GOTHAM NEUTRAL FUND
Portfolio of Investments
December 31, 2020
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 95.7% |
| |||||||
Automobiles & Components — 1.2% |
| |||||||
Adient PLC (Ireland)* | 2,345 | $ | 81,536 | |||||
American Axle & Manufacturing Holdings, Inc.(a)* | 4,505 | 37,572 | ||||||
BorgWarner, Inc.(a) | 386 | 14,915 | ||||||
Cooper Tire & Rubber Co.(a) | 294 | 11,907 | ||||||
Ford Motor Co.(a) | 195 | 1,714 | ||||||
General Motors Co.(a) | 26 | 1,083 | ||||||
Gentherm, Inc.(a)* | 758 | 49,437 | ||||||
Magna International, Inc. (Canada) | 2,290 | 162,132 | ||||||
Standard Motor Products, Inc.(a) | 4 | 162 | ||||||
Tenneco, Inc., Class A(a)* | 5,463 | 57,908 | ||||||
Thor Industries, Inc.(a) | 96 | 8,927 | ||||||
Visteon Corp.(a)* | 424 | 53,220 | ||||||
Winnebago Industries, Inc.(a) | 34 | 2,038 | ||||||
|
| |||||||
482,551 | ||||||||
|
| |||||||
Capital Goods — 16.2% |
| |||||||
3M Co.(a) | 501 | 87,570 | ||||||
Acuity Brands, Inc.(a) | 561 | 67,931 | ||||||
Advanced Drainage Systems, Inc.(a) | 104 | 8,692 | ||||||
AECOM(a)* | 2,272 | 113,100 | ||||||
Altra Industrial Motion Corp.(a) | 1,315 | 72,890 | ||||||
AMETEK, Inc.(a) | 553 | 66,880 | ||||||
Apogee Enterprises, Inc.(a) | 27 | 855 | ||||||
Atkore International Group, Inc.(a)* | 1,559 | 64,090 | ||||||
Ballard Power Systems, Inc. (Canada)* | 4,351 | 101,813 | ||||||
Bloom Energy Corp., Class A(a)* | 416 | 11,923 | ||||||
BMC Stock Holdings, Inc.(a)* | 235 | 12,615 | ||||||
Carrier Global Corp.(a) | 170 | 6,412 | ||||||
Colfax Corp.(a)* | 12,855 | 491,575 | ||||||
Columbus McKinnon Corp.(a) | 918 | 35,288 | ||||||
Crane Co.(a) | 184 | 14,289 | ||||||
Cubic Corp.(a) | 38 | 2,358 | ||||||
Cummins, Inc.(a) | 272 | 61,771 | ||||||
Curtiss-Wright Corp.(a) | 72 | 8,377 | ||||||
Dover Corp.(a) | 1,037 | 130,921 | ||||||
Dycom Industries, Inc.(a)* | 345 | 26,054 | ||||||
Emerson Electric Co.(a) | 594 | 47,740 | ||||||
Flowserve Corp.(a) | 2,571 | 94,741 | ||||||
Fortive Corp.(a) | 1,257 | 89,021 | ||||||
Fortune Brands Home & Security, Inc.(a) | 2,855 | 244,731 | ||||||
Franklin Electric Co., Inc.(a) | 596 | 41,249 | ||||||
FuelCell Energy, Inc.(a)* | 33,206 | 370,911 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Generac Holdings, Inc.(a)* | 89 | $ | 20,239 | |||||
Gibraltar Industries, Inc.(a)* | 2,039 | 146,686 | ||||||
GMS, Inc.(a)* | 3,337 | 101,712 | ||||||
Honeywell International, Inc.(a) | 673 | 143,147 | ||||||
Howmet Aerospace, Inc.(a) | 21,468 | 612,697 | ||||||
Hubbell, Inc.(a) | 188 | 29,477 | ||||||
ITT, Inc.(a) | 359 | 27,650 | ||||||
L3Harris Technologies, Inc.(a) | 657 | 124,186 | ||||||
Lennox International, Inc.(a) | 165 | 45,205 | ||||||
Lockheed Martin Corp.(a) | 406 | 144,122 | ||||||
Masco Corp.(a) | 2,737 | 150,343 | ||||||
Middleby Corp. (The)(a)* | 229 | 29,523 | ||||||
Mueller Industries, Inc.(a) | 1,497 | 52,560 | ||||||
Northrop Grumman Corp.(a) | 210 | 63,991 | ||||||
NOW, Inc.(a)* | 22 | 158 | ||||||
nVent Electric PLC (Ireland) | 2,093 | 48,746 | ||||||
Owens Corning(a) | 3,928 | 297,585 | ||||||
Parker-Hannifin Corp.(a) | 60 | 16,345 | ||||||
Pentair PLC (Ireland) | 2,939 | 156,032 | ||||||
Primoris Services Corp. | 2 | 55 | ||||||
Quanta Services, Inc.(a) | 2,675 | 192,653 | ||||||
Regal Beloit Corp.(a) | 521 | 63,984 | ||||||
Rexnord Corp.(a) | 1,230 | 48,573 | ||||||
Simpson Manufacturing Co., Inc.(a) | 2,508 | 234,373 | ||||||
SiteOne Landscape Supply, Inc.(a)* | 935 | 148,319 | ||||||
Snap-on, Inc.(a) | 618 | 105,765 | ||||||
SPX FLOW, Inc.(a)* | 1,512 | 87,636 | ||||||
Stanley Black & Decker, Inc.(a) | 51 | 9,107 | ||||||
Textainer Group Holdings Ltd. (Bermuda)* | 15 | 288 | ||||||
Toro Co. (The)(a) | 163 | 15,459 | ||||||
TPI Composites, Inc.(a)* | 1,177 | 62,122 | ||||||
Trane Technologies PLC (Ireland) | 1,205 | 174,918 | ||||||
TransDigm Group, Inc.(a)* | 71 | 43,938 | ||||||
UFP Industries, Inc.(a) | 2,931 | 162,817 | ||||||
United Rentals, Inc.(a)* | 201 | 46,614 | ||||||
Univar Solutions, Inc.(a)* | 2,379 | 45,225 | ||||||
Valmont Industries, Inc.(a) | 513 | 89,739 | ||||||
Wabash National Corp.(a) | 5,130 | 88,390 | ||||||
Watsco, Inc.(a) | 290 | 65,700 | ||||||
Watts Water Technologies, Inc., Class A(a) | 837 | 101,863 |
1 |
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Westinghouse Air Brake Technologies Corp.(a) | 1,144 | $ | 83,741 | |||||
|
| |||||||
6,355,480 | ||||||||
|
| |||||||
Commercial & Professional Services — 2.7% |
| |||||||
ABM Industries, Inc.(a) | 1,846 | 69,853 | ||||||
Cimpress PLC (Ireland)* | 1,257 | 110,289 | ||||||
Clarivate PLC (Jersey)* | 1,795 | 53,329 | ||||||
Clean Harbors, Inc.(a)* | 561 | 42,692 | ||||||
Covanta Holding Corp.(a) | 11,102 | 145,769 | ||||||
Deluxe Corp.(a) | 10 | 292 | ||||||
Healthcare Services Group, Inc.(a) | 43 | 1,208 | ||||||
Herman Miller, Inc.(a) | 48 | 1,622 | ||||||
HNI Corp.(a) | 33 | 1,137 | ||||||
KAR Auction Services, Inc.(a) | 326 | 6,067 | ||||||
Kforce, Inc.(a) | 10 | 421 | ||||||
ManpowerGroup, Inc.(a) | 2,156 | 194,428 | ||||||
Nielsen Holdings PLC (United Kingdom) | 1,696 | 35,396 | ||||||
Republic Services, Inc.(a) | 595 | 57,298 | ||||||
Ritchie Bros Auctioneers, Inc. (Canada) | 14 | 974 | ||||||
Steelcase, Inc., Class A(a) | 33 | 447 | ||||||
Tetra Tech, Inc.(a) | 185 | 21,419 | ||||||
Thomson Reuters Corp. (Canada) | 357 | 29,235 | ||||||
TransUnion(a) | 813 | 80,666 | ||||||
TriNet Group, Inc.(a)* | 1,023 | 82,454 | ||||||
UniFirst Corp.(a) | 393 | 83,194 | ||||||
Waste Management, Inc.(a) | 229 | 27,006 | ||||||
|
| |||||||
1,045,196 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 4.6% |
| |||||||
Brunswick Corp.(a) | 1,562 | 119,087 | ||||||
Capri Holdings Ltd. (British Virgin Islands)* | 5,531 | 232,302 | ||||||
Cavco Industries, Inc.(a)* | 43 | 7,544 | ||||||
DR Horton, Inc.(a) | 793 | 54,654 | ||||||
Garmin Ltd. (Switzerland) | 201 | 24,052 | ||||||
G-III Apparel Group Ltd.(a)* | 426 | 10,113 | ||||||
Gildan Activewear, Inc. (Canada) | 316 | 8,851 | ||||||
Hanesbrands, Inc.(a) | 2,083 | 30,370 | ||||||
Kontoor Brands, Inc.(a) | 2,885 | 117,016 | ||||||
La-Z-Boy, Inc.(a) | 1,052 | 41,912 | ||||||
Leggett & Platt, Inc.(a) | 240 | 10,632 | ||||||
Lovesac Co. (The)* | 5 | 215 | ||||||
Mattel, Inc.(a)* | 5,665 | 98,854 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
Mohawk Industries, Inc.(a)* | 1,871 | $ | 263,717 | |||||
NIKE, Inc., Class B(a) | 492 | 69,603 | ||||||
Polaris, Inc.(a) | 614 | 58,502 | ||||||
PulteGroup, Inc.(a) | 1,317 | 56,789 | ||||||
PVH Corp.(a) | 323 | 30,326 | ||||||
Smith & Wesson Brands, Inc.(a) | 4,592 | 81,508 | ||||||
Sonos, Inc.(a)* | 1,916 | 44,815 | ||||||
Steven Madden Ltd.(a) | 326 | 11,514 | ||||||
Sturm Ruger & Co., Inc.(a) | 2,068 | 134,565 | ||||||
Tempur Sealy International, Inc.(a)* | 7,325 | 197,775 | ||||||
TopBuild Corp.(a)* | 203 | 37,368 | ||||||
Tupperware Brands Corp.(a)* | 1,027 | 33,265 | ||||||
Vista Outdoor, Inc.(a)* | 653 | 15,515 | ||||||
YETI Holdings, Inc.* | 32 | 2,191 | ||||||
|
| |||||||
1,793,055 | ||||||||
|
| |||||||
Consumer Services — 4.3% |
| |||||||
Adtalem Global Education, Inc.(a)* | 1,230 | 41,758 | ||||||
Bloomin’ Brands, Inc.(a) | 12,269 | 238,264 | ||||||
Boyd Gaming Corp.(a) | 1,258 | 53,993 | ||||||
Brinker International, Inc.(a) | 109 | 6,166 | ||||||
Dine Brands Global, Inc.(a) | 2,423 | 140,534 | ||||||
Graham Holdings Co., Class B(a) | 10 | 5,334 | ||||||
Grand Canyon Education, Inc.(a)* | 111 | 10,335 | ||||||
Hyatt Hotels Corp., Class A(a) | 2,713 | 201,440 | ||||||
Jack in the Box, Inc.(a) | 345 | 32,016 | ||||||
Laureate Education, Inc., Class A(a)* | 7,777 | 113,233 | ||||||
McDonald’s Corp.(a) | 126 | 27,037 | ||||||
Papa John’s International, Inc.(a) | 1,995 | 169,276 | ||||||
Perdoceo Education Corp.(a)* | 299 | 3,776 | ||||||
Red Rock Resorts, Inc., Class A(a) | 9,011 | 225,635 | ||||||
Service Corp. International(a) | 1,834 | 90,049 | ||||||
Strategic Education, Inc.(a) | 190 | 18,113 | ||||||
Texas Roadhouse, Inc. | 8 | 625 | ||||||
Wingstop, Inc.(a) | 893 | 118,367 | ||||||
Wyndham Hotels & Resorts, Inc.(a) | 2,344 | 139,327 | ||||||
Yum! Brands, Inc.(a) | 586 | 63,616 | ||||||
|
| |||||||
1,698,894 | ||||||||
|
| |||||||
Diversified Financials — 0.5% |
| |||||||
Berkshire Hathaway, Inc., Class B(a)* | 93 | 21,564 | ||||||
BlackRock, Inc.(a) | 1 | 722 | ||||||
Cboe Global Markets, Inc. | 162 | 15,085 | ||||||
Federated Hermes, Inc.(a) | 196 | 5,662 | ||||||
Nasdaq, Inc.(a) | 191 | 25,353 |
2 |
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
S&P Global, Inc.(a) | 451 | $ | 148,257 | |||||
Sprott, Inc. (Canada) | 26 | 754 | ||||||
|
| |||||||
217,397 | ||||||||
|
| |||||||
Energy — 3.7% |
| |||||||
Antero Midstream Corp.(a) | 17,649 | 136,074 | ||||||
Apache Corp.(a) | 8,631 | 122,474 | ||||||
Cactus, Inc., Class A(a) | 1,509 | 39,340 | ||||||
Canadian Natural Resources Ltd. (Canada) | 2,437 | 58,610 | ||||||
Cenovus Energy, Inc. (Canada) | 5,233 | 31,607 | ||||||
Cheniere Energy, Inc.* | 337 | 20,230 | ||||||
Chevron Corp.(a) | 2,262 | 191,026 | ||||||
Concho Resources, Inc.(a) | 1,479 | 86,300 | ||||||
ConocoPhillips(a) | 3,280 | 131,167 | ||||||
Core Laboratories NV (Netherlands) | 1,378 | 36,531 | ||||||
DHT Holdings, Inc. (Marshall Islands) | 1,047 | 5,476 | ||||||
EOG Resources, Inc.(a) | 676 | 33,712 | ||||||
EQT Corp.(a) | 297 | 3,775 | ||||||
Halliburton Co.(a) | 3,208 | 60,631 | ||||||
Kinder Morgan, Inc.(a) | 527 | 7,204 | ||||||
Marathon Petroleum Corp. | 239 | 9,885 | ||||||
Murphy Oil Corp.(a) | 2,509 | 30,359 | ||||||
NexGen Energy Ltd. (Canada)* | 22 | 61 | ||||||
Occidental Petroleum Corp. | 249 | 4,310 | ||||||
Range Resources Corp.(a) | 19,842 | 132,941 | ||||||
Renewable Energy Group, Inc.(a)* | 3,284 | 232,573 | ||||||
SM Energy Co.(a) | 1,170 | 7,160 | ||||||
Targa Resources Corp. | 3 | 79 | ||||||
TechnipFMC PLC (United Kingdom) | 2,156 | 20,266 | ||||||
Vermilion Energy, Inc. (Canada) | 126 | 561 | ||||||
Williams Cos., Inc. (The) | 99 | 1,985 | ||||||
World Fuel Services Corp.(a) | 1,194 | 37,205 | ||||||
|
| |||||||
1,441,542 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.6% |
| |||||||
BJ’s Wholesale Club Holdings, | 1,234 | 46,004 | ||||||
Casey’s General Stores, Inc.(a) | 74 | 13,218 | ||||||
Ingles Markets, Inc., Class A(a) | 9 | 384 | ||||||
Kroger Co. (The)(a) | 1,997 | 63,425 | ||||||
SpartanNash Co.(a) | 38 | 662 | ||||||
Sprouts Farmers Market, Inc.(a)* | 9,395 | 188,840 | ||||||
Sysco Corp.(a) | 1,108 | 82,280 | ||||||
United Natural Foods, Inc.(a)* | 3,952 | 63,113 | ||||||
US Foods Holding Corp.(a)* | 892 | 29,713 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food & Staples Retailing — (Continued) |
| |||||||
Walgreens Boots Alliance, Inc.(a) | 547 | $ | 21,814 | |||||
Walmart, Inc.(a) | 768 | 110,707 | ||||||
Weis Markets, Inc.(a) | 17 | 813 | ||||||
|
| |||||||
620,973 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 3.0% |
| |||||||
Altria Group, Inc.(a) | 686 | 28,126 | ||||||
Archer-Daniels-Midland Co.(a) | 539 | 27,171 | ||||||
B&G Foods, Inc.(a) | 863 | 23,931 | ||||||
Bunge Ltd. (Bermuda) | 477 | 31,282 | ||||||
Coca-Cola Co. (The)(a) | 234 | 12,833 | ||||||
Coca-Cola Consolidated, Inc.(a) | 33 | 8,787 | ||||||
Conagra Brands, Inc.(a) | 4,111 | 149,065 | ||||||
Constellation Brands, Inc., Class A(a) | 574 | 125,735 | ||||||
Flowers Foods, Inc.(a) | 256 | 5,793 | ||||||
General Mills, Inc.(a) | 1,311 | 77,087 | ||||||
Hain Celestial Group, Inc. (The)(a)* | 323 | 12,968 | ||||||
Hershey Co. (The)(a) | 125 | 19,041 | ||||||
JM Smucker Co. (The)(a) | 1,348 | 155,829 | ||||||
Kellogg Co.(a) | 498 | 30,991 | ||||||
Kraft Heinz Co. (The)(a) | 1,735 | 60,135 | ||||||
McCormick & Co., Inc., non-voting shares(a) | 405 | 38,718 | ||||||
Molson Coors Beverage Co., | 233 | 10,529 | ||||||
Monster Beverage Corp.(a)* | 311 | 28,761 | ||||||
National Beverage Corp.(a) | 1,414 | 120,049 | ||||||
PepsiCo, Inc.(a) | 36 | 5,339 | ||||||
Philip Morris International, Inc. | 9 | 745 | ||||||
Tyson Foods, Inc., Class A(a) | 1,293 | 83,321 | ||||||
Vector Group Ltd.(a) | 9,255 | 107,821 | ||||||
|
| |||||||
1,164,057 | ||||||||
|
| |||||||
Health Care Equipment & Services — 6.3% |
| |||||||
Allscripts Healthcare Solutions, Inc.(a)* | 463 | 6,686 | ||||||
Cardinal Health, Inc.(a) | 1,329 | 71,181 | ||||||
Cerner Corp.(a) | 706 | 55,407 | ||||||
Community Health Systems, Inc.(a)* | 60 | 446 | ||||||
CONMED Corp.(a) | 1,136 | 127,232 | ||||||
CVS Health Corp.(a) | 41 | 2,800 | ||||||
Danaher Corp.(a) | 580 | 128,841 | ||||||
DaVita, Inc.(a)* | 1,356 | 159,194 | ||||||
DENTSPLY SIRONA, Inc.(a) | 2,000 | 104,720 | ||||||
Ensign Group, Inc. (The)(a) | 138 | 10,063 | ||||||
Envista Holdings Corp.(a)* | 253 | 8,534 |
3 |
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Hologic, Inc.(a)* | 2,336 | $ | 170,131 | |||||
Humana, Inc.(a) | 139 | 57,028 | ||||||
IDEXX Laboratories, Inc.(a)* | 75 | 37,490 | ||||||
Integer Holdings Corp.(a)* | 265 | 21,515 | ||||||
Laboratory Corp. of America Holdings(a)* | 37 | 7,531 | ||||||
Magellan Health, Inc.(a)* | 597 | 49,455 | ||||||
McKesson Corp.(a) | 21 | 3,652 | ||||||
MEDNAX, Inc.(a)* | 3,964 | 97,277 | ||||||
Medtronic PLC (Ireland) | 612 | 71,690 | ||||||
Meridian Bioscience, Inc.(a)* | 202 | 3,775 | ||||||
NextGen Healthcare, Inc.(a)* | 3,311 | 60,393 | ||||||
Owens & Minor, Inc. | 13 | 352 | ||||||
Patterson Cos., Inc.(a) | 10,800 | 320,004 | ||||||
Providence Service Corp. (The)(a)* | 71 | 9,843 | ||||||
Quest Diagnostics, Inc.(a) | 463 | 55,176 | ||||||
Quidel Corp.(a)* | 258 | 46,350 | ||||||
ResMed, Inc.(a) | 110 | 23,382 | ||||||
Schrodinger, Inc.(a)* | 92 | 7,285 | ||||||
Select Medical Holdings Corp.(a)* | 4,879 | 134,953 | ||||||
STERIS PLC (Ireland) | 23 | 4,359 | ||||||
Teladoc Health, Inc.(a)* | 1,172 | 234,353 | ||||||
Tenet Healthcare Corp.(a)* | 1,176 | 46,958 | ||||||
Tivity Health, Inc.(a)* | 2,846 | 55,753 | ||||||
Universal Health Services, Inc., Class B(a) | 591 | 81,262 | ||||||
Varian Medical Systems, Inc.(a)* | 906 | 158,559 | ||||||
West Pharmaceutical Services, | 93 | 26,348 | ||||||
Zimmer Biomet Holdings, Inc.(a) | 127 | 19,569 | ||||||
|
| |||||||
2,479,547 | ||||||||
|
| |||||||
Household & Personal Products — 1.1% |
| |||||||
Central Garden & Pet Co., | 4 | 145 | ||||||
Church & Dwight Co., Inc.(a) | 79 | 6,891 | ||||||
Clorox Co. (The)(a) | 245 | 49,470 | ||||||
Colgate-Palmolive Co.(a) | 944 | 80,721 | ||||||
Edgewell Personal Care Co.(a) | 2,013 | 69,610 | ||||||
elf Beauty, Inc.(a)* | 5,061 | 127,487 | ||||||
Estee Lauder Cos, Inc., (The) Class A(a) | 25 | 6,655 | ||||||
Kimberly-Clark Corp.(a) | 314 | 42,337 | ||||||
Procter & Gamble Co. (The)(a) | 241 | 33,533 | ||||||
|
| |||||||
416,849 | ||||||||
|
| |||||||
Materials — 11.6% |
| |||||||
Agnico Eagle Mines Ltd. (Canada) | 35 | 2,468 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
Alamos Gold, Inc., Class A (Canada) | 7,240 | $ | 63,350 | |||||
Allegheny Technologies, Inc.(a)* | 9,883 | 165,738 | ||||||
Amcor PLC (Jersey) | 1,991 | 23,434 | ||||||
Ashland Global Holdings, Inc.(a) | 606 | 47,995 | ||||||
Avient Corp.(a) | 8,841 | 356,115 | ||||||
Axalta Coating Systems Ltd. (Bermuda)* | 3,424 | 97,755 | ||||||
Barrick Gold Corp. (Canada) | 185 | 4,214 | ||||||
Boise Cascade Co.(a) | 309 | 14,770 | ||||||
Cabot Corp.(a) | 589 | 26,434 | ||||||
Carpenter Technology Corp.(a) | 251 | 7,309 | ||||||
CF Industries Holdings, Inc.(a) | 2,988 | 115,665 | ||||||
Chemours Co. (The)(a) | 7,551 | 187,189 | ||||||
Commercial Metals Co.(a) | 14,782 | 303,622 | ||||||
Compass Minerals International, | 625 | 38,575 | ||||||
Dow, Inc.(a) | 397 | 22,033 | ||||||
DuPont de Nemours, Inc.(a) | 170 | 12,089 | ||||||
Ferro Corp.(a)* | 855 | 12,509 | ||||||
First Majestic Silver Corp. (Canada)* | 19,675 | 264,432 | ||||||
FMC Corp.(a) | 1,437 | 165,154 | ||||||
Franco-Nevada Corp. (Canada) | 229 | 28,701 | ||||||
Hecla Mining Co.(a) | 22,474 | 145,632 | ||||||
IAMGOLD Corp. (Canada)* | 5,717 | 20,981 | ||||||
Ingevity Corp.(a)* | 1,849 | 140,025 | ||||||
Innospec, Inc.(a) | 3 | 272 | ||||||
International Paper Co. | 13 | 646 | ||||||
Kinross Gold Corp. (Canada) | 5,012 | 36,788 | ||||||
Linde PLC (Ireland) | 329 | 86,695 | ||||||
NewMarket Corp.(a) | 2 | 797 | ||||||
Newmont Corp.(a) | 2,886 | 172,843 | ||||||
Nucor Corp.(a) | 227 | 12,074 | ||||||
O-I Glass, Inc.(a) | 10,296 | 122,522 | ||||||
Pan American Silver Corp. (Canada) | 8,593 | 296,544 | ||||||
PPG Industries, Inc.(a) | 190 | 27,402 | ||||||
Pretium Resources, Inc. (Canada)* | 7,664 | 87,983 | ||||||
Reliance Steel & Aluminum Co.(a) | 505 | 60,474 | ||||||
Royal Gold, Inc.(a) | 83 | 8,828 | ||||||
RPM International, Inc.(a) | 1,002 | 90,962 | ||||||
Scotts Miracle-Gro Co. (The)(a) | 258 | 51,378 | ||||||
Sealed Air Corp.(a) | 501 | 22,941 | ||||||
Sensient Technologies Corp.(a) | 1,147 | 84,614 | ||||||
Sherwin-Williams Co. (The)(a) | 215 | 158,006 | ||||||
Sonoco Products Co.(a) | 597 | 35,372 |
4 |
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
Southern Copper Corp.(a) | 720 | $ | 46,886 | |||||
SSR Mining, Inc. (Canada)* | 7,197 | 144,732 | ||||||
Summit Materials, Inc., Class A(a)* | 694 | 13,936 | ||||||
Wheaton Precious Metals Corp. (Canada) | 696 | 29,051 | ||||||
Worthington Industries, Inc.(a) | 605 | 31,061 | ||||||
Yamana Gold, Inc. (Canada) | 115,528 | 659,665 | ||||||
|
| |||||||
4,548,661 | ||||||||
|
| |||||||
Media & Entertainment — 4.0% |
| |||||||
Alphabet, Inc., Class A(a)* | 91 | 159,490 | ||||||
Charter Communications, Inc., Class A(a)* | 64 | 42,339 | ||||||
DISH Network Corp., Class A(a)* | 2,069 | 66,911 | ||||||
Facebook, Inc., Class A(a)* | 393 | 107,352 | ||||||
Fox Corp., Class A(a) | 1,374 | 40,011 | ||||||
Gray Television, Inc.(a)* | 89 | 1,592 | ||||||
Interpublic Group of Cos., Inc. | 3,111 | 73,171 | ||||||
Lions Gate Entertainment Corp., Class B (Canada)* | 709 | 7,359 | ||||||
Madison Square Garden Sports Corp.(a)* | 274 | 50,443 | ||||||
Meredith Corp.(a) | 130 | 2,496 | ||||||
Netflix, Inc.(a)* | 148 | 80,028 | ||||||
News Corp., Class A(a) | 23,451 | 421,414 | ||||||
Roku, Inc.(a)* | 126 | 41,835 | ||||||
Sciplay Corp. Class A* | 30 | 416 | ||||||
Snap, Inc., Class A(a)* | 615 | 30,793 | ||||||
TEGNA, Inc.(a) | 482 | 6,724 | ||||||
Twitter, Inc.(a)* | 260 | 14,079 | ||||||
Warner Music Group Corp. | 146 | 5,547 | ||||||
World Wrestling Entertainment, Inc., Class A(a) | 1,065 | 51,173 | ||||||
Zillow Group, Inc., Class C(a)* | 3,001 | 389,530 | ||||||
|
| |||||||
1,592,703 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 4.3% |
| |||||||
Agilent Technologies, Inc.(a) | 237 | 28,082 | ||||||
Anika Therapeutics, Inc.(a)* | 81 | 3,666 | ||||||
Bio-Rad Laboratories, Inc., | 11 | 6,412 | ||||||
Bristol-Myers Squibb Co.(a) | 133 | 8,250 | ||||||
Charles River Laboratories International, Inc.(a)* | 297 | 74,208 | ||||||
Denali Therapeutics, Inc.(a)* | 164 | 13,737 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Gilead Sciences, Inc. | 233 | $ | 13,575 | |||||
Horizon Therapeutics PLC (Ireland)* | 281 | 20,555 | ||||||
Innoviva, Inc.(a)* | 256 | 3,172 | ||||||
Intellia Therapeutics, Inc.* | 8 | 435 | ||||||
Johnson & Johnson(a) | 321 | 50,519 | ||||||
Luminex Corp.(a) | 1,055 | 24,392 | ||||||
Medpace Holdings, Inc.(a)* | 69 | 9,605 | ||||||
Merck & Co., Inc.(a) | 332 | 27,158 | ||||||
Mettler-Toledo International, Inc.(a)* | 5 | 5,698 | ||||||
Novavax, Inc.(a)* | 4,624 | 515,622 | ||||||
Ocular Therapeutix, Inc.(a)* | 299 | 6,189 | ||||||
Pacira BioSciences, Inc.(a)* | 2,091 | 125,125 | ||||||
PerkinElmer, Inc.(a) | 1,708 | 245,098 | ||||||
Pfizer, Inc.(a) | 2,317 | 85,289 | ||||||
Prestige Consumer Healthcare, | 172 | 5,998 | ||||||
TG Therapeutics, Inc.(a)* | 3,651 | 189,925 | ||||||
Thermo Fisher Scientific, Inc.(a) | 256 | 119,240 | ||||||
United Therapeutics Corp.(a)* | 1 | 152 | ||||||
Viatris, Inc.(a)* | 2,584 | 48,424 | ||||||
Zoetis, Inc.(a) | 362 | 59,911 | ||||||
|
| |||||||
1,690,437 | ||||||||
|
| |||||||
Retailing — 11.6% |
| |||||||
Abercrombie & Fitch Co., Class A(a) | 1,796 | 36,567 | ||||||
Advance Auto Parts, Inc.(a) | 258 | 40,638 | ||||||
Amazon.com, Inc.(a)* | 32 | 104,222 | ||||||
Asbury Automotive Group, Inc.(a)* | 180 | 26,233 | ||||||
AutoNation, Inc.(a)* | 3,271 | 228,283 | ||||||
AutoZone, Inc.(a)* | 26 | 30,821 | ||||||
Bed Bath & Beyond, Inc.(a) | 3,232 | 57,400 | ||||||
Best Buy Co., Inc.(a) | 5,434 | 542,259 | ||||||
Buckle, Inc. (The)(a) | 2,839 | 82,899 | ||||||
Camping World Holdings, Inc., | 663 | 17,271 | ||||||
Dollar General Corp.(a) | 76 | 15,983 | ||||||
eBay, Inc.(a) | 3,061 | 153,815 | ||||||
Etsy, Inc.(a)* | 33 | 5,871 | ||||||
Foot Locker, Inc.(a) | 1,424 | 57,587 | ||||||
Gap, Inc. (The)(a)* | 2,273 | 45,892 | ||||||
Genuine Parts Co.(a) | 417 | 41,879 | ||||||
Guess?, Inc.(a) | 2,602 | 58,857 | ||||||
L Brands, Inc.(a) | 3,142 | 116,851 | ||||||
LKQ Corp.(a)* | 886 | 31,223 |
5 |
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
Lowe’s Cos., Inc.(a) | 344 | $ | 55,215 | |||||
Lumber Liquidators Holdings, | 712 | 21,887 | ||||||
Macy’s, Inc.(a) | 12,710 | 142,987 | ||||||
Murphy USA, Inc.(a) | 1,342 | 175,628 | ||||||
National Vision Holdings, Inc.(a)* | 1,687 | 76,404 | ||||||
ODP Corp. (The)(a) | 1,416 | 41,489 | ||||||
O’Reilly Automotive, Inc.(a)* | 109 | 49,330 | ||||||
Overstock.com, Inc.* | 127 | 6,092 | ||||||
Qurate Retail, Inc., Series A(a) | 6,406 | 70,274 | ||||||
RH(a)* | 1,784 | 798,376 | ||||||
Shutterstock, Inc.(a) | 457 | 32,767 | ||||||
Signet Jewelers Ltd. (Bermuda) | 13,474 | 367,436 | ||||||
Sleep Number Corp.(a)* | 2,594 | 212,345 | ||||||
Sonic Automotive, Inc., Class A(a) | 3,524 | 135,921 | ||||||
Stamps.com, Inc.(a)* | 951 | 186,577 | ||||||
Target Corp.(a) | 97 | 17,123 | ||||||
TJX Cos., Inc. (The)(a) | 160 | 10,926 | ||||||
Urban Outfitters, Inc.(a)* | 1,882 | 48,179 | ||||||
Williams-Sonoma, Inc.(a) | 3,161 | 321,916 | ||||||
Zumiez, Inc.(a)* | 3,030 | 111,443 | ||||||
|
| |||||||
4,576,866 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.2% |
| |||||||
Amkor Technology, Inc.(a) | 8,505 | 128,255 | ||||||
Applied Materials, Inc.(a) | 156 | 13,463 | ||||||
Axcelis Technologies, Inc.(a)* | 60 | 1,747 | ||||||
Cirrus Logic, Inc.(a)* | 493 | 40,525 | ||||||
First Solar, Inc.(a)* | 1,274 | 126,024 | ||||||
KLA Corp.(a) | 70 | 18,124 | ||||||
Lattice Semiconductor Corp.(a)* | 2,224 | 101,904 | ||||||
MACOM Technology Solutions Holdings, Inc.(a)* | 703 | 38,693 | ||||||
Marvell Technology Group Ltd. (Bermuda) | 39 | 1,854 | ||||||
Maxim Integrated Products, Inc.(a) | 371 | 32,889 | ||||||
Power Integrations, Inc.(a) | 161 | 13,179 | ||||||
Qorvo, Inc.(a)* | 511 | 84,964 | ||||||
QUALCOMM, Inc.(a) | 279 | 42,503 | ||||||
Rambus, Inc.* | 3 | 52 | ||||||
Synaptics, Inc.(a)* | 5,299 | 510,824 | ||||||
Texas Instruments, Inc. | 22 | 3,611 | ||||||
Ultra Clean Holdings, Inc.(a)* | 2,952 | 91,955 | ||||||
Veeco Instruments, Inc.* | 1 | 17 | ||||||
|
| |||||||
1,250,583 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — 9.6% |
| |||||||
A10 Networks, Inc.(a)* | 374 | $ | 3,688 | |||||
ACI Worldwide, Inc.(a)* | 183 | 7,033 | ||||||
Alarm.com Holdings, Inc.(a)* | 338 | 34,966 | ||||||
Alliance Data Systems Corp.(a) | 575 | 42,608 | ||||||
Appian Corp.(a)* | 8 | 1,297 | ||||||
Blackbaud, Inc.(a) | 2,191 | 126,114 | ||||||
Blackline, Inc.(a)* | 318 | 42,415 | ||||||
Booz Allen Hamilton Holding Corp.(a) | 27 | 2,354 | ||||||
Broadridge Financial Solutions, Inc.(a) | 470 | 72,004 | ||||||
Cadence Design Systems, Inc.(a)* | 329 | 44,885 | ||||||
Cardtronics PLC, Class A (United Kingdom)* | 965 | 34,064 | ||||||
CDK Global, Inc.(a) | 1,326 | 68,727 | ||||||
CGI, Inc. (Canada)* | 190 | 15,069 | ||||||
Cloudflare, Inc., Class A(a)* | 96 | 7,295 | ||||||
CSG Systems International, Inc.(a) | 60 | 2,704 | ||||||
Fair Isaac Corp.* | 4 | 2,044 | ||||||
Fiserv, Inc.(a)* | 25 | 2,846 | ||||||
FleetCor Technologies, Inc.(a)* | 42 | 11,459 | ||||||
Gartner, Inc.(a)* | 371 | 59,430 | ||||||
GoDaddy, Inc., Class A(a)* | 1,324 | 109,826 | ||||||
Guidewire Software, Inc.(a)* | 68 | 8,754 | ||||||
International Business Machines Corp.(a) | 75 | 9,441 | ||||||
Jack Henry & Associates, Inc.(a) | 36 | 5,832 | ||||||
LiveRamp Holdings, Inc.(a)* | 693 | 50,721 | ||||||
Microsoft Corp.(a) | 288 | 64,057 | ||||||
MicroStrategy, Inc., Class A(a)* | 752 | 292,190 | ||||||
Model N, Inc.(a)* | 670 | 23,906 | ||||||
NIC, Inc.(a) | 3,991 | 103,088 | ||||||
NortonLifeLock, Inc.(a) | 8,773 | 182,303 | ||||||
Open Text Corp. (Canada) | 1,016 | 46,187 | ||||||
Oracle Corp.(a) | 2,608 | 168,712 | ||||||
Paychex, Inc.(a) | 1,655 | 154,213 | ||||||
Paylocity Holding Corp.(a)* | 75 | 15,443 | ||||||
PayPal Holdings, Inc.* | 20 | 4,684 | ||||||
Progress Software Corp.(a) | 2,653 | 119,889 | ||||||
PTC, Inc.(a)* | 4,707 | 563,004 | ||||||
Qualys, Inc.(a)* | 185 | 22,546 | ||||||
Sailpoint Technologies Holdings, | 6,861 | 365,280 | ||||||
Science Applications International Corp.(a) | 718 | 67,952 | ||||||
ServiceNow, Inc.(a)* | 312 | 171,734 |
6 |
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
SolarWinds Corp.(a)* | 16 | $ | 239 | |||||
SPS Commerce, Inc.(a)* | 1,194 | 129,656 | ||||||
SVMK, Inc.(a)* | 4,762 | 121,669 | ||||||
Sykes Enterprises, Inc.(a)* | 4 | 151 | ||||||
Synopsys, Inc.(a)* | 376 | 97,474 | ||||||
Teradata Corp.(a)* | 4,740 | 106,508 | ||||||
Tyler Technologies, Inc.* | 1 | 437 | ||||||
Unity Software, Inc.* | 14 | 2,149 | ||||||
Verint Systems, Inc.(a)* | 35 | 2,351 | ||||||
VeriSign, Inc.(a)* | 111 | 24,020 | ||||||
Virtusa Corp.(a)* | 840 | 42,949 | ||||||
Visa, Inc., Class A | 46 | 10,062 | ||||||
Western Union Co. (The)(a) | 2,670 | 58,580 | ||||||
Workiva, Inc.(a)* | 106 | 9,712 | ||||||
Zoom Video Communications, Inc., Class A(a)* | 109 | 36,768 | ||||||
|
| |||||||
3,773,489 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 3.3% |
| |||||||
Amphenol Corp., Class A(a) | 218 | 28,508 | ||||||
Apple, Inc.(a) | 719 | 95,404 | ||||||
Arrow Electronics, Inc.(a)* | 2,919 | 284,019 | ||||||
Badger Meter, Inc.(a) | 1,314 | 123,595 | ||||||
Cisco Systems, Inc.(a) | 342 | 15,304 | ||||||
Dell Technologies, Inc., Class C(a)* | 96 | 7,036 | ||||||
Diebold Nixdorf, Inc.(a)* | 4,053 | 43,205 | ||||||
HP, Inc.(a) | 2,775 | 68,237 | ||||||
II-VI, Inc.* | 11 | 836 | ||||||
InterDigital, Inc.(a) | 609 | 36,954 | ||||||
Jabil, Inc. | 21 | 893 | ||||||
Juniper Networks, Inc.(a) | 1,854 | 41,734 | ||||||
MTS Systems Corp. | 2 | 116 | ||||||
NCR Corp.(a)* | 69 | 2,592 | ||||||
NetApp, Inc.(a) | 953 | 63,127 | ||||||
NETGEAR, Inc.(a)* | 455 | 18,487 | ||||||
Sanmina Corp.(a)* | 3,268 | 104,217 | ||||||
SYNNEX Corp.(a) | 1,229 | 100,090 | ||||||
TE Connectivity Ltd. (Switzerland) | 227 | 27,483 | ||||||
TTM Technologies, Inc.(a)* | 3,384 | 46,682 | ||||||
Ubiquiti, Inc.(a) | 386 | 107,505 | ||||||
Vontier Corp.(a)* | 1,941 | 64,829 | ||||||
|
| |||||||
1,280,853 | ||||||||
|
| |||||||
Telecommunication Services — 0.5% |
| |||||||
AT&T, Inc.(a) | 1,408 | 40,494 | ||||||
CenturyLink, Inc.(a) | 302 | 2,944 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Telecommunication Services — (Continued) |
| |||||||
Iridium Communications, Inc.(a)* | 2,366 | $ | 93,043 | |||||
Rogers Communications, Inc., Class B (Canada) | 22 | 1,025 | ||||||
T-Mobile US, Inc.* | 31 | 4,180 | ||||||
Verizon Communications, Inc.(a) | 931 | 54,696 | ||||||
Vonage Holdings Corp.* | 5 | 64 | ||||||
|
| |||||||
196,446 | ||||||||
|
| |||||||
Transportation — 1.6% |
| |||||||
Alaska Air Group, Inc.(a) | 922 | 47,944 | ||||||
Atlas Air Worldwide Holdings, Inc.(a)* | 140 | 7,636 | ||||||
Echo Global Logistics, Inc.(a)* | 2,005 | 53,774 | ||||||
Expeditors International of Washington, Inc.(a) | 819 | 77,895 | ||||||
Hub Group, Inc., Class A(a)* | 974 | 55,518 | ||||||
Kansas City Southern(a) | 215 | 43,888 | ||||||
Knight-Swift Transportation Holdings, Inc.(a) | 380 | 15,892 | ||||||
Norfolk Southern Corp.(a) | 268 | 63,679 | ||||||
Ryder System, Inc.(a) | 413 | 25,507 | ||||||
Schneider National, Inc., Class B(a) | 6,078 | 125,815 | ||||||
SkyWest, Inc.(a) | 1,706 | 68,769 | ||||||
TFI International, Inc. (Canada) | 4 | 206 | ||||||
United Parcel Service, Inc., Class B | 6 | 1,010 | ||||||
Werner Enterprises, Inc.(a) | 1,567 | 61,458 | ||||||
|
| |||||||
648,991 | ||||||||
|
| |||||||
Utilities — 0.8% |
| |||||||
Dominion Energy, Inc.(a) | 97 | 7,294 | ||||||
Duke Energy Corp.(a) | 31 | 2,838 | ||||||
Exelon Corp.(a) | 1,143 | 48,257 | ||||||
IDACorp., Inc.(a) | 134 | 12,868 | ||||||
MDU Resources Group, Inc.(a) | 3,871 | 101,962 | ||||||
National Fuel Gas Co.(a) | 721 | 29,655 | ||||||
NiSource, Inc.(a) | 2,227 | 51,087 | ||||||
NRG Energy, Inc.(a) | 1,537 | 57,714 | ||||||
ONE Gas, Inc.(a) | 115 | 8,829 | ||||||
Public Service Enterprise Group, | 136 | 7,929 | ||||||
Spire, Inc. | 6 | 384 | ||||||
|
| |||||||
328,817 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 37,603,387 | |||||||
|
|
7 |
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Par Value | Value | |||||||
CORPORATE BONDS AND NOTES — 0.0% |
| |||||||
Capital Goods — 0.0% |
| |||||||
Mueller Industries, Inc. | $ | 715 | $ | 728 | ||||
|
| |||||||
TOTAL CORPORATE BONDS AND NOTES |
| 728 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 95.7% | 37,604,115 | |||||||
|
| |||||||
(Cost $22,592,238) | ||||||||
OTHER ASSETS IN EXCESS OF |
| 1,691,607 | ||||||
|
| |||||||
NET ASSETS - 100.0% |
| $ | 39,295,722 | |||||
|
|
(a) | Security position is either entirely or partially designated as collateral for total return swaps. |
* | Non-income producing. |
PLC | Public Limited Company |
8 |
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Over-the-counter total return swaps outstanding as of December 31, 2020
The Fund maintains a portfolio of long and short positions and receives/pays a rebate based upon the Fed Funds 1-Day Rate less a specified spread as negotiated by the parties. The notional gain or loss, dividends payable and rebates are payable the earlier of maturity of the swaps or upon termination. The portfolio matures on August 29, 2025, however underlying individual contracts are entered into and closed (terminated) on a daily basis. The cash amounts payable/receivable due to individual contracts being closed are settled, on a net basis, once a week. The value of total return swaps represents (70.9)% of net assets as of December 31, 2020.
The following table represents the individual long and help short positions and related values of total return swaps as of December 31, 2020:
Total Return Swaps
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Long | ||||||||||||||||||||||
Automobiles & Components | ||||||||||||||||||||||
American Axle & Manufacturing Holdings, Inc. | Morgan Stanley | 15 | $ | 100 | $ | 125 | $ | 26 | ||||||||||||||
BorgWarner, Inc. | Morgan Stanley | 6 | 220 | 232 | 25 | |||||||||||||||||
Cooper Tire & Rubber Co. | Morgan Stanley | 643 | 22,839 | 26,042 | 3,276 | |||||||||||||||||
Ford Motor Co. | Morgan Stanley | 2,320 | 20,445 | 20,393 | (51 | ) | ||||||||||||||||
General Motors Co. | Morgan Stanley | 580 | 24,181 | 24,151 | (29 | ) | ||||||||||||||||
Gentherm, Inc. | Morgan Stanley | 1 | 40 | 65 | 27 | |||||||||||||||||
Standard Motor Products, Inc. | Morgan Stanley | 2 | 87 | 81 | (5 | ) | ||||||||||||||||
Thor Industries, Inc. | Morgan Stanley | 27 | 2,358 | 2,511 | 272 | |||||||||||||||||
Visteon Corp. | Morgan Stanley | 1 | 88 | 126 | 39 | |||||||||||||||||
Winnebago Industries, Inc. | Morgan Stanley | 59 | 3,794 | 3,536 | (256 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
3,654 | 74,152 | 77,262 | 3,324 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Capital Goods | ||||||||||||||||||||||
3M Co. | Morgan Stanley | 55 | 9,109 | 9,613 | 549 | |||||||||||||||||
A.O. Smith Corp. | Morgan Stanley | 430 | 23,760 | 23,573 | (186 | ) | ||||||||||||||||
AAR Corp. | Morgan Stanley | 4 | 145 | 145 | 1 | |||||||||||||||||
Advanced Drainage Systems, Inc. | Morgan Stanley | 170 | 9,689 | 14,209 | 5,311 | |||||||||||||||||
AeroVironment, Inc. | Morgan Stanley | 57 | 4,962 | 4,953 | (8 | ) | ||||||||||||||||
Albany International Corp., Class A | Morgan Stanley | 474 | 24,601 | 34,801 | 10,863 | |||||||||||||||||
Altra Industrial Motion Corp. | Morgan Stanley | 1 | 54 | 55 | 2 | |||||||||||||||||
Apogee Enterprises, Inc. | Morgan Stanley | 321 | 6,908 | 10,169 | 3,322 | |||||||||||||||||
Atkore International Group, Inc. | Morgan Stanley | 69 | 1,530 | 2,837 | 1,308 | |||||||||||||||||
BWX Technologies, Inc. | Morgan Stanley | 599 | 34,093 | 36,108 | 2,306 | |||||||||||||||||
Carrier Global Corp. | Morgan Stanley | 631 | 23,785 | 23,801 | 79 | |||||||||||||||||
Cubic Corp. | Morgan Stanley | 395 | 24,347 | 24,506 | 159 | |||||||||||||||||
Cummins, Inc. | Morgan Stanley | 432 | 95,648 | 98,107 | 2,509 | |||||||||||||||||
Deere & Co. | Morgan Stanley | 1 | 266 | 269 | 4 | |||||||||||||||||
Donaldson Co., Inc. | Morgan Stanley | 502 | 27,957 | 28,052 | 104 | |||||||||||||||||
Dycom Industries, Inc. | Morgan Stanley | 242 | 13,637 | 18,276 | 5,048 | |||||||||||||||||
Flowserve Corp. | Morgan Stanley | 1 | 29 | 37 | 9 | |||||||||||||||||
Fortive Corp. | Morgan Stanley | 478 | 31,216 | 33,852 | 2,671 | |||||||||||||||||
Generac Holdings, Inc. | Morgan Stanley | 164 | 34,480 | 37,295 | 2,933 | |||||||||||||||||
Gibraltar Industries, Inc. | Morgan Stanley | 2 | 123 | 144 | 22 | |||||||||||||||||
Howmet Aerospace, Inc. | Morgan Stanley | 244 | 4,097 | 6,964 | 2,868 | |||||||||||||||||
Illinois Tool Works, Inc. | Morgan Stanley | 54 | 10,903 | 11,010 | 152 | |||||||||||||||||
Jacobs Engineering Group, Inc. | Morgan Stanley | 83 | 8,864 | 9,044 | 181 |
9 |
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Capital Goods — (continued) | ||||||||||||||||||||||
Johnson Controls International PLC (Ireland) | Morgan Stanley | 7 | $ | 321 | $ | 326 | $ | 19 | ||||||||||||||
L3Harris Technologies, Inc. | Morgan Stanley | 799 | 141,678 | 151,027 | 10,018 | |||||||||||||||||
Lennox International, Inc. | Morgan Stanley | 100 | 27,963 | 27,397 | (493 | ) | ||||||||||||||||
Lockheed Martin Corp. | Morgan Stanley | 113 | 40,691 | 40,113 | (577 | ) | ||||||||||||||||
Middleby Corp. (The) | Morgan Stanley | 52 | 6,612 | 6,704 | 93 | |||||||||||||||||
MRC Global, Inc. | Morgan Stanley | 2,821 | 16,051 | 18,703 | 2,692 | |||||||||||||||||
Mueller Industries, Inc. | Morgan Stanley | 5 | 134 | 176 | 43 | |||||||||||||||||
Northrop Grumman Corp. | Morgan Stanley | 101 | 30,745 | 30,777 | 15 | |||||||||||||||||
NOW, Inc. | Morgan Stanley | 13,581 | 98,734 | 97,512 | (1,251 | ) | ||||||||||||||||
nVent Electric PLC (Ireland) | Morgan Stanley | 21 | 479 | 489 | 12 | |||||||||||||||||
Otis Worldwide Corp. | Morgan Stanley | 139 | 8,883 | 9,389 | 507 | |||||||||||||||||
Parker-Hannifin Corp. | Morgan Stanley | 47 | 12,059 | 12,803 | 745 | |||||||||||||||||
Pentair PLC (Ireland) | Morgan Stanley | 810 | 42,099 | 43,003 | 917 | |||||||||||||||||
Primoris Services Corp. | Morgan Stanley | 1 | 28 | 28 | 1 | |||||||||||||||||
Regal Beloit Corp. | Morgan Stanley | 1 | 116 | 123 | 8 | |||||||||||||||||
Snap-on, Inc. | Morgan Stanley | 134 | 22,620 | 22,933 | 332 | |||||||||||||||||
SPX FLOW, Inc. | Morgan Stanley | 1 | 42 | 58 | 17 | |||||||||||||||||
Stanley Black & Decker, Inc. | Morgan Stanley | 83 | 14,501 | 14,820 | 322 | |||||||||||||||||
Textainer Group Holdings Ltd. (Bermuda) | Morgan Stanley | 10 | 188 | 192 | 5 | |||||||||||||||||
Toro Co. (The) | Morgan Stanley | 48 | 3,949 | 4,552 | 624 | |||||||||||||||||
TPI Composites, Inc. | Morgan Stanley | 121 | 4,794 | 6,386 | 1,630 | |||||||||||||||||
TransDigm Group, Inc. | Morgan Stanley | 1 | 475 | 619 | 145 | |||||||||||||||||
Tutor Perini Corp. | Morgan Stanley | 1,103 | 13,589 | 14,284 | 702 | |||||||||||||||||
United Rentals, Inc. | Morgan Stanley | 1 | 226 | 232 | 7 | |||||||||||||||||
Watsco, Inc. | Morgan Stanley | 163 | 38,472 | 36,928 | (1,295 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
25,672 | 915,652 | 967,394 | 55,445 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Commercial & Professional Services | ||||||||||||||||||||||
ABM Industries, Inc. | Morgan Stanley | 330 | 11,995 | 12,487 | 512 | |||||||||||||||||
Cintas Corp. | Morgan Stanley | 7 | 2,433 | 2,474 | 42 | |||||||||||||||||
Clean Harbors, Inc. | Morgan Stanley | 2 | 105 | 152 | 48 | |||||||||||||||||
CoreLogic, Inc. | Morgan Stanley | 248 | 19,196 | 19,175 | (20 | ) | ||||||||||||||||
Deluxe Corp. | Morgan Stanley | 2,636 | 74,860 | 76,971 | 2,953 | |||||||||||||||||
Healthcare Services Group, Inc. | Morgan Stanley | 5,003 | 104,059 | 140,584 | 38,453 | |||||||||||||||||
Herman Miller, Inc. | Morgan Stanley | 116 | 3,982 | 3,921 | (60 | ) | ||||||||||||||||
HNI Corp. | Morgan Stanley | 31 | 1,095 | 1,068 | (18 | ) | ||||||||||||||||
ICF International, Inc. | Morgan Stanley | 1 | 73 | 74 | 2 | |||||||||||||||||
IHS Markit Ltd. (Bermuda) | Morgan Stanley | 4 | 345 | 359 | 16 | |||||||||||||||||
KAR Auction Services, Inc. | Morgan Stanley | 775 | 13,648 | 14,423 | 776 | |||||||||||||||||
Kforce, Inc. | Morgan Stanley | 10 | 413 | 421 | 10 | |||||||||||||||||
Ritchie Bros Auctioneers, Inc. (Canada) | Morgan Stanley | 4 | 280 | 278 | — | |||||||||||||||||
SP Plus Corp. | Morgan Stanley | 1,611 | 33,170 | 46,445 | 13,418 | |||||||||||||||||
Steelcase, Inc., Class A | Morgan Stanley | 6,460 | 67,500 | 87,533 | 21,757 | |||||||||||||||||
Tetra Tech, Inc. | Morgan Stanley | 1 | 87 | 116 | 30 | |||||||||||||||||
Thomson Reuters Corp. (Canada) | Morgan Stanley | 295 | 24,052 | 24,158 | 127 |
10 |
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||
Commercial & Professional Services — (continued) |
| ||||||||||||||||||||||
Waste Management, Inc. | Morgan Stanley | 202 | $ | 23,700 | $ | 23,822 | $ | 213 | |||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||
17,736 | 380,993 | 454,461 | 78,259 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||
Consumer Durables & Apparel | |||||||||||||||||||||||
Carter’s, Inc. | Morgan Stanley | 1,256 | 98,357 | 118,152 | 21,934 | ||||||||||||||||||
Cavco Industries, Inc. | Morgan Stanley | 32 | 6,000 | 5,614 | (385 | ) | |||||||||||||||||
Crocs, Inc. | Morgan Stanley | 19 | 1,176 | 1,191 | 16 | ||||||||||||||||||
Deckers Outdoor Corp. | Morgan Stanley | 2 | 573 | 574 | 2 | ||||||||||||||||||
Garmin Ltd. (Switzerland) | Morgan Stanley | 63 | 5,912 | 7,539 | 1,666 | ||||||||||||||||||
G-III Apparel Group Ltd. | Morgan Stanley | 1,353 | 16,156 | 32,120 | 16,987 | ||||||||||||||||||
Gildan Activewear, Inc. (Canada) | Morgan Stanley | 119 | 2,324 | 3,333 | 1,417 | ||||||||||||||||||
Hanesbrands, Inc. | Morgan Stanley | 1 | 13 | 15 | 3 | ||||||||||||||||||
Kontoor Brands, Inc. | Morgan Stanley | 7 | 155 | 284 | 133 | ||||||||||||||||||
La-Z-Boy, Inc. | Morgan Stanley | 34 | 1,076 | 1,355 | 283 | ||||||||||||||||||
Lovesac Co. (The) | Morgan Stanley | 2 | 90 | 86 | (3 | ) | |||||||||||||||||
Mattel, Inc. | Morgan Stanley | 1 | 14 | 17 | 5 | ||||||||||||||||||
NIKE, Inc., Class B | Morgan Stanley | 467 | 64,502 | 66,066 | 1,601 | ||||||||||||||||||
Polaris, Inc. | Morgan Stanley | 429 | 42,832 | 40,875 | (1,828 | ) | |||||||||||||||||
Smith & Wesson Brands, Inc. | Morgan Stanley | 921 | 14,883 | 16,348 | 1,511 | ||||||||||||||||||
Steven Madden Ltd. | Morgan Stanley | 5,760 | 121,791 | 203,443 | 81,654 | ||||||||||||||||||
Sturm Ruger & Co., Inc. | Morgan Stanley | 200 | 13,262 | 13,014 | (135 | ) | |||||||||||||||||
Universal Electronics, Inc. | Morgan Stanley | 300 | 12,087 | 15,738 | 3,652 | ||||||||||||||||||
Vista Outdoor, Inc. | Morgan Stanley | 223 | 4,618 | 5,298 | 682 | ||||||||||||||||||
YETI Holdings, Inc. | Morgan Stanley | 8 | 548 | 548 | 1 | ||||||||||||||||||
|
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| ||||||||||||||||
11,197 | 406,369 | 531,610 | 129,196 | ||||||||||||||||||||
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| ||||||||||||||||
Consumer Services | |||||||||||||||||||||||
Adtalem Global Education, Inc. | Morgan Stanley | 553 | 13,601 | 18,774 | 5,174 | ||||||||||||||||||
Boyd Gaming Corp. | Morgan Stanley | 1 | 33 | 43 | 11 | ||||||||||||||||||
Brinker International, Inc. | Morgan Stanley | 45 | 1,908 | 2,546 | 639 | ||||||||||||||||||
Darden Restaurants, Inc. | Morgan Stanley | 359 | 42,272 | 42,764 | 493 | ||||||||||||||||||
Graham Holdings Co., Class B | Morgan Stanley | 20 | 8,933 | 10,668 | 1,735 | ||||||||||||||||||
Grand Canyon Education, Inc. | Morgan Stanley | 68 | 5,352 | 6,331 | 1,046 | ||||||||||||||||||
Jack in the Box, Inc. | Morgan Stanley | 651 | 59,238 | 60,413 | 1,289 | ||||||||||||||||||
Laureate Education, Inc., Class A | Morgan Stanley | 155 | 2,107 | 2,257 | 151 | ||||||||||||||||||
McDonald’s Corp. | Morgan Stanley | 176 | 37,195 | 37,766 | 648 | ||||||||||||||||||
Papa John’s International, Inc. | Morgan Stanley | 515 | 43,107 | 43,698 | 720 | ||||||||||||||||||
Perdoceo Education Corp. | Morgan Stanley | 6,445 | 94,553 | 81,400 | (13,186 | ) | |||||||||||||||||
Service Corp. International | Morgan Stanley | 223 | 10,631 | 10,949 | 364 | ||||||||||||||||||
Strategic Education, Inc. | Morgan Stanley | 679 | 68,806 | 64,729 | (3,275 | ) | |||||||||||||||||
Texas Roadhouse, Inc. | Morgan Stanley | 2 | 155 | 156 | 2 | ||||||||||||||||||
Wingstop, Inc. | Morgan Stanley | 230 | 30,405 | 30,487 | 1,373 | ||||||||||||||||||
Yum! Brands, Inc. | Morgan Stanley | 81 | 7,378 | 8,793 | 1,453 | ||||||||||||||||||
|
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| ||||||||||||||||
10,203 | 425,674 | 421,774 | (1,363 | ) | |||||||||||||||||||
|
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| ||||||||||||||||
Diversified Financials | |||||||||||||||||||||||
Berkshire Hathaway, Inc., Class B | Morgan Stanley | 599 | 131,693 | 138,890 | 7,216 | ||||||||||||||||||
BlackRock, Inc. | Morgan Stanley | 8 | 5,684 | 5,772 | 89 |
11 |
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Diversified Financials — (continued) | ||||||||||||||||||||||
Cboe Global Markets, Inc. | Morgan Stanley | 599 | $ | 50,882 | $ | 55,779 | $ | 5,184 | ||||||||||||||
Federated Hermes, Inc. | Morgan Stanley | 149 | 3,833 | 4,305 | 565 | |||||||||||||||||
Nasdaq, Inc. | Morgan Stanley | 54 | 6,596 | 7,168 | 600 | |||||||||||||||||
S&P Global, Inc. | Morgan Stanley | 150 | 49,938 | 49,310 | (558 | ) | ||||||||||||||||
Sprott, Inc. (Canada) | Morgan Stanley | 13 | 426 | 377 | (46 | ) | ||||||||||||||||
|
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| |||||||||||||||
1,572 | 249,052 | 261,601 | 13,050 | |||||||||||||||||||
|
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| |||||||||||||||
Energy | ||||||||||||||||||||||
Antero Midstream Corp. | Morgan Stanley | 1 | 5 | 8 | 4 | |||||||||||||||||
Apache Corp. | Morgan Stanley | 1 | 9 | 14 | 6 | |||||||||||||||||
Cactus, Inc., Class A | Morgan Stanley | 26 | 465 | 678 | 216 | |||||||||||||||||
Canadian Natural Resources Ltd. (Canada) | Morgan Stanley | 2,204 | 35,643 | 53,006 | 24,312 | |||||||||||||||||
Concho Resources, Inc. | Morgan Stanley | 1 | 41 | 58 | 19 | |||||||||||||||||
ConocoPhillips | Morgan Stanley | 136 | 5,446 | 5,439 | (6 | ) | ||||||||||||||||
Core Laboratories NV (Netherlands) | Morgan Stanley | 21 | 290 | 557 | 268 | |||||||||||||||||
Denbury, Inc. | Morgan Stanley | 11 | 278 | 283 | 6 | |||||||||||||||||
DHT Holdings, Inc. (Marshall Islands) | Morgan Stanley | 14,839 | 77,344 | 77,608 | 2,983 | |||||||||||||||||
DMC Global, Inc. | Morgan Stanley | 1,070 | 38,820 | 46,278 | 7,546 | |||||||||||||||||
Enbridge, Inc. (Canada) | Morgan Stanley | 34 | 1,087 | 1,088 | 2 | |||||||||||||||||
Enerplus Corp. (Canada) | Morgan Stanley | 305 | 985 | 955 | (27 | ) | ||||||||||||||||
EOG Resources, Inc. | Morgan Stanley | 211 | 7,455 | 10,523 | 3,147 | |||||||||||||||||
EQT Corp. | Morgan Stanley | 5,964 | 80,970 | 75,802 | (5,167 | ) | ||||||||||||||||
Halliburton Co. | Morgan Stanley | 113 | 1,298 | 2,136 | 1,132 | |||||||||||||||||
Kinder Morgan, Inc. | Morgan Stanley | 4,568 | 62,468 | 62,445 | (8 | ) | ||||||||||||||||
Kosmos Energy Ltd. | Morgan Stanley | 27,715 | 40,187 | 65,130 | 24,945 | |||||||||||||||||
Magnolia Oil & Gas Corp., Class A | Morgan Stanley | 1,600 | 9,680 | 11,296 | 1,772 | |||||||||||||||||
Marathon Petroleum Corp. | Morgan Stanley | 345 | 14,196 | 14,269 | 74 | |||||||||||||||||
Murphy Oil Corp. | Morgan Stanley | 770 | 6,486 | 9,317 | 3,805 | |||||||||||||||||
NexGen Energy Ltd. (Canada) | Morgan Stanley | 23 | 64 | 63 | 1 | |||||||||||||||||
Occidental Petroleum Corp. | Morgan Stanley | 1,155 | 17,748 | 19,993 | 2,239 | |||||||||||||||||
SM Energy Co. | Morgan Stanley | 3,177 | 18,784 | 19,443 | 660 | |||||||||||||||||
Vermilion Energy, Inc. (Canada) | Morgan Stanley | 160 | 746 | 712 | (33 | ) | ||||||||||||||||
Williams Cos., Inc. (The) | Morgan Stanley | 26 | 522 | 521 | 1 | |||||||||||||||||
World Fuel Services Corp. | Morgan Stanley | 1,060 | 27,560 | 33,030 | 5,635 | |||||||||||||||||
|
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|
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|
|
|
| |||||||||||||||
65,536 | 448,577 | 510,652 | 73,532 | |||||||||||||||||||
|
|
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|
|
|
|
| |||||||||||||||
Food & Staples Retailing | ||||||||||||||||||||||
BJ’s Wholesale Club Holdings, Inc. | Morgan Stanley | 537 | 21,748 | 20,019 | (1,728 | ) | ||||||||||||||||
Casey’s General Stores, Inc. | Morgan Stanley | 127 | 22,376 | 22,685 | 323 | |||||||||||||||||
Costco Wholesale Corp. | Morgan Stanley | 98 | 35,834 | 36,924 | 1,711 | |||||||||||||||||
Ingles Markets, Inc., Class A | Morgan Stanley | 27 | 1,060 | 1,152 | 92 | |||||||||||||||||
Kroger Co. (The) | Morgan Stanley | 833 | 25,795 | 26,456 | 604 | |||||||||||||||||
SpartanNash Co. | Morgan Stanley | 993 | 19,894 | 17,288 | (2,260 | ) | ||||||||||||||||
Sprouts Farmers Market, Inc. | Morgan Stanley | 67 | 1,275 | 1,347 | 73 | |||||||||||||||||
Sysco Corp. | Morgan Stanley | 687 | 46,719 | 51,017 | 4,299 | |||||||||||||||||
US Foods Holding Corp. | Morgan Stanley | 4 | 84 | 133 | 50 | |||||||||||||||||
Walgreens Boots Alliance, Inc. | Morgan Stanley | 575 | 22,590 | 22,931 | 357 |
12 |
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Food & Staples Retailing — (continued) | ||||||||||||||||||||||
Weis Markets, Inc. | Morgan Stanley | 376 | $ | 18,650 | $ | 17,977 | $ | (558 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
4,324 | 216,025 | 217,929 | 2,963 | |||||||||||||||||||
|
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|
|
|
|
| |||||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||||||||
Altria Group, Inc. | Morgan Stanley | 78 | 3,209 | 3,198 | (10 | ) | ||||||||||||||||
B&G Foods, Inc. | Morgan Stanley | 2,592 | 76,543 | 71,876 | (2,260 | ) | ||||||||||||||||
Campbell Soup Co. | Morgan Stanley | 1,444 | 68,723 | 69,817 | 1,095 | |||||||||||||||||
Coca-Cola Co. (The) | Morgan Stanley | 144 | 7,348 | 7,897 | 581 | |||||||||||||||||
Coca-Cola Consolidated, Inc. | Morgan Stanley | 181 | 49,927 | 48,195 | (1,685 | ) | ||||||||||||||||
Conagra Brands, Inc. | Morgan Stanley | 740 | 25,907 | 26,832 | 1,007 | |||||||||||||||||
Flowers Foods, Inc. | Morgan Stanley | 653 | 15,830 | 14,777 | (921 | ) | ||||||||||||||||
General Mills, Inc. | Morgan Stanley | 862 | 50,836 | 50,686 | (4 | ) | ||||||||||||||||
Hershey Co. (The) | Morgan Stanley | 294 | 43,719 | 44,785 | 1,146 | |||||||||||||||||
JM Smucker Co. (The) | Morgan Stanley | 121 | 13,488 | 13,988 | 596 | |||||||||||||||||
John B. Sanfilippo & Son, Inc. | Morgan Stanley | 249 | 20,035 | 19,636 | (401 | ) | ||||||||||||||||
Kellogg Co. | Morgan Stanley | 597 | 38,646 | 37,151 | (1,308 | ) | ||||||||||||||||
Kraft Heinz Co. (The) | Morgan Stanley | 489 | 14,327 | 16,949 | 2,914 | |||||||||||||||||
Molson Coors Beverage Co., Class B | Morgan Stanley | 66 | 2,223 | 2,983 | 761 | |||||||||||||||||
Monster Beverage Corp. | Morgan Stanley | 84 | 6,607 | 7,768 | 1,163 | |||||||||||||||||
National Beverage Corp. | Morgan Stanley | 3 | 258 | 255 | (3 | ) | ||||||||||||||||
PepsiCo, Inc. | Morgan Stanley | 38 | 5,476 | 5,635 | 169 | |||||||||||||||||
Philip Morris International, Inc. | Morgan Stanley | 27 | 2,224 | 2,235 | 23 | |||||||||||||||||
TreeHouse Foods, Inc. | Morgan Stanley | 2,750 | 117,728 | 116,848 | (933 | ) | ||||||||||||||||
Tyson Foods, Inc., Class A | Morgan Stanley | 1,294 | 80,118 | 83,385 | 3,784 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
12,706 | 643,172 | 644,896 | 5,714 | |||||||||||||||||||
|
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|
|
| |||||||||||||||
Health Care Equipment & Services | ||||||||||||||||||||||
Abbott Laboratories | Morgan Stanley | 6 | 651 | 657 | 7 | |||||||||||||||||
Allscripts Healthcare Solutions, Inc. | Morgan Stanley | 3,802 | 33,915 | 54,901 | 20,987 | |||||||||||||||||
AmerisourceBergen Corp. | Morgan Stanley | 276 | 27,722 | 26,982 | (735 | ) | ||||||||||||||||
Anthem, Inc. | Morgan Stanley | 4 | 1,259 | 1,284 | 27 | |||||||||||||||||
Cardinal Health, Inc. | Morgan Stanley | 240 | 12,537 | 12,854 | 429 | |||||||||||||||||
Cigna Corp. | Morgan Stanley | 42 | 8,234 | 8,744 | 548 | |||||||||||||||||
Community Health Systems, Inc. | Morgan Stanley | 985 | 8,320 | 7,319 | (1,000 | ) | ||||||||||||||||
CVS Health Corp. | Morgan Stanley | 1,443 | 98,229 | 98,557 | 329 | |||||||||||||||||
Danaher Corp. | Morgan Stanley | 550 | 122,270 | 122,177 | 1 | |||||||||||||||||
DENTSPLY SIRONA, Inc. | Morgan Stanley | 45 | 2,320 | 2,356 | 39 | |||||||||||||||||
Ensign Group, Inc. (The) | Morgan Stanley | 169 | 9,956 | 12,323 | 2,385 | |||||||||||||||||
Envista Holdings Corp. | Morgan Stanley | 1,076 | 32,296 | 36,293 | 3,998 | |||||||||||||||||
Hologic, Inc. | Morgan Stanley | 115 | 8,239 | 8,375 | 138 | |||||||||||||||||
Humana, Inc. | Morgan Stanley | 130 | 53,740 | 53,335 | (595 | ) | ||||||||||||||||
IDEXX Laboratories, Inc. | Morgan Stanley | 10 | 3,554 | 4,999 | 1,445 | |||||||||||||||||
Laboratory Corp. of America Holdings | Morgan Stanley | 185 | 36,819 | 37,657 | 839 | |||||||||||||||||
McKesson Corp. | Morgan Stanley | 80 | 13,717 | 13,914 | 198 | |||||||||||||||||
MEDNAX, Inc. | Morgan Stanley | 141 | 2,211 | 3,460 | 1,250 | |||||||||||||||||
Meridian Bioscience, Inc. | Morgan Stanley | 320 | 6,005 | 5,981 | (23 | ) | ||||||||||||||||
Natus Medical, Inc. | Morgan Stanley | 2,716 | 49,323 | 54,429 | 5,359 | |||||||||||||||||
NextGen Healthcare, Inc. | Morgan Stanley | 1 | 12 | 18 | 7 |
13 |
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||
Health Care Equipment & Services — (continued) |
| ||||||||||||||||||||||
Owens & Minor, Inc. | Morgan Stanley | 5 | $ | 136 | $ | 135 | $ | — | |||||||||||||||
Providence Service Corp. (The) | Morgan Stanley | 98 | 10,168 | 13,586 | 3,418 | ||||||||||||||||||
Quest Diagnostics, Inc. | Morgan Stanley | 584 | 71,422 | 69,595 | (1,826 | ) | |||||||||||||||||
Quidel Corp. | Morgan Stanley | 118 | 21,138 | 21,199 | 62 | ||||||||||||||||||
ResMed, Inc. | Morgan Stanley | 60 | 10,660 | 12,754 | 2,124 | ||||||||||||||||||
Schrodinger, Inc. | Morgan Stanley | 305 | 24,571 | 24,150 | (420 | ) | |||||||||||||||||
STERIS PLC (Ireland) | Morgan Stanley | 30 | 5,466 | 5,686 | 223 | ||||||||||||||||||
Stryker Corp. | Morgan Stanley | 24 | 4,804 | 5,881 | 1,093 | ||||||||||||||||||
Varian Medical Systems, Inc. | Morgan Stanley | 251 | 43,337 | 43,928 | 592 | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||
13,811 | 723,031 | 763,529 | 40,899 | ||||||||||||||||||||
|
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|
|
|
|
|
| ||||||||||||||||
Household & Personal Products | |||||||||||||||||||||||
BellRing Brands, Inc., Class A | Morgan Stanley | 21 | 500 | 511 | 12 | ||||||||||||||||||
Central Garden & Pet Co., Class A | Morgan Stanley | 51 | 1,834 | 1,853 | 20 | ||||||||||||||||||
Church & Dwight Co., Inc. | Morgan Stanley | 91 | 8,290 | 7,938 | (328 | ) | |||||||||||||||||
Clorox Co. (The) | Morgan Stanley | 198 | 41,136 | 39,980 | (1,079 | ) | |||||||||||||||||
Colgate-Palmolive Co. | Morgan Stanley | 4 | 339 | 342 | 4 | ||||||||||||||||||
Estee Lauder Cos, Inc. (The), Class A | Morgan Stanley | 50 | 11,664 | 13,310 | 1,681 | ||||||||||||||||||
Procter & Gamble Co. (The) | Morgan Stanley | 40 | 5,496 | 5,566 | 71 | ||||||||||||||||||
|
|
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|
| ||||||||||||||||
455 | 69,259 | 69,500 | 381 | ||||||||||||||||||||
|
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|
| ||||||||||||||||
Materials | |||||||||||||||||||||||
Agnico Eagle Mines Ltd. (Canada) | Morgan Stanley | 774 | 56,936 | 54,575 | (2,263 | ) | |||||||||||||||||
Alamos Gold, Inc., Class A (Canada) | Morgan Stanley | 63 | 547 | 551 | 5 | ||||||||||||||||||
Alcoa Corp. | Morgan Stanley | 131 | 1,548 | 3,020 | 1,473 | ||||||||||||||||||
Amcor PLC (Jersey) | Morgan Stanley | 4,618 | 49,518 | 54,354 | 5,572 | ||||||||||||||||||
Ashland Global Holdings, Inc. | Morgan Stanley | 1 | 69 | 79 | 12 | ||||||||||||||||||
Ball Corp. | Morgan Stanley | 3 | 278 | 280 | 3 | ||||||||||||||||||
Barrick Gold Corp. (Canada) | Morgan Stanley | 1,356 | 31,347 | 30,890 | (456 | ) | |||||||||||||||||
Carpenter Technology Corp. | Morgan Stanley | 1,311 | 27,741 | 38,176 | 10,897 | ||||||||||||||||||
Dow, Inc. | Morgan Stanley | 150 | 6,765 | 8,325 | 2,272 | ||||||||||||||||||
Forterra, Inc. | Morgan Stanley | 1 | 18 | 17 | 1 | ||||||||||||||||||
Franco-Nevada Corp. (Canada) | Morgan Stanley | 514 | 68,878 | 64,420 | (4,377 | ) | |||||||||||||||||
Greif, Inc., Class A | Morgan Stanley | 1 | 46 | 47 | 2 | ||||||||||||||||||
Hecla Mining Co. | Morgan Stanley | 5,553 | 29,326 | 35,983 | 6,744 | ||||||||||||||||||
IAMGOLD Corp. (Canada) | Morgan Stanley | 4,497 | 16,229 | 16,504 | 273 | ||||||||||||||||||
Innospec, Inc. | Morgan Stanley | 283 | 21,649 | 25,677 | 4,410 | ||||||||||||||||||
International Paper Co. | Morgan Stanley | 364 | 17,747 | 18,098 | 352 | ||||||||||||||||||
Kaiser Aluminum Corp. | Morgan Stanley | 944 | 60,680 | 93,362 | 34,072 | ||||||||||||||||||
Kinross Gold Corp. (Canada) | Morgan Stanley | 7,869 | 62,251 | 57,758 | (4,733 | ) | |||||||||||||||||
Kraton Corp. | Morgan Stanley | 647 | 9,601 | 17,980 | 8,380 | ||||||||||||||||||
Martin Marietta Materials, Inc. | Morgan Stanley | 3 | 786 | 852 | 67 | ||||||||||||||||||
NewMarket Corp. | Morgan Stanley | 406 | 151,231 | 161,706 | 12,099 | ||||||||||||||||||
Newmont Corp. | Morgan Stanley | 896 | 55,595 | 53,661 | (1,593 | ) | |||||||||||||||||
O-I Glass, Inc. | Morgan Stanley | 387 | 4,187 | 4,605 | 419 | ||||||||||||||||||
PPG Industries, Inc. | Morgan Stanley | 264 | 37,589 | 38,074 | 495 | ||||||||||||||||||
Pretium Resources, Inc. (Canada) | Morgan Stanley | 1,111 | 13,875 | 12,754 | (1,145 | ) | |||||||||||||||||
Royal Gold, Inc. | Morgan Stanley | 39 | 4,538 | 4,148 | (389 | ) |
14 |
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Materials — (continued) | ||||||||||||||||||||||
RPM International, Inc. | Morgan Stanley | 320 | $ | 28,018 | $ | 29,050 | $ | 1,086 | ||||||||||||||
Scotts Miracle-Gro Co. (The) | Morgan Stanley | 293 | 49,353 | 58,348 | 9,344 | |||||||||||||||||
Sealed Air Corp. | Morgan Stanley | 139 | 5,635 | 6,365 | 755 | |||||||||||||||||
Sherwin-Williams Co. (The) | Morgan Stanley | 64 | 43,657 | 47,034 | 3,464 | |||||||||||||||||
Wheaton Precious Metals Corp. (Canada) | Morgan Stanley | 201 | 9,623 | 8,390 | (1,216 | ) | ||||||||||||||||
Worthington Industries, Inc. | Morgan Stanley | 178 | 8,240 | 9,139 | 944 | |||||||||||||||||
|
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| |||||||||||||||
33,381 | 873,501 | 954,222 | 86,969 | |||||||||||||||||||
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|
|
| |||||||||||||||
Media & Entertainment | ||||||||||||||||||||||
Activision Blizzard, Inc. | Morgan Stanley | 603 | 45,408 | 55,989 | 10,581 | |||||||||||||||||
Alphabet, Inc., Class A | Morgan Stanley | 44 | 75,381 | 77,116 | 1,736 | |||||||||||||||||
Charter Communications, Inc., Class A | Morgan Stanley | 24 | 14,708 | 15,877 | 1,171 | |||||||||||||||||
DISH Network Corp., Class A | Morgan Stanley | 864 | 25,074 | 27,942 | 2,869 | |||||||||||||||||
Facebook, Inc., Class A | Morgan Stanley | 142 | 38,448 | 38,789 | 342 | |||||||||||||||||
Gray Television, Inc. | Morgan Stanley | 241 | 4,124 | 4,311 | 189 | |||||||||||||||||
Lions Gate Entertainment Corp., Class B (Canada) | Morgan Stanley | 3,288 | 28,383 | 34,129 | 5,747 | |||||||||||||||||
Madison Square Garden Sports Corp. | Morgan Stanley | 676 | 118,114 | 124,452 | 6,339 | |||||||||||||||||
Meredith Corp. | Morgan Stanley | 124 | 2,339 | 2,381 | 43 | |||||||||||||||||
MSG Networks, Inc., Class A | Morgan Stanley | 5,699 | 55,508 | 84,003 | 28,813 | |||||||||||||||||
Netflix, Inc. | Morgan Stanley | 150 | 73,383 | 81,110 | 7,728 | |||||||||||||||||
Roku, Inc. | Morgan Stanley | 291 | 92,066 | 96,618 | 4,461 | |||||||||||||||||
Sciplay Corp., Class A | Morgan Stanley | 48 | 680 | 665 | (14 | ) | ||||||||||||||||
Snap, Inc., Class A | Morgan Stanley | 353 | 14,369 | 17,675 | 3,307 | |||||||||||||||||
TEGNA, Inc. | Morgan Stanley | 736 | 10,535 | 10,267 | (240 | ) | ||||||||||||||||
Twitter, Inc. | Morgan Stanley | 51 | 2,775 | 2,762 | (12 | ) | ||||||||||||||||
Warner Music Group Corp. Class A | Morgan Stanley | 364 | 10,887 | 13,828 | 2,942 | |||||||||||||||||
World Wrestling Entertainment, Inc., Class A | Morgan Stanley | 1,439 | 60,707 | 69,144 | 8,598 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
15,137 | 672,889 | 757,058 | 84,600 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||||||||
Agilent Technologies, Inc. | Morgan Stanley | 63 | 6,173 | 7,465 | 1,311 | |||||||||||||||||
Bio-Rad Laboratories, Inc., Class A | Morgan Stanley | 33 | 17,591 | 19,237 | 1,647 | |||||||||||||||||
Blueprint Medicines Corp. | Morgan Stanley | 13 | 1,470 | 1,458 | (11 | ) | ||||||||||||||||
Bristol-Myers Squibb Co. | Morgan Stanley | 518 | 31,527 | 32,132 | 859 | |||||||||||||||||
Denali Therapeutics, Inc. | Morgan Stanley | 98 | 3,510 | 8,208 | 4,700 | |||||||||||||||||
Gilead Sciences, Inc. | Morgan Stanley | 90 | 5,154 | 5,243 | (116 | ) | ||||||||||||||||
Horizon Therapeutics PLC (Ireland) | Morgan Stanley | 102 | 6,987 | 7,461 | 475 | |||||||||||||||||
Innoviva, Inc. | Morgan Stanley | 6,483 | 77,417 | 80,324 | 2,931 | |||||||||||||||||
Intellia Therapeutics, Inc. | Morgan Stanley | 2 | 108 | 109 | 104 | |||||||||||||||||
Johnson & Johnson | Morgan Stanley | 181 | 26,191 | 28,486 | 2,301 | |||||||||||||||||
Luminex Corp. | Morgan Stanley | 399 | 9,698 | 9,225 | (411 | ) | ||||||||||||||||
Medpace Holdings, Inc. | Morgan Stanley | 1 | 110 | 139 | 30 | |||||||||||||||||
Merck & Co., Inc. | Morgan Stanley | 10 | 811 | 818 | 8 | |||||||||||||||||
Mettler-Toledo International, Inc. | Morgan Stanley | 19 | 21,443 | 21,654 | 212 | |||||||||||||||||
Ocular Therapeutix, Inc. | Morgan Stanley | 982 | 20,236 | 20,327 | 93 |
15 |
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||||||||||||||
PerkinElmer, Inc. | Morgan Stanley | 1 | $ | 114 | $ | 144 | $ | 30 | ||||||||||||||
Pfizer, Inc. | Morgan Stanley | 198 | 7,353 | 7,288 | (63 | ) | ||||||||||||||||
Prestige Consumer Healthcare, Inc. | Morgan Stanley | 2,067 | 75,470 | 72,076 | (3,396 | ) | ||||||||||||||||
Thermo Fisher Scientific, Inc. | Morgan Stanley | 127 | 58,687 | 59,154 | 484 | |||||||||||||||||
Viatris, Inc. | Morgan Stanley | 100 | 1,539 | 1,874 | 336 | |||||||||||||||||
Zoetis, Inc. | Morgan Stanley | 214 | 34,255 | 35,417 | 1,190 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
11,701 | 405,844 | 418,239 | 12,714 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Retailing | ||||||||||||||||||||||
Abercrombie & Fitch Co., Class A | Morgan Stanley | 3,679 | 51,745 | 74,904 | 23,161 | |||||||||||||||||
Advance Auto Parts, Inc. | Morgan Stanley | 504 | 76,166 | 79,385 | 3,389 | |||||||||||||||||
Amazon.com, Inc. | Morgan Stanley | 17 | 52,579 | 55,368 | 2,790 | |||||||||||||||||
American Eagle Outfitters, Inc. | Morgan Stanley | 928 | 17,939 | 18,625 | 687 | |||||||||||||||||
Asbury Automotive Group, Inc. | Morgan Stanley | 1 | 93 | 146 | 54 | |||||||||||||||||
AutoNation, Inc. | Morgan Stanley | 24 | 1,231 | 1,675 | 445 | |||||||||||||||||
AutoZone, Inc. | Morgan Stanley | 35 | 39,659 | 41,490 | 1,832 | |||||||||||||||||
Buckle, Inc. (The) | Morgan Stanley | 404 | 8,675 | 11,797 | 4,041 | |||||||||||||||||
Camping World Holdings, Inc., Class A | Morgan Stanley | 4,566 | 130,584 | 118,944 | (7,362 | ) | ||||||||||||||||
Dollar Tree, Inc. | Morgan Stanley | 2 | 217 | 216 | — | |||||||||||||||||
eBay, Inc. | Morgan Stanley | 252 | 12,316 | 12,663 | 371 | |||||||||||||||||
Etsy, Inc. | Morgan Stanley | 11 | 1,946 | 1,957 | 12 | |||||||||||||||||
Gap, Inc. (The) | Morgan Stanley | 1,025 | 21,145 | 20,695 | (449 | ) | ||||||||||||||||
Guess?, Inc. | Morgan Stanley | 355 | 6,810 | 8,030 | 1,231 | |||||||||||||||||
Home Depot, Inc. (The) | Morgan Stanley | 197 | 51,633 | 52,327 | 726 | |||||||||||||||||
L Brands, Inc. | Morgan Stanley | 285 | 10,946 | 10,599 | (346 | ) | ||||||||||||||||
Lowe’s Cos., Inc. | Morgan Stanley | 51 | 7,662 | 8,186 | 666 | |||||||||||||||||
Lumber Liquidators Holdings, Inc. | Morgan Stanley | 1,376 | 30,652 | 42,298 | 11,722 | |||||||||||||||||
Macy’s, Inc. | Morgan Stanley | 5,402 | 32,735 | 60,773 | 28,038 | |||||||||||||||||
O’Reilly Automotive, Inc. | Morgan Stanley | 44 | 19,476 | 19,913 | 461 | |||||||||||||||||
Overstock.com, Inc. | Morgan Stanley | 34 | 1,737 | 1,631 | (105 | ) | ||||||||||||||||
Qurate Retail, Inc., Series A | Morgan Stanley | 1,766 | 12,756 | 19,373 | 9,628 | |||||||||||||||||
Shutterstock, Inc. | Morgan Stanley | 548 | 33,890 | 39,292 | 5,482 | |||||||||||||||||
Target Corp. | Morgan Stanley | 89 | 13,507 | 15,711 | 2,268 | |||||||||||||||||
TJX Cos., Inc. (The) | Morgan Stanley | 468 | 31,379 | 31,960 | 581 | |||||||||||||||||
Urban Outfitters, Inc. | Morgan Stanley | 929 | 22,306 | 23,782 | 1,477 | |||||||||||||||||
Zumiez, Inc. | Morgan Stanley | 121 | 3,485 | 4,450 | 967 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
23,113 | 693,269 | 776,190 | 91,767 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||||||||
Amkor Technology, Inc. | Morgan Stanley | 39 | 434 | 588 | 157 | |||||||||||||||||
Axcelis Technologies, Inc. | Morgan Stanley | 851 | 20,516 | 24,781 | 4,385 | |||||||||||||||||
Broadcom, Inc. | Morgan Stanley | 315 | 131,623 | 137,923 | 7,486 | |||||||||||||||||
First Solar, Inc. | Morgan Stanley | 1,276 | 102,870 | 126,222 | 23,771 | |||||||||||||||||
Intel Corp. | Morgan Stanley | 885 | 41,208 | 44,091 | 2,884 | |||||||||||||||||
MACOM Technology Solutions Holdings, Inc. | Morgan Stanley | 2,250 | 82,696 | 123,840 | 41,908 |
16 |
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Semiconductors & Semiconductor Equipment — (continued) | ||||||||||||||||||||||
Marvell Technology Group Ltd. (Bermuda) | Morgan Stanley | 48 | $ | 2,235 | $ | 2,282 | $ | 48 | ||||||||||||||
QUALCOMM, Inc. | Morgan Stanley | 868 | 127,524 | 132,231 | 4,809 | |||||||||||||||||
Rambus, Inc. | Morgan Stanley | 6 | 105 | 105 | 1 | |||||||||||||||||
Texas Instruments, Inc. | Morgan Stanley | 6 | 971 | 985 | 14 | |||||||||||||||||
Ultra Clean Holdings, Inc. | Morgan Stanley | 1 | 21 | 31 | 11 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
6,545 | 510,203 | 593,079 | 85,474 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Software & Services | ||||||||||||||||||||||
A10 Networks, Inc. | Morgan Stanley | 586 | 4,128 | 5,778 | 1,686 | |||||||||||||||||
Accenture PLC, Class A (Ireland) | Morgan Stanley | 23 | 5,947 | 6,008 | 62 | |||||||||||||||||
ACI Worldwide, Inc. | Morgan Stanley | 127 | 3,161 | 4,881 | 2,094 | |||||||||||||||||
Agilysys, Inc. | Morgan Stanley | 2 | 78 | 77 | — | |||||||||||||||||
Appian Corp. | Morgan Stanley | 151 | 22,936 | 24,476 | 1,541 | |||||||||||||||||
Automatic Data Processing, Inc. | Morgan Stanley | 13 | 2,278 | 2,291 | 13 | |||||||||||||||||
Avalara, Inc. | Morgan Stanley | 115 | 20,532 | 18,962 | (1,656 | ) | ||||||||||||||||
Blackline, Inc. | Morgan Stanley | 191 | 25,829 | 25,476 | (352 | ) | ||||||||||||||||
Booz Allen Hamilton Holding Corp. | Morgan Stanley | 1,225 | 105,885 | 106,796 | 1,104 | |||||||||||||||||
Broadridge Financial Solutions, Inc. | Morgan Stanley | 619 | 87,605 | 94,831 | 7,732 | |||||||||||||||||
CDK Global, Inc. | Morgan Stanley | 756 | 35,948 | 39,183 | 3,310 | |||||||||||||||||
CGI, Inc. (Canada) | Morgan Stanley | 379 | 27,330 | 30,058 | 2,793 | |||||||||||||||||
Cloudera, Inc. | Morgan Stanley | 2,373 | 31,627 | 33,008 | 1,382 | |||||||||||||||||
Cloudflare, Inc., Class A | Morgan Stanley | 194 | 15,976 | 14,742 | (1,350 | ) | ||||||||||||||||
Cornerstone On Demand, Inc. | Morgan Stanley | 1,121 | 39,011 | 49,369 | 10,460 | |||||||||||||||||
Crowdstrike Holdings, Inc., Class A | Morgan Stanley | 361 | 70,650 | 76,467 | 5,818 | |||||||||||||||||
CSG Systems International, Inc. | Morgan Stanley | 878 | 37,175 | 39,571 | 2,814 | |||||||||||||||||
Domo, Inc., Class B | Morgan Stanley | 77 | 5,036 | 4,910 | (124 | ) | ||||||||||||||||
Elastic NV (Netherlands) | Morgan Stanley | 60 | 8,898 | 8,768 | (154 | ) | ||||||||||||||||
Fair Isaac Corp. | Morgan Stanley | 3 | 1,526 | 1,533 | 9 | |||||||||||||||||
FireEye, Inc. | Morgan Stanley | 806 | 18,093 | 18,586 | 495 | |||||||||||||||||
Fiserv, Inc. | Morgan Stanley | 738 | 79,864 | 84,029 | 4,166 | |||||||||||||||||
Guidewire Software, Inc. | Morgan Stanley | 22 | 2,222 | 2,832 | 1,874 | |||||||||||||||||
International Business Machines Corp. | Morgan Stanley | 69 | 8,219 | 8,686 | 522 | |||||||||||||||||
Jack Henry & Associates, Inc. | Morgan Stanley | 271 | 44,425 | 43,899 | (306 | ) | ||||||||||||||||
Microsoft Corp. | Morgan Stanley | 196 | 42,761 | 43,594 | 857 | |||||||||||||||||
NIC, Inc. | Morgan Stanley | 14 | 275 | 362 | 89 | |||||||||||||||||
Open Text Corp. (Canada) | Morgan Stanley | 552 | 23,104 | 25,094 | 2,078 | |||||||||||||||||
PayPal Holdings, Inc. | Morgan Stanley | 111 | 25,396 | 25,996 | 601 | |||||||||||||||||
Progress Software Corp. | Morgan Stanley | 19 | 700 | 859 | 163 | |||||||||||||||||
PTC, Inc. | Morgan Stanley | 1 | 80 | 120 | 41 | |||||||||||||||||
salesforce.com, Inc. | Morgan Stanley | 34 | 7,584 | 7,566 | (17 | ) | ||||||||||||||||
SolarWinds Corp. | Morgan Stanley | 18 | 301 | 269 | (31 | ) | ||||||||||||||||
SPS Commerce, Inc. | Morgan Stanley | 9 | 673 | 977 | 305 | |||||||||||||||||
Sykes Enterprises, Inc. | Morgan Stanley | 3 | 114 | 113 | — | |||||||||||||||||
Synopsys, Inc. | Morgan Stanley | 32 | 7,253 | 8,296 | 1,175 | |||||||||||||||||
Teradata Corp. | Morgan Stanley | 564 | 11,849 | 12,673 | 825 |
17 |
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Software & Services — (continued) | ||||||||||||||||||||||
Unity Software, Inc. | Morgan Stanley | 5 | $ | 775 | $ | 767 | $ | (6 | ) | |||||||||||||
Verint Systems, Inc. | Morgan Stanley | 96 | 5,808 | 6,449 | 653 | |||||||||||||||||
VeriSign, Inc. | Morgan Stanley | 3 | 594 | 649 | 56 | |||||||||||||||||
Visa, Inc., Class A | Morgan Stanley | 32 | 6,744 | 6,999 | 257 | |||||||||||||||||
Western Union Co. (The) | Morgan Stanley | 178 | 3,876 | 3,905 | 30 | |||||||||||||||||
Workiva, Inc. | Morgan Stanley | 98 | 7,793 | 8,979 | 1,187 | |||||||||||||||||
Zoom Video Communications, Inc., Class A | Morgan Stanley | 108 | 39,789 | 36,431 | (3,357 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
13,233 | 889,848 | 935,315 | 48,839 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Technology Hardware & Equipment | ||||||||||||||||||||||
Apple, Inc. | Morgan Stanley | 170 | 22,461 | 22,557 | 97 | |||||||||||||||||
Avnet, Inc. | Morgan Stanley | 361 | 9,931 | 12,675 | 3,776 | |||||||||||||||||
Belden, Inc. | Morgan Stanley | 1,012 | 35,450 | 42,403 | 7,153 | |||||||||||||||||
Cambium Networks Corp. (Cayman Islands) | Morgan Stanley | 25 | 638 | 627 | (10 | ) | ||||||||||||||||
CDW Corp. | Morgan Stanley | 10 | 1,299 | 1,318 | 20 | |||||||||||||||||
Cisco Systems, Inc. | Morgan Stanley | 334 | 13,940 | 14,947 | 1,007 | |||||||||||||||||
Dell Technologies, Inc., Class C | Morgan Stanley | 528 | 37,003 | 38,697 | 1,705 | |||||||||||||||||
EchoStar Corp., Class A | Morgan Stanley | 3,717 | 109,205 | 78,763 | (30,668 | ) | ||||||||||||||||
FLIR Systems, Inc. | Morgan Stanley | 710 | 26,196 | 31,119 | 6,219 | |||||||||||||||||
HP, Inc. | Morgan Stanley | 1,569 | 32,267 | 38,582 | 7,763 | |||||||||||||||||
II-VI, Inc. | Morgan Stanley | 13 | 1,000 | 987 | (12 | ) | ||||||||||||||||
Inseego Corp. | Morgan Stanley | 15 | 233 | 232 | — | |||||||||||||||||
InterDigital, Inc. | Morgan Stanley | 5 | 280 | 303 | 27 | |||||||||||||||||
Jabil, Inc. | Morgan Stanley | 194 | 8,262 | 8,251 | (10 | ) | ||||||||||||||||
Juniper Networks, Inc. | Morgan Stanley | 257 | 5,436 | 5,785 | 400 | |||||||||||||||||
MTS Systems Corp. | Morgan Stanley | 3 | 175 | 174 | — | |||||||||||||||||
NCR Corp. | Morgan Stanley | 2,770 | 55,511 | 104,069 | 48,559 | |||||||||||||||||
NetApp, Inc. | Morgan Stanley | 49 | 2,019 | 3,246 | 1,252 | |||||||||||||||||
NETGEAR, Inc. | Morgan Stanley | 242 | 7,922 | 9,832 | 1,912 | |||||||||||||||||
OSI Systems, Inc. | Morgan Stanley | 775 | 61,031 | 72,246 | 11,286 | |||||||||||||||||
Sanmina Corp. | Morgan Stanley | 28 | 697 | 893 | 197 | |||||||||||||||||
TE Connectivity Ltd. (Switzerland) | Morgan Stanley | 1 | 94 | 121 | 29 | |||||||||||||||||
TTM Technologies, Inc. | Morgan Stanley | 619 | 7,991 | 8,539 | 549 | |||||||||||||||||
Ubiquiti, Inc. | Morgan Stanley | 1 | 160 | 279 | 120 | |||||||||||||||||
Vontier Corp. | Morgan Stanley | 664 | 19,272 | 22,178 | 2,907 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
14,072 | 458,473 | 518,823 | 64,278 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Telecommunication Services | ||||||||||||||||||||||
AT&T, Inc. | Morgan Stanley | 707 | 20,074 | 20,333 | 261 | |||||||||||||||||
CenturyLink, Inc. | Morgan Stanley | 584 | 5,786 | 5,694 | (91 | ) | ||||||||||||||||
Iridium Communications, Inc. | Morgan Stanley | 39 | 974 | 1,534 | 561 | |||||||||||||||||
Rogers Communications, Inc., Class B (Canada) | Morgan Stanley | 40 | 1,865 | 1,864 | — | |||||||||||||||||
T-Mobile US, Inc. | Morgan Stanley | 10 | 1,335 | 1,349 | 15 | |||||||||||||||||
Verizon Communications, Inc. | Morgan Stanley | 69 | 4,002 | 4,054 | 53 |
18 |
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Telecommunication Services — (continued) | ||||||||||||||||||||||
Vonage Holdings Corp. | Morgan Stanley | 1 | $ | 13 | $ | 13 | $ | 1 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
1,450 | 34,049 | 34,841 | 800 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Transportation | ||||||||||||||||||||||
Alaska Air Group, Inc. | Morgan Stanley | 570 | 21,058 | 29,640 | 8,583 | |||||||||||||||||
ArcBest Corp. | Morgan Stanley | 2,269 | 76,738 | 96,818 | 20,927 | |||||||||||||||||
Atlas Air Worldwide Holdings, Inc. | Morgan Stanley | 887 | 50,267 | 48,377 | (1,929 | ) | ||||||||||||||||
CH Robinson Worldwide, Inc. | Morgan Stanley | 2 | 186 | 188 | 62 | |||||||||||||||||
CSX Corp. | Morgan Stanley | 30 | 2,700 | 2,723 | 23 | |||||||||||||||||
FedEx Corp. | Morgan Stanley | 133 | 35,623 | 34,529 | (1,093 | ) | ||||||||||||||||
Kansas City Southern | Morgan Stanley | 1 | 174 | 204 | 32 | |||||||||||||||||
Knight-Swift Transportation Holdings, Inc. | Morgan Stanley | 193 | 7,304 | 8,071 | 788 | |||||||||||||||||
Ryder System, Inc. | Morgan Stanley | 169 | 8,878 | 10,437 | 1,647 | |||||||||||||||||
Schneider National, Inc., Class B | Morgan Stanley | 33 | 774 | 683 | (11 | ) | ||||||||||||||||
TFI International, Inc. (Canada) | Morgan Stanley | 1 | 51 | 52 | 1 | |||||||||||||||||
United Parcel Service, Inc., Class B | Morgan Stanley | 1 | 170 | 168 | 15 | |||||||||||||||||
Werner Enterprises, Inc. | Morgan Stanley | 61 | 2,444 | 2,392 | (45 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
4,350 | 206,367 | 234,282 | 29,000 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Utilities | ||||||||||||||||||||||
Dominion Energy, Inc. | Morgan Stanley | 8 | 591 | 602 | 12 | |||||||||||||||||
Duke Energy Corp. | Morgan Stanley | 44 | 3,669 | 4,029 | 388 | |||||||||||||||||
Exelon Corp. | Morgan Stanley | 491 | 20,066 | 20,730 | 678 | |||||||||||||||||
IDACORP, Inc. | Morgan Stanley | 282 | 25,604 | 27,080 | 1,510 | |||||||||||||||||
National Fuel Gas Co. | Morgan Stanley | 237 | 9,842 | 9,748 | 76 | |||||||||||||||||
NiSource, Inc. | Morgan Stanley | 4,058 | 93,872 | 93,091 | (560 | ) | ||||||||||||||||
NRG Energy, Inc. | Morgan Stanley | 212 | 6,432 | 7,961 | 1,607 | |||||||||||||||||
ONE Gas, Inc. | Morgan Stanley | 91 | 6,922 | 6,986 | 74 | |||||||||||||||||
Public Service Enterprise Group, Inc. | Morgan Stanley | 108 | 6,147 | 6,296 | 298 | |||||||||||||||||
Spire, Inc. | Morgan Stanley | 4 | 255 | 256 | 2 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
5,535 | 173,400 | 176,779 | 4,085 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Total Reference Entity — Long | 9,469,799 | 10,319,436 | 909,926 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
Short | ||||||||||||||||||||||
Automobiles & Components | ||||||||||||||||||||||
Aptiv PLC (Jersey) | Morgan Stanley | (134 | ) | (16,844 | ) | (17,459 | ) | (628 | ) | |||||||||||||
Dana, Inc. | Morgan Stanley | (593 | ) | (11,670 | ) | (11,575 | ) | 85 | ||||||||||||||
Dorman Products, Inc. | Morgan Stanley | (283 | ) | (25,124 | ) | (24,570 | ) | 531 | ||||||||||||||
Fox Factory Holding Corp. | Morgan Stanley | (1,013 | ) | (102,121 | ) | (107,084 | ) | (5,187 | ) | |||||||||||||
Goodyear Tire & Rubber Co. (The) | Morgan Stanley | (3,255 | ) | (31,964 | ) | (35,512 | ) | (3,820 | ) | |||||||||||||
LCI Industries | Morgan Stanley | (1,271 | ) | (147,441 | ) | (164,823 | ) | (19,890 | ) | |||||||||||||
Patrick Industries, Inc. | Morgan Stanley | (1,169 | ) | (70,161 | ) | (79,901 | ) | (10,286 | ) | |||||||||||||
Tesla, Inc. | Morgan Stanley | (104 | ) | (69,276 | ) | (73,390 | ) | (4,172 | ) | |||||||||||||
XPEL, Inc. | Morgan Stanley | (135 | ) | (6,423 | ) | (6,961 | ) | (542 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(7,957 | ) | (481,024 | ) | (521,275 | ) | (43,909 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
19 |
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Capital Goods | ||||||||||||||||||||||
AAON, Inc. | Morgan Stanley | (14 | ) | $ | (938 | ) | $ | (933 | ) | $ | 5 | |||||||||||
Aerojet Rocketdyne Holdings, Inc. | Morgan Stanley | (770 | ) | (40,457 | ) | (40,695 | ) | (271 | ) | |||||||||||||
American Woodmark Corp. | Morgan Stanley | (260 | ) | (23,499 | ) | (24,401 | ) | (921 | ) | |||||||||||||
Armstrong World Industries, Inc. | Morgan Stanley | (1,646 | ) | (124,847 | ) | (122,446 | ) | 2,041 | ||||||||||||||
Astec Industries, Inc. | Morgan Stanley | (1,036 | ) | (55,840 | ) | (59,964 | ) | (4,341 | ) | |||||||||||||
Axon Enterprise, Inc. | Morgan Stanley | (691 | ) | (63,014 | ) | (84,668 | ) | (22,626 | ) | |||||||||||||
Beacon Roofing Supply, Inc. | Morgan Stanley | (831 | ) | (29,239 | ) | (33,398 | ) | (4,183 | ) | |||||||||||||
Boeing Co. (The) | Morgan Stanley | (1,904 | ) | (430,791 | ) | (407,570 | ) | 22,852 | ||||||||||||||
Builders FirstSource, Inc. | Morgan Stanley | (6,355 | ) | (230,904 | ) | (259,348 | ) | (28,641 | ) | |||||||||||||
Carlisle Cos, Inc. | Morgan Stanley | (184 | ) | (25,335 | ) | (28,737 | ) | (3,497 | ) | |||||||||||||
Chart Industries, Inc. | Morgan Stanley | (15 | ) | (1,777 | ) | (1,767 | ) | 10 | ||||||||||||||
CIRCOR International, Inc. | Morgan Stanley | (87 | ) | (3,100 | ) | (3,344 | ) | (246 | ) | |||||||||||||
Construction Partners, Inc., Class A | Morgan Stanley | (1,208 | ) | (23,042 | ) | (35,165 | ) | (12,346 | ) | |||||||||||||
Encore Wire Corp. | Morgan Stanley | (7 | ) | (415 | ) | (424 | ) | (8 | ) | |||||||||||||
Enerpac Tool Group Corp. | Morgan Stanley | (62 | ) | (1,375 | ) | (1,402 | ) | (27 | ) | |||||||||||||
EnerSys | Morgan Stanley | (1,054 | ) | (77,985 | ) | (87,545 | ) | (10,202 | ) | |||||||||||||
GATX Corp. | Morgan Stanley | (495 | ) | (37,963 | ) | (41,174 | ) | (3,450 | ) | |||||||||||||
GrafTech International Ltd. | Morgan Stanley | (408 | ) | (4,136 | ) | (4,349 | ) | (216 | ) | |||||||||||||
Great Lakes Dredge & Dock Corp. | Morgan Stanley | (14 | ) | (179 | ) | (184 | ) | (4 | ) | |||||||||||||
Helios Technologies, Inc. | Morgan Stanley | (788 | ) | (33,633 | ) | (41,993 | ) | (8,490 | ) | |||||||||||||
Hexcel Corp. | Morgan Stanley | (2,183 | ) | (100,126 | ) | (105,854 | ) | (7,177 | ) | |||||||||||||
Hillenbrand, Inc. | Morgan Stanley | (2,581 | ) | (83,379 | ) | (102,724 | ) | (20,970 | ) | |||||||||||||
Hyster-Yale Materials Handling, Inc. | Morgan Stanley | (627 | ) | (25,550 | ) | (37,338 | ) | (12,015 | ) | |||||||||||||
Kaman Corp. | Morgan Stanley | (260 | ) | (13,940 | ) | (14,854 | ) | (963 | ) | |||||||||||||
Kennametal, Inc. | Morgan Stanley | (7,880 | ) | (236,093 | ) | (285,571 | ) | (52,004 | ) | |||||||||||||
Kratos Defense & Security Solutions, Inc. | Morgan Stanley | (6,581 | ) | (132,862 | ) | (180,517 | ) | (48,396 | ) | |||||||||||||
Maxar Technologies, Inc. | Morgan Stanley | (1,967 | ) | (60,452 | ) | (75,907 | ) | (15,521 | ) | |||||||||||||
Mercury Systems, Inc. | Morgan Stanley | (177 | ) | (13,936 | ) | (15,587 | ) | (1,661 | ) | |||||||||||||
Meritor, Inc. | Morgan Stanley | (7,149 | ) | (167,545 | ) | (199,529 | ) | (32,447 | ) | |||||||||||||
Mueller Water Products, Inc., Class A | Morgan Stanley | (8,064 | ) | (89,136 | ) | (99,832 | ) | (11,389 | ) | |||||||||||||
Navistar International Corp. | Morgan Stanley | (1,953 | ) | (85,984 | ) | (85,854 | ) | 57 | ||||||||||||||
Nordson Corp. | Morgan Stanley | (301 | ) | (61,905 | ) | (60,486 | ) | 1,198 | ||||||||||||||
NV5 Global, Inc. | Morgan Stanley | (842 | ) | (43,818 | ) | (66,333 | ) | (22,880 | ) | |||||||||||||
Oshkosh Corp. | Morgan Stanley | (1,306 | ) | (105,286 | ) | (112,407 | ) | (7,309 | ) | |||||||||||||
Parsons Corp. | Morgan Stanley | (1,035 | ) | (34,836 | ) | (37,684 | ) | (2,877 | ) | |||||||||||||
PGT Innovations, Inc. | Morgan Stanley | (1,953 | ) | (37,190 | ) | (39,724 | ) | (2,565 | ) | |||||||||||||
Proto Labs, Inc. | Morgan Stanley | (1,474 | ) | (230,730 | ) | (226,112 | ) | 4,404 | ||||||||||||||
Raven Industries, Inc. | Morgan Stanley | (291 | ) | (7,537 | ) | (9,629 | ) | (2,105 | ) | |||||||||||||
Resideo Technologies, Inc. | Morgan Stanley | (6,946 | ) | (98,286 | ) | (147,672 | ) | (50,825 | ) | |||||||||||||
REV Group, Inc. | Morgan Stanley | (3,491 | ) | (28,006 | ) | (30,756 | ) | (2,932 | ) | |||||||||||||
Sensata Technologies Holding PLC (United Kingdom) | Morgan Stanley | (453 | ) | (21,026 | ) | (23,891 | ) | (2,890 | ) | |||||||||||||
Spirit AeroSystems Holdings, Inc., Class A | Morgan Stanley | (4,547 | ) | (110,654 | ) | (177,742 | ) | (67,250 | ) | |||||||||||||
SPX Corp. | Morgan Stanley | (193 | ) | (10,346 | ) | (10,526 | ) | (188 | ) | |||||||||||||
Sunrun, Inc. | Morgan Stanley | (684 | ) | (44,199 | ) | (47,456 | ) | (3,293 | ) |
20 |
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Capital Goods — (continued) | ||||||||||||||||||||||
Terex Corp. | Morgan Stanley | (1,161 | ) | $ | (30,264 | ) | $ | (40,507 | ) | $ | (10,413 | ) | ||||||||||
Trex Co., Inc. | Morgan Stanley | (6,930 | ) | (527,835 | ) | (580,180 | ) | (53,795 | ) | |||||||||||||
Triumph Group, Inc. | Morgan Stanley | (2,323 | ) | (32,155 | ) | (29,177 | ) | 2,951 | ||||||||||||||
Vicor Corp. | Morgan Stanley | (1,775 | ) | (156,307 | ) | (163,691 | ) | (7,792 | ) | |||||||||||||
Welbilt, Inc. | Morgan Stanley | (5,140 | ) | (53,993 | ) | (67,848 | ) | (13,900 | ) | |||||||||||||
WESCO International, Inc. | Morgan Stanley | (4,070 | ) | (193,498 | ) | (319,495 | ) | (129,468 | ) | |||||||||||||
WillScot Mobile Mini Holdings Corp. | Morgan Stanley | (1,098 | ) | (24,275 | ) | (25,441 | ) | (1,185 | ) | |||||||||||||
Woodward, Inc. | Morgan Stanley | (202 | ) | (24,337 | ) | (24,549 | ) | (232 | ) | |||||||||||||
Xylem, Inc. | Morgan Stanley | (406 | ) | (37,012 | ) | (41,327 | ) | (4,727 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(103,872 | ) | (4,130,967 | ) | (4,765,707 | ) | (655,120 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Commercial & Professional Services | ||||||||||||||||||||||
Casella Waste Systems, Inc., Class A | Morgan Stanley | (228 | ) | (13,359 | ) | (14,125 | ) | (810 | ) | |||||||||||||
Equifax, Inc. | Morgan Stanley | (755 | ) | (145,426 | ) | (145,594 | ) | (292 | ) | |||||||||||||
Forrester Research, Inc. | Morgan Stanley | (544 | ) | (19,704 | ) | (22,794 | ) | (3,182 | ) | |||||||||||||
Harsco Corp. | Morgan Stanley | (5,037 | ) | (73,281 | ) | (90,565 | ) | (17,360 | ) | |||||||||||||
Insperity, Inc. | Morgan Stanley | (961 | ) | (66,169 | ) | (78,245 | ) | (13,347 | ) | |||||||||||||
Knoll, Inc. | Morgan Stanley | (38 | ) | (536 | ) | (558 | ) | (21 | ) | |||||||||||||
Korn Ferry | Morgan Stanley | (44 | ) | (1,939 | ) | (1,914 | ) | 25 | ||||||||||||||
MSA Safety, Inc. | Morgan Stanley | (174 | ) | (25,068 | ) | (25,994 | ) | (986 | ) | |||||||||||||
Pitney Bowes, Inc. | Morgan Stanley | (175 | ) | (1,077 | ) | (1,078 | ) | — | ||||||||||||||
US Ecology, Inc. | Morgan Stanley | (2,179 | ) | (82,171 | ) | (79,163 | ) | 2,959 | ||||||||||||||
Viad Corp. | Morgan Stanley | (58 | ) | (1,973 | ) | (2,098 | ) | (125 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(10,193 | ) | (430,703 | ) | (462,128 | ) | (33,139 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Consumer Durables & Apparel | ||||||||||||||||||||||
Acushnet Holdings Corp. | Morgan Stanley | (226 | ) | (8,148 | ) | (9,162 | ) | (1,225 | ) | |||||||||||||
Callaway Golf Co. | Morgan Stanley | (5,396 | ) | (116,284 | ) | (129,558 | ) | (14,227 | ) | |||||||||||||
Canada Goose Holdings, Inc. (Canada) | Morgan Stanley | (4,103 | ) | (143,381 | ) | (122,146 | ) | 21,158 | ||||||||||||||
Columbia Sportswear Co. | Morgan Stanley | (841 | ) | (76,914 | ) | (73,487 | ) | 3,363 | ||||||||||||||
GoPro, Inc., Class A | Morgan Stanley | (14,027 | ) | (62,713 | ) | (116,144 | ) | (55,960 | ) | |||||||||||||
Lululemon Athletica, Inc. | Morgan Stanley | (416 | ) | (156,759 | ) | (144,780 | ) | 12,831 | ||||||||||||||
Malibu Boats, Inc., Class A | Morgan Stanley | (342 | ) | (19,257 | ) | (21,354 | ) | (2,148 | ) | |||||||||||||
Oxford Industries, Inc. | Morgan Stanley | (58 | ) | (3,790 | ) | (3,800 | ) | (11 | ) | |||||||||||||
Purple Innovation, Inc. | Morgan Stanley | (321 | ) | (10,461 | ) | (10,574 | ) | (121 | ) | |||||||||||||
Skechers U.S.A., Inc., Class A | Morgan Stanley | (7,878 | ) | (259,387 | ) | (283,135 | ) | (23,970 | ) | |||||||||||||
Tapestry, Inc. | Morgan Stanley | (1,684 | ) | (35,166 | ) | (52,339 | ) | (17,202 | ) | |||||||||||||
Under Armour, Inc., Class C | Morgan Stanley | (10,685 | ) | (104,386 | ) | (158,993 | ) | (56,092 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(45,977 | ) | (996,646 | ) | (1,125,472 | ) | (133,604 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Consumer Services | ||||||||||||||||||||||
Aramark | Morgan Stanley | (3,846 | ) | (141,475 | ) | (147,994 | ) | (7,325 | ) | |||||||||||||
Bright Horizons Family Solutions, Inc. | Morgan Stanley | (1,701 | ) | (261,660 | ) | (294,256 | ) | (33,278 | ) | |||||||||||||
Caesars Entertainment, Inc. | Morgan Stanley | (2,210 | ) | (142,867 | ) | (164,137 | ) | (22,580 | ) | |||||||||||||
Carnival Corp. (Panama) | Morgan Stanley | (7,774 | ) | (162,201 | ) | (168,385 | ) | (6,322 | ) | |||||||||||||
Cheesecake Factory, Inc. (The) | Morgan Stanley | (4,336 | ) | (134,858 | ) | (160,692 | ) | (25,949 | ) | |||||||||||||
Chegg, Inc. | Morgan Stanley | (407 | ) | (31,920 | ) | (36,764 | ) | (6,713 | ) | |||||||||||||
Churchill Downs, Inc. | Morgan Stanley | (155 | ) | (30,342 | ) | (30,192 | ) | 96 |
21 |
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Consumer Services — (continued) | ||||||||||||||||||||||
Cracker Barrel Old Country Store, Inc. | Morgan Stanley | (1,713 | ) | $ | (211,888 | ) | $ | (225,979 | ) | $ | (14,272 | ) | ||||||||||
Dave & Buster’s Entertainment, Inc. | Morgan Stanley | (11,506 | ) | (209,526 | ) | (345,410 | ) | (138,647 | ) | |||||||||||||
Denny’s Corp. | Morgan Stanley | (3,429 | ) | (41,443 | ) | (50,338 | ) | (8,929 | ) | |||||||||||||
frontdoor, Inc. | Morgan Stanley | (304 | ) | (15,250 | ) | (15,264 | ) | (30 | ) | |||||||||||||
Hilton Worldwide Holdings, Inc. | Morgan Stanley | (1,228 | ) | (128,800 | ) | (136,627 | ) | (7,937 | ) | |||||||||||||
Monarch Casino & Resort, Inc. | Morgan Stanley | (1,012 | ) | (47,564 | ) | (61,955 | ) | (14,488 | ) | |||||||||||||
Planet Fitness, Inc., Class A | Morgan Stanley | (8 | ) | (621 | ) | (621 | ) | (1 | ) | |||||||||||||
Starbucks Corp. | Morgan Stanley | (86 | ) | (9,150 | ) | (9,200 | ) | (57 | ) | |||||||||||||
Stride, Inc. | Morgan Stanley | (2,419 | ) | (93,978 | ) | (51,355 | ) | 42,543 | ||||||||||||||
WW International, Inc. | Morgan Stanley | (647 | ) | (20,319 | ) | (15,787 | ) | 4,985 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(42,781 | ) | (1,683,862 | ) | (1,914,956 | ) | (238,904 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Diversified Financials | ||||||||||||||||||||||
CME Group, Inc. | Morgan Stanley | (693 | ) | (126,081 | ) | (126,161 | ) | (4,364 | ) | |||||||||||||
Franklin Resources, Inc. | Morgan Stanley | (5,646 | ) | (136,878 | ) | (141,094 | ) | (5,773 | ) | |||||||||||||
Intercontinental Exchange, Inc. | Morgan Stanley | (3,101 | ) | (313,715 | ) | (357,514 | ) | (45,699 | ) | |||||||||||||
WisdomTree Investments, Inc. | Morgan Stanley | (167 | ) | (894 | ) | (893 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(9,607 | ) | (577,568 | ) | (625,662 | ) | (55,836 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Energy | ||||||||||||||||||||||
Archrock, Inc. | Morgan Stanley | (7,011 | ) | (45,712 | ) | (60,715 | ) | (16,254 | ) | |||||||||||||
Cabot Oil & Gas Corp. | Morgan Stanley | (6,475 | ) | (119,325 | ) | (105,413 | ) | 13,405 | ||||||||||||||
Cameco Corp. (Canada) | Morgan Stanley | (43 | ) | (581 | ) | (576 | ) | 5 | ||||||||||||||
ChampionX Corp. | Morgan Stanley | (4,029 | ) | (34,396 | ) | (61,644 | ) | (27,276 | ) | |||||||||||||
CNX Resources Corp. | Morgan Stanley | (7,970 | ) | (82,744 | ) | (86,076 | ) | (3,402 | ) | |||||||||||||
Delek US Holdings, Inc. | Morgan Stanley | (18,670 | ) | (290,781 | ) | (300,027 | ) | (9,789 | ) | |||||||||||||
Dril-Quip, Inc. | Morgan Stanley | (770 | ) | (24,415 | ) | (22,807 | ) | 1,587 | ||||||||||||||
Hess Corp. | Morgan Stanley | (355 | ) | (16,664 | ) | (18,740 | ) | (2,361 | ) | |||||||||||||
HollyFrontier Corp. | Morgan Stanley | (447 | ) | (11,270 | ) | (11,555 | ) | (293 | ) | |||||||||||||
National Energy Services Reunited Corp. (British Virgin Islands) | Morgan Stanley | (9 | ) | (88 | ) | (89 | ) | — | ||||||||||||||
NexTier Oilfield Solutions, Inc. | Morgan Stanley | (6,190 | ) | (15,289 | ) | (21,294 | ) | (6,016 | ) | |||||||||||||
ONEOK, Inc. | Morgan Stanley | (1,003 | ) | (30,042 | ) | (38,495 | ) | (9,530 | ) | |||||||||||||
Ovintiv, Inc. | Morgan Stanley | (4,724 | ) | (52,862 | ) | (67,837 | ) | (16,513 | ) | |||||||||||||
PDC Energy, Inc. | Morgan Stanley | (5,130 | ) | (78,694 | ) | (105,319 | ) | (27,081 | ) | |||||||||||||
Pembina Pipeline Corp. (Canada) | Morgan Stanley | (14,303 | ) | (355,342 | ) | (338,409 | ) | 7,297 | ||||||||||||||
RPC, Inc. | Morgan Stanley | (5,381 | ) | (16,412 | ) | (16,950 | ) | (553 | ) | |||||||||||||
Southwestern Energy Co. | Morgan Stanley | (123,804 | ) | (344,776 | ) | (368,936 | ) | (24,455 | ) | |||||||||||||
Suncor Energy, Inc. (Canada) | Morgan Stanley | (5,976 | ) | (102,809 | ) | (100,277 | ) | 265 | ||||||||||||||
TC Energy Corp. (Canada) | Morgan Stanley | (5,590 | ) | (250,943 | ) | (227,625 | ) | 17,730 | ||||||||||||||
WPX Energy, Inc. | Morgan Stanley | (7,137 | ) | (40,253 | ) | (58,166 | ) | (19,058 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(225,017 | ) | (1,913,398 | ) | (2,010,950 | ) | (122,292 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Food & Staples Retailing | ||||||||||||||||||||||
Chefs’ Warehouse, Inc. (The) | Morgan Stanley | (627 | ) | (15,339 | ) | (16,108 | ) | (781 | ) | |||||||||||||
Grocery Outlet Holding Corp. | Morgan Stanley | (8,071 | ) | (332,057 | ) | (316,787 | ) | 14,987 | ||||||||||||||
Performance Food Group Co. | Morgan Stanley | (4,549 | ) | (169,204 | ) | (216,578 | ) | (48,619 | ) |
22 |
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Food & Staples Retailing — (continued) | ||||||||||||||||||||||
Rite Aid Corp. | Morgan Stanley | (3,213 | ) | $ | (44,381 | ) | $ | (50,862 | ) | $ | (6,517 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(16,460 | ) | (560,981 | ) | (600,335 | ) | (40,930 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||||||||
Beyond Meat, Inc. | Morgan Stanley | (4,162 | ) | (545,507 | ) | (520,250 | ) | 24,790 | ||||||||||||||
Calavo Growers, Inc. | Morgan Stanley | (1,090 | ) | (69,890 | ) | (75,679 | ) | (7,105 | ) | |||||||||||||
Darling Ingredients, Inc. | Morgan Stanley | (160 | ) | (9,049 | ) | (9,229 | ) | (187 | ) | |||||||||||||
Hormel Foods Corp. | Morgan Stanley | (3,038 | ) | (143,883 | ) | (141,601 | ) | 2,361 | ||||||||||||||
Hostess Brands, Inc. | Morgan Stanley | (77 | ) | (1,122 | ) | (1,127 | ) | (5 | ) | |||||||||||||
J&J Snack Foods Corp. | Morgan Stanley | (466 | ) | (67,100 | ) | (72,402 | ) | (5,761 | ) | |||||||||||||
Lancaster Colony Corp. | Morgan Stanley | (3 | ) | (543 | ) | (551 | ) | (8 | ) | |||||||||||||
MGP Ingredients, Inc. | Morgan Stanley | (1,245 | ) | (48,045 | ) | (58,590 | ) | (11,376 | ) | |||||||||||||
Pilgrim’s Pride Corp. | Morgan Stanley | (4,716 | ) | (76,447 | ) | (92,481 | ) | (16,375 | ) | |||||||||||||
Sanderson Farms, Inc. | Morgan Stanley | (1,172 | ) | (139,046 | ) | (154,938 | ) | (17,136 | ) | |||||||||||||
Simply Good Foods Co. (The) | Morgan Stanley | (582 | ) | (16,518 | ) | (18,252 | ) | (1,747 | ) | |||||||||||||
SunOpta, Inc. (Canada) | Morgan Stanley | (14 | ) | (162 | ) | (163 | ) | — | ||||||||||||||
Universal Corp. | Morgan Stanley | (426 | ) | (18,196 | ) | (20,708 | ) | (2,823 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(17,151 | ) | (1,135,508 | ) | (1,165,971 | ) | (35,372 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Health Care Equipment & Services | ||||||||||||||||||||||
ABIOMED, Inc. | Morgan Stanley | (118 | ) | (37,816 | ) | (38,256 | ) | (471 | ) | |||||||||||||
Alcon, Inc. (Switzerland) | Morgan Stanley | (8 | ) | (531 | ) | (528 | ) | 4 | ||||||||||||||
Antares Pharma, Inc. | Morgan Stanley | (86 | ) | (340 | ) | (343 | ) | (2 | ) | |||||||||||||
AtriCure, Inc. | Morgan Stanley | (702 | ) | (30,811 | ) | (39,080 | ) | (8,609 | ) | |||||||||||||
Avanos Medical, Inc. | Morgan Stanley | (568 | ) | (18,927 | ) | (26,060 | ) | (7,148 | ) | |||||||||||||
Axogen, Inc. | Morgan Stanley | (3,185 | ) | (37,965 | ) | (57,012 | ) | (19,617 | ) | |||||||||||||
BioTelemetry, Inc. | Morgan Stanley | (1,979 | ) | (81,413 | ) | (142,646 | ) | (61,302 | ) | |||||||||||||
Brookdale Senior Living, Inc. | Morgan Stanley | (5,220 | ) | (15,503 | ) | (23,125 | ) | (7,728 | ) | |||||||||||||
Cantel Medical Corp. | Morgan Stanley | (890 | ) | (48,226 | ) | (70,185 | ) | (22,883 | ) | |||||||||||||
Cardiovascular Systems, Inc. | Morgan Stanley | (1,232 | ) | (41,555 | ) | (53,912 | ) | (12,559 | ) | |||||||||||||
Castle Biosciences, Inc. | Morgan Stanley | (126 | ) | (7,228 | ) | (8,461 | ) | (1,238 | ) | |||||||||||||
Covetrus, Inc. | Morgan Stanley | (2,714 | ) | (71,439 | ) | (78,000 | ) | (6,621 | ) | |||||||||||||
CryoLife, Inc. | Morgan Stanley | (120 | ) | (2,546 | ) | (2,833 | ) | (288 | ) | |||||||||||||
Edwards Lifesciences Corp. | Morgan Stanley | (2,945 | ) | (241,994 | ) | (268,672 | ) | (26,885 | ) | |||||||||||||
Encompass Health Corp. | Morgan Stanley | (1,030 | ) | (77,552 | ) | (85,171 | ) | (8,770 | ) | |||||||||||||
Evolent Health, Inc., Class A | Morgan Stanley | (7,797 | ) | (111,562 | ) | (124,986 | ) | (13,687 | ) | |||||||||||||
Fulgent Genetics, Inc. | Morgan Stanley | (1,927 | ) | (92,484 | ) | (100,397 | ) | (7,991 | ) | |||||||||||||
Glaukos Corp. | Morgan Stanley | (1,773 | ) | (84,803 | ) | (133,436 | ) | (49,960 | ) | |||||||||||||
Globus Medical, Inc., Class A | Morgan Stanley | (345 | ) | (22,211 | ) | (22,501 | ) | (308 | ) | |||||||||||||
Guardant Health, Inc. | Morgan Stanley | (677 | ) | (78,138 | ) | (87,252 | ) | (9,180 | ) | |||||||||||||
Haemonetics Corp. | Morgan Stanley | (2,298 | ) | (228,792 | ) | (272,888 | ) | (44,291 | ) | |||||||||||||
HealthEquity, Inc. | Morgan Stanley | (2,440 | ) | (153,745 | ) | (170,092 | ) | (17,641 | ) | |||||||||||||
HealthStream, Inc. | Morgan Stanley | (4 | ) | (87 | ) | (87 | ) | 1 | ||||||||||||||
Henry Schein, Inc. | Morgan Stanley | (588 | ) | (40,091 | ) | (39,314 | ) | 770 | ||||||||||||||
ICU Medical, Inc. | Morgan Stanley | (1 | ) | (214 | ) | (214 | ) | 1 | ||||||||||||||
Inari Medical, Inc. | Morgan Stanley | (102 | ) | (8,716 | ) | (8,904 | ) | (194 | ) | |||||||||||||
Integra LifeSciences Holdings Corp. | Morgan Stanley | (1,368 | ) | (78,726 | ) | (88,811 | ) | (10,151 | ) | |||||||||||||
Intuitive Surgical, Inc. | Morgan Stanley | (74 | ) | (59,278 | ) | (60,539 | ) | (1,311 | ) |
23 |
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Health Care Equipment & Services — (continued) | ||||||||||||||||||||||
Lantheus Holdings, Inc. | Morgan Stanley | (355 | ) | $ | (4,738 | ) | $ | (4,789 | ) | $ | (54 | ) | ||||||||||
LHC Group, Inc. | Morgan Stanley | (367 | ) | (76,679 | ) | (78,288 | ) | (1,724 | ) | |||||||||||||
LivaNova PLC (United Kingdom) | Morgan Stanley | (3,738 | ) | (178,884 | ) | (247,493 | ) | (69,733 | ) | |||||||||||||
Merit Medical Systems, Inc. | Morgan Stanley | (785 | ) | (38,967 | ) | (43,575 | ) | (4,881 | ) | |||||||||||||
Mesa Laboratories, Inc. | Morgan Stanley | (284 | ) | (71,639 | ) | (81,406 | ) | (9,874 | ) | |||||||||||||
NuVasive, Inc. | Morgan Stanley | (1,622 | ) | (86,536 | ) | (91,367 | ) | (5,026 | ) | |||||||||||||
Ontrak, Inc. | Morgan Stanley | (434 | ) | (22,398 | ) | (26,817 | ) | (4,437 | ) | |||||||||||||
OraSure Technologies, Inc. | Morgan Stanley | (5,502 | ) | (63,419 | ) | (58,239 | ) | 5,127 | ||||||||||||||
OrthoPediatrics Corp. | Morgan Stanley | (48 | ) | (2,164 | ) | (1,980 | ) | 183 | ||||||||||||||
PetIQ, Inc. | Morgan Stanley | (4,161 | ) | (147,050 | ) | (159,990 | ) | (13,130 | ) | |||||||||||||
Progyny, Inc. | Morgan Stanley | (1,054 | ) | (30,743 | ) | (44,679 | ) | (14,046 | ) | |||||||||||||
RadNet, Inc. | Morgan Stanley | (2,613 | ) | (39,691 | ) | (51,136 | ) | (11,912 | ) | |||||||||||||
Silk Road Medical, Inc. | Morgan Stanley | (499 | ) | (29,479 | ) | (31,427 | ) | (1,972 | ) | |||||||||||||
Simulations Plus, Inc. | Morgan Stanley | (83 | ) | (5,709 | ) | (5,969 | ) | (264 | ) | |||||||||||||
SmileDirectClub, Inc. | Morgan Stanley | (12,268 | ) | (144,880 | ) | (146,480 | ) | (2,178 | ) | |||||||||||||
STAAR Surgical Co. | Morgan Stanley | (551 | ) | (32,845 | ) | (43,650 | ) | (10,962 | ) | |||||||||||||
Surgery Partners, Inc. | Morgan Stanley | (1,988 | ) | (43,230 | ) | (57,672 | ) | (14,478 | ) | |||||||||||||
Tabula Rasa HealthCare, Inc. | Morgan Stanley | (3,741 | ) | (189,667 | ) | (160,264 | ) | 29,241 | ||||||||||||||
Tactile Systems Technology, Inc. | Morgan Stanley | (842 | ) | (31,077 | ) | (37,839 | ) | (6,798 | ) | |||||||||||||
Tandem Diabetes Care, Inc. | Morgan Stanley | (202 | ) | (20,909 | ) | (19,327 | ) | 1,565 | ||||||||||||||
Teleflex, Inc. | Morgan Stanley | (417 | ) | (162,556 | ) | (171,625 | ) | (9,207 | ) | |||||||||||||
US Physical Therapy, Inc. | Morgan Stanley | (161 | ) | (15,198 | ) | (19,360 | ) | (4,175 | ) | |||||||||||||
Vapotherm, Inc. | Morgan Stanley | (3 | ) | (82 | ) | (81 | ) | 2 | ||||||||||||||
Varex Imaging Corp. | Morgan Stanley | (520 | ) | (7,311 | ) | (8,674 | ) | (1,385 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(82,555 | ) | (3,118,544 | ) | (3,595,832 | ) | (488,177 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Household & Personal Products | ||||||||||||||||||||||
Coty, Inc., Class A | Morgan Stanley | (1,752 | ) | (6,603 | ) | (12,299 | ) | (5,808 | ) | |||||||||||||
Spectrum Brands Holdings, Inc. | Morgan Stanley | (182 | ) | (13,819 | ) | (14,374 | ) | (566 | ) | |||||||||||||
WD-40 Co. | Morgan Stanley | (397 | ) | (81,881 | ) | (105,475 | ) | (24,563 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(2,331 | ) | (102,303 | ) | (132,148 | ) | (30,937 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Materials | ||||||||||||||||||||||
Air Products & Chemicals, Inc. | Morgan Stanley | (55 | ) | (15,068 | ) | (15,027 | ) | (34 | ) | |||||||||||||
Amyris, Inc. | Morgan Stanley | (5,306 | ) | (18,899 | ) | (32,765 | ) | (13,881 | ) | |||||||||||||
Balchem Corp. | Morgan Stanley | (293 | ) | (29,676 | ) | (33,759 | ) | (4,275 | ) | |||||||||||||
Cleveland-Cliffs, Inc. | Morgan Stanley | (10,698 | ) | (72,348 | ) | (155,763 | ) | (91,540 | ) | |||||||||||||
Element Solutions, Inc. | Morgan Stanley | (5,684 | ) | (82,484 | ) | (100,777 | ) | (18,487 | ) | |||||||||||||
Equinox Gold Corp. (Canada) | Morgan Stanley | (11,180 | ) | (143,737 | ) | (115,601 | ) | 28,014 | ||||||||||||||
Fortuna Silver Mines, Inc. (Canada) | Morgan Stanley | (6,457 | ) | (46,944 | ) | (53,206 | ) | (6,564 | ) | |||||||||||||
GCP Applied Technologies, Inc. | Morgan Stanley | (697 | ) | (18,638 | ) | (16,484 | ) | 2,182 | ||||||||||||||
Glatfelter Corp. | Morgan Stanley | (49 | ) | (816 | ) | (803 | ) | 7 | ||||||||||||||
Graphic Packaging Holding Co. | Morgan Stanley | (5,660 | ) | (82,475 | ) | (95,880 | ) | (14,183 | ) | |||||||||||||
H.B. Fuller Co. | Morgan Stanley | (301 | ) | (14,842 | ) | (15,616 | ) | (900 | ) | |||||||||||||
Hudbay Minerals, Inc. (Canada) | Morgan Stanley | (3,730 | ) | (16,934 | ) | (26,110 | ) | (9,346 | ) | |||||||||||||
Kirkland Lake Gold Ltd. (Canada) | Morgan Stanley | (7,746 | ) | (346,588 | ) | (319,677 | ) | 24,920 | ||||||||||||||
Kronos Worldwide, Inc. | Morgan Stanley | (15 | ) | (223 | ) | (224 | ) | — | ||||||||||||||
Livent Corp. | Morgan Stanley | (13,805 | ) | (124,245 | ) | (260,086 | ) | (143,555 | ) |
24 |
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Materials — (continued) | ||||||||||||||||||||||
LyondellBasell Industries NV, Class A (Netherlands) | Morgan Stanley | (447 | ) | $ | (35,569 | ) | $ | (40,972 | ) | $ | (5,866 | ) | ||||||||||
Materion Corp. | Morgan Stanley | (15 | ) | (926 | ) | (956 | ) | (29 | ) | |||||||||||||
Methanex Corp. (Canada) | Morgan Stanley | (5,227 | ) | (120,864 | ) | (240,860 | ) | (124,504 | ) | |||||||||||||
Myers Industries, Inc. | Morgan Stanley | (16 | ) | (315 | ) | (332 | ) | (16 | ) | |||||||||||||
Novagold Resources, Inc. (Canada) | Morgan Stanley | (5,533 | ) | (60,432 | ) | (53,504 | ) | 6,877 | ||||||||||||||
Nutrien Ltd. (Canada) | Morgan Stanley | (2,014 | ) | (99,254 | ) | (96,994 | ) | 1,238 | ||||||||||||||
Olin Corp. | Morgan Stanley | (4,944 | ) | (72,723 | ) | (121,425 | ) | (52,994 | ) | |||||||||||||
PQ Group Holdings, Inc. | Morgan Stanley | (7 | ) | (100 | ) | (100 | ) | 1 | ||||||||||||||
Quaker Chemical Corp. | Morgan Stanley | (425 | ) | (83,734 | ) | (107,691 | ) | (24,769 | ) | |||||||||||||
Schnitzer Steel Industries, Inc., Class A | Morgan Stanley | (59 | ) | (1,771 | ) | (1,883 | ) | (112 | ) | |||||||||||||
Steel Dynamics, Inc. | Morgan Stanley | (4,698 | ) | (157,489 | ) | (173,215 | ) | (18,227 | ) | |||||||||||||
Teck Resources Ltd., Class B (Canada) | Morgan Stanley | (4,902 | ) | (74,358 | ) | (88,971 | ) | (14,863 | ) | |||||||||||||
Tronox Holdings PLC, Class A (United Kingdom) | Morgan Stanley | (13,177 | ) | (124,271 | ) | (192,648 | ) | (70,140 | ) | |||||||||||||
United States Steel Corp. | Morgan Stanley | (1,056 | ) | (8,398 | ) | (17,709 | ) | (11,333 | ) | |||||||||||||
Warrior Met Coal, Inc. | Morgan Stanley | (5,644 | ) | (91,492 | ) | (120,330 | ) | (29,183 | ) | |||||||||||||
Westlake Chemical Corp. | Morgan Stanley | (1,468 | ) | (98,474 | ) | (119,789 | ) | (22,087 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(121,308 | ) | (2,044,087 | ) | (2,619,157 | ) | (613,649 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Media & Entertainment | ||||||||||||||||||||||
ANGI Homeservices, Inc., Class A | Morgan Stanley | (9,482 | ) | (109,226 | ) | (125,115 | ) | (15,982 | ) | |||||||||||||
Cars.com, Inc. | Morgan Stanley | (1,433 | ) | (15,629 | ) | (16,193 | ) | (577 | ) | |||||||||||||
Cinemark Holdings, Inc. | Morgan Stanley | (9,143 | ) | (114,531 | ) | (159,180 | ) | (47,583 | ) | |||||||||||||
Discovery, Inc., Class A | Morgan Stanley | (10,778 | ) | (297,189 | ) | (324,310 | ) | (27,375 | ) | |||||||||||||
Eventbrite, Inc., Class A | Morgan Stanley | (2,183 | ) | (24,493 | ) | (39,512 | ) | (15,561 | ) | |||||||||||||
EW Scripps Co. (The), Class A | Morgan Stanley | (4,461 | ) | (50,454 | ) | (68,209 | ) | (18,400 | ) | |||||||||||||
Glu Mobile, Inc. | Morgan Stanley | (13,361 | ) | (108,200 | ) | (120,383 | ) | (12,998 | ) | |||||||||||||
iHeartMedia, Inc., Class A | Morgan Stanley | (1,348 | ) | (12,357 | ) | (17,497 | ) | (5,236 | ) | |||||||||||||
Live Nation Entertainment, Inc. | Morgan Stanley | (1,732 | ) | (107,314 | ) | (127,267 | ) | (20,258 | ) | |||||||||||||
Loral Space & Communications, Inc. | Morgan Stanley | (2 | ) | (42 | ) | (42 | ) | 2 | ||||||||||||||
New York Times Co. (The), Class A | Morgan Stanley | (1,011 | ) | (51,254 | ) | (52,339 | ) | (1,129 | ) | |||||||||||||
Scholastic Corp. | Morgan Stanley | (9 | ) | (219 | ) | (225 | ) | (5 | ) | |||||||||||||
Sinclair Broadcast Group, Inc., Class A | Morgan Stanley | (1,948 | ) | (40,129 | ) | (62,044 | ) | (23,117 | ) | |||||||||||||
TripAdvisor, Inc. | Morgan Stanley | (14,755 | ) | (344,272 | ) | (424,649 | ) | (81,268 | ) | |||||||||||||
Walt Disney Co. (The) | Morgan Stanley | (1,103 | ) | (181,657 | ) | (199,841 | ) | (18,340 | ) | |||||||||||||
WideOpenWest, Inc. | Morgan Stanley | (30 | ) | (307 | ) | (320 | ) | (12 | ) | |||||||||||||
Yelp, Inc. | Morgan Stanley | (2,648 | ) | (61,229 | ) | (86,510 | ) | (26,770 | ) | |||||||||||||
Zynga, Inc., Class A | Morgan Stanley | (41,486 | ) | (351,361 | ) | (409,467 | ) | (58,406 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(116,913 | ) | (1,869,863 | ) | (2,233,103 | ) | (373,015 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||||||||
10X Genomics, Inc., Class A | Morgan Stanley | (1,699 | ) | (239,360 | ) | (240,578 | ) | (1,423 | ) | |||||||||||||
Adaptive Biotechnologies Corp. | Morgan Stanley | (2,423 | ) | (105,574 | ) | (143,272 | ) | (38,405 | ) | |||||||||||||
Adverum Biotechnologies, Inc. | Morgan Stanley | (135 | ) | (1,598 | ) | (1,463 | ) | 134 | ||||||||||||||
Agios Pharmaceuticals, Inc. | Morgan Stanley | (128 | ) | (5,143 | ) | (5,546 | ) | (632 | ) | |||||||||||||
Akero Therapeutics, Inc. | Morgan Stanley | (13 | ) | (335 | ) | (335 | ) | (1 | ) | |||||||||||||
Allogene Therapeutics, Inc. | Morgan Stanley | (755 | ) | (22,640 | ) | (19,056 | ) | 3,565 |
25 |
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) |
| ||||||||||||||||||||||
Alnylam Pharmaceuticals, Inc. | Morgan Stanley | (15 | ) | $ | (2,017 | ) | $ | (1,950 | ) | $ | 76 | ||||||||||||
Amneal Pharmaceuticals, Inc. | Morgan Stanley | (3,426 | ) | (13,489 | ) | (15,657 | ) | (2,178 | ) | ||||||||||||||
Arcturus Therapeutics Holdings, Inc. | Morgan Stanley | (804 | ) | (43,116 | ) | (34,878 | ) | 8,203 | |||||||||||||||
Arrowhead Pharmaceuticals, Inc. | Morgan Stanley | (1,325 | ) | (89,294 | ) | (101,667 | ) | (12,978 | ) | ||||||||||||||
Arvinas, Inc. | Morgan Stanley | (2,853 | ) | (73,287 | ) | (242,305 | ) | (173,885 | ) | ||||||||||||||
Athenex, Inc. | Morgan Stanley | (57 | ) | (645 | ) | (630 | ) | 13 | |||||||||||||||
Aurinia Pharmaceuticals, Inc. (Canada) | Morgan Stanley | (1,271 | ) | (18,778 | ) | (17,578 | ) | 1,185 | |||||||||||||||
Axsome Therapeutics, Inc. | Morgan Stanley | (64 | ) | (5,269 | ) | (5,214 | ) | 52 | |||||||||||||||
Bausch Health Cos, Inc. (Canada) | Morgan Stanley | (2,560 | ) | (44,043 | ) | (53,248 | ) | (9,907 | ) | ||||||||||||||
Bluebird Bio, Inc. | Morgan Stanley | (6 | ) | (260 | ) | (260 | ) | 2 | |||||||||||||||
Bruker Corp. | Morgan Stanley | (1,567 | ) | (77,943 | ) | (84,822 | ) | (7,370 | ) | ||||||||||||||
Codexis, Inc. | Morgan Stanley | (4,568 | ) | (63,130 | ) | (99,719 | ) | (36,958 | ) | ||||||||||||||
Deciphera Pharmaceuticals, Inc. | Morgan Stanley | (69 | ) | (3,967 | ) | (3,938 | ) | 27 | |||||||||||||||
Elanco Animal Health, Inc. | Morgan Stanley | (13,205 | ) | (397,862 | ) | (404,997 | ) | (7,505 | ) | ||||||||||||||
Eli Lilly & Co. | Morgan Stanley | (1,830 | ) | (303,247 | ) | (308,977 | ) | (6,574 | ) | ||||||||||||||
Epizyme, Inc. | Morgan Stanley | (2,714 | ) | (35,339 | ) | (29,474 | ) | 5,836 | |||||||||||||||
Esperion Therapeutics, Inc. | Morgan Stanley | (86 | ) | (2,393 | ) | (2,236 | ) | 156 | |||||||||||||||
Global Blood Therapeutics, Inc. | Morgan Stanley | (1,319 | ) | (57,678 | ) | (57,126 | ) | 504 | |||||||||||||||
Insmed, Inc. | Morgan Stanley | (408 | ) | (14,301 | ) | (13,582 | ) | 707 | |||||||||||||||
Intersect ENT, Inc. | Morgan Stanley | (2,186 | ) | (42,234 | ) | (50,059 | ) | (7,941 | ) | ||||||||||||||
Ionis Pharmaceuticals, Inc. | Morgan Stanley | (1,262 | ) | (69,665 | ) | (71,353 | ) | (1,748 | ) | ||||||||||||||
Jazz Pharmaceuticals PLC (Ireland) | Morgan Stanley | (12 | ) | (1,969 | ) | (1,981 | ) | (12 | ) | ||||||||||||||
Kadmon Holdings, Inc. | Morgan Stanley | (2 | ) | (8 | ) | (8 | ) | 1 | |||||||||||||||
Karyopharm Therapeutics, Inc. | Morgan Stanley | (49 | ) | (747 | ) | (759 | ) | (20 | ) | ||||||||||||||
Madrigal Pharmaceuticals, Inc. | Morgan Stanley | (46 | ) | (5,590 | ) | (5,114 | ) | 472 | |||||||||||||||
Myriad Genetics, Inc. | Morgan Stanley | (2,711 | ) | (37,141 | ) | (53,610 | ) | (16,926 | ) | ||||||||||||||
NanoString Technologies, Inc. | Morgan Stanley | (1,302 | ) | (54,254 | ) | (87,078 | ) | (34,460 | ) | ||||||||||||||
NeoGenomics, Inc. | Morgan Stanley | (1,278 | ) | (50,245 | ) | (68,808 | ) | (19,232 | ) | ||||||||||||||
OPKO Health, Inc. | Morgan Stanley | (51 | ) | (205 | ) | (201 | ) | 5 | |||||||||||||||
Pacific Biosciences of California, Inc. | Morgan Stanley | (1,487 | ) | (10,550 | ) | (38,573 | ) | (32,795 | ) | ||||||||||||||
Perrigo Co. PLC (Ireland) | Morgan Stanley | (2,669 | ) | (132,914 | ) | (119,358 | ) | 13,171 | |||||||||||||||
Phathom Pharmaceuticals, Inc. | Morgan Stanley | (13 | ) | (535 | ) | (432 | ) | 104 | |||||||||||||||
PRA Health Sciences, Inc. | Morgan Stanley | (982 | ) | (105,339 | ) | (123,182 | ) | (17,933 | ) | ||||||||||||||
Reata Pharmaceuticals, Inc., Class A | Morgan Stanley | (1,350 | ) | (143,159 | ) | (166,887 | ) | (24,459 | ) | ||||||||||||||
REGENXBIO, Inc. | Morgan Stanley | (2,638 | ) | (80,512 | ) | (119,660 | ) | (40,393 | ) | ||||||||||||||
Seres Therapeutics, Inc. | Morgan Stanley | (412 | ) | (10,316 | ) | (10,094 | ) | 215 | |||||||||||||||
Theravance Biopharma, Inc. (Cayman | |||||||||||||||||||||||
Islands) | Morgan Stanley | (4,504 | ) | (84,270 | ) | (80,036 | ) | 4,305 | |||||||||||||||
VBI Vaccines, Inc. (Canada) | Morgan Stanley | (1,312 | ) | (3,812 | ) | (3,608 | ) | 202 | |||||||||||||||
Vir Biotechnology, Inc. | Morgan Stanley | (862 | ) | (25,760 | ) | (23,084 | ) | 2,654 | |||||||||||||||
Xencor, Inc. | Morgan Stanley | (6 | ) | (266 | ) | (262 | ) | 4 | |||||||||||||||
Zogenix, Inc. | Morgan Stanley | (1,027 | ) | (24,637 | ) | (20,530 | ) | 4,113 | |||||||||||||||
Zymeworks, Inc. (Canada) | Morgan Stanley | (27 | ) | (1,296 | ) | (1,276 | ) | 20 | |||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||
(69,488 | ) | (2,506,132 | ) | (2,934,461 | ) | (448,009 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
26 |
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Retailing | ||||||||||||||||||||||
1-800-Flowers.com, Inc., Class A | Morgan Stanley | (377 | ) | $ | (9,901 | ) | $ | (9,802 | ) | $ | 91 | |||||||||||
Booking Holdings, Inc. | Morgan Stanley | (4 | ) | (8,845 | ) | (8,909 | ) | 2,045 | ||||||||||||||
Boot Barn Holdings, Inc. | Morgan Stanley | (969 | ) | (27,675 | ) | (42,016 | ) | (15,218 | ) | |||||||||||||
Burlington Stores, Inc. | Morgan Stanley | (1,926 | ) | (422,310 | ) | (503,745 | ) | (81,797 | ) | |||||||||||||
Carvana Co. | Morgan Stanley | (1,808 | ) | (399,580 | ) | (433,088 | ) | (33,850 | ) | |||||||||||||
Children’s Place, Inc. (The) | Morgan Stanley | (3,890 | ) | (171,090 | ) | (194,889 | ) | (23,945 | ) | |||||||||||||
Floor & Decor Holdings, Inc., Class A | Morgan Stanley | (660 | ) | (49,879 | ) | (61,281 | ) | (12,586 | ) | |||||||||||||
Grubhub, Inc. | Morgan Stanley | (878 | ) | (64,416 | ) | (65,209 | ) | (847 | ) | |||||||||||||
Lithia Motors, Inc., Class A | Morgan Stanley | (652 | ) | (179,008 | ) | (190,821 | ) | (12,216 | ) | |||||||||||||
Monro, Inc. | Morgan Stanley | (4,296 | ) | (199,517 | ) | (228,977 | ) | (31,546 | ) | |||||||||||||
Nordstrom, Inc. | Morgan Stanley | (5,857 | ) | (99,183 | ) | (182,797 | ) | (83,698 | ) | |||||||||||||
Penske Automotive Group, Inc. | Morgan Stanley | (1,333 | ) | (69,683 | ) | (79,167 | ) | (10,020 | ) | |||||||||||||
RealReal, Inc. (The) | Morgan Stanley | (4,213 | ) | (60,005 | ) | (82,322 | ) | (22,779 | ) | |||||||||||||
Sally Beauty Holdings, Inc. | Morgan Stanley | (2,055 | ) | (23,633 | ) | (26,797 | ) | (3,184 | ) | |||||||||||||
Tiffany & Co. | Morgan Stanley | (1,358 | ) | (177,840 | ) | (178,509 | ) | (1,609 | ) | |||||||||||||
Ulta Beauty, Inc. | Morgan Stanley | (849 | ) | (228,518 | ) | (243,799 | ) | (15,476 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(31,125 | ) | (2,191,083 | ) | (2,532,128 | ) | (346,635 | ) | |||||||||||||||
|
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| |||||||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||||||||
ACM Research, Inc., Class A | Morgan Stanley | (211 | ) | (18,915 | ) | (17,144 | ) | 1,763 | ||||||||||||||
Advanced Energy Industries, Inc. | Morgan Stanley | (1,479 | ) | (109,623 | ) | (143,419 | ) | (34,816 | ) | |||||||||||||
Brooks Automation, Inc. | Morgan Stanley | (277 | ) | (14,634 | ) | (18,794 | ) | (4,673 | ) | |||||||||||||
CEVA, Inc. | Morgan Stanley | (1,246 | ) | (53,162 | ) | (56,693 | ) | (3,576 | ) | |||||||||||||
CMC Materials, Inc. | Morgan Stanley | (114 | ) | (18,353 | ) | (17,248 | ) | 978 | ||||||||||||||
Cree, Inc. | Morgan Stanley | (2,089 | ) | (134,290 | ) | (221,225 | ) | (93,904 | ) | |||||||||||||
Diodes, Inc. | Morgan Stanley | (375 | ) | (24,926 | ) | (26,438 | ) | (1,543 | ) | |||||||||||||
Enphase Energy, Inc. | Morgan Stanley | (1,067 | ) | (186,468 | ) | (187,226 | ) | (917 | ) | |||||||||||||
FormFactor, Inc. | Morgan Stanley | (687 | ) | (23,761 | ) | (29,555 | ) | (6,075 | ) | |||||||||||||
Ichor Holdings Ltd. (Cayman Islands) | Morgan Stanley | (1,186 | ) | (31,702 | ) | (35,752 | ) | (4,177 | ) | |||||||||||||
Impinj, Inc. | Morgan Stanley | (33 | ) | (1,356 | ) | (1,382 | ) | (26 | ) | |||||||||||||
MaxLinear, Inc. | Morgan Stanley | (1,368 | ) | (38,732 | ) | (52,244 | ) | (13,544 | ) | |||||||||||||
ON Semiconductor Corp. | Morgan Stanley | (11,115 | ) | (308,137 | ) | (363,794 | ) | (56,328 | ) | |||||||||||||
Onto Innovation, Inc. | Morgan Stanley | (1,502 | ) | (49,836 | ) | (71,420 | ) | (21,907 | ) | |||||||||||||
PDF Solutions, Inc. | Morgan Stanley | (4 | ) | (86 | ) | (86 | ) | — | ||||||||||||||
Photronics, Inc. | Morgan Stanley | (30 | ) | (332 | ) | (335 | ) | (2 | ) | |||||||||||||
Semtech Corp. | Morgan Stanley | (399 | ) | (24,605 | ) | (28,764 | ) | (4,179 | ) | |||||||||||||
Silicon Laboratories, Inc. | Morgan Stanley | (184 | ) | (19,869 | ) | (23,431 | ) | (3,578 | ) | |||||||||||||
Skyworks Solutions, Inc. | Morgan Stanley | (777 | ) | (117,315 | ) | (118,788 | ) | (1,572 | ) | |||||||||||||
SMART Global Holdings, Inc. (Cayman Islands) | Morgan Stanley | (33 | ) | (1,196 | ) | (1,242 | ) | (45 | ) | |||||||||||||
Universal Display Corp. | Morgan Stanley | (956 | ) | (171,783 | ) | (219,689 | ) | (51,418 | ) | |||||||||||||
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| |||||||||||||||
(25,132 | ) | (1,349,081 | ) | (1,634,669 | ) | (299,539 | ) | |||||||||||||||
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| |||||||||||||||
Software & Services | ||||||||||||||||||||||
8x8, Inc. | Morgan Stanley | (12,024 | ) | (210,660 | ) | (414,467 | ) | (211,756 | ) | |||||||||||||
Altair Engineering, Inc., Class A | Morgan Stanley | (1,932 | ) | (83,725 | ) | (112,404 | ) | (29,317 | ) | |||||||||||||
Alteryx, Inc., Class A | Morgan Stanley | (3,199 | ) | (389,923 | ) | (389,606 | ) | (284 | ) | |||||||||||||
Appfolio, Inc., Class A | Morgan Stanley | (82 | ) | (14,339 | ) | (14,763 | ) | (436 | ) |
27 |
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Software & Services — (continued) | ||||||||||||||||||||||
Avaya Holdings Corp. | Morgan Stanley | (3,969 | ) | $ | (64,933 | ) | $ | (76,006 | ) | $ | (11,433 | ) | ||||||||||
Ceridian HCM Holding, Inc. | Morgan Stanley | (3,141 | ) | (260,074 | ) | (334,705 | ) | (74,934 | ) | |||||||||||||
CommVault Systems, Inc. | Morgan Stanley | (1,086 | ) | (48,286 | ) | (60,132 | ) | (11,909 | ) | |||||||||||||
Conduent, Inc. | Morgan Stanley | (20,049 | ) | (71,976 | ) | (96,235 | ) | (24,583 | ) | |||||||||||||
Digital Turbine, Inc. | Morgan Stanley | (2,124 | ) | (119,109 | ) | (120,133 | ) | (1,126 | ) | |||||||||||||
DXC Technology Co. | Morgan Stanley | (10,655 | ) | (227,424 | ) | (274,366 | ) | (47,137 | ) | |||||||||||||
Euronet Worldwide, Inc. | Morgan Stanley | (1,596 | ) | (190,337 | ) | (231,292 | ) | (41,118 | ) | |||||||||||||
Everbridge, Inc. | Morgan Stanley | (646 | ) | (99,125 | ) | (96,299 | ) | 2,770 | ||||||||||||||
Fortinet, Inc. | Morgan Stanley | (1,171 | ) | (170,375 | ) | (173,929 | ) | (3,698 | ) | |||||||||||||
GreenSky, Inc., Class A | Morgan Stanley | (10 | ) | (46 | ) | (46 | ) | (4 | ) | |||||||||||||
KBR, Inc. | Morgan Stanley | (354 | ) | (10,659 | ) | (10,949 | ) | (298 | ) | |||||||||||||
Leidos Holdings, Inc. | Morgan Stanley | (95 | ) | (8,843 | ) | (9,986 | ) | (1,686 | ) | |||||||||||||
Manhattan Associates, Inc. | Morgan Stanley | (297 | ) | (29,339 | ) | (31,238 | ) | (1,963 | ) | |||||||||||||
Medallia, Inc. | Morgan Stanley | (2,295 | ) | (86,951 | ) | (76,240 | ) | 10,636 | ||||||||||||||
New Relic, Inc. | Morgan Stanley | (5,665 | ) | (340,840 | ) | (370,491 | ) | (29,972 | ) | |||||||||||||
Paycom Software, Inc. | Morgan Stanley | (396 | ) | (161,560 | ) | (179,091 | ) | (18,879 | ) | |||||||||||||
Pegasystems, Inc. | Morgan Stanley | (873 | ) | (108,490 | ) | (116,336 | ) | (7,964 | ) | |||||||||||||
Ping Identity Holding Corp. | Morgan Stanley | (8,268 | ) | (269,843 | ) | (236,796 | ) | 32,817 | ||||||||||||||
Pluralsight, Inc., Class A | Morgan Stanley | (2,419 | ) | (39,675 | ) | (50,702 | ) | (11,060 | ) | |||||||||||||
Proofpoint, Inc. | Morgan Stanley | (563 | ) | (62,317 | ) | (76,799 | ) | (15,843 | ) | |||||||||||||
PROS Holdings, Inc. | Morgan Stanley | (3,019 | ) | (118,955 | ) | (153,275 | ) | (34,750 | ) | |||||||||||||
RealPage, Inc. | Morgan Stanley | (463 | ) | (40,479 | ) | (40,392 | ) | 53 | ||||||||||||||
Sabre Corp. | Morgan Stanley | (12,715 | ) | (91,340 | ) | (152,834 | ) | (64,483 | ) | |||||||||||||
Splunk, Inc. | Morgan Stanley | (2,541 | ) | (407,098 | ) | (431,690 | ) | (24,940 | ) | |||||||||||||
Sprout Social, Inc., Class A | Morgan Stanley | (67 | ) | (3,137 | ) | (3,042 | ) | 93 | ||||||||||||||
Switch, Inc., Class A | Morgan Stanley | (10,745 | ) | (182,913 | ) | (175,896 | ) | 6,363 | ||||||||||||||
Tucows, Inc., Class A | Morgan Stanley | (1 | ) | (74 | ) | (74 | ) | 1 | ||||||||||||||
Upland Software, Inc. | Morgan Stanley | (1,386 | ) | (56,470 | ) | (63,604 | ) | (7,181 | ) | |||||||||||||
Verra Mobility Corp. | Morgan Stanley | (3,150 | ) | (35,712 | ) | (42,273 | ) | (6,591 | ) | |||||||||||||
WEX, Inc. | Morgan Stanley | (595 | ) | (112,741 | ) | (121,100 | ) | (8,455 | ) | |||||||||||||
Yext, Inc. | Morgan Stanley | (13,642 | ) | (273,545 | ) | (214,452 | ) | 59,051 | ||||||||||||||
Zuora, Inc., Class A | Morgan Stanley | (14,717 | ) | (214,478 | ) | (205,008 | ) | 9,183 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(145,950 | ) | (4,605,791 | ) | (5,156,651 | ) | (570,833 | ) | |||||||||||||||
|
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|
|
|
|
|
| |||||||||||||||
Technology Hardware & Equipment | ||||||||||||||||||||||
3D Systems Corp. | Morgan Stanley | (6,014 | ) | (33,821 | ) | (63,027 | ) | (29,535 | ) | |||||||||||||
Ciena Corp. | Morgan Stanley | (2,566 | ) | (126,023 | ) | (135,613 | ) | (9,697 | ) | |||||||||||||
Coherent, Inc. | Morgan Stanley | (204 | ) | (29,254 | ) | (30,604 | ) | (1,375 | ) | |||||||||||||
Dolby Laboratories, Inc., Class A | Morgan Stanley | (216 | ) | (19,243 | ) | (20,980 | ) | (1,782 | ) | |||||||||||||
Fabrinet (Cayman Islands) | Morgan Stanley | (1,458 | ) | (101,739 | ) | (113,126 | ) | (11,596 | ) | |||||||||||||
FARO Technologies, Inc. | Morgan Stanley | (675 | ) | (40,734 | ) | (47,675 | ) | (7,005 | ) | |||||||||||||
Harmonic, Inc. | Morgan Stanley | (268 | ) | (1,787 | ) | (1,981 | ) | (194 | ) | |||||||||||||
Infinera Corp. | Morgan Stanley | (17,961 | ) | (130,925 | ) | (188,231 | ) | (58,747 | ) | |||||||||||||
Insight Enterprises, Inc. | Morgan Stanley | (2,054 | ) | (123,076 | ) | (156,289 | ) | (33,902 | ) | |||||||||||||
IPG Photonics Corp. | Morgan Stanley | (128 | ) | (25,348 | ) | (28,645 | ) | (3,317 | ) | |||||||||||||
Itron, Inc. | Morgan Stanley | (1,338 | ) | (89,943 | ) | (128,314 | ) | (38,448 | ) | |||||||||||||
Knowles Corp. | Morgan Stanley | (57 | ) | (1,041 | ) | (1,051 | ) | (9 | ) |
28 |
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||
Technology Hardware & Equipment — (continued) |
| ||||||||||||||||||||||
Littelfuse, Inc. | Morgan Stanley | (157 | ) | $ | (29,184 | ) | $ | (39,982 | ) | $ | (11,111 | ) | |||||||||||
Methode Electronics, Inc. | Morgan Stanley | (48 | ) | (1,811 | ) | (1,837 | ) | (27 | ) | ||||||||||||||
National Instruments Corp. | Morgan Stanley | (2,622 | ) | (98,150 | ) | (115,211 | ) | (17,323 | ) | ||||||||||||||
nLight, Inc. | Morgan Stanley | (3,088 | ) | (73,988 | ) | (100,823 | ) | (27,191 | ) | ||||||||||||||
Novanta, Inc. (Canada) | Morgan Stanley | (148 | ) | (15,849 | ) | (17,497 | ) | (1,758 | ) | ||||||||||||||
Plantronics, Inc. | Morgan Stanley | (1,712 | ) | (21,023 | ) | (46,275 | ) | (26,472 | ) | ||||||||||||||
Pure Storage, Inc., Class A | Morgan Stanley | (2,855 | ) | (53,593 | ) | (64,552 | ) | (11,125 | ) | ||||||||||||||
Rogers Corp. | Morgan Stanley | (346 | ) | (41,876 | ) | (53,730 | ) | (12,158 | ) | ||||||||||||||
Seagate Technology PLC (Ireland) | Morgan Stanley | (317 | ) | (20,847 | ) | (19,705 | ) | 1,256 | |||||||||||||||
Stratasys Ltd. (Israel) | Morgan Stanley | (10,296 | ) | (153,161 | ) | (213,333 | ) | (61,449 | ) | ||||||||||||||
Super Micro Computer, Inc. | Morgan Stanley | (523 | ) | (14,292 | ) | (16,558 | ) | (2,379 | ) | ||||||||||||||
ViaSat, Inc. | Morgan Stanley | (3,736 | ) | (143,498 | ) | (121,980 | ) | 21,396 | |||||||||||||||
Viavi Solutions, Inc. | Morgan Stanley | (679 | ) | (10,075 | ) | (10,168 | ) | (101 | ) | ||||||||||||||
Western Digital Corp. | Morgan Stanley | (4,666 | ) | (202,020 | ) | (258,450 | ) | (59,455 | ) | ||||||||||||||
Xerox Holdings Corp. | Morgan Stanley | (3,427 | ) | (77,898 | ) | (79,472 | ) | (2,740 | ) | ||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||
(67,559 | ) | (1,680,199 | ) | (2,075,109 | ) | (406,244 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||
Telecommunication Services | |||||||||||||||||||||||
Boingo Wireless, Inc. | Morgan Stanley | (5,150 | ) | (69,165 | ) | (65,508 | ) | 3,822 | |||||||||||||||
Cogent Communications Holdings, Inc. | Morgan Stanley | (770 | ) | (48,663 | ) | (46,100 | ) | 2,161 | |||||||||||||||
Shenandoah Telecommunications Co. | Morgan Stanley | (430 | ) | (23,985 | ) | (18,598 | ) | 5,334 | |||||||||||||||
United States Cellular Corp. | Morgan Stanley | (584 | ) | (21,316 | ) | (17,923 | ) | 3,376 | |||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||
(6,934 | ) | (163,129 | ) | (148,129 | ) | 14,693 | |||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||
Transportation | |||||||||||||||||||||||
Air Transport Services Group, Inc. | Morgan Stanley | (4,240 | ) | (108,988 | ) | (132,882 | ) | (24,256 | ) | ||||||||||||||
Allegiant Travel Co. | Morgan Stanley | (197 | ) | (25,348 | ) | (37,280 | ) | (12,535 | ) | ||||||||||||||
Hawaiian Holdings, Inc. | Morgan Stanley | (3,413 | ) | (47,240 | ) | (60,410 | ) | (13,491 | ) | ||||||||||||||
JB Hunt Transport Services, Inc. | Morgan Stanley | (322 | ) | (44,175 | ) | (44,001 | ) | (280 | ) | ||||||||||||||
JetBlue Airways Corp. | Morgan Stanley | (1,897 | ) | (28,418 | ) | (27,582 | ) | 812 | |||||||||||||||
Kirby Corp. | Morgan Stanley | (1,278 | ) | (62,339 | ) | (66,239 | ) | (4,207 | ) | ||||||||||||||
Matson, Inc. | Morgan Stanley | (2,464 | ) | (100,441 | ) | (140,374 | ) | (41,293 | ) | ||||||||||||||
XPO Logistics, Inc. | Morgan Stanley | (91 | ) | (8,654 | ) | (10,847 | ) | (2,414 | ) | ||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||
(13,902 | ) | (425,603 | ) | (519,615 | ) | (97,664 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||
Utilities | |||||||||||||||||||||||
Algonquin Power & Utilities Corp. (Canada) | Morgan Stanley | (347 | ) | (5,568 | ) | (5,712 | ) | (323 | ) | ||||||||||||||
ALLETE, Inc. | Morgan Stanley | (3,550 | ) | (190,701 | ) | (219,887 | ) | (32,004 | ) | ||||||||||||||
Ameren Corp. | Morgan Stanley | (2,003 | ) | (160,056 | ) | (156,354 | ) | 2,776 | |||||||||||||||
American States Water Co. | Morgan Stanley | (13 | ) | (1,023 | ) | (1,034 | ) | (10 | ) | ||||||||||||||
Avangrid, Inc. | Morgan Stanley | (1,592 | ) | (74,960 | ) | (72,356 | ) | 2,030 | |||||||||||||||
Avista Corp. | Morgan Stanley | (824 | ) | (31,548 | ) | (33,075 | ) | (1,733 | ) | ||||||||||||||
Black Hills Corp. | Morgan Stanley | (1,195 | ) | (67,367 | ) | (73,433 | ) | (6,931 | ) | ||||||||||||||
California Water Service Group | Morgan Stanley | (319 | ) | (14,728 | ) | (17,236 | ) | (2,659 | ) | ||||||||||||||
Edison International | Morgan Stanley | (72 | ) | (4,456 | ) | (4,523 | ) | (106 | ) | ||||||||||||||
Entergy Corp. | Morgan Stanley | (810 | ) | (86,216 | ) | (80,870 | ) | 4,972 | |||||||||||||||
Essential Utilities, Inc. | Morgan Stanley | (1,989 | ) | (85,753 | ) | (94,060 | ) | (8,735 | ) |
29 |
GOTHAM NEUTRAL FUND
Portfolio of Investments (Concluded)
December 31, 2020
(Unaudited)
Total Return Swaps (concluded)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Utilities — (continued) | ||||||||||||||||||||||
New Jersey Resources Corp. | Morgan Stanley | (4,018 | ) | $ | (121,197 | ) | $ | (142,840 | ) | $ | (24,440 | ) | ||||||||||
NextEra Energy, Inc. | Morgan Stanley | (238 | ) | (17,886 | ) | (18,362 | ) | (490 | ) | |||||||||||||
Northwest Natural Holding Co. | Morgan Stanley | (57 | ) | (2,700 | ) | (2,621 | ) | 77 | ||||||||||||||
Ormat Technologies, Inc. | Morgan Stanley | (312 | ) | (24,473 | ) | (28,167 | ) | (3,732 | ) | |||||||||||||
Portland General Electric Co. | Morgan Stanley | (1,060 | ) | (41,275 | ) | (45,336 | ) | (5,018 | ) | |||||||||||||
PPL Corp. | Morgan Stanley | (4,008 | ) | (112,078 | ) | (113,026 | ) | (1,582 | ) | |||||||||||||
Sempra Energy | Morgan Stanley | (1,691 | ) | (223,781 | ) | (215,450 | ) | 6,380 | ||||||||||||||
SJW Group. | Morgan Stanley | (432 | ) | (27,320 | ) | (29,964 | ) | (2,805 | ) | |||||||||||||
South Jersey Industries, Inc. | Morgan Stanley | (830 | ) | (18,343 | ) | (17,887 | ) | (105 | ) | |||||||||||||
Southwest Gas Holdings, Inc. | Morgan Stanley | (302 | ) | (18,944 | ) | (18,347 | ) | 402 | ||||||||||||||
Unitil Corp. | Morgan Stanley | (3 | ) | (130 | ) | (133 | ) | (2 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(25,665 | ) | (1,330,503 | ) | (1,390,673 | ) | (74,038 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Total Reference Entity — Short | (33,296,975 | ) | (38,164,131 | ) | (5,093,153 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
Net Value of Reference Entity | $ | (23,827,176 | ) | $ | (27,844,695 | ) | $ | (4,183,227 | ) | |||||||||||||
|
|
|
|
|
|
* | Includes $(165,700) related to open trades, dividends receivables/payables and swap receivables/payables activities. |
All financial instruments listed in the Portfolio of Investments are considered Level 1, measured at fair value on a recurring basis based on quoted prices for identical assets in active markets, except for a corporate debt security with an end of period value of $728 and total return swaps with end of period unrealized depreciation of $(4,183,227), which are considered Level 2 as of and for the period ended December 31, 2020.
For additional information about significant accounting policies, including valuation of investments, refer to the Fund’s most recent annual or semi-annual report.
30 |