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
1636 N Cedar Crest Blvd.
Suite #161
Allentown, PA 18104
(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, 2023
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. |
Ambrus Core Bond Fund |
Ambrus Tax-Conscious California Bond Fund |
Ambrus Tax-Conscious National Bond Fund |
Institutional Class |
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2023 | |||
Six Months | Since Inception† | ||
Institutional Class | 3.86% | 1.40% * | |
Bloomberg US Intermediate Government/Credit Bond Index | 3.91% | 1.61% ** |
† | Not Annualized. |
* | The Ambrus Core Bond Fund (the “Fund”) commenced operations on September 6, 2022. |
** | Benchmark performance is from the commencement date of the Fund Class only and is not the commencement date of the benchmark itself. |
Total Returns for the Period Ended March 31, 2023 | |
Since Inception† | |
Institutional Class | 3.04% * |
Bloomberg California Municipal Inter-Short (1-10 Year) Index | 4.54% ** |
† | Not Annualized. |
* | The Ambrus Tax-Conscious California Bond Fund (the “Fund”) commenced operations on October 3, 2022. |
** | Benchmark performance is from the commencement date of the Fund Class only and is not the commencement date of the benchmark itself. |
Total Returns for the Period Ended March 31, 2023 | |
Since Inception† | |
Institutional Class | 3.26% * |
Bloomberg Municipal Inter-Short (1-10 Year) Index | 4.58% ** |
† | Not Annualized. |
* | The Ambrus Tax-Conscious National Bond Fund (the “Fund”) commenced operations on October 3, 2022. |
** | Benchmark performance is from the commencement date of the Fund Class only and is not the commencement date of the benchmark itself. |
Beginning Account Value October 1, 2022 | Ending Account Value March 31, 2023 | Annualized Expense Ratio | Expenses Paid During Period | ||||
Ambrus Core Bond Fund | |||||||
Institutional Class* | |||||||
Actual | $1,000.00 | $1,038.60 | 0.50% | $2.54 | |||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.44 | 0.50% | 2.52 | |||
Ambrus Tax-Conscious California Bond Fund | |||||||
Institutional Class** | |||||||
Actual | $1,000.00 | $1,030.40 | 0.50% | $2.50 | |||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.44 | 0.50% | 2.52 | |||
Ambrus Tax-Conscious National Bond Fund | |||||||
Institutional Class*** | |||||||
Actual | $1,000.00 | $1,032.60 | 0.50% | $2.51 | |||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.44 | 0.50% | 2.52 |
* | Expenses are equal to the annualized expense ratio for the six-month period ended March 31, 2023 of 0.50% 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 Fund's ending account values on the first line of the table is based on the actual six-month total return of 3.86% for Institutional Class shares. |
** | Expenses are equal to an annualized expense ratio for the period beginning October 3, 2022, commencement of operations, to March 31, 2023 of 0.50% for Institutional Class shares, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (180), 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 return for the Fund of 3.04% for Institutional Class shares. For comparative purposes, the Hypothetical expenses are as if the Institutional Class shares had been in existence from October 1, 2022, and are equal to the Institutional Class 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. |
*** | Expenses are equal to an annualized expense ratio for the period beginning October 3, 2022, commencement of operations, to March 31, 2023 of 0.50% for Institutional Class shares, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (180), 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 return for the Fund of 3.26% for Institutional Class shares. For comparative purposes, the Hypothetical expenses are as if the Institutional Class shares had been in existence from October 1, 2022, and are equal to the Institutional Class 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. |
% of Net Assets | Value | ||
CORPORATE BONDS: | |||
Financials | 13.5% | $10,424,797 | |
Industrials | 9.3 | 7,153,859 | |
Technology | 5.4 | 4,178,523 | |
Utilities | 4.7 | 3,585,078 | |
Communications | 4.0 | 3,090,064 | |
Health Care | 3.8 | 2,948,448 | |
Consumer Staple Products | 3.5 | 2,701,632 | |
Energy | 2.6 | 2,011,846 | |
Consumer Discretionary | 2.4 | 1,837,850 | |
Materials | 1.5 | 1,169,322 | |
U.S. Treasury Obligations | 33.8 | 26,014,105 | |
PREFERREDS: | |||
Financials | 10.4 | 7,993,008 | |
Consumer Discretionary | 0.8 | 608,649 | |
MUNICIPAL BONDS: | |||
California | 0.6 | 515,422 | |
Maryland | 0.4 | 288,154 | |
Short-Term Investment | 4.7 | 3,564,851 | |
Liabilities in Excess of Other Assets | (1.4) | (1,040,956) | |
NET ASSETS | 100.0% | $77,044,652 |
Par Value | Value | ||
CORPORATE BONDS — 50.7% | |||
Communications — 4.0% | |||
AT&T, Inc., 7.125%, 12/15/31 | $ 500,000 | $ 562,957 | |
Comcast Corp., 4.65%, 2/15/33 | 415,000 | 417,040 | |
Paramount Global, 4.95%, 1/15/31 | 1,000,000 | 921,832 | |
T-Mobile USA, Inc., 4.95%, 3/15/28 | 500,000 | 505,057 | |
Verizon Communications, Inc., 5.964%, 5/15/25(a) | 500,000 | 501,171 | |
Verizon Communications, Inc., 0.85%, 11/20/25 | 200,000 | 182,007 | |
3,090,064 | |||
Consumer Discretionary — 2.4% | |||
eBay, Inc., 1.40%, 5/10/26 | 200,000 | 181,641 | |
General Motors Financial Co., Inc., 1.25%, 1/8/26 | 300,000 | 270,082 | |
Hyatt Hotels Corp., 1.80%, 10/1/24 | 500,000 | 473,471 | |
Lowe's Cos., Inc., 5.15%, 7/1/33 | 500,000 | 504,610 | |
Mohawk Industries, Inc., 3.625%, 5/15/30 | 450,000 | 408,046 | |
1,837,850 | |||
Consumer Staple Products — 3.5% | |||
Altria Group, Inc., 4.80%, 2/14/29 | 500,000 | 495,812 | |
Kroger Co. (The), 7.70%, 6/1/29 | 594,000 | 686,769 | |
PepsiCo, Inc., 4.45%, 5/15/28 | 500,000 | 509,992 | |
Philip Morris International, Inc., 4.875%, 2/15/28 | 1,000,000 | 1,009,059 | |
2,701,632 | |||
Energy — 2.6% | |||
Continental Resources, Inc., 3.80%, 6/1/24 | 400,000 | 392,051 | |
Hess Corp., 3.50%, 7/15/24 | 500,000 | 488,509 | |
Kinder Morgan, Inc., 7.80%, 8/1/31 | 500,000 | 573,473 | |
Tosco Corp., 7.80%, 1/1/27 | 500,000 | 557,813 | |
2,011,846 | |||
Financials — 13.5% | |||
Air Lease Corp., 3.25%, 3/1/25 | 250,000 | 240,222 | |
American Tower Corp., REIT, 2.95%, 1/15/25 | 200,000 | 192,555 | |
Bank of New York Mellon (The), 5.224%, 11/21/25 | 500,000 | 499,361 | |
Bank of New York Mellon Corp. (The), 4.543%, 2/1/29 | 1,500,000 | 1,486,064 | |
BlackRock, Inc., 2.10%, 2/25/32 | 200,000 | 166,219 | |
Equitable Holdings, Inc., 5.594%, 1/11/33 | 1,000,000 | 982,637 |
Par Value | Value | ||
CORPORATE BONDS — (Continued) | |||
Financials — (Continued) | |||
Goldman Sachs Group, Inc. (The), 4.25%, 10/21/25 | $ 300,000 | $ 291,387 | |
Goldman Sachs Group, Inc. (The), 1.948%, 10/21/27 | 800,000 | 713,789 | |
Jefferies Financial Group, Inc., 4.85%, 1/15/27 | 300,000 | 293,253 | |
JPMorgan Chase & Co., 5.546%, 12/15/25 | 1,000,000 | 1,006,941 | |
JPMorgan Chase & Co., 5.939%, 2/24/28(a) | 500,000 | 494,352 | |
Kilroy Realty LP, REIT, 2.50%, 11/15/32 | 100,000 | 63,703 | |
Morgan Stanley, 4.35%, 9/8/26 | 800,000 | 779,878 | |
Synchrony Financial, 3.70%, 8/4/26 | 500,000 | 437,044 | |
Synchrony Financial, 2.875%, 10/28/31 | 1,000,000 | 707,888 | |
US Bancorp, 4.653%, 2/1/29 | 1,000,000 | 976,027 | |
Wells Fargo & Co., 3.584%, 5/22/28 | 300,000 | 282,643 | |
Weyerhaeuser Co., REIT, 7.375%, 3/15/32 | 250,000 | 286,775 | |
Zions Bancorp, 3.25%, 10/29/29 | 750,000 | 524,059 | |
10,424,797 | |||
Health Care — 3.8% | |||
Amgen, Inc., 5.25%, 3/2/30 | 750,000 | 766,222 | |
Becton Dickinson & Co., 4.693%, 2/13/28 | 500,000 | 501,727 | |
CVS Health Corp., 5.125%, 2/21/30 | 500,000 | 506,797 | |
Illumina, Inc., 5.80%, 12/12/25 | 500,000 | 504,866 | |
Johnson & Johnson, 1.30%, 9/1/30 | 200,000 | 167,504 | |
McKesson Corp., 5.25%, 2/15/26 | 500,000 | 501,332 | |
2,948,448 | |||
Industrials — 9.3% | |||
Boeing Co. (The), 1.433%, 2/4/24 | 750,000 | 724,855 | |
Jacobs Engineering Group, Inc., 5.90%, 3/1/33 | 1,000,000 | 1,001,490 | |
L3Harris Technologies, Inc., 2.90%, 12/15/29 | 500,000 | 441,883 | |
Norfolk Southern Corp., 4.45%, 3/1/33 | 1,000,000 | 972,526 | |
Northrop Grumman Corp., 4.70%, 3/15/33 | 500,000 | 504,174 | |
PACCAR Financial Corp., 4.60%, 1/10/28 | 1,000,000 | 1,007,384 | |
Trimble, Inc., 6.10%, 3/15/33 | 1,000,000 | 1,009,953 |
Par Value | Value | ||
CORPORATE BONDS — (Continued) | |||
Industrials — (Continued) | |||
Union Pacific Corp., 3.646%, 2/15/24 | $1,000,000 | $ 985,606 | |
Union Pacific Corp., 4.75%, 2/21/26 | 500,000 | 505,988 | |
7,153,859 | |||
Materials — 1.5% | |||
DuPont de Nemours, Inc., 4.493%, 11/15/25 | 200,000 | 199,404 | |
Huntsman International, LLC, 4.50%, 5/1/29 | 500,000 | 469,489 | |
LyondellBasell Industries NV, 5.75%, 4/15/24 | 500,000 | 500,429 | |
1,169,322 | |||
Technology — 5.4% | |||
Apple, Inc., 3.35%, 8/8/32 | 150,000 | 141,433 | |
Broadridge Financial Solutions, Inc., 2.90%, 12/1/29 | 1,000,000 | 875,426 | |
Intel Corp., 4.00%, 8/5/29 | 200,000 | 194,381 | |
Intel Corp., 5.125%, 2/10/30 | 1,000,000 | 1,018,475 | |
International Business Machines Corp., 3.625%, 2/12/24 | 500,000 | 493,937 | |
Leidos, Inc., 5.75%, 3/15/33 | 500,000 | 510,957 | |
Microchip Technology, Inc., 0.983%, 9/1/24 | 1,000,000 | 943,914 | |
4,178,523 | |||
Utilities — 4.7% | |||
Berkshire Hathaway Energy Co., 3.75%, 11/15/23 | 500,000 | 495,848 | |
NextEra Energy Capital Holdings, Inc., 6.051%, 3/1/25 | 500,000 | 508,654 | |
NextEra Energy Capital Holdings, Inc., 5.05%, 2/28/33 | 750,000 | 752,068 | |
Southwest Gas Corp., 5.80%, 12/1/27 | 400,000 | 412,569 | |
Southwest Gas Corp., 2.20%, 6/15/30 | 500,000 | 413,188 | |
Southwestern Electric Power Co., 5.30%, 4/1/33 | 500,000 | 503,818 | |
Spire Missouri, Inc., 4.80%, 2/15/33 | 500,000 | 498,933 | |
3,585,078 | |||
TOTAL CORPORATE BONDS (Cost $38,937,734) | 39,101,419 | ||
U.S. TREASURY OBLIGATIONS — 33.8% | |||
United States Treasury Bills, | |||
4.632%, 6/22/23(b) | 1,000,000 | 989,757 | |
4.594%, 11/30/23(b) | 2,000,000 | 1,940,838 |
Par Value | Value | ||
U.S. TREASURY OBLIGATIONS — (Continued) | |||
4.468%, 12/28/23(b) | $1,275,000 | $ 1,234,141 | |
United States Treasury Bonds, | |||
3.375%, 8/15/42 | 1,875,000 | 1,758,838 | |
3.625%, 2/15/53 | 700,000 | 692,180 | |
United States Treasury Notes, | |||
3.25%, 8/31/24 | 2,100,000 | 2,067,803 | |
4.125%, 1/31/25 | 1,000,000 | 999,336 | |
4.931%, 1/31/25(a) | 3,000,000 | 3,001,379 | |
3.125%, 8/15/25 | 3,000,000 | 2,942,637 | |
3.875%, 1/15/26 | 3,000,000 | 2,999,179 | |
1.50%, 8/15/26 | 1,250,000 | 1,159,521 | |
3.125%, 8/31/27 | 1,250,000 | 1,221,802 | |
2.875%, 8/15/28 | 2,000,000 | 1,925,508 | |
3.125%, 8/31/29 | 750,000 | 729,580 | |
3.50%, 1/31/30 | 500,000 | 497,578 | |
0.625%, 8/15/30 | 250,000 | 203,618 | |
1.25%, 8/15/31 | 250,000 | 209,590 | |
2.75%, 8/15/32 | 1,000,000 | 940,390 | |
3.50%, 2/15/33 | 500,000 | 500,430 | |
U.S. TREASURY OBLIGATIONS (Cost $25,869,820) | 26,014,105 |
Par Value/ Shares | ||
PREFERREDS — 11.2% | ||
Consumer Discretionary — 0.8% | ||
General Motors Financial Co., Inc., 5.75%, 9/30/27 | 750,000 | 608,649 |
Financials — 10.4% | ||
Bank of America Corp., 6.25%, 9/5/24 | 700,000 | 685,125 |
Bank of New York Mellon Corp. (The), 4.70%, 9/20/25 | 250,000 | 237,192 |
Bank of New York Mellon Corp. (The), 3.70%, 3/20/26 | 740,000 | 670,625 |
Citigroup, Inc., 9.094%, 5/15/23(a) | 200,000 | 198,881 |
Citigroup, Inc., 8.87%, 7/30/23(a) | 500,000 | 498,125 |
Citigroup, Inc., 6.25%, 8/15/26 | 950,000 | 914,375 |
JPMorgan Chase & Co., 6.75%, 2/1/24 | 625,000 | 628,125 |
M&T Bank Corp., 6.45%, 2/15/24 | 475,000 | 425,708 |
Morgan Stanley, 6.875%, 1/15/24 | 39,395 | 973,057 |
Northern Trust Corp., 4.60%, 10/1/26 | 850,000 | 777,573 |
State Street Corp., 5.625%, 12/15/23 | 800,000 | 750,182 |
Par Value/ Shares | Value | ||
PREFERREDS — (Continued) | |||
Financials — (Continued) | |||
State Street Corp., 5.90%, 3/15/24 | $ 40,000 | $ 933,200 | |
State Street Corp., 5.35%, 3/15/26 | 12,000 | 300,840 | |
7,993,008 | |||
TOTAL PREFERREDS (Cost $8,582,720) | 8,601,657 |
Principal Amount | ||
MUNICIPAL BONDS — 1.0% | ||
California — 0.6% | ||
State of California GO, 5.222%, 3/1/24 | 250,000 | 250,850 |
State of California GO, 4.846%, 3/1/27 | 150,000 | 153,032 |
State of California GO, 6.000%, 3/1/33 | 100,000 | 111,540 |
515,422 | ||
Maryland — 0.4% | ||
Maryland Community Development Administration Revenue, Social Bonds, Series C, 4.177%, 3/1/29, (GNMA/FNMA/FHLMC COLL Insured) | 300,000 | 288,154 |
TOTAL MUNICIPAL BONDS (Cost $794,443) | 803,576 |
Number of Shares | ||
SHORT-TERM INVESTMENT — 4.7% | ||
Dreyfus Government Cash Management Fund, Institutional Shares, 4.710%(c) | 3,564,851 | 3,564,851 |
TOTAL SHORT-TERM INVESTMENT (Cost $3,564,851) | 3,564,851 | |
TOTAL INVESTMENTS - 101.4% (Cost $77,749,568) | 78,085,608 | |
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.4)% | (1,040,956) | |
NET ASSETS - 100.0% | $ 77,044,652 |
(a) | The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at March 31, 2023. |
(b) | Rate represents annualized yield at date of purchase. |
(c) | Rate disclosed is the 7-day yield at March 31, 2023. |
COLL | Collateral |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
GO | General Obligation |
LLC | Limited Liability Company |
LP | Limited Partnership |
REIT | Real Estate Investment Trust |
% of Net Assets | Value | ||
MUNICIPAL BONDS: | |||
California | 57.1% | $46,134,211 | |
New York | 3.6 | 2,873,426 | |
South Carolina | 3.0 | 2,431,692 | |
Connecticut | 2.7 | 2,191,207 | |
Texas | 2.6 | 2,077,037 | |
Pennsylvania | 2.0 | 1,600,292 | |
Florida | 1.4 | 1,121,209 | |
Michigan | 1.3 | 1,020,788 | |
Illinois | 1.0 | 813,674 | |
New Mexico | 0.9 | 770,399 | |
Washington | 0.9 | 764,305 | |
New Jersey | 0.6 | 515,799 | |
Iowa | 0.2 | 151,860 | |
Minnesota | 0.1 | 104,917 | |
PREFERREDS: | |||
Financials | 10.4 | 8,381,632 | |
Consumer Discretionary | 0.9 | 710,091 | |
CORPORATE BONDS: | |||
Financials | 2.3 | 1,898,276 | |
Materials | 1.2 | 938,979 | |
Utilities | 1.1 | 928,590 | |
Consumer Discretionary | 0.9 | 710,207 | |
Energy | 0.5 | 392,050 | |
U.S. Treasury Obligations | 4.1 | 3,337,307 | |
Short-Term Investment | 0.5 | 376,901 | |
Other Assets in Excess of Liabilities | 0.7 | 596,589 | |
NET ASSETS | 100.0% | $80,841,438 |
Principal Amount | Value | ||
MUNICIPAL BONDS — 77.4% | |||
California — 57.1% | |||
91 Express Lanes Toll Road Revenue, OID, Senior Series, Refunding, Callable 08/15/23 at 100, 4.500%, 12/15/30 | $ 30,000 | $ 30,222 | |
Anaheim Housing & Public Improvements Authority Revenue, Series A, Refunding, 5.000%, 10/1/26 | 100,000 | 109,314 | |
Anaheim Housing & Public Improvements Authority Revenue, Series B, Callable 10/01/27 at 100, 5.000%, 10/1/30 | 15,000 | 16,766 | |
Berkeley Joint Powers Financing Authority Revenue, OID, Refunding, Callable 05/01/23 at 100, 3.000%, 10/1/27 | 25,000 | 25,009 | |
Buena Park School District GO, Callable 08/01/27 at 100, 5.000%, 8/1/30 | 15,000 | 16,606 | |
California Educational Facilities Authority Revenue, Series A, Callable 10/01/28 at 100, 5.000%, 10/1/48 | 70,000 | 73,414 | |
California Enterprise Development Authority Revenue, Callable 11/01/27 at 100, 5.000%, 11/1/29 | 15,000 | 16,620 | |
California Enterprise Development Authority Revenue, Callable 11/01/27 at 100, 5.000%, 11/1/34 | 215,000 | 236,679 | |
California Health Facilities Financing Authority Revenue, Callable 02/01/27 at 100, 5.000%, 2/1/29 | 40,000 | 43,403 | |
California Health Facilities Financing Authority Revenue, Callable 11/15/24 at 100, 5.000%, 11/15/35 | 365,000 | 373,836 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
California — (Continued) | |||
California Health Facilities Financing Authority Revenue, Refunding, Callable 04/01/26 at 100, 5.000%, 4/1/27, (CA MTG Insured) | $ 5,000 | $ 5,380 | |
California Health Facilities Financing Authority Revenue, Refunding, Callable 11/15/27 at 100, 5.000%, 11/15/35 | 250,000 | 269,791 | |
California Health Facilities Financing Authority Revenue, Refunding, Callable 11/15/27 at 100, 5.000%, 11/15/38 | 250,000 | 266,977 | |
California Health Facilities Financing Authority Revenue, Refunding, Callable 11/15/27 at 100, 5.000%, 11/15/48 | 25,000 | 25,902 | |
California Health Facilities Financing Authority Revenue, Series A, Callable 08/15/24 at 100, 5.000%, 8/15/27 | 20,000 | 20,637 | |
California Health Facilities Financing Authority Revenue, Series A, Callable 08/15/26 at 100, 5.000%, 8/15/34 | 410,000 | 441,767 | |
California Health Facilities Financing Authority Revenue, Series A, Callable 10/01/24 at 100, 4.000%, 10/1/28 | 100,000 | 101,684 | |
California Health Facilities Financing Authority Revenue, Series A, Callable 11/15/27 at 100, 5.000%, 11/15/28 | 15,000 | 16,612 | |
California Health Facilities Financing Authority Revenue, Series A, Callable 11/15/27 at 100, 5.000%, 11/15/35 | 240,000 | 258,999 | |
California Health Facilities Financing Authority Revenue, Series A, Refunding, 4.000%, 10/1/26 | 65,000 | 67,945 | |
California Health Facilities Financing Authority Revenue, Series A, Refunding, 5.000%, 11/15/26 | 10,000 | 10,914 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
California — (Continued) | |||
California Health Facilities Financing Authority Revenue, Series A, Refunding, Callable 08/15/26 at 100, 5.000%, 8/15/28 | $ 25,000 | $ 27,046 | |
California Health Facilities Financing Authority Revenue, Series A, Refunding, Callable 11/15/27 at 100, 5.000%, 11/15/34 | 1,345,000 | 1,486,925 | |
California Infrastructure & Economic Development Bank Revenue, Callable 05/15/28 at 100, 5.000%, 5/15/47 | 1,000,000 | 1,071,762 | |
California Infrastructure & Economic Development Bank Revenue, Green Bond, 5.000%, 8/1/26 | 805,000 | 871,721 | |
California Infrastructure & Economic Development Bank Revenue, OID, Refunding, 3.200%, 10/1/29 | 1,785,000 | 1,614,344 | |
California Infrastructure & Economic Development Bank Revenue, Refunding, 5.000%, 5/1/23 | 30,000 | 30,052 | |
California Infrastructure & Economic Development Bank Revenue, Refunding, Callable 11/01/26 at 100, 5.000%, 5/1/28 | 20,000 | 21,704 | |
California Municipal Finance Authority Revenue, Callable 11/15/28 at 100, 5.000%, 5/15/36, (BAM-TCRS Insured) | 500,000 | 536,578 | |
California State Public Works Board Revenue, 5.000%, 4/1/27 | 20,000 | 22,128 | |
California State Public Works Board Revenue, Callable 09/01/27 at 100, 5.000%, 9/1/28 | 10,000 | 11,166 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
California — (Continued) | |||
California State Public Works Board Revenue, Series A, Callable 09/01/24 at 100, 5.000%, 9/1/25 | $ 10,000 | $ 10,354 | |
California State Public Works Board Revenue, Series C, Callable 11/01/29 at 100, 5.000%, 11/1/34 | 200,000 | 230,466 | |
California State Public Works Board Revenue, Series C, Refunding, 5.000%, 11/1/26 | 25,000 | 27,376 | |
California State Public Works Board Revenue, Series D, Callable 11/01/30 at 100, 2.000%, 11/1/35 | 150,000 | 125,153 | |
California Statewide Communities Development Authority Revenue, Callable 02/01/28 at 100, 5.000%, 8/1/29 | 300,000 | 321,568 | |
California Statewide Communities Development Authority Revenue, Refunding, 5.000%, 3/1/28 | 100,000 | 108,943 | |
California Statewide Communities Development Authority Revenue, Refunding, Callable 03/01/28 at 100, 5.000%, 3/1/33 | 160,000 | 172,230 | |
California Statewide Communities Development Authority Revenue, Series A, 5.000%, 4/1/28 | 20,000 | 21,819 | |
Capistrano Unified School District Community Facilities District No 90-2, Series 2, Refunding, Callable 09/01/23 at 100, 5.000%, 9/1/32, (AGM Insured) | 1,000,000 | 1,008,379 | |
Chino Basin Regional Financing Authority Revenue, Series B, Callable 08/01/25 at 100, 4.000%, 11/1/25 | 100,000 | 103,381 | |
Chula Vista Elementary School District School Facilities District No 1 GO, Series A, OID, Callable 08/01/23 at 100, 3.625%, 8/1/30 | 1,215,000 | 1,216,554 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
California — (Continued) | |||
City & County of San Francisco, 5.000%, 4/1/27 | $ 5,000 | $ 5,540 | |
City & County of San Francisco Community Facilities District No 2014-1, Series A, 5.000%, 9/1/27 | 145,000 | 158,683 | |
City & County of San Francisco Community Facilities District No 2014-1, Series A, 5.000%, 9/1/28 | 100,000 | 111,341 | |
City & County of San Francisco Community Facilities District No 2014-1, Series A, 5.000%, 9/1/29 | 100,000 | 112,923 | |
City & County of San Francisco Community Facilities District No 2014-1, Series A, 5.000%, 9/1/30 | 150,000 | 171,610 | |
Coachella Valley Unified School District, OID, Refunding, Callable 09/01/24 at 100, 3.500%, 9/1/28, (BAM Insured) | 50,000 | 50,682 | |
Coachella Valley Unified School District GO, OID, Refunding, Callable 08/01/24 at 100, 4.000%, 8/1/27, (BAM Insured) | 5,000 | 5,105 | |
Compton Unified School District GO, Series B, Callable 06/01/27 at 100, 4.000%, 6/1/32, (BAM Insured) | 140,000 | 148,165 | |
Cypress School District GO, Refunding, 5.000%, 8/1/25 | 20,000 | 21,162 | |
Department of Veterans Affairs Veteran's Farm & Home Purchase Program Revenue, Series A, 0.750%, 12/1/24 | 300,000 | 288,683 | |
Department of Veterans Affairs Veteran's Farm & Home Purchase Program Revenue, Series A, 1.250%, 6/1/27 | 40,000 | 36,899 | |
East Side Union High School District GO, Series A, OID, Refunding, Callable 08/01/26 at 100, 2.125%, 8/1/29 | 50,000 | 48,571 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
California — (Continued) | |||
East Side Union High School District GO, Series B, Refunding, 5.250%, 2/1/26, (NATL Insured) | $ 125,000 | $ 132,095 | |
Eastern Municipal Water District Financing Authority Revenue, Series B, Unrefunded portion, Callable 07/01/26 at 100, 4.000%, 7/1/35 | 250,000 | 258,046 | |
Fairfield, Series A, OID, 0.000%, 4/1/24, (AGC Insured)(a) | 55,000 | 53,506 | |
Fillmore Water Revenue, Refunding, 4.000%, 5/1/30, (AGM Insured) | 20,000 | 21,874 | |
Fontana Redevelopment Agency Successor Agency, Series A, Refunding, Callable 10/01/27 at 100, 5.000%, 10/1/33 | 150,000 | 165,481 | |
Fresno County Financing Authority Revenue, Refunding, Callable 04/01/26 at 100, 3.000%, 4/1/29 | 375,000 | 378,703 | |
Gardena Revenue, 2.663%, 4/1/28 | 815,000 | 741,087 | |
Golden State Tobacco Securitization Corp. Revenue, Series A-1, Refunding, 5.000%, 6/1/25 | 100,000 | 105,629 | |
Hawthorne, Series 1, Refunding, Callable 09/01/27 at 103, 4.000%, 9/1/29, (BAM Insured) | 15,000 | 16,270 | |
Indian Wells Redevelopment Agency Successor Agency, Series A, Refunding, Callable 09/01/26 at 100, 5.000%, 9/1/28, (NATL Insured) | 20,000 | 21,678 | |
Indio Finance Authority Revenue, Series A, Refunding, Callable 11/01/26 at 100, 5.000%, 11/1/28 | 10,000 | 10,811 | |
Jurupa Public Financing Authority, Series A, Refunding, 4.000%, 9/1/25, (AGM Insured) | 20,000 | 20,611 | |
Kern High School District GO, Series E, OID, 2.000%, 8/1/27 | 100,000 | 98,344 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
California — (Continued) | |||
Kings Canyon Unified School District GO, OID, 0.000%, 8/1/23, (NATL Insured)(a) | $ 30,000 | $ 29,693 | |
Lake Elsinore Facilities Financing Authority Successor Agency, Series A, Refunding, 4.000%, 9/1/30 | 60,000 | 65,349 | |
Lodi Public Financing Authority Revenue, Series A, Refunding, 5.000%, 10/1/26 | 85,000 | 92,409 | |
Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue, Series A, Callable 07/01/28 at 100, 5.000%, 7/1/44 | 825,000 | 892,198 | |
Los Angeles County Public Works Financing Authority Revenue, Series A, Callable 12/01/30 at 100, 5.000%, 12/1/45 | 500,000 | 553,626 | |
Los Angeles County Public Works Financing Authority Revenue, Series D, Callable 12/01/25 at 100, 5.000%, 12/1/32 | 150,000 | 160,337 | |
Los Angeles County Public Works Financing Authority Revenue, Series E-1, Callable 12/01/29 at 100, 5.000%, 12/1/49 | 100,000 | 108,837 | |
Los Angeles County Schools Regionalized Business Services Corp., Series A-3, OID, Refunding, Callable 05/01/23 at 100, 3.750%, 9/1/26, (AGM Insured) | 15,000 | 15,014 | |
Los Angeles Department of Airports Revenue, Series A, Refunding, Callable 11/15/29 at 100, 5.000%, 5/15/37 | 180,000 | 203,401 | |
Los Angeles Department of Water & Power Revenue, Callable 06/01/26 at 100, 5.000%, 7/1/26 | 5,000 | 5,437 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
California — (Continued) | |||
Los Angeles Department of Water & Power Revenue, Callable 07/01/31 at 100, 5.000%, 7/1/51 | $ 85,000 | $ 93,201 | |
Los Angeles Department of Water & Power Revenue, Series A, Callable 01/01/27 at 100, 5.000%, 7/1/47 | 1,000,000 | 1,052,979 | |
Los Angeles Department of Water & Power Revenue, Series A, Callable 01/01/29 at 100, 5.000%, 7/1/45 | 500,000 | 540,922 | |
Los Angeles Department of Water & Power Revenue, Series A, Refunding, Callable 01/01/26 at 100, 5.000%, 7/1/40 | 1,580,000 | 1,659,668 | |
Los Angeles Department of Water & Power Revenue, Series D, Refunding, Callable 07/01/28 at 100, 5.000%, 7/1/34 | 200,000 | 226,468 | |
Los Angeles Department of Water & Power Revenue, Series D, Refunding, Callable 07/01/29 at 100, 5.000%, 7/1/44 | 640,000 | 698,088 | |
Los Angeles Department of Water & Power Water System Revenue, Series A, Refunding, Callable 01/01/26 at 100, 5.000%, 7/1/46 | 1,755,000 | 1,828,833 | |
Los Angeles Department of Water & Power Water System Revenue, Series A, Refunding, Callable 01/01/27 at 100, 5.000%, 7/1/44 | 250,000 | 264,523 | |
Los Angeles Housing Authority Revenue, Series A, Refunding, Callable 06/01/26 at 100, 4.000%, 6/1/27, (HUD SECT 8 Insured) | 5,000 | 5,242 | |
Los Angeles Solid Waste Resources Revenue, Series A, OID, Callable 05/01/23 at 100, 2.250%, 2/1/25 | 250,000 | 245,677 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
California — (Continued) | |||
Los Angeles Unified School District GO, Series A, Refunding, 3.000%, 7/1/27 | $ 65,000 | $ 66,279 | |
Los Angeles Unified School District GO, Series B-1, Callable 01/01/28 at 100, 5.000%, 7/1/28 | 145,000 | 163,731 | |
Martinez Unified School District GO, Refunding, Callable 08/01/26 at 100, 4.000%, 8/1/28 | 20,000 | 21,007 | |
Menlo Park Community Development Agency Successor Agency, Refunding, Callable 10/01/25 at 100, 5.000%, 10/1/28, (AGM Insured) | 25,000 | 26,714 | |
Metropolitan Water District of Southern California Revenue, Series A, Refunding, 2.500%, 7/1/26 | 210,000 | 211,008 | |
Modesto Irrigation District Revenue, Refunding, Callable 10/01/26 at 100, 5.000%, 10/1/29 | 35,000 | 38,097 | |
Montebello Public Financing Authority Revenue, Series B, OID, 6.200%, 11/1/32 | 1,000,000 | 1,043,788 | |
Mount Diablo Unified School District GO, Series C, Refunding, Callable 08/01/23 at 100, 4.000%, 8/1/30 | 30,000 | 30,153 | |
Norman Y Mineta San Jose International Airport SJC Revenue, Series B, Refunding, Callable 03/01/27 at 100, 5.000%, 3/1/42 | 165,000 | 173,781 | |
Northern California Power Agency Revenue, Series A, Refunding, 5.000%, 8/1/24 | 20,000 | 20,553 | |
Oxnard Union High School District GO, Series A, Callable 08/01/26 at 100, 5.000%, 8/1/28 | 10,000 | 10,896 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
California — (Continued) | |||
Pajaro Valley Unified School District GO, Series C, Callable 02/01/26 at 100, 5.000%, 8/1/27 | $ 10,000 | $ 10,755 | |
Palomar Health GO, Series B, Refunding, Callable 08/01/26 at 100, 4.000%, 8/1/33 | 200,000 | 205,667 | |
Pasadena Unified School District GO, Callable 08/01/26 at 100, 4.000%, 8/1/36 | 215,000 | 218,905 | |
Pasadena Unified School District GO, Series B, 2.000%, 8/1/25 | 100,000 | 98,411 | |
Pittsburg Successor Agency Redevelopment Agency, Series A, Refunding, 5.000%, 9/1/26, (AGM Insured) | 100,000 | 107,111 | |
Pittsburg Unified School District, Refunding, 5.000%, 6/1/25, (AGM Insured) | 15,000 | 15,760 | |
Ravenswood City School District GO, Callable 08/01/26 at 100, 5.000%, 8/1/29 | 300,000 | 326,360 | |
Regents of the University of California Medical Center Pooled Revenue, Series J, OID, Prerefunded, Callable 05/15/23 at 100, 5.000%, 5/15/48 | 405,000 | 406,132 | |
Richmond Wastewater Revenue, OID, ETM, 0.000%, 8/1/28, (FGIC Insured)(a) | 100,000 | 87,468 | |
Riverside Community College District, Callable 06/01/25 at 100, 5.000%, 6/1/37 | 210,000 | 218,288 | |
Riverside Community College District, Callable 06/01/25 at 100, 5.000%, 6/1/38 | 255,000 | 264,723 | |
Riverside Community College District, Callable 06/01/25 at 100, 5.000%, 6/1/39 | 325,000 | 336,914 | |
Riverside Community College District, Callable 06/01/25 at 100, 5.250%, 6/1/43 | 1,200,000 | 1,243,958 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
California — (Continued) | |||
Riverside Community College District, Callable 06/01/25 at 100, 5.250%, 6/1/49 | $2,000,000 | $ 2,065,323 | |
Riverside County Redevelopment Successor Agency, Series A, CAB, OID, Refunding, Callable 10/01/26 at 100, 5.000%, 10/1/31, (BAM Insured) | 500,000 | 540,045 | |
Riverside Public Financing Authority Revenue, Series A, OID, Refunding, Callable 05/01/23 at 100, 3.500%, 11/1/25 | 60,000 | 60,045 | |
Sacramento Airport System Revenue County, Series E, Refunding, 5.000%, 7/1/27 | 10,000 | 11,155 | |
Sacramento Area Flood Control Agency, Refunding, Callable 10/01/26 at 100, 5.000%, 10/1/36 | 505,000 | 541,573 | |
Sacramento County Sanitation Districts Financing Authority Revenue, Series A, Refunding, Callable 06/01/24 at 100, 5.000%, 12/1/31 | 175,000 | 180,259 | |
Sacramento Municipal Utility District Revenue, Series G, Callable 08/15/29 at 100, 5.000%, 8/15/39 | 175,000 | 196,470 | |
Sacramento Transient Occupancy Tax Revenue, Series C, Callable 06/01/28 at 100, 5.000%, 6/1/48 | 800,000 | 838,363 | |
San Benito County, Callable 10/01/29 at 100, 5.000%, 10/1/30 | 15,000 | 17,224 | |
San Diego County Regional Airport Authority Revenue, Series A, Callable 07/01/31 at 100, 5.000%, 7/1/46 | 150,000 | 163,419 | |
San Diego Public Facilities Financing Authority Revenue, Series A, Callable 08/01/28 at 100, 5.000%, 8/1/43 | 755,000 | 816,740 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
California — (Continued) | |||
San Dieguito School Facilities Financing Authority, Refunding, Callable 03/01/28 at 100, 5.000%, 3/1/37 | $ 635,000 | $ 693,742 | |
San Francisco Bay Area Rapid Transit District Sales Tax Revenue, Series A, Refunding, Callable 07/01/25 at 100, 5.000%, 7/1/26 | 5,000 | 5,309 | |
San Francisco City & County Airport Comm-San Francisco International Airport Revenue, Series B, Refunding, Callable 05/01/33 at 100, 5.000%, 5/1/43 | 720,000 | 816,815 | |
San Francisco City & County Airport Comm-San Francisco International Airport Revenue, Series D, Refunding, Callable 05/01/23 at 100, 3.250%, 5/1/26 | 20,000 | 20,012 | |
San Francisco City & County Airport Comm-San Francisco International Airport Revenue, Series D, Refunding, Callable 05/01/23 at 100, 3.375%, 5/1/27 | 10,000 | 10,007 | |
San Francisco City & County Airport Comm-San Francisco International Airport Revenue, Series D, Refunding, Callable 05/01/23 at 100, 3.500%, 5/1/28 | 30,000 | 30,025 | |
San Francisco City & County Public Utilities Commission Power Revenue, Series A, Callable 05/01/25 at 100, 5.000%, 11/1/35 | 115,000 | 120,237 | |
San Francisco Public Utilities Commission Water Revenue, Refunding, Callable 11/01/26 at 100, 5.000%, 11/1/33 | 140,000 | 152,958 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
California — (Continued) | |||
San Luis Obispo Water Revenue, Refunding, Callable 06/01/28 at 100, 5.000%, 6/1/29 | $ 130,000 | $ 147,058 | |
San Marcos Public Facilities Authority, Refunding, 5.000%, 9/1/28, (BAM Insured) | 120,000 | 135,023 | |
San Marcos Public Facilities Authority, Series A, Refunding, Callable 09/01/24 at 100, 5.000%, 9/1/32, (AGM Insured) | 150,000 | 154,445 | |
San Marcos Unified School District GO, Refunding, Callable 08/01/27 at 100, 4.000%, 8/1/33 | 500,000 | 526,685 | |
San Ysidro School District, Refunding, 5.000%, 9/1/25, (BAM Insured) | 100,000 | 105,326 | |
Santa Clara Valley Water District Revenue, Series A, Refunding, Callable 06/01/32 at 100, 5.000%, 6/1/44 | 1,000,000 | 1,137,258 | |
Santa Clarita Public Finance Authority Revenue, Series B, OID, Refunding, Callable 10/01/26 at 100, 2.000%, 10/1/27 | 20,000 | 19,584 | |
Santa Monica Water Revenue, 2.500%, 8/1/28 | 100,000 | 101,294 | |
Santaluz Community Facilities District No 2, Refunding, 4.000%, 9/1/27 | 535,000 | 563,429 | |
Semitropic Improvement District of the Semitropic Water Storage District Revenue, Series A, Refunding, Callable 12/01/27 at 100, 5.000%, 12/1/28, (AGM Insured) | 15,000 | 16,788 | |
Shasta Joint Powers Financing Authority Revenue, Series A, OID, Refunding, Callable 05/01/23 at 100, 3.000%, 4/1/26, (AGM Insured) | 10,000 | 10,004 | |
State of California GO, 5.222%, 3/1/24 | 250,000 | 250,850 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
California — (Continued) | |||
State of California GO, 5.000%, 9/1/25 | $ 5,000 | $ 5,314 | |
State of California GO, 4.846%, 3/1/27 | 350,000 | 357,075 | |
State of California GO, 5.000%, 10/1/29 | 125,000 | 146,430 | |
State of California GO, 6.000%, 3/1/33 | 150,000 | 167,311 | |
State of California GO, Callable 06/01/26 at 100, 5.000%, 12/1/34 | 645,000 | 692,739 | |
State of California GO, Callable 09/01/26 at 100, 4.000%, 9/1/35 | 195,000 | 201,154 | |
State of California GO, Callable 09/01/26 at 100, 5.000%, 9/1/45 | 250,000 | 263,035 | |
State of California GO, Callable 12/01/30 at 100, 5.000%, 12/1/46 | 1,500,000 | 1,659,659 | |
State of California GO, OID, Callable 03/01/33 at 100, 5.200%, 3/1/43 | 100,000 | 101,056 | |
State of California GO, Refunding, 5.000%, 9/1/26 | 15,000 | 16,378 | |
State of California GO, Refunding, Callable 04/01/29 at 100, 5.000%, 4/1/31 | 280,000 | 322,688 | |
State of California GO, Refunding, Callable 08/01/24 at 100, 5.000%, 8/1/31 | 890,000 | 918,140 | |
State of California GO, Refunding, Callable 08/01/25 at 100, 5.000%, 8/1/27 | 10,000 | 10,590 | |
State of California GO, Refunding, Callable 09/01/26 at 100, 4.000%, 9/1/28 | 25,000 | 26,306 | |
State of California GO, Refunding, Callable 09/01/26 at 100, 5.000%, 9/1/37 | 340,000 | 363,203 | |
Stockton Unified School District GO, Series D, OID, 0.000%, 8/1/27, (AGM Insured)(a) | 350,000 | 310,740 | |
Sutter Butte Flood Agency, Callable 10/01/25 at 100, 5.000%, 10/1/26, (BAM Insured) | 20,000 | 21,299 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
California — (Continued) | |||
Tamalpais Community Services District Wastewater Revenue, 4.000%, 1/1/28 | $ 15,000 | $ 16,040 | |
Tobacco Securitization Authority of Northern California Revenue, Series A, Senior Series, Refunding, 5.000%, 6/1/25 | 65,000 | 67,410 | |
Tobacco Securitization Authority of Southern California Revenue, Refunding, Callable 12/01/29 at 100, 5.000%, 6/1/31 | 55,000 | 60,756 | |
Travis Unified School District, Refunding, Callable 09/01/25 at 100, 5.000%, 9/1/29, (AGM Insured) | 20,000 | 21,256 | |
University of California Revenue, Series AV, Callable 05/15/27 at 100, 5.000%, 5/15/35 | 220,000 | 241,434 | |
University of California Revenue, Series BO, 4.693%, 5/15/33 | 400,000 | 404,350 | |
Victor Valley Transit Authority, Refunding, Callable 07/01/26 at 100, 5.000%, 7/1/30 | 20,000 | 21,560 | |
Washington Township Health Care District GO, Series DT, Refunding, Callable 08/01/26 at 100, 4.000%, 8/1/29 | 10,000 | 10,381 | |
West Sacramento Area Flood Control Agency, Callable 09/01/25 at 100, 5.000%, 9/1/27, (AGM Insured) | 10,000 | 10,669 | |
Western Placer Unified School District, Refunding, 5.000%, 8/1/24, (AGM Insured) | 25,000 | 25,731 | |
Whittier Union High School District GO, CAB, OID, Refunding, Callable 08/01/26 at 85, 0.000%, 8/1/31(a) | 570,000 | 435,237 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
California — (Continued) | |||
Yuba Levee Financing Authority Revenue, Series A, Refunding, Callable 09/01/26 at 100, 5.000%, 9/1/29, (BAM Insured) | $ 20,000 | $ 21,730 | |
Yuba Levee Financing Authority Revenue, Series A, Refunding, Callable 09/01/26 at 100, 5.000%, 9/1/30, (BAM Insured) | 25,000 | 27,089 | |
46,134,211 | |||
Connecticut — 2.7% | |||
Connecticut State Health & Educational Facilities Authority Revenue, Callable 07/01/25 at 100, 5.000%, 7/1/45 | 650,000 | 659,346 | |
Connecticut State Health & Educational Facilities Authority Revenue, Series L, Refunding, Callable 07/01/25 at 100, 5.000%, 7/1/45 | 1,500,000 | 1,531,861 | |
2,191,207 | |||
Florida — 1.4% | |||
Miami-Dade Seaport Department County Revenue, Series B, Senior Series, Refunding, Callable 10/01/32 at 100, 5.000%, 10/1/37 | 1,000,000 | 1,121,209 | |
Illinois — 1.0% | |||
Illinois Finance Authority Revenue, Series A, Callable 08/15/32 at 100, 5.000%, 8/15/52 | 400,000 | 425,890 | |
Lake County School District No 1 Winthrop Harbor GO, Refunding, Callable 02/01/26 at 100, 4.000%, 2/1/32 | 380,000 | 387,784 | |
813,674 | |||
Iowa — 0.2% | |||
Iowa Finance Authority Revenue, Series C, Callable 02/15/24 at 100, 5.000%, 2/15/32 | 150,000 | 151,860 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
Michigan — 1.3% | |||
Michigan Finance Authority Revenue, Series 6, Senior Series, Refunding, Callable 07/01/24 at 100, 5.000%, 7/1/33 | $1,000,000 | $ 1,020,788 | |
Minnesota — 0.1% | |||
Minneapolis Revenue, Series A, Refunding, Callable 11/15/25 at 100, 5.000%, 11/15/26 | 100,000 | 104,917 | |
New Jersey — 0.6% | |||
New Brunswick Parking Authority Revenue, Series B, Refunding, 5.000%, 9/1/24, (BAM MUN GOVT GTD Insured) | 500,000 | 515,799 | |
New Mexico — 0.9% | |||
New Mexico Municipal Energy Acquisition Authority Revenue, Series A, Refunding, Callable 02/01/25 at 101, 5.000%, 11/1/39(b) | 750,000 | 770,399 | |
New York — 3.6% | |||
Cuba-Rushford Central School District GO, 3.000%, 6/23/23, (ST AID WITHHLDG Insured) | 475,000 | 475,093 | |
Metropolitan Transportation Authority Revenue, Series D, Refunding, Callable 05/15/28 at 100, 5.000%, 11/15/32 | 635,000 | 681,696 | |
New York City Housing Development Corp. Revenue, Series 1, 3.450%, 11/1/28, (REMIC FHA 542c Insured) | 345,000 | 350,458 | |
New York City Housing Development Corp. Revenue, Series 2A, Callable 05/01/25 at 100, 3.400%, 11/1/62, (REMIC FHA 542c Insured)(b) | 350,000 | 351,576 | |
Triborough Bridge & Tunnel Authority Revenue, Series A, Callable 05/15/24 at 100, 5.000%, 11/15/44 | 1,000,000 | 1,014,603 | |
2,873,426 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
Pennsylvania — 2.0% | |||
Pennsylvania Economic Development Financing Authority Revenue, AMT, OID, Callable 12/31/32 at 100, 5.000%, 12/31/57, (AGM Insured) | $ 375,000 | $ 388,427 | |
Pennsylvania Higher Educational Facilities Authority Revenue, Refunding, 5.000%, 5/1/25 | 500,000 | 520,439 | |
Pennsylvania Turnpike Commission Revenue, Series B, Refunding, Callable 06/01/26 at 100, 5.000%, 6/1/36 | 660,000 | 691,426 | |
1,600,292 | |||
South Carolina — 3.0% | |||
South Carolina Ports Authority Revenue, Series A, Callable 07/01/29 at 100, 5.000%, 7/1/54 | 1,250,000 | 1,326,013 | |
South Carolina Public Service Authority Revenue, Series A, Refunding, Callable 06/01/25 at 100, 5.000%, 12/1/28 | 100,000 | 103,960 | |
South Carolina Public Service Authority Revenue, Series E, OID, Unrefunded portion, Callable 12/01/23 at 100, 5.000%, 12/1/48 | 1,000,000 | 1,001,719 | |
2,431,692 | |||
Texas — 2.6% | |||
El Paso GO, Callable 08/15/26 at 100, 5.000%, 8/15/42 | 1,500,000 | 1,560,148 | |
Texas Municipal Gas Acquisition & Supply Corp. III Revenue, Refunding, 5.000%, 12/15/27 | 500,000 | 516,889 | |
2,077,037 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
Washington — 0.9% | |||
King County Sewer Revenue, Callable 07/01/24 at 100, 5.000%, 1/1/47, (AGM Insured) | $ 750,000 | $ 764,305 | |
TOTAL MUNICIPAL BONDS (Cost $61,928,087) | 62,570,816 |
Par Value/ Shares | ||
PREFERREDS — 11.3% | ||
Consumer Discretionary — 0.9% | ||
General Motors Financial Co., Inc., 5.75%, 9/30/27 | 875,000 | 710,091 |
Financials — 10.4% | ||
Bank of America Corp., 6.25%, 9/5/24 | 1,000,000 | 978,750 |
Bank of New York Mellon Corp. (The), 4.70%, 9/20/25 | 300,000 | 284,631 |
Bank of New York Mellon Corp. (The), 3.70%, 3/20/26 | 850,000 | 770,312 |
Citigroup, Inc., 9.094%, 5/15/23(b) | 200,000 | 198,881 |
Citigroup, Inc., 6.25%, 8/15/26 | 1,100,000 | 1,058,750 |
JPMorgan Chase & Co., 6.75%, 2/1/24 | 900,000 | 904,500 |
M&T Bank Corp., 6.45%, 2/15/24 | 575,000 | 515,331 |
Morgan Stanley, 6.875%, 1/15/24 | 41,519 | 1,025,519 |
Northern Trust Corp., 4.60%, 10/1/26 | 1,000,000 | 914,792 |
State Street Corp., 5.625%, 12/15/23 | 600,000 | 562,636 |
State Street Corp., 5.90%, 3/15/24 | 35,000 | 816,550 |
State Street Corp., 5.35%, 3/15/26 | 14,000 | 350,980 |
8,381,632 | ||
TOTAL PREFERREDS (Cost $9,070,776) | 9,091,723 |
Par Value | ||
CORPORATE BONDS — 6.0% | ||
Consumer Discretionary — 0.9% | ||
Hyatt Hotels Corp., 1.80%, 10/1/24 | 750,000 | 710,207 |
Energy — 0.5% | ||
Continental Resources, Inc., 3.80%, 6/1/24 | 400,000 | 392,050 |
Financials — 2.3% | ||
Air Lease Corp., 3.25%, 3/1/25 | 350,000 | 336,310 |
Par Value | Value | ||
CORPORATE BONDS — (Continued) | |||
Financials — (Continued) | |||
Jefferies Financial Group, Inc., 4.85%, 1/15/27 | $ 250,000 | $ 244,378 | |
JPMorgan Chase & Co., 5.546%, 12/15/25 | 250,000 | 251,735 | |
Morgan Stanley, 0.791%, 1/22/25 | 200,000 | 192,422 | |
Zions Bancorp, 3.25%, 10/29/29 | 1,250,000 | 873,431 | |
1,898,276 | |||
Materials — 1.2% | |||
Huntsman International, LLC, 4.50%, 5/1/29 | 1,000,000 | 938,979 | |
Utilities — 1.1% | |||
Southwest Gas Corp., 5.80%, 12/1/27 | 700,000 | 721,996 | |
Southwest Gas Corp., 2.20%, 6/15/30 | 250,000 | 206,594 | |
928,590 | |||
TOTAL CORPORATE BONDS (Cost $4,962,732) | 4,868,102 | ||
U.S. TREASURY OBLIGATIONS — 4.1% | |||
United States Treasury Bill, 4.644%, 2/22/24(c) | 500,000 | 480,015 | |
United States Treasury Notes, | |||
4.125%, 1/31/25 | 1,000,000 | 999,336 | |
4.931%, 1/31/25(b) | 100,000 | 100,046 | |
4.25%, 10/15/25 | 1,000,000 | 1,007,266 | |
3.50%, 2/15/33 | 750,000 | 750,644 | |
U.S. TREASURY OBLIGATIONS (Cost $3,311,274) | 3,337,307 |
Number of Shares | ||
SHORT-TERM INVESTMENT — 0.5% | ||
Dreyfus Government Cash Management Fund, Institutional Shares, 4.710%(d) | 376,901 | 376,901 |
TOTAL SHORT-TERM INVESTMENT (Cost $376,901) | 376,901 | |
TOTAL INVESTMENTS - 99.3% (Cost $79,649,770) | 80,244,849 | |
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.7% | 596,589 | |
NET ASSETS - 100.0% | $ 80,841,438 |
(a) | Zero coupon bond. |
(b) | The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at March 31, 2023. |
(c) | Rate represents annualized yield at date of purchase. |
(d) | Rate disclosed is the 7-day yield at March 31, 2023. |
AGC | Assured Guaranty Corp. |
AGM | Assured Guaranty Municipal Corp. |
AMT | Alternative Minimum Tax |
BAM | Build America Mutual |
BAM MUN GOVT GTD | Build America Mutual Municipal Government Guaranteed |
BAM-TCRS | Build America Mutual-Transferable Custodial Receipts |
CA MTG | California Mortgage |
CAB | Capital Appreciation Bond |
ETM | Escrowed to Maturity |
FGIC | Financial Guaranty Insurance Co. |
FHA 542c | Federal Housing Administration Section 542c |
GO | General Obligation |
HUD SECT 8 | Housing and Urban Development Section 8 |
LLC | Limited Liability Company |
NATL | National Public Finance Guarantee Corp |
OID | Original Issue Discount |
REMIC FHA 542c | Real Estate Mortgage Investment Conduit Federal Housing Administration Section 542c |
ST AID WITHHLDG | State Aid Withholding |
% of Net Assets | Value | ||
MUNICIPAL BONDS: | |||
Texas | 8.7% | $ 11,613,753 | |
Florida | 5.6 | 7,472,450 | |
New York | 5.3 | 7,073,732 | |
New Hampshire | 3.7 | 5,000,262 | |
Wyoming | 3.2 | 4,214,204 | |
Pennsylvania | 3.1 | 4,131,294 | |
Colorado | 2.9 | 3,902,855 | |
South Carolina | 2.7 | 3,539,940 | |
Missouri | 2.6 | 3,537,641 | |
California | 2.3 | 3,112,409 | |
Kansas | 2.3 | 3,100,744 | |
Illinois | 2.3 | 3,100,513 | |
Connecticut | 2.3 | 3,019,442 | |
Wisconsin | 2.2 | 2,890,785 | |
Washington | 2.0 | 2,722,193 | |
Iowa | 1.9 | 2,590,012 | |
Nebraska | 1.9 | 2,587,806 | |
Indiana | 1.9 | 2,554,577 | |
Michigan | 1.9 | 2,539,957 | |
District of Columbia | 1.8 | 2,346,223 | |
Tennessee | 1.5 | 1,977,385 | |
South Dakota | 1.3 | 1,696,382 | |
New Mexico | 1.2 | 1,607,567 | |
Alabama | 1.2 | 1,544,980 | |
Massachusetts | 0.9 | 1,157,557 | |
Ohio | 0.9 | 1,138,183 | |
Louisiana | 0.8 | 1,050,915 | |
Arizona | 0.8 | 1,027,088 | |
Mississippi | 0.7 | 952,464 | |
New Jersey | 0.7 | 877,143 | |
Alaska | 0.6 | 845,245 | |
Oklahoma | 0.4 | 585,074 | |
Vermont | 0.4 | 494,647 | |
Minnesota | 0.2 | 259,647 | |
Oregon | 0.2 | 258,444 | |
Georgia | 0.2 | 255,006 | |
Kentucky | 0.1 | 121,022 | |
Nevada | 0.0 | 41,705 | |
Arkansas | 0.0 | 19,993 | |
Virginia | 0.0 | 15,205 | |
PREFERREDS: | |||
Financials | 10.4 | 13,895,167 | |
Consumer Discretionary | 0.7 | 953,550 | |
CORPORATE BONDS: | |||
Financials | 2.9 | 3,850,153 | |
Utilities | 1.8 | 2,388,321 |
% of Net Assets | Value | ||
Energy | 1.6% | $ 2,090,477 | |
Materials | 1.1 | 1,486,357 | |
Consumer Discretionary | 0.9 | 1,208,930 | |
Industrials | 0.9 | 1,208,091 | |
Communications | 0.3 | 460,916 | |
U.S. Treasury Obligations | 5.9 | 7,801,260 | |
Short-Term Investment | 3.9 | 5,214,188 | |
Liabilities in Excess of Other Assets | (3.1) | (4,181,724) | |
NET ASSETS | 100.0% | $133,352,130 |
Principal Amount | Value | ||
MUNICIPAL BONDS — 72.7% | |||
Alabama — 1.2% | |||
Florence Water & Sewer Revenue, Refunding, 2.000%, 8/15/23, (BAM Insured) | $ 100,000 | $ 99,720 | |
Jefferson County Revenue, Refunding, Callable 03/15/27 at 100, 5.000%, 9/15/34 | 850,000 | 909,887 | |
UAB Medicine Finance Authority Revenue, Series B2, Refunding, Callable 03/01/27 at 100, 5.000%, 9/1/34 | 500,000 | 535,373 | |
1,544,980 | |||
Alaska — 0.6% | |||
Alaska Municipal Bond Bank Authority Revenue, Series 1, OID, Callable 05/01/23 at 100, 2.375%, 12/1/24, (MORAL OBLG Insured) | 20,000 | 19,889 | |
Municipality of Anchorage GO, Series A, Callable 09/01/28 at 100, 5.000%, 9/1/37 | 760,000 | 825,356 | |
845,245 | |||
Arizona — 0.8% | |||
Graham County Jail District Revenue, Callable 07/01/25 at 100, 5.000%, 7/1/35 | 1,000,000 | 1,027,088 | |
Arkansas — 0.0% | |||
Arkansas Development Finance Authority Revenue, OID, Refunding, Callable 05/01/23 at 100, 2.625%, 6/1/24 | 20,000 | 19,993 | |
California — 2.3% | |||
Sacramento Transient Occupancy Tax Revenue, Series C, Callable 06/01/28 at 100, 5.000%, 6/1/48 | 1,115,000 | 1,168,468 | |
State of California GO, 5.222%, 3/1/24 | 1,000,000 | 1,003,399 | |
State of California GO, 4.846%, 3/1/27 | 500,000 | 510,107 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
California — (Continued) | |||
State of California GO, 6.000%, 3/1/33 | $ 250,000 | $ 278,851 | |
State of California GO, OID, Callable 03/01/33 at 100, 5.200%, 3/1/43 | 150,000 | 151,584 | |
3,112,409 | |||
Colorado — 2.9% | |||
Boulder Valley School District No Re-2 Boulder GO, Callable 06/01/25 at 100, 5.000%, 12/1/38, (ST AID WITHHLDG Insured) | 785,000 | 817,212 | |
Bradburn Metropolitan District No 3 GO, Refunding, Callable 12/01/26 at 100, 4.500%, 12/1/36, (AGM Insured) | 700,000 | 726,763 | |
Colorado School of Mines Revenue, Series A, Callable 12/01/27 at 100, 5.000%, 12/1/42 | 505,000 | 539,082 | |
Park Creek Metropolitan District Revenue, Series A, Senior Series, Callable 12/01/25 at 100, 5.000%, 12/1/34 | 255,000 | 266,138 | |
State of Colorado, Callable 12/15/32 at 100, 6.000%, 12/15/39 | 1,000,000 | 1,226,556 | |
Town of Breckenridge, Callable 12/01/32 at 100, 5.000%, 12/1/42 | 300,000 | 327,104 | |
3,902,855 | |||
Connecticut — 2.3% | |||
Connecticut State Health & Educational Facilities Authority Revenue, Callable 07/01/25 at 100, 5.000%, 7/1/45 | 500,000 | 507,189 | |
Connecticut State Health & Educational Facilities Authority Revenue, Series L, Refunding, Callable 07/01/25 at 100, 5.000%, 7/1/45 | 2,460,000 | 2,512,253 | |
3,019,442 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
District of Columbia — 1.8% | |||
District of Columbia GO, Series A, Callable 06/01/25 at 100, 5.000%, 6/1/38 | $ 30,000 | $ 31,308 | |
District of Columbia Water & Sewer Authority Revenue, Series A, Callable 10/01/29 at 100, 5.000%, 10/1/44 | 75,000 | 81,599 | |
Washington Metropolitan Area Transit Authority Dedicated Revenue, Series A, Callable 07/15/30 at 100, 5.000%, 7/15/45 | 100,000 | 109,582 | |
Washington Metropolitan Area Transit Authority Revenue, Series B, Callable 07/01/27 at 100, 5.000%, 7/1/42 | 2,000,000 | 2,123,734 | |
2,346,223 | |||
Florida — 5.6% | |||
Clearwater Water & Sewer Revenue, Refunding, Callable 12/01/26 at 100, 5.000%, 12/1/35 | 1,015,000 | 1,089,685 | |
Florida Housing Finance Corp. Revenue, Series 1, 2.950%, 7/1/27, (GNMA/FNMA/FHLMC COLL Insured) | 455,000 | 451,282 | |
Florida Housing Finance Corp. Revenue, Series 1, 3.000%, 1/1/28, (GNMA/FNMA/FHLMC COLL Insured) | 200,000 | 198,352 | |
Florida Housing Finance Corp. Revenue, Series 1, 3.000%, 7/1/28, (GNMA/FNMA/FHLMC COLL Insured) | 235,000 | 232,839 | |
Florida Housing Finance Corp. Revenue, Series 1, 3.100%, 1/1/29, (GNMA/FNMA/FHLMC COLL Insured) | 725,000 | 719,829 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
Florida — (Continued) | |||
Florida Housing Finance Corp. Revenue, Series 1, 3.125%, 7/1/29, (GNMA/FNMA/FHLMC COLL Insured) | $ 415,000 | $ 412,310 | |
Lakeland Department of Electric Utilities Revenue, Refunding, Callable 04/01/26 at 100, 2.750%, 10/1/28 | 250,000 | 251,655 | |
Lakewood Ranch Stewardship District, Refunding, 5.000%, 5/1/25, (AGM Insured) | 250,000 | 260,733 | |
Miami-Dade County Educational Facilities Authority Revenue, Series A, Callable 04/01/28 at 100, 5.000%, 4/1/48 | 1,000,000 | 1,045,677 | |
Miami-Dade County Educational Facilities Authority Revenue, Series A, Refunding, Callable 04/01/25 at 100, 5.000%, 4/1/45 | 100,000 | 101,786 | |
Miami-Dade Seaport Department County Revenue, Series B, Senior Series, Refunding, Callable 10/01/32 at 100, 5.000%, 10/1/37 | 1,250,000 | 1,401,511 | |
Miami-Dade Transit System County Revenue, Refunding, Callable 07/01/26 at 100, 5.000%, 7/1/27 | 145,000 | 155,630 | |
Osceola Sales Tax Revenue County, Series A, Callable 04/01/25 at 100, 5.000%, 10/1/44 | 1,125,000 | 1,151,161 | |
7,472,450 | |||
Georgia — 0.2% | |||
Board of Water Light & Sinking Fund Commissioners of The City of Dalton/The Revenue, 5.000%, 3/1/24 | 250,000 | 255,006 | |
Illinois — 2.3% | |||
Chicago O'Hare International Airport Revenue, Series D, Senior Series, Callable 01/01/27 at 100, 5.000%, 1/1/47 | 100,000 | 102,960 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
Illinois — (Continued) | |||
Chicago Waterworks Revenue, Series 2017-2, Refunding, Callable 11/01/27 at 100, 5.000%, 11/1/33, (AGM Insured) | $ 350,000 | $ 377,094 | |
Illinois Finance Authority Revenue, Series A, Callable 08/15/32 at 100, 5.000%, 8/15/52 | 600,000 | 638,834 | |
Illinois Housing Development Authority Revenue, Series G, Callable 04/01/32 at 100, 5.000%, 10/1/46, (GNMA/FNMA/FHLMC COLL Insured) | 450,000 | 466,876 | |
Macon County School District No 61 Decatur GO, 4.000%, 12/1/28, (AGM Insured) | 570,000 | 608,285 | |
Western Illinois University Revenue, Refunding, 4.000%, 4/1/28, (BAM Insured) | 875,000 | 906,464 | |
3,100,513 | |||
Indiana — 1.9% | |||
Attica Multi-School Building Corp. Revenue, 5.000%, 7/15/28, (ST INTERCEPT Insured) | 150,000 | 167,800 | |
Indiana Finance Authority Revenue, Series A, Refunding, Callable 08/01/25 at 100, 5.000%, 2/1/31 | 305,000 | 318,917 | |
Indiana Municipal Power Agency Revenue, Series A, Refunding, Callable 01/01/25 at 100, 5.000%, 1/1/32 | 50,000 | 51,654 | |
Indiana Municipal Power Agency Revenue, Series C, Refunding, Callable 07/01/26 at 100, 5.000%, 1/1/37 | 500,000 | 525,201 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
Indiana — (Continued) | |||
Indianapolis Local Public Improvement Bond Bank Revenue, Series A, Callable 02/01/29 at 100, 5.000%, 2/1/44 | $1,000,000 | $ 1,057,079 | |
Whitestown Redevelopment Authority Revenue, Series B, Refunding, 4.000%, 8/1/27 | 410,000 | 433,926 | |
2,554,577 | |||
Iowa — 1.9% | |||
Iowa City Community School District Infrastructure Sales Services & Use Tax Revenue, Callable 06/01/23 at 100, 3.500%, 6/1/28 | 850,000 | 846,666 | |
Iowa Finance Authority Revenue, Series A, Refunding, 1.150%, 7/1/29, (GNMA/FNMA/FHLMC Insured) | 250,000 | 216,797 | |
Iowa Finance Authority Revenue, Series C, Callable 02/15/24 at 100, 5.000%, 2/15/32 | 500,000 | 506,200 | |
PEFA, Inc. Revenue, Callable 06/01/26 at 101, 5.000%, 9/1/49(a) | 1,000,000 | 1,020,349 | |
2,590,012 | |||
Kansas — 2.3% | |||
Topeka GO, Refunding, Callable 05/01/23 at 100, 2.000%, 8/15/24 | 25,000 | 24,707 | |
University of Kansas Hospital Authority Revenue, Refunding, Callable 09/01/25 at 100, 5.000%, 9/1/33 | 500,000 | 524,859 | |
University of Kansas Hospital Authority Revenue, Refunding, Callable 09/01/25 at 100, 5.000%, 9/1/45 | 2,500,000 | 2,551,178 | |
3,100,744 | |||
Kentucky — 0.1% | |||
Kentucky Association of Counties Revenue, Series C, 5.000%, 2/1/28 | 110,000 | 121,022 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
Louisiana — 0.8% | |||
State of Louisiana Gasoline & Fuels Tax Revenue, Series C, Refunding, Callable 11/01/27 at 100, 5.000%, 5/1/45 | $1,000,000 | $ 1,050,915 | |
Massachusetts — 0.9% | |||
Commonwealth of Massachusetts GO, Callable 07/01/30 at 100, 5.000%, 7/1/45 | 100,000 | 109,805 | |
Massachusetts School Building Authority Revenue, Series B, Senior Series, Callable 11/15/26 at 100, 5.000%, 11/15/46 | 1,000,000 | 1,047,752 | |
1,157,557 | |||
Michigan — 1.9% | |||
Michigan Finance Authority Revenue, Series 6, Senior Series, Refunding, Callable 07/01/24 at 100, 5.000%, 7/1/33 | 1,350,000 | 1,378,064 | |
Michigan Finance Authority Revenue, Series A, Refunding, Callable 12/01/29 at 100, 5.000%, 12/1/41 | 100,000 | 105,537 | |
Michigan State Building Authority Revenue, Series I, Refunding, Callable 10/15/26 at 100, 5.000%, 10/15/46 | 1,000,000 | 1,041,352 | |
Warren GO, Refunding, Callable 05/01/23 at 100, 3.000%, 10/1/23 | 15,000 | 15,004 | |
2,539,957 | |||
Minnesota — 0.2% | |||
Edina Independent School District No 273 GO, Series A, Callable 02/01/28 at 100, 2.000%, 2/1/30, (SD CRED PROG Insured) | 150,000 | 139,533 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
Minnesota — (Continued) | |||
Minneapolis Revenue, Series A, Refunding, Callable 11/15/25 at 100, 5.000%, 11/15/26 | $ 100,000 | $ 104,918 | |
Minnesota Higher Education Facilities Authority Revenue, Series K, 5.000%, 3/1/24 | 15,000 | 15,196 | |
259,647 | |||
Mississippi — 0.7% | |||
State of Mississippi Gaming Tax Revenue, Series E, Callable 10/15/25 at 100, 5.000%, 10/15/34 | 915,000 | 952,464 | |
Missouri — 2.6% | |||
Health & Educational Facilities Authority of the State of Missouri Revenue, Callable 01/01/24 at 100, 4.500%, 1/1/39 | 2,000,000 | 2,008,202 | |
Health & Educational Facilities Authority of the State of Missouri Revenue, Series A, Refunding, 5.000%, 2/15/24 | 20,000 | 20,334 | |
Jasper County Reorganized School District No R-IX Carthage, Refunding, 4.000%, 4/1/27 | 40,000 | 41,595 | |
Marion & Ralls Counties School District No 60 Hannibal GO, Callable 03/01/24 at 100, 5.000%, 3/1/39, (ST AID DIR DEP Insured) | 305,000 | 310,061 | |
Missouri Joint Municipal Electric Utility Commission Revenue, Refunding, 5.000%, 12/1/26 | 15,000 | 16,196 | |
Missouri Joint Municipal Electric Utility Commission Revenue, Series A, Refunding, 5.000%, 1/1/24 | 100,000 | 101,562 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
Missouri — (Continued) | |||
Missouri Joint Municipal Electric Utility Commission Revenue, Series A, Refunding, Callable 01/01/24 at 100, 5.000%, 1/1/32 | $ 925,000 | $ 936,855 | |
Missouri Joint Municipal Electric Utility Commission Revenue, Series A, Refunding, Callable 06/01/25 at 100, 5.000%, 12/1/37 | 100,000 | 102,836 | |
3,537,641 | |||
Nebraska — 1.9% | |||
Nebraska Public Power District Revenue, Series D, Callable 01/01/26 at 100, 5.000%, 1/1/46 | 2,470,000 | 2,567,504 | |
Public Power Generation Agency Revenue, Refunding, 5.000%, 1/1/24 | 20,000 | 20,302 | |
2,587,806 | |||
Nevada — 0.0% | |||
Clark County Revenue, Callable 07/01/25 at 100, 5.000%, 7/1/35 | 40,000 | 41,705 | |
New Hampshire — 3.7% | |||
New Hampshire Housing Finance Authority Revenue, Series 1, Callable 10/01/24 at 100, 2.950%, 10/1/25, (FHA 542c Insured) | 5,000,000 | 5,000,262 | |
New Jersey — 0.7% | |||
Atlantic City GO, Series A, Refunding, Callable 03/01/27 at 100, 5.000%, 3/1/32, (BAM ST AID WITHHLDG Insured) | 250,000 | 270,839 | |
Garden State Preservation Trust Revenue, Series A, 5.750%, 11/1/28, (AGM Insured) | 230,000 | 254,668 | |
New Jersey Turnpike Authority Revenue, Series B, Refunding, Callable 01/01/28 at 100, 5.000%, 1/1/40 | 330,000 | 351,636 | |
877,143 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
New Mexico — 1.2% | |||
New Mexico Municipal Energy Acquisition Authority Revenue, Series A, Refunding, Callable 02/01/25 at 101, 5.000%, 11/1/39(a) | $1,565,000 | $ 1,607,567 | |
New York — 5.3% | |||
Long Island Power Authority Revenue, Series A, Refunding, Callable 09/01/24 at 100, 5.000%, 9/1/34 | 55,000 | 56,384 | |
Long Island Power Authority Revenue, Series B, Refunding, Callable 09/01/26 at 100, 5.000%, 9/1/46 | 1,000,000 | 1,049,830 | |
Metropolitan Transportation Authority Revenue, Series C, Callable 05/15/23 at 100, 5.000%, 11/15/42 | 15,000 | 15,005 | |
Metropolitan Transportation Authority Revenue, Series C1, 5.000%, 11/15/25 | 15,000 | 15,692 | |
Metropolitan Transportation Authority Revenue, Series C1, Refunding, 5.000%, 11/15/25 | 100,000 | 104,614 | |
Metropolitan Transportation Authority Revenue, Series C1, Refunding, 5.000%, 11/15/26 | 85,000 | 90,241 | |
New York City Housing Development Corp. Revenue, Series 2A, Callable 05/01/25 at 100, 3.400%, 11/1/62, (REMIC FHA 542c Insured)(a) | 150,000 | 150,675 | |
New York City Municipal Water Finance Authority Revenue, Refunding, Callable 06/15/24 at 100, 5.000%, 6/15/45 | 25,000 | 25,477 | |
New York City Transitional Finance Authority Building Aid Revenue, Series S, Callable 07/15/25 at 100, 5.000%, 7/15/40, (ST AID WITHHLDG Insured) | 2,000,000 | 2,068,214 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
New York — (Continued) | |||
New York City Transitional Finance Authority Future Tax Secured Revenue, Series E-1, Callable 02/01/25 at 100, 5.000%, 2/1/41 | $ 105,000 | $ 108,331 | |
New York GO, Series B-1, Callable 12/01/26 at 100, 5.000%, 12/1/38 | 100,000 | 107,538 | |
New York State Dormitory Authority Revenue, Series B, Unrefunded portion, Callable 02/15/25 at 100, 5.000%, 2/15/37 | 1,000,000 | 1,038,920 | |
New York State Housing Finance Agency Revenue, Series B, Callable 04/21/23 at 100, 0.500%, 5/1/24, (SONYMA HUD SECT 8 Insured) | 70,000 | 67,867 | |
New York State Housing Finance Agency Revenue, Series H, Refunding, 0.600%, 5/1/24 | 20,000 | 19,401 | |
New York State Housing Finance Agency Revenue, Series N, Callable 04/21/23 at 100, 1.550%, 5/1/24, (SONYMA FNMA/FHLMC Insured) | 75,000 | 73,733 | |
Triborough Bridge & Tunnel Authority Revenue, Series A, Callable 05/15/24 at 100, 5.000%, 11/15/44 | 2,000,000 | 2,029,206 | |
Yonkers GO, Series E, Callable 09/01/25 at 100, 5.000%, 9/1/28, (AGM Insured) | 50,000 | 52,604 | |
7,073,732 | |||
Ohio — 0.9% | |||
Akron Income Tax Revenue, Refunding, Callable 12/01/29 at 100, 4.000%, 12/1/31 | 500,000 | 538,301 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
Ohio — (Continued) | |||
Louisville City School District GO, Refunding, 1.000%, 12/1/25, (SD CRED PROG Insured) | $ 25,000 | $ 23,477 | |
State of Ohio Revenue, Series 2016-1, Callable 06/15/26 at 100, 5.000%, 12/15/28 | 535,000 | 576,405 | |
1,138,183 | |||
Oklahoma — 0.4% | |||
Cleveland County Educational Facilities Authority Revenue, OID, 2.000%, 9/1/25 | 20,000 | 19,444 | |
Lawton GO, 4.000%, 12/1/31 | 235,000 | 260,930 | |
Tulsa County Independent School District No 1 Tulsa GO, Series B, 2.500%, 8/1/25 | 305,000 | 304,700 | |
585,074 | |||
Oregon — 0.2% | |||
State of Oregon GO, 2.050%, 12/1/24 | 10,000 | 9,895 | |
Umatilla County School District No 8R Hermiston GO, Series B, OID, 0.000%, 6/15/23, (SCH BD GTY Insured)(b) | 250,000 | 248,549 | |
258,444 | |||
Pennsylvania — 3.1% | |||
Allegheny County Sanitary Authority Revenue, Callable 06/01/28 at 100, 5.000%, 6/1/43 | 815,000 | 860,720 | |
Allentown GO, Series A, OID, Callable 05/01/23 at 100, 3.125%, 10/1/27, (BAM Insured) | 5,000 | 5,002 | |
Commonwealth of Pennsylvania GO, Callable 10/15/23 at 100, 4.000%, 10/15/28 | 500,000 | 502,965 | |
Lehigh County General Purpose Authority Revenue, Series A, Refunding, 4.000%, 11/1/25 | 150,000 | 152,893 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
Pennsylvania — (Continued) | |||
North Penn Health Hospital & Education Authority Revenue, Refunding, 5.000%, 11/15/23 | $ 10,000 | $ 10,136 | |
Pennsylvania Economic Development Financing Authority Revenue, AMT, Callable 12/31/32 at 100, 5.500%, 6/30/42, (AGM Insured) | 700,000 | 767,983 | |
Pennsylvania Economic Development Financing Authority Revenue, AMT, Callable 12/31/32 at 100, 6.000%, 6/30/61 | 500,000 | 548,781 | |
Pennsylvania Economic Development Financing Authority Revenue, AMT, OID, Callable 12/31/32 at 100, 5.000%, 12/31/57, (AGM Insured) | 500,000 | 517,903 | |
Philadelphia Authority for Industrial Development Revenue, Callable 06/01/27 at 100, 5.000%, 12/1/34 | 100,000 | 106,892 | |
Philadelphia Housing Authority Revenue, Callable 05/01/27 at 100, 5.000%, 5/1/31 | 615,000 | 658,019 | |
4,131,294 | |||
South Carolina — 2.7% | |||
South Carolina Ports Authority Revenue, Series A, Callable 07/01/29 at 100, 5.000%, 7/1/54 | 1,250,000 | 1,326,012 | |
South Carolina Public Service Authority Revenue, Series A, Refunding, Callable 06/01/25 at 100, 5.000%, 12/1/28 | 705,000 | 732,918 | |
South Carolina Public Service Authority Revenue, Series E, 5.000%, 12/1/27 | 125,000 | 136,076 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
South Carolina — (Continued) | |||
South Carolina Public Service Authority Revenue, Series E, OID, Unrefunded portion, Callable 12/01/23 at 100, 5.000%, 12/1/48 | $1,000,000 | $ 1,001,719 | |
South Carolina Transportation Infrastructure Bank Revenue, Series A, Refunding, Callable 10/01/25 at 100, 2.000%, 10/1/26 | 355,000 | 343,215 | |
3,539,940 | |||
South Dakota — 1.3% | |||
South Dakota Housing Development Authority Revenue, Series A, Refunding, 3.000%, 11/1/28, (GNMA/FNMA/FHLMC COLL Insured) | 450,000 | 448,891 | |
South Dakota Housing Development Authority Revenue, Series A, Refunding, 3.050%, 5/1/29, (GNMA/FNMA/FHLMC COLL Insured) | 250,000 | 249,499 | |
South Dakota Housing Development Authority Revenue, Series A, Refunding, 3.100%, 11/1/29, (GNMA/FNMA/FHLMC COLL Insured) | 250,000 | 249,293 | |
South Dakota Housing Development Authority Revenue, Series A, Refunding, 3.200%, 5/1/30, (GNMA/FNMA/FHLMC COLL Insured) | 250,000 | 249,089 | |
South Dakota Housing Development Authority Revenue, Series A, Refunding, 3.300%, 11/1/30, (GNMA/FNMA/FHLMC COLL Insured) | 500,000 | 499,610 | |
1,696,382 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
Tennessee — 1.5% | |||
Greeneville Health & Educational Facilities Board Revenue, Refunding, Callable 07/01/23 at 100, 5.000%, 7/1/34 | $ 500,000 | $ 501,317 | |
Metropolitan Government of Nashville & Davidson County Electric Revenue, Series A, Callable 05/15/27 at 100, 5.000%, 5/15/42 | 305,000 | 323,224 | |
Metropolitan Nashville Airport Authority/The Revenue, Series A, Callable 07/01/30 at 100, 5.000%, 7/1/54 | 1,000,000 | 1,055,059 | |
Putnam County GO, OID, Refunding, Callable 04/01/25 at 100, 2.000%, 4/1/26 | 100,000 | 97,785 | |
1,977,385 | |||
Texas — 8.7% | |||
Austin Community College District Public Facility Corp. Revenue, Refunding, Callable 08/01/25 at 100, 5.000%, 8/1/26 | 130,000 | 137,289 | |
Bexar County GO, Callable 06/15/27 at 100, 5.000%, 6/15/42 | 2,000,000 | 2,128,167 | |
Block House Municipal Utility District GO, Refunding, Callable 05/01/23 at 100, 3.000%, 4/1/25, (BAM Insured) | 25,000 | 24,992 | |
Central Texas Regional Mobility Authority Revenue, Series D, Senior Series, Refunding, 5.000%, 1/1/28 | 550,000 | 600,343 | |
Central Texas Turnpike System Revenue, Series C, Refunding, Callable 08/15/24 at 100, 5.000%, 8/15/34 | 260,000 | 263,753 | |
Corrigan-Camden Independent School District GO, Callable 08/15/32 at 100, 5.000%, 8/15/35, (BAM Insured) | 555,000 | 640,717 | |
Del Rio GO, Callable 06/01/26 at 100, 5.000%, 6/1/36, (AGM Insured) | 600,000 | 632,250 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
Texas — (Continued) | |||
Denton Utility System Revenue, Callable 12/01/26 at 100, 5.000%, 12/1/34 | $ 100,000 | $ 106,501 | |
East Downtown Redevelopment Authority, 5.000%, 9/1/29, (AGM Insured) | 190,000 | 213,485 | |
El Paso County Hospital District GO, Callable 08/15/23 at 100, 5.000%, 8/15/43 | 100,000 | 100,002 | |
El Paso GO, Callable 08/15/26 at 100, 5.000%, 8/15/42 | 2,000,000 | 2,080,197 | |
El Paso GO, Refunding, Callable 08/15/26 at 100, 5.000%, 8/15/28 | 500,000 | 539,401 | |
Garland Electric Utility System Revenue, OID, Refunding, Callable 05/01/23 at 100, 2.250%, 3/1/24 | 5,000 | 4,966 | |
Harris County Improvement District No 18 GO, OID, Callable 05/01/23 at 100, 3.000%, 9/1/25, (AGM Insured) | 10,000 | 10,002 | |
Harris County Municipal Utility District No 287 GO, Series A, OID, Callable 03/01/27 at 100, 1.500%, 3/1/31, (AGM Insured) | 100,000 | 85,753 | |
Houston Housing Finance Corp. Revenue, Callable 10/01/24 at 100, 4.000%, 10/1/25, (FHA HUD SECT 8 Insured)(a) | 500,000 | 506,086 | |
Kaufman County Municipal Utility District No 14 GO, Callable 03/01/25 at 100, 2.000%, 3/1/27, (BAM Insured) | 40,000 | 37,640 | |
Lower Colorado River Authority Revenue, OID, Refunding, Callable 05/15/25 at 100, 3.000%, 5/15/26 | 75,000 | 75,108 | |
Lower Colorado River Authority Revenue, Refunding, 5.000%, 5/15/23 | 20,000 | 20,054 | |
Lower Colorado River Authority Revenue, Refunding, 5.000%, 5/15/23 | 10,000 | 10,027 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
Texas — (Continued) | |||
Lower Colorado River Authority Revenue, Refunding, Callable 05/15/30 at 100, 5.000%, 5/15/41 | $ 100,000 | $ 108,830 | |
Navasota GO, 5.500%, 11/15/30, (BAM Insured) | 295,000 | 350,116 | |
North Richland Hills GO, OID, Callable 05/01/23 at 100, 2.500%, 2/15/24 | 10,000 | 9,981 | |
North Texas Tollway Authority Revenue, Series A, Refunding, Callable 01/01/25 at 100, 5.000%, 1/1/35 | 40,000 | 41,294 | |
Port Arthur Independent School District GO, Series B, OID, Refunding, Callable 02/15/25 at 100, 3.000%, 2/15/27 | 25,000 | 25,078 | |
Port Arthur Independent School District GO, Series E, Refunding, Callable 08/15/26 at 100, 4.000%, 2/15/35 | 2,000,000 | �� 2,038,283 | |
San Antonio Water System Revenue, Series A, Junior Series, Refunding, 2.000%, 5/15/25 | 40,000 | 39,330 | |
Southwest Houston Redevelopment Authority, Series B, Refunding, Callable 09/01/27 at 100, 5.000%, 9/1/35, (AGM Insured) | 205,000 | 222,216 | |
Sugar Land Waterworks & Sewer System Revenue, Callable 05/01/23 at 100, 3.000%, 8/15/24 | 45,000 | 45,003 | |
Texas Municipal Gas Acquisition & Supply Corp. III Revenue, Refunding, 5.000%, 12/15/27 | 500,000 | 516,889 | |
11,613,753 | |||
Vermont — 0.4% | |||
University of Vermont and State Agricultural College Revenue, Refunding, Callable 10/01/27 at 100, 5.000%, 10/1/43 | 470,000 | 494,647 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
Virginia — 0.0% | |||
Virginia Resources Authority Revenue, AMT, Prerefunded, 5.000%, 11/1/23 | $ 15,000 | $ 15,205 | |
Washington — 2.0% | |||
King County Sewer Revenue, Callable 07/01/24 at 100, 5.000%, 1/1/47, (AGM Insured) | 2,250,000 | 2,292,915 | |
State of Washington GO, Series A-1, Callable 08/01/25 at 100, 5.000%, 8/1/39 | 100,000 | 103,877 | |
State of Washington GO, Series C, Callable 02/01/30 at 100, 5.000%, 2/1/44 | 100,000 | 109,322 | |
Washington Health Care Facilities Authority Revenue, Series A, Callable 08/15/25 at 100, 5.000%, 8/15/35 | 210,000 | 216,079 | |
2,722,193 | |||
Wisconsin — 2.2% | |||
Central Brown County Water Authority Revenue, Series A, Refunding, 5.000%, 11/1/24 | 10,000 | 10,344 | |
Kenosha County GO, Series C, 2.000%, 8/1/25 | 95,000 | 92,432 | |
Milwaukee GO, Series N-4, Refunding, 5.000%, 4/1/28 | 390,000 | 427,927 | |
Milwaukee Sewerage System Revenue, Series S5, Callable 06/01/23 at 100, 4.000%, 6/1/29 | 330,000 | 330,528 | |
Oak Creek Revenue, Series B, Callable 05/01/23 at 100, 2.000%, 4/1/24 | 50,000 | 48,907 | |
Public Finance Authority Revenue, Series A, Refunding, Callable 06/01/25 at 100, 5.000%, 6/1/31 | 1,000,000 | 1,039,151 |
Principal Amount | Value | ||
MUNICIPAL BONDS — (Continued) | |||
Wisconsin — (Continued) | |||
Village of Mount Pleasant, Series A, Callable 04/01/28 at 100, 5.000%, 4/1/48, (MORAL OBLG Insured) | $ 650,000 | $ 670,483 | |
Wisconsin Housing & Economic Development Authority Housing Revenue, Series A, 3.600%, 11/1/26, (HUD SECT 8 Insured) | 265,000 | 271,013 | |
2,890,785 | |||
Wyoming — 3.2% | |||
Wyoming Community Development Authority Revenue, Series 1, Refunding, 3.000%, 6/1/28 | 1,300,000 | 1,296,762 | |
Wyoming Community Development Authority Revenue, Series 1, Refunding, 3.050%, 12/1/28 | 1,430,000 | 1,426,477 | |
Wyoming Community Development Authority Revenue, Series 1, Refunding, 3.100%, 6/1/29 | 1,495,000 | 1,490,965 | |
4,214,204 | |||
TOTAL MUNICIPAL BONDS (Cost $96,448,423) | 96,976,444 |
Par Value/ Shares | ||
PREFERREDS — 11.1% | ||
Consumer Discretionary — 0.7% | ||
General Motors Financial Co., Inc., 5.75%, 9/30/27 | 1,175,000 | 953,550 |
Financials — 10.4% | ||
Bank of America Corp., 6.25%, 9/5/24 | 1,550,000 | 1,517,062 |
Bank of New York Mellon Corp. (The), 4.70%, 9/20/25 | 450,000 | 426,946 |
Bank of New York Mellon Corp. (The), 3.70%, 3/20/26 | 1,410,000 | 1,277,813 |
Citigroup, Inc., 9.094%, 5/15/23(a) | 300,000 | 298,322 |
Citigroup, Inc., 6.25%, 8/15/26 | 1,600,000 | 1,540,000 |
JPMorgan Chase & Co., 6.75%, 2/1/24 | 1,475,000 | 1,482,375 |
M&T Bank Corp., 6.45%, 2/15/24 | 950,000 | 851,416 |
Morgan Stanley, 6.875%, 1/15/24 | 64,395 | 1,590,556 |
Par Value/ Shares | Value | ||
PREFERREDS — (Continued) | |||
Financials — (Continued) | |||
Northern Trust Corp., 4.60%, 10/1/26 | $2,080,000 | $ 1,902,767 | |
State Street Corp., 5.625%, 12/15/23 | 1,100,000 | 1,031,500 | |
State Street Corp., 5.90%, 3/15/24 | 60,000 | 1,399,800 | |
State Street Corp., 5.35%, 3/15/26 | 23,000 | 576,610 | |
13,895,167 | |||
TOTAL PREFERREDS (Cost $14,786,259) | 14,848,717 |
Par Value | ||
CORPORATE BONDS — 9.5% | ||
Communications — 0.3% | ||
Paramount Global, 4.95%, 1/15/31 | 500,000 | 460,916 |
Consumer Discretionary — 0.9% | ||
Hyatt Hotels Corp., 1.80%, 10/1/24 | 750,000 | 710,207 |
Mohawk Industries, Inc., 3.625%, 5/15/30 | 550,000 | 498,723 |
1,208,930 | ||
Energy — 1.6% | ||
Continental Resources, Inc., 3.80%, 6/1/24 | 500,000 | 490,063 |
Enbridge Energy LP, 7.125%, 10/1/28 | 1,000,000 | 1,042,601 |
Tosco Corp., 7.80%, 1/1/27 | 500,000 | 557,813 |
2,090,477 | ||
Financials — 2.9% | ||
Air Lease Corp., 3.25%, 3/1/25 | 500,000 | 480,443 |
Bank of New York Mellon Corp. (The), 4.543%, 2/1/29 | 500,000 | 495,355 |
Goldman Sachs Group, Inc. (The), 0.657%, 9/10/24 | 200,000 | 195,490 |
Jefferies Financial Group, Inc., 4.85%, 1/15/27 | 250,000 | 244,378 |
JPMorgan Chase & Co., 0.653%, 9/16/24 | 200,000 | 195,536 |
Kilroy Realty LP, REIT, 2.50%, 11/15/32 | 150,000 | 95,554 |
Morgan Stanley, 0.791%, 1/22/25 | 200,000 | 192,422 |
Morgan Stanley, 4.35%, 9/8/26 | 200,000 | 194,969 |
Synchrony Financial, 2.875%, 10/28/31 | 1,000,000 | 707,888 |
Zions Bancorp, 3.25%, 10/29/29 | 1,500,000 | 1,048,118 |
3,850,153 |
Par Value | Value | ||
CORPORATE BONDS — (Continued) | |||
Industrials — 0.9% | |||
Boeing Co. (The), 1.433%, 2/4/24 | $1,250,000 | $ 1,208,091 | |
Materials — 1.1% | |||
Huntsman International, LLC, 4.50%, 5/1/29 | 1,050,000 | 985,928 | |
LyondellBasell Industries NV, 5.75%, 4/15/24 | 500,000 | 500,429 | |
1,486,357 | |||
Utilities — 1.8% | |||
NextEra Energy Capital Holdings, Inc., 5.05%, 2/28/33 | 1,250,000 | 1,253,447 | |
Southwest Gas Corp., 5.80%, 12/1/27 | 900,000 | 928,280 | |
Southwest Gas Corp., 2.20%, 6/15/30 | 250,000 | 206,594 | |
2,388,321 | |||
TOTAL CORPORATE BONDS (Cost $12,822,203) | 12,693,245 | ||
U.S. TREASURY OBLIGATIONS — 5.9% | |||
United States Treasury Notes, | |||
4.931%, 1/31/25(a) | 1,100,000 | 1,100,506 | |
4.625%, 2/28/25 | 500,000 | 504,648 | |
4.00%, 2/29/28 | 2,500,000 | 2,542,969 | |
3.50%, 2/15/33 | 3,650,000 | 3,653,137 | |
U.S. TREASURY OBLIGATIONS (Cost $7,711,847) | 7,801,260 |
Number of Shares | ||
SHORT-TERM INVESTMENT — 3.9% | ||
Dreyfus Government Cash Management Fund, Institutional Shares, 4.710%(c) | 5,214,188 | 5,214,188 |
TOTAL SHORT-TERM INVESTMENT (Cost $5,214,188) | 5,214,188 | |
TOTAL INVESTMENTS - 103.1% (Cost $136,982,920) | 137,533,854 | |
LIABILITIES IN EXCESS OF OTHER ASSETS - (3.1)% | (4,181,724) | |
NET ASSETS - 100.0% | $ 133,352,130 |
(a) | The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at March 31, 2023. |
(b) | Zero coupon bond. |
(c) | Rate disclosed is the 7-day yield at March 31, 2023. |
AGM | Assured Guaranty Municipal Corp. |
AMT | Alternative Minimum Tax |
BAM | Build America Mutual |
COLL | Collateral |
FHA 542c | Federal Housing Administration Section 542c |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
GO | General Obligation |
HUD SECT 8 | Housing and Urban Development Section 8 |
LLC | Limited Liability Company |
LP | Limited Partnership |
MORAL OBLG | Moral Obligation |
OID | Original Issue Discount |
REIT | Real Estate Investment Trust |
REMIC FHA 542c | Real Estate Mortgage Investment Conduit Federal Housing Administration Section 542c |
SCH BD GTY | School Board Guaranty |
SD CRED PROG | State School District Credit Enhancement Program |
SONYMA | State of New York Mortgage Agency |
ST AID DIR DEP | State Aid Direct Deposit |
ST AID WITHHLDG | State Aid Withholding |
ST INTERCEPT | State Intercept |
Ambrus Core Bond Fund | Ambrus Tax-Conscious California Bond Fund | Ambrus Tax-Conscious National Bond Fund | |||
Assets | |||||
Investments, at value | $78,085,608 | $80,244,849 | $137,533,854 | ||
Receivables: | |||||
Investments sold | — | — | 668,456 | ||
Capital shares sold | 124,362 | 230,000 | 30,360 | ||
Dividends and interest | 559,602 | 910,501 | 1,436,204 | ||
Investment adviser | 15,197 | 6,543 | — | ||
Prepaid expenses and other assets | 17,113 | 363 | 16,229 | ||
Total Assets | 78,801,882 | 81,392,256 | 139,685,103 | ||
Liabilities | |||||
Payables: | |||||
Investments purchased | 1,304,896 | 19,242 | 5,812,151 | ||
Capital shares redeemed | 386,706 | 471,623 | 450,915 | ||
Administration and accounting fees | 24,997 | 23,895 | 24,214 | ||
Audit fees | 12,745 | 12,844 | 12,844 | ||
Shareholder reporting fees | 8,627 | 5,167 | 5,167 | ||
Transfer agent fees | 6,932 | 7,201 | 7,201 | ||
Legal fees | 3,709 | 1,085 | 98 | ||
Investment adviser | — | — | 11,027 | ||
Accrued expenses | 8,618 | 9,761 | 9,356 | ||
Total Liabilities | 1,757,230 | 550,818 | 6,332,973 | ||
Net Assets | $77,044,652 | $80,841,438 | $133,352,130 | ||
Net Assets Consisted of: | |||||
Capital stock, $0.01 par value | $ 77,844 | $ 79,780 | $ 131,567 | ||
Paid-in capital | 77,038,682 | 80,597,436 | 133,507,187 | ||
Total distributable earnings/(loss) | (71,874) | 164,222 | (286,624) | ||
Net Assets | $77,044,652 | $80,841,438 | $133,352,130 | ||
Institutional Class Shares: | |||||
Net assets | $77,044,652 | $80,841,438 | $133,352,130 | ||
Shares outstanding | 7,784,434 | 7,978,015 | 13,156,658 | ||
Net asset value, offering and redemption price per share | $ 9.90 | $ 10.13 | $ 10.14 | ||
Investments, at cost | $77,749,568 | $79,649,770 | $136,982,920 |
Ambrus Core Bond Fund | Ambrus Tax-Conscious California Bond Fund* | Ambrus Tax-Conscious National Bond Fund** | |||
Investment income | |||||
Interest | $ 801,177 | $ 854,083 | $1,226,807 | ||
Dividends | 16,928 | 17,522 | 27,657 | ||
Total investment income | 818,105 | 871,605 | 1,254,464 | ||
Expenses | |||||
Advisory fees (Note 2) | 65,415 | 85,892 | 117,240 | ||
Administration and accounting fees (Note 2) | 25,304 | 25,501 | 25,501 | ||
Transfer agent fees (Note 2) | 15,592 | 13,953 | 13,953 | ||
Audit fees | 12,745 | 12,844 | 12,844 | ||
Legal fees | 12,731 | 12,895 | 13,295 | ||
Registration and filing fees | 12,491 | 729 | 12,944 | ||
Trustees’ and officers’ fees(Note 2) | 10,604 | 13,469 | 14,850 | ||
Shareholder reporting fees | 9,608 | 9,368 | 9,368 | ||
Custodian fees(Note 2) | 7,430 | 7,425 | 7,425 | ||
Other expenses | 5,928 | 4,803 | 5,022 | ||
Total expenses before waivers and reimbursements | 177,848 | 186,879 | 232,442 | ||
Less: waivers and reimbursements(Note 2) | (96,079) | (79,514) | (85,892) | ||
Net expenses after waivers and reimbursements | 81,769 | 107,365 | 146,550 | ||
Net investment income | 736,336 | 764,240 | 1,107,914 | ||
Net realized and unrealized gain/(loss) from investments: | |||||
Net realized loss from investments | (405,269) | (430,551) | (838,111) | ||
Net change in unrealized appreciation on investments | 465,404 | 595,079 | 550,934 | ||
Net realized and unrealized gain/(loss) on investments | 60,135 | 164,528 | (287,177) | ||
Net increase in net assets resulting from operations | $ 796,471 | $ 928,768 | $ 820,737 |
* | The Ambrus Tax-Conscious California Bond Fund commenced operations on October 3, 2022. |
** | The Ambrus Tax-Conscious National Bond Fund commenced operations on October 3, 2022. |
Ambrus Core Bond Fund | |||
For the Six Months Ended March 31, 2023 (Unaudited) | For the Period from September 6, 2022* to September 30, 2022 | ||
Net increase/(decrease) in net assets from operations: | |||
Net investment income | $ 736,336 | $ 11,222 | |
Net realized losses from investments | (405,269) | (2,313) | |
Net change in unrealized appreciation/(depreciation) on investments | 465,404 | (129,364) | |
Net increase/(decrease) in net assets resulting from operations | 796,471 | (120,455) | |
Less dividends and distributions to shareholders from: | |||
Total distributable earnings: | |||
Institutional Class | (736,668) | (11,222) | |
Net decrease in net assets from dividends and distributions to shareholders | (736,668) | (11,222) | |
Increase in net assets derived from capital share transactions (Note 4) | 72,105,304 | 5,011,222 | |
Total increase in net assets | 72,165,107 | 4,879,545 | |
Net assets | |||
Beginning of period | 4,879,545 | — | |
End of period | $77,044,652 | $4,879,545 |
* | The Ambrus Core Bond Fund commenced operations on September 6, 2022. |
Ambrus Tax-Conscious California Bond Fund | |
For the Period from October 3, 2022* to March 31, 2023 (Unaudited) | |
Net increase/(decrease) in net assets from operations: | |
Net investment income | $ 764,240 |
Net realized losses from investments | (430,551) |
Net change in unrealized appreciation on investments | 595,079 |
Net increase in net assets resulting from operations | 928,768 |
Less dividends and distributions to shareholders from: | |
Total distributable earnings: | |
Institutional Class | (764,546) |
Net decrease in net assets from dividends and distributions to shareholders | (764,546) |
Increase in net assets derived from capital share transactions (Note 4) | 80,677,216 |
Total increase in net assets | 80,841,438 |
Net assets | |
Beginning of period | — |
End of period | $80,841,438 |
* | The Ambrus Tax-Conscious California Bond Fund commenced operations on October 3, 2022. |
Ambrus Tax-Conscious National Bond Fund | |
For the Period from October 3, 2022* to March 31, 2023 (Unaudited) | |
Net increase/(decrease) in net assets from operations: | |
Net investment income | $ 1,107,914 |
Net realized losses from investments | (838,111) |
Net change in unrealized appreciation on investments | 550,934 |
Net increase in net assets resulting from operations | 820,737 |
Less dividends and distributions to shareholders from: | |
Total distributable earnings: | |
Institutional Class | (1,107,361) |
Net decrease in net assets from dividends and distributions to shareholders | (1,107,361) |
Increase in net assets derived from capital share transactions (Note 4) | 133,638,754 |
Total increase in net assets | 133,352,130 |
Net assets | |
Beginning of period | — |
End of period | $133,352,130 |
* | The Ambrus Tax-Conscious National Bond Fund commenced operations on October 3, 2022. |
Institutional Class | |||
For the Six Months Ended March 31, 2023 (Unaudited) | For the Period from September 6, 2022* to September 30, 2022 | ||
Per Share Operating Performance | |||
Net asset value, beginning of period | $ 9.74 | $ 10.00 | |
Net investment income(1) | 0.22 | 0.02 | |
Net realized and unrealized gain/(loss) on investments | 0.15 | (0.26) | |
Total from investment operations | 0.37 | (0.24) | |
Dividends and distributions to shareholders from: | |||
Net investment income | (0.21) | (0.02) | |
Net asset value, end of period | $ 9.90 | $ 9.74 | |
Total investment return(2) | 3.86% | (2.38)% | |
Ratios/Supplemental Data | |||
Net assets, end of period (in 000s) | $77,045 | $ 4,880 | |
Ratio of expenses to average net assets | 0.50% (3) | 0.50% (3) | |
Ratio of expenses to average net assets without waivers and reimbursements(4) | 1.09% (3) | 10.81% (3) | |
Ratio of net investment income to average net assets | 4.50% (3) | 3.31% (3) | |
Portfolio turnover rate | 62% (5) | 1% (5) |
* | The Ambrus Core Bond Fund commenced operations on September 6, 2022. |
(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. |
Institutional Class | |
For the Period from October 3, 2022* to March 31, 2023 (Unaudited) | |
Per Share Operating Performance | |
Net asset value, beginning of period | $ 10.00 |
Net investment income(1) | 0.18 |
Net realized and unrealized gain on investments | 0.12 |
Total from investment operations | 0.30 |
Dividends and distributions to shareholders from: | |
Net investment income | (0.17) |
Net asset value, end of period | $ 10.13 |
Total investment return(2) | 3.04% |
Ratios/Supplemental Data | |
Net assets, end of period (in 000s) | $80,841 |
Ratio of expenses to average net assets | 0.50% (3) |
Ratio of expenses to average net assets without waivers(4) | 0.87% (3) |
Ratio of net investment income to average net assets | 3.56% (3) |
Portfolio turnover rate | 22% (5) |
* | The Ambrus Tax-Conscious California Bond Fund commenced operations on October 3, 2022. |
(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. |
Institutional Class | |
For the Period from October 3, 2022* to March 31, 2023 (Unaudited) | |
Per Share Operating Performance | |
Net asset value, beginning of period | $ 10.00 |
Net investment income(1) | 0.19 |
Net realized and unrealized gain on investments | 0.13 |
Total from investment operations | 0.32 |
Dividends and distributions to shareholders from: | |
Net investment income | (0.18) |
Net asset value, end of period | $ 10.14 |
Total investment return(2) | 3.26% |
Ratios/Supplemental Data | |
Net assets, end of period (in 000s) | $133,352 |
Ratio of expenses to average net assets | 0.50% (3) |
Ratio of expenses to average net assets without waivers(4) | 0.79% (3) |
Ratio of net investment income to average net assets | 3.78% (3) |
Portfolio turnover rate | 36% (5) |
* | The Ambrus Tax-Conscious National Bond Fund commenced operations on October 3, 2022. |
(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. |
Funds | Total Value at 03/31/23 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Ambrus Core Bond Fund | ||||||||
Assets | ||||||||
Corporate Bonds | $ 39,101,419 | $ — | $ 39,101,419 | $ — | ||||
U.S. Treasury Obligations | 26,014,105 | — | 26,014,105 | — | ||||
Preferreds | ||||||||
Consumer Discretionary | 608,649 | — | 608,649 | — | ||||
Financials | 7,993,008 | 2,207,097 | 5,785,911 | — | ||||
Municipal Bonds | 803,576 | — | 803,576 | — | ||||
Short-Term Investment | 3,564,851 | 3,564,851 | — | — | ||||
Total Assets | $ 78,085,608 | $ 5,771,948 | $ 72,313,660 | $ — | ||||
Ambrus Tax-Conscious California Bond Fund | ||||||||
Assets | ||||||||
Municipal Bonds | $ 62,570,816 | $ — | $ 62,570,816 | $ — | ||||
Preferreds | ||||||||
Consumer Discretionary | 710,091 | — | 710,091 | — | ||||
Financials | 8,381,632 | 2,193,049 | 6,188,583 | — | ||||
Corporate Bonds | 4,868,102 | — | 4,868,102 | — | ||||
U.S. Treasury Obligations | 3,337,307 | — | 3,337,307 | — | ||||
Short-Term Investment | 376,901 | 376,901 | — | — | ||||
Total Assets | $ 80,244,849 | $ 2,569,950 | $ 77,674,899 | $ — |
Funds | Total Value at 03/31/23 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Ambrus Tax-Conscious National Bond Fund | ||||||||
Assets | ||||||||
Municipal Bonds | $ 96,976,444 | $ — | $ 96,976,444 | $ — | ||||
Preferreds | ||||||||
Consumer Discretionary | 953,550 | — | 953,550 | — | ||||
Financials | 13,895,167 | 3,566,966 | 10,328,201 | — | ||||
Corporate Bonds | 12,693,245 | — | 12,693,245 | — | ||||
U.S. Treasury Obligations | 7,801,260 | — | 7,801,260 | — | ||||
Short-Term Investment | 5,214,188 | 5,214,188 | — | — | ||||
Total Assets | $ 137,533,854 | $ 8,781,154 | $ 128,752,700 | $ — |
Ambrus Core Bond Fund | 0.40% |
Ambrus Tax-Conscious California Bond Fund | 0.40% |
Ambrus Tax-Conscious National Bond Fund | 0.40% |
Institutional Class | Termination Date | ||
Ambrus Core Bond Fund | 0.60% | September 30, 2024 | |
Ambrus Tax-Conscious California Bond Fund | 0.60% | September 30, 2024 | |
Ambrus Tax-Conscious National Bond Fund | 0.60% | September 30, 2024 |
Institutional Class | Termination Date | ||
Ambrus Core Bond Fund | 0.50% | December 31, 2023 | |
Ambrus Tax-Conscious California Bond Fund | 0.50% | December 31, 2023 | |
Ambrus Tax-Conscious National Bond Fund | 0.50% | December 31, 2023 |
Gross Advisory Fee | Waiver/ Reimbursements | Net Advisory Fee/ (Reimbursement) | |||
Ambrus Core Bond Fund | $ 65,415 | $(68,355) | $ (2,940) | ||
Ambrus Tax-Conscious California Bond Fund | 85,892 | (53,225) | 32,667 | ||
Ambrus Tax-Conscious National Bond Fund | 117,240 | (60,221) | 57,019 |
Expiration | |||||
09/30/2025 | 03/31/2026 | Total | |||
Ambrus Core Bond Fund | $26,682 | $68,355 | $95,037 | ||
Ambrus Tax-Conscious California Bond Fund | — | 53,225 | 53,225 | ||
Ambrus Tax-Conscious National Bond Fund | — | 60,221 | 60,221 |
U.S. Government Securities | Other Securities | ||||||
Purchases | Sales | Purchases | Sales | ||||
Ambrus Core Bond Fund | $22,285,872 | $3,475,963 | $ 61,999,036 | $16,190,223 | |||
Ambrus Tax-Conscious California Bond Fund | 4,113,504 | 1,292,188 | 83,478,296 | 7,752,473 | |||
Ambrus Tax-Conscious National Bond Fund | 12,620,949 | 4,918,543 | 138,996,379 | 15,369,243 |
For the Six Months/Period Ended March 31, 2023 (Unaudited) | For the Period Ended September 30, 2022 | ||||||
Shares | Amount | Shares | Amount | ||||
Ambrus Core Bond Fund*: | |||||||
Institutional Class | |||||||
Sales | 7,283,288 | $ 72,105,629 | 500,000 | $5,000,000 | |||
Reinvestments | 74,520 | 736,667 | 1,152 | 11,222 | |||
Redemptions | (74,526) | (736,992) | — | — | |||
Net increase | 7,283,282 | $ 72,105,304 | 501,152 | $5,011,222 | |||
Ambrus Tax-Conscious California Bond Fund**: | |||||||
Institutional Class | |||||||
Sales | 8,100,267 | $ 81,915,072 | |||||
Reinvestments | 75,290 | 764,546 | |||||
Redemptions | (197,542) | (2,002,402) | |||||
Net increase | 7,978,015 | $ 80,677,216 | |||||
Ambrus Tax-Conscious National Bond Fund***: | |||||||
Institutional Class | |||||||
Sales | 13,158,055 | $133,653,296 | |||||
Reinvestments | 109,037 | 1,107,361 | |||||
Redemptions | (110,434) | (1,121,903) | |||||
Net increase | 13,156,658 | $133,638,754 |
* | The Core Bond Fund's Institutional Class commenced operations on September 6, 2022. |
** | The Ambrus Tax-Conscious California Bond Fund's Institutional Class commenced operations on October 3, 2023. |
*** | The Ambrus Tax-Conscious National Bond Fund's Institutional Class commenced operations on October 3, 2023. |
Unrealized Appreciation/ (Depreciation) | |
Ambrus Core Bond Fund | $(131,677) |
Federal Tax Cost* | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation | |||||
Ambrus Core Bond Fund | $ 77,749,568 | $ 651,361 | $(315,321) | $336,040 | ||||
Ambrus Tax-Conscious California Bond Fund | 79,649,770 | 923,842 | (328,763) | 595,079 | ||||
Ambrus Tax-Conscious National Bond Fund | 136,982,920 | 1,150,268 | (599,334) | 550,934 |
* | Because tax adjustments are calculated annually at the end of each 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 each Fund’s most recent annual report. |
301 Bellevue Parkway
Wilmington, DE 19809
500 Ross Street, 154-0520
Pittsburgh, PA 15262
Three Canal Plaza, Suite 100
Portland, ME 04101
240 Greenwich Street
New York, NY 10286
3000 Two Logan Square
18th and Arch Streets
C WorldWide International Equities Fund |
Class I |
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2023 | |||||
Six Months† | 1 Year | Since Inception | |||
Class I | 31.71% | 6.85% | 4.30% * | ||
MSCI ® ACWI ex USA Index | 22.13% | -5.07% | -4.45% ** |
† | Not Annualized. |
* | The C WorldWide International Equities Fund (the "Fund") Class I shares commenced operation on February 28, 2022. |
** | Benchmark performance is from the commencement date of the Fund Class only and is not the commencement date of the benchmark itself. |
Beginning Account Value October 1, 2022 | Ending Account Value March 31, 2023 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
C WorldWide International Equities Fund | |||||||
Class I | |||||||
Actual | $1,000.00 | $1,317.10 | 0.55% | $3.18 | |||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.19 | 0.55% | 2.77 |
* | Expenses are equal to the annualized expense ratio for the six-month period ended March 31, 2023 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 (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 31.71% for Class I shares. |
% of Net Assets | Value | ||
COMMON STOCKS: | |||
Semiconductors | 11.3% | $ 117,899 | |
Pharmaceuticals | 10.9 | 114,057 | |
Banks | 8.3 | 86,663 | |
Machinery-Diversified | 7.2 | 74,601 | |
Electronics | 5.9 | 62,041 | |
Electric | 4.8 | 50,019 | |
Food | 4.5 | 46,577 | |
Apparel | 4.4 | 45,895 | |
Chemicals | 4.2 | 43,354 | |
Miscellaneous Manufacturing | 4.1 | 43,093 | |
Distribution/Wholesale | 3.7 | 39,002 | |
Cosmetics/Personal Care | 3.7 | 38,429 | |
Home Furnishings | 3.5 | 36,433 | |
Building Materials | 3.4 | 35,881 | |
Software | 3.2 | 33,840 | |
Beverages | 3.1 | 32,401 | |
Diversified Financial Services | 3.0 | 31,738 | |
Insurance | 2.8 | 29,365 | |
Engineering & Construction | 2.1 | 21,782 | |
Machinery-Construction & Mining | 2.0 | 20,465 | |
Commercial Services | 1.7 | 17,528 | |
Real Estate | 1.2 | 11,979 | |
Total Common Stocks | 99.0 | 1,033,042 | |
Other Assets in Excess of Liabilities | 1.0 | 9,941 | |
NET ASSETS | 100.0% | $1,042,983 |
Number of Shares | Value | ||
COMMON STOCKS — 99.0% | |||
Denmark — 7.2% | |||
Novo Nordisk A/S, Class B | 473 | $ 75,123 | |
France — 14.3% | |||
Air Liquide SA | 259 | 43,354 | |
L'Oreal SA | 86 | 38,429 | |
LVMH Moet Hennessy Louis Vuitton SE | 50 | 45,895 | |
Vinci SA | 190 | 21,782 | |
149,460 | |||
Germany — 11.6% | |||
Deutsche Boerse AG | 163 | 31,738 | |
SAP SE | 268 | 33,840 | |
Siemens AG | 266 | 43,093 | |
Vonovia SE | 636 | 11,979 | |
120,650 | |||
Hong Kong — 2.8% | |||
AIA Group Ltd. | 2,800 | 29,365 | |
India — 5.2% | |||
HDFC Bank Ltd., ADR | 819 | 54,603 | |
Indonesia — 3.1% | |||
Bank Central Asia Tbk PT | 54,800 | 32,060 | |
Japan — 14.8% | |||
Daikin Industries Ltd. | 200 | 35,881 | |
Hoya Corp. | 300 | 33,154 | |
Keyence Corp. | 100 | 49,011 | |
Sony Group Corp. | 400 | 36,433 | |
154,479 | |||
Netherlands — 7.3% | |||
Adyen NV(a)* | 11 | 17,528 | |
ASML Holding NV | 86 | 58,604 | |
76,132 | |||
South Korea — 2.7% | |||
Samsung Electronics Co. Ltd., GDR, Reg S | 23 | 28,412 | |
Spain — 1.9% | |||
Iberdrola SA | 1,606 | 20,007 | |
Sweden — 7.2% | |||
Assa Abloy AB, Class B | 1,206 | 28,887 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Sweden — (Continued) | |||
Atlas Copco AB, Class A | 2,020 | $ 25,590 | |
Epiroc AB, Class A | 1,031 | 20,465 | |
74,942 | |||
Switzerland — 4.5% | |||
Nestle SA | 382 | 46,577 | |
Taiwan — 3.0% | |||
Taiwan Semiconductor Manufacturing Co. Ltd., SP ADR | 332 | 30,883 | |
United Kingdom — 13.4% | |||
AstraZeneca PLC | 281 | 38,934 | |
Diageo PLC | 726 | 32,401 | |
Ferguson PLC | 295 | 39,002 | |
SSE PLC | 1,345 | 30,012 | |
140,349 | |||
TOTAL COMMON STOCKS (Cost $1,016,201) | 1,033,042 | ||
TOTAL INVESTMENTS - 99.0% (Cost $1,016,201) | 1,033,042 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.0% | 9,941 | ||
NET ASSETS - 100.0% | $1,042,983 |
(a) | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities were purchased in accordance with the guidelines approved by the Fund’s Board of Trustees and may be resold, in transactions exempt from registration, to qualified institutional buyers. At March 31, 2023, these securities amounted to $17,528 or 1.68% of net assets. These securities have been determined by the Adviser to be liquid securities. |
* | Non-income producing. |
ADR | American Depositary Receipt |
GDR | Global Depository Receipt |
PLC | Public Limited Company |
SP ADR | Sponsored American Depository Receipt |
Assets | |
Investments, at value (Cost $1,016,201) | $1,033,042 |
Cash and cash equivalents | 9,877 |
Foreign currency, at value (Cost $3,700) | 3,770 |
Receivables: | |
Dividends | 1,723 |
Investment adviser | 31,477 |
Prepaid expenses and other assets | 15,044 |
Total Assets | 1,094,933 |
Liabilities | |
Payables: | |
Audit fees | 12,816 |
Administration and accounting fees | 9,678 |
Custodian fees | 9,358 |
Shareholder reporting fees | 8,686 |
Transfer agent fees | 6,655 |
Accrued expenses | 4,757 |
Total Liabilities | 51,950 |
Net Assets | $1,042,983 |
Net Assets Consisted of: | |
Capital stock, $0.01 par value | $ 1,009 |
Paid-in capital | 1,007,578 |
Total distributable earnings | 34,396 |
Net Assets | $1,042,983 |
Class I Shares: | |
Net assets | $1,042,983 |
Shares outstanding | 100,887 |
Net asset value, offering and redemption price per share | $ 10.34 |
Investment income | |
Dividends | $ 7,068 |
Less: foreign taxes withheld | (869) |
Total investment income | 6,199 |
Expenses | |
Administration and accounting fees (Note 2) | 27,782 |
Legal fees | 23,130 |
Trustees’ and officers’ fees(Note 2) | 19,600 |
Transfer agent fees (Note 2) | 13,404 |
Audit fees | 11,816 |
Shareholder reporting fees | 11,452 |
Registration and filing fees | 5,427 |
Custodian fees(Note 2) | 5,177 |
Advisory fees (Note 2) | 3,762 |
Other expenses | 5,754 |
Total expenses before waivers and reimbursements | 127,304 |
Less: waivers and reimbursements(Note 2) | (124,717) |
Net expenses after waivers and reimbursements | 2,587 |
Net investment income | 3,612 |
Net realized and unrealized gain/(loss) from investments: | |
Net realized gain from investments | 24,428 |
Net realized loss from foreign currency transactions | (1,637) |
Net change in unrealized appreciation on investments | 225,304 |
Net change in unrealized appreciation on foreign currency translations | 379 |
Net realized and unrealized gain on investments | 248,474 |
Net increase in net assets resulting from operations | $ 252,086 |
For the Six Months Ended March 31, 2023 (Unaudited) | For the Period from February 28, 2022* to September 30, 2022 | ||
Net increase/(decrease) in net assets from operations: | |||
Net investment income | $ 3,612 | $ 7,874 | |
Net realized gains/(losses) from investments and foreign currency transactions | 22,791 | (4,536) | |
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translations | 225,683 | (208,761) | |
Net increase/(decrease) in net assets resulting from operations | 252,086 | (205,423) | |
Less dividends and distributions to shareholders from: | |||
Total distributable earnings: | |||
Class I | (12,267) | — | |
Net decrease in net assets from dividends and distributions to shareholders | (12,267) | — | |
Increase in net assets derived from capital share transactions (Note 4) | 8,587 | 1,000,000 | |
Total increase in net assets | 248,406 | 794,577 | |
Net assets | |||
Beginning of period | 794,577 | — | |
End of period | $1,042,983 | $ 794,577 |
* | Commencement of operations. |
Class I | |||
For the Six Months Ended March 31, 2023 (Unaudited) | For the Period from February 28, 2022* to September 30, 2022 | ||
Per Share Operating Performance | |||
Net asset value, beginning of period | $ 7.95 | $ 10.00 | |
Net investment income(1) | 0.04 | 0.08 | |
Net realized and unrealized gain/(loss) on investments | 2.47 | (2.13) | |
Total from investment operations | 2.51 | (2.05) | |
Dividends and distributions to shareholders from: | |||
Net investment income | (0.12) | — | |
Net asset value, end of period | $10.34 | $ 7.95 | |
Total investment return(2) | 31.71% | (20.50)% | |
Ratios/Supplemental Data | |||
Net assets, end of period (in 000s) | $1,043 | $ 795 | |
Ratio of expenses to average net assets | 0.55% (3) | 0.55% (3) | |
Ratio of expenses to average net assets without waivers and reimbursements(4) | 27.07% (3) | 30.92% (3) | |
Ratio of net investment income to average net assets | 0.77% (3) | 1.47% (3) | |
Portfolio turnover rate | 13% (5) | 10% (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. |
Total Value at 03/31/23 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets | |||||||
Common Stocks | |||||||
Denmark | $ 75,123 | $ — | $ 75,123 | $ — | |||
France | 149,460 | — | 149,460 | — | |||
Germany | 120,650 | — | 120,650 | — | |||
Hong Kong | 29,365 | — | 29,365 | — | |||
India | 54,603 | 54,603 | — | — | |||
Indonesia | 32,060 | — | 32,060 | — | |||
Japan | 154,479 | — | 154,479 | — | |||
Netherlands | 76,132 | — | 76,132 | — | |||
South Korea | 28,412 | — | 28,412 | — | |||
Spain | 20,007 | — | 20,007 | — | |||
Sweden | 74,942 | — | 74,942 | — | |||
Switzerland | 46,577 | — | 46,577 | — | |||
Taiwan | 30,883 | 30,883 | — | — | |||
United Kingdom | 140,349 | — | 140,349 | — | |||
Total Assets | $ 1,033,042 | $ 85,486 | $ 947,556 | $ — |
Purchases | Sales | ||
Investment Securities | $141,181 | $115,245 |
For the Six Months Ended March 31, 2023 (Unaudited) | For the Period Ended September 30, 2022 | ||||||
Shares | Amount | Shares | Amount | ||||
Class I | |||||||
Sales | — | $ — | 100,001 | $1,000,005 | |||
Reinvestments | 887 | 8,587 | — | — | |||
Redemptions | — | — | (1) | (5) | |||
Net increase | 887 | $8,587 | 100,000 | $1,000,000 |
Capital Loss Carryforward | Undistributed Ordinary Income | Unrealized Appreciation/ (Depreciation) | ||
$(7,780) | $11,118 | $(208,761) | ||
Federal Tax Cost* | $1,016,201 |
Unrealized Appreciation | 69,866 |
Unrealized Depreciation | (53,025) |
Net Unrealized Appreciation | $ 16,841 |
* | 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. |
Dampfaergevej 26
301 Bellevue Parkway
Wilmington, DE 19809
500 Ross Street, 154-0520
Pittsburgh, PA 15262
Three Canal Plaza, Suite 100
Portland, ME 04101
240 Greenwich Street
New York, NY 10286
3000 Two Logan Square
18th and Arch Streets
DuPont Capital Value Creators Large Cap Fund |
Class I |
(Unaudited)
Total Returns for the Period Ended March 31, 2023 | |
Since Inception†* | |
Class I | 6.90% |
S&P 500® Index | 7.50% ** |
† | Not Annualized. |
* | The DuPont Capital Value Creators Large Cap Fund (the "Fund") Class I shares commenced operation on January 3, 2023. |
** | Benchmark performance is from the commencement date of the Fund Class only and is not the commencement date of the benchmark itself. |
Beginning Account Value January 3, 2023 | Ending Account Value March 31, 2023 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
DuPont Capital Value Creators Large Cap Fund | |||||||
Class I | |||||||
Actual | $1,000.00 | $1,069.00 | 0.85% | $2.12 | |||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.69 | 0.85% | 4.28 |
* | Expenses are equal to an annualized expense ratio for the period beginning January 3, 2023, commencement of operations, to March 31, 2023 of 0.85% for Class I Shares, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (88), then divided by 365 to reflect the period. The Class I Shares ending account values on the first line of the table is based on the actual total return for the Fund of 6.90%. For comparative purposes, the Hypothetical expenses are as if the Class I Shares had been in existence from October 1, 2022, 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. |
% of Net Assets | Value | ||
COMMON STOCKS: | |||
Information Technology | 23.3% | $ 612,936 | |
Financials | 19.0 | 500,179 | |
Consumer Discretionary | 14.7 | 385,371 | |
Industrials | 12.2 | 320,883 | |
Health Care | 9.9 | 261,332 | |
Communication Services | 8.1 | 212,876 | |
Consumer Staples | 6.5 | 171,155 | |
Energy | 1.9 | 49,569 | |
Materials | 0.6 | 16,633 | |
Total Common Stocks | 96.2 | 2,530,934 | |
Investment Company | 3.0 | 78,975 | |
Short-Term Investment | 0.3 | 8,218 | |
Total Investments | 99.5 | 2,618,127 | |
Other Assets in Excess of Liabilities | 0.5 | 14,389 | |
NET ASSETS | 100.0% | $2,632,516 |
Number of Shares | Value | ||
COMMON STOCKS — 96.2% | |||
Communication Services — 8.1% | |||
Alphabet, Inc., Class C* | 1,515 | $ 157,560 | |
Meta Platforms, Inc., Class A* | 261 | 55,316 | |
212,876 | |||
Consumer Discretionary — 14.7% | |||
Amazon.com, Inc.* | 1,450 | 149,770 | |
Booking Holdings, Inc.* | 11 | 29,177 | |
CarMax, Inc.* | 312 | 20,055 | |
Domino's Pizza, Inc. | 119 | 39,255 | |
Home Depot, Inc. (The) | 126 | 37,185 | |
TJX Cos., Inc. (The) | 665 | 52,109 | |
Tractor Supply Co. | 246 | 57,820 | |
385,371 | |||
Consumer Staples — 6.5% | |||
Dollar General Corp. | 258 | 54,299 | |
Dollar Tree, Inc.* | 596 | 85,556 | |
Estee Lauder Cos., Inc. (The), Class A | 127 | 31,300 | |
171,155 | |||
Energy — 1.9% | |||
Occidental Petroleum Corp. | 794 | 49,569 | |
Financials — 19.0% | |||
Bank of America Corp. | 2,629 | 75,189 | |
Berkshire Hathaway, Inc., Class B* | 348 | 107,452 | |
FactSet Research Systems, Inc. | 94 | 39,019 | |
Intercontinental Exchange, Inc. | 200 | 20,858 | |
Mastercard, Inc., Class A | 157 | 57,055 | |
Moody's Corp. | 94 | 28,766 | |
MSCI, Inc. | 58 | 32,462 | |
PNC Financial Services Group, Inc. (The) | 173 | 21,988 | |
S&P Global, Inc. | 160 | 55,163 | |
Visa, Inc., Class A | 276 | 62,227 | |
500,179 | |||
Health Care — 9.9% | |||
Agilent Technologies, Inc. | 164 | 22,688 | |
Danaher Corp. | 320 | 80,653 | |
Elevance Health, Inc. | 55 | 25,289 | |
IQVIA Holdings, Inc.* | 149 | 29,635 | |
Mettler-Toledo International, Inc.* | 34 | 52,027 | |
UnitedHealth Group, Inc. | 108 | 51,040 | |
261,332 | |||
Industrials — 12.2% | |||
AMETEK, Inc. | 374 | 54,353 | |
Copart, Inc.* | 364 | 27,377 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Industrials — (Continued) | |||
CSX Corp. | 1,238 | $ 37,066 | |
General Dynamics Corp. | 105 | 23,962 | |
IDEX Corp. | 242 | 55,909 | |
Trane Technologies PLC (Ireland) | 142 | 26,125 | |
TransDigm Group, Inc. | 72 | 53,068 | |
Union Pacific Corp. | 107 | 21,535 | |
Verisk Analytics, Inc. | 112 | 21,488 | |
320,883 | |||
Information Technology — 23.3% | |||
Adobe, Inc.* | 123 | 47,401 | |
Amphenol Corp., Class A | 459 | 37,510 | |
Analog Devices, Inc. | 170 | 33,527 | |
Apple, Inc. | 1,328 | 218,987 | |
Microsoft Corp. | 722 | 208,153 | |
Roper Technologies, Inc. | 96 | 42,306 | |
Teledyne Technologies, Inc.* | 56 | 25,052 | |
612,936 | |||
Materials — 0.6% | |||
Sherwin-Williams Co. (The) | 74 | 16,633 | |
TOTAL COMMON STOCKS (Cost $2,408,613) | 2,530,934 | ||
INVESTMENT COMPANY — 3.0% | |||
Vanguard S&P 500 ETF | 210 | 78,975 | |
INVESTMENT COMPANY (Cost $76,582) | 78,975 | ||
SHORT-TERM INVESTMENT — 0.3% | |||
Dreyfus Government Cash Management Fund, Institutional Shares, Class I, 4.710%(a) | 8,218 | 8,218 | |
SHORT-TERM INVESTMENT (Cost $8,218) | 8,218 | ||
TOTAL INVESTMENTS - 99.5% (Cost $2,493,413) | 2,618,127 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.5% | 14,389 | ||
NET ASSETS - 100.0% | $ 2,632,516 |
(a) | Rate disclosed is the 7-day yield at March 31, 2023. |
* | Non-income producing. |
PLC | Public Limited Company |
ETF | Exchange-Traded Fund |
Assets | |
Investments, at value (Cost $2,493,413) | $2,618,127 |
Receivables: | |
Dividends and interest | 429 |
Investment adviser | 31,411 |
Prepaid expenses and other assets | 21,173 |
Total Assets | 2,671,140 |
Liabilities | |
Payables: | |
Administration and accounting fees | 13,917 |
Transfer agent fees | 7,612 |
Audit fees | 6,409 |
Custodian fees | 3,674 |
Shareholder reporting fees | 3,635 |
Trustees and officers fees | 2,205 |
Legal fees | 1,128 |
Accrued expenses | 44 |
Total Liabilities | 38,624 |
Net Assets | $2,632,516 |
Net Assets Consisted of: | |
Capital stock, $0.01 par value | $ 2,462 |
Paid-in capital | 2,504,238 |
Total distributable earnings | 125,816 |
Net Assets | $2,632,516 |
Class I Shares: | |
Net assets | $2,632,516 |
Shares outstanding | 246,202 |
Net asset value, offering and redemption price per share | $ 10.69 |
Investment income | |
Dividends | $ 4,610 |
Total investment income | 4,610 |
Expenses | |
Administration and accounting fees (Note 2) | 13,917 |
Registration and filing fees | 8,663 |
Legal fees | 8,662 |
Trustees’ and officers’ fees(Note 2) | 7,622 |
Transfer agent fees (Note 2) | 7,612 |
Shareholder reporting fees | 6,929 |
Audit fees | 6,409 |
Custodian fees(Note 2) | 3,674 |
Advisory fees (Note 2) | 2,098 |
Other expenses | 2,296 |
Total expenses before waivers and reimbursements | 67,882 |
Less: waivers and reimbursements(Note 2) | (63,918) |
Net expenses after waivers and reimbursements | 3,964 |
Net investment income | 646 |
Net realized and unrealized gain/(loss) from investments: | |
Net realized gain from investments | 456 |
Net change in unrealized appreciation on investments | 124,714 |
Net realized and unrealized gain on investments | 125,170 |
Net increase in net assets resulting from operations | $125,816 |
* | The DuPont Capital Value Creators Large Cap Fund commenced operations on January 3, 2023. |
For the Period from January 3, 2023* to March 31, 2023 (Unaudited) | |
Net increase in net assets from operations: | |
Net investment income | $ 646 |
Net realized gains from investments | 456 |
Net change in unrealized appreciation on investments | 124,714 |
Net increase in net assets resulting from operations | 125,816 |
Increase in net assets derived from capital share transactions (Note 4) | 2,506,700 |
Total increase in net assets | 2,632,516 |
Net assets | |
Beginning of period | — |
End of period | $2,632,516 |
* | Commencement of operations. |
Class I | |
For the Period from January 03, 2023* to March 31, 2023 (Unaudited) | |
Per Share Operating Performance | |
Net asset value, beginning of period | $10.00 |
Net investment income(1) | 0.00 (2) |
Net realized and unrealized gain/(loss) on investments | 0.69 |
Total from investment operations | 0.69 |
Net asset value, end of period | $10.69 |
Total investment return(3) | 6.90% |
Ratios/Supplemental Data | |
Net assets, end of period (in 000s) | $2,633 |
Ratio of expenses to average net assets | 0.85% (4) |
Ratio of expenses to average net assets without waivers and reimbursements(5) | 14.56% (4) |
Ratio of net investment income to average net assets | 0.14% (4) |
Portfolio turnover rate | 11% (6) |
* | Commencement of operations. |
(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 waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(6) | Not annualized. |
Total Value at 03/31/23 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets | |||||||
Common Stocks | $ 2,530,934 | $ 2,530,934 | $ — | $ — | |||
Investment Company | 78,975 | 78,975 | — | — | |||
Short-Term Investment | 8,218 | 8,218 | — | — | |||
Total Assets | $ 2,618,127 | $ 2,618,127 | $ — | $ — |
Purchases | Sales | ||
Investment Securities | $2,666,069 | $181,330 |
For the Period Ended March 31, 2023 (Unaudited) | |||
Shares | Amount | ||
Class I* | |||
Sales | 246,202 | $2,506,700 | |
Reinvestments | — | — | |
Redemptions | — | — | |
Net increase | 246,202 | $2,506,700 |
* | There is a 2.00% redemption fee that may be charged on shares redeemed which have been held 60 days or less. The redemption fees are retained by the Fund for the benefit of the remaining shareholders and recorded as paid-in capital. |
Federal Tax Cost* | $2,493,413 |
Unrealized Appreciation | 168,687 |
Unrealized Depreciation | (43,973) |
Net Unrealized Appreciation | $ 124,714 |
* | 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. |
301 Bellevue Parkway
Wilmington, DE 19809
500 Ross Street, 154-0520
Pittsburgh, PA 15262
Three Canal Plaza, Suite 100
Portland, ME 04101
240 Greenwich Street
New York, NY 10286
2001 Market Street
3000 Two Logan Square
18th and Arch Streets
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 |
Gotham ESG Large Value Fund |
Gotham Defensive Long 500 Fund |
Gotham Total Return Fund |
Gotham Enhanced 500 Plus Fund |
Gotham Short Strategies Fund |
Average Annual Total Returns for the Periods Ended March 31, 2023 | |||||||||
Six Months* | 1 Year | 3 Years | 5 Years | 10 Years | |||||
Institutional Class Shares | 11.12% | 0.66% | 12.14% | 4.44% | 5.76% | ||||
HFRX Equity Hedge Index | 2.51% | -2.12% | 9.72% | 2.56% | 2.84% |
* | Not Annualized. |
Average Annual Total Returns for the Periods Ended March 31, 2023 | |||||||||
Six Months* | 1 Year | 3 Years | 5 Years | Since Inception | |||||
Institutional Class Shares | 15.19% | -3.93% | 17.08% | 6.04% | 8.76% ** | ||||
S&P 500® Total Return Index | 15.62% | -7.73% | 18.60% | 11.19% | 11.98% *** |
* | 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. |
Average Annual Total Returns for the Periods Ended March 31, 2023 | |||||||||
Six Months* | 1 Year | 3 Years | 5 Years | Since Inception | |||||
Institutional Class Shares | 4.74% | 5.35% | 4.72% | 0.37% | 1.17% ** | ||||
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 1.93% | 2.50% | 0.89% | 1.41% | 0.90% *** |
* | 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. |
Average Annual Total Returns for the Periods Ended March 31, 2023 | |||||||||
Six Months* | 1 Year | 3 Years | 5 Years | Since Inception | |||||
Institutional Class Shares | 15.05% | -5.28% | 19.13% | 9.11% | 10.71% ** | ||||
Investor Class Shares | 14.86% | -5.49% | 18.82% | 8.84% | 8.01% ** | ||||
S&P 500® Total Return Index | 15.62% | -7.73% | 18.60% | 11.19% | 11.03% *** |
* | 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. |
Average Annual Total Returns for the Periods Ended March 31, 2023 | |||||||||
Six Months* | 1 Year | 3 Years | 5 Years | Since Inception | |||||
Institutional Class Shares | 13.95% | -4.80% | 19.20% | 9.08% | 10.97% ** | ||||
S&P 500® Total Return Index | 15.62% | -7.73% | 18.60% | 11.19% | 12.18% *** |
* | 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. |
Average Annual Total Returns for the Periods Ended March 31, 2023 | |||||||||
Six Months* | 1 Year | 3 Years | 5 Years | Since Inception | |||||
Institutional Class Shares | 15.56% | -5.67% | 18.09% | 10.71% | 12.55% ** | ||||
S&P 500® Total Return Index | 15.62% | -7.73% | 18.60% | 11.19% | 12.23% *** |
* | 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. |
Average Annual Total Returns for the Periods Ended March 31, 2023 | |||||||||
Six Months* | 1 Year | 3 Years | 5 Years | Since Inception | |||||
Institutional Class Shares | 13.71% | -3.38% | 12.14% | 6.72% | 8.10% ** | ||||
HFRX Equity Hedge Index | 2.51% | -2.12% | 9.72% | 2.56% | 3.78% *** |
* | 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. |
Average Annual Total Returns for the Periods Ended March 31, 2023 | |||||||
Six Months* | 1 Year | 3 Years | Since Inception | ||||
Institutional Class Shares | 14.53% | -3.86% | 19.55% | 12.61% ** | |||
S&P 500® Total Return Index | 15.62% | -7.73% | 18.60% | 14.50% *** |
* | 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. |
Average Annual Total Returns for the Periods Ended March 31, 2023 | |||||||||
Six Months* | 1 Year | 3 Years | 5 Years | Since Inception | |||||
Institutional Class Shares | 12.27% | -1.88% | 10.05% | 4.26% | 7.08% ** | ||||
S&P 500® Total Return Index | 15.62% | -7.73% | 18.60% | 11.19% | 12.36% *** |
* | 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. |
Average Annual Total Returns for the Periods Ended March 31, 2023 | |||||||||
Six Months* | 1 Year | 3 Years | 5 Years | Since Inception | |||||
Institutional Class Shares** | 11.06% | -6.22% | 8.58% | 3.05% | 5.08% *** | ||||
HFRX Equity Hedge Index | 2.51% | -2.12% | 9.72% | 2.56% | 2.39% **** |
* | Not Annualized. |
** | On January 30, 2023, Investor Class shares of the Fund were automatically converted to Institutional Class shares of the Fund and the Investor Class was terminated as a separately designated class of the Fund. |
*** | The Gotham Total Return Fund (the "Fund") commenced operations on March 31, 2015. |
**** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Average Annual Total Returns for the Periods Ended March 31, 2023 | |||||||||
Six Months* | 1 Year | 3 Years | 5 Years | Since Inception | |||||
Institutional Class Shares | 14.87% | -4.69% | 17.11% | 8.95% | 11.08% ** | ||||
S&P 500® Total Return Index | 15.62% | -7.73% | 18.60% | 11.19% | 12.36% *** |
* | 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. |
Average Annual Total Returns for the Periods Ended March 31, 2023 | |||||||||
Six Months* | 1 Year | 3 Years | 5 Years | 10 Years | |||||
Institutional Class Shares** | -12.20% | 11.39% | -4.02% | -3.77% | -3.24% | ||||
50% Inverse of the S&P 500® | -6.22% | 2.61% | -9.41% | -6.88% | -7.04% |
* | 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. |
Beginning Account Value October 1, 2022 | Ending Account Value March 31, 2023 | Annualized Expense Ratio* | Expenses Paid During Period** | ||||
Gotham Absolute Return Fund | |||||||
Institutional Class | |||||||
Actual | $1,000.00 | $1,111.20 | 1.50% | $ 7.90 | |||
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 | $1,151.90 | 1.27% | $ 6.81 | |||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.60 | 1.27% | 6.39 | |||
Gotham Neutral Fund | |||||||
Institutional Class | |||||||
Actual | $1,000.00 | $1,047.40 | 1.50% | $ 7.66 | |||
Hypothetical (5% return before expenses) | 1,000.00 | 1,017.45 | 1.50% | 7.54 |
Beginning Account Value October 1, 2022 | Ending Account Value March 31, 2023 | Annualized Expense Ratio* | Expenses Paid During Period** | ||||
Gotham Index Plus Fund | |||||||
Institutional Class | |||||||
Actual | $1,000.00 | $1,150.50 | 0.92% | $ 4.93 | |||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.34 | 0.92% | 4.63 | |||
Investor Class | |||||||
Actual | $1,000.00 | $1,148.60 | 1.17% | $ 6.27 | |||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.10 | 1.17% | 5.89 | |||
Gotham Large Value Fund | |||||||
Institutional Class | |||||||
Actual | $1,000.00 | $1,139.50 | 0.75% | $ 4.00 | |||
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 | $1,155.60 | 0.50% | $ 2.69 | |||
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 | $1,137.10 | 1.77% | $ 9.43 | |||
Hypothetical (5% return before expenses) | 1,000.00 | 1,016.11 | 1.77% | 8.90 | |||
Gotham ESG Large Value Fund | |||||||
Institutional Class | |||||||
Actual | $1,000.00 | $1,145.30 | 0.75% | $ 4.01 | |||
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 | $1,122.70 | 1.35% | $ 7.14 | |||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.20 | 1.35% | 6.79 | |||
Gotham Total Return Fund | |||||||
Institutional Class | |||||||
Actual | $1,000.00 | $1,110.60 | 0.00% | $ — | |||
Hypothetical (5% return before expenses) | 1,000.00 | 1,024.93 | 0.00% | — |
Beginning Account Value October 1, 2022 | Ending Account Value March 31, 2023 | Annualized Expense Ratio* | Expenses Paid During Period** | ||||
Gotham Enhanced 500 Plus Fund | |||||||
Institutional Class | |||||||
Actual | $1,000.00 | $1,148.70 | 2.17% | $11.62 | |||
Hypothetical (5% return before expenses) | 1,000.00 | 1,014.11 | 2.17% | 10.90 | |||
Gotham Short Strategies Fund | |||||||
Institutional Class | |||||||
Actual | $1,000.00 | $ 878.00 | 1.35% | $ 6.32 | |||
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 Gotham Large Value Fund, Gotham Enhanced S&P 500 Index Fund and ESG Large Value 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, 2023, 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. |
% of Net Assets | Value | ||
Common Stocks: | |||
Capital Goods | 10.9% | $ 63,722,675 | |
Software & Services | 9.0 | 52,343,844 | |
Media & Entertainment | 7.2 | 41,903,256 | |
Health Care Equipment & Services | 7.1 | 41,620,210 | |
Semiconductors & Semiconductor Equipment | 7.0 | 40,713,129 | |
Pharmaceuticals, Biotechnology & Life Sciences | 6.7 | 39,420,523 | |
Energy | 6.5 | 38,234,512 | |
Materials | 5.8 | 34,076,160 | |
Technology Hardware & Equipment | 5.6 | 32,860,113 | |
Consumer Discretionary Distribution & Retail | 4.5 | 26,065,660 | |
Food, Beverage & Tobacco | 3.7 | 21,359,794 | |
Consumer Services | 3.0 | 17,782,503 | |
Transportation | 2.7 | 15,831,365 | |
Commercial & Professional Services | 2.6 | 15,088,711 | |
Consumer Durables & Apparel | 2.5 | 14,860,357 | |
Financial Services | 2.4 | 14,306,091 | |
Consumer Staples Distribution & Retail | 2.0 | 11,433,238 | |
Utilities | 1.9 | 11,383,810 | |
Automobiles & Components | 1.6 | 9,253,186 | |
Household & Personal Products | 1.5 | 8,690,799 | |
Telecommunication Services | 1.1 | 6,171,099 | |
Total Common Stocks | 95.3 | 557,121,035 | |
Other Assets in Excess of Liabilities | 4.7 | 27,559,922 | |
NET ASSETS | 100.0% | $584,680,957 |
% of Net Assets | Value | ||
Common Stocks: | |||
Capital Goods | 5.7% | $ 12,910,965 | |
Software & Services | 4.4 | 9,941,560 | |
Semiconductors & Semiconductor Equipment | 4.0 | 8,990,415 | |
Pharmaceuticals, Biotechnology & Life Sciences | 3.7 | 8,439,659 | |
Health Care Equipment & Services | 3.7 | 8,306,915 | |
Media & Entertainment | 3.6 | 8,182,808 | |
Energy | 3.0 | 6,829,785 | |
Materials | 2.9 | 6,611,636 | |
Technology Hardware & Equipment | 2.9 | 6,545,927 | |
Consumer Discretionary Distribution & Retail | 1.9 | 4,398,960 | |
Consumer Durables & Apparel | 1.8 | 4,149,603 | |
Food, Beverage & Tobacco | 1.7 | 3,932,166 | |
Consumer Services | 1.7 | 3,752,206 | |
Financial Services | 1.5 | 3,309,586 | |
Commercial & Professional Services | 1.3 | 3,014,137 | |
Transportation | 1.3 | 2,839,986 | |
Consumer Staples Distribution & Retail | 1.1 | 2,540,994 | |
Household & Personal Products | 1.0 | 2,234,682 | |
Automobiles & Components | 1.0 | 2,214,898 | |
Utilities | 0.9 | 2,128,159 | |
Telecommunication Services | 0.6 | 1,439,732 | |
Exchange Traded Funds | 0.1 | 210,427 | |
Affiliated Equity Registered Investment Companies | 45.4 | 102,858,800 | |
Total Investments | 95.2 | 215,784,006 | |
Other Assets in Excess of Liabilities | 4.8 | 10,969,622 | |
NET ASSETS | 100.0% | $226,753,628 |
% of Net Assets | Value | ||
Common Stocks: | |||
Capital Goods | 12.9% | $ 8,970,072 | |
Energy | 8.1 | 5,643,751 | |
Materials | 7.5 | 5,236,286 | |
Health Care Equipment & Services | 7.4 | 5,151,384 | |
Software & Services | 7.2 | 5,012,539 | |
Semiconductors & Semiconductor Equipment | 6.2 | 4,327,629 | |
Media & Entertainment | 5.9 | 4,075,955 | |
Pharmaceuticals, Biotechnology & Life Sciences | 5.7 | 3,991,874 | |
Technology Hardware & Equipment | 5.1 | 3,543,840 | |
Food, Beverage & Tobacco | 3.7 | 2,545,601 | |
Commercial & Professional Services | 3.3 | 2,320,318 | |
Consumer Services | 3.3 | 2,284,105 | |
Consumer Discretionary Distribution & Retail | 3.3 | 2,268,501 | |
Consumer Durables & Apparel | 3.0 | 2,069,196 | |
Transportation | 2.9 | 2,057,056 | |
Utilities | 2.4 | 1,658,239 | |
Financial Services | 2.3 | 1,571,539 | |
Consumer Staples Distribution & Retail | 1.8 | 1,224,104 | |
Household & Personal Products | 1.4 | 1,007,796 | |
Automobiles & Components | 1.4 | 955,229 | |
Telecommunication Services | 0.9 | 628,260 | |
Total Common Stocks | 95.7 | 66,543,274 | |
Other Assets in Excess of Liabilities | 4.3 | 2,972,994 | |
NET ASSETS | 100.0% | $69,516,268 |
% of Net Assets | Value | ||
Common Stocks: | |||
Capital Goods | 4.2% | $ 19,183,777 | |
Health Care Equipment & Services | 3.7 | 17,067,488 | |
Semiconductors & Semiconductor Equipment | 3.5 | 15,748,892 | |
Materials | 3.4 | 15,523,735 | |
Financial Services | 3.2 | 14,622,923 | |
Pharmaceuticals, Biotechnology & Life Sciences | 3.0 | 13,851,924 | |
Energy | 2.5 | 11,300,696 | |
Food, Beverage & Tobacco | 2.3 | 10,412,318 | |
Equity Real Estate Investment Trusts (REITs) | 2.3 | 10,345,132 | |
Software & Services | 2.1 | 9,575,919 | |
Technology Hardware & Equipment | 1.9 | 8,428,270 | |
Consumer Discretionary Distribution & Retail | 1.8 | 8,305,403 | |
Consumer Services | 1.5 | 6,981,544 | |
Media & Entertainment | 1.5 | 6,866,938 | |
Insurance | 1.5 | 6,721,130 | |
Utilities | 1.4 | 6,554,102 | |
Transportation | 1.3 | 5,860,628 | |
Commercial & Professional Services | 0.9 | 4,044,320 | |
Consumer Staples Distribution & Retail | 0.8 | 3,870,799 | |
Household & Personal Products | 0.7 | 3,313,780 | |
Consumer Durables & Apparel | 0.7 | 3,137,315 | |
Banks | 0.7 | 2,987,085 | |
Automobiles & Components | 0.5 | 2,211,614 | |
Telecommunication Services | 0.4 | 1,884,787 | |
Real Estate Management & Development | 0.1 | 262,407 | |
Affiliated Equity Registered Investment Company | 46.9 | 213,411,132 | |
Total Investments | 92.8 | 422,474,058 | |
Other Assets in Excess of Liabilities | 7.2 | 32,879,867 | |
NET ASSETS | 100.0% | $455,353,925 |
% of Net Assets | Value | ||
Common Stocks: | |||
Energy | 10.4% | $ 3,463,385 | |
Pharmaceuticals, Biotechnology & Life Sciences | 9.2 | 3,043,265 | |
Capital Goods | 9.1 | 3,008,475 | |
Health Care Equipment & Services | 8.4 | 2,768,557 | |
Food, Beverage & Tobacco | 5.6 | 1,864,924 | |
Financial Services | 5.4 | 1,778,473 | |
Consumer Discretionary Distribution & Retail | 5.0 | 1,645,467 | |
Media & Entertainment | 4.8 | 1,602,640 | |
Transportation | 4.6 | 1,523,791 | |
Materials | 4.6 | 1,521,420 | |
Semiconductors & Semiconductor Equipment | 4.4 | 1,472,880 | |
Technology Hardware & Equipment | 4.2 | 1,407,269 | |
Equity Real Estate Investment Trusts (REITs) | 4.2 | 1,377,910 | |
Insurance | 4.1 | 1,356,377 | |
Telecommunication Services | 2.4 | 791,024 | |
Software & Services | 2.2 | 745,825 | |
Banks | 2.2 | 745,308 | |
Consumer Services | 2.2 | 725,910 | |
Household & Personal Products | 1.9 | 633,843 | |
Consumer Staples Distribution & Retail | 1.4 | 464,647 | |
Automobiles & Components | 1.0 | 321,870 | |
Commercial & Professional Services | 0.5 | 164,217 | |
Utilities | 0.5 | 161,553 | |
Consumer Durables & Apparel | 0.5 | 160,428 | |
Real Estate Management & Development | 0.4 | 142,562 | |
Total Common Stocks | 99.2 | 32,892,020 | |
Other Assets in Excess of Liabilities | 0.8 | 250,364 | |
NET ASSETS | 100.0% | $33,142,384 |
% of Net Assets | Value | ||
Common Stocks: | |||
Software & Services | 10.6% | $ 1,725,484 | |
Technology Hardware & Equipment | 10.3 | 1,691,448 | |
Media & Entertainment | 9.5 | 1,553,747 | |
Pharmaceuticals, Biotechnology & Life Sciences | 7.8 | 1,282,951 | |
Financial Services | 7.1 | 1,164,482 | |
Energy | 7.0 | 1,151,179 | |
Consumer Discretionary Distribution & Retail | 6.8 | 1,107,999 | |
Capital Goods | 6.0 | 974,401 | |
Health Care Equipment & Services | 5.0 | 819,218 | |
Semiconductors & Semiconductor Equipment | 4.1 | 663,319 | |
Transportation | 4.0 | 657,163 | |
Food, Beverage & Tobacco | 3.9 | 638,223 | |
Telecommunication Services | 2.9 | 478,554 | |
Materials | 2.6 | 432,251 | |
Equity Real Estate Investment Trusts (REITs) | 2.3 | 376,746 | |
Banks | 1.7 | 281,015 | |
Automobiles & Components | 1.7 | 279,607 | |
Insurance | 1.3 | 204,283 | |
Household & Personal Products | 1.2 | 189,847 | |
Consumer Staples Distribution & Retail | 0.9 | 153,123 | |
Consumer Services | 0.8 | 129,773 | |
Utilities | 0.6 | 104,018 | |
Consumer Durables & Apparel | 0.4 | 64,462 | |
Commercial & Professional Services | 0.4 | 62,403 | |
Real Estate Management & Development | 0.3 | 40,337 | |
Total Common Stocks | 99.2 | 16,226,033 | |
Other Assets in Excess of Liabilities | 0.8 | 128,107 | |
NET ASSETS | 100.0% | $16,354,140 |
% of Net Assets | Value | ||
LONG POSITIONS: | |||
Common Stocks: | |||
Food, Beverage & Tobacco | 18.5% | $ 1,233,866 | |
Financial Services | 14.5 | 969,276 | |
Media & Entertainment | 13.6 | 908,464 | |
Software & Services | 13.4 | 892,948 | |
Pharmaceuticals, Biotechnology & Life Sciences | 12.2 | 812,880 | |
Technology Hardware & Equipment | 11.4 | 757,176 | |
Health Care Equipment & Services | 7.9 | 526,847 | |
Consumer Discretionary Distribution & Retail | 6.4 | 429,196 | |
Semiconductors & Semiconductor Equipment | 5.9 | 396,487 | |
Household & Personal Products | 5.5 | 368,405 | |
Transportation | 4.7 | 315,999 | |
Consumer Services | 4.4 | 293,234 | |
Capital Goods | 4.1 | 270,687 | |
Consumer Staples Distribution & Retail | 3.1 | 204,067 | |
Consumer Durables & Apparel | 3.0 | 198,067 | |
Telecommunication Services | 2.9 | 193,898 | |
Commercial & Professional Services | 2.3 | 152,847 | |
Insurance | 2.1 | 138,282 | |
Energy | 2.0 | 133,181 | |
Equity Real Estate Investment Trusts (REITs) | 1.0 | 69,398 | |
Materials | 0.0 | 2,638 | |
Total Long Positions | 138.9 | 9,267,843 |
% of Net Assets | Value | ||
SHORT POSITIONS: | |||
Common Stocks: | |||
Banks | (0.3)% | $ (19,082) | |
Commercial & Professional Services | (0.3) | (22,789) | |
Transportation | (0.7) | (43,853) | |
Household & Personal Products | (0.7) | (43,870) | |
Consumer Staples Distribution & Retail | (0.7) | (46,399) | |
Automobiles & Components | (0.8) | (51,167) | |
Consumer Durables & Apparel | (1.0) | (63,824) | |
Consumer Discretionary Distribution & Retail | (1.0) | (65,361) | |
Insurance | (1.1) | (74,931) | |
Media & Entertainment | (1.1) | (76,900) | |
Equity Real Estate Investment Trusts (REITs) | (1.3) | (84,702) | |
Software & Services | (1.8) | (121,762) | |
Technology Hardware & Equipment | (1.9) | (129,077) | |
Financial Services | (1.9) | (129,780) | |
Energy | (2.3) | (156,593) | |
Consumer Services | (2.4) | (157,417) | |
Capital Goods | (2.5) | (170,299) | |
Semiconductors & Semiconductor Equipment | (2.8) | (186,712) | |
Health Care Equipment & Services | (3.4) | (228,467) | |
Utilities | (3.9) | (257,689) | |
Pharmaceuticals, Biotechnology & Life Sciences | (4.0) | (268,761) | |
Materials | (4.2) | (277,113) | |
Total Short Positions | (40.1) | (2,676,548) | |
Other Assets in Excess of Liabilities | 1.2 | 81,311 | |
NET ASSETS | 100.0% | $ 6,672,606 |
% of Net Assets | Value | ||
Common Stocks: | |||
Energy | 8.9% | $ 119,178 | |
Pharmaceuticals, Biotechnology & Life Sciences | 8.8 | 117,282 | |
Health Care Equipment & Services | 8.8 | 116,789 | |
Equity Real Estate Investment Trusts (REITs) | 6.8 | 90,092 | |
Capital Goods | 6.5 | 86,118 | |
Financial Services | 6.4 | 85,079 | |
Consumer Discretionary Distribution & Retail | 6.1 | 81,065 | |
Insurance | 5.3 | 70,364 | |
Semiconductors & Semiconductor Equipment | 5.1 | 67,811 | |
Technology Hardware & Equipment | 4.9 | 65,274 | |
Transportation | 4.7 | 62,470 | |
Materials | 4.4 | 58,256 | |
Media & Entertainment | 3.7 | 49,501 | |
Food, Beverage & Tobacco | 3.5 | 47,177 | |
Software & Services | 2.9 | 39,040 | |
Telecommunication Services | 2.7 | 36,259 | |
Banks | 1.8 | 24,710 | |
Consumer Services | 1.7 | 22,575 | |
Household & Personal Products | 1.4 | 19,317 | |
Commercial & Professional Services | 1.1 | 15,107 | |
Consumer Staples Distribution & Retail | 1.1 | 14,233 | |
Consumer Durables & Apparel | 0.7 | 9,494 | |
Utilities | 0.4 | 5,652 | |
Real Estate Management & Development | 0.4 | 5,242 | |
Automobiles & Components | 0.2 | 2,456 | |
Total Common Stocks | 98.3 | 1,310,541 | |
Other Assets in Excess of Liabilities | 1.7 | 22,013 | |
NET ASSETS | 100.0% | $1,332,554 |
% of Net Assets | Value | ||
Common Stocks: | |||
Food, Beverage & Tobacco | 10.8% | $ 2,151,223 | |
Financial Services | 9.8 | 1,945,342 | |
Media & Entertainment | 9.6 | 1,907,956 | |
Technology Hardware & Equipment | 8.7 | 1,741,295 | |
Software & Services | 7.3 | 1,446,429 | |
Pharmaceuticals, Biotechnology & Life Sciences | 6.8 | 1,360,860 | |
Semiconductors & Semiconductor Equipment | 6.0 | 1,199,861 | |
Health Care Equipment & Services | 6.0 | 1,193,015 | |
Transportation | 3.8 | 764,288 | |
Consumer Discretionary Distribution & Retail | 3.8 | 758,445 | |
Capital Goods | 3.3 | 652,396 | |
Consumer Services | 3.2 | 633,920 | |
Household & Personal Products | 3.1 | 608,204 | |
Telecommunication Services | 2.0 | 392,419 | |
Consumer Durables & Apparel | 1.9 | 385,926 | |
Insurance | 1.8 | 365,110 | |
Consumer Staples Distribution & Retail | 1.8 | 357,224 | |
Commercial & Professional Services | 1.7 | 346,871 | |
Energy | 1.3 | 253,140 | |
Equity Real Estate Investment Trusts (REITs) | 1.3 | 252,815 | |
Materials | 0.6 | 119,474 | |
Utilities | 0.3 | 51,889 | |
Automobiles & Components | 0.1 | 27,993 | |
Total Common Stocks | 95.0 | 18,916,095 | |
Other Assets in Excess of Liabilities | 5.0 | 1,003,159 | |
NET ASSETS | 100.0% | $19,919,254 |
% of Net Assets | Value | ||
Affiliated Equity Registered Investment Companies | 98.5% | $18,856,300 | |
Other Assets in Excess of Liabilities | 1.5 | 293,088 | |
NET ASSETS | 100.0% | $19,149,388 |
% of Net Assets | Value | ||
LONG POSITIONS: | |||
Common Stocks: | |||
Energy | 12.6% | $ 425,180 | |
Technology Hardware & Equipment | 12.5 | 422,019 | |
Media & Entertainment | 11.5 | 388,746 | |
Software & Services | 11.5 | 387,792 | |
Pharmaceuticals, Biotechnology & Life Sciences | 10.5 | 353,640 | |
Capital Goods | 10.0 | 335,135 | |
Financial Services | 9.7 | 326,598 | |
Consumer Discretionary Distribution & Retail | 9.1 | 304,905 | |
Semiconductors & Semiconductor Equipment | 7.5 | 254,227 | |
Health Care Equipment & Services | 7.5 | 251,845 | |
Transportation | 6.4 | 215,265 | |
Food, Beverage & Tobacco | 5.7 | 192,921 | |
Equity Real Estate Investment Trusts (REITs) | 4.5 | 152,314 | |
Materials | 4.3 | 143,655 | |
Telecommunication Services | 4.0 | 133,193 | |
Insurance | 2.6 | 86,693 | |
Consumer Services | 2.2 | 73,872 | |
Banks | 1.8 | 62,052 | |
Household & Personal Products | 1.5 | 51,188 | |
Consumer Staples Distribution & Retail | 1.3 | 42,276 | |
Automobiles & Components | 1.2 | 40,189 | |
Commercial & Professional Services | 0.6 | 20,860 | |
Utilities | 0.6 | 19,469 | |
Consumer Durables & Apparel | 0.4 | 14,834 | |
Real Estate Management & Development | 0.4 | 14,344 | |
Total Long Positions | 139.9 | 4,713,212 |
% of Net Assets | Value | ||
SHORT POSITIONS: | |||
Common Stocks: | |||
Consumer Durables & Apparel | (0.3)% | $ (10,085) | |
Automobiles & Components | (0.3) | (10,105) | |
Telecommunication Services | (0.5) | (16,512) | |
Banks | (0.5) | (17,961) | |
Consumer Discretionary Distribution & Retail | (0.8) | (26,522) | |
Transportation | (0.8) | (26,775) | |
Equity Real Estate Investment Trusts (REITs) | (0.8) | (27,944) | |
Insurance | (0.9) | (31,138) | |
Technology Hardware & Equipment | (1.0) | (32,752) | |
Media & Entertainment | (1.0) | (33,658) | |
Consumer Services | (1.1) | (36,778) | |
Household & Personal Products | (1.1) | (37,903) | |
Financial Services | (1.3) | (42,809) | |
Food, Beverage & Tobacco | (1.3) | (42,876) | |
Energy | (1.4) | (47,276) | |
Consumer Staples Distribution & Retail | (1.7) | (57,333) | |
Software & Services | (1.8) | (62,257) | |
Commercial & Professional Services | (2.0) | (67,983) | |
Semiconductors & Semiconductor Equipment | (3.0) | (101,609) | |
Capital Goods | (3.0) | (101,640) | |
Materials | (3.3) | (109,884) | |
Pharmaceuticals, Biotechnology & Life Sciences | (3.7) | (124,336) | |
Health Care Equipment & Services | (3.8) | (129,362) | |
Utilities | (5.9) | (197,169) | |
Total Short Positions | (41.3) | (1,392,667) | |
Other Assets in Excess of Liabilities | 1.4 | 47,868 | |
NET ASSETS | 100.0% | $ 3,368,413 |
% of Net Assets | Value | ||
Common Stocks: | |||
Capital Goods | 19.7% | $ 4,510,437 | |
Materials | 13.3 | 3,047,149 | |
Energy | 8.9 | 2,029,225 | |
Software & Services | 8.1 | 1,850,174 | |
Transportation | 5.6 | 1,292,659 | |
Health Care Equipment & Services | 4.9 | 1,112,884 | |
Consumer Durables & Apparel | 4.0 | 927,009 | |
Commercial & Professional Services | 3.2 | 733,539 | |
Media & Entertainment | 3.0 | 699,156 | |
Technology Hardware & Equipment | 2.8 | 639,276 | |
Semiconductors & Semiconductor Equipment | 2.2 | 512,990 | |
Pharmaceuticals, Biotechnology & Life Sciences | 1.9 | 431,621 | |
Consumer Services | 1.8 | 420,450 | |
Automobiles & Components | 1.7 | 397,150 | |
Consumer Discretionary Distribution & Retail | 1.7 | 387,103 | |
Utilities | 1.6 | 356,244 | |
Consumer Staples Distribution & Retail | 1.5 | 354,684 | |
Food, Beverage & Tobacco | 1.2 | 272,174 | |
Telecommunication Services | 1.1 | 242,765 | |
Household & Personal Products | 0.3 | 59,876 | |
Total Common Stocks | 88.5 | 20,276,565 | |
Other Assets in Excess of Liabilities | 11.5 | 2,627,248 | |
NET ASSETS | 100.0% | $22,903,813 |
Number of Shares | Value | ||
COMMON STOCKS — 95.3% | |||
Automobiles & Components — 1.6% | |||
BorgWarner, Inc. | 30,870 | $ 1,516,026 | |
Dana, Inc. | 7,521 | 113,191 | |
Ford Motor Co.(a) | 245,443 | 3,092,582 | |
General Motors Co.(a) | 85,409 | 3,132,802 | |
Lear Corp. | 1,974 | 275,353 | |
Modine Manufacturing Co.* | 7,206 | 166,098 | |
Visteon Corp.* | 6,103 | 957,134 | |
9,253,186 | |||
Capital Goods — 10.9% | |||
3M Co. | 21,414 | 2,250,826 | |
A. O. Smith Corp. | 5,804 | 401,347 | |
Advanced Drainage Systems, Inc. | 7,981 | 672,080 | |
AGCO Corp. | 2,846 | 384,779 | |
AMETEK, Inc. | 11,206 | 1,628,568 | |
Applied Industrial Technologies, Inc. | 1,572 | 223,428 | |
Armstrong World Industries, Inc. | 2,152 | 153,308 | |
Array Technologies, Inc.* | 24,771 | 541,989 | |
Axon Enterprise, Inc.* | 10,718 | 2,409,942 | |
Blue Bird Corp.* | 1,039 | 21,227 | |
BlueLinx Holdings, Inc.* | 277 | 18,825 | |
Boeing Co. (The)(a)* | 11,605 | 2,465,250 | |
Boise Cascade Co. | 6,730 | 425,673 | |
Builders FirstSource, Inc.* | 9,560 | 848,737 | |
CAE, Inc. (Canada)* | 4,436 | 100,387 | |
Carlisle Cos., Inc. | 3,782 | 854,997 | |
Carrier Global Corp. | 24,740 | 1,131,855 | |
Caterpillar, Inc.(a) | 12,202 | 2,792,306 | |
Chart Industries, Inc.* | 17,322 | 2,172,179 | |
Comfort Systems USA, Inc. | 2,200 | 321,112 | |
Crane Holdings Co. | 6,793 | 771,006 | |
Cummins, Inc. | 843 | 201,376 | |
Curtiss-Wright Corp. | 2,690 | 474,139 | |
Deere & Co. | 3,888 | 1,605,277 | |
Donaldson Co., Inc. | 5,088 | 332,450 | |
Dover Corp. | 1,388 | 210,893 | |
Eaton Corp. PLC (Ireland) | 3,718 | 637,042 | |
EMCOR Group, Inc. | 4,237 | 688,894 | |
Encore Wire Corp. | 12,156 | 2,252,871 | |
Enerpac Tool Group Corp. | 11,294 | 287,997 | |
EnPro Industries, Inc. | 2,389 | 248,193 | |
Esab Corp. | 242 | 14,295 | |
Fortive Corp. | 11,028 | 751,779 | |
Fortune Brands Innovations, Inc. | 20,436 | 1,200,206 | |
General Dynamics Corp. | 777 | 177,319 | |
General Electric Co. | 19,802 | 1,893,071 | |
GMS, Inc.* | 2,156 | 124,811 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Capital Goods — (Continued) | |||
Griffon Corp. | 12,542 | $ 401,469 | |
Hillman Solutions Corp.* | 16,094 | 135,511 | |
Honeywell International, Inc. | 5,695 | 1,088,428 | |
Howmet Aerospace, Inc. | 26,500 | 1,122,805 | |
Hubbell, Inc. | 1,818 | 442,338 | |
Huntington Ingalls Industries, Inc. | 82 | 16,976 | |
Illinois Tool Works, Inc. | 5,241 | 1,275,921 | |
Ingersoll Rand, Inc. | 23,932 | 1,392,364 | |
Janus International Group, Inc.* | 963 | 9,495 | |
Kaman Corp. | 695 | 15,888 | |
Lennox International, Inc. | 1,232 | 309,577 | |
Lockheed Martin Corp.(a) | 5,520 | 2,609,470 | |
Manitowoc Co., Inc. (The)* | 230 | 3,931 | |
Masco Corp. | 14,893 | 740,480 | |
Mueller Industries, Inc. | 22,403 | 1,646,172 | |
Nordson Corp. | 448 | 99,572 | |
nVent Electric PLC (Ireland) | 17,215 | 739,212 | |
Otis Worldwide Corp. | 10,544 | 889,914 | |
Owens Corning | 8,058 | 771,956 | |
PACCAR, Inc. | 7,815 | 572,058 | |
Pentair PLC (Ireland) | 4,438 | 245,288 | |
Quanta Services, Inc. | 4,989 | 831,367 | |
RBC Bearings, Inc.* | 2,113 | 491,759 | |
Regal Rexnord Corp. | 2,698 | 379,690 | |
Rocket Lab USA, Inc.* | 26,908 | 108,708 | |
Shoals Technologies Group, Inc., Class A* | 30,820 | 702,388 | |
Snap-on, Inc. | 2,363 | 583,401 | |
Sterling Infrastructure, Inc.* | 2,889 | 109,435 | |
Terex Corp. | 17,676 | 855,165 | |
Textron, Inc. | 31,351 | 2,214,321 | |
Thermon Group Holdings, Inc.* | 1,868 | 46,551 | |
Timken Co. (The) | 2,941 | 240,339 | |
Titan International, Inc.* | 298 | 3,123 | |
Trane Technologies PLC (Ireland) | 6,053 | 1,113,631 | |
TransDigm Group, Inc. | 1,544 | 1,138,005 | |
UFP Industries, Inc. | 7,260 | 576,952 | |
Valmont Industries, Inc. | 2,043 | 652,289 | |
Veritiv Corp. | 9,596 | 1,296,803 | |
Wabash National Corp. | 15,437 | 379,596 | |
Watsco, Inc. | 574 | 182,624 | |
Watts Water Technologies, Inc., Class A | 3,093 | 520,614 | |
Westinghouse Air Brake Technologies Corp. | 2,205 | 222,837 | |
WillScot Mobile Mini Holdings Corp.* | 24,890 | 1,166,843 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Capital Goods — (Continued) | |||
WW Grainger, Inc. | 3,342 | $ 2,302,003 | |
Xylem, Inc. | 13,228 | 1,384,972 | |
63,722,675 | |||
Commercial & Professional Services — 2.6% | |||
ACV Auctions, Inc., Class A* | 10,573 | 136,497 | |
Automatic Data Processing, Inc.(a) | 8,874 | 1,975,619 | |
Brady Corp., Class A | 251 | 13,486 | |
Broadridge Financial Solutions, Inc. | 6,016 | 881,765 | |
CACI International, Inc., Class A* | 484 | 143,400 | |
Cintas Corp. | 1,977 | 914,718 | |
Clarivate PLC (Jersey)* | 34,085 | 320,058 | |
Clean Harbors, Inc.* | 7,458 | 1,063,213 | |
Concentrix Corp. | 1,377 | 167,374 | |
Copart, Inc.* | 18,982 | 1,427,636 | |
Heidrick & Struggles International, Inc. | 97 | 2,945 | |
HireRight Holdings Corp.* | 120 | 1,273 | |
Insperity, Inc. | 2,863 | 347,998 | |
Korn Ferry | 3,019 | 156,203 | |
Leidos Holdings, Inc. | 10,350 | 952,821 | |
Paychex, Inc. | 7,174 | 822,069 | |
Republic Services, Inc. | 5,879 | 794,958 | |
Ritchie Bros Auctioneers, Inc. (Canada) | 3,095 | 174,218 | |
Robert Half International, Inc. | 8,718 | 702,409 | |
Rollins, Inc. | 37,199 | 1,396,078 | |
Science Applications International Corp. | 3,599 | 386,749 | |
Sterling Check Corp.* | 51 | 569 | |
Tetra Tech, Inc. | 529 | 77,715 | |
Thomson Reuters Corp. (Canada) | 5,196 | 676,104 | |
TransUnion | 2,214 | 137,578 | |
Verisk Analytics, Inc. | 5,059 | 970,620 | |
Waste Management, Inc. | 2,725 | 444,638 | |
15,088,711 | |||
Consumer Discretionary Distribution & Retail — 4.5% | |||
Amazon.com, Inc.(a)* | 72,107 | 7,447,932 | |
Arhaus, Inc.* | 11,981 | 99,322 | |
AutoZone, Inc.* | 47 | 115,533 | |
Bath & Body Works, Inc.(a) | 33,958 | 1,242,184 | |
Best Buy Co., Inc. | 2,010 | 157,323 | |
Buckle, Inc. (The) | 16,843 | 601,127 | |
Burlington Stores, Inc.* | 3,616 | 730,794 | |
CarMax, Inc.* | 16,811 | 1,080,611 | |
Chico's FAS, Inc.* | 10,076 | 55,418 | |
Dillard's, Inc., Class A | 244 | 75,074 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Consumer Discretionary Distribution & Retail — (Continued) | |||
eBay, Inc.(a) | 20,890 | $ 926,889 | |
Etsy, Inc.(a)* | 11,382 | 1,267,158 | |
Genuine Parts Co. | 3,959 | 662,380 | |
Group 1 Automotive, Inc. | 1,077 | 243,854 | |
Home Depot, Inc. (The) | 2,707 | 798,890 | |
LKQ Corp. | 26,056 | 1,478,938 | |
Lowe's Cos., Inc.(a) | 15,705 | 3,140,529 | |
Monro, Inc. | 19 | 939 | |
Murphy USA, Inc. | 948 | 244,631 | |
ODP Corp. (The)* | 11,700 | 526,266 | |
O'Reilly Automotive, Inc.* | 567 | 481,372 | |
Overstock.com, Inc.* | 11,303 | 229,112 | |
Pool Corp. | 277 | 94,856 | |
Ross Stores, Inc.(a) | 16,982 | 1,802,300 | |
TJX Cos., Inc. (The) | 5,919 | 463,813 | |
Ulta Beauty, Inc.* | 1,876 | 1,023,677 | |
Urban Outfitters, Inc.* | 34,782 | 964,157 | |
Warby Parker, Inc., Class A* | 10,442 | 110,581 | |
26,065,660 | |||
Consumer Durables & Apparel — 2.5% | |||
Brunswick Corp. | 2,321 | 190,322 | |
Capri Holdings Ltd. (British Virgin Islands)* | 8,030 | 377,410 | |
Cavco Industries, Inc.* | 2,162 | 686,954 | |
Cricut, Inc., Class A | 233 | 2,377 | |
Crocs, Inc.* | 3,071 | 388,297 | |
DR Horton, Inc. | 12,790 | 1,249,455 | |
Garmin Ltd. (Switzerland) | 5,364 | 541,335 | |
GoPro, Inc., Class A* | 27,070 | 136,162 | |
Hasbro, Inc. | 30,307 | 1,627,183 | |
Installed Building Products, Inc. | 1,746 | 199,096 | |
Kontoor Brands, Inc. | 199 | 9,630 | |
Leggett & Platt, Inc. | 3,762 | 119,933 | |
Malibu Boats, Inc., Class A* | 2,583 | 145,810 | |
Mohawk Industries, Inc.* | 3,064 | 307,074 | |
NIKE, Inc., Class B | 18,373 | 2,253,265 | |
NVR, Inc.* | 110 | 612,941 | |
Peloton Interactive, Inc., Class A* | 45,190 | 512,455 | |
Polaris, Inc. | 5,211 | 576,493 | |
PulteGroup, Inc. | 11,662 | 679,661 | |
Skyline Champion Corp.* | 5,645 | 424,673 | |
Sonos, Inc.* | 5,690 | 111,638 | |
Steven Madden Ltd. | 11,325 | 407,700 | |
Tapestry, Inc. | 63,717 | 2,746,840 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Consumer Durables & Apparel — (Continued) | |||
Vista Outdoor, Inc.* | 10,423 | $ 288,821 | |
Whirlpool Corp. | 2,006 | 264,832 | |
14,860,357 | |||
Consumer Services — 3.0% | |||
Adtalem Global Education, Inc.* | 15,405 | 594,941 | |
Bloomin' Brands, Inc. | 7,741 | 198,557 | |
Booking Holdings, Inc.* | 540 | 1,432,301 | |
Bright Horizons Family Solutions, Inc.* | 1,436 | 110,558 | |
Caesars Entertainment, Inc.(a)* | 74,265 | 3,624,875 | |
Darden Restaurants, Inc. | 4,011 | 622,347 | |
Denny's Corp.* | 9,374 | 104,614 | |
Duolingo, Inc.* | 272 | 38,784 | |
Expedia Group, Inc.* | 8,345 | 809,715 | |
Grand Canyon Education, Inc.* | 1,453 | 165,497 | |
Hilton Worldwide Holdings, Inc. | 1,453 | 204,684 | |
Marriott International, Inc., Class A | 5,400 | 896,616 | |
McDonald's Corp.(a) | 7,906 | 2,210,597 | |
MGM Resorts International | 28,478 | 1,264,993 | |
Monarch Casino & Resort, Inc. | 1,110 | 82,307 | |
Perdoceo Education Corp.* | 3 | 40 | |
Rover Group, Inc.* | 843 | 3,819 | |
Six Flags Entertainment Corp.* | 3,200 | 85,472 | |
Starbucks Corp.(a) | 23,595 | 2,456,947 | |
Strategic Education, Inc. | 1,070 | 96,118 | |
Wendy's Co. (The) | 14,286 | 311,149 | |
Wingstop, Inc. | 1,162 | 213,320 | |
Wyndham Hotels & Resorts, Inc. | 24 | 1,628 | |
Yum! Brands, Inc. | 17,055 | 2,252,624 | |
17,782,503 | |||
Consumer Staples Distribution & Retail — 2.0% | |||
BJ's Wholesale Club Holdings, Inc.* | 2,566 | 195,196 | |
Casey's General Stores, Inc. | 4,316 | 934,241 | |
Costco Wholesale Corp.(a) | 4,942 | 2,455,531 | |
Dollar Tree, Inc.* | 4,107 | 589,560 | |
Fresh Market Holdings, Inc. (The), Escrow Shares(b)* | 50,715 | — | |
Kroger Co. (The) | 3,052 | 150,677 | |
Performance Food Group Co.* | 2,088 | 125,990 | |
Sprouts Farmers Market, Inc.* | 3,749 | 131,327 | |
Target Corp. | 1,036 | 171,593 | |
US Foods Holding Corp.* | 41,868 | 1,546,604 | |
Walgreens Boots Alliance, Inc. | 20,815 | 719,783 | |
Walmart, Inc.(a) | 29,927 | 4,412,736 | |
11,433,238 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Energy — 6.5% | |||
Antero Resources Corp.* | 75,950 | $ 1,753,685 | |
APA Corp. | 60,999 | 2,199,624 | |
Arch Resources, Inc. | 5,073 | 666,897 | |
Baker Hughes Co. | 32,559 | 939,653 | |
California Resources Corp. | 3,380 | 130,130 | |
Canadian Natural Resources Ltd. (Canada) | 3,009 | 166,548 | |
Cheniere Energy, Inc. | 7,078 | 1,115,493 | |
Chevron Corp.(a) | 23,076 | 3,765,080 | |
Comstock Resources, Inc. | 18,724 | 202,032 | |
ConocoPhillips | 17,907 | 1,776,553 | |
CONSOL Energy, Inc. | 13,705 | 798,590 | |
Crescent Point Energy Corp. (Canada) | 112,880 | 796,933 | |
Denbury, Inc.* | 1,366 | 119,703 | |
DHT Holdings, Inc. (Marshall Islands) | 147,418 | 1,593,589 | |
Dorian LPG Ltd. (Marshall Islands) | 12,533 | 249,908 | |
Enbridge, Inc. (Canada) | 21,497 | 820,111 | |
Enerplus Corp. (Canada) | 41,117 | 592,496 | |
EOG Resources, Inc. | 7,224 | 828,087 | |
EQT Corp. | 25,408 | 810,769 | |
Equitrans Midstream Corp. | 49,551 | 286,405 | |
Expro Group Holdings N. V. (Netherlands)* | 618 | 11,346 | |
Exxon Mobil Corp.(a) | 30,930 | 3,391,784 | |
FLEX LNG Ltd. (Bermuda) | 8,356 | 280,594 | |
Gulfport Energy Corp.* | 1,267 | 101,360 | |
Helmerich & Payne, Inc. | 15,224 | 544,258 | |
Hess Corp. | 5,189 | 686,712 | |
HF Sinclair Corp. | 11,974 | 579,302 | |
Imperial Oil Ltd. (Canada) | 5,337 | 271,173 | |
Kinder Morgan, Inc. | 80,468 | 1,408,995 | |
Kosmos Energy Ltd.* | 87,393 | 650,204 | |
Marathon Petroleum Corp.(a) | 11,540 | 1,555,938 | |
Murphy Oil Corp. | 18,159 | 671,520 | |
Nabors Industries Ltd. (Bermuda)* | 5,257 | 640,881 | |
NexTier Oilfield Solutions, Inc.* | 40,670 | 323,326 | |
Nordic American Tankers Ltd. (Bermuda) | 3,482 | 13,789 | |
Occidental Petroleum Corp. | 32,788 | 2,046,955 | |
Patterson-UTI Energy, Inc. | 9,680 | 113,256 | |
Pembina Pipeline Corp. (Canada) | 13,136 | 425,606 | |
Phillips 66 | 499 | 50,589 | |
Range Resources Corp. | 52,349 | 1,385,678 | |
RPC, Inc. | 12,508 | 96,186 | |
Southwestern Energy Co.* | 306,926 | 1,534,630 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Energy — (Continued) | |||
TechnipFMC PLC (United Kingdom)* | 22,510 | $ 307,261 | |
US Silica Holdings, Inc.* | 48,137 | 574,756 | |
Valaris Ltd. (Bermuda)* | 742 | 48,275 | |
Valero Energy Corp. | 1,513 | 211,215 | |
W&T Offshore, Inc.* | 24,158 | 122,723 | |
Weatherford International PLC (Ireland)* | 9,670 | 573,914 | |
38,234,512 | |||
Financial Services — 2.4% | |||
Affiliated Managers Group, Inc. | 1,424 | 202,806 | |
Berkshire Hathaway, Inc., Class B* | 8,158 | 2,518,946 | |
BlackRock, Inc. | 1,185 | 792,907 | |
Cboe Global Markets, Inc. | 3,064 | 411,311 | |
CME Group, Inc. | 7,258 | 1,390,052 | |
Franklin Resources, Inc. | 60,574 | 1,631,864 | |
Intercontinental Exchange, Inc.(a) | 23,391 | 2,439,447 | |
Invesco Ltd. (Bermuda) | 6,876 | 112,766 | |
Janus Henderson Group PLC (Jersey) | 9,220 | 245,621 | |
MarketAxess Holdings, Inc. | 1,195 | 467,592 | |
Nasdaq, Inc. | 34,262 | 1,873,104 | |
Open Lending Corp., Class A* | 31,842 | 224,168 | |
T Rowe Price Group, Inc.(a) | 17,675 | 1,995,507 | |
14,306,091 | |||
Food, Beverage & Tobacco — 3.7% | |||
Altria Group, Inc. | 45,376 | 2,024,677 | |
Archer-Daniels-Midland Co. | 3,806 | 303,186 | |
Bunge Ltd. (Bermuda) | 3,845 | 367,274 | |
Cal-Maine Foods, Inc. | 13,372 | 814,221 | |
Campbell Soup Co. | 25,756 | 1,416,065 | |
Celsius Holdings, Inc.* | 16,054 | 1,492,059 | |
Coca-Cola Co. (The)(a) | 41,231 | 2,557,559 | |
Constellation Brands, Inc., Class A | 3,324 | 750,858 | |
Dole PLC (Ireland) | 2,127 | 24,971 | |
Duckhorn Portfolio, Inc. (The)* | 3,161 | 50,260 | |
Flowers Foods, Inc. | 5,855 | 160,486 | |
General Mills, Inc. | 13,300 | 1,136,618 | |
J M Smucker Co. (The) | 873 | 137,384 | |
John B Sanfilippo & Son, Inc. | 33 | 3,198 | |
Kellogg Co. | 21,489 | 1,438,903 | |
Keurig Dr Pepper, Inc. | 77,813 | 2,745,243 | |
Kraft Heinz Co. (The) | 24,729 | ��� 956,270 | |
Lamb Weston Holdings, Inc. | 6,960 | 727,459 | |
MGP Ingredients, Inc. | 2,062 | 199,437 | |
Molson Coors Beverage Co., Class B | 4,343 | 224,446 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Food, Beverage & Tobacco — (Continued) | |||
PepsiCo, Inc.(a) | 9,262 | $ 1,688,463 | |
Philip Morris International, Inc. | 11,085 | 1,078,016 | |
Pilgrim's Pride Corp.* | 17,732 | 411,028 | |
Primo Water Corp. (Canada) | 9,184 | 140,974 | |
TreeHouse Foods, Inc.* | 10,111 | 509,898 | |
Vector Group Ltd. | 70 | 841 | |
21,359,794 | |||
Health Care Equipment & Services — 7.1% | |||
Abbott Laboratories | 16,269 | 1,647,399 | |
Addus HomeCare Corp.* | 458 | 48,896 | |
Align Technology, Inc.* | 514 | 171,748 | |
Amedisys, Inc.* | 3,145 | 231,315 | |
Apollo Medical Holdings, Inc.* | 73 | 2,662 | |
Avanos Medical, Inc.* | 5,867 | 174,485 | |
Axonics, Inc.* | 12,127 | 661,649 | |
Cardinal Health, Inc.(a) | 15,954 | 1,204,527 | |
Centene Corp.(a)* | 36,907 | 2,332,891 | |
Cigna Group (The) | 5,514 | 1,408,992 | |
Community Health Systems, Inc.* | 1,202 | 5,890 | |
Cooper Cos., Inc. (The) | 1,372 | 512,250 | |
Cross Country Healthcare, Inc.* | 14,341 | 320,091 | |
CVS Health Corp. | 36,506 | 2,712,761 | |
DaVita, Inc.* | 3,156 | 255,983 | |
DENTSPLY SIRONA, Inc. | 8,281 | 325,278 | |
Dexcom, Inc.(a)* | 10,169 | 1,181,434 | |
Edwards Lifesciences Corp.* | 26,626 | 2,202,769 | |
Elevance Health, Inc. | 1,315 | 604,650 | |
Embecta Corp. | 67 | 1,884 | |
Enovis Corp.* | 20,783 | 1,111,683 | |
Ensign Group, Inc. (The) | 1,306 | 124,775 | |
Fulgent Genetics, Inc.* | 16,752 | 522,997 | |
GE HealthCare Technologies, Inc.* | 29,476 | 2,417,916 | |
Haemonetics Corp.* | 1,193 | 98,721 | |
HCA Healthcare, Inc. | 6,097 | 1,607,657 | |
Hims & Hers Health, Inc.* | 28,148 | 279,228 | |
Hologic, Inc.* | 14,216 | 1,147,231 | |
Humana, Inc.(a) | 4,405 | 2,138,451 | |
IDEXX Laboratories, Inc.* | 2,287 | 1,143,683 | |
Inspire Medical Systems, Inc.* | 2,446 | 572,535 | |
Insulet Corp.* | 1,636 | 521,819 | |
Integra LifeSciences Holdings Corp.* | 4,079 | 234,175 | |
iRhythm Technologies, Inc.* | 4,090 | 507,283 | |
Laboratory Corp. of America Holdings | 493 | 113,104 | |
Lantheus Holdings, Inc.* | 18,767 | 1,549,404 | |
McKesson Corp. | 876 | 311,900 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Health Care Equipment & Services — (Continued) | |||
Medtronic PLC (Ireland) | 26,985 | $ 2,175,531 | |
Molina Healthcare, Inc.* | 5,228 | 1,398,438 | |
NextGen Healthcare, Inc.* | 6,306 | 109,787 | |
Shockwave Medical, Inc.* | 4,603 | 998,069 | |
Stryker Corp. | 453 | 129,318 | |
TransMedics Group, Inc.* | 16,501 | 1,249,621 | |
UFP Technologies, Inc.* | 704 | 91,407 | |
UnitedHealth Group, Inc. | 3,843 | 1,816,163 | |
Universal Health Services, Inc., Class B | 1,251 | 159,002 | |
Veradigm, Inc.* | 67,435 | 880,027 | |
Zimmer Biomet Holdings, Inc. | 17,049 | 2,202,731 | |
41,620,210 | |||
Household & Personal Products — 1.5% | |||
Church & Dwight Co., Inc. | 2,465 | 217,931 | |
elf Beauty, Inc.* | 29,827 | 2,456,253 | |
Kimberly-Clark Corp.(a) | 22,132 | 2,970,557 | |
Olaplex Holdings, Inc.* | 24,254 | 103,565 | |
Procter & Gamble Co. (The)(a) | 18,159 | 2,700,062 | |
Spectrum Brands Holdings, Inc. | 3,661 | 242,431 | |
8,690,799 | |||
Materials — 5.8% | |||
Alamos Gold, Inc., Class A (Canada) | 38,750 | 473,913 | |
Albemarle Corp. | 9,946 | 2,198,464 | |
Alpha Metallurgical Resources, Inc. | 4,281 | 667,836 | |
American Vanguard Corp. | 47 | 1,028 | |
ATI, Inc.* | 22,085 | 871,474 | |
Avient Corp. | 631 | 25,972 | |
Ball Corp. | 9,895 | 545,313 | |
CF Industries Holdings, Inc. | 9,716 | 704,313 | |
Commercial Metals Co. | 19,177 | 937,755 | |
Dow, Inc. | 21,425 | 1,174,518 | |
DuPont de Nemours, Inc.(a) | 68,745 | 4,933,829 | |
Eastman Chemical Co. | 6,927 | 584,223 | |
Ecolab, Inc. | 7,432 | 1,230,219 | |
FMC Corp. | 5,146 | 628,481 | |
Franco-Nevada Corp. (Canada) | 6,223 | 907,313 | |
Freeport-McMoRan, Inc. | 28,554 | 1,168,144 | |
Graphic Packaging Holding Co. | 34,045 | 867,807 | |
Greif, Inc., Class A | 2,905 | 184,090 | |
Hudbay Minerals, Inc. (Canada) | 67,056 | 352,044 | |
Innospec, Inc. | 335 | 34,394 | |
International Paper Co. | 28,325 | 1,021,400 | |
Linde PLC (Ireland) | 7,468 | 2,654,426 | |
Livent Corp.* | 23,251 | 505,012 | |
LSB Industries, Inc.* | 6,542 | 67,579 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Materials — (Continued) | |||
Martin Marietta Materials, Inc. | 2,786 | $ 989,197 | |
Mosaic Co. (The) | 29,942 | 1,373,739 | |
Newmont Corp. | 22,742 | 1,114,813 | |
Nucor Corp. | 5,635 | 870,438 | |
Nutrien Ltd. (Canada) | 2,263 | 167,123 | |
Olin Corp. | 12,429 | 689,810 | |
Packaging Corp. of America | 5,580 | 774,671 | |
Pactiv Evergreen, Inc. | 412 | 3,296 | |
Perimeter Solutions SA (Luxembourg)* | 28,308 | 228,729 | |
Reliance Steel & Aluminum Co. | 1,211 | 310,912 | |
Sealed Air Corp. | 11,323 | 519,839 | |
Silgan Holdings, Inc. | 11,600 | 622,572 | |
SilverCrest Metals, Inc. (Canada)* | 244 | 1,742 | |
Steel Dynamics, Inc. | 10,554 | 1,193,235 | |
Sylvamo Corp. | 3,260 | 150,808 | |
Teck Resources Ltd., Class B (Canada) | 6,477 | 236,411 | |
Warrior Met Coal, Inc. | 8,271 | 303,628 | |
Westlake Corp. | 1,880 | 218,042 | |
Wheaton Precious Metals Corp. (Canada) | 32,550 | 1,567,608 | |
34,076,160 | |||
Media & Entertainment — 7.2% | |||
Activision Blizzard, Inc. | 18,382 | 1,573,315 | |
Alphabet, Inc., Class A(a)* | 84,460 | 8,761,036 | |
Bumble, Inc., Class A* | 48,621 | 950,541 | |
Cable One, Inc. | 722 | 506,844 | |
Charter Communications, Inc., Class A(a)* | 3,794 | 1,356,772 | |
Cinemark Holdings, Inc.* | 61,391 | 907,973 | |
Comcast Corp., Class A | 53,440 | 2,025,911 | |
Fox Corp., Class A | 25,848 | 880,124 | |
Interpublic Group of Cos., Inc. (The) | 19,638 | 731,319 | |
Match Group, Inc.* | 34,230 | 1,314,090 | |
Meta Platforms, Inc., Class A(a)* | 47,100 | 9,982,374 | |
Netflix, Inc.(a)* | 16,108 | 5,564,992 | |
New York Times Co. (The), Class A | 1,672 | 65,007 | |
News Corp., Class A | 32,211 | 556,284 | |
Nexstar Media Group, Inc. | 658 | 113,610 | |
Omnicom Group, Inc. | 14,748 | 1,391,326 | |
Paramount Global, Class B | 10,177 | 227,049 | |
Shutterstock, Inc. | 4,953 | 359,588 | |
Sinclair Broadcast Group, Inc., Class A | 17,608 | 302,153 | |
Sirius XM Holdings, Inc. | 214,866 | 853,018 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Media & Entertainment — (Continued) | |||
Stagwell, Inc.* | 1,611 | $ 11,954 | |
Trade Desk, Inc. (The), Class A* | 17,357 | 1,057,215 | |
TripAdvisor, Inc.* | 47,349 | 940,351 | |
Walt Disney Co. (The)* | 6,561 | 656,953 | |
ZipRecruiter, Inc., Class A* | 19,159 | 305,395 | |
ZoomInfo Technologies, Inc.* | 20,561 | 508,062 | |
41,903,256 | |||
Pharmaceuticals, Biotechnology & Life Sciences — 6.7% | |||
AbCellera Biologics, Inc. (Canada)* | 66,812 | 503,762 | |
ADMA Biologics, Inc.* | 979 | 3,240 | |
Agilent Technologies, Inc. | 6,083 | 841,522 | |
Ardelyx, Inc.* | 32,956 | 157,859 | |
Aurinia Pharmaceuticals, Inc. (Canada)* | 33,649 | 368,793 | |
Biogen, Inc.* | 6,006 | 1,669,848 | |
Bristol-Myers Squibb Co.(a) | 30,252 | 2,096,766 | |
Catalyst Pharmaceuticals, Inc.* | 46,133 | 764,885 | |
Charles River Laboratories International, Inc.* | 1,330 | 268,421 | |
Collegium Pharmaceutical, Inc.* | 3,661 | 87,827 | |
Dynavax Technologies Corp.* | 43,576 | 427,481 | |
FibroGen, Inc.* | 107 | 1,997 | |
Gilead Sciences, Inc. | 15,589 | 1,293,419 | |
Harmony Biosciences Holdings, Inc.* | 10,115 | 330,255 | |
Illumina, Inc.* | 7,616 | 1,771,101 | |
Incyte Corp.* | 3,086 | 223,025 | |
IQVIA Holdings, Inc.* | 4,200 | 835,338 | |
Ironwood Pharmaceuticals, Inc.* | 19,716 | 207,412 | |
Jazz Pharmaceuticals PLC (Ireland)* | 7,281 | 1,065,429 | |
Johnson & Johnson(a) | 27,833 | 4,314,115 | |
Ligand Pharmaceuticals, Inc.* | 916 | 67,381 | |
Maravai LifeSciences Holdings, Inc., Class A* | 24,822 | 347,756 | |
Medpace Holdings, Inc.* | 2,396 | 450,568 | |
Merck & Co., Inc.(a) | 38,146 | 4,058,353 | |
Mettler-Toledo International, Inc.* | 1,094 | 1,674,050 | |
Moderna, Inc.(a)* | 20,605 | 3,164,516 | |
Organon & Co. | 14,637 | 344,262 | |
PerkinElmer, Inc. | 9,253 | 1,233,055 | |
Pfizer, Inc.(a) | 115,213 | 4,700,690 | |
Provention Bio, Inc.* | 25,276 | 609,152 | |
QIAGEN N. V. (Netherlands)* | 3,949 | 181,378 | |
TG Therapeutics, Inc.* | 61,782 | 929,201 | |
Theravance Biopharma, Inc. (Cayman Islands)* | 2,559 | 27,765 | |
United Therapeutics Corp.* | 2,996 | 670,984 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) | |||
Viatris, Inc. | 143,208 | $ 1,377,661 | |
West Pharmaceutical Services, Inc. | 5,006 | 1,734,429 | |
Zoetis, Inc. | 3,706 | 616,827 | |
39,420,523 | |||
Semiconductors & Semiconductor Equipment — 7.0% | |||
Applied Materials, Inc. | 14,559 | 1,788,282 | |
Axcelis Technologies, Inc.* | 13,242 | 1,764,497 | |
Broadcom, Inc.(a) | 8,147 | 5,226,626 | |
Cirrus Logic, Inc.* | 13,799 | 1,509,335 | |
Diodes, Inc.* | 6,072 | 563,239 | |
Enphase Energy, Inc.* | 1,261 | 265,163 | |
First Solar, Inc.(a)* | 14,097 | 3,066,097 | |
GLOBALFOUNDRIES, Inc. (Cayman Islands)* | 4,734 | 341,700 | |
Impinj, Inc.* | 1,625 | 220,220 | |
KLA Corp. | 2,234 | 891,746 | |
Lam Research Corp.(a) | 6,339 | 3,360,431 | |
Lattice Semiconductor Corp.* | 9,238 | 882,229 | |
MaxLinear, Inc.* | 24,134 | 849,758 | |
Microchip Technology, Inc.(a) | 39,692 | 3,325,396 | |
Monolithic Power Systems, Inc. | 1,552 | 776,838 | |
NVIDIA Corp. | 5,566 | 1,546,068 | |
NXP Semiconductors N. V. (Netherlands) | 20,985 | 3,913,178 | |
ON Semiconductor Corp.(a)* | 40,892 | 3,366,229 | |
PDF Solutions, Inc.* | 1,085 | 46,004 | |
Photronics, Inc.* | 41,305 | 684,837 | |
Qorvo, Inc.* | 9,954 | 1,011,028 | |
QUALCOMM, Inc.(a) | 16,118 | 2,056,334 | |
Rambus, Inc.* | 14,345 | 735,325 | |
Semtech Corp.* | 9,100 | 219,674 | |
Skyworks Solutions, Inc. | 17,179 | 2,026,778 | |
Synaptics, Inc.* | 1,754 | 194,957 | |
Veeco Instruments, Inc.* | 3,841 | 81,160 | |
40,713,129 | |||
Software & Services — 9.0% | |||
Accenture PLC, Class A (Ireland) | 5,867 | 1,676,847 | |
Adeia, Inc. | 3,533 | 31,302 | |
Adobe, Inc.(a)* | 11,199 | 4,315,759 | |
Akamai Technologies, Inc.* | 4,300 | 336,690 | |
Alteryx, Inc., Class A* | 2,021 | 118,916 | |
ANSYS, Inc.* | 3,030 | 1,008,384 | |
Asana, Inc., Class A* | 52,228 | 1,103,578 | |
Box, Inc., Class A* | 23,079 | 618,286 | |
Ceridian HCM Holding, Inc.* | 5,062 | 370,640 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Software & Services — (Continued) | |||
CommVault Systems, Inc.* | 4,662 | $ 264,522 | |
Cvent Holding Corp.* | 943 | 7,883 | |
Descartes Systems Group, Inc. (The) (Canada)* | 2,680 | 216,035 | |
Digital Turbine, Inc.* | 10,068 | 124,440 | |
DigitalOcean Holdings, Inc.* | 9,475 | 371,136 | |
Docebo, Inc. (Canada)* | 144 | 5,867 | |
DXC Technology Co.* | 33,590 | 858,560 | |
Elastic N. V. (Netherlands)* | 267 | 15,459 | |
Enfusion, Inc., Class A* | 1,069 | 11,225 | |
Fair Isaac Corp.* | 589 | 413,884 | |
Fortinet, Inc.(a)* | 58,799 | 3,907,782 | |
Gartner, Inc.* | 8,305 | 2,705,520 | |
Gen Digital, Inc. | 33,806 | 580,111 | |
Guidewire Software, Inc.* | 6,687 | 548,668 | |
Informatica, Inc., Class A* | 98 | 1,607 | |
Intapp, Inc.* | 311 | 13,945 | |
InterDigital, Inc. | 8,241 | 600,769 | |
International Business Machines Corp. | 13,076 | 1,714,133 | |
Microsoft Corp.(a) | 30,024 | 8,655,919 | |
MongoDB, Inc.* | 2,983 | 695,397 | |
NCR Corp.* | 8,055 | 190,017 | |
New Relic, Inc.* | 10,536 | 793,255 | |
Nutanix, Inc., Class A* | 19,365 | 503,296 | |
Oracle Corp.(a) | 41,219 | 3,830,070 | |
PagerDuty, Inc.* | 12,247 | 428,400 | |
Palo Alto Networks, Inc.* | 3,739 | 746,828 | |
PowerSchool Holdings, Inc., Class A* | 7,039 | 139,513 | |
Qualys, Inc.* | 2,187 | ��� 284,354 | |
Roper Technologies, Inc. | 72 | 31,730 | |
Salesforce, Inc.(a)* | 20,589 | 4,113,270 | |
Samsara, Inc., Class A* | 8,154 | 160,797 | |
ServiceNow, Inc.(a)* | 14,097 | 6,551,158 | |
SolarWinds Corp.* | 385 | 3,311 | |
Splunk, Inc.* | 19,195 | 1,840,417 | |
Sprinklr, Inc., Class A* | 800 | 10,368 | |
Squarespace, Inc., Class A* | 7,301 | 231,953 | |
Tenable Holdings, Inc.* | 78 | 3,706 | |
VeriSign, Inc.* | 3,625 | 766,071 | |
Yext, Inc.* | 23,038 | 221,395 | |
Zeta Global Holdings Corp., Class A* | 4,522 | 48,973 | |
Zuora, Inc., Class A* | 15,354 | 151,698 | |
52,343,844 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Technology Hardware & Equipment — 5.6% | |||
Amphenol Corp., Class A | 20,859 | $ 1,704,597 | |
Apple, Inc.(a) | 53,461 | 8,815,719 | |
CDW Corp. | 8,468 | 1,650,329 | |
Cisco Systems, Inc.(a) | 73,013 | 3,816,755 | |
Extreme Networks, Inc.* | 19,442 | 371,731 | |
F5, Inc.* | 8,673 | 1,263,569 | |
Fabrinet (Cayman Islands)* | 949 | 112,703 | |
Hewlett Packard Enterprise Co. | 117,655 | 1,874,244 | |
HP, Inc.(a) | 79,688 | 2,338,843 | |
Infinera Corp.* | 29,507 | 228,974 | |
IonQ, Inc.* | 52,419 | 322,377 | |
IPG Photonics Corp.* | 2,928 | 361,052 | |
Keysight Technologies, Inc.* | 2,309 | 372,857 | |
Methode Electronics, Inc. | 606 | 26,591 | |
Mirion Technologies, Inc.* | 4,861 | 41,513 | |
Motorola Solutions, Inc. | 5,140 | 1,470,708 | |
NetApp, Inc. | 18,734 | 1,196,166 | |
NetScout Systems, Inc.* | 22,425 | 642,476 | |
Pure Storage, Inc., Class A* | 17,005 | 433,798 | |
Sanmina Corp.* | 5,618 | 342,642 | |
Seagate Technology Holdings PLC (Ireland) | 14,582 | 964,162 | |
Super Micro Computer, Inc.* | 17,092 | 1,821,153 | |
TE Connectivity Ltd. (Switzerland) | 5,114 | 670,701 | |
Teledyne Technologies, Inc.* | 1,543 | 690,276 | |
Viavi Solutions, Inc.* | 11,935 | 129,256 | |
Vishay Intertechnology, Inc. | 2,501 | 56,573 | |
Zebra Technologies Corp., Class A* | 3,586 | 1,140,348 | |
32,860,113 | |||
Telecommunication Services — 1.1% | |||
AT&T, Inc.(a) | 123,050 | 2,368,713 | |
EchoStar Corp., Class A* | 8,653 | 158,263 | |
Iridium Communications, Inc. | 2,051 | 127,019 | |
Lumen Technologies, Inc. | 167,079 | 442,759 | |
T-Mobile US, Inc.* | 8,062 | 1,167,700 | |
United States Cellular Corp.* | 1,759 | 36,464 | |
Verizon Communications, Inc. | 48,089 | 1,870,181 | |
6,171,099 | |||
Transportation — 2.7% | |||
American Airlines Group, Inc.(a)* | 138,263 | 2,039,379 | |
ArcBest Corp. | 3,112 | 287,611 | |
CH Robinson Worldwide, Inc. | 16,806 | 1,670,012 | |
CSX Corp. | 45,846 | 1,372,629 | |
Expeditors International of Washington, Inc.(a) | 14,818 | 1,631,758 | |
Forward Air Corp. | 1,917 | 206,576 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Transportation — (Continued) | |||
Hub Group, Inc., Class A* | 4,617 | $ 387,551 | |
Kirby Corp.* | 2,394 | 166,862 | |
Landstar System, Inc. | 6,255 | 1,121,272 | |
Marten Transport Ltd. | 1,237 | 25,915 | |
Norfolk Southern Corp. | 4,795 | 1,016,540 | |
Old Dominion Freight Line, Inc. | 4,256 | 1,450,615 | |
RXO, Inc.* | 3,502 | 68,779 | |
Ryder System, Inc. | 5,730 | 511,345 | |
Schneider National, Inc., Class B | 5,924 | 158,467 | |
TFI International, Inc. (Canada) | 1,320 | 157,463 | |
Uber Technologies, Inc.* | 13,148 | 416,792 | |
Union Pacific Corp. | 6,728 | 1,354,077 | |
United Parcel Service, Inc., Class B | 7,420 | 1,439,406 | |
XPO, Inc.* | 10,919 | 348,316 | |
15,831,365 | |||
Utilities — 1.9% | |||
AES Corp. (The) | 135 | 3,251 | |
American Water Works Co., Inc. | 2,334 | 341,908 | |
Atmos Energy Corp. | 1,363 | 153,147 | |
Chesapeake Utilities Corp. | 206 | 26,366 | |
Constellation Energy Corp.(a) | 37,463 | 2,940,845 | |
Dominion Energy, Inc. | 6,623 | 370,292 | |
Entergy Corp. | 8,930 | 962,118 | |
Evergy, Inc. | 124 | 7,579 | |
Exelon Corp.(a) | 70,579 | 2,956,554 | |
Montauk Renewables, Inc.* | 834 | 6,564 | |
National Fuel Gas Co. | 8,553 | 493,850 | |
Otter Tail Corp. | 5,473 | 395,534 | |
Public Service Enterprise Group, Inc. | 43,599 | 2,722,757 | |
SJW Group | 40 | 3,045 | |
11,383,810 | |||
TOTAL COMMON STOCKS (Cost $503,247,440) | 557,121,035 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.7% | 27,559,922 | ||
NET ASSETS - 100.0% | $ 584,680,957 |
(a) | Security position is either entirely or partially designated as collateral for total return swaps. (See Note 1 of the Notes to Financial Statements) |
(b) | Security is fair valued by the Adviser in accordance with the policies established by the Board of Trustees. |
* | Non-income producing. |
PLC | Public Limited Company |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Long | ||||||||||||||||
Automobiles & Components | ||||||||||||||||
BorgWarner, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 8,076 | $ 357,926 | $ 396,612 | $ 54,397 | ||||||||
Dana, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,985 | 29,853 | 29,874 | 1,216 | ||||||||
Ford Motor Co. | USFF +0.250% | Weekly | MS | 07/23/25 | 87,151 | 878,379 | 1,098,103 | 343,225 | ||||||||
General Motors Co. | USFF +0.250% | Weekly | MS | 07/23/25 | 36,353 | 1,462,961 | 1,333,428 | (65,157) | ||||||||
Lear Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 518 | 69,346 | 72,256 | 6,203 | ||||||||
Modine Manufacturing Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,834 | 38,998 | 42,274 | 4,788 | ||||||||
Visteon Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,604 | 257,674 | 251,555 | 3,910 | ||||||||
137,521 | 3,095,137 | 3,224,102 | 348,582 | |||||||||||||
Capital Goods | ||||||||||||||||
3M Co. | USFF +0.250% | Weekly | MS | 07/23/25 | 7,824 | 1,031,475 | 822,381 | (122,499) | ||||||||
A. O. Smith Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,973 | 104,622 | 136,433 | 37,354 | ||||||||
Advanced Drainage Systems, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,098 | 204,549 | 176,673 | (23,432) | ||||||||
AGCO Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 745 | 98,793 | 100,724 | 5,818 | ||||||||
AMETEK, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,939 | 416,767 | 427,125 | 27,388 | ||||||||
Applied Industrial Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 389 | 54,776 | 55,289 | 2,778 | ||||||||
Armstrong World Industries, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 565 | 38,960 | 40,251 | 2,802 | ||||||||
Array Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 6,507 | 129,990 | 142,373 | 17,439 | ||||||||
Axon Enterprise, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,816 | 610,726 | 633,178 | 46,230 | ||||||||
Blue Bird Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 251 | 5,156 | 5,128 | 166 | ||||||||
BlueLinx Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 72 | 4,926 | 4,893 | 152 | ||||||||
Boeing Co. (The) | USFF +0.250% | Weekly | MS | 07/08/27 | 1,361 | 280,105 | 289,117 | 19,657 | ||||||||
Boise Cascade Co. | USFF +0.250% | Weekly | MS | 07/23/25 | 1,163 | 65,647 | 73,560 | 18,537 | ||||||||
Builders FirstSource, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,504 | 155,959 | 222,305 | 72,580 | ||||||||
CAE, Inc. (Canada) | USFF +0.250% | Weekly | MS | 07/08/27 | 1,116 | 22,487 | 25,255 | 3,682 | ||||||||
Carlisle Cos., Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 948 | 223,122 | 214,314 | 46 | ||||||||
Carrier Global Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 6,226 | 242,447 | 284,839 | 53,755 | ||||||||
Caterpillar, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,817 | 662,540 | 644,642 | 9,247 | ||||||||
Chart Industries, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,438 | 554,502 | 556,525 | 23,612 | ||||||||
Comfort Systems USA, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 581 | 82,478 | 84,803 | 5,552 | ||||||||
Crane Holdings Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,687 | 187,124 | 191,475 | 12,513 | ||||||||
Cummins, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 214 | 41,643 | 51,120 | 12,592 | ||||||||
Curtiss-Wright Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 705 | 121,379 | 124,263 | 7,738 | ||||||||
Deere & Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 969 | 363,223 | 400,081 | 54,001 | ||||||||
Donaldson Co., Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,289 | 76,686 | 84,223 | 11,152 | ||||||||
Dover Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 363 | 46,703 | 55,154 | 11,779 | ||||||||
Eaton Corp. PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/10/28 | 981 | 166,236 | 168,085 | 8,522 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
EMCOR Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,022 | $150,145 | $166,167 | $ 22,041 | ||||||||
Encore Wire Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 3,205 | 366,504 | 593,983 | 243,567 | ||||||||
Enerpac Tool Group Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,925 | 73,223 | 74,588 | 4,200 | ||||||||
EnPro Industries, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 633 | 68,826 | 65,762 | (280) | ||||||||
Esab Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 64 | 3,748 | 3,780 | 219 | ||||||||
Fortive Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,932 | 168,574 | 199,874 | 38,225 | ||||||||
Fortune Brands Innovations, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 5,126 | 294,822 | 301,050 | 18,258 | ||||||||
General Dynamics Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 212 | 46,539 | 48,381 | 3,648 | ||||||||
General Electric Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 4,890 | 292,215 | 467,484 | 187,066 | ||||||||
GMS, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 574 | 31,611 | 33,229 | 2,842 | ||||||||
Griffon Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,294 | 120,088 | 105,441 | (9,818) | ||||||||
Hillman Solutions Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,283 | 35,337 | 36,063 | 2,096 | ||||||||
Honeywell International, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,437 | 283,448 | 274,639 | 3,611 | ||||||||
Howmet Aerospace, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 6,334 | 235,198 | 268,372 | 42,707 | ||||||||
Hubbell, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 483 | 97,412 | 117,519 | 25,854 | ||||||||
Huntington Ingalls Industries, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 22 | 4,552 | 4,554 | 173 | ||||||||
Illinois Tool Works, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,299 | 290,721 | 316,242 | 39,184 | ||||||||
Ingersoll Rand, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 6,290 | 356,025 | 365,952 | 23,196 | ||||||||
Janus International Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 290 | 2,918 | 2,859 | 49 | ||||||||
Kaman Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 189 | 4,218 | 4,321 | 276 | ||||||||
Lennox International, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 321 | 84,540 | 80,661 | (253) | ||||||||
Lockheed Martin Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 1,202 | 520,430 | 568,221 | 75,260 | ||||||||
Manitowoc Co., Inc. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 17 | 289 | 291 | 7 | ||||||||
Masco Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,785 | 187,053 | 188,190 | 9,835 | ||||||||
Mueller Industries, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 5,931 | 334,888 | 435,810 | 120,149 | ||||||||
Nordson Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 140 | 27,033 | 31,116 | 6,176 | ||||||||
nVent Electric PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/08/27 | 4,345 | 182,337 | 186,574 | 11,449 | ||||||||
Otis Worldwide Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,764 | 213,053 | 233,282 | 29,044 | ||||||||
Owens Corning | USFF +0.250% | Weekly | MS | 01/10/28 | 2,120 | 209,146 | 203,096 | 2,855 | ||||||||
PACCAR, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,083 | 141,641 | 152,476 | 20,693 | ||||||||
Pentair PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/08/27 | 1,169 | 46,831 | 64,611 | 20,414 | ||||||||
Quanta Services, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 1,343 | 198,534 | 223,798 | 34,384 | ||||||||
RBC Bearings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 559 | 129,272 | 130,096 | 5,761 | ||||||||
Regal Rexnord Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 709 | 98,506 | 99,778 | 5,305 | ||||||||
Rocket Lab USA, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 7,012 | 29,154 | 28,328 | 20 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
Shoals Technologies Group, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 8,200 | $ 180,782 | $ 186,878 | $ 12,805 | ||||||||
Snap-on, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 621 | 152,234 | 153,319 | 7,808 | ||||||||
Sterling Infrastructure, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 760 | 29,504 | 28,789 | 427 | ||||||||
Terex Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,647 | 234,397 | 224,822 | 176 | ||||||||
Textron, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 8,288 | 524,691 | 585,381 | 81,643 | ||||||||
Thermon Group Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 494 | 12,706 | 12,310 | 93 | ||||||||
Timken Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 771 | 64,065 | 63,006 | 1,610 | ||||||||
Titan International, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 76 | 800 | 796 | 21 | ||||||||
Trane Technologies PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/08/27 | 1,633 | 286,098 | 300,439 | 26,607 | ||||||||
TransDigm Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 408 | 298,694 | 300,716 | 13,648 | ||||||||
UFP Industries, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,937 | 150,464 | 153,933 | 10,739 | ||||||||
Valmont Industries, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 537 | 173,504 | 171,453 | 5,018 | ||||||||
Veritiv Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 2,516 | 291,055 | 340,012 | 62,961 | ||||||||
Wabash National Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,069 | 86,333 | 100,057 | 17,454 | ||||||||
Watsco, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 155 | 47,426 | 49,315 | 3,736 | ||||||||
Watts Water Technologies, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 809 | 137,925 | 136,171 | 3,701 | ||||||||
Westinghouse Air Brake Technologies Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 578 | 49,254 | 58,413 | 11,381 | ||||||||
WillScot Mobile Mini Holdings Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 5,972 | 276,326 | 279,967 | 14,397 | ||||||||
WW Grainger, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 939 | 465,969 | 646,793 | 203,542 | ||||||||
Xylem, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,477 | 363,098 | 364,042 | 15,877 | ||||||||
179,432 | 15,147,177 | 16,247,409 | 1,801,018 | |||||||||||||
Commercial & Professional Services | ||||||||||||||||
ACV Auctions, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 2,760 | 28,952 | 35,632 | 7,801 | ||||||||
Automatic Data Processing, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 2,329 | 511,955 | 518,505 | 33,592 | ||||||||
Brady Corp., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 66 | 3,487 | 3,546 | 189 | ||||||||
Broadridge Financial Solutions, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,579 | 228,576 | 231,434 | 13,981 | ||||||||
CACI International, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 103 | 29,575 | 30,517 | 2,087 | ||||||||
Cintas Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 414 | 181,900 | 191,550 | 17,481 | ||||||||
Clarivate PLC (Jersey) | USFF +0.250% | Weekly | MS | 01/10/28 | 8,943 | 83,984 | 83,975 | 3,255 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Commercial & Professional Services — (continued) | ||||||||||||||||
Clean Harbors, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,954 | $ 264,047 | $ 278,562 | $ 24,792 | ||||||||
Concentrix Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 362 | 43,610 | 44,001 | 2,083 | ||||||||
Copart, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 4,982 | 276,118 | 374,696 | 109,325 | ||||||||
Heidrick & Struggles International, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 26 | 777 | 789 | 37 | ||||||||
HireRight Holdings Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 28 | 296 | 297 | 6 | ||||||||
Insperity, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 757 | 86,919 | 92,013 | 8,853 | ||||||||
Korn Ferry | USFF +0.250% | Weekly | MS | 01/07/27 | 761 | 48,791 | 39,374 | (7,112) | ||||||||
Leidos Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,680 | 266,323 | 246,721 | (8,274) | ||||||||
Paychex, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 1,907 | 216,240 | 218,523 | 13,722 | ||||||||
Republic Services, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,541 | 200,105 | 208,374 | 16,811 | ||||||||
Ritchie Bros Auctioneers, Inc. (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 813 | 43,564 | 45,790 | 3,911 | ||||||||
Robert Half International, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 2,306 | 181,899 | 185,794 | 15,048 | ||||||||
Rollins, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 9,861 | 367,325 | 370,083 | 18,157 | ||||||||
Science Applications International Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 943 | 98,073 | 101,335 | 7,133 | ||||||||
Sterling Check Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 15 | 165 | 167 | 2 | ||||||||
Tetra Tech, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 142 | 18,066 | 20,861 | 4,621 | ||||||||
Thomson Reuters Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/08/27 | 1,422 | 158,023 | 185,031 | 34,088 | ||||||||
TransUnion | USFF +0.250% | Weekly | MS | 01/10/28 | 580 | 33,813 | 36,041 | 3,539 | ||||||||
Verisk Analytics, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,347 | 230,945 | 258,435 | 37,498 | ||||||||
Waste Management, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 807 | 118,367 | 131,678 | 19,071 | ||||||||
49,428 | 3,721,895 | 3,933,724 | 381,697 | |||||||||||||
Consumer Discretionary Distribution & Retail | ||||||||||||||||
Amazon.com, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 12,160 | 1,212,796 | 1,256,006 | 90,437 | ||||||||
Arhaus, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,168 | 27,681 | 26,263 | (347) | ||||||||
AutoZone, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 8 | 14,250 | 19,665 | 5,964 | ||||||||
Bath & Body Works, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 8,896 | 255,822 | 325,416 | 84,577 | ||||||||
Best Buy Co., Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 167 | 11,799 | 13,071 | 2,073 | ||||||||
Buckle, Inc. (The) | USFF +0.250% | Weekly | MS | 01/07/27 | 4,205 | 143,647 | 150,076 | 21,944 | ||||||||
Burlington Stores, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 902 | 189,216 | 182,294 | 441 | ||||||||
CarMax, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,831 | 248,095 | 246,257 | 7,818 | ||||||||
Chico's FAS, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,647 | 14,716 | 14,559 | 409 | ||||||||
Dillard's, Inc., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 62 | 12,794 | 19,076 | 7,741 | ||||||||
eBay, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 5,073 | 215,558 | 225,089 | 20,744 | ||||||||
Etsy, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,991 | 291,631 | 332,988 | 55,091 | ||||||||
Genuine Parts Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 855 | 140,343 | 143,050 | 9,467 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Discretionary Distribution & Retail — (continued) | ||||||||||||||||
Group 1 Automotive, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 278 | $ 50,737 | $ 62,945 | $ 14,512 | ||||||||
Home Depot, Inc. (The) | USFF +0.250% | Weekly | MS | 01/07/27 | 636 | 180,945 | 187,696 | 16,541 | ||||||||
LKQ Corp. | USFF +0.250% | Weekly | MS | 07/23/25 | 3,995 | 193,644 | 226,756 | 45,533 | ||||||||
Lowe's Cos., Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 2,627 | 492,787 | 525,321 | 56,179 | ||||||||
Monro, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 6 | 296 | 297 | 6 | ||||||||
Murphy USA, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 274 | 62,486 | 70,706 | 11,347 | ||||||||
ODP Corp. (The) | USFF +0.250% | Weekly | MS | 01/07/27 | 3,035 | 109,569 | 136,514 | 31,206 | ||||||||
O'Reilly Automotive, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 155 | 125,541 | 131,592 | 10,933 | ||||||||
Overstock.com, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,092 | 58,979 | 62,675 | 5,942 | ||||||||
Pool Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 74 | 24,182 | 25,341 | 2,094 | ||||||||
Ross Stores, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 4,510 | 354,989 | 478,646 | 142,258 | ||||||||
TJX Cos., Inc. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 1,666 | 127,603 | 130,548 | 7,908 | ||||||||
Ulta Beauty, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 504 | 199,109 | 275,018 | 89,404 | ||||||||
Urban Outfitters, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 9,211 | 237,590 | 255,329 | 26,649 | ||||||||
Warby Parker, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 2,788 | 42,242 | 29,525 | (12,532) | ||||||||
77,816 | 5,039,047 | 5,552,719 | 754,339 | |||||||||||||
Consumer Durables & Apparel | ||||||||||||||||
Brunswick Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 609 | 47,949 | 49,938 | 3,850 | ||||||||
Capri Holdings Ltd. (British Virgin Islands) | USFF +0.250% | Weekly | MS | 01/10/28 | 2,051 | 101,559 | 96,397 | (4,454) | ||||||||
Cavco Industries, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 563 | 124,578 | 178,888 | 60,137 | ||||||||
Cricut, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 59 | 575 | 602 | 43 | ||||||||
Crocs, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 767 | 77,236 | 96,979 | 22,647 | ||||||||
DR Horton, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 2,043 | 156,247 | 199,581 | 50,464 | ||||||||
Garmin Ltd. (Switzerland) | USFF +0.250% | Weekly | MS | 07/08/27 | 1,394 | 125,330 | 140,682 | 22,169 | ||||||||
GoPro, Inc., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 6,959 | 47,549 | 35,004 | (10,720) | ||||||||
Hasbro, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 8,015 | 417,658 | 430,325 | 27,581 | ||||||||
Installed Building Products, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 461 | 50,825 | 52,568 | 3,958 | ||||||||
Kontoor Brands, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 52 | 2,489 | 2,516 | 118 | ||||||||
Leggett & Platt, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 993 | 32,452 | 31,657 | 1,045 | ||||||||
Malibu Boats, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 673 | 34,692 | 37,991 | 4,644 | ||||||||
Mohawk Industries, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 805 | 87,106 | 80,677 | (3,043) | ||||||||
NIKE, Inc., Class B | USFF +0.250% | Weekly | MS | 01/07/27 | 4,827 | 512,392 | 591,983 | 102,987 | ||||||||
NVR, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 27 | 112,524 | 150,449 | 42,301 | ||||||||
Peloton Interactive, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 12,047 | 188,238 | 136,613 | (44,301) | ||||||||
Polaris, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,368 | 149,644 | 151,342 | 7,836 | ||||||||
PulteGroup, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,065 | 170,608 | 178,628 | 15,063 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Durables & Apparel — (continued) | ||||||||||||||||
Skyline Champion Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 1,479 | $ 75,085 | $ 111,265 | $ 39,098 | ||||||||
Sonos, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,487 | 28,567 | 29,175 | 1,714 | ||||||||
Steven Madden Ltd. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,853 | 96,244 | 102,708 | 10,697 | ||||||||
Tapestry, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 17,048 | 580,773 | 734,939 | 188,005 | ||||||||
Vista Outdoor, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,743 | 74,683 | 76,009 | 4,004 | ||||||||
Whirlpool Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 534 | 71,876 | 70,499 | 2,557 | ||||||||
72,922 | 3,366,879 | 3,767,415 | 548,400 | |||||||||||||
Consumer Services | ||||||||||||||||
Adtalem Global Education, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,930 | 153,142 | 151,777 | 4,593 | ||||||||
Bloomin' Brands, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,021 | 33,432 | 51,839 | 20,753 | ||||||||
Booking Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 140 | 262,430 | 371,337 | 122,516 | ||||||||
Bright Horizons Family Solutions, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 325 | 18,505 | 25,022 | 7,304 | ||||||||
Caesars Entertainment, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 18,790 | 855,775 | 917,140 | 91,741 | ||||||||
Darden Restaurants, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,054 | 162,641 | 163,539 | 7,358 | ||||||||
Denny's Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,462 | 28,819 | 27,476 | (227) | ||||||||
Duolingo, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 72 | 9,908 | 10,266 | 738 | ||||||||
Expedia Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,040 | 202,075 | 197,941 | 3,729 | ||||||||
Grand Canyon Education, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 386 | 43,684 | 43,965 | 1,944 | ||||||||
Hilton Worldwide Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 348 | 45,661 | 49,023 | 5,186 | ||||||||
Marriott International, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 1,438 | 247,000 | 238,766 | 1,433 | ||||||||
McDonald's Corp. | USFF +0.250% | Weekly | MS | 07/23/25 | 1,649 | 403,228 | 461,077 | 91,207 | ||||||||
MGM Resorts International | USFF +0.250% | Weekly | MS | 01/07/27 | 7,531 | 227,060 | 334,527 | 117,467 | ||||||||
Monarch Casino & Resort, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 290 | 22,006 | 21,504 | 1,198 | ||||||||
Perdoceo Education Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 5 | 65 | 67 | (2) | ||||||||
Rover Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 216 | 912 | 978 | 96 | ||||||||
Six Flags Entertainment Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 841 | 20,936 | 22,463 | 2,336 | ||||||||
Starbucks Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 6,020 | 495,268 | 626,863 | 158,821 | ||||||||
Strategic Education, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 297 | 18,011 | 26,680 | 10,451 | ||||||||
Wendy's Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 3,739 | 78,705 | 81,435 | 5,789 | ||||||||
Wingstop, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 305 | 42,384 | 55,992 | 19,297 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Services — (continued) | ||||||||||||||||
Wyndham Hotels & Resorts, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 6 | $ 402 | $ 407 | $ 14 | ||||||||
Yum! Brands, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,558 | 578,270 | 602,021 | 48,352 | ||||||||
58,463 | 3,950,319 | 4,482,105 | 722,094 | |||||||||||||
Consumer Staples Distribution & Retail | ||||||||||||||||
BJ's Wholesale Club Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 674 | 50,900 | 51,271 | 2,347 | ||||||||
Casey's General Stores, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,104 | 254,812 | 238,972 | (5,603) | ||||||||
Costco Wholesale Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,552 | 741,240 | 771,142 | 61,703 | ||||||||
Dollar Tree, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 906 | 125,627 | 130,056 | 9,473 | ||||||||
Kroger Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 801 | 39,296 | 39,545 | 1,773 | ||||||||
Performance Food Group Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 547 | 32,165 | 33,006 | 2,169 | ||||||||
Sprouts Farmers Market, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,001 | 30,723 | 35,065 | 6,247 | ||||||||
Target Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 272 | 44,439 | 45,051 | 5,170 | ||||||||
US Foods Holding Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 10,764 | 377,324 | 397,622 | 34,869 | ||||||||
Walgreens Boots Alliance, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 5,630 | 208,729 | 194,685 | 9,787 | ||||||||
Walmart, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 6,138 | 803,981 | 905,048 | 139,949 | ||||||||
29,389 | 2,709,236 | 2,841,463 | 267,884 | |||||||||||||
Energy | ||||||||||||||||
Antero Resources Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 18,582 | 525,690 | 429,058 | (76,165) | ||||||||
APA Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 15,750 | 572,093 | 567,945 | 22,120 | ||||||||
Arch Resources, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,305 | 184,885 | 171,555 | 2,156 | ||||||||
Baker Hughes Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 7,279 | 176,727 | 210,072 | 43,818 | ||||||||
California Resources Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 876 | 35,190 | 33,726 | 148 | ||||||||
Canadian Natural Resources Ltd. (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 699 | 35,004 | 38,690 | 5,211 | ||||||||
Cheniere Energy, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,851 | 254,246 | 291,718 | 51,327 | ||||||||
Chevron Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 5,659 | 796,339 | 923,322 | 184,936 | ||||||||
Comstock Resources, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 4,781 | 44,883 | 51,587 | 8,632 | ||||||||
ConocoPhillips | USFF +0.250% | Weekly | MS | 07/08/27 | 4,557 | 470,260 | 452,100 | 7,617 | ||||||||
CONSOL Energy, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,382 | 194,943 | 197,069 | 10,641 | ||||||||
Crescent Point Energy Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/08/27 | 28,474 | 190,861 | 201,026 | 18,890 | ||||||||
Denbury, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 358 | 22,589 | 31,372 | 9,656 | ||||||||
DHT Holdings, Inc. (Marshall Islands) | USFF +0.250% | Weekly | MS | 07/08/27 | 38,083 | 357,231 | 411,677 | 78,556 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Energy — (continued) | ||||||||||||||||
Dorian LPG Ltd. (Marshall Islands) | USFF +0.250% | Weekly | MS | 01/10/28 | 3,281 | $ 70,365 | $ 65,423 | $ (1,533) | ||||||||
Enbridge, Inc. (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 5,388 | 205,473 | 205,552 | 7,598 | ||||||||
Enerplus Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/08/27 | 10,050 | 157,534 | 144,821 | (6,402) | ||||||||
EOG Resources, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 1,810 | 208,984 | 207,480 | 11,249 | ||||||||
EQT Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 6,075 | 204,808 | 193,853 | (2,016) | ||||||||
Equitrans Midstream Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 12,858 | 85,215 | 74,319 | (6,535) | ||||||||
Expro Group Holdings N. V. (Netherlands) | USFF +0.250% | Weekly | MS | 01/10/28 | 170 | 3,183 | 3,121 | 56 | ||||||||
Exxon Mobil Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 8,710 | 654,802 | 955,139 | 368,648 | ||||||||
FLEX LNG Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 07/08/27 | 2,093 | 64,702 | 70,283 | 11,292 | ||||||||
Gulfport Energy Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 329 | 25,281 | 26,320 | 2,017 | ||||||||
Helmerich & Payne, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 3,526 | 121,413 | 126,055 | 11,356 | ||||||||
Hess Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,364 | 193,271 | 180,512 | (5,429) | ||||||||
HF Sinclair Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,144 | 157,389 | 152,107 | 1,310 | ||||||||
Imperial Oil Ltd. (Canada) | USFF +0.250% | Weekly | MS | 01/05/26 | 1,001 | 36,514 | 50,861 | 17,932 | ||||||||
Kinder Morgan, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 20,601 | 360,715 | 360,724 | 23,205 | ||||||||
Kosmos Energy Ltd. | USFF +0.250% | Weekly | MS | 01/10/28 | 22,886 | 165,989 | 170,272 | 10,571 | ||||||||
Marathon Petroleum Corp. | USFF +0.250% | Weekly | MS | 07/23/25 | 3,033 | 257,288 | 408,939 | 179,746 | ||||||||
Murphy Oil Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 4,948 | 174,009 | 182,977 | 17,673 | ||||||||
Nabors Industries Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 07/08/27 | 1,377 | 200,646 | 167,870 | (24,968) | ||||||||
NexTier Oilfield Solutions, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 10,802 | 99,931 | 85,876 | (10,169) | ||||||||
Nordic American Tankers Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 01/10/28 | 916 | 3,620 | 3,627 | 142 | ||||||||
Occidental Petroleum Corp. | USFF +0.250% | Weekly | MS | 07/23/25 | 11,961 | 453,396 | 746,725 | 318,319 | ||||||||
Patterson-UTI Energy, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,603 | 36,031 | 30,455 | (4,803) | ||||||||
Pembina Pipeline Corp. (Canada) | USFF +0.250% | Weekly | MS | 01/07/27 | 3,464 | 113,122 | 112,234 | 4,827 | ||||||||
Phillips 66 | USFF +0.250% | Weekly | MS | 01/07/27 | 133 | 12,793 | 13,484 | 1,186 | ||||||||
Range Resources Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 13,821 | 358,773 | 365,842 | 22,142 | ||||||||
RPC, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,315 | 30,668 | 25,492 | (3,926) | ||||||||
Southwestern Energy Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 80,609 | 421,362 | 403,045 | (1,913) | ||||||||
TechnipFMC PLC (United Kingdom) | USFF +0.250% | Weekly | MS | 07/08/27 | 5,447 | 42,092 | 74,352 | 33,892 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Energy — (continued) | ||||||||||||||||
US Silica Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 12,615 | $ 165,310 | $ 150,623 | $ (8,267) | ||||||||
Valaris Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 01/07/27 | 205 | 8,418 | 13,337 | 5,241 | ||||||||
Valero Energy Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 406 | 42,084 | 56,678 | 18,232 | ||||||||
W&T Offshore, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 6,342 | 38,012 | 32,217 | (4,320) | ||||||||
Weatherford International PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/07/27 | 2,575 | 81,102 | 152,826 | 74,761 | ||||||||
399,494 | 9,115,236 | 10,024,358 | 1,428,657 | |||||||||||||
Financial Services | ||||||||||||||||
Affiliated Managers Group, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 467 | 54,897 | 66,510 | 14,431 | ||||||||
Berkshire Hathaway, Inc., Class B | USFF +0.250% | Weekly | MS | 07/23/25 | 12,870 | 2,952,387 | 3,973,870 | 1,136,459 | ||||||||
BlackRock, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 314 | 225,988 | 210,104 | (5,719) | ||||||||
Cboe Global Markets, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 708 | 87,376 | 95,042 | 11,496 | ||||||||
CME Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,852 | 335,389 | 354,695 | 36,339 | ||||||||
Franklin Resources, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 14,068 | 340,600 | 378,992 | 65,156 | ||||||||
Intercontinental Exchange, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 7,935 | 768,629 | 827,541 | 100,743 | ||||||||
Invesco Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 01/10/28 | 1,814 | 31,194 | 29,750 | (236) | ||||||||
Janus Henderson Group PLC (Jersey) | USFF +0.250% | Weekly | MS | 01/10/28 | 2,495 | 68,919 | 66,467 | 255 | ||||||||
MarketAxess Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 311 | 85,477 | 121,691 | 39,728 | ||||||||
Nasdaq, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 10,510 | 509,457 | 574,582 | 98,583 | ||||||||
Open Lending Corp., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 8,332 | 71,058 | 58,657 | (10,062) | ||||||||
T Rowe Price Group, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 4,749 | 557,706 | 536,162 | 26,582 | ||||||||
66,425 | 6,089,077 | 7,294,063 | 1,513,755 | |||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||
Altria Group, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 12,010 | 560,439 | 535,886 | 31,957 | ||||||||
Archer-Daniels-Midland Co. | USFF +0.250% | Weekly | MS | 01/05/26 | 780 | 56,963 | 62,135 | 13,261 | ||||||||
Bunge Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 01/10/28 | 1,009 | 96,828 | 96,380 | 3,316 | ||||||||
Cal-Maine Foods, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,430 | 192,204 | 208,853 | 29,305 | ||||||||
Campbell Soup Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 6,351 | 338,450 | 349,178 | 24,550 | ||||||||
Celsius Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,180 | 367,866 | 388,489 | 34,944 | ||||||||
Coca-Cola Co. (The) | USFF +0.250% | Weekly | MS | 01/05/26 | 10,154 | 574,840 | 629,853 | 93,116 | ||||||||
Constellation Brands, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 874 | 189,211 | 197,428 | 15,580 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Food, Beverage & Tobacco — (continued) | ||||||||||||||||
Dole PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/10/28 | 566 | $ 6,602 | $ 6,645 | $ 335 | ||||||||
Duckhorn Portfolio, Inc. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 888 | 13,841 | 14,119 | 810 | ||||||||
Flowers Foods, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,524 | 42,925 | 41,773 | 953 | ||||||||
General Mills, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 3,534 | 244,558 | 302,016 | 75,416 | ||||||||
J M Smucker Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 227 | 34,971 | 35,723 | 2,108 | ||||||||
John B Sanfilippo & Son, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 9 | 871 | 872 | 29 | ||||||||
Kellogg Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 5,639 | 392,092 | 377,587 | 5,288 | ||||||||
Keurig Dr Pepper, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 20,392 | 735,180 | 719,430 | 19,877 | ||||||||
Kraft Heinz Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 6,488 | 250,006 | 250,891 | 11,841 | ||||||||
Lamb Weston Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,654 | 131,585 | 172,876 | 47,700 | ||||||||
MGP Ingredients, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 536 | 53,835 | 51,842 | 160 | ||||||||
Molson Coors Beverage Co., Class B | USFF +0.250% | Weekly | MS | 07/08/27 | 1,133 | 58,765 | 58,553 | 2,262 | ||||||||
PepsiCo, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 2,312 | 379,097 | 421,478 | 72,183 | ||||||||
Philip Morris International, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 2,823 | 250,446 | 274,537 | 55,358 | ||||||||
Pilgrim's Pride Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,739 | 110,402 | 109,850 | 3,627 | ||||||||
Primo Water Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/08/27 | 2,478 | 32,980 | 38,037 | 6,643 | ||||||||
TreeHouse Foods, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,658 | 113,960 | 134,043 | 24,515 | ||||||||
Vector Group Ltd. | USFF +0.250% | Weekly | MS | 01/10/28 | 19 | 226 | 228 | 4 | ||||||||
96,407 | 5,229,143 | 5,478,702 | 575,138 | |||||||||||||
Health Care Equipment & Services | ||||||||||||||||
Abbott Laboratories | USFF +0.250% | Weekly | MS | 01/10/28 | 5,024 | 502,277 | 508,730 | 26,961 | ||||||||
Addus HomeCare Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 121 | 12,171 | 12,918 | 1,215 | ||||||||
Align Technology, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 136 | 42,120 | 45,443 | 4,957 | ||||||||
Amedisys, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 821 | 60,287 | 60,385 | 2,439 | ||||||||
Apollo Medical Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 19 | 692 | 693 | 21 | ||||||||
Avanos Medical, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 1,503 | 42,130 | 44,699 | 4,153 | ||||||||
Axonics, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,081 | 197,419 | 168,099 | (21,637) | ||||||||
Cardinal Health, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,042 | 273,941 | 305,171 | 47,381 | ||||||||
Centene Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 9,622 | 724,062 | 608,207 | (87,663) | ||||||||
Cigna Corp. (The), | USFF +0.250% | Weekly | MS | 01/07/27 | 867 | 243,713 | 221,545 | (12,391) | ||||||||
Community Health Systems, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 317 | 1,545 | 1,553 | 62 | ||||||||
Cooper Cos., Inc. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 361 | 123,165 | 134,783 | 16,411 | ||||||||
Cross Country Healthcare, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,701 | 110,659 | 82,606 | (23,750) | ||||||||
CVS Health Corp. | USFF +0.250% | Weekly | MS | 07/23/25 | 9,529 | 762,231 | 708,100 | (17,725) |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Health Care Equipment & Services — (continued) | ||||||||||||||||
DaVita, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 789 | $ 57,625 | $ 63,996 | $ 8,609 | ||||||||
DENTSPLY SIRONA, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,224 | 66,606 | 87,359 | 23,997 | ||||||||
Dexcom, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,660 | 248,123 | 309,039 | 70,572 | ||||||||
Edwards Lifesciences Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 7,017 | 505,339 | 580,516 | 95,564 | ||||||||
Elevance Health, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 345 | 159,148 | 158,634 | 5,979 | ||||||||
Embecta Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 21 | 592 | 591 | 15 | ||||||||
Enovis Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 5,431 | 275,016 | 290,504 | 26,044 | ||||||||
Ensign Group, Inc. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 354 | 32,005 | 33,821 | 3,119 | ||||||||
Fulgent Genetics, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 4,231 | 218,771 | 132,092 | (78,193) | ||||||||
GE HealthCare Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 7,369 | 480,241 | 604,479 | 142,935 | ||||||||
Haemonetics Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 343 | 25,869 | 28,383 | 3,664 | ||||||||
HCA Healthcare, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,455 | 285,060 | 383,654 | 111,865 | ||||||||
Hims & Hers Health, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 7,182 | 64,263 | 71,245 | 9,479 | ||||||||
Hologic, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 3,740 | 276,811 | 301,818 | 35,781 | ||||||||
Humana, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,130 | 568,692 | 548,570 | 2,948 | ||||||||
IDEXX Laboratories, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 610 | 208,779 | 305,049 | 104,394 | ||||||||
Inspire Medical Systems, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 657 | 142,371 | 153,784 | 16,935 | ||||||||
Insulet Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 430 | 122,855 | 137,153 | 23,423 | ||||||||
Integra LifeSciences Holdings Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,092 | 59,920 | 62,692 | 5,086 | ||||||||
iRhythm Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,072 | 126,298 | 132,960 | 11,575 | ||||||||
Laboratory Corp. of America Holdings | USFF +0.250% | Weekly | MS | 01/10/28 | 78 | 18,955 | 17,895 | (296) | ||||||||
Lantheus Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 4,954 | 267,420 | 409,002 | 153,723 | ||||||||
McKesson Corp. | USFF +0.250% | Weekly | MS | 07/23/25 | 226 | 60,403 | 80,467 | 41,925 | ||||||||
Medtronic PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/08/27 | 7,093 | 567,082 | 571,838 | 33,738 | ||||||||
Molina Healthcare, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,400 | 400,271 | 374,486 | (10,203) | ||||||||
NextGen Healthcare, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,118 | 40,690 | 36,874 | (2,238) | ||||||||
Shockwave Medical, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,221 | 232,977 | 264,749 | 40,956 | ||||||||
Stryker Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 162 | 44,800 | 46,246 | 3,530 | ||||||||
TransMedics Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,337 | 281,546 | 328,441 | 57,853 | ||||||||
UFP Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 185 | 22,491 | 24,020 | 2,398 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Health Care Equipment & Services — (continued) | ||||||||||||||||
UnitedHealth Group, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 1,006 | $ 470,142 | $ 475,426 | $ 31,834 | ||||||||
Universal Health Services, Inc., Class B | USFF +0.250% | Weekly | MS | 01/10/28 | 326 | 39,215 | 41,435 | 3,740 | ||||||||
Veradigm, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 17,961 | 280,818 | 234,391 | (35,497) | ||||||||
Zimmer Biomet Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 4,575 | 565,852 | 591,090 | 48,563 | ||||||||
132,938 | 10,313,458 | 10,785,631 | 934,251 | |||||||||||||
Household & Personal Products | ||||||||||||||||
Church & Dwight Co., Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 649 | 55,301 | 57,378 | 4,224 | ||||||||
elf Beauty, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 7,701 | 374,943 | 634,177 | 275,771 | ||||||||
Kimberly-Clark Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 5,740 | 739,314 | 770,423 | 74,135 | ||||||||
Olaplex Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 6,397 | 32,088 | 27,315 | (3,922) | ||||||||
Procter & Gamble Co. (The) | USFF +0.250% | Weekly | MS | 01/05/26 | 4,842 | 648,154 | 719,957 | 109,921 | ||||||||
Spectrum Brands Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 969 | 61,206 | 64,167 | 5,891 | ||||||||
26,298 | 1,911,006 | 2,273,417 | 466,020 | |||||||||||||
Materials | ||||||||||||||||
Alamos Gold, Inc., Class A (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 9,988 | 102,286 | 122,153 | 24,519 | ||||||||
Albemarle Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,496 | 551,642 | 551,716 | 20,013 | ||||||||
Alpha Metallurgical Resources, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,411 | 178,233 | 220,116 | 57,587 | ||||||||
American Vanguard Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 13 | 284 | 284 | 5 | ||||||||
ATI, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 5,801 | 227,970 | 228,907 | 9,809 | ||||||||
Avient Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 170 | 6,917 | 6,997 | 343 | ||||||||
Ball Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,601 | 137,212 | 143,341 | 12,194 | ||||||||
CF Industries Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 1,772 | 117,356 | 128,452 | 20,396 | ||||||||
Commercial Metals Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,640 | 240,817 | 226,896 | (3,806) | ||||||||
Dow, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 5,484 | 303,840 | 300,633 | 12,378 | ||||||||
DuPont de Nemours, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 18,015 | 1,294,712 | 1,292,937 | 53,914 | ||||||||
Eastman Chemical Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,816 | 135,786 | 153,161 | 25,199 | ||||||||
Ecolab, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,792 | 285,179 | 296,630 | 24,267 | ||||||||
FMC Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,314 | 167,832 | 160,479 | (124) | ||||||||
Franco-Nevada Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/08/27 | 1,687 | 207,701 | 245,965 | 49,705 | ||||||||
Freeport-McMoRan, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 5,860 | 191,934 | 239,733 | 58,191 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Materials — (continued) | ||||||||||||||||
Graphic Packaging Holding Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 9,118 | $ 213,657 | $ 232,418 | $ 28,036 | ||||||||
Greif, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 744 | 49,994 | 47,147 | (583) | ||||||||
Hudbay Minerals, Inc. (Canada) | USFF +0.250% | Weekly | MS | 07/08/27 | 18,038 | 86,594 | 94,700 | 11,359 | ||||||||
Innospec, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 87 | 8,801 | 8,932 | 504 | ||||||||
International Paper Co. | USFF +0.250% | Weekly | MS | 07/23/25 | 7,485 | 294,565 | 269,909 | (781) | ||||||||
Linde PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/05/26 | 1,793 | 575,335 | 637,304 | 86,443 | ||||||||
Livent Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 6,216 | 134,757 | 135,012 | 4,731 | ||||||||
LSB Industries, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,707 | 20,853 | 17,633 | (2,414) | ||||||||
Martin Marietta Materials, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 738 | 254,636 | 262,034 | 18,272 | ||||||||
Mosaic Co. (The) | USFF +0.250% | Weekly | MS | 01/07/27 | 7,348 | 335,722 | 337,126 | 17,227 | ||||||||
Newmont Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 6,060 | 266,106 | 297,061 | 44,318 | ||||||||
Nucor Corp. | USFF +0.250% | Weekly | MS | 07/23/25 | 1,485 | 192,088 | 229,388 | 49,557 | ||||||||
Nutrien Ltd. (Canada) | USFF +0.250% | Weekly | MS | 01/07/27 | 612 | 45,412 | 45,196 | 1,888 | ||||||||
Olin Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 3,233 | 148,402 | 179,432 | 39,337 | ||||||||
Packaging Corp. of America | USFF +0.250% | Weekly | MS | 07/08/27 | 1,486 | 195,575 | 206,301 | 21,058 | ||||||||
Pactiv Evergreen, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 110 | 927 | 880 | (13) | ||||||||
Perimeter Solutions SA (Luxembourg) | USFF +0.250% | Weekly | MS | 07/08/27 | 7,482 | 68,763 | 60,455 | (5,780) | ||||||||
Reliance Steel & Aluminum Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 319 | 78,230 | 81,900 | 7,153 | ||||||||
Sealed Air Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,970 | 144,186 | 136,353 | (1,835) | ||||||||
Silgan Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,068 | 155,893 | 164,660 | 15,429 | ||||||||
SilverCrest Metals, Inc. (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 63 | 448 | 450 | 13 | ||||||||
Steel Dynamics, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,774 | 301,149 | 313,628 | 25,433 | ||||||||
Sylvamo Corp. | USFF +0.250% | Weekly | MS | 07/23/25 | 919 | 32,210 | 42,513 | 11,981 | ||||||||
Teck Resources Ltd., Class B (Canada) | USFF +0.250% | Weekly | MS | 01/07/27 | 1,697 | 45,004 | 61,941 | 19,641 | ||||||||
Warrior Met Coal, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,138 | 69,846 | 78,486 | 14,966 | ||||||||
Westlake Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 506 | 58,035 | 58,686 | 2,814 | ||||||||
Wheaton Precious Metals Corp. (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 8,550 | 395,441 | 411,768 | 32,241 | ||||||||
161,606 | 8,322,330 | 8,729,713 | 805,585 | |||||||||||||
Media & Entertainment | ||||||||||||||||
Activision Blizzard, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 4,497 | 321,029 | 384,898 | 77,607 | ||||||||
Alphabet, Inc., Class A | USFF +0.250% | Weekly | MS | 01/05/26 | 21,714 | 2,139,386 | 2,252,393 | 196,320 | ||||||||
Bumble, Inc., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 12,425 | 262,641 | 242,909 | (9,510) | ||||||||
Cable One, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 188 | 126,217 | 131,976 | 10,668 | ||||||||
Charter Communications, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 989 | 320,094 | 353,676 | 46,042 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Media & Entertainment — (continued) | ||||||||||||||||
Cinemark Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 15,118 | $ 141,296 | $ 223,595 | $ 90,162 | ||||||||
Comcast Corp., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 13,669 | 442,134 | 518,192 | 95,990 | ||||||||
Fox Corp., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 6,793 | 212,083 | 231,302 | 30,387 | ||||||||
Interpublic Group of Cos., Inc. (The) | USFF +0.250% | Weekly | MS | 07/23/25 | 4,943 | 161,936 | 184,077 | 32,689 | ||||||||
Match Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 9,031 | 382,165 | 346,700 | (20,838) | ||||||||
Meta Platforms, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 12,231 | 1,449,056 | 2,592,238 | 1,200,392 | ||||||||
Netflix, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 4,270 | 893,440 | 1,475,200 | 616,563 | ||||||||
New York Times Co. (The), Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 440 | 16,691 | 17,107 | 1,115 | ||||||||
News Corp., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 6,160 | 98,492 | 106,383 | 12,423 | ||||||||
Nexstar Media Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 165 | 28,085 | 28,489 | 1,725 | ||||||||
Omnicom Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,927 | 355,416 | 370,473 | 31,012 | ||||||||
Paramount Global, Class B | USFF +0.250% | Weekly | MS | 01/10/28 | 2,663 | 54,754 | 59,412 | 6,905 | ||||||||
Shutterstock, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,319 | 66,377 | 95,759 | 32,673 | ||||||||
Sinclair Broadcast Group, Inc., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 4,616 | 85,415 | 79,211 | (668) | ||||||||
Sirius XM Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 57,127 | 317,211 | 226,794 | (86,541) | ||||||||
Stagwell, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 432 | 2,950 | 3,205 | 363 | ||||||||
Trade Desk, Inc. (The), Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 4,721 | 259,730 | 287,556 | 40,487 | ||||||||
TripAdvisor, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 12,792 | 285,090 | 254,049 | (19,944) | ||||||||
Walt Disney Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 1,486 | 139,111 | 148,793 | 15,409 | ||||||||
ZipRecruiter, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 5,066 | 83,012 | 80,752 | 950 | ||||||||
ZoomInfo Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 5,640 | 148,868 | 139,364 | (6,440) | ||||||||
212,422 | 8,792,679 | 10,834,503 | 2,395,941 | |||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||
AbCellera Biologics, Inc. (Canada) | USFF +0.250% | Weekly | MS | 07/08/27 | 19,445 | 186,117 | 146,615 | (32,259) | ||||||||
ADMA Biologics, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 257 | 856 | 851 | 22 | ||||||||
Agilent Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,847 | 265,822 | 255,514 | 38 | ||||||||
Ardelyx, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 8,648 | 38,964 | 41,424 | 3,971 | ||||||||
Aurinia Pharmaceuticals, Inc. (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 8,844 | 85,484 | 96,930 | 14,769 | ||||||||
Biogen, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,335 | 364,224 | 371,170 | 20,819 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||||||||
Bristol-Myers Squibb Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 5,395 | $ 361,819 | $ 373,927 | $ 35,741 | ||||||||
Catalyst Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 11,879 | 188,205 | 196,954 | 16,072 | ||||||||
Charles River Laboratories International, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 350 | 68,500 | 70,637 | 4,798 | ||||||||
Collegium Pharmaceutical, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 971 | 23,600 | 23,294 | 607 | ||||||||
Dynavax Technologies Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 11,436 | 124,068 | 112,187 | (8,002) | ||||||||
FibroGen, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 50 | 932 | 933 | (14) | ||||||||
Gilead Sciences, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 3,831 | 301,637 | 317,858 | 30,800 | ||||||||
Harmony Biosciences Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,549 | 116,883 | 83,225 | (29,112) | ||||||||
Illumina, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,911 | 373,205 | 444,403 | 85,726 | ||||||||
Incyte Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 807 | 56,866 | 58,322 | 3,664 | ||||||||
IQVIA Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,091 | 201,622 | 216,989 | 23,213 | ||||||||
Ironwood Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 5,202 | 56,452 | 54,725 | 465 | ||||||||
Jazz Pharmaceuticals PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/08/27 | 1,879 | 256,104 | 274,954 | 28,765 | ||||||||
Johnson & Johnson | USFF +0.250% | Weekly | MS | 07/23/25 | 6,636 | 1,088,781 | 1,028,580 | 12,510 | ||||||||
Ligand Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 242 | 17,207 | 17,802 | 1,258 | ||||||||
Maravai LifeSciences Holdings, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 6,408 | 106,733 | 89,776 | (12,807) | ||||||||
Medpace Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 639 | 128,520 | 120,164 | (3,785) | ||||||||
Merck & Co., Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 9,930 | 903,637 | 1,056,453 | 217,178 | ||||||||
Mettler-Toledo International, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 296 | 335,094 | 452,942 | 130,892 | ||||||||
Moderna, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 5,412 | 660,588 | 831,175 | 196,307 | ||||||||
Organon & Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,882 | 98,168 | 91,305 | (2,170) | ||||||||
PerkinElmer, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 2,493 | 330,655 | 332,217 | 9,540 | ||||||||
Pfizer, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 30,244 | 1,310,739 | 1,233,955 | 12,882 | ||||||||
Provention Bio, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 6,584 | 96,827 | 158,674 | 65,612 | ||||||||
QIAGEN N. V. (Netherlands) | USFF +0.250% | Weekly | MS | 07/08/27 | 1,036 | 47,679 | 47,583 | 1,682 | ||||||||
TG Therapeutics, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 16,205 | 135,174 | 243,723 | 115,289 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||||||||
Theravance Biopharma, Inc. (Cayman Islands) | USFF +0.250% | Weekly | MS | 01/10/28 | 669 | $ 7,016 | $ 7,259 | $ 510 | ||||||||
United Therapeutics Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 796 | 182,372 | 178,272 | 2,997 | ||||||||
Viatris, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 37,917 | 375,883 | 364,762 | 16,325 | ||||||||
West Pharmaceutical Services, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,319 | 363,128 | 456,994 | 108,251 | ||||||||
Zoetis, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 972 | 159,552 | 161,780 | 8,435 | ||||||||
219,407 | 9,419,113 | 10,014,328 | 1,080,989 | |||||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Applied Materials, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 5,290 | 486,903 | 649,771 | 184,496 | ||||||||
Axcelis Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 3,873 | 228,922 | 516,077 | 296,064 | ||||||||
Broadcom, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 1,840 | 1,030,624 | 1,180,434 | 215,865 | ||||||||
Cirrus Logic, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,624 | 375,489 | 396,393 | 35,521 | ||||||||
Diodes, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,533 | 125,576 | 142,201 | 21,438 | ||||||||
Enphase Energy, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 265 | 49,050 | 55,724 | 25,458 | ||||||||
First Solar, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,703 | 767,651 | 805,402 | 67,642 | ||||||||
GLOBALFOUNDRIES, Inc. (Cayman Islands) | USFF +0.250% | Weekly | MS | 07/08/27 | 1,244 | 61,448 | 89,792 | 30,731 | ||||||||
Impinj, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 424 | 51,263 | 57,460 | 8,343 | ||||||||
KLA Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 556 | 214,673 | 221,939 | 15,863 | ||||||||
Lam Research Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,655 | 627,891 | 877,349 | 278,929 | ||||||||
Lattice Semiconductor Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,402 | 116,865 | 229,391 | 117,071 | ||||||||
MaxLinear, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 6,463 | 236,786 | 227,562 | (147) | ||||||||
Microchip Technology, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 10,200 | 670,673 | 854,556 | 217,566 | ||||||||
Monolithic Power Systems, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 410 | 203,901 | 205,221 | 9,736 | ||||||||
NVIDIA Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,461 | 347,885 | 405,822 | 71,511 | ||||||||
NXP Semiconductors N. V. (Netherlands) | USFF +0.250% | Weekly | MS | 01/07/27 | 5,726 | 903,790 | 1,067,756 | 209,061 | ||||||||
ON Semiconductor Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 10,231 | 584,210 | 842,216 | 280,751 | ||||||||
PDF Solutions, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 285 | 11,143 | 12,084 | 1,369 | ||||||||
Photronics, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 10,881 | 182,931 | 180,407 | 4,114 | ||||||||
Qorvo, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,641 | 258,543 | 268,246 | 19,766 | ||||||||
QUALCOMM, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,357 | 477,234 | 555,866 | 109,335 | ||||||||
Rambus, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 3,887 | 94,453 | 199,248 | 111,422 | ||||||||
Semtech Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,395 | 67,693 | 57,815 | (8,880) | ||||||||
Skyworks Solutions, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,571 | 476,726 | 539,287 | 84,254 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Semiconductors & Semiconductor Equipment — (continued) | ||||||||||||||||
Synaptics, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 465 | $ 40,755 | $ 51,685 | $ 14,570 | ||||||||
Veeco Instruments, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,029 | 21,626 | 21,743 | 953 | ||||||||
91,411 | 8,714,704 | 10,711,447 | 2,422,802 | |||||||||||||
Software & Services | ||||||||||||||||
Accenture PLC, Class A (Ireland) | USFF +0.250% | Weekly | MS | 07/23/25 | 1,262 | 323,168 | 360,692 | 57,761 | ||||||||
Adeia, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 888 | 7,934 | 7,868 | 257 | ||||||||
Adobe, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,746 | 805,541 | 1,058,226 | 284,050 | ||||||||
Akamai Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,128 | 89,667 | 88,322 | (578) | ||||||||
Alteryx, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 530 | 35,660 | 31,185 | (3,092) | ||||||||
ANSYS, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,146 | 270,115 | 381,389 | 121,787 | ||||||||
Asana, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 13,715 | 287,394 | 289,798 | 13,590 | ||||||||
Box, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 5,876 | 157,709 | 157,418 | 4,858 | ||||||||
Ceridian HCM Holding, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,263 | 66,910 | 92,477 | 28,166 | ||||||||
CommVault Systems, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,159 | 70,193 | 65,762 | (1,704) | ||||||||
Cvent Holding Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 265 | 2,216 | 2,215 | 80 | ||||||||
Descartes Systems Group, Inc. (The) (Canada) | USFF +0.250% | Weekly | MS | 01/07/27 | 669 | 41,565 | 53,928 | 13,975 | ||||||||
Digital Turbine, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,454 | 34,230 | 30,331 | (3,730) | ||||||||
DigitalOcean Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,492 | 85,455 | 97,612 | 15,478 | ||||||||
Docebo, Inc. (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 38 | 1,448 | 1,548 | 150 | ||||||||
DXC Technology Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 6,596 | 188,736 | 168,594 | (12,798) | ||||||||
Elastic N. V. (Netherlands) | USFF +0.250% | Weekly | MS | 01/10/28 | 70 | 4,006 | 4,053 | 197 | ||||||||
Enfusion, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 308 | 3,246 | 3,234 | 108 | ||||||||
Fair Isaac Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 154 | 105,956 | 108,214 | 6,378 | ||||||||
Fortinet, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 12,286 | 592,528 | 816,528 | 252,446 | ||||||||
Gartner, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 1,829 | 583,116 | 595,833 | 35,420 | ||||||||
Gen Digital, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 8,722 | 177,084 | 149,670 | (19,843) | ||||||||
Guidewire Software, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,703 | 127,775 | 139,731 | 16,926 | ||||||||
Informatica, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 24 | 396 | 394 | 11 | ||||||||
Intapp, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 78 | 3,353 | 3,498 | 269 | ||||||||
InterDigital, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,144 | 146,661 | 156,298 | 15,632 | ||||||||
International Business Machines Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,433 | 454,039 | 450,032 | 15,572 | ||||||||
Microsoft Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 8,008 | 1,845,691 | 2,308,706 | 548,077 | ||||||||
MongoDB, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 824 | 157,471 | 192,091 | 44,540 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Software & Services — (continued) | ||||||||||||||||
NCR Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,119 | $ 40,525 | $ 49,987 | $ 11,034 | ||||||||
New Relic, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,774 | 200,631 | 208,854 | 16,031 | ||||||||
Nutanix, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 5,081 | 108,382 | 132,055 | 28,794 | ||||||||
Oracle Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 10,612 | 773,454 | 986,067 | 249,490 | ||||||||
PagerDuty, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,218 | 103,468 | 112,566 | 13,121 | ||||||||
Palo Alto Networks, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 982 | 180,625 | 196,145 | 26,936 | ||||||||
PowerSchool Holdings, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 1,849 | 36,432 | 36,647 | 1,628 | ||||||||
Qualys, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 577 | 61,546 | 75,022 | 17,305 | ||||||||
Roper Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 19 | 8,322 | 8,373 | 369 | ||||||||
Salesforce, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,821 | 655,673 | 963,139 | 344,438 | ||||||||
Samsara, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 2,136 | 41,094 | 42,122 | 2,622 | ||||||||
ServiceNow, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 2,433 | 1,014,055 | 1,130,664 | 156,026 | ||||||||
SolarWinds Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 103 | 866 | 886 | 47 | ||||||||
Splunk, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 5,044 | 433,435 | 483,619 | 67,057 | ||||||||
Sprinklr, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 205 | 2,619 | 2,657 | 134 | ||||||||
Squarespace, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 1,916 | 55,807 | 60,871 | 7,231 | ||||||||
Tenable Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 21 | 988 | 998 | 42 | ||||||||
VeriSign, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 978 | 171,782 | 206,681 | 41,607 | ||||||||
Yext, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 6,022 | 44,225 | 57,871 | 15,363 | ||||||||
Zeta Global Holdings Corp., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 1,196 | 12,433 | 12,953 | 997 | ||||||||
Zuora, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 4,040 | 37,894 | 39,915 | 3,491 | ||||||||
137,956 | 10,653,519 | 12,623,739 | 2,437,746 | |||||||||||||
Technology Hardware & Equipment | ||||||||||||||||
Amphenol Corp., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 5,256 | 377,390 | 429,520 | 69,726 | ||||||||
Apple, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 13,051 | 1,768,414 | 2,152,110 | 459,324 | ||||||||
CDW Corp. | USFF +0.250% | Weekly | MS | 07/23/25 | 2,106 | 353,550 | 410,438 | 74,775 | ||||||||
Cisco Systems, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 16,689 | 696,948 | 872,417 | 215,981 | ||||||||
Extreme Networks, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 4,693 | 59,011 | 89,730 | 33,189 | ||||||||
F5, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,278 | 327,027 | 331,882 | 17,550 | ||||||||
Fabrinet (Cayman Islands) | USFF +0.250% | Weekly | MS | 01/10/28 | 245 | 30,950 | 29,096 | (655) | ||||||||
Hewlett Packard Enterprise Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 30,120 | 450,687 | 479,812 | 57,030 | ||||||||
HP, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 12,157 | 374,014 | 356,808 | 10,189 | ||||||||
Infinera Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 7,841 | 50,615 | 60,846 | 12,949 | ||||||||
IonQ, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 13,732 | 71,683 | 84,452 | 15,526 | ||||||||
IPG Photonics Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 777 | 94,450 | 95,812 | 4,941 | ||||||||
Keysight Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 609 | 95,611 | 98,341 | 6,448 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Technology Hardware & Equipment — (continued) | ||||||||||||||||
Methode Electronics, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 156 | $ 6,574 | $ 6,845 | $ 521 | ||||||||
Mirion Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,268 | 10,164 | 10,829 | 1,054 | ||||||||
Motorola Solutions, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,347 | 350,692 | 385,417 | 51,441 | ||||||||
NetApp, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 4,006 | 260,008 | 255,783 | 22,012 | ||||||||
NetScout Systems, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 5,804 | 189,282 | 166,285 | (15,632) | ||||||||
Pure Storage, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 4,690 | 112,614 | 119,642 | 11,465 | ||||||||
Sanmina Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,479 | 86,116 | 90,204 | 7,429 | ||||||||
Seagate Technology Holdings PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/10/28 | 3,831 | 249,518 | 253,306 | 15,825 | ||||||||
Super Micro Computer, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,531 | 398,771 | 482,778 | 99,531 | ||||||||
TE Connectivity Ltd. (Switzerland) | USFF +0.250% | Weekly | MS | 01/10/28 | 1,335 | 168,672 | 175,085 | 12,977 | ||||||||
Teledyne Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 407 | 158,673 | 182,076 | 30,963 | ||||||||
Viavi Solutions, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,165 | 35,135 | 34,277 | 472 | ||||||||
Vishay Intertechnology, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 737 | 14,981 | 16,671 | 2,983 | ||||||||
Zebra Technologies Corp., Class A | USFF +0.250% | Weekly | MS | 07/23/25 | 945 | 283,463 | 300,510 | 28,080 | ||||||||
143,255 | 7,075,013 | 7,970,972 | 1,246,094 | |||||||||||||
Telecommunication Services | ||||||||||||||||
AT&T, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 32,372 | 582,651 | 623,161 | 82,086 | ||||||||
EchoStar Corp., Class A | USFF +0.250% | Weekly | MS | 07/23/25 | 8,978 | 231,020 | 164,208 | (57,822) | ||||||||
Iridium Communications, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 512 | 18,713 | 31,708 | 13,781 | ||||||||
Lumen Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 45,708 | 265,241 | 121,126 | (122,800) | ||||||||
T-Mobile US, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,118 | 304,939 | 306,771 | 13,702 | ||||||||
United States Cellular Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 462 | 9,521 | 9,577 | 420 | ||||||||
Verizon Communications, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 12,936 | 504,532 | 503,081 | 25,430 | ||||||||
103,086 | 1,916,617 | 1,759,632 | (45,203) | |||||||||||||
Transportation | ||||||||||||||||
American Airlines Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 30,975 | 501,812 | 456,881 | (25,394) |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Transportation — (continued) | ||||||||||||||||
ArcBest Corp. | USFF +0.250% | Weekly | MS | 07/23/25 | 4,003 | $ 153,431 | $ 369,957 | $232,580 | ||||||||
CH Robinson Worldwide, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,214 | 424,247 | 418,745 | 12,921 | ||||||||
CSX Corp. | USFF +0.250% | Weekly | MS | 07/23/25 | 11,771 | 339,923 | 352,424 | 30,255 | ||||||||
Expeditors International of Washington, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 7,845 | 717,798 | 863,891 | 190,036 | ||||||||
Forward Air Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 529 | 52,028 | 57,005 | 7,341 | ||||||||
Hub Group, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 1,214 | 97,401 | 101,903 | 8,289 | ||||||||
Kirby Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 629 | 43,447 | 43,841 | 2,080 | ||||||||
Landstar System, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,611 | 284,636 | 288,788 | 15,790 | ||||||||
Marten Transport Ltd. | USFF +0.250% | Weekly | MS | 01/10/28 | 344 | 7,028 | 7,207 | 450 | ||||||||
Norfolk Southern Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,221 | 268,755 | 258,852 | 2,900 | ||||||||
Old Dominion Freight Line, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 1,002 | 263,925 | 341,522 | 89,129 | ||||||||
RXO, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 923 | 17,707 | 18,128 | 1,104 | ||||||||
Ryder System, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,499 | 127,121 | 133,771 | 13,226 | ||||||||
Schneider National, Inc., Class B | USFF +0.250% | Weekly | MS | 01/10/28 | 1,556 | 40,823 | 41,623 | 2,384 | ||||||||
TFI International, Inc. (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 346 | 41,978 | 41,274 | 1,025 | ||||||||
Uber Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,802 | 113,560 | 120,523 | 11,312 | ||||||||
Union Pacific Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 1,725 | 354,107 | 347,173 | 17,885 | ||||||||
United Parcel Service, Inc., Class B | USFF +0.250% | Weekly | MS | 07/08/27 | 2,008 | 342,485 | 389,532 | 67,671 | ||||||||
XPO, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,892 | 96,449 | 92,255 | (444) | ||||||||
80,109 | 4,288,661 | 4,745,295 | 680,540 | |||||||||||||
Utilities | ||||||||||||||||
AES Corp. (The) | USFF +0.250% | Weekly | MS | 01/07/27 | 33 | 632 | 795 | 462 | ||||||||
American Water Works Co., Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 607 | 87,095 | 88,919 | 5,410 | ||||||||
Atmos Energy Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 356 | 40,151 | 40,000 | 1,442 | ||||||||
Chesapeake Utilities Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 52 | 6,547 | 6,655 | 357 | ||||||||
Constellation Energy Corp. | USFF +0.250% | Weekly | MS | 07/23/25 | 10,652 | 674,582 | 836,182 | 193,381 | ||||||||
Dominion Energy, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,740 | 95,032 | 97,283 | 8,502 | ||||||||
Entergy Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,343 | 245,316 | 252,435 | 16,666 | ||||||||
Evergy, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 33 | 2,004 | 2,017 | 85 | ||||||||
Exelon Corp. | USFF +0.250% | Weekly | MS | 07/23/25 | 17,647 | 716,235 | 739,233 | 66,145 | ||||||||
Montauk Renewables, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 220 | 1,834 | 1,731 | (38) | ||||||||
National Fuel Gas Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,248 | 135,038 | 129,800 | 873 | ||||||||
Otter Tail Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,437 | 91,459 | 103,852 | 17,517 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Utilities — (continued) | ||||||||||||||||
Public Service Enterprise Group, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 11,447 | $ 719,030 | $ 714,865 | $ 37,644 | ||||||||
SJW Group | USFF +0.250% | Weekly | MS | 01/10/28 | 9 | 682 | 685 | 19 | ||||||||
48,824 | 2,815,637 | 3,014,452 | 348,465 | |||||||||||||
Total Reference Entity — Long | 131,685,883 | 146,309,189 | 21,114,794 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Short | ||||||||||||||||
Automobiles & Components | ||||||||||||||||
Adient PLC (Ireland) | USFF -0.250% | Weekly | MS | 01/07/27 | (4,390) | $ (214,115) | $ (179,814) | $ 33,789 | ||||||||
Dorman Products, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,939) | (164,372) | (167,258) | (3,756) | ||||||||
Gentherm, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (9,857) | (652,394) | (595,560) | 53,398 | ||||||||
Luminar Technologies, Inc. | USFF -4.380% | Weekly | MS | 07/08/27 | (27,069) | (204,264) | (175,678) | 28,566 | ||||||||
Standard Motor Products, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (8,428) | (331,033) | (311,077) | 12,863 | ||||||||
Thor Industries, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,317) | (351,764) | (343,806) | 6,103 | ||||||||
XPEL, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (78) | (5,292) | (5,300) | (152) | ||||||||
(56,078) | (1,923,234) | (1,778,493) | 130,811 | |||||||||||||
Capital Goods | ||||||||||||||||
3D Systems Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (41,189) | (398,406) | (441,546) | (46,197) | ||||||||
AAON, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (4,107) | (242,540) | (397,106) | (169,535) | ||||||||
AAR Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (6,420) | (324,719) | (350,211) | (30,573) | ||||||||
Aerojet Rocketdyne Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (10,071) | (495,652) | (565,688) | (79,812) | ||||||||
AeroVironment, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,742) | (160,184) | (159,672) | (639) | ||||||||
AerSale Corp. | USFF -2.480% | Weekly | MS | 07/08/27 | (5,365) | (94,941) | (92,385) | 2,050 | ||||||||
Alamo Group, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,026) | (145,405) | (188,948) | (49,627) | ||||||||
Albany International Corp., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (1,801) | (178,926) | (160,937) | 16,598 | ||||||||
Ameresco, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (9,357) | (463,853) | (460,552) | 857 | ||||||||
American Woodmark Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (3,517) | (250,788) | (183,130) | 68,601 | ||||||||
AZEK Co., Inc. (The) | USFF -0.250% | Weekly | MS | 07/06/26 | (40,043) | (1,553,115) | (942,612) | 611,849 | ||||||||
AZZ, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,346) | (140,969) | (137,989) | 1,151 | ||||||||
Ballard Power Systems, Inc. (Canada) | USFF -1.280% | Weekly | MS | 01/05/26 | (151,445) | (1,689,737) | (843,549) | 837,301 | ||||||||
Barnes Group, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (289) | (11,536) | (11,641) | (172) | ||||||||
Beacon Roofing Supply, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (7,580) | (470,604) | (446,083) | 23,236 | ||||||||
BWX Technologies, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (8,127) | (522,205) | (512,326) | 926 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
Cadre Holdings, Inc. | USFF -2.880% | Weekly | MS | 01/07/27 | (6,357) | $ (163,104) | $ (136,930) | $ 24,290 | ||||||||
ChargePoint Holdings, Inc. | USFF -5.780% | Weekly | MS | 01/10/28 | (32,405) | (311,721) | (339,280) | (29,204) | ||||||||
Columbus McKinnon Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | �� | (5,051) | (236,140) | (187,695) | 45,994 | |||||||
Construction Partners, Inc., Class A | USFF -0.250% | Weekly | MS | 07/23/25 | (22,033) | (663,509) | (593,569) | 66,338 | ||||||||
Core & Main, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (24,232) | (545,233) | (559,759) | (19,090) | ||||||||
Ducommun, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (433) | (23,109) | (23,689) | (708) | ||||||||
Dycom Industries, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (10,491) | (992,359) | (982,482) | 1,631 | ||||||||
Energy Recovery, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (8,343) | (185,346) | (192,306) | (8,120) | ||||||||
EnerSys | USFF -0.250% | Weekly | MS | 07/06/26 | (8,155) | (652,933) | (708,506) | (70,233) | ||||||||
Evoqua Water Technologies Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (13,204) | (505,107) | (656,503) | (159,873) | ||||||||
Federal Signal Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (7,834) | (336,315) | (424,681) | (101,277) | ||||||||
Flowserve Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (67,430) | (2,207,003) | (2,292,620) | (125,923) | ||||||||
Franklin Electric Co., Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (3,399) | (312,082) | (319,846) | (13,544) | ||||||||
FuelCell Energy, Inc. | USFF -0.624% | Weekly | MS | 01/10/28 | (48,533) | (143,457) | (138,319) | 4,378 | ||||||||
Gates Industrial Corp. PLC (United Kingdom) | USFF -0.250% | Weekly | MS | 01/07/27 | (8,794) | (111,914) | (122,149) | (12,033) | ||||||||
GATX Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,369) | (155,299) | (150,617) | 3,129 | ||||||||
Generac Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (7,545) | (856,647) | (814,935) | 38,361 | ||||||||
Gibraltar Industries, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (6,750) | (477,121) | (327,375) | 149,721 | ||||||||
Gorman-Rupp Co. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (12) | (294) | (300) | (46) | ||||||||
Graco, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (7,754) | (544,517) | (566,120) | (24,471) | ||||||||
GrafTech International Ltd. | USFF -0.259% | Weekly | MS | 07/08/27 | (78,115) | (429,055) | (379,639) | 46,454 | ||||||||
Greenbrier Cos., Inc. (The) | USFF -0.250% | Weekly | MS | 01/07/27 | (255) | (12,500) | (8,203) | 3,949 | ||||||||
Hayward Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (40,877) | (509,487) | (479,078) | 27,808 | ||||||||
Helios Technologies, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,606) | (241,185) | (235,832) | 3,533 | ||||||||
Herc Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (9,541) | (1,109,535) | (1,086,720) | 5,045 | ||||||||
Hillenbrand, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (22,155) | (1,040,276) | (1,053,027) | (26,085) | ||||||||
IDEX Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,930) | (875,462) | (907,948) | (37,094) | ||||||||
JELD-WEN Holding, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (85,483) | (1,559,930) | (1,082,215) | 469,539 | ||||||||
John Bean Technologies Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (9,485) | (929,075) | (1,036,616) | (116,688) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
Johnson Controls International plc (Ireland) | USFF -0.250% | Weekly | MS | 01/10/28 | (19,040) | $(1,239,916) | $(1,146,589) | $ 95,175 | ||||||||
Kennametal, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (10,484) | (298,042) | (289,149) | 7,317 | ||||||||
Kratos Defense & Security Solutions, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (82,007) | (1,367,468) | (1,105,454) | 250,833 | ||||||||
Lincoln Electric Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (7,839) | (1,314,110) | (1,325,575) | (23,898) | ||||||||
Masonite International Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/08/27 | (1,729) | (143,192) | (156,941) | (14,508) | ||||||||
MasTec, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,884) | (165,367) | (177,925) | (17,253) | ||||||||
Maxar Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (35,243) | (1,689,787) | (1,799,508) | (118,917) | ||||||||
MDU Resources Group, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (6,565) | (204,690) | (200,101) | (4,091) | ||||||||
Mercury Systems, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (29,830) | (1,923,605) | (1,524,910) | 388,269 | ||||||||
Middleby Corp. (The) | USFF -0.250% | Weekly | MS | 01/07/27 | (2,604) | (454,684) | (381,772) | 84,411 | ||||||||
MRC Global, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (29,816) | (317,857) | (289,812) | 26,368 | ||||||||
MSC Industrial Direct Co., Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (3,238) | (279,998) | (271,992) | 6,524 | ||||||||
Mueller Water Products, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (95,769) | (1,116,903) | (1,335,020) | (237,993) | ||||||||
MYR Group, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,766) | (170,321) | (222,534) | (56,644) | ||||||||
NOW, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (11,599) | (135,597) | (129,329) | 5,549 | ||||||||
Oshkosh Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,622) | (228,347) | (218,098) | 8,022 | ||||||||
Parker-Hannifin Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,158) | (408,153) | (389,215) | 19,036 | ||||||||
Parsons Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,670) | (161,552) | (164,196) | (3,499) | ||||||||
PGT Innovations, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (5,951) | (130,103) | (149,430) | (20,017) | ||||||||
Plug Power, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (51,470) | (733,855) | (603,228) | 126,763 | ||||||||
Primoris Services Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (39,910) | (1,011,189) | (984,181) | 7,266 | ||||||||
Quanex Building Products Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (803) | (16,281) | (17,289) | (1,112) | ||||||||
Resideo Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (18,184) | (371,688) | (332,404) | 37,325 | ||||||||
REV Group, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (858) | (10,175) | (10,287) | (201) | ||||||||
Rockwell Automation, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,029) | (612,673) | (595,410) | 15,064 | ||||||||
Rush Enterprises, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (10,008) | (519,643) | (546,437) | (33,304) | ||||||||
Shyft Group, Inc. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (1,260) | (28,766) | (28,665) | (57) | ||||||||
SPX Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,929) | (179,032) | (206,729) | (30,212) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
Standex International Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (26) | $ (3,155) | $ (3,183) | $ (185) | ||||||||
Stanley Black & Decker, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (5,465) | (949,654) | (440,370) | 516,328 | ||||||||
Stem, Inc. | USFF -1.730% | Weekly | MS | 01/10/28 | (13,100) | (82,399) | (74,277) | 7,683 | ||||||||
Sunrun, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (32,942) | (710,355) | (663,781) | 42,834 | ||||||||
Tennant Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (3,904) | (243,685) | (267,541) | (28,127) | ||||||||
Titan Machinery, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,625) | (48,482) | (49,481) | (1,260) | ||||||||
Trex Co., Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (40,818) | (2,065,924) | (1,986,612) | 68,447 | ||||||||
Trinity Industries, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (134) | (3,233) | (3,264) | (55) | ||||||||
United Rentals, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (528) | (235,522) | (208,961) | 32,201 | ||||||||
Vertiv Holdings Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (11,057) | (158,139) | (158,226) | (1,080) | ||||||||
Vicor Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (8,786) | (475,229) | (412,415) | 60,310 | ||||||||
WESCO International, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (5,339) | (735,798) | (825,089) | (112,382) | ||||||||
Woodward, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (13,240) | (1,336,934) | (1,289,179) | 38,177 | ||||||||
Xometry, Inc., Class A | USFF -0.580% | Weekly | MS | 07/08/27 | (16,421) | (497,427) | (245,822) | 248,983 | ||||||||
Zurn Elkay Water Solutions Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (39,829) | (904,821) | (850,747) | 48,351 | ||||||||
(1,512,475) | (46,957,046) | (43,782,462) | 2,768,236 | |||||||||||||
Commercial & Professional Services | ||||||||||||||||
ABM Industries, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (29,064) | (1,311,230) | (1,306,136) | (12,836) | ||||||||
Alight, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (73,754) | (648,502) | (679,274) | (36,350) | ||||||||
Casella Waste Systems, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (4,598) | (360,649) | (380,071) | (21,323) | ||||||||
Cimpress PLC (Ireland) | USFF -0.250% | Weekly | MS | 01/10/28 | (163) | (6,955) | (7,143) | (231) | ||||||||
CSG Systems International, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (10,545) | (619,360) | (566,267) | 43,898 | ||||||||
Driven Brands Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (21,282) | (655,393) | (645,057) | 6,541 | ||||||||
Dun & Bradstreet Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (11,965) | (136,006) | (140,469) | (5,184) | ||||||||
Equifax, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (10,140) | (2,156,834) | (2,056,798) | 84,442 | ||||||||
FTI Consulting, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (5,601) | (994,818) | (1,105,357) | (125,567) | ||||||||
Healthcare Services Group, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (22,826) | (372,332) | (316,597) | 41,559 | ||||||||
Heritage-Crystal Clean, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (427) | (14,863) | (15,205) | (427) | ||||||||
HNI Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (4,728) | (173,734) | (131,628) | 35,822 | ||||||||
ICF International, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (6,481) | (674,291) | (710,966) | (43,512) | ||||||||
Jacobs Solutions, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (11,561) | (1,420,618) | (1,358,533) | 54,306 | ||||||||
KAR Auction Services, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (7,035) | (116,472) | (96,239) | 21,163 | ||||||||
KBR, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (9,581) | (527,836) | (527,434) | (3,808) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Commercial & Professional Services — (continued) | ||||||||||||||||
Kelly Services, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (43) | $ (712) | $ (713) | $ (12) | ||||||||
Maximus, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,794) | (233,249) | (219,888) | 12,509 | ||||||||
MillerKnoll, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,240) | (51,720) | (25,358) | 30,215 | ||||||||
Montrose Environmental Group, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,756) | (161,240) | (133,977) | 26,409 | ||||||||
Steelcase, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (21,102) | (227,786) | (177,679) | 42,263 | ||||||||
Stericycle, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,297) | (134,258) | (100,172) | 37,669 | ||||||||
TaskUS, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (7,687) | (175,550) | (111,000) | 63,621 | ||||||||
TrueBlue, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,279) | (37,047) | (22,766) | 14,677 | ||||||||
TTEC Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,494) | (56,600) | (55,622) | (49) | ||||||||
UniFirst Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,299) | (452,872) | (405,153) | 42,026 | ||||||||
Upwork, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (20,193) | (836,199) | (228,585) | 621,646 | ||||||||
Waste Connections, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (10,205) | (1,376,657) | (1,419,209) | (53,889) | ||||||||
(304,140) | (13,933,783) | (12,943,296) | 875,578 | |||||||||||||
Consumer Discretionary Distribution & Retail | ||||||||||||||||
Abercrombie & Fitch Co., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (11,273) | (265,132) | (312,826) | (55,253) | ||||||||
Advance Auto Parts, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (5,038) | (959,326) | (612,671) | 322,967 | ||||||||
Asbury Automotive Group, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (953) | (181,040) | (200,130) | (24,907) | ||||||||
Boot Barn Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (7,455) | (649,069) | (571,351) | 74,300 | ||||||||
Caleres, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (41,435) | (1,020,482) | (896,239) | 115,469 | ||||||||
Carvana Co. | USFF -11.930% | Weekly | MS | 07/06/26 | (45,397) | (1,430,759) | (444,437) | 978,796 | ||||||||
Dick's Sporting Goods, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,693) | (375,532) | (382,110) | (21,854) | ||||||||
Five Below, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,002) | (212,486) | (206,382) | 5,022 | ||||||||
Floor & Decor Holdings, Inc., Class A | USFF -0.250% | Weekly | MS | 07/06/26 | (6,305) | (831,709) | (619,277) | 211,069 | ||||||||
Foot Locker, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (37,094) | (1,481,511) | (1,472,261) | 1,457 | ||||||||
Franchise Group, Inc. | USFF -0.680% | Weekly | MS | 01/07/27 | (7,984) | (321,435) | (217,564) | 82,945 | ||||||||
Guess?, Inc. | USFF -0.630% | Weekly | MS | 07/08/27 | (8,200) | (172,599) | (159,572) | 10,260 | ||||||||
Kohl's Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (33,325) | (1,437,163) | (784,471) | 586,980 | ||||||||
Leslie's, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (55,226) | (769,659) | (608,038) | 157,569 | ||||||||
Lithia Motors, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,303) | (358,610) | (298,296) | 66,770 | ||||||||
MarineMax, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,479) | (97,063) | (100,021) | (3,474) | ||||||||
National Vision Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (12,016) | (524,188) | (226,381) | 296,125 | ||||||||
Ollie's Bargain Outlet Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,341) | (176,868) | (193,578) | (18,698) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Discretionary Distribution & Retail — (continued) | ||||||||||||||||
Petco Health & Wellness Co., Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (65,443) | $ (1,310,732) | $ (588,987) | $ 723,193 | ||||||||
RH | USFF -0.250% | Weekly | MS | 01/10/28 | (75) | (18,027) | (18,266) | (340) | ||||||||
Sally Beauty Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (9,396) | (142,990) | (146,390) | (4,433) | ||||||||
Signet Jewelers Ltd. (Bermuda) | USFF -0.250% | Weekly | MS | 07/08/27 | (1,727) | (133,733) | (134,326) | (3,199) | ||||||||
Tractor Supply Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,822) | (424,507) | (428,243) | (12,879) | ||||||||
Victoria's Secret & Co. | USFF -0.250% | Weekly | MS | 01/05/26 | (31,952) | (1,347,556) | (1,091,161) | 257,449 | ||||||||
Wayfair, Inc., Class A | USFF -0.780% | Weekly | MS | 07/06/26 | (12,741) | (854,274) | (437,526) | 412,252 | ||||||||
(406,675) | (15,496,450) | (11,150,504) | 4,157,586 | |||||||||||||
Consumer Durables & Apparel | ||||||||||||||||
Acushnet Holdings Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (22,186) | (1,070,348) | (1,130,155) | (72,273) | ||||||||
BRP, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/07/27 | (2,015) | (143,186) | (157,573) | (15,690) | ||||||||
Carter's, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (3,333) | (312,474) | (239,709) | 60,064 | ||||||||
Columbia Sportswear Co. | USFF -0.250% | Weekly | MS | 07/08/27 | (8,142) | (659,578) | (734,734) | (82,973) | ||||||||
G-III Apparel Group Ltd. | USFF -0.250% | Weekly | MS | 07/08/27 | (13,891) | (230,114) | (216,005) | 12,893 | ||||||||
Hanesbrands, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (115,296) | (1,156,164) | (606,457) | 515,941 | ||||||||
Helen of Troy Ltd. (Bermuda) | USFF -0.250% | Weekly | MS | 01/05/26 | (3,998) | (914,859) | (380,490) | 535,980 | ||||||||
iRobot Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (3,492) | (282,396) | (152,391) | 135,912 | ||||||||
La-Z-Boy, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (6,785) | (241,942) | (197,308) | 38,529 | ||||||||
Levi Strauss & Co., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (12,979) | (236,399) | (236,607) | (1,926) | ||||||||
LGI Homes, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,074) | (218,690) | (236,498) | (18,964) | ||||||||
Lululemon Athletica, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (542) | (172,229) | (197,391) | (111,563) | ||||||||
Mattel, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (32,010) | (694,487) | (589,304) | 101,526 | ||||||||
Movado Group, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (303) | (8,665) | (8,717) | (104) | ||||||||
Newell Brands, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (52,901) | (709,230) | (658,088) | 32,727 | ||||||||
Oxford Industries, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,991) | (226,164) | (210,230) | 14,718 | ||||||||
PVH Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,288) | (198,440) | (203,998) | (6,607) | ||||||||
Skechers USA, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (21,992) | (1,013,906) | (1,045,060) | (36,489) | ||||||||
Snap One Holdings Corp. | USFF -0.730% | Weekly | MS | 01/10/28 | (104) | (941) | (972) | (43) | ||||||||
Tempur Sealy International, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (45,365) | (1,546,896) | (1,791,464) | (258,675) | ||||||||
Topgolf Callaway Brands Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (63,508) | (1,527,401) | (1,373,043) | 146,323 | ||||||||
Under Armour, Inc., Class C | USFF -0.250% | Weekly | MS | 01/10/28 | (7,630) | (63,924) | (65,084) | (1,502) | ||||||||
VF Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (43,295) | (1,261,926) | (991,888) | 244,297 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Durables & Apparel — (continued) | ||||||||||||||||
Wolverine World Wide, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (59,034) | $ (1,268,946) | $ (1,006,530) | $ 233,135 | ||||||||
YETI Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,871) | (275,781) | (114,840) | 159,485 | ||||||||
(528,025) | (14,435,086) | (12,544,536) | 1,624,721 | |||||||||||||
Consumer Services | ||||||||||||||||
Aramark | USFF -0.250% | Weekly | MS | 01/10/28 | (27,353) | (1,025,131) | (979,237) | 40,248 | ||||||||
Bally's Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (20,229) | (798,893) | (394,870) | 399,818 | ||||||||
Bowlero Corp. | USFF -1.380% | Weekly | MS | 01/10/28 | (6,144) | (101,329) | (104,141) | (3,351) | ||||||||
Cheesecake Factory, Inc. (The) | USFF -0.250% | Weekly | MS | 07/08/27 | (5,143) | (195,431) | (180,262) | 13,757 | ||||||||
Chegg, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (48,712) | (808,294) | (794,006) | 10,033 | ||||||||
Chipotle Mexican Grill, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (791) | (1,304,730) | (1,351,257) | (53,391) | ||||||||
Choice Hotels International, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (7,961) | (994,199) | (932,950) | 54,658 | ||||||||
Churchill Downs, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (10,009) | (2,235,881) | (2,572,813) | (352,965) | ||||||||
Coursera, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (12,386) | (169,729) | (142,687) | 26,144 | ||||||||
Cracker Barrel Old Country Store, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (9,486) | (1,045,186) | (1,077,610) | (48,595) | ||||||||
Dave & Buster's Entertainment, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (18,427) | (685,014) | (677,929) | (341) | ||||||||
Domino's Pizza, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (716) | (234,356) | (236,187) | (3,082) | ||||||||
Dutch Bros, Inc., Class A | USFF -13.130% | Weekly | MS | 01/10/28 | (5,036) | (156,939) | (159,289) | (3,181) | ||||||||
European Wax Center, Inc., Class A | USFF -0.580% | Weekly | MS | 01/10/28 | (2,898) | (49,166) | (55,062) | (6,161) | ||||||||
Everi Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (11,158) | (207,673) | (191,360) | 15,215 | ||||||||
First Watch Restaurant Group, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,399) | (21,770) | (22,468) | (819) | ||||||||
Jack in the Box, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (5,339) | (417,840) | (467,643) | (61,346) | ||||||||
Krispy Kreme, Inc. | USFF -0.780% | Weekly | MS | 07/08/27 | (30,519) | (442,360) | (474,570) | (35,918) | ||||||||
Las Vegas Sands Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,870) | (165,144) | (164,882) | (612) | ||||||||
Mister Car Wash, Inc. | USFF -0.830% | Weekly | MS | 01/07/27 | (36,064) | (455,382) | (310,872) | 143,091 | ||||||||
Norwegian Cruise Line Holdings Ltd. (Bermuda) | USFF -0.830% | Weekly | MS | 07/08/27 | (37,685) | (588,375) | (506,863) | 78,413 | ||||||||
Papa John's International, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (5,842) | (466,770) | (437,741) | 26,690 | ||||||||
Red Rock Resorts, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (34,299) | (1,458,231) | (1,528,706) | (102,636) | ||||||||
Restaurant Brands International, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (709) | (47,595) | (47,602) | (232) | ||||||||
Service Corp. International | USFF -0.250% | Weekly | MS | 01/10/28 | (550) | (37,794) | (37,829) | (39) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Services — (continued) | ||||||||||||||||
Shake Shack, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (2,245) | $ (113,350) | $ (124,575) | $ (12,548) | ||||||||
Stride, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (7,419) | (291,205) | (291,196) | (3,949) | ||||||||
Target Hospitality Corp. | USFF -1.230% | Weekly | MS | 07/08/27 | (28,827) | (391,096) | (378,787) | 8,835 | ||||||||
Wynn Resorts Ltd. | USFF -0.250% | Weekly | MS | 07/08/27 | (4,281) | (398,149) | (479,087) | (87,521) | ||||||||
(384,497) | (15,307,012) | (15,122,481) | 40,215 | |||||||||||||
Consumer Staples Distribution & Retail | ||||||||||||||||
Chefs' Warehouse, Inc. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (9,645) | (324,429) | (328,412) | (5,695) | ||||||||
Dollar General Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (10,142) | (2,092,908) | (2,134,485) | (52,583) | ||||||||
Grocery Outlet Holding Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (23,133) | (709,715) | (653,739) | 53,071 | ||||||||
SpartanNash Co. | USFF -0.250% | Weekly | MS | 07/08/27 | (23,244) | (738,119) | (576,451) | 148,822 | ||||||||
Sysco Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,734) | (133,368) | (133,917) | (4,121) | ||||||||
United Natural Foods, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (25,981) | (1,039,368) | (684,599) | 349,311 | ||||||||
(93,879) | (5,037,907) | (4,511,603) | 488,805 | |||||||||||||
Energy | ||||||||||||||||
Antero Midstream Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (60,079) | (631,835) | (630,229) | (1,801) | ||||||||
Bristow Group, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (507) | (10,935) | (11,357) | (486) | ||||||||
Cameco Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/08/27 | (65,151) | (1,681,434) | (1,705,002) | (38,396) | ||||||||
Chord Energy Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (16,388) | (2,503,085) | (2,205,825) | 181,506 | ||||||||
Civitas Resources, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (6,461) | (422,830) | (441,545) | (59,221) | ||||||||
Core Laboratories N. V. (Netherlands) | USFF -0.250% | Weekly | MS | 07/06/26 | (27,379) | (804,191) | (603,707) | 195,151 | ||||||||
Coterra Energy, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (6,442) | (192,421) | (158,087) | 24,709 | ||||||||
Delek US Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (21,406) | (505,774) | (491,268) | 10,217 | ||||||||
Denison Mines Corp. (Canada) | USFF -0.930% | Weekly | MS | 01/10/28 | (57,725) | (58,236) | (62,920) | (4,997) | ||||||||
Diamond Offshore Drilling, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (56,256) | (598,165) | (677,322) | (82,307) | ||||||||
Diamondback Energy, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (20,254) | (2,894,001) | (2,737,733) | 110,433 | ||||||||
DT Midstream, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (19,872) | (991,372) | (981,081) | (5,545) | ||||||||
Earthstone Energy, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (89,518) | (1,278,425) | (1,164,629) | 106,382 | ||||||||
Enerflex Ltd. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (1,027) | (6,147) | (6,121) | (19) | ||||||||
Energy Fuels, Inc. (Canada) | USFF -1.280% | Weekly | MS | 01/10/28 | (1,335) | (7,341) | (7,449) | (153) | ||||||||
Excelerate Energy, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (5,190) | (146,373) | (114,907) | 31,091 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Energy — (continued) | ||||||||||||||||
Kinetik Holdings, Inc. | USFF -0.830% | Weekly | MS | 01/07/27 | (25,187) | $ (917,394) | $ (788,353) | $ 81,887 | ||||||||
Magnolia Oil & Gas Corp., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (4,652) | (100,259) | (101,786) | (1,997) | ||||||||
Marathon Oil Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (162,425) | (3,960,311) | (3,891,703) | 47,843 | ||||||||
Matador Resources Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,994) | (147,345) | (142,664) | 1,696 | ||||||||
New Fortress Energy, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (75,901) | (2,860,036) | (2,233,766) | 532,734 | ||||||||
NextDecade Corp. | USFF -0.736% | Weekly | MS | 01/10/28 | (2,650) | (11,712) | (13,171) | (1,527) | ||||||||
Noble Corp. PLC (United Kingdom) | USFF -0.250% | Weekly | MS | 01/07/27 | (7,957) | (284,773) | (314,063) | (37,262) | ||||||||
Northern Oil and Gas, Inc. | USFF -0.580% | Weekly | MS | 01/07/27 | (20,771) | (630,353) | (630,400) | (15,464) | ||||||||
PDC Energy, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (12,075) | (795,746) | (774,974) | 12,750 | ||||||||
Permian Resources Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (45,847) | (483,007) | (481,394) | (5,112) | ||||||||
ProFrac Holding Corp., Class A | USFF -1.130% | Weekly | MS | 07/08/27 | (13,240) | (285,669) | (167,751) | 116,410 | ||||||||
ProPetro Holding Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (43,406) | (351,435) | (312,089) | 37,492 | ||||||||
Ranger Oil Corp., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (24,205) | (936,642) | (988,532) | (61,168) | ||||||||
Schlumberger N. V. (Curacao) | USFF -0.250% | Weekly | MS | 01/10/28 | (19,062) | (1,087,976) | (935,944) | 151,384 | ||||||||
Select Energy Services, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (23,091) | (166,349) | (160,713) | 4,641 | ||||||||
SFL Corp. Ltd. (Bermuda) | USFF -0.250% | Weekly | MS | 01/10/28 | (18,952) | (187,513) | (180,044) | 3,640 | ||||||||
SilverBow Resources, Inc. | USFF -0.630% | Weekly | MS | 07/08/27 | (13,202) | (555,590) | (301,666) | 250,997 | ||||||||
Talos Energy, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (12,244) | (176,014) | (181,701) | (6,619) | ||||||||
Targa Resources Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (17,021) | (1,230,420) | (1,241,682) | (25,464) | ||||||||
TC Energy Corp. (Canada) | USFF -0.250% | Weekly | MS | 01/07/27 | (32,597) | (1,634,007) | (1,268,349) | 295,305 | ||||||||
Tellurian, Inc. | USFF -0.782% | Weekly | MS | 07/06/26 | (172,792) | (646,673) | (212,534) | 432,416 | ||||||||
Transocean Ltd. (Switzerland) | USFF -0.250% | Weekly | MS | 01/10/28 | (100,077) | (649,459) | (636,490) | 9,549 | ||||||||
Williams Cos, Inc. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (74,153) | (2,265,239) | (2,214,209) | 5,551 | ||||||||
World Fuel Services Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (38,658) | (969,723) | (987,712) | (33,763) | ||||||||
(1,418,149) | (34,066,210) | (31,160,872) | 2,262,483 | |||||||||||||
Financial Services | ||||||||||||||||
Avantax, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (7,102) | (160,313) | (186,925) | (28,530) | ||||||||
Moody's Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (931) | (302,134) | (284,905) | 22,332 | ||||||||
Morningstar, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (780) | (162,183) | (158,363) | 3,239 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Financial Services — (continued) | ||||||||||||||||
Paymentus Holdings, Inc., Class A | USFF -0.730% | Weekly | MS | 01/07/27 | (569) | $ (12,415) | $ (5,041) | $ 33,377 | ||||||||
WisdomTree, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (28,373) | (169,096) | (166,266) | (961) | ||||||||
(37,755) | (806,141) | (801,500) | 29,457 | |||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||
B&G Foods, Inc. | USFF -2.230% | Weekly | MS | 01/05/26 | (25,277) | (715,968) | (392,552) | 254,862 | ||||||||
Boston Beer Co., Inc. (The), Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (43) | (14,160) | (14,134) | 443 | ||||||||
Brown-Forman Corp., Class B | USFF -0.250% | Weekly | MS | 01/10/28 | (14,445) | (903,953) | (928,380) | (29,185) | ||||||||
Darling Ingredients, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (39,177) | (2,891,199) | (2,287,937) | 587,873 | ||||||||
Freshpet, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (2,365) | (390,119) | (156,539) | 275,832 | ||||||||
Hain Celestial Group, Inc. (The) | USFF -0.250% | Weekly | MS | 07/08/27 | (72,563) | (1,385,933) | (1,244,455) | 134,187 | ||||||||
Hormel Foods Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (20,071) | (835,140) | (800,431) | 28,804 | ||||||||
Ingredion, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,838) | (281,021) | (288,710) | (11,138) | ||||||||
J & J Snack Foods Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (6,147) | (876,213) | (911,108) | (53,569) | ||||||||
McCormick & Co., Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,335) | (109,257) | (111,085) | (2,409) | ||||||||
Mission Produce, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (5,592) | (82,511) | (62,127) | 20,004 | ||||||||
Mondelez International, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (7,190) | (497,954) | (501,287) | (12,043) | ||||||||
Monster Beverage Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (61,070) | (3,142,281) | (3,298,391) | (173,814) | ||||||||
National Beverage Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (5,185) | (258,631) | (273,353) | (16,657) | ||||||||
Simply Good Foods Co. (The) | USFF -0.250% | Weekly | MS | 07/06/26 | (15,059) | (583,777) | (598,896) | (18,194) | ||||||||
Sovos Brands, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,417) | (22,726) | (23,636) | (1,035) | ||||||||
Tyson Foods, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (2,637) | (164,478) | (156,427) | 16,037 | ||||||||
Universal Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (10,052) | (555,987) | (531,650) | (2,912) | ||||||||
Utz Brands, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (33,393) | (703,316) | (549,983) | 139,764 | ||||||||
(325,856) | (14,414,624) | (13,131,081) | 1,136,850 | |||||||||||||
Health Care Equipment & Services | ||||||||||||||||
AdaptHealth Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (41,435) | (988,831) | (515,037) | 473,432 | ||||||||
Agiliti, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (12,147) | (222,370) | (194,109) | 27,110 | ||||||||
Alphatec Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (25,378) | (344,951) | (395,897) | (57,298) | ||||||||
American Well Corp., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (3,094) | (7,015) | (7,302) | (330) | ||||||||
AmerisourceBergen Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,201) | (348,900) | (352,402) | (5,284) | ||||||||
Bausch + Lomb Corp. (Canada) | USFF -5.630% | Weekly | MS | 01/10/28 | (567) | (9,616) | (9,871) | (313) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Health Care Equipment & Services — (continued) | ||||||||||||||||
Becton Dickinson & Co | USFF -0.250% | Weekly | MS | 01/10/28 | (12,933) | $(3,219,819) | $(3,201,435) | $ (11,062) | ||||||||
Boston Scientific Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (23,563) | (1,123,629) | (1,178,857) | (61,289) | ||||||||
Castle Biosciences, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (68) | (1,532) | (1,545) | (27) | ||||||||
Certara, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (299) | (7,155) | (7,209) | (98) | ||||||||
CONMED Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (5,957) | (634,652) | (618,694) | 8,887 | ||||||||
CorVel Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (591) | (111,029) | (112,455) | (2,017) | ||||||||
Envista Holdings Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (8,150) | (329,448) | (333,172) | (5,462) | ||||||||
Figs, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (53,786) | (494,304) | (332,935) | 158,764 | ||||||||
Glaukos Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (7,638) | (343,025) | (382,664) | (41,964) | ||||||||
Globus Medical, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (6,494) | (480,046) | (367,820) | 113,173 | ||||||||
GoodRx Holdings, Inc., Class A | USFF -0.250% | Weekly | MS | 07/06/26 | (52,483) | (658,032) | (328,019) | 325,656 | ||||||||
Guardant Health, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (23,223) | (2,047,890) | (544,347) | 1,497,216 | ||||||||
Henry Schein, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,587) | (284,585) | (292,484) | (12,704) | ||||||||
ICU Medical, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (12,277) | (2,100,304) | (2,025,214) | 64,045 | ||||||||
Inari Medical, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (9,111) | (668,270) | (562,513) | 100,242 | ||||||||
Integer Holdings Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (8,195) | (657,589) | (635,113) | 18,379 | ||||||||
Intuitive Surgical, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (10,964) | (2,641,446) | (2,800,973) | (173,416) | ||||||||
LeMaitre Vascular, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (409) | (20,763) | (21,051) | (386) | ||||||||
LifeStance Health Group, Inc. | USFF -1.630% | Weekly | MS | 01/07/27 | (16,446) | (111,727) | (122,194) | (12,286) | ||||||||
Masimo Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (10,615) | (1,652,905) | (1,958,892) | (329,579) | ||||||||
Mesa Laboratories, Inc. | USFF -0.250% | Weekly | MS | 07/23/25 | (2,150) | (508,869) | (375,670) | 128,666 | ||||||||
Multiplan Corp. | USFF -0.288% | Weekly | MS | 01/10/28 | (10,424) | (11,163) | (11,049) | 49 | ||||||||
Neogen Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (40,414) | (699,006) | (748,467) | (53,453) | ||||||||
NeoGenomics, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (10,769) | (444,487) | (187,488) | 283,834 | ||||||||
Nevro Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,575) | (156,206) | (56,936) | 98,442 | ||||||||
Novocure Ltd. (Jersey) | USFF -0.250% | Weekly | MS | 01/10/28 | (11,320) | (793,465) | (680,785) | 108,504 | ||||||||
Nutex Health, Inc. | USFF -15.874% | Weekly | MS | 01/10/28 | (35) | (36) | (35) | (6) | ||||||||
NuVasive, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (14,715) | (621,255) | (607,877) | 9,709 | ||||||||
Omnicell, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (30,219) | (2,612,867) | (1,772,949) | 821,439 | ||||||||
Outset Medical, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (10,945) | (407,650) | (201,388) | 204,113 | ||||||||
Owens & Minor, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (27,333) | (892,161) | (397,695) | 489,770 | ||||||||
Paragon 28, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,730) | (46,550) | (46,601) | (302) | ||||||||
Patterson Cos., Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (8,216) | (238,988) | (219,942) | 17,353 | ||||||||
Pediatrix Medical Group, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (22,194) | (482,821) | (330,913) | 149,364 | ||||||||
Progyny, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (27,818) | (1,211,618) | (893,514) | 311,981 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Health Care Equipment & Services — (continued) | ||||||||||||||||
Quest Diagnostics, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (7,678) | $ (1,078,265) | $ (1,086,283) | $ (13,612) | ||||||||
QuidelOrtho Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (34,677) | (2,955,729) | (3,089,374) | (154,544) | ||||||||
RadNet, Inc. | USFF -0.250% | Weekly | MS | 07/23/25 | (27,293) | (548,528) | (683,144) | (138,092) | ||||||||
ResMed, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (10,814) | (2,433,611) | (2,368,158) | 46,192 | ||||||||
Schrodinger, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (30,666) | (1,482,088) | (807,436) | 663,190 | ||||||||
Select Medical Holdings Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (43,347) | (1,116,500) | (1,120,520) | (20,080) | ||||||||
Simulations Plus, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (725) | (30,562) | (31,857) | (1,461) | ||||||||
STAAR Surgical Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (13,118) | (785,254) | (838,896) | (57,776) | ||||||||
STERIS PLC (Ireland) | USFF -0.250% | Weekly | MS | 07/08/27 | (6,513) | (1,241,209) | (1,245,807) | (13,072) | ||||||||
Surgery Partners, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (11,949) | (623,790) | (411,882) | 211,354 | ||||||||
Tandem Diabetes Care, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (25,887) | (1,347,769) | (1,051,271) | 289,408 | ||||||||
Teleflex, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (611) | (152,084) | (154,772) | (3,495) | ||||||||
Tenet Healthcare Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (8,336) | (392,013) | (495,325) | (109,502) | ||||||||
US Physical Therapy, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (5,620) | (563,374) | (550,254) | 4,156 | ||||||||
Varex Imaging Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (5,945) | (108,758) | (108,140) | 40 | ||||||||
Veeva Systems, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (572) | (102,998) | (105,128) | (2,678) | ||||||||
(806,219) | (43,599,507) | (37,981,760) | 5,342,880 | |||||||||||||
Household & Personal Products | ||||||||||||||||
Beauty Health Co. (The) | USFF -0.250% | Weekly | MS | 07/08/27 | (28,198) | (338,148) | (356,141) | (20,862) | ||||||||
BellRing Brands, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (20,360) | (538,784) | (692,240) | (160,163) | ||||||||
Central Garden & Pet Co., Class A | USFF -0.250% | Weekly | MS | 07/06/26 | (13,997) | (574,541) | (546,863) | 24,618 | ||||||||
Colgate-Palmolive Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (18,911) | (1,391,506) | (1,421,162) | (36,976) | ||||||||
Edgewell Personal Care Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (25,831) | (1,040,994) | (1,095,751) | (69,620) | ||||||||
Energizer Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (16,344) | (628,628) | (567,137) | 28,052 | ||||||||
Estee Lauder Cos., Inc. (The), Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (9,434) | (2,383,281) | (2,325,104) | 41,309 | ||||||||
Inter Parfums, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (5,403) | (512,905) | (768,523) | (280,338) | ||||||||
Reynolds Consumer Products, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (18,435) | (548,424) | (506,963) | 29,405 | ||||||||
WD-40 Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,448) | (455,373) | (435,866) | 13,426 | ||||||||
(159,361) | (8,412,584) | (8,715,750) | (431,149) | |||||||||||||
Materials | ||||||||||||||||
Agnico Eagle Mines Ltd. (Canada) | USFF -0.250% | Weekly | MS | 01/07/27 | (20,152) | (1,096,537) | (1,027,147) | 38,059 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Materials — (continued) | ||||||||||||||||
Alcoa Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,423) | $ (350,533) | $ (273,363) | $ 107,426 | ||||||||
Algoma Steel Group, Inc. (Canada) | USFF -2.830% | Weekly | MS | 01/10/28 | (41,586) | (329,463) | (336,015) | (9,310) | ||||||||
Amcor PLC (Jersey) | USFF -0.250% | Weekly | MS | 01/10/28 | (21,605) | (236,976) | (245,865) | (10,141) | ||||||||
Arconic Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (16,474) | (467,363) | (432,113) | 32,944 | ||||||||
Ashland, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (11,311) | (1,191,905) | (1,161,753) | 20,317 | ||||||||
Axalta Coating Systems Ltd. (Bermuda) | USFF -0.250% | Weekly | MS | 07/06/26 | (9,445) | (305,134) | (286,089) | 17,409 | ||||||||
Balchem Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (6,521) | (877,635) | (824,776) | 44,108 | ||||||||
Bioceres Crop Solutions Corp. (Cayman Islands) | USFF -6.980% | Weekly | MS | 07/08/27 | (1,774) | (20,726) | (20,596) | 15 | ||||||||
Cabot Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (15,768) | (1,158,453) | (1,208,460) | (69,919) | ||||||||
Celanese Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (22,581) | (2,418,653) | (2,458,845) | (52,910) | ||||||||
Chase Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (430) | (41,584) | (45,034) | (3,675) | ||||||||
Coeur Mining, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (592,440) | (2,908,215) | (2,363,836) | 521,845 | ||||||||
Compass Minerals International, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (866) | (55,989) | (29,695) | 25,558 | ||||||||
Corteva, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (43,986) | (2,724,361) | (2,652,796) | 51,464 | ||||||||
Crown Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (12,139) | (995,450) | (1,004,017) | (18,762) | ||||||||
Element Solutions, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (7,506) | (153,240) | (144,941) | 7,233 | ||||||||
Equinox Gold Corp. (Canada) | USFF -0.680% | Weekly | MS | 07/23/25 | (231,068) | (1,762,057) | (1,190,000) | 559,435 | ||||||||
ERO Copper Corp. (Canada) | USFF -0.580% | Weekly | MS | 01/10/28 | (624) | (10,332) | (11,007) | (736) | ||||||||
First Majestic Silver Corp. (Canada) | USFF -0.680% | Weekly | MS | 01/10/28 | (45,160) | (298,355) | (325,604) | (28,834) | ||||||||
Fortuna Silver Mines, Inc. (Canada) | USFF -0.871% | Weekly | MS | 01/07/27 | (62,242) | (238,413) | (237,764) | (1,210) | ||||||||
HB Fuller Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (3,264) | (236,081) | (223,421) | 9,632 | ||||||||
Hecla Mining Co. | USFF -0.250% | Weekly | MS | 07/08/27 | (126,595) | (669,035) | (801,346) | (137,893) | ||||||||
Huntsman Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (8,222) | (242,801) | (224,954) | 17,067 | ||||||||
Ingevity Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,134) | (299,449) | (295,664) | 2,205 | ||||||||
International Flavors & Fragrances, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (18,213) | (1,676,317) | (1,674,867) | (16,839) | ||||||||
Ivanhoe Electric, Inc. | USFF -4.430% | Weekly | MS | 01/10/28 | (255) | (3,065) | (3,098) | (56) | ||||||||
Kaiser Aluminum Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,289) | (89,440) | (96,198) | (6,197) | ||||||||
Kronos Worldwide, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,363) | (12,078) | (12,553) | (541) | ||||||||
Lithium Americas Corp. (Canada) | USFF -6.530% | Weekly | MS | 01/07/27 | (31,307) | (730,168) | (681,240) | 45,030 | ||||||||
Louisiana-Pacific Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (5,342) | (323,752) | (289,590) | 31,600 | ||||||||
Mativ Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (20,403) | (522,243) | (438,052) | 61,735 | ||||||||
Methanex Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/08/27 | (16,370) | (654,315) | (761,696) | (118,134) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Materials — (continued) | ||||||||||||||||
Myers Industries, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,380) | $ (28,595) | $ (29,573) | $ (1,222) | ||||||||
New Gold, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (9,595) | (9,609) | (10,555) | (1,002) | ||||||||
NewMarket Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,167) | (402,401) | (425,932) | (41,083) | ||||||||
Pan American Silver Corp. (Canada) | USFF -0.980% | Weekly | MS | 07/08/27 | (31,402) | (511,374) | (571,516) | (65,517) | ||||||||
Quaker Chemical Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (958) | (248,810) | (189,636) | 56,792 | ||||||||
Royal Gold, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (6,828) | (766,683) | (885,660) | (127,907) | ||||||||
Sandstorm Gold Ltd. (Canada) | USFF -0.250% | �� | Weekly | MS | 01/10/28 | (51,555) | (268,388) | (299,535) | (32,564) | |||||||
Schnitzer Steel Industries, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (15,823) | (659,037) | (492,095) | 154,917 | ||||||||
Scotts Miracle-Gro Co. (The) | USFF -0.250% | Weekly | MS | 07/06/26 | (3,950) | (641,212) | (275,473) | 379,754 | ||||||||
Sensient Technologies Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (10,225) | (744,219) | (782,826) | (46,065) | ||||||||
Sigma Lithium Corp. (Canada) | USFF -9.830% | Weekly | MS | 07/08/27 | (20,695) | (634,193) | (778,546) | (152,291) | ||||||||
Sonoco Products Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (15,689) | (960,750) | (957,029) | (27,055) | ||||||||
Southern Copper Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (6,497) | (440,748) | (495,396) | (73,420) | ||||||||
SSR Mining, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/08/27 | (56,038) | (810,556) | (847,295) | (42,189) | ||||||||
Stepan Co. | USFF -0.250% | Weekly | MS | 01/05/26 | (3,131) | (396,489) | (322,587) | 63,976 | ||||||||
TimkenSteel Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,120) | (20,293) | (20,541) | (361) | ||||||||
Trinseo PLC (Ireland) | USFF -0.250% | Weekly | MS | 07/06/26 | (5,451) | (173,596) | (113,653) | 57,248 | ||||||||
Triple Flag Precious Metals Corp. (Canada) | USFF -9.380% | Weekly | MS | 01/10/28 | (8) | (121) | (120) | (6) | ||||||||
Valvoline, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (9,753) | (341,917) | (340,770) | (699) | ||||||||
Westrock Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (41,292) | (1,249,618) | (1,258,167) | (15,122) | ||||||||
Worthington Industries, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (9,032) | (511,087) | (583,919) | (92,436) | ||||||||
(1,708,447) | (32,919,814) | (31,463,219) | 1,111,673 | |||||||||||||
Media & Entertainment | ||||||||||||||||
Advantage Solutions, Inc. | USFF -0.270% | Weekly | MS | 01/07/27 | (18,119) | (60,543) | (28,628) | 31,610 | ||||||||
Altice USA, Inc., Class A | USFF -0.252% | Weekly | MS | 01/07/27 | (203,379) | (963,776) | (695,556) | 263,148 | ||||||||
AMC Networks, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (9,656) | (295,328) | (169,752) | 125,384 | ||||||||
Angi, Inc. | USFF -1.274% | Weekly | MS | 07/23/25 | (144,679) | (1,661,170) | (328,421) | 1,324,011 | ||||||||
Cargurus, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (52,613) | (1,907,319) | (982,811) | 922,716 | ||||||||
DISH Network Corp., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (173,716) | (3,231,986) | (1,620,770) | 1,594,222 | ||||||||
Gray Television, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (23,846) | (530,101) | (207,937) | 322,661 | ||||||||
IAC, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (16,961) | (1,776,170) | (875,188) | 909,803 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Media & Entertainment — (continued) | ||||||||||||||||
Lions Gate Entertainment Corp., Class B (Canada) | USFF -0.250% | Weekly | MS | 07/06/26 | (78,477) | $ (888,927) | $ (814,591) | $ 64,025 | ||||||||
Live Nation Entertainment, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (29,547) | (2,036,507) | (2,068,290) | (42,493) | ||||||||
Madison Square Garden Entertainment Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (15,757) | (999,166) | (930,766) | 59,529 | ||||||||
Magnite, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (33,189) | (330,200) | (307,330) | 21,128 | ||||||||
Pinterest, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (125,830) | (3,150,537) | (3,431,384) | (302,041) | ||||||||
PubMatic, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (4,225) | (56,190) | (58,390) | (2,501) | ||||||||
Roku, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (6,883) | (838,147) | (453,039) | 380,790 | ||||||||
Scholastic Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (4,939) | (184,638) | (169,013) | 13,451 | ||||||||
Shaw Communications, Inc., Class B (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (183) | (5,468) | (5,474) | (350) | ||||||||
Snap, Inc., Class A | USFF -0.250% | Weekly | MS | 07/06/26 | (37,455) | (1,263,119) | (419,871) | 836,269 | ||||||||
Warner Music Group Corp., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (5,567) | (233,545) | (185,771) | 42,541 | ||||||||
WideOpenWest, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (14,237) | (272,204) | (151,339) | 119,433 | ||||||||
World Wrestling Entertainment, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (8,369) | (731,501) | (763,755) | (37,227) | ||||||||
(1,007,627) | (21,416,542) | (14,668,076) | 6,646,109 | |||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||
10X Genomics, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (14,208) | (1,381,665) | (792,664) | 599,984 | ||||||||
Adaptive Biotechnologies Corp. | USFF -0.250% | Weekly | MS | 07/23/25 | (3,568) | (204,895) | (31,505) | 172,353 | ||||||||
Akero Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (11,488) | (520,558) | (439,531) | 79,008 | ||||||||
Amylyx Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (16,776) | (583,784) | (492,208) | 88,501 | ||||||||
Anavex Life Sciences Corp. | USFF -1.130% | Weekly | MS | 01/10/28 | (278) | (2,369) | (2,382) | (32) | ||||||||
Apellis Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (4,173) | (221,611) | (275,251) | (72,835) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||||||||
Arrowhead Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (17,897) | $ (500,368) | $ (454,584) | $ 43,147 | ||||||||
Avantor, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (16,314) | (399,641) | (344,878) | 63,878 | ||||||||
Avid Bioservices, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (22,207) | (491,948) | (416,603) | 71,184 | ||||||||
Azenta, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (15,578) | (669,334) | (695,090) | (29,280) | ||||||||
Bio-Rad Laboratories, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (1,165) | (533,610) | (558,058) | (29,373) | ||||||||
Bio-Techne Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (5,647) | (418,458) | (418,951) | (2,698) | ||||||||
Bruker Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,242) | (171,865) | (176,759) | (5,804) | ||||||||
Cassava Sciences, Inc. | USFF -11.480% | Weekly | MS | 01/10/28 | (279) | (6,717) | (6,729) | (54) | ||||||||
Catalent, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (28,601) | (2,743,221) | (1,879,372) | 856,954 | ||||||||
Cerevel Therapeutics Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,698) | (40,382) | (41,414) | (1,251) | ||||||||
Cogent Biosciences, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,079) | (11,440) | (11,642) | (269) | ||||||||
Corcept Therapeutics, Inc. | USFF -0.580% | Weekly | MS | 01/10/28 | (1,586) | (34,388) | (34,353) | (152) | ||||||||
Crinetics Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (727) | (11,718) | (11,676) | (25) | ||||||||
CryoPort, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (8,184) | (152,044) | (196,416) | (46,874) | ||||||||
Cytek Biosciences, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (33,510) | (404,747) | (307,957) | 94,656 | ||||||||
Cytokinetics, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (5,546) | (210,165) | (195,164) | 13,890 | ||||||||
Denali Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (104) | (2,362) | (2,396) | (53) | ||||||||
Elanco Animal Health, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (151,746) | (1,512,459) | (1,426,412) | 78,091 | ||||||||
Eli Lilly & Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (14,714) | (4,817,456) | (5,053,082) | (260,953) | ||||||||
Enanta Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (143) | (5,778) | (5,783) | (41) | ||||||||
Geron Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (30,545) | (71,036) | (66,283) | 4,373 | ||||||||
Ideaya Biosciences, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,066) | (15,841) | (14,636) | 1,115 | ||||||||
IGM Biosciences, Inc. | USFF -0.730% | Weekly | MS | 01/10/28 | (26) | (384) | (357) | 18 | ||||||||
ImmunityBio, Inc. | USFF -7.080% | Weekly | MS | 01/10/28 | (586) | (1,098) | (1,067) | 19 | ||||||||
Inhibrx, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (51) | (966) | (962) | (8) | ||||||||
Insmed, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (13,638) | (253,287) | (232,528) | 19,421 | ||||||||
Intra-Cellular Therapies, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (7,957) | (413,154) | (430,872) | (21,751) | ||||||||
Ionis Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (15,450) | (550,590) | (552,183) | (4,493) | ||||||||
Pacira BioSciences, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (4,337) | (324,855) | (176,993) | 166,432 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||||||||
Perrigo Co. PLC (Ireland) | USFF -0.250% | Weekly | MS | 07/06/26 | (27,246) | $ (1,111,237) | $ (977,314) | $ 111,162 | ||||||||
Phibro Animal Health Corp., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (754) | (11,315) | (11,551) | (303) | ||||||||
Pliant Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (7,813) | (149,878) | (207,826) | (59,001) | ||||||||
Prestige Consumer Healthcare, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,496) | (275,727) | (281,584) | (7,313) | ||||||||
Prometheus Biosciences, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (87) | (9,456) | (9,337) | 63 | ||||||||
RAPT Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,356) | (25,173) | (24,883) | 151 | ||||||||
Regeneron Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (578) | (470,925) | (474,925) | (6,482) | ||||||||
Relay Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,808) | (80,514) | (79,188) | 897 | ||||||||
Replimune Group, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (203) | (3,577) | (3,585) | (33) | ||||||||
Revance Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (5,990) | (133,925) | (192,938) | (60,478) | ||||||||
Sotera Health Co. | USFF -0.250% | Weekly | MS | 07/06/26 | (62,102) | (1,019,704) | (1,112,247) | (104,428) | ||||||||
SpringWorks Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (3,494) | (199,502) | (89,936) | 108,511 | ||||||||
Supernus Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (12,908) | (411,223) | (467,657) | (63,161) | ||||||||
Twist Bioscience Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (236) | (3,615) | (3,559) | 31 | ||||||||
Ultragenyx Pharmaceutical, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,634) | (88,947) | (65,523) | 22,950 | ||||||||
Vaxcyte, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (8,746) | (365,248) | (327,800) | 35,521 | ||||||||
Ventyx Biosciences, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,828) | (62,311) | (61,238) | 739 | ||||||||
Viridian Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,687) | (127,303) | (119,237) | 7,391 | ||||||||
Xencor, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (9,642) | (304,230) | (268,915) | 33,709 | ||||||||
Xenon Pharmaceuticals, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (4,708) | (163,768) | (168,499) | (5,599) | ||||||||
(616,430) | (22,701,772) | (20,694,483) | 1,891,405 | |||||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Alpha & Omega Semiconductor Ltd. (Bermuda) | USFF -0.250% | Weekly | MS | 01/10/28 | (4,538) | (122,434) | (122,299) | (515) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Semiconductors & Semiconductor Equipment — (continued) | ||||||||||||||||
Ambarella, Inc. (Cayman Islands) | USFF -0.250% | Weekly | MS | 01/10/28 | (7,301) | $ (575,097) | $ (565,243) | $ 6,824 | ||||||||
Credo Technology Group Holding, Ltd. (Cayman Islands) | USFF -0.250% | Weekly | MS | 01/10/28 | (3,262) | (29,811) | (30,728) | (1,080) | ||||||||
Entegris, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (13,895) | (1,067,638) | (1,139,529) | (86,885) | ||||||||
FormFactor, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (14,198) | (472,823) | (452,206) | 18,037 | ||||||||
Ichor Holdings Ltd. (Cayman Islands) | USFF -0.250% | Weekly | MS | 01/07/27 | (9,845) | (307,690) | (322,325) | (16,559) | ||||||||
Intel Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (36,986) | (1,227,215) | (1,208,333) | (70,099) | ||||||||
MACOM Technology Solutions Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,035) | (424,996) | (427,519) | (4,852) | ||||||||
Marvell Technology, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (8,271) | (357,275) | (358,134) | (2,744) | ||||||||
MKS Instruments, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (25,562) | (2,115,972) | (2,265,304) | (176,314) | ||||||||
Onto Innovation, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,081) | (503,916) | (534,398) | (33,138) | ||||||||
Power Integrations, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,488) | (538,311) | (549,144) | (14,135) | ||||||||
SiTime Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (4,948) | (510,055) | (703,754) | (201,507) | ||||||||
SMART Global Holdings, Inc. (Cayman Islands) | USFF -0.250% | Weekly | MS | 07/06/26 | (44,679) | (1,156,657) | (770,266) | 380,256 | ||||||||
Teradyne, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,055) | (326,660) | (328,443) | (3,837) | ||||||||
Texas Instruments, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (10,462) | (1,895,176) | (1,946,037) | (60,110) | ||||||||
Ultra Clean Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | �� | (5,400) | (167,416) | (179,064) | (12,535) | |||||||
(211,006) | (11,799,142) | (11,902,726) | (279,193) | |||||||||||||
Software & Services | ||||||||||||||||
ACI Worldwide, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (61,778) | (1,588,467) | (1,666,770) | (86,659) | ||||||||
Alarm.com Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (22,191) | (1,359,427) | (1,115,763) | 236,436 | ||||||||
Alkami Technology, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,185) | (14,515) | (15,002) | (569) | ||||||||
Altair Engineering, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (2,311) | (113,344) | (166,646) | (61,940) | ||||||||
Appfolio, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (1,630) | (232,785) | (202,902) | 29,083 | ||||||||
Appian Corp., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (10,747) | (408,491) | (476,952) | (70,778) | ||||||||
AppLovin Corp., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (92,237) | (2,477,142) | (1,452,733) | 1,011,819 | ||||||||
AvePoint, Inc. | USFF -0.837% | Weekly | MS | 01/10/28 | (1,413) | (5,750) | (5,822) | (108) | ||||||||
Bentley Systems, Inc., Class B | USFF -0.250% | Weekly | MS | 01/10/28 | (12,291) | (504,661) | (528,390) | (26,388) | ||||||||
BigCommerce Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (27,477) | (347,011) | (245,644) | 99,536 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Software & Services — (continued) | ||||||||||||||||
BILL Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (10,888) | $ (847,510) | $ (883,452) | $ (42,805) | ||||||||
Black Knight, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (35,369) | (2,087,380) | (2,035,840) | 40,563 | ||||||||
Blackbaud, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (5,376) | (336,415) | (372,557) | (38,190) | ||||||||
Braze, Inc., Class A | USFF -1.280% | Weekly | MS | 07/08/27 | (7,477) | (254,430) | (258,480) | (7,289) | ||||||||
CGI, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (427) | (39,930) | (41,107) | (1,394) | ||||||||
Clear Secure, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (9,893) | (243,639) | (258,900) | (16,548) | ||||||||
Confluent, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (8,154) | (367,007) | (196,267) | 168,805 | ||||||||
Datadog, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (18,499) | (1,331,854) | (1,344,137) | (27,211) | ||||||||
Dropbox, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (7,295) | (155,029) | (157,718) | (3,510) | ||||||||
Envestnet, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (30,536) | (2,100,936) | (1,791,547) | 298,342 | ||||||||
Everbridge, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (4,123) | (399,571) | (142,944) | 260,108 | ||||||||
Gitlab, Inc., Class A | USFF -0.630% | Weekly | MS | 01/10/28 | (13,109) | (453,509) | (449,508) | 1,611 | ||||||||
Globant SA (Luxembourg) | USFF -0.250% | Weekly | MS | 07/08/27 | (2,280) | (418,074) | (373,943) | 44,614 | ||||||||
GoDaddy, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (6,550) | (534,810) | (509,066) | 22,516 | ||||||||
HashiCorp., Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (1,153) | (32,267) | (33,771) | (1,680) | ||||||||
Intuit, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,105) | (1,762,956) | (1,830,132) | (76,442) | ||||||||
Jamf Holding Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (19,965) | (682,804) | (387,720) | 293,604 | ||||||||
Lightspeed Commerce, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/06/26 | (53,542) | (1,910,715) | (812,768) | 1,087,902 | ||||||||
LiveRamp Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (14,106) | (619,035) | (309,345) | 306,547 | ||||||||
MeridianLink, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (807) | (13,041) | (13,961) | (995) | ||||||||
Okta, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (264) | (63,665) | (22,767) | 40,557 | ||||||||
Olo, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (37,351) | (337,417) | (304,784) | 30,810 | ||||||||
Open Text Corp. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (5,368) | (185,369) | (206,936) | (23,468) | ||||||||
Qualtrics International, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (10,501) | (270,639) | (187,233) | 81,977 | ||||||||
Rapid7, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (3,105) | (214,515) | (142,551) | 70,831 | ||||||||
RingCentral, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (19,755) | (2,704,617) | (605,886) | 2,086,366 | ||||||||
Shopify, Inc., Class A (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (11,391) | (484,125) | (546,085) | (72,577) | ||||||||
Smartsheet, Inc., Class A | USFF -0.250% | Weekly | MS | 07/06/26 | (3,628) | (247,838) | (173,418) | 74,168 | ||||||||
Snowflake, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (13,007) | (1,780,615) | (2,006,850) | (244,439) | ||||||||
Thoughtworks Holding, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (4,051) | (30,748) | (29,815) | 765 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Software & Services — (continued) | ||||||||||||||||
Tyler Technologies, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (80) | $ (28,122) | $ (28,371) | $ (404) | ||||||||
Verint Systems, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (8,897) | (324,586) | (331,324) | (8,586) | ||||||||
VMware, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (3,614) | (440,880) | (451,208) | (12,652) | ||||||||
Zoom Video Communications, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (35,074) | (2,632,473) | (2,589,864) | 28,766 | ||||||||
(643,000) | (31,388,114) | (25,706,879) | 5,491,094 | |||||||||||||
Technology Hardware & Equipment | ||||||||||||||||
ADTRAN Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (44,036) | (840,102) | (698,411) | 131,644 | ||||||||
Arista Networks, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (11,298) | (1,611,715) | (1,896,482) | (314,435) | ||||||||
Avid Technology, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,489) | (73,115) | (79,598) | (6,874) | ||||||||
Avnet, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (23,898) | (1,039,407) | (1,080,190) | (54,467) | ||||||||
Benchmark Electronics, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (12,694) | (320,004) | (300,721) | 12,490 | ||||||||
Ciena Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (20,237) | (991,142) | (1,062,847) | (76,921) | ||||||||
Clearfield, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (5,136) | (287,663) | (239,235) | 46,910 | ||||||||
Coherent Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (11,178) | (403,500) | (425,658) | (24,389) | ||||||||
CommScope Holding Co., Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (99,117) | (1,316,964) | (631,375) | 693,351 | ||||||||
Corning, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (24,108) | (842,731) | (850,530) | (18,107) | ||||||||
Corsair Gaming, Inc. | USFF -0.580% | Weekly | MS | 07/06/26 | (8,167) | (207,429) | (149,864) | 59,389 | ||||||||
CTS Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (95) | (4,569) | (4,699) | (160) | ||||||||
Dell Technologies, Inc., Class C | USFF -0.250% | Weekly | MS | 01/10/28 | (14,669) | (560,982) | (589,840) | (31,813) | ||||||||
Harmonic, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (45,254) | (650,390) | (660,256) | (13,333) | ||||||||
Itron, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (6,804) | (359,048) | (377,282) | (20,128) | ||||||||
Jabil, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,162) | (180,071) | (190,602) | (11,484) | ||||||||
Juniper Networks, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (78,332) | (2,437,342) | (2,696,187) | (285,001) | ||||||||
Knowles Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (257) | (4,338) | (4,369) | (60) | ||||||||
Lumentum Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (21,533) | (1,259,459) | (1,162,997) | 89,836 | ||||||||
National Instruments Corp. | USFF -0.250% | Weekly | MS | 07/23/25 | (7,566) | (331,466) | (396,534) | (89,781) | ||||||||
Novanta, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/08/27 | (5,573) | (848,279) | (886,609) | (43,235) | ||||||||
OSI Systems, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (3,396) | (317,170) | (347,615) | (32,118) | ||||||||
PC Connection, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (269) | (11,587) | (12,094) | (574) | ||||||||
Plexus Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (5,828) | (509,829) | (568,638) | (61,991) | ||||||||
Rogers Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (9,207) | (2,014,105) | (1,504,700) | 482,105 | ||||||||
ScanSource, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,426) | (43,618) | (43,407) | (25) | ||||||||
Stratasys Ltd. (Israel) | USFF -0.250% | Weekly | MS | 07/08/27 | (10,809) | (179,610) | (178,673) | (205) | ||||||||
TD SYNNEX Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (4,060) | (436,579) | (392,967) | 40,460 | ||||||||
Trimble, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (7,278) | (405,881) | (381,513) | 22,228 | ||||||||
TTM Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (14,842) | (240,047) | (200,219) | 38,560 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Technology Hardware & Equipment — (continued) | ||||||||||||||||
Ubiquiti, Inc. | USFF -0.580% | Weekly | MS | 01/07/27 | (3,757) | $ (1,071,704) | $ (1,020,739) | $ 39,301 | ||||||||
Viasat, Inc. | USFF -0.250% | Weekly | MS | 07/23/25 | (35,210) | (1,570,894) | (1,191,506) | 373,331 | ||||||||
Vontier Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (39,720) | (813,877) | (1,085,945) | (285,804) | ||||||||
Western Digital Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (35,566) | (1,541,772) | (1,339,771) | 193,891 | ||||||||
(615,971) | (23,726,389) | (22,652,073) | 852,591 | |||||||||||||
Telecommunication Services | ||||||||||||||||
ATN International, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (232) | (9,250) | (9,493) | (344) | ||||||||
Cogent Communications Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,470) | (406,038) | (412,268) | (11,486) | ||||||||
Frontier Communications Parent, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (85,094) | (2,205,130) | (1,937,590) | 255,943 | ||||||||
Globalstar, Inc. | USFF -0.278% | Weekly | MS | 01/05/26 | (247,964) | (408,197) | (287,638) | 118,896 | ||||||||
Gogo, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (15,386) | (248,592) | (223,097) | 24,809 | ||||||||
Rogers Communications, Inc., Class B (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (8,044) | (382,158) | (372,920) | 4,452 | ||||||||
Shenandoah Telecommunications Co. | USFF -0.250% | Weekly | MS | 07/23/25 | (10,683) | (317,628) | (203,191) | 52,185 | ||||||||
(373,873) | (3,976,993) | (3,446,197) | 444,455 | |||||||||||||
Transportation | ||||||||||||||||
Air Transport Services Group, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (20,213) | (514,065) | (421,037) | 90,320 | ||||||||
Allegiant Travel Co. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,035) | (222,940) | (187,179) | 36,963 | ||||||||
Canadian Pacific Railway Ltd. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (4,329) | (336,012) | (333,073) | 311 | ||||||||
FedEx Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,661) | (1,006,818) | (1,064,992) | (65,922) | ||||||||
Frontier Group Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,539) | (23,160) | (24,984) | (1,952) | ||||||||
Heartland Express, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (14,563) | (233,878) | (231,843) | 404 | ||||||||
Knight-Swift Transportation Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (11,905) | (731,349) | (673,585) | 58,920 | ||||||||
Lyft, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (66,708) | (809,770) | (618,383) | 187,125 | ||||||||
Matson, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,619) | (169,939) | (156,276) | 13,046 | ||||||||
PAM Transportation Services, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3) | (87) | (86) | (6) | ||||||||
SkyWest, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (9,020) | (266,565) | (199,973) | 65,546 | ||||||||
Southwest Airlines Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (23,947) | (864,727) | (779,235) | 76,630 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Transportation — (continued) | ||||||||||||||||
Sun Country Airlines Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (16,218) | $ (347,048) | $ (332,469) | $ 12,439 | ||||||||
United Airlines Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,773) | (345,577) | (299,705) | 44,049 | ||||||||
Werner Enterprises, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (33,747) | (1,561,117) | (1,535,151) | 13,223 | ||||||||
(219,280) | (7,433,052) | (6,857,971) | 531,096 | |||||||||||||
Utilities | ||||||||||||||||
Algonquin Power & Utilities Corp. (Canada) | USFF -0.250% | Weekly | MS | 01/05/26 | (47,023) | (526,091) | (394,993) | 99,905 | ||||||||
Alliant Energy Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (10,928) | (608,466) | (583,555) | 14,010 | ||||||||
American Electric Power Co., Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (16,640) | (1,485,936) | (1,514,074) | (37,229) | ||||||||
American States Water Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,691) | (146,305) | (150,313) | (4,783) | ||||||||
Avangrid, Inc. | USFF -0.250% | Weekly | MS | 07/23/25 | (4,578) | (238,080) | (182,571) | 41,920 | ||||||||
Avista Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (19,040) | (792,318) | (808,248) | (39,491) | ||||||||
Black Hills Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (5,469) | (393,633) | (345,094) | 34,373 | ||||||||
CenterPoint Energy, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (17,875) | (514,643) | (526,598) | (14,666) | ||||||||
Clearway Energy, Inc., Class A | USFF -0.250% | Weekly | MS | 07/23/25 | (6,784) | (179,567) | (203,724) | (45,939) | ||||||||
CMS Energy Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (18,102) | (1,229,287) | (1,111,101) | 91,266 | ||||||||
Edison International | USFF -0.250% | Weekly | MS | 07/08/27 | (10,376) | (665,874) | (732,442) | (99,348) | ||||||||
Essential Utilities, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (8,453) | (403,742) | (368,973) | 27,216 | ||||||||
Eversource Energy | USFF -0.250% | Weekly | MS | 01/10/28 | (4,972) | (385,754) | (389,109) | (8,085) | ||||||||
FirstEnergy Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (22,392) | (891,676) | (897,024) | (12,722) | ||||||||
Fortis, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/08/27 | (10,262) | (479,719) | (436,443) | 29,101 | ||||||||
NextEra Energy, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (13,775) | (1,049,127) | (1,061,777) | (26,893) | ||||||||
NiSource, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (43,042) | (1,150,468) | (1,203,454) | (72,153) | ||||||||
Northwest Natural Holding Co. | USFF -0.250% | Weekly | MS | 07/23/25 | (14,850) | (747,835) | (706,266) | 15,348 | ||||||||
NorthWestern Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (13,293) | (770,783) | (769,133) | (37,216) | ||||||||
NRG Energy, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (25,151) | (850,117) | (862,428) | (16,785) | ||||||||
OGE Energy Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (11,889) | (482,747) | (447,740) | 23,344 | ||||||||
ONE Gas, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (12,605) | (1,035,228) | (998,694) | 13,753 | ||||||||
Ormat Technologies, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (5,193) | (438,907) | (440,211) | (3,845) | ||||||||
Pinnacle West Capital Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (6,314) | (545,682) | (500,321) | 5,246 | ||||||||
Portland General Electric Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (5,571) | (282,582) | (272,366) | (104) | ||||||||
Sempra Energy | USFF -0.250% | Weekly | MS | 01/10/28 | (13,347) | (1,965,290) | (2,017,533) | (76,539) | ||||||||
Southwest Gas Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/23/25 | (17,504) | (1,227,680) | (1,093,125) | 88,371 | ||||||||
TransAlta Corp. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (96) | (835) | (840) | (13) | ||||||||
Unitil Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (122) | (6,823) | (6,959) | (178) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Utilities — (continued) | ||||||||||||||||
WEC Energy Group, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (10,568) | $ (994,151) | $ (1,001,741) | $ (21,541) | ||||||||
Xcel Energy, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (8,392) | (539,659) | (565,956) | (34,867) | ||||||||
(406,297) | (21,029,005) | (20,592,806) | (68,544) | |||||||||||||
Total Reference Entity — Short | (390,780,407) | (351,608,768) | 35,047,159 | |||||||||||||
Net Value of Reference Entity | $(259,094,524) | $(205,299,579) | $56,161,953 |
* | Includes $2,367,008 related to open trades, dividends receivables/payables and swap receivables/payables activities. |
USFF U.S. Fed Funds
Number of Shares | Value | ||
COMMON STOCKS — 49.7% | |||
Automobiles & Components — 1.0% | |||
BorgWarner, Inc.(a) | 5,314 | $ 260,971 | |
Ford Motor Co.(a) | 59,392 | 748,339 | |
General Motors Co.(a) | 23,214 | 851,490 | |
Lear Corp. | 299 | 41,707 | |
Modine Manufacturing Co.* | 707 | 16,296 | |
Visteon Corp.(a)* | 1,888 | 296,095 | |
2,214,898 | |||
Capital Goods — 5.7% | |||
3M Co. | 1,382 | 145,262 | |
A. O. Smith Corp. | 932 | 64,448 | |
Advanced Drainage Systems, Inc.(a) | 2,644 | 222,651 | |
AGCO Corp. | 42 | 5,678 | |
AMETEK, Inc. | 168 | 24,415 | |
Armstrong World Industries, Inc. | 249 | 17,739 | |
Array Technologies, Inc.* | 2,579 | 56,428 | |
Atkore, Inc.* | 393 | 55,209 | |
Axon Enterprise, Inc.* | 743 | 167,064 | |
Blue Bird Corp.* | 77 | 1,573 | |
BlueLinx Holdings, Inc.* | 31 | 2,107 | |
Boise Cascade Co. | 1,064 | 67,298 | |
Builders FirstSource, Inc.(a)* | 1,685 | 149,594 | |
Carlisle Cos., Inc. | 611 | 138,129 | |
Carrier Global Corp.(a) | 4,446 | 203,404 | |
Caterpillar, Inc. | 784 | 179,411 | |
Chart Industries, Inc.(a)* | 5,216 | 654,086 | |
Comfort Systems USA, Inc. | 570 | 83,197 | |
Crane Holdings Co. | 1,058 | 120,083 | |
Cummins, Inc.(a) | 486 | 116,096 | |
Curtiss-Wright Corp. | 329 | 57,990 | |
Deere & Co.(a) | 808 | 333,607 | |
Donaldson Co., Inc. | 56 | 3,659 | |
Douglas Dynamics, Inc. | 3 | 96 | |
Dover Corp. | 391 | 59,409 | |
Eaton Corp. PLC (Ireland) | 602 | 103,147 | |
EMCOR Group, Inc. | �� 270 | 43,899 | |
Encore Wire Corp.(a) | 3,994 | 740,208 | |
Enerpac Tool Group Corp. | 319 | 8,134 | |
EnPro Industries, Inc. | 513 | 53,296 | |
Esab Corp. | 71 | 4,194 | |
Fortive Corp.(a) | 2,443 | 166,539 | |
Fortune Brands Innovations, Inc.(a) | 4,539 | 266,575 | |
General Dynamics Corp. | 184 | 41,991 | |
General Electric Co.(a) | 4,925 | 470,830 | |
GMS, Inc.* | 430 | 24,893 | |
Griffon Corp. | 2,678 | 85,723 | |
Hillman Solutions Corp.* | 3,875 | 32,627 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Capital Goods — (Continued) | |||
Honeywell International, Inc. | 1,009 | $ 192,840 | |
Howmet Aerospace, Inc.(a) | 6,321 | 267,821 | |
Hubbell, Inc.(a) | 751 | 182,726 | |
Huntington Ingalls Industries, Inc. | 37 | 7,660 | |
Illinois Tool Works, Inc.(a) | 1,108 | 269,743 | |
Ingersoll Rand, Inc.(a) | 5,996 | 348,847 | |
Janus International Group, Inc.* | 310 | 3,057 | |
Kaman Corp. | 169 | 3,863 | |
Lockheed Martin Corp.(a) | 1,098 | 519,058 | |
Manitowoc Co., Inc. (The)* | 35 | 598 | |
Masco Corp. | 3,803 | 189,085 | |
Mueller Industries, Inc.(a) | 7,123 | 523,398 | |
Nordson Corp.(a) | 294 | 65,344 | |
nVent Electric PLC (Ireland) | 4,507 | 193,531 | |
Otis Worldwide Corp.(a) | 2,588 | 218,427 | |
Owens Corning | 2,579 | 247,068 | |
Pentair PLC (Ireland) | 1,249 | 69,032 | |
Quanta Services, Inc. | 184 | 30,662 | |
RBC Bearings, Inc.* | 693 | 161,282 | |
Regal Rexnord Corp. | 828 | 116,524 | |
Shoals Technologies Group, Inc., Class A* | 9,134 | 208,164 | |
Simpson Manufacturing Co., Inc. | 527 | 57,780 | |
Snap-on, Inc. | 574 | 141,715 | |
Sterling Infrastructure, Inc.* | 861 | 32,615 | |
Terex Corp. | 4,585 | 221,822 | |
Textron, Inc.(a) | 9,310 | 657,565 | |
Thermon Group Holdings, Inc.* | 515 | 12,834 | |
Timken Co. (The) | 763 | 62,352 | |
Titan International, Inc.* | 116 | 1,216 | |
Toro Co. (The) | 70 | 7,781 | |
Trane Technologies PLC (Ireland) | 1,321 | 243,038 | |
TransDigm Group, Inc.(a) | 391 | 288,187 | |
UFP Industries, Inc. | 2,408 | 191,364 | |
United Rentals, Inc.(a) | 498 | 197,088 | |
Univar Solutions, Inc.* | 973 | 34,084 | |
Valmont Industries, Inc. | 380 | 121,326 | |
Veritiv Corp.(a) | 2,136 | 288,659 | |
Wabash National Corp. | 3,990 | 98,114 | |
Watsco, Inc. | 115 | 36,588 | |
Watts Water Technologies, Inc., Class A | 973 | 163,775 | |
Westinghouse Air Brake Technologies Corp. | 715 | 72,258 | |
WillScot Mobile Mini Holdings Corp.* | 979 | 45,896 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Capital Goods — (Continued) | |||
WW Grainger, Inc.(a) | 1,067 | $ 734,960 | |
Xylem, Inc.(a) | 3,921 | 410,529 | |
12,910,965 | |||
Commercial & Professional Services — 1.3% | |||
Automatic Data Processing, Inc.(a) | 1,827 | 406,745 | |
Brady Corp., Class A | 32 | 1,719 | |
Broadridge Financial Solutions, Inc. | 1,155 | 169,288 | |
CACI International, Inc., Class A* | 26 | 7,703 | |
CBIZ, Inc.* | 4 | 198 | |
Cintas Corp. | 123 | 56,910 | |
Clarivate PLC (Jersey)* | 6,821 | 64,049 | |
Clean Harbors, Inc.* | 970 | 138,283 | |
Concentrix Corp. | 288 | 35,006 | |
Copart, Inc.(a)* | 4,710 | 354,239 | |
Heidrick & Struggles International, Inc. | 29 | 881 | |
HireRight Holdings Corp.* | 34 | 361 | |
Insperity, Inc. | 776 | 94,323 | |
Korn Ferry | 1,257 | 65,037 | |
Leidos Holdings, Inc. | 1,459 | 134,316 | |
Paychex, Inc.(a) | 1,805 | 206,835 | |
Republic Services, Inc. | 1,477 | 199,720 | |
Ritchie Bros Auctioneers, Inc. (Canada) | 1,000 | 56,290 | |
Robert Half International, Inc. | 192 | 15,470 | |
Rollins, Inc. | 5,423 | 203,525 | |
Science Applications International Corp. | 792 | 85,108 | |
Sterling Check Corp.* | 32 | 357 | |
Tetra Tech, Inc.(a) | 392 | 57,589 | |
Thomson Reuters Corp. (Canada) | 1,700 | 221,204 | |
TransUnion | 1,209 | 75,127 | |
Verisk Analytics, Inc.(a) | 1,336 | 256,325 | |
Waste Management, Inc.(a) | 659 | 107,529 | |
3,014,137 | |||
Consumer Discretionary Distribution & Retail — 1.9% | |||
Amazon.com, Inc.(a)* | 2,826 | 291,898 | |
Arhaus, Inc.* | 837 | 6,939 | |
Bath & Body Works, Inc.(a) | 8,869 | 324,428 | |
Best Buy Co., Inc. | 3 | 235 | |
Buckle, Inc. (The) | 2,258 | 80,588 | |
Burlington Stores, Inc.* | 265 | 53,557 | |
CarMax, Inc.* | 1,037 | 66,658 | |
Chico's FAS, Inc.* | 1,683 | 9,257 | |
eBay, Inc.(a) | 3,741 | 165,988 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Consumer Discretionary Distribution & Retail — (Continued) | |||
Etsy, Inc.(a)* | 4,026 | $ 448,215 | |
Genuine Parts Co. | 652 | 109,086 | |
Group 1 Automotive, Inc. | 363 | 82,190 | |
Home Depot, Inc. (The)(a) | 344 | 101,521 | |
LKQ Corp.(a) | 6,136 | 348,279 | |
Lowe's Cos., Inc.(a) | 3,378 | 675,499 | |
Monro, Inc. | 7 | 346 | |
ODP Corp. (The)* | 3,334 | 149,963 | |
O'Reilly Automotive, Inc.* | 97 | 82,351 | |
Overstock.com, Inc.(a)* | 3,394 | 68,796 | |
Pool Corp. | 87 | 29,792 | |
Ross Stores, Inc.(a) | 6,616 | 702,156 | |
Signet Jewelers Ltd. (Bermuda) | 879 | 68,369 | |
TJX Cos., Inc. (The) | 569 | 44,587 | |
Ulta Beauty, Inc.(a)* | 366 | 199,715 | |
Urban Outfitters, Inc.* | 8,273 | 229,328 | |
Warby Parker, Inc., Class A* | 5,592 | 59,219 | |
4,398,960 | |||
Consumer Durables & Apparel — 1.8% | |||
Capri Holdings Ltd. (British Virgin Islands)* | 653 | 30,691 | |
Cavco Industries, Inc.* | 683 | 217,016 | |
Cricut, Inc., Class A | 45 | 459 | |
Crocs, Inc.* | 363 | 45,898 | |
DR Horton, Inc. | 2,218 | 216,676 | |
Garmin Ltd. (Switzerland) | 1,317 | 132,912 | |
GoPro, Inc., Class A* | 11,886 | 59,787 | |
Hasbro, Inc.(a) | 7,551 | 405,413 | |
Installed Building Products, Inc. | 352 | 40,139 | |
Kontoor Brands, Inc. | 94 | 4,549 | |
Malibu Boats, Inc., Class A* | 659 | 37,201 | |
Mohawk Industries, Inc.* | 800 | 80,176 | |
NIKE, Inc., Class B(a) | 5,475 | 671,454 | |
NVR, Inc.* | 43 | 239,604 | |
Peloton Interactive, Inc., Class A* | 15,674 | 177,743 | |
Polaris, Inc. | 1,910 | 211,303 | |
PulteGroup, Inc. | 3,051 | 177,812 | |
Skyline Champion Corp.* | 2,334 | 175,587 | |
Sonos, Inc.* | 2,060 | 40,417 | |
Steven Madden Ltd. | 4,018 | 144,648 | |
Tapestry, Inc.(a) | 18,971 | 817,840 | |
Under Armour, Inc., Class C* | 6,165 | 52,587 | |
Vista Outdoor, Inc.* | 3,937 | 109,094 | |
Whirlpool Corp. | 459 | 60,597 | |
4,149,603 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Consumer Services — 1.7% | |||
Adtalem Global Education, Inc.* | 31 | $ 1,197 | |
Booking Holdings, Inc.* | 68 | 180,364 | |
Bright Horizons Family Solutions, Inc.* | 764 | 58,820 | |
Caesars Entertainment, Inc.(a)* | 12,240 | 597,434 | |
Darden Restaurants, Inc. | 811 | 125,835 | |
Denny's Corp.* | 930 | 10,379 | |
Duolingo, Inc.* | 37 | 5,276 | |
Expedia Group, Inc.(a)* | 1,276 | 123,810 | |
Grand Canyon Education, Inc.* | 479 | 54,558 | |
Marriott International, Inc., Class A(a) | 1,332 | 221,165 | |
McDonald's Corp.(a) | 2,065 | 577,395 | |
MGM Resorts International(a) | 7,612 | 338,125 | |
Monarch Casino & Resort, Inc. | 114 | 8,453 | |
Perdoceo Education Corp.* | 23 | 309 | |
Rover Group, Inc.* | 106 | 480 | |
Six Flags Entertainment Corp.* | 1,053 | 28,126 | |
Starbucks Corp.(a) | 6,844 | 712,666 | |
Wendy's Co. (The) | 3,254 | 70,872 | |
Wingstop, Inc. | 682 | 125,202 | |
Wyndham Hotels & Resorts, Inc. | 71 | 4,817 | |
Yum! Brands, Inc.(a) | 3,838 | 506,923 | |
3,752,206 | |||
Consumer Staples Distribution & Retail — 1.1% | |||
Casey's General Stores, Inc. | 757 | 163,860 | |
Costco Wholesale Corp.(a) | 1,171 | 581,835 | |
Dollar Tree, Inc.(a)* | 1,104 | 158,479 | |
Fresh Market Holdings, Inc. (The), Escrow Shares(b)* | 45,368 | — | |
Kroger Co. (The) | 536 | 26,462 | |
Performance Food Group Co.* | 610 | 36,807 | |
Sprouts Farmers Market, Inc.* | 899 | 31,492 | |
US Foods Holding Corp.(a)* | 12,802 | 472,906 | |
Walgreens Boots Alliance, Inc. | 1,586 | 54,844 | |
Walmart, Inc.(a) | 6,879 | 1,014,309 | |
2,540,994 | |||
Energy — 3.0% | |||
Antero Resources Corp.* | 8,293 | 191,485 | |
APA Corp. | 2,425 | 87,445 | |
Arch Resources, Inc. | 862 | 113,318 | |
Baker Hughes Co. | 5,764 | 166,349 | |
Canadian Natural Resources Ltd. (Canada) | 472 | 26,125 | |
Cheniere Energy, Inc. | 1,924 | 303,222 | |
Chevron Corp.(a) | 1,767 | 288,304 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Energy — (Continued) | |||
Comstock Resources, Inc. | 1,403 | $ 15,138 | |
ConocoPhillips | 1,300 | 128,973 | |
CONSOL Energy, Inc. | 1,502 | 87,522 | |
Coterra Energy, Inc. | 9,244 | 226,848 | |
Crescent Point Energy Corp. (Canada) | 11,881 | 83,880 | |
CVR Energy, Inc. | 141 | 4,622 | |
Denbury, Inc.* | 798 | 69,929 | |
DHT Holdings, Inc. (Marshall Islands) | 30,152 | 325,943 | |
Dorian LPG Ltd. (Marshall Islands) | 3,120 | 62,213 | |
Enbridge, Inc. (Canada) | 1,717 | 65,504 | |
Enerplus Corp. (Canada) | 10,137 | 146,074 | |
EOG Resources, Inc. | 639 | 73,249 | |
EQT Corp.(a) | 3,924 | 125,215 | |
Equitrans Midstream Corp. | 4,674 | 27,016 | |
Expro Group Holdings N. V. (Netherlands)* | 192 | 3,525 | |
Exxon Mobil Corp.(a) | 7,230 | 792,842 | |
FLEX LNG Ltd. (Bermuda) | 161 | 5,406 | |
Gulfport Energy Corp.* | 286 | 22,880 | |
Helmerich & Payne, Inc. | 2,324 | 83,083 | |
Hess Corp. | 853 | 112,886 | |
HF Sinclair Corp. | 2,350 | 113,693 | |
Kinder Morgan, Inc.(a) | 18,914 | 331,184 | |
Kosmos Energy Ltd.* | 26,391 | 196,349 | |
Marathon Petroleum Corp. | 1,663 | 224,222 | |
Murphy Oil Corp. | 3,938 | 145,627 | |
Nabors Industries Ltd. (Bermuda)* | 1,489 | 181,524 | |
NexTier Oilfield Solutions, Inc.* | 9,453 | 75,151 | |
Nordic American Tankers Ltd. (Bermuda) | 1,316 | 5,211 | |
Occidental Petroleum Corp.(a) | 6,244 | 389,813 | |
Patterson-UTI Energy, Inc. | 2,212 | 25,880 | |
Pembina Pipeline Corp. (Canada) | 2,984 | 96,682 | |
Phillips 66 | 41 | 4,157 | |
Range Resources Corp.(a) | 12,895 | 341,331 | |
RPC, Inc. | 3,849 | 29,599 | |
Southwestern Energy Co.(a)* | 96,197 | 480,985 | |
TechnipFMC PLC (United Kingdom)* | 8,492 | 115,916 | |
US Silica Holdings, Inc.* | 14,364 | 171,506 | |
Valaris Ltd. (Bermuda)* | 410 | 26,675 | |
Valero Energy Corp. | 302 | 42,159 | |
Weatherford International PLC (Ireland)* | 3,254 | 193,125 | |
6,829,785 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Financial Services — 1.5% | |||
Affiliated Managers Group, Inc. | 497 | $ 70,783 | |
Berkshire Hathaway, Inc., Class B(a)* | 3,383 | 1,044,569 | |
BlackRock, Inc. | 8 | 5,353 | |
Cboe Global Markets, Inc. | 23 | 3,087 | |
CME Group, Inc. | 66 | 12,640 | |
Federated Hermes, Inc. | 631 | 25,328 | |
Franklin Resources, Inc.(a) | 13,119 | 353,426 | |
Intercontinental Exchange, Inc.(a) | 7,024 | 732,533 | |
Janus Henderson Group PLC (Jersey) | 2,595 | 69,131 | |
MarketAxess Holdings, Inc. | 313 | 122,474 | |
Nasdaq, Inc.(a) | 4,828 | 263,947 | |
Open Lending Corp., Class A* | 9,580 | 67,443 | |
T Rowe Price Group, Inc.(a) | 4,773 | 538,872 | |
3,309,586 | |||
Food, Beverage & Tobacco — 1.7% | |||
Altria Group, Inc.(a) | 10,938 | 488,053 | |
Archer-Daniels-Midland Co. | 435 | 34,652 | |
Bunge Ltd. (Bermuda) | 357 | 34,101 | |
Cal-Maine Foods, Inc. | 274 | 16,684 | |
Campbell Soup Co. | 798 | 43,874 | |
Celsius Holdings, Inc.* | 1,914 | 177,887 | |
Coca-Cola Co. (The)(a) | 9,920 | 615,337 | |
Constellation Brands, Inc., Class A | 832 | 187,940 | |
Dole PLC (Ireland) | 485 | 5,694 | |
Duckhorn Portfolio, Inc. (The)* | 822 | 13,070 | |
General Mills, Inc.(a) | 3,560 | 304,238 | |
J M Smucker Co. (The) | 272 | 42,805 | |
John B Sanfilippo & Son, Inc. | 12 | 1,163 | |
Kellogg Co. | 1,684 | 112,761 | |
Keurig Dr Pepper, Inc.(a) | 17,289 | 609,956 | |
Kraft Heinz Co. (The) | 5,785 | 223,706 | |
Lamb Weston Holdings, Inc.(a) | 1,938 | 202,560 | |
MGP Ingredients, Inc. | 347 | 33,562 | |
Molson Coors Beverage Co., Class B | 1,195 | 61,758 | |
PepsiCo, Inc.(a) | 2,034 | 370,798 | |
Philip Morris International, Inc.(a) | 2,970 | 288,832 | |
Pilgrim's Pride Corp.* | 876 | 20,306 | |
Primo Water Corp. (Canada) | 2,743 | 42,105 | |
Vector Group Ltd. | 27 | 324 | |
3,932,166 | |||
Health Care Equipment & Services — 3.7% | |||
Abbott Laboratories | 203 | 20,556 | |
Addus HomeCare Corp.* | 21 | 2,242 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Health Care Equipment & Services — (Continued) | |||
Amedisys, Inc.* | 268 | $ 19,711 | |
Apollo Medical Holdings, Inc.* | 794 | 28,957 | |
Axonics, Inc.* | 2,448 | 133,563 | |
Cardinal Health, Inc.(a) | 2,478 | 187,089 | |
Centene Corp.* | 692 | 43,741 | |
Cigna Group (The)(a) | 665 | 169,927 | |
Community Health Systems, Inc.* | 334 | 1,637 | |
Cooper Cos., Inc. (The) | 114 | 42,563 | |
CVS Health Corp.(a) | 4,187 | 311,136 | |
DaVita, Inc.* | 159 | 12,897 | |
DENTSPLY SIRONA, Inc. | 2,367 | 92,976 | |
Dexcom, Inc.(a)* | 2,745 | 318,914 | |
Edwards Lifesciences Corp.(a)* | 6,850 | 566,701 | |
Elevance Health, Inc. | 283 | 130,126 | |
Embecta Corp. | 24 | 675 | |
Enovis Corp.(a)* | 5,873 | 314,147 | |
Ensign Group, Inc. (The) | 262 | 25,032 | |
Fulgent Genetics, Inc.* | 5,080 | 158,598 | |
GE HealthCare Technologies, Inc.(a)* | 4,705 | 385,951 | |
HCA Healthcare, Inc.(a) | 1,627 | 429,007 | |
Hims & Hers Health, Inc.* | 4,525 | 44,888 | |
Hologic, Inc.(a)* | 2,983 | 240,728 | |
Humana, Inc.(a) | 1,101 | 534,491 | |
IDEXX Laboratories, Inc.(a)* | 726 | 363,058 | |
Inspire Medical Systems, Inc.(a)* | 815 | 190,767 | |
Insulet Corp.(a)* | 539 | 171,919 | |
Integra LifeSciences Holdings Corp.* | 1,131 | 64,931 | |
iRhythm Technologies, Inc.* | 1,274 | 158,014 | |
Lantheus Holdings, Inc.(a)* | 5,875 | 485,040 | |
McKesson Corp. | 137 | 48,779 | |
Medtronic PLC (Ireland) | 5,537 | 446,393 | |
Molina Healthcare, Inc.(a)* | 1,451 | 388,128 | |
NextGen Healthcare, Inc.* | 191 | 3,325 | |
Shockwave Medical, Inc.(a)* | 1,483 | 321,559 | |
Stryker Corp. | 121 | 34,542 | |
TransMedics Group, Inc.* | 2,236 | 169,332 | |
UFP Technologies, Inc.* | 182 | 23,631 | |
UnitedHealth Group, Inc.(a) | 761 | 359,641 | |
Universal Health Services, Inc., Class B | 324 | 41,180 | |
Veradigm, Inc.(a)* | 20,890 | 272,615 | |
Zimmer Biomet Holdings, Inc.(a) | 4,240 | 547,808 | |
8,306,915 | |||
Household & Personal Products — 1.0% | |||
Church & Dwight Co., Inc. | 290 | 25,639 | |
elf Beauty, Inc.(a)* | 8,344 | 687,128 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Household & Personal Products — (Continued) | |||
Kimberly-Clark Corp.(a) | 5,468 | $ 733,915 | |
Olaplex Holdings, Inc.* | 7,046 | 30,086 | |
Procter & Gamble Co. (The)(a) | 4,529 | 673,417 | |
Spectrum Brands Holdings, Inc. | 1,276 | 84,497 | |
2,234,682 | |||
Materials — 2.9% | |||
AdvanSix, Inc. | 982 | 37,581 | |
Albemarle Corp. | 416 | 91,953 | |
Alpha Metallurgical Resources, Inc. | 1,170 | 182,520 | |
American Vanguard Corp. | 3 | 66 | |
ATI, Inc.* | 886 | 34,962 | |
Avient Corp. | 263 | 10,825 | |
Ball Corp. | 1,127 | 62,109 | |
CF Industries Holdings, Inc. | 158 | 11,453 | |
Commercial Metals Co. | 1,169 | 57,164 | |
Dow, Inc. | 2,809 | 153,989 | |
DuPont de Nemours, Inc.(a) | 8,015 | 575,237 | |
Eastman Chemical Co.(a) | 1,459 | 123,052 | |
Ecolab, Inc. | 691 | 114,381 | |
FMC Corp. | 573 | 69,980 | |
Franco-Nevada Corp. (Canada) | 1,975 | 287,955 | |
Freeport-McMoRan, Inc.(a) | 8,309 | 339,921 | |
Graphic Packaging Holding Co. | 6,522 | 166,246 | |
Greif, Inc., Class A | 112 | 7,097 | |
Hudbay Minerals, Inc. (Canada) | 16,823 | 88,321 | |
Innospec, Inc. | 103 | 10,575 | |
International Paper Co.(a) | 7,617 | 274,669 | |
Linde PLC (Ireland) | 1,665 | 591,808 | |
Livent Corp.* | 6,512 | 141,441 | |
LSB Industries, Inc.* | 2,016 | 20,825 | |
Martin Marietta Materials, Inc.(a) | 788 | 279,787 | |
Mosaic Co. (The) | 4,472 | 205,175 | |
MP Materials Corp.(a)* | 1,741 | 49,079 | |
Newmont Corp.(a) | 6,032 | 295,689 | |
Nucor Corp.(a) | 2,287 | 353,273 | |
Nutrien Ltd. (Canada) | 399 | 29,466 | |
Olin Corp.(a) | 5,057 | 280,663 | |
Packaging Corp. of America | 996 | 138,275 | |
Pactiv Evergreen, Inc. | 103 | 824 | |
Perimeter Solutions SA (Luxembourg)* | 1,021 | 8,250 | |
Reliance Steel & Aluminum Co. | 386 | 99,102 | |
Sealed Air Corp. | 3,415 | 156,783 | |
Silgan Holdings, Inc. | 3,432 | 184,195 | |
SilverCrest Metals, Inc. (Canada)* | 92 | 657 | |
Steel Dynamics, Inc.(a) | 2,959 | 334,545 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Materials — (Continued) | |||
Sylvamo Corp. | 997 | $ 46,121 | |
Teck Resources Ltd., Class B (Canada) | 2,643 | 96,469 | |
Westlake Corp. | 693 | 80,374 | |
Wheaton Precious Metals Corp. (Canada) | 10,772 | 518,779 | |
6,611,636 | |||
Media & Entertainment — 3.6% | |||
Activision Blizzard, Inc. | 14 | 1,198 | |
Alphabet, Inc., Class A(a)* | 9,656 | 1,001,617 | |
Bumble, Inc., Class A* | 2,519 | 49,247 | |
Cable One, Inc. | 27 | 18,954 | |
Charter Communications, Inc., Class A(a)* | 366 | 130,885 | |
Cinemark Holdings, Inc.(a)* | 13,932 | 206,054 | |
Comcast Corp., Class A(a) | 8,237 | 312,265 | |
Fox Corp., Class A | 119 | 4,052 | |
Interpublic Group of Cos., Inc. (The) | 5,126 | 190,892 | |
Match Group, Inc.(a)* | 9,513 | 365,204 | |
Meta Platforms, Inc., Class A(a)* | 9,617 | 2,038,227 | |
Netflix, Inc.(a)* | 5,446 | 1,881,484 | |
New York Times Co. (The), Class A | 549 | 21,345 | |
News Corp., Class A | 5,891 | 101,738 | |
Omnicom Group, Inc.(a) | 4,507 | 425,190 | |
Paramount Global, Class B | 3,066 | 68,403 | |
Shutterstock, Inc. | 1,540 | 111,804 | |
Sirius XM Holdings, Inc.(a) | 69,189 | 274,680 | |
Stagwell, Inc.* | 536 | 3,977 | |
Trade Desk, Inc. (The), Class A(a)* | 5,162 | 314,417 | |
TripAdvisor, Inc.(a)* | 16,351 | 324,731 | |
Walt Disney Co. (The)* | 858 | 85,912 | |
ZipRecruiter, Inc., Class A* | 5,503 | 87,718 | |
ZoomInfo Technologies, Inc.* | 6,589 | 162,814 | |
8,182,808 | |||
Pharmaceuticals, Biotechnology & Life Sciences — 3.7% | |||
AbCellera Biologics, Inc. (Canada)* | 379 | 2,858 | |
Agilent Technologies, Inc. | 8 | 1,107 | |
Ardelyx, Inc.* | 2,348 | 11,247 | |
Biogen, Inc.* | 555 | 154,307 | |
Bristol-Myers Squibb Co.(a) | 4,963 | 343,985 | |
Catalyst Pharmaceuticals, Inc.* | 5,814 | 96,396 | |
Charles River Laboratories International, Inc.* | 266 | 53,684 | |
Collegium Pharmaceutical, Inc.* | 583 | 13,986 | |
Dynavax Technologies Corp.* | 331 | 3,247 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) | |||
FibroGen, Inc.* | 404 | $ 7,539 | |
Gilead Sciences, Inc. | 2,470 | 204,936 | |
Halozyme Therapeutics, Inc.* | 1,111 | 42,429 | |
Harmony Biosciences Holdings, Inc.* | 1,786 | 58,313 | |
Illumina, Inc.(a)* | 1,408 | 327,430 | |
Incyte Corp.* | 1,339 | 96,770 | |
IQVIA Holdings, Inc.(a)* | 1,062 | 211,221 | |
Ironwood Pharmaceuticals, Inc.* | 5,571 | 58,607 | |
Jazz Pharmaceuticals PLC (Ireland)* | 2,207 | 322,950 | |
Johnson & Johnson(a) | 5,773 | 894,815 | |
Ligand Pharmaceuticals, Inc.* | 218 | 16,036 | |
Maravai LifeSciences Holdings, Inc., Class A* | 8,150 | 114,181 | |
Medpace Holdings, Inc.* | 790 | 148,559 | |
Merck & Co., Inc.(a) | 9,069 | 964,851 | |
Mettler-Toledo International, Inc.(a)* | 308 | 471,305 | |
Moderna, Inc.(a)* | 5,410 | 830,868 | |
Organon & Co. | 3,558 | 83,684 | |
PerkinElmer, Inc.(a) | 1,623 | 216,281 | |
Pfizer, Inc.(a) | 24,683 | 1,007,066 | |
Provention Bio, Inc.* | 3,100 | 74,710 | |
QIAGEN N. V. (Netherlands)* | 1,632 | 74,958 | |
TG Therapeutics, Inc.(a)* | 18,420 | 277,037 | |
Theravance Biopharma, Inc. (Cayman Islands)* | 718 | 7,790 | |
United Therapeutics Corp.* | 1,227 | 274,799 | |
Viatris, Inc.(a) | 39,777 | 382,655 | |
West Pharmaceutical Services, Inc.(a) | 1,214 | 420,615 | |
Zoetis, Inc. | 1,012 | 168,437 | |
8,439,659 | |||
Semiconductors & Semiconductor Equipment — 4.0% | |||
Applied Materials, Inc.(a) | 929 | 114,109 | |
Axcelis Technologies, Inc.(a)* | 4,012 | 534,599 | |
Broadcom, Inc.(a) | 424 | 272,013 | |
Cirrus Logic, Inc.* | 1,988 | 217,447 | |
Cohu, Inc.* | 1,084 | 41,615 | |
Diodes, Inc.* | 1,866 | 173,090 | |
Enphase Energy, Inc.* | 495 | 104,089 | |
First Solar, Inc.(a)* | 4,290 | 933,075 | |
GLOBALFOUNDRIES, Inc. (Cayman Islands)* | 1,790 | 129,202 | |
Impinj, Inc.* | 10 | 1,355 | |
indie Semiconductor, Inc., Class A* | 189 | 1,994 | |
KLA Corp. | 509 | 203,178 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Semiconductors & Semiconductor Equipment — (Continued) | |||
Lam Research Corp.(a) | 1,763 | $ 934,602 | |
Lattice Semiconductor Corp.(a)* | ��� 3,677 | 351,153 | |
MaxLinear, Inc.* | 2,114 | 74,434 | |
Microchip Technology, Inc.(a) | 10,601 | 888,152 | |
Monolithic Power Systems, Inc. | 418 | 209,226 | |
NVIDIA Corp. | 1,082 | 300,547 | |
NXP Semiconductors N. V. (Netherlands) | 5,104 | 951,768 | |
ON Semiconductor Corp.(a)* | 10,264 | 844,932 | |
Onto Innovation, Inc.* | 486 | 42,710 | |
PDF Solutions, Inc.* | 284 | 12,042 | |
Photronics, Inc.* | 1,379 | 22,864 | |
Qorvo, Inc.(a)* | 2,799 | 284,294 | |
QUALCOMM, Inc.(a) | 2,489 | 317,547 | |
Rambus, Inc.(a)* | 5,737 | 294,079 | |
Semtech Corp.* | 3,444 | 83,138 | |
Skyworks Solutions, Inc.(a) | 4,592 | 541,764 | |
Synaptics, Inc.(a)* | 803 | 89,253 | |
Veeco Instruments, Inc.* | 1,048 | 22,144 | |
8,990,415 | |||
Software & Services — 4.4% | |||
Accenture PLC, Class A (Ireland) | 452 | 129,186 | |
Adeia, Inc. | 72 | 638 | |
Adobe, Inc.(a)* | 1,885 | 726,422 | |
Akamai Technologies, Inc.* | 671 | 52,539 | |
ANSYS, Inc.* | 272 | 90,522 | |
Asana, Inc., Class A* | 4,663 | 98,529 | |
Box, Inc., Class A* | 1,778 | 47,633 | |
Ceridian HCM Holding, Inc.* | 2,013 | 147,392 | |
CommVault Systems, Inc.* | 53 | 3,007 | |
Cvent Holding Corp.* | 214 | 1,789 | |
Descartes Systems Group, Inc. (The) (Canada)* | 807 | 65,052 | |
Digital Turbine, Inc.* | 2,810 | 34,732 | |
DigitalOcean Holdings, Inc.* | 1,480 | 57,972 | |
Docebo, Inc. (Canada)* | 27 | 1,100 | |
DocuSign, Inc.(a)* | 665 | 38,770 | |
Dropbox, Inc., Class A* | 1,402 | 30,311 | |
DXC Technology Co.(a)* | 8,592 | 219,612 | |
Elastic N. V. (Netherlands)* | 105 | 6,080 | |
Enfusion, Inc., Class A* | 389 | 4,085 | |
Fair Isaac Corp.* | 131 | 92,052 | |
Fortinet, Inc.(a)* | 9,842 | 654,099 | |
Gartner, Inc.(a)* | 1,124 | 366,166 | |
Gen Digital, Inc. | 4,169 | 71,540 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Software & Services — (Continued) | |||
Guidewire Software, Inc.* | 1,818 | $ 149,167 | |
HubSpot, Inc.* | 62 | 26,583 | |
Informatica, Inc., Class A* | 36 | 590 | |
Intapp, Inc.* | 123 | 5,515 | |
InterDigital, Inc. | 2,598 | 189,394 | |
International Business Machines Corp.(a) | 2,113 | 276,993 | |
Microsoft Corp.(a) | 5,751 | 1,658,013 | |
MongoDB, Inc.(a)* | 102 | 23,778 | |
NCR Corp.* | 3,588 | 84,641 | |
New Relic, Inc.* | 2,826 | 212,770 | |
Nutanix, Inc., Class A* | 6,331 | 164,543 | |
Okta, Inc.* | 575 | 49,588 | |
Oracle Corp.(a) | 8,258 | 767,333 | |
PagerDuty, Inc.* | 4,112 | 143,838 | |
Palo Alto Networks, Inc.(a)* | 1,341 | 267,851 | |
PowerSchool Holdings, Inc., Class A* | 1,900 | 37,658 | |
Qualys, Inc.* | 465 | 60,459 | |
Roper Technologies, Inc. | 28 | 12,339 | |
Salesforce, Inc.(a)* | 3,755 | 750,174 | |
Samsara, Inc., Class A* | 2,576 | 50,799 | |
SentinelOne, Inc., Class A* | 2,464 | 40,311 | |
ServiceNow, Inc.(a)* | 2,179 | 1,012,625 | |
SolarWinds Corp.* | 120 | 1,032 | |
Splunk, Inc.(a)* | 6,179 | 592,443 | |
Sprinklr, Inc., Class A* | 123 | 1,594 | |
SPS Commerce, Inc.* | 118 | 17,971 | |
Squarespace, Inc., Class A* | 2,177 | 69,163 | |
Tenable Holdings, Inc.* | 99 | 4,704 | |
Varonis Systems, Inc.* | 1,298 | 33,761 | |
VeriSign, Inc.* | 1,010 | 213,443 | |
Yext, Inc.* | 2,658 | 25,543 | |
Zeta Global Holdings Corp., Class A* | 1,318 | 14,274 | |
Zuora, Inc., Class A* | 4,397 | 43,442 | |
9,941,560 | |||
Technology Hardware & Equipment — 2.9% | |||
Amphenol Corp., Class A(a) | 3,867 | 316,011 | |
Apple, Inc.(a) | 5,559 | 916,679 | |
Badger Meter, Inc. | 257 | 31,308 | |
CDW Corp.(a) | ��� 2,314 | 450,976 | |
Cisco Systems, Inc.(a) | 10,444 | 545,960 | |
Digi International, Inc.* | 206 | 6,938 | |
Extreme Networks, Inc.* | 6,537 | 124,987 | |
F5, Inc.(a)* | 2,458 | 358,106 | |
Fabrinet (Cayman Islands)* | 179 | 21,258 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Technology Hardware & Equipment — (Continued) | |||
Hewlett Packard Enterprise Co.(a) | 28,247 | $ 449,975 | |
HP, Inc.(a) | 9,087 | 266,703 | |
Infinera Corp.* | 9,520 | 73,875 | |
IonQ, Inc.* | 24,250 | 149,138 | |
IPG Photonics Corp.* | 758 | 93,469 | |
Keysight Technologies, Inc.* | 569 | 91,882 | |
Methode Electronics, Inc. | 151 | 6,626 | |
Mirion Technologies, Inc.* | 1,558 | 13,305 | |
Motorola Solutions, Inc.(a) | 1,595 | 456,377 | |
NetApp, Inc.(a) | 5,220 | 333,297 | |
NetScout Systems, Inc.* | 2,144 | 61,426 | |
Pure Storage, Inc., Class A* | 6,079 | 155,075 | |
Sanmina Corp.* | 483 | 29,458 | |
Seagate Technology Holdings PLC (Ireland) | 3,672 | 242,793 | |
Super Micro Computer, Inc.(a)* | 5,480 | 583,894 | |
TE Connectivity Ltd. (Switzerland) | 1,285 | 168,528 | |
Teledyne Technologies, Inc.(a)* | 508 | 227,259 | |
Viavi Solutions, Inc.* | 4,389 | 47,533 | |
Vishay Intertechnology, Inc. | 2,137 | 48,339 | |
Zebra Technologies Corp., Class A(a)* | 864 | 274,752 | |
6,545,927 | |||
Telecommunication Services — 0.6% | |||
AT&T, Inc.(a) | 25,562 | 492,069 | |
EchoStar Corp., Class A* | 6,289 | 115,026 | |
Iridium Communications, Inc. | 815 | 50,473 | |
Lumen Technologies, Inc. | 50,965 | 135,057 | |
TELUS Corp. (Canada) | 466 | 9,255 | |
T-Mobile US, Inc.* | 1,524 | 220,736 | |
United States Cellular Corp.* | 425 | 8,810 | |
Verizon Communications, Inc.(a) | 10,499 | 408,306 | |
1,439,732 | |||
Transportation — 1.3% | |||
CH Robinson Worldwide, Inc. | 648 | 64,392 | |
CSX Corp.(a) | 5,209 | 155,958 | |
Expeditors International of Washington, Inc.(a) | 4,753 | 523,400 | |
Forward Air Corp. | 18 | 1,940 | |
Hub Group, Inc., Class A* | 501 | 42,054 | |
Kirby Corp.* | 540 | 37,638 | |
Landstar System, Inc.(a) | 1,619 | 290,222 | |
Marten Transport Ltd. | 334 | 6,997 | |
Norfolk Southern Corp.(a) | 1,264 | 267,968 | |
Old Dominion Freight Line, Inc.(a) | 1,159 | 395,034 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Transportation — (Continued) | |||
RXO, Inc.* | 1,163 | $ 22,841 | |
Ryder System, Inc. | 1,789 | 159,650 | |
Schneider National, Inc., Class B | 1,839 | 49,193 | |
TFI International, Inc. (Canada) | 430 | 51,295 | |
Uber Technologies, Inc.* | 1,764 | 55,919 | |
Union Pacific Corp.(a) | 1,644 | 330,871 | |
United Parcel Service, Inc., Class B(a) | 1,390 | 269,646 | |
XPO, Inc.* | 3,604 | 114,968 | |
2,839,986 | |||
Utilities — 0.9% | |||
AES Corp. (The) | 66 | 1,589 | |
American Water Works Co., Inc. | 62 | 9,082 | |
Atmos Energy Corp. | 32 | 3,596 | |
Chesapeake Utilities Corp. | 13 | 1,664 | |
Constellation Energy Corp.(a) | 4,659 | 365,732 | |
Dominion Energy, Inc. | 1,262 | 70,558 | |
Entergy Corp. | 1,469 | 158,270 | |
Evergy, Inc. | 43 | 2,628 | |
Exelon Corp.(a) | 15,399 | 645,064 | |
Montauk Renewables, Inc.* | 249 | 1,960 | |
National Fuel Gas Co. | 1,682 | 97,119 | |
Otter Tail Corp. | 26 | 1,879 | |
PNM Resources, Inc. | 589 | 28,673 | |
Public Service Enterprise Group, Inc.(a) | 11,560 | 721,922 | |
SJW Group | 242 | 18,423 | |
2,128,159 | |||
TOTAL COMMON STOCKS (Cost $100,043,325) | 112,714,779 | ||
AFFILIATED EQUITY REGISTERED INVESTMENT COMPANIES — 45.4% | |||
Gotham 1000 Value ETF | 2,590,000 | 49,002,800 | |
Gotham Enhanced 500 ETF | 2,400,000 | 53,856,000 | |
TOTAL AFFILIATED EQUITY REGISTERED INVESTMENT COMPANIES (Cost $98,334,324) | 102,858,800 |
Number of Shares | Value | ||
EXCHANGE TRADED FUNDS — 0.1% | |||
SPDR S&P 500 ETF Trust | 514 | $ 210,427 | |
TOTAL EXCHANGE TRADED FUNDS (Cost $201,668) | 210,427 | ||
TOTAL INVESTMENTS - 95.2% (Cost $198,579,317) | 215,784,006 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.8% | 10,969,622 | ||
NET ASSETS - 100.0% | $ 226,753,628 |
(a) | Security position is either entirely or partially designated as collateral for total return swaps. (See Note 1 of the Notes to Financial Statements) |
(b) | Security is fair valued by the Adviser in accordance with the policies established by the Board of Trustees. |
* | Non-income producing. |
ETF | Exchange-Traded Fund |
PLC | Public Limited Company |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Long | ||||||||||||||||
Automobiles & Components | ||||||||||||||||
Aptiv PLC (Jersey) | USFF +0.250% | Weekly | MS | 07/08/27 | 471 | $ 43,637 | $ 52,841 | $ 9,931 | ||||||||
BorgWarner, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 12,355 | 548,742 | 606,754 | 70,629 | ||||||||
Ford Motor Co. | USFF +0.250% | Weekly | MS | 11/03/25 | 55,555 | 642,985 | 699,993 | 123,117 | ||||||||
General Motors Co. | USFF +0.250% | Weekly | MS | 11/03/25 | 20,714 | 829,066 | 759,790 | (52,294) | ||||||||
Lear Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 900 | 122,217 | 125,541 | 6,236 | ||||||||
Modine Manufacturing Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,109 | 68,735 | 71,662 | 4,059 | ||||||||
Visteon Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,628 | 261,646 | 255,319 | (2,086) | ||||||||
94,732 | 2,517,028 | 2,571,900 | 159,592 | |||||||||||||
Capital Goods | ||||||||||||||||
3M Co. | USFF +0.250% | Weekly | MS | 08/27/24 | 9,097 | 1,165,481 | 956,186 | (169,429) | ||||||||
A. O. Smith Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,269 | 122,143 | 156,901 | 37,930 | ||||||||
Advanced Drainage Systems, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,210 | 206,346 | 186,104 | (18,253) | ||||||||
AGCO Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,616 | 214,129 | 218,483 | 7,929 | ||||||||
AMETEK, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,852 | 688,978 | 705,141 | 28,137 | ||||||||
Applied Industrial Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,016 | 142,162 | 144,404 | 4,874 | ||||||||
Armstrong World Industries, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,068 | 73,631 | 76,084 | 3,663 | ||||||||
Array Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 11,240 | 224,278 | 245,931 | 25,292 | ||||||||
Atkore, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 467 | 38,399 | 65,604 | 27,847 | ||||||||
Axon Enterprise, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 5,864 | 1,273,605 | 1,318,520 | 65,469 | ||||||||
Blue Bird Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 433 | 8,916 | 8,846 | 97 | ||||||||
BlueLinx Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 107 | 7,304 | 7,272 | 108 | ||||||||
Boeing Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 5,316 | 1,099,732 | 1,129,278 | 48,069 | ||||||||
Boise Cascade Co. | USFF +0.250% | Weekly | MS | 08/27/24 | 1,789 | 108,579 | 113,154 | 14,218 | ||||||||
Builders FirstSource, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 3,955 | 259,151 | 351,125 | 96,245 | ||||||||
CAE, Inc. (Canada) | USFF +0.250% | Weekly | MS | 07/08/27 | 2,562 | 53,420 | 57,978 | 5,474 | ||||||||
Carlisle Cos., Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,704 | 409,699 | 385,223 | (17,484) | ||||||||
Carrier Global Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 8,067 | 319,167 | 369,065 | 57,378 | ||||||||
Caterpillar, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,627 | 1,101,405 | 1,058,843 | (22,239) | ||||||||
Chart Industries, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 5,353 | 670,591 | 671,266 | 11,508 | ||||||||
Comfort Systems USA, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 709 | 100,937 | 103,486 | 4,236 | ||||||||
Crane Holdings Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,103 | 349,398 | 352,191 | 9,911 | ||||||||
Cummins, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 331 | 65,520 | 79,069 | 17,308 | ||||||||
Curtiss-Wright Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 609 | 103,064 | 107,342 | 6,084 | ||||||||
Deere & Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 942 | 356,365 | 388,933 | 41,061 | ||||||||
Donaldson Co., Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,027 | 182,611 | 197,784 | 19,262 | ||||||||
Dover Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 380 | 48,799 | 57,737 | 10,779 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
Eaton Corp. PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/10/28 | 1,177 | $199,633 | $201,667 | $ 5,747 | ||||||||
EMCOR Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,263 | 334,796 | 367,941 | 39,086 | ||||||||
Encore Wire Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 3,315 | 380,724 | 614,369 | 241,540 | ||||||||
Enerpac Tool Group Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 5,323 | 134,851 | 135,737 | 3,082 | ||||||||
EnPro Industries, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 739 | 81,710 | 76,775 | (3,446) | ||||||||
Esab Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 57 | 3,338 | 3,367 | 166 | ||||||||
Fortive Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 4,005 | 243,592 | 273,021 | 33,780 | ||||||||
Fortune Brands Innovations, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 7,738 | 454,265 | 454,453 | 8,288 | ||||||||
General Dynamics Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 157 | 34,956 | 35,829 | 1,460 | ||||||||
General Electric Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 6,009 | 360,796 | 574,460 | 220,016 | ||||||||
GMS, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 482 | 26,070 | 27,903 | 2,276 | ||||||||
Griffon Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,509 | 166,288 | 144,333 | (19,007) | ||||||||
Hillman Solutions Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,154 | 34,317 | 34,977 | 1,236 | ||||||||
Honeywell International, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,610 | 319,373 | 307,703 | (4,442) | ||||||||
Howmet Aerospace, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 6,259 | 228,944 | 265,194 | 40,391 | ||||||||
Hubbell, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 632 | 123,499 | 153,772 | 34,285 | ||||||||
Huntington Ingalls Industries, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 30 | 6,208 | 6,211 | 126 | ||||||||
Illinois Tool Works, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,240 | 275,714 | 301,878 | 33,051 | ||||||||
Ingersoll Rand, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 8,297 | 469,592 | 482,719 | 20,352 | ||||||||
Janus International Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 261 | 2,629 | 2,573 | 10 | ||||||||
Kaman Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 179 | 3,983 | 4,092 | 211 | ||||||||
Lockheed Martin Corp. | USFF +0.250% | Weekly | MS | 08/27/24 | 1,358 | 553,389 | 641,967 | 113,064 | ||||||||
Manitowoc Co., Inc. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 70 | 1,185 | 1,196 | 54 | ||||||||
Masco Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,978 | 145,004 | 148,066 | 6,297 | ||||||||
Mueller Industries, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 5,853 | 330,375 | 430,078 | 111,369 | ||||||||
Nordson Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 281 | 55,785 | 62,455 | 9,080 | ||||||||
nVent Electric PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/08/27 | 5,474 | 227,252 | 235,054 | 11,781 | ||||||||
Otis Worldwide Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,315 | 176,231 | 195,386 | 22,528 | ||||||||
Owens Corning | USFF +0.250% | Weekly | MS | 01/10/28 | 2,382 | 235,779 | 228,196 | (2,855) | ||||||||
PACCAR, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,848 | 259,153 | 281,674 | 28,558 | ||||||||
Pentair PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/08/27 | 1,069 | 42,718 | 59,084 | 17,428 | ||||||||
Quanta Services, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,517 | 371,517 | 419,433 | 54,020 | ||||||||
RBC Bearings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 616 | 142,556 | 143,362 | 3,127 | ||||||||
Regal Rexnord Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 678 | 94,186 | 95,415 | 2,864 | ||||||||
Rocket Lab USA, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 20,192 | 91,158 | 81,576 | (9,485) |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
Shoals Technologies Group, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 8,758 | $ 193,824 | $ 199,595 | $ 8,919 | ||||||||
Simpson Manufacturing Co., Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 492 | 47,218 | 53,943 | 7,593 | ||||||||
Snap-on, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 473 | 115,606 | 116,779 | 3,326 | ||||||||
Sterling Infrastructure, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 757 | 29,441 | 28,675 | (268) | ||||||||
Terex Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 5,097 | 261,744 | 246,593 | (10,158) | ||||||||
Textron, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 8,110 | 515,737 | 572,809 | 65,902 | ||||||||
Thermon Group Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 416 | 10,709 | 10,367 | (147) | ||||||||
Timken Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 631 | 52,271 | 51,565 | 278 | ||||||||
Titan International, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 65 | 684 | 681 | 31 | ||||||||
Toro Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 58 | 6,379 | 6,447 | 195 | ||||||||
Trane Technologies PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/10/28 | 1,080 | 192,279 | 198,698 | 9,751 | ||||||||
TransDigm Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 318 | 232,755 | 234,382 | 5,402 | ||||||||
UFP Industries, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,053 | 160,185 | 163,152 | 7,108 | ||||||||
United Rentals, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 406 | 97,121 | 160,679 | 65,747 | ||||||||
Univar Solutions, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 826 | 28,125 | 28,935 | 1,286 | ||||||||
Valmont Industries, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 545 | 177,468 | 174,008 | (413) | ||||||||
Veritiv Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 2,506 | 290,966 | 338,661 | 55,052 | ||||||||
Wabash National Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,781 | 81,612 | 92,975 | 13,021 | ||||||||
Watsco, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 97 | 29,490 | 30,862 | 2,097 | ||||||||
Watts Water Technologies, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 839 | 142,909 | 141,220 | 750 | ||||||||
Westinghouse Air Brake Technologies Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 601 | 51,461 | 60,737 | 10,457 | ||||||||
WillScot Mobile Mini Holdings Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 13,661 | 627,698 | 640,428 | 22,872 | ||||||||
WW Grainger, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 903 | 447,591 | 621,995 | 186,479 | ||||||||
Xylem, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,264 | 339,678 | 341,741 | 8,248 | ||||||||
246,517 | 20,138,327 | 21,519,793 | 1,805,040 | |||||||||||||
Commercial & Professional Services | ||||||||||||||||
ACV Auctions, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 6,591 | 69,549 | 85,090 | 16,685 | ||||||||
Automatic Data Processing, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 2,355 | 485,844 | 524,294 | 71,602 | ||||||||
Brady Corp., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 104 | 5,502 | 5,588 | 197 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Commercial & Professional Services — (continued) | ||||||||||||||||
Broadridge Financial Solutions, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,056 | $ 295,927 | $ 301,348 | $ 13,127 | ||||||||
CACI International, Inc., Class A | USFF +0.250% | Weekly | MS | 08/27/24 | 281 | 80,658 | 83,255 | 4,022 | ||||||||
CBIZ, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,678 | 79,704 | 83,044 | 4,706 | ||||||||
Cintas Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 876 | 384,659 | 405,308 | 27,993 | ||||||||
Clarivate PLC (Jersey) | USFF +0.250% | Weekly | MS | 01/10/28 | 15,274 | 143,257 | 143,423 | 2,498 | ||||||||
Clean Harbors, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,548 | 480,060 | 505,803 | 33,505 | ||||||||
Concentrix Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 525 | 63,246 | 63,814 | 1,611 | ||||||||
Copart, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 5,916 | 330,403 | 444,942 | 119,888 | ||||||||
Heidrick & Struggles International, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 21 | 627 | 638 | 44 | ||||||||
HireRight Holdings Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 31 | 328 | 329 | 30 | ||||||||
Insperity, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 964 | 110,422 | 117,174 | 9,040 | ||||||||
Korn Ferry | USFF +0.250% | Weekly | MS | 01/07/27 | 1,132 | 71,611 | 58,570 | (11,202) | ||||||||
Leidos Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,906 | 382,431 | 359,586 | (14,722) | ||||||||
Paychex, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 2,271 | 256,872 | 260,234 | 16,939 | ||||||||
Republic Services, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,234 | 160,501 | 166,861 | 9,573 | ||||||||
Ritchie Bros Auctioneers, Inc. (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 998 | 53,510 | 56,191 | 3,567 | ||||||||
Robert Half International, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 4,461 | 343,535 | 359,423 | 26,872 | ||||||||
Rollins, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 15,927 | 589,537 | 597,740 | 19,396 | ||||||||
Science Applications International Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,368 | 142,353 | 147,005 | 7,088 | ||||||||
Sterling Check Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 29 | 317 | 323 | 35 | ||||||||
Tetra Tech, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 333 | 43,709 | 48,921 | 6,918 | ||||||||
Thomson Reuters Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/08/27 | 1,583 | 177,094 | 205,980 | 32,608 | ||||||||
TransUnion | USFF +0.250% | Weekly | MS | 01/10/28 | 985 | 57,621 | 61,208 | 4,539 | ||||||||
Verisk Analytics, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,300 | 223,010 | 249,418 | 31,037 | ||||||||
Waste Management, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 564 | 82,357 | 92,028 | 11,926 | ||||||||
76,311 | 5,114,644 | 5,427,538 | 449,522 | |||||||||||||
Consumer Discretionary Distribution & Retail | ||||||||||||||||
Amazon.com, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 25,178 | 2,589,015 | 2,600,636 | 53,379 | ||||||||
Arhaus, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,843 | 43,231 | 40,148 | (2,362) | ||||||||
AutoZone, Inc. | USFF +0.250% | Weekly | MS | 11/03/25 | 10 | 18,061 | 24,582 | 6,835 | ||||||||
Bath & Body Works, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 8,272 | 233,520 | 302,590 | 76,306 | ||||||||
Best Buy Co., Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 750 | 43,266 | 58,703 | 22,079 | ||||||||
Buckle, Inc. (The) | USFF +0.250% | Weekly | MS | 08/27/24 | 6,680 | 244,849 | 238,409 | 16,883 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Discretionary Distribution & Retail — (continued) | ||||||||||||||||
Burlington Stores, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,528 | $ 317,781 | $ 308,809 | $ (3,826) | ||||||||
CarMax, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 6,639 | 431,372 | 426,755 | 2,158 | ||||||||
Chico's FAS, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,114 | 17,263 | 17,127 | 165 | ||||||||
eBay, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 3,730 | 159,038 | 165,500 | 11,609 | ||||||||
Etsy, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 3,288 | 314,737 | 366,053 | 58,669 | ||||||||
Genuine Parts Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,403 | 230,347 | 234,736 | 9,608 | ||||||||
Group 1 Automotive, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 426 | 77,544 | 96,455 | 20,709 | ||||||||
Home Depot, Inc. (The) | USFF +0.250% | Weekly | MS | 08/27/24 | 519 | 147,725 | 153,167 | 12,128 | ||||||||
LKQ Corp. | USFF +0.250% | Weekly | MS | 08/27/24 | 6,286 | 314,878 | 356,793 | 55,021 | ||||||||
Lowe's Cos., Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 3,058 | 546,452 | 611,508 | 100,375 | ||||||||
Monro, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 4 | 197 | 198 | 27 | ||||||||
Murphy USA, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 519 | 118,903 | 133,928 | 18,060 | ||||||||
ODP Corp. (The) | USFF +0.250% | Weekly | MS | 07/06/26 | 2,992 | 108,799 | 134,580 | 27,558 | ||||||||
O'Reilly Automotive, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 97 | 78,324 | 82,351 | 5,312 | ||||||||
Overstock.com, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,268 | 83,204 | 86,512 | 4,370 | ||||||||
Pool Corp. | USFF +0.250% | Weekly | MS | 08/27/24 | 72 | 23,592 | 24,656 | 1,463 | ||||||||
Ross Stores, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 5,538 | 452,697 | 587,748 | 147,968 | ||||||||
Signet Jewelers Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 01/10/28 | 716 | 53,368 | 55,690 | 3,206 | ||||||||
TJX Cos., Inc. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 733 | 56,060 | 57,438 | 2,305 | ||||||||
Ulta Beauty, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 520 | 198,224 | 283,748 | 98,670 | ||||||||
Urban Outfitters, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 7,225 | 179,423 | 200,277 | 23,723 | ||||||||
Warby Parker, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 4,804 | 71,617 | 50,874 | (21,126) | ||||||||
103,212 | 7,153,487 | 7,699,971 | 751,272 | |||||||||||||
Consumer Durables & Apparel | ||||||||||||||||
Brunswick Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 576 | 46,445 | 47,232 | 1,580 | ||||||||
Capri Holdings Ltd. (British Virgin Islands) | USFF +0.250% | Weekly | MS | 01/10/28 | 4,676 | 232,623 | 219,772 | (14,645) | ||||||||
Cavco Industries, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 654 | 145,580 | 207,802 | 65,163 | ||||||||
Cricut, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 65 | 631 | 663 | 65 | ||||||||
Crocs, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 908 | 94,365 | 114,808 | 20,593 | ||||||||
DR Horton, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 3,649 | 215,868 | 356,471 | 151,958 | ||||||||
Garmin Ltd. (Switzerland) | USFF +0.250% | Weekly | MS | 07/08/27 | 1,161 | 103,397 | 117,168 | 16,982 | ||||||||
GoPro, Inc., Class A | USFF +0.250% | Weekly | MS | 07/06/26 | 10,285 | 76,326 | 51,734 | (23,339) | ||||||||
Hasbro, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 10,526 | 548,544 | 565,141 | 22,364 | ||||||||
Installed Building Products, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 347 | 37,317 | 39,568 | 2,876 | ||||||||
Kontoor Brands, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 77 | 3,683 | 3,726 | 245 | ||||||||
Leggett & Platt, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,034 | 103,678 | 96,724 | (3,930) | ||||||||
Malibu Boats, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 544 | 27,912 | 30,709 | 3,270 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Durables & Apparel — (continued) | ||||||||||||||||
Mohawk Industries, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 831 | $ 91,614 | $ 83,283 | $ (6,831) | ||||||||
NIKE, Inc., Class B | USFF +0.250% | Weekly | MS | 01/07/27 | 4,517 | 474,299 | 553,965 | 91,007 | ||||||||
NVR, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 24 | 101,270 | 133,733 | 34,119 | ||||||||
Peloton Interactive, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 13,749 | 211,968 | 155,914 | (52,615) | ||||||||
Polaris, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,558 | 171,392 | 172,362 | 3,949 | ||||||||
PulteGroup, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,486 | 138,834 | 144,884 | 8,631 | ||||||||
Skyline Champion Corp. | USFF +0.250% | Weekly | MS | 08/27/24 | 1,899 | 90,158 | 142,862 | 56,477 | ||||||||
Sonos, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,719 | 33,288 | 33,727 | 999 | ||||||||
Steven Madden Ltd. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,670 | 121,640 | 132,120 | 13,291 | ||||||||
Tapestry, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 16,462 | 563,838 | 709,677 | 166,771 | ||||||||
Under Armour, Inc., Class C | USFF +0.250% | Weekly | MS | 07/08/27 | 5,068 | 31,907 | 43,230 | 13,020 | ||||||||
Vista Outdoor, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 3,241 | 90,025 | 89,808 | 901 | ||||||||
Whirlpool Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 371 | 49,280 | 48,979 | 1,122 | ||||||||
92,097 | 3,805,882 | 4,296,062 | 574,023 | |||||||||||||
Consumer Services | ||||||||||||||||
Adtalem Global Education, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 8,624 | 329,462 | 333,059 | 8,931 | ||||||||
Booking Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 174 | 323,193 | 461,519 | 157,983 | ||||||||
Bright Horizons Family Solutions, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 904 | 55,273 | 69,599 | 15,240 | ||||||||
Caesars Entertainment, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 30,495 | 1,423,238 | 1,488,461 | 87,091 | ||||||||
Darden Restaurants, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,172 | 180,692 | 181,848 | 4,116 | ||||||||
Denny's Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,992 | 47,277 | 44,551 | (1,941) | ||||||||
Duolingo, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 30 | 4,204 | 4,278 | 183 | ||||||||
Expedia Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,515 | 251,927 | 244,030 | (3,812) | ||||||||
Grand Canyon Education, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 494 | 56,171 | 56,267 | 1,024 | ||||||||
Hilton Worldwide Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 980 | 130,662 | 138,053 | 9,667 | ||||||||
Marriott International, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 1,388 | 237,876 | 230,464 | (3,877) | ||||||||
McDonald's Corp. | USFF +0.250% | Weekly | MS | 08/27/24 | 2,080 | 487,369 | 581,589 | 120,572 | ||||||||
MGM Resorts International | USFF +0.250% | Weekly | MS | 01/07/27 | 6,768 | 207,380 | 300,635 | 98,151 | ||||||||
Monarch Casino & Resort, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 113 | 8,193 | 8,379 | 371 | ||||||||
Perdoceo Education Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 19 | 251 | 255 | 31 | ||||||||
Rover Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 95 | 422 | 430 | 39 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Services — (continued) | ||||||||||||||||
Six Flags Entertainment Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 885 | $ 22,217 | $ 23,638 | $ 1,803 | ||||||||
Starbucks Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 5,976 | 492,276 | 622,281 | 145,676 | ||||||||
Wendy's Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 2,651 | 56,232 | 57,739 | 2,486 | ||||||||
Wingstop, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 565 | 76,157 | 103,723 | 35,147 | ||||||||
Wyndham Hotels & Resorts, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 59 | 3,988 | 4,003 | 103 | ||||||||
Yum! Brands, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,294 | 544,445 | 567,152 | 33,771 | ||||||||
74,273 | 4,938,905 | 5,521,953 | 712,755 | |||||||||||||
Consumer Staples Distribution & Retail | ||||||||||||||||
Casey's General Stores, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,855 | 425,231 | 401,533 | (16,318) | ||||||||
Costco Wholesale Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 1,047 | 494,929 | 520,223 | 35,453 | ||||||||
Dollar Tree, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,622 | 226,088 | 232,838 | 10,179 | ||||||||
Kroger Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 436 | 21,432 | 21,525 | 462 | ||||||||
Performance Food Group Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 527 | 30,969 | 31,799 | 1,467 | ||||||||
Sprouts Farmers Market, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,010 | 62,146 | 70,410 | 10,116 | ||||||||
US Foods Holding Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 11,584 | 406,238 | 427,913 | 28,063 | ||||||||
Walgreens Boots Alliance, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 7,931 | 286,279 | 274,254 | 8,530 | ||||||||
Walmart, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 5,824 | 740,715 | 858,749 | 146,574 | ||||||||
32,836 | 2,694,027 | 2,839,244 | 224,526 | |||||||||||||
Energy | ||||||||||||||||
Antero Resources Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 35,576 | 1,000,508 | 821,450 | (162,907) | ||||||||
APA Corp. | USFF +0.250% | Weekly | MS | 08/27/24 | 30,204 | 1,130,760 | 1,089,156 | (18,286) | ||||||||
Arch Resources, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,156 | 302,585 | 283,428 | (3,303) | ||||||||
Baker Hughes Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 7,153 | 170,307 | 206,436 | 42,859 | ||||||||
Canadian Natural Resources Ltd. (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 999 | 49,948 | 55,295 | 6,812 | ||||||||
Cheniere Energy, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,308 | 319,117 | 363,741 | 58,592 | ||||||||
Chevron Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 8,536 | 1,206,831 | 1,392,734 | 247,740 | ||||||||
Comstock Resources, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 10,654 | 114,505 | 114,957 | 2,174 | ||||||||
ConocoPhillips | USFF +0.250% | Weekly | MS | 07/08/27 | 6,276 | 635,625 | 622,642 | 8,420 | ||||||||
CONSOL Energy, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 6,971 | 395,106 | 406,200 | 19,143 | ||||||||
Coterra Energy, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 15,112 | 354,761 | 370,848 | 21,829 | ||||||||
Crescent Point Energy Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/08/27 | 54,062 | 368,979 | 381,678 | 23,418 | ||||||||
CVR Energy, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,418 | 45,133 | 46,482 | 2,528 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Energy — (continued) | ||||||||||||||||
Denbury, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 646 | $ 41,372 | $ 56,609 | $ 15,927 | ||||||||
DHT Holdings, Inc. (Marshall Islands) | USFF +0.250% | Weekly | MS | 07/08/27 | 50,950 | 485,445 | 550,770 | 86,371 | ||||||||
Dorian LPG Ltd. (Marshall Islands) | USFF +0.250% | Weekly | MS | 01/10/28 | 3,562 | 76,686 | 71,026 | (3,659) | ||||||||
Enbridge, Inc. (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 10,471 | 398,183 | 399,469 | 6,850 | ||||||||
Enerplus Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/08/27 | 14,764 | 232,339 | 212,749 | (15,176) | ||||||||
EOG Resources, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 2,736 | 324,643 | 313,628 | (545) | ||||||||
EQT Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 7,851 | 260,702 | 250,525 | (5,494) | ||||||||
Equitrans Midstream Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 25,789 | 174,253 | 149,060 | (20,104) | ||||||||
Expro Group Holdings N. V. (Netherlands) | USFF +0.250% | Weekly | MS | 01/10/28 | 143 | 2,600 | 2,625 | 91 | ||||||||
Exxon Mobil Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 6,922 | 640,018 | 759,067 | 160,369 | ||||||||
FLEX LNG Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 07/08/27 | 4,428 | 138,430 | 148,692 | 17,818 | ||||||||
Gulfport Energy Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 328 | 25,112 | 26,240 | 1,556 | ||||||||
Helmerich & Payne, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,215 | 128,651 | 114,936 | (11,252) | ||||||||
Hess Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,887 | 264,337 | 249,726 | (10,112) | ||||||||
HF Sinclair Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,848 | 243,501 | 234,546 | (4,087) | ||||||||
Imperial Oil Ltd. (Canada) | USFF +0.250% | Weekly | MS | 01/05/26 | 2,205 | 85,734 | 112,036 | 32,602 | ||||||||
Kinder Morgan, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 19,694 | 345,068 | 344,842 | 20,144 | ||||||||
Kosmos Energy Ltd. | USFF +0.250% | Weekly | MS | 07/08/27 | 29,871 | 212,634 | 222,240 | 12,849 | ||||||||
Marathon Petroleum Corp. | USFF +0.250% | Weekly | MS | 08/27/24 | 3,027 | 270,910 | 408,130 | 173,493 | ||||||||
Murphy Oil Corp. | USFF +0.250% | Weekly | MS | 08/27/24 | 6,186 | 222,129 | 228,758 | 13,384 | ||||||||
Nabors Industries Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 07/08/27 | 1,649 | 246,704 | 201,030 | (41,675) | ||||||||
NexTier Oilfield Solutions, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 14,680 | 138,001 | 116,706 | (19,047) | ||||||||
Nordic American Tankers Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 01/10/28 | 1,068 | 4,219 | 4,229 | 101 | ||||||||
Occidental Petroleum Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 10,042 | 451,936 | 626,922 | 189,003 | ||||||||
Patterson-UTI Energy, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,963 | 28,069 | 22,967 | (4,943) | ||||||||
Pembina Pipeline Corp. (Canada) | USFF +0.250% | Weekly | MS | 01/07/27 | 5,794 | 195,654 | 187,726 | (1,155) | ||||||||
Phillips 66 | USFF +0.250% | Weekly | MS | 07/06/26 | 459 | 35,800 | 46,533 | 12,959 | ||||||||
Range Resources Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 17,569 | 452,108 | 465,051 | 20,629 | ||||||||
RPC, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,346 | 31,154 | 25,731 | (4,828) |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Energy — (continued) | ||||||||||||||||
Southwestern Energy Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 83,244 | $ 436,646 | $ 416,220 | $ (13,364) | ||||||||
SPDR S&P 500 ETF Trust | USFF +0.250% | Weekly | MS | 01/10/28 | 1,289 | 508,221 | 527,704 | 28,548 | ||||||||
TechnipFMC PLC (United Kingdom) | USFF +0.250% | Weekly | MS | 07/08/27 | 6,919 | 53,529 | 94,444 | 41,802 | ||||||||
US Silica Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 11,857 | 154,554 | 141,573 | (10,516) | ||||||||
Valaris Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 01/07/27 | 344 | 14,584 | 22,381 | 8,055 | ||||||||
Valero Energy Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 284 | 32,101 | 39,646 | 9,044 | ||||||||
W&T Offshore, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 15,900 | 93,230 | 80,772 | (10,965) | ||||||||
Weatherford International PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/07/27 | 2,722 | 83,686 | 161,551 | 79,237 | ||||||||
560,077 | 13,627,108 | 14,191,907 | 1,002,929 | |||||||||||||
Financial Services | ||||||||||||||||
Affiliated Managers Group, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 475 | 55,868 | 67,650 | 13,360 | ||||||||
Berkshire Hathaway, Inc., Class B | USFF +0.250% | Weekly | MS | 08/27/24 | 3,839 | 1,029,302 | 1,185,368 | 172,681 | ||||||||
BlackRock, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 536 | 389,097 | 358,648 | (21,699) | ||||||||
Cboe Global Markets, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,872 | 230,997 | 251,297 | 25,061 | ||||||||
CME Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,540 | 644,041 | 677,981 | 48,014 | ||||||||
FactSet Research Systems, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 150 | 60,597 | 62,264 | 2,800 | ||||||||
Federated Hermes, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,609 | 60,124 | 64,585 | 6,070 | ||||||||
Franklin Resources, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 19,493 | 476,884 | 525,141 | 74,461 | ||||||||
Intercontinental Exchange, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 5,722 | 547,250 | 596,747 | 67,687 | ||||||||
Janus Henderson Group PLC (Jersey) | USFF +0.250% | Weekly | MS | 01/10/28 | 3,503 | 97,430 | 93,320 | (2,633) | ||||||||
MarketAxess Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 265 | 71,552 | 103,692 | 33,487 | ||||||||
Nasdaq, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 13,124 | 613,393 | 717,489 | 132,551 | ||||||||
Open Lending Corp., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 8,176 | 72,268 | 57,559 | (13,707) | ||||||||
T Rowe Price Group, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 3,982 | 466,428 | 449,568 | 16,067 | ||||||||
66,286 | 4,815,231 | 5,211,309 | 554,200 | |||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||
Altria Group, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 9,463 | 410,859 | 422,239 | 87,488 | ||||||||
Archer-Daniels-Midland Co. | USFF +0.250% | Weekly | MS | 08/27/24 | 1,625 | 117,901 | 129,448 | 22,251 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Food, Beverage & Tobacco — (continued) | ||||||||||||||||
Boston Beer Co., Inc. (The), Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 218 | $ 71,330 | $ 71,657 | $ 373 | ||||||||
Bunge Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 01/10/28 | 1,494 | 143,288 | 142,707 | 1,752 | ||||||||
Cal-Maine Foods, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 7,668 | 424,462 | 466,905 | 59,000 | ||||||||
Campbell Soup Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 11,978 | 631,637 | 658,550 | 37,384 | ||||||||
Celsius Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 7,809 | 689,952 | 725,768 | 46,912 | ||||||||
Coca-Cola Co. (The) | USFF +0.250% | Weekly | MS | 08/27/24 | 8,835 | 499,295 | 548,035 | 93,423 | ||||||||
Constellation Brands, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 709 | 153,349 | 160,156 | 9,302 | ||||||||
Dole PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/10/28 | 564 | 6,574 | 6,621 | 216 | ||||||||
Duckhorn Portfolio, Inc. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 764 | 11,910 | 12,148 | 452 | ||||||||
General Mills, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 2,937 | 195,570 | 250,996 | 68,324 | ||||||||
J M Smucker Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 219 | 33,765 | 34,464 | 1,266 | ||||||||
John B Sanfilippo & Son, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 9 | 870 | 872 | 39 | ||||||||
Kellogg Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 9,122 | 630,858 | 610,809 | (3,395) | ||||||||
Keurig Dr Pepper, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 17,986 | 643,649 | 634,546 | 7,497 | ||||||||
Kraft Heinz Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 5,560 | 213,919 | 215,005 | (1,072) | ||||||||
Lamb Weston Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,826 | 145,287 | 190,854 | 48,890 | ||||||||
MGP Ingredients, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 753 | 75,986 | 72,830 | (1,823) | ||||||||
Molson Coors Beverage Co., Class B | USFF +0.250% | Weekly | MS | 01/10/28 | 1,041 | 53,692 | 53,799 | 1,140 | ||||||||
PepsiCo, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 2,149 | 351,975 | 391,763 | 59,937 | ||||||||
Philip Morris International, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 2,510 | 219,652 | 244,098 | 57,378 | ||||||||
Pilgrim's Pride Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 9,816 | 240,224 | 227,535 | (9,275) | ||||||||
Primo Water Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/08/27 | 2,234 | 29,698 | 34,292 | 5,369 | ||||||||
Vector Group Ltd. | USFF +0.250% | Weekly | MS | 01/10/28 | 22 | 262 | 264 | 30 | ||||||||
107,311 | 5,995,964 | 6,306,361 | 592,858 | |||||||||||||
Health Care Equipment & Services | ||||||||||||||||
Abbott Laboratories | USFF +0.250% | Weekly | MS | 01/10/28 | 7,534 | 748,986 | 762,893 | 27,808 | ||||||||
Addus HomeCare Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 222 | 22,419 | 23,701 | 1,666 | ||||||||
Align Technology, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 301 | 93,181 | 100,576 | 8,921 | ||||||||
Amedisys, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,536 | 112,231 | 112,973 | 2,574 | ||||||||
Apollo Medical Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,322 | 60,155 | 48,213 | (10,949) | ||||||||
Avanos Medical, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 3,703 | 105,191 | 110,127 | 6,607 | ||||||||
Axonics, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 5,159 | 321,999 | 281,475 | (35,311) | ||||||||
Cardinal Health, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 5,004 | 337,906 | 377,802 | 52,126 | ||||||||
Centene Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 16,750 | 1,268,979 | 1,058,767 | (189,732) | ||||||||
Cigna Group (The) | USFF +0.250% | Weekly | MS | 01/07/27 | 1,757 | 503,443 | 448,966 | (41,925) |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Health Care Equipment & Services — (continued) | ||||||||||||||||
Community Health Systems, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 612 | $ 2,970 | $ 2,999 | $ 100 | ||||||||
Cooper Cos., Inc. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 547 | 187,458 | 204,228 | 19,823 | ||||||||
Cross Country Healthcare, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 8,474 | 244,349 | 189,140 | (51,247) | ||||||||
CVS Health Corp. | USFF +0.250% | Weekly | MS | 08/27/24 | 15,013 | 1,211,775 | 1,115,616 | (70,549) | ||||||||
DaVita, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 131 | 10,283 | 10,625 | 531 | ||||||||
DENTSPLY SIRONA, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,941 | 57,837 | 76,242 | 19,932 | ||||||||
Dexcom, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 4,006 | 377,927 | 465,417 | 93,605 | ||||||||
Edwards Lifesciences Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 5,679 | 403,535 | 469,824 | 73,372 | ||||||||
Elevance Health, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 347 | 159,906 | 159,554 | 2,836 | ||||||||
Embecta Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 31 | 874 | 872 | 35 | ||||||||
Enovis Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 5,384 | 274,273 | 287,990 | 17,992 | ||||||||
Ensign Group, Inc. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 638 | 57,751 | 60,955 | 4,299 | ||||||||
Fulgent Genetics, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 4,788 | 284,379 | 149,481 | (130,291) | ||||||||
GE HealthCare Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 8,602 | 551,027 | 705,622 | 163,501 | ||||||||
HCA Healthcare, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,828 | 369,144 | 482,007 | 121,410 | ||||||||
Hims & Hers Health, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 18,839 | 153,611 | 186,883 | 35,771 | ||||||||
Hologic, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 3,123 | 238,142 | 252,026 | 17,746 | ||||||||
Humana, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 918 | 457,011 | 445,652 | (2,687) | ||||||||
IDEXX Laboratories, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 594 | 204,451 | 297,048 | 95,915 | ||||||||
Inspire Medical Systems, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 707 | 153,084 | 165,487 | 14,894 | ||||||||
Insulet Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 623 | 178,258 | 198,712 | 27,343 | ||||||||
Integra LifeSciences Holdings Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,522 | 83,780 | 87,378 | 4,971 | ||||||||
iRhythm Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,238 | 145,336 | 153,549 | 10,579 | ||||||||
Lantheus Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 5,952 | 321,476 | 491,397 | 177,707 | ||||||||
LivaNova PLC (United Kingdom) | USFF +0.250% | Weekly | MS | 07/08/27 | 1,131 | 63,971 | 49,289 | (14,760) | ||||||||
McKesson Corp. | USFF +0.250% | Weekly | MS | 08/27/24 | 274 | 83,793 | 97,558 | 38,047 | ||||||||
Medtronic PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/10/28 | 6,146 | 486,310 | 495,491 | 21,019 | ||||||||
Molina Healthcare, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,315 | 381,196 | 351,749 | (23,278) | ||||||||
NextGen Healthcare, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,180 | 58,969 | 55,364 | (2,631) |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Health Care Equipment & Services — (continued) | ||||||||||||||||
Shockwave Medical, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,447 | $ 275,509 | $ 313,753 | $ 42,967 | ||||||||
Stryker Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 189 | 52,265 | 53,954 | 2,783 | ||||||||
TransMedics Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 7,440 | 470,285 | 563,431 | 100,751 | ||||||||
UFP Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 162 | 19,698 | 21,034 | 1,676 | ||||||||
UnitedHealth Group, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 974 | 457,009 | 460,303 | 18,369 | ||||||||
Universal Health Services, Inc., Class B | USFF +0.250% | Weekly | MS | 01/10/28 | 309 | 37,164 | 39,274 | 2,924 | ||||||||
Veradigm, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 18,629 | 293,197 | 243,108 | (45,339) | ||||||||
Zimmer Biomet Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 5,149 | 635,208 | 665,251 | 41,702 | ||||||||
181,170 | 13,017,701 | 13,393,756 | 653,603 | |||||||||||||
Household & Personal Products | ||||||||||||||||
Church & Dwight Co., Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 948 | 80,887 | 83,813 | 4,251 | ||||||||
elf Beauty, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 10,098 | 492,197 | 831,570 | 349,170 | ||||||||
Kimberly-Clark Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,950 | 633,186 | 664,389 | 53,417 | ||||||||
Olaplex Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 6,565 | 33,200 | 28,033 | (4,688) | ||||||||
Procter & Gamble Co. (The) | USFF +0.250% | Weekly | MS | 08/27/24 | 3,725 | 493,133 | 553,870 | 95,508 | ||||||||
Spectrum Brands Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,056 | 66,505 | 69,928 | 5,181 | ||||||||
27,342 | 1,799,108 | 2,231,603 | 502,839 | |||||||||||||
Materials | ||||||||||||||||
AdvanSix, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 1,609 | 58,971 | 61,576 | 4,188 | ||||||||
Alamos Gold, Inc., Class A (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 13,847 | 142,483 | 169,349 | 30,257 | ||||||||
Albemarle Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 5,534 | 1,227,263 | 1,223,235 | 11,761 | ||||||||
Alpha Metallurgical Resources, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,557 | 191,326 | 242,892 | 64,143 | ||||||||
American Vanguard Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 26 | 567 | 569 | 34 | ||||||||
ATI, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 12,352 | 485,703 | 487,410 | 9,560 | ||||||||
Avient Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 619 | 24,940 | 25,478 | 963 | ||||||||
Ball Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,061 | 157,074 | 168,692 | 14,987 | ||||||||
CF Industries Holdings, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 4,205 | 317,321 | 304,820 | 2,708 | ||||||||
Commercial Metals Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 8,329 | 433,934 | 407,288 | (19,309) | ||||||||
Dow, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 6,862 | 393,485 | 376,175 | (7,663) | ||||||||
DuPont de Nemours, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 29,766 | 2,167,255 | 2,136,306 | 15,744 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Materials — (continued) | ||||||||||||||||
Eastman Chemical Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,430 | $ 105,049 | $ 120,606 | $ 19,385 | ||||||||
Ecolab, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,543 | 563,373 | 586,473 | 35,358 | ||||||||
FMC Corp. | USFF +0.250% | Weekly | MS | 08/27/24 | 1,978 | 253,444 | 241,573 | (6,615) | ||||||||
Franco-Nevada Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/08/27 | 2,114 | 262,871 | 308,221 | 54,813 | ||||||||
Freeport-McMoRan, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 10,057 | 353,048 | 411,432 | 72,628 | ||||||||
Graphic Packaging Holding Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 15,276 | 358,036 | 389,385 | 38,829 | ||||||||
Greif, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 1,396 | 94,983 | 88,465 | (4,704) | ||||||||
Hudbay Minerals, Inc. (Canada) | USFF +0.250% | Weekly | MS | 07/08/27 | 18,329 | 89,472 | 96,227 | 8,107 | ||||||||
Innospec Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 83 | 8,404 | 8,522 | 313 | ||||||||
International Paper Co. | USFF +0.250% | Weekly | MS | 08/27/24 | 6,552 | 260,050 | 236,265 | (8,434) | ||||||||
Linde PLC (Ireland) | USFF +0.250% | Weekly | MS | 08/27/24 | 1,679 | 542,166 | 596,784 | 65,133 | ||||||||
Livent Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 7,407 | 161,823 | 160,880 | (514) | ||||||||
LSB Industries, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,043 | 25,115 | 21,104 | (3,582) | ||||||||
Martin Marietta Materials, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 674 | 232,845 | 239,310 | 11,243 | ||||||||
Mosaic Co. (The) | USFF +0.250% | Weekly | MS | 01/07/27 | 11,439 | 525,962 | 524,821 | 11,854 | ||||||||
MP Materials Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,480 | 35,477 | 41,721 | 8,568 | ||||||||
Newmont Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 5,582 | 244,466 | 273,630 | 35,229 | ||||||||
Nucor Corp. | USFF +0.250% | Weekly | MS | 08/27/24 | 2,046 | 239,735 | 316,046 | 88,744 | ||||||||
Nutrien Ltd. (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 325 | 23,706 | 24,001 | 700 | ||||||||
Olin Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 4,497 | 205,730 | 249,584 | 50,138 | ||||||||
Packaging Corp. of America | USFF +0.250% | Weekly | MS | 07/08/27 | 2,105 | 279,224 | 292,237 | 20,484 | ||||||||
Pactiv Evergreen, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 97 | 803 | 776 | 12 | ||||||||
Perimeter Solutions SA (Luxembourg) | USFF +0.250% | Weekly | MS | 07/08/27 | 13,191 | 120,336 | 106,583 | (12,172) | ||||||||
Reliance Steel & Aluminum Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 322 | 78,993 | 82,670 | 5,497 | ||||||||
Sealed Air Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,794 | 135,749 | 128,273 | (4,728) | ||||||||
Silgan Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,346 | 170,346 | 179,580 | 12,679 | ||||||||
SilverCrest Metals, Inc. (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 73 | 519 | 521 | 34 | ||||||||
Steel Dynamics, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,526 | 266,871 | 285,590 | 24,201 | ||||||||
Sylvamo Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 925 | 32,370 | 42,791 | 11,404 | ||||||||
Teck Resources Ltd., Class B (Canada) | USFF +0.250% | Weekly | MS | 01/07/27 | 2,174 | 57,726 | 79,351 | 23,801 | ||||||||
Warrior Met Coal, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 4,909 | 162,175 | 180,209 | 26,694 | ||||||||
Westlake Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 581 | 67,138 | 67,384 | 1,349 | ||||||||
Wheaton Precious Metals Corp. (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 8,781 | 406,177 | 422,893 | 23,819 | ||||||||
227,521 | 11,964,504 | 12,407,698 | 737,640 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Media & Entertainment | ||||||||||||||||
Activision Blizzard, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 8,115 | $ 587,484 | $ 694,563 | $ 118,370 | ||||||||
Alphabet, Inc., Class A | USFF +0.250% | Weekly | MS | 08/27/24 | 27,396 | 2,037,611 | 2,841,787 | 837,045 | ||||||||
Bumble, Inc., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 25,676 | 551,590 | 501,966 | (40,710) | ||||||||
Cable One, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 411 | 277,921 | 288,522 | 14,996 | ||||||||
Charter Communications, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 1,364 | 505,363 | 487,780 | (9,413) | ||||||||
Cinemark Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 19,083 | 183,503 | 282,238 | 105,122 | ||||||||
Comcast Corp., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 15,626 | 533,595 | 592,382 | 69,596 | ||||||||
Fox Corp., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 13,310 | 421,064 | 453,206 | 43,101 | ||||||||
Interpublic Group of Cos., Inc. (The) | USFF +0.250% | Weekly | MS | 08/27/24 | 4,619 | 143,304 | 172,012 | 37,788 | ||||||||
Match Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 7,860 | 329,757 | 301,745 | (23,267) | ||||||||
Meta Platforms, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 8,842 | 1,022,605 | 1,873,973 | 878,617 | ||||||||
Netflix, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 4,393 | 898,184 | 1,517,694 | 634,118 | ||||||||
New York Times Co. (The), Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 450 | 17,070 | 17,496 | 785 | ||||||||
News Corp., Class A | USFF +0.250% | Weekly | MS | 08/27/24 | 5,942 | 93,464 | 102,618 | 14,519 | ||||||||
Omnicom Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,043 | 367,000 | 381,417 | 22,623 | ||||||||
Paramount Global, Class B | USFF +0.250% | Weekly | MS | 01/10/28 | 2,554 | 52,307 | 56,980 | 5,645 | ||||||||
Shutterstock, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,270 | 65,432 | 92,202 | 28,576 | ||||||||
Sirius XM Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 60,459 | 339,345 | 240,022 | (98,170) | ||||||||
Stagwell, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 442 | 3,140 | 3,280 | 213 | ||||||||
Trade Desk, Inc. (The), Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 5,285 | 292,297 | 321,909 | 35,607 | ||||||||
TripAdvisor, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 13,880 | 312,072 | 275,657 | (31,362) | ||||||||
Walt Disney Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 1,119 | 104,766 | 112,045 | 9,016 | ||||||||
ZipRecruiter, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 4,511 | 74,054 | 71,905 | (932) | ||||||||
ZoomInfo Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 6,090 | 162,302 | 150,484 | (11,590) | ||||||||
242,740 | 9,375,230 | 11,833,883 | 2,640,293 | |||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||
AbCellera Biologics, Inc. (Canada) | USFF +0.250% | Weekly | MS | 07/08/27 | 31,327 | 302,373 | 236,206 | (61,580) | ||||||||
ADMA Biologics, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 432 | 1,443 | 1,430 | 34 | ||||||||
Agilent Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,922 | 422,245 | 404,229 | (11,186) | ||||||||
Ardelyx, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 15,681 | 71,257 | 75,112 | 5,026 | ||||||||
Biogen, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,968 | 539,097 | 547,163 | 15,729 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||||||||
Bristol-Myers Squibb Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 7,893 | $ 513,496 | $ 547,064 | $ 58,537 | ||||||||
Catalyst Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 23,674 | 371,884 | 392,515 | 26,649 | ||||||||
Charles River Laboratories International, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 387 | 75,656 | 78,104 | 3,691 | ||||||||
Collegium Pharmaceutical, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,234 | 29,976 | 29,604 | 134 | ||||||||
Dynavax Technologies Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 19,051 | 213,344 | 186,890 | (24,572) | ||||||||
FibroGen, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 499 | 10,184 | 9,311 | (887) | ||||||||
Gilead Sciences, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 4,218 | 313,979 | 349,967 | 45,443 | ||||||||
Halozyme Therapeutics, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 905 | 31,306 | 34,562 | 3,115 | ||||||||
Harmony Biosciences Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,064 | 189,222 | 132,690 | (53,459) | ||||||||
Illumina, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,323 | 454,463 | 540,214 | 93,100 | ||||||||
Incyte Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,090 | 76,914 | 78,774 | 3,123 | ||||||||
IQVIA Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 956 | 173,597 | 190,139 | 19,363 | ||||||||
Ironwood Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 6,696 | 72,997 | 70,442 | (1,355) | ||||||||
Jazz Pharmaceuticals PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/08/27 | 2,276 | 310,960 | 333,047 | 26,990 | ||||||||
Johnson & Johnson | USFF +0.250% | Weekly | MS | 08/27/24 | 6,466 | 1,057,824 | 1,002,230 | 12,144 | ||||||||
Ligand Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 241 | 17,107 | 17,728 | 919 | ||||||||
Maravai LifeSciences Holdings, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 7,091 | 125,012 | 99,345 | (23,629) | ||||||||
Medpace Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 785 | 158,110 | 147,619 | (8,262) | ||||||||
Merck & Co., Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 8,001 | 730,531 | 851,226 | 166,217 | ||||||||
Mettler-Toledo International, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 267 | 300,537 | 408,566 | 112,897 | ||||||||
Moderna, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 4,404 | 542,633 | 676,366 | 142,504 | ||||||||
Organon & Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,939 | 73,115 | 69,125 | (2,101) | ||||||||
PerkinElmer, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 2,966 | 393,637 | 395,249 | 6,652 | ||||||||
Pfizer, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 26,552 | 1,153,539 | 1,083,322 | 7,946 | ||||||||
Provention Bio, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 11,812 | 151,445 | 284,669 | 135,688 | ||||||||
QIAGEN N. V. (Netherlands) | USFF +0.250% | Weekly | MS | 07/08/27 | 1,503 | 69,812 | 69,033 | 369 | ||||||||
TG Therapeutics, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 16,523 | 145,455 | 248,506 | 110,055 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||||||||
Theravance Biopharma, Inc. (Cayman Islands) | USFF +0.250% | Weekly | MS | 01/10/28 | 623 | $ 6,538 | $ 6,760 | $ 350 | ||||||||
United Therapeutics Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,086 | 248,827 | 243,221 | (1,572) | ||||||||
Veracyte, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,007 | 75,972 | 67,056 | (10,323) | ||||||||
Viatris, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 32,590 | 321,640 | 313,516 | 8,099 | ||||||||
West Pharmaceutical Services, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,026 | 291,240 | 355,478 | 69,075 | ||||||||
Zoetis, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 822 | 134,989 | 136,814 | 4,153 | ||||||||
256,300 | 10,172,356 | 10,713,292 | 879,076 | |||||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Applied Materials, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 6,014 | 595,859 | 738,700 | 161,793 | ||||||||
Axcelis Technologies, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 4,326 | 262,020 | 576,439 | 323,492 | ||||||||
Broadcom, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 3,212 | 1,856,528 | 2,060,626 | 261,854 | ||||||||
Cirrus Logic, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,504 | 467,969 | 492,648 | 32,246 | ||||||||
Cohu, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 1,270 | 41,661 | 48,755 | 7,878 | ||||||||
Diodes, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,251 | 181,936 | 208,803 | 29,689 | ||||||||
Enphase Energy, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 702 | 129,937 | 147,617 | 32,771 | ||||||||
First Solar, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,496 | 930,804 | 977,880 | 62,104 | ||||||||
GLOBALFOUNDRIES, Inc. (Cayman Islands) | USFF +0.250% | Weekly | MS | 07/08/27 | 1,583 | 78,465 | 114,261 | 37,084 | ||||||||
Impinj, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,180 | 142,370 | 159,914 | 19,861 | ||||||||
indie Semiconductor, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 158 | 1,687 | 1,667 | 30 | ||||||||
KLA Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 552 | 214,401 | 220,342 | 10,212 | ||||||||
Lam Research Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,508 | 571,679 | 799,421 | 241,445 | ||||||||
Lattice Semiconductor Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 3,235 | 160,131 | 308,943 | 151,416 | ||||||||
MaxLinear, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 12,454 | 456,572 | 438,505 | (11,017) | ||||||||
Microchip Technology, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 10,394 | 682,961 | 870,809 | 207,534 | ||||||||
Monolithic Power Systems, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 338 | 167,882 | 169,183 | 4,368 | ||||||||
NVIDIA Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 881 | 238,866 | 244,715 | 9,723 | ||||||||
NXP Semiconductors NV (Netherlands) | USFF +0.250% | Weekly | MS | 01/07/27 | 4,695 | 712,809 | 875,500 | 182,211 | ||||||||
ON Semiconductor Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 8,980 | 569,985 | 739,234 | 178,472 | ||||||||
Onto Innovation, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 489 | 31,999 | 42,973 | 11,513 | ||||||||
PDF Solutions, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 249 | 9,744 | 10,558 | 994 | ||||||||
Photronics, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 17,934 | 312,863 | 297,346 | (11,790) | ||||||||
Qorvo, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,340 | 232,216 | 237,674 | 9,224 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Semiconductors & Semiconductor Equipment — (continued) | ||||||||||||||||
QUALCOMM, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,162 | $ 231,212 | $ 275,828 | $ 58,073 | ||||||||
Rambus, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 4,701 | 123,615 | 240,973 | 122,608 | ||||||||
Semtech Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,811 | 80,513 | 67,858 | (13,001) | ||||||||
Skyworks Solutions, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,885 | 451,262 | 458,352 | 15,908 | ||||||||
Synaptics, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 673 | 59,910 | 74,804 | 17,234 | ||||||||
Veeco Instruments, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 858 | 18,043 | 18,130 | 401 | ||||||||
108,835 | 10,015,899 | 11,918,458 | 2,154,330 | |||||||||||||
Software & Services | ||||||||||||||||
Accenture PLC, Class A (Ireland) | USFF +0.250% | Weekly | MS | 08/27/24 | 2,281 | 585,232 | 651,933 | 101,074 | ||||||||
Adeia, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,661 | 14,833 | 14,716 | 183 | ||||||||
Adobe, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,274 | 974,312 | 1,261,701 | 303,118 | ||||||||
Akamai Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,907 | 152,215 | 149,318 | (3,197) | ||||||||
Alteryx, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 1,287 | 86,627 | 75,727 | (9,480) | ||||||||
ANSYS, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,316 | 322,891 | 437,965 | 120,302 | ||||||||
Asana, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 26,391 | 554,076 | 557,642 | 12,520 | ||||||||
Box, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 12,357 | 337,212 | 331,044 | (1,464) | ||||||||
Ceridian HCM Holding, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,922 | 100,206 | 140,729 | 42,161 | ||||||||
CommVault Systems, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,076 | 119,908 | 117,792 | (332) | ||||||||
Cvent Holding Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 299 | 2,501 | 2,500 | 62 | ||||||||
Descartes Systems Group, Inc. (The) (Canada) | USFF +0.250% | Weekly | MS | 01/07/27 | 685 | 43,043 | 55,218 | 12,892 | ||||||||
Digital Turbine, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,701 | 66,319 | 58,104 | (8,030) | ||||||||
DigitalOcean Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,291 | 145,852 | 168,078 | 24,601 | ||||||||
Docebo, Inc. (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 41 | 1,565 | 1,670 | 153 | ||||||||
DocuSign, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 588 | 30,928 | 34,280 | 5,851 | ||||||||
Dropbox, Inc., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 1,693 | 33,261 | 36,603 | 4,328 | ||||||||
DXC Technology Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 7,466 | 223,041 | 190,831 | (28,591) | ||||||||
Elastic N. V. (Netherlands) | USFF +0.250% | Weekly | MS | 01/10/28 | 87 | 4,972 | 5,037 | 169 | ||||||||
Enfusion, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 399 | 4,246 | 4,190 | 36 | ||||||||
Fair Isaac Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 107 | 73,785 | 75,188 | 2,615 | ||||||||
Fortinet, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 16,354 | 639,776 | 1,086,887 | 473,805 | ||||||||
Gartner, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 3,151 | 905,412 | 1,026,501 | 135,708 | ||||||||
Gen Digital, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 11,450 | 238,816 | 196,482 | (37,412) | ||||||||
Guidewire Software, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,312 | 172,238 | 189,700 | 20,261 | ||||||||
HubSpot, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 51 | 21,274 | 21,866 | 958 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Software & Services — (continued) | ||||||||||||||||
Informatica, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 30 | $ 495 | $ 492 | $ 32 | ||||||||
Intapp, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 102 | 4,403 | 4,574 | 265 | ||||||||
InterDigital, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 2,892 | 193,163 | 210,827 | 21,415 | ||||||||
International Business Machines Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,717 | 491,765 | 487,262 | 4,243 | ||||||||
Microsoft Corp. | USFF +0.250% | Weekly | MS | 08/27/24 | 8,911 | 2,149,797 | 2,569,041 | 493,576 | ||||||||
MongoDB, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,682 | 317,784 | 392,108 | 87,056 | ||||||||
NCR Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,122 | 60,025 | 73,648 | 14,613 | ||||||||
New Relic, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 5,119 | 340,395 | 385,410 | 50,524 | ||||||||
Nutanix, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 5,175 | 110,579 | 134,498 | 26,662 | ||||||||
Okta, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 468 | 40,198 | 40,360 | 5,246 | ||||||||
Oracle Corp. | USFF +0.250% | Weekly | MS | 08/27/24 | 6,942 | 493,151 | 645,051 | 176,522 | ||||||||
PagerDuty, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,347 | 107,632 | 117,078 | 11,204 | ||||||||
Palo Alto Networks, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,103 | 202,922 | 220,313 | 26,904 | ||||||||
PowerSchool Holdings, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 1,656 | 32,598 | 32,822 | 773 | ||||||||
Qualys, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,159 | 123,999 | 150,693 | 29,423 | ||||||||
Roper Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 23 | 10,072 | 10,136 | 249 | ||||||||
Salesforce, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 5,661 | 800,185 | 1,130,955 | 346,374 | ||||||||
Samsara, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 2,529 | 48,697 | 49,872 | 1,983 | ||||||||
SentinelOne, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 2,066 | 32,023 | 33,800 | 2,316 | ||||||||
ServiceNow, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 3,689 | 1,381,265 | 1,714,352 | 355,377 | ||||||||
SolarWinds Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 98 | 825 | 843 | 55 | ||||||||
Splunk, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 5,409 | 465,604 | 518,615 | 60,540 | ||||||||
Sprinklr, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 317 | 4,037 | 4,108 | 160 | ||||||||
SPS Commerce, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 122 | 14,127 | 18,581 | 4,705 | ||||||||
Squarespace, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 1,840 | 53,355 | 58,457 | 5,985 | ||||||||
Tenable Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 82 | 3,778 | 3,896 | 202 | ||||||||
Varonis Systems, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,059 | 27,542 | 27,545 | 470 | ||||||||
VeriSign, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 841 | 146,070 | 177,729 | 34,255 | ||||||||
Yext, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 9,140 | 63,915 | 87,835 | 24,974 | ||||||||
Zeta Global Holdings Corp., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 987 | 10,255 | 10,689 | 623 | ||||||||
Zuora, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 3,878 | 36,458 | 38,315 | 2,468 | ||||||||
191,313 | 13,621,655 | 16,241,607 | 2,961,485 | |||||||||||||
Technology Hardware & Equipment | ||||||||||||||||
Amphenol Corp., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 7,665 | 562,893 | 626,384 | 76,113 | ||||||||
Apple, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 17,875 | 1,641,164 | 2,947,587 | 1,376,510 | ||||||||
Badger Meter, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 256 | 23,719 | 31,186 | 8,754 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Technology Hardware & Equipment — (continued) | ||||||||||||||||
CDW Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,409 | $ 405,210 | $ 469,490 | $ 74,679 | ||||||||
Cisco Systems, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 24,250 | 1,032,439 | 1,267,669 | 286,940 | ||||||||
Digi International, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,295 | 44,386 | 43,616 | (32) | ||||||||
Extreme Networks, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 6,472 | 82,667 | 123,745 | 43,634 | ||||||||
F5, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,090 | 298,499 | 304,492 | 10,828 | ||||||||
Fabrinet (Cayman Islands) | USFF +0.250% | Weekly | MS | 01/10/28 | 430 | 54,711 | 51,067 | (2,757) | ||||||||
Hewlett Packard Enterprise Co. | USFF +0.250% | Weekly | MS | 08/27/24 | 28,341 | 421,702 | 451,472 | 50,681 | ||||||||
HP, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 26,259 | 579,004 | 770,702 | 252,740 | ||||||||
Infinera Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 7,966 | 51,611 | 61,816 | 11,485 | ||||||||
IonQ, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 19,887 | 103,735 | 122,305 | 20,234 | ||||||||
IPG Photonics Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 945 | 115,744 | 116,528 | 2,360 | ||||||||
Keysight Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 560 | 87,820 | 90,429 | 4,048 | ||||||||
Methode Electronics, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 148 | 6,222 | 6,494 | 395 | ||||||||
Mirion Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,290 | 10,317 | 11,017 | 889 | ||||||||
Motorola Solutions, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,668 | 434,036 | 477,265 | 53,410 | ||||||||
NetApp, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 4,392 | 297,153 | 280,429 | 8,001 | ||||||||
NetScout Systems, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 9,393 | 303,568 | 269,109 | (29,542) | ||||||||
Pure Storage, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 5,315 | 127,693 | 135,586 | 10,114 | ||||||||
Sanmina Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,848 | 167,335 | 173,700 | 9,084 | ||||||||
Seagate Technology Holdings PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/10/28 | 2,992 | 191,034 | 197,831 | 11,599 | ||||||||
Super Micro Computer, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,899 | 433,553 | 521,988 | 95,447 | ||||||||
TE Connectivity Ltd. (Switzerland) | USFF +0.250% | Weekly | MS | 01/10/28 | 1,044 | 131,935 | 136,921 | 7,135 | ||||||||
Teledyne Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 427 | 166,433 | 191,023 | 28,901 | ||||||||
Viavi Solutions, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,785 | 42,032 | 40,992 | (340) | ||||||||
Vishay Intertechnology, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 1,881 | 38,129 | 42,548 | 6,659 | ||||||||
Zebra Technologies Corp., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 709 | 217,781 | 225,462 | 11,215 | ||||||||
187,491 | 8,072,525 | 10,188,853 | 2,429,184 | |||||||||||||
Telecommunication Services | ||||||||||||||||
AT&T, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 35,019 | 638,246 | 674,116 | 63,095 | ||||||||
EchoStar Corp., Class A | USFF +0.250% | Weekly | MS | 01/05/26 | 2,728 | 63,709 | 49,895 | (12,764) |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Telecommunication Services — (continued) | ||||||||||||||||
Iridium Communications, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 747 | $ 29,055 | $ 46,262 | $ 17,785 | ||||||||
Lumen Technologies, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 51,461 | 281,088 | 136,372 | (134,098) | ||||||||
TELUS Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/08/27 | 2,354 | 48,225 | 46,750 | (155) | ||||||||
T-Mobile US, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,243 | 179,508 | 180,036 | 3,445 | ||||||||
United States Cellular Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 388 | 7,952 | 8,043 | 243 | ||||||||
Verizon Communications, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 11,449 | 445,988 | 445,252 | 11,495 | ||||||||
105,389 | 1,693,771 | 1,586,726 | (50,954) | |||||||||||||
Transportation | ||||||||||||||||
American Airlines Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 69,218 | 1,118,708 | 1,020,965 | (79,686) | ||||||||
ArcBest Corp. | USFF +0.250% | Weekly | MS | 08/27/24 | 3,004 | 217,589 | 277,630 | 66,637 | ||||||||
CH Robinson Worldwide, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 8,387 | 848,429 | 833,416 | 2,649 | ||||||||
CSX Corp. | USFF +0.250% | Weekly | MS | 08/27/24 | 15,770 | 466,498 | 472,154 | 18,734 | ||||||||
Expeditors International of Washington, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 4,262 | 448,898 | 469,331 | 30,038 | ||||||||
Forward Air Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,190 | 119,420 | 128,234 | 11,345 | ||||||||
Hub Group, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 2,158 | 175,991 | 181,143 | 8,011 | ||||||||
Kirby Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 502 | 33,895 | 34,989 | 1,664 | ||||||||
Landstar System, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,156 | 382,065 | 386,485 | 11,185 | ||||||||
Marten Transport Ltd. | USFF +0.250% | Weekly | MS | 01/10/28 | 299 | 6,101 | 6,264 | 288 | ||||||||
Norfolk Southern Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,039 | 224,921 | 220,268 | 1,754 | ||||||||
Old Dominion Freight Line, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 1,035 | 271,191 | 352,769 | 87,271 | ||||||||
RXO, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 941 | 18,064 | 18,481 | 731 | ||||||||
Ryder System, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,633 | 139,235 | 145,729 | 10,210 | ||||||||
Schneider National, Inc., Class B | USFF +0.250% | Weekly | MS | 01/10/28 | 1,661 | 43,615 | 44,432 | 1,564 | ||||||||
TFI International, Inc. (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 359 | 43,608 | 42,825 | 46 | ||||||||
Uber Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 6,502 | 191,779 | 206,113 | 17,300 | ||||||||
Union Pacific Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 1,481 | 299,815 | 298,066 | 12,235 | ||||||||
United Parcel Service, Inc., Class B | USFF +0.250% | Weekly | MS | 07/08/27 | 1,128 | 188,297 | 218,821 | 48,043 | ||||||||
XPO, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 3,068 | 102,184 | 97,869 | (2,645) | ||||||||
125,793 | 5,340,303 | 5,455,984 | 247,374 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Utilities | ||||||||||||||||
AES Corp. (The) | USFF +0.250% | Weekly | MS | 01/07/27 | 53 | $ 1,052 | $ 1,276 | $ 797 | ||||||||
American Water Works Co., Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 865 | 121,115 | 126,714 | 7,575 | ||||||||
Atmos Energy Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 648 | 73,173 | 72,809 | 913 | ||||||||
Chesapeake Utilities Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 25 | 3,185 | 3,200 | 89 | ||||||||
Constellation Energy Corp. | USFF +0.250% | Weekly | MS | 08/27/24 | 16,329 | 1,067,587 | 1,281,826 | 238,862 | ||||||||
Dominion Energy, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,027 | 110,714 | 113,330 | 6,580 | ||||||||
Entergy Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,102 | 430,861 | 441,949 | 18,057 | ||||||||
Evergy, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 35 | 2,125 | 2,139 | (648) | ||||||||
Exelon Corp. | USFF +0.250% | Weekly | MS | 08/27/24 | 17,791 | 689,546 | 745,265 | 81,030 | ||||||||
Montauk Renewables, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 174 | 1,439 | 1,369 | (24) | ||||||||
National Fuel Gas Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,712 | 222,876 | 214,331 | (3,650) | ||||||||
Otter Tail Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 2,880 | 180,754 | 208,138 | 32,834 | ||||||||
PNM Resources, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 477 | 23,330 | 23,220 | 289 | ||||||||
Public Service Enterprise Group, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 10,837 | 673,894 | 676,771 | 24,381 | ||||||||
SJW Group | USFF +0.250% | Weekly | MS | 01/10/28 | 231 | 17,452 | 17,586 | 439 | ||||||||
60,186 | 3,619,103 | 3,929,923 | 407,524 | |||||||||||||
Total Reference Entity — Long | 159,492,758 | 175,487,821 | 20,389,111 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Short | ||||||||||||||||
Automobiles & Components | ||||||||||||||||
Adient PLC (Ireland) | USFF -0.250% | Weekly | MS | 01/07/27 | (2,871) | $ (138,010) | $ (117,596) | $ 19,088 | ||||||||
Dorman Products, Inc. | USFF -0.250% | Weekly | MS | 08/27/24 | (2,587) | (250,618) | (223,155) | 24,598 | ||||||||
Gentex Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,076) | (60,299) | (58,190) | 1,519 | ||||||||
Gentherm, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,977) | (263,473) | (240,290) | 20,169 | ||||||||
LCI Industries | USFF -0.250% | Weekly | MS | 01/05/26 | (742) | (111,215) | (81,524) | 26,118 | ||||||||
Luminar Technologies, Inc. | USFF -4.380% | Weekly | MS | 07/08/27 | (6,939) | (53,254) | (45,034) | 7,854 | ||||||||
Standard Motor Products, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (3,358) | (132,473) | (123,944) | 4,914 | ||||||||
Thor Industries, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,560) | (126,958) | (124,238) | 1,279 | ||||||||
XPEL, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (104) | (6,920) | (7,067) | (203) | ||||||||
(24,214) | (1,143,220) | (1,021,038) | 105,336 | |||||||||||||
Capital Goods | ||||||||||||||||
3D Systems Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (12,986) | (123,617) | (139,210) | (17,229) | ||||||||
AAON, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,807) | (106,262) | (174,719) | (75,095) | ||||||||
AAR Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,777) | (141,019) | (151,485) | (13,335) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
Aerojet Rocketdyne Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (4,866) | $ (234,542) | $ (273,323) | $ (44,454) | ||||||||
AeroVironment, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,028) | (94,274) | (94,226) | (1,137) | ||||||||
AerSale Corp. | USFF -2.480% | Weekly | MS | 07/08/27 | (2,054) | (36,387) | (35,370) | 621 | ||||||||
Alamo Group, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (432) | (61,129) | (79,557) | (21,058) | ||||||||
Albany International Corp., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (699) | (69,403) | (62,463) | 5,989 | ||||||||
Ameresco, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (4,391) | (228,158) | (216,125) | 9,426 | ||||||||
American Woodmark Corp. | USFF -0.250% | Weekly | MS | 08/27/24 | (2,771) | (225,945) | (144,286) | 80,159 | ||||||||
AZEK Co., Inc. (The) | USFF -0.250% | Weekly | MS | 07/06/26 | (20,278) | (824,224) | (477,344) | 342,152 | ||||||||
AZZ, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,395) | (58,820) | (57,530) | 210 | ||||||||
Ballard Power Systems, Inc. (Canada) | USFF -1.280% | Weekly | MS | 01/05/26 | (63,513) | (813,731) | (353,767) | 450,608 | ||||||||
Barnes Group, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (124) | (4,951) | (4,995) | (75) | ||||||||
Beacon Roofing Supply, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (4,940) | (302,452) | (290,719) | 8,541 | ||||||||
BWX Technologies, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (4,513) | (293,733) | (284,500) | 1,305 | ||||||||
Cadre Holdings, Inc. | USFF -2.880% | Weekly | MS | 01/07/27 | (2,516) | (64,266) | (54,195) | 8,946 | ||||||||
ChargePoint Holdings, Inc. | USFF -5.780% | Weekly | MS | 01/10/28 | (12,107) | (116,466) | (126,760) | (11,613) | ||||||||
Columbus McKinnon Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,238) | (105,193) | (83,164) | 20,275 | ||||||||
Construction Partners, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (9,741) | (300,262) | (262,423) | 34,394 | ||||||||
Core & Main, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (10,689) | (240,197) | (246,916) | (10,109) | ||||||||
Ducommun, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (150) | (8,012) | (8,207) | (263) | ||||||||
Dycom Industries, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (5,205) | (494,066) | (487,448) | (190) | ||||||||
Energy Recovery, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (4,863) | (107,014) | (112,092) | (6,381) | ||||||||
EnerSys | USFF -0.250% | Weekly | MS | 07/06/26 | (4,173) | (334,013) | (362,550) | (37,742) | ||||||||
Evoqua Water Technologies Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (6,092) | (234,204) | (302,894) | (73,626) | ||||||||
Federal Signal Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (4,050) | (169,363) | (219,551) | (56,907) | ||||||||
Flowserve Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (33,581) | (1,104,005) | (1,141,754) | (65,046) | ||||||||
Franklin Electric Co., Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,591) | (147,083) | (149,713) | (6,060) | ||||||||
FuelCell Energy, Inc. | USFF -0.624% | Weekly | MS | 01/10/28 | (17,410) | (51,227) | (49,619) | 1,041 | ||||||||
Gates Industrial Corp. PLC (United Kingdom) | USFF -0.250% | Weekly | MS | 01/07/27 | (4,332) | (55,104) | (60,171) | (6,130) | ||||||||
GATX Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (609) | (69,225) | (67,002) | 1,120 | ||||||||
Generac Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,259) | (369,157) | (352,005) | 13,536 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
Gibraltar Industries, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,269) | $(154,127) | $(110,047) | $ 42,628 | ||||||||
Gorman-Rupp Co. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (5) | (123) | (125) | 8 | ||||||||
Graco, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,808) | (267,510) | (278,022) | (13,572) | ||||||||
GrafTech International Ltd. | USFF -0.259% | Weekly | MS | 07/08/27 | (32,410) | (177,854) | (157,513) | 17,994 | ||||||||
Greenbrier Cos., Inc. (The) | USFF -0.250% | Weekly | MS | 07/06/26 | (224) | (10,756) | (7,206) | 3,184 | ||||||||
Hayward Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (17,616) | (220,949) | (206,460) | 11,926 | ||||||||
Helios Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,442) | (96,369) | (94,307) | 776 | ||||||||
Herc Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (4,491) | (521,024) | (511,525) | (1,902) | ||||||||
Hillenbrand, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (9,062) | (425,539) | (430,717) | (13,455) | ||||||||
IDEX Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,093) | (467,131) | (483,546) | (21,776) | ||||||||
JELD-WEN Holding, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (35,138) | (672,366) | (444,847) | 219,959 | ||||||||
John Bean Technologies Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,803) | (373,097) | (415,630) | (48,375) | ||||||||
Johnson Controls International PLC (Ireland) | USFF -0.250% | Weekly | MS | 01/10/28 | (8,748) | (568,681) | (526,805) | 38,619 | ||||||||
Kennametal, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,367) | (67,700) | (65,282) | 1,661 | ||||||||
Kratos Defense & Security Solutions, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (36,645) | (649,973) | (493,975) | 147,244 | ||||||||
Lincoln Electric Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,525) | (592,852) | (596,078) | (12,474) | ||||||||
Masonite International Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/08/27 | (709) | (59,196) | (64,356) | (5,819) | ||||||||
MasTec, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (870) | (76,505) | (82,163) | (7,921) | ||||||||
Maxar Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (16,903) | (821,603) | (863,067) | (51,050) | ||||||||
MDU Resources Group, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (3,106) | (96,853) | (94,671) | (2,010) | ||||||||
Mercury Systems, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (14,401) | (942,369) | (736,179) | 195,551 | ||||||||
Middleby Corp. (The) | USFF -0.250% | Weekly | MS | 01/07/27 | (1,373) | (239,906) | (201,296) | 41,574 | ||||||||
MRC Global, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (11,991) | (127,936) | (116,553) | 9,932 | ||||||||
MSC Industrial Direct Co., Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (1,619) | (140,278) | (135,996) | 2,688 | ||||||||
Mueller Water Products, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (39,402) | (460,848) | (549,264) | (99,526) | ||||||||
MYR Group, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (766) | (73,801) | (96,524) | (24,862) | ||||||||
NOW, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,343) | (50,851) | (48,424) | 1,864 | ||||||||
Oshkosh Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,174) | (102,499) | (97,653) | 3,217 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
Parker-Hannifin Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (467) | $ (164,870) | $ (156,963) | $ 7,049 | ||||||||
Parsons Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,688) | (74,230) | (75,521) | (2,124) | ||||||||
PGT Innovations, Inc. | USFF -0.250% | Weekly | MS | 08/27/24 | (4,915) | (99,597) | (123,416) | (24,943) | ||||||||
Plug Power, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (19,819) | (279,957) | (232,279) | 44,474 | ||||||||
Primoris Services Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (16,958) | (436,856) | (418,184) | 7,658 | ||||||||
Proto Labs, Inc. | USFF -0.250% | Weekly | MS | 11/03/25 | (2,639) | (533,883) | (87,483) | 450,560 | ||||||||
Quanex Building Products Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (279) | (5,663) | (6,007) | (390) | ||||||||
Resideo Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (6,569) | (131,875) | (120,081) | 10,297 | ||||||||
REV Group, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (296) | (3,506) | (3,549) | (74) | ||||||||
Rockwell Automation, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (930) | (281,506) | (272,909) | 5,913 | ||||||||
Rush Enterprises, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (4,341) | (224,416) | (237,019) | (16,839) | ||||||||
Shyft Group, Inc. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (481) | (10,978) | (10,943) | (68) | ||||||||
SPX Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,315) | (80,310) | (92,813) | (13,995) | ||||||||
Standex International Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (13) | (1,577) | (1,592) | (83) | ||||||||
Stanley Black & Decker, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,498) | (435,392) | (201,289) | 246,585 | ||||||||
Stem, Inc. | USFF -1.730% | Weekly | MS | 01/10/28 | (4,855) | (30,450) | (27,528) | 2,594 | ||||||||
Sunrun, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (12,128) | (261,162) | (244,379) | 13,795 | ||||||||
Tennant Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,529) | (95,792) | (104,782) | (11,219) | ||||||||
Titan Machinery, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (614) | (18,310) | (18,696) | (574) | ||||||||
Trex Co., Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (20,064) | (1,018,541) | (976,515) | 30,309 | ||||||||
Trinity Industries, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (774) | (17,999) | (18,855) | (1,040) | ||||||||
Vertiv Holdings Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (4,911) | (70,401) | (70,276) | (713) | ||||||||
Vicor Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (4,110) | (369,528) | (192,923) | 172,369 | ||||||||
WESCO International, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,928) | (403,988) | (452,493) | (61,691) | ||||||||
Woodward, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (7,109) | (722,142) | (692,203) | 19,759 | ||||||||
Xometry, Inc., Class A | USFF -0.580% | Weekly | MS | 07/08/27 | (6,247) | (191,515) | (93,518) | 95,813 | ||||||||
Zurn Elkay Water Solutions Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (18,596) | (421,375) | (397,211) | 18,895 | ||||||||
(658,556) | (22,432,019) | (20,163,741) | 1,960,273 | |||||||||||||
Commercial & Professional Services | ||||||||||||||||
ABM Industries, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (11,472) | (510,627) | (515,552) | (14,658) | ||||||||
Alight, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (34,458) | (305,363) | (317,358) | (16,306) | ||||||||
ASGN, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (876) | (79,145) | (72,419) | 5,853 | ||||||||
Casella Waste Systems, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (2,206) | (173,065) | (182,348) | (11,254) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Commercial & Professional Services — (continued) | ||||||||||||||||
Cimpress PLC (Ireland) | USFF -0.250% | Weekly | MS | 01/10/28 | (307) | $ (11,070) | $ (13,453) | $ (2,488) | ||||||||
CSG Systems International, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (4,187) | (246,475) | (224,842) | 16,585 | ||||||||
Driven Brands Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (10,253) | (316,657) | (310,768) | 2,117 | ||||||||
Dun & Bradstreet Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (12,091) | (183,592) | (141,948) | 38,806 | ||||||||
Equifax, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,730) | (1,005,572) | (959,433) | 32,656 | ||||||||
FTI Consulting, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,738) | (484,230) | (540,344) | (65,851) | ||||||||
Healthcare Services Group, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (10,266) | (169,630) | (142,389) | 19,693 | ||||||||
Heritage-Crystal Clean, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (170) | (5,920) | (6,054) | (179) | ||||||||
HNI Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (2,047) | (75,345) | (56,988) | 15,200 | ||||||||
ICF International, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (2,582) | (268,824) | (283,245) | (18,765) | ||||||||
Jacobs Solutions, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (5,804) | (718,973) | (682,028) | 28,477 | ||||||||
KAR Auction Services, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,733) | (61,653) | (51,067) | 10,430 | ||||||||
KBR, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,492) | (247,904) | (247,285) | (2,838) | ||||||||
Kelly Services, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (18) | (298) | (299) | 19 | ||||||||
Maximus, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,421) | (118,649) | (111,833) | 5,756 | ||||||||
MillerKnoll, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,618) | (106,682) | (53,538) | 53,421 | ||||||||
Montrose Environmental Group, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,467) | (63,696) | (52,328) | 10,658 | ||||||||
Steelcase, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (10,037) | (109,739) | (84,512) | 20,809 | ||||||||
Stericycle, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,534) | (89,093) | (66,898) | 22,388 | ||||||||
TaskUS, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (2,847) | (66,323) | (41,111) | 24,471 | ||||||||
TrueBlue, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (682) | (19,726) | (12,140) | 7,554 | ||||||||
TTEC Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (547) | (20,752) | (20,365) | (91) | ||||||||
UniFirst Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,182) | (235,740) | (208,304) | 22,898 | ||||||||
Upwork, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (14,504) | (596,595) | (164,185) | 432,856 | ||||||||
Waste Connections, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (4,770) | (643,968) | (663,364) | (28,826) | ||||||||
(154,039) | (6,935,306) | (6,226,398) | 609,391 | |||||||||||||
Consumer Discretionary Distribution & Retail | ||||||||||||||||
Abercrombie & Fitch Co., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (6,340) | (180,344) | (175,935) | 944 | ||||||||
Advance Auto Parts, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,107) | (401,682) | (256,232) | 133,610 | ||||||||
American Eagle Outfitters, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (3,412) | (64,023) | (45,857) | 20,854 | ||||||||
Asbury Automotive Group, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (455) | (86,624) | (95,550) | (11,570) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Discretionary Distribution & Retail — (continued) | ||||||||||||||||
Boot Barn Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (3,217) | $ (284,097) | $ (246,551) | $ 34,294 | ||||||||
Caleres, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (16,734) | (411,655) | (361,956) | 43,592 | ||||||||
Carvana Co. | USFF -11.930% | Weekly | MS | 07/06/26 | (18,549) | (537,802) | (181,595) | 350,031 | ||||||||
Dick's Sporting Goods, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,186) | (162,367) | (168,282) | (12,106) | ||||||||
Five Below, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (603) | (127,498) | (124,200) | 1,778 | ||||||||
Floor & Decor Holdings, Inc., Class A | USFF -0.250% | Weekly | MS | 07/06/26 | (1,553) | (208,878) | (152,536) | 53,958 | ||||||||
Foot Locker, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (18,818) | (757,779) | (746,886) | 198 | ||||||||
Franchise Group, Inc. | USFF -0.680% | Weekly | MS | 01/07/27 | (3,615) | (146,735) | (98,509) | 37,437 | ||||||||
Guess?, Inc. | USFF -0.630% | Weekly | MS | 07/08/27 | (2,969) | (62,823) | (57,777) | 3,723 | ||||||||
Kohl's Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (13,560) | (588,605) | (319,202) | 238,048 | ||||||||
Leslie's, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (21,204) | (316,003) | (233,456) | 78,928 | ||||||||
Lithia Motors, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (285) | (78,348) | (65,245) | 15,367 | ||||||||
MarineMax, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,501) | (41,872) | (43,154) | (1,741) | ||||||||
National Vision Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (6,387) | (278,997) | (120,331) | 155,586 | ||||||||
Ollie's Bargain Outlet Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,388) | (73,466) | (80,421) | (7,873) | ||||||||
Petco Health & Wellness Co., Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (35,458) | (710,239) | (319,122) | 385,923 | ||||||||
RH | USFF -0.250% | Weekly | MS | 01/10/28 | (55) | (13,185) | (13,395) | (339) | ||||||||
Sally Beauty Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (7,044) | (128,109) | (109,746) | 16,854 | ||||||||
Tractor Supply Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (804) | (187,515) | (188,972) | (6,540) | ||||||||
Victoria's Secret & Co. | USFF -0.250% | Weekly | MS | 08/27/24 | (12,374) | (529,830) | (422,572) | 104,683 | ||||||||
Wayfair, Inc., Class A | USFF -0.780% | Weekly | MS | 07/06/26 | (6,000) | (382,572) | (206,040) | 172,145 | ||||||||
(185,618) | (6,761,048) | (4,833,522) | 1,807,784 | |||||||||||||
Consumer Durables & Apparel | ||||||||||||||||
Acushnet Holdings Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (9,508) | (461,151) | (484,338) | (31,430) | ||||||||
BRP, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/07/27 | (696) | (50,414) | (54,427) | (4,756) | ||||||||
Carter's, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,637) | (160,241) | (117,733) | 35,011 | ||||||||
Columbia Sportswear Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (4,110) | (337,638) | (370,886) | (39,881) | ||||||||
G-III Apparel Group Ltd. | USFF -0.250% | Weekly | MS | 01/05/26 | (8,855) | (220,360) | (137,695) | 80,148 | ||||||||
Hanesbrands, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (44,815) | (480,708) | (235,727) | 226,801 | ||||||||
Helen of Troy Ltd. (Bermuda) | USFF -0.250% | Weekly | MS | 01/05/26 | (1,677) | (388,266) | (159,600) | 228,591 | ||||||||
iRobot Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,817) | (145,622) | (79,294) | 67,566 | ||||||||
La-Z-Boy, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (3,698) | (132,271) | (107,538) | 20,525 | ||||||||
Levi Strauss & Co., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (5,832) | (106,820) | (106,317) | (942) | ||||||||
LGI Homes, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (778) | (82,254) | (88,715) | (7,386) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Durables & Apparel — (continued) | ||||||||||||||||
Lululemon Athletica, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (410) | $ (129,936) | $ (149,318) | $ (58,817) | ||||||||
Mattel, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (12,452) | (257,835) | (229,241) | 25,645 | ||||||||
Movado Group, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (112) | (3,199) | (3,222) | (37) | ||||||||
Newell Brands, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (21,279) | (287,829) | (264,711) | 13,475 | ||||||||
Oxford Industries, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,397) | (151,852) | (147,509) | 2,330 | ||||||||
PVH Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,088) | (94,397) | (97,006) | (3,674) | ||||||||
Skechers USA, Inc., Class A | USFF -0.250% | Weekly | MS | 07/06/26 | (12,226) | (568,068) | (580,980) | (19,436) | ||||||||
Snap One Holdings Corp. | USFF -0.730% | Weekly | MS | 01/10/28 | (33) | (299) | (309) | 10 | ||||||||
Tempur Sealy International, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (19,275) | (661,015) | (761,170) | (110,337) | ||||||||
TopBuild Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (529) | (116,101) | (110,106) | 4,895 | ||||||||
Topgolf Callaway Brands Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (29,883) | (740,130) | (646,070) | 85,551 | ||||||||
VF Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (18,802) | (527,821) | (430,754) | 84,003 | ||||||||
Wolverine World Wide, Inc. | USFF -0.250% | Weekly | MS | 08/27/24 | (27,429) | (625,993) | (467,664) | 137,718 | ||||||||
YETI Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,398) | (133,468) | (55,920) | 76,033 | ||||||||
(229,736) | (6,863,688) | (5,886,250) | 811,606 | |||||||||||||
Consumer Services | ||||||||||||||||
Aramark | USFF -0.250% | Weekly | MS | 01/10/28 | (13,087) | (488,278) | (468,515) | 14,158 | ||||||||
Bally's Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (8,951) | (384,041) | (174,724) | 204,914 | ||||||||
Bowlero Corp. | USFF -1.380% | Weekly | MS | 01/10/28 | (2,706) | (45,069) | (45,867) | (1,294) | ||||||||
Cheesecake Factory, Inc. (The) | USFF -0.250% | Weekly | MS | 07/08/27 | (2,274) | (86,558) | (79,704) | 5,457 | ||||||||
Chegg, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (24,827) | (430,628) | (404,680) | 21,007 | ||||||||
Chipotle Mexican Grill, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (429) | (706,365) | (732,856) | (34,610) | ||||||||
Choice Hotels International, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,853) | (481,850) | (451,533) | 24,098 | ||||||||
Churchill Downs, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (4,760) | (1,066,583) | (1,223,558) | (171,271) | ||||||||
Coursera, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (5,570) | (76,723) | (64,166) | 11,695 | ||||||||
Cracker Barrel Old Country Store, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,665) | (408,088) | (416,344) | (16,826) | ||||||||
Dave & Buster's Entertainment, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (7,697) | (288,597) | (283,173) | 612 | ||||||||
Domino's Pizza, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (406) | (132,891) | (133,927) | (2,578) | ||||||||
Dutch Bros, Inc., Class A | USFF -13.130% | Weekly | MS | 01/10/28 | (1,715) | (53,413) | (54,245) | (1,425) | ||||||||
European Wax Center, Inc., Class A | USFF -0.580% | Weekly | MS | 01/10/28 | (1,052) | (17,891) | (19,988) | (2,280) | ||||||||
Everi Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,737) | (88,197) | (81,240) | 5,964 | ||||||||
First Watch Restaurant Group, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (469) | (7,308) | (7,532) | (285) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Services — (continued) | ||||||||||||||||
Jack in the Box, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,763) | $ (216,343) | $ (242,011) | $ (32,343) | ||||||||
Krispy Kreme, Inc. | USFF -0.780% | Weekly | MS | 07/08/27 | (13,062) | (188,789) | (203,114) | (16,992) | ||||||||
Las Vegas Sands Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,509) | (86,819) | (86,692) | (851) | ||||||||
Mister Car Wash, Inc. | USFF -0.830% | Weekly | MS | 01/07/27 | (15,467) | (197,113) | (133,326) | 62,162 | ||||||||
Norwegian Cruise Line Holdings Ltd. (Bermuda) | USFF -0.830% | Weekly | MS | 07/08/27 | (13,336) | (208,197) | (179,369) | 26,452 | ||||||||
Papa John's International, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (992) | (80,609) | (74,331) | 5,372 | ||||||||
Red Rock Resorts, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (15,108) | (642,498) | (673,364) | (49,552) | ||||||||
Restaurant Brands International, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (377) | (25,308) | (25,312) | (254) | ||||||||
Service Corp. International | USFF -0.250% | Weekly | MS | 01/10/28 | (917) | (61,357) | (63,071) | (2,093) | ||||||||
Shake Shack, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (2,184) | (183,339) | (121,190) | 59,833 | ||||||||
Strategic Education, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (35) | (3,107) | (3,144) | (64) | ||||||||
Stride, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,703) | (102,913) | (106,093) | (5,484) | ||||||||
Target Hospitality Corp. | USFF -1.230% | Weekly | MS | 07/08/27 | (12,076) | (163,791) | (158,679) | 2,687 | ||||||||
Wynn Resorts Ltd. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,624) | (158,088) | (181,742) | (30,214) | ||||||||
(168,351) | (7,080,751) | (6,893,490) | 75,995 | |||||||||||||
Consumer Staples Distribution & Retail | ||||||||||||||||
Chefs' Warehouse, Inc. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (3,661) | (123,759) | (124,657) | (2,302) | ||||||||
Dollar General Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,931) | (1,017,593) | (1,037,778) | (31,892) | ||||||||
Grocery Outlet Holding Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (11,149) | (342,155) | (315,071) | 23,524 | ||||||||
SpartanNash Co. | USFF -0.250% | Weekly | MS | 07/08/27 | (9,115) | (289,551) | (226,052) | 56,883 | ||||||||
Sysco Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,069) | (156,661) | (159,789) | (6,236) | ||||||||
United Natural Foods, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (12,468) | (500,109) | (328,532) | 165,835 | ||||||||
(43,393) | (2,429,828) | (2,191,879) | 205,812 | |||||||||||||
Energy | ||||||||||||||||
Antero Midstream Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (29,267) | (308,608) | (307,011) | (1,981) | ||||||||
Archrock, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (5,450) | (58,534) | (53,247) | 4,970 | ||||||||
Bristow Group, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (202) | (4,360) | (4,525) | (192) | ||||||||
California Resources Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,106) | (54,371) | (42,581) | 10,498 | ||||||||
Cameco Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/08/27 | (30,419) | (788,678) | (796,065) | (18,686) | ||||||||
Chord Energy Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (7,967) | (1,216,814) | (1,072,358) | 80,847 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Energy — (continued) | ||||||||||||||||
Civitas Resources, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (3,859) | $ (252,214) | $ (263,724) | $ (35,879) | ||||||||
Core Laboratories NV (Netherlands) | USFF -0.250% | Weekly | MS | 07/06/26 | (13,171) | (389,380) | (290,421) | 93,915 | ||||||||
Delek US Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (8,508) | (201,075) | (195,259) | 2,866 | ||||||||
Denison Mines Corp. (Canada) | USFF -0.930% | Weekly | MS | 01/10/28 | (23,595) | (23,772) | (25,719) | (2,197) | ||||||||
Diamond Offshore Drilling, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (22,451) | (245,980) | (270,310) | (27,143) | ||||||||
Diamondback Energy, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (10,198) | (1,453,955) | (1,378,464) | 40,080 | ||||||||
DT Midstream, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (9,453) | (471,642) | (466,695) | (5,452) | ||||||||
Earthstone Energy, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (34,531) | (504,035) | (449,248) | 49,129 | ||||||||
Enerflex Ltd. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (423) | (2,542) | (2,521) | 12 | ||||||||
Energy Fuels, Inc. (Canada) | USFF -1.280% | Weekly | MS | 01/10/28 | (551) | (3,030) | (3,075) | (56) | ||||||||
Excelerate Energy, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (2,654) | (74,867) | (58,760) | 15,395 | ||||||||
Kinetik Holdings, Inc. | USFF -0.830% | Weekly | MS | 01/07/27 | (10,202) | (371,617) | (319,323) | 30,918 | ||||||||
Magnolia Oil & Gas Corp., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (2,925) | (62,878) | (63,999) | (1,742) | ||||||||
Marathon Oil Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (80,650) | (1,954,316) | (1,932,374) | (541) | ||||||||
Matador Resources Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,925) | (93,604) | (91,726) | 46 | ||||||||
New Fortress Energy, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (37,669) | (1,427,522) | (1,108,599) | 264,020 | ||||||||
NextDecade Corp. | USFF -0.736% | Weekly | MS | 01/10/28 | (937) | (4,104) | (4,657) | (577) | ||||||||
Noble Corp. PLC (United Kingdom) | USFF -0.250% | Weekly | MS | 01/07/27 | (3,535) | (128,273) | (139,526) | (14,548) | ||||||||
Northern Oil and Gas, Inc. | USFF -0.580% | Weekly | MS | 01/07/27 | (8,224) | (251,976) | (249,598) | (5,326) | ||||||||
PDC Energy, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (7,335) | (494,818) | (470,760) | 13,856 | ||||||||
Permian Resources Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (16,387) | (168,816) | (172,064) | (7,038) | ||||||||
Pioneer Natural Resources Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,344) | (274,308) | (274,499) | (4,333) | ||||||||
ProFrac Holding Corp., Class A | USFF -1.130% | Weekly | MS | 07/08/27 | (6,499) | (140,646) | (82,342) | 56,706 | ||||||||
ProPetro Holding Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (17,541) | (142,450) | (126,120) | 14,712 | ||||||||
Ranger Oil Corp., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (9,948) | (384,068) | (406,276) | (28,192) | ||||||||
Schlumberger N. V. (Curacao) | USFF -0.250% | Weekly | MS | 01/10/28 | (8,429) | (482,001) | (413,864) | 64,095 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Energy — (continued) | ||||||||||||||||
Select Energy Services, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (9,271) | $ (66,678) | $ (64,526) | $ 1,367 | ||||||||
SFL Corp. Ltd. (Bermuda) | USFF -0.250% | Weekly | MS | 01/10/28 | (7,187) | (71,176) | (68,277) | 1,015 | ||||||||
SilverBow Resources, Inc. | USFF -0.630% | Weekly | MS | 07/08/27 | (5,207) | (218,902) | (118,980) | 97,422 | ||||||||
Talos Energy, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,994) | (44,211) | (44,431) | (707) | ||||||||
Targa Resources Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (7,426) | (539,031) | (541,727) | (12,028) | ||||||||
TC Energy Corp. (Canada) | USFF -0.250% | Weekly | MS | 01/07/27 | (16,602) | (840,749) | (645,984) | 153,324 | ||||||||
Tellurian, Inc. | USFF -0.782% | Weekly | MS | 07/06/26 | (66,797) | (248,680) | (82,160) | 163,677 | ||||||||
Transocean Ltd. (Switzerland) | USFF -0.250% | Weekly | MS | 01/10/28 | (38,384) | (250,663) | (244,122) | 3,674 | ||||||||
Uranium Energy Corp. | USFF -0.652% | Weekly | MS | 01/07/27 | (12,873) | (58,350) | (37,074) | 20,627 | ||||||||
Williams Cos., Inc. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (34,919) | (1,070,616) | (1,042,681) | (684) | ||||||||
World Fuel Services Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (17,055) | (437,857) | (435,755) | (8,098) | ||||||||
(636,070) | (16,282,167) | (14,861,427) | 1,007,771 | |||||||||||||
Financial Services | ||||||||||||||||
Avantax, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (3,108) | (69,824) | (81,803) | (13,128) | ||||||||
Moody's Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (400) | (131,024) | (122,408) | 9,462 | ||||||||
Morningstar, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (364) | (75,729) | (73,903) | 1,079 | ||||||||
Paymentus Holdings, Inc., Class A | USFF -0.730% | Weekly | MS | 01/07/27 | (221) | (4,834) | (1,958) | 13,074 | ||||||||
WisdomTree, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (11,773) | (70,122) | (68,990) | (845) | ||||||||
(15,866) | (351,533) | (349,062) | 9,642 | |||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||
B&G Foods, Inc. | USFF -2.230% | Weekly | MS | 01/05/26 | (9,837) | (297,358) | (152,769) | 111,400 | ||||||||
Brown-Forman Corp., Class B | USFF -0.250% | Weekly | MS | 01/10/28 | (5,742) | (359,516) | (369,038) | (13,643) | ||||||||
Darling Ingredients, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (17,872) | (1,328,324) | (1,043,725) | 269,259 | ||||||||
Fresh Del Monte Produce, Inc. (Cayman Islands) | USFF -0.250% | Weekly | MS | 08/27/24 | (3,805) | (108,716) | (114,569) | (11,821) | ||||||||
Freshpet, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,344) | (222,336) | (88,959) | 147,464 | ||||||||
Hain Celestial Group, Inc. (The) | USFF -0.250% | Weekly | MS | 07/08/27 | (32,068) | (617,576) | (549,966) | 60,515 | ||||||||
Hormel Foods Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (9,577) | (400,446) | (381,931) | 13,123 | ||||||||
Ingredion, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,304) | (129,535) | (132,656) | (5,494) | ||||||||
J & J Snack Foods Corp. | USFF -0.250% | Weekly | MS | 08/27/24 | (2,934) | (441,070) | (434,877) | (8,314) | ||||||||
McCormick & Co., Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (724) | (59,248) | (60,244) | (1,656) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Food, Beverage & Tobacco — (continued) | ||||||||||||||||
Mission Produce, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,512) | $ (37,208) | $ (27,908) | $ 8,915 | ||||||||
Mondelez International, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (3,726) | (257,596) | (259,777) | (8,441) | ||||||||
Monster Beverage Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (30,203) | (1,555,555) | (1,631,264) | (94,184) | ||||||||
National Beverage Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,536) | (125,739) | (133,698) | (9,614) | ||||||||
Simply Good Foods Co. (The) | USFF -0.250% | Weekly | MS | 07/06/26 | (7,731) | (299,925) | (307,462) | (10,971) | ||||||||
Sovos Brands, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (797) | (12,286) | (13,294) | (1,126) | ||||||||
TreeHouse Foods, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,873) | (189,890) | (195,315) | (7,902) | ||||||||
Tyson Foods, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (5,333) | (328,278) | (316,354) | 7,186 | ||||||||
Universal Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (4,253) | (235,793) | (224,941) | (2,166) | ||||||||
Utz Brands, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (15,635) | (336,001) | (257,508) | 69,743 | ||||||||
(161,806) | (7,342,396) | (6,696,255) | 512,273 | |||||||||||||
Health Care Equipment & Services | ||||||||||||||||
AdaptHealth Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (19,753) | (480,190) | (245,530) | 231,176 | ||||||||
Agiliti, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (4,598) | (84,655) | (73,476) | 10,239 | ||||||||
agilon health, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,352) | (69,737) | (79,610) | (13,392) | ||||||||
Alphatec Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (13,012) | (175,795) | (202,987) | (31,007) | ||||||||
American Well Corp., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (1,167) | (2,648) | (2,754) | (114) | ||||||||
AmerisourceBergen Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,071) | (169,816) | (171,478) | (3,273) | ||||||||
Bausch + Lomb Corp. (Canada) | USFF -5.630% | Weekly | MS | 01/10/28 | (212) | (3,600) | (3,691) | (109) | ||||||||
Becton Dickinson & Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,160) | (1,536,170) | (1,524,846) | (12,038) | ||||||||
Boston Scientific Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (11,389) | (542,987) | (569,792) | (33,040) | ||||||||
Castle Biosciences, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (30) | (676) | (682) | 9 | ||||||||
Certara, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (62) | (1,494) | (1,495) | 5 | ||||||||
CONMED Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,394) | (261,734) | (248,641) | 8,380 | ||||||||
CorVel Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (273) | (51,302) | (51,946) | (1,213) | ||||||||
Doximity, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (3,154) | (123,372) | (102,127) | 19,847 | ||||||||
Enhabit, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,606) | (43,732) | (22,339) | 22,715 | ||||||||
Envista Holdings Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,047) | (163,568) | (165,441) | (3,735) | ||||||||
Figs, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (19,761) | (183,790) | (122,321) | 59,374 | ||||||||
Glaukos Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,471) | (156,869) | (173,897) | (18,982) | ||||||||
Globus Medical, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (3,586) | (264,542) | (203,111) | 59,704 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Health Care Equipment & Services — (continued) | ||||||||||||||||
GoodRx Holdings, Inc., Class A | USFF -0.250% | Weekly | MS | 07/06/26 | (21,672) | $ (341,522) | $ (135,450) | $ 201,884 | ||||||||
Guardant Health, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (11,317) | (1,104,696) | (265,270) | 828,498 | ||||||||
HealthEquity, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,165) | (89,607) | (68,397) | 20,201 | ||||||||
Henry Schein, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,112) | (167,217) | (172,212) | (8,384) | ||||||||
ICU Medical, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (5,585) | (950,282) | (921,302) | 18,050 | ||||||||
Inari Medical, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (4,294) | (344,278) | (265,112) | 74,459 | ||||||||
Integer Holdings Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (3,758) | (301,252) | (291,245) | 6,325 | ||||||||
Intuitive Surgical, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (5,359) | (1,295,841) | (1,369,064) | (88,136) | ||||||||
LeMaitre Vascular, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (157) | (7,970) | (8,081) | (160) | ||||||||
LifeStance Health Group, Inc. | USFF -1.630% | Weekly | MS | 01/07/27 | (10,973) | (92,913) | (81,529) | 9,913 | ||||||||
Masimo Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (4,944) | (772,967) | (912,366) | (154,885) | ||||||||
Mesa Laboratories, Inc. | USFF -0.250% | Weekly | MS | 08/27/24 | (896) | (220,391) | (156,558) | 60,415 | ||||||||
ModivCare, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (915) | (119,227) | (76,933) | 41,325 | ||||||||
Multiplan Corp. | USFF -0.288% | Weekly | MS | 01/10/28 | (3,777) | (4,050) | (4,004) | 23 | ||||||||
Neogen Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (18,034) | (320,767) | (333,990) | (16,986) | ||||||||
NeoGenomics, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (8,575) | (344,674) | (149,291) | 201,356 | ||||||||
Nevro Corp. | USFF -0.250% | Weekly | MS | 08/27/24 | (1,319) | (129,371) | (47,682) | 80,221 | ||||||||
Novocure Ltd. (Jersey) | USFF -0.250% | Weekly | MS | 01/10/28 | (5,476) | (384,443) | (329,327) | 50,708 | ||||||||
Nutex Health, Inc. | USFF -15.874% | Weekly | MS | 01/10/28 | (17) | (17) | (17) | 23 | ||||||||
NuVasive, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (7,633) | (321,764) | (315,319) | 2,557 | ||||||||
Omnicell, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (14,121) | (1,204,171) | (828,479) | 359,904 | ||||||||
OrthoPediatrics Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,623) | (81,595) | (71,883) | 8,795 | ||||||||
Outset Medical, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (5,481) | (215,904) | (100,850) | 112,588 | ||||||||
Owens & Minor, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (12,473) | (413,171) | (181,482) | 226,949 | ||||||||
Paragon 28, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,077) | (18,383) | (18,384) | (190) | ||||||||
Patterson Cos., Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,270) | (95,624) | (87,538) | 7,740 | ||||||||
Pediatrix Medical Group, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (6,799) | (155,456) | (101,373) | 52,315 | ||||||||
Progyny, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (14,435) | (638,300) | (463,652) | 167,506 | ||||||||
Quest Diagnostics, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,627) | (506,183) | (513,148) | (12,509) | ||||||||
QuidelOrtho Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (16,739) | (1,434,304) | (1,491,278) | (75,906) | ||||||||
RadNet, Inc. | USFF -0.250% | Weekly | MS | 08/27/24 | (11,940) | (233,178) | (298,858) | (68,606) | ||||||||
ResMed, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (4,928) | (1,113,760) | (1,079,183) | 18,868 | ||||||||
Schrodinger, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (15,555) | (839,340) | (409,563) | 419,111 | ||||||||
Select Medical Holdings Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (19,194) | (498,650) | (496,165) | (7,789) | ||||||||
Simulations Plus, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (255) | (10,784) | (11,205) | (522) | ||||||||
STAAR Surgical Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (5,316) | (318,320) | (339,958) | (25,284) | ||||||||
STERIS PLC (Ireland) | USFF -0.250% | Weekly | MS | 07/08/27 | (2,990) | (571,577) | (571,927) | (7,763) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Health Care Equipment & Services — (continued) | ||||||||||||||||
Surgery Partners, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (5,844) | $ (312,222) | $ (201,443) | $ 108,287 | ||||||||
Tandem Diabetes Care, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (10,510) | (568,574) | (426,811) | 135,232 | ||||||||
Teleflex, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (242) | (60,272) | (61,301) | (1,701) | ||||||||
Tenet Healthcare Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,739) | (174,403) | (222,171) | (51,119) | ||||||||
US Physical Therapy, Inc. | USFF -0.250% | Weekly | MS | 08/27/24 | (3,539) | (408,810) | (346,503) | 48,233 | ||||||||
Varex Imaging Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,265) | (41,527) | (41,200) | (129) | ||||||||
Veeva Systems, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (251) | (45,220) | (46,131) | (1,409) | ||||||||
(383,289) | (21,589,654) | (18,279,799) | 3,034,554 | |||||||||||||
Household & Personal Products | ||||||||||||||||
Beauty Health Co. (The) | USFF -0.250% | Weekly | MS | 07/08/27 | (9,657) | (116,778) | (121,968) | (6,710) | ||||||||
BellRing Brands, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (10,092) | (268,194) | (343,128) | (79,721) | ||||||||
Central Garden & Pet Co., Class A | USFF -0.250% | Weekly | MS | 08/27/24 | (8,388) | (344,072) | (327,719) | 12,310 | ||||||||
Colgate-Palmolive Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (8,803) | (649,635) | (661,545) | (19,375) | ||||||||
Edgewell Personal Care Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (12,586) | (501,021) | (533,898) | (43,820) | ||||||||
Energizer Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (8,790) | (342,066) | (305,013) | 16,697 | ||||||||
Estee Lauder Cos., Inc. (The), Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (4,478) | (1,142,590) | (1,103,648) | 23,338 | ||||||||
Inter Parfums, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,324) | (219,837) | (330,566) | (122,209) | ||||||||
Reynolds Consumer Products, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (9,267) | (276,750) | (254,843) | 12,797 | ||||||||
WD-40 Co. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,225) | (243,978) | (218,111) | 20,574 | ||||||||
(75,610) | (4,104,921) | (4,200,439) | (186,119) | |||||||||||||
Materials | ||||||||||||||||
Agnico Eagle Mines Ltd. (Canada) | USFF -0.250% | Weekly | MS | 01/07/27 | (9,809) | (548,892) | (499,965) | 28,437 | ||||||||
Alcoa Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,057) | (166,791) | (130,106) | 46,612 | ||||||||
Algoma Steel Group, Inc. (Canada) | USFF -2.830% | Weekly | MS | 01/10/28 | (16,508) | (130,711) | (133,385) | (4,566) | ||||||||
Amcor PLC (Jersey) | USFF -0.250% | Weekly | MS | 01/10/28 | (15,015) | (163,571) | (170,871) | (9,162) | ||||||||
Arconic Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (8,631) | (241,342) | (226,391) | 12,002 | ||||||||
Ashland, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (5,873) | (621,195) | (603,216) | 8,879 | ||||||||
Axalta Coating Systems Ltd. (Bermuda) | USFF -0.250% | Weekly | MS | 07/06/26 | (6,419) | (211,380) | (194,432) | 14,539 | ||||||||
Balchem Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,660) | (358,266) | (336,437) | 16,037 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Materials — (continued) | ||||||||||||||||
Bioceres Crop Solutions Corp. (Cayman Islands) | USFF -6.980% | Weekly | MS | 07/08/27 | (667) | $ (7,825) | $ (7,744) | $ 14 | ||||||||
Cabot Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (7,285) | (535,685) | (558,322) | (35,220) | ||||||||
Celanese Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (10,896) | (1,167,949) | (1,186,465) | (31,955) | ||||||||
Chase Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (149) | (14,378) | (15,605) | (1,370) | ||||||||
Coeur Mining, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (270,069) | (1,405,721) | (1,077,575) | 309,241 | ||||||||
Compass Minerals International, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (405) | (26,230) | (13,887) | 12,136 | ||||||||
Corteva, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (21,468) | (1,330,611) | (1,294,735) | 17,953 | ||||||||
Crown Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (5,619) | (464,121) | (464,747) | (8,025) | ||||||||
Element Solutions, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,824) | (78,125) | (73,841) | 3,284 | ||||||||
Equinox Gold Corp. (Canada) | USFF -0.680% | Weekly | MS | 08/27/24 | (100,540) | (770,706) | (517,781) | 242,726 | ||||||||
ERO Copper Corp. (Canada) | USFF -0.580% | Weekly | MS | 01/10/28 | (213) | (3,531) | (3,757) | (244) | ||||||||
First Majestic Silver Corp. (Canada) | USFF -0.680% | Weekly | MS | 01/10/28 | (19,271) | (127,555) | (138,944) | (12,840) | ||||||||
Fortuna Silver Mines, Inc. (Canada) | USFF -0.871% | Weekly | MS | 01/07/27 | (35,117) | (132,717) | (134,147) | (3,230) | ||||||||
HB Fuller Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,957) | (141,359) | (133,957) | 4,544 | ||||||||
Hecla Mining Co. | USFF -0.250% | Weekly | MS | 07/08/27 | (56,838) | (301,022) | (359,785) | (63,191) | ||||||||
Huntsman Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,937) | (116,341) | (107,716) | 7,437 | ||||||||
Ingevity Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,624) | (117,630) | (116,148) | 148 | ||||||||
International Flavors & Fragrances, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (9,592) | (882,923) | (882,080) | (14,582) | ||||||||
Ivanhoe Electric, Inc. | USFF -4.330% | Weekly | MS | 01/10/28 | (100) | (1,203) | (1,215) | (3) | ||||||||
Kaiser Aluminum Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (955) | (82,355) | (71,272) | 8,515 | ||||||||
Kronos Worldwide, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (483) | (4,280) | (4,448) | (189) | ||||||||
Lithium Americas Corp. (Canada) | USFF -6.530% | Weekly | MS | 01/07/27 | (13,040) | (306,492) | (283,750) | 19,232 | ||||||||
Louisiana-Pacific Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,189) | (133,314) | (118,666) | 12,874 | ||||||||
Mativ Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (8,493) | (221,991) | (182,345) | 28,273 | ||||||||
Methanex Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/08/27 | (7,089) | (290,952) | (329,851) | (45,115) | ||||||||
Myers Industries, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (500) | (10,364) | (10,715) | (478) | ||||||||
New Gold, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (3,592) | (3,604) | (3,951) | (366) | ||||||||
NewMarket Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (585) | (201,579) | (213,513) | (21,828) | ||||||||
Novagold Resources, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/08/27 | (9,711) | (48,158) | (60,402) | (12,777) | ||||||||
Pan American Silver Corp. (Canada) | USFF -0.980% | Weekly | MS | 07/08/27 | (11,968) | (195,593) | (217,818) | (25,467) | ||||||||
Quaker Chemical Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (533) | (137,183) | (105,507) | 29,234 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Materials — (continued) | ||||||||||||||||
Royal Gold, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,026) | $ (344,410) | $ (392,502) | $ (54,022) | ||||||||
Sandstorm Gold Ltd. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (21,568) | (112,919) | (125,310) | (13,669) | ||||||||
Schnitzer Steel Industries, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (6,287) | (261,608) | (195,526) | 59,748 | ||||||||
Scotts Miracle-Gro Co. (The) | USFF -0.250% | Weekly | MS | 07/06/26 | (2,011) | (327,818) | (140,247) | 196,040 | ||||||||
Sensient Technologies Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (4,052) | (295,480) | (310,221) | (19,514) | ||||||||
Sigma Lithium Corp. (Canada) | USFF -9.830% | Weekly | MS | 07/08/27 | (9,274) | (284,144) | (348,888) | (69,756) | ||||||||
Sonoco Products Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (7,472) | (458,328) | (455,792) | (15,190) | ||||||||
Southern Copper Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,046) | (196,720) | (232,258) | (46,498) | ||||||||
SSR Mining, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (17,084) | (239,189) | (258,310) | (21,902) | ||||||||
Stepan Co. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,571) | (197,781) | (161,860) | 29,780 | ||||||||
TimkenSteel Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (439) | (7,957) | (8,051) | (163) | ||||||||
Trinseo PLC (Ireland) | USFF -0.250% | Weekly | MS | 07/06/26 | (2,354) | (76,895) | (49,081) | 26,121 | ||||||||
Triple Flag Precious Metals Corp. (Canada) | USFF -9.380% | Weekly | MS | 01/10/28 | (4) | (60) | (60) | 23 | ||||||||
Valvoline, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (5,064) | (177,506) | (176,936) | (1,472) | ||||||||
West Fraser Timber Co. Ltd. (Canada) | USFF -0.250% | Weekly | MS | 07/08/27 | (682) | (64,276) | (48,586) | 14,359 | ||||||||
Westrock Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (20,117) | (610,336) | (612,965) | (9,629) | ||||||||
Worthington Industries, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (3,424) | (194,847) | (221,362) | (34,991) | ||||||||
(784,156) | (15,553,919) | (14,723,447) | 570,774 | |||||||||||||
Media & Entertainment | ||||||||||||||||
Advantage Solutions, Inc. | USFF -0.270% | Weekly | MS | 01/07/27 | (7,235) | (23,955) | (11,431) | 12,276 | ||||||||
Altice USA, Inc., Class A | USFF -0.252% | Weekly | MS | 01/07/27 | (89,535) | (448,077) | (306,210) | 136,725 | ||||||||
AMC Networks, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (4,250) | (132,662) | (74,715) | 57,010 | ||||||||
Angi, Inc. | USFF -1.274% | Weekly | MS | 11/03/25 | (63,817) | (800,537) | (144,865) | 646,468 | ||||||||
Cargurus, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (25,838) | (963,120) | (482,654) | 473,408 | ||||||||
DISH Network Corp., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (83,214) | (1,540,456) | (776,387) | 746,336 | ||||||||
EW Scripps Co. (The), Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (400) | (8,839) | (3,764) | 6,194 | ||||||||
Gray Television, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (12,168) | (270,623) | (106,105) | 161,574 | ||||||||
IAC, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (8,669) | (910,189) | (447,320) | 461,391 | ||||||||
Lions Gate Entertainment Corp., Class B (Canada) | USFF -0.250% | Weekly | MS | 01/07/27 | (34,407) | (364,280) | (357,145) | 1,043 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Media & Entertainment — (continued) | ||||||||||||||||
Live Nation Entertainment, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (16,186) | $ (1,124,760) | $(1,133,020) | $ (21,201) | ||||||||
Madison Square Garden Entertainment Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (7,524) | (489,156) | (444,443) | 37,796 | ||||||||
Madison Square Garden Sports Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (825) | (151,687) | (160,751) | (11,045) | ||||||||
Magnite, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (14,268) | (141,550) | (132,122) | 7,820 | ||||||||
Pinterest, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (62,365) | (1,563,059) | (1,700,694) | (156,928) | ||||||||
PubMatic, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (347) | (4,687) | (4,796) | (139) | ||||||||
Roku, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,936) | (398,361) | (193,248) | 200,544 | ||||||||
Scholastic Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,130) | (80,243) | (72,889) | 5,936 | ||||||||
Shaw Communications, Inc., Class B (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (93) | (2,779) | (2,782) | (365) | ||||||||
Snap, Inc., Class A | USFF -0.250% | Weekly | MS | 07/06/26 | (20,923) | (729,237) | (234,547) | 486,308 | ||||||||
Taboola.com Ltd. (Israel) | USFF -1.080% | Weekly | MS | 01/10/28 | (82) | (219) | (223) | 17 | ||||||||
Warner Music Group Corp., Class A | USFF -0.250% | Weekly | MS | 07/06/26 | (4,914) | (216,149) | (163,980) | 45,963 | ||||||||
WideOpenWest, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (6,505) | (124,968) | (69,148) | 54,403 | ||||||||
World Wrestling Entertainment, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (3,592) | (319,106) | (327,806) | (12,786) | ||||||||
(472,223) | (10,808,699) | (7,351,045) | 3,338,748 | |||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||
10X Genomics, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (7,445) | (742,386) | (415,357) | 325,775 | ||||||||
Adaptive Biotechnologies Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,661) | (96,188) | (14,667) | 80,436 | ||||||||
Akero Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (5,744) | (261,102) | (219,765) | 38,855 | ||||||||
Amgen, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (301) | (72,441) | (72,767) | (1,137) | ||||||||
Amylyx Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (8,441) | (294,921) | (247,659) | 43,886 | ||||||||
Anavex Life Sciences Corp. | USFF -1.130% | Weekly | MS | 01/10/28 | (71) | (606) | (608) | 14 | ||||||||
Apellis Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,837) | (97,609) | (121,169) | (33,018) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||||||||
Arrowhead Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (9,643) | $ (270,145) | $ (244,932) | $ 22,122 | ||||||||
Arvinas, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,819) | (164,030) | (49,695) | 113,521 | ||||||||
Aurinia Pharmaceuticals, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/07/27 | (2,891) | (36,515) | (31,685) | 5,893 | ||||||||
Avantor, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,811) | (167,042) | (143,985) | 25,243 | ||||||||
Avid Bioservices, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (7,573) | (188,483) | (142,069) | 43,760 | ||||||||
Azenta, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (5,724) | (239,564) | (255,405) | (18,570) | ||||||||
Bio-Rad Laboratories, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (754) | (341,951) | (361,181) | (24,742) | ||||||||
Bio-Techne Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,949) | (142,100) | (144,596) | (4,111) | ||||||||
Bruker Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,021) | (78,295) | (80,496) | (3,080) | ||||||||
Cassava Sciences, Inc. | USFF -11.480% | Weekly | MS | 01/10/28 | (159) | (3,829) | (3,835) | (27) | ||||||||
Catalent, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (12,212) | (1,235,331) | (802,451) | 422,387 | ||||||||
Cerevel Therapeutics Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (953) | (22,607) | (23,244) | (874) | ||||||||
Cogent Biosciences, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (500) | (5,339) | (5,395) | (94) | ||||||||
Corcept Therapeutics, Inc. | USFF -0.580% | Weekly | MS | 01/10/28 | (627) | (13,595) | (13,581) | (120) | ||||||||
Crinetics Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (268) | (4,329) | (4,304) | (2) | ||||||||
CryoPort, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,989) | (56,168) | (71,736) | (16,756) | ||||||||
Cytek Biosciences, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (13,056) | (158,814) | (119,985) | 37,022 | ||||||||
Cytokinetics, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,544) | (97,159) | (89,523) | 6,539 | ||||||||
Denali Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (52) | (1,178) | (1,198) | (11) | ||||||||
Elanco Animal Health, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (73,476) | (733,334) | (690,674) | 34,230 | ||||||||
Eli Lilly & Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,958) | (2,279,396) | (2,389,516) | (136,371) | ||||||||
Enanta Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (86) | (3,483) | (3,478) | (12) | ||||||||
Geron Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (11,607) | (27,179) | (25,187) | 1,702 | ||||||||
Ideaya Biosciences, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (407) | (6,035) | (5,588) | 400 | ||||||||
IGM Biosciences, Inc. | USFF -0.730% | Weekly | MS | 01/10/28 | (4) | (59) | (55) | 27 | ||||||||
ImmunityBio, Inc. | USFF -7.080% | Weekly | MS | 01/10/28 | (136) | (255) | (248) | 27 | ||||||||
Inhibrx, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (23) | (436) | (434) | 20 | ||||||||
Insmed, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (7,316) | (135,462) | (124,738) | 9,186 | ||||||||
Intra-Cellular Therapies, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,934) | (204,367) | (213,026) | (11,747) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||||||||
Ionis Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (8,216) | $ (292,559) | $ (293,640) | $ (4,430) | ||||||||
IVERIC bio, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,375) | (70,784) | (82,114) | (15,026) | ||||||||
Pacira BioSciences, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,102) | (157,273) | (85,783) | 76,081 | ||||||||
Perrigo Co. PLC (Ireland) | USFF -0.250% | Weekly | MS | 08/27/24 | (13,290) | (568,229) | (476,712) | 72,907 | ||||||||
Phibro Animal Health Corp., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (259) | (3,883) | (3,968) | (107) | ||||||||
Pliant Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,359) | (64,417) | (89,349) | (25,696) | ||||||||
Prestige Consumer Healthcare, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,729) | (106,075) | (108,287) | (3,411) | ||||||||
Prometheus Biosciences, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (31) | (3,369) | (3,327) | 27 | ||||||||
RAPT Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (576) | (10,769) | (10,570) | 98 | ||||||||
Regeneron Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (326) | (265,506) | (267,864) | (5,396) | ||||||||
Relay Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,727) | (28,190) | (28,444) | (556) | ||||||||
Replimune Group, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (89) | (1,568) | (1,572) | 2 | ||||||||
Revance Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,469) | (57,689) | (79,526) | (22,480) | ||||||||
Sotera Health Co. | USFF -0.250% | Weekly | MS | 07/06/26 | (29,950) | (493,770) | (536,405) | (51,339) | ||||||||
SpringWorks Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,556) | (90,607) | (40,051) | 49,534 | ||||||||
Supernus Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (5,136) | (162,013) | (186,077) | (27,626) | ||||||||
Twist Bioscience Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (55) | (843) | (829) | 27 | ||||||||
Ultragenyx Pharmaceutical, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,227) | (66,135) | (49,203) | 16,193 | ||||||||
Vaxcyte, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,712) | (196,747) | (176,606) | 17,897 | ||||||||
Ventyx Biosciences, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,208) | (65,462) | (73,968) | (9,237) | ||||||||
Viridian Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,973) | (54,070) | (50,193) | 3,277 | ||||||||
Xencor, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,536) | (75,198) | (70,729) | 3,625 | ||||||||
Xenon Pharmaceuticals, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (2,055) | (71,631) | (73,548) | (2,720) | ||||||||
(289,948) | (11,088,520) | (9,922,997) | 1,032,017 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Advanced Micro Devices, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,415) | $ (420,556) | $ (432,714) | $ (20,174) | ||||||||
Alpha & Omega Semiconductor Ltd. (Bermuda) | USFF -0.250% | Weekly | MS | 01/10/28 | (399) | (10,451) | (10,753) | (399) | ||||||||
Ambarella, Inc. (Cayman Islands) | USFF -0.250% | Weekly | MS | 01/10/28 | (3,582) | (282,290) | (277,318) | 1,741 | ||||||||
Credo Technology Group Holding Ltd. (Cayman Islands) | USFF -0.250% | Weekly | MS | 01/10/28 | (1,666) | (15,237) | (15,694) | (609) | ||||||||
Entegris, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (6,504) | (533,872) | (533,393) | (8,589) | ||||||||
FormFactor, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (6,422) | (220,614) | (204,541) | 13,548 | ||||||||
Intel Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (16,017) | (539,956) | (523,275) | (24,555) | ||||||||
MACOM Technology Solutions Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,250) | (158,875) | (159,390) | (2,323) | ||||||||
Marvell Technology, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,722) | (203,993) | (204,463) | (2,798) | ||||||||
MKS Instruments, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (12,054) | (1,003,430) | (1,068,225) | (83,495) | ||||||||
Power Integrations, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,216) | (184,792) | (187,562) | (4,877) | ||||||||
SiTime Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,278) | (235,660) | (324,000) | (92,975) | ||||||||
SMART Global Holdings, Inc. (Cayman Islands) | USFF -0.250% | Weekly | MS | 01/07/27 | (18,753) | (494,637) | (323,302) | 165,643 | ||||||||
Teradyne, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,047) | (111,949) | (112,563) | (1,943) | ||||||||
Texas Instruments, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (5,312) | (960,592) | (988,085) | (37,242) | ||||||||
Ultra Clean Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,010) | (62,357) | (66,652) | (4,990) | ||||||||
(89,647) | (5,439,261) | (5,431,930) | (104,037) | |||||||||||||
Software & Services | ||||||||||||||||
ACI Worldwide, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (25,393) | (658,047) | (685,103) | (34,618) | ||||||||
Alarm.com Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (9,394) | (580,938) | (472,330) | 101,908 | ||||||||
Alkami Technology, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (417) | (5,108) | (5,279) | (207) | ||||||||
Altair Engineering, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (1,072) | (52,581) | (77,302) | (28,476) | ||||||||
Appfolio, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (1,020) | (144,771) | (126,970) | 16,367 | ||||||||
Appian Corp., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (5,013) | (190,702) | (222,477) | (33,982) | ||||||||
AppLovin Corp., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (43,934) | (1,207,737) | (691,961) | 501,879 | ||||||||
AvePoint, Inc. | USFF -0.837% | Weekly | MS | 01/10/28 | (525) | (2,138) | (2,163) | (27) | ||||||||
Bentley Systems, Inc., Class B | USFF -0.250% | Weekly | MS | 01/10/28 | (5,454) | (224,739) | (234,467) | (12,296) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Software & Services — (continued) | ||||||||||||||||
BigCommerce Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (11,766) | $ (161,672) | $(105,188) | $ 54,644 | ||||||||
BILL Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (5,351) | (414,386) | (434,180) | (25,911) | ||||||||
Black Knight, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (17,152) | (1,014,373) | (987,269) | 15,435 | ||||||||
Blackbaud, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,638) | (165,182) | (182,813) | (19,610) | ||||||||
Braze, Inc., Class A | USFF -1.280% | Weekly | MS | 07/08/27 | (3,129) | (106,958) | (108,170) | (3,123) | ||||||||
CGI, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (218) | (20,403) | (20,987) | (796) | ||||||||
Clear Secure, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (5,369) | (134,650) | (140,507) | (7,385) | ||||||||
Clearwater Analytics Holdings, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (1,543) | (32,257) | (24,626) | 7,282 | ||||||||
Confluent, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (4,823) | (210,042) | (116,090) | 91,554 | ||||||||
Datadog, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (9,308) | (669,232) | (676,319) | (18,334) | ||||||||
Envestnet, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (14,644) | (1,018,153) | (859,163) | 147,350 | ||||||||
Everbridge, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,784) | (244,821) | (96,521) | 147,411 | ||||||||
ForgeRock, Inc., Class A | USFF -0.730% | Weekly | MS | 01/10/28 | (2,522) | (50,702) | (51,953) | (1,893) | ||||||||
Gitlab, Inc., Class A | USFF -0.630% | Weekly | MS | 01/10/28 | (6,248) | (215,897) | (214,244) | (813) | ||||||||
Globant SA (Luxembourg) | USFF -0.250% | Weekly | MS | 07/08/27 | (1,058) | (195,253) | (173,523) | 20,471 | ||||||||
GoDaddy, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (3,130) | (256,654) | (243,264) | 10,299 | ||||||||
HashiCorp, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (715) | (20,075) | (20,942) | (1,075) | ||||||||
Intuit, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,106) | (905,367) | (938,918) | (43,957) | ||||||||
Jamf Holding Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (11,306) | (387,441) | (219,563) | 164,337 | ||||||||
JFrog Ltd. (Israel) | USFF -0.250% | Weekly | MS | 07/06/26 | (4,730) | (144,289) | (93,181) | 49,468 | ||||||||
Lightspeed Commerce, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/06/26 | (25,047) | (970,376) | (380,213) | 579,008 | ||||||||
LiveRamp Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (6,574) | (298,616) | (144,168) | 151,029 | ||||||||
MeridianLink, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (286) | (4,623) | (4,948) | (355) | ||||||||
nCino, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,895) | (163,359) | (71,738) | 93,126 | ||||||||
Olo, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (16,281) | (150,309) | (132,853) | 15,734 | ||||||||
Open Text Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/08/27 | (4,236) | (142,381) | (163,298) | (23,390) | ||||||||
Perficient, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (128) | (19,202) | (9,240) | 14,305 | ||||||||
Qualtrics International, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (5,190) | (139,221) | (92,538) | 47,004 | ||||||||
Rapid7, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,429) | (100,410) | (65,605) | 33,670 | ||||||||
RingCentral, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (9,144) | (1,296,520) | (280,446) | 1,002,367 | ||||||||
Shopify, Inc., Class A (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (5,285) | (224,453) | (253,363) | (34,105) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Software & Services — (continued) | ||||||||||||||||
Smartsheet, Inc., Class A | USFF -0.250% | Weekly | MS | 07/06/26 | (1,375) | $ (103,321) | $ (65,725) | $ 52,354 | ||||||||
Snowflake, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (6,559) | (898,535) | (1,011,988) | (127,013) | ||||||||
Thoughtworks Holding, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,458) | (11,174) | (10,731) | 337 | ||||||||
Tyler Technologies, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (57) | (19,964) | (20,214) | (457) | ||||||||
Verint Systems, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,687) | (134,485) | (137,304) | (4,395) | ||||||||
VMware, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (1,537) | (187,651) | (191,894) | (6,384) | ||||||||
Zoom Video Communications, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (17,254) | (1,300,403) | (1,274,035) | 11,401 | ||||||||
(311,184) | (15,599,571) | (12,535,774) | 2,900,138 | |||||||||||||
Technology Hardware & Equipment | ||||||||||||||||
ADTRAN Holdings, Inc. | USFF -0.250% | Weekly | MS | 08/27/24 | (21,382) | (397,168) | (339,119) | 50,169 | ||||||||
Arista Networks, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,967) | (707,188) | (833,761) | (142,754) | ||||||||
Avid Technology, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (928) | (27,286) | (29,677) | (2,683) | ||||||||
Avnet, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (9,573) | (415,527) | (432,700) | (24,664) | ||||||||
Benchmark Electronics, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (5,072) | (128,002) | (120,156) | 4,329 | ||||||||
Ciena Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (8,638) | (424,411) | (453,668) | (34,126) | ||||||||
Clearfield, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,841) | (103,051) | (85,754) | 16,132 | ||||||||
Cognex Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (812) | (63,686) | (40,235) | 27,815 | ||||||||
Coherent Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,490) | (124,559) | (132,899) | (9,753) | ||||||||
CommScope Holding Co., Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (46,519) | (644,120) | (296,326) | 346,281 | ||||||||
Corning, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (10,224) | (357,620) | (360,703) | (9,732) | ||||||||
Corsair Gaming, Inc. | USFF -0.580% | Weekly | MS | 07/06/26 | (3,845) | (98,421) | (70,556) | 27,862 | ||||||||
CTS Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (38) | (1,828) | (1,879) | (50) | ||||||||
Dell Technologies, Inc., Class C | USFF -0.250% | Weekly | MS | 01/10/28 | (3,387) | (133,678) | (136,191) | (4,031) | ||||||||
Harmonic, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (21,746) | (313,277) | (317,274) | (7,606) | ||||||||
Insight Enterprises, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (593) | (60,813) | (84,775) | (27,019) | ||||||||
Itron, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,094) | (163,575) | (171,562) | (9,850) | ||||||||
Jabil, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,309) | (109,119) | (115,401) | (7,517) | ||||||||
Juniper Networks, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (37,855) | (1,176,944) | (1,302,969) | (147,031) | ||||||||
Knowles Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,368) | (57,621) | (57,256) | (276) | ||||||||
Lumentum Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (8,308) | (493,066) | (448,715) | 38,691 | ||||||||
National Instruments Corp. | USFF -0.250% | Weekly | MS | 11/03/25 | (3,467) | (152,785) | (181,705) | (40,548) | ||||||||
Novanta, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/06/26 | (2,748) | (429,361) | (437,179) | (12,967) | ||||||||
OSI Systems, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,521) | (139,771) | (155,690) | (17,507) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Technology Hardware & Equipment — (continued) | ||||||||||||||||
PC Connection, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (297) | $ (12,783) | $ (13,353) | $ (698) | ||||||||
Plexus Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,646) | (232,215) | (258,170) | (28,793) | ||||||||
Rogers Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (4,300) | (942,239) | (702,749) | 221,812 | ||||||||
ScanSource, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (523) | (16,046) | (15,920) | (36) | ||||||||
Stratasys Ltd. (Israel) | USFF -0.250% | Weekly | MS | 07/08/27 | (4,372) | (73,208) | (72,269) | 64 | ||||||||
TD SYNNEX Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,984) | (213,047) | (192,031) | 17,879 | ||||||||
Trimble, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,993) | (108,743) | (104,473) | 3,039 | ||||||||
TTM Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (6,494) | (105,126) | (87,604) | 16,333 | ||||||||
Ubiquiti, Inc. | USFF -0.580% | Weekly | MS | 01/07/27 | (1,605) | (458,545) | (436,062) | 14,795 | ||||||||
Viasat, Inc. | USFF -0.250% | Weekly | MS | 08/27/24 | (13,607) | (656,916) | (460,461) | 198,296 | ||||||||
Vontier Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (20,542) | (421,503) | (561,618) | (149,496) | ||||||||
Western Digital Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (23,129) | (999,720) | (871,269) | 116,951 | ||||||||
(286,217) | (10,962,968) | (10,382,129) | 423,311 | |||||||||||||
Telecommunication Services | ||||||||||||||||
ATN International, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (79) | (3,148) | (3,233) | (113) | ||||||||
Cogent Communications Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,765) | (173,636) | (176,186) | (5,884) | ||||||||
Frontier Communications Parent, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (42,126) | (1,099,358) | (959,209) | 127,500 | ||||||||
Globalstar, Inc. | USFF -0.278% | Weekly | MS | 01/05/26 | (150,416) | (246,666) | (174,483) | 69,563 | ||||||||
Gogo, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (6,598) | (106,631) | (95,671) | 9,985 | ||||||||
Rogers Communications, Inc., Class B (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (3,499) | (166,560) | (162,214) | 1,010 | ||||||||
Shenandoah Telecommunications Co. | USFF -0.250% | Weekly | MS | 08/27/24 | (5,445) | (175,318) | (103,564) | 29,595 | ||||||||
(210,928) | (1,971,317) | (1,674,560) | 231,656 | |||||||||||||
Transportation | ||||||||||||||||
Air Transport Services Group, Inc. | USFF -0.250% | Weekly | MS | 08/27/24 | (10,953) | (280,602) | (228,151) | 49,239 | ||||||||
Allegiant Travel Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,589) | (178,570) | (146,156) | 31,203 | ||||||||
Canadian Pacific Railway Ltd. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (1,889) | (146,599) | (145,340) | (726) | ||||||||
FedEx Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,282) | (496,509) | (521,414) | (30,548) | ||||||||
Frontier Group Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,348) | (12,339) | (13,264) | (1,044) | ||||||||
Heartland Express, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (5,751) | (92,411) | (91,556) | (344) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Transportation — (continued) | ||||||||||||||||
JB Hunt Transport Services, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (377) | $ (79,577) | $ (66,148) | $ 11,924 | ||||||||
Knight-Swift Transportation Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (5,465) | (337,990) | (309,210) | 26,855 | ||||||||
Lyft, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (25,610) | (321,112) | (237,405) | 80,029 | ||||||||
PAM Transportation Services, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1) | (29) | (29) | 23 | ||||||||
SkyWest, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (4,510) | (159,138) | (99,987) | 57,369 | ||||||||
Southwest Airlines Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (10,217) | (370,116) | (332,461) | 31,587 | ||||||||
Sun Country Airlines Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (6,008) | (131,842) | (123,164) | 7,118 | ||||||||
United Airlines Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,688) | (86,477) | (74,694) | 10,809 | ||||||||
Werner Enterprises, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (16,152) | (751,774) | (734,754) | 4,831 | ||||||||
(93,840) | (3,445,085) | (3,123,733) | 278,325 | |||||||||||||
Utilities | ||||||||||||||||
Algonquin Power & Utilities Corp. (Canada) | USFF -0.250% | Weekly | MS | 01/05/26 | (27,805) | (348,368) | (233,562) | 88,961 | ||||||||
Alliant Energy Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (5,754) | (322,709) | (307,264) | 7,337 | ||||||||
American Electric Power Co., Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (7,613) | (680,301) | (692,707) | (20,635) | ||||||||
American States Water Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (790) | (68,376) | (70,223) | (2,613) | ||||||||
Avangrid, Inc. | USFF -0.250% | Weekly | MS | 08/27/24 | (2,632) | (138,016) | (104,964) | 19,874 | ||||||||
Avista Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (9,290) | (388,688) | (394,361) | (21,263) | ||||||||
Black Hills Corp. | USFF -0.250% | Weekly | MS | 08/27/24 | (3,306) | (255,486) | (208,609) | 23,399 | ||||||||
CenterPoint Energy, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (8,532) | (245,722) | (251,353) | (8,440) | ||||||||
Clearway Energy, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (2,652) | (70,613) | (79,640) | (17,271) | ||||||||
CMS Energy Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (8,103) | (550,971) | (497,362) | 37,993 | ||||||||
Edison International | USFF -0.250% | Weekly | MS | 07/08/27 | (4,151) | (271,488) | (293,019) | (35,772) | ||||||||
Essential Utilities, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (4,468) | (213,389) | (195,028) | 12,780 | ||||||||
Eversource Energy | USFF -0.250% | Weekly | MS | 01/10/28 | (2,455) | (190,524) | (192,128) | (5,155) | ||||||||
FirstEnergy Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (10,835) | (435,326) | (434,050) | (3,998) | ||||||||
Fortis, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/08/27 | (4,942) | (231,042) | (210,183) | 12,648 | ||||||||
NextEra Energy, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (5,550) | (423,428) | (427,794) | (11,775) | ||||||||
NiSource, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (18,377) | (492,218) | (513,821) | (32,736) | ||||||||
Northwest Natural Holding Co. | USFF -0.250% | Weekly | MS | 11/03/25 | (6,727) | (342,531) | (319,936) | 6,364 | ||||||||
NorthWestern Corp. | USFF -0.250% | Weekly | MS | 08/27/24 | (6,495) | (399,930) | (375,801) | (3,915) | ||||||||
NRG Energy, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (13,608) | (458,843) | (466,618) | (12,467) | ||||||||
OGE Energy Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (5,885) | (238,902) | (221,629) | 9,720 | ||||||||
ONE Gas, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (6,116) | (502,212) | (484,571) | 2,410 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Utilities — (continued) | ||||||||||||||||
Ormat Technologies, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,263) | $ (191,215) | $ (191,835) | $ (2,908) | ||||||||
Pinnacle West Capital Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (2,920) | (252,862) | (231,381) | 1,564 | ||||||||
Portland General Electric Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,706) | (137,340) | (132,296) | (498) | ||||||||
PPL Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,003) | (60,068) | (55,663) | 7,519 | ||||||||
Sempra Energy | USFF -0.250% | Weekly | MS | 01/10/28 | (6,258) | (922,101) | (945,959) | (41,007) | ||||||||
Southern Co. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (1,136) | (78,660) | (79,043) | (941) | ||||||||
Southwest Gas Holdings, Inc. | USFF -0.250% | Weekly | MS | 08/27/24 | (8,674) | (670,711) | (541,691) | 88,742 | ||||||||
Spire, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (196) | (14,878) | (13,747) | 135 | ||||||||
TransAlta Corp. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (42) | (365) | (368) | 20 | ||||||||
Unitil Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (52) | (2,907) | (2,966) | (69) | ||||||||
WEC Energy Group, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (4,590) | (432,249) | (435,086) | (11,579) | ||||||||
Xcel Energy, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,797) | (244,518) | (256,070) | (16,867) | ||||||||
(200,723) | (10,276,957) | (9,860,728) | 69,557 | |||||||||||||
Total Reference Entity — Short | (188,462,828) | (166,609,643) | 18,694,807 | |||||||||||||
Net Value of Reference Entity | $ (28,970,070) | $ 8,878,178 | $39,083,918 |
* | Includes $1,235,670 related to open trades, dividends receivables/payables and swap receivables/payables activities. |
USFF U.S. Fed Funds
Number of Shares | Value | ||
COMMON STOCKS — 95.7% | |||
Automobiles & Components — 1.4% | |||
Adient PLC (Ireland)* | 1,946 | $ 79,708 | |
BorgWarner, Inc.(a) | 3,972 | 195,065 | |
Ford Motor Co.(a) | 13,151 | 165,702 | |
General Motors Co.(a) | 6,744 | 247,370 | |
Lear Corp. | 304 | 42,405 | |
Magna International, Inc. (Canada) | 245 | 13,125 | |
Modine Manufacturing Co.* | 982 | 22,635 | |
Thor Industries, Inc.(a) | 3 | 239 | |
Visteon Corp.(a)* | 1,205 | 188,980 | |
955,229 | |||
Capital Goods — 12.9% | |||
3M Co.(a) | 1,709 | 179,633 | |
A. O. Smith Corp. | 619 | 42,804 | |
Advanced Drainage Systems, Inc.(a) | 1,447 | 121,852 | |
AGCO Corp. | 538 | 72,738 | |
Allison Transmission Holdings, Inc. | 732 | 33,116 | |
AMETEK, Inc. | 680 | 98,824 | |
Applied Industrial Technologies, Inc. | 320 | 45,482 | |
Armstrong World Industries, Inc. | 498 | 35,478 | |
Array Technologies, Inc.* | 3,723 | 81,459 | |
Atkore, Inc.(a)* | 584 | 82,040 | |
Axon Enterprise, Inc.(a)* | 2,381 | 535,368 | |
Blue Bird Corp.* | 119 | 2,431 | |
BlueLinx Holdings, Inc.* | 30 | 2,039 | |
Boeing Co. (The)(a)* | 1,331 | 282,744 | |
Boise Cascade Co.(a) | 1,184 | 74,888 | |
Builders FirstSource, Inc.(a)* | 987 | 87,626 | |
Carlisle Cos., Inc.(a) | 885 | 200,072 | |
Carrier Global Corp.(a) | 2,894 | 132,400 | |
Caterpillar, Inc.(a) | 910 | 208,244 | |
Chart Industries, Inc.(a)* | 3,725 | 467,115 | |
Comfort Systems USA, Inc. | 427 | 62,325 | |
Crane Holdings Co.(a) | 1,439 | 163,326 | |
Curtiss-Wright Corp. | 113 | 19,917 | |
Deere & Co.(a) | 334 | 137,902 | |
Donaldson Co., Inc. | 1,126 | 73,573 | |
Douglas Dynamics, Inc. | 2 | 64 | |
Dover Corp. | 156 | 23,703 | |
Eaton Corp. PLC (Ireland) | 457 | 78,302 | |
EMCOR Group, Inc.(a) | 854 | 138,852 | |
Encore Wire Corp.(a) | 1,974 | 365,841 | |
Enerpac Tool Group Corp. | 1,550 | 39,525 | |
EnPro Industries, Inc. | 333 | 34,595 | |
Esab Corp. | 78 | 4,607 | |
Fastenal Co.(a) | 388 | 20,929 | |
Fortive Corp.(a) | 2,006 | 136,749 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Capital Goods — (Continued) | |||
Fortune Brands Innovations, Inc.(a) | 4,039 | $ 237,210 | |
General Dynamics Corp. | 117 | 26,701 | |
General Electric Co.(a) | 1,895 | 181,162 | |
GMS, Inc.* | 308 | 17,830 | |
Griffon Corp. | 1,913 | 61,235 | |
Hillman Solutions Corp.* | 2,050 | 17,261 | |
Honeywell International, Inc. | 572 | 109,321 | |
Howmet Aerospace, Inc.(a) | 2,717 | 115,119 | |
Hubbell, Inc.(a) | 684 | 166,424 | |
Huntington Ingalls Industries, Inc. | 30 | 6,211 | |
Illinois Tool Works, Inc. | 485 | 118,073 | |
Ingersoll Rand, Inc.(a) | 4,820 | 280,428 | |
Janus International Group, Inc.* | 113 | 1,114 | |
Kaman Corp. | 88 | 2,012 | |
Lincoln Electric Holdings, Inc.(a) | 100 | 16,910 | |
Lockheed Martin Corp.(a) | 415 | 196,183 | |
Manitowoc Co., Inc. (The)* | 19 | 325 | |
Masco Corp. | 1,111 | 55,239 | |
Mueller Industries, Inc.(a) | 3,287 | 241,529 | |
Nordson Corp.(a) | 191 | 42,452 | |
nVent Electric PLC (Ireland) | 3,525 | 151,363 | |
Otis Worldwide Corp.(a) | 993 | 83,809 | |
Owens Corning(a) | 1,698 | 162,668 | |
PACCAR, Inc. | 869 | 63,611 | |
Quanta Services, Inc. | 707 | 117,814 | |
RBC Bearings, Inc.* | 467 | 108,685 | |
Regal Rexnord Corp. | 469 | 66,002 | |
Rocket Lab USA, Inc.* | 4,846 | 19,578 | |
Shoals Technologies Group, Inc., Class A* | 5,688 | 129,630 | |
Simpson Manufacturing Co., Inc. | 337 | 36,949 | |
Snap-on, Inc. | 183 | 45,181 | |
Sterling Infrastructure, Inc.* | 449 | 17,008 | |
Terex Corp.(a) | 3,084 | 149,204 | |
Textron, Inc.(a) | 4,176 | 294,951 | |
Thermon Group Holdings, Inc.* | 257 | 6,404 | |
Titan International, Inc.* | 46 | 482 | |
Toro Co. (The) | 47 | 5,225 | |
Trane Technologies PLC (Ireland) | 358 | 65,865 | |
TransDigm Group, Inc. | 124 | 91,394 | |
UFP Industries, Inc. | 1,089 | 86,543 | |
Univar Solutions, Inc.* | 621 | 21,754 | |
Valmont Industries, Inc. | 378 | 120,688 | |
Veritiv Corp.(a) | 1,137 | 153,654 | |
Wabash National Corp. | 2,062 | 50,705 | |
Watsco, Inc. | 80 | 25,453 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Capital Goods — (Continued) | |||
Watts Water Technologies, Inc., Class A | 475 | $ 79,952 | |
Westinghouse Air Brake Technologies Corp.(a) | 558 | 56,391 | |
WillScot Mobile Mini Holdings Corp.(a)* | 5,081 | 238,197 | |
WW Grainger, Inc.(a) | 494 | 340,272 | |
Xylem, Inc.(a) | 1,923 | 201,338 | |
8,970,072 | |||
Commercial & Professional Services — 3.3% | |||
ACV Auctions, Inc., Class A* | 1,701 | 21,960 | |
Automatic Data Processing, Inc.(a) | 750 | 166,973 | |
Booz Allen Hamilton Holding Corp. | 261 | 24,192 | |
Brady Corp., Class A | 39 | 2,096 | |
Broadridge Financial Solutions, Inc. | 684 | 100,254 | |
CACI International, Inc., Class A* | 123 | 36,442 | |
CBIZ, Inc.* | 607 | 30,040 | |
Cintas Corp.(a) | 263 | 121,685 | |
Clarivate PLC (Jersey)* | 6,663 | 62,566 | |
Clean Harbors, Inc.(a)* | 1,520 | 216,691 | |
Concentrix Corp. | 275 | 33,426 | |
Copart, Inc.(a)* | 1,157 | 87,018 | |
Heidrick & Struggles International, Inc. | 11 | 334 | |
HireRight Holdings Corp.* | 19 | 202 | |
Insperity, Inc. | 572 | 69,527 | |
Korn Ferry(a) | 686 | 35,494 | |
Leidos Holdings, Inc.(a) | 1,472 | 135,512 | |
Paychex, Inc.(a) | 1,185 | 135,789 | |
Republic Services, Inc. | 619 | 83,701 | |
Ritchie Bros Auctioneers, Inc. (Canada) | 852 | 47,959 | |
Robert Half International, Inc.(a) | 1,060 | 85,404 | |
Rollins, Inc.(a) | 6,712 | 251,901 | |
Science Applications International Corp. | 823 | 88,440 | |
Tetra Tech, Inc.(a) | 446 | 65,522 | |
Thomson Reuters Corp. (Canada) | 1,289 | 167,725 | |
TransUnion | 845 | 52,508 | |
TriNet Group, Inc.(a)* | 440 | 35,468 | |
Verisk Analytics, Inc.(a) | 712 | 136,604 | |
Verra Mobility Corp.* | 246 | 4,162 | |
Waste Management, Inc. | 127 | 20,723 | |
2,320,318 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Consumer Discretionary Distribution & Retail — 3.3% | |||
Amazon.com, Inc.(a)* | 3,093 | $ 319,476 | |
Arhaus, Inc.* | 1,328 | 11,009 | |
AutoNation, Inc.(a)* | 495 | 66,508 | |
AutoZone, Inc.(a)* | 9 | 22,123 | |
Bath & Body Works, Inc.(a) | 4,758 | 174,048 | |
Best Buy Co., Inc. | 103 | 8,062 | |
Buckle, Inc. (The)(a) | 3,241 | 115,671 | |
Burlington Stores, Inc.(a)* | 756 | 152,788 | |
CarMax, Inc.* | 1,068 | 68,651 | |
Chico's FAS, Inc.* | 1,075 | 5,913 | |
eBay, Inc.(a) | 371 | 16,461 | |
Etsy, Inc.(a)* | 912 | 101,533 | |
Genuine Parts Co.(a) | 683 | 114,273 | |
Group 1 Automotive, Inc.(a) | 198 | 44,831 | |
Home Depot, Inc. (The)(a) | 137 | 40,432 | |
LKQ Corp.(a) | 2,691 | 152,741 | |
Lowe's Cos., Inc.(a) | 787 | 157,376 | |
Monro, Inc. | 12 | 593 | |
Murphy USA, Inc.(a) | 236 | 60,900 | |
Nordstrom, Inc. | 41 | 667 | |
ODP Corp. (The)* | 2,080 | 93,558 | |
O'Reilly Automotive, Inc.* | 44 | 37,355 | |
Overstock.com, Inc.(a)* | 2,256 | 45,729 | |
Ross Stores, Inc.(a) | 1,344 | 142,639 | |
Sonic Automotive, Inc., Class A | 3 | 163 | |
TJX Cos., Inc. (The) | 90 | 7,052 | |
Ulta Beauty, Inc.(a)* | 219 | 119,502 | |
Urban Outfitters, Inc.(a)* | 5,706 | 158,170 | |
Warby Parker, Inc., Class A* | 2,859 | 30,277 | |
2,268,501 | |||
Consumer Durables & Apparel — 3.0% | |||
Capri Holdings Ltd. (British Virgin Islands)* | 2,071 | 97,337 | |
Cavco Industries, Inc.* | 378 | 120,106 | |
Cricut, Inc., Class A | 23 | 235 | |
Crocs, Inc.* | 292 | 36,920 | |
DR Horton, Inc.(a) | 1,239 | 121,038 | |
GoPro, Inc., Class A* | 5,426 | 27,293 | |
Hasbro, Inc.(a) | 6,018 | 323,106 | |
Installed Building Products, Inc. | 61 | 6,956 | |
Kontoor Brands, Inc. | 484 | 23,421 | |
Leggett & Platt, Inc. | 1,607 | 51,231 | |
Malibu Boats, Inc., Class A* | 383 | 21,620 | |
Mohawk Industries, Inc.* | 234 | 23,451 | |
NIKE, Inc., Class B(a) | 1,419 | 174,026 | |
Peloton Interactive, Inc., Class A* | 6,146 | 69,696 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Consumer Durables & Apparel — (Continued) | |||
Polaris, Inc.(a) | 1,775 | $ 196,368 | |
PulteGroup, Inc. | 1,127 | 65,682 | |
Skyline Champion Corp.(a)* | 831 | 62,516 | |
Sonos, Inc.* | 533 | 10,457 | |
Steven Madden Ltd.(a) | 3,563 | 128,268 | |
Tapestry, Inc.(a) | 8,821 | 380,273 | |
Under Armour, Inc., Class C(a)* | 5,267 | 44,928 | |
Vista Outdoor, Inc.(a)* | 1,950 | 54,035 | |
Whirlpool Corp. | 229 | 30,233 | |
2,069,196 | |||
Consumer Services — 3.3% | |||
ADT, Inc. | 1,904 | 13,766 | |
Adtalem Global Education, Inc.* | 2,554 | 98,635 | |
Bloomin' Brands, Inc.(a) | 2,250 | 57,712 | |
Booking Holdings, Inc.* | 12 | 31,829 | |
Bright Horizons Family Solutions, Inc.* | 600 | 46,194 | |
Caesars Entertainment, Inc.(a)* | 13,168 | 642,730 | |
Darden Restaurants, Inc. | 740 | 114,818 | |
Denny's Corp.* | 1,368 | 15,267 | |
Dine Brands Global, Inc. | 218 | 14,746 | |
Expedia Group, Inc.* | 676 | 65,592 | |
Graham Holdings Co., Class B | 53 | 31,580 | |
Grand Canyon Education, Inc.* | 313 | 35,651 | |
Hilton Worldwide Holdings, Inc. | 483 | 68,040 | |
International Game Technology PLC (United Kingdom) | 501 | 13,427 | |
Marriott International, Inc., Class A(a) | 766 | 127,187 | |
McDonald's Corp.(a) | 618 | 172,799 | |
MGM Resorts International(a) | 1,759 | 78,135 | |
Monarch Casino & Resort, Inc. | 78 | 5,784 | |
Papa John's International, Inc.(a) | 307 | 23,003 | |
Penn Entertainment, Inc.(a)* | 779 | 23,105 | |
Restaurant Brands International, Inc. (Canada) | 231 | 15,509 | |
Rover Group, Inc.* | 42 | 190 | |
Six Flags Entertainment Corp.* | 522 | 13,943 | |
Starbucks Corp.(a) | 1,795 | 186,913 | |
Wendy's Co. (The) | 2,898 | 63,118 | |
Wingstop, Inc.(a) | 401 | 73,616 | |
Wyndham Hotels & Resorts, Inc. | 399 | 27,072 | |
Yum! Brands, Inc.(a) | 1,694 | 223,744 | |
2,284,105 | |||
Consumer Staples Distribution & Retail — 1.8% | |||
Casey's General Stores, Inc.(a) | 1,008 | 218,192 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Consumer Staples Distribution & Retail — (Continued) | |||
Costco Wholesale Corp.(a) | 218 | $ 108,318 | |
Dollar Tree, Inc.(a)* | 1,167 | 167,523 | |
Fresh Market Holdings, Inc. (The), Escrow Shares(b)* | 14,027 | — | |
PriceSmart, Inc. | 270 | 19,299 | |
Sprouts Farmers Market, Inc.* | 1,685 | 59,025 | |
US Foods Holding Corp.(a)* | 7,804 | 288,280 | |
Walgreens Boots Alliance, Inc. | 2,179 | 75,350 | |
Walmart, Inc.(a) | 1,954 | 288,117 | |
1,224,104 | |||
Energy — 8.1% | |||
Antero Resources Corp.(a)* | 14,548 | 335,913 | |
APA Corp.(a) | 8,975 | 323,639 | |
Arch Resources, Inc.(a) | 1,161 | 152,625 | |
Baker Hughes Co.(a) | 369 | 10,649 | |
Canadian Natural Resources Ltd. (Canada) | 726 | 40,184 | |
Cheniere Energy, Inc. | 1,785 | 281,316 | |
Chevron Corp.(a) | 1,685 | 274,925 | |
CNX Resources Corp.* | 953 | 15,267 | |
Comstock Resources, Inc.(a) | 4,854 | 52,375 | |
ConocoPhillips (a) | 1,390 | 137,902 | |
CONSOL Energy, Inc.(a) | 3,044 | 177,374 | |
Coterra Energy, Inc. | 6,439 | 158,013 | |
Crescent Point Energy Corp. (Canada) | 21,452 | 151,451 | |
CVR Energy, Inc.(a) | 1,153 | 37,795 | |
Denbury, Inc.(a)* | 449 | 39,346 | |
DHT Holdings, Inc. (Marshall Islands) | 23,295 | 251,819 | |
Dorian LPG Ltd. (Marshall Islands) | 1,901 | 37,906 | |
Dril-Quip, Inc.* | 111 | 3,185 | |
Enbridge, Inc. (Canada) | 5,018 | 191,437 | |
Enerplus Corp. (Canada) | 6,377 | 91,893 | |
EOG Resources, Inc.(a) | 900 | 103,167 | |
EQT Corp.(a) | 2,804 | 89,476 | |
Equitrans Midstream Corp. | 12,047 | 69,632 | |
Expro Group Holdings N. V. (Netherlands)* | 109 | 2,001 | |
Exxon Mobil Corp.(a) | 2,278 | 249,806 | |
FLEX LNG Ltd. (Bermuda) | 1,973 | 66,253 | |
Gulfport Energy Corp.* | 171 | 13,680 | |
Helmerich & Payne, Inc.(a) | 2,056 | 73,502 | |
Hess Corp.(a) | 877 | 116,062 | |
HF Sinclair Corp. | 3,061 | 148,091 | |
Imperial Oil Ltd. (Canada) | 1,199 | 60,921 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Energy — (Continued) | |||
Kinder Morgan, Inc.(a) | 7,777 | $ 136,175 | |
Kosmos Energy Ltd.(a)* | 17,402 | 129,471 | |
Marathon Petroleum Corp.(a) | 84 | 11,326 | |
Murphy Oil Corp.(a) | 3,313 | 122,515 | |
Nabors Industries Ltd. (Bermuda)* | 765 | 93,261 | |
NexTier Oilfield Solutions, Inc.* | 9,244 | 73,490 | |
Nordic American Tankers Ltd. (Bermuda) | 4,224 | 16,727 | |
Occidental Petroleum Corp.(a) | 2,751 | 171,745 | |
Pembina Pipeline Corp. (Canada) | 3,320 | 107,568 | |
Phillips 66 | 309 | 31,326 | |
Range Resources Corp.(a) | 10,436 | 276,241 | |
RPC, Inc. | 1,586 | 12,196 | |
Southwestern Energy Co.(a)* | 62,197 | 310,985 | |
Talos Energy, Inc.* | 954 | 14,157 | |
TechnipFMC PLC (United Kingdom)* | 6,803 | 92,861 | |
US Silica Holdings, Inc.* | 7,295 | 87,102 | |
Valaris Ltd. (Bermuda)* | 498 | 32,400 | |
Valero Energy Corp.(a) | 187 | 26,105 | |
W&T Offshore, Inc.* | 4,267 | 21,676 | |
Weatherford International PLC (Ireland)* | 2,002 | 118,819 | |
5,643,751 | |||
Financial Services — 2.3% | |||
Affiliated Managers Group, Inc. | 365 | 51,983 | |
Berkshire Hathaway, Inc., Class B(a)* | 803 | 247,942 | |
BlackRock, Inc. | 99 | 66,243 | |
Cboe Global Markets, Inc. | 707 | 94,908 | |
CME Group, Inc.(a) | 875 | 167,580 | |
FactSet Research Systems, Inc. | 64 | 26,566 | |
Federated Hermes, Inc. | 956 | 38,374 | |
Franklin Resources, Inc.(a) | 7,274 | 195,961 | |
Intercontinental Exchange, Inc.(a) | 2,316 | 241,536 | |
Janus Henderson Group PLC (Jersey) | 2,029 | 54,053 | |
MarketAxess Holdings, Inc. | 120 | 46,955 | |
Nasdaq, Inc.(a) | 3,125 | 170,844 | |
Open Lending Corp., Class A* | 3,485 | 24,534 | |
T Rowe Price Group, Inc.(a) | 1,276 | 144,060 | |
1,571,539 | |||
Food, Beverage & Tobacco — 3.7% | |||
Altria Group, Inc.(a) | 3,591 | 160,230 | |
Archer-Daniels-Midland Co.(a) | 627 | 49,947 | |
Bunge Ltd. (Bermuda) | 702 | 67,055 | |
Cal-Maine Foods, Inc.(a) | 3,286 | 200,085 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Food, Beverage & Tobacco — (Continued) | |||
Campbell Soup Co.(a) | 3,031 | $ 166,644 | |
Celsius Holdings, Inc.(a)* | 3,100 | 288,114 | |
Coca-Cola Co. (The)(a) | 3,082 | 191,176 | |
Coca-Cola Consolidated, Inc. | 76 | 40,666 | |
Constellation Brands, Inc., Class A | 347 | 78,384 | |
Dole PLC (Ireland) | 312 | 3,663 | |
Duckhorn Portfolio, Inc. (The)* | 443 | 7,044 | |
General Mills, Inc.(a) | 1,200 | 102,552 | |
J M Smucker Co. (The) | 253 | 39,815 | |
John B Sanfilippo & Son, Inc. | 6 | 581 | |
Kellogg Co.(a) | 2,551 | 170,815 | |
Keurig Dr Pepper, Inc.(a) | 5,870 | 207,094 | |
Kraft Heinz Co. (The) | 2,567 | 99,266 | |
Lamb Weston Holdings, Inc.(a) | 1,222 | 127,723 | |
Lancaster Colony Corp. | 142 | 28,809 | |
MGP Ingredients, Inc. | 362 | 35,013 | |
Molson Coors Beverage Co., Class B | 1,001 | 51,732 | |
PepsiCo, Inc.(a) | 812 | 148,028 | |
Philip Morris International, Inc. | 862 | 83,829 | |
Pilgrim's Pride Corp.(a)* | 3,896 | 90,309 | |
Primo Water Corp. (Canada) | 1,957 | 30,040 | |
TreeHouse Foods, Inc.* | 1,519 | 76,603 | |
Vector Group Ltd. | 32 | 384 | |
2,545,601 | |||
Health Care Equipment & Services — 7.4% | |||
Abbott Laboratories | 1,154 | 116,854 | |
Addus HomeCare Corp.* | 219 | 23,380 | |
Align Technology, Inc.* | 40 | 13,366 | |
Amedisys, Inc.* | 378 | 27,802 | |
AMN Healthcare Services, Inc.* | 17 | 1,410 | |
Avanos Medical, Inc.* | 767 | 22,811 | |
Axonics, Inc.(a)* | 2,591 | 141,365 | |
Cardinal Health, Inc.(a) | 1,704 | 128,652 | |
Centene Corp.(a)* | 3,350 | 211,754 | |
Chemed Corp. | 29 | 15,595 | |
Cigna Group (The)(a) | 523 | 133,642 | |
Community Health Systems, Inc.* | 171 | 838 | |
Cooper Cos., Inc. (The) | 150 | 56,004 | |
Cross Country Healthcare, Inc.* | 2,729 | 60,911 | |
CVS Health Corp.(a) | 5,389 | 400,457 | |
DaVita, Inc.(a)* | 265 | 21,494 | |
DENTSPLY SIRONA, Inc. | 996 | 39,123 | |
Dexcom, Inc.(a)* | 2,083 | 242,003 | |
Edwards Lifesciences Corp.(a)* | 2,109 | 174,478 | |
Elevance Health, Inc.(a) | 181 | 83,226 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Health Care Equipment & Services — (Continued) | |||
Enovis Corp.(a)* | 2,963 | $ 158,491 | |
Ensign Group, Inc. (The) | 326 | 31,146 | |
Fulgent Genetics, Inc.(a)* | 2,206 | 68,871 | |
GE HealthCare Technologies, Inc.(a)* | 2,067 | 169,556 | |
HCA Healthcare, Inc.(a) | 624 | 164,536 | |
Hims & Hers Health, Inc.* | 6,641 | 65,879 | |
Hologic, Inc.* | 979 | 79,005 | |
Humana, Inc.(a) | 356 | 172,824 | |
Inspire Medical Systems, Inc.(a)* | 500 | 117,035 | |
Insulet Corp.(a)* | 428 | 136,515 | |
Integra LifeSciences Holdings Corp.* | 990 | 56,836 | |
iRhythm Technologies, Inc.* | 885 | 109,767 | |
Lantheus Holdings, Inc.(a)* | 4,359 | 359,879 | |
LivaNova PLC (United Kingdom)* | 441 | 19,219 | |
McKesson Corp.(a) | 97 | 34,537 | |
Medtronic PLC (Ireland) | 1,810 | 145,922 | |
Molina Healthcare, Inc.(a)* | 712 | 190,453 | |
NextGen Healthcare, Inc.* | 1,054 | 18,350 | |
Option Care Health, Inc.* | 559 | 17,759 | |
Shockwave Medical, Inc.(a)* | 992 | 215,095 | |
Stryker Corp. | 73 | 20,839 | |
TransMedics Group, Inc.(a)* | 2,638 | 199,776 | |
UFP Technologies, Inc.* | 91 | 11,815 | |
UnitedHealth Group, Inc.(a) | 309 | 146,030 | |
Universal Health Services, Inc., Class B | 191 | 24,276 | |
Veradigm, Inc.(a)* | 12,088 | 157,748 | |
Zimmer Biomet Holdings, Inc.(a) | 2,663 | 344,060 | |
5,151,384 | |||
Household & Personal Products — 1.4% | |||
Church & Dwight Co., Inc. | 457 | 40,403 | |
elf Beauty, Inc.(a)* | 5,740 | 472,689 | |
Kimberly-Clark Corp.(a) | 1,793 | 240,656 | |
Procter & Gamble Co. (The)(a) | 1,375 | 204,449 | |
Spectrum Brands Holdings, Inc. | 749 | 49,599 | |
1,007,796 | |||
Materials — 7.5% | |||
Alamos Gold, Inc., Class A (Canada) | 8,232 | 100,677 | |
Albemarle Corp.(a) | 2,086 | 461,089 | |
Alpha Metallurgical Resources, Inc.(a) | 1,098 | 171,288 | |
American Vanguard Corp. | 9 | 197 | |
ATI, Inc.(a)* | 4,636 | 182,937 | |
Avery Dennison Corp. | 111 | 19,861 | |
Avient Corp. | 1,200 | 49,392 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Materials — (Continued) | |||
Ball Corp.(a) | 1,287 | $ 70,927 | |
CF Industries Holdings, Inc.(a) | 1,389 | 100,689 | |
Commercial Metals Co. | 1,923 | 94,035 | |
Dow, Inc. | 1,941 | 106,406 | |
DuPont de Nemours, Inc.(a) | 11,015 | 790,547 | |
Eagle Materials, Inc.(a) | 105 | 15,409 | |
Eastman Chemical Co.(a) | 323 | 27,242 | |
Ecolab, Inc.(a) | 1,401 | 231,908 | |
FMC Corp. | 627 | 76,576 | |
Franco-Nevada Corp. (Canada) | 1,574 | 229,489 | |
Freeport-McMoRan, Inc. | 1,362 | 55,719 | |
Graphic Packaging Holding Co.(a) | 8,076 | 205,857 | |
Greif, Inc., Class A | 776 | 49,175 | |
Hudbay Minerals, Inc. (Canada) | 8,242 | 43,270 | |
Innospec, Inc. | 49 | 5,031 | |
International Paper Co.(a) | 2,687 | 96,893 | |
Linde PLC (Ireland) | 544 | 193,359 | |
Livent Corp.* | 4,187 | 90,942 | |
LSB Industries, Inc.* | 1,373 | 14,183 | |
Martin Marietta Materials, Inc.(a) | 391 | 138,828 | |
Mosaic Co. (The)(a) | 4,648 | 213,250 | |
NewMarket Corp. | 102 | 37,228 | |
Newmont Corp.(a) | 3,044 | 149,217 | |
Nucor Corp.(a) | 926 | 143,039 | |
Nutrien Ltd. (Canada) | 435 | 32,125 | |
Olin Corp.(a) | 3,291 | 182,650 | |
Packaging Corp. of America(a) | 1,041 | 144,522 | |
Pactiv Evergreen, Inc. | 63 | 504 | |
Perimeter Solutions SA (Luxembourg)* | 3,894 | 31,464 | |
Reliance Steel & Aluminum Co.(a) | 356 | 91,399 | |
Sealed Air Corp. | 1,761 | 80,848 | |
Silgan Holdings, Inc. | 2,225 | 119,416 | |
SilverCrest Metals, Inc. (Canada)* | 23 | 164 | |
Steel Dynamics, Inc.(a) | 1,475 | 166,763 | |
Sylvamo Corp. | 556 | 25,721 | |
Teck Resources Ltd., Class B (Canada) | 1,952 | 71,248 | |
Warrior Met Coal, Inc.(a) | 1,899 | 69,712 | |
Westlake Corp. | 475 | 55,090 | |
5,236,286 | |||
Media & Entertainment — 5.9% | |||
Activision Blizzard, Inc.(a) | 1,656 | 141,737 | |
Alphabet, Inc., Class A(a)* | 4,910 | 509,314 | |
Bumble, Inc., Class A(a)* | 8,704 | 170,163 | |
Cable One, Inc. | 180 | 126,360 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Media & Entertainment — (Continued) | |||
Charter Communications, Inc., Class A(a)* | 310 | $ 110,859 | |
Cinemark Holdings, Inc.(a)* | 14,938 | 220,933 | |
Comcast Corp., Class A(a) | 4,278 | 162,179 | |
Electronic Arts, Inc.(a) | 153 | 18,429 | |
Fox Corp., Class A(a) | 3,260 | 111,003 | |
Interpublic Group of Cos., Inc. (The) | 2,095 | 78,018 | |
Match Group, Inc.(a)* | 3,129 | 120,122 | |
Meta Platforms, Inc., Class A(a)* | 2,877 | 609,751 | |
Netflix, Inc.(a)* | 1,109 | 383,137 | |
New York Times Co. (The), Class A | 1,547 | 60,147 | |
News Corp., Class A(a) | 2,682 | 46,318 | |
Nexstar Media Group, Inc. | 141 | 24,345 | |
Omnicom Group, Inc.(a) | 2,711 | 255,756 | |
Paramount Global, Class B | 887 | 19,789 | |
Shutterstock, Inc. | 945 | 68,607 | |
Sinclair Broadcast Group, Inc., Class A | 2,140 | 36,723 | |
Sirius XM Holdings, Inc.(a) | 48,006 | 190,584 | |
Stagwell, Inc.* | 205 | 1,521 | |
TEGNA, Inc. | 1,300 | 21,983 | |
Trade Desk, Inc. (The), Class A(a)* | 2,380 | 144,966 | |
TripAdvisor, Inc.(a)* | 10,980 | 218,063 | |
Walt Disney Co. (The)* | 1,098 | 109,943 | |
ZipRecruiter, Inc., Class A* | 2,335 | 37,220 | |
ZoomInfo Technologies, Inc.(a)* | 3,156 | 77,985 | |
4,075,955 | |||
Pharmaceuticals, Biotechnology & Life Sciences — 5.7% | |||
AbCellera Biologics, Inc. (Canada)* | 5,144 | 38,786 | |
Agilent Technologies, Inc. | 575 | 79,545 | |
Amphastar Pharmaceuticals, Inc.* | 742 | 27,825 | |
Ardelyx, Inc.* | 3,890 | 18,633 | |
Biogen, Inc.* | 208 | 57,830 | |
Bristol-Myers Squibb Co.(a) | 2,503 | 173,483 | |
Catalyst Pharmaceuticals, Inc.(a)* | 9,512 | 157,709 | |
Charles River Laboratories International, Inc.* | 21 | 4,238 | |
Collegium Pharmaceutical, Inc.* | 507 | 12,163 | |
Corcept Therapeutics, Inc.* | 331 | 7,169 | |
Dynavax Technologies Corp.* | 4,957 | 48,628 | |
FibroGen, Inc.* | 713 | 13,305 | |
Gilead Sciences, Inc. | 599 | 49,699 | |
Halozyme Therapeutics, Inc.* | 1,331 | 50,831 | |
Harmony Biosciences Holdings, Inc.* | 1,788 | 58,378 | |
Horizon Therapeutics PLC (Ireland)* | 336 | 36,671 | |
Illumina, Inc.(a)* | 741 | 172,320 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) | |||
Incyte Corp.* | 1,139 | $ 82,315 | |
IQVIA Holdings, Inc.(a)* | 423 | 84,130 | |
Ironwood Pharmaceuticals, Inc.* | 3,729 | 39,229 | |
Jazz Pharmaceuticals PLC (Ireland)* | 1,763 | 257,980 | |
Johnson & Johnson(a) | 1,930 | 299,150 | |
Ligand Pharmaceuticals, Inc.* | 107 | 7,871 | |
Maravai LifeSciences Holdings, Inc., Class A(a)* | 5,579 | 78,162 | |
Medpace Holdings, Inc.* | 569 | 107,000 | |
Merck & Co., Inc.(a) | 2,689 | 286,083 | |
Mettler-Toledo International, Inc.(a)* | 99 | 151,491 | |
Moderna, Inc.(a)* | 811 | 124,553 | |
Organon & Co. | 1,352 | 31,799 | |
PerkinElmer, Inc.(a) | 729 | 97,147 | |
Pfizer, Inc.(a) | 7,842 | 319,954 | |
Provention Bio, Inc.* | 4,772 | 115,005 | |
QIAGEN N. V. (Netherlands)* | 2,026 | 93,054 | |
Sarepta Therapeutics, Inc.(a)* | 295 | 40,660 | |
TG Therapeutics, Inc.(a)* | 7,633 | 114,800 | |
Theravance Biopharma, Inc. (Cayman Islands)* | 461 | 5,002 | |
United Therapeutics Corp.(a)* | 1,122 | 251,283 | |
Veracyte, Inc.* | 779 | 17,372 | |
Viatris, Inc.(a) | 18,513 | 178,095 | |
Vir Biotechnology, Inc.* | 662 | 15,405 | |
West Pharmaceutical Services, Inc. | 346 | 119,879 | |
Zoetis, Inc. | 404 | 67,242 | |
3,991,874 | |||
Semiconductors & Semiconductor Equipment — 6.2% | |||
Applied Materials, Inc.(a) | 1,198 | 147,150 | |
Axcelis Technologies, Inc.(a)* | 2,240 | 298,480 | |
Broadcom, Inc.(a) | 609 | 390,698 | |
Cirrus Logic, Inc.(a)* | 2,031 | 222,151 | |
Diodes, Inc.* | 972 | 90,163 | |
Enphase Energy, Inc.(a)* | 586 | 123,224 | |
First Solar, Inc.(a)* | 3,311 | 720,142 | |
GLOBALFOUNDRIES, Inc. (Cayman Islands)* | 1,264 | 91,236 | |
Impinj, Inc.* | 361 | 48,923 | |
indie Semiconductor, Inc., Class A* | 85 | 897 | |
KLA Corp. | 210 | 83,826 | |
Lam Research Corp.(a) | 459 | 243,325 | |
Lattice Semiconductor Corp.(a)* | 1,689 | 161,300 | |
MaxLinear, Inc.(a)* | 3,542 | 124,714 | |
Microchip Technology, Inc.(a) | 3,496 | 292,895 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Semiconductors & Semiconductor Equipment — (Continued) | |||
Monolithic Power Systems, Inc. | 129 | $ 64,570 | |
NXP Semiconductors N. V. (Netherlands) | 1,628 | 303,581 | |
ON Semiconductor Corp.(a)* | 2,678 | 220,453 | |
PDF Solutions, Inc.* | 128 | 5,427 | |
Photronics, Inc.* | 5,005 | 82,983 | |
Qorvo, Inc.* | 806 | 81,865 | |
Rambus, Inc.(a)* | 3,851 | 197,402 | |
Semtech Corp.(a)* | 1,988 | 47,990 | |
Silicon Laboratories, Inc.(a)* | 131 | 22,937 | |
Skyworks Solutions, Inc.(a) | 1,765 | 208,235 | |
Synaptics, Inc.(a)* | 389 | 43,237 | |
Veeco Instruments, Inc.* | 465 | 9,825 | |
4,327,629 | |||
Software & Services — 7.2% | |||
A10 Networks, Inc. | 750 | 11,617 | |
Accenture PLC, Class A (Ireland) | 466 | 133,187 | |
Adeia, Inc. | 457 | 4,049 | |
Adobe, Inc.(a)* | 805 | 310,223 | |
Akamai Technologies, Inc.(a)* | 669 | 52,383 | |
Alteryx, Inc., Class A* | 441 | 25,948 | |
ANSYS, Inc.(a)* | 317 | 105,498 | |
Asana, Inc., Class A(a)* | 10,113 | 213,688 | |
Box, Inc., Class A(a)* | 5,652 | 151,417 | |
Ceridian HCM Holding, Inc.(a)* | 873 | 63,921 | |
Cvent Holding Corp.* | 134 | 1,120 | |
Descartes Systems Group, Inc. (The) (Canada)* | 365 | 29,423 | |
DigitalOcean Holdings, Inc.* | 1,690 | 66,197 | |
Docebo, Inc. (Canada)* | 9 | 367 | |
Dropbox, Inc., Class A(a)* | 1,816 | 39,262 | |
DXC Technology Co.(a)* | 4,093 | 104,617 | |
Elastic N. V. (Netherlands)* | 30 | 1,737 | |
Enfusion, Inc., Class A* | 203 | 2,131 | |
Fair Isaac Corp.* | 9 | 6,324 | |
Fortinet, Inc.(a)* | 4,149 | 275,742 | |
Gartner, Inc.(a)* | 1,077 | 350,854 | |
Gen Digital, Inc. | 2,778 | 47,670 | |
Guidewire Software, Inc.* | 1,395 | 114,460 | |
HubSpot, Inc.* | 27 | 11,576 | |
Informatica, Inc., Class A* | 22 | 361 | |
Intapp, Inc.* | 112 | 5,022 | |
InterDigital, Inc. | 1,312 | 95,645 | |
International Business Machines Corp.(a) | 1,102 | 144,461 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Software & Services — (Continued) | |||
Manhattan Associates, Inc.(a)* | 102 | $ 15,795 | |
Microsoft Corp.(a) | 1,763 | 508,273 | |
MongoDB, Inc.(a)* | 317 | 73,899 | |
NCR Corp.(a)* | 2,541 | 59,942 | |
New Relic, Inc.(a)* | 2,844 | 214,125 | |
Nutanix, Inc., Class A(a)* | 3,742 | 97,255 | |
PagerDuty, Inc.* | 2,478 | 86,680 | |
Palantir Technologies, Inc., Class A* | 1,468 | 12,405 | |
Palo Alto Networks, Inc.(a)* | 838 | 167,382 | |
PowerSchool Holdings, Inc., Class A* | 938 | 18,591 | |
Qualys, Inc.(a)* | 725 | 94,264 | |
Roper Technologies, Inc. | 35 | 15,424 | |
Salesforce, Inc.(a)* | 1,474 | 294,476 | |
Samsara, Inc., Class A* | 1,711 | 33,741 | |
ServiceNow, Inc.(a)* | 797 | 370,382 | |
SolarWinds Corp.* | 48 | 413 | |
Splunk, Inc.(a)* | 3,836 | 367,796 | |
Sprinklr, Inc., Class A* | 83 | 1,076 | |
Squarespace, Inc., Class A* | 1,161 | 36,885 | |
Tenable Holdings, Inc.* | 98 | 4,656 | |
Varonis Systems, Inc.* | 1,465 | 38,105 | |
VeriSign, Inc.(a)* | 466 | 98,480 | |
Yext, Inc.* | 2,957 | 28,417 | |
Zeta Global Holdings Corp., Class A* | 478 | 5,177 | |
5,012,539 | |||
Technology Hardware & Equipment — 5.1% | |||
Amphenol Corp., Class A(a) | 3,137 | 256,356 | |
Apple, Inc.(a) | 3,247 | 535,430 | |
CDW Corp.(a) | 1,257 | 244,977 | |
Cisco Systems, Inc.(a) | 5,201 | 271,882 | |
Dell Technologies, Inc., Class C(a) | 286 | 11,500 | |
Digi International, Inc.* | 372 | 12,529 | |
Extreme Networks, Inc.* | 2,436 | 46,576 | |
F5, Inc.(a)* | 1,066 | 155,305 | |
Hewlett Packard Enterprise Co.(a) | 9,241 | 147,209 | |
HP, Inc.(a) | 5,345 | 156,876 | |
Infinera Corp.* | 3,305 | 25,647 | |
IonQ, Inc.* | 8,497 | 52,256 | |
IPG Photonics Corp.* | 558 | 68,807 | |
Keysight Technologies, Inc.* | 325 | 52,481 | |
Methode Electronics, Inc. | 86 | 3,774 | |
Mirion Technologies, Inc.* | 742 | 6,337 | |
Motorola Solutions, Inc.(a) | 1,192 | 341,067 | |
NetApp, Inc.(a) | 1,527 | 97,499 | |
NetScout Systems, Inc.* | 3,394 | 97,238 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Technology Hardware & Equipment — (Continued) | |||
Pure Storage, Inc., Class A* | 4,625 | $ 117,984 | |
Sanmina Corp.* | 1,203 | 73,371 | |
Seagate Technology Holdings PLC (Ireland) | 1,072 | 70,881 | |
Super Micro Computer, Inc.(a)* | 3,633 | 387,096 | |
TE Connectivity Ltd. (Switzerland) | 464 | 60,853 | |
Teledyne Technologies, Inc.(a)* | 316 | 141,366 | |
Vishay Intertechnology, Inc.(a) | 1,537 | 34,767 | |
Zebra Technologies Corp., Class A* | 232 | 73,776 | |
3,543,840 | |||
Telecommunication Services — 0.9% | |||
AT&T, Inc.(a) | 13,906 | 267,691 | |
EchoStar Corp., Class A* | 1,146 | 20,960 | |
Iridium Communications, Inc. | 540 | 33,442 | |
Lumen Technologies, Inc.(a) | 31,948 | 84,662 | |
TELUS Corp. (Canada) | 2,525 | 50,147 | |
United States Cellular Corp.* | ���340 | 7,048 | |
Verizon Communications, Inc.(a) | 4,225 | 164,310 | |
628,260 | |||
Transportation — 2.9% | |||
American Airlines Group, Inc.(a)* | 19,135 | 282,241 | |
ArcBest Corp.(a) | 584 | 53,973 | |
CH Robinson Worldwide, Inc.(a) | 2,637 | 262,039 | |
CSX Corp.(a) | 3,947 | 118,173 | |
Expeditors International of Washington, Inc.(a) | 2,085 | 229,600 | |
Forward Air Corp. | 454 | 48,923 | |
Hub Group, Inc., Class A* | 1,039 | 87,214 | |
Kirby Corp.* | 17 | 1,185 | |
Landstar System, Inc.(a) | 1,299 | 232,859 | |
Marten Transport Ltd. | 170 | 3,562 | |
Norfolk Southern Corp.(a) | 523 | 110,876 | |
Old Dominion Freight Line, Inc.(a) | 533 | 181,668 | |
RXO, Inc.* | 598 | 11,745 | |
Ryder System, Inc.(a) | 1,250 | 111,550 | |
Schneider National, Inc., Class B | 1,420 | 37,985 | |
TFI International, Inc. (Canada) | 232 | 27,675 | |
Uber Technologies, Inc.(a)* | 2,356 | 74,685 | |
Union Pacific Corp.(a) | 609 | 122,567 | |
XPO, Inc.(a)* | 1,835 | 58,536 | |
2,057,056 | |||
Utilities — 2.4% | |||
AES Corp. (The) | 113 | 2,721 | |
American Water Works Co., Inc. | 233 | 34,132 | |
Atmos Energy Corp. | 300 | 33,708 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Utilities — (Continued) | |||
Chesapeake Utilities Corp. | 28 | $ 3,584 | |
Constellation Energy Corp.(a) | 5,672 | 445,252 | |
Dominion Energy, Inc. | 1,060 | 59,265 | |
DTE Energy Co. | 126 | 13,802 | |
Entergy Corp.(a) | 2,236 | 240,907 | |
Evergy, Inc. | 25 | 1,528 | |
Exelon Corp.(a) | 6,017 | 252,052 | |
IDACORP, Inc. | 153 | 16,574 | |
Montauk Renewables, Inc.* | 122 | 960 | |
National Fuel Gas Co.(a) | 2,137 | 123,390 | |
Otter Tail Corp. | 818 | 59,117 | |
PNM Resources, Inc. | 533 | 25,946 | |
Public Service Enterprise Group, Inc.(a) | 5,233 | 326,801 | |
SJW Group | 243 | 18,500 | |
1,658,239 | |||
TOTAL COMMON STOCKS (Cost $61,270,867) | 66,543,274 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.3% | 2,972,994 | ||
NET ASSETS - 100.0% | $ 69,516,268 |
(a) | Security position is either entirely or partially designated as collateral for total return swaps. (See Note 1 of the Notes to Financial Statements) |
(b) | Security is fair valued by the Adviser in accordance with the policies established by the Board of Trustees. |
* | Non-income producing. |
PLC | Public Limited Company |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Long | ||||||||||||||||
Automobiles & Components | ||||||||||||||||
Adient PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/08/27 | 510 | $ 17,922 | $ 20,890 | $ 4,068 | ||||||||
BorgWarner, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,258 | 58,482 | 61,780 | 6,861 | ||||||||
Ford Motor Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,585 | 41,536 | 45,171 | 5,927 | ||||||||
General Motors Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,773 | 61,647 | 65,034 | 7,077 | ||||||||
Lear Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 80 | 11,135 | 11,159 | 717 | ||||||||
Magna International, Inc. (Canada) | USFF +0.250% | Weekly | MS | 07/08/27 | 69 | 3,362 | 3,696 | 561 | ||||||||
Modine Manufacturing Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 262 | 5,568 | 6,039 | 789 | ||||||||
Thor Industries, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2 | 136 | 159 | 34 | ||||||||
Visteon Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 328 | 50,662 | 51,440 | 3,666 | ||||||||
�� | 7,867 | 250,450 | 265,368 | 29,700 | ||||||||||||
Capital Goods | ||||||||||||||||
3M Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 468 | 53,299 | 49,191 | (249) | ||||||||
A. O. Smith Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 163 | 9,508 | 11,271 | 2,359 | ||||||||
Advanced Drainage Systems, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 407 | 36,256 | 34,273 | 66 | ||||||||
AGCO Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 195 | 25,933 | 26,364 | 1,888 | ||||||||
Allison Transmission Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 202 | 8,438 | 9,138 | 1,228 | ||||||||
AMETEK, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 246 | 34,751 | 35,751 | 3,057 | ||||||||
Applied Industrial Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 78 | 10,972 | 11,086 | 759 | ||||||||
Armstrong World Industries, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 138 | 9,518 | 9,831 | 856 | ||||||||
Array Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,405 | 28,033 | 30,741 | 4,306 | ||||||||
Atkore, Inc. | USFF +0.250% | Weekly | MS | 08/29/25 | 158 | 13,115 | 22,196 | 9,828 | ||||||||
Axon Enterprise, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 651 | 140,574 | 146,377 | 13,815 | ||||||||
Blue Bird Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 51 | 1,052 | 1,042 | 50 | ||||||||
BlueLinx Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 7 | 479 | 476 | 24 | ||||||||
Boeing Co. (The) | USFF +0.250% | Weekly | MS | 07/08/27 | 346 | 69,196 | 73,501 | 8,248 | ||||||||
Boise Cascade Co. | USFF +0.250% | Weekly | MS | 07/06/26 | 263 | 15,693 | 16,635 | 2,448 | ||||||||
Builders FirstSource, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 283 | 20,750 | 25,125 | 5,596 | ||||||||
Carlisle Cos., Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 238 | 56,078 | 53,805 | 993 | ||||||||
Carrier Global Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 768 | 30,094 | 35,136 | 6,958 | ||||||||
Caterpillar, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 218 | 50,645 | 49,887 | 2,245 | ||||||||
Chart Industries, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,035 | 128,650 | 129,789 | 8,471 | ||||||||
Comfort Systems USA, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 119 | 16,859 | 17,369 | 1,475 | ||||||||
Crane Holdings Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 369 | 41,004 | 41,882 | 3,386 | ||||||||
Curtiss-Wright Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 31 | 5,334 | 5,464 | 439 | ||||||||
Deere & Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 89 | 33,611 | 36,746 | 5,272 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
Donaldson Co., Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 305 | $18,157 | $ 19,929 | $ 2,920 | ||||||||
Dover Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 34 | 4,489 | 5,166 | 1,199 | ||||||||
Eaton Corp. PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/10/28 | 126 | 21,362 | 21,589 | 1,486 | ||||||||
EMCOR Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 224 | 32,870 | 36,420 | 5,471 | ||||||||
Encore Wire Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 543 | 63,815 | 100,634 | 40,735 | ||||||||
Enerpac Tool Group Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 403 | 10,124 | 10,277 | 729 | ||||||||
EnPro Industries, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 97 | 10,660 | 10,077 | 44 | ||||||||
Esab Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 21 | 1,219 | 1,240 | 92 | ||||||||
Fortive Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 513 | 30,566 | 34,971 | 6,221 | ||||||||
Fortune Brands Innovations, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,085 | 62,509 | 63,722 | 4,884 | ||||||||
General Dynamics Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 34 | 7,569 | 7,759 | 622 | ||||||||
General Electric Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 504 | 30,200 | 48,182 | 19,790 | ||||||||
GMS, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 82 | 4,537 | 4,747 | 469 | ||||||||
Griffon Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 531 | 19,150 | 16,997 | (1,040) | ||||||||
Hillman Solutions Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 561 | 4,628 | 4,724 | 360 | ||||||||
Honeywell International, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 160 | 31,810 | 30,579 | 703 | ||||||||
Howmet Aerospace, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 762 | 26,030 | 32,286 | 7,785 | ||||||||
Hubbell, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 182 | 36,010 | 44,282 | 10,849 | ||||||||
Huntington Ingalls Industries, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 8 | 1,655 | 1,656 | 95 | ||||||||
Illinois Tool Works, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 118 | 24,938 | 28,727 | 5,493 | ||||||||
Ingersoll Rand, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,316 | 74,204 | 76,565 | 6,430 | ||||||||
Janus International Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 62 | 630 | 611 | 18 | ||||||||
Kaman Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 28 | 629 | 640 | 50 | ||||||||
Lincoln Electric Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 28 | 3,443 | 4,735 | 1,530 | ||||||||
Lockheed Martin Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 112 | 47,339 | 52,946 | 9,027 | ||||||||
Manitowoc Co., Inc. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 6 | 102 | 103 | 7 | ||||||||
Masco Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 270 | 13,186 | 13,424 | 1,031 | ||||||||
Mueller Industries, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 902 | 52,158 | 66,279 | 17,943 | ||||||||
Nordson Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 57 | 12,103 | 12,669 | 1,431 | ||||||||
nVent Electric PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/08/27 | 957 | 39,972 | 41,094 | 3,436 | ||||||||
Otis Worldwide Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 283 | 20,917 | 23,885 | 4,238 | ||||||||
Owens Corning | USFF +0.250% | Weekly | MS | 01/10/28 | 432 | 42,423 | 41,386 | 1,532 | ||||||||
PACCAR, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 231 | 15,765 | 16,909 | 2,442 | ||||||||
Quanta Services, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 193 | 28,427 | 32,162 | 5,391 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
RBC Bearings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 125 | $ 28,860 | $ 29,091 | $ 1,846 | ||||||||
Regal Rexnord Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 128 | 17,762 | 18,013 | 1,301 | ||||||||
Rocket Lab USA, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,374 | 5,753 | 5,551 | 92 | ||||||||
Shoals Technologies Group, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 1,552 | 34,049 | 35,370 | 3,054 | ||||||||
Simpson Manufacturing Co., Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 95 | 9,117 | 10,416 | 1,833 | ||||||||
Snap-on, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 49 | 11,847 | 12,098 | 939 | ||||||||
Sterling Infrastructure, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 124 | 4,828 | 4,697 | 145 | ||||||||
Terex Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 851 | 45,903 | 41,171 | (2,043) | ||||||||
Textron, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,157 | 72,860 | 81,719 | 13,091 | ||||||||
Thermon Group Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 79 | 2,040 | 1,969 | 45 | ||||||||
Titan International, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 10 | 105 | 105 | 6 | ||||||||
Toro Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 16 | 1,760 | 1,779 | 119 | ||||||||
Trane Technologies PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/10/28 | 96 | 17,451 | 17,662 | 1,206 | ||||||||
TransDigm Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 35 | 25,460 | 25,797 | 1,788 | ||||||||
UFP Industries, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 308 | 23,599 | 24,477 | 2,384 | ||||||||
Univar Solutions, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 168 | 5,687 | 5,885 | 522 | ||||||||
Valmont Industries, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 104 | 33,738 | 33,205 | 1,418 | ||||||||
Veritiv Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 332 | 39,038 | 44,866 | 8,398 | ||||||||
Wabash National Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 585 | 12,300 | 14,385 | 2,841 | ||||||||
Watsco, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 24 | 7,299 | 7,636 | 772 | ||||||||
Watts Water Technologies, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 136 | 23,117 | 22,892 | 1,105 | ||||||||
Westinghouse Air Brake Technologies Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 160 | 13,466 | 16,170 | 3,550 | ||||||||
WillScot Mobile Mini Holdings Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,327 | 61,051 | 62,210 | 4,639 | ||||||||
WW Grainger, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 128 | 63,850 | 88,168 | 28,482 | ||||||||
Xylem, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 517 | 53,597 | 54,130 | 3,742 | ||||||||
28,578 | 2,247,975 | 2,439,910 | 328,206 | |||||||||||||
Commercial & Professional Services | ||||||||||||||||
ACV Auctions, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 651 | 7,042 | 8,404 | 1,764 | ||||||||
Automatic Data Processing, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 194 | 42,730 | 43,190 | 3,216 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Commercial & Professional Services — (continued) | ||||||||||||||||
Booz Allen Hamilton Holding Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 69 | $ 6,509 | $ 6,396 | $ 266 | ||||||||
Brady Corp., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 11 | 581 | 591 | 43 | ||||||||
Broadridge Financial Solutions, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 209 | 29,866 | 30,633 | 2,723 | ||||||||
CACI International, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 52 | 15,031 | 15,407 | 1,233 | ||||||||
CBIZ, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 168 | 7,989 | 8,314 | 782 | ||||||||
Cintas Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 55 | 24,011 | 25,447 | 2,989 | ||||||||
Clarivate PLC (Jersey) | USFF +0.250% | Weekly | MS | 01/10/28 | 1,833 | 17,044 | 17,212 | 1,139 | ||||||||
Clean Harbors, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 408 | 55,146 | 58,164 | 6,161 | ||||||||
Concentrix Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 73 | 8,791 | 8,873 | 584 | ||||||||
Copart, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 314 | 16,645 | 23,616 | 7,919 | ||||||||
Heidrick & Struggles International, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 3 | 90 | 91 | 7 | ||||||||
HireRight Holdings Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 4 | 42 | 42 | 3 | ||||||||
Insperity, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 150 | 17,284 | 18,233 | 2,000 | ||||||||
Korn Ferry | USFF +0.250% | Weekly | MS | 01/07/27 | 185 | 10,690 | 9,572 | (418) | ||||||||
Leidos Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 386 | 38,331 | 35,535 | (498) | ||||||||
Paychex, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 332 | 37,383 | 38,044 | 3,273 | ||||||||
Republic Services, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 166 | 21,518 | 22,447 | 2,237 | ||||||||
Ritchie Bros Auctioneers, Inc. (Canada) | USFF +0.250% | Weekly | MS | 01/05/26 | 234 | 12,505 | 13,159 | 1,388 | ||||||||
Robert Half International, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 286 | 21,843 | 23,043 | 2,818 | ||||||||
Rollins, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,865 | 69,089 | 69,993 | 5,030 | ||||||||
Science Applications International Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 224 | 23,343 | 24,071 | 2,073 | ||||||||
Tetra Tech, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 124 | 16,305 | 18,217 | 2,994 | ||||||||
Thomson Reuters Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/08/27 | 359 | 39,546 | 46,713 | 9,664 | ||||||||
TransUnion | USFF +0.250% | Weekly | MS | 01/10/28 | 229 | 13,388 | 14,230 | 1,618 | ||||||||
TriNet Group, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 124 | 9,099 | 9,996 | 1,416 | ||||||||
Verisk Analytics, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 189 | 32,291 | 36,262 | 5,940 | ||||||||
Verra Mobility Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 70 | 958 | 1,184 | 281 | ||||||||
Waste Management, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 34 | 5,190 | 5,548 | 857 | ||||||||
9,001 | 600,280 | 632,627 | 69,502 | |||||||||||||
Consumer Discretionary Distribution & Retail | ||||||||||||||||
Amazon.com, Inc. | USFF +0.250% | Weekly | MS | 08/29/25 | 1,591 | 156,157 | 164,334 | 17,077 | ||||||||
Arhaus, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 512 | 4,467 | 4,244 | 32 | ||||||||
AutoNation, Inc. | USFF +0.250% | Weekly | MS | 08/29/25 | 147 | 14,556 | 19,751 | 6,024 | ||||||||
AutoZone, Inc. | USFF +0.250% | Weekly | MS | 08/29/25 | 2 | 3,574 | 4,916 | 1,546 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Discretionary Distribution & Retail — (continued) | ||||||||||||||||
Bath & Body Works, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,241 | $ 33,547 | $ 45,396 | $ 14,506 | ||||||||
Best Buy Co., Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 7 | 460 | 548 | 122 | ||||||||
Buckle, Inc. (The) | USFF +0.250% | Weekly | MS | 08/29/25 | 944 | 31,237 | 33,691 | 7,440 | ||||||||
Burlington Stores, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 203 | 42,475 | 41,026 | 972 | ||||||||
CarMax, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 368 | 24,032 | 23,655 | 945 | ||||||||
Chico's FAS, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 252 | 1,380 | 1,386 | 85 | ||||||||
eBay, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 86 | 3,166 | 3,816 | 2,282 | ||||||||
Etsy, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 218 | 20,641 | 24,270 | 5,461 | ||||||||
Genuine Parts Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 152 | 24,839 | 25,431 | 2,163 | ||||||||
Group 1 Automotive, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 51 | 9,277 | 11,547 | 2,886 | ||||||||
Home Depot, Inc. (The) | USFF +0.250% | Weekly | MS | 01/07/27 | 32 | 9,003 | 9,444 | 1,030 | ||||||||
LKQ Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 744 | 37,836 | 42,229 | 7,258 | ||||||||
Lowe's Cos., Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 220 | 38,909 | 43,993 | 7,849 | ||||||||
Monro, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 4 | 197 | 198 | 12 | ||||||||
Murphy USA, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 67 | 15,228 | 17,289 | 3,089 | ||||||||
Nordstrom, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 12 | 191 | 195 | 15 | ||||||||
ODP Corp. (The) | USFF +0.250% | Weekly | MS | 01/07/27 | 589 | 21,877 | 26,493 | 5,863 | ||||||||
O'Reilly Automotive, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 12 | 9,848 | 10,188 | 901 | ||||||||
Overstock.com, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 555 | 10,593 | 11,250 | 1,247 | ||||||||
Ross Stores, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 380 | 29,097 | 40,329 | 13,238 | ||||||||
TJX Cos., Inc. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 24 | 1,844 | 1,881 | 142 | ||||||||
Ulta Beauty, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 64 | 26,751 | 34,923 | 10,711 | ||||||||
Urban Outfitters, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,570 | 38,694 | 43,520 | 7,069 | ||||||||
Warby Parker, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 776 | 11,502 | 8,218 | (2,917) | ||||||||
10,823 | 621,378 | 694,161 | 117,048 | |||||||||||||
Consumer Durables & Apparel | ||||||||||||||||
Capri Holdings Ltd. (British Virgin Islands) | USFF +0.250% | Weekly | MS | 01/10/28 | 503 | 24,940 | 23,641 | (545) | ||||||||
Cavco Industries, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 98 | 21,521 | 31,139 | 10,950 | ||||||||
Cricut, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 19 | 186 | 194 | 19 | ||||||||
Crocs, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 71 | 9,081 | 8,977 | 414 | ||||||||
DR Horton, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 260 | 20,519 | 25,399 | 6,158 | ||||||||
GoPro, Inc., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 1,464 | 9,025 | 7,364 | (1,165) | ||||||||
Hasbro, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,628 | 83,853 | 87,407 | 7,813 | ||||||||
Installed Building Products, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 18 | 1,991 | 2,053 | 175 | ||||||||
Kontoor Brands, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 137 | 5,091 | 6,629 | 1,929 | ||||||||
Leggett & Platt, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 430 | 14,082 | 13,708 | 698 | ||||||||
Malibu Boats, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 94 | 4,887 | 5,306 | 698 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Durables & Apparel — (continued) | ||||||||||||||||
Mohawk Industries, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 62 | $ 6,069 | $ 6,214 | $ 491 | ||||||||
NIKE, Inc., Class B | USFF +0.250% | Weekly | MS | 07/08/27 | 343 | 39,163 | 42,066 | 5,199 | ||||||||
Peloton Interactive, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 1,736 | 26,764 | 19,686 | (5,552) | ||||||||
Polaris, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 489 | 55,211 | 54,098 | 2,228 | ||||||||
PulteGroup, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 308 | 17,150 | 17,950 | 1,818 | ||||||||
Skyline Champion Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 228 | 11,523 | 17,152 | 6,286 | ||||||||
Sonos, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 147 | 2,812 | 2,884 | 232 | ||||||||
Steven Madden Ltd. | USFF +0.250% | Weekly | MS | 08/29/25 | 965 | 31,815 | 34,740 | 5,648 | ||||||||
Tapestry, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,458 | 83,168 | 105,964 | 28,830 | ||||||||
Under Armour, Inc., Class C | USFF +0.250% | Weekly | MS | 07/08/27 | 1,524 | 10,245 | 13,000 | 3,411 | ||||||||
Vista Outdoor, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 546 | 15,116 | 15,130 | 864 | ||||||||
Whirlpool Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 60 | 7,930 | 7,921 | 533 | ||||||||
13,588 | 502,142 | 548,622 | 77,132 | |||||||||||||
Consumer Services | ||||||||||||||||
ADT, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 699 | 5,033 | 5,054 | 316 | ||||||||
Adtalem Global Education, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 757 | 28,388 | 29,235 | 2,458 | ||||||||
Bloomin' Brands, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 589 | 9,777 | 15,108 | 6,194 | ||||||||
Booking Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2 | 4,559 | 5,305 | 1,834 | ||||||||
Bright Horizons Family Solutions, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 161 | 9,605 | 12,395 | 3,497 | ||||||||
Caesars Entertainment, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,547 | 167,331 | 173,129 | 14,999 | ||||||||
Darden Restaurants, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 202 | 31,175 | 31,342 | 1,944 | ||||||||
Denny's Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 364 | 4,236 | 4,062 | 68 | ||||||||
Dine Brands Global, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 57 | 3,765 | 3,855 | 345 | ||||||||
Expedia Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 183 | 17,835 | 17,756 | 938 | ||||||||
Graham Holdings Co., Class B | USFF +0.250% | Weekly | MS | 01/07/27 | 2 | 1,083 | 1,192 | 181 | ||||||||
Grand Canyon Education, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 87 | 9,854 | 9,909 | 598 | ||||||||
Hilton Worldwide Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 147 | 19,218 | 20,708 | 2,581 | ||||||||
International Game Technology PLC (United Kingdom) | USFF +0.250% | Weekly | MS | 07/08/27 | 117 | 2,608 | 3,136 | 919 | ||||||||
Marriott International, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 210 | 35,856 | 34,868 | 1,057 | ||||||||
McDonald's Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 169 | 40,560 | 47,254 | 9,768 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Services — (continued) | ||||||||||||||||
MGM Resorts International | USFF +0.250% | Weekly | MS | 01/07/27 | 483 | $ 13,911 | $ 21,455 | $ 8,536 | ||||||||
Monarch Casino & Resort, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 33 | 2,473 | 2,447 | 185 | ||||||||
Papa John's International, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 82 | 5,692 | 6,144 | 981 | ||||||||
Penn Entertainment, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 212 | 6,468 | 6,288 | (55) | ||||||||
Restaurant Brands International, Inc. (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 78 | 5,107 | 5,237 | 460 | ||||||||
Rover Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 19 | 83 | 86 | 8 | ||||||||
Six Flags Entertainment Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 145 | 3,674 | 3,873 | 409 | ||||||||
Starbucks Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 499 | 51,103 | 51,961 | 3,674 | ||||||||
Wendy's Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 794 | 16,739 | 17,293 | 1,509 | ||||||||
Wingstop, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 109 | 14,682 | 20,010 | 6,645 | ||||||||
Wyndham Hotels & Resorts, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 117 | 8,153 | 7,938 | 278 | ||||||||
Yum! Brands, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 474 | 59,577 | 62,606 | 6,733 | ||||||||
10,338 | 578,545 | 619,646 | 77,060 | |||||||||||||
Consumer Staples Distribution & Retail | ||||||||||||||||
Casey's General Stores, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 289 | 66,128 | 62,557 | 281 | ||||||||
Costco Wholesale Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 61 | 28,332 | 30,309 | 3,657 | ||||||||
Dollar Tree, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 275 | 38,200 | 39,476 | 3,542 | ||||||||
PriceSmart, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 66 | 4,506 | 4,718 | 491 | ||||||||
Sprouts Farmers Market, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 483 | 14,277 | 16,919 | 3,541 | ||||||||
US Foods Holding Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,144 | 74,104 | 79,199 | 9,319 | ||||||||
Walgreens Boots Alliance, Inc. | USFF +0.250% | Weekly | MS | 08/29/25 | 784 | 28,948 | 27,111 | 1,278 | ||||||||
Walmart, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 548 | 70,356 | 80,803 | 15,174 | ||||||||
4,650 | 324,851 | 341,092 | 37,283 | |||||||||||||
Energy | ||||||||||||||||
Antero Resources Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,477 | 125,063 | 103,374 | (14,562) | ||||||||
APA Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,749 | 107,755 | 99,129 | (2,873) | ||||||||
Arch Resources, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 348 | 48,742 | 45,748 | 1,548 | ||||||||
Baker Hughes Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 96 | 2,147 | 2,771 | 1,200 | ||||||||
Canadian Natural Resources Ltd. (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 194 | 9,841 | 10,738 | 1,726 | ||||||||
Cheniere Energy, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 510 | 71,218 | 80,376 | 15,466 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Energy — (continued) | ||||||||||||||||
Chevron Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 352 | $55,491 | $57,432 | $ 5,858 | ||||||||
CNX Resources Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 219 | 3,421 | 3,508 | 283 | ||||||||
Comstock Resources, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 1,352 | 13,941 | 14,588 | 1,197 | ||||||||
ConocoPhillips | USFF +0.250% | Weekly | MS | 07/08/27 | 358 | 37,710 | 35,517 | 223 | ||||||||
CONSOL Energy, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 854 | 49,083 | 49,763 | 3,589 | ||||||||
Coterra Energy, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,768 | 41,936 | 43,387 | 3,862 | ||||||||
Crescent Point Energy Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/08/27 | 5,918 | 39,511 | 41,781 | 4,810 | ||||||||
CVR Energy, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 287 | 8,623 | 9,408 | 1,969 | ||||||||
Denbury, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 129 | 8,199 | 11,304 | 3,573 | ||||||||
DHT Holdings, Inc. (Marshall Islands) | USFF +0.250% | Weekly | MS | 07/08/27 | 6,237 | 57,224 | 67,422 | 15,413 | ||||||||
Dorian LPG Ltd. (Marshall Islands) | USFF +0.250% | Weekly | MS | 01/10/28 | 502 | 10,822 | 10,010 | (97) | ||||||||
Dril-Quip, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 42 | 863 | 1,205 | 391 | ||||||||
Enbridge, Inc. (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 1,343 | 51,196 | 51,235 | 2,860 | ||||||||
Enerplus Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/08/27 | 1,733 | 28,531 | 24,973 | (1,936) | ||||||||
EOG Resources, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 187 | 21,833 | 21,436 | 1,147 | ||||||||
EQT Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 748 | 24,026 | 23,869 | 1,289 | ||||||||
Equitrans Midstream Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,275 | 21,547 | 18,930 | (1,127) | ||||||||
Expro Group Holdings N. V. (Netherlands) | USFF +0.250% | Weekly | MS | 01/10/28 | 22 | 399 | 404 | 28 | ||||||||
Exxon Mobil Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 633 | 60,054 | 69,415 | 15,115 | ||||||||
FLEX LNG Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 01/07/27 | 502 | 14,985 | 16,857 | 3,652 | ||||||||
Gulfport Energy Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 46 | 3,532 | 3,680 | 350 | ||||||||
Helmerich & Payne, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 549 | 18,888 | 19,627 | 2,185 | ||||||||
Hess Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 234 | 31,978 | 30,968 | 526 | ||||||||
HF Sinclair Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 840 | 41,925 | 40,639 | 1,201 | ||||||||
Imperial Oil Ltd. (Canada) | USFF +0.250% | Weekly | MS | 01/05/26 | 294 | 11,405 | 14,938 | 4,623 | ||||||||
Kinder Morgan, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,114 | 37,115 | 37,016 | 2,822 | ||||||||
Kosmos Energy Ltd. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,734 | 34,090 | 35,221 | 2,901 | ||||||||
Marathon Petroleum Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 29 | 3,130 | 3,910 | 7,203 | ||||||||
Murphy Oil Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 1,092 | 40,403 | 40,382 | 2,580 | ||||||||
Nabors Industries Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 07/08/27 | 215 | 31,558 | 26,211 | (3,549) | ||||||||
NexTier Oilfield Solutions, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,491 | 22,983 | 19,803 | (1,905) |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Energy — (continued) | ||||||||||||||||
Nordic American Tankers Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 07/08/27 | 1,163 | $ 3,885 | $ 4,605 | $ 1,080 | ||||||||
Occidental Petroleum Corp. | USFF +0.250% | Weekly | MS | 08/29/25 | 746 | 40,646 | 46,573 | 8,596 | ||||||||
Pembina Pipeline Corp. (Canada) | USFF +0.250% | Weekly | MS | 01/07/27 | 889 | 30,165 | 28,804 | 756 | ||||||||
Phillips 66 | USFF +0.250% | Weekly | MS | 07/06/26 | 86 | 8,597 | 8,719 | 621 | ||||||||
Range Resources Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,836 | 72,882 | 75,069 | 6,533 | ||||||||
RPC, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 506 | 4,689 | 3,891 | (521) | ||||||||
Southwestern Energy Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 17,016 | 88,877 | 85,080 | 1,269 | ||||||||
Talos Energy, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 268 | 4,016 | 3,977 | 156 | ||||||||
TechnipFMC PLC (United Kingdom) | USFF +0.250% | Weekly | MS | 07/08/27 | 1,890 | 14,833 | 25,799 | 11,811 | ||||||||
US Silica Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,996 | 26,286 | 23,832 | (1,053) | ||||||||
Valaris Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 01/07/27 | 158 | 6,919 | 10,279 | 3,755 | ||||||||
Valero Energy Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 52 | 6,134 | 7,259 | 1,732 | ||||||||
W&T Offshore, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,043 | 6,182 | 5,298 | (541) | ||||||||
Weatherford International PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/07/27 | 556 | 18,240 | 32,999 | 15,741 | ||||||||
76,678 | 1,523,519 | 1,549,159 | 133,476 | |||||||||||||
Financial Services | ||||||||||||||||
Affiliated Managers Group, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 94 | 11,083 | 13,387 | 2,976 | ||||||||
Berkshire Hathaway, Inc., Class B | USFF +0.250% | Weekly | MS | 08/29/25 | 244 | 67,560 | 75,340 | 11,629 | ||||||||
BlackRock, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 37 | 26,453 | 24,757 | (5) | ||||||||
Cboe Global Markets, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 215 | 26,536 | 28,862 | 4,019 | ||||||||
CME Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 187 | 33,517 | 35,814 | 4,583 | ||||||||
FactSet Research Systems, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 18 | 7,182 | 7,472 | 725 | ||||||||
Federated Hermes, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 223 | 8,113 | 8,951 | 1,370 | ||||||||
Franklin Resources, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,109 | 49,997 | 56,816 | 11,138 | ||||||||
Intercontinental Exchange, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 612 | 58,870 | 63,825 | 8,869 | ||||||||
Janus Henderson Group PLC (Jersey) | USFF +0.250% | Weekly | MS | 01/10/28 | 523 | 14,414 | 13,933 | 271 | ||||||||
MarketAxess Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 31 | 8,823 | 12,130 | 3,827 | ||||||||
Nasdaq, Inc. | USFF +0.250% | Weekly | MS | 08/29/25 | 825 | 45,563 | 45,103 | 2,696 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Financial Services — (continued) | ||||||||||||||||
Open Lending Corp., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 941 | $ 7,791 | $ 6,625 | $ (783) | ||||||||
T Rowe Price Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 353 | 35,801 | 39,854 | 7,331 | ||||||||
6,412 | 401,703 | 432,869 | 58,646 | |||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||
Altria Group, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 1,020 | 44,872 | 45,512 | 5,473 | ||||||||
Archer-Daniels-Midland Co. | USFF +0.250% | Weekly | MS | 01/05/26 | 135 | 9,799 | 10,754 | 2,128 | ||||||||
Bunge Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 07/08/27 | 192 | 18,260 | 18,340 | 1,209 | ||||||||
Cal-Maine Foods, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 844 | 47,251 | 51,391 | 8,086 | ||||||||
Campbell Soup Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 932 | 48,752 | 51,241 | 5,272 | ||||||||
Celsius Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 839 | 73,478 | 77,977 | 8,663 | ||||||||
Coca-Cola Co. (The) | USFF +0.250% | Weekly | MS | 08/29/25 | 893 | 49,955 | 55,393 | 9,540 | ||||||||
Coca-Cola Consolidated, Inc. | USFF +0.250% | Weekly | MS | 08/29/25 | 28 | 10,419 | 14,982 | 5,272 | ||||||||
Constellation Brands, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 98 | 21,150 | 22,137 | 2,193 | ||||||||
Dole PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/10/28 | 87 | 1,015 | 1,021 | 71 | ||||||||
Duckhorn Portfolio, Inc. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 123 | 1,916 | 1,956 | 149 | ||||||||
General Mills, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 341 | 24,667 | 29,142 | 6,272 | ||||||||
J M Smucker Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 68 | 10,309 | 10,701 | 980 | ||||||||
John B Sanfilippo & Son, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1 | 97 | 97 | 6 | ||||||||
Kellogg Co. | USFF +0.250% | Weekly | MS | 01/05/26 | 700 | 47,574 | 46,872 | 2,808 | ||||||||
Keurig Dr Pepper, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,625 | 57,773 | 57,330 | 3,420 | ||||||||
Kraft Heinz Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 708 | 27,349 | 27,378 | 1,745 | ||||||||
Lamb Weston Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 337 | 27,359 | 35,223 | 9,604 | ||||||||
Lancaster Colony Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 37 | 7,000 | 7,507 | 952 | ||||||||
MGP Ingredients, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 98 | 10,004 | 9,479 | 55 | ||||||||
Molson Coors Beverage Co., Class B | USFF +0.250% | Weekly | MS | 08/29/25 | 283 | 14,637 | 14,625 | 883 | ||||||||
PepsiCo, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 224 | 37,037 | 40,835 | 6,812 | ||||||||
Philip Morris International, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 244 | 23,213 | 23,729 | 2,050 | ||||||||
Pilgrim's Pride Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,101 | 26,888 | 25,521 | 69 | ||||||||
Primo Water Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/08/27 | 528 | 7,079 | 8,105 | 1,494 | ||||||||
TreeHouse Foods, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 416 | 17,315 | 20,979 | 4,650 | ||||||||
Vector Group Ltd. | USFF +0.250% | Weekly | MS | 01/10/28 | 6 | 71 | 72 | 5 | ||||||||
11,908 | 665,239 | 708,299 | 89,861 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Health Care Equipment & Services | ||||||||||||||||
Abbott Laboratories | USFF +0.250% | Weekly | MS | 01/10/28 | 528 | $ 53,124 | $ 53,465 | $ 3,476 | ||||||||
Addus HomeCare Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 78 | 8,040 | 8,327 | 745 | ||||||||
Align Technology, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 12 | 3,677 | 4,010 | 543 | ||||||||
Amedisys, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 105 | 7,632 | 7,723 | 526 | ||||||||
AMN Healthcare Services, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 5 | 413 | 415 | 25 | ||||||||
Avanos Medical, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 246 | 6,722 | 7,316 | 974 | ||||||||
Axonics, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 716 | 45,608 | 39,065 | (3,943) | ||||||||
Cardinal Health, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 414 | 27,611 | 31,257 | 5,799 | ||||||||
Centene Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 876 | 64,147 | 55,372 | (5,119) | ||||||||
Chemed Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 17 | 8,396 | 9,142 | 1,268 | ||||||||
Cigna Group (The) | USFF +0.250% | Weekly | MS | 01/07/27 | 110 | 31,429 | 28,108 | (1,292) | ||||||||
Community Health Systems, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 48 | 234 | 235 | 15 | ||||||||
Cooper Cos., Inc. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 41 | 13,974 | 15,308 | 2,131 | ||||||||
Cross Country Healthcare, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 730 | 21,210 | 16,294 | (3,770) | ||||||||
CVS Health Corp. | USFF +0.250% | Weekly | MS | 08/29/25 | 1,407 | 111,367 | 104,554 | (797) | ||||||||
DaVita, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 67 | 4,900 | 5,434 | 814 | ||||||||
DENTSPLY SIRONA, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 273 | 8,172 | 10,723 | 3,093 | ||||||||
Dexcom, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 554 | 53,222 | 64,364 | 14,214 | ||||||||
Edwards Lifesciences Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 574 | 40,649 | 47,487 | 9,312 | ||||||||
Elevance Health, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 47 | 21,826 | 21,611 | 1,108 | ||||||||
Enovis Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 798 | 40,563 | 42,685 | 4,412 | ||||||||
Ensign Group, Inc. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 89 | 8,060 | 8,503 | 912 | ||||||||
Fulgent Genetics, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 572 | 29,652 | 17,858 | (10,104) | ||||||||
GE HealthCare Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 552 | 35,613 | 45,281 | 11,697 | ||||||||
HCA Healthcare, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 171 | 34,325 | 45,089 | 12,949 | ||||||||
Hims & Hers Health, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,749 | 14,588 | 17,350 | 3,594 | ||||||||
Hologic, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 269 | 21,270 | 21,708 | 1,651 | ||||||||
Humana, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 100 | 51,206 | 48,546 | 338 | ||||||||
Inspire Medical Systems, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 137 | 29,434 | 32,068 | 4,299 | ||||||||
Insulet Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 123 | 35,231 | 39,232 | 6,433 | ||||||||
Integra LifeSciences Holdings Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 266 | 14,575 | 15,271 | 1,523 | ||||||||
iRhythm Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 241 | 28,380 | 29,891 | 3,129 | ||||||||
Lantheus Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,187 | 63,883 | 97,999 | 37,981 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Health Care Equipment & Services — (continued) | ||||||||||||||||
LivaNova PLC (United Kingdom) | USFF +0.250% | Weekly | MS | 07/08/27 | 114 | $ 6,424 | $ 4,968 | $ (1,144) | ||||||||
McKesson Corp. | USFF +0.250% | Weekly | MS | 08/29/25 | 27 | 8,486 | 9,613 | 2,051 | ||||||||
Medtronic PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/10/28 | 498 | 39,313 | 40,149 | 3,345 | ||||||||
Molina Healthcare, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 201 | 55,636 | 53,765 | 1,236 | ||||||||
NextGen Healthcare, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 285 | 5,407 | 4,962 | (137) | ||||||||
Option Care Health, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 158 | 4,172 | 5,020 | 1,086 | ||||||||
Shockwave Medical, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 276 | 52,763 | 59,845 | 10,148 | ||||||||
Stryker Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 20 | 5,526 | 5,709 | 568 | ||||||||
TransMedics Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 721 | 47,907 | 54,601 | 9,425 | ||||||||
UFP Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 24 | 2,949 | 3,116 | 335 | ||||||||
UnitedHealth Group, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 101 | 47,737 | 47,732 | 3,278 | ||||||||
Universal Health Services, Inc., Class B | USFF +0.250% | Weekly | MS | 01/10/28 | 55 | 6,595 | 6,991 | 585 | ||||||||
Veradigm, Inc. | USFF +0.250% | Weekly | MS | 08/29/25 | 3,508 | 53,877 | 45,779 | (5,027) | ||||||||
Zimmer Biomet Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 777 | 95,127 | 100,388 | 10,921 | ||||||||
19,867 | 1,371,052 | 1,434,329 | 144,606 | |||||||||||||
Household & Personal Products | ||||||||||||||||
Church & Dwight Co., Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 126 | 10,712 | 11,140 | 1,039 | ||||||||
elf Beauty, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,528 | 75,373 | 125,831 | 55,295 | ||||||||
Kimberly-Clark Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 489 | 62,488 | 65,634 | 7,677 | ||||||||
Procter & Gamble Co. (The) | USFF +0.250% | Weekly | MS | 07/08/27 | 386 | 51,049 | 57,394 | 9,567 | ||||||||
Spectrum Brands Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 208 | 12,934 | 13,774 | 1,632 | ||||||||
2,737 | 212,556 | 273,773 | 75,210 | |||||||||||||
Materials | ||||||||||||||||
Alamos Gold, Inc., Class A (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 2,151 | 22,049 | 26,307 | 5,707 | ||||||||
Albemarle Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 599 | 132,970 | 132,403 | 5,408 | ||||||||
Alpha Metallurgical Resources, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 292 | 37,078 | 45,552 | 12,162 | ||||||||
American Vanguard Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 2 | 44 | 44 | 2 | ||||||||
ATI, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,453 | 55,282 | 57,335 | 5,204 | ||||||||
Avery Dennison Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 23 | 4,092 | 4,115 | 245 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Materials — (continued) | ||||||||||||||||
Avient Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 340 | $ 13,554 | $ 13,994 | $ 1,236 | ||||||||
Ball Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 358 | 18,137 | 19,729 | 2,731 | ||||||||
CF Industries Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 329 | 23,182 | 23,849 | 2,562 | ||||||||
Commercial Metals Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 511 | 24,942 | 24,988 | 1,460 | ||||||||
Dow, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 534 | 30,100 | 29,274 | 1,153 | ||||||||
DuPont de Nemours, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 3,026 | 218,995 | 217,176 | 11,599 | ||||||||
Eagle Materials, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 27 | 3,096 | 3,962 | 1,102 | ||||||||
Eastman Chemical Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 69 | 5,038 | 5,819 | 1,160 | ||||||||
Ecolab, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 372 | 59,142 | 61,577 | 6,151 | ||||||||
FMC Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 166 | 21,129 | 20,274 | 423 | ||||||||
Franco-Nevada Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/08/27 | 423 | 52,004 | 61,673 | 13,404 | ||||||||
Freeport-McMoRan, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 358 | 14,084 | 14,646 | 671 | ||||||||
Graphic Packaging Holding Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,223 | 52,156 | 56,664 | 7,752 | ||||||||
Greif, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 204 | 13,515 | 12,927 | 315 | ||||||||
Hudbay Minerals, Inc. (Canada) | USFF +0.250% | Weekly | MS | 07/08/27 | 2,688 | 12,809 | 14,112 | 2,023 | ||||||||
Innospec, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 15 | 1,519 | 1,540 | 111 | ||||||||
International Paper Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 717 | 23,840 | 25,855 | 3,978 | ||||||||
Linde PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/05/26 | 160 | 51,147 | 56,870 | 8,879 | ||||||||
Livent Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,152 | 24,768 | 25,021 | 1,629 | ||||||||
LSB Industries, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 369 | 4,491 | 3,812 | (423) | ||||||||
Martin Marietta Materials, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 106 | 36,700 | 37,636 | 3,077 | ||||||||
Mosaic Co. (The) | USFF +0.250% | Weekly | MS | 01/07/27 | 1,265 | 58,008 | 58,038 | 3,827 | ||||||||
NewMarket Corp. | USFF +0.250% | Weekly | MS | 08/29/25 | 28 | 9,749 | 10,219 | 1,090 | ||||||||
Newmont Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 864 | 37,558 | 42,353 | 7,502 | ||||||||
Nucor Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 259 | 30,531 | 40,008 | 11,800 | ||||||||
Nutrien Ltd. (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 124 | 9,217 | 9,157 | 494 | ||||||||
Olin Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 907 | 41,433 | 50,339 | 11,819 | ||||||||
Packaging Corp. of America | USFF +0.250% | Weekly | MS | 01/07/27 | 284 | 37,037 | 39,428 | 4,876 | ||||||||
Pactiv Evergreen, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 20 | 168 | 160 | 2 | ||||||||
Perimeter Solutions SA (Luxembourg) | USFF +0.250% | Weekly | MS | 07/08/27 | 1,043 | 9,645 | 8,427 | (689) | ||||||||
Reliance Steel & Aluminum Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 98 | 21,134 | 25,161 | 5,408 | ||||||||
Sealed Air Corp. | USFF +0.250% | Weekly | MS | 08/29/25 | 479 | 22,938 | 21,991 | 458 | ||||||||
Silgan Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 622 | 31,656 | 33,383 | 3,662 | ||||||||
SilverCrest Metals, Inc. (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 7 | 50 | 50 | 3 | ||||||||
Steel Dynamics, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 412 | 42,116 | 46,581 | 7,058 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Materials — (continued) | ||||||||||||||||
Sylvamo Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 154 | $ 5,427 | $ 7,124 | $ 2,077 | ||||||||
Teck Resources Ltd., Class B (Canada) | USFF +0.250% | Weekly | MS | 01/07/27 | 516 | 13,692 | 18,834 | 6,206 | ||||||||
Warrior Met Coal, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 536 | 17,097 | 19,677 | 4,460 | ||||||||
Westlake Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 131 | 15,209 | 15,193 | 812 | ||||||||
26,416 | 1,358,528 | 1,443,277 | 170,586 | |||||||||||||
Media & Entertainment | ||||||||||||||||
Activision Blizzard, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 436 | 32,727 | 37,317 | 6,505 | ||||||||
Alphabet, Inc., Class A | USFF +0.250% | Weekly | MS | 01/05/26 | 1,365 | 127,304 | 141,591 | 21,559 | ||||||||
Bumble, Inc., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 2,540 | 53,924 | 49,657 | (1,193) | ||||||||
Cable One, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 46 | 30,739 | 32,292 | 3,357 | ||||||||
Charter Communications, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 110 | 38,784 | 39,337 | 2,537 | ||||||||
Cinemark Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,537 | 46,999 | 67,102 | 23,059 | ||||||||
Comcast Corp., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 1,150 | 37,989 | 43,597 | 7,879 | ||||||||
Electronic Arts, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 41 | 4,845 | 4,938 | 328 | ||||||||
Fox Corp., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 897 | 27,411 | 30,543 | 4,991 | ||||||||
Interpublic Group of Cos., Inc. (The) | USFF +0.250% | Weekly | MS | 07/08/27 | 565 | 19,133 | 21,041 | 3,222 | ||||||||
Match Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 882 | 35,873 | 33,860 | (63) | ||||||||
Meta Platforms, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 775 | 95,029 | 164,254 | 75,073 | ||||||||
Netflix, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 314 | 68,859 | 108,481 | 43,648 | ||||||||
New York Times Co. (The), Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 406 | 14,602 | 15,785 | 2,031 | ||||||||
News Corp., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 748 | 11,588 | 12,918 | 2,146 | ||||||||
Nexstar Media Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 38 | 6,420 | 6,561 | 553 | ||||||||
Omnicom Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 763 | 69,222 | 71,981 | 7,072 | ||||||||
Paramount Global, Class B | USFF +0.250% | Weekly | MS | 01/10/28 | 149 | 3,053 | 3,324 | 462 | ||||||||
Shutterstock, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 258 | 13,255 | 18,731 | 6,381 | ||||||||
Sinclair Broadcast Group, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 600 | 10,464 | 10,296 | 614 | ||||||||
Sirius XM Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 13,483 | 76,056 | 53,528 | (19,460) | ||||||||
Stagwell, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 60 | 407 | 445 | 62 | ||||||||
TEGNA, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 345 | 6,850 | 5,834 | (536) | ||||||||
Trade Desk, Inc. (The), Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 668 | 36,637 | 40,688 | 6,679 | ||||||||
TripAdvisor, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 3,059 | 67,974 | 60,752 | (3,348) | ||||||||
Walt Disney Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 300 | 28,464 | 30,039 | 3,198 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Media & Entertainment — (continued) | ||||||||||||||||
ZipRecruiter, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 644 | $ 10,544 | $ 10,265 | $ 320 | ||||||||
ZoomInfo Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 863 | 22,567 | 21,325 | (288) | ||||||||
36,042 | 997,719 | 1,136,482 | 196,788 | |||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||
AbCellera Biologics, Inc. (Canada) | USFF +0.250% | Weekly | MS | 07/08/27 | 1,696 | 14,688 | 12,788 | (1,063) | ||||||||
Agilent Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 194 | 27,930 | 26,838 | 500 | ||||||||
Amphastar Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 206 | 6,466 | 7,725 | 1,628 | ||||||||
Ardelyx, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,062 | 4,791 | 5,087 | 570 | ||||||||
Biogen, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 56 | 14,925 | 15,570 | 1,540 | ||||||||
Bristol-Myers Squibb Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 462 | 30,824 | 32,021 | 3,588 | ||||||||
Catalyst Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,542 | 39,916 | 42,146 | 4,505 | ||||||||
Charles River Laboratories International, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 5 | 989 | 1,009 | 76 | ||||||||
Collegium Pharmaceutical, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 139 | 3,384 | 3,335 | 143 | ||||||||
Corcept Therapeutics, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 88 | 1,691 | 1,906 | 333 | ||||||||
Dynavax Technologies Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,330 | 14,639 | 13,047 | (922) | ||||||||
FibroGen, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 178 | 3,614 | 3,321 | (136) | ||||||||
Gilead Sciences, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 134 | 10,623 | 11,118 | 1,256 | ||||||||
Halozyme Therapeutics, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 352 | 12,793 | 13,443 | 1,210 | ||||||||
Harmony Biosciences Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 465 | 21,691 | 15,182 | (5,273) | ||||||||
Horizon Therapeutics PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/08/27 | 104 | 7,862 | 11,351 | 3,937 | ||||||||
Illumina, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 207 | 40,466 | 48,138 | 9,968 | ||||||||
Incyte Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 310 | 21,913 | 22,404 | 1,740 | ||||||||
IQVIA Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 123 | 22,033 | 24,463 | 3,667 | ||||||||
Ironwood Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,010 | 10,972 | 10,625 | 279 | ||||||||
Jazz Pharmaceuticals PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/08/27 | 476 | 66,548 | 69,653 | 6,872 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||||||||
Johnson & Johnson | USFF +0.250% | Weekly | MS | 01/07/27 | 479 | $ 78,151 | $ 74,245 | $ 956 | ||||||||
Ligand Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 28 | 1,988 | 2,060 | 185 | ||||||||
Maravai LifeSciences Holdings, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 1,513 | 28,372 | 21,197 | (5,558) | ||||||||
Medpace Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 156 | 31,202 | 29,336 | (283) | ||||||||
Merck & Co., Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 723 | 73,353 | 76,920 | 8,558 | ||||||||
Mettler-Toledo International, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 28 | 31,044 | 42,846 | 13,571 | ||||||||
Moderna, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 233 | 27,558 | 35,784 | 9,797 | ||||||||
Organon & Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 344 | 8,448 | 8,091 | 155 | ||||||||
PerkinElmer, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 199 | 25,912 | 26,519 | 1,995 | ||||||||
Pfizer, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,177 | 90,883 | 88,822 | 4,016 | ||||||||
Provention Bio, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,322 | 21,500 | 31,860 | 11,586 | ||||||||
QIAGEN N. V. (Netherlands) | USFF +0.250% | Weekly | MS | 01/07/27 | 562 | 25,594 | 25,813 | 1,654 | ||||||||
Sarepta Therapeutics, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 84 | 6,282 | 11,578 | 5,654 | ||||||||
TG Therapeutics, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,138 | 19,000 | 32,156 | 14,765 | ||||||||
Theravance Biopharma, Inc. (Cayman Islands) | USFF +0.250% | Weekly | MS | 01/10/28 | 137 | 1,429 | 1,486 | 139 | ||||||||
United Therapeutics Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 310 | 71,746 | 69,428 | 1,771 | ||||||||
Veracyte, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 225 | 5,499 | 5,018 | (198) | ||||||||
Viatris, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 5,192 | 50,389 | 49,947 | 3,997 | ||||||||
Vir Biotechnology, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 199 | 4,033 | 4,631 | 843 | ||||||||
West Pharmaceutical Services, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 93 | 28,729 | 32,222 | 5,130 | ||||||||
Zoetis, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 111 | 18,175 | 18,475 | 1,336 | ||||||||
27,392 | 1,028,045 | 1,079,604 | 114,487 | |||||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Applied Materials, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 495 | 47,456 | 60,801 | 16,280 | ||||||||
Axcelis Technologies, Inc. | USFF +0.250% | Weekly | MS | 08/29/25 | 721 | 47,838 | 96,073 | 51,452 | ||||||||
Broadcom, Inc. | USFF +0.250% | Weekly | MS | 08/29/25 | 147 | 82,808 | 94,306 | 17,676 | ||||||||
Cirrus Logic, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 558 | 58,102 | 61,034 | 6,244 | ||||||||
Diodes, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 260 | 21,522 | 24,118 | 3,804 | ||||||||
Enphase Energy, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 6 | 1,111 | 1,262 | 4,281 | ||||||||
First Solar, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 863 | 177,457 | 187,703 | 20,359 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Semiconductors & Semiconductor Equipment — (continued) | ||||||||||||||||
GLOBALFOUNDRIES, Inc. (Cayman Islands) | USFF +0.250% | Weekly | MS | 07/08/27 | 347 | $ 17,232 | $ 25,046 | $ 8,949 | ||||||||
Impinj, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 95 | 11,506 | 12,874 | 2,046 | ||||||||
indie Semiconductor, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 22 | 235 | 232 | 11 | ||||||||
KLA Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 58 | 22,430 | 23,152 | 2,055 | ||||||||
Lam Research Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 129 | 49,127 | 68,385 | 22,415 | ||||||||
Lattice Semiconductor Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 443 | 21,570 | 42,307 | 21,966 | ||||||||
MaxLinear, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 973 | 35,104 | 34,259 | 1,156 | ||||||||
Microchip Technology, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 941 | 58,557 | 78,837 | 24,377 | ||||||||
Monolithic Power Systems, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 39 | 19,221 | 19,521 | 1,416 | ||||||||
NXP Semiconductors NV (Netherlands) | USFF +0.250% | Weekly | MS | 01/07/27 | 452 | 68,340 | 84,287 | 20,514 | ||||||||
ON Semiconductor Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 806 | 51,084 | 66,350 | 18,674 | ||||||||
PDF Solutions, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 37 | 1,447 | 1,569 | 204 | ||||||||
Photronics, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,415 | 24,299 | 23,461 | 479 | ||||||||
Qorvo, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 221 | 22,983 | 22,447 | 768 | ||||||||
Rambus, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 1,058 | 26,377 | 54,233 | 29,883 | ||||||||
Semtech Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 535 | 15,069 | 12,915 | (1,568) | ||||||||
Silicon Laboratories, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 40 | 5,430 | 7,004 | 1,889 | ||||||||
Skyworks Solutions, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 488 | 56,554 | 57,574 | 4,396 | ||||||||
Synaptics, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 107 | 9,397 | 11,893 | 3,398 | ||||||||
Veeco Instruments, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 138 | 2,893 | 2,916 | 188 | ||||||||
11,394 | 955,149 | 1,174,559 | 283,312 | |||||||||||||
Software & Services | ||||||||||||||||
A10 Networks, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 231 | 3,639 | 3,578 | 144 | ||||||||
Accenture PLC, Class A (Ireland) | USFF +0.250% | Weekly | MS | 07/08/27 | 120 | 30,578 | 34,297 | 5,890 | ||||||||
Adeia, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 176 | 1,551 | 1,559 | 100 | ||||||||
Adobe, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 172 | 49,213 | 66,284 | 19,976 | ||||||||
Akamai Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 181 | 14,354 | 14,172 | 337 | ||||||||
Alteryx, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 98 | 6,566 | 5,766 | (569) | ||||||||
ANSYS, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 86 | 21,218 | 28,621 | 8,622 | ||||||||
Asana, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 2,772 | 58,131 | 58,572 | 3,754 | ||||||||
Box, Inc., Class A | USFF +0.250% | Weekly | MS | 07/06/26 | 1,514 | 40,259 | 40,560 | 1,936 | ||||||||
Ceridian HCM Holding, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 239 | 12,406 | 17,500 | 5,801 | ||||||||
Cvent Holding Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 25 | 209 | 209 | 12 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Software & Services — (continued) | ||||||||||||||||
Descartes Systems Group, Inc. (The) (Canada) | USFF +0.250% | Weekly | MS | 01/07/27 | 96 | $ 5,979 | $ 7,739 | $ 2,101 | ||||||||
DigitalOcean Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 465 | 16,021 | 18,214 | 3,107 | ||||||||
Docebo, Inc. (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 4 | 149 | 163 | 23 | ||||||||
Dropbox, Inc., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 489 | 9,670 | 10,572 | 1,510 | ||||||||
DXC Technology Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,101 | 29,561 | 28,142 | 265 | ||||||||
Elastic N. V. (Netherlands) | USFF +0.250% | Weekly | MS | 01/10/28 | 8 | 458 | 463 | 32 | ||||||||
Enfusion, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 93 | 992 | 977 | 41 | ||||||||
Fair Isaac Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 2 | 1,395 | 1,405 | 90 | ||||||||
Fortinet, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,006 | 53,686 | 66,859 | 17,273 | ||||||||
Gartner, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 281 | 87,893 | 91,541 | 8,600 | ||||||||
Gen Digital, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 761 | 14,652 | 13,059 | (717) | ||||||||
Guidewire Software, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 369 | 28,148 | 30,276 | 3,733 | ||||||||
HubSpot, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 8 | 3,337 | 3,430 | 283 | ||||||||
Informatica, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 6 | 99 | 98 | 6 | ||||||||
Intapp, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 29 | 1,242 | 1,300 | 129 | ||||||||
InterDigital, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 354 | 24,153 | 25,807 | 3,075 | ||||||||
International Business Machines Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 300 | 38,297 | 39,327 | 3,213 | ||||||||
Manhattan Associates, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 34 | 3,736 | 5,265 | 1,742 | ||||||||
Microsoft Corp. | USFF +0.250% | Weekly | MS | 08/29/25 | 464 | 106,682 | 133,771 | 34,581 | ||||||||
MongoDB, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 90 | 16,697 | 20,981 | 5,542 | ||||||||
NCR Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 687 | 13,153 | 16,206 | 3,790 | ||||||||
New Relic, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 783 | 54,047 | 58,952 | 7,985 | ||||||||
Nutanix, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 1,030 | 21,907 | 26,770 | 6,197 | ||||||||
PagerDuty, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 679 | 21,842 | 23,751 | 3,154 | ||||||||
Palantir Technologies, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 415 | 4,109 | 3,507 | (368) | ||||||||
Palo Alto Networks, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 229 | 42,128 | 45,740 | 6,291 | ||||||||
PowerSchool Holdings, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 253 | 4,964 | 5,014 | 333 | ||||||||
Qualys, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 199 | 21,569 | 25,874 | 5,751 | ||||||||
Roper Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 10 | 4,255 | 4,407 | 395 | ||||||||
Salesforce, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 324 | 43,101 | 64,729 | 25,803 | ||||||||
Samsara, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 446 | 8,575 | 8,795 | 709 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Software & Services — (continued) | ||||||||||||||||
ServiceNow, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 222 | $ 83,887 | $ 103,168 | $ 24,047 | ||||||||
SolarWinds Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 12 | 101 | 103 | 8 | ||||||||
Splunk, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,055 | 90,643 | 101,153 | 15,668 | ||||||||
Sprinklr, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 30 | 383 | 389 | 28 | ||||||||
Squarespace, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 319 | 9,169 | 10,135 | 1,488 | ||||||||
Tenable Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 28 | 1,285 | 1,330 | 118 | ||||||||
Varonis Systems, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 390 | 10,389 | 10,144 | 347 | ||||||||
VeriSign, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 127 | 22,550 | 26,839 | 5,633 | ||||||||
Yext, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 771 | 5,643 | 7,409 | 2,088 | ||||||||
Zeta Global Holdings Corp., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 165 | 1,712 | 1,787 | 173 | ||||||||
19,748 | 1,146,383 | 1,316,709 | 240,270 | |||||||||||||
Technology Hardware & Equipment | ||||||||||||||||
Amphenol Corp., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 846 | 59,387 | 69,135 | 13,632 | ||||||||
Apple, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 629 | 82,282 | 103,722 | 26,979 | ||||||||
CDW Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 313 | 51,737 | 61,001 | 12,843 | ||||||||
Cisco Systems, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,217 | 50,084 | 63,619 | 17,042 | ||||||||
Dell Technologies, Inc., Class C | USFF +0.250% | Weekly | MS | 07/08/27 | 68 | 2,647 | 2,734 | 371 | ||||||||
Digi International, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 124 | 4,242 | 4,176 | 176 | ||||||||
Extreme Networks, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 660 | 9,577 | 12,619 | 3,572 | ||||||||
F5, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 280 | 39,384 | 40,793 | 3,651 | ||||||||
Hewlett Packard Enterprise Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,359 | 31,207 | 37,579 | 8,957 | ||||||||
HP, Inc. | USFF +0.250% | Weekly | MS | 08/29/25 | 1,439 | 43,143 | 42,235 | 2,941 | ||||||||
Infinera Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 878 | 5,737 | 6,813 | 1,515 | ||||||||
IonQ, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,381 | 12,249 | 14,643 | 3,091 | ||||||||
IPG Photonics Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 150 | 18,199 | 18,497 | 1,266 | ||||||||
Keysight Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 87 | 13,757 | 14,049 | 1,076 | ||||||||
Methode Electronics, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 17 | 717 | 746 | 70 | ||||||||
Mirion Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 206 | 1,643 | 1,759 | 210 | ||||||||
Motorola Solutions, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 328 | 85,442 | 93,851 | 13,994 | ||||||||
NetApp, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 414 | 29,301 | 26,434 | (388) | ||||||||
NetScout Systems, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 902 | 29,259 | 25,842 | (1,749) | ||||||||
Pure Storage, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 1,267 | 30,398 | 32,321 | 3,688 | ||||||||
Sanmina Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 328 | 19,146 | 20,005 | 1,947 | ||||||||
Seagate Technology Holdings PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/10/28 | 293 | 18,045 | 19,373 | 2,471 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Technology Hardware & Equipment — (continued) | ||||||||||||||||
Super Micro Computer, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 959 | $ 84,962 | $102,181 | $ 22,062 | ||||||||
TE Connectivity Ltd. (Switzerland) | USFF +0.250% | Weekly | MS | 01/10/28 | 117 | 14,638 | 15,345 | 1,543 | ||||||||
Teledyne Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 87 | 33,880 | 38,920 | 7,240 | ||||||||
Vishay Intertechnology, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 426 | 8,980 | 9,636 | 1,415 | ||||||||
Zebra Technologies Corp., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 62 | 18,716 | 19,716 | 2,067 | ||||||||
16,837 | 798,759 | 897,744 | 151,682 | |||||||||||||
Telecommunication Services | ||||||||||||||||
AT&T, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 3,881 | 70,940 | 74,709 | 9,504 | ||||||||
EchoStar Corp., Class A | USFF +0.250% | Weekly | MS | 08/29/25 | 1,304 | 35,615 | 23,850 | (9,735) | ||||||||
Iridium Communications, Inc. | USFF +0.250% | Weekly | MS | 08/29/25 | 152 | 6,484 | 9,413 | 3,315 | ||||||||
Lumen Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 8,793 | 40,836 | 23,301 | (15,898) | ||||||||
TELUS Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/08/27 | 695 | 14,388 | 13,803 | 364 | ||||||||
United States Cellular Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 90 | 1,883 | 1,866 | 91 | ||||||||
Verizon Communications, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,155 | 45,645 | 44,918 | 2,679 | ||||||||
16,070 | 215,791 | 191,860 | (9,680) | |||||||||||||
Transportation | ||||||||||||||||
American Airlines Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 5,093 | 81,853 | 75,122 | (2,066) | ||||||||
ArcBest Corp. | USFF +0.250% | Weekly | MS | 08/29/25 | 592 | 27,367 | 54,713 | 30,701 | ||||||||
CH Robinson Worldwide, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 714 | 71,991 | 70,950 | 3,384 | ||||||||
CSX Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,124 | 32,467 | 33,653 | 3,126 | ||||||||
Expeditors International of Washington, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 538 | 54,460 | 59,245 | 8,189 | ||||||||
Forward Air Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 121 | 12,009 | 13,039 | 1,777 | ||||||||
Hub Group, Inc., Class A | USFF +0.250% | Weekly | MS | 01/05/26 | 265 | 20,670 | 22,244 | 2,752 | ||||||||
Kirby Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 5 | 344 | 349 | 308 | ||||||||
Landstar System, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 349 | 61,297 | 62,562 | 4,918 | ||||||||
Marten Transport Ltd. | USFF +0.250% | Weekly | MS | 01/10/28 | 57 | 1,166 | 1,194 | 95 | ||||||||
Norfolk Southern Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 145 | 30,912 | 30,740 | 1,712 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Transportation — (continued) | ||||||||||||||||
Old Dominion Freight Line, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 146 | $ 40,554 | $ 49,763 | $ 11,607 | ||||||||
RXO, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 166 | 3,182 | 3,260 | 260 | ||||||||
Ryder System, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 345 | 29,326 | 30,788 | 3,467 | ||||||||
Schneider National, Inc., Class B | USFF +0.250% | Weekly | MS | 01/10/28 | 395 | 10,646 | 10,566 | 541 | ||||||||
TFI International, Inc. (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 62 | 7,534 | 7,396 | 310 | ||||||||
Uber Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 648 | 19,644 | 20,542 | 2,014 | ||||||||
Union Pacific Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 171 | 33,928 | 34,415 | 2,968 | ||||||||
XPO, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 512 | 16,951 | 16,333 | 330 | ||||||||
11,448 | 556,301 | 596,874 | 76,393 | |||||||||||||
Utilities | ||||||||||||||||
AES Corp. (The) | USFF +0.250% | Weekly | MS | 01/07/27 | 38 | 748 | 915 | 228 | ||||||||
American Water Works Co., Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 62 | 8,663 | 9,082 | 914 | ||||||||
Atmos Energy Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 97 | 11,022 | 10,899 | 517 | ||||||||
Chesapeake Utilities Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 11 | 1,397 | 1,408 | 90 | ||||||||
Constellation Energy Corp. | USFF +0.250% | Weekly | MS | 08/29/25 | 1,518 | 115,817 | 119,163 | 10,454 | ||||||||
Dominion Energy, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 290 | 15,809 | 16,214 | 1,619 | ||||||||
DTE Energy Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 32 | 3,393 | 3,505 | 324 | ||||||||
Entergy Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 571 | 59,669 | 61,520 | 5,244 | ||||||||
Evergy, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 7 | 425 | 428 | 27 | ||||||||
Exelon Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,568 | 59,374 | 65,684 | 10,577 | ||||||||
IDACORP, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 44 | 4,523 | 4,767 | 502 | ||||||||
Montauk Renewables, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 29 | 243 | 228 | (1) | ||||||||
National Fuel Gas Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 588 | 36,350 | 33,951 | (103) | ||||||||
Otter Tail Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 236 | 15,401 | 17,056 | 2,788 | ||||||||
PNM Resources, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 146 | 7,142 | 7,107 | 372 | ||||||||
Public Service Enterprise Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,455 | 84,522 | 90,865 | 12,270 | ||||||||
SJW Group | USFF +0.250% | Weekly | MS | 01/10/28 | 70 | 5,287 | 5,329 | 344 | ||||||||
6,762 | 429,785 | 448,121 | 46,166 | |||||||||||||
Total Reference Entity — Long | 16,786,150 | 18,225,085 | 2,507,734 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Short | ||||||||||||||||
Automobiles & Components | ||||||||||||||||
Dorman Products, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (212) | $(17,971) | $(18,287) | $(366) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Automobiles & Components — (continued) | ||||||||||||||||
Gentex Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,268) | $ (36,658) | $ (35,542) | $ 1,008 | ||||||||
Gentherm, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,341) | (87,581) | (81,023) | 6,314 | ||||||||
LCI Industries | USFF -0.250% | Weekly | MS | 01/05/26 | (246) | (36,428) | (27,028) | 8,503 | ||||||||
Luminar Technologies, Inc. | USFF -4.380% | Weekly | MS | 01/07/27 | (7,691) | (56,240) | (49,915) | 6,188 | ||||||||
Standard Motor Products, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,070) | (42,135) | (39,494) | 1,843 | ||||||||
XPEL, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (340) | (25,033) | (23,103) | 1,860 | ||||||||
(12,168) | (302,046) | (274,392) | 25,350 | |||||||||||||
Capital Goods | ||||||||||||||||
3D Systems Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (9,580) | (92,929) | (102,698) | (10,185) | ||||||||
AAON, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (458) | (27,177) | (44,284) | (19,070) | ||||||||
AAR Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (862) | (43,777) | (47,022) | (3,853) | ||||||||
Aerojet Rocketdyne Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,792) | (88,255) | (100,657) | (14,227) | ||||||||
AerSale Corp. | USFF -2.480% | Weekly | MS | 07/08/27 | (593) | (10,450) | (10,211) | 210 | ||||||||
Alamo Group, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (118) | (16,602) | (21,731) | (5,922) | ||||||||
Albany International Corp., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (207) | (20,541) | (18,498) | 1,937 | ||||||||
Ameresco, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (1,920) | (102,280) | (94,502) | 7,493 | ||||||||
American Woodmark Corp. | USFF -0.250% | Weekly | MS | 08/29/25 | (385) | (31,510) | (20,047) | 11,699 | ||||||||
API Group Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,032) | (18,401) | (23,199) | (5,430) | ||||||||
AZEK Co., Inc. (The) | USFF -0.250% | Weekly | MS | 07/06/26 | (8,611) | (313,391) | (202,703) | 110,715 | ||||||||
AZZ, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (616) | (25,636) | (25,404) | (34) | ||||||||
Ballard Power Systems, Inc. (Canada) | USFF -1.280% | Weekly | MS | 01/05/26 | (20,868) | (224,452) | (116,235) | 107,591 | ||||||||
Barnes Group, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (47) | (1,863) | (1,893) | (36) | ||||||||
Beacon Roofing Supply, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,490) | (151,535) | (146,536) | 4,599 | ||||||||
Bloom Energy Corp., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (842) | (15,361) | (16,781) | (1,463) | ||||||||
BWX Technologies, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,656) | (107,064) | (104,394) | 803 | ||||||||
Cadre Holdings, Inc. | USFF -2.880% | Weekly | MS | 01/07/27 | (836) | (21,386) | (18,007) | 3,186 | ||||||||
ChargePoint Holdings, Inc. | USFF -5.780% | Weekly | MS | 01/10/28 | (5,771) | (55,609) | (60,422) | (4,969) | ||||||||
Columbus McKinnon Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (323) | (13,607) | (12,003) | 1,456 | ||||||||
Construction Partners, Inc., Class A | USFF -0.250% | Weekly | MS | 08/29/25 | (2,590) | (70,077) | (69,775) | 99 | ||||||||
Core & Main, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (3,703) | (83,244) | (85,539) | (2,768) | ||||||||
Cummins, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,187) | (302,856) | (283,551) | 20,354 | ||||||||
Ducommun, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (41) | (2,183) | (2,243) | (66) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
Dycom Industries, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,996) | $(189,148) | $(186,925) | $ 1,208 | ||||||||
Energy Recovery, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,456) | (31,718) | (33,561) | (1,981) | ||||||||
EnerSys | USFF -0.250% | Weekly | MS | 07/06/26 | (999) | (79,896) | (86,793) | (8,601) | ||||||||
Evoqua Water Technologies Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,879) | (110,139) | (143,144) | (34,753) | ||||||||
Federal Signal Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,313) | (56,253) | (71,178) | (16,719) | ||||||||
Flowserve Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (12,380) | (402,769) | (420,920) | (24,709) | ||||||||
Franklin Electric Co., Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (487) | (43,936) | (45,827) | (2,669) | ||||||||
FuelCell Energy, Inc. | USFF -0.624% | Weekly | MS | 01/10/28 | (8,976) | (26,380) | (25,582) | 725 | ||||||||
Gates Industrial Corp. PLC (United Kingdom) | USFF -0.250% | Weekly | MS | 01/07/27 | (1,937) | (24,545) | (26,905) | (2,610) | ||||||||
Generac Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,459) | (171,875) | (157,587) | 13,356 | ||||||||
Gibraltar Industries, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (514) | (24,919) | (24,929) | (148) | ||||||||
Gorman-Rupp Co. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (1) | (24) | (25) | (4) | ||||||||
Graco, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,552) | (108,969) | (113,312) | (4,646) | ||||||||
GrafTech International Ltd. | USFF -0.259% | Weekly | MS | 07/08/27 | (10,520) | (56,970) | (51,127) | 5,569 | ||||||||
Greenbrier Cos., Inc. (The) | USFF -0.250% | Weekly | MS | 01/07/27 | (52) | (2,561) | (1,673) | 825 | ||||||||
Hayward Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (6,575) | (79,877) | (77,059) | 2,507 | ||||||||
Helios Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (416) | (27,803) | (27,206) | 442 | ||||||||
Herc Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,417) | (337,323) | (275,296) | 56,588 | ||||||||
Hillenbrand, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,996) | (140,032) | (142,400) | (3,897) | ||||||||
IDEX Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (987) | (219,925) | (228,027) | (8,716) | ||||||||
JELD-WEN Holding, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (12,329) | (221,255) | (156,085) | 64,472 | ||||||||
John Bean Technologies Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,236) | (119,368) | (135,082) | (16,602) | ||||||||
Johnson Controls International PLC (Ireland) | USFF -0.250% | Weekly | MS | 01/10/28 | (3,621) | (233,076) | (218,057) | 15,083 | ||||||||
Kennametal, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,527) | (43,348) | (42,115) | 1,110 | ||||||||
Kratos Defense & Security Solutions, Inc. | USFF -0.250% | Weekly | MS | 08/29/25 | (12,263) | (203,709) | (165,305) | 37,253 | ||||||||
Masonite International Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/06/26 | (475) | (46,417) | (43,116) | 3,172 | ||||||||
MasTec, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (409) | (35,663) | (38,626) | (3,820) | ||||||||
Maxar Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (7,112) | (339,707) | (363,139) | (24,443) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
MDU Resources Group, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (736) | $ (22,877) | $ (22,433) | $ (442) | ||||||||
Mercury Systems, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (4,640) | (283,387) | (237,197) | 45,283 | ||||||||
Middleby Corp. (The) | USFF -0.250% | Weekly | MS | 01/07/27 | (376) | (67,548) | (55,125) | 14,493 | ||||||||
MRC Global, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (4,060) | (43,317) | (39,463) | 3,730 | ||||||||
MSC Industrial Direct Co, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (879) | (74,426) | (73,836) | 319 | ||||||||
Mueller Water Products, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (13,035) | (151,704) | (181,708) | (32,486) | ||||||||
MYR Group, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (426) | (39,937) | (53,680) | (14,468) | ||||||||
NOW, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,393) | (16,269) | (15,532) | 692 | ||||||||
Oshkosh Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (655) | (56,901) | (54,483) | 1,887 | ||||||||
Parker-Hannifin Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (208) | (73,669) | (69,911) | 4,365 | ||||||||
Parsons Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (542) | (23,799) | (24,249) | (516) | ||||||||
PGT Innovations, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (720) | (15,724) | (18,079) | (2,399) | ||||||||
Plug Power, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,671) | (95,129) | (78,184) | 16,680 | ||||||||
Primoris Services Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (4,560) | (113,169) | (112,450) | (1,194) | ||||||||
Quanex Building Products Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (92) | (1,864) | (1,981) | (123) | ||||||||
Resideo Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,692) | (76,305) | (67,490) | 8,602 | ||||||||
REV Group, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (103) | (1,223) | (1,235) | (20) | ||||||||
Rockwell Automation, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (438) | (132,065) | (128,531) | 3,422 | ||||||||
Rush Enterprises, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (1,297) | (66,845) | (70,816) | (4,719) | ||||||||
Sensata Technologies Holding PLC (United Kingdom) | USFF -0.250% | Weekly | MS | 07/06/26 | (506) | (32,693) | (25,310) | 9,072 | ||||||||
Shyft Group, Inc. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (165) | (3,764) | (3,754) | — | ||||||||
SiteOne Landscape Supply, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (338) | (48,801) | (46,262) | 2,595 | ||||||||
SPX Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (471) | (28,566) | (33,243) | (5,025) | ||||||||
Standex International Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (4) | (485) | (490) | (39) | ||||||||
Stanley Black & Decker, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,541) | (452,359) | (204,754) | 237,542 | ||||||||
Stem, Inc. | USFF -1.730% | Weekly | MS | 07/08/27 | (6,325) | (58,273) | (35,863) | 22,248 | ||||||||
Sunrun, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,983) | (88,100) | (80,257) | 7,597 | ||||||||
Tennant Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (487) | (30,153) | (33,374) | (3,711) | ||||||||
Titan Machinery, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (199) | (5,924) | (6,060) | (152) | ||||||||
Trex Co., Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (8,230) | (418,461) | (400,554) | 16,739 | ||||||||
Trinity Industries, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (384) | (8,946) | (9,354) | (433) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
United Rentals, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (146) | $ (65,328) | $ (57,781) | $ 9,103 | ||||||||
Vertiv Holdings Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (4,329) | (60,093) | (61,948) | (2,108) | ||||||||
Vicor Corp. | USFF -0.250% | Weekly | MS | 08/29/25 | (1,573) | (118,468) | (73,837) | 44,301 | ||||||||
Virgin Galactic Holdings, Inc. | USFF -1.647% | Weekly | MS | 07/08/27 | (2,730) | (16,698) | (11,056) | 5,595 | ||||||||
WESCO International, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,544) | (210,303) | (238,610) | (33,103) | ||||||||
Woodward, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,816) | (289,622) | (274,194) | 13,703 | ||||||||
Xometry, Inc., Class A | USFF -0.580% | Weekly | MS | 07/08/27 | (2,086) | (63,675) | (31,227) | 32,270 | ||||||||
Zurn Elkay Water Solutions Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (7,004) | (156,882) | (149,605) | 6,707 | ||||||||
(255,796) | (8,731,543) | (8,013,252) | 656,118 | |||||||||||||
Commercial & Professional Services | ||||||||||||||||
ABM Industries, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (3,886) | (171,503) | (174,637) | (5,137) | ||||||||
Alight, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (15,300) | (132,072) | (140,913) | (9,602) | ||||||||
ASGN, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (350) | (31,573) | (28,934) | 2,572 | ||||||||
BrightView Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,675) | (20,687) | (9,413) | 11,265 | ||||||||
Casella Waste Systems, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (763) | (59,954) | (63,070) | (3,283) | ||||||||
Cimpress PLC (Ireland) | USFF -0.250% | Weekly | MS | 01/10/28 | (236) | (8,407) | (10,342) | (1,957) | ||||||||
Conduent, Inc. | USFF -0.260% | Weekly | MS | 08/29/25 | (3,988) | (23,769) | (13,679) | 10,120 | ||||||||
CSG Systems International, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,268) | (74,350) | (68,092) | 5,360 | ||||||||
Driven Brands Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (3,111) | (92,844) | (94,294) | (1,796) | ||||||||
Dun & Bradstreet Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,253) | (25,636) | (26,450) | (886) | ||||||||
Equifax, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,961) | (410,739) | (397,769) | 11,053 | ||||||||
FTI Consulting, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,061) | (189,667) | (209,388) | (21,997) | ||||||||
Healthcare Services Group, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,451) | (39,656) | (33,995) | 4,444 | ||||||||
Heritage-Crystal Clean, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (49) | (1,703) | (1,745) | (47) | ||||||||
HNI Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (704) | (26,029) | (19,599) | 5,593 | ||||||||
ICF International, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (709) | (73,989) | (77,777) | (4,388) | ||||||||
Jacobs Solutions, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,398) | (298,754) | (281,789) | 16,031 | ||||||||
KAR Auction Services, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,920) | (49,246) | (39,946) | 9,313 | ||||||||
KBR, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,729) | (95,459) | (95,181) | (248) | ||||||||
Kelly Services, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (4) | (66) | (66) | — | ||||||||
Maximus, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (363) | (30,276) | (28,568) | 1,736 | ||||||||
MillerKnoll, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (601) | (24,485) | (12,290) | 12,944 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Commercial & Professional Services — (continued) | ||||||||||||||||
Montrose Environmental Group, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (532) | $ (22,665) | $ (18,976) | $ 3,625 | ||||||||
Steelcase, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (3,598) | (38,789) | (30,295) | 7,254 | ||||||||
Stericycle, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (391) | (22,735) | (17,052) | 6,422 | ||||||||
Sterling Check Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (398) | (7,459) | (4,438) | 3,000 | ||||||||
TaskUS, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (2,465) | (60,712) | (35,595) | 25,112 | ||||||||
TrueBlue, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (75) | (2,183) | (1,335) | 951 | ||||||||
TTEC Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (174) | (6,577) | (6,478) | (5) | ||||||||
UniFirst Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (248) | (46,485) | (43,705) | 2,359 | ||||||||
Upwork, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (5,992) | (228,953) | (67,829) | 162,722 | ||||||||
Waste Connections, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (1,791) | (241,856) | (249,074) | (8,932) | ||||||||
(63,444) | (2,559,278) | (2,302,714) | 243,598 | |||||||||||||
Consumer Discretionary Distribution & Retail | ||||||||||||||||
Abercrombie & Fitch Co., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (2,285) | (61,966) | (63,409) | (2,396) | ||||||||
Advance Auto Parts, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (827) | (157,637) | (100,571) | 53,768 | ||||||||
Asbury Automotive Group, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (170) | (32,217) | (35,700) | (4,360) | ||||||||
Boot Barn Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,033) | (91,412) | (79,169) | 11,988 | ||||||||
Caleres, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (5,793) | (146,024) | (125,303) | 19,683 | ||||||||
Carvana Co. | USFF -11.930% | Weekly | MS | 07/06/26 | (9,355) | (269,862) | (91,585) | 177,523 | ||||||||
Dick's Sporting Goods, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (357) | (48,859) | (50,655) | (3,678) | ||||||||
Five Below, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (205) | (42,943) | (42,224) | 571 | ||||||||
Floor & Decor Holdings, Inc., Class A | USFF +0.250% | Weekly | MS | 01/05/26 | (510) | (67,675) | (50,092) | 17,464 | ||||||||
Foot Locker, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,701) | (266,287) | (265,963) | (419) | ||||||||
Franchise Group, Inc. | USFF -0.680% | Weekly | MS | 01/07/27 | (700) | (28,126) | (19,075) | 7,336 | ||||||||
Kohl's Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (3,920) | (172,838) | (92,277) | 73,361 | ||||||||
Leslie's, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (6,677) | (98,820) | (73,514) | 25,031 | ||||||||
Lithia Motors, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (309) | (89,416) | (70,739) | 18,700 | ||||||||
MarineMax, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (490) | (13,643) | (14,087) | (483) | ||||||||
National Vision Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,976) | (85,500) | (37,228) | 48,276 | ||||||||
Ollie's Bargain Outlet Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (305) | (16,185) | (17,672) | (1,995) | ||||||||
Penske Automotive Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | (256) | (37,528) | (36,303) | 1,120 | ||||||||
Petco Health & Wellness Co., Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (14,670) | (273,326) | (132,030) | 141,126 | ||||||||
Pool Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (8) | (3,815) | (2,740) | 1,034 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Discretionary Distribution & Retail — (continued) | ||||||||||||||||
RH | USFF -0.250% | Weekly | MS | 01/10/28 | (10) | $ (2,411) | $ (2,435) | $ (31) | ||||||||
Sally Beauty Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (3,167) | (57,591) | (49,342) | 8,023 | ||||||||
Signet Jewelers Ltd. (Bermuda) | USFF -0.250% | Weekly | MS | 07/08/27 | (392) | (29,509) | (30,490) | (1,467) | ||||||||
Tractor Supply Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (210) | (49,147) | (49,358) | (1,144) | ||||||||
Victoria's Secret & Co. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,901) | (170,799) | (133,219) | 38,661 | ||||||||
Wayfair, Inc., Class A | USFF -0.780% | Weekly | MS | 07/06/26 | (2,221) | (135,079) | (76,269) | 58,433 | ||||||||
(66,448) | (2,448,615) | (1,741,449) | 686,125 | |||||||||||||
Consumer Durables & Apparel | ||||||||||||||||
Acushnet Holdings Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (3,492) | (167,483) | (177,882) | (12,017) | ||||||||
BRP, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/07/27 | (373) | (26,064) | (29,169) | (3,293) | ||||||||
Brunswick Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (177) | (17,226) | (14,514) | 3,671 | ||||||||
Carter's, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (592) | (59,162) | (42,577) | 14,172 | ||||||||
Columbia Sportswear Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,612) | (131,610) | (145,467) | (15,297) | ||||||||
Garmin Ltd. (Switzerland) | USFF -0.250% | Weekly | MS | 01/07/27 | (59) | (7,042) | (5,954) | 1,430 | ||||||||
G-III Apparel Group Ltd. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,046) | (33,977) | (31,815) | 2,067 | ||||||||
Hanesbrands, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (12,662) | (141,581) | (66,602) | 70,563 | ||||||||
Helen of Troy Ltd. (Bermuda) | USFF -0.250% | Weekly | MS | 01/05/26 | (612) | (132,829) | (58,244) | 74,214 | ||||||||
iRobot Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (675) | (46,435) | (29,457) | 17,707 | ||||||||
La-Z-Boy, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,055) | (36,116) | (30,679) | 4,384 | ||||||||
Levi Strauss & Co, Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (1,943) | (35,409) | (35,421) | (165) | ||||||||
LGI Homes, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (290) | (30,663) | (33,069) | (2,491) | ||||||||
Lululemon Athletica, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (243) | (76,916) | (88,498) | (27,336) | ||||||||
Mattel, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,903) | (101,381) | (90,264) | 10,834 | ||||||||
Movado Group, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (27) | (771) | (777) | (8) | ||||||||
Newell Brands, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (8,117) | (108,962) | (100,975) | 5,278 | ||||||||
Oxford Industries, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (522) | (56,179) | (55,118) | 782 | ||||||||
PVH Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (439) | (38,083) | (39,141) | (1,164) | ||||||||
Skechers USA, Inc., Class A | USFF -0.250% | Weekly | MS | 07/06/26 | (4,079) | (186,133) | (193,834) | (8,220) | ||||||||
Snap One Holdings Corp. | USFF -0.730% | Weekly | MS | 01/10/28 | (27) | (279) | (252) | 26 | ||||||||
Tempur Sealy International, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (7,283) | (249,883) | (287,606) | (39,415) | ||||||||
TopBuild Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (371) | (80,271) | (77,220) | 2,770 | ||||||||
Topgolf Callaway Brands Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (11,185) | (279,456) | (241,820) | 36,856 | ||||||||
VF Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (7,785) | (219,615) | (178,354) | 37,747 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Durables & Apparel — (continued) | ||||||||||||||||
Wolverine World Wide, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (8,570) | $ (172,555) | $ (146,118) | $ 22,434 | ||||||||
YETI Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,123) | (95,653) | (44,920) | 50,466 | ||||||||
(80,262) | (2,531,734) | (2,245,747) | 245,995 | |||||||||||||
Consumer Services | ||||||||||||||||
Aramark | USFF -0.250% | Weekly | MS | 01/10/28 | (4,831) | (179,123) | (172,950) | 5,673 | ||||||||
Bally's Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (2,652) | (101,299) | (51,767) | 49,249 | ||||||||
Bowlero Corp. | USFF -1.380% | Weekly | MS | 01/10/28 | (933) | (15,449) | (15,814) | (409) | ||||||||
Brinker International, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (435) | (16,513) | (16,530) | (197) | ||||||||
Cheesecake Factory, Inc. (The) | USFF -0.250% | Weekly | MS | 07/08/27 | (529) | (20,113) | (18,541) | 1,529 | ||||||||
Chegg, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (8,218) | (154,708) | (133,953) | 20,323 | ||||||||
Chipotle Mexican Grill, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (176) | (289,518) | (300,659) | (11,949) | ||||||||
Choice Hotels International, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,537) | (192,721) | (180,121) | 11,931 | ||||||||
Churchill Downs, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,932) | (432,812) | (496,621) | (65,965) | ||||||||
Coursera, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (3,992) | (57,983) | (45,988) | 11,834 | ||||||||
Cracker Barrel Old Country Store, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,125) | (126,241) | (127,800) | (3,281) | ||||||||
Dave & Buster's Entertainment, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,778) | (106,798) | (102,203) | 3,696 | ||||||||
Domino's Pizza, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (34) | (11,190) | (11,216) | (31) | ||||||||
Duolingo, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (336) | (24,632) | (47,910) | (25,921) | ||||||||
Dutch Bros, Inc., Class A | USFF -13.130% | Weekly | MS | 01/10/28 | (703) | (21,855) | (22,236) | (442) | ||||||||
European Wax Center, Inc., Class A | USFF -0.580% | Weekly | MS | 01/10/28 | (352) | (5,971) | (6,688) | (734) | ||||||||
Everi Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,260) | (43,639) | (38,759) | 4,759 | ||||||||
First Watch Restaurant Group, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (122) | (1,892) | (1,959) | (72) | ||||||||
Jack in the Box, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (943) | (74,860) | (82,597) | (9,364) | ||||||||
Krispy Kreme, Inc. | USFF -0.780% | Weekly | MS | 07/08/27 | (4,126) | (59,211) | (64,159) | (5,369) | ||||||||
Las Vegas Sands Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (574) | (33,029) | (32,976) | 6 | ||||||||
Mister Car Wash, Inc. | USFF -0.830% | Weekly | MS | 07/06/26 | (6,945) | (89,572) | (59,866) | 29,874 | ||||||||
Norwegian Cruise Line Holdings Ltd. (Bermuda) | USFF -0.830% | Weekly | MS | 07/08/27 | (4,511) | (75,434) | (60,673) | 14,805 | ||||||||
Red Rock Resorts, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (5,275) | (223,741) | (235,107) | (16,139) | ||||||||
Service Corp. International | USFF -0.250% | Weekly | MS | 01/10/28 | (303) | (20,305) | (20,840) | (631) | ||||||||
Shake Shack, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (1,556) | (113,307) | (86,342) | 26,352 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Services — (continued) | ||||||||||||||||
Strategic Education, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (18) | $ (1,598) | $ (1,617) | $ (60) | ||||||||
Stride, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (619) | (22,037) | (24,296) | (2,517) | ||||||||
Sweetgreen, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (1,671) | (16,595) | (13,101) | 3,501 | ||||||||
Target Hospitality Corp. | USFF -1.230% | Weekly | MS | 07/08/27 | (3,489) | (47,695) | (45,845) | 1,435 | ||||||||
Wynn Resorts Ltd. | USFF -0.250% | Weekly | MS | 01/10/28 | (493) | (48,462) | (55,172) | (8,467) | ||||||||
(63,468) | (2,628,303) | (2,574,306) | 33,419 | |||||||||||||
Consumer Staples Distribution & Retail | ||||||||||||||||
BJ's Wholesale Club Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (213) | (16,066) | (16,203) | (270) | ||||||||
Chefs' Warehouse, Inc. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (1,235) | (41,787) | (42,052) | (381) | ||||||||
Dollar General Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,922) | (396,550) | (404,504) | (9,061) | ||||||||
Grocery Outlet Holding Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,550) | (109,377) | (100,323) | 8,964 | ||||||||
Kroger Co. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (575) | (28,231) | (28,388) | (864) | ||||||||
SpartanNash Co. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,520) | (80,330) | (62,496) | 17,103 | ||||||||
Sysco Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,683) | (126,207) | (129,978) | (4,119) | ||||||||
Target Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,171) | (191,952) | (193,953) | (2,404) | ||||||||
United Natural Foods, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (4,422) | (177,187) | (116,520) | 60,185 | ||||||||
(17,291) | (1,167,687) | (1,094,417) | 69,153 | |||||||||||||
Energy | ||||||||||||||||
Antero Midstream Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (11,240) | (118,426) | (117,908) | 140 | ||||||||
Archrock, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,107) | (22,483) | (20,585) | 1,835 | ||||||||
Bristow Group, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (75) | (1,618) | (1,680) | (66) | ||||||||
Cactus, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (788) | (40,749) | (32,489) | 8,002 | ||||||||
California Resources Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,254) | (59,277) | (48,279) | 10,318 | ||||||||
Cameco Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/08/27 | (12,369) | (321,258) | (323,697) | (4,421) | ||||||||
Chord Energy Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,382) | (513,054) | (455,217) | 35,140 | ||||||||
Civitas Resources, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,903) | (123,353) | (130,051) | (17,785) | ||||||||
Clean Energy Fuels Corp. | USFF -0.257% | Weekly | MS | 01/07/27 | (6,542) | (31,509) | (28,523) | 2,860 | ||||||||
Core Laboratories NV (Netherlands) | USFF -0.250% | Weekly | MS | 07/06/26 | (2,566) | (72,020) | (56,580) | 15,126 | ||||||||
Delek US Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,596) | (61,155) | (59,578) | 1,142 | ||||||||
Denison Mines Corp. (Canada) | USFF -0.930% | Weekly | MS | 01/07/27 | (35,423) | (42,253) | (38,611) | 3,524 | ||||||||
Diamond Offshore Drilling, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (7,556) | (82,883) | (90,974) | (8,322) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Energy — (continued) | ||||||||||||||||
Diamondback Energy, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,294) | $(611,465) | $(580,420) | $ 21,212 | ||||||||
DT Midstream, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,233) | (160,760) | (159,613) | (910) | ||||||||
Earthstone Energy, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (10,716) | (157,978) | (139,415) | 18,121 | ||||||||
Enerflex Ltd. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (143) | (859) | (852) | 3 | ||||||||
Energy Fuels, Inc. (Canada) | USFF -1.280% | Weekly | MS | 01/10/28 | (126) | (693) | (703) | (12) | ||||||||
Excelerate Energy, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (937) | (26,379) | (20,745) | 5,639 | ||||||||
Kinetik Holdings, Inc. | USFF -0.830% | Weekly | MS | 01/07/27 | (3,320) | (120,966) | (103,916) | 10,995 | ||||||||
Laredo Petroleum, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (246) | (18,777) | (11,203) | 7,522 | ||||||||
Magnolia Oil & Gas Corp., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (1,348) | (28,936) | (29,494) | (639) | ||||||||
Marathon Oil Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (32,410) | (775,134) | (776,544) | (3,556) | ||||||||
Matador Resources Co | USFF -0.250% | Weekly | MS | 01/10/28 | (1,211) | (60,417) | (57,704) | 2,126 | ||||||||
New Fortress Energy, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (15,372) | (588,018) | (452,398) | 116,241 | ||||||||
NexGen Energy Ltd. (Canada) | USFF -0.250% | Weekly | MS | 01/07/27 | (9,307) | (40,628) | (35,646) | 4,843 | ||||||||
NextDecade Corp. | USFF -0.736% | Weekly | MS | 01/10/28 | (366) | (1,616) | (1,819) | (207) | ||||||||
Noble Corp. PLC (United Kingdom) | USFF -0.250% | Weekly | MS | 01/07/27 | (1,980) | (69,737) | (78,151) | (9,564) | ||||||||
Northern Oil and Gas, Inc. | USFF -0.580% | Weekly | MS | 01/07/27 | (3,284) | (102,196) | (99,669) | 422 | ||||||||
NOV, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,227) | (27,413) | (22,712) | 4,502 | ||||||||
Oceaneering International, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,010) | (12,402) | (17,806) | (5,525) | ||||||||
PDC Energy, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,127) | (211,371) | (200,691) | 8,123 | ||||||||
Permian Resources Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (5,826) | (55,866) | (61,173) | (6,265) | ||||||||
Pioneer Natural Resources Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,144) | (234,876) | (233,651) | (1,154) | ||||||||
ProFrac Holding Corp., Class A | USFF -1.130% | Weekly | MS | 07/08/27 | (2,670) | (57,394) | (33,829) | 23,405 | ||||||||
ProPetro Holding Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,109) | (49,541) | (43,924) | 5,479 | ||||||||
Ranger Oil Corp., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (3,754) | (142,696) | (153,313) | (11,698) | ||||||||
Schlumberger N. V. (Curacao) | USFF -0.250% | Weekly | MS | 01/10/28 | (3,579) | (204,584) | (175,729) | 30,190 | ||||||||
Select Energy Services, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (3,203) | (22,839) | (22,293) | 473 | ||||||||
SFL Corp. Ltd. (Bermuda) | USFF -0.250% | Weekly | MS | 01/10/28 | (2,106) | (20,836) | (20,007) | 457 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Energy — (continued) | ||||||||||||||||
SilverBow Resources, Inc. | USFF -0.630% | Weekly | MS | 07/08/27 | (1,772) | $ (74,324) | $ (40,490) | $ 33,626 | ||||||||
Targa Resources Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,698) | (196,083) | (196,819) | (2,427) | ||||||||
TC Energy Corp. (Canada) | USFF -0.250% | Weekly | MS | 01/07/27 | (6,424) | (327,928) | (249,958) | 64,908 | ||||||||
Tellurian, Inc. | USFF -0.782% | Weekly | MS | 07/06/26 | (24,696) | (81,156) | (30,376) | 50,579 | ||||||||
Transocean Ltd. (Switzerland) | USFF -0.250% | Weekly | MS | 01/10/28 | (12,172) | (81,224) | (77,414) | 3,584 | ||||||||
Uranium Energy Corp. | USFF -0.652% | Weekly | MS | 07/06/26 | (5,853) | (27,618) | (16,857) | 11,368 | ||||||||
Williams Cos., Inc. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (12,966) | (397,655) | (387,165) | 3,405 | ||||||||
World Fuel Services Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (5,865) | (148,225) | (149,851) | (3,889) | ||||||||
(282,295) | (6,628,628) | (6,086,522) | 428,870 | |||||||||||||
Financial Services | ||||||||||||||||
Avantax, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (965) | (21,625) | (25,399) | (4,041) | ||||||||
Coinbase Global, Inc., Class A | USFF -4.780% | Weekly | MS | 07/08/27 | (358) | (32,897) | (24,190) | 8,615 | ||||||||
Donnelley Financial Solutions, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (384) | (16,554) | (15,690) | 784 | ||||||||
Moody's Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (187) | (60,776) | (57,226) | 4,635 | ||||||||
Morningstar, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (117) | (24,268) | (23,755) | 446 | ||||||||
Paymentus Holdings, Inc., Class A | USFF -0.730% | Weekly | MS | 01/07/27 | (110) | (2,572) | (975) | 6,903 | ||||||||
WisdomTree, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (3,990) | (23,613) | (23,381) | (243) | ||||||||
(6,111) | (182,305) | (170,616) | 17,099 | |||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||
B&G Foods, Inc. | USFF -2.230% | Weekly | MS | 01/05/26 | (2,849) | (76,363) | (44,245) | 26,214 | ||||||||
Boston Beer Co., Inc. (The), Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (50) | (16,307) | (16,435) | (174) | ||||||||
Brown-Forman Corp., Class B | USFF -0.250% | Weekly | MS | 01/10/28 | (1,192) | (75,185) | (76,610) | (1,635) | ||||||||
Darling Ingredients, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (6,954) | (517,770) | (406,114) | 110,073 | ||||||||
Freshpet, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (570) | (92,971) | (37,728) | 60,683 | ||||||||
Hain Celestial Group, Inc. (The) | USFF -0.250% | Weekly | MS | 07/08/27 | (10,890) | (205,922) | (186,763) | 18,584 | ||||||||
Hormel Foods Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,082) | (123,374) | (122,910) | 34 | ||||||||
Hostess Brands, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (775) | (19,905) | (19,282) | 565 | ||||||||
Ingredion, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (614) | (60,501) | (62,462) | (3,399) | ||||||||
J & J Snack Foods Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (829) | (118,223) | (122,874) | (6,849) | ||||||||
McCormick & Co., Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (441) | (39,747) | (36,696) | 2,706 | ||||||||
Mission Produce, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (653) | (9,598) | (7,255) | 2,331 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Food, Beverage & Tobacco — (continued) | ||||||||||||||||
Mondelez International, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (1,766) | $ (121,896) | $ (123,126) | $ (2,340) | ||||||||
Monster Beverage Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (12,164) | (626,067) | (656,978) | (33,104) | ||||||||
National Beverage Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (773) | (38,623) | (40,753) | (2,318) | ||||||||
Simply Good Foods Co. (The) | USFF -0.250% | Weekly | MS | 07/06/26 | (2,969) | (114,377) | (118,077) | (4,019) | ||||||||
Sovos Brands, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (245) | (3,751) | (4,087) | (346) | ||||||||
Tyson Foods, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (5,646) | (344,512) | (334,921) | 6,409 | ||||||||
Universal Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,249) | (69,567) | (66,060) | 463 | ||||||||
Utz Brands, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (3,871) | (76,662) | (63,755) | 11,710 | ||||||||
(57,582) | (2,751,321) | (2,547,131) | 185,588 | |||||||||||||
Health Care Equipment & Services | ||||||||||||||||
AdaptHealth Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (7,711) | (176,385) | (95,848) | 80,657 | ||||||||
Agiliti, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,625) | (29,705) | (25,967) | 3,658 | ||||||||
agilon health, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,466) | (51,691) | (58,567) | (8,411) | ||||||||
Alphatec Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (2,976) | (39,331) | (46,426) | (7,810) | ||||||||
American Well Corp., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (499) | (1,135) | (1,178) | (46) | ||||||||
AmerisourceBergen Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (187) | (29,777) | (29,941) | (247) | ||||||||
Apollo Medical Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (491) | (15,299) | (17,907) | (2,860) | ||||||||
Bausch + Lomb Corp. (Canada) | USFF -5.630% | Weekly | MS | 01/10/28 | (61) | (1,034) | (1,062) | (31) | ||||||||
Becton Dickinson & Co | USFF -0.250% | Weekly | MS | 01/10/28 | (2,359) | (587,466) | (583,947) | (479) | ||||||||
Boston Scientific Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,503) | (214,972) | (225,285) | (11,327) | ||||||||
Castle Biosciences, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (9) | (203) | (204) | (2) | ||||||||
Certara, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (753) | (20,379) | (18,155) | 2,167 | ||||||||
CONMED Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (741) | (83,307) | (76,960) | 5,525 | ||||||||
CorVel Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (92) | (17,286) | (17,506) | (268) | ||||||||
Cutera, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,359) | (60,598) | (32,100) | 28,330 | ||||||||
Doximity, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (2,440) | (98,775) | (79,007) | 19,495 | ||||||||
Enhabit, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (497) | (13,546) | (6,913) | 7,191 | ||||||||
Envista Holdings Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,602) | (64,769) | (65,490) | (902) | ||||||||
Figs, Inc., Class A | USFF -0.250% | Weekly | MS | 07/06/26 | (8,535) | (96,789) | (52,832) | 43,688 | ||||||||
Glaukos Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,382) | (62,732) | (69,238) | (6,801) | ||||||||
Globus Medical, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (1,553) | (114,487) | (87,962) | 27,269 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Health Care Equipment & Services — (continued) | ||||||||||||||||
GoodRx Holdings, Inc., Class A | USFF -0.250% | Weekly | MS | 07/06/26 | (8,206) | $(116,725) | $ (51,287) | $ 65,021 | ||||||||
Guardant Health, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (6,348) | (415,630) | (148,797) | 266,249 | ||||||||
HealthEquity, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (584) | (44,889) | (34,287) | 10,675 | ||||||||
Henry Schein, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (935) | (73,959) | (76,240) | (3,094) | ||||||||
Heska Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (158) | (15,454) | (15,424) | (42) | ||||||||
ICU Medical, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,007) | (337,307) | (331,075) | 5,291 | ||||||||
IDEXX Laboratories, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (288) | (139,729) | (144,023) | (4,684) | ||||||||
Inari Medical, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,667) | (131,822) | (102,921) | 28,062 | ||||||||
Integer Holdings Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,151) | (92,207) | �� | (89,202) | 2,571 | |||||||
Intuitive Surgical, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,291) | (552,222) | (585,282) | (34,601) | ||||||||
LeMaitre Vascular, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (43) | (2,181) | (2,213) | (36) | ||||||||
LifeStance Health Group, Inc. | USFF -1.630% | Weekly | MS | 01/07/27 | (4,857) | (36,715) | (36,088) | 359 | ||||||||
Masimo Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,018) | (316,044) | (372,402) | (60,078) | ||||||||
Merit Medical Systems, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (5) | (370) | (370) | — | ||||||||
Mesa Laboratories, Inc. | USFF -0.250% | Weekly | MS | 08/29/25 | (256) | (59,842) | (44,731) | 14,704 | ||||||||
Multiplan Corp. | USFF -0.288% | Weekly | MS | 01/10/28 | (1,282) | (1,373) | (1,359) | 11 | ||||||||
Neogen Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (6,681) | (117,678) | (123,732) | (6,561) | ||||||||
NeoGenomics, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (4,770) | (152,873) | (83,046) | 70,188 | ||||||||
Nevro Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,039) | (80,743) | (37,560) | 42,958 | ||||||||
Novocure Ltd. (Jersey) | USFF -0.250% | Weekly | MS | 01/10/28 | (2,444) | (170,405) | (146,982) | 22,947 | ||||||||
Nutex Health, Inc. | USFF -15.874% | Weekly | MS | 01/10/28 | (10) | (10) | (10) | — | ||||||||
NuVasive, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (3,515) | (155,604) | (145,205) | 9,866 | ||||||||
Omnicell, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (5,989) | (525,667) | (351,375) | 172,065 | ||||||||
Outset Medical, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,125) | (72,779) | (39,100) | 33,477 | ||||||||
Owens & Minor, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (4,379) | (144,624) | (63,714) | 80,506 | ||||||||
Paragon 28, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (385) | (6,567) | (6,572) | (23) | ||||||||
Patterson Cos., Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,447) | (42,185) | (38,736) | 3,236 | ||||||||
Pediatrix Medical Group, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,226) | (28,483) | (18,280) | 10,124 | ||||||||
Phreesia, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (573) | (32,139) | (18,502) | 13,677 | ||||||||
Progyny, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (6,083) | (265,795) | (195,386) | 69,589 | ||||||||
Quest Diagnostics, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,350) | (187,357) | (190,998) | (4,163) | ||||||||
QuidelOrtho Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (6,781) | (574,499) | (604,119) | (32,406) | ||||||||
RadNet, Inc. | USFF -0.250% | Weekly | MS | 08/29/25 | (3,570) | (68,463) | (89,357) | (21,179) | ||||||||
ResMed, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,815) | (408,237) | (397,467) | 8,605 | ||||||||
Schrodinger, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (5,196) | (242,588) | (136,811) | 104,588 | ||||||||
Select Medical Holdings Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (7,661) | (196,105) | (198,037) | (4,464) | ||||||||
Simulations Plus, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (84) | (3,546) | (3,691) | (154) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Health Care Equipment & Services — (continued) | ||||||||||||||||
STAAR Surgical Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,759) | $ (107,333) | $ (112,488) | $ (5,454) | ||||||||
STERIS PLC (Ireland) | USFF -0.250% | Weekly | MS | 07/06/26 | (1,248) | (242,296) | (238,717) | 2,348 | ||||||||
Surgery Partners, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,756) | (87,836) | (60,529) | 27,237 | ||||||||
Tandem Diabetes Care, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (3,300) | (194,443) | (134,013) | 59,887 | ||||||||
Teleflex, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (209) | (52,058) | (52,942) | (1,029) | ||||||||
Tenet Healthcare Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,615) | (77,318) | (95,963) | (19,950) | ||||||||
US Physical Therapy, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (756) | (76,166) | (74,020) | 1,020 | ||||||||
Varex Imaging Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (658) | (12,053) | (11,969) | 51 | ||||||||
Veeva Systems, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (85) | (15,313) | (15,622) | (351) | ||||||||
(152,446) | (8,457,298) | (7,313,139) | 1,105,839 | |||||||||||||
Household & Personal Products | ||||||||||||||||
Beauty Health Co. (The) | USFF -0.250% | Weekly | MS | 07/08/27 | (5,977) | (70,979) | (75,490) | (4,843) | ||||||||
BellRing Brands, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,743) | (98,845) | (127,262) | (29,565) | ||||||||
Central Garden & Pet Co., Class A | USFF -0.250% | Weekly | MS | 07/06/26 | (1,532) | (61,951) | (59,855) | 1,910 | ||||||||
Colgate-Palmolive Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,212) | (237,432) | (241,382) | (4,894) | ||||||||
Edgewell Personal Care Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (4,081) | (163,485) | (173,116) | (11,739) | ||||||||
Energizer Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,376) | (89,573) | (82,447) | 2,607 | ||||||||
Estee Lauder Cos., Inc. (The), Class A | USFF +0.250% | Weekly | MS | 01/10/28 | (2,024) | (524,115) | (498,835) | 22,592 | ||||||||
Inter Parfums, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (746) | (68,982) | (106,111) | (40,764) | ||||||||
Olaplex Holdings, Inc. | USFF -0.260% | Weekly | MS | 07/06/26 | (620) | (17,121) | (2,647) | 14,426 | ||||||||
Reynolds Consumer Products, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,266) | (67,741) | (62,315) | 4,356 | ||||||||
WD-40 Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (307) | (56,846) | (54,661) | 1,583 | ||||||||
(26,884) | (1,457,070) | (1,484,121) | (44,331) | |||||||||||||
Materials | ||||||||||||||||
Agnico Eagle Mines Ltd. (Canada) | USFF -0.250% | Weekly | MS | 01/07/27 | (3,461) | (182,291) | (176,407) | 322 | ||||||||
Alcoa Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,945) | (104,368) | (82,779) | 25,909 | ||||||||
Algoma Steel Group, Inc. (Canada) | USFF -2.830% | Weekly | MS | 01/10/28 | (5,076) | (40,092) | (41,014) | (1,152) | ||||||||
Amcor PLC (Jersey) | USFF -0.250% | Weekly | MS | 01/10/28 | (8,316) | (91,474) | (94,636) | (3,683) | ||||||||
Arconic Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (4,236) | (117,238) | (111,110) | 5,657 | ||||||||
Ashland, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,268) | (239,211) | (232,946) | 4,816 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Materials — (continued) | ||||||||||||||||
Axalta Coating Systems Ltd. (Bermuda) | USFF -0.250% | Weekly | MS | 07/06/26 | (2,019) | $ (64,080) | $ (61,156) | $ 2,663 | ||||||||
Balchem Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (849) | (113,644) | (107,382) | 5,390 | ||||||||
Bioceres Crop Solutions Corp. (Cayman Islands) | USFF -6.980% | Weekly | MS | 07/08/27 | (169) | (1,969) | (1,962) | 1 | ||||||||
Cabot Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,954) | (216,739) | (226,395) | (13,100) | ||||||||
Celanese Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,855) | (533,841) | (528,661) | 3,690 | ||||||||
Century Aluminum Co. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,140) | (27,268) | (31,400) | (4,326) | ||||||||
Chase Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (26) | (2,511) | (2,723) | (219) | ||||||||
Coeur Mining, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (87,585) | (397,469) | (349,464) | 45,697 | ||||||||
Compass Minerals International, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (126) | (8,165) | (4,321) | 4,058 | ||||||||
Corteva, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (8,425) | (522,409) | (508,112) | 11,731 | ||||||||
Crown Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,347) | (193,712) | (194,120) | (1,697) | ||||||||
Element Solutions, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,736) | (35,331) | (33,522) | 1,654 | ||||||||
Equinox Gold Corp. (Canada) | USFF -0.680% | Weekly | MS | 08/29/25 | (31,475) | (236,782) | (162,096) | 73,525 | ||||||||
ERO Copper Corp. (Canada) | USFF -0.580% | Weekly | MS | 01/10/28 | (72) | (1,190) | (1,270) | (83) | ||||||||
First Majestic Silver Corp. (Canada) | USFF -0.680% | Weekly | MS | 01/10/28 | (6,207) | (41,612) | (44,752) | (3,257) | ||||||||
Fortuna Silver Mines, Inc. (Canada) | USFF -0.871% | Weekly | MS | 01/07/27 | (16,122) | (59,069) | (61,586) | (2,821) | ||||||||
HB Fuller Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (699) | (50,467) | (47,847) | 2,063 | ||||||||
Hecla Mining Co. | USFF -0.250% | Weekly | MS | 07/08/27 | (24,063) | (129,456) | (152,319) | (24,116) | ||||||||
Huntsman Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,784) | (52,406) | (48,810) | 3,335 | ||||||||
Ingevity Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (442) | (31,196) | (31,612) | (502) | ||||||||
International Flavors & Fragrances, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,178) | (387,569) | (384,209) | (184) | ||||||||
Ivanhoe Electric, Inc. | USFF -4.330% | Weekly | MS | 01/10/28 | (26) | (313) | (316) | (4) | ||||||||
Kaiser Aluminum Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (156) | (10,843) | (11,642) | (829) | ||||||||
Kronos Worldwide, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (147) | (1,301) | (1,354) | (56) | ||||||||
Lithium Americas Corp. (Canada) | USFF -6.530% | Weekly | MS | 01/07/27 | (7,074) | (167,367) | (153,930) | 12,931 | ||||||||
Louisiana-Pacific Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (899) | (54,692) | (48,735) | 5,652 | ||||||||
Mativ Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,350) | (58,776) | (50,454) | 5,968 | ||||||||
Methanex Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/08/27 | (2,143) | (91,251) | (99,714) | (9,620) | ||||||||
MP Materials Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,780) | (87,758) | (78,368) | 9,088 | ||||||||
Myers Industries, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (140) | (2,895) | (3,000) | (122) | ||||||||
New Gold, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (1,292) | (1,293) | (1,421) | (132) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Materials — (continued) | ||||||||||||||||
Novagold Resources, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/08/27 | (2,878) | $ (14,404) | $ (17,901) | $ (3,561) | ||||||||
Pan American Silver Corp. (Canada) | USFF -0.980% | Weekly | MS | 07/08/27 | (3,760) | (61,959) | (68,432) | (7,241) | ||||||||
Quaker Chemical Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (218) | (53,317) | (43,153) | 9,571 | ||||||||
Royal Gold, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (768) | (91,064) | (99,617) | (9,336) | ||||||||
RPM International, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (327) | (30,515) | (28,527) | 1,527 | ||||||||
Sandstorm Gold Ltd. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (6,905) | (36,304) | (40,118) | (3,915) | ||||||||
Schnitzer Steel Industries, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (2,091) | (83,792) | (65,030) | 17,447 | ||||||||
Scotts Miracle-Gro Co. (The) | USFF -0.250% | Weekly | MS | 07/06/26 | (1,440) | (216,661) | (100,426) | 115,727 | ||||||||
Sensient Technologies Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,252) | (91,226) | (95,853) | (5,309) | ||||||||
Sigma Lithium Corp. (Canada) | USFF -9.830% | Weekly | MS | 07/08/27 | (3,675) | (112,664) | (138,253) | (26,738) | ||||||||
Sonoco Products Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,789) | (170,156) | (170,129) | (4,843) | ||||||||
Southern Copper Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,046) | (68,203) | (79,757) | (15,382) | ||||||||
SSR Mining, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (5,244) | (73,395) | (79,289) | (6,113) | ||||||||
Stepan Co. | USFF -0.250% | Weekly | MS | 01/05/26 | (293) | (35,702) | (30,188) | 4,762 | ||||||||
Summit Materials, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (615) | (18,707) | (17,521) | 1,149 | ||||||||
TimkenSteel Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (158) | (2,862) | (2,898) | (43) | ||||||||
Trinseo PLC (Ireland) | USFF -0.250% | Weekly | MS | 07/06/26 | (1,452) | (59,704) | (30,274) | 28,273 | ||||||||
Triple Flag Precious Metals Corp. (Canada) | USFF -9.380% | Weekly | MS | 01/10/28 | (6) | (81) | (90) | (8) | ||||||||
Valvoline, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,974) | (68,968) | (68,972) | (273) | ||||||||
West Fraser Timber Co. Ltd. (Canada) | USFF -0.250% | Weekly | MS | 07/08/27 | (339) | (31,795) | (24,150) | 7,251 | ||||||||
Westrock Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,576) | (194,287) | (200,371) | (6,626) | ||||||||
Wheaton Precious Metals Corp. (Canada) | USFF -0.250% | Weekly | MS | 01/07/27 | (285) | (14,615) | (13,726) | 678 | ||||||||
Worthington Industries, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,098) | (61,749) | (70,986) | (11,450) | ||||||||
(286,771) | (5,950,178) | (5,657,206) | 243,794 | |||||||||||||
Media & Entertainment | ||||||||||||||||
Advantage Solutions, Inc. | USFF -0.270% | Weekly | MS | 01/07/27 | (2,572) | (8,848) | (4,064) | 4,764 | ||||||||
Altice USA, Inc., Class A | USFF -0.252% | Weekly | MS | 01/07/27 | (36,134) | (177,901) | (123,578) | 53,826 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Media & Entertainment — (continued) | ||||||||||||||||
AMC Networks, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (1,876) | $ (56,554) | $ (32,980) | $ 23,507 | ||||||||
Angi, Inc. | USFF -1.274% | Weekly | MS | 08/29/25 | (17,853) | (189,987) | (40,526) | 148,931 | ||||||||
Cargurus, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (12,494) | (403,996) | (233,388) | 170,376 | ||||||||
DISH Network Corp., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (37,301) | (705,436) | (348,018) | 355,449 | ||||||||
EW Scripps Co. (The), Class A | USFF -0.250% | Weekly | MS | 08/29/25 | (1,014) | (14,383) | (9,542) | 4,806 | ||||||||
Gray Television, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (4,654) | (102,948) | (40,583) | 61,975 | ||||||||
IAC, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (4,464) | (410,079) | (230,342) | 180,144 | ||||||||
Lions Gate Entertainment Corp., Class B (Canada) | USFF -0.250% | Weekly | MS | 01/07/27 | (7,603) | (81,822) | (78,919) | 1,735 | ||||||||
Live Nation Entertainment, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (5,923) | (411,444) | (414,610) | (4,388) | ||||||||
Madison Square Garden Entertainment Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,679) | (91,817) | (99,179) | (8,329) | ||||||||
Magnite, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (7,134) | (97,471) | (66,061) | 31,138 | ||||||||
Nextdoor Holdings, Inc. | USFF -0.797% | Weekly | MS | 01/10/28 | (343) | (694) | (737) | (45) | ||||||||
Pinterest, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (27,491) | (688,145) | (749,680) | (65,238) | ||||||||
PubMatic, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (579) | (7,707) | (8,002) | (316) | ||||||||
Roku, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,279) | (162,701) | (84,184) | 78,063 | ||||||||
Scholastic Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (605) | (22,886) | (20,703) | 1,976 | ||||||||
Shaw Communications, Inc., Class B (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (23) | (687) | (688) | (2) | ||||||||
Snap, Inc., Class A | USFF -0.250% | Weekly | MS | 07/06/26 | (16,679) | (387,689) | (186,972) | 199,320 | ||||||||
Taboola.com Ltd. (Israel) | USFF -1.080% | Weekly | MS | 01/10/28 | (45) | (120) | (122) | (2) | ||||||||
Vimeo, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,271) | (13,991) | (4,868) | 10,458 | ||||||||
WideOpenWest, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,982) | (37,793) | (21,069) | 16,623 | ||||||||
World Wrestling Entertainment, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (646) | (57,563) | (58,954) | (1,764) | ||||||||
(191,644) | (4,132,662) | (2,857,769) | 1,263,007 | |||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||
10X Genomics, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (3,088) | (269,292) | (172,280) | 98,074 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||||||||
Adaptive Biotechnologies Corp. | USFF -0.250% | Weekly | MS | 08/29/25 | (693) | $ (39,609) | $ (6,119) | $ 33,379 | ||||||||
Akero Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,879) | (85,252) | (71,891) | 13,519 | ||||||||
Amgen, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (183) | (43,988) | (44,240) | (375) | ||||||||
Amylyx Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,239) | (112,938) | (95,032) | 17,591 | ||||||||
Anavex Life Sciences Corp. | USFF -1.130% | Weekly | MS | 01/10/28 | (19) | (162) | (163) | (1) | ||||||||
Apellis Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (590) | (31,415) | (38,916) | (11,459) | ||||||||
Arrowhead Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,363) | (125,271) | (110,820) | 14,101 | ||||||||
Arvinas, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (551) | (48,989) | (15,053) | 34,313 | ||||||||
Aurinia Pharmaceuticals, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/07/27 | (1,663) | (20,843) | (18,226) | 2,845 | ||||||||
Avantor, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,873) | (70,408) | (60,735) | 11,487 | ||||||||
Avid Bioservices, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,999) | (45,941) | (37,501) | 8,068 | ||||||||
Azenta, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,178) | (136,681) | (141,802) | (5,502) | ||||||||
Bio-Rad Laboratories, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (496) | (214,211) | (237,594) | (25,925) | ||||||||
Bio-Techne Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,153) | (85,520) | (85,541) | (270) | ||||||||
Bruker Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (578) | (43,779) | (45,570) | (1,924) | ||||||||
Cassava Sciences, Inc. | USFF -11.480% | Weekly | MS | 01/10/28 | (99) | (2,374) | (2,388) | (21) | ||||||||
Catalent, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (5,628) | (530,501) | (369,816) | 160,661 | ||||||||
Cerevel Therapeutics Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (532) | (12,681) | (12,975) | (329) | ||||||||
Cogent Biosciences, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (93) | (996) | (1,003) | (11) | ||||||||
Crinetics Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (59) | (953) | (948) | 2 | ||||||||
CryoPort, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,429) | (26,092) | (34,296) | (8,450) | ||||||||
Cytek Biosciences, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (4,674) | (56,750) | (42,954) | 13,638 | ||||||||
Cytokinetics, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,158) | (44,748) | (40,750) | 3,897 | ||||||||
Denali Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (643) | (15,321) | (14,815) | 464 | ||||||||
Elanco Animal Health, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (26,481) | (256,162) | (248,921) | 6,526 | ||||||||
Eli Lilly & Co | USFF -0.250% | Weekly | MS | 01/10/28 | (2,655) | (868,969) | (911,780) | (45,610) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||||||||
Enanta Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (29) | $ (1,187) | $ (1,173) | $ 11 | ||||||||
Geron Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,570) | (8,428) | (7,747) | 658 | ||||||||
Ideaya Biosciences, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (167) | (2,537) | (2,293) | 240 | ||||||||
IGM Biosciences, Inc. | USFF -0.730% | Weekly | MS | 01/10/28 | (1) | (15) | (14) | 1 | ||||||||
ImmunityBio, Inc. | USFF -7.080% | Weekly | MS | 01/10/28 | (743) | (1,484) | (1,352) | 128 | ||||||||
Inhibrx, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (7) | (133) | (132) | — | ||||||||
Insmed, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,747) | (69,753) | (63,886) | 5,672 | ||||||||
Intra-Cellular Therapies, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,757) | (91,180) | (95,142) | (4,673) | ||||||||
Ionis Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,964) | (67,956) | (70,193) | (2,427) | ||||||||
IVERIC bio, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,311) | (47,896) | (56,227) | (9,966) | ||||||||
Pacira BioSciences, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (831) | (50,881) | (33,913) | 16,826 | ||||||||
Perrigo Co. PLC (Ireland) | USFF -0.250% | Weekly | MS | 08/29/25 | (5,121) | (217,407) | (183,690) | 28,567 | ||||||||
Phibro Animal Health Corp., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (76) | (1,140) | (1,164) | (27) | ||||||||
Pliant Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,028) | (19,692) | (27,345) | (7,807) | ||||||||
Prestige Consumer Healthcare, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (523) | (32,077) | (32,755) | (779) | ||||||||
Prometheus Biosciences, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (10) | (1,087) | (1,073) | 11 | ||||||||
Prothena Corp. PLC (Ireland) | USFF -0.250% | Weekly | MS | 07/08/27 | (1,057) | (63,333) | (51,233) | 13,045 | ||||||||
PTC Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (368) | (16,369) | (17,826) | (1,770) | ||||||||
RAPT Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (256) | (4,837) | (4,698) | 126 | ||||||||
Regeneron Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (138) | (112,308) | (113,390) | (1,395) | ||||||||
Relay Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,312) | (21,806) | (21,609) | 113 | ||||||||
Repligen Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (174) | (33,842) | (29,295) | 4,663 | ||||||||
Replimune Group, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (25) | (441) | (441) | (2) | ||||||||
Revance Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,326) | (28,747) | (42,710) | (14,384) | ||||||||
Sotera Health Co. | USFF -0.250% | Weekly | MS | 07/06/26 | (11,292) | (178,817) | (202,240) | (25,283) | ||||||||
SpringWorks Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (646) | (36,653) | (16,628) | 20,328 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||||||||
Supernus Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,544) | $ (47,858) | $ (55,939) | $ (8,886) | ||||||||
Syneos Health, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (485) | (35,354) | (17,276) | 17,982 | ||||||||
Twist Bioscience Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (23) | (352) | (347) | 5 | ||||||||
Ultragenyx Pharmaceutical, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,054) | (56,085) | (42,265) | 13,664 | ||||||||
Vaxcyte, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,138) | (88,926) | (80,132) | 8,546 | ||||||||
Ventyx Biosciences, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (850) | (25,152) | (28,475) | (3,393) | ||||||||
Verve Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (12) | (176) | (173) | 3 | ||||||||
Viridian Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (695) | (19,377) | (17,681) | 1,642 | ||||||||
Xencor, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (877) | (25,985) | (24,460) | 1,454 | ||||||||
Xenon Pharmaceuticals, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (733) | (25,580) | (26,234) | (726) | ||||||||
(116,886) | (4,624,697) | (4,233,280) | 370,855 | |||||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Advanced Micro Devices, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,472) | (235,911) | (242,281) | (19,755) | ||||||||
Alpha & Omega Semiconductor Ltd. (Bermuda) | USFF -0.250% | Weekly | MS | 01/10/28 | (633) | (17,060) | (17,059) | (47) | ||||||||
Ambarella, Inc. (Cayman Islands) | USFF -0.250% | Weekly | MS | 01/07/27 | (2,286) | (183,878) | (176,982) | 6,383 | ||||||||
Amkor Technology, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (836) | (23,782) | (21,753) | 1,903 | ||||||||
Credo Technology Group Holding Ltd. (Cayman Islands) | USFF -0.250% | Weekly | MS | 01/10/28 | (755) | (6,886) | (7,112) | (245) | ||||||||
Entegris, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,448) | (299,631) | (282,770) | 14,284 | ||||||||
FormFactor, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,071) | (69,094) | (65,961) | 2,894 | ||||||||
Ichor Holdings Ltd. (Cayman Islands) | USFF -0.250% | Weekly | MS | 01/07/27 | (1,916) | (60,294) | (62,730) | (2,655) | ||||||||
Intel Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (5,479) | (180,482) | (178,999) | (15,148) | ||||||||
MACOM Technology Solutions Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (319) | (22,681) | (22,598) | 20 | ||||||||
Marvell Technology, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,176) | (93,977) | (94,221) | (506) | ||||||||
MKS Instruments, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (5,088) | (427,471) | (450,899) | (27,329) | ||||||||
NVIDIA Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (666) | (175,802) | (184,995) | (26,278) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Semiconductors & Semiconductor Equipment — (continued) | ||||||||||||||||
Onto Innovation, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,012) | $ (84,270) | $ (88,935) | $ (4,899) | ||||||||
Power Integrations, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,225) | (101,713) | (103,684) | (2,332) | ||||||||
QUALCOMM, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,877) | (233,396) | (239,468) | (6,643) | ||||||||
SiTime Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,392) | (143,011) | (197,984) | (56,396) | ||||||||
SMART Global Holdings, Inc. (Cayman Islands) | USFF -0.250% | Weekly | MS | 07/06/26 | (6,454) | (166,919) | (111,267) | 55,177 | ||||||||
Teradyne, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (993) | (107,615) | (106,757) | 409 | ||||||||
Texas Instruments, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,172) | (391,621) | (404,014) | (13,411) | ||||||||
Ultra Clean Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,308) | (42,275) | (43,373) | (1,216) | ||||||||
Wolfspeed, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (895) | (57,621) | (58,130) | (670) | ||||||||
(45,473) | (3,125,390) | (3,161,972) | (96,460) | |||||||||||||
Software & Services | ||||||||||||||||
ACI Worldwide, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (8,059) | (205,978) | (217,432) | (12,029) | ||||||||
Alarm.com Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (3,171) | (195,748) | (159,438) | 35,749 | ||||||||
Alkami Technology, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (154) | (1,888) | (1,950) | (67) | ||||||||
Altair Engineering, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (410) | (19,958) | (29,565) | (10,872) | ||||||||
Appfolio, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (258) | (36,166) | (32,116) | 3,974 | ||||||||
Appian Corp., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (2,432) | (91,937) | (107,932) | (16,341) | ||||||||
AppLovin Corp., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (23,426) | (633,005) | (368,959) | 262,310 | ||||||||
Aspen Technology, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (102) | (25,987) | (23,345) | 2,668 | ||||||||
AvePoint, Inc. | USFF -0.837% | Weekly | MS | 01/10/28 | (196) | (800) | (808) | (10) | ||||||||
Bentley Systems, Inc., Class B | USFF -0.250% | Weekly | MS | 01/10/28 | (2,704) | (111,125) | (116,245) | (5,430) | ||||||||
BigCommerce Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (6,179) | (106,960) | (55,240) | 51,422 | ||||||||
BILL Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,115) | (244,826) | (252,751) | (9,681) | ||||||||
Black Knight, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,633) | (392,058) | (381,795) | 9,168 | ||||||||
Blackbaud, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,096) | (70,004) | (75,953) | (6,239) | ||||||||
Braze, Inc., Class A | USFF -1.280% | Weekly | MS | 07/08/27 | (2,230) | (75,253) | (77,091) | (2,342) | ||||||||
C3.ai, Inc., Class A | USFF -7.680% | Weekly | MS | 07/08/27 | (2,250) | (31,891) | (75,532) | (56,602) | ||||||||
CGI, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (129) | (11,988) | (12,419) | (464) | ||||||||
Clear Secure, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (2,628) | (66,079) | (68,775) | (2,880) | ||||||||
Clearwater Analytics Holdings, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (427) | (8,872) | (6,815) | 2,054 | ||||||||
Confluent, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (4,187) | (173,064) | (100,781) | 73,359 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Software & Services — (continued) | ||||||||||||||||
Datadog, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (4,742) | $(342,931) | $(344,554) | $ (4,817) | ||||||||
Digital Turbine, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (4,231) | (74,777) | (52,295) | 22,273 | ||||||||
Envestnet, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (4,955) | (337,151) | (290,710) | 45,403 | ||||||||
Everbridge, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,116) | (133,865) | (73,362) | 60,532 | ||||||||
ForgeRock, Inc., Class A | USFF -0.730% | Weekly | MS | 01/10/28 | (1,061) | (21,335) | (21,857) | (622) | ||||||||
Gitlab, Inc., Class A | USFF -0.630% | Weekly | MS | 01/10/28 | (3,184) | (110,083) | (109,179) | 597 | ||||||||
Globant SA (Luxembourg) | USFF -0.250% | Weekly | MS | 07/08/27 | (647) | (117,616) | (106,114) | 11,691 | ||||||||
GoDaddy, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (1,305) | (106,844) | (101,425) | 5,030 | ||||||||
Grid Dynamics Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,475) | (17,555) | (16,903) | 588 | ||||||||
HashiCorp, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (613) | (17,090) | (17,955) | (913) | ||||||||
Intuit, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (941) | (402,525) | (419,526) | (18,110) | ||||||||
Jamf Holding Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (3,667) | (123,153) | (71,213) | 51,742 | ||||||||
Lightspeed Commerce, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/06/26 | (11,930) | (367,355) | (181,097) | 185,230 | ||||||||
LiveRamp Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (2,697) | (102,120) | (59,145) | 42,679 | ||||||||
MeridianLink, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (83) | (1,342) | (1,436) | (97) | ||||||||
nCino, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (742) | (41,817) | (18,387) | 24,120 | ||||||||
Okta, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (58) | (13,863) | (5,002) | 8,823 | ||||||||
Olo, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (6,791) | (62,165) | (55,415) | 6,571 | ||||||||
Open Text Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/08/27 | (1,770) | (59,423) | (68,233) | (9,425) | ||||||||
Oracle Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,590) | (389,641) | (426,503) | (41,116) | ||||||||
Pegasystems, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (556) | (21,810) | (26,955) | (5,687) | ||||||||
Perficient, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (175) | (25,990) | (12,633) | 15,687 | ||||||||
Qualtrics International, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (3,925) | (86,110) | (69,983) | 15,071 | ||||||||
Rapid7, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,230) | (85,332) | (56,469) | 28,624 | ||||||||
RingCentral, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (3,814) | (391,938) | (116,975) | 273,853 | ||||||||
SentinelOne, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (915) | (30,690) | (14,969) | 15,635 | ||||||||
Shopify, Inc., Class A (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (3,892) | (164,519) | (186,582) | (25,740) | ||||||||
Smartsheet, Inc., Class A | USFF -0.250% | Weekly | MS | 07/06/26 | (542) | (40,301) | (25,908) | 19,086 | ||||||||
Snowflake, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (3,116) | (427,293) | (480,768) | (58,081) | ||||||||
Thoughtworks Holding, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (627) | (5,206) | (4,615) | 577 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Software & Services — (continued) | ||||||||||||||||
Tyler Technologies, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (21) | $ (7,376) | $ (7,447) | $ (91) | ||||||||
Unity Software, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,268) | (92,368) | (106,014) | (14,045) | ||||||||
Verint Systems, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,225) | (44,685) | (45,619) | (1,066) | ||||||||
VMware, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (687) | (84,081) | (85,772) | (1,965) | ||||||||
Zoom Video Communications, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (7,583) | (568,540) | (559,929) | 7,025 | ||||||||
Zuora, Inc., Class A | USFF -0.250% | Weekly | MS | 08/29/25 | (1,331) | (20,543) | (13,150) | 8,230 | ||||||||
(160,291) | (7,443,020) | (6,419,041) | 985,039 | |||||||||||||
Technology Hardware & Equipment | ||||||||||||||||
ADTRAN Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (6,084) | (116,519) | (96,492) | 18,868 | ||||||||
Advanced Energy Industries, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (351) | (34,508) | (34,398) | (255) | ||||||||
Arista Networks, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,900) | (269,932) | (318,934) | (55,577) | ||||||||
Avid Technology, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (319) | (9,367) | (10,202) | (861) | ||||||||
Avnet, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,355) | (105,963) | (106,446) | (1,416) | ||||||||
Belden, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (272) | (19,004) | (23,601) | (5,139) | ||||||||
Benchmark Electronics, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,639) | (41,342) | (38,828) | 1,700 | ||||||||
Calix, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (431) | (31,836) | (23,097) | 8,697 | ||||||||
Ciena Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,552) | (174,362) | (186,551) | (12,675) | ||||||||
Clearfield, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (670) | (37,329) | (31,209) | 6,016 | ||||||||
Cognex Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (792) | (53,497) | (39,244) | 14,005 | ||||||||
Coherent Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (626) | (21,305) | (23,838) | (2,593) | ||||||||
CommScope Holding Co., Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (24,364) | (300,946) | (155,199) | 146,604 | ||||||||
Corning, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,926) | (137,551) | (138,509) | (2,405) | ||||||||
Corsair Gaming, Inc. | USFF -0.580% | Weekly | MS | 07/06/26 | (1,677) | (39,447) | (30,773) | 8,760 | ||||||||
CTS Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (10) | (481) | (495) | (15) | ||||||||
ePlus, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (355) | (17,030) | (17,409) | (427) | ||||||||
Harmonic, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (8,718) | (124,552) | (127,196) | (3,041) | ||||||||
Insight Enterprises, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (286) | (29,084) | (40,887) | (13,166) | ||||||||
Itron, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,087) | (57,353) | (60,274) | (3,081) | ||||||||
Jabil, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (677) | (56,287) | (59,684) | (3,554) | ||||||||
Juniper Networks, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (14,559) | (453,081) | (501,121) | (52,000) | ||||||||
Knowles Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,148) | (19,625) | (19,516) | 54 | ||||||||
Littelfuse, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (136) | (35,176) | (36,460) | (1,823) | ||||||||
Lumentum Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,622) | (155,757) | (141,614) | 13,708 | ||||||||
National Instruments Corp. | USFF -0.250% | Weekly | MS | 08/29/25 | (1,398) | (60,847) | (73,269) | (17,002) | ||||||||
Novanta, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/06/26 | (1,202) | (187,196) | (191,226) | (4,716) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Technology Hardware & Equipment — (continued) | ||||||||||||||||
PAR Technology Corp. | USFF -0.630% | Weekly | MS | 01/07/27 | (119) | $ (4,807) | $ (4,041) | $ 905 | ||||||||
PC Connection, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (73) | (3,135) | (3,282) | (157) | ||||||||
Plexus Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (639) | (54,786) | (62,347) | (7,790) | ||||||||
Rogers Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,570) | (335,729) | (256,585) | 75,571 | ||||||||
ScanSource, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (143) | (4,369) | (4,353) | 4 | ||||||||
Stratasys Ltd. (Israel) | USFF -0.250% | Weekly | MS | 01/07/27 | (3,077) | (59,093) | (50,863) | 8,014 | ||||||||
TD SYNNEX Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (869) | (91,896) | (84,111) | 7,029 | ||||||||
Trimble, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (153) | (7,907) | (8,020) | (135) | ||||||||
TTM Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,594) | (41,539) | (34,993) | 6,430 | ||||||||
Ubiquiti, Inc. | USFF -0.580% | Weekly | MS | 01/07/27 | (518) | (147,420) | (140,735) | 5,553 | ||||||||
Viasat, Inc. | USFF -0.250% | Weekly | MS | 08/29/25 | (4,207) | (181,765) | (142,365) | 39,397 | ||||||||
Viavi Solutions, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (751) | (12,942) | (8,133) | 4,773 | ||||||||
Vontier Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (8,855) | (187,865) | (242,096) | (56,977) | ||||||||
Western Digital Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (12,737) | (536,930) | (479,803) | 55,764 | ||||||||
(117,461) | (4,259,560) | (4,048,199) | 177,047 | |||||||||||||
Telecommunication Services | ||||||||||||||||
ATN International, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (16) | (639) | (655) | (21) | ||||||||
Cogent Communications Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (898) | (56,270) | (57,221) | (1,504) | ||||||||
Frontier Communications Parent, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (16,751) | (434,997) | (381,420) | 52,346 | ||||||||
Globalstar, Inc. | USFF -0.278% | Weekly | MS | 01/05/26 | (45,278) | (72,251) | (52,522) | 19,587 | ||||||||
Gogo, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,427) | (38,623) | (35,191) | 3,342 | ||||||||
Rogers Communications, Inc., Class B (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (1,055) | (50,312) | (48,910) | 864 | ||||||||
Shenandoah Telecommunications Co. | USFF -0.250% | Weekly | MS | 08/29/25 | (1,244) | (38,184) | (23,661) | 7,348 | ||||||||
(67,669) | (691,276) | (599,580) | 81,962 | |||||||||||||
Transportation | ||||||||||||||||
Air Transport Services Group, Inc. | USFF -0.250% | Weekly | MS | 08/29/25 | (3,421) | (88,163) | (71,259) | 16,658 | ||||||||
Allegiant Travel Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,021) | (113,484) | (93,912) | 19,407 | ||||||||
Canadian Pacific Railway Ltd. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (712) | (55,240) | (54,781) | 132 | ||||||||
FedEx Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,112) | (241,100) | (254,081) | (14,111) | ||||||||
Frontier Group Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (598) | (5,473) | (5,884) | (426) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Transportation — (continued) | ||||||||||||||||
Heartland Express, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,676) | $ (26,837) | $ (26,682) | $ 35 | ||||||||
Knight-Swift Transportation Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,204) | (135,644) | (124,702) | 11,433 | ||||||||
Lyft, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (8,031) | (102,340) | (74,447) | 27,607 | ||||||||
Saia, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (104) | (29,537) | (28,296) | 1,184 | ||||||||
SkyWest, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,623) | (47,548) | (35,982) | 11,466 | ||||||||
Southwest Airlines Co | USFF -0.250% | Weekly | MS | 01/10/28 | (3,069) | (110,771) | (99,865) | 10,069 | ||||||||
Sun Country Airlines Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,972) | (63,232) | (60,926) | 2,085 | ||||||||
United Airlines Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (632) | (32,525) | (27,966) | 4,469 | ||||||||
United Parcel Service, Inc., Class B | USFF -0.250% | Weekly | MS | 01/10/28 | (160) | (30,604) | (31,038) | (465) | ||||||||
Werner Enterprises, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (4,721) | (218,884) | (214,758) | 2,788 | ||||||||
(32,056) | (1,301,382) | (1,204,579) | 92,331 | |||||||||||||
Utilities | ||||||||||||||||
Algonquin Power & Utilities Corp. (Canada) | USFF -0.250% | Weekly | MS | 01/05/26 | (6,795) | (67,424) | (57,078) | 6,864 | ||||||||
Alliant Energy Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,394) | (76,123) | (74,440) | 720 | ||||||||
American Electric Power Co, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,843) | (254,285) | (258,685) | (5,571) | ||||||||
American States Water Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (265) | (22,953) | (23,556) | (667) | ||||||||
Avangrid, Inc. | USFF -0.250% | Weekly | MS | 08/29/25 | (900) | (45,878) | (35,892) | 7,620 | ||||||||
Avista Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,886) | (120,231) | (122,511) | (5,354) | ||||||||
Black Hills Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (772) | (55,842) | (48,713) | 5,037 | ||||||||
CenterPoint Energy, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,243) | (93,543) | (95,539) | (2,401) | ||||||||
CMS Energy Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,194) | (150,966) | (134,668) | 13,202 | ||||||||
Edison International | USFF -0.250% | Weekly | MS | 07/08/27 | (1,305) | (85,819) | (92,120) | (10,633) | ||||||||
Essential Utilities, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,195) | (56,855) | (52,162) | 3,876 | ||||||||
Eversource Energy | USFF -0.250% | Weekly | MS | 01/10/28 | (994) | (77,094) | (77,790) | (1,628) | ||||||||
FirstEnergy Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (4,226) | (170,244) | (169,294) | (458) | ||||||||
Fortis, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/08/27 | (1,439) | (67,486) | (61,201) | 4,621 | ||||||||
NextEra Energy, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,781) | (135,930) | (137,279) | (2,927) | ||||||||
NiSource, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (5,719) | (154,186) | (159,903) | (8,142) | ||||||||
Northwest Natural Holding Co. | USFF -0.250% | Weekly | MS | 08/29/25 | (1,791) | (90,039) | (85,180) | 1,830 | ||||||||
NorthWestern Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,869) | (107,330) | (108,140) | (5,375) | ||||||||
NRG Energy, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (7,240) | (241,732) | (248,260) | (7,202) | ||||||||
OGE Energy Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,187) | (88,874) | (82,362) | 4,460 | ||||||||
ONE Gas, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,913) | (157,733) | (151,567) | 3,167 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Utilities — (continued) | ||||||||||||||||
Ormat Technologies, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (803) | $ (67,872) | $ (68,070) | $ (422) | ||||||||
Pinnacle West Capital Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (652) | (56,373) | (51,664) | 737 | ||||||||
Portland General Electric Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (883) | (44,755) | (43,170) | 165 | ||||||||
PPL Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (574) | (17,705) | (15,951) | 4,000 | ||||||||
Sempra Energy | USFF -0.250% | Weekly | MS | 01/10/28 | (2,488) | (366,519) | (376,086) | (13,547) | ||||||||
Southern Co. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (855) | (59,232) | (59,491) | (424) | ||||||||
Southwest Gas Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (2,964) | (205,473) | (185,102) | 15,854 | ||||||||
TransAlta Corp. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (8) | (70) | (70) | 1 | ||||||||
Unitil Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (103) | (5,617) | (5,875) | (273) | ||||||||
WEC Energy Group, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,271) | (120,449) | (120,478) | (1,486) | ||||||||
Xcel Energy, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,312) | (84,446) | (88,481) | (5,633) | ||||||||
(64,864) | (3,349,078) | (3,290,778) | 11 | |||||||||||||
Total Reference Entity — Short | (74,723,071) | (67,320,210) | 6,770,409 | |||||||||||||
Net Value of Reference Entity | $(57,936,921) | $(49,095,125) | $9,278,143 |
* | Includes $436,347 related to open trades, dividends receivables/payables and swap receivables/payables activities. |
USFF U.S. Fed Funds
Number of Shares | Value | ||
COMMON STOCKS — 45.9% | |||
Automobiles & Components — 0.5% | |||
BorgWarner, Inc.(a) | 17,466 | $ 857,755 | |
General Motors Co.(a) | 36,910 | 1,353,859 | |
2,211,614 | |||
Banks — 0.7% | |||
Bank of America Corp.(a) | 21,391 | 611,783 | |
First Republic Bank | 621 | 8,688 | |
JPMorgan Chase & Co.(a) | 13,053 | 1,700,936 | |
PNC Financial Services Group, Inc. (The)(a) | 3,796 | 482,472 | |
US Bancorp | 5,082 | 183,206 | |
2,987,085 | |||
Capital Goods — 4.2% | |||
3M Co.(a) | 6,506 | 683,846 | |
A. O. Smith Corp.(a) | 7,146 | 494,146 | |
AMETEK, Inc.(a) | 3,386 | 492,087 | |
Boeing Co. (The)(a)* | 892 | 189,488 | |
Caterpillar, Inc.(a) | 6,129 | 1,402,560 | |
Deere & Co.(a) | 644 | 265,895 | |
Eaton Corp. PLC (Ireland) | 2,412 | 413,272 | |
Emerson Electric Co.(a) | 1,504 | 131,059 | |
Fortive Corp.(a) | 1,514 | 103,209 | |
General Dynamics Corp. | 970 | 221,364 | |
General Electric Co.(a) | 12,975 | 1,240,410 | |
Howmet Aerospace, Inc.(a) | 13,474 | 570,893 | |
IDEX Corp.(a) | 1,861 | 429,947 | |
Illinois Tool Works, Inc.(a) | 3,387 | 824,565 | |
Johnson Controls International PLC (Ireland) | 1,774 | 106,830 | |
Lockheed Martin Corp.(a) | 3,369 | 1,592,627 | |
Masco Corp.(a) | 9,224 | 458,617 | |
Northrop Grumman Corp.(a) | 499 | 230,398 | |
PACCAR, Inc.(a) | 15,390 | 1,126,548 | |
Pentair PLC (Ireland) | 14,028 | 775,328 | |
Snap-on, Inc.(a) | 5,953 | 1,469,736 | |
Textron, Inc.(a) | 26,828 | 1,894,862 | |
Trane Technologies PLC (Ireland) | 5,234 | 962,951 | |
TransDigm Group, Inc.(a) | 1,230 | 906,571 | |
United Rentals, Inc.(a) | 426 | 168,594 | |
WW Grainger, Inc.(a) | 1,792 | 1,234,348 | |
Xylem, Inc.(a) | 7,580 | 793,626 | |
19,183,777 | |||
Commercial & Professional Services — 0.9% | |||
Automatic Data Processing, Inc.(a) | 684 | 152,279 | |
Copart, Inc.* | 1,657 | 124,623 | |
Jacobs Solutions, Inc.(a) | 3,542 | 416,221 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Commercial & Professional Services — (Continued) | |||
Leidos Holdings, Inc.(a) | 20,550 | $ 1,891,833 | |
Robert Half International, Inc.(a) | 18,113 | 1,459,364 | |
4,044,320 | |||
Consumer Discretionary Distribution & Retail — 1.8% | |||
Amazon.com, Inc.* | 1,315 | 135,826 | |
AutoZone, Inc.(a)* | 13 | 31,956 | |
Bath & Body Works, Inc.(a) | 16,037 | 586,633 | |
Best Buy Co., Inc.(a) | 1,632 | 127,737 | |
CarMax, Inc.(a)* | 19,758 | 1,270,044 | |
eBay, Inc.(a) | 10,232 | 453,994 | |
Genuine Parts Co.(a) | 4,101 | 686,138 | |
LKQ Corp.(a) | 9,664 | 548,529 | |
Lowe's Cos., Inc.(a) | 4,228 | 845,473 | |
O'Reilly Automotive, Inc.(a)* | 1,020 | 865,960 | |
Ross Stores, Inc.(a) | 10,866 | 1,153,209 | |
Ulta Beauty, Inc.(a)* | 2,932 | 1,599,904 | |
8,305,403 | |||
Consumer Durables & Apparel — 0.7% | |||
DR Horton, Inc.(a) | 4,763 | 465,298 | |
Lennar Corp., Class A | 514 | 54,027 | |
NIKE, Inc., Class B(a) | 4,310 | 528,578 | |
Tapestry, Inc.(a) | 48,467 | 2,089,412 | |
3,137,315 | |||
Consumer Services — 1.5% | |||
Booking Holdings, Inc.(a)* | 178 | 472,129 | |
Las Vegas Sands Corp.(a)* | 3,694 | 212,220 | |
Marriott International, Inc., Class A(a) | 6,025 | 1,000,391 | |
McDonald's Corp.(a) | 5,651 | 1,580,076 | |
MGM Resorts International(a) | 19,032 | 845,402 | |
Starbucks Corp.(a) | 13,079 | 1,361,916 | |
Yum! Brands, Inc.(a) | 11,428 | 1,509,410 | |
6,981,544 | |||
Consumer Staples Distribution & Retail — 0.8% | |||
Kroger Co. (The)(a) | 7,533 | 371,904 | |
Target Corp.(a) | 1,623 | 268,818 | |
Walgreens Boots Alliance, Inc.(a) | 16,392 | 566,835 | |
Walmart, Inc.(a) | 18,062 | 2,663,242 | |
3,870,799 | |||
Energy — 2.5% | |||
APA Corp.(a) | 17,778 | 641,075 | |
Chevron Corp.(a) | 6,751 | 1,101,493 | |
ConocoPhillips (a) | 9,914 | 983,568 | |
Diamondback Energy, Inc.(a) | 496 | 67,044 | |
EOG Resources, Inc.(a) | 6,305 | 722,742 | |
EQT Corp.(a) | 21,605 | 689,416 | |
Exxon Mobil Corp.(a) | 11,333 | 1,242,777 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Energy — (Continued) | |||
Halliburton Co.(a) | 26,354 | $ 833,841 | |
Kinder Morgan, Inc.(a) | 63,194 | 1,106,527 | |
Marathon Petroleum Corp.(a) | 7,557 | 1,018,910 | |
Occidental Petroleum Corp.(a) | 2,543 | 158,760 | |
ONEOK, Inc.(a) | 12,484 | 793,233 | |
Pioneer Natural Resources Co.(a) | 4,931 | 1,007,107 | |
Valero Energy Corp.(a) | 6,692 | 934,203 | |
11,300,696 | |||
Equity Real Estate Investment Trusts (REITs) — 2.3% | |||
Alexandria Real Estate Equities, Inc.(a) | 2,965 | 372,374 | |
American Tower Corp.(a) | 1,026 | 209,653 | |
AvalonBay Communities, Inc.(a) | 2,163 | 363,514 | |
Camden Property Trust(a) | 5,139 | 538,773 | |
Crown Castle, Inc. | 1,383 | 185,101 | |
Digital Realty Trust, Inc.(a) | 9,851 | 968,452 | |
Extra Space Storage, Inc.(a) | 4,668 | 760,557 | |
Healthpeak Properties, Inc.(a) | 31,163 | 684,651 | |
Mid-America Apartment Communities, Inc.(a) | 967 | 146,056 | |
Prologis, Inc.(a) | 5,344 | 666,771 | |
Realty Income Corp.(a) | 25,629 | 1,622,828 | |
SBA Communications Corp. | 425 | 110,955 | |
Simon Property Group, Inc.(a) | 6,613 | 740,457 | |
UDR, Inc.(a) | 13,165 | 540,555 | |
VICI Properties, Inc.(a) | 45,698 | 1,490,669 | |
Welltower, Inc.(a) | 8,296 | 594,740 | |
Weyerhaeuser Co.(a) | 11,584 | 349,026 | |
10,345,132 | |||
Financial Services — 3.2% | |||
American Express Co. | 796 | 131,300 | |
Berkshire Hathaway, Inc., Class B(a)* | 831 | 256,588 | |
BlackRock, Inc.(a) | 378 | 252,927 | |
Capital One Financial Corp.(a) | 4,983 | 479,165 | |
Charles Schwab Corp. (The)(a) | 6,151 | 322,190 | |
CME Group, Inc.(a) | 4,987 | 955,110 | |
Fiserv, Inc.(a)* | 3,762 | 425,219 | |
FleetCor Technologies, Inc.(a)* | 6,286 | 1,325,403 | |
Franklin Resources, Inc.(a) | 29,740 | 801,196 | |
Goldman Sachs Group, Inc. (The)(a) | 1,961 | 641,463 | |
Intercontinental Exchange, Inc.(a) | 16,213 | 1,690,854 | |
Invesco Ltd. (Bermuda) | 29,173 | 478,437 | |
Mastercard, Inc., Class A(a) | 2,825 | 1,026,633 | |
Nasdaq, Inc.(a) | 33,734 | 1,844,238 | |
PayPal Holdings, Inc.(a)* | 13,836 | 1,050,706 | |
Raymond James Financial, Inc. | 919 | 85,715 | |
S&P Global, Inc.(a) | 960 | 330,979 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Financial Services — (Continued) | |||
T Rowe Price Group, Inc.(a) | 9,201 | $ 1,038,793 | |
Visa, Inc., Class A(a) | 6,591 | 1,486,007 | |
14,622,923 | |||
Food, Beverage & Tobacco — 2.3% | |||
Altria Group, Inc.(a) | 12,640 | 563,997 | |
Archer-Daniels-Midland Co.(a) | 520 | 41,423 | |
Bunge Ltd. (Bermuda) | 3,635 | 347,215 | |
Campbell Soup Co.(a) | 13,546 | 744,759 | |
Coca-Cola Co. (The)(a) | 18,063 | 1,120,448 | |
Constellation Brands, Inc., Class A(a) | 2,313 | 522,484 | |
General Mills, Inc.(a) | 9,584 | 819,049 | |
Hershey Co. (The)(a) | 1,238 | 314,960 | |
Kellogg Co.(a) | 15,043 | 1,007,279 | |
Keurig Dr Pepper, Inc.(a) | 33,529 | 1,182,903 | |
Kraft Heinz Co. (The)(a) | 19,387 | 749,695 | |
Molson Coors Beverage Co., Class B | 2,497 | 129,045 | |
Mondelez International, Inc., Class A(a) | 8,303 | 578,885 | |
PepsiCo, Inc.(a) | 3,926 | 715,710 | |
Philip Morris International, Inc.(a) | 4,504 | 438,014 | |
Tyson Foods, Inc., Class A(a) | 19,158 | 1,136,452 | |
10,412,318 | |||
Health Care Equipment & Services — 3.7% | |||
Abbott Laboratories(a) | 4,401 | 445,645 | |
AmerisourceBergen Corp. | 522 | 83,577 | |
Cardinal Health, Inc.(a) | 6,197 | 467,874 | |
Centene Corp.(a)* | 18,753 | 1,185,377 | |
Cigna Group (The)(a) | 2,618 | 668,978 | |
CVS Health Corp.(a) | 11,579 | 860,435 | |
DENTSPLY SIRONA, Inc.(a) | 27,777 | 1,091,081 | |
GE HealthCare Technologies, Inc.(a)* | 33,420 | 2,741,443 | |
HCA Healthcare, Inc.(a) | 3,956 | 1,043,118 | |
Hologic, Inc.(a)* | 15,783 | 1,273,688 | |
Laboratory Corp. of America Holdings(a) | 676 | 155,088 | |
McKesson Corp.(a) | 1,112 | 395,928 | |
Medtronic PLC (Ireland) | 17,315 | 1,395,935 | |
Molina Healthcare, Inc.(a)* | 5,822 | 1,557,327 | |
Stryker Corp.(a) | 3,936 | 1,123,610 | |
Teleflex, Inc.(a) | 4,423 | 1,120,390 | |
UnitedHealth Group, Inc.(a) | 1,041 | 491,966 | |
Zimmer Biomet Holdings, Inc.(a) | 7,477 | 966,028 | |
17,067,488 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Household & Personal Products — 0.7% | |||
Kimberly-Clark Corp.(a) | 9,839 | $ 1,320,591 | |
Procter & Gamble Co. (The)(a) | 13,405 | 1,993,189 | |
3,313,780 | |||
Insurance — 1.5% | |||
Aflac, Inc.(a) | 2,425 | 156,461 | |
Aon PLC, Class A (Ireland) | 387 | 122,017 | |
Arch Capital Group Ltd. (Bermuda)* | 10,841 | 735,779 | |
Assurant, Inc.(a) | 5,340 | 641,174 | |
Brown & Brown, Inc.(a) | 4,815 | 276,477 | |
Chubb Ltd. (Switzerland) | 2,060 | 400,011 | |
Everest Re Group Ltd. (Bermuda) | 760 | 272,095 | |
Globe Life, Inc.(a) | 4,807 | 528,866 | |
Lincoln National Corp.(a) | 21,476 | 482,566 | |
Loews Corp.(a) | 19,507 | 1,131,796 | |
Marsh & McLennan Cos., Inc.(a) | 3,475 | 578,761 | |
Principal Financial Group, Inc.(a) | 3,998 | 297,131 | |
Willis Towers Watson PLC (Ireland) | 4,725 | 1,097,996 | |
6,721,130 | |||
Materials — 3.4% | |||
CF Industries Holdings, Inc.(a) | 7,485 | 542,588 | |
Dow, Inc.(a) | 8,000 | 438,560 | |
DuPont de Nemours, Inc.(a) | 29,311 | 2,103,650 | |
Eastman Chemical Co.(a) | 18,926 | 1,596,219 | |
FMC Corp.(a) | 6,675 | 815,218 | |
Freeport-McMoRan, Inc.(a) | 11,917 | 487,524 | |
International Paper Co.(a) | 50,036 | 1,804,298 | |
Linde PLC (Ireland) | 2,151 | 764,551 | |
LyondellBasell Industries NV, Class A (Netherlands) | 1,212 | 113,795 | |
Mosaic Co. (The)(a) | 33,233 | 1,524,730 | |
Newmont Corp. | 575 | 28,187 | |
Nucor Corp.(a) | 4,152 | 641,359 | |
Packaging Corp. of America(a) | 12,347 | 1,714,134 | |
Sealed Air Corp.(a) | 49,213 | 2,259,369 | |
Steel Dynamics, Inc.(a) | 6,099 | 689,553 | |
15,523,735 | |||
Media & Entertainment — 1.5% | |||
Activision Blizzard, Inc.(a) | 1,286 | 110,069 | |
Alphabet, Inc., Class A(a)* | 14,749 | 1,529,914 | |
Charter Communications, Inc., Class A(a)* | 1,833 | 655,499 | |
Comcast Corp., Class A(a) | 20,968 | 794,897 | |
Electronic Arts, Inc. | 892 | 107,441 | |
Fox Corp., Class A(a) | 8,388 | 285,611 | |
Interpublic Group of Cos., Inc. (The)(a) | 12,354 | 460,063 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Media & Entertainment — (Continued) | |||
Meta Platforms, Inc., Class A(a)* | 5,967 | $ 1,264,646 | |
Netflix, Inc.(a)* | 1,162 | 401,448 | |
News Corp., Class A(a) | 16,805 | 290,222 | |
Omnicom Group, Inc.(a) | 5,022 | 473,776 | |
Take-Two Interactive Software, Inc.* | 251 | 29,944 | |
Walt Disney Co. (The)* | 1,344 | 134,575 | |
Warner Bros Discovery, Inc.* | 21,777 | 328,833 | |
6,866,938 | |||
Pharmaceuticals, Biotechnology & Life Sciences — 3.0% | |||
Biogen, Inc.(a)* | 1,996 | 554,948 | |
Bristol-Myers Squibb Co.(a) | 6,295 | 436,306 | |
Danaher Corp.(a) | 1,801 | 453,924 | |
Gilead Sciences, Inc.(a) | 9,958 | 826,215 | |
Illumina, Inc.(a)* | 809 | 188,133 | |
Incyte Corp.* | 551 | 39,821 | |
Johnson & Johnson(a) | 11,229 | 1,740,495 | |
Merck & Co., Inc.(a) | 21,199 | 2,255,362 | |
Moderna, Inc.(a)* | 11,135 | 1,710,113 | |
Organon & Co.(a) | 86,957 | 2,045,229 | |
PerkinElmer, Inc.(a) | 7,936 | 1,057,551 | |
Pfizer, Inc.(a) | 47,034 | 1,918,987 | |
Regeneron Pharmaceuticals, Inc.(a)* | 444 | 364,822 | |
Thermo Fisher Scientific, Inc.(a) | 350 | 201,730 | |
Vertex Pharmaceuticals, Inc.(a)* | 185 | 58,288 | |
13,851,924 | |||
Real Estate Management & Development — 0.1% | |||
CBRE Group, Inc., Class A(a)* | 3,604 | 262,407 | |
Semiconductors & Semiconductor Equipment — 3.5% | |||
Applied Materials, Inc.(a) | 6,347 | 779,602 | |
Broadcom, Inc.(a) | 2,483 | 1,592,944 | |
KLA Corp.(a) | 2,258 | 901,326 | |
Lam Research Corp.(a) | 3,853 | 2,042,552 | |
Microchip Technology, Inc.(a) | 19,529 | 1,636,140 | |
Micron Technology, Inc. | 1,672 | 100,888 | |
NVIDIA Corp.(a) | 2,989 | 830,255 | |
NXP Semiconductors N. V. (Netherlands) | 7,697 | 1,435,298 | |
ON Semiconductor Corp.(a)* | 30,145 | 2,481,536 | |
Qorvo, Inc.(a)* | 17,846 | 1,812,618 | |
QUALCOMM, Inc.(a) | 3,909 | 498,710 | |
Skyworks Solutions, Inc.(a) | 13,726 | 1,619,394 | |
SolarEdge Technologies, Inc.* | 58 | 17,629 | |
15,748,892 | |||
Software & Services — 2.1% | |||
Accenture PLC, Class A (Ireland) | 409 | 116,896 | |
Adobe, Inc.(a)* | 1,522 | 586,533 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Software & Services — (Continued) | |||
ANSYS, Inc.* | 49 | $ 16,307 | |
Autodesk, Inc.* | 264 | 54,954 | |
Cadence Design Systems, Inc.* | 118 | 24,791 | |
Cognizant Technology Solutions Corp., Class A | 34 | 2,072 | |
DXC Technology Co.(a)* | 10,730 | 274,259 | |
EPAM Systems, Inc.* | 33 | 9,867 | |
Fair Isaac Corp.(a)* | 804 | 564,963 | |
Gartner, Inc.* | 2,323 | 756,764 | |
International Business Machines Corp.(a) | 4,464 | 585,186 | |
Microsoft Corp.(a) | 14,550 | 4,194,765 | |
Roper Technologies, Inc.(a) | 1,662 | 732,427 | |
Salesforce, Inc.(a)* | 2,802 | 559,783 | |
ServiceNow, Inc.(a)* | 709 | 329,486 | |
Synopsys, Inc.* | 309 | 119,351 | |
VeriSign, Inc.(a)* | 3,064 | 647,515 | |
9,575,919 | |||
Technology Hardware & Equipment — 1.9% | |||
Amphenol Corp., Class A(a) | 5,610 | 458,449 | |
Apple, Inc. | 582 | 95,972 | |
CDW Corp. | 896 | 174,621 | |
Cisco Systems, Inc.(a) | 27,683 | 1,447,129 | |
Hewlett Packard Enterprise Co.(a) | 56,188 | 895,075 | |
HP, Inc.(a) | 25,788 | 756,878 | |
Motorola Solutions, Inc.(a) | 3,243 | 927,919 | |
NetApp, Inc.(a) | 14,689 | 937,893 | |
Seagate Technology Holdings PLC (Ireland) | 13,267 | 877,214 | |
Zebra Technologies Corp., Class A(a)* | 5,840 | 1,857,120 | |
8,428,270 | |||
Telecommunication Services — 0.4% | |||
AT&T, Inc.(a) | 51,442 | 990,259 | |
T-Mobile US, Inc.(a)* | 2,066 | 299,239 | |
Verizon Communications, Inc.(a) | 15,307 | 595,289 | |
1,884,787 | |||
Transportation — 1.3% | |||
American Airlines Group, Inc.(a)* | 70,561 | 1,040,775 | |
CSX Corp.(a) | 18,372 | 550,058 | |
Expeditors International of Washington, Inc.(a) | 6,350 | 699,262 | |
Norfolk Southern Corp. | 3,152 | 668,224 | |
Old Dominion Freight Line, Inc.(a) | 2,541 | 866,074 | |
Union Pacific Corp.(a) | 2,947 | 593,113 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Transportation — (Continued) | |||
United Airlines Holdings, Inc.(a)* | 3,521 | $ 155,804 | |
United Parcel Service, Inc., Class B(a) | 6,636 | 1,287,318 | |
5,860,628 | |||
Utilities — 1.4% | |||
Constellation Energy Corp.(a) | 28,762 | 2,257,817 | |
Exelon Corp.(a) | 29,666 | 1,242,709 | |
NRG Energy, Inc.(a) | 22,442 | 769,536 | |
PG&E Corp.* | 6,587 | 106,512 | |
Public Service Enterprise Group, Inc.(a) | 27,419 | 1,712,316 | |
Southern Co. (The)(a) | 6,686 | 465,212 | |
6,554,102 | |||
TOTAL COMMON STOCKS (Cost $191,028,673) | 209,062,926 | ||
AFFILIATED EQUITY REGISTERED INVESTMENT COMPANY — 46.9% | |||
Gotham Enhanced 500 ETF | 9,510,300 | 213,411,132 | |
TOTAL AFFILIATED EQUITY REGISTERED INVESTMENT COMPANY (Cost $232,808,996) | 213,411,132 | ||
TOTAL INVESTMENTS - 92.8% (Cost $423,837,669) | 422,474,058 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES - 7.2% | 32,879,867 | ||
NET ASSETS - 100.0% | $ 455,353,925 |
(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 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Long | ||||||||||||||||
Automobiles & Components | ||||||||||||||||
BorgWarner, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 63,997 | $ 2,539,950 | $ 3,142,893 | $ 675,692 | ||||||||
General Motors Co. | USFF +0.250% | Weekly | MS | 07/29/24 | 80,910 | 3,007,013 | 2,967,779 | 23,707 | ||||||||
144,907 | 5,546,963 | 6,110,672 | 699,399 | |||||||||||||
Banks | ||||||||||||||||
Bank of America Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 68,763 | 2,209,632 | 1,966,622 | (138,091) | ||||||||
First Republic Bank | USFF +0.250% | Weekly | MS | 01/10/28 | 633 | 20,899 | 8,856 | (11,606) | ||||||||
JPMorgan Chase & Co. | USFF +0.250% | Weekly | MS | 07/29/24 | 20,630 | 2,324,574 | 2,688,295 | 477,166 | ||||||||
PNC Financial Services Group, Inc. (The) | USFF +0.250% | Weekly | MS | 07/29/24 | 3,821 | 540,873 | 485,649 | (18,658) | ||||||||
US Bancorp | USFF +0.250% | Weekly | MS | 01/10/28 | 5,184 | 182,832 | 186,883 | 9,939 | ||||||||
99,031 | 5,278,810 | 5,336,305 | 318,750 | |||||||||||||
Capital Goods | ||||||||||||||||
3M Co. | USFF +0.250% | Weekly | MS | 07/29/24 | 7,392 | 972,903 | 776,973 | (132,162) | ||||||||
A. O. Smith Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 12,950 | 659,313 | 895,493 | 259,293 | ||||||||
AMETEK, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 15,364 | 1,995,449 | 2,232,850 | 280,717 | ||||||||
Boeing Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 11,223 | 2,325,800 | 2,384,102 | 101,045 | ||||||||
Caterpillar, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 19,972 | 4,453,620 | 4,570,393 | 220,626 | ||||||||
Deere & Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,020 | 851,681 | 834,018 | 1,186 | ||||||||
Dover Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,410 | 178,012 | 214,235 | 48,802 | ||||||||
Eaton Corp. PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/10/28 | 6,632 | 1,136,860 | 1,136,327 | 19,487 | ||||||||
Emerson Electric Co. | USFF +0.250% | Weekly | MS | 07/29/24 | 9,195 | 706,687 | 801,252 | 129,573 | ||||||||
Fortive Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 3,914 | 212,346 | 266,817 | 59,535 | ||||||||
General Dynamics Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 1,794 | 400,411 | 409,409 | 19,327 | ||||||||
General Electric Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 21,926 | 1,254,945 | 2,096,126 | 866,367 | ||||||||
Howmet Aerospace, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 42,217 | 1,652,210 | 1,788,734 | 166,560 | ||||||||
IDEX Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,319 | 979,408 | 997,819 | 38,702 | ||||||||
Illinois Tool Works, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 8,134 | 1,497,317 | 1,980,222 | 549,388 | ||||||||
Johnson Controls International PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/29/24 | 4,441 | 207,103 | 267,437 | 80,072 | ||||||||
Lockheed Martin Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 3,973 | 1,781,912 | 1,878,156 | 165,188 | ||||||||
Masco Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 16,926 | 794,845 | 841,561 | 68,890 | ||||||||
Northrop Grumman Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 526 | 230,406 | 242,865 | 23,976 | ||||||||
PACCAR, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 17,331 | 1,224,577 | 1,268,629 | 87,408 | ||||||||
Pentair PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/29/24 | 19,369 | 821,858 | 1,070,525 | 293,476 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
Snap-on, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 9,325 | $ 1,873,098 | $ 2,302,249 | $ 549,804 | ||||||||
Textron, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 28,431 | 1,840,462 | 2,008,082 | 203,713 | ||||||||
Trane Technologies PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/29/24 | 7,275 | 1,102,545 | 1,338,455 | 275,023 | ||||||||
TransDigm Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,255 | 881,966 | 924,998 | 59,225 | ||||||||
United Rentals, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 386 | 107,969 | 152,763 | 47,397 | ||||||||
WW Grainger, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 3,689 | 2,035,870 | 2,541,020 | 565,825 | ||||||||
Xylem, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 7,731 | 789,296 | 809,436 | 34,638 | ||||||||
289,120 | 32,968,869 | 37,030,946 | 5,083,081 | |||||||||||||
Commercial & Professional Services | ||||||||||||||||
Automatic Data Processing, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 5,122 | 1,101,762 | 1,140,311 | 76,920 | ||||||||
Copart, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 6,038 | 390,787 | 454,118 | 70,537 | ||||||||
Jacobs Solutions, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 6,772 | 813,566 | 795,778 | (1,201) | ||||||||
Leidos Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 24,523 | 2,471,408 | 2,257,587 | (156,509) | ||||||||
Robert Half International, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 20,672 | 1,599,122 | 1,665,543 | 116,737 | ||||||||
63,127 | 6,376,645 | 6,313,337 | 106,484 | |||||||||||||
Consumer Discretionary Distribution & Retail | ||||||||||||||||
Amazon.com, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 81,161 | 9,079,812 | 8,383,120 | (532,079) | ||||||||
AutoZone, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 447 | 849,327 | 1,098,793 | 265,062 | ||||||||
Bath & Body Works, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 84,257 | 3,037,838 | 3,082,121 | 114,025 | ||||||||
Best Buy Co., Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 11,347 | 819,563 | 888,130 | 113,726 | ||||||||
CarMax, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 22,107 | 1,411,816 | 1,421,038 | 35,111 | ||||||||
eBay, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 40,378 | 1,623,945 | 1,791,572 | 222,387 | ||||||||
Genuine Parts Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 5,315 | 802,436 | 889,253 | 116,385 | ||||||||
LKQ Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 12,854 | 601,468 | 729,593 | 159,109 | ||||||||
Lowe's Cos., Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 9,052 | 1,721,802 | 1,810,128 | 158,462 | ||||||||
O'Reilly Automotive, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 1,057 | 665,419 | 897,372 | 245,157 | ||||||||
Ross Stores, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 10,422 | 794,794 | 1,106,087 | 337,892 | ||||||||
Ulta Beauty, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 3,103 | 1,416,877 | 1,693,214 | 302,319 | ||||||||
281,500 | 22,825,097 | 23,790,421 | 1,537,556 | |||||||||||||
Consumer Durables & Apparel | ||||||||||||||||
DR Horton, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 20,488 | 1,429,982 | 2,001,473 | 614,811 | ||||||||
Lennar Corp., Class A | USFF +0.250% | Weekly | MS | 07/29/24 | 1,425 | 118,495 | 149,782 | 37,644 | ||||||||
NIKE, Inc., Class B | USFF +0.250% | Weekly | MS | 07/29/24 | 6,872 | 740,944 | 842,782 | 125,312 | ||||||||
Tapestry, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 51,246 | 1,715,499 | 2,209,215 | 564,062 | ||||||||
80,031 | 4,004,920 | 5,203,252 | 1,341,829 | |||||||||||||
Consumer Services | ||||||||||||||||
Booking Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,429 | 2,592,910 | 3,790,294 | 1,244,885 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Services — (continued) | ||||||||||||||||
Las Vegas Sands Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 5,323 | $ 186,018 | $ 305,806 | $ 123,247 | ||||||||
Marriott International, Inc., Class A | USFF +0.250% | Weekly | MS | 01/05/26 | 9,604 | 1,421,224 | 1,594,648 | 206,151 | ||||||||
McDonald's Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 6,689 | 1,605,601 | 1,870,311 | 402,801 | ||||||||
MGM Resorts International | USFF +0.250% | Weekly | MS | 01/10/28 | 38,821 | 1,579,290 | 1,724,429 | 174,396 | ||||||||
Starbucks Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 13,514 | 1,044,438 | 1,407,213 | 409,265 | ||||||||
Yum! Brands, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 12,232 | 1,480,798 | 1,615,603 | 201,525 | ||||||||
87,612 | 9,910,279 | 12,308,304 | 2,762,270 | |||||||||||||
Consumer Staples Distribution & Retail | ||||||||||||||||
Kroger Co. (The) | USFF +0.250% | Weekly | MS | 07/29/24 | 10,694 | 477,305 | 527,963 | 63,556 | ||||||||
Target Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 1,840 | 273,840 | 304,759 | 45,001 | ||||||||
Walgreens Boots Alliance, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 18,934 | 678,719 | 654,738 | 13,363 | ||||||||
Walmart, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 17,665 | 2,338,990 | 2,604,704 | 371,252 | ||||||||
49,133 | 3,768,854 | 4,092,164 | 493,172 | |||||||||||||
Energy | ||||||||||||||||
APA Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 87,788 | 2,631,212 | 3,165,635 | 624,495 | ||||||||
Chevron Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 15,802 | 2,426,928 | 2,578,254 | 254,026 | ||||||||
ConocoPhillips | USFF +0.250% | Weekly | MS | 01/07/27 | 39,175 | 3,716,189 | 3,886,552 | 336,616 | ||||||||
Diamondback Energy, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,433 | 152,646 | 193,699 | 55,737 | ||||||||
EOG Resources, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 24,826 | 2,671,373 | 2,845,804 | 340,059 | ||||||||
EQT Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 39,989 | 1,276,166 | 1,276,049 | 27,376 | ||||||||
Exxon Mobil Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 25,949 | 1,781,610 | 2,845,567 | 1,234,212 | ||||||||
Halliburton Co. | USFF +0.250% | Weekly | MS | 07/29/24 | 82,502 | 2,785,830 | 2,610,363 | (98,395) | ||||||||
Kinder Morgan, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 99,854 | 1,702,256 | 1,748,444 | 110,391 | ||||||||
Marathon Petroleum Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 10,374 | 764,388 | 1,398,726 | 688,016 | ||||||||
Occidental Petroleum Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 2,629 | 157,077 | 164,128 | 11,575 | ||||||||
ONEOK, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 13,898 | 855,778 | 883,079 | 57,563 | ||||||||
Pioneer Natural Resources Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 5,490 | 1,060,778 | 1,121,278 | 89,600 | ||||||||
Valero Energy Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 7,958 | 900,202 | 1,110,937 | 254,476 | ||||||||
457,667 | 22,882,433 | 25,828,515 | 3,985,747 | |||||||||||||
Equity Real Estate Investment Trusts (REITs) | ||||||||||||||||
Alexandria Real Estate Equities, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 8,647 | 1,249,296 | 1,085,977 | (95,216) | ||||||||
American Tower Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 2,090 | 472,998 | 427,071 | (22,940) | ||||||||
AvalonBay Communities, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 8,685 | 1,458,310 | 1,459,601 | 70,851 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Equity Real Estate Investment Trusts (REITs) — (continued) | ||||||||||||||||
Camden Property Trust | USFF +0.250% | Weekly | MS | 01/07/27 | 13,697 | $ 1,610,973 | $ 1,435,993 | $ (139,978) | ||||||||
Crown Castle, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 1,692 | 253,458 | 226,457 | (9,389) | ||||||||
Digital Realty Trust, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 21,139 | 2,210,453 | 2,078,175 | (73,761) | ||||||||
Extra Space Storage, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 8,780 | 1,326,979 | 1,430,525 | 178,484 | ||||||||
Healthpeak Properties, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 32,325 | 730,592 | 710,180 | 9,317 | ||||||||
Mid-America Apartment Communities, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 1,603 | 231,354 | 242,117 | 25,225 | ||||||||
Prologis, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 7,109 | 790,059 | 886,990 | 123,673 | ||||||||
Realty Income Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 30,195 | 1,895,427 | 1,911,947 | 112,156 | ||||||||
SBA Communications Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 297 | 84,377 | 77,538 | (3,741) | ||||||||
Simon Property Group, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 8,056 | 816,547 | 902,030 | 162,799 | ||||||||
UDR, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 13,424 | 525,373 | 551,189 | 38,811 | ||||||||
VICI Properties, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 52,117 | 1,646,174 | 1,700,057 | 110,444 | ||||||||
Welltower, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 12,144 | 833,343 | 870,603 | 65,386 | ||||||||
Weyerhaeuser Co. | USFF +0.250% | Weekly | MS | 07/29/24 | 23,675 | 739,063 | 713,328 | 98,477 | ||||||||
245,675 | 16,874,776 | 16,709,778 | 650,598 | |||||||||||||
Financial Services | ||||||||||||||||
American Express Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 9,096 | 1,383,064 | 1,500,385 | 133,425 | ||||||||
Berkshire Hathaway, Inc., Class B | USFF +0.250% | Weekly | MS | 07/29/24 | 16,026 | 3,409,981 | 4,948,348 | 1,600,820 | ||||||||
BlackRock, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 2,388 | 1,389,531 | 1,597,859 | 350,044 | ||||||||
Capital One Financial Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 10,514 | 983,422 | 1,011,026 | 56,138 | ||||||||
Charles Schwab Corp. (The) | USFF +0.250% | Weekly | MS | 01/07/27 | 7,030 | 454,955 | 368,231 | (73,590) | ||||||||
CME Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 10,638 | 1,819,108 | 2,037,390 | 301,955 | ||||||||
Fiserv, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 6,458 | 735,750 | 729,948 | 7,716 | ||||||||
FleetCor Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 16,259 | 2,958,535 | 3,428,210 | 524,592 | ||||||||
Franklin Resources, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 79,796 | 2,229,539 | 2,149,704 | 56,813 | ||||||||
Goldman Sachs Group, Inc. (The) | USFF +0.250% | Weekly | MS | 07/08/27 | 3,248 | 1,147,243 | 1,062,453 | (55,580) | ||||||||
Intercontinental Exchange, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 22,779 | 2,238,363 | 2,375,622 | 218,549 | ||||||||
Invesco Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 07/29/24 | 60,411 | 924,710 | 990,740 | 188,056 | ||||||||
Mastercard, Inc., Class A | USFF +0.250% | Weekly | MS | 07/29/24 | 3,573 | 1,029,116 | 1,298,464 | 304,493 | ||||||||
Nasdaq, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 41,383 | 2,333,550 | 2,262,409 | 26,708 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Financial Services — (continued) | ||||||||||||||||
PayPal Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 21,042 | $ 1,513,509 | $ 1,597,929 | $ 112,170 | ||||||||
Raymond James Financial, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 918 | 93,675 | 85,622 | (5,344) | ||||||||
S&P Global, Inc. | USFF +0.250% | Weekly | MS | 11/03/25 | 1,505 | 481,037 | 518,879 | 47,730 | ||||||||
T Rowe Price Group, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 17,068 | 1,999,269 | 1,926,977 | 107,432 | ||||||||
Visa, Inc., Class A | USFF +0.250% | Weekly | MS | 07/29/24 | 7,183 | 1,370,513 | 1,619,479 | 305,606 | ||||||||
337,315 | 28,494,870 | 31,509,675 | 4,207,733 | |||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||
Altria Group, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 27,743 | 1,189,663 | 1,237,893 | 246,477 | ||||||||
Archer-Daniels-Midland Co. | USFF +0.250% | Weekly | MS | 07/29/24 | 3,635 | 255,107 | 289,564 | 54,195 | ||||||||
Bunge Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 01/10/28 | 8,872 | 850,834 | 847,453 | 12,243 | ||||||||
Campbell Soup Co. | USFF +0.250% | Weekly | MS | 07/06/26 | 37,967 | 1,835,074 | 2,087,426 | 323,665 | ||||||||
Coca-Cola Co. (The) | USFF +0.250% | Weekly | MS | 07/29/24 | 29,863 | 1,660,234 | 1,852,402 | 360,624 | ||||||||
Constellation Brands, Inc., Class A | USFF +0.250% | Weekly | MS | 07/29/24 | 2,388 | 523,471 | 539,425 | 34,688 | ||||||||
General Mills, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 17,969 | 1,267,545 | 1,535,631 | 360,074 | ||||||||
Hershey Co. (The) | USFF +0.250% | Weekly | MS | 01/05/26 | 2,373 | 502,265 | 603,715 | 126,003 | ||||||||
Kellogg Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 23,598 | 1,716,421 | 1,580,122 | (72,901) | ||||||||
Keurig Dr Pepper, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 53,664 | 1,932,196 | 1,893,266 | 11,445 | ||||||||
Kraft Heinz Co. (The) | USFF +0.250% | Weekly | MS | 07/29/24 | 53,988 | 2,020,728 | 2,087,716 | 201,224 | ||||||||
Molson Coors Beverage Co., Class B | USFF +0.250% | Weekly | MS | 07/29/24 | 3,091 | 152,710 | 159,743 | 15,373 | ||||||||
Mondelez International, Inc., Class A | USFF +0.250% | Weekly | MS | 01/05/26 | 14,395 | 887,087 | 1,003,619 | 158,315 | ||||||||
PepsiCo, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 5,345 | 909,759 | 974,394 | 125,932 | ||||||||
Philip Morris International, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 5,130 | 465,004 | 498,893 | 91,524 | ||||||||
Tyson Foods, Inc., Class A | USFF +0.250% | Weekly | MS | 07/29/24 | 19,653 | 1,452,620 | 1,165,816 | (192,295) | ||||||||
309,674 | 17,620,718 | 18,357,078 | 1,856,586 | |||||||||||||
Health Care Equipment & Services | ||||||||||||||||
Abbott Laboratories | USFF +0.250% | Weekly | MS | 07/29/24 | 28,747 | 2,861,849 | 2,910,921 | 177,088 | ||||||||
AmerisourceBergen Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 3,586 | 527,925 | 574,154 | 60,970 | ||||||||
Cardinal Health, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 28,196 | 1,981,661 | 2,128,798 | 218,810 | ||||||||
Centene Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 44,080 | 3,037,366 | 2,786,297 | (195,434) | ||||||||
Cigna Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 5,700 | 1,376,060 | 1,456,521 | 129,669 | ||||||||
CVS Health Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 39,765 | 3,007,748 | 2,954,937 | 77,711 | ||||||||
DENTSPLY SIRONA, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 28,331 | 805,966 | 1,112,842 | 329,231 | ||||||||
GE HealthCare Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 49,120 | 2,948,278 | 4,029,314 | 1,135,041 | ||||||||
HCA Healthcare, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 8,221 | 1,650,560 | 2,167,713 | 561,431 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Health Care Equipment & Services — (continued) | ||||||||||||||||
Hologic, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 22,007 | $ 1,606,047 | $ 1,775,965 | $ 199,362 | ||||||||
Laboratory Corp. of America Holdings | USFF +0.250% | Weekly | MS | 07/08/27 | 1,393 | 295,372 | 319,582 | 31,267 | ||||||||
McKesson Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 1,426 | 384,012 | 507,727 | 139,195 | ||||||||
Medtronic PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/29/24 | 22,566 | 1,838,272 | 1,819,271 | 58,005 | ||||||||
Molina Healthcare, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 7,376 | 2,226,437 | 1,973,006 | (213,517) | ||||||||
Stryker Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,816 | 1,294,512 | 1,374,824 | 108,596 | ||||||||
Teleflex, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 5,262 | 1,056,587 | 1,332,917 | 299,298 | ||||||||
UnitedHealth Group, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 1,489 | 690,491 | 703,687 | 49,744 | ||||||||
Zimmer Biomet Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 7,771 | 964,231 | 1,004,013 | 59,242 | ||||||||
309,852 | 28,553,374 | 30,932,489 | 3,225,709 | |||||||||||||
Household & Personal Products | ||||||||||||||||
Kimberly-Clark Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 17,338 | 2,195,811 | 2,327,106 | 212,437 | ||||||||
Procter & Gamble Co. (The) | USFF +0.250% | Weekly | MS | 07/29/24 | 22,146 | 2,969,614 | 3,292,889 | 477,293 | ||||||||
39,484 | 5,165,425 | 5,619,995 | 689,730 | |||||||||||||
Insurance | ||||||||||||||||
Aflac, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 20,683 | 1,313,141 | 1,334,467 | 63,101 | ||||||||
Aon PLC, Class A (Ireland) | USFF +0.250% | Weekly | MS | 07/29/24 | 2,925 | 796,730 | 922,223 | 154,485 | ||||||||
Arch Capital Group Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 07/08/27 | 46,258 | 2,703,997 | 3,139,530 | 485,068 | ||||||||
Assurant, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 22,588 | 2,936,702 | 2,712,141 | (138,946) | ||||||||
Brown & Brown, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 25,907 | 1,471,048 | 1,487,580 | 46,560 | ||||||||
Chubb Ltd. (Switzerland) | USFF +0.250% | Weekly | MS | 01/10/28 | 5,640 | 1,191,688 | 1,095,175 | (70,449) | ||||||||
Everest Re Group Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 01/10/28 | 773 | 289,916 | 276,749 | (6,531) | ||||||||
Globe Life, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 10,581 | 1,228,288 | 1,164,122 | (39,033) | ||||||||
Lincoln National Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 31,726 | 926,972 | 712,883 | (197,071) | ||||||||
Loews Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 29,945 | 1,647,823 | 1,737,409 | 124,074 | ||||||||
Marsh & McLennan Cos., Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 6,164 | 964,647 | 1,026,614 | 82,433 | ||||||||
Principal Financial Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 6,130 | 453,212 | 455,582 | 19,779 | ||||||||
Willis Towers Watson PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/10/28 | 4,832 | 1,148,914 | 1,122,860 | (1,232) | ||||||||
214,152 | 17,073,078 | 17,187,335 | 522,238 | |||||||||||||
Materials | ||||||||||||||||
CF Industries Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 15,133 | 1,135,443 | 1,096,991 | 5,144 | ||||||||
Dow, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 25,363 | 1,209,799 | 1,390,400 | 282,266 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Materials — (continued) | ||||||||||||||||
DuPont de Nemours, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 52,508 | $ 3,728,556 | $ 3,768,499 | $ 136,506 | ||||||||
Eastman Chemical Co. | USFF +0.250% | Weekly | MS | 07/29/24 | 42,753 | 3,597,657 | 3,605,788 | 152,928 | ||||||||
FMC Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 9,107 | 1,148,953 | 1,112,238 | (12,273) | ||||||||
Freeport-McMoRan, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 16,318 | 458,850 | 667,569 | 232,255 | ||||||||
International Paper Co. | USFF +0.250% | Weekly | MS | 07/29/24 | 81,320 | 2,870,904 | 2,932,399 | 218,603 | ||||||||
Linde PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/29/24 | 3,840 | 1,185,710 | 1,364,890 | 204,852 | ||||||||
LyondellBasell Industries NV, Class A (Netherlands) | USFF +0.250% | Weekly | MS | 07/08/27 | 2,443 | 187,101 | 229,373 | 51,565 | ||||||||
Mosaic Co. (The) | USFF +0.250% | Weekly | MS | 07/29/24 | 41,710 | 1,945,235 | 1,913,655 | 46,879 | ||||||||
Newmont Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 682 | 25,788 | 33,432 | 9,258 | ||||||||
Nucor Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 4,089 | 549,591 | 631,628 | 102,320 | ||||||||
Packaging Corp. of America | USFF +0.250% | Weekly | MS | 07/08/27 | 15,165 | 2,035,082 | 2,105,357 | 139,013 | ||||||||
Sealed Air Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 50,214 | 2,559,793 | 2,305,325 | (198,702) | ||||||||
Steel Dynamics, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 7,158 | 717,361 | 809,283 | 109,719 | ||||||||
367,803 | 23,355,823 | 23,966,827 | 1,480,333 | |||||||||||||
Media & Entertainment | ||||||||||||||||
Activision Blizzard, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 3,972 | 284,109 | 339,963 | 62,824 | ||||||||
Alphabet, Inc., Class A | USFF +0.250% | Weekly | MS | 07/29/24 | 85,367 | 5,910,230 | 8,855,119 | 3,096,888 | ||||||||
Charter Communications, Inc., Class A | USFF +0.250% | Weekly | MS | 07/29/24 | 8,253 | 3,046,103 | 2,951,355 | (38,953) | ||||||||
Comcast Corp., Class A | USFF +0.250% | Weekly | MS | 07/29/24 | 91,906 | 3,465,950 | 3,484,156 | 147,169 | ||||||||
Electronic Arts, Inc. | USFF +0.250% | Weekly | MS | 11/03/25 | 949 | 112,223 | 114,307 | 5,505 | ||||||||
Fox Corp., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 16,803 | 502,341 | 572,142 | 84,856 | ||||||||
Interpublic Group of Cos., Inc. (The) | USFF +0.250% | Weekly | MS | 07/29/24 | 28,501 | 815,200 | 1,061,377 | 331,589 | ||||||||
Meta Platforms, Inc., Class A | USFF +0.250% | Weekly | MS | 07/29/24 | 15,090 | 2,280,187 | 3,198,175 | 959,250 | ||||||||
Netflix, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 3,347 | 804,710 | 1,156,322 | 366,392 | ||||||||
News Corp., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 23,825 | 390,056 | 411,458 | 31,968 | ||||||||
Omnicom Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 7,066 | 499,855 | 666,606 | 188,227 | ||||||||
Take-Two Interactive Software, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 876 | 110,881 | 104,507 | (4,290) | ||||||||
Walt Disney Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 1,612 | 153,518 | 161,410 | 10,755 | ||||||||
Warner Bros Discovery, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 32,005 | 414,151 | 483,276 | 76,758 | ||||||||
319,572 | 18,789,514 | 23,560,173 | 5,318,938 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||
AbbVie, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 179 | $ 25,127 | $ 28,527 | $ 5,643 | ||||||||
Biogen, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 8,348 | 2,060,766 | 2,320,994 | 297,992 | ||||||||
Bristol-Myers Squibb Co. | USFF +0.250% | Weekly | MS | 07/06/26 | 9,208 | 556,110 | 638,206 | 117,791 | ||||||||
Danaher Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 5,127 | 1,260,669 | 1,292,209 | 66,992 | ||||||||
Gilead Sciences, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 24,455 | 1,742,881 | 2,029,031 | 380,095 | ||||||||
Illumina, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,688 | 336,080 | 392,544 | 62,669 | ||||||||
Incyte Corp. | USFF +0.250% | Weekly | MS | 11/03/25 | 939 | 80,873 | 67,862 | (11,483) | ||||||||
Johnson & Johnson | USFF +0.250% | Weekly | MS | 07/29/24 | 23,130 | 3,285,695 | 3,585,150 | 627,788 | ||||||||
Merck & Co., Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 25,506 | 2,217,913 | 2,713,583 | 696,763 | ||||||||
Moderna, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 12,224 | 1,450,745 | 1,877,362 | 453,219 | ||||||||
Organon & Co. | USFF +0.250% | Weekly | MS | 07/29/24 | 93,927 | 2,377,121 | 2,209,163 | (78,405) | ||||||||
PerkinElmer, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 7,999 | 1,010,111 | 1,065,947 | 75,126 | ||||||||
Pfizer, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 88,698 | 3,562,155 | 3,618,878 | 341,393 | ||||||||
Regeneron Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 514 | 321,048 | 422,338 | 107,220 | ||||||||
Thermo Fisher Scientific, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 418 | 229,701 | 240,923 | 15,672 | ||||||||
Vertex Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 321 | 80,896 | 101,137 | 21,776 | ||||||||
302,681 | 20,597,891 | 22,603,854 | 3,180,251 | |||||||||||||
Real Estate Management & Development | ||||||||||||||||
CBRE Group, Inc., Class A | USFF +0.250% | Weekly | MS | 07/29/24 | 10,902 | 769,551 | 793,775 | 37,992 | ||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Applied Materials, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 18,429 | 1,568,526 | 2,263,634 | 753,067 | ||||||||
Broadcom, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 6,292 | 3,142,941 | 4,036,570 | 1,004,615 | ||||||||
KLA Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 4,664 | 1,533,711 | 1,861,729 | 376,471 | ||||||||
Lam Research Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 5,748 | 2,003,090 | 3,047,130 | 1,115,541 | ||||||||
Microchip Technology, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 21,795 | 1,622,999 | 1,825,985 | 239,331 | ||||||||
Micron Technology, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 5,630 | 286,967 | 339,714 | 61,679 | ||||||||
NVIDIA Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,527 | 833,102 | 979,695 | 161,956 | ||||||||
NXP Semiconductors NV (Netherlands) | USFF +0.250% | Weekly | MS | 01/07/27 | 14,402 | 2,130,734 | 2,685,613 | 621,667 | ||||||||
ON Semiconductor Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 42,229 | 2,445,948 | 3,476,291 | 1,075,156 | ||||||||
Qorvo, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 19,888 | 1,820,655 | 2,020,024 | 229,466 | ||||||||
QUALCOMM, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,890 | 558,960 | 623,866 | 87,174 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Semiconductors & Semiconductor Equipment — (continued) | ||||||||||||||||
Skyworks Solutions, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 14,530 | $ 1,707,873 | $ 1,714,249 | $ 39,945 | ||||||||
SolarEdge Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 317 | 81,698 | 96,352 | 16,247 | ||||||||
162,341 | 19,737,204 | 24,970,852 | 5,782,315 | |||||||||||||
Software & Services | ||||||||||||||||
Accenture PLC, Class A (Ireland) | USFF +0.250% | Weekly | MS | 07/29/24 | 2,932 | 725,412 | 837,995 | 164,523 | ||||||||
Adobe, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 7,165 | 2,101,330 | 2,761,176 | 698,352 | ||||||||
ANSYS, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,197 | 297,610 | 398,362 | 107,757 | ||||||||
Autodesk, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,653 | 310,788 | 344,088 | 39,043 | ||||||||
Cadence Design Systems, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 1,707 | 211,674 | 358,624 | 151,004 | ||||||||
Cognizant Technology Solutions Corp., Class A | USFF +0.250% | Weekly | MS | 07/29/24 | 3,373 | 202,481 | 205,517 | 17,247 | ||||||||
DXC Technology Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 33,772 | 855,149 | 863,212 | 23,766 | ||||||||
EPAM Systems, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 352 | 175,436 | 105,248 | (66,997) | ||||||||
Fair Isaac Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,626 | 1,116,292 | 1,142,574 | 46,763 | ||||||||
Gartner, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,565 | 809,616 | 835,600 | 40,854 | ||||||||
International Business Machines Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 7,374 | 999,747 | 966,658 | (7,066) | ||||||||
Microsoft Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 45,418 | 10,559,851 | 13,094,009 | 2,942,136 | ||||||||
Roper Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,692 | 701,654 | 745,647 | 57,353 | ||||||||
Salesforce, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 18,401 | 2,517,532 | 3,676,152 | 1,204,743 | ||||||||
ServiceNow, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 997 | 399,148 | 463,326 | 72,748 | ||||||||
Synopsys, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 710 | 196,935 | 274,238 | 81,057 | ||||||||
VeriSign, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 3,545 | 587,194 | 749,165 | 172,771 | ||||||||
134,479 | 22,767,849 | 27,821,591 | 5,746,054 | |||||||||||||
Technology Hardware & Equipment | ||||||||||||||||
Amphenol Corp., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 30,628 | 2,375,927 | 2,502,920 | 176,830 | ||||||||
Apple, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 105,403 | 8,109,366 | 17,380,955 | 9,743,386 | ||||||||
CDW Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 3,417 | 571,486 | 665,939 | 109,751 | ||||||||
Cisco Systems, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 93,042 | 3,942,126 | 4,863,771 | 1,211,079 | ||||||||
Hewlett Packard Enterprise Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 69,136 | 1,045,866 | 1,101,336 | 82,063 | ||||||||
HP, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 92,904 | 2,202,976 | 2,726,732 | 739,461 | ||||||||
Motorola Solutions, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 6,383 | 1,719,811 | 1,826,368 | 143,340 | ||||||||
NetApp, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 19,231 | 1,210,719 | 1,227,899 | 53,890 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Technology Hardware & Equipment — (continued) | ||||||||||||||||
Seagate Technology Holdings PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/10/28 | 13,684 | $ 934,263 | $ 904,786 | $ (3,958) | ||||||||
Zebra Technologies Corp., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 6,577 | 1,867,165 | 2,091,486 | 258,031 | ||||||||
440,405 | 23,979,705 | 35,292,192 | 12,513,873 | |||||||||||||
Telecommunication Services | ||||||||||||||||
AT&T, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 56,096 | 940,572 | 1,079,848 | 185,066 | ||||||||
T-Mobile US, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 3,544 | 424,280 | 513,313 | 96,852 | ||||||||
Verizon Communications, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 19,680 | 946,369 | 765,355 | (68,407) | ||||||||
79,320 | 2,311,221 | 2,358,516 | 213,511 | |||||||||||||
Transportation | ||||||||||||||||
American Airlines Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 205,001 | 3,234,631 | 3,023,765 | (151,622) | ||||||||
CSX Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 32,207 | 926,331 | 964,278 | 74,535 | ||||||||
Expeditors International of Washington, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 17,563 | 1,738,250 | 1,934,038 | 262,606 | ||||||||
Norfolk Southern Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,912 | 784,983 | 829,344 | 61,800 | ||||||||
Old Dominion Freight Line, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 3,669 | 903,636 | 1,250,542 | 367,298 | ||||||||
Union Pacific Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 3,001 | 589,768 | 603,981 | 44,127 | ||||||||
United Airlines Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 8,562 | 357,864 | 378,869 | 27,608 | ||||||||
United Parcel Service, Inc., Class B | USFF +0.250% | Weekly | MS | 01/05/26 | 7,676 | 1,299,853 | 1,489,067 | 268,780 | ||||||||
281,591 | 9,835,316 | 10,473,884 | 955,132 | |||||||||||||
Utilities | ||||||||||||||||
Constellation Energy Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 70,267 | 4,533,777 | 5,515,960 | 1,105,918 | ||||||||
Exelon Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 66,666 | 2,575,167 | 2,792,639 | 321,215 | ||||||||
NRG Energy, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 28,658 | 920,479 | 982,683 | 189,263 | ||||||||
PG&E Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 6,717 | 87,136 | 108,614 | 23,127 | ||||||||
Public Service Enterprise Group, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 30,734 | 1,803,330 | 1,919,338 | 181,863 | ||||||||
Southern Co. (The) | USFF +0.250% | Weekly | MS | 07/08/27 | 7,040 | 452,807 | 489,843 | 55,625 | ||||||||
210,082 | 10,372,696 | 11,809,077 | 1,877,011 | |||||||||||||
Total Reference Entity — Long | 379,861,881 | 429,981,007 | 64,586,292 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Short | ||||||||||||||||
Automobiles & Components | ||||||||||||||||
Aptiv PLC (Jersey) | USFF -0.250% | Weekly | MS | 01/07/27 | (23,433) | $ (3,152,305) | $ (2,628,948) | $ 474,984 | ||||||||
Ford Motor Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (233,532) | (3,004,328) | (2,942,503) | (153,654) | ||||||||
(256,965) | (6,156,633) | (5,571,451) | 321,330 | |||||||||||||
Banks | ||||||||||||||||
Citizens Financial Group, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,494) | (83,423) | (45,373) | 33,902 | ||||||||
Comerica, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (10,172) | (951,503) | (441,668) | 486,967 | ||||||||
Fifth Third Bancorp | USFF -0.250% | Weekly | MS | 01/07/27 | (10,935) | (412,597) | (291,308) | 107,021 | ||||||||
Huntington Bancshares, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (86,805) | (1,346,822) | (972,216) | 322,284 | ||||||||
KeyCorp | USFF -0.250% | Weekly | MS | 01/07/27 | (18,361) | (375,925) | (229,880) | 135,521 | ||||||||
M&T Bank Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (7,051) | (1,279,632) | (843,088) | 401,975 | ||||||||
Regions Financial Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (71,434) | (1,733,837) | (1,325,815) | 325,834 | ||||||||
Wells Fargo & Co. | USFF -0.250% | Weekly | MS | 07/08/27 | (21,134) | (992,447) | (789,989) | 183,998 | ||||||||
Zions Bancorp NA | USFF -0.250% | Weekly | MS | 07/06/26 | (10,204) | (693,903) | (305,406) | 373,392 | ||||||||
(237,590) | (7,870,089) | (5,244,743) | 2,370,894 | |||||||||||||
Capital Goods | ||||||||||||||||
Allegion PLC (Ireland) | USFF -0.250% | Weekly | MS | 01/07/27 | (17,708) | (2,037,633) | (1,889,975) | 90,678 | ||||||||
Carrier Global Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (25,789) | (1,385,922) | (1,179,847) | 167,668 | ||||||||
Cummins, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (18,523) | (4,489,782) | (4,424,774) | (46,021) | ||||||||
Fastenal Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (53,613) | (2,829,989) | (2,891,885) | (127,292) | ||||||||
Generac Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (20,302) | (3,427,981) | (2,192,819) | 1,181,698 | ||||||||
Honeywell International, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,595) | (326,124) | (304,836) | 16,917 | ||||||||
Huntington Ingalls Industries, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (23,793) | (5,456,058) | (4,925,627) | 405,869 | ||||||||
Ingersoll Rand, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (309) | (17,825) | (17,978) | (426) | ||||||||
L3Harris Technologies, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (16,471) | (3,689,372) | (3,232,269) | 362,563 | ||||||||
Nordson Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (15,443) | (3,396,297) | (3,432,361) | (88,186) | ||||||||
Otis Worldwide Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (7,140) | (596,598) | (602,616) | (17,825) | ||||||||
Parker-Hannifin Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (7,869) | (2,408,118) | (2,644,850) | (299,267) | ||||||||
Quanta Services, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (4,533) | (656,153) | (755,379) | (115,238) | ||||||||
Raytheon Technologies Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (35,052) | (3,467,090) | (3,432,642) | (53,911) | ||||||||
Rockwell Automation, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (7,936) | (2,442,272) | (2,328,819) | 46,838 | ||||||||
Stanley Black & Decker, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (15,996) | (1,984,479) | (1,288,958) | 641,071 | ||||||||
Westinghouse Air Brake Technologies Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (18,938) | (1,907,179) | (1,913,874) | (40,442) | ||||||||
(291,010) | (40,518,872) | (37,459,509) | 2,124,694 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Commercial & Professional Services | ||||||||||||||||
Broadridge Financial Solutions, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,549) | $ (526,815) | $ (520,177) | $ (2,982) | ||||||||
Cintas Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,297) | (583,902) | (600,096) | (28,805) | ||||||||
CoStar Group, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (35,175) | (2,822,971) | (2,421,799) | 357,015 | ||||||||
Equifax, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (11,534) | (2,533,223) | (2,339,557) | 149,006 | ||||||||
Paychex, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (15,912) | (1,913,584) | (1,823,356) | 41,383 | ||||||||
Republic Services, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (35) | (5,156) | (4,733) | 766 | ||||||||
Rollins, Inc. | USFF -0.250% | Weekly | MS | 07/29/24 | (21,325) | (791,861) | (800,327) | (30,518) | ||||||||
Verisk Analytics, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (7,424) | (1,439,818) | (1,424,369) | (11,934) | ||||||||
Waste Management, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,122) | (941,496) | (998,927) | (75,666) | ||||||||
(102,373) | (11,558,826) | (10,933,341) | 398,265 | |||||||||||||
Consumer Discretionary Distribution & Retail | ||||||||||||||||
Advance Auto Parts, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (20,243) | (3,964,339) | (2,461,751) | 1,358,516 | ||||||||
Etsy, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (7,507) | (1,713,849) | (835,754) | 851,820 | ||||||||
Home Depot, Inc. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (1,106) | (328,157) | (326,403) | (5,536) | ||||||||
Pool Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,621) | (1,291,761) | (897,535) | 365,536 | ||||||||
TJX Cos., Inc. (The) | USFF -0.250% | Weekly | MS | 07/08/27 | (1,841) | (150,107) | (144,261) | 3,106 | ||||||||
Tractor Supply Co. | USFF -0.250% | Weekly | MS | 07/06/26 | (22,485) | (5,118,282) | (5,284,874) | (305,213) | ||||||||
(55,803) | (12,566,495) | (9,950,578) | 2,268,229 | |||||||||||||
Consumer Durables & Apparel | ||||||||||||||||
Garmin Ltd. (Switzerland) | USFF -0.250% | Weekly | MS | 01/07/27 | (1,378) | (147,147) | (139,068) | 4,068 | ||||||||
Hasbro, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (5,661) | (502,896) | (303,939) | 177,054 | ||||||||
Mohawk Industries, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (4,064) | (564,888) | (407,294) | 148,970 | ||||||||
Newell Brands, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (66,869) | (1,368,248) | (831,850) | 472,643 | ||||||||
NVR, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (276) | (1,500,513) | (1,537,924) | (63,787) | ||||||||
PulteGroup, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (8,560) | (477,450) | (498,877) | (32,590) | ||||||||
Ralph Lauren Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (13,695) | (1,410,771) | (1,597,796) | (248,852) | ||||||||
VF Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (79,050) | (2,987,617) | (1,811,035) | 1,061,852 | ||||||||
Whirlpool Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,406) | (901,650) | (845,720) | 36,381 | ||||||||
(185,959) | (9,861,180) | (7,973,503) | 1,555,739 | |||||||||||||
Consumer Services | ||||||||||||||||
Caesars Entertainment, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (7,924) | (483,561) | (386,770) | 89,416 | ||||||||
Carnival Corp. (Panama) | USFF -0.580% | Weekly | MS | 01/05/26 | (56,779) | (710,636) | (576,307) | 123,466 | ||||||||
Chipotle Mexican Grill, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,832) | (3,098,890) | (3,129,587) | (78,250) | ||||||||
Darden Restaurants, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (10,533) | (1,573,729) | (1,634,300) | (156,686) | ||||||||
Domino's Pizza, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (7,768) | (2,875,968) | (2,562,430) | 255,170 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Services — (continued) | ||||||||||||||||
Expedia Group, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (4,715) | $ (869,014) | $ (457,496) | $ 410,100 | ||||||||
Hilton Worldwide Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (5,044) | (772,339) | (710,548) | 46,447 | ||||||||
Norwegian Cruise Line Holdings Ltd. (Bermuda) | USFF -0.830% | Weekly | MS | 07/29/24 | (67,205) | (1,414,351) | (903,907) | 492,538 | ||||||||
Royal Caribbean Cruises Ltd. (Liberia) | USFF -0.250% | Weekly | MS | 07/29/24 | (31,457) | (2,392,255) | (2,054,142) | 297,294 | ||||||||
Wynn Resorts Ltd. | USFF -0.250% | Weekly | MS | 07/29/24 | (13,800) | (1,652,330) | (1,544,358) | 54,379 | ||||||||
(207,057) | (15,843,073) | (13,959,845) | 1,533,874 | |||||||||||||
Consumer Staples Distribution & Retail | ||||||||||||||||
Costco Wholesale Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (76) | (42,345) | (37,762) | 3,851 | ||||||||
Dollar General Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,320) | (483,582) | (488,267) | (12,294) | ||||||||
Dollar Tree, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (23,889) | (3,526,133) | (3,429,266) | 42,580 | ||||||||
Sysco Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (8,698) | (706,050) | (671,747) | 20,442 | ||||||||
(34,983) | (4,758,110) | (4,627,042) | 54,579 | |||||||||||||
Energy | ||||||||||||||||
Baker Hughes Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (14,705) | (546,317) | (424,386) | 115,020 | ||||||||
Coterra Energy, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (102,052) | (3,089,447) | (2,504,356) | 361,001 | ||||||||
Devon Energy Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (21,921) | (1,183,806) | (1,109,422) | 36,952 | ||||||||
Hess Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (7,569) | (1,077,096) | (1,001,681) | 56,296 | ||||||||
Marathon Oil Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (288,852) | (6,453,546) | (6,920,894) | (569,173) | ||||||||
Phillips 66 | USFF -0.250% | Weekly | MS | 01/07/27 | (5,681) | (600,016) | (575,940) | 5,073 | ||||||||
Schlumberger Ltd. (Curacao) | USFF -0.250% | Weekly | MS | 07/08/27 | (44,009) | (2,307,025) | (2,160,842) | 103,021 | ||||||||
SPDR S&P 500 ETF Trust | USFF -0.250% | Weekly | MS | 01/10/28 | (9,066) | (3,612,971) | (3,711,530) | (158,293) | ||||||||
Targa Resources Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (48,083) | (3,430,192) | (3,507,655) | (146,390) | ||||||||
Williams Cos., Inc. (The) | USFF -0.250% | Weekly | MS | 07/08/27 | (120,016) | (3,849,198) | (3,583,678) | 109,643 | ||||||||
(661,954) | (26,149,614) | (25,500,384) | (86,850) | |||||||||||||
Equity Real Estate Investment Trusts (REITs) | ||||||||||||||||
Boston Properties, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (6,824) | (712,587) | (369,315) | 310,457 | ||||||||
Equinix, Inc. | USFF -0.250% | Weekly | MS | 07/29/24 | (4,141) | (3,352,016) | (2,985,827) | 233,905 | ||||||||
Equity Residential | USFF -0.250% | Weekly | MS | 01/07/27 | (9,295) | (704,647) | (557,700) | 119,016 | ||||||||
Essex Property Trust, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (7,181) | (1,944,173) | (1,501,834) | 375,999 | ||||||||
Federal Realty Investment Trust | USFF -0.250% | Weekly | MS | 07/06/26 | (4,532) | (482,893) | (447,898) | 24,714 | ||||||||
Host Hotels & Resorts, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (27,337) | (507,228) | (450,787) | 36,540 | ||||||||
Invitation Homes, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,781) | (101,048) | (86,851) | 50,769 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Equity Real Estate Investment Trusts (REITs) — (continued) | ||||||||||||||||
Iron Mountain, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (73,043) | $ (3,988,724) | $ (3,864,705) | $ (60,012) | ||||||||
Kimco Realty Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (92,559) | (2,099,388) | (1,807,677) | 208,728 | ||||||||
Public Storage | USFF -0.250% | Weekly | MS | 01/10/28 | (4,882) | (1,414,747) | (1,475,047) | (81,980) | ||||||||
Regency Centers Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (38,860) | (2,624,737) | (2,377,455) | 146,541 | ||||||||
Ventas, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (28,237) | (1,473,369) | (1,224,074) | 174,537 | ||||||||
(299,672) | (19,405,557) | (17,149,170) | 1,539,214 | |||||||||||||
Financial Services | ||||||||||||||||
Ameriprise Financial, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (3,757) | (1,275,645) | (1,151,520) | 100,104 | ||||||||
Bank of New York Mellon Corp. (The) | USFF -0.250% | Weekly | MS | 01/07/27 | (21,150) | (1,074,904) | (961,056) | 94,650 | ||||||||
Cboe Global Markets, Inc. | USFF -0.250% | Weekly | MS | 07/29/24 | (3,665) | (465,042) | (491,990) | (39,549) | ||||||||
Discover Financial Services | USFF -0.250% | Weekly | MS | 07/06/26 | (12,774) | (1,501,875) | (1,262,582) | 183,906 | ||||||||
FactSet Research Systems, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (4,124) | (1,875,758) | (1,711,831) | 124,182 | ||||||||
Fidelity National Information Services, Inc. | USFF -0.250% | Weekly | MS | 07/29/24 | (32,471) | (3,981,653) | (1,764,149) | 2,072,627 | ||||||||
Global Payments, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (21,436) | (3,302,625) | (2,255,925) | 972,903 | ||||||||
Jack Henry & Associates, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,736) | (790,045) | (713,810) | 70,747 | ||||||||
MarketAxess Holdings, Inc. | USFF -0.250% | Weekly | MS | 11/03/25 | (861) | (465,975) | (336,901) | 116,965 | ||||||||
Moody's Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (11,075) | (3,150,748) | (3,389,171) | (298,450) | ||||||||
MSCI, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (5,673) | (3,206,559) | (3,175,121) | (54,747) | ||||||||
Northern Trust Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (10,903) | (1,340,984) | (960,881) | 325,037 | ||||||||
State Street Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (14,437) | (1,318,254) | (1,092,737) | 190,848 | ||||||||
Synchrony Financial | USFF -0.250% | Weekly | MS | 07/06/26 | (43,297) | (1,706,325) | (1,259,077) | 406,418 | ||||||||
(190,359) | (25,456,392) | (20,526,751) | 4,265,641 | |||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||
Brown-Forman Corp., Class B | USFF -0.250% | Weekly | MS | 07/29/24 | (29,723) | (2,121,263) | (1,910,297) | 143,719 | ||||||||
Conagra Brands, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (55,052) | (2,049,273) | (2,067,753) | (56,484) | ||||||||
Hormel Foods Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (62,409) | (2,927,741) | (2,488,871) | 373,277 | ||||||||
J M Smucker Co. (The) | USFF -0.250% | Weekly | MS | 01/07/27 | (3,503) | (506,132) | (551,267) | (56,018) | ||||||||
Lamb Weston Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/29/24 | (25,422) | (2,504,518) | (2,657,107) | (205,334) | ||||||||
McCormick & Co., Inc. | USFF -0.250% | Weekly | MS | 07/29/24 | (33,032) | (3,126,844) | (2,748,593) | 290,786 | ||||||||
Monster Beverage Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (70,527) | (3,516,386) | (3,809,163) | (346,744) | ||||||||
(279,668) | (16,752,157) | (16,233,051) | 143,202 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Health Care Equipment & Services | ||||||||||||||||
Align Technology, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (6,526) | $ (2,612,119) | $ (2,180,598) | $ 388,997 | ||||||||
Baxter International, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (11,325) | (968,845) | (459,342) | 481,684 | ||||||||
Becton Dickinson and Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (17,486) | (4,433,493) | (4,328,484) | 433 | ||||||||
Boston Scientific Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (19,821) | (938,659) | (991,645) | (67,351) | ||||||||
Cooper Cos., Inc. (The) | USFF -0.250% | Weekly | MS | 07/06/26 | (1,938) | (798,779) | (723,572) | 62,884 | ||||||||
DaVita, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (3,971) | (436,337) | (322,088) | 112,642 | ||||||||
Dexcom, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (15,878) | (1,906,617) | (1,844,706) | 32,675 | ||||||||
Edwards Lifesciences Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (19,056) | (2,150,872) | (1,576,503) | 550,776 | ||||||||
Elevance Health, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (4,508) | (2,292,770) | (2,072,823) | 179,084 | ||||||||
Henry Schein, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (18,054) | (1,548,746) | (1,472,123) | 52,885 | ||||||||
Humana, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,757) | (1,859,416) | (1,823,873) | 3,820 | ||||||||
IDEXX Laboratories, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (5,001) | (2,781,889) | (2,500,900) | 238,306 | ||||||||
Insulet Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (7,926) | (2,469,368) | (2,528,077) | (96,590) | ||||||||
Intuitive Surgical, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (6,655) | (1,781,921) | (1,700,153) | 54,448 | ||||||||
Quest Diagnostics, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (16,890) | (2,247,707) | (2,389,597) | (176,221) | ||||||||
ResMed, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (13,616) | (3,232,178) | (2,981,768) | 181,586 | ||||||||
STERIS PLC (Ireland) | USFF -0.250% | Weekly | MS | 07/06/26 | (16,036) | (3,368,575) | (3,067,366) | 229,502 | ||||||||
Universal Health Services, Inc., Class B | USFF -0.250% | Weekly | MS | 07/06/26 | (10,921) | (1,328,443) | (1,388,059) | (83,803) | ||||||||
(199,365) | (37,156,734) | (34,351,677) | 2,145,757 | |||||||||||||
Household & Personal Products | ||||||||||||||||
Church & Dwight Co., Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (8,918) | (862,476) | (788,440) | 53,251 | ||||||||
Clorox Co. (The) | USFF -0.250% | Weekly | MS | 01/05/26 | (26,223) | (4,499,152) | (4,149,528) | 153,058 | ||||||||
Colgate-Palmolive Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (19,603) | (1,428,880) | (1,473,165) | (65,817) | ||||||||
Estee Lauder Cos., Inc. (The), Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (2,443) | (642,029) | (602,102) | 28,165 | ||||||||
(57,187) | (7,432,537) | (7,013,235) | 168,657 | |||||||||||||
Insurance | ||||||||||||||||
Allstate Corp. (The) | USFF -0.250% | Weekly | MS | 01/07/27 | (31,465) | (4,114,166) | (3,486,637) | 511,730 | ||||||||
American International Group, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (48,182) | (2,789,424) | (2,426,446) | 298,885 | ||||||||
Arthur J Gallagher & Co. | USFF -0.250% | Weekly | MS | 07/08/27 | (12,933) | (2,453,696) | (2,474,212) | (68,190) | ||||||||
Cincinnati Financial Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,093) | (288,028) | (234,583) | 45,581 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Insurance — (continued) | ||||||||||||||||
Hartford Financial Services Group, Inc. (The) | USFF -0.250% | Weekly | MS | 07/06/26 | (22,302) | $ (1,628,784) | $ (1,554,226) | $ 30,675 | ||||||||
MetLife, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (7,067) | (506,706) | (409,462) | 96,183 | ||||||||
Progressive Corp. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (4,292) | (600,627) | (614,014) | (22,559) | ||||||||
Prudential Financial, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (28,866) | (3,018,362) | (2,388,373) | 531,871 | ||||||||
Travelers Cos., Inc. (The) | USFF -0.250% | Weekly | MS | 07/08/27 | (2,328) | (437,914) | (399,042) | 28,898 | ||||||||
W R Berkley Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (35,574) | (2,188,029) | (2,214,837) | (60,367) | ||||||||
(195,102) | (18,025,736) | (16,201,832) | 1,392,707 | |||||||||||||
Materials | ||||||||||||||||
Air Products and Chemicals, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (5,498) | (1,551,126) | (1,579,081) | (61,155) | ||||||||
Albemarle Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,057) | (594,372) | (454,679) | 129,081 | ||||||||
Amcor PLC (Jersey) | USFF -0.250% | Weekly | MS | 07/08/27 | (364,778) | (4,191,032) | (4,151,174) | (72,128) | ||||||||
Avery Dennison Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (16,332) | (3,047,119) | (2,922,285) | 55,351 | ||||||||
Ball Corp. | USFF -0.250% | Weekly | MS | 11/03/25 | (10,614) | (721,596) | (584,938) | 122,218 | ||||||||
Celanese Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (29,446) | (3,050,469) | (3,206,375) | (202,715) | ||||||||
Corteva, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (77,772) | (4,690,753) | (4,690,429) | (95,963) | ||||||||
Ecolab, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (4,868) | (1,115,890) | (805,800) | 278,103 | ||||||||
International Flavors & Fragrances, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (15,598) | (1,830,201) | (1,434,392) | 332,532 | ||||||||
Martin Marietta Materials, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (656) | (237,363) | (232,919) | 63 | ||||||||
PPG Industries, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (20,111) | (2,665,048) | (2,686,427) | (87,721) | ||||||||
Sherwin-Williams Co. (The) | USFF -0.250% | Weekly | MS | 01/07/27 | (13,915) | (3,521,322) | (3,127,675) | 320,122 | ||||||||
Vulcan Materials Co. | USFF -0.250% | Weekly | MS | 07/06/26 | (7,444) | (1,402,852) | (1,277,093) | 93,892 | ||||||||
Westrock Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (155,997) | (5,038,049) | (4,753,229) | 204,717 | ||||||||
(725,086) | (33,657,192) | (31,906,496) | 1,016,397 | |||||||||||||
Media & Entertainment | ||||||||||||||||
DISH Network Corp., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (571,124) | (10,388,629) | (5,328,587) | 4,900,499 | ||||||||
Live Nation Entertainment, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (26,315) | (2,157,287) | (1,842,050) | 282,150 | ||||||||
Match Group, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (20,104) | (2,866,628) | (771,793) | 2,050,851 | ||||||||
Paramount Global, Class B | USFF -0.780% | Weekly | MS | 01/07/27 | (27,470) | (790,140) | (612,856) | 144,437 | ||||||||
(645,013) | (16,202,684) | (8,555,286) | 7,377,937 | |||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||
Agilent Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (6,368) | (881,178) | (880,949) | (13,712) | ||||||||
Amgen, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,875) | (499,151) | (453,281) | 34,549 | ||||||||
Bio-Rad Laboratories, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (4,363) | (2,536,153) | (2,089,964) | 407,281 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||||||||
Bio-Techne Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (28,656) | $ (2,851,152) | $ (2,125,989) | $ 674,179 | ||||||||
Catalent, Inc. | USFF -0.250% | Weekly | MS | 11/03/25 | (69,578) | (7,024,613) | (4,571,970) | 2,344,210 | ||||||||
Charles River Laboratories International, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,999) | (506,117) | (403,438) | 94,958 | ||||||||
Eli Lilly & Co. | USFF -0.250% | Weekly | MS | 07/08/27 | (13,417) | (4,471,170) | (4,607,666) | (215,717) | ||||||||
IQVIA Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (3,419) | (878,572) | (680,005) | 184,670 | ||||||||
Mettler-Toledo International, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (550) | (836,998) | (841,615) | (19,466) | ||||||||
Viatris, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (119,642) | (1,310,109) | (1,150,956) | 127,097 | ||||||||
Waters Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (5,439) | (1,583,433) | (1,684,078) | (124,916) | ||||||||
West Pharmaceutical Services, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (3,103) | (1,354,982) | (1,075,096) | 286,402 | ||||||||
Zoetis, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (8,648) | (1,797,330) | (1,439,373) | 316,263 | ||||||||
(267,057) | (26,530,958) | (22,004,380) | 4,095,798 | |||||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Advanced Micro Devices, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (9,801) | (1,102,607) | (960,596) | 125,127 | ||||||||
Analog Devices, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (11,887) | (2,164,554) | (2,344,354) | (260,010) | ||||||||
Enphase Energy, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (19,873) | (5,188,296) | (4,178,894) | 918,109 | ||||||||
First Solar, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (23,179) | (3,747,820) | (5,041,432) | (1,351,646) | ||||||||
Intel Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (118,713) | (3,992,237) | (3,878,354) | (77,889) | ||||||||
Monolithic Power Systems, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (3,094) | (1,530,085) | (1,548,671) | (51,226) | ||||||||
Teradyne, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (20,598) | (2,205,383) | (2,214,491) | (44,879) | ||||||||
Texas Instruments, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (12,456) | (2,206,418) | (2,316,941) | (150,489) | ||||||||
(219,601) | (22,137,400) | (22,483,733) | (892,903) | |||||||||||||
Software & Services | ||||||||||||||||
Akamai Technologies, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (274) | (27,937) | (21,454) | 6,108 | ||||||||
Ceridian HCM Holding, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (21,148) | (1,961,599) | (1,548,457) | 381,096 | ||||||||
Fortinet, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (29,681) | (1,938,701) | (1,972,599) | (63,627) | ||||||||
Gen Digital, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (7,113) | (187,022) | (122,059) | 59,325 | ||||||||
Intuit, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,730) | (1,135,508) | (1,217,116) | (103,616) | ||||||||
Oracle Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,556) | (139,518) | (144,584) | (5,788) | ||||||||
Paycom Software, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (5,096) | (1,781,618) | (1,549,235) | 203,991 | ||||||||
PTC, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (25,195) | (3,009,022) | (3,230,755) | (268,705) | ||||||||
Tyler Technologies, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (8,986) | (3,538,517) | (3,186,795) | 297,415 | ||||||||
(101,779) | (13,719,442) | (12,993,054) | 506,199 | |||||||||||||
Technology Hardware & Equipment | ||||||||||||||||
Arista Networks, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (13,487) | (1,880,071) | (2,263,928) | (412,685) | ||||||||
Corning, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (87,931) | (3,035,616) | (3,102,206) | (120,699) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Technology Hardware & Equipment — (continued) | ||||||||||||||||
F5, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (798) | $ (189,085) | $ (116,261) | $ 98,240 | ||||||||
Juniper Networks, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (124,289) | (3,739,719) | (4,278,027) | (644,446) | ||||||||
Keysight Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,708) | (442,136) | (437,288) | (1,889) | ||||||||
TE Connectivity Ltd. (Switzerland) | USFF -0.250% | Weekly | MS | 01/10/28 | (2,579) | (329,004) | (338,236) | (13,898) | ||||||||
Teledyne Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/29/24 | (469) | (205,353) | (209,812) | (7,559) | ||||||||
Trimble, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (51,524) | (3,571,729) | (2,700,888) | 817,050 | ||||||||
Western Digital Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (161,297) | (6,422,800) | (6,076,058) | 239,128 | ||||||||
(445,082) | (19,815,513) | (19,522,704) | (46,758) | |||||||||||||
Transportation | ||||||||||||||||
Alaska Air Group, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (54,131) | (2,480,271) | (2,271,337) | 170,885 | ||||||||
CH Robinson Worldwide, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (4,117) | (433,412) | (409,106) | 11,136 | ||||||||
Delta Air Lines, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (54,872) | (2,166,728) | (1,916,130) | 216,475 | ||||||||
FedEx Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (9,520) | (1,764,432) | (2,175,225) | (490,984) | ||||||||
JB Hunt Transport Services, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (17,882) | (3,498,901) | (3,137,576) | 282,000 | ||||||||
Southwest Airlines Co. | USFF -0.250% | Weekly | MS | 01/05/26 | (93,242) | (3,823,569) | (3,034,095) | 702,728 | ||||||||
(233,764) | (14,167,313) | (12,943,469) | 892,240 | |||||||||||||
Utilities | ||||||||||||||||
AES Corp. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (38,161) | (945,605) | (918,917) | 14,774 | ||||||||
Alliant Energy Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (40,522) | (2,485,153) | (2,163,875) | 223,853 | ||||||||
Ameren Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (7,008) | (659,081) | (605,421) | 27,468 | ||||||||
American Electric Power Co., Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (24,300) | (2,390,112) | (2,211,057) | 90,938 | ||||||||
American Water Works Co., Inc. | USFF -0.250% | Weekly | MS | 11/03/25 | (8,498) | (1,412,921) | (1,244,872) | 123,284 | ||||||||
Atmos Energy Corp. | USFF -0.250% | Weekly | MS | 07/29/24 | (9,542) | (1,081,605) | (1,072,139) | (41,938) | ||||||||
CenterPoint Energy, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (57,604) | (1,650,270) | (1,697,014) | (88,153) | ||||||||
CMS Energy Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (26,372) | (1,829,097) | (1,618,713) | 144,849 | ||||||||
Consolidated Edison, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (8,532) | (836,071) | (816,256) | (10,685) | ||||||||
Dominion Energy, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (16,736) | (1,402,441) | (935,710) | 426,867 | ||||||||
DTE Energy Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (17,044) | (1,822,305) | (1,867,000) | (85,373) | ||||||||
Duke Energy Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (16,210) | (1,755,246) | (1,563,779) | 120,595 | ||||||||
Edison International | USFF -0.250% | Weekly | MS | 07/29/24 | (38,451) | (2,621,849) | (2,714,256) | (254,743) | ||||||||
Entergy Corp. | USFF -0.250% | Weekly | MS | 07/29/24 | (9,278) | (1,076,305) | (999,612) | 23,545 | ||||||||
Evergy, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (25,176) | (1,702,333) | (1,538,757) | 83,867 | ||||||||
Eversource Energy | USFF -0.250% | Weekly | MS | 07/29/24 | (32,793) | (2,829,603) | (2,566,380) | 122,570 | ||||||||
FirstEnergy Corp. | USFF -0.250% | Weekly | MS | 07/29/24 | (46,593) | (1,931,482) | (1,866,516) | (24,387) | ||||||||
NextEra Energy, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (20,800) | (1,763,736) | (1,603,264) | 115,293 | ||||||||
NiSource, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (55,169) | (1,659,075) | (1,542,525) | 59,849 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Utilities — (continued) | ||||||||||||||||
Pinnacle West Capital Corp. | USFF -0.250% | Weekly | MS | 07/29/24 | (29,128) | $ (2,613,663) | $ (2,308,103) | $ 26,581 | ||||||||
PPL Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (57,987) | (1,761,084) | (1,611,459) | 84,130 | ||||||||
Sempra Energy | USFF -0.250% | Weekly | MS | 01/07/27 | (18,834) | (2,875,576) | (2,846,947) | (41,880) | ||||||||
WEC Energy Group, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (11,501) | (1,094,450) | (1,090,180) | (21,675) | ||||||||
Xcel Energy, Inc. | USFF -0.250% | Weekly | MS | 07/29/24 | (28,868) | (2,040,263) | (1,946,858) | (10,044) | ||||||||
(645,107) | (42,239,326) | (39,349,610) | 1,109,585 | |||||||||||||
Total Reference Entity — Short | (447,981,833) | (402,454,844) | 34,254,427 | |||||||||||||
Net Value of Reference Entity | $ (68,119,952) | $ 27,526,163 | $98,840,719 |
* | Includes $3,194,604 related to open trades, dividends receivables/payables and swap receivables/payables activities. |
USFF U.S. Fed Funds
Number of Shares | Value | ||
COMMON STOCKS — 99.2% | |||
Automobiles & Components — 1.0% | |||
BorgWarner, Inc. | 1,278 | $ 62,763 | |
General Motors Co. | 7,064 | 259,107 | |
321,870 | |||
Banks — 2.2% | |||
Citigroup, Inc. | 5,709 | 267,695 | |
Citizens Financial Group, Inc. | 2,686 | 81,574 | |
Comerica, Inc. | 824 | 35,778 | |
Fifth Third Bancorp | 3,491 | 93,000 | |
Huntington Bancshares, Inc. | 8,199 | 91,829 | |
KeyCorp. | 5,203 | 65,141 | |
PNC Financial Services Group, Inc. (The) | 669 | 85,030 | |
Zions Bancorp NA | 844 | 25,261 | |
745,308 | |||
Capital Goods — 9.1% | |||
3M Co. | 3,457 | 363,365 | |
A. O. Smith Corp. | 633 | 43,772 | |
AMETEK, Inc. | 61 | 8,865 | |
Carrier Global Corp. | 2,429 | 111,127 | |
Caterpillar, Inc. | 2,290 | 524,044 | |
Dover Corp. | 56 | 8,509 | |
General Electric Co. | 5,400 | 516,240 | |
Honeywell International, Inc. | 1,696 | 324,139 | |
Illinois Tool Works, Inc. | 1,013 | 246,615 | |
Ingersoll Rand, Inc. | 138 | 8,029 | |
Johnson Controls International PLC (Ireland) | 563 | 33,904 | |
Lockheed Martin Corp. | 464 | 219,347 | |
Masco Corp. | 1,038 | 51,609 | |
Otis Worldwide Corp. | 1,085 | 91,574 | |
PACCAR, Inc. | 444 | 32,501 | |
Pentair PLC (Ireland) | 6 | 332 | |
Snap-on, Inc. | 333 | 82,214 | |
Textron, Inc. | 1,298 | 91,678 | |
Trane Technologies PLC (Ireland) | 385 | 70,832 | |
WW Grainger, Inc. | 261 | 179,779 | |
3,008,475 | |||
Commercial & Professional Services — 0.5% | |||
Automatic Data Processing, Inc. | 183 | 40,741 | |
Leidos Holdings, Inc. | 747 | 68,769 | |
Robert Half International, Inc. | 679 | 54,707 | |
164,217 | |||
Consumer Discretionary Distribution & Retail — 5.0% | |||
Advance Auto Parts, Inc. | 373 | 45,360 | |
AutoZone, Inc.* | 58 | 142,573 | |
Bath & Body Works, Inc. | 1,164 | 42,579 | |
Best Buy Co., Inc. | 1,391 | 108,874 | |
CarMax, Inc.* | 995 | 63,959 | |
eBay, Inc. | 3,393 | 150,547 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Consumer Discretionary Distribution & Retail — (Continued) | |||
Genuine Parts Co. | 848 | $ 141,879 | |
LKQ Corp. | 1,683 | 95,527 | |
Lowe's Cos., Inc. | 452 | 90,386 | |
O'Reilly Automotive, Inc.* | 269 | 228,376 | |
Ross Stores, Inc. | 1,311 | 139,136 | |
TJX Cos., Inc. (The) | 3,344 | 262,036 | |
Ulta Beauty, Inc.* | 246 | 134,235 | |
1,645,467 | |||
Consumer Durables & Apparel — 0.5% | |||
Garmin Ltd. (Switzerland) | 227 | 22,909 | |
Hasbro, Inc. | 869 | 46,657 | |
Mohawk Industries, Inc.* | 347 | 34,776 | |
Tapestry, Inc. | 1,301 | 56,086 | |
160,428 | |||
Consumer Services — 2.2% | |||
Caesars Entertainment, Inc.* | 1,169 | 57,059 | |
Expedia Group, Inc.* | 965 | 93,634 | |
McDonald's Corp. | 904 | 252,767 | |
MGM Resorts International | 2,387 | 106,031 | |
Starbucks Corp. | 952 | 99,132 | |
Yum! Brands, Inc. | 888 | 117,287 | |
725,910 | |||
Consumer Staples Distribution & Retail — 1.4% | |||
Kroger Co. (The) | 3,802 | 187,705 | |
Walgreens Boots Alliance, Inc. | 5,429 | 187,735 | |
Walmart, Inc. | 605 | 89,207 | |
464,647 | |||
Energy — 10.4% | |||
APA Corp. | 1,962 | 70,750 | |
Baker Hughes Co. | 1,850 | 53,391 | |
Chevron Corp. | 2,388 | 389,626 | |
ConocoPhillips | 5,097 | 505,673 | |
Coterra Energy, Inc. | 3,922 | 96,246 | |
Devon Energy Corp. | 1,063 | 53,799 | |
EOG Resources, Inc. | 2,653 | 304,113 | |
EQT Corp. | 2,300 | 73,393 | |
Exxon Mobil Corp. | 3,502 | 384,029 | |
Halliburton Co. | 3,261 | 103,178 | |
Marathon Petroleum Corp. | 2,858 | 385,344 | |
Occidental Petroleum Corp. | 3,811 | 237,921 | |
Phillips 66 | 2,933 | 297,348 | |
Pioneer Natural Resources Co. | 1,134 | 231,608 | |
Valero Energy Corp. | 1,984 | 276,966 | |
3,463,385 | |||
Equity Real Estate Investment Trusts (REITs) — 4.2% | |||
Alexandria Real Estate Equities, Inc. | 820 | 102,984 | |
AvalonBay Communities, Inc. | 683 | 114,785 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Equity Real Estate Investment Trusts (REITs) — (Continued) | |||
Boston Properties, Inc. | 987 | $ 53,416 | |
Camden Property Trust | 675 | 70,767 | |
Digital Realty Trust, Inc. | 70 | 6,882 | |
Equity Residential | 1,891 | 113,460 | |
Essex Property Trust, Inc. | 407 | 85,120 | |
Healthpeak Properties, Inc. | 2,726 | 59,890 | |
Mid-America Apartment Communities, Inc. | 64 | 9,667 | |
Prologis, Inc. | 724 | 90,333 | |
Realty Income Corp. | 2,114 | 133,859 | |
Simon Property Group, Inc. | 892 | 99,877 | |
UDR, Inc. | 1,698 | 69,720 | |
Ventas, Inc. | 1,672 | 72,481 | |
Welltower, Inc. | 2,164 | 155,137 | |
Weyerhaeuser Co. | 4,631 | 139,532 | |
1,377,910 | |||
Financial Services — 5.4% | |||
Ameriprise Financial, Inc. | 236 | 72,334 | |
Berkshire Hathaway, Inc., Class B* | 693 | 213,978 | |
BlackRock, Inc. | 221 | 147,875 | |
CME Group, Inc. | 977 | 187,115 | |
Fidelity National Information Services, Inc. | 2,896 | 157,340 | |
FleetCor Technologies, Inc.* | 462 | 97,413 | |
Franklin Resources, Inc. | 3,149 | 84,834 | |
Intercontinental Exchange, Inc. | 3,520 | 367,101 | |
Invesco Ltd. (Bermuda) | 2,864 | 46,969 | |
Jack Henry & Associates, Inc. | 351 | 52,903 | |
Nasdaq, Inc. | 3,091 | 168,985 | |
PayPal Holdings, Inc.* | 291 | 22,098 | |
T Rowe Price Group, Inc. | 1,413 | 159,528 | |
1,778,473 | |||
Food, Beverage & Tobacco — 5.6% | |||
Altria Group, Inc. | 9,059 | 404,213 | |
Archer-Daniels-Midland Co. | 102 | 8,125 | |
Bunge Ltd. (Bermuda) | 720 | 68,774 | |
Campbell Soup Co. | 1,882 | 103,472 | |
Coca-Cola Co. (The) | 412 | 25,556 | |
General Mills, Inc. | 2,817 | 240,741 | |
J M Smucker Co. (The) | 538 | 84,665 | |
Kellogg Co. | 2,151 | 144,031 | |
Keurig Dr Pepper, Inc. | 3,264 | 115,154 | |
Kraft Heinz Co. (The) | 6,128 | 236,970 | |
Philip Morris International, Inc. | 3,089 | 300,405 | |
Tyson Foods, Inc., Class A | 2,239 | 132,818 | |
1,864,924 | |||
Health Care Equipment & Services — 8.4% | |||
Abbott Laboratories | 74 | 7,493 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Health Care Equipment & Services — (Continued) | |||
AmerisourceBergen Corp. | 988 | $ 158,189 | |
Cardinal Health, Inc. | 1,630 | 123,065 | |
Centene Corp.* | 2,763 | 174,649 | |
Cigna Group (The) | 1,499 | 383,039 | |
CVS Health Corp. | 6,003 | 446,083 | |
DaVita, Inc.* | 569 | 46,151 | |
DENTSPLY SIRONA, Inc. | 1,356 | 53,264 | |
GE HealthCare Technologies, Inc.* | 2,658 | 218,036 | |
HCA Healthcare, Inc. | 1,563 | 412,132 | |
Henry Schein, Inc.* | 830 | 67,678 | |
Hologic, Inc.* | 1,305 | 105,313 | |
Laboratory Corp. of America Holdings | 493 | 113,104 | |
McKesson Corp. | 643 | 228,940 | |
Medtronic PLC (Ireland) | 551 | 44,422 | |
Molina Healthcare, Inc.* | 339 | 90,679 | |
Quest Diagnostics, Inc. | 318 | 44,991 | |
Teleflex, Inc. | 22 | 5,573 | |
Universal Health Services, Inc., Class B | 360 | 45,756 | |
2,768,557 | |||
Household & Personal Products — 1.9% | |||
Kimberly-Clark Corp. | 1,882 | 252,602 | |
Procter & Gamble Co. (The) | 2,564 | 381,241 | |
633,843 | |||
Insurance — 4.1% | |||
Aflac, Inc. | 2,448 | 157,945 | |
Aon PLC, Class A (Ireland) | 372 | 117,288 | |
Arch Capital Group Ltd. (Bermuda)* | 2,189 | 148,567 | |
Assurant, Inc. | 337 | 40,464 | |
Brown & Brown, Inc. | 1,509 | 86,647 | |
Cincinnati Financial Corp. | 836 | 93,699 | |
Everest Re Group Ltd. (Bermuda) | 175 | 62,653 | |
Globe Life, Inc. | 610 | 67,112 | |
Lincoln National Corp. | 1,008 | 22,650 | |
Loews Corp. | 1,387 | 80,474 | |
Marsh & McLennan Cos., Inc. | 1,629 | 271,310 | |
Principal Financial Group, Inc. | 970 | 72,090 | |
Willis Towers Watson PLC (Ireland) | 583 | 135,478 | |
1,356,377 | |||
Materials — 4.6% | |||
CF Industries Holdings, Inc. | 1,232 | 89,308 | |
Dow, Inc. | 4,437 | 243,236 | |
DuPont de Nemours, Inc. | 2,500 | 179,425 | |
Eastman Chemical Co. | 748 | 63,086 | |
FMC Corp. | 712 | 86,957 | |
International Paper Co. | 2,205 | 79,512 | |
LyondellBasell Industries NV, Class A (Netherlands) | 2,050 | 192,475 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Materials — (Continued) | |||
Mosaic Co. (The) | 2,135 | $ 97,954 | |
Nucor Corp. | 1,595 | 246,380 | |
Packaging Corp. of America | 564 | 78,300 | |
Sealed Air Corp. | 910 | 41,778 | |
Steel Dynamics, Inc. | 1,088 | 123,009 | |
1,521,420 | |||
Media & Entertainment — 4.8% | |||
Alphabet, Inc., Class A* | 1,227 | 127,277 | |
Charter Communications, Inc., Class A* | 960 | 343,306 | |
Comcast Corp., Class A | 21,331 | 808,658 | |
Interpublic Group of Cos., Inc. (The) | 2,433 | 90,605 | |
Match Group, Inc.* | 1,298 | 49,830 | |
News Corp., Class A | 3,624 | 62,586 | |
Omnicom Group, Inc. | 1,276 | 120,378 | |
1,602,640 | |||
Pharmaceuticals, Biotechnology & Life Sciences — 9.2% | |||
AbbVie, Inc. | 1,457 | 232,202 | |
Amgen, Inc. | 1,279 | 309,198 | |
Biogen, Inc.* | 907 | 252,173 | |
Bristol-Myers Squibb Co. | 588 | 40,754 | |
Gilead Sciences, Inc. | 5,548 | 460,318 | |
Johnson & Johnson | 1,684 | 261,020 | |
Merck & Co., Inc. | 3,861 | 410,772 | |
Moderna, Inc.* | 1,794 | 275,522 | |
Organon & Co. | 1,601 | 37,656 | |
Pfizer, Inc. | 9,818 | 400,574 | |
Regeneron Pharmaceuticals, Inc.* | 198 | 162,691 | |
Vertex Pharmaceuticals, Inc.* | 636 | 200,385 | |
3,043,265 | |||
Real Estate Management & Development — 0.4% | |||
CBRE Group, Inc., Class A* | 1,958 | 142,562 | |
Semiconductors & Semiconductor Equipment — 4.4% | |||
Applied Materials, Inc. | 2,393 | 293,932 | |
Broadcom, Inc. | 246 | 157,819 | |
KLA Corp. | 145 | 57,880 | |
Lam Research Corp. | 798 | 423,036 | |
NXP Semiconductors N. V. (Netherlands) | 697 | 129,973 | |
ON Semiconductor Corp.* | 2,249 | 185,138 | |
Qorvo, Inc.* | 636 | 64,598 | |
Skyworks Solutions, Inc. | 872 | 102,879 | |
Teradyne, Inc. | 536 | 57,625 | |
1,472,880 | |||
Software & Services — 2.2% | |||
Accenture PLC, Class A (Ireland) | 79 | 22,579 | |
Akamai Technologies, Inc.* | 985 | 77,125 | |
DXC Technology Co.* | 1,436 | 36,704 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Software & Services — (Continued) | |||
Gartner, Inc.* | 377 | $ 122,815 | |
Gen Digital, Inc. | 3,186 | 54,672 | |
International Business Machines Corp. | 2,534 | 332,182 | |
VeriSign, Inc.* | 472 | 99,748 | |
745,825 | |||
Technology Hardware & Equipment — 4.2% | |||
Amphenol Corp., Class A | 1,001 | 81,802 | |
CDW Corp. | 650 | 126,678 | |
Cisco Systems, Inc. | 9,493 | 496,247 | |
F5, Inc.* | 379 | 55,216 | |
Hewlett Packard Enterprise Co. | 6,997 | 111,462 | |
HP, Inc. | 6,200 | 181,970 | |
Motorola Solutions, Inc. | 30 | 8,584 | |
NetApp, Inc. | 1,348 | 86,070 | |
Seagate Technology Holdings PLC (Ireland) | 1,300 | 85,956 | |
TE Connectivity Ltd. (Switzerland) | 24 | 3,148 | |
Teledyne Technologies, Inc.* | 150 | 67,104 | |
Zebra Technologies Corp., Class A* | 324 | 103,032 | |
1,407,269 | |||
Telecommunication Services — 2.4% | |||
AT&T, Inc. | 21,431 | 412,547 | |
Verizon Communications, Inc. | 9,732 | 378,477 | |
791,024 | |||
Transportation — 4.6% | |||
CH Robinson Worldwide, Inc. | 734 | 72,938 | |
CSX Corp. | 10,277 | 307,693 | |
Expeditors International of Washington, Inc. | 971 | 106,926 | |
Norfolk Southern Corp. | 1,142 | 242,104 | |
Union Pacific Corp. | 1,592 | 320,406 | |
United Parcel Service, Inc., Class B | 2,442 | 473,724 | |
1,523,791 | |||
Utilities — 0.5% | |||
Constellation Energy Corp. | 2,058 | 161,553 | |
TOTAL COMMON STOCKS (Cost $29,651,481) | 32,892,020 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.8% | 250,364 | ||
NET ASSETS - 100.0% | $ 33,142,384 |
* | Non-income producing. |
PLC | Public Limited Company |
Number of Shares | Value | ||
COMMON STOCKS — 99.2% | |||
Automobiles & Components — 1.7% | |||
Aptiv PLC (Jersey)* | 15 | $ 1,683 | |
BorgWarner, Inc. | 418 | 20,528 | |
Ford Motor Co. | 261 | 3,288 | |
General Motors Co. | 2,550 | 93,534 | |
Tesla, Inc.* | 774 | 160,574 | |
279,607 | |||
Banks — 1.7% | |||
Bank of America Corp. | 1,905 | 54,483 | |
Citigroup, Inc. | 127 | 5,955 | |
Citizens Financial Group, Inc. | 22 | 668 | |
Comerica, Inc. | 59 | 2,562 | |
Fifth Third Bancorp | 302 | 8,045 | |
First Republic Bank | 82 | 1,147 | |
Huntington Bancshares, Inc. | 65 | 728 | |
JPMorgan Chase & Co. | 1,055 | 137,477 | |
KeyCorp. | 413 | 5,171 | |
M&T Bank Corp. | 8 | 957 | |
PNC Financial Services Group, Inc. (The) | 66 | 8,389 | |
Regions Financial Corp. | 42 | 780 | |
Truist Financial Corp. | 587 | 20,017 | |
US Bancorp | 681 | 24,550 | |
Wells Fargo & Co. | 217 | 8,111 | |
Zions Bancorp NA | 66 | 1,975 | |
281,015 | |||
Capital Goods — 6.0% | |||
3M Co. | 979 | 102,903 | |
A. O. Smith Corp. | 9 | 622 | |
Allegion PLC (Ireland) | 5 | 534 | |
AMETEK, Inc. | 13 | 1,889 | |
Boeing Co. (The)* | 40 | 8,497 | |
Carrier Global Corp. | 53 | 2,425 | |
Caterpillar, Inc. | 920 | 210,533 | |
Cummins, Inc. | 8 | 1,911 | |
Deere & Co. | 18 | 7,432 | |
Dover Corp. | 8 | 1,216 | |
Eaton Corp. PLC (Ireland) | 24 | 4,112 | |
Emerson Electric Co. | 38 | 3,311 | |
Fastenal Co. | 26 | 1,402 | |
Fortive Corp. | 157 | 10,703 | |
Generac Holdings, Inc.* | 3 | 324 | |
General Dynamics Corp. | 17 | 3,880 | |
General Electric Co. | 1,538 | 147,033 | |
Honeywell International, Inc. | 1,127 | 215,392 | |
Howmet Aerospace, Inc. | 25 | 1,059 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Capital Goods — (Continued) | |||
Huntington Ingalls Industries, Inc. | 2 | $ 414 | |
IDEX Corp. | 4 | 924 | |
Illinois Tool Works, Inc. | 20 | 4,869 | |
Ingersoll Rand, Inc. | 24 | 1,396 | |
Johnson Controls International PLC (Ireland) | 45 | 2,710 | |
L3Harris Technologies, Inc. | 11 | 2,159 | |
Lockheed Martin Corp. | 140 | 66,182 | |
Masco Corp. | 14 | 696 | |
Nordson Corp. | 3 | 667 | |
Northrop Grumman Corp. | 69 | 31,859 | |
Otis Worldwide Corp. | 25 | 2,110 | |
PACCAR, Inc. | 37 | 2,708 | |
Parker-Hannifin Corp. | 7 | 2,353 | |
Pentair PLC (Ireland) | 10 | 553 | |
Quanta Services, Inc. | 8 | 1,333 | |
Raytheon Technologies Corp. | 65 | 6,365 | |
Rockwell Automation, Inc. | 5 | 1,467 | |
Snap-on, Inc. | 95 | 23,455 | |
Stanley Black & Decker, Inc. | 9 | 725 | |
Textron, Inc. | 366 | 25,851 | |
Trane Technologies PLC (Ireland) | 14 | 2,576 | |
TransDigm Group, Inc. | 3 | 2,211 | |
United Rentals, Inc. | 4 | 1,583 | |
Westinghouse Air Brake Technologies Corp. | 8 | 808 | |
WW Grainger, Inc. | 90 | 61,993 | |
Xylem, Inc. | 12 | 1,256 | |
974,401 | |||
Commercial & Professional Services — 0.4% | |||
Automatic Data Processing, Inc. | 28 | 6,234 | |
Broadridge Financial Solutions, Inc. | 6 | 879 | |
Cintas Corp. | 5 | 2,313 | |
Copart, Inc.* | 22 | 1,655 | |
CoStar Group, Inc.* | 18 | 1,239 | |
Equifax, Inc. | 6 | 1,217 | |
Jacobs Solutions, Inc. | 7 | 823 | |
Leidos Holdings, Inc. | 244 | 22,463 | |
Paychex, Inc. | 21 | 2,406 | |
Republic Services, Inc. | 16 | 2,163 | |
Robert Half International, Inc. | 193 | 15,550 | |
Rollins, Inc. | 22 | 826 | |
Verisk Analytics, Inc. | 8 | 1,535 | |
Waste Management, Inc. | 19 | 3,100 | |
62,403 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Consumer Discretionary Distribution & Retail — 6.8% | |||
Advance Auto Parts, Inc. | 106 | $ 12,891 | |
Amazon.com, Inc.* | 5,472 | 565,203 | |
AutoZone, Inc.* | 15 | 36,872 | |
Bath & Body Works, Inc. | 407 | 14,888 | |
Best Buy Co., Inc. | 392 | 30,682 | |
CarMax, Inc.* | 282 | 18,127 | |
eBay, Inc. | 1,001 | 44,414 | |
Etsy, Inc.* | 5 | 556 | |
Genuine Parts Co. | 251 | 41,995 | |
Home Depot, Inc. (The) | 64 | 18,888 | |
LKQ Corp. | 17 | 965 | |
Lowe's Cos., Inc. | 40 | 7,999 | |
O'Reilly Automotive, Inc.* | 112 | 95,086 | |
Pool Corp. | 2 | 685 | |
Ross Stores, Inc. | 468 | 49,669 | |
TJX Cos., Inc. (The) | 1,513 | 118,559 | |
Tractor Supply Co. | 6 | 1,410 | |
Ulta Beauty, Inc.* | 90 | 49,110 | |
1,107,999 | |||
Consumer Durables & Apparel — 0.4% | |||
DR Horton, Inc. | 16 | 1,563 | |
Garmin Ltd. (Switzerland) | 11 | 1,110 | |
Hasbro, Inc. | 247 | 13,261 | |
Lennar Corp., Class A | 129 | 13,559 | |
Mohawk Industries, Inc.* | 3 | 301 | |
Newell Brands, Inc. | 24 | 299 | |
NIKE, Inc., Class B | 69 | 8,462 | |
NVR, Inc.* | 1 | 5,572 | |
PulteGroup, Inc. | 11 | 641 | |
Ralph Lauren Corp. | 4 | 467 | |
Tapestry, Inc. | 421 | 18,149 | |
VF Corp. | 24 | 550 | |
Whirlpool Corp. | 4 | 528 | |
64,462 | |||
Consumer Services — 0.8% | |||
Booking Holdings, Inc.* | 3 | 7,957 | |
Caesars Entertainment, Inc.* | 382 | 18,645 | |
Carnival Corp. (Panama)* | 56 | 568 | |
Chipotle Mexican Grill, Inc.* | 1 | 1,708 | |
Darden Restaurants, Inc. | 7 | 1,086 | |
Domino's Pizza, Inc. | 2 | 660 | |
Expedia Group, Inc.* | 276 | 26,780 | |
Hilton Worldwide Holdings, Inc. | 12 | 1,690 | |
Las Vegas Sands Corp.* | 34 | 1,953 | |
Marriott International, Inc., Class A | 14 | 2,325 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Consumer Services — (Continued) | |||
McDonald's Corp. | 87 | $ 24,326 | |
MGM Resorts International | 688 | 30,561 | |
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | 19 | 256 | |
Royal Caribbean Cruises Ltd. (Liberia)* | 11 | 718 | |
Starbucks Corp. | 73 | 7,602 | |
Wynn Resorts Ltd.* | 5 | 560 | |
Yum! Brands, Inc. | 18 | 2,378 | |
129,773 | |||
Consumer Staples Distribution & Retail — 0.9% | |||
Costco Wholesale Corp. | 20 | 9,937 | |
Dollar General Corp. | 13 | 2,736 | |
Dollar Tree, Inc.* | 13 | 1,866 | |
Kroger Co. (The) | 1,088 | 53,715 | |
Sysco Corp. | 28 | 2,162 | |
Target Corp. | 28 | 4,638 | |
Walgreens Boots Alliance, Inc. | 1,537 | 53,150 | |
Walmart, Inc. | 169 | 24,919 | |
153,123 | |||
Energy — 7.0% | |||
APA Corp. | 633 | 22,826 | |
Baker Hughes Co. | 60 | 1,732 | |
Chevron Corp. | 1,054 | 171,971 | |
ConocoPhillips | 2,189 | 217,171 | |
Coterra Energy, Inc. | 116 | 2,847 | |
Devon Energy Corp. | 42 | 2,126 | |
Diamondback Energy, Inc. | 12 | 1,622 | |
EOG Resources, Inc. | 1,047 | 120,018 | |
EQT Corp. | 24 | 766 | |
Exxon Mobil Corp. | 2,123 | 232,808 | |
Halliburton Co. | 412 | 13,036 | |
Hess Corp. | 18 | 2,382 | |
Kinder Morgan, Inc. | 134 | 2,346 | |
Marathon Oil Corp. | 41 | 982 | |
Marathon Petroleum Corp. | 980 | 132,133 | |
Occidental Petroleum Corp. | 538 | 33,587 | |
ONEOK, Inc. | 27 | 1,716 | |
Phillips 66 | 833 | 84,449 | |
Pioneer Natural Resources Co. | 15 | 3,064 | |
Schlumberger N.V. (Curacao) | 83 | 4,075 | |
Targa Resources Corp. | 10 | 729 | |
Valero Energy Corp. | 694 | 96,882 | |
Williams Cos., Inc. (The) | 64 | 1,911 | |
1,151,179 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Equity Real Estate Investment Trusts (REITs) — 2.3% | |||
Alexandria Real Estate Equities, Inc. | 11 | $ 1,382 | |
American Tower Corp. | 206 | 42,094 | |
AvalonBay Communities, Inc. | 249 | 41,847 | |
Boston Properties, Inc. | 32 | 1,732 | |
Camden Property Trust | 206 | 21,597 | |
Crown Castle, Inc. | 192 | 25,697 | |
Digital Realty Trust, Inc. | 13 | 1,278 | |
Equinix, Inc. | 4 | 2,884 | |
Equity Residential | 25 | 1,500 | |
Essex Property Trust, Inc. | 3 | 627 | |
Extra Space Storage, Inc. | 7 | 1,141 | |
Federal Realty Investment Trust | 4 | 395 | |
Healthpeak Properties, Inc. | 36 | 791 | |
Host Hotels & Resorts, Inc. | 32 | 528 | |
Invitation Homes, Inc. | 28 | 874 | |
Iron Mountain, Inc. | 13 | 688 | |
Kimco Realty Corp. | 36 | 703 | |
Mid-America Apartment Communities, Inc. | 6 | 906 | |
Prologis, Inc. | 618 | 77,108 | |
Public Storage | 10 | 3,021 | |
Realty Income Corp. | 1,177 | 74,528 | |
Regency Centers Corp. | 10 | 612 | |
SBA Communications Corp. | 48 | 12,531 | |
Simon Property Group, Inc. | 19 | 2,127 | |
UDR, Inc. | 15 | 616 | |
Ventas, Inc. | 18 | 780 | |
VICI Properties, Inc. | 43 | 1,403 | |
Welltower, Inc. | 252 | 18,066 | |
Weyerhaeuser Co. | 1,304 | 39,290 | |
376,746 | |||
Financial Services — 7.1% | |||
American Express Co. | 33 | 5,443 | |
Ameriprise Financial, Inc. | 6 | 1,839 | |
Bank of New York Mellon Corp. (The) | 54 | 2,454 | |
Berkshire Hathaway, Inc., Class B* | 1,178 | 363,731 | |
BlackRock, Inc. | 10 | 6,691 | |
Capital One Financial Corp. | 23 | 2,212 | |
Cboe Global Markets, Inc. | 5 | 671 | |
Charles Schwab Corp. (The) | 82 | 4,295 | |
CME Group, Inc. | 159 | 30,452 | |
Discover Financial Services | 17 | 1,680 | |
FactSet Research Systems, Inc. | 2 | 830 | |
Fidelity National Information Services, Inc. | 1,048 | 56,938 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Financial Services — (Continued) | |||
Fiserv, Inc.* | 28 | $ 3,165 | |
FleetCor Technologies, Inc.* | 131 | 27,621 | |
Franklin Resources, Inc. | 890 | 23,977 | |
Global Payments, Inc. | 12 | 1,263 | |
Goldman Sachs Group, Inc. (The) | 20 | 6,542 | |
Intercontinental Exchange, Inc. | 986 | 102,830 | |
Invesco Ltd. (Bermuda) | 29 | 476 | |
Jack Henry & Associates, Inc. | 4 | 603 | |
MarketAxess Holdings, Inc. | 2 | 783 | |
Mastercard, Inc., Class A | 426 | 154,813 | |
Moody's Corp. | 11 | 3,366 | |
Morgan Stanley | 103 | 9,043 | |
MSCI, Inc. | 3 | 1,679 | |
Nasdaq, Inc. | 874 | 47,782 | |
Northern Trust Corp. | 14 | 1,234 | |
PayPal Holdings, Inc.* | 557 | 42,299 | |
Raymond James Financial, Inc. | 12 | 1,119 | |
S&P Global, Inc. | 15 | 5,171 | |
State Street Corp. | 16 | 1,211 | |
Synchrony Financial | 28 | 814 | |
T Rowe Price Group, Inc. | 398 | 44,934 | |
Visa, Inc., Class A | 916 | 206,521 | |
1,164,482 | |||
Food, Beverage & Tobacco — 3.9% | |||
Altria Group, Inc. | 3,181 | 141,936 | |
Archer-Daniels-Midland Co. | 36 | 2,868 | |
Brown-Forman Corp., Class B | 21 | 1,350 | |
Bunge Ltd. (Bermuda) | 266 | 25,408 | |
Campbell Soup Co. | 533 | 29,304 | |
Coca-Cola Co. (The) | 283 | 17,554 | |
Conagra Brands, Inc. | 27 | 1,014 | |
Constellation Brands, Inc., Class A | 11 | 2,485 | |
General Mills, Inc. | 1,043 | 89,135 | |
Hershey Co. (The) | 12 | 3,053 | |
Hormel Foods Corp. | 25 | 997 | |
J M Smucker Co. (The) | 18 | 2,833 | |
Kellogg Co. | 609 | 40,779 | |
Keurig Dr Pepper, Inc. | 1,168 | 41,207 | |
Kraft Heinz Co. (The) | 2,184 | 84,455 | |
Lamb Weston Holdings, Inc. | 7 | 732 | |
McCormick & Co., Inc., non-voting shares | 12 | 999 | |
Molson Coors Beverage Co., Class B | 13 | 672 | |
Mondelez International, Inc., Class A | 82 | 5,717 | |
Monster Beverage Corp.* | 46 | 2,484 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Food, Beverage & Tobacco — (Continued) | |||
PepsiCo, Inc. | 61 | $ 11,120 | |
Philip Morris International, Inc. | 981 | 95,402 | |
Tyson Foods, Inc., Class A | 619 | 36,719 | |
638,223 | |||
Health Care Equipment & Services — 5.0% | |||
Abbott Laboratories | 774 | 78,375 | |
Align Technology, Inc.* | 4 | 1,337 | |
AmerisourceBergen Corp. | 13 | 2,081 | |
Baxter International, Inc. | 23 | 933 | |
Becton Dickinson & Co. | 13 | 3,218 | |
Boston Scientific Corp.* | 63 | 3,152 | |
Cardinal Health, Inc. | 462 | 34,881 | |
Centene Corp.* | 981 | 62,009 | |
Cigna Group (The) | 539 | 137,731 | |
Cooper Cos., Inc. (The) | 4 | 1,493 | |
CVS Health Corp. | 2,316 | 172,102 | |
DaVita, Inc.* | 162 | 13,140 | |
DENTSPLY SIRONA, Inc. | 278 | 10,920 | |
Dexcom, Inc.* | 17 | 1,975 | |
Edwards Lifesciences Corp.* | 28 | 2,316 | |
Elevance Health, Inc. | 15 | 6,897 | |
GE HealthCare Technologies, Inc.* | 810 | 66,444 | |
HCA Healthcare, Inc. | 495 | 130,522 | |
Henry Schein, Inc.* | 6 | 489 | |
Hologic, Inc.* | 14 | 1,130 | |
Humana, Inc. | 8 | 3,884 | |
IDEXX Laboratories, Inc.* | 4 | 2,000 | |
Insulet Corp.* | 3 | 957 | |
Intuitive Surgical, Inc.* | 15 | 3,832 | |
Laboratory Corp. of America Holdings | 5 | 1,147 | |
McKesson Corp. | 10 | 3,561 | |
Medtronic PLC (Ireland) | 85 | 6,853 | |
Molina Healthcare, Inc.* | 104 | 27,819 | |
Quest Diagnostics, Inc. | 7 | 990 | |
ResMed, Inc. | 6 | 1,314 | |
STERIS PLC (Ireland) | 4 | 765 | |
Stryker Corp. | 17 | 4,853 | |
Teleflex, Inc. | 3 | 760 | |
UnitedHealth Group, Inc. | 58 | 27,410 | |
Universal Health Services, Inc., Class B | 5 | 636 | |
Zimmer Biomet Holdings, Inc. | 10 | 1,292 | |
819,218 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Household & Personal Products — 1.2% | |||
Church & Dwight Co., Inc. | 11 | $ 973 | |
Clorox Co. (The) | 6 | 949 | |
Colgate-Palmolive Co. | 49 | 3,682 | |
Estee Lauder Cos., Inc. (The), Class A | 15 | 3,697 | |
Kimberly-Clark Corp. | 501 | 67,244 | |
Procter & Gamble Co. (The) | 762 | 113,302 | |
189,847 | |||
Insurance — 1.3% | |||
Aflac, Inc. | 28 | 1,807 | |
Allstate Corp. (The) | 12 | 1,330 | |
American International Group, Inc. | 35 | 1,763 | |
Aon PLC, Class A (Ireland) | 12 | 3,783 | |
Arch Capital Group Ltd. (Bermuda)* | 660 | 44,794 | |
Arthur J Gallagher & Co. | 12 | 2,296 | |
Assurant, Inc. | 3 | 360 | |
Brown & Brown, Inc. | 504 | 28,940 | |
Chubb Ltd. (Switzerland) | 19 | 3,689 | |
Cincinnati Financial Corp. | 280 | 31,382 | |
Everest Re Group Ltd. (Bermuda) | 2 | 716 | |
Globe Life, Inc. | 5 | 550 | |
Hartford Financial Services Group, Inc. (The) | 15 | 1,045 | |
Lincoln National Corp. | 8 | 180 | |
Loews Corp. | 15 | 870 | |
Marsh & McLennan Cos., Inc. | 145 | 24,150 | |
MetLife, Inc. | 52 | 3,013 | |
Principal Financial Group, Inc. | 11 | 817 | |
Progressive Corp. (The) | 26 | 3,720 | |
Prudential Financial, Inc. | 17 | 1,407 | |
Travelers Cos., Inc. (The) | 13 | 2,228 | |
W R Berkley Corp. | 17 | 1,058 | |
Willis Towers Watson PLC (Ireland) | 191 | 44,385 | |
204,283 | |||
Materials — 2.6% | |||
Air Products and Chemicals, Inc. | 10 | 2,872 | |
Albemarle Corp. | 5 | 1,105 | |
Amcor PLC (Jersey) | 94 | 1,070 | |
Avery Dennison Corp. | 4 | 716 | |
Ball Corp. | 14 | 772 | |
Celanese Corp. | 8 | 871 | |
CF Industries Holdings, Inc. | 347 | 25,154 | |
Corteva, Inc. | 43 | 2,593 | |
Dow, Inc. | 1,256 | 68,854 | |
DuPont de Nemours, Inc. | 816 | 58,564 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Materials — (Continued) | |||
Eastman Chemical Co. | 212 | $ 17,880 | |
Ecolab, Inc. | 15 | 2,483 | |
FMC Corp. | 223 | 27,235 | |
Freeport-McMoRan, Inc. | 93 | 3,805 | |
International Flavors & Fragrances, Inc. | 12 | 1,103 | |
International Paper Co. | 627 | 22,610 | |
Linde PLC (Ireland) | 30 | 10,663 | |
LyondellBasell Industries NV, Class A (Netherlands) | 21 | 1,972 | |
Martin Marietta Materials, Inc. | 3 | 1,065 | |
Mosaic Co. (The) | 604 | 27,711 | |
Newmont Corp. | 49 | 2,402 | |
Nucor Corp. | 479 | 73,991 | |
Packaging Corp. of America | 164 | 22,768 | |
PPG Industries, Inc. | 14 | 1,870 | |
Sealed Air Corp. | 258 | 11,845 | |
Sherwin-Williams Co. (The) | 15 | 3,372 | |
Steel Dynamics, Inc. | 313 | 35,388 | |
Vulcan Materials Co. | 6 | 1,029 | |
Westrock Co. | 16 | 488 | |
432,251 | |||
Media & Entertainment — 9.5% | |||
Activision Blizzard, Inc. | 350 | 29,956 | |
Alphabet, Inc., Class A* | 6,328 | 656,403 | |
Charter Communications, Inc., Class A* | 285 | 101,919 | |
Comcast Corp., Class A | 7,612 | 288,571 | |
DISH Network Corp., Class A* | 31 | 289 | |
Electronic Arts, Inc. | 124 | 14,936 | |
Fox Corp., Class A | 36 | 1,226 | |
Interpublic Group of Cos., Inc. (The) | 689 | 25,658 | |
Live Nation Entertainment, Inc.* | 11 | 770 | |
Match Group, Inc.* | 13 | 499 | |
Meta Platforms, Inc., Class A* | 1,398 | 296,292 | |
Netflix, Inc.* | 197 | 68,060 | |
News Corp., Class A | 37 | 639 | |
Omnicom Group, Inc. | 362 | 34,151 | |
Paramount Global, Class B | 42 | 937 | |
Take-Two Interactive Software, Inc.* | 76 | 9,067 | |
Walt Disney Co. (The)* | 81 | 8,111 | |
Warner Bros Discovery, Inc.* | 1,077 | 16,263 | |
1,553,747 | |||
Pharmaceuticals, Biotechnology & Life Sciences — 7.8% | |||
AbbVie, Inc. | 267 | 42,552 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) | |||
Agilent Technologies, Inc. | 13 | $ 1,798 | |
Amgen, Inc. | 440 | 106,370 | |
Biogen, Inc.* | 257 | 71,454 | |
Bio-Rad Laboratories, Inc., Class A* | 2 | 958 | |
Bio-Techne Corp. | 6 | 445 | |
Bristol-Myers Squibb Co. | 137 | 9,495 | |
Catalent, Inc.* | 8 | 526 | |
Charles River Laboratories International, Inc.* | 3 | 605 | |
Danaher Corp. | 325 | 81,913 | |
Eli Lilly & Co. | 42 | 14,424 | |
Gilead Sciences, Inc. | 2,234 | 185,355 | |
Illumina, Inc.* | 71 | 16,511 | |
Incyte Corp.* | 99 | 7,155 | |
IQVIA Holdings, Inc.* | 8 | 1,591 | |
Johnson & Johnson | 1,065 | 165,075 | |
Merck & Co., Inc. | 2,005 | 213,312 | |
Mettler-Toledo International, Inc.* | 1 | 1,530 | |
Moderna, Inc.* | 25 | 3,840 | |
Organon & Co. | 454 | 10,678 | |
PerkinElmer, Inc. | 7 | 933 | |
Pfizer, Inc. | 7,004 | 285,763 | |
Regeneron Pharmaceuticals, Inc.* | 47 | 38,619 | |
Thermo Fisher Scientific, Inc. | 17 | 9,798 | |
Vertex Pharmaceuticals, Inc.* | 18 | 5,671 | |
Viatris, Inc. | 80 | ��� 770 | |
Waters Corp.* | 3 | 929 | |
West Pharmaceutical Services, Inc. | 4 | 1,386 | |
Zoetis, Inc. | 21 | 3,495 | |
1,282,951 | |||
Real Estate Management & Development — 0.3% | |||
CBRE Group, Inc., Class A* | 554 | 40,337 | |
Semiconductors & Semiconductor Equipment — 4.1% | |||
Advanced Micro Devices, Inc.* | 71 | 6,959 | |
Analog Devices, Inc. | 22 | 4,339 | |
Applied Materials, Inc. | 852 | 104,651 | |
Broadcom, Inc. | 321 | 205,934 | |
Enphase Energy, Inc.* | 6 | 1,262 | |
First Solar, Inc.* | 4 | 870 | |
Intel Corp. | 245 | 8,004 | |
KLA Corp. | 89 | 35,526 | |
Lam Research Corp. | 241 | 127,759 | |
Microchip Technology, Inc. | 33 | 2,765 | |
Micron Technology, Inc. | 483 | 29,144 | |
Monolithic Power Systems, Inc. | 2 | 1,001 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Semiconductors & Semiconductor Equipment — (Continued) | |||
NVIDIA Corp. | 109 | $ 30,277 | |
NXP Semiconductors N. V. (Netherlands) | 78 | 14,545 | |
ON Semiconductor Corp.* | 765 | 62,975 | |
Qorvo, Inc.* | 7 | 711 | |
QUALCOMM, Inc. | 73 | 9,313 | |
Skyworks Solutions, Inc. | 10 | 1,180 | |
SolarEdge Technologies, Inc.* | 24 | 7,295 | |
Teradyne, Inc. | 11 | 1,183 | |
Texas Instruments, Inc. | 41 | 7,626 | |
663,319 | |||
Software & Services — 10.6% | |||
Accenture PLC, Class A (Ireland) | 42 | 12,004 | |
Adobe, Inc.* | 203 | 78,230 | |
Akamai Technologies, Inc.* | 279 | 21,846 | |
ANSYS, Inc.* | 38 | 12,646 | |
Autodesk, Inc.* | 96 | 19,983 | |
Cadence Design Systems, Inc.* | 121 | 25,421 | |
Ceridian HCM Holding, Inc.* | 7 | 512 | |
Cognizant Technology Solutions Corp., Class A | 226 | 13,770 | |
DXC Technology Co.* | 14 | 358 | |
EPAM Systems, Inc.* | 25 | 7,475 | |
Fair Isaac Corp.* | 1 | 703 | |
Fortinet, Inc.* | 35 | 2,326 | |
Gartner, Inc.* | 141 | 45,933 | |
Gen Digital, Inc. | 1,139 | 19,545 | |
International Business Machines Corp. | 902 | 118,243 | |
Intuit, Inc. | 12 | 5,350 | |
Microsoft Corp. | 3,979 | 1,147,146 | |
Oracle Corp. | 167 | 15,518 | |
Paycom Software, Inc.* | 2 | 608 | |
PTC, Inc.* | 5 | 641 | |
Roper Technologies, Inc. | 49 | 21,594 | |
Salesforce, Inc.* | 432 | 86,305 | |
ServiceNow, Inc.* | 90 | 41,825 | |
Synopsys, Inc.* | 67 | 25,879 | |
Tyler Technologies, Inc.* | 1 | 355 | |
VeriSign, Inc.* | 6 | 1,268 | |
1,725,484 | |||
Technology Hardware & Equipment — 10.3% | |||
Amphenol Corp., Class A | 42 | 3,432 | |
Apple, Inc. | 7,054 | 1,163,205 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Technology Hardware & Equipment — (Continued) | |||
Arista Networks, Inc.* | 16 | $ 2,686 | |
CDW Corp. | 7 | 1,364 | |
Cisco Systems, Inc. | 7,294 | 381,294 | |
Corning, Inc. | 54 | 1,905 | |
F5, Inc.* | 100 | 14,569 | |
Hewlett Packard Enterprise Co. | 2,152 | 34,281 | |
HP, Inc. | 1,755 | 51,509 | |
Juniper Networks, Inc. | 19 | 654 | |
Keysight Technologies, Inc.* | 8 | 1,292 | |
Motorola Solutions, Inc. | 10 | 2,861 | |
NetApp, Inc. | 382 | 24,391 | |
Seagate Technology Holdings PLC (Ireland) | 13 | 860 | |
TE Connectivity Ltd. (Switzerland) | 21 | 2,754 | |
Teledyne Technologies, Inc.* | 4 | 1,789 | |
Trimble, Inc.* | 11 | 577 | |
Western Digital Corp.* | 20 | 753 | |
Zebra Technologies Corp., Class A* | 4 | 1,272 | |
1,691,448 | |||
Telecommunication Services — 2.9% | |||
AT&T, Inc. | 10,941 | 210,614 | |
T-Mobile US, Inc.* | 81 | 11,732 | |
Verizon Communications, Inc. | 6,588 | 256,208 | |
478,554 | |||
Transportation — 4.0% | |||
Alaska Air Group, Inc.* | 5 | 210 | |
American Airlines Group, Inc.* | 29 | 428 | |
CH Robinson Worldwide, Inc. | 7 | 695 | |
CSX Corp. | 3,681 | 110,209 | |
Delta Air Lines, Inc.* | 28 | 978 | |
Expeditors International of Washington, Inc. | 275 | 30,283 | |
FedEx Corp. | 16 | 3,656 | |
JB Hunt Transport Services, Inc. | 5 | 877 | |
Norfolk Southern Corp. | 408 | 86,496 | |
Old Dominion Freight Line, Inc. | 5 | 1,704 | |
Southwest Airlines Co. | 26 | 846 | |
Union Pacific Corp. | 1,085 | 218,367 | |
United Airlines Holdings, Inc.* | 15 | 664 | |
United Parcel Service, Inc., Class B | 1,040 | 201,750 | |
657,163 | |||
Utilities — 0.6% | |||
AES Corp. (The) | 40 | 963 | |
Alliant Energy Corp. | 11 | 587 | |
Ameren Corp. | 12 | 1,037 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Utilities — (Continued) | |||
American Electric Power Co., Inc. | 22 | $ 2,002 | |
American Water Works Co., Inc. | 8 | 1,172 | |
Atmos Energy Corp. | 6 | 674 | |
CenterPoint Energy, Inc. | 28 | 825 | |
CMS Energy Corp. | 12 | 737 | |
Consolidated Edison, Inc. | 15 | 1,435 | |
Constellation Energy Corp. | 583 | 45,765 | |
Dominion Energy, Inc. | 48 | 2,684 | |
DTE Energy Co. | 12 | 1,314 | |
Duke Energy Corp. | 34 | 3,280 | |
Edison International | 17 | 1,200 | |
Entergy Corp. | 9 | 970 | |
Evergy, Inc. | 10 | 611 | |
Eversource Energy | 15 | 1,174 | |
Exelon Corp. | 62 | 2,597 | |
FirstEnergy Corp. | 26 | 1,042 | |
NextEra Energy, Inc. | 88 | 6,783 | |
NiSource, Inc. | 18 | 503 | |
NRG Energy, Inc. | 14 | 480 | |
PG&E Corp.* | 881 | 14,246 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Utilities — (Continued) | |||
Pinnacle West Capital Corp. | 5 | $ 396 | |
PPL Corp. | 44 | 1,223 | |
Public Service Enterprise Group, Inc. | 32 | 1,998 | |
Sempra Energy | 13 | 1,965 | |
Southern Co. (The) | 49 | 3,409 | |
WEC Energy Group, Inc. | 14 | 1,327 | |
Xcel Energy, Inc. | 24 | 1,619 | |
104,018 | |||
TOTAL COMMON STOCKS (Cost $14,571,384) | 16,226,033 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.8% | 128,107 | ||
NET ASSETS - 100.0% | $ 16,354,140 |
* | Non-income producing. |
PLC | Public Limited Company |
Number of Shares | Value | ||
LONG POSITIONS — 138.9% | |||
COMMON STOCKS — 138.9% | |||
Capital Goods — 4.1% | |||
3M Co.† | 591 | $ 62,120 | |
Honeywell International, Inc. | 239 | 45,678 | |
Lockheed Martin Corp.† | 120 | 56,728 | |
Northrop Grumman Corp.† | 21 | 9,696 | |
Pentair PLC (Ireland)† | 229 | 12,657 | |
Snap-on, Inc. | 133 | 32,836 | |
WW Grainger, Inc. | 74 | 50,972 | |
270,687 | |||
Commercial & Professional Services — 2.3% | |||
Automatic Data Processing, Inc. | 21 | 4,675 | |
Leidos Holdings, Inc. | 414 | 38,113 | |
Robert Half International, Inc.† | 1,366 | 110,059 | |
152,847 | |||
Consumer Discretionary Distribution & Retail — 6.4% | |||
Amazon.com, Inc.†* | 1,398 | 144,399 | |
AutoZone, Inc.†* | 11 | 27,039 | |
Bath & Body Works, Inc. | 307 | 11,230 | |
Best Buy Co., Inc.† | 40 | 3,131 | |
eBay, Inc.† | 1,459 | 64,736 | |
Genuine Parts Co.† | 187 | 31,287 | |
Lowe's Cos., Inc.† | 376 | 75,189 | |
O'Reilly Automotive, Inc.* | 1 | 849 | |
Ross Stores, Inc. | 185 | 19,634 | |
TJX Cos., Inc. (The) | 47 | 3,683 | |
Ulta Beauty, Inc.* | 88 | 48,019 | |
429,196 | |||
Consumer Durables & Apparel — 3.0% | |||
Garmin Ltd. (Switzerland) | 138 | 13,927 | |
Hasbro, Inc.† | 2,242 | 120,373 | |
NIKE, Inc., Class B | 276 | 33,849 | |
Tapestry, Inc. | 694 | 29,918 | |
198,067 | |||
Consumer Services — 4.4% | |||
Expedia Group, Inc.†* | 1,216 | 117,989 | |
McDonald's Corp.† | 192 | 53,685 | |
MGM Resorts International† | 1,910 | 84,842 | |
Yum! Brands, Inc. | 278 | 36,718 | |
293,234 | |||
Consumer Staples Distribution & Retail — 3.1% | |||
Kroger Co. (The) | 1,611 | 79,535 | |
Sysco Corp.† | 87 | 6,719 | |
Walmart, Inc.† | 799 | 117,813 | |
204,067 | |||
Energy — 2.0% | |||
Baker Hughes Co. | 721 | 20,808 | |
Chevron Corp. | 24 | 3,916 | |
ConocoPhillips | 73 | 7,242 | |
Coterra Energy, Inc. | 821 | 20,147 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Energy — (Continued) | |||
Exxon Mobil Corp. | 46 | $ 5,045 | |
Marathon Petroleum Corp. | 169 | 22,786 | |
Pioneer Natural Resources Co. | 234 | 47,792 | |
Valero Energy Corp. | 39 | 5,445 | |
133,181 | |||
Equity Real Estate Investment Trusts (REITs) — 1.0% | |||
AvalonBay Communities, Inc. | 44 | 7,395 | |
Essex Property Trust, Inc. | 4 | 836 | |
Realty Income Corp. | 966 | 61,167 | |
69,398 | |||
Financial Services — 14.5% | |||
Berkshire Hathaway, Inc., Class B†* | 389 | 120,112 | |
BlackRock, Inc. | 3 | 2,007 | |
Cboe Global Markets, Inc.† | 846 | 113,567 | |
CME Group, Inc.† | 825 | 158,004 | |
Intercontinental Exchange, Inc.† | 1,186 | 123,688 | |
Jack Henry & Associates, Inc. | 101 | 15,223 | |
MarketAxess Holdings, Inc.† | 218 | 85,301 | |
Mastercard, Inc., Class A† | 131 | 47,607 | |
Nasdaq, Inc.† | 2,453 | 134,105 | |
PayPal Holdings, Inc.†* | 1,388 | 105,405 | |
T Rowe Price Group, Inc. | 8 | 903 | |
Visa, Inc., Class A† | 281 | 63,354 | |
969,276 | |||
Food, Beverage & Tobacco — 18.5% | |||
Altria Group, Inc.† | 1,548 | 69,072 | |
Campbell Soup Co.† | 3,115 | 171,263 | |
Coca-Cola Co. (The)† | 572 | 35,481 | |
General Mills, Inc.† | 1,991 | 170,151 | |
Hershey Co. (The) | 274 | 69,708 | |
Hormel Foods Corp. | 1,123 | 44,785 | |
J M Smucker Co. (The) | 587 | 92,376 | |
Kellogg Co.† | 2,872 | 192,309 | |
Keurig Dr Pepper, Inc.† | 3,172 | 111,908 | |
Kraft Heinz Co. (The)† | 2,984 | 115,391 | |
Lamb Weston Holdings, Inc. | 232 | 24,249 | |
PepsiCo, Inc.† | 197 | 35,913 | |
Philip Morris International, Inc.† | 122 | 11,865 | |
Tyson Foods, Inc., Class A† | 1,507 | 89,395 | |
1,233,866 | |||
Health Care Equipment & Services — 7.9% | |||
Abbott Laboratories† | 238 | 24,100 | |
AmerisourceBergen Corp.† | 163 | 26,098 | |
Cardinal Health, Inc. | 366 | 27,633 | |
Centene Corp.* | 287 | 18,141 | |
Cigna Group (The) | 150 | 38,329 | |
CVS Health Corp. | 879 | 65,318 | |
DaVita, Inc.†* | 1,328 | 107,714 | |
DENTSPLY SIRONA, Inc. | 200 | 7,856 | |
GE HealthCare Technologies, Inc.* | 393 | 32,238 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Health Care Equipment & Services — (Continued) | |||
McKesson Corp.† | 118 | $ 42,014 | |
Molina Healthcare, Inc.†* | 428 | 114,486 | |
Quest Diagnostics, Inc.† | 162 | 22,920 | |
526,847 | |||
Household & Personal Products — 5.5% | |||
Church & Dwight Co., Inc. | 627 | 55,433 | |
Kimberly-Clark Corp.† | 1,440 | 193,277 | |
Procter & Gamble Co. (The)† | 805 | 119,695 | |
368,405 | |||
Insurance — 2.1% | |||
Aon PLC, Class A (Ireland) | 112 | 35,313 | |
Brown & Brown, Inc. | 365 | 20,958 | |
Marsh & McLennan Cos., Inc. | 25 | 4,164 | |
Willis Towers Watson PLC (Ireland) | 335 | 77,847 | |
138,282 | |||
Materials — 0.0% | |||
Packaging Corp. of America | 19 | 2,638 | |
Media & Entertainment — 13.6% | |||
Activision Blizzard, Inc.† | 1,830 | 156,630 | |
Alphabet, Inc., Class A†* | 1,972 | 204,555 | |
Charter Communications, Inc., Class A†* | 184 | 65,800 | |
Comcast Corp., Class A† | 2,752 | 104,328 | |
Electronic Arts, Inc.† | 38 | 4,577 | |
Interpublic Group of Cos., Inc. (The) | 607 | 22,605 | |
Match Group, Inc.* | 2,058 | 79,007 | |
Meta Platforms, Inc., Class A†* | 367 | 77,782 | |
Netflix, Inc.†* | 243 | 83,952 | |
News Corp., Class A | 878 | 15,163 | |
Omnicom Group, Inc. | 968 | 91,321 | |
Take-Two Interactive Software, Inc.†* | 23 | 2,744 | |
908,464 | |||
Pharmaceuticals, Biotechnology & Life Sciences — 12.2% | |||
Amgen, Inc. | 50 | 12,088 | |
Bristol-Myers Squibb Co.† | 1,360 | 94,262 | |
Danaher Corp.† | 100 | 25,204 | |
Gilead Sciences, Inc. | 201 | 16,677 | |
Illumina, Inc.†* | 22 | 5,116 | |
Johnson & Johnson† | 1,252 | 194,060 | |
Merck & Co., Inc.† | 1,360 | 144,690 | |
Moderna, Inc.†* | 791 | 121,482 | |
Organon & Co. | 3,568 | 83,919 | |
Pfizer, Inc.† | 2,828 | 115,382 | |
812,880 | |||
Semiconductors & Semiconductor Equipment — 5.9% | |||
Applied Materials, Inc. | 322 | 39,551 | |
Broadcom, Inc. | 94 | 60,305 | |
Lam Research Corp. | 172 | 91,181 | |
Qorvo, Inc.†* | 1,194 | 121,274 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Semiconductors & Semiconductor Equipment — (Continued) | |||
QUALCOMM, Inc. | 55 | $ 7,017 | |
Skyworks Solutions, Inc. | 654 | 77,159 | |
396,487 | |||
Software & Services — 13.4% | |||
Adobe, Inc.†* | 136 | 52,410 | |
Akamai Technologies, Inc.†* | 2,487 | 194,732 | |
Gartner, Inc.* | 191 | 62,222 | |
Gen Digital, Inc.† | 7,019 | 120,446 | |
International Business Machines Corp. | 528 | 69,216 | |
Microsoft Corp.† | 1,010 | 291,183 | |
Roper Technologies, Inc.† | 15 | 6,611 | |
Salesforce, Inc.†* | 167 | 33,363 | |
VeriSign, Inc.†* | 297 | 62,765 | |
892,948 | |||
Technology Hardware & Equipment — 11.4% | |||
Apple, Inc.† | 1,962 | 323,534 | |
Cisco Systems, Inc.† | 2,628 | 137,379 | |
F5, Inc.†* | 761 | 110,870 | |
HP, Inc. | 1,161 | 34,075 | |
NetApp, Inc. | 1,306 | 83,388 | |
Seagate Technology Holdings PLC (Ireland) | 734 | 48,532 | |
Zebra Technologies Corp., Class A†* | 61 | 19,398 | |
757,176 | |||
Telecommunication Services — 2.9% | |||
AT&T, Inc.† | 3,927 | 75,595 | |
Verizon Communications, Inc.† | 3,042 | 118,303 | |
193,898 | |||
Transportation — 4.7% | |||
American Airlines Group, Inc.* | 707 | 10,428 | |
CH Robinson Worldwide, Inc.† | 994 | 98,774 | |
CSX Corp. | 158 | 4,731 | |
Expeditors International of Washington, Inc.† | 882 | 97,126 | |
Union Pacific Corp.† | 159 | 32,000 | |
United Parcel Service, Inc., Class B† | 376 | 72,940 | |
315,999 | |||
TOTAL COMMON STOCKS (Cost $8,411,461) | 9,267,843 | ||
TOTAL LONG POSITIONS - 138.9% (Cost $8,411,461) | 9,267,843 |
Number of Shares | Value | ||
SHORT POSITIONS — (40.1)% | |||
COMMON STOCKS — (40.1)% | |||
Automobiles & Components — (0.8)% | |||
Aptiv PLC (Jersey)* | (199) | $ (22,326) | |
Ford Motor Co. | (2,289) | (28,841) | |
(51,167) | |||
Banks — (0.3)% | |||
Citigroup, Inc. | (104) | (4,877) | |
Regions Financial Corp. | (713) | (13,233) | |
Wells Fargo & Co. | (26) | (972) | |
(19,082) | |||
Capital Goods — (2.5)% | |||
Cummins, Inc. | (42) | (10,033) | |
Generac Holdings, Inc.* | (499) | (53,897) | |
Huntington Ingalls Industries, Inc. | (36) | (7,453) | |
Johnson Controls International PLC (Ireland) | (16) | (963) | |
Parker-Hannifin Corp. | (33) | (11,092) | |
Quanta Services, Inc. | (131) | (21,830) | |
Raytheon Technologies Corp. | (120) | (11,752) | |
Rockwell Automation, Inc. | (44) | (12,912) | |
United Rentals, Inc. | (102) | (40,367) | |
(170,299) | |||
Commercial & Professional Services — (0.3)% | |||
CoStar Group, Inc.* | (57) | (3,925) | |
Equifax, Inc. | (93) | (18,864) | |
(22,789) | |||
Consumer Discretionary Distribution & Retail — (1.0)% | |||
CarMax, Inc.* | (100) | (6,428) | |
Etsy, Inc.* | (105) | (11,690) | |
Tractor Supply Co. | (201) | (47,243) | |
(65,361) | |||
Consumer Durables & Apparel — (1.0)% | |||
Newell Brands, Inc. | (1,658) | (20,625) | |
Ralph Lauren Corp. | (82) | (9,567) | |
VF Corp. | (667) | (15,281) | |
Whirlpool Corp. | (139) | (18,351) | |
(63,824) | |||
Consumer Services — (2.4)% | |||
Caesars Entertainment, Inc.* | (868) | (42,367) | |
Carnival Corp. (Panama)* | (872) | (8,851) | |
Chipotle Mexican Grill, Inc.* | (7) | (11,958) | |
Las Vegas Sands Corp.* | (239) | (13,731) | |
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (989) | (13,302) | |
Royal Caribbean Cruises Ltd. (Liberia)* | (815) | (53,219) | |
Wynn Resorts Ltd.* | (125) | (13,989) | |
(157,417) |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Consumer Staples Distribution & Retail — (0.7)% | |||
Dollar Tree, Inc.* | (104) | $ (14,929) | |
Target Corp. | (190) | (31,470) | |
(46,399) | |||
Energy — (2.3)% | |||
Marathon Oil Corp. | (407) | (9,752) | |
ONEOK, Inc. | (575) | (36,535) | |
Targa Resources Corp. | (815) | (59,454) | |
Williams Cos., Inc. (The) | (1,703) | (50,852) | |
(156,593) | |||
Equity Real Estate Investment Trusts (REITs) — (1.3)% | |||
Equinix, Inc. | (37) | (26,679) | |
Host Hotels & Resorts, Inc. | (413) | (6,810) | |
Iron Mountain, Inc. | (852) | (45,079) | |
Kimco Realty Corp. | (170) | (3,320) | |
Regency Centers Corp. | (46) | (2,814) | |
(84,702) | |||
Financial Services — (1.9)% | |||
Capital One Financial Corp. | (179) | (17,212) | |
Discover Financial Services | (174) | (17,198) | |
Global Payments, Inc. | (128) | (13,471) | |
Moody's Corp. | (85) | (26,012) | |
MSCI, Inc. | (48) | (26,865) | |
Synchrony Financial | (998) | (29,022) | |
(129,780) | |||
Health Care Equipment & Services — (3.4)% | |||
Align Technology, Inc.* | (145) | (48,450) | |
Becton Dickinson & Co. | (85) | (21,041) | |
Dexcom, Inc.* | (250) | (29,045) | |
IDEXX Laboratories, Inc.* | (61) | (30,505) | |
Insulet Corp.* | (95) | (30,301) | |
Intuitive Surgical, Inc.* | (119) | (30,401) | |
ResMed, Inc. | (79) | (17,300) | |
STERIS PLC (Ireland) | (112) | (21,424) | |
(228,467) | |||
Household & Personal Products — (0.7)% | |||
Estee Lauder Cos., Inc. (The), Class A | (178) | (43,870) | |
Insurance — (1.1)% | |||
Allstate Corp. (The) | (88) | (9,751) | |
American International Group, Inc. | (681) | (34,295) | |
Hartford Financial Services Group, Inc. (The) | (24) | (1,673) | |
Lincoln National Corp. | (1,057) | (23,751) | |
Prudential Financial, Inc. | (66) | (5,461) | |
(74,931) | |||
Materials — (4.2)% | |||
Air Products and Chemicals, Inc. | (3) | (862) | |
Albemarle Corp. | (32) | (7,073) |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Materials — (Continued) | |||
Amcor PLC (Jersey) | (1,179) | $ (13,417) | |
Ball Corp. | (196) | (10,801) | |
Celanese Corp. | (529) | (57,603) | |
Freeport-McMoRan, Inc. | (1,295) | (52,978) | |
Martin Marietta Materials, Inc. | (50) | (17,753) | |
PPG Industries, Inc. | (220) | (29,388) | |
Sherwin-Williams Co. (The) | (61) | (13,711) | |
Vulcan Materials Co. | (154) | (26,420) | |
Westrock Co. | (1,546) | (47,107) | |
(277,113) | |||
Media & Entertainment — (1.1)% | |||
DISH Network Corp., Class A* | (5,990) | (55,887) | |
Paramount Global, Class B | (327) | (7,295) | |
Walt Disney Co. (The)* | (137) | (13,718) | |
(76,900) | |||
Pharmaceuticals, Biotechnology & Life Sciences — (4.0)% | |||
Agilent Technologies, Inc. | (144) | (19,921) | |
Bio-Rad Laboratories, Inc., Class A* | (62) | (29,699) | |
Bio-Techne Corp. | (491) | (36,427) | |
Catalent, Inc.* | (595) | (39,097) | |
Charles River Laboratories International, Inc.* | (69) | (13,926) | |
Eli Lilly & Co. | (56) | (19,231) | |
IQVIA Holdings, Inc.* | (149) | (29,635) | |
Mettler-Toledo International, Inc.* | (17) | (26,014) | |
PerkinElmer, Inc. | (61) | (8,129) | |
Thermo Fisher Scientific, Inc. | (29) | (16,715) | |
Waters Corp.* | (80) | (24,770) | |
West Pharmaceutical Services, Inc. | (15) | (5,197) | |
(268,761) | |||
Semiconductors & Semiconductor Equipment — (2.8)% | |||
Advanced Micro Devices, Inc.* | (360) | (35,284) | |
Analog Devices, Inc. | (16) | (3,155) | |
Enphase Energy, Inc.* | (52) | (10,935) | |
First Solar, Inc.* | (77) | (16,747) | |
Intel Corp. | (1,203) | (39,302) | |
Monolithic Power Systems, Inc. | (53) | (26,529) | |
NVIDIA Corp. | (178) | (49,443) | |
Teradyne, Inc. | (46) | (4,945) | |
Texas Instruments, Inc. | (2) | (372) | |
(186,712) | |||
Software & Services — (1.8)% | |||
Ceridian HCM Holding, Inc.* | (372) | (27,238) | |
Fortinet, Inc.* | (306) | (20,337) | |
Intuit, Inc. | (60) | (26,750) | |
Paycom Software, Inc.* | (51) | (15,504) | |
PTC, Inc.* | (155) | (19,875) | |
Tyler Technologies, Inc.* | (34) | (12,058) | |
(121,762) |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Technology Hardware & Equipment — (1.9)% | |||
Corning, Inc. | (700) | $ (24,696) | |
Juniper Networks, Inc. | (352) | (12,116) | |
TE Connectivity Ltd. (Switzerland) | (51) | (6,689) | |
Trimble, Inc.* | (551) | (28,883) | |
Western Digital Corp.* | (1,505) | (56,693) | |
(129,077) | |||
Transportation — (0.7)% | |||
JB Hunt Transport Services, Inc. | (180) | (31,583) | |
Old Dominion Freight Line, Inc. | (36) | (12,270) | |
(43,853) | |||
Utilities — (3.9)% | |||
AES Corp. (The) | (1,666) | (40,117) | |
Alliant Energy Corp. | (77) | (4,112) | |
American Electric Power Co., Inc. | (63) | (5,732) | |
American Water Works Co., Inc. | (247) | (36,183) | |
Atmos Energy Corp. | (91) | (10,225) | |
CenterPoint Energy, Inc. | (549) | (16,173) | |
CMS Energy Corp. | (72) | (4,419) | |
DTE Energy Co. | (157) | (17,198) | |
Edison International | (370) | (26,118) | |
Eversource Energy | (120) | (9,391) | |
NextEra Energy, Inc. | (211) | (16,264) | |
NiSource, Inc. | (579) | (16,189) | |
NRG Energy, Inc. | (220) | (7,544) | |
Pinnacle West Capital Corp. | (37) | (2,932) | |
Sempra Energy | (282) | (42,627) | |
WEC Energy Group, Inc. | (26) | (2,465) | |
(257,689) | |||
TOTAL COMMON STOCKS (Proceeds $2,905,242) | (2,676,548) | ||
TOTAL SHORT POSITIONS - (40.1)% (Proceeds $2,905,242) | (2,676,548) | ||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.2% | 81,311 | ||
NET ASSETS - 100.0% | $ 6,672,606 |
† | 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 |
Number of Shares | Value | ||
COMMON STOCKS — 98.3% | |||
Automobiles & Components — 0.2% | |||
BorgWarner, Inc. | 50 | $ 2,456 | |
Banks — 1.8% | |||
Citizens Financial Group, Inc. | 105 | 3,189 | |
Comerica, Inc. | 30 | 1,303 | |
Fifth Third Bancorp | 155 | 4,129 | |
Huntington Bancshares, Inc. | 310 | 3,472 | |
KeyCorp. | 226 | 2,829 | |
M&T Bank Corp. | 19 | 2,272 | |
PNC Financial Services Group, Inc. (The) | 26 | 3,304 | |
Regions Financial Corp. | 128 | 2,376 | |
Truist Financial Corp. | 24 | 818 | |
Zions Bancorp NA | 34 | 1,018 | |
24,710 | |||
Capital Goods — 6.5% | |||
3M Co. | 126 | 13,244 | |
A. O. Smith Corp. | 29 | 2,005 | |
AMETEK, Inc. | 23 | 3,343 | |
Carrier Global Corp. | 104 | 4,758 | |
Deere & Co. | 2 | 826 | |
Honeywell International, Inc. | 65 | 12,423 | |
IDEX Corp. | 15 | 3,465 | |
Illinois Tool Works, Inc. | 30 | 7,304 | |
Ingersoll Rand, Inc. | 24 | 1,396 | |
Johnson Controls International PLC (Ireland) | 23 | 1,385 | |
Lockheed Martin Corp. | 11 | 5,200 | |
Masco Corp. | 51 | 2,536 | |
Otis Worldwide Corp. | 83 | 7,005 | |
Snap-on, Inc. | 14 | 3,456 | |
Textron, Inc. | 44 | 3,108 | |
Trane Technologies PLC (Ireland) | 26 | 4,784 | |
WW Grainger, Inc. | 11 | 7,577 | |
Xylem, Inc. | 22 | 2,303 | |
86,118 | |||
Commercial & Professional Services — 1.1% | |||
Automatic Data Processing, Inc. | 36 | 8,015 | |
Leidos Holdings, Inc. | 31 | 2,854 | |
Paychex, Inc. | 18 | 2,063 | |
Robert Half International, Inc. | 27 | 2,175 | |
15,107 | |||
Consumer Discretionary Distribution & Retail — 6.1% | |||
Advance Auto Parts, Inc. | 14 | 1,702 | |
AutoZone, Inc.* | 4 | 9,833 | |
Bath & Body Works, Inc. | 48 | 1,756 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Consumer Discretionary Distribution & Retail — (Continued) | |||
Best Buy Co., Inc. | 60 | $ 4,696 | |
CarMax, Inc.* | 35 | 2,250 | |
eBay, Inc. | 147 | 6,522 | |
Genuine Parts Co. | 32 | 5,354 | |
LKQ Corp. | 62 | 3,519 | |
Lowe's Cos., Inc. | 12 | 2,400 | |
O'Reilly Automotive, Inc.* | 15 | 12,735 | |
Pool Corp. | 8 | 2,739 | |
Ross Stores, Inc. | 68 | 7,217 | |
TJX Cos., Inc. (The) | 183 | 14,340 | |
Ulta Beauty, Inc.* | 11 | 6,002 | |
81,065 | |||
Consumer Durables & Apparel — 0.7% | |||
Garmin Ltd. (Switzerland) | 28 | 2,826 | |
Hasbro, Inc. | 31 | 1,664 | |
Mohawk Industries, Inc.* | 14 | 1,403 | |
Ralph Lauren Corp. | 2 | 233 | |
Tapestry, Inc. | 51 | 2,199 | |
VF Corp. | 51 | 1,169 | |
9,494 | |||
Consumer Services — 1.7% | |||
Caesars Entertainment, Inc.* | 45 | 2,197 | |
Expedia Group, Inc.* | 36 | 3,493 | |
McDonald's Corp. | 17 | 4,753 | |
MGM Resorts International | 91 | 4,042 | |
Starbucks Corp. | 13 | 1,354 | |
Yum! Brands, Inc. | 51 | 6,736 | |
22,575 | |||
Consumer Staples Distribution & Retail — 1.1% | |||
Kroger Co. (The) | 151 | 7,455 | |
Walgreens Boots Alliance, Inc. | 196 | 6,778 | |
14,233 | |||
Energy — 8.9% | |||
Baker Hughes Co. | 137 | 3,954 | |
Chevron Corp. | 143 | 23,332 | |
ConocoPhillips | 169 | 16,767 | |
EOG Resources, Inc. | 94 | 10,775 | |
EQT Corp. | 84 | 2,680 | |
Exxon Mobil Corp. | 117 | 12,830 | |
Halliburton Co. | 138 | 4,366 | |
Marathon Petroleum Corp. | 125 | 16,854 | |
Phillips 66 | 91 | 9,226 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Energy — (Continued) | |||
Pioneer Natural Resources Co. | 47 | $ 9,599 | |
Valero Energy Corp. | 63 | 8,795 | |
119,178 | |||
Equity Real Estate Investment Trusts (REITs) — 6.8% | |||
Alexandria Real Estate Equities, Inc. | 37 | 4,647 | |
AvalonBay Communities, Inc. | 32 | 5,378 | |
Boston Properties, Inc. | 36 | 1,948 | |
Camden Property Trust | 26 | 2,726 | |
Digital Realty Trust, Inc. | 65 | 6,390 | |
Equity Residential | 85 | 5,100 | |
Essex Property Trust, Inc. | 15 | 3,137 | |
Extra Space Storage, Inc. | 28 | 4,562 | |
Federal Realty Investment Trust | 18 | 1,779 | |
Healthpeak Properties, Inc. | 122 | 2,680 | |
Invitation Homes, Inc. | 41 | 1,280 | |
Kimco Realty Corp. | 51 | 996 | |
Mid-America Apartment Communities, Inc. | 27 | 4,078 | |
Prologis, Inc. | 81 | 10,106 | |
Public Storage | 8 | 2,417 | |
Realty Income Corp. | 131 | 8,295 | |
Simon Property Group, Inc. | 41 | 4,591 | |
UDR, Inc. | 74 | 3,039 | |
Ventas, Inc. | 86 | 3,728 | |
Welltower, Inc. | 107 | 7,671 | |
Weyerhaeuser Co. | 184 | 5,544 | |
90,092 | |||
Financial Services — 6.4% | |||
Ameriprise Financial, Inc. | 7 | 2,146 | |
Berkshire Hathaway, Inc., Class B* | 39 | 12,042 | |
BlackRock, Inc. | 10 | 6,691 | |
Cboe Global Markets, Inc. | 4 | 537 | |
CME Group, Inc. | 67 | 12,832 | |
Fidelity National Information Services, Inc. | 124 | 6,737 | |
FleetCor Technologies, Inc.* | 17 | 3,584 | |
Franklin Resources, Inc. | 138 | 3,718 | |
Intercontinental Exchange, Inc. | 127 | 13,245 | |
Invesco Ltd. (Bermuda) | 126 | 2,066 | |
Jack Henry & Associates, Inc. | 14 | 2,110 | |
MarketAxess Holdings, Inc. | 5 | 1,956 | |
Nasdaq, Inc. | 112 | 6,123 | |
PayPal Holdings, Inc.* | 58 | 4,405 | |
T Rowe Price Group, Inc. | 61 | 6,887 | |
85,079 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Food, Beverage & Tobacco — 3.5% | |||
Bunge Ltd. (Bermuda) | 30 | $ 2,866 | |
Campbell Soup Co. | 68 | 3,739 | |
Coca-Cola Co. (The) | 37 | 2,295 | |
General Mills, Inc. | 127 | 10,853 | |
J M Smucker Co. (The) | 22 | 3,462 | |
Kellogg Co. | 78 | 5,223 | |
Keurig Dr Pepper, Inc. | 185 | 6,527 | |
Kraft Heinz Co. (The) | 257 | 9,938 | |
Molson Coors Beverage Co., Class B | 44 | 2,274 | |
47,177 | |||
Health Care Equipment & Services — 8.8% | |||
Abbott Laboratories | 2 | 203 | |
AmerisourceBergen Corp. | 45 | 7,205 | |
Cardinal Health, Inc. | 61 | 4,605 | |
Centene Corp.* | 115 | 7,269 | |
Cigna Group (The) | 67 | 17,120 | |
CVS Health Corp. | 261 | 19,395 | |
DaVita, Inc.* | 23 | 1,866 | |
DENTSPLY SIRONA, Inc. | 49 | 1,925 | |
GE HealthCare Technologies, Inc.* | 99 | 8,121 | |
HCA Healthcare, Inc. | 58 | 15,293 | |
Henry Schein, Inc.* | 31 | 2,528 | |
Hologic, Inc.* | 52 | 4,196 | |
Laboratory Corp. of America Holdings | 23 | 5,277 | |
McKesson Corp. | 33 | 11,750 | |
Medtronic PLC (Ireland) | 30 | 2,419 | |
Molina Healthcare, Inc.* | 13 | 3,477 | |
Quest Diagnostics, Inc. | 14 | 1,981 | |
Teleflex, Inc. | 1 | 253 | |
Universal Health Services, Inc., Class B | 15 | 1,906 | |
116,789 | |||
Household & Personal Products — 1.4% | |||
Church & Dwight Co., Inc. | 15 | 1,326 | |
Kimberly-Clark Corp. | 72 | 9,664 | |
Procter & Gamble Co. (The) | 56 | 8,327 | |
19,317 | |||
Insurance — 5.3% | |||
Aflac, Inc. | 141 | 9,097 | |
Aon PLC, Class A (Ireland) | 31 | 9,774 | |
Arch Capital Group Ltd. (Bermuda)* | 80 | 5,430 | |
Arthur J Gallagher & Co. | 1 | 191 | |
Assurant, Inc. | 12 | 1,441 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Insurance — (Continued) | |||
Brown & Brown, Inc. | 60 | $ 3,445 | |
Cincinnati Financial Corp. | 35 | 3,923 | |
Everest Re Group Ltd. (Bermuda) | 9 | 3,222 | |
Globe Life, Inc. | 22 | 2,421 | |
Lincoln National Corp. | 38 | 854 | |
Loews Corp. | 54 | 3,133 | |
Marsh & McLennan Cos., Inc. | 80 | 13,324 | |
MetLife, Inc. | 27 | 1,564 | |
Principal Financial Group, Inc. | 51 | 3,790 | |
Prudential Financial, Inc. | 6 | 496 | |
Travelers Cos., Inc. (The) | 17 | 2,914 | |
Willis Towers Watson PLC (Ireland) | 23 | 5,345 | |
70,364 | |||
Materials — 4.4% | |||
CF Industries Holdings, Inc. | 50 | 3,624 | |
Dow, Inc. | 160 | 8,771 | |
DuPont de Nemours, Inc. | 97 | 6,962 | |
Eastman Chemical Co. | 28 | 2,362 | |
FMC Corp. | 26 | 3,175 | |
International Paper Co. | 96 | 3,462 | |
LyondellBasell Industries NV, Class A (Netherlands) | 74 | 6,948 | |
Mosaic Co. (The) | 79 | 3,625 | |
Nucor Corp. | 67 | 10,349 | |
Packaging Corp. of America | 22 | 3,054 | |
Sealed Air Corp. | 33 | 1,515 | |
Steel Dynamics, Inc. | 39 | 4,409 | |
58,256 | |||
Media & Entertainment — 3.7% | |||
Charter Communications, Inc., Class A* | 37 | 13,231 | |
Comcast Corp., Class A | 578 | 21,912 | |
Fox Corp., Class A | 21 | 715 | |
Interpublic Group of Cos., Inc. (The) | 106 | 3,947 | |
Match Group, Inc.* | 58 | 2,227 | |
News Corp., Class A | 132 | 2,280 | |
Omnicom Group, Inc. | 55 | 5,189 | |
49,501 | |||
Pharmaceuticals, Biotechnology & Life Sciences — 8.8% | |||
AbbVie, Inc. | 33 | 5,259 | |
Amgen, Inc. | 63 | 15,230 | |
Biogen, Inc.* | 33 | 9,175 | |
Bristol-Myers Squibb Co. | 68 | 4,713 | |
Gilead Sciences, Inc. | 248 | 20,577 | |
Merck & Co., Inc. | 153 | 16,278 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) | |||
Moderna, Inc.* | 69 | $ 10,597 | |
Organon & Co. | 58 | 1,364 | |
Pfizer, Inc. | 438 | 17,870 | |
Regeneron Pharmaceuticals, Inc.* | 10 | 8,217 | |
Vertex Pharmaceuticals, Inc.* | 21 | 6,616 | |
West Pharmaceutical Services, Inc. | 4 | 1,386 | |
117,282 | |||
Real Estate Management & Development — 0.4% | |||
CBRE Group, Inc., Class A* | 72 | 5,242 | |
Semiconductors & Semiconductor Equipment — 5.1% | |||
Applied Materials, Inc. | 134 | 16,459 | |
Broadcom, Inc. | 8 | 5,132 | |
KLA Corp. | ��17 | 6,786 | |
Lam Research Corp. | 30 | 15,904 | |
Microchip Technology, Inc. | 4 | 335 | |
NXP Semiconductors N. V. (Netherlands) | 42 | 7,832 | |
ON Semiconductor Corp.* | 81 | 6,668 | |
Qorvo, Inc.* | 26 | 2,641 | |
Skyworks Solutions, Inc. | 34 | 4,011 | |
Teradyne, Inc. | 19 | 2,043 | |
67,811 | |||
Software & Services — 2.9% | |||
Accenture PLC, Class A (Ireland) | 19 | 5,430 | |
Akamai Technologies, Inc.* | 36 | 2,819 | |
DXC Technology Co.* | 59 | 1,508 | |
Gartner, Inc.* | 15 | 4,887 | |
Gen Digital, Inc. | 133 | 2,282 | |
International Business Machines Corp. | 130 | 17,042 | |
VeriSign, Inc.* | 24 | 5,072 | |
39,040 | |||
Technology Hardware & Equipment — 4.9% | |||
Amphenol Corp., Class A | 67 | 5,475 | |
CDW Corp. | 28 | 5,457 | |
Cisco Systems, Inc. | 420 | 21,955 | |
F5, Inc.* | 14 | 2,040 | |
Hewlett Packard Enterprise Co. | 275 | 4,381 | |
HP, Inc. | 271 | 7,954 | |
Keysight Technologies, Inc.* | 8 | 1,292 | |
Motorola Solutions, Inc. | 7 | 2,003 | |
NetApp, Inc. | 52 | 3,320 | |
Seagate Technology Holdings PLC (Ireland) | 47 | 3,108 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Technology Hardware & Equipment — (Continued) | |||
Teledyne Technologies, Inc.* | 10 | $ 4,473 | |
Zebra Technologies Corp., Class A* | 12 | 3,816 | |
65,274 | |||
Telecommunication Services — 2.7% | |||
AT&T, Inc. | 930 | 17,903 | |
Verizon Communications, Inc. | 472 | 18,356 | |
36,259 | |||
Transportation — 4.7% | |||
CH Robinson Worldwide, Inc. | 29 | 2,882 | |
CSX Corp. | 417 | 12,485 | |
Expeditors International of Washington, Inc. | 40 | 4,405 | |
FedEx Corp. | 1 | 228 | |
Norfolk Southern Corp. | 46 | 9,752 | |
Union Pacific Corp. | 71 | 14,289 | |
United Parcel Service, Inc., Class B | 95 | 18,429 | |
62,470 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Utilities — 0.4% | |||
Constellation Energy Corp. | 72 | $ 5,652 | |
TOTAL COMMON STOCKS (Cost $1,243,281) | 1,310,541 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.7% | 22,013 | ||
NET ASSETS - 100.0% | $ 1,332,554 |
* | Non-income producing. |
PLC | Public Limited Company |
Number of Shares | Value | ||
COMMON STOCKS — 95.0% | |||
Automobiles & Components — 0.1% | |||
BorgWarner, Inc. | 570 | $ 27,993 | |
Capital Goods — 3.3% | |||
3M Co. | 1,488 | 156,404 | |
Honeywell International, Inc. | 653 | 124,801 | |
Lockheed Martin Corp.(a) | 210 | 99,273 | |
Northrop Grumman Corp. | 33 | 15,237 | |
Pentair PLC (Ireland) | 437 | 24,153 | |
Snap-on, Inc. | 395 | 97,521 | |
WW Grainger, Inc. | 196 | 135,007 | |
652,396 | |||
Commercial & Professional Services — 1.7% | |||
Automatic Data Processing, Inc. | 170 | 37,847 | |
Leidos Holdings, Inc. | 957 | 88,101 | |
Robert Half International, Inc.(a) | 2,742 | 220,923 | |
346,871 | |||
Consumer Discretionary Distribution & Retail — 3.8% | |||
Amazon.com, Inc.* | 956 | 98,745 | |
AutoZone, Inc.* | 38 | 93,410 | |
Bath & Body Works, Inc. | 1,187 | 43,420 | |
Best Buy Co., Inc. | 75 | 5,870 | |
eBay, Inc.(a) | 2,204 | 97,792 | |
Genuine Parts Co.(a) | 622 | 104,067 | |
LKQ Corp. | 382 | 21,682 | |
Lowe's Cos., Inc. | 559 | 111,783 | |
O'Reilly Automotive, Inc.* | 18 | 15,282 | |
Pool Corp. | 5 | 1,712 | |
Ross Stores, Inc. | 280 | 29,716 | |
TJX Cos., Inc. (The) | 72 | 5,642 | |
Ulta Beauty, Inc.* | 237 | 129,324 | |
758,445 | |||
Consumer Durables & Apparel — 1.9% | |||
Garmin Ltd. (Switzerland) | 253 | 25,533 | |
Hasbro, Inc. | 4,271 | 229,310 | |
NIKE, Inc., Class B | 421 | 51,631 | |
Tapestry, Inc. | 1,843 | 79,452 | |
385,926 | |||
Consumer Services — 3.2% | |||
Expedia Group, Inc.(a)* | 2,641 | 256,256 | |
McDonald's Corp.(a) | 314 | 87,798 | |
MGM Resorts International(a) | 4,238 | 188,252 | |
Starbucks Corp. | 126 | 13,120 | |
Yum! Brands, Inc. | 670 | 88,494 | |
633,920 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Consumer Staples Distribution & Retail — 1.8% | |||
Kroger Co. (The) | 2,983 | $ 147,271 | |
Sysco Corp. | 125 | 9,654 | |
Walgreens Boots Alliance, Inc. | 974 | 33,681 | |
Walmart, Inc.(a) | 1,130 | 166,618 | |
357,224 | |||
Energy — 1.3% | |||
Baker Hughes Co. | 979 | 28,254 | |
Chevron Corp.(a) | 197 | 32,142 | |
ConocoPhillips | 542 | 53,772 | |
Coterra Energy, Inc. | 1,264 | 31,019 | |
Exxon Mobil Corp. | 62 | 6,799 | |
Marathon Petroleum Corp. | 299 | 40,314 | |
Pioneer Natural Resources Co. | 289 | 59,025 | |
Valero Energy Corp. | 13 | 1,815 | |
253,140 | |||
Equity Real Estate Investment Trusts (REITs) — 1.3% | |||
AvalonBay Communities, Inc. | 216 | 36,301 | |
Equity Residential | 107 | 6,420 | |
Essex Property Trust, Inc. | 87 | 18,195 | |
Realty Income Corp.(a) | 2,254 | 142,723 | |
Welltower, Inc. | 343 | 24,590 | |
Weyerhaeuser Co. | 816 | 24,586 | |
252,815 | |||
Financial Services — 9.8% | |||
Berkshire Hathaway, Inc., Class B(a)* | 796 | 245,781 | |
BlackRock, Inc. | 54 | 36,132 | |
Cboe Global Markets, Inc. | 1,492 | 200,286 | |
CME Group, Inc.(a) | 1,471 | 281,726 | |
FleetCor Technologies, Inc.* | 340 | 71,689 | |
Franklin Resources, Inc. | 672 | 18,104 | |
Intercontinental Exchange, Inc.(a) | 2,531 | 263,958 | |
Jack Henry & Associates, Inc. | 155 | 23,362 | |
MarketAxess Holdings, Inc. | 376 | 147,125 | |
Mastercard, Inc., Class A | 154 | 55,965 | |
Nasdaq, Inc.(a) | 4,885 | 267,063 | |
PayPal Holdings, Inc.(a)* | 2,773 | 210,582 | |
T Rowe Price Group, Inc. | 100 | 11,290 | |
Visa, Inc., Class A | 498 | 112,279 | |
1,945,342 | |||
Food, Beverage & Tobacco — 10.8% | |||
Altria Group, Inc. | 3,299 | 147,201 | |
Campbell Soup Co.(a) | 5,794 | 318,554 | |
Coca-Cola Co. (The) | 885 | 54,897 | |
General Mills, Inc.(a) | 3,470 | 296,546 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Food, Beverage & Tobacco — (Continued) | |||
Hershey Co. (The) | 381 | $ 96,930 | |
Hormel Foods Corp. | 1,025 | 40,877 | |
J M Smucker Co. (The) | 938 | 147,613 | |
Kellogg Co.(a) | 5,144 | 344,442 | |
Keurig Dr Pepper, Inc.(a) | 5,841 | 206,071 | |
Kraft Heinz Co. (The)(a) | 5,682 | 219,723 | |
Lamb Weston Holdings, Inc. | 288 | 30,102 | |
Mondelez International, Inc., Class A | 1 | 70 | |
PepsiCo, Inc. | 197 | 35,913 | |
Philip Morris International, Inc. | 417 | 40,553 | |
Tyson Foods, Inc., Class A(a) | 2,895 | 171,731 | |
2,151,223 | |||
Health Care Equipment & Services — 6.0% | |||
Abbott Laboratories | 380 | 38,479 | |
AmerisourceBergen Corp. | 362 | 57,960 | |
Cardinal Health, Inc. | 1,380 | 104,190 | |
Centene Corp.* | 1,146 | 72,439 | |
Cigna Group (The) | 402 | 102,723 | |
CVS Health Corp. | 2,337 | 173,662 | |
DaVita, Inc.* | 1,884 | 152,811 | |
DENTSPLY SIRONA, Inc. | 353 | 13,866 | |
GE HealthCare Technologies, Inc.* | 1,556 | 127,639 | |
Hologic, Inc.* | 6 | 484 | |
McKesson Corp.(a) | 251 | 89,368 | |
Molina Healthcare, Inc.(a)* | 874 | 233,786 | |
Quest Diagnostics, Inc. | 181 | 25,608 | |
1,193,015 | |||
Household & Personal Products — 3.1% | |||
Church & Dwight Co., Inc. | 746 | 65,954 | |
Kimberly-Clark Corp.(a) | 2,478 | 332,597 | |
Procter & Gamble Co. (The)(a) | 1,410 | 209,653 | |
608,204 | |||
Insurance — 1.8% | |||
Aon PLC, Class A (Ireland) | 242 | 76,300 | |
Assurant, Inc. | 25 | 3,002 | |
Brown & Brown, Inc. | 1,393 | 79,986 | |
Marsh & McLennan Cos., Inc. | 234 | 38,973 | |
Willis Towers Watson PLC (Ireland) | 718 | 166,849 | |
365,110 | |||
Materials — 0.6% | |||
Dow, Inc. | 83 | 4,550 | |
DuPont de Nemours, Inc. | 113 | 8,110 | |
International Paper Co. | 714 | 25,747 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Materials — (Continued) | |||
Packaging Corp. of America | 408 | $ 56,643 | |
Sealed Air Corp. | 532 | 24,424 | |
119,474 | |||
Media & Entertainment — 9.6% | |||
Activision Blizzard, Inc.(a) | 2,635 | 225,530 | |
Alphabet, Inc., Class A(a)* | 3,400 | 352,682 | |
Charter Communications, Inc., Class A(a)* | 492 | 175,944 | |
Comcast Corp., Class A(a) | 6,137 | 232,654 | |
Electronic Arts, Inc. | 55 | 6,625 | |
Fox Corp., Class A | 302 | 10,283 | |
Interpublic Group of Cos., Inc. (The) | 2,976 | 110,826 | |
Match Group, Inc.(a)* | 4,585 | 176,018 | |
Meta Platforms, Inc., Class A(a)* | 618 | 130,979 | |
Netflix, Inc.(a)* | 590 | 203,833 | |
News Corp., Class A | 3,666 | 63,312 | |
Omnicom Group, Inc.(a) | 2,280 | 215,095 | |
Take-Two Interactive Software, Inc.* | 35 | 4,175 | |
1,907,956 | |||
Pharmaceuticals, Biotechnology & Life Sciences — 6.8% | |||
Amgen, Inc. | 151 | 36,504 | |
Biogen, Inc.* | 62 | 17,238 | |
Bristol-Myers Squibb Co.(a) | 2,025 | 140,353 | |
Danaher Corp. | 158 | 39,822 | |
Gilead Sciences, Inc. | 185 | 15,349 | |
Illumina, Inc.* | 41 | 9,535 | |
Johnson & Johnson(a) | 2,096 | 324,880 | |
Merck & Co., Inc.(a) | 2,400 | 255,336 | |
Moderna, Inc.* | 742 | 113,956 | |
Organon & Co. | 5,657 | 133,053 | |
Pfizer, Inc.(a) | 5,655 | 230,724 | |
Vertex Pharmaceuticals, Inc.* | 140 | 44,110 | |
1,360,860 | |||
Semiconductors & Semiconductor Equipment — 6.0% | |||
Applied Materials, Inc. | 1,042 | 127,989 | |
Broadcom, Inc. | 242 | 155,253 | |
KLA Corp. | 153 | 61,073 | |
Lam Research Corp.(a) | 567 | 300,578 | |
Microchip Technology, Inc. | 3 | 251 | |
NXP Semiconductors N. V. (Netherlands) | 349 | 65,080 | |
ON Semiconductor Corp.* | 415 | 34,163 | |
Qorvo, Inc.(a)* | 2,685 | 272,715 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Semiconductors & Semiconductor Equipment — (Continued) | |||
QUALCOMM, Inc. | 50 | $ 6,379 | |
Skyworks Solutions, Inc. | 1,495 | 176,380 | |
1,199,861 | |||
Software & Services — 7.3% | |||
Accenture PLC, Class A (Ireland) | 77 | 22,007 | |
Adobe, Inc.(a)* | 294 | 113,299 | |
Akamai Technologies, Inc.(a)* | 4,371 | 342,249 | |
Gartner, Inc.* | 459 | 149,529 | |
Gen Digital, Inc. | 10,574 | 181,450 | |
International Business Machines Corp. | 1,122 | 147,083 | |
Microsoft Corp.(a) | 924 | 266,389 | |
Roper Technologies, Inc. | 27 | 11,899 | |
Salesforce, Inc.(a)* | 354 | 70,722 | |
VeriSign, Inc.* | 671 | 141,802 | |
1,446,429 | |||
Technology Hardware & Equipment — 8.7% | |||
Amphenol Corp., Class A | 918 | 75,019 | |
Apple, Inc.(a) | 3,836 | 632,556 | |
CDW Corp. | 9 | 1,754 | |
Cisco Systems, Inc.(a) | 5,943 | 310,670 | |
F5, Inc.(a)* | 1,476 | 215,039 | |
HP, Inc. | 4,188 | 122,918 | |
Motorola Solutions, Inc. | 1 | 286 | |
NetApp, Inc.(a) | 2,801 | 178,844 | |
Seagate Technology Holdings PLC (Ireland) | 1,939 | 128,207 | |
Zebra Technologies Corp., Class A* | 239 | 76,002 | |
1,741,295 | |||
Telecommunication Services — 2.0% | |||
AT&T, Inc. | 8,379 | 161,296 | |
Verizon Communications, Inc.(a) | 5,943 | 231,123 | |
392,419 | |||
Transportation — 3.8% | |||
American Airlines Group, Inc.* | 1,106 | 16,313 | |
CH Robinson Worldwide, Inc.(a) | 1,853 | 184,133 | |
CSX Corp. | 2,080 | 62,275 | |
Expeditors International of Washington, Inc.(a) | 1,884 | 207,466 | |
Norfolk Southern Corp. | 159 | 33,708 | |
Union Pacific Corp. | 515 | 103,649 | |
United Parcel Service, Inc., Class B | 808 | 156,744 | |
764,288 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Utilities — 0.3% | |||
Constellation Energy Corp. | 661 | $ 51,889 | |
TOTAL COMMON STOCKS (Cost $17,208,536) | 18,916,095 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES - 5.0% | 1,003,159 | ||
NET ASSETS - 100.0% | $ 19,919,254 |
(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 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Long | ||||||||||||||||
Automobiles & Components | ||||||||||||||||
BorgWarner, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 656 | $ 31,565 | $ 32,216 | $ 1,241 | ||||||||
Capital Goods | ||||||||||||||||
3M Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,482 | 165,263 | 155,773 | (4,445) | ||||||||
Honeywell International, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 643 | 128,451 | 122,890 | (2,866) | ||||||||
Lockheed Martin Corp. | USFF +0.250% | Weekly | MS | 08/29/24 | 207 | 88,106 | 97,855 | 14,108 | ||||||||
Northrop Grumman Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 30 | 11,276 | 13,852 | 3,546 | ||||||||
Pentair PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/08/27 | 450 | 18,343 | 24,871 | 7,038 | ||||||||
Snap-on, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 382 | 94,142 | 94,312 | 2,068 | ||||||||
WW Grainger, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 217 | 130,163 | 149,472 | 22,235 | ||||||||
3,411 | 635,744 | 659,025 | 41,684 | |||||||||||||
Commercial & Professional Services | ||||||||||||||||
Automatic Data Processing, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 145 | 31,225 | 32,281 | 1,635 | ||||||||
Leidos Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 942 | 92,868 | 86,721 | (4,180) | ||||||||
Robert Half International, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 2,750 | 232,337 | 221,567 | (2,722) | ||||||||
3,837 | 356,430 | 340,569 | (5,267) | |||||||||||||
Consumer Discretionary Distribution & Retail | ||||||||||||||||
Amazon.com, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 3,217 | 286,306 | 332,284 | 50,761 | ||||||||
AutoZone, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 33 | 63,423 | 81,119 | 18,827 | ||||||||
Bath & Body Works, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,262 | 34,056 | 46,164 | 13,245 | ||||||||
Best Buy Co., Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 48 | 3,421 | 3,757 | 570 | ||||||||
eBay, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 2,191 | 88,774 | 97,215 | 12,094 | ||||||||
Genuine Parts Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 579 | 92,185 | 96,872 | 7,482 | ||||||||
LKQ Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 376 | 20,193 | 21,342 | 1,673 | ||||||||
Lowe's Cos., Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 559 | 106,476 | 111,783 | 8,469 | ||||||||
O'Reilly Automotive, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 18 | 10,905 | 15,282 | 4,616 | ||||||||
Pool Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 5 | 1,717 | 1,712 | (147) | ||||||||
Ross Stores, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 284 | 21,109 | 30,141 | 9,740 | ||||||||
TJX Cos., Inc. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 66 | 4,968 | 5,172 | 356 | ||||||||
Ulta Beauty, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 229 | 118,556 | 124,958 | 8,468 | ||||||||
8,867 | 852,089 | 967,801 | 136,154 | |||||||||||||
Consumer Durables & Apparel | ||||||||||||||||
Garmin Ltd. (Switzerland) | USFF +0.250% | Weekly | MS | 01/10/28 | 244 | 23,519 | 24,624 | 1,723 | ||||||||
Hasbro, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,348 | 237,794 | 233,444 | (72) |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Durables & Apparel — (continued) | ||||||||||||||||
NIKE, Inc., Class B | USFF +0.250% | Weekly | MS | 01/05/26 | 397 | $ 46,125 | $ 48,688 | $ 3,817 | ||||||||
Tapestry, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,843 | 79,342 | 79,452 | 1,819 | ||||||||
6,832 | 386,780 | 386,208 | 7,287 | |||||||||||||
Consumer Services | ||||||||||||||||
Expedia Group, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,602 | 239,239 | 252,472 | 17,273 | ||||||||
McDonald's Corp. | USFF +0.250% | Weekly | MS | 08/29/24 | 309 | 74,612 | 86,399 | 17,007 | ||||||||
MGM Resorts International | USFF +0.250% | Weekly | MS | 01/07/27 | 4,392 | 143,680 | 195,093 | 53,924 | ||||||||
Starbucks Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 117 | 8,229 | 12,183 | 4,365 | ||||||||
Yum! Brands, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 666 | 85,686 | 87,965 | 4,307 | ||||||||
8,086 | 551,446 | 634,112 | 96,876 | |||||||||||||
Consumer Staples Distribution & Retail | ||||||||||||||||
Kroger Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 2,913 | 130,831 | 143,815 | 19,044 | ||||||||
Sysco Corp. | USFF +0.250% | Weekly | MS | 08/29/24 | 120 | 8,468 | 9,268 | 1,565 | ||||||||
Walgreens Boots Alliance, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 964 | 31,743 | 33,335 | 2,395 | ||||||||
Walmart, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,116 | 134,953 | 164,554 | 33,966 | ||||||||
5,113 | 305,995 | 350,972 | 56,970 | |||||||||||||
Energy | ||||||||||||||||
Baker Hughes Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,071 | 27,395 | 30,909 | 4,426 | ||||||||
Chevron Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 196 | 27,245 | 31,979 | 6,103 | ||||||||
ConocoPhillips | USFF +0.250% | Weekly | MS | 01/10/28 | 534 | 55,282 | 52,978 | (1,012) | ||||||||
Coterra Energy, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,246 | 30,837 | 30,577 | 938 | ||||||||
Exxon Mobil Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 62 | 5,106 | 6,799 | 2,160 | ||||||||
Marathon Petroleum Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 297 | 23,675 | 40,045 | 18,013 | ||||||||
Pioneer Natural Resources Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 293 | 60,915 | 59,842 | 3,314 | ||||||||
Valero Energy Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 13 | 1,379 | 1,815 | 883 | ||||||||
3,712 | 231,834 | 254,944 | 34,825 | |||||||||||||
Equity Real Estate Investment Trusts (REITs) | ||||||||||||||||
AvalonBay Communities, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 216 | 35,587 | 36,301 | 1,727 | ||||||||
Equity Residential | USFF +0.250% | Weekly | MS | 01/10/28 | 113 | 6,473 | 6,780 | 523 | ||||||||
Essex Property Trust, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 84 | 17,537 | 17,568 | 726 | ||||||||
Realty Income Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,237 | 133,180 | 141,647 | 14,143 | ||||||||
Welltower, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 338 | 19,799 | 24,231 | 5,235 | ||||||||
Weyerhaeuser Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 829 | 23,586 | 24,978 | 3,156 | ||||||||
3,817 | 236,162 | 251,505 | 25,510 | |||||||||||||
Financial Services | ||||||||||||||||
Berkshire Hathaway, Inc., Class B | USFF +0.250% | Weekly | MS | 08/29/24 | 371 | 98,648 | 114,554 | 17,634 | ||||||||
BlackRock, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 44 | 24,234 | 29,441 | 8,517 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Financial Services — (continued) | ||||||||||||||||
Cboe Global Markets, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,366 | $ 164,289 | $ 183,372 | $ 23,462 | ||||||||
CME Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,405 | 244,187 | 269,086 | 35,702 | ||||||||
FleetCor Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 310 | 60,791 | 65,363 | 5,598 | ||||||||
Franklin Resources, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 662 | 19,043 | 17,834 | (633) | ||||||||
Intercontinental Exchange, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,492 | 239,227 | 259,891 | 28,872 | ||||||||
Jack Henry & Associates, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 155 | 22,401 | 23,362 | 1,395 | ||||||||
MarketAxess Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 362 | 118,170 | 141,647 | 25,704 | ||||||||
Mastercard, Inc., Class A | USFF +0.250% | Weekly | MS | 08/29/24 | 236 | 66,468 | 85,765 | 21,729 | ||||||||
Nasdaq, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 4,961 | 268,684 | 271,218 | 10,795 | ||||||||
PayPal Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,733 | 195,729 | 207,544 | 15,074 | ||||||||
T Rowe Price Group, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 95 | 9,902 | 10,725 | 1,816 | ||||||||
Visa, Inc., Class A | USFF +0.250% | Weekly | MS | 08/29/24 | 340 | 63,035 | 76,656 | 15,970 | ||||||||
15,532 | 1,594,808 | 1,756,458 | 211,635 | |||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||
Altria Group, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 3,162 | 138,161 | 141,088 | 19,383 | ||||||||
Campbell Soup Co. | USFF +0.250% | Weekly | MS | 07/06/26 | 5,635 | 295,288 | 309,812 | 22,879 | ||||||||
Coca-Cola Co. (The) | USFF +0.250% | Weekly | MS | 07/06/26 | 869 | 49,325 | 53,904 | 6,471 | ||||||||
General Mills, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 3,360 | 250,337 | 287,146 | 54,042 | ||||||||
Hershey Co. (The) | USFF +0.250% | Weekly | MS | 01/05/26 | 365 | 83,397 | 92,860 | 11,690 | ||||||||
Hormel Foods Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,010 | 39,899 | 40,279 | 1,111 | ||||||||
J M Smucker Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 929 | 140,014 | 146,197 | 9,444 | ||||||||
Kellogg Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 5,005 | 356,124 | 335,135 | (9,315) | ||||||||
Keurig Dr Pepper, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 5,562 | 197,406 | 196,227 | 3,655 | ||||||||
Kraft Heinz Co. (The) | USFF +0.250% | Weekly | MS | 08/29/24 | 5,595 | 208,524 | 216,359 | 14,762 | ||||||||
Lamb Weston Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 288 | 24,715 | 30,102 | 7,694 | ||||||||
PepsiCo, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 196 | 33,198 | 35,731 | 4,248 | ||||||||
Philip Morris International, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 405 | 36,484 | 39,386 | 8,845 | ||||||||
Tyson Foods, Inc., Class A | USFF +0.250% | Weekly | MS | 08/29/24 | 2,861 | 192,705 | 169,715 | (13,168) | ||||||||
35,242 | 2,045,577 | 2,093,941 | 141,741 | |||||||||||||
Health Care Equipment & Services | ||||||||||||||||
Abbott Laboratories | USFF +0.250% | Weekly | MS | 08/29/24 | 328 | 32,610 | 33,213 | 1,859 | ||||||||
AmerisourceBergen Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 349 | 49,240 | 55,878 | 8,025 | ||||||||
Cardinal Health, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,326 | 91,140 | 100,113 | 12,440 | ||||||||
Centene Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,140 | 72,763 | 72,059 | 585 | ||||||||
Cigna Corp. (The) | USFF +0.250% | Weekly | MS | 07/06/26 | 383 | 102,556 | 97,868 | (1,490) |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Health Care Equipment & Services — (continued) | ||||||||||||||||
CVS Health Corp. | USFF +0.250% | Weekly | MS | 08/29/24 | 2,265 | $ 183,545 | $ 168,312 | $ (10,403) | ||||||||
DaVita, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,856 | 133,814 | 150,540 | 19,051 | ||||||||
DENTSPLY SIRONA, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 347 | 9,863 | 13,630 | 4,080 | ||||||||
GE HealthCare Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,528 | 105,158 | 125,342 | 22,061 | ||||||||
Hologic, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 5 | 396 | 403 | 69 | ||||||||
McKesson Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 253 | 56,456 | 90,081 | 36,965 | ||||||||
Molina Healthcare, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 849 | 260,560 | 227,099 | (28,986) | ||||||||
Quest Diagnostics, Inc. | USFF +0.250% | Weekly | MS | 11/03/25 | 177 | 21,297 | 25,042 | 4,935 | ||||||||
10,806 | 1,119,398 | 1,159,580 | 69,191 | |||||||||||||
Household & Personal Products | ||||||||||||||||
Church & Dwight Co., Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 734 | 61,639 | 64,893 | 4,407 | ||||||||
Kimberly-Clark Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,464 | 305,044 | 330,718 | 36,949 | ||||||||
Procter & Gamble Co. (The) | USFF +0.250% | Weekly | MS | 07/08/27 | 1,397 | 183,778 | 207,720 | 29,678 | ||||||||
4,595 | 550,461 | 603,331 | 71,034 | |||||||||||||
Insurance | ||||||||||||||||
Aon PLC, Class A (Ireland) | USFF +0.250% | Weekly | MS | 01/10/28 | 243 | 75,036 | 76,615 | 2,882 | ||||||||
Assurant, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 37 | 4,147 | 4,443 | 361 | ||||||||
Brown & Brown, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,328 | 76,531 | 76,254 | 1,099 | ||||||||
Marsh & McLennan Cos., Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 233 | 37,542 | 38,806 | 1,938 | ||||||||
Willis Towers Watson PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/10/28 | 705 | 169,132 | 163,828 | (1,788) | ||||||||
2,546 | 362,388 | 359,946 | 4,492 | |||||||||||||
Materials | ||||||||||||||||
Dow, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 83 | 3,633 | 4,550 | 1,149 | ||||||||
DuPont de Nemours, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 114 | 7,880 | 8,182 | 609 | ||||||||
International Paper Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 713 | 23,157 | 25,711 | 3,827 | ||||||||
Packaging Corp. of America | USFF +0.250% | Weekly | MS | 07/08/27 | 400 | 50,473 | 55,532 | 6,708 | ||||||||
Sealed Air Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 539 | 24,136 | 24,745 | 1,118 | ||||||||
1,849 | 109,279 | 118,720 | 13,411 | |||||||||||||
Media & Entertainment | ||||||||||||||||
Activision Blizzard, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 2,561 | 168,849 | 219,196 | 58,913 | ||||||||
Alphabet, Inc., Class A | USFF +0.250% | Weekly | MS | 08/29/24 | 3,334 | 296,715 | 345,836 | 54,210 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Media & Entertainment — (continued) | ||||||||||||||||
Charter Communications, Inc., Class A | USFF +0.250% | Weekly | MS | 08/29/24 | 486 | $ 179,946 | $ 173,798 | $ (3,039) | ||||||||
Comcast Corp., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 6,100 | 213,391 | 231,251 | 23,747 | ||||||||
Electronic Arts, Inc. | USFF +0.250% | Weekly | MS | 11/03/25 | 58 | 6,850 | 6,986 | 392 | ||||||||
Fox Corp., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 301 | 8,606 | 10,249 | 4,001 | ||||||||
Interpublic Group of Cos., Inc. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 2,940 | 105,710 | 109,486 | 6,036 | ||||||||
Match Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,510 | 198,805 | 173,139 | (22,239) | ||||||||
Meta Platforms, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 700 | 76,415 | 148,358 | 73,294 | ||||||||
Netflix, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 591 | 108,191 | 204,179 | 97,877 | ||||||||
News Corp., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 3,635 | 56,759 | 62,776 | 7,637 | ||||||||
Omnicom Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,247 | 198,376 | 211,982 | 18,447 | ||||||||
Take-Two Interactive Software, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 34 | 3,571 | 4,056 | 599 | ||||||||
27,497 | 1,622,184 | 1,901,292 | 319,875 | |||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||
Amgen, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 147 | 34,162 | 35,537 | 2,049 | ||||||||
Biogen, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 54 | 10,356 | 15,014 | 4,888 | ||||||||
Bristol-Myers Squibb Co. | USFF +0.250% | Weekly | MS | 07/06/26 | 1,777 | 112,499 | 123,164 | 16,567 | ||||||||
Danaher Corp. | USFF +0.250% | Weekly | MS | 08/29/24 | 139 | 34,939 | 35,034 | 877 | ||||||||
Gilead Sciences, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 180 | 12,073 | 14,935 | 3,385 | ||||||||
Illumina, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 24 | 6,719 | 5,581 | (970) | ||||||||
Johnson & Johnson | USFF +0.250% | Weekly | MS | 08/29/24 | 2,083 | 337,247 | 322,865 | 1,918 | ||||||||
Merck & Co., Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 2,380 | 203,714 | 253,208 | 62,430 | ||||||||
Moderna, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 736 | 88,335 | 113,035 | 26,253 | ||||||||
Organon & Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 5,574 | 149,762 | 131,100 | (14,556) | ||||||||
Pfizer, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 5,499 | 225,074 | 224,359 | 3,753 | ||||||||
Vertex Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 140 | 34,047 | 44,110 | 10,695 | ||||||||
18,733 | 1,248,927 | 1,317,942 | 117,289 | |||||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Applied Materials, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,033 | 81,780 | 126,883 | 47,238 | ||||||||
Broadcom, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 235 | 125,626 | 150,762 | 28,398 | ||||||||
KLA Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 149 | 40,538 | 59,476 | 20,065 | ||||||||
Lam Research Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 555 | 192,009 | 294,217 | 107,435 | ||||||||
Microchip Technology, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1 | 77 | 84 | 300 | ||||||||
NXP Semiconductors NV (Netherlands) | USFF +0.250% | Weekly | MS | 01/07/27 | 308 | 43,583 | 57,434 | 15,223 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Semiconductors & Semiconductor Equipment — (continued) | ||||||||||||||||
ON Semiconductor Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 410 | $ 31,000 | $ 33,751 | $ 3,413 | ||||||||
Qorvo, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,660 | 264,134 | 270,176 | 10,109 | ||||||||
QUALCOMM, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 50 | 6,362 | 6,379 | 1,510 | ||||||||
Skyworks Solutions, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,476 | 170,813 | 174,138 | 6,629 | ||||||||
6,877 | 955,922 | 1,173,300 | 240,320 | |||||||||||||
Software & Services | ||||||||||||||||
Accenture PLC, Class A (Ireland) | USFF +0.250% | Weekly | MS | 01/10/28 | 51 | 12,484 | 14,576 | 4,375 | ||||||||
Adobe, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 194 | 55,011 | 74,762 | 20,739 | ||||||||
Akamai Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 3,994 | 360,682 | 312,730 | (41,778) | ||||||||
Gartner, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 432 | 142,342 | 140,733 | 860 | ||||||||
Gen Digital, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 10,371 | 197,378 | 177,966 | (15,179) | ||||||||
International Business Machines Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,044 | 140,093 | 136,858 | 734 | ||||||||
Microsoft Corp. | USFF +0.250% | Weekly | MS | 08/29/24 | 2,110 | 379,232 | 608,313 | 253,897 | ||||||||
Roper Technologies, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 17 | 6,665 | 7,492 | 1,074 | ||||||||
Salesforce, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 351 | 46,427 | 70,123 | 26,387 | ||||||||
VeriSign, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 662 | 109,061 | 139,900 | 32,744 | ||||||||
19,226 | 1,449,375 | 1,683,453 | 283,853 | |||||||||||||
Technology Hardware & Equipment | ||||||||||||||||
Amphenol Corp., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 797 | 51,042 | 65,131 | 15,503 | ||||||||
Apple, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 2,444 | 214,537 | 403,016 | 198,228 | ||||||||
CDW Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 9 | 1,733 | 1,754 | 104 | ||||||||
Cisco Systems, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 5,401 | 237,750 | 282,337 | 61,755 | ||||||||
F5, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,471 | 217,094 | 214,310 | 954 | ||||||||
HP, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,143 | 119,081 | 121,597 | 5,121 | ||||||||
Motorola Solutions, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2 | 553 | 572 | 83 | ||||||||
NetApp, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,784 | 175,907 | 177,758 | 5,347 | ||||||||
Seagate Technology Holdings PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/10/28 | 1,937 | 127,279 | 128,074 | 3,556 | ||||||||
Zebra Technologies Corp., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 235 | 64,743 | 74,730 | 11,228 | ||||||||
19,223 | 1,209,719 | 1,469,279 | 301,879 | |||||||||||||
Telecommunication Services | ||||||||||||||||
AT&T, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 8,325 | 137,909 | 160,256 | 27,797 | ||||||||
Verizon Communications, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 5,841 | 224,607 | 227,156 | 10,967 | ||||||||
14,166 | 362,516 | 387,412 | 38,764 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Transportation | ||||||||||||||||
American Airlines Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 787 | $ 12,601 | $ 11,608 | $ (725) | ||||||||
CH Robinson Worldwide, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,823 | 168,560 | 181,152 | 17,412 | ||||||||
CSX Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,052 | 60,012 | 61,437 | 2,484 | ||||||||
Expeditors International of Washington, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 1,789 | 176,943 | 197,005 | 28,855 | ||||||||
Norfolk Southern Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 162 | 32,899 | 34,344 | 2,378 | ||||||||
Union Pacific Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 522 | 100,698 | 105,058 | 6,833 | ||||||||
United Parcel Service, Inc., Class B | USFF +0.250% | Weekly | MS | 01/05/26 | 797 | 131,908 | 154,610 | 30,335 | ||||||||
7,932 | 683,621 | 745,214 | 87,572 | |||||||||||||
Utilities | ||||||||||||||||
Constellation Energy Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 559 | 46,174 | 43,881 | (1,471) | ||||||||
Total Reference Entity — Long | 16,948,394 | 18,691,101 | 2,294,865 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Short | ||||||||||||||||
Automobiles & Components | ||||||||||||||||
Aptiv PLC (Jersey) | USFF -0.250% | Weekly | MS | 07/06/26 | (734) | $ (95,441) | $ (82,347) | $ 11,812 | ||||||||
Ford Motor Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (15,726) | (201,880) | (198,148) | (9,714) | ||||||||
Tesla, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (200) | (48,069) | (41,492) | 5,925 | ||||||||
(16,660) | (345,390) | (321,987) | 8,023 | |||||||||||||
Banks | ||||||||||||||||
Comerica, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (248) | (24,091) | (10,768) | 18,163 | ||||||||
Regions Financial Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,951) | (72,123) | (54,771) | 14,331 | ||||||||
Zions Bancorp NA | USFF -0.250% | Weekly | MS | 07/06/26 | (367) | (25,345) | (10,984) | 15,786 | ||||||||
(3,566) | (121,559) | (76,523) | 48,280 | |||||||||||||
Capital Goods | ||||||||||||||||
Cummins, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (314) | (77,960) | (75,008) | 1,980 | ||||||||
Generac Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,400) | (321,312) | (259,224) | 57,647 | ||||||||
Huntington Ingalls Industries, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (353) | (74,968) | (73,078) | 885 | ||||||||
Nordson Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (75) | (16,607) | (16,670) | (219) | ||||||||
Parker-Hannifin Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (113) | (35,444) | (37,980) | (4,101) | ||||||||
Quanta Services, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (827) | (123,367) | (137,811) | (17,114) | ||||||||
Raytheon Technologies Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (864) | (86,353) | (84,612) | (829) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
Rockwell Automation, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (291) | $ (82,694) | $ (85,394) | $ (4,141) | ||||||||
United Rentals, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (471) | (200,614) | (186,403) | 10,906 | ||||||||
(5,708) | (1,019,319) | (956,180) | 45,014 | |||||||||||||
Commercial & Professional Services | ||||||||||||||||
CoStar Group, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,094) | (84,068) | (75,322) | 7,541 | ||||||||
Equifax, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (676) | (144,175) | (137,120) | 4,831 | ||||||||
(1,770) | (228,243) | (212,442) | 12,372 | |||||||||||||
Consumer Discretionary Distribution & Retail | ||||||||||||||||
Advance Auto Parts, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (784) | (139,280) | (95,342) | 40,245 | ||||||||
CarMax, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (501) | (74,617) | (32,204) | 41,423 | ||||||||
Etsy, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (315) | (79,345) | (35,069) | 43,220 | ||||||||
Tractor Supply Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,308) | (300,818) | (307,432) | (11,676) | ||||||||
(2,908) | (594,060) | (470,047) | 113,212 | |||||||||||||
Consumer Durables & Apparel | ||||||||||||||||
Mohawk Industries, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (479) | (67,615) | (48,005) | 18,718 | ||||||||
Newell Brands, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (15,601) | (317,486) | (194,076) | 109,012 | ||||||||
Ralph Lauren Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (584) | (71,210) | (68,135) | 1,704 | ||||||||
VF Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,247) | (80,048) | (74,389) | 4,091 | ||||||||
Whirlpool Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (571) | (77,127) | (75,383) | 1,117 | ||||||||
(20,482) | (613,486) | (459,988) | 134,642 | |||||||||||||
Consumer Services | ||||||||||||||||
Caesars Entertainment, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (3,058) | (164,805) | (149,261) | 13,221 | ||||||||
Carnival Corp. (Panama) | USFF -0.580% | Weekly | MS | 07/08/27 | (2,602) | (23,024) | (26,410) | (3,654) | ||||||||
Chipotle Mexican Grill, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (82) | (142,201) | (140,080) | (308) | ||||||||
Las Vegas Sands Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,643) | (81,144) | (94,390) | (14,328) | ||||||||
Norwegian Cruise Line Holdings Ltd. (Bermuda) | USFF -0.830% | Weekly | MS | 07/08/27 | (2,952) | (49,591) | (39,704) | 9,405 | ||||||||
Royal Caribbean Cruises Ltd. (Liberia) | USFF -0.250% | Weekly | MS | 07/08/27 | (4,807) | (283,100) | (313,897) | (36,824) | ||||||||
Wynn Resorts Ltd. | USFF -0.250% | Weekly | MS | 01/05/26 | (852) | (84,073) | (95,347) | (12,396) | ||||||||
(15,996) | (827,938) | (859,089) | (44,884) | |||||||||||||
Consumer Staples Distribution & Retail | ||||||||||||||||
Dollar Tree, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (984) | (137,449) | (141,253) | (5,673) | ||||||||
Target Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,084) | (174,648) | (179,543) | (7,284) | ||||||||
(2,068) | (312,097) | (320,796) | (12,957) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Energy | ||||||||||||||||
Marathon Oil Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,130) | $ (105,209) | $ (98,955) | $ 4,840 | ||||||||
ONEOK, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,558) | (170,926) | (162,535) | 5,564 | ||||||||
Targa Resources Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (5,405) | (378,510) | (394,295) | (23,009) | ||||||||
Williams Cos., Inc. (The) | USFF -0.250% | Weekly | MS | 07/08/27 | (10,463) | (331,768) | (312,425) | 9,663 | ||||||||
(22,556) | (986,413) | (968,210) | (2,942) | |||||||||||||
Equity Real Estate Investment Trusts (REITs) | ||||||||||||||||
Boston Properties, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (95) | (10,954) | (5,141) | 5,342 | ||||||||
Equinix, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (248) | (185,806) | (178,818) | 2,279 | ||||||||
Host Hotels & Resorts, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,559) | (26,117) | (25,708) | (80) | ||||||||
Iron Mountain, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (4,726) | (246,894) | (250,053) | (9,907) | ||||||||
Regency Centers Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (108) | (7,256) | (6,607) | 917 | ||||||||
(6,736) | (477,027) | (466,327) | (1,449) | |||||||||||||
Financial Services | ||||||||||||||||
Capital One Financial Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (362) | (39,429) | (34,810) | 5,124 | ||||||||
Discover Financial Services | USFF -0.250% | Weekly | MS | 07/06/26 | (625) | (72,961) | (61,775) | 9,831 | ||||||||
Fidelity National Information Services, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,971) | (224,369) | (107,084) | 110,261 | ||||||||
Global Payments, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (666) | (111,208) | (70,090) | 38,806 | ||||||||
Moody's Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (537) | (165,173) | (164,333) | (1,958) | ||||||||
MSCI, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (325) | (188,521) | (181,899) | 1,633 | ||||||||
Northern Trust Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (62) | (7,448) | (5,464) | 7,397 | ||||||||
Synchrony Financial | USFF -0.250% | Weekly | MS | 07/06/26 | (4,292) | (199,837) | (124,811) | 68,633 | ||||||||
(8,840) | (1,008,946) | (750,266) | 239,727 | |||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||
Brown-Forman Corp., Class B | USFF -0.250% | Weekly | MS | 01/10/28 | (134) | (8,371) | (8,612) | (311) | ||||||||
Health Care Equipment & Services | ||||||||||||||||
Align Technology, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (902) | (404,989) | (301,394) | 96,804 | ||||||||
Becton Dickinson and Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (664) | (168,638) | (164,367) | 390 | ||||||||
Cooper Cos., Inc. (The) | USFF -0.250% | Weekly | MS | 01/07/27 | (40) | (16,933) | (14,934) | 1,912 | ||||||||
Dexcom, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,582) | (202,432) | (183,797) | 15,847 | ||||||||
Edwards Lifesciences Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,820) | (211,740) | (150,569) | 62,216 | ||||||||
IDEXX Laboratories, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (414) | (253,878) | (207,033) | 43,287 | ||||||||
Insulet Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (516) | (160,938) | (164,583) | (5,842) | ||||||||
Intuitive Surgical, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (749) | (245,065) | (191,347) | 50,536 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Health Care Equipment & Services — (continued) | ||||||||||||||||
ResMed, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (689) | $ (159,375) | $ (150,884) | $ 5,670 | ||||||||
STERIS PLC (Ireland) | USFF -0.250% | Weekly | MS | 01/07/27 | (776) | (156,198) | (148,433) | 4,351 | ||||||||
(8,152) | (1,980,186) | (1,677,341) | 275,171 | |||||||||||||
Household & Personal Products | ||||||||||||||||
Estee Lauder Cos., Inc. (The), Class A | USFF -0.250% | Weekly | MS | 07/06/26 | (1,239) | (351,635) | (305,364) | 39,115 | ||||||||
Insurance | ||||||||||||||||
Allstate Corp. (The) | USFF -0.250% | Weekly | MS | 07/08/27 | (719) | (95,772) | (79,672) | 14,142 | ||||||||
American International Group, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,996) | (168,123) | (150,879) | 14,250 | ||||||||
Lincoln National Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,257) | (49,363) | (28,245) | 19,582 | ||||||||
Prudential Financial, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (944) | (107,212) | (78,107) | 23,082 | ||||||||
(5,916) | (420,470) | (336,903) | 71,056 | |||||||||||||
Materials | ||||||||||||||||
Air Products and Chemicals, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (55) | (15,348) | (15,797) | (711) | ||||||||
Albemarle Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (215) | (60,941) | (47,524) | 12,413 | ||||||||
Amcor PLC (Jersey) | USFF -0.250% | Weekly | MS | 01/10/28 | (7,776) | (88,189) | (88,491) | (2,463) | ||||||||
Avery Dennison Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (6) | (1,123) | (1,074) | 559 | ||||||||
Ball Corp. | USFF -0.250% | Weekly | MS | 11/03/25 | (1,336) | (83,445) | (73,627) | 8,439 | ||||||||
Celanese Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,961) | (340,490) | (322,423) | 13,344 | ||||||||
Freeport-McMoRan, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (5,663) | (256,151) | (231,673) | 22,927 | ||||||||
Martin Marietta Materials, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (314) | (125,732) | (111,489) | 11,487 | ||||||||
PPG Industries, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,267) | (164,482) | (169,246) | (7,359) | ||||||||
Sherwin-Williams Co. (The) | USFF -0.250% | Weekly | MS | 01/07/27 | (475) | (115,346) | (106,766) | 6,591 | ||||||||
Vulcan Materials Co. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,033) | (196,093) | (177,221) | 14,881 | ||||||||
Westrock Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (8,167) | (270,670) | (248,848) | 17,178 | ||||||||
(29,268) | (1,718,010) | (1,594,179) | 97,286 | |||||||||||||
Media & Entertainment | ||||||||||||||||
DISH Network Corp., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (32,359) | (553,049) | (301,909) | 243,456 | ||||||||
Live Nation Entertainment, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,055) | (117,867) | (73,850) | 43,805 | ||||||||
Paramount Global, Class B | USFF -0.780% | Weekly | MS | 01/10/28 | (987) | (22,970) | (22,020) | 502 | ||||||||
Walt Disney Co. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (1,218) | (121,253) | (121,958) | (2,347) | ||||||||
(35,619) | (815,139) | (519,737) | 285,416 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||
Agilent Technologies, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (942) | $ (126,403) | $ (130,316) | $ (5,895) | ||||||||
Bio-Rad Laboratories, Inc., Class A | USFF -0.250% | Weekly | MS | 07/06/26 | (446) | (253,105) | (213,643) | 35,923 | ||||||||
Bio-Techne Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (3,440) | (361,775) | (255,214) | 100,798 | ||||||||
Catalent, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (4,094) | (355,507) | (269,017) | 81,571 | ||||||||
Charles River Laboratories International, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (426) | (136,683) | (85,975) | 49,151 | ||||||||
Eli Lilly & Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (540) | (176,097) | (185,447) | (11,774) | ||||||||
IQVIA Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (867) | (209,668) | (172,438) | 34,799 | ||||||||
Mettler-Toledo International, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (110) | (158,204) | (168,323) | (13,339) | ||||||||
PerkinElmer, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (539) | (76,337) | (71,827) | 3,652 | ||||||||
Thermo Fisher Scientific, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (229) | (129,073) | (131,989) | (4,801) | ||||||||
Waters Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (538) | (177,065) | (166,581) | 7,954 | ||||||||
West Pharmaceutical Services, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (243) | (99,899) | (84,192) | 14,183 | ||||||||
(12,414) | (2,259,816) | (1,934,962) | 292,222 | |||||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Advanced Micro Devices, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,332) | (259,524) | (228,559) | 26,884 | ||||||||
Analog Devices, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (246) | (46,229) | (48,516) | (2,981) | ||||||||
Enphase Energy, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (577) | (118,219) | (121,332) | (4,712) | ||||||||
First Solar, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (762) | (140,173) | (165,735) | (27,805) | ||||||||
Intel Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (7,794) | (227,788) | (254,630) | (34,673) | ||||||||
Monolithic Power Systems, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (373) | (182,932) | (186,701) | (7,338) | ||||||||
NVIDIA Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,192) | (301,959) | (331,102) | (35,016) | ||||||||
Teradyne, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (133) | (14,540) | (14,299) | 85 | ||||||||
Texas Instruments, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (196) | (35,112) | (36,458) | (1,750) | ||||||||
(13,605) | (1,326,476) | (1,387,332) | (87,306) | |||||||||||||
Software & Services | ||||||||||||||||
Ceridian HCM Holding, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,615) | (250,050) | (191,470) | 55,135 | ||||||||
Fortinet, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,429) | (164,395) | (161,431) | 674 | ||||||||
Intuit, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (475) | (216,601) | (211,769) | 1,110 | ||||||||
Paycom Software, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (469) | (163,639) | (142,581) | 18,824 | ||||||||
PTC, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,322) | (190,524) | (169,520) | 18,551 | ||||||||
Tyler Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (434) | (179,970) | (153,914) | 23,593 | ||||||||
(7,744) | (1,165,179) | (1,030,685) | 117,887 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Technology Hardware & Equipment | ||||||||||||||||
Arista Networks, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (94) | $ (13,538) | $ (15,779) | $ (2,770) | ||||||||
Corning, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,704) | (161,706) | (165,957) | (6,751) | ||||||||
Juniper Networks, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,958) | (92,290) | (101,814) | (10,622) | ||||||||
TE Connectivity Ltd. (Switzerland) | USFF -0.250% | Weekly | MS | 01/10/28 | (373) | (48,303) | (48,919) | (1,299) | ||||||||
Teledyne Technologies, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (2) | (964) | (895) | 110 | ||||||||
Trimble, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (3,615) | (267,660) | (189,498) | 74,877 | ||||||||
Western Digital Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (9,174) | (360,661) | (345,585) | 9,590 | ||||||||
(20,920) | (945,122) | (868,447) | 63,135 | |||||||||||||
Transportation | ||||||||||||||||
JB Hunt Transport Services, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,313) | (250,589) | (230,379) | 15,731 | ||||||||
Old Dominion Freight Line, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (272) | (96,893) | (92,708) | 2,421 | ||||||||
(1,585) | (347,482) | (323,087) | 18,152 | |||||||||||||
Utilities | ||||||||||||||||
AES Corp. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (8,885) | (215,274) | (213,951) | (1,675) | ||||||||
Alliant Energy Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,095) | (129,696) | (111,873) | 13,902 | ||||||||
Ameren Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (5) | (432) | (432) | 48 | ||||||||
American Electric Power Co., Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (792) | (73,946) | (72,064) | 474 | ||||||||
American Water Works Co., Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,824) | (300,880) | (267,198) | 24,511 | ||||||||
Atmos Energy Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (776) | (88,979) | (87,191) | 175 | ||||||||
CenterPoint Energy, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (4,681) | (137,547) | (137,902) | (3,524) | ||||||||
CMS Energy Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (987) | (60,278) | (60,582) | (1,357) | ||||||||
Consolidated Edison, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (27) | (2,572) | (2,583) | 8 | ||||||||
Dominion Energy, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (499) | (42,256) | (27,899) | 15,143 | ||||||||
DTE Energy Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,209) | (131,732) | (132,434) | (3,553) | ||||||||
Edison International | USFF -0.250% | Weekly | MS | 07/08/27 | (2,593) | (162,022) | (183,040) | (27,660) | ||||||||
Entergy Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (37) | (4,445) | (3,986) | 384 | ||||||||
Evergy, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (132) | (9,238) | (8,068) | 858 | ||||||||
Eversource Energy | USFF -0.250% | Weekly | MS | 01/07/27 | (1,112) | (92,551) | (87,025) | 3,213 | ||||||||
FirstEnergy Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (475) | (18,562) | (19,029) | (672) | ||||||||
NextEra Energy, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,873) | (147,278) | (144,371) | (47) | ||||||||
NiSource, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (4,465) | (119,091) | (124,841) | (8,526) | ||||||||
NRG Energy, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (385) | (12,256) | (13,202) | (1,307) | ||||||||
Pinnacle West Capital Corp. | USFF -0.250% | Weekly | MS | 08/29/24 | (778) | (78,814) | (61,649) | 8,926 | ||||||||
Sempra Energy | USFF -0.250% | Weekly | MS | 07/08/27 | (1,885) | (283,630) | (284,937) | (7,647) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Utilities — (continued) | ||||||||||||||||
WEC Energy Group, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (530) | $ (50,618) | $ (50,239) | $ (663) | ||||||||
Xcel Energy, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (311) | (20,649) | (20,974) | (700) | ||||||||
(36,356) | (2,182,746) | (2,115,470) | 10,311 | |||||||||||||
Total Reference Entity — Short | (20,055,110) | (17,963,974) | 1,721,172 | |||||||||||||
Net Value of Reference Entity | $ (3,106,716) | $ 727,127 | $4,016,037 |
* | Includes $182,194 related to open trades, dividends receivables/payables and swap receivables/payables activities. |
USFF U.S. Fed Funds
Number of Shares | Value | ||
AFFILIATED EQUITY REGISTERED INVESTMENT COMPANIES(a) — 98.5% | |||
Gotham 1000 Value ETF | 290,500 | $ 5,496,260 | |
Gotham Defensive Long 500 Fund | 138,718 | 1,918,469 | |
Gotham Enhanced S&P 500 Index Fund | 214,852 | 3,029,406 | |
Gotham Hedged Core Fund | 280,210 | 2,908,579 | |
Gotham Large Value Fund | 267,644 | 3,631,930 | |
Gotham Neutral Fund* | 172,821 | 1,871,656 | |
TOTAL AFFILIATED EQUITY REGISTERED INVESTMENT COMPANIES (Cost $19,235,876) | 18,856,300 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.5% | 293,088 | ||
NET ASSETS - 100.0% | $ 19,149,388 |
(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. |
ETF | Exchange-Traded Fund |
Number of Shares | Value | ||
LONG POSITIONS — 139.9% | |||
COMMON STOCKS — 139.9% | |||
Automobiles & Components — 1.2% | |||
Aptiv PLC (Jersey)* | 4 | $ 449 | |
BorgWarner, Inc. | 137 | 6,728 | |
General Motors Co.† | 900 | 33,012 | |
40,189 | |||
Banks — 1.8% | |||
Bank of America Corp. | 390 | 11,154 | |
Citizens Financial Group, Inc. | 5 | 152 | |
Comerica, Inc. | 12 | 521 | |
Fifth Third Bancorp | 62 | 1,652 | |
First Republic Bank | 16 | 224 | |
JPMorgan Chase & Co.† | 216 | 28,147 | |
KeyCorp. | 84 | 1,052 | |
M&T Bank Corp. | 1 | 120 | |
PNC Financial Services Group, Inc. (The) | 13 | 1,652 | |
Truist Financial Corp. | 122 | 4,160 | |
US Bancorp | 326 | 11,752 | |
Zions Bancorp NA | 49 | 1,466 | |
62,052 | |||
Capital Goods — 10.0% | |||
3M Co.† | 352 | 36,999 | |
A. O. Smith Corp. | 38 | 2,628 | |
AMETEK, Inc. | 3 | 436 | |
Boeing Co. (The)* | 9 | 1,912 | |
Carrier Global Corp.† | 13 | 595 | |
Caterpillar, Inc.† | 304 | 69,567 | |
Deere & Co. | 3 | 1,239 | |
Dover Corp. | 2 | 304 | |
Eaton Corp. PLC (Ireland) | 5 | 857 | |
Fortive Corp.† | 33 | 2,250 | |
General Electric Co.† | 551 | 52,676 | |
Honeywell International, Inc.† | 343 | 65,554 | |
Howmet Aerospace, Inc. | 6 | 254 | |
IDEX Corp. | 1 | 231 | |
Illinois Tool Works, Inc. | 51 | 12,416 | |
Ingersoll Rand, Inc. | 90 | 5,236 | |
Johnson Controls International PLC (Ireland)† | 11 | 662 | |
Lockheed Martin Corp.† | 35 | 16,545 | |
Masco Corp. | 13 | 646 | |
Northrop Grumman Corp.† | 15 | 6,926 | |
Otis Worldwide Corp. | 5 | 422 | |
PACCAR, Inc. | 112 | 8,198 | |
Pentair PLC (Ireland) | 4 | 221 | |
Snap-on, Inc. | 31 | 7,654 | |
Stanley Black & Decker, Inc. | 2 | 161 | |
Textron, Inc. | 119 | 8,405 | |
Trane Technologies PLC (Ireland)† | 51 | 9,383 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Capital Goods — (Continued) | |||
WW Grainger, Inc.† | 30 | $ 20,664 | |
Xylem, Inc. | 20 | 2,094 | |
335,135 | |||
Commercial & Professional Services — 0.6% | |||
Automatic Data Processing, Inc.† | 34 | 7,570 | |
Leidos Holdings, Inc. | 79 | 7,273 | |
Paychex, Inc. | 4 | 458 | |
Robert Half International, Inc. | 69 | 5,559 | |
20,860 | |||
Consumer Discretionary Distribution & Retail — 9.1% | |||
Advance Auto Parts, Inc. | 35 | 4,257 | |
Amazon.com, Inc.†* | 1,121 | 115,788 | |
AutoZone, Inc.†* | 4 | 9,833 | |
Bath & Body Works, Inc. | 133 | 4,865 | |
Best Buy Co., Inc.† | 127 | 9,940 | |
CarMax, Inc.* | 94 | 6,042 | |
eBay, Inc.† | 360 | 15,973 | |
Genuine Parts Co. | 88 | 14,723 | |
LKQ Corp. | 82 | 4,654 | |
Lowe's Cos., Inc.† | 63 | 12,598 | |
O'Reilly Automotive, Inc.†* | 37 | 31,412 | |
Pool Corp. | 1 | 343 | |
Ross Stores, Inc.† | 168 | 17,830 | |
TJX Cos., Inc. (The)† | 514 | 40,277 | |
Ulta Beauty, Inc.†* | 30 | 16,370 | |
304,905 | |||
Consumer Durables & Apparel — 0.4% | |||
Hasbro, Inc. | 81 | 4,349 | |
Lennar Corp., Class A | 27 | 2,838 | |
Mohawk Industries, Inc.* | 14 | 1,403 | |
PulteGroup, Inc. | 2 | 117 | |
Tapestry, Inc. | 140 | 6,035 | |
VF Corp. | 4 | 92 | |
14,834 | |||
Consumer Services — 2.2% | |||
Booking Holdings, Inc.†* | 6 | 15,915 | |
Caesars Entertainment, Inc.* | 124 | 6,052 | |
Expedia Group, Inc.* | 98 | 9,509 | |
Hilton Worldwide Holdings, Inc. | 2 | 282 | |
Marriott International, Inc., Class A | 30 | 4,981 | |
McDonald's Corp.† | 25 | 6,990 | |
MGM Resorts International | 252 | 11,194 | |
Starbucks Corp.† | 149 | 15,515 | |
Yum! Brands, Inc. | 26 | 3,434 | |
73,872 | |||
Consumer Staples Distribution & Retail — 1.3% | |||
Kroger Co. (The)† | 363 | 17,921 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Consumer Staples Distribution & Retail — (Continued) | |||
Walgreens Boots Alliance, Inc.† | 538 | $ 18,604 | |
Walmart, Inc.† | 39 | 5,751 | |
42,276 | |||
Energy — 12.6% | |||
APA Corp.† | 220 | 7,933 | |
Baker Hughes Co. | 13 | 375 | |
Chevron Corp.† | 409 | 66,733 | |
ConocoPhillips † | 730 | 72,423 | |
Coterra Energy, Inc. | 248 | 6,086 | |
Devon Energy Corp. | 8 | 405 | |
EOG Resources, Inc.† | 340 | 38,974 | |
EQT Corp. | 112 | 3,574 | |
Exxon Mobil Corp.† | 724 | 79,394 | |
Halliburton Co. | 318 | 10,062 | |
Hess Corp. | 4 | 529 | |
Marathon Petroleum Corp.† | 333 | 44,898 | |
Occidental Petroleum Corp.† | 318 | 19,853 | |
Phillips 66† | 299 | 30,313 | |
Pioneer Natural Resources Co.† | 40 | 8,170 | |
Valero Energy Corp.† | 254 | 35,458 | |
425,180 | |||
Equity Real Estate Investment Trusts (REITs) — 4.5% | |||
Alexandria Real Estate Equities, Inc. | 41 | 5,149 | |
American Tower Corp.† | 43 | 8,787 | |
AvalonBay Communities, Inc. | 80 | 13,445 | |
Boston Properties, Inc. | 53 | 2,868 | |
Camden Property Trust | 68 | 7,129 | |
Crown Castle, Inc. | 40 | 5,354 | |
Digital Realty Trust, Inc. | 3 | 295 | |
Equity Residential | 91 | 5,460 | |
Extra Space Storage, Inc. | 30 | 4,888 | |
Federal Realty Investment Trust | 1 | 99 | |
Healthpeak Properties, Inc. | 131 | 2,878 | |
Invitation Homes, Inc. | 26 | 812 | |
Mid-America Apartment Communities, Inc. | 1 | 151 | |
Prologis, Inc.† | 290 | 36,183 | |
Realty Income Corp.† | 386 | 24,441 | |
SBA Communications Corp. | 10 | 2,611 | |
Simon Property Group, Inc. | 4 | 448 | |
UDR, Inc. | 72 | 2,956 | |
Ventas, Inc. | 30 | 1,300 | |
VICI Properties, Inc. | 9 | 294 | |
Welltower, Inc.† | 196 | 14,051 | |
Weyerhaeuser Co.† | 422 | 12,715 | |
152,314 | |||
Financial Services — 9.7% | |||
American Express Co. | 6 | 990 | |
Ameriprise Financial, Inc. | 2 | 613 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Financial Services — (Continued) | |||
Bank of New York Mellon Corp. (The)† | 12 | $ 545 | |
Berkshire Hathaway, Inc., Class B†* | 295 | 91,087 | |
BlackRock, Inc.† | 12 | 8,029 | |
Capital One Financial Corp. | 5 | 481 | |
Cboe Global Markets, Inc. | 1 | 134 | |
Charles Schwab Corp. (The) | 16 | 838 | |
CME Group, Inc.† | 76 | 14,555 | |
Fidelity National Information Services, Inc.† | 339 | 18,418 | |
Fiserv, Inc.* | 6 | 678 | |
FleetCor Technologies, Inc.* | 47 | 9,910 | |
Franklin Resources, Inc.† | 292 | 7,866 | |
Goldman Sachs Group, Inc. (The) | 5 | 1,636 | |
Intercontinental Exchange, Inc.† | 342 | 35,667 | |
Invesco Ltd. (Bermuda) | 139 | 2,280 | |
Jack Henry & Associates, Inc. | 7 | 1,055 | |
Mastercard, Inc., Class A† | 87 | 31,617 | |
Morgan Stanley | 21 | 1,844 | |
Nasdaq, Inc.† | 290 | 15,854 | |
Northern Trust Corp. | 37 | 3,261 | |
PayPal Holdings, Inc.†* | 291 | 22,099 | |
State Street Corp. | 4 | 303 | |
T Rowe Price Group, Inc.† | 130 | 14,677 | |
Visa, Inc., Class A† | 187 | 42,161 | |
326,598 | |||
Food, Beverage & Tobacco — 5.7% | |||
Altria Group, Inc.† | 1,006 | 44,888 | |
Archer-Daniels-Midland Co.† | 7 | 558 | |
Bunge Ltd. (Bermuda) | 87 | 8,310 | |
Campbell Soup Co. | 182 | 10,006 | |
Coca-Cola Co. (The) | 57 | 3,536 | |
General Mills, Inc.† | 285 | 24,356 | |
Hershey Co. (The) | 2 | 509 | |
J M Smucker Co. (The) | 22 | 3,462 | |
Kellogg Co. | 201 | 13,459 | |
Keurig Dr Pepper, Inc. | 417 | 14,712 | |
Kraft Heinz Co. (The)† | 712 | 27,533 | |
Mondelez International, Inc., Class A | 16 | 1,115 | |
Philip Morris International, Inc.† | 293 | 28,494 | |
Tyson Foods, Inc., Class A† | 202 | 11,983 | |
192,921 | |||
Health Care Equipment & Services — 7.5% | |||
Abbott Laboratories† | 158 | 15,999 | |
AmerisourceBergen Corp.† | 19 | 3,042 | |
Cardinal Health, Inc. | 169 | 12,760 | |
Centene Corp.†* | 320 | 20,227 | |
Cigna Group (The)† | 178 | 45,484 | |
Cooper Cos., Inc. (The) | 2 | 747 | |
CVS Health Corp.† | 755 | 56,104 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Health Care Equipment & Services — (Continued) | |||
DaVita, Inc.†* | 57 | $ 4,623 | |
DENTSPLY SIRONA, Inc. | 121 | 4,753 | |
GE HealthCare Technologies, Inc.†* | 267 | 21,902 | |
HCA Healthcare, Inc.† | 162 | 42,716 | |
Henry Schein, Inc.* | 30 | 2,446 | |
Hologic, Inc.* | 2 | 161 | |
Laboratory Corp. of America Holdings | 1 | 230 | |
McKesson Corp.† | 20 | 7,121 | |
Medtronic PLC (Ireland) | 17 | 1,371 | |
Molina Healthcare, Inc.* | 34 | 9,095 | |
Quest Diagnostics, Inc. | 1 | 142 | |
Teleflex, Inc. | 1 | 253 | |
Universal Health Services, Inc., Class B | 21 | 2,669 | |
251,845 | |||
Household & Personal Products — 1.5% | |||
Kimberly-Clark Corp.† | 172 | 23,086 | |
Procter & Gamble Co. (The)† | 189 | 28,102 | |
51,188 | |||
Insurance — 2.6% | |||
Aflac, Inc. | 5 | 323 | |
Aon PLC, Class A (Ireland) | 16 | 5,045 | |
Arch Capital Group Ltd. (Bermuda)* | 217 | 14,728 | |
Arthur J Gallagher & Co. | 2 | 383 | |
Assurant, Inc. | 8 | 961 | |
Brown & Brown, Inc. | 165 | 9,474 | |
Chubb Ltd. (Switzerland) | 3 | 582 | |
Cincinnati Financial Corp. | 91 | 10,199 | |
Everest Re Group Ltd. (Bermuda) | 3 | 1,074 | |
Globe Life, Inc. | 22 | 2,420 | |
Lincoln National Corp. | 11 | 247 | |
Loews Corp. | 66 | 3,829 | |
Marsh & McLennan Cos., Inc.† | 113 | 18,820 | |
MetLife, Inc. | 60 | 3,476 | |
Principal Financial Group, Inc. | 2 | 149 | |
Travelers Cos., Inc. (The) | 2 | 343 | |
Willis Towers Watson PLC (Ireland) | 63 | 14,640 | |
86,693 | |||
Materials — 4.3% | |||
Albemarle Corp. | 1 | 221 | |
CF Industries Holdings, Inc. | 113 | 8,191 | |
Dow, Inc.† | 450 | 24,669 | |
DuPont de Nemours, Inc.† | 267 | 19,163 | |
Eastman Chemical Co. | 76 | 6,410 | |
FMC Corp. | 74 | 9,038 | |
International Paper Co.† | 224 | 8,077 | |
LyondellBasell Industries NV, Class A (Netherlands)† | 77 | 7,230 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Materials — (Continued) | |||
Mosaic Co. (The) | 218 | $ 10,002 | |
Nucor Corp.† | 171 | 26,414 | |
Packaging Corp. of America | 59 | 8,191 | |
Sealed Air Corp. | 91 | 4,178 | |
Steel Dynamics, Inc. | 105 | 11,871 | |
143,655 | |||
Media & Entertainment — 11.5% | |||
Activision Blizzard, Inc.† | 72 | 6,162 | |
Alphabet, Inc., Class A†* | 1,401 | 145,326 | |
Charter Communications, Inc., Class A†* | 103 | 36,834 | |
Comcast Corp., Class A† | 2,391 | 90,643 | |
Electronic Arts, Inc. | 26 | 3,132 | |
Interpublic Group of Cos., Inc. (The) | 246 | 9,161 | |
Match Group, Inc.* | 62 | 2,380 | |
Meta Platforms, Inc., Class A†* | 286 | 60,615 | |
Netflix, Inc.†* | 41 | 14,165 | |
News Corp., Class A | 175 | 3,022 | |
Omnicom Group, Inc.† | 128 | 12,075 | |
Take-Two Interactive Software, Inc.* | 16 | 1,909 | |
Warner Bros Discovery, Inc.* | 220 | 3,322 | |
388,746 | |||
Pharmaceuticals, Biotechnology & Life Sciences — 10.5% | |||
AbbVie, Inc.† | 66 | 10,518 | |
Amgen, Inc.† | 125 | 30,219 | |
Biogen, Inc.†* | 85 | 23,633 | |
Bristol-Myers Squibb Co. | 11 | 762 | |
Danaher Corp.† | 67 | 16,887 | |
Gilead Sciences, Inc.† | 728 | 60,402 | |
Illumina, Inc.* | 15 | 3,488 | |
Incyte Corp.* | 21 | 1,518 | |
Johnson & Johnson† | 239 | 37,045 | |
Merck & Co., Inc.† | 521 | 55,429 | |
Moderna, Inc.†* | 118 | 18,122 | |
Organon & Co. | 159 | 3,740 | |
Pfizer, Inc.† | 1,933 | 78,866 | |
Regeneron Pharmaceuticals, Inc.†* | 12 | 9,860 | |
Vertex Pharmaceuticals, Inc.†* | 10 | 3,151 | |
353,640 | |||
Real Estate Management & Development — 0.4% | |||
CBRE Group, Inc., Class A†* | 197 | 14,344 | |
Semiconductors & Semiconductor Equipment — 7.5% | |||
Applied Materials, Inc.† | 422 | 51,834 | |
Broadcom, Inc.† | 102 | 65,437 | |
KLA Corp.† | 60 | 23,950 | |
Lam Research Corp.† | 85 | 45,060 | |
Microchip Technology, Inc. | 124 | 10,389 | |
Micron Technology, Inc.† | 99 | 5,974 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Semiconductors & Semiconductor Equipment — (Continued) | |||
NXP Semiconductors N. V. (Netherlands)† | 93 | $ 17,342 | |
ON Semiconductor Corp.†* | 268 | 22,062 | |
Qorvo, Inc.* | 32 | 3,250 | |
QUALCOMM, Inc.† | 12 | 1,531 | |
Skyworks Solutions, Inc. | 48 | 5,663 | |
SolarEdge Technologies, Inc.* | 5 | 1,520 | |
Teradyne, Inc. | 2 | 215 | |
254,227 | |||
Software & Services — 11.5% | |||
Accenture PLC, Class A (Ireland)† | 37 | 10,575 | |
Adobe, Inc.†* | 42 | 16,186 | |
Akamai Technologies, Inc.* | 99 | 7,752 | |
ANSYS, Inc.* | 8 | 2,662 | |
Autodesk, Inc.* | 20 | 4,163 | |
Cadence Design Systems, Inc.* | 25 | 5,252 | |
Cognizant Technology Solutions Corp., Class A | 47 | 2,864 | |
DXC Technology Co.* | 69 | 1,764 | |
EPAM Systems, Inc.* | 5 | 1,495 | |
Gartner, Inc.* | 46 | 14,985 | |
Gen Digital, Inc. | 371 | 6,366 | |
International Business Machines Corp.† | 291 | 38,147 | |
Microsoft Corp.† | 815 | 234,964 | |
Roper Technologies, Inc. | 10 | 4,407 | |
Salesforce, Inc.†* | 92 | 18,380 | |
ServiceNow, Inc.†* | 19 | 8,830 | |
Synopsys, Inc.* | 14 | 5,407 | |
VeriSign, Inc.* | 17 | 3,593 | |
387,792 | |||
Technology Hardware & Equipment — 12.5% | |||
Amphenol Corp., Class A† | 146 | 11,931 | |
Apple, Inc.† | 1,391 | 229,376 | |
CDW Corp. | 30 | 5,847 | |
Cisco Systems, Inc.† | 2,202 | 115,109 | |
F5, Inc.* | 36 | 5,245 | |
Hewlett Packard Enterprise Co. | 752 | 11,979 | |
HP, Inc.† | 607 | 17,815 | |
Keysight Technologies, Inc.* | 1 | 161 | |
Motorola Solutions, Inc. | 20 | 5,723 | |
NetApp, Inc.† | 129 | 8,237 | |
Seagate Technology Holdings PLC (Ireland) | 63 | 4,166 | |
Teledyne Technologies, Inc.* | 3 | 1,342 | |
Zebra Technologies Corp., Class A†* | 16 | 5,088 | |
422,019 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Telecommunication Services — 4.0% | |||
AT&T, Inc.† | 3,218 | $ 61,947 | |
Verizon Communications, Inc.† | 1,832 | 71,246 | |
133,193 | |||
Transportation — 6.4% | |||
American Airlines Group, Inc.* | 6 | 88 | |
CH Robinson Worldwide, Inc. | 29 | 2,882 | |
CSX Corp.† | 1,206 | 36,108 | |
Expeditors International of Washington, Inc.† | 97 | 10,682 | |
Norfolk Southern Corp.† | 145 | 30,740 | |
Union Pacific Corp.† | 339 | 68,227 | |
United Parcel Service, Inc., Class B† | 343 | 66,538 | |
215,265 | |||
Utilities — 0.6% | |||
Constellation Energy Corp.† | 204 | 16,014 | |
Exelon Corp. | 13 | 544 | |
PG&E Corp.* | 180 | 2,911 | |
19,469 | |||
TOTAL COMMON STOCKS (Cost $4,153,444) | 4,713,212 | ||
TOTAL LONG POSITIONS - 139.9% (Cost $4,153,444) | 4,713,212 | ||
SHORT POSITIONS — (41.3)% | |||
COMMON STOCKS — (41.3)% | |||
Automobiles & Components — (0.3)% | |||
Ford Motor Co. | (802) | (10,105) | |
Banks — (0.5)% | |||
Citigroup, Inc. | (123) | (5,768) | |
Huntington Bancshares, Inc. | (220) | (2,464) | |
Regions Financial Corp. | (204) | (3,786) | |
Wells Fargo & Co. | (159) | (5,943) | |
(17,961) | |||
Capital Goods — (3.0)% | |||
Allegion PLC (Ireland) | (4) | (427) | |
Cummins, Inc. | (30) | (7,166) | |
Emerson Electric Co. | (77) | (6,710) | |
Fastenal Co. | (116) | (6,257) | |
Generac Holdings, Inc.* | (14) | (1,512) | |
General Dynamics Corp. | (31) | (7,075) | |
Huntington Ingalls Industries, Inc. | (9) | (1,863) | |
L3Harris Technologies, Inc. | (39) | (7,653) | |
Nordson Corp. | (11) | (2,445) | |
Parker-Hannifin Corp. | (27) | (9,075) | |
Quanta Services, Inc. | (30) | (4,999) | |
Raytheon Technologies Corp. | (320) | (31,338) | |
Rockwell Automation, Inc. | (23) | (6,749) |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Capital Goods — (Continued) | |||
United Rentals, Inc. | (14) | $ (5,541) | |
Westinghouse Air Brake Technologies Corp. | (28) | (2,830) | |
(101,640) | |||
Commercial & Professional Services — (2.0)% | |||
Broadridge Financial Solutions, Inc. | (24) | (3,518) | |
Cintas Corp. | (20) | (9,254) | |
Copart, Inc.* | (103) | (7,747) | |
CoStar Group, Inc.* | (88) | (6,059) | |
Equifax, Inc. | (25) | (5,071) | |
Jacobs Solutions, Inc. | (26) | (3,055) | |
Republic Services, Inc. | (65) | (8,789) | |
Rollins, Inc. | (123) | (4,616) | |
Verisk Analytics, Inc. | (33) | (6,331) | |
Waste Management, Inc. | (83) | (13,543) | |
(67,983) | |||
Consumer Discretionary Distribution & Retail — (0.8)% | |||
Etsy, Inc.* | (2) | (223) | |
Home Depot, Inc. (The) | (70) | (20,658) | |
Tractor Supply Co. | (24) | (5,641) | |
(26,522) | |||
Consumer Durables & Apparel — (0.3)% | |||
DR Horton, Inc. | (20) | (1,954) | |
Newell Brands, Inc. | (89) | (1,107) | |
NVR, Inc.* | (1) | (5,572) | |
Whirlpool Corp. | (11) | (1,452) | |
(10,085) | |||
Consumer Services — (1.1)% | |||
Carnival Corp. (Panama)* | (100) | (1,015) | |
Chipotle Mexican Grill, Inc.* | (7) | (11,958) | |
Darden Restaurants, Inc. | (27) | (4,189) | |
Domino's Pizza, Inc. | (7) | (2,309) | |
Las Vegas Sands Corp.* | (166) | (9,537) | |
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (86) | (1,157) | |
Royal Caribbean Cruises Ltd. (Liberia)* | (55) | (3,591) | |
Wynn Resorts Ltd.* | (27) | (3,022) | |
(36,778) | |||
Consumer Staples Distribution & Retail — (1.7)% | |||
Costco Wholesale Corp. | (31) | (15,403) | |
Dollar General Corp. | (49) | (10,313) | |
Dollar Tree, Inc.* | (48) | (6,890) | |
Sysco Corp. | (110) | (8,495) | |
Target Corp. | (98) | (16,232) | |
(57,333) | |||
Energy — (1.4)% | |||
Diamondback Energy, Inc. | (35) | (4,731) |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Energy — (Continued) | |||
Kinder Morgan, Inc. | (458) | $ (8,020) | |
Marathon Oil Corp. | (126) | (3,019) | |
ONEOK, Inc. | (95) | (6,036) | |
Schlumberger NV (Curacao) | (286) | (14,043) | |
Targa Resources Corp. | (49) | (3,574) | |
Williams Cos., Inc. (The) | (263) | (7,853) | |
(47,276) | |||
Equity Real Estate Investment Trusts (REITs) — (0.8)% | |||
Equinix, Inc. | (22) | (15,863) | |
Host Hotels & Resorts, Inc. | (161) | (2,655) | |
Iron Mountain, Inc. | (63) | (3,333) | |
Kimco Realty Corp. | (125) | (2,441) | |
Public Storage | (5) | (1,511) | |
Regency Centers Corp. | (35) | (2,141) | |
(27,944) | |||
Financial Services — (1.3)% | |||
Discover Financial Services | (54) | (5,337) | |
FactSet Research Systems, Inc. | (8) | (3,321) | |
Global Payments, Inc. | (55) | (5,788) | |
Moody's Corp. | (39) | (11,935) | |
MSCI, Inc. | (18) | (10,074) | |
Raymond James Financial, Inc. | (41) | (3,824) | |
Synchrony Financial | (87) | (2,530) | |
(42,809) | |||
Food, Beverage & Tobacco — (1.3)% | |||
Brown-Forman Corp., Class B | (105) | (6,748) | |
Conagra Brands, Inc. | (77) | (2,892) | |
Constellation Brands, Inc., Class A | (38) | (8,584) | |
Hormel Foods Corp. | (120) | (4,786) | |
Lamb Weston Holdings, Inc. | (30) | (3,136) | |
McCormick & Co., Inc., non-voting shares | (55) | (4,577) | |
Molson Coors Beverage Co., Class B | (8) | (413) | |
Monster Beverage Corp.* | (214) | (11,558) | |
PepsiCo, Inc. | (1) | (182) | |
(42,876) | |||
Health Care Equipment & Services — (3.8)% | |||
Align Technology, Inc.* | (18) | (6,015) | |
Baxter International, Inc. | (103) | (4,178) | |
Becton Dickinson & Co. | (63) | (15,595) | |
Boston Scientific Corp.* | (291) | (14,559) | |
Dexcom, Inc.* | (85) | (9,875) | |
Edwards Lifesciences Corp.* | (96) | (7,942) | |
Elevance Health, Inc. | (36) | (16,553) | |
Humana, Inc. | (21) | (10,195) | |
IDEXX Laboratories, Inc.* | (18) | (9,001) | |
Insulet Corp.* | (14) | (4,465) | |
Intuitive Surgical, Inc.* | (73) | (18,649) |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Health Care Equipment & Services — (Continued) | |||
ResMed, Inc. | (32) | $ (7,008) | |
STERIS PLC (Ireland) | (22) | (4,208) | |
UnitedHealth Group, Inc. | (1) | (473) | |
Zimmer Biomet Holdings, Inc. | (5) | (646) | |
(129,362) | |||
Household & Personal Products — (1.1)% | |||
Church & Dwight Co., Inc. | (21) | (1,857) | |
Clorox Co. (The) | (27) | (4,272) | |
Colgate-Palmolive Co. | (167) | (12,550) | |
Estee Lauder Cos., Inc. (The), Class A | (78) | (19,224) | |
(37,903) | |||
Insurance — (0.9)% | |||
Allstate Corp. (The) | (59) | (6,538) | |
American International Group, Inc. | (152) | (7,654) | |
Hartford Financial Services Group, Inc. (The) | (71) | (4,948) | |
Progressive Corp. (The) | (18) | (2,575) | |
Prudential Financial, Inc. | (74) | (6,123) | |
W R Berkley Corp. | (53) | (3,300) | |
(31,138) | |||
Materials — (3.3)% | |||
Air Products and Chemicals, Inc. | (44) | (12,637) | |
Amcor PLC (Jersey) | (297) | (3,380) | |
Avery Dennison Corp. | (17) | (3,042) | |
Ball Corp. | (64) | (3,527) | |
Celanese Corp. | (21) | (2,287) | |
Corteva, Inc. | (153) | (9,227) | |
Ecolab, Inc. | (52) | (8,608) | |
Freeport-McMoRan, Inc. | (283) | (11,578) | |
International Flavors & Fragrances, Inc. | (52) | (4,782) | |
Linde PLC (Ireland) | (39) | (13,862) | |
Martin Marietta Materials, Inc. | (13) | (4,616) | |
Newmont Corp. | (160) | (7,843) | |
PPG Industries, Inc. | (47) | (6,278) | |
Sherwin-Williams Co. (The) | (52) | (11,688) | |
Vulcan Materials Co. | (29) | (4,975) | |
Westrock Co. | (51) | (1,554) | |
(109,884) | |||
Media & Entertainment — (1.0)% | |||
DISH Network Corp., Class A* | (114) | (1,064) | |
Fox Corp., Class A | (62) | (2,111) | |
Live Nation Entertainment, Inc.* | (47) | (3,290) | |
Paramount Global, Class B | (43) | (959) | |
Walt Disney Co. (The)* | (262) | (26,234) | |
(33,658) |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Pharmaceuticals, Biotechnology & Life Sciences — (3.7)% | |||
Agilent Technologies, Inc. | (65) | $ (8,992) | |
Bio-Rad Laboratories, Inc., Class A* | (7) | (3,353) | |
Bio-Techne Corp. | (36) | (2,671) | |
Catalent, Inc.* | (39) | (2,563) | |
Charles River Laboratories International, Inc.* | (11) | (2,220) | |
Eli Lilly & Co. | (88) | (30,221) | |
IQVIA Holdings, Inc.* | (51) | (10,144) | |
Mettler-Toledo International, Inc.* | (5) | (7,651) | |
PerkinElmer, Inc. | (28) | (3,731) | |
Thermo Fisher Scientific, Inc. | (52) | (29,971) | |
Viatris, Inc. | (221) | (2,126) | |
Waters Corp.* | (13) | (4,025) | |
West Pharmaceutical Services, Inc. | (14) | (4,851) | |
Zoetis, Inc. | (71) | (11,817) | |
(124,336) | |||
Semiconductors & Semiconductor Equipment — (3.0)% | |||
Advanced Micro Devices, Inc.* | (52) | (5,097) | |
Analog Devices, Inc. | (97) | (19,130) | |
Enphase Energy, Inc.* | (29) | (6,098) | |
First Solar, Inc.* | (22) | (4,785) | |
Intel Corp. | (886) | (28,946) | |
Monolithic Power Systems, Inc. | (6) | (3,003) | |
NVIDIA Corp. | (38) | (10,555) | |
Texas Instruments, Inc. | (129) | (23,995) | |
(101,609) | |||
Software & Services — (1.8)% | |||
Ceridian HCM Holding, Inc.* | (33) | (2,416) | |
Fortinet, Inc.* | (170) | (11,298) | |
Intuit, Inc. | (49) | (21,846) | |
Oracle Corp. | (174) | (16,168) | |
Paycom Software, Inc.* | (12) | (3,648) | |
PTC, Inc.* | (26) | (3,334) | |
Tyler Technologies, Inc.* | (10) | (3,547) | |
(62,257) | |||
Technology Hardware & Equipment — (1.0)% | |||
Arista Networks, Inc.* | (67) | (11,247) | |
Corning, Inc. | (165) | (5,821) | |
Juniper Networks, Inc. | (69) | (2,375) | |
TE Connectivity Ltd. (Switzerland) | (63) | (8,263) | |
Trimble, Inc.* | (51) | (2,673) | |
Western Digital Corp.* | (63) | (2,373) | |
(32,752) | |||
Telecommunication Services — (0.5)% | |||
T-Mobile US, Inc.* | (114) | (16,512) | |
Transportation — (0.8)% | |||
Alaska Air Group, Inc.* | (27) | (1,133) | |
Delta Air Lines, Inc.* | (140) | (4,889) | |
FedEx Corp. | (9) | (2,056) |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Transportation — (Continued) | |||
JB Hunt Transport Services, Inc. | (23) | $ (4,036) | |
Old Dominion Freight Line, Inc. | (22) | (7,498) | |
Southwest Airlines Co. | (129) | (4,198) | |
United Airlines Holdings, Inc.* | (67) | (2,965) | |
(26,775) | |||
Utilities — (5.9)% | |||
AES Corp. (The) | (134) | (3,227) | |
Alliant Energy Corp. | (61) | (3,257) | |
Ameren Corp. | (62) | (5,356) | |
American Electric Power Co., Inc. | (124) | (11,283) | |
American Water Works Co., Inc. | (41) | (6,006) | |
Atmos Energy Corp. | (30) | (3,371) | |
CenterPoint Energy, Inc. | (137) | (4,036) | |
CMS Energy Corp. | (70) | (4,297) | |
Consolidated Edison, Inc. | (82) | (7,845) | |
Dominion Energy, Inc. | (179) | (10,008) | |
DTE Energy Co. | (41) | (4,491) | |
Duke Energy Corp. | (168) | (16,207) | |
Edison International | (90) | (6,353) | |
Entergy Corp. | (50) | (5,387) | |
Evergy, Inc. | (51) | (3,117) | |
Eversource Energy | (82) | (6,417) | |
FirstEnergy Corp. | (136) | (5,448) | |
NextEra Energy, Inc. | (411) | (31,680) | |
NiSource, Inc. | (94) | (2,628) | |
NRG Energy, Inc. | (46) | (1,577) | |
Pinnacle West Capital Corp. | (26) | (2,060) |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Utilities — (Continued) | |||
PPL Corp. | (158) | $ (4,391) | |
Public Service Enterprise Group, Inc. | (107) | (6,682) | |
Sempra Energy | (68) | (10,279) | |
Southern Co. (The) | (220) | (15,308) | |
WEC Energy Group, Inc. | (79) | (7,488) | |
Xcel Energy, Inc. | (133) | (8,970) | |
(197,169) | |||
TOTAL COMMON STOCKS (Proceeds $1,315,553) | (1,392,667) | ||
TOTAL SHORT POSITIONS - (41.3)% (Proceeds $1,315,553) | (1,392,667) | ||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.4% | 47,868 | ||
NET ASSETS - 100.0% | $ 3,368,413 |
† | 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 |
Number of Shares | Value | ||
COMMON STOCKS — 88.5% | |||
Automobiles & Components — 1.7% | |||
BorgWarner, Inc.(a) | 4,555 | $ 223,696 | |
Visteon Corp.(a)* | 1,106 | 173,454 | |
397,150 | |||
Capital Goods — 19.7% | |||
3M Co.(a) | 270 | 28,380 | |
AAON, Inc. | 250 | 24,172 | |
Acuity Brands, Inc. | 23 | 4,203 | |
Advanced Drainage Systems, Inc. | 301 | 25,347 | |
AECOM | 53 | 4,469 | |
AGCO Corp.(a) | 1,538 | 207,938 | |
API Group Corp.* | 704 | 15,826 | |
Axon Enterprise, Inc.(a)* | 1,667 | 374,825 | |
Beacon Roofing Supply, Inc.(a)* | 1,042 | 61,322 | |
Boeing Co. (The)(a)* | 1,559 | 331,178 | |
Carlisle Cos., Inc.(a) | 581 | 131,347 | |
Caterpillar, Inc.(a) | 527 | 120,599 | |
Chart Industries, Inc.(a)* | 2,013 | 252,430 | |
Comfort Systems USA, Inc.(a) | 741 | 108,156 | |
Crane Holdings Co.(a) | 1,116 | 126,666 | |
Curtiss-Wright Corp.(a) | 596 | 105,051 | |
EMCOR Group, Inc.(a) | 134 | 21,787 | |
EnerSys (a) | 803 | 69,765 | |
Esab Corp. | 18 | 1,063 | |
Fortune Brands Innovations, Inc.(a) | 2,802 | 164,561 | |
Franklin Electric Co., Inc. | 125 | 11,762 | |
Gates Industrial Corp. PLC (United Kingdom)* | 1,805 | 25,071 | |
Huntington Ingalls Industries, Inc. | 43 | 8,902 | |
Ingersoll Rand, Inc.(a) | 3,751 | 218,233 | |
Lennox International, Inc.(a) | 131 | 32,918 | |
Middleby Corp. (The)(a)* | 301 | 44,130 | |
Mueller Industries, Inc. | 81 | 5,952 | |
nVent Electric PLC (Ireland) | 3,573 | 153,425 | |
Owens Corning(a) | 1,626 | 155,771 | |
PACCAR, Inc. | 173 | 12,664 | |
Quanta Services, Inc.(a) | 1,322 | 220,298 | |
RBC Bearings, Inc.(a)* | 186 | 43,288 | |
Regal Rexnord Corp.(a) | 653 | 91,897 | |
Sensata Technologies Holding PLC (United Kingdom) | 2,371 | 118,597 | |
Shoals Technologies Group, Inc., Class A(a)* | 5,332 | 121,516 | |
SiteOne Landscape Supply, Inc.* | 1 | 137 | |
Stantec, Inc. (Canada) | 119 | 6,951 | |
Terex Corp.(a) | 2,465 | 119,257 | |
Textron, Inc.(a) | 940 | 66,392 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Capital Goods — (Continued) | |||
Timken Co. (The) | 67 | $ 5,475 | |
Toro Co. (The) | 322 | 35,793 | |
UFP Industries, Inc. | 310 | 24,636 | |
Univar Solutions, Inc.(a)* | 967 | 33,874 | |
Valmont Industries, Inc.(a) | 532 | 169,857 | |
Watsco, Inc.(a) | 121 | 38,497 | |
Watts Water Technologies, Inc., Class A(a) | 506 | 85,170 | |
WESCO International, Inc.(a) | 705 | 108,951 | |
WillScot Mobile Mini Holdings Corp.(a)* | 4,892 | 229,337 | |
Xylem, Inc.(a) | 1,362 | 142,601 | |
4,510,437 | |||
Commercial & Professional Services — 3.2% | |||
Clarivate PLC (Jersey)* | 7,509 | 70,510 | |
Clean Harbors, Inc.(a)* | 624 | 88,958 | |
Concentrix Corp. | 304 | 36,951 | |
FTI Consulting, Inc.(a)* | 221 | 43,614 | |
Insperity, Inc.(a) | 1,098 | 133,462 | |
Paychex, Inc.(a) | 1,268 | 145,300 | |
Ritchie Bros Auctioneers, Inc. (Canada) | 1,357 | 76,386 | |
Science Applications International Corp.(a) | 605 | 65,013 | |
Stericycle, Inc.* | 241 | 10,510 | |
TELUS International CDA, Inc. (Canada)* | 5 | 101 | |
TransUnion | 850 | 52,819 | |
TriNet Group, Inc.* | 123 | 9,915 | |
733,539 | |||
Consumer Discretionary Distribution & Retail — 1.7% | |||
Burlington Stores, Inc.* | 286 | 57,801 | |
Genuine Parts Co.(a) | 629 | 105,238 | |
LKQ Corp.(a) | 2,399 | 136,167 | |
Pool Corp.(a) | 160 | 54,790 | |
Ross Stores, Inc. | 137 | 14,540 | |
Ulta Beauty, Inc.* | 26 | 14,187 | |
Williams-Sonoma, Inc. | 36 | 4,380 | |
387,103 | |||
Consumer Durables & Apparel — 4.0% | |||
Brunswick Corp.(a) | 1,315 | 107,830 | |
Garmin Ltd. (Switzerland) | 542 | 54,699 | |
Gildan Activewear, Inc. (Canada) | 1,341 | 44,508 | |
Hasbro, Inc.(a) | 4,586 | 246,222 | |
Lululemon Athletica, Inc.* | 64 | 23,308 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Consumer Durables & Apparel — (Continued) | |||
Peloton Interactive, Inc., Class A(a)* | 11,381 | $ 129,060 | |
Polaris, Inc.(a) | 1,763 | 195,041 | |
TopBuild Corp.(a)* | 607 | 126,341 | |
927,009 | |||
Consumer Services — 1.8% | |||
ADT, Inc. | 2,690 | 19,449 | |
Caesars Entertainment, Inc.(a)* | 6,454 | 315,020 | |
Darden Restaurants, Inc. | 271 | 42,048 | |
Duolingo, Inc.* | 16 | 2,281 | |
Grand Canyon Education, Inc.* | 4 | 456 | |
Planet Fitness, Inc., Class A* | 45 | 3,495 | |
Wendy's Co. (The)(a) | 1,731 | 37,701 | |
420,450 | |||
Consumer Staples Distribution & Retail — 1.5% | |||
BJ's Wholesale Club Holdings, Inc.* | 313 | 23,810 | |
Casey's General Stores, Inc.(a) | 1,276 | 276,203 | |
US Foods Holding Corp.* | 1,480 | 54,671 | |
354,684 | |||
Energy — 8.9% | |||
Antero Resources Corp.(a)* | 12,086 | 279,066 | |
APA Corp.(a) | 7,456 | 268,863 | |
Canadian Natural Resources Ltd. (Canada) | 386 | 21,365 | |
Cheniere Energy, Inc. | 1,117 | 176,039 | |
Chevron Corp.(a) | 1,347 | 219,777 | |
Civitas Resources, Inc.(a) | 1,075 | 73,466 | |
ConocoPhillips | 63 | 6,250 | |
Coterra Energy, Inc.(a) | 4,845 | 118,896 | |
Crescent Point Energy Corp. (Canada) | 9,421 | 66,512 | |
Enbridge, Inc. (Canada) | 2,752 | 104,989 | |
Enerplus Corp. (Canada) | 1,000 | 14,410 | |
Helmerich & Payne, Inc.(a) | 782 | 27,957 | |
Hess Corp.(a) | 597 | 79,007 | |
HF Sinclair Corp. | 760 | 36,769 | |
Imperial Oil Ltd. (Canada) | 1,774 | 90,137 | |
Kosmos Energy Ltd.* | 1,394 | 10,371 | |
Murphy Oil Corp.(a) | 1,609 | 59,501 | |
Pembina Pipeline Corp. (Canada) | 955 | 30,942 | |
Range Resources Corp.(a) | 6,237 | 165,093 | |
Southwestern Energy Co.(a)* | 35,963 | 179,815 | |
2,029,225 | |||
Food, Beverage & Tobacco — 1.2% | |||
Campbell Soup Co.(a) | 1,714 | 94,236 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Food, Beverage & Tobacco — (Continued) | |||
Celsius Holdings, Inc.(a)* | 1,800 | $ 167,292 | |
Molson Coors Beverage Co., Class B | 206 | 10,646 | |
272,174 | |||
Health Care Equipment & Services — 4.9% | |||
Centene Corp.(a)* | 4,223 | 266,936 | |
CVS Health Corp.(a) | 5,308 | 394,437 | |
Dexcom, Inc.(a)* | 102 | 11,850 | |
iRhythm Technologies, Inc.* | 90 | 11,163 | |
Molina Healthcare, Inc.(a)* | 756 | 202,222 | |
Privia Health Group, Inc.* | 362 | 9,995 | |
Zimmer Biomet Holdings, Inc.(a) | 1,674 | 216,281 | |
1,112,884 | |||
Household & Personal Products — 0.3% | |||
elf Beauty, Inc.(a)* | 50 | 4,118 | |
Inter Parfums, Inc. | 392 | 55,758 | |
59,876 | |||
Materials — 13.3% | |||
Albemarle Corp.(a) | 1,327 | 293,320 | |
ATI, Inc.(a)* | 5,683 | 224,251 | |
Avient Corp.(a) | 1,348 | 55,484 | |
CF Industries Holdings, Inc.(a) | 1,506 | 109,170 | |
Commercial Metals Co.(a) | 5,017 | 245,331 | |
DuPont de Nemours, Inc.(a) | 6,217 | 446,194 | |
Ecolab, Inc.(a) | 1,633 | 270,310 | |
FMC Corp. | 111 | 13,556 | |
Graphic Packaging Holding Co.(a) | 5,016 | 127,858 | |
HB Fuller Co. | 20 | 1,369 | |
Livent Corp.* | 778 | 16,898 | |
Martin Marietta Materials, Inc.(a) | 589 | 209,130 | |
Mosaic Co. (The)(a) | 5,251 | 240,916 | |
Nucor Corp. | 364 | 56,227 | |
Nutrien Ltd. (Canada) | 466 | 34,414 | |
Reliance Steel & Aluminum Co.(a) | 308 | 79,076 | |
Scotts Miracle-Gro Co. (The)(a) | 3,812 | 265,849 | |
Sealed Air Corp. | 47 | 2,158 | |
Silgan Holdings, Inc.(a) | 950 | 50,987 | |
Steel Dynamics, Inc.(a) | 1,412 | 159,641 | |
Wheaton Precious Metals Corp. (Canada) | 3,011 | 145,010 | |
3,047,149 | |||
Media & Entertainment — 3.0% | |||
Cable One, Inc.(a) | 26 | 18,252 | |
New York Times Co. (The), Class A(a) | 1,436 | 55,832 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Media & Entertainment — (Continued) | |||
Nexstar Media Group, Inc.(a) | 604 | $ 104,286 | |
Omnicom Group, Inc.(a) | 2,426 | 228,869 | |
Roku, Inc.* | 1,135 | 74,706 | |
Sirius XM Holdings, Inc.(a) | 11,295 | 44,841 | |
TEGNA, Inc. | 911 | 15,405 | |
Trade Desk, Inc. (The), Class A(a)* | 2,577 | 156,965 | |
699,156 | |||
Pharmaceuticals, Biotechnology & Life Sciences — 1.9% | |||
Halozyme Therapeutics, Inc.* | 87 | 3,323 | |
Horizon Therapeutics PLC (Ireland)* | 584 | 63,738 | |
Incyte Corp.* | 420 | 30,353 | |
Jazz Pharmaceuticals PLC (Ireland)* | 969 | 141,794 | |
Maravai LifeSciences Holdings, Inc., Class A* | 1,425 | 19,964 | |
United Therapeutics Corp.(a)* | 770 | 172,449 | |
431,621 | |||
Semiconductors & Semiconductor Equipment — 2.2% | |||
Cirrus Logic, Inc.(a)* | 2,270 | 248,293 | |
First Solar, Inc.(a)* | 1,217 | 264,697 | |
512,990 | |||
Software & Services — 8.1% | |||
Altair Engineering, Inc., Class A* | 39 | 2,812 | |
Asana, Inc., Class A(a)* | 7,151 | 151,101 | |
Box, Inc., Class A* | 2,144 | 57,438 | |
CCC Intelligent Solutions Holdings, Inc.* | 167 | 1,498 | |
Cvent Holding Corp.* | 152 | 1,271 | |
DigitalOcean Holdings, Inc.* | 349 | 13,670 | |
Elastic N. V. (Netherlands)* | 102 | 5,906 | |
Gartner, Inc.(a)* | 1,087 | 354,112 | |
Guidewire Software, Inc.* | 633 | 51,938 | |
Informatica, Inc., Class A* | 508 | 8,331 | |
MongoDB, Inc.(a)* | 366 | 85,322 | |
New Relic, Inc.(a)* | 981 | 73,859 | |
Okta, Inc.(a)* | 4,397 | 379,197 | |
Palantir Technologies, Inc., Class A* | 368 | 3,110 | |
Palo Alto Networks, Inc.(a)* | 1,144 | 228,503 | |
PowerSchool Holdings, Inc., Class A* | 114 | 2,259 | |
Samsara, Inc., Class A* | 835 | 16,466 | |
Smartsheet, Inc., Class A(a)* | 2,345 | 112,091 | |
Splunk, Inc.(a)* | 2,591 | 248,425 | |
Squarespace, Inc., Class A* | 1,664 | 52,865 | |
1,850,174 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Technology Hardware & Equipment — 2.8% | |||
IPG Photonics Corp.(a)* | 306 | $ 37,733 | |
Littelfuse, Inc.(a) | 25 | 6,702 | |
Motorola Solutions, Inc.(a) | 695 | 198,860 | |
Super Micro Computer, Inc.(a)* | 3,621 | 385,818 | |
TD SYNNEX Corp. | 105 | 10,163 | |
639,276 | |||
Telecommunication Services — 1.1% | |||
AT&T, Inc.(a) | 10,178 | 195,926 | |
Lumen Technologies, Inc.(a) | 17,675 | 46,839 | |
242,765 | |||
Transportation — 5.6% | |||
American Airlines Group, Inc.(a)* | 18,308 | 270,043 | |
CH Robinson Worldwide, Inc.(a) | 3,069 | 304,967 | |
Expeditors International of Washington, Inc.(a) | 2,781 | 306,244 | |
Kirby Corp.(a)* | 1,450 | 101,065 | |
Landstar System, Inc.(a) | 1,185 | 212,423 | |
Schneider National, Inc., Class B | 1,587 | 42,452 | |
TFI International, Inc. (Canada) | 289 | 34,475 | |
XPO, Inc.(a)* | 658 | 20,990 | |
1,292,659 | |||
Utilities — 1.6% | |||
Constellation Energy Corp.(a) | 2,909 | 228,357 | |
Entergy Corp.(a) | 1,187 | 127,887 | |
356,244 | |||
TOTAL COMMON STOCKS (Cost $20,296,647) | 20,276,565 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES - 11.5% | 2,627,248 | ||
NET ASSETS - 100.0% | $ 22,903,813 |
(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 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Long | ||||||||||||||||
Automobiles & Components | ||||||||||||||||
BorgWarner, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 553 | $ 27,111 | $ 27,158 | $ 3,109 | ||||||||
Visteon Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 123 | 19,844 | 19,290 | 1,637 | ||||||||
676 | 46,955 | 46,448 | 4,746 | |||||||||||||
Capital Goods | ||||||||||||||||
3M Co. | USFF +0.250% | Weekly | MS | 08/15/24 | 134 | 15,624 | 14,085 | 385 | ||||||||
AAON, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 109 | 9,898 | 10,539 | 1,736 | ||||||||
Acuity Brands, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 2 | 339 | 365 | 58 | ||||||||
Advanced Drainage Systems, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 66 | 5,860 | 5,558 | 346 | ||||||||
AECOM | USFF +0.250% | Weekly | MS | 08/15/24 | 171 | 13,706 | 14,419 | 2,223 | ||||||||
AGCO Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 191 | 25,926 | 25,823 | 2,677 | ||||||||
Axon Enterprise, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 186 | 40,150 | 41,822 | 6,111 | ||||||||
Beacon Roofing Supply, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 141 | 8,783 | 8,298 | 481 | ||||||||
Boeing Co. (The) | USFF +0.250% | Weekly | MS | 08/15/24 | 33 | 6,584 | 7,010 | 1,357 | ||||||||
Carlisle Cos., Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 56 | 12,813 | 12,660 | 1,258 | ||||||||
Caterpillar, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 28 | 6,295 | 6,408 | 803 | ||||||||
Chart Industries, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 224 | 29,357 | 28,090 | 1,976 | ||||||||
Comfort Systems USA, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 83 | 11,811 | 12,115 | 1,609 | ||||||||
Crane Holdings Co. | USFF +0.250% | Weekly | MS | 08/15/24 | 62 | 6,966 | 7,037 | 854 | ||||||||
Curtiss-Wright Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 64 | 11,086 | 11,281 | 1,428 | ||||||||
EMCOR Group, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 27 | 3,886 | 4,390 | 931 | ||||||||
EnerSys | USFF +0.250% | Weekly | MS | 08/15/24 | 87 | 7,752 | 7,559 | 671 | ||||||||
Esab Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 3 | 171 | 177 | 19 | ||||||||
Fortune Brands Innovations, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 315 | 19,011 | 18,500 | 1,599 | ||||||||
Franklin Electric Co., Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 12 | 1,119 | 1,129 | 128 | ||||||||
Gates Industrial Corp. PLC (United Kingdom) | USFF +0.250% | Weekly | MS | 08/15/24 | 207 | 2,868 | 2,875 | 318 | ||||||||
Huntington Ingalls Industries, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 11 | 2,394 | 2,277 | 154 | ||||||||
Ingersoll Rand, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 416 | 23,686 | 24,203 | 3,107 | ||||||||
Lennox International, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 22 | 5,734 | 5,528 | 446 | ||||||||
Middleby Corp. (The) | USFF +0.250% | Weekly | MS | 08/15/24 | 34 | 5,052 | 4,985 | 454 | ||||||||
Mueller Industries, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 10 | 729 | 735 | 80 | ||||||||
nVent Electric PLC (Ireland) | USFF +0.250% | Weekly | MS | 08/15/24 | 401 | 17,347 | 17,219 | 1,786 | ||||||||
Owens Corning | USFF +0.250% | Weekly | MS | 08/15/24 | 177 | 17,343 | 16,957 | 1,578 | ||||||||
PACCAR, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 19 | 1,391 | 1,391 | 148 | ||||||||
Quanta Services, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 142 | 22,692 | 23,663 | 3,487 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
RBC Bearings, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 24 | $ 5,496 | $ 5,586 | $ 692 | ||||||||
Regal Rexnord Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 78 | 11,235 | 10,977 | 1,005 | ||||||||
Sensata Technologies Holding PLC (United Kingdom) | USFF +0.250% | Weekly | MS | 08/15/24 | 265 | 13,795 | 13,255 | 991 | ||||||||
Shoals Technologies Group, Inc., Class A | USFF +0.250% | Weekly | MS | 08/15/24 | 589 | 12,655 | 13,423 | 2,163 | ||||||||
Stantec, Inc. (Canada) | USFF +0.250% | Weekly | MS | 08/15/24 | 9 | 513 | 526 | 60 | ||||||||
Terex Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 275 | 15,510 | 13,304 | (468) | ||||||||
Textron, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 228 | 15,438 | 16,104 | 2,440 | ||||||||
Timken Co. (The) | USFF +0.250% | Weekly | MS | 08/15/24 | 7 | 534 | 572 | 91 | ||||||||
Toro Co. (The) | USFF +0.250% | Weekly | MS | 08/15/24 | 35 | 3,832 | 3,891 | 476 | ||||||||
UFP Industries, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 38 | 3,081 | 3,020 | 275 | ||||||||
Univar Solutions, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 116 | 3,864 | 4,063 | 621 | ||||||||
Valmont Industries, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 57 | 18,084 | 18,199 | 2,158 | ||||||||
Watsco, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 20 | 6,023 | 6,363 | 1,040 | ||||||||
Watts Water Technologies, Inc., Class A | USFF +0.250% | Weekly | MS | 08/15/24 | 57 | 9,733 | 9,594 | 939 | ||||||||
WESCO International, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 79 | 12,523 | 12,209 | 1,087 | ||||||||
WillScot Mobile Mini Holdings Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 541 | 26,600 | 25,362 | 1,701 | ||||||||
Xylem, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 185 | 19,038 | 19,369 | 2,354 | ||||||||
6,036 | 514,327 | 512,915 | 55,833 | |||||||||||||
Commercial & Professional Services | ||||||||||||||||
Clarivate PLC (Jersey) | USFF +0.250% | Weekly | MS | 08/15/24 | 840 | 7,933 | 7,888 | 827 | ||||||||
Clean Harbors, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 70 | 9,443 | 9,979 | 1,579 | ||||||||
Concentrix Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 32 | 3,854 | 3,890 | 456 | ||||||||
FTI Consulting, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 23 | 4,196 | 4,539 | 801 | ||||||||
Insperity, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 117 | 13,293 | 14,221 | 2,456 | ||||||||
Paychex, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 181 | 20,715 | 20,741 | 2,416 | ||||||||
Ritchie Bros Auctioneers, Inc. (Canada) | USFF +0.250% | Weekly | MS | 08/15/24 | 157 | 8,329 | 8,836 | 1,453 | ||||||||
Science Applications International Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 69 | 7,143 | 7,415 | 1,065 | ||||||||
Stericycle, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 27 | 1,213 | 1,177 | 92 | ||||||||
TransUnion | USFF +0.250% | Weekly | MS | 08/15/24 | 101 | 5,957 | 6,276 | 972 | ||||||||
TriNet Group, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 12 | 925 | 967 | 138 | ||||||||
1,629 | 83,001 | 85,929 | 12,255 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Discretionary Distribution & Retail | ||||||||||||||||
Burlington Stores, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 30 | $ 6,160 | $ 6,063 | $ 579 | ||||||||
Genuine Parts Co. | USFF +0.250% | Weekly | MS | 08/15/24 | 71 | 12,294 | 11,879 | 984 | ||||||||
LKQ Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 270 | 15,024 | 15,325 | 2,010 | ||||||||
Pool Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 18 | 6,221 | 6,164 | 639 | ||||||||
Ross Stores, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 15 | 1,533 | 1,592 | 222 | ||||||||
Ulta Beauty, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 5 | 2,621 | 2,728 | 408 | ||||||||
Williams-Sonoma, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 4 | 470 | 487 | 62 | ||||||||
413 | 44,323 | 44,238 | 4,904 | |||||||||||||
Consumer Durables & Apparel | ||||||||||||||||
Brunswick Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 97 | 8,260 | 7,954 | 629 | ||||||||
Garmin Ltd. (Switzerland) | USFF +0.250% | Weekly | MS | 08/15/24 | 61 | 5,913 | 6,156 | 948 | ||||||||
Gildan Activewear, Inc. (Canada) | USFF +0.250% | Weekly | MS | 08/15/24 | 144 | 4,547 | 4,779 | 745 | ||||||||
Hasbro, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 510 | 26,691 | 27,382 | 3,639 | ||||||||
Lululemon Athletica, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 7 | 2,526 | 2,549 | 297 | ||||||||
Peloton Interactive, Inc., Class A | USFF +0.250% | Weekly | MS | 08/15/24 | 1,583 | 24,454 | 17,951 | (3,927) | ||||||||
Polaris, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 196 | 22,640 | 21,683 | 1,657 | ||||||||
TopBuild Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 66 | 13,009 | 13,737 | 2,162 | ||||||||
2,664 | 108,040 | 102,191 | 6,150 | |||||||||||||
Consumer Services | ||||||||||||||||
ADT, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 674 | 5,045 | 4,873 | 399 | ||||||||
Caesars Entertainment, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 437 | 21,410 | 21,330 | 2,205 | ||||||||
Darden Restaurants, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 31 | 4,749 | 4,810 | 581 | ||||||||
Duolingo, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 2 | 241 | 285 | 64 | ||||||||
Grand Canyon Education, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 2 | 216 | 228 | 30 | ||||||||
Planet Fitness, Inc., Class A | USFF +0.250% | Weekly | MS | 08/15/24 | 5 | 378 | 388 | 42 | ||||||||
Wendy's Co. (The) | USFF +0.250% | Weekly | MS | 08/15/24 | 192 | 4,090 | 4,182 | 538 | ||||||||
1,343 | 36,129 | 36,096 | 3,859 | |||||||||||||
Consumer Staples Distribution & Retail | ||||||||||||||||
BJ's Wholesale Club Holdings, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 34 | 2,556 | 2,586 | 307 | ||||||||
Casey's General Stores, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 78 | 17,078 | 16,884 | 1,706 | ||||||||
US Foods Holding Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 170 | 6,082 | 6,280 | 865 | ||||||||
282 | 25,716 | 25,750 | 2,878 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Energy | ||||||||||||||||
Antero Resources Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 793 | $ 21,613 | $ 18,310 | $ (916) | ||||||||
APA Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 1,216 | 47,916 | 43,849 | 1,248 | ||||||||
Canadian Natural Resources Ltd. (Canada) | USFF +0.250% | Weekly | MS | 08/15/24 | 43 | 2,155 | 2,380 | 486 | ||||||||
Cheniere Energy, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 169 | 27,098 | 26,634 | 2,146 | ||||||||
Chevron Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 148 | 25,499 | 24,148 | 384 | ||||||||
Civitas Resources, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 120 | 8,136 | 8,201 | 1,093 | ||||||||
Coterra Energy, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 549 | 13,371 | 13,472 | 1,743 | ||||||||
Crescent Point Energy Corp. (Canada) | USFF +0.250% | Weekly | MS | 08/15/24 | 1,074 | 7,494 | 7,582 | 985 | ||||||||
Enbridge, Inc. (Canada) | USFF +0.250% | Weekly | MS | 08/15/24 | 319 | 12,201 | 12,170 | 1,314 | ||||||||
Enerplus Corp. (Canada) | USFF +0.250% | Weekly | MS | 08/15/24 | 116 | 1,904 | 1,672 | (24) | ||||||||
Helmerich & Payne, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 99 | 4,120 | 3,539 | (119) | ||||||||
Hess Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 93 | 12,860 | 12,308 | 319 | ||||||||
HF Sinclair Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 86 | 4,238 | 4,161 | 385 | ||||||||
Imperial Oil Ltd. (Canada) | USFF +0.250% | Weekly | MS | 09/13/23 | 212 | 9,508 | 10,772 | 2,583 | ||||||||
Kosmos Energy Ltd. | USFF +0.250% | Weekly | MS | 08/15/24 | 160 | 1,284 | 1,190 | 43 | ||||||||
Murphy Oil Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 187 | 7,155 | 6,915 | 555 | ||||||||
Pembina Pipeline Corp. (Canada) | USFF +0.250% | Weekly | MS | 08/15/24 | 110 | 3,563 | 3,564 | 415 | ||||||||
Range Resources Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 889 | 23,417 | 23,532 | 2,776 | ||||||||
Southwestern Energy Co. | USFF +0.250% | Weekly | MS | 08/15/24 | 3,955 | 20,410 | 19,775 | 1,618 | ||||||||
Weatherford International PLC (Ireland) | USFF +0.250% | Weekly | MS | 08/15/24 | 31 | 1,986 | 1,840 | (57) | ||||||||
10,369 | 255,928 | 246,014 | 16,977 | |||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||
Campbell Soup Co. | USFF +0.250% | Weekly | MS | 08/15/24 | 42 | 2,213 | 2,309 | 335 | ||||||||
Celsius Holdings, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 200 | 17,352 | 18,588 | 3,150 | ||||||||
Molson Coors Beverage Co., Class B | USFF +0.250% | Weekly | MS | 08/15/24 | 25 | 1,326 | 1,292 | 110 | ||||||||
267 | 20,891 | 22,189 | 3,595 | |||||||||||||
Health Care Equipment & Services | ||||||||||||||||
Centene Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 87 | 5,666 | 5,499 | 454 | ||||||||
CVS Health Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 446 | 36,182 | 33,142 | 1,070 | ||||||||
Dexcom, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 106 | 11,376 | 12,315 | 2,192 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Health Care Equipment & Services — (continued) | ||||||||||||||||
iRhythm Technologies, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 9 | $ 1,027 | $ 1,116 | $ 197 | ||||||||
Molina Healthcare, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 85 | 24,096 | 22,737 | 1,302 | ||||||||
Privia Health Group, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 48 | 1,290 | 1,325 | 172 | ||||||||
Zimmer Biomet Holdings, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 187 | 23,854 | 24,160 | 2,986 | ||||||||
968 | 103,491 | 100,294 | 8,373 | |||||||||||||
Household & Personal Products | ||||||||||||||||
Inter Parfums, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 43 | 5,947 | 6,116 | 830 | ||||||||
Materials | ||||||||||||||||
Albemarle Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 147 | 32,470 | 32,493 | 3,646 | ||||||||
ATI, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 778 | 30,568 | 30,700 | 3,510 | ||||||||
Avient Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 208 | 8,603 | 8,561 | 940 | ||||||||
CF Industries Holdings, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 130 | 9,371 | 9,424 | 1,084 | ||||||||
Commercial Metals Co. | USFF +0.250% | Weekly | MS | 08/15/24 | 294 | 14,633 | 14,377 | 1,412 | ||||||||
DuPont de Nemours, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 688 | 51,251 | 49,378 | 3,981 | ||||||||
Ecolab, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 179 | 28,589 | 29,630 | 4,294 | ||||||||
FMC Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 46 | 5,779 | 5,618 | 502 | ||||||||
Graphic Packaging Holding Co. | USFF +0.250% | Weekly | MS | 08/15/24 | 540 | 12,729 | 13,765 | 2,492 | ||||||||
HB Fuller Co. | USFF +0.250% | Weekly | MS | 08/15/24 | 2 | 134 | 137 | 11 | ||||||||
Livent Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 129 | 2,628 | 2,802 | 472 | ||||||||
Martin Marietta Materials, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 66 | 23,343 | 23,434 | 2,666 | ||||||||
Mosaic Co. (The) | USFF +0.250% | Weekly | MS | 08/15/24 | 579 | 26,956 | 26,565 | 2,664 | ||||||||
Nucor Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 41 | 6,037 | 6,333 | 979 | ||||||||
Nutrien Ltd. (Canada) | USFF +0.250% | Weekly | MS | 08/15/24 | 50 | 3,629 | 3,692 | 477 | ||||||||
Reliance Steel & Aluminum Co. | USFF +0.250% | Weekly | MS | 08/15/24 | 36 | 8,809 | 9,243 | 1,438 | ||||||||
Scotts Miracle-Gro Co. (The) | USFF +0.250% | Weekly | MS | 08/15/24 | 422 | 32,989 | 29,430 | 287 | ||||||||
Sealed Air Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 24 | 1,202 | 1,102 | 31 | ||||||||
Silgan Holdings, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 108 | 5,323 | 5,796 | 1,085 | ||||||||
Steel Dynamics, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 158 | 17,009 | 17,863 | 2,796 | ||||||||
Wheaton Precious Metals Corp. (Canada) | USFF +0.250% | Weekly | MS | 08/15/24 | 337 | 15,556 | 16,230 | 2,410 | ||||||||
4,962 | 337,608 | 336,573 | 37,177 | |||||||||||||
Media & Entertainment | ||||||||||||||||
Cable One, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 6 | 3,932 | 4,212 | 709 | ||||||||
New York Times Co. (The), Class A | USFF +0.250% | Weekly | MS | 08/15/24 | 211 | 7,516 | 8,204 | 1,517 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Media & Entertainment — (continued) | ||||||||||||||||
Nexstar Media Group, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 80 | $ 13,264 | $ 13,813 | $ 2,059 | ||||||||
Omnicom Group, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 273 | 24,995 | 25,755 | 3,685 | ||||||||
Roku, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 126 | 7,740 | 8,293 | 1,404 | ||||||||
Sirius XM Holdings, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 1,515 | 8,072 | 6,015 | (1,741) | ||||||||
TEGNA, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 104 | 1,648 | 1,759 | 286 | ||||||||
Trade Desk, Inc. (The), Class A | USFF +0.250% | Weekly | MS | 08/15/24 | 369 | 20,358 | 22,476 | 4,301 | ||||||||
2,684 | 87,525 | 90,527 | 12,220 | |||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||
Halozyme Therapeutics, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 10 | 336 | 382 | 76 | ||||||||
Horizon Therapeutics PLC (Ireland) | USFF +0.250% | Weekly | MS | 08/15/24 | 68 | 5,109 | 7,422 | 2,872 | ||||||||
Incyte Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 45 | 3,161 | 3,252 | 435 | ||||||||
Jazz Pharmaceuticals PLC (Ireland) | USFF +0.250% | Weekly | MS | 08/15/24 | 105 | 14,515 | 15,365 | 2,451 | ||||||||
Maravai LifeSciences Holdings, Inc., Class A | USFF +0.250% | Weekly | MS | 08/15/24 | 151 | 2,094 | 2,115 | 247 | ||||||||
United Therapeutics Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 87 | 21,210 | 19,485 | 617 | ||||||||
466 | 46,425 | 48,021 | 6,698 | |||||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Cirrus Logic, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 251 | 26,039 | 27,454 | 4,292 | ||||||||
First Solar, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 135 | 28,050 | 29,362 | 4,411 | ||||||||
386 | 54,089 | 56,816 | 8,703 | |||||||||||||
Software & Services | ||||||||||||||||
Altair Engineering, Inc., Class A | USFF +0.250% | Weekly | MS | 08/15/24 | 4 | 264 | 288 | 47 | ||||||||
Asana, Inc., Class A | USFF +0.250% | Weekly | MS | 08/15/24 | 796 | 16,675 | 16,819 | 1,984 | ||||||||
Box, Inc., Class A | USFF +0.250% | Weekly | MS | 08/15/24 | 245 | 6,335 | 6,564 | 924 | ||||||||
CCC Intelligent Solutions Holdings, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 19 | 168 | 170 | 15 | ||||||||
Cvent Holding Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 31 | 259 | 259 | 23 | ||||||||
DigitalOcean Holdings, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 39 | 1,382 | 1,528 | 292 | ||||||||
Elastic N. V. (Netherlands) | USFF +0.250% | Weekly | MS | 08/15/24 | 10 | 551 | 579 | 83 | ||||||||
Gartner, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 122 | 40,061 | 39,744 | 4,112 | ||||||||
Guidewire Software, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 98 | 7,097 | 8,041 | 1,723 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Software & Services — (continued) | ||||||||||||||||
Informatica, Inc., Class A | USFF +0.250% | Weekly | MS | 08/15/24 | 64 | $ 1,135 | $ 1,050 | $ 34 | ||||||||
MongoDB, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 132 | 25,305 | 30,772 | 8,714 | ||||||||
New Relic, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 117 | 8,329 | 8,809 | 1,395 | ||||||||
Okta, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 604 | 44,370 | 52,089 | 12,624 | ||||||||
Palantir Technologies, Inc., Class A | USFF +0.250% | Weekly | MS | 08/15/24 | 35 | 294 | 296 | 28 | ||||||||
Palo Alto Networks, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 173 | 31,917 | 34,555 | 6,382 | ||||||||
PowerSchool Holdings, Inc., Class A | USFF +0.250% | Weekly | MS | 08/15/24 | 20 | 460 | 396 | (19) | ||||||||
Samsara, Inc., Class A | USFF +0.250% | Weekly | MS | 08/15/24 | 93 | 1,726 | 1,834 | 292 | ||||||||
Smartsheet, Inc., Class A | USFF +0.250% | Weekly | MS | 08/15/24 | 314 | 13,672 | 15,009 | 2,844 | ||||||||
Splunk, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 320 | 28,007 | 30,682 | 5,769 | ||||||||
Squarespace, Inc., Class A | USFF +0.250% | Weekly | MS | 08/15/24 | 178 | 5,198 | 5,655 | 1,026 | ||||||||
3,414 | 233,205 | 255,139 | 48,292 | |||||||||||||
Technology Hardware & Equipment | ||||||||||||||||
IPG Photonics Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 36 | 4,347 | 4,439 | 536 | ||||||||
Littelfuse, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 7 | 1,864 | 1,877 | 215 | ||||||||
Motorola Solutions, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 79 | 21,098 | 22,604 | 4,064 | ||||||||
Super Micro Computer, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 400 | 34,014 | 42,620 | 12,365 | ||||||||
TD SYNNEX Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 13 | 1,221 | 1,258 | 166 | ||||||||
535 | 62,544 | 72,798 | 17,346 | |||||||||||||
Telecommunication Services | ||||||||||||||||
AT&T, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 1,575 | 30,771 | 30,319 | 2,948 | ||||||||
Lumen Technologies, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 1,956 | 7,657 | 5,183 | (1,632) | ||||||||
3,531 | 38,428 | 35,502 | 1,316 | |||||||||||||
Transportation | ||||||||||||||||
CH Robinson Worldwide, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 249 | 24,996 | 24,743 | 2,607 | ||||||||
Expeditors International of Washington, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 266 | 28,514 | 29,292 | 3,981 | ||||||||
Kirby Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 159 | 11,332 | 11,082 | 999 | ||||||||
Landstar System, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 148 | 25,884 | 26,530 | 3,578 | ||||||||
Schneider National, Inc., Class B | USFF +0.250% | Weekly | MS | 08/15/24 | 176 | 4,689 | 4,708 | 535 | ||||||||
TFI International, Inc. (Canada) | USFF +0.250% | Weekly | MS | 08/15/24 | 35 | 4,207 | 4,175 | 438 | ||||||||
XPO, Inc. | USFF +0.250% | Weekly | MS | 08/15/24 | 98 | 3,587 | 3,126 | (70) | ||||||||
1,131 | 103,209 | 103,656 | 12,068 |
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Utilities | ||||||||||||||||
Constellation Energy Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 170 | $ 13,410 | $ 13,345 | $ 1,431 | ||||||||
Entergy Corp. | USFF +0.250% | Weekly | MS | 08/15/24 | 133 | 13,881 | 14,329 | 1,979 | ||||||||
303 | 27,291 | 27,674 | 3,410 | |||||||||||||
Total Reference Entity — Long | 2,235,072 | 2,254,886 | 267,630 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Short | ||||||||||||||||
Automobiles & Components | ||||||||||||||||
Ford Motor Co. | USFF -0.250% | Weekly | MS | 01/05/26 | (29,903) | $ (389,235) | $ (376,778) | $ (4,953) | ||||||||
Thor Industries, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (312) | (27,076) | (24,848) | 2,212 | ||||||||
(30,215) | (416,311) | (401,626) | (2,741) | |||||||||||||
Capital Goods | ||||||||||||||||
Bloom Energy Corp., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (30) | (654) | (598) | 116 | ||||||||
BWX Technologies, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (160) | (9,989) | (10,086) | (394) | ||||||||
ChargePoint Holdings, Inc. | USFF -5.780% | Weekly | MS | 01/05/26 | (1,081) | (10,428) | (11,318) | (978) | ||||||||
Flowserve Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (5,710) | (180,222) | (194,140) | (15,898) | ||||||||
Graco, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (119) | (8,369) | (8,688) | (328) | ||||||||
Herc Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (181) | (28,153) | (20,616) | 7,071 | ||||||||
IDEX Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (797) | (179,390) | (184,131) | (4,815) | ||||||||
Johnson Controls International PLC (Ireland) | USFF -0.250% | Weekly | MS | 01/05/26 | (3,156) | (206,702) | (190,054) | 21,985 | ||||||||
Lincoln Electric Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (673) | (112,999) | (113,804) | (1,285) | ||||||||
Maxar Technologies, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (3,018) | (154,030) | (154,099) | (156) | ||||||||
Nordson Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (636) | (137,799) | (141,357) | (3,617) | ||||||||
Parsons Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (134) | (5,981) | (5,995) | (22) | ||||||||
Plug Power, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (2,290) | (30,687) | (26,839) | 3,830 | ||||||||
Sunrun, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,371) | (30,453) | (27,626) | 2,809 | ||||||||
Trex Co, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (3,405) | (172,499) | (165,721) | 6,706 | ||||||||
Woodward, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,627) | (165,892) | (158,421) | 7,079 | ||||||||
Zurn Elkay Water Solutions Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (3,099) | (72,515) | (66,195) | 6,151 | ||||||||
(27,487) | (1,506,762) | (1,479,688) | 28,254 | |||||||||||||
Commercial & Professional Services | ||||||||||||||||
Casella Waste Systems, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (520) | (40,810) | (42,983) | (2,195) | ||||||||
Equifax, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,743) | (368,735) | (353,550) | 13,412 | ||||||||
Jacobs Solutions, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (704) | (86,026) | (82,727) | 4,223 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Commercial & Professional Services — (continued) | ||||||||||||||||
Republic Services, Inc. | USFF +0.250% | Weekly | MS | 09/13/23 | (52) | $ (6,863) | $ (7,031) | $ (207) | ||||||||
Tetra Tech, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (890) | (130,056) | (130,750) | (820) | ||||||||
Waste Connections, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/05/26 | (1,671) | (224,223) | (232,386) | (8,413) | ||||||||
Waste Management, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (517) | (78,569) | (84,359) | (5,826) | ||||||||
(6,097) | (935,282) | (933,786) | 174 | |||||||||||||
Consumer Discretionary Distribution & Retail | ||||||||||||||||
eBay, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (7,015) | (302,496) | (311,256) | (8,881) | ||||||||
Floor & Decor Holdings, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (46) | (4,305) | (4,518) | (221) | ||||||||
Foot Locker, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (2,800) | (113,390) | (111,132) | 2,202 | ||||||||
Home Depot, Inc. (The) | USFF -0.250% | Weekly | MS | 01/05/26 | (346) | (106,502) | (102,112) | 3,880 | ||||||||
Wayfair, Inc., Class A | USFF -0.780% | Weekly | MS | 01/05/26 | (401) | (15,075) | (13,770) | 1,834 | ||||||||
(10,608) | (541,768) | (542,788) | (1,186) | |||||||||||||
Consumer Durables & Apparel | ||||||||||||||||
Acushnet Holdings Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (73) | (3,675) | (3,719) | (52) | ||||||||
BRP, Inc., sub-voting shares (Canada) | USFF -0.250% | Weekly | MS | 01/05/26 | (22) | (1,665) | (1,720) | (77) | ||||||||
Columbia Sportswear Co. | USFF -0.250% | Weekly | MS | 01/05/26 | (360) | (32,634) | (32,486) | 27 | ||||||||
Levi Strauss & Co., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (102) | (1,851) | (1,859) | (16) | ||||||||
Newell Brands, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (28,075) | (411,608) | (349,253) | 51,522 | ||||||||
PVH Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (36) | (3,129) | (3,210) | (88) | ||||||||
Skechers USA, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (1,354) | (59,616) | (64,342) | (5,626) | ||||||||
Tempur Sealy International, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (10,279) | (319,221) | (405,918) | (92,445) | ||||||||
Topgolf Callaway Brands Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (8,327) | (178,333) | (180,030) | (1,771) | ||||||||
Under Armour, Inc., Class C | USFF -0.250% | Weekly | MS | 01/05/26 | (241) | (1,995) | (2,056) | (68) | ||||||||
VF Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (2,098) | (55,219) | (48,065) | 6,497 | ||||||||
(50,967) | (1,068,946) | (1,092,658) | (42,097) | |||||||||||||
Consumer Services | ||||||||||||||||
Aramark | USFF -0.250% | Weekly | MS | 01/05/26 | (5,045) | (193,730) | (180,611) | 12,597 | ||||||||
Booking Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (2) | (5,121) | (5,305) | (192) | ||||||||
Chipotle Mexican Grill, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (27) | (43,986) | (46,124) | (2,160) | ||||||||
Churchill Downs, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,182) | (256,445) | (303,833) | (48,103) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Services — (continued) | ||||||||||||||||
Light & Wonder, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (235) | $ (14,082) | $ (14,112) | $ (339) | ||||||||
Norwegian Cruise Line Holdings Ltd. (Bermuda) | USFF -0.830% | Weekly | MS | 01/05/26 | (750) | (9,334) | (10,088) | (763) | ||||||||
(7,241) | (522,698) | (560,073) | (38,960) | |||||||||||||
Consumer Staples Distribution & Retail | ||||||||||||||||
Costco Wholesale Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (352) | (168,232) | (174,898) | (8,615) | ||||||||
Dollar General Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,574) | (326,900) | (331,264) | (4,495) | ||||||||
Sysco Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (895) | (66,678) | (69,121) | (2,574) | ||||||||
Target Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (2,516) | (402,887) | (416,725) | (13,997) | ||||||||
(5,337) | (964,697) | (992,008) | (29,681) | |||||||||||||
Energy | ||||||||||||||||
Antero Midstream Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (5,696) | (59,106) | (59,751) | (726) | ||||||||
Chord Energy Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,950) | (305,704) | (262,470) | 32,030 | ||||||||
Denbury, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (295) | (24,552) | (25,851) | (1,315) | ||||||||
Diamondback Energy, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (3,996) | (557,891) | (540,139) | 10,436 | ||||||||
DT Midstream, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (2,123) | (105,842) | (104,813) | (266) | ||||||||
Marathon Oil Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (26,206) | (639,311) | (627,896) | 11,167 | ||||||||
Marathon Petroleum Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (636) | (82,008) | (85,752) | (4,102) | ||||||||
New Fortress Energy, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (9,312) | (343,173) | (274,052) | 60,596 | ||||||||
PDC Energy, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (412) | (28,205) | (26,442) | 2,655 | ||||||||
Pioneer Natural Resources Co. | USFF -0.250% | Weekly | MS | 01/05/26 | (734) | (148,071) | (149,912) | (2,969) | ||||||||
Targa Resources Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,891) | (138,688) | (137,948) | (94) | ||||||||
TC Energy Corp. (Canada) | USFF -0.250% | Weekly | MS | 01/05/26 | (1,672) | (69,847) | (65,058) | 320 | ||||||||
Transocean Ltd. (Switzerland) | USFF -0.250% | Weekly | MS | 01/05/26 | (4,202) | (25,584) | (26,725) | (1,157) | ||||||||
Williams Cos., Inc. (The) | USFF -0.250% | Weekly | MS | 01/05/26 | (10,802) | (323,005) | (322,548) | (2,989) | ||||||||
(69,927) | (2,850,987) | (2,709,357) | 103,586 | |||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||
Boston Beer Co., Inc. (The), Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (2) | (651) | (657) | (13) | ||||||||
Brown-Forman Corp., Class B | USFF -0.250% | Weekly | MS | 01/05/26 | (3,294) | (206,168) | (211,705) | (5,621) | ||||||||
Constellation Brands, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (2,570) | (572,919) | (580,537) | (9,897) | ||||||||
Darling Ingredients, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (8,736) | (629,857) | (510,182) | 119,430 | ||||||||
Hormel Foods Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,790) | (74,867) | (71,385) | 3,223 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Food, Beverage & Tobacco — (continued) | ||||||||||||||||
Ingredion, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,062) | $ (104,689) | $ (108,037) | $ (4,148) | ||||||||
Monster Beverage Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (8,055) | (411,411) | (435,051) | (23,802) | ||||||||
Simply Good Foods Co. (The) | USFF -0.250% | Weekly | MS | 01/05/26 | (276) | (10,558) | (10,977) | (429) | ||||||||
Tyson Foods, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (7,363) | (447,625) | (436,773) | 7,761 | ||||||||
(33,148) | (2,458,745) | (2,365,304) | 86,504 | |||||||||||||
Health Care Equipment & Services | ||||||||||||||||
AmerisourceBergen Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (61) | (9,627) | (9,767) | (150) | ||||||||
Bausch + Lomb Corp. (Canada) | USFF -5.630% | Weekly | MS | 01/05/26 | (110) | (1,823) | (1,915) | (99) | ||||||||
Becton Dickinson & Co. | USFF -0.250% | Weekly | MS | 01/05/26 | (3,008) | (744,658) | (744,600) | (2,850) | ||||||||
Boston Scientific Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (5,329) | (252,247) | (266,610) | (14,464) | ||||||||
Envista Holdings Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (897) | (36,558) | (36,669) | (131) | ||||||||
Henry Schein, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (174) | (13,847) | (14,188) | (352) | ||||||||
ICU Medical, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (928) | (157,422) | (153,083) | 4,273 | ||||||||
IDEXX Laboratories, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (242) | (116,551) | (121,019) | (4,519) | ||||||||
Intuitive Surgical, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (2,087) | (497,353) | (533,166) | (36,007) | ||||||||
Masimo Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (2,684) | (413,029) | (495,305) | (90,248) | ||||||||
Merit Medical Systems, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (164) | (11,268) | (12,128) | (871) | ||||||||
Novocure Ltd. (Jersey) | USFF -0.250% | Weekly | MS | 01/05/26 | (1,734) | (118,637) | (104,283) | 14,303 | ||||||||
QuidelOrtho Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (3,820) | (326,041) | (340,324) | (14,567) | ||||||||
ResMed, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,676) | (378,664) | (367,027) | 10,829 | ||||||||
Select Medical Holdings Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,133) | (33,184) | (29,288) | 3,712 | ||||||||
STERIS PLC (Ireland) | USFF -0.250% | Weekly | MS | 01/05/26 | (1,270) | (242,570) | (242,926) | (845) | ||||||||
Tandem Diabetes Care, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (786) | (44,594) | (31,919) | 12,651 | ||||||||
Teleflex, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (669) | (156,935) | (169,464) | (12,649) | ||||||||
Tenet Healthcare Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (3,539) | (167,892) | (210,287) | (49,991) | ||||||||
(30,311) | (3,722,900) | (3,883,968) | (181,975) | |||||||||||||
Household & Personal Products | ||||||||||||||||
Colgate-Palmolive Co. | USFF -0.250% | Weekly | MS | 01/05/26 | (5,160) | (376,113) | (387,774) | (11,810) | ||||||||
Estee Lauder Cos., Inc. (The), Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (2,883) | (718,461) | (710,544) | 5,795 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Household & Personal Products — (continued) | ||||||||||||||||
Procter & Gamble Co. (The) | USFF -0.250% | Weekly | MS | 01/05/26 | (349) | $ (50,801) | $ (51,893) | $ (1,118) | ||||||||
Reynolds Consumer Products, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (2,187) | (66,735) | (60,143) | 6,152 | ||||||||
(10,579) | (1,212,110) | (1,210,354) | (981) | |||||||||||||
Materials | ||||||||||||||||
Agnico Eagle Mines Ltd. (Canada) | USFF -0.250% | Weekly | MS | 01/05/26 | (818) | (38,041) | (41,693) | (4,555) | ||||||||
Air Products and Chemicals, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (980) | (281,853) | (281,466) | (566) | ||||||||
Amcor PLC (Jersey) | USFF -0.250% | Weekly | MS | 01/05/26 | (6,809) | (74,010) | (77,486) | (3,511) | ||||||||
Ashland, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,071) | (112,107) | (110,002) | 1,638 | ||||||||
Celanese Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (3,277) | (360,947) | (356,833) | 3,972 | ||||||||
Corteva, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (3,375) | (211,897) | (203,546) | 7,768 | ||||||||
Eastman Chemical Co. | USFF -0.250% | Weekly | MS | 01/05/26 | (65) | (5,306) | (5,482) | (304) | ||||||||
Franco-Nevada Corp. (Canada) | USFF -0.250% | Weekly | MS | 01/05/26 | (12) | (1,731) | (1,750) | (26) | ||||||||
Hecla Mining Co. | USFF -0.250% | Weekly | MS | 01/05/26 | (16,991) | (100,981) | (107,553) | (6,684) | ||||||||
International Flavors & Fragrances, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (3,621) | (340,441) | (332,987) | 4,430 | ||||||||
MP Materials Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (2,217) | (65,736) | (62,497) | 2,941 | ||||||||
Pan American Silver Corp. (Canada) | USFF -0.980% | Weekly | MS | 01/05/26 | (1,417) | (23,768) | (25,789) | (2,037) | ||||||||
Royal Gold, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (2,630) | (288,166) | (341,137) | (57,800) | ||||||||
Sensient Technologies Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (717) | (52,266) | (54,894) | (3,021) | ||||||||
Sonoco Products Co. | USFF -0.250% | Weekly | MS | 01/05/26 | (188) | (11,879) | (11,468) | 138 | ||||||||
Teck Resources Ltd., Class B (Canada) | USFF -0.250% | Weekly | MS | 01/05/26 | (2,733) | (111,832) | (99,755) | 12,811 | ||||||||
Valvoline, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,477) | (51,845) | (51,606) | 26 | ||||||||
Westrock Co. | USFF -0.250% | Weekly | MS | 01/05/26 | (10,634) | (336,935) | (324,018) | 12,101 | ||||||||
(59,032) | (2,469,741) | (2,489,962) | (32,679) | |||||||||||||
Media & Entertainment | ||||||||||||||||
DISH Network Corp., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (26,509) | (452,466) | (247,329) | 204,959 | ||||||||
Live Nation Entertainment, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (3,359) | (233,308) | (235,130) | (2,526) | ||||||||
Pinterest, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (12,500) | (314,208) | (340,875) | (27,794) | ||||||||
(42,368) | (999,982) | (823,334) | 174,639 | |||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||
Amgen, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (410) | (95,562) | (99,118) | (3,598) | ||||||||
Bio-Rad Laboratories, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (637) | (283,213) | (305,136) | (32,965) | ||||||||
Bio-Techne Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (2,392) | (182,979) | (177,463) | 5,115 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||||||||
Bruker Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (178) | $ (13,155) | $ (14,034) | $ (895) | ||||||||
Cerevel Therapeutics Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (586) | (15,144) | (14,293) | 840 | ||||||||
Cytokinetics, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,215) | (50,187) | (42,756) | 7,405 | ||||||||
Denali Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (120) | (3,223) | (2,765) | 450 | ||||||||
Elanco Animal Health, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (14,932) | (148,654) | (140,361) | 8,230 | ||||||||
Eli Lilly & Co. | USFF -0.250% | Weekly | MS | 01/05/26 | (2,082) | (677,900) | (715,000) | (37,364) | ||||||||
Ionis Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (2,960) | (104,170) | (105,790) | (1,666) | ||||||||
Mettler-Toledo International, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (20) | (29,133) | (30,604) | (1,489) | ||||||||
Moderna, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,551) | (226,211) | (238,203) | (12,083) | ||||||||
Prometheus Biosciences, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (314) | (37,495) | (33,698) | 3,777 | ||||||||
Regeneron Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (29) | (23,454) | (23,828) | (390) | ||||||||
Sotera Health Co. | USFF -0.250% | Weekly | MS | 01/05/26 | (6,473) | (111,429) | (115,931) | (4,937) | ||||||||
West Pharmaceutical Services, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (291) | (77,923) | (100,823) | (28,177) | ||||||||
(34,190) | (2,079,832) | (2,159,803) | (97,747) | |||||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Advanced Micro Devices, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (6,146) | (508,430) | (602,369) | (94,138) | ||||||||
Entegris, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (4,939) | (354,545) | (405,047) | (55,580) | ||||||||
Intel Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (17,409) | (520,167) | (568,752) | (88,705) | ||||||||
MACOM Technology Solutions Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (713) | (50,180) | (50,509) | (591) | ||||||||
Marvell Technology, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (154) | (6,680) | (6,668) | 3 | ||||||||
MKS Instruments, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (4,481) | (381,948) | (397,106) | (16,392) | ||||||||
NVIDIA Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (2,654) | (592,604) | (737,202) | (144,893) | ||||||||
Onto Innovation, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (901) | (73,981) | (79,180) | (5,233) | ||||||||
Power Integrations, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,314) | (109,091) | (111,217) | (2,396) | ||||||||
QUALCOMM, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,148) | (142,496) | (146,462) | (4,051) | ||||||||
Teradyne, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,095) | (116,248) | (117,723) | (2,141) | ||||||||
Texas Instruments, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,772) | (313,624) | (329,610) | (16,111) | ||||||||
Wolfspeed, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (395) | (26,741) | (25,655) | 1,069 | ||||||||
(43,121) | (3,196,735) | (3,577,500) | (429,159) |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Software & Services | ||||||||||||||||
Bentley Systems, Inc., Class B | USFF -0.250% | Weekly | MS | 01/05/26 | (821) | $ (33,088) | $ (35,295) | $ (2,226) | ||||||||
BILL Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (803) | (60,792) | (65,155) | (4,883) | ||||||||
Black Knight, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (3,524) | (208,715) | (202,841) | 5,789 | ||||||||
Clear Secure, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (534) | (14,239) | (13,975) | 252 | ||||||||
Datadog, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (3,126) | (222,549) | (227,135) | (4,807) | ||||||||
Dropbox, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (1,345) | (28,318) | (29,079) | (778) | ||||||||
Gitlab, Inc., Class A | USFF -0.630% | Weekly | MS | 01/05/26 | (649) | (21,535) | (22,254) | (734) | ||||||||
Oracle Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (8,380) | (699,557) | (778,670) | (80,560) | ||||||||
Shopify, Inc., Class A (Canada) | USFF -0.250% | Weekly | MS | 01/05/26 | (1,022) | (43,692) | (48,995) | (11,581) | ||||||||
Snowflake, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (847) | (115,595) | (130,684) | (20,424) | ||||||||
Zoom Video Communications, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (5,160) | (382,358) | (381,014) | 1,192 | ||||||||
(26,211) | (1,830,438) | (1,935,097) | (118,760) | |||||||||||||
Technology Hardware & Equipment | ||||||||||||||||
Arista Networks, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (2,956) | (425,067) | (496,194) | (71,294) | ||||||||
Avnet, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (4,164) | (179,510) | (188,213) | (11,121) | ||||||||
Ciena Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (3,951) | (196,423) | (207,507) | (11,164) | ||||||||
Coherent Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (2,256) | (84,720) | (85,908) | (1,325) | ||||||||
Corning, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (8,507) | (299,966) | (300,127) | (2,553) | ||||||||
Dell Technologies, Inc., Class C | USFF -0.250% | Weekly | MS | 01/05/26 | (6,351) | (239,345) | (255,374) | (16,125) | ||||||||
Hewlett Packard Enterprise Co. | USFF -0.250% | Weekly | MS | 01/05/26 | (465) | (6,746) | (7,407) | (728) | ||||||||
Juniper Networks, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (15,202) | (473,655) | (523,253) | (52,108) | ||||||||
Lumentum Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (922) | (54,345) | (49,797) | 4,521 | ||||||||
Novanta, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/05/26 | (429) | (66,950) | (68,250) | (1,331) | ||||||||
Ubiquiti, Inc. | USFF -0.580% | Weekly | MS | 01/05/26 | (324) | (89,490) | (88,028) | 1,368 | ||||||||
Western Digital Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (15,131) | (588,799) | (569,985) | 18,585 | ||||||||
(60,658) | (2,705,016) | (2,840,043) | (143,275) | |||||||||||||
Telecommunication Services | ||||||||||||||||
Frontier Communications Parent, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (7,315) | (185,077) | (166,563) | 18,170 | ||||||||
Rogers Communications, Inc., Class B (Canada) | USFF -0.250% | Weekly | MS | 01/05/26 | (790) | (38,554) | (36,624) | 1,802 | ||||||||
(8,105) | (223,631) | (203,187) | 19,972 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Transportation | ||||||||||||||||
Alaska Air Group, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,034) | $ (46,936) | $ (43,387) | $ 3,945 | ||||||||
FedEx Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (494) | (94,233) | (112,874) | (26,880) | ||||||||
Lyft, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (2,551) | (25,955) | (23,648) | 2,291 | ||||||||
Southwest Airlines Co. | USFF -0.250% | Weekly | MS | 01/05/26 | (7,363) | (264,440) | (239,592) | 23,417 | ||||||||
(11,442) | (431,564) | (419,501) | 2,773 | |||||||||||||
Utilities | ||||||||||||||||
AES Corp. (The) | USFF -0.250% | Weekly | MS | 01/05/26 | (13,717) | (323,159) | (330,305) | (7,275) | ||||||||
Algonquin Power & Utilities Corp. (Canada) | USFF -0.250% | Weekly | MS | 01/05/26 | (4,026) | (30,785) | (33,818) | (5,273) | ||||||||
American Electric Power Co., Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (2,284) | (203,100) | (207,821) | (4,804) | ||||||||
American Water Works Co., Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (204) | (27,909) | (29,884) | (2,209) | ||||||||
Black Hills Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,526) | (105,670) | (96,291) | 8,364 | ||||||||
CenterPoint Energy, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (3,015) | (85,561) | (88,822) | (3,380) | ||||||||
CMS Energy Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (5,397) | (374,429) | (331,268) | 41,202 | ||||||||
Dominion Energy, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,077) | (57,824) | (60,215) | (2,647) | ||||||||
Eversource Energy | USFF -0.250% | Weekly | MS | 01/05/26 | (227) | (16,907) | (17,765) | (1,597) | ||||||||
FirstEnergy Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,676) | (65,685) | (67,141) | (2,115) | ||||||||
NextEra Energy, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (4,918) | (371,475) | (379,079) | (11,620) | ||||||||
NiSource, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (16,392) | (441,966) | (458,320) | (23,103) | ||||||||
NRG Energy, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (3,674) | (121,191) | (125,981) | (4,843) | ||||||||
OGE Energy Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (237) | (8,245) | (8,925) | (689) | ||||||||
ONE Gas, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,165) | (90,523) | (92,303) | (1,821) | ||||||||
Ormat Technologies, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (662) | (55,808) | (56,118) | (361) | ||||||||
Sempra Energy | USFF -0.250% | Weekly | MS | 01/05/26 | (3,061) | (447,410) | (462,701) | (18,235) | ||||||||
Southern Co. (The) | USFF -0.250% | Weekly | MS | 01/05/26 | (1,479) | (100,070) | (102,909) | (2,883) | ||||||||
Southwest Gas Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,201) | (92,474) | (75,002) | 16,673 | ||||||||
Vistra Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (5,292) | (131,607) | (127,008) | 3,668 | ||||||||
WEC Energy Group, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (3,414) | (320,558) | (323,613) | (7,822) | ||||||||
(74,644) | (3,472,356) | (3,475,289) | (30,770) | |||||||||||||
Total Reference Entity — Short | (33,610,501) | (34,095,326) | (734,109) | |||||||||||||
Net Value of Reference Entity | $(31,375,429) | $(31,840,440) | $(466,479) |
* | Includes $(1,468) related to open trades, dividends receivables/payables and swap receivables/payables activities. |
USFF U.S. Fed Funds
Gotham Absolute Return Fund | Gotham Enhanced Return Fund | Gotham Neutral Fund | |||
Assets | |||||
Non-affiliated investments, at value1,2 | $557,121,035 | $112,925,206 | $ 66,543,274 | ||
Affiliated investments, at value3 | — | 102,858,800 | — | ||
Swaps, at value(a) | 56,161,953 | 39,083,918 | 9,278,143 | ||
Cash and cash equivalents | 2,990,548 | 1,584,045 | 1,004,212 | ||
Due from broker | 1,705,053 | 6,170,805 | 70,760 | ||
Receivables: | |||||
Investments sold | 11,086,151 | 2,103,681 | 2,334,799 | ||
Capital shares sold | 797,748 | 186,489 | 298,738 | ||
Dividends | 450,751 | 94,978 | 46,565 | ||
Prepaid expenses and other assets | 9,611 | 3,824 | 1,521 | ||
Total Assets | 630,322,850 | 265,011,746 | 79,578,012 | ||
Liabilities | |||||
Obligation to return cash collateral on swap contracts (Note 1) | 37,400,000 | 35,900,000 | 8,500,000 | ||
Payables: | |||||
Investments purchased | 7,050,398 | 1,785,269 | 1,114,307 | ||
Investment adviser | 615,942 | 186,416 | 58,627 | ||
Capital shares redeemed | 416,472 | 275,269 | 313,853 | ||
Audit fees | 50,166 | 30,556 | 18,773 | ||
Administration and accounting fees | 46,341 | 36,600 | 29,229 | ||
Transfer agent fees | 36,340 | 19,569 | 9,408 | ||
Custodian fees | 10,586 | 7,314 | 785 | ||
Shareholder reporting fees | 7,627 | 10,093 | 10,520 | ||
Accrued expenses | 8,021 | 7,032 | 6,242 | ||
Total Liabilities | 45,641,893 | 38,258,118 | 10,061,744 | ||
Net Assets | $584,680,957 | $226,753,628 | $ 69,516,268 | ||
Net Assets Consisted of: | |||||
Capital stock, $0.01 par value | $ 321,470 | $ 214,364 | $ 64,192 | ||
Paid-in capital | 518,730,811 | 179,443,426 | 132,370,999 | ||
Total distributable earnings/(loss) | 65,628,676 | 47,095,838 | (62,918,923) | ||
Net Assets | $584,680,957 | $226,753,628 | $ 69,516,268 | ||
Institutional Class Shares: | |||||
Net assets | $584,680,957 | $226,753,628 | $ 69,516,268 | ||
Shares outstanding | 32,146,957 | 21,436,378 | 6,419,237 | ||
Net asset value, offering and redemption price per share | $ 18.19 | $ 10.58 | $ 10.83 | ||
1Non-affiliated investments, at cost | $503,247,440 | $100,244,993 | $ 61,270,867 | ||
2Includes market value of securities designated as collateral for swaps | $155,962,698 | $ 69,538,853 | $ 41,427,311 | ||
3Affiliated investments, at cost | $ — | $ 98,334,324 | $ — |
(a) | Primary risk exposure is equity contracts. |
Gotham Index Plus Fund | Gotham Large Value Fund | Gotham Enhanced S&P 500 Index Fund | |||
Assets | |||||
Non-affiliated investments, at value1,2 | $209,062,926 | $32,892,020 | $16,226,033 | ||
Affiliated investments, at value3 | 213,411,132 | — | — | ||
Swaps, at value(a) | 98,840,719 | — | — | ||
Cash and cash equivalents | — | 173,639 | 125,791 | ||
Due from broker | 24,751,781 | — | — | ||
Receivables: | |||||
Investments sold | 2,025,256 | 235,401 | 80,059 | ||
Capital shares sold | 1,096,952 | 26,611 | 16,015 | ||
Dividends | 259,142 | 53,282 | 14,087 | ||
Investment adviser | — | 4,428 | — | ||
Prepaid expenses and other assets | 30,433 | 3,835 | — | ||
Total Assets | 549,478,341 | 33,389,216 | 16,461,985 | ||
Liabilities | |||||
Obligation to return cash collateral on swap contracts (Note 1) | 87,000,000 | — | — | ||
Payables: | |||||
Due to custodian | 3,732,042 | — | — | ||
Investments purchased | 2,014,559 | 174,486 | 98,344 | ||
Capital shares redeemed | 1,017,355 | 29,153 | 2,676 | ||
Investment adviser | 211,344 | — | 4,683 | ||
Audit fees | 40,983 | 14,697 | — | ||
Administration and accounting fees | 31,688 | 6,069 | — | ||
Custodian fees | 14,118 | 1,013 | — | ||
Shareholder reporting fees | 12,807 | 10,346 | — | ||
Transfer agent fees | 4,810 | 3,771 | — | ||
Distribution fees (Investor Class Shares) | 2,388 | — | — | ||
Accrued expenses | 42,322 | 7,297 | 2,142 | ||
Total Liabilities | 94,124,416 | 246,832 | 107,845 | ||
Net Assets | $455,353,925 | $33,142,384 | $16,354,140 | ||
Net Assets Consisted of: | |||||
Capital stock, $0.01 par value | $ 232,485 | $ 24,421 | $ 11,601 | ||
Paid-in capital | 373,605,441 | 29,205,207 | 15,197,685 | ||
Total distributable earnings | 81,515,999 | 3,912,756 | 1,144,854 | ||
Net Assets | $455,353,925 | $33,142,384 | $16,354,140 | ||
Institutional Class Shares: | |||||
Net assets | $443,840,388 | $33,142,384 | $16,354,140 | ||
Shares outstanding | 22,658,033 | 2,442,077 | 1,160,130 | ||
Net asset value, offering and redemption price per share | $ 19.59 | $ 13.57 | $ 14.10 | ||
Investor Class Shares: | |||||
Net assets | $ 11,513,537 | N/A | N/A | ||
Shares outstanding | 590,466 | N/A | N/A | ||
Net asset value, offering and redemption price per share | $ 19.50 | N/A | N/A | ||
1Non-affiliated investments, at cost | $191,028,673 | $29,651,481 | $14,571,384 | ||
2Includes market value of securities designated as collateral for swaps | $173,221,849 | $ — | $ — | ||
3Affiliated investments, at cost | $232,808,996 | $ — | $ — |
(a) | Primary risk exposure is equity contracts. |
Gotham Hedged Core Fund | Gotham ESG Large Value Fund | Gotham Defensive Long 500 Fund | |||
Assets | |||||
Non-affiliated investments, at value1,2 | $9,267,843 | $1,310,541 | $18,916,095 | ||
Swaps, at value(a) | — | — | 4,016,037 | ||
Cash and cash equivalents | 70,620 | 21,172 | 1,086,807 | ||
Due from broker | — | — | 570,001 | ||
Deposits with brokers for securities sold short | 7,255 | — | — | ||
Receivables: | |||||
Investments sold | 146,600 | 11,036 | 284,408 | ||
Dividends | 9,786 | 1,622 | 22,790 | ||
Prepaid expenses and other assets | — | — | 7,929 | ||
Total Assets | 9,502,104 | 1,344,371 | 24,904,067 | ||
Liabilities | |||||
Securities sold short, at value3 | 2,676,548 | — | — | ||
Obligation to return cash collateral on swap contracts (Note 1) | — | — | 4,760,000 | ||
Payables: | |||||
Investments purchased | 145,796 | 10,913 | 178,674 | ||
Investment adviser | 3,801 | 831 | 5,026 | ||
Dividends and fees on securities sold short | 2,513 | — | — | ||
Capital shares redeemed | — | — | 600 | ||
Administration and accounting fees | — | — | 9,243 | ||
Transfer agent fees | — | — | 514 | ||
Custodian fees | — | — | 1,026 | ||
Audit fees | — | — | 12,487 | ||
Shareholder reporting fees | — | — | 11,289 | ||
Accrued expenses | 840 | 73 | 5,954 | ||
Total Liabilities | 2,829,498 | 11,817 | 4,984,813 | ||
Net Assets | $6,672,606 | $1,332,554 | $19,919,254 | ||
Net Assets Consisted of: | |||||
Capital stock, $0.01 par value | $ 6,429 | $ 1,235 | $ 14,402 | ||
Paid-in capital | 6,307,177 | 1,283,858 | 19,400,059 | ||
Total distributable earnings | 359,000 | 47,461 | 504,793 | ||
Net Assets | $6,672,606 | $1,332,554 | $19,919,254 | ||
Institutional Class Shares: | |||||
Net assets | $6,672,606 | $1,332,554 | $19,919,254 | ||
Shares outstanding | 642,887 | 123,482 | 1,440,168 | ||
Net asset value, offering and redemption price per share | $ 10.38 | $ 10.79 | $ 13.83 | ||
1Non-affiliated investments, at cost | $8,411,461 | $1,243,281 | $17,208,536 | ||
2Includes market value of securities designated as collateral for swaps | $ — | $ — | $ 8,177,929 | ||
3Proceeds received, securities sold short | $2,905,242 | $ — | $ — |
(a) | Primary risk exposure is equity contracts. |
Gotham Total Return Fund | Gotham Enhanced 500 Plus Fund | Gotham Short Strategies Fund | |||
Assets | |||||
Non-affiliated investments, at value1,2 | $ — | $4,713,212 | $ 20,276,565 | ||
Affiliated investments, at value3 | 18,856,300 | — | — | ||
Cash and cash equivalents | 295,081 | 46,335 | 2,032,265 | ||
Cash pledged on swap contracts | — | — | 5,000 | ||
Due from broker | — | — | 15,987 | ||
Deposits with brokers for securities sold short | — | 20,747 | — | ||
Receivables: | |||||
Investments sold | — | 43,528 | 1,376,817 | ||
Capital shares sold | — | — | 819,959 | ||
Dividends | — | 4,924 | 11,656 | ||
Investment adviser | 23,190 | 8,272 | — | ||
Prepaid expenses and other assets | 9,607 | 219 | 660 | ||
Total Assets | 19,184,178 | 4,837,237 | 24,538,909 | ||
Liabilities | |||||
Securities sold short, at value4 | — | 1,392,667 | — | ||
Swaps, at value(a) | — | — | 466,479 | ||
Payables: | |||||
Audit fees | 11,817 | 11,234 | 13,110 | ||
Shareholder reporting fees | 8,504 | 6,661 | 6,750 | ||
Administration and accounting fees | 7,344 | 8,116 | 6,507 | ||
Transfer agent fees | 3,839 | 842 | 53 | ||
Custodian fees | 1,652 | 62 | 47 | ||
Capital shares redeemed | 7 | — | 903,310 | ||
Investments purchased | — | 42,954 | 225,740 | ||
Dividends and fees on securities sold short | — | 1,329 | — | ||
Investment adviser | — | — | 8,474 | ||
Accrued expenses | 1,627 | 4,959 | 4,626 | ||
Total Liabilities | 34,790 | 1,468,824 | 1,635,096 | ||
Net Assets | $19,149,388 | $3,368,413 | $ 22,903,813 | ||
Net Assets Consisted of: | |||||
Capital stock, $0.01 par value | $ 16,572 | $ 2,945 | $ 28,918 | ||
Paid-in capital | 18,696,579 | 3,071,336 | 39,220,313 | ||
Total distributable earnings/(loss) | 436,237 | 294,132 | (16,345,418) | ||
Net Assets | $19,149,388 | $3,368,413 | $ 22,903,813 | ||
Institutional Class Shares: | |||||
Net assets | $19,149,388 | $3,368,413 | $ 22,903,813 | ||
Shares outstanding | 1,657,204 | 294,451 | 2,891,839 | ||
Net asset value, offering and redemption price per share | $ 11.56 | $ 11.44 | $ 7.92 | ||
1Non-affiliated investments, at cost | $ — | $4,153,444 | $ 20,296,647 | ||
2Includes market value of securities designated as collateral for swaps | $ — | $ — | $ 15,316,084 | ||
3Affiliated investments, at cost | $19,235,876 | $ — | $ — | ||
4Proceeds received, securities sold short | $ — | $1,315,553 | $ — |
(a) | Primary risk exposure is equity contracts. |
Gotham Absolute Return Fund | Gotham Enhanced Return Fund | Gotham Neutral Fund | |||
Investment income | |||||
Dividends from non-affiliated investments | $ 3,238,739 | $ 199,939 | $ 312,229 | ||
Dividends from affiliated investments | — | 627,012 | — | ||
Interest | 16,222 | 13,934 | 4,267 | ||
Less: taxes withheld | (16,021) | (4,044) | (3,138) | ||
Total investment income | 3,238,940 | 836,841 | 313,358 | ||
Expenses | |||||
Advisory fees (Note 2) | 4,274,815 | 1,676,458 | 522,705 | ||
Transfer agent fees (Note 2) | 239,950 | 74,028 | 14,044 | ||
Administration and accounting fees (Note 2) | 107,964 | 71,991 | 55,394 | ||
Trustees’ and officers’ fees(Note 2) | 78,536 | 32,725 | 9,656 | ||
Legal fees | 53,542 | 33,111 | 14,825 | ||
Audit fees | 46,534 | 26,901 | 15,216 | ||
Custodian fees(Note 2) | 35,172 | 17,505 | 5,247 | ||
Registration and filing fees | 31,806 | 9,167 | 5,522 | ||
Shareholder reporting fees | 16,915 | 13,969 | 12,634 | ||
Other expenses | 18,980 | 10,105 | 5,601 | ||
Total expenses before recoupments, waivers and/or reimbursements | 4,904,214 | 1,965,960 | 660,844 | ||
Recoupments, waivers and/or reimbursements(Note 2) | (629,361) | (547,852) | (138,139) | ||
Net expenses after recoupments, waivers and/or reimbursements | 4,274,853 | 1,418,108 | 522,705 | ||
Net investment loss | (1,035,913) | (581,267) | (209,347) | ||
Net realized and unrealized gain/(loss) from investments: | |||||
Net realized gain/(loss) from non-affiliated investments | (2,352,769) | (3,466,386) | 1,214,402 | ||
Net realized gain/(loss) from swaps | 15,085,976 (a) | 10,753,229 (a) | (134,253) (a) | ||
Net realized gain from foreign currency transactions | 554 | 162 | 139 | ||
Net change in unrealized appreciation on non-affiliated investments | 92,073,682 | 28,308,082 | 10,102,962 | ||
Net change in unrealized appreciation on affiliated investments | — | 5,663,276 | — | ||
Net change in unrealized depreciation on swaps | (44,654,027) (a) | (9,884,166) (a) | (7,834,835) (a) | ||
Net change in unrealized depreciation on foreign currency translations | (1,136) | (239) | (225) | ||
Net realized and unrealized gain on investments | 60,152,280 | 31,373,958 | 3,348,190 | ||
Net increase in net assets resulting from operations | $ 59,116,367 | $ 30,792,691 | $ 3,138,843 |
(a) | Primary risk exposure is equity contracts. |
Gotham Index Plus Fund | Gotham Large Value Fund | Gotham Enhanced S&P 500 Index Fund | |||
Investment income | |||||
Dividends from non-affiliated investments | $ 356,106 | $ 535,939 | $ 149,007 | ||
Dividends from affiliated investments | 2,484,613 | — | — | ||
Interest | 4,338 | 1,594 | 935 | ||
Less: taxes withheld | (2,251) | (293) | (69) | ||
Total investment income | 2,842,806 | 537,240 | 149,873 | ||
Expenses | |||||
Advisory fees (Note 2) | 2,229,108 | 154,292 | 37,990 | ||
Transfer agent fees (Note 2) | 184,755 | 15,609 | — | ||
Administration and accounting fees (Note 2) | 71,766 | 10,955 | — | ||
Trustees’ and officers’ fees(Note 2) | 65,094 | 8,085 | — | ||
Legal fees | 52,464 | 16,059 | — | ||
Audit fees | 40,369 | 14,129 | — | ||
Custodian fees(Note 2) | 35,253 | 1,353 | — | ||
Registration and filing fees | 27,734 | 15,808 | — | ||
Shareholder reporting fees | 15,615 | 12,099 | — | ||
Distribution fees (Investor Class)(Note 2) | 14,211 | — | — | ||
Support services fees | — | — | 11,397 | ||
Other expenses | 60,281 | 5,467 | — | ||
Total expenses before recoupments, waivers and/or reimbursements | 2,796,650 | 253,856 | 49,387 | ||
Recoupments, waivers and/or reimbursements(Note 2) | (728,465) | (99,563) | (11,397) | ||
Net expenses after recoupments, waivers and/or reimbursements | 2,068,185 | 154,293 | 37,990 | ||
Net investment income | 774,621 | 382,947 | 111,883 | ||
Net realized and unrealized gain/(loss) from investments: | |||||
Net realized gain/(loss) from non-affiliated investments | (1,855,856) | 2,682,653 | 31,226 | ||
Net realized gain from swaps | 5,925,648 (a) | — | — | ||
Net change in unrealized appreciation on non-affiliated investments | 28,190,589 | 2,559,871 | 1,940,953 | ||
Net change in unrealized appreciation on affiliated investments | 26,101,019 | — | — | ||
Net change in unrealized appreciation on swaps | 1,378,122 (a) | — | — | ||
Net realized and unrealized gain on investments | 59,739,522 | 5,242,524 | 1,972,179 | ||
Net increase in net assets resulting from operations | $ 60,514,143 | $5,625,471 | $2,084,062 |
(a) | Primary risk exposure is equity contracts. |
Gotham Hedged Core Fund | Gotham ESG Large Value Fund | Gotham Defensive Long 500 Fund | |||
Investment income | |||||
Dividends from non-affiliated investments | $ 78,610 | $ 17,210 | $ 56,975 | ||
Interest | 354 | 163 | 4,895 | ||
Less: taxes withheld | (4) | (13) | (137) | ||
Total investment income | 78,960 | 17,360 | 61,733 | ||
Expenses | |||||
Dividends and fees on securities sold short (Note 1) | 30,852 | — | — | ||
Advisory fees (Note 2) | 23,404 | 5,094 | 129,853 | ||
Support services fees | 5,015 | — | — | ||
Administration and accounting fees (Note 2) | — | — | 16,828 | ||
Custodian fees(Note 2) | — | — | 1,928 | ||
Registration and filing fees | — | — | 12,461 | ||
Legal fees | — | — | 7,393 | ||
Audit fees | — | — | 11,968 | ||
Transfer agent fees (Note 2) | — | — | 4,628 | ||
Trustees’ and officers’ fees(Note 2) | — | — | 3,142 | ||
Shareholder reporting fees | — | — | 12,999 | ||
Other expenses | — | — | 4,487 | ||
Total expenses before recoupments, waivers and/or reimbursements | 59,271 | 5,094 | 205,687 | ||
Recoupments, waivers and/or reimbursements(Note 2) | — | — | (75,834) | ||
Net expenses after recoupments, waivers and/or reimbursements | 59,271 | 5,094 | 129,853 | ||
Net investment income/(loss) | 19,689 | 12,266 | (68,120) | ||
Net realized and unrealized gain/(loss) from investments: | |||||
Net realized gain from non-affiliated investments | 109,749 | 26,470 | 257,472 | ||
Net realized gain from securities sold short | 17,367 | — | — | ||
Net realized gain from swaps | — | — | 1,250,461 (a) | ||
Net change in unrealized appreciation on non-affiliated investments | 1,205,261 | 144,049 | 2,296,876 | ||
Net change in unrealized depreciation on securities sold short | (484,031) | — | — | ||
Net change in unrealized depreciation on swaps | — | — | (1,659,605) (a) | ||
Net realized and unrealized gain on investments | 848,346 | 170,519 | 2,145,204 | ||
Net increase in net assets resulting from operations | $ 868,035 | $182,785 | $ 2,077,084 |
(a) | Primary risk exposure is equity contracts. |
Gotham Total Return Fund | Gotham Enhanced 500 Plus Fund | Gotham Short Strategies Fund | |||
Investment income | |||||
Dividends from non-affiliated investments | $ — | $ 49,716 | $ 120,748 | ||
Dividends from affiliated investments | 154,041 | — | — | ||
Interest | 1,214 | 211 | 11,067 | ||
Less: taxes withheld | — | (35) | (1,127) | ||
Total investment income | 155,255 | 49,892 | 130,688 | ||
Expenses | |||||
Registration and filing fees | 21,604 | 391 | 9,929 | ||
Administration and accounting fees (Note 2) | 18,001 | 14,721 | 18,339 | ||
Transfer agent fees (Note 2) | 16,352 | 1,709 | 9,933 | ||
Audit fees | 11,817 | 10,617 | 11,250 | ||
Shareholder reporting fees | 10,887 | 9,595 | 10,700 | ||
Legal fees | 7,774 | 5,855 | 7,350 | ||
Custodian fees(Note 2) | 4,995 | 163 | 1,746 | ||
Trustees’ and officers’ fees(Note 2) | 3,694 | 483 | 2,463 | ||
Distribution fees (Investor Class) (Note 2) | 1,886 | — | — | ||
Advisory fees (Note 2) | — | 16,573 | 143,133 | ||
Dividends and fees on securities sold short (Note 1) | — | 16,857 | — | ||
Other expenses | 3,519 | 4,151 | 4,351 | ||
Total expenses before recoupments, waivers and/or reimbursements | 100,529 | 81,115 | 219,194 | ||
Recoupments, waivers and/or reimbursements(Note 2) | (98,643) | (45,200) | (76,061) | ||
Net expenses after recoupments, waivers and/or reimbursements | 1,886 | 35,915 | 143,133 | ||
Net investment income/(loss) | 153,369 | 13,977 | (12,445) | ||
Net realized and unrealized gain/(loss) from investments: | |||||
Net realized gain from non-affiliated investments | — | 87,956 | 962,679 | ||
Net realized gain from affiliated investments | 38,662 | — | — | ||
Net realized loss from securities sold short | — | (35,718) | — | ||
Net realized loss from swaps | — | — | (1,672,479) (a) | ||
Net realized gain from foreign currency transactions | — | — | 58 | ||
Distributions of realized gains from affiliated investments | 787,699 | — | — | ||
Net change in unrealized appreciation on non-affiliated investments | — | 567,411 | 1,656,329 | ||
Net change in unrealized appreciation on affiliated investments | 1,149,143 | — | — | ||
Net change in unrealized depreciation on securities sold short | — | (177,739) | — | ||
Net change in unrealized depreciation on swaps | — | — | (3,908,509) (a) | ||
Net change in unrealized depreciation on foreign currency translations | — | — | (179) | ||
Net realized and unrealized gain/(loss) on investments | 1,975,504 | 441,910 | (2,962,101) | ||
Net increase/(decrease) in net assets resulting from operations | $2,128,873 | $ 455,887 | $(2,974,546) |
(a) | Primary risk exposure is equity contracts. |
Gotham Absolute Return Fund | Gotham Enhanced Return Fund | ||||||
For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | ||||
Net increase/(decrease) in net assets from operations: | |||||||
Net investment loss | $ (1,035,913) | $ (1,190,430) | $ (581,267) | $ (904,246) | |||
Net realized gains from investments, swaps and foreign currency transactions | 12,733,761 | 12,758,516 | 7,287,005 | 13,316,242 | |||
Net change in unrealized appreciation/(depreciation) on investments, swaps and foreign currency translations | 47,418,519 | (26,779,532) | 24,086,953 | (31,625,857) | |||
Net increase/(decrease) in net assets resulting from operations | 59,116,367 | (15,211,446) | 30,792,691 | (19,213,861) | |||
Less dividends and distributions to shareholders from: | |||||||
Total distributable earnings: | |||||||
Institutional Class | — | — | (16,644,612) | (42,651,417) | |||
Net decrease in net assets from dividends and distributions to shareholders | — | — | (16,644,612) | (42,651,417) | |||
Increase/(decrease) in net assets derived from capital share transactions (Note 4) | (16,939,422) | 58,186,607 | 5,861,148 | 41,291,088 | |||
Total increase/(decrease) in net assets | 42,176,945 | 42,975,161 | 20,009,227 | (20,574,190) | |||
Net assets | |||||||
Beginning of period | 542,504,012 | 499,528,851 | 206,744,401 | 227,318,591 | |||
End of period | $584,680,957 | $542,504,012 | $226,753,628 | $206,744,401 |
Gotham Neutral Fund | Gotham Index Plus Fund | ||||||
For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | ||||
Net increase/(decrease) in net assets from operations: | |||||||
Net investment income/(loss) | $ (209,347) | $ (125,083) | $ 774,621 | $ 482,038 | |||
Net realized gains/(losses) from investments, swaps and foreign currency transactions | 1,080,288 | (1,663,171) | 4,069,792 | 60,445,405 | |||
Net change in unrealized appreciation/(depreciation) on investments, swaps and foreign currency translations | 2,267,902 | 6,148,762 | 55,669,730 | (105,613,966) | |||
Net increase/(decrease) in net assets resulting from operations | 3,138,843 | 4,360,508 | 60,514,143 | (44,686,523) | |||
Less dividends and distributions to shareholders from: | |||||||
Total distributable earnings: | |||||||
Institutional Class | — | — | (7,642,982) | (25,263,484) | |||
Investor Class | N/A | N/A | (201,731) | (667,869) | |||
Net decrease in net assets from dividends and distributions to shareholders | — | — | (7,844,713) | (25,931,353) | |||
Increase/(decrease) in net assets derived from capital share transactions (Note 4) | (756,861) | 22,605,588 | (2,505,872) | 18,381,542 | |||
Total increase/(decrease) in net assets | 2,381,982 | 26,966,096 | 50,163,558 | (52,236,334) | |||
Net assets | |||||||
Beginning of period | 67,134,286 | 40,168,190 | 405,190,367 | 457,426,701 | |||
End of period | $69,516,268 | $67,134,286 | $455,353,925 | $ 405,190,367 |
Gotham Large Value Fund | Gotham Enhanced S&P 500 Index Fund | ||||||
For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | ||||
Net increase/(decrease) in net assets from operations: | |||||||
Net investment income | $ 382,947 | $ 870,875 | $ 111,883 | $ 209,401 | |||
Net realized gains from investments | 2,682,653 | 5,214,634 | 31,226 | 743,921 | |||
Net change in unrealized appreciation/(depreciation) on investments | 2,559,871 | (9,279,017) | 1,940,953 | (2,761,378) | |||
Net increase/(decrease) in net assets resulting from operations | 5,625,471 | (3,193,508) | 2,084,062 | (1,808,056) | |||
Less dividends and distributions to shareholders from: | |||||||
Total distributable earnings: | |||||||
Institutional Class | (3,164,154) | (11,158,028) | (1,174,057) | (1,109,897) | |||
Net decrease in net assets from dividends and distributions to shareholders | (3,164,154) | (11,158,028) | (1,174,057) | (1,109,897) | |||
Increase/(decrease) in net assets derived from capital share transactions (Note 4) | (9,764,243) | (10,554,416) | 2,185,806 | 607,353 | |||
Total increase/(decrease) in net assets | (7,302,926) | (24,905,952) | 3,095,811 | (2,310,600) | |||
Net assets | |||||||
Beginning of period | 40,445,310 | 65,351,262 | 13,258,329 | 15,568,929 | |||
End of period | $33,142,384 | $ 40,445,310 | $16,354,140 | $13,258,329 |
Gotham Hedged Core Fund | Gotham ESG Large Value Fund | ||||||
For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | ||||
Net increase/(decrease) in net assets from operations: | |||||||
Net investment income | $ 19,689 | $ 63,172 | $ 12,266 | $ 21,435 | |||
Net realized gains from investments and securities sold short | 127,116 | 187,470 | 26,470 | 140,509 | |||
Net change in unrealized appreciation/(depreciation) on investments and securities sold short | 721,230 | (798,454) | 144,049 | (285,735) | |||
Net increase/(decrease) in net assets resulting from operations | 868,035 | (547,812) | 182,785 | (123,791) | |||
Less dividends and distributions to shareholders from: | |||||||
Total distributable earnings: | |||||||
Institutional Class | (524,367) | (1,449,183) | (162,610) | (278,911) | |||
Net decrease in net assets from dividends and distributions to shareholders | (524,367) | (1,449,183) | (162,610) | (278,911) | |||
Increase/(decrease) in net assets derived from capital share transactions (Note 4) | (117,039) | 266,282 | 57,790 | 148,086 | |||
Total increase/(decrease) in net assets | 226,629 | (1,730,713) | 77,965 | (254,616) | |||
Net assets | |||||||
Beginning of period | 6,445,977 | 8,176,690 | 1,254,589 | 1,509,205 | |||
End of period | $6,672,606 | $ 6,445,977 | $1,332,554 | $1,254,589 |
Gotham Defensive Long 500 Fund | Gotham Total Return Fund | ||||||
For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | ||||
Net increase/(decrease) in net assets from operations: | |||||||
Net investment income/(loss) | $ (68,120) | $ 56,038 | $ 153,369 | $ 231,674 | |||
Net realized gains from investments, swaps and capital gain distributions from affiliated investments | 1,507,933 | 4,213,598 | 826,361 | 1,919,543 | |||
Net change in unrealized appreciation/(depreciation) on investments and swaps | 637,271 | (3,822,849) | 1,149,143 | (3,675,580) | |||
Net increase/(decrease) in net assets resulting from operations | 2,077,084 | 446,787 | 2,128,873 | (1,524,363) | |||
Less dividends and distributions to shareholders from: | |||||||
Total distributable earnings: | |||||||
Institutional Class | (51,435) | (169,751) | (1,753,492) | (1,193,833) | |||
Investor Class* | N/A | N/A | (254,381) | (135,579) | |||
Net decrease in net assets from dividends and distributions to shareholders | (51,435) | (169,751) | (2,007,873) | (1,329,412) | |||
Increase/(decrease) in net assets derived from capital share transactions (Note 4) | 1,241,490 | (18,662,126) | (837,770) | (4,227,079) | |||
Total increase/(decrease) in net assets | 3,267,139 | (18,385,090) | (716,770) | (7,080,854) | |||
Net assets | |||||||
Beginning of period | 16,652,115 | 35,037,205 | 19,866,158 | 26,947,012 | |||
End of period | $19,919,254 | $ 16,652,115 | $19,149,388 | $19,866,158 |
* | Investor Class Shares were converted to Institutional Class Shares on January 30, 2023 (See Note 4). |
Gotham Enhanced 500 Plus Fund | Gotham Short Strategies Fund | ||||||
For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | ||||
Net increase/(decrease) in net assets from operations: | |||||||
Net investment income/(loss) | $ 13,977 | $ 26,133 | $ (12,445) | $ 5,782 | |||
Net realized gains/(losses) from investments, securities sold short, swaps and foreign currency transactions | 52,238 | 402,860 | (709,742) | 1,323,479 | |||
Net change in unrealized appreciation/(depreciation) on investments, securities sold short, swaps and foreign currency translations | 389,672 | (694,770) | (2,252,359) | 1,752,485 | |||
Net increase/(decrease) in net assets resulting from operations | 455,887 | (265,777) | (2,974,546) | 3,081,746 | |||
Less dividends and distributions to shareholders from: | |||||||
Total distributable earnings: | |||||||
Institutional Class | (436,510) | (411,225) | — | (46,504) | |||
Net decrease in net assets from dividends and distributions to shareholders | (436,510) | (411,225) | — | (46,504) | |||
Increase in net assets derived from capital share transactions (Note 4) | 242,860 | 227,069 | 7,139,176 | 14,183,842 | |||
Total increase/(decrease) in net assets | 262,237 | (449,933) | 4,164,630 | 17,219,084 | |||
Net assets | |||||||
Beginning of period | 3,106,176 | 3,556,109 | 18,739,183 | 1,520,099 | |||
End of period | $3,368,413 | $3,106,176 | $22,903,813 | $18,739,183 |
Gotham Hedged Core Fund | Gotham Enhanced 500 Plus Fund | ||
Cash flows from operating activities: | |||
Net increase in net assets resulting from operations | $ 868,035 | $ 455,887 | |
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities: | |||
Purchases of long-term portfolio investments | (10,000,409) | (4,032,538) | |
Proceeds from disposition of long-term portfolio investments | 10,931,206 | 4,303,458 | |
Purchases to cover securities sold short | (5,706,723) | (1,681,148) | |
Proceeds from securities sold short | 5,350,647 | 1,580,216 | |
Net realized gain on investments and investments sold short | (127,116) | (52,238) | |
Net change in unrealized appreciation/(depreciation) on investments and investments sold short | (721,230) | (389,672) | |
Return of capital received from real estate investment trusts | 5,185 | 954 | |
Decrease in receivable for investments sold | 54,492 | 36,311 | |
Increase/(decrease) in dividends and interest receivable | (3,158) | 80 | |
Increase in receivable from investment adviser | — | (6,885) | |
Increase in prepaid expenses and other assets | — | (213) | |
Decrease in payable for investments purchased | (55,234) | (36,549) | |
Decrease in payable for dividends and fees on securities sold short | (91) | (195) | |
Decrease in payable to investment adviser | (212) | — | |
Decrease in accrued expense payable | (31) | (7,306) | |
Net cash provided by operating activities | 595,361 | 170,162 | |
Cash flows from financing activities: | |||
Proceeds from shares sold | 1,941 | 9,500 | |
Payment of shares redeemed | (643,347) | (203,150) | |
Net cash used in financing activities | (641,406) | (193,650) | |
Net decrease in cash and restricted cash | (46,045) | (23,488) | |
Cash and restricted cash: | |||
Beginning of period | $ 123,920 | $ 90,570 | |
End of period | $ 77,875 | $ 67,082 | |
Reconciliation of restricted and unrestricted cash at the beginning of the period to the statements of assets and liabilities: | |||
Cash | $ 30,374 | $ 47,084 | |
Restricted Cash | $ 93,546 | $ 43,486 | |
Reconciliation of restricted and unrestricted cash at the end of the period to the statements of assets and liabilities: | |||
Cash | $ 70,620 | $ 46,335 | |
Restricted Cash | $ 7,255 | $ 20,747 | |
Supplemental disclosure of cash flow information: | |||
Cash received during the period for financing charges | $ 9,260 | $ 4,049 |
Institutional Class Shares | |||||||||||
For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | 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 | ||||||
Per Share Operating Performance | |||||||||||
Net asset value, beginning of period | $ 16.37 | $ 16.73 | $ 14.39 | $ 15.01 | $ 14.86 | $ 13.94 | |||||
Net investment loss(1) | (0.03) | (0.04) | (0.06) | (0.06) | (0.00) (2) | (0.09) | |||||
Net realized and unrealized gain/(loss) on investments | 1.85 | (0.32) | 2.40 | (0.56) | 0.15 | 1.01 | |||||
Total from investment operations | 1.82 | (0.36) | 2.34 | (0.62) | 0.15 | 0.92 | |||||
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 | $ 18.19 | $ 16.37 | $ 16.73 | $ 14.39 | $ 15.01 | $ 14.86 | |||||
Total investment return(4) | 11.12% | (2.15)% | 16.26% | (4.13)% | 1.01% | 6.60% | |||||
Ratios/Supplemental Data | |||||||||||
Net assets, end of period (in 000s) | $584,681 | $542,504 | $499,529 | $505,989 | $857,247 | $1,069,045 | |||||
Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any (including dividend and interest expense) | 1.50% (5) | 1.50% | 1.50% | 2.55% (6) | 2.58% (6) | 2.56% (6) | |||||
Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(7) | 1.72% (5) | 1.74% | 1.77% | 2.65% (6) | 2.60% (6) | 2.63% (6) | |||||
Ratio of net investment loss to average net assets (including dividend and interest expense) | (0.36)% (5) | (0.21)% | (0.39)% | (0.39)% | (0.02)% (8) | (0.58)% | |||||
Portfolio turnover rate | 137% (9) | 284% | 210% | 259% | 233% | 258% |
(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 reinvestment of dividends and distributions, if any. |
(5) | Annualized. |
(6) | 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%, and 2.15% for the years ended September 30, 2020, 2019, and 2018, respectively. |
(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. |
Institutional Class Shares | |||||||||||
For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | 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 | ||||||
Per Share Operating Performance | |||||||||||
Net asset value, beginning of period | $ 9.90 | $ 12.92 | $ 10.21 | $ 14.51 | $ 15.55 | $ 13.68 | |||||
Net investment loss(1) | (0.03) | (0.04) | (0.04) | (0.04) | (0.08) | (0.13) | |||||
Net realized and unrealized gain/(loss) on investments | 1.52 | (0.58) | 2.77 | (0.48) | 0.26 | 2.14 | |||||
Total from investment operations | 1.49 | (0.62) | 2.73 | (0.52) | 0.18 | 2.01 | |||||
Dividends and distributions to shareholders from: | |||||||||||
Net investment income | — | — | (0.02) | — | — | — | |||||
Net realized capital gains | (0.81) | (2.40) | — | (3.78) | (1.22) | (0.14) | |||||
Total dividends and distributions to shareholders | (0.81) | (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 | $ 10.58 | $ 9.90 | $ 12.92 | $ 10.21 | $ 14.51 | $ 15.55 | |||||
Total investment return(3) | 15.19% | (8.04)% | 26.73% | (6.81)% | 1.79% | 14.79% | |||||
Ratios/Supplemental Data | |||||||||||
Net assets, end of period (in 000s) | $226,754 | $206,744 | $227,319 | $236,725 | $519,067 | $845,833 | |||||
Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any (including dividend and interest expense) | 1.27% (4) | 1.50% | 1.50% | 2.12% (5) | 3.56% (5) | 3.63% (5) | |||||
Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(6) | 1.76% (4) | 1.76% | 1.79% | 2.22% (5) | 3.56% (5) | 3.67% (5) | |||||
Ratio of net investment loss to average net assets (including dividend and interest expense) | (0.52)% (4) | (0.38)% | (0.36)% | (0.37)% | (0.56)% | (0.84)% | |||||
Portfolio turnover rate | 121% (7) | 288% (8) | 203% | 213% | 204% | 197% |
(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) | 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% and 2.15% for years ended September 30, 2020, 2019 and 2018, respectively. |
(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. |
Institutional Class Shares | |||||||||||
For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | 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 | ||||||
Per Share Operating Performance | |||||||||||
Net asset value, beginning of period | $ 10.34 | $ 9.32 | $ 9.19 | $ 10.35 | $ 10.25 | $ 10.23 | |||||
Net investment income/(loss)(1) | (0.03) | (0.02) | (0.05) | (0.09) | 0.01 | (0.09) | |||||
Net realized and unrealized gain/(loss) on investments | 0.52 | 1.04 | 0.18 | (1.07) | 0.09 | 0.11 | |||||
Total from investment operations | 0.49 | 1.02 | 0.13 | (1.16) | 0.10 | 0.02 | |||||
Redemption fees | — | 0.00 (2) | 0.00 (2) | 0.00 (2) | 0.00 (2) | 0.00 (2) | |||||
Net asset value, end of period | $ 10.83 | $ 10.34 | $ 9.32 | $ 9.19 | $ 10.35 | $ 10.25 | |||||
Total investment return(3) | 4.74% | 10.94% | 1.42% | (11.21)% | 0.98% | 0.20% | |||||
Ratios/Supplemental Data | |||||||||||
Net assets, end of period (in 000s) | $69,516 | $67,134 | $40,168 | $55,675 | $181,413 | $356,672 | |||||
Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any (including dividend and interest expense) | 1.50% (4) | 1.50% | 1.50% | 2.79% (5) | 2.34% (5) | 2.61% (5) | |||||
Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(6) | 1.90% (4) | 1.94% | 2.07% | 2.90% (5) | 2.33% (5) | 2.73% (5) | |||||
Ratio of net investment income/(loss) to average net assets (including dividend and interest expense) | (0.60)% (4) | (0.23)% | (0.53)% | (0.95)% | 0.11% (7) | (0.87)% | |||||
Portfolio turnover rate | 206% (8) | 408% | 282% | 356% | 331% | 274% |
(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) | 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%, and 2.15% for the years ended September 30, 2020, 2019, and 2018, respectively. |
(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. |
Institutional Class Shares | |||||||||||
For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | 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 | ||||||
Per Share Operating Performance | |||||||||||
Net asset value, beginning of period | $ 17.33 | $ 20.30 | $ 16.19 | $ 15.18 | $ 15.73 | $ 13.00 | |||||
Net investment income(1) | 0.03 | 0.02 | 0.10 | 0.14 | 0.13 | 0.10 | |||||
Net realized and unrealized gain/(loss) on investments | 2.57 | (1.84) | 4.19 | 1.09 | (0.39) | 2.68 | |||||
Total from investment operations | 2.60 | (1.82) | 4.29 | 1.23 | (0.26) | 2.78 | |||||
Dividends and distributions to shareholders from: | |||||||||||
Net investment income | — | (0.10) | (0.18) | (0.22) | (0.06) | (0.05) | |||||
Net realized capital gains | (0.34) | (1.05) | — | — | (0.23) | — | |||||
Total dividends and distributions to shareholders | (0.34) | (1.15) | (0.18) | (0.22) | (0.29) | (0.05) | |||||
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 | $ 19.59 | $ 17.33 | $ 20.30 | $ 16.19 | $ 15.18 | $ 15.73 | |||||
Total investment return(3) | 15.05% | (9.97)% | 26.76% | 8.14% | (1.57)% | 21.45% | |||||
Ratios/Supplemental Data | |||||||||||
Net assets, end of period (in 000s) | $443,840 | $394,850 | $444,756 | $394,773 | $647,415 | $631,060 | |||||
Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any (including dividend and interest expense) | 0.92% (4) | 0.96% | 1.13% | 1.17% (5) | 2.99% (5) | 3.39% (5) | |||||
Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(6) | 1.25% (4) | 1.04% | 1.22% | 1.25% (5) | 3.04% (5) | 3.39% (5) | |||||
Ratio of net investment income to average net assets (including dividend and interest expense) | 0.35% (4) | 0.11% | 0.55% | 0.89% | 0.89% | 0.69% | |||||
Portfolio turnover rate | 63% (7) | 169% (8) | 158% (8) | 224% | 253% | 218% |
(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) | 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% and 1.15% for the years ended September 30, 2020, 2019 and 2018, respectively. |
(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. |
Investor Class Shares | |||||||||||
For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | 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 | $ 17.28 | $ 20.23 | $ 16.15 | $ 15.13 | $ 15.70 | $ 14.48 | |||||
Net investment income/(loss)(1) | 0.01 | (0.03) | 0.06 | 0.10 | (0.06) | 0.05 | |||||
Net realized and unrealized gain/(loss) on investments | 2.55 | (1.82) | 4.16 | 1.10 | (0.24) | 1.17 | |||||
Total from investment operations | 2.56 | (1.85) | 4.22 | 1.20 | (0.30) | 1.22 | |||||
Dividends and distributions to shareholders from: | |||||||||||
Net investment income | — | (0.05) | (0.14) | (0.18) | (0.04) | — | |||||
Net realized capital gains | (0.34) | (1.05) | — | — | (0.23) | — | |||||
Total dividends and distributions to shareholders | (0.34) | (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) | 0.00 (2) | |||||
Net asset value, end of period | $ 19.50 | $ 17.28 | $ 20.23 | $ 16.15 | $ 15.13 | $ 15.70 | |||||
Total investment return(3) | 14.86% | (10.13)% | 26.33% | 7.94% | (1.82)% | 8.43% | |||||
Ratios/Supplemental Data | |||||||||||
Net assets, end of period (in 000s) | $11,514 | $10,340 | $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) | 1.17% (4) | 1.21% | 1.38% | 1.42% (5) | 4.28% (5) | 3.64% (4)(5) | |||||
Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(6) | 1.50% (4) | 1.30% | 1.47% | 1.50% (5) | 4.34% (5) | 3.64% (4)(5) | |||||
Ratio of net investment income/(loss) to average net assets (including dividend and interest expense) | 0.10% (4) | (0.14)% | 0.30% | 0.64% | (0.40)% | 0.49% (4) | |||||
Portfolio turnover rate | 63% (7) | 169% (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) | 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 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. |
(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. |
Institutional Class Shares | |||||||||||
For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | 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 | ||||||
Per Share Operating Performance | |||||||||||
Net asset value, beginning of period | $ 12.80 | $ 16.71 | $ 12.98 | $ 13.29 | $ 13.02 | $ 12.46 | |||||
Net investment income(1) | 0.13 | 0.23 | 0.20 | 0.25 | 0.20 | 0.14 | |||||
Net realized and unrealized gain/(loss) on investments | 1.66 | (1.27) | 3.76 | (0.22) | 0.18 | 2.03 | |||||
Total from investment operations | 1.79 | (1.04) | 3.96 | 0.03 | 0.38 | 2.17 | |||||
Dividends and distributions to shareholders from: | |||||||||||
Net investment income | (0.14) | (0.25) | (0.23) | (0.23) | (0.01) | (0.28) | |||||
Net realized capital gains | (0.88) | (2.62) | — | (0.11) | (0.10) | (1.33) | |||||
Total dividends and distributions to shareholders | (1.02) | (2.87) | (0.23) | (0.34) | (0.11) | (1.61) | |||||
Redemption fees | 0.00 (2) | 0.00 (2) | — | 0.00 (2) | — | — | |||||
Net asset value, end of period | $ 13.57 | $ 12.80 | $ 16.71 | $ 12.98 | $ 13.29 | $ 13.02 | |||||
Total investment return(3) | 13.95% | (8.83)% | 30.83% | 0.04% | 3.11% | 18.93% | |||||
Ratios/Supplemental Data | |||||||||||
Net assets, end of period (in 000s) | $33,142 | $40,445 | $65,351 | $70,003 | $58,978 | $31,318 | |||||
Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any | 0.75% (4) | 0.75% | 0.75% | 0.75% | 0.75% | 0.88% | |||||
Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(5) | 1.23% (4) | 1.09% | 1.05% | 1.03% | 1.05% | 2.19% | |||||
Ratio of net investment income to average net assets | 1.86% (4) | 1.50% | 1.29% | 1.95% | 1.61% | 1.12% | |||||
Portfolio turnover rate | 107% (6) | 290% | 226% | 406% | 316% | 670% |
(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. |
Institutional Class Shares | |||||||||||
For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | 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 | ||||||
Per Share Operating Performance | |||||||||||
Net asset value, beginning of period | $ 13.20 | $ 16.07 | $ 12.86 | $ 11.93 | $ 13.70 | $ 11.53 | |||||
Net investment income(1) | 0.10 | 0.20 | 0.17 | 0.21 | 0.19 | 0.20 | |||||
Net realized and unrealized gain/(loss) on investments | 1.90 | (1.96) | 3.17 | 1.14 | 0.03 | 2.39 | |||||
Total from investment operations | 2.00 | (1.76) | 3.34 | 1.35 | 0.22 | 2.59 | |||||
Dividends and distributions to shareholders from: | |||||||||||
Net investment income | (0.11) | (0.17) | (0.13) | (0.15) | (0.21) | (0.16) | |||||
Net realized capital gains | (0.99) | (0.94) | — | (0.27) | (1.78) | (0.26) | |||||
Total dividends and distributions to shareholders | (1.10) | (1.11) | (0.13) | (0.42) | (1.99) | (0.42) | |||||
Redemption fees | 0.00 (2) | 0.00 (2) | 0.00 (2) | 0.00 (2) | 0.00 (2) | — | |||||
Net asset value, end of period | $ 14.10 | $ 13.20 | $ 16.07 | $ 12.86 | $ 11.93 | $ 13.70 | |||||
Total investment return(3) | 15.56% | (12.25)% | 26.17% | 11.53% | 3.46% | 22.97% | |||||
Ratios/Supplemental Data | |||||||||||
Net assets, end of period (in 000s) | $16,354 | $13,258 | $15,569 | $ 6,346 | $ 6,635 | $ 3,529 | |||||
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% | |||||
Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(5) | 0.65% (4) | 0.65% | 1.12% | 2.13% | 3.20% | 2.55% | |||||
Ratio of net investment income to average net assets | 1.47% (4) | 1.31% | 1.14% | 1.75% | 1.65% | 1.59% | |||||
Portfolio turnover rate | 85% (6) | 193% | 178% | 345% | 328% | 230% |
(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. |
Institutional Class Shares | |||||||||||
For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | 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 | ||||||
Per Share Operating Performance | |||||||||||
Net asset value, beginning of period | $ 9.84 | $ 12.88 | $ 11.33 | $ 11.16 | $ 12.61 | $ 11.34 | |||||
Net investment income(1) | 0.03 | 0.09 | 0.13 | 0.13 | 0.14 | 0.11 | |||||
Net realized and unrealized gain/(loss) on investments | 1.31 | (0.84) | 1.51 | 0.70 | (0.11) | 1.35 | |||||
Total from investment operations | 1.34 | (0.75) | 1.64 | 0.83 | 0.03 | 1.46 | |||||
Dividends and distributions to shareholders from: | |||||||||||
Net investment income | (0.07) | (0.17) | (0.07) | (0.17) | (0.07) | (0.18) | |||||
Net realized capital gains | (0.73) | (2.12) | (0.02) | (0.49) | (1.41) | (0.01) | |||||
Total dividends and distributions to shareholders | (0.80) | (2.29) | (0.09) | (0.66) | (1.48) | (0.19) | |||||
Redemption fees | — | — | 0.00 (2) | — | — | — | |||||
Net asset value, end of period | $ 10.38 | $ 9.84 | $ 12.88 | $ 11.33 | $ 11.16 | $ 12.61 | |||||
Total investment return(3) | 13.71% | (8.37)% | 14.56% | 7.59% | 0.86% | 12.93% | |||||
Ratios/Supplemental Data | |||||||||||
Net assets, end of period (in 000s) | $ 6,673 | $ 6,446 | $ 8,177 | $ 8,804 | $ 2,582 | $ 2,561 | |||||
Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any (including dividend and interest expense)(4) | 1.77% (5) | 1.71% | 1.66% | 1.52% | 1.00% | 1.16% | |||||
Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(4) | 1.77% (5) | 1.71% | 2.10% (6) | 3.47% (6) | 4.05% (6) | 3.85% (6) | |||||
Ratio of net investment income to average net assets (including dividend and interest expense) | 0.59% (5) | 0.78% | 1.07% | 1.20% | 1.29% | 0.91% | |||||
Portfolio turnover rate | 108% (7) | 218% | 205% | 267% | 228% | 221% |
(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. Total investment return does not reflect any applicable sales charge. |
(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, 2023 and the years ended September 30, 2022, 2021, 2020, 2019, and 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. |
Institutional Class Shares | |||||||||
For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | 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 | $ 10.61 | $ 14.16 | $ 11.27 | $ 12.18 | $10.00 | ||||
Net investment income(1) | 0.10 | 0.18 | 0.15 | 0.20 | 0.13 | ||||
Net realized and unrealized gain/(loss) on investments | 1.46 | (1.12) | 3.33 | (0.16) | 2.05 | ||||
Total from investment operations | 1.56 | (0.94) | 3.48 | 0.04 | 2.18 | ||||
Dividends and distributions to shareholders from: | |||||||||
Net investment income | (0.12) | (0.20) | (0.13) | (0.18) | — | ||||
Net realized capital gains | (1.26) | (2.41) | (0.46) | (0.77) | — | ||||
Total dividends and distributions to shareholders | (1.38) | (2.61) | (0.59) | (0.95) | — | ||||
Redemption fees | — | — | — | — | — | ||||
Net asset value, end of period | $ 10.79 | $ 10.61 | $ 14.16 | $ 11.27 | $12.18 | ||||
Total investment return(2) | 14.53% | (9.72)% | 31.82% | (0.17)% | 21.80% | ||||
Ratios/Supplemental Data | |||||||||
Net assets, end of period (in 000s) | $ 1,333 | $ 1,255 | $ 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% | 0.75% (3) | ||||
Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any | 0.75% (3) | 0.75% | 2.85% (4) | 6.46% (4) | 6.59% (3)(4) | ||||
Ratio of net investment income to average net assets | 1.81% (3) | 1.47% | 1.16% | 1.74% | 1.49% (3) | ||||
Portfolio turnover rate | 91% (5) | 253% | 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. |
Institutional Class Shares | |||||||||||
For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | 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 | ||||||
Per Share Operating Performance | |||||||||||
Net asset value, beginning of period | $ 12.35 | $ 12.87 | $ 11.98 | $ 13.20 | $ 13.78 | $ 11.71 | |||||
Net investment income/(loss)(1) | (0.05) | 0.03 | 0.06 | 0.14 | 0.13 | 0.09 | |||||
Net realized and unrealized gain/(loss) on investments | 1.57 | (0.46) | 0.96 | (1.17) | 0.32 | 2.06 | |||||
Total from investment operations | 1.52 | (0.43) | 1.02 | (1.03) | 0.45 | 2.15 | |||||
Dividends and distributions to shareholders from: | |||||||||||
Net investment income | (0.04) | (0.09) | (0.13) | (0.08) | (0.07) | (0.08) | |||||
Net realized capital gains | — | — | — | (0.11) | (0.96) | — | |||||
Total dividends and distributions to shareholders | (0.04) | (0.09) | (0.13) | (0.19) | (1.03) | (0.08) | |||||
Redemption fees | — | — | — | 0.00 (2) | — | — | |||||
Net asset value, end of period | $ 13.83 | $ 12.35 | $ 12.87 | $ 11.98 | $ 13.20 | $ 13.78 | |||||
Total investment return(3) | 12.27% | (3.41)% | 8.65% | (7.95)% | 3.71% | 18.42% | |||||
Ratios/Supplemental Data | |||||||||||
Net assets, end of period (in 000s) | $19,919 | $16,652 | $35,037 | $54,675 | $59,368 | $11,031 | |||||
Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any (including dividend and interest expense) | 1.35% (4) | 1.35% | 1.35% | 1.35% | 3.21% (5) | 3.51% (5) | |||||
Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(6) | 2.14% (4) | 1.96% | 1.78% | 1.66% | 3.81% (5) | 4.08% (5) | |||||
Ratio of net investment income/(loss) to average net assets (including dividend and interest expense) | (0.71)% (4) | 0.23% | 0.51% | 1.11% | 1.03% | 0.73% | |||||
Portfolio turnover rate | 114% (7) | 227% | 163% | 294% | 429% | 220% |
(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) | 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% and 1.50% for the years ended September 30, 2019 and 2018, respectively. |
(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. |
Institutional Class Shares* | |||||||||||
For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | 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 | ||||||
Per Share Operating Performance | |||||||||||
Net asset value, beginning of period | $ 11.45 | $ 13.03 | $ 11.70 | $ 13.28 | $ 13.38 | $ 11.60 | |||||
Net investment income(1) | 0.10 | 0.11 | 0.08 | 0.11 | 0.05 | 0.03 | |||||
Net realized and unrealized gain/(loss) on investments | 1.18 | (1.04) | 1.33 | (0.91) | 0.03 | 1.80 | |||||
Total from investment operations | 1.28 | (0.93) | 1.41 | (0.80) | 0.08 | 1.83 | |||||
Dividends and distributions to shareholders from: | |||||||||||
Net investment income | (0.07) | (0.13) | (0.08) | (0.11) | (0.05) | (0.04) | |||||
Net realized capital gains | (1.10) | (0.52) | (0.00) (2) | (0.67) | (0.13) | (0.01) | |||||
Total dividends and distributions to shareholders | (1.17) | (0.65) | (0.08) | (0.78) | (0.18) | (0.05) | |||||
Redemption fees | 0.00 (3) | — | 0.00 (3) | 0.00 (3) | 0.00 (3) | — | |||||
Net asset value, end of period | $ 11.56 | $ 11.45 | $ 13.03 | $ 11.70 | $ 13.28 | $ 13.38 | |||||
Total investment return(4) | 11.06% | (7.87)% | 12.17% | (6.54)% | 0.67% | 15.73% | |||||
Ratios/Supplemental Data | |||||||||||
Net assets, end of period (in 000s) | $19,149 | $17,280 | $23,987 | $25,967 | $32,167 | $26,218 | |||||
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% | 0.00% | |||||
Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(6) | 0.99% (5) | 0.72% | 0.66% | 0.59% | 0.69% | 0.51% | |||||
Ratio of net investment income to average net assets | 1.67% (5) | 0.87% | 0.68% | 0.94% | 0.35% | 0.27% | |||||
Portfolio turnover rate | 34% (7) | 9% | 85% | 55% | 3% | 1% |
* | Investor Class Shares were converted to Institutional Class Shares on January 30, 2023 (See Note 4). |
(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. |
Institutional Class Shares | |||||||||||
For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | 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 | ||||||
Per Share Operating Performance | |||||||||||
Net asset value, beginning of period | $ 11.40 | $ 13.91 | $ 11.47 | $ 11.86 | $ 13.99 | $ 11.86 | |||||
Net investment income(1) | 0.05 | 0.10 | 0.07 | 0.13 | 0.10 | 0.13 | |||||
Net realized and unrealized gain/(loss) on investments | 1.59 | (1.00) | 2.50 | 0.47 | 0.07 | 2.20 | |||||
Total from investment operations | 1.64 | (0.90) | 2.57 | 0.60 | 0.17 | 2.33 | |||||
Dividends and distributions to shareholders from: | |||||||||||
Net investment income | (0.07) | (0.07) | (0.13) | (0.14) | (0.12) | (0.16) | |||||
Net realized capital gains | (1.53) | (1.54) | — | (0.85) | (2.18) | (0.04) | |||||
Total dividends and distributions to shareholders | (1.60) | (1.61) | (0.13) | (0.99) | (2.30) | (0.20) | |||||
Redemption fees | — | — | — | — | — | — | |||||
Net asset value, end of period | $ 11.44 | $ 11.40 | $ 13.91 | $ 11.47 | $ 11.86 | $ 13.99 | |||||
Total investment return(2) | 14.87% | (8.30)% | 22.56% | 4.95% | 2.78% | 19.86% | |||||
Ratios/Supplemental Data | |||||||||||
Net assets, end of period (in 000s) | $ 3,368 | $ 3,106 | $ 3,556 | $ 2,891 | $ 2,960 | $ 2,881 | |||||
Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any(3) | 2.17% (4) | 2.12% | 2.06% | 2.21% | 2.20% | 2.10% | |||||
Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(3)(5) | 4.89% (4) | 4.44% | 4.70% | 5.04% | 5.23% | 4.24% | |||||
Ratio of net investment income to average net assets | 0.84% (4) | 0.73% | 0.50% | 1.15% | 0.90% | 0.97% | |||||
Portfolio turnover rate | 87% (6) | 191% | 140% | 263% | 274% | 224% |
(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, 2023 and years ended September 30, 2022, 2021, 2020, 2019 and 2018 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. |
Institutional Class Shares | |||||||||||
For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | 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 | ||||||
Per Share Operating Performance | |||||||||||
Net asset value, beginning of period | $ 9.02 | $ 5.90 | $ 7.42 | $ 8.78 | $ 9.05 | $ 10.07 | |||||
Net investment income/(loss)(1) | (0.00) (2) | 0.01 | (0.02) | 0.01 | 0.03 | (0.03) | |||||
Net realized and unrealized gain/(loss) on investments | (1.10) | 3.22 | (1.50) | (1.35) | (0.09) | (0.97) | |||||
Total from investment operations | (1.10) | 3.23 | (1.52) | (1.34) | (0.06) | (1.00) | |||||
Dividends and distributions to shareholders from: | |||||||||||
Net investment income | — | (0.12) | (0.00) (2) | (0.02) | — | (0.02) | |||||
Net realized capital gains | — | — | — | — | (0.21) | — | |||||
Return of capital | — | — | — | (0.00) (2) | — | — | |||||
Total dividends and distributions to shareholders | — | (0.12) | (0.00) (2) | (0.02) | (0.21) | (0.02) | |||||
Redemption fees | 0.00 (3) | 0.01 | 0.00 (3) | 0.00 (3) | 0.00 (3) | — | |||||
Net asset value, end of period | $ 7.92 | $ 9.02 | $ 5.90 | $ 7.42 | $ 8.78 | $ 9.05 | |||||
Total investment return(4) | (12.20)% | 55.96% | (20.47)% | (15.27)% | (0.81)% | (9.90)% | |||||
Ratios/Supplemental Data | |||||||||||
Net assets, end of period (in 000s) | $22,904 | $18,739 | $ 1,520 | $37,619 | $32,076 | $ 1,591 | |||||
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% | |||||
Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(6) | 2.07% (5) | 3.52% | 2.92% | 1.88% | 2.20% | 2.49% | |||||
Ratio of net investment income/(loss) to average net assets | (0.12)% (5) | 0.09% | (0.25)% | 0.12% | 0.39% | (0.30)% | |||||
Portfolio turnover rate | 397% (7) | 717% | 459% | 692% | 616% | 591% |
(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. |
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 |
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 Short Strategies Fund ("Short Strategies") | July 31, 2017 |
Value of Securities Sold Short | Securities Pledged as Collateral | Deposits with Brokers for Securities Sold Short | |||
Hedged Core | $2,676,548 | $5,272,422 | $ 7,255 | ||
Enhanced 500 Plus | 1,392,667 | 3,504,579 | 20,747 |
Dividends on Securities Sold Short | Rebate (Income)/Fees | ||
Hedged Core | $21,592 | $(51,548) | |
Enhanced 500 Plus | 12,807 | (26,643) |
Short Sales (Deposits) Proceeds | Financing Charges | ||
Hedged Core | $2,644,273 | $60,808 | |
Enhanced 500 Plus | 1,354,855 | 30,693 |
Notional Amount | |
Absolute Return | $(276,375,130) |
Enhanced Return | (35,632,172) |
Neutral | (61,663,382) |
Index Plus | (66,636,613) |
Defensive Long 500 | (4,073,603) |
Short Strategies | (29,125,278) |
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 | $56,161,953 | $— | $56,161,953 | $— | $(37,400,000) | $18,761,953 | |||||
Enhanced Return | 39,083,918 | — | 39,083,918 | — | (35,900,000) | 3,183,918 | |||||
Neutral | 9,278,143 | — | 9,278,143 | — | (8,500,000) | 778,143 | |||||
Index Plus | 98,840,719 | — | 98,840,719 | — | (87,000,000) | 11,840,719 | |||||
Defensive Long 500 | 4,016,037 | — | 4,016,037 | — | (4,016,037) | — | |||||
Short Strategies | (466,479) | — | (466,479) | — | 5,000 | (461,479) | |||||
* | 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. |
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(2) | 0.50% |
Hedged Core(2) | 0.70% |
ESG Large Value(3) | 0.75% |
Defensive Long 500 | 1.35% |
Total Return(4) | — |
Enhanced 500 Plus | 1.00% |
Short Strategies | 1.35% |
(1) | Gotham has contractually agreed to reduce the Fund's annual investment advisory fee by the dollar amount of "total annual fund operating expenses after fee waivers" 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 is calculated based on the Fund's average daily assets invested in an underlying fund and the "total annual fund operating expenses after fee waivers" disclosed in such underlying fund's "Annual Fund Operating Expenses" table in the summary section of an underlying fund's currently effective prospectus. The effect of the reduction is intended to provide that Gotham's aggregate direct and indirect compensation from the Fund and any underlying fund, respectively, does not exceed the annual investment advisory fee paid by the Fund, as shown in the table. |
(2) | Enhanced S&P 500 Index and Hedged Core, respectively, entered into a Support, Service and Fee Assumption Agreement (“Agreement”) with Gotham, whereby Gotham will assume and undertake to pay substantially all Fund expenses, except investment advisory fees. Under the Agreement, Gotham is entitled to a fee, computed daily and payable monthly, equal to the lesser of (i) the annualized rate of 0.15% of the Fund’s average daily net assets, or (ii) the actual amount of Gotham’s payment obligation under the Agreement. |
(3) | 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. |
(4) | For Total Return (the “Fund”), Gotham is not entitled to receive an investment advisory fee on assets invested in investment companies advised or sub-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. |
Institutional Class | Investor Class | Termination Date | |||
Absolute Return | 0.00% | N/A | January 31, 2024 | ||
Enhanced Return | 0.00% | N/A | January 31, 2024 | ||
Neutral | 1.50% | N/A | January 31, 2024 | ||
Index Plus | 0.15% | 0.15% | January 31, 2024 | ||
Large Value | 0.75% | N/A | January 31, 2024 | ||
Enhanced S&P 500 Index | 0.00% | N/A | January 31, 2024 | ||
Hedged Core | 0.85% | N/A | January 31, 2024 | ||
ESG Large Value | 0.75% | N/A | January 31, 2024 | ||
Defensive Long 500 | 1.35% | N/A | January 31, 2024 | ||
Total Return(1) | 0.00% | N/A | January 31, 2024 | ||
Enhanced 500 Plus | 1.15% | N/A | January 31, 2024 | ||
Short Strategies | 1.35% | N/A | January 31, 2024 |
(1) | Per the Expense Limitation agreement for the Fund, the expenses subject to the expense limitation are also exclusive of management fees, if any. |
Gross Advisory Fee | Recoupments, Waivers and/or Reimbursements | Net Advisory Fee/ (Reimbursement) | |||
Absolute Return | $4,274,815 | $(629,361) | $3,645,454 | ||
Enhanced Return | 1,676,458 | (547,852) | 1,128,606 | ||
Neutral | 522,705 | (138,139) | 384,566 | ||
Index Plus | 2,229,108 | (728,465) | 1,500,643 | ||
Large Value | 154,292 | (99,563) | 54,729 | ||
Enhanced S&P 500 Index | 37,990 | (11,397) | 26,593 | ||
Hedged Core | 23,404 | — | 23,404 | ||
ESG Large Value | 5,094 | — | 5,094 | ||
Defensive Long 500 | 129,853 | (75,834) | 54,019 | ||
Total Return | — | (98,643) | (98,643) | ||
Enhanced 500 Plus | 16,573 | (45,200) | (28,627) | ||
Short Strategies | 143,133 | (76,061) | 67,072 |
Expiration | |||||||||
09/30/2023 | 09/30/2024 | 09/30/2025 | 03/31/2026 | Total | |||||
Index Plus | |||||||||
Institutional Class | $246,019 | $391,665 | $402,808 | $213,375 | $1,253,867 | ||||
Investor Class | 6,321 | 11,305 | 10,996 | 5,559 | 34,181 | ||||
Hedged Core | 45,091 | 42,614 | — | — | 87,705 | ||||
Total Return | 83,175 | 164,802 | 174,499 | 92,233 | 514,709 | ||||
Enhanced 500 Plus | 34,021 | 88,717 | 83,147 | 45,200 | 251,085 |
Enhanced Return | ||||||||||||||||||
Name of Issuer | Value at 09/30/22 | Purchase Cost | Sales Proceeds | Net Realized Gain/(Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at 03/31/23 | Shares Held at 03/31/23 | Dividend Income | Distributions of Realized Gains | |||||||||
Gotham 1000 Value ETF | $ — | $49,926,324 | $— | $— | $ (923,524) | $ 49,002,800 | 2,590,000 | $ — | $— | |||||||||
Gotham Enhanced 500 ETF | 47,269,200 | — | — | — | 6,586,800 | 53,856,000 | 2,400,000 | 627,012 | — | |||||||||
Total | $47,269,200 | $— | $5,663,276 | $102,858,800 | $627,012 | $— |
Index Plus | ||||||||||||||||||
Name of Issuer | Value at 09/30/22 | Purchase Cost | Sales Proceeds | Net Realized Gain/(Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at 03/31/23 | Shares Held at 03/31/23 | Dividend Income | Distributions of Realized Gains | |||||||||
Gotham Enhanced 500 ETF | $187,310,113 | $— | $— | $— | $26,101,019 | $213,411,132 | 9,510,300 | $2,484,613 | $— |
Total Return | ||||||||||||||||||
Name of Issuer | Value at 09/30/22 | Purchase Cost | Sales Proceeds | Net Realized Gain/(Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at 03/31/23 | Shares Held at 03/31/23 | Dividend Income | Distributions of Realized Gains | |||||||||
Gotham 1000 Value ETF | $ — | $5,751,205 | $ — | $ — | $ (254,945) | $ 5,496,260 | 290,500 | $ — | $ — | |||||||||
Gotham Defensive Long 500 Fund | 2,024,217 | 10,196 | 349,672 | 60,991 | 172,737 | 1,918,469 | 138,718 | 5,606 | — | |||||||||
Gotham Enhanced 500 ETF | 3,880,013 | 65,511 | 4,339,732 | (161,215) | 555,423 | — | — | 53,217 | — | |||||||||
Gotham Enhanced S&P 500 Index Fund | 2,914,470 | 305,058 | 372,952 | (19,641) | 202,471 | 3,029,406 | 214,852 | 25,159 | 220,457 | |||||||||
Gotham Hedged Core Fund | 2,986,038 | 242,037 | 472,432 | (18,231) | 171,167 | 2,908,579 | 280,210 | 21,965 | 220,072 | |||||||||
Gotham Hedged Plus Fund* | 2,009,924 | 83,618 | 2,249,649 | 273,803 | (117,696) | — | — | 5,279 | 78,340 | |||||||||
Gotham Large Value Fund | 3,888,512 | 329,187 | 810,602 | (113,185) | 338,018 | 3,631,930 | 267,644 | 42,815 | 268,830 | |||||||||
Gotham Neutral Fund | 2,137,820 | 50,626 | 414,898 | 16,140 | 81,968 | 1,871,656 | 172,821 | — | — | |||||||||
Total | $19,840,994 | $ 38,662 | $1,149,143 | $18,856,300 | $154,041 | $787,699 |
* | The Gotham Hedged Plus Fund was liquidated on January 18, 2023. |
Purchases | Sales | ||
Absolute Return | $745,447,998 | $793,448,374 | |
Enhanced Return | 258,425,538 | 269,318,003 | |
Neutral | 136,004,965 | 143,255,044 | |
Index Plus | 260,261,734 | 266,196,359 | |
Large Value | 42,890,237 | 55,314,899 | |
Enhanced S&P 500 Index | 14,016,712 | 12,848,799 | |
Hedged Core | 10,001,696 | 10,931,206 | |
ESG Large Value | 1,216,895 | 1,288,303 | |
Defensive Long 500 | 21,466,868 | 20,818,415 | |
Total Return | 6,837,440 | 9,009,938 | |
Enhanced 500 Plus | 4,031,408 | 4,301,691 | |
Short Strategies | 74,822,428 | 73,267,012 |
For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | ||||||
Shares | Value | Shares | Value | ||||
Absolute Return: | |||||||
Institutional Class | |||||||
Sales | 4,366,773 | $ 77,327,935 | 10,949,693 | $ 192,086,741 | |||
Reinvestments | — | — | — | — | |||
Redemption Fees* | — | 240 | — | 823 | |||
Redemptions | (5,356,881) | (94,267,597) | (7,673,024) | (133,900,957) | |||
Net increase/(decrease) | (990,108) | $(16,939,422) | 3,276,669 | $ 58,186,607 | |||
Enhanced Return: | |||||||
Institutional Class | |||||||
Sales | 2,910,879 | $ 30,569,295 | 10,569,985 | $ 115,902,873 | |||
Reinvestments | 1,517,005 | 15,822,357 | 3,184,005 | 38,112,539 | |||
Redemption Fees* | — | 18 | — | 758 | |||
Redemptions | (3,882,272) | (40,530,522) | (10,463,233) | (112,725,082)** | |||
Net increase | 545,612 | $ 5,861,148 | 3,290,757 | $ 41,291,088 | |||
Neutral: | |||||||
Institutional Class | |||||||
Sales | 656,527 | $ 7,052,622 | 2,938,241 | $ 30,297,126 | |||
Reinvestments | — | — | — | — | |||
Redemption Fees* | — | — | — | 31 | |||
Redemptions | (730,327) | (7,809,483) | (756,679) | (7,691,569) | |||
Net increase/(decrease) | (73,800) | $ (756,861) | 2,181,562 | $ 22,605,588 | |||
Index Plus: | |||||||
Institutional Class | |||||||
Sales | 1,934,910 | $ 37,029,826 | 13,211,899 | $ 273,193,554 | |||
Reinvestments | 274,450 | 5,192,591 | 831,227 | 17,389,271 | |||
Redemption Fees* | — | 26 | — | 2,863 | |||
Redemptions | (2,331,496) | (44,571,909) | (13,176,400) | (271,671,037)*** | |||
Net increase/(decrease) | (122,136) | $ (2,349,466) | 866,726 | $ 18,914,651 |
For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | ||||||
Shares | Value | Shares | Value | ||||
Investor Class | |||||||
Sales | 13,453 | $ 254,325 | 42,017 | $ 862,725 | |||
Reinvestments | 10,495 | 197,825 | 31,565 | 659,395 | |||
Redemption Fees* | — | 1 | — | 80 | |||
Redemptions | (31,981) | (608,557) | (101,311) | (2,055,309) | |||
Net decrease | (8,033) | $ (156,406) | (27,729) | $ (533,109) | |||
Total net increase/(decrease) | (130,169) | $ (2,505,872) | 838,997 | $ 18,381,542 | |||
Large Value: | |||||||
Institutional Class | |||||||
Sales | 96,358 | $ 1,308,890 | 606,344 | $ 9,012,020 | |||
Reinvestments | 229,612 | 3,134,210 | 732,035 | 11,053,734 | |||
Redemption Fees* | — | 34 | — | 1,095 | |||
Redemptions | (1,044,206) | (14,207,377) | (2,089,205) | (30,621,265) | |||
Net decrease | (718,236) | $ (9,764,243) | (750,826) | $ (10,554,416) | |||
Enhanced S&P 500 Index: | |||||||
Institutional Class | |||||||
Sales | 206,928 | $ 2,894,034 | 336,033 | $ 5,191,520 | |||
Reinvestments | 87,142 | 1,173,810 | 67,997 | 1,109,708 | |||
Redemption Fees* | — | 135 | — | 2,096 | |||
Redemptions | (138,282) | (1,882,173) | (368,644) | (5,695,971) | |||
Net increase | 155,788 | $ 2,185,806 | 35,386 | $ 607,353 | |||
Hedged Core: | |||||||
Institutional Class | |||||||
Sales | 194 | $ 1,941 | 2,253 | $ 25,000 | |||
Reinvestments | 50,908 | 524,367 | 126,345 | 1,449,183 | |||
Redemption Fees* | — | — | — | — | |||
Redemptions | (63,426) | (643,347) | (108,248) | (1,207,901) | |||
Net increase/(decrease) | (12,324) | $ (117,039) | 20,350 | $ 266,282 | |||
ESG Large Value: | |||||||
Institutional Class | |||||||
Sales | — | $ — | — | $ — | |||
Reinvestments | 14,918 | 162,610 | 11,596 | 148,086 | |||
Redemption Fees* | — | — | — | — | |||
Redemptions | (9,629) | (104,820) | — | — | |||
Net increase | 5,289 | $ 57,790 | 11,596 | $ 148,086 |
For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | ||||||
Shares | Value | Shares | Value | ||||
Defensive Long 500: | |||||||
Institutional Class | |||||||
Sales | 200,502 | $ 2,696,944 | 285,507 | $ 3,869,790 | |||
Reinvestments | 3,676 | 51,435 | 12,400 | 169,751 | |||
Redemption Fees* | — | — | — | — | |||
Redemptions | (111,872) | (1,506,889) | (1,672,365) | (22,701,667) | |||
Net increase/(decrease) | 92,306 | $ 1,241,490 | (1,374,458) | $ (18,662,126) | |||
Total Return: | |||||||
Institutional Class+ | |||||||
Sales | 169 | $ 1,885 | 10,948 | $ 150,661 | |||
Reinvestments | 149,699 | 1,746,981 | 73,145 | 977,942 | |||
Redemption Fees* | — | 9 | — | — | |||
Redemptions | (94,617) | (1,075,246) | (416,450) | (5,341,329) | |||
Converted from Investor Class Shares | 92,912 | 1,089,202 | — | — | |||
Net increase/(decrease) | 148,163 | $ 1,762,831 | (332,357) | $ (4,212,726) | |||
Investor Class+ | |||||||
Sales | 954 | $ 11,950 | 3,204 | $ 42,781 | |||
Reinvestments | 21,817 | 254,381 | 10,148 | 135,579 | |||
Redemption Fees* | — | 1 | — | — | |||
Redemptions | (156,265) | (1,777,724) | (14,728) | (192,713) | |||
Converted to Institutional Class Shares | (92,993) | (1,089,209) | — | — | |||
Net decrease | (226,487) | $ (2,600,601) | (1,376) | $ (14,353) | |||
Total net decrease | (78,324) | $ (837,770) | (333,733) | $ (4,227,079) | |||
Enhanced 500 Plus: | |||||||
Institutional Class | |||||||
Sales | 862 | $ 9,500 | 1,122 | $ 15,042 | |||
Reinvestments | 39,432 | 436,510 | 30,393 | 411,225 | |||
Redemption Fees* | — | — | — | — | |||
Redemptions | (18,340) | (203,150) | (14,723) | (199,198) | |||
Net increase | 21,954 | $ 242,860 | 16,792 | $ 227,069 | |||
Short Strategies: | |||||||
Institutional Class | |||||||
Sales | 2,897,211 | $ 24,321,203 | 3,149,440 | $ 25,112,631 | |||
Reinvestments | — | — | 6,165 | 37,179 | |||
Redemption Fees* | — | 7,000 | — | 5,945 | |||
Redemptions | (2,082,043) | (17,189,027) | (1,336,766) | (10,971,913) | |||
Net increase | 815,168 | $ 7,139,176 | 1,818,839 | $ 14,183,842 |
+ | Investor Class Shares were converted to Institutional Class Shares on January 30, 2023. |
* | 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. |
** | Enhanced Return had a redemption in-kind on June 16, 2022, in the amount of $48,697,859. The redemption was comprised of securities and cash in the amount of $48,229,858 and $468,001, respectively. |
*** | Index Plus had a redemption in-kind on December 10, 2021, in the amount of $166,753,322. The redemption was comprised of securities and cash, in the amount of $165,957,903 and $795,419, respectively. |
Neutral | |
Affiliated Fund | 3% |
Large Value | |
Affiliated Fund | 11% |
Enhanced S&P 500 Index | |
Affiliated Fund | 19% |
Affiliated Shareholders | 1% |
Non-affiliated Shareholders | 14% |
Hedged Core | |
Affiliated Fund | 44% |
Non-affiliated Shareholders | 48% |
ESG Large Value | |
Non-affiliated Shareholders | 100% |
Defensive Long 500 | |
Affiliated Fund | 10% |
Non-affiliated Shareholders | 52% |
Total Return | |
Affiliated Shareholders | 7% |
Non-affiliated Shareholders | 66% |
Enhanced 500 Plus | |
Non-affiliated Shareholders | 96% |
Short Strategies | |
Non-affiliated Shareholders | 52% |
Ordinary Income Dividend | Long-Term Capital Gain Dividend | Return of Capital | |||
Enhanced Return | $ — | $42,651,417 | $— | ||
Index Plus | — | 25,931,353 | — | ||
Large Value | 1,282,378 | 9,875,650 | — | ||
Enhanced S&P 500 Index | 209,184 | 900,713 | — | ||
Hedged Core | 107,412 | 1,341,771 | — | ||
ESG Large Value | 69,619 | 209,292 | — | ||
Defensive Long 500 | 169,751 | — | — | ||
Total Return | 707,783 | 621,629 | — | ||
Enhanced 500 Plus | 18,462 | 392,763 | — | ||
Short Strategies | 46,504 | — | — |
Capital Loss Carryforward | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation/ (Depreciation) | Qualified Late-Year Losses | |||||
Absolute Return | $(11,198,119) | $ — | $ — | $18,641,603 | $(931,175) | ||||
Enhanced Return | — | — | 16,644,147 | 17,108,743 | (805,131) | ||||
Neutral | (73,840,603) | — | — | 7,891,660 | (108,823) | ||||
Index Plus | — | — | 3,486,180 | 25,835,810 | (475,421) | ||||
Large Value | — | 64,563 | 2,698,579 | (1,311,703) | — | ||||
Enhanced S&P 500 Index | — | 120,259 | 1,053,704 | (939,114) | — | ||||
Hedged Core | — | 33,079 | 463,805 | (481,552) | — | ||||
ESG Large Value | — | 7,969 | 144,396 | (125,079) | — | ||||
Defensive Long 500 | (5,336,560) | 51,434 | — | 3,764,270 | — | ||||
Total Return | — | 9,702 | 1,893,205 | (1,587,670) | — | ||||
Enhanced 500 Plus | — | 18,308 | 418,200 | (161,753) | — | ||||
Short Strategies | (14,881,222) | — | — | 1,510,350 | — |
Federal Tax Cost* | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation/ (Depreciation) | |||||
Absolute Return | $503,247,440 | $132,322,204 | $(22,286,656) | $110,035,548 | ||||
Enhanced Return | 198,579,317 | 67,267,505 | (10,978,898) | 56,288,607 | ||||
Neutral | 61,270,867 | 18,190,337 | (3,639,787) | 14,550,550 | ||||
Index Plus | 423,837,669 | 133,748,296 | (36,271,188) | 97,477,108 | ||||
Large Value | 29,651,481 | 4,073,342 | (832,803) | 3,240,539 | ||||
Enhanced S&P 500 Index | 14,571,384 | 2,196,083 | (541,434) | 1,654,649 | ||||
Hedged Core | 8,411,461 | 1,319,415 | (234,339) | 1,085,076 | ||||
ESG Large Value | 1,243,281 | 131,420 | (64,160) | 67,260 | ||||
Defensive Long 500 | 17,208,536 | 6,622,031 | (898,435) | 5,723,596 | ||||
Total Return | 19,235,876 | 703,001 | (1,082,577) | (379,576) | ||||
Enhanced 500 Plus | 4,153,444 | 731,616 | (248,962) | 482,654 | ||||
Short Strategies | 20,296,647 | 1,722,122 | (2,208,683) | (486,561) |
* | 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. |
Late-Year Ordinary Losses Deferral | Short-Term Capital Loss Deferral | Long-Term Capital Loss Deferral | |||
Absolute Return | $931,175 | $— | $— | ||
Enhanced Return | 805,131 | — | — | ||
Neutral | 108,823 | — | — | ||
Index Plus | 475,421 | — | — |
Capital Loss Carryforward | |||
Short-Term | Long-Term | ||
Absolute Return | $11,198,119 | $ — | |
Neutral | 73,840,603 | — | |
Defensive Long 500 | 5,336,560 | — | |
Short Strategies | 14,849,627 | 31,595 |
825 Third Avenue, 17th Floor
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18th and Arch Streets
Sirios Long/Short Fund |
Sirios Focus Fund |
Institutional Class |
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2023 | |||||||
Six Months† | 1 Year | 3 Years | Since Inception | ||||
Institutional Class Shares | 7.84% | -2.58% | 7.69% | 3.84% * | |||
HFRX Equity Hedge Index | 2.51% | -2.12% | 9.72% | 2.77% ** |
† | 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. |
Average Annual Total Returns for the Periods Ended March 31, 2023 | |||||
Six Months† | 1 Year | Since Inception | |||
Institutional Class Shares | 13.94% | -6.80% | 4.58% * | ||
S&P 500® Index | 15.62% | -7.73% | 6.39% ** |
† | 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. |
Beginning Account Value October 1, 2022 | Ending Account Value March 31, 2023 | Annualized Expense Ratio | Expenses Paid During Period | ||||
Sirios Long/Short Fund | |||||||
Institutional Class* | |||||||
Actual | $1,000.00 | $1,078.40 | 1.71% | $8.86** | |||
Hypothetical (5% return before expenses) | 1,000.00 | 1,016.40 | 1.71% | 8.60** | |||
Sirios Focus Fund | |||||||
Institutional Class*** | |||||||
Actual | $1,000.00 | $1,139.40 | 1.60% | $8.53 | |||
Hypothetical (5% return before expenses) | 1,000.00 | 1,016.95 | 1.60% | 8.05 |
* | Expenses are equal to the annualized expense ratio for the six-month period ended March 31, 2023 of 1.71% 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 7.84%. |
** | These amounts include dividends paid on securities which the Fund has sold short (“Short-sale dividends”). The amount of short-sale dividends expense was 0.11% 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, 2023 of 1.60% 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 13.94%. |
% of Net Assets | Value | ||
LONG POSITIONS: | |||
COMMON STOCKS: | |||
Software | 13.7% | $ 3,999,581 | |
Healthcare-Products | 11.8 | 3,468,875 | |
Commercial Services | 5.7 | 1,659,033 | |
Semiconductors | 5.0 | 1,470,754 | |
Banks | 4.3 | 1,268,976 | |
Diversified Financial Services | 3.6 | 1,060,858 | |
Oil & Gas | 2.9 | 835,696 | |
Pharmaceuticals | 2.6 | 760,763 | |
Airlines | 2.4 | 694,573 | |
Auto Manufacturers | 2.0 | 591,163 | |
Miscellaneous Manufacturing | 1.8 | 536,980 | |
Transportation | 1.8 | 533,742 | |
Beverages | 1.5 | 449,295 | |
Leisure Time | 1.5 | 444,872 | |
Chemicals | 1.5 | 442,572 | |
Electronics | 1.4 | 412,743 | |
Oil & Gas Services | 1.3 | 371,441 | |
Retail | 1.1 | 322,580 | |
Environmental Control | 1.0 | 300,113 | |
Aerospace & Defense | 0.8 | 234,292 | |
Healthcare-Services | 0.6 | 157,282 | |
Total Common Stocks | 68.3 | 20,016,184 | |
Short-Term Investment | 28.3 | 8,293,521 | |
Total Long Positions | 96.6 | 28,309,705 | |
SHORT POSITIONS: | |||
COMMON STOCKS: | |||
Pharmaceuticals | (0.4) | (127,184) | |
Diversified Financial Services | (0.5) | (128,566) | |
Aerospace & Defense | (1.5) | (447,283) | |
Total Short Position | (2.4) | (703,033) | |
Other Assets in Excess of Liabilities | 5.8 | 1,714,150 | |
NET ASSETS | 100.0% | $29,320,822 |
Number of Shares | Value | ||
LONG POSITIONS — 96.6% | |||
COMMON STOCKS — 68.3% | |||
Aerospace & Defense — 0.8% | |||
HEICO Corp., Class A | 1,724 | $ 234,292 | |
Airlines — 2.4% | |||
Delta Air Lines, Inc.* | 14,263 | 498,064 | |
Southwest Airlines Co. | 6,039 | 196,509 | |
694,573 | |||
Auto Manufacturers — 2.0% | |||
PACCAR, Inc.† | 8,076 | 591,163 | |
Banks — 4.3% | |||
Comerica, Inc. | 3,302 | 143,373 | |
Fifth Third Bancorp | 5,345 | 142,391 | |
Regions Financial Corp. | 7,717 | 143,228 | |
US Bancorp | 4,005 | 144,380 | |
Wells Fargo & Co.† | 18,609 | 695,604 | |
1,268,976 | |||
Beverages — 1.5% | |||
Constellation Brands, Inc., Class A† | 1,989 | 449,295 | |
Chemicals — 1.5% | |||
Sherwin-Williams Co. (The) | 1,969 | 442,572 | |
Commercial Services — 5.7% | |||
S&P Global, Inc.† | 4,812 | 1,659,033 | |
Diversified Financial Services — 3.6% | |||
American Express Co.† | 4,181 | 689,656 | |
LPL Financial Holdings, Inc. | 1,834 | 371,202 | |
1,060,858 | |||
Electronics — 1.4% | |||
Keysight Technologies, Inc.* | 2,556 | 412,743 | |
Environmental Control — 1.0% | |||
Waste Connections, Inc. (Canada) | 2,158 | 300,113 | |
Healthcare-Products — 11.8% | |||
Abbott Laboratories† | 2,792 | 282,718 | |
Alcon, Inc. (Switzerland) | 20,990 | 1,480,635 | |
Boston Scientific Corp.†* | 17,438 | 872,423 | |
Danaher Corp.† | 586 | 147,695 | |
Lantheus Holdings, Inc.* | 2,064 | 170,404 | |
Medtronic PLC (Ireland) | 6,388 | 515,000 | |
3,468,875 | |||
Healthcare-Services — 0.6% | |||
HCA Healthcare, Inc. | 281 | 74,094 | |
Tenet Healthcare Corp.* | 1,400 | 83,188 | |
157,282 |
Number of Shares | Value | ||
Common Stocks — (Continued) | |||
Leisure Time — 1.5% | |||
Norwegian Cruise Line Holdings Ltd.* | 33,076 | $ 444,872 | |
Miscellaneous Manufacturing — 1.8% | |||
Eaton Corp. PLC | 3,134 | 536,980 | |
Oil & Gas — 2.9% | |||
Hess Corp. | 1,733 | 229,345 | |
Nabors Industries Ltd.* | 3,947 | 481,179 | |
Occidental Petroleum Corp. | 2,005 | 125,172 | |
835,696 | |||
Oil & Gas Services — 1.3% | |||
Schlumberger N.V. | 7,565 | 371,441 | |
Pharmaceuticals — 2.6% | |||
Eli Lilly & Co.† | 1,477 | 507,232 | |
Pfizer, Inc. | 6,214 | 253,531 | |
760,763 | |||
Retail — 1.1% | |||
Portillo's, Inc., Class A* | 15,095 | 322,580 | |
Semiconductors — 5.0% | |||
Analog Devices, Inc.† | 4,345 | 856,921 | |
Texas Instruments, Inc. | 3,300 | 613,833 | |
1,470,754 | |||
Software — 13.7% | |||
Activision Blizzard, Inc. | 5,135 | 439,505 | |
Adobe, Inc.* | 1,716 | 661,295 | |
Intuit, Inc. | 722 | 321,889 | |
Microsoft Corp. | 1,885 | 543,446 | |
Roper Technologies, Inc.† | 3,034 | 1,337,053 | |
Splunk, Inc.* | 1,098 | 105,276 | |
Workday, Inc., Class A* | 2,862 | 591,117 | |
3,999,581 | |||
Transportation — 1.8% | |||
Union Pacific Corp. | 2,652 | 533,742 | |
TOTAL COMMON STOCKS (Cost $17,886,314) | 20,016,184 | ||
SHORT-TERM INVESTMENTS — 28.3% | |||
Dreyfus Treasury Obligations Cash Management Fund, Institutional Shares, 4.69%(a) (Cost $8,293,521) | 8,293,521 | 8,293,521 | |
TOTAL LONG POSITIONS - 96.6% (Cost $26,179,835) | $28,309,705 |
Number of Shares | Value | ||
SHORT POSITIONS — (2.4)% | |||
Common Stocks — (2.4)% | |||
Aerospace & Defense — (1.5)% | |||
HEICO Corp. | (1,352) | $ (231,246) | |
Lockheed Martin Corp. | (457) | (216,037) | |
(447,283) | |||
Diversified Financial Services — (0.5)% | |||
Capital One Financial Corp. | (1,337) | (128,566) | |
Pharmaceuticals — (0.4)% | |||
Bristol-Myers Squibb Co. | (1,835) | (127,184) | |
Total Common Stocks (Proceeds $728,215) | (703,033) | ||
Value | ||
TOTAL SHORT POSITIONS - (2.4)% (Proceeds $728,215) | $(703,033) | |
OTHER ASSETS IN EXCESS OF LIABILITIES - 5.8% | 1,714,150 | |
NET ASSETS - 100.0% | $29,320,822 |
† | 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. |
* | Non-income producing. |
(a) | Rate disclosed is the 7-day yield at March 31, 2023. |
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized Appreciation/ (Depreciation) | ||||||
CAD | 24,000 | USD | 17,566 | 06/21/23 | MS | $ 216 | ||||
GBP | 350,000 | USD | 434,204 | 06/21/23 | MS | (1,747) | ||||
USD | 585,496 | CAD | 801,000 | 06/21/23 | MS | (7,980) | ||||
USD | 1,531,829 | EUR | 1,419,000 | 06/21/23 | MS | (14,263) | ||||
USD | 3,663,736 | GBP | 3,000,000 | 06/21/23 | MS | (43,044) | ||||
$(66,818) |
Reference Entity/Index (Receive) | Pay | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value and Unrealized Appreciation* | ||||||
Airbus SE | U.S. Fed Funds +0.550% | Maturity | MS | 01/22/25 | $ 794,272 | $181,208 | ||||||
BAE Systems PLC | U.S. Fed Funds +0.550% | Maturity | MS | 01/22/25 | 767,206 | 280,838 | ||||||
London Stock Exchange Group PLC | U.S. Fed Funds +0.550% | Maturity | MS | 01/22/25 | 2,076,999 | 64,459 | ||||||
Pernod Ricard SA | U.S. Fed Funds +0.550% | Maturity | MS | 01/22/25 | 417,789 | 141,600 | ||||||
Canadian Pacific Railway Ltd. | U.S. Fed Funds +0.550% | Maturity | MS | 06/30/25 | 542,338 | 29,074 | ||||||
$697,179 |
Reference Entity/Index (Pay) | Receive | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value and Unrealized Appreciation/ (Depreciation)* | ||||||
S&P 500 Index Pharmaceuticals Select Sector | U.S. Fed Funds -0.350% | Maturity | MS | 12/07/23 | $ 782,983 | $ 95,300 | ||||||
S&P 500 Index Transportation Select Sector | U.S. Fed Funds -0.700% | Maturity | MS | 12/07/23 | 284,747 | 8,501 | ||||||
S&P 500 Equal Weight Industrial | U.S. Fed Funds -0.350% | Maturity | MS | 04/24/24 | 1,534,891 | (37,705) | ||||||
S&P 500 Equal Weight Financial | U.S. Fed Funds -0.350% | Maturity | MS | 07/31/24 | 1,321,186 | 189,383 | ||||||
S&P 500 Index | U.S. Fed Funds -0.250% | Maturity | MS | 12/05/24 | 878,225 | 104,551 | ||||||
Moody's Corporation | U.S. Fed Funds -0.300% | Maturity | MS | 12/06/24 | 762,542 | 85,011 | ||||||
Technology Select Sector | U.S. Fed Funds -0.100% | Maturity | MS | 01/10/25 | 769,964 | 108,239 | ||||||
Health Care Select Sector | U.S. Fed Funds -0.250% | Maturity | MS | 01/24/25 | 912,819 | 54,510 | ||||||
S&P 500 Equal Weight Energy | U.S. Fed Funds -1.180% | Maturity | MS | 09/29/25 | 728,218 | 40,703 | ||||||
Dow Jones U.S. Real Estate Index | U.S. Fed Funds -0.200% | Maturity | MS | 12/02/25 | 113,104 | 2,191 | ||||||
S&P 500 Equal Weight Consumer Discretionary | U.S. Fed Funds -0.350% | Maturity | MS | 12/02/25 | 264,085 | 9,986 | ||||||
$ 660,670 | ||||||||||||
Total Swap Contracts | $1,357,849 |
* | Includes $(76,360) related to open trades, dividends receivables/payables and swap receivables/payables activities. |
CAD | Canada Dollar |
EUR | Euro |
GBP | British Pound |
MS | Morgan Stanley |
PLC | Public Limited Company |
USD | United States Dollar |
% of Net Assets | Value | ||
COMMON STOCKS: | |||
Software | 15.6% | $ 1,726,631 | |
Healthcare-Products | 13.0 | 1,442,974 | |
Commercial Services | 8.1 | 895,023 | |
Semiconductors | 5.1 | 563,517 | |
Banks | 4.3 | 476,172 | |
Diversified Financial Services | 3.7 | 408,996 | |
Oil & Gas | 2.9 | 318,537 | |
Pharmaceuticals | 2.6 | 284,706 | |
Airlines | 2.3 | 258,712 | |
Auto Manufacturers | 2.0 | 222,748 | |
Miscellaneous Manufacturing | 1.9 | 209,035 | |
Transportation | 1.8 | 201,260 | |
Beverages | 1.5 | 168,288 | |
Leisure Time | 1.5 | 166,686 | |
Chemicals | 1.5 | 165,206 | |
Electronics | 1.4 | 157,120 | |
Oil & Gas Services | 1.3 | 141,064 | |
Retail | 1.1 | 120,270 | |
Environmental Control | 1.0 | 115,706 | |
Healthcare-Services | 0.5 | 59,944 | |
Total Common Stocks | 73.1 | 8,102,595 | |
Other Assets in Excess of Liabilities | 26.9 | 2,976,723 | |
NET ASSETS | 100.0% | $11,079,318 |
Number of Shares | Value | ||
COMMON STOCKS — 73.1% | |||
Airlines — 2.3% | |||
Delta Air Lines, Inc.* | 5,313 | $ 185,530 | |
Southwest Airlines Co. | 2,249 | 73,182 | |
258,712 | |||
Auto Manufacturers — 2.0% | |||
PACCAR, Inc. | 3,043 | 222,748 | |
Banks — 4.3% | |||
Comerica, Inc. | 1,242 | 53,928 | |
Fifth Third Bancorp | 2,011 | 53,573 | |
Regions Financial Corp. | 2,903 | 53,880 | |
US Bancorp | 1,507 | 54,327 | |
Wells Fargo & Co. | 6,968 | 260,464 | |
476,172 | |||
Beverages — 1.5% | |||
Constellation Brands, Inc., Class A | 745 | 168,288 | |
Chemicals — 1.5% | |||
Sherwin-Williams Co. (The) | 735 | 165,206 | |
Commercial Services — 8.1% | |||
S&P Global, Inc. | 2,596 | 895,023 | |
Diversified Financial Services — 3.7% | |||
American Express Co.† | 1,612 | 265,899 | |
LPL Financial Holdings, Inc. | 707 | 143,097 | |
408,996 | |||
Electronics — 1.4% | |||
Keysight Technologies, Inc.* | 973 | 157,120 | |
Environmental Control — 1.0% | |||
Waste Connections, Inc. (Canada) | 832 | 115,706 | |
Healthcare-Products — 13.0% | |||
Abbott Laboratories† | 1,068 | 108,146 | |
Alcon, Inc. (Switzerland) | 9,790 | 690,587 | |
Boston Scientific Corp.†* | 6,571 | 328,747 | |
Danaher Corp. | 224 | 56,457 | |
Lantheus Holdings, Inc.* | 751 | 62,002 | |
Medtronic PLC (Ireland) | 2,444 | 197,035 | |
1,442,974 | |||
Healthcare-Services — 0.5% | |||
HCA Healthcare, Inc. | 107 | 28,214 | |
Tenet Healthcare Corp.* | 534 | 31,730 | |
59,944 | |||
Leisure Time — 1.5% | |||
Norwegian Cruise Line Holdings Ltd.* | 12,393 | 166,686 |
Number of Shares | Value | ||
Common Stocks — (Continued) | |||
Miscellaneous Manufacturing — 1.9% | |||
Eaton Corp. PLC | 1,220 | $ 209,035 | |
Oil & Gas — 2.9% | |||
Hess Corp. | 668 | 88,403 | |
Nabors Industries Ltd.* | 1,497 | 182,500 | |
Occidental Petroleum Corp. | 763 | 47,634 | |
318,537 | |||
Oil & Gas Services — 1.3% | |||
Schlumberger N.V. | 2,873 | 141,064 | |
Pharmaceuticals — 2.6% | |||
Eli Lilly & Co. | 542 | 186,133 | |
Pfizer, Inc.† | 2,416 | 98,573 | |
284,706 | |||
Retail — 1.1% | |||
Portillo's, Inc., Class A* | 5,628 | 120,270 | |
Semiconductors — 5.1% | |||
Analog Devices, Inc.† | 1,651 | 325,610 | |
Texas Instruments, Inc. | 1,279 | 237,907 | |
563,517 | |||
Software — 15.6% | |||
Activision Blizzard, Inc. | 1,935 | 165,616 | |
Adobe, Inc.* | 643 | 247,793 | |
Intuit, Inc. | 272 | 121,266 | |
Microsoft Corp. | 707 | 203,828 | |
Roper Technologies, Inc. | 1,649 | 726,698 | |
Splunk, Inc.* | 426 | 40,845 | |
Workday, Inc., Class A* | 1,068 | 220,585 | |
1,726,631 | |||
Transportation — 1.8% | |||
Union Pacific Corp. | 1,000 | 201,260 | |
TOTAL COMMON STOCKS (Cost $7,302,421) | 8,102,595 | ||
TOTAL INVESTMENTS - 73.1% (Cost $7,302,421) | 8,102,595 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES - 26.9% | 2,976,723 | ||
NET ASSETS - 100.0% | $11,079,318 |
† | 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. |
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized Appreciation/ (Depreciation) | ||||||
CAD | 7,000 | USD | 5,123 | 06/21/23 | MS | $ 63 | ||||
GBP | 135,000 | USD | 167,479 | 06/21/23 | MS | (674) | ||||
USD | 217,839 | CAD | 298,000 | 06/21/23 | MS | (2,955) | ||||
USD | 566,873 | EUR | 525,000 | 06/21/23 | MS | (5,148) | ||||
USD | 1,532,675 | GBP | 1,255,000 | 06/21/23 | MS | (17,995) | ||||
$(26,709) |
Reference Entity/Index (Receive) | Pay | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value and Unrealized Appreciation* | ||||||
Airbus SE | U.S. Fed Funds +0.550% | Maturity | MS | 04/23/24 | $304,155 | $ 59,990 | ||||||
BAE Systems PLC | U.S. Fed Funds +0.550% | Maturity | MS | 04/23/24 | 286,724 | 103,884 | ||||||
London Stock Exchange Group PLC | U.S. Fed Funds +0.550% | Maturity | MS | 04/23/24 | 936,787 | 18,323 | ||||||
Pernod Ricard SA | U.S. Fed Funds +0.550% | Maturity | MS | 04/23/24 | 151,617 | 51,387 | ||||||
Canadian Pacific Railway Ltd. | U.S. Fed Funds +0.400% | Maturity | MS | 06/30/25 | 203,081 | 10,852 | ||||||
Total Swap Contracts | $244,436 |
* | Includes $(45,972) related to open trades, dividends receivables/payables and swap receivables/payables activities. |
CAD | Canada Dollar |
EUR | Euro |
GBP | British Pound |
MS | Morgan Stanley |
PLC | Public Limited Company |
USD | United States Dollar |
Sirios Long/Short Fund | Sirios Focus Fund | ||
Assets | |||
Investments, at value* | $28,309,705 | $ 8,102,595 | |
Cash and cash equivalents | 2,212 | 2,869,286 | |
Cash (segregated for securities sold short and derivative instruments) | 778,366 | — | |
Receivables: | |||
Investments sold | 225,443 | 142,574 | |
Dividends and interest | 45,854 | 3,380 | |
Investment adviser | — | 8,505 | |
Swap contract settlement | 4,013 | 1,531 | |
Unrealized appreciation on swap contracts | 1,395,554 | 244,436 | |
Unrealized appreciation on forward foreign currency contracts | 216 | 63 | |
Prepaid expenses and other assets | 8,237 | 352 | |
Total Assets | 30,769,600 | 11,372,722 | |
Liabilities | |||
Securities sold short, at value (proceeds received $728,215) | 703,033 | — | |
Unrealized depreciation on swap contracts | 37,705 | — | |
Unrealized depreciation on forward foreign currency contracts | 67,034 | 26,772 | |
Payables: | |||
Investments purchased | 583,060 | 219,388 | |
Audit fees | 17,674 | 14,183 | |
Administration and accounting fees | 9,334 | 10,669 | |
Investment adviser | 5,437 | — | |
Dividends and fees on securities sold short | 445 | — | |
Accrued expenses | 25,056 | 22,392 | |
Total Liabilities | 1,448,778 | 293,404 | |
Net Assets | $29,320,822 | $11,079,318 | |
Net Assets Consisted of: | |||
Capital stock, $0.01 par value | $ 27,342 | $ 11,069 | |
Paid-in capital | 27,770,374 | 11,170,731 | |
Total distributable earnings/(loss) | 1,523,106 | (102,482) | |
Net Assets | $29,320,822 | $11,079,318 | |
Institutional Class Shares: | |||
Net assets | $29,320,822 | $11,079,318 | |
Shares outstanding | 2,734,155 | 1,106,945 | |
Net asset value, offering and redemption price per share | $ 10.72 | $ 10.01 | |
Investments, at cost | $26,179,835 | $ 7,302,421 |
Sirios Long/Short Fund | Sirios Focus Fund | ||
Investment income | |||
Interest | $ 194,019 | $ 9,438 | |
Dividends | 111,344 | 56,670 | |
Less: foreign taxes withheld | (123) | (78) | |
Total investment income | 305,240 | 66,030 | |
Expenses | |||
Advisory fees (Note 2) | 193,491 | 48,584 | |
Legal fees | 28,033 | 12,380 | |
Administration and accounting fees (Note 2) | 26,810 | 32,035 | |
Trustees’ and officers’ fees(Note 2) | 24,523 | 9,234 | |
Audit fees | 17,106 | 14,183 | |
Registration and filing fees | 15,886 | 3,135 | |
Transfer agent fees (Note 2) | 15,603 | 15,545 | |
Fees on securities sold short and derivative instruments (Note 1) | 15,099 | — | |
Shareholder reporting fees | 11,903 | 11,805 | |
Custodian fees(Note 2) | 7,686 | 7,497 | |
Other expenses | 8,695 | 6,402 | |
Total expenses before waivers and reimbursements | 364,835 | 160,800 | |
Less: waivers and reimbursements(Note 2) | (120,413) | (74,411) | |
Net expenses after waivers and reimbursements | 244,422 | 86,389 | |
Net investment income/(loss) | 60,818 | (20,359) | |
Net realized and unrealized gain/(loss) from investments: | |||
Net realized gain from investments | 8,715 | 30,249 | |
Net realized loss from securities sold short | (92,674) | — | |
Net realized gain/(loss) from swaps | 263,797 | (114,094) | |
Net realized gain/(loss) from foreign currency transactions | (85) | 259 | |
Net realized loss from forward foreign currency contracts | (277,980) | (112,519) | |
Net change in unrealized appreciation on investments | 2,738,384 | 1,133,233 | |
Net change in unrealized depreciation on securities sold short | (149,947) | — | |
Net change in unrealized appreciation/(depreciation) on swaps | (273,852) | 499,020 | |
Net change in unrealized appreciation on foreign currency translations | 2,430 | 855 | |
Net change in unrealized depreciation on forward foreign currency contracts | (150,461) | (60,334) | |
Net realized and unrealized gain on investments | 2,068,327 | 1,376,669 | |
Net increase in net assets resulting from operations | $2,129,145 | $1,356,310 |
Sirios Long/Short Fund | |||
For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | ||
Net increase/(decrease) in net assets from operations: | |||
Net investment income/(loss) | $ 60,818 | $ (166,515) | |
Net realized losses from investments, securities sold short, swaps, foreign currency transactions and forward foreign currency contracts | (98,227) | (314,268) | |
Net change in unrealized appreciation/(depreciation) on investments, securities sold short, swaps, foreign currency translations and forward foreign currency contracts | 2,166,554 | (2,221,906) | |
Net increase/(decrease) in net assets resulting from operations | 2,129,145 | (2,702,689) | |
Less dividends and distributions to shareholders from: | |||
Total distributable earnings: | |||
Institutional Class | (735,114) | (1,412,149) | |
Net decrease in net assets from dividends and distributions to shareholders | (735,114) | (1,412,149) | |
Increase in net assets derived from capital share transactions (Note 4) | 735,114 | 1,412,149 | |
Total increase/(decrease) in net assets | 2,129,145 | (2,702,689) | |
Net assets | |||
Beginning of period | 27,191,677 | 29,894,366 | |
End of period | $29,320,822 | $27,191,677 |
Sirios Focus Fund | |||
For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | ||
Net increase/(decrease) in net assets from operations: | |||
Net investment loss | $ (20,359) | $ (76,349) | |
Net realized losses from investments, swaps, foreign currency transactions and forward foreign currency contracts | (196,105) | (383,760) | |
Net change in unrealized appreciation/(depreciation) on investments, swaps, foreign currency translations and forward foreign currency contracts | 1,572,774 | (1,495,557) | |
Net increase/(decrease) in net assets resulting from operations | 1,356,310 | (1,955,666) | |
Less dividends and distributions to shareholders from: | |||
Total distributable earnings: | |||
Institutional Class | (298,700) | (883,100) | |
Net decrease in net assets from dividends and distributions to shareholders | (298,700) | (883,100) | |
Increase in net assets derived from capital share transactions (Note 4) | 298,700 | 883,100 | |
Total increase/(decrease) in net assets | 1,356,310 | (1,955,666) | |
Net assets | |||
Beginning of period | 9,723,008 | 11,678,674 | |
End of period | $11,079,318 | $ 9,723,008 |
Institutional Class | |||||||||||
For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | 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 | $ 10.20 | $ 11.76 | $ 10.06 | $ 10.66 | $ 10.68 | $ 10.00 | |||||
Net investment income/(loss)(1) | 0.02 | (0.06) | (0.07) | (0.07) | (0.02) | (0.01) | |||||
Net realized and unrealized gain/(loss) on investments | 0.78 | (0.94) | 1.87 | (0.47) | 0.27 | 0.69 | |||||
Total from investment operations | 0.80 | (1.00) | 1.80 | (0.54) | 0.25 | 0.68 | |||||
Dividends and distributions to shareholders from: | |||||||||||
Net investment income | (0.28) | — | — | (0.06) | (0.01) | — | |||||
Net realized capital gains | — | (0.56) | (0.10) | — | (0.26) | — | |||||
Total dividends and distributions to shareholders | (0.28) | (0.56) | (0.10) | (0.06) | (0.27) | — | |||||
Net asset value, end of period | $ 10.72 | $ 10.20 | $ 11.76 | $ 10.06 | $ 10.66 | $ 10.68 | |||||
Total investment return(2) | 7.84% | (9.10)% | 17.93% | (5.13)% | 2.74% | 6.80% | |||||
Ratios/Supplemental Data | |||||||||||
Net assets, end of period (in 000s) | $29,321 | $27,192 | $29,894 | $25,486 | $26,945 | $10,679 | |||||
Ratio of expenses to average net assets | 1.71% (3)(4) | 1.62% (4) | 1.69% (4) | 1.60% | 2.21% (4) | 2.10% (3)(4) | |||||
Ratio of expenses to average net assets without waivers and reimbursements(5) | 2.55% (3) | 2.43% | 2.49% | 2.49% | 3.33% | 4.57% (3) | |||||
Ratio of net investment income/(loss) to average net assets | 0.42% (3) | (0.57)% | (0.62)% | (0.66)% | (0.22)% | (0.19)% (3) | |||||
Portfolio turnover rate | 47% (6) | 108% | 127% | 153% | 134% | 49% (6) |
* | Commencement of 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 expense reimbursement, excluding short-sale dividend expense, was 1.60% for the six months ended March 31, 2023, and for years ended September 30, 2022, 2021, 2019 and for the period ended September 30, 2018. |
(5) | 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). |
(6) | Not annualized. |
Institutional Class | |||||
For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | For the Period Ended September 30, 2021* | |||
Per Share Operating Performance | |||||
Net asset value, beginning of period | $ 9.03 | $ 11.68 | $ 10.00 | ||
Net investment loss(1) | (0.02) | (0.07) | (0.05) | ||
Net realized and unrealized gain/(loss) on investments | 1.56 | (1.70) | 1.73 | ||
Total from investment operations | 1.54 | (1.77) | 1.68 | ||
Dividends and distributions to shareholders from: | |||||
Net investment income | (0.28) | — | — | ||
Net realized capital gains | (0.28) | (0.88) | — | ||
Total dividends and distributions to shareholders | (0.56) | (0.88) | — | ||
Net asset value, end of period | $ 10.01 | $ 9.03 | $ 11.68 | ||
Total investment return(2) | 13.94% | (16.74)% | 16.80% | ||
Ratios/Supplemental Data | |||||
Net assets, end of period (in 000s) | $11,079 | $ 9,723 | $11,679 | ||
Ratio of expenses to average net assets | 1.60% (3) | 1.60% | 1.60% (3) | ||
Ratio of expenses to average net assets without waivers and reimbursements(4) | 2.98% (3) | 2.73% | 3.10% (3) | ||
Ratio of net investment loss to average net assets | (0.38)% (3) | (0.67)% | (0.60)% (3) | ||
Portfolio turnover rate | 48% (5) | 105% | 96% (5) |
* | Commencement of 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. |
Total Value at 03/31/23 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Sirios Long/Short Fund | |||||||
Assets | |||||||
Long Positions: | |||||||
Common Stocks | $ 20,016,184 | $ 20,016,184 | $ — | $ — | |||
Short-Term Investments | 8,293,521 | 8,293,521 | — | — | |||
Derivatives: | |||||||
Equity Contracts | |||||||
Total Return Swap Contracts | 1,395,554 | — | 1,395,554 | — | |||
Foreign Currency Contracts | |||||||
Forward Foreign Currency Contract | 216 | — | 216 | — | |||
Total Assets | $ 29,705,475 | $ 28,309,705 | $ 1,395,770 | $ — | |||
Liabilities | |||||||
Short Positions | |||||||
Common Stocks | $ (703,033) | $ (703,033) | $ — | $ — | |||
Derivatives: | |||||||
Equity Contracts | |||||||
Total Return Swap Contract | (37,705) | — | (37,705) | — | |||
Foreign Currency Contracts | |||||||
Forward Foreign Currency Contracts | (67,034) | — | (67,034) | — | |||
Total Liabilities | $ (807,772) | $ (703,033) | $ (104,739) | $ — |
Total Value at 03/31/23 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Sirios Focus Fund | |||||||
Assets | |||||||
Common Stocks | $ 8,102,595 | $ 8,102,595 | $ — | $ — | |||
Derivatives: | |||||||
Equity Contracts | |||||||
Total Return Swap Contracts | 244,436 | — | 244,436 | — | |||
Foreign Currency Contracts | |||||||
Forward Foreign Currency Contract | 63 | — | 63 | — | |||
Total Assets | $ 8,347,094 | $ 8,102,595 | $ 244,499 | $ — | |||
Liabilities | |||||||
Derivatives: | |||||||
Foreign Currency Contracts | |||||||
Forward Foreign Currency Contracts | $ (26,772) | $ — | $ (26,772) | $ — | |||
Total Liabilities | $ (26,772) | $ — | $ (26,772) | $ — |
Forward Foreign Currency Contracts - Purchased | Forward Foreign Currency Contracts - Sold | ||
Sirios Long/Short Fund | $1,153,329 | $6,069,642 | |
Sirios Focus Fund | $ 456,696 | $2,438,379 |
Notional Amount - Long | Notional Amount - Short | ||
Sirios Long/Short Fund | $4,642,564 | $9,625,273 | |
Sirios Focus Fund | 1,898,570 | — |
Counterparty | Derivative Assets - Gross | Derivative Available for Offset | Collateral Received | Derivative Assets - Net* |
Sirios Long/Short Fund | ||||
Morgan Stanley | $1,395,770 | $(104,739) | $(778,366) | $512,665 |
Sirios Focus Fund | ||||
Morgan Stanley | $ 244,499 | $ (26,772) | $ — | $217,727 |
* | 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 | $(104,739) | $104,739 | $— | $— |
Sirios Focus Fund | ||||
Morgan Stanley | $ (26,772) | $ 26,772 | $— | $— |
** | Net amount represents the net payable to the counterparty in the event of a default. |
Sirios Long/Short Fund Derivative Type | Location Statements of Assets and Liabilities | Equity Risk | Foreign Currency Risk | Total |
Asset Derivatives | ||||
Forward Foreign Currency Contracts | Unrealized appreciation on forward foreign currency contracts | $ — | $ 216 | $ 216 |
Swap Contracts | Unrealized appreciation on swap contracts | 1,395,554 | — | 1,395,554 |
Total Value - Assets | $1,395,554 | $ 216 | $1,395,770 | |
Liability Derivatives | ||||
Forward Foreign Currency Contracts | Unrealized depreciation on forward foreign currency contracts | $ — | $(67,034) | $ (67,034) |
Swap Contracts | Unrealized depreciation on swap contracts | (37,705) | — | (37,705) |
Total Value - Liabilities | $ (37,705) | $(67,034) | $ (104,739) |
Sirios Focus Fund Derivative Type | Location Statements of Assets and Liabilities | Equity Risk | Foreign Currency Risk | Total |
Asset Derivatives | ||||
Forward Foreign Currency Contracts | Unrealized appreciation on forward foreign currency contracts | $ — | $ 63 | $ 63 |
Swap Contracts | Unrealized appreciation on swap contracts | 244,436 | — | 244,436 |
Total Value - Assets | $244,436 | $ 63 | $244,499 | |
Liability Derivatives | ||||
Forward Foreign Currency Contracts | Unrealized depreciation on forward foreign currency contracts | $ — | $(26,772) | $ (26,772) |
Swap Contracts | Unrealized depreciation on swap contracts | — | — | — |
Total Value - Liabilities | $ — | $(26,772) | $ (26,772) |
Sirios Long/Short Fund Derivative Type | Location Statements of Operations | Equity Risk | Foreign Currency Risk | Total |
Realized Gain(Loss) | ||||
Forward Foreign Currency Contracts | Net realized gain/(loss) from forward foreign currency contracts | $ — | $(277,980) | $(277,980) |
Swap Contracts | Net realized gain/(loss) from swap contracts | 263,797 | — | 263,797 |
Total Realized Gain(Loss) | $263,797 | $(277,980) | $ (14,183) |
Sirios Focus Fund Derivative Type | Location Statements of Operations | Equity Risk | Foreign Currency Risk | Total |
Realized Gain(Loss) | ||||
Forward Foreign Currency Contracts | Net realized gain/(loss) from forward foreign currency contracts | $ — | $(112,519) | $(112,519) |
Swap Contracts | Net realized gain/(loss) from swap contracts | (114,094) | — | (114,094) |
Total Realized Loss | $(114,094) | $(112,519) | $(226,613) |
Sirios Long/Short Fund Derivative Type | Location Statements 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 | $ — | $(150,461) | $(150,461) |
Swap Contracts | Net change in unrealized depreciation on swap contracts | (273,852) | — | (273,852) |
Total Change in Appreciation (Depreciation) | $(273,852) | $(150,461) | $(424,313) |
Sirios Focus Fund Derivative Type | Location Statements 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 | $ — | $(60,334) | $ (60,334) |
Swap Contracts | Net change in unrealized appreciation on swap contracts | 499,020 | — | 499,020 |
Total Change in Appreciation (Depreciation) | $499,020 | $(60,334) | $438,686 |
Expiration | |||||||||
09/30/2023 | 09/30/2024 | 09/30/2025 | 09/30/2026 | Total | |||||
Sirios Long/Short Fund | $129,025 | $230,327 | $238,000 | $120,413 | $717,765 | ||||
Sirios Focus Fund | — | 105,845 | 128,899 | 74,411 | 309,155 |
Purchases | Sales | ||
Sirios Long/Short Fund | $8,929,213 | $10,126,111 | |
Sirios Focus Fund | 3,814,623 | 4,186,463 |
For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | ||||||
Shares | Amount | Shares | Amount | ||||
Sirios Long/Short Fund: | |||||||
Institutional Class | |||||||
Sales | — | $ — | — | $ — | |||
Reinvestments | 69,415 | 735,114 | 122,159 | 1,412,149 | |||
Redemptions | — | — | — | — | |||
Net increase | 69,415 | $735,114 | 122,159 | $1,412,149 | |||
Sirios Focus Fund: | |||||||
Institutional Class | |||||||
Sales | — | $ — | — | $ — | |||
Reinvestments | 30,020 | 298,700 | 76,925 | 883,100 | |||
Redemptions | — | — | — | — | |||
Net increase | 30,020 | $298,700 | 76,925 | $ 883,100 |
Undistributed Ordinary Income | Unrealized Appreciation/ (Depreciation) | Qualified Late-Year Losses | |||
Sirios Long/Short Fund | $735,112 | $ 882,871 | $(1,488,908) | ||
Sirios Focus Fund | 298,700 | (676,150) | (782,642) |
Federal Tax Cost* | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation | |||||
Sirios Long/Short Fund | $26,179,835 | $3,803,678 | $(357,595) | $3,446,083 | ||||
Sirios Focus Fund | 7,302,421 | 1,152,353 | (134,452) | 1,017,901 |
* | 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. |
301 Bellevue Parkway
Wilmington, DE 19809
500 Ross Street, 154-0520
Pittsburgh, PA 15262
Three Canal Plaza, Suite 100
Portland, ME 04101
240 Greenwich Street
New York, NY 10286
3000 Two Logan Square
18th and Arch Streets
TOBAM Emerging Markets Fund |
Class I |
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2023 | |||||||||
Six Months† | 1 Year | 3 Years | 5 Years | Since Inception | |||||
Class I | 3.42% | -17.90% | 3.24% | -6.07% | -0.67% * | ||||
BBG EM L/M Net TR Index | 11.24% | -10.60% | 8.57% | 0.39% | 3.53% ** |
† | 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. |
Beginning Account Value October 1, 2022 | Ending Account Value March 31, 2023 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
TOBAM Emerging Markets Fund | |||||||
Class I | |||||||
Actual | $1,000.00 | $1,028.10 | 1.10% | $5.56 | |||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.45 | 1.10% | 5.54 |
* | Expenses are equal to the annualized expense ratio for the six-month period ended March 31, 2023 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 2.81% for Class I shares. |
% of Net Assets | Value | ||
COMMON STOCKS: | |||
Telecommunications | 9.4% | $ 8,515,572 | |
Pharmaceuticals | 9.2 | 8,344,166 | |
Banks | 8.2 | 7,413,169 | |
Food | 6.0 | 5,470,776 | |
Healthcare-Services | 4.3 | 3,904,713 | |
Oil & Gas | 4.2 | 3,768,988 | |
Transportation | 3.9 | 3,551,639 | |
Computers | 3.7 | 3,386,808 | |
Mining | 3.6 | 3,259,489 | |
Electronics | 3.5 | 3,161,432 | |
Healthcare-Products | 3.4 | 3,055,875 | |
Gas | 3.0 | 2,706,815 | |
Software | 2.7 | 2,466,786 | |
Retail | 2.6 | 2,341,423 | |
Real Estate | 2.3 | 2,093,557 | |
Energy-Alternate Sources | 2.2 | 2,005,370 | |
Semiconductors | 2.2 | 1,996,546 | |
Commercial Services | 2.0 | 1,774,267 | |
Electric | 1.8 | 1,600,093 | |
Agriculture | 1.6 | 1,407,975 | |
Forest Products & Paper | 1.3 | 1,224,174 | |
Leisure Time | 1.3 | 1,220,076 | |
Beverages | 1.2 | 1,101,992 | |
Apparel | 1.1 | 989,258 | |
Engineering & Construction | 1.1 | 985,670 | |
Home Furnishings | 1.1 | 967,666 | |
Internet | 1.0 | 902,559 | |
Cosmetics/Personal Care | 0.8 | 759,972 | |
Chemicals | 0.8 | 724,539 | |
Machinery-Diversified | 0.8 | 717,322 | |
Water | 0.7 | 660,841 | |
Distribution/Wholesale | 0.7 | 646,187 | |
Biotechnology | 0.6 | 531,189 | |
Diversified Financial Services | 0.5 | 491,999 | |
Household Products/Wares | 0.4 | 402,637 | |
Airlines | 0.4 | 355,195 | |
Iron/Steel | 0.4 | 353,439 | |
Machinery-Construction & Mining | 0.4 | 338,276 | |
Electrical Components & Equipments | 0.4 | 321,161 | |
Shipbuilding | 0.3 | 305,144 | |
Miscellaneous Manufacturing | 0.3 | 250,704 | |
Insurance | 0.2 | 196,642 | |
Housewares | 0.2 | 183,089 | |
Auto Parts & Equipment | 0.2 | 182,402 | |
Metal Fabricate/Hardware | 0.1 | 101,779 | |
Total Common Stocks | 96.1 | 87,139,371 |
% of Net Assets | Value | ||
PREFERRED STOCKS: | |||
Oil & Gas | 1.1% | $ 1,015,695 | |
Banks | 1.1 | 1,001,432 | |
Electric | 0.3 | 271,406 | |
Total Preferred Stocks | 2.5 | 2,288,533 | |
Other Assets in Excess of Liabilities | 1.4 | 1,309,349 | |
NET ASSETS | 100.0% | $90,737,253 |
Number of Shares | Value | ||
COMMON STOCKS — 96.1% | |||
Brazil — 6.0% | |||
Atacadao SA | 139,200 | $ 341,378 | |
CCR SA | 167,200 | 419,612 | |
Hapvida Participacoes e Investimentos SA(a)* | 1,425,700 | 739,790 | |
Lojas Renner SA | 71,200 | 233,192 | |
Magazine Luiza SA* | 726,300 | 474,317 | |
Petroleo Brasileiro SA | 49,800 | 260,769 | |
Raia Drogasil SA | 268,600 | 1,292,536 | |
Sendas Distribuidora SA | 134,700 | 412,462 | |
Suzano SA | 148,900 | 1,224,174 | |
5,398,230 | |||
Chile — 0.4% | |||
Cencosud SA | 209,188 | 404,223 | |
China — 34.1% | |||
3peak, Inc., Class A | 8,109 | 287,238 | |
Agricultural Bank of China Ltd., Class H | 416,000 | 154,056 | |
Anjoy Foods Group Co. Ltd., Class A | 7,400 | 176,477 | |
Asia - Potash International Investment Guangzhou Co. Ltd., Class A* | 60,700 | 241,539 | |
Autobio Diagnostics Co. Ltd., Class A | 35,400 | 314,190 | |
Beijing Kingsoft Office Software, Inc., Class A | 20,739 | 1,427,916 | |
Canmax Technologies Co. Ltd., Class A | 40,640 | 303,499 | |
CanSino Biologics, Inc., Class H(a) | 19,600 | 104,505 | |
Changchun High & New Technology Industry Group, Inc., Class A | 3,300 | 78,480 | |
China Construction Bank Corp., Class H | 394,000 | 254,995 | |
China CSSC Holdings Ltd., Class A | 89,400 | 305,144 | |
China Feihe Ltd.(a) | 172,000 | 128,906 | |
China Gas Holdings Ltd. | 303,800 | 427,731 | |
China Merchants Energy Shipping Co. Ltd., Class A | 173,200 | 176,770 | |
China National Software & Service Co. Ltd., Class A | 42,300 | 424,477 | |
China Overseas Land & Investment Ltd. | 436,500 | 1,053,047 | |
China Resources Gas Group Ltd. | 200,100 | 736,049 | |
China Resources Sanjiu Medical & Pharmaceutical Co. Ltd., Class A | 48,000 | 401,289 | |
China Yangtze Power Co. Ltd., Class A | 211,411 | 653,396 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
China — (Continued) | |||
China Zhenhua Group Science & Technology Co. Ltd., Class A | 9,500 | $ 124,625 | |
Chongqing Zhifei Biological Products Co. Ltd., Class A | 30,688 | 366,689 | |
COSCO SHIPPING Energy Transportation Co. Ltd., Class A* | 205,200 | 404,317 | |
East Buy Holding Ltd.(a)* | 71,000 | 303,916 | |
ENN Energy Holdings Ltd. | 74,200 | 1,016,019 | |
Gemdale Corp., Class A | 293,900 | 358,077 | |
Ginlong Technologies Co. Ltd., Class A* | 7,950 | 154,750 | |
GoodWe Technologies Co. Ltd., Class A | 8,013 | 338,276 | |
Guangdong Investment Ltd. | 646,000 | 660,841 | |
Guangzhou Shiyuan Electronic Technology Co. Ltd., Class A | 12,200 | 132,910 | |
Henan Shuanghui Investment & Development Co. Ltd., Class A | 32,300 | 121,888 | |
Hengan International Group Co. Ltd. | 138,500 | 641,538 | |
Hoshine Silicon Industry Co. Ltd., Class A | 51,563 | 623,594 | |
Huadong Medicine Co. Ltd., Class A | 32,700 | 220,505 | |
Huizhou Desay Sv Automotive Co. Ltd., Class A | 11,300 | 182,402 | |
Industrial & Commercial Bank of China Ltd., Class H | 1,966,000 | 1,044,810 | |
Ingenic Semiconductor Co. Ltd., Class A | 8,100 | 105,106 | |
Inspur Electronic Information Industry Co. Ltd., Class A | 64,900 | 332,354 | |
iRay Technology Co. Ltd., Class A | 4,493 | 236,165 | |
Jiangsu Pacific Quartz Co. Ltd., Class A | 15,900 | 285,742 | |
Jiangsu Zhongtian Technology Co. Ltd., Class A | 218,500 | 544,027 | |
Maxscend Microelectronics Co. Ltd., Class A | 8,228 | 149,188 | |
Metallurgical Corp. of China Ltd., Class A | 238,600 | 135,398 | |
Montage Technology Co. Ltd., Class A | 23,978 | 243,263 | |
Muyuan Foods Co. Ltd., Class A | 39,484 | 281,181 | |
NARI Technology Co. Ltd., Class A | 89,800 | 354,058 | |
New Hope Liuhe Co. Ltd., Class A* | 83,500 | 160,799 | |
Ningbo Deye Technology Co. Ltd., Class A | 15,300 | 575,935 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
China — (Continued) | |||
Ningbo Orient Wires & Cables Co. Ltd., Class A | 44,800 | $ 321,161 | |
Offcn Education Technology Co. Ltd., Class A* | 401,400 | 285,274 | |
PetroChina Co. Ltd., Class H | 1,090,000 | 643,900 | |
Poly Developments and Holdings Group Co. Ltd., Class A | 332,400 | 682,433 | |
Porton Pharma Solutions Ltd., Class A | 32,200 | 173,781 | |
Postal Savings Bank of China Co. Ltd., Class H(a) | 2,097,000 | 1,243,639 | |
Pylon Technologies Co. Ltd., Class A | 9,940 | 355,416 | |
SG Micro Corp., Class A | 5,150 | 116,530 | |
Shandong Weigao Group Medical Polymer Co. Ltd., Class H | 534,400 | 853,927 | |
Shanghai Bairun Investment Holding Group Co. Ltd., Class A | 37,100 | 220,784 | |
Shanghai Fosun Pharmaceutical Group Co. Ltd., Class A | 59,700 | 281,820 | |
Shanghai Fudan Microelectronics Group Co. Ltd., Class H | 58,000 | 214,322 | |
Shanghai Junshi Biosciences Co. Ltd., Class H(a)* | 25,000 | 87,232 | |
Shanghai Putailai New Energy Technology Co. Ltd., Class A | 27,100 | 197,258 | |
Shenzhen Dynanonic Co. Ltd., Class A | 7,200 | 199,007 | |
Shenzhen New Industries Biomedical Engineering Co. Ltd., Class A | 48,300 | 429,944 | |
Shenzhen SC New Energy Technology Corp., Class A | 21,800 | 363,264 | |
Shenzhen Transsion Holdings Co. Ltd., Class A | 9,597 | 141,435 | |
Shijiazhuang Yiling Pharmaceutical Co. Ltd., Class A | 104,900 | 444,087 | |
Sichuan Road and Bridge Group Co. Ltd., Class A | 88,400 | 177,522 | |
Sungrow Power Supply Co. Ltd., Class A | 34,700 | 530,644 | |
Suzhou Maxwell Technologies Co. Ltd., Class A | 6,405 | 284,290 | |
Tianjin 712 Communication & Broadcasting Co. Ltd., Class A | 49,200 | 221,633 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
China — (Continued) | |||
Tingyi Cayman Islands Holding Corp. | 416,000 | $ 696,158 | |
Trina Solar Co. Ltd., Class A | 28,990 | 219,633 | |
Unigroup Guoxin Microelectronics Co. Ltd., Class A | 21,399 | 346,150 | |
Walvax Biotechnology Co. Ltd., Class A | 100,900 | 505,948 | |
Want Want China Holdings Ltd. | 1,006,000 | 647,249 | |
Weihai Guangwei Composites Co. Ltd., Class A | 33,738 | 250,704 | |
Wens Foodstuffs Group Co. Ltd., Class A | 208,620 | 621,458 | |
Western Superconducting Technologies Co. Ltd., Class A | 29,719 | 353,439 | |
Xiamen C & D, Inc., Class A | 134,911 | 236,573 | |
YongXing Special Materials Technology Co. Ltd., Class A | 8,300 | 101,779 | |
Zhejiang Huahai Pharmaceutical Co. Ltd., Class A | 92,500 | 271,503 | |
Zhejiang Jiuzhou Pharmaceutical Co. Ltd., Class A | 54,600 | 264,260 | |
Zhejiang Supcon Technology Co. Ltd., Class A | 15,374 | 233,152 | |
30,965,386 | |||
India — 17.9% | |||
Apollo Hospitals Enterprise Ltd. | 9,125 | 479,890 | |
Avenue Supermarts Ltd.(a)* | 24,627 | 1,021,920 | |
Bandhan Bank Ltd.(a)* | 129,673 | 310,017 | |
Bharat Petroleum Corp. Ltd. | 178,699 | 750,102 | |
Bharti Airtel Ltd. | 134,950 | 1,230,677 | |
Cipla Ltd. | 99,037 | 1,086,995 | |
Container Corp. Of India Ltd. | 62,530 | 442,514 | |
Dr Reddy's Laboratories Ltd. | 23,199 | 1,308,159 | |
Eicher Motors Ltd. | 24,119 | 866,630 | |
GAIL India Ltd. | 410,655 | 527,016 | |
Godrej Consumer Products Ltd.* | 55,034 | 649,571 | |
HCL Technologies Ltd. | 36,492 | 484,453 | |
Hero MotoCorp Ltd. | 12,344 | 353,446 | |
Hindustan Petroleum Corp. Ltd. | 121,571 | 351,173 | |
Indian Oil Corp. Ltd. | 595,352 | 565,528 | |
Indian Railway Catering & Tourism Corp. Ltd. | 44,453 | 310,683 | |
Indian Railway Finance Corp. Ltd.(a) | 405,864 | 131,829 | |
Indus Towers Ltd. | 205,213 | 357,751 | |
InterGlobe Aviation Ltd.(a)* | 15,245 | 355,195 | |
Lupin Ltd. | 36,558 | 288,873 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
India — (Continued) | |||
Patanjali Foods Ltd. | 13,979 | $ 164,837 | |
Power Grid Corp. of India Ltd. | 343,868 | 946,697 | |
Punjab National Bank | 274,679 | 156,290 | |
Sun Pharmaceutical Industries Ltd. | 113,296 | 1,357,544 | |
Tata Consultancy Services Ltd. | 3,890 | 152,480 | |
Tech Mahindra Ltd. | 9,639 | 129,940 | |
United Spirits Ltd.* | 65,368 | 603,182 | |
Yes Bank Ltd.* | 3,882,719 | 713,004 | |
Zomato Ltd.* | 212,463 | 132,858 | |
16,229,254 | |||
Indonesia — 5.3% | |||
Aneka Tambang Tbk | 1,873,500 | 261,515 | |
Bank Central Asia Tbk PT | 748,900 | 438,140 | |
Bank Jago Tbk PT* | 1,358,000 | 220,077 | |
Bank Mandiri Persero Tbk PT | 671,900 | 462,702 | |
Bank Negara Indonesia Persero Tbk PT | 217,100 | 135,848 | |
Merdeka Copper Gold Tbk PT* | 2,078,900 | 582,188 | |
Sumber Alfaria Trijaya Tbk PT | 2,725,100 | 524,311 | |
Telkom Indonesia Persero Tbk PT | 5,146,400 | 1,397,469 | |
Tower Bersama Infrastructure Tbk PT | 979,200 | 141,233 | |
Unilever Indonesia Tbk PT | 1,387,800 | 402,637 | |
Vale Indonesia Tbk PT* | 456,300 | 202,753 | |
4,768,873 | |||
Malaysia — 3.0% | |||
Axiata Group Bhd | 556,385 | 380,563 | |
Kuala Lumpur Kepong Bhd | 73,000 | 344,537 | |
Maxis Bhd | 201,400 | 188,816 | |
Public Bank Bhd | 1,406,100 | 1,276,046 | |
Sime Darby Bhd | 479,400 | 233,725 | |
Sime Darby Plantation Bhd | 257,500 | 250,007 | |
2,673,694 | |||
Mexico — 0.8% | |||
Grupo Financiero Banorte SAB de CV, Class O | 85,700 | 721,554 | |
Peru — 0.3% | |||
Credicorp Ltd. | 2,130 | 281,991 | |
Philippines — 1.2% | |||
Emperador, Inc.* | 723,200 | 278,026 | |
International Container Terminal Services, Inc. | 72,870 | 286,116 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Philippines — (Continued) | |||
PLDT, Inc. | 9,365 | $ 245,251 | |
SM Investments Corp. | 14,660 | 240,633 | |
1,050,026 | |||
Russia — 0.0% | |||
Polyus PJSC(b)(c)* | 1,069 | — | |
South Africa — 2.8% | |||
AngloGold Ashanti Ltd. | 44,559 | 1,085,229 | |
Capitec Bank Holdings Ltd. | 3,657 | 346,638 | |
Gold Fields Ltd. | 84,192 | 1,127,804 | |
2,559,671 | |||
South Korea — 5.6% | |||
Amorepacific Corp. | 1,046 | 110,401 | |
Celltrion Healthcare Co. Ltd. | 13,236 | 616,581 | |
Celltrion, Inc. | 87 | 10,088 | |
Coway Co. Ltd. | 9,706 | 391,731 | |
HLB, Inc.* | 21,564 | 580,111 | |
HMM Co. Ltd. | 33,148 | 521,237 | |
LG Uplus Corp. | 20,793 | 173,232 | |
NCSoft Corp. | 1,480 | 424,125 | |
Orion Corp. | 4,646 | 487,620 | |
Samsung Biologics Co. Ltd.(a)* | 560 | 339,452 | |
Samsung Engineering Co. Ltd.* | 15,453 | 377,658 | |
Samsung Fire & Marine Insurance Co. Ltd. | 1,244 | 196,642 | |
SK Telecom Co. Ltd. | 11,689 | 433,687 | |
S-Oil Corp. | 7,356 | 453,118 | |
5,115,683 | |||
Taiwan — 12.7% | |||
Accton Technology Corp. | 59,000 | 620,098 | |
Asustek Computer, Inc. | 128,000 | 1,148,418 | |
AUO Corp. | 1,434,200 | 871,333 | |
E Ink Holdings, Inc. | 127,000 | 775,163 | |
Eclat Textile Co. Ltd. | 31,660 | 516,942 | |
Far EasTone Telecommunications Co. Ltd. | 430,000 | 1,062,701 | |
Feng TAY Enterprise Co. Ltd. | 74,200 | 472,316 | |
Innolux Corp. | 881,245 | 422,813 | |
Inventec Corp. | 566,000 | 594,913 | |
Micro-Star International Co. Ltd. | 106,000 | 503,834 | |
momo.com, Inc. | 11,600 | 345,576 | |
Nien Made Enterprise Co. Ltd. | 17,000 | 183,089 | |
PharmaEssentia Corp.* | 50,626 | 712,439 | |
Taiwan High Speed Rail Corp. | 460,000 | 457,241 | |
Taiwan Mobile Co. Ltd. | 415,000 | 1,376,999 | |
Wan Hai Lines Ltd. | 137,920 | 312,144 |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Taiwan — (Continued) | |||
Wiwynn Corp. | 17,000 | $ 630,724 | |
Yang Ming Marine Transport Corp. | 263,000 | 558,331 | |
11,565,074 | |||
Thailand — 6.0% | |||
Airports of Thailand PCL* | 142,000 | 295,092 | |
Bangkok Dusit Medical Services PCL, Class F | 1,658,000 | 1,431,329 | |
Bangkok Expressway & Metro PCL | 1,851,300 | 479,349 | |
Berli Jucker PCL | 229,800 | 257,614 | |
Bumrungrad Hospital PCL | 163,200 | 1,079,923 | |
Charoen Pokphand Foods PCL | 770,720 | 477,839 | |
Delta Electronics Thailand PCL | 6,950 | 233,177 | |
Energy Absolute PCL | 117,600 | 261,630 | |
Krungthai Card PCL | 91,500 | 145,361 | |
PTT Exploration & Production PCL | 169,400 | 744,398 | |
5,405,712 | |||
TOTAL COMMON STOCKS (Cost $86,031,758) | 87,139,371 | ||
PREFERRED STOCKS — 2.5% | |||
Brazil — 2.5% | |||
Banco Bradesco SA(d) | 122,000 | 317,971 | |
Cia Paranaense de Energia(d) | 198,500 | 271,406 | |
Itau Unibanco Holding SA(d) | 139,400 | 683,461 | |
Petroleo Brasileiro SA(d) | 220,000 | 1,015,695 | |
TOTAL PREFERRED STOCKS (Cost $2,600,369) | 2,288,533 | ||
TOTAL INVESTMENTS - 98.6% (Cost $88,632,127) | 89,427,904 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.4% | 1,309,349 | ||
NET ASSETS - 100.0% | $90,737,253 |
(a) | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities were purchased in accordance with the guidelines approved by the Fund’s Board of Trustees and may be resold, in transactions exempt from registration, to qualified institutional buyers. At March 31, 2023, these securities amounted to $4,766,401 or 5.25% of net assets. These securities have been determined by the Adviser to be liquid securities. |
(b) | Security is fair valued by the Adviser in accordance with the policies established by the Board of Trustees. |
(c) | Security is deemed illiquid at March 31, 2023. |
(d) | 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. |
PCL | Public Company Limited |
PJSC | Public Joint Stock Company |
Long Futures Outstanding | Expiration Date | Number of Contracts | Notional Cost | Notional Amount | Value and Unrealized Appreciation | |||||
MSCI ® Emerging Markets Index | 06/16/23 | 26 | $1,247,110 | $1,294,150 | $47,040 | |||||
$47,040 |
Assets | |
Investments, at value (Cost $88,632,127) | $ 89,427,904 |
Cash and cash equivalents | 1,002,289 |
Foreign currency, at value (Cost $95,117) | 97,905 |
Receivables: | |
Dividends | 220,953 |
Variation margin on futures contracts* | 336,835 |
Prepaid expenses and other assets | 26,568 |
Total Assets | 91,112,454 |
Liabilities | |
Payables: | |
Investment adviser | 153,034 |
Deferred foreign capital gains tax | 137,764 |
Administration and accounting fees | 24,438 |
Audit fees | 17,933 |
Custodian fees | 17,113 |
Shareholder reporting fees | 14,627 |
Accrued expenses | 10,292 |
Total Liabilities | 375,201 |
Net Assets | $ 90,737,253 |
Net Assets Consisted of: | |
Capital stock, $0.01 par value | $ 105,586 |
Paid-in capital | 109,910,887 |
Total distributable loss | (19,279,220) |
Net Assets | $ 90,737,253 |
Class I Shares: | |
Net assets | $ 90,737,253 |
Shares outstanding | 10,558,588 |
Net asset value, offering and redemption price per share | $ 8.59 |
* | Primary risk exposure is equity index contracts. |
Investment income | |
Dividends | $ 804,534 |
Less: foreign taxes withheld | (77,552) |
Total investment income | 726,982 |
Expenses | |
Advisory fees (Note 2) | 365,565 |
Custodian fees(Note 2) | 53,680 |
Administration and accounting fees (Note 2) | 39,478 |
Trustees’ and officers’ fees(Note 2) | 21,760 |
Audit fees | 20,327 |
Legal fees | 18,269 |
Shareholder reporting fees | 14,054 |
Transfer agent fees (Note 2) | 12,656 |
Registration and filing fees | 785 |
Other expenses | 7,320 |
Total expenses before waivers and reimbursements | 553,894 |
Less: waivers and reimbursements(Note 2) | (50,909) |
Net expenses after waivers and reimbursements | 502,985 |
Net investment income | 223,997 |
Net realized and unrealized gain/(loss) from investments: | |
Net realized loss from investments* | (5,869,351) |
Net realized gain from foreign currency transactions | 23,324 |
Net realized loss from futures contracts** | (144,266) |
Net change in unrealized appreciation on investments*** | 8,654,095 |
Net change in unrealized appreciation on foreign currency translations | 11,048 |
Net change in unrealized appreciation on futures contracts** | 176,650 |
Net realized and unrealized gain on investments | 2,851,500 |
Net increase in net assets resulting from operations | $ 3,075,497 |
* | Net realized loss from investments includes foreign capital gains tax of $54,504. |
** | Primary risk exposure is equity index contracts. |
*** | Includes net decrease in deferred foreign capital gains tax of $416,857. |
For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | ||
Net increase/(decrease) in net assets from operations: | |||
Net investment income | $ 223,997 | $ 2,003,731 | |
Net realized losses from investments, foreign currency transactions, futures contracts and forward foreign currency contracts | (5,990,293) | (12,620,191) | |
Net change in unrealized appreciation/(depreciation) on investments, foreign currency translations and futures contracts | 8,841,793 | (23,308,958) | |
Net increase/(decrease) in net assets resulting from operations | 3,075,497 | (33,925,418) | |
Less dividends and distributions to shareholders from: | |||
Total distributable earnings: | |||
Class I | (1,370,505) | (1,339,760) | |
Net decrease in net assets from dividends and distributions to shareholders | (1,370,505) | (1,339,760) | |
Increase in net assets derived from capital share transactions (Note 4) | 1,370,397 | 1,339,655 | |
Total increase/(decrease) in net assets | 3,075,389 | (33,925,523) | |
Net assets | |||
Beginning of period | 87,661,864 | 121,587,387 | |
End of period | $90,737,253 | $ 87,661,864 |
Class I | |||||||||||
For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | 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 | ||||||
Per Share Operating Performance | |||||||||||
Net asset value, beginning of period | $ 8.43 | $ 11.82 | $ 10.68 | $ 10.25 | $ 11.58 | $ 11.35 | |||||
Net investment income(1) | 0.02 | 0.19 | 0.10 | 0.07 | 0.15 | 0.16 | |||||
Net realized and unrealized gain/(loss) on investments | 0.27 | (3.45) | 1.08 | 0.47 | (0.91) | 0.27 | |||||
Total from investment operations | 0.29 | (3.26) | 1.18 | 0.54 | (0.76) | 0.43 | |||||
Dividends and distributions to shareholders from: | |||||||||||
Net investment income | (0.13) | (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) | (0.13) | (0.04) | (0.11) | (0.57) | (0.20) | |||||
Net asset value, end of period | $ 8.59 | $ 8.43 | $ 11.82 | $ 10.68 | $ 10.25 | $ 11.58 | |||||
Total investment return(2) | 3.42% | (27.88)% | 11.05% | 5.30% | (6.47)% | 3.79% | |||||
Ratios/Supplemental Data | |||||||||||
Net assets, end of period (in 000s) | $90,737 | $87,662 | $121,587 | $105,031 | $99,673 | $49,822 | |||||
Ratio of expenses to average net assets | 1.10% (3) | 1.10% | 1.10% | 1.10% | 1.10% | 0.95% | |||||
Ratio of expenses to average net assets without waivers and reimbursements(4) | 1.21% (3) | 1.19% | 1.15% | 1.17% | 1.20% | 1.44% | |||||
Ratio of net investment income to average net assets | 0.49% (3) | 1.85% | 0.83% | 0.68% | 1.48% | 1.27% | |||||
Portfolio turnover rate | 22% (5) | 43% | 42% | 42% | 42% | 33% |
(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. |
Total Value at 03/31/23 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets | |||||||
Common Stocks | |||||||
Brazil | $ 5,398,230 | $ 5,398,230 | $ — | $ — | |||
Chile | 404,223 | 404,223 | — | — | |||
China | 30,965,386 | 1,507,053 | 29,458,333 | — | |||
India | 16,229,254 | — | 16,229,254 | — | |||
Indonesia | 4,768,873 | — | 4,768,873 | — | |||
Malaysia | 2,673,694 | — | 2,673,694 | — | |||
Mexico | 721,554 | 721,554 | — | — | |||
Peru | 281,991 | 281,991 | — | — | |||
Philippines | 1,050,026 | 278,026 | 772,000 | — | |||
Russia | — | — | — | — | |||
South Africa | 2,559,671 | 346,638 | 2,213,033 | — | |||
South Korea | 5,115,683 | — | 5,115,683 | — | |||
Taiwan | 11,565,074 | — | 11,565,074 | — | |||
Thailand | 5,405,712 | — | 5,405,712 | — | |||
Preferred Stocks | 2,288,533 | 2,288,533 | — | — | |||
Derivatives: | |||||||
Equity Contracts | |||||||
Long Futures | 47,040 | 47,040 | — | — | |||
Total Assets | $ 89,474,944 | $ 11,273,288 | $ 78,201,656 | $ — |
Expiration | |||||||||
09/30/2023 | 09/30/2024 | 09/30/2025 | 03/31/2026 | Total | |||||
$41,610 | $63,299 | $92,603 | $50,909 | $248,421 |
Purchases | Sales | ||
Investment Securities | $19,685,517 | $19,790,808 |
For the Six Months Ended March 31, 2023 (Unaudited) | For the Year Ended September 30, 2022 | ||||||
Shares | Amount | Shares | Amount | ||||
Class I | |||||||
Sales | — | $ — | 5,436 | $ 63,058 | |||
Reinvestments | 155,652 | 1,370,397 | 115,687 | 1,339,655 | |||
Redemptions | — | — | (5,436) | (63,058) | |||
Net increase | 155,652 | $1,370,397 | 115,687 | $1,339,655 |
Capital Loss Carryforward | Undistributed Ordinary Income | Unrealized Appreciation/ (Depreciation) | ||
$(14,108,878) | $1,206,397 | $(8,081,731) | ||
Federal Tax Cost* | $ 88,632,127 |
Unrealized Appreciation | 11,454,979 |
Unrealized Depreciation | (10,659,202) |
Net Unrealized Appreciation | $ 795,777 |
* | 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. |
75008 Paris, France
301 Bellevue Parkway
Wilmington, DE 19809
500 Ross Street, 154-0520
Pittsburgh, PA 15262
Three Canal Plaza, Suite 100
Portland, ME 04101
240 Greenwich Street
New York, NY 10286
3000 Two Logan Square
18th and Arch Streets
(b) | Not applicable. |
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. |
(b) | Not applicable. |
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. |
(a)(1) | Not applicable. |
(a)(2) |
(a)(2)(1) | Not applicable. |
(a)(2)(2) | Not applicable. |
(b) |
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 1, 2023 |
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 1, 2023 | ||||
By (Signature and Title)* | /s/ Christine S. Catanzaro | |||
Christine S. Catanzaro, Treasurer and | ||||
Chief Financial Officer | ||||
(principal financial officer) | ||||
Date June 1, 2023 |
* Print the name and title of each signing officer under his or her signature.