UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number:811-22540
AGF Investments Trust
(Exact name of registrant as specified in charter)
53 State Street
Suite 1308
Boston, MA 02109
(Address of principal executive offices) (Zip code)
William H. DeRoche, President
53 State Street, Suite 1308
Boston, MA 02109
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code:(617) 292-9801
Date of fiscal year end: June 30
Date of reporting period: December 31, 2019
Item 1. Reports to Stockholders.
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
| | | Allocation of Portfolio Holdings and Industries | | |
| | | | Schedule of Investments | |
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| | | Statements of Assets and Liabilities | | |
| | | Statements of Operations | | |
| | | Statements of Changes in Net Assets | | |
| | | Financial Highlights | | |
| | | Notes to Financial Statements | | |
| | | Expense Examples | | |
| | | Additional Information | |
December 31, 2019 (Unaudited)
Investment Type | | | % of Net Assets | | |||
Equity Securities Long Positions | | | | | 92% | | |
Equity Securities Short Positions | | | | | -96% | | |
Swap Agreements Long Positions | | | | | 12% | | |
Swap Agreements Short Positions | | | | | -12% | | |
Company | | | % of Net Assets | | |||
Match Group, Inc. | | | | | 0.5% | | |
Advanced Micro Devices, Inc. | | | | | 0.5% | | |
Cirrus Logic, Inc. | | | | | 0.5% | | |
American Tower Corp. | | | | | 0.5% | | |
Ceridian HCM Holding, Inc. | | | | | 0.5% | | |
AutoZone, Inc. | | | | | 0.5% | | |
Cable One, Inc. | | | | | 0.5% | | |
Horizon Therapeutics plc | | | | | 0.5% | | |
Chipotle Mexican Grill, Inc. | | | | | 0.5% | | |
Lam Research Corp. | | | | | 0.5% | | |
Sector Weightings | | | % of Long Weight | | | % of Short Weight | | ||||||
Communication Services | | | | | 4.62% | | | | | | -4.51% | | |
Consumer Discretionary | | | | | 11.91% | | | | | | -12.26% | | |
Consumer Staples | | | | | 4.53% | | | | | | -4.64% | | |
Energy | | | | | 4.16% | | | | | | -4.48% | | |
Financials | | | | | 15.33% | | | | | | -15.23% | | |
Health Care | | | | | 11.05% | | | | | | -11.01% | | |
Industrials | | | | | 13.44% | | | | | | -13.25% | | |
Information Technology | | | | | 16.03% | | | | | | -15.62% | | |
Materials | | | | | 5.04% | | | | | | -5.02% | | |
Real Estate | | | | | 8.73% | | | | | | -8.95% | | |
Utilities | | | | | 5.16% | | | | | | -5.02% | | |
Company | | | % of Net Assets | | |||
Transocean Ltd. | | | | | -0.6% | | |
Western Digital Corp. | | | | | -0.6% | | |
EQT Corp. | | | | | -0.6% | | |
Agios Pharmaceuticals, Inc. | | | | | -0.6% | | |
Concho Resources, Inc. | | | | | -0.6% | | |
HealthEquity, Inc. | | | | | -0.6% | | |
Patterson-UTI Energy, Inc. | | | | | -0.5% | | |
Senior Housing Properties Trust | | | | | -0.5% | | |
Conagra Brands, Inc. | | | | | -0.5% | | |
Halliburton Co. | | | | | -0.5% | | |
Investment Type | | | % of Net Assets | | |||
Equity Securities Long Positions | | | | | 92% | | |
Equity Securities Short Positions | | | | | -85% | | |
Swap Agreements Long Positions | | | | | 12% | | |
Swap Agreements Short Positions | | | | | -14% | | |
Company | | | % of Net Assets | | |||
Darling Ingredients, Inc. | | | | | 0.6% | | |
Bristol-Myers Squibb Co. | | | | | 0.6% | | |
United Rentals, Inc. | | | | | 0.6% | | |
PVH Corp. | | | | | 0.6% | | |
Regal Beloit Corp. | | | | | 0.5% | | |
Centene Corp. | | | | | 0.5% | | |
Athene Holding Ltd. | | | | | 0.5% | | |
Air Lease Corp. | | | | | 0.5% | | |
Conagra Brands, Inc. | | | | | 0.5% | | |
Royal Caribbean Cruises Ltd. | | | | | 0.5% | | |
Sector Weightings | | | % of Long Weight | | | % of Short Weight | | ||||||
Communication Services | | | | | 4.60% | | | | | | -4.45% | | |
Consumer Discretionary | | | | | 11.98% | | | | | | -12.46% | | |
Consumer Staples | | | | | 5.05% | | | | | | -5.07% | | |
Energy | | | | | 4.10% | | | | | | -4.22% | | |
Financials | | | | | 15.64% | | | | | | -15.54% | | |
Health Care | | | | | 11.36% | | | | | | -11.37% | | |
Industrials | | | | | 13.53% | | | | | | -13.46% | | |
Information Technology | | | | | 16.23% | | | | | | -15.84% | | |
Materials | | | | | 4.99% | | | | | | -4.87% | | |
Real Estate | | | | | 8.33% | | | | | | -8.03% | | |
Utilities | | | | | 4.17% | | | | | | -4.69% | | |
Company | | | % of Net Assets | | |||
Apergy Corp. | | | | | -0.6% | | |
Tesla, Inc. | | | | | -0.6% | | |
Amazon.com, Inc. | | | | | -0.5% | | |
Toro Co. (The) | | | | | -0.5% | | |
Allegion plc | | | | | -0.5% | | |
Moody’s Corp. | | | | | -0.5% | | |
Concho Resources, Inc. | | | | | -0.5% | | |
Immunomedics, Inc. | | | | | -0.5% | | |
Brown & Brown, Inc. | | | | | -0.5% | | |
Monster Beverage Corp. | | | | | -0.5% | | |
Investment Type | | | % of Net Assets | | |||
Equity Securities Long Positions | | | | | 91% | | |
Equity Securities Short Positions | | | | | -94% | | |
Swap Agreements Long Positions | | | | | 13% | | |
Swap Agreements Short Positions | | | | | -13% | | |
Company | | | % of Net Assets | | |||
Match Group, Inc. | | | | | 0.5% | | |
Cirrus Logic, Inc. | | | | | 0.5% | | |
IAC/InterActiveCorp | | | | | 0.5% | | |
Newmont Goldcorp Corp. | | | | | 0.5% | | |
Eli Lilly & Co. | | | | | 0.5% | | |
Bristol-Myers Squibb Co. | | | | | 0.5% | | |
White Mountains Insurance Group Ltd. | | | | | 0.5% | | |
Helen of Troy Ltd. | | | | | 0.5% | | |
Horizon Therapeutics plc | | | | | 0.5% | | |
LogMeIn, Inc. | | | | | 0.5% | | |
Sector Weightings | | | % of Long Weight | | | % of Short Weight | | ||||||
Communication Services | | | | | 4.22% | | | | | | -4.17% | | |
Consumer Discretionary | | | | | 11.76% | | | | | | -12.14% | | |
Consumer Staples | | | | | 5.03% | | | | | | -5.13% | | |
Energy | | | | | 4.17% | | | | | | -4.50% | | |
Financials | | | | | 15.39% | | | | | | -15.22% | | |
Health Care | | | | | 11.16% | | | | | | -10.91% | | |
Industrials | | | | | 13.33% | | | | | | -13.44% | | |
Information Technology | | | | | 16.03% | | | | | | -15.66% | | |
Materials | | | | | 5.08% | | | | | | -4.90% | | |
Real Estate | | | | | 8.74% | | | | | | -9.01% | | |
Utilities | | | | | 5.10% | | | | | | -4.93% | | |
Company | | | % of Net Assets | | |||
Transocean Ltd. | | | | | -0.6% | | |
WPX Energy, Inc. | | | | | -0.6% | | |
Agios Pharmaceuticals, Inc. | | | | | -0.6% | | |
Concho Resources, Inc. | | | | | -0.5% | | |
HealthEquity, Inc. | | | | | -0.5% | | |
Devon Energy Corp. | | | | | -0.5% | | |
Patterson-UTI Energy, Inc. | | | | | -0.5% | | |
Darling Ingredients, Inc. | | | | | -0.5% | | |
Zillow Group, Inc. | | | | | -0.5% | | |
Conagra Brands, Inc. | | | | | -0.5% | | |
Investment Type | | | % of Net Assets | | |||
Equity Securities Long Positions | | | | | 92% | | |
Equity Securities Short Positions | | | | | -48% | | |
Master Limited Partnership Long Positions | | | | | 6% | | |
Master Limited Partnership Short Positions | | | | | -1% | | |
Company | | | % of Net Assets | | |||
Verizon Communications, Inc. | | | | | 1.0% | | |
Magellan Midstream Partners LP | | | | | 1.0% | | |
Chevron Corp. | | | | | 1.0% | | |
Williams Cos., Inc. (The) | | | | | 1.0% | | |
Omega Healthcare Investors, Inc. | | | | | 1.0% | | |
Enterprise Products Partners LP | | | | | 1.0% | | |
Cheniere Energy Partners LP | | | | | 1.0% | | |
Broadcom, Inc. | | | | | 1.0% | | |
General Mills, Inc. | | | | | 1.0% | | |
3M Co. | | | | | 1.0% | | |
Sector Weightings | | | % of Long Weight | | | % of Short Weight | | ||||||
Communication Services | | | | | 5.01% | | | | | | -4.92% | | |
Consumer Discretionary | | | | | 9.97% | | | | | | -10.09% | | |
Consumer Staples | | | | | 9.00% | | | | | | -8.99% | | |
Energy | | | | | 18.06% | | | | | | -17.98% | | |
Financials | | | | | 14.97% | | | | | | -22.10% | | |
Health Care | | | | | 4.01% | | | | | | -4.01% | | |
Industrials | | | | | 6.99% | | | | | | -7.01% | | |
Information Technology | | | | | 5.01% | | | | | | -4.97% | | |
Materials | | | | | 2.99% | | | | | | -2.99% | | |
Real Estate | | | | | 10.00% | | | | | | -2.97% | | |
Utilities | | | | | 14.00% | | | | | | -13.97% | | |
Company | | | % of Net Assets | | |||
Phillips 66 | | | | | -0.3% | | |
Hess Corp. | | | | | -0.3% | | |
EQM Midstream Partners LP | | | | | -0.3% | | |
Occidental Petroleum Corp. | | | | | -0.3% | | |
Diamondback Energy, Inc. | | | | | -0.3% | | |
Plains GP Holdings LP | | | | | -0.3% | | |
Marathon Oil Corp. | | | | | -0.3% | | |
Noble Energy, Inc. | | | | | -0.3% | | |
Devon Energy Corp. | | | | | -0.3% | | |
Plains All American Pipeline LP | | | | | -0.3% | | |
Investment Type | | | % of Net Assets | | |||
Equity Securities | | | | | 99% | | |
Master Limited Partnerships | | | | | 1% | | |
Exchange Traded Funds | | | | | 0%(a) | | |
Company | | | % of Net Assets | | |||
American Tower Corp. | | | | | 8.8% | | |
Enbridge, Inc. | | | | | 7.5% | | |
Crown Castle International Corp. | | | | | 6.1% | | |
Vinci SA | | | | | 4.7% | | |
TC Energy Corp. | | | | | 4.1% | | |
Sempra Energy | | | | | 3.4% | | |
National Grid plc | | | | | 3.3% | | |
Kinder Morgan, Inc. | | | | | 3.2% | | |
China Tower Corp. Ltd., Class H | | | | | 3.2% | | |
ONEOK, Inc. | | | | | 2.8% | | |
Country | | | % of Net Assets | | |||
United States | | | | | 47.53% | | |
Canada | | | | | 16.77% | | |
China | | | | | 5.84% | | |
United Kingdom | | | | | 5.26% | | |
France | | | | | 5.09% | | |
Spain | | | | | 4.02% | | |
Australia | | | | | 3.96% | | |
Italy | | | | | 2.66% | | |
Brazil | | | | | 1.74% | | |
Hong Kong | | | | | 1.30% | | |
Sector | | | % of Net Assets | | |||
Communication Services | | | | | 4.63% | | |
Energy | | | | | 23.49% | | |
Exchange Traded Funds | | | | | 0.36% | | |
Industrials | | | | | 17.52% | | |
Real Estate | | | | | 18.56% | | |
Utilities | | | | | 35.72% | | |
Investment Type | | | % of Net Assets | | |||
Exchange Traded Funds | | | | | 100% | | |
Top Holdings | | | % of Net Assets | | |||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | 16.8% | | |
Health Care Select Sector SPDR Fund | | | | | 16.1% | | |
Technology Select Sector SPDR Fund | | | | | 14.0% | | |
Financial Select Sector SPDR Fund | | | | | 13.3% | | |
Industrial Select Sector SPDR Fund | | | | | 11.7% | | |
Communication Services Select Sector SPDR Fund | | | | | 8.6% | | |
Consumer Staples Select Sector SPDR Fund | | | | | 6.0% | | |
Consumer Discretionary Select Sector SPDR Fund | | | | | 5.8% | | |
Real Estate Select Sector SPDR Fund | | | | | 4.3% | | |
Materials Select Sector SPDR Fund | | | | | 2.2% | | |
Energy Select Sector SPDR Fund | | | | | 0.8% | | |
Utilities Select Sector SPDR Fund | | | | | 0.8% | | |
Sector | | | % of Net Assets | | |||
ETFs for Downside Hedging | | | | | 16.76% | | |
Communication Services | | | | | 8.56% | | |
Consumer Discretionary | | | | | 5.77% | | |
Consumer Staples | | | | | 5.96% | | |
Energy | | | | | 0.79% | | |
Financials | | | | | 13.34% | | |
Health Care | | | | | 16.11% | | |
Industrials | | | | | 11.74% | | |
Information Technology | | | | | 13.97% | | |
Materials | | | | | 2.24% | | |
Real Estate | | | | | 4.30% | | |
Utilities | | | | | 0.80% | | |
Schedule of Investments
Investments | | | Number of Shares | | | Value | | ||||||
Long Positions – 92.0% | | ||||||||||||
Common Stocks – 92.0% | | ||||||||||||
Aerospace & Defense – 4.0% | | ||||||||||||
Arconic, Inc.(a) | | | | | 342 | | | | | $ | 10,523 | | |
Axon Enterprise, Inc.*(a) | | | | | 142 | | | | | | 10,406 | | |
HEICO Corp.(a) | | | | | 84 | | | | | | 9,589 | | |
Hexcel Corp.(a) | | | | | 132 | | | | | | 9,677 | | |
L3Harris Technologies, Inc.(a) | | | | | 52 | | | | | | 10,289 | | |
Lockheed Martin Corp.(a) | | | | | 28 | | | | | | 10,903 | | |
Mercury Systems, Inc.*(a) | | | | | 146 | | | | | | 10,090 | | |
Teledyne Technologies, Inc.* | | | | | 30 | | | | | | 10,396 | | |
TransDigm Group, Inc. | | | | | 18 | | | | | | 10,080 | | |
| | | | | | | | | | | 91,953 | | |
Beverages – 0.5% | | ||||||||||||
Brown-Forman Corp., Class B(a) | | | | | 156 | | | | | | 10,546 | | |
Biotechnology – 1.8% | | ||||||||||||
ACADIA Pharmaceuticals, Inc.*(a) | | | | | 230 | | | | | | 9,839 | | |
Blueprint Medicines Corp.*(a) | | | | | 134 | | | | | | 10,735 | | |
Medicines Co. (The)*(a) | | | | | 126 | | | | | | 10,702 | | |
Seattle Genetics, Inc.* | | | | | 88 | | | | | | 10,055 | | |
| | | | | | | | | | | 41,331 | | |
Building Products – 2.3% | | ||||||||||||
Allegion plc(a) | | | | | 88 | | | | | | 10,959 | | |
Armstrong World Industries, Inc.(a) | | | | | 112 | | | | | | 10,525 | | |
Fortune Brands Home & Security, Inc.(a) | | | | | 168 | | | | | | 10,977 | | |
Masco Corp.(a) | | | | | 228 | | | | | | 10,942 | | |
Trex Co., Inc.* | | | | | 122 | | | | | | 10,965 | | |
| | | | | | | | | | | 54,368 | | |
Capital Markets – 5.0% | | ||||||||||||
Ameriprise Financial, Inc.(a) | | | | | 64 | | | | | | 10,661 | | |
Blackstone Group, Inc. (The), Class A(a) | | | | | 196 | | | | | | 10,964 | | |
Federated Investors, Inc., Class B(a) | | | | | 314 | | | | | | 10,233 | | |
Legg Mason, Inc.(a) | | | | | 270 | | | | | | 9,696 | | |
LPL Financial Holdings, Inc.(a) | | | | | 116 | | | | | | 10,701 | | |
MarketAxess Holdings, Inc.(a) | | | | | 26 | | | | | | 9,857 | | |
Moody’s Corp.(a) | | | | | 46 | | | | | | 10,921 | | |
Morningstar, Inc.(a) | | | | | 68 | | | | | | 10,289 | | |
MSCI, Inc.(a) | | | | | 42 | | | | | | 10,844 | | |
S&P Global, Inc. | | | | | 40 | | | | | | 10,922 | | |
T Rowe Price Group, Inc. | | | | | 86 | | | | | | 10,478 | | |
| | | | | | | | | | | 115,566 | | |
Chemicals – 1.9% | | ||||||||||||
Air Products & Chemicals, Inc.(a) | | | | | 46 | | | | | | 10,809 | | |
Linde plc(a) | | | | | 52 | | | | | | 11,071 | | |
Scotts Miracle-Gro Co. (The) | | | | | 104 | | | | | | 11,043 | | |
Sherwin-Williams Co. (The) | | | | | 18 | | | | | | 10,504 | | |
| | | | | | | | | | | 43,427 | | |
Commercial Services & Supplies – 1.0% | | ||||||||||||
Cintas Corp.(a) | | | | | 42 | | | | | | 11,301 | | |
Copart, Inc.*(a) | | | | | 118 | | | | | | 10,731 | | |
| | | | | | | | | | | 22,032 | | |
Construction & Engineering – 0.4% | | ||||||||||||
MasTec, Inc.*(a) | | | | | 160 | | | | | | 10,266 | | |
Construction Materials – 0.5% | | ||||||||||||
Vulcan Materials Co. | | | | | 74 | | | | | | 10,655 | | |
|
Investments | | | Number of Shares | | | Value | | ||||||
Consumer Finance – 1.4% | | ||||||||||||
OneMain Holdings, Inc.(a) | | | | | 248 | | | | | $ | 10,453 | | |
Santander Consumer USA Holdings, Inc. | | | | | 468 | | | | | | 10,937 | | |
Synchrony Financial | | | | | 284 | | | | | | 10,227 | | |
| | | | | | | | | | | 31,617 | | |
Containers & Packaging – 1.4% | | ||||||||||||
Avery Dennison Corp.(a) | | | | | 82 | | | | | | 10,727 | | |
Ball Corp.(a) | | | | | 162 | | | | | | 10,476 | | |
Crown Holdings, Inc.*(a) | | | | | 140 | | | | | | 10,156 | | |
| | | | | | | | | | | 31,359 | | |
Diversified Consumer Services – 0.9% | | ||||||||||||
Chegg, Inc.*(a) | | | | | 272 | | | | | | 10,312 | | |
frontdoor, Inc.*(a) | | | | | 234 | | | | | | 11,096 | | |
| | | | | | | | | | | 21,408 | | |
Diversified Financial Services – 0.5% | | ||||||||||||
Voya Financial, Inc. | | | | | 182 | | | | | | 11,098 | | |
Diversified Telecommunication Services – 0.5% | | ||||||||||||
GCI Liberty, Inc., Class A*(a) | | | | | 150 | | | | | | 10,628 | | |
Electric Utilities – 3.3% | | ||||||||||||
American Electric Power Co., Inc.(a) | | | | | 116 | | | | | | 10,963 | | |
Edison International(a) | | | | | 152 | | | | | | 11,462 | | |
Entergy Corp.(a) | | | | | 92 | | | | | | 11,022 | | |
Eversource Energy(a) | | | | | 128 | | | | | | 10,889 | | |
NextEra Energy, Inc.(a) | | | | | 46 | | | | | | 11,139 | | |
Southern Co. (The) | | | | | 172 | | | | | | 10,957 | | |
Xcel Energy, Inc. | | | | | 172 | | | | | | 10,920 | | |
| | | | | | | | | | | 77,352 | | |
Electrical Equipment – 0.5% | | ||||||||||||
Generac Holdings, Inc.*(a) | | | | | 110 | | | | | | 11,065 | | |
Electronic Equipment, Instruments & Components – 0.9% | | ||||||||||||
CDW Corp.(a) | | | | | 78 | | | | | | 11,142 | | |
Keysight Technologies, Inc.*(a) | | | | | 100 | | | | | | 10,263 | | |
| | | | | | | | | | | 21,405 | | |
Entertainment – 0.8% | | ||||||||||||
Roku, Inc.* | | | | | 66 | | | | | | 8,837 | | |
Zynga, Inc., Class A* | | | | | 1,704 | | | | | | 10,429 | | |
| | | | | | | | | | | 19,266 | | |
Equity Real Estate Investment Trusts (REITs) – 8.0% | | ||||||||||||
American Tower Corp.(a) | | | | | 52 | | | | | | 11,951 | | |
Americold Realty Trust(a) | | | | | 284 | | | | | | 9,957 | | |
Brixmor Property Group, Inc.(a) | | | | | 478 | | | | | | 10,330 | | |
EastGroup Properties, Inc.(a) | | | | | 78 | | | | | | 10,348 | | |
Equinix, Inc.(a) | | | | | 18 | | | | | | 10,507 | | |
Equity LifeStyle Properties, Inc.(a) | | | | | 144 | | | | | | 10,136 | | |
Essex Property Trust, Inc.(a) | | | | | 34 | | | | | | 10,229 | | |
Invitation Homes, Inc.(a) | | | | | 352 | | | | | | 10,549 | | |
Kimco Realty Corp.(a) | | | | | 490 | | | | | | 10,148 | | |
Medical Properties Trust, Inc.(a) | | | | | 510 | | | | | | 10,766 | | |
Mid-America Apartment Communities, Inc.(a) | | | | | 78 | | | | | | 10,285 | | |
Prologis, Inc.(a) | | | | | 116 | | | | | | 10,340 | | |
Rexford Industrial Realty, Inc.(a) | | | | | 222 | | | | | | 10,139 | | |
SBA Communications Corp. | | | | | 46 | | | | | | 11,086 | | |
Spirit Realty Capital, Inc. | | | | | 202 | | | | | | 9,934 | | |
STORE Capital Corp. | | | | | 262 | | | | | | 9,757 | | |
Sun Communities, Inc. | | | | | 64 | | | | | | 9,606 | | |
WP Carey, Inc. | | | | | 126 | | | | | | 10,085 | | |
| | | | | | | | | | | 186,153 | | |
|
Schedule of Investments
Investments | | | Number of Shares | | | Value | | ||||||
Food & Staples Retailing – 1.4% | | ||||||||||||
Casey’s General Stores, Inc.(a) | | | | | 60 | | | | | $ | 9,539 | | |
Costco Wholesale Corp.(a) | | | | | 36 | | | | | | 10,581 | | |
Performance Food Group Co.*(a) | | | | | 224 | | | | | | 11,532 | | |
| | | | | | | | | | | 31,652 | | |
Food Products – 0.9% | | ||||||||||||
Hershey Co. (The)(a) | | | | | 76 | | | | | | 11,170 | | |
Tyson Foods, Inc., Class A | | | | | 118 | | | | | | 10,743 | | |
| | | | | | | | | | | 21,913 | | |
Health Care Equipment & Supplies – 4.6% | | ||||||||||||
Danaher Corp.(a) | | | | | 72 | | | | | | 11,050 | | |
DENTSPLY SIRONA, Inc. | | | | | 188 | | | | | | 10,639 | | |
DexCom, Inc.*(a) | | | | | 46 | | | | | | 10,062 | | |
Edwards Lifesciences Corp.*(a) | | | | | 44 | | | | | | 10,265 | | |
Insulet Corp.*(a) | | | | | 58 | | | | | | 9,930 | | |
Masimo Corp.*(a) | | | | | 68 | | | | | | 10,748 | | |
ResMed, Inc. | | | | | 72 | | | | | | 11,158 | | |
STERIS plc | | | | | 70 | | | | | | 10,669 | | |
Teleflex, Inc. | | | | | 30 | | | | | | 11,293 | | |
West Pharmaceutical Services, Inc. | | | | | 72 | | | | | | 10,824 | | |
| | | | | | | | | | | 106,638 | | |
Health Care Providers & Services – 0.9% | | ||||||||||||
Chemed Corp.(a) | | | | | 24 | | | | | | 10,542 | | |
Guardant Health, Inc.*(a) | | | | | 140 | | | | | | 10,940 | | |
| | | | | | | | | | | 21,482 | | |
Health Care Technology – 0.9% | | ||||||||||||
Teladoc Health, Inc.* | | | | | 124 | | | | | | 10,381 | | |
Veeva Systems, Inc., Class A* | | | | | 74 | | | | | | 10,409 | | |
| | | | | | | | | | | 20,790 | | |
Hotels, Restaurants & Leisure – 1.9% | | ||||||||||||
Chipotle Mexican Grill, Inc.*(a) | | | | | 14 | | | | | | 11,720 | | |
Churchill Downs, Inc.(a) | | | | | 80 | | | | | | 10,976 | | |
Marriott Vacations Worldwide Corp. | | | | | 86 | | | | | | 11,073 | | |
Planet Fitness, Inc., Class A*(a) | | | | | 142 | | | | | | 10,605 | | |
| | | | | | | | | | | 44,374 | | |
Household Durables – 3.0% | | ||||||||||||
DR Horton, Inc.(a) | | | | | 192 | | | | | | 10,128 | | |
Garmin Ltd.(a) | | | | | 110 | | | | | | 10,732 | | |
Leggett & Platt, Inc.(a) | | | | | 202 | | | | | | 10,268 | | |
Lennar Corp., Class A(a) | | | | | 178 | | | | | | 9,931 | | |
NVR, Inc.*(a) | | | | | 2 | | | | | | 7,617 | | |
PulteGroup, Inc.(a) | | | | | 268 | | | | | | 10,398 | | |
Tempur Sealy International, Inc.* | | | | | 126 | | | | | | 10,969 | | |
| | | | | | | | | | | 70,043 | | |
Household Products – 0.5% | | ||||||||||||
Procter & Gamble Co. (The)(a) | | | | | 88 | | | | | | 10,991 | | |
Industrial Conglomerates – 0.9% | | ||||||||||||
Carlisle Cos., Inc.(a) | | | | | 68 | | | | | | 11,005 | | |
General Electric Co.(a) | | | | | 944 | | | | | | 10,535 | | |
| | | | | | | | | | | 21,540 | | |
Insurance – 5.9% | | ||||||||||||
Aon plc(a) | | | | | 52 | | | | | | 10,831 | | |
Arch Capital Group Ltd.*(a) | | | | | 254 | | | | | | 10,894 | | |
Assurant, Inc.(a) | | | | | 80 | | | | | | 10,486 | | |
Brown & Brown, Inc.(a) | | | | | 280 | | | | | | 11,054 | | |
Cincinnati Financial Corp.(a) | | | | | 100 | | | | | | 10,515 | | |
Erie Indemnity Co., Class A(a) | | | | | 62 | | | | | | 10,292 | | |
Fidelity National Financial, Inc.(a) | | | | | 222 | | | | | | 10,068 | | |
First American Financial Corp.(a) | | | | | 168 | | | | | | 9,798 | | |
Investments | | | Number of Shares | | | Value | | ||||||
Hartford Financial Services Group, Inc. (The)(a) | | | | | 172 | | | | | $ | 10,453 | | |
Marsh & McLennan Cos., Inc.(a) | | | | | 98 | | | | | | 10,918 | | |
RenaissanceRe Holdings Ltd. | | | | | 56 | | | | | | 10,977 | | |
RLI Corp.(a) | | | | | 114 | | | | | | 10,262 | | |
WR Berkley Corp. | | | | | 156 | | | | | | 10,780 | | |
| | | | | | | | | | | 137,328 | | |
Interactive Media & Services – 1.5% | | ||||||||||||
Facebook, Inc., Class A*(a) | | | | | 52 | | | | | | 10,673 | | |
Match Group, Inc.* | | | | | 152 | | | | | | 12,481 | | |
Snap, Inc., Class A* | | | | | 696 | | | | | | 11,365 | | |
| | | | | | | | | | | 34,519 | | |
IT Services – 2.6% | | ||||||||||||
EPAM Systems, Inc.*(a) | | | | | 50 | | | | | | 10,608 | | |
FleetCor Technologies, Inc.*(a) | | | | | 34 | | | | | | 9,783 | | |
Global Payments, Inc.(a) | | | | | 58 | | | | | | 10,588 | | |
Mastercard, Inc., Class A(a) | | | | | 36 | | | | | | 10,749 | | |
MongoDB, Inc.*(a) | | | | | 70 | | | | | | 9,213 | | |
Okta, Inc.*(a) | | | | | 82 | | | | | | 9,460 | | |
| | | | | | | | | | | 60,401 | | |
Life Sciences Tools & Services – 0.5% | | ||||||||||||
Bruker Corp.(a) | | | | | 206 | | | | | | 10,500 | | |
Machinery – 0.5% | | ||||||||||||
Woodward, Inc. | | | | | 90 | | | | | | 10,660 | | |
Media – 1.5% | | ||||||||||||
Altice USA, Inc., Class A*(a) | | | | | 422 | | | | | | 11,537 | | |
Cable One, Inc.(a) | | | | | 8 | | | | | | 11,908 | | |
Charter Communications, Inc., Class A*(a) | | | | | 22 | | | | | | 10,672 | | |
| | | | | | | | | | | 34,117 | | |
Metals & Mining – 1.0% | | ||||||||||||
Reliance Steel & Aluminum Co. | | | | | 90 | | | | | | 10,778 | | |
Royal Gold, Inc.(a) | | | | | 92 | | | | | | 11,247 | | |
| | | | | | | | | | | 22,025 | | |
Multiline Retail – 0.9% | | ||||||||||||
Dollar General Corp.(a) | | | | | 68 | | | | | | 10,606 | | |
Target Corp. | | | | | 84 | | | | | | 10,770 | | |
| | | | | | | | | | | 21,376 | | |
Multi-Utilities – 0.9% | | ||||||||||||
Black Hills Corp.(a) | | | | | 138 | | | | | | 10,838 | | |
WEC Energy Group, Inc. | | | | | 120 | | | | | | 11,068 | | |
| | | | | | | | | | | 21,906 | | |
Oil, Gas & Consumable Fuels – 3.8% | | ||||||||||||
Cheniere Energy, Inc.*(a) | | | | | 174 | | | | | | 10,626 | | |
Chevron Corp.(a) | | | | | 90 | | | | | | 10,846 | | |
Exxon Mobil Corp. | | | | | 156 | | | | | | 10,886 | | |
Hess Corp.(a) | | | | | 172 | | | | | | 11,491 | | |
Kinder Morgan, Inc.(a) | | | | | 544 | | | | | | 11,516 | | |
ONEOK, Inc.(a) | | | | | 150 | | | | | | 11,351 | | |
Williams Cos., Inc. (The) | | | | | 472 | | | | | | 11,196 | | |
World Fuel Services Corp.(a) | | | | | 248 | | | | | | 10,768 | | |
| | | | | | | | | | | 88,680 | | |
Personal Products – 0.9% | | ||||||||||||
Coty, Inc., Class A(a) | | | | | 924 | | | | | | 10,395 | | |
Estee Lauder Cos., Inc. (The), Class A(a) | | | | | 54 | | | | | | 11,153 | | |
| | | | | | | | | | | 21,548 | | |
|
Schedule of Investments
Investments | | | Number of Shares | | | Value | | ||||||
Pharmaceuticals – 1.5% | | ||||||||||||
Catalent, Inc.*(a) | | | | | 202 | | | | | $ | 11,372 | | |
Horizon Therapeutics plc*(a) | | | | | 324 | | | | | | 11,729 | | |
Zoetis, Inc. | | | | | 88 | | | | | | 11,647 | | |
| | | | | | | | | | | 34,748 | | |
Professional Services – 1.4% | | ||||||||||||
CoStar Group, Inc.*(a) | | | | | 18 | | | | | | 10,769 | | |
FTI Consulting, Inc.*(a) | | | | | 98 | | | | | | 10,845 | | |
IHS Markit Ltd.*(a) | | | | | 146 | | | | | | 11,001 | | |
| | | | | | | | | | | 32,615 | | |
Road & Rail – 0.9% | | ||||||||||||
Kansas City Southern(a) | | | | | 70 | | | | | | 10,721 | | |
Old Dominion Freight Line, Inc.(a) | | | | | 56 | | | | | | 10,628 | | |
| | | | | | | | | | | 21,349 | | |
Semiconductors & Semiconductor Equipment – 4.0% | | ||||||||||||
Advanced Micro Devices, Inc.*(a) | | | | | 270 | | | | | | 12,382 | | |
Applied Materials, Inc.(a) | | | | | 184 | | | | | | 11,231 | | |
Cirrus Logic, Inc.*(a) | | | | | 148 | | | | | | 12,197 | | |
Entegris, Inc.(a) | | | | | 224 | | | | | | 11,220 | | |
KLA Corp.(a) | | | | | 64 | | | | | | 11,403 | | |
Lam Research Corp.(a) | | | | | 40 | | | | | | 11,696 | | |
Teradyne, Inc. | | | | | 168 | | | | | | 11,456 | | |
Universal Display Corp.(a) | | | | | 54 | | | | | | 11,128 | | |
| | | | | | | | | | | 92,713 | | |
Software – 7.2% | | ||||||||||||
Alteryx, Inc., Class A*(a) | | | | | 96 | | | | | | 9,607 | | |
Anaplan, Inc.*(a) | | | | | 198 | | | | | | 10,375 | | |
Avalara, Inc.*(a) | | | | | 136 | | | | | | 9,962 | | |
Cadence Design Systems, Inc.*(a) | | | | | 152 | | | | | | 10,543 | | |
Ceridian HCM Holding, Inc.*(a) | | | | | 176 | | | | | | 11,947 | | |
Coupa Software, Inc.*(a) | | | | | 70 | | | | | | 10,238 | | |
Fair Isaac Corp.*(a) | | | | | 30 | | | | | | 11,240 | | |
Manhattan Associates, Inc.*(a) | | | | | 126 | | | | | | 10,048 | | |
Paycom Software, Inc.*(a) | | | | | 38 | | | | | | 10,061 | | |
Paylocity Holding Corp.*(a) | | | | | 88 | | | | | | 10,632 | | |
RingCentral, Inc., Class A* | | | | | 62 | | | | | | 10,458 | | |
ServiceNow, Inc.*(a) | | | | | 38 | | | | | | 10,728 | | |
Smartsheet, Inc., Class A* | | | | | 226 | | | | | | 10,152 | | |
Synopsys, Inc.* | | | | | 76 | | | | | | 10,579 | | |
Trade Desk, Inc. (The), Class A* | | | | | 40 | | | | | | 10,391 | | |
Zendesk, Inc.* | | | | | 134 | | | | | | 10,268 | | |
| | | | | | | | | | | 167,229 | | |
Specialty Retail – 2.7% | | ||||||||||||
AutoZone, Inc.*(a) | | | | | 10 | | | | | | 11,913 | | |
CarMax, Inc.*(a) | | | | | 108 | | | | | | 9,468 | | |
Carvana Co.*(a) | | | | | 112 | | | | | | 10,310 | | |
Floor & Decor Holdings, Inc., Class A*(a) | | | | | 224 | | | | | | 11,382 | | |
Lithia Motors, Inc., Class A(a) | | | | | 66 | | | | | | 9,702 | | |
Murphy USA, Inc.*(a) | | | | | 90 | | | | | | 10,530 | | |
| | | | | | | | | | | 63,305 | | |
Textiles, Apparel & Luxury Goods – 1.4% | | ||||||||||||
Deckers Outdoor Corp.*(a) | | | | | 64 | | | | | | 10,807 | | |
Lululemon Athletica, Inc.*(a) | | | | | 48 | | | | | | 11,120 | | |
Skechers U.S.A., Inc., Class A* | | | | | 264 | | | | | | 11,402 | | |
| | | | | | | | | | | 33,329 | | |
Thrifts & Mortgage Finance – 1.3% | | ||||||||||||
Essent Group Ltd.(a) | | | | | 194 | | | | | | 10,086 | | |
New York Community Bancorp, Inc.(a) | | | | | 892 | | | | | | 10,722 | | |
Radian Group, Inc.(a) | | | | | 410 | | | | | | 10,316 | | |
| | | | | | | | | | | 31,124 | | |
|
Investments | | | Number of Shares | | | Value | | ||||||
Trading Companies & Distributors – 0.5% | | ||||||||||||
SiteOne Landscape Supply, Inc.* | | | | | 118 | | | | | $ | 10,697 | | |
Water Utilities – 0.5% | | ||||||||||||
American Water Works Co., Inc.(a) | | | | | 88 | | | | | | 10,811 | | |
Total Common Stocks (Cost $1,969,602) | | | | | | | | | | | 2,131,898 | | |
Total Long Positions (Cost $1,969,602) | | | | | | | | | | | 2,131,898 | | |
Short Positions – (95.5)% | | ||||||||||||
Common Stocks – (95.5)% | | ||||||||||||
Aerospace & Defense – (0.4)% | | ||||||||||||
Textron, Inc. | | | | | (230) | | | | | | (10,258) | | |
Air Freight & Logistics – (0.9)% | | ||||||||||||
CH Robinson Worldwide, Inc. | | | | | (138) | | | | | | (10,791) | | |
FedEx Corp. | | | | | (66) | | | | | | (9,980) | | |
| | | | | | | | | | | (20,771) | | |
Airlines – (0.4)% | | ||||||||||||
American Airlines Group, Inc. | | | | | (368) | | | | | | (10,554) | | |
Auto Components – (1.4)% | | ||||||||||||
Autoliv, Inc. | | | | | (130) | | | | | | (10,973) | | |
Goodyear Tire & Rubber Co. (The) | | | | | (666) | | | | | | (10,360) | | |
Lear Corp. | | | | | (88) | | | | | | (12,074) | | |
| | | | | | | | | | | (33,407) | | |
Automobiles – (0.5)% | | ||||||||||||
Thor Industries, Inc. | | | | | (166) | | | | | | (12,332) | | |
Banks – (7.7)% | | ||||||||||||
Associated Banc-Corp. | | | | | (496) | | | | | | (10,932) | | |
CIT Group, Inc. | | | | | (234) | | | | | | (10,677) | | |
Comerica, Inc. | | | | | (152) | | | | | | (10,906) | | |
Cullen/Frost Bankers, Inc. | | | | | (114) | | | | | | (11,147) | | |
East West Bancorp, Inc. | | | | | (232) | | | | | | (11,298) | | |
Glacier Bancorp, Inc. | | | | | (244) | | | | | | (11,221) | | |
Home BancShares, Inc. | | | | | (566) | | | | | | (11,128) | | |
M&T Bank Corp. | | | | | (64) | | | | | | (10,864) | | |
PacWest Bancorp | | | | | (284) | | | | | | (10,869) | | |
SVB Financial Group* | | | | | (46) | | | | | | (11,548) | | |
TCF Financial Corp. | | | | | (250) | | | | | | (11,700) | | |
Texas Capital Bancshares, Inc.* | | | | | (184) | | | | | | (10,446) | | |
Umpqua Holdings Corp. | | | | | (650) | | | | | | (11,505) | | |
Webster Financial Corp. | | | | | (220) | | | | | | (11,739) | | |
Wintrust Financial Corp. | | | | | (158) | | | | | | (11,202) | | |
Zions Bancorp NA | | | | | (214) | | | | | | (11,111) | | |
| | | | | | | | | | | (178,293) | | |
Beverages – (0.5)% | | ||||||||||||
Molson Coors Brewing Co., Class B | | | | | (212) | | | | | | (11,427) | | |
Biotechnology – (4.9)% | | ||||||||||||
Agios Pharmaceuticals, Inc.* | | | | | (272) | | | | | | (12,988) | | |
Alkermes plc* | | | | | (506) | | | | | | (10,322) | | |
Biogen, Inc.* | | | | | (36) | | | | | | (10,682) | | |
BioMarin Pharmaceutical, Inc.* | | | | | (132) | | | | | | (11,161) | | |
Bluebird Bio, Inc.* | | | | | (130) | | | | | | (11,408) | | |
Exelixis, Inc.* | | | | | (640) | | | | | | (11,277) | | |
FibroGen, Inc.* | | | | | (246) | | | | | | (10,551) | | |
Immunomedics, Inc.* | | | | | (564) | | | | | | (11,934) | | |
Sarepta Therapeutics, Inc.* | | | | | (96) | | | | | | (12,388) | | |
United Therapeutics Corp.* | | | | | (114) | | | | | | (10,041) | | |
| | | | | | | | | | | (112,752) | | |
|
Schedule of Investments
Investments | | | Number of Shares | | | Value | | ||||||
Building Products – (0.4)% | | ||||||||||||
AO Smith Corp. | | | | | (220) | | | | | $ | (10,481) | | |
Capital Markets – (4.6)% | | ||||||||||||
Affiliated Managers Group, Inc. | | | | | (126) | | | | | | (10,677) | | |
Bank of New York Mellon Corp. (The) | | | | | (220) | | | | | | (11,073) | | |
Charles Schwab Corp. (The) | | | | | (214) | | | | | | (10,178) | | |
E*TRADE Financial Corp. | | | | | (242) | | | | | | (10,979) | | |
Evercore, Inc., Class A | | | | | (138) | | | | | | (10,317) | | |
Franklin Resources, Inc. | | | | | (388) | | | | | | (10,080) | | |
Interactive Brokers Group, Inc., Class A | | | | | (218) | | | | | | (10,163) | | |
Invesco Ltd. | | | | | (608) | | | | | | (10,932) | | |
State Street Corp. | | | | | (142) | | | | | | (11,232) | | |
TD Ameritrade Holding Corp. | | | | | (204) | | | | | | (10,139) | | |
| | | | | | | | | | | (105,770) | | |
Chemicals – (2.5)% | | ||||||||||||
Albemarle Corp. | | | | | (164) | | | | | | (11,979) | | |
Chemours Co. (The) | | | | | (666) | | | | | | (12,048) | | |
DuPont de Nemours, Inc. | | | | | (164) | | | | | | (10,529) | | |
Mosaic Co. (The) | | | | | (564) | | | | | | (12,205) | | |
Olin Corp. | | | | | (610) | | | | | | (10,522) | | |
| | | | | | | | | | | (57,283) | | |
Commercial Services & Supplies – (0.9)% | | ||||||||||||
Deluxe Corp. | | | | | (208) | | | | | | (10,383) | | |
Rollins, Inc. | | | | | (298) | | | | | | (9,882) | | |
| | | | | | | | | | | (20,265) | | |
Communications Equipment – (2.3)% | | ||||||||||||
Arista Networks, Inc.* | | | | | (54) | | | | | | (10,984) | | |
Cisco Systems, Inc. | | | | | (236) | | | | | | (11,319) | | |
CommScope Holding Co., Inc.* | | | | | (790) | | | | | | (11,210) | | |
F5 Networks, Inc.* | | | | | (74) | | | | | | (10,334) | | |
Juniper Networks, Inc. | | | | | (424) | | | | | | (10,443) | | |
| | | | | | | | | | | (54,290) | | |
Construction & Engineering – (0.5)% | | ||||||||||||
Fluor Corp. | | | | | (614) | | | | | | (11,592) | | |
Consumer Finance – (0.9)% | | ||||||||||||
FirstCash, Inc. | | | | | (132) | | | | | | (10,643) | | |
SLM Corp. | | | | | (1,250) | | | | | | (11,138) | | |
| | | | | | | | | | | (21,781) | | |
Containers & Packaging – (1.0)% | | ||||||||||||
Berry Global Group, Inc.* | | | | | (230) | | | | | | (10,923) | | |
Westrock Co. | | | | | (266) | | | | | | (11,414) | | |
| | | | | | | | | | | (22,337) | | |
Diversified Consumer Services – (0.5)% | | ||||||||||||
Grand Canyon Education, Inc.* | | | | | (126) | | | | | | (12,070) | | |
Diversified Telecommunication Services – (0.4)% | | ||||||||||||
CenturyLink, Inc. | | | | | (740) | | | | | | (9,775) | | |
Electric Utilities – (0.9)% | | ||||||||||||
Avangrid, Inc. | | | | | (218) | | | | | | (11,153) | | |
Pinnacle West Capital Corp. | | | | | (122) | | | | | | (10,971) | | |
| | | | | | | | | | | (22,124) | | |
Electrical Equipment – (0.5)% | | ||||||||||||
nVent Electric plc | | | | | (430) | | | | | | (10,999) | | |
Electronic Equipment, Instruments & Components – (2.8)% | | ||||||||||||
Avnet, Inc. | | | | | (260) | | | | | | (11,034) | | |
Corning, Inc. | | | | | (366) | | | | | | (10,654) | | |
Investments | | | Number of Shares | | | Value | | ||||||
Dolby Laboratories, Inc., Class A | | | | | (154) | | | | | $ | (10,595) | | |
IPG Photonics Corp.* | | | | | (74) | | | | | | (10,724) | | |
Littelfuse, Inc. | | | | | (58) | | | | | | (11,096) | | |
National Instruments Corp. | | | | | (252) | | | | | | (10,670) | | |
| | | | | | | | | | | (64,773) | | |
Energy Equipment & Services – (2.6)% | | ||||||||||||
Core Laboratories NV | | | | | (246) | | | | | | (9,267) | | |
Halliburton Co. | | | | | (512) | | | | | | (12,528) | | |
National Oilwell Varco, Inc. | | | | | (474) | | | | | | (11,874) | | |
Patterson-UTI Energy, Inc. | | | | | (1,206) | | | | | | (12,663) | | |
Transocean Ltd.* | | | | | (2,166) | | | | | | (14,902) | | |
| | | | | | | | | | | (61,234) | | |
Entertainment – (1.0)% | | ||||||||||||
Activision Blizzard, Inc. | | | | | (196) | | | | | | (11,646) | | |
Cinemark Holdings, Inc. | | | | | (314) | | | | | | (10,629) | | |
| | | | | | | | | | | (22,275) | | |
Equity Real Estate Investment Trusts (REITs) – (8.5)% | | ||||||||||||
Apple Hospitality REIT, Inc. | | | | | (656) | | | | | | (10,660) | | |
Colony Capital, Inc. | | | | | (2,204) | | | | | | (10,469) | | |
GEO Group, Inc. (The) | | | | | (724) | | | | | | (12,026) | | |
Host Hotels & Resorts, Inc. | | | | | (610) | | | | | | (11,316) | | |
Macerich Co. (The) | | | | | (394) | | | | | | (10,607) | | |
Paramount Group, Inc. | | | | | (782) | | | | | | (10,885) | | |
Park Hotels & Resorts, Inc. | | | | | (452) | | | | | | (11,693) | | |
Pebblebrook Hotel Trust | | | | | (406) | | | | | | (10,885) | | |
Rayonier, Inc. | | | | | (348) | | | | | | (11,400) | | |
RLJ Lodging Trust | | | | | (624) | | | | | | (11,057) | | |
Senior Housing Properties Trust | | | | | (1,496) | | | | | | (12,626) | | |
Service Properties Trust | | | | | (458) | | | | | | (11,143) | | |
Simon Property Group, Inc. | | | | | (70) | | | | | | (10,427) | | |
SL Green Realty Corp. | | | | | (126) | | | | | | (11,577) | | |
Sunstone Hotel Investors, Inc. | | | | | (762) | | | | | | (10,607) | | |
Taubman Centers, Inc. | | | | | (318) | | | | | | (9,887) | | |
Urban Edge Properties | | | | | (512) | | | | | | (9,820) | | |
Vornado Realty Trust | | | | | (166) | | | | | | (11,039) | | |
| | | | | | | | | | | (198,124) | | |
Food & Staples Retailing – (0.9)% | | ||||||||||||
Kroger Co. (The) | | | | | (392) | | | | | | (11,364) | | |
Walgreens Boots Alliance, Inc. | | | | | (180) | | | | | | (10,613) | | |
| | | | | | | | | | | (21,977) | | |
Food Products – (2.0)% | | ||||||||||||
Conagra Brands, Inc. | | | | | (368) | | | | | | (12,600) | | |
Ingredion, Inc. | | | | | (128) | | | | | | (11,898) | | |
Kraft Heinz Co. (The) | | | | | (352) | | | | | | (11,310) | | |
Lancaster Colony Corp. | | | | | (68) | | | | | | (10,887) | | |
| | | | | | | | | | | (46,695) | | |
Gas Utilities – (2.4)% | | ||||||||||||
National Fuel Gas Co. | | | | | (234) | | | | | | (10,890) | | |
New Jersey Resources Corp. | | | | | (250) | | | | | | (11,142) | | |
South Jersey Industries, Inc. | | | | | (344) | | | | | | (11,345) | | |
Southwest Gas Holdings, Inc. | | | | | (140) | | | | | | (10,636) | | |
UGI Corp. | | | | | (254) | | | | | | (11,471) | | |
| | | | | | | | | | | (55,484) | | |
Health Care Equipment & Supplies – (1.3)% | | ||||||||||||
ABIOMED, Inc.* | | | | | (54) | | | | | | (9,212) | | |
ICU Medical, Inc.* | | | | | (56) | | | | | | (10,479) | | |
LivaNova plc* | | | | | (126) | | | | | | (9,504) | | |
| | | | | | | | | | | (29,195) | | |
|
Schedule of Investments
Investments | | | Number of Shares | | | Value | | ||||||
Health Care Providers & Services – (2.0)% | | ||||||||||||
Acadia Healthcare Co., Inc.* | | | | | (332) | | | | | $ | (11,029) | | |
Centene Corp.* | | | | | (178) | | | | | | (11,191) | | |
HealthEquity, Inc.* | | | | | (172) | | | | | | (12,740) | | |
MEDNAX, Inc.* | | | | | (410) | | | | | | (11,394) | | |
| | | | | | | | | | | (46,354) | | |
Hotels, Restaurants & Leisure – (1.0)% | | ||||||||||||
Carnival Corp. | | | | | (236) | | | | | | (11,996) | | |
Six Flags Entertainment Corp. | | | | | (246) | | | | | | (11,097) | | |
| | | | | | | | | | | (23,093) | | |
Household Durables – (0.5)% | | ||||||||||||
Newell Brands, Inc. | | | | | (552) | | | | | | (10,609) | | |
Independent Power and Renewable Electricity Producers – (0.5)% | | ||||||||||||
NRG Energy, Inc. | | | | | (272) | | | | | | (10,812) | | |
Industrial Conglomerates – (0.5)% | | ||||||||||||
3M Co. | | | | | (62) | | | | | | (10,938) | | |
Insurance – (1.3)% | | ||||||||||||
CNO Financial Group, Inc. | | | | | (590) | | | | | | (10,697) | | |
Lincoln National Corp. | | | | | (180) | | | | | | (10,622) | | |
Unum Group | | | | | (346) | | | | | | (10,089) | | |
| | | | | | | | | | | (31,408) | | |
Interactive Media & Services – (1.0)% | | ||||||||||||
TripAdvisor, Inc. | | | | | (374) | | | | | | (11,362) | | |
Twitter, Inc.* | | | | | (344) | | | | | | (11,025) | | |
| | | | | | | | | | | (22,387) | | |
Internet & Direct Marketing Retail – (1.4)% | | ||||||||||||
Expedia Group, Inc. | | | | | (104) | | | | | | (11,247) | | |
Grubhub, Inc.* | | | | | (246) | | | | | | (11,965) | | |
Qurate Retail, Inc., Series A* | | | | | (1,156) | | | | | | (9,745) | | |
| | | | | | | | | | | (32,957) | | |
IT Services – (3.7)% | | ||||||||||||
Alliance Data Systems Corp. | | | | | (100) | | | | | | (11,220) | | |
Amdocs Ltd. | | | | | (154) | | | | | | (11,117) | | |
Cognizant Technology Solutions Corp., Class A | | | | | (166) | | | | | | (10,295) | | |
CoreLogic, Inc.* | | | | | (258) | | | | | | (11,277) | | |
DXC Technology Co. | | | | | (288) | | | | | | (10,826) | | |
LiveRamp Holdings, Inc.* | | | | | (210) | | | | | | (10,095) | | |
Sabre Corp. | | | | | (474) | | | | | | (10,637) | | |
Square, Inc., Class A* | | | | | (154) | | | | | | (9,634) | | |
| | | | | | | | | | | (85,101) | | |
Leisure Products – (0.5)% | | ||||||||||||
Mattel, Inc.* | | | | | (906) | | | | | | (12,276) | | |
Machinery – (3.8)% | | ||||||||||||
Allison Transmission Holdings, Inc. | | | | | (220) | | | | | | (10,630) | | |
Crane Co. | | | | | (128) | | | | | | (11,057) | | |
Flowserve Corp. | | | | | (220) | | | | | | (10,949) | | |
Fortive Corp. | | | | | (148) | | | | | | (11,306) | | |
Middleby Corp. (The)* | | | | | (92) | | | | | | (10,076) | | |
Pentair plc | | | | | (242) | | | | | | (11,101) | | |
Trinity Industries, Inc. | | | | | (506) | | | | | | (11,208) | | |
Westinghouse Air Brake Technologies Corp. | | | | | (138) | | | | | | (10,736) | | |
| | | | | | | | | | | (87,063) | | |
Media – (2.0)% | | ||||||||||||
Liberty Global plc, Class C* | | | | | (498) | | | | | | (10,854) | | |
Liberty Latin America Ltd., Class C* | | | | | (608) | | | | | | (11,832) | | |
Investments | | | Number of Shares | | | Value | | ||||||
News Corp., Class A | | | | | (830) | | | | | $ | (11,736) | | |
ViacomCBS, Inc. | | | | | (264) | | | | | | (11,080) | | |
| | | | | | | | | | | (45,502) | | |
Metals & Mining – (1.4)% | | ||||||||||||
Alcoa Corp.* | | | | | (528) | | | | | | (11,357) | | |
Steel Dynamics, Inc. | | | | | (314) | | | | | | (10,689) | | |
United States Steel Corp. | | | | | (826) | | | | | | (9,425) | | |
| | | | | | | | | | | (31,471) | | |
Multiline Retail – (1.9)% | | ||||||||||||
Kohl’s Corp. | | | | | (224) | | | | | | (11,413) | | |
Macy’s, Inc. | | | | | (694) | | | | | | (11,798) | | |
Nordstrom, Inc. | | | | | (282) | | | | | | (11,542) | | |
Ollie’s Bargain Outlet Holdings, Inc.* | | | | | (162) | | | | | | (10,580) | | |
| | | | | | | | | | | (45,333) | | |
Multi-Utilities – (1.0)% | | ||||||||||||
Avista Corp. | | | | | (226) | | | | | | (10,868) | | |
CenterPoint Energy, Inc. | | | | | (436) | | | | | | (11,890) | | |
| | | | | | | | | | | (22,758) | | |
Oil, Gas & Consumable Fuels – (1.6)% | | ||||||||||||
Concho Resources, Inc. | | | | | (148) | | | | | | (12,960) | | |
Continental Resources, Inc. | | | | | (346) | | | | | | (11,868) | | |
EQT Corp. | | | | | (1,212) | | | | | | (13,211) | | |
| | | | | | | | | | | (38,039) | | |
Personal Products – (1.0)% | | ||||||||||||
Herbalife Nutrition Ltd.* | | | | | (234) | | | | | | (11,155) | | |
Nu Skin Enterprises, Inc., Class A | | | | | (278) | | | | | | (11,392) | | |
| | | | | | | | | | | (22,547) | | |
Pharmaceuticals – (2.4)% | | ||||||||||||
Elanco Animal Health, Inc.* | | | | | (386) | | | | | | (11,368) | | |
Johnson & Johnson | | | | | (78) | | | | | | (11,378) | | |
Nektar Therapeutics* | | | | | (520) | | | | | | (11,224) | | |
Perrigo Co. plc | | | | | (208) | | | | | | (10,745) | | |
Pfizer, Inc. | | | | | (276) | | | | | | (10,814) | | |
| | | | | | | | | | | (55,529) | | |
Professional Services – (1.5)% | | ||||||||||||
ASGN, Inc.* | | | | | (162) | | | | | | (11,497) | | |
Nielsen Holdings plc | | | | | (542) | | | | | | (11,003) | | |
Robert Half International, Inc. | | | | | (184) | | | | | | (11,619) | | |
| | | | | | | | | | | (34,119) | | |
Road & Rail – (1.4)% | | ||||||||||||
CSX Corp. | | | | | (150) | | | | | | (10,854) | | |
JB Hunt Transport Services, Inc. | | | | | (92) | | | | | | (10,744) | | |
Ryder System, Inc. | | | | | (202) | | | | | | (10,970) | | |
| | | | | | | | | | | (32,568) | | |
Software – (4.1)% | | ||||||||||||
CDK Global, Inc. | | | | | (198) | | | | | | (10,827) | | |
Citrix Systems, Inc. | | | | | (96) | | | | | | (10,646) | | |
Dropbox, Inc., Class A* | | | | | (576) | | | | | | (10,316) | | |
FireEye, Inc.* | | | | | (642) | | | | | | (10,612) | | |
LogMeIn, Inc. | | | | | (136) | | | | | | (11,661) | | |
New Relic, Inc.* | | | | | (156) | | | | | | (10,251) | | |
Nutanix, Inc., Class A* | | | | | (298) | | | | | | (9,315) | | |
PTC, Inc.* | | | | | (140) | | | | | | (10,485) | | |
Teradata Corp.* | | | | | (402) | | | | | | (10,762) | | |
| | | | | | | | | | | (94,875) | | |
Specialty Retail – (1.9)% | | ||||||||||||
American Eagle Outfitters, Inc. | | | | | (734) | | | | | | (10,790) | | |
Gap, Inc. (The) | | | | | (642) | | | | | | (11,351) | | |
Schedule of Investments
Investments | | | Number of Shares | | | Value | | ||||||
L Brands, Inc. | | | | | (558) | | | | | $ | (10,111) | | |
Ulta Beauty, Inc.* | | | | | (46) | | | | | | (11,644) | | |
| | | | | | | | | | | (43,896) | | |
Technology Hardware, Storage & Peripherals – (2.0)% | | ||||||||||||
HP, Inc. | | | | | (534) | | | | | | (10,974) | | |
NetApp, Inc. | | | | | (176) | | | | | | (10,956) | | |
Pure Storage, Inc., Class A* | | | | | (658) | | | | | | (11,258) | | |
Western Digital Corp. | | | | | (216) | | | | | | (13,710) | | |
| | | | | | | | | | | (46,898) | | |
Textiles, Apparel & Luxury Goods – (2.0)% | | ||||||||||||
Capri Holdings Ltd.* | | | | | (288) | | | | | | (10,987) | | |
PVH Corp. | | | | | (110) | | | | | | (11,567) | | |
Tapestry, Inc. | | | | | (400) | | | | | | (10,788) | | |
Under Armour, Inc., Class A* | | | | | (560) | | | | | | (12,096) | | |
| | | | | | | | | | | (45,438) | | |
Trading Companies & Distributors – (1.5)% | | ||||||||||||
MSC Industrial Direct Co., Inc., Class A | | | | | (144) | | | | | | (11,300) | | |
Univar Solutions, Inc.* | | | | | (454) | | | | | | (11,005) | | |
WW Grainger, Inc. | | | | | (34) | | | | | | (11,509) | | |
| | | | | | | | | | | (33,814) | | |
Total Common Stocks (Proceeds $(2,374,108)) | | | | | | | | | | | (2,214,103) | | |
Total Short Positions (Proceeds $(2,374,108)) | | | | | | | | | | | (2,214,103) | | |
|
Investments | | | Number of Shares | | | Value | | |||
Total Investments – (3.5)% (Cost $(404,506)) | | | | | | | $ | (82,205) | | |
Other Assets Less Liabilities – 103.5% | | | | | | | | 2,399,514 | | |
Net Assets – 100.0% | | | | | | | $ | 2,317,309 | | |
|
| Aggregate gross unrealized appreciation | | | | $ | 499,514 | | |
| Aggregate gross unrealized depreciation | | | | | (194,831) | | |
| Net unrealized appreciation | | | | $ | 304,683 | | |
| Federal income tax cost of investments (including derivative contracts, if any) | | | | $ | (403,182) | | |
| Notional Amount | | | Termination Date(1) | | | Counterparty | | | Rate Paid (Received)(2) | | | Payment Frequency | | | Underlying Instrument(3) | | | Value and Unrealized Appreciation/ (Depreciation)(4) | | | Cash Collateral (Received) Pledged | | | Net Amount(5) | | ||||||||||||||||||
| 261,948 USD | | | | | 9/30/2021 | | | | Morgan Stanley | | | | | 2.26% | | | | | | Monthly | | | | Dow Jones U.S. High Momentum Total Return Index(6) | | | | $ | 10,713 | | | | | $ | — | | | | | $ | 10,713 | | |
| (245,777) USD | | | | | 9/30/2021 | | | | Morgan Stanley | | | | | (1.36)% | | | | | | Monthly | | | | Dow Jones U.S. Low Momentum Total Return Index(7) | | | | | (27,007) | | | | | | 20,034(8) | | | | | | (6,973) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (16,294) | | | | | | | | | | | $ | 3,740 | | |
Schedule of Investments
Schedule of Investments
Investments | | | Number of Shares | | | Value | | ||||||
Long Positions – 91.9% | | ||||||||||||
Common Stocks – 91.9% | | ||||||||||||
Air Freight & Logistics – 0.4% | | ||||||||||||
FedEx Corp.(a) | | | | | 27 | | | | | $ | 4,083 | | |
Airlines – 2.7% | | ||||||||||||
Alaska Air Group, Inc.(a) | | | | | 70 | | | | | | 4,743 | | |
Delta Air Lines, Inc.(a) | | | | | 73 | | | | | | 4,269 | | |
JetBlue Airways Corp.*(a) | | | | | 256 | | | | | | 4,792 | | |
Southwest Airlines Co. | | | | | 83 | | | | | | 4,480 | | |
Spirit Airlines, Inc.* | | | | | 112 | | | | | | 4,515 | | |
United Airlines Holdings, Inc.* | | | | | 59 | | | | | | 5,197 | | |
| | | | | | | | | | | 27,996 | | |
Auto Components – 2.0% | | ||||||||||||
BorgWarner, Inc.(a) | | | | | 129 | | | | | | 5,596 | | |
Dana, Inc.(a) | | | | | 271 | | | | | | 4,932 | | |
Goodyear Tire & Rubber Co. (The)(a) | | | | | 327 | | | | | | 5,087 | | |
Lear Corp. | | | | | 37 | | | | | | 5,076 | | |
| | | | | | | | | | | 20,691 | | |
Automobiles – 1.8% | | ||||||||||||
Ford Motor Co.(a) | | | | | 483 | | | | | | 4,492 | | |
General Motors Co.(a) | | | | | 121 | | | | | | 4,428 | | |
Harley-Davidson, Inc.(a) | | | | | 131 | | | | | | 4,872 | | |
Thor Industries, Inc. | | | | | 75 | | | | | | 5,572 | | |
| | | | | | | | | | | 19,364 | | |
Banks – 3.3% | | ||||||||||||
Bank OZK | | | | | 162 | | | | | | 4,942 | | |
CIT Group, Inc.(a) | | | | | 99 | | | | | | 4,517 | | |
Citigroup, Inc.(a) | | | | | 61 | | | | | | 4,873 | | |
Citizens Financial Group, Inc.(a) | | | | | 132 | | | | | | 5,360 | | |
FNB Corp.(a) | | | | | 390 | | | | | | 4,953 | | |
Popular, Inc.(a) | | | | | 85 | | | | | | 4,994 | | |
Sterling Bancorp | | | | | 220 | | | | | | 4,638 | | |
| | | | | | | | | | | 34,277 | | |
Beverages – 0.4% | | ||||||||||||
Molson Coors Brewing Co., Class B | | | | | 88 | | | | | | 4,743 | | |
Biotechnology – 2.6% | | ||||||||||||
AbbVie, Inc.(a) | | | | | 52 | | | | | | 4,604 | | |
Alexion Pharmaceuticals, Inc.*(a) | | | | | 40 | | | | | | 4,326 | | |
Biogen, Inc.*(a) | | | | | 16 | | | | | | 4,748 | | |
Gilead Sciences, Inc.(a) | | | | | 70 | | | | | | 4,548 | | |
Regeneron Pharmaceuticals, Inc.* | | | | | 12 | | | | | | 4,506 | | |
United Therapeutics Corp.* | | | | | 52 | | | | | | 4,580 | | |
| | | | | | | | | | | 27,312 | | |
Building Products – 0.5% | | ||||||||||||
Owens Corning | | | | | 74 | | | | | | 4,819 | | |
Capital Markets – 1.9% | | ||||||||||||
Goldman Sachs Group, Inc. (The)(a) | | | | | 24 | | | | | | 5,518 | | |
Invesco Ltd.(a) | | | | | 252 | | | | | | 4,531 | | |
Janus Henderson Group plc(a) | | | | | 181 | | | | | | 4,426 | | |
Morgan Stanley | | | | | 99 | | | | | | 5,061 | | |
| | | | | | | | | | | 19,536 | | |
|
Investments | | | Number of Shares | | | Value | | ||||||
Chemicals – 1.9% | | ||||||||||||
Eastman Chemical Co.(a) | | | | | 65 | | | | | $ | 5,152 | | |
Huntsman Corp.(a) | | | | | 201 | | | | | | 4,856 | | |
LyondellBasell Industries NV, Class A | | | | | 55 | | | | | | 5,196 | | |
Mosaic Co. (The) | | | | | 206 | | | | | | 4,458 | | |
| | | | | | | | | | | 19,662 | | |
Commercial Services & Supplies – 0.4% | | ||||||||||||
KAR Auction Services, Inc.(a) | | | | | 217 | | | | | | 4,728 | | |
Communications Equipment – 1.0% | | ||||||||||||
CommScope Holding Co., Inc.*(a) | | | | | 395 | | | | | | 5,605 | | |
Juniper Networks, Inc.(a) | | | | | 203 | | | | | | 5,000 | | |
| | | | | | | | | | | 10,605 | | |
Construction & Engineering – 0.9% | | ||||||||||||
AECOM*(a) | | | | | 119 | | | | | | 5,133 | | |
MasTec, Inc.* | | | | | 69 | | | | | | 4,427 | | |
| | | | | | | | | | | 9,560 | | |
Consumer Finance – 1.9% | | ||||||||||||
Ally Financial, Inc.(a) | | | | | 152 | | | | | | 4,645 | | |
Capital One Financial Corp.(a) | | | | | 53 | | | | | | 5,454 | | |
Navient Corp. | | | | | 338 | | | | | | 4,624 | | |
SLM Corp. | | | | | 538 | | | | | | 4,794 | | |
| | | | | | | | | | | 19,517 | | |
Containers & Packaging – 1.0% | | ||||||||||||
International Paper Co.(a) | | | | | 101 | | | | | | 4,651 | | |
Westrock Co. | | | | | 128 | | | | | | 5,493 | | |
| | | | | | | | | | | 10,144 | | |
Diversified Financial Services – 1.0% | | ||||||||||||
AXA Equitable Holdings, Inc.(a) | | | | | 213 | | | | | | 5,278 | | |
Voya Financial, Inc. | | | | | 79 | | | | | | 4,818 | | |
| | | | | | | | | | | 10,096 | | |
Diversified Telecommunication Services – 0.9% | | ||||||||||||
AT&T, Inc. | | | | | 120 | | | | | | 4,690 | | |
CenturyLink, Inc.(a) | | | | | 367 | | | | | | 4,849 | | |
| | | | | | | | | | | 9,539 | | |
Electric Utilities – 2.2% | | ||||||||||||
Avangrid, Inc.(a) | | | | | 88 | | | | | | 4,502 | | |
Duke Energy Corp.(a) | | | | | 45 | | | | | | 4,105 | | |
Exelon Corp.(a) | | | | | 99 | | | | | | 4,513 | | |
Pinnacle West Capital Corp. | | | | | 53 | | | | | | 4,766 | | |
PPL Corp. | | | | | 150 | | | | | | 5,382 | | |
| | | | | | | | | | | 23,268 | | |
Electrical Equipment – 1.0% | | ||||||||||||
nVent Electric plc | | | | | 174 | | | | | | 4,451 | | |
Regal Beloit Corp. | | | | | 67 | | | | | | 5,736 | | |
| | | | | | | | | | | 10,187 | | |
Electronic Equipment, Instruments & Components – 3.2% | | ||||||||||||
Arrow Electronics, Inc.*(a) | | | | | 61 | | | | | | 5,169 | | |
Avnet, Inc.(a) | | | | | 117 | | | | | | 4,965 | | |
Belden, Inc.(a) | | | | | 93 | | | | | | 5,115 | | |
Corning, Inc.(a) | | | | | 138 | | | | | | 4,017 | | |
Jabil, Inc.(a) | | | | | 118 | | | | | | 4,877 | | |
Schedule of Investments
Investments | | | Number of Shares | | | Value | | ||||||
SYNNEX Corp. | | | | | 37 | | | | | $ | 4,766 | | |
Vishay Intertechnology, Inc. | | | | | 234 | | | | | | 4,982 | | |
| | | | | | | | | | | 33,891 | | |
Equity Real Estate Investment Trusts (REITs) – 6.7% | | ||||||||||||
Apple Hospitality REIT, Inc.(a) | | | | | 263 | | | | | | 4,274 | | |
Brixmor Property Group, Inc.(a) | | | | | 207 | | | | | | 4,473 | | |
CoreCivic, Inc.(a) | | | | | 302 | | | | | | 5,249 | | |
EPR Properties(a) | | | | | 56 | | | | | | 3,956 | | |
GEO Group, Inc. (The)(a) | | | | | 329 | | | | | | 5,465 | | |
Host Hotels & Resorts, Inc.(a) | | | | | 242 | | | | | | 4,489 | | |
Kimco Realty Corp.(a) | | | | | 252 | | | | | | 5,219 | | |
Medical Properties Trust, Inc. | | | | | 247 | | | | | | 5,214 | | |
Park Hotels & Resorts, Inc. | | | | | 167 | | | | | | 4,320 | | |
Pebblebrook Hotel Trust | | | | | 156 | | | | | | 4,183 | | |
Sabra Health Care REIT, Inc. | | | | | 195 | | | | | | 4,161 | | |
Service Properties Trust | | | | | 191 | | | | | | 4,647 | | |
Spirit Realty Capital, Inc. | | | | | 103 | | | | | | 5,066 | | |
Sunstone Hotel Investors, Inc. | | | | | 321 | | | | | | 4,468 | | |
VICI Properties, Inc. | | | | | 197 | | | | | | 5,033 | | |
| | | | | | | | | | | 70,217 | | |
Food & Staples Retailing – 0.9% | | ||||||||||||
Kroger Co. (The) | | | | | 163 | | | | | | 4,725 | | |
Walgreens Boots Alliance, Inc. | | | | | 89 | | | | | | 5,248 | | |
| | | | | | | | | | | 9,973 | | |
Food Products – 3.2% | | ||||||||||||
Conagra Brands, Inc.(a) | | | | | 165 | | | | | | 5,650 | | |
Darling Ingredients, Inc.*(a) | | | | | 232 | | | | | | 6,514 | | |
Ingredion, Inc.(a) | | | | | 49 | | | | | | 4,554 | | |
JM Smucker Co. (The) | | | | | 36 | | | | | | 3,749 | | |
Kraft Heinz Co. (The)(a) | | | | | 161 | | | | | | 5,173 | | |
TreeHouse Foods, Inc.* | | | | | 80 | | | | | | 3,880 | | |
Tyson Foods, Inc., Class A | | | | | 51 | | | | | | 4,643 | | |
| | | | | | | | | | | 34,163 | | |
Gas Utilities – 0.4% | | ||||||||||||
National Fuel Gas Co. | | | | | 90 | | | | | | 4,189 | | |
Health Care Providers & Services – 5.8% | | ||||||||||||
Acadia Healthcare Co., Inc.*(a) | | | | | 136 | | | | | | 4,518 | | |
AmerisourceBergen Corp.(a) | | | | | 58 | | | | | | 4,931 | | |
Anthem, Inc.(a) | | | | | 16 | | | | | | 4,833 | | |
Cardinal Health, Inc.(a) | | | | | 84 | | | | | | 4,249 | | |
Centene Corp.*(a) | | | | | 91 | | | | | | 5,721 | | |
Cigna Corp.(a) | | | | | 23 | | | | | | 4,703 | | |
CVS Health Corp.(a) | | | | | 68 | | | | | | 5,052 | | |
DaVita, Inc.*(a) | | | | | 64 | | | | | | 4,802 | | |
Laboratory Corp. of America Holdings* | | | | | 30 | | | | | | 5,075 | | |
McKesson Corp. | | | | | 30 | | | | | | 4,150 | | |
MEDNAX, Inc.* | | | | | 179 | | | | | | 4,974 | | |
Quest Diagnostics, Inc.(a) | | | | | 41 | | | | | | 4,378 | | |
Universal Health Services, Inc., Class B | | | | | 29 | | | | | | 4,160 | | |
| | | | | | | | | | | 61,546 | | |
Hotels, Restaurants & Leisure – 1.4% | | ||||||||||||
Carnival Corp.(a) | | | | | 87 | | | | | | 4,422 | | |
Norwegian Cruise Line Holdings Ltd.* | | | | | 80 | | | | | | 4,673 | | |
Royal Caribbean Cruises Ltd. | | | | | 42 | | | | | | 5,607 | | |
| | | | | | | | | | | 14,702 | | |
|
Investments | | | Number of Shares | | | Value | | ||||||
Household Durables – 1.7% | | ||||||||||||
Lennar Corp., Class A | | | | | 77 | | | | | $ | 4,296 | | |
Mohawk Industries, Inc.* | | | | | 35 | | | | | | 4,773 | | |
Newell Brands, Inc. | | | | | 238 | | | | | | 4,575 | | |
PulteGroup, Inc. | | | | | 115 | | | | | | 4,462 | | |
| | | | | | | | | | | 18,106 | | |
Independent Power and Renewable Electricity Producers – 0.8% | | ||||||||||||
AES Corp.(a) | | | | | 245 | | | | | | 4,876 | | |
Vistra Energy Corp. | | | | | 169 | | | | | | 3,885 | | |
| | | | | | | | | | | 8,761 | | |
Insurance – 3.7% | | ||||||||||||
Athene Holding Ltd., Class A*(a) | | | | | 121 | | | | | | 5,690 | | |
Brighthouse Financial, Inc.*(a) | | | | | 116 | | | | | | 4,551 | | |
CNO Financial Group, Inc.(a) | | | | | 269 | | | | | | 4,877 | | |
Lincoln National Corp. | | | | | 82 | | | | | | 4,839 | | |
MetLife, Inc. | | | | | 106 | | | | | | 5,403 | | |
Principal Financial Group, Inc. | | | | | 84 | | | | | | 4,620 | | |
Prudential Financial, Inc. | | | | | 51 | | | | | | 4,781 | | |
Unum Group | | | | | 140 | | | | | | 4,082 | | |
| | | | | | | | | | | 38,843 | | |
Internet & Direct Marketing Retail – 0.4% | | ||||||||||||
Qurate Retail, Inc., Series A* | | | | | 493 | | | | | | 4,156 | | |
IT Services – 3.1% | | ||||||||||||
Alliance Data Systems Corp.(a) | | | | | 44 | | | | | | 4,937 | | |
CACI International, Inc., Class A*(a) | | | | | 19 | | | | | | 4,750 | | |
CoreLogic, Inc.*(a) | | | | | 111 | | | | | | 4,852 | | |
DXC Technology Co.(a) | | | | | 127 | | | | | | 4,774 | | |
International Business Machines Corp.(a) | | | | | 31 | | | | | | 4,155 | | |
KBR, Inc.(a) | | | | | 154 | | | | | | 4,697 | | |
Perspecta, Inc. | | | | | 163 | | | | | | 4,309 | | |
| | | | | | | | | | | 32,474 | | |
Machinery – 2.3% | | ||||||||||||
AGCO Corp.(a) | | | | | 66 | | | | | | 5,098 | | |
Kennametal, Inc.(a) | | | | | 127 | | | | | | 4,685 | | |
Oshkosh Corp. | | | | | 50 | | | | | | 4,733 | | |
PACCAR, Inc. | | | | | 56 | | | | | | 4,430 | | |
Timken Co. (The) | | | | | 88 | | | | | | 4,955 | | |
| | | | | | | | | | | 23,901 | | |
Media – 2.8% | | ||||||||||||
Discovery, Inc., Class C*(a) | | | | | 172 | | | | | | 5,244 | | |
DISH Network Corp., Class A*(a) | | | | | 145 | | | | | | 5,143 | | |
Interpublic Group of Cos., Inc. (The)(a) | | | | | 205 | | | | | | 4,735 | | |
Liberty Media Corp-Liberty SiriusXM, Class C* | | | | | 104 | | | | | | 5,007 | | |
Nexstar Media Group, Inc., Class A | | | | | 43 | | | | | | 5,042 | | |
TEGNA, Inc. | | | | | 290 | | | | | | 4,840 | | |
| | | | | | | | | | | 30,011 | | |
Metals & Mining – 1.4% | | ||||||||||||
Nucor Corp. | | | | | 80 | | | | | | 4,502 | | |
Reliance Steel & Aluminum Co. | | | | | 43 | | | | | | 5,150 | | |
Steel Dynamics, Inc. | | | | | 135 | | | | | | 4,595 | | |
| | | | | | | | | | | 14,247 | | |
|
Schedule of Investments
Investments | | | Number of Shares | | | Value | | ||||||
Mortgage Real Estate Investment Trusts (REITs) – 2.3% | | ||||||||||||
AGNC Investment Corp.(a) | | | | | 279 | | | | | $ | 4,933 | | |
Annaly Capital Management, Inc. | | | | | 515 | | | | | | 4,851 | | |
Chimera Investment Corp.(a) | | | | | 221 | | | | | | 4,544 | | |
New Residential Investment Corp. | | | | | 301 | | | | | | 4,849 | | |
Two Harbors Investment Corp. | | | | | 354 | | | | | | 5,175 | | |
| | | | | | | | | | | 24,352 | | |
Multiline Retail – 0.9% | | ||||||||||||
Kohl’s Corp. | | | | | 90 | | | | | | 4,586 | | |
Macy’s, Inc. | | | | | 285 | | | | | | 4,845 | | |
| | | | | | | | | | | 9,431 | | |
Multi-Utilities – 0.4% | | ||||||||||||
CenterPoint Energy, Inc.(a) | | | | | 152 | | | | | | 4,145 | | |
Oil, Gas & Consumable Fuels – 3.8% | | ||||||||||||
Cimarex Energy Co. | | | | | 99 | | | | | | 5,196 | | |
Delek US Holdings, Inc.(a) | | | | | 130 | | | | | | 4,359 | | |
Devon Energy Corp.(a) | | | | | 211 | | | | | | 5,480 | | |
Diamondback Energy, Inc.(a) | | | | | 60 | | | | | | 5,571 | | |
HollyFrontier Corp.(a) | | | | | 94 | | | | | | 4,767 | | |
Marathon Petroleum Corp. | | | | | 76 | | | | | | 4,579 | | |
Parsley Energy, Inc., Class A | | | | | 255 | | | | | | 4,822 | | |
PBF Energy, Inc., Class A | | | | | 154 | | | | | | 4,831 | | |
| | | | | | | | | | | 39,605 | | |
Paper & Forest Products – 0.4% | | ||||||||||||
Domtar Corp. | | | | | 110 | | | | | | 4,206 | | |
Pharmaceuticals – 2.0% | | ||||||||||||
Bristol-Myers Squibb Co.(a) | | | | | 97 | | | | | | 6,226 | | |
Jazz Pharmaceuticals plc*(a) | | | | | 34 | | | | | | 5,076 | | |
Perrigo Co. plc | | | | | 98 | | | | | | 5,063 | | |
Pfizer, Inc. | | | | | 119 | | | | | | 4,662 | | |
| | | | | | | | | | | 21,027 | | |
Professional Services – 1.0% | | ||||||||||||
ManpowerGroup, Inc. | | | | | 55 | | | | | | 5,340 | | |
Nielsen Holdings plc | | | | | 233 | | | | | | 4,730 | | |
| | | | | | | | | | | 10,070 | | |
Real Estate Management & Development – 1.0% | | ||||||||||||
Howard Hughes Corp. (The)*(a) | | | | | 42 | | | | | | 5,325 | | |
Jones Lang LaSalle, Inc.(a) | | | | | 29 | | | | | | 5,049 | | |
| | | | | | | | | | | 10,374 | | |
Road & Rail – 1.3% | | ||||||||||||
AMERCO | | | | | 12 | | | | | | 4,510 | | |
Knight-Swift Transportation Holdings, Inc.(a) | | | | | 143 | | | | | | 5,125 | | |
Ryder System, Inc. | | | | | 80 | | | | | | 4,345 | | |
| | | | | | | | | | | 13,980 | | |
Semiconductors & Semiconductor Equipment – 2.4% | | ||||||||||||
Intel Corp.(a) | | | | | 79 | | | | | | 4,728 | | |
Micron Technology, Inc.* | | | | | 93 | | | | | | 5,002 | | |
ON Semiconductor Corp.* | | | | | 212 | | | | | | 5,169 | | |
Investments | | | Number of Shares | | | Value | | ||||||
Qorvo, Inc.* | | | | | 44 | | | | | $ | 5,114 | | |
Skyworks Solutions, Inc. | | | | | 46 | | | | | | 5,560 | | |
| | | | | | | | | | | 25,573 | | |
Software – 2.5% | | ||||||||||||
j2 Global, Inc.(a) | | | | | 56 | | | | | | 5,248 | | |
LogMeIn, Inc. | | | | | 60 | | | | | | 5,145 | | |
Nuance Communications, Inc.* | | | | | 259 | | | | | | 4,618 | | |
SS&C Technologies Holdings, Inc. | | | | | 91 | | | | | | 5,587 | | |
Verint Systems, Inc.* | | | | | 95 | | | | | | 5,259 | | |
| | | | | | | | | | | 25,857 | | |
Specialty Retail – 1.7% | | ||||||||||||
AutoNation, Inc.*(a) | | | | | 89 | | | | | | 4,328 | | |
Dick’s Sporting Goods, Inc.(a) | | | | | 101 | | | | | | 4,998 | | |
Foot Locker, Inc.(a) | | | | | 112 | | | | | | 4,367 | | |
Gap, Inc. (The)(a) | | | | | 266 | | | | | | 4,703 | | |
| | | | | | | | | | | 18,396 | | |
Technology Hardware, Storage & Peripherals – 2.7% | | ||||||||||||
Dell Technologies, Inc., Class C*(a) | | | | | 94 | | | | | | 4,831 | | |
Hewlett Packard Enterprise Co.(a) | | | | | 288 | | | | | | 4,568 | | |
NCR Corp.* | | | | | 145 | | | | | | 5,098 | | |
Seagate Technology plc | | | | | 84 | | | | | | 4,998 | | |
Western Digital Corp. | | | | | 74 | | | | | | 4,697 | | |
Xerox Holdings Corp. | | | | | 119 | | | | | | 4,387 | | |
| | | | | | | | | | | 28,579 | | |
Textiles, Apparel & Luxury Goods – 1.0% | | ||||||||||||
Capri Holdings Ltd.*(a) | | | | | 137 | | | | | | 5,227 | | |
PVH Corp. | | | | | 55 | | | | | | 5,783 | | |
| | | | | | | | | | | 11,010 | | |
Thrifts & Mortgage Finance – 0.4% | | ||||||||||||
MGIC Investment Corp. | | | | | 325 | | | | | | 4,605 | | |
Trading Companies & Distributors – 1.6% | | ||||||||||||
Air Lease Corp.(a) | | | | | 119 | | | | | | 5,655 | | |
GATX Corp.(a) | | | | | 63 | | | | | | 5,219 | | |
United Rentals, Inc.* | | | | | 36 | | | | | | 6,004 | | |
| | | | | | | | | | | 16,878 | | |
Transportation Infrastructure – 0.4% | | ||||||||||||
Macquarie Infrastructure Corp. | | | | | 109 | | | | | | 4,670 | | |
Wireless Telecommunication Services – 0.5% | | ||||||||||||
Telephone & Data Systems, Inc. | | | | | 193 | | | | | | 4,908 | | |
Total Common Stocks (Cost $927,607) | | | | | | | | | | | 966,973 | | |
Total Long Positions (Cost $927,607) | | | | | | | | | | | 966,973 | | |
Short Positions – (84.7)% | | ||||||||||||
Common Stocks – (84.7)% | | ||||||||||||
Aerospace & Defense – (2.4)% | | ||||||||||||
Axon Enterprise, Inc.* | | | | | (64) | | | | | | (4,690) | | |
Boeing Co. (The) | | | | | (11) | | | | | | (3,583) | | |
Schedule of Investments
Investments | | | Number of Shares | | | Value | | ||||||
BWX Technologies, Inc. | | | | | (69) | | | | | $ | (4,284) | | |
HEICO Corp. | | | | | (35) | | | | | | (3,995) | | |
Teledyne Technologies, Inc.* | | | | | (13) | | | | | | (4,505) | | |
TransDigm Group, Inc. | | | | | (8) | | | | | | (4,480) | | |
| | | | | | | | | | | (25,537) | | |
Automobiles – (0.6)% | | ||||||||||||
Tesla, Inc.* | | | | | (14) | | | | | | (5,857) | | |
Banks – (0.4)% | | ||||||||||||
First Financial Backshares, Inc. | | | | | (130) | | | | | | (4,563) | | |
Beverages – (1.8)% | | ||||||||||||
Boston Beer Co., Inc. (The), Class A* | | | | | (12) | | | | | | (4,534) | | |
Brown-Forman Corp., Class B | | | | | (69) | | | | | | (4,664) | | |
Coca-Cola Co. (The) | | | | | (87) | | | | | | (4,816) | | |
Monster Beverage Corp.* | | | | | (84) | | | | | | (5,338) | | |
| | | | | | | | | | | (19,352) | | |
Biotechnology – (5.4)% | | ||||||||||||
ACADIA Pharmaceuticals, Inc.* | | | | | (97) | | | | | | (4,150) | | |
Agios Pharmaceuticals, Inc.* | | | | | (93) | | | | | | (4,441) | | |
Alnylam Pharmaceuticals, Inc.* | | | | | (38) | | | | | | (4,376) | | |
Blueprint Medicines Corp.* | | | | | (57) | | | | | | (4,566) | | |
Exact Sciences Corp.* | | | | | (56) | | | | | | (5,179) | | |
FibroGen, Inc.* | | | | | (91) | | | | | | (3,903) | | |
Immunomedics, Inc.* | | | | | (255) | | | | | | (5,396) | | |
Medicines Co. (The)* | | | | | (54) | | | | | | (4,587) | | |
Moderna, Inc.* | | | | | (217) | | | | | | (4,244) | | |
Neurocrine Biosciences, Inc.* | | | | | (41) | | | | | | (4,407) | | |
Sage Therapeutics, Inc.* | | | | | (25) | | | | | | (1,805) | | |
Sarepta Therapeutics, Inc.* | | | | | (39) | | | | | | (5,032) | | |
Seattle Genetics, Inc.* | | | | | (37) | | | | | | (4,228) | | |
| | | | | | | | | | | (56,314) | | |
Building Products – (1.8)% | | ||||||||||||
Allegion plc | | | | | (44) | | | | | | (5,480) | | |
Armstrong World Industries, Inc. | | | | | (48) | | | | | | (4,511) | | |
Lennox International, Inc. | | | | | (19) | | | | | | (4,635) | | |
Trex Co., Inc.* | | | | | (47) | | | | | | (4,224) | | |
| | | | | | | | | | | (18,850) | | |
Capital Markets – (6.6)% | | ||||||||||||
Blackstone Group, Inc. (The), Class A | | | | | (83) | | | | | | (4,643) | | |
Cboe Global Markets, Inc. | | | | | (39) | | | | | | (4,680) | | |
Charles Schwab Corp. (The) | | | | | (91) | | | | | | (4,328) | | |
CME Group, Inc. | | | | | (19) | | | | | | (3,814) | | |
Eaton Vance Corp. | | | | | (94) | | | | | | (4,389) | | |
FactSet Research Systems, Inc. | | | | | (15) | | | | | | (4,024) | | |
Interactive Brokers Group, Inc., Class A | | | | | (88) | | | | | | (4,103) | | |
Intercontinental Exchange, Inc. | | | | | (44) | | | | | | (4,072) | | |
LPL Financial Holdings, Inc. | | | | | (49) | | | | | | (4,520) | | |
MarketAxess Holdings, Inc. | | | | | (10) | | | | | | (3,791) | | |
Moody’s Corp. | | | | | (23) | | | | | | (5,460) | | |
Morningstar, Inc. | | | | | (25) | | | | | | (3,783) | | |
MSCI, Inc. | | | | | (19) | | | | | | (4,905) | | |
Nasdaq, Inc. | | | | | (41) | | | | | | (4,391) | | |
S&P Global, Inc. | | | | | (16) | | | | | | (4,369) | | |
SEI Investments Co. | | | | | (70) | | | | | | (4,584) | | |
| | | | | | | | | | | (69,856) | | |
|
Investments | | | Number of Shares | | | Value | | ||||||
Chemicals – (2.9)% | | ||||||||||||
Air Products & Chemicals, Inc. | | | | | (18) | | | | | $ | (4,230) | | |
Ecolab, Inc. | | | | | (23) | | | | | | (4,439) | | |
FMC Corp. | | | | | (46) | | | | | | (4,592) | | |
NewMarket Corp. | | | | | (9) | | | | | | (4,379) | | |
RPM International, Inc. | | | | | (60) | | | | | | (4,605) | | |
Scotts Miracle-Gro Co. (The) | | | | | (38) | | | | | | (4,035) | | |
Sherwin-Williams Co. (The) | | | | | (8) | | | | | | (4,668) | | |
| | | | | | | | | | | (30,948) | | |
Commercial Services & Supplies – (1.6)% | | ||||||||||||
Cintas Corp. | | | | | (15) | | | | | | (4,036) | | |
Copart, Inc.* | | | | | (50) | | | | | | (4,547) | | |
IAA, Inc.* | | | | | (83) | | | | | | (3,906) | | |
Rollins, Inc. | | | | | (120) | | | | | | (3,979) | | |
| | | | | | | | | | | (16,468) | | |
Construction Materials – (0.4)% | | ||||||||||||
Vulcan Materials Co. | | | | | (29) | | | | | | (4,176) | | |
Consumer Finance – (0.8)% | | ||||||||||||
American Express Co. | | | | | (34) | | | | | | (4,233) | | |
FirstCash, Inc. | | | | | (46) | | | | | | (3,709) | | |
| | | | | | | | | | | (7,942) | | |
Containers & Packaging – (0.4)% | | ||||||||||||
Ball Corp. | | | | | (69) | | | | | | (4,462) | | |
Distributors – (0.5)% | | ||||||||||||
Pool Corp. | | | | | (24) | | | | | | (5,097) | | |
Diversified Consumer Services – (1.1)% | | ||||||||||||
Bright Horizons Family Solutions, Inc.* | | | | | (25) | | | | | | (3,757) | | |
Chegg, Inc.* | | | | | (115) | | | | | | (4,360) | | |
frontdoor, Inc.* | | | | | (80) | | | | | | (3,794) | | |
| | | | | | | | | | | (11,911) | | |
Electric Utilities – (0.8)% | | ||||||||||||
Alliant Energy Corp. | | | | | (78) | | | | | | (4,268) | | |
NextEra Energy, Inc. | | | | | (19) | | | | | | (4,601) | | |
| | | | | | | | | | | (8,869) | | |
Electrical Equipment – (0.4)% | | ||||||||||||
Rockwell Automation, Inc. | | | | | (23) | | | | | | (4,661) | | |
Energy Equipment & Services – (1.3)% | | ||||||||||||
Apergy Corp.* | | | | | (175) | | | | | | (5,911) | | |
Core Laboratories NV | | | | | (90) | | | | | | (3,390) | | |
National Oilwell Varco, Inc. | | | | | (170) | | | | | | (4,259) | | |
| | | | | | | | | | | (13,560) | | |
Entertainment – (1.6)% | | ||||||||||||
Live Nation Entertainment, Inc.* | | | | | (71) | | | | | | (5,074) | | |
Madison Square Garden Co. (The), Class A* | | | | | (15) | | | | | | (4,413) | | |
Netflix, Inc.* | | | | | (12) | | | | | | (3,883) | | |
Roku, Inc.* | | | | | (28) | | | | | | (3,749) | | |
| | | | | | | | | | | (17,119) | | |
Equity Real Estate Investment Trusts (REITs) – (6.8)% | | ||||||||||||
American Tower Corp. | | | | | (20) | | | | | | (4,596) | | |
Americold Realty Trust | | | | | (120) | | | | | | (4,207) | | |
Schedule of Investments
Investments | | | Number of Shares | | | Value | | ||||||
Apartment Investment & Management Co., Class A | | | | | (80) | | | | | $ | (4,132) | | |
CoreSite Realty Corp. | | | | | (37) | | | | | | (4,149) | | |
Crown Castle International Corp. | | | | | (28) | | | | | | (3,980) | | |
EastGroup Properties, Inc. | | | | | (33) | | | | | | (4,378) | | |
Equinix, Inc. | | | | | (7) | | | | | | (4,086) | | |
Equity LifeStyle Properties, Inc. | | | | | (70) | | | | | | (4,927) | | |
Equity Residential | | | | | (48) | | | | | | (3,884) | | |
Essex Property Trust, Inc. | | | | | (13) | | | | | | (3,911) | | |
Extra Space Storage, Inc. | | | | | (40) | | | | | | (4,225) | | |
Federal Realty Investment Trust | | | | | (33) | | | | | | (4,248) | | |
Prologis, Inc. | | | | | (49) | | | | | | (4,368) | | |
Public Storage | | | | | (18) | | | | | | (3,833) | | |
SBA Communications Corp. | | | | | (19) | | | | | | (4,579) | | |
Sun Communities, Inc. | | | | | (27) | | | | | | (4,053) | | |
UDR, Inc. | | | | | (85) | | | | | | (3,970) | | |
| | | | | | | | | | | (71,526) | | |
Food & Staples Retailing – (0.4)% | | ||||||||||||
Costco Wholesale Corp. | | | | | (15) | | | | | | (4,409) | | |
Food Products – (0.8)% | | ||||||||||||
Hershey Co. (The) | | | | | (26) | | | | | | (3,822) | | |
McCormick & Co., Inc. (Non-Voting) | | | | | (25) | | | | | | (4,243) | | |
| | | | | | | | | | | (8,065) | | |
Gas Utilities – (0.8)% | | ||||||||||||
New Jersey Resources Corp. | | | | | (105) | | | | | | (4,680) | | |
ONE Gas, Inc. | | | | | (44) | | | | | | (4,117) | | |
| | | | | | | | | | | (8,797) | | |
Health Care Equipment & Supplies – (3.0)% | | ||||||||||||
DexCom, Inc.* | | | | | (20) | | | | | | (4,375) | | |
Edwards Lifesciences Corp.* | | | | | (18) | | | | | | (4,199) | | |
Haemonetics Corp.* | | | | | (31) | | | | | | (3,562) | | |
IDEXX Laboratories, Inc.* | | | | | (18) | | | | | | (4,700) | | |
Insulet Corp.* | | | | | (27) | | | | | | (4,623) | | |
Intuitive Surgical, Inc.* | | | | | (9) | | | | | | (5,320) | | |
Penumbra, Inc.* | | | | | (30) | | | | | | (4,928) | | |
| | | | | | | | | | | (31,707) | | |
Health Care Providers & Services – (0.4)% | | ||||||||||||
Guardant Health, Inc.* | | | | | (60) | | | | | | (4,688) | | |
Health Care Technology – (0.4)% | | ||||||||||||
Veeva Systems, Inc., Class A* | | | | | (28) | | | | | | (3,939) | | |
Hotels, Restaurants & Leisure – (3.8)% | | ||||||||||||
Chipotle Mexican Grill, Inc.* | | | | | (5) | | | | | | (4,185) | | |
Domino’s Pizza, Inc. | | | | | (17) | | | | | | (4,994) | | |
Dunkin’ Brands Group, Inc. | | | | | (58) | | | | | | (4,381) | | |
Hilton Worldwide Holdings, Inc. | | | | | (48) | | | | | | (5,324) | | |
McDonald’s Corp. | | | | | (19) | | | | | | (3,755) | | |
Planet Fitness, Inc., Class A* | | | | | (56) | | | | | | (4,182) | | |
Starbucks Corp. | | | | | (53) | | | | | | (4,660) | | |
Wendy’s Co. (The) | | | | | (185) | | | | | | (4,109) | | |
Yum! Brands, Inc. | | | | | (42) | | | | | | (4,231) | | |
| | | | | | | | | | | (39,821) | | |
|
Investments | | | Number of Shares | | | Value | | ||||||
Household Products – (0.9)% | | ||||||||||||
Clorox Co. (The) | | | | | (31) | | | | | $ | (4,760) | | |
Colgate-Palmolive Co. | | | | | (62) | | | | | | (4,268) | | |
| | | | | | | | | | | (9,028) | | |
Industrial Conglomerates – (0.4)% | | ||||||||||||
Roper Technologies, Inc. | | | | | (12) | | | | | | (4,251) | | |
Insurance – (5.3)% | | ||||||||||||
Aon plc | | | | | (24) | | | | | | (4,999) | | |
Arthur J Gallagher & Co. | | | | | (51) | | | | | | (4,857) | | |
Brown & Brown, Inc. | | | | | (136) | | | | | | (5,369) | | |
Cincinnati Financial Corp. | | | | | (44) | | | | | | (4,626) | | |
Enstar Group Ltd.* | | | | | (22) | | | | | | (4,551) | | |
Erie Indemnity Co., Class A | | | | | (26) | | | | | | (4,316) | | |
Markel Corp.* | | | | | (4) | | | | | | (4,573) | | |
Marsh & McLennan Cos., Inc. | | | | | (41) | | | | | | (4,568) | | |
Primerica, Inc. | | | | | (34) | | | | | | (4,439) | | |
RLI Corp. | | | | | (50) | | | | | | (4,501) | | |
White Mountains Insurance Group Ltd. | | | | | (4) | | | | | | (4,462) | | |
WR Berkley Corp. | | | | | (69) | | | | | | (4,768) | | |
| | | | | | | | | | | (56,029) | | |
Interactive Media & Services – (1.3)% | | ||||||||||||
IAC/InterActiveCorp* | | | | | (16) | | | | | | (3,986) | | |
Snap, Inc., Class A* | | | | | (258) | | | | | | (4,213) | | |
Zillow Group, Inc., Class C* | | | | | (114) | | | | | | (5,237) | | |
| | | | | | | | | | | (13,436) | | |
Internet & Direct Marketing Retail – (1.4)% | | ||||||||||||
Amazon.com, Inc.* | | | | | (3) | | | | | | (5,543) | | |
Etsy, Inc.* | | | | | (103) | | | | | | (4,563) | | |
Wayfair, Inc., Class A* | | | | | (53) | | | | | | (4,790) | | |
| | | | | | | | | | | (14,896) | | |
IT Services – (2.4)% | | ||||||||||||
Gartner, Inc.* | | | | | (28) | | | | | | (4,315) | | |
Mastercard, Inc., Class A | | | | | (17) | | | | | | (5,076) | | |
MongoDB, Inc.* | | | | | (30) | | | | | | (3,948) | | |
Okta, Inc.* | | | | | (38) | | | | | | (4,384) | | |
Square, Inc., Class A* | | | | | (58) | | | | | | (3,629) | | |
VeriSign, Inc.* | | | | | (22) | | | | | | (4,239) | | |
| | | | | | | | | | | (25,591) | | |
Leisure Products – (0.5)% | | ||||||||||||
Mattel, Inc.* | | | | | (348) | | | | | | (4,715) | | |
Life Sciences Tools & Services – (0.4)% | | ||||||||||||
Illumina, Inc.* | | | | | (14) | | | | | | (4,644) | | |
Machinery – (1.9)% | | ||||||||||||
Donaldson Co., Inc. | | | | | (91) | | | | | | (5,244) | | |
Graco, Inc. | | | | | (91) | | | | | | (4,732) | | |
IDEX Corp. | | | | | (28) | | | | | | (4,816) | | |
Toro Co. (The) | | | | | (69) | | | | | | (5,497) | | |
| | | | | | | | | | | (20,289) | | |
Media – (0.9)% | | ||||||||||||
Cable One, Inc. | | | | | (3) | | | | | | (4,466) | | |
New York Times Co. (The), Class A | | | | | (143) | | | | | | (4,600) | | |
| | | | | | | | | | | (9,066) | | |
|
Schedule of Investments
Investments | | | Number of Shares | | | Value | | ||||||
Metals & Mining – (0.4)% | | ||||||||||||
Royal Gold, Inc. | | | | | (31) | | | | | $ | (3,790) | | |
Multiline Retail – (0.5)% | | ||||||||||||
Ollie’s Bargain Outlet Holdings, Inc.* | | | | | (74) | | | | | | (4,833) | | |
Multi-Utilities – (1.4)% | | ||||||||||||
CMS Energy Corp. | | | | | (76) | | | | | | (4,776) | | |
DTE Energy Co. | | | | | (36) | | | | | | (4,675) | | |
WEC Energy Group, Inc. | | | | | (53) | | | | | | (4,888) | | |
| | | | | | | | | | | (14,339) | | |
Oil, Gas & Consumable Fuels – (2.3)% | | ||||||||||||
Cheniere Energy, Inc.* | | | | | (81) | | | | | | (4,947) | | |
Concho Resources, Inc. | | | | | (62) | | | | | | (5,429) | | |
Hess Corp. | | | | | (65) | | | | | | (4,343) | | |
ONEOK, Inc. | | | | | (57) | | | | | | (4,313) | | |
Targa Resources Corp. | | | | | (123) | | | | | | (5,022) | | |
| | | | | | | | | | | (24,054) | | |
Personal Products – (0.4)% | | ||||||||||||
Estee Lauder Cos., Inc. (The), Class A | | | | | (21) | | | | | | (4,337) | | |
Professional Services – (1.6)% | | ||||||||||||
CoStar Group, Inc.* | | | | | (8) | | | | | | (4,786) | | |
Equifax, Inc. | | | | | (28) | | | | | | (3,923) | | |
TransUnion | | | | | (49) | | | | | | (4,195) | | |
Verisk Analytics, Inc. | | | | | (25) | | | | | | (3,734) | | |
| | | | | | | | | | | (16,638) | | |
Road & Rail – (0.8)% | | ||||||||||||
Lyft, Inc., Class A* | | | | | (92) | | | | | | (3,958) | | |
Uber Technologies, Inc.* | | | | | (152) | | | | | | (4,520) | | |
| | | | | | | | | | | (8,478) | | |
Semiconductors & Semiconductor Equipment – (0.9)% | | ||||||||||||
Advanced Micro Devices, Inc.* | | | | | (114) | | | | | | (5,228) | | |
Universal Display Corp. | | | | | (20) | | | | | | (4,121) | | |
| | | | | | | | | | | (9,349) | | |
Software – (10.1)% | | ||||||||||||
Adobe, Inc.* | | | | | (14) | | | | | | (4,617) | | |
Anaplan, Inc.* | | | | | (84) | | | | | | (4,402) | | |
Aspen Technology, Inc.* | | | | | (38) | | | | | | (4,595) | | |
Autodesk, Inc.* | | | | | (25) | | | | | | (4,587) | | |
Coupa Software, Inc.* | | | | | (29) | | | | | | (4,241) | | |
DocuSign, Inc.* | | | | | (63) | | | | | | (4,669) | | |
Fair Isaac Corp.* | | | | | (12) | | | | | | (4,496) | | |
Guidewire Software, Inc.* | | | | | (43) | | | | | | (4,720) | | |
HubSpot, Inc.* | | | | | (30) | | | | | | (4,755) | | |
Intuit, Inc. | | | | | (14) | | | | | | (3,667) | | |
Manhattan Associates, Inc.* | | | | | (50) | | | | | | (3,988) | | |
New Relic, Inc.* | | | | | (71) | | | | | | (4,665) | | |
Nutanix, Inc., Class A* | | | | | (126) | | | | | | (3,939) | | |
Paycom Software, Inc.* | | | | | (16) | | | | | | (4,236) | | |
Pegasystems, Inc. | | | | | (59) | | | | | | (4,699) | | |
Investments | | | Number of Shares | | | Value | | ||||||
Proofpoint, Inc.* | | | | | (38) | | | | | $ | (4,362) | | |
RingCentral, Inc., Class A* | | | | | (29) | | | | | | (4,891) | | |
salesforce.com, Inc.* | | | | | (26) | | | | | | (4,229) | | |
ServiceNow, Inc.* | | | | | (16) | | | | | | (4,517) | | |
Splunk, Inc.* | | | | | (30) | | | | | | (4,493) | | |
Tyler Technologies, Inc.* | | | | | (16) | | | | | | (4,800) | | |
Workday, Inc., Class A* | | | | | (24) | | | | | | (3,947) | | |
Zendesk, Inc.* | | | | | (60) | | | | | | (4,598) | | |
Zscaler, Inc.* | | | | | (87) | | | | | | (4,046) | | |
| | | | | | | | | | | (106,159) | | |
Specialty Retail – (0.9)% | | ||||||||||||
Carvana Co.* | | | | | (48) | | | | | | (4,418) | | |
Five Below, Inc.* | | | | | (39) | | | | | | (4,987) | | |
| | | | | | | | | | | (9,405) | | |
Textiles, Apparel & Luxury Goods – (1.4)% | | ||||||||||||
Lululemon Athletica, Inc.* | | | | | (20) | | | | | | (4,633) | | |
NIKE, Inc., Class B | | | | | (48) | | | | | | (4,863) | | |
VF Corp. | | | | | (50) | | | | | | (4,983) | | |
| | | | | | | | | | | (14,479) | | |
Trading Companies & Distributors – (0.5)% | | ||||||||||||
SiteOne Landscape Supply, Inc.* | | | | | (52) | | | | | | (4,714) | | |
Water Utilities – (0.9)% | | ||||||||||||
American Water Works Co., Inc. | | | | | (38) | | | | | | (4,668) | | |
Aqua America, Inc. | | | | | (109) | | | | | | (5,117) | | |
| | | | | | | | | | | (9,785) | | |
Total Common Stocks (Proceeds $(704,871)) | | | | | | | | | | | (890,799) | | |
Total Short Positions (Proceeds $(704,871)) | | | | | | | | | | | (890,799) | | |
Total Investments – 7.2% (Cost $222,736) | | | | | | | | | | | 76,174 | | |
Other Assets Less Liabilities – 92.8% | | | | | | | | | | | 975,284 | | |
Net Assets – 100.0% | | | | | | | | | | $ | 1,051,458 | | |
|
| Aggregate gross unrealized appreciation | | | | $ | 148,136 | | |
| Aggregate gross unrealized depreciation | | | | | (297,496) | | |
| Net unrealized depreciation | | | | $ | (149,360) | | |
| Federal income tax cost of investments (including derivative contracts, if any) | | | | $ | 229,222 | | |
Schedule of Investments
| Notional Amount | | | Termination Date(1) | | | Counterparty | | | Rate Paid (Received)(2) | | | Payment Frequency | | | Underlying Instrument(3) | | | Value and Unrealized Appreciation/ (Depreciation)(4) | | | Cash Collateral (Received) Pledged | | | Net Amount(5) | | ||||||||||||||||||
| 116,523 USD | | | | | 9/30/2021 | | | | Morgan Stanley | | | | | 2.16% | | | | | | Monthly | | | | Dow Jones U.S. Relative Value Total Return Index(6) | | | | $ | 11,577 | | | | | $ | — | | | | | $ | 11,577 | | |
| (135,297) USD | | | | | 9/30/2021 | | | | Morgan Stanley | | | | | (1.36)% | | | | | | Monthly | | | | Dow Jones U.S. Short Relative Value Total Return Index(7) | | | | | (7,889) | | | | | | — | | | | | | (7,889) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 3,688 | | | | | | | | | | | $ | 3,688 | | |
Abbreviations | | | ||
USD | | | US Dollar | |
Schedule of Investments
Investments | | | Number of Shares | | | Value | | ||||||
Long Positions – 91.1% | | | | | | | | | | | | | |
Common Stocks – 91.1% | | | | | | | | | | | | | |
Aerospace & Defense – 3.0% | | ||||||||||||
Axon Enterprise, Inc.*(a) | | | | | 6,834 | | | | | $ | 500,796 | | |
HEICO Corp.(a) | | | | | 3,876 | | | | | | 442,445 | | |
Hexcel Corp.(a) | | | | | 6,324 | | | | | | 463,612 | | |
L3Harris Technologies, Inc. | | | | | 2,550 | | | | | | 504,569 | | |
Lockheed Martin Corp. | | | | | 1,326 | | | | | | 516,318 | | |
Northrop Grumman Corp. | | | | | 1,428 | | | | | | 491,189 | | |
United Technologies Corp. | | | | | 3,468 | | | | | | 519,368 | | |
| | | | | | | | | | | 3,438,297 | | |
Air Freight & Logistics – 0.5% | | ||||||||||||
CH Robinson Worldwide, Inc.(a) | | | | | 6,630 | | | | | | 518,466 | | |
Beverages – 0.9% | | ||||||||||||
Boston Beer Co., Inc. (The), Class A* | | | | | 1,326 | | | | | | 501,029 | | |
Coca-Cola Co. (The) | | | | | 9,588 | | | | | | 530,696 | | |
| | | | | | | | | | | 1,031,725 | | |
Biotechnology – 0.8% | | ||||||||||||
Neurocrine Biosciences, Inc.* | | | | | 4,386 | | | | | | 471,451 | | |
United Therapeutics Corp.* | | | | | 5,508 | | | | | | 485,145 | | |
| | | | | | | | | | | 956,596 | | |
Building Products — 1.3% | | ||||||||||||
Johnson Controls International plc | | | | | 11,832 | | | | | | 481,680 | | |
Lennox International, Inc. | | | | | 1,938 | | | | | | 472,814 | | |
Owens Corning | | | | | 7,548 | | | | | | 491,526 | | |
| | | | | | | | | | | 1,446,020 | | |
Capital Markets — 2.2% | | ||||||||||||
Cboe Global Markets, Inc.(a) | | | | | 4,284 | | | | | | 514,080 | | |
CME Group, Inc.(a) | | | | | 2,550 | | | | | | 511,836 | | |
Federated Investors, Inc., Class B(a) | | | | | 15,096 | | | | | | 491,978 | | |
MarketAxess Holdings, Inc. | | | | | 1,224 | | | | | | 464,031 | | |
Morningstar, Inc. | | | | | 3,264 | | | | | | 493,876 | | |
| | | | | | | | | | | 2,475,801 | | |
Chemicals – 2.3% | | ||||||||||||
CF Industries Holdings, Inc.(a) | | | | | 11,118 | | | | | | 530,773 | | |
DuPont de Nemours, Inc.(a) | | | | | 7,854 | | | | | | 504,227 | | |
NewMarket Corp. | | | | | 1,020 | | | | | | 496,250 | | |
Valvoline, Inc. | | | | | 22,338 | | | | | | 478,257 | | |
WR Grace & Co.(a) | | | | | 7,650 | | | | | | 534,353 | | |
| | | | | | | | | | | 2,543,860 | | |
Commercial Services & Supplies – 1.8% | | ||||||||||||
Cintas Corp.(a) | | | | | 1,938 | | | | | | 521,477 | | |
Copart, Inc.*(a) | | | | | 5,712 | | | | | | 519,449 | | |
Republic Services, Inc. | | | | | 5,814 | | | | | | 521,109 | | |
Waste Management, Inc. | | | | | 4,488 | | | | | | 511,453 | | |
| | | | | | | | | | | 2,073,488 | | |
Communications Equipment – 0.9% | | ||||||||||||
Juniper Networks, Inc. | | | | | 20,298 | | | | | | 499,940 | | |
Motorola Solutions, Inc. | | | | | 3,060 | | | | | | 493,088 | | |
| | | | | | | | | | | 993,028 | | |
Containers & Packaging – 1.4% | | ||||||||||||
Ball Corp.(a) | | | | | 7,752 | | | | | | 501,322 | | |
Investments | | | Number of Shares | | | Value | | ||||||
Sealed Air Corp. | | | | | 13,566 | | | | | $ | 540,334 | | |
Sonoco Products Co. | | | | | 8,466 | | | | | | 522,521 | | |
| | | | | | | | | | | 1,564,177 | | |
Diversified Consumer Services – 1.8% | | ||||||||||||
frontdoor, Inc.*(a) | | | | | 11,220 | | | | | | 532,052 | | |
Graham Holdings Co., Class B(a) | | | | | 816 | | | | | | 521,416 | | |
H&R Block, Inc.(a) | | | | | 20,808 | | | | | | 488,572 | | |
ServiceMaster Global Holdings, Inc.* | | | | | 12,954 | | | | | | 500,802 | | |
| | | | | | | | | | | 2,042,842 | | |
Diversified Telecommunication Services – 0.5% | | ||||||||||||
Verizon Communications, Inc. | | | | | 8,466 | | | | | | 519,812 | | |
Electric Utilities – 2.3% | | ||||||||||||
Avangrid, Inc.(a) | | | | | 10,404 | | | | | | 532,269 | | |
Duke Energy Corp.(a) | | | | | 5,814 | | | | | | 530,295 | | |
Evergy, Inc.(a) | | | | | 8,058 | | | | | | 524,495 | | |
IDACORP, Inc. | | | | | 4,794 | | | | | | 511,999 | | |
Pinnacle West Capital Corp. | | | | | 5,814 | | | | | | 522,853 | | |
| | | | | | | | | | | 2,621,911 | | |
Electronic Equipment, Instruments & Components – 1.4% | | ||||||||||||
Dolby Laboratories, Inc., Class A(a) | | | | | 7,344 | | | | | | 505,267 | | |
FLIR Systems, Inc.(a) | | | | | 9,588 | | | | | | 499,247 | | |
Jabil, Inc. | | | | | 13,056 | | | | | | 539,605 | | |
| | | | | | | | | | | 1,544,119 | | |
Entertainment – 2.3% | | ||||||||||||
Activision Blizzard, Inc.(a) | | | | | 9,282 | | | | | | 551,536 | | |
Cinemark Holdings, Inc.(a) | | | | | 14,994 | | | | | | 507,547 | | |
Electronic Arts, Inc.*(a) | | | | | 4,998 | | | | | | 537,335 | | |
Madison Square Garden Co. (The), Class A* | | | | | 1,836 | | | | | | 540,133 | | |
Take-Two Interactive Software, Inc.* | | | | | 4,182 | | | | | | 512,002 | | |
| | | | | | | | | | | 2,648,553 | | |
Equity Real Estate Investment Trusts (REITs) – 8.0% | | ||||||||||||
American Tower Corp.(a) | | | | | 2,346 | | | | | | 539,158 | | |
CubeSmart(a) | | | | | 16,626 | | | | | | 523,386 | | |
Equity LifeStyle Properties, Inc.(a) | | | | | 6,936 | | | | | | 488,225 | | |
Extra Space Storage, Inc.(a) | | | | | 4,794 | | | | | | 506,342 | | |
Healthcare Realty Trust, Inc.(a) | | | | | 15,198 | | | | | | 507,157 | | |
Healthcare Trust of America, Inc., Class A(a) | | | | | 16,728 | | | | | | 506,524 | | |
Healthpeak Properties, Inc. | | | | | 14,484 | | | | | | 499,263 | | |
Life Storage, Inc. | | | | | 4,692 | | | | | | 508,050 | | |
National Health Investors, Inc. | | | | | 6,222 | | | | | | 506,969 | | |
National Retail Properties, Inc. | | | | | 9,078 | | | | | | 486,762 | | |
Omega Healthcare Investors, Inc. | | | | | 12,036 | | | | | | 509,725 | | |
Public Storage | | | | | 2,448 | | | | | | 521,326 | | |
Realty Income Corp. | | | | | 6,630 | | | | | | 488,167 | | |
STORE Capital Corp. | | | | | 12,546 | | | | | | 467,213 | | |
Sun Communities, Inc. | | | | | 3,060 | | | | | | 459,306 | | |
Ventas, Inc. | | | | | 8,670 | | | | | | 500,606 | | |
Welltower, Inc. | | | | | 6,018 | | | | | | 492,152 | | |
WP Carey, Inc. | | | | | 6,018 | | | | | | 481,681 | | |
| | | | | | | | | | | 8,992,012 | | |
Food & Staples Retailing – 0.4% | | ||||||||||||
Sprouts Farmers Market, Inc.* | | | | | 25,908 | | | | | | 501,320 | | |
|
Schedule of Investments
Investments | | | Number of Shares | | | Value | | ||||||
Food Products – 3.2% | | ||||||||||||
Bunge Ltd.(a) | | | | | 9,588 | | | | | $ | 551,789 | | |
Flowers Foods, Inc.(a) | | | | | 23,664 | | | | | | 514,455 | | |
Hershey Co. (The)(a) | | | | | 3,468 | | | | | | 509,727 | | |
Hormel Foods Corp.(a) | | | | | 11,322 | | | | | | 510,735 | | |
JM Smucker Co. (The) | | | | | 4,896 | | | | | | 509,821 | | |
Lamb Weston Holdings, Inc. | | | | | 6,120 | | | | | | 526,504 | | |
Lancaster Colony Corp. | | | | | 3,264 | | | | | | 522,566 | | |
| | | | | | | | | | | 3,645,597 | | |
Gas Utilities – 0.9% | | ||||||||||||
Atmos Energy Corp.(a) | | | | | 4,794 | | | | | | 536,257 | | |
Southwest Gas Holdings, Inc. | | | | | 6,732 | | | | | | 511,430 | | |
| | | | | | | | | | | 1,047,687 | | |
Health Care Equipment & Supplies – 4.1% | | ||||||||||||
Baxter International, Inc.(a) | | | | | 6,222 | | | | | | 520,284 | | |
DENTSPLY SIRONA, Inc. | | | | | 9,078 | | | | | | 513,724 | | |
Globus Medical, Inc., Class A*(a) | | | | | 9,078 | | | | | | 534,513 | | |
ICU Medical, Inc.* | | | | | 2,754 | | | | | | 515,328 | | |
Insulet Corp.* | | | | | 2,754 | | | | | | 471,485 | | |
LivaNova plc* | | | | | 6,120 | | | | | | 461,632 | | |
Medtronic plc | | | | | 4,590 | | | | | | 520,735 | | |
NuVasive, Inc.* | | | | | 7,038 | | | | | | 544,319 | | |
ResMed, Inc. | | | | | 3,366 | | | | | | 521,629 | | |
| | | | | | | | | | | 4,603,649 | | |
Health Care Providers & Services – 1.8% | | ||||||||||||
Anthem, Inc.(a) | | | | | 1,734 | | | | | | 523,720 | | |
Chemed Corp.(a) | | | | | 1,224 | | | | | | 537,654 | | |
Laboratory Corp. of America Holdings* | | | | | 2,958 | | | | | | 500,405 | | |
Quest Diagnostics, Inc.(a) | | | | | 4,794 | | | | | | 511,951 | | |
| | | | | | | | | | | 2,073,730 | | |
Hotels, Restaurants & Leisure – 2.7% | | ||||||||||||
Cracker Barrel Old Country Store, Inc.(a) | | | | | 3,366 | | | | | | 517,489 | | |
Darden Restaurants, Inc.(a) | | | | | 4,284 | | | | | | 466,999 | | |
Dunkin’ Brands Group, Inc.(a) | | | | | 6,732 | | | | | | 508,535 | | |
McDonald’s Corp. | | | | | 2,652 | | | | | | 524,062 | | |
Wendy’s Co. (The) | | | | | 23,664 | | | | | | 525,577 | | |
Yum! Brands, Inc. | | | | | 5,100 | | | | | | 513,723 | | |
| | | | | | | | | | | 3,056,385 | | |
Household Durables – 2.6% | | ||||||||||||
DR Horton, Inc.(a) | | | | | 9,180 | | | | | | 484,245 | | |
Helen of Troy Ltd.*(a) | | | | | 3,162 | | | | | | 568,496 | | |
Lennar Corp., Class A | | | | | 8,568 | | | | | | 478,009 | | |
NVR, Inc.* | | | | | 102 | | | | | | 388,458 | | |
PulteGroup, Inc. | | | | | 12,852 | | | | | | 498,658 | | |
Toll Brothers, Inc. | | | | | 12,546 | | | | | | 495,692 | | |
| | | | | | | | | | | 2,913,558 | | |
Industrial Conglomerates – 1.4% | | ||||||||||||
Carlisle Cos., Inc.(a) | | | | | 3,264 | | | | | | 528,246 | | |
Honeywell International, Inc.(a) | | | | | 2,856 | | | | | | 505,512 | | |
Roper Technologies, Inc. | | | | | 1,428 | | | | | | 505,840 | | |
| | | | | | | | | | | 1,539,598 | | |
Insurance – 8.2% | | ||||||||||||
Alleghany Corp.* | | | | | 612 | | | | | | 489,337 | | |
Arch Capital Group Ltd.*(a) | | | | | 12,138 | | | | | | 520,599 | | |
Investments | | | Number of Shares | | | Value | | ||||||
Arthur J Gallagher & Co.(a) | | | | | 5,508 | | | | | $ | 524,527 | | |
Assured Guaranty Ltd.(a) | | | | | 10,302 | | | | | | 505,004 | | |
Axis Capital Holdings Ltd.(a) | | | | | 8,670 | | | | | | 515,345 | | |
Brown & Brown, Inc.(a) | | | | | 13,464 | | | | | | 531,559 | | |
Chubb Ltd.(a) | | | | | 3,366 | | | | | | 523,951 | | |
Erie Indemnity Co., Class A(a) | | | | | 2,958 | | | | | | 491,028 | | |
Everest Re Group Ltd. | | | | | 1,938 | | | | | | 536,516 | | |
Fidelity National Financial, Inc.(a) | | | | | 10,710 | | | | | | 485,698 | | |
First American Financial Corp.(a) | | | | | 8,058 | | | | | | 469,942 | | |
Hanover Insurance Group, Inc. (The) | | | | | 3,774 | | | | | | 515,793 | | |
Hartford Financial Services Group, Inc. (The)(a) | | | | | 8,262 | | | | | | 502,082 | | |
Old Republic International Corp. | | | | | 22,440 | | | | | | 501,983 | | |
RenaissanceRe Holdings Ltd. | | | | | 2,652 | | | | | | 519,845 | | |
RLI Corp. | | | | | 5,508 | | | | | | 495,830 | | |
White Mountains Insurance Group Ltd. | | | | | 510 | | | | | | 568,910 | | |
WR Berkley Corp. | | | | | 7,446 | | | | | | 514,519 | | |
| | | | | | | | | | | 9,212,468 | | |
Interactive Media & Services – 1.0% | | ||||||||||||
IAC/InterActiveCorp* | | | | | 2,346 | | | | | | 584,412 | | |
Match Group, Inc.* | | | | | 7,242 | | | | | | 594,641 | | |
| | | | | | | | | | | 1,179,053 | | |
IT Services – 8.2% | | ||||||||||||
Akamai Technologies, Inc.*(a) | | | | | 5,916 | | | | | | 511,024 | | |
Amdocs Ltd.(a) | | | | | 7,344 | | | | | | 530,163 | | |
Automatic Data Processing, Inc.(a) | | | | | 2,958 | | | | | | 504,339 | | |
Black Knight, Inc.*(a) | | | | | 8,058 | | | | | | 519,580 | | |
Booz Allen Hamilton Holding Corp.(a) | | | | | 7,038 | | | | | | 500,613 | | |
Broadridge Financial Solutions, Inc.(a) | | | | | 4,182 | | | | | | 516,644 | | |
CACI International, Inc., Class A*(a) | | | | | 2,142 | | | | | | 535,479 | | |
CoreLogic, Inc.*(a) | | | | | 12,342 | | | | | | 539,469 | | |
Euronet Worldwide, Inc.*(a) | | | | | 3,264 | | | | | | 514,276 | | |
Fidelity National Information Services, Inc.(a) | | | | | 3,672 | | | | | | 510,738 | | |
Fiserv, Inc.*(a) | | | | | 4,386 | | | | | | 507,153 | | |
FleetCor Technologies, Inc.*(a) | | | | | 1,632 | | | | | | 469,559 | | |
Genpact Ltd.(a) | | | | | 12,546 | | | | | | 529,065 | | |
GoDaddy, Inc., Class A*(a) | | | | | 7,650 | | | | | | 519,588 | | |
Jack Henry & Associates, Inc. | | | | | 3,366 | | | | | | 490,325 | | |
MAXIMUS, Inc. | | | | | 6,834 | | | | | | 508,381 | | |
Paychex, Inc. | | | | | 5,916 | | | | | | 503,215 | | |
Western Union Co. (The) | | | | | 18,870 | | | | | | 505,339 | | |
| | | | | | | | | | | 9,214,950 | | |
Life Sciences Tools & Services – 0.5% | | ||||||||||||
Waters Corp.* | | | | | 2,244 | | | | | | 524,311 | | |
Machinery – 0.9% | | ||||||||||||
Graco, Inc.(a) | | | | | 10,506 | | | | | | 546,312 | | |
Ingersoll-Rand plc | | | | | 3,876 | | | | | | 515,198 | | |
| | | | | | | | | | | 1,061,510 | | |
Metals & Mining – 1.0% | | ||||||||||||
Newmont Goldcorp Corp. | | | | | 13,362 | | | | | | 580,579 | | |
Royal Gold, Inc. | | | | | 4,386 | | | | | | 536,188 | | |
| | | | | | | | | | | 1,116,767 | | |
Mortgage Real Estate Investment Trusts (REITs) – 3.7% | | ||||||||||||
AGNC Investment Corp.(a) | | | | | 29,580 | | | | | | 522,974 | | |
Schedule of Investments
Investments | | | Number of Shares | | | Value | | ||||||
Annaly Capital Management, Inc. | | | | | 55,182 | | | | | $ | 519,814 | | |
Blackstone Mortgage Trust, Inc., Class A(a) | | | | | 13,974 | | | | | | 520,112 | | |
Chimera Investment Corp.(a) | | | | | 25,092 | | | | | | 515,892 | | |
MFA Financial, Inc. | | | | | 66,708 | | | | | | 510,316 | | |
New Residential Investment Corp. | | | | | 32,844 | | | | | | 529,117 | | |
Starwood Property Trust, Inc. | | | | | 20,910 | | | | | | 519,823 | | |
Two Harbors Investment Corp. | | | | | 35,190 | | | | | | 514,478 | | |
| | | | | | | | | | | 4,152,526 | | |
Multiline Retail – 0.9% | | ||||||||||||
Dollar Tree, Inc.*(a) | | | | | 5,508 | | | | | | 518,027 | | |
Target Corp. | | | | | 4,080 | | | | | | 523,097 | | |
| | | | | | | | | | | 1,041,124 | | |
Multi-Utilities – 0.9% | | ||||||||||||
Dominion Energy, Inc.(a) | | | | | 6,120 | | | | | | 506,858 | | |
WEC Energy Group, Inc. | | | | | 5,712 | | | | | | 526,818 | | |
| | | | | | | | | | | 1,033,676 | | |
Oil, Gas & Consumable Fuels – 3.8% | | ||||||||||||
Cabot Oil & Gas Corp.(a) | | | | | 31,926 | | | | | | 555,832 | | |
Cheniere Energy, Inc.* | | | | | 8,364 | | | | | | 510,789 | | |
ConocoPhillips(a) | | | | | 8,568 | | | | | | 557,177 | | |
Kinder Morgan, Inc. | | | | | 26,112 | | | | | | 552,791 | | |
Occidental Petroleum Corp. | | | | | 13,158 | | | | | | 542,241 | | |
ONEOK, Inc. | | | | | 7,140 | | | | | | 540,284 | | |
Valero Energy Corp. | | | | | 5,304 | | | | | | 496,719 | | |
Williams Cos., Inc. (The) | | | | | 22,644 | | | | | | 537,116 | | |
| | | | | | | | | | | 4,292,949 | | |
Pharmaceuticals – 2.9% | | ||||||||||||
Bristol-Myers Squibb Co.(a) | | | | | 8,976 | | | | | | 576,169 | | |
Elanco Animal Health, Inc.*(a) | | | | | 18,462 | | | | | | 543,706 | | |
Eli Lilly & Co. | | | | | 4,386 | | | | | | 576,452 | | |
Horizon Therapeutics plc*(a) | | | | | 15,504 | | | | | | 561,245 | | |
Johnson & Johnson | | | | | 3,672 | | | | | | 535,635 | | |
Merck & Co., Inc. | | | | | 5,814 | | | | | | 528,783 | | |
| | | | | | | | | | | 3,321,990 | | |
Professional Services – 1.4% | | ||||||||||||
FTI Consulting, Inc.*(a) | | | | | 4,692 | | | | | | 519,217 | | |
IHS Markit Ltd.* | | | | | 7,038 | | | | | | 530,313 | | |
Verisk Analytics, Inc. | | | | | 3,468 | | | | | | 517,911 | | |
| | | | | | | | | | | 1,567,441 | | |
Road & Rail – 0.9% | | ||||||||||||
AMERCO | | | | | 1,428 | | | | | | 536,671 | | |
JB Hunt Transport Services, Inc. | | | | | 4,386 | | | | | | 512,197 | | |
| | | | | | | | | | | 1,048,868 | | |
Semiconductors & Semiconductor Equipment – 1.0% | | ||||||||||||
Cirrus Logic, Inc.*(a) | | | | | 7,140 | | | | | | 588,408 | | |
QUALCOMM, Inc. | | | | | 6,018 | | | | | | 530,968 | | |
| | | | | | | | | | | 1,119,376 | | |
Software – 3.2% | | ||||||||||||
CDK Global, Inc.(a) | | | | | 9,486 | | | | | | 518,694 | | |
Citrix Systems, Inc.(a) | | | | | 4,590 | | | | | | 509,031 | | |
LogMeIn, Inc. | | | | | 6,528 | | | | | | 559,711 | | |
Nuance Communications, Inc.* | | | | | 28,764 | | | | | | 512,862 | | |
Oracle Corp. | | | | | 9,078 | | | | | | 480,952 | | |
Investments | | | Number of Shares | | | Value | | ||||||
Palo Alto Networks, Inc.* | | | | | 2,244 | | | | | $ | 518,925 | | |
Tyler Technologies, Inc.* | | | | | 1,734 | | | | | | 520,235 | | |
| | | | | | | | | | | 3,620,410 | | |
Specialty Retail – 2.2% | | ||||||||||||
AutoNation, Inc.*(a) | | | | | 9,894 | | | | | | 481,145 | | |
AutoZone, Inc.*(a) | | | | | 408 | | | | | | 486,054 | | |
Murphy USA, Inc.* | | | | | 4,284 | | | | | | 501,228 | | |
O’Reilly Automotive, Inc.* | | | | | 1,122 | | | | | | 491,728 | | |
Williams-Sonoma, Inc. | | | | | 7,242 | | | | | | 531,853 | | |
| | | | | | | | | | | 2,492,008 | | |
Textiles, Apparel & Luxury Goods – 0.5% | | ||||||||||||
Columbia Sportswear Co.(a) | | | | | 5,508 | | | | | | 551,847 | | |
Trading Companies & Distributors – 0.9% | | ||||||||||||
HD Supply Holdings, Inc.*(a) | | | | | 12,750 | | | | | | 512,805 | | |
Watsco, Inc. | | | | | 2,856 | | | | | | 514,508 | | |
| | | | | | | | | | | 1,027,313 | | |
Water Utilities – 0.5% | | ||||||||||||
Aqua America, Inc. | | | | | 11,526 | | | | | | 541,030 | | |
Total Common Stocks (Cost $98,024,092) | | | | | | | | | | | 102,911,848 | | |
Total Long Positions (Cost $98,024,092) | | | | | | | | | | | 102,911,848 | | |
Short Positions – (94.2)% | | ||||||||||||
Common Stocks – (94.2)% | | ||||||||||||
Aerospace & Defense – (0.5)% | | ||||||||||||
Arconic, Inc. | | | | | (16,524) | | | | | | (508,443) | | |
Air Freight & Logistics – (0.4)% | | ||||||||||||
FedEx Corp. | | | | | (3,162) | | | | | | (478,126) | | |
Airlines – (0.5)% | | ||||||||||||
American Airlines Group, Inc. | | | | | (17,748) | | | | | | (509,013) | | |
Auto Components – (1.4)% | | ||||||||||||
Aptiv plc | | | | | (5,508) | | | | | | (523,095) | | |
BorgWarner, Inc. | | | | | (12,138) | | | | | | (526,547) | | |
Lear Corp. | | | | | (4,182) | | | | | | (573,770) | | |
| | | | | | | | | | | (1,623,412) | | |
Automobiles – (1.0)% | | ||||||||||||
Harley-Davidson, Inc. | | | | | (13,974) | | | | | | (519,693) | | |
Thor Industries, Inc. | | | | | (8,058) | | | | | | (598,629) | | |
| | | | | | | | | | | (1,118,322) | | |
Banks – (5.7)% | | ||||||||||||
Bank of America Corp. | | | | | (15,402) | | | | | | (542,458) | | |
Bank OZK | | | | | (17,136) | | | | | | (522,734) | | |
CIT Group, Inc. | | | | | (11,220) | | | | | | (511,969) | | |
Citigroup, Inc. | | | | | (6,834) | | | | | | (545,968) | | |
Citizens Financial Group, Inc. | | | | | (13,362) | | | | | | (542,631) | | |
East West Bancorp, Inc. | | | | | (11,220) | | | | | | (546,414) | | |
Hancock Whitney Corp. | | | | | (12,546) | | | | | | (550,518) | | |
PacWest Bancorp | | | | | (13,668) | | | | | | (523,074) | | |
Sterling Bancorp | | | | | (24,990) | | | | | | (526,789) | | |
SVB Financial Group* | | | | | (2,244) | | | | | | (563,334) | | |
TCF Financial Corp. | | | | | (12,036) | | | | | | (563,285) | | |
Schedule of Investments
Investments | | | Number of Shares | | | Value | | ||||||
Western Alliance Bancorp | | | | | (9,792) | | | | | $ | (558,144) | | |
| | | | | | | | | | | (6,497,318) | | |
Beverages – (1.4)% | | ||||||||||||
Constellation Brands, Inc., Class A | | | | | (2,754) | | | | | | (522,572) | | |
Molson Coors Brewing Co., Class B | | | | | (10,200) | | | | | | (549,780) | | |
Monster Beverage Corp.* | | | | | (8,568) | | | | | | (544,496) | | |
| | | | | | | | | | | (1,616,848) | | |
Biotechnology – (4.6)% | | ||||||||||||
Agios Pharmaceuticals, Inc.* | | | | | (13,056) | | | | | | (623,424) | | |
Alexion Pharmaceuticals, Inc.* | | | | | (4,488) | | | | | | (485,377) | | |
Alnylam Pharmaceuticals, Inc.* | | | | | (4,386) | | | | | | (505,136) | | |
Bluebird Bio, Inc.* | | | | | (6,222) | | | | | | (545,980) | | |
Blueprint Medicines Corp.* | | | | | (6,528) | | | | | | (522,958) | | |
Exact Sciences Corp.* | | | | | (6,426) | | | | | | (594,276) | | |
Sage Therapeutics, Inc.* | | | | | (3,366) | | | | | | (242,992) | | |
Sarepta Therapeutics, Inc.* | | | | | (4,590) | | | | | | (592,294) | | |
Seattle Genetics, Inc.* | | | | | (4,284) | | | | | | (489,490) | | |
Ultragenyx Pharmaceutical, Inc.* | | | | | (12,954) | | | | | | (553,265) | | |
| | | | | | | | | | | (5,155,192) | | |
Capital Markets – (4.1)% | | ||||||||||||
Affiliated Managers Group, Inc. | | | | | (6,018) | | | | | | (509,965) | | |
Ameriprise Financial, Inc. | | | | | (3,162) | | | | | | (526,726) | | |
E*TRADE Financial Corp. | | | | | (11,628) | | | | | | (527,562) | | |
Eaton Vance Corp. | | | | | (10,914) | | | | | | (509,575) | | |
Evercore, Inc., Class A | | | | | (6,630) | | | | | | (495,659) | | |
Franklin Resources, Inc. | | | | | (18,666) | | | | | | (484,943) | | |
Lazard Ltd., Class A | | | | | (13,362) | | | | | | (533,945) | | |
Northern Trust Corp. | | | | | (4,794) | | | | | | (509,315) | | |
Stifel Financial Corp. | | | | | (8,160) | | | | | | (494,904) | | |
| | | | | | | | | | | (4,592,594) | | |
Chemicals – (2.3)% | | ||||||||||||
Cabot Corp. | | | | | (11,016) | | | | | | (523,480) | | |
Eastman Chemical Co. | | | | | (6,528) | | | | | | (517,409) | | |
Huntsman Corp. | | | | | (22,440) | | | | | | (542,151) | | |
Ingevity Corp.* | | | | | (5,610) | | | | | | (490,202) | | |
Olin Corp. | | | | | (29,376) | | | | | | (506,736) | | |
| | | | | | | | | | | (2,579,978) | | |
Commercial Services & Supplies – (0.4)% | | ||||||||||||
Brink’s Co. (The) | | | | | (5,508) | | | | | | (499,465) | | |
Communications Equipment – (1.5)% | | ||||||||||||
Arista Networks, Inc.* | | | | | (2,652) | | | | | | (539,417) | | |
Ciena Corp.* | | | | | (13,566) | | | | | | (579,132) | | |
Lumentum Holdings, Inc.* | | | | | (6,936) | | | | | | (550,025) | | |
| | | | | | | | | | | (1,668,574) | | |
Construction & Engineering – (0.9)% | | ||||||||||||
Fluor Corp. | | | | | (29,580) | | | | | | (558,470) | | |
Quanta Services, Inc. | | | | | (12,342) | | | | | | (502,443) | | |
| | | | | | | | | | | (1,060,913) | | |
Consumer Finance – (1.4)% | | ||||||||||||
Capital One Financial Corp. | | | | | (5,202) | | | | | | (535,338) | | |
Discover Financial Services | | | | | (6,120) | | | | | | (519,098) | | |
Navient Corp. | | | | | (36,006) | | | | | | (492,562) | | |
| | | | | | | | | | | (1,546,998) | | |
|
Investments | | | Number of Shares | | | Value | | ||||||
Containers & Packaging – (0.5)% | | ||||||||||||
Westrock Co. | | | | | (12,750) | | | | | $ | (547,103) | | |
Diversified Financial Services – (0.9)% | | ||||||||||||
AXA Equitable Holdings, Inc. | | | | | (20,808) | | | | | | (515,622) | | |
Jefferies Financial Group, Inc. | | | | | (24,378) | | | | | | (520,958) | | |
| | | ��� | | | | | | | | (1,036,580) | | |
Electric Utilities – (0.5)% | | ||||||||||||
PPL Corp. | | | | | (14,994) | | | | | | (537,985) | | |
Electrical Equipment – (1.4)% | | ||||||||||||
Acuity Brands, Inc. | | | | | (3,876) | | | | | | (534,888) | | |
EnerSys | | | | | (7,242) | | | | | | (541,919) | | |
Generac Holdings, Inc.* | | | | | (5,304) | | | | | | (533,529) | | |
| | | | | | | | | | | (1,610,336) | | |
Electronic Equipment, Instruments & Components – (2.4)% | | ||||||||||||
Belden, Inc. | | | | | (9,384) | | | | | | (516,120) | | |
Cognex Corp. | | | | | (10,200) | | | | | | (571,608) | | |
Coherent, Inc.* | | | | | (3,366) | | | | | | (559,934) | | |
IPG Photonics Corp.* | | | | | (3,570) | | | | | | (517,364) | | |
Zebra Technologies Corp., Class A* | | | | | (2,040) | | | | | | (521,098) | | |
| | | | | | | | | | | (2,686,124) | | |
Energy Equipment & Services – (1.6)% | | ||||||||||||
Core Laboratories NV | | | | | (11,832) | | | | | | (445,711) | | |
Patterson-UTI Energy, Inc. | | | | | (58,140) | | | | | | (610,470) | | |
Transocean Ltd.* | | | | | (104,346) | | | | | | (717,901) | | |
| | | | | | | | | | | (1,774,082) | | |
Entertainment – (0.5)% | | ||||||||||||
Netflix, Inc.* | | | | | (1,632) | | | | | | (528,066) | | |
Equity Real Estate Investment Trusts (REITs) – (7.0)% | | ||||||||||||
Boston Properties, Inc. | | | | | (3,672) | | | | | | (506,222) | | |
Brixmor Property Group, Inc. | | | | | (23,154) | | | | | | (500,358) | | |
Colony Capital, Inc. | | | | | (106,182) | | | | | | (504,364) | | |
Host Hotels & Resorts, Inc. | | | | | (29,376) | | | | | | (544,925) | | |
Lamar Advertising Co., Class A | | | | | (6,120) | | | | | | (546,271) | | |
Macerich Co. (The) | | | | | (18,972) | | | | | | (510,726) | | |
Outfront Media, Inc. | | | | | (20,502) | | | | | | (549,864) | | |
Park Hotels & Resorts, Inc. | | | | | (21,726) | | | | | | (562,052) | | |
Pebblebrook Hotel Trust | | | | | (19,584) | | | | | | (525,047) | | |
PotlatchDeltic Corp. | | | | | (11,730) | | | | | | (507,557) | | |
Rayonier, Inc. | | | | | (16,728) | | | | | | (548,009) | | |
RLJ Lodging Trust | | | | | (29,988) | | | | | | (531,387) | | |
SL Green Realty Corp. | | | | | (6,018) | | | | | | (552,934) | | |
Taubman Centers, Inc. | | | | | (15,810) | | | | | | (491,533) | | |
Weyerhaeuser Co. | | | | | (17,340) | | | | | | (523,668) | | |
| | | | | | | | | | | (7,904,917) | | |
Food & Staples Retailing – (0.5)% | | ||||||||||||
Walgreens Boots Alliance, Inc. | | | | | (8,670) | | | | | | (511,183) | | |
Food Products – (1.5)% | | ||||||||||||
Conagra Brands, Inc. | | | | | (17,646) | | | | | | (604,199) | | |
Darling Ingredients, Inc.* | | | | | (21,726) | | | | | | (610,066) | | |
Post Holdings, Inc.* | | | | | (4,896) | | | | | | (534,154) | | |
| | | | | | | | | | | (1,748,419) | | |
Gas Utilities – (1.4)% | | ||||||||||||
New Jersey Resources Corp. | | | | | (12,036) | | | | | | (536,444) | | |
Schedule of Investments
Investments | | | Number of Shares | | | Value | | ||||||
South Jersey Industries, Inc. | | | | | (16,524) | | | | | $ | (544,962) | | |
Spire, Inc. | | | | | (6,630) | | | | | | (552,345) | | |
| | | | | | | | | | | (1,633,751) | | |
Health Care Equipment & Supplies – (0.9)% | | ||||||||||||
ABIOMED, Inc.* | | | | | (2,652) | | | | | | (452,405) | | |
Intuitive Surgical, Inc.* | | | | | (918) | | | | | | (542,676) | | |
| | | | | | | | | | | (995,081) | | |
Health Care Providers & Services – (2.0)% | | ||||||||||||
Acadia Healthcare Co., Inc.* | | | | | (15,912) | | | | | | (528,597) | | |
DaVita, Inc.* | | | | | (7,140) | | | | | | (535,714) | | |
HealthEquity, Inc.* | | | | | (8,262) | | | | | | (611,967) | | |
Tenet Healthcare Corp.* | | | | | (15,810) | | | | | | (601,254) | | |
| | | | | | | | | | | (2,277,532) | | |
Health Care Technology – (0.4)% | | ||||||||||||
Teladoc Health, Inc.* | | | | | (6,018) | | | | | | (503,827) | | |
Hotels, Restaurants & Leisure – (2.4)% | | ||||||||||||
Hilton Grand Vacations, Inc.* | | | | | (14,790) | | | | | | (508,628) | | |
Las Vegas Sands Corp. | | | | | (8,160) | | | | | | (563,366) | | |
Marriott Vacations Worldwide Corp. | | | | | (4,080) | | | | | | (525,341) | | |
MGM Resorts International | | | | | (16,014) | | | | | | (532,786) | | |
Wynn Resorts Ltd. | | | | | (4,284) | | | | | | (594,919) | | |
| | | | | | | | | | | (2,725,040) | | |
Independent Power and Renewable Electricity Producers – (1.3)% | | ||||||||||||
AES Corp. | | | | | (27,336) | | | | | | (543,987) | | |
NRG Energy, Inc. | | | | | (13,056) | | | | | | (518,976) | | |
Vistra Energy Corp. | | | | | (19,584) | | | | | | (450,236) | | |
| | | | | | | | | | | (1,513,199) | | |
Insurance – (2.2)% | | ||||||||||||
Brighthouse Financial, Inc.* | | | | | (12,444) | | | | | | (488,178) | | |
Lincoln National Corp. | | | | | (8,670) | | | | | | (511,617) | | |
Principal Financial Group, Inc. | | | | | (9,384) | | | | | | (516,120) | | |
Prudential Financial, Inc. | | | | | (5,508) | | | | | | (516,320) | | |
Unum Group | | | | | (16,626) | | | | | | (484,814) | | |
| | | | | | | | | | | (2,517,049) | | |
Interactive Media & Services – (1.5)% | | ||||||||||||
Snap, Inc., Class A* | | | | | (33,660) | | | | | | (549,668) | | |
TripAdvisor, Inc. | | | | | (18,054) | | | | | | (548,480) | | |
Zillow Group, Inc., Class C* | | | | | (13,158) | | | | | | (604,479) | | |
| | | | | | | | | | | (1,702,627) | | |
Internet & Direct Marketing Retail – (1.9)% | | ||||||||||||
Amazon.com, Inc.* | | | | | (306) | | | | | | (565,439) | | |
Etsy, Inc.* | | | | | (11,730) | | | | | | (519,639) | | |
Qurate Retail, Inc., Series A* | | | | | (55,080) | | | | | | (464,324) | | |
Wayfair, Inc., Class A* | | | | | (6,018) | | | | | | (543,847) | | |
| | | | | | | | | | | (2,093,249) | | |
IT Services – (2.6)% | | ||||||||||||
DXC Technology Co. | | | | | (13,872) | | | | | | (521,449) | | |
KBR, Inc. | | | | | (17,136) | | | | | | (522,648) | | |
MongoDB, Inc.* | | | | | (3,468) | | | | | | (456,423) | | |
Okta, Inc.* | | | | | (3,876) | | | | | | (447,174) | | |
Square, Inc., Class A* | | | | | (7,446) | | | | | | (465,822) | | |
Investments | | | Number of Shares | | | Value | | ||||||
Twilio, Inc., Class A* | | | | | (4,998) | | | | | $ | (491,203) | | |
| | | | | | | | | | | (2,904,719) | | |
Leisure Products – (1.0)% | | ||||||||||||
Mattel, Inc.* | | | | | (43,656) | | | | | | (591,539) | | |
Polaris, Inc. | | | | | (5,202) | | | | | | (529,043) | | |
| | | | | | | | | | | (1,120,582) | | |
Life Sciences Tools & Services – (1.4)% | | ||||||||||||
Illumina, Inc.* | | | | | (1,632) | | | | | | (541,400) | | |
PRA Health Sciences, Inc.* | | | | | (4,692) | | | | | | (521,516) | | |
Syneos Health, Inc.* | | | | | (9,384) | | | | | | (558,113) | | |
| | | | | | | | | | | (1,621,029) | | |
Machinery – (5.2)% | | ||||||||||||
Caterpillar, Inc. | | | | | (3,570) | | | | | | (527,218) | | |
Colfax Corp.* | | | | | (15,198) | | | | | | (552,903) | | |
Donaldson Co., Inc. | | | | | (9,180) | | | | | | (528,952) | | |
Flowserve Corp. | | | | | (10,608) | | | | | | (527,960) | | |
Kennametal, Inc. | | | | | (14,790) | | | | | | (545,603) | | |
Oshkosh Corp. | | | | | (5,610) | | | | | | (530,986) | | |
Parker-Hannifin Corp. | | | | | (2,550) | | | | | | (524,841) | | |
Stanley Black & Decker, Inc. | | | | | (3,264) | | | | | | (540,975) | | |
Terex Corp. | | | | | (18,258) | | | | | | (543,723) | | |
Timken Co. (The) | | | | | (9,792) | | | | | | (551,388) | | |
Westinghouse Air Brake Technologies Corp. | | | | | (6,630) | | | | | | (515,814) | | |
| | | | | | | | | | | (5,890,363) | | |
Media – (2.0)% | | ||||||||||||
DISH Network Corp., Class A* | | | | | (15,198) | | | | | | (539,073) | | |
Liberty Broadband Corp., Class C* | | | | | (4,284) | | | | | | (538,713) | | |
Liberty Latin America Ltd., Class C* | | | | | (29,274) | | | | | | (569,672) | | |
Nexstar Media Group, Inc., Class A | | | | | (4,794) | | | | | | (562,097) | | |
| | | | | | | | | | | (2,209,555) | | |
Metals & Mining – (1.9)% | | ||||||||||||
Alcoa Corp.* | | | | | (25,398) | | | | | | (546,311) | | |
Allegheny Technologies, Inc.* | | | | | (22,440) | | | | | | (463,610) | | |
Carpenter Technology Corp. | | | | | (9,792) | | | | | | (487,446) | | |
Freeport-McMoRan, Inc. | | | | | (45,288) | | | | | | (594,179) | | |
| | | | | | | | | | | (2,091,546) | | |
Multi-Utilities – (1.4)% | | ||||||||||||
Avista Corp. | | | | | (10,812) | | | | | | (519,949) | | |
MDU Resources Group, Inc. | | | | | (17,646) | | | | | | (524,263) | | |
Public Service Enterprise Group, Inc. | | | | | (8,670) | | | | | | (511,963) | | |
| | | | | | | | | | | (1,556,175) | | |
Oil, Gas & Consumable Fuels – (2.7)% | | ||||||||||||
Concho Resources, Inc. | | | | | (7,038) | | | | | | (616,317) | | |
Continental Resources, Inc. | | | | | (16,626) | | | | | | (570,272) | | |
Delek US Holdings, Inc. | | | | | (14,892) | | | | | | (499,329) | | |
Devon Energy Corp. | | | | | (23,562) | | | | | | (611,905) | | |
WPX Energy, Inc.* | | | | | (52,020) | | | | | | (714,755) | | |
| | | | | | | | | | | (3,012,578) | | |
Personal Products – (0.9)% | | ||||||||||||
Coty, Inc., Class A | | | | | (44,676) | | | | | | (502,605) | | |
Nu Skin Enterprises, Inc., Class A | | | | | (13,362) | | | | | | (547,575) | | |
| | | | | | | | | | | (1,050,180) | | |
|
Schedule of Investments
Investments | | | Number of Shares | | | Value | | ||||||
Pharmaceuticals – (0.9)% | | ||||||||||||
Nektar Therapeutics* | | | | | (24,990) | | | | | $ | (539,409) | | |
Perrigo Co. plc | | | | | (10,098) | | | | | | (521,663) | | |
| | | | | | | | | | | (1,061,072) | | |
Professional Services – (1.0)% | | ||||||||||||
Insperity, Inc. | | | | | (6,630) | | | | | | (570,445) | | |
TriNet Group, Inc.* | | | | | (9,384) | | | | | | (531,228) | | |
| | | | | | | | | | | (1,101,673) | | |
Real Estate Management & Development – (1.5)% | | ||||||||||||
CBRE Group, Inc., Class A* | | | | | (8,976) | | | | | | (550,139) | | |
Howard Hughes Corp. (The)* | | | | | (4,692) | | | | | | (594,946) | | |
Jones Lang LaSalle, Inc. | | | | | (3,060) | | | | | | (532,715) | | |
| | | | | | | | | | | (1,677,800) | | |
Road & Rail – (0.9)% | | ||||||||||||
Knight-Swift Transportation Holdings, Inc. | | | | | (13,668) | | | | | | (489,861) | | |
Ryder System, Inc. | | | | | (9,792) | | | | | | (531,804) | | |
| | | | | | | | | | | (1,021,665) | | |
Semiconductors & Semiconductor Equipment – (3.0)% | | ||||||||||||
Advanced Micro Devices, Inc.* | | | | | (13,056) | | | | | | (598,748) | | |
Micron Technology, Inc.* | | | | | (10,812) | | | | | | (581,470) | | |
MKS Instruments, Inc. | | | | | (4,794) | | | | | | (527,388) | | |
NVIDIA Corp. | | | | | (2,346) | | | | | | (552,014) | | |
ON Semiconductor Corp.* | | | | | (23,664) | | | | | | (576,928) | | |
Semtech Corp.* | | | | | (10,608) | | | | | | (561,163) | | |
| | | | | | | | | | | (3,397,711) | | |
Software – (4.4)% | | ||||||||||||
Alteryx, Inc., Class A* | | | | | (4,590) | | | | | | (459,321) | | |
Autodesk, Inc.* | | | | | (2,856) | | | | | | (523,962) | | |
Coupa Software, Inc.* | | | | | (3,366) | | | | | | (492,277) | | |
HubSpot, Inc.* | | | | | (3,366) | | | | | | (533,511) | | |
New Relic, Inc.* | | | | | (7,446) | | | | | | (489,277) | | |
Nutanix, Inc., Class A* | | | | | (14,280) | | | | | | (446,393) | | |
salesforce.com, Inc.* | | | | | (3,162) | | | | | | (514,268) | | |
Splunk, Inc.* | | | | | (3,468) | | | | | | (519,402) | | |
Trade Desk, Inc. (The), Class A* | | | | | (1,938) | | | | | | (503,454) | | |
Zendesk, Inc.* | | | | | (6,426) | | | | | | (492,424) | | |
| | | | | | | | | | | (4,974,289) | | |
Specialty Retail – (1.3)% | | ||||||||||||
Carvana Co.* | | | | | (5,406) | | | | | | (497,622) | | |
Five Below, Inc.* | | | | | (4,182) | | | | | | (534,711) | | |
L Brands, Inc. | | | | | (26,928) | | | | | | (487,935) | | |
| | | | | | | | | | | (1,520,268) | | |
|
Investments | | | Number of Shares | | | Value | | ||||||
Technology Hardware, Storage & Peripherals – (0.9)% | | ||||||||||||
Pure Storage, Inc., Class A* | | | | | (31,722) | | | | | $ | (542,764) | | |
Xerox Holdings Corp. | | | | | (13,260) | | | | | | (488,896) | | |
| | | | | | | | | | | (1,031,660) | | |
Textiles, Apparel & Luxury Goods – (2.4)% | | ||||||||||||
Hanesbrands, Inc. | | | | | (33,762) | | | | | | (501,366) | | |
Lululemon Athletica, Inc.* | | | | | (2,244) | | | | | | (519,867) | | |
PVH Corp. | | | | | (5,304) | | | | | | (557,716) | | |
Skechers U.S.A., Inc., Class A* | | | | | (12,750) | | | | | | (550,672) | | |
Under Armour, Inc., Class A* | | | | | (27,030) | | | | | | (583,848) | | |
| | | | | | | | | | | (2,713,469) | | |
Tobacco – (0.5)% | | ||||||||||||
Philip Morris International, Inc. | | | | | (6,222) | | | | | | (529,430) | | |
Trading Companies & Distributors – (1.4)% | | ||||||||||||
Air Lease Corp. | | | | | (11,118) | | | | | | (528,327) | | |
United Rentals, Inc.* | | | | | (3,366) | | | | | | (561,348) | | |
Univar Solutions, Inc.* | | | | | (21,828) | | | | | | (529,111) | | |
| | | | | | | | | | | (1,618,786) | | |
Total Common Stocks (Proceeds $(102,793,893)) | | | | | | | | | | | (106,405,896) | | |
Total Short Positions (Proceeds $(102,793,893)) | | | | | | | | | | | (106,405,896) | | |
Total Investments – (3.1)% (Cost $(4,769,801)) | | | | | | | | | | | (3,494,048) | | |
Other Assets Less Liabilities – 103.1% | | | | | | | | | | | 116,509,961 | | |
Net Assets – 100.0% | | | | | | | | | | $ | 113,015,913 | | |
|
| Aggregate gross unrealized appreciation | | | | $ | 8,769,887 | | |
| Aggregate gross unrealized depreciation | | | | | (12,973,624) | | |
| Net unrealized depreciation | | | | $ | (4,203,737) | | |
| Federal income tax cost of investments (including derivative contracts, if any) | | | | $ | 167,297 | | |
Schedule of Investments
| Notional Amount | | | Termination Date(1) | | | Counterparty | | | Rate Paid (Received)(2) | | | Payment Frequency | | | Underlying Instrument(3) | | | Value and Unrealized Appreciation/ (Depreciation)(4) | | | Cash Collateral (Received) Pledged | | | Net Amount(5) | | |||||||||||||||
| 14,075,497 USD | | | | | 9/30/2021 | | | | Morgan Stanley | | | | | 2.11% | | | | Monthly | | | Dow Jones U.S. Low Beta Total Return Index(6) | | | | $ | 679,507 | | | | | $ | — | | | | | $ | 679,507 | | |
| (12,908,814) USD | | | | | 9/30/2021 | | | | Morgan Stanley | | | | | (1.36)% | | | | Monthly | | | Dow Jones U.S. High Beta Total Return Index(7) | | | | | (1,221,899) | | | | | | 1,221,899(8) | | | | | | — | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | (542,392) | | | | | | | | | | | $ | 679,507 | | |
Abbreviations | | | ||
USD | | | US Dollar | |
Schedule of Investments
Investments | | | Number of Shares | | | Value | | ||||||
Long Positions – 98.2% | | ||||||||||||
Common Stocks – 92.3% | | ||||||||||||
Air Freight & Logistics – 1.0% | | ||||||||||||
United Parcel Service, Inc., Class B | | | | | 408 | | | | | $ | 47,760 | | |
Automobiles – 1.9% | | ||||||||||||
General Motors Co.(a) | | | | | 1,300 | | | | | | 47,580 | | |
Harley-Davidson, Inc.(a) | | | | | 1,272 | | | | | | 47,306 | | |
| | | | | | | | | | | 94,886 | | |
Banks – 2.9% | | ||||||||||||
PacWest Bancorp | | | | | 1,240 | | | | | | 47,455 | | |
People’s United Financial, Inc. | | | | | 2,828 | | | | | | 47,793 | | |
Umpqua Holdings Corp. | | | | | 2,688 | | | | | | 47,578 | | |
| | | | | | | | | | | 142,826 | | |
Beverages – 2.0% | | ||||||||||||
Coca-Cola Co. (The) | | | | | 864 | | | | | | 47,822 | | |
Molson Coors Brewing Co., Class B | | | | | 884 | | | | | | 47,648 | | |
| | | | | | | | | | | 95,470 | | |
Biotechnology – 2.0% | | ||||||||||||
AbbVie, Inc.(a) | | | | | 540 | | | | | | 47,812 | | |
Gilead Sciences, Inc.(a) | | | | | 736 | | | | | | 47,825 | | |
| | | | | | | | | | | 95,637 | | |
Capital Markets – 1.0% | | ||||||||||||
Apollo Global Management, Inc.(a) | | | | | 1,000 | | | | | | 47,710 | | |
Communications Equipment – 1.0% | | ||||||||||||
Juniper Networks, Inc. | | | | | 1,936 | | | | | | 47,684 | | |
Consumer Finance – 1.0% | | ||||||||||||
Navient Corp. | | | | | 3,492 | | | | | | 47,771 | | |
Containers & Packaging – 1.9% | | ||||||||||||
International Paper Co.(a) | | | | | 1,036 | | | | | | 47,708 | | |
Westrock Co. | | | | | 1,112 | | | | | | 47,716 | | |
| | | | | | | | | | | 95,424 | | |
Diversified Consumer Services – 1.0% | | ||||||||||||
H&R Block, Inc.(a) | | | | | 2,020 | | | | | | 47,430 | | |
Diversified Telecommunication Services – 2.0% | | ||||||||||||
AT&T, Inc. | | | | | 1,220 | | | | | | 47,678 | | |
Verizon Communications, Inc. | | | | | 788 | | | | | | 48,383 | | |
| | | | | | | | | | | 96,061 | | |
Electric Utilities – 7.9% | | ||||||||||||
Duke Energy Corp.(a) | | | | | 524 | | | | | | 47,794 | | |
Edison International(a) | | | | | 632 | | | | | | 47,659 | | |
Exelon Corp. | | | | | 1,048 | | | | | | 47,778 | | |
FirstEnergy Corp. | | | | | 984 | | | | | | 47,823 | | |
OGE Energy Corp. | | | | | 1,072 | | | | | | 47,672 | | |
Pinnacle West Capital Corp. | | | | | 532 | | | | | | 47,843 | | |
PPL Corp. | | | | | 1,332 | | | | | | 47,792 | | |
Southern Co. (The) | | | | | 752 | | | | | | 47,902 | | |
| | | | | | | | | | | 382,263 | | |
|
Investments | | | Number of Shares | | | Value | | ||||||
Energy Equipment & Services – 1.0% | | ||||||||||||
Baker Hughes Co.(a) | | | | | 1,868 | | | | | $ | 47,877 | ��� | |
Entertainment – 1.0% | | ||||||||||||
Cinemark Holdings, Inc. | | | | | 1,404 | | | | | | 47,525 | | |
Equity Real Estate Investment Trusts (REITs) – 9.8% | | ||||||||||||
Apartment Investment & Management Co., Class A | | | | | 928 | | | | | | 47,931 | | |
Apple Hospitality REIT, Inc.(a) | | | | | 2,924 | | | | | | 47,515 | | |
EPR Properties(a) | | | | | 676 | | | | | | 47,753 | | |
Gaming and Leisure Properties, Inc.(a) | | | | | 1,104 | | | | | | 47,527 | | |
Iron Mountain, Inc.(a) | | | | | 1,496 | | | | | | 47,677 | | |
Omega Healthcare Investors, Inc. | | | | | 1,136 | | | | | | 48,110 | | |
Outfront Media, Inc. | | | | | 1,780 | | | | | | 47,740 | | |
Sabra Health Care REIT, Inc. | | | | | 2,244 | | | | | | 47,887 | | |
Service Properties Trust | | | | | 1,952 | | | | | | 47,492 | | |
Weingarten Realty Investors | | | | | 1,524 | | | | | | 47,610 | | |
| | | | | | | | | | | 477,242 | | |
Food Products – 4.9% | | ||||||||||||
Archer-Daniels-Midland Co.(a) | | | | | 1,028 | | | | | | 47,648 | | |
Flowers Foods, Inc. | | | | | 2,192 | | | | | | 47,654 | | |
General Mills, Inc.(a) | | | | | 896 | | | | | | 47,989 | | |
JM Smucker Co. (The) | | | | | 460 | | | | | | 47,900 | | |
Kellogg Co. | | | | | 688 | | | | | | 47,582 | | |
| | | | | | | | | | | 238,773 | | |
Gas Utilities – 1.0% | | ||||||||||||
National Fuel Gas Co. | | | | | 1,012 | | | | | | 47,098 | | |
Health Care Providers & Services – 1.0% | | ||||||||||||
Cardinal Health, Inc.(a) | | | | | 944 | | | | | | 47,747 | | |
Hotels, Restaurants & Leisure – 1.0% | | ||||||||||||
Las Vegas Sands Corp. | | | | | 688 | | | | | | 47,500 | | |
Household Durables – 1.9% | | ||||||||||||
Newell Brands, Inc. | | | | | 2,472 | | | | | | 47,512 | | |
Whirlpool Corp. | | | | | 324 | | | | | | 47,800 | | |
| | | | | | | | | | | 95,312 | | |
Independent Power and Renewable Electricity Producers – 1.0% | | ||||||||||||
NextEra Energy Partners LP | | | | | 908 | | | | | | 47,806 | | |
Industrial Conglomerates – 1.0% | | ||||||||||||
3M Co. | | | | | 272 | | | | | | 47,986 | | |
Insurance – 3.9% | | ||||||||||||
CNA Financial Corp. | | | | | 1,064 | | | | | | 47,678 | | |
Hanover Insurance Group, Inc. (The) | | | | | 348 | | | | | | 47,561 | | |
Old Republic International Corp. | | | | | 2,128 | | | | | | 47,603 | | |
Prudential Financial, Inc. | | | | | 508 | | | | | | 47,620 | | |
| | | | | | | | | | | 190,462 | | |
IT Services – 1.0% | | ||||||||||||
International Business Machines Corp.(a) | | | | | 356 | | | | | | 47,718 | | |
Machinery – 1.0% | | ||||||||||||
PACCAR, Inc. | | | | | 604 | | | | | | 47,776 | | |
|
Schedule of Investments
Investments | | | Number of Shares | | | Value | | ||||||
Media – 1.9% | | ||||||||||||
Interpublic Group of Cos., Inc. (The) | | | | | 2,068 | | | | | $ | 47,771 | | |
Omnicom Group, Inc. | | | | | 588 | | | | | | 47,640 | | |
| | | | | | | | | | | 95,411 | | |
Metals & Mining – 1.0% | | ||||||||||||
Newmont Goldcorp Corp. | | | | | 1,092 | | | | | | 47,447 | | |
Mortgage Real Estate Investment Trusts (REITs) – 4.9% | | ||||||||||||
Blackstone Mortgage Trust, Inc., Class A(a) | | | | | 1,272 | | | | | | 47,344 | | |
Chimera Investment Corp.(a) | | | | | 2,316 | | | | | | 47,617 | | |
MFA Financial, Inc. | | | | | 6,212 | | | | | | 47,522 | | |
New Residential Investment Corp. | | | | | 2,956 | | | | | | 47,621 | | |
Starwood Property Trust, Inc. | | | | | 1,916 | | | | | | 47,631 | | |
| | | | | | | | | | | 237,735 | | |
Multiline Retail – 1.0% | | ||||||||||||
Nordstrom, Inc. | | | | | 1,172 | | | | | | 47,970 | | |
Multi-Utilities – 3.9% | | ||||||||||||
CenterPoint Energy, Inc.(a) | | | | | 1,752 | | | | | | 47,777 | | |
Consolidated Edison, Inc.(a) | | | | | 528 | | | | | | 47,768 | | |
Dominion Energy, Inc. | | | | | 576 | | | | | | 47,704 | | |
NorthWestern Corp. | | | | | 664 | | | | | | 47,589 | | |
| | | | | | | | | | | 190,838 | | |
Oil, Gas & Consumable Fuels – 11.8% | | ||||||||||||
Chevron Corp.(a) | | | | | 400 | | | | | | 48,204 | | |
CVR Energy, Inc.(a) | | | | | 1,180 | | | | | | 47,708 | | |
Exxon Mobil Corp. | | | | | 684 | | | | | | 47,730 | | |
Kinder Morgan, Inc.(a) | | | | | 2,260 | | | | | | 47,844 | | |
Marathon Petroleum Corp. | | | | | 796 | | | | | | 47,959 | | |
Murphy Oil Corp. | | | | | 1,788 | | | | | | 47,918 | | |
ONEOK, Inc. | | | | | 632 | | | | | | 47,824 | | |
PBF Energy, Inc., Class A | | | | | 1,520 | | | | | | 47,682 | | |
Tallgrass Energy LP, Class A | | | | | 2,152 | | | | | | 47,602 | | |
Targa Resources Corp. | | | | | 1,172 | | | | | | 47,853 | | |
Valero Energy Corp. | | | | | 508 | | | | | | 47,574 | | |
Williams Cos., Inc. (The) | | | | | 2,032 | | | | | | 48,199 | | |
| | | | | | | | | | | 574,097 | | |
Pharmaceuticals – 1.0% | | ||||||||||||
Pfizer, Inc. | | | | | 1,224 | | | | | | 47,956 | | |
Professional Services – 1.0% | | ||||||||||||
ManpowerGroup, Inc. | | | | | 488 | | | | | | 47,385 | | |
Semiconductors & Semiconductor Equipment – 1.0% | | ||||||||||||
Broadcom, Inc.(a) | | | | | 152 | | | | | | 48,035 | | |
Specialty Retail – 1.0% | | ||||||||||||
Foot Locker, Inc.(a) | | | | | 1,220 | | | | | | 47,568 | | |
Technology Hardware, Storage & Peripherals – 2.0% | | ||||||||||||
HP, Inc.(a) | | | | | 2,328 | | | | | | 47,841 | | |
Western Digital Corp. | | | | | 756 | | | | | | 47,983 | | |
| | | | | | | | | | | 95,824 | | |
|
Investments | | | Number of Shares | | | Value | | ||||||
Textiles, Apparel & Luxury Goods – 1.9% | | ||||||||||||
Hanesbrands, Inc.(a) | | | | | 3,192 | | | | | $ | 47,401 | | |
Tapestry, Inc. | | | | | 1,772 | | | | | | 47,791 | | |
| | | | | | | | | | | 95,192 | | |
Thrifts & Mortgage Finance – 1.0% | | ||||||||||||
New York Community Bancorp, Inc. | | | | | 3,984 | | | | | | 47,888 | | |
Tobacco – 1.9% | | ||||||||||||
Altria Group, Inc. | | | | | 956 | | | | | | 47,714 | | |
Philip Morris International, Inc. | | | | | 560 | | | | | | 47,650 | | |
| | | | | | | | | | | 95,364 | | |
Trading Companies & Distributors – 1.9% | | ||||||||||||
MSC Industrial Direct Co., Inc., Class A | | | | | 608 | | | | | | 47,710 | | |
Watsco, Inc. | | | | | 264 | | | | | | 47,559 | | |
| | | | | | | | | | | 95,269 | | |
Total Common Stocks (Cost $4,289,621) | | | | | | | | | | | 4,485,723 | | |
Master Limited Partnerships – 5.9% | | ||||||||||||
Industrial Conglomerates – 0.9% | | ||||||||||||
Icahn Enterprises LP | | | | | 768 | | | | | | 47,232 | | |
Oil, Gas & Consumable Fuels – 5.0% | | ||||||||||||
Cheniere Energy Partners LP | | | | | 1,208 | | | | | | 48,091 | | |
Energy Transfer LP(a) | | | | | 3,740 | | | | | | 47,984 | | |
Enterprise Products Partners LP | | | | | 1,708 | | | | | | 48,097 | | |
Magellan Midstream Partners LP | | | | | 768 | | | | | | 48,284 | | |
Shell Midstream Partners LP | | | | | 2,360 | | | | | | 47,696 | | |
| | | | | | | | | | | 240,152 | | |
Total Master Limited Partnerships (Cost $294,641) | | | | | | | | | | | 287,384 | | |
Total Long Positions (Cost $4,584,262) | | | | | | | | | | | 4,773,107 | | |
Short Positions – (49.0)% | | ||||||||||||
Common Stocks – (48.0)% | | ||||||||||||
Aerospace & Defense – (0.3)% | | ||||||||||||
Teledyne Technologies, Inc.* | | | | | (36) | | | | | | (12,475) | | |
Air Freight & Logistics – (0.2)% | | ||||||||||||
XPO Logistics, Inc.* | | | | | (148) | | | | | | (11,796) | | |
Airlines – (0.3)% | | ||||||||||||
United Airlines Holdings, Inc.* | | | | | (136) | | | | | | (11,980) | | |
Automobiles – (0.2)% | | ||||||||||||
Tesla, Inc.* | | | | | (28) | | | | | | (11,713) | | |
Banks – (2.2)% | | ||||||||||||
Commerce Bancshares, Inc. | | | | | (176) | | | | | | (11,957) | | |
First Citizens BancShares, Inc., Class A | | | | | (24) | | | | | | (12,773) | | |
First Financial Bankshares, Inc. | | | | | (336) | | | | | | (11,794) | | |
First Republic Bank | | | | | (100) | | | | | | (11,745) | | |
Pinnacle Financial Partners, Inc. | | | | | (184) | | | | | | (11,776) | | |
Sterling Bancorp | | | | | (564) | | | | | | (11,889) | | |
SVB Financial Group* | | | | | (48) | | | | | | (12,050) | | |
Schedule of Investments
Investments | | | Number of Shares | | | Value | | ||||||
Western Alliance Bancorp | | | | | (208) | | | | | $ | (11,856) | | |
Wintrust Financial Corp. | | | | | (168) | | | | | | (11,911) | | |
| | | | | | | | | | | (107,751) | | |
Beverages – (1.0)% | | ||||||||||||
Boston Beer Co., Inc. (The), Class A* | | | | | (32) | | | | | | (12,091) | | |
Brown-Forman Corp., Class B | | | | | (176) | | | | | | (11,898) | | |
Constellation Brands, Inc., Class A | | | | | (64) | | | | | | (12,144) | | |
Monster Beverage Corp.* | | | | | (188) | | | | | | (11,947) | | |
| | | | | | | | | | | (48,080) | | |
Capital Markets – (3.7)% | | ||||||||||||
Affiliated Managers Group, Inc. | | | | | (140) | | | | | | (11,864) | | |
Cboe Global Markets, Inc. | | | | | (100) | | | | | | (12,000) | | |
Charles Schwab Corp. (The) | | | | | (252) | | | | | | (11,985) | | |
E*TRADE Financial Corp. | | | | | (260) | | | | | | (11,796) | | |
FactSet Research Systems, Inc. | | | | | (44) | | | | | | (11,805) | | |
Intercontinental Exchange, Inc. | | | | | (128) | | | | | | (11,846) | | |
LPL Financial Holdings, Inc. | | | | | (128) | | | | | | (11,808) | | |
MarketAxess Holdings, Inc. | | | | | (32) | | | | | | (12,132) | | |
Moody’s Corp. | | | | | (48) | | | | | | (11,396) | | |
Morningstar, Inc. | | | | | (80) | | | | | | (12,105) | | |
MSCI, Inc. | | | | | (44) | | | | | | (11,360) | | |
Raymond James Financial, Inc. | | | | | (132) | | | | | | (11,809) | | |
S&P Global, Inc. | | | | | (44) | | | | | | (12,014) | | |
SEI Investments Co. | | | | | (180) | | | | | | (11,786) | | |
Stifel Financial Corp. | | | | | (196) | | | | | | (11,887) | | |
| | | | | | | | | | | (177,593) | | |
Chemicals – (0.5)% | | ||||||||||||
Balchem Corp. | | | | | (116) | | | | | | (11,789) | | |
Ingevity Corp.* | | | | | (136) | | | | | | (11,884) | | |
| | | | | | | | | | | (23,673) | | |
Commercial Services & Supplies – (0.3)% | | ||||||||||||
Copart, Inc.* | | | | | (132) | | | | | | (12,004) | | |
Construction & Engineering – (0.3)% | | ||||||||||||
AECOM* | | | | | (276) | | | | | | (11,904) | | |
Construction Materials – (0.3)% | | ||||||||||||
Eagle Materials, Inc. | | | | | (132) | | | | | | (11,967) | | |
Consumer Finance – (1.2)% | | ||||||||||||
American Express Co. | | | | | (96) | | | | | | (11,951) | | |
Capital One Financial Corp. | | | | | (116) | | | | | | (11,938) | | |
Credit Acceptance Corp.* | | | | | (28) | | | | | | (12,385) | | |
FirstCash, Inc. | | | | | (148) | | | | | | (11,933) | | |
SLM Corp. | | | | | (1,344) | | | | | | (11,975) | | |
| | | | | | | | | | | (60,182) | | |
Containers & Packaging – (0.5)% | | ||||||||||||
Berry Global Group, Inc.* | | | | | (248) | | | | | | (11,777) | | |
Crown Holdings, Inc.* | | | | | (164) | | | | | | (11,897) | | |
| | | | | | | | | | | (23,674) | | |
Distributors – (0.2)% | | ||||||||||||
LKQ Corp.* | | | | | (332) | | | | | | (11,852) | | |
Diversified Consumer Services – (0.3)% | | ||||||||||||
Bright Horizons Family Solutions, Inc.* | | | | | (80) | | | | | | (12,023) | | |
|
Investments | | | Number of Shares | | | Value | | ||||||
Diversified Financial Services – (0.5)% | | ||||||||||||
Berkshire Hathaway, Inc., Class B* | | | | | (52) | | | | | $ | (11,778) | | |
Voya Financial, Inc. | | | | | (196) | | | | | | (11,952) | | |
| | | | | | | | | | | (23,730) | | |
Electric Utilities – (2.4)% | | ||||||||||||
ALLETE, Inc. | | | | | (144) | | | | | | (11,688) | | |
Alliant Energy Corp. | | | | | (220) | | | | | | (12,038) | | |
American Electric Power Co., Inc. | | | | | (124) | | | | | | (11,719) | | |
Eversource Energy | | | | | (140) | | | | | | (11,910) | | |
Hawaiian Electric Industries, Inc. | | | | | (252) | | | | | | (11,809) | | |
IDACORP, Inc. | | | | | (112) | | | | | | (11,962) | | |
NextEra Energy, Inc. | | | | | (48) | | | | | | (11,624) | | |
PNM Resources, Inc. | | | | | (232) | | | | | | (11,765) | | |
Portland General Electric Co. | | | | | (212) | | | | | | (11,827) | | |
Xcel Energy, Inc. | | | | | (188) | | | | | | (11,936) | | |
| | | | | | | | | | | (118,278) | | |
Electrical Equipment – (0.2)% | | ||||||||||||
Generac Holdings, Inc.* | | | | | (116) | | | | | | (11,669) | | |
Energy Equipment & Services – (1.0)% | | ||||||||||||
Halliburton Co. | | | | | (648) | | | | | | (15,856) | | |
Helmerich & Payne, Inc. | | | | | (348) | | | | | | (15,810) | | |
National Oilwell Varco, Inc. | | | | | (632) | | | | | | (15,832) | | |
| | | | | | | | | | | (47,498) | | |
Entertainment – (0.7)% | | ||||||||||||
Electronic Arts, Inc.* | | | | | (112) | | | | | | (12,041) | | |
Netflix, Inc.* | | | | | (36) | | | | | | (11,649) | | |
Roku, Inc.* | | | | | (88) | | | | | | (11,783) | | |
| | | | | | | | | | | (35,473) | | |
Equity Real Estate Investment Trusts (REITs) – (0.7)% | | ||||||||||||
American Homes 4 Rent, Class A | | | | | (460) | | | | | | (12,057) | | |
Rexford Industrial Realty, Inc. | | | | | (260) | | | | | | (11,874) | | |
SBA Communications Corp. | | | | | (48) | | | | | | (11,567) | | |
| | | | | | | | | | | (35,498) | | |
Food & Staples Retailing – (1.2)% | | ||||||||||||
BJ’s Wholesale Club Holdings, Inc.* | | | | | (524) | | | | | | (11,916) | | |
Casey’s General Stores, Inc. | | | | | (76) | | | | | | (12,083) | | |
Costco Wholesale Corp. | | | | | (40) | | | | | | (11,757) | | |
Performance Food Group Co.* | | | | | (232) | | | | | | (11,944) | | |
US Foods Holding Corp.* | | | | | (288) | | | | | | (12,064) | | |
| | | | | | | | | | | (59,764) | | |
Food Products – (1.7)% | | ||||||||||||
Beyond Meat, Inc.* | | | | | (156) | | | | | | (11,793) | | |
Darling Ingredients, Inc.* | | | | | (424) | | | | | | (11,906) | | |
J&J Snack Foods Corp. | | | | | (64) | | | | | | (11,793) | | |
Lamb Weston Holdings, Inc. | | | | | (140) | | | | | | (12,044) | | |
McCormick & Co., Inc. (Non-Voting) | | | | | (68) | | | | | | (11,542) | | |
Post Holdings, Inc.* | | | | | (108) | | | | | | (11,783) | | |
Sanderson Farms, Inc. | | | | | (68) | | | | | | (11,983) | | |
| | | | | | | | | | | (82,844) | | |
Gas Utilities – (1.2)% | | ||||||||||||
Atmos Energy Corp. | | | | | (108) | | | | | | (12,081) | | |
New Jersey Resources Corp. | | | | | (264) | | | | | | (11,767) | | |
Schedule of Investments
Investments | | | Number of Shares | | | Value | | ||||||
ONE Gas, Inc. | | | | | (128) | | | | | $ | (11,977) | | |
Southwest Gas Holdings, Inc. | | | | | (156) | | | | | | (11,851) | | |
UGI Corp. | | | | | (264) | | | | | | (11,922) | | |
| | | | | | | | | | | (59,598) | | |
Health Care Equipment & Supplies – (1.0)% | | ||||||||||||
Align Technology, Inc.* | | | | | (44) | | | | | | (12,278) | | |
Boston Scientific Corp.* | | | | | (264) | | | | | | (11,938) | | |
Edwards Lifesciences Corp.* | | | | | (52) | | | | | | (12,131) | | |
Intuitive Surgical, Inc.* | | | | | (20) | | | | | | (11,823) | | |
| | | | | | | | | | | (48,170) | | |
Health Care Providers & Services – (0.2)% | | ||||||||||||
Centene Corp.* | | | | | (188) | | | | | | (11,820) | | |
Health Care Technology – (0.2)% | | ||||||||||||
Veeva Systems, Inc., Class A* | | | | | (84) | | | | | | (11,815) | | |
Hotels, Restaurants & Leisure – (0.8)% | | ||||||||||||
Caesars Entertainment Corp.* | | | | | (872) | | | | | | (11,859) | | |
Chipotle Mexican Grill, Inc.* | | | | | (16) | | | | | | (13,394) | | |
Planet Fitness, Inc., Class A* | | | | | (160) | | | | | | (11,949) | | |
| | | | | | | | | | | (37,202) | | |
Household Durables – (0.6)% | | ||||||||||||
Mohawk Industries, Inc.* | | | | | (88) | | | | | | (12,001) | | |
NVR, Inc.* | | | | | (4) | | | | | | (15,234) | | |
| | | | | | | | | | | (27,235) | | |
Household Products – (0.2)% | | ||||||||||||
Church & Dwight Co., Inc. | | | | | (168) | | | | | | (11,817) | | |
Independent Power and Renewable Electricity Producers – (1.0)% | | ||||||||||||
AES Corp. | | | | | (600) | | | | | | (11,940) | | |
NRG Energy, Inc. | | | | | (300) | | | | | | (11,925) | | |
Ormat Technologies, Inc. | | | | | (160) | | | | | | (11,923) | | |
Vistra Energy Corp. | | | | | (516) | | | | | | (11,863) | | |
| | | | | | | | | | | (47,651) | | |
Insurance – (2.5)% | | ||||||||||||
Alleghany Corp.* | | | | | (16) | | | | | | (12,793) | | |
Brighthouse Financial, Inc.* | | | | | (300) | | | | | | (11,769) | | |
Brown & Brown, Inc. | | | | | (300) | | | | | | (11,844) | | |
Globe Life, Inc. | | | | | (112) | | | | | | (11,788) | | |
Kemper Corp. | | | | | (152) | | | | | | (11,780) | | |
Loews Corp. | | | | | (228) | | | | | | (11,968) | | |
Markel Corp.* | | | | | (12) | | | | | | (13,718) | | |
Primerica, Inc. | | | | | (92) | | | | | | (12,012) | | |
Reinsurance Group of America, Inc. | | | | | (72) | | | | | | (11,740) | | |
Selective Insurance Group, Inc. | | | | | (180) | | | | | | (11,734) | | |
| | | | | | | | | | | (121,146) | | |
Interactive Media & Services – (1.0)% | | ||||||||||||
Alphabet, Inc., Class A* | | | | | (8) | | | | | | (10,715) | | |
Facebook, Inc., Class A* | | | | | (56) | | | | | | (11,494) | | |
Snap, Inc., Class A* | | | | | (728) | | | | | | (11,888) | | |
Twitter, Inc.* | | | | | (372) | | | | | | (11,923) | | |
| | | | | | | | | | | (46,020) | | |
|
Investments | | | Number of Shares | | | Value | | ||||||
Internet & Direct Marketing Retail – (0.7)% | | ||||||||||||
Amazon.com, Inc.* | | | | | (8) | | | | | $ | (14,783) | | |
Booking Holdings, Inc.* | | | | | (4) | | | | | | (8,216) | | |
Wayfair, Inc., Class A* | | | | | (132) | | | | | | (11,929) | | |
| | | | | | | | | | | (34,928) | | |
IT Services – (0.7)% | | ||||||||||||
Fiserv, Inc.* | | | | | (104) | | | | | | (12,025) | | |
PayPal Holdings, Inc.* | | | | | (112) | | | | | | (12,115) | | |
Square, Inc., Class A* | | | | | (192) | | | | | | (12,012) | | |
| | | | | | | | | | | (36,152) | | |
Life Sciences Tools & Services – (0.5)% | | ||||||||||||
Illumina, Inc.* | | | | | (36) | | | | | | (11,942) | | |
IQVIA Holdings, Inc.* | | | | | (76) | | | | | | (11,743) | | |
| | | | | | | | | | | (23,685) | | |
Machinery – (0.7)% | | ||||||||||||
Gardner Denver Holdings, Inc.* | | | | | (320) | | | | | | (11,738) | | |
Middleby Corp. (The)* | | | | | (108) | | | | | | (11,828) | | |
WABCO Holdings, Inc.* | | | | | (88) | | | | | | (11,924) | | |
| | | | | | | | | | | (35,490) | | |
Media – (0.7)% | | ||||||||||||
Charter Communications, Inc., Class A* | | | | | (24) | | | | | | (11,642) | | |
Discovery, Inc., Class A* | | | | | (364) | | | | | | (11,917) | | |
Liberty Broadband Corp., Class C* | | | | | (96) | | | | | | (12,072) | | |
| | | | | | | | | | | (35,631) | | |
Metals & Mining – (0.2)% | | ||||||||||||
Alcoa Corp.* | | | | | (552) | | | | | | (11,874) | | |
Multiline Retail – (0.3)% | | ||||||||||||
Dollar Tree, Inc.* | | | | | (128) | | | | | | (12,038) | | |
Multi-Utilities – (1.7)% | | ||||||||||||
Ameren Corp. | | | | | (156) | | | | | | (11,981) | | |
Black Hills Corp. | | | | | (152) | | | | | | (11,938) | | |
CMS Energy Corp. | | | | | (188) | | | | | | (11,814) | | |
MDU Resources Group, Inc. | | | | | (400) | | | | | | (11,884) | | |
NiSource, Inc. | | | | | (428) | | | | | | (11,916) | | |
Sempra Energy | | | | | (80) | | | | | | (12,118) | | |
WEC Energy Group, Inc. | | | | | (128) | | | | | | (11,805) | | |
| | | | | | | | | | | (83,456) | | |
Oil, Gas & Consumable Fuels – (6.9)% | | ||||||||||||
Apache Corp. | | | | | (616) | | | | | | (15,763) | | |
Cabot Oil & Gas Corp. | | | | | (908) | | | | | | (15,808) | | |
Cheniere Energy, Inc.* | | | | | (260) | | | | | | (15,878) | | |
Cimarex Energy Co. | | | | | (300) | | | | | | (15,747) | | |
Concho Resources, Inc. | | | | | (180) | | | | | | (15,763) | | |
ConocoPhillips | | | | | (244) | | | | | | (15,867) | | |
Devon Energy Corp. | | | | | (612) | | | | | | (15,894) | | |
Diamondback Energy, Inc. | | | | | (172) | | | | | | (15,972) | | |
EOG Resources, Inc. | | | | | (188) | | | | | | (15,747) | | |
Hess Corp. | | | | | (240) | | | | | | (16,034) | | |
HollyFrontier Corp. | | | | | (312) | | | | | | (15,822) | | |
Marathon Oil Corp. | | | | | (1,172) | | | | | | (15,916) | | |
Noble Energy, Inc. | | | | | (640) | | | | | | (15,898) | | |
Occidental Petroleum Corp. | | | | | (388) | | | | | | (15,990) | | |
Schedule of Investments
Investments | | | Number of Shares | | | Value | | ||||||
Parsley Energy, Inc., Class A | | | | | (836) | | | | | $ | (15,809) | | |
Phillips 66 | | | | | (144) | | | | | | (16,043) | | |
Pioneer Natural Resources Co. | | | | | (104) | | | | | | (15,743) | | |
Plains GP Holdings LP, Class A* | | | | | (840) | | | | | | (15,918) | | |
Texas Pacific Land Trust | | | | | (20) | | | | | | (15,624) | | |
Viper Energy Partners LP | | | | | (640) | | | | | | (15,782) | | |
WPX Energy, Inc.* | | | | | (1,152) | | | | | | (15,828) | | |
| | | | | | | | | | | (332,846) | | |
Personal Products – (0.2)% | | ||||||||||||
Estee Lauder Cos., Inc. (The), Class A | | | | | (56) | | | | | | (11,566) | | |
Professional Services – (0.3)% | | ||||||||||||
CoStar Group, Inc.* | | | | | (20) | | | | | | (11,966) | | |
Real Estate Management & Development – (0.7)% | | ||||||||||||
CBRE Group, Inc., Class A* | | | | | (192) | | | | | | (11,768) | | |
Howard Hughes Corp. (The)* | | | | | (92) | | | | | | (11,665) | | |
Jones Lang LaSalle, Inc. | | | | | (68) | | | | | | (11,838) | | |
| | | | | | | | | | | (35,271) | | |
Road & Rail – (0.5)% | | ||||||||||||
Lyft, Inc., Class A* | | | | | (276) | | | | | | (11,874) | | |
Uber Technologies, Inc.* | | | | | (400) | | | | | | (11,896) | | |
| | | | | | | | | | | (23,770) | | |
Semiconductors & Semiconductor Equipment – (0.5)% | | ||||||||||||
Advanced Micro Devices, Inc.* | | | | | (260) | | | | | | (11,923) | | |
Micron Technology, Inc.* | | | | | (220) | | | | | | (11,832) | | |
| | | | | | | | | | | (23,755) | | |
Software – (1.2)% | | ||||||||||||
Adobe, Inc.* | | | | | (36) | | | | | | (11,873) | | |
Autodesk, Inc.* | | | | | (64) | | | | | | (11,742) | | |
salesforce.com, Inc.* | | | | | (72) | | | | | | (11,710) | | |
ServiceNow, Inc.* | | | | | (40) | | | | | | (11,293) | | |
Workday, Inc., Class A* | | | | | (72) | | | | | | (11,840) | | |
| | | | | | | | | | | (58,458) | | |
Specialty Retail – (1.4)% | | ||||||||||||
AutoZone, Inc.* | | | | | (8) | | | | | | (9,530) | | |
Burlington Stores, Inc.* | | | | | (52) | | | | | | (11,858) | | |
CarMax, Inc.* | | | | | (136) | | | | | | (11,923) | | |
Five Below, Inc.* | | | | | (92) | | | | | | (11,763) | | |
O’Reilly Automotive, Inc.* | | | | | (28) | | | | | | (12,271) | | |
Ulta Beauty, Inc.* | | | | | (48) | | | | | | (12,151) | | |
| | | | | | | | | | | (69,496) | | |
Textiles, Apparel & Luxury Goods – (0.5)% | | ||||||||||||
Skechers U.S.A., Inc., Class A* | | | | | (272) | | | | | | (11,748) | | |
Under Armour, Inc., Class A* | | | | | (552) | | | | | | (11,923) | | |
| | | | | | | | | | | (23,671) | | |
|
Investments | | | Number of Shares | | | Value | | ||||||
Thrifts & Mortgage Finance – (0.7)% | | ||||||||||||
LendingTree, Inc.* | | | | | (40) | | | | | $ | (12,138) | | |
MGIC Investment Corp. | | | | | (840) | | | | | | (11,903) | | |
Radian Group, Inc. | | | | | (472) | | | | | | (11,875) | | |
| | | | | | | | | | | (35,916) | | |
Trading Companies & Distributors – (0.5)% | | ||||||||||||
HD Supply Holdings, Inc.* | | | | | (296) | | | | | | (11,905) | | |
United Rentals, Inc.* | | | | | (72) | | | | | | (12,008) | | |
| | | | | | | | | | | (23,913) | | |
Water Utilities – (0.5)% | | ||||||||||||
American Water Works Co., Inc. | | | | | (96) | | | | | | (11,794) | | |
Aqua America, Inc. | | | | | (252) | | | | | | (11,829) | | |
| | | | | | | | | | | (23,623) | | |
Total Common Stocks (Proceeds $(2,153,944)) | | | | | | | | | | | (2,333,400) | | |
Master Limited Partnerships – (1.0)% | | ||||||||||||
Oil, Gas & Consumable Fuels – (1.0)% | | ||||||||||||
DCP Midstream LP | | | | | (644) | | | | | | (15,771) | | |
EQM Midstream Partners LP | | | | | (536) | | | | | | (16,032) | | |
Plains All American Pipeline LP | | | | | (864) | | | | | | (15,889) | | |
Total Master Limited Partnerships (Proceeds $(49,146)) | | | | | | | | | | | (47,692) | | |
Total Short Positions (Proceeds $(2,203,090)) | | | | | | | | | | | (2,381,092) | | |
Total Investments – 49.2% (Cost $2,381,172) | | | | | | | | | | | 2,392,015 | | |
Other Assets Less Liabilities – 50.8% | | | | | | | | | | | 2,469,232 | | |
Net Assets – 100.0% | | | | | | | | | | $ | 4,861,247 | | |
|
| Aggregate gross unrealized appreciation | | | | $ | 292,145 | | |
| Aggregate gross unrealized depreciation | | | | | (335,707) | | |
| Net unrealized depreciation | | | | $ | (43,562) | | |
| Federal income tax cost of investments (including derivative contracts, if any) | | | | $ | 2,435,577 | | |
Schedule of Investments
Investments | | | Number of Shares | | | Value | | ||||||
Common Stocks – 99.2% | | ||||||||||||
Construction & Engineering – 4.7% | | ||||||||||||
Vinci SA | | | | | 1,116 | | | | | $ | 123,930 | | |
Diversified Telecommunication Services – 4.1% | | ||||||||||||
Cellnex Telecom SA | | | | | 292 | | | | | | 12,568 | | |
China Tower Corp. Ltd., Class H | | | | | 383,952 | | | | | | 84,750 | | |
Infrastrutture Wireless Italiane SpA | | | | | 1,276 | | | | | | 12,495 | | |
| | | | | | | | | | | 109,813 | | |
Electric Utilities – 12.7% | | ||||||||||||
AusNet Services | | | | | 7,744 | | | | | | 9,238 | | |
Cia de Transmissao de Energia Eletrica Paulista (Preference) | | | | | 1,798 | | | | | | 10,092 | | |
Duke Energy Corp. | | | | | 288 | | | | | | 26,269 | | |
Edison International | | | | | 440 | | | | | | 33,180 | | |
Elia System Operator SA/NV | | | | | 88 | | | | | | 7,808 | | |
Endesa SA | | | | | 292 | | | | | | 7,792 | | |
Eversource Energy | | | | | 420 | | | | | | 35,729 | | |
Fortis, Inc. | | | | | 1,392 | | | | | | 57,758 | | |
Mercury NZ Ltd. | | | | | 3,842 | | | | | | 13,062 | | |
OGE Energy Corp. | | | | | 530 | | | | | | 23,569 | | |
Power Assets Holdings Ltd. | | | | | 2,848 | | | | | | 20,833 | | |
Southern Co. (The) | | | | | 506 | | | | | | 32,232 | | |
SSE plc | | | | | 986 | | | | | | 18,788 | | |
Terna Rete Elettrica Nazionale SpA | | | | | 2,704 | | | | | | 18,059 | | |
Xcel Energy, Inc. | | | | | 380 | | | | | | 24,126 | | |
| | | | | | | | | | | 338,535 | | |
Equity Real Estate Investment Trusts (REITs) – 18.6% | | ||||||||||||
American Tower Corp. | | | | | 1,022 | | | | | | 234,876 | | |
Ascendas REIT | | | | | 5,303 | | | | | | 11,710 | | |
Crown Castle International Corp. | | | | | 1,134 | | | | | | 161,198 | | |
Digital Realty Trust, Inc. | | | | | 208 | | | | | | 24,906 | | |
SBA Communications Corp. | | | | | 146 | | | | | | 35,185 | | |
STAG Industrial, Inc. | | | | | 798 | | | | | | 25,193 | | |
| | | | | | | | | | | 493,068 | | |
Gas Utilities – 3.8% | | ||||||||||||
Atmos Energy Corp. | | | | | 246 | | | | | | 27,518 | | |
China Gas Holdings Ltd. | | | | | 3,184 | | | | | | 11,931 | | |
China Resources Gas Group Ltd. | | | | | 2,426 | | | | | | 13,325 | | |
Enagas SA | | | | | 506 | | | | | | 12,907 | | |
Hong Kong & China Gas Co. Ltd. | | | | | 7,014 | | | | | | 13,700 | | |
Naturgy Energy Group SA | | | | | 506 | | | | | | 12,714 | | |
Spire, Inc. | | | | | 120 | | | | | | 9,997 | | |
| | | | | | | | | | | 102,092 | | |
Independent Power and Renewable Electricity Producers – 1.7% | | ||||||||||||
Capital Power Corp. | | | | | 550 | | | | | | 14,566 | | |
CGN Power Co. Ltd., Class H | | | | | 37,802 | | | | | | 10,090 | | |
Engie Brasil Energia SA | | | | | 1,598 | | | | | | 20,180 | | |
| | | | | | | | | | | 44,836 | | |
Machinery – 0.2% | | ||||||||||||
Cargotec OYJ, Class B | | | | | 126 | | | | | | 4,274 | | |
Media – 0.5% | | ||||||||||||
SES SA, FDR | | | | | 942 | | | | | | 13,208 | | |
|
Investments | | | Number of Shares | | | Value | | ||||||
Multi-Utilities – 14.1% | | ||||||||||||
A2A SpA | | | | | 6,104 | | | | | $ | 11,448 | | |
AGL Energy Ltd. | | | | | 502 | | | | | | 7,232 | | |
Consolidated Edison, Inc. | | | | | 532 | | | | | | 48,130 | | |
DTE Energy Co. | | | | | 242 | | | | | | 31,429 | | |
E.ON SE | | | | | 1,698 | | | | | | 18,140 | | |
National Grid plc | | | | | 7,080 | | | | | | 88,558 | | |
NorthWestern Corp. | | | | | 466 | | | | | | 33,398 | | |
REN — Redes Energeticas Nacionais SGPS SA | | | | | 3,650 | | | | | | 11,136 | | |
Sempra Energy | | | | | 596 | | | | | | 90,282 | | |
Veolia Environnement SA | | | | | 430 | | | | | | 11,436 | | |
WEC Energy Group, Inc. | | | | | 248 | | | | | | 22,873 | | |
| | | | | | | | | | | 374,062 | | |
Oil, Gas & Consumable Fuels – 22.7% | | ||||||||||||
Cheniere Energy, Inc.* | | | | | 320 | | | | | | 19,542 | | |
Enbridge, Inc. | | | | | 4,998 | | | | | | 198,719 | | |
Kinder Morgan, Inc. | | | | | 4,014 | | | | | | 84,976 | | |
ONEOK, Inc. | | | | | 984 | | | | | | 74,459 | | |
Pembina Pipeline Corp. | | | | | 1,426 | | | | | | 52,854 | | |
Targa Resources Corp. | | | | | 274 | | | | | | 11,188 | | |
TC Energy Corp. | | | | | 2,042 | | | | | | 108,756 | | |
Williams Cos., Inc. (The) | | | | | 2,280 | | | | | | 54,082 | | |
| | | | | | | | | | | 604,576 | | |
Road & Rail – 1.9% | | ||||||||||||
Canadian National Railway Co. | | | | | 82 | | | | | | 7,418 | | |
Kyushu Railway Co. | | | | | 416 | | | | | | 13,975 | | |
Union Pacific Corp. | | | | | 156 | | | | | | 28,203 | | |
| | | | | | | | | | | 49,596 | | |
Transportation Infrastructure – 10.8% | | ||||||||||||
Aena SME SA | | | | | 318 | | | | | | 60,818 | | |
Airports of Thailand PCL | | | | | 4,812 | | | | | | 11,928 | | |
Atlantia SpA | | | | | 498 | | | | | | 11,613 | | |
Auckland International Airport Ltd. | | | | | 2,216 | | | | | | 13,053 | | |
COSCO SHIPPING Ports Ltd. | | | | | 11,206 | | | | | | 9,175 | | |
Flughafen Zurich AG (Registered) | | | | | 83 | | | | | | 15,154 | | |
Grupo Aeroportuario del Pacifico SAB de CV, ADR | | | | | 242 | | | | | | 28,704 | | |
Jiangsu Expressway Co. Ltd., Class H | | | | | 7,254 | | | | | | 9,942 | | |
Shenzhen Expressway Co. Ltd., Class H | | | | | 11,032 | | | | | | 15,828 | | |
Societa Iniziative Autostradali e Servizi SpA | | | | | 1,024 | | | | | | 17,160 | | |
Sydney Airport | | | | | 4,694 | | | | | | 28,526 | | |
Transurban Group | | | | | 5,756 | | | | | | 60,226 | | |
Westshore Terminals Investment Corp. | | | | | 372 | | | | | | 5,429 | | |
| | | | | | | | | | | 287,556 | | |
Water Utilities – 3.4% | | ||||||||||||
American Water Works Co., Inc. | | | | | 334 | | | | | | 41,032 | | |
Cia de Saneamento Basico do Estado de Sao Paulo, ADR* | | | | | 1,058 | | | | | | 15,923 | | |
United Utilities Group plc | | | | | 2,600 | | | | | | 32,490 | | |
| | | | | | | | | | | 89,445 | | |
Total Common Stocks (Cost $2,468,138) | | | | | | | | | | | 2,634,991 | | |
|
Schedule of Investments
Investments | | | Number of Shares | | | Value | | ||||||
Master Limited Partnerships – 0.7% | | ||||||||||||
Oil, Gas & Consumable Fuels – 0.7% | | ||||||||||||
Energy Transfer LP (Cost $22,739) | | | | | 1,522 | | | | | $ | 19,527 | | |
Exchange Traded Funds – 0.4% | | ||||||||||||
SPDR S&P Global Infrastructure ETF (Cost $9,221) | | | | | 174 | | | | | | 9,577 | | |
Total Investments – 100.3% (Cost $2,500,098) | | | | | | | | | | | 2,664,095 | | |
Liabilities in excess of other assets – (0.3%) | | | | | | | | | | | (7,245) | | |
Net Assets – 100.0% | | | | | | | | | | $ | 2,656,850 | | |
|
Abbreviations | | | ||
ADR | | | American Depositary Receipt | |
FDR | | | Fiduciary Depositary Receipt | |
OYJ | | | Public Limited Company | |
Preference | | | A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference. | |
| Aggregate gross unrealized appreciation | | | | $ | 200,777 | | |
| Aggregate gross unrealized depreciation | | | | | (35,606) | | |
| Net unrealized appreciation | | | | $ | 165,171 | | |
| Federal income tax cost of investments (including derivative contracts, if any) | | | | $ | 2,498,924 | | |
| Australia | | | | | 4.0% | | |
| Belgium | | | | | 0.3% | | |
| Brazil | | | | | 1.7% | | |
| Canada | | | | | 16.8% | | |
| China | | | | | 5.8% | | |
| Finland | | | | | 0.2% | | |
| France | | | | | 5.1% | | |
| Germany | | | | | 0.7% | | |
| Hong Kong | | | | | 1.3% | | |
| Italy | | | | | 2.7% | | |
| Japan | | | | | 0.5% | | |
| Luxembourg | | | | | 0.5% | | |
| Mexico | | | | | 1.1% | | |
| New Zealand | | | | | 1.0% | | |
| Portugal | | | | | 0.4% | | |
| Singapore | | | | | 0.4% | | |
| Spain | | | | | 4.0% | | |
| Switzerland | | | | | 0.6% | | |
| Thailand | | | | | 0.4% | | |
| United Kingdom | | | | | 5.3% | | |
| United States | | | | | 47.5% | | |
| Other(1) | | | | | (0.3)% | | |
| | | | | | 100.0% | | |
Schedule of Investments
Investments | | | Number of Shares | | | Value | | ||||||
EXCHANGE TRADED FUNDS – 100.3% | | ||||||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund(a) | | | | | 20,900 | | | | | $ | 462,935 | | |
Communication Services Select Sector SPDR Fund | | | | | 4,408 | | | | | | 236,401 | | |
Consumer Discretionary Select Sector SPDR Fund | | | | | 1,272 | | | | | | 159,534 | | |
Consumer Staples Select Sector SPDR Fund | | | | | 2,613 | | | | | | 164,567 | | |
Energy Select Sector SPDR Fund | | | | | 364 | | | | | | 21,855 | | |
Financial Select Sector SPDR Fund | | | | | 11,974 | | | | | | 368,560 | | |
Health Care Select Sector SPDR Fund | | | | | 4,368 | | | | | | 444,924 | | |
Industrial Select Sector SPDR Fund | | | | | 3,982 | | | | | | 324,414 | | |
Materials Select Sector SPDR Fund | | | | | 1,006 | | | | | | 61,788 | | |
Real Estate Select Sector SPDR Fund | | | | | 3,072 | | | | | | 118,794 | | |
Technology Select Sector SPDR Fund | | | | | 4,210 | | | | | | 385,931 | | |
Utilities Select Sector SPDR Fund | | | | | 341 | | | | | | 22,035 | | |
Total Exchange Traded Funds (Cost $2,511,930) | | | | | | | 2,771,738 | | | ||||
Total Investments – 100.3% (Cost $2,511,930) | | | | | | | 2,771,738 | | | ||||
Liabilities in excess of other assets – (0.3%) | | | | | | | (9,193) | | | ||||
Net Assets – 100.0% | | | | | | $ | 2,762,545 | | |
| Aggregate gross unrealized appreciation | | | | $ | 261,380 | | |
| Aggregate gross unrealized depreciation | | | | | (1,572) | | |
| Net unrealized appreciation | | | | $ | 259,808 | | |
| Federal income tax cost of investments (including derivative contracts, if any) | | | | $ | 2,511,930 | | |
Security | | | Value June 30, 2019 | | | Purchases at Cost | | | Sales Proceeds | | | Shares December 31, 2019 | | | Value December 31, 2019 | | | Change in Unrealized Appreciation (Depreciation) | | | Dividend Income | | | Realized Gain | | ||||||||||||||||||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 494,146 | | | | | $ | 7,991 | | | | | $ | 48,626 | | | | | | 20,900 | | | | | $ | 462,935 | | | | | $ | 5,120 | | | | | $ | 4,093 | | | | | $ | 4,304 | | |
December 31, 2019 (Unaudited)
| | | AGFiQ U.S. Market Neutral Momentum Fund | | | AGFiQ U.S. Market Neutral Value Fund | | | AGFiQ U.S. Market Neutral Anti-Beta Fund | | | AGFiQ Hedged Dividend Income Fund | | ||||||||||||
ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in securities, at value(1) | | | | $ | 2,131,898 | | | | | $ | 966,973 | | | | | $ | 102,911,848 | | | | | $ | 4,773,107 | | |
Cash | | | | | 798,912 | | | | | | 134,492 | | | | | | 19,288,505 | | | | | | 147,117 | | |
Segregated cash balance with custodian for swap agreements (Note 2) | | | | | 20,034 | | | | | | — | | | | | | 4,183,029 | | | | | | — | | |
Segregated cash balance with broker for securities sold short (Note 2) | | | | | 1,638,523 | | | | | | 896,007 | | | | | | 92,503,408 | | | | | | 2,415,048 | | |
Unrealized appreciation on swap agreements | | | | | 10,713 | | | | | | 11,577 | | | | | | 679,507 | | | | | | — | | |
Receivables: | | | | | | | | | | | | | | | | | | | | | | | | | |
Securities sold | | | | | — | | | | | | — | | | | | | 2,079,188 | | | | | | 2,021,980 | | |
Dividends and interest | | | | | 5,190 | | | | | | 3,434 | | | | | | 348,268 | | | | | | 20,679 | | |
Investment adviser (Note 4) | | | | | 18,577 | | | | | | 21,580 | | | | | | — | | | | | | 20,866 | | |
Prepaid expenses | | | | | 2,271 | | | | | | 2,271 | | | | | | 2,271 | | | | | | 1,230 | | |
Total Assets | | | | | 4,626,118 | | | | | | 2,036,334 | | | | | | 221,996,024 | | | | | | 9,400,027 | | |
LIABILITIES | | | | | | | | | | | | | | | | | | | | | | | | | |
Securities sold short, at value(2) | | | | | 2,214,103 | | | | | | 890,799 | | | | | | 106,405,896 | | | | | | 2,381,092 | | |
Unrealized depreciation on swap agreements | | | | | 27,007 | | | | | | 7,889 | | | | | | 1,221,899 | | | | | | — | | |
Payables: | | | | | | | | | | | | | | | | | | | | | | | | | |
Securities purchased | | | | | — | | | | | | — | | | | | | — | | | | | | 2,030,474 | | |
Income distributions | | | | | — | | | | | | 22,169 | | | | | | 1,077,142 | | | | | | 57,168 | | |
Investment management fees | | | | | — | | | | | | — | | | | | | 18,428 | | | | | | — | | |
Trustees fees | | | | | 2,506 | | | | | | 2,506 | | | | | | 2,506 | | | | | | 2,506 | | |
Dividends on securities sold short | | | | | 4,473 | | | | | | 1,135 | | | | | | 158,799 | | | | | | 2,925 | | |
Accrued expenses and other liabilities | | | | | 60,720 | | | | | | 60,378 | | | | | | 95,441 | | | | | | 64,615 | | |
Total Liabilities | | | | | 2,308,809 | | | | | | 984,876 | | | | | | 108,980,111 | | | | | | 4,538,780 | | |
Net Assets | | | | $ | 2,317,309 | | | | | $ | 1,051,458 | | | | | $ | 113,015,913 | | | | | $ | 4,861,247 | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | | | | | | | | | | |
Paid-in capital | | | | $ | 4,603,717 | | | | | $ | 2,762,440 | | | | | $ | 134,336,461 | | | | | $ | 5,627,088 | | |
Distributable earnings (loss) | | | | | (2,286,408) | | | | | | (1,710,982) | | | | | | (21,320,548) | | | | | | (765,841) | | |
Net Assets | | | | $ | 2,317,309 | | | | | $ | 1,051,458 | | | | | $ | 113,015,913 | | | | | $ | 4,861,247 | | |
The Funds have an unlimited number of shares authorized with no par value. Net asset value is calculated by dividing the net assets by the number of outstanding shares. | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares Outstanding | | | | | 100,000 | | | | | | 50,000 | | | | | | 5,100,000 | | | | | | 200,000 | | |
Net Asset Value | | | | $ | 23.17 | | | | | $ | 21.03 | | | | | $ | 22.16 | | | | | $ | 24.31 | | |
(1) Investments in securities, at cost | | | | $ | 1,969,602 | | | | | $ | 927,607 | | | | | $ | 98,024,092 | | | | | $ | 4,584,262 | | |
(2) Securities sold short, proceeds | | | | | 2,374,108 | | | | | | 704,871 | | | | | | 102,793,893 | | | | | | 2,203,090 | | |
December 31, 2019 (Unaudited)
| | | AGFiQ Global Infrastructure ETF | | | AGFiQ Dynamic Hedged U.S. Equity ETF | | ||||||
ASSETS | | | | | | | | | | | | | |
Investments in securities, at value(1) | | | | $ | 2,664,095 | | | | | $ | 2,308,803 | | |
Investments in affiliates, at value(3) | | | | | — | | | | | | 462,935 | | |
Cash | | | | | 56,327 | | | | | | 62,388 | | |
Receivables: | | | | | | | | | | | | | |
Dividends and interest | | | | | 8,730 | | | | | | 7,652 | | |
Investment adviser (Note 4) | | | | | 15,605 | | | | | | 15,505 | | |
Foreign tax reclaims | | | | | 938 | | | | | | — | | |
Prepaid expenses | | | | | 181 | | | | | | 181 | | |
Total Assets | | | | | 2,745,876 | | | | | | 2,857,464 | | |
LIABILITIES | | | | | | | | | | | | | |
Payables: | | | | | | | | | | | | | |
Income distributions | | | | | 28,774 | | | | | | 30,965 | | |
Capital gain distributions | | | | | 74 | | | | | | 7,420 | | |
Trustees fees | | | | | 2,506 | | | | | | 2,506 | | |
Accrued expenses and other liabilities | | | | | 57,672 | | | | | | 54,028 | | |
Total Liabilities | | | | | 89,026 | | | | | | 94,919 | | |
Net Assets | | | | $ | 2,656,850 | | | | | $ | 2,762,545 | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | | |
Paid-in capital | | | | $ | 2,500,025 | | | | | $ | 2,500,025 | | |
Distributable earnings (loss) | | | | | 156,825 | | | | | | 262,520 | | |
Net Assets | | | | $ | 2,656,850 | | | | | $ | 2,762,545 | | |
The Funds have an unlimited number of shares authorized with no par value. Net asset value is calculated by dividing the net assets by the number of outstanding shares. | | | | | | | | | | | | | |
Shares Outstanding | | | | | 100,001 | | | | | | 100,001 | | |
Net Asset Value | | | | $ | 26.57 | | | | | $ | 27.63 | | |
(1) Investments in securities, at cost | | | | $ | 2,500,098 | | | | | $ | 2,048,368 | | |
(3) Investments in affiliates, at cost | | | | | — | | | | | | 463,562 | | |
For the Period Ended December 31, 2019 (Unaudited)
| | | AGFiQ U.S. Market Neutral Momentum Fund | | | AGFiQ U.S. Market Neutral Value Fund | | | AGFiQ U.S. Market Neutral Anti-Beta Fund | | | AGFiQ Hedged Dividend Income Fund | | ||||||||||||
INVESTMENT INCOME | | | | | | | | | | | | | | | | | | | | | | | | | |
Dividend income | | | | $ | 17,304 | | | | | $ | 13,593 | | | | | $ | 1,131,005 | | | | | $ | 130,461 | | |
Interest income on securities sold short | | | | | 19,027 | | | | | | 7,526 | | | | | | 724,296 | | | | | | 18,957 | | |
Foreign withholding tax on dividends | | | | | — | | | | | | (6) | | | | | | — | | | | | | — | | |
Total Investment Income | | | | | 36,331 | | | | | | 21,113 | | | | | | 1,855,301 | | | | | | 149,418 | | |
EXPENSES | | | | | | | | | | | | | | | | | | | | | | | | | |
Dividends on securities sold short | | | | | 30,326 | | | | | | 5,285 | | | | | | 921,314 | | | | | | 19,253 | | |
Investment management fees (Note 4) | | | | | 6,291 | | | | | | 2,568 | | | | | | 228,739 | | | | | | 10,973 | | |
Professional fees | | | | | 42,572 | | | | | | 42,772 | | | | | | 42,772 | | | | | | 44,424 | | |
Custody fees | | | | | 1,207 | | | | | | 1,082 | | | | | | 6,183 | | | | | | 1,533 | | |
Index fees | | | | | 6,252 | | | | | | 6,252 | | | | | | 6,252 | | | | | | 7,502 | | |
CCO fees | | | | | 5,993 | | | | | | 5,993 | | | | | | 5,993 | | | | | | 5,993 | | |
Treasurer fees | | | | | 3,985 | | | | | | 3,985 | | | | | | 3,986 | | | | | | 3,985 | | |
Listing fees | | | | | 2,521 | | | | | | 2,521 | | | | | | 2,521 | | | | | | 2,521 | | |
Accounting fees | | | | | 15,360 | | | | | | 15,360 | | | | | | 15,360 | | | | | | 15,360 | | |
Trustees fees | | | | | 4,705 | | | | | | 4,705 | | | | | | 4,705 | | | | | | 4,705 | | |
Administration fees (Note 5) | | | | | 32,500 | | | | | | 32,500 | | | | | | 32,500 | | | | | | 32,500 | | |
Other fees | | | | | 4,240 | | | | | | 4,142 | | | | | | 11,105 | | | | | | 4,818 | | |
Total Expenses before Adjustments | | | | | 155,952 | | | | | | 127,165 | | | | | | 1,281,430 | | | | | | 153,567 | | |
Less: waivers and/or reimbursements by Adviser (Note 4) | | | | | (116,219) | | | | | | (118,038) | | | | | | (132,042) | | | | | | (123,370) | | |
Total Expenses after Adjustments | | | | | 39,733 | | | | | | 9,127 | | | | | | 1,149,388 | | | | | | 30,197 | | |
Net Investment Income (Loss) | | | | | (3,402) | | | | | | 11,986 | | | | | | 705,913 | | | | | | 119,221 | | |
NET REALIZED GAIN (LOSS) FROM: | | | | | | | | | | | | | | | | | | | | | | | | | |
Transactions in Investment securities | | | | | 3,598 | | | | | | 5,872 | | | | | | 944,368 | | | | | | 97,105 | | |
In-kind redemptions of investments | | | | | — | | | | | | — | | | | | | 3,579,481 | | | | | | — | | |
Securities sold short | | | | | (59,722) | | | | | | (18,828) | | | | | | (7,526,339) | | | | | | (57,284) | | |
Expiration or closing of swap agreements | | | | | 78,493 | | | | | | (25,521) | | | | | | 963,914 | | | | | | — | | |
Net Realized Gain (Loss) | | | | | 22,369 | | | | | | (38,477) | | | | | | (2,038,576) | | | | | | 39,821 | | |
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM: | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in securities | | | | | 61,363 | | | | | | 68,332 | | | | | | 2,402,188 | | | | | | 91,456 | | |
Securities sold short | | | | | (131,116) | | | | | | (10,416) | | | | | | (2,021,836) | | | | | | (30,765) | | |
Swap agreements | | | | | (92,352) | | | | | | 31,490 | | | | | | (1,161,528) | | | | | | — | | |
Net Change in Unrealized Appreciation (Depreciation) | | | | | (162,105) | | | | | | 89,406 | | | | | | (781,176) | | | | | | 60,691 | | |
Net Realized and Unrealized Gain (Loss) | | | | | (139,736) | | | | | | 50,929 | | | | | | (2,819,752) | | | | | | 100,512 | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | $ | (143,138) | | | | | $ | 62,915 | | | | | $ | (2,113,839) | | | | | $ | 219,733 | | |
For the Period Ended December 31, 2019 (Unaudited)
| | | AGFiQ Global Infrastructure ETF | | | AGFiQ Dynamic Hedged U.S. Equity ETF | | ||||||
INVESTMENT INCOME | | | | | | | | | | | | | |
Dividend income | | | | $ | 45,003 | | | | | $ | 24,099 | | |
Dividend income from affiliates | | | | | — | | | | | | 4,093 | | |
Foreign withholding tax on dividends | | | | | (2,917) | | | | | | — | | |
Total Investment Income | | | | | 42,086 | | | | | | 28,192 | | |
EXPENSES | | | | | | | | | | | | | |
Investment management fees (Note 4) | | | | | 5,848 | | | | | | 6,035 | | |
Professional fees | | | | | 42,034 | | | | | | 41,062 | | |
Custody fees | | | | | 3,306 | | | | | | 155 | | |
Index fees | | | | | 2,511 | | | | | | 2,511 | | |
CCO fees | | | | | 5,993 | | | | | | 5,993 | | |
Treasurer fees | | | | | 3,985 | | | | | | 3,985 | | |
Listing fees | | | | | 332 | | | | | | 332 | | |
Accounting fees | | | | | 9,823 | | | | | | 9,823 | | |
Trustees fees | | | | | 4,705 | | | | | | 4,705 | | |
Administration fees (Note 5) | | | | | 19,959 | | | | | | 19,959 | | |
Other fees | | | | | 7,101 | | | | | | 3,787 | | |
Total Expenses before Adjustments | | | | | 105,597 | | | | | | 98,347 | | |
Less: waivers and/or reimbursements by Adviser (Note 4) | | | | | (99,764) | | | | | | (94,936) | | |
Total Expenses after Adjustments | | | | | 5,833 | | | | | | 3,411 | | |
Net Investment Income (Loss) | | | | | 36,253 | | | | | | 24,781 | | |
NET REALIZED GAIN (LOSS) FROM: | | | | | | | | | | | | | |
Transactions in Investment securities of Affiliated Underlying Funds | | | | | — | | | | | | 4,304 | | |
Transactions in Investment securities | | | | | (7,211) | | | | | | 3,116 | | |
Settlement of forward foreign currency exchange contracts | | | | | (74) | | | | | | — | | |
Foreign currency transactions | | | | | (392) | | | | | | — | | |
Net Realized Gain (Loss) | | | | | (7,677) | | | | | | 7,420 | | |
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM: | | | | | | | | | | | | | |
Investments in securities | | | | | 102,546 | | | | | | 196,399 | | |
Investments in Affiliated Underlying Funds | | | | | — | | | | | | 5,120 | | |
Translation of assets and liabilities denominated in foreign currencies | | | | | 55 | | | | | | — | | |
Net Change in Unrealized Appreciation (Depreciation) | | | | | 102,601 | | | | | | 201,519 | | |
Net Realized and Unrealized Gain (Loss) | | | | | 94,924 | | | | | | 208,939 | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | $ | 131,177 | | | | | $ | 233,720 | | |
| | | AGFiQ U.S. Market Neutral Momentum Fund | | | AGFiQ U.S. Market Neutral Value Fund | | ||||||||||||||||||
| | | Six Months Ended December 31, 2019 (Unaudited) | | | Year Ended June 30, 2019 | | | Six Months Ended December 31, 2019 (Unaudited) | | | Year Ended June 30, 2019 | | ||||||||||||
OPERATIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | (3,402) | | | | | $ | 5,200 | | | | | $ | 11,986 | | | | | $ | 23,936 | | |
Net realized gain (loss) | | | | | 22,369 | | | | | | 506,486 | | | | | | (38,477) | | | | | | (126,322) | | |
Net change in unrealized appreciation (depreciation) | | | | | (162,105) | | | | | | (472,650) | | | | | | 89,406 | | | | | | (59,288) | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | | (143,138) | | | | | | 39,036 | | | | | | 62,915 | | | | | | (161,674) | | |
DISTRIBUTIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributable earnings | | | | | — | | | | | | — | | | | | | (22,169) | | | | | | (8,604) | | |
Total Distributions | | | | | — | | | | | | — | | | | | | (22,169) | | | | | | (8,604) | | |
CAPITAL TRANSACTIONS(1) | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | | | | — | | | | | | 6,203,473 | | | | | | — | | | | | | — | | |
Cost of shares redeemed | | | | | — | | | | | | (12,371,559) | | | | | | — | | | | | | — | | |
Net Increase (Decrease) from Capital Transactions | | | | | — | | | | | | (6,168,086) | | | | | | — | | | | | | — | | |
Total Increase (Decrease) in Net Assets | | | | | (143,138) | | | | | | (6,129,050) | | | | | | 40,746 | | | | | | (170,278) | | |
NET ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | $ | 2,460,447 | | | | | $ | 8,589,497 | | | | | $ | 1,010,712 | | | | | $ | 1,180,990 | | |
End of Period | | | | $ | 2,317,309 | | | | | $ | 2,460,447 | | | | | $ | 1,051,458 | | | | | $ | 1,010,712 | | |
SHARE TRANSACTIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | | 100,000 | | | | | | 350,000 | | | | | | 50,000 | | | | | | 50,000 | | |
Shares issued in-kind | | | | | — | | | | | | 250,000 | | | | | | — | | | | | | — | | |
Shares redeemed in-kind | | | | | — | | | | | | (500,000) | | | | | | — | | | | | | — | | |
Shares Outstanding, End of Period | | | | | 100,000 | | | | | | 100,000 | | | | | | 50,000 | | | | | | 50,000 | | |
| | | AGFiQ U.S. Market Neutral Anti-Beta Fund | | | AGFiQ Hedged Dividend Income Fund | | ||||||||||||||||||
| | | Six Months Ended December 31, 2019 (Unaudited) | | | Year Ended June 30, 2019 | | | Six Months Ended December 31, 2019 (Unaudited) | | | Year Ended June 30, 2019 | | ||||||||||||
OPERATIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 705,913 | | | | | $ | 473,743 | | | | | $ | 119,221 | | | | | $ | 135,828 | | |
Net realized gain (loss) | | | | | (2,038,576) | | | | | | (656,745) | | | | | | 39,821 | | | | | | (21,105) | | |
Net change in unrealized appreciation (depreciation) | | | | | (781,176) | | | | | | 1,136,828 | | | | | | 60,691 | | | | | | 1,638 | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | | (2,113,839) | | | | | | 953,826 | | | | | | 219,733 | | | | | | 116,361 | | |
DISTRIBUTIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributable earnings | | | | | (1,077,142) | | | | | | (128,640) | | | | | | (128,852) | | | | | | (117,526) | | |
Total Distributions | | | | | (1,077,142) | | | | | | (128,640) | | | | | | (128,852) | | | | | | (117,526) | | |
CAPITAL TRANSACTIONS(1) | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | | | | 81,108,156 | | | | | | 87,843,626 | | | | | | — | | | | | | 2,415,200 | | |
Cost of shares redeemed | | | | | (30,393,494) | | | | | | (32,200,019) | | | | | | — | | | | | | — | | |
Net Increase (Decrease) from Capital Transactions | | | | | 50,714,662 | | | | | | 55,643,607 | | | | | | — | | | | | | 2,415,200 | | |
Total Increase (Decrease) in Net Assets | | | | | 47,523,681 | | | | | | 56,468,793 | | | | | | 90,881 | | | | | | 2,414,035 | | |
NET ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | $ | 65,492,232 | | | | | $ | 9,023,439 | | | | | $ | 4,770,366 | | | | | $ | 2,356,331 | | |
End of Period | | | | $ | 113,015,913 | | | | | $ | 65,492,232 | | | | | $ | 4,861,247 | | | | | $ | 4,770,366 | | |
SHARE TRANSACTIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | | 3,000,000 | | | | | | 450,000 | | | | | | 200,000 | | | | | | 100,000 | | |
Shares issued | | | | | 150,000 | | | | | | 450,000 | | | | | | — | | | | | | — | | |
Shares issued in-kind | | | | | 3,300,000 | | | | | | 3,600,000 | | | | | | — | | | | | | 100,000 | | |
Shares redeemed | | | | | — | | | | | | (50,000) | | | | | | — | | | | | | — | | |
Shares redeemed in-kind | | | | | (1,350,000) | | | | | | (1,450,000) | | | | | | — | | | | | | — | | |
Shares Outstanding, End of Period | | | | | 5,100,000 | | | | | | 3,000,000 | | | | | | 200,000 | | | | | | 200,000 | | |
| | | AGFiQ Global Infrastructure ETF | | | AGFiQ Dynamic Hedged U.S. Equity ETF | | ||||||||||||||||||
| | | Six Months Ended December 31, 2019 (Unaudited) | | | For the period 05/23/19* – 06/30/19 | | | Six Months Ended December 31, 2019 (Unaudited) | | | For the period 05/23/19* – 06/30/19 | | ||||||||||||
OPERATIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 36,253 | | | | | $ | 14,311 | | | | | $ | 24,781 | | | | | $ | 8,896 | | |
Net realized gain (loss) | | | | | (7,677) | | | | | | (1,186) | | | | | | 7,420 | | | | | | — | | |
Net change in unrealized appreciation (depreciation) | | | | | 102,601 | | | | | | 61,500 | | | | | | 201,519 | | | | | | 58,289 | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | | 131,177 | | | | | | 74,625 | | | | | | 233,720 | | | | | | 67,185 | | |
DISTRIBUTIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributable earnings | | | | | (48,977) | | | | | | — | | | | | | (38,385) | | | | | | — | | |
Total Distributions | | | | | (48,977) | | | | | | — | | | | | | (38,385) | | | | | | — | | |
CAPITAL TRANSACTIONS(1) | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | | | | — | | | | | | 2,500,025 | | | | | | — | | | | | | 2,500,025 | | |
Net Increase (Decrease) from Capital Transactions | | | | | — | | | | | | 2,500,025 | | | | | | — | | | | | | 2,500,025 | | |
Total Increase (Decrease) in Net Assets | | | | | 82,200 | | | | | | 2,574,650 | | | | | | 195,335 | | | | | | 2,567,210 | | |
NET ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | $ | 2,574,650 | | | | | $ | — | | | | | $ | 2,567,210 | | | | | $ | — | | |
End of Period | | | | $ | 2,656,850 | | | | | $ | 2,574,650 | | | | | $ | 2,762,545 | | | | | $ | 2,567,210 | | |
SHARE TRANSACTIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | | 100,001 | | | | | | — | | | | | | 100,001 | | | | | | — | | |
Shares issued | | | | | — | | | | | | 100,001 | | | | | | — | | | | | | 100,001 | | |
Shares Outstanding, End of Period | | | | | 100,001 | | | | | | 100,001 | | | | | | 100,001 | | | | | | 100,001 | | |
| | | PER SHARE OPERATING PERFORMANCE | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
| | | Investment Operations | | | Distributions | | | | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||||||||
| | | Net asset value, beginning of period | | | Net investment income (loss)(1) | | | Net realized and unrealized gain (loss) | | | Total investment operations | | | Net investment income | | | Net realized gains | | | Tax return of capital | | | Total distributions | | | Transaction fees(11) | | | Net asset value, end of period | | ||||||||||||||||||||||||||||||
AGFiQ U.S. Market Neutral Momentum Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the six months ended 12/31/19 (unaudited) | | | | $ | 24.60 | | | | | $ | (0.03) | | | | | $ | (1.40) | | | | | $ | (1.43) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 23.17 | | |
Year ended June 30, 2019 | | | | | 24.54 | | | | | | 0.02 | | | | | | —(10) | | | | | | 0.02(16) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 0.04 | | | | | | 24.60 | | |
Year ended June 30, 2018 | | | | | 22.41 | | | | | | (0.21) | | | | | | 2.34 | | | | | | 2.13 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | —(10) | | | | | | 24.54 | | |
Year ended June 30, 2017 | | | | | 26.73 | | | | | | (0.21) | | | | | | (4.12) | | | | | | (4.33)(16) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 0.01 | | | | | | 22.41 | | |
Year ended June 30, 2016 | | | | | 24.99 | | | | | | (0.63) | | | | | | 2.37(8) | | | | | | 1.74 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 26.73 | | |
Year ended June 30, 2015 | | | | | 24.86 | | | | | | (0.55) | | | | | | 0.68(9) | | | | | | 0.13 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 24.99 | | |
AGFiQ U.S. Market Neutral Value Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the six months ended 12/31/19 (unaudited) | | | | | 20.21 | | | | | | 0.24 | | | | | | 1.02 | | | | | | 1.26 | | | | | | (0.44) | | | | | | — | | | | | | — | | | | | | (0.44) | | | | | | — | | | | | | 21.03 | | |
Year ended June 30, 2019 | | | | | 23.62 | | | | | | 0.48 | | | | | | (3.72) | | | | | | (3.24) | | | | | | (0.17) | | | | | | — | | | | | | — | | | | | | (0.17) | | | | | | — | | | | | | 20.21 | | |
Year ended June 30, 2018 | | | | | 25.99 | | | | | | 0.16 | | | | | | (2.53) | | | | | | (2.37) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 23.62 | | |
Year ended June 30, 2017 | | | | | 23.42 | | | | | | (0.04) | | | | | | 2.60 | | | | | | 2.56(16) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 0.01 | | | | | | 25.99 | | |
Year ended June 30, 2016 | | | | | 25.96 | | | | | | (0.24) | | | | | | (2.30) | | | | | | (2.54) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 23.42 | | |
Year ended June 30, 2015 | | | | | 28.15 | | | | | | (0.39) | | | | | | (1.80)(9) | | | | | | (2.19) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 25.96 | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the six months ended 12/31/19 (unaudited) | | | | | 21.83 | | | | | | 0.16 | | | | | | 0.36(8) | | | | | | 0.52 | | | | | | (0.20) | | | | | | — | | | | | | — | | | | | | (0.20) | | | | | | 0.01 | | | | | | 22.16 | | |
Year ended June 30, 2019 | | | | | 20.05 | | | | | | 0.31 | | | | | | 1.52 | | | | | | 1.83(16) | | | | | | (0.09) | | | | | | — | | | | | | — | | | | | | (0.09) | | | | | | 0.04 | | | | | | 21.83 | | |
Year ended June 30, 2018 | | | | | 20.00 | | | | | | 0.18 | | | | | | (0.13) | | | | | | 0.05 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 20.05 | | |
Year ended June 30, 2017 | | | | | 23.30 | | | | | | (0.02) | | | | | | (3.30) | | | | | | (3.32)(16) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 0.02 | | | | | | 20.00 | | |
Year ended June 30, 2016 | | | | | 19.34 | | | | | | (0.13) | | | | | | 4.09(8) | | | | | | 3.96 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 23.30 | | |
Year ended June 30, 2015 | | | | | 19.30 | | | | | | (0.13) | | | | | | 0.17(8)(9) | | | | | | 0.04 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 19.34 | | |
AGFiQ Hedged Dividend Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the six months ended 12/31/19 (unaudited) | | | | | 23.85 | | | | | | 0.60 | | | | | | 0.50 | | | | | | 1.10 | | | | | | (0.64) | | | | | | — | | | | | | — | | | | | | (0.64) | | | | | | — | | | | | | 24.31 | | |
Year ended June 30, 2019 | | | | | 23.56 | | | | | | 1.00 | | | | | | 0.16 | | | | | | 1.16 | | | | | | (0.87) | | | | | | — | | | | | | — | | | | | | (0.87) | | | | | | —(10) | | | | | | 23.85 | | |
Year ended June 30, 2018 | | | | | 25.41 | | | | | | 0.90 | | | | | | (0.99) | | | | | | (0.09) | | | | | | (1.19) | | | | | | (0.57) | | | | | | — | | | | | | (1.76) | | | | | | — | | | | | | 23.56 | | |
Year ended June 30, 2017 | | | | | 25.43 | | | | | | 1.04 | | | | | | 0.44(8) | | | | | | 1.48(16) | | | | | | (0.91) | | | | | | (0.60) | | | | | | — | | | | | | (1.51) | | | | | | 0.01 | | | | | | 25.41 | | |
Year ended June 30, 2016 | | | | | 23.87 | | | | | | 0.86 | | | | | | 1.93 | | | | | | 2.79 | | | | | | (0.83) | | | | | | (0.40) | | | | | | — | | | | | | (1.23) | | | | | | — | | | | | | 25.43 | | |
For the period 01/15/15* – 06/30/15 | | | | | 25.00 | | | | | | 0.21 | | | | | | (1.21) | | | | | | (1.00) | | | | | | (0.13) | | | | | | — | | | | | | — | | | | | | (0.13) | | | | | | — | | | | | | 23.87 | | |
AGFiQ Global Infrastructure ETF | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the six months ended 12/31/19 (unaudited) | | | | | 25.75 | | | | | | 0.36 | | | | | | 0.95 | | | | | | 1.31 | | | | | | (0.49) | | | | | | —(10) | | | | | | — | | | | | | (0.49) | | | | | | — | | | | | | 26.57 | | |
For the period 05/23/19* – 06/30/19 | | | | | 25.00 | | | | | | 0.14 | | | | | | 0.61 | | | | | | 0.75 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 25.75 | | |
AGFiQ Dynamic Hedged U.S. Equity ETF | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the six months ended 12/31/19 (unaudited) | | | | | 25.67 | | | | | | 0.25 | | | | | | 2.09 | | | | | | 2.34 | | | | | | (0.31) | | | | | | (0.07) | | | | | | — | | | | | | (0.38) | | | | | | — | | | | | | 27.63 | | |
For the period 05/23/19* – 06/30/19 | | | | | 25.00 | | | | | | 0.09 | | | | | | 0.58 | | | | | | 0.67 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 25.67 | | |
| RATIOS/SUPPLEMENTAL DATA | | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Ratios to Average Net Assets of(2) | | | | | | | | | Total Return(3)(4) | | | | | | | | | | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||||||||
| Expenses, after waivers and/or reimbursements and before securities sold short | | | Expenses, after waivers and/or reimbursements and securities sold short | | | Expenses, before waivers and/or reimbursements and after securities sold short | | | Net investment income (loss) | | | Net investment income (loss), before waivers | | | Net investment income (loss) net of reimbursements excluding special dividends(12) | | | Net investment income (loss) per share excluding special dividends(13) | | | Net asset value(5) | | | Market value(6) | | | Portfolio turnover rate (excluding short sales)(3)(7) | | | Portfolio turnover rate (including short sales)(3)(7) | | | Ending net assets (thousands) | | ||||||||||||||||||||||||||||||||||||
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |||||
| | | 0.75% | | | | | | 3.17% | | | | | | 12.43% | | | | | | (0.27)% | | | | | | (9.54)% | | | | | | (0.27)% | | | | | $ | (0.03) | | | | | | (5.81)% | | | | | | (6.46)% | | | | | | 61% | | | | | | 133% | | | | | $ | 2,317 | | |
| | | 0.75 | | | | | | 2.62 | | | | | | 6.23 | | | | | | 0.08 | | | | | | (3.53) | | | | | | 0.08 | | | | | | 0.02 | | | | | | 0.24 | | | | | | 0.29 | | | | | | 137 | | | | | | 384 | | | | | | 2,460 | | |
| | | 0.75 | | | | | | 1.88 | | | | | | 5.81 | | | | | | (0.82) | | | | | | (4.76) | | | | | | (0.82) | | | | | | (0.21) | | | | | | 9.50 | | | | | | 9.41 | | | | | | 184 | | | | | | 402 | | | | | | 8,589 | | |
| | | 0.99 | | | | | | 2.31 | | | | | | 10.55 | | | | | | (0.90) | | | | | | (9.14) | | | | | | (1.02) | | | | | | (0.24) | | | | | | (16.16) | | | | | | (16.12) | | | | | | 172 | | | | | | 380 | | | | | | 2,241 | | |
| | | 1.49 | | | | | | 3.67 | | | | | | 7.77 | | | | | | (2.34) | | | | | | (6.44) | | | | | | (2.37) | | | | | | (0.63) | | | | | | 6.96 | | | | | | 7.01 | | | | | | 210 | | | | | | 647 | | | | | | 4,009 | | |
| | | 1.49 | | | | | | 3.43 | | | | | | 22.80 | | | | | | (2.24) | | | | | | (21.62) | | | | | | (2.24) | | | | | | (0.55) | | | | | | 0.52(9) | | | | | | 0.36 | | | | | | 196 | | | | | | 398 | | | | | | 1,250 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |||||
| | | 0.75 | | | | | | 1.78 | | | | | | 24.83 | | | | | | 2.34 | | | | | | (20.70) | | | | | | 2.34 | | | | | $ | 0.24 | | | | | | 6.26 | | | | | | 5.96 | | | | | | 19 | | | | | | 49 | | | | | | 1,051 | | |
| | | 0.75 | | | | | | 1.91 | | | | | | 24.39 | | | | | | 2.16 | | | | | | (20.32) | | | | | | 2.16 | | | | | | 0.48 | | | | | | (13.69) | | | | | | (13.73) | | | | | | 59 | | | | | | 123 | | | | | | 1,011 | | |
| | | 0.75 | | | | | | 1.12 | | | | | | 18.34 | | | | | | 0.63 | | | | | | (16.60) | | | | | | 0.61 | | | | | | 0.15 | | | | | | (9.12) | | | | | | (9.19) | | | | | | 81 | | | | | | 152 | | | | | | 1,181 | | |
| | | 0.97 | | | | | | 2.09 | | | | | | 12.00 | | | | | | (0.15) | | | | | | (10.06) | | | | | | (0.15) | | | | | | (0.04) | | | | | | 10.97 | | | | | | 11.11 | | | | | | 79 | | | | | | 246 | | | | | | 1,300 | | |
| | | 1.49 | | | | | | 3.05 | | | | | | 10.14 | | | | | | (0.95) | | | | | | (8.03) | | | | | | (0.97) | | | | | | (0.24) | | | | | | (9.78) | | | | | | (10.38) | | | | | | 95 | | | | | | 195 | | | | | | 2,342 | | |
| | | 1.49 | | | | | | 3.20 | | | | | | 11.72 | | | | | | (1.45) | | | | | | (9.96) | | | | | | (1.45) | | | | | | (0.39) | | | | | | (7.78)(9) | | | | | | (7.41) | | | | | | 150 | | | | | | 351 | | | | | | 2,596 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |||||
| | | 0.45 | | | | | | 2.27 | | | | | | 2.53 | | | | | | 1.39 | | | | | | 1.13 | | | | | | 1.39 | | | | | $ | 0.16 | | | | | | 2.41 | | | | | | 2.04 | | | | | | 31 | | | | | | 116 | | | | | | 113,016 | | |
| | | 0.50 | | | | | | 2.16 | | | | | | 2.94 | | | | | | 1.45 | | | | | | 0.67 | | | | | | 1.42 | | | | | | 0.30 | | | | | | 9.30 | | | | | | 9.66 | | | | | | 116 | | | | | | 341 | | | | | | 65,492 | | |
| | | 0.75 | | | | | | 1.06 | | | | | | 3.39 | | | | | | 0.93 | | | | | | (1.41) | | | | | | 0.93 | | | | | | 0.18 | | | | | | 0.25 | | | | | | 0.20 | | | | | | 166 | | | | | | 347 | | | | | | 9,023 | | |
| | | 0.84 | | | | | | 2.02 | | | | | | 3.60 | | | | | | (0.07) | | | | | | (1.66) | | | | | | (0.17) | | | | | | (0.04) | | | | | | (14.16) | | | | | | (14.16) | | | | | | 98 | | | | | | 273 | | | | | | 10,000 | | |
| | | 0.99 | | | | | | 2.71 | | | | | | 3.13 | | | | | | (0.61) | | | | | | (1.03) | | | | | | (0.84) | | | | | | (0.18) | | | | | | 20.48 | | | | | | 20.48 | | | | | | 168 | | | | | | 974 | | | | | | 26,793 | | |
| | | 0.99 | | | | | | 2.39 | | | | | | 8.01 | | | | | | (0.65) | | | | | | (6.27) | | | | | | (0.68) | | | | | | (0.14) | | | | | | (0.21)(9) | | | | | | 0.78 | | | | | | 123 | | | | | | 577 | | | | | | 3,868 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |||||
| | | 0.45 | | | | | | 1.24 | | | | | | 6.31 | | | | | | 4.90 | | | | | | (0.17) | | | | | | 4.90 | | | | | $ | 0.60 | | | | | | 4.65 | | | | | | 4.26 | | | | | | 62 | | | | | | 85 | | | | | | 4,861 | | |
| | | 0.55 | | | | | | 1.16 | | | | | | 8.99 | | | | | | 4.17 | | | | | | (3.66) | | | | | | 4.15 | | | | | | 1.00 | | | | | | 5.02 | | | | | | 5.28 | | | | | | 132 | | | | | | 185 | | | | | | 4,770 | | |
| | | 0.75 | | | | | | 1.00 | | | | | | 3.98 | | | | | | 3.60 | | | | | | 0.62 | | | | | | 3.53 | | | | | | 0.88 | | | | | | (0.26) | | | | | | (0.39) | | | | | | 100 | | | | | | 141 | | | | | | 2,356 | | |
| | | 0.79 | | | | | | 1.16 | | | | | | 3.73 | | | | | | 4.04 | | | | | | 1.47 | | | | | | 4.04 | | | | | | 1.04 | | | | | | 5.88 | | | | | | 6.05 | | | | | | 108 | | | | | | 168 | | | | | | 11,434 | | |
| | | 0.99 | | | | | | 1.75 | | | | | | 5.31 | | | | | | 3.61 | | | | | | 0.06 | | | | | | 3.60 | | | | | | 0.85 | | | | | | 12.21 | | | | | | 11.84 | | | | | | 130 | | | | | | 192 | | | | | | 3,815 | | |
| | | 0.99 | | | | | | 1.81 | | | | | | 8.14 | | | | | | 1.89 | | | | | | (4.43) | | | | | | 1.89 | | | | | | 0.21 | | | | | | (4.02) | | | | | | (3.74) | | | | | | 50 | | | | | | 74 | | | | | | 3,581 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |||||
| | | 0.45 | | | | | | 0.45 | | | | | | 8.15 | | | | | | 2.80 | | | | | | (4.90) | | | | | | 2.80 | | | | | $ | 0.36 | | | | | | 5.12 | | | | | | 5.36 | | | | | | 18 | | | | | | 18 | | | | | | 2,657 | | |
| | | 0.45(14) | | | | | | 0.45(14) | | | | | | 16.91(14) | | | | | | 5.28 | | | | | | (11.19) | | | | | | 5.28 | | | | | | 0.14 | | | | | | 3.00 | | | | | | 3.00 | | | | | | — | | | | | | — | | | | | | 2,575 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |||||
| | | 0.25 | | | | | | 0.25 | | | | | | 7.35 | | | | | | 1.85 | | | | | | (5.24) | | | | | | 1.85 | | | | | $ | 0.25 | | | | | | 9.13 | | | | | | 9.12 | | | | | | 10 | | | | | | 10 | | | | | | 2,763 | | |
| | | 0.36(15) | | | | | | 0.36(15) | | | | | | 15.05(15) | | | | | | 3.30 | | | | | | (11.38) | | | | | | 3.30 | | | | | | 0.09 | | | | | | 2.68 | | | | | | 2.72 | | | | | | — | | | | | | — | | | | | | 2,567 | | |
Notes to Financial Statements
December 31, 2019 (Unaudited)
| | | Level 1 – Quoted Prices | | | Level 2 – Other Significant Observable Inputs | | | Level 3 – Significant Unobservable Inputs | | | Total | | ||||||||||||
AGFiQ U.S. Market Neutral Momentum Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | 2,131,898 | | | | | $ | — | | | | | $ | — | | | | | $ | 2,131,898 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | (2,214,103) | | | | | $ | — | | | | | $ | — | | | | | $ | (2,214,103) | | |
Total Investments | | | | $ | (82,205) | | | | | $ | — | | | | | $ | — | | | | | $ | (82,205) | | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | ��� | | | | | | | | | | | | | | |
Swap Agreements** | | | | $ | — | | | | | $ | 10,713 | | | | | $ | — | | | | | $ | 10,713 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap Agreements** | | | | $ | — | | | | | $ | (27,007) | | | | | $ | — | | | | | $ | (27,007) | | |
Total Other Financial Instruments | | | | $ | — | | | | | $ | (16,294) | | | | | $ | — | | | | | $ | (16,294) | | |
AGFiQ U.S. Market Neutral Value Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | 966,973 | | | | | $ | — | | | | | $ | — | | | | | $ | 966,973 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | (890,799) | | | | | $ | — | | | | | $ | — | | | | | $ | (890,799) | | |
Total Investments | | | | $ | 76,174 | | | | | $ | — | | | | | $ | — | | | | | $ | 76,174 | | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap Agreements** | | | | $ | — | | | | | $ | 11,577 | | | | | $ | — | | | | | $ | 11,577 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap Agreements** | | | | $ | — | | | | | $ | (7,889) | | | | | $ | — | | | | | $ | (7,889) | | |
Total Other Financial Instruments | | | | $ | — | | | | | $ | 3,688 | | | | | $ | — | | | | | $ | 3,688 | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | 102,911,848 | | | | | $ | — | | | | | $ | — | | | | | $ | 102,911,848 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | (106,405,896) | | | | | $ | — | | | | | $ | — | | | | | $ | (106,405,896) | | |
Total Investments | | | | $ | (3,494,048) | | | | | $ | — | | | | | $ | — | | | | | $ | (3,494,048) | | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap Agreements** | | | | $ | — | | | | | $ | 679,507 | | | | | $ | — | | | | | $ | 679,507 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap Agreements** | | | | $ | — | | | | | $ | (1,221,899) | | | | | $ | — | | | | | $ | (1,221,899) | | |
Total Other Financial Instruments | | | | $ | — | | | | | $ | (542,392) | | | | | $ | — | | | | | $ | (542,392) | | |
| | | Level 1 – Quoted Prices | | | Level 2 – Other Significant Observable Inputs | | | Level 3 – Significant Unobservable Inputs | | | Total | | ||||||||||||
AGFiQ Hedged Dividend Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | 4,773,107 | | | | | $ | — | | | | | $ | — | | | | | $ | 4,773,107 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | (2,381,092) | | | | | $ | — | | | | | $ | — | | | | | $ | (2,381,092) | | |
Total Investments | | | | $ | 2,392,015 | | | | | $ | — | | | | | $ | — | | | | | $ | 2,392,015 | | |
AGFiQ Global Infrastructure ETF | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | 2,654,518 | | | | | $ | — | | | | | $ | — | | | | | $ | 2,654,518 | | |
Exchange Traded Funds | | | | | 9,577 | | | | | | — | | | | | | — | | | | | | 9,577 | | |
Total Investments | | | | $ | 2,664,095 | | | | | $ | — | | | | | $ | — | | | | | $ | 2,664,095 | | |
AGFiQ Dynamic Hedged U.S. Equity ETF | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | | | | | | | | | | | | | | | | | |
Exchange Traded Funds | | | | $ | 2,771,738 | | | | | $ | — | | | | | $ | — | | | | | $ | 2,771,738 | | |
Total Investments | | | | $ | 2,771,738 | | | | | $ | — | | | | | $ | — | | | | | $ | 2,771,738 | | |
The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to a Fund’s NAV than the uncertainties surrounding inputs for a non-derivative security with the same market value.
Fund | | | Average Contract Long | | | Average Contract Short | | ||||||
AGFiQ U.S. Market Neutral Momentum Fund | | | | $ | 266,812 | | | | | $ | (252,224) | | |
AGFiQ U.S. Market Neutral Value Fund | | | | | 118,545 | | | | | | (138,798) | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | 11,864,076 | | | | | | (11,078,519) | | |
Fair Value of Derivative Instruments as of December 31, 2019 | | ||||||||||||||||||
Fund | | | Derivatives not accounted for as hedging instruments under ASC 815 | | | Location | | | Assets Value | | | Liabilities Value | | ||||||
AGFiQ U.S. Market Neutral Momentum Fund | | | Swap agreements | | | Statements of Assets and Liabilities | | | | $ | 10,713 | | | | | $ | 27,007 | | |
AGFiQ U.S. Market Neutral Value Fund | | | | | | | | | | | 11,577 | | | | | | 7,889 | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | | | | | | | 679,507 | | | | | | 1,221,899 | | |
The Effect of Derivative Instruments on the Statements of Operations as of December 31, 2019 | | |||||||||||||||
Fund | | | Derivatives not accounted for as hedging instruments under ASC 815 | | | Realized Gain or (Loss) on Derivatives | | | Change in Unrealized Appreciation or (Depreciation) on Derivatives | | ||||||
AGFiQ U.S. Market Neutral Momentum Fund | | | Swap agreements | | | | $ | 78,493 | | | | | $ | (92,352) | | |
AGFiQ U.S. Market Neutral Value Fund | | | | | | | | (25,521) | | | | | | 31,490 | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | | | | 963,914 | | | | | | (1,161,528) | | |
Fund | | | Management Fees Waived | | | Expense Reimbursements | | ||||||
AGFiQ U.S. Market Neutral Momentum Fund | | | | $ | 6,291 | | | | | $ | 109,928 | | |
AGFiQ U.S. Market Neutral Value Fund | | | | | 2,568 | | | | | | 115,470 | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | 132,042 | | | | | | — | | |
AGFiQ Hedged Dividend Income Fund | | | | | 10,973 | | | | | | 112,397 | | |
AGFiQ Global Infrastructure ETF | | | | | 5,848 | | | | | | 93,916 | | |
AGFiQ Dynamic Hedged U.S. Equity ETF | | | | | 6,035 | | | | | | 88,901 | | |
Fund | | | Expires June 30, | | | Total Eligible for Recoupment | | ||||||||||||||||||||||||
| 2020 | | | 2021 | | | 2022 | | | 2023 | | ||||||||||||||||||||
AGFiQ U.S. Market Neutral Momentum Fund | | | | $ | 95,873 | | | | | $ | 214,161 | | | | | $ | 242,138 | | | | | $ | 116,219 | | | | | $ | 668,391 | | |
AGFiQ U.S. Market Neutral Value Fund | | | | | 102,168 | | | | | | 215,970 | | | | | | 249,332 | | | | | | 118,038 | | | | | | 685,508 | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | 90,229 | | | | | | 208,882 | | | | | | 255,129 | | | | | | 132,042 | | | | | | 686,282 | | |
AGFiQ Hedged Dividend Income Fund | | | | | 91,345 | | | | | | 210,337 | | | | | | 255,140 | | | | | | 123,370 | | | | | | 680,192 | | |
AGFiQ Global Infrastructure ETF | | | | | — | | | | | | — | | | | | | 44,646 | | | | | | 99,764 | | | | | | 144,410 | | |
AGFiQ Dynamic Hedged U.S. Equity ETF | | | | | — | | | | | | — | | | | | | 39,362 | | | | | | 92,327 | | | | | | 131,689 | | |
Fund | | | 2020 | | | 2021 | | ||||||
AGFiQ U.S. Market Neutral Momentum Fund | | | | $ | (2,500) | | | | | $ | (1,000) | | |
AGFiQ U.S. Market Neutral Value Fund | | | | | (4,000) | | | | | | (1,000) | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | — | | | | | | (1,000) | | |
Fund | | | Six Months Ended December 31, 2019 | | |||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 51,267 | | |
| | | Purchases | | | Sales | | ||||||||||||||||||
Fund | | | Long | | | Short Covers | | | Long | | | Short | | ||||||||||||
AGFiQ U.S. Market Neutral Momentum Fund | | | | $ | 1,458,445 | | | | | $ | 1,901,543 | | | | | $ | 1,837,496 | | | | | $ | 1,352,817 | | |
AGFiQ U.S. Market Neutral Value Fund | | | | | 179,884 | | | | | | 297,888 | | | | | | 243,387 | | | | | | 214,312 | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | 28,701,061 | | | | | | 77,309,564 | | | | | | 37,959,970 | | | | | | 107,857,822 | | |
AGFiQ Hedged Dividend Income Fund | | | | | 2,928,391 | | | | | | 1,087,068 | | | | | | 3,023,328 | | | | | | 1,040,806 | | |
AGFiQ Global Infrastructure ETF | | | | | 488,769 | | | | | | — | | | | | | 464,963 | | | | | | — | | |
AGFiQ Dynamic Hedged U.S. Equity ETF | | | | | 284,565 | | | | | | — | | | | | | 271,326 | | | | | | — | | |
Fund | | | Value | | | Realized Gain | | ||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 28,598,567 | | | | | $ | 3,579,481 | | |
Fund | | | Value | | |||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 70,250,938 | | |
December 31, 2019
December 31, 2019
| | | Beginning Account Value 07/01/19 | | | Ending Account Value 12/31/19 | | | Expenses Paid During the Period* | | | Annualized Expense Ratio During Period | | ||||||||||||
AGFiQ U.S. Market Neutral Momentum Fund | | ||||||||||||||||||||||||
Actual | | | | $ | 1,000.00 | | | | | $ | 941.90 | | | | | $ | 15.47 | | | | | | 3.17% | | |
Hypothetical | | | | $ | 1,000.00 | | | | | $ | 1,009.20 | | | | | $ | 16.01 | | | | | | 3.17% | | |
AGFiQ U.S. Market Neutral Value Fund | | ||||||||||||||||||||||||
Actual | | | | $ | 1,000.00 | | | | | $ | 1,062.60 | | | | | $ | 9.23 | | | | | | 1.78% | | |
Hypothetical | | | | $ | 1,000.00 | | | | | $ | 1,016.19 | | | | | $ | 9.02 | | | | | | 1.78% | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | ||||||||||||||||||||||||
Actual | | | | $ | 1,000.00 | | | | | $ | 1,024.10 | | | | | $ | 11.55 | | | | | | 2.27% | | |
Hypothetical | | | | $ | 1,000.00 | | | | | $ | 1,013.72 | | | | | $ | 11.49 | | | | | | 2.27% | | |
AGFiQ Hedged Dividend Income Fund | | ||||||||||||||||||||||||
Actual | | | | $ | 1,000.00 | | | | | $ | 1,046.50 | | | | | $ | 6.38 | | | | | | 1.24% | | |
Hypothetical | | | | $ | 1,000.00 | | | | | $ | 1,018.90 | | | | | $ | 6.29 | | | | | | 1.24% | | |
AGFiQ Global Infrastructure ETF(a) | | ||||||||||||||||||||||||
Actual | | | | $ | 1,000.00 | | | | | $ | 1,051.20 | | | | | $ | 2.32 | | | | | | 0.45% | | |
Hypothetical | | | | $ | 1,000.00 | | | | | $ | 1,022.87 | | | | | $ | 2.29 | | | | | | 0.45% | | |
AGFiQ Dynamic Hedged U.S. Equity ETF(b) | | ||||||||||||||||||||||||
Actual | | | | $ | 1,000.00 | | | | | $ | 1,091.30 | | | | | $ | 1.31 | | | | | | 0.25% | | |
Hypothetical | | | | $ | 1,000.00 | | | | | $ | 1,023.88 | | | | | $ | 1.27 | | | | | | 0.25% | | |
Boston, MA 02109
www.AGFiQ.com
Foreside Fund Services, LLC
3 Canal Plaza, Suite 100
Item 2. Code of Ethics.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 3. Audit Committee Financial Expert.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 4. Principal Accountant Fees and Services.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable to the Registrant.
Item 6. Investments
(a) | Schedule I – Investments in Securities of Unaffiliated Issuers |
Not applicable. The complete schedule of investments is included in Item 1 of this Form N-CSR.
(b) | Securities Divested of in accordance with Section 13(c) of the Investment Company Act of 1940. |
The Registrant made no divestments of securities in accordance with Section 13(c) of the Investment Company Act of 1940.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote Of Security Holders.
The Registrant did not have in place procedures by which shareholders may recommend nominees to the Registrant’s board of trustees.
Item 11. Controls and Procedures.
(a) | The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
(b) | There were no changes in the Registrant’s internal control over financial reporting that occurred during the period covered by this report that have materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 13. Exhibits.
(a) | File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. |
(a)(1) | Not required for this filing. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not applicable. |
(a)(4) | A change in the registrant’s independent public accountant – Not applicable |
(b) | Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
AGF Investments Trust
By:/s/William H. DeRoche
President
March 9, 2020
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By:/s/William H. DeRoche
William H. DeRoche
President
March 9, 2020
By:/s/Joshua Hunter
Joshua Hunter
Principal Financial Officer and Treasurer
March 9, 2020