GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
December 31, 2023
(Unaudited)
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GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
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GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
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December 31, 2023
(Unaudited)
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GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
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GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
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GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
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GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
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GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
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December 31, 2023
(Unaudited)
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GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
The portfolio matures between
July 23, 2025 and July 11, 2028, however underlying individual contracts are entered into and closed (terminated) on a daily basis. The maturity date shown in the table below is the earliest maturity date for the
specific entity. The following table represents the individual long and short positions and related values of total return swaps, which represents (34.6)% of net assets as of December 31, 2023:
Total Return Swaps
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Long | ||||||||||||||||
Automobiles & Components | ||||||||||||||||
Adient PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/10/28 | 2,829 | $100,134 | $102,862 | $9,493 | ||||||||
American Axle & Manufacturing Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 6,102 | 46,884 | 53,759 | 10,071 | ||||||||
Aptiv PLC (Jersey) | USFF +0.250% | Weekly | MS | 07/11/28 | 756 | 59,664 | 67,828 | 12,242 | ||||||||
BorgWarner, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 6,673 | 239,518 | 239,227 | 19,218 | ||||||||
Ford Motor Co. | USFF +0.250% | Weekly | MS | 07/23/25 | 44,304 | 507,020 | 540,066 | 143,567 | ||||||||
General Motors Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 21,068 | 730,402 | 756,763 | 81,446 | ||||||||
Gentex Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 791 | 22,832 | 25,834 | 4,639 | ||||||||
Goodyear Tire & Rubber Co. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 2,462 | 34,511 | 35,256 | 3,088 | ||||||||
Modine Manufacturing Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,289 | 48,671 | 76,953 | 36,374 | ||||||||
Standard Motor Products, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 198 | 7,864 | 7,882 | 523 | ||||||||
Thor Industries, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 667 | 59,561 | 78,873 | 26,220 | ||||||||
Visteon Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,407 | 187,358 | 175,734 | 1,261 | ||||||||
88,546 | 2,044,419 | 2,161,037 | 348,142 | |||||||||||||
Capital Goods | ||||||||||||||||
3M Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,328 | 316,251 | 363,817 | 76,985 | ||||||||
A. O. Smith Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,865 | 183,666 | 236,191 | 69,069 | ||||||||
AAR Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 64 | 4,093 | 3,994 | 145 | ||||||||
Acuity Brands, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 345 | 54,294 | 70,666 | 20,171 | ||||||||
AGCO Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 827 | 96,099 | 100,406 | 11,065 | ||||||||
American Woodmark Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,000 | 74,327 | 92,850 | 23,611 | ||||||||
AMETEK, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 433 | 58,606 | 71,397 | 17,439 | ||||||||
Applied Industrial Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 465 | 69,793 | 80,301 | 15,467 | ||||||||
Array Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,840 | 88,531 | 81,312 | (1,150) | ||||||||
Axon Enterprise, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 306 | 58,945 | 79,049 | 26,108 | ||||||||
AZEK Co., Inc. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 9,774 | 313,575 | 373,855 | 81,871 | ||||||||
Blue Bird Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,542 | 31,149 | 41,572 | 12,534 | ||||||||
Boise Cascade Co. | USFF +0.250% | Weekly | MS | 07/23/25 | 2,230 | 214,324 | 288,473 | 104,639 | ||||||||
Brookfield Business Corp., Class A (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 9 | 209 | 210 | (23) | ||||||||
Builders FirstSource, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 854 | 141,527 | 142,567 | 10,763 | ||||||||
BWX Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 57 | 4,364 | 4,374 | 273 | ||||||||
Cadre Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 99 | 3,213 | 3,256 | 227 |
9
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
Carrier Global Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,545 | $170,117 | $203,660 | $48,755 | ||||||||
Caterpillar, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,021 | 460,352 | 597,549 | 177,052 | ||||||||
Comfort Systems USA, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,887 | 271,866 | 388,099 | 136,115 | ||||||||
Core & Main, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 5,894 | 213,240 | 238,177 | 39,607 | ||||||||
Crane Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,949 | 248,998 | 348,395 | 117,849 | ||||||||
CSW Industrials, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 164 | 25,420 | 34,015 | 10,513 | ||||||||
Cummins, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 273 | 65,410 | 65,403 | 4,651 | ||||||||
Curtiss-Wright Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 771 | 139,491 | 171,771 | 42,270 | ||||||||
Deere & Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 624 | 228,508 | 249,519 | 41,366 | ||||||||
Donaldson Co., Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,986 | 180,064 | 195,135 | 29,085 | ||||||||
EMCOR Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,949 | 412,162 | 419,873 | 36,149 | ||||||||
Emerson Electric Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 7,471 | 693,343 | 727,152 | 87,433 | ||||||||
Encore Wire Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 2 | 298 | 427 | 113 | ||||||||
Enerpac Tool Group Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,646 | 93,804 | 113,354 | 26,564 | ||||||||
EnerSys | USFF +0.250% | Weekly | MS | 01/10/28 | 2,986 | 294,366 | 301,467 | 28,385 | ||||||||
Enpro, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 674 | 67,220 | 105,643 | 43,634 | ||||||||
Fastenal Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 551 | 33,255 | 35,688 | 5,413 | ||||||||
Flowserve Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,682 | 62,825 | 69,332 | 11,139 | ||||||||
Fluence Energy, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,873 | 70,952 | 68,521 | 2,425 | ||||||||
Fortune Brands Innovations, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,356 | 191,954 | 255,526 | 79,505 | ||||||||
Gates Industrial Corp. PLC (United Kingdom) | USFF +0.250% | Weekly | MS | 01/10/28 | 7,642 | 95,341 | 102,556 | 13,753 | ||||||||
General Dynamics Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,128 | 238,512 | 292,908 | 73,625 | ||||||||
General Electric Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 3,473 | 315,656 | 443,259 | 150,441 | ||||||||
Gibraltar Industries, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,676 | 115,322 | 132,370 | 24,965 | ||||||||
Global Industrial Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 48 | 1,748 | 1,864 | 201 | ||||||||
Griffon Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,375 | 140,715 | 266,656 | 142,407 | ||||||||
Hillman Solutions Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 10,219 | 82,187 | 94,117 | 17,643 | ||||||||
Howmet Aerospace, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,233 | 49,984 | 66,730 | 20,456 | ||||||||
Huntington Ingalls Industries, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 626 | 145,710 | 162,535 | 27,568 | ||||||||
IES Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 26 | 2,143 | 2,060 | 27 | ||||||||
Illinois Tool Works, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 711 | 160,082 | 186,239 | 40,615 | ||||||||
ITT, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 865 | 83,919 | 103,212 | 25,495 | ||||||||
Johnson Controls International PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/11/28 | 1,756 | 101,143 | 101,216 | 7,012 | ||||||||
Kaman Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 182 | 3,956 | 4,359 | 663 | ||||||||
Kennametal, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,393 | 60,374 | 61,715 | 5,939 |
10
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
Lennox International, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 82 | $32,139 | $36,697 | $6,827 | ||||||||
Lindsay Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 205 | 25,220 | 26,478 | 2,973 | ||||||||
Lockheed Martin Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 1,698 | 734,921 | 769,602 | 104,839 | ||||||||
Masco Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,867 | 243,162 | 325,992 | 104,646 | ||||||||
Masonite International Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 113 | 9,622 | 9,567 | 571 | ||||||||
MDU Resources Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 13,208 | 254,489 | 261,518 | 26,557 | ||||||||
Middleby Corp. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 288 | 34,819 | 42,385 | 10,389 | ||||||||
MSC Industrial Direct Co., Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 3,200 | 304,319 | 324,032 | 43,484 | ||||||||
Mueller Industries, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 4,494 | 127,558 | 211,892 | 100,028 | ||||||||
nVent Electric PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/08/27 | 48 | 1,844 | 2,836 | 1,082 | ||||||||
Otis Worldwide Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 901 | 72,516 | 80,612 | 14,240 | ||||||||
PACCAR, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,472 | 99,279 | 143,741 | 60,045 | ||||||||
Parker-Hannifin Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,292 | 955,655 | 1,055,924 | 169,093 | ||||||||
Pentair PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/08/27 | 3,756 | 221,849 | 273,099 | 67,902 | ||||||||
Powell Industries, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,157 | 88,803 | 102,279 | 19,919 | ||||||||
Quanta Services, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 660 | 120,656 | 142,428 | 30,143 | ||||||||
REV Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 98 | 1,813 | 1,781 | 58 | ||||||||
RTX Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 4,359 | 350,401 | 366,766 | 39,651 | ||||||||
Shoals Technologies Group, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 4,403 | 66,080 | 68,423 | 5,764 | ||||||||
Snap-on, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,061 | 263,160 | 306,459 | 66,955 | ||||||||
SPX Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,079 | 83,083 | 108,990 | 32,082 | ||||||||
Standex International Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 244 | 34,049 | 38,645 | 7,112 | ||||||||
Stanley Black & Decker, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,267 | 98,723 | 124,293 | 33,367 | ||||||||
Stantec, Inc. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 79 | 6,155 | 6,335 | 575 | ||||||||
Sterling Infrastructure, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,222 | 106,485 | 195,380 | 97,784 | ||||||||
Tennant Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 731 | 60,771 | 67,756 | 11,325 | ||||||||
Terex Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,996 | 240,553 | 287,070 | 68,933 | ||||||||
Textainer Group Holdings Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 07/11/28 | 203 | 9,998 | 9,988 | 641 | ||||||||
Textron, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 3,783 | 228,552 | 304,229 | 91,862 | ||||||||
TransDigm Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 163 | 153,536 | 164,891 | 26,452 | ||||||||
Trex Co., Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 925 | 57,295 | 76,581 | 23,200 |
11
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
UFP Industries, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,216 | $99,250 | $152,669 | $61,249 | ||||||||
Wabash National Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 5,104 | 108,739 | 130,764 | 30,740 | ||||||||
Watts Water Technologies, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 769 | 125,157 | 160,213 | 44,466 | ||||||||
WESCO International, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,385 | 203,984 | 240,824 | 51,347 | ||||||||
Westinghouse Air Brake Technologies Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 254 | 26,619 | 32,233 | 7,455 | ||||||||
Woodward, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,522 | 199,645 | 207,190 | 21,277 | ||||||||
WW Grainger, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 418 | 210,049 | 346,392 | 155,669 | ||||||||
Zurn Elkay Water Solutions Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 6,127 | 180,715 | 180,195 | 11,907 | ||||||||
192,544 | 13,475,066 | 16,031,941 | 3,640,636 | |||||||||||||
Commercial & Professional Services | ||||||||||||||||
ACV Auctions, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 9,583 | 143,441 | 145,182 | 11,570 | ||||||||
ASGN, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 348 | 30,308 | 33,467 | 5,212 | ||||||||
Automatic Data Processing, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 1,124 | 241,324 | 261,858 | 47,098 | ||||||||
Brady Corp., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 840 | 46,211 | 49,300 | 6,335 | ||||||||
Brink's Co. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 30 | 2,662 | 2,638 | 155 | ||||||||
Broadridge Financial Solutions, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 161 | 29,689 | 33,126 | 5,595 | ||||||||
CECO Environmental Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 646 | 12,812 | 13,101 | 1,135 | ||||||||
Copart, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 6,489 | 195,953 | 317,961 | 135,486 | ||||||||
CRA International, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1 | 99 | 99 | (31) | ||||||||
Huron Consulting Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 30 | 3,040 | 3,084 | 216 | ||||||||
ICF International, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 89 | 11,896 | 11,934 | 821 | ||||||||
Jacobs Solutions, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,594 | 203,043 | 206,901 | 17,825 | ||||||||
Kelly Services, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 181 | 3,817 | 3,913 | 325 | ||||||||
Leidos Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 3,196 | 337,642 | 345,935 | 32,443 | ||||||||
ManpowerGroup, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 574 | 41,725 | 45,616 | 7,203 | ||||||||
MillerKnoll, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,556 | 37,766 | 41,514 | 6,584 | ||||||||
MSA Safety, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 254 | 42,263 | 42,883 | 3,613 | ||||||||
OPENLANE, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 3,123 | 46,102 | 46,252 | 3,292 | ||||||||
Parsons Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,382 | 86,320 | 86,665 | 6,262 | ||||||||
Paychex, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 267 | 28,915 | 31,802 | 11,839 | ||||||||
Republic Services, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,215 | 295,774 | 365,276 | 93,705 | ||||||||
Robert Half, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,498 | 111,742 | 131,704 | 28,463 | ||||||||
Rollins, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,911 | 63,998 | 83,453 | 24,522 |
12
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Commercial & Professional Services — (continued) | ||||||||||||||||
Science Applications International Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 828 | $93,874 | $102,937 | $15,681 | ||||||||
Steelcase, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 2,593 | 30,056 | 35,057 | 7,082 | ||||||||
Tetra Tech, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,070 | 340,784 | 345,545 | 28,435 | ||||||||
TriNet Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 6 | 716 | 714 | 10 | ||||||||
Upwork, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 6,614 | 82,806 | 98,350 | 21,218 | ||||||||
Veralto Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 4,291 | 312,370 | 352,978 | 62,501 | ||||||||
Verisk Analytics, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,065 | 213,486 | 254,386 | 56,821 | ||||||||
54,559 | 3,090,634 | 3,493,631 | 641,416 | |||||||||||||
Consumer Discretionary Distribution & Retail | ||||||||||||||||
Abercrombie & Fitch Co., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 2,180 | 88,391 | 192,320 | 110,164 | ||||||||
Amazon.com, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 14,434 | 1,568,178 | 2,193,102 | 733,047 | ||||||||
AutoZone, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 47 | 120,014 | 121,524 | 9,750 | ||||||||
Best Buy Co., Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 71 | 4,679 | 5,558 | 1,378 | ||||||||
CarMax, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,044 | 63,596 | 80,117 | 20,869 | ||||||||
Carvana Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 16,497 | 589,280 | 873,351 | 324,678 | ||||||||
eBay, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 12,848 | 521,578 | 560,430 | 80,348 | ||||||||
Etsy, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,272 | 106,029 | 103,096 | 4,342 | ||||||||
Gap, Inc. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 17,018 | 156,779 | 355,846 | 214,250 | ||||||||
Genuine Parts Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,236 | 167,714 | 171,186 | 16,269 | ||||||||
Group 1 Automotive, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 27 | 6,716 | 8,228 | 2,063 | ||||||||
Home Depot, Inc. (The) | USFF +0.250% | Weekly | MS | 01/07/27 | 1,587 | 503,314 | 549,975 | 85,151 | ||||||||
Kohl's Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,453 | 33,513 | 41,672 | 10,433 | ||||||||
LKQ Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 33 | 1,578 | 1,577 | 70 | ||||||||
Lowe's Cos., Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 675 | 126,979 | 150,221 | 33,591 | ||||||||
Monro, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,334 | 37,187 | 39,140 | 4,836 | ||||||||
ODP Corp. (The) | USFF +0.250% | Weekly | MS | 01/07/27 | 3,942 | 160,465 | 221,935 | 73,205 | ||||||||
O'Reilly Automotive, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1 | 785 | 950 | 182 | ||||||||
Pool Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 522 | 167,349 | 208,127 | 53,204 | ||||||||
Signet Jewelers Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 07/11/28 | 910 | 86,305 | 97,607 | 17,217 | ||||||||
TJX Cos., Inc. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 2,439 | 211,479 | 228,803 | 33,099 | ||||||||
Tractor Supply Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,347 | 272,826 | 289,645 | 36,228 | ||||||||
Urban Outfitters, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,680 | 89,363 | 131,339 | 48,938 | ||||||||
Wayfair, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 633 | 42,548 | 39,056 | (595) | ||||||||
Williams-Sonoma, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 197 | 39,960 | 39,751 | 2,514 | ||||||||
Winmark Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 77 | 32,556 | 32,151 | 1,803 | ||||||||
85,504 | 5,199,161 | 6,736,707 | 1,917,034 |
13
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Durables & Apparel | ||||||||||||||||
Acushnet Holdings Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 128 | $8,157 | $8,086 | $454 | ||||||||
Carter's, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 4,052 | 278,157 | 303,454 | 48,210 | ||||||||
Cavco Industries, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 17 | 3,509 | 5,893 | 3,300 | ||||||||
Columbia Sportswear Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,132 | 84,877 | 90,039 | 11,153 | ||||||||
Cricut, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 73 | 494 | 481 | (16) | ||||||||
DR Horton, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 472 | 44,979 | 71,735 | 30,547 | ||||||||
Figs, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 13,088 | 88,968 | 90,962 | 8,092 | ||||||||
Garmin Ltd. (Switzerland) | USFF +0.250% | Weekly | MS | 07/08/27 | 2,400 | 244,747 | 308,496 | 85,137 | ||||||||
G-III Apparel Group Ltd. | USFF +0.250% | Weekly | MS | 07/11/28 | 4,206 | 112,003 | 142,920 | 38,605 | ||||||||
Hasbro, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,498 | 71,597 | 76,488 | 10,372 | ||||||||
Helen of Troy Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 07/11/28 | 1,483 | 182,948 | 179,161 | 8,794 | ||||||||
Hovnanian Enterprises, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 85 | 12,982 | 13,228 | 1,104 | ||||||||
La-Z-Boy, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 886 | 24,562 | 32,711 | 10,229 | ||||||||
Leggett & Platt, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,651 | 45,679 | 43,207 | 1,780 | ||||||||
Lululemon Athletica, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 93 | 47,041 | 47,550 | 3,716 | ||||||||
Mattel, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 7,353 | 139,402 | 138,825 | 9,000 | ||||||||
Mohawk Industries, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,661 | 138,690 | 171,913 | 42,752 | ||||||||
NIKE, Inc., Class B | USFF +0.250% | Weekly | MS | 01/07/27 | 2,712 | 271,490 | 294,442 | 45,195 | ||||||||
NVR, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 11 | 52,136 | 77,005 | 28,428 | ||||||||
PulteGroup, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,362 | 265,540 | 450,246 | 205,522 | ||||||||
PVH Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,307 | 113,432 | 159,611 | 53,990 | ||||||||
Ralph Lauren Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,955 | 219,678 | 281,911 | 80,652 | ||||||||
Skyline Champion Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 6 | 315 | 446 | 115 | ||||||||
Steven Madden Ltd. | USFF +0.250% | Weekly | MS | 07/11/28 | 1 | 31 | 42 | (24) | ||||||||
Tapestry, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 9,535 | 288,959 | 350,983 | 83,570 | ||||||||
TopBuild Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 143 | 32,438 | 53,519 | 26,045 | ||||||||
Vista Outdoor, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,954 | 81,628 | 87,350 | 11,325 | ||||||||
Worthington Enterprises, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,822 | 84,205 | 104,856 | 27,137 | ||||||||
YETI Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 4,853 | 207,820 | 251,288 | 59,325 | ||||||||
69,939 | 3,146,464 | 3,836,848 | 934,509 | |||||||||||||
Consumer Services | ||||||||||||||||
ADT, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 11,369 | 71,337 | 77,537 | 11,371 | ||||||||
Adtalem Global Education, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 847 | 31,422 | 49,931 | 20,639 | ||||||||
Aramark | USFF +0.250% | Weekly | MS | 07/11/28 | 10,681 | 272,211 | 300,136 | 48,106 | ||||||||
Booking Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 129 | 335,147 | 457,591 | 153,968 |
14
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Services — (continued) | ||||||||||||||||
Bright Horizons Family Solutions, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 326 | $27,192 | $30,722 | $5,368 | ||||||||
Brinker International, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,568 | 49,061 | 67,706 | 22,282 | ||||||||
Caesars Entertainment, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 6,603 | 266,978 | 309,549 | 60,948 | ||||||||
Darden Restaurants, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 227 | 37,051 | 37,296 | 2,895 | ||||||||
DoorDash, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 344 | 30,320 | 34,018 | 5,752 | ||||||||
DraftKings, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 623 | 18,143 | 21,961 | 5,031 | ||||||||
Duolingo, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 364 | 65,600 | 82,573 | 21,460 | ||||||||
Frontdoor, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 5,635 | 182,449 | 198,465 | 28,562 | ||||||||
Golden Entertainment, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 98 | 3,929 | 3,913 | 218 | ||||||||
Grand Canyon Education, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 20 | 2,624 | 2,641 | 160 | ||||||||
Las Vegas Sands Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 3,236 | 151,296 | 159,244 | 19,187 | ||||||||
Marriott International, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 1,047 | 177,693 | 236,109 | 72,254 | ||||||||
McDonald's Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 1,626 | 417,979 | 482,125 | 100,547 | ||||||||
MGM Resorts International | USFF +0.250% | Weekly | MS | 01/07/27 | 6,949 | 251,015 | 310,481 | 76,770 | ||||||||
RCI Hospitality Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 9 | 601 | 596 | (1) | ||||||||
Rover Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 517 | 5,640 | 5,625 | 336 | ||||||||
Royal Caribbean Cruises Ltd. (Liberia) | USFF +0.250% | Weekly | MS | 01/10/28 | 3,944 | 305,105 | 510,709 | 226,610 | ||||||||
Six Flags Entertainment Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,213 | 29,623 | 30,422 | 2,805 | ||||||||
Starbucks Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 4,944 | 477,919 | 474,673 | 29,971 | ||||||||
Strategic Education, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 7 | 648 | 647 | 6 | ||||||||
Target Hospitality Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 544 | 5,927 | 5,293 | (353) | ||||||||
Vail Resorts, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 163 | 36,537 | 34,796 | 968 | ||||||||
Wendy's Co. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 385 | 7,515 | 7,500 | 466 | ||||||||
Wynn Resorts Ltd. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,079 | 98,360 | 98,308 | 6,875 | ||||||||
Yum! Brands, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,331 | 417,571 | 435,228 | 52,721 | ||||||||
67,828 | 3,776,893 | 4,465,795 | 975,922 | |||||||||||||
Consumer Staples Distribution & Retail | ||||||||||||||||
Albertsons Cos., Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 155 | 3,530 | 3,565 | 241 |
15
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Staples Distribution & Retail — (continued) | ||||||||||||||||
Costco Wholesale Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 831 | $442,491 | $548,526 | $151,891 | ||||||||
Dollar General Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,351 | 176,301 | 183,668 | 19,490 | ||||||||
Grocery Outlet Holding Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 6,053 | 175,067 | 163,189 | 159 | ||||||||
Ingles Markets, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 5 | 430 | 432 | (479) | ||||||||
Kroger Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 5,825 | 264,188 | 266,261 | 22,332 | ||||||||
Sysco Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,441 | 240,586 | 251,640 | 28,632 | ||||||||
Target Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 6,260 | 775,468 | 891,549 | 175,333 | ||||||||
US Foods Holding Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,255 | 148,154 | 193,220 | 55,247 | ||||||||
Walgreens Boots Alliance, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 4,130 | 138,058 | 107,834 | (4,145) | ||||||||
Walmart, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 3,463 | 494,841 | 545,942 | 94,062 | ||||||||
35,769 | 2,859,114 | 3,155,826 | 542,763 | |||||||||||||
Energy | ||||||||||||||||
Antero Midstream Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 3,009 | 37,964 | 37,703 | 2,320 | ||||||||
APA Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 11,919 | 448,201 | 427,654 | 7,952 | ||||||||
Baker Hughes Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 15,461 | 430,721 | 528,457 | 137,597 | ||||||||
California Resources Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,810 | 173,939 | 208,331 | 48,068 | ||||||||
Cameco Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 3,669 | 162,660 | 158,134 | 6,682 | ||||||||
Canadian Natural Resources Ltd. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 1,854 | 117,159 | 121,474 | 12,358 | ||||||||
Cenovus Energy, Inc. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 9,081 | 158,395 | 151,199 | 4,258 | ||||||||
ChampionX Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 883 | 22,698 | 25,792 | 4,796 | ||||||||
Chesapeake Energy Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 6,846 | 533,334 | 526,731 | 32,879 | ||||||||
Chord Energy Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 138 | 22,138 | 22,940 | 2,291 | ||||||||
ConocoPhillips | USFF +0.250% | Weekly | MS | 07/08/27 | 1,495 | 150,743 | 173,525 | 38,033 | ||||||||
CONSOL Energy, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,437 | 78,185 | 144,462 | 70,760 | ||||||||
CVR Energy, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 3,642 | 115,788 | 110,353 | 5,033 | ||||||||
Devon Energy Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 9,680 | 433,435 | 438,504 | 42,574 | ||||||||
DHT Holdings, Inc. (Marshall Islands) | USFF +0.250% | Weekly | MS | 07/08/27 | 19,411 | 170,384 | 190,422 | 50,931 | ||||||||
Dorian LPG Ltd. (Marshall Islands) | USFF +0.250% | Weekly | MS | 01/10/28 | 5,951 | 172,015 | 261,070 | 109,436 | ||||||||
Enerplus Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/08/27 | 5,395 | 76,012 | 82,759 | 12,290 | ||||||||
EQT Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 8,082 | 258,257 | 312,450 | 75,596 | ||||||||
Equitrans Midstream Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 5,853 | 28,252 | 59,584 | 34,998 | ||||||||
Exxon Mobil Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 7,783 | 803,908 | 778,144 | 62,819 |
16
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Energy — (continued) | ||||||||||||||||
FLEX LNG Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 07/11/28 | 45 | $1,327 | $1,308 | $34 | ||||||||
Gulfport Energy Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 617 | 48,760 | 82,184 | 36,750 | ||||||||
Helix Energy Solutions Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 7,705 | 82,659 | 79,207 | 2,148 | ||||||||
Helmerich & Payne, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 14,513 | 556,618 | 525,661 | 7,620 | ||||||||
Imperial Oil Ltd. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 593 | 33,290 | 33,914 | 2,883 | ||||||||
Kinder Morgan, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 20,500 | 350,056 | 361,620 | 56,310 | ||||||||
Liberty Energy, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,164 | 27,224 | 39,255 | 14,214 | ||||||||
Marathon Petroleum Corp. | USFF +0.250% | Weekly | MS | 07/23/25 | 2,406 | 268,942 | 356,954 | 124,051 | ||||||||
Murphy Oil Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,441 | 134,091 | 146,793 | 22,546 | ||||||||
Nabors Industries Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 07/11/28 | 38 | 3,107 | 3,102 | 172 | ||||||||
Nordic American Tankers Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 01/10/28 | 34,727 | 128,857 | 145,853 | 33,822 | ||||||||
Occidental Petroleum Corp. | USFF +0.250% | Weekly | MS | 07/23/25 | 12,367 | 474,156 | 738,434 | 309,909 | ||||||||
Pembina Pipeline Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 5,608 | 183,490 | 193,027 | 23,902 | ||||||||
Phillips 66 | USFF +0.250% | Weekly | MS | 07/11/28 | 245 | 32,749 | 32,619 | 2,092 | ||||||||
Pioneer Natural Resources Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,115 | 479,806 | 475,621 | 35,202 | ||||||||
Precision Drilling Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 426 | 24,077 | 23,128 | 673 | ||||||||
TechnipFMC PLC (United Kingdom) | USFF +0.250% | Weekly | MS | 07/11/28 | 13,322 | 279,637 | 268,305 | 8,303 | ||||||||
US Silica Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 13,012 | 167,457 | 147,166 | (8,893) | ||||||||
Weatherford International PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/08/27 | 1 | 54 | 98 | 10 | ||||||||
Williams Cos., Inc. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 11,333 | 399,302 | 394,728 | 26,522 | ||||||||
270,577 | 8,069,847 | 8,808,665 | 1,459,941 | |||||||||||||
Financial Services | ||||||||||||||||
AvidXchange Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 6,447 | 74,591 | 79,878 | 10,395 | ||||||||
Berkshire Hathaway, Inc., Class B | USFF +0.250% | Weekly | MS | 07/23/25 | 11,792 | 2,658,122 | 4,205,735 | 1,731,022 | ||||||||
BlackRock, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 261 | 186,044 | 211,880 | 43,650 | ||||||||
Cboe Global Markets, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,212 | 185,099 | 216,415 | 45,184 | ||||||||
CME Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,098 | 428,519 | 441,839 | 54,865 | ||||||||
Fiserv, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 6,414 | 769,909 | 852,036 | 135,192 |
17
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Financial Services — (continued) | ||||||||||||||||
Franklin Resources, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 11,278 | $263,927 | $335,972 | $106,653 | ||||||||
Intercontinental Exchange, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 106 | 10,284 | 13,614 | 5,187 | ||||||||
International Money Express, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 592 | 12,637 | 13,077 | 1,275 | ||||||||
MarketAxess Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 395 | 104,253 | 115,676 | 19,347 | ||||||||
Mastercard, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 294 | 111,887 | 125,394 | 21,329 | ||||||||
Moody's Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 126 | 47,500 | 49,211 | 5,049 | ||||||||
Morningstar, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 282 | 79,450 | 80,720 | 6,712 | ||||||||
Nasdaq, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 8,978 | 414,566 | 521,981 | 155,214 | ||||||||
NCR Atleos Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,338 | 82,718 | 105,370 | 28,398 | ||||||||
Open Lending Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,891 | 29,738 | 33,112 | 5,223 | ||||||||
Paymentus Holdings, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 114 | 1,982 | 2,037 | 155 | ||||||||
Payoneer Global, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 10,840 | 57,296 | 56,476 | 3,095 | ||||||||
PayPal Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 14,057 | 746,552 | 863,240 | 168,142 | ||||||||
Shift4 Payments, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 1,338 | 84,281 | 99,467 | 20,961 | ||||||||
T Rowe Price Group, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 3,935 | 442,200 | 423,760 | 44,896 | ||||||||
Visa, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 1,736 | 416,483 | 451,968 | 64,891 | ||||||||
Western Union Co. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 3,427 | 40,874 | 40,850 | 2,848 | ||||||||
93,951 | 7,248,912 | 9,339,708 | 2,679,683 | |||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||
Altria Group, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 10,458 | 471,081 | 421,876 | 23,463 | ||||||||
Archer-Daniels-Midland Co. | USFF +0.250% | Weekly | MS | 01/05/26 | 3,689 | 267,574 | 266,420 | 21,070 | ||||||||
B&G Foods, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 5,084 | 49,514 | 53,382 | 8,143 | ||||||||
Bunge Global SA (Switzerland) | USFF +0.250% | Weekly | MS | 07/11/28 | 1,498 | 153,848 | 151,223 | 8,600 | ||||||||
Campbell Soup Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 109 | 4,683 | 4,712 | 315 | ||||||||
Celsius Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 7,185 | 209,919 | 391,726 | 196,248 | ||||||||
Coca-Cola Co. (The) | USFF +0.250% | Weekly | MS | 01/05/26 | 8,481 | 478,828 | 499,785 | 80,017 | ||||||||
Constellation Brands, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 1,112 | 276,080 | 268,826 | 12,461 | ||||||||
General Mills, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 3,242 | 208,766 | 211,184 | 23,223 | ||||||||
Hershey Co. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 450 | 83,122 | 83,898 | 7,067 | ||||||||
Hormel Foods Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,284 | 157,031 | 137,559 | (7,589) | ||||||||
Ingredion, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 650 | 66,813 | 70,544 | 8,808 | ||||||||
J & J Snack Foods Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 63 | 10,629 | 10,530 | 596 | ||||||||
J M Smucker Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 3,826 | 535,354 | 483,530 | (9,159) | ||||||||
John B Sanfilippo & Son, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 294 | 30,347 | 30,294 | 2,229 |
18
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Food, Beverage & Tobacco — (continued) | ||||||||||||||||
Kellanova | USFF +0.250% | Weekly | MS | 07/08/27 | 5,542 | $324,338 | $309,853 | $14,486 | ||||||||
Keurig Dr Pepper, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 16,234 | 564,231 | 540,917 | 25,682 | ||||||||
Kraft Heinz Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 12,313 | 440,398 | 455,335 | 54,706 | ||||||||
McCormick & Co., Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,349 | 82,011 | 92,299 | 16,473 | ||||||||
Molson Coors Beverage Co., Class B | USFF +0.250% | Weekly | MS | 07/08/27 | 1,806 | 97,227 | 110,545 | 22,094 | ||||||||
Mondelez International, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 2,784 | 184,044 | 201,645 | 31,441 | ||||||||
PepsiCo, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 1,399 | 227,989 | 237,606 | 37,899 | ||||||||
Philip Morris International, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,172 | 206,022 | 204,342 | 17,215 | ||||||||
Primo Water Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 1,540 | 23,199 | 23,177 | 1,540 | ||||||||
Sovos Brands, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 4,095 | 89,240 | 90,213 | 7,090 | ||||||||
Tootsie Roll Industries, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 38 | 1,278 | 1,263 | 38 | ||||||||
Vita Coco Co., Inc. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 2,300 | 63,782 | 58,995 | (425) | ||||||||
101,997 | 5,307,348 | 5,411,679 | 603,731 | |||||||||||||
Health Care Equipment & Services | ||||||||||||||||
AmerisourceBergen Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 446 | 76,182 | 91,599 | 21,187 | ||||||||
Avanos Medical, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 945 | 20,350 | 21,196 | 2,212 | ||||||||
Baxter International, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 16,341 | 581,144 | 631,743 | 94,234 | ||||||||
Becton Dickinson & Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,126 | 263,931 | 274,553 | 29,845 | ||||||||
Cardinal Health, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,826 | 184,899 | 184,061 | 12,758 | ||||||||
Centene Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 6,638 | 469,001 | 492,606 | 55,916 | ||||||||
Certara, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,593 | 22,139 | 28,021 | 7,735 | ||||||||
Cigna Group (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 371 | 96,475 | 111,096 | 21,706 | ||||||||
CONMED Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,623 | 279,986 | 287,245 | 27,271 | ||||||||
Cross Country Healthcare, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,322 | 84,507 | 75,210 | (3,862) | ||||||||
CVS Health Corp. | USFF +0.250% | Weekly | MS | 07/23/25 | 4,534 | 322,513 | 358,005 | 69,448 | ||||||||
DaVita, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,282 | 366,614 | 448,582 | 107,217 | ||||||||
Definitive Healthcare Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,161 | 18,491 | 21,480 | 4,228 | ||||||||
Elevance Health, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 491 | 216,674 | 231,536 | 30,993 | ||||||||
Fulgent Genetics, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,483 | 79,173 | 42,874 | (30,876) | ||||||||
GE HealthCare Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 7,512 | 482,530 | 580,828 | 132,090 | ||||||||
Haemonetics Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,383 | 200,358 | 203,770 | 17,194 | ||||||||
HCA Healthcare, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 681 | 164,532 | 184,333 | 31,875 | ||||||||
HealthEquity, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 662 | 46,268 | 43,891 | 776 |
19
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Health Care Equipment & Services — (continued) | ||||||||||||||||
Hologic, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 12,421 | $894,237 | $887,480 | $54,884 | ||||||||
Humana, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 293 | 141,402 | 134,138 | 3,753 | ||||||||
Integer Holdings Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 571 | 50,607 | 56,575 | 9,421 | ||||||||
Laboratory Corp. of America Holdings | USFF +0.250% | Weekly | MS | 07/11/28 | 851 | 176,530 | 193,424 | 29,482 | ||||||||
Lantheus Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,461 | 184,423 | 214,582 | 42,841 | ||||||||
McKesson Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 308 | 140,628 | 142,598 | 11,789 | ||||||||
Molina Healthcare, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 753 | 239,225 | 272,066 | 49,304 | ||||||||
Omnicell, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,943 | 62,053 | 73,115 | 15,399 | ||||||||
Owens & Minor, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,346 | 45,352 | 45,207 | 2,946 | ||||||||
Phreesia, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,810 | 39,957 | 41,901 | 4,663 | ||||||||
Privia Health Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 7,541 | 176,176 | 173,669 | 9,559 | ||||||||
Progyny, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 3,309 | 110,498 | 123,029 | 20,154 | ||||||||
Pulse Biosciences, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 90 | 1,125 | 1,102 | 17 | ||||||||
Teleflex, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 23 | 5,734 | 5,735 | 359 | ||||||||
Tenet Healthcare Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,503 | 135,652 | 189,152 | 63,175 | ||||||||
UFP Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 307 | 38,617 | 52,816 | 16,825 | ||||||||
UnitedHealth Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 850 | 457,755 | 447,499 | 22,465 | ||||||||
Varex Imaging Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 498 | 9,860 | 10,209 | 991 | ||||||||
Zimmer Biomet Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,753 | 199,116 | 213,340 | 28,838 | ||||||||
101,051 | 7,084,714 | 7,590,266 | 1,018,812 | |||||||||||||
Household & Personal Products | ||||||||||||||||
BellRing Brands, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 5,101 | 275,622 | 282,748 | 26,099 | ||||||||
Colgate-Palmolive Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,627 | 198,706 | 209,398 | 24,360 | ||||||||
elf Beauty, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,129 | 59,222 | 162,960 | 107,785 | ||||||||
Energizer Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 43 | 1,371 | 1,362 | 48 | ||||||||
Kenvue, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 15,101 | 309,571 | 325,125 | 39,772 | ||||||||
Kimberly-Clark Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,795 | 613,202 | 582,640 | 40,388 | ||||||||
Procter & Gamble Co. (The) | USFF +0.250% | Weekly | MS | 01/05/26 | 4,193 | 585,348 | 614,442 | 77,947 | ||||||||
Reynolds Consumer Products, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 245 | 6,553 | 6,576 | 437 | ||||||||
Spectrum Brands Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 520 | 37,309 | 41,480 | 7,755 | ||||||||
WD-40 Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 198 | 42,542 | 47,336 | 7,690 | ||||||||
33,952 | 2,129,446 | 2,274,067 | 332,281 |
20
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Materials | ||||||||||||||||
Alamos Gold, Inc., Class A (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 15,525 | $175,498 | $209,122 | $46,499 | ||||||||
Alpha Metallurgical Resources, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 18 | 2,492 | 6,101 | 3,770 | ||||||||
Amcor PLC (Jersey) | USFF +0.250% | Weekly | MS | 07/11/28 | 18,066 | 165,808 | 174,156 | 22,445 | ||||||||
AptarGroup, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 116 | 14,621 | 14,340 | 690 | ||||||||
Avient Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,951 | 67,360 | 81,103 | 18,840 | ||||||||
Axalta Coating Systems Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 07/11/28 | 3,748 | 112,288 | 127,320 | 22,738 | ||||||||
Ball Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,657 | 131,138 | 152,831 | 32,370 | ||||||||
Barrick Gold Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 5,834 | 90,841 | 105,537 | 21,582 | ||||||||
Berry Global Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 4,085 | 248,075 | 275,288 | 45,698 | ||||||||
Carpenter Technology Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 4,095 | 271,665 | 289,926 | 37,022 | ||||||||
CF Industries Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 4,086 | 266,036 | 324,837 | 84,633 | ||||||||
Cleveland-Cliffs, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 17,248 | 250,490 | 352,204 | 134,705 | ||||||||
Commercial Metals Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 492 | 21,851 | 24,620 | 5,308 | ||||||||
Crown Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,259 | 102,285 | 115,941 | 20,763 | ||||||||
Eastman Chemical Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,825 | 139,991 | 163,921 | 35,148 | ||||||||
Ecolab, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 956 | 165,020 | 189,623 | 36,603 | ||||||||
Fortuna Silver Mines, Inc. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 833 | 3,260 | 3,215 | 143 | ||||||||
Freeport-McMoRan, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,793 | 75,931 | 76,328 | 5,650 | ||||||||
Hawkins, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 437 | 25,886 | 30,774 | 6,699 | ||||||||
HB Fuller Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,621 | 112,170 | 131,966 | 27,208 | ||||||||
Innospec, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 550 | 54,173 | 67,782 | 18,020 | ||||||||
International Flavors & Fragrances, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,063 | 160,243 | 167,041 | 19,364 | ||||||||
Knife River Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 500 | 28,668 | 33,090 | 6,362 | ||||||||
Linde PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/05/26 | 2,000 | 698,796 | 821,420 | 177,875 | ||||||||
LyondellBasell Industries N.V., Class A (Netherlands) | USFF +0.250% | Weekly | MS | 07/11/28 | 6,009 | 559,567 | 571,336 | 51,228 | ||||||||
Martin Marietta Materials, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 366 | 134,463 | 182,601 | 58,325 | ||||||||
Minerals Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,095 | 60,270 | 78,084 | 21,995 | ||||||||
Mosaic Co. (The) | USFF +0.250% | Weekly | MS | 01/07/27 | 6,120 | 246,487 | 218,668 | (6,047) | ||||||||
NewMarket Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 421 | 199,373 | 229,794 | 45,507 | ||||||||
Newmont Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 4,076 | 140,379 | 168,706 | 39,602 | ||||||||
Nucor Corp. | USFF +0.250% | Weekly | MS | 07/23/25 | 1,814 | 253,645 | 315,709 | 86,975 |
21
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Materials — (continued) | ||||||||||||||||
Packaging Corp. of America | USFF +0.250% | Weekly | MS | 07/08/27 | 877 | $116,225 | $142,872 | $38,368 | ||||||||
Pactiv Evergreen, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 185 | 2,300 | 2,536 | 363 | ||||||||
PPG Industries, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 541 | 65,823 | 80,907 | 20,214 | ||||||||
Quaker Chemical Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,336 | 250,719 | 285,129 | 52,600 | ||||||||
Royal Gold, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 7 | 843 | 847 | 24 | ||||||||
RPM International, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,506 | 142,965 | 168,115 | 35,768 | ||||||||
Scotts Miracle-Gro Co. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 3,386 | 178,902 | 215,857 | 52,216 | ||||||||
Sealed Air Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,170 | 74,532 | 79,248 | 9,820 | ||||||||
Sherwin-Williams Co. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 1,144 | 322,287 | 356,814 | 56,929 | ||||||||
SilverCrest Metals, Inc. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 485 | 2,930 | 3,177 | 411 | ||||||||
Southern Copper Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,287 | 161,937 | 196,842 | 52,088 | ||||||||
Vulcan Materials Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 545 | 105,059 | 123,720 | 27,047 | ||||||||
Warrior Met Coal, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 778 | 25,960 | 47,435 | 23,814 | ||||||||
126,906 | 6,429,252 | 7,406,883 | 1,497,382 | |||||||||||||
Media & Entertainment | ||||||||||||||||
Alphabet, Inc., Class A | USFF +0.250% | Weekly | MS | 01/05/26 | 13,311 | 1,291,051 | 1,859,414 | 657,371 | ||||||||
AMC Networks, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 1,016 | 16,798 | 19,091 | 3,414 | ||||||||
Bumble, Inc., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 7,880 | 129,325 | 116,151 | (4,292) | ||||||||
Cable One, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 116 | 62,897 | 64,564 | 6,083 | ||||||||
Cargurus, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 6,023 | 106,080 | 145,516 | 46,714 | ||||||||
Charter Communications, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 505 | 154,623 | 196,283 | 52,287 | ||||||||
Cinemark Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 20,953 | 236,734 | 295,228 | 74,785 | ||||||||
Clear Channel Outdoor Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,191 | 2,210 | 2,168 | 72 | ||||||||
Comcast Corp., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 12,359 | 411,950 | 541,942 | 171,690 | ||||||||
Electronic Arts, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,815 | 216,893 | 248,310 | 47,003 | ||||||||
Fox Corp., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 7,694 | 240,413 | 228,281 | 8,655 | ||||||||
Interpublic Group of Cos., Inc. (The) | USFF +0.250% | Weekly | MS | 07/23/25 | 8,880 | 260,018 | 289,843 | 55,590 | ||||||||
John Wiley & Sons, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 868 | 26,178 | 27,550 | 3,444 | ||||||||
Live Nation Entertainment, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2 | 189 | 187 | (26) | ||||||||
Match Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 7,597 | 284,057 | 277,290 | 12,788 |
22
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Media & Entertainment — (continued) | ||||||||||||||||
Meta Platforms, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 5,583 | $766,308 | $1,976,159 | $1,262,667 | ||||||||
Netflix, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 879 | 311,138 | 427,968 | 137,580 | ||||||||
News Corp., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 2,255 | 38,637 | 55,360 | 27,241 | ||||||||
Omnicom Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 904 | 76,964 | 78,205 | 8,550 | ||||||||
Pinterest, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 894 | 33,728 | 33,114 | 1,675 | ||||||||
Roku, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,427 | 183,415 | 222,459 | 51,657 | ||||||||
Shutterstock, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,306 | 59,316 | 63,054 | 8,404 | ||||||||
Vimeo, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 15,939 | 62,906 | 62,481 | 3,876 | ||||||||
Walt Disney Co. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 7,503 | 645,201 | 677,446 | 78,623 | ||||||||
Yelp, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,699 | 75,990 | 80,431 | 9,644 | ||||||||
ZipRecruiter, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 3,748 | 51,296 | 52,097 | 4,300 | ||||||||
133,347 | 5,744,315 | 8,040,592 | 2,729,795 | |||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||
10X Genomics, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 439 | 24,892 | 24,566 | 1,354 | ||||||||
AbbVie, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 595 | 91,686 | 92,207 | 6,807 | ||||||||
Aerovate Therapeutics, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1 | 22 | 22 | (35) | ||||||||
Agilent Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 3,108 | 364,474 | 432,105 | 98,970 | ||||||||
Alnylam Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 873 | 147,197 | 167,101 | 30,019 | ||||||||
Amgen, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,589 | 424,585 | 457,664 | 63,559 | ||||||||
Amphastar Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,058 | 58,753 | 65,437 | 10,797 | ||||||||
ANI Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,035 | 59,176 | 57,070 | 1,851 | ||||||||
Ardelyx, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 9,980 | 38,924 | 61,876 | 25,599 | ||||||||
Azenta, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 922 | 59,353 | 60,059 | 4,762 | ||||||||
Bio-Rad Laboratories, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 1,026 | 343,558 | 331,285 | 11,385 | ||||||||
Bridgebio Pharma, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 847 | 34,280 | 34,193 | 2,240 | ||||||||
Bristol-Myers Squibb Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 16,293 | 906,883 | 835,994 | 4,445 | ||||||||
Cabaletta Bio, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 128 | 2,820 | 2,906 | 243 | ||||||||
CareDx, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 324 | 3,997 | 3,888 | 130 | ||||||||
Catalyst Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,429 | 16,535 | 24,021 | 8,589 | ||||||||
Celldex Therapeutics, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 150 | 5,681 | 5,949 | 622 |
23
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||||||||
Charles River Laboratories International, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 49 | $11,634 | $11,584 | $715 | ||||||||
Collegium Pharmaceutical, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,617 | 106,859 | 142,111 | 42,585 | ||||||||
Cymabay Therapeutics, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,049 | 13,624 | 24,777 | 12,056 | ||||||||
Editas Medicine, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 5,475 | 55,460 | 55,462 | 3,790 | ||||||||
EyePoint Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,427 | 30,064 | 32,978 | 4,950 | ||||||||
Gilead Sciences, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 3,821 | 286,933 | 309,539 | 49,156 | ||||||||
Halozyme Therapeutics, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 6,685 | 257,338 | 247,078 | 7,452 | ||||||||
Harmony Biosciences Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 9,802 | 318,614 | 316,605 | 19,929 | ||||||||
ImmunoGen, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 855 | 3,579 | 25,351 | 21,981 | ||||||||
Incyte Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 7,525 | 409,495 | 472,495 | 92,228 | ||||||||
Innoviva, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 46 | 739 | 738 | 13 | ||||||||
IQVIA Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 398 | 90,488 | 92,089 | 7,805 | ||||||||
Johnson & Johnson | USFF +0.250% | Weekly | MS | 07/23/25 | 7,758 | 1,200,771 | 1,215,989 | 127,451 | ||||||||
Ligand Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 575 | 37,794 | 41,066 | 5,834 | ||||||||
Merck & Co., Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 6,877 | 704,160 | 749,731 | 102,422 | ||||||||
Mettler-Toledo International, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 376 | 411,972 | 456,073 | 72,638 | ||||||||
Quanterix Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,189 | 29,675 | 32,507 | 4,859 | ||||||||
RAPT Therapeutics, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 12 | 299 | 298 | (18) | ||||||||
Relay Therapeutics, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,883 | 19,958 | 20,732 | 2,113 | ||||||||
Rhythm Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,694 | 48,002 | 77,873 | 33,144 | ||||||||
Roivant Sciences Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 07/11/28 | 34 | 388 | 382 | (17) | ||||||||
Twist Bioscience Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 6,064 | 168,493 | 223,519 | 66,610 | ||||||||
United Therapeutics Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 290 | 63,683 | 63,768 | 4,440 | ||||||||
Viatris, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 14,619 | 139,746 | 158,324 | 36,609 | ||||||||
West Pharmaceutical Services, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 745 | 227,373 | 262,329 | 50,856 | ||||||||
123,662 | 7,219,957 | 7,689,741 | 1,040,938 |
24
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Advanced Micro Devices, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,956 | $529,576 | $730,564 | $237,476 | ||||||||
Applied Materials, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,573 | 433,306 | 579,076 | 180,547 | ||||||||
Broadcom, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 1,012 | 647,306 | 1,129,645 | 562,739 | ||||||||
Diodes, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,333 | 100,331 | 107,333 | 14,013 | ||||||||
KLA Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 203 | 112,129 | 118,004 | 13,656 | ||||||||
Lam Research Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 405 | 191,998 | 317,220 | 142,052 | ||||||||
Microchip Technology, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 7,534 | 489,352 | 679,416 | 238,464 | ||||||||
Micron Technology, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 4,415 | 379,066 | 376,776 | 24,276 | ||||||||
Monolithic Power Systems, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 707 | 344,076 | 445,961 | 126,934 | ||||||||
NVIDIA Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,525 | 780,613 | 1,250,430 | 532,689 | ||||||||
NXP Semiconductors NV (Netherlands) | USFF +0.250% | Weekly | MS | 01/07/27 | 3,136 | 471,812 | 720,276 | 293,542 | ||||||||
Photronics, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 7,722 | 126,353 | 242,239 | 125,301 | ||||||||
QUALCOMM, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 7,591 | 862,372 | 1,097,886 | 306,480 | ||||||||
Rambus, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,125 | 74,367 | 76,781 | 7,506 | ||||||||
Skyworks Solutions, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,396 | 424,810 | 494,198 | 106,293 | ||||||||
SMART Global Holdings, Inc. (Cayman Islands) | USFF +0.250% | Weekly | MS | 07/11/28 | 2,455 | 52,070 | 46,473 | (2,562) | ||||||||
53,088 | 6,019,537 | 8,412,278 | 2,909,406 | |||||||||||||
Software & Services | ||||||||||||||||
Accenture PLC, Class A (Ireland) | USFF +0.250% | Weekly | MS | 01/10/28 | 2,002 | 622,412 | 702,522 | 125,743 | ||||||||
Adobe, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 759 | 331,413 | 452,819 | 144,227 | ||||||||
Amdocs Ltd. (Guernsey) | USFF +0.250% | Weekly | MS | 01/10/28 | 1,353 | 113,289 | 118,915 | 14,248 | ||||||||
ANSYS, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 11 | 2,802 | 3,992 | 1,345 | ||||||||
AppLovin Corp., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 4,947 | 190,154 | 197,138 | 20,062 | ||||||||
Aspen Technology, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 208 | 35,440 | 45,791 | 12,894 | ||||||||
Blackbaud, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 302 | 22,212 | 26,183 | 5,466 | ||||||||
Cadence Design Systems, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 939 | 201,447 | 255,755 | 68,165 | ||||||||
Crowdstrike Holdings, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 207 | 52,213 | 52,851 | 4,202 | ||||||||
DocuSign, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 3,246 | 193,317 | 192,975 | 12,953 | ||||||||
Dolby Laboratories, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 111 | 9,565 | 9,566 | 623 | ||||||||
DXC Technology Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,376 | 31,490 | 31,469 | 2,113 | ||||||||
Elastic NV (Netherlands) | USFF +0.250% | Weekly | MS | 07/11/28 | 2,750 | 210,707 | 309,925 | 113,713 |
25
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Software & Services — (continued) | ||||||||||||||||
Fortinet, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 865 | $48,015 | $50,628 | $20,474 | ||||||||
Gartner, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 179 | 80,022 | 80,749 | 6,209 | ||||||||
Gen Digital, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 16,516 | 300,173 | 376,895 | 103,065 | ||||||||
Gitlab, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 2,362 | 131,169 | 148,712 | 26,552 | ||||||||
Guidewire Software, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,210 | 196,794 | 240,978 | 57,720 | ||||||||
Informatica, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 202 | 5,807 | 5,735 | 290 | ||||||||
InterDigital, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,169 | 244,950 | 343,963 | 118,485 | ||||||||
International Business Machines Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,509 | 322,146 | 410,347 | 121,092 | ||||||||
JFrog Ltd. (Israel) | USFF +0.250% | Weekly | MS | 07/11/28 | 957 | 31,642 | 33,122 | 3,624 | ||||||||
Kyndryl Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 3,301 | 51,477 | 68,595 | 20,631 | ||||||||
LiveRamp Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,904 | 94,676 | 110,004 | 21,820 | ||||||||
Manhattan Associates, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 231 | 50,252 | 49,739 | 2,916 | ||||||||
Microsoft Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,588 | 1,108,268 | 1,725,272 | 708,170 | ||||||||
MongoDB, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 254 | 57,653 | 103,848 | 50,134 | ||||||||
NCR Voyix Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 21,174 | 326,248 | 358,052 | 54,204 | ||||||||
Nutanix, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 6,321 | 189,833 | 301,448 | 124,671 | ||||||||
Oracle Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 13,276 | 1,232,135 | 1,399,689 | 271,367 | ||||||||
Palantir Technologies, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 38,606 | 713,200 | 662,865 | (1,182) | ||||||||
Palo Alto Networks, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,240 | 887,470 | 1,250,291 | 423,994 | ||||||||
Q2 Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,771 | 58,461 | 76,879 | 22,413 | ||||||||
Qualys, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 228 | 23,662 | 44,752 | 22,684 | ||||||||
Salesforce, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,868 | 554,642 | 1,017,826 | 501,401 | ||||||||
Samsara, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 9,239 | 242,456 | 308,398 | 82,627 | ||||||||
ServiceNow, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,502 | 695,531 | 1,061,148 | 413,552 | ||||||||
Shopify, Inc., Class A (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 2,138 | 159,064 | 166,550 | 18,420 | ||||||||
Smartsheet, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 1,260 | 50,290 | 60,253 | 13,983 | ||||||||
Splunk, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,356 | 293,186 | 358,937 | 90,096 | ||||||||
Squarespace, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 2,555 | 71,228 | 84,341 | 18,697 | ||||||||
Synopsys, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 685 | 313,493 | 352,713 | 60,805 | ||||||||
UiPath, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 18,142 | 380,679 | 450,647 | 96,187 | ||||||||
VeriSign, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,231 | 233,827 | 253,537 | 35,800 | ||||||||
Weave Communications, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 270 | 2,992 | 3,097 | 274 | ||||||||
Workday, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 719 | 196,501 | 198,487 | 15,502 | ||||||||
Yext, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 12,423 | 105,158 | 73,171 | (24,771) |
26
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Software & Services — (continued) | ||||||||||||||||
Zoom Video Communications, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 1,790 | $111,237 | $128,719 | $26,051 | ||||||||
Zuora, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 1,512 | 13,681 | 14,213 | 1,438 | ||||||||
203,764 | 11,594,479 | 14,774,501 | 4,055,149 | |||||||||||||
Technology Hardware & Equipment | ||||||||||||||||
Apple, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 7,522 | 1,092,320 | 1,448,211 | 438,380 | ||||||||
Arrow Electronics, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,085 | 131,897 | 132,641 | 9,804 | ||||||||
Badger Meter, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 208 | 28,800 | 32,109 | 5,316 | ||||||||
Bel Fuse, Inc., Class B | USFF +0.250% | Weekly | MS | 07/11/28 | 1,055 | 52,308 | 70,442 | 21,803 | ||||||||
CDW Corp. | USFF +0.250% | Weekly | MS | 07/23/25 | 612 | 99,333 | 139,120 | 48,581 | ||||||||
Cisco Systems, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 12,832 | 576,043 | 648,273 | 138,725 | ||||||||
Corning, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 5,775 | 163,841 | 175,849 | 23,831 | ||||||||
Crane NXT Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,638 | 82,597 | 93,153 | 16,687 | ||||||||
Extreme Networks, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 20,478 | 464,682 | 361,232 | (71,438) | ||||||||
F5, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,123 | 162,712 | 200,995 | 49,468 | ||||||||
Fabrinet (Cayman Islands) | USFF +0.250% | Weekly | MS | 07/11/28 | 1,215 | 202,898 | 231,251 | 42,933 | ||||||||
Hewlett Packard Enterprise Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 35,913 | 548,872 | 609,803 | 111,068 | ||||||||
HP, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 8,834 | 244,476 | 265,815 | 48,112 | ||||||||
Insight Enterprises, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,040 | 128,739 | 184,278 | 64,381 | ||||||||
IonQ, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,235 | 7,939 | 15,302 | 7,872 | ||||||||
Itron, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,070 | 69,888 | 80,796 | 15,719 | ||||||||
Jabil, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 4,858 | 599,321 | 618,909 | 60,890 | ||||||||
Juniper Networks, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 9,170 | 249,447 | 270,332 | 40,735 | ||||||||
Keysight Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 236 | 37,632 | 37,545 | 2,471 | ||||||||
Knowles Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,624 | 26,208 | 29,086 | 4,648 | ||||||||
Motorola Solutions, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 871 | 271,700 | 272,701 | 19,704 | ||||||||
Napco Security Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,824 | 69,970 | 96,722 | 31,831 | ||||||||
NetApp, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 3,742 | 227,724 | 329,895 | 133,961 | ||||||||
NetScout Systems, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 5,664 | 168,844 | 124,325 | (33,087) | ||||||||
nLight, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 209 | 2,842 | 2,821 | 138 | ||||||||
Seagate Technology Holdings PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/10/28 | 5,412 | 331,509 | 462,022 | 164,101 | ||||||||
SmartRent, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,962 | 6,248 | 6,259 | 404 | ||||||||
Super Micro Computer, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,649 | 427,686 | 1,321,525 | 923,300 |
27
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Technology Hardware & Equipment — (continued) | ||||||||||||||||
TE Connectivity Ltd. (Switzerland) | USFF +0.250% | Weekly | MS | 07/11/28 | 1,198 | $147,106 | $168,319 | $32,640 | ||||||||
Vishay Intertechnology, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,618 | 38,212 | 38,783 | 3,299 | ||||||||
Vontier Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 4,497 | 153,750 | 155,371 | 12,212 | ||||||||
Western Digital Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 5,200 | 220,589 | 272,324 | 66,912 | ||||||||
155,369 | 7,036,133 | 8,896,209 | 2,435,401 | |||||||||||||
Telecommunication Services | ||||||||||||||||
AT&T, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 31,045 | 478,452 | 520,935 | 84,612 | ||||||||
EchoStar Corp., Class A | USFF +0.250% | Weekly | MS | 07/23/25 | 5,787 | 137,779 | 95,891 | (40,025) | ||||||||
TELUS Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 1,270 | 22,629 | 22,593 | 1,488 | ||||||||
T-Mobile US, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,127 | 417,099 | 501,352 | 114,868 | ||||||||
United States Cellular Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 229 | 9,458 | 9,513 | 670 | ||||||||
Verizon Communications, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 10,903 | 388,283 | 411,043 | 62,619 | ||||||||
52,361 | 1,453,700 | 1,561,327 | 224,232 | |||||||||||||
Transportation | ||||||||||||||||
American Airlines Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 5,510 | 71,628 | 75,707 | 8,982 | ||||||||
ArcBest Corp. | USFF +0.250% | Weekly | MS | 07/23/25 | 319 | 25,866 | 38,347 | 16,210 | ||||||||
CH Robinson Worldwide, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 954 | 87,825 | 82,416 | 2,286 | ||||||||
CSX Corp. | USFF +0.250% | Weekly | MS | 07/23/25 | 9,767 | 282,521 | 338,622 | 82,604 | ||||||||
Delta Air Lines, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 9,971 | 327,466 | 401,133 | 96,216 | ||||||||
Expeditors International of Washington, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 864 | 91,398 | 109,901 | 28,789 | ||||||||
FedEx Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,549 | 849,615 | 897,791 | 112,267 | ||||||||
GXO Logistics, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,662 | 149,510 | 162,808 | 23,606 | ||||||||
Hub Group, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 142 | 10,901 | 13,055 | 2,869 | ||||||||
Landstar System, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 127 | 21,275 | 24,594 | 5,200 | ||||||||
Norfolk Southern Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,070 | 211,689 | 252,927 | 56,966 | ||||||||
Old Dominion Freight Line, Inc. | USFF +0.250% | Weekly | MS | 07/23/25 | 424 | 141,178 | 171,860 | 41,065 | ||||||||
Ryder System, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 124 | 10,097 | 14,267 | 5,435 | ||||||||
SkyWest, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 4,879 | 213,934 | 254,684 | 55,468 | ||||||||
Uber Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,500 | 242,105 | 277,065 | 51,621 | ||||||||
Union Pacific Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 360 | 87,943 | 88,423 | 6,790 |
28
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Transportation — (continued) | ||||||||||||||||
United Parcel Service, Inc., Class B | USFF +0.250% | Weekly | MS | 07/11/28 | 412 | $64,802 | $64,779 | $(1,140) | ||||||||
XPO, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 583 | 48,091 | 51,065 | 6,315 | ||||||||
46,217 | 2,937,844 | 3,319,444 | 601,549 | |||||||||||||
Utilities | ||||||||||||||||
ALLETE, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 5,568 | 318,681 | 340,539 | 49,275 | ||||||||
American Water Works Co., Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 636 | 88,046 | 83,946 | 3,217 | ||||||||
Atmos Energy Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 161 | 17,981 | 18,660 | 2,069 | ||||||||
Black Hills Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,578 | 243,153 | 246,983 | 22,720 | ||||||||
Constellation Energy Corp. | USFF +0.250% | Weekly | MS | 07/23/25 | 2,914 | 251,691 | 340,617 | 110,001 | ||||||||
Dominion Energy, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 4,042 | 188,421 | 189,974 | 17,067 | ||||||||
DTE Energy Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 83 | 9,128 | 9,152 | 616 | ||||||||
Entergy Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,028 | 303,693 | 306,403 | 31,443 | ||||||||
Fortis, Inc. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 1,944 | 79,151 | 79,957 | 6,626 | ||||||||
NextEra Energy, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,341 | 116,143 | 142,192 | 35,117 | ||||||||
NRG Energy, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 14,676 | 644,305 | 758,749 | 161,252 | ||||||||
ONE Gas, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 805 | 48,638 | 51,295 | 6,219 | ||||||||
Otter Tail Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 687 | 48,205 | 58,374 | 15,723 | ||||||||
PPL Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 8,643 | 214,529 | 234,225 | 37,348 | ||||||||
Public Service Enterprise Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,753 | 107,690 | 107,196 | 7,017 | ||||||||
Spire, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 799 | 49,306 | 49,810 | 4,312 | ||||||||
TransAlta Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 793 | 6,457 | 6,590 | 554 | ||||||||
Vistra Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 7,956 | 215,030 | 306,465 | 110,383 | ||||||||
WEC Energy Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 163 | 13,514 | 13,720 | 965 | ||||||||
61,570 | 2,963,762 | 3,344,847 | 621,924 | |||||||||||||
Total Reference Entity — Long | 114,830,997 | 136,751,992 | 31,210,646 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Short | ||||||||||||||||
Automobiles & Components | ||||||||||||||||
Dana, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (28,519) | $(363,577) | $(416,663) | $(57,222) | ||||||||
Garrett Motion, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (296) | (2,854) | (2,862) | (72) | ||||||||
Gentherm, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,420) | (176,240) | (126,711) | 49,582 | ||||||||
Harley-Davidson, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (504) | (18,623) | (18,567) | (74) | ||||||||
LCI Industries | USFF -0.250% | Weekly | MS | 01/10/28 | (3,715) | (475,666) | (467,013) | (3,386) | ||||||||
Lucid Group, Inc. | USFF -5.555% | Weekly | MS | 07/11/28 | (122,032) | (806,655) | (513,755) | 285,610 | ||||||||
Luminar Technologies, Inc. | USFF -16.008% | Weekly | MS | 07/11/28 | (114,045) | (525,000) | (384,332) | 135,911 |
29
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Automobiles & Components — (continued) | ||||||||||||||||
Magna International, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (20,172) | $(1,199,521) | $(1,191,762) | $(20,872) | ||||||||
Mobileye Global, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (7,515) | (282,183) | (325,550) | (47,830) | ||||||||
Phinia, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,876) | (56,988) | (56,824) | (386) | ||||||||
QuantumScape Corp. | USFF -0.780% | Weekly | MS | 07/11/28 | (1,835) | (13,067) | (12,753) | 158 | ||||||||
Tesla, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,764) | (708,833) | (686,799) | 15,624 | ||||||||
Winnebago Industries, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,828) | (320,741) | (351,865) | (35,488) | ||||||||
(310,521) | (4,949,948) | (4,555,456) | 321,555 | |||||||||||||
Capital Goods | ||||||||||||||||
3D Systems Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (95,449) | (836,630) | (606,101) | 221,179 | ||||||||
AAON, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (15,290) | (996,722) | (1,129,472) | (142,294) | ||||||||
AeroVironment, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,913) | (624,118) | (619,235) | (767) | ||||||||
AerSale Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (17,125) | (257,002) | (217,402) | 37,252 | ||||||||
Albany International Corp., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (12,853) | (1,189,129) | (1,262,422) | (91,534) | ||||||||
Allegion PLC (Ireland) | USFF -0.250% | Weekly | MS | 07/11/28 | (9,181) | (1,130,299) | (1,163,141) | (43,042) | ||||||||
Ameresco, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (35,441) | (1,479,942) | (1,122,416) | 344,182 | ||||||||
Archer Aviation, Inc., Class A | USFF -4.830% | Weekly | MS | 07/11/28 | (9,089) | (58,171) | (55,806) | 1,804 | ||||||||
Arcosa, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (8,217) | (624,868) | (679,053) | (59,840) | ||||||||
Argan, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (204) | (9,711) | (9,545) | 41 | ||||||||
Astec Industries, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,677) | (56,364) | (62,384) | (6,587) | ||||||||
Atkore, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,100) | (294,873) | (336,000) | (43,816) | ||||||||
Ballard Power Systems, Inc. (Canada) | USFF -1.184% | Weekly | MS | 01/05/26 | (201,442) | (1,894,199) | (745,335) | 1,131,583 | ||||||||
Barnes Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (6,730) | (189,705) | (219,600) | (31,883) | ||||||||
ChargePoint Holdings, Inc. | USFF -4.526% | Weekly | MS | 01/10/28 | (208,063) | (1,163,510) | (486,867) | 666,144 | ||||||||
Chart Industries, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,247) | (604,433) | (578,994) | 19,967 | ||||||||
Construction Partners, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (3,818) | (126,713) | (166,159) | (44,770) | ||||||||
Distribution Solutions Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (436) | (11,959) | (13,760) | (1,947) | ||||||||
Dover Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,046) | (587,759) | (622,315) | (40,534) | ||||||||
Ducommun, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,398) | (107,765) | (124,840) | (18,082) | ||||||||
Dycom Industries, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (7,115) | (764,769) | (818,865) | (61,010) | ||||||||
Energy Recovery, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (6,155) | (168,109) | (115,960) | 50,599 | ||||||||
Enovix Corp. | USFF -0.780% | Weekly | MS | 07/11/28 | (9,664) | (193,493) | (120,993) | 70,723 | ||||||||
ESCO Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,246) | (136,703) | (145,819) | (10,383) | ||||||||
Federal Signal Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (6,002) | (367,321) | (460,593) | (101,741) | ||||||||
GATX Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (7,451) | (876,222) | (895,759) | (33,974) |
30
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
GMS, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (111) | $(9,231) | $(9,150) | $(39) | ||||||||
GrafTech International Ltd. | USFF -0.250% | Weekly | MS | 07/08/27 | (155,440) | (746,488) | (340,414) | 397,677 | ||||||||
Granite Construction, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (11,626) | (470,042) | (591,298) | (132,560) | ||||||||
Hayward Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (19,054) | (257,015) | (259,134) | (4,468) | ||||||||
Helios Technologies, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (11,341) | (669,117) | (514,314) | 147,211 | ||||||||
Herc Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (8,241) | (989,984) | (1,227,003) | (278,317) | ||||||||
Hexcel Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (20,876) | (1,472,844) | (1,539,605) | (83,063) | ||||||||
Hillenbrand, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (9,547) | (468,397) | (456,824) | (1,657) | ||||||||
Hubbell, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,412) | (454,203) | (464,449) | (14,762) | ||||||||
JELD-WEN Holding, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (20,443) | (485,574) | (385,964) | 96,283 | ||||||||
John Bean Technologies Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,326) | (380,225) | (330,771) | 45,037 | ||||||||
Kadant, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (958) | (217,869) | (268,537) | (53,449) | ||||||||
Kratos Defense & Security Solutions, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (16,051) | (379,367) | (325,675) | 50,245 | ||||||||
L3Harris Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (6,071) | (1,124,802) | (1,278,674) | (185,195) | ||||||||
MasTec, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,851) | (636,983) | (518,758) | 112,461 | ||||||||
Mercury Systems, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (22,114) | (1,504,222) | (808,709) | 681,951 | ||||||||
Moog, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (7,324) | (824,723) | (1,060,369) | (251,446) | ||||||||
MRC Global, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (35,903) | (385,889) | (395,292) | (13,350) | ||||||||
Mueller Water Products, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (43,158) | (544,753) | (621,475) | (97,531) | ||||||||
MYR Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,996) | (407,207) | (433,311) | (29,804) | ||||||||
Nikola Corp. | USFF -5.333% | Weekly | MS | 07/11/28 | (23,171) | (20,274) | (20,270) | (216) | ||||||||
Nordson Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,523) | (1,128,722) | (1,194,796) | (78,316) | ||||||||
NOW, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (18,328) | (209,173) | (207,473) | (218) | ||||||||
Oshkosh Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,550) | (422,351) | (493,266) | (76,925) | ||||||||
PGT Innovations, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (19,593) | (589,935) | (797,435) | (212,842) | ||||||||
Plug Power, Inc. | USFF -3.846% | Weekly | MS | 01/10/28 | (128,152) | (1,148,361) | (576,684) | 561,315 | ||||||||
Primoris Services Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (11,567) | (310,578) | (384,140) | (85,926) | ||||||||
RBC Bearings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,118) | (277,060) | (318,507) | (43,976) | ||||||||
Regal Rexnord Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,137) | (230,700) | (316,319) | (88,478) | ||||||||
Resideo Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (14,137) | (284,475) | (266,058) | 15,595 | ||||||||
Rocket Lab USA, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (83,611) | (370,419) | (462,369) | (98,235) | ||||||||
Rush Enterprises, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (14,589) | (571,824) | (733,827) | (171,368) | ||||||||
SES AI Corp. | USFF -2.520% | Weekly | MS | 07/11/28 | (336) | (650) | (615) | (8) |
31
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
SiteOne Landscape Supply, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | (9,210) | $(1,294,337) | $(1,496,625) | $(213,963) | ||||||||
Spirit AeroSystems Holdings, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (14,066) | (336,586) | (447,017) | (116,578) | ||||||||
Sunrun, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (28,158) | (626,022) | (552,742) | 67,149 | ||||||||
Titan Machinery, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (15,788) | (488,817) | (455,957) | 28,366 | ||||||||
Toro Co. (The) | USFF -0.250% | Weekly | MS | 07/11/28 | (13,551) | (1,152,315) | (1,300,761) | (163,532) | ||||||||
Transcat, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (106) | (11,600) | (11,589) | (131) | ||||||||
Valmont Industries, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (648) | (144,509) | (151,314) | (8,532) | ||||||||
Vicor Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (370) | (16,966) | (16,628) | 148 | ||||||||
Watsco, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,291) | (508,221) | (553,155) | (49,777) | ||||||||
WillScot Mobile Mini Holdings Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (45,442) | (1,787,179) | (2,022,169) | (251,097) | ||||||||
Xometry, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (11,926) | (425,697) | (428,263) | (11,127) | ||||||||
Xylem, Inc./NY | USFF -0.250% | Weekly | MS | 07/11/28 | (5,899) | (638,679) | (674,610) | (45,989) | ||||||||
(1,555,462) | (40,174,874) | (38,491,151) | 1,151,833 | |||||||||||||
Commercial & Professional Services | ||||||||||||||||
ABM Industries, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (13,062) | (616,576) | (585,569) | 17,962 | ||||||||
Casella Waste Systems, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (13,471) | (1,083,236) | (1,151,232) | (77,772) | ||||||||
CBIZ, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (7,592) | (414,733) | (475,183) | (64,236) | ||||||||
Clarivate PLC (Jersey) | USFF -0.250% | Weekly | MS | 07/11/28 | (71,183) | (534,018) | (659,155) | (129,975) | ||||||||
Clean Harbors, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,763) | (288,206) | (307,661) | (22,190) | ||||||||
Conduent, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (9,091) | (28,225) | (33,182) | (5,248) | ||||||||
CSG Systems International, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,751) | (169,263) | (146,381) | 18,323 | ||||||||
Driven Brands Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (15,418) | (489,003) | (219,861) | 264,708 | ||||||||
Equifax, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (9,518) | (2,128,359) | (2,353,706) | (248,795) | ||||||||
Exponent, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (16,290) | (1,450,636) | (1,434,172) | (3,094) | ||||||||
FTI Consulting, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (9,260) | (1,765,185) | (1,844,129) | (100,444) | ||||||||
GFL Environmental, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (35,612) | (1,091,141) | (1,228,970) | (147,677) | ||||||||
Healthcare Services Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (12,605) | (158,536) | (130,714) | 26,781 | ||||||||
HNI Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (4,475) | (153,702) | (187,189) | (37,823) | ||||||||
Kforce, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (5,866) | (358,077) | (396,307) | (47,016) | ||||||||
Korn Ferry | USFF -0.250% | Weekly | MS | 07/11/28 | (5,615) | (276,757) | (333,250) | (65,172) | ||||||||
Matthews International Corp., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (1,395) | (50,013) | (51,127) | (1,654) | ||||||||
Maximus, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,646) | (222,306) | (221,894) | (1,453) |
32
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Commercial & Professional Services — (continued) | ||||||||||||||||
Montrose Environmental Group, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,183) | $(142,048) | $(102,270) | $38,463 | ||||||||
Paycom Software, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,463) | (578,545) | (509,151) | 63,784 | ||||||||
Paylocity Holding Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,819) | (624,650) | (464,712) | 154,284 | ||||||||
RB Global, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (29,575) | (1,748,032) | (1,978,272) | (262,724) | ||||||||
Stericycle, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (7,005) | (323,520) | (347,168) | (27,199) | ||||||||
Sterling Check Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (160) | (2,218) | (2,227) | (66) | ||||||||
TransUnion | USFF -0.250% | Weekly | MS | 07/11/28 | (21,741) | (1,474,767) | (1,493,824) | (32,355) | ||||||||
UniFirst Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,248) | (444,014) | (411,182) | 23,136 | ||||||||
Verra Mobility Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (31,443) | (615,596) | (724,132) | (118,774) | ||||||||
(338,250) | (17,231,362) | (17,792,620) | (786,226) | |||||||||||||
Consumer Discretionary Distribution & Retail | ||||||||||||||||
Advance Auto Parts, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (9,652) | (1,302,144) | (589,062) | 671,020 | ||||||||
Arhaus, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (801) | (9,549) | (9,492) | (66) | ||||||||
Arko Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (7,563) | (58,167) | (62,395) | (4,875) | ||||||||
Asbury Automotive Group, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (8,362) | (1,772,809) | (1,881,199) | (124,368) | ||||||||
Bath & Body Works, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (21,775) | (885,883) | (939,809) | (61,928) | ||||||||
Buckle, Inc. (The) | USFF -0.250% | Weekly | MS | 07/11/28 | (12,565) | (532,733) | (597,089) | (68,849) | ||||||||
Caleres, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (10,906) | (287,419) | (335,141) | (55,077) | ||||||||
Chico's FAS, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (16,066) | (120,274) | (121,780) | (2,764) | ||||||||
Dillard's, Inc., Class A | USFF -0.630% | Weekly | MS | 07/11/28 | (681) | (263,219) | (274,886) | (20,868) | ||||||||
Five Below, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,287) | (406,134) | (487,497) | (85,052) | ||||||||
Foot Locker, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (32,437) | (1,134,050) | (1,010,413) | 103,536 | ||||||||
Guess?, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (5,198) | (123,734) | (119,866) | 469 | ||||||||
Leslie's, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (57,262) | (790,731) | (395,680) | 389,405 | ||||||||
Macy's, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (16,488) | (282,913) | (331,739) | (54,134) | ||||||||
MarineMax, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (19,396) | (579,070) | (754,504) | (180,678) | ||||||||
Murphy USA, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,631) | (955,596) | (938,109) | 7,728 | ||||||||
National Vision Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (4,592) | (204,838) | (96,111) | 119,228 | ||||||||
Nordstrom, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (14,920) | (244,298) | (275,274) | (33,528) | ||||||||
Ollie's Bargain Outlet Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (347) | (26,340) | (26,334) | (269) | ||||||||
Penske Automotive Group, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (5,527) | (951,392) | (887,139) | 48,375 | ||||||||
RH | USFF -0.250% | Weekly | MS | 07/11/28 | (1,257) | (380,996) | (366,390) | 11,143 | ||||||||
Shoe Carnival, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,444) | (161,542) | (194,673) | (35,519) |
33
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Discretionary Distribution & Retail — (continued) | ||||||||||||||||
Sonic Automotive, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (7,180) | $(373,166) | $(403,588) | $(35,728) | ||||||||
Victoria's Secret & Co. | USFF -0.250% | Weekly | MS | 01/05/26 | (29,736) | (1,147,641) | (789,193) | 342,091 | ||||||||
(294,073) | (12,994,638) | (11,887,363) | 929,292 | |||||||||||||
Consumer Durables & Apparel | ||||||||||||||||
BRP, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (206) | (14,759) | (14,768) | (168) | ||||||||
Brunswick Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,776) | (170,994) | (171,828) | (2,409) | ||||||||
Capri Holdings Ltd. (British Virgin Islands) | USFF -0.250% | Weekly | MS | 07/11/28 | (29,052) | (1,414,005) | (1,459,572) | (59,755) | ||||||||
Ethan Allen Interiors, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,016) | (31,499) | (32,431) | (1,253) | ||||||||
Gildan Activewear, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (32,238) | (993,098) | (1,065,788) | (97,783) | ||||||||
iRobot Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,936) | (111,809) | (113,623) | (2,857) | ||||||||
Levi Strauss & Co., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (152,022) | (2,303,270) | (2,514,444) | (268,102) | ||||||||
Malibu Boats, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (962) | (51,808) | (52,737) | (1,432) | ||||||||
Movado Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (866) | (25,682) | (26,110) | (722) | ||||||||
Newell Brands, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (12,242) | (179,264) | (106,261) | 68,759 | ||||||||
Sonos, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (41,147) | (687,611) | (705,260) | (28,243) | ||||||||
Sturm Ruger & Co., Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (512) | (23,314) | (23,270) | (203) | ||||||||
Tempur Sealy International, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (417) | (21,382) | (21,254) | (585) | ||||||||
Topgolf Callaway Brands Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (65,740) | (1,610,144) | (942,712) | 652,917 | ||||||||
Under Armour, Inc., Class C | USFF -0.250% | Weekly | MS | 01/10/28 | (103,308) | (773,917) | (862,622) | (99,764) | ||||||||
VF Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (21,739) | (712,500) | (408,693) | 271,524 | ||||||||
Whirlpool Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,023) | (161,409) | (124,571) | 37,707 | ||||||||
Wolverine World Wide, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (17,032) | (520,514) | (151,414) | 370,785 | ||||||||
(484,234) | (9,806,979) | (8,797,358) | 838,416 | |||||||||||||
Consumer Services | ||||||||||||||||
Airbnb, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (7,483) | (1,089,659) | (1,018,736) | 62,411 | ||||||||
Bally's Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (7,332) | (493,551) | (102,208) | 387,157 | ||||||||
Bloomin' Brands, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (7,255) | (194,207) | (204,228) | (11,805) | ||||||||
Boyd Gaming Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,868) | (230,601) | (242,175) | (15,120) | ||||||||
Chegg, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (72,942) | (1,080,659) | (828,621) | 242,284 | ||||||||
Churchill Downs, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (10,040) | (1,193,665) | (1,354,697) | (175,882) | ||||||||
Cracker Barrel Old Country Store, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,061) | (528,377) | (467,182) | 49,547 | ||||||||
Dave & Buster's Entertainment, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,473) | (226,917) | (240,871) | (16,031) |
34
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Services — (continued) | ||||||||||||||||
Expedia Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,705) | $(231,910) | $(258,802) | $(29,253) | ||||||||
First Watch Restaurant Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (6,073) | (112,946) | (122,067) | (10,174) | ||||||||
Hilton Worldwide Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,037) | (183,761) | (188,827) | (6,756) | ||||||||
Hyatt Hotels Corp., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (10,728) | (1,258,406) | (1,399,038) | (154,847) | ||||||||
Jack in the Box, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,863) | (145,577) | (152,077) | (8,602) | ||||||||
Krispy Kreme, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (88,225) | (1,217,422) | (1,331,315) | (130,340) | ||||||||
Life Time Group Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,034) | (60,158) | (60,833) | (1,253) | ||||||||
Mister Car Wash, Inc. | USFF -0.580% | Weekly | MS | 01/07/27 | (69,994) | (701,510) | (604,748) | 90,417 | ||||||||
OneSpaWorld Holdings Ltd. (Bahamas) | USFF -0.250% | Weekly | MS | 07/11/28 | (2,124) | (30,250) | (29,948) | (8) | ||||||||
Papa John's International, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (8,364) | (698,130) | (637,588) | 46,700 | ||||||||
Portillo's, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (57,656) | (1,155,586) | (918,460) | 226,699 | ||||||||
Red Rock Resorts, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (41,828) | (1,846,351) | (2,230,687) | (458,401) | ||||||||
Sweetgreen, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (5,246) | (58,805) | (59,280) | (1,041) | ||||||||
Texas Roadhouse, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,822) | (312,230) | (344,933) | (37,780) | ||||||||
Wingstop, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,246) | (777,053) | (1,089,439) | (327,297) | ||||||||
WW International, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (47,621) | (485,671) | (416,684) | 64,583 | ||||||||
Wyndham Hotels & Resorts, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,877) | (214,020) | (231,340) | (20,288) | ||||||||
(475,897) | (14,527,422) | (14,534,784) | (235,080) | |||||||||||||
Consumer Staples Distribution & Retail | ||||||||||||||||
Casey's General Stores, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,968) | (1,077,046) | (1,090,168) | (23,277) | ||||||||
Chefs' Warehouse, Inc. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (25,839) | (842,279) | (760,442) | 73,448 | ||||||||
Performance Food Group Co. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,505) | (301,376) | (311,521) | (12,892) | ||||||||
PriceSmart, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (6,084) | (430,050) | (461,046) | (34,853) | ||||||||
SpartanNash Co. | USFF -0.250% | Weekly | MS | 07/08/27 | (19,712) | (630,525) | (452,390) | 153,993 | ||||||||
Sprouts Farmers Market, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (12,508) | (511,297) | (601,760) | (95,098) | ||||||||
United Natural Foods, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (19,984) | (808,118) | (324,340) | 497,745 | ||||||||
Weis Markets, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (995) | (62,409) | (63,640) | (1,829) | ||||||||
(93,595) | (4,663,100) | (4,065,307) | 557,237 |
35
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Energy | ||||||||||||||||
Atlas Energy Solutions, Inc. | USFF -0.630% | Weekly | MS | 07/11/28 | (7,370) | $(127,487) | $(126,911) | $(608) | ||||||||
Baytex Energy Corp. (Canada) | USFF -0.865% | Weekly | MS | 07/08/27 | (246,342) | (815,894) | (817,855) | (14,956) | ||||||||
Cactus, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (18,111) | (818,330) | (822,239) | (16,209) | ||||||||
Chevron Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (5,290) | (796,459) | (789,056) | (19,864) | ||||||||
Civitas Resources, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (22,158) | (1,518,990) | (1,515,164) | (38,179) | ||||||||
Clean Energy Fuels Corp. | USFF -0.268% | Weekly | MS | 07/11/28 | (95,240) | (365,794) | (364,769) | (2,302) | ||||||||
Comstock Resources, Inc. | USFF -0.580% | Weekly | MS | 01/10/28 | (123,531) | (1,291,444) | (1,093,249) | 159,583 | ||||||||
Core Laboratories, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (14,585) | (460,344) | (257,571) | 198,641 | ||||||||
Crescent Energy Co., Class A | USFF -0.680% | Weekly | MS | 07/11/28 | (14,195) | (167,020) | (187,516) | (22,036) | ||||||||
Crescent Point Energy Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (60,863) | (415,883) | (421,781) | (13,063) | ||||||||
Denison Mines Corp. (Canada) | USFF -0.730% | Weekly | MS | 01/10/28 | (120,372) | (123,763) | (213,058) | (90,445) | ||||||||
Diamond Offshore Drilling, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (50,977) | (745,268) | (662,701) | 75,464 | ||||||||
Dril-Quip, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (6,623) | (148,967) | (154,117) | (6,527) | ||||||||
DT Midstream, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (29,677) | (1,487,392) | (1,626,300) | (222,388) | ||||||||
Energy Fuels, Inc. (Canada) | USFF -1.230% | Weekly | MS | 07/11/28 | (35,143) | (261,761) | (252,678) | 6,691 | ||||||||
Green Plains, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (9,575) | (306,473) | (241,482) | 62,199 | ||||||||
Hess Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,880) | (445,432) | (415,181) | 24,454 | ||||||||
Kinetik Holdings, Inc. | USFF -0.730% | Weekly | MS | 01/07/27 | (24,596) | (906,322) | (821,506) | (16,967) | ||||||||
Kosmos Energy Ltd. | USFF -0.250% | Weekly | MS | 07/11/28 | (99,532) | (730,094) | (667,860) | 55,633 | ||||||||
Marathon Oil Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (15,074) | (383,025) | (364,188) | 13,025 | ||||||||
New Fortress Energy, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (27,054) | (1,242,767) | (1,020,747) | 127,301 | ||||||||
NexGen Energy Ltd. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (151,484) | (1,010,033) | (1,060,388) | (59,474) | ||||||||
NextDecade Corp. | USFF -0.865% | Weekly | MS | 07/11/28 | (11,178) | (53,934) | (53,319) | 92 | ||||||||
Noble Corp. PLC (United Kingdom) | USFF -0.250% | Weekly | MS | 07/11/28 | (4,411) | (198,358) | (212,434) | (15,897) | ||||||||
Northern Oil and Gas, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (30,927) | (1,113,069) | (1,146,464) | (63,554) | ||||||||
NOV, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (50,686) | (906,653) | (1,027,912) | (135,262) | ||||||||
Oceaneering International, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (9,583) | (244,402) | (203,926) | 38,240 | ||||||||
ONEOK, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (56,827) | (3,778,285) | (3,990,392) | (246,115) | ||||||||
Ovintiv, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (43,204) | (1,933,435) | (1,897,520) | 3,349 | ||||||||
Patterson-UTI Energy, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (115,292) | (1,299,114) | (1,245,154) | 39,890 |
36
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Energy — (continued) | ||||||||||||||||
ProFrac Holding Corp., Class A | USFF -0.580% | Weekly | MS | 07/08/27 | (31,979) | $(457,591) | $(271,182) | $182,258 | ||||||||
ProPetro Holding Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (126,145) | (1,142,118) | (1,057,095) | 74,716 | ||||||||
RPC, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (23,003) | (204,536) | (167,462) | 34,278 | ||||||||
Select Water Solutions, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (24,135) | (193,127) | (183,185) | 4,540 | ||||||||
SFL Corp. Ltd. (Bermuda) | USFF -0.250% | Weekly | MS | 01/10/28 | (34,436) | (374,312) | (388,438) | (36,957) | ||||||||
SilverBow Resources, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (11,785) | (502,171) | (342,708) | 154,911 | ||||||||
Southwestern Energy Co. | USFF -0.250% | Weekly | MS | 07/11/28 | (61,212) | (415,643) | (400,939) | 10,930 | ||||||||
Talos Energy, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (63,917) | (907,248) | (909,539) | (10,486) | ||||||||
TC Energy Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (43,032) | (1,573,375) | (1,682,121) | (161,576) | ||||||||
Valaris Ltd. (Bermuda) | USFF -0.250% | Weekly | MS | 07/11/28 | (8,004) | (549,255) | (548,834) | (4,555) | ||||||||
Vermilion Energy, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (59,639) | (753,137) | (719,246) | 16,015 | ||||||||
Vital Energy, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (10,717) | (546,385) | (487,516) | 53,918 | ||||||||
World Kinect Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (25,477) | (622,277) | (580,366) | 25,600 | ||||||||
(2,026,261) | (32,337,367) | (31,412,069) | 164,308 | |||||||||||||
Financial Services | ||||||||||||||||
FleetCor Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,448) | (402,105) | (409,219) | (10,767) | ||||||||
Jack Henry & Associates, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,016) | (333,588) | (329,435) | 764 | ||||||||
MSCI, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,042) | (583,583) | (589,407) | (11,109) | ||||||||
Remitly Global, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (55,535) | (1,105,487) | (1,078,490) | 17,020 | ||||||||
Toast, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (22,216) | (323,061) | (405,664) | (105,306) | ||||||||
WEX, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (942) | (184,415) | (183,266) | (547) | ||||||||
(83,199) | (2,932,239) | (2,995,481) | (109,945) | |||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||
Brown-Forman Corp., Class B | USFF -0.250% | Weekly | MS | 07/11/28 | (13,010) | (840,869) | (742,871) | 87,336 | ||||||||
Cal-Maine Foods, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (8,861) | (503,025) | (508,533) | (10,068) | ||||||||
Coca-Cola Consolidated, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (305) | (279,100) | (283,162) | (6,609) | ||||||||
Darling Ingredients, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (35,941) | (2,699,379) | (1,791,299) | 883,832 | ||||||||
Duckhorn Portfolio, Inc. (The) | USFF -0.250% | Weekly | MS | 07/11/28 | (6,366) | (60,310) | (62,705) | (2,975) | ||||||||
Flowers Foods, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (26,864) | (688,542) | (604,709) | 61,383 | ||||||||
Hain Celestial Group, Inc. (The) | USFF -0.250% | Weekly | MS | 07/08/27 | (44,185) | (879,857) | (483,826) | 393,482 | ||||||||
Mission Produce, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (6,161) | (88,863) | (62,165) | 25,738 | ||||||||
Pilgrim's Pride Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (61,840) | (1,530,006) | (1,710,494) | (198,284) |
37
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Food, Beverage & Tobacco — (continued) | ||||||||||||||||
Post Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,691) | $(152,289) | $(148,909) | $2,436 | ||||||||
Tyson Foods, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (71,455) | (3,585,109) | (3,840,706) | (345,316) | ||||||||
Utz Brands, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (17,660) | (406,458) | (286,798) | 108,162 | ||||||||
(294,339) | (11,713,807) | (10,526,177) | 999,117 | |||||||||||||
Health Care Equipment & Services | ||||||||||||||||
Abbott Laboratories | USFF -0.250% | Weekly | MS | 07/11/28 | (2,274) | (224,767) | (250,299) | (26,640) | ||||||||
Acadia Healthcare Co., Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (14,362) | (1,076,490) | (1,116,789) | (50,016) | ||||||||
AdaptHealth Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (8,280) | (226,755) | (60,361) | 164,317 | ||||||||
Agiliti, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (9,119) | (172,529) | (72,222) | 102,002 | ||||||||
agilon health, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (25,371) | (307,026) | (318,406) | (14,178) | ||||||||
Alphatec Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (26,916) | (339,791) | (406,701) | (72,840) | ||||||||
Amedisys, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (7,820) | (725,036) | (743,369) | (25,221) | ||||||||
Bausch + Lomb Corp. (Canada) | USFF -4.330% | Weekly | MS | 07/11/28 | (3,606) | (56,111) | (61,518) | (5,950) | ||||||||
Boston Scientific Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (5,486) | (292,207) | (317,146) | (27,603) | ||||||||
Chemed Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (247) | (127,855) | (144,433) | (20,707) | ||||||||
Cooper Cos., Inc. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (2,155) | (801,046) | (815,538) | (21,756) | ||||||||
CorVel Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (110) | (27,389) | (27,193) | (88) | ||||||||
DENTSPLY SIRONA, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (13,361) | (533,966) | (475,518) | 49,188 | ||||||||
DocGo, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (11,208) | (88,606) | (62,653) | 25,125 | ||||||||
Doximity, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (17,871) | (605,323) | (501,103) | 98,740 | ||||||||
Edwards Lifesciences Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,590) | (275,073) | (273,738) | (1,175) | ||||||||
Ensign Group, Inc. (The) | USFF -0.250% | Weekly | MS | 07/11/28 | (4,093) | (400,860) | (459,276) | (62,812) | ||||||||
Envista Holdings Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,221) | (252,206) | (149,677) | 100,224 | ||||||||
Glaukos Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,515) | (78,765) | (120,427) | (42,408) | ||||||||
Globus Medical, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (37,678) | (1,829,116) | (2,007,861) | (195,228) | ||||||||
GoodRx Holdings, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (5,467) | (35,131) | (36,629) | (1,851) | ||||||||
ICU Medical, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (355) | (65,196) | (35,408) | 29,164 | ||||||||
IDEXX Laboratories, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,553) | (831,241) | (861,993) | (38,263) | ||||||||
Inspire Medical Systems, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,468) | (628,531) | (908,925) | (291,907) | ||||||||
Insulet Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,252) | (739,463) | (705,619) | 27,158 | ||||||||
Integra LifeSciences Holdings Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (12,537) | (476,802) | (545,986) | (73,509) |
38
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Health Care Equipment & Services — (continued) | ||||||||||||||||
Intuitive Surgical, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,568) | $(495,874) | $(528,980) | $(37,602) | ||||||||
LifeStance Health Group, Inc. | USFF -0.680% | Weekly | MS | 07/11/28 | (26,767) | (188,622) | (209,586) | (22,697) | ||||||||
LivaNova PLC (United Kingdom) | USFF -0.250% | Weekly | MS | 07/11/28 | (12,740) | (621,306) | (659,168) | (43,485) | ||||||||
Masimo Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (20,184) | (2,257,523) | (2,365,767) | (128,579) | ||||||||
Merit Medical Systems, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (8,836) | (620,556) | (671,183) | (57,089) | ||||||||
Multiplan Corp. | USFF -0.267% | Weekly | MS | 07/11/28 | (37,309) | (64,037) | (53,725) | 9,699 | ||||||||
Neogen Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (25,315) | (458,608) | (509,085) | (54,637) | ||||||||
Nevro Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (39,100) | (1,022,763) | (841,432) | 171,848 | ||||||||
Novocure Ltd. (Jersey) | USFF -0.250% | Weekly | MS | 01/10/28 | (106,214) | (2,480,012) | (1,585,775) | 871,901 | ||||||||
Option Care Health, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (15,776) | (530,000) | (531,493) | (6,297) | ||||||||
PROCEPT BioRobotics Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (15,473) | (542,049) | (648,473) | (115,045) | ||||||||
QuidelOrtho Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (15,389) | (1,369,382) | (1,134,169) | 223,408 | ||||||||
RadNet, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (11,508) | (327,895) | (400,133) | (82,399) | ||||||||
ResMed, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (74) | (17,821) | (12,729) | 4,758 | ||||||||
Schrodinger, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (16,923) | (724,045) | (605,843) | 110,743 | ||||||||
Select Medical Holdings Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,297) | (126,734) | (100,980) | 22,693 | ||||||||
Shockwave Medical, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,998) | (655,624) | (571,299) | 78,392 | ||||||||
Simulations Plus, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (231) | (10,359) | (10,337) | (108) | ||||||||
STAAR Surgical Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (17,334) | (935,428) | (540,994) | 385,985 | ||||||||
Tandem Diabetes Care, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (30,497) | (1,492,199) | (902,101) | 575,949 | ||||||||
Teladoc Health, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (11,714) | (203,904) | (252,437) | (51,394) | ||||||||
TransMedics Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,779) | (156,707) | (219,346) | (67,649) | ||||||||
Treace Medical Concepts, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (31,784) | (515,053) | (405,246) | 105,139 | ||||||||
Universal Health Services, Inc., Class B | USFF -0.250% | Weekly | MS | 07/11/28 | (1,065) | (138,969) | (162,349) | (24,880) | ||||||||
US Physical Therapy, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,942) | (222,540) | (180,878) | 35,117 | ||||||||
(686,732) | (27,395,291) | (25,582,296) | 1,527,537 | |||||||||||||
Household & Personal Products | ||||||||||||||||
Central Garden & Pet Co., Class A | USFF -0.250% | Weekly | MS | 07/06/26 | (3,142) | (144,840) | (138,374) | 5,126 | ||||||||
Edgewell Personal Care Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,427) | (193,832) | (162,161) | 27,370 |
39
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Household & Personal Products — (continued) | ||||||||||||||||
Estee Lauder Cos., Inc. (The), Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (21,807) | $(2,882,853) | $(3,189,274) | $(337,190) | ||||||||
Inter Parfums, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (114) | (16,563) | (16,417) | (134) | ||||||||
(29,490) | (3,238,088) | (3,506,226) | (304,828) | |||||||||||||
Materials | ||||||||||||||||
AdvanSix, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,304) | (62,465) | (69,028) | (7,235) | ||||||||
Agnico Eagle Mines Ltd. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (20,865) | (1,006,478) | (1,144,445) | (154,198) | ||||||||
Air Products and Chemicals, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (8,236) | (2,308,557) | (2,255,017) | 19,332 | ||||||||
Albemarle Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,819) | (1,138,387) | (985,209) | 139,148 | ||||||||
Algoma Steel Group, Inc. (Canada) | USFF -3.080% | Weekly | MS | 01/10/28 | (49,844) | (395,985) | (499,935) | (116,886) | ||||||||
Ashland, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (23,310) | (2,160,104) | (1,965,266) | 153,110 | ||||||||
ATI, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,416) | (293,453) | (291,736) | (959) | ||||||||
Celanese Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,590) | (441,109) | (557,778) | (129,766) | ||||||||
Coeur Mining, Inc. | USFF -0.282% | Weekly | MS | 07/06/26 | (552,570) | (2,787,809) | (1,801,378) | 960,635 | ||||||||
Corteva, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (38,499) | (2,399,473) | (1,844,872) | 510,141 | ||||||||
DuPont de Nemours, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,850) | (218,769) | (219,251) | 2,921 | ||||||||
Ecovyst, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (16,225) | (161,905) | (158,518) | 1,861 | ||||||||
Element Solutions, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (11,021) | (214,685) | (255,026) | (43,085) | ||||||||
Equinox Gold Corp. (Canada) | USFF -0.267% | Weekly | MS | 07/23/25 | (219,264) | (1,743,354) | (1,072,201) | 655,441 | ||||||||
ERO Copper Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (114) | (1,810) | (1,800) | (44) | ||||||||
First Majestic Silver Corp. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (46,126) | (333,441) | (283,675) | 46,020 | ||||||||
FMC Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (38,726) | (2,659,404) | (2,441,674) | 162,484 | ||||||||
Franco-Nevada Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (2,163) | (260,533) | (239,682) | 17,736 | ||||||||
Ginkgo Bioworks Holdings, Inc. | USFF -1.552% | Weekly | MS | 07/11/28 | (89,901) | (143,244) | (151,933) | (11,510) | ||||||||
Graphic Packaging Holding Co. | USFF -0.250% | Weekly | MS | 07/11/28 | (19,095) | (437,272) | (470,692) | (40,466) | ||||||||
Greif, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (434) | (28,741) | (28,466) | (6) | ||||||||
Hecla Mining Co. | USFF -0.266% | Weekly | MS | 07/08/27 | (125,741) | (674,346) | (604,814) | 62,258 | ||||||||
Hudbay Minerals, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (66,316) | (315,710) | (366,064) | (53,398) | ||||||||
IAMGOLD Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (57,055) | (143,324) | (144,349) | (2,351) | ||||||||
Ingevity Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (20,222) | (1,313,967) | (954,883) | 347,621 | ||||||||
Ivanhoe Electric, Inc. / US | USFF -0.830% | Weekly | MS | 07/11/28 | (2,011) | (20,865) | (20,271) | 369 | ||||||||
Kaiser Aluminum Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,009) | (142,784) | (143,021) | (5,087) | ||||||||
Livent Corp. | USFF -0.630% | Weekly | MS | 07/11/28 | (1,763) | (31,927) | (31,699) | 2,767 |
40
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Materials — (continued) | ||||||||||||||||
Louisiana-Pacific Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (9,318) | $(588,006) | $(659,994) | $(85,323) | ||||||||
MAG Silver Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (4,865) | (51,897) | (50,645) | 749 | ||||||||
Mativ Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (11,443) | (340,034) | (175,192) | 141,994 | ||||||||
Methanex Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/08/27 | (18,997) | (799,109) | (899,698) | (111,687) | ||||||||
MP Materials Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (37,113) | (808,291) | (736,693) | 64,002 | ||||||||
Nutrien Ltd. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (12,237) | (796,033) | (689,310) | 87,328 | ||||||||
O-I Glass, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (17,274) | (340,620) | (282,948) | 56,708 | ||||||||
Olin Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (13,449) | (640,406) | (725,574) | (90,963) | ||||||||
Pan American Silver Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/08/27 | (28,369) | (471,872) | (463,266) | (5,743) | ||||||||
Sandstorm Gold Ltd. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (120,366) | (673,252) | (605,441) | 57,997 | ||||||||
Schnitzer Steel Industries, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (15,049) | (634,643) | (453,878) | 159,962 | ||||||||
Seabridge Gold, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (262) | (3,145) | (3,178) | (99) | ||||||||
Sensient Technologies Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (13,731) | (973,681) | (906,246) | 40,322 | ||||||||
Silgan Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (30,641) | (1,339,854) | (1,386,505) | (68,523) | ||||||||
SSR Mining, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/08/27 | (111,334) | (1,586,229) | (1,197,954) | 355,821 | ||||||||
Stepan Co. | USFF -0.250% | Weekly | MS | 01/05/26 | (6,624) | (723,253) | (626,299) | 75,607 | ||||||||
Sylvamo Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (7,032) | (315,069) | (345,342) | (37,327) | ||||||||
Teck Resources Ltd., Class B (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (27,349) | (1,142,029) | (1,156,042) | (29,163) | ||||||||
TimkenSteel Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (8,187) | (173,822) | (191,985) | (19,763) | ||||||||
Triple Flag Precious Metals Corp. (Canada) | USFF -2.430% | Weekly | MS | 07/11/28 | (926) | (12,276) | (12,325) | (211) | ||||||||
Tronox Holdings PLC (United Kingdom) | USFF -0.250% | Weekly | MS | 01/10/28 | (91,108) | (1,174,467) | (1,290,089) | (147,641) | ||||||||
United States Steel Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (15,137) | (498,479) | (736,415) | (265,488) | ||||||||
Wheaton Precious Metals Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (2,510) | (122,298) | (123,843) | (2,741) | ||||||||
(2,036,810) | (36,048,666) | (32,721,545) | 2,692,671 | |||||||||||||
Media & Entertainment | ||||||||||||||||
Altice USA, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (132,597) | (706,410) | (430,940) | 271,648 | ||||||||
Angi, Inc. | USFF -0.580% | Weekly | MS | 07/23/25 | (84,654) | (1,176,756) | (210,788) | 959,334 | ||||||||
DISH Network Corp., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (146,557) | (2,587,455) | (845,634) | 1,718,520 |
41
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Media & Entertainment — (continued) | ||||||||||||||||
Endeavor Group Holdings, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (106,361) | $(2,585,591) | $(2,523,947) | $32,486 | ||||||||
IAC, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (15,192) | (898,270) | (795,757) | 94,171 | ||||||||
Integral Ad Science Holding Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (22,439) | (301,846) | (322,897) | (24,561) | ||||||||
Lions Gate Entertainment Corp., Class B (Canada) | USFF -0.250% | Weekly | MS | 07/06/26 | (19,304) | (284,811) | (196,708) | 86,552 | ||||||||
Madison Square Garden Entertainment Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (5,004) | (153,764) | (159,077) | (6,777) | ||||||||
Madison Square Garden Sports Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,736) | (672,063) | (679,317) | (13,583) | ||||||||
Magnite, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (56,365) | (521,881) | (526,449) | (9,751) | ||||||||
Paramount Global, Class B | USFF -0.630% | Weekly | MS | 01/10/28 | (36,735) | (564,443) | (543,311) | 10,615 | ||||||||
Rumble, Inc. | USFF -14.507% | Weekly | MS | 07/11/28 | (1,230) | (5,796) | (5,523) | 183 | ||||||||
Scholastic Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (7,845) | (310,546) | (295,757) | 8,435 | ||||||||
Sphere Entertainment Co. | USFF -0.250% | Weekly | MS | 01/05/26 | (12,583) | (513,904) | (427,319) | 81,927 | ||||||||
TKO Group Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (9,720) | (767,001) | (792,958) | (32,891) | ||||||||
TripAdvisor, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (19,157) | (315,671) | (412,450) | (102,281) | ||||||||
Warner Music Group Corp., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (15,991) | (509,393) | (572,318) | (72,882) | ||||||||
Ziff Davis, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,315) | (171,343) | (155,545) | 14,231 | ||||||||
ZoomInfo Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (96,310) | (1,627,227) | (1,780,772) | (168,213) | ||||||||
(794,095) | (14,674,171) | (11,677,467) | 2,847,163 | |||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||
AbCellera Biologics, Inc. (Canada) | USFF -0.980% | Weekly | MS | 07/11/28 | (50,412) | (266,667) | (287,853) | (24,662) | ||||||||
Amylyx Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (13,044) | (463,846) | (192,008) | 267,687 | ||||||||
Arrowhead Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (41,660) | (1,133,678) | (1,274,796) | (153,261) | ||||||||
Avantor, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (35,133) | (762,837) | (802,086) | (46,146) | ||||||||
Axsome Therapeutics, Inc. | USFF -0.680% | Weekly | MS | 07/11/28 | (5,454) | (353,104) | (434,084) | (85,524) |
42
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||||||||
Bausch Health Cos., Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (172,245) | $(1,412,458) | $(1,381,405) | $15,947 | ||||||||
Biogen, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,406) | (609,905) | (622,601) | (18,217) | ||||||||
Bio-Techne Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (15,371) | (1,148,755) | (1,186,026) | (48,706) | ||||||||
Bruker Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (8,665) | (588,145) | (636,704) | (54,043) | ||||||||
Catalent, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (17,089) | (1,790,337) | (767,809) | 1,006,394 | ||||||||
Corcept Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,856) | (89,016) | (92,763) | (4,585) | ||||||||
Crinetics Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (746) | (26,470) | (26,543) | (364) | ||||||||
Cytek Biosciences, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (60,211) | (635,914) | (549,124) | 79,058 | ||||||||
Elanco Animal Health, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (72,944) | (794,521) | (1,086,866) | (324,287) | ||||||||
Exelixis, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (24,341) | (533,054) | (583,941) | (55,717) | ||||||||
Geron Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (86,254) | (198,820) | (181,996) | 14,999 | ||||||||
Intellia Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,967) | (137,550) | (120,954) | 16,931 | ||||||||
Jazz Pharmaceuticals PLC (Ireland) | USFF -0.250% | Weekly | MS | 07/11/28 | (3,043) | (366,908) | (374,289) | (10,934) | ||||||||
Maravai LifeSciences Holdings, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (111,625) | (909,079) | (731,144) | 169,724 | ||||||||
Mesa Laboratories, Inc. | USFF -0.250% | Weekly | MS | 07/23/25 | (1,498) | (378,112) | (156,945) | 216,100 | ||||||||
Organon & Co. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,192) | (46,018) | (46,029) | (462) | ||||||||
Perrigo Co. PLC (Ireland) | USFF -0.250% | Weekly | MS | 07/06/26 | (12,418) | (491,762) | (399,611) | 72,978 | ||||||||
Pliant Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (30,844) | (608,877) | (558,585) | 44,737 | ||||||||
Prothena Corp. PLC (Ireland) | USFF -0.250% | Weekly | MS | 07/11/28 | (5,193) | (289,441) | (188,714) | 98,088 | ||||||||
PTC Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (12,816) | (290,454) | (353,209) | (73,156) | ||||||||
QIAGEN NV (Netherlands) | USFF -0.250% | Weekly | MS | 07/11/28 | (12,320) | (475,530) | (535,058) | (63,840) | ||||||||
Repligen Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,406) | (418,776) | (432,599) | (17,625) | ||||||||
Revance Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (49,263) | (604,310) | (433,022) | 165,817 | ||||||||
Revvity, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (614) | (67,190) | (67,116) | 1,743 | ||||||||
Sarepta Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (6,613) | (566,454) | (637,692) | (76,369) | ||||||||
Sotera Health Co. | USFF -0.250% | Weekly | MS | 07/06/26 | (51,305) | (951,326) | (864,489) | 78,246 | ||||||||
Supernus Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (10,851) | (331,193) | (314,028) | 14,056 | ||||||||
Travere Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,877) | (25,441) | (16,874) | 8,301 |
43
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||||||||
Viridian Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (8,386) | $(228,489) | $(182,647) | $46,060 | ||||||||
Waters Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,662) | (816,957) | (876,410) | (66,836) | ||||||||
Xencor, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (9,358) | (297,507) | (198,670) | 96,124 | ||||||||
Xenon Pharmaceuticals, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (7,495) | (309,301) | (345,220) | (43,954) | ||||||||
Zoetis, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (7,594) | (1,475,816) | (1,498,828) | (39,436) | ||||||||
(964,171) | (20,894,018) | (19,438,738) | 1,204,866 | |||||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Allegro MicroSystems, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,059) | (124,815) | (122,866) | 789 | ||||||||
Alpha & Omega Semiconductor Ltd. (Bermuda) | USFF -0.250% | Weekly | MS | 01/10/28 | (7,347) | (191,512) | (191,463) | (1,710) | ||||||||
Ambarella, Inc. (Cayman Islands) | USFF -0.250% | Weekly | MS | 01/10/28 | (8,267) | (644,429) | (506,684) | 132,047 | ||||||||
Analog Devices, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,815) | (907,510) | (956,066) | (58,674) | ||||||||
Cirrus Logic, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (12,153) | (968,821) | (1,011,008) | (50,935) | ||||||||
Enphase Energy, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (7,722) | (859,386) | (1,020,385) | (168,764) | ||||||||
FormFactor, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (21,623) | (740,184) | (901,895) | (171,374) | ||||||||
Ichor Holdings Ltd. (Cayman Islands) | USFF -0.250% | Weekly | MS | 01/07/27 | (6,482) | (206,618) | (217,990) | (13,267) | ||||||||
Impinj, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (5,412) | (502,594) | (487,242) | 9,999 | ||||||||
MACOM Technology Solutions Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (7,552) | (576,771) | (701,958) | (130,411) | ||||||||
Marvell Technology, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,146) | (240,863) | (250,045) | (11,634) | ||||||||
MaxLinear, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (59,358) | (1,290,441) | (1,410,940) | (132,139) | ||||||||
MKS Instruments, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (25,039) | (2,287,749) | (2,575,762) | (354,326) | ||||||||
ON Semiconductor Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (23,920) | (1,665,902) | (1,998,038) | (347,151) | ||||||||
Onto Innovation, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (7,516) | (982,294) | (1,149,196) | (180,626) | ||||||||
Power Integrations, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (17,455) | (1,438,502) | (1,433,230) | (14,660) | ||||||||
Qorvo, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (7,764) | (768,089) | (874,304) | (113,158) | ||||||||
Semtech Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (24,099) | (530,602) | (528,009) | (2,215) | ||||||||
Silicon Laboratories, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (13,750) | (1,922,063) | (1,818,713) | 80,097 | ||||||||
SiTime Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,993) | (314,311) | (365,385) | (55,582) | ||||||||
Synaptics, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,812) | (354,580) | (434,873) | (84,412) | ||||||||
Teradyne, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (9,885) | (955,264) | (1,072,720) | (126,476) | ||||||||
Texas Instruments, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (9,080) | (1,576,585) | (1,547,777) | 14,595 |
44
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Semiconductors & Semiconductor Equipment — (continued) | ||||||||||||||||
Ultra Clean Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (10,234) | $(326,955) | $(349,389) | $(25,411) | ||||||||
Universal Display Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,634) | (603,150) | (695,039) | (98,544) | ||||||||
Wolfspeed, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (7,424) | (345,291) | (323,018) | 19,131 | ||||||||
(315,541) | (21,325,281) | (22,943,995) | (1,884,811) | |||||||||||||
Software & Services | ||||||||||||||||
ACI Worldwide, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (28,132) | (777,708) | (860,839) | (91,976) | ||||||||
Agilysys, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,883) | (499,306) | (583,816) | (90,392) | ||||||||
Akamai Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,060) | (347,612) | (362,151) | (18,570) | ||||||||
Appian Corp., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (6,863) | (257,951) | (258,461) | (2,866) | ||||||||
Bentley Systems, Inc., Class B | USFF -0.250% | Weekly | MS | 01/10/28 | (12,757) | (664,411) | (665,660) | (11,008) | ||||||||
BigCommerce Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (9,915) | (89,975) | (96,473) | (7,344) | ||||||||
BILL Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (38,129) | (2,430,960) | (3,110,945) | (704,686) | ||||||||
C3.ai, Inc., Class A | USFF -12.130% | Weekly | MS | 07/11/28 | (7,867) | (237,086) | (225,862) | 9,055 | ||||||||
CCC Intelligent Solutions Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (21,843) | (278,090) | (248,792) | 28,425 | ||||||||
Cerence, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (10,262) | (285,868) | (201,751) | 82,064 | ||||||||
Confluent, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (96,433) | (1,935,547) | (2,256,532) | (338,425) | ||||||||
Digital Turbine, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (126,140) | (1,295,478) | (865,320) | 418,472 | ||||||||
DoubleVerify Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (15,589) | (453,889) | (573,363) | (123,593) | ||||||||
EngageSmart, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (10,742) | (228,333) | (245,992) | (21,162) | ||||||||
Envestnet, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (14,400) | (1,095,151) | (713,088) | 375,955 | ||||||||
Fair Isaac Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (577) | (658,131) | (671,634) | (21,279) | ||||||||
HashiCorp., Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (29,527) | (782,169) | (698,018) | 73,217 | ||||||||
Jamf Holding Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (11,332) | (402,631) | (204,656) | 194,318 | ||||||||
Lightspeed Commerce, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/06/26 | (24,103) | (1,293,303) | (505,922) | 792,445 | ||||||||
MeridianLink, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,153) | (27,038) | (28,560) | (1,803) | ||||||||
Olo, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (43,526) | (348,539) | (248,969) | 96,399 | ||||||||
Open Text Corp. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (9,636) | (398,137) | (404,905) | (18,451) | ||||||||
Perficient, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,980) | (123,283) | (130,324) | (8,213) | ||||||||
PowerSchool Holdings, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (31,123) | (712,144) | (733,258) | (28,428) | ||||||||
Procore Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,667) | (88,277) | (115,390) | (28,511) | ||||||||
PTC, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,527) | (578,058) | (617,084) | (44,260) |
45
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Software & Services — (continued) | ||||||||||||||||
RingCentral, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (11,613) | $(341,605) | $(394,261) | $(58,310) | ||||||||
SPS Commerce, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,796) | (334,114) | (348,137) | (17,064) | ||||||||
Thoughtworks Holding, Inc. | USFF -0.264% | Weekly | MS | 07/11/28 | (1,410) | (6,906) | (6,782) | 24 | ||||||||
Zeta Global Holdings Corp., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (2,798) | (24,822) | (24,678) | (118) | ||||||||
(584,783) | (16,996,522) | (16,401,623) | 433,915 | |||||||||||||
Technology Hardware & Equipment | ||||||||||||||||
ADTRAN Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (61,421) | (998,471) | (450,830) | 523,661 | ||||||||
Advanced Energy Industries, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (10,590) | (1,173,160) | (1,153,463) | 7,759 | ||||||||
Avnet, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (14,242) | (645,267) | (717,797) | (94,610) | ||||||||
Belden, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,963) | (381,690) | (306,142) | 71,837 | ||||||||
Benchmark Electronics, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (13,138) | (333,640) | (363,134) | (44,060) | ||||||||
Calix, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (15,834) | (608,449) | (691,787) | (88,847) | ||||||||
Celestica, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (16,213) | (456,282) | (474,717) | (22,575) | ||||||||
Cognex Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (17,314) | (667,263) | (722,686) | (61,970) | ||||||||
Coherent Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (20,584) | (823,025) | (896,022) | (98,186) | ||||||||
Corsair Gaming, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,851) | (64,929) | (68,399) | (4,092) | ||||||||
CTS Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (203) | (8,916) | (8,879) | (81) | ||||||||
Diebold Nixdorf, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (127) | (3,653) | (3,677) | (94) | ||||||||
ePlus, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,823) | (125,264) | (145,548) | (21,448) | ||||||||
Evolv Technologies Holdings, Inc. | USFF -1.180% | Weekly | MS | 07/11/28 | (362) | (1,744) | (1,709) | (18) | ||||||||
Harmonic, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (130,040) | (1,340,441) | (1,695,722) | (367,370) | ||||||||
Infinera Corp. | USFF -0.260% | Weekly | MS | 01/10/28 | (37,038) | (191,170) | (175,931) | 13,453 | ||||||||
IPG Photonics Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,495) | (156,420) | (162,267) | (7,291) | ||||||||
Lumentum Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (20,245) | (1,188,170) | (1,061,243) | 116,206 | ||||||||
Methode Electronics, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (9,098) | (215,032) | (206,798) | 5,678 | ||||||||
Novanta, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/08/27 | (2,450) | (387,900) | (412,605) | (28,525) | ||||||||
Sanmina Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (23,194) | (1,207,733) | (1,191,476) | 5,361 | ||||||||
Stratasys Ltd. (Israel) | USFF -0.250% | Weekly | MS | 07/11/28 | (25,953) | (317,450) | (370,609) | (57,285) | ||||||||
Teledyne Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (667) | (281,058) | (297,675) | (19,182) | ||||||||
Ubiquiti, Inc. | USFF -0.580% | Weekly | MS | 01/07/27 | (6,377) | (1,517,774) | (889,974) | 598,642 | ||||||||
Viasat, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (14,278) | (654,021) | (399,070) | 249,033 | ||||||||
Zebra Technologies Corp., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (12,150) | (2,804,300) | (3,320,960) | (542,994) | ||||||||
(463,650) | (16,553,222) | (16,189,120) | 133,002 |
46
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Telecommunication Services | ||||||||||||||||
Cogent Communications Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (23,003) | $(1,525,684) | $(1,749,608) | $(288,051) | ||||||||
Frontier Communications Parent, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (43,132) | (1,176,626) | (1,092,965) | 73,045 | ||||||||
Globalstar, Inc. | USFF -0.265% | Weekly | MS | 01/05/26 | (75,409) | (129,583) | (146,293) | (18,268) | ||||||||
Gogo, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (15,543) | (252,819) | (157,451) | 93,160 | ||||||||
IDT Corp., Class B | USFF -0.250% | Weekly | MS | 07/11/28 | (544) | (18,176) | (18,545) | (570) | ||||||||
Rogers Communications, Inc., Class B (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (14,233) | (594,839) | (666,247) | (84,718) | ||||||||
Shenandoah Telecommunications Co. | USFF -0.250% | Weekly | MS | 07/23/25 | (9,012) | (288,162) | (194,839) | 29,456 | ||||||||
(180,876) | (3,985,889) | (4,025,948) | (195,946) | |||||||||||||
Transportation | ||||||||||||||||
Air Transport Services Group, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (42,564) | (928,725) | (749,552) | 170,785 | ||||||||
Alaska Air Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (9,904) | (474,561) | (386,949) | 86,690 | ||||||||
Allegiant Travel Co. | USFF -0.250% | Weekly | MS | 07/11/28 | (305) | (25,420) | (25,196) | (42) | ||||||||
Canadian Pacific Kansas City Ltd. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (15,916) | (1,314,912) | (1,258,319) | 42,507 | ||||||||
Forward Air Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,985) | (131,359) | (124,797) | 5,650 | ||||||||
Frontier Group Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (38,264) | (176,741) | (208,921) | (34,093) | ||||||||
Golden Ocean Group Ltd. (Bermuda) | USFF -0.730% | Weekly | MS | 07/11/28 | (48,426) | (380,156) | (472,638) | (101,044) | ||||||||
Heartland Express, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (14,526) | (235,444) | (207,141) | 25,005 | ||||||||
JB Hunt Transport Services, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (5,457) | (1,026,127) | (1,089,981) | (75,830) | ||||||||
JetBlue Airways Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (33,732) | (157,342) | (187,213) | (31,323) | ||||||||
Marten Transport Ltd. | USFF -0.250% | Weekly | MS | 07/11/28 | (679) | (14,245) | (14,245) | (166) | ||||||||
Matson, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,977) | (318,842) | (435,879) | (121,072) | ||||||||
Schneider National, Inc., Class B | USFF -0.250% | Weekly | MS | 07/11/28 | (19,512) | (506,475) | (496,580) | 3,377 | ||||||||
Southwest Airlines Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (55,099) | (1,970,933) | (1,591,259) | 334,764 | ||||||||
Spirit Airlines, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (28,922) | (362,380) | (474,032) | (120,406) | ||||||||
Sun Country Airlines Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (14,385) | (285,375) | (226,276) | 56,489 | ||||||||
TFI International, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (1,836) | (214,836) | (249,659) | (37,429) |
47
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Transportation — (continued) | ||||||||||||||||
Universal Logistics Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (182) | $(4,509) | $(5,100) | $(680) | ||||||||
Werner Enterprises, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (28,816) | (1,357,177) | (1,220,934) | 105,375 | ||||||||
(364,487) | (9,885,559) | (9,424,671) | 308,557 | |||||||||||||
Utilities | ||||||||||||||||
AES Corp. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (79,350) | (1,547,090) | (1,527,488) | (10,291) | ||||||||
Algonquin Power & Utilities Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (161,427) | (1,119,976) | (1,020,219) | 59,851 | ||||||||
Alliant Energy Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (18,107) | (925,235) | (928,889) | (18,500) | ||||||||
Altus Power, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (7,658) | (44,258) | (52,304) | (8,482) | ||||||||
American Electric Power Co., Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,050) | (546,621) | (491,381) | 34,921 | ||||||||
Avista Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (10,427) | (453,512) | (372,661) | 59,646 | ||||||||
California Water Service Group | USFF -0.250% | Weekly | MS | 01/10/28 | (12,944) | (691,788) | (671,405) | 7,825 | ||||||||
Consolidated Edison, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (9,646) | (868,762) | (877,497) | (16,583) | ||||||||
Evergy, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (46,665) | (2,544,271) | (2,435,913) | 50,063 | ||||||||
Exelon Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (7,174) | (290,030) | (257,547) | 24,673 | ||||||||
FirstEnergy Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (30,063) | (1,201,010) | (1,102,110) | 56,151 | ||||||||
IDACORP, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (8,255) | (838,474) | (811,632) | 9,212 | ||||||||
Middlesex Water Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,868) | (289,507) | (253,818) | 31,249 | ||||||||
Montauk Renewables, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,363) | (12,197) | (12,144) | (94) | ||||||||
National Fuel Gas Co. | USFF -0.250% | Weekly | MS | 07/11/28 | (13,241) | (693,139) | (664,301) | 12,898 | ||||||||
NiSource, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (39,311) | (1,059,533) | (1,043,707) | (20,953) | ||||||||
Northwest Natural Holding Co. | USFF -0.250% | Weekly | MS | 01/05/26 | (9,852) | (512,476) | (383,637) | 96,954 | ||||||||
Northwestern Energy Group, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (12,998) | (749,354) | (661,468) | 31,310 | ||||||||
OGE Energy Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (19,472) | (673,740) | (680,157) | (12,512) | ||||||||
Ormat Technologies, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (15,153) | (1,229,112) | (1,148,446) | 65,238 | ||||||||
Pinnacle West Capital Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (8,875) | (651,513) | (637,580) | 4,239 | ||||||||
PNM Resources, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (18,870) | (799,285) | (784,992) | 7,069 | ||||||||
Portland General Electric Co. | USFF -0.250% | Weekly | MS | 07/11/28 | (21,285) | (943,004) | (922,492) | (3,366) | ||||||||
Sempra | USFF -0.250% | Weekly | MS | 01/10/28 | (23,942) | (1,767,256) | (1,789,186) | (44,090) | ||||||||
Southern Co. (The) | USFF -0.250% | Weekly | MS | 07/11/28 | (13,107) | (917,630) | (919,063) | (24,346) | ||||||||
Sunnova Energy International, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (26,833) | (439,504) | (409,203) | 25,079 | ||||||||
(625,936) | (21,808,277) | (20,859,240) | 417,161 | |||||||||||||
Total Reference Entity — Short | (344,136,720) | (327,828,635) | 11,009,794 | |||||||||||||
Net Value of Reference Entity | $(229,305,723) | $(191,076,643) | $42,220,440 |
48
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
(Concluded)
December 31, 2023
(Unaudited)
Total Return Swaps (concluded)
* | Includes $3,991,360 related to open trades, dividends receivables/payables and swap receivables/payables activities. |
MS | Morgan Stanley |
USFF | U.S. Fed Funds |
All financial instruments listed
in the Portfolio of Investments are considered Level 1, measured at fair value on a recurring basis based on quoted prices for identical assets in active markets, except for the following: one long security was fair
valued with an end of period value of $0 and total return swaps with end of period unrealized appreciation of $42,220,440, which are considered Level 2 as of and for the period ended December 31, 2023.
For additional information about
significant accounting policies, including valuation of investments, refer to the Fund’s most recent annual or semi-annual report.
49
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
December 31, 2023
(Unaudited)
50
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
51
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
52
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
53
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
54
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
55
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
56
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
57
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
The portfolio matures between
August 27, 2024 and July 11, 2028, however underlying individual contracts are entered into and closed (terminated) on a daily basis. The maturity date shown in the table below is the earliest maturity date for the
specific entity. The following table represents the individual long and short positions and related values of total return swaps, which represents 3.8% of net assets as of December 31, 2023:
Total Return Swaps
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Long | ||||||||||||||||
Automobiles & Components | ||||||||||||||||
Adient PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/10/28 | 5,958 | $212,729 | $216,633 | $8,873 | ||||||||
American Axle & Manufacturing Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 11,569 | 89,280 | 101,923 | 14,981 | ||||||||
Aptiv PLC (Jersey) | USFF +0.250% | Weekly | MS | 07/11/28 | 1,572 | 124,184 | 141,040 | 20,099 | ||||||||
BorgWarner, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 10,636 | 404,490 | 381,301 | (10,941) | ||||||||
Ford Motor Co. | USFF +0.250% | Weekly | MS | 11/03/25 | 45,513 | 514,152 | 554,803 | 107,456 | ||||||||
General Motors Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 16,824 | 593,973 | 604,318 | 28,669 | ||||||||
Gentex Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 970 | 28,118 | 31,680 | 4,509 | ||||||||
Goodyear Tire & Rubber Co. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 3,360 | 47,229 | 48,115 | 2,134 | ||||||||
Modine Manufacturing Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,738 | 53,677 | 103,759 | 53,075 | ||||||||
Standard Motor Products, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 157 | 6,232 | 6,250 | 210 | ||||||||
Thor Industries, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 662 | 59,027 | 78,282 | 24,080 | ||||||||
Visteon Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,481 | 198,811 | 184,977 | (8,657) | ||||||||
100,440 | 2,331,902 | 2,453,081 | 244,488 | |||||||||||||
Capital Goods | ||||||||||||||||
3M Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,554 | 241,460 | 279,203 | 49,480 | ||||||||
A. O. Smith Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,267 | 267,669 | 351,771 | 95,616 | ||||||||
AAR Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 154 | 9,845 | 9,610 | 43 | ||||||||
Acuity Brands, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 843 | 133,901 | 172,672 | 42,458 | ||||||||
AGCO Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,263 | 263,404 | 274,751 | 18,651 | ||||||||
Allison Transmission Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,003 | 58,786 | 58,324 | 1,564 | ||||||||
American Woodmark Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 35 | 3,259 | 3,250 | 98 | ||||||||
AMETEK, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 995 | 135,338 | 164,066 | 33,006 | ||||||||
Applied Industrial Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,360 | 195,747 | 234,858 | 45,123 | ||||||||
Array Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 10,589 | 193,256 | 177,895 | (10,636) | ||||||||
Axon Enterprise, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 794 | 154,023 | 205,114 | 61,147 | ||||||||
AZEK Co., Inc. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 19,392 | 641,420 | 741,744 | 116,974 | ||||||||
Blue Bird Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,964 | 39,680 | 52,949 | 14,359 | ||||||||
Boise Cascade Co. | USFF +0.250% | Weekly | MS | 08/27/24 | 4,270 | 411,637 | 552,367 | 180,813 | ||||||||
Brookfield Business Corp., Class A (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 21 | 485 | 489 | 39 | ||||||||
Builders FirstSource, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 1,539 | 255,542 | 256,921 | 8,026 |
58
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
BWX Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 101 | $7,744 | $7,750 | $230 | ||||||||
Cadre Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 74 | 2,420 | 2,434 | 100 | ||||||||
Carrier Global Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 5,316 | 255,582 | 305,404 | 58,999 | ||||||||
Caterpillar, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,870 | 661,711 | 848,573 | 215,847 | ||||||||
Comfort Systems USA, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,207 | 325,023 | 453,914 | 138,560 | ||||||||
Core & Main, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 11,207 | 410,020 | 452,875 | 53,507 | ||||||||
Crane Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,680 | 390,903 | 552,895 | 173,997 | ||||||||
CSW Industrials, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 216 | 33,847 | 44,801 | 12,207 | ||||||||
Cummins, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 538 | 128,998 | 128,889 | 3,879 | ||||||||
Curtiss-Wright Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 1,218 | 226,938 | 271,358 | 50,910 | ||||||||
Deere & Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 716 | 265,946 | 286,307 | 31,819 | ||||||||
Donaldson Co., Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,947 | 299,645 | 323,286 | 34,318 | ||||||||
EMCOR Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,872 | 610,995 | 618,715 | 23,646 | ||||||||
Emerson Electric Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 7,979 | 740,627 | 776,596 | 61,978 | ||||||||
Encore Wire Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 1 | 158 | 214 | 83 | ||||||||
Enerpac Tool Group Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 5,704 | 147,093 | 177,337 | 35,026 | ||||||||
EnerSys | USFF +0.250% | Weekly | MS | 07/11/28 | 3,142 | 300,556 | 317,216 | 25,286 | ||||||||
Enpro, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 664 | 68,020 | 104,075 | 38,474 | ||||||||
Fastenal Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,383 | 79,713 | 89,577 | 13,434 | ||||||||
Flowserve Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,897 | 71,996 | 78,194 | 8,467 | ||||||||
Fluence Energy, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 4,431 | 110,388 | 105,679 | (1,824) | ||||||||
Fortune Brands Innovations, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,061 | 231,425 | 309,205 | 87,025 | ||||||||
Gates Industrial Corp. PLC (United Kingdom) | USFF +0.250% | Weekly | MS | 01/10/28 | 8,555 | 107,033 | 114,808 | 10,573 | ||||||||
General Dynamics Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 912 | 193,254 | 236,819 | 50,904 | ||||||||
General Electric Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 4,477 | 393,086 | 571,400 | 189,960 | ||||||||
Gibraltar Industries, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,317 | 90,631 | 104,017 | 15,758 | ||||||||
Global Industrial Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 60 | 2,183 | 2,330 | 230 | ||||||||
Griffon Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 5,038 | 171,189 | 307,066 | 148,187 | ||||||||
Hillman Solutions Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 9,374 | 75,747 | 86,335 | 12,620 | ||||||||
Howmet Aerospace, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,009 | 69,224 | 108,727 | 41,894 | ||||||||
Huntington Ingalls Industries, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 679 | 158,234 | 176,296 | 22,977 | ||||||||
IES Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 23 | 1,887 | 1,822 | 7 | ||||||||
Illinois Tool Works, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 690 | 157,129 | 180,739 | 31,316 | ||||||||
ITT, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 837 | 81,717 | 99,871 | 20,905 |
59
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
Johnson Controls International PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/11/28 | 473 | $27,228 | $27,264 | $(169) | ||||||||
Kaman Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 166 | 3,616 | 3,976 | 500 | ||||||||
Kennametal, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,305 | 58,561 | 59,446 | 2,876 | ||||||||
Lincoln Electric Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 135 | 23,612 | 29,357 | 6,477 | ||||||||
Lindsay Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 264 | 32,378 | 34,098 | 2,619 | ||||||||
Lockheed Martin Corp. | USFF +0.250% | Weekly | MS | 08/27/24 | 1,704 | 722,403 | 772,321 | 92,809 | ||||||||
Masco Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,654 | 182,896 | 244,745 | 70,047 | ||||||||
Masonite International Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 207 | 17,694 | 17,525 | 313 | ||||||||
MDU Resources Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 10,952 | 210,224 | 216,850 | 13,667 | ||||||||
Middleby Corp. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 376 | 45,785 | 55,336 | 11,183 | ||||||||
MSC Industrial Direct Co., Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 3,607 | 345,281 | 365,245 | 31,864 | ||||||||
Mueller Industries, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 4,124 | 115,922 | 194,447 | 88,277 | ||||||||
NEXTracker, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 638 | 24,372 | 29,890 | 6,173 | ||||||||
nVent Electric PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/08/27 | 2 | 75 | 118 | 68 | ||||||||
Otis Worldwide Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 736 | 59,298 | 65,850 | 9,116 | ||||||||
PACCAR, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,919 | 132,465 | 187,390 | 67,200 | ||||||||
Parker-Hannifin Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,980 | 828,008 | 912,186 | 108,237 | ||||||||
Pentair PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/08/27 | 2,877 | 165,163 | 209,187 | 49,459 | ||||||||
Powell Industries, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 821 | 63,784 | 72,576 | 10,703 | ||||||||
Quanta Services, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 610 | 110,537 | 131,638 | 24,069 | ||||||||
REV Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 75 | 1,385 | 1,363 | 40 | ||||||||
RTX Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 4,830 | 386,665 | 406,396 | 31,188 | ||||||||
Shoals Technologies Group, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 4,813 | 75,655 | 74,794 | (62) | ||||||||
Simpson Manufacturing Co., Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 170 | 23,801 | 33,657 | 11,867 | ||||||||
Snap-on, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 698 | 172,537 | 201,610 | 36,746 | ||||||||
SPX Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 907 | 70,332 | 91,616 | 23,770 | ||||||||
Standex International Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 169 | 23,611 | 26,766 | 3,966 | ||||||||
Stanley Black & Decker, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,228 | 96,381 | 120,467 | 28,041 | ||||||||
Stantec, Inc. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 64 | 4,983 | 5,132 | 308 |
60
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
Sterling Infrastructure, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,066 | $102,600 | $181,663 | $83,180 | ||||||||
Tennant Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 545 | 45,694 | 50,516 | 6,158 | ||||||||
Terex Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,724 | 226,003 | 271,441 | 54,603 | ||||||||
Textainer Group Holdings Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 07/11/28 | 231 | 11,377 | 11,365 | 306 | ||||||||
Textron, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,778 | 166,197 | 223,407 | 61,878 | ||||||||
TransDigm Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 111 | 108,365 | 112,288 | 7,770 | ||||||||
Trex Co., Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,148 | 71,309 | 95,043 | 25,838 | ||||||||
UFP Industries, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 866 | 69,766 | 108,726 | 42,693 | ||||||||
Wabash National Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,981 | 83,531 | 101,993 | 21,660 | ||||||||
Watts Water Technologies, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 707 | 115,106 | 147,296 | 35,978 | ||||||||
WESCO International, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,190 | 181,836 | 206,917 | 30,211 | ||||||||
Westinghouse Air Brake Technologies Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 438 | 46,048 | 55,582 | 10,825 | ||||||||
Woodward, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,433 | 189,765 | 195,074 | 10,252 | ||||||||
WW Grainger, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 319 | 173,918 | 264,352 | 98,525 | ||||||||
Zurn Elkay Water Solutions Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 6,494 | 191,488 | 190,989 | 4,487 | ||||||||
229,773 | 15,684,169 | 18,589,406 | 3,493,776 | |||||||||||||
Commercial & Professional Services | ||||||||||||||||
ACV Auctions, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 17,651 | 260,963 | 267,413 | 13,053 | ||||||||
Automatic Data Processing, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 2,472 | 530,517 | 575,902 | 78,982 | ||||||||
Brady Corp., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 2,200 | 114,078 | 129,118 | 18,608 | ||||||||
Brink's Co. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 71 | 6,303 | 6,244 | 143 | ||||||||
Broadridge Financial Solutions, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 265 | 51,791 | 54,524 | 4,222 | ||||||||
CECO Environmental Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,138 | 22,638 | 23,079 | 1,051 | ||||||||
Concentrix Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 550 | 46,577 | 54,016 | 8,929 | ||||||||
Copart, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 6,697 | 208,893 | 328,153 | 124,699 | ||||||||
CRA International, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1 | 99 | 99 | 25 | ||||||||
Huron Consulting Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 32 | 3,244 | 3,290 | 153 | ||||||||
Jacobs Solutions, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,898 | 242,080 | 246,360 | 10,582 | ||||||||
Kelly Services, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 169 | 3,563 | 3,654 | 209 | ||||||||
Leidos Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,725 | 292,058 | 294,954 | 11,192 |
61
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Commercial & Professional Services — (continued) | ||||||||||||||||
ManpowerGroup, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 691 | $50,719 | $54,914 | $6,021 | ||||||||
MillerKnoll, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,432 | 35,020 | 38,206 | 4,357 | ||||||||
MSA Safety, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 201 | 33,291 | 33,935 | 1,620 | ||||||||
OPENLANE, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,774 | 40,941 | 41,083 | 1,227 | ||||||||
Parsons Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,416 | 88,798 | 88,797 | 2,325 | ||||||||
Paychex, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 298 | 32,269 | 35,495 | 15,422 | ||||||||
Republic Services, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,565 | 211,228 | 258,084 | 54,887 | ||||||||
Robert Half, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 1,208 | 89,583 | 106,207 | 21,204 | ||||||||
Rollins, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,862 | 63,190 | 81,314 | 20,653 | ||||||||
Science Applications International Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 896 | 101,549 | 111,391 | 12,746 | ||||||||
Steelcase, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 2,460 | 28,878 | 33,259 | 5,182 | ||||||||
Tetra Tech, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,565 | 257,854 | 261,245 | 10,124 | ||||||||
TriNet Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 10 | 1,193 | 1,189 | 50 | ||||||||
Upwork, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 3,209 | 37,431 | 47,718 | 11,281 | ||||||||
Veralto Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 3,548 | 256,902 | 291,858 | 41,959 | ||||||||
Verisk Analytics, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 944 | 202,448 | 225,484 | 29,290 | ||||||||
59,948 | 3,314,098 | 3,696,985 | 510,196 | |||||||||||||
Consumer Discretionary Distribution & Retail | ||||||||||||||||
Abercrombie & Fitch Co., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 4,925 | 223,236 | 434,484 | 217,274 | ||||||||
Amazon.com, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 20,386 | 2,258,256 | 3,097,449 | 897,756 | ||||||||
AutoZone, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 81 | 208,764 | 209,434 | 6,106 | ||||||||
Best Buy Co., Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 550 | 31,851 | 43,054 | 17,801 | ||||||||
CarMax, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 888 | 54,288 | 68,145 | 15,288 | ||||||||
Carvana Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 29,307 | 1,039,842 | 1,551,513 | 538,649 | ||||||||
eBay, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 14,576 | 594,006 | 635,805 | 70,458 | ||||||||
Etsy, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,394 | 114,628 | 112,984 | 1,351 | ||||||||
Gap, Inc. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 23,658 | 225,184 | 494,689 | 280,987 | ||||||||
Genuine Parts Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,138 | 154,753 | 157,613 | 7,710 | ||||||||
Group 1 Automotive, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 61 | 15,256 | 18,589 | 4,299 | ||||||||
Home Depot, Inc. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 1,559 | 493,750 | 540,271 | 62,272 | ||||||||
Kohl's Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,393 | 32,288 | 39,951 | 8,941 | ||||||||
LKQ Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 38 | 1,817 | 1,816 | 69 | ||||||||
Lowe's Cos., Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 453 | 85,099 | 100,815 | 24,135 | ||||||||
Monro, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,054 | 28,560 | 30,924 | 3,404 | ||||||||
ODP Corp. (The) | USFF +0.250% | Weekly | MS | 07/06/26 | 3,434 | 134,771 | 193,334 | 62,101 | ||||||||
Pool Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 463 | 147,733 | 184,603 | 42,167 | ||||||||
Signet Jewelers Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 07/11/28 | 924 | 87,901 | 99,108 | 13,509 | ||||||||
TJX Cos., Inc. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 1,492 | 130,276 | 139,965 | 13,797 | ||||||||
Tractor Supply Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,180 | 237,722 | 253,735 | 22,909 | ||||||||
Urban Outfitters, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,779 | 42,241 | 63,493 | 24,895 |
62
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Discretionary Distribution & Retail — (continued) | ||||||||||||||||
Wayfair, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 518 | $34,834 | $31,961 | $(1,947) | ||||||||
Williams-Sonoma, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 193 | 39,158 | 38,944 | 904 | ||||||||
Winmark Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 60 | 25,371 | 25,053 | 363 | ||||||||
111,504 | 6,441,585 | 8,567,732 | 2,335,198 | |||||||||||||
Consumer Durables & Apparel | ||||||||||||||||
Carter's, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 6,781 | 463,867 | 507,829 | 61,816 | ||||||||
Cavco Industries, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 103 | 20,517 | 35,702 | 17,293 | ||||||||
Cricut, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 105 | 712 | 692 | 22 | ||||||||
DR Horton, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 1,096 | 86,747 | 166,570 | 85,849 | ||||||||
Figs, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 18,938 | 129,985 | 131,619 | 5,027 | ||||||||
Garmin Ltd. (Switzerland) | USFF +0.250% | Weekly | MS | 07/08/27 | 2,421 | 249,030 | 311,195 | 72,998 | ||||||||
G-III Apparel Group Ltd. | USFF +0.250% | Weekly | MS | 07/11/28 | 4,964 | 137,121 | 168,677 | 35,134 | ||||||||
Hasbro, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,770 | 85,398 | 90,376 | 7,909 | ||||||||
Helen of Troy Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 07/11/28 | 1,625 | 204,747 | 196,316 | (3,664) | ||||||||
Hovnanian Enterprises, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 106 | 16,072 | 16,496 | 864 | ||||||||
Installed Building Products, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 52 | 5,750 | 9,507 | 5,834 | ||||||||
Leggett & Platt, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,942 | 54,115 | 50,822 | (458) | ||||||||
Lululemon Athletica, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 108 | 54,562 | 55,219 | 2,095 | ||||||||
Mattel, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 7,671 | 145,756 | 144,828 | 2,874 | ||||||||
Mohawk Industries, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,528 | 127,690 | 158,148 | 33,791 | ||||||||
NIKE, Inc., Class B | USFF +0.250% | Weekly | MS | 07/08/27 | 1,906 | 188,949 | 206,934 | 25,143 | ||||||||
NVR, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 8 | 31,846 | 56,004 | 25,006 | ||||||||
PulteGroup, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,845 | 182,014 | 293,661 | 117,907 | ||||||||
PVH Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,589 | 138,775 | 194,049 | 59,013 | ||||||||
Ralph Lauren Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,666 | 188,194 | 240,237 | 59,486 | ||||||||
Skechers USA, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 313 | 15,028 | 19,512 | 5,342 | ||||||||
Steven Madden Ltd. | USFF +0.250% | Weekly | MS | 07/08/27 | 596 | 18,560 | 25,032 | 7,442 | ||||||||
Tapestry, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 7,714 | 226,946 | 283,952 | 75,362 | ||||||||
TopBuild Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 385 | 88,569 | 144,090 | 65,086 | ||||||||
Vista Outdoor, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,875 | 78,228 | 85,014 | 8,836 | ||||||||
Worthington Enterprises, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,342 | 63,319 | 77,232 | 16,060 | ||||||||
YETI Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 4,428 | 190,365 | 229,282 | 44,865 | ||||||||
74,877 | 3,192,862 | 3,898,995 | 836,932 | |||||||||||||
Consumer Services | ||||||||||||||||
Accel Entertainment, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 821 | 8,379 | 8,432 | 293 |
63
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Services — (continued) | ||||||||||||||||
ADT, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 22,035 | $138,696 | $150,279 | $15,718 | ||||||||
Adtalem Global Education, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,801 | 140,327 | 224,069 | 87,403 | ||||||||
Aramark | USFF +0.250% | Weekly | MS | 07/11/28 | 21,489 | 552,523 | 603,841 | 67,974 | ||||||||
Booking Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 215 | 564,829 | 762,652 | 229,381 | ||||||||
Bright Horizons Family Solutions, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 678 | 56,646 | 63,895 | 8,840 | ||||||||
Brinker International, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,136 | 68,363 | 92,232 | 27,426 | ||||||||
Caesars Entertainment, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 6,600 | 261,311 | 309,408 | 54,894 | ||||||||
Darden Restaurants, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 230 | 37,668 | 37,789 | 1,127 | ||||||||
DoorDash, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 926 | 81,770 | 91,572 | 11,945 | ||||||||
DraftKings, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 2,623 | 80,246 | 92,461 | 14,318 | ||||||||
Duolingo, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 355 | 80,378 | 80,532 | 2,261 | ||||||||
Frontdoor, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 6,299 | 206,372 | 221,851 | 20,852 | ||||||||
Golden Entertainment, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 123 | 4,933 | 4,911 | 130 | ||||||||
Grand Canyon Education, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 17 | 2,233 | 2,245 | 93 | ||||||||
Las Vegas Sands Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 3,217 | 151,168 | 158,309 | 11,742 | ||||||||
Marriott International, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 409 | 88,220 | 92,234 | 6,365 | ||||||||
McDonald's Corp. | USFF +0.250% | Weekly | MS | 08/27/24 | 1,254 | 319,741 | 371,824 | 75,431 | ||||||||
MGM Resorts International | USFF +0.250% | Weekly | MS | 01/07/27 | 5,882 | 208,671 | 262,808 | 59,592 | ||||||||
RCI Hospitality Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 5 | 336 | 331 | 27 | ||||||||
Rover Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 525 | 5,727 | 5,712 | 157 | ||||||||
Royal Caribbean Cruises Ltd. (Liberia) | USFF +0.250% | Weekly | MS | 01/10/28 | 4,712 | 378,232 | 610,157 | 241,753 | ||||||||
Six Flags Entertainment Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,998 | 62,391 | 75,190 | 14,440 | ||||||||
Starbucks Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 5,071 | 491,129 | 486,867 | 8,887 | ||||||||
Strategic Education, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 7 | 648 | 647 | 39 | ||||||||
Vail Resorts, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 37 | 7,999 | 7,898 | 130 | ||||||||
Wendy's Co. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 353 | 6,890 | 6,876 | 238 | ||||||||
Wynn Resorts Ltd. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,060 | 97,071 | 96,577 | 2,263 | ||||||||
Yum! Brands, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,458 | 304,004 | 321,162 | 30,148 | ||||||||
96,336 | 4,406,901 | 5,242,761 | 993,867 |
64
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Staples Distribution & Retail | ||||||||||||||||
Albertsons Cos., Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 429 | $9,781 | $9,867 | $363 | ||||||||
Costco Wholesale Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 1,150 | 626,119 | 759,092 | 170,157 | ||||||||
Dollar General Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,874 | 246,276 | 254,770 | 14,902 | ||||||||
Grocery Outlet Holding Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 6,923 | 202,710 | 186,644 | (10,788) | ||||||||
Ingles Markets, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 38 | 3,240 | 3,282 | 149 | ||||||||
Kroger Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 6,782 | 306,427 | 310,005 | 13,587 | ||||||||
Sysco Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,845 | 198,440 | 208,055 | 15,366 | ||||||||
Target Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 5,360 | 668,304 | 763,371 | 119,856 | ||||||||
US Foods Holding Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,028 | 138,507 | 182,911 | 48,018 | ||||||||
Walgreens Boots Alliance, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 5,372 | 175,427 | 140,263 | (10,130) | ||||||||
Walmart, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 3,068 | 387,996 | 483,670 | 123,767 | ||||||||
37,869 | 2,963,227 | 3,301,930 | 485,247 | |||||||||||||
Energy | ||||||||||||||||
Antero Midstream Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 7,236 | 91,332 | 90,667 | 1,726 | ||||||||
APA Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 24,917 | 934,779 | 894,022 | (19,752) | ||||||||
Baker Hughes Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 26,107 | 774,948 | 892,337 | 150,884 | ||||||||
California Resources Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 3,655 | 186,485 | 199,855 | 18,638 | ||||||||
Cameco Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 9,117 | 405,068 | 392,943 | (1,615) | ||||||||
Canadian Natural Resources Ltd. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 3,874 | 244,974 | 253,824 | 15,507 | ||||||||
Cenovus Energy, Inc. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 17,949 | 310,715 | 298,851 | (3,324) | ||||||||
ChampionX Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,010 | 52,166 | 58,712 | 8,313 | ||||||||
Chesapeake Energy Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 14,744 | 1,152,100 | 1,134,403 | 19,389 | ||||||||
Chord Energy Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 410 | 65,749 | 68,154 | 4,362 | ||||||||
ConocoPhillips | USFF +0.250% | Weekly | MS | 07/08/27 | 3,375 | 349,339 | 391,736 | 62,399 | ||||||||
CONSOL Energy, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,333 | 124,834 | 234,536 | 112,550 | ||||||||
CVR Energy, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 6,781 | 216,090 | 205,464 | 37 | ||||||||
Devon Energy Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 9,465 | 423,131 | 428,765 | 24,610 | ||||||||
DHT Holdings, Inc. (Marshall Islands) | USFF +0.250% | Weekly | MS | 07/08/27 | 26,939 | 233,932 | 264,272 | 64,810 | ||||||||
Dorian LPG Ltd. (Marshall Islands) | USFF +0.250% | Weekly | MS | 01/10/28 | 6,255 | 184,116 | 274,407 | 104,033 | ||||||||
Enerplus Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/08/27 | 8,306 | 119,268 | 127,414 | 12,231 | ||||||||
EQT Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 7,947 | 252,687 | 307,231 | 64,617 |
65
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Energy — (continued) | ||||||||||||||||
Equitrans Midstream Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 11,857 | $57,891 | $120,704 | $67,894 | ||||||||
Exxon Mobil Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 6,526 | 678,658 | 652,469 | 21,168 | ||||||||
FLEX LNG Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 07/11/28 | 74 | 2,188 | 2,150 | 97 | ||||||||
Gulfport Energy Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 571 | 44,828 | 76,057 | 32,414 | ||||||||
Helix Energy Solutions Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 7,765 | 83,350 | 79,824 | (1,568) | ||||||||
Helmerich & Payne, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 15,750 | 599,988 | 570,465 | (13,815) | ||||||||
Imperial Oil Ltd. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 748 | 42,062 | 42,778 | 1,828 | ||||||||
Kinder Morgan, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 15,997 | 272,937 | 282,187 | 36,480 | ||||||||
Liberty Energy, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 324 | 5,944 | 5,877 | 111 | ||||||||
Marathon Petroleum Corp. | USFF +0.250% | Weekly | MS | 08/27/24 | 2,458 | 273,874 | 364,669 | 114,575 | ||||||||
Murphy Oil Corp. | USFF +0.250% | Weekly | MS | 08/27/24 | 4,150 | 166,231 | 177,039 | 16,950 | ||||||||
Nabors Industries Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 01/10/28 | 373 | 39,937 | 30,448 | (8,430) | ||||||||
Nordic American Tankers Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 01/10/28 | 29,820 | 111,697 | 125,244 | 22,926 | ||||||||
Occidental Petroleum Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 7,743 | 443,941 | 462,335 | 35,996 | ||||||||
Pembina Pipeline Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 5,812 | 190,250 | 200,049 | 16,970 | ||||||||
Phillips 66 | USFF +0.250% | Weekly | MS | 07/11/28 | 69 | 9,277 | 9,187 | 174 | ||||||||
Pioneer Natural Resources Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,658 | 378,621 | 372,851 | 9,135 | ||||||||
Precision Drilling Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 360 | 20,289 | 19,544 | (196) | ||||||||
TechnipFMC PLC (United Kingdom) | USFF +0.250% | Weekly | MS | 07/08/27 | 18,806 | 385,998 | 378,753 | 3,408 | ||||||||
US Silica Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 10,731 | 136,636 | 121,368 | (11,734) | ||||||||
Weatherford International PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/08/27 | 2 | 134 | 196 | 89 | ||||||||
Williams Cos., Inc. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 11,697 | 412,586 | 407,407 | 9,387 | ||||||||
334,711 | 10,479,030 | 11,019,194 | 993,274 | |||||||||||||
Financial Services | ||||||||||||||||
AvidXchange Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 13,416 | 156,580 | 166,224 | 13,727 | ||||||||
Berkshire Hathaway, Inc., Class B | USFF +0.250% | Weekly | MS | 08/27/24 | 2,916 | 783,653 | 1,040,021 | 276,706 | ||||||||
BlackRock, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 185 | 127,065 | 150,183 | 29,910 |
66
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Financial Services — (continued) | ||||||||||||||||
Cboe Global Markets, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,182 | $331,795 | $389,618 | $68,566 | ||||||||
CME Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 3,673 | 778,705 | 773,534 | 30,293 | ||||||||
Coinbase Global, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 812 | 100,403 | 141,223 | 43,446 | ||||||||
Fiserv, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 5,483 | 661,420 | 728,362 | 84,111 | ||||||||
Franklin Resources, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 13,149 | 302,942 | 391,709 | 114,364 | ||||||||
Intercontinental Exchange, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 23 | 2,224 | 2,954 | 2,649 | ||||||||
International Money Express, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 576 | 12,272 | 12,724 | 794 | ||||||||
MarketAxess Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 312 | 81,043 | 91,369 | 12,951 | ||||||||
Mastercard, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 273 | 103,293 | 116,437 | 16,060 | ||||||||
Moody's Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 131 | 49,522 | 51,163 | 3,002 | ||||||||
Morningstar, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 317 | 89,354 | 90,738 | 3,724 | ||||||||
Nasdaq, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 10,242 | 443,701 | 595,470 | 186,790 | ||||||||
NCR Atleos Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,259 | 82,178 | 103,451 | 23,570 | ||||||||
Open Lending Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,510 | 35,623 | 38,380 | 3,558 | ||||||||
Paymentus Holdings, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 118 | 2,046 | 2,109 | 139 | ||||||||
Payoneer Global, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 9,485 | 50,214 | 49,417 | 528 | ||||||||
PayPal Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 10,801 | 572,013 | 663,289 | 106,128 | ||||||||
Shift4 Payments, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 2,518 | 160,114 | 187,188 | 31,248 | ||||||||
T Rowe Price Group, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 2,785 | 303,001 | 299,917 | 26,567 | ||||||||
Visa, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 1,290 | 308,497 | 335,852 | 35,997 | ||||||||
Western Union Co. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 5,737 | 68,120 | 68,385 | 2,624 | ||||||||
95,193 | 5,605,778 | 6,489,717 | 1,117,452 | |||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||
Altria Group, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 8,162 | 331,557 | 329,255 | 87,306 | ||||||||
Archer-Daniels-Midland Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 6,778 | 489,385 | 489,507 | 16,756 | ||||||||
B&G Foods, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 14,035 | 134,929 | 147,368 | 18,488 | ||||||||
Bunge Global SA (Switzerland) | USFF +0.250% | Weekly | MS | 07/11/28 | 3,351 | 345,877 | 338,283 | 2,494 | ||||||||
Campbell Soup Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 158 | 6,783 | 6,830 | 247 | ||||||||
Celsius Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 13,062 | 388,446 | 712,140 | 335,738 | ||||||||
Coca-Cola Co. (The) | USFF +0.250% | Weekly | MS | 08/27/24 | 6,788 | 382,108 | 400,017 | 58,810 | ||||||||
Coca-Cola Consolidated, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 45 | 28,573 | 41,778 | 17,764 | ||||||||
Constellation Brands, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 904 | 223,872 | 218,542 | 804 | ||||||||
General Mills, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 3,161 | 204,175 | 205,908 | 15,152 | ||||||||
Hershey Co. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 660 | 122,442 | 123,050 | 4,759 |
67
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Food, Beverage & Tobacco — (continued) | ||||||||||||||||
Hormel Foods Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,295 | $158,050 | $137,912 | $(14,914) | ||||||||
Ingredion, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,012 | 104,778 | 109,832 | 9,057 | ||||||||
J M Smucker Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 3,686 | 511,828 | 465,837 | (27,545) | ||||||||
John B Sanfilippo & Son, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 193 | 19,956 | 19,887 | 571 | ||||||||
Kellanova | USFF +0.250% | Weekly | MS | 01/10/28 | 4,496 | 253,036 | 251,371 | 8,176 | ||||||||
Keurig Dr Pepper, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 14,056 | 479,299 | 468,346 | 9,600 | ||||||||
Kraft Heinz Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 10,662 | 372,301 | 394,281 | 31,567 | ||||||||
Lancaster Colony Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 219 | 40,541 | 36,439 | (2,644) | ||||||||
McCormick & Co., Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,459 | 89,914 | 99,825 | 12,911 | ||||||||
Molson Coors Beverage Co., Class B | USFF +0.250% | Weekly | MS | 01/10/28 | 1,563 | 88,533 | 95,671 | 10,812 | ||||||||
Mondelez International, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 2,998 | 197,103 | 217,145 | 26,480 | ||||||||
PepsiCo, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 1,273 | 214,211 | 216,206 | 18,531 | ||||||||
Philip Morris International, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,677 | 160,733 | 157,772 | 4,898 | ||||||||
Primo Water Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 796 | 12,132 | 11,980 | 185 | ||||||||
Sovos Brands, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 4,494 | 97,947 | 99,003 | 3,618 | ||||||||
Tootsie Roll Industries, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 31 | 1,054 | 1,030 | 29 | ||||||||
Vita Coco Co., Inc. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 4,531 | 125,795 | 116,220 | (6,291) | ||||||||
114,545 | 5,585,358 | 5,911,435 | 643,359 | |||||||||||||
Health Care Equipment & Services | ||||||||||||||||
Align Technology, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 186 | 46,669 | 50,964 | 8,278 | ||||||||
Apollo Medical Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,487 | 57,065 | 56,952 | 895 | ||||||||
Avanos Medical, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,748 | 37,732 | 39,208 | 2,477 | ||||||||
Baxter International, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 30,702 | 1,072,397 | 1,186,939 | 146,739 | ||||||||
Becton Dickinson & Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,868 | 438,841 | 455,474 | 30,106 | ||||||||
Cardinal Health, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,855 | 295,552 | 287,784 | 1,318 | ||||||||
Cencora, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 844 | 146,411 | 173,341 | 31,860 | ||||||||
Centene Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 9,851 | 696,470 | 731,043 | 52,651 | ||||||||
Certara, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 4,205 | 61,773 | 73,966 | 14,048 | ||||||||
Cigna Group (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 615 | 159,219 | 184,162 | 30,731 | ||||||||
CONMED Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 4,432 | 479,064 | 485,348 | 19,957 | ||||||||
Cross Country Healthcare, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 6,400 | 165,109 | 144,896 | (16,797) | ||||||||
CVS Health Corp. | USFF +0.250% | Weekly | MS | 08/27/24 | 6,522 | 463,271 | 514,977 | 76,780 |
68
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Health Care Equipment & Services — (continued) | ||||||||||||||||
DaVita, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 5,319 | $450,650 | $557,218 | $118,274 | ||||||||
Definitive Healthcare Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 3,377 | 28,966 | 33,567 | 5,376 | ||||||||
Elevance Health, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 568 | 251,776 | 267,846 | 25,042 | ||||||||
Enovis Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 761 | 35,202 | 42,631 | 9,082 | ||||||||
Envista Holdings Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,535 | 37,619 | 36,932 | 239 | ||||||||
Fulgent Genetics, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,419 | 142,818 | 69,933 | (69,159) | ||||||||
GE HealthCare Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 9,769 | 626,162 | 755,339 | 146,046 | ||||||||
Haemonetics Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,691 | 226,180 | 230,107 | 9,813 | ||||||||
HCA Healthcare, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 701 | 170,740 | 189,747 | 24,146 | ||||||||
HealthEquity, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 816 | 57,382 | 54,101 | (1,770) | ||||||||
Henry Schein, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 329 | 22,847 | 24,909 | 2,678 | ||||||||
Hologic, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 13,479 | 969,775 | 963,075 | 18,462 | ||||||||
Humana, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 244 | 115,791 | 111,706 | (2) | ||||||||
Integer Holdings Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 404 | 36,155 | 40,028 | 4,834 | ||||||||
Laboratory Corp. of America Holdings | USFF +0.250% | Weekly | MS | 07/11/28 | 738 | 154,864 | 167,740 | 17,429 | ||||||||
Lantheus Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,572 | 242,617 | 283,464 | 47,160 | ||||||||
McKesson Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 237 | 108,140 | 109,726 | 4,532 | ||||||||
Molina Healthcare, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 569 | 197,697 | 205,585 | 13,036 | ||||||||
Omnicell, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 866 | 29,021 | 32,588 | 4,347 | ||||||||
Owens & Minor, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,511 | 48,665 | 48,387 | 1,007 | ||||||||
Phreesia, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,640 | 35,947 | 37,966 | 2,974 | ||||||||
Privia Health Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 6,572 | 153,601 | 151,353 | 1,573 | ||||||||
Progyny, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,916 | 97,797 | 108,417 | 13,218 | ||||||||
Pulse Biosciences, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 61 | 767 | 747 | 23 | ||||||||
Teleflex, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 22 | 5,484 | 5,485 | 167 | ||||||||
Tenet Healthcare Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,579 | 139,393 | 194,895 | 59,362 | ||||||||
UFP Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 272 | 34,244 | 46,795 | 13,462 | ||||||||
UnitedHealth Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 614 | 330,929 | 323,253 | 1,805 | ||||||||
Varex Imaging Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 418 | 8,270 | 8,569 | 537 | ||||||||
Zimmer Biomet Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,081 | 128,207 | 131,558 | 6,909 | ||||||||
139,795 | 9,007,279 | 9,618,721 | 879,645 | |||||||||||||
Household & Personal Products | ||||||||||||||||
BellRing Brands, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 9,118 | 502,956 | 505,411 | 15,516 | ||||||||
Colgate-Palmolive Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 3,793 | 288,041 | 302,340 | 21,789 |
69
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Household & Personal Products — (continued) | ||||||||||||||||
elf Beauty, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,610 | $137,172 | $376,727 | $256,130 | ||||||||
Energizer Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 106 | 3,387 | 3,358 | 82 | ||||||||
Kenvue, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 13,035 | 266,752 | 280,644 | 23,252 | ||||||||
Kimberly-Clark Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,148 | 520,018 | 504,023 | 17,807 | ||||||||
Procter & Gamble Co. (The) | USFF +0.250% | Weekly | MS | 08/27/24 | 3,719 | 508,865 | 544,982 | 78,726 | ||||||||
Spectrum Brands Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 680 | 46,023 | 54,244 | 10,760 | ||||||||
37,209 | 2,273,214 | 2,571,729 | 424,062 | |||||||||||||
Materials | ||||||||||||||||
Alamos Gold, Inc., Class A (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 31,151 | 365,101 | 419,604 | 65,284 | ||||||||
Alpha Metallurgical Resources, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2 | 355 | 678 | 365 | ||||||||
Amcor PLC (Jersey) | USFF +0.250% | Weekly | MS | 07/11/28 | 29,190 | 268,193 | 281,392 | 24,297 | ||||||||
AptarGroup, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 312 | 39,346 | 38,569 | 267 | ||||||||
Avient Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 3,492 | 121,150 | 145,162 | 28,027 | ||||||||
Axalta Coating Systems Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 07/11/28 | 8,940 | 269,959 | 303,692 | 40,754 | ||||||||
Ball Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,382 | 212,251 | 252,053 | 47,809 | ||||||||
Barrick Gold Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 8,163 | 127,057 | 147,669 | 28,455 | ||||||||
Berry Global Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 6,807 | 416,508 | 458,724 | 55,383 | ||||||||
Carpenter Technology Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 7,245 | 484,212 | 512,946 | 41,378 | ||||||||
CF Industries Holdings, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 7,075 | 474,096 | 562,463 | 112,204 | ||||||||
Cleveland-Cliffs, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 32,614 | 478,416 | 665,978 | 213,190 | ||||||||
Commercial Metals Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,218 | 55,015 | 60,949 | 8,574 | ||||||||
Crown Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,022 | 164,558 | 186,206 | 26,018 | ||||||||
Eastman Chemical Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,404 | 185,184 | 215,927 | 37,514 | ||||||||
Ecolab, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,216 | 206,469 | 241,194 | 40,766 | ||||||||
Fortuna Silver Mines, Inc. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 1,161 | 4,563 | 4,481 | 60 | ||||||||
Freeport-McMoRan, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,150 | 49,325 | 48,956 | 2,587 | ||||||||
Hawkins, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 454 | 25,898 | 31,971 | 6,847 | ||||||||
HB Fuller Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,785 | 123,640 | 145,317 | 25,140 | ||||||||
Innospec, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 451 | 44,629 | 55,581 | 12,861 | ||||||||
International Flavors & Fragrances, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,944 | 151,367 | 157,406 | 11,436 | ||||||||
International Paper Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,058 | 33,972 | 38,247 | 6,254 |
70
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Materials — (continued) | ||||||||||||||||
Knife River Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 576 | $33,198 | $38,120 | $5,805 | ||||||||
Linde PLC (Ireland) | USFF +0.250% | Weekly | MS | 08/27/24 | 2,242 | 821,427 | 920,812 | 126,917 | ||||||||
Livent Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,529 | 26,199 | 27,491 | 1,881 | ||||||||
LyondellBasell Industries NV, Class A (Netherlands) | USFF +0.250% | Weekly | MS | 07/11/28 | 5,667 | 524,557 | 538,818 | 27,883 | ||||||||
Martin Marietta Materials, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 323 | 118,496 | 161,148 | 46,746 | ||||||||
Minerals Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 857 | 47,376 | 61,113 | 15,067 | ||||||||
Mosaic Co. (The) | USFF +0.250% | Weekly | MS | 01/07/27 | 6,223 | 239,798 | 222,348 | (6,945) | ||||||||
NewMarket Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 306 | 152,014 | 167,024 | 19,751 | ||||||||
Newmont Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 3,750 | 128,658 | 155,213 | 31,413 | ||||||||
Nucor Corp. | USFF +0.250% | Weekly | MS | 08/27/24 | 1,417 | 204,216 | 246,615 | 54,430 | ||||||||
Packaging Corp. of America | USFF +0.250% | Weekly | MS | 07/08/27 | 1,038 | 138,567 | 169,101 | 38,552 | ||||||||
Pactiv Evergreen, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 170 | 2,101 | 2,331 | 312 | ||||||||
PPG Industries, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 540 | 65,626 | 80,757 | 17,289 | ||||||||
Quaker Chemical Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,054 | 197,394 | 224,945 | 33,547 | ||||||||
Royal Gold, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 10 | 1,204 | 1,210 | 60 | ||||||||
RPM International, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,280 | 120,621 | 142,886 | 25,761 | ||||||||
Scotts Miracle-Gro Co. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 3,520 | 187,998 | 224,400 | 44,328 | ||||||||
Sealed Air Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 961 | 35,155 | 35,096 | 1,045 | ||||||||
Sherwin-Williams Co. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 886 | 242,370 | 276,343 | 40,511 | ||||||||
SilverCrest Metals, Inc. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 593 | 3,569 | 3,884 | 431 | ||||||||
Sonoco Products Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 10 | 561 | 559 | 36 | ||||||||
Southern Copper Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,407 | 170,663 | 207,170 | 46,076 | ||||||||
Steel Dynamics, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 164 | 19,951 | 19,368 | 16 | ||||||||
Vulcan Materials Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 546 | 105,442 | 123,947 | 21,967 | ||||||||
Warrior Met Coal, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 869 | 29,105 | 52,983 | 25,416 | ||||||||
191,174 | 7,917,530 | 9,078,847 | 1,453,765 | |||||||||||||
Media & Entertainment | ||||||||||||||||
Alphabet, Inc., Class A | USFF +0.250% | Weekly | MS | 08/27/24 | 12,920 | 1,366,529 | 1,804,795 | 473,713 | ||||||||
AMC Networks, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 1,882 | 31,233 | 35,363 | 4,963 | ||||||||
Bumble, Inc., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 18,119 | 299,528 | 267,074 | (24,674) | ||||||||
Cable One, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 242 | 131,275 | 134,695 | 7,085 | ||||||||
Cargurus, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 4,450 | 77,382 | 107,512 | 33,639 | ||||||||
Charter Communications, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 251 | 76,707 | 97,559 | 22,864 |
71
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Media & Entertainment — (continued) | ||||||||||||||||
Cinemark Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 27,056 | $320,876 | $381,219 | $68,684 | ||||||||
Clear Channel Outdoor Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,359 | 4,378 | 4,293 | 53 | ||||||||
Comcast Corp., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 14,900 | 547,861 | 653,365 | 131,004 | ||||||||
Electronic Arts, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,501 | 298,880 | 342,162 | 51,960 | ||||||||
Fox Corp., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 11,027 | 349,581 | 327,171 | (8,713) | ||||||||
Interpublic Group of Cos., Inc. (The) | USFF +0.250% | Weekly | MS | 08/27/24 | 7,358 | 214,581 | 240,165 | 40,620 | ||||||||
John Wiley & Sons, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 863 | 26,086 | 27,392 | 2,307 | ||||||||
Live Nation Entertainment, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 16 | 1,508 | 1,498 | 52 | ||||||||
Match Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 6,900 | 258,377 | 251,850 | 188 | ||||||||
Meta Platforms, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 4,386 | 440,014 | 1,552,469 | 1,123,884 | ||||||||
Netflix, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 781 | 299,524 | 380,253 | 88,174 | ||||||||
News Corp., Class A | USFF +0.250% | Weekly | MS | 08/27/24 | 1,478 | 26,854 | 36,285 | 16,774 | ||||||||
Omnicom Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 945 | 81,129 | 81,752 | 4,677 | ||||||||
Pinterest, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 954 | 36,028 | 35,336 | 266 | ||||||||
Roku, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,550 | 194,313 | 233,733 | 44,480 | ||||||||
Shutterstock, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,309 | 59,611 | 63,199 | 5,755 | ||||||||
Vimeo, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 10,945 | 43,288 | 42,904 | 762 | ||||||||
Walt Disney Co. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 12,808 | 1,117,163 | 1,156,434 | 71,676 | ||||||||
Yelp, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,161 | 96,621 | 102,302 | 8,208 | ||||||||
ZipRecruiter, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 3,115 | 43,585 | 43,299 | 867 | ||||||||
152,276 | 6,442,912 | 8,404,079 | 2,169,268 | |||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||
10X Genomics, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 189 | 10,771 | 10,576 | 108 | ||||||||
AbbVie, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 528 | 81,454 | 81,824 | 2,607 | ||||||||
Aerovate Therapeutics, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1 | 22 | 23 | 24 | ||||||||
Agilent Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 5,553 | 652,407 | 772,034 | 143,655 | ||||||||
Alnylam Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,524 | 255,848 | 291,709 | 42,517 | ||||||||
Amgen, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,763 | 463,348 | 507,779 | 58,321 | ||||||||
ANI Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,487 | 84,746 | 81,993 | (582) | ||||||||
Ardelyx, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 24,921 | 99,164 | 154,510 | 57,940 | ||||||||
Azenta, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,371 | 152,595 | 154,447 | 5,841 |
72
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||||||||
Bio-Rad Laboratories, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 1,624 | $525,622 | $524,373 | $11,211 | ||||||||
Bridgebio Pharma, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,149 | 86,758 | 86,755 | 2,270 | ||||||||
Bristol-Myers Squibb Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 23,678 | 1,295,875 | 1,214,918 | (36,170) | ||||||||
Cabaletta Bio, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 281 | 6,124 | 6,379 | 437 | ||||||||
CareDx, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 530 | 6,594 | 6,360 | (39) | ||||||||
Catalyst Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,631 | 42,804 | 61,037 | 19,366 | ||||||||
Celldex Therapeutics, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 305 | 11,585 | 12,096 | 835 | ||||||||
Charles River Laboratories International, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 85 | 20,216 | 20,094 | 426 | ||||||||
Collegium Pharmaceutical, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 5,731 | 133,352 | 176,400 | 46,528 | ||||||||
Cymabay Therapeutics, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,565 | 34,346 | 60,585 | 27,153 | ||||||||
Editas Medicine, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 7,213 | 74,645 | 73,068 | 381 | ||||||||
Eli Lilly & Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 20 | 11,629 | 11,658 | 420 | ||||||||
EyePoint Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,007 | 42,251 | 46,382 | 5,250 | ||||||||
Gilead Sciences, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,231 | 168,082 | 180,733 | 23,431 | ||||||||
Halozyme Therapeutics, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 8,259 | 318,496 | 305,253 | (4,964) | ||||||||
Harmony Biosciences Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 9,521 | 317,835 | 307,528 | (2,046) | ||||||||
ImmunoGen, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 530 | 2,205 | 15,715 | 13,590 | ||||||||
Incyte Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 6,695 | 362,020 | 420,379 | 69,461 | ||||||||
Innoviva, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 57 | 916 | 914 | 45 | ||||||||
IQVIA Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 358 | 80,830 | 82,834 | 4,123 | ||||||||
Johnson & Johnson | USFF +0.250% | Weekly | MS | 08/27/24 | 8,239 | 1,271,049 | 1,291,381 | 104,909 | ||||||||
Ligand Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 438 | 28,691 | 31,282 | 3,363 | ||||||||
Merck & Co., Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 5,247 | 535,596 | 572,028 | 56,006 | ||||||||
Mettler-Toledo International, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 311 | 339,014 | 377,231 | 47,028 | ||||||||
Neurocrine Biosciences, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 154 | 16,331 | 20,291 | 8,857 | ||||||||
Pacira BioSciences, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 591 | 16,294 | 19,940 | 4,543 | ||||||||
Quanterix Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 854 | 21,349 | 23,348 | 2,577 |
73
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||||||||
RAPT Therapeutics, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 11 | $274 | $273 | $29 | ||||||||
Regeneron Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 29 | 24,540 | 25,470 | 2,838 | ||||||||
Relay Therapeutics, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,535 | 16,110 | 16,900 | 1,232 | ||||||||
Rhythm Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,723 | 50,160 | 79,206 | 30,370 | ||||||||
Roivant Sciences Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 07/11/28 | 48 | 548 | 539 | 28 | ||||||||
Twist Bioscience Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 6,011 | 165,755 | 221,565 | 60,131 | ||||||||
United Therapeutics Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 291 | 63,942 | 63,988 | 1,726 | ||||||||
Viatris, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 10,283 | 97,770 | 111,365 | 21,218 | ||||||||
West Pharmaceutical Services, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 559 | 178,514 | 196,835 | 23,110 | ||||||||
152,131 | 8,168,477 | 8,719,998 | 860,104 | |||||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Advanced Micro Devices, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 6,724 | 727,969 | 991,185 | 282,110 | ||||||||
Applied Materials, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 6,588 | 832,955 | 1,067,717 | 272,903 | ||||||||
Axcelis Technologies, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 531 | 65,749 | 68,865 | 4,844 | ||||||||
Broadcom, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 1,775 | 1,177,642 | 1,981,344 | 880,611 | ||||||||
Cohu, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 631 | 19,909 | 22,331 | 3,069 | ||||||||
Diodes, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,800 | 133,216 | 144,936 | 15,299 | ||||||||
KLA Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 165 | 83,388 | 95,915 | 15,384 | ||||||||
Lam Research Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 367 | 149,576 | 287,456 | 145,047 | ||||||||
Microchip Technology, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 6,123 | 386,023 | 552,172 | 188,687 | ||||||||
Micron Technology, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 4,609 | 395,988 | 393,332 | 8,111 | ||||||||
Monolithic Power Systems, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 551 | 254,984 | 347,560 | 99,927 | ||||||||
NVIDIA Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,232 | 1,082,389 | 1,600,551 | 555,479 | ||||||||
NXP Semiconductors NV (Netherlands) | USFF +0.250% | Weekly | MS | 01/07/27 | 2,588 | 399,245 | 594,412 | 215,212 | ||||||||
Photronics, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 12,055 | 206,894 | 378,165 | 177,583 | ||||||||
QUALCOMM, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 6,081 | 716,021 | 879,495 | 193,612 | ||||||||
Rambus, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 1,772 | 109,174 | 120,939 | 14,619 | ||||||||
Skyworks Solutions, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,725 | 357,656 | 418,765 | 75,209 | ||||||||
59,317 | 7,098,778 | 9,945,140 | 3,147,706 |
74
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Software & Services | ||||||||||||||||
Accenture PLC, Class A (Ireland) | USFF +0.250% | Weekly | MS | 01/10/28 | 3,351 | $1,049,467 | $1,175,899 | $158,208 | ||||||||
Adobe, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,247 | 455,066 | 743,960 | 300,714 | ||||||||
Amdocs Ltd. (Guernsey) | USFF +0.250% | Weekly | MS | 01/10/28 | 2,105 | 176,585 | 185,008 | 14,314 | ||||||||
ANSYS, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 46 | 11,762 | 16,692 | 5,259 | ||||||||
AppLovin Corp., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 9,221 | 350,753 | 367,457 | 26,091 | ||||||||
Blackbaud, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 549 | 40,503 | 47,598 | 8,169 | ||||||||
BlackBerry Ltd. (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 9,453 | 42,378 | 33,464 | (7,835) | ||||||||
Cadence Design Systems, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,446 | 323,738 | 393,847 | 78,524 | ||||||||
Crowdstrike Holdings, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 460 | 100,193 | 117,447 | 19,875 | ||||||||
DocuSign, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 6,186 | 368,970 | 367,758 | 8,376 | ||||||||
Dolby Laboratories, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 246 | 21,250 | 21,200 | 524 | ||||||||
DXC Technology Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,113 | 48,422 | 48,324 | 1,181 | ||||||||
Elastic NV (Netherlands) | USFF +0.250% | Weekly | MS | 07/11/28 | 3,135 | 241,879 | 353,315 | 122,999 | ||||||||
Freshworks, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 1,128 | 23,619 | 26,497 | 3,513 | ||||||||
Gartner, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 194 | 86,443 | 87,515 | 3,337 | ||||||||
Gen Digital, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 16,722 | 311,406 | 381,596 | 83,521 | ||||||||
Gitlab, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 3,569 | 194,260 | 224,704 | 35,503 | ||||||||
Guidewire Software, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,551 | 228,237 | 278,161 | 57,828 | ||||||||
Informatica, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 199 | 5,724 | 5,650 | 97 | ||||||||
InterDigital, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 3,460 | 270,153 | 375,548 | 115,653 | ||||||||
International Business Machines Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,152 | 277,323 | 351,960 | 90,697 | ||||||||
JFrog Ltd. (Israel) | USFF +0.250% | Weekly | MS | 07/11/28 | 1,474 | 48,521 | 51,015 | 3,775 | ||||||||
Kyndryl Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 3,712 | 58,911 | 77,135 | 19,775 | ||||||||
LiveRamp Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,910 | 66,258 | 72,351 | 7,834 | ||||||||
Manhattan Associates, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 315 | 68,534 | 67,826 | 1,091 | ||||||||
Microsoft Corp. | USFF +0.250% | Weekly | MS | 08/27/24 | 3,938 | 925,776 | 1,480,846 | 600,563 | ||||||||
MongoDB, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 172 | 59,864 | 70,322 | 12,033 | ||||||||
NCR Voyix Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 19,657 | 301,102 | 332,400 | 39,075 | ||||||||
Nutanix, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 6,078 | 185,430 | 289,860 | 109,260 | ||||||||
Okta, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 439 | 34,344 | 39,743 | 6,313 | ||||||||
Oracle Corp. | USFF +0.250% | Weekly | MS | 08/27/24 | 10,737 | 1,022,876 | 1,132,002 | 159,552 | ||||||||
Palantir Technologies, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 38,364 | 710,627 | 658,710 | (33,472) |
75
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Software & Services — (continued) | ||||||||||||||||
Palo Alto Networks, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,061 | $641,845 | $902,628 | $277,445 | ||||||||
Q2 Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,807 | 60,444 | 78,442 | 19,588 | ||||||||
Qualys, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 753 | 78,794 | 147,799 | 71,071 | ||||||||
Salesforce, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,797 | 568,143 | 999,143 | 445,751 | ||||||||
Samsara, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 12,028 | 331,095 | 401,495 | 79,006 | ||||||||
ServiceNow, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 1,462 | 695,760 | 1,032,888 | 355,188 | ||||||||
Shopify, Inc., Class A (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 2,605 | 194,666 | 202,930 | 13,333 | ||||||||
Smartsheet, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 1,451 | 58,619 | 69,387 | 12,311 | ||||||||
Splunk, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,500 | 324,112 | 380,875 | 72,967 | ||||||||
Squarespace, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 2,372 | 66,436 | 78,300 | 14,013 | ||||||||
Synopsys, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 565 | 263,433 | 290,924 | 34,343 | ||||||||
Teradata Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 25 | 1,088 | 1,088 | 51 | ||||||||
UiPath, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 18,528 | 401,320 | 460,236 | 69,342 | ||||||||
VeriSign, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 841 | 164,174 | 173,212 | 13,318 | ||||||||
Weave Communications, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 234 | 2,502 | 2,684 | 270 | ||||||||
Workday, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 756 | 206,768 | 208,701 | 7,317 | ||||||||
Yext, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 13,597 | 105,991 | 80,086 | (23,134) | ||||||||
Zoom Video Communications, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 2,107 | 131,160 | 151,514 | 23,896 | ||||||||
Zuora, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 4,111 | 37,006 | 38,643 | 2,620 | ||||||||
228,929 | 12,443,730 | 15,576,785 | 3,541,043 | |||||||||||||
Technology Hardware & Equipment | ||||||||||||||||
Apple, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 15,074 | 2,374,070 | 2,902,197 | 619,113 | ||||||||
Arlo Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,337 | 41,687 | 41,288 | 662 | ||||||||
Arrow Electronics, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,960 | 238,186 | 239,610 | 7,622 | ||||||||
Badger Meter, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 512 | 71,334 | 79,037 | 9,875 | ||||||||
Bel Fuse, Inc., Class B | USFF +0.250% | Weekly | MS | 07/11/28 | 1,564 | 79,076 | 104,428 | 27,515 | ||||||||
CDW Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 706 | 127,301 | 160,488 | 37,685 | ||||||||
Cisco Systems, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 19,408 | 883,805 | 980,492 | 179,001 | ||||||||
Corning, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 6,266 | 179,564 | 190,800 | 16,088 | ||||||||
Crane NXT Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,793 | 136,522 | 158,838 | 26,810 | ||||||||
Extreme Networks, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 23,116 | 526,192 | 407,766 | (109,634) | ||||||||
F5, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,499 | 220,025 | 268,291 | 53,993 | ||||||||
Fabrinet (Cayman Islands) | USFF +0.250% | Weekly | MS | 07/11/28 | 1,725 | 287,630 | 328,319 | 49,177 |
76
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Technology Hardware & Equipment — (continued) | ||||||||||||||||
Hewlett Packard Enterprise Co. | USFF +0.250% | Weekly | MS | 08/27/24 | 41,411 | $638,276 | $703,159 | $97,524 | ||||||||
HP, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 20,467 | 385,628 | 615,852 | 299,538 | ||||||||
Insight Enterprises, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 902 | 112,040 | 159,825 | 50,713 | ||||||||
Itron, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 506 | 33,577 | 38,208 | 5,524 | ||||||||
Jabil, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 5,234 | 644,579 | 666,812 | 38,974 | ||||||||
Juniper Networks, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 8,613 | 234,289 | 253,911 | 28,057 | ||||||||
Keysight Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 44 | 7,004 | 7,000 | 181 | ||||||||
Knowles Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,704 | 27,627 | 30,519 | 3,631 | ||||||||
Motorola Solutions, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 952 | 297,262 | 298,062 | 8,529 | ||||||||
Napco Security Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,200 | 55,827 | 75,350 | 21,216 | ||||||||
NetApp, Inc. | USFF +0.250% | Weekly | MS | 08/27/24 | 3,306 | 211,508 | 291,457 | 97,374 | ||||||||
NetScout Systems, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 6,649 | 201,331 | 145,946 | (50,514) | ||||||||
nLight, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 208 | 2,833 | 2,808 | 72 | ||||||||
Rogers Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 4 | 531 | 528 | 35 | ||||||||
Seagate Technology Holdings PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/10/28 | 3,860 | 237,604 | 329,528 | 105,247 | ||||||||
SmartRent, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,772 | 5,652 | 5,653 | 171 | ||||||||
Super Micro Computer, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,018 | 355,567 | 1,142,157 | 795,830 | ||||||||
TE Connectivity Ltd. (Switzerland) | USFF +0.250% | Weekly | MS | 07/11/28 | 977 | 120,056 | 137,269 | 20,924 | ||||||||
Vishay Intertechnology, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,873 | 44,475 | 44,896 | 1,710 | ||||||||
Vontier Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 3,879 | 133,193 | 134,019 | 4,319 | ||||||||
Western Digital Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 3,809 | 163,763 | 199,477 | 39,983 | ||||||||
Xerox Holdings Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,168 | 14,439 | 21,409 | 8,082 | ||||||||
192,516 | 9,092,453 | 11,165,399 | 2,495,027 | |||||||||||||
Telecommunication Services | ||||||||||||||||
AT&T, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 26,087 | 403,445 | 437,740 | 51,229 | ||||||||
EchoStar Corp., Class A | USFF +0.250% | Weekly | MS | 01/05/26 | 2,794 | 61,598 | 46,297 | (13,681) | ||||||||
TELUS Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 1,202 | 21,434 | 21,384 | 529 | ||||||||
T-Mobile US, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,970 | 401,147 | 476,180 | 87,194 |
77
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Telecommunication Services — (continued) | ||||||||||||||||
United States Cellular Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 245 | $10,136 | $10,177 | $327 | ||||||||
Verizon Communications, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 9,115 | 327,681 | 343,636 | 39,211 | ||||||||
42,413 | 1,225,441 | 1,335,414 | 164,809 | |||||||||||||
Transportation | ||||||||||||||||
American Airlines Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 10,908 | 141,832 | 149,876 | 11,744 | ||||||||
ArcBest Corp. | USFF +0.250% | Weekly | MS | 08/27/24 | 1,572 | 124,246 | 188,970 | 72,328 | ||||||||
CH Robinson Worldwide, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,858 | 171,664 | 160,513 | (3,372) | ||||||||
CSX Corp. | USFF +0.250% | Weekly | MS | 08/27/24 | 9,825 | 286,740 | 340,633 | 68,761 | ||||||||
Delta Air Lines, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 11,877 | 383,024 | 477,812 | 106,557 | ||||||||
Expeditors International of Washington, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,006 | 106,360 | 127,963 | 29,451 | ||||||||
FedEx Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,505 | 1,088,511 | 1,139,630 | 85,408 | ||||||||
GXO Logistics, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 3,250 | 183,255 | 198,770 | 20,501 | ||||||||
Hub Group, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 220 | 17,115 | 20,227 | 3,579 | ||||||||
Landstar System, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 323 | 54,730 | 62,549 | 9,917 | ||||||||
Norfolk Southern Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 813 | 161,591 | 192,177 | 36,056 | ||||||||
Old Dominion Freight Line, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 328 | 123,479 | 132,948 | 13,094 | ||||||||
Ryder System, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 58 | 4,747 | 6,673 | 2,223 | ||||||||
SkyWest, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 4,134 | 182,262 | 215,795 | 38,281 | ||||||||
Uber Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 3,372 | 208,882 | 207,614 | 4,170 | ||||||||
Union Pacific Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 259 | 63,626 | 63,616 | 2,266 | ||||||||
United Parcel Service, Inc., Class B | USFF +0.250% | Weekly | MS | 07/11/28 | 346 | 54,430 | 54,402 | (143) | ||||||||
XPO, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 758 | 62,419 | 66,393 | 5,662 | ||||||||
55,412 | 3,418,913 | 3,806,561 | 506,483 | |||||||||||||
Utilities | ||||||||||||||||
ALLETE, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 8,734 | 499,663 | 534,171 | 55,575 | ||||||||
American Water Works Co., Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,042 | 143,615 | 137,534 | (737) | ||||||||
Atmos Energy Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 439 | 49,141 | 50,880 | 3,245 | ||||||||
Black Hills Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 9,288 | 492,986 | 501,088 | 24,837 | ||||||||
Constellation Energy Corp. | USFF +0.250% | Weekly | MS | 08/27/24 | 4,212 | 416,519 | 492,341 | 90,069 | ||||||||
Dominion Energy, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 7,441 | 346,055 | 349,727 | 15,197 | ||||||||
DTE Energy Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 119 | 13,114 | 13,121 | 370 | ||||||||
Duke Energy Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 749 | 65,420 | 72,683 | 11,777 |
78
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Utilities — (continued) | ||||||||||||||||
Entergy Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,107 | $311,634 | $314,397 | $18,672 | ||||||||
Fortis, Inc. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 3,046 | 124,227 | 125,282 | 4,585 | ||||||||
NextEra Energy, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,061 | 103,559 | 125,185 | 25,774 | ||||||||
NRG Energy, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 13,980 | 627,794 | 722,766 | 113,788 | ||||||||
ONE Gas, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 921 | 55,738 | 58,686 | 4,712 | ||||||||
Otter Tail Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 1,609 | 103,997 | 136,717 | 38,371 | ||||||||
PPL Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 6,381 | 159,776 | 172,925 | 19,093 | ||||||||
Public Service Enterprise Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,819 | 111,818 | 111,232 | 2,446 | ||||||||
Spire, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 868 | 53,645 | 54,111 | 2,360 | ||||||||
TransAlta Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 711 | 5,787 | 5,908 | 307 | ||||||||
Vistra Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 7,247 | 197,867 | 279,154 | 90,865 | ||||||||
WEC Energy Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 141 | 11,700 | 11,868 | 495 | ||||||||
73,915 | 3,894,055 | 4,269,776 | 521,801 | |||||||||||||
Total Reference Entity — Long | 130,987,692 | 153,663,685 | 27,817,502 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Short | ||||||||||||||||
Automobiles & Components | ||||||||||||||||
Dana, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (11,778) | $(150,668) | $(172,077) | $(24,751) | ||||||||
Dorman Products, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,065) | (112,699) | (88,832) | 21,711 | ||||||||
Garrett Motion, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (126) | (1,215) | (1,218) | (4) | ||||||||
Gentherm, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,359) | (98,266) | (71,157) | 25,796 | ||||||||
Harley-Davidson, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,915) | (54,955) | (70,549) | (16,801) | ||||||||
LCI Industries | USFF -0.250% | Weekly | MS | 01/10/28 | (1,566) | (199,877) | (196,862) | (4,050) | ||||||||
Lucid Group, Inc. | USFF -5.555% | Weekly | MS | 07/11/28 | (61,705) | (393,481) | (259,778) | 126,005 | ||||||||
Luminar Technologies, Inc. | USFF -16.008% | Weekly | MS | 07/11/28 | (38,908) | (171,707) | (131,120) | 37,241 | ||||||||
Magna International, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (8,436) | (499,998) | (498,399) | (15,432) | ||||||||
Mobileye Global, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (4,401) | (164,675) | (190,651) | (30,514) | ||||||||
Phinia, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (760) | (23,091) | (23,020) | (359) | ||||||||
QuantumScape Corp. | USFF -0.780% | Weekly | MS | 07/11/28 | (11,247) | (66,501) | (78,167) | (12,947) | ||||||||
Tesla, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,045) | (268,466) | (259,662) | 3,560 | ||||||||
Winnebago Industries, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,435) | (95,009) | (104,583) | (11,601) | ||||||||
(145,746) | (2,300,608) | (2,146,075) | 97,854 | |||||||||||||
Capital Goods | ||||||||||||||||
3D Systems Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (30,529) | (259,955) | (193,859) | 60,107 | ||||||||
AAON, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (6,598) | (431,235) | (487,394) | (64,826) | ||||||||
AeroVironment, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,381) | (302,417) | (300,101) | (3,596) |
79
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
AerSale Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (9,159) | $(143,321) | $(116,274) | $24,258 | ||||||||
Albany International Corp., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (4,354) | (402,287) | (427,650) | (35,664) | ||||||||
Allegion PLC (Ireland) | USFF -0.250% | Weekly | MS | 07/11/28 | (4,347) | (535,083) | (550,721) | (26,115) | ||||||||
Ameresco, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (12,176) | (517,187) | (385,614) | 121,448 | ||||||||
Archer Aviation, Inc., Class A | USFF -4.830% | Weekly | MS | 07/11/28 | (3,668) | (23,514) | (22,522) | 555 | ||||||||
Arcosa, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,117) | (237,116) | (257,589) | (25,103) | ||||||||
Argan, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (78) | (3,712) | (3,650) | 12 | ||||||||
Astec Industries, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (689) | (23,089) | (25,631) | (2,981) | ||||||||
Atkore, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (812) | (114,352) | (129,920) | (17,789) | ||||||||
Ballard Power Systems, Inc. (Canada) | USFF -1.184% | Weekly | MS | 01/05/26 | (75,893) | (858,729) | (280,804) | 561,015 | ||||||||
Barnes Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,663) | (74,615) | (86,894) | (13,820) | ||||||||
Bloom Energy Corp., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (3,294) | (54,281) | (48,751) | 4,558 | ||||||||
ChargePoint Holdings, Inc. | USFF -4.526% | Weekly | MS | 01/10/28 | (77,722) | (386,727) | (181,869) | 197,292 | ||||||||
Chart Industries, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,547) | (223,813) | (210,903) | 8,542 | ||||||||
Construction Partners, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (2,989) | (98,831) | (130,081) | (34,948) | ||||||||
Distribution Solutions Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (181) | (4,949) | (5,712) | (837) | ||||||||
Dover Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,530) | (368,468) | (389,139) | (29,898) | ||||||||
Ducommun, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (788) | (35,427) | (41,023) | (6,268) | ||||||||
Dycom Industries, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,376) | (363,002) | (388,544) | (32,641) | ||||||||
Energy Recovery, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (3,038) | (79,198) | (57,236) | 21,228 | ||||||||
Enovix Corp. | USFF -0.780% | Weekly | MS | 07/11/28 | (2,652) | (53,848) | (33,203) | 19,612 | ||||||||
ESCO Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (479) | (52,498) | (56,057) | (4,566) | ||||||||
Federal Signal Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,235) | (136,595) | (171,514) | (39,443) | ||||||||
GATX Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,203) | (374,555) | (385,065) | (20,468) | ||||||||
Generac Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (710) | (106,602) | (91,760) | 15,482 | ||||||||
GMS, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (366) | (30,035) | (30,169) | (700) | ||||||||
GrafTech International Ltd. | USFF -0.250% | Weekly | MS | 07/08/27 | (52,853) | (256,592) | (115,748) | 135,193 | ||||||||
Granite Construction, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,563) | (144,080) | (181,214) | (42,022) | ||||||||
Hayward Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (8,087) | (109,025) | (109,983) | (3,074) | ||||||||
Helios Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (3,598) | (210,447) | (163,169) | 42,700 | ||||||||
Herc Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (3,275) | (397,039) | (487,615) | (111,506) | ||||||||
Hexcel Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (9,218) | (647,867) | (679,827) | (46,465) |
80
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
Hillenbrand, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,854) | $(189,149) | $(184,414) | $(2,677) | ||||||||
Hubbell, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (773) | (248,161) | (254,263) | (11,362) | ||||||||
JELD-WEN Holding, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (9,310) | (230,507) | (175,773) | 51,001 | ||||||||
John Bean Technologies Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,304) | (147,079) | (129,683) | 14,510 | ||||||||
Kadant, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (344) | (77,875) | (96,427) | (20,375) | ||||||||
Kratos Defense & Security Solutions, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (10,276) | (242,164) | (208,500) | 28,933 | ||||||||
L3Harris Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,901) | (536,822) | (611,009) | (98,042) | ||||||||
MasTec, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,491) | (298,102) | (264,339) | 27,715 | ||||||||
Mercury Systems, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (9,148) | (634,927) | (334,542) | 287,949 | ||||||||
Moog, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (2,462) | (278,208) | (356,448) | (86,410) | ||||||||
MRC Global, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (12,443) | (134,726) | (136,997) | (5,041) | ||||||||
Mueller Water Products, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (18,887) | (237,450) | (271,973) | (46,026) | ||||||||
MYR Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,206) | (163,207) | (174,424) | (14,396) | ||||||||
Nikola Corp. | USFF -5.333% | Weekly | MS | 07/11/28 | (8,249) | (7,200) | (7,216) | (135) | ||||||||
Nordson Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,217) | (551,867) | (585,643) | (45,417) | ||||||||
NOW, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (7,405) | (84,254) | (83,825) | (1,201) | ||||||||
Oshkosh Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,634) | (244,457) | (285,552) | (46,938) | ||||||||
PGT Innovations, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (8,467) | (247,302) | (344,607) | (102,134) | ||||||||
Plug Power, Inc. | USFF -3.846% | Weekly | MS | 01/10/28 | (46,109) | (378,822) | (207,491) | 163,922 | ||||||||
Primoris Services Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (5,955) | (159,829) | (197,766) | (45,541) | ||||||||
RBC Bearings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (515) | (128,074) | (146,718) | (21,135) | ||||||||
Regal Rexnord Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,698) | (210,804) | (251,338) | (45,824) | ||||||||
Resideo Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (5,340) | (104,541) | (100,499) | 1,941 | ||||||||
Rocket Lab USA, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (32,523) | (144,876) | (179,852) | (38,924) | ||||||||
Rush Enterprises, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (5,919) | (228,940) | (297,726) | (75,130) | ||||||||
SES AI Corp. | USFF -2.520% | Weekly | MS | 07/11/28 | (147) | (291) | (269) | 39 | ||||||||
SiteOne Landscape Supply, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | (4,617) | (649,500) | (750,262) | (113,484) | ||||||||
Spirit AeroSystems Holdings, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (6,378) | (151,885) | (202,693) | (55,307) | ||||||||
Sunrun, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (8,437) | (176,616) | (165,618) | 2,692 | ||||||||
Titan Machinery, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,590) | (141,895) | (132,559) | 6,561 | ||||||||
Toro Co. (The) | USFF -0.250% | Weekly | MS | 07/11/28 | (6,246) | (531,274) | (599,554) | (80,825) | ||||||||
Transcat, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (40) | (4,379) | (4,373) | (57) | ||||||||
Valmont Industries, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (348) | (77,498) | (81,261) | (5,470) | ||||||||
Vicor Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (205) | (9,405) | (9,213) | 31 |
81
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
Watsco, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (472) | $(178,884) | $(202,238) | $(27,308) | ||||||||
WillScot Mobile Mini Holdings Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (21,654) | (849,656) | (963,603) | (130,596) | ||||||||
Xometry, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (4,753) | (167,543) | (170,680) | (8,332) | ||||||||
Xylem, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,674) | (288,791) | (305,799) | (24,951) | ||||||||
(606,159) | (17,197,451) | (16,702,352) | 81,528 | |||||||||||||
Commercial & Professional Services | ||||||||||||||||
ABM Industries, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (6,140) | (280,951) | (275,256) | (3,391) | ||||||||
CACI International, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (255) | (84,608) | (82,584) | 454 | ||||||||
Casella Waste Systems, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (5,936) | (479,993) | (507,291) | (36,693) | ||||||||
CBIZ, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,000) | (163,876) | (187,770) | (27,108) | ||||||||
Clarivate PLC (Jersey) | USFF -0.250% | Weekly | MS | 07/11/28 | (35,622) | (264,661) | (329,860) | (70,369) | ||||||||
Clean Harbors, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (965) | (155,938) | (168,402) | (15,719) | ||||||||
Conduent, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,027) | (12,406) | (14,699) | (2,513) | ||||||||
CSG Systems International, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,607) | (97,876) | (85,508) | 8,591 | ||||||||
Driven Brands Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (3,446) | (113,248) | (49,140) | 61,909 | ||||||||
Equifax, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,668) | (1,046,270) | (1,154,350) | (131,943) | ||||||||
Exponent, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,036) | (533,315) | (531,409) | (10,826) | ||||||||
FTI Consulting, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (3,576) | (682,319) | (712,160) | (45,356) | ||||||||
GFL Environmental, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (16,765) | (513,665) | (578,560) | (74,952) | ||||||||
Healthcare Services Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,163) | (51,988) | (43,170) | 8,196 | ||||||||
HNI Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,686) | (58,004) | (70,525) | (14,786) | ||||||||
ICF International, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (397) | (43,688) | (53,234) | (11,298) | ||||||||
Kforce, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,769) | (107,962) | (119,514) | (15,336) | ||||||||
Korn Ferry | USFF -0.250% | Weekly | MS | 07/11/28 | (1,859) | (92,477) | (110,332) | (21,658) | ||||||||
Matthews International Corp., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (563) | (20,152) | (20,634) | (873) | ||||||||
Maximus, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,396) | (117,274) | (117,069) | (1,838) | ||||||||
Montrose Environmental Group, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,077) | (50,113) | (34,604) | 14,549 | ||||||||
Paycom Software, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,275) | (299,523) | (263,568) | 29,912 | ||||||||
Paylocity Holding Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,261) | (275,750) | (207,876) | 62,957 | ||||||||
RB Global, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (12,680) | (764,592) | (848,165) | (104,798) | ||||||||
Stericycle, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,390) | (156,537) | (168,008) | (14,785) |
82
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Commercial & Professional Services — (continued) | ||||||||||||||||
Sterling Check Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (59) | $(818) | $(821) | $4 | ||||||||
TransUnion | USFF -0.250% | Weekly | MS | 07/11/28 | (10,062) | (690,645) | (691,360) | (14,244) | ||||||||
UniFirst Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,077) | (216,310) | (196,994) | 12,361 | ||||||||
Verra Mobility Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (12,134) | (237,569) | (279,446) | (48,249) | ||||||||
(146,891) | (7,612,528) | (7,902,309) | (467,802) | |||||||||||||
Consumer Discretionary Distribution & Retail | ||||||||||||||||
Advance Auto Parts, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (4,056) | (546,438) | (247,538) | 276,099 | ||||||||
Arhaus, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (459) | (5,468) | (5,439) | (55) | ||||||||
Arko Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,416) | (26,227) | (28,182) | (2,487) | ||||||||
Asbury Automotive Group, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,646) | (777,564) | (820,241) | (57,912) | ||||||||
AutoNation, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (371) | (48,888) | (55,717) | (7,764) | ||||||||
Bath & Body Works, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (9,873) | (408,647) | (426,119) | (25,467) | ||||||||
Buckle, Inc. (The) | USFF -0.250% | Weekly | MS | 07/11/28 | (5,221) | (220,067) | (248,102) | (32,298) | ||||||||
Caleres, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (5,682) | (149,134) | (174,608) | (30,604) | ||||||||
Chico's FAS, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (7,997) | (59,841) | (60,617) | (1,971) | ||||||||
Dillard's, Inc., Class A | USFF -0.630% | Weekly | MS | 07/11/28 | (446) | (167,539) | (180,028) | (21,430) | ||||||||
Five Below, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,350) | (239,511) | (287,766) | (53,929) | ||||||||
Foot Locker, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (10,564) | (362,773) | (329,069) | 14,743 | ||||||||
Guess?, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,681) | (62,824) | (61,824) | (1,342) | ||||||||
Leslie's, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (16,797) | (266,183) | (116,067) | 145,910 | ||||||||
Macy's, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (9,007) | (116,631) | (181,221) | (68,345) | ||||||||
MarineMax, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,211) | (182,910) | (241,608) | (62,371) | ||||||||
Murphy USA, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,218) | (436,521) | (434,290) | (7,122) | ||||||||
National Vision Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,746) | (78,475) | (36,544) | 46,383 | ||||||||
Nordstrom, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (8,156) | (133,155) | (150,478) | (20,138) | ||||||||
Ollie's Bargain Outlet Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (757) | (55,914) | (57,449) | (2,608) | ||||||||
Penske Automotive Group, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,340) | (401,024) | (375,593) | 14,592 | ||||||||
RH | USFF -0.250% | Weekly | MS | 07/11/28 | (516) | (156,115) | (150,404) | 2,671 | ||||||||
Sally Beauty Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (939) | (20,166) | (12,470) | 7,324 | ||||||||
Shoe Carnival, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,320) | (57,514) | (70,087) | (14,007) | ||||||||
Sonic Automotive, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (3,379) | (176,737) | (189,934) | (17,458) | ||||||||
Victoria's Secret & Co. | USFF -0.250% | Weekly | MS | 08/27/24 | (10,326) | (400,927) | (274,052) | 117,485 | ||||||||
(119,474) | (5,557,193) | (5,215,447) | 197,899 | |||||||||||||
Consumer Durables & Apparel | ||||||||||||||||
Acushnet Holdings Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,165) | (60,955) | (73,593) | (16,543) | ||||||||
BRP, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (73) | (5,239) | (5,233) | (79) |
83
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Durables & Apparel — (continued) | ||||||||||||||||
Brunswick Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,168) | $(112,505) | $(113,004) | $(2,663) | ||||||||
Capri Holdings Ltd. (British Virgin Islands) | USFF -0.250% | Weekly | MS | 07/11/28 | (13,522) | (657,154) | (679,345) | (35,859) | ||||||||
Columbia Sportswear Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (784) | (71,435) | (62,359) | 6,767 | ||||||||
Ethan Allen Interiors, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (430) | (13,272) | (13,726) | (691) | ||||||||
Gildan Activewear, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (9,453) | (291,794) | (312,516) | (31,182) | ||||||||
iRobot Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | (1,246) | (47,428) | (48,220) | (1,699) | ||||||||
Levi Strauss & Co., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (60,075) | (920,378) | (993,640) | (104,562) | ||||||||
Malibu Boats, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (360) | (19,370) | (19,735) | (722) | ||||||||
Movado Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (351) | (10,422) | (10,583) | (350) | ||||||||
Newell Brands, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (5,440) | (80,252) | (47,219) | 29,456 | ||||||||
Oxford Industries, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (508) | (59,804) | (50,800) | 6,852 | ||||||||
Polaris, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (219) | (20,931) | (20,755) | (211) | ||||||||
Skyline Champion Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,785) | (196,337) | (206,814) | (14,306) | ||||||||
Sonos, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (14,265) | (239,614) | (244,502) | (11,088) | ||||||||
Sturm Ruger & Co., Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (209) | (9,515) | (9,499) | (148) | ||||||||
Tempur Sealy International, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (234) | (11,999) | (11,927) | (384) | ||||||||
Topgolf Callaway Brands Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (21,216) | (561,768) | (304,237) | 246,530 | ||||||||
Under Armour, Inc., Class C | USFF -0.250% | Weekly | MS | 07/11/28 | (28,455) | (199,440) | (237,599) | (43,290) | ||||||||
VF Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (11,099) | (326,521) | (208,661) | 101,279 | ||||||||
Whirlpool Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (429) | (67,714) | (52,239) | 15,422 | ||||||||
Wolverine World Wide, Inc. | USFF -0.250% | Weekly | MS | 08/27/24 | (12,362) | (366,297) | (109,898) | 238,248 | ||||||||
(185,848) | (4,350,144) | (3,836,104) | 380,777 | |||||||||||||
Consumer Services | ||||||||||||||||
Airbnb, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (3,068) | (447,444) | (417,678) | 22,348 | ||||||||
Bally's Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (3,345) | (227,318) | (46,629) | 177,238 | ||||||||
Bloomin' Brands, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (5,490) | (146,541) | (154,544) | (11,285) | ||||||||
Boyd Gaming Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,429) | (144,301) | (152,080) | (11,502) | ||||||||
Chegg, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (34,896) | (524,466) | (396,419) | 117,780 | ||||||||
Churchill Downs, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (4,206) | (505,398) | (567,516) | (73,531) | ||||||||
Coursera, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (85) | (1,658) | (1,646) | 2 | ||||||||
Cracker Barrel Old Country Store, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,445) | (212,846) | (188,461) | 17,392 | ||||||||
Dave & Buster's Entertainment, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,498) | (127,973) | (134,517) | (9,032) |
84
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Services — (continued) | ||||||||||||||||
Dine Brands Global, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,449) | $(66,011) | $(71,943) | $(7,943) | ||||||||
Expedia Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (767) | (101,270) | (116,423) | (17,990) | ||||||||
First Watch Restaurant Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,686) | (49,776) | (53,989) | (5,166) | ||||||||
Hilton Worldwide Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (517) | (91,169) | (94,141) | (4,737) | ||||||||
Hyatt Hotels Corp., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (4,120) | (485,526) | (537,289) | (62,319) | ||||||||
Jack in the Box, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,089) | (84,344) | (88,895) | (6,628) | ||||||||
Krispy Kreme, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (33,639) | (465,846) | (507,613) | (52,978) | ||||||||
Life Time Group Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,340) | (34,898) | (35,287) | (1,051) | ||||||||
Marriott Vacations Worldwide Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,055) | (83,314) | (89,559) | (8,604) | ||||||||
Mister Car Wash, Inc. | USFF -0.580% | Weekly | MS | 01/07/27 | (28,290) | (287,926) | (244,426) | 37,873 | ||||||||
OneSpaWorld Holdings Ltd. (Bahamas) | USFF -0.250% | Weekly | MS | 07/11/28 | (938) | (13,198) | (13,226) | (263) | ||||||||
Papa John's International, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (652) | (55,631) | (49,702) | 4,260 | ||||||||
Portillo's, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (17,544) | (347,426) | (279,476) | 61,156 | ||||||||
Red Rock Resorts, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (16,194) | (710,730) | (863,626) | (190,492) | ||||||||
Sweetgreen, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (2,188) | (24,532) | (24,724) | (651) | ||||||||
Target Hospitality Corp. | USFF -1.330% | Weekly | MS | 07/08/27 | (620) | (9,494) | (6,033) | 3,299 | ||||||||
Texas Roadhouse, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,333) | (251,342) | (285,163) | (40,141) | ||||||||
Wingstop, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,030) | (371,482) | (520,857) | (161,072) | ||||||||
WW International, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (18,170) | (176,471) | (158,988) | 14,044 | ||||||||
Wyndham Hotels & Resorts, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,181) | (87,772) | (94,964) | (9,305) | ||||||||
(196,264) | (6,136,103) | (6,195,814) | (219,298) | |||||||||||||
Consumer Staples Distribution & Retail | ||||||||||||||||
Casey's General Stores, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,994) | (539,629) | (547,832) | (19,058) | ||||||||
Chefs' Warehouse, Inc. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (8,491) | (278,368) | (249,890) | 22,729 | ||||||||
Performance Food Group Co. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,069) | (138,977) | (143,071) | (6,798) | ||||||||
PriceSmart, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,531) | (177,870) | (191,799) | (17,263) | ||||||||
SpartanNash Co. | USFF -0.250% | Weekly | MS | 07/08/27 | (7,900) | (252,590) | (181,305) | 59,225 |
85
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Staples Distribution & Retail — (continued) | ||||||||||||||||
Sprouts Farmers Market, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,529) | $(182,661) | $(217,890) | $(38,790) | ||||||||
United Natural Foods, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (10,469) | (423,132) | (169,912) | 253,455 | ||||||||
Weis Markets, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (412) | (25,841) | (26,352) | (994) | ||||||||
(38,395) | (2,019,068) | (1,728,051) | 252,506 | |||||||||||||
Energy | ||||||||||||||||
Atlas Energy Solutions, Inc. | USFF -0.630% | Weekly | MS | 07/11/28 | (4,133) | (71,354) | (71,170) | (1,193) | ||||||||
Baytex Energy Corp. (Canada) | USFF -0.865% | Weekly | MS | 07/08/27 | (108,304) | (358,890) | (359,569) | (10,025) | ||||||||
Cactus, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (6,721) | (308,826) | (305,133) | (4,165) | ||||||||
Chevron Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,921) | (439,107) | (435,696) | (20,409) | ||||||||
Civitas Resources, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (10,382) | (711,769) | (709,921) | (25,678) | ||||||||
Clean Energy Fuels Corp. | USFF -0.268% | Weekly | MS | 07/11/28 | (35,086) | (133,168) | (134,379) | (3,801) | ||||||||
Comstock Resources, Inc. | USFF -0.580% | Weekly | MS | 01/10/28 | (53,341) | (559,828) | (472,068) | 66,921 | ||||||||
Core Laboratories, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (7,767) | (241,428) | (137,165) | 99,572 | ||||||||
Crescent Energy Co., Class A | USFF -0.680% | Weekly | MS | 07/11/28 | (5,239) | (61,533) | (69,207) | (8,858) | ||||||||
Crescent Point Energy Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (29,020) | (198,257) | (201,109) | (7,723) | ||||||||
Denison Mines Corp. (Canada) | USFF -0.730% | Weekly | MS | 01/10/28 | (40,970) | (42,237) | (72,517) | (31,085) | ||||||||
Diamond Offshore Drilling, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (20,374) | (290,739) | (264,862) | 19,827 | ||||||||
Dril-Quip, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,754) | (61,876) | (64,086) | (3,400) | ||||||||
DT Midstream, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (11,380) | (573,806) | (623,624) | (89,067) | ||||||||
Energy Fuels, Inc. (Canada) | USFF -1.230% | Weekly | MS | 07/11/28 | (13,843) | (102,918) | (99,531) | 1,390 | ||||||||
Green Plains, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,860) | (119,256) | (97,349) | 19,590 | ||||||||
Hess Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,491) | (228,890) | (214,943) | 8,587 | ||||||||
Kinetik Holdings, Inc. | USFF -0.730% | Weekly | MS | 01/07/27 | (9,521) | (352,414) | (318,001) | (9,317) | ||||||||
Kosmos Energy Ltd. | USFF -0.250% | Weekly | MS | 07/11/28 | (36,537) | (270,641) | (245,163) | 20,196 | ||||||||
Marathon Oil Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (8,612) | (221,647) | (208,066) | 7,579 | ||||||||
New Fortress Energy, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (9,618) | (460,245) | (362,887) | 55,128 | ||||||||
NexGen Energy Ltd. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (73,886) | (473,561) | (517,202) | (52,911) | ||||||||
NextDecade Corp. | USFF -0.865% | Weekly | MS | 07/11/28 | (4,552) | (21,989) | (21,713) | (132) | ||||||||
Noble Corp. PLC (United Kingdom) | USFF -0.250% | Weekly | MS | 07/11/28 | (2,531) | (114,279) | (121,893) | (9,833) | ||||||||
Northern Oil and Gas, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (14,466) | (522,476) | (536,255) | (32,020) |
86
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Energy — (continued) | ||||||||||||||||
NOV, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (21,504) | $(389,561) | $(436,101) | $(56,854) | ||||||||
Oceaneering International, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,714) | (118,113) | (100,314) | 15,505 | ||||||||
ONEOK, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (27,232) | (1,809,291) | (1,912,231) | (138,419) | ||||||||
Ovintiv, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (20,335) | (906,747) | (893,113) | (10,984) | ||||||||
Patterson-UTI Energy, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (53,115) | (593,415) | (573,642) | 7,598 | ||||||||
ProFrac Holding Corp., Class A | USFF -0.580% | Weekly | MS | 07/08/27 | (13,907) | (207,356) | (117,931) | 85,379 | ||||||||
ProPetro Holding Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (45,003) | (406,709) | (377,125) | 21,627 | ||||||||
Range Resources Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,325) | (82,259) | (70,773) | 9,041 | ||||||||
RPC, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (8,125) | (71,492) | (59,150) | 10,637 | ||||||||
Select Water Solutions, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (10,072) | (79,775) | (76,446) | 256 | ||||||||
SFL Corp. Ltd. (Bermuda) | USFF -0.250% | Weekly | MS | 01/10/28 | (11,822) | (128,353) | (133,352) | (14,270) | ||||||||
SilverBow Resources, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (4,687) | (198,591) | (136,298) | 58,419 | ||||||||
Southwestern Energy Co. | USFF -0.250% | Weekly | MS | 07/11/28 | (32,235) | (222,617) | (211,139) | 7,135 | ||||||||
SPDR S&P 500 ETF Trust | USFF -0.250% | Weekly | MS | 07/11/28 | (2,228) | (1,057,694) | (1,058,991) | (29,401) | ||||||||
Talos Energy, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (22,173) | (313,906) | (315,522) | (7,752) | ||||||||
TC Energy Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/08/27 | (22,053) | (835,851) | (862,052) | (63,805) | ||||||||
Tidewater, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (758) | (53,661) | (54,659) | (2,028) | ||||||||
Valaris Ltd. (Bermuda) | USFF -0.250% | Weekly | MS | 07/11/28 | (4,102) | (281,397) | (281,274) | (5,376) | ||||||||
Vermilion Energy, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (21,867) | (277,964) | (263,716) | 5,025 | ||||||||
Vital Energy, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,686) | (183,599) | (167,676) | 12,343 | ||||||||
World Kinect Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (12,367) | (308,868) | (281,720) | 14,985 | ||||||||
(861,619) | (15,468,353) | (15,046,734) | (91,766) | |||||||||||||
Financial Services | ||||||||||||||||
FleetCor Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (803) | (223,691) | (226,936) | (7,611) | ||||||||
Jack Henry & Associates, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,101) | (181,805) | (179,914) | (1,969) | ||||||||
MSCI, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (545) | (304,584) | (308,279) | (9,649) | ||||||||
Remitly Global, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (22,779) | (455,989) | (442,368) | 4,697 | ||||||||
Toast, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (12,434) | (180,564) | (227,045) | (59,692) | ||||||||
WEX, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (434) | (84,972) | (84,435) | (1,107) | ||||||||
(38,096) | (1,431,605) | (1,468,977) | (75,331) | |||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||
Brown-Forman Corp., Class B | USFF -0.250% | Weekly | MS | 07/11/28 | (5,895) | (375,433) | (336,605) | 30,113 |
87
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Food, Beverage & Tobacco — (continued) | ||||||||||||||||
Cal-Maine Foods, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,402) | $(80,447) | $(80,461) | $(1,569) | ||||||||
Darling Ingredients, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (16,520) | (1,225,255) | (823,357) | 377,658 | ||||||||
Duckhorn Portfolio, Inc. (The) | USFF -0.250% | Weekly | MS | 07/11/28 | (2,730) | (25,840) | (26,891) | (1,535) | ||||||||
Flowers Foods, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (11,641) | (297,217) | (262,039) | 22,924 | ||||||||
Hain Celestial Group, Inc. (The) | USFF -0.250% | Weekly | MS | 07/08/27 | (21,098) | (421,099) | (231,023) | 184,165 | ||||||||
J & J Snack Foods Corp. | USFF -0.250% | Weekly | MS | 08/27/24 | (613) | (109,899) | (102,457) | (602) | ||||||||
Lamb Weston Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,403) | (135,662) | (151,650) | (18,985) | ||||||||
Mission Produce, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,603) | (37,850) | (26,264) | 10,816 | ||||||||
Pilgrim's Pride Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (19,588) | (486,138) | (541,804) | (66,184) | ||||||||
Post Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,132) | (101,705) | (99,684) | 177 | ||||||||
Tyson Foods, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (32,807) | (1,652,543) | (1,763,376) | (168,997) | ||||||||
Universal Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,061) | (64,500) | (71,427) | (12,129) | ||||||||
Utz Brands, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (8,189) | (189,468) | (132,989) | 48,990 | ||||||||
(126,682) | (5,203,056) | (4,650,027) | 404,842 | |||||||||||||
Health Care Equipment & Services | ||||||||||||||||
Abbott Laboratories | USFF -0.250% | Weekly | MS | 07/11/28 | (1,643) | (160,838) | (180,845) | (21,335) | ||||||||
Acadia Healthcare Co., Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (7,059) | (531,085) | (548,908) | (28,221) | ||||||||
AdaptHealth Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (5,456) | (148,066) | (39,774) | 110,975 | ||||||||
Agiliti, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (3,379) | (64,358) | (26,762) | 37,549 | ||||||||
agilon health, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (13,677) | (196,821) | (171,646) | 21,335 | ||||||||
Alcon, Inc. (Switzerland) | USFF -0.250% | Weekly | MS | 07/11/28 | (844) | (71,585) | (65,933) | 4,053 | ||||||||
Alphatec Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (10,666) | (132,987) | (161,163) | (32,017) | ||||||||
Amedisys, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,593) | (332,372) | (341,551) | (15,835) | ||||||||
Bausch + Lomb Corp. (Canada) | USFF -4.330% | Weekly | MS | 07/11/28 | (1,992) | (31,122) | (33,984) | (3,449) | ||||||||
Boston Scientific Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,281) | (177,701) | (189,675) | (15,437) | ||||||||
Chemed Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (154) | (79,676) | (90,052) | (13,068) | ||||||||
Cooper Cos., Inc. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (977) | (362,797) | (369,736) | (14,071) | ||||||||
CorVel Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (44) | (10,955) | (10,877) | (114) | ||||||||
DENTSPLY SIRONA, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,843) | (270,292) | (243,542) | 19,417 | ||||||||
DocGo, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,735) | (35,191) | (26,469) | 8,058 | ||||||||
Doximity, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (7,950) | (274,895) | (222,918) | 46,606 | ||||||||
Edwards Lifesciences Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,560) | (195,955) | (195,200) | (3,067) |
88
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Health Care Equipment & Services — (continued) | ||||||||||||||||
Ensign Group, Inc. (The) | USFF -0.250% | Weekly | MS | 07/11/28 | (1,869) | $(182,452) | $(209,720) | $(31,179) | ||||||||
Glaukos Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,045) | (51,074) | (83,067) | (32,972) | ||||||||
Globus Medical, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (18,228) | (887,344) | (971,370) | (101,415) | ||||||||
GoodRx Holdings, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (2,033) | (13,062) | (13,621) | (792) | ||||||||
ICU Medical, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (734) | (131,033) | (73,209) | 55,352 | ||||||||
IDEXX Laboratories, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (724) | (387,439) | (401,856) | (22,421) | ||||||||
Inspire Medical Systems, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,112) | (297,749) | (429,644) | (143,160) | ||||||||
Insulet Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,521) | (340,854) | (330,027) | 4,163 | ||||||||
Integra LifeSciences Holdings Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (6,098) | (233,179) | (265,568) | (36,960) | ||||||||
Intuitive Surgical, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (837) | (263,406) | (282,370) | (24,110) | ||||||||
LifeStance Health Group, Inc. | USFF -0.680% | Weekly | MS | 01/07/27 | (15,251) | (123,239) | (119,415) | 1,429 | ||||||||
LivaNova PLC (United Kingdom) | USFF -0.250% | Weekly | MS | 07/11/28 | (5,751) | (280,765) | (297,557) | (22,278) | ||||||||
Masimo Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (9,416) | (1,035,852) | (1,103,649) | (88,101) | ||||||||
Medtronic PLC (Ireland) | USFF -0.250% | Weekly | MS | 07/11/28 | (901) | (71,490) | (74,224) | (4,736) | ||||||||
Merit Medical Systems, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,216) | (225,138) | (244,287) | (23,793) | ||||||||
Multiplan Corp. | USFF -0.267% | Weekly | MS | 07/11/28 | (12,464) | (21,067) | (17,948) | 2,729 | ||||||||
Neogen Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (13,430) | (239,824) | (270,077) | (34,936) | ||||||||
Nevro Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (13,329) | (404,967) | (286,840) | 110,104 | ||||||||
Novocure Ltd. (Jersey) | USFF -0.250% | Weekly | MS | 01/10/28 | (42,914) | (968,386) | (640,706) | 308,702 | ||||||||
Option Care Health, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (7,512) | (252,398) | (253,079) | (5,611) | ||||||||
OrthoPediatrics Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (2,064) | (100,551) | (67,101) | 31,481 | ||||||||
PROCEPT BioRobotics Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (5,294) | (185,180) | (221,872) | (41,572) | ||||||||
QuidelOrtho Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (7,112) | (635,825) | (524,154) | 99,797 | ||||||||
RadNet, Inc. | USFF -0.250% | Weekly | MS | 08/27/24 | (5,455) | (149,222) | (189,670) | (46,360) | ||||||||
ResMed, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (66) | (15,918) | (11,353) | 4,154 | ||||||||
Schrodinger, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (7,195) | (346,595) | (257,581) | 81,862 | ||||||||
Select Medical Holdings Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,993) | (57,905) | (46,836) | 9,735 | ||||||||
Shockwave Medical, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,615) | (350,622) | (307,754) | 36,004 | ||||||||
Simulations Plus, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (85) | (3,812) | (3,804) | (43) | ||||||||
STAAR Surgical Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,177) | (323,617) | (192,784) | 124,506 | ||||||||
Stryker Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (329) | (96,823) | (98,522) | (3,839) |
89
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Health Care Equipment & Services — (continued) | ||||||||||||||||
Tandem Diabetes Care, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (10,417) | $(546,818) | $(308,135) | $225,839 | ||||||||
Teladoc Health, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (6,813) | (119,220) | (146,820) | (31,251) | ||||||||
TransMedics Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (911) | (44,538) | (71,905) | (29,608) | ||||||||
Treace Medical Concepts, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (10,937) | (166,906) | (139,447) | 24,207 | ||||||||
Universal Health Services, Inc., Class B | USFF -0.250% | Weekly | MS | 07/11/28 | (500) | (65,506) | (76,220) | (11,884) | ||||||||
US Physical Therapy, Inc. | USFF -0.250% | Weekly | MS | 08/27/24 | (1,738) | (228,348) | (161,877) | 52,763 | ||||||||
(302,939) | (12,924,820) | (12,113,104) | 537,185 | |||||||||||||
Household & Personal Products | ||||||||||||||||
Central Garden & Pet Co., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (3,659) | (175,994) | (161,142) | 11,341 | ||||||||
Edgewell Personal Care Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,549) | (67,515) | (56,740) | 8,593 | ||||||||
Estee Lauder Cos., Inc. (The), Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (10,556) | (1,411,162) | (1,543,815) | (162,983) | ||||||||
Inter Parfums, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (951) | (132,978) | (136,954) | (7,325) | ||||||||
Reynolds Consumer Products, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,077) | (65,913) | (55,747) | 6,705 | ||||||||
(18,792) | (1,853,562) | (1,954,398) | (143,669) | |||||||||||||
Materials | ||||||||||||||||
AdvanSix, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (945) | (25,566) | (28,312) | (3,254) | ||||||||
Agnico Eagle Mines Ltd. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (10,149) | (490,729) | (556,673) | (78,943) | ||||||||
Air Products and Chemicals, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,956) | (1,103,477) | (1,083,153) | (8,350) | ||||||||
Albemarle Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,487) | (409,204) | (359,322) | 40,764 | ||||||||
Algoma Steel Group, Inc. (Canada) | USFF -3.080% | Weekly | MS | 01/10/28 | (17,852) | (142,804) | (179,056) | (42,342) | ||||||||
Ashland, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (10,832) | (1,007,308) | (913,246) | 63,517 | ||||||||
ATI, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,399) | (153,507) | (154,553) | (4,034) | ||||||||
Balchem Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (406) | (57,413) | (60,393) | (4,617) | ||||||||
Cabot Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (535) | (41,245) | (44,673) | (5,418) | ||||||||
Celanese Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,716) | (212,899) | (266,615) | (62,541) | ||||||||
Coeur Mining, Inc. | USFF -0.282% | Weekly | MS | 07/06/26 | (209,053) | (1,178,389) | (681,513) | 475,330 | ||||||||
Corteva, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (13,186) | (826,364) | (631,873) | 170,730 | ||||||||
DuPont de Nemours, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,363) | (104,626) | (104,856) | 6,633 | ||||||||
Ecovyst, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (5,650) | (56,107) | (55,201) | (185) | ||||||||
Element Solutions, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (5,823) | (113,258) | (134,744) | (24,089) | ||||||||
Equinox Gold Corp. (Canada) | USFF -0.267% | Weekly | MS | 08/27/24 | (85,016) | (717,755) | (415,728) | 287,966 |
90
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Materials — (continued) | ||||||||||||||||
ERO Copper Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (45) | $(713) | $(711) | $12 | ||||||||
First Majestic Silver Corp. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (14,989) | (109,840) | (92,182) | 15,295 | ||||||||
FMC Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (18,553) | (1,223,404) | (1,169,767) | 15,493 | ||||||||
Franco-Nevada Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (1,353) | (162,281) | (149,926) | 8,734 | ||||||||
Ginkgo Bioworks Holdings, Inc. | USFF -1.552% | Weekly | MS | 07/11/28 | (39,343) | (61,159) | (66,490) | (7,417) | ||||||||
Graphic Packaging Holding Co. | USFF -0.250% | Weekly | MS | 07/11/28 | (10,768) | (243,681) | (265,431) | (28,429) | ||||||||
Greif, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (180) | (11,921) | (11,806) | — | ||||||||
Hecla Mining Co. | USFF -0.266% | Weekly | MS | 07/08/27 | (41,695) | (226,029) | (200,553) | 20,641 | ||||||||
Huntsman Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,946) | (72,623) | (74,033) | (3,687) | ||||||||
IAMGOLD Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (24,540) | (61,459) | (62,086) | (1,810) | ||||||||
Ingevity Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,783) | (440,133) | (320,293) | 111,329 | ||||||||
Ivanhoe Electric, Inc. | USFF -0.830% | Weekly | MS | 07/11/28 | (856) | (8,889) | (8,628) | 109 | ||||||||
Kaiser Aluminum Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,053) | (90,721) | (74,963) | 9,954 | ||||||||
Louisiana-Pacific Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,830) | (241,308) | (271,279) | (37,874) | ||||||||
MAG Silver Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (3,586) | (38,126) | (37,330) | 71 | ||||||||
Mativ Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (5,386) | (159,125) | (82,460) | 63,845 | ||||||||
Methanex Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/08/27 | (7,188) | (307,958) | (340,424) | (44,004) | ||||||||
MP Materials Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (12,928) | (277,968) | (256,621) | 15,657 | ||||||||
Novagold Resources, Inc. (Canada) | USFF -0.264% | Weekly | MS | 07/08/27 | (15,873) | (76,199) | (59,365) | 15,361 | ||||||||
Nutrien Ltd. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (6,062) | (386,902) | (341,472) | 32,009 | ||||||||
O-I Glass, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (7,886) | (154,363) | (129,173) | 22,839 | ||||||||
Olin Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (6,099) | (301,132) | (329,041) | (34,058) | ||||||||
Pan American Silver Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/08/27 | (10,516) | (173,050) | (171,726) | (5,019) | ||||||||
Sandstorm Gold Ltd. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (39,846) | (223,551) | (200,425) | 17,451 | ||||||||
Schnitzer Steel Industries, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (5,472) | (234,737) | (165,036) | 59,495 | ||||||||
Seabridge Gold, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (104) | (1,248) | (1,262) | (14) | ||||||||
Sensient Technologies Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (4,830) | (343,591) | (318,780) | 11,603 | ||||||||
Silgan Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (11,802) | (513,243) | (534,040) | (34,401) | ||||||||
SSR Mining, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (41,867) | (585,475) | (450,489) | 117,748 | ||||||||
Stepan Co. | USFF -0.250% | Weekly | MS | 01/05/26 | (2,375) | (271,576) | (224,556) | 35,384 |
91
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Materials — (continued) | ||||||||||||||||
Summit Materials, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (2,028) | $(77,536) | $(77,997) | $(2,213) | ||||||||
Sylvamo Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,692) | (120,905) | (132,204) | (15,206) | ||||||||
Teck Resources Ltd., Class B (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (12,683) | (510,581) | (536,110) | (37,473) | ||||||||
TimkenSteel Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,874) | (60,793) | (67,395) | (7,772) | ||||||||
Triple Flag Precious Metals Corp. (Canada) | USFF -2.430% | Weekly | MS | 07/11/28 | (411) | (5,440) | (5,470) | (120) | ||||||||
Tronox Holdings PLC (United Kingdom) | USFF -0.250% | Weekly | MS | 01/10/28 | (32,397) | (416,325) | (458,742) | (57,602) | ||||||||
United States Steel Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (7,481) | (246,192) | (363,951) | (135,454) | ||||||||
West Fraser Timber Co. Ltd. (Canada) | USFF -0.250% | Weekly | MS | 07/08/27 | (1,049) | (94,083) | (89,773) | 970 | ||||||||
Wheaton Precious Metals Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (1,473) | (71,405) | (72,678) | (2,703) | ||||||||
(784,210) | (15,246,316) | (13,884,579) | 929,911 | |||||||||||||
Media & Entertainment | ||||||||||||||||
Altice USA, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (59,568) | (337,875) | (193,596) | 138,749 | ||||||||
Angi, Inc. | USFF -0.580% | Weekly | MS | 11/03/25 | (24,652) | (374,692) | (61,383) | 307,690 | ||||||||
DISH Network Corp., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (52,252) | (930,958) | (301,494) | 611,220 | ||||||||
Endeavor Group Holdings, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (48,827) | (1,186,729) | (1,158,665) | 2,116 | ||||||||
IAC, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (6,415) | (385,239) | (336,018) | 41,128 | ||||||||
Integral Ad Science Holding Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (8,626) | (114,941) | (124,128) | (11,700) | ||||||||
Lions Gate Entertainment Corp., Class B (Canada) | USFF -0.250% | Weekly | MS | 01/07/27 | (13,196) | (188,760) | (134,467) | 51,038 | ||||||||
Madison Square Garden Entertainment Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,362) | (72,263) | (75,088) | (4,279) | ||||||||
Madison Square Garden Sports Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,694) | (303,859) | (308,020) | (10,243) | ||||||||
Magnite, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (21,173) | (196,868) | (197,756) | (4,893) | ||||||||
Nexstar Media Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (434) | (64,609) | (68,030) | (5,018) | ||||||||
Paramount Global, Class B | USFF -0.630% | Weekly | MS | 01/10/28 | (13,303) | (206,712) | (196,751) | 4,018 | ||||||||
Rumble, Inc. | USFF -14.507% | Weekly | MS | 07/11/28 | (513) | (2,428) | (2,303) | 101 |
92
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Media & Entertainment — (continued) | ||||||||||||||||
Scholastic Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,039) | $(119,933) | $(114,570) | $1,615 | ||||||||
Sphere Entertainment Co. | USFF -0.250% | Weekly | MS | 01/05/26 | (5,579) | (226,264) | (189,463) | 32,384 | ||||||||
TKO Group Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,533) | (357,677) | (369,802) | (19,120) | ||||||||
TripAdvisor, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (6,798) | (111,697) | (146,361) | (37,555) | ||||||||
Warner Music Group Corp., Class A | USFF -0.250% | Weekly | MS | 07/06/26 | (7,356) | (242,381) | (263,271) | (28,868) | ||||||||
Ziff Davis, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,419) | (101,978) | (95,343) | 4,642 | ||||||||
ZoomInfo Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (47,158) | (793,806) | (871,951) | (93,699) | ||||||||
(328,897) | (6,319,669) | (5,208,460) | 979,326 | |||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||
AbCellera Biologics, Inc. (Canada) | USFF -0.980% | Weekly | MS | 07/11/28 | (16,266) | (84,404) | (92,879) | (10,499) | ||||||||
Amylyx Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (5,796) | (207,313) | (85,317) | 118,289 | ||||||||
Arrowhead Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (17,759) | (480,902) | (543,425) | (72,542) | ||||||||
Avantor, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (16,490) | (357,934) | (376,467) | (25,739) | ||||||||
Axsome Therapeutics, Inc. | USFF -0.680% | Weekly | MS | 07/11/28 | (2,722) | (176,710) | (216,644) | (44,280) | ||||||||
Bausch Health Cos., Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (60,349) | (494,539) | (483,999) | (41) | ||||||||
Biogen, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,627) | (402,463) | (421,019) | (26,430) | ||||||||
Bio-Techne Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (7,176) | (529,807) | (553,700) | (34,651) | ||||||||
Bruker Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,958) | (327,678) | (364,314) | (43,173) | ||||||||
Catalent, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (7,304) | (812,085) | (328,169) | 469,332 | ||||||||
Corcept Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,182) | (36,726) | (38,391) | (2,363) | ||||||||
Crinetics Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (436) | (15,503) | (15,513) | (297) | ||||||||
Cytek Biosciences, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (20,308) | (221,880) | (185,209) | 31,589 | ||||||||
Elanco Animal Health, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (30,511) | (334,101) | (454,614) | (136,473) | ||||||||
Exelixis, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (12,725) | (279,189) | (305,273) | (31,539) | ||||||||
Geron Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (28,701) | (65,954) | (60,559) | 3,988 | ||||||||
Intellia Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,173) | (41,066) | (35,765) | 5,571 | ||||||||
Jazz Pharmaceuticals PLC (Ireland) | USFF -0.250% | Weekly | MS | 07/11/28 | (1,308) | (156,488) | (160,884) | (7,576) | ||||||||
Maravai LifeSciences Holdings, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (38,355) | (272,778) | (251,225) | 16,223 |
93
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||||||||
Mesa Laboratories, Inc. | USFF -0.250% | Weekly | MS | 08/27/24 | (621) | $(164,188) | $(65,062) | $95,115 | ||||||||
Organon & Co. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,496) | (21,566) | (21,572) | (406) | ||||||||
Perrigo Co. PLC (Ireland) | USFF -0.250% | Weekly | MS | 08/27/24 | (5,827) | (233,027) | (187,513) | 32,939 | ||||||||
Pfizer, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (15,029) | (431,046) | (432,685) | (8,884) | ||||||||
Pliant Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (10,141) | (197,233) | (183,654) | 9,714 | ||||||||
Prothena Corp. PLC (Ireland) | USFF -0.250% | Weekly | MS | 07/11/28 | (2,119) | (118,407) | (77,004) | 39,102 | ||||||||
PTC Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (5,245) | (117,209) | (144,552) | (33,653) | ||||||||
QIAGEN NV (Netherlands) | USFF -0.250% | Weekly | MS | 07/11/28 | (6,316) | (243,461) | (274,304) | (35,597) | ||||||||
Repligen Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,058) | (182,200) | (190,228) | (11,580) | ||||||||
Revance Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (17,676) | (204,424) | (155,372) | 45,064 | ||||||||
Revvity, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (285) | (31,188) | (31,153) | 2,075 | ||||||||
Sarepta Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,692) | (312,183) | (356,020) | (50,263) | ||||||||
Sotera Health Co. | USFF -0.250% | Weekly | MS | 07/06/26 | (21,697) | (406,424) | (365,594) | 32,878 | ||||||||
Supernus Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,551) | (107,795) | (102,766) | 2,897 | ||||||||
Travere Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (616) | (8,315) | (5,538) | 2,638 | ||||||||
Viridian Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,303) | (63,853) | (50,159) | 12,893 | ||||||||
Waters Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,320) | (402,583) | (434,584) | (39,877) | ||||||||
Xencor, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,195) | (66,357) | (46,600) | 18,479 | ||||||||
Xenon Pharmaceuticals, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (2,145) | (88,784) | (98,799) | (13,801) | ||||||||
Zoetis, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,633) | (706,385) | (717,045) | (26,945) | ||||||||
(382,111) | (9,404,148) | (8,913,570) | 282,177 | |||||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Allegro MicroSystems, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,129) | (34,785) | (34,175) | (49) | ||||||||
Ambarella, Inc. (Cayman Islands) | USFF -0.250% | Weekly | MS | 01/10/28 | (3,568) | (276,436) | (218,683) | 52,099 | ||||||||
Analog Devices, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,275) | (428,500) | (451,724) | (32,545) | ||||||||
Cirrus Logic, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,789) | (373,568) | (398,397) | (32,136) | ||||||||
Enphase Energy, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,644) | (412,472) | (481,518) | (77,117) | ||||||||
FormFactor, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (8,105) | (288,040) | (338,060) | (56,654) | ||||||||
Ichor Holdings Ltd. (Cayman Islands) | USFF -0.250% | Weekly | MS | 07/11/28 | (763) | (20,940) | (25,660) | (5,108) | ||||||||
Impinj, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,889) | (169,762) | (170,067) | (5,015) |
94
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Semiconductors & Semiconductor Equipment — (continued) | ||||||||||||||||
MACOM Technology Solutions Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,519) | $(196,605) | $(234,141) | $(41,371) | ||||||||
Marvell Technology, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,222) | (128,910) | (134,009) | (7,738) | ||||||||
MaxLinear, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (18,413) | (384,699) | (437,677) | (60,504) | ||||||||
MKS Instruments, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (10,086) | (923,874) | (1,037,547) | (150,085) | ||||||||
ON Semiconductor Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (11,477) | (811,584) | (958,674) | (162,992) | ||||||||
Onto Innovation, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,763) | (367,435) | (422,463) | (63,769) | ||||||||
Power Integrations, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,980) | (570,296) | (573,128) | (16,378) | ||||||||
Qorvo, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,783) | (372,918) | (426,004) | (60,380) | ||||||||
Semtech Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (7,928) | (180,377) | (173,702) | 3,159 | ||||||||
Silicon Laboratories, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (5,252) | (722,330) | (694,682) | 9,446 | ||||||||
SiTime Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,177) | (124,257) | (143,688) | (22,415) | ||||||||
Synaptics, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,790) | (165,123) | (204,203) | (42,961) | ||||||||
Teradyne, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,910) | (471,665) | (532,833) | (70,602) | ||||||||
Texas Instruments, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,286) | (699,365) | (730,592) | (44,758) | ||||||||
Ultra Clean Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,394) | (107,162) | (115,871) | (10,788) | ||||||||
Universal Display Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,760) | (292,433) | (336,618) | (50,482) | ||||||||
Wolfspeed, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,222) | (148,036) | (140,189) | 4,816 | ||||||||
(118,124) | (8,671,572) | (9,414,305) | (944,327) | |||||||||||||
Software & Services | ||||||||||||||||
ACI Worldwide, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (11,816) | (328,375) | (361,570) | (40,319) | ||||||||
Agilysys, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,257) | (164,908) | (191,439) | (30,162) | ||||||||
Akamai Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,829) | (207,574) | (216,462) | (13,879) | ||||||||
Alarm.com Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (992) | (72,046) | (64,103) | 6,949 | ||||||||
Appian Corp., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (5,257) | (210,899) | (197,979) | 8,806 | ||||||||
Asana, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (370) | (7,133) | (7,034) | (17) | ||||||||
Aspen Technology, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (306) | (74,574) | (67,366) | 5,768 | ||||||||
Bentley Systems, Inc., Class B | USFF -0.250% | Weekly | MS | 01/10/28 | (5,697) | (294,606) | (297,269) | (10,036) | ||||||||
BigCommerce Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (6,963) | (105,876) | (67,750) | 36,072 | ||||||||
BILL Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (18,377) | (1,178,276) | (1,499,379) | (350,699) | ||||||||
C3.ai, Inc., Class A | USFF -12.130% | Weekly | MS | 07/11/28 | (2,721) | (85,885) | (78,120) | 6,103 |
95
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Software & Services — (continued) | ||||||||||||||||
CCC Intelligent Solutions Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (7,855) | $(99,221) | $(89,468) | $8,089 | ||||||||
Cerence, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,091) | (85,740) | (60,769) | 23,365 | ||||||||
Clear Secure, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (1,153) | (31,906) | (23,809) | 6,445 | ||||||||
Confluent, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (46,939) | (948,066) | (1,098,373) | (168,887) | ||||||||
Digital Turbine, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (40,942) | (410,517) | (280,862) | 121,623 | ||||||||
DoubleVerify Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (8,049) | (234,361) | (296,042) | (66,257) | ||||||||
Dynatrace, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (723) | (35,401) | (39,541) | (8,155) | ||||||||
EngageSmart, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,870) | (82,052) | (88,623) | (8,671) | ||||||||
Envestnet, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (6,324) | (488,881) | (313,164) | 167,889 | ||||||||
Fair Isaac Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (312) | (354,865) | (363,171) | (16,622) | ||||||||
Five9, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,120) | (71,724) | (88,133) | (19,390) | ||||||||
Fortinet, Inc. | USFF -0.250% | Weekly | MS | 08/27/24 | (2,368) | (138,718) | (138,599) | 3,933 | ||||||||
GoDaddy, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (590) | (44,957) | (62,634) | (28,453) | ||||||||
HashiCorp., Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (13,385) | (344,329) | (316,421) | 19,407 | ||||||||
Jamf Holding Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (7,230) | (255,533) | (130,574) | 120,028 | ||||||||
Lightspeed Commerce, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/06/26 | (12,056) | (653,090) | (253,055) | 395,291 | ||||||||
MeridianLink, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (475) | (11,082) | (11,766) | (878) | ||||||||
Olo, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (18,469) | (152,418) | (105,643) | 43,807 | ||||||||
Open Text Corp. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (4,150) | (170,420) | (174,383) | (10,658) | ||||||||
Perficient, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,044) | (64,643) | (68,716) | (5,346) | ||||||||
PowerSchool Holdings, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (10,362) | (236,287) | (244,129) | (12,775) | ||||||||
Procore Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,273) | (67,448) | (88,117) | (22,708) | ||||||||
PTC, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,961) | (314,316) | (343,097) | (34,925) | ||||||||
RingCentral, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (6,595) | (192,715) | (223,900) | (36,572) | ||||||||
SPS Commerce, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (51) | (9,985) | (9,886) | (74) | ||||||||
Thoughtworks Holding, Inc. | USFF -0.264% | Weekly | MS | 07/11/28 | (564) | (2,760) | (2,713) | 17 | ||||||||
Tyler Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (173) | (67,962) | (72,335) | (6,549) | ||||||||
Zeta Global Holdings Corp., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (1,444) | (12,819) | (12,736) | (145) | ||||||||
(259,153) | (8,312,368) | (8,049,130) | 81,415 | |||||||||||||
Technology Hardware & Equipment | ||||||||||||||||
ADTRAN Holdings, Inc. | USFF -0.250% | Weekly | MS | 08/27/24 | (25,517) | (434,504) | (187,295) | 231,686 |
96
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Technology Hardware & Equipment — (continued) | ||||||||||||||||
Advanced Energy Industries, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,472) | $(489,801) | $(487,090) | $(7,372) | ||||||||
Applied Optoelectronics, Inc. | USFF -0.930% | Weekly | MS | 07/11/28 | (2,357) | (45,326) | (45,537) | (1,077) | ||||||||
Avnet, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (5,859) | (265,455) | (295,294) | (41,309) | ||||||||
Belden, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,712) | (164,461) | (132,252) | 28,902 | ||||||||
Benchmark Electronics, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (4,987) | (127,151) | (137,841) | (17,595) | ||||||||
Calix, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (8,599) | (333,576) | (375,690) | (48,637) | ||||||||
Celestica, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (8,820) | (246,376) | (258,250) | (16,685) | ||||||||
Cognex Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (8,342) | (320,931) | (348,195) | (33,761) | ||||||||
Coherent Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (9,435) | (374,974) | (410,706) | (51,245) | ||||||||
Corsair Gaming, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,963) | (26,247) | (27,678) | (1,923) | ||||||||
CTS Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (84) | (3,689) | (3,674) | (34) | ||||||||
Diebold Nixdorf, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (187) | (5,115) | (5,414) | (376) | ||||||||
ePlus, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (713) | (48,895) | (56,926) | (8,967) | ||||||||
Evolv Technologies Holdings, Inc. | USFF -1.180% | Weekly | MS | 07/11/28 | (124) | (593) | (585) | 19 | ||||||||
Harmonic, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (49,221) | (536,201) | (641,842) | (116,139) | ||||||||
Infinera Corp. | USFF -0.260% | Weekly | MS | 01/10/28 | (9,324) | (46,441) | (44,289) | 1,251 | ||||||||
IPG Photonics Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (649) | (68,371) | (70,442) | (3,390) | ||||||||
Lumentum Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,411) | (384,156) | (336,065) | 40,577 | ||||||||
Methode Electronics, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,388) | (79,933) | (77,009) | 1,191 | ||||||||
Novanta, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/06/26 | (1,181) | (193,095) | (198,892) | (9,746) | ||||||||
Plexus Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (427) | (41,030) | (46,172) | (6,409) | ||||||||
Sanmina Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (8,226) | (424,260) | (422,570) | (6,611) | ||||||||
Stratasys Ltd. (Israel) | USFF -0.250% | Weekly | MS | 07/11/28 | (10,091) | (121,848) | (144,099) | (25,096) | ||||||||
Teledyne Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (446) | (187,494) | (199,045) | (15,207) | ||||||||
TTM Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (393) | (6,728) | (6,213) | 432 | ||||||||
Ubiquiti, Inc. | USFF -0.580% | Weekly | MS | 01/07/27 | (2,296) | (565,439) | (320,430) | 228,155 | ||||||||
Viasat, Inc. | USFF -0.250% | Weekly | MS | 08/27/24 | (6,507) | (306,855) | (181,871) | 118,986 | ||||||||
Viavi Solutions, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (5,906) | (61,460) | (59,473) | 834 | ||||||||
Zebra Technologies Corp., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (5,588) | (1,285,692) | (1,527,368) | (270,355) | ||||||||
(193,225) | (7,196,097) | (7,048,207) | (29,901) | |||||||||||||
Telecommunication Services | ||||||||||||||||
Cogent Communications Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (8,758) | (579,766) | (666,133) | (116,533) |
97
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Telecommunication Services — (continued) | ||||||||||||||||
Frontier Communications Parent, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (15,756) | $(439,212) | $(399,257) | $31,426 | ||||||||
Globalstar, Inc. | USFF -0.265% | Weekly | MS | 01/05/26 | (77,791) | (131,689) | (150,915) | (22,041) | ||||||||
Gogo, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (6,755) | (106,015) | (68,428) | 35,551 | ||||||||
IDT Corp., Class B | USFF -0.250% | Weekly | MS | 07/11/28 | (244) | (8,099) | (8,318) | (355) | ||||||||
Rogers Communications, Inc., Class B (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (5,615) | (234,583) | (262,838) | (35,845) | ||||||||
Shenandoah Telecommunications Co. | USFF -0.250% | Weekly | MS | 08/27/24 | (4,673) | (161,342) | (101,030) | 16,631 | ||||||||
(119,592) | (1,660,706) | (1,656,919) | (91,166) | |||||||||||||
Transportation | ||||||||||||||||
Air Transport Services Group, Inc. | USFF -0.250% | Weekly | MS | 08/27/24 | (16,563) | (381,498) | (291,674) | 82,361 | ||||||||
Alaska Air Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,795) | (229,397) | (187,341) | 38,742 | ||||||||
Allegiant Travel Co. | USFF -0.250% | Weekly | MS | 07/11/28 | (204) | (16,996) | (16,852) | (167) | ||||||||
Canadian Pacific Kansas City Ltd. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (7,286) | (598,188) | (576,031) | 9,408 | ||||||||
Forward Air Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,496) | (98,557) | (94,054) | 2,622 | ||||||||
Frontier Group Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (17,023) | (75,984) | (92,946) | (18,462) | ||||||||
Golden Ocean Group Ltd. (Bermuda) | USFF -0.730% | Weekly | MS | 07/11/28 | (17,471) | (138,526) | (170,517) | (36,480) | ||||||||
Heartland Express, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (5,552) | (90,088) | (79,172) | 8,728 | ||||||||
JB Hunt Transport Services, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,460) | (460,483) | (491,360) | (42,008) | ||||||||
JetBlue Airways Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (18,576) | (83,380) | (103,097) | (21,330) | ||||||||
Marten Transport Ltd. | USFF -0.250% | Weekly | MS | 07/11/28 | (309) | (6,487) | (6,483) | (99) | ||||||||
Matson, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (938) | (87,230) | (102,805) | (17,264) | ||||||||
Schneider National, Inc., Class B | USFF -0.250% | Weekly | MS | 07/11/28 | (8,870) | (228,568) | (225,742) | (2,477) | ||||||||
Southwest Airlines Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (16,468) | (591,517) | (475,596) | 97,682 | ||||||||
Spirit Airlines, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (12,138) | (147,030) | (198,942) | (57,082) | ||||||||
Sun Country Airlines Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (5,542) | (108,761) | (87,176) | 19,475 | ||||||||
TFI International, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (886) | (103,935) | (120,478) | (18,872) |
98
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Transportation — (continued) | ||||||||||||||||
Universal Logistics Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (76) | $(1,887) | $(2,130) | $(261) | ||||||||
Werner Enterprises, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (11,418) | (540,776) | (483,781) | 38,119 | ||||||||
(148,071) | (3,989,288) | (3,806,177) | 82,635 | |||||||||||||
Utilities | ||||||||||||||||
AES Corp. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (34,983) | (683,673) | (673,423) | (11,056) | ||||||||
Algonquin Power & Utilities Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (71,285) | (487,121) | (450,521) | 14,448 | ||||||||
Alliant Energy Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (8,578) | (441,031) | (440,051) | (11,521) | ||||||||
Altus Power, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,907) | (22,583) | (26,685) | (4,521) | ||||||||
American Electric Power Co., Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,619) | (146,050) | (131,495) | 7,845 | ||||||||
Avista Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (3,908) | (171,067) | (139,672) | 21,006 | ||||||||
California Water Service Group | USFF -0.250% | Weekly | MS | 01/10/28 | (4,786) | (253,327) | (248,250) | (2,127) | ||||||||
Consolidated Edison, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (5,017) | (451,833) | (456,396) | (13,406) | ||||||||
Essential Utilities, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (93) | (4,747) | (3,474) | 1,088 | ||||||||
Evergy, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (21,119) | (1,134,089) | (1,102,412) | (6,026) | ||||||||
Exelon Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,768) | (190,866) | (171,171) | 12,664 | ||||||||
FirstEnergy Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (13,920) | (554,594) | (510,307) | 20,808 | ||||||||
IDACORP, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,111) | (312,002) | (305,874) | (3,353) | ||||||||
Middlesex Water Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,279) | (94,567) | (83,928) | 8,260 | ||||||||
Montauk Renewables, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (619) | (5,534) | (5,515) | (67) | ||||||||
National Fuel Gas Co. | USFF -0.250% | Weekly | MS | 07/11/28 | (5,064) | (263,138) | (254,061) | 744 | ||||||||
NiSource, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (16,613) | (446,677) | (441,075) | (11,894) | ||||||||
Northwest Natural Holding Co. | USFF -0.250% | Weekly | MS | 01/05/26 | (4,728) | (248,104) | (184,108) | 43,621 | ||||||||
Northwestern Energy Group, Inc. | USFF -0.250% | Weekly | MS | 08/27/24 | (5,375) | (335,504) | (273,534) | 27,076 | ||||||||
OGE Energy Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (9,386) | (324,892) | (327,853) | (9,319) | ||||||||
Ormat Technologies, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (5,734) | (457,855) | (434,580) | 12,775 | ||||||||
Pinnacle West Capital Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,330) | (316,752) | (311,067) | (2,211) | ||||||||
PNM Resources, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (8,962) | (379,621) | (372,819) | (624) | ||||||||
Portland General Electric Co. | USFF -0.250% | Weekly | MS | 07/11/28 | (9,805) | (428,894) | (424,949) | (10,618) | ||||||||
Sempra | USFF -0.250% | Weekly | MS | 01/10/28 | (11,470) | (842,840) | (857,153) | (43,563) |
99
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
(Concluded)
December 31, 2023
(Unaudited)
Total Return Swaps (concluded)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Utilities — (continued) | ||||||||||||||||
Southern Co. (The) | USFF -0.250% | Weekly | MS | 07/11/28 | (5,891) | $(411,131) | $(413,077) | $(16,297) | ||||||||
Sunnova Energy International, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (11,151) | (165,014) | (170,053) | (10,489) | ||||||||
(277,501) | (9,573,506) | (9,213,503) | 13,243 | |||||||||||||
Total Reference Entity — Short | (152,428,161) | (146,154,242) | 2,258,038 | |||||||||||||
Net Value of Reference Entity | $(21,440,469) | $7,509,443 | $30,075,540 |
* | Includes $1,125,628 related to open trades, dividends receivables/payables and swap receivables/payables activities. |
MS | Morgan Stanley |
USFF | U.S. Fed Funds |
All financial instruments listed
in the Portfolio of Investments are considered Level 1, measured at fair value on a recurring basis based on quoted prices for identical assets in active markets, except for the following: one long security was fair
valued with an end of period value of $0 and total return swaps with end of period unrealized appreciation of $30,075,540, which are considered Level 2 as of and for the period ended December 31, 2023.
For additional information about
significant accounting policies, including valuation of investments, refer to the Fund’s most recent annual or semi-annual report.
100
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Portfolio of Investments
December 31, 2023
(Unaudited)
101
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Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
102
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(Continued)
December 31, 2023
(Unaudited)
103
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Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
104
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Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
105
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Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
106
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Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
107
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(Continued)
December 31, 2023
(Unaudited)
108
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(Continued)
December 31, 2023
(Unaudited)
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Utilities — (Continued) | |||
Vistra Corp.(a) | 6,205 | $ 239,017 | |
WEC Energy Group, Inc. | 80 | 6,734 | |
2,076,088 | |||
TOTAL COMMON STOCKS (Cost $53,927,065) | 62,416,469 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES - 6.0% | 3,998,846 | ||
NET ASSETS - 100.0% | $66,415,315 |
(a) | Security position is either entirely or partially designated as collateral for total return swaps. |
(b) | Security is fair valued by the Adviser in accordance with the policies established by the Board of Trustees. |
* | Non-income producing. |
PLC | Public Limited Company |
109
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
The portfolio matures between
August 29, 2025 and July 11, 2028, however underlying individual contracts are entered into and closed (terminated) on a daily basis. The maturity date shown in the table below is the earliest maturity date for the
specific entity. The following table represents the individual long and short positions and related values of total return swaps, which represents (69.0)% of net assets as of December 31, 2023:
Total Return Swaps
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Long | ||||||||||||||||
Automobiles & Components | ||||||||||||||||
Adient PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/08/27 | 777 | $27,097 | $28,252 | $3,688 | ||||||||
American Axle & Manufacturing Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 854 | 6,593 | 7,524 | 1,550 | ||||||||
Aptiv PLC (Jersey) | USFF +0.250% | Weekly | MS | 07/11/28 | 96 | 7,429 | 8,613 | 1,881 | ||||||||
BorgWarner, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,000 | 34,339 | 35,850 | 4,842 | ||||||||
Ford Motor Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,332 | 16,127 | 16,237 | 1,624 | ||||||||
Fox Factory Holding Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 75 | 6,769 | 5,061 | (1,239) | ||||||||
General Motors Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,290 | 37,444 | 46,337 | 12,526 | ||||||||
Gentex Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 219 | 6,340 | 7,153 | 1,434 | ||||||||
Goodyear Tire & Rubber Co. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 341 | 4,856 | 4,883 | 483 | ||||||||
Modine Manufacturing Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 256 | 9,691 | 15,283 | 7,069 | ||||||||
Patrick Industries, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 38 | 2,937 | 3,813 | 1,218 | ||||||||
Standard Motor Products, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 31 | 1,221 | 1,234 | 128 | ||||||||
Thor Industries, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 169 | 15,133 | 19,984 | 6,812 | ||||||||
Visteon Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 320 | 41,999 | 39,968 | 1,914 | ||||||||
6,798 | 217,975 | 240,192 | 43,930 | |||||||||||||
Capital Goods | ||||||||||||||||
3M Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 272 | 24,715 | 29,735 | 7,833 | ||||||||
A. O. Smith Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 378 | 24,467 | 31,162 | 9,339 | ||||||||
AAR Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 11 | 695 | 686 | 57 | ||||||||
Acuity Brands, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 109 | 17,287 | 22,326 | 6,689 | ||||||||
AECOM | USFF +0.250% | Weekly | MS | 07/11/28 | 72 | 5,525 | 6,655 | 1,650 | ||||||||
AGCO Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 180 | 20,858 | 21,854 | 2,986 | ||||||||
Alamo Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 25 | 4,405 | 5,255 | 1,274 | ||||||||
Allison Transmission Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 150 | 8,295 | 8,722 | 1,287 | ||||||||
American Woodmark Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 120 | 8,961 | 11,142 | 3,023 | ||||||||
AMETEK, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 80 | 10,913 | 13,191 | 3,403 | ||||||||
Applied Industrial Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 145 | 20,620 | 25,040 | 6,454 | ||||||||
Array Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 939 | 16,962 | 15,775 | 301 | ||||||||
Axon Enterprise, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 125 | 24,315 | 32,291 | 11,065 | ||||||||
AZEK Co., Inc. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 1,904 | 62,717 | 72,828 | 16,002 | ||||||||
Blue Bird Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 193 | 3,869 | 5,203 | 1,710 | ||||||||
Boise Cascade Co. | USFF +0.250% | Weekly | MS | 07/06/26 | 472 | 45,682 | 61,058 | 22,597 |
110
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
Builders FirstSource, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 68 | $11,221 | $11,352 | $1,185 | ||||||||
BWX Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 14 | 1,072 | 1,074 | 102 | ||||||||
Cadre Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 9 | 292 | 296 | 31 | ||||||||
Carrier Global Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 403 | 19,367 | 23,152 | 5,891 | ||||||||
Caterpillar, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 168 | 37,181 | 49,673 | 16,424 | ||||||||
Comfort Systems USA, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 372 | 54,444 | 76,509 | 27,411 | ||||||||
Core & Main, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 1,390 | 49,597 | 56,170 | 11,231 | ||||||||
Crane Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 583 | 48,115 | 68,876 | 25,522 | ||||||||
CSW Industrials, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 22 | 3,430 | 4,563 | 1,463 | ||||||||
Cummins, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 28 | 6,706 | 6,708 | 632 | ||||||||
Curtiss-Wright Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 170 | 31,851 | 37,874 | 9,091 | ||||||||
Deere & Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 55 | 19,945 | 21,993 | 4,284 | ||||||||
Donaldson Co., Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 601 | 36,290 | 39,275 | 6,740 | ||||||||
EMCOR Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 433 | 90,035 | 93,281 | 11,727 | ||||||||
Emerson Electric Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 554 | 49,631 | 53,921 | 9,460 | ||||||||
Encore Wire Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 41 | 4,439 | 8,758 | 5,123 | ||||||||
Enerpac Tool Group Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 567 | 14,698 | 17,628 | 4,371 | ||||||||
EnerSys | USFF +0.250% | Weekly | MS | 07/11/28 | 483 | 47,179 | 48,764 | 6,126 | ||||||||
Enpro, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 99 | 10,140 | 15,517 | 6,423 | ||||||||
Fastenal Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 174 | 10,502 | 11,270 | 1,902 | ||||||||
Flowserve Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 229 | 8,766 | 9,439 | 1,543 | ||||||||
Fluence Energy, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 493 | 12,170 | 11,758 | 731 | ||||||||
Fortune Brands Innovations, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 590 | 33,056 | 44,923 | 15,441 | ||||||||
Franklin Electric Co., Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 34 | 2,919 | 3,286 | 645 | ||||||||
Gates Industrial Corp. PLC (United Kingdom) | USFF +0.250% | Weekly | MS | 01/10/28 | 1,252 | 15,518 | 16,802 | 2,741 | ||||||||
General Dynamics Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 80 | 18,194 | 20,774 | 4,386 | ||||||||
General Electric Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 252 | 22,190 | 32,163 | 12,137 | ||||||||
Gibraltar Industries, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 264 | 17,551 | 20,851 | 4,948 | ||||||||
Global Industrial Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 7 | 258 | 272 | 39 | ||||||||
Griffon Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 728 | 24,724 | 44,372 | 23,087 | ||||||||
Hillman Solutions Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,346 | 10,880 | 12,397 | 2,553 | ||||||||
Howmet Aerospace, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 235 | 8,111 | 12,718 | 5,417 | ||||||||
Hubbell, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 6 | 1,391 | 1,974 | 734 | ||||||||
Huntington Ingalls Industries, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 165 | 38,381 | 42,841 | 8,319 | ||||||||
IES Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 5 | 401 | 396 | 32 |
111
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
Illinois Tool Works, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 81 | $18,097 | $21,217 | $5,241 | ||||||||
ITT, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 151 | 14,661 | 18,017 | 4,849 | ||||||||
Kaman Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 28 | 610 | 671 | 123 | ||||||||
Kennametal, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 517 | 13,257 | 13,333 | 1,421 | ||||||||
Lincoln Electric Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 29 | 5,057 | 6,306 | 1,785 | ||||||||
Lindsay Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 40 | 4,936 | 5,166 | 701 | ||||||||
Lockheed Martin Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 119 | 49,905 | 53,936 | 10,253 | ||||||||
Masco Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 493 | 24,772 | 33,021 | 10,931 | ||||||||
Masonite International Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 19 | 1,615 | 1,609 | 145 | ||||||||
MDU Resources Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,831 | 34,844 | 36,254 | 4,933 | ||||||||
Middleby Corp. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 82 | 9,938 | 12,068 | 3,156 | ||||||||
MSC Industrial Direct Co., Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 656 | 63,349 | 66,427 | 9,535 | ||||||||
Mueller Industries, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 868 | 26,198 | 40,926 | 18,461 | ||||||||
nVent Electric PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/08/27 | 5 | 192 | 295 | 121 | ||||||||
Otis Worldwide Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 77 | 6,284 | 6,889 | 1,299 | ||||||||
PACCAR, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 192 | 13,610 | 18,749 | 7,516 | ||||||||
Parker-Hannifin Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 305 | 126,835 | 140,513 | 25,987 | ||||||||
Pentair PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/11/28 | 313 | 19,813 | 22,758 | 4,858 | ||||||||
Powell Industries, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 141 | 10,945 | 12,464 | 2,588 | ||||||||
Quanta Services, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 92 | 15,650 | 19,854 | 5,684 | ||||||||
REV Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 23 | 423 | 418 | 35 | ||||||||
RTX Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 880 | 70,390 | 74,043 | 10,558 | ||||||||
Shoals Technologies Group, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 809 | 12,226 | 12,572 | 1,287 | ||||||||
Simpson Manufacturing Co., Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 49 | 6,912 | 9,701 | 3,791 | ||||||||
Snap-on, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 103 | 25,413 | 29,751 | 7,140 | ||||||||
SPX Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 179 | 14,001 | 18,081 | 5,416 | ||||||||
Standex International Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 31 | 4,367 | 4,910 | 968 | ||||||||
Stanley Black & Decker, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 200 | 15,553 | 19,620 | 5,689 | ||||||||
Stantec, Inc. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 10 | 777 | 802 | 99 | ||||||||
Sterling Infrastructure, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 423 | 22,483 | 37,194 | 17,103 | ||||||||
Tennant Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 89 | 7,449 | 8,249 | 1,521 |
112
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
Terex Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 844 | $39,512 | $48,496 | $13,179 | ||||||||
Textainer Group Holdings Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 07/11/28 | 52 | 2,561 | 2,558 | 237 | ||||||||
Textron, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 365 | 22,125 | 29,353 | 9,350 | ||||||||
TransDigm Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 11 | 10,673 | 11,128 | 1,457 | ||||||||
UFP Industries, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 241 | 19,531 | 30,258 | 12,763 | ||||||||
Wabash National Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 741 | 15,546 | 18,984 | 5,082 | ||||||||
Watts Water Technologies, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 148 | 24,085 | 30,834 | 9,170 | ||||||||
WESCO International, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 108 | 17,864 | 18,779 | 2,614 | ||||||||
Westinghouse Air Brake Technologies Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 98 | 10,287 | 12,436 | 3,132 | ||||||||
Woodward, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 283 | 38,041 | 38,525 | 4,057 | ||||||||
WW Grainger, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 32 | 19,327 | 26,518 | 9,296 | ||||||||
Zurn Elkay Water Solutions Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,245 | 36,943 | 36,615 | 3,142 | ||||||||
30,098 | 1,957,988 | 2,334,841 | 580,235 | |||||||||||||
Commercial & Professional Services | ||||||||||||||||
ACV Auctions, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 1,442 | 20,558 | 21,846 | 3,219 | ||||||||
Automatic Data Processing, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 113 | 24,214 | 26,326 | 5,044 | ||||||||
Brady Corp., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 276 | 14,450 | 16,198 | 3,179 | ||||||||
Brink's Co. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 38 | 2,928 | 3,342 | 693 | ||||||||
Broadridge Financial Solutions, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 31 | 5,180 | 6,378 | 1,744 | ||||||||
CECO Environmental Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 95 | 1,877 | 1,927 | 226 | ||||||||
Concentrix Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 79 | 6,647 | 7,759 | 1,768 | ||||||||
Copart, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 601 | 27,577 | 29,449 | 4,463 | ||||||||
Huron Consulting Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 18 | 1,801 | 1,850 | 218 | ||||||||
ICF International, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 16 | 2,136 | 2,145 | 210 | ||||||||
Insperity, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 65 | 7,025 | 7,619 | 1,369 | ||||||||
Jacobs Solutions, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 291 | 37,044 | 37,772 | 4,211 | ||||||||
Kelly Services, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 27 | 567 | 584 | 70 | ||||||||
Leidos Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 467 | 49,979 | 50,548 | 5,379 | ||||||||
ManpowerGroup, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 145 | 10,643 | 11,523 | 1,984 | ||||||||
MillerKnoll, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 279 | 6,777 | 7,444 | 1,352 | ||||||||
MSA Safety, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 49 | 8,111 | 8,273 | 944 | ||||||||
OPENLANE, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 395 | 5,821 | 5,850 | 576 |
113
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Commercial & Professional Services — (continued) | ||||||||||||||||
Parsons Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 377 | $23,631 | $23,642 | $2,230 | ||||||||
Republic Services, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 262 | 35,552 | 43,206 | 11,471 | ||||||||
Robert Half, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 128 | 9,641 | 11,254 | 2,570 | ||||||||
Rollins, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 526 | 17,915 | 22,970 | 6,916 | ||||||||
Science Applications International Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 205 | 22,959 | 25,486 | 4,734 | ||||||||
Steelcase, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 510 | 5,992 | 6,895 | 1,472 | ||||||||
Tetra Tech, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 415 | 68,226 | 69,276 | 7,482 | ||||||||
TriNet Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 3 | 315 | 357 | 71 | ||||||||
Veralto Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 307 | 21,294 | 25,254 | 5,988 | ||||||||
Verisk Analytics, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 205 | 42,961 | 48,966 | 10,246 | ||||||||
Waste Connections, Inc. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 64 | 8,228 | 9,553 | 2,251 | ||||||||
7,429 | 490,049 | 533,692 | 92,080 | |||||||||||||
Consumer Discretionary Distribution & Retail | ||||||||||||||||
Abercrombie & Fitch Co., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 381 | 17,653 | 33,612 | 17,617 | ||||||||
Academy Sports & Outdoors, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 59 | 2,572 | 3,894 | 1,614 | ||||||||
Amazon.com, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 903 | 110,518 | 137,202 | 37,064 | ||||||||
Arhaus, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 443 | 3,370 | 5,250 | 2,196 | ||||||||
AutoZone, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 9 | 23,292 | 23,270 | 2,166 | ||||||||
Best Buy Co., Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 21 | 1,562 | 1,644 | 245 | ||||||||
Carvana Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 3,070 | 105,861 | 162,526 | 66,608 | ||||||||
Dick's Sporting Goods, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 28 | 3,381 | 4,115 | 1,108 | ||||||||
Dollar General Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 68 | 8,993 | 9,245 | 1,096 | ||||||||
eBay, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,291 | 52,852 | 56,313 | 8,709 | ||||||||
Etsy, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 42 | 3,452 | 3,404 | 277 | ||||||||
Gap, Inc. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 2,723 | 25,914 | 56,938 | 34,111 | ||||||||
Genuine Parts Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 98 | 13,325 | 13,573 | 1,567 | ||||||||
Home Depot, Inc. (The) | USFF +0.250% | Weekly | MS | 01/07/27 | 120 | 36,911 | 41,586 | 8,469 | ||||||||
LKQ Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 4 | 191 | 191 | 18 | ||||||||
Lowe's Cos., Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2 | 445 | 445 | 59 | ||||||||
Monro, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 228 | 6,322 | 6,690 | 1,019 | ||||||||
ODP Corp. (The) | USFF +0.250% | Weekly | MS | 01/07/27 | 660 | 26,027 | 37,158 | 13,618 | ||||||||
Pool Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 50 | 15,703 | 19,935 | 6,116 | ||||||||
Signet Jewelers Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 07/11/28 | 190 | 18,023 | 20,379 | 4,058 | ||||||||
Target Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 811 | 99,645 | 115,503 | 26,135 | ||||||||
TJX Cos., Inc. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 9 | 836 | 844 | 86 | ||||||||
Tractor Supply Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 180 | 34,918 | 38,705 | 7,241 | ||||||||
Urban Outfitters, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 669 | 15,973 | 23,877 | 9,752 | ||||||||
Valvoline, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 338 | 10,708 | 12,702 | 3,376 |
114
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Discretionary Distribution & Retail — (continued) | ||||||||||||||||
Williams-Sonoma, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 35 | $7,099 | $7,062 | $638 | ||||||||
Winmark Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 9 | 3,805 | 3,758 | 310 | ||||||||
12,441 | 649,351 | 839,821 | 255,273 | |||||||||||||
Consumer Durables & Apparel | ||||||||||||||||
Carter's, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 789 | 53,612 | 59,088 | 11,133 | ||||||||
Cavco Industries, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 23 | 4,768 | 7,972 | 3,652 | ||||||||
Cricut, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 8 | 55 | 53 | 3 | ||||||||
DR Horton, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 134 | 12,913 | 20,365 | 8,855 | ||||||||
Figs, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 682 | 4,909 | 4,740 | 291 | ||||||||
Garmin Ltd. (Switzerland) | USFF +0.250% | Weekly | MS | 01/10/28 | 348 | 35,553 | 44,732 | 13,083 | ||||||||
G-III Apparel Group Ltd. | USFF +0.250% | Weekly | MS | 07/11/28 | 613 | 16,894 | 20,830 | 5,522 | ||||||||
Hanesbrands, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 8,819 | 35,417 | 39,333 | 7,194 | ||||||||
Hasbro, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 243 | 11,211 | 12,408 | 2,324 | ||||||||
Helen of Troy Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 07/11/28 | 261 | 31,263 | 31,531 | 3,064 | ||||||||
Hovnanian Enterprises, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 14 | 2,078 | 2,179 | 296 | ||||||||
Installed Building Products, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 20 | 2,251 | 3,656 | 1,761 | ||||||||
Kontoor Brands, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 51 | 2,580 | 3,183 | 904 | ||||||||
Leggett & Platt, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 469 | 13,260 | 12,274 | 629 | ||||||||
Lululemon Athletica, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 14 | 7,121 | 7,158 | 706 | ||||||||
Mattel, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,629 | 30,881 | 30,756 | 2,775 | ||||||||
Mohawk Industries, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 234 | 19,166 | 24,219 | 6,853 | ||||||||
NIKE, Inc., Class B | USFF +0.250% | Weekly | MS | 07/11/28 | 144 | 16,022 | 15,634 | 1,134 | ||||||||
PulteGroup, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 416 | 25,746 | 42,940 | 19,840 | ||||||||
PVH Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 293 | 26,346 | 35,781 | 12,000 | ||||||||
Ralph Lauren Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 242 | 27,062 | 34,896 | 10,759 | ||||||||
Skyline Champion Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 2 | 103 | 149 | 55 | ||||||||
Steven Madden Ltd. | USFF +0.250% | Weekly | MS | 08/29/25 | 182 | 5,711 | 7,644 | 2,884 | ||||||||
Tapestry, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,203 | 34,968 | 44,282 | 14,491 | ||||||||
TopBuild Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 39 | 8,914 | 14,596 | 7,223 | ||||||||
Vista Outdoor, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 551 | 14,909 | 16,293 | 2,791 | ||||||||
Worthington Enterprises, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 213 | 10,028 | 12,258 | 3,243 | ||||||||
YETI Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 920 | 39,191 | 47,638 | 12,346 | ||||||||
18,556 | 492,932 | 596,588 | 155,811 | |||||||||||||
Consumer Services | ||||||||||||||||
Accel Entertainment, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 101 | 1,020 | 1,037 | 113 |
115
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Services — (continued) | ||||||||||||||||
ADT, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,840 | $18,104 | $19,369 | $3,132 | ||||||||
Adtalem Global Education, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 141 | 5,321 | 8,312 | 3,491 | ||||||||
Aramark | USFF +0.250% | Weekly | MS | 07/11/28 | 2,404 | 61,889 | 67,552 | 11,705 | ||||||||
Booking Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 4 | 11,074 | 14,189 | 4,155 | ||||||||
Bright Horizons Family Solutions, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 91 | 7,607 | 8,576 | 1,684 | ||||||||
Brinker International, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 392 | 12,596 | 16,927 | 5,990 | ||||||||
Caesars Entertainment, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 729 | 31,504 | 34,176 | 5,631 | ||||||||
Darden Restaurants, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 38 | 6,221 | 6,243 | 607 | ||||||||
DraftKings, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 134 | 3,855 | 4,724 | 1,230 | ||||||||
Duolingo, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 48 | 9,273 | 10,889 | 2,487 | ||||||||
Frontdoor, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,035 | 33,706 | 36,453 | 5,913 | ||||||||
Golden Entertainment, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 13 | 521 | 519 | 47 | ||||||||
Grand Canyon Education, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 4 | 525 | 528 | 52 | ||||||||
Las Vegas Sands Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 756 | 35,542 | 37,203 | 5,142 | ||||||||
Marriott International, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 80 | 13,414 | 18,041 | 6,007 | ||||||||
McDonald's Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 72 | 18,084 | 21,349 | 5,082 | ||||||||
MGM Resorts International | USFF +0.250% | Weekly | MS | 01/07/27 | 852 | 33,244 | 38,067 | 7,948 | ||||||||
Perdoceo Education Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 2 | 35 | 35 | 3 | ||||||||
Rover Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 71 | 775 | 772 | 71 | ||||||||
Royal Caribbean Cruises Ltd. (Liberia) | USFF +0.250% | Weekly | MS | 01/10/28 | 796 | 61,515 | 103,074 | 47,337 | ||||||||
Sabre Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,244 | 5,184 | 5,474 | 708 | ||||||||
Six Flags Entertainment Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 554 | 11,449 | 13,894 | 3,521 | ||||||||
Starbucks Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,011 | 97,952 | 97,066 | 8,317 | ||||||||
Strategic Education, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1 | 93 | 92 | 8 | ||||||||
Target Hospitality Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 208 | 2,246 | 2,024 | (16) | ||||||||
Wendy's Co. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 76 | 1,483 | 1,480 | 137 | ||||||||
Wynn Resorts Ltd. | USFF +0.250% | Weekly | MS | 07/11/28 | 256 | 23,098 | 23,324 | 2,415 | ||||||||
Yum! Brands, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 201 | 24,347 | 26,263 | 4,460 | ||||||||
14,154 | 531,677 | 617,652 | 137,377 |
116
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Staples Distribution & Retail | ||||||||||||||||
Albertsons Cos., Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 56 | $1,277 | $1,288 | $131 | ||||||||
Costco Wholesale Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 44 | 28,295 | 29,044 | 3,999 | ||||||||
Grocery Outlet Holding Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,392 | 40,938 | 37,528 | 435 | ||||||||
Ingles Markets, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 4 | 339 | 345 | 38 | ||||||||
Kroger Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 1,056 | 47,604 | 48,270 | 5,420 | ||||||||
PriceSmart, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 4 | 246 | 303 | 116 | ||||||||
Sysco Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 428 | 29,858 | 31,300 | 4,289 | ||||||||
US Foods Holding Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 607 | 20,388 | 27,564 | 9,090 | ||||||||
Walgreens Boots Alliance, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 557 | 11,776 | 14,543 | 4,092 | ||||||||
Walmart, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 233 | 36,304 | 36,732 | 4,139 | ||||||||
4,381 | 217,025 | 226,917 | 31,749 | |||||||||||||
Energy | ||||||||||||||||
Antero Midstream Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 681 | 8,594 | 8,533 | 746 | ||||||||
APA Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,396 | 88,696 | 85,968 | 4,923 | ||||||||
Baker Hughes Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,232 | 71,834 | 76,290 | 11,843 | ||||||||
California Resources Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 528 | 26,991 | 28,871 | 4,514 | ||||||||
Cameco Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 1,028 | 45,686 | 44,307 | 2,922 | ||||||||
Canadian Natural Resources Ltd. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 518 | 32,607 | 33,939 | 4,596 | ||||||||
Cenovus Energy, Inc. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 2,024 | 34,809 | 33,700 | 2,141 | ||||||||
ChampionX Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 209 | 5,386 | 6,105 | 1,260 | ||||||||
Chesapeake Energy Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,587 | 123,664 | 122,104 | 11,010 | ||||||||
Chord Energy Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 62 | 9,894 | 10,306 | 1,342 | ||||||||
ConocoPhillips | USFF +0.250% | Weekly | MS | 01/10/28 | 247 | 25,932 | 28,669 | 5,509 | ||||||||
CONSOL Energy, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 400 | 21,907 | 40,212 | 20,133 | ||||||||
CVR Energy, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 759 | 24,177 | 22,998 | 1,691 | ||||||||
Devon Energy Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,326 | 58,998 | 60,068 | 7,729 | ||||||||
DHT Holdings, Inc. (Marshall Islands) | USFF +0.250% | Weekly | MS | 07/08/27 | 3,603 | 31,070 | 35,345 | 10,931 | ||||||||
Dorian LPG Ltd. (Marshall Islands) | USFF +0.250% | Weekly | MS | 01/10/28 | 1,056 | 31,220 | 46,327 | 19,504 | ||||||||
Enerplus Corp. (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 967 | 13,768 | 14,834 | 2,416 | ||||||||
EQT Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 510 | 15,822 | 19,717 | 5,642 | ||||||||
Equitrans Midstream Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,062 | 10,199 | 20,991 | 12,369 |
117
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Energy — (continued) | ||||||||||||||||
Exxon Mobil Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 483 | $48,873 | $48,290 | $7,006 | ||||||||
FLEX LNG Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 01/07/27 | 276 | 7,906 | 8,021 | 1,989 | ||||||||
Gulfport Energy Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 96 | 7,771 | 12,787 | 5,746 | ||||||||
Helix Energy Solutions Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,201 | 12,769 | 12,346 | 761 | ||||||||
Helmerich & Payne, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 3,014 | 115,329 | 109,167 | 4,724 | ||||||||
Imperial Oil Ltd. (Canada) | USFF +0.250% | Weekly | MS | 01/05/26 | 160 | 8,718 | 9,150 | 1,313 | ||||||||
Kinder Morgan, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,602 | 27,072 | 28,259 | 5,097 | ||||||||
Liberty Energy, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 450 | 5,782 | 8,163 | 2,990 | ||||||||
Marathon Petroleum Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 219 | 29,238 | 32,491 | 6,548 | ||||||||
Murphy Oil Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 852 | 33,496 | 36,346 | 6,132 | ||||||||
Nabors Industries Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 01/10/28 | 53 | 5,304 | 4,326 | (480) | ||||||||
Nordic American Tankers Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 07/08/27 | 5,753 | 21,252 | 24,163 | 6,382 | ||||||||
Occidental Petroleum Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 506 | 28,840 | 30,213 | 4,082 | ||||||||
Par Pacific Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 115 | 2,427 | 4,183 | 1,983 | ||||||||
Pembina Pipeline Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 1,148 | 37,637 | 39,514 | 5,790 | ||||||||
Phillips 66 | USFF +0.250% | Weekly | MS | 07/06/26 | 84 | 7,826 | 11,184 | 4,276 | ||||||||
Pioneer Natural Resources Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 178 | 39,949 | 40,029 | 4,508 | ||||||||
Precision Drilling Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 57 | 3,208 | 3,095 | 187 | ||||||||
Suncor Energy, Inc. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 120 | 3,768 | 3,845 | 506 | ||||||||
TechnipFMC PLC (United Kingdom) | USFF +0.250% | Weekly | MS | 07/08/27 | 3,361 | 68,867 | 67,691 | 5,429 | ||||||||
US Silica Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,643 | 21,288 | 18,582 | (708) | ||||||||
Weatherford International PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/08/27 | 2 | 134 | 196 | 74 | ||||||||
Williams Cos., Inc. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 2,614 | 92,247 | 91,046 | 8,435 | ||||||||
46,182 | 1,310,955 | 1,382,371 | 213,991 | |||||||||||||
Financial Services | ||||||||||||||||
AvidXchange Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,452 | 16,810 | 17,990 | 2,759 | ||||||||
Berkshire Hathaway, Inc., Class B | USFF +0.250% | Weekly | MS | 08/29/25 | 181 | 51,335 | 64,555 | 18,042 |
118
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Financial Services — (continued) | ||||||||||||||||
BlackRock, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 33 | $23,433 | $26,789 | $6,215 | ||||||||
Cboe Global Markets, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 228 | 31,606 | 40,712 | 12,407 | ||||||||
CME Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 349 | 72,153 | 73,499 | 9,858 | ||||||||
Fiserv, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 408 | 48,473 | 54,199 | 10,279 | ||||||||
Franklin Resources, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,247 | 27,904 | 37,148 | 13,585 | ||||||||
Intercontinental Exchange, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 20 | 1,956 | 2,569 | 830 | ||||||||
International Money Express, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 87 | 1,855 | 1,922 | 241 | ||||||||
MarketAxess Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 38 | 10,382 | 11,128 | 1,801 | ||||||||
Mastercard, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 28 | 10,591 | 11,942 | 2,355 | ||||||||
Moody's Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 10 | 3,750 | 3,906 | 525 | ||||||||
Morningstar, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 57 | 16,046 | 16,316 | 1,777 | ||||||||
Nasdaq, Inc. | USFF +0.250% | Weekly | MS | 08/29/25 | 509 | 26,267 | 29,593 | 6,632 | ||||||||
NCR Atleos Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 808 | 15,598 | 19,626 | 5,549 | ||||||||
Paymentus Holdings, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 10 | 177 | 179 | 18 | ||||||||
Payoneer Global, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,522 | 8,077 | 7,930 | 611 | ||||||||
PayPal Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 922 | 48,123 | 56,620 | 13,017 | ||||||||
Shift4 Payments, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 335 | 21,006 | 24,904 | 5,999 | ||||||||
T Rowe Price Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 252 | 25,316 | 27,138 | 6,088 | ||||||||
Visa, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 123 | 29,387 | 32,023 | 5,444 | ||||||||
Western Union Co. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 1,509 | 17,900 | 17,987 | 1,952 | ||||||||
10,128 | 508,145 | 578,675 | 125,984 | |||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||
Altria Group, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 964 | 40,698 | 38,888 | 5,254 | ||||||||
Archer-Daniels-Midland Co. | USFF +0.250% | Weekly | MS | 01/05/26 | 468 | 33,401 | 33,799 | 4,005 | ||||||||
B&G Foods, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,308 | 12,599 | 13,734 | 2,558 | ||||||||
Bunge Global SA (Switzerland) | USFF +0.250% | Weekly | MS | 07/11/28 | 395 | 40,813 | 39,875 | 3,021 | ||||||||
Cal-Maine Foods, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 300 | 13,855 | 17,217 | 5,236 | ||||||||
Campbell Soup Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 6 | 257 | 259 | 26 | ||||||||
Celsius Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 938 | 29,998 | 51,140 | 24,050 | ||||||||
Coca-Cola Co. (The) | USFF +0.250% | Weekly | MS | 08/29/25 | 643 | 35,368 | 37,892 | 7,336 | ||||||||
Coca-Cola Consolidated, Inc. | USFF +0.250% | Weekly | MS | 08/29/25 | 18 | 10,583 | 16,711 | 7,450 | ||||||||
Constellation Brands, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 126 | 30,978 | 30,460 | 2,304 | ||||||||
General Mills, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 543 | 34,965 | 35,371 | 4,068 | ||||||||
Hershey Co. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 166 | 30,778 | 30,949 | 3,264 | ||||||||
Hormel Foods Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 802 | 29,307 | 25,752 | (639) |
119
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Food, Beverage & Tobacco — (continued) | ||||||||||||||||
Ingredion, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 259 | $26,762 | $28,109 | $4,165 | ||||||||
J M Smucker Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 761 | 103,433 | 96,175 | 3,421 | ||||||||
John B Sanfilippo & Son, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 57 | 6,114 | 5,873 | 422 | ||||||||
Kellanova | USFF +0.250% | Weekly | MS | 01/05/26 | 618 | 33,918 | 34,552 | 4,721 | ||||||||
Keurig Dr Pepper, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,281 | 41,380 | 42,683 | 5,664 | ||||||||
Kraft Heinz Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 1,434 | 49,100 | 53,029 | 9,192 | ||||||||
Lancaster Colony Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 85 | 15,829 | 14,143 | (4) | ||||||||
McCormick & Co., Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 265 | 16,694 | 18,131 | 3,145 | ||||||||
Molson Coors Beverage Co., Class B | USFF +0.250% | Weekly | MS | 08/29/25 | 394 | 22,004 | 24,117 | 4,570 | ||||||||
Mondelez International, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 425 | 27,769 | 30,783 | 5,908 | ||||||||
PepsiCo, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 130 | 21,318 | 22,079 | 3,526 | ||||||||
Philip Morris International, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 141 | 12,986 | 13,265 | 1,682 | ||||||||
Primo Water Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 37 | 560 | 557 | 49 | ||||||||
Simply Good Foods Co. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 57 | 2,250 | 2,257 | 218 | ||||||||
Sovos Brands, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,299 | 28,402 | 28,617 | 2,883 | ||||||||
Tootsie Roll Industries, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 12 | 403 | 399 | 38 | ||||||||
TreeHouse Foods, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 334 | 12,853 | 13,844 | 2,198 | ||||||||
Vita Coco Co., Inc. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 484 | 13,479 | 12,415 | 202 | ||||||||
14,750 | 778,854 | 813,075 | 119,933 | |||||||||||||
Health Care Equipment & Services | ||||||||||||||||
Addus HomeCare Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 93 | 8,344 | 8,635 | 1,074 | ||||||||
Avanos Medical, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 129 | 2,770 | 2,893 | 384 | ||||||||
Axonics, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 69 | 3,740 | 4,294 | 905 | ||||||||
Baxter International, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,872 | 97,464 | 111,032 | 23,622 | ||||||||
Becton Dickinson & Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 84 | 19,619 | 20,482 | 3,053 | ||||||||
Cardinal Health, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 152 | 15,865 | 15,322 | 1,022 | ||||||||
Cencora, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 75 | 13,013 | 15,403 | 3,676 | ||||||||
Centene Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 545 | 36,072 | 40,444 | 7,760 | ||||||||
Certara, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 477 | 7,125 | 8,390 | 1,937 | ||||||||
Cigna Group (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 55 | 14,132 | 16,470 | 3,670 | ||||||||
CONMED Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 529 | 56,552 | 57,931 | 6,831 |
120
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Health Care Equipment & Services — (continued) | ||||||||||||||||
Cross Country Healthcare, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 711 | $18,100 | $16,097 | $(352) | ||||||||
CVRx, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1 | 32 | 31 | 4 | ||||||||
CVS Health Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 241 | 16,630 | 19,029 | 4,152 | ||||||||
DaVita, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 825 | 68,625 | 86,427 | 24,248 | ||||||||
Definitive Healthcare Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 297 | 2,547 | 2,952 | 644 | ||||||||
Elevance Health, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 48 | 21,404 | 22,635 | 3,324 | ||||||||
Enovis Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 179 | 8,341 | 10,028 | 2,519 | ||||||||
Fulgent Genetics, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 255 | 14,665 | 7,372 | (5,915) | ||||||||
GE HealthCare Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 959 | 63,670 | 74,150 | 16,493 | ||||||||
Haemonetics Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 425 | 35,757 | 36,342 | 3,944 | ||||||||
HCA Healthcare, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 50 | 12,708 | 13,534 | 2,055 | ||||||||
HealthEquity, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 212 | 14,969 | 14,056 | 492 | ||||||||
Hologic, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,243 | 161,350 | 160,262 | 14,068 | ||||||||
Humana, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 34 | 15,785 | 15,566 | 1,335 | ||||||||
Laboratory Corp. of America Holdings | USFF +0.250% | Weekly | MS | 07/11/28 | 117 | 24,526 | 26,593 | 4,450 | ||||||||
Lantheus Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,006 | 53,484 | 62,372 | 13,912 | ||||||||
McKesson Corp. | USFF +0.250% | Weekly | MS | 08/29/25 | 31 | 13,873 | 14,352 | 1,807 | ||||||||
Molina Healthcare, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 67 | 23,258 | 24,208 | 3,134 | ||||||||
Owens & Minor, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 433 | 8,371 | 8,344 | 759 | ||||||||
Phreesia, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 234 | 5,147 | 5,417 | 754 | ||||||||
Privia Health Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,263 | 29,801 | 29,087 | 2,074 | ||||||||
Progyny, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 530 | 17,335 | 19,705 | 4,056 | ||||||||
Pulse Biosciences, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 8 | 100 | 98 | 7 | ||||||||
Teleflex, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2 | 498 | 499 | 47 | ||||||||
Tenet Healthcare Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 547 | 29,442 | 41,337 | 14,806 | ||||||||
UFP Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 64 | 8,543 | 11,011 | 3,314 | ||||||||
UnitedHealth Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 54 | 28,996 | 28,429 | 2,258 | ||||||||
Varex Imaging Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 68 | 1,346 | 1,394 | 174 | ||||||||
Zimmer Biomet Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 67 | 8,029 | 8,154 | 890 | ||||||||
16,051 | 982,028 | 1,060,777 | 173,387 | |||||||||||||
Household & Personal Products | ||||||||||||||||
BellRing Brands, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 857 | 47,425 | 47,504 | 4,533 | ||||||||
Colgate-Palmolive Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 278 | 21,307 | 22,159 | 2,861 | ||||||||
elf Beauty, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 269 | 14,412 | 38,827 | 29,344 |
121
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Household & Personal Products — (continued) | ||||||||||||||||
Energizer Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 158 | $4,916 | $5,005 | $556 | ||||||||
Kenvue, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,411 | 27,381 | 30,379 | 5,749 | ||||||||
Kimberly-Clark Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 490 | 60,564 | 59,540 | 6,261 | ||||||||
Procter & Gamble Co. (The) | USFF +0.250% | Weekly | MS | 07/08/27 | 531 | 74,431 | 77,813 | 11,153 | ||||||||
Reynolds Consumer Products, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 70 | 1,872 | 1,879 | 183 | ||||||||
Spectrum Brands Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 240 | 16,293 | 19,145 | 4,566 | ||||||||
4,304 | 268,601 | 302,251 | 65,206 | |||||||||||||
Materials | ||||||||||||||||
Alamos Gold, Inc., Class A (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 3,872 | 44,088 | 52,156 | 12,408 | ||||||||
Alpha Metallurgical Resources, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 4 | 554 | 1,356 | 860 | ||||||||
Amcor PLC (Jersey) | USFF +0.250% | Weekly | MS | 07/11/28 | 1,680 | 15,275 | 16,195 | 2,574 | ||||||||
AptarGroup, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 28 | 3,531 | 3,461 | 262 | ||||||||
Avient Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 276 | 9,641 | 11,473 | 2,805 | ||||||||
Axalta Coating Systems Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 07/11/28 | 766 | 23,218 | 26,021 | 4,984 | ||||||||
Ball Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 481 | 23,631 | 27,667 | 6,468 | ||||||||
Barrick Gold Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 1,710 | 26,303 | 30,934 | 8,085 | ||||||||
Berry Global Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 808 | 49,382 | 54,451 | 9,992 | ||||||||
Carpenter Technology Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 802 | 53,323 | 56,782 | 8,475 | ||||||||
CF Industries Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 728 | 50,075 | 57,876 | 12,762 | ||||||||
Cleveland-Cliffs, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 3,871 | 56,654 | 79,046 | 29,694 | ||||||||
Commercial Metals Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 232 | 10,312 | 11,609 | 2,441 | ||||||||
Crown Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 98 | 8,147 | 9,025 | 1,642 | ||||||||
Eastman Chemical Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 418 | 31,841 | 37,545 | 9,128 | ||||||||
Ecolab, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 203 | 34,517 | 40,265 | 9,106 | ||||||||
Fortuna Silver Mines, Inc. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 132 | 517 | 510 | 41 | ||||||||
Greif, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | 68 | 4,342 | 4,460 | 713 | ||||||||
Hawkins, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 93 | 5,376 | 6,549 | 1,694 | ||||||||
HB Fuller Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 264 | 18,112 | 21,492 | 5,040 | ||||||||
Innospec, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 79 | 7,825 | 9,736 | 2,742 | ||||||||
International Flavors & Fragrances, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 81 | 6,512 | 6,559 | 710 | ||||||||
International Paper Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 202 | 6,415 | 7,302 | 1,711 |
122
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Materials — (continued) | ||||||||||||||||
Knife River Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 130 | $7,479 | $8,603 | $1,826 | ||||||||
Linde PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/05/26 | 285 | 108,019 | 117,052 | 19,669 | ||||||||
Livent Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 291 | 4,976 | 5,232 | 740 | ||||||||
LyondellBasell Industries NV, Class A (Netherlands) | USFF +0.250% | Weekly | MS | 07/11/28 | 1,102 | 100,485 | 104,778 | 13,353 | ||||||||
Martin Marietta Materials, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 40 | 14,965 | 19,956 | 6,496 | ||||||||
Minerals Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 132 | 7,284 | 9,413 | 2,827 | ||||||||
Mosaic Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 720 | 23,483 | 25,726 | 4,644 | ||||||||
NewMarket Corp. | USFF +0.250% | Weekly | MS | 08/29/25 | 73 | 29,754 | 39,846 | 13,356 | ||||||||
Newmont Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 498 | 16,963 | 20,612 | 5,458 | ||||||||
Nucor Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 182 | 25,429 | 31,675 | 9,288 | ||||||||
Packaging Corp. of America | USFF +0.250% | Weekly | MS | 07/08/27 | 133 | 17,528 | 21,667 | 6,308 | ||||||||
Pactiv Evergreen, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 33 | 399 | 452 | 93 | ||||||||
PPG Industries, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 76 | 9,233 | 11,366 | 3,077 | ||||||||
Quaker Chemical Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 131 | 23,965 | 27,958 | 6,326 | ||||||||
Royal Gold, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 43 | 5,065 | 5,201 | 612 | ||||||||
RPM International, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 259 | 24,183 | 28,912 | 7,115 | ||||||||
Scotts Miracle-Gro Co. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 668 | 35,079 | 42,585 | 11,331 | ||||||||
Sealed Air Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 127 | 4,661 | 4,638 | 415 | ||||||||
Sherwin-Williams Co. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 75 | 18,547 | 23,392 | 6,625 | ||||||||
SilverCrest Metals, Inc. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 185 | 1,127 | 1,212 | 190 | ||||||||
Southern Copper Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 585 | 41,453 | 50,351 | 14,178 | ||||||||
Vulcan Materials Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 81 | 15,598 | 18,388 | 4,359 | ||||||||
Warrior Met Coal, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 206 | 6,952 | 12,560 | 6,427 | ||||||||
Westlake Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 25 | 2,627 | 3,499 | 1,156 | ||||||||
22,976 | 1,034,845 | 1,207,544 | 280,206 | |||||||||||||
Media & Entertainment | ||||||||||||||||
Alphabet, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 758 | 69,971 | 105,885 | 42,486 | ||||||||
AMC Networks, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 132 | 2,223 | 2,480 | 466 | ||||||||
Bumble, Inc., Class A | USFF +0.250% | Weekly | MS | 01/07/27 | 1,825 | 28,614 | 26,900 | 975 | ||||||||
Cable One, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 20 | 10,748 | 11,132 | 1,408 | ||||||||
Charter Communications, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 36 | 10,999 | 13,992 | 4,026 | ||||||||
Cinemark Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,906 | 54,254 | 69,126 | 19,967 |
123
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Media & Entertainment — (continued) | ||||||||||||||||
Clear Channel Outdoor Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 189 | $351 | $344 | $26 | ||||||||
Comcast Corp., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 384 | 14,176 | 16,838 | 4,349 | ||||||||
Electronic Arts, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 180 | 21,421 | 24,626 | 5,285 | ||||||||
Fox Corp., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 898 | 27,854 | 26,644 | 1,676 | ||||||||
Interpublic Group of Cos., Inc. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 1,033 | 29,042 | 33,717 | 7,868 | ||||||||
John Wiley & Sons, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 185 | 5,597 | 5,872 | 865 | ||||||||
Match Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 799 | 29,268 | 29,163 | 2,641 | ||||||||
Meta Platforms, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 309 | 79,985 | 109,374 | 36,902 | ||||||||
Netflix, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 99 | 31,663 | 48,201 | 19,512 | ||||||||
New York Times Co. (The), Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 113 | 4,681 | 5,536 | 1,319 | ||||||||
News Corp., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 208 | 3,639 | 5,106 | 2,267 | ||||||||
Omnicom Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 143 | 12,132 | 12,371 | 1,653 | ||||||||
Pinterest, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 188 | 7,093 | 6,964 | 537 | ||||||||
Roku, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 410 | 31,683 | 37,581 | 8,873 | ||||||||
Shutterstock, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 311 | 14,046 | 15,015 | 2,399 | ||||||||
Vimeo, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,749 | 6,866 | 6,856 | 635 | ||||||||
Walt Disney Co. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 1,127 | 97,081 | 101,757 | 14,099 | ||||||||
Yelp, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 497 | 21,929 | 23,528 | 3,658 | ||||||||
ZipRecruiter, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 357 | 4,767 | 4,962 | 643 | ||||||||
16,856 | 620,083 | 743,970 | 184,535 | |||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||
Agilent Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 240 | 28,034 | 33,367 | 8,074 | ||||||||
Alnylam Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 153 | 25,632 | 29,286 | 6,061 | ||||||||
Amgen, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 19 | 5,307 | 5,472 | 664 | ||||||||
Amphastar Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 230 | 12,409 | 14,225 | 3,119 | ||||||||
ANI Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 123 | 7,002 | 6,782 | 428 | ||||||||
Ardelyx, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 858 | 3,169 | 5,320 | 2,448 | ||||||||
Azenta, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 172 | 11,005 | 11,204 | 1,232 | ||||||||
Bio-Rad Laboratories, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 176 | 54,407 | 56,829 | 7,258 | ||||||||
Bridgebio Pharma, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 196 | 7,900 | 7,913 | 755 |
124
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||||||||
Bristol-Myers Squibb Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,111 | $56,697 | $57,005 | $5,633 | ||||||||
Cabaletta Bio, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 33 | 717 | 749 | 99 | ||||||||
CareDx, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 61 | 753 | 732 | 49 | ||||||||
Catalyst Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 373 | 4,405 | 6,270 | 2,279 | ||||||||
Celldex Therapeutics, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 41 | 1,563 | 1,626 | 210 | ||||||||
Charles River Laboratories International, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 5 | 1,188 | 1,182 | 106 | ||||||||
Collegium Pharmaceutical, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 732 | 17,013 | 22,531 | 7,116 | ||||||||
Cymabay Therapeutics, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 488 | 6,521 | 11,527 | 5,618 | ||||||||
Editas Medicine, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 405 | 4,194 | 4,103 | 302 | ||||||||
Eli Lilly & Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 10 | 5,766 | 5,829 | 605 | ||||||||
EyePoint Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 194 | 4,073 | 4,483 | 793 | ||||||||
Gilead Sciences, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 14 | 1,133 | 1,134 | 108 | ||||||||
Halozyme Therapeutics, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,223 | 46,809 | 45,202 | 2,790 | ||||||||
Harmony Biosciences Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,506 | 51,063 | 48,644 | 2,377 | ||||||||
ImmunoGen, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 314 | 1,338 | 9,310 | 8,097 | ||||||||
Incyte Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,346 | 72,875 | 84,515 | 18,948 | ||||||||
Innoviva, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 247 | 3,492 | 3,962 | 798 | ||||||||
IQVIA Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 32 | 7,156 | 7,404 | 920 | ||||||||
Johnson & Johnson | USFF +0.250% | Weekly | MS | 01/10/28 | 688 | 105,019 | 107,837 | 13,302 | ||||||||
Ligand Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 65 | 4,233 | 4,642 | 805 | ||||||||
Merck & Co., Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 689 | 69,811 | 75,115 | 13,408 | ||||||||
Mettler-Toledo International, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 36 | 38,636 | 43,667 | 8,660 | ||||||||
Neurocrine Biosciences, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 61 | 6,527 | 8,037 | 2,878 | ||||||||
Pacira BioSciences, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 152 | 4,183 | 5,128 | 1,415 | ||||||||
Quanterix Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 121 | 2,995 | 3,308 | 600 | ||||||||
RAPT Therapeutics, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 3 | 76 | 75 | 6 |
125
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||||||||
Regeneron Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 13 | $11,001 | $11,418 | $1,630 | ||||||||
Revvity, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 28 | 2,774 | 3,061 | 787 | ||||||||
Rhythm Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 321 | 9,283 | 14,756 | 6,345 | ||||||||
Roivant Sciences Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 07/11/28 | 27 | 308 | 303 | 24 | ||||||||
Twist Bioscience Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 727 | 23,504 | 26,797 | 5,501 | ||||||||
United Therapeutics Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 66 | 14,514 | 14,513 | 1,362 | ||||||||
Viatris, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,431 | 13,296 | 15,498 | 4,212 | ||||||||
West Pharmaceutical Services, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 31 | 10,822 | 10,916 | 1,110 | ||||||||
14,761 | 758,603 | 831,677 | 148,932 | |||||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Advanced Micro Devices, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 282 | 32,073 | 41,570 | 12,509 | ||||||||
Allegro MicroSystems, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 78 | 2,342 | 2,361 | 263 | ||||||||
Applied Materials, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 332 | 39,922 | 53,807 | 18,056 | ||||||||
Axcelis Technologies, Inc. | USFF +0.250% | Weekly | MS | 08/29/25 | 101 | 12,305 | 13,099 | 1,949 | ||||||||
Broadcom, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 25 | 14,106 | 27,906 | 15,835 | ||||||||
Diodes, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 219 | 16,140 | 17,634 | 3,057 | ||||||||
Intel Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 114 | 5,729 | 5,728 | 538 | ||||||||
KLA Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 9 | 5,266 | 5,232 | 507 | ||||||||
Lam Research Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 32 | 14,679 | 25,064 | 12,040 | ||||||||
Microchip Technology, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 481 | 30,841 | 43,377 | 16,343 | ||||||||
Micron Technology, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 965 | 82,859 | 82,353 | 7,379 | ||||||||
Monolithic Power Systems, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 29 | 15,806 | 18,293 | 3,996 | ||||||||
NVIDIA Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 243 | 93,843 | 120,338 | 36,329 | ||||||||
NXP Semiconductors NV (Netherlands) | USFF +0.250% | Weekly | MS | 07/08/27 | 205 | 33,235 | 47,084 | 17,594 | ||||||||
Photronics, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 940 | 15,383 | 29,488 | 15,685 | ||||||||
QUALCOMM, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 504 | 62,153 | 72,894 | 17,062 | ||||||||
Rambus, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 364 | 21,476 | 24,843 | 5,385 | ||||||||
Skyworks Solutions, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 573 | 54,249 | 64,417 | 16,303 | ||||||||
5,496 | 552,407 | 695,488 | 200,830 |
126
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Software & Services | ||||||||||||||||
Accenture PLC, Class A (Ireland) | USFF +0.250% | Weekly | MS | 07/11/28 | 114 | $35,373 | $40,004 | $8,092 | ||||||||
Adobe, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 36 | 15,255 | 21,478 | 7,655 | ||||||||
Amdocs Ltd. (Guernsey) | USFF +0.250% | Weekly | MS | 01/10/28 | 338 | 28,158 | 29,707 | 4,375 | ||||||||
ANSYS, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1 | 289 | 363 | 101 | ||||||||
AppLovin Corp., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 788 | 29,242 | 31,402 | 4,913 | ||||||||
Blackbaud, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 42 | 3,100 | 3,641 | 832 | ||||||||
BlackBerry Ltd. (Canada) | USFF +0.250% | Weekly | MS | 01/10/28 | 1,027 | 4,590 | 3,636 | (528) | ||||||||
Cadence Design Systems, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 77 | 16,648 | 20,972 | 5,888 | ||||||||
Crowdstrike Holdings, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 39 | 9,841 | 9,957 | 1,041 | ||||||||
DocuSign, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 624 | 37,533 | 37,097 | 3,090 | ||||||||
Dolby Laboratories, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 114 | 9,025 | 9,825 | 1,684 | ||||||||
DXC Technology Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 226 | 5,173 | 5,169 | 482 | ||||||||
Elastic NV (Netherlands) | USFF +0.250% | Weekly | MS | 07/11/28 | 516 | 39,623 | 58,153 | 23,299 | ||||||||
Fortinet, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 56 | 2,792 | 3,278 | 748 | ||||||||
Freshworks, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 135 | 2,786 | 3,171 | 647 | ||||||||
Gartner, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 15 | 6,687 | 6,767 | 708 | ||||||||
Gen Digital, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,981 | 33,805 | 45,206 | 15,134 | ||||||||
Gitlab, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 393 | 22,190 | 24,743 | 4,638 | ||||||||
Guidewire Software, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 432 | 38,398 | 47,105 | 12,696 | ||||||||
Informatica, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 26 | 747 | 738 | 62 | ||||||||
InterDigital, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 572 | 45,614 | 62,085 | 21,201 | ||||||||
International Business Machines Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 254 | 32,898 | 41,542 | 12,761 | ||||||||
JFrog Ltd. (Israel) | USFF +0.250% | Weekly | MS | 07/11/28 | 193 | 6,368 | 6,680 | 909 | ||||||||
Kyndryl Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 735 | 11,625 | 15,273 | 4,740 | ||||||||
LiveRamp Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 140 | 5,080 | 5,303 | 700 | ||||||||
Manhattan Associates, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 46 | 10,007 | 9,905 | 838 | ||||||||
Microsoft Corp. | USFF +0.250% | Weekly | MS | 08/29/25 | 274 | 73,965 | 103,035 | 37,056 | ||||||||
MongoDB, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 14 | 4,666 | 5,724 | 1,496 | ||||||||
NCR Voyix Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 3,492 | 52,576 | 59,050 | 11,374 | ||||||||
Nutanix, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 1,221 | 37,210 | 58,229 | 24,515 | ||||||||
Okta, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 48 | 3,726 | 4,345 | 969 | ||||||||
Oracle Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 755 | 82,449 | 79,600 | 5,107 | ||||||||
Palantir Technologies, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 7,068 | 131,304 | 121,358 | 2,387 |
127
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Software & Services — (continued) | ||||||||||||||||
Palo Alto Networks, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 291 | $58,813 | $85,810 | $32,522 | ||||||||
Q2 Holdings, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 243 | 8,206 | 10,549 | 3,113 | ||||||||
Qualys, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 160 | 17,093 | 31,405 | 15,918 | ||||||||
Rapid7, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 70 | 3,302 | 3,997 | 1,005 | ||||||||
Salesforce, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 227 | 34,143 | 59,733 | 28,796 | ||||||||
Samsara, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 1,632 | 44,119 | 54,476 | 14,501 | ||||||||
ServiceNow, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 125 | 51,385 | 88,311 | 42,078 | ||||||||
Shopify, Inc., Class A (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 250 | 18,786 | 19,475 | 2,454 | ||||||||
Smartsheet, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 251 | 10,060 | 12,003 | 2,950 | ||||||||
Splunk, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 523 | 71,592 | 79,679 | 16,733 | ||||||||
Sprinklr, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 349 | 4,509 | 4,202 | 116 | ||||||||
Squarespace, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 572 | 16,144 | 18,882 | 4,330 | ||||||||
Synopsys, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 64 | 29,396 | 32,954 | 6,319 | ||||||||
Teradata Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 4 | 174 | 174 | 16 | ||||||||
UiPath, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 2,881 | 71,726 | 71,564 | 6,575 | ||||||||
Varonis Systems, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 206 | 5,618 | 9,328 | 4,238 | ||||||||
VeriSign, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 118 | 23,342 | 24,303 | 3,154 | ||||||||
Weave Communications, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 50 | 542 | 574 | 83 | ||||||||
Workday, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 147 | 40,201 | 40,581 | 4,156 | ||||||||
Yext, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,614 | 13,458 | 9,506 | (2,687) | ||||||||
Zoom Video Communications, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 332 | 20,531 | 23,874 | 5,581 | ||||||||
Zuora, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 215 | 1,943 | 2,021 | 260 | ||||||||
32,116 | 1,383,826 | 1,657,942 | 411,821 | |||||||||||||
Technology Hardware & Equipment | ||||||||||||||||
Apple, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 504 | 64,977 | 97,035 | 40,795 | ||||||||
Arrow Electronics, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 184 | 22,283 | 22,494 | 2,304 | ||||||||
Badger Meter, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 66 | 9,209 | 10,188 | 1,875 | ||||||||
Bel Fuse, Inc., Class B | USFF +0.250% | Weekly | MS | 07/11/28 | 179 | 8,971 | 11,952 | 3,840 | ||||||||
CDW Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 79 | 12,860 | 17,958 | 6,507 | ||||||||
Cisco Systems, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 978 | 46,426 | 49,409 | 9,030 | ||||||||
Corning, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 555 | 15,757 | 16,900 | 2,661 | ||||||||
Crane NXT Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 363 | 17,241 | 20,644 | 5,244 | ||||||||
Extreme Networks, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 3,669 | 85,852 | 64,721 | (13,916) | ||||||||
F5, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 183 | 26,757 | 32,753 | 8,592 | ||||||||
Fabrinet (Cayman Islands) | USFF +0.250% | Weekly | MS | 07/11/28 | 266 | 44,447 | 50,628 | 10,648 |
128
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Technology Hardware & Equipment — (continued) | ||||||||||||||||
Hewlett Packard Enterprise Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 5,171 | $80,986 | $87,804 | $16,056 | ||||||||
HP, Inc. | USFF +0.250% | Weekly | MS | 08/29/25 | 1,927 | 52,054 | 57,983 | 12,171 | ||||||||
Insight Enterprises, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 215 | 26,720 | 38,096 | 13,886 | ||||||||
Jabil, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 928 | 112,852 | 118,227 | 15,977 | ||||||||
Juniper Networks, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,654 | 44,857 | 48,760 | 8,522 | ||||||||
Knowles Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 262 | 4,247 | 4,692 | 844 | ||||||||
Mirion Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 324 | 3,056 | 3,321 | 552 | ||||||||
Motorola Solutions, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 201 | 62,716 | 62,931 | 6,106 | ||||||||
Napco Security Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 461 | 12,268 | 15,789 | 4,732 | ||||||||
NetApp, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 443 | 33,158 | 39,055 | 9,455 | ||||||||
NetScout Systems, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 890 | 26,377 | 19,535 | (4,384) | ||||||||
nLight, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 32 | 435 | 432 | 37 | ||||||||
OSI Systems, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 48 | 5,561 | 6,194 | 1,180 | ||||||||
Rogers Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1 | 132 | 132 | 12 | ||||||||
Seagate Technology Holdings PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/10/28 | 470 | 28,743 | 40,124 | 14,945 | ||||||||
SmartRent, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 274 | 874 | 874 | 82 | ||||||||
Super Micro Computer, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 980 | 88,156 | 278,575 | 198,699 | ||||||||
TE Connectivity Ltd. (Switzerland) | USFF +0.250% | Weekly | MS | 07/11/28 | 96 | 11,687 | 13,488 | 2,957 | ||||||||
Vishay Intertechnology, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 602 | 13,610 | 14,430 | 2,276 | ||||||||
Vontier Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 461 | 15,937 | 15,928 | 1,487 | ||||||||
Western Digital Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 383 | 17,017 | 20,058 | 4,639 | ||||||||
Xerox Holdings Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 240 | 2,973 | 4,399 | 1,903 | ||||||||
23,089 | 999,196 | 1,285,509 | 389,714 | |||||||||||||
Telecommunication Services | ||||||||||||||||
AT&T, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,683 | 56,008 | 61,801 | 11,677 | ||||||||
EchoStar Corp., Class A | USFF +0.250% | Weekly | MS | 08/29/25 | 996 | 25,249 | 16,504 | (7,594) | ||||||||
Iridium Communications, Inc. | USFF +0.250% | Weekly | MS | 08/29/25 | 192 | 9,686 | 7,903 | (862) | ||||||||
TELUS Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 221 | 3,943 | 3,932 | 359 | ||||||||
T-Mobile US, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 390 | 53,415 | 62,529 | 14,328 |
129
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Telecommunication Services — (continued) | ||||||||||||||||
United States Cellular Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 153 | $6,563 | $6,356 | $409 | ||||||||
Verizon Communications, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,074 | 36,768 | 40,490 | 8,501 | ||||||||
6,709 | 191,632 | 199,515 | 26,818 | |||||||||||||
Transportation | ||||||||||||||||
ArcBest Corp. | USFF +0.250% | Weekly | MS | 08/29/25 | 110 | 9,437 | 13,223 | 4,963 | ||||||||
CH Robinson Worldwide, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 181 | 16,757 | 15,637 | 767 | ||||||||
CSX Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 755 | 21,858 | 26,176 | 6,656 | ||||||||
Delta Air Lines, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,140 | 36,256 | 45,862 | 13,183 | ||||||||
Expeditors International of Washington, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 87 | 9,132 | 11,066 | 3,011 | ||||||||
FedEx Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 439 | 106,585 | 111,054 | 14,727 | ||||||||
GXO Logistics, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 220 | 12,717 | 13,455 | 1,933 | ||||||||
Hub Group, Inc., Class A | USFF +0.250% | Weekly | MS | 01/05/26 | 67 | 5,017 | 6,160 | 1,761 | ||||||||
Kirby Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 68 | 5,218 | 5,337 | 590 | ||||||||
Landstar System, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 68 | 11,579 | 13,168 | 2,836 | ||||||||
Norfolk Southern Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 53 | 11,438 | 12,528 | 2,171 | ||||||||
Old Dominion Freight Line, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 31 | 12,049 | 12,565 | 1,677 | ||||||||
Ryder System, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 31 | 2,509 | 3,567 | 1,390 | ||||||||
SkyWest, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 840 | 36,834 | 43,848 | 10,474 | ||||||||
Uber Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 288 | 17,828 | 17,732 | 1,579 | ||||||||
Union Pacific Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 20 | 4,911 | 4,912 | 462 | ||||||||
United Parcel Service, Inc., Class B | USFF +0.250% | Weekly | MS | 07/11/28 | 29 | 4,560 | 4,560 | 26 | ||||||||
XPO, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 143 | 11,670 | 12,525 | 1,986 | ||||||||
4,570 | 336,355 | 373,375 | 70,192 | |||||||||||||
Utilities | ||||||||||||||||
ALLETE, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 751 | 43,182 | 45,931 | 7,528 | ||||||||
American Water Works Co., Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 100 | 13,593 | 13,199 | 1,051 | ||||||||
Atmos Energy Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 51 | 5,772 | 5,911 | 692 | ||||||||
Black Hills Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,028 | 55,238 | 55,461 | 5,959 | ||||||||
Constellation Energy Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 204 | 23,228 | 23,846 | 2,848 | ||||||||
Dominion Energy, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 755 | 35,032 | 35,485 | 4,179 | ||||||||
DTE Energy Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 9 | 988 | 992 | 97 | ||||||||
Duke Energy Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 132 | 11,541 | 12,809 | 2,757 | ||||||||
Entergy Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 401 | 39,186 | 40,577 | 5,674 |
130
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Utilities — (continued) | ||||||||||||||||
Fortis, Inc. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 646 | $26,318 | $26,570 | $2,802 | ||||||||
NextEra Energy, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 233 | 11,729 | 14,152 | 3,634 | ||||||||
NRG Energy, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,884 | 131,053 | 149,103 | 30,887 | ||||||||
ONE Gas, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 201 | 12,150 | 12,808 | 1,861 | ||||||||
Otter Tail Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 158 | 10,827 | 13,425 | 4,042 | ||||||||
PPL Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 637 | 15,940 | 17,263 | 2,961 | ||||||||
Public Service Enterprise Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 380 | 23,308 | 23,237 | 2,133 | ||||||||
Spire, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 203 | 12,556 | 12,655 | 1,389 | ||||||||
TransAlta Corp. (Canada) | USFF +0.250% | Weekly | MS | 07/11/28 | 130 | 1,057 | 1,080 | 125 | ||||||||
Vistra Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,715 | 46,399 | 66,062 | 25,126 | ||||||||
WEC Energy Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 21 | 1,739 | 1,768 | 192 | ||||||||
10,639 | 520,836 | 572,334 | 105,937 | |||||||||||||
Total Reference Entity — Long | 14,803,363 | 17,094,206 | 3,813,941 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Short | ||||||||||||||||
Automobiles & Components | ||||||||||||||||
Dana, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,514) | $(57,957) | $(65,950) | $(8,378) | ||||||||
Garrett Motion, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (42) | (405) | (406) | (3) | ||||||||
Gentherm, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (509) | (36,354) | (26,651) | 9,707 | ||||||||
Harley-Davidson, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (710) | (20,586) | (26,156) | (5,753) | ||||||||
LCI Industries | USFF -0.250% | Weekly | MS | 01/05/26 | (815) | (106,254) | (102,454) | 580 | ||||||||
Lucid Group, Inc. | USFF -5.555% | Weekly | MS | 01/10/28 | (25,773) | (174,210) | (108,504) | 64,940 | ||||||||
Luminar Technologies, Inc. | USFF -16.008% | Weekly | MS | 01/07/27 | (21,729) | (114,497) | (73,227) | 40,767 | ||||||||
Magna International, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (4,359) | (257,147) | (257,530) | (5,090) | ||||||||
Mobileye Global, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (2,275) | (85,787) | (98,553) | (13,872) | ||||||||
Phinia, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (269) | (8,159) | (8,148) | (25) | ||||||||
QuantumScape Corp. | USFF -0.780% | Weekly | MS | 07/11/28 | (7,440) | (43,493) | (51,708) | (8,406) | ||||||||
Tesla, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (460) | (117,446) | (114,301) | 2,692 | ||||||||
Winnebago Industries, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (718) | (45,673) | (52,328) | (7,076) | ||||||||
(69,613) | (1,067,968) | (985,916) | 70,083 | |||||||||||||
Capital Goods | ||||||||||||||||
3D Systems Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (14,890) | (136,105) | (94,552) | 40,589 | ||||||||
AAON, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,348) | (152,892) | (173,447) | (21,309) | ||||||||
AeroVironment, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (915) | (116,068) | (115,327) | 231 | ||||||||
AerSale Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,107) | (31,469) | (26,748) | 4,583 | ||||||||
Albany International Corp., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (1,581) | (145,251) | (155,286) | (11,580) |
131
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
Allegion PLC (Ireland) | USFF -0.250% | Weekly | MS | 07/11/28 | (2,021) | $(248,652) | $(256,040) | $(8,482) | ||||||||
Ameresco, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (4,941) | (214,409) | (156,481) | 56,985 | ||||||||
Archer Aviation, Inc., Class A | USFF -4.830% | Weekly | MS | 07/11/28 | (1,394) | (8,950) | (8,559) | 352 | ||||||||
Arcosa, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,021) | (77,573) | (84,375) | (7,144) | ||||||||
Argan, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (21) | (999) | (983) | 12 | ||||||||
Astec Industries, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | (215) | (7,199) | (7,998) | (833) | ||||||||
Ballard Power Systems, Inc. (Canada) | USFF -1.184% | Weekly | MS | 01/05/26 | (30,697) | (263,694) | (113,579) | 148,915 | ||||||||
Barnes Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (883) | (24,698) | (28,812) | (4,257) | ||||||||
Bloom Energy Corp., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (3,778) | (64,768) | (55,914) | 8,438 | ||||||||
ChargePoint Holdings, Inc. | USFF -4.526% | Weekly | MS | 01/10/28 | (31,585) | (150,709) | (73,909) | 76,137 | ||||||||
Chart Industries, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (511) | (77,566) | (69,665) | 7,560 | ||||||||
Construction Partners, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (740) | (23,494) | (32,205) | (9,438) | ||||||||
Distribution Solutions Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (54) | (1,469) | (1,704) | (242) | ||||||||
Dover Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,247) | (181,913) | (191,801) | (11,986) | ||||||||
Ducommun, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (268) | (12,044) | (13,952) | (1,961) | ||||||||
Dycom Industries, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,559) | (166,954) | (179,425) | (13,205) | ||||||||
Energy Recovery, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,149) | (29,776) | (21,647) | 8,241 | ||||||||
Enovix Corp. | USFF -0.780% | Weekly | MS | 01/10/28 | (1,916) | (37,260) | (23,988) | 13,107 | ||||||||
ESCO Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (151) | (16,513) | (17,672) | (1,232) | ||||||||
Federal Signal Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (889) | (54,254) | (68,222) | (14,904) | ||||||||
FuelCell Energy, Inc. | USFF -1.054% | Weekly | MS | 01/10/28 | (30,043) | (57,639) | (48,069) | 9,243 | ||||||||
GATX Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,343) | (156,357) | (161,455) | (6,877) | ||||||||
Generac Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (667) | (101,942) | (86,203) | 15,116 | ||||||||
GMS, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (211) | (17,326) | (17,393) | (143) | ||||||||
GrafTech International Ltd. | USFF -0.250% | Weekly | MS | 07/08/27 | (19,341) | (91,529) | (42,357) | 48,549 | ||||||||
Granite Construction, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,253) | (50,531) | (63,728) | (14,174) | ||||||||
Hayward Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,060) | (53,719) | (55,216) | (1,734) | ||||||||
Helios Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,216) | (70,826) | (55,146) | 15,210 | ||||||||
Herc Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,696) | (256,717) | (252,517) | (5,335) | ||||||||
Hexcel Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,315) | (303,095) | (318,231) | (17,428) | ||||||||
Hillenbrand, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,475) | (71,759) | (70,579) | (570) | ||||||||
JELD-WEN Holding, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (4,721) | (103,616) | (89,132) | 13,950 |
132
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
John Bean Technologies Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (589) | $(65,010) | $(58,576) | $5,998 | ||||||||
Johnson Controls International PLC (Ireland) | USFF -0.250% | Weekly | MS | 07/11/28 | (520) | (29,504) | (29,973) | (1,722) | ||||||||
Kadant, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (120) | (27,166) | (33,637) | (6,676) | ||||||||
Kratos Defense & Security Solutions, Inc. | USFF -0.250% | Weekly | MS | 08/29/25 | (3,652) | (81,958) | (74,099) | 7,473 | ||||||||
L3Harris Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,297) | (239,745) | (273,174) | (40,416) | ||||||||
MasTec, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,849) | (155,275) | (140,006) | 14,343 | ||||||||
Mercury Systems, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (3,305) | (213,967) | (120,864) | 92,163 | ||||||||
Moog, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (835) | (94,558) | (120,891) | (27,708) | ||||||||
MRC Global, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (4,919) | (52,669) | (54,158) | (1,779) | ||||||||
Mueller Water Products, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (6,696) | (83,734) | (96,422) | (15,474) | ||||||||
MYR Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (613) | (81,058) | (88,658) | (7,957) | ||||||||
Nikola Corp. | USFF -4.769% | Weekly | MS | 07/11/28 | (11,630) | (10,221) | (10,174) | 2 | ||||||||
Nordson Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (955) | (238,774) | (252,273) | (14,897) | ||||||||
NOW, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,972) | (33,411) | (33,643) | (379) | ||||||||
Oshkosh Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,332) | (124,306) | (144,402) | (21,355) | ||||||||
PGT Innovations, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,388) | (72,451) | (97,192) | (25,060) | ||||||||
Plug Power, Inc. | USFF -3.846% | Weekly | MS | 01/10/28 | (17,709) | (148,134) | (79,691) | 67,792 | ||||||||
Primoris Services Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,530) | (40,802) | (50,811) | (11,449) | ||||||||
RBC Bearings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (150) | (38,441) | (42,734) | (4,461) | ||||||||
Regal Rexnord Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (841) | (115,569) | (124,485) | (10,239) | ||||||||
Resideo Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,118) | (64,617) | (58,681) | 5,597 | ||||||||
Rocket Lab USA, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (17,637) | (79,069) | (97,533) | (19,311) | ||||||||
Rush Enterprises, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (1,938) | (74,789) | (97,481) | (23,628) | ||||||||
Sensata Technologies Holding PLC (United Kingdom) | USFF -0.250% | Weekly | MS | 07/11/28 | (712) | (27,080) | (26,750) | 126 | ||||||||
SES AI Corp. | USFF -2.520% | Weekly | MS | 07/11/28 | (71) | (141) | (130) | 10 | ||||||||
SiteOne Landscape Supply, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,418) | (351,583) | (392,925) | (42,888) | ||||||||
Spirit AeroSystems Holdings, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (2,319) | (55,725) | (73,698) | (18,828) | ||||||||
Sunrun, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,914) | (95,385) | (96,462) | (2,522) | ||||||||
Titan Machinery, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,751) | (54,098) | (50,569) | 3,285 | ||||||||
Toro Co. (The) | USFF -0.250% | Weekly | MS | 07/11/28 | (2,819) | (239,670) | (270,596) | (32,954) | ||||||||
Transcat, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (81) | (7,870) | (8,856) | (1,021) |
133
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
Valmont Industries, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (149) | $(33,200) | $(34,793) | $(1,829) | ||||||||
Vicor Corp. | USFF -0.250% | Weekly | MS | 08/29/25 | (495) | (51,825) | (22,245) | 29,351 | ||||||||
Watsco, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (156) | (58,905) | (66,841) | (8,377) | ||||||||
WillScot Mobile Mini Holdings Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (10,041) | (392,822) | (446,825) | (55,729) | ||||||||
Xometry, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (1,979) | (62,565) | (71,066) | (9,337) | ||||||||
Xylem, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | (1,003) | (108,530) | (114,703) | (7,594) | ||||||||
(292,725) | (7,284,362) | (7,088,334) | 126,934 | |||||||||||||
Commercial & Professional Services | ||||||||||||||||
ABM Industries, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,110) | (95,780) | (94,591) | (736) | ||||||||
Alight, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (2,042) | (19,802) | (17,418) | 2,450 | ||||||||
CACI International, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (117) | (38,789) | (37,892) | 751 | ||||||||
Casella Waste Systems, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (2,427) | (196,296) | (207,411) | (11,978) | ||||||||
CBIZ, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,134) | (61,966) | (70,977) | (9,294) | ||||||||
Clarivate PLC (Jersey) | USFF -0.250% | Weekly | MS | 07/11/28 | (18,795) | (139,413) | (174,042) | (35,241) | ||||||||
Clean Harbors, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (381) | (61,818) | (66,488) | (5,071) | ||||||||
Conduent, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (7,008) | (33,027) | (25,579) | 7,302 | ||||||||
CSG Systems International, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (437) | (26,602) | (23,253) | 2,723 | ||||||||
Driven Brands Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,800) | (56,203) | (25,668) | 30,288 | ||||||||
Equifax, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,330) | (517,430) | (576,186) | (63,136) | ||||||||
Exponent, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,291) | (202,966) | (201,700) | (547) | ||||||||
FTI Consulting, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,518) | (289,808) | (302,310) | (14,664) | ||||||||
GFL Environmental, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (7,483) | (228,844) | (258,238) | (30,401) | ||||||||
Healthcare Services Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,494) | (18,599) | (15,493) | 3,062 | ||||||||
HNI Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (579) | (19,954) | (24,220) | (4,739) | ||||||||
Kforce, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (603) | (36,729) | (40,739) | (4,750) | ||||||||
Korn Ferry | USFF -0.250% | Weekly | MS | 07/11/28 | (498) | (25,280) | (29,556) | (4,957) | ||||||||
Matthews International Corp., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (167) | (5,972) | (6,121) | (181) | ||||||||
Maximus, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (605) | (50,936) | (50,735) | (16) | ||||||||
Montrose Environmental Group, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (536) | (22,831) | (17,222) | 5,509 | ||||||||
Paychex, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,436) | (172,157) | (171,042) | 359 | ||||||||
Paycom Software, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (661) | (159,787) | (136,642) | 22,325 | ||||||||
Paycor HCM, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,086) | (23,962) | (23,447) | 410 |
134
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Commercial & Professional Services — (continued) | ||||||||||||||||
Paylocity Holding Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (735) | $(158,587) | $(121,165) | $36,935 | ||||||||
RB Global, Inc. (Canada) | USFF +0.250% | Weekly | MS | 01/05/26 | (5,539) | (335,223) | (370,504) | (39,460) | ||||||||
Stericycle, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,500) | (69,664) | (74,340) | (5,144) | ||||||||
Sterling Check Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (19) | (263) | (264) | (2) | ||||||||
TransUnion | USFF -0.250% | Weekly | MS | 07/11/28 | (4,451) | (305,883) | (305,828) | (1,290) | ||||||||
UniFirst Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (263) | (49,094) | (48,105) | 220 | ||||||||
Verra Mobility Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,672) | (91,793) | (107,596) | (16,862) | ||||||||
(74,717) | (3,515,458) | (3,624,772) | (136,135) | |||||||||||||
Consumer Discretionary Distribution & Retail | ||||||||||||||||
Advance Auto Parts, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,265) | (190,229) | (77,203) | 107,587 | ||||||||
American Eagle Outfitters, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (999) | (17,233) | (21,139) | (4,706) | ||||||||
Arko Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,456) | (11,130) | (12,012) | (954) | ||||||||
Asbury Automotive Group, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,520) | (323,383) | (341,954) | (19,993) | ||||||||
Bath & Body Works, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,845) | (200,604) | (209,110) | (9,388) | ||||||||
Buckle, Inc. (The) | USFF -0.250% | Weekly | MS | 07/11/28 | (1,318) | (58,156) | (62,631) | (4,731) | ||||||||
Caleres, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,491) | (66,697) | (76,548) | (11,202) | ||||||||
CarMax, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (798) | (61,837) | (61,239) | 326 | ||||||||
Chico's FAS, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,300) | (32,170) | (32,594) | (581) | ||||||||
Dillard's, Inc., Class A | USFF -0.630% | Weekly | MS | 07/11/28 | (207) | (76,821) | (83,556) | (9,919) | ||||||||
Five Below, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (450) | (80,671) | (95,922) | (15,821) | ||||||||
Foot Locker, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,742) | (126,369) | (116,563) | 5,711 | ||||||||
Guess?, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,256) | (29,189) | (28,963) | (406) | ||||||||
Leslie's, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (5,431) | (84,979) | (37,528) | 47,077 | ||||||||
Macy's, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,571) | (44,382) | (71,849) | (28,252) | ||||||||
MarineMax, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,206) | (64,707) | (85,813) | (21,415) | ||||||||
Murphy USA, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (454) | (164,354) | (161,878) | 1,431 | ||||||||
National Vision Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,365) | (59,878) | (28,569) | 34,760 | ||||||||
Nordstrom, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,712) | (58,461) | (68,486) | (10,404) | ||||||||
Ollie's Bargain Outlet Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (474) | (34,910) | (35,972) | (1,216) | ||||||||
Penske Automotive Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | (1,093) | (186,499) | (175,437) | 8,838 | ||||||||
Petco Health & Wellness Co., Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,637) | (15,551) | (14,653) | 762 | ||||||||
RH | USFF -0.250% | Weekly | MS | 01/10/28 | (199) | (57,689) | (58,005) | (570) | ||||||||
Sally Beauty Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (280) | (5,893) | (3,718) | 2,148 | ||||||||
Shoe Carnival, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (904) | (22,476) | (27,310) | (5,043) | ||||||||
Sonic Automotive, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (1,375) | (72,121) | (77,289) | (5,797) |
135
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Discretionary Distribution & Retail — (continued) | ||||||||||||||||
Victoria's Secret & Co. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,709) | $(150,980) | $(98,437) | $51,625 | ||||||||
Warby Parker, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (1,499) | (16,547) | (21,136) | (4,760) | ||||||||
(55,556) | (2,313,916) | (2,185,514) | 105,107 | |||||||||||||
Consumer Durables & Apparel | ||||||||||||||||
Acushnet Holdings Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (498) | (25,876) | (31,459) | (6,781) | ||||||||
BRP, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/07/27 | (235) | (17,560) | (16,847) | 533 | ||||||||
Brunswick Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (663) | (63,919) | (64,145) | (507) | ||||||||
Capri Holdings Ltd. (British Virgin Islands) | USFF -0.250% | Weekly | MS | 07/11/28 | (6,704) | (325,820) | (336,809) | (12,834) | ||||||||
Columbia Sportswear Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (295) | (26,816) | (23,464) | 2,886 | ||||||||
Ethan Allen Interiors, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (121) | (3,738) | (3,862) | (141) | ||||||||
Gildan Activewear, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (3,528) | (108,415) | (116,636) | (10,486) | ||||||||
iRobot Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (365) | (13,882) | (14,126) | (305) | ||||||||
Levi Strauss & Co, Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (24,544) | (371,738) | (405,958) | (41,532) | ||||||||
Malibu Boats, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (115) | (6,179) | (6,304) | (152) | ||||||||
Movado Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (111) | (3,288) | (3,347) | (76) | ||||||||
Newell Brands, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,917) | (28,041) | (16,640) | 10,779 | ||||||||
Oxford Industries, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (217) | (25,196) | (21,700) | 2,962 | ||||||||
Polaris, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (147) | (14,038) | (13,931) | 45 | ||||||||
Sonos, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,970) | (84,234) | (85,186) | (1,790) | ||||||||
Sturm Ruger & Co., Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (58) | (2,639) | (2,636) | (9) | ||||||||
Tempur Sealy International, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (115) | (5,897) | (5,862) | (83) | ||||||||
Topgolf Callaway Brands Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (6,638) | (182,501) | (95,189) | 86,510 | ||||||||
Under Armour, Inc., Class C | USFF -0.250% | Weekly | MS | 07/11/28 | (13,739) | (95,667) | (114,721) | (20,035) | ||||||||
VF Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (5,116) | (148,470) | (96,181) | 47,214 | ||||||||
Whirlpool Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (167) | (26,349) | (20,336) | 6,339 | ||||||||
Wolverine World Wide, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (4,041) | (100,326) | (35,924) | 61,240 | ||||||||
(74,304) | (1,680,589) | (1,531,263) | 123,777 | |||||||||||||
Consumer Services | ||||||||||||||||
Airbnb, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (1,131) | (165,319) | (153,974) | 11,236 | ||||||||
Bally's Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,048) | (66,986) | (14,609) | 52,124 | ||||||||
Bloomin' Brands, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,891) | (50,012) | (53,232) | (3,582) | ||||||||
Boyd Gaming Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (736) | (44,039) | (46,081) | (2,518) |
136
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Services — (continued) | ||||||||||||||||
Chegg, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (11,615) | $(199,484) | $(131,946) | $66,526 | ||||||||
Churchill Downs, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,747) | (209,675) | (235,723) | (27,575) | ||||||||
Coursera, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (63) | (1,229) | (1,220) | 3 | ||||||||
Cracker Barrel Old Country Store, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (830) | (71,090) | (63,976) | 5,922 | ||||||||
Dave & Buster's Entertainment, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (625) | (32,249) | (33,656) | (1,549) | ||||||||
Dine Brands Global, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (524) | (23,982) | (26,017) | (2,408) | ||||||||
Domino's Pizza, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (47) | (19,078) | (19,375) | (438) | ||||||||
Expedia Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (401) | (53,221) | (60,868) | (8,431) | ||||||||
First Watch Restaurant Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (884) | (16,384) | (17,768) | (1,457) | ||||||||
Hyatt Hotels Corp., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (1,593) | (184,598) | (207,743) | (24,287) | ||||||||
Jack in the Box, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (567) | (44,107) | (46,284) | (2,598) | ||||||||
Krispy Kreme, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (11,521) | (159,236) | (173,852) | (15,979) | ||||||||
Life Time Group Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,088) | (16,266) | (16,407) | (213) | ||||||||
Marriott Vacations Worldwide Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (418) | (33,458) | (35,484) | (2,438) | ||||||||
Mister Car Wash, Inc. | USFF -0.580% | Weekly | MS | 07/06/26 | (12,033) | (127,356) | (103,965) | 22,831 | ||||||||
Norwegian Cruise Line Holdings Ltd. (Bermuda) | USFF -0.250% | Weekly | MS | 07/11/28 | (1,657) | (22,952) | (33,206) | (10,355) | ||||||||
OneSpaWorld Holdings Ltd. (Bahamas) | USFF -0.250% | Weekly | MS | 07/11/28 | (296) | (4,148) | (4,174) | (44) | ||||||||
Papa John's International, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (429) | (36,440) | (32,703) | 3,182 | ||||||||
Portillo's, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (6,532) | (129,000) | (104,055) | 24,378 | ||||||||
Red Rock Resorts, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (6,154) | (270,946) | (328,193) | (67,759) | ||||||||
Sweetgreen, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (789) | (8,836) | (8,916) | (118) | ||||||||
Texas Roadhouse, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,041) | (112,741) | (127,241) | (15,784) | ||||||||
Wingstop, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (861) | (158,919) | (220,915) | (66,366) | ||||||||
WW International, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (8,389) | (78,114) | (73,404) | 4,367 | ||||||||
Wyndham Hotels & Resorts, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (437) | (32,513) | (35,139) | (2,923) | ||||||||
(75,347) | (2,372,378) | (2,410,126) | (66,253) | |||||||||||||
Consumer Staples Distribution & Retail | ||||||||||||||||
Casey's General Stores, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (831) | (227,483) | (228,309) | (1,856) |
137
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Staples Distribution & Retail — (continued) | ||||||||||||||||
Chefs' Warehouse, Inc. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (3,579) | $(117,170) | $(105,330) | $11,190 | ||||||||
Performance Food Group Co. | USFF -0.250% | Weekly | MS | 07/11/28 | (572) | (38,873) | (39,554) | (852) | ||||||||
SpartanNash Co. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,086) | (66,998) | (47,874) | 17,120 | ||||||||
United Natural Foods, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,744) | (151,108) | (60,765) | 93,035 | ||||||||
Weis Markets, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (104) | (6,515) | (6,652) | (165) | ||||||||
(10,916) | (608,147) | (488,484) | 118,472 | |||||||||||||
Energy | ||||||||||||||||
Atlas Energy Solutions, Inc. | USFF -0.630% | Weekly | MS | 07/11/28 | (2,220) | (38,280) | (38,228) | (117) | ||||||||
Baytex Energy Corp. (Canada) | USFF -0.865% | Weekly | MS | 07/08/27 | (47,383) | (160,404) | (157,312) | 1,439 | ||||||||
Cactus, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (3,178) | (151,086) | (144,281) | 4,946 | ||||||||
Chevron Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,308) | (196,809) | (195,101) | (2,945) | ||||||||
Civitas Resources, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,783) | (328,101) | (327,062) | (6,981) | ||||||||
Clean Energy Fuels Corp. | USFF -0.268% | Weekly | MS | 01/07/27 | (22,800) | (93,807) | (87,324) | 6,071 | ||||||||
Comstock Resources, Inc. | USFF -0.580% | Weekly | MS | 01/10/28 | (26,255) | (280,523) | (232,357) | 42,519 | ||||||||
Core Laboratories, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,886) | (53,397) | (33,307) | 19,861 | ||||||||
Crescent Energy Co., Class A | USFF -0.680% | Weekly | MS | 07/11/28 | (1,663) | (19,371) | (21,968) | (2,682) | ||||||||
Crescent Point Energy Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (11,922) | (81,320) | (82,619) | (2,244) | ||||||||
Denison Mines Corp. (Canada) | USFF -0.730% | Weekly | MS | 01/07/27 | (39,758) | (47,006) | (70,372) | (23,572) | ||||||||
Diamond Offshore Drilling, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (8,413) | (121,156) | (109,369) | 11,144 | ||||||||
Dril-Quip, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,029) | (23,059) | (23,945) | (987) | ||||||||
DT Midstream, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,483) | (225,649) | (245,668) | (31,590) | ||||||||
Energy Fuels, Inc. (Canada) | USFF -1.230% | Weekly | MS | 01/10/28 | (7,820) | (53,561) | (56,226) | (2,901) | ||||||||
Green Plains, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,916) | (58,707) | (48,322) | 10,127 | ||||||||
Hess Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (272) | (43,257) | (39,212) | 3,736 | ||||||||
Kinetik Holdings, Inc. | USFF -0.730% | Weekly | MS | 01/07/27 | (3,248) | (119,634) | (108,483) | (1,840) | ||||||||
Kosmos Energy Ltd. | USFF -0.250% | Weekly | MS | 07/11/28 | (13,939) | (104,279) | (93,531) | 10,306 | ||||||||
Marathon Oil Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,301) | (59,413) | (55,592) | 3,175 | ||||||||
New Fortress Energy, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,238) | (157,683) | (122,170) | 23,635 | ||||||||
NexGen Energy Ltd. (Canada) | USFF -0.250% | Weekly | MS | 01/07/27 | (40,328) | (245,256) | (282,296) | (38,119) | ||||||||
NextDecade Corp. | USFF -0.865% | Weekly | MS | 07/11/28 | (1,574) | (7,607) | (7,508) | 66 |
138
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Energy — (continued) | ||||||||||||||||
Noble Corp. PLC (United Kingdom) | USFF -0.250% | Weekly | MS | 07/11/28 | (1,063) | $(47,943) | $(51,194) | $(3,462) | ||||||||
Northern Oil and Gas, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (6,762) | (244,803) | (250,667) | (10,577) | ||||||||
NOV, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (9,852) | (178,105) | (199,799) | (24,257) | ||||||||
Oceaneering International, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,758) | (68,939) | (58,690) | 9,946 | ||||||||
ONEOK, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (12,919) | (858,550) | (907,172) | (52,382) | ||||||||
Ovintiv, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (9,779) | (437,125) | (429,494) | 2,248 | ||||||||
Patterson-UTI Energy, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (23,163) | (256,932) | (250,160) | 5,621 | ||||||||
ProFrac Holding Corp., Class A | USFF -0.580% | Weekly | MS | 07/08/27 | (6,194) | (89,499) | (52,525) | 36,581 | ||||||||
ProPetro Holding Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (17,893) | (160,393) | (149,943) | 9,744 | ||||||||
Range Resources Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (937) | (33,127) | (28,522) | 4,572 | ||||||||
REX American Resources Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (16) | (763) | (757) | 3 | ||||||||
RPC, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,650) | (40,001) | (33,852) | 5,805 | ||||||||
Select Water Solutions, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,981) | (31,185) | (30,216) | 236 | ||||||||
SFL Corp. Ltd. (Bermuda) | USFF -0.250% | Weekly | MS | 01/10/28 | (3,605) | (39,459) | (40,664) | (3,163) | ||||||||
SilverBow Resources, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,779) | (73,953) | (51,733) | 21,894 | ||||||||
Southwestern Energy Co. | USFF -0.250% | Weekly | MS | 07/11/28 | (13,466) | (93,613) | (88,202) | 5,019 | ||||||||
Talos Energy, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (8,540) | (119,119) | (121,524) | (2,928) | ||||||||
TC Energy Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (10,449) | (382,104) | (408,451) | (37,549) | ||||||||
Tidewater, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (490) | (33,856) | (35,334) | (1,627) | ||||||||
Valaris Ltd. (Bermuda) | USFF -0.250% | Weekly | MS | 07/11/28 | (1,938) | (133,241) | (132,889) | (233) | ||||||||
Vermilion Energy, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (8,638) | (110,971) | (104,174) | 4,813 | ||||||||
Vital Energy, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,474) | (80,187) | (67,052) | 12,782 | ||||||||
World Kinect Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (5,088) | (125,397) | (115,905) | 6,316 | ||||||||
(407,151) | (6,308,630) | (6,191,172) | 12,449 | |||||||||||||
Financial Services | ||||||||||||||||
FleetCor Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (542) | (151,026) | (153,175) | (2,812) | ||||||||
Jack Henry & Associates, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (496) | (81,999) | (81,051) | 464 | ||||||||
MSCI, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (262) | (146,391) | (148,200) | (2,453) | ||||||||
Nuvei Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (212) | (5,602) | (5,567) | 10 | ||||||||
Open Lending Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (447) | (3,271) | (3,804) | (547) | ||||||||
Remitly Global, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (8,413) | (170,123) | (163,380) | 5,995 |
139
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Financial Services — (continued) | ||||||||||||||||
Toast, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (7,813) | $(113,660) | $(142,665) | $(34,306) | ||||||||
WEX, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (199) | (38,961) | (38,715) | 74 | ||||||||
(18,384) | (711,033) | (736,557) | (33,575) | |||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||
Brown-Forman Corp., Class B | USFF -0.250% | Weekly | MS | 07/11/28 | (2,255) | (144,289) | (128,761) | 14,330 | ||||||||
Darling Ingredients, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (7,854) | (550,210) | (391,443) | 156,227 | ||||||||
Duckhorn Portfolio, Inc. (The) | USFF -0.250% | Weekly | MS | 07/11/28 | (854) | (8,073) | (8,412) | (375) | ||||||||
Flowers Foods, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,391) | (112,419) | (98,841) | 10,420 | ||||||||
Hain Celestial Group, Inc. (The) | USFF -0.250% | Weekly | MS | 07/08/27 | (7,731) | (150,644) | (84,654) | 66,135 | ||||||||
J & J Snack Foods Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (97) | (15,520) | (16,213) | (1,388) | ||||||||
Lamb Weston Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (335) | (32,629) | (36,210) | (3,800) | ||||||||
Mission Produce, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (656) | (9,551) | (6,619) | 2,874 | ||||||||
Pilgrim's Pride Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (5,964) | (148,741) | (164,964) | (17,152) | ||||||||
Post Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (438) | (39,378) | (38,570) | 698 | ||||||||
Tyson Foods, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (15,472) | (819,072) | (831,620) | (31,910) | ||||||||
Utz Brands, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,801) | (40,966) | (29,248) | 10,680 | ||||||||
(47,848) | (2,071,492) | (1,835,555) | 206,739 | |||||||||||||
Health Care Equipment & Services | ||||||||||||||||
Abbott Laboratories | USFF -0.250% | Weekly | MS | 07/11/28 | (249) | (26,014) | (27,407) | (1,401) | ||||||||
Acadia Healthcare Co., Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,108) | (234,346) | (241,678) | (8,362) | ||||||||
AdaptHealth Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (3,518) | (86,896) | (25,646) | 62,510 | ||||||||
Agiliti, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,366) | (25,538) | (10,819) | 15,014 | ||||||||
agilon health, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,940) | (76,106) | (61,997) | 13,774 | ||||||||
Alcon, Inc. (Switzerland) | USFF -0.250% | Weekly | MS | 07/11/28 | (435) | (36,854) | (33,982) | 2,592 | ||||||||
Align Technology, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (320) | (88,542) | (87,680) | 472 | ||||||||
Alphatec Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,282) | (53,736) | (64,701) | (11,647) | ||||||||
Amedisys, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,524) | (141,180) | (144,871) | (4,400) | ||||||||
Bausch + Lomb Corp. (Canada) | USFF -4.330% | Weekly | MS | 07/11/28 | (686) | (10,723) | (11,703) | (1,027) | ||||||||
Boston Scientific Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (681) | (37,320) | (39,369) | (2,212) | ||||||||
Chemed Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (68) | (35,180) | (39,763) | (5,212) | ||||||||
Cooper Cos., Inc. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (390) | (147,107) | (147,592) | (1,215) | ||||||||
CorVel Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (10) | (2,486) | (2,472) | 3 | ||||||||
DENTSPLY SIRONA, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,710) | (106,769) | (96,449) | 9,047 | ||||||||
DocGo, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,644) | (12,165) | (9,190) | 2,922 |
140
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Health Care Equipment & Services — (continued) | ||||||||||||||||
Doximity, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (4,205) | $(150,532) | $(117,908) | $31,962 | ||||||||
Edwards Lifesciences Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,872) | (218,275) | (218,990) | (1,674) | ||||||||
Ensign Group, Inc. (The) | USFF -0.250% | Weekly | MS | 07/11/28 | (568) | (55,635) | (63,735) | (8,464) | ||||||||
Envista Holdings Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,062) | (43,083) | (25,552) | 17,342 | ||||||||
Glaukos Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (448) | (21,635) | (35,612) | (14,072) | ||||||||
Globus Medical, Inc., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (8,791) | (428,690) | (468,472) | (41,666) | ||||||||
GoodRx Holdings, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (716) | (4,598) | (4,797) | (220) | ||||||||
ICU Medical, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (345) | (60,842) | (34,410) | 26,164 | ||||||||
IDEXX Laboratories, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | (313) | (167,833) | (173,731) | (7,051) | ||||||||
Inspire Medical Systems, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (961) | (136,902) | (195,496) | (62,879) | ||||||||
Insulet Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (465) | (106,983) | (100,896) | 5,617 | ||||||||
Integra LifeSciences Holdings Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,068) | (81,835) | (90,061) | (8,587) | ||||||||
Intuitive Surgical, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (282) | (89,533) | (95,136) | (5,996) | ||||||||
LifeStance Health Group, Inc. | USFF -0.680% | Weekly | MS | 01/07/27 | (7,222) | (55,058) | (56,548) | (1,733) | ||||||||
LivaNova PLC (United Kingdom) | USFF -0.250% | Weekly | MS | 07/11/28 | (2,030) | (99,031) | (105,032) | (6,437) | ||||||||
Masimo Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (4,352) | (489,454) | (510,098) | (22,796) | ||||||||
Merit Medical Systems, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,162) | (81,222) | (88,266) | (7,519) | ||||||||
Multiplan Corp. | USFF -0.267% | Weekly | MS | 07/11/28 | (5,454) | (9,199) | (7,854) | 1,305 | ||||||||
Neogen Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (7,026) | (124,201) | (141,293) | (17,638) | ||||||||
Nevro Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (5,465) | (184,350) | (117,607) | 65,896 | ||||||||
Novocure Ltd. (Jersey) | USFF -0.250% | Weekly | MS | 01/10/28 | (17,726) | (423,877) | (264,649) | 157,364 | ||||||||
Omnicell, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (424) | (50,832) | (15,955) | 36,759 | ||||||||
Option Care Health, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,803) | (127,208) | (128,123) | (1,475) | ||||||||
PROCEPT BioRobotics Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,040) | (70,522) | (85,496) | (15,794) | ||||||||
QuidelOrtho Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (3,203) | (284,221) | (236,061) | 47,276 | ||||||||
RadNet, Inc. | USFF -0.250% | Weekly | MS | 08/29/25 | (1,875) | (49,695) | (65,194) | (16,796) | ||||||||
ResMed, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (6) | (1,447) | (1,032) | 397 | ||||||||
Schrodinger, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (3,218) | (151,389) | (115,204) | 35,338 | ||||||||
Select Medical Holdings Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,200) | (34,110) | (28,200) | 5,277 | ||||||||
Shockwave Medical, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (770) | (163,274) | (146,731) | 16,044 |
141
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Health Care Equipment & Services — (continued) | ||||||||||||||||
Simulations Plus, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (24) | $(1,077) | $(1,074) | $(2) | ||||||||
STAAR Surgical Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,106) | (113,895) | (65,728) | 47,666 | ||||||||
Stryker Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (74) | (21,942) | (22,160) | (374) | ||||||||
Tandem Diabetes Care, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (3,514) | (197,426) | (103,944) | 91,918 | ||||||||
Teladoc Health, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,646) | (44,274) | (57,021) | (13,213) | ||||||||
TransMedics Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (481) | (23,404) | (37,965) | (15,268) | ||||||||
Treace Medical Concepts, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,761) | (56,913) | (47,953) | 8,710 | ||||||||
Universal Health Services, Inc., Class B | USFF -0.250% | Weekly | MS | 07/11/28 | (207) | (27,064) | (31,555) | (4,838) | ||||||||
US Physical Therapy, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (353) | (39,456) | (32,878) | 5,556 | ||||||||
(129,169) | (5,611,879) | (5,183,736) | 396,957 | |||||||||||||
Household & Personal Products | ||||||||||||||||
Central Garden & Pet Co., Class A | USFF -0.250% | Weekly | MS | 07/06/26 | (327) | (14,886) | (14,401) | 411 | ||||||||
Edgewell Personal Care Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (562) | (24,566) | (20,586) | 3,565 | ||||||||
Estee Lauder Cos., Inc. (The), Class A | USFF +0.250% | Weekly | MS | 01/10/28 | (4,902) | (661,568) | (716,918) | (60,487) | ||||||||
Inter Parfums, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (353) | (49,386) | (50,836) | (1,949) | ||||||||
Olaplex Holdings, Inc. | USFF -0.269% | Weekly | MS | 07/06/26 | (1,593) | (20,973) | (4,046) | 16,835 | ||||||||
(7,737) | (771,379) | (806,787) | (41,625) | |||||||||||||
Materials | ||||||||||||||||
AdvanSix, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (301) | (8,134) | (9,018) | (928) | ||||||||
Agnico Eagle Mines Ltd. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (4,439) | (215,988) | (243,479) | (29,933) | ||||||||
Air Products and Chemicals, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,765) | (491,194) | (483,257) | 2,733 | ||||||||
Albemarle Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (772) | (146,467) | (111,539) | 33,794 | ||||||||
Alcoa Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,741) | (78,070) | (59,194) | 18,429 | ||||||||
Algoma Steel Group, Inc. (Canada) | USFF -3.080% | Weekly | MS | 01/10/28 | (6,021) | (47,686) | (60,391) | (14,033) | ||||||||
Arch Resources, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (106) | (17,682) | (17,590) | (119) | ||||||||
Ashland, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (4,639) | (432,472) | (391,114) | 34,735 | ||||||||
Balchem Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (110) | (15,536) | (16,363) | (1,048) | ||||||||
Cabot Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (490) | (37,625) | (40,915) | (4,601) | ||||||||
Celanese Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (784) | (98,111) | (121,810) | (26,208) | ||||||||
Coeur Mining, Inc. | USFF -0.282% | Weekly | MS | 07/06/26 | (80,027) | (375,724) | (260,888) | 113,055 | ||||||||
Compass Minerals International, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (515) | (12,759) | (13,040) | (385) | ||||||||
Corteva, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (5,241) | (328,548) | (251,149) | 72,863 | ||||||||
DuPont de Nemours, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,361) | (104,582) | (104,702) | (418) |
142
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Materials — (continued) | ||||||||||||||||
Ecovyst, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,025) | $(20,123) | $(19,784) | $246 | ||||||||
Element Solutions, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,531) | (49,504) | (58,567) | (9,452) | ||||||||
Equinox Gold Corp. (Canada) | USFF -0.267% | Weekly | MS | 08/29/25 | (29,222) | (232,247) | (142,896) | 88,331 | ||||||||
ERO Copper Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (18) | (285) | (284) | — | ||||||||
First Majestic Silver Corp. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (6,996) | (50,953) | (43,025) | 7,596 | ||||||||
FMC Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (8,680) | (563,824) | (547,274) | 7,603 | ||||||||
Freeport-McMoRan, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,066) | (114,129) | (130,520) | (27,231) | ||||||||
Ginkgo Bioworks Holdings, Inc. | USFF -1.552% | Weekly | MS | 07/11/28 | (39,520) | (64,881) | (66,789) | (2,561) | ||||||||
Graphic Packaging Holding Co. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,606) | (80,147) | (88,888) | (9,809) | ||||||||
Hecla Mining Co. | USFF -0.266% | Weekly | MS | 07/08/27 | (19,728) | (107,795) | (94,892) | 12,229 | ||||||||
Hudbay Minerals, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (58) | (319) | (320) | (2) | ||||||||
Huntsman Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,137) | (28,115) | (28,573) | (949) | ||||||||
IAMGOLD Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (7,673) | (19,209) | (19,413) | (288) | ||||||||
Ingevity Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,463) | (157,474) | (116,303) | 40,513 | ||||||||
Ivanhoe Electric, Inc. | USFF -0.830% | Weekly | MS | 07/11/28 | (273) | (2,843) | (2,752) | 79 | ||||||||
Kaiser Aluminum Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (324) | (22,681) | (23,066) | (1,199) | ||||||||
Louisiana-Pacific Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,786) | (111,728) | (126,502) | (16,910) | ||||||||
MAG Silver Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (1,190) | (12,717) | (12,388) | 273 | ||||||||
Mativ Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,426) | (40,163) | (21,832) | 15,836 | ||||||||
Methanex Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/08/27 | (2,664) | (115,975) | (126,167) | (12,615) | ||||||||
MP Materials Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (6,543) | (170,817) | (129,879) | 39,732 | ||||||||
Novagold Resources, Inc. (Canada) | USFF -0.264% | Weekly | MS | 07/08/27 | (5,434) | (26,256) | (20,323) | 5,817 | ||||||||
Nutrien Ltd. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (2,554) | (166,369) | (143,867) | 19,164 | ||||||||
O-I Glass, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,445) | (67,036) | (56,429) | 10,514 | ||||||||
Olin Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,603) | (130,180) | (140,432) | (10,824) | ||||||||
Pan American Silver Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/08/27 | (4,787) | (79,494) | (78,172) | (500) | ||||||||
Sandstorm Gold Ltd. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (13,948) | (78,950) | (70,158) | 7,993 | ||||||||
Schnitzer Steel Industries, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (2,028) | (82,078) | (61,164) | 18,550 | ||||||||
Seabridge Gold, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (31) | (372) | (376) | (6) |
143
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Materials — (continued) | ||||||||||||||||
Sensient Technologies Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,632) | $(115,880) | $(107,712) | $5,492 | ||||||||
Silgan Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,322) | (185,880) | (195,571) | (11,661) | ||||||||
Sonoco Products Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (15) | (993) | (838) | 98 | ||||||||
SSR Mining, Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (15,872) | (223,708) | (170,783) | 49,719 | ||||||||
Stepan Co. | USFF -0.250% | Weekly | MS | 01/05/26 | (700) | (73,338) | (66,185) | 5,437 | ||||||||
Summit Materials, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (1,455) | (54,814) | (55,959) | (1,560) | ||||||||
Sylvamo Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,062) | (47,424) | (52,155) | (5,515) | ||||||||
Teck Resources Ltd., Class B (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (5,608) | (224,528) | (237,050) | (14,373) | ||||||||
TimkenSteel Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,131) | (23,925) | (26,522) | (2,702) | ||||||||
Triple Flag Precious Metals Corp. (Canada) | USFF -2.430% | Weekly | MS | 07/11/28 | (100) | (1,326) | (1,331) | (13) | ||||||||
Tronox Holdings PLC (United Kingdom) | USFF -0.250% | Weekly | MS | 01/10/28 | (13,412) | (171,545) | (189,914) | (22,098) | ||||||||
United States Steel Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,190) | (105,182) | (155,194) | (57,035) | ||||||||
West Fraser Timber Co. Ltd. (Canada) | USFF -0.250% | Weekly | MS | 07/08/27 | (477) | (42,775) | (40,822) | 1,040 | ||||||||
(333,047) | (6,278,560) | (5,855,520) | 326,895 | |||||||||||||
Media & Entertainment | ||||||||||||||||
Altice USA, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (33,413) | (169,138) | (108,592) | 59,831 | ||||||||
Angi, Inc. | USFF -0.580% | Weekly | MS | 08/29/25 | (9,616) | (137,471) | (23,944) | 113,359 | ||||||||
Cargurus, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (749) | (33,826) | (18,096) | 15,581 | ||||||||
DISH Network Corp., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (18,036) | (344,476) | (104,068) | 238,894 | ||||||||
Endeavor Group Holdings, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (22,879) | (556,619) | (542,919) | 9,961 | ||||||||
Gray Television, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (61) | (1,493) | (547) | 901 | ||||||||
IAC, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (3,289) | (225,718) | (172,278) | 52,320 | ||||||||
Integral Ad Science Holding Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,998) | (53,100) | (57,531) | (4,784) | ||||||||
Lions Gate Entertainment Corp., Class B (Canada) | USFF -0.250% | Weekly | MS | 01/07/27 | (2,184) | (31,792) | (22,255) | 9,523 | ||||||||
Live Nation Entertainment, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (532) | (47,215) | (49,795) | (3,258) | ||||||||
Madison Square Garden Entertainment Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (985) | (30,140) | (31,313) | (1,332) |
144
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Media & Entertainment — (continued) | ||||||||||||||||
Madison Square Garden Sports Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (450) | $(80,462) | $(81,824) | $(1,757) | ||||||||
Magnite, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (12,725) | (143,720) | (118,852) | 24,105 | ||||||||
Nexstar Media Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (192) | (28,567) | (30,096) | (1,773) | ||||||||
Paramount Global, Class B | USFF -0.630% | Weekly | MS | 01/10/28 | (4,210) | (66,540) | (62,266) | 3,358 | ||||||||
Rumble, Inc. | USFF -14.507% | Weekly | MS | 07/11/28 | (170) | (804) | (763) | 37 | ||||||||
Scholastic Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,024) | (40,455) | (38,605) | 1,248 | ||||||||
Sphere Entertainment Co. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,979) | (74,904) | (67,207) | 7,367 | ||||||||
TKO Group Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,020) | (172,606) | (164,792) | 5,511 | ||||||||
TripAdvisor, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,789) | (45,768) | (60,047) | (14,785) | ||||||||
Warner Music Group Corp., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (3,317) | (105,606) | (118,715) | (14,861) | ||||||||
Ziff Davis, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (748) | (53,001) | (50,258) | 2,502 | ||||||||
ZoomInfo Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (23,003) | (383,778) | (425,325) | (43,234) | ||||||||
(148,369) | (2,827,199) | (2,350,088) | 458,714 | |||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||
10X Genomics, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (1,138) | (47,692) | (63,682) | (18,871) | ||||||||
AbCellera Biologics, Inc. (Canada) | USFF -0.980% | Weekly | MS | 07/11/28 | (6,287) | (32,779) | (35,899) | (3,400) | ||||||||
Amylyx Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,546) | (90,829) | (37,477) | 53,048 | ||||||||
Arrowhead Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (6,914) | (192,084) | (211,568) | (20,329) | ||||||||
Avantor, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (6,272) | (136,586) | (143,190) | (7,403) | ||||||||
Axsome Therapeutics, Inc. | USFF -0.680% | Weekly | MS | 07/11/28 | (854) | (55,931) | (67,970) | (12,557) | ||||||||
Bausch Health Cos., Inc. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (26,356) | (213,869) | (211,375) | 1,119 | ||||||||
Biogen, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,149) | (272,377) | (297,327) | (26,147) | ||||||||
Bio-Techne Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,266) | (238,564) | (252,005) | (14,641) | ||||||||
Bruker Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,352) | (154,572) | (172,825) | (18,998) | ||||||||
Catalent, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (2,847) | (294,756) | (127,916) | 166,474 | ||||||||
Corcept Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (262) | (8,309) | (8,510) | (238) | ||||||||
Crinetics Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (106) | (3,761) | (3,771) | (27) | ||||||||
CryoPort, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,167) | (21,608) | (18,077) | 3,378 |
145
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||||||||
Cytek Biosciences, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (7,931) | $(84,702) | $(72,331) | $11,686 | ||||||||
Elanco Animal Health, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (15,087) | (156,398) | (224,796) | (74,272) | ||||||||
Exelixis, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (5,070) | (112,875) | (121,629) | (9,250) | ||||||||
Geron Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (9,503) | (22,677) | (20,051) | 2,464 | ||||||||
Intellia Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (748) | (26,255) | (22,807) | 3,775 | ||||||||
Maravai LifeSciences Holdings, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (11,827) | (75,129) | (77,467) | (2,668) | ||||||||
Mesa Laboratories, Inc. | USFF -0.250% | Weekly | MS | 08/29/25 | (192) | (47,073) | (20,116) | 26,448 | ||||||||
Organon & Co. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,781) | (34,116) | (25,682) | 7,845 | ||||||||
Pacific Biosciences of California, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,029) | (34,494) | (39,524) | (5,765) | ||||||||
Perrigo Co. PLC (Ireland) | USFF -0.250% | Weekly | MS | 08/29/25 | (2,539) | (100,913) | (81,705) | 15,124 | ||||||||
Pfizer, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (12,347) | (350,698) | (355,470) | (6,235) | ||||||||
Pliant Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,600) | (69,908) | (65,196) | 4,399 | ||||||||
Prothena Corp. PLC (Ireland) | USFF -0.250% | Weekly | MS | 07/11/28 | (831) | (46,816) | (30,199) | 16,411 | ||||||||
PTC Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,111) | (26,239) | (30,619) | (5,838) | ||||||||
QIAGEN NV (Netherlands) | USFF -0.250% | Weekly | MS | 07/11/28 | (2,653) | (102,328) | (115,220) | (13,348) | ||||||||
Relay Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (592) | (10,480) | (6,518) | 3,916 | ||||||||
Repligen Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (402) | (68,990) | (72,280) | (3,593) | ||||||||
Revance Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (6,652) | (76,586) | (58,471) | 17,778 | ||||||||
Sarepta Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,801) | (151,808) | (173,670) | (22,530) | ||||||||
Sotera Health Co. | USFF -0.250% | Weekly | MS | 07/06/26 | (9,236) | (169,497) | (155,627) | 13,125 | ||||||||
Supernus Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (929) | (27,647) | (26,885) | 623 | ||||||||
Travere Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (170) | (2,250) | (1,528) | 712 | ||||||||
Vertex Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (61) | (24,689) | (24,820) | (240) | ||||||||
Viridian Therapeutics, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,014) | (28,336) | (22,085) | 6,127 | ||||||||
Waters Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (575) | (175,092) | (189,307) | (14,985) |
146
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||||||||
Xencor, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (846) | $(25,312) | $(17,961) | $7,240 | ||||||||
Zoetis, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,617) | (314,328) | (319,147) | (7,525) | ||||||||
(164,660) | (4,129,353) | (4,022,703) | 72,832 | |||||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Alpha & Omega Semiconductor Ltd. (Bermuda) | USFF -0.250% | Weekly | MS | 01/10/28 | (1,142) | (29,459) | (29,761) | (431) | ||||||||
Ambarella, Inc. (Cayman Islands) | USFF -0.250% | Weekly | MS | 01/07/27 | (2,197) | (172,918) | (134,654) | 37,257 | ||||||||
Analog Devices, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (891) | (168,551) | (176,917) | (9,466) | ||||||||
Cirrus Logic, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,721) | (132,504) | (143,170) | (11,249) | ||||||||
Enphase Energy, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,728) | (201,994) | (228,338) | (27,232) | ||||||||
Entegris, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (295) | (28,275) | (35,347) | (9,029) | ||||||||
FormFactor, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (3,330) | (114,046) | (138,894) | (25,811) | ||||||||
Ichor Holdings Ltd. (Cayman Islands) | USFF -0.250% | Weekly | MS | 01/07/27 | (1,683) | (53,749) | (56,599) | (3,087) | ||||||||
Impinj, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (716) | (63,997) | (64,461) | (1,278) | ||||||||
indie Semiconductor, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (6,009) | (37,840) | (48,733) | (11,210) | ||||||||
MACOM Technology Solutions Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,167) | (91,124) | (108,473) | (17,794) | ||||||||
Marvell Technology, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,149) | (66,582) | (69,296) | (3,111) | ||||||||
MaxLinear, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (8,372) | (177,977) | (199,002) | (21,807) | ||||||||
MKS Instruments, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (5,129) | (470,649) | (527,620) | (68,009) | ||||||||
ON Semiconductor Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (5,619) | (395,159) | (469,355) | (76,237) | ||||||||
Onto Innovation, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,595) | (207,968) | (243,876) | (38,375) | ||||||||
Power Integrations, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,472) | (282,943) | (285,086) | (4,728) | ||||||||
Qorvo, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,028) | (203,238) | (228,373) | (26,028) | ||||||||
Semtech Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,935) | (64,891) | (64,306) | 300 | ||||||||
Silicon Laboratories, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,522) | (168,808) | (201,315) | (34,392) | ||||||||
SiTime Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (903) | (94,174) | (110,238) | (16,812) | ||||||||
Synaptics, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,089) | (100,287) | (124,233) | (24,906) | ||||||||
Teradyne, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,354) | (225,022) | (255,456) | (31,524) | ||||||||
Texas Instruments, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,875) | (313,613) | (319,613) | (7,378) | ||||||||
Ultra Clean Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,848) | (59,587) | (63,091) | (3,766) | ||||||||
Universal Display Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (833) | (138,489) | (159,320) | (21,718) |
147
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Semiconductors & Semiconductor Equipment — (continued) | ||||||||||||||||
Veeco Instruments, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (467) | $(13,170) | $(14,491) | $(1,379) | ||||||||
Wolfspeed, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,265) | (57,868) | (55,040) | 2,550 | ||||||||
(63,334) | (4,134,882) | (4,555,058) | (456,650) | |||||||||||||
Software & Services | ||||||||||||||||
ACI Worldwide, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,846) | (106,398) | (117,688) | (11,987) | ||||||||
Agilysys, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (729) | (53,217) | (61,834) | (8,984) | ||||||||
Akamai Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (745) | (84,892) | (88,171) | (4,121) | ||||||||
Alarm.com Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (446) | (31,775) | (28,821) | 2,918 | ||||||||
Amplitude, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (1,142) | (12,431) | (14,526) | (2,210) | ||||||||
Appian Corp., Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (2,563) | (102,625) | (96,523) | 5,651 | ||||||||
Asana, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (371) | (7,153) | (7,053) | 69 | ||||||||
Aspen Technology, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (128) | (32,339) | (28,179) | 4,017 | ||||||||
Bentley Systems, Inc., Class B | USFF -0.250% | Weekly | MS | 01/10/28 | (3,108) | (160,369) | (162,175) | (3,262) | ||||||||
BigCommerce Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (5,289) | (99,195) | (51,462) | 47,297 | ||||||||
BILL Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (9,378) | (602,012) | (765,151) | (170,372) | ||||||||
C3.ai, Inc., Class A | USFF -12.130% | Weekly | MS | 07/11/28 | (1,505) | (46,361) | (43,209) | 2,949 | ||||||||
CCC Intelligent Solutions Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,387) | (30,373) | (27,188) | 3,262 | ||||||||
Cerence, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,236) | (33,890) | (24,300) | 9,502 | ||||||||
Clear Secure, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (1,047) | (28,130) | (21,621) | 5,432 | ||||||||
Confluent, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (24,100) | (485,872) | (563,940) | (80,204) | ||||||||
Digital Turbine, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (25,262) | (297,186) | (173,297) | 122,582 | ||||||||
DoubleVerify Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,208) | (121,989) | (154,770) | (33,318) | ||||||||
Dynatrace, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (872) | (44,969) | (47,690) | (4,513) | ||||||||
EngageSmart, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,379) | (29,526) | (31,579) | (2,365) | ||||||||
Envestnet, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,635) | (194,121) | (130,485) | 63,306 | ||||||||
Everbridge, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (573) | (49,182) | (13,930) | 35,832 | ||||||||
Fair Isaac Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (141) | (160,462) | (164,125) | (5,150) | ||||||||
Five9, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (942) | (59,975) | (74,126) | (15,436) | ||||||||
GoDaddy, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (282) | (21,484) | (29,937) | (12,474) | ||||||||
HashiCorp., Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (8,553) | (219,463) | (202,193) | 15,561 | ||||||||
Jamf Holding Corp. | USFF -0.250% | Weekly | MS | 01/05/26 | (2,707) | (93,448) | (48,888) | 44,149 |
148
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Software & Services — (continued) | ||||||||||||||||
Lightspeed Commerce, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/06/26 | (7,888) | $(294,393) | $(165,569) | $127,149 | ||||||||
Matterport, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (5,819) | (14,721) | (15,653) | (1,139) | ||||||||
MeridianLink, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (152) | (3,538) | (3,765) | (243) | ||||||||
Olo, Inc., Class A | USFF -0.250% | Weekly | MS | 01/07/27 | (7,971) | (65,741) | (45,594) | 19,858 | ||||||||
Open Text Corp. (Canada) | USFF -0.250% | Weekly | MS | 01/10/28 | (2,094) | (85,957) | (87,990) | (4,081) | ||||||||
Perficient, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (405) | (25,052) | (26,657) | (1,725) | ||||||||
PowerSchool Holdings, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (3,658) | (83,202) | (86,182) | (3,465) | ||||||||
Procore Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (626) | (33,360) | (43,332) | (10,430) | ||||||||
Progress Software Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (410) | (21,893) | (22,263) | (520) | ||||||||
PTC, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (899) | (146,042) | (157,289) | (11,889) | ||||||||
RingCentral, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (4,616) | (134,763) | (156,713) | (23,467) | ||||||||
SPS Commerce, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (500) | (92,470) | (96,920) | (4,857) | ||||||||
Tenable Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,088) | (46,771) | (50,113) | (3,689) | ||||||||
Thoughtworks Holding, Inc. | USFF -0.264% | Weekly | MS | 07/11/28 | (179) | (875) | (861) | 10 | ||||||||
Tyler Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (119) | (46,874) | (49,756) | (3,514) | ||||||||
Zeta Global Holdings Corp., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (680) | (6,021) | (5,998) | (4) | ||||||||
(142,678) | (4,310,510) | (4,187,516) | 86,125 | |||||||||||||
Technology Hardware & Equipment | ||||||||||||||||
ADTRAN Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (8,573) | (138,663) | (62,926) | 73,044 | ||||||||
Advanced Energy Industries, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,933) | (210,232) | (210,542) | (1,444) | ||||||||
Applied Optoelectronics, Inc. | USFF -0.930% | Weekly | MS | 07/11/28 | (1,071) | (20,816) | (20,692) | 32 | ||||||||
Avnet, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,281) | (105,220) | (114,962) | (12,620) | ||||||||
Belden, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (699) | (67,027) | (53,998) | 12,691 | ||||||||
Benchmark Electronics, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,647) | (41,857) | (45,523) | (5,355) | ||||||||
Calix, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (4,654) | (198,452) | (203,333) | (5,754) | ||||||||
Celestica, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (4,785) | (132,777) | (140,105) | (7,912) | ||||||||
Ciena Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (655) | (33,958) | (29,482) | 4,327 | ||||||||
Cognex Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,542) | (135,912) | (147,843) | (12,633) | ||||||||
Coherent Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (5,568) | (213,822) | (242,375) | (33,456) | ||||||||
Corsair Gaming, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (699) | (9,314) | (9,856) | (583) | ||||||||
CTS Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (26) | (1,142) | (1,137) | (1) |
149
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Technology Hardware & Equipment — (continued) | ||||||||||||||||
Diebold Nixdorf, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (53) | $(1,444) | $(1,534) | $(97) | ||||||||
ePlus, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (225) | (15,380) | (17,964) | (2,652) | ||||||||
Evolv Technologies Holdings, Inc. | USFF -1.180% | Weekly | MS | 07/11/28 | (39) | (187) | (184) | 1 | ||||||||
Harmonic, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (18,551) | (205,324) | (241,905) | (37,484) | ||||||||
Infinera Corp. | USFF -0.260% | Weekly | MS | 01/10/28 | (5,032) | (25,957) | (23,902) | 1,936 | ||||||||
IPG Photonics Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (87) | (9,556) | (9,443) | 71 | ||||||||
Keysight Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (531) | (84,290) | (84,477) | (558) | ||||||||
Lumentum Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,149) | (128,623) | (112,651) | 15,407 | ||||||||
Methode Electronics, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,279) | (30,164) | (29,072) | 892 | ||||||||
Novanta, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/06/26 | (605) | (98,714) | (101,888) | (3,711) | ||||||||
Sanmina Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,704) | (137,887) | (138,904) | (1,623) | ||||||||
Stratasys Ltd. (Israel) | USFF -0.250% | Weekly | MS | 01/07/27 | (5,667) | (81,262) | (80,925) | (236) | ||||||||
Teledyne Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (191) | (80,350) | (85,241) | (5,295) | ||||||||
TTM Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (334) | (5,662) | (5,281) | 362 | ||||||||
Ubiquiti, Inc. | USFF -0.580% | Weekly | MS | 01/07/27 | (808) | (196,244) | (112,764) | 80,672 | ||||||||
Viasat, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (3,496) | (129,931) | (97,713) | 31,647 | ||||||||
Viavi Solutions, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,232) | (45,641) | (42,616) | 2,840 | ||||||||
Zebra Technologies Corp., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (2,630) | (616,494) | (718,858) | (108,917) | ||||||||
(84,746) | (3,202,302) | (3,188,096) | (16,409) | |||||||||||||
Telecommunication Services | ||||||||||||||||
Cogent Communications Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,550) | (235,086) | (270,013) | (43,095) | ||||||||
Frontier Communications Parent, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (5,307) | (149,787) | (134,479) | 14,715 | ||||||||
Globalstar, Inc. | USFF -0.265% | Weekly | MS | 01/05/26 | (24,198) | (40,358) | (46,944) | (6,849) | ||||||||
Gogo, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,600) | (40,105) | (26,338) | 13,598 | ||||||||
IDT Corp., Class B | USFF -0.250% | Weekly | MS | 07/11/28 | (61) | (2,025) | (2,079) | (64) | ||||||||
Rogers Communications, Inc., Class B (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (2,068) | (86,304) | (96,803) | (11,841) | ||||||||
Shenandoah Telecommunications Co. | USFF -0.250% | Weekly | MS | 08/29/25 | (1,116) | (36,047) | (24,128) | 4,614 | ||||||||
(38,900) | (589,712) | (600,784) | (28,922) |
150
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Transportation | ||||||||||||||||
Air Transport Services Group, Inc. | USFF -0.250% | Weekly | MS | 08/29/25 | (5,469) | $(125,302) | $(96,309) | $28,442 | ||||||||
Alaska Air Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,622) | (77,704) | (63,372) | 14,892 | ||||||||
Allegiant Travel Co. | USFF -0.250% | Weekly | MS | 07/11/28 | (92) | (7,668) | (7,600) | 34 | ||||||||
Canadian Pacific Kansas City Ltd. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (2,973) | (244,452) | (235,045) | 7,908 | ||||||||
Forward Air Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (633) | (41,623) | (39,797) | 1,655 | ||||||||
Frontier Group Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (7,249) | (32,706) | (39,580) | (7,119) | ||||||||
Golden Ocean Group Ltd. (Bermuda) | USFF -0.730% | Weekly | MS | 07/11/28 | (6,808) | (54,291) | (66,446) | (13,062) | ||||||||
Heartland Express, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,624) | (26,277) | (23,158) | 2,874 | ||||||||
JB Hunt Transport Services, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | (1,032) | (195,473) | (206,132) | (12,923) | ||||||||
JetBlue Airways Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,322) | (19,897) | (23,987) | (4,177) | ||||||||
Marten Transport Ltd. | USFF -0.250% | Weekly | MS | 07/11/28 | (91) | (1,908) | (1,909) | (10) | ||||||||
Matson, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (660) | (56,227) | (72,336) | (16,460) | ||||||||
RXO, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,171) | (23,999) | (27,237) | (3,344) | ||||||||
Schneider National, Inc., Class B | USFF -0.250% | Weekly | MS | 07/11/28 | (3,566) | (93,472) | (90,755) | 1,929 | ||||||||
Southwest Airlines Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (7,346) | (264,198) | (212,152) | 47,266 | ||||||||
Spirit Airlines, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (442) | (7,225) | (7,244) | (113) | ||||||||
Sun Country Airlines Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,477) | (49,663) | (38,963) | 10,474 | ||||||||
TFI International, Inc. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (297) | (35,498) | (40,386) | (5,144) | ||||||||
Universal Logistics Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (13) | (311) | (364) | (55) | ||||||||
Werner Enterprises, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (3,822) | (180,234) | (161,938) | 14,956 | ||||||||
(51,709) | (1,538,128) | (1,454,710) | 68,023 | |||||||||||||
Utilities | ||||||||||||||||
AES Corp. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (15,753) | (309,986) | (303,245) | 1,543 | ||||||||
Algonquin Power & Utilities Corp. (Canada) | USFF -0.250% | Weekly | MS | 07/11/28 | (26,489) | (178,389) | (167,410) | 5,580 | ||||||||
Alliant Energy Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (3,110) | (154,613) | (159,543) | (5,670) | ||||||||
Altus Power, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,900) | (10,888) | (12,977) | (2,137) | ||||||||
American Electric Power Co., Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (893) | (80,816) | (72,529) | 5,663 | ||||||||
Avangrid, Inc. | USFF -0.250% | Weekly | MS | 08/29/25 | (749) | (35,905) | (24,275) | 8,806 | ||||||||
Avista Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,920) | (82,993) | (68,621) | 10,851 | ||||||||
California Water Service Group | USFF -0.250% | Weekly | MS | 01/10/28 | (1,930) | (102,725) | (100,109) | 1,248 |
151
GOTHAM NEUTRAL FUND
Portfolio of Investments
(Concluded)
December 31, 2023
(Unaudited)
Total Return Swaps (concluded)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Utilities — (continued) | ||||||||||||||||
Consolidated Edison, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,297) | $(206,983) | $(208,958) | $(2,885) | ||||||||
Essential Utilities, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (13) | (658) | (486) | 154 | ||||||||
Evergy, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (9,350) | (501,621) | (488,070) | 4,789 | ||||||||
Exelon Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (717) | (28,294) | (25,740) | 2,023 | ||||||||
FirstEnergy Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (5,665) | (225,368) | (207,679) | 10,912 | ||||||||
IDACORP, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,170) | (116,218) | (115,034) | (527) | ||||||||
Middlesex Water Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (426) | (31,519) | (27,954) | 3,236 | ||||||||
Montauk Renewables, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (190) | (1,707) | (1,693) | 6 | ||||||||
National Fuel Gas Co. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,326) | (68,064) | (66,525) | 583 | ||||||||
NiSource, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (6,399) | (171,539) | (169,893) | (1,717) | ||||||||
Northwest Natural Holding Co. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,198) | (62,103) | (46,650) | 11,740 | ||||||||
Northwestern Energy Group, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (1,869) | (105,077) | (95,113) | 3,743 | ||||||||
OGE Energy Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (4,258) | (150,658) | (148,732) | 345 | ||||||||
Ormat Technologies, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,465) | (195,568) | (186,822) | 7,247 | ||||||||
Pinnacle West Capital Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,776) | (130,129) | (127,588) | 1,260 | ||||||||
PNM Resources, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,118) | (47,292) | (46,509) | 575 | ||||||||
Portland General Electric Co. | USFF -0.250% | Weekly | MS | 07/08/27 | (4,264) | (190,145) | (184,802) | 985 | ||||||||
Sempra | USFF -0.250% | Weekly | MS | 01/10/28 | (5,009) | (366,095) | (374,323) | (14,405) | ||||||||
Southern Co. (The) | USFF -0.250% | Weekly | MS | 07/11/28 | (1,776) | (124,643) | (124,533) | (2,132) | ||||||||
Sunnova Energy International, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (5,694) | (84,161) | (86,834) | (3,649) | ||||||||
(109,724) | (3,764,157) | (3,642,647) | 48,167 | |||||||||||||
Total Reference Entity — Short | (65,092,034) | (62,925,338) | 1,441,705 | |||||||||||||
Net Value of Reference Entity | $(50,288,671) | $(45,831,132) | $5,255,646 |
* | Includes $798,107 related to open trades, dividends receivables/payables and swap receivables/payables activities. |
MS | Morgan Stanley |
USFF | U.S. Fed Funds |
All financial instruments listed
in the Portfolio of Investments are considered Level 1, measured at fair value on a recurring basis based on quoted prices for identical assets in active markets, except for the following: one long security was fair
valued with an end of period value of $0 and total return swaps with end of period unrealized appreciation of $5,255,646, which are considered Level 2 as of and for the period ended December 31, 2023.
For additional information about
significant accounting policies, including valuation of investments, refer to the Fund’s most recent annual or semi-annual report.
152
GOTHAM INDEX PLUS FUND
Portfolio of Investments
December 31, 2023
(Unaudited)
153
GOTHAM INDEX PLUS FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
154
GOTHAM INDEX PLUS FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
155
GOTHAM INDEX PLUS FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
156
GOTHAM INDEX PLUS FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
The portfolio matures between
July 29, 2024 and July 11, 2028, however underlying individual contracts are entered into and closed (terminated) on a daily basis. The maturity date shown in the table below is the earliest maturity date for the
specific entity. The following table represents the individual long and short positions and related values of total return swaps, which represents 4.8% of net assets as of December 31, 2023:
Total Return Swaps
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Long | ||||||||||||||||
Automobiles & Components | ||||||||||||||||
BorgWarner, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 83,372 | $3,093,370 | $2,988,886 | $15,062 | ||||||||
General Motors Co. | USFF +0.250% | Weekly | MS | 07/29/24 | 108,707 | 3,302,545 | 3,904,755 | 719,329 | ||||||||
192,079 | 6,395,915 | 6,893,641 | 734,391 | |||||||||||||
Banks | ||||||||||||||||
Bank of America Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 43,862 | 1,374,445 | 1,476,834 | 235,145 | ||||||||
Citizens Financial Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,296 | 65,941 | 76,089 | 14,977 | ||||||||
JPMorgan Chase & Co. | USFF +0.250% | Weekly | MS | 07/29/24 | 20,630 | 2,324,575 | 3,509,163 | 1,388,513 | ||||||||
PNC Financial Services Group, Inc. (The) | USFF +0.250% | Weekly | MS | 07/29/24 | 3,821 | 540,873 | 591,682 | 111,392 | ||||||||
Truist Financial Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 5,260 | 172,561 | 194,199 | 35,792 | ||||||||
US Bancorp | USFF +0.250% | Weekly | MS | 01/10/28 | 6,145 | 214,098 | 265,956 | 68,923 | ||||||||
82,014 | 4,692,493 | 6,113,923 | 1,854,742 | |||||||||||||
Capital Goods | ||||||||||||||||
3M Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 21,383 | 1,942,541 | 2,337,590 | 481,839 | ||||||||
A. O. Smith Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 24,393 | 1,660,063 | 2,010,959 | 430,068 | ||||||||
AMETEK, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 7,036 | 1,026,494 | 1,160,166 | 172,318 | ||||||||
Builders FirstSource, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 22,458 | 3,674,863 | 3,749,139 | 185,119 | ||||||||
Carrier Global Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 39,193 | 1,861,543 | 2,251,638 | 453,736 | ||||||||
Caterpillar, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 15,291 | 3,390,427 | 4,521,090 | 1,295,907 | ||||||||
Deere & Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 239 | 87,091 | 95,569 | 11,946 | ||||||||
Eaton Corp. PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/10/28 | 3,284 | 531,702 | 790,853 | 283,624 | ||||||||
Emerson Electric Co. | USFF +0.250% | Weekly | MS | 07/29/24 | 37,379 | 3,342,082 | 3,638,098 | 449,718 | ||||||||
Fortive Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 20 | 1,459 | 1,473 | 150 | ||||||||
General Dynamics Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 8,118 | 1,755,112 | 2,108,001 | 427,975 | ||||||||
General Electric Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 16,071 | 1,387,663 | 2,051,142 | 710,533 | ||||||||
Howmet Aerospace, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 31,747 | 1,403,092 | 1,718,148 | 411,645 | ||||||||
Illinois Tool Works, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 3,281 | 692,859 | 859,425 | 218,499 | ||||||||
Ingersoll Rand, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 13,884 | 985,119 | 1,073,789 | 118,607 | ||||||||
Johnson Controls International PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/29/24 | 29,505 | 1,522,863 | 1,700,668 | 234,719 | ||||||||
Lockheed Martin Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 5,940 | 2,602,560 | 2,692,246 | 240,668 |
157
GOTHAM INDEX PLUS FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Capital Goods — (continued) | ||||||||||||||||
Masco Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 28,474 | $1,544,773 | $1,907,189 | $428,150 | ||||||||
Northrop Grumman Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 613 | 271,393 | 286,970 | 33,755 | ||||||||
Otis Worldwide Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 14,706 | 1,228,240 | 1,315,746 | 130,620 | ||||||||
PACCAR, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 13,722 | 1,065,327 | 1,339,953 | 352,103 | ||||||||
Parker-Hannifin Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 8,057 | 2,911,150 | 3,711,860 | 911,587 | ||||||||
Pentair PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/29/24 | 54,758 | 3,150,094 | 3,981,454 | 976,797 | ||||||||
Rockwell Automation, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,561 | 783,329 | 795,139 | 35,510 | ||||||||
Snap-on, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 11,435 | 2,470,983 | 3,302,885 | 1,042,265 | ||||||||
Textron, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 41,714 | 3,007,248 | 3,354,640 | 440,795 | ||||||||
Trane Technologies PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/29/24 | 1,121 | 186,231 | 273,412 | 103,712 | ||||||||
TransDigm Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,690 | 1,199,985 | 1,709,604 | 605,026 | ||||||||
WW Grainger, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 3,806 | 2,502,788 | 3,153,994 | 766,202 | ||||||||
461,879 | 48,189,074 | 57,892,840 | 11,953,593 | |||||||||||||
Commercial & Professional Services | ||||||||||||||||
Automatic Data Processing, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 11,787 | 2,610,526 | 2,746,017 | 246,241 | ||||||||
Broadridge Financial Solutions, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,396 | 430,885 | 492,977 | 78,634 | ||||||||
Copart, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 33,320 | 1,337,090 | 1,632,680 | 335,979 | ||||||||
Jacobs Solutions, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 20,662 | 2,572,518 | 2,681,928 | 189,117 | ||||||||
Leidos Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 30,751 | 3,205,524 | 3,328,488 | 231,128 | ||||||||
Republic Services, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 7,682 | 1,119,659 | 1,266,839 | 192,179 | ||||||||
Robert Half, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 31,525 | 2,371,893 | 2,771,678 | 508,344 | ||||||||
Veralto Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 31,896 | 2,313,261 | 2,623,765 | 383,183 | ||||||||
170,019 | 15,961,356 | 17,544,372 | 2,164,805 | |||||||||||||
Consumer Discretionary Distribution & Retail | ||||||||||||||||
Amazon.com, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 83,559 | 9,283,432 | 12,695,954 | 3,692,377 | ||||||||
AutoZone, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 477 | 1,225,359 | 1,233,336 | 44,364 | ||||||||
Best Buy Co., Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 10,789 | 723,624 | 844,563 | 183,108 | ||||||||
CarMax, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 9,026 | 549,686 | 692,655 | 159,628 | ||||||||
eBay, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 39,845 | 1,575,777 | 1,738,039 | 257,130 | ||||||||
Home Depot, Inc. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 8,228 | 2,633,728 | 2,851,413 | 311,719 | ||||||||
LKQ Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 29,667 | 1,454,957 | 1,417,786 | 13,985 | ||||||||
Lowe's Cos., Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 5,796 | 1,088,185 | 1,289,900 | 281,100 | ||||||||
Pool Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,610 | 542,113 | 641,923 | 118,919 | ||||||||
TJX Cos., Inc. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 25,056 | 2,126,560 | 2,350,503 | 296,803 | ||||||||
Ulta Beauty, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,311 | 496,534 | 642,377 | 160,900 | ||||||||
215,364 | 21,699,955 | 26,398,449 | 5,520,033 | |||||||||||||
Consumer Durables & Apparel | ||||||||||||||||
DR Horton, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 7,952 | 977,768 | 1,208,545 | 267,492 |
158
GOTHAM INDEX PLUS FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Durables & Apparel — (continued) | ||||||||||||||||
Garmin Ltd. (Switzerland) | USFF +0.250% | Weekly | MS | 01/10/28 | 7,065 | $744,499 | $908,135 | $196,707 | ||||||||
Lennar Corp., Class A | USFF +0.250% | Weekly | MS | 07/29/24 | 1,521 | 131,888 | 226,690 | 104,591 | ||||||||
Mohawk Industries, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 16,508 | 1,524,019 | 1,708,578 | 230,582 | ||||||||
NIKE, Inc., Class B | USFF +0.250% | Weekly | MS | 07/29/24 | 5,087 | 514,103 | 552,296 | 64,213 | ||||||||
PulteGroup, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 19,791 | 1,363,516 | 2,042,827 | 729,393 | ||||||||
Ralph Lauren Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 13,824 | 1,596,788 | 1,993,421 | 454,828 | ||||||||
Tapestry, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 85,000 | 2,424,854 | 3,128,850 | 839,378 | ||||||||
156,748 | 9,277,435 | 11,769,342 | 2,887,184 | |||||||||||||
Consumer Services | ||||||||||||||||
Booking Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,184 | 2,684,964 | 4,199,908 | 1,595,956 | ||||||||
Caesars Entertainment, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 69,091 | 2,965,006 | 3,238,986 | 363,586 | ||||||||
Expedia Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 13,489 | 1,966,663 | 2,047,495 | 142,124 | ||||||||
Marriott International, Inc., Class A | USFF +0.250% | Weekly | MS | 01/05/26 | 10,000 | 1,796,759 | 2,255,100 | 530,784 | ||||||||
McDonald's Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 11,258 | 2,870,931 | 3,338,110 | 668,575 | ||||||||
MGM Resorts International | USFF +0.250% | Weekly | MS | 01/10/28 | 49,085 | 1,806,621 | 2,193,118 | 441,036 | ||||||||
Royal Caribbean Cruises Ltd. (Liberia) | USFF +0.250% | Weekly | MS | 07/11/28 | 26,358 | 2,412,574 | 3,413,097 | 1,073,325 | ||||||||
Starbucks Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 13,683 | 1,297,710 | 1,313,705 | 71,221 | ||||||||
Yum! Brands, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 16,054 | 1,956,016 | 2,097,616 | 257,412 | ||||||||
210,202 | 19,757,244 | 24,097,135 | 5,144,019 | |||||||||||||
Consumer Staples Distribution & Retail | ||||||||||||||||
Costco Wholesale Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,697 | 1,496,045 | 1,780,236 | 374,457 | ||||||||
Kroger Co. (The) | USFF +0.250% | Weekly | MS | 07/29/24 | 12,819 | 569,491 | 585,956 | 42,066 | ||||||||
Sysco Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 7,665 | 530,693 | 560,541 | 49,544 | ||||||||
Target Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 6,874 | 905,478 | 978,995 | 101,490 | ||||||||
Walmart, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 14,201 | 2,051,416 | 2,238,788 | 332,358 | ||||||||
44,256 | 5,553,123 | 6,144,516 | 899,915 | |||||||||||||
Energy | ||||||||||||||||
APA Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 118,461 | 3,892,440 | 4,250,381 | 555,846 | ||||||||
Baker Hughes Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 58,956 | 1,875,909 | 2,015,116 | 210,077 | ||||||||
ConocoPhillips | USFF +0.250% | Weekly | MS | 01/07/27 | 18,023 | 1,824,502 | 2,091,930 | 422,055 | ||||||||
Devon Energy Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 63,208 | 2,877,891 | 2,863,322 | 139,301 | ||||||||
EOG Resources, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 12,796 | 1,375,583 | 1,547,676 | 372,462 | ||||||||
EQT Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 62,566 | 1,991,668 | 2,418,802 | 524,237 | ||||||||
Exxon Mobil Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 29,684 | 2,932,568 | 2,967,806 | 211,262 | ||||||||
Halliburton Co. | USFF +0.250% | Weekly | MS | 07/29/24 | 46,105 | 1,402,544 | 1,666,696 | 345,275 | ||||||||
Kinder Morgan, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 173,037 | 2,878,027 | 3,052,373 | 346,861 |
159
GOTHAM INDEX PLUS FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Energy — (continued) | ||||||||||||||||
Marathon Petroleum Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 9,649 | $1,120,262 | $1,431,526 | $394,658 | ||||||||
Occidental Petroleum Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 14,975 | 898,749 | 894,157 | 22,206 | ||||||||
Pioneer Natural Resources Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 9,321 | 2,028,829 | 2,096,106 | 163,654 | ||||||||
Valero Energy Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 5,458 | 648,864 | 709,540 | 106,356 | ||||||||
622,239 | 25,747,836 | 28,005,431 | 3,814,250 | |||||||||||||
Equity Real Estate Investment Trusts (REITs) | ||||||||||||||||
Alexandria Real Estate Equities, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 22,136 | 2,159,396 | 2,806,181 | 776,886 | ||||||||
American Tower Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 2,404 | 508,684 | 518,976 | 46,718 | ||||||||
AvalonBay Communities, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 7,232 | 1,204,146 | 1,353,975 | 256,601 | ||||||||
Camden Property Trust | USFF +0.250% | Weekly | MS | 07/11/28 | 24,104 | 2,114,929 | 2,393,286 | 366,292 | ||||||||
Crown Castle, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,334 | 119,948 | 153,663 | 39,470 | ||||||||
Digital Realty Trust, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 14,812 | 1,605,002 | 1,993,399 | 483,630 | ||||||||
Extra Space Storage, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 11,684 | 1,343,708 | 1,873,296 | 592,682 | ||||||||
Healthpeak Properties, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 109,945 | 1,808,783 | 2,176,911 | 436,180 | ||||||||
Prologis, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 5,113 | 552,625 | 681,563 | 155,009 | ||||||||
Realty Income Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 44,811 | 2,426,371 | 2,573,048 | 290,519 | ||||||||
SBA Communications Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 353 | 91,004 | 89,553 | 3,231 | ||||||||
Simon Property Group, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 12,587 | 1,692,261 | 1,795,410 | 175,976 | ||||||||
VICI Properties, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 32,024 | 951,760 | 1,020,925 | 125,906 | ||||||||
Welltower, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 6,300 | 492,000 | 568,071 | 104,787 | ||||||||
294,839 | 17,070,617 | 19,998,257 | 3,853,887 | |||||||||||||
Financial Services | ||||||||||||||||
American Express Co. | USFF +0.250% | Weekly | MS | 01/07/27 | 5,001 | 705,559 | 936,887 | 265,630 | ||||||||
Ameriprise Financial, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 14 | 4,714 | 5,318 | 876 | ||||||||
Berkshire Hathaway, Inc., Class B | USFF +0.250% | Weekly | MS | 07/29/24 | 16,012 | 3,459,894 | 5,710,840 | 2,355,311 | ||||||||
BlackRock, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 2,388 | 1,389,531 | 1,938,578 | 743,072 | ||||||||
Blackstone, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 5,421 | 688,113 | 709,717 | 42,435 | ||||||||
Capital One Financial Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 6,723 | 619,342 | 881,520 | 299,509 | ||||||||
Cboe Global Markets, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 14,553 | 2,575,940 | 2,598,584 | 101,279 |
160
GOTHAM INDEX PLUS FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Financial Services — (continued) | ||||||||||||||||
Charles Schwab Corp. (The) | USFF +0.250% | Weekly | MS | 01/07/27 | 7,030 | $454,955 | $483,664 | $52,539 | ||||||||
CME Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 7,094 | 1,332,051 | 1,493,996 | 264,609 | ||||||||
Fiserv, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 28,214 | 3,312,349 | 3,747,948 | 535,517 | ||||||||
FleetCor Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 16,237 | 3,155,205 | 4,588,739 | 1,529,836 | ||||||||
Franklin Resources, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 79,070 | 2,205,064 | 2,355,495 | 359,998 | ||||||||
Goldman Sachs Group, Inc. (The) | USFF +0.250% | Weekly | MS | 07/08/27 | 2,513 | 873,664 | 969,440 | 148,075 | ||||||||
Intercontinental Exchange, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 9,871 | 1,019,934 | 1,267,733 | 309,069 | ||||||||
Invesco Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 07/29/24 | 2,336 | 32,543 | 41,674 | 15,135 | ||||||||
Mastercard, Inc., Class A | USFF +0.250% | Weekly | MS | 07/29/24 | 3,974 | 1,316,608 | 1,694,951 | 439,650 | ||||||||
Nasdaq, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 39,904 | 2,147,376 | 2,320,019 | 308,933 | ||||||||
Northern Trust Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,331 | 93,672 | 112,310 | 22,552 | ||||||||
PayPal Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 79,418 | 4,143,412 | 4,877,059 | 858,612 | ||||||||
Raymond James Financial, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 918 | 93,675 | 102,357 | 13,722 | ||||||||
S&P Global, Inc. | USFF +0.250% | Weekly | MS | 11/03/25 | 1,437 | 538,003 | 633,027 | 123,461 | ||||||||
T Rowe Price Group, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 13,275 | 1,444,407 | 1,429,585 | 209,862 | ||||||||
Visa, Inc., Class A | USFF +0.250% | Weekly | MS | 07/29/24 | 12,894 | 2,782,887 | 3,356,953 | 704,626 | ||||||||
355,628 | 34,388,898 | 42,256,394 | 9,704,308 | |||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||
Altria Group, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 23,036 | 983,621 | 929,272 | 161,136 | ||||||||
Archer-Daniels-Midland Co. | USFF +0.250% | Weekly | MS | 07/29/24 | 36,127 | 2,687,283 | 2,609,092 | 38,833 | ||||||||
Campbell Soup Co. | USFF +0.250% | Weekly | MS | 07/06/26 | 41,617 | 1,826,717 | 1,799,103 | 73,058 | ||||||||
Coca-Cola Co. (The) | USFF +0.250% | Weekly | MS | 07/29/24 | 41,234 | 2,336,233 | 2,429,920 | 311,424 | ||||||||
Constellation Brands, Inc., Class A | USFF +0.250% | Weekly | MS | 07/11/28 | 7,388 | 1,793,413 | 1,786,049 | 51,643 | ||||||||
General Mills, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 26,975 | 1,779,443 | 1,757,152 | 103,002 | ||||||||
Hershey Co. (The) | USFF +0.250% | Weekly | MS | 01/05/26 | 5,659 | 1,072,066 | 1,055,064 | 21,341 | ||||||||
J M Smucker Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 12,660 | 1,701,327 | 1,599,971 | (22,453) | ||||||||
Kellanova | USFF +0.250% | Weekly | MS | 07/08/27 | 36,573 | 2,258,906 | 2,044,796 | (77,150) | ||||||||
Keurig Dr Pepper, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 54,221 | 1,711,711 | 1,806,644 | 150,316 | ||||||||
Kraft Heinz Co. (The) | USFF +0.250% | Weekly | MS | 07/29/24 | 70,426 | 2,529,723 | 2,604,353 | 308,102 | ||||||||
Molson Coors Beverage Co., Class B | USFF +0.250% | Weekly | MS | 07/29/24 | 13,095 | 775,065 | 801,545 | 64,258 | ||||||||
Mondelez International, Inc., Class A | USFF +0.250% | Weekly | MS | 01/05/26 | 34,811 | 2,271,794 | 2,521,361 | 372,577 |
161
GOTHAM INDEX PLUS FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Food, Beverage & Tobacco — (continued) | ||||||||||||||||
PepsiCo, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 8,616 | $1,438,213 | $1,463,341 | $118,207 | ||||||||
Philip Morris International, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 13,372 | 1,251,917 | 1,258,038 | 113,692 | ||||||||
425,810 | 26,417,432 | 26,465,701 | 1,787,986 | |||||||||||||
Health Care Equipment & Services | ||||||||||||||||
Abbott Laboratories | USFF +0.250% | Weekly | MS | 07/29/24 | 9,736 | 943,755 | 1,071,642 | 219,196 | ||||||||
Baxter International, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 127,769 | 4,273,060 | 4,939,550 | 820,902 | ||||||||
Cardinal Health, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 22,986 | 1,887,787 | 2,316,989 | 534,848 | ||||||||
Cencora, Inc. | USFF +0.250% | Weekly | MS | 01/05/26 | 9,964 | 1,652,253 | 2,046,406 | 462,466 | ||||||||
Centene Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 32,413 | 2,122,444 | 2,405,369 | 346,983 | ||||||||
Cigna Group (The) | USFF +0.250% | Weekly | MS | 07/06/26 | 5,225 | 1,333,951 | 1,564,626 | 304,574 | ||||||||
CVS Health Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 28,022 | 1,945,220 | 2,212,617 | 429,832 | ||||||||
DaVita, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 22,493 | 1,914,154 | 2,356,367 | 499,993 | ||||||||
DENTSPLY SIRONA, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 25,957 | 736,983 | 923,810 | 227,932 | ||||||||
GE HealthCare Technologies, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 45,160 | 2,819,934 | 3,491,771 | 760,850 | ||||||||
HCA Healthcare, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 9,347 | 2,094,959 | 2,530,046 | 515,607 | ||||||||
Hologic, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 60,527 | 4,345,762 | 4,324,654 | 109,956 | ||||||||
Laboratory Corp. of America Holdings | USFF +0.250% | Weekly | MS | 07/11/28 | 4,614 | 988,991 | 1,048,716 | 90,416 | ||||||||
McKesson Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 1,625 | 691,823 | 752,343 | 86,144 | ||||||||
Molina Healthcare, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 5,451 | 1,635,829 | 1,969,501 | 383,064 | ||||||||
Teleflex, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 3,751 | 744,173 | 935,274 | 214,779 | ||||||||
UnitedHealth Group, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 3,592 | 1,859,296 | 1,891,080 | 114,297 | ||||||||
Zimmer Biomet Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 9,947 | 1,051,291 | 1,210,550 | 193,555 | ||||||||
428,579 | 33,041,665 | 37,991,311 | 6,315,394 | |||||||||||||
Household & Personal Products | ||||||||||||||||
Colgate-Palmolive Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 29,323 | 2,179,256 | 2,337,336 | 231,809 | ||||||||
Kenvue, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 129,710 | 2,706,421 | 2,792,656 | 189,888 | ||||||||
Kimberly-Clark Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 19,036 | 2,355,413 | 2,313,064 | 106,598 | ||||||||
Procter & Gamble Co. (The) | USFF +0.250% | Weekly | MS | 07/29/24 | 20,987 | 2,964,414 | 3,075,435 | 279,627 | ||||||||
199,056 | 10,205,504 | 10,518,491 | 807,922 | |||||||||||||
Insurance | ||||||||||||||||
Aflac, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 36,504 | 2,685,806 | 3,011,580 | 452,844 | ||||||||
Arch Capital Group Ltd. (Bermuda) | USFF +0.250% | Weekly | MS | 07/08/27 | 20,565 | 1,176,014 | 1,527,363 | 386,883 | ||||||||
Assurant, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 10,792 | 1,338,202 | 1,818,344 | 547,626 | ||||||||
Brown & Brown, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 43,511 | 2,818,673 | 3,094,067 | 372,631 | ||||||||
Chubb Ltd. (Switzerland) | USFF +0.250% | Weekly | MS | 01/10/28 | 5,649 | 1,156,096 | 1,276,674 | 164,413 |
162
GOTHAM INDEX PLUS FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Insurance — (continued) | ||||||||||||||||
Cincinnati Financial Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 15,406 | $1,557,656 | $1,593,905 | $102,309 | ||||||||
Loews Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 33,759 | 2,040,747 | 2,349,289 | 376,332 | ||||||||
Marsh & McLennan Cos., Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 15,515 | 2,935,781 | 2,939,627 | 92,637 | ||||||||
MetLife, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,225 | 71,788 | 81,009 | 19,032 | ||||||||
Willis Towers Watson PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/11/28 | 5,583 | 1,315,720 | 1,346,620 | 75,254 | ||||||||
188,509 | 17,096,483 | 19,038,478 | 2,589,961 | |||||||||||||
Materials | ||||||||||||||||
CF Industries Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 35,992 | 2,426,917 | 2,861,364 | 569,318 | ||||||||
DuPont de Nemours, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 9,197 | 604,172 | 707,525 | 148,482 | ||||||||
Eastman Chemical Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 15,484 | 1,224,138 | 1,390,773 | 215,943 | ||||||||
Ecolab, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 4,794 | 803,662 | 950,890 | 174,391 | ||||||||
International Paper Co. | USFF +0.250% | Weekly | MS | 07/29/24 | 72,942 | 2,436,428 | 2,636,853 | 403,743 | ||||||||
Linde PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/29/24 | 7,693 | 2,746,611 | 3,159,592 | 521,275 | ||||||||
LyondellBasell Industries NV, Class A (Netherlands) | USFF +0.250% | Weekly | MS | 07/08/27 | 17,237 | 1,578,073 | 1,638,894 | 111,587 | ||||||||
Martin Marietta Materials, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,517 | 1,245,436 | 1,255,756 | 47,947 | ||||||||
Mosaic Co. (The) | USFF +0.250% | Weekly | MS | 07/29/24 | 80,322 | 2,845,735 | 2,869,905 | 171,003 | ||||||||
Nucor Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 5,078 | 736,677 | 883,775 | 185,350 | ||||||||
Packaging Corp. of America | USFF +0.250% | Weekly | MS | 07/08/27 | 14,525 | 2,056,818 | 2,366,268 | 431,918 | ||||||||
PPG Industries, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 5,163 | 639,777 | 772,127 | 154,782 | ||||||||
Sherwin-Williams Co. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 6,807 | 1,897,254 | 2,123,103 | 285,045 | ||||||||
Steel Dynamics, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 6,397 | 634,682 | 755,486 | 150,725 | ||||||||
284,148 | 21,876,380 | 24,372,311 | 3,571,509 | |||||||||||||
Media & Entertainment | ||||||||||||||||
Alphabet, Inc., Class A | USFF +0.250% | Weekly | MS | 07/29/24 | 76,546 | 6,006,715 | 10,692,711 | 4,867,093 | ||||||||
Charter Communications, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 903 | 296,830 | 350,978 | 63,186 | ||||||||
Comcast Corp., Class A | USFF +0.250% | Weekly | MS | 07/29/24 | 60,414 | 2,196,176 | 2,649,154 | 586,791 | ||||||||
Electronic Arts, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 6,799 | 844,691 | 930,171 | 112,465 | ||||||||
Fox Corp., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 38,985 | 1,192,998 | 1,156,685 | 6,371 | ||||||||
Interpublic Group of Cos., Inc. (The) | USFF +0.250% | Weekly | MS | 07/29/24 | 32,314 | 933,832 | 1,054,729 | 242,654 |
163
GOTHAM INDEX PLUS FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Media & Entertainment — (continued) | ||||||||||||||||
Meta Platforms, Inc., Class A | USFF +0.250% | Weekly | MS | 07/29/24 | 14,921 | $2,824,182 | $5,281,437 | $2,546,793 | ||||||||
Netflix, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,453 | 763,498 | 1,194,317 | 453,921 | ||||||||
News Corp., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 22,958 | 466,495 | 563,619 | 113,189 | ||||||||
Omnicom Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 8,228 | 588,531 | 711,804 | 165,570 | ||||||||
Take-Two Interactive Software, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 887 | 113,742 | 142,763 | 32,541 | ||||||||
Walt Disney Co. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 30,201 | 2,723,921 | 2,726,848 | 91,191 | ||||||||
Warner Bros Discovery, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 12,405 | 131,008 | 141,169 | 14,193 | ||||||||
308,014 | 19,082,619 | 27,596,385 | 9,295,958 | |||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||
AbbVie, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 16,222 | 2,367,165 | 2,513,923 | 238,555 | ||||||||
Amgen, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 10,940 | 2,881,482 | 3,150,939 | 376,487 | ||||||||
Biogen, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 4,935 | 1,145,432 | 1,277,030 | 165,948 | ||||||||
Bristol-Myers Squibb Co. | USFF +0.250% | Weekly | MS | 07/06/26 | 80,991 | 4,499,568 | 4,155,648 | (153,275) | ||||||||
Danaher Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 3,708 | 744,916 | 857,809 | 149,089 | ||||||||
Gilead Sciences, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 25,838 | 1,875,234 | 2,093,136 | 374,221 | ||||||||
Illumina, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,241 | 191,615 | 172,797 | (12,951) | ||||||||
Incyte Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 52,293 | 2,822,166 | 3,283,477 | 546,457 | ||||||||
IQVIA Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 3,228 | 692,081 | 746,895 | 75,764 | ||||||||
Johnson & Johnson | USFF +0.250% | Weekly | MS | 07/29/24 | 25,968 | 3,738,559 | 4,070,224 | 778,629 | ||||||||
Merck & Co., Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 22,963 | 2,342,241 | 2,503,426 | 355,555 | ||||||||
Mettler-Toledo International, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,400 | 1,428,588 | 1,698,144 | 312,702 | ||||||||
Pfizer, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 27,568 | 851,887 | 793,683 | 490 | ||||||||
Vertex Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 2,976 | 1,097,327 | 1,210,905 | 146,741 | ||||||||
Viatris, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 119,503 | 1,132,654 | 1,294,217 | 203,814 | ||||||||
West Pharmaceutical Services, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,997 | 994,270 | 1,055,304 | 91,696 | ||||||||
402,771 | 28,805,185 | 30,877,557 | 3,649,922 | |||||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Applied Materials, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 22,738 | 2,947,175 | 3,685,148 | 876,175 | ||||||||
Broadcom, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 5,642 | 3,774,089 | 6,297,883 | 2,746,584 | ||||||||
KLA Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 3,014 | 1,251,185 | 1,752,038 | 564,317 | ||||||||
Lam Research Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 2,406 | 1,302,948 | 1,884,524 | 637,325 | ||||||||
Microchip Technology, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 28,400 | 2,069,990 | 2,561,112 | 589,212 | ||||||||
Micron Technology, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 6,000 | 324,610 | 512,040 | 203,421 | ||||||||
NVIDIA Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 13,843 | 5,202,952 | 6,855,330 | 1,812,691 |
164
GOTHAM INDEX PLUS FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Semiconductors & Semiconductor Equipment — (continued) | ||||||||||||||||
NXP Semiconductors NV (Netherlands) | USFF +0.250% | Weekly | MS | 01/07/27 | 8,742 | $1,565,330 | $2,007,863 | $513,574 | ||||||||
QUALCOMM, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 22,196 | 2,537,439 | 3,210,207 | 793,333 | ||||||||
Skyworks Solutions, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 27,168 | 2,648,566 | 3,054,227 | 519,246 | ||||||||
140,149 | 23,624,284 | 31,820,372 | 9,255,878 | |||||||||||||
Software & Services | ||||||||||||||||
Accenture PLC, Class A (Ireland) | USFF +0.250% | Weekly | MS | 07/11/28 | 12,021 | 3,789,630 | 4,218,289 | 549,886 | ||||||||
Adobe, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 5,445 | 1,844,751 | 3,248,487 | 1,459,425 | ||||||||
ANSYS, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 552 | 116,848 | 200,310 | 87,076 | ||||||||
Autodesk, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,266 | 239,721 | 308,246 | 75,841 | ||||||||
Cadence Design Systems, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 1,667 | 387,671 | 454,041 | 78,145 | ||||||||
Cognizant Technology Solutions Corp., Class A | USFF +0.250% | Weekly | MS | 07/29/24 | 3,346 | 202,692 | 252,723 | 68,147 | ||||||||
EPAM Systems, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 362 | 167,782 | 107,637 | (54,997) | ||||||||
Fair Isaac Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 704 | 479,165 | 819,463 | 354,831 | ||||||||
Gen Digital, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 190,365 | 3,683,789 | 4,344,129 | 805,775 | ||||||||
International Business Machines Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 8,707 | 1,138,394 | 1,424,030 | 357,051 | ||||||||
Microsoft Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 48,271 | 11,936,709 | 18,151,827 | 6,886,733 | ||||||||
Oracle Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,870 | 378,528 | 408,014 | 45,523 | ||||||||
Roper Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,391 | 627,215 | 758,331 | 152,973 | ||||||||
Salesforce, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 21,314 | 3,603,577 | 5,608,566 | 2,113,684 | ||||||||
ServiceNow, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 558 | 224,140 | 394,221 | 176,928 | ||||||||
Synopsys, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 1,400 | 690,646 | 720,874 | 51,134 | ||||||||
VeriSign, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 5,167 | 1,027,105 | 1,064,195 | 68,137 | ||||||||
306,406 | 30,538,363 | 42,483,383 | 13,276,292 | |||||||||||||
Technology Hardware & Equipment | ||||||||||||||||
Amphenol Corp., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 24,553 | 1,912,460 | 2,433,939 | 597,678 | ||||||||
Apple, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 112,975 | 10,369,482 | 21,751,077 | 12,078,524 | ||||||||
CDW Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 4,021 | 734,173 | 914,054 | 208,090 | ||||||||
Cisco Systems, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 98,700 | 4,377,471 | 4,986,324 | 1,025,659 | ||||||||
F5, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 10,498 | 1,557,466 | 1,878,932 | 368,497 | ||||||||
Hewlett Packard Enterprise Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 54,450 | 772,959 | 924,561 | 196,256 | ||||||||
HP, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 74,522 | 1,933,440 | 2,242,367 | 572,549 | ||||||||
Jabil, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 10,941 | 1,429,639 | 1,393,883 | 7,423 | ||||||||
NetApp, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 29,100 | 2,078,134 | 2,565,456 | 568,824 |
165
GOTHAM INDEX PLUS FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Technology Hardware & Equipment — (continued) | ||||||||||||||||
Seagate Technology Holdings PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/10/28 | 7,965 | $447,278 | $679,972 | $262,993 | ||||||||
TE Connectivity Ltd. (Switzerland) | USFF +0.250% | Weekly | MS | 07/11/28 | 1,139 | 136,715 | 160,030 | 46,917 | ||||||||
Teledyne Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 2,272 | 882,858 | 1,013,971 | 172,847 | ||||||||
431,136 | 26,632,075 | 40,944,566 | 16,106,257 | |||||||||||||
Telecommunication Services | ||||||||||||||||
AT&T, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 53,403 | 851,107 | 896,102 | 127,345 | ||||||||
T-Mobile US, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 7,871 | 1,074,258 | 1,261,957 | 224,911 | ||||||||
Verizon Communications, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 34,033 | 1,333,144 | 1,283,044 | 19,683 | ||||||||
95,307 | 3,258,509 | 3,441,103 | 371,939 | |||||||||||||
Transportation | ||||||||||||||||
American Airlines Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 322,507 | 4,573,796 | 4,431,246 | (4,615) | ||||||||
CSX Corp. | USFF +0.250% | Weekly | MS | 07/29/24 | 38,285 | 1,180,151 | 1,327,341 | 211,603 | ||||||||
Delta Air Lines, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 122,725 | 4,892,997 | 4,937,227 | 197,185 | ||||||||
Expeditors International of Washington, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 312 | 32,814 | 39,686 | 9,489 | ||||||||
FedEx Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 9,397 | 2,295,948 | 2,377,159 | 168,728 | ||||||||
Norfolk Southern Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,662 | 902,056 | 1,102,004 | 235,669 | ||||||||
Old Dominion Freight Line, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,109 | 655,390 | 854,841 | 224,263 | ||||||||
Uber Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 3,070 | 190,149 | 189,020 | 4,694 | ||||||||
United Parcel Service, Inc., Class B | USFF +0.250% | Weekly | MS | 07/11/28 | 9,338 | 1,313,410 | 1,468,214 | 200,869 | ||||||||
512,405 | 16,036,711 | 16,726,738 | 1,247,885 | |||||||||||||
Utilities | ||||||||||||||||
Constellation Energy Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 13,364 | 1,414,151 | 1,562,118 | 198,145 | ||||||||
NRG Energy, Inc. | USFF +0.250% | Weekly | MS | 07/29/24 | 103,372 | 4,144,067 | 5,344,332 | 1,420,187 | ||||||||
PG&E Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 8,968 | 124,241 | 161,693 | 41,379 | ||||||||
Public Service Enterprise Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 14,462 | 856,833 | 884,351 | 76,615 | ||||||||
140,166 | 6,539,292 | 7,952,494 | 1,736,326 | |||||||||||||
Total Reference Entity — Long | 471,888,448 | 567,343,190 | 118,544,356 |
166
GOTHAM INDEX PLUS FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Short | ||||||||||||||||
Automobiles & Components | ||||||||||||||||
Aptiv PLC (Jersey) | USFF -0.250% | Weekly | MS | 01/07/27 | (13,958) | $(1,896,447) | $(1,252,312) | $596,098 | ||||||||
Ford Motor Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (271,636) | (3,031,838) | (3,311,243) | (399,952) | ||||||||
(285,594) | (4,928,285) | (4,563,555) | 196,146 | |||||||||||||
Banks | ||||||||||||||||
Comerica, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (963) | (94,874) | (53,745) | 33,460 | ||||||||
Fifth Third Bancorp | USFF -0.250% | Weekly | MS | 01/07/27 | (10,935) | (412,597) | (377,148) | 5,823 | ||||||||
Huntington Bancshares, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (15,526) | (254,000) | (197,491) | 40,283 | ||||||||
KeyCorp. | USFF -0.250% | Weekly | MS | 01/07/27 | (18,361) | (375,925) | (264,398) | 85,983 | ||||||||
M&T Bank Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,266) | (603,637) | (447,703) | 119,804 | ||||||||
Regions Financial Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (4,532) | (113,248) | (87,830) | 21,549 | ||||||||
Wells Fargo & Co. | USFF -0.250% | Weekly | MS | 07/08/27 | (6,947) | (328,711) | (341,931) | (31,914) | ||||||||
Zions Bancorp NA | USFF -0.250% | Weekly | MS | 01/07/27 | (2,855) | (201,281) | (125,249) | 61,828 | ||||||||
(63,385) | (2,384,273) | (1,895,495) | 336,816 | |||||||||||||
Capital Goods | ||||||||||||||||
Allegion PLC (Ireland) | USFF -0.250% | Weekly | MS | 01/07/27 | (38,968) | (4,235,714) | (4,936,856) | (833,897) | ||||||||
Axon Enterprise, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (24,589) | (5,066,507) | (6,352,076) | (1,414,059) | ||||||||
Boeing Co. (The) | USFF -0.250% | Weekly | MS | 07/11/28 | (12,460) | (2,491,045) | (3,247,824) | (819,906) | ||||||||
Cummins, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,245) | (836,465) | (777,405) | 36,620 | ||||||||
Dover Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (25,619) | (3,509,293) | (3,940,458) | (535,576) | ||||||||
Fastenal Co. | USFF -0.250% | Weekly | MS | 07/11/28 | (8,187) | (504,144) | (530,272) | (42,109) | ||||||||
Generac Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (26,706) | (4,283,857) | (3,451,483) | 714,746 | ||||||||
Honeywell International, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (5,679) | (1,166,446) | (1,190,943) | (61,660) | ||||||||
Hubbell, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (8,136) | (2,646,496) | (2,676,174) | (96,751) | ||||||||
Huntington Ingalls Industries, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (4,177) | (1,025,139) | (1,084,516) | (125,270) | ||||||||
IDEX Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (17,538) | (3,795,346) | (3,807,675) | (119,170) | ||||||||
L3Harris Technologies, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (19,486) | (3,907,089) | (4,104,141) | (332,391) | ||||||||
Nordson Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (9,038) | (2,198,974) | (2,387,478) | (270,957) | ||||||||
Quanta Services, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,311) | (591,210) | (714,514) | (138,670) | ||||||||
RTX Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (23,114) | (2,326,827) | (1,944,812) | 279,111 | ||||||||
Stanley Black & Decker, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (14,532) | (1,987,869) | (1,425,589) | 469,144 | ||||||||
United Rentals, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,409) | (1,831,552) | (2,528,209) | (765,482) | ||||||||
Westinghouse Air Brake Technologies Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (27,420) | (3,067,853) | (3,479,598) | (495,996) | ||||||||
Xylem, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (58,624) | (6,255,651) | (6,704,241) | (655,842) | ||||||||
(335,238) | (51,727,477) | (55,284,264) | (5,208,115) | |||||||||||||
Commercial & Professional Services | ||||||||||||||||
Ceridian HCM Holding, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (54,531) | (4,181,712) | (3,660,121) | 415,557 |
167
GOTHAM INDEX PLUS FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Commercial & Professional Services — (continued) | ||||||||||||||||
Cintas Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,535) | $(1,323,119) | $(1,527,743) | $(245,896) | ||||||||
Equifax, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (17,578) | (3,726,651) | (4,346,864) | (746,450) | ||||||||
Paychex, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (15,056) | (1,738,778) | (1,793,320) | (104,387) | ||||||||
Paycom Software, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (7,634) | (2,524,223) | (1,578,100) | 874,904 | ||||||||
Rollins, Inc. | USFF -0.250% | Weekly | MS | 07/29/24 | (55,775) | (2,285,473) | (2,435,694) | (229,248) | ||||||||
Verisk Analytics, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (12,810) | (3,074,674) | (3,059,797) | (66,817) | ||||||||
Waste Management, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (21,734) | (3,559,739) | (3,892,559) | (447,906) | ||||||||
(187,653) | (22,414,369) | (22,294,198) | (550,243) | |||||||||||||
Consumer Discretionary Distribution & Retail | ||||||||||||||||
Bath & Body Works, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (44,677) | (1,334,064) | (1,928,259) | (627,960) | ||||||||
Etsy, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (13,576) | (2,265,522) | (1,100,335) | 1,107,783 | ||||||||
Genuine Parts Co. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,935) | (305,195) | (267,998) | 25,981 | ||||||||
O'Reilly Automotive, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,526) | (1,442,600) | (1,449,822) | (43,916) | ||||||||
Ross Stores, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (14,451) | (1,807,261) | (1,999,874) | (242,219) | ||||||||
Tractor Supply Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,649) | (871,936) | (784,644) | 53,980 | ||||||||
(79,814) | (8,026,578) | (7,530,932) | 273,649 | |||||||||||||
Consumer Durables & Apparel | ||||||||||||||||
Hasbro, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,118) | (147,329) | (108,145) | 34,055 | ||||||||
Lululemon Athletica, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (5,222) | (2,157,405) | (2,669,956) | (599,837) | ||||||||
NVR, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (353) | (2,206,662) | (2,471,159) | (320,407) | ||||||||
VF Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (202,602) | (3,453,180) | (3,808,918) | (486,796) | ||||||||
Whirlpool Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,055) | (316,269) | (250,237) | 43,796 | ||||||||
(212,350) | (8,280,845) | (9,308,415) | (1,329,189) | |||||||||||||
Consumer Services | ||||||||||||||||
Airbnb, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (23,520) | (3,240,326) | (3,202,013) | (43,830) | ||||||||
Carnival Corp. (Panama) | USFF -0.250% | Weekly | MS | 01/05/26 | (125,098) | (2,375,723) | (2,319,317) | (4,684) | ||||||||
Chipotle Mexican Grill, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (843) | (1,793,290) | (1,927,907) | (180,036) | ||||||||
Darden Restaurants, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (18,478) | (2,695,530) | (3,035,935) | (408,722) | ||||||||
Domino's Pizza, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (10,585) | (4,144,613) | (4,363,455) | (361,494) | ||||||||
Hilton Worldwide Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (10,390) | (1,721,054) | (1,891,915) | (217,169) | ||||||||
Las Vegas Sands Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (36,808) | (1,743,404) | (1,811,322) | (118,497) | ||||||||
Norwegian Cruise Line Holdings Ltd. (Bermuda) | USFF -0.250% | Weekly | MS | 07/29/24 | (55,681) | (1,433,607) | (1,115,847) | 281,469 | ||||||||
Wynn Resorts Ltd. | USFF -0.250% | Weekly | MS | 07/29/24 | (22,279) | (2,422,701) | (2,029,840) | 290,300 | ||||||||
(303,682) | (21,570,248) | (21,697,551) | (762,663) |
168
GOTHAM INDEX PLUS FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Staples Distribution & Retail | ||||||||||||||||
Dollar General Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (9,058) | $(1,822,239) | $(1,231,435) | $532,208 | ||||||||
Dollar Tree, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (27,515) | (3,709,997) | (3,908,506) | (292,572) | ||||||||
Walgreens Boots Alliance, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (24,883) | (642,864) | (649,695) | (21,634) | ||||||||
(61,456) | (6,175,100) | (5,789,636) | 218,002 | |||||||||||||
Energy | ||||||||||||||||
Chevron Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (8,570) | (1,243,007) | (1,278,301) | (84,167) | ||||||||
Coterra Energy, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (101,607) | (2,741,432) | (2,593,011) | 61,966 | ||||||||
Diamondback Energy, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (20,337) | (3,132,158) | (3,153,862) | (165,332) | ||||||||
Hess Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (52,973) | (7,795,712) | (7,636,588) | (82,702) | ||||||||
Marathon Oil Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (225,192) | (5,507,162) | (5,440,639) | (121,902) | ||||||||
ONEOK, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (63,985) | (4,211,123) | (4,493,027) | (388,685) | ||||||||
Phillips 66 | USFF -0.250% | Weekly | MS | 07/08/27 | (5,176) | (617,503) | (689,133) | (104,160) | ||||||||
Schlumberger NV (Curacao) | USFF -0.250% | Weekly | MS | 07/08/27 | (87,566) | (4,923,270) | (4,556,935) | 197,143 | ||||||||
SPDR S&P 500 ETF Trust | USFF -0.250% | Weekly | MS | 07/11/28 | (4,995) | (2,362,218) | (2,374,173) | (80,358) | ||||||||
Targa Resources Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (41,284) | (3,279,292) | (3,586,341) | (431,775) | ||||||||
Williams Cos., Inc. (The) | USFF -0.250% | Weekly | MS | 07/08/27 | (32,944) | (1,145,329) | (1,147,440) | (77,730) | ||||||||
(644,629) | (36,958,206) | (36,949,450) | (1,277,702) | |||||||||||||
Equity Real Estate Investment Trusts (REITs) | ||||||||||||||||
Boston Properties, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (42,901) | (2,633,255) | (3,010,363) | (534,694) | ||||||||
Equinix, Inc. | USFF -0.250% | Weekly | MS | 07/29/24 | (4,644) | (3,725,783) | (3,740,231) | (188,892) | ||||||||
Equity Residential | USFF -0.250% | Weekly | MS | 01/07/27 | (33,012) | (2,219,177) | (2,019,014) | 88,574 | ||||||||
Essex Property Trust, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (9,831) | (2,089,633) | (2,437,498) | (458,260) | ||||||||
Federal Realty Investment Trust | USFF -0.250% | Weekly | MS | 07/06/26 | (19,317) | (1,974,473) | (1,990,617) | (111,466) | ||||||||
Host Hotels & Resorts, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (33,693) | (622,172) | (656,003) | (92,598) | ||||||||
Invitation Homes, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (13,597) | (451,985) | (463,794) | (29,486) | ||||||||
Iron Mountain, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (39,074) | (2,295,718) | (2,734,399) | (677,929) | ||||||||
Kimco Realty Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (107,722) | (2,435,250) | (2,295,556) | (42,781) | ||||||||
Mid-America Apartment Communities, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (953) | (146,584) | (128,140) | 12,883 | ||||||||
Public Storage | USFF -0.250% | Weekly | MS | 01/10/28 | (9,041) | (2,612,579) | (2,757,505) | (292,240) | ||||||||
Regency Centers Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (44,110) | (2,883,836) | (2,955,370) | (262,245) | ||||||||
UDR, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (21,952) | (920,258) | (840,542) | 45,715 |
169
GOTHAM INDEX PLUS FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Equity Real Estate Investment Trusts (REITs) — (continued) | ||||||||||||||||
Ventas, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (88,283) | $(4,097,073) | $(4,400,025) | $(526,484) | ||||||||
Weyerhaeuser Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (15,948) | (529,765) | (554,512) | (41,790) | ||||||||
(484,078) | (29,637,541) | (30,983,569) | (3,111,693) | |||||||||||||
Financial Services | ||||||||||||||||
Bank of New York Mellon Corp. (The) | USFF -0.250% | Weekly | MS | 01/07/27 | (17,902) | (920,400) | (931,799) | (59,066) | ||||||||
Discover Financial Services | USFF -0.250% | Weekly | MS | 01/10/28 | (945) | (113,461) | (106,218) | 2,591 | ||||||||
FactSet Research Systems, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (10,071) | (4,566,929) | (4,804,371) | (364,858) | ||||||||
Fidelity National Information Services, Inc. | USFF -0.250% | Weekly | MS | 07/29/24 | (82,730) | (5,475,484) | (4,969,591) | 264,059 | ||||||||
Global Payments, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (32,561) | (4,586,126) | (4,135,247) | 293,986 | ||||||||
Jack Henry & Associates, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (26,072) | (3,965,310) | (4,260,426) | (411,656) | ||||||||
MarketAxess Holdings, Inc. | USFF -0.250% | Weekly | MS | 11/03/25 | (1,921) | (597,492) | (562,565) | 16,805 | ||||||||
Moody's Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,841) | (685,673) | (719,021) | (50,658) | ||||||||
MSCI, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (6,442) | (3,717,972) | (3,643,917) | (57,836) | ||||||||
State Street Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (13,127) | (1,204,700) | (1,016,817) | 121,020 | ||||||||
Synchrony Financial | USFF -0.250% | Weekly | MS | 07/06/26 | (27,218) | (1,144,507) | (1,039,455) | 44,483 | ||||||||
(220,830) | (26,978,054) | (26,189,427) | (201,130) | |||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||
Brown-Forman Corp., Class B | USFF -0.250% | Weekly | MS | 07/29/24 | (68,900) | (4,309,775) | (3,934,190) | 234,354 | ||||||||
Bunge Global SA (Switzerland) | USFF -0.250% | Weekly | MS | 01/10/28 | (16,143) | (1,678,893) | (1,629,636) | (2,359) | ||||||||
Conagra Brands, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (10,038) | (405,804) | (287,689) | 95,983 | ||||||||
Hormel Foods Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (108) | (5,313) | (3,468) | 1,713 | ||||||||
Lamb Weston Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/29/24 | (72,984) | (7,252,568) | (7,888,841) | (871,901) | ||||||||
McCormick & Co., Inc. | USFF -0.250% | Weekly | MS | 07/29/24 | (15,748) | (1,578,737) | (1,077,478) | 437,491 | ||||||||
Monster Beverage Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (89,307) | (4,841,166) | (5,144,976) | (426,581) | ||||||||
Tyson Foods, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (155,360) | (7,751,881) | (8,350,600) | (954,233) | ||||||||
(428,588) | (27,824,137) | (28,316,878) | (1,485,533) | |||||||||||||
Health Care Equipment & Services | ||||||||||||||||
Align Technology, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,359) | (1,462,461) | (646,366) | 779,072 | ||||||||
Becton Dickinson & Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,800) | (704,581) | (682,724) | 2,436 | ||||||||
Boston Scientific Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (56,987) | (3,009,272) | (3,294,418) | (383,980) | ||||||||
Cooper Cos., Inc. (The) | USFF -0.250% | Weekly | MS | 07/06/26 | (8,439) | (3,042,722) | (3,193,655) | (228,246) |
170
GOTHAM INDEX PLUS FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Health Care Equipment & Services — (continued) | ||||||||||||||||
Dexcom, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (31,929) | $(3,888,712) | $(3,962,070) | $(199,523) | ||||||||
Edwards Lifesciences Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (12,460) | (1,478,160) | (950,075) | 490,664 | ||||||||
Elevance Health, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (3,854) | (1,914,228) | (1,817,392) | 39,326 | ||||||||
Henry Schein, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (29,122) | (2,419,128) | (2,204,827) | 152,999 | ||||||||
Humana, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (5,525) | (2,780,508) | (2,529,400) | 175,330 | ||||||||
IDEXX Laboratories, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (3,797) | (2,004,455) | (2,107,525) | (172,484) | ||||||||
Insulet Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (21,652) | (5,751,960) | (4,698,051) | 857,692 | ||||||||
Intuitive Surgical, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (5,873) | (1,692,257) | (1,981,315) | (331,914) | ||||||||
Medtronic PLC (Ireland) | USFF -0.250% | Weekly | MS | 07/11/28 | (13,516) | (1,115,101) | (1,113,448) | (2,931) | ||||||||
Quest Diagnostics, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (31,435) | (4,331,380) | (4,334,258) | (150,114) | ||||||||
ResMed, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,683) | (456,769) | (289,510) | 148,902 | ||||||||
STERIS PLC (Ireland) | USFF -0.250% | Weekly | MS | 07/06/26 | (18,521) | (4,028,533) | (4,071,842) | (182,368) | ||||||||
Stryker Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (10,939) | (3,209,760) | (3,275,793) | (155,932) | ||||||||
Universal Health Services, Inc., Class B | USFF -0.250% | Weekly | MS | 01/10/28 | (21,571) | (2,776,791) | (3,288,283) | (586,303) | ||||||||
(282,462) | (46,066,778) | (44,440,952) | 252,626 | |||||||||||||
Household & Personal Products | ||||||||||||||||
Church & Dwight Co., Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (25,454) | (2,446,551) | (2,406,930) | (35,887) | ||||||||
Clorox Co. (The) | USFF -0.250% | Weekly | MS | 01/05/26 | (33,029) | (4,474,347) | (4,709,605) | (384,365) | ||||||||
Estee Lauder Cos., Inc. (The), Class A | USFF -0.250% | Weekly | MS | 07/08/27 | (28,095) | (4,455,076) | (4,108,894) | 203,539 | ||||||||
(86,578) | (11,375,974) | (11,225,429) | (216,713) | |||||||||||||
Insurance | ||||||||||||||||
Allstate Corp. (The) | USFF -0.250% | Weekly | MS | 01/07/27 | (17,997) | (2,429,436) | (2,519,220) | (227,344) | ||||||||
American International Group, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (21,535) | (1,384,682) | (1,458,996) | (137,756) | ||||||||
Aon PLC, Class A (Ireland) | USFF -0.250% | Weekly | MS | 07/11/28 | (7,915) | (2,583,169) | (2,303,423) | 214,280 | ||||||||
Arthur J Gallagher & Co. | USFF -0.250% | Weekly | MS | 07/11/28 | (10,995) | (2,620,939) | (2,472,556) | 76,026 | ||||||||
Everest Group Ltd. (Bermuda) | USFF -0.250% | Weekly | MS | 07/11/28 | (3,527) | (1,371,648) | (1,247,077) | 85,340 | ||||||||
Globe Life, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (6,931) | (793,780) | (843,641) | (70,688) | ||||||||
Hartford Financial Services Group, Inc. (The) | USFF -0.250% | Weekly | MS | 07/08/27 | (22,162) | (1,653,484) | (1,781,382) | (191,277) | ||||||||
Principal Financial Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (10,512) | (772,460) | (826,979) | (78,984) |
171
GOTHAM INDEX PLUS FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Insurance — (continued) | ||||||||||||||||
Progressive Corp. (The) | USFF -0.250% | Weekly | MS | 07/11/28 | (8,954) | $(1,409,256) | $(1,426,193) | $(52,610) | ||||||||
Prudential Financial, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (8,257) | (895,664) | (856,333) | (32,728) | ||||||||
Travelers Cos., Inc. (The) | USFF -0.250% | Weekly | MS | 07/08/27 | (10,810) | (1,889,860) | (2,059,197) | (233,709) | ||||||||
W R Berkley Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (10,115) | (701,657) | (715,333) | (42,093) | ||||||||
(139,710) | (18,506,035) | (18,510,330) | (691,543) | |||||||||||||
Materials | ||||||||||||||||
Air Products and Chemicals, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (18,350) | (5,185,794) | (5,024,230) | (19,200) | ||||||||
Albemarle Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (7,755) | (1,817,425) | (1,120,442) | 641,694 | ||||||||
Amcor PLC (Jersey) | USFF -0.250% | Weekly | MS | 07/08/27 | (914) | (11,434) | (8,811) | 1,975 | ||||||||
Avery Dennison Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (15,308) | (2,883,774) | (3,094,665) | (354,202) | ||||||||
Ball Corp. | USFF -0.250% | Weekly | MS | 11/03/25 | (16,433) | (1,062,393) | (945,226) | 77,545 | ||||||||
Celanese Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (13,949) | (1,717,941) | (2,167,256) | (495,661) | ||||||||
Corteva, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (111,004) | (6,284,283) | (5,319,312) | 764,273 | ||||||||
Dow, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (27,751) | (1,427,695) | (1,521,865) | (132,210) | ||||||||
FMC Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (46,252) | (5,077,032) | (2,916,189) | 1,953,440 | ||||||||
Freeport-McMoRan, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (14,497) | (503,569) | (617,137) | (126,060) | ||||||||
International Flavors & Fragrances, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,131) | (169,264) | (91,577) | 69,093 | ||||||||
Newmont Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (32,633) | (1,405,325) | (1,350,680) | (13,943) | ||||||||
Vulcan Materials Co. | USFF -0.250% | Weekly | MS | 07/11/28 | (8,323) | (1,865,310) | (1,889,404) | (71,342) | ||||||||
Westrock Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (66,784) | (2,448,901) | (2,772,872) | (404,673) | ||||||||
(381,084) | (31,860,140) | (28,839,666) | 1,890,729 | |||||||||||||
Media & Entertainment | ||||||||||||||||
Live Nation Entertainment, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (26,096) | (2,489,562) | (2,442,586) | (16,113) | ||||||||
Match Group, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (10,408) | (1,604,491) | (379,892) | 1,277,277 | ||||||||
Paramount Global, Class B | USFF -0.630% | Weekly | MS | 01/07/27 | (48,565) | (988,883) | (718,276) | 228,151 | ||||||||
(85,069) | (5,082,936) | (3,540,754) | 1,489,315 | |||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||
Agilent Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,990) | (423,240) | (415,700) | (4,444) | ||||||||
Bio-Rad Laboratories, Inc., Class A | USFF -0.250% | Weekly | MS | 01/05/26 | (1,185) | (847,877) | (382,625) | 443,826 | ||||||||
Bio-Techne Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (50,191) | (4,522,857) | (3,872,738) | 513,420 | ||||||||
Catalent, Inc. | USFF -0.250% | Weekly | MS | 11/03/25 | (137,495) | (10,092,651) | (6,177,650) | 3,631,644 | ||||||||
Charles River Laboratories International, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (7,284) | (1,605,167) | (1,721,938) | (171,298) | ||||||||
Eli Lilly & Co. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,238) | (732,439) | (721,655) | (8,178) | ||||||||
Moderna, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (86,241) | (8,718,499) | (8,576,667) | (136,993) |
172
GOTHAM INDEX PLUS FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||||||||
Regeneron Pharmaceuticals, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,535) | $(2,130,902) | $(2,226,465) | $(149,550) | ||||||||
Revvity, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (10,402) | (1,147,284) | (1,137,043) | (18,601) | ||||||||
Thermo Fisher Scientific, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,920) | (1,051,267) | (1,019,117) | 3,923 | ||||||||
Waters Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (11,088) | (3,169,215) | (3,650,502) | (580,847) | ||||||||
Zoetis, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (20,573) | (3,968,726) | (4,060,493) | (219,008) | ||||||||
(333,142) | (38,410,124) | (33,962,593) | 3,303,894 | |||||||||||||
Real Estate Management & Development | ||||||||||||||||
CBRE Group, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (10,196) | (834,154) | (949,146) | (146,401) | ||||||||
CoStar Group, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (8,903) | (749,947) | (778,033) | (47,026) | ||||||||
(19,099) | (1,584,101) | (1,727,179) | (193,427) | |||||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Advanced Micro Devices, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (4,741) | (663,535) | (698,871) | (53,105) | ||||||||
Analog Devices, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (23,225) | (4,090,632) | (4,611,556) | (651,447) | ||||||||
Enphase Energy, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (26,214) | (4,575,369) | (3,463,918) | 995,426 | ||||||||
First Solar, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (20,188) | (3,822,067) | (3,477,989) | 246,778 | ||||||||
Intel Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (67,359) | (2,566,751) | (3,384,790) | (972,500) | ||||||||
Monolithic Power Systems, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,912) | (1,559,318) | (1,836,831) | (327,114) | ||||||||
Qorvo, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (46,037) | (4,030,906) | (5,184,227) | (1,259,845) | ||||||||
Teradyne, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (36,477) | (3,885,080) | (3,958,484) | (184,571) | ||||||||
Texas Instruments, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (22,171) | (3,886,607) | (3,779,269) | (32,799) | ||||||||
(249,324) | (29,080,265) | (30,395,935) | (2,239,177) | |||||||||||||
Software & Services | ||||||||||||||||
Akamai Technologies, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (17,179) | (1,779,582) | (2,033,135) | (298,625) | ||||||||
Fortinet, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (72,621) | (4,357,992) | (4,250,507) | (4,903) | ||||||||
Gartner, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,705) | (1,692,462) | (2,122,473) | (472,871) | ||||||||
Intuit, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,550) | (1,464,218) | (1,593,827) | (166,810) | ||||||||
Palo Alto Networks, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (10,614) | (2,621,777) | (3,129,856) | (574,525) | ||||||||
PTC, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (21,151) | (2,965,565) | (3,700,579) | (841,481) | ||||||||
Tyler Technologies, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (11,052) | (4,544,932) | (4,621,062) | (191,383) | ||||||||
(139,872) | (19,426,528) | (21,451,439) | (2,550,598) | |||||||||||||
Technology Hardware & Equipment | ||||||||||||||||
Arista Networks, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (12,575) | (2,392,229) | (2,961,538) | (629,929) | ||||||||
Corning, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (61,799) | (2,149,805) | (1,881,780) | 162,165 |
173
GOTHAM INDEX PLUS FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Technology Hardware & Equipment — (continued) | ||||||||||||||||
Juniper Networks, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (11,151) | $(380,122) | $(328,731) | $34,476 | ||||||||
Keysight Technologies, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (701) | (125,094) | (111,522) | 10,490 | ||||||||
Motorola Solutions, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (6,966) | (2,044,886) | (2,180,985) | (195,998) | ||||||||
Trimble, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (19,914) | (1,465,928) | (1,059,425) | 369,392 | ||||||||
Western Digital Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (157,871) | (6,720,483) | (8,267,704) | (1,717,687) | ||||||||
Zebra Technologies Corp., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (8,112) | (1,796,477) | (2,217,253) | (500,589) | ||||||||
(279,089) | (17,075,024) | (19,008,938) | (2,467,680) | |||||||||||||
Transportation | ||||||||||||||||
CH Robinson Worldwide, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (20,646) | (1,770,549) | (1,783,608) | (72,339) | ||||||||
JB Hunt Transport Services, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (17,454) | (3,405,171) | (3,486,262) | (205,435) | ||||||||
Southwest Airlines Co. | USFF -0.250% | Weekly | MS | 01/05/26 | (226,768) | (8,091,941) | (6,549,060) | 1,227,494 | ||||||||
Union Pacific Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (6,746) | (1,544,043) | (1,656,953) | (172,628) | ||||||||
United Airlines Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (95,329) | (4,567,342) | (3,933,275) | 518,246 | ||||||||
(366,943) | (19,379,046) | (17,409,158) | 1,295,338 | |||||||||||||
Utilities | ||||||||||||||||
AES Corp. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (56,336) | (1,326,750) | (1,084,468) | 187,599 | ||||||||
Alliant Energy Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (69,658) | (3,876,192) | (3,573,455) | 100,003 | ||||||||
Ameren Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (34,802) | (2,929,171) | (2,517,577) | 276,351 | ||||||||
American Electric Power Co., Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (30,707) | (2,949,514) | (2,494,023) | 258,784 | ||||||||
American Water Works Co., Inc. | USFF -0.250% | Weekly | MS | 11/03/25 | (10,398) | (1,630,558) | (1,372,432) | 177,326 | ||||||||
Atmos Energy Corp. | USFF -0.250% | Weekly | MS | 07/29/24 | (18,285) | (2,092,360) | (2,119,231) | (135,188) | ||||||||
CenterPoint Energy, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (85,512) | (2,499,349) | (2,443,078) | (48,532) | ||||||||
CMS Energy Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (53,384) | (3,396,628) | (3,100,009) | 122,340 | ||||||||
Consolidated Edison, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (19,371) | (1,746,799) | (1,762,180) | (59,621) | ||||||||
Dominion Energy, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (16,756) | (871,192) | (787,532) | 52,867 | ||||||||
DTE Energy Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (20,285) | (2,183,888) | (2,236,624) | (164,078) | ||||||||
Duke Energy Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (17,618) | (1,743,936) | (1,709,651) | (59,644) | ||||||||
Edison International | USFF -0.250% | Weekly | MS | 07/29/24 | (42,644) | (2,985,567) | (3,048,620) | (293,684) | ||||||||
Entergy Corp. | USFF -0.250% | Weekly | MS | 07/29/24 | (18,355) | (1,838,985) | (1,857,342) | (75,020) | ||||||||
Evergy, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (63,009) | (3,809,629) | (3,289,070) | 291,505 | ||||||||
Eversource Energy | USFF -0.250% | Weekly | MS | 07/29/24 | (34,946) | (2,629,716) | (2,156,867) | 280,923 | ||||||||
Exelon Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (82,163) | (3,225,582) | (2,949,652) | 156,939 | ||||||||
FirstEnergy Corp. | USFF -0.250% | Weekly | MS | 07/29/24 | (65,997) | (2,626,324) | (2,419,450) | 81,139 | ||||||||
NextEra Energy, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (7,427) | (668,682) | (451,116) | 184,983 | ||||||||
NiSource, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (105,324) | (3,078,422) | (2,796,352) | 109,282 |
174
GOTHAM INDEX PLUS FUND
Portfolio of Investments
(Concluded)
December 31, 2023
(Unaudited)
Total Return Swaps (concluded)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Utilities — (continued) | ||||||||||||||||
Pinnacle West Capital Corp. | USFF -0.250% | Weekly | MS | 07/29/24 | (45,167) | $(3,489,519) | $(3,244,797) | $71,091 | ||||||||
PPL Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (9,327) | (258,178) | (252,762) | (3,029) | ||||||||
Sempra | USFF -0.250% | Weekly | MS | 01/07/27 | (27,939) | (2,133,437) | (2,087,881) | (67,454) | ||||||||
Southern Co. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (45,507) | (3,242,509) | (3,190,951) | (92,968) | ||||||||
WEC Energy Group, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (24,234) | (2,284,382) | (2,039,776) | 127,891 | ||||||||
Xcel Energy, Inc. | USFF -0.250% | Weekly | MS | 11/03/25 | (43,326) | (2,812,608) | (2,682,313) | (13,602) | ||||||||
(1,048,477) | (62,329,877) | (57,667,209) | 1,466,203 | |||||||||||||
Total Reference Entity — Short | (547,081,941) | (538,982,952) | (11,562,688) | |||||||||||||
Net Value of Reference Entity | $(75,193,493) | $28,360,238 | $106,981,668 |
* | Includes $3,427,937 related to open trades, dividends receivables/payables and swap receivables/payables activities. |
MS | Morgan Stanley |
USFF | U.S. Fed Funds |
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 total return swaps with end of period
unrealized appreciation of $106,981,668, which are considered Level 2 as of and for the period ended December 31, 2023.
For additional information about
significant accounting policies, including valuation of investments, refer to the Fund’s most recent annual or semi-annual report.
175
GOTHAM LARGE VALUE FUND
Portfolio of Investments
December 31, 2023
(Unaudited)
176
GOTHAM LARGE VALUE FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
177
GOTHAM LARGE VALUE FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
178
GOTHAM LARGE VALUE FUND
Portfolio of Investments
(Concluded)
December 31, 2023
(Unaudited)
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 as of and for the period ended December 31, 2023.
For additional information about
significant accounting policies, including valuation of investments, refer to the Fund’s most recent annual or semi-annual report.
179
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments
December 31, 2023
(Unaudited)
180
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
181
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
182
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
183
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
184
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
185
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments
(Concluded)
December 31, 2023
(Unaudited)
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 as of and for the period ended December 31, 2023.
For additional information about
significant accounting policies, including valuation of investments, refer to the Fund’s most recent annual or semi-annual report.
186
GOTHAM HEDGED CORE FUND
Portfolio of Investments
December 31, 2023
(Unaudited)
187
GOTHAM HEDGED CORE FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
188
GOTHAM HEDGED CORE FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
189
GOTHAM HEDGED CORE FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
190
GOTHAM HEDGED CORE FUND
Portfolio of Investments
(Concluded)
December 31, 2023
(Unaudited)
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 as of and for the period ended December 31, 2023.
For additional information about
significant accounting policies, including valuation of investments, refer to the Fund’s most recent annual or semi-annual report.
191
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments
December 31, 2023
(Unaudited)
192
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
193
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Software & Services — (Continued) | |||
Roper Technologies, Inc. | 18 | $ 9,813 | |
Salesforce, Inc.(a)* | 686 | 180,514 | |
Synopsys, Inc.* | 70 | 36,044 | |
VeriSign, Inc.* | 1 | 206 | |
1,063,506 | |||
Technology Hardware & Equipment — 10.5% | |||
Apple, Inc.(a) | 2,585 | 497,690 | |
CDW Corp. | 590 | 134,119 | |
Cisco Systems, Inc.(a) | 5,527 | 279,224 | |
F5, Inc.* | 430 | 76,961 | |
HP, Inc. | 2,847 | 85,666 | |
Jabil, Inc. | 1,444 | 183,966 | |
Juniper Networks, Inc. | 5,119 | 150,908 | |
Keysight Technologies, Inc.* | 845 | 134,431 | |
NetApp, Inc. | 1,752 | 154,456 | |
Seagate Technology Holdings PLC (Ireland) | 635 | 54,210 | |
TE Connectivity Ltd. (Switzerland) | 112 | 15,736 | |
1,767,367 | |||
Telecommunication Services — 2.4% | |||
AT&T, Inc. | 4,352 | 73,027 | |
T-Mobile US, Inc.(a) | 1,336 | 214,201 | |
Verizon Communications, Inc.(a) | 3,009 | 113,439 | |
400,667 | |||
Transportation — 2.3% | |||
American Airlines Group, Inc.* | 4,053 | 55,688 | |
CH Robinson Worldwide, Inc. | 142 | 12,267 | |
Delta Air Lines, Inc. | 1,564 | 62,920 | |
Expeditors International of Washington, Inc. | 131 | 16,663 | |
FedEx Corp.(a) | 766 | 193,775 | |
United Parcel Service, Inc., Class B | 252 | 39,622 | |
380,935 | |||
TOTAL COMMON STOCKS (Cost $13,703,958) | 15,870,161 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES - 5.4% | 912,886 | ||
NET ASSETS - 100.0% | $16,783,047 |
(a) | Security position is either entirely or partially designated as collateral for total return swaps. |
* | Non-income producing. |
PLC | Public Limited Company |
194
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
The portfolio matures between
August 29, 2024 and July 11, 2028, however underlying individual contracts are entered into and closed (terminated) on a daily basis. The maturity date shown in the table below is the earliest maturity date for the
specific entity. The following table represents the individual long and short positions and related values of total return swaps, which represents 4.2% of net assets as of December 31, 2023:
Total Return Swaps
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Long | ||||||||||||||||
Automobiles & Components | ||||||||||||||||
BorgWarner, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,096 | $79,165 | $75,142 | $(1,158) | ||||||||
Capital Goods | ||||||||||||||||
A. O. Smith Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 481 | 31,997 | 39,654 | 9,041 | ||||||||
Builders FirstSource, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 680 | 112,221 | 113,519 | 5,267 | ||||||||
Carrier Global Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 177 | 8,194 | 10,169 | 2,344 | ||||||||
Emerson Electric Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 608 | 55,703 | 59,177 | 5,935 | ||||||||
Fastenal Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 247 | 15,469 | 15,998 | 1,132 | ||||||||
General Electric Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,077 | 106,682 | 137,458 | 34,809 | ||||||||
Johnson Controls International PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/11/28 | 640 | 34,182 | 36,890 | 4,491 | ||||||||
Lockheed Martin Corp. | USFF +0.250% | Weekly | MS | 08/29/24 | 330 | 141,119 | 149,569 | 18,633 | ||||||||
Masco Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 469 | 27,765 | 31,414 | 4,891 | ||||||||
Northrop Grumman Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 24 | 8,533 | 11,235 | 3,857 | ||||||||
Pentair PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/08/27 | 1,169 | 65,517 | 84,998 | 23,217 | ||||||||
Snap-on, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 676 | 168,486 | 195,256 | 36,274 | ||||||||
WW Grainger, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 178 | 116,711 | 147,507 | 36,522 | ||||||||
6,756 | 892,579 | 1,032,844 | 186,413 | |||||||||||||
Commercial & Professional Services | ||||||||||||||||
Copart, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,005 | 39,049 | 49,245 | 11,609 | ||||||||
Leidos Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 189 | 20,052 | 20,457 | 1,189 | ||||||||
Republic Services, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 361 | 52,768 | 59,533 | 9,043 | ||||||||
1,555 | 111,869 | 129,235 | 21,841 | |||||||||||||
Consumer Discretionary Distribution & Retail | ||||||||||||||||
Amazon.com, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 2,050 | 198,741 | 311,477 | 119,726 | ||||||||
AutoZone, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 7 | 17,816 | 18,099 | 956 | ||||||||
Best Buy Co., Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 27 | 1,813 | 2,114 | 567 | ||||||||
eBay, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 1,973 | 77,169 | 86,062 | 14,431 | ||||||||
Genuine Parts Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,059 | 139,300 | 146,672 | 13,483 | ||||||||
Home Depot, Inc. (The) | USFF +0.250% | Weekly | MS | 07/11/28 | 144 | 48,947 | 49,903 | 2,741 | ||||||||
LKQ Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 800 | 37,939 | 38,232 | 1,814 | ||||||||
Lowe's Cos., Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 182 | 34,146 | 40,504 | 8,512 | ||||||||
O'Reilly Automotive, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1 | 943 | 950 | 90 |
195
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Discretionary Distribution & Retail — (continued) | ||||||||||||||||
TJX Cos., Inc. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 315 | $24,779 | $29,550 | $5,941 | ||||||||
Ulta Beauty, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 66 | 26,632 | 32,339 | 6,687 | ||||||||
6,624 | 608,225 | 755,902 | 174,948 | |||||||||||||
Consumer Durables & Apparel | ||||||||||||||||
Garmin Ltd. (Switzerland) | USFF +0.250% | Weekly | MS | 01/10/28 | 1,686 | 175,356 | 216,718 | 50,001 | ||||||||
NIKE, Inc., Class B | USFF +0.250% | Weekly | MS | 01/07/27 | 272 | 30,164 | 29,531 | 887 | ||||||||
PulteGroup, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 643 | 45,805 | 66,370 | 22,430 | ||||||||
Tapestry, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 2,455 | 68,789 | 90,369 | 24,906 | ||||||||
5,056 | 320,114 | 402,988 | 98,224 | |||||||||||||
Consumer Services | ||||||||||||||||
Booking Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 52 | 154,368 | 184,455 | 35,527 | ||||||||
Marriott International, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 389 | 67,457 | 87,723 | 23,209 | ||||||||
McDonald's Corp. | USFF +0.250% | Weekly | MS | 08/29/24 | 281 | 75,104 | 83,319 | 12,812 | ||||||||
MGM Resorts International | USFF +0.250% | Weekly | MS | 01/07/27 | 399 | 13,725 | 17,827 | 4,771 | ||||||||
Yum! Brands, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 389 | 48,604 | 50,827 | 4,886 | ||||||||
1,510 | 359,258 | 424,151 | 81,205 | |||||||||||||
Consumer Staples Distribution & Retail | ||||||||||||||||
Kroger Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 3,481 | 156,995 | 159,117 | 12,695 | ||||||||
Sysco Corp. | USFF +0.250% | Weekly | MS | 08/29/24 | 95 | 6,224 | 6,947 | 1,629 | ||||||||
3,576 | 163,219 | 166,064 | 14,324 | |||||||||||||
Energy | ||||||||||||||||
Baker Hughes Co. | USFF +0.250% | Weekly | MS | 07/08/27 | 886 | 23,443 | 30,283 | 8,454 | ||||||||
ConocoPhillips | USFF +0.250% | Weekly | MS | 01/10/28 | 48 | 4,825 | 5,571 | 1,067 | ||||||||
Marathon Petroleum Corp. | USFF +0.250% | Weekly | MS | 07/06/26 | 76 | 9,081 | 11,275 | 3,539 | ||||||||
Phillips 66 | USFF +0.250% | Weekly | MS | 07/11/28 | 144 | 17,950 | 19,172 | 2,430 | ||||||||
Pioneer Natural Resources Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 310 | 70,548 | 69,713 | 2,706 | ||||||||
1,464 | 125,847 | 136,014 | 18,196 | |||||||||||||
Financial Services | ||||||||||||||||
Berkshire Hathaway, Inc., Class B | USFF +0.250% | Weekly | MS | 08/29/24 | 264 | 68,376 | 94,158 | 28,271 | ||||||||
Cboe Global Markets, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,098 | 150,128 | 196,059 | 53,212 | ||||||||
CME Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 156 | 26,475 | 32,854 | 10,416 | ||||||||
Fiserv, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 591 | 74,335 | 78,508 | 6,819 | ||||||||
FleetCor Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 104 | 21,860 | 29,391 | 9,181 | ||||||||
Intercontinental Exchange, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 5 | 485 | 642 | 720 |
196
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Financial Services — (continued) | ||||||||||||||||
MarketAxess Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 79 | $19,938 | $23,135 | $4,842 | ||||||||
Mastercard, Inc., Class A | USFF +0.250% | Weekly | MS | 08/29/24 | 174 | 46,901 | 74,213 | 30,234 | ||||||||
Nasdaq, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 1,015 | 49,033 | 59,012 | 15,387 | ||||||||
PayPal Holdings, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,122 | 111,348 | 130,312 | 22,902 | ||||||||
T Rowe Price Group, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 31 | 3,058 | 3,338 | 1,003 | ||||||||
Visa, Inc., Class A | USFF +0.250% | Weekly | MS | 08/29/24 | 220 | 40,543 | 57,277 | 19,366 | ||||||||
5,859 | 612,480 | 778,899 | 202,353 | |||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||
Altria Group, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 5,203 | 220,691 | 209,889 | 21,364 | ||||||||
Archer-Daniels-Midland Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 398 | 28,687 | 28,744 | 1,274 | ||||||||
Campbell Soup Co. | USFF +0.250% | Weekly | MS | 07/06/26 | 4,566 | 218,509 | 197,388 | (9,179) | ||||||||
Coca-Cola Co. (The) | USFF +0.250% | Weekly | MS | 07/06/26 | 2,868 | 163,386 | 169,011 | 14,714 | ||||||||
Conagra Brands, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,596 | 80,485 | 74,401 | (175) | ||||||||
General Mills, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 3,200 | 222,778 | 208,448 | 10,021 | ||||||||
Hershey Co. (The) | USFF +0.250% | Weekly | MS | 01/05/26 | 390 | 75,945 | 72,712 | 428 | ||||||||
Hormel Foods Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,898 | 106,389 | 93,055 | (8,360) | ||||||||
J M Smucker Co. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 1,352 | 198,906 | 170,866 | (17,006) | ||||||||
Kellanova | USFF -0.250% | Weekly | MS | 01/07/27 | 2,892 | 188,045 | 161,692 | (12,511) | ||||||||
Keurig Dr Pepper, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 4,748 | 150,939 | 158,203 | 14,098 | ||||||||
Kraft Heinz Co. (The) | USFF +0.250% | Weekly | MS | 08/29/24 | 5,467 | 191,029 | 202,170 | 25,323 | ||||||||
McCormick & Co., Inc./MD | USFF +0.250% | Weekly | MS | 07/11/28 | 359 | 21,661 | 24,563 | 3,957 | ||||||||
Molson Coors Beverage Co., Class B | USFF +0.250% | Weekly | MS | 07/11/28 | 3,038 | 192,288 | 185,956 | 2,643 | ||||||||
Mondelez International, Inc., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 2,260 | 154,997 | 163,692 | 15,682 | ||||||||
PepsiCo, Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 805 | 132,581 | 136,721 | 10,858 | ||||||||
Philip Morris International, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 1,029 | 96,171 | 96,808 | 8,639 | ||||||||
44,069 | 2,443,487 | 2,354,319 | 81,770 | |||||||||||||
Health Care Equipment & Services | ||||||||||||||||
Abbott Laboratories | USFF +0.250% | Weekly | MS | 08/29/24 | 257 | 25,238 | 28,288 | 4,928 | ||||||||
Baxter International, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 734 | 24,699 | 28,376 | 4,803 | ||||||||
Cardinal Health, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,527 | 138,149 | 153,922 | 22,826 | ||||||||
Cencora, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 601 | 109,379 | 123,433 | 19,138 | ||||||||
Centene Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,230 | 78,254 | 91,278 | 15,807 | ||||||||
Cigna Group (The) | USFF +0.250% | Weekly | MS | 07/06/26 | 134 | 35,939 | 40,126 | 6,722 | ||||||||
CVS Health Corp. | USFF +0.250% | Weekly | MS | 08/29/24 | 1,698 | 121,671 | 134,074 | 19,875 | ||||||||
DaVita, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 686 | 48,039 | 71,865 | 27,283 |
197
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Health Care Equipment & Services — (continued) | ||||||||||||||||
GE HealthCare Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,784 | $119,948 | $137,939 | $22,343 | ||||||||
Henry Schein, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 203 | 13,996 | 15,369 | 2,035 | ||||||||
Hologic, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,093 | 148,499 | 149,545 | 6,281 | ||||||||
Laboratory Corp. of America Holdings | USFF +0.250% | Weekly | MS | 07/11/28 | 202 | 43,683 | 45,913 | 3,830 | ||||||||
McKesson Corp. | USFF +0.250% | Weekly | MS | 01/05/26 | 468 | 201,129 | 216,675 | 23,583 | ||||||||
Molina Healthcare, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 591 | 173,269 | 213,534 | 46,365 | ||||||||
Quest Diagnostics, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 28 | 3,541 | 3,861 | 493 | ||||||||
UnitedHealth Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 122 | 65,508 | 64,229 | 1,220 | ||||||||
12,358 | 1,350,941 | 1,518,427 | 227,532 | |||||||||||||
Household & Personal Products | ||||||||||||||||
Church & Dwight Co., Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 744 | 62,458 | 70,353 | 10,769 | ||||||||
Colgate-Palmolive Co. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,260 | 94,914 | 100,435 | 9,802 | ||||||||
Kenvue, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 15,093 | 291,757 | 324,952 | 44,949 | ||||||||
Kimberly-Clark Corp. | USFF +0.250% | Weekly | MS | 01/07/27 | 1,949 | 238,728 | 236,823 | 17,201 | ||||||||
Procter & Gamble Co. (The) | USFF +0.250% | Weekly | MS | 07/08/27 | 1,141 | 160,770 | 167,202 | 16,426 | ||||||||
20,187 | 848,627 | 899,765 | 99,147 | |||||||||||||
Insurance | ||||||||||||||||
Brown & Brown, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,886 | 121,194 | 134,113 | 17,602 | ||||||||
Marsh & McLennan Cos., Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,199 | 228,937 | 227,175 | 6,282 | ||||||||
Willis Towers Watson PLC (Ireland) | USFF +0.250% | Weekly | MS | 07/11/28 | 132 | 31,467 | 31,838 | 1,618 | ||||||||
3,217 | 381,598 | 393,126 | 25,502 | |||||||||||||
Materials | ||||||||||||||||
Amcor PLC (Jersey) | USFF +0.250% | Weekly | MS | 07/11/28 | 11,370 | 103,195 | 109,607 | 11,668 | ||||||||
International Paper Co. | USFF +0.250% | Weekly | MS | 07/11/28 | 265 | 8,773 | 9,580 | 1,461 | ||||||||
Packaging Corp. of America | USFF +0.250% | Weekly | MS | 07/08/27 | 223 | 32,416 | 36,329 | 6,038 | ||||||||
11,858 | 144,384 | 155,516 | 19,167 | |||||||||||||
Media & Entertainment | ||||||||||||||||
Alphabet, Inc., Class A | USFF +0.250% | Weekly | MS | 08/29/24 | 1,813 | 161,403 | 253,258 | 97,743 | ||||||||
Charter Communications, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 26 | 7,978 | 10,106 | 2,456 | ||||||||
Comcast Corp., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 3,815 | 138,010 | 167,288 | 39,245 |
198
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Media & Entertainment — (continued) | ||||||||||||||||
Electronic Arts, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 882 | $105,826 | $120,666 | $18,814 | ||||||||
Fox Corp., Class A | USFF +0.250% | Weekly | MS | 01/10/28 | 995 | 30,276 | 29,522 | 386 | ||||||||
Interpublic Group of Cos., Inc. (The) | USFF +0.250% | Weekly | MS | 01/10/28 | 4,282 | 141,977 | 139,764 | 5,683 | ||||||||
Match Group, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 705 | 20,481 | 25,733 | 6,016 | ||||||||
Meta Platforms, Inc., Class A | USFF +0.250% | Weekly | MS | 07/08/27 | 429 | 102,846 | 151,849 | 53,860 | ||||||||
Netflix, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 198 | 78,610 | 96,402 | 20,795 | ||||||||
Omnicom Group, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,814 | 151,107 | 156,929 | 15,126 | ||||||||
Take-Two Interactive Software, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 23 | 2,450 | 3,702 | 1,387 | ||||||||
14,982 | 940,964 | 1,155,219 | 261,511 | |||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||
AbbVie, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 338 | 46,562 | 52,380 | 8,128 | ||||||||
Amgen, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 411 | 94,538 | 118,376 | 29,498 | ||||||||
Bristol-Myers Squibb Co. | USFF +0.250% | Weekly | MS | 07/06/26 | 2,866 | 164,376 | 147,054 | (7,209) | ||||||||
Danaher Corp. | USFF +0.250% | Weekly | MS | 08/29/24 | 112 | 24,465 | 25,910 | 2,556 | ||||||||
Gilead Sciences, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 191 | 15,265 | 15,473 | 818 | ||||||||
Illumina, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 19 | 5,688 | 2,646 | (2,794) | ||||||||
Incyte Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,088 | 58,412 | 68,316 | 11,993 | ||||||||
Johnson & Johnson | USFF +0.250% | Weekly | MS | 08/29/24 | 1,091 | 168,218 | 171,003 | 16,941 | ||||||||
Merck & Co., Inc. | USFF +0.250% | Weekly | MS | 07/06/26 | 410 | 41,653 | 44,698 | 7,063 | ||||||||
Vertex Pharmaceuticals, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 62 | 21,497 | 25,227 | 4,824 | ||||||||
6,588 | 640,674 | 671,083 | 71,818 | |||||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Applied Materials, Inc. | USFF +0.250% | Weekly | MS | 01/07/27 | 2,033 | 265,501 | 329,488 | 75,866 | ||||||||
Broadcom, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 274 | 174,210 | 305,853 | 142,213 | ||||||||
KLA Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 243 | 97,183 | 141,256 | 48,726 | ||||||||
Lam Research Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 124 | 49,660 | 97,124 | 53,669 | ||||||||
QUALCOMM, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 115 | 15,290 | 16,632 | 3,430 | ||||||||
Skyworks Solutions, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,100 | 106,071 | 123,662 | 22,645 | ||||||||
3,889 | 707,915 | 1,014,015 | 346,549 | |||||||||||||
Software & Services | ||||||||||||||||
Accenture PLC, Class A (Ireland) | USFF +0.250% | Weekly | MS | 07/11/28 | 314 | 105,609 | 110,186 | 8,314 | ||||||||
Adobe, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 35 | 21,231 | 20,881 | 441 | ||||||||
Akamai Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 246 | 19,193 | 29,114 | 10,641 | ||||||||
Gen Digital, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 5,214 | 85,951 | 118,983 | 37,985 |
199
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Software & Services — (continued) | ||||||||||||||||
International Business Machines Corp. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,298 | $163,930 | $212,288 | $60,507 | ||||||||
Microsoft Corp. | USFF +0.250% | Weekly | MS | 08/29/24 | 1,319 | 266,462 | 495,997 | 251,420 | ||||||||
Oracle Corp. | USFF +0.250% | Weekly | MS | 07/11/28 | 1 | 102 | 105 | 345 | ||||||||
Roper Technologies, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 14 | 5,584 | 7,632 | 2,401 | ||||||||
Salesforce, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 731 | 133,679 | 192,355 | 63,394 | ||||||||
Synopsys, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 74 | 38,696 | 38,103 | 808 | ||||||||
VeriSign, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1 | 206 | 206 | 57 | ||||||||
9,247 | 840,643 | 1,225,850 | 436,313 | |||||||||||||
Technology Hardware & Equipment | ||||||||||||||||
Apple, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 1,978 | 149,439 | 380,824 | 243,785 | ||||||||
CDW Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 584 | 98,159 | 132,755 | 39,060 | ||||||||
Cisco Systems, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 5,201 | 242,931 | 262,755 | 45,431 | ||||||||
F5, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 409 | 61,351 | 73,203 | 14,044 | ||||||||
HP, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 2,808 | 75,924 | 84,493 | 12,844 | ||||||||
Jabil, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,428 | 185,091 | 181,927 | 3,349 | ||||||||
Juniper Networks, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 5,070 | 138,235 | 149,464 | 18,559 | ||||||||
Keysight Technologies, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 831 | 104,239 | 132,204 | 31,655 | ||||||||
NetApp, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 1,710 | 119,244 | 150,754 | 37,289 | ||||||||
Seagate Technology Holdings PLC (Ireland) | USFF +0.250% | Weekly | MS | 01/10/28 | 633 | 35,310 | 54,039 | 21,341 | ||||||||
TE Connectivity Ltd. (Switzerland) | USFF +0.250% | Weekly | MS | 07/11/28 | 112 | 13,595 | 15,736 | 4,085 | ||||||||
20,764 | 1,223,518 | 1,618,154 | 471,442 | |||||||||||||
Telecommunication Services | ||||||||||||||||
AT&T, Inc. | USFF +0.250% | Weekly | MS | 07/08/27 | 4,312 | 65,491 | 72,355 | 11,250 | ||||||||
T-Mobile US, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 1,321 | 184,670 | 211,796 | 34,399 | ||||||||
Verizon Communications, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 2,965 | 98,252 | 111,781 | 18,759 | ||||||||
8,598 | 348,413 | 395,932 | 64,408 | |||||||||||||
Transportation | ||||||||||||||||
American Airlines Group, Inc. | USFF +0.250% | Weekly | MS | 01/10/28 | 3,996 | 53,672 | 54,905 | 3,157 | ||||||||
CH Robinson Worldwide, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 149 | 12,127 | 12,872 | 1,387 | ||||||||
Delta Air Lines, Inc. | USFF +0.250% | Weekly | MS | 07/11/28 | 1,557 | 54,389 | 62,638 | 10,349 | ||||||||
Expeditors International of Washington, Inc. | USFF +0.250% | Weekly | MS | 08/29/24 | 132 | 13,900 | 16,790 | 4,566 |
200
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Pay | Payment Frequency | Counter- party | Maturity Date | Number of Contracts Long | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Transportation — (continued) | ||||||||||||||||
FedEx Corp. | USFF +0.250% | Weekly | MS | 01/10/28 | 758 | $177,775 | $191,751 | $22,690 | ||||||||
United Parcel Service, Inc., Class B | USFF +0.250% | Weekly | MS | 07/11/28 | 250 | 34,225 | 39,308 | 7,143 | ||||||||
6,842 | 346,088 | 378,264 | 49,292 | |||||||||||||
Total Reference Entity — Long | 13,490,008 | 15,680,909 | 2,950,797 |
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Short | ||||||||||||||||
Automobiles & Components | ||||||||||||||||
Aptiv PLC (Jersey) | USFF -0.250% | Weekly | MS | 07/06/26 | (815) | $(103,978) | $(73,122) | $33,089 | ||||||||
Tesla, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (132) | (40,833) | (32,799) | 7,023 | ||||||||
(947) | (144,811) | (105,921) | 40,112 | |||||||||||||
Banks | ||||||||||||||||
Regions Financial Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,351) | (33,520) | (26,182) | 5,079 | ||||||||
Capital Goods | ||||||||||||||||
Axon Enterprise, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (789) | (160,140) | (203,822) | (48,798) | ||||||||
Boeing Co. (The) | USFF -0.250% | Weekly | MS | 07/11/28 | (204) | (45,864) | (53,175) | (8,438) | ||||||||
Generac Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (876) | (153,793) | (113,214) | 36,185 | ||||||||
Quanta Services, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (255) | (51,433) | (55,029) | (4,908) | ||||||||
Xylem, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,216) | (134,994) | (139,062) | (8,563) | ||||||||
(3,340) | (546,224) | (564,302) | (34,522) | |||||||||||||
Commercial & Professional Services | ||||||||||||||||
Ceridian HCM Holding, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (3,241) | (294,461) | (217,536) | 69,413 | ||||||||
Equifax, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (315) | (68,915) | (77,896) | (11,939) | ||||||||
Paycom Software, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (676) | (230,611) | (139,743) | 84,370 | ||||||||
(4,232) | (593,987) | (435,175) | 141,844 | |||||||||||||
Consumer Discretionary Distribution & Retail | ||||||||||||||||
Bath & Body Works, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (766) | (30,556) | (33,061) | (3,240) | ||||||||
CarMax, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (30) | (2,558) | (2,302) | 240 | ||||||||
Etsy, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (150) | (42,301) | (12,158) | 29,107 | ||||||||
Tractor Supply Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (31) | (7,478) | (6,666) | 627 | ||||||||
(977) | (82,893) | (54,187) | 26,734 |
201
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Consumer Durables & Apparel | ||||||||||||||||
Lululemon Athletica, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (227) | $(95,517) | $(116,063) | $(24,172) | ||||||||
VF Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,383) | (38,633) | (26,000) | 10,477 | ||||||||
(1,610) | (134,150) | (142,063) | (13,695) | |||||||||||||
Consumer Services | ||||||||||||||||
Airbnb, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (1,373) | (186,209) | (186,920) | (5,569) | ||||||||
Carnival Corp. (Panama) | USFF -0.250% | Weekly | MS | 07/11/28 | (9,387) | (167,963) | (174,035) | (10,335) | ||||||||
Chipotle Mexican Grill, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (20) | (44,431) | (45,739) | (2,399) | ||||||||
Domino's Pizza, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (110) | (44,186) | (45,345) | (2,512) | ||||||||
Las Vegas Sands Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (299) | (17,455) | (14,714) | 2,223 | ||||||||
Norwegian Cruise Line Holdings Ltd. (Bermuda) | USFF -0.250% | Weekly | MS | 07/11/28 | (1,587) | (34,698) | (31,803) | 2,053 | ||||||||
(12,776) | (494,942) | (498,556) | (16,539) | |||||||||||||
Consumer Staples Distribution & Retail | ||||||||||||||||
Dollar Tree, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (314) | (47,738) | (44,604) | 1,958 | ||||||||
Target Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,649) | (264,387) | (234,851) | 17,484 | ||||||||
(1,963) | (312,125) | (279,455) | 19,442 | |||||||||||||
Energy | ||||||||||||||||
ONEOK, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,382) | (156,572) | (167,264) | (14,765) | ||||||||
Targa Resources Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,138) | (96,850) | (98,858) | (4,969) | ||||||||
(3,520) | (253,422) | (266,122) | (19,734) | |||||||||||||
Equity Real Estate Investment Trusts (REITs) | ||||||||||||||||
Equinix, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (256) | (203,310) | (206,180) | (11,078) | ||||||||
Host Hotels & Resorts, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (580) | (10,547) | (11,293) | (2,985) | ||||||||
Iron Mountain, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,258) | (74,066) | (88,035) | (19,505) | ||||||||
Ventas, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (129) | (6,002) | (6,429) | (974) | ||||||||
(2,223) | (293,925) | (311,937) | (34,542) | |||||||||||||
Financial Services | ||||||||||||||||
FactSet Research Systems, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (144) | (64,866) | (68,695) | (5,515) | ||||||||
Global Payments, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (43) | (5,402) | (5,461) | (149) | ||||||||
MSCI, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (295) | (168,455) | (166,867) | (3,810) | ||||||||
(482) | (238,723) | (241,023) | (9,474) | |||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||
Brown-Forman Corp., Class B | USFF -0.250% | Weekly | MS | 07/11/28 | (556) | (34,325) | (31,748) | 1,663 | ||||||||
Lamb Weston Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,218) | (111,780) | (131,654) | (22,907) |
202
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Food, Beverage & Tobacco — (continued) | ||||||||||||||||
Monster Beverage Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (749) | $(42,134) | $(43,150) | $(2,048) | ||||||||
Tyson Foods, Inc., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (1,767) | (92,435) | (94,976) | (5,702) | ||||||||
(4,290) | (280,674) | (301,528) | (28,994) | |||||||||||||
Health Care Equipment & Services | ||||||||||||||||
Align Technology, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (383) | (167,486) | (104,942) | 58,293 | ||||||||
Boston Scientific Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (922) | (50,923) | (53,301) | (3,699) | ||||||||
Cooper Cos., Inc. (The) | USFF -0.250% | Weekly | MS | 07/11/28 | (418) | (139,094) | (158,188) | (22,616) | ||||||||
DENTSPLY SIRONA, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (93) | (3,311) | (3,310) | (38) | ||||||||
Dexcom, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,599) | (209,938) | (198,420) | 6,147 | ||||||||
IDEXX Laboratories, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (308) | (163,715) | (170,955) | (11,552) | ||||||||
Insulet Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,067) | (314,004) | (231,518) | 74,473 | ||||||||
Intuitive Surgical, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (441) | (126,568) | (148,776) | (25,409) | ||||||||
ResMed, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (267) | (64,317) | (45,929) | 16,362 | ||||||||
STERIS PLC (Ireland) | USFF -0.250% | Weekly | MS | 01/07/27 | (608) | (129,444) | (133,669) | (7,916) | ||||||||
Stryker Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (411) | (120,297) | (123,078) | (6,127) | ||||||||
Teleflex, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (27) | (7,360) | (6,732) | 461 | ||||||||
(6,544) | (1,496,457) | (1,378,818) | 78,379 | |||||||||||||
Household & Personal Products | ||||||||||||||||
Estee Lauder Cos., Inc. (The), Class A | USFF -0.250% | Weekly | MS | 07/06/26 | (235) | (80,223) | (34,369) | 42,911 | ||||||||
Insurance | ||||||||||||||||
Everest Re Group Ltd. (Bermuda) | USFF -0.250% | Weekly | MS | 07/11/28 | (118) | (45,183) | (41,722) | 2,276 | ||||||||
Materials | ||||||||||||||||
Air Products and Chemicals, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (517) | (147,942) | (141,555) | 1,617 | ||||||||
Albemarle Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (220) | (62,128) | (31,786) | 28,429 | ||||||||
Ball Corp. | USFF -0.250% | Weekly | MS | 11/03/25 | (335) | (25,034) | (19,269) | 4,705 | ||||||||
Corteva, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,325) | (248,556) | (207,254) | 32,998 | ||||||||
FMC Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,188) | (134,015) | (74,903) | 53,653 | ||||||||
Freeport-McMoRan, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,358) | (197,385) | (185,520) | 4,885 | ||||||||
Newmont Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,672) | (75,807) | (69,204) | 9,113 | ||||||||
(12,615) | (890,867) | (729,491) | 135,400 | |||||||||||||
Media & Entertainment | ||||||||||||||||
Paramount Global, Class B | USFF -0.630% | Weekly | MS | 01/10/28 | (1,601) | (32,179) | (23,679) | 7,335 | ||||||||
Walt Disney Co. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (343) | (37,280) | (30,969) | 5,301 | ||||||||
(1,944) | (69,459) | (54,648) | 12,636 |
203
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||
Bio-Rad Laboratories, Inc., Class A | USFF -0.250% | Weekly | MS | 07/06/26 | (46) | $(36,717) | $(14,853) | $20,971 | ||||||||
Bio-Techne Corp. | USFF -0.250% | Weekly | MS | 07/06/26 | (1,868) | (230,201) | (144,135) | 79,841 | ||||||||
Catalent, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (4,368) | (371,464) | (196,254) | 166,035 | ||||||||
Charles River Laboratories International, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (319) | (110,130) | (75,412) | 31,968 | ||||||||
Eli Lilly & Co. | USFF -0.250% | Weekly | MS | 07/11/28 | (108) | (63,161) | (62,955) | (1,385) | ||||||||
IQVIA Holdings, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (196) | (43,932) | (45,350) | (3,163) | ||||||||
Mettler-Toledo International, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (16) | (24,103) | (19,407) | 4,126 | ||||||||
Moderna, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,538) | (274,373) | (252,404) | 15,028 | ||||||||
Revvity, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (107) | (11,458) | (11,696) | (476) | ||||||||
Thermo Fisher Scientific, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (258) | (146,236) | (136,944) | 5,326 | ||||||||
Waters Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (274) | (88,772) | (90,209) | (3,667) | ||||||||
West Pharmaceutical Services, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (123) | (50,110) | (43,311) | 5,454 | ||||||||
Zoetis, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (532) | (97,503) | (105,001) | (10,089) | ||||||||
(10,753) | (1,548,160) | (1,197,931) | 309,969 | |||||||||||||
Real Estate Management & Development | ||||||||||||||||
CBRE Group, Inc., Class A | USFF -0.250% | Weekly | MS | 01/10/28 | (1,206) | (100,712) | (112,267) | (15,439) | ||||||||
CoStar Group, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,776) | (148,792) | (155,205) | (10,289) | ||||||||
(2,982) | (249,504) | (267,472) | (25,728) | |||||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Advanced Micro Devices, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,176) | (278,600) | (320,764) | (49,269) | ||||||||
Analog Devices, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (900) | (156,165) | (178,704) | (27,197) | ||||||||
Enphase Energy, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (309) | (65,617) | (40,831) | 23,129 | ||||||||
First Solar, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,307) | (262,417) | (225,170) | 30,557 | ||||||||
Intel Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (4,310) | (163,283) | (216,577) | (57,460) | ||||||||
Monolithic Power Systems, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (389) | (197,520) | (245,373) | (54,571) | ||||||||
NVIDIA Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (587) | (270,593) | (290,694) | (27,024) | ||||||||
ON Semiconductor Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,480) | (220,194) | (207,154) | 7,435 | ||||||||
Qorvo, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,834) | (184,173) | (206,527) | (27,060) | ||||||||
Teradyne, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (911) | (94,174) | (98,862) | (7,279) | ||||||||
Texas Instruments, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (885) | (154,970) | (150,857) | (254) | ||||||||
(16,088) | (2,047,706) | (2,181,513) | (188,993) | |||||||||||||
Software & Services | ||||||||||||||||
Fair Isaac Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (23) | (23,443) | (26,772) | (3,882) | ||||||||
Fortinet, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (2,922) | (200,484) | (171,025) | 24,361 |
204
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
Total Return Swaps (continued)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Software & Services — (continued) | ||||||||||||||||
Intuit, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (265) | $(153,455) | $(165,633) | $(16,831) | ||||||||
Palo Alto Networks, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (626) | (160,583) | (184,595) | (28,086) | ||||||||
PTC, Inc. | USFF -0.250% | Weekly | MS | 01/05/26 | (367) | (53,990) | (64,210) | (12,892) | ||||||||
ServiceNow, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (240) | (135,743) | (169,558) | (37,251) | ||||||||
Tyler Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (454) | (198,033) | (189,826) | 3,171 | ||||||||
(4,897) | (925,731) | (971,619) | (71,410) | |||||||||||||
Technology Hardware & Equipment | ||||||||||||||||
Arista Networks, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (593) | (114,847) | (139,657) | (27,710) | ||||||||
Trimble, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (32) | (2,844) | (1,702) | 1,333 | ||||||||
Western Digital Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (4,373) | (190,001) | (229,014) | (43,843) | ||||||||
Zebra Technologies Corp., Class A | USFF -0.250% | Weekly | MS | 07/11/28 | (270) | (72,512) | (73,799) | (3,313) | ||||||||
(5,268) | (380,204) | (444,172) | (73,533) | |||||||||||||
Transportation | ||||||||||||||||
JB Hunt Transport Services, Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (939) | (180,070) | (187,556) | (13,637) | ||||||||
Old Dominion Freight Line, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (384) | (153,599) | (155,647) | (6,143) | ||||||||
Southwest Airlines Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (4,163) | (142,815) | (120,227) | 17,304 | ||||||||
Uber Technologies, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,651) | (163,813) | (163,222) | (3,567) | ||||||||
United Airlines Holdings, Inc. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,209) | (117,091) | (91,143) | 22,990 | ||||||||
(10,346) | (757,388) | (717,795) | 16,947 | |||||||||||||
Utilities | ||||||||||||||||
AES Corp. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (9,790) | (236,578) | (188,458) | 37,416 | ||||||||
Alliant Energy Corp. | USFF -0.250% | Weekly | MS | 01/07/27 | (3,275) | (190,970) | (168,008) | 12,651 | ||||||||
Ameren Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,098) | (173,381) | (151,769) | 14,494 | ||||||||
American Electric Power Co., Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,852) | (171,996) | (150,419) | 12,371 | ||||||||
American Water Works Co., Inc. | USFF -0.250% | Weekly | MS | 07/06/26 | (967) | (162,941) | (127,634) | 26,629 | ||||||||
Atmos Energy Corp. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,531) | (177,987) | (177,443) | (6,897) | ||||||||
CenterPoint Energy, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (5,967) | (171,621) | (170,477) | (5,676) | ||||||||
CMS Energy Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (3,050) | (181,611) | (177,114) | (2,817) | ||||||||
Consolidated Edison, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (1,540) | (140,742) | (140,094) | (2,916) | ||||||||
Constellation Energy Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (840) | (89,228) | (98,188) | (11,551) | ||||||||
Dominion Energy, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,360) | (70,576) | (63,920) | 6,010 | ||||||||
DTE Energy Co. | USFF -0.250% | Weekly | MS | 01/10/28 | (1,071) | (112,707) | (118,088) | (9,275) | ||||||||
Duke Energy Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (575) | (54,950) | (55,798) | (3,223) | ||||||||
Edison International | USFF -0.250% | Weekly | MS | 07/08/27 | (2,033) | (142,572) | (145,339) | (11,003) | ||||||||
Entergy Corp. | USFF -0.250% | Weekly | MS | 07/11/28 | (506) | (51,220) | (51,202) | (1,248) |
205
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments
(Concluded)
December 31, 2023
(Unaudited)
Total Return Swaps (concluded)
Reference Entity | Receive | Payment Frequency | Counter- party | Maturity Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||
Utilities — (continued) | ||||||||||||||||
Evergy, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (2,858) | $(172,808) | $(149,188) | $14,670 | ||||||||
Eversource Energy | USFF -0.250% | Weekly | MS | 01/07/27 | (1,489) | (122,893) | (91,901) | 23,799 | ||||||||
Exelon Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (5,466) | (225,993) | (196,229) | 19,521 | ||||||||
FirstEnergy Corp. | USFF -0.250% | Weekly | MS | 01/10/28 | (2,877) | (115,665) | (105,471) | 4,102 | ||||||||
NextEra Energy, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (2,778) | (216,833) | (168,736) | 38,097 | ||||||||
NiSource, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (6,782) | (187,490) | (180,062) | (1,555) | ||||||||
Pinnacle West Capital Corp. | USFF -0.250% | Weekly | MS | 08/29/24 | (2,550) | (207,397) | (183,192) | 10,098 | ||||||||
Public Service Enterprise Group, Inc. | USFF -0.250% | Weekly | MS | 07/11/28 | (2,173) | (134,596) | (132,879) | (3,371) | ||||||||
Sempra | USFF -0.250% | Weekly | MS | 07/08/27 | (2,276) | (174,613) | (170,085) | (4,756) | ||||||||
Southern Co. (The) | USFF -0.250% | Weekly | MS | 01/10/28 | (1,939) | (142,261) | (135,963) | (741) | ||||||||
WEC Energy Group, Inc. | USFF -0.250% | Weekly | MS | 07/08/27 | (1,691) | (156,955) | (142,331) | 7,043 | ||||||||
Xcel Energy, Inc. | USFF -0.250% | Weekly | MS | 01/07/27 | (1,536) | (103,781) | (95,094) | 4,111 | ||||||||
(70,870) | (4,090,365) | (3,735,082) | 165,983 | |||||||||||||
Total Reference Entity — Short | (15,990,643) | (14,981,083) | 480,548 | |||||||||||||
Net Value of Reference Entity | $(2,500,635) | $699,826 | $3,431,345 |
* | Includes $230,884 related to open trades, dividends receivables/payables and swap receivables/payables activities. |
MS | Morgan Stanley |
USFF | U.S. Fed Funds |
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 total return swaps with end of period
unrealized appreciation of $3,431,345, which are considered Level 2 as of and for the period ended December 31, 2023.
For additional information about
significant accounting policies, including valuation of investments, refer to the Fund’s most recent annual or semi-annual report.
206
GOTHAM TOTAL RETURN FUND
Portfolio of Investments
December 31, 2023
(Unaudited)
Number of Shares | Value | ||
AFFILIATED EQUITY REGISTERED INVESTMENT COMPANIES(a) — 98.7% | |||
Gotham 1000 Value ETF | 287,393 | $ 6,272,151 | |
Gotham Defensive Long 500 Fund | 137,240 | 2,143,688 | |
Gotham Enhanced S&P 500 Index Fund | 219,760 | 3,518,351 | |
Gotham Hedged Core Fund | 281,042 | 3,161,720 | |
Gotham Large Value Fund | 291,809 | 3,980,275 | |
Gotham Neutral Fund* | 170,916 | 2,037,323 | |
TOTAL AFFILIATED EQUITY REGISTERED INVESTMENT COMPANIES (Cost $19,530,532) | 21,113,508 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.3% | 278,846 | ||
NET ASSETS - 100.0% | $21,392,354 |
(a) | All affiliated fund investments are in Institutional Class shares. The financial statements of the affiliated funds are publicly available on the Securities and Exchange Commission’s website. |
* | Non-income producing. |
ETF | Exchange-Traded Fund |
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 as of and for the period ended December 31, 2023.
For additional information about
significant accounting policies, including valuation of investments, refer to the Fund’s most recent annual or semi-annual report.
207
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments
December 31, 2023
(Unaudited)
208
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
209
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
210
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
211
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
212
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments
(Continued)
December 31, 2023
(Unaudited)
213
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments
(Concluded)
December 31, 2023
(Unaudited)
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 as of and for the period ended December 31, 2023.
For additional information about
significant accounting policies, including valuation of investments, refer to the Fund’s most recent annual or semi-annual report.
214