GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
December 31, 2020
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 95.3% |
| |||||||
Automobiles & Components — 1.0% |
| |||||||
Adient PLC (Ireland)* | 11,947 | $ | 415,397 | |||||
American Axle & Manufacturing Holdings, Inc.* | 63,933 | 533,201 | ||||||
BorgWarner, Inc. | 2,661 | 102,821 | ||||||
Cooper Tire & Rubber Co. | 2,202 | 89,181 | ||||||
Ford Motor Co. | 62,531 | 549,647 | ||||||
General Motors Co. | 25,380 | 1,056,823 | ||||||
Gentherm, Inc.* | 3,066 | 199,965 | ||||||
Harley-Davidson, Inc. | 925 | 33,947 | ||||||
Magna International, Inc. (Canada) | 9,357 | 662,476 | ||||||
Modine Manufacturing Co.* | 11 | 138 | ||||||
Standard Motor Products, Inc. | 183 | 7,404 | ||||||
Tenneco, Inc., Class A* | 36,643 | 388,416 | ||||||
Thor Industries, Inc. | 2,170 | 201,788 | ||||||
Visteon Corp.* | 2,337 | 293,340 | ||||||
Winnebago Industries, Inc. | 1,267 | 75,944 | ||||||
|
| |||||||
4,610,488 | ||||||||
|
| |||||||
Capital Goods — 11.8% | ||||||||
3M Co.(a) | 12,041 | 2,104,646 | ||||||
A.O. Smith Corp. | 425 | 23,298 | ||||||
Acuity Brands, Inc. | 3,231 | 391,242 | ||||||
Advanced Drainage Systems, Inc. | 4,232 | 353,711 | ||||||
AECOM* | 15,783 | 785,678 | ||||||
AeroVironment, Inc.* | 169 | 14,686 | ||||||
AGCO Corp. | 193 | 19,896 | ||||||
Albany International Corp., Class A | 1,365 | 100,218 | ||||||
AMETEK, Inc. | 9,451 | 1,143,004 | ||||||
Apogee Enterprises, Inc. | 3,302 | 104,607 | ||||||
Applied Industrial Technologies, Inc. | 1,651 | 128,761 | ||||||
Atkore International Group, Inc.* | 7,156 | 294,183 | ||||||
Ballard Power Systems, Inc. (Canada)* | 6,674 | 156,172 | ||||||
Barnes Group, Inc. | 1,964 | 99,555 | ||||||
Carrier Global Corp. | 2,515 | 94,866 | ||||||
Chart Industries, Inc.* | 5,385 | 634,299 | ||||||
Colfax Corp.(a) * | 54,964 | 2,101,823 | ||||||
Cubic Corp. | 1,613 | 100,071 | ||||||
Cummins, Inc. | 1,656 | 376,078 | ||||||
Curtiss-Wright Corp. | 1,176 | 136,828 | ||||||
Deere & Co.(a) | 6,126 | 1,648,200 | ||||||
Donaldson Co., Inc. | 2,005 | 112,039 | ||||||
Dover Corp. | 12,458 | 1,572,822 | ||||||
Dycom Industries, Inc.* | 11,069 | 835,931 | ||||||
Eaton Corp. PLC (Ireland) | 4,188 | 503,146 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Emerson Electric Co.(a) | 21,412 | $ | 1,720,882 | |||||
Flowserve Corp. | 15,627 | 575,855 | ||||||
Fortive Corp. | 10,053 | 711,953 | ||||||
Fortune Brands Home & Security, Inc. | 16,092 | 1,379,406 | ||||||
Franklin Electric Co., Inc. | 3,759 | 260,160 | ||||||
FuelCell Energy, Inc.* | 51,869 | 579,377 | ||||||
Gates Industrial Corp. PLC (United Kingdom)* | 74 | 944 | ||||||
Generac Holdings, Inc.* | 1,455 | 330,882 | ||||||
Gibraltar Industries, Inc.* | 7,032 | 505,882 | ||||||
GMS, Inc.* | 2,371 | 72,268 | ||||||
Herc Holdings, Inc.* | 829 | 55,054 | ||||||
Honeywell International, Inc.(a) | 12,849 | 2,732,982 | ||||||
Howmet Aerospace, Inc.(a) | 140,337 | 4,005,218 | ||||||
Hubbell, Inc. | 387 | 60,678 | ||||||
Huntington Ingalls Industries, Inc. | 248 | 42,279 | ||||||
Illinois Tool Works, Inc. | 1,799 | 366,780 | ||||||
Jacobs Engineering Group, Inc. | 734 | 79,977 | ||||||
John Bean Technologies Corp. | 1,407 | 160,215 | ||||||
Johnson Controls International PLC (Ireland) | 4,007 | 186,686 | ||||||
L3Harris Technologies, Inc. | 5,317 | 1,005,019 | ||||||
Lennox International, Inc. | 1,481 | 405,750 | ||||||
Lockheed Martin Corp.(a) | 7,915 | 2,809,667 | ||||||
Masco Corp.(a) | 34,376 | 1,888,274 | ||||||
Middleby Corp. (The)* | 3,382 | 436,007 | ||||||
MRC Global, Inc.* | 7,040 | 46,675 | ||||||
Mueller Industries, Inc. | 7,780 | 273,156 | ||||||
Northrop Grumman Corp. | 1,967 | 599,384 | ||||||
NOW, Inc.* | 31,514 | 226,271 | ||||||
nVent Electric PLC (Ireland) | 8,774 | 204,346 | ||||||
Otis Worldwide Corp. | 729 | 49,244 | ||||||
Owens Corning | 14,324 | 1,085,186 | ||||||
PACCAR, Inc. | 3,239 | 279,461 | ||||||
Parker-Hannifin Corp. | 2,119 | 577,237 | ||||||
Pentair PLC (Ireland) | 27,672 | 1,469,106 | ||||||
Primoris Services Corp. | 72 | 1,988 | ||||||
Quanta Services, Inc.(a) | 27,024 | 1,946,268 | ||||||
RBC Bearings, Inc.* | 1,052 | 188,350 | ||||||
Regal Beloit Corp. | 1,925 | 236,409 | ||||||
Rexnord Corp. | 4,364 | 172,334 | ||||||
Simpson Manufacturing Co., Inc. | 8,640 | 807,408 | ||||||
SiteOne Landscape Supply, Inc.* | 2,392 | 379,443 | ||||||
Snap-on, Inc. | 4,690 | 802,647 |
1
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Stanley Black & Decker, Inc. | 4,195 | $ | 749,059 | |||||
Textainer Group Holdings Ltd. (Bermuda)* | 851 | 16,322 | ||||||
Toro Co. (The) | 1,658 | 157,245 | ||||||
TPI Composites, Inc.* | 8,392 | 442,930 | ||||||
Trane Technologies PLC (Ireland) | 10,324 | 1,498,632 | ||||||
TransDigm Group, Inc.(a) * | 3,675 | 2,274,274 | ||||||
UFP Industries, Inc. | 12,571 | 698,319 | ||||||
United Rentals, Inc.(a) * | 9,965 | 2,310,983 | ||||||
Univar Solutions, Inc.* | 19,152 | 364,080 | ||||||
Valmont Industries, Inc. | 2,142 | 374,700 | ||||||
Wabash National Corp. | 12,679 | 218,459 | ||||||
Watsco, Inc. | 1,980 | 448,569 | ||||||
Watts Water Technologies, Inc., Class A | 744 | 90,545 | ||||||
Westinghouse Air Brake Technologies Corp. | 4,110 | 300,852 | ||||||
WW Grainger, Inc. | 73 | 29,809 | ||||||
|
| |||||||
53,527,646 | ||||||||
|
| |||||||
Commercial & Professional Services — 1.7% |
| |||||||
ABM Industries, Inc. | 6,698 | 253,452 | ||||||
Cimpress PLC (Ireland)* | 6,621 | 580,927 | ||||||
Cintas Corp. | 521 | 184,153 | ||||||
Clarivate PLC (Jersey)* | 9,485 | 281,799 | ||||||
Clean Harbors, Inc.* | 2,654 | 201,969 | ||||||
CoreLogic, Inc. | 1,332 | 102,990 | ||||||
Covanta Holding Corp. | 65,410 | 858,833 | ||||||
Healthcare Services Group, Inc. | 23,214 | 652,313 | ||||||
Herman Miller, Inc. | 2,670 | 90,246 | ||||||
HNI Corp. | 988 | 34,046 | ||||||
ICF International, Inc. | 25 | 1,858 | ||||||
IHS Markit Ltd. (Bermuda) | 1,773 | 159,269 | ||||||
KAR Auction Services, Inc. | 4,309 | 80,190 | ||||||
Kforce, Inc. | 368 | 15,489 | ||||||
ManpowerGroup, Inc. | 6,134 | 553,164 | ||||||
Nielsen Holdings PLC (United Kingdom) | 26,331 | 549,528 | ||||||
Republic Services, Inc. | 8,775 | 845,032 | ||||||
Ritchie Bros Auctioneers, Inc. (Canada). | 178 | 12,380 | ||||||
Robert Half International, Inc. | 562 | 35,114 | ||||||
Steelcase, Inc., Class A. | 17,116 | 231,922 | ||||||
Thomson Reuters Corp. (Canada) | 2,871 | 235,106 |
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (Continued) |
| |||||||
TransUnion | 3,724 | $ | 369,495 | |||||
TriNet Group, Inc.* | 4,058 | 327,075 | ||||||
UniFirst Corp. | 604 | 127,861 | ||||||
Verisk Analytics, Inc. | 1,666 | 345,845 | ||||||
Waste Management, Inc. | 4,795 | 565,474 | ||||||
|
| |||||||
7,695,530 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 3.3% |
| |||||||
Brunswick Corp. | 8,223 | 626,922 | ||||||
Capri Holdings Ltd. (British Virgin Islands)* | 31,580 | 1,326,360 | ||||||
Carter’s, Inc. | 1,560 | 146,749 | ||||||
Cavco Industries, Inc.* | 495 | 86,848 | ||||||
Crocs, Inc.* | 276 | 17,294 | ||||||
Deckers Outdoor Corp.* | 34 | 9,751 | ||||||
DR Horton, Inc. | 13,695 | 943,859 | ||||||
Garmin Ltd. (Switzerland) | 6,379 | 763,311 | ||||||
G-III Apparel Group Ltd.* | 15,757 | 374,071 | ||||||
Gildan Activewear, Inc. (Canada) | 3,393 | 95,038 | ||||||
Hanesbrands, Inc. | 9,492 | 138,393 | ||||||
Hasbro, Inc. | 324 | 30,307 | ||||||
Helen of Troy Ltd. (Bermuda)* | 192 | 42,660 | ||||||
Kontoor Brands, Inc. | 11,690 | 474,146 | ||||||
La-Z-Boy, Inc. | 8,323 | 331,588 | ||||||
Leggett & Platt, Inc. | 775 | 34,332 | ||||||
Lovesac Co. (The)* | 82 | 3,533 | ||||||
Mohawk Industries, Inc.* | 11,250 | 1,585,687 | ||||||
Newell Brands, Inc. | 4,635 | 98,401 | ||||||
NIKE, Inc., Class B | 12,615 | 1,784,644 | ||||||
Polaris, Inc. | 8,529 | 812,643 | ||||||
PulteGroup, Inc. | 18,208 | 785,129 | ||||||
PVH Corp. | 7,691 | 722,108 | ||||||
Smith & Wesson Brands, Inc. | 23,246 | 412,616 | ||||||
Steven Madden Ltd | 32,913 | 1,162,487 | ||||||
Sturm Ruger & Co., Inc. | 8,103 | 527,262 | ||||||
Tempur Sealy International, Inc.* | 35,141 | 948,807 | ||||||
TopBuild Corp.* | 575 | 105,846 | ||||||
Tupperware Brands Corp.* | 8,823 | 285,777 | ||||||
Whirlpool Corp. | 1,332 | 240,413 | ||||||
YETI Holdings, Inc.* | 1,560 | 106,813 | ||||||
|
| |||||||
15,023,795 | ||||||||
|
| |||||||
Consumer Services — 3.1% | ||||||||
Adtalem Global Education, Inc.* | 9,410 | 319,470 | ||||||
Bloomin’ Brands, Inc. | 57,408 | 1,114,863 | ||||||
Boyd Gaming Corp. | 20,370 | 874,280 |
2
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Brinker International, Inc. | 2,492 | $ | 140,972 | |||||
Chipotle Mexican Grill, Inc.* | 21 | 29,121 | ||||||
Darden Restaurants, Inc. | 1,931 | 230,021 | ||||||
Dine Brands Global, Inc. | 12,999 | 753,942 | ||||||
Graham Holdings Co., Class B | 148 | 78,940 | ||||||
Grand Canyon Education, Inc.* | 1,683 | 156,704 | ||||||
Hilton Worldwide Holdings, Inc. | 2,537 | 282,267 | ||||||
Hyatt Hotels Corp., Class A | 3,983 | 295,738 | ||||||
Jack in the Box, Inc. | 4,990 | 463,072 | ||||||
Laureate Education, Inc., Class A* | 38,035 | 553,790 | ||||||
McDonald’s Corp. | 5,541 | 1,188,988 | ||||||
MGM Resorts International(a) | 65,933 | 2,077,549 | ||||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | 9,627 | 244,815 | ||||||
Papa John’s International, Inc. | 10,501 | 891,010 | ||||||
Perdoceo Education Corp.* | 33,637 | 424,835 | ||||||
Red Rock Resorts, Inc., Class A | 32,865 | 822,940 | ||||||
Royal Caribbean Cruises Ltd. (Liberia) | 2,079 | 155,281 | ||||||
Service Corp. International | 10,048 | 493,357 | ||||||
Strategic Education, Inc. | 4,654 | 443,666 | ||||||
Texas Roadhouse, Inc. | 143 | 11,177 | ||||||
Wingstop, Inc. | 5,234 | 693,767 | ||||||
Wyndham Hotels & Resorts, Inc. | 7,257 | 431,356 | ||||||
Yum! Brands, Inc. | 9,332 | 1,013,082 | ||||||
|
| |||||||
14,185,003 | ||||||||
|
| |||||||
Diversified Financials — 1.2% | ||||||||
Berkshire Hathaway, Inc., Class B* | 1,245 | 288,678 | ||||||
BlackRock, Inc. | 994 | 717,211 | ||||||
Cboe Global Markets, Inc. | 1,709 | 159,142 | ||||||
Federated Hermes, Inc. | 5,311 | 153,435 | ||||||
Invesco Ltd. (Bermuda) | 4,894 | 85,302 | ||||||
Moody’s Corp. | 366 | 106,228 | ||||||
Nasdaq, Inc. | 5,902 | 783,431 | ||||||
S&P Global, Inc.(a) | 7,292 | 2,397,099 | ||||||
Sprott, Inc. (Canada) | 353 | 10,233 | ||||||
T Rowe Price Group, Inc. | 4,376 | 662,483 | ||||||
|
| |||||||
5,363,242 | ||||||||
|
| |||||||
Energy — 3.2% | ||||||||
Antero Midstream Corp. | 65,866 | 507,827 | ||||||
Apache Corp. | 42,603 | 604,537 | ||||||
Archrock, Inc. | 1,089 | 9,431 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
Cactus, Inc., Class A | 8,688 | $ | 226,496 | |||||
Canadian Natural Resources Ltd. (Canada) | 18,099 | 435,281 | ||||||
Cenovus Energy, Inc. (Canada) | 36,618 | 221,173 | ||||||
Cheniere Energy, Inc.* | 3,385 | 203,202 | ||||||
Chevron Corp.(a) | 40,839 | 3,448,854 | ||||||
Clean Energy Fuels Corp.*. | 19,823 | 155,809 | ||||||
Concho Resources, Inc. | 3,021 | 176,275 | ||||||
ConocoPhillips | 23,489 | 939,325 | ||||||
Core Laboratories NV (Netherlands) | 9,341 | 247,630 | ||||||
DHT Holdings, Inc. (Marshall Islands) . | 22,233 | 116,279 | ||||||
DMC Global, Inc. | 1,312 | 56,744 | ||||||
Enerplus Corp. (Canada) | 4,366 | 13,666 | ||||||
EOG Resources, Inc. | 15,103 | 753,187 | ||||||
EQT Corp. | 23,937 | 304,239 | ||||||
Halliburton Co. | 80,273 | 1,517,160 | ||||||
Kinder Morgan, Inc. | 68,280 | 933,388 | ||||||
Kosmos Energy Ltd. | 178,930 | 420,486 | ||||||
Magnolia Oil & Gas Corp., Class A* | 20,080 | 141,765 | ||||||
Marathon Petroleum Corp. | 13,526 | 559,435 | ||||||
Murphy Oil Corp. | 19,296 | 233,482 | ||||||
NexGen Energy Ltd. (Canada)* | 2,572 | 7,099 | ||||||
Occidental Petroleum Corp. | 21,849 | 378,206 | ||||||
Range Resources Corp. | 25,717 | 172,304 | ||||||
Renewable Energy Group, Inc.* | 4,715 | 333,916 | ||||||
Schlumberger NV (Curacao) | 7,186 | 156,870 | ||||||
SM Energy Co. | 35,133 | 215,014 | ||||||
Targa Resources Corp. | 4,168 | 109,952 | ||||||
Vermilion Energy, Inc. (Canada) | 10,528 | 46,850 | ||||||
Williams Cos., Inc. (The) | 23,018 | 461,511 | ||||||
World Fuel Services Corp. | 16,008 | 498,809 | ||||||
|
| |||||||
14,606,202 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.7% | ||||||||
BJ’s Wholesale Club Holdings, Inc.* | 4,725 | 176,148 | ||||||
Casey’s General Stores, Inc. | 619 | 110,566 | ||||||
Costco Wholesale Corp. | 2,275 | 857,174 | ||||||
Ingles Markets, Inc., Class A | 239 | 10,196 | ||||||
Kroger Co. (The) | 21,191 | 673,026 | ||||||
Sprouts Farmers Market, Inc.* | 33,998 | 683,360 | ||||||
Sysco Corp. | 10,184 | 756,264 | ||||||
United Natural Foods, Inc.* | 8,206 | 131,050 | ||||||
US Foods Holding Corp.* | 5,610 | 186,869 |
3
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food & Staples Retailing — (Continued) |
| |||||||
Walgreens Boots Alliance, Inc. | 15,779 | $ | 629,267 | |||||
Walmart, Inc.(a) | 23,031 | 3,319,919 | ||||||
|
| |||||||
7,533,839 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 3.4% |
| |||||||
Altria Group, Inc. | 26,139 | 1,071,699 | ||||||
Archer-Daniels-Midland Co. | 5,005 | 252,302 | ||||||
B&G Foods, Inc. | 3,329 | 92,313 | ||||||
Bunge Ltd. (Bermuda) | 482 | 31,610 | ||||||
Campbell Soup Co. | 4,452 | 215,254 | ||||||
Coca-Cola Co. (The) | 27,628 | 1,515,120 | ||||||
Coca-Cola Consolidated, Inc. | 232 | 61,775 | ||||||
Conagra Brands, Inc. | 25,566 | 927,023 | ||||||
Constellation Brands, Inc., Class A(a) . | 8,680 | 1,901,354 | ||||||
Flowers Foods, Inc. | 2,301 | 52,072 | ||||||
General Mills, Inc. | 10,761 | 632,747 | ||||||
Hershey Co. (The) | 1,806 | 275,108 | ||||||
JM Smucker Co. (The) | 8,276 | 956,706 | ||||||
Kellogg Co. | 4,934 | 307,043 | ||||||
Kraft Heinz Co. (The) | 43,799 | 1,518,073 | ||||||
McCormick & Co., Inc., non-voting shares | 5,378 | 514,137 | ||||||
Molson Coors Beverage Co., Class B . | 987 | 44,603 | ||||||
Monster Beverage Corp.* | 11,261 | 1,041,417 | ||||||
National Beverage Corp. | 2,321 | 197,053 | ||||||
PepsiCo, Inc. | 6,989 | 1,036,469 | ||||||
Philip Morris International, Inc. | 7,780 | 644,106 | ||||||
TreeHouse Foods, Inc.* | 5,428 | 230,636 | ||||||
Tyson Foods, Inc., Class A(a) | 27,586 | 1,777,642 | ||||||
Vector Group Ltd. | 981 | 11,429 | ||||||
|
| |||||||
15,307,691 | ||||||||
|
| |||||||
Health Care Equipment & Services — 6.3% |
| |||||||
Abbott Laboratories | 1,935 | 211,863 | ||||||
Align Technology, Inc.* | 119 | 63,591 | ||||||
Allscripts Healthcare Solutions, Inc.* | 3,479 | 50,237 | ||||||
AmerisourceBergen Corp. | 24 | 2,346 | ||||||
Anthem, Inc. | 3,347 | 1,074,688 | ||||||
Cardinal Health, Inc. | 16,030 | 858,567 | ||||||
Centene Corp.* | 1,821 | 109,315 | ||||||
Cerner Corp. | 8,155 | 640,004 | ||||||
Cigna Corp. | 653 | 135,942 | ||||||
Community Health Systems, Inc.* | 7,037 | 52,285 | ||||||
CONMED Corp. | 2,390 | 267,680 | ||||||
CVS Health Corp. | 8,521 | 581,984 | ||||||
Danaher Corp.(a) | 9,684 | 2,151,204 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
DaVita, Inc.* | 10,080 | $ | 1,183,392 | |||||
DENTSPLY SIRONA, Inc. | 9,822 | 514,280 | ||||||
Ensign Group, Inc. (The) | 1,959 | 142,850 | ||||||
Envista Holdings Corp.* | 4,637 | 156,406 | ||||||
Hanger, Inc.* | 94 | 2,067 | ||||||
HCA Healthcare, Inc. | 5,821 | 957,322 | ||||||
Hologic, Inc.(a) * | 31,678 | 2,307,109 | ||||||
Humana, Inc.(a) | 4,733 | 1,941,808 | ||||||
IDEXX Laboratories, Inc.* | 1,865 | 932,258 | ||||||
Integer Holdings Corp.* | 1,284 | 104,248 | ||||||
Laboratory Corp. of America Holdings* | 1,772 | 360,691 | ||||||
McKesson Corp. | 3,054 | 531,152 | ||||||
MEDNAX, Inc.* | 22 | 540 | ||||||
Medtronic PLC (Ireland) | 12,576 | 1,473,153 | ||||||
Meridian Bioscience, Inc.* | 4,050 | 75,694 | ||||||
Merit Medical Systems, Inc.* | 2,278 | 126,452 | ||||||
National Research Corp. | 11 | 470 | ||||||
Natus Medical, Inc.* | 1,244 | 24,930 | ||||||
Neogen Corp.* | 8 | 634 | ||||||
Omnicell, Inc.* | 103 | 12,362 | ||||||
Owens & Minor, Inc. | 166 | 4,490 | ||||||
Patterson Cos., Inc. | 38,654 | 1,145,318 | ||||||
Providence Service Corp. (The)* | 1,245 | 172,594 | ||||||
Quest Diagnostics, Inc. | 4,115 | 490,385 | ||||||
Quidel Corp.* | 1,604 | 288,159 | ||||||
ResMed, Inc. | 4,492 | 954,820 | ||||||
Schrodinger, Inc.* | 3,033 | 240,153 | ||||||
Select Medical Holdings Corp.* | 21,633 | 598,369 | ||||||
STERIS PLC (Ireland) | 4,890 | 926,851 | ||||||
Stryker Corp. | 4,000 | 980,160 | ||||||
Teladoc Health, Inc.* | 4,964 | 992,601 | ||||||
Tenet Healthcare Corp.* | 9,927 | 396,385 | ||||||
Tivity Health, Inc.* | 25,719 | 503,835 | ||||||
UnitedHealth Group, Inc. | 2,307 | 809,019 | ||||||
Universal Health Services, Inc., Class B | 5,567 | 765,462 | ||||||
Varian Medical Systems, Inc.* | 9,808 | 1,716,498 | ||||||
West Pharmaceutical Services, Inc. | 1,982 | 561,520 | ||||||
Zimmer Biomet Holdings, Inc. | 1,309 | 201,704 | ||||||
|
| |||||||
28,795,847 | ||||||||
|
| |||||||
Household & Personal Products — 1.2% |
| |||||||
Church & Dwight Co., Inc. | 808 | 70,482 |
4
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Household & Personal Products — (Continued) |
| |||||||
Clorox Co. (The) | 2,417 | $ | 488,041 | |||||
Colgate-Palmolive Co. | 13,005 | 1,112,058 | ||||||
Edgewell Personal Care Co. | 4,317 | 149,282 | ||||||
elf Beauty, Inc.* | 19,244 | 484,756 | ||||||
Estee Lauder Cos., Inc. (The), Class A | 2,463 | 655,626 | ||||||
Kimberly-Clark Corp. | 8,142 | 1,097,786 | ||||||
Procter & Gamble Co. (The) | 8,846 | 1,230,832 | ||||||
|
| |||||||
5,288,863 | ||||||||
|
| |||||||
Materials — 6.3% | ||||||||
Agnico Eagle Mines Ltd. (Canada) | 242 | 17,063 | ||||||
Alcoa Corp.* | 2,299 | 52,992 | ||||||
Allegheny Technologies, Inc.* | 40,607 | 680,979 | ||||||
Amcor PLC (Jersey) | 56,311 | 662,780 | ||||||
Avient Corp.(a) | 44,746 | 1,802,369 | ||||||
Axalta Coating Systems Ltd. | ||||||||
(Bermuda)* | 6,715 | 191,713 | ||||||
Ball Corp. | 339 | 31,588 | ||||||
Barrick Gold Corp. (Canada) | 9,608 | 218,870 | ||||||
Boise Cascade Co. | 3,454 | 165,101 | ||||||
Cabot Corp. | 2,660 | 119,381 | ||||||
Carpenter Technology Corp. | 10,562 | 307,565 | ||||||
Celanese Corp. | 1,490 | 193,611 | ||||||
CF Industries Holdings, Inc. | 19,645 | 760,458 | ||||||
Chemours Co. (The) | 45,634 | 1,131,267 | ||||||
Commercial Metals Co. | 49,755 | 1,021,968 | ||||||
Compass Minerals International, Inc. | 2,470 | 152,448 | ||||||
Dow, Inc. | 23,294 | 1,292,817 | ||||||
DuPont de Nemours, Inc. | 9,532 | 677,821 | ||||||
Eastman Chemical Co. | 3,041 | 304,951 | ||||||
Element Solutions, Inc. | 1,428 | 25,318 | ||||||
First Majestic Silver Corp. (Canada)* | 10,527 | 141,483 | ||||||
FMC Corp. | 9,067 | 1,042,070 | ||||||
Forterra, Inc.* | 122 | 2,098 | ||||||
Franco-Nevada Corp. (Canada) | 1,742 | 218,325 | ||||||
Freeport-McMoRan, Inc. | 45,582 | 1,186,044 | ||||||
GCP Applied Technologies, Inc.* | 440 | 10,406 | ||||||
Greif, Inc., Class A | 167 | 7,829 | ||||||
Hecla Mining Co. | 109,261 | 708,011 | ||||||
IAMGOLD Corp. (Canada)* | 30,551 | 112,122 | ||||||
Ingevity Corp.* | 5,131 | 388,571 | ||||||
Innospec, Inc. | 1,138 | 103,251 | ||||||
International Paper Co. | 6,323 | 314,380 | ||||||
Kaiser Aluminum Corp. | 1,101 | 108,889 |
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
Kinross Gold Corp. (Canada) | 36,049 | $ | 264,600 | |||||
Kraton Corp.* | 8,899 | 247,303 | ||||||
Linde PLC (Ireland) | 9,631 | 2,537,865 | ||||||
Louisiana-Pacific Corp. | 3,154 | 117,234 | ||||||
LyondellBasell Industries NV, Class A (Netherlands) | 4,713 | 431,994 | ||||||
Martin Marietta Materials, Inc. | 1,083 | 307,540 | ||||||
Mosaic Co. (The) | 10,026 | 230,698 | ||||||
NewMarket Corp. | 546 | 217,466 | ||||||
Newmont Corp.(a) | 28,860 | 1,728,425 | ||||||
Nucor Corp. | 10,314 | 548,602 | ||||||
O-I Glass, Inc. | 69,123 | 822,564 | ||||||
Pan American Silver Corp. (Canada) | 18,777 | 647,994 | ||||||
PPG Industries, Inc. | 7,104 | 1,024,539 | ||||||
Pretium Resources, Inc. (Canada)* | 25,256 | 289,939 | ||||||
Reliance Steel & Aluminum Co. | 1,461 | 174,955 | ||||||
Royal Gold, Inc. | 137 | 14,571 | ||||||
RPM International, Inc. | 7,724 | 701,185 | ||||||
Scotts Miracle-Gro Co. (The) | 1,800 | 358,452 | ||||||
Sealed Air Corp. | 8,536 | 390,863 | ||||||
Sensient Technologies Corp. | 3,879 | 286,154 | ||||||
Sherwin-Williams Co. (The)(a) | 2,667 | 1,960,005 | ||||||
Southern Copper Corp. | 2,488 | 162,019 | ||||||
SSR Mining, Inc. (Canada)* | 12,650 | 254,392 | ||||||
Summit Materials, Inc., Class A* | 8,808 | 176,865 | ||||||
Wheaton Precious Metals Corp. (Canada) | 3,567 | 148,887 | ||||||
Worthington Industries, Inc. | 9,845 | 505,442 | ||||||
|
| |||||||
28,705,092 | ||||||||
|
| |||||||
Media & Entertainment — 8.7% | ||||||||
Activision Blizzard, Inc. | 358 | 33,240 | ||||||
Alphabet, Inc., Class A(a) * | 5,039 | 8,831,553 | ||||||
Charter Communications, Inc., Class A(a) * | 3,344 | 2,212,223 | ||||||
Discovery, Inc., Class A* | 1,274 | 38,335 | ||||||
DISH Network Corp., Class A* | 40,039 | 1,294,861 | ||||||
Facebook, Inc., Class A(a) * | 34,514 | 9,427,844 | ||||||
Fox Corp., Class A | 28,367 | 826,047 | ||||||
Gray Television, Inc.* | 2,548 | 45,584 | ||||||
Interpublic Group of Cos., Inc. (The) | 38,006 | 893,901 | ||||||
Lions Gate Entertainment Corp., Class B (Canada)* | 2,046 | 21,237 | ||||||
Madison Square Garden Sports Corp.* | 2,786 | 512,903 |
5
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media & Entertainment — (Continued) |
| |||||||
Meredith Corp. | 2,559 | $ | 49,133 | |||||
MSG Networks, Inc., Class A* | 759 | 11,188 | ||||||
Netflix, Inc.* | 2,825 | 1,527,562 | ||||||
News Corp., Class A(a) | 108,255 | 1,945,342 | ||||||
Roku, Inc.* | 615 | 204,192 | ||||||
Sciplay Corp., Class A* | 1,041 | 14,418 | ||||||
Snap, Inc., Class A* | 10,640 | 532,745 | ||||||
TEGNA, Inc. | 7,292 | 101,723 | ||||||
Twitter, Inc.(a) * | 62,341 | 3,375,765 | ||||||
ViacomCBS, Inc., Class B | 3,187 | 118,748 | ||||||
Walt Disney Co. (The)(a) * | 26,540 | 4,808,517 | ||||||
World Wrestling Entertainment, Inc., Class A | 5,140 | 246,977 | ||||||
Zillow Group, Inc., Class C(a) * | 19,586 | 2,542,263 | ||||||
|
| |||||||
39,616,301 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 5.3% |
| |||||||
Agilent Technologies, Inc. | 6,905 | 818,173 | ||||||
Bio-Rad Laboratories, Inc., Class A* | 129 | 75,199 | ||||||
Blueprint Medicines Corp.* | 121 | 13,570 | ||||||
Bristol-Myers Squibb Co. | 3,867 | 239,870 | ||||||
Charles River Laboratories International, Inc.* | 534 | 133,425 | ||||||
Denali Therapeutics, Inc.* | 546 | 45,733 | ||||||
Gilead Sciences, Inc. | 4,540 | 264,500 | ||||||
Horizon Therapeutics PLC (Ireland)* | 2,216 | 162,100 | ||||||
Innoviva, Inc.* | 17,828 | 220,889 | ||||||
Intellia Therapeutics, Inc.* | 151 | 8,214 | ||||||
Johnson & Johnson(a) | 14,761 | 2,323,086 | ||||||
Luminex Corp. | 6,437 | 148,823 | ||||||
Merck & Co., Inc. | 15,748 | 1,288,186 | ||||||
Mettler-Toledo International, Inc.* | 183 | 208,561 | ||||||
NantKwest, Inc.* | 344 | 4,586 | ||||||
Natera, Inc.(a) * | 22,997 | 2,288,661 | ||||||
Novavax, Inc.(a) * | 46,725 | 5,210,305 | ||||||
Ocular Therapeutix, Inc.* | 9,361 | 193,773 | ||||||
PerkinElmer, Inc.(a) | 15,600 | 2,238,600 | ||||||
Pfizer, Inc.(a) | 79,267 | 2,917,818 | ||||||
Prestige Consumer Healthcare, Inc.* | 10,124 | 353,024 | ||||||
TG Therapeutics, Inc.* | 15,046 | 782,693 | ||||||
Thermo Fisher Scientific, Inc.(a) | 4,421 | 2,059,213 | ||||||
Vanda Pharmaceuticals, Inc.* | 1,447 | 19,014 | ||||||
Viatris, Inc.* | 46,904 | 878,981 | ||||||
Zoetis, Inc. | 8,003 | 1,324,496 | ||||||
|
| |||||||
24,221,493 | ||||||||
|
|
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — 10.1% | ||||||||
Abercrombie & Fitch Co., Class A | 8,678 | $ | 176,684 | |||||
Advance Auto Parts, Inc. | 1,171 | 184,444 | ||||||
Amazon.com, Inc.(a) * | 1,735 | 5,650,774 | ||||||
AutoNation, Inc.* | 5,318 | 371,143 | ||||||
AutoZone, Inc.* | 660 | 782,390 | ||||||
Bed Bath & Beyond, Inc. | 31,727 | 563,472 | ||||||
Best Buy Co., Inc.(a) | 17,388 | 1,735,149 | ||||||
Booking Holdings, Inc.(a) * | 2,462 | 5,483,539 | ||||||
Buckle, Inc. (The) | 8,523 | 248,872 | ||||||
Camping World Holdings, Inc., Class A | 13,624 | 354,905 | ||||||
Dollar General Corp. | 2,288 | 481,166 | ||||||
eBay, Inc.(a) | 71,918 | 3,613,880 | ||||||
Etsy, Inc.* | 4,088 | 727,296 | ||||||
Expedia Group, Inc. | 2,074 | 274,598 | ||||||
Foot Locker, Inc. | 176 | 7,117 | ||||||
Gap, Inc. (The)* | 31,812 | 642,284 | ||||||
Genuine Parts Co. | 5,377 | 540,012 | ||||||
Guess?, Inc. | 37,818 | 855,443 | ||||||
Home Depot, Inc. (The)(a) | 8,490 | 2,255,114 | ||||||
L Brands, Inc.(a) | 58,047 | 2,158,768 | ||||||
Lands’ End, Inc.* | 55 | 1,186 | ||||||
LKQ Corp.* | 12,659 | 446,103 | ||||||
Lowe’s Cos., Inc.(a) | 21,227 | 3,407,146 | ||||||
Macy’s, Inc. | 62,917 | 707,816 | ||||||
Murphy USA, Inc. | 5,570 | 728,946 | ||||||
National Vision Holdings, Inc.* | 9,527 | 431,478 | ||||||
ODP Corp. (The) | 8,839 | 258,983 | ||||||
O’Reilly Automotive, Inc.* | 2,010 | 909,666 | ||||||
Overstock.com, Inc.* | 1,328 | 63,704 | ||||||
Pool Corp. | 404 | 150,490 | ||||||
Qurate Retail, Inc., Series A | 45,578 | 499,991 | ||||||
RH(a) * | 7,934 | 3,550,624 | ||||||
Shutterstock, Inc. | 4,387 | 314,548 | ||||||
Signet Jewelers Ltd. (Bermuda) | 69,980 | 1,908,355 | ||||||
Sleep Number Corp.* | 11,277 | 923,135 | ||||||
Sonic Automotive, Inc., Class A | 29,278 | 1,129,252 | ||||||
Stamps.com, Inc.* | 2,937 | 576,210 | ||||||
Target Corp. | 3,476 | 613,618 | ||||||
TJX Cos., Inc. (The) | 5,056 | 345,274 | ||||||
Urban Outfitters, Inc.* | 13,240 | 338,944 | ||||||
Williams-Sonoma, Inc. | 10,143 | 1,032,963 | ||||||
Zumiez, Inc.* | 8,848 | 325,429 | ||||||
|
| |||||||
45,770,911 | ||||||||
|
|
6
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — 5.5% |
| |||||||
Amkor Technology, Inc. | 31,217 | $ | 470,752 | |||||
Analog Devices, Inc. | 40 | 5,909 | ||||||
Applied Materials, Inc.(a) | 30,879 | 2,664,858 | ||||||
Axcelis Technologies, Inc.* | 4,669 | 135,961 | ||||||
Broadcom, Inc. | 251 | 109,900 | ||||||
Brooks Automation, Inc. | 1,718 | 116,566 | ||||||
Cirrus Logic, Inc.* | 1,287 | 105,791 | ||||||
Cohu, Inc. | 109 | 4,162 | ||||||
Enphase Energy, Inc.* | 7,824 | 1,372,877 | ||||||
First Solar, Inc.* | 9,039 | 894,138 | ||||||
Intel Corp.(a) | 45,749 | 2,279,215 | ||||||
KLA Corp. | 4,070 | 1,053,764 | ||||||
Lam Research Corp. | 60 | 28,336 | ||||||
Lattice Semiconductor Corp.* | 7,978 | 365,552 | ||||||
MACOM Technology Solutions Holdings, Inc.* | 29,096 | 1,601,444 | ||||||
Marvell Technology Group Ltd. (Bermuda) | 1,400 | 66,556 | ||||||
Maxim Integrated Products, Inc. | 13,726 | 1,216,810 | ||||||
Microchip Technology, Inc. | 4,158 | 574,261 | ||||||
Monolithic Power Systems, Inc. | 975 | 357,074 | ||||||
NVIDIA Corp.(a) | 6,330 | 3,305,526 | ||||||
Qorvo, Inc.* | 255 | 42,399 | ||||||
QUALCOMM, Inc.(a) | 12,345 | 1,880,637 | ||||||
Rambus, Inc.* | 157 | 2,741 | ||||||
Skyworks Solutions, Inc.(a) | 12,726 | 1,945,551 | ||||||
Synaptics, Inc.(a) * | 27,799 | 2,679,824 | ||||||
Teradyne, Inc. | 1,359 | 162,931 | ||||||
Texas Instruments, Inc. | 5,827 | 956,386 | ||||||
Ultra Clean Holdings, Inc.* | 20,610 | 642,002 | ||||||
Veeco Instruments, Inc.* | 265 | 4,600 | ||||||
|
| |||||||
25,046,523 | ||||||||
|
| |||||||
Software & Services — 11.7% | ||||||||
Accenture PLC, Class A (Ireland) | 4,711 | 1,230,560 | ||||||
ACI Worldwide, Inc.* | 33 | 1,268 | ||||||
Adobe, Inc.* | 3,278 | 1,639,393 | ||||||
Alliance Data Systems Corp. | 3,739 | 277,060 | ||||||
Appian Corp.* | 531 | 86,070 | ||||||
Automatic Data Processing, Inc. | 7,359 | 1,296,656 | ||||||
Avalara, Inc.* | 211 | 34,792 | ||||||
Blackbaud, Inc. | 10,862 | 625,217 | ||||||
Blackline, Inc.* | 478 | 63,756 | ||||||
Booz Allen Hamilton Holding Corp. | 825 | 71,924 | ||||||
Broadridge Financial Solutions, Inc. | 7,969 | 1,220,851 |
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
CACI International, Inc., Class A* | 164 | $ | 40,890 | |||||
Cadence Design Systems, Inc.(a) * | 15,371 | 2,097,066 | ||||||
CDK Global, Inc. | 1,890 | 97,959 | ||||||
Cerence, Inc.* | 535 | 53,757 | ||||||
CGI, Inc. (Canada)* | 2,005 | 159,017 | ||||||
Cloudera, Inc.* | 8,380 | 116,566 | ||||||
Cloudflare, Inc., Class A* | 2,069 | 157,223 | ||||||
Cornerstone OnDemand, Inc.* | 3,013 | 132,693 | ||||||
Crowdstrike Holdings, Inc., Class A* | 1,831 | 387,842 | ||||||
Domo, Inc., Class B* | 664 | 42,343 | ||||||
Elastic NV (Netherlands)* | 638 | 93,231 | ||||||
Envestnet, Inc.* | 858 | 70,605 | ||||||
Fair Isaac Corp.* | 63 | 32,196 | ||||||
FireEye, Inc.* | 5,762 | 132,872 | ||||||
Fiserv, Inc.* | 12,299 | 1,400,364 | ||||||
FleetCor Technologies, Inc.* | 900 | 245,547 | ||||||
Fortinet, Inc.* | 6,789 | 1,008,370 | ||||||
Gartner, Inc.* | 6,229 | 997,824 | ||||||
GoDaddy, Inc., Class A* | 2,399 | 198,997 | ||||||
International Business Machines Corp. | 10,954 | 1,378,890 | ||||||
Intuit, Inc. | 2,132 | 809,840 | ||||||
Jack Henry & Associates, Inc | 3,377 | 547,040 | ||||||
Lightspeed POS, Inc. (Canada)* | 25 | 1,760 | ||||||
LiveRamp Holdings, Inc.* | 3,073 | 224,913 | ||||||
Mastercard, Inc., Class A | 2,655 | 947,676 | ||||||
MAXIMUS, Inc. | 14 | 1,025 | ||||||
Microsoft Corp.(a) | 19,605 | 4,360,544 | ||||||
MicroStrategy, Inc., Class A* | 1,047 | 406,812 | ||||||
NortonLifeLock, Inc. | 74,200 | 1,541,876 | ||||||
Open Text Corp. (Canada) | 7,503 | 341,086 | ||||||
Oracle Corp.(a) | 89,712 | 5,803,469 | ||||||
Paychex, Inc.(a) | 27,797 | 2,590,124 | ||||||
Paylocity Holding Corp.* | 2 | 412 | ||||||
PayPal Holdings, Inc.(a) * | 10,471 | 2,452,308 | ||||||
Progress Software Corp. | 3,949 | 178,455 | ||||||
PTC, Inc.(a) * | 15,054 | 1,800,609 | ||||||
QAD, Inc., Class A | 48 | 3,033 | ||||||
Sailpoint Technologies Holdings, Inc.* . | 25,941 | 1,381,099 | ||||||
salesforce.com, Inc.* | 2,226 | 495,352 | ||||||
Science Applications International Corp. | 3,260 | 308,526 | ||||||
SecureWorks Corp., Class A* | 21 | 299 | ||||||
ServiceNow, Inc.(a) * | 10,065 | 5,540,078 |
7
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
SolarWinds Corp.* | 933 | $ | 13,948 | |||||
SPS Commerce, Inc.* | 634 | 68,846 | ||||||
Square, Inc., Class A* | 251 | 54,628 | ||||||
SVMK, Inc.* | 14,083 | 359,821 | ||||||
Sykes Enterprises, Inc.* | 266 | 10,020 | ||||||
Synopsys, Inc.(a) * | 8,923 | 2,313,199 | ||||||
Teradata Corp.* | 26,000 | 584,220 | ||||||
TTEC Holdings, Inc. | 9 | 656 | ||||||
Tyler Technologies, Inc.* | 18 | 7,857 | ||||||
Unity Software, Inc.* | 727 | 111,573 | ||||||
Verint Systems, Inc.* | 1,390 | 93,380 | ||||||
VeriSign, Inc.* | 2,748 | 594,667 | ||||||
Virtusa Corp.* | 3,884 | 198,589 | ||||||
Visa, Inc., Class A(a) | 9,021 | 1,973,163 | ||||||
Western Union Co. (The) | 28,695 | 629,568 | ||||||
WEX, Inc.* | 1,705 | 347,019 | ||||||
Workiva, Inc.* | 1,162 | 106,462 | ||||||
Zoom Video Communications, Inc., Class A* | 1,181 | 398,375 | ||||||
|
| |||||||
52,994,126 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 6.0% |
| |||||||
Amphenol Corp., Class A | 5,863 | 766,705 | ||||||
Apple, Inc.(a) | 92,956 | 12,334,332 | ||||||
Arrow Electronics, Inc.* | 12,177 | 1,184,822 | ||||||
Avnet, Inc. | 489 | 17,169 | ||||||
Badger Meter, Inc. | 4,621 | 434,651 | ||||||
Cambium Networks Corp. (Cayman Islands)* | 330 | 8,276 | ||||||
CDW Corp. | 945 | 124,542 | ||||||
Cisco Systems, Inc.(a) | 40,734 | 1,822,846 | ||||||
Corning, Inc. | 18,387 | 661,932 | ||||||
Dell Technologies, Inc., Class C* | 2,745 | 201,181 | ||||||
Diebold Nixdorf, Inc.* | 26,843 | 286,146 | ||||||
EchoStar Corp., Class A* | 400 | 8,476 | ||||||
ePlus, Inc.* | 17 | 1,495 | ||||||
FLIR Systems, Inc. | 3,812 | 167,080 | ||||||
Hewlett Packard Enterprise Co. | 51,929 | 615,359 | ||||||
HP, Inc.(a) | 102,048 | 2,509,360 | ||||||
II-VI, Inc.* | 312 | 23,700 | ||||||
Inseego Corp.* | 201 | 3,109 | ||||||
InterDigital, Inc. | 4,435 | 269,116 | ||||||
Jabil, Inc. | 2,090 | 88,888 | ||||||
Juniper Networks, Inc. | 20,640 | 464,606 |
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Lumentum Holdings, Inc.* | 1,676 | $ | 158,885 | |||||
MTS Systems Corp. | 372 | 21,636 | ||||||
NCR Corp.* | 7,684 | 288,688 | ||||||
NetApp, Inc. | 12,772 | 846,017 | ||||||
NETGEAR, Inc.* | 2,316 | 94,099 | ||||||
OSI Systems, Inc.* | 390 | 36,356 | ||||||
Ribbon Communications, Inc.* | 249 | 1,633 | ||||||
Sanmina Corp.* | 12,536 | 399,773 | ||||||
ScanSource, Inc.* | 17 | 448 | ||||||
Seagate Technology PLC (Ireland) | 9,195 | 571,561 | ||||||
SYNNEX Corp. | 5,888 | 479,519 | ||||||
TE Connectivity Ltd. (Switzerland) | 4,980 | 602,929 | ||||||
TTM Technologies, Inc.* | 11,983 | 165,305 | ||||||
Ubiquiti, Inc. | 1,809 | 503,825 | ||||||
Vontier Corp.* | 17,869 | 596,825 | ||||||
Xerox Holdings Corp. | 7,169 | 166,249 | ||||||
Zebra Technologies Corp., Class A* | 1,281 | 492,327 | ||||||
|
| |||||||
27,419,866 | ||||||||
|
| |||||||
Telecommunication Services — 0.9% |
| |||||||
AT&T, Inc. | 46,475 | 1,336,621 | ||||||
ATN International, Inc. | 20 | 835 | ||||||
CenturyLink, Inc. | 26,154 | 255,002 | ||||||
Iridium Communications, Inc.* | 8,876 | 349,049 | ||||||
Rogers Communications, Inc., Class B (Canada) | 773 | 36,014 | ||||||
T-Mobile US, Inc.* | 7,065 | 952,715 | ||||||
Verizon Communications, Inc. | 22,474 | 1,320,348 | ||||||
Vonage Holdings Corp.* | 137 | 1,764 | ||||||
|
| |||||||
4,252,348 | ||||||||
|
| |||||||
Transportation — 1.8% |
| |||||||
Alaska Air Group, Inc. | 4,096 | 212,992 | ||||||
ArcBest Corp. | 476 | 20,311 | ||||||
Atlas Air Worldwide Holdings, Inc.* | 1,090 | 59,449 | ||||||
CH Robinson Worldwide, Inc. | 76 | 7,134 | ||||||
CSX Corp. | 15,107 | 1,370,960 | ||||||
Echo Global Logistics, Inc.* | 61 | 1,636 | ||||||
Expeditors International of Washington, Inc. | 2,621 | 249,283 | ||||||
FedEx Corp. | 1,931 | 501,326 | ||||||
Hub Group, Inc., Class A* | 1,711 | 97,527 | ||||||
JB Hunt Transport Services, Inc. | 259 | 35,392 | ||||||
Kansas City Southern | 846 | 172,694 |
8
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
Knight-Swift Transportation Holdings, Inc. | 4,303 | $ | 179,951 | |||||
Norfolk Southern Corp.(a) | 13,700 | 3,255,257 | ||||||
Old Dominion Freight Line, Inc. | 1,074 | 209,623 | ||||||
Ryder System, Inc. | 2,947 | 182,007 | ||||||
Schneider National, Inc., Class B | 10,227 | 211,699 | ||||||
SkyWest, Inc. | 10,173 | 410,074 | ||||||
TFI International, Inc. (Canada) | 3 | 155 | ||||||
United Parcel Service, Inc., Class B | 2,983 | 502,337 | ||||||
Werner Enterprises, Inc. | 8,916 | 349,686 | ||||||
|
| |||||||
8,029,493 | ||||||||
|
| |||||||
Utilities — 1.1% | ||||||||
American Water Works Co., Inc. | 912 | 139,965 | ||||||
Atmos Energy Corp. | 251 | 23,953 | ||||||
CenterPoint Energy, Inc. | 2,758 | 59,683 | ||||||
Dominion Energy, Inc. | 14,522 | 1,092,054 | ||||||
Duke Energy Corp. | 4,725 | 432,621 | ||||||
Evergy, Inc. | 642 | 35,637 | ||||||
Exelon Corp. | 30,024 | 1,267,613 | ||||||
IDACORP, Inc. | 831 | 79,801 | ||||||
MDU Resources Group, Inc. | 18,301 | 482,048 | ||||||
National Fuel Gas Co. | 1,872 | 76,995 | ||||||
NiSource, Inc. | 30,112 | 690,769 | ||||||
NRG Energy, Inc. | 6,680 | 250,834 | ||||||
ONE Gas, Inc. | 1,047 | 80,378 | ||||||
Public Service Enterprise Group, Inc. | 2,224 | 129,659 | ||||||
Southern Co. (The) | 3,026 | 185,887 | ||||||
Spire, Inc. | 170 | 10,887 | ||||||
|
| |||||||
5,038,784 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS (Cost $297,789,535) | 433,033,083 | |||||||
|
|
Par Value | Value | |||||||
CORPORATE BONDS AND NOTES — 0.0% |
| |||||||
Capital Goods — 0.0% | ||||||||
Mueller Industries, Inc. | ||||||||
6.00%, 03/01/2027 | $ | 785 | $ | 799 | ||||
|
| |||||||
TOTAL CORPORATE BONDS AND NOTES | ||||||||
(Cost $785) | 799 | |||||||
|
| |||||||
TOTAL INVESTMENTS - 95.3% | 433,033,882 | |||||||
|
| |||||||
(Cost $297,790,320) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.7% | 21,291,900 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 454,325,782 | ||||||
|
|
(a) | Security position is either entirely or partially designated as collateral for total return swaps. |
* | Non-income producing. |
PLC | Public Limited Company |
9
GOTHAM ABSOLUTE RETURN 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 July 23, 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 (35.2)% of net assets as of December 31, 2020.
The following table represents the individual long and short positions and related values of total return swaps as of December 31, 2020:
Total Return Swaps
Number of | Unrealized | |||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||
Long | ||||||||||||||||||||
Automobiles & Components | ||||||||||||||||||||
Adient PLC (Ireland) | Morgan Stanley | 839 | $ | 29,087 | $ | 29,172 | $ | 98 | ||||||||||||
American Axle & Manufacturing | ||||||||||||||||||||
Holdings, Inc. | Morgan Stanley | 18,937 | 146,267 | 157,935 | 12,540 | |||||||||||||||
BorgWarner, Inc. | Morgan Stanley | 14,712 | 566,392 | 568,472 | 6,846 | |||||||||||||||
Cooper Tire & Rubber Co. | Morgan Stanley | 6,443 | 220,889 | 260,942 | 41,240 | |||||||||||||||
Ford Motor Co. | Morgan Stanley | 87,019 | 739,028 | 764,897 | 25,881 | |||||||||||||||
General Motors Co. | Morgan Stanley | 21,172 | 904,105 | 881,602 | (22,490 | ) | ||||||||||||||
Gentherm, Inc. | Morgan Stanley | 1 | 39 | 65 | 38 | |||||||||||||||
Harley-Davidson, Inc. | Morgan Stanley | 522 | 18,504 | 19,157 | 674 | |||||||||||||||
Magna International, Inc. (Canada) | Morgan Stanley | 728 | 43,750 | 51,542 | 8,336 | |||||||||||||||
Modine Manufacturing Co. | Morgan Stanley | 4 | 50 | 50 | 13 | |||||||||||||||
Standard Motor Products, Inc. | Morgan Stanley | 64 | 2,711 | 2,589 | (109 | ) | ||||||||||||||
Tenneco, Inc., Class A | Morgan Stanley | 961 | 7,296 | 10,187 | 3,453 | |||||||||||||||
Thor Industries, Inc. | Morgan Stanley | 580 | 51,658 | 53,934 | 3,396 | |||||||||||||||
Visteon Corp. | Morgan Stanley | 114 | 10,017 | 14,309 | 4,305 | |||||||||||||||
Winnebago Industries, Inc. | Morgan Stanley | 565 | 35,950 | 33,866 | (2,071 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
152,661 | 2,775,743 | 2,848,719 | 82,150 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Capital Goods | ||||||||||||||||||||
3M Co. | Morgan Stanley | 4,084 | 654,751 | 713,842 | 68,521 | |||||||||||||||
A.O. Smith Corp. | Morgan Stanley | 3,481 | 192,250 | 190,828 | (1,409 | ) | ||||||||||||||
AAR Corp. | Morgan Stanley | 198 | 7,200 | 7,172 | (16 | ) | ||||||||||||||
Advanced Drainage Systems, Inc. | Morgan Stanley | 1,113 | 61,815 | 93,025 | 31,580 | |||||||||||||||
AeroVironment, Inc. | Morgan Stanley | 1,086 | 94,330 | 94,373 | 56 | |||||||||||||||
AGCO Corp. | Morgan Stanley | 957 | 87,234 | 98,657 | 11,482 | |||||||||||||||
Albany International Corp., Class A | Morgan Stanley | 1 | 51 | 73 | 36 | |||||||||||||||
AMETEK, Inc. | Morgan Stanley | 1,266 | 118,636 | 153,110 | 34,936 | |||||||||||||||
Apogee Enterprises, Inc. | Morgan Stanley | 3,964 | 92,539 | 125,580 | 33,625 | |||||||||||||||
Applied Industrial Technologies, Inc. | Morgan Stanley | 51 | 3,948 | 3,977 | 42 | |||||||||||||||
Atkore International Group, Inc. | Morgan Stanley | 8,587 | 226,120 | 353,012 | 126,904 | |||||||||||||||
Barnes Group, Inc. | Morgan Stanley | 289 | 10,159 | 14,649 | 4,563 | |||||||||||||||
Carrier Global Corp. | Morgan Stanley | 5,372 | 202,942 | 202,632 | 250 | |||||||||||||||
Chart Industries, Inc. | Morgan Stanley | 1 | 64 | 118 | 66 | |||||||||||||||
Cubic Corp. | Morgan Stanley | 6,044 | 371,519 | 374,970 | 3,463 | |||||||||||||||
Cummins, Inc. | Morgan Stanley | 8,947 | 1,798,995 | 2,031,864 | 248,273 | |||||||||||||||
Curtiss-Wright Corp. | Morgan Stanley | 45 | 3,857 | 5,236 | 1,405 | |||||||||||||||
Deere & Co. | Morgan Stanley | 159 | 38,675 | 42,779 | 4,272 |
10
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||
Capital Goods — (continued) | ||||||||||||||||||||
Donaldson Co., Inc. | Morgan Stanley | 3,572 | $ | 198,826 | $ | 199,603 | $ | 852 | ||||||||||||
Dover Corp. | Morgan Stanley | 108 | 11,681 | 13,635 | 2,020 | |||||||||||||||
Dycom Industries, Inc. | Morgan Stanley | 7,941 | 340,665 | 599,704 | 259,762 | |||||||||||||||
Eaton Corp. PLC (Ireland) | Morgan Stanley | 1 | 116 | 120 | 117 | |||||||||||||||
Emerson Electric Co. | Morgan Stanley | 210 | 13,565 | 16,878 | 3,508 | |||||||||||||||
Fortive Corp. | Morgan Stanley | 7,762 | 483,136 | 549,705 | 67,150 | |||||||||||||||
Fortune Brands Home & Security, Inc. | Morgan Stanley | 667 | 52,946 | 57,175 | 4,480 | |||||||||||||||
Franklin Electric Co., Inc. | Morgan Stanley | 13 | 890 | 900 | 22 | |||||||||||||||
Gates Industrial Corp. PLC (United | ||||||||||||||||||||
Kingdom) | Morgan Stanley | 19 | 247 | 242 | 8 | |||||||||||||||
Generac Holdings, Inc. | Morgan Stanley | 1,412 | 298,317 | 321,103 | 22,798 | |||||||||||||||
Gibraltar Industries, Inc. | Morgan Stanley | 322 | 16,878 | 23,165 | 6,299 | |||||||||||||||
GMS, Inc. | Morgan Stanley | 8,032 | 196,681 | 244,815 | 50,536 | |||||||||||||||
Herc Holdings, Inc. | Morgan Stanley | 4,574 | 168,939 | 303,759 | 134,833 | |||||||||||||||
Honeywell International, Inc. | Morgan Stanley | 236 | 48,404 | 50,197 | 1,806 | |||||||||||||||
Howmet Aerospace, Inc. | Morgan Stanley | 16,497 | 279,565 | 470,824 | 191,272 | |||||||||||||||
Hubbell, Inc. | Morgan Stanley | 3 | 468 | 470 | 15 | |||||||||||||||
Huntington Ingalls Industries, Inc. | Morgan Stanley | 79 | 13,189 | 13,468 | 291 | |||||||||||||||
Illinois Tool Works, Inc. | Morgan Stanley | 537 | 105,141 | 109,484 | 5,382 | |||||||||||||||
Jacobs Engineering Group, Inc. | Morgan Stanley | 512 | 54,838 | 55,788 | 962 | |||||||||||||||
John Bean Technologies Corp. | Morgan Stanley | 885 | 79,773 | 100,775 | 22,617 | |||||||||||||||
Johnson Controls International PLC. | ||||||||||||||||||||
(Ireland) | Morgan Stanley | 5,642 | 254,199 | 262,861 | 10,086 | |||||||||||||||
L3Harris Technologies, Inc. | Morgan Stanley | 8,644 | 1,599,325 | 1,633,889 | 40,746 | |||||||||||||||
Lennox International, Inc. | Morgan Stanley | 422 | 118,287 | 115,615 | (2,355 | ) | ||||||||||||||
Lockheed Martin Corp. | Morgan Stanley | 1,799 | 673,330 | 638,609 | (29,392 | ) | ||||||||||||||
Masco Corp. | Morgan Stanley | 37 | 1,979 | 2,032 | 58 | |||||||||||||||
Middleby Corp. (The) | Morgan Stanley | 230 | 29,559 | 29,652 | 106 | |||||||||||||||
MRC Global, Inc. | Morgan Stanley | 16,408 | 101,565 | 108,785 | 7,353 | |||||||||||||||
Mueller Industries, Inc. | Morgan Stanley | 2,588 | 74,281 | 90,865 | 18,000 | |||||||||||||||
Northrop Grumman Corp. | Morgan Stanley | 640 | 195,456 | 195,021 | (694 | ) | ||||||||||||||
NOW, Inc. | Morgan Stanley | 46,623 | 399,014 | 334,753 | (66,310 | ) | ||||||||||||||
nVent Electric PLC (Ireland) | Morgan Stanley | 559 | 10,807 | 13,019 | 2,225 | |||||||||||||||
Otis Worldwide Corp. | Morgan Stanley | 1,209 | 76,984 | 81,668 | 4,696 | |||||||||||||||
Owens Corning | Morgan Stanley | 7 | 528 | 530 | 15 | |||||||||||||||
PACCAR, Inc. | Morgan Stanley | 920 | 77,259 | 79,378 | 3,189 | |||||||||||||||
Parker-Hannifin Corp. | Morgan Stanley | 2,819 | 728,462 | 767,924 | 39,485 | |||||||||||||||
Pentair PLC (Ireland) | Morgan Stanley | 8,025 | 399,676 | 426,047 | 26,825 | |||||||||||||||
Primoris Services Corp. | Morgan Stanley | 17 | 472 | 469 | 10 | |||||||||||||||
Quanta Services, Inc. | Morgan Stanley | 722 | 35,975 | 51,998 | 16,113 | |||||||||||||||
RBC Bearings, Inc. | Morgan Stanley | 222 | 27,140 | 39,747 | 12,620 | |||||||||||||||
Regal Beloit Corp. | Morgan Stanley | 187 | 21,910 | 22,965 | 1,177 | |||||||||||||||
Simpson Manufacturing Co., Inc. | Morgan Stanley | 1 | 89 | 93 | 17 | |||||||||||||||
SiteOne Landscape Supply, Inc. | Morgan Stanley | 1 | 111 | 159 | 60 | |||||||||||||||
Snap-on, Inc. | Morgan Stanley | 3,710 | 542,342 | 634,929 | 99,975 | |||||||||||||||
SPX FLOW, Inc. | Morgan Stanley | 12,909 | 507,582 | 748,206 | 240,636 | |||||||||||||||
Stanley Black & Decker, Inc. | Morgan Stanley | 2,483 | 445,841 | 443,364 | (2,318 | ) |
11
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||
Capital Goods — (continued) | ||||||||||||||||||||
Textainer Group Holdings Ltd. | ||||||||||||||||||||
(Bermuda) | Morgan Stanley | 610 | $ | 11,270 | $ | 11,700 | $ | 443 | ||||||||||||
Toro Co. (The) | Morgan Stanley | 448 | 37,678 | 42,488 | 4,995 | |||||||||||||||
TPI Composites, Inc. | Morgan Stanley | 1,780 | 71,641 | 93,948 | 23,462 | |||||||||||||||
Trane Technologies PLC (Ireland) | Morgan Stanley | 283 | 36,307 | 41,080 | 4,919 | |||||||||||||||
TransDigm Group, Inc. | Morgan Stanley | 1 | 464 | 619 | 167 | |||||||||||||||
UFP Industries, Inc. | Morgan Stanley | 86 | 4,541 | 4,777 | 312 | |||||||||||||||
United Rentals, Inc. | Morgan Stanley | 1,023 | 169,245 | 237,244 | 68,012 | |||||||||||||||
Wabash National Corp. | Morgan Stanley | 1,213 | 21,163 | 20,900 | (251 | ) | ||||||||||||||
Watsco, Inc. | Morgan Stanley | 617 | 142,453 | 139,781 | (1,999 | ) | ||||||||||||||
Westinghouse Air Brake Technologies | ||||||||||||||||||||
Corp. | Morgan Stanley | 309 | 17,928 | 22,619 | 4,741 | |||||||||||||||
WW Grainger, Inc. | Morgan Stanley | 19 | 7,797 | 7,758 | (26 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
222,240 | 13,172,010 | 14,983,199 | 1,869,877 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Commercial & Professional Services | ||||||||||||||||||||
ABM Industries, Inc. | Morgan Stanley | 11,552 | 418,695 | 437,128 | 19,727 | |||||||||||||||
Cimpress PLC (Ireland) | Morgan Stanley | 1 | 86 | 88 | 14 | |||||||||||||||
Cintas Corp. | Morgan Stanley | 1,682 | 520,946 | 594,520 | 79,287 | |||||||||||||||
CoreLogic, Inc. | Morgan Stanley | 1,533 | 119,431 | 118,532 | (887 | ) | ||||||||||||||
Covanta Holding Corp. | Morgan Stanley | 638 | 5,772 | 8,377 | 2,701 | |||||||||||||||
Deluxe Corp. | Morgan Stanley | 3,504 | 75,441 | 102,317 | 31,809 | |||||||||||||||
Healthcare Services Group, Inc. | Morgan Stanley | 705 | 14,676 | 19,811 | 5,300 | |||||||||||||||
Herman Miller, Inc. | Morgan Stanley | 726 | 24,917 | 24,539 | (365 | ) | ||||||||||||||
HNI Corp. | Morgan Stanley | 879 | 31,634 | 30,290 | (1,231 | ) | ||||||||||||||
ICF International, Inc. | Morgan Stanley | 7 | 514 | 520 | 19 | |||||||||||||||
IHS Markit Ltd. (Bermuda) | Morgan Stanley | 843 | 74,751 | 75,727 | 988 | |||||||||||||||
KAR Auction Services, Inc. | Morgan Stanley | 8,270 | 147,332 | 153,905 | 6,586 | |||||||||||||||
Kforce, Inc. | Morgan Stanley | 424 | 17,402 | 17,846 | 513 | |||||||||||||||
ManpowerGroup, Inc. | Morgan Stanley | 1 | 72 | 90 | 32 | |||||||||||||||
Nielsen Holdings PLC (United Kingdom) | Morgan Stanley | 1,297 | 18,262 | 27,068 | 8,901 | |||||||||||||||
Republic Services, Inc. | Morgan Stanley | 4,308 | 371,677 | 414,860 | 46,826 | |||||||||||||||
Ritchie Bros Auctioneers, Inc. (Canada) | Morgan Stanley | 48 | 3,352 | 3,338 | (2 | ) | ||||||||||||||
Robert Half International, Inc. | Morgan Stanley | 148 | 9,235 | 9,247 | 24 | |||||||||||||||
Steelcase, Inc., Class A | Morgan Stanley | 13,737 | 157,743 | 186,136 | 33,169 | |||||||||||||||
Thomson Reuters Corp. (Canada) | Morgan Stanley | 1,665 | 136,313 | 136,347 | 312 | |||||||||||||||
TriNet Group, Inc. | Morgan Stanley | 1 | 58 | 81 | 35 | |||||||||||||||
Verisk Analytics, Inc. | Morgan Stanley | 437 | 81,244 | 90,717 | 9,672 | |||||||||||||||
Waste Management, Inc. | Morgan Stanley | 644 | 74,975 | 75,947 | 1,249 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
53,050 | 2,304,528 | 2,527,431 | 244,679 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Consumer Durables & Apparel | ||||||||||||||||||||
Brunswick Corp. | Morgan Stanley | 459 | 29,918 | 34,994 | 5,207 | |||||||||||||||
Capri Holdings Ltd. (British Virgin | ||||||||||||||||||||
Islands) | Morgan Stanley | 4,350 | 63,592 | 182,700 | 119,121 | |||||||||||||||
Carter’s, Inc. | Morgan Stanley | 6,656 | 528,107 | 626,130 | 109,441 | |||||||||||||||
Cavco Industries, Inc. | Morgan Stanley | 744 | 138,342 | 130,535 | (7,795 | ) | ||||||||||||||
Crocs, Inc. | Morgan Stanley | 348 | 21,528 | 21,806 | 290 |
12
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||
Consumer Durables & Apparel — (continued) |
| |||||||||||||||||||
Deckers Outdoor Corp. | Morgan Stanley | 490 | $ | 121,902 | $ | 140,522 | $ | 18,633 | ||||||||||||
DR Horton, Inc. | Morgan Stanley | 220 | 16,078 | 15,162 | (877 | ) | ||||||||||||||
Garmin Ltd. (Switzerland) | Morgan Stanley | 1,080 | 102,303 | 129,233 | 27,601 | |||||||||||||||
G-III Apparel Group Ltd | Morgan Stanley | 20,548 | 239,758 | 487,810 | 249,807 | |||||||||||||||
Gildan Activewear, Inc. (Canada) | Morgan Stanley | 3,170 | 57,256 | 88,792 | 31,548 | |||||||||||||||
Hasbro, Inc. | Morgan Stanley | 148 | 13,516 | 13,844 | 340 | |||||||||||||||
Helen of Troy Ltd. (Bermuda) | Morgan Stanley | 277 | 52,565 | 61,547 | 11,586 | |||||||||||||||
Kontoor Brands, Inc. | Morgan Stanley | 1,724 | 37,468 | 69,925 | 33,156 | |||||||||||||||
La-Z-Boy, Inc. | Morgan Stanley | 1,309 | 42,314 | 52,151 | 10,047 | |||||||||||||||
Leggett & Platt, Inc. | Morgan Stanley | 1 | 42 | 44 | 15 | |||||||||||||||
Lovesac Co. (The) | Morgan Stanley | 22 | 988 | 948 | (28 | ) | ||||||||||||||
Mohawk Industries, Inc. | Morgan Stanley | 1,722 | 146,478 | 242,716 | 96,250 | |||||||||||||||
Newell Brands, Inc. | Morgan Stanley | 1,967 | 37,989 | 41,759 | 4,161 | |||||||||||||||
NIKE, Inc., Class B | Morgan Stanley | 4,596 | 568,453 | 650,196 | 82,762 | |||||||||||||||
Polaris, Inc. | Morgan Stanley | 2,481 | 243,524 | 236,390 | (4,861 | ) | ||||||||||||||
PulteGroup, Inc. | Morgan Stanley | 54 | 2,404 | 2,328 | (63 | ) | ||||||||||||||
PVH Corp. | Morgan Stanley | 8,807 | 448,276 | 826,889 | 378,625 | |||||||||||||||
Smith & Wesson Brands, Inc. | Morgan Stanley | 7,062 | 116,000 | 125,350 | 9,797 | |||||||||||||||
Steven Madden Ltd | Morgan Stanley | 1,876 | 38,862 | 66,260 | 27,410 | |||||||||||||||
Sturm Ruger & Co., Inc. | Morgan Stanley | 2,314 | 160,583 | 150,572 | (7,051 | ) | ||||||||||||||
Tempur Sealy International, Inc. | Morgan Stanley | 1,316 | 27,072 | 35,532 | 8,472 | |||||||||||||||
TopBuild Corp. | Morgan Stanley | 1 | 151 | 184 | 121 | |||||||||||||||
Tupperware Brands Corp. | Morgan Stanley | 2,417 | 35,732 | 78,286 | 42,568 | |||||||||||||||
Whirlpool Corp. | Morgan Stanley | 941 | 149,295 | 169,841 | 22,945 | |||||||||||||||
YETI Holdings, Inc. | Morgan Stanley | 666 | 40,891 | 45,601 | 4,722 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
77,766 | 3,481,387 | 4,728,047 | 1,273,950 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Consumer Services | ||||||||||||||||||||
Adtalem Global Education, Inc. | Morgan Stanley | 6,542 | 165,135 | 222,101 | 57,001 | |||||||||||||||
Boyd Gaming Corp. | Morgan Stanley | 1 | 36 | 43 | 20 | |||||||||||||||
Brinker International, Inc. | Morgan Stanley | 2,541 | 110,298 | 143,744 | 33,459 | |||||||||||||||
Chipotle Mexican Grill, Inc. | Morgan Stanley | 64 | 88,939 | 88,749 | (919 | ) | ||||||||||||||
Darden Restaurants, Inc. | Morgan Stanley | 2,204 | 260,170 | 262,540 | 2,383 | |||||||||||||||
Dine Brands Global, Inc. | Morgan Stanley | 5 | 297 | 290 | 5 | |||||||||||||||
Graham Holdings Co., Class B | Morgan Stanley | 483 | 217,947 | 257,623 | 39,688 | |||||||||||||||
Grand Canyon Education, Inc. | Morgan Stanley | 1,012 | 82,085 | 94,227 | 12,155 | |||||||||||||||
Jack in the Box, Inc. | Morgan Stanley | 4,324 | 393,705 | 401,267 | 8,451 | |||||||||||||||
Laureate Education, Inc., Class A | Morgan Stanley | 22,081 | 266,989 | 321,499 | 54,523 | |||||||||||||||
McDonald’s Corp. | Morgan Stanley | 1,802 | 388,670 | 386,673 | 107 | |||||||||||||||
Norwegian Cruise Line Holdings Ltd. | ||||||||||||||||||||
(Bermuda) | Morgan Stanley | 2,591 | 64,468 | 65,889 | 1,433 | |||||||||||||||
Papa John’s International, Inc. | Morgan Stanley | 4,061 | 336,210 | 344,576 | 9,193 | |||||||||||||||
Perdoceo Education Corp. | Morgan Stanley | 4,869 | 60,082 | 61,495 | 1,426 | |||||||||||||||
Red Rock Resorts, Inc., Class A | Morgan Stanley | 22,690 | 246,242 | 568,158 | 321,929 | |||||||||||||||
Royal Caribbean Cruises Ltd. (Liberia) | Morgan Stanley | 569 | 40,603 | 42,499 | 1,908 | |||||||||||||||
Service Corp. International | Morgan Stanley | 2,862 | 133,745 | 140,524 | 7,334 | |||||||||||||||
Strategic Education, Inc. | Morgan Stanley | 542 | 47,616 | 51,669 | 4,391 |
13
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||
Consumer Services — (continued) | ||||||||||||||||||||
Texas Roadhouse, Inc. | Morgan Stanley | 38 | $ | 2,950 | $ | 2,970 | $ | 33 | ||||||||||||
Wingstop, Inc. | Morgan Stanley | 1,486 | 196,455 | 196,969 | 9,414 | |||||||||||||||
Yum! Brands, Inc. | Morgan Stanley | 8,031 | 744,979 | 871,845 | 134,344 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
88,798 | 3,847,621 | 4,525,350 | 698,278 | |||||||||||||||||
�� |
|
|
|
|
|
|
| |||||||||||||
Diversified Financials | ||||||||||||||||||||
Berkshire Hathaway, Inc., Class B | Morgan Stanley | 17,833 | 3,928,198 | 4,134,938 | 206,789 | |||||||||||||||
BlackRock, Inc. | Morgan Stanley | 1,267 | 699,733 | 914,191 | 219,059 | |||||||||||||||
Cboe Global Markets, Inc. | Morgan Stanley | 4,886 | 420,623 | 454,984 | 36,015 | |||||||||||||||
Federated Hermes, Inc. | Morgan Stanley | 3,261 | 73,525 | 94,210 | 24,559 | |||||||||||||||
Invesco Ltd. (Bermuda) | Morgan Stanley | 3,403 | 55,686 | 59,314 | 3,654 | |||||||||||||||
Moody’s Corp. | Morgan Stanley | 95 | 26,046 | 27,573 | 2,000 | |||||||||||||||
Nasdaq, Inc. | Morgan Stanley | 2,075 | 258,036 | 275,436 | 18,373 | |||||||||||||||
S&P Global, Inc. | Morgan Stanley | 2,198 | 750,625 | 722,548 | (26,850 | ) | ||||||||||||||
Sprott, Inc. (Canada) | Morgan Stanley | 143 | 4,593 | 4,146 | (414 | ) | ||||||||||||||
T Rowe Price Group, Inc. | Morgan Stanley | 1,274 | 161,749 | 192,871 | 32,583 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
36,435 | 6,378,814 | 6,880,211 | 515,768 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Energy | ||||||||||||||||||||
Antero Midstream Corp. | Morgan Stanley | 1 | 5 | 8 | 15 | |||||||||||||||
Archrock, Inc. | Morgan Stanley | 10,802 | 91,407 | 93,545 | 2,151 | |||||||||||||||
Cactus, Inc., Class A | Morgan Stanley | 368 | 6,883 | 9,594 | 2,864 | |||||||||||||||
Canadian Natural Resources Ltd. | ||||||||||||||||||||
(Canada) | Morgan Stanley | 18,558 | 301,877 | 446,320 | 185,849 | |||||||||||||||
Chevron Corp. | Morgan Stanley | 1,616 | 115,569 | 136,471 | 22,589 | |||||||||||||||
Clean Energy Fuels Corp. | Morgan Stanley | 23,858 | 62,463 | 187,524 | 125,073 | |||||||||||||||
Concho Resources, Inc. | Morgan Stanley | 1 | 41 | 58 | 30 | |||||||||||||||
ConocoPhillips | Morgan Stanley | 4,077 | 168,888 | 163,039 | (5,836 | ) | ||||||||||||||
Core Laboratories NV (Netherlands) | Morgan Stanley | 110 | 1,518 | 2,916 | 1,410 | |||||||||||||||
DHT Holdings, Inc. (Marshall Islands) | Morgan Stanley | 67,033 | 363,279 | 350,583 | 11,686 | |||||||||||||||
Enerplus Corp. (Canada) | Morgan Stanley | 5,152 | 16,572 | 16,126 | (401 | ) | ||||||||||||||
EOG Resources, Inc. | Morgan Stanley | 12,638 | 486,836 | 630,257 | 147,763 | |||||||||||||||
EQT Corp. | Morgan Stanley | 29,523 | 405,797 | 375,237 | (30,547 | ) | ||||||||||||||
Halliburton Co. | Morgan Stanley | 5,864 | 71,595 | 110,830 | 39,507 | |||||||||||||||
Kinder Morgan, Inc. | Morgan Stanley | 16,246 | 225,002 | 222,083 | 390 | |||||||||||||||
Kosmos Energy Ltd | Morgan Stanley | 693 | 1,114 | 1,629 | 527 | |||||||||||||||
Magnolia Oil & Gas Corp., Class A | Morgan Stanley | 1,080 | 6,406 | 7,625 | 1,231 | |||||||||||||||
Marathon Petroleum Corp. | Morgan Stanley | 14,796 | 553,484 | 611,963 | 63,119 | |||||||||||||||
Murphy Oil Corp. | Morgan Stanley | 5,657 | 47,690 | 68,450 | 27,982 | |||||||||||||||
NexGen Energy Ltd. (Canada) | Morgan Stanley | 1,354 | 3,320 | 3,737 | 430 | |||||||||||||||
Occidental Petroleum Corp. | Morgan Stanley | 41,870 | 606,901 | 724,770 | 118,286 | |||||||||||||||
Schlumberger NV (Curacao) | Morgan Stanley | 7,156 | 133,538 | 156,215 | 23,459 | |||||||||||||||
SM Energy Co. | Morgan Stanley | 21,460 | 128,464 | 131,335 | 2,884 | |||||||||||||||
Targa Resources Corp. | Morgan Stanley | 2,630 | 51,648 | 69,379 | 17,744 | |||||||||||||||
Transocean Ltd. (Switzerland) | Morgan Stanley | 371 | 380 | 857 | 490 | |||||||||||||||
Vermilion Energy, Inc. (Canada) | Morgan Stanley | 5,017 | 23,461 | 22,325 | (1,123 | ) | ||||||||||||||
Williams Cos., Inc. (The) | Morgan Stanley | 996 | 18,846 | 19,970 | 1,534 |
14
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||
Energy — (continued) | ||||||||||||||||||||
World Fuel Services Corp. | Morgan Stanley | 12,678 | $ | 336,577 | $ | 395,046 | $ | 60,020 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
311,605 | 4,229,561 | 4,957,892 | 819,126 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Food & Staples Retailing | ||||||||||||||||||||
BJ’s Wholesale Club Holdings, Inc. | Morgan Stanley | 4,668 | 187,447 | 174,023 | (13,412 | ) | ||||||||||||||
Casey’s General Stores, Inc. | Morgan Stanley | 895 | 158,235 | 159,865 | 1,707 | |||||||||||||||
Costco Wholesale Corp. | Morgan Stanley | 501 | 183,011 | 188,767 | 9,109 | |||||||||||||||
Ingles Markets, Inc., Class A | Morgan Stanley | 335 | 13,111 | 14,291 | 1,192 | |||||||||||||||
Kroger Co. (The) | Morgan Stanley | 3,410 | 105,598 | 108,302 | 2,718 | |||||||||||||||
Sprouts Farmers Market, Inc. | Morgan Stanley | 6,316 | 134,182 | 126,952 | (8,402 | ) | ||||||||||||||
Sysco Corp. | Morgan Stanley | 7,353 | 503,197 | 546,034 | 43,159 | |||||||||||||||
US Foods Holding Corp. | Morgan Stanley | 1,469 | 31,661 | 48,932 | 17,284 | |||||||||||||||
Walgreens Boots Alliance, Inc. | Morgan Stanley | 4,086 | 153,027 | 162,950 | 11,214 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
29,033 | 1,469,469 | 1,530,116 | 64,569 | |||||||||||||||||
|
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|
|
|
|
| |||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||||||
Altria Group, Inc. | Morgan Stanley | 3,105 | 128,229 | 127,305 | 3,875 | |||||||||||||||
Archer-Daniels-Midland Co. | Morgan Stanley | 6,611 | 279,381 | 333,261 | 58,783 | |||||||||||||||
B&G Foods, Inc. | Morgan Stanley | 12,534 | 355,368 | 347,568 | 2,871 | |||||||||||||||
Campbell Soup Co. | Morgan Stanley | 8,352 | 396,484 | 403,819 | 7,348 | |||||||||||||||
Coca-Cola Co. (The) | Morgan Stanley | 93 | 5,071 | 5,100 | 42 | |||||||||||||||
Coca-Cola Consolidated, Inc. | Morgan Stanley | 431 | 111,942 | 114,762 | 2,939 | |||||||||||||||
Conagra Brands, Inc. | Morgan Stanley | 10,690 | 379,119 | 387,619 | 8,939 | |||||||||||||||
Constellation Brands, Inc., Class A | Morgan Stanley | 190 | 33,948 | 41,620 | 7,891 | |||||||||||||||
Flowers Foods, Inc. | Morgan Stanley | 3,665 | 88,698 | 82,939 | (4,796 | ) | ||||||||||||||
General Mills, Inc. | Morgan Stanley | 7,599 | 449,553 | 446,821 | (1,006 | ) | ||||||||||||||
Hershey Co. (The) | Morgan Stanley | 2,008 | 299,113 | 305,879 | 7,149 | |||||||||||||||
JM Smucker Co. (The) | Morgan Stanley | 2,881 | 317,782 | 333,044 | 19,160 | |||||||||||||||
Kellogg Co. | Morgan Stanley | 4,038 | 267,965 | 251,285 | (13,703 | ) | ||||||||||||||
Kraft Heinz Co. (The) | Morgan Stanley | 15,776 | 498,118 | 546,796 | 57,156 | |||||||||||||||
McCormick & Co., Inc., non-voting | ||||||||||||||||||||
shares | Morgan Stanley | 219 | 20,675 | 20,936 | 415 | |||||||||||||||
Molson Coors Beverage Co., Class B | Morgan Stanley | 9,597 | 350,594 | 433,688 | 83,107 | |||||||||||||||
Monster Beverage Corp. | Morgan Stanley | 5,660 | 464,771 | 523,437 | 58,679 | |||||||||||||||
National Beverage Corp. | Morgan Stanley | 126 | 10,583 | 10,697 | 132 | |||||||||||||||
PepsiCo, Inc. | Morgan Stanley | 273 | 38,405 | 40,486 | 2,226 | |||||||||||||||
Philip Morris International, Inc. | Morgan Stanley | 2,116 | 161,300 | 175,184 | 18,251 | |||||||||||||||
TreeHouse Foods, Inc. | Morgan Stanley | 160 | 6,853 | 6,798 | (42 | ) | ||||||||||||||
Tyson Foods, Inc., Class A | Morgan Stanley | 6,335 | 393,468 | 408,227 | 18,971 | |||||||||||||||
Vector Group Ltd | Morgan Stanley | 258 | 3,046 | 3,006 | (28 | ) | ||||||||||||||
|
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|
|
|
|
|
| |||||||||||||
102,717 | 5,060,466 | 5,350,277 | 338,359 | |||||||||||||||||
|
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|
|
|
| |||||||||||||
Health Care Equipment & Services | ||||||||||||||||||||
Abbott Laboratories | Morgan Stanley | 1,701 | 176,580 | 186,242 | 10,305 | |||||||||||||||
Align Technology, Inc. | Morgan Stanley | 468 | 214,833 | 250,090 | 35,269 | |||||||||||||||
Allscripts Healthcare Solutions, Inc. | Morgan Stanley | 13,298 | 94,549 | 192,023 | 97,486 | |||||||||||||||
AmerisourceBergen Corp. | Morgan Stanley | 6,105 | 616,592 | 596,825 | (19,569 | ) | ||||||||||||||
Anthem, Inc. | Morgan Stanley | 75 | 19,899 | 24,082 | 4,252 |
15
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||
Health Care Equipment & Services — (continued) |
| |||||||||||||||||
Cardinal Health, Inc. | Morgan Stanley | 1,074 | $ | 56,176 | $ | 57,523 | $ | 1,873 | ||||||||||
Centene Corp. | Morgan Stanley | 998 | 59,670 | 59,910 | 253 | |||||||||||||
Cigna Corp. | Morgan Stanley | 323 | 63,156 | 67,242 | 4,098 | |||||||||||||
Community Health Systems, Inc. | Morgan Stanley | 19,289 | 162,298 | 143,317 | (18,968 | ) | ||||||||||||
CONMED Corp. | Morgan Stanley | 1 | 83 | 112 | 42 | |||||||||||||
CVS Health Corp. | Morgan Stanley | 6,905 | 457,523 | 471,612 | 15,114 | |||||||||||||
Danaher Corp. | Morgan Stanley | 5,577 | 1,227,529 | 1,238,875 | 12,583 | |||||||||||||
DENTSPLY SIRONA, Inc. | Morgan Stanley | 855 | 44,126 | 44,768 | 704 | |||||||||||||
Ensign Group, Inc. (The) | Morgan Stanley | 1,941 | 112,032 | 141,538 | 29,694 | |||||||||||||
Envista Holdings Corp. | Morgan Stanley | 11,626 | 342,665 | 392,145 | 49,492 | |||||||||||||
Hanger, Inc. | Morgan Stanley | 25 | 554 | 550 | 8 | |||||||||||||
HCA Healthcare, Inc. | Morgan Stanley | 64 | 8,852 | 10,525 | 1,703 | |||||||||||||
Hologic, Inc. | Morgan Stanley | 3,679 | 217,408 | 267,942 | 50,546 | |||||||||||||
Humana, Inc. | Morgan Stanley | 1,465 | 596,014 | 601,046 | 5,692 | |||||||||||||
IDEXX Laboratories, Inc. | Morgan Stanley | 1,021 | 389,798 | 510,367 | 120,581 | |||||||||||||
Laboratory Corp. of America Holdings | Morgan Stanley | 3,283 | 659,108 | 668,255 | 9,159 | |||||||||||||
McKesson Corp. | Morgan Stanley | 330 | 51,101 | 57,394 | 6,433 | |||||||||||||
MEDNAX, Inc. | Morgan Stanley | 4 | 96 | 98 | 15 | |||||||||||||
Medtronic PLC (Ireland) | Morgan Stanley | 186 | 21,280 | 21,788 | 546 | |||||||||||||
Meridian Bioscience, Inc. | Morgan Stanley | 3,106 | 57,690 | 58,051 | 374 | |||||||||||||
Merit Medical Systems, Inc. | Morgan Stanley | 979 | 53,108 | 54,344 | 1,248 | |||||||||||||
National Research Corp. | Morgan Stanley | 7 | 331 | 299 | (19 | ) | ||||||||||||
Natus Medical, Inc. | Morgan Stanley | 6,621 | 141,014 | 132,685 | (8,434 | ) | ||||||||||||
Neogen Corp. | Morgan Stanley | 2 | 158 | 159 | 13 | |||||||||||||
Owens & Minor, Inc. | Morgan Stanley | 42 | 1,142 | 1,136 | 7 | |||||||||||||
Providence Service Corp. (The) | Morgan Stanley | 623 | 70,796 | 86,366 | 15,583 | |||||||||||||
Quest Diagnostics, Inc. | Morgan Stanley | 6,587 | 814,209 | 784,973 | (29,224 | ) | ||||||||||||
Quidel Corp. | Morgan Stanley | 1,182 | 228,190 | 212,346 | (15,831 | ) | ||||||||||||
ResMed, Inc. | Morgan Stanley | 1,215 | 212,751 | 258,260 | 46,307 | |||||||||||||
Schrodinger, Inc. | Morgan Stanley | 1,277 | 102,223 | 101,113 | (1,097 | ) | ||||||||||||
Select Medical Holdings Corp | Morgan Stanley | 1 | 19 | 28 | 21 | |||||||||||||
STERIS PLC (Ireland) | Morgan Stanley | 51 | 9,328 | 9,667 | 352 | |||||||||||||
Stryker Corp. | Morgan Stanley | 308 | 61,658 | 75,472 | 14,021 | |||||||||||||
Teladoc Health, Inc. | Morgan Stanley | 1 | 193 | 200 | 20 | |||||||||||||
Tenet Healthcare Corp. | Morgan Stanley | 1 | 32 | 40 | 20 | |||||||||||||
Tivity Health, Inc. | Morgan Stanley | 1 | 14 | 20 | 18 | |||||||||||||
Varian Medical Systems, Inc. | Morgan Stanley | 2,637 | 456,118 | 461,501 | 5,396 | |||||||||||||
West Pharmaceutical Services, Inc. | Morgan Stanley | 27 | 7,527 | 7,649 | 135 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||
104,961 | 7,808,423 | 8,248,578 | 446,221 | |||||||||||||||
|
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|
|
|
|
|
| |||||||||||
Household & Personal Products | ||||||||||||||||||
Church & Dwight Co., Inc. | Morgan Stanley | 1,360 | 124,232 | 118,633 | (5,260 | ) | ||||||||||||
Clorox Co. (The) | Morgan Stanley | 3,968 | 858,999 | 801,219 | (54,318 | ) | ||||||||||||
Colgate-Palmolive Co. | Morgan Stanley | 4,102 | 304,948 | 350,762 | 47,613 | |||||||||||||
Edgewell Personal Care Co. | Morgan Stanley | 21 | 735 | 726 | 4 | |||||||||||||
Estee Lauder Cos., Inc. (The), Class A | Morgan Stanley | 1,152 | 259,558 | 306,651 | 47,579 | |||||||||||||
Kimberly-Clark Corp. | Morgan Stanley | 17 | 2,248 | 2,292 | 75 |
16
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||
Household & Personal Products — (continued) |
| |||||||||||||||||
Procter & Gamble Co. (The) | Morgan Stanley | 559 | $ | 71,375 | $ | 77,779 | $ | 6,817 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
11,179 | 1,622,095 | 1,658,062 | 42,510 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Materials | ||||||||||||||||||
Agnico Eagle Mines Ltd. (Canada) | Morgan Stanley | 5,133 | 380,659 | 361,928 | (17,504 | ) | ||||||||||||
Alcoa Corp. | Morgan Stanley | 7,840 | 97,250 | 180,712 | 83,475 | |||||||||||||
Amcor PLC (Jersey) | Morgan Stanley | 55,156 | 596,849 | 649,186 | 60,713 | |||||||||||||
Avient Corp. | Morgan Stanley | 2,288 | 55,905 | 92,161 | 37,209 | |||||||||||||
Axalta Coating Systems Ltd. (Bermuda) . | Morgan Stanley | 3,008 | 85,983 | 85,878 | (92 | ) | ||||||||||||
Ball Corp. | Morgan Stanley | 778 | 71,677 | 72,494 | 830 | |||||||||||||
Barrick Gold Corp. (Canada) | Morgan Stanley | 2,520 | 58,019 | 57,406 | (601 | ) | ||||||||||||
Boise Cascade Co. | Morgan Stanley | 652 | 25,665 | 31,166 | 6,205 | |||||||||||||
Cabot Corp. | Morgan Stanley | 270 | 10,446 | 12,118 | 3,550 | |||||||||||||
Carpenter Technology Corp. | Morgan Stanley | 10,948 | 226,972 | 318,806 | 94,907 | |||||||||||||
CF Industries Holdings, Inc. | Morgan Stanley | 2,326 | 62,071 | 90,039 | 28,679 | |||||||||||||
Commercial Metals Co. | Morgan Stanley | 22,908 | 468,840 | 470,530 | 4,543 | |||||||||||||
Dow, Inc. | Morgan Stanley | 2,618 | 118,497 | 145,299 | 28,979 | |||||||||||||
Eastman Chemical Co. | Morgan Stanley | 623 | 48,699 | 62,474 | 14,537 | |||||||||||||
Ecolab, Inc. | Morgan Stanley | 1,557 | 289,378 | 336,873 | 49,098 | |||||||||||||
FMC Corp. | Morgan Stanley | 1,084 | 116,566 | 124,584 | 8,551 | |||||||||||||
Forterra, Inc. | Morgan Stanley | 45 | 782 | 774 | 4 | |||||||||||||
Franco-Nevada Corp. (Canada) | Morgan Stanley | 3,177 | 424,099 | 398,173 | (25,423 | ) | ||||||||||||
Freeport-McMoRan, Inc. | Morgan Stanley | 322 | 7,637 | 8,378 | 754 | |||||||||||||
GCP Applied Technologies, Inc. | Morgan Stanley | 614 | 14,775 | 14,521 | (241 | ) | ||||||||||||
Greif, Inc., Class A | Morgan Stanley | 74 | 3,470 | 3,469 | 22 | |||||||||||||
Hecla Mining Co. | Morgan Stanley | 63,968 | 339,727 | 414,513 | 82,082 | |||||||||||||
IAMGOLD Corp. (Canada) | Morgan Stanley | 26,840 | 95,646 | 98,503 | 2,869 | |||||||||||||
Innospec, Inc. | Morgan Stanley | 1,374 | 109,162 | 124,663 | 17,953 | |||||||||||||
International Paper Co. | Morgan Stanley | 3,204 | 156,330 | 159,303 | 2,985 | |||||||||||||
Kaiser Aluminum Corp. | Morgan Stanley | 2,364 | 160,458 | 233,800 | 75,150 | |||||||||||||
Kinross Gold Corp. (Canada) | Morgan Stanley | 52,301 | 401,156 | 383,889 | (16,466 | ) | ||||||||||||
Linde PLC (Ireland) | Morgan Stanley | 143 | 36,077 | 37,682 | 1,674 | |||||||||||||
Louisiana-Pacific Corp. | Morgan Stanley | 1,890 | 58,989 | 70,251 | 11,672 | |||||||||||||
Martin Marietta Materials, Inc. | Morgan Stanley | 248 | 65,672 | 70,425 | 4,809 | |||||||||||||
Mosaic Co. (The) | Morgan Stanley | 2,788 | 50,746 | 64,152 | 13,558 | |||||||||||||
NewMarket Corp. | Morgan Stanley | 87 | 31,762 | 34,651 | 3,067 | |||||||||||||
Newmont Corp. | Morgan Stanley | 5,982 | 371,777 | 358,262 | (11,210 | ) | ||||||||||||
Nucor Corp. | Morgan Stanley | 1,589 | 67,517 | 84,519 | 18,298 | |||||||||||||
O-I Glass, Inc. | Morgan Stanley | 10,264 | 114,250 | 122,142 | 7,904 | |||||||||||||
Pan American Silver Corp. (Canada) | Morgan Stanley | 3,374 | 105,106 | 116,437 | 11,547 | |||||||||||||
PPG Industries, Inc. | Morgan Stanley | 3,110 | 414,632 | 448,524 | 35,025 | |||||||||||||
Pretium Resources, Inc. (Canada) | Morgan Stanley | 10,827 | 133,531 | 124,294 | (9,225 | ) | ||||||||||||
Royal Gold, Inc. | Morgan Stanley | 36 | 3,852 | 3,829 | (11 | ) | ||||||||||||
RPM International, Inc. | Morgan Stanley | 2,429 | 212,930 | 220,505 | 7,935 | |||||||||||||
Scotts Miracle-Gro Co. (The) | Morgan Stanley | 2,566 | 432,213 | 510,993 | 80,147 | |||||||||||||
Sealed Air Corp. | Morgan Stanley | 1,776 | 71,565 | 81,323 | 10,106 | |||||||||||||
Sensient Technologies Corp. | Morgan Stanley | 30 | 2,179 | 2,213 | 47 |
17
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||
Materials — (continued) | ||||||||||||||||||||
Sherwin-Williams Co. (The) | Morgan Stanley | 788 | $ | 545,382 | $ | 579,109 | $ | 34,823 | ||||||||||||
Southern Copper Corp. | Morgan Stanley | 1 | 55 | 65 | 22 | |||||||||||||||
Wheaton Precious Metals Corp. | ||||||||||||||||||||
(Canada) | Morgan Stanley | 994 | 47,654 | 41,489 | (6,744 | ) | ||||||||||||||
Worthington Industries, Inc. | Morgan Stanley | 2,684 | 126,938 | 137,796 | 11,489 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
325,598 | 7,319,545 | 8,040,301 | 767,701 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Media & Entertainment | ||||||||||||||||||||
Activision Blizzard, Inc. | Morgan Stanley | 13,936 | 1,059,354 | 1,293,958 | 236,458 | |||||||||||||||
Alphabet, Inc., Class A | Morgan Stanley | 65 | 113,060 | 113,922 | 874 | |||||||||||||||
Charter Communications, Inc., Class A | Morgan Stanley | 88 | 51,900 | 58,216 | 6,329 | |||||||||||||||
DISH Network Corp., Class A | Morgan Stanley | 10,475 | 321,692 | 338,762 | 17,082 | |||||||||||||||
Facebook, Inc., Class A | Morgan Stanley | 244 | 66,276 | 66,651 | 388 | |||||||||||||||
Fox Corp., Class A | Morgan Stanley | 4,632 | 116,680 | 134,884 | 19,336 | |||||||||||||||
Gray Television, Inc. | Morgan Stanley | 4,074 | 70,625 | 72,884 | 2,271 | |||||||||||||||
Interpublic Group of Cos., Inc. (The) | Morgan Stanley | 5,905 | 109,006 | 138,886 | 32,912 | |||||||||||||||
Lions Gate Entertainment Corp., Class | ||||||||||||||||||||
B (Canada) | Morgan Stanley | 3,288 | 29,798 | 34,129 | 4,344 | |||||||||||||||
Madison Square Garden Sports Corp. | Morgan Stanley | 3,234 | 547,592 | 595,379 | 47,800 | |||||||||||||||
Meredith Corp. | Morgan Stanley | 2,229 | 42,594 | 42,797 | 216 | |||||||||||||||
MSG Networks, Inc., Class A | Morgan Stanley | 7,930 | 81,566 | 116,888 | 37,289 | |||||||||||||||
Netflix, Inc. | Morgan Stanley | 43 | 21,315 | 23,251 | 1,949 | |||||||||||||||
News Corp., Class A | Morgan Stanley | 337 | 6,007 | 6,056 | 62 | |||||||||||||||
Roku, Inc. | Morgan Stanley | 203 | 69,173 | 67,400 | (1,761 | ) | ||||||||||||||
Sciplay Corp., Class A | Morgan Stanley | 279 | 3,923 | 3,864 | (46 | ) | ||||||||||||||
Snap, Inc., Class A | Morgan Stanley | 2,915 | 119,285 | 145,954 | 26,682 | |||||||||||||||
TEGNA, Inc. | Morgan Stanley | 2,875 | 41,127 | 40,106 | (930 | ) | ||||||||||||||
Twitter, Inc. | Morgan Stanley | 655 | 31,961 | 35,468 | 3,520 | |||||||||||||||
ViacomCBS, Inc., Class B | Morgan Stanley | 837 | 29,740 | 31,187 | 1,533 | |||||||||||||||
Walt Disney Co. (The) | Morgan Stanley | 25 | 4,446 | 4,529 | 96 | |||||||||||||||
World Wrestling Entertainment, Inc. | ||||||||||||||||||||
Class A | Morgan Stanley | 5,540 | 228,326 | 266,197 | 38,635 | |||||||||||||||
Zillow Group, Inc., Class C | Morgan Stanley | 3,972 | 328,009 | 515,566 | 187,569 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
73,781 | 3,493,455 | 4,146,934 | 662,608 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||||||
Agilent Technologies, Inc. | Morgan Stanley | 2,477 | 239,091 | 293,500 | 58,422 | |||||||||||||||
Athira Pharma, Inc. | Morgan Stanley | 8 | 272 | 274 | 15 | |||||||||||||||
Biogen, Inc | Morgan Stanley | 20 | 4,838 | 4,897 | 72 | |||||||||||||||
Bio-Rad Laboratories, Inc., Class A | Morgan Stanley | 316 | 170,448 | 184,209 | 13,774 | |||||||||||||||
Blueprint Medicines Corp. | Morgan Stanley | 32 | 3,618 | 3,589 | (17 | ) | ||||||||||||||
Bristol-Myers Squibb Co. | Morgan Stanley | 9,125 | 553,052 | 566,024 | 18,711 | |||||||||||||||
Charles River Laboratories International, | ||||||||||||||||||||
Inc. | Morgan Stanley | 1 | 202 | 250 | 60 | |||||||||||||||
Denali Therapeutics, Inc. | Morgan Stanley | 146 | 5,089 | 12,229 | 7,152 | |||||||||||||||
Gilead Sciences, Inc. | Morgan Stanley | 1,523 | 87,227 | 88,730 | 1,516 | |||||||||||||||
Horizon Therapeutics PLC (Ireland) | Morgan Stanley | 2,018 | 142,005 | 147,617 | 5,625 | |||||||||||||||
Innoviva, Inc. | Morgan Stanley | 8,222 | 96,092 | 101,871 | 5,791 |
18
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) |
| |||||||||||||||||
Intellia Therapeutics, Inc. | Morgan Stanley | 40 | $ | 2,169 | $ | 2,176 | $ | 114 | ||||||||||
Johnson & Johnson | Morgan Stanley | 2,823 | 408,673 | 444,284 | 38,629 | |||||||||||||
Luminex Corp. | Morgan Stanley | 3,585 | 84,928 | 82,885 | (1,522 | ) | ||||||||||||
Mettler-Toledo International, Inc. | Morgan Stanley | 108 | 121,962 | 123,085 | 1,136 | |||||||||||||
Ocular Therapeutix, Inc. | Morgan Stanley | 5,142 | 105,199 | 106,439 | 1,253 | |||||||||||||
PerkinElmer, Inc. | Morgan Stanley | 589 | 69,798 | 84,522 | 14,769 | |||||||||||||
Pfizer, Inc. | Morgan Stanley | 4,056 | 154,909 | 149,301 | (5,595 | ) | ||||||||||||
Prestige Consumer Healthcare, Inc. | Morgan Stanley | 1,617 | 58,662 | 56,385 | (2,264 | ) | ||||||||||||
Thermo Fisher Scientific, Inc. | Morgan Stanley | 1,464 | 661,413 | 681,902 | 20,888 | |||||||||||||
Vanda Pharmaceuticals, Inc. | Morgan Stanley | 1 | 9 | 13 | 16 | |||||||||||||
Viatris, Inc. | Morgan Stanley | 763 | 11,743 | 14,299 | 2,569 | |||||||||||||
Zoetis, Inc. | Morgan Stanley | 2,696 | 429,753 | 446,188 | 16,702 | |||||||||||||
|
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| |||||||||||
46,772 | 3,411,152 | 3,594,669 | 197,816 | |||||||||||||||
|
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| |||||||||||
Retailing | ||||||||||||||||||
Abercrombie & Fitch Co., Class A | Morgan Stanley | 23,038 | 355,461 | 469,054 | 113,605 | |||||||||||||
Advance Auto Parts, Inc. | Morgan Stanley | 6,657 | 1,008,252 | 1,048,544 | 43,185 | |||||||||||||
Amazon.com, Inc. | Morgan Stanley | 61 | 202,469 | 198,673 | (3,784 | ) | ||||||||||||
American Eagle Outfitters, Inc. | Morgan Stanley | 7,530 | 145,870 | 151,127 | 5,270 | |||||||||||||
AutoNation, Inc. | Morgan Stanley | 8,687 | 469,810 | 606,266 | 137,382 | |||||||||||||
AutoZone, Inc. | Morgan Stanley | 321 | 364,744 | 380,526 | 15,795 | |||||||||||||
Booking Holdings, Inc. | Morgan Stanley | 28 | 57,722 | 62,364 | 4,654 | |||||||||||||
Buckle, Inc. (The) | Morgan Stanley | 4,852 | 101,359 | 141,678 | 51,595 | |||||||||||||
Camping World Holdings, Inc., Class A | Morgan Stanley | 30,840 | 881,390 | 803,382 | (50,899 | ) | ||||||||||||
eBay, Inc. | Morgan Stanley | 1,700 | 84,794 | 85,425 | 799 | |||||||||||||
Etsy, Inc. | Morgan Stanley | 3,474 | 439,441 | 618,059 | 178,631 | |||||||||||||
Expedia Group, Inc. | Morgan Stanley | 2,346 | 293,780 | 310,610 | 16,843 | |||||||||||||
Foot Locker, Inc. | Morgan Stanley | 5,039 | 148,960 | 203,777 | 55,578 | |||||||||||||
Gap, Inc. (The) | Morgan Stanley | 10,543 | 223,003 | 212,863 | (10,127 | ) | ||||||||||||
Genuine Parts Co. | Morgan Stanley | 1,271 | 117,179 | 127,647 | 12,385 | |||||||||||||
Guess?, Inc. | Morgan Stanley | 2,582 | 49,141 | 58,405 | 9,404 | |||||||||||||
L Brands, Inc. | Morgan Stanley | 1,133 | 41,932 | 42,136 | 217 | |||||||||||||
Lands’ End, Inc. | Morgan Stanley | 15 | 318 | 324 | 18 | |||||||||||||
LKQ Corp. | Morgan Stanley | 12,382 | 348,677 | 436,342 | 87,970 | |||||||||||||
Macy’s, Inc. | Morgan Stanley | 28,161 | 169,756 | 316,811 | 147,068 | |||||||||||||
Murphy USA, Inc. | Morgan Stanley | 366 | 45,905 | 47,898 | 2,113 | |||||||||||||
O’Reilly Automotive, Inc. | Morgan Stanley | 573 | 256,270 | 259,323 | 3,065 | |||||||||||||
Overstock.com, Inc. | Morgan Stanley | 349 | 17,744 | 16,742 | (990 | ) | ||||||||||||
Pool Corp. | Morgan Stanley | 239 | 78,320 | 89,028 | 10,770 | |||||||||||||
Qurate Retail, Inc., Series A | Morgan Stanley | 15,438 | 113,132 | 169,355 | 80,857 | |||||||||||||
RH. | Morgan Stanley | 1 | 283 | 448 | 177 | |||||||||||||
Shutterstock, Inc. | Morgan Stanley | 2,859 | 188,409 | 204,990 | 17,016 | |||||||||||||
Sleep Number Corp. | Morgan Stanley | 1 | 63 | 82 | 31 | |||||||||||||
Sonic Automotive, Inc., Class A | Morgan Stanley | 326 | 13,356 | 12,574 | (741 | ) | ||||||||||||
Stamps.com, Inc. | Morgan Stanley | 95 | 20,107 | 18,638 | (1,968 | ) | ||||||||||||
Target Corp. | Morgan Stanley | 1,444 | 222,557 | 254,909 | 33,292 |
19
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||
Retailing — (continued) | ||||||||||||||||||||
TJX Cos., Inc. (The) | Morgan Stanley | 2,010 | $ | 134,414 | $ | 137,263 | $ | 2,862 | ||||||||||||
Urban Outfitters, Inc. | Morgan Stanley | 4,705 | 117,129 | 120,448 | 3,332 | |||||||||||||||
Zumiez, Inc. | Morgan Stanley | 3,663 | 101,024 | 134,725 | 33,714 | |||||||||||||||
|
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|
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|
|
|
| |||||||||||||
182,729 | 6,812,771 | 7,740,436 | 999,119 | |||||||||||||||||
|
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|
|
| |||||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||||||
Amkor Technology, Inc. | Morgan Stanley | 18,617 | 228,503 | 280,744 | 56,033 | |||||||||||||||
Analog Devices, Inc. | Morgan Stanley | 1,078 | 151,002 | 159,253 | 8,932 | |||||||||||||||
Applied Materials, Inc. | Morgan Stanley | 210 | 17,845 | 18,123 | 290 | |||||||||||||||
Axcelis Technologies, Inc. | Morgan Stanley | 3,993 | 98,626 | 116,276 | 17,663 | |||||||||||||||
Broadcom, Inc. | Morgan Stanley | 5,225 | 1,846,313 | 2,287,766 | 472,607 | |||||||||||||||
Brooks Automation, Inc. | Morgan Stanley | 1 | 44 | 68 | 36 | |||||||||||||||
Cohu, Inc. | Morgan Stanley | 783 | 20,569 | 29,895 | 9,338 | |||||||||||||||
Enphase Energy, Inc. | Morgan Stanley | 1 | 102 | 175 | 86 | |||||||||||||||
First Solar, Inc. | Morgan Stanley | 12,722 | 1,054,169 | 1,258,460 | 204,304 | |||||||||||||||
Intel Corp. | Morgan Stanley | 7,872 | 368,685 | 392,183 | 26,904 | |||||||||||||||
KLA Corp. | Morgan Stanley | 332 | 58,733 | 85,958 | 27,533 | |||||||||||||||
Lam Research Corp. | Morgan Stanley | 31 | 14,814 | 14,640 | (161 | ) | ||||||||||||||
MACOM Technology Solutions Holdings, | ||||||||||||||||||||
Inc. | Morgan Stanley | 6,000 | 220,705 | 330,240 | 110,872 | |||||||||||||||
Marvell Technology Group Ltd. | ||||||||||||||||||||
(Bermuda) | Morgan Stanley | 369 | 17,311 | 17,542 | 243 | |||||||||||||||
Maxim Integrated Products, Inc. | Morgan Stanley | 415 | 28,261 | 36,790 | 8,542 | |||||||||||||||
Microchip Technology, Inc. | Morgan Stanley | 1,596 | 178,390 | 220,424 | 42,720 | |||||||||||||||
Monolithic Power Systems, Inc. | Morgan Stanley | 1 | 241 | 366 | 209 | |||||||||||||||
NVIDIA Corp. | Morgan Stanley | 34 | 17,721 | 17,755 | 46 | |||||||||||||||
Qorvo, Inc. | Morgan Stanley | 8,308 | 986,259 | 1,381,371 | 395,124 | |||||||||||||||
QUALCOMM, Inc. | Morgan Stanley | 7,699 | 1,119,243 | 1,172,866 | 57,169 | |||||||||||||||
Rambus, Inc. | Morgan Stanley | 39 | 680 | 681 | 14 | |||||||||||||||
Teradyne, Inc. | Morgan Stanley | 437 | 38,167 | 52,392 | 14,302 | |||||||||||||||
Texas Instruments, Inc. | Morgan Stanley | 1,639 | 241,588 | 269,009 | 28,619 | |||||||||||||||
Ultra Clean Holdings, Inc. | Morgan Stanley | 25 | 551 | 778 | 240 | |||||||||||||||
Veeco Instruments, Inc. | Morgan Stanley | 66 | 1,125 | 1,146 | 33 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
77,493 | 6,709,647 | 8,144,901 | 1,481,698 | |||||||||||||||||
|
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|
|
|
|
| |||||||||||||
Software & Services | ||||||||||||||||||||
Accenture PLC, Class A (Ireland) | Morgan Stanley | 554 | 118,832 | 144,710 | 26,389 | |||||||||||||||
ACI Worldwide, Inc. | Morgan Stanley | 5,097 | 128,066 | 195,878 | 70,320 | |||||||||||||||
Adobe, Inc. | Morgan Stanley | 181 | 86,128 | 90,522 | 4,406 | |||||||||||||||
Agilysys, Inc. | Morgan Stanley | 111 | 4,350 | 4,260 | (77 | ) | ||||||||||||||
Alliance Data Systems Corp. | Morgan Stanley | 4,866 | 217,822 | 360,571 | 144,803 | |||||||||||||||
Appian Corp. | Morgan Stanley | 2,058 | 312,518 | 333,581 | 21,076 | |||||||||||||||
Automatic Data Processing, Inc. | Morgan Stanley | 525 | 68,313 | 92,505 | 24,693 | |||||||||||||||
Avalara, Inc. | Morgan Stanley | 1,186 | 211,753 | 195,560 | (16,352 | ) | ||||||||||||||
Blackline, Inc. | Morgan Stanley | 1,813 | 246,144 | 241,818 | (4,313 | ) | ||||||||||||||
Booz Allen Hamilton Holding Corp. | Morgan Stanley | 8,105 | 705,825 | 706,594 | 1,672 | |||||||||||||||
Broadridge Financial Solutions, Inc. | Morgan Stanley | 4,257 | 602,532 | 652,172 | 52,873 | |||||||||||||||
CACI International, Inc., Class A | Morgan Stanley | 831 | 171,236 | 207,193 | 37,236 |
20
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||
Software & Services — (continued) | ||||||||||||||||||||
Cadence Design Systems, Inc. | Morgan Stanley | 563 | $ | 58,145 | $ | 76,810 | $ | 18,678 | ||||||||||||
CDK Global, Inc. | Morgan Stanley | 10,192 | 484,717 | 528,251 | 44,733 | |||||||||||||||
Cerence, Inc. | Morgan Stanley | 1,371 | 117,265 | 137,758 | 23,337 | |||||||||||||||
CGI, Inc. (Canada) | Morgan Stanley | 1,786 | 122,636 | 141,648 | 19,033 | |||||||||||||||
Cloudera, Inc. | Morgan Stanley | 18,067 | 233,953 | 251,312 | 17,372 | |||||||||||||||
Cloudflare, Inc., Class A | Morgan Stanley | 914 | 76,226 | 69,455 | (6,759 | ) | ||||||||||||||
Cornerstone On Demand, Inc. | Morgan Stanley | 217 | 7,475 | 9,557 | 2,094 | |||||||||||||||
Crowdstrike Holdings, Inc., Class A | Morgan Stanley | 1,886 | 351,679 | 399,493 | 47,826 | |||||||||||||||
Domo, Inc., Class B | Morgan Stanley | 579 | 37,858 | 36,923 | (922 | ) | ||||||||||||||
Elastic NV (Netherlands) | Morgan Stanley | 383 | 55,363 | 55,968 | 617 | |||||||||||||||
Envestnet, Inc. | Morgan Stanley | 364 | 27,755 | 29,954 | 2,211 | |||||||||||||||
Fair Isaac Corp. | Morgan Stanley | 16 | 8,137 | 8,177 | 52 | |||||||||||||||
FireEye, Inc. | Morgan Stanley | 2,908 | 65,709 | 67,058 | 1,362 | |||||||||||||||
Fiserv, Inc. | Morgan Stanley | 7,516 | 739,140 | 855,772 | 116,644 | |||||||||||||||
GoDaddy, Inc., Class A | Morgan Stanley | 1 | 68 | 83 | 28 | |||||||||||||||
International Business Machines Corp | Morgan Stanley | 1,668 | 187,530 | 209,968 | 24,969 | |||||||||||||||
Intuit, Inc. | Morgan Stanley | 481 | 141,779 | 182,708 | 43,825 | |||||||||||||||
Jack Henry & Associates, Inc. | Morgan Stanley | 499 | 81,012 | 80,833 | 42 | |||||||||||||||
Lightspeed POS, Inc. (Canada) | Morgan Stanley | 5 | 345 | 352 | 20 | |||||||||||||||
Mastercard, Inc., Class A | Morgan Stanley | 18 | 6,231 | 6,425 | 206 | |||||||||||||||
MAXIMUS, Inc. | Morgan Stanley | 3 | 219 | 220 | 13 | |||||||||||||||
Microsoft Corp. | Morgan Stanley | 40 | 9,022 | 8,897 | (112 | ) | ||||||||||||||
MicroStrategy, Inc., Class A | Morgan Stanley | 1,348 | 161,420 | 523,765 | 362,357 | |||||||||||||||
NortonLifeLock, Inc. | Morgan Stanley | 605 | 11,312 | 12,572 | 1,331 | |||||||||||||||
Open Text Corp. (Canada) | Morgan Stanley | 4,967 | 208,413 | 225,800 | 18,192 | |||||||||||||||
Paychex, Inc. | Morgan Stanley | 166 | 15,439 | 15,468 | 41 | |||||||||||||||
PayPal Holdings, Inc. | Morgan Stanley | 136 | 31,552 | 31,851 | 312 | |||||||||||||||
Progress Software Corp. | Morgan Stanley | 6,792 | 241,214 | 306,930 | 68,318 | |||||||||||||||
PTC, Inc. | Morgan Stanley | 1 | 81 | 120 | 51 | |||||||||||||||
QAD, Inc., Class A | Morgan Stanley | 7 | 432 | 442 | 23 | |||||||||||||||
Sailpoint Technologies Holding, Inc. | Morgan Stanley | 1 | 36 | 53 | 30 | |||||||||||||||
salesforce.com, Inc. | Morgan Stanley | 2,942 | 705,448 | 654,683 | (50,752 | ) | ||||||||||||||
SecureWorks Corp., Class A | Morgan Stanley | 2 | 29 | 28 | 12 | |||||||||||||||
ServiceNow, Inc. | Morgan Stanley | 104 | 54,755 | 57,245 | 2,503 | |||||||||||||||
SolarWinds Corp. | Morgan Stanley | 321 | 5,300 | 4,799 | (489 | ) | ||||||||||||||
SPS Commerce, Inc. | Morgan Stanley | 4,396 | 321,791 | 477,362 | 155,583 | |||||||||||||||
Square, Inc., Class A | Morgan Stanley | 251 | 58,535 | 54,628 | (3,895 | ) | ||||||||||||||
Sykes Enterprises, Inc. | Morgan Stanley | 69 | 2,607 | 2,599 | 5 | |||||||||||||||
Synopsys, Inc. | Morgan Stanley | 666 | 157,238 | 172,654 | 15,728 | |||||||||||||||
Teradata Corp. | Morgan Stanley | 7,400 | 157,487 | 166,278 | 8,803 | |||||||||||||||
TTEC Holdings, Inc. | Morgan Stanley | 2 | 146 | 146 | 12 | |||||||||||||||
Tyler Technologies, Inc. | Morgan Stanley | 5 | 2,151 | 2,183 | 44 | |||||||||||||||
Unity Software, Inc. | Morgan Stanley | 188 | 29,072 | 28,852 | (207 | ) | ||||||||||||||
Verint Systems, Inc. | Morgan Stanley | 1,187 | 71,986 | 79,742 | 7,769 | |||||||||||||||
VeriSign, Inc. | Morgan Stanley | 468 | 95,677 | 101,275 | 5,704 | |||||||||||||||
Virtusa Corp. | Morgan Stanley | 1,353 | 47,222 | 69,179 | 21,971 | |||||||||||||||
Visa, Inc., Class A | Morgan Stanley | 48 | 10,275 | 10,499 | 237 |
21
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||
Software & Services — (continued) | ||||||||||||||||||||
Western Union Co. (The) | Morgan Stanley | 15,048 | $ | 339,509 | $ | 330,153 | $ | (3,137 | ) | |||||||||||
WEX, Inc | Morgan Stanley | 1 | 138 | 203 | 78 | |||||||||||||||
Workiva, Inc | Morgan Stanley | 602 | 47,573 | 55,155 | 7,594 | |||||||||||||||
Zoom Video Communications, Inc., | ||||||||||||||||||||
Class A | Morgan Stanley | 466 | 171,077 | 157,191 | (13,873 | ) | ||||||||||||||
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| |||||||||||||
128,603 | 8,633,698 | 9,924,841 | 1,322,340 | |||||||||||||||||
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| |||||||||||||
Technology Hardware & Equipment | ||||||||||||||||||||
Apple, Inc | Morgan Stanley | 566 | 66,748 | 75,103 | 8,368 | |||||||||||||||
Avnet, Inc | Morgan Stanley | 1 | 25 | 35 | 23 | |||||||||||||||
Badger Meter, Inc | Morgan Stanley | 598 | 38,151 | 56,248 | 18,308 | |||||||||||||||
Cambium Networks Corp. (Cayman | ||||||||||||||||||||
Islands) | Morgan Stanley | 322 | 8,341 | 8,076 | (253 | ) | ||||||||||||||
CDW Corp | Morgan Stanley | 1,110 | 125,604 | 146,287 | 21,245 | |||||||||||||||
Cisco Systems, Inc | Morgan Stanley | 1,174 | 44,295 | 52,537 | 8,456 | |||||||||||||||
Corning, Inc | Morgan Stanley | 3,825 | 118,030 | 137,700 | 21,403 | |||||||||||||||
Dell Technologies, Inc., Class C | Morgan Stanley | 4,046 | 285,866 | 296,531 | 10,674 | |||||||||||||||
Diebold Nixdorf, Inc | Morgan Stanley | 63,200 | 401,313 | 673,712 | 272,411 | |||||||||||||||
EchoStar Corp., Class A | Morgan Stanley | 34,664 | 924,835 | 734,530 | (191,533 | ) | ||||||||||||||
ePlus, Inc | Morgan Stanley | 6 | 523 | 528 | 17 | |||||||||||||||
FLIR Systems, Inc | Morgan Stanley | 412 | 15,002 | 18,058 | 3,166 | |||||||||||||||
Hewlett Packard Enterprise Co | Morgan Stanley | 21,614 | 209,774 | 256,126 | 51,465 | |||||||||||||||
HP, Inc | Morgan Stanley | 15,835 | 329,917 | 389,383 | 63,475 | |||||||||||||||
II-VI, Inc | Morgan Stanley | 82 | 6,256 | 6,229 | (14 | ) | ||||||||||||||
Inseego Corp | Morgan Stanley | 50 | 776 | 774 | 10 | |||||||||||||||
InterDigital, Inc | Morgan Stanley | 138 | 8,110 | 8,374 | 314 | |||||||||||||||
Jabil, Inc | Morgan Stanley | 976 | 41,792 | 41,509 | (270 | ) | ||||||||||||||
Juniper Networks, Inc | Morgan Stanley | 1,372 | 29,643 | 30,884 | 1,454 | |||||||||||||||
Lumentum Holdings, Inc | Morgan Stanley | 1 | 70 | 95 | 37 | |||||||||||||||
MTS Systems Corp | Morgan Stanley | 139 | 8,119 | 8,084 | (22 | ) | ||||||||||||||
NCR Corp | Morgan Stanley | 19,042 | 353,158 | 715,408 | 362,262 | |||||||||||||||
NetApp, Inc | Morgan Stanley | 6,854 | 303,631 | 454,009 | 153,632 | |||||||||||||||
NETGEAR, Inc | Morgan Stanley | 1,850 | 60,938 | 75,166 | 14,240 | |||||||||||||||
OSI Systems, Inc | Morgan Stanley | 563 | 39,406 | 52,483 | 13,090 | |||||||||||||||
Ribbon Communications, Inc | Morgan Stanley | 94 | 610 | 617 | 19 | |||||||||||||||
Sanmina Corp | Morgan Stanley | 5,303 | 139,269 | 169,113 | 30,111 | |||||||||||||||
ScanSource, Inc | Morgan Stanley | 4 | 104 | 105 | 14 | |||||||||||||||
Seagate Technology PLC (Ireland) | Morgan Stanley | 301 | 17,682 | 18,710 | 1,161 | |||||||||||||||
SYNNEX Corp | Morgan Stanley | 187 | 15,164 | 15,229 | 78 | |||||||||||||||
TE Connectivity Ltd. (Switzerland) | Morgan Stanley | 1 | 93 | 121 | 42 | |||||||||||||||
TTM Technologies, Inc | Morgan Stanley | 8,079 | 104,447 | 111,450 | 7,015 | |||||||||||||||
Ubiquiti, Inc | Morgan Stanley | 19 | 3,001 | 5,292 | 2,311 | |||||||||||||||
Vontier Corp | Morgan Stanley | 9,828 | 286,750 | 328,255 | 41,518 | |||||||||||||||
Xerox Holdings Corp | Morgan Stanley | 81 | 1,276 | 1,878 | 655 | |||||||||||||||
Zebra Technologies Corp., Class A | Morgan Stanley | 60 | 17,974 | 23,060 | 5,098 | |||||||||||||||
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202,397 | 4,006,693 | 4,911,699 | 919,980 | |||||||||||||||||
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22
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||
Telecommunication Services | ||||||||||||||||||||
AT&T, Inc. | Morgan Stanley | 18,721 | $ | 554,319 | $ | 538,416 | $ | (7,245 | ) | |||||||||||
ATN International, Inc. | Morgan Stanley | 44 | 1,997 | 1,837 | (140 | ) | ||||||||||||||
CenturyLink, Inc. | Morgan Stanley | 8,884 | 88,517 | 86,619 | 892 | |||||||||||||||
Iridium Communications, Inc. | Morgan Stanley | 2,044 | 55,707 | 80,380 | 25,765 | |||||||||||||||
Rogers Communications, Inc., Class B | ||||||||||||||||||||
(Canada) | Morgan Stanley | 242 | 11,291 | 11,275 | 10 | |||||||||||||||
T-Mobile US, Inc. | Morgan Stanley | 1,473 | 163,245 | 198,634 | 35,401 | |||||||||||||||
Verizon Communications, Inc. | Morgan Stanley | 7,377 | 413,646 | 433,399 | 24,153 | |||||||||||||||
Vonage Holdings Corp. | Morgan Stanley | 36 | 467 | 463 | 9 | |||||||||||||||
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| |||||||||||||
38,821 | 1,289,189 | 1,351,023 | 78,845 | |||||||||||||||||
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Transportation | ||||||||||||||||||||
Alaska Air Group, Inc. | Morgan Stanley | 16,704 | 645,991 | 868,608 | 222,630 | |||||||||||||||
ArcBest Corp. | Morgan Stanley | 10,366 | 317,303 | 442,317 | 126,689 | |||||||||||||||
Atlas Air Worldwide Holdings, Inc. | Morgan Stanley | 6,440 | 369,209 | 351,238 | (18,124 | ) | ||||||||||||||
CH Robinson Worldwide, Inc. | Morgan Stanley | 73 | 6,837 | 6,853 | 684 | |||||||||||||||
CSX Corp. | Morgan Stanley | 1,847 | 131,201 | 167,615 | 37,366 | |||||||||||||||
Echo Global Logistics, Inc. | Morgan Stanley | 4,751 | 124,111 | 127,422 | 3,323 | |||||||||||||||
Expeditors International of Washington, | ||||||||||||||||||||
Inc. | Morgan Stanley | 9,482 | 762,258 | 901,833 | 144,518 | |||||||||||||||
FedEx Corp. | Morgan Stanley | 1,957 | 534,771 | 508,076 | (26,682 | ) | ||||||||||||||
Hub Group, Inc., Class A | Morgan Stanley | 21 | 1,037 | 1,197 | 173 | |||||||||||||||
JB Hunt Transport Services, Inc. | Morgan Stanley | 67 | 9,168 | 9,156 | 1 | |||||||||||||||
Kansas City Southern | Morgan Stanley | 54 | 9,390 | 11,023 | 2,697 | |||||||||||||||
Knight-Swift Transportation Holdings, | ||||||||||||||||||||
Inc. | Morgan Stanley | 1,571 | 60,253 | 65,699 | 5,596 | |||||||||||||||
Norfolk Southern Corp. | Morgan Stanley | 113 | 26,819 | 26,850 | 43 | |||||||||||||||
Old Dominion Freight Line, Inc. | Morgan Stanley | 47 | 9,211 | 9,173 | (25 | ) | ||||||||||||||
Ryder System, Inc. | Morgan Stanley | 1,702 | 93,880 | 105,115 | 11,942 | |||||||||||||||
Schneider National, Inc., Class B | Morgan Stanley | 18,841 | 474,316 | 390,009 | (44,523 | ) | ||||||||||||||
SkyWest, Inc. | Morgan Stanley | 8,312 | 241,025 | 335,057 | 94,240 | |||||||||||||||
TFI International, Inc. (Canada) | Morgan Stanley | 1 | 52 | 52 | 36 | |||||||||||||||
United Parcel Service, Inc., Class B | Morgan Stanley | 816 | 126,557 | 137,414 | 12,539 | |||||||||||||||
Werner Enterprises, Inc. | Morgan Stanley | 625 | 25,411 | 24,512 | (882 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
83,790 | 3,968,800 | 4,489,219 | 572,241 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Utilities | ||||||||||||||||||||
AES Corp. (The) | Morgan Stanley | 1,878 | 42,835 | 44,133 | 1,310 | |||||||||||||||
American Water Works Co., Inc. | Morgan Stanley | 804 | 115,358 | 123,390 | 8,405 | |||||||||||||||
Atmos Energy Corp. | Morgan Stanley | 399 | 38,090 | 38,077 | 54 | |||||||||||||||
CenterPoint Energy, Inc. | Morgan Stanley | 2,191 | 48,479 | 47,413 | (1,053 | ) | ||||||||||||||
Dominion Energy, Inc. | Morgan Stanley | 33 | 2,554 | 2,482 | (39 | ) | ||||||||||||||
Duke Energy Corp. | Morgan Stanley | 5,492 | 472,893 | 502,848 | 36,951 | |||||||||||||||
Evergy, Inc. | Morgan Stanley | 324 | 17,523 | 17,985 | 475 | |||||||||||||||
Exelon Corp. | Morgan Stanley | 18,554 | 731,132 | 783,350 | 58,041 | |||||||||||||||
IDACORP, Inc. | Morgan Stanley | 2,165 | 196,950 | 207,905 | 11,268 | |||||||||||||||
MDU Resources Group, Inc. | Morgan Stanley | 1 | 21 | 26 | 366 | |||||||||||||||
National Fuel Gas Co. | Morgan Stanley | 733 | 30,042 | 30,148 | 493 |
23
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||
Utilities — (continued) | ||||||||||||||||||||
NiSource, Inc. | Morgan Stanley | 27,125 | $ | 642,687 | $ | 622,248 | $ | (20,151 | ) | |||||||||||
NRG Energy, Inc. | Morgan Stanley | 21,042 | 695,039 | 790,127 | 108,929 | |||||||||||||||
ONE Gas, Inc. | Morgan Stanley | 333 | 25,671 | 25,564 | (94 | ) | ||||||||||||||
Public Service Enterprise Group, Inc. | Morgan Stanley | 875 | 49,958 | 51,013 | 1,551 | |||||||||||||||
Southern Co. (The) | Morgan Stanley | 799 | 48,366 | 49,083 | 729 | |||||||||||||||
Spire, Inc. | Morgan Stanley | 44 | 2,807 | 2,818 | 23 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
82,792 | 3,160,405 | 3,338,610 | 207,258 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Reference Entity — Long | 100,955,472 | 113,920,515 | 13,605,093 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Short | ||||||||||||||||||||
Automobiles & Components | ||||||||||||||||||||
Aptiv PLC (Jersey) | Morgan Stanley | (2,205 | ) | (261,030 | ) | (287,289 | ) | (26,546 | ) | |||||||||||
Dorman Products, Inc. | Morgan Stanley | (2,024 | ) | (155,246 | ) | (175,724 | ) | (22,415 | ) | |||||||||||
Fox Factory Holding Corp. | Morgan Stanley | (3,402 | ) | (294,224 | ) | (359,625 | ) | (66,906 | ) | |||||||||||
Goodyear Tire & Rubber Co. (The) | Morgan Stanley | (20,910 | ) | (209,547 | ) | (228,128 | ) | (20,582 | ) | |||||||||||
LCI Industries | Morgan Stanley | (6,815 | ) | (822,816 | ) | (883,769 | ) | (74,373 | ) | |||||||||||
Patrick Industries, Inc | Morgan Stanley | (5,637 | ) | (368,772 | ) | (385,289 | ) | (20,448 | ) | |||||||||||
XPEL, Inc. | Morgan Stanley | (1,589 | ) | (78,513 | ) | (81,929 | ) | (3,494 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(42,582 | ) | (2,190,148 | ) | (2,401,753 | ) | (234,764 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Capital Goods | ||||||||||||||||||||
AAON, Inc. | Morgan Stanley | (181 | ) | (12,141 | ) | (12,060 | ) | 79 | ||||||||||||
Aerojet Rocketdyne Holdings, Inc | Morgan Stanley | (6,825 | ) | (358,655 | ) | (360,701 | ) | (2,446 | ) | |||||||||||
Alamo Group, Inc. | Morgan Stanley | (1,025 | ) | (106,073 | ) | (141,399 | ) | (36,835 | ) | |||||||||||
American Woodmark Corp. | Morgan Stanley | (2,332 | ) | (210,998 | ) | (218,858 | ) | (8,154 | ) | |||||||||||
Argan, Inc. | Morgan Stanley | (2,640 | ) | (121,450 | ) | (117,454 | ) | (70 | ) | |||||||||||
Armstrong World Industries, Inc. | Morgan Stanley | (11,774 | ) | (902,819 | ) | (875,868 | ) | 23,813 | ||||||||||||
.Axon Enterprise, Inc | Morgan Stanley | (5,621 | ) | (493,971 | ) | (688,741 | ) | (200,636 | ) | |||||||||||
Bloom Energy Corp., Class A | Morgan Stanley | (54,016 | ) | (1,009,164 | ) | (1,548,099 | ) | (565,494 | ) | |||||||||||
Boeing Co. (The) | Morgan Stanley | (14,279 | ) | (3,177,379 | ) | (3,056,563 | ) | 117,184 | ||||||||||||
Builders FirstSource, Inc. | Morgan Stanley | (41,377 | ) | (1,518,103 | ) | (1,688,595 | ) | (172,221 | ) | |||||||||||
BWX Technologies, Inc. | Morgan Stanley | (3,386 | ) | (207,414 | ) | (204,108 | ) | 3,080 | ||||||||||||
Carlisle Cos, Inc. | Morgan Stanley | (2,115 | ) | (286,156 | ) | (330,321 | ) | (45,273 | ) | |||||||||||
CIRCOR International, Inc. | Morgan Stanley | (1,148 | ) | (41,146 | ) | (44,129 | ) | (3,018 | ) | |||||||||||
Construction Partners, Inc., Class A | Morgan Stanley | (7,026 | ) | (123,349 | ) | (204,527 | ) | (83,538 | ) | |||||||||||
Ducommun, Inc. | Morgan Stanley | (15 | ) | (816 | ) | (806 | ) | 22 | ||||||||||||
Encore Wire Corp. | Morgan Stanley | (111 | ) | (6,593 | ) | (6,723 | ) | (126 | ) | |||||||||||
Enerpac Tool Group Corp. | Morgan Stanley | (1,024 | ) | (22,652 | ) | (23,153 | ) | (514 | ) | |||||||||||
EnerSys | Morgan Stanley | (1,578 | ) | (105,205 | ) | (131,069 | ) | (27,836 | ) | |||||||||||
GATX Corp. | Morgan Stanley | (4,997 | ) | (380,590 | ) | (415,650 | ) | (37,673 | ) | |||||||||||
Graco, Inc. | Morgan Stanley | (2,488 | ) | (152,714 | ) | (180,007 | ) | (27,843 | ) | |||||||||||
GrafTech International Ltd | Morgan Stanley | (5,157 | ) | (52,314 | ) | (54,974 | ) | (2,707 | ) | |||||||||||
Great Lakes Dredge & Dock Corp. | Morgan Stanley | (609 | ) | (7,687 | ) | (8,021 | ) | (329 | ) | |||||||||||
Hexcel Corp. | Morgan Stanley | (16,173 | ) | (701,811 | ) | (784,229 | ) | (91,916 | ) | |||||||||||
Hillenbrand, Inc. | Morgan Stanley | (23,025 | ) | (663,613 | ) | (916,395 | ) | (268,426 | ) | |||||||||||
Hyster-Yale Materials Handling, Inc. | Morgan Stanley | (3,276 | ) | (125,318 | ) | (195,086 | ) | (71,993 | ) | |||||||||||
Kaman Corp. | Morgan Stanley | (3,375 | ) | (183,731 | ) | (192,814 | ) | (9,741 | ) |
24
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||
Capital Goods — (continued) | ||||||||||||||||||
Kennametal, Inc. | Morgan Stanley | (57,560 | ) | $ | (1,691,437 | ) | $ | (2,085,974 | ) | $ | (420,108 | ) | ||||||
Kratos Defense & Security Solutions, | ||||||||||||||||||
Inc. | Morgan Stanley | (35,891 | ) | (711,995 | ) | (984,490 | ) | (275,019 | ) | |||||||||
Maxar Technologies, Inc. | Morgan Stanley | (9,027 | ) | (315,377 | ) | (348,352 | ) | (33,324 | ) | |||||||||
Mercury Systems, Inc. | Morgan Stanley | (2,439 | ) | (191,030 | ) | (214,778 | ) | (23,955 | ) | |||||||||
Meritor, Inc. | Morgan Stanley | (45,998 | ) | (1,111,391 | ) | (1,283,804 | ) | (175,325 | ) | |||||||||
Mueller Water Products, Inc., Class A | Morgan Stanley | (55,180 | ) | (561,733 | ) | (683,128 | ) | (129,802 | ) | |||||||||
Navistar International Corp. | Morgan Stanley | (15,293 | ) | (673,270 | ) | (672,280 | ) | 230 | ||||||||||
Nordson Corp. | Morgan Stanley | (1,508 | ) | (312,589 | ) | (303,033 | ) | 8,605 | ||||||||||
NV5 Global, Inc. | Morgan Stanley | (9,035 | ) | (500,178 | ) | (711,777 | ) | (213,505 | ) | |||||||||
Oshkosh Corp. | Morgan Stanley | (10,327 | ) | (832,686 | ) | (888,845 | ) | (57,816 | ) | |||||||||
Parsons Corp. | Morgan Stanley | (14,331 | ) | (486,828 | ) | (521,792 | ) | (35,510 | ) | |||||||||
PGT Innovations, Inc. | Morgan Stanley | (21,043 | ) | (358,746 | ) | (428,015 | ) | (69,668 | ) | |||||||||
Proto Labs, Inc. | Morgan Stanley | (9,780 | ) | (1,447,628 | ) | (1,500,252 | ) | (54,273 | ) | |||||||||
Raytheon Technologies Corp. | Morgan Stanley | (7,081 | ) | (513,790 | ) | (506,362 | ) | 6,851 | ||||||||||
Resideo Technologies, Inc. | Morgan Stanley | (22,660 | ) | (308,176 | ) | (481,752 | ) | (180,931 | ) | |||||||||
Sensata Technologies Holding PLC | ||||||||||||||||||
(United Kingdom) | Morgan Stanley | (5,737 | ) | (257,978 | ) | (302,569 | ) | (44,875 | ) | |||||||||
Spirit AeroSystems Holdings, Inc., Class A | Morgan Stanley | (36,275 | ) | (952,346 | ) | (1,417,990 | ) | (467,287 | ) | |||||||||
SPX Corp. | Morgan Stanley | (2,459 | ) | (132,903 | ) | (134,114 | ) | (1,351 | ) | |||||||||
Sunrun, Inc. | Morgan Stanley | (8,852 | ) | (537,954 | ) | (614,152 | ) | (76,803 | ) | |||||||||
Terex Corp. | Morgan Stanley | (10,622 | ) | (278,941 | ) | (370,602 | ) | (92,606 | ) | |||||||||
Trex Co., Inc. | Morgan Stanley | (46,485 | ) | (3,378,502 | ) | (3,891,724 | ) | (521,422 | ) | |||||||||
Triumph Group, Inc. | Morgan Stanley | (13,777 | ) | (192,337 | ) | (173,039 | ) | 19,090 | ||||||||||
Vicor Corp. | Morgan Stanley | (3,939 | ) | (287,338 | ) | (363,255 | ) | (76,398 | ) | |||||||||
Welbilt, Inc. | Morgan Stanley | (56,934 | ) | (608,372 | ) | (751,529 | ) | (143,842 | ) | |||||||||
WESCO International, Inc. | Morgan Stanley | (25,307 | ) | (1,191,078 | ) | (1,986,600 | ) | (815,071 | ) | |||||||||
WillScot Mobile Mini Holdings Corp. | Morgan Stanley | (9,061 | ) | (200,559 | ) | (209,943 | ) | (9,602 | ) | |||||||||
Woodward, Inc. | Morgan Stanley | (1,494 | ) | (180,003 | ) | (181,566 | ) | (1,757 | ) | |||||||||
Xylem, Inc. | Morgan Stanley | (3,918 | ) | (348,931 | ) | (398,813 | ) | (54,134 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||||
(757,586 | ) | (29,535,958 | ) | (34,810,880 | ) | (5,452,219 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||
Commercial & Professional Services | ||||||||||||||||||
Casella Waste Systems, Inc., Class A | Morgan Stanley | (4,149 | ) | (223,396 | ) | (257,031 | ) | (34,687 | ) | |||||||||
Equifax, Inc. | Morgan Stanley | (5,871 | ) | (1,130,981 | ) | (1,132,164 | ) | (2,468 | ) | |||||||||
Harsco Corp. | Morgan Stanley | (22,439 | ) | (338,928 | ) | (403,453 | ) | (64,902 | ) | |||||||||
Insperity, Inc. | Morgan Stanley | (1,984 | ) | (143,170 | ) | (161,537 | ) | (22,620 | ) | |||||||||
Knoll, Inc. | Morgan Stanley | (767 | ) | (10,856 | ) | (11,260 | ) | (404 | ) | |||||||||
Korn Ferry | Morgan Stanley | (714 | ) | (31,463 | ) | (31,059 | ) | 380 | ||||||||||
MSA Safety, Inc. | Morgan Stanley | (1,756 | ) | (251,707 | ) | (262,329 | ) | (11,275 | ) | |||||||||
Pitney Bowes, Inc. | Morgan Stanley | (1,035 | ) | (6,375 | ) | (6,376 | ) | 4 | ||||||||||
US Ecology, Inc. | Morgan Stanley | (24,954 | ) | (875,437 | ) | (906,579 | ) | (32,134 | ) | |||||||||
Viad Corp. | Morgan Stanley | (930 | ) | (31,533 | ) | (33,638 | ) | (2,129 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||||
(64,599 | ) | (3,043,846 | ) | (3,205,426 | ) | (170,235 | ) | |||||||||||
|
|
|
|
|
|
|
|
25
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||
Consumer Durables & Apparel | ||||||||||||||||||||
Acushnet Holdings Corp. | Morgan Stanley | (5,012 | ) | $ | (178,257 | ) | $ | (203,186 | ) | $ | (28,029 | ) | ||||||||
Callaway Golf Co. | Morgan Stanley | (38,553 | ) | (783,806 | ) | (925,658 | ) | (155,017 | ) | |||||||||||
Canada Goose Holdings, Inc. (Canada) . | Morgan Stanley | (35,803 | ) | (1,242,535 | ) | (1,065,855 | ) | 175,573 | ||||||||||||
Columbia Sportswear Co. | Morgan Stanley | (6,861 | ) | (590,411 | ) | (599,514 | ) | (9,768 | ) | |||||||||||
GoPro, Inc., Class A | Morgan Stanley | (30,972 | ) | (163,996 | ) | (256,448 | ) | (104,140 | ) | |||||||||||
Lululemon Athletica, Inc. | Morgan Stanley | (3,394 | ) | (1,273,413 | ) | (1,181,214 | ) | 97,142 | ||||||||||||
Malibu Boats, Inc., Class A | Morgan Stanley | (4,587 | ) | (261,388 | ) | (286,412 | ) | (25,545 | ) | |||||||||||
Oxford Industries, Inc. | Morgan Stanley | (6,240 | ) | (307,479 | ) | (408,782 | ) | (102,734 | ) | |||||||||||
Purple Innovation, Inc. | Morgan Stanley | (2,793 | ) | (91,037 | ) | (92,001 | ) | (1,057 | ) | |||||||||||
Ralph Lauren Corp. | Morgan Stanley | (3,199 | ) | (247,134 | ) | (331,864 | ) | (85,001 | ) | |||||||||||
Skechers U.S.A., Inc., Class A | Morgan Stanley | (56,383 | ) | (1,850,638 | ) | (2,026,405 | ) | (177,878 | ) | |||||||||||
Tapestry, Inc. | Morgan Stanley | (13,997 | ) | (293,030 | ) | (435,027 | ) | (142,321 | ) | |||||||||||
Under Armour, Inc., Class C | Morgan Stanley | (60,478 | ) | (639,742 | ) | (899,913 | ) | (267,780 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(268,272 | ) | (7,922,866 | ) | (8,712,279 | ) | (826,555 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Consumer Services | ||||||||||||||||||||
Aramark | Morgan Stanley | (29,483 | ) | (1,080,421 | ) | (1,134,506 | ) | (61,197 | ) | |||||||||||
Bright Horizons Family Solutions, Inc. | Morgan Stanley | (9,595 | ) | (1,510,049 | ) | (1,659,839 | ) | (151,510 | ) | |||||||||||
Caesars Entertainment, Inc. | Morgan Stanley | (21,178 | ) | (1,371,132 | ) | (1,572,890 | ) | (210,119 | ) | |||||||||||
Carnival Corp. (Panama) | Morgan Stanley | (27,917 | ) | (586,919 | ) | (604,682 | ) | (18,424 | ) | |||||||||||
Cheesecake Factory, Inc. (The) | Morgan Stanley | (28,414 | ) | (737,912 | ) | (1,053,023 | ) | (315,945 | ) | |||||||||||
Chegg, Inc. | Morgan Stanley | (5,659 | ) | (438,550 | ) | (511,177 | ) | (87,797 | ) | |||||||||||
Churchill Downs, Inc. | Morgan Stanley | (2,748 | ) | (459,483 | ) | (535,283 | ) | (77,460 | ) | |||||||||||
Cracker Barrel Old Country Store, Inc. | Morgan Stanley | (10,757 | ) | (1,338,573 | ) | (1,419,063 | ) | (82,014 | ) | |||||||||||
Dave & Buster’s Entertainment, Inc. | Morgan Stanley | (68,206 | ) | (1,042,252 | ) | (2,047,544 | ) | (1,021,423 | ) | |||||||||||
Denny’s Corp. | Morgan Stanley | (38,865 | ) | (474,051 | ) | (570,538 | ) | (97,018 | ) | |||||||||||
Everi Holdings, Inc. | Morgan Stanley | (15,157 | ) | (90,438 | ) | (209,318 | ) | (118,971 | ) | |||||||||||
frontdoor, Inc. | Morgan Stanley | (3,057 | ) | (153,217 | ) | (153,492 | ) | (452 | ) | |||||||||||
International Game Technology PLC | ||||||||||||||||||||
(United Kingdom) | Morgan Stanley | (7,559 | ) | (90,851 | ) | (128,049 | ) | (37,585 | ) | |||||||||||
Las Vegas Sands Corp. | Morgan Stanley | (7,749 | ) | (388,141 | ) | (461,840 | ) | (74,133 | ) | |||||||||||
Monarch Casino & Resort, Inc. | Morgan Stanley | (5,184 | ) | (180,992 | ) | (317,364 | ) | (137,093 | ) | |||||||||||
Planet Fitness, Inc., Class A | Morgan Stanley | (78 | ) | (6,023 | ) | (6,055 | ) | (43 | ) | |||||||||||
Starbucks Corp. | Morgan Stanley | (547 | ) | (58,201 | ) | (58,518 | ) | (372 | ) | |||||||||||
Stride, Inc. | Morgan Stanley | (40,013 | ) | (1,853,785 | ) | (849,476 | ) | 1,002,293 | ||||||||||||
WW International, Inc. | Morgan Stanley | (4,422 | ) | (139,112 | ) | (107,897 | ) | 35,432 | ||||||||||||
Wynn Resorts Ltd. | Morgan Stanley | (4,309 | ) | (348,747 | ) | (486,184 | ) | (137,826 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(330,897 | ) | (12,348,849 | ) | (13,886,738 | ) | (1,591,657 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Diversified Financials | ||||||||||||||||||||
CME Group, Inc. | Morgan Stanley | (5,882 | ) | (1,072,225 | ) | (1,070,818 | ) | (30,041 | ) | |||||||||||
Franklin Resources, Inc. | Morgan Stanley | (44,601 | ) | (1,081,391 | ) | (1,114,579 | ) | (45,776 | ) | |||||||||||
Intercontinental Exchange, Inc. | Morgan Stanley | (22,684 | ) | (2,331,807 | ) | (2,615,238 | ) | (292,747 | ) | |||||||||||
WisdomTree Investments, Inc. | Morgan Stanley | (2,503 | ) | (13,427 | ) | (13,391 | ) | 33 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(75,670 | ) | (4,498,850 | ) | (4,814,026 | ) | (368,531 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Energy | ||||||||||||||||||||
Cabot Oil & Gas Corp. | Morgan Stanley | (56,477 | ) | (1,082,127 | ) | (919,446 | ) | 155,107 |
26
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||
Energy — (continued) | ||||||||||||||||||||
Cameco Corp. (Canada) | Morgan Stanley | (1,402 | ) | $ | (17,197 | ) | $ | (18,787 | ) | $ | (1,614 | ) | ||||||||
ChampionX Corp. | Morgan Stanley | (65,431 | ) | (591,418 | ) | (1,001,094 | ) | (417,657 | ) | |||||||||||
CNX Resources Corp. | Morgan Stanley | (74,910 | ) | (823,266 | ) | (809,028 | ) | 13,306 | ||||||||||||
Delek US Holdings, Inc. | Morgan Stanley | (126,145 | ) | (2,318,545 | ) | (2,027,150 | ) | 252,091 | ||||||||||||
Dril-Quip, Inc. | Morgan Stanley | (13,419 | ) | (410,551 | ) | (397,471 | ) | 12,503 | ||||||||||||
Exxon Mobil Corp. | Morgan Stanley | (10,936 | ) | (451,132 | ) | (450,782 | ) | (155 | ) | |||||||||||
Hess Corp. | Morgan Stanley | (5,635 | ) | (287,610 | ) | (297,472 | ) | (13,582 | ) | |||||||||||
HollyFrontier Corp. | Morgan Stanley | (3,291 | ) | (84,092 | ) | (85,072 | ) | (1,064 | ) | |||||||||||
Liberty Oilfield Services, Inc., Class A | Morgan Stanley | (15,550 | ) | (149,742 | ) | (160,321 | ) | (10,737 | ) | |||||||||||
Marathon Oil Corp. | Morgan Stanley | (19,094 | ) | (136,279 | ) | (127,357 | ) | 8,778 | ||||||||||||
National Energy Services Reunited | ||||||||||||||||||||
Corp. (British Virgin Islands) | Morgan Stanley | (105 | ) | (1,013 | ) | (1,043 | ) | (18 | ) | |||||||||||
NexTier Oilfield Solutions, Inc. | Morgan Stanley | (45,902 | ) | (126,231 | ) | (157,903 | ) | (31,805 | ) | |||||||||||
ONEOK, Inc. | Morgan Stanley | (10,495 | ) | (309,870 | ) | (402,798 | ) | (103,592 | ) | |||||||||||
Ovintiv, Inc. | Morgan Stanley | (22,783 | ) | (273,365 | ) | (327,164 | ) | (60,302 | ) | |||||||||||
PDC Energy, Inc. | Morgan Stanley | (17,553 | ) | (273,651 | ) | (360,363 | ) | (87,532 | ) | |||||||||||
Pembina Pipeline Corp. (Canada) | Morgan Stanley | (83,648 | ) | (2,063,460 | ) | (1,979,112 | ) | 30,042 | ||||||||||||
RPC, Inc. | Morgan Stanley | (94,946 | ) | (312,372 | ) | (299,080 | ) | 12,976 | ||||||||||||
SFL Corp. Ltd. (Bermuda) | Morgan Stanley | (19,903 | ) | (172,660 | ) | (124,991 | ) | 39,877 | ||||||||||||
Southwestern Energy Co. | Morgan Stanley | (763,804 | ) | (1,996,892 | ) | (2,276,136 | ) | (281,522 | ) | |||||||||||
Suncor Energy, Inc. (Canada) | Morgan Stanley | (48,027 | ) | (823,292 | ) | (805,893 | ) | 3,469 | ||||||||||||
TC Energy Corp. (Canada) | Morgan Stanley | (38,696 | ) | (1,650,139 | ) | (1,575,701 | ) | 41,343 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(1,538,152 | ) | (14,354,904 | ) | (14,604,164 | ) | (440,088 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Food & Staples Retailing | ||||||||||||||||||||
Chefs’ Warehouse, Inc. (The) | Morgan Stanley | (1,996 | ) | (50,144 | ) | (51,277 | ) | (1,178 | ) | |||||||||||
Grocery Outlet Holding Corp. | Morgan Stanley | (66,474 | ) | (2,703,462 | ) | (2,609,105 | ) | 91,268 | ||||||||||||
Performance Food Group Co. | Morgan Stanley | (27,420 | ) | (851,647 | ) | (1,305,466 | ) | (458,040 | ) | |||||||||||
Rite Aid Corp. | Morgan Stanley | (35,996 | ) | (458,010 | ) | (569,817 | ) | (112,319 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(131,886 | ) | (4,063,263 | ) | (4,535,665 | ) | (480,269 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||||||
Beyond Meat, Inc. | Morgan Stanley | (34,051 | ) | (4,437,949 | ) | (4,256,375 | ) | 176,495 | ||||||||||||
Calavo Growers, Inc. | Morgan Stanley | (8,368 | ) | (520,500 | ) | (580,990 | ) | (70,643 | ) | |||||||||||
Darling Ingredients, Inc. | Morgan Stanley | (1,265 | ) | (72,167 | ) | (72,965 | ) | (869 | ) | |||||||||||
Hormel Foods Corp. | Morgan Stanley | (23,679 | ) | (1,120,756 | ) | (1,103,678 | ) | 17,157 | ||||||||||||
Hostess Brands, Inc. | Morgan Stanley | (16,978 | ) | (215,558 | ) | (248,558 | ) | (33,235 | ) | |||||||||||
J&J Snack Foods Corp. | Morgan Stanley | (5,617 | ) | (793,497 | ) | (872,713 | ) | (84,682 | ) | |||||||||||
Lancaster Colony Corp. | Morgan Stanley | (23 | ) | (4,163 | ) | (4,226 | ) | (55 | ) | |||||||||||
MGP Ingredients, Inc. | Morgan Stanley | (11,445 | ) | (438,099 | ) | (538,602 | ) | (104,375 | ) | |||||||||||
Pilgrim’s Pride Corp. | Morgan Stanley | (53,425 | ) | (866,918 | ) | (1,047,664 | ) | (184,298 | ) | |||||||||||
Primo Water Corp. (Canada) | Morgan Stanley | (11,601 | ) | (162,646 | ) | (181,904 | ) | (22,454 | ) | |||||||||||
Sanderson Farms, Inc. | Morgan Stanley | (7,486 | ) | (857,443 | ) | (989,649 | ) | (143,719 | ) | |||||||||||
Simply Good Foods Co. (The) | Morgan Stanley | (17,367 | ) | (449,070 | ) | (544,629 | ) | (96,062 | ) | |||||||||||
Sunopta, Inc. (Canada) | Morgan Stanley | (100 | ) | (1,158 | ) | (1,167 | ) | 2 | ||||||||||||
Universal Corp. | Morgan Stanley | (7,603 | ) | (324,214 | ) | (369,582 | ) | (50,802 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(199,008 | ) | (10,264,138 | ) | (10,812,702 | ) | (597,540 | ) | |||||||||||||
|
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|
|
|
|
27
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||
Health Care Equipment & Services | ||||||||||||||||||||
ABIOMED, Inc. | Morgan Stanley | (1,064 | ) | $ | (339,781 | ) | $ | (344,949 | ) | $ | (5,545 | ) | ||||||||
Alcon, Inc. (Switzerland) | Morgan Stanley | (1,441 | ) | (88,560 | ) | (95,077 | ) | (6,606 | ) | |||||||||||
Antares Pharma, Inc. | Morgan Stanley | (1,600 | ) | (6,327 | ) | (6,384 | ) | (52 | ) | |||||||||||
AtriCure, Inc. | Morgan Stanley | (7,189 | ) | (294,080 | ) | (400,212 | ) | (108,993 | ) | |||||||||||
Avanos Medical, Inc. | Morgan Stanley | (15,129 | ) | (489,262 | ) | (694,119 | ) | (206,060 | ) | |||||||||||
Axogen, Inc. | Morgan Stanley | (30,780 | ) | (370,437 | ) | (550,962 | ) | (181,714 | ) | |||||||||||
BioTelemetry, Inc. | Morgan Stanley | (12,023 | ) | (557,357 | ) | (866,618 | ) | (309,887 | ) | |||||||||||
Cantel Medical Corp. | Morgan Stanley | (2,807 | ) | (159,382 | ) | (221,360 | ) | (68,628 | ) | |||||||||||
Cardiovascular Systems, Inc. | Morgan Stanley | (7,618 | ) | (232,231 | ) | (333,364 | ) | (102,463 | ) | |||||||||||
Castle Biosciences, Inc. | Morgan Stanley | (2,455 | ) | (137,695 | ) | (164,853 | ) | (27,303 | ) | |||||||||||
CorVel Corp. | Morgan Stanley | (43 | ) | (4,482 | ) | (4,558 | ) | (69 | ) | |||||||||||
Covetrus, Inc. | Morgan Stanley | (22,167 | ) | (611,629 | ) | (637,080 | ) | (26,140 | ) | |||||||||||
CryoLife, Inc. | Morgan Stanley | (2,476 | ) | (53,160 | ) | (58,458 | ) | (5,347 | ) | |||||||||||
DexCom, Inc. | Morgan Stanley | (411 | ) | (145,174 | ) | (151,955 | ) | (6,935 | ) | |||||||||||
Edwards Lifesciences Corp. | Morgan Stanley | (23,295 | ) | (1,907,752 | ) | (2,125,203 | ) | (219,627 | ) | |||||||||||
Encompass Health Corp. | Morgan Stanley | (6,184 | ) | (490,602 | ) | (511,355 | ) | (25,308 | ) | |||||||||||
Evolent Health, Inc., Class A | Morgan Stanley | (7,024 | ) | (73,682 | ) | (112,595 | ) | (40,084 | ) | |||||||||||
Fulgent Genetics, Inc. | Morgan Stanley | (12,949 | ) | (617,671 | ) | (674,643 | ) | (57,668 | ) | |||||||||||
Glaukos Corp. | Morgan Stanley | (8,295 | ) | (340,842 | ) | (624,282 | ) | (288,581 | ) | |||||||||||
Globus Medical, Inc., Class A | Morgan Stanley | (3,325 | ) | (214,368 | ) | (216,857 | ) | (2,722 | ) | |||||||||||
Guardant Health, Inc. | Morgan Stanley | (6,081 | ) | (663,847 | ) | (783,719 | ) | (120,622 | ) | |||||||||||
Haemonetics Corp. | Morgan Stanley | (16,216 | ) | (1,601,696 | ) | (1,925,650 | ) | (325,779 | ) | |||||||||||
HealthEquity, Inc. | Morgan Stanley | (11,739 | ) | (750,120 | ) | (818,326 | ) | (76,267 | ) | |||||||||||
HealthStream, Inc. | Morgan Stanley | (178 | ) | (3,885 | ) | (3,888 | ) | 6 | ||||||||||||
Henry Schein, Inc. | Morgan Stanley | (6,331 | ) | (434,159 | ) | (423,291 | ) | 11,114 | ||||||||||||
Inari Medical, Inc. | Morgan Stanley | (951 | ) | (81,117 | ) | (83,013 | ) | (1,976 | ) | |||||||||||
Integra LifeSciences Holdings Corp. | Morgan Stanley | (12,503 | ) | (708,215 | ) | (811,695 | ) | (104,279 | ) | |||||||||||
Intuitive Surgical, Inc. | Morgan Stanley | (791 | ) | (634,984 | ) | (647,117 | ) | (12,849 | ) | |||||||||||
Lantheus Holdings, Inc | Morgan Stanley | (6,206 | ) | (83,654 | ) | (83,719 | ) | (149 | ) | |||||||||||
.LHC Group, Inc. | Morgan Stanley | (1,229 | ) | (238,559 | ) | (262,170 | ) | (25,265 | ) | |||||||||||
LivaNova PLC (United Kingdom) | Morgan Stanley | (23,063 | ) | (1,300,791 | ) | (1,527,001 | ) | (229,275 | ) | |||||||||||
Masimo Corp. | Morgan Stanley | (398 | ) | (107,633 | ) | (106,815 | ) | 732 | ||||||||||||
Mesa Laboratories, Inc | Morgan Stanley | (2,290 | ) | (536,026 | ) | (656,406 | ) | (122,066 | ) | |||||||||||
.NuVasive, Inc. | Morgan Stanley | (8,271 | ) | (447,290 | ) | (465,905 | ) | (19,116 | ) | |||||||||||
Ontrak, Inc. | Morgan Stanley | (3,041 | ) | (157,487 | ) | (187,903 | ) | (30,584 | ) | |||||||||||
OraSure Technologies, Inc. | Morgan Stanley | (62,209 | ) | (803,966 | ) | (658,482 | ) | 144,574 | ||||||||||||
OrthoPediatrics Corp. | Morgan Stanley | (1,323 | ) | (59,135 | ) | (54,574 | ) | 4,506 | ||||||||||||
Pennant Group, Inc. (The) | Morgan Stanley | (1,783 | ) | (95,676 | ) | (103,521 | ) | (7,942 | ) | |||||||||||
Penumbra, Inc. | Morgan Stanley | (634 | ) | (131,358 | ) | (110,950 | ) | 20,270 | ||||||||||||
PetIQ, Inc. | Morgan Stanley | (34,989 | ) | (1,267,377 | ) | (1,345,327 | ) | (79,653 | ) | |||||||||||
Phreesia, Inc. | Morgan Stanley | (3,702 | ) | (117,667 | ) | (200,871 | ) | (89,697 | ) | |||||||||||
RadNet, Inc. | Morgan Stanley | (26,392 | ) | (425,954 | ) | (516,491 | ) | (91,138 | ) | |||||||||||
Silk Road Medical, Inc. | Morgan Stanley | (5,414 | ) | (319,478 | ) | (340,974 | ) | (21,850 | ) | |||||||||||
Simulations Plus, Inc. | Morgan Stanley | (1,679 | ) | (114,947 | ) | (120,754 | ) | (5,926 | ) | |||||||||||
.SmileDirectClub, Inc. | Morgan Stanley | (95,205 | ) | (1,108,460 | ) | (1,136,748 | ) | (32,300 | ) | |||||||||||
STAAR Surgical Co. | Morgan Stanley | (7,936 | ) | (459,307 | ) | (628,690 | ) | (170,635 | ) | |||||||||||
Surgery Partners, Inc. | Morgan Stanley | (7,243 | ) | (193,045 | ) | (210,119 | ) | (17,283 | ) |
28
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||
Health Care Equipment & Services — (continued) |
| |||||||||||||||||
Tabula Rasa HealthCare, Inc. | Morgan Stanley | (29,642 | ) | $ | (1,558,666 | ) | $ | (1,269,863 | ) | $ | 287,027 | |||||||
Tactile Systems Technology, Inc. | Morgan Stanley | (10,230 | ) | (381,959 | ) | (459,736 | ) | (78,202 | ) | |||||||||
Tandem Diabetes Care, Inc. | Morgan Stanley | (2,550 | ) | (247,026 | ) | (243,984 | ) | 2,771 | ||||||||||
Teleflex, Inc. | Morgan Stanley | (3,245 | ) | (1,268,339 | ) | (1,335,545 | ) | (68,648 | ) | |||||||||
US Physical Therapy, Inc. | Morgan Stanley | (13 | ) | (1,567 | ) | (1,563 | ) | 14 | ||||||||||
Vapotherm, Inc. | Morgan Stanley | (13,077 | ) | (358,985 | ) | (351,248 | ) | 7,338 | ||||||||||
Varex Imaging Corp. | Morgan Stanley | (8,072 | ) | (114,098 | ) | (134,641 | ) | (20,789 | ) | |||||||||
Vocera Communications, Inc. | Morgan Stanley | (8,060 | ) | (191,989 | ) | (334,732 | ) | (146,876 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||||
(590,961 | ) | (24,102,936 | ) | (27,140,315 | ) | (3,110,546 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||
Household & Personal Products | ||||||||||||||||||
BellRing Brands, Inc., Class A | Morgan Stanley | (5,091 | ) | (105,780 | ) | (123,762 | ) | (19,156 | ) | |||||||||
Central Garden & Pet Co., Class A | Morgan Stanley | (7,471 | ) | (256,629 | ) | (271,421 | ) | (15,402 | ) | |||||||||
Coty, Inc., Class A | Morgan Stanley | (24,660 | ) | (88,822 | ) | (173,113 | ) | (84,762 | ) | |||||||||
Reynolds Consumer Products, Inc. | Morgan Stanley | (3,636 | ) | (121,402 | ) | (109,225 | ) | 11,993 | ||||||||||
Spectrum Brands Holdings, Inc. | Morgan Stanley | (1,702 | ) | (129,000 | ) | (134,424 | ) | (5,560 | ) | |||||||||
WD-40 Co. | Morgan Stanley | (2,671 | ) | (524,341 | ) | (709,631 | ) | (192,626 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||||
(45,231 | ) | (1,225,974 | ) | (1,521,576 | ) | (305,513 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||
Materials | ||||||||||||||||||
Air Products & Chemicals, Inc. | Morgan Stanley | (2,083 | ) | (574,098 | ) | (569,117 | ) | 1,544 | ||||||||||
Alamos Gold, Inc., Class A (Canada) | Morgan Stanley | (77,312 | ) | (811,555 | ) | (676,480 | ) | 135,749 | ||||||||||
Albemarle Corp. | Morgan Stanley | (1,844 | ) | (173,172 | ) | (272,027 | ) | (99,973 | ) | |||||||||
Amyris, Inc. | Morgan Stanley | (70,018 | ) | (247,039 | ) | (432,361 | ) | (185,593 | ) | |||||||||
Balchem Corp | Morgan Stanley | (2,650 | ) | (271,925 | ) | (305,333 | ) | (35,192 | ) | |||||||||
.Cleveland-Cliffs, Inc. | Morgan Stanley | (71,254 | ) | (418,553 | ) | (1,037,458 | ) | (665,882 | ) | |||||||||
Eagle Materials, Inc. | Morgan Stanley | (1,418 | ) | (119,761 | ) | (143,714 | ) | (24,976 | ) | |||||||||
Equinox Gold Corp. (Canada) | Morgan Stanley | (109,443 | ) | (1,261,748 | ) | (1,131,641 | ) | 128,672 | ||||||||||
Fortuna Silver Mines, Inc. (Canada) | Morgan Stanley | (87,860 | ) | (563,284 | ) | (723,966 | ) | (166,070 | ) | |||||||||
Glatfelter Corp. | Morgan Stanley | (1,217 | ) | (20,158 | ) | (19,934 | ) | 52 | ||||||||||
Graphic Packaging Holding Co. | Morgan Stanley | (49,565 | ) | (719,045 | ) | (839,631 | ) | (127,294 | ) | |||||||||
H.B. Fuller Co. | Morgan Stanley | (7,807 | ) | (362,253 | ) | (405,027 | ) | (46,225 | ) | |||||||||
Hudbay Minerals, Inc. (Canada) | Morgan Stanley | (18,113 | ) | (62,309 | ) | (126,791 | ) | (65,859 | ) | |||||||||
Kirkland Lake Gold Ltd. (Canada) | Morgan Stanley | (54,892 | ) | (2,372,819 | ) | (2,265,393 | ) | 92,586 | ||||||||||
Kronos Worldwide, Inc. | Morgan Stanley | (964 | ) | (13,973 | ) | (14,373 | ) | (437 | ) | |||||||||
Livent Corp. | Morgan Stanley | (89,362 | ) | (629,108 | ) | (1,683,580 | ) | (1,111,257 | ) | |||||||||
Materion Corp. | Morgan Stanley | (205 | ) | (12,671 | ) | (13,063 | ) | (393 | ) | |||||||||
Methanex Corp. (Canada) | Morgan Stanley | (29,032 | ) | (577,471 | ) | (1,337,795 | ) | (770,134 | ) | |||||||||
Myers Industries, Inc. | Morgan Stanley | (356 | ) | (7,012 | ) | (7,398 | ) | (381 | ) | |||||||||
Novagold Resources, Inc. (Canada) | Morgan Stanley | (45,205 | ) | (488,335 | ) | (437,132 | ) | 50,655 | ||||||||||
Nutrien Ltd. (Canada) | Morgan Stanley | (18,793 | ) | (904,140 | ) | (905,071 | ) | (13,731 | ) | |||||||||
Olin Corp. | Morgan Stanley | (33,245 | ) | (465,639 | ) | (816,497 | ) | (381,433 | ) | |||||||||
PQ Group Holdings, Inc. | Morgan Stanley | (183 | ) | (2,623 | ) | (2,610 | ) | 23 | ||||||||||
Quaker Chemical Corp. | Morgan Stanley | (3,094 | ) | (639,346 | ) | (783,989 | ) | (151,213 | ) | |||||||||
Schnitzer Steel Industries, Inc., Class A | Morgan Stanley | (1,137 | ) | (34,151 | ) | (36,282 | ) | (2,157 | ) | |||||||||
Schweitzer-Mauduit International, Inc. | Morgan Stanley | (26 | ) | (1,045 | ) | (1,045 | ) | 11 | ||||||||||
Seabridge Gold, Inc. (Canada) | Morgan Stanley | (5,784 | ) | (109,937 | ) | (121,869 | ) | (12,072 | ) | |||||||||
Steel Dynamics, Inc. | Morgan Stanley | (31,861 | ) | (1,066,551 | ) | (1,174,715 | ) | (123,874 | ) |
29
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||
Materials — (continued) | ||||||||||||||||||||
Teck Resources Ltd., Class B (Canada) | Morgan Stanley | (36,987 | ) | $ | (563,342 | ) | $ | (671,314 | ) | $ | (109,867 | ) | ||||||||
Tronox Holdings PLC, Class A (United | ||||||||||||||||||||
Kingdom) | Morgan Stanley | (77,924 | ) | (598,251 | ) | (1,139,249 | ) | (557,699 | ) | |||||||||||
United States Steel Corp. | Morgan Stanley | (16,638 | ) | (136,792 | ) | (279,019 | ) | (157,303 | ) | |||||||||||
Warrior Met Coal, Inc, | Morgan Stanley | (52,949 | ) | (866,539 | ) | (1,128,873 | ) | (267,108 | ) | |||||||||||
Westlake Chemical Corp, | Morgan Stanley | (6,108 | ) | (431,754 | ) | (498,413 | ) | (68,848 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(1,005,329 | ) | (15,526,399 | ) | (20,001,160 | ) | (4,735,679 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Media & Entertainment | ||||||||||||||||||||
ANGI Homeservices, Inc., Class A | Morgan Stanley | (108,256 | ) | (1,248,595 | ) | (1,428,438 | ) | (181,263 | ) | |||||||||||
Cars.Com, Inc, | Morgan Stanley | (16,553 | ) | (184,467 | ) | (187,049 | ) | (2,781 | ) | |||||||||||
Cinemark Holdings, Inc, | Morgan Stanley | (132,067 | ) | (1,725,337 | ) | (2,299,286 | ) | (600,313 | ) | |||||||||||
EW Scripps Co. (The), Class A | Morgan Stanley | (6,557 | ) | (68,390 | ) | (100,257 | ) | (33,612 | ) | |||||||||||
Glu Mobile, Inc, | Morgan Stanley | (123,956 | ) | (1,059,847 | ) | (1,116,844 | ) | (64,538 | ) | |||||||||||
iHeartMedia, Inc., Class A | Morgan Stanley | (15,127 | ) | (137,692 | ) | (196,348 | ) | (59,602 | ) | |||||||||||
Live Nation Entertainment, Inc, | Morgan Stanley | (17,775 | ) | (1,138,438 | ) | (1,306,107 | ) | (168,963 | ) | |||||||||||
Loral Space & Communications, Inc, | Morgan Stanley | (41 | ) | (864 | ) | (861 | ) | 48 | ||||||||||||
New York Times Co. (The), Class A | Morgan Stanley | (13,175 | ) | (659,543 | ) | (682,070 | ) | (23,271 | ) | |||||||||||
Scholastic Corp, | Morgan Stanley | (368 | ) | (8,954 | ) | (9,200 | ) | (243 | ) | |||||||||||
Sinclair Broadcast Group, Inc., Class A | Morgan Stanley | (8,717 | ) | (176,601 | ) | (277,636 | ) | (107,295 | ) | |||||||||||
TripAdvisor, Inc, | Morgan Stanley | (89,842 | ) | (1,980,738 | ) | (2,585,653 | ) | (607,175 | ) | |||||||||||
WideOpenWest, Inc, | Morgan Stanley | (479 | ) | (4,919 | ) | (5,111 | ) | (185 | ) | |||||||||||
Yelp, Inc, | Morgan Stanley | (13,417 | ) | (310,764 | ) | (438,333 | ) | (138,086 | ) | |||||||||||
Zynga, Inc., Class A | Morgan Stanley | (325,668 | ) | (2,752,438 | ) | (3,214,343 | ) | (465,051 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(871,998 | ) | (11,457,587 | ) | (13,847,536 | ) | (2,452,330 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||||||
10X Genomics, Inc., Class A | Morgan Stanley | (12,027 | ) | (1,708,437 | ) | (1,703,023 | ) | 3,467 | ||||||||||||
Adaptive Biotechnologies Corp, | Morgan Stanley | (17,829 | ) | (763,270 | ) | (1,054,229 | ) | (295,088 | ) | |||||||||||
Adverum Biotechnologies, Inc, | Morgan Stanley | (1,240 | ) | (14,555 | ) | (13,442 | ) | 1,109 | ||||||||||||
Agios Pharmaceuticals, Inc, | Morgan Stanley | (1,603 | ) | (57,770 | ) | (69,458 | ) | (14,031 | ) | |||||||||||
Akero Therapeutics, Inc, | Morgan Stanley | (79 | ) | (2,010 | ) | (2,038 | ) | (22 | ) | |||||||||||
Alector, Inc, | Morgan Stanley | (22,290 | ) | (496,853 | ) | (337,248 | ) | 159,048 | ||||||||||||
Allogene Therapeutics, Inc, | Morgan Stanley | (7,413 | ) | (218,401 | ) | (187,104 | ) | 31,059 | ||||||||||||
Alnylam Pharmaceuticals, Inc, | Morgan Stanley | (40 | ) | (5,291 | ) | (5,199 | ) | 185 | ||||||||||||
Amneal Pharmaceuticals, Inc, | Morgan Stanley | (13,688 | ) | (58,122 | ) | (62,554 | ) | (4,486 | ) | |||||||||||
Arcturus Therapeutics Holdings, Inc, | Morgan Stanley | (4,970 | ) | (259,041 | ) | (215,599 | ) | 43,158 | ||||||||||||
Arrowhead Pharmaceuticals, Inc, | Morgan Stanley | (5,583 | ) | (392,735 | ) | (428,384 | ) | (38,195 | ) | |||||||||||
Arvinas, Inc, | Morgan Stanley | (23,840 | ) | (738,086 | ) | (2,024,731 | ) | (1,322,234 | ) | |||||||||||
Athenex, Inc, | Morgan Stanley | (391 | ) | (4,387 | ) | (4,324 | ) | 54 | ||||||||||||
Aurinia Pharmaceuticals, Inc. (Canada) | Morgan Stanley | (27,020 | ) | (391,109 | ) | (373,687 | ) | 16,987 | ||||||||||||
Axsome Therapeutics, Inc, | Morgan Stanley | (544 | ) | (44,801 | ) | (44,320 | ) | 443 | ||||||||||||
Bausch Health Cos, Inc. (Canada) | Morgan Stanley | (15,943 | ) | (293,016 | ) | (331,614 | ) | (41,701 | ) | |||||||||||
Bruker Corp, | Morgan Stanley | (12,163 | ) | (601,580 | ) | (658,383 | ) | (59,730 | ) | |||||||||||
Codexis, Inc, | Morgan Stanley | (28,384 | ) | (342,879 | ) | (619,623 | ) | (279,293 | ) | |||||||||||
Deciphera Pharmaceuticals, Inc, | Morgan Stanley | (220 | ) | (12,524 | ) | (12,555 | ) | (44 | ) | |||||||||||
Elanco Animal Health, Inc, | Morgan Stanley | (87,007 | ) | (2,614,333 | ) | (2,668,505 | ) | (57,158 | ) | |||||||||||
Eli Lilly & Co, | Morgan Stanley | (14,198 | ) | (2,338,113 | ) | (2,397,190 | ) | (63,315 | ) |
30
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||||||||||||
Epizyme, Inc. | Morgan Stanley | (16,402 | ) | $ | (227,316 | ) | $ | (178,126 | ) | $ | 48,942 | |||||||||
Esperion Therapeutics, Inc. | Morgan Stanley | (337 | ) | (9,251 | ) | (8,762 | ) | 483 | ||||||||||||
Global Blood Therapeutics, Inc. | Morgan Stanley | (5,686 | ) | (251,051 | ) | (246,261 | ) | 4,514 | ||||||||||||
Insmed, Inc. | Morgan Stanley | (1,872 | ) | (64,844 | ) | (62,319 | ) | 2,463 | ||||||||||||
Intersect ENT, Inc. | Morgan Stanley | (10,395 | ) | (182,224 | ) | (238,046 | ) | (56,958 | ) | |||||||||||
Ionis Pharmaceuticals, Inc. | Morgan Stanley | (4,906 | ) | (281,236 | ) | (277,385 | ) | 3,541 | ||||||||||||
Jazz Pharmaceuticals PLC (Ireland) | Morgan Stanley | (134 | ) | (21,988 | ) | (22,117 | ) | (141 | ) | |||||||||||
Karyopharm Therapeutics, Inc. | Morgan Stanley | (106 | ) | (1,582 | ) | (1,641 | ) | (150 | ) | |||||||||||
Madrigal Pharmaceuticals, Inc. | Morgan Stanley | (678 | ) | (80,731 | ) | (75,373 | ) | 5,278 | ||||||||||||
Medpace Holdings, Inc. | Morgan Stanley | (1,093 | ) | (156,146 | ) | (152,146 | ) | 3,835 | ||||||||||||
Myriad Genetics, Inc. | Morgan Stanley | (7,782 | ) | (99,574 | ) | (153,889 | ) | (58,585 | ) | |||||||||||
NanoString Technologies, Inc. | Morgan Stanley | (9,464 | ) | (344,526 | ) | (632,952 | ) | (302,432 | ) | |||||||||||
NeoGenomics, Inc. | Morgan Stanley | (9,244 | ) | (340,034 | ) | (497,697 | ) | (162,161 | ) | |||||||||||
Pacific Biosciences of California, Inc. | Morgan Stanley | (10,577 | ) | (41,462 | ) | (274,367 | ) | (266,120 | ) | |||||||||||
Pacira BioSciences, Inc. | Morgan Stanley | (4,487 | ) | (278,748 | ) | (268,502 | ) | 10,667 | ||||||||||||
Perrigo Co. PLC (Ireland) | Morgan Stanley | (16,033 | ) | (775,597 | ) | (716,996 | ) | 55,843 | ||||||||||||
Phathom Pharmaceuticals, Inc. | Morgan Stanley | (360 | ) | (14,938 | ) | (11,959 | ) | 2,974 | ||||||||||||
PRA Health Sciences, Inc. | Morgan Stanley | (5,855 | ) | (618,023 | ) | (734,451 | ) | (117,125 | ) | |||||||||||
Reata Pharmaceuticals, Inc., Class A | Morgan Stanley | (10,953 | ) | (1,501,894 | ) | (1,354,010 | ) | 142,583 | ||||||||||||
REGENXBIO, Inc. | Morgan Stanley | (13,197 | ) | (482,218 | ) | (598,616 | ) | (122,561 | ) | |||||||||||
Seres Therapeutics, Inc. | Morgan Stanley | (4,170 | ) | (104,933 | ) | (102,165 | ) | 2,660 | ||||||||||||
Theravance Biopharma, Inc. (Cayman Islands) | Morgan Stanley | (30,177 | ) | (602,681 | ) | (536,245 | ) | 65,757 | ||||||||||||
VBI Vaccines, Inc. (Canada) | Morgan Stanley | (8,781 | ) | (25,352 | ) | (24,148 | ) | 1,187 | ||||||||||||
Vir Biotechnology, Inc. | Morgan Stanley | (12,788 | ) | (381,583 | ) | (342,463 | ) | 38,695 | ||||||||||||
Xencor, Inc. | Morgan Stanley | (5 | ) | (220 | ) | (218 | ) | 14 | ||||||||||||
Zogenix, Inc. | Morgan Stanley | (6,789 | ) | (130,819 | ) | (135,712 | ) | (5,031 | ) | |||||||||||
Zymeworks, Inc. (Canada) | Morgan Stanley | (5,264 | ) | (163,449 | ) | (248,776 | ) | (86,225 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(494,007 | ) | (18,539,733 | ) | (21,108,552 | ) | (2,707,840 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Retailing | ||||||||||||||||||||
1-800-Flowers.com, Inc., Class A | Morgan Stanley | (8,308 | ) | (216,707 | ) | (216,008 | ) | 463 | ||||||||||||
Asbury Automotive Group, Inc. | Morgan Stanley | (874 | ) | (124,459 | ) | (127,377 | ) | (3,229 | ) | |||||||||||
Burlington Stores, Inc. | Morgan Stanley | (16,291 | ) | (3,591,251 | ) | (4,260,911 | ) | (673,768 | ) | |||||||||||
CarParts.Com, Inc. | Morgan Stanley | (14,299 | ) | (221,021 | ) | (177,165 | ) | 44,655 | ||||||||||||
Carvana Co. | Morgan Stanley | (12,583 | ) | (2,815,233 | ) | (3,014,132 | ) | (202,116 | ) | |||||||||||
Children’s Place, Inc. (The) | Morgan Stanley | (28,215 | ) | (1,247,601 | ) | (1,413,572 | ) | (167,389 | ) | |||||||||||
Core-Mark Holding Co., Inc. | Morgan Stanley | (6,571 | ) | (181,010 | ) | (192,990 | ) | (13,861 | ) | |||||||||||
Floor & Decor Holdings, Inc., Class A | Morgan Stanley | (9,093 | ) | (667,518 | ) | (844,285 | ) | (177,521 | ) | |||||||||||
Grubhub, Inc. | Morgan Stanley | (9,117 | ) | (659,024 | ) | (677,120 | ) | (18,840 | ) | |||||||||||
Lithia Motors, Inc., Class A | Morgan Stanley | (3,998 | ) | (1,110,130 | ) | (1,170,095 | ) | (62,393 | ) | |||||||||||
Monro, Inc. | Morgan Stanley | (36,654 | ) | (2,261,691 | ) | (1,953,658 | ) | 293,101 | ||||||||||||
Nordstrom, Inc. | Morgan Stanley | (29,356 | ) | (494,939 | ) | (916,201 | ) | (421,817 | ) | |||||||||||
Penske Automotive Group, Inc. | Morgan Stanley | (10,494 | ) | (548,402 | ) | (623,239 | ) | (78,996 | ) | |||||||||||
PetMed Express, Inc. | Morgan Stanley | (4,502 | ) | (160,740 | ) | (144,334 | ) | 15,278 | ||||||||||||
RealReal, Inc. (The) | Morgan Stanley | (36,359 | ) | (515,321 | ) | (710,455 | ) | (198,303 | ) |
31
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||
Retailing — (continued) | ||||||||||||||||||||
Sally Beauty Holdings, Inc. | Morgan Stanley | (12,836 | ) | $ | (175,725 | ) | $ | (167,381 | ) | $ | 8,154 | |||||||||
Tiffany & Co. | Morgan Stanley | (7,875 | ) | (1,031,646 | ) | (1,035,169 | ) | (9,321 | ) | |||||||||||
Ulta Beauty, Inc. | Morgan Stanley | (3,434 | ) | (958,943 | ) | (986,107 | ) | (35,165 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(250,859 | ) | (16,981,361 | ) | (18,630,199 | ) | (1,701,068 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||||||
ACM Research, Inc., Class A | Morgan Stanley | (2,002 | ) | (177,417 | ) | (162,663 | ) | 14,543 | ||||||||||||
Advanced Energy Industries, Inc. | Morgan Stanley | (4,241 | ) | (304,589 | ) | (411,250 | ) | (113,092 | ) | |||||||||||
CEVA, Inc. | Morgan Stanley | (1,272 | ) | (50,857 | ) | (57,876 | ) | (7,064 | ) | |||||||||||
Cree, Inc. | Morgan Stanley | (14,359 | ) | (948,294 | ) | (1,520,618 | ) | (607,897 | ) | |||||||||||
Diodes, Inc. | Morgan Stanley | (4,029 | ) | (268,869 | ) | (284,045 | ) | (15,557 | ) | |||||||||||
FormFactor, Inc. | Morgan Stanley | (6,693 | ) | (217,330 | ) | (287,933 | ) | (72,746 | ) | |||||||||||
Ichor Holdings Ltd. (Cayman Islands) | Morgan Stanley | (10,216 | ) | (309,211 | ) | (307,961 | ) | 307 | ||||||||||||
MaxLinear, Inc. | Morgan Stanley | (13,008 | ) | (373,313 | ) | (496,776 | ) | (123,878 | ) | |||||||||||
ON Semiconductor Corp. | Morgan Stanley | (75,244 | ) | (2,082,214 | ) | (2,462,736 | ) | (382,899 | ) | |||||||||||
Onto Innovation, Inc. | Morgan Stanley | (10,090 | ) | (369,092 | ) | (479,780 | ) | (112,683 | ) | |||||||||||
PDF Solutions, Inc. | Morgan Stanley | (107 | ) | (2,300 | ) | (2,311 | ) | (1 | ) | |||||||||||
Photronics, Inc. | Morgan Stanley | (522 | ) | (5,783 | ) | (5,826 | ) | (36 | ) | |||||||||||
Power Integrations, Inc. | Morgan Stanley | (6,445 | ) | (467,735 | ) | (527,588 | ) | (60,745 | ) | |||||||||||
Silicon Laboratories, Inc. | Morgan Stanley | (1,622 | ) | (169,358 | ) | (206,545 | ) | (37,369 | ) | |||||||||||
SMART Global Holdings, Inc. (Cayman Islands) | Morgan Stanley | (497 | ) | (17,991 | ) | (18,702 | ) | (719 | ) | |||||||||||
Universal Display Corp. | Morgan Stanley | (6,572 | ) | (1,233,384 | ) | (1,510,246 | ) | (298,271 | ) | |||||||||||
Xilinx, Inc. | Morgan Stanley | (1,325 | ) | (201,452 | ) | (187,845 | ) | 23,632 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(158,244 | ) | (7,199,189 | ) | (8,930,701 | ) | (1,794,475 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Software & Services | ||||||||||||||||||||
8x8, Inc. | Morgan Stanley | (88,313 | ) | (1,470,006 | ) | (3,044,149 | ) | (1,636,673 | ) | |||||||||||
Alarm.com Holdings, Inc. | Morgan Stanley | (1,351 | ) | (135,236 | ) | (139,761 | ) | (4,668 | ) | |||||||||||
Altair Engineering, Inc., Class A | Morgan Stanley | (11,173 | ) | (441,555 | ) | (650,045 | ) | (214,004 | ) | |||||||||||
Alteryx, Inc., Class A | Morgan Stanley | (22,231 | ) | (2,594,074 | ) | (2,707,513 | ) | (124,282 | ) | |||||||||||
Appfolio, Inc., Class A | Morgan Stanley | (753 | ) | (131,490 | ) | (135,570 | ) | (4,218 | ) | |||||||||||
Cardtronics PLC, Class A (United Kingdom) | Morgan Stanley | (10,007 | ) | (289,558 | ) | (353,247 | ) | (64,008 | ) | |||||||||||
Ceridian HCM Holding, Inc. | Morgan Stanley | (20,806 | ) | (1,659,160 | ) | (2,217,087 | ) | (559,818 | ) | |||||||||||
CommVault Systems, Inc. | Morgan Stanley | (7,465 | ) | (305,845 | ) | (413,337 | ) | (107,830 | ) | |||||||||||
Conduent, Inc. | Morgan Stanley | (73,797 | ) | (151,284 | ) | (354,226 | ) | (207,016 | ) | |||||||||||
Digital Turbine, Inc. | Morgan Stanley | (16,152 | ) | (905,771 | ) | (913,557 | ) | (8,813 | ) | |||||||||||
DXC Technology Co. | Morgan Stanley | (53,009 | ) | (1,186,495 | ) | (1,364,982 | ) | (179,836 | ) | |||||||||||
Euronet Worldwide, Inc. | Morgan Stanley | (10,653 | ) | (1,223,270 | ) | (1,543,833 | ) | (321,954 | ) | |||||||||||
Everbridge, Inc. | Morgan Stanley | (5,238 | ) | (700,875 | ) | (780,829 | ) | (87,495 | ) | |||||||||||
Guidewire Software, Inc. | Morgan Stanley | (489 | ) | (62,576 | ) | (62,949 | ) | (433 | ) | |||||||||||
KBR, Inc. | Morgan Stanley | (3,087 | ) | (92,834 | ) | (95,481 | ) | (2,740 | ) | |||||||||||
Medallia, Inc. | Morgan Stanley | (19,142 | ) | (586,045 | ) | (635,897 | ) | (50,512 | ) | |||||||||||
New Relic, Inc. | Morgan Stanley | (34,669 | ) | (1,971,193 | ) | (2,267,353 | ) | (298,409 | ) | |||||||||||
Paycom Software, Inc. | Morgan Stanley | (2,938 | ) | (1,212,221 | ) | (1,328,711 | ) | (122,323 | ) | |||||||||||
Pegasystems, Inc. | Morgan Stanley | (5,999 | ) | (751,222 | ) | (799,427 | ) | (49,227 | ) | |||||||||||
Ping Identity Holding Corp. | Morgan Stanley | (70,669 | ) | (2,161,607 | ) | (2,023,960 | ) | 135,180 |
32
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||
Software & Services — (continued) | ||||||||||||||||||||
Pluralsight, Inc., Class A | Morgan Stanley | (21,450 | ) | $ | (350,209 | ) | $ | (449,592 | ) | $ | (99,772 | ) | ||||||||
Proofpoint, Inc. | Morgan Stanley | (5,645 | ) | (654,415 | ) | (770,034 | ) | (124,968 | ) | |||||||||||
PROS Holdings, Inc. | Morgan Stanley | (20,977 | ) | (807,218 | ) | (1,065,002 | ) | (260,889 | ) | |||||||||||
Qualys, Inc. | Morgan Stanley | (2,828 | ) | (342,449 | ) | (344,648 | ) | (2,579 | ) | |||||||||||
RealPage, Inc. | Morgan Stanley | (3,913 | ) | (342,119 | ) | (341,370 | ) | 369 | ||||||||||||
RingCentral, Inc., Class A | Morgan Stanley | (1,042 | ) | (317,318 | ) | (394,887 | ) | (77,920 | ) | |||||||||||
Sabre Corp. | Morgan Stanley | (77,301 | ) | (620,029 | ) | (929,158 | ) | (321,837 | ) | |||||||||||
Splunk, Inc. | Morgan Stanley | (18,348 | ) | (2,945,371 | ) | (3,117,142 | ) | (175,137 | ) | |||||||||||
Sprout Social, Inc., Class A | Morgan Stanley | (710 | ) | (33,407 | ) | (32,241 | ) | 1,140 | ||||||||||||
Switch, Inc., Class A | Morgan Stanley | (68,515 | ) | (1,221,460 | ) | (1,121,591 | ) | 91,654 | ||||||||||||
Tucows, Inc., Class A | Morgan Stanley | (3,851 | ) | (235,319 | ) | (284,550 | ) | (49,489 | ) | |||||||||||
Upland Software, Inc. | Morgan Stanley | (14,807 | ) | (557,425 | ) | (679,493 | ) | (122,695 | ) | |||||||||||
Verra Mobility Corp. | Morgan Stanley | (33,707 | ) | (394,971 | ) | (452,348 | ) | (57,818 | ) | |||||||||||
Yext, Inc. | Morgan Stanley | (101,631 | ) | (1,663,764 | ) | (1,597,639 | ) | 64,229 | ||||||||||||
Zuora, Inc., Class A | Morgan Stanley | (86,162 | ) | (1,003,146 | ) | (1,200,236 | ) | (204,709 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(918,828 | ) | (29,520,937 | ) | (34,611,845 | ) | (5,249,500 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Technology Hardware & Equipment | ||||||||||||||||||||
3D Systems Corp. | Morgan Stanley | (25,525 | ) | (147,914 | ) | (267,502 | ) | (119,745 | ) | |||||||||||
Ciena Corp. | Morgan Stanley | (21,241 | ) | (1,044,635 | ) | (1,122,587 | ) | (79,137 | ) | |||||||||||
Coherent, Inc. | Morgan Stanley | (2,261 | ) | (322,876 | ) | (339,195 | ) | (16,677 | ) | |||||||||||
Dolby Laboratories, Inc., Class A | Morgan Stanley | (2,373 | ) | (206,833 | ) | (230,489 | ) | (24,243 | ) | |||||||||||
Fabrinet (Cayman Islands) | Morgan Stanley | (6,880 | ) | (477,444 | ) | (533,819 | ) | (57,441 | ) | |||||||||||
Fitbit, Inc., Class A | Morgan Stanley | (21,134 | ) | (145,191 | ) | (143,711 | ) | 1,325 | ||||||||||||
Harmonic, Inc. | Morgan Stanley | (7,185 | ) | (47,847 | ) | (53,097 | ) | (5,292 | ) | |||||||||||
Infinera Corp. | Morgan Stanley | (85,210 | ) | (664,638 | ) | (893,001 | ) | (234,867 | ) | |||||||||||
Insight Enterprises, Inc. | Morgan Stanley | (17,668 | ) | (885,167 | ) | (1,344,358 | ) | (468,900 | ) | |||||||||||
IPG Photonics Corp. | Morgan Stanley | (2,077 | ) | (403,412 | ) | (464,812 | ) | (61,850 | ) | |||||||||||
Itron, Inc. | Morgan Stanley | (11,446 | ) | (802,801 | ) | (1,097,671 | ) | (295,779 | ) | |||||||||||
Knowles Corp. | Morgan Stanley | (8,626 | ) | (145,338 | ) | (158,977 | ) | (13,793 | ) | |||||||||||
Methode Electronics, Inc. | Morgan Stanley | (360 | ) | (13,678 | ) | (13,781 | ) | (106 | ) | |||||||||||
National Instruments Corp. | Morgan Stanley | (23,599 | ) | (890,616 | ) | (1,036,940 | ) | (148,978 | ) | |||||||||||
nLight, Inc. | Morgan Stanley | (29,485 | ) | (672,258 | ) | (962,685 | ) | (294,375 | ) | |||||||||||
PC Connection, Inc. | Morgan Stanley | (61 | ) | (2,829 | ) | (2,885 | ) | (46 | ) | |||||||||||
Plantronics, Inc. | Morgan Stanley | (14,307 | ) | (279,194 | ) | (386,718 | ) | (113,441 | ) | |||||||||||
Pure Storage, Inc., Class A | Morgan Stanley | (20,843 | ) | (395,776 | ) | (471,260 | ) | (75,926 | ) | |||||||||||
Rogers Corp. | Morgan Stanley | (911 | ) | (117,941 | ) | (141,469 | ) | (24,658 | ) | |||||||||||
Stratasys Ltd. (Israel) | Morgan Stanley | (55,309 | ) | (866,139 | ) | (1,146,002 | ) | (285,365 | ) | |||||||||||
Super Micro Computer, Inc. | Morgan Stanley | (7,326 | ) | (195,807 | ) | (231,941 | ) | (37,611 | ) | |||||||||||
ViaSat, Inc. | Morgan Stanley | (25,831 | ) | (923,762 | ) | (843,382 | ) | 79,333 | ||||||||||||
Viavi Solutions, Inc. | Morgan Stanley | (6,342 | ) | (94,095 | ) | (94,971 | ) | (972 | ) | |||||||||||
Western Digital Corp. | Morgan Stanley | (11,644 | ) | (576,412 | ) | (644,961 | ) | (108,026 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(407,644 | ) | (10,322,603 | ) | (12,626,214 | ) | (2,386,570 | ) | |||||||||||||
|
|
|
|
|
|
|
|
33
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||
Telecommunication Services | ||||||||||||||||||||
Boingo Wireless, Inc. | Morgan Stanley | (56,150 | ) | $ | (811,936 | ) | $ | (714,228 | ) | $ | 97,207 | |||||||||
Cogent Communications Holdings, Inc. | Morgan Stanley | (7,223 | ) | (465,188 | ) | (432,441 | ) | 26,924 | ||||||||||||
Shenandoah Telecommunications Co. | Morgan Stanley | (3,928 | ) | (194,515 | ) | (169,886 | ) | 23,532 | ||||||||||||
United States Cellular Corp. | Morgan Stanley | (5,765 | ) | (177,833 | ) | (176,928 | ) | 713 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(73,066 | ) | (1,649,472 | ) | (1,493,483 | ) | 148,376 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Transportation | ||||||||||||||||||||
Air Transport Services Group, Inc. | Morgan Stanley | (28,886 | ) | (696,441 | ) | (905,287 | ) | (211,460 | ) | |||||||||||
Allegiant Travel Co. | Morgan Stanley | (1,731 | ) | (196,968 | ) | (327,574 | ) | (136,647 | ) | |||||||||||
Hawaiian Holdings, Inc. | Morgan Stanley | (27,077 | ) | (366,613 | ) | (479,263 | ) | (114,728 | ) | |||||||||||
Heartland Express, Inc. | Morgan Stanley | (5,978 | ) | (122,250 | ) | (108,202 | ) | 14,262 | ||||||||||||
JetBlue Airways Corp. | Morgan Stanley | (25,002 | ) | (369,825 | ) | (363,529 | ) | 5,884 | ||||||||||||
Kirby Corp. | Morgan Stanley | (8,468 | ) | (412,467 | ) | (438,896 | ) | (27,694 | ) | |||||||||||
Matson, Inc. | Morgan Stanley | (8,392 | ) | (304,294 | ) | (478,092 | ) | (183,440 | ) | |||||||||||
United Airlines Holdings, Inc. | Morgan Stanley | (671 | ) | (29,634 | ) | (29,021 | ) | 531 | ||||||||||||
XPO Logistics, Inc. | Morgan Stanley | (1,222 | ) | (118,656 | ) | (145,662 | ) | (28,121 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(107,427 | ) | (2,617,148 | ) | (3,275,526 | ) | (681,413 | ) | |||||||||||||
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Utilities | ||||||||||||||||||||
Algonquin Power & Utilities Corp. (Canada) | Morgan Stanley | (4,111 | ) | (66,049 | ) | (67,667 | ) | (2,274 | ) | |||||||||||
ALLETE, Inc. | Morgan Stanley | (19,999 | ) | (1,184,646 | ) | (1,238,738 | ) | (80,933 | ) | |||||||||||
Ameren Corp. | Morgan Stanley | (15,467 | ) | (1,226,995 | ) | (1,207,354 | ) | 12,972 | ||||||||||||
American States Water Co. | Morgan Stanley | (240 | ) | (18,873 | ) | (19,082 | ) | (219 | ) | |||||||||||
Avangrid, Inc. | Morgan Stanley | (13,608 | ) | (640,438 | ) | (618,484 | ) | 16,057 | ||||||||||||
Avista Corp. | Morgan Stanley | (9,335 | ) | (359,159 | ) | (374,707 | ) | (17,804 | ) | |||||||||||
Black Hills Corp. | Morgan Stanley | (7,848 | ) | (485,791 | ) | (482,260 | ) | (5,888 | ) | |||||||||||
California Water Service Group | Morgan Stanley | (3,681 | ) | (172,463 | ) | (198,884 | ) | (27,910 | ) | |||||||||||
Clearway Energy, Inc., Class A | Morgan Stanley | (4,274 | ) | (97,911 | ) | (126,297 | ) | (31,193 | ) | |||||||||||
CMS Energy Corp. | Morgan Stanley | (8,417 | ) | (523,548 | ) | (513,521 | ) | 5,883 | ||||||||||||
DTE Energy Co. | Morgan Stanley | (2,362 | ) | (282,152 | ) | (286,770 | ) | (9,254 | ) | |||||||||||
Edison International | Morgan Stanley | (8,293 | ) | (474,347 | ) | (520,966 | ) | (57,249 | ) | |||||||||||
Entergy Corp. | Morgan Stanley | (7,698 | ) | (807,669 | ) | (768,568 | ) | 35,439 | ||||||||||||
Essential Utilities, Inc. | Morgan Stanley | (18,301 | ) | (826,888 | ) | (865,454 | ) | (46,275 | ) | |||||||||||
Fortis, Inc. (Canada) | Morgan Stanley | (2,616 | ) | (103,306 | ) | (106,785 | ) | (7,282 | ) | |||||||||||
New Jersey Resources Corp. | Morgan Stanley | (24,900 | ) | (798,640 | ) | (885,195 | ) | (103,339 | ) | |||||||||||
NextEra Energy, Inc. | Morgan Stanley | (6,100 | ) | (456,489 | ) | (470,615 | ) | (15,271 | ) | |||||||||||
Northwest Natural Holding Co. | Morgan Stanley | (1,122 | ) | (53,470 | ) | (51,601 | ) | 1,820 | ||||||||||||
Ormat Technologies, Inc. | Morgan Stanley | (4,697 | ) | (348,179 | ) | (424,045 | ) | (76,561 | ) | |||||||||||
Portland General Electric Co. | Morgan Stanley | (7,207 | ) | (316,943 | ) | (308,243 | ) | 2,182 | ||||||||||||
PPL Corp. | Morgan Stanley | (31,495 | ) | (874,664 | ) | (888,159 | ) | (16,239 | ) | |||||||||||
Sempra Energy | Morgan Stanley | (12,802 | ) | (1,677,860 | ) | (1,631,103 | ) | 31,931 | ||||||||||||
SJW Group. | Morgan Stanley | (4,095 | ) | (269,904 | ) | (284,029 | ) | (17,045 | ) | |||||||||||
Southwest Gas Holdings, Inc. | Morgan Stanley | (3,702 | ) | (266,285 | ) | (224,897 | ) | 36,828 | ||||||||||||
Sunnova Energy International, Inc. | Morgan Stanley | (2,389 | ) | (58,030 | ) | (107,816 | ) | (49,840 | ) | |||||||||||
Unitil Corp. | Morgan Stanley | (89 | ) | (3,856 | ) | (3,940 | ) | (76 | ) |
34
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Concluded)
December 31, 2020
(Unaudited)
Total Return Swaps (concluded)
Number of | Unrealized | |||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||
Utilities — (continued) | ||||||||||||||||||||
Xcel Energy, Inc. | Morgan Stanley | (2,138 | ) | $ | (145,961 | ) | $ | (142,540 | ) | $ | 1,320 | |||||||||
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| |||||||||||||
(226,986 | ) | (12,540,516 | ) | (12,817,720 | ) | (420,220 | ) | |||||||||||||
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|
|
|
|
|
| |||||||||||||
Total Reference Entity — Short | (239,906,677 | ) | (273,788,460 | ) | (35,558,636 | ) | ||||||||||||||
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|
| |||||||||||||||
Net Value of Reference Entity | $ | (138,951,205 | ) | $ | (159,867,945 | ) | $ | (21,953,543 | ) | |||||||||||
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* | Includes $(1,036,802) 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 $799 and total return swaps with end of period unrealized depreciation of $(21,953,543), 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.
35