for direct and indirect costs and expenses incurred in connection with advertising, marketing and other distribution services in an amount not to exceed 0.25%, on an annualized basis of the average daily net assets of Total Return's Investor Class shares.
Trustees and Officers
The Trust is governed by its Board of Trustees. The Trustees receive compensation in the form of an annual retainer and per meeting fees for their services to the Trust. An employee of BNY Mellon serves as the Secretary of the Trust and is not compensated by the Funds or the Trust.
JW Fund Management LLC ("JWFM") provides a Principal Executive Officer and Principal Financial Officer, respectively, to the Trust. Alaric Compliance Services LLC ("Alaric") provided the Trust with a Chief Compliance Officer and an Anti-Money Laundering Officer until December 6, 2021. Effective December 7, 2021, Foreside Consulting LLC ("Foreside") provides the Trust with a Chief Compliance Officer and an Anti-Money Laundering Officer. JWFM, Alaric and Foreside are compensated for their services provided to the Trust.
Investment in Affiliated Funds
The following table lists each issuer owned by Total Return that may be deemed an "affiliated company" under the 1940 Act, as well as transactions that occurred in the security of such issuers during the six months ended March 31, 2022:
| Name of Issuer | | Value at
09/30/21 | | Purchase
Cost | | Sales
Proceeds | | Net
Realized
Gain/(Loss) | | Change in
Unrealized
Appreciation/
(Depreciation) | | Value at
03/31/22 | | Shares
Held at
03/31/22 | | Dividend
Income |
| Gotham Defensive Long 500 Fund | | $ 2,689,109 | | $ 18,607 | | $ 26,549 | | $ 3,960 | | $ 258,974 | | $ 2,944,101 | | 208,358 | | $ 18,607 |
| Gotham Enhanced 500 ETF | | 5,382,364 | | — | | 110,167 | | 11,101 | | 333,206 | | 5,616,504 | | 228,200 | | 13,632 |
| Gotham Enhanced S&P 500 Index Fund | | 4,029,451 | | 281,293 | | 86,141 | | (430) | | 23,285 | | 4,247,458 | | 262,675 | | 43,582 |
| Gotham Hedged Core Fund | | 4,057,027 | | 717,765 | | 43,400 | | 2,358 | | (403,233) | | 4,330,517 | | 373,965 | | 53,193 |
| Gotham Hedged Plus Fund | | 2,706,841 | | 52,185 | | 182,159 | | 39,700 | | 362,436 | | 2,979,003 | | 227,058 | | 30,586 |
| Gotham Large Value Fund | | 5,324,591 | | 1,000,689 | | 79,960 | | (11,886) | | (428,150) | | 5,805,284 | | 378,935 | | 79,796 |
| Gotham Neutral Fund | | 2,671,386 | | 37,262 | | 19,216 | | (854) | | 276,671 | | 2,965,249 | | 288,449 | | — |
| Total | | $26,860,769 | | | | | | $ 43,949 | | $ 423,189 | | $28,888,116 | | | | $239,396 |
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
3. Investment in Securities
For the six months ended March 31, 2022, aggregated purchases and sales of investment securities (excluding short-term investments) of the Funds were as follows:
| | Purchases | | Sales |
| ESG Large Value | $ 1,755,261 | | $ 1,885,753 |
| Defensive Long 500 | 26,490,423 | | 35,833,871 |
| Total Return | 2,107,801 | | 547,592 |
| Enhanced 500 Plus | 5,138,143 | | 5,256,050 |
| Hedged Plus | 22,572,730 | | 20,767,868 |
| Short Strategies | 10,676,757 | | 8,897,880 |
For the six months ended March 31, 2022, the Funds had no purchases and sales of U.S. Government securities.
4. Capital Share Transactions
For the six months ended March 31, 2022 and the year ended September 30, 2021, transactions in capital shares (authorized shares unlimited) were as follows:
| | For the Six Months Ended
March 31, 2022
(Unaudited) | | For the Year Ended
September 30, 2021 |
| | Shares | | Value | | Shares | | Value |
| ESG Large Value: | | | | | | | |
| Institutional Class | | | | | | | |
| Sales | — | | $ — | | — | | $ — |
| Reinvestments | 11,596 | | 148,086 | | 2,654 | | 31,555 |
| Redemption Fees* | — | | — | | — | | — |
| Redemptions | — | | — | | — | | — |
| Net increase | 11,596 | | $ 148,086 | | 2,654 | | $ 31,555 |
| |
| Defensive Long 500: | | | | | | | |
| Institutional Class | | | | | | | |
| Sales | 33,700 | | $ 473,908 | | 14,121 | | $ 169,005 |
| Reinvestments | 12,400 | | 169,751 | | 42,153 | | 476,753 |
| Redemption Fees* | — | | — | | — | | — |
| Redemptions | (840,587) | | (11,138,241) | | (1,896,428) | | (23,300,963) |
| Net decrease | (794,487) | | $(10,494,582) | | (1,840,154) | | $(22,655,205) |
| |
| Total Return: | | | | | | | |
| Institutional Class | | | | | | | |
| Sales | 10,948 | | $ 150,661 | | 4,359 | | $ 50,461 |
| Reinvestments | 73,145 | | 977,942 | | 13,436 | | 151,823 |
| Redemption Fees* | — | | — | | — | | 45 |
| Redemptions | (23,284) | | (312,328) | | (395,576) | | (4,790,616) |
| Net increase/(decrease) | 60,809 | | $ 816,275 | | (377,781) | | $ (4,588,287) |
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
| | For the Six Months Ended
March 31, 2022
(Unaudited) | | For the Year Ended
September 30, 2021 |
| | Shares | | Value | | Shares | | Value |
| |
| Investor Class | | | | | | | |
| Sales | 1,308 | | $ 17,758 | | 16,324 | | $ 198,612 |
| Reinvestments | 10,148 | | 135,579 | | 969 | | 10,943 |
| Redemption Fees* | — | | — | | — | | 5 |
| Redemptions | (9,465) | | (129,398) | | (18,296) | | (216,465) |
| Net increase/(decrease) | 1,991 | | $ 23,939 | | (1,003) | | $ (6,905) |
| |
| Total net increase/(decrease) | 62,800 | | $ 840,214 | | (378,784) | | $ (4,595,192) |
| Enhanced 500 Plus: | | | | | | | |
| Institutional Class | | | | | | | |
| Sales | 474 | | $ 6,250 | | 2,223 | | $ 27,919 |
| Reinvestments | 30,393 | | 411,225 | | 2,670 | | 32,071 |
| Redemption Fees* | — | | — | | — | | — |
| Redemptions | (14,723) | | (199,198) | | (1,303) | | (15,651) |
| Net increase | 16,144 | | $ 218,277 | | 3,590 | | $ 44,339 |
| |
| Hedged Plus: | | | | | | | |
| Institutional Class | | | | | | | |
| Sales | 1,717 | | $ 21,600 | | 467,743 | | $ 4,681,900 |
| Reinvestments | 11,641 | | 145,983 | | 6,077 | | 57,670 |
| Redemption Fees* | — | | 2,519 | | — | | — |
| Redemptions | (15,590) | | (197,937) | | (264,777) | | (2,849,955) |
| Net increase/(decrease) | (2,232) | | $ (27,835) | | 209,043 | | $ 1,889,615 |
| |
| Short Strategies: | | | | | | | |
| Institutional Class | | | | | | | |
| Sales | 368,845 | | $ 2,432,450 | | 253,119 | | $ 1,646,780 |
| Reinvestments | 6,166 | | 37,179 | | 598 | | 3,554 |
| Redemption Fees* | — | | — | | — | | 78 |
| Redemptions | (30,812) | | (194,675) | | (5,067,579) | | (30,171,106) |
| Net increase/(decrease) | 344,199 | | $ 2,274,954 | | (4,813,862) | | $(28,520,694) |
| * | There is a 1.00% redemption fee that may be charged on shares redeemed which have been held 30 days or less. The redemption fees are retained by each Fund for the benefit of the remaining shareholders and recorded as paid-in capital. |
Significant Shareholders
As of March 31, 2022, the Funds below had shareholders that held 10% or more of the total outstanding shares of each respective Fund. Transactions by these shareholders may have a material impact on each respective Fund.
| ESG Large Value | |
| Affiliated Shareholders | 100% |
| Defensive Long 500 | |
| Affiliated Fund | 11% |
| Non-affiliated Shareholders | 75% |
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
| Total Return | |
| Affiliated Shareholders | 22% |
| Non-affiliated Shareholders | 56% |
| Enhanced 500 Plus | |
| Non-affiliated Shareholders | 97% |
| Hedged Plus | |
| Affiliated Fund | 21% |
| Non-affiliated Shareholders | 79% |
| Short Strategies | |
| Affiliated Shareholders | 26% |
5. Securities Lending
All Funds may lend securities to financial institutions, such as broker-dealers, and are required to be secured continuously by collateral in cash, cash equivalents, letter of credit or U.S. Government securities maintained on a current basis at an amount at least equal to the market value of the securities loaned. Cash collateral received, pursuant to investment guidelines established by the Funds and approved by the Board, is invested in short-term investments and/or securities consistent with the Fund's investment objective. Securities purchased with cash collateral are included in market value of securities designated as collateral for securities on loan on the Statements of Assets and Liabilities. All such investments are made at the risk of the Funds and, as such, the Funds are liable for investment losses. The Funds pay a fee on the cash collateral received by the Funds at a rate equal to the Federal Funds (Open) rate plus 40 basis points with respect to the cash collateral received on those securities on loan that have a rebate that equals or exceeds the greater of either the Federal Funds (Open) rate minus 10 basis points or zero. These fees are included in the fees on cash collateral on the Statements of Operations. Such loans would involve risks of delay in receiving additional collateral in the event the value of the collateral decreased below the value of the securities loaned or of delay in recovering the securities loaned or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers deemed by the Adviser to be of good standing and only when, in the Adviser's judgment, the income to be earned from the loans justifies the attendant risks. Any loans of a Fund's securities will be fully collateralized and marked to market daily. When the collateral falls below specified amounts, the lending agent will use its best effort to obtain additional collateral on the next business day to meet required amounts under the security lending agreement. Securities on loan are not used as collateral for swaps or as collateral for short securities, if any. During the six months ended March 31, 2022, none of the Funds entered into the securities lending program or had any income generated from the program.
Securities lending transactions are entered into by the Funds under a Master Securities Lending Agreement ("MSLA") which permits the Funds, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Funds to the same counterparty against amounts to be received from that counterparty and create one single net payment due to or from the Funds. The Funds had no open securities lending transactions which were subject to a MSLA as of March 31, 2022.
6. Federal Tax Information
The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as tax benefit or expense in the current year.Each Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
The tax character of distributions paid by the Funds during the year ended September 30, 2021, were as follows:
| | Ordinary
Income
Dividend | | Long-Term
Capital Gain
Dividend | | Return
of Capital |
| ESG Large Value | $ 13,302 | | $47,502 | | $— |
| Defensive Long 500 | 476,753 | | — | | — |
| Total Return | 189,705 | | — | | — |
| Enhanced 500 Plus | 32,071 | | — | | — |
| Hedged Plus | 57,670 | | — | | — |
| Short Strategies | 3,624 | | — | | — |
Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
As of September 30, 2021, the components of distributable earnings on a tax basis were as follows:
| | Capital Loss
Carryforward | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Gain | | Unrealized
Appreciation/
(Depreciation) | | Qualified
Late-Year
Losses |
| ESG Large Value | $ — | | $ 56,152 | | $184,463 | | $ 189,373 | | $ — |
| Defensive Long 500 | (10,025,927) | | 165,147 | | — | | 8,062,888 | | — |
| Total Return | — | | 449,941 | | 621,623 | | 2,097,448 | | — |
| Enhanced 500 Plus | — | | 9,961 | | 341,295 | | 600,501 | | — |
| Hedged Plus | (592,028) | | 116,113 | | — | | 1,918,545 | | — |
| Short Strategies | (16,452,807) | | — | | — | | 5,923 | | (24,839) |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes. The temporary differences as of September 30, 2021, were primarily attributed to wash sales and deferral of loss on unsettled short sale transactions. Foreign currency and short-term capital gains are reported as ordinary income for federal income tax purposes.
As of March 31, 2022, the federal tax cost, aggregated gross unrealized appreciation and depreciation of securities held by the Funds were as follows:
| | | Federal
Tax Cost* | | Unrealized
Appreciation | | Unrealized
(Depreciation) | | Net Unrealized
Appreciation/
(Depreciation) |
| ESG Large Value | | $ 1,280,357 | | $ 207,089 | | $ (25,310) | | $ 181,779 |
| Defensive Long 500 | | 22,983,955 | | 9,479,763 | | (1,040,441) | | 8,439,322 |
| Total Return | | 26,318,066 | | 2,915,353 | | (345,303) | | 2,570,050 |
| Enhanced 500 Plus | | 4,247,832 | | 1,111,407 | | (243,094) | | 868,313 |
| Hedged Plus | | 21,917,583 | | 5,047,400 | | (823,940) | | 4,223,460 |
| Short Strategies | | 3,551,544 | | 438,317 | | (398,693) | | 39,624 |
| * | Because tax adjustments are calculated annually at the end of the Fund’s fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent annual report. |
GOTHAM FUNDS
Notes to Financial Statements (Concluded) March 31, 2022
(Unaudited)
Pursuant to federal income tax rules applicable to regulated investment companies, the Funds may elect to treat certain capital losses between November 1 and September 30 and late year ordinary losses ((i) ordinary losses between January 1 and September 30 or (ii) specified ordinary losses between November 1 and September 30) as occurring on the first day of the following tax year. For the year ended September 30, 2021, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until October 1, 2021. For the year ended September 30, 2021, the Funds deferred to October 1, 2021 the following losses:
| | Late-Year Ordinary
Losses Deferral | | Short-Term Capital
Loss Deferral | | Long-Term Capital
Loss Deferral |
| Short Strategies | $24,839 | | $— | | $— |
Accumulated capital losses represent net capital loss carryforwards as of September 30, 2021 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. For Short Strategies, the future use of available capital loss carryforwards may be subject to limitation under Internal Revenue Code Section 382. The Funds are permitted to carry forward capital losses for an unlimited period. Capital losses that are carried forward will retain their character as either short-term or long-term capital losses. As of September 30, 2021, the following Funds had long-term and short-term capital loss carryforwards in the following amounts:
| | Capital Loss Carryforward |
| | Short-Term | | Long-Term |
| Defensive Long 500 | $10,025,927 | | $ — |
| Hedged Plus | 592,028 | | — |
| Short Strategies | 16,412,396 | | 40,411 |
7. Subsequent Events
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were available to be issued, and has determined that there are no material subsequent events requiring recognition or disclosure in the financial statements.
GOTHAM FUNDS
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Funds uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling 1 (877) 974-6852 and on the Securities and Exchange Commission's ("SEC") website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended December 31 and June 30) as an exhibit to their reports on Form N-PORT. The Trust's portfolio holdings on Form N-PORT are available on the SEC's website at http://www.sec.gov.
GOTHAM FUNDS
Statement Regarding Liquidity Risk Management Program
(Unaudited)
On October 16, 2016, the Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Board of Trustees (the “Board”) of FundVantage Trust, on behalf of the Gotham Funds (each a “Fund” and, collectively, the “Funds”), met on December 1-2, 2021 (the “Meeting”) to review the liquidity risk management program (the “Program”) applicable to the Funds, pursuant to the Liquidity Rule. The Board has appointed a committee of individuals to serve as the program administrator for the Funds’ Program (the “Program Committee”). At the Meeting, the Program Committee provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation and any material changes to the Program as of September 30, 2021 (the “Report”).
The Report described the Program’s liquidity classification methodology. It also described the Program Committee’s methodology in determining whether a Highly Liquid Investment Minimum (a “HLIM”) is necessary and noted that, given the composition of each Fund’s portfolio holdings, a HLIM was not currently required for any of the Funds.
The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing liquidity risk, as follows:
A. Each Fund’s investment strategy and liquidity of Fund investments during both normal and reasonably foreseeable stressed conditions: As part of the Report, the Program Committee reviewed each Fund’s strategy and its determination that the strategy remains appropriate for an open-end fund structure. This determination was based on each Fund’s holdings of Highly Liquid Investments, the diversification of holdings and the related average position size of the holdings.
B. Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions: As part of the Report, the Program Committee reviewed historical net redemption activity and noted that it used this information as a component to establish each Fund’s reasonably anticipated trading size. Each Fund has adopted an in-kind redemption policy which may be utilized to meet larger redemption requests. The Program Committee also took into consideration each Fund’s shareholder ownership concentration and the fact that shares of the Funds are offered through intermediaries. The intermediary agreements increase the likelihood of large unanticipated redemptions, meaning a Fund may not have the ability to conduct an orderly sale of portfolio securities. The amount of assets a Fund has on these platforms is a significant factor in the ability of the Fund to meet redemption expectations. In light of each Fund’s holdings, it was noted that each Fund maintains a high level of liquidity to meet shareholder redemptions under both normal and stressed market conditions.
C. Holdings of cash and cash equivalents, as well as borrowing arrangements: As part of the Report, the Program Committee reviewed any changes in each Fund’s cash and cash equivalents positions in response to current/anticipated redemption activity or market conditions. It was noted that the Funds do not currently have a borrowing or other credit funding arrangement.
Investment Adviser
Gotham Asset Management, LLC
535 Madison Avenue, 30th Floor
New York, NY 10022
Administrator
The Bank of New York Mellon
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1800
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Troutman Pepper Hamilton Sanders LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
| Sirios Long/Short Fund |
| Sirios Focus Fund |
of
FundVantage Trust
SEMI-ANNUAL REPORT
March 31, 2022
(Unaudited)
This report is submitted for the general information of shareholders and is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus.
Sirios Long/Short Fund
Semi-Annual Report
Performance Data
March 31, 2022
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2022 |
| | Six
Months† | | 1 Year | | 3 Years | | Since
Inception |
| Institutional Class Shares | 0.62% | | 5.65% | | 5.81% | | 5.55% * |
| HFRX Equity Hedge Index | 2.35% | | 8.92% | | 6.91% | | 4.06% ** |
| † | Not Annualized. |
| * | The Sirios Long/Short Fund (the "Fund") Institutional Class shares commenced operation on May 3, 2018. |
| ** | Benchmark performance is from the commencement date of the Fund Class only and is not the commencement date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (866) 640-5704. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated February 1, 2022 are 2.49% and 1.60%, respectively, for Institutional Class shares of the Fund’s average daily net assets. These rates may fluctuate and may differ from the actual expenses incurred by the Fund for the period covered by this report. Sirios Capital Management, L.P. (the “Adviser”) has contractually agreed to reduce its compensation and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses, excluding taxes, interest, extraordinary items, brokerage commissions, fees and expenses attributable to a distribution or service plan adopted by the Trust, dividend and interest expense on short sales of securities, and “Acquired Fund Fees and Expenses,” as defined in Form N-1A, do not exceed 1.60% (on an annual basis) of the Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until April 30, 2023, unless the Board of Trustees of the Trust approves its earlier termination. This agreement may be terminated only by the Fund’s Board of Trustees. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts waived, reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek recoupment from the Fund, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of the reimbursement. No reimbursement will occur unless the Fund’s expenses are below the Expense Limitation.
The Fund evaluates its performance as compared to that of the HFRX Equity Hedge Index (“HFRX Index”). Hedge Fund Research, Inc. constructs the HFRX Index methodology. The HFRX Index is comprised of long/short equity hedge funds. The HFRX Index is unmanaged and its returns (i) do not include sales charges or fees, which would lower performance; and (ii) are subject to a variety of material distortions, as investments in hedge funds typically involve substantial risks, including the “risk of ruin.” It is impossible to invest directly in an index.
The Fund is non-diversified and invests in a limited number of securities. As a result, the Fund’s investment performance may be more volatile, as it may be more susceptible to risks associated with a single economic, political, or regulatory event than a fund that invests in a greater number of issuers.
Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. Mutual Fund investing involves risk, including loss of principal.
Sirios Focus Fund
Semi-Annual Report
Performance Data
March 31, 2022
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2022 |
| | Six
Months† | | 1 Year | | Since
Inception |
| Institutional Class Shares | 1.79% | | 9.68% | | 14.35% * |
| S&P 500® Index | 5.92% | | 15.65% | | 18.80% ** |
| † | Not Annualized. |
| * | The Sirios Focus Fund (the "Fund") Institutional Class shares commenced operation on December 16, 2020. |
| ** | Benchmark performance is from the commencement date of the Fund Class only and is not the commencement date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (866) 640-5704. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Fund has been in existence for less than one year; cumulative performance may not be indicative of the Fund’s long-term potential. The Fund returns will fluctuate over long and short-term periods.
The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated February 1, 2022, are 3.10% and 1.60%, respectively, for Institutional Class shares of the Fund’s average daily net assets. These rates may fluctuate and may differ from the actual expenses incurred by the Fund for the period covered by this report. Sirios Capital Management, L.P. (the “Adviser”) has contractually agreed to reduce its compensation and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses, excluding taxes, interest, extraordinary items, brokerage commissions, fees and expenses attributable to a distribution or service plan adopted by the Trust, dividend and interest expense on short sales of securities and “Acquired Fund Fees and Expenses,” as defined in Form N-1A, do not exceed 1.60% (on an annual basis) of the Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until February 1, 2023, unless the Board of Trustees of the Trust approves its earlier termination. This agreement may be terminated only by the Fund’s Board of Trustees. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts waived, reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek recoupment from the Fund, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of the reimbursement. No reimbursement will occur unless the Fund’s expenses are below the Expense Limitation.
The Fund evaluates its performance as compared to that of the Standard & Poor’s 500® Index (“S&P 500®“). The S&P 500® is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. It is impossible to invest directly in an index.
The Fund is non-diversified and invests in a limited number of securities. As a result, the Fund’s investment performance may be more volatile, as it may be more susceptible to risks associated with a single economic, political, or regulatory event than a fund that invests in a greater number of issuers.
Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. Mutual Fund investing involves risk, including loss of principal.
SIRIOS FUNDS
Fund Expense Disclosure
March 31, 2022
(Unaudited)
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management fees, distribution and/or service (Rule 12b-1) fees (if any) and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested at the beginning of the six-month period from October 1, 2021 through March 31, 2022 and held for the entire period.
Actual Expenses
The first line of each Fund in the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000= 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Examples for Comparison Purposes
The second line of each Fund in the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund(s) and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | Beginning Account Value
October 1, 2021 | | Ending Account Value
March 31, 2022 | | Expenses Paid
During Period |
| Sirios Long/Short Fund |
| Institutional Class* | | | | | |
| Actual | $1,000.00 | | $1,006.20 | | $8.10** |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,016.85 | | 8.15** |
| Sirios Focus Fund |
| Institutional Class*** | | | | | |
| Actual | $1,000.00 | | $1,017.90 | | $8.05 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,016.95 | | 8.05 |
| * | Expenses are equal to the annualized expense ratio for the six-month period ended March 31, 2022 of 1.62% for Institutional shares, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (182), then divided by 365 to reflect the period. The Institutional Class shares ending account values on the first line of the table is based on the actual six-month total return of 0.62%. |
| ** | These amounts include interest paid on securities which the Fund has sold short (“Short-sale interest”). The amount of short-sale interest expense was 0.02% of average net assets for the Institutional Class shares of the Fund. |
| *** | Expenses are equal to the annualized expense ratio for the six-month period ended March 31, 2022 of 1.60% for Institutional Class shares, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (182), then divided by 365 to reflect the period. The Institutional Class shares ending account values on the first line of the table is based on the actual six-month total return of 1.79%. |
Sirios Long/Short Fund
Portfolio Holdings Summary Table
March 31, 2022
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| LONG POSITIONS: | | | |
| COMMON STOCKS: | | | |
| Healthcare-Products | 10.8% | | $ 3,256,642 |
| Commercial Services | 10.2 | | 3,051,027 |
| Semiconductors | 8.6 | | 2,596,847 |
| Banks | 8.0 | | 2,411,267 |
| Software | 5.9 | | 1,775,750 |
| Retail | 4.3 | | 1,304,876 |
| Pharmaceuticals | 3.7 | | 1,122,048 |
| Airlines | 3.5 | | 1,054,408 |
| Building Materials | 3.2 | | 953,912 |
| Oil & Gas Services | 3.0 | | 895,931 |
| Leisure Time | 2.8 | | 854,376 |
| Beverages | 2.3 | | 683,590 |
| Telecommunications | 2.2 | | 674,500 |
| Auto Manufacturers | 2.2 | | 656,121 |
| Home Builders | 1.5 | | 450,562 |
| Diversified Financial Services | 1.2 | | 358,784 |
| Auto Parts & Equipment | 1.2 | | 356,324 |
| Environmental Control | 1.1 | | 331,787 |
| Internet | 1.0 | | 305,948 |
| Electronics | 1.0 | | 300,775 |
| Transportation | 0.9 | | 278,967 |
| Miscellaneous Manufacturing | 0.8 | | 225,819 |
| Chemicals | 0.2 | | 47,927 |
| Total Common Stocks | 79.6 | | 23,948,188 |
| Short-Term Investment | 17.4 | | 5,223,288 |
| Total Long Positions | 97.0 | | 29,171,476 |
| SHORT POSITIONS: | | | |
| COMMON STOCKS: | | | |
| Diversified Financial Services | (1.3) | | (393,855) |
| Total Short Position | (1.3) | | (393,855) |
| Other Assets in Excess of Liabilities | 4.3% | | 1,304,696 |
| NET ASSETS | 100.0% | | $30,082,317 |
Portfolio holdings are subject to change at any time.
The Fund obtains its short exposure through the use of one or more swap contracts. Refer to the Portfolio of Investments for more details on the individual swap contracts.
The accompanying notes are an integral part of the financial statements.
SIRIOS LONG/SHORT FUND
Portfolio of Investments
March 31, 2022
(Unaudited)
| | Number
of Shares | | Values |
| LONG POSITIONS — 97.0% |
| COMMON STOCKS — 79.6% |
| Airlines — 3.5% |
| Southwest Airlines Co.†* | 23,022 | | $ 1,054,408 |
| Auto Manufacturers — 2.2% |
| PACCAR, Inc. | 7,450 | | 656,121 |
| Auto Parts & Equipment — 1.2% |
| Allison Transmission Holdings, Inc. | 9,076 | | 356,324 |
| Banks — 8.0% |
| KeyCorp. † | 13,122 | | 293,671 |
| Regions Financial Corp. | 35,550 | | 791,343 |
| Wells Fargo & Co.† | 27,368 | | 1,326,253 |
| | | | 2,411,267 |
| Beverages — 2.3% |
| Constellation Brands, Inc., Class A† | 2,968 | | 683,590 |
| Building Materials — 3.2% |
| Johnson Controls International PLC | 14,548 | | 953,912 |
| Chemicals — 0.2% |
| Sherwin-Williams Co. (The) | 192 | | 47,927 |
| Commercial Services — 10.2% |
| PayPal Holdings, Inc.* | 2,700 | | 312,255 |
| S&P Global, Inc.† | 6,677 | | 2,738,772 |
| | | | 3,051,027 |
| Diversified Financial Services — 1.2% |
| LPL Financial Holdings, Inc. | 1,964 | | 358,784 |
| Electronics — 1.0% |
| Keysight Technologies, Inc.* | 1,904 | | 300,775 |
| Environmental Control — 1.1% |
| Waste Connections, Inc. | 2,375 | | 331,787 |
| Healthcare-Products — 10.8% |
| Abbott Laboratories† | 2,747 | | 325,135 |
| Alcon, Inc. (Switzerland) | 19,364 | | 1,536,146 |
| Boston Scientific Corp.†* | 10,808 | | 478,686 |
| Danaher Corp.† | 2,622 | | 769,111 |
| Medtronic PLC (Ireland) | 1,330 | | 147,564 |
| | | | 3,256,642 |
| Home Builders — 1.5% |
| DR Horton, Inc.† | 6,047 | | 450,562 |
| Internet — 1.0% |
| Alphabet, Inc., Class A* | 110 | | 305,948 |
| Leisure Time — 2.8% |
| Carnival Corp.* | 42,254 | | 854,376 |
| Miscellaneous Manufacturing — 0.8% |
| Eaton Corp. PLC | 1,488 | | 225,819 |
| | Number
of Shares | | Values |
| Common Stocks — (Continued) |
| Oil & Gas Services — 3.0% |
| Baker Hughes Co. | 5,066 | | $ 184,453 |
| Halliburton Co. | 5,093 | | 192,872 |
| Schlumberger NV | 12,554 | | 518,606 |
| | | | 895,931 |
| Pharmaceuticals — 3.7% |
| Eli Lilly & Co.† | 1,843 | | 527,780 |
| Pfizer, Inc.† | 11,479 | | 594,268 |
| | | | 1,122,048 |
| Retail — 4.3% |
| Portillo's, Inc., Class A* | 19,407 | | 476,636 |
| Williams-Sonoma, Inc. | 5,712 | | 828,240 |
| | | | 1,304,876 |
| Semiconductors — 8.6% |
| Analog Devices, Inc.† | 5,270 | | 870,498 |
| Marvell Technology, Inc.† | 7,117 | | 510,360 |
| QUALCOMM, Inc.† | 7,957 | | 1,215,989 |
| | | | 2,596,847 |
| Software — 5.9% |
| Adobe, Inc.* | 236 | | 107,526 |
| Dropbox, Inc., Class A* | 6,449 | | 149,939 |
| Microsoft Corp. | 2,070 | | 638,202 |
| PTC, Inc.* | 643 | | 69,264 |
| Roper Technologies, Inc.† | 1,717 | | 810,819 |
| | | | 1,775,750 |
| Telecommunications — 2.2% |
| Anterix, Inc.* | 3,658 | | 211,798 |
| T-Mobile US, Inc.* | 3,605 | | 462,702 |
| | | | 674,500 |
| Transportation — 0.9% |
| Old Dominion Freight Line, Inc. | 934 | | 278,967 |
TOTAL COMMON STOCKS
(Cost $21,278,196) | | | 23,948,188 |
| SHORT-TERM INVESTMENTS — 17.4% |
Dreyfus Treasury Obligations Cash Management Fund, Institutional Shares, 0.15%(a)
(Cost $5,223,288) | 5,223,288 | | 5,223,288 |
|
| |
TOTAL LONG POSITIONS - 97.0%
(Cost $26,501,484) | | | $ 29,171,476 |
The accompanying notes are an integral part of the financial statements.
SIRIOS LONG/SHORT FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Values |
|
| SHORT POSITIONS — (1.3)% |
| Common Stocks — (1.3)% |
| Diversified Financial Services — (1.3)% |
| Capital One Financial Corp. | (1,655) | | $ (217,285) |
| Coinbase Global, Inc., Class A* | (930) | | (176,570) |
Total Common Stocks
(Proceeds $387,632) | | | (393,855) |
|
| |
TOTAL SHORT POSITIONS - (1.3)%
(Proceeds $387,632) | | | $ (393,855) |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 4.3% | | | 1,304,696 |
| NET ASSETS - 100.0% | | | $ 30,082,317 |
| † | Security position is either entirely or partially held in a segregated account as collateral for swap agreements and forward foreign currency contracts or securities sold short. (See Note 1 of the Notes to Financial Statements) |
| * | Non-income producing. |
| (a) | Rate disclosed is the 7-day yield at March 31, 2022. |
Forward foreign currency contracts outstanding as of March 31, 2022 were as follows:
| Currency Purchased | | Currency Sold | | Expiration | | Counterparty | | Unrealized
Appreciation
(Depreciation) |
| EUR | 18,000 | | USD | 19,874 | | 06/15/22 | | MS | | $ 98 |
| USD | 2,045,556 | | EUR | 1,857,000 | | 06/15/22 | | MS | | (14,868) |
| USD | 2,518,126 | | GBP | 1,934,000 | | 06/15/22 | | MS | | (21,748) |
| USD | 82,808 | | GBP | 63,000 | | 06/15/22 | | MS | | 72 |
| USD | 316,640 | | SEK | 3,030,000 | | 06/15/22 | | MS | | (6,255) |
| | | | | | | | | | | $(42,701) |
The following table represents Total Return Swaps - Long positions and their related values as of March 31, 2022.
Reference
Entity/Index (Receive) | | Pay | | Payment
Frequency | | Counter-
party | | Expiration
Date | | Notional
Amount | | Value and
Unrealized
Appreciation
(Depreciation) |
| Cellnex Telecom SA | | U.S. Fed Funds +0.550% | | Maturity | | MS | | 11/15/22 | | $ 954,666 | | $ (9,548) |
| Airbus SE | | U.S. Fed Funds +0.550% | | Maturity | | MS | | 01/22/25 | | 306,047 | | (16,516) |
| Cellnex Telecom SA | | U.S. Fed Funds +0.550% | | Maturity | | MS | | 01/22/25 | | 820,404 | | (53,539) |
| London Stock Exchange Group PLC | | U.S. Fed Funds +0.550% | | Maturity | | MS | | 01/22/25 | | 2,330,703 | | 283,590 |
| Telefonaktiebolaget LM Ericsson | | U.S. Fed Funds +0.550% | | Maturity | | MS | | 01/22/25 | | 380,163 | | (44,511) |
| | | | | | | | | | | | | $159,476 |
The accompanying notes are an integral part of the financial statements.
SIRIOS LONG/SHORT FUND
Portfolio of Investments (Concluded)
March 31, 2022
(Unaudited)
The following table represents Total Return Swaps - Short positions and their related values as of March 31, 2022.
Reference
Entity/Index (Pay) | | Receive | | Payment
Frequency | | Counter-
Party | | Expiration
Date | | Notional
Amount | | Value and
Unrealized
Appreciation
(Depreciation) |
| Dow Jones U.S. Real Estate Index | | U.S. Fed Funds -0.200% | | Maturity | | MS | | 10/31/22 | | $ 113,104 | | $ (24,469) |
| S&P 500 Equal Weight Consumer Discretionary | | U.S. Fed Funds -0.350% | | Maturity | | MS | | 10/31/22 | | 264,085 | | (10,473) |
| Walmart, Inc. | | U.S. Fed Funds -0.300% | | Maturity | | MS | | 10/31/22 | | 461,071 | | (33,007) |
| S&P 500 Index Pharmaceuticals Select Sector | | U.S. Fed Funds -0.350% | | Maturity | | MS | | 12/07/23 | | 782,983 | | 13,156 |
| S&P 500 Equal Weight Communication Services | | U.S. Fed Funds -0.350% | | Maturity | | MS | | 02/22/24 | | 1,025,654 | | 92,784 |
| S&P 500 Index Software & Services Select Industry | | U.S. Fed Funds +0.070% | | Maturity | | MS | | 04/11/24 | | 910,853 | | 68,405 |
| S&P Semiconductor Select Index | | U.S. Fed Funds -0.070% | | Maturity | | MS | | 04/11/24 | | 854,009 | | (45,569) |
| Dow Jones U.S. Select Home Construction Index | | U.S. Fed Funds -0.350% | | Maturity | | MS | | 07/24/24 | | 427,840 | | 38,207 |
| S&P 500 Index Retail Select Industry Index | | U.S. Fed Funds -1.270% | | Maturity | | MS | | 07/24/24 | | 511,820 | | 77,811 |
| S&P 500 Equal Weight Financial | | U.S. Fed Funds -0.350% | | Maturity | | MS | | 07/31/24 | | 751,777 | | (30,784) |
| Industrial Select Sector | | U.S. Fed Funds -0.350% | | Maturity | | MS | | 12/03/24 | | 1,994,732 | | (19,669) |
| S&P 500 Index | | U.S. Fed Funds -0.250% | | Maturity | | MS | | 12/05/24 | | 878,225 | | 15,018 |
| Moody's Corporation | | U.S. Fed Funds -0.300% | | Maturity | | MS | | 12/06/24 | | 408,495 | | 56,459 |
| Technology Select Sector | | U.S. Fed Funds -0.100% | | Maturity | | MS | | 01/10/25 | | 769,964 | | 42,227 |
| Health Care Select Sector | | U.S. Fed Funds -0.250% | | Maturity | | MS | | 01/24/25 | | 912,819 | | (35,009) |
| Walmart, Inc. | | U.S. Fed Funds -0.300% | | Maturity | | MS | | 04/11/25 | | 151,412 | | (7,640) |
| | | | | | | | | | | | | $197,447 |
| Total Swap Contracts | | | | | | | | | | | | $356,923 |
| EUR | Euro |
| GBP | British Pound |
| MS | Morgan Stanley |
| PLC | Public Limited Company |
| SEK | Sweden Krona |
| USD | United States Dollar |
The accompanying notes are an integral part of the financial statements.
Sirios Focus Fund
Portfolio Holdings Summary Table
March 31, 2022
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| COMMON STOCKS: | | | |
| Healthcare-Products | 10.8% | | $ 1,286,950 |
| Commercial Services | 10.2 | | 1,214,940 |
| Semiconductors | 8.6 | | 1,023,237 |
| Banks | 8.0 | | 948,875 |
| Software | 5.9 | | 697,977 |
| Retail | 4.3 | | 510,694 |
| Pharmaceuticals | 3.7 | | 439,582 |
| Airlines | 3.5 | | 420,902 |
| Building Materials | 3.2 | | 377,618 |
| Oil & Gas Services | 3.0 | | 355,538 |
| Leisure Time | 2.9 | | 339,959 |
| Beverages | 2.3 | | 269,014 |
| Telecommunications | 2.2 | | 264,420 |
| Auto Manufacturers | 2.2 | | 262,537 |
| Home Builders | 1.5 | | 179,047 |
| Diversified Financial Services | 1.2 | | 142,308 |
| Auto Parts & Equipment | 1.2 | | 140,629 |
| Environmental Control | 1.1 | | 133,274 |
| Internet | 1.0 | | 122,379 |
| Electronics | 1.0 | | 117,530 |
| Transportation | 0.9 | | 111,408 |
| Miscellaneous Manufacturing | 0.7 | | 89,690 |
| Chemicals | 0.2 | | 19,470 |
| Total Common Stocks | 79.6 | | 9,467,978 |
| Other Assets in Excess of Liabilities | 20.4% | | 2,419,431 |
| NET ASSETS | 100.0% | | $11,887,409 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
SIRIOS FOCUS FUND
Portfolio of Investments
March 31, 2022
(Unaudited)
| | Number
of Shares | | Values |
| COMMON STOCKS — 79.6% |
| Airlines — 3.5% |
| Southwest Airlines Co.* | 9,190 | | $ 420,902 |
| Auto Manufacturers — 2.2% |
| PACCAR, Inc. | 2,981 | | 262,537 |
| Auto Parts & Equipment — 1.2% |
| Allison Transmission Holdings, Inc. | 3,582 | | 140,629 |
| Banks — 8.0% |
| KeyCorp. | 5,185 | | 116,040 |
| Regions Financial Corp. | 13,787 | | 306,899 |
| Wells Fargo & Co. | 10,853 | | 525,936 |
| | | | 948,875 |
| Beverages — 2.3% |
| Constellation Brands, Inc., Class A | 1,168 | | 269,014 |
| Building Materials — 3.2% |
| Johnson Controls International PLC | 5,759 | | 377,618 |
| Chemicals — 0.2% |
| Sherwin-Williams Co. (The) | 78 | | 19,470 |
| Commercial Services — 10.2% |
| PayPal Holdings, Inc.* | 1,071 | | 123,861 |
| S&P Global, Inc. | 2,660 | | 1,091,079 |
| | | | 1,214,940 |
| Diversified Financial Services — 1.2% |
| LPL Financial Holdings, Inc. | 779 | | 142,308 |
| Electronics — 1.0% |
| Keysight Technologies, Inc.* | 744 | | 117,530 |
| Environmental Control — 1.1% |
| Waste Connections, Inc. | 954 | | 133,274 |
| Healthcare-Products — 10.8% |
| Abbott Laboratories | 1,089 | | 128,894 |
| Alcon, Inc. (Switzerland) | 7,641 | | 606,160 |
| Boston Scientific Corp.* | 4,237 | | 187,657 |
| Danaher Corp. | 1,039 | | 304,770 |
| Medtronic PLC (Ireland) | 536 | | 59,469 |
| | | | 1,286,950 |
| Home Builders — 1.5% |
| DR Horton, Inc. | 2,403 | | 179,047 |
| Internet — 1.0% |
| Alphabet, Inc., Class A* | 44 | | 122,379 |
| Leisure Time — 2.9% |
| Carnival Corp.* | 16,813 | | 339,959 |
| Miscellaneous Manufacturing — 0.7% |
| Eaton Corp. PLC | 591 | | 89,690 |
| | Number
of Shares | | Values |
| Common Stocks — (Continued) |
| Oil & Gas Services — 3.0% |
| Baker Hughes Co. | 1,978 | | $ 72,019 |
| Halliburton Co. | 2,003 | | 75,854 |
| Schlumberger NV | 5,027 | | 207,665 |
| | | | 355,538 |
| Pharmaceuticals — 3.7% |
| Eli Lilly & Co. | 730 | | 209,050 |
| Pfizer, Inc.† | 4,453 | | 230,532 |
| | | | 439,582 |
| Retail — 4.3% |
| Portillo's, Inc., Class A* | 7,628 | | 187,344 |
| Williams-Sonoma, Inc. | 2,230 | | 323,350 |
| | | | 510,694 |
| Semiconductors — 8.6% |
| Analog Devices, Inc. | 2,115 | | 349,356 |
| Marvell Technology, Inc. | 2,808 | | 201,362 |
| QUALCOMM, Inc.† | 3,092 | | 472,519 |
| | | | 1,023,237 |
| Software — 5.9% |
| Adobe, Inc.* | 91 | | 41,461 |
| Dropbox, Inc., Class A* | 2,525 | | 58,706 |
| Microsoft Corp. | 814 | | 250,964 |
| PTC, Inc.* | 252 | | 27,146 |
| Roper Technologies, Inc. | 677 | | 319,700 |
| | | | 697,977 |
| Telecommunications — 2.2% |
| Anterix, Inc.* | 1,439 | | 83,318 |
| T-Mobile US, Inc.* | 1,411 | | 181,102 |
| | | | 264,420 |
The accompanying notes are an integral part of the financial statements.
SIRIOS FOCUS FUND
Portfolio of Investments (Concluded)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Values |
| Common Stocks — (Continued) |
| Transportation — 0.9% |
| Old Dominion Freight Line, Inc. | 373 | | $ 111,408 |
TOTAL COMMON STOCKS
(Cost $8,639,787) | | | 9,467,978 |
TOTAL INVESTMENTS - 79.6%
(Cost $8,639,787) | | | 9,467,978 |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 20.4% | | | 2,419,431 |
| NET ASSETS - 100.0% | | | $ 11,887,409 |
| † | Security position is either entirely or partially held in a segregated account as collateral for swap agreements and forward foreign currency contracts. (See Note 1 of the Notes to Financial Statements) |
| * | Non-income producing. |
Forward foreign currency contracts outstanding as of March 31, 2022 were as follows:
| Currency Purchased | | Currency Sold | | Expiration | | Counterparty | | Unrealized
Appreciation
(Depreciation) |
| EUR | 6,000 | | USD | 6,625 | | 06/15/22 | | MS | | $ 33 |
| USD | 803,022 | | EUR | 729,000 | | 06/15/22 | | MS | | (5,836) |
| USD | 1,014,578 | | GBP | 779,000 | | 06/15/22 | | MS | | (8,463) |
| USD | 123,207 | | SEK | 1,179,000 | | 06/15/22 | | MS | | (2,434) |
| | | | | | | | | | | $(16,700) |
The following table represents Total Return Swaps - Long positions and their related values as of March 31, 2022.
Reference
Entity/Index (Receive) | | Pay | | Payment
Frequency | | Counter-
party | | Expiration
Date | | Notional
Amount | | Value and
Unrealized
Appreciation
(Depreciation) |
| Airbus SE | | U.S. Fed Funds +0.550% | | Maturity | | MS | | 04/23/24 | | $119,103 | | $ (6,427) |
| Cellnex Telecom SA | | U.S. Fed Funds +0.550% | | Maturity | | MS | | 04/23/24 | | 754,890 | | (72,946) |
| London Stock Exchange Group PLC | | U.S. Fed Funds +0.550% | | Maturity | | MS | | 04/23/24 | | 910,915 | | 108,546 |
| Telefonaktiebolaget LM Ericsson | | U.S. Fed Funds +0.550% | | Maturity | | MS | | 04/23/24 | | 148,653 | | (17,861) |
| Total Swap Contracts | | | | | | | | | | | | $ 11,312 |
| EUR | Euro |
| GBP | British Pound |
| MS | Morgan Stanley |
| PLC | Public Limited Company |
| SEK | Sweden Krona |
| USD | United States Dollar |
The accompanying notes are an integral part of the financial statements.
SIRIOS FUNDS
Statements of Assets and Liabilities
March 31, 2022
(Unaudited)
| | Sirios
Long/Short
Fund | | Sirios
Focus
Fund |
| Assets | | | |
| Investments, at value* | $29,171,476 | | $ 9,467,978 |
| Cash and cash equivalents | 840,135 | | 2,512,507 |
| Cash (segregated for securities sold short and derivative instruments) | 380,613 | | — |
| Receivables: | | | |
| Investments sold | 156,668 | | 32,573 |
| Dividends and interest | 15,614 | | 5,807 |
| Investment adviser | — | | 3,151 |
| Swap contract settlement | — | | 190 |
| Unrealized appreciation on swap contracts | 687,657 | | 108,546 |
| Unrealized appreciation on forward foreign currency contracts | 170 | | 33 |
| Prepaid expenses and other assets | 22,318 | | 1,934 |
| Total Assets | 31,274,651 | | 12,132,719 |
| Liabilities | | | |
| Securities sold short, at value (proceeds received $387,632) | 393,855 | | — |
| Unrealized depreciation on swap contracts | 330,734 | | 97,234 |
| Swap contracts settlement | 211,983 | | — |
| Unrealized depreciation on forward foreign currency contracts | 42,871 | | 16,733 |
| Payables: | | | |
| Investments purchased | 129,290 | | 55,828 |
| Audit fees | 46,489 | | 35,270 |
| Administration and accounting fees | 11,801 | | 12,188 |
| Investment adviser | 11,260 | | — |
| Dividends and fees on securities sold short | 125 | | — |
| Accrued expenses | 13,926 | | 28,057 |
| Total Liabilities | 1,192,334 | | 245,310 |
| Net Assets | $30,082,317 | | $11,887,409 |
| Net Assets Consisted of: | | | |
| Capital stock, $0.01 par value | $ 26,647 | | $ 10,769 |
| Paid-in capital | 27,035,955 | | 10,872,331 |
| Total distributable earnings | 3,019,715 | | 1,004,309 |
| Net Assets | $30,082,317 | | $11,887,409 |
| Institutional Class Shares: | | | |
| Net assets | $30,082,317 | | $11,887,409 |
| Shares outstanding | 2,664,740 | | 1,076,925 |
| Net asset value, offering and redemption price per share | $ 11.29 | | $ 11.04 |
| *Investments, at cost | $26,501,484 | | $ 8,639,787 |
The accompanying notes are an integral part of the financial statements.
SIRIOS FUNDS
Statements of Operations
For the Six Months Ended March 31, 2022
(Unaudited)
| | Sirios
Long/Short
Fund | | Sirios
Focus
Fund |
| Investment income | | | |
| Dividends | $ 138,252 | | $ 55,769 |
| Less: foreign taxes withheld | (141) | | (296) |
| Total investment income | 138,111 | | 55,473 |
| Expenses | | | |
| Advisory fees (Note 2) | 203,306 | | 53,809 |
| Administration and accounting fees (Note 2) | 29,005 | | 33,232 |
| Trustees’ and officers’ fees(Note 2) | 23,908 | | 9,437 |
| Legal fees | 20,318 | | 9,867 |
| Registration and filing fees | 16,481 | | 5,773 |
| Audit fees | 15,468 | | 15,270 |
| Transfer agent fees (Note 2) | 14,515 | | 14,026 |
| Shareholder reporting fees | 12,525 | | 11,904 |
| Custodian fees(Note 2) | 7,793 | | 7,410 |
| Interest and fees on securities sold short and derivative instruments (Note 1) | 2,677 | | 237 |
| Other expenses | 9,087 | | 5,342 |
| Total expenses before waivers and reimbursements | 355,083 | | 166,307 |
| Less: waivers and reimbursements(Note 2) | (111,450) | | (70,422) |
| Net expenses after waivers and reimbursements | 243,633 | | 95,885 |
| Net investment loss | (105,522) | | (40,412) |
| Net realized and unrealized gain/(loss) from investments: | | | |
| Net realized gain from investments | 1,705,815 | | 261,885 |
| Net realized gain from securities sold short | 539 | | — |
| Net realized loss from swaps | (1,162,295) | | (3,387) |
| Net realized loss from foreign currency transactions | (6,515) | | (2,625) |
| Net realized gain from forward foreign currency contracts | 280,914 | | 111,671 |
| Net change in unrealized depreciation on investments | (1,078,307) | | (27,126) |
| Net change in unrealized depreciation on securities sold short | (6,223) | | — |
| Net change in unrealized appreciation/(depreciation) on swaps | 673,564 | | (46,550) |
| Net change in unrealized depreciation on foreign currency translations | (290) | | (11) |
| Net change in unrealized depreciation on forward foreign currency contracts | (113,729) | | (44,710) |
| Net realized and unrealized gain on investments | 293,473 | | 249,147 |
| Net increase in net assets resulting from operations | $ 187,951 | | $ 208,735 |
The accompanying notes are an integral part of the financial statements.
SIRIOS FUNDS
Statements of Changes in Net Assets
| | Sirios Long/Short Fund |
| | For the
Six Months Ended
March 31, 2022
(Unaudited) | | For the Year
Ended
September 30, 2021 |
| Net increase/(decrease) in net assets from operations: | | | |
| Net investment loss | $ (105,522) | | $ (177,317) |
| Net realized gains from investments, securities sold short, swaps, foreign currency transactions and forward foreign currency contracts | 818,458 | | 1,418,220 |
| Net change in unrealized appreciation/(depreciation) on investments, securities sold short, swaps, foreign currency translations and forward foreign currency contracts | (524,985) | | 3,302,978 |
| Net increase in net assets resulting from operations | 187,951 | | 4,543,881 |
| Less dividends and distributions to shareholders from: | | | |
| Total distributable earnings: | | | |
| Institutional Class | (1,412,149) | | (241,186) |
| Net decrease in net assets from dividends and distributions to shareholders | (1,412,149) | | (241,186) |
| Increase in net assets derived from capital share transactions (Note 4) | 1,412,149 | | 105,912 |
| Total increase in net assets | 187,951 | | 4,408,607 |
| Net assets | | | |
| Beginning of period | 29,894,366 | | 25,485,759 |
| End of period | $30,082,317 | | $29,894,366 |
The accompanying notes are an integral part of the financial statements.
SIRIOS FUNDS
Statements of Changes in Net Assets (Concluded)
| | Sirios Focus Fund |
| | For the
Six Months Ended
March 31, 2022
(Unaudited) | | For the Period
December 16, 2020*
to September 30, 2021 |
| Net increase/(decrease) in net assets from operations: | | | |
| Net investment loss | $ (40,412) | | $ (53,350) |
| Net realized gains from investments, swaps, foreign currency transactions and forward foreign currency contracts | 367,544 | | 790,850 |
| Net change in unrealized appreciation/(depreciation) on investments, swaps, foreign currency translations and forward foreign currency contracts | (118,397) | | 941,174 |
| Net increase in net assets resulting from operations | 208,735 | | 1,678,674 |
| Less dividends and distributions to shareholders from: | | | |
| Total distributable earnings: | | | |
| Institutional Class | (883,100) | | — |
| Net decrease in net assets from dividends and distributions to shareholders | (883,100) | | — |
| Increase in net assets derived from capital share transactions (Note 4) | 883,100 | | 10,000,000 |
| Total increase in net assets | 208,735 | | 11,678,674 |
| Net assets | | | |
| Beginning of period | 11,678,674 | | — |
| End of period | $11,887,409 | | $11,678,674 |
| * | The Sirios Focus Fund commenced operations on December 16, 2020. |
The accompanying notes are an integral part of the financial statements.
Sirios Long/Short Fund
Financial Highlights
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class |
| | For the
Six Months Ended
March 31,
2022
(Unaudited) | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 | | For the
Period Ended
September 30,
2018* |
| Per Share Operating Performance | | | | | | | | | |
| Net asset value, beginning of period | $ 11.76 | | $ 10.06 | | $ 10.66 | | $ 10.68 | | $ 10.00 |
| Net investment loss(1) | (0.04) | | (0.07) | | (0.07) | | (0.02) | | (0.01) |
| Net realized and unrealized gain/(loss) on investments | 0.13 | | 1.87 | | (0.47) | | 0.27 | | 0.69 |
| Total from investment operations | 0.09 | | 1.80 | | (0.54) | | 0.25 | | 0.68 |
| Dividends and distributions to shareholders from: | | | | | | | | | |
| Net investment income | — | | — | | (0.06) | | (0.01) | | — |
| Net realized capital gains | (0.56) | | (0.10) | | — | | (0.26) | | — |
| Total dividends and distributions to shareholders | (0.56) | | (0.10) | | (0.06) | | (0.27) | | — |
| Net asset value, end of period | $ 11.29 | | $ 11.76 | | $ 10.06 | | $ 10.66 | | $ 10.68 |
| Total investment return(2) | 0.62% | | 17.93% | | (5.13)% | | 2.74% | | 6.80% |
| Ratios/Supplemental Data | | | | | | | | | |
| Net assets, end of period (in 000s) | $30,082 | | $29,894 | | $25,486 | | $26,945 | | $10,679 |
| Ratio of expenses to average net assets | 1.62% (3)(4) | | 1.69% (4) | | 1.60% | | 2.21% (5) | | 2.10% (3)(5) |
| Ratio of expenses to average net assets without waivers and reimbursements(6) | 2.36% (3) | | 2.49% | | 2.49% | | 3.33% | | 4.57% (3) |
| Ratio of net investment loss to average net assets | (0.70)% (3) | | (0.62)% | | (0.66)% | | (0.22)% | | (0.19)% (3) |
| Portfolio turnover rate | 49% (7) | | 127% | | 153% | | 134% | | 49% (7) |
| * | Commenced operations on May 3, 2018. |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. |
| (3) | Annualized. |
| (4) | Ratio of expenses to average net assets with waivers and reimbursement, excluding short-sale interest expense, was 1.60% for the period ended March 31, 2022 and the year ended September 30, 2021. |
| (5) | Ratio of expenses to average net assets with waivers and reimbursement, excluding short-sale dividend expense, was 1.60% for the year ended September 30, 2019 and for the period ended September 30, 2018. |
| (6) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
| (7) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
Sirios Focus Fund
Financial Highlights (Concluded)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class |
| | For the
Six Months Ended
March 31,
2022
(Unaudited) | | For the
Period Ended
September 30,
2021* |
| Per Share Operating Performance | | | |
| Net asset value, beginning of period | $ 11.68 | | $ 10.00 |
| Net investment loss(1) | (0.04) | | (0.05) |
| Net realized and unrealized gain on investments | 0.28 | | 1.73 |
| Total from investment operations | 0.24 | | 1.68 |
| Dividends and distributions to shareholders from: | | | |
| Net realized capital gains | (0.88) | | — |
| Net asset value, end of period | $ 11.04 | | $ 11.68 |
| Total investment return(2) | 1.79% | | 16.80% |
| Ratios/Supplemental Data | | | |
| Net assets, end of period (in 000s) | $11,887 | | $11,679 |
| Ratio of expenses to average net assets | 1.60% (3) | | 1.60% (3) |
| Ratio of expenses to average net assets without waivers and reimbursements(4) | 2.78% (3) | | 3.10% (3) |
| Ratio of net investment loss to average net assets | (0.68)% (3) | | (0.60)% (3) |
| Portfolio turnover rate | 46% (5) | | 96% (5) |
| * | Commenced operations on December 16, 2020. |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. |
| (3) | Annualized. |
| (4) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
| (5) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
SIRIOS FUNDS
Notes to Financial Statements March 31, 2022
(Unaudited)
1. Organization and Significant Accounting Policies
The Sirios Long/Short Fund and the Sirios Focus Fund are non-diversified, open-end management investment companies registered under the Investment Company Act of 1940, as amended (the “1940 Act”) (the Sirios Long/Short Fund and the Sirios Focus Fund are each a “Fund”, and together, the “Funds”). The Sirios Long/Short Fund commenced investment operations on May 3, 2018 and the Sirios Focus Fund commenced investment operations on December 16, 2020. The Funds are each a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. Each Fund offers Class A, Advisor Class, Institutional Class and Retail Class shares. As of March 31, 2022, Class A, Advisor Class and Retail Class shares have not been issued.
Each Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board Accounting Standards Codification Topic 946.
Portfolio Valuation — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by each Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Each Fund’s equity securities listed on any national exchange market system will be valued at the last sale price. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing price. If there were no transactions on that day, securities traded principally on an exchange will be valued at the mean of the last bid and ask prices prior to the market close. Prices for equity securities normally are supplied by an independent pricing service approved by the Trust’s Board of Trustees (“Board of Trustees”). Fixed income securities are valued based on market quotations, which are furnished by an independent pricing service. Fixed income securities having remaining maturities of 60 days or less are generally valued at amortized cost, provided such amount approximates market value. Any assets held by the Funds that are denominated in foreign currencies are valued daily in U.S. dollars at the foreign currency exchange rates that are prevailing at the time that the Fund determines the daily NAV per share. Foreign securities may trade on weekends or other days when the Funds do not calculate NAV. As a result, the market value of these investments may change on days when you cannot buy or sell shares of the Funds. Foreign securities are valued based on prices from the primary market in which they are traded and are translated from the local currency into U.S. dollars using current exchange rates. Forward foreign currency contracts are valued at the forward rate. Investments in any mutual fund are valued at their respective NAVs as determined by those mutual funds each business day (which may use fair value pricing as disclosed in their prospectuses). OTC investments (including swap contracts) are generally valued by approved pricing services that use evaluated prices from various observable market factors. Securities that do not have a readily available current market value are valued in accordance with procedures adopted by the Trust’s Board of Trustees. The Board of Trustees has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available and has delegated to Sirios Capital Management, L.P. (“Sirios” or the “Adviser”) the responsibility for applying the valuation methods. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. In the event that market quotes are not readily available, and the security or asset cannot be valued pursuant to one of the valuation methods, the value of the security or asset will be determined in good faith by the Adviser. The Trust has established a Valuation Committee which performs certain functions including the oversight of the Adviser’s fair valuation determinations.
SIRIOS FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:
• Level 1 — quoted prices in active markets for identical securities;
• Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
• Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers in and out are recognized at the value at the end of the period.
Securities listed on a non-U.S. exchange are generally fair valued daily by an independent fair value pricing service approved by the Board of Trustees and categorized as Level 2 investments within the hierarchy. The fair valuations for these securities may not be the same as quoted or published prices of the securities on their primary markets. Securities for which daily fair value prices from the independent fair value pricing service are not available are generally valued at the last quoted sale price at the close of an exchange on which the security is traded and categorized as Level 1 investments within the hierarchy. Values of foreign securities, currencies, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the exchange rate of said currencies against the U.S. dollar, as of valuation time, as provided by an independent pricing service approved by the Board of Trustees.
The following is a summary of the inputs used, as of March 31, 2022, in valuing each Fund's investments carried at fair value:
| | Total
Value at
03/31/22 | | Level 1
Quoted
Price | | Level 2
Other
Significant
Observable
Inputs | | Level 3
Significant
Unobservable
Inputs |
| Sirios Long/Short Fund | | | | | | |
| Assets | | | | | | | |
| Long Positions: | | | | | | | |
| Common Stocks | $ 23,948,188 | | $ 23,948,188 | | $ — | | $ — |
| Short-Term Investments | 5,223,288 | | 5,223,288 | | — | | — |
| Derivatives: | | | | | | | |
| Equity Contracts | | | | | | | |
| Total Return Swap Contracts | 687,657 | | — | | 687,657 | | — |
| Foreign Currency Contracts | | | | | | | |
| Forward Foreign Currency Contracts | 170 | | — | | 170 | | — |
| Total Assets | $ 29,859,303 | | $ 29,171,476 | | $ 687,827 | | $ — |
| Liabilities | | | | | | | |
| Short Positions | | | | | | | |
| Common Stocks | $ (393,855) | | $ (393,855) | | $ — | | $ — |
| Derivatives: | | | | | | | |
| Equity Contracts | | | | | | | |
| Total Return Swap Contracts | (330,734) | | — | | (330,734) | | — |
| Foreign Currency Contracts | | | | | | | |
| Forward Foreign Currency Contracts | (42,871) | | — | | (42,871) | | — |
| Total Liabilities | $ (767,460) | | $ (393,855) | | $ (373,605) | | $ — |
SIRIOS FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
| | Total
Value at
03/31/22 | | Level 1
Quoted
Price | | Level 2
Other
Significant
Observable
Inputs | | Level 3
Significant
Unobservable
Inputs |
| Sirios Focus Fund | | | | | | |
| Assets | | | | | | | |
| Common Stocks | $ 9,467,978 | | $ 9,467,978 | | $ — | | $ — |
| Derivatives: | | | | | | | |
| Foreign Currency Contracts | | | | | | | |
| Forward Foreign Currency Contracts | 33 | | — | | 33 | | — |
| Equity Contracts | | | | | | | |
| Total Return Swap Contract | 108,546 | | — | | 108,546 | | — |
| Total Assets | $ 9,576,557 | | $ 9,467,978 | | $ 108,579 | | $ — |
| Liabilities | | | | | | | |
| Derivatives: | | | | | | | |
| Foreign Currency Contracts | | | | | | | |
| Forward Foreign Currency Contracts | $ (16,733) | | $ — | | $ (16,733) | | $ — |
| Equity Contracts | | | | | | | |
| Total Return Swap Contracts | (97,234) | | — | | (97,234) | | — |
| Total Liabilities | $ (113,967) | | $ — | | $ (113,967) | | $ — |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third-party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Funds to present a reconciliation of the beginning to ending balances for reported market values that present changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. A reconciliation of Level 3 investments is presented only when the Funds have an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to net assets. The amounts and reasons for all transfers in and out of Level 3 are disclosed when the Funds had an amount of transfers during the reporting period that was meaningful in relation to net assets as of the end of the reporting period.
For the six months ended March 31, 2022, there were no transfers in or out of Level 3 for the Funds.
Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis.
SIRIOS FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
Interest income is recorded on the accrual basis. Accretion of discounts and amortization of premiums are recorded on a daily basis using the effective yield method except for short-term securities, which records discounts and premiums on a straight-line basis. Dividends are recorded on the ex-dividend date. Estimated components of distributions received from real estate investment trusts may be considered income, return of capital distributions or capital gain distributions. Return of capital distributions are recorded as a reduction of cost of the related investments. The Funds may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned. General expenses of the Trust are generally allocated to each fund under methodologies approved by the Board of Trustees. Expenses directly attributable to a particular fund in the Trust are charged directly to that fund.
Foreign Currency Translation — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.
Each Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investment securities in the Statements of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Statements of Operations.
Cash and Cash Equivalents — Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits with a financial institution with original maturities of three months or less. Each Fund maintains deposits with a high quality financial institution in an amount that is in excess of federally insured limits.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on ex-date and paid at least annually to shareholders. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
U.S. Tax Status — No provision is made for U.S. income taxes as it is each Fund's intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended (“Internal Revenue Code”), and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, each Fund may enter into contracts that provide general indemnifications. Each Fund's maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to its long-term implications. The COVID-19 pandemic could adversely affect the value and liquidity of the Funds’ investments, impair the Funds’ ability to satisfy redemption requests, and negatively impact the Funds’ performance. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services provided to the Funds by its service providers. Fund management is continuing to monitor this development and evaluate its impact on the Funds.
Forward Foreign Currency Contracts — A forward foreign currency contract ("Forward Contract") is a commitment to buy or sell a specific amount of a foreign currency at a negotiated price on a specified future date. Forward Contracts can help a fund manage the risk of changes in currency exchange rates. These contracts are marked-to-market daily at the applicable forward currency translation rates. Each Fund records realized gains or losses at the time the Forward Contract is closed. A Forward Contract is extinguished through a closing transaction or upon delivery of the currency or entering an offsetting contract. A Fund’s maximum risk of loss from counterparty credit risk related to Forward Contracts is the fair value of the contract. Each Fund utilized Forward Contracts for hedging purposes to protect each Fund's return against adverse currency movements.
SIRIOS FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
For the six months ended March 31, 2022, the Funds' average monthly volume of forward foreign currency contracts, purchased and sold, were as follows:
| | Forward Foreign
Currency
Contracts - Purchased | | Forward Foreign
Currency
Contracts - Sold |
| Sirios Long/Short Fund | $375,240 | | $4,602,055 |
| Sirios Focus Fund | $147,654 | | $1,831,321 |
Purchased Options — The Funds may purchase option contracts. They are subject to interest rate and other risk exposure in the normal course of pursuing their investment objectives. The risk associated with purchasing an option is that the Funds pay a premium whether or not the option is exercised. Additionally, the Funds bear the risk of loss of premium and change in market value should the counterparty not perform under the contract. Put and call options are accounted for in the same manner as other securities owned. The cost of securities acquired through the exercise of call options is increased by the premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.
For the six months ended March 31, 2022, the average monthly volume of purchased options for the Sirios Long/Short Fund and the Sirios Focus Fund were $9,509 and $3,863, respectively. As of March 31, 2022, the Sirios Long/Short Fund and the Sirios Focus Fund held no purchased options.
Total Return Swaps — Total return swaps are contracts in which both parties agree to make payments of the total return from a reference instrument during a specified period. The total return includes appreciation or depreciation on the underlying asset, plus any interest or dividend payments. The unrealized appreciation or depreciation also includes interest charges and credits ("financing fees") related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on a specified benchmark rate, such as the U.S. effective federal funds rate ("EFFR"). Payments under the swap are based upon an agreed upon principal amount but, since the principal amount is not exchanged, it represents neither an asset nor a liability to either counterparty, and is referred to as notional. Total return swaps are marked to market daily using different sources, including quotations from counterparties, pricing services, brokers or market makers. The unrealized appreciation or depreciation related to the change in the valuation of the notional amount of the swap is combined with the amount due to the Fund at termination or settlement. The primary risks associated with total return swaps are credit risks (if the counterparty fails to meet its obligations) and market risk (if there is no liquid market for the swap or unfavorable changes occur to the underlying reference instrument). The Funds used total return swaps to enhance returns, obtain short exposure as part of the Funds' strategy and for market exposure.
For the six months ended March 31, 2022, the quarterly average notional volume of the total return swaps were as follows:
| | Notional Amount - Long | | Notional Amount - Short |
| Sirios Long/Short Fund | $11,177,313 | | $2,316,992 |
| Sirios Focus Fund | 967,451 | | — |
As of March 31, 2022, the Sirios Long/Short Fund and the Sirios Focus Fund had securities pledged as collateral for total return swaps and forward foreign currency contracts totaling $4,082,679 and $471,560, respectively.
Counterparty Risk — Certain of the derivatives entered into by each Fund may not be traded on an exchange but instead will be privately negotiated in the over-the-counter market. This means that these instruments are traded between counterparties based on contractual relationships. Relying on a counterparty exposes a Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing a Fund to suffer a loss. If a counterparty defaults on its payment obligations to a Fund, this default will cause the value of an investment in a Fund to decrease. In addition, to the extent a Fund deals with a limited number of counterparties, it will be more susceptible to the credit risks associated with those counterparties. Each Fund is neither restricted from dealing with any particular counterparty nor from concentrating any or all of its transactions with one counterparty. The ability of each Fund to transact business with any one or number of counterparties and the absence of a regulated market to facilitate settlement may increase the potential for losses by each Fund.
SIRIOS FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
Each Fund is subject to the risk that issuers of the instruments in which it invests and trades may default on their obligations, and that certain events may occur that have an immediate and significant adverse effect on the value of those instruments. There can be no assurance that an issuer will not default, or that an event that has an immediate and significant adverse effect on the value of an instrument will not occur, and that each Fund will not sustain a loss on a transaction as a result.
Liquidity Risk — Each Fund may be subject to liquidity risk primarily due to investments in derivatives. Each Fund may invest up to 15% of its net assets in illiquid securities or instruments. Certain derivatives, such as swaps, forward contracts and options may not be readily marketable and, therefore, may be deemed to be illiquid. An asset is not readily marketable if it cannot be sold within seven business days in the ordinary course of business for approximately the amount at which it is valued. Investments in illiquid assets involve the risk that the Fund may be unable to sell the asset or sell it at a reasonable price. In addition, each Fund may be required to liquidate positions or close out derivatives on unfavorable terms at a time contrary to the interests of each Fund in order to raise cash to pay redemptions.
An investment in derivatives is also subject to the risk that the Fund may not be able to terminate the derivatives effective on whatever date it chooses, or that the settlement of any early termination may depend on subsequent market movements. As a result, each Fund may be exposed to the risk of additional losses due to such delays.
Master Netting Agreement — In order to define its contractual rights and to secure rights that will help mitigate its counterparty risk, each Fund has entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”). An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event a Fund’s net assets decline by a stated percentage or a Fund fails to meet the terms of its ISDA Master Agreements. The result would cause a Fund to accelerate payment of any net liability owed to the counterparty.
Collateral Requirements — For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by each Fund and the counterparty. Cash collateral that has been pledged to cover obligations of each Fund and cash collateral received from the counterparty, if any, is reported separately on the Statement of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by each Fund, if any, is noted in the Portfolio of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of each Fund. Any additional required collateral is delivered to/pledged by each Fund on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to each Fund from its counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent each Fund has delivered collateral to a counterparty and stands ready to perform under the terms of its agreement with such counterparty, it bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts. For financial reporting purposes, each Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.
SIRIOS FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
The following tables present derivative assets and liabilities net of amounts available for offset under a master netting agreement and any related collateral received or posted by each Fund for forward foreign currency contracts and total return swaps as of March 31, 2022:
| Counterparty | Derivative
Assets - Gross | Derivative
Available
for Offset | Collateral
Received | Derivative
Assets - Net* |
| Sirios Long/Short Fund | | | | |
| Morgan Stanley | $687,827 | $(373,605) | $— | $314,222 |
| Sirios Focus Fund | | | | |
| Morgan Stanley | $108,579 | $(108,579) | $— | $ — |
| * | Net amount represents the net receivable from the counterparty in the event of a default. |
| Counterparty | Derivative
Liabilities - Gross | Derivative
Available
for Offset | Collateral
Posted | Derivative
Liabilities - Net ** |
| Sirios Long/Short Fund | | | | |
| Morgan Stanley | $(373,605) | $373,605 | $— | $ — |
| Sirios Focus Fund | | | | |
| Morgan Stanley | $(113,967) | $108,579 | $— | $(5,388) |
| ** | Net amount represents the net payable to the counterparty in the event of a default. |
Currency Risk — Each Fund invests in securities of foreign issuers, including American Depositary Receipts. These markets are subject to special risks associated with foreign investments not typically associated with investing in U.S. markets. Because the foreign securities in which each Fund may invest generally trade in currencies other than the U.S. dollar, changes in currency exchange rates will affect each Fund's NAV, the value of dividends and interest earned and gains and losses realized on the sale of securities. Because the NAV for each Fund is determined on the basis of U.S. dollars, each Fund may lose money by investing in a foreign security if the local currency of a foreign market depreciates against the U.S. dollar, even if the local currency value of each Fund's holdings goes up. Generally, a strong U.S. dollar relative to these other currencies will adversely affect the value of each Fund's holdings in foreign securities.
Foreign Securities Market Risk — Securities of many non-U.S. companies may be less liquid and their prices more volatile than securities of comparable U.S. companies. Securities of companies traded in many countries outside the U.S., particularly emerging markets countries, may be subject to further risks due to the inexperience of local investment professionals and financial institutions, the possibility of permanent or temporary termination of trading and greater spreads between bid and asked prices of securities. In addition, non-U.S. stock exchanges and investment professionals are subject to less governmental regulation, and commissions may be higher than in the United States. Also, there may be delays in the settlement of non-U.S. stock exchange transactions.
Short Sales — Each Fund may sell securities short. A short sale involves the sale by a Fund of a security that it does not own with the anticipation of purchasing the same security at a later date at a lower price. If the price of the security has increased during this time, then a Fund will incur a loss equal to the increase in price from the time that the short sale was entered into plus any premiums and interest paid to the third party. Therefore, short sales involve the risk that losses may be exaggerated, potentially losing more money than the actual cost of the investment. Also, there is the risk that the third party to the short sale may fail to honor its contract terms, causing a loss to a Fund. There can be no assurance that a Fund will be able to close out a short position at any particular time or at an acceptable price. Although a Fund’s gain is limited to the amount at which it sold a security short, its potential loss is unlimited. The Funds comply with guidelines established by the Securities and Exchange Commission and other applicable regulatory bodies with respect to coverage of short sales.
SIRIOS FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
As of March 31, 2022, the Sirios Long/Short Fund had securities sold short totaling $393,855, securities pledged as collateral totaling $1,511,713 and deposits with brokers for securities sold short totaling $380,613.
In accordance with the terms of its prime brokerage agreements, the Fund may receive rebate income or be charged fees on securities sold short. Such income or fee is calculated on a daily basis based upon the market value of securities sold short and a variable rate that is dependent upon the availability of such security.
Disclosures About Derivative Instruments and Hedging Activities
The following tables provide quantitative disclosures about fair value amounts of, gains and losses on, each Fund’s derivative instruments as of March 31, 2022.
The following table lists the fair values of each Fund’s derivative holdings as of March 31, 2022 grouped by contract type and risk exposure category.
Sirios Long/Short Fund
Derivative Type | Location
Statement of Assets and Liabilities | Equity
Risk | Foreign Currency
Risk | Total |
| Asset Derivatives | |
| Forward Foreign Currency Contracts | Unrealized appreciation on forward foreign currency contracts | $ — | $ 170 | $ 170 |
| Swap Contracts | Unrealized appreciation on swap contracts | 687,657 | — | 687,657 |
| Total Value - Assets | $ 687,657 | $ 170 | $ 687,827 |
| Liability Derivatives | |
| Forward Foreign Currency Contracts | Unrealized depreciation on forward foreign currency contracts | $ — | $(42,871) | $ (42,871) |
| Swap Contracts | Unrealized depreciation on swap contracts | (330,734) | — | (330,734) |
| Total Value - Liabilities | $(330,734) | $(42,871) | $(373,605) |
Sirios Focus Fund
Derivative Type | Location
Statement of Assets and Liabilities | Equity
Risk | Foreign Currency
Risk | Total |
| Asset Derivatives | |
| Forward Foreign Currency Contracts | Unrealized appreciation on forward foreign currency contracts | $ — | $ 33 | $ 33 |
| Swap Contracts | Unrealized appreciation on swap contracts | 108,546 | — | 108,546 |
| Total Value - Assets | $108,546 | $ 33 | $ 108,579 |
| Liability Derivatives | |
| Forward Foreign Currency Contracts | Unrealized depreciation on forward foreign currency contracts | $ — | $(16,733) | $ (16,733) |
| Swap Contracts | Unrealized depreciation on swap contracts | (97,234) | — | (97,234) |
| Total Value - Liabilities | $ (97,234) | $(16,733) | $(113,967) |
SIRIOS FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
The following table lists the amounts of realized gains or losses included in net decrease in net assets resulting from operations for the period ended March 31, 2022, grouped by contract type and risk exposure.
Sirios Long/Short Fund
Derivative Type | Location
Statement of Operations | Equity
Risk | Foreign Currency
Risk | Total |
| Realized Gain(Loss) | |
| Forward Foreign Currency Contracts | Net realized gain/(loss) from forward foreign currency contracts | $ — | $280,914 | $ 280,914 |
| Purchased Options | Net realized gain/(loss) from investments | (6,456) | — | (6,456) |
| Swap Contracts | Net realized gain/(loss) from swap contracts | (1,162,295) | — | (1,162,295) |
| Total Realized Gain(Loss) | $(1,168,751) | $280,914 | $ (887,837) |
Sirios Focus Fund
Derivative Type | Location
Statement of Operations | Equity
Risk | Foreign Currency
Risk | Total |
| Realized Gain(Loss) | |
| Forward Foreign Currency Contracts | Net realized gain/(loss) from forward foreign currency contracts | $ — | $111,671 | $111,671 |
| Purchased Options | Net realized gain/(loss) from investments | (2,549) | — | (2,549) |
| Swap Contracts | Net realized gain/(loss) from swap contracts | (3,387) | — | (3,387) |
| Total Realized Gain(Loss) | $(5,936) | $111,671 | $105,735 |
The following table lists the amounts of change in unrealized appreciation (depreciation) included in net decrease in net assets resulting from operations for the period ended March 31, 2022, grouped by contract type and risk exposure.
Sirios Long/Short Fund
Derivative Type | Location
Statement of Operations | Equity
Risk | Foreign Currency
Risk | Total |
| Change in Appreciation (Depreciation) | |
| Forward Foreign Currency Contracts | Net change in unrealized depreciation on forward foreign currency contracts | $ — | $(113,729) | $(113,729) |
| Swap Contracts | Net change in unrealized appreciation on swap contracts | 673,564 | — | 673,564 |
| Total Change in Appreciation (Depreciation) | $673,564 | $(113,729) | $ 559,835 |
Sirios Focus Fund
Derivative Type | Location
Statement of Operations | Equity
Risk | Foreign Currency
Risk | Total |
| Change in Appreciation (Depreciation) | |
| Forward Foreign Currency Contracts | Net change in unrealized depreciation on forward foreign currency contracts | $ — | $(44,710) | $(44,710) |
| Swap Contracts | Net change in unrealized depreciation on swap contracts | (46,550) | — | (46,550) |
| Total Change in Appreciation (Depreciation) | $(46,550) | $(44,710) | $(91,260) |
SIRIOS FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
2. Transactions with Related Parties and Other Service Providers
Sirios Capital Management, L.P. (“Sirios”) serves as the investment adviser to each Fund pursuant to an investment advisory agreement with the Trust. For its services, the Adviser earns a monthly fee at the annual rate of 1.35% of the Sirios Long/Short Fund’s average daily net assets; and 0.90% of the Sirios Focus Fund’s average daily net assets. The Adviser has contractually agreed to reduce its compensation and/or reimburse certain expenses of each Fund to the extent necessary to ensure that each Fund’s total operating expenses, excluding taxes, interest, extraordinary items, brokerage commissions, fees and expenses attributable to a distribution or service plan adopted by the Trust, dividend and interest expense on short sales of securities and “Acquired Fund Fees and Expenses,” as defined in Form N-1A, do not exceed 1.60% (on an annual basis) of each Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until April 30, 2023 for the Sirios Long/Short Fund and February 1, 2023 for the Sirios Focus Fund, unless the Board of Trustees approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts waived, reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for each Fund. The Adviser is permitted to seek recoupment from each Fund for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of the reimbursement. No reimbursement will occur unless each Fund’s expenses are below the Expense Limitation. As of March 31, 2022, the amount of potential recovery was as follows:
| | Expiration |
| | 09/30/2022 | | 09/30/2023 | | 09/30/2024 | | 03/31/2025 | | Total |
| Sirios Long/Short Fund | $112,220 | | $231,152 | | $230,327 | | $111,450 | | $685,149 |
| Sirios Focus Fund | — | | — | | 105,845 | | 70,422 | | 176,267 |
For the period ended March 31, 2022, the Adviser earned advisory fees of $203,306 and $53,809 for the Sirios Long/Short Fund and the Sirios Focus Fund, respectively. For the period ended March 31, 2022, the Adviser waived fees and/or reimbursed expenses of $111,450 and $70,422 for the Sirios Long/Short Fund and the Sirios Focus Fund, respectively.
Other Service Providers
The Bank of New York Mellon ("BNY Mellon") serves as administrator and custodian for the Funds. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Funds’ average daily net assets and is subject to certain minimum monthly fees. For providing certain custodial services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
BNY Mellon Investment Servicing (US) Inc. (the “Transfer Agent”) provides transfer agent services to the Funds. The Transfer Agent is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
BNY Mellon and the Transfer Agent have the ability to recover fees waived, if the Sirios Focus Fund terminates its agreements with BNY Mellon and the Transfer Agent within three years of commencing operations. As of March 31, 2022, the amount of potential recovery was $27,370. The ability to recover such amounts previously waived expires on December 16, 2023.
The Trust, on behalf of the Funds, has entered into agreements with financial intermediaries to provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries investing in the Funds and have agreed to compensate the intermediaries for providing those services. The fees incurred by the Funds for these services are included in Transfer Agent fees in the Statements of Operations.
Foreside Funds Distributors LLC (the "Underwriter") provides principal underwriting services to the Funds pursuant to an underwriting agreement between the Trust and the Underwriter.
SIRIOS FUNDS
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
Trustees and Officers
The Trust is governed by its Board of Trustees. The Trustees receive compensation in the form of an annual retainer and per meeting fees for their services to the Trust. An employee of BNY Mellon serves as the Secretary of the Trust and is not compensated by the Funds or the Trust.
JW Fund Management LLC (“JWFM”) provides a Principal Executive Officer and Principal Financial Officer, respectively, to the Trust. Alaric Compliance Services LLC (“Alaric”) provided the Trust with a Chief Compliance Officer and an Anti-Money Laundering officer until December 6, 2021. Effective December 7, 2021, Foreside Consulting LLC (Foreside) provides the Trust with a Chief Compliance Officer and an Anti-Money Laundering Officer. JWFM, Alaric and Foreside are compensated for their services provided to the Trust.
3. Investment in Securities
For the six months ended March 31, 2022, aggregated purchases and sales of investment securities (excluding short-term investments) of the Funds were as follows:
| | Purchases | | Sales |
| Sirios Long/Short Fund | $12,510,684 | | $17,372,851 |
| Sirios Focus Fund | 4,682,713 | | 6,542,193 |
4. Capital Share Transactions
For the six months ended March 31, 2022 and for the year ended September 30, 2021, transactions in capital shares (authorized shares unlimited) were as follows:
| | For the Six Months Ended
March 31, 2022
(Unaudited) | | For the Year Ended
September 30, 2021 |
| | Shares | | Amount | | Shares | | Amount |
| Sirios Long/Short Fund: | | | | | | | |
| Institutional Class | | | | | | | |
| Sales | — | | $ — | | — | | $ — |
| Reinvestments | 122,159 | | 1,412,149 | | 22,127 | | 241,186 |
| Redemptions | — | | — | | (12,430) | | (135,274) |
| Net increase | 122,159 | | $1,412,149 | | 9,697 | | $ 105,912 |
| |
| Sirios Focus Fund: | | | | | | | |
| Institutional Class | | | | | | | |
| Sales | — | | $ — | | 1,000,000 | | $10,000,000 |
| Reinvestments | 76,925 | | 883,100 | | — | | — |
| Redemptions | — | | — | | — | | — |
| Net increase | 76,925 | | $ 883,100 | | 1,000,000 | | $10,000,000 |
5. Federal Tax Information
The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as tax benefit or expense in the current year.Each Fund has determined that there
SIRIOS FUNDS
Notes to Financial Statements (Concluded) March 31, 2022
(Unaudited)
was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
For the year ended September 30, 2021, the tax character of distributions paid by the Sirios Long/Short Fund was $195,719 of ordinary income dividends and $45,467 of long-term capital gains. The Sirios Focus Fund had no distributions for the year ended September 30, 2021.
As of September 30, 2021, the components of distributable earnings on a tax basis were as follows:
| | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Gain | | Unrealized
Appreciation/
(Depreciation) | | Qualified
Late-Year
Losses |
| Sirios Long/Short Fund | $ — | | $993,968 | | $3,294,405 | | $(44,460) |
| Sirios Focus Fund | 765,510 | | — | | 913,164 | | — |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes.
As of the March 31, 2022, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by each Fund were as follows:
| | | Federal
Tax Cost* | | Unrealized
Appreciation | | Unrealized
(Depreciation) | | Net Unrealized
Appreciation/
(Depreciation) |
| Sirios Long/Short Fund | | $26,113,852 | | $3,044,763 | | $(380,994) | | $2,663,769 |
| Sirios Focus Fund | | 8,639,787 | | 969,210 | | (141,019) | | 828,191 |
| * | Because tax adjustments are calculated annually at the end of the Fund’s fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent annual report. |
Pursuant to federal income tax rules applicable to regulated investment companies, the Funds may elect to treat certain capital losses between November 1 and September 30 and late year ordinary losses ((i) ordinary losses between January 1 and September 30, and (ii) specified ordinary and currency losses between November 1 and September 30) as occurring on the first day of the following tax year. For the year ended September 30, 2021, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until October 1, 2021. For the year ended September 30, 2021, the Sirios Long/Short Fund and the Sirios Focus Fund had late year ordinary loss deferrals of $44,460 and $0, respectively.
Accumulated capital losses represent net capital loss carryforwards as of September 30, 2021 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. As of September 30, 2021, the Sirios Long/Short Fund did not have any capital loss carryforwards.
6. Subsequent Events
Management has evaluated the impact of all subsequent events on each Fund through the date the financial statements were issued, and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements.
SIRIOS FUNDS
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Funds uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (866) 640-5704 and on the Securities and Exchange Commission's ("SEC") website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended December 31 and June 30) as an exhibit to their reports on Form N-PORT. The Trust's portfolio holdings on Form N-PORT are available on the SEC's website at http://www.sec.gov.
Board Consideration of Investment Advisory Agreement
At an in-person meeting held on December 1-2, 2021 (the “Meeting”), the Board of Trustees (the “Board” or the “Trustees”) of FundVantage Trust (the “Trust”), including a majority of the Trustees who are not “interested persons” within the meaning of Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Trustees”), unanimously approved the continuation of the Investment Advisory Agreement between Sirios Capital Management, L.P. (“Sirios” or the “Adviser”) and the Trust (the “Sirios Agreement”) on behalf of the Sirios Long/Short Fund and the Sirios Focus Fund (together, the “Sirios Funds”). At the Meeting, the Board considered the continuation of the Sirios Agreement with respect to the Sirios Funds for an additional one-year period.
In determining whether to approve the Agreement, the Trustees, including the Independent Trustees, considered information provided by Sirios in response to a request for information in accordance with Section 15(c) of the 1940 Act (the “Sirios 15(c) Response”) regarding (i) the services performed by Sirios for the Sirios Funds, (ii) the composition and qualifications of Sirios’ portfolio management staff, (iii) any potential or actual material conflicts of interest which may arise in connection with the management of the Sirios Funds, (iv) the investment performance of the Sirios Funds, (v) the financial condition of Sirios, (vi) brokerage selection procedures (including soft dollar arrangements, if any), (vii) the procedures for allocating investment opportunities between the Sirios Funds and other clients, (viii) results of any independent audit or regulatory examination, including any recommendations or deficiencies noted, (ix) any litigation, investigation or administrative proceeding which may have a material impact on Sirios’ ability to service the Sirios Funds, and (x) compliance with the Sirios Funds’ investment objectives, policies and practices (including codes of ethics and proxy voting policies), federal securities laws and other regulatory requirements. In addition to the information in the Sirios 15(c) Response, the Trustees received additional information at Board meetings throughout the year covering matters such as the relative performance of the Sirios Funds; compliance with the Sirios Funds’ investment objective, policies, strategy and limitations; the compliance of portfolio management personnel with applicable codes of ethics; and the adherence to pricing procedures as established by the Board.
The Board considered additional information provided by representatives from Sirios invited to participate in the Meeting regarding Sirios’ history, performance, investment strategy, and compliance program. Representatives of Sirios responded to questions from the Board. In addition to the foregoing information, the Trustees also considered all other factors they believed to be relevant to considering the approval of the Agreements, including the specific matters discussed below. In their deliberations, the Trustees did not identify any particular information that was controlling, and different Trustees may have attributed different weights to the various factors. After deliberating, the Trustees determined that the overall arrangement between the Sirios Funds and Sirios, as provided by the terms of the Agreements, including the advisory fees under the Agreement, were fair and reasonable in light of the services provided, expenses incurred and such other matters as the Trustees considered relevant.
The Trustees considered the services provided by Sirios to the Sirios Funds. The Trustees considered Sirios’ personnel and the depth of Sirios’ personnel who provide investment management services to the Sirios Funds and their experience. Based on the Sirios 15(c) Response, the Trustees concluded that (i) the nature, extent and quality of the services provided (or to be provided) by Sirios are appropriate and consistent with the terms of the Agreement, (ii) that the quality of those services has been, and continues to be,
SIRIOS FUNDS
Other Information (Continued)
(Unaudited)
consistent with industry norms, (iii) the Sirios Funds are likely to benefit from the provision of those services, (iv) Sirios has sufficient personnel, with the appropriate skills and experience, to serve the Sirios Funds effectively and has demonstrated its continuing ability to attract and retain qualified personnel, and (v) the satisfactory nature, extent, and quality of services currently provided to the Sirios Funds is likely to continue under the Agreements.
The Board discussed Sirios’ business continuity plan, and its ability to continue to manage the Sirios Funds effectively in light of the ongoing COVID-19 pandemic, continuing federal, state and local responses thereto and related volatility in the financial markets.
The Trustees considered the investment performance for the Sirios Funds and Sirios. The Trustees reviewed historical performance charts which showed the performance of the Sirios Funds as compared to their respective benchmark indices and Lipper categories for the year-to-date, one year, three year and since inception periods ended September 30, 2021, as applicable. The Trustees considered the short term and long term performance of the Sirios Funds, as applicable. The Trustees noted that they considered performance reports provided at Board meetings throughout the year.
Sirios Long/Short Fund. The Trustees noted that the Sirios Long/Short Fund’s Institutional Class shares outperformed the HFRX Equity Hedge Index for the one year and since inception periods ended September 30, 2021 and underperformed for the year-to-date and three year periods ended September 30, 2021. They further noted that the Sirios Long/Short Fund’s Institutional Class shares outperformed the Lipper Alternative Long/Short Equity Funds Index for the one year period ended September 30, 2021 and underperformed for the year-to-date, three year and since inception periods ended September 30, 2021.
Sirios Focus Fund. The Trustees noted that the Sirios Focus Fund’s Institutional Class shares underperformed the S&P 500 Total Return Index for the year-to-date and since inception periods ended September 30, 2021. They further noted that the Sirios Focus Fund’s Institutional Class shares outperformed the Lipper Large-Cap Growth Funds Index for the year-to-date and since inception periods ended September 30, 2021.
The Trustees concluded that the performance of each of the Sirios Funds was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
The Trustees noted that the representatives of Sirios had provided information regarding its advisory fees and an analysis of these fees in relation to the services provided to the Funds and any other ancillary benefit resulting from the Sirios’ relationship with the Funds.
The Trustees also reviewed information regarding the fees Sirios charges to certain other clients and evaluated explanations provided by Sirios as to differences in fees charged to the Funds and other similarly managed accounts, where applicable. The Trustees also reviewed a peer comparison of advisory fees and total expenses for each Sirios Fund versus those funds in the Fund’s applicable Lipper category (the “Peer Group”). The Trustees concluded that the advisory fees and services provided by Sirios are consistent with those of other advisers that manage mutual funds with investment objectives, strategies and policies similar to those of the Funds as measured by the information provided by Sirios.
The Board considered, among other data, the specific factors and related conclusions set forth below with respect to each Fund:
Sirios Long/Short Fund. The contractual advisory fee and net total expense ratio for the Sirios Long/Short Fund’s Institutional Class shares were higher than the median of the contractual advisory fee and net total expense ratio for those funds in the Sirios Long/Short Fund’s Peer Group.
Sirios Focus Fund. The contractual advisory fee and net total expense ratio for the Sirios Focus Fund’s Institutional Class shares were higher than the median of the contractual advisory fee and net total expense ratio for those funds in the Sirios Focus Fund’s Peer Group.
SIRIOS FUNDS
Other Information (Concluded)
(Unaudited)
The Trustees considered the costs of the services provided by Sirios, the compensation and benefits received by Sirios in providing services to the Sirios Funds, the profitability and certain additional information related to the financial condition of Sirios. In addition, the Trustees considered any direct or indirect revenues received by affiliates of Sirios.
The Trustees considered the extent to which economies of scale would be realized relative to fee levels as the Sirios Funds grow, and whether the advisory fee levels reflect those economies of scale for the benefit of shareholders. The Trustees considered and determined that economies of scale for the benefit of shareholders should be achieved if assets of the Sirios Funds increase because fixed expenses will be spread across a larger asset base. The Trustees also noted that the Sirios Funds’ advisory fees do not include “breakpoint” reductions in the advisory fee rates at specific asset levels but that Sirios has contractually agreed to waive fees and/or reimburse certain expenses of the Sirios Funds for the benefit of shareholders.
At the Meeting, after consideration of all the factors and taking into consideration the information presented, the Board, including the Independent Trustees, unanimously approved the continuation of the Sirios Agreement for an additional one-year period. In arriving at their decision, the Trustees did not identify any single matter as controlling, but made their determination in light of all the circumstances.
Investment Adviser
Sirios Capital Management, L.P.
One International Place
Boston, MA 02110
Administrator
The Bank of New York Mellon
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103-7096
Legal Counsel
Troutman Pepper Hamilton Sanders LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
| TOBAM Emerging Markets Fund |
of
FundVantage Trust
SEMI-ANNUAL REPORT
March 31, 2022
(Unaudited)
This report is submitted for the general information of shareholders and is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus.
TOBAM Emerging Markets Fund
Semi-Annual Report
Performance Data
March 31, 2022
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2022 |
| | Six
Months† | | 1 Year | | 3 Years | | Since
Inception |
| Class I | -9.14% | | -11.39% | | 0.59% | | 3.25% * |
| MSCI ® EM Net TR Index | -8.20% | | -11.37% | | 4.94% | | 5.50% ** |
| † | Not Annualized. |
| * | The TOBAM Emerging Markets Fund (the "Fund") Class I shares commenced operation on April 25, 2017. |
| ** | Benchmark performance is from the commencement date of the Fund Class only and is not the commencement date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (844) 282-6161. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Fund’s ��Total Annual Fund Operating Expenses” and “Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement” are 1.15% and 1.10%, respectively, of the Fund’s average daily net assets for Class I shares. These ratios are stated in the current prospectus dated February 1, 2022, and may differ from the actual expenses incurred by the Fund for the period covered by this report. TOBAM (“TOBAM” or the “Adviser”) has contractually agreed to waive fees and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses” (as defined in Form N-1A), dividend and interest expense on securities sold short, interest, extraordinary items and brokerage commissions) do not exceed (on an annual basis) 1.10% with respect to Class I shares, of the Fund's average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in effect until January 31, 2023, unless the Board of Trustees (“Board of Trustees”) of the Trust approves its earlier termination. The Adviser may recoup, subject to approval by the Board of Trustees, any expenses or fees it has waived or reimbursed within a three-year period from the date on which the Adviser reduced its compensation and/or assumed expenses of the Fund. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation amount.
A 1.00% redemption fee applies to shares redeemed within 30 days of purchase. The redemption fee is not reflected in the returns shown above.
The Fund evaluates its performance as compared to that of the Morgan Stanley Capital International Emerging Markets Net Total Return Index (“MSCI® EM Net TR Index”). The MSCI® EM Net TR Index is a free float-adjusted, market capitalization-weighted index designed to measure the equity performance of emerging market countries in Africa, Asia, Europe, Latin America, and the Middle East. An index is unmanaged and it is not possible to invest in an index. All mutual fund investing involves risk, including possible loss of principal.
TOBAM EMERGING MARKETS FUND
Fund Expense Disclosure
March 31, 2022
(Unaudited)
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management fees, distribution and/or service (Rule 12b-1) fees (if any) and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested at the beginning of the six-month period from October 1, 2021 through March 31, 2022 and held for the entire period.
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000= 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Examples for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund(s) and other funds. To do so, compare this 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments (if any) or redemption fees. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | Beginning Account Value
October 1, 2021 | | Ending Account Value
March 31, 2022 | | Expenses Paid
During Period* |
| TOBAM Emerging Markets Fund |
| Class I | | | | | |
| Actual | $1,000.00 | | $ 908.60 | | $5.23 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,019.45 | | 5.54 |
| * | Expenses are equal to the annualized expense ratio for the six-month period ended March 31, 2022 of 1.10% for Class I shares, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (182), then divided by 365 to reflect the period. The Fund’s ending account value on the first line in the table is based on the actual six-month total return for the Fund of (9.14)% for Class I shares. |
TOBAM Emerging Markets Fund
Portfolio Holdings Summary Table
March 31, 2022
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| COMMON STOCKS: | | | |
| Pharmaceuticals | 10.3% | | $ 11,374,270 |
| Telecommunications | 7.9 | | 8,772,746 |
| Banks | 7.1 | | 7,864,300 |
| Food | 6.0 | | 6,606,099 |
| Transportation | 4.4 | | 4,855,064 |
| Gas | 4.1 | | 4,573,840 |
| Software | 4.0 | | 4,388,558 |
| Computers | 3.9 | | 4,275,857 |
| Mining | 3.8 | | 4,229,825 |
| Semiconductors | 3.8 | | 4,217,988 |
| Electronics | 3.5 | | 3,824,789 |
| Retail | 3.4 | | 3,712,455 |
| Oil & Gas | 2.8 | | 3,097,280 |
| Healthcare-Services | 2.7 | | 3,010,485 |
| Biotechnology | 2.3 | | 2,582,978 |
| Internet | 2.2 | | 2,371,737 |
| Electric | 2.1 | | 2,366,157 |
| Energy-Alternate Sources | 2.0 | | 2,192,080 |
| Real Estate | 1.9 | | 2,050,317 |
| Miscellaneous Manufacturing | 1.6 | | 1,731,824 |
| Forest Products & Paper | 1.4 | | 1,571,261 |
| Healthcare-Products | 1.3 | | 1,478,799 |
| Diversified Financial Services | 1.3 | | 1,430,719 |
| Agriculture | 1.3 | | 1,381,878 |
| Apparel | 1.3 | | 1,377,186 |
| Beverages | 1.2 | | 1,280,499 |
| Chemicals | 1.1 | | 1,198,395 |
| Water | 1.1 | | 1,177,149 |
| Auto Manufacturers | 1.0 | | 1,077,374 |
| Cosmetics/Personal Care | 0.9 | | 1,030,833 |
| Home Furnishings | 0.9 | | 1,015,711 |
| Shipbuilding | 0.8 | | 853,958 |
| Commercial Services | 0.8 | | 844,567 |
| Airlines | 0.6 | | 670,080 |
| Engineering & Construction | 0.5 | | 580,600 |
| Auto Parts & Equipment | 0.5 | | 521,213 |
| Machinery-Construction & Mining | 0.4 | | 475,615 |
| Insurance | 0.4 | | 420,678 |
| Electrical Components & Equipments | 0.3 | | 380,462 |
| Leisure Time | 0.3 | | 361,132 |
| Housewares | 0.3 | | 325,988 |
| Machinery-Diversified | 0.2 | | 269,059 |
| Metal Fabricate/Hardware | 0.2 | | 207,347 |
| Household Products/Wares | 0.1 | | 157,878 |
| Textiles | 0.1 | | 136,570 |
| Total Common Stocks | 98.1 | | 108,323,600 |
The accompanying notes are an integral part of the financial statements.
TOBAM Emerging Markets Fund
Portfolio Holdings Summary Table (Concluded)
March 31, 2022
(Unaudited)
| | % of Net
Assets | | Value |
| PREFERRED STOCKS: | | | |
| Banks | 0.4% | | $ 499,872 |
| Total Preferred Stocks | 0.4 | | 499,872 |
| Other Assets in Excess of Liabilities | 1.5% | | 1,646,610 |
| NET ASSETS | 100.0% | | $110,470,082 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
TOBAM EMERGING MARKETS FUND
Portfolio of Investments
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — 98.1% |
| Brazil — 3.7% |
| Atacadao SA | 136,200 | | $ 646,521 |
| CCR SA | 120,000 | | 346,058 |
| Raia Drogasil SA | 310,500 | | 1,561,288 |
| Suzano SA | 135,400 | | 1,571,261 |
| | | | 4,125,128 |
| Chile — 0.1% |
| Cencosud SA | 81,441 | | 160,439 |
| China — 31.2% |
| 37 Interactive Entertainment Network Technology Group Co. Ltd., Class A | 37,800 | | 138,867 |
| Agricultural Bank of China Ltd., Class H | 656,000 | | 250,778 |
| Anhui Kouzi Distillery Co. Ltd., Class A | 10,400 | | 88,056 |
| Anhui Yingjia Distillery Co. Ltd., Class A | 11,500 | | 97,572 |
| Asymchem Laboratories Tianjin Co. Ltd., Class A | 4,200 | | 242,051 |
| Bank of Hangzhou Co. Ltd., Class A | 104,600 | | 231,577 |
| BeiGene Ltd., ADR* | 2,986 | | 563,160 |
| Beijing Kingsoft Office Software, Inc., Class A | 8,038 | | 236,530 |
| Beijing Roborock Technology Co. Ltd., Class A | 1,276 | | 111,251 |
| Bosideng International Holdings Ltd. | 684,000 | | 316,926 |
| By-health Co. Ltd., Class A | 29,100 | | 97,122 |
| CanSino Biologics, Inc., Class H* | 22,600 | | 359,709 |
| Changchun High & New Technology Industry Group, Inc., Class A | 7,100 | | 186,951 |
| Chengxin Lithium Group Co. Ltd., Class A* | 16,100 | | 127,641 |
| China Construction Bank Corp., Class H | 471,000 | | 352,810 |
| China CSSC Holdings Ltd., Class A | 82,300 | | 223,327 |
| China Feihe Ltd. | 399,000 | | 392,830 |
| China Gas Holdings Ltd. | 376,200 | | 479,498 |
| China Literature Ltd.* | 118,400 | | 484,898 |
| China Mengniu Dairy Co. Ltd. | 73,000 | | 391,382 |
| China Overseas Land & Investment Ltd. | 258,500 | | 769,226 |
| China Resources Gas Group Ltd. | 268,000 | | 1,127,979 |
| China Yangtze Power Co. Ltd., Class A | 292,811 | | 1,012,294 |
| China Zhenhua Group Science & Technology Co. Ltd., Class A | 9,300 | | 165,451 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| China — (Continued) |
| Chongqing Changan Automobile Co. Ltd., Class A | 106,160 | | $ 188,101 |
| Chongqing Zhifei Biological Products Co. Ltd., Class A | 26,788 | | 582,798 |
| COSCO SHIPPING Holdings Co. Ltd., Class H* | 132,500 | | 227,814 |
| Dongfang Electric Corp. Ltd., Class A | 53,400 | | 113,354 |
| Dongyue Group Ltd. | 272,000 | | 368,492 |
| Ecovacs Robotics Co. Ltd., Class A | 8,600 | | 146,786 |
| ENN Energy Holdings Ltd. | 104,400 | | 1,559,311 |
| GD Power Development Co. Ltd., Class A | 316,700 | | 125,096 |
| Gemdale Corp., Class A | 75,600 | | 170,196 |
| Gigadevice Semiconductor Beijing, Inc., Class A | 11,900 | | 262,480 |
| Ginlong Technologies Co. Ltd., Class A | 4,300 | | 141,055 |
| GoerTek, Inc., Class A | 42,400 | | 228,264 |
| GOME Retail Holdings Ltd.* | 3,647,000 | | 226,150 |
| Guangdong Investment Ltd. | 864,000 | | 1,177,149 |
| Guangdong Kinlong Hardware Products Co. Ltd., Class A | 5,500 | | 92,513 |
| Guangzhou Shiyuan Electronic Technology Co. Ltd., Class A | 12,200 | | 122,972 |
| Hangzhou First Applied Material Co. Ltd., Class A | 16,563 | | 294,037 |
| Hangzhou Silan Microelectronics Co. Ltd., Class A | 24,100 | | 182,624 |
| Hengan International Group Co. Ltd. | 127,500 | | 587,491 |
| Hoshine Silicon Industry Co. Ltd., Class A | 6,500 | | 106,623 |
| Huadong Medicine Co. Ltd., Class A | 32,700 | | 171,449 |
| Hualan Biological Engineering, Inc., Class A | 34,907 | | 111,359 |
| Huizhou Desay Sv Automotive Co. Ltd., Class A | 8,000 | | 158,534 |
| I-Mab, SP ADR* | 8,700 | | 141,288 |
| Industrial & Commercial Bank of China Ltd., Class H | 1,788,000 | | 1,096,138 |
| Industrial Bank Co. Ltd., Class A | 82,800 | | 268,257 |
| Ingenic Semiconductor Co. Ltd., Class A | 8,100 | | 115,769 |
| iQIYI, Inc., ADR* | 66,997 | | 304,166 |
| JA Solar Technology Co. Ltd., Class A | 25,500 | | 313,839 |
The accompanying notes are an integral part of the financial statements.
TOBAM EMERGING MARKETS FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| China — (Continued) |
| JCET Group Co. Ltd., Class A | 34,200 | | $ 131,610 |
| Jiangsu Eastern Shenghong Co. Ltd., Class A | 61,300 | | 136,570 |
| Jiangsu Zhongtian Technology Co. Ltd., Class A | 58,100 | | 154,758 |
| Kingdee International Software Group Co. Ltd.* | 166,000 | | 363,694 |
| Kuang-Chi Technologies Co. Ltd., Class A* | 38,500 | | 103,671 |
| Longfor Group Holdings Ltd. | 112,000 | | 572,899 |
| Maxscend Microelectronics Co. Ltd., Class A | 6,080 | | 199,745 |
| Metallurgical Corp. of China Ltd., Class A | 285,700 | | 168,524 |
| Microport Scientific Corp. | 67,400 | | 149,951 |
| Montage Technology Co. Ltd., Class A | 19,973 | | 210,618 |
| Muyuan Foods Co. Ltd., Class A | 86,184 | | 768,259 |
| NARI Technology Co. Ltd., Class A | 54,600 | | 269,059 |
| National Silicon Industry Group Co. Ltd., Class A* | 37,012 | | 126,789 |
| NAURA Technology Group Co. Ltd., Class A | 9,200 | | 393,048 |
| New Hope Liuhe Co. Ltd., Class A* | 83,500 | | 222,509 |
| Ningbo Ronbay New Energy Technology Co. Ltd., Class A | 7,626 | | 153,854 |
| Ningbo Shanshan Co. Ltd., Class A | 37,100 | | 162,293 |
| Ningxia Baofeng Energy Group Co. Ltd., Class A | 100,600 | | 234,439 |
| Ping An Healthcare and Technology Co. Ltd.* | 130,800 | | 338,056 |
| Poly Developments and Holdings Group Co. Ltd., Class A | 192,800 | | 537,996 |
| Postal Savings Bank of China Co. Ltd., Class H | 2,050,000 | | 1,650,757 |
| Sangfor Technologies, Inc., Class A | 7,558 | | 132,432 |
| SG Micro Corp., Class A | 4,100 | | 209,501 |
| Shandong Gold Mining Co. Ltd., Class A | 46,968 | | 159,506 |
| Shandong Weigao Group Medical Polymer Co. Ltd., Class H | 698,000 | | 741,357 |
| Shanghai Electric Group Co. Ltd., Class A | 237,200 | | 150,552 |
| Shanghai Fosun Pharmaceutical Group Co. Ltd., Class A | 35,500 | | 296,790 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| China — (Continued) |
| Shanghai Fosun Pharmaceutical Group Co. Ltd., Class H | 114,500 | | $ 554,882 |
| Shanghai Putailai New Energy Technology Co. Ltd., Class A | 12,000 | | 263,581 |
| Shanxi Meijin Energy Co. Ltd., Class A* | 67,400 | | 135,114 |
| Shenzhen Kangtai Biological Products Co. Ltd., Class A | 12,400 | | 181,333 |
| Shenzhen Transsion Holdings Co. Ltd., Class A | 12,014 | | 180,290 |
| Shenzhou International Group Holdings Ltd. | 6,600 | | 87,133 |
| Sichuan Road & Bridge Co. Ltd., Class A | 84,000 | | 137,617 |
| Sichuan Swellfun Co. Ltd., Class A | 8,800 | | 113,798 |
| Silergy Corp. | 2,000 | | 234,502 |
| StarPower Semiconductor Ltd., Class A | 2,800 | | 169,185 |
| Sungrow Power Supply Co. Ltd., Class A | 25,300 | | 424,338 |
| Sunwoda Electronic Co. Ltd., Class A | 28,300 | | 121,057 |
| Suzhou Maxwell Technologies Co. Ltd., Class A | 1,691 | | 139,251 |
| Suzhou TA&A Ultra Clean Technology Co. Ltd., Class A | 10,400 | | 116,547 |
| Thunder Software Technology Co. Ltd., Class A | 6,400 | | 99,224 |
| Tingyi Cayman Islands Holding Corp. | 570,000 | | 955,801 |
| Trina Solar Co. Ltd., Class A | 29,750 | | 273,719 |
| Unigroup Guoxin Microelectronics Co. Ltd., Class A | 10,500 | | 336,677 |
| Vipshop Holdings Ltd., ADR* | 21,947 | | 197,523 |
| Walvax Biotechnology Co. Ltd., Class A | 25,900 | | 222,881 |
| Want Want China Holdings Ltd. | 1,365,000 | | 1,259,540 |
| Wens Foodstuffs Group Co. Ltd., Class A* | 112,820 | | 391,110 |
| Will Semiconductor Co. Ltd. Shanghai, Class A | 14,541 | | 439,297 |
| Wingtech Technology Co. Ltd., Class A | 20,900 | | 265,834 |
| Xiamen Faratronic Co. Ltd., Class A | 3,800 | | 119,793 |
The accompanying notes are an integral part of the financial statements.
TOBAM EMERGING MARKETS FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| China — (Continued) |
| Xinjiang Goldwind Science & Technology Co. Ltd., Class A | 64,200 | | $ 131,994 |
| YongXing Special Materials Technology Co. Ltd., Class A | 6,200 | | 114,834 |
| | | | 34,438,083 |
| Greece — 0.4% |
| JUMBO SA | 26,678 | | 397,482 |
| India — 21.9% |
| Adani Green Energy Ltd.* | 48,926 | | 1,228,767 |
| Adani Total Gas Ltd. | 49,595 | | 1,407,052 |
| Apollo Hospitals Enterprise Ltd. | 8,151 | | 483,741 |
| Aurobindo Pharma Ltd. | 57,236 | | 502,724 |
| Avenue Supermarts Ltd.* | 27,344 | | 1,437,996 |
| Bandhan Bank Ltd. | 164,440 | | 662,369 |
| Bharat Petroleum Corp. Ltd. | 246,515 | | 1,164,003 |
| Bharti Airtel Ltd.* | 142,540 | | 1,413,207 |
| Cipla Ltd. | 136,644 | | 1,829,534 |
| Container Corp. Of India Ltd. | 67,054 | | 591,217 |
| Dr Reddy's Laboratories Ltd. | 28,101 | | 1,590,060 |
| Eicher Motors Ltd. | 27,576 | | 889,273 |
| Godrej Consumer Products Ltd.* | 38,233 | | 375,386 |
| HCL Technologies Ltd. | 49,456 | | 755,829 |
| Hero MotoCorp Ltd. | 12,007 | | 361,132 |
| Hindustan Petroleum Corp. Ltd. | 178,778 | | 632,942 |
| Indian Oil Corp. Ltd. | 526,995 | | 822,375 |
| Indian Railway Catering & Tourism Corp. Ltd. | 68,847 | | 697,388 |
| Indus Towers Ltd.* | 192,627 | | 561,527 |
| InterGlobe Aviation Ltd.* | 25,360 | | 670,080 |
| Jubilant Foodworks Ltd. | 6,541 | | 226,032 |
| Lupin Ltd. | 64,416 | | 633,072 |
| Sun Pharmaceutical Industries Ltd. | 148,037 | | 1,781,793 |
| Tata Consultancy Services Ltd. | 17,589 | | 864,418 |
| Tech Mahindra Ltd. | 53,616 | | 1,054,894 |
| United Spirits Ltd.* | 84,149 | | 981,073 |
| Yes Bank Ltd.* | 3,240,121 | | 523,275 |
| | | | 24,141,159 |
| Indonesia — 2.0% |
| Bank Jago Tbk PT* | 694,700 | | 707,906 |
| Merdeka Copper Gold Tbk PT* | 752,100 | | 236,275 |
| Telkom Indonesia Persero Tbk PT | 2,246,400 | | 714,695 |
| Tower Bersama Infrastructure Tbk PT | 2,184,200 | | 435,516 |
| Unilever Indonesia Tbk PT | 620,800 | | 157,878 |
| | | | 2,252,270 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Malaysia — 3.3% |
| Axiata Group Bhd | 810,485 | | $ 730,540 |
| Hartalega Holdings Bhd | 490,700 | | 566,002 |
| Maxis Bhd | 392,800 | | 366,362 |
| Public Bank Bhd | 1,129,700 | | 1,253,155 |
| Top Glove Corp. Bhd | 1,570,200 | | 716,995 |
| | | | 3,633,054 |
| Mexico — 0.2% |
| Grupo Financiero Banorte SAB de CV, Class O | 24,600 | | 185,298 |
| Peru — 1.0% |
| Cia de Minas Buenaventura SAA, ADR* | 46,230 | | 465,536 |
| Credicorp Ltd. | 3,968 | | 681,980 |
| | | | 1,147,516 |
| Poland — 1.8% |
| CD Projekt SA | 20,337 | | 834,805 |
| Dino Polska SA* | 3,214 | | 259,392 |
| Orange Polska SA* | 208,357 | | 390,213 |
| Polski Koncern Naftowy ORLEN SA | 26,634 | | 477,960 |
| | | | 1,962,370 |
| Russia — 0.0% |
| Polyus PJSC(a) | 1,069 | | — |
| South Africa — 3.6% |
| AngloGold Ashanti Ltd. | 56,233 | | 1,334,300 |
| Capitec Bank Holdings Ltd. | 4,651 | | 740,720 |
| Gold Fields Ltd. | 100,067 | | 1,549,598 |
| Harmony Gold Mining Co. Ltd. | 71,178 | | 356,969 |
| | | | 3,981,587 |
| South Korea — 9.6% |
| Alteogen, Inc.* | 5,224 | | 241,287 |
| Amorepacific Corp. | 5,000 | | 655,447 |
| Celltrion Healthcare Co. Ltd. | 15,571 | | 829,447 |
| Celltrion Pharm, Inc.* | 4,359 | | 350,041 |
| Celltrion, Inc. | 2,172 | | 305,711 |
| Coway Co. Ltd. | 13,442 | | 757,674 |
| Doosan Heavy Industries & Construction Co. Ltd.* | 19,529 | | 325,063 |
| Green Cross Corp. | 1,504 | | 249,546 |
| Hanmi Pharm Co. Ltd. | 1,710 | | 385,225 |
| Hanon Systems | 37,480 | | 362,679 |
| HLB, Inc.* | 25,131 | | 630,631 |
| HMM Co. Ltd. | 34,352 | | 818,319 |
| Hyundai Glovis Co. Ltd. | 1,189 | | 187,482 |
| LG Uplus Corp. | 11,376 | | 130,875 |
The accompanying notes are an integral part of the financial statements.
TOBAM EMERGING MARKETS FUND
Portfolio of Investments (Continued)
March 31, 2022
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| South Korea — (Continued) |
| Meritz Fire & Marine Insurance Co. Ltd. | 5,062 | | $ 197,012 |
| NCSoft Corp. | 2,510 | | 962,601 |
| Netmarble Corp. | 2,865 | | 261,817 |
| Orion Corp. | 6,580 | | 479,131 |
| Pearl Abyss Corp.* | 7,907 | | 642,898 |
| Samsung Biologics Co. Ltd.* | 471 | | 320,034 |
| Samsung Fire & Marine Insurance Co. Ltd. | 1,242 | | 223,666 |
| Seegene, Inc. | 10,408 | | 436,149 |
| SK Chemicals Co. Ltd. | 2,983 | | 331,883 |
| SK Telecom Co. Ltd. | 7,371 | | 344,655 |
| Yuhan Corp. | 3,546 | | 170,127 |
| | | | 10,599,400 |
| Taiwan — 13.8% |
| Accton Technology Corp. | 86,000 | | 661,255 |
| Asustek Computer, Inc. | 106,000 | | 1,375,209 |
| AU Optronics Corp. | 1,845,000 | | 1,258,394 |
| E Ink Holdings, Inc. | 138,000 | | 877,515 |
| Eclat Textile Co. Ltd. | 33,660 | | 557,231 |
| Far EasTone Telecommunications Co. Ltd. | 461,000 | | 1,181,205 |
| Feng TAY Enterprise Co. Ltd. | 110,200 | | 732,822 |
| Innolux Corp. | 615,000 | | 356,185 |
| Inventec Corp. | 765,000 | | 655,763 |
| Micro-Star International Co. Ltd. | 96,000 | | 431,007 |
| momo.com, Inc. | 13,000 | | 422,549 |
| Nien Made Enterprise Co. Ltd. | 28,000 | | 325,988 |
| Oneness Biotech Co. Ltd.* | 63,000 | | 469,946 |
| Taiwan High Speed Rail Corp. | 547,000 | | 549,533 |
| Taiwan Mobile Co. Ltd. | 412,000 | | 1,507,648 |
| United Microelectronics Corp. | 726,000 | | 1,333,244 |
| Wan Hai Lines Ltd. | 144,800 | | 792,979 |
| Wiwynn Corp. | 22,000 | | 776,081 |
| Yang Ming Marine Transport Corp.* | 231,000 | | 990,332 |
| | | | 15,254,886 |
| Thailand — 5.5% |
| Airports of Thailand PCL* | 138,400 | | 274,459 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Thailand — (Continued) |
| Bangkok Dusit Medical Services PCL, Class F | 2,340,200 | | $ 1,754,980 |
| Bangkok Expressway & Metro PCL | 1,911,100 | | 498,509 |
| Berli Jucker PCL | 342,400 | | 370,269 |
| Bumrungrad Hospital PCL | 112,900 | | 529,713 |
| Charoen Pokphand Foods PCL | 1,129,820 | | 817,598 |
| Energy Absolute PCL | 154,000 | | 451,987 |
| Krungthai Card PCL | 184,800 | | 340,063 |
| Sri Trang Gloves Thailand PCL, Class F | 240,800 | | 182,863 |
| Srisawad Corp. PCL | 205,200 | | 349,936 |
| Thai Union Group PCL, Class F | 836,500 | | 474,551 |
| | | | 6,044,928 |
TOTAL COMMON STOCKS
(Cost $104,122,856) | | | 108,323,600 |
| PREFERRED STOCKS — 0.4% |
| Brazil — 0.4% |
| Itau Unibanco Holding SA(b) | 86,700 | | 499,872 |
TOTAL PREFERRED STOCKS
(Cost $439,636) | | | 499,872 |
TOTAL INVESTMENTS - 98.5%
(Cost $104,562,492) | | | 108,823,472 |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 1.5% | | | 1,646,610 |
| NET ASSETS - 100.0% | | | $ 110,470,082 |
| (a) | Security is deemed illiquid at March 31, 2022. |
| (b) | Preferred stocks are shares that carry certain preferential rights. The dividend rate may not be consistent each pay period and could be zero for a particular year. |
| * | Non-income producing. |
| ADR | American Depositary Receipt |
| PCL | Public Company Limited |
| PJSC | Public Joint Stock Company |
| SP ADR | Sponsored American Depository Receipt |
The accompanying notes are an integral part of the financial statements.
TOBAM EMERGING MARKETS FUND
Portfolio of Investments (Concluded)
March 31, 2022
(Unaudited)
At March 31, 2022, the Fund held the following open positions in futures contracts:
Long Futures
Outstanding | | Expiration
Date | | Number of
Contracts | | Notional
Cost | | Notional
Amount | | Value and
Unrealized
Appreciation |
| MSCI ® Emerging Markets Index | | 06/17/22 | | 31 | | $1,607,025 | | $1,744,525 | | $137,500 |
| | | | | | | | | | | $137,500 |
The accompanying notes are an integral part of the financial statements.
TOBAM EMERGING MARKETS FUND
Statement of Assets and Liabilities
March 31, 2022
(Unaudited)
| Assets | |
| Investments, at value (Cost $104,562,492) | $108,823,472 |
| Cash and cash equivalents | 1,845,617 |
| Foreign currency, at value (Cost $83,617) | 84,287 |
| Receivables: | |
| Dividends | 148,237 |
| Prepaid expenses and other assets | 3,386 |
| Total Assets | 110,904,999 |
| Liabilities | |
| Payables: | |
| Variation margin on futures contracts* | 98,865 |
| Investment adviser | 199,900 |
| Audit fees | 44,576 |
| Custodian fees | 44,384 |
| Administration and accounting fees | 22,711 |
| Deferred foreign capital gains tax | 5,206 |
| Investments purchased | 15 |
| Accrued expenses | 19,260 |
| Total Liabilities | 434,917 |
| Net Assets | $110,470,082 |
| Net Assets Consisted of: | |
| Capital stock, $0.01 par value | $ 104,029 |
| Paid-in capital | 108,451,874 |
| Total distributable earnings | 1,914,179 |
| Net Assets | $110,470,082 |
| Class I Shares: | |
| Net assets | $110,470,082 |
| Shares outstanding | 10,402,936 |
| Net asset value, offering and redemption price per share | $ 10.62 |
| * | Primary risk exposure is equity index contracts. |
The accompanying notes are an integral part of the financial statements.
TOBAM EMERGING MARKETS FUND
Statement of Operations
For the Six Months Ended March 31, 2022
(Unaudited)
| Investment income | |
| Dividends | $ 1,131,751 |
| Less: foreign taxes withheld | (87,330) |
| Total investment income | 1,044,421 |
| Expenses | |
| Advisory fees (Note 2) | 468,926 |
| Custodian fees(Note 2) | 60,623 |
| Administration and accounting fees (Note 2) | 45,588 |
| Trustees’ and officers’ fees(Note 2) | 21,459 |
| Audit fees | 18,375 |
| Legal fees | 17,447 |
| Registration and filing fees | 14,797 |
| Shareholder reporting fees | 12,487 |
| Transfer agent fees (Note 2) | 12,296 |
| Other expenses | 7,064 |
| Total expenses before waivers and reimbursements | 679,062 |
| Less: waivers and reimbursements(Note 2) | (33,859) |
| Net expenses after waivers and reimbursements | 645,203 |
| Net investment income | 399,218 |
| Net realized and unrealized gain/(loss) from investments: | |
| Net realized loss from investments* | (331,268) |
| Net realized loss from foreign currency transactions | (44,419) |
| Net realized loss from futures contracts** | (269,702) |
| Net change in unrealized depreciation on investments*** | (10,986,577) |
| Net change in unrealized appreciation on foreign currency translations | 3,002 |
| Net change in unrealized appreciation on futures contracts** | 202,719 |
| Net realized and unrealized loss on investments | (11,426,245) |
| Net decrease in net assets resulting from operations | $(11,027,027) |
| * | Net realized loss from investments includes foreign capital gains tax of $79,869. |
| ** | Primary risk exposure is equity index contracts. |
| *** | Includes net increase in deferred foreign capital gains tax of $5,206. |
The accompanying notes are an integral part of the financial statements.
TOBAM EMERGING MARKETS FUND
Statements of Changes in Net Assets
| | For the
Six Months Ended
March 31, 2022
(Unaudited) | | For the Year
Ended
September 30, 2021 |
| Net increase/(decrease) in net assets from operations: | | | |
| Net investment income | $ 399,218 | | $ 1,021,816 |
| Net realized gains/(losses) from investments, foreign currency transactions and futures contracts | (645,389) | | 5,231,085 |
| Net change in unrealized appreciation/(depreciation) on investments, foreign currency translations and futures contracts | (10,780,856) | | 5,303,811 |
| Net increase/(decrease) in net assets resulting from operations | (11,027,027) | | 11,556,712 |
| Less dividends and distributions to shareholders from: | | | |
| Total distributable earnings: | | | |
| Class I | (1,339,760) | | (405,754) |
| Net decrease in net assets from dividends and distributions to shareholders | (1,339,760) | | (405,754) |
| Increase in net assets derived from capital share transactions (Note 4) | 1,249,482 | | 5,405,721 |
| Total increase/(decrease) in net assets | (11,117,305) | | 16,556,679 |
| Net assets | | | |
| Beginning of period | 121,587,387 | | 105,030,708 |
| End of period | $110,470,082 | | $121,587,387 |
The accompanying notes are an integral part of the financial statements.
TOBAM EMERGING MARKETS FUND
Financial Highlights
Contained below is per share operating performance data for Class I shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Class I |
| | For the
Six Months Ended
March 31,
2022
(Unaudited) | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 | | For the
Year Ended
September 30,
2018 | | For the Period from
April 25, 2017*
to September 30,
2017 |
| Per Share Operating Performance | | | | | | | | | | | |
| Net asset value, beginning of period | $ 11.82 | | $ 10.68 | | $ 10.25 | | $ 11.58 | | $ 11.35 | | $ 10.00 |
| Net investment income(1) | 0.04 | | 0.10 | | 0.07 | | 0.15 | | 0.16 | | 0.15 |
| Net realized and unrealized gain/(loss) on investments | (1.11) | | 1.08 | | 0.47 | | (0.91) | | 0.27 | | 1.20 |
| Total from investment operations | (1.07) | | 1.18 | | 0.54 | | (0.76) | | 0.43 | | 1.35 |
| Dividends and distributions to shareholders from: | | | | | | | | | | | |
| Net investment income | (0.13) | | (0.04) | | (0.11) | | (0.12) | | (0.19) | | — |
| Net realized capital gains | — | | — | | — | | (0.45) | | (0.01) | | — |
| Total dividends and distributions to shareholders | (0.13) | | (0.04) | | (0.11) | | (0.57) | | (0.20) | | — |
| Net asset value, end of period | $ 10.62 | | $ 11.82 | | $ 10.68 | | $ 10.25 | | $ 11.58 | | $ 11.35 |
| Total investment return(2) | (9.14)% | | 11.05% | | 5.30% | | (6.47)% | | 3.79% | | 13.50% |
| Ratios/Supplemental Data | | | | | | | | | | | |
| Net assets, end of period (in 000s) | $110,470 | | $121,587 | | $105,031 | | $99,673 | | $49,822 | | $48,020 |
| Ratio of expenses to average net assets | 1.10% (3) | | 1.10% | | 1.10% | | 1.10% | | 0.95% | | 0.85% (3) |
| Ratio of expenses to average net assets without waivers and reimbursements(4) | 1.16% (3) | | 1.15% | | 1.17% | | 1.20% | | 1.44% | | 1.66% (3) |
| Ratio of net investment income to average net assets | 0.68% (3) | | 0.83% | | 0.68% | | 1.48% | | 1.27% | | 3.29% (3) |
| Portfolio turnover rate | 20% (5) | | 42% | | 42% | | 42% | | 33% | | 14% (5) |
| * | Commencement of operations. |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (3) | Annualized. |
| (4) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
| (5) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements March 31, 2022
(Unaudited)
1. Organization and Significant Accounting Policies
The TOBAM Emerging Markets Fund (the “Fund”) is a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), and commenced investment operations on April 25, 2017. The Fund is a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. The Fund offers separate classes of shares: Class A, Class C and Class I Shares. As of March 31, 2022, Class A and Class C shares have not been issued.
The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board Accounting Standards Codification Topic 946.
Portfolio Valuation — The Fund's net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. The Fund’s equity securities listed on any national exchange market system will be valued at the last sale price. Equity securities traded in the over-the-counter ("OTC") market are valued at their closing sale or official closing price. If there were no transactions on that day, securities traded principally on an exchange will be valued at the mean of the last bid and ask prices prior to the market close. Securities that do not have a readily available current market value are valued in accordance with procedures adopted by the Trust’s Board of Trustees. The Board of Trustees has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available and has delegated to TOBAM (“TOBAM” or the “Adviser”) the responsibility for applying the valuation methods. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. In the event that market quotes are not readily available, and the security or asset cannot be valued pursuant to one of the valuation methods, the value of the security or asset will be determined in good faith by the Adviser. The Trust has established a Valuation Committee which performs certain functions including the oversight of the Adviser’s fair valuation determinations. Prices for equity securities normally are supplied by an independent pricing service approved by the Trust’s Board of Trustees. Fixed income securities are valued based on market quotations, which are furnished by an independent pricing service. Fixed income securities having remaining maturities of 60 days or less are generally valued at amortized cost, provided such amount approximates fair value. Any assets held by the Fund that are denominated in foreign currencies are valued daily in U.S. dollars at the foreign currency exchange rates that are prevailing at the time that the Fund determines the daily NAV per share. Foreign securities may trade on weekends or other days when the Fund does not calculate NAV. As a result, the market value of these investments may change on days when you cannot buy or sell shares of the Fund. Investments in other open-end investment companies are valued based on the NAV of such investment companies (which may use fair value pricing as disclosed in their prospectuses). Exchange traded futures contracts are generally valued using the settlement price determined by the relevant exchange. Exchange traded futures contracts for which no settlement price is reported, are generally valued at the mean between the most recent bid and ask prices obtained from approved pricing services, established market makers, or from broker-dealers.
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
• Level 1 — quoted prices in active markets for identical securities;
• Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
• Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers in and out are recognized at the value at the end of the period.
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
Securities listed on a non-U.S. exchange are generally fair valued daily by an independent fair value pricing service approved by the Board of Trustees and categorized as Level 2 investments within the hierarchy. The fair valuations for these securities may not be the same as quoted or published prices of the securities on their primary markets. Securities for which daily fair value prices from the independent fair value pricing service are not available are generally valued at the last quoted sale price at the close of an exchange on which the security is traded and categorized as Level 1 investments within the hierarchy. Values of foreign securities, currencies, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the exchange rate of said currencies against the U.S. dollar, as of valuation time, as provided by an independent pricing service approved by the Board of Trustees.
The following is a summary of the inputs used, as of March 31, 2022, in valuing the Fund's investments carried at fair value:
| | Total
Value at 03/31/22 | | Level 1
Quoted
Price | | Level 2
Other
Significant
Observable
Inputs | | Level 3
Significant
Unobservable
Inputs |
| Assets | | | | | | | |
| Common Stocks | | | | | | | |
| Brazil | $ 4,125,128 | | $ 4,125,128 | | $ — | | $ — |
| Chile | 160,439 | | 160,439 | | — | | — |
| China | 34,438,083 | | 2,497,127 | | 31,940,956 | | — |
| Greece | 397,482 | | — | | 397,482 | | — |
| India | 24,141,159 | | 1,407,052 | | 22,734,107 | | — |
| Indonesia | 2,252,270 | | — | | 2,252,270 | | — |
| Malaysia | 3,633,054 | | 2,013,537 | | 1,619,517 | | — |
| Mexico | 185,298 | | 185,298 | | — | | — |
| Peru | 1,147,516 | | 1,147,516 | | — | | — |
| Poland | 1,962,370 | | — | | 1,962,370 | | — |
| Russia | — | | — | | — | | — |
| South Africa | 3,981,587 | | — | | 3,981,587 | | — |
| South Korea | 10,599,400 | | — | | 10,599,400 | | — |
| Taiwan | 15,254,886 | | — | | 15,254,886 | | — |
| Thailand | 6,044,928 | | — | | 6,044,928 | | — |
| Preferred Stocks | 499,872 | | 499,872 | | — | | — |
| Derivatives: | | | | | | | |
| Equity Contracts | | | | | | | |
| Long Futures | 137,500 | | — | | 137,500 | | — |
| Total Assets | $ 108,960,972 | | $ 12,035,969 | | $ 96,925,003 | | $ — |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third-party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that present changes attributable to
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to net assets. The amounts and reasons for all transfers in and out of Level 3 are disclosed when the Fund had an amount of transfers during the reporting period that was meaningful in relation to net assets as of the end of the reporting period.
For the six months ended March 31, 2022, there were no transfers in or out of Level 3.
Futures Contracts — The Fund may use futures contracts for hedging or speculative purposes consistent with its investment objective. Upon entering into a futures contract, the Fund must deposit initial margin in addition to segregating cash or liquid assets sufficient to meet its obligation to purchase or provide securities, or to pay the amount owed at the expiration of an index-based futures contract. Such liquid assets may consist of cash, cash equivalents, liquid debt or equity securities or other acceptable assets. Pursuant to the futures contract, the Fund agrees to receive from, or pay to the broker, an amount of cash equal to the daily fluctuation in value of the contract. Such a receipt of payment is known as "variation margin" and is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund's basis in the contract. Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities. Use of long futures contracts subjects the Fund to risk of loss in excess of the amount shown on the Statement of Assets and Liabilities, up to the notional value of the futures contract. Use of short futures contracts subjects the Fund to unlimited risk of loss.
During the reporting period, the Fund entered into futures contracts to gain exposure to various markets, as part of the Fund’s investment strategy.
For the six months ended March 31, 2022, the Fund's monthly average volume of futures bought long was $960,542.
Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. The Fund may be subject to foreign taxes on unrealized and realized gains on certain foreign investments. The Fund will accrue such taxes and reclaims, as applicable, based upon the current interpretation of tax rules and regulations that exist in the market in which the Fund invests. General expenses of the Trust are generally allocated to each fund under methodologies approved by the Board of Trustees. Expenses directly attributable to a particular fund in the Trust are charged directly to that fund.
Cash and Cash Equivalents — Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits with a financial institution with original maturities of three months or less. The Fund maintains deposits with a high quality financial institution in an amount that is in excess of federally insured limits.
Foreign Currency Translation—Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investments in the Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currency transactions in the Statement of Operations.
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on ex-date and paid at least annually to shareholders. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended (“Internal Revenue Code”), and make the requisite distributions to its shareholder which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to its long-term implications. The COVID-19 pandemic could adversely affect the value and liquidity of the Fund’s investments, impair the Fund’s ability to satisfy redemption requests, and negatively impact the Fund’s performance. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services provided to the Fund by its service providers. Fund management is continuing to monitor this development and evaluate its impact on the Fund.
On February 24, 2022, Russia commenced a military attack on Ukraine. The outbreak of hostilities between the two countries could result in more widespread conflict and could have a severe adverse effect on the region and the markets. In addition, sanctions imposed on Russia by the United States and other countries, and any sanctions imposed in the future could have a significant adverse impact on the Russian economy and related markets. The price and liquidity of investments may fluctuate widely as a result of the conflict and related events. Management is continuing to monitor this development and evaluate its impact on the Fund. The extent and duration of Russia’s military actions and the repercussions of such actions are impossible to predict, but could result in significant market disruption.
Currency Risk — The Fund invests in securities of foreign issuers, including American Depositary Receipts. These markets are subject to special risks associated with foreign investments not typically associated with investing in U.S. markets. Because the foreign securities in which the Fund may invest generally trade in currencies other than the U.S. dollar, changes in currency exchange rates will affect the Fund's NAV, the value of dividends and interest earned and gains and losses realized on the sale of securities. Because the NAV for the Fund is determined on the basis of U.S. dollars, the Fund may lose money by investing in a foreign security if the local currency of a foreign market depreciates against the U.S. dollar, even if the local currency value of the Fund's holdings goes up. Generally, a strong U.S. dollar relative to these other currencies will adversely affect the value of the Fund's holdings in foreign securities.
Foreign Securities Market Risk — Securities of many non-U.S. companies may be less liquid and their prices more volatile than securities of comparable U.S. companies. Securities of companies traded in many countries outside the U.S., particularly emerging markets countries, may be subject to further risks due to the inexperience of local investment professionals and financial institutions, the possibility of permanent or temporary termination of trading and greater spreads between bid and asked prices of securities. In addition, non-U.S. stock exchanges and investment professionals are subject to less governmental regulation, and commissions may be higher than in the United States. Also, there may be delays in the settlement of non-U.S. stock exchange transactions.
Emerging Markets Risk — The securities of issuers located or doing substantial business in emerging market countries tend to be more volatile and less liquid than the securities of issuers located in countries with more mature economies. Emerging markets generally have less diverse and less mature economic structures and less stable political systems than those of developed countries. Investments in these countries may be subject to political, economic, legal, market and currency risks. The risks may include less protection of property rights and uncertain political and economic policies, the imposition of capital controls and/or foreign investment limitations by a country, nationalization of businesses and the imposition of sanctions by other countries, such as the United States. Recent statements by U.S. securities and accounting regulatory agencies have expressed concern regarding information access and audit quality regarding issuers in China and other emerging market countries, which could present heightened risks associated with investments in these markets.
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
2. Transactions with Related Parties and Other Service Providers
TOBAM serves as investment adviser to the Fund. For its services, the Adviser is paid a monthly fee at the annual rate of 0.80% of the Fund’s average daily net assets. The Adviser has contractually agreed to waive fees and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses” (as defined in Form N-1A), dividend and interest expense on securities sold short, interest, extraordinary items and brokerage commissions) do not exceed 1.10% (on an annual basis), with respect to Class I shares, of the Fund's average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2023, unless the Board of Trustees of the Trust approves its earlier termination. The Adviser may recoup, subject to approval by the Board of Trustees, any expenses or fees it has waived or reimbursed within a three-year period from the date on which the Adviser reduced its compensation and/or assumed expenses of the Fund. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation amount. As of March 31, 2022, the amount of potential recovery was as follows:
| | Expiration |
| | 09/30/2022 | | 09/30/2023 | | 09/30/2024 | | 03/31/2025 | | Total |
| | $37,959 | | $64,807 | | $63,299 | | $33,859 | | $199,924 |
For the six months ended March 31, 2022, the Adviser earned advisory fees of $468,926 and waived fees of $33,859.
Other Service Providers
The Bank of New York Mellon ("BNY Mellon") serves as administrator and custodian for the Fund. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets and is subject to certain minimum monthly fees. For providing certain custodial services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
BNY Mellon Investment Servicing (US) Inc. (the “Transfer Agent”) provides transfer agent services to the Fund. The Transfer Agent is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
The Trust, on behalf of the Fund, has entered into agreements with financial intermediaries to provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries investing in the Fund and has agreed to compensate the intermediaries for providing those services. The fees incurred by the Fund for these services are included in Transfer Agent fees in the Statement of Operations.
Foreside Funds Distributors LLC (the "Underwriter") provides principal underwriting services to the Fund pursuant to an underwriting agreement between the Trust and the Underwriter.
Trustees and Officers
The Trust is governed by its Board of Trustees. The Trustees receive compensation in the form of an annual retainer and per meeting fees for their services to the Trust. An employee of BNY Mellon serves as the Secretary of the Trust and is not compensated by the Fund or the Trust.
JW Fund Management LLC ("JWFM") provides a Principal Executive Officer and Principal Financial Officer, respectively, to the Trust. Alaric Compliance Services LLC ("Alaric") provided the Trust with a Chief Compliance Officer and an Anti-Money Laundering Officer until December 6, 2021. Effective December 7, 2021, Foreside Consulting LLC ("Foreside") provides the Trust with a Chief Compliance Officer and an Anti-Money Laundering Officer. JWFM, Alaric and Foreside are compensated for their services provided to the Trust.
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
March 31, 2022
(Unaudited)
3. Investment in Securities
For the six months ended March 31, 2022, aggregated purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
| | Purchases | | Sales |
| Investment Securities | $23,658,092 | | $23,312,851 |
4. Capital Share Transactions
For the six months ended March 31, 2022 and the year ended September 30, 2021, transactions in capital shares (authorized shares unlimited) were as follows:
| | For the Six Months Ended
March 31, 2022
(Unaudited) | | For the Year Ended
September 30, 2021 |
| | Shares | | Amount | | Shares | | Amount |
| Class I | | | | | | | |
| Sales | 5,436 | | $ 63,058 | | 659,522 | | $ 8,000,000 |
| Reinvestments | 115,687 | | 1,339,655 | | 33,669 | | 405,721 |
| Redemptions | (5,436) | | (153,231) | | (237,154) | | (3,000,000) |
| Net increase | 115,687 | | $1,249,482 | | 456,037 | | $ 5,405,721 |
There is a 1.00% redemption fee that may be charged on shares redeemed which have been held for 30 days or less. The redemption fee is retained by the Fund for the benefit of the remaining shareholders and recorded as paid-in capital.
5. Federal Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as tax benefit or expense in the current year.The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
For the year ended September 30, 2021, the tax character of distributions paid by the Fund was $405,754 of ordinary income dividends. Distributions from net investment income and short-term gains are treated as ordinary income for federal income tax purposes.
As of September 30, 2021, the components of distributable earnings on a tax basis were as follows:
Capital Loss
Carryforward | | Undistributed
Ordinary
Income | | Unrealized
Appreciation/
(Depreciation) |
| $(1,758,888) | | $911,499 | | $15,128,355 |
| | | | | |
The differences between the book and tax basis components of distributable earnings relate primarily to outstanding wash sales loss deferrals.
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Concluded) March 31, 2022
(Unaudited)
As of the March 31, 2022, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by each Fund were as follows:
| Federal Tax Cost* | $104,562,492 |
| Unrealized Appreciation | 18,916,981 |
| Unrealized Depreciation | (14,656,001) |
| Net Unrealized Appreciation | $ 4,260,980 |
| * | Because tax adjustments are calculated annually at the end of the Fund’s fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent annual report. |
Pursuant to federal income tax rules applicable to regulated investment companies, the Fund may elect to treat certain net capital losses between November 1 and September 30 and late year ordinary losses ((i) ordinary losses between January 1 and September 30, and (ii) specified ordinary and currency losses between November 1 and September 30) as occurring on the first day of the following tax year. For the year ended September 30, 2021, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until October 1, 2021. For the year ended September 30, 2021, the Fund had no capital loss deferrals and no late year ordinary loss deferrals.
Accumulated capital losses represent net capital loss carryforwards as of September 30, 2021 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. As of September 30, 2021, the Fund had capital loss carryforward of $1,758,888, all of which are short-term losses and have an unlimited period of capital loss carryforward.
6. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements.
TOBAM EMERGING MARKETS FUND
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (844) 282-6161 and on the Securities and Exchange Commission's ("SEC") website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended December 31 and June 30) as an exhibit to their reports on Form N-PORT. The Trust's portfolio holdings on Form N-PORT are available on the SEC's website at http://www.sec.gov.
Board Consideration of Investment Advisory Agreement
At a meeting held by videoconference on March 14-15, 2022 (the “Meeting”), the Board of Trustees (the “Board” or the “Trustees”) of FundVantage Trust (the “Trust”), including a majority of the Trustees who are not “interested persons” within the meaning of Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Trustees”), unanimously approved the continuation of the Investment Advisory Agreement between TOBAM (“TOBAM” or the “Adviser”) and the Trust (the “TOBAM Agreement”) on behalf of the TOBAM Emerging Markets Fund (“TOBAM Fund”). At the Meeting, the Board considered the continuation of the TOBAM Agreement with respect to the TOBAM Fund for an additional one-year period.
In determining whether to continue the TOBAM Agreement for an additional one-year period, the Trustees, including the Independent Trustees, considered information provided by the Adviser in response to a request for information in accordance with Section 15(c) of the 1940 Act (the “TOBAM 15(c) Response”) regarding (i) the services performed by TOBAM for the TOBAM Fund, (ii) the composition and qualifications of TOBAM’s portfolio management staff, (iii) any potential or actual material conflicts of interest which may arise in connection with the management of the TOBAM Fund, (iv) investment performance of the TOBAM Fund, (v) the financial condition of TOBAM, (vi) brokerage selection procedures (including soft dollar arrangements, if any), (vii) the procedures for allocating investment opportunities between the TOBAM Fund and other clients, (viii) results of any independent audit or regulatory examination, including any recommendations or deficiencies noted, (ix) any litigation, investigation or administrative proceeding which may have a material impact on TOBAM’s ability to service the TOBAM Fund, and (x) compliance with the TOBAM Fund’s investment objective, policies and practices (including codes of ethics and proxy voting policies), federal securities laws and other regulatory requirements. In addition to the information in the TOBAM 15(c) Response, the Trustees received additional information at Board meetings throughout the year covering matters such as the performance of the TOBAM Fund compared to the Lipper Index Emerging Markets Funds Index and the MSCI Emerging Markets NR Index; compliance with the TOBAM Fund’s investment objective, policies, strategy and limitations; the compliance of portfolio management personnel with applicable codes of ethics; and the adherence to pricing procedures as established by the Board.
The Board considered additional information provided by representatives from TOBAM invited to participate in the Meeting regarding TOBAM’s history, performance, investment strategy, and compliance program. Representatives of TOBAM responded to questions from the Board. In addition to the foregoing information, the Trustees also considered other factors they believed to be relevant to considering the continuation of the TOBAM Agreement, including the specific matters discussed below. In their deliberations, the Trustees did not identify any particular information that was controlling, and different Trustees may have attributed different weights to the various factors. After deliberating, the Trustees determined that the overall arrangement between the TOBAM Fund and TOBAM, as provided by the terms of the TOBAM Agreement, including the advisory fee under the TOBAM Agreement, was fair and reasonable in light of the services provided, expenses incurred and such other matters as the Trustees considered relevant.
The Trustees considered the services provided by TOBAM to the TOBAM Fund. The Trustees considered TOBAM’s personnel and the depth of TOBAM’s personnel who provide investment management services to the TOBAM Fund and their experience. Based on the TOBAM 15(c) Response, the Trustees concluded that (i) the nature, extent and quality of the services provided by TOBAM are appropriate and consistent with the terms of the TOBAM Agreement, (ii) that the quality of those services has been, and continues to
TOBAM EMERGING MARKETS FUND
Other Information (Continued)
(Unaudited)
be, consistent with industry norms, (iii) the TOBAM Fund is likely to benefit from the continued provision of those services, (iv) TOBAM has sufficient personnel, with the appropriate skills and experience, to serve the TOBAM Fund effectively and has demonstrated its continuing ability to attract and retain qualified personnel, and (v) the satisfactory nature, extent, and quality of services currently provided to the TOBAM Fund is likely to continue under the TOBAM Agreement.
The Board discussed TOBAM’s business continuity plan, and its ability to continue to manage the TOBAM Fund effectively in light of the ongoing COVID-19 pandemic, continuing federal, state and local responses thereto and related volatility in the financial markets.
The Trustees considered the investment performance for the TOBAM Fund and TOBAM. The Trustees reviewed historical performance charts, which showed the performance of Class I shares of the TOBAM Fund as compared to the Lipper Emerging Markets Funds Index and the MSCI Emerging Markets NR Index, for the year-to-date, one-year, three-year and since inception periods ended December 31, 2021. The Trustees noted that Class I shares of the Fund underperformed the Lipper Emerging Markets Funds Index and the MSCI Emerging Markets NR Index for the year-to-date, one-year, three-year and since inception periods ended December 31, 2021 and concluded that TOBAM had adequately explained the factors contributing to the TOBAM Fund’s performance over such periods. The Trustees concluded that the performance of the TOBAM Fund was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
The Trustees also considered information regarding TOBAM’s advisory fee and an analysis of this fee in relation to the delivery of services to the TOBAM Fund and any other ancillary benefit resulting from TOBAM’s relationship with the TOBAM Fund. The Trustees considered the fees that TOBAM charges to another client advised by TOBAM, and evaluated the explanation provided by TOBAM as to differences in fees charged to the TOBAM Fund and such other account, particularly the fact that the other account is not registered in the United States and is not offered for sale to U.S. persons. The Trustees also reviewed a peer comparison of advisory fees and total expenses for the TOBAM Fund versus those funds in the TOBAM Fund’s Lipper category (the “Peer Group”). The Trustees noted that the contractual advisory fee and net total expense ratio of the TOBAM Fund’s Class I shares were each lower than the median of the contractual advisory fee and net total expense ratio of the Peer Group. The Trustees concluded that the advisory fee and services provided by TOBAM are sufficiently consistent with those of other advisers which manage mutual funds with investment objectives, strategies and policies similar to those of the TOBAM Fund based on the information provided at the Meeting.
The Trustees considered the costs of the services provided by TOBAM, the compensation and benefits received by TOBAM in providing services to the TOBAM Fund, the profitability and certain additional information related to the financial condition of TOBAM. In addition, the Trustees considered any direct or indirect revenues received by affiliates of TOBAM.
The Trustees considered the extent to which economies of scale would be realized relative to fee levels as the TOBAM Fund grows, and whether the advisory fee levels reflect these economies of scale for the benefit of shareholders. The Trustees considered and determined that economies of scale for the benefit of Fund shareholders should be achieved as assets of the TOBAM Fund increase as a result of breakpoint reductions in the Advisory fee rate at specific asset levels which are reflected in the fee schedule of the TOBAM Agreement. In addition, the Trustees also considered the Adviser's efforts to grow the TOBAM Fund's assets as economies of scale may be achieved due to the ability of the TOBAM Fund to spread its fixed costs across a larger asset base.
At the Meeting, after consideration of all the factors and taking into consideration the information presented, the Board, including the Independent Trustees, unanimously approved the continuation of the TOBAM Agreement for an additional one-year period. In arriving at their decision, the Trustees did not identify any single matter as controlling, but made their determination in light of all the circumstances.
Investment Adviser
TOBAM
49-53, Avenue des Champs-Élysées
75008 Paris, France
Administrator
The Bank of New York Mellon
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103-7096
Legal Counsel
Troutman Pepper Hamilton Sanders LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
| (a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1(a) of this form. |
| | |
| Item 7. | | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
| | |
| Item 9. | | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
| | (a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
| | (b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) FundVantage Trust
| | |
By (Signature and Title)* | | /s/ Joel L. Weiss |
| | Joel L. Weiss, President and Chief Executive Officer (principal executive officer) |
Date June 6, 2022
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | |
| By (Signature and Title)* | | /s/ Joel L. Weiss |
| | Joel L. Weiss, President and Chief Executive Officer (principal executive officer) |
Date June 6, 2022
| | |
| By (Signature and Title)* | | /s/ T. Richard Keyes |
| | T. Richard Keyes, Treasurer and Chief Financial Officer (principal financial officer) |
Date June 6, 2022
* Print the name and title of each signing officer under his or her signature.
