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, 2020
Item 1. Reports to Stockholders.
| (a) | 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). |
Semi-Annual Report
December 31, 2020
Before investing you should carefully consider a Fund’s investment objectives, risks, charges and expenses. This and other information is in the prospectus, which can be obtained by visiting www.AGFiQ.com. Please read the prospectus carefully before you invest.
Risks: There is no guarantee that a Fund will achieve its objective. Investing involves risk, including possible loss of principal. There is a risk that during a “bull” market, when most equity securities and long only Exchange Traded Funds (“ETFs”) are increasing in value, a Fund’s short positions will likely cause a Fund to underperform the overall U.S. equity market and such ETFs. These securities may be more volatile than a broad cross-section of securities, and momentum may be an indicator that a security’s price is peaking. The value of an investment in a Fund may fall, sometimes sharply, and you could lose money by investing in a Fund. A Fund may utilize derivatives and, as a result, the Fund could lose more than the amount it invests. When utilizing short selling, the amount a Fund could lose on a short sale is potentially unlimited because there is no limit on the price a shorted security might attain. For further risk information on each Fund, please read the prospectus.
AGFiQ Dynamic Hedged U.S. Equity ETF (USHG) specific risks: The Fund’s hedging strategies against declines in security prices, financial markets, exchange rates and interest rates may not be successful, and even if they are successful, the Fund’s exposure to a certain risk may not be fully hedged at all times and the Fund may still lose money on a hedged position. The risks of investing in securities of ETFs typically reflect the risks of the types of instruments in which the underlying ETF invests. To the extent the Fund invests significantly in the AGFiQ U.S. Market Neutral Anti-Beta Fund, which is also managed by the Adviser (the “Market Neutral ETF”), or similar lower beta ETFs available in the marketplace, it will be subject to the following risks, among others, applicable to investing in the Market Neutral ETF: There is a risk that during a “bull” market, when most equity securities and long-only ETFs are increasing in value, the Market Neutral ETF’s short positions will likely cause the Market Neutral ETF to underperform the overall U.S. equity market and long-only ETFs. These securities may be more volatile than a broad cross-section of securities, and momentum may be an indicator that a security’s price is peaking. The value of an investment in the Market Neutral ETF may fall, sometimes sharply, and you could lose money by investing in the fund. The Market Neutral ETF may utilize derivatives and as a result, the Market Neutral ETF could lose more that the amount it invests. When utilizing short selling the amount the Market Neutral ETF could lose on a short sale is potentially unlimited because there is no limit on the price a shorted security might attain.
AGFiQ Global Infrastructure ETF (GLIF) specific risks: The Fund’s investments in infrastructure-related securities will expose the Fund to potential adverse economic, regulatory, political, legal and other changes affecting such investments. Rising interest rates could lead to higher financing costs and reduced earnings for infrastructure companies. Investments in foreign securities involve risks that differ from investments in securities of U.S. issuers because of unique political, economic and market conditions. Investments in securities of issuers located in emerging market economies (including frontier market economies) are generally riskier than investments in securities of issuers from more developed economies. Investing in securities that trade in and receive revenues in foreign currencies creates risk because foreign currencies may decline relative to the U.S. dollar, resulting in a potential loss to the Fund.
Shares of AGFiQ ETFs are bought and sold at market price (not net assets value (“NAV”), as defined below) and are not individually redeemed from a Fund. Brokerage commissions will reduce returns. Market Price (as defined below) returns are based upon the midpoint of the bid/ask spread at 4:00 PM Eastern time (when NAV is normally determined), and do not represent the returns you would receive if you traded shares at other times. Fund returns assume that dividends and capital gains distributions have been reinvested in a Fund at NAV. Some performance results reflect expense subsidies and waivers in effect during certain periods shown. Absent these waivers, results would have been less favorable.
Beta is a measure of an asset’s sensitivity to an underlying index. Long is purchasing a stock with the expectation that it is going to rise in value. Short is selling stock with the expectation of profiting by buying it back later at a lower price. Spread Return is the return earned between the long and short portfolios within each ETF. One cannot invest directly in an index.
Shares are not individually redeemable and can be redeemed only in Creation Units, and the purchase and sale price of individual Shares trading on an Exchange may be below, at, or above the most recently calculated NAV for such Shares.
Distributor: Foreside Fund Services, LLC
Table of Contents
Each Fund invests in certain securities long and certain securities short pursuant to its Target Index, and the performance of a Fund depends on the difference in the rates of return (i.e., the spread return) between the long positions and the short positions. If the long positions appreciate more or decline less than the short positions, then a Fund will generate a positive return. If the long positions appreciate less or decline more than the short positions, however, a Fund will generate a negative return.
The “U.S. Market Neutral IndicesSM” are a product of Dow Jones Indexes, the marketing name and a licensed trademark of CME Group Index Services LLC (“CME”), and have been licensed for use. “Dow Jones®”, “U.S. Market Neutral IndicesSM” and “Dow Jones Indexes” are service marks of Dow Jones Trademark Holdings, LLC (“Dow Jones”) and have been licensed for use for certain purposes by AGF Investments LLC (“Licensee”). The Funds based on the U.S. Market Neutral IndicesSM are not sponsored, endorsed, sold or promoted by Dow Jones, CME or their respective affiliates. Dow Jones, CME and their respective affiliates make no representation or warranty, express or implied, to the owners of the Funds or any member of the public regarding the advisability of trading in the Funds. Dow Jones’, CME’s and their respective affiliates’ only relationship to the Licensee is the licensing of certain trademarks and trade names of Dow Jones and of the “U.S. Market Neutral IndicesSM” which is determined, composed and calculated by CME without regard to the Licensee or the Funds. Dow Jones and CME have no obligation to take the needs of the Licensee or the owners of the Funds into consideration in determining, composing or calculating “U.S. Market Neutral IndicesSM”. Dow Jones, CME and their respective affiliates are not responsible for and have not participated in the determination of the timing of, prices at, or quantities of the Funds to be sold or in the determination or calculation of the equation by which the Funds are to be converted into cash. Dow Jones, CME and their respective affiliates have no obligation or liability in connection with the administration, marketing or trading of the Funds. Notwithstanding the foregoing, CME Group Inc. and its affiliates may independently issue and/or sponsor financial products unrelated to the Funds currently being issued by the Licensee, but which may be similar to and competitive with the Funds. In addition, CME Group Inc. and its affiliates may trade financial products which are linked to the performance of the “U.S. Market Neutral IndicesSM”. It is possible that this trading activity will affect the value of the “U.S. Market Neutral IndicesSM” and the Funds.
DOW JONES, CME AND THEIR RESPECTIVE AFFILIATES DO NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE U.S. MARKET NEUTRAL INDICESSM OR ANY DATA INCLUDED THEREIN AND DOW JONES, CME AND THEIR RESPECTIVE AFFILIATES SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN. DOW JONES, CME AND THEIR RESPECTIVE AFFILIATES MAKE NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE LICENSEE, OWNERS OF THE FUNDS, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE U.S. MARKET NEUTRAL INDICESSM OR ANY DATA INCLUDED THEREIN. DOW JONES, CME AND THEIR RESPECTIVE AFFILIATES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY, NON-INFRINGEMENT OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE U.S. MARKET NEUTRAL INDICESSM OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL DOW JONES, CME OR THEIR RESPECTIVE AFFILIATES HAVE ANY LIABILITY FOR ANY LOST PROFITS OR INDIRECT, PUNITIVE, SPECIAL OR CONSEQUENTIAL DAMAGES OR LOSSES, EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN CME AND THE LICENSEE, OTHER THAN THE LICENSORS OF CME.
The Indxx Hedged Dividend Income IndexSM is a product of Indxx, LLC and has been licensed for use. The AGFiQ Hedged Dividend Income Fund ("ETF") and its common shares are not sponsored, endorsed, sold or promoted by Indxx, LLC. Indxx, LLC makes no representation or warranty, express or implied, to the shareholders of the ETF or any member of the public regarding the advisability of investing in securities generally or in the ETF particularly or the ability of any data supplied by Indxx, LLC to track general stock market performance. Indxx, LLC's only relationship to the ETF is the licensing of certain trademarks and trade names of Indxx, LLC and of the data supplied by Indxx, LLC which is determined, composed and calculated by Indxx, LLC without regard to the ETF or its common shares. Indxx, LLC has no obligation to take the needs of the Adviser or the shareholders of the ETF into consideration in determining, composing or calculating the data supplied by Indxx, LLC. Indxx, LLC is not responsible for and has not participated in the determination of the prices of the common shares of the ETF or the timing of the issuance or sale of such common shares. Indxx, LLC has no obligation or liability in connection with the administration, marketing or trading of the ETF or its common shares.
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AGF Investments Trust
Allocation of Portfolio Holdings and Industries
December 31, 2020 (Unaudited)
AGFiQ U.S. Market Neutral Momentum Fund (MOM)
The Fund seeks performance results that correspond to the price and yield performance, before fees and expenses, of the Dow Jones U.S. Thematic Market Neutral Momentum Index (the “Target Momentum Index”) by investing at least 80% of its net assets (plus any borrowings for investment purposes) in common stock of the long positions in the Target Momentum Index and selling short at least 80% of the short positions in the Target Momentum Index. The Target Momentum Index is a long/short market neutral index that is dollar-neutral. As such, it identifies long and short securities positions of approximately equal dollar amounts. In choosing to track a market neutral index, the Fund seeks to limit the effects of general market movements on the Fund.
Market Exposure
| Investment Type | | | % of Net
Assets | |
| Equity Securities Long Positions | | | | | 89% | | |
| Equity Securities Short Positions | | | | | -97% | | |
| Swap Agreements Long Positions | | | | | 19% | | |
| Swap Agreements Short Positions | | | | | -14% | | |
“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings — Long
| Company | | | % of Net
Assets | |
| Peloton Interactive, Inc. | | | | | 0.6% | | |
| Crowdstrike Holdings, Inc. | | | | | 0.6% | | |
| Zscaler, Inc. | | | | | 0.6% | | |
| RingCentral, Inc. | | | | | 0.6% | | |
| MongoDB, Inc. | | | | | 0.6% | | |
| Chewy, Inc. | | | | | 0.6% | | |
| Tesla, Inc. | | | | | 0.6% | | |
| Chegg, Inc. | | | | | 0.6% | | |
| Enphase Energy, Inc. | | | | | 0.5% | | |
| Etsy, Inc. | | | | | 0.5% | | |
Largest Equity Holdings — Short
| Company | | | % of Net
Assets | |
| FireEye, Inc. | | | | | -0.7% | | |
| Proofpoint, Inc. | | | | | -0.7% | | |
| Pluralsight, Inc. | | | | | -0.6% | | |
| Cargurus, Inc. | | | | | -0.6% | | |
| Nielsen Holdings plc | | | | | -0.6% | | |
| Lyft, Inc. | | | | | -0.6% | | |
| Coherent, Inc. | | | | | -0.6% | | |
| Kohl’s Corp. | | | | | -0.6% | | |
| Western Digital Corp. | | | | | -0.6% | | |
| Illumina, Inc. | | | | | -0.6% | | |
| Sector Weightings | | | % of
Long
Weight | | | % of
Short
Weight | |
| Communication Services | | | | | 4.15% | | | | | | -4.05% | | |
| Consumer Discretionary | | | | | 12.26% | | | | | | -11.91% | | |
| Consumer Staples | | | | | 4.82% | | | | | | -4.87% | | |
| Energy | | | | | 3.16% | | | | | | -3.41% | | |
| Financials | | | | | 14.58% | | | | | | -14.21% | | |
| Health Care | | | | | 12.81% | | | | | | -12.80% | | |
| Industrials | | | | | 13.07% | | | | | | -13.28% | | |
| Information Technology | | | | | 18.15% | | | | | | -18.15% | | |
| Materials | | | | | 5.40% | | | | | | -5.44% | | |
| Real Estate | | | | | 6.87% | | | | | | -7.02% | | |
| Utilities | | | | | 4.73% | | | | | | -4.86% | | |
AGF Investments Trust
Allocation of Portfolio Holdings and Industries
December 31, 2020 (Unaudited)
AGFiQ U.S. Market Neutral Anti-Beta Fund (BTAL)
The Fund seeks performance results that correspond to the price and yield performance, before fees and expenses, of the Dow Jones U.S. Thematic Market Neutral Anti-Beta Index (the “Target Anti-Beta Index”) by investing at least 80% of its net assets (plus any borrowings for investment purposes) in common stock of the long positions in the Target Anti-Beta Index and selling short at least 80% of the short positions in the Target Anti-Beta Index. The Target Anti-Beta Index is a long/short market neutral index that is dollar-neutral. As such, it identifies long and short securities positions of approximately equal dollar amounts. In choosing to track a market neutral index, the Fund seeks to limit the effects of general market movements on the Fund.
Market Exposure
| Investment Type | | | % of Net
Assets | |
| Equity Securities Long Positions | | | | | 91% | | |
| Equity Securities Short Positions | | | | | -93% | | |
| Swap Agreements Long Positions | | | | | 16% | | |
| Swap Agreements Short Positions | | | | | -16% | | |
“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings — Long
| Company | | | % of Net
Assets | |
| Crowdstrike Holdings, Inc. | | | | | 0.6% | | |
| Peloton Interactive, Inc. | | | | | 0.6% | | |
| Zscaler, Inc. | | | | | 0.6% | | |
| MongoDB, Inc. | | | | | 0.6% | | |
| RingCentral, Inc. | | | | | 0.6% | | |
| Smartsheet, Inc. | | | | | 0.6% | | |
| Alexion Pharmaceuticals, Inc. | | | | | 0.6% | | |
| Amedisys, Inc. | | | | | 0.6% | | |
| Nielsen Holdings plc | | | | | 0.5% | | |
| Fortinet, Inc. | | | | | 0.5% | | |
Largest Equity Holdings — Short
| Company | | | % of Net
Assets | |
| Pluralsight, Inc. | | | | | -0.6% | | |
| Enphase Energy, Inc. | | | | | -0.6% | | |
| Lyft, Inc. | | | | | -0.6% | | |
| Coherent, Inc. | | | | | -0.5% | | |
| Kohl’s Corp. | | | | | -0.5% | | |
| Western Digital Corp. | | | | | -0.5% | | |
| Zillow Group, Inc. | | | | | -0.5% | | |
| Tenet Healthcare Corp. | | | | | -0.5% | | |
| Darling Ingredients, Inc. | | | | | -0.5% | | |
| NRG Energy, Inc. | | | | | -0.5% | | |
| Sector Weightings | | | % of
Long
Weight | | | % of
Short
Weight | |
| Communication Services | | | | | 4.42% | | | | | | -3.61% | | |
| Consumer Discretionary | | | | | 11.71% | | | | | | -11.48% | | |
| Consumer Staples | | | | | 4.77% | | | | | | -5.06% | | |
| Energy | | | | | 3.07% | | | | | | -3.51% | | |
| Financials | | | | | 14.51% | | | | | | -14.62% | | |
| Health Care | | | | | 12.86% | | | | | | -12.84% | | |
| Industrials | | | | | 13.09% | | | | | | -13.27% | | |
| Information Technology | | | | | 18.24% | | | | | | -18.05% | | |
| Materials | | | | | 5.35% | | | | | | -5.52% | | |
| Real Estate | | | | | 7.42% | | | | | | -7.35% | | |
| Utilities | | | | | 4.56% | | | | | | -4.69% | | |
AGF Investments Trust
Allocation of Portfolio Holdings and Industries
December 31, 2020 (Unaudited)
AGFiQ Hedged Dividend Income Fund (DIVA)
The Fund seeks performance results that correspond to the price and yield performance, before fees and expenses, of the Indxx Hedged Dividend Income Index (the “Target High Dividend Index”) by investing at least 80% of its net assets (plus borrowings for investment purposes) in common stock of the long positions in the Target High Dividend Index and selling short at least 80% of the short positions in the Target High Dividend Index. The Target High Dividend Index is a long/short index in which the long positions, in the aggregate, have approximately twice the weight as the short positions, in the aggregate. In tracking the Target Hedged Dividend Index, the Fund is designed to provide high dividend income with a secondary goal of capital appreciation and to limit the drawdown of the Fund when equity markets fall and give up some of the gains when the markets rise.
Market Exposure
| Investment Type | | | % of Net
Assets | |
| Equity Securities Long Positions | | | | | 95% | | |
| Equity Securities Short Positions | | | | | -49% | | |
| Master Limited Partnership Long Positions | | | | | 3% | | |
“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings — Long
| Company | | | % of Net
Assets | |
| Gaming and Leisure Properties, Inc. | | | | | 1.0% | | |
| Broadcom, Inc. | | | | | 1.0% | | |
| Edison International | | | | | 1.0% | | |
| J M Smucker Co. (The) | | | | | 1.0% | | |
| Altria Group, Inc. | | | | | 1.0% | | |
| NextEra Energy Partners LP | | | | | 1.0% | | |
| PPL Corp. | | | | | 1.0% | | |
| IDACORP, Inc. | | | | | 1.0% | | |
| Healthcare Trust of America, Inc. | | | | | 1.0% | | |
| NiSource, Inc. | | | | | 1.0% | | |
Largest Equity Holdings — Short
| Company | | | % of Net
Assets | |
| WEC Energy Group, Inc. | | | | | -0.6% | | |
| Xcel Energy, Inc. | | | | | -0.6% | | |
| Essential Utilities, Inc. | | | | | -0.6% | | |
| Evergy, Inc. | | | | | -0.6% | | |
| Alliant Energy Corp. | | | | | -0.6% | | |
| CenterPoint Energy, Inc. | | | | | -0.6% | | |
| FirstEnergy Corp. | | | | | -0.6% | | |
| Atmos Energy Corp. | | | | | -0.6% | | |
| Eversource Energy | | | | | -0.6% | | |
| AES Corp. (The) | | | | | -0.6% | | |
| Sector Weightings | | | % of
Long
Weight | | | % of
Short
Weight | |
| Communication Services | | | | | 4.01% | | | | | | -4.14% | | |
| Consumer Discretionary | | | | | 5.00% | | | | | | -5.00% | | |
| Consumer Staples | | | | | 10.03% | | | | | | -9.98% | | |
| Energy | | | | | 6.98% | | | | | | -7.00% | | |
| Financials | | | | | 12.93% | | | | | | -20.96% | | |
| Health Care | | | | | 7.01% | | | | | | -6.82% | | |
| Industrials | | | | | 3.98% | | | | | | -3.95% | | |
| Information Technology | | | | | 8.02% | | | | | | -7.91% | | |
| Materials | | | | | 4.96% | | | | | | -5.00% | | |
| Real Estate | | | | | 12.02% | | | | | | -4.03% | | |
| Utilities | | | | | 25.06% | | | | | | -25.21% | | |
AGF Investments Trust
Allocation of Portfolio Holdings and Industries
December 31, 2020 (Unaudited)
AGFiQ Global Infrastructure ETF (GLIF)
The Fund seeks to provide long-term capital appreciation, by investing, under normal circumstances, at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in securities of infrastructure-related companies located throughout the world, including the United States, and infrastructure-related investments. The Fund is an actively managed exchange traded fund that seeks to achieve its investments objective by using a proprietary, multi-factor quantitative model to evaluate securities of issuers in the infrastructure group of industries by evaluating and ranking equity securities based on factors that identify growth, value, quality and risk characteristics.
Market Exposure
| Investment Type | | | % of Net
Assets | |
| Equity Securities | | | | | 99% | | |
| Exchange Traded Fund | | | | | 0%(a) | | |
(a)
Represents less than 0.5% of net assets.
“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Sector Weightings
| Sectors | | | % of Net
Assets | |
| Communication Services | | | | | 3.98% | | |
| Consumer Discretionary | | | | | 1.09% | | |
| Energy | | | | | 18.47% | | |
| Industrials | | | | | 15.15% | | |
| Information Technology | | | | | 2.16% | | |
| Exchange Traded Funds | | | | | 0.18% | | |
| Real Estate | | | | | 19.83% | | |
| Utilities | | | | | 39.14% | | |
Largest Equity Holdings
| Company | | | % of Net
Assets | |
| Enbridge, Inc. | | | | | 7.2% | | |
| American Tower Corp. | | | | | 7.1% | | |
| Crown Castle International Corp. | | | | | 5.2% | | |
| TC Energy Corp. | | | | | 3.3% | | |
| National Grid plc | | | | | 3.3% | | |
| Vinci SA | | | | | 3.2% | | |
| Kinder Morgan, Inc. | | | | | 3.0% | | |
| Williams Cos., Inc. (The) | | | | | 2.6% | | |
| Sempra Energy | | | | | 2.3% | | |
| Transurban Group | | | | | 2.2% | | |
Top 10 Country Allocation
| Country | | | % of Net
Assets | |
| United States | | | | | 46.98% | | |
| Canada | | | | | 17.06% | | |
| China | | | | | 5.39% | | |
| United Kingdom | | | | | 4.59% | | |
| Australia | | | | | 4.53% | | |
| Spain | | | | | 3.56% | | |
| France | | | | | 3.20% | | |
| Italy | | | | | 3.07% | | |
| Germany | | | | | 2.34% | | |
| Austria | | | | | 1.37% | | |
AGF Investments Trust
Allocation of Portfolio Holdings and Industries
December 31, 2020 (Unaudited)
AGFiQ Dynamic Hedged U.S. Equity ETF (USHG)
The Fund seeks to provide long-term capital appreciation and maintain lower than market volatility, by investing, under normal circumstances, at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in equity securities of issuers economically tied to the United States. The Fund will operate as a “fund-of-funds” by investing primarily in sector-based ETFs and other ETFs. The Fund is an actively managed ETF that seeks to achieve its investment objective by using proprietary, multi-factor quantitative models that use fundamental factors and market risk measurement factors to help establish allocation to primary sectors of the S&P 500® Index, as well as cash and cash equivalents.
Market Exposure
| Investment Type | | | % of Net
Assets | |
| Exchange Traded Funds | | | | | 100% | | |
“Market Exposure” includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Top Holdings
| | | | % of Net
Assets | |
| Technology Select Sector SPDR Fund | | | | | 20.5% | | |
| AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | 19.7% | | |
| Health Care Select Sector SPDR Fund | | | | | 14.3% | | |
| Financial Select Sector SPDR Fund | | | | | 10.6% | | |
| Communication Services Select Sector SPDR Fund | | | | | 9.2% | | |
| Consumer Staples Select Sector SPDR Fund | | | | | 8.7% | | |
| Materials Select Sector SPDR Fund | | | | | 4.3% | | |
| Industrial Select Sector SPDR Fund | | | | | 4.2% | | |
| Consumer Discretionary Select Sector SPDR Fund | | | | | 3.8% | | |
| Utilities Select Sector SPDR Fund | | | | | 2.2% | | |
| Real Estate Select Sector SPDR Fund | | | | | 2.0% | | |
| Energy Select Sector SPDR Fund | | | | | 0.3% | | |
Sector Weightings
| Sector | | | % of Net
Assets | |
| ETFs for Downside Hedging | | | | | 19.73% | | |
| Communication Services | | | | | 9.22% | | |
| Consumer Discretionary | | | | | 3.83% | | |
| Consumer Staples | | | | | 8.75% | | |
| Energy | | | | | 0.32% | | |
| Financials | | | | | 10.64% | | |
| Health Care | | | | | 14.27% | | |
| Industrials | | | | | 4.22% | | |
| Information Technology | | | | | 20.53% | | |
| Materials | | | | | 4.29% | | |
| Real Estate | | | | | 1.96% | | |
| Utilities | | | | | 2.24% | | |
AGFiQ U.S. Market Neutral Momentum Fund
Schedule of Investments
December 31, 2020 (Unaudited)
| Investments | | | Shares | | | Value ($) | |
| LONG POSITIONS – 88.6% | |
| COMMON STOCKS – 88.6% | |
| Aerospace & Defense – 0.4% | |
| Axon Enterprise, Inc.*(a) | | | | | 168 | | | | | $ | 20,585 | | |
| Air Freight & Logistics – 0.8% | |
| FedEx Corp.(a) | | | | | 72 | | | | | | 18,693 | | |
| United Parcel Service, Inc., Class B(a) | | | | | 124 | | | | | | 20,881 | | |
| | | | | | | | | | | | 39,574 | | |
| Automobiles – 1.0% | |
| Tesla, Inc.*(a) | | | | | 40 | | | | | | 28,227 | | |
| Thor Industries, Inc.(a) | | | | | 220 | | | | | | 20,458 | | |
| | | | | | | | | | | | 48,685 | | |
| Banks – 1.3% | |
| Commerce Bancshares, Inc.(a) | | | | | 319 | | | | | | 20,958 | | |
| First Republic Bank(a) | | | | | 156 | | | | | | 22,921 | | |
| SVB Financial Group*(a) | | | | | 60 | | | | | | 23,270 | | |
| | | | | | | | | | | | 67,149 | | |
| Beverages – 1.3% | |
| Boston Beer Co., Inc. (The), Class A*(a) | | | | | 24 | | | | | | 23,863 | | |
| Brown-Forman Corp., Class B(a) | | | | | 260 | | | | | | 20,652 | | |
| Monster Beverage Corp.*(a) | | | | | 252 | | | | | | 23,305 | | |
| | | | | | | | | | | | 67,820 | | |
| Biotechnology – 3.2% | |
| Acceleron Pharma, Inc.*(a) | | | | | 184 | | | | | | 23,541 | | |
| Moderna, Inc.*(a) | | | | | 216 | | | | | | 22,566 | | |
| Novavax, Inc.*(a) | | | | | 224 | | | | | | 24,978 | | |
| Regeneron Pharmaceuticals, Inc.*(a) | | | | | 40 | | | | | | 19,324 | | |
| Seagen, Inc.*(a) | | | | | 128 | | | | | | 22,418 | | |
| Ultragenyx Pharmaceutical, Inc.*(a) | | | | | 180 | | | | | | 24,918 | | |
| Vir Biotechnology, Inc.*(a) | | | | | 780 | | | | | | 20,888 | | |
| | | | | | | | | | | | 158,633 | | |
| Building Products – 1.3% | |
Fortune Brands Home & Security,
Inc.(a) | | | | | 252 | | | | | | 21,602 | | |
| Trane Technologies plc(a) | | | | | 144 | | | | | | 20,903 | | |
| Trex Co., Inc.*(a) | | | | | 288 | | | | | | 24,111 | | |
| | | | | | | | | | | | 66,616 | | |
| Capital Markets – 8.1% | |
| Ameriprise Financial, Inc.(a) | | | | | 108 | | | | | | 20,988 | | |
| Ares Management Corp.(a) | | | | | 476 | | | | | | 22,396 | | |
| BlackRock, Inc.(a) | | | | | 32 | | | | | | 23,089 | | |
Blackstone Group, Inc. (The),
Class A(a) | | | | | 352 | | | | | | 22,813 | | |
| Eaton Vance Corp.(a) | | | | | 308 | | | | | | 20,922 | | |
| FactSet Research Systems, Inc.(a) | | | | | 68 | | | | | | 22,610 | | |
| Intercontinental Exchange, Inc.(a) | | | | | 204 | | | | | | 23,519 | | |
| Janus Henderson Group plc(a) | | | | | 720 | | | | | | 23,407 | | |
| MarketAxess Holdings, Inc.(a) | | | | | 40 | | | | | | 22,822 | | |
| Moody’s Corp.(a) | | | | | 76 | | | | | | 22,058 | | |
| Morgan Stanley(a) | | | | | 332 | | | | | | 22,752 | | |
| Morningstar, Inc.(a) | | | | | 108 | | | | | | 25,010 | | |
| MSCI, Inc.(a) | | | | | 52 | | | | | | 23,220 | | |
| Nasdaq, Inc.(a) | | | | | 168 | | | | | | 22,300 | | |
| S&P Global, Inc.(a) | | | | | 64 | | | | | | 21,039 | | |
| T. Rowe Price Group, Inc.(a) | | | | | 148 | | | | | | 22,406 | | |
| Tradeweb Markets, Inc., Class A(a) | | | | | 368 | | | | | | 22,982 | | |
| Virtu Financial, Inc., Class A(a) | | | | | 936 | | | | | | 23,559 | | |
| | | | | | | | | | | | 407,892 | | |
| Chemicals – 3.0% | |
| Albemarle Corp.(a) | | | | | 156 | | | | | | 23,013 | | |
| Chemours Co. (The)(a) | | | | | 828 | | | | | | 20,526 | | |
| Corteva, Inc.(a) | | | | | 544 | | | | | | 21,064 | | |
| FMC Corp.(a) | | | | | 180 | | | | | | 20,687 | | |
| Linde plc(a) | | | | | 84 | | | | | | 22,135 | | |
| Scotts Miracle-Gro Co. (The)(a) | | | | | 124 | | | | | | 24,693 | | |
| Sherwin-Williams Co. (The)(a) | | | | | 28 | | | | | | 20,578 | | |
| | | | | | | | | | | | 152,696 | | |
| Investments | | | Shares | | | Value ($) | |
| Commercial Services & Supplies – 1.8% | |
| Cintas Corp.(a) | | | | | 60 | | | | | $ | 21,208 | | |
| Copart, Inc.*(a) | | | | | 188 | | | | | | 23,923 | | |
| IAA, Inc.*(a) | | | | | 356 | | | | | | 23,133 | | |
| Rollins, Inc.(a) | | | | | 564 | | | | | | 22,035 | | |
| | | | | | | | | | | | 90,299 | | |
| Construction & Engineering – 0.4% | |
| Quanta Services, Inc.(a) | | | | | 300 | | | | | | 21,606 | | |
| Consumer Finance – 0.4% | |
| Green Dot Corp., Class A*(a) | | | | | 380 | | | | | | 21,204 | | |
| Containers & Packaging – 0.8% | |
| Ball Corp.(a) | | | | | 220 | | | | | | 20,499 | | |
| Berry Global Group, Inc.*(a) | | | | | 388 | | | | | | 21,802 | | |
| | | | | | | | | | | | 42,301 | | |
| Distributors – 0.5% | |
| Pool Corp.(a) | | | | | 64 | | | | | | 23,840 | | |
| Diversified Consumer Services – 0.6% | |
| Chegg, Inc.*(a) | | | | | 308 | | | | | | 27,822 | | |
| Electric Utilities – 2.1% | |
| Alliant Energy Corp.(a) | | | | | 396 | | | | | | 20,406 | | |
| Eversource Energy(a) | | | | | 244 | | | | | | 21,108 | | |
| NextEra Energy, Inc.(a) | | | | | 284 | | | | | | 21,911 | | |
| PG&E Corp.*(a) | | | | | 1,652 | | | | | | 20,584 | | |
| Xcel Energy, Inc.(a) | | | | | 312 | | | | | | 20,801 | | |
| | | | | | | | | | | | 104,810 | | |
| Electrical Equipment – 1.3% | |
| Generac Holdings, Inc.*(a) | | | | | 100 | | | | | | 22,741 | | |
| Regal Beloit Corp.(a) | | | | | 172 | | | | | | 21,123 | | |
| Rockwell Automation, Inc.(a) | | | | | 84 | | | | | | 21,068 | | |
| | | | | | | | | | | | 64,932 | | |
| Energy Equipment & Services – 0.9% | |
| Baker Hughes Co.(a) | | | | | 1,044 | | | | | | 21,767 | | |
| Halliburton Co.(a) | | | | | 1,184 | | | | | | 22,378 | | |
| | | | | | | | | | | | 44,145 | | |
| Entertainment – 1.0% | |
| Activision Blizzard, Inc.(a) | | | | | 280 | | | | | | 25,998 | | |
| Netflix, Inc.*(a) | | | | | 44 | | | | | | 23,792 | | |
| | | | | | | | | | | | 49,790 | | |
| Equity Real Estate Investment Trusts (REITs) – 6.1% | |
| Alexandria Real Estate Equities, Inc.(a) | | | | | 132 | | | | | | 23,525 | | |
| American Tower Corp.(a) | | | | | 92 | | | | | | 20,651 | | |
| CoreSite Realty Corp.(a) | | | | | 172 | | | | | | 21,548 | | |
| Crown Castle International Corp.(a) | | | | | 128 | | | | | | 20,376 | | |
| CyrusOne, Inc.(a) | | | | | 308 | | | | | | 22,530 | | |
| Digital Realty Trust, Inc.(a) | | | | | 160 | | | | | | 22,322 | | |
| Duke Realty Corp.(a) | | | | | 556 | | | | | | 22,223 | | |
| EastGroup Properties, Inc.(a) | | | | | 152 | | | | | | 20,985 | | |
| Equinix, Inc.(a) | | | | | 32 | | | | | | 22,854 | | |
| PotlatchDeltic Corp.(a) | | | | | 460 | | | | | | 23,009 | | |
| Prologis, Inc.(a) | | | | | 216 | | | | | | 21,527 | | |
| Public Storage(a) | | | | | 96 | | | | | | 22,169 | | |
| Rexford Industrial Realty, Inc.(a) | | | | | 436 | | | | | | 21,412 | | |
| SBA Communications Corp.(a) | | | | | 76 | | | | | | 21,442 | | |
| | | | | | | | | | | | 306,573 | | |
| Food & Staples Retailing – 1.2% | |
| BJ’s Wholesale Club Holdings, Inc.*(a) | | | | | 492 | | | | | | 18,342 | | |
| Costco Wholesale Corp.(a) | | | | | 56 | | | | | | 21,100 | | |
| Kroger Co. (The)(a) | | | | | 648 | | | | | | 20,580 | | |
| | | | | | | | | | | | 60,022 | | |
| Food Products – 1.3% | |
| Beyond Meat, Inc.*(a) | | | | | 148 | | | | | | 18,500 | | |
| Darling Ingredients, Inc.*(a) | | | | | 432 | | | | | | 24,918 | | |
| Hain Celestial Group, Inc. (The)*(a) | | | | | 568 | | | | | | 22,805 | | |
| | | | | | | | | | | | 66,223 | | |
| |
See accompanying notes to the financial statements.
AGFiQ U.S. Market Neutral Momentum Fund
Schedule of Investments
December 31, 2020 (Unaudited)
| Investments | | | Shares | | | Value ($) | |
| Health Care Equipment & Supplies – 3.2% | |
| ABIOMED, Inc.*(a) | | | | | 80 | | | | | $ | 25,936 | | |
| Align Technology, Inc.*(a) | | | | | 44 | | | | | | 23,513 | | |
| DexCom, Inc.*(a) | | | | | 68 | | | | | | 25,141 | | |
| Masimo Corp.*(a) | | | | | 88 | | | | | | 23,617 | | |
| Penumbra, Inc.*(a) | | | | | 92 | | | | | | 16,100 | | |
| Quidel Corp.*(a) | | | | | 120 | | | | | | 21,558 | | |
| West Pharmaceutical Services, Inc.(a) | | | | | 80 | | | | | | 22,665 | | |
| | | | | | | | | | | | 158,530 | | |
| Health Care Providers & Services – 1.0% | |
| Amedisys, Inc.*(a) | | | | | 92 | | | | | | 26,986 | | |
| DaVita, Inc.*(a) | | | | | 192 | | | | | | 22,541 | | |
| | | | | | | | | | | | 49,527 | | |
| Health Care Technology – 0.9% | |
| Teladoc Health, Inc.*(a) | | | | | 112 | | | | | | 22,396 | | |
| Veeva Systems, Inc., Class A*(a) | | | | | 80 | | | | | | 21,780 | | |
| | | | | | | | | | | | 44,176 | | |
| Hotels, Restaurants & Leisure – 1.3% | |
| Chipotle Mexican Grill, Inc.*(a) | | | | | 16 | | | | | | 22,187 | | |
| Churchill Downs, Inc.(a) | | | | | 112 | | | | | | 21,817 | | |
| Domino’s Pizza, Inc.(a) | | | | | 56 | | | | | | 21,474 | | |
| | | | | | | | | | | | 65,478 | | |
| Household Durables – 0.4% | |
| DR Horton, Inc.(a) | | | | | 284 | | | | | | 19,573 | | |
| Household Products – 0.4% | |
| Clorox Co. (The)(a) | | | | | 104 | | | | | | 21,000 | | |
| Independent Power and Renewable Electricity Producers – 0.5% | |
| AES Corp. (The)(a) | | | | | 1,000 | | | | | | 23,500 | | |
| Insurance – 3.1% | |
| Arthur J Gallagher & Co.(a) | | | | | 180 | | | | | | 22,268 | | |
| Brown & Brown, Inc.(a) | | | | | 456 | | | | | | 21,619 | | |
| Erie Indemnity Co., Class A(a) | | | | | 92 | | | | | | 22,595 | | |
| Marsh & McLennan Cos., Inc.(a) | | | | | 184 | | | | | | 21,528 | | |
| Progressive Corp. (The)(a) | | | | | 240 | | | | | | 23,731 | | |
| RLI Corp.(a) | | | | | 204 | | | | | | 21,247 | | |
| Willis Towers Watson plc(a) | | | | | 100 | | | | | | 21,068 | | |
| | | | | | | | | | | | 154,056 | | |
| Interactive Media & Services – 1.4% | |
| Pinterest, Inc., Class A*(a) | | | | | 332 | | | | | | 21,879 | | |
| Snap, Inc., Class A*(a) | | | | | 480 | | | | | | 24,033 | | |
| Zillow Group, Inc., Class C*(a) | | | | | 196 | | | | | | 25,441 | | |
| | | | | | | | | | | | 71,353 | | |
| Internet & Direct Marketing Retail – 2.0% | |
| Amazon.com, Inc.*(a) | | | | | 8 | | | | | | 26,056 | | |
| Chewy, Inc., Class A*(a) | | | | | 316 | | | | | | 28,405 | | |
| Etsy, Inc.*(a) | | | | | 152 | | | | | | 27,042 | | |
| Wayfair, Inc., Class A*(a) | | | | | 88 | | | | | | 19,871 | | |
| | | | | | | | | | | | 101,374 | | |
| IT Services – 3.4% | |
| EPAM Systems, Inc.*(a) | | | | | 68 | | | | | | 24,368 | | |
| Fastly, Inc., Class A*(a) | | | | | 260 | | | | | | 22,716 | | |
| MongoDB, Inc.*(a) | | | | | 80 | | | | | | 28,723 | | |
| Okta, Inc.*(a) | | | | | 92 | | | | | | 23,392 | | |
| PayPal Holdings, Inc.*(a) | | | | | 104 | | | | | | 24,357 | | |
| Square, Inc., Class A*(a) | | | | | 104 | | | | | | 22,634 | | |
| Twilio, Inc., Class A*(a) | | | | | 72 | | | | | | 24,372 | | |
| | | | | | | | | | | | 170,562 | | |
| Leisure Products – 0.6% | |
| Peloton Interactive, Inc., Class A*(a) | | | | | 200 | | | | | | 30,345 | | |
| |
| Investments | | | Shares | | | Value ($) | |
| Life Sciences Tools & Services – 2.3% | |
| 10X Genomics, Inc., Class A*(a) | | | | | 156 | | | | | $ | 22,090 | | |
| Bio-Rad Laboratories, Inc., Class A*(a) | | | | | 40 | | | | | | 23,318 | | |
Charles River Laboratories International,
Inc.*(a) | | | | | 96 | | | | | | 23,986 | | |
| Repligen Corp.*(a) | | | | | 120 | | | | | | 22,996 | | |
| Thermo Fisher Scientific, Inc.(a) | | | | | 48 | | | | | | 22,357 | | |
| | | | | | | | | | | | 114,747 | | |
| Machinery – 1.3% | |
| Cummins, Inc.(a) | | | | | 92 | | | | | | 20,893 | | |
| Deere & Co.(a) | | | | | 80 | | | | | | 21,524 | | |
| Graco, Inc.(a) | | | | | 308 | | | | | | 22,284 | | |
| | | | | | | | | | | | 64,701 | | |
| Media – 0.8% | |
Charter Communications, Inc.,
Class A*(a) | | | | | 32 | | | | | | 21,169 | | |
| Liberty Broadband Corp., Class C*(a) | | | | | 132 | | | | | | 20,905 | | |
| | | | | | | | | | | | 42,074 | | |
| Metals & Mining – 0.9% | |
| Freeport-McMoRan, Inc.(a) | | | | | 916 | | | | | | 23,834 | | |
| Newmont Corp.(a) | | | | | 372 | | | | | | 22,279 | | |
| | | | | | | | | | | | 46,113 | | |
| Multiline Retail – 0.8% | |
| Dollar General Corp.(a) | | | | | 100 | | | | | | 21,030 | | |
| Target Corp.(a) | | | | | 120 | | | | | | 21,184 | | |
| | | | | | | | | | | | 42,214 | | |
| Multi-Utilities – 1.2% | |
| Ameren Corp.(a) | | | | | 268 | | | | | | 20,920 | | |
| Dominion Energy, Inc.(a) | | | | | 268 | | | | | | 20,153 | | |
| WEC Energy Group, Inc.(a) | | | | | 220 | | | | | | 20,247 | | |
| | | | | | | | | | | | 61,320 | | |
| Oil, Gas & Consumable Fuels – 1.9% | |
| Cabot Oil & Gas Corp.(a) | | | | | 1,176 | | | | | | 19,145 | | |
| Cheniere Energy, Inc.*(a) | | | | | 360 | | | | | | 21,611 | | |
| EQT Corp.(a) | | | | | 1,328 | | | | | | 16,879 | | |
| Equitrans Midstream Corp.(a) | | | | | 2,472 | | | | | | 19,875 | | |
| Williams Cos., Inc. (The)(a) | | | | | 964 | | | | | | 19,328 | | |
| | | | | | | | | | | | 96,838 | | |
| Pharmaceuticals – 0.9% | |
| Catalent, Inc.*(a) | | | | | 224 | | | | | | 23,312 | | |
| Horizon Therapeutics plc*(a) | | | | | 308 | | | | | | 22,530 | | |
| | | | | | | | | | | | 45,842 | | |
| Professional Services – 1.7% | |
| CoreLogic, Inc.(a) | | | | | 276 | | | | | | 21,340 | | |
| CoStar Group, Inc.*(a) | | | | | 24 | | | | | | 22,183 | | |
| IHS Markit Ltd. | | | | | 228 | | | | | | 20,481 | | |
| Verisk Analytics, Inc.(a) | | | | | 108 | | | | | | 22,420 | | |
| | | | | | | | | | | | 86,424 | | |
| Road & Rail – 0.8% | |
| Old Dominion Freight Line, Inc.(a) | | | | | 104 | | | | | | 20,299 | | |
| Uber Technologies, Inc.*(a) | | | | | 412 | | | | | | 21,012 | | |
| | | | | | | | | | | | 41,311 | | |
| Semiconductors & Semiconductor Equipment – 4.2% | |
| Advanced Micro Devices, Inc.*(a) | | | | | 248 | | | | | | 22,744 | | |
| Enphase Energy, Inc.*(a) | | | | | 156 | | | | | | 27,373 | | |
| Entegris, Inc.(a) | | | | | 236 | | | | | | 22,679 | | |
| Inphi Corp.* | | | | | 140 | | | | | | 22,466 | | |
| Lam Research Corp.(a) | | | | | 48 | | | | | | 22,669 | | |
| Monolithic Power Systems, Inc.(a) | | | | | 68 | | | | | | 24,904 | | |
| NVIDIA Corp.(a) | | | | | 40 | | | | | | 20,888 | | |
| SolarEdge Technologies, Inc.*(a) | | | | | 80 | | | | | | 25,530 | | |
| Teradyne, Inc.(a) | | | | | 196 | | | | | | 23,498 | | |
| | | | | | | | | | | | 212,751 | | |
| |
See accompanying notes to the financial statements.
AGFiQ U.S. Market Neutral Momentum Fund
Schedule of Investments
December 31, 2020 (Unaudited)
| Investments | | | Shares | | | Value ($) | |
| Software – 8.0% | |
| Avalara, Inc.*(a) | | | | | 128 | | | | | $ | 21,106 | | |
| Ceridian HCM Holding, Inc.*(a) | | | | | 224 | | | | | | 23,869 | | |
| Cloudflare, Inc., Class A*(a) | | | | | 316 | | | | | | 24,013 | | |
| Coupa Software, Inc.*(a) | | | | | 68 | | | | | | 23,046 | | |
| Crowdstrike Holdings, Inc., Class A*(a) | | | | | 140 | | | | | | 29,655 | | |
| Datadog, Inc., Class A*(a) | | | | | 236 | | | | | | 23,232 | | |
| DocuSign, Inc.*(a) | | | | | 96 | | | | | | 21,341 | | |
| Five9, Inc.*(a) | | | | | 148 | | | | | | 25,811 | | |
| HubSpot, Inc.*(a) | | | | | 60 | | | | | | 23,786 | | |
| Nuance Communications, Inc.*(a) | | | | | 508 | | | | | | 22,398 | | |
| Pegasystems, Inc.(a) | | | | | 164 | | | | | | 21,855 | | |
| RingCentral, Inc., Class A*(a) | | | | | 76 | | | | | | 28,802 | | |
| ServiceNow, Inc.*(a) | | | | | 40 | | | | | | 22,017 | | |
| Synopsys, Inc.*(a) | | | | | 100 | | | | | | 25,924 | | |
| Trade Desk, Inc. (The), Class A*(a) | | | | | 24 | | | | | | 19,224 | | |
Zoom Video Communications, Inc.,
Class A*(a) | | | | | 48 | | | �� | | | 16,191 | | |
| Zscaler, Inc.*(a) | | | | | 148 | | | | | | 29,557 | | |
| | | | | | | | | | | | 401,827 | | |
| Specialty Retail – 2.9% | |
| Best Buy Co., Inc.(a) | | | | | 188 | | | | | | 18,760 | | |
| Carvana Co.*(a) | | | | | 88 | | | | | | 21,079 | | |
Floor & Decor Holdings, Inc.,
Class A*(a) | | | | | 256 | | | | | | 23,770 | | |
| L Brands, Inc.(a) | | | | | 532 | | | | | | 19,785 | | |
| Lithia Motors, Inc., Class A(a) | | | | | 68 | | | | | | 19,902 | | |
| Restoration Hardware Holdings, Inc.*(a) | | | | | 48 | | | | | | 21,481 | | |
| Williams-Sonoma, Inc.(a) | | | | | 188 | | | | | | 19,146 | | |
| | | | | | | | | | | | 143,923 | | |
| Technology Hardware, Storage & Peripherals – 0.5% | |
| Apple, Inc.(a) | | | | | 184 | | | | | | 24,415 | | |
| Textiles, Apparel & Luxury Goods – 0.9% | |
| Deckers Outdoor Corp.*(a) | | | | | 80 | | | | | | 22,942 | | |
| Lululemon Athletica, Inc.*(a) | | | | | 60 | | | | | | 20,882 | | |
| | | | | | | | | | | | 43,824 | | |
| Trading Companies & Distributors – 1.7% | |
| Fastenal Co.(a) | | | | | 432 | | | | | | 21,094 | | |
| SiteOne Landscape Supply, Inc.*(a) | | | | | 156 | | | | | | 24,746 | | |
| United Rentals, Inc.*(a) | | | | | 88 | | | | | | 20,408 | | |
| Watsco, Inc.(a) | | | | | 92 | | | | | | 20,843 | | |
| | | | | | | | | | | | 87,091 | | |
| Water Utilities – 0.4% | |
| American Water Works Co., Inc.(a) | | | | | 140 | | | | | | 21,486 | | |
| Wireless Telecommunication Services – 0.4% | |
| T-Mobile US, Inc.*(a) | | | | | 164 | | | | | | 22,115 | | |
TOTAL COMMON STOCKS
(Cost $3,374,845) | | | | | | | | | | | 4,461,707 | | |
TOTAL LONG POSITIONS
(Cost $3,374,845) | | | | | | | | | | | 4,461,707 | | |
| SHORT POSITIONS – (97.3)% | |
| COMMON STOCKS – (97.3)% | |
| Aerospace & Defense – (3.2)% | |
| Boeing Co. (The) | | | | | (108) | | | | | | (23,119) | | |
| Curtiss-Wright Corp. | | | | | (192) | | | | | | (22,339) | | |
| General Dynamics Corp. | | | | | (152) | | | | | | (22,621) | | |
| Hexcel Corp. | | | | | (448) | | | | | | (21,724) | | |
| Howmet Aerospace, Inc.* | | | | | (932) | | | | | | (26,599) | | |
| Huntington Ingalls Industries, Inc. | | | | | (136) | | | | | | (23,185) | | |
| Raytheon Technologies Corp. | | | | | (316) | | | | | | (22,597) | | |
| | | | | | | | | | | | (162,184) | | |
| Airlines – (2.7)% | |
| Alaska Air Group, Inc. | | | | | (448) | | | | | | (23,296) | | |
| American Airlines Group, Inc. | | | | | (1,592) | | | | | | (25,106) | | |
| Delta Air Lines, Inc. | | | | | (572) | | | | | | (23,000) | | |
| JetBlue Airways Corp.* | | | | | (1,488) | | | | | | (21,635) | | |
| Investments | | | Shares | | | Value ($) | |
| Southwest Airlines Co. | | | | | (488) | | | | | $ | (22,746) | | |
| United Airlines Holdings, Inc.* | | | | | (524) | | | | | | (22,663) | | |
| | | | | | | | | | | | (138,446) | | |
| Auto Components – (0.4)% | |
| BorgWarner, Inc. | | | | | (584) | | | | | | (22,566) | | |
| Banks – (4.8)% | |
| Citigroup, Inc. | | | | | (412) | | | | | | (25,404) | | |
| Comerica, Inc. | | | | | (432) | | | | | | (24,131) | | |
| First Horizon National Corp. | | | | | (1,804) | | | | | | (23,019) | | |
| FNB Corp. | | | | | (2,472) | | | | | | (23,484) | | |
| M&T Bank Corp. | | | | | (192) | | | | | | (24,442) | | |
| Synovus Financial Corp. | | | | | (696) | | | | | | (22,530) | | |
| US Bancorp | | | | | (520) | | | | | | (24,227) | | |
| Webster Financial Corp. | | | | | (588) | | | | | | (24,784) | | |
| Wells Fargo & Co. | | | | | (824) | | | | | | (24,868) | | |
| Wintrust Financial Corp. | | | | | (396) | | | | | | (24,192) | | |
| | | | | | | | | | | | (241,081) | | |
| Beverages – (0.4)% | |
| Molson Coors Beverage Co., Class B | | | | | (500) | | | | | | (22,595) | | |
| Biotechnology – (3.5)% | |
| Alkermes plc* | | | | | (1,284) | | | | | | (25,616) | | |
| Biogen, Inc.* | | | | | (96) | | | | | | (23,507) | | |
| BioMarin Pharmaceutical, Inc.* | | | | | (304) | | | | | | (26,658) | | |
| Bluebird Bio, Inc.* | | | | | (552) | | | | | | (23,885) | | |
| Incyte Corp.* | | | | | (292) | | | | | | (25,398) | | |
| Ionis Pharmaceuticals, Inc.* | | | | | (472) | | | | | | (26,687) | | |
| Neurocrine Biosciences, Inc.* | | | | | (244) | | | | | | (23,387) | | |
| | | | | | | | | | | | (175,138) | | |
| Building Products – (0.4)% | |
| Armstrong World Industries, Inc. | | | | | (296) | | | | | | (22,019) | | |
| Capital Markets – (0.5)% | |
| Cboe Global Markets, Inc. | | | | | (256) | | | | | | (23,839) | | |
| Chemicals – (3.8)% | |
| Axalta Coating Systems Ltd.* | | | | | (820) | | | | | | (23,411) | | |
| CF Industries Holdings, Inc. | | | | | (608) | | | | | | (23,536) | | |
| DuPont de Nemours, Inc. | | | | | (356) | | | | | | (25,315) | | |
| Ingevity Corp.* | | | | | (328) | | | | | | (24,839) | | |
| International Flavors & Fragrances, Inc. | | | | | (204) | | | | | | (22,203) | | |
| LyondellBasell Industries NV, Class A | | | | | (260) | | | | | | (23,832) | | |
| NewMarket Corp. | | | | | (64) | | | | | | (25,491) | | |
| W R Grace & Co. | | | | | (416) | | | | | | (22,805) | | |
| | | | | | | | | | | | (191,432) | | |
| Commercial Services & Supplies – (0.4)% | |
| Cimpress plc* | | | | | (244) | | | | | | (21,409) | | |
| Communications Equipment – (1.9)% | |
| Cisco Systems, Inc. | | | | | (552) | | | | | | (24,702) | | |
| Juniper Networks, Inc. | | | | | (1,056) | | | | | | (23,771) | | |
| Motorola Solutions, Inc. | | | | | (136) | | | | | | (23,128) | | |
| Viavi Solutions, Inc.* | | | | | (1,680) | | | | | | (25,158) | | |
| | | | | | | | | | | | (96,759) | | |
| Construction & Engineering – (0.5)% | |
| MasTec, Inc.* | | | | | (396) | | | | | | (26,999) | | |
| Consumer Finance – (2.0)% | |
| Credit Acceptance Corp.* | | | | | (76) | | | | | | (26,307) | | |
| FirstCash, Inc. | | | | | (332) | | | | | | (23,253) | | |
| LendingTree, Inc.* | | | | | (92) | | | | | | (25,189) | | |
| Synchrony Financial | | | | | (736) | | | | | | (25,546) | | |
| | | | | | | | | | | | (100,295) | | |
| Containers & Packaging – (0.5)% | |
| Graphic Packaging Holding Co. | | | | | (1,500) | | | | | | (25,410) | | |
| Diversified Consumer Services – (0.9)% | |
| Grand Canyon Education, Inc.* | | | | | (272) | | | | | | (25,326) | | |
| H&R Block, Inc. | | | | | (1,228) | | | | | | (19,476) | | |
| | | | | | | | | | | | (44,802) | | |
| |
See accompanying notes to the financial statements.
AGFiQ U.S. Market Neutral Momentum Fund
Schedule of Investments
December 31, 2020 (Unaudited)
| Investments | | | Shares | | | Value ($) | |
| Diversified Telecommunication Services – (0.9)% | |
| AT&T, Inc. | | | | | (808) | | | | | $ | (23,238) | | |
| CenturyLink, Inc. | | | | | (2,160) | | | | | | (21,060) | | |
| | | | | | | | | | | | (44,298) | | |
| Electric Utilities – (2.5)% | |
| ALLETE, Inc. | | | | | (392) | | | | | | (24,281) | | |
| FirstEnergy Corp. | | | | | (884) | | | | | | (27,059) | | |
| NRG Energy, Inc. | | | | | (740) | | | | | | (27,787) | | |
| OGE Energy Corp. | | | | | (676) | | | | | | (21,537) | | |
| Portland General Electric Co. | | | | | (540) | | | | | | (23,096) | | |
| | | | | | | | | | | | (123,760) | | |
| Electrical Equipment – (0.5)% | |
| Acuity Brands, Inc. | | | | | (192) | | | | | | (23,249) | | |
| Electronic Equipment, Instruments & Components – (2.1)% | |
| Avnet, Inc. | | | | | (760) | | | | | | (26,684) | | |
| Coherent, Inc.* | | | | | (192) | | | | | | (28,804) | | |
| FLIR Systems, Inc. | | | | | (576) | | | | | | (25,246) | | |
| National Instruments Corp. | | | | | (628) | | | | | | (27,594) | | |
| | | | | | | | | | | | (108,328) | | |
| Energy Equipment & Services – (0.5)% | |
| TechnipFMC plc | | | | | (2,436) | | | | | | (22,898) | | |
| Entertainment – (0.5)% | |
World Wrestling Entertainment, Inc.,
Class A | | | | | (560) | | | | | | (26,908) | | |
| Equity Real Estate Investment Trusts (REITs) – (6.3)% | |
| Apartment Income REIT Corp.* | | | | | (600) | | | | | | (23,046) | | |
Apartment Investment and Management
Co., Class A | | | | | (600) | | | | | | (3,168) | | |
| Boston Properties, Inc. | | | | | (224) | | | | | | (21,175) | | |
| Brixmor Property Group, Inc. | | | | | (1,404) | | | | | | (23,236) | | |
| Douglas Emmett, Inc. | | | | | (708) | | | | | | (20,659) | | |
| Equity Residential | | | | | (384) | | | | | | (22,764) | | |
| Federal Realty Investment Trust | | | | | (252) | | | | | | (21,450) | | |
| Kimco Realty Corp. | | | | | (1,528) | | | | | | (22,935) | | |
| National Retail Properties, Inc. | | | | | (584) | | | | | | (23,897) | | |
| Regency Centers Corp. | | | | | (484) | | | | | | (22,066) | | |
| Simon Property Group, Inc. | | | | | (264) | | | | | | (22,514) | | |
| SL Green Realty Corp. | | | | | (380) | | | | | | (22,640) | | |
| Spirit Realty Capital, Inc. | | | | | (628) | | | | | | (25,227) | | |
| Vornado Realty Trust | | | | | (564) | | | | | | (21,060) | | |
| Welltower, Inc. | | | | | (360) | | | | | | (23,263) | | |
| | | | | | | | | | | | (319,100) | | |
| Food & Staples Retailing – (1.9)% | |
| Performance Food Group Co.* | | | | | (520) | | | | | | (24,757) | | |
| Sysco Corp. | | | | | (324) | | | | | | (24,060) | | |
| US Foods Holding Corp.* | | | | | (736) | | | | | | (24,516) | | |
| Walgreens Boots Alliance, Inc. | | | | | (612) | | | | | | (24,407) | | |
| | | | | | | | | | | | (97,740) | | |
| Food Products – (1.4)% | |
| Post Holdings, Inc.* | | | | | (244) | | | | | | (24,647) | | |
| TreeHouse Foods, Inc.* | | | | | (580) | | | | | | (24,644) | | |
| Tyson Foods, Inc., Class A | | | | | (364) | | | | | | (23,456) | | |
| | | | | | | | | | | | (72,747) | | |
| Gas Utilities – (0.9)% | |
| Spire, Inc. | | | | | (348) | | | | | | (22,286) | | |
| UGI Corp. | | | | | (620) | | | | | | (21,675) | | |
| | | | | | | | | | | | (43,961) | | |
| Health Care Equipment & Supplies – (3.5)% | |
| Becton Dickinson and Co. | | | | | (104) | | | | | | (26,023) | | |
| Boston Scientific Corp.* | | | | | (696) | | | | | | (25,021) | | |
| DENTSPLY SIRONA, Inc. | | | | | (456) | | | | | | (23,876) | | |
| Haemonetics Corp.* | | | | | (204) | | | | | | (24,225) | | |
| Hill-Rom Holdings, Inc. | | | | | (244) | | | | | | (23,905) | | |
| Integra LifeSciences Holdings Corp.* | | | | | (424) | | | | | | (27,526) | | |
| NuVasive, Inc.* | | | | | (492) | | | | | | (27,714) | | |
| | | | | | | | | | | | (178,290) | | |
| |
| Investments | | | Shares | | | Value ($) | |
| Health Care Providers & Services – (2.4)% | |
| Cardinal Health, Inc. | | | | | (436) | | | | | $ | (23,352) | | |
| CVS Health Corp. | | | | | (344) | | | | | | (23,495) | | |
| Henry Schein, Inc.* | | | | | (364) | | | | | | (24,337) | | |
| Premier, Inc., Class A | | | | | (668) | | | | | | (23,447) | | |
| Universal Health Services, Inc., Class B | | | | | (176) | | | | | | (24,200) | | |
| | | | | | | | | | | | (118,831) | | |
| Hotels, Restaurants & Leisure – (4.8)% | |
| Aramark | | | | | (636) | | | | | | (24,473) | | |
| Carnival Corp. | | | | | (1,164) | | | | | | (25,212) | | |
| Cracker Barrel Old Country Store, Inc. | | | | | (164) | | | | | | (21,635) | | |
| Darden Restaurants, Inc. | | | | | (208) | | | | | | (24,777) | | |
| Hyatt Hotels Corp., Class A | | | | | (320) | | | | | | (23,760) | | |
| Marriott International, Inc., Class A | | | | | (180) | | | | | | (23,746) | | |
| MGM Resorts International | | | | | (828) | | | | | | (26,090) | | |
| Norwegian Cruise Line Holdings Ltd.* | | | | | (1,044) | | | | | | (26,549) | | |
| Royal Caribbean Cruises Ltd. | | | | | (288) | | | | | | (21,511) | | |
| Wynn Resorts Ltd. | | | | | (228) | | | | | | (25,725) | | |
| | | | | | | | | | | | (243,478) | | |
| Household Durables – (1.0)% | |
| Leggett & Platt, Inc. | | | | | (528) | | | | | | (23,391) | | |
| Mohawk Industries, Inc.* | | | | | (176) | | | | | | (24,807) | | |
| | | | | | | | | | | | (48,198) | | |
| Household Products – (0.5)% | |
| Energizer Holdings, Inc. | | | | | (564) | | | | | | (23,789) | | |
| Independent Power and Renewable Electricity Producers – (0.5)% | |
| Vistra Corp. | | | | | (1,216) | | | | | | (23,907) | | |
| Industrial Conglomerates – (0.5)% | |
| General Electric Co. | | | | | (2,256) | | | | | | (24,365) | | |
| Insurance – (4.2)% | |
| Alleghany Corp. | | | | | (40) | | | | | | (24,148) | | |
| American Financial Group, Inc. | | | | | (248) | | | | | | (21,730) | | |
| American International Group, Inc. | | | | | (576) | | | | | | (21,807) | | |
| Cincinnati Financial Corp. | | | | | (296) | | | | | | (25,862) | | |
| Fidelity National Financial, Inc. | | | | | (636) | | | | | | (24,861) | | |
Hartford Financial Services Group, Inc.
(The) | | | | | (496) | | | | | | (24,294) | | |
| Lincoln National Corp. | | | | | (464) | | | | | | (23,344) | | |
| Reinsurance Group of America, Inc. | | | | | (188) | | | | | | (21,789) | | |
| Unum Group | | | | | (992) | | | | | | (22,756) | | |
| | | | | | | | | | | | (210,591) | | |
| Interactive Media & Services – (0.6)% | |
| Cargurus, Inc.* | | | | | (960) | | | | | | (30,461) | | |
| IT Services – (4.4)% | |
| Automatic Data Processing, Inc. | | | | | (136) | | | | | | (23,963) | | |
| DXC Technology Co. | | | | | (996) | | | | | | (25,647) | | |
| Euronet Worldwide, Inc.* | | | | | (172) | | | | | | (24,926) | | |
| FleetCor Technologies, Inc.* | | | | | (88) | | | | | | (24,009) | | |
| International Business Machines Corp. | | | | | (188) | | | | | | (23,666) | | |
| KBR, Inc. | | | | | (824) | | | | | | (25,486) | | |
| Perspecta, Inc. | | | | | (1,024) | | | | | | (24,658) | | |
| Western Union Co. (The) | | | | | (1,052) | | | | | | (23,081) | | |
| WEX, Inc.* | | | | | (128) | | | | | | (26,052) | | |
| | | | | | | | | | | | (221,488) | | |
| Leisure Products – (0.5)% | |
| Hasbro, Inc. | | | | | (256) | | | | | | (23,946) | | |
| Life Sciences Tools & Services – (1.1)% | |
| Bruker Corp. | | | | | (468) | | | | | | (25,333) | | |
| Illumina, Inc.* | | | | | (76) | | | | | | (28,120) | | |
| | | | | | | | | | | | (53,453) | | |
| Machinery – (1.5)% | |
| Crane Co. | | | | | (324) | | | | | | (25,162) | | |
| Flowserve Corp. | | | | | (652) | | | | | | (24,026) | | |
| Woodward, Inc. | | | | | (204) | | | | | | (24,792) | | |
| | | | | | | | | | | | (73,980) | | |
| |
See accompanying notes to the financial statements.
AGFiQ U.S. Market Neutral Momentum Fund
Schedule of Investments
December 31, 2020 (Unaudited)
| Investments | | | Shares | | | Value ($) | |
| Marine – (0.5)% | |
| Kirby Corp.* | | | | | (440) | | | | | $ | (22,805) | | |
| Media – (1.9)% | |
| Discovery, Inc., Class C* | | | | | (964) | | | | | | (25,247) | | |
| Fox Corp., Class A | | | | | (800) | | | | | | (23,296) | | |
| Omnicom Group, Inc. | | | | | (364) | | | | | | (22,703) | | |
| ViacomCBS, Inc. | | | | | (684) | | | | | | (25,486) | | |
| | | | | | | | | | | | (96,732) | | |
| Metals & Mining – (1.0)% | |
| Alcoa Corp.* | | | | | (1,132) | | | | | | (26,093) | | |
| Royal Gold, Inc. | | | | | (220) | | | | | | (23,399) | | |
| | | | | | | | | | | | (49,492) | | |
| Mortgage Real Estate Investment Trusts (REITs) – (0.9)% | |
Blackstone Mortgage Trust, Inc.,
Class A | | | | | (844) | | | | | | (23,236) | | |
| New Residential Investment Corp. | | | | | (2,396) | | | | | | (23,816) | | |
| | | | | | | | | | | | (47,052) | | |
| Multiline Retail – (1.0)% | |
| Dollar Tree, Inc.* | | | | | (212) | | | | | | (22,904) | | |
| Kohl’s Corp. | | | | | (704) | | | | | | (28,646) | | |
| | | | | | | | | | | | (51,550) | | |
| Multi-Utilities – (0.9)% | |
| Avista Corp. | | | | | (600) | | | | | | (24,084) | | |
| Black Hills Corp. | | | | | (364) | | | | | | (22,368) | | |
| | | | | | | | | | | | (46,452) | | |
| Oil, Gas & Consumable Fuels – (2.9)% | |
| Apache Corp. | | | | | (1,680) | | | | | | (23,839) | | |
| Diamondback Energy, Inc. | | | | | (500) | | | | | | (24,200) | | |
| HollyFrontier Corp. | | | | | (912) | | | | | | (23,575) | | |
| Marathon Oil Corp. | | | | | (3,652) | | | | | | (24,359) | | |
| Occidental Petroleum Corp. | | | | | (1,404) | | | | | | (24,304) | | |
| ONEOK, Inc. | | | | | (624) | | | | | | (23,949) | | |
| | | | | | | | | | | | (144,226) | | |
| Personal Products – (0.4)% | |
| Coty, Inc., Class A | | | | | (3,120) | | | | | | (21,902) | | |
| Pharmaceuticals – (2.0)% | |
| Jazz Pharmaceuticals plc* | | | | | (164) | | | | | | (27,068) | | |
| Merck & Co., Inc. | | | | | (296) | | | | | | (24,213) | | |
| Nektar Therapeutics* | | | | | (1,412) | | | | | | (24,004) | | |
| Viatris, Inc.* | | | | | (1,396) | | | | | | (26,161) | | |
| | | | | | | | | | | | (101,446) | | |
| Professional Services – (0.6)% | |
| Nielsen Holdings plc | | | | | (1,420) | | | | | | (29,635) | | |
| Real Estate Management & Development – (0.5)% | |
| Howard Hughes Corp. (The)* | | | | | (316) | | | | | | (24,942) | | |
| Road & Rail – (0.6)% | |
| Lyft, Inc., Class A* | | | | | (596) | | | | | | (29,281) | | |
| Semiconductors & Semiconductor Equipment – (0.5)% | |
| Intel Corp. | | | | | (500) | | | | | | (24,910) | | |
| Software – (5.6)% | |
| ACI Worldwide, Inc.* | | | | | (728) | | | | | | (27,977) | | |
| Blackbaud, Inc. | | | | | (416) | | | | | | (23,945) | | |
| CDK Global, Inc. | | | | | (484) | | | | | | (25,086) | | |
| FireEye, Inc.* | | | | | (1,556) | | | | | | (35,881) | | |
| J2 Global, Inc.* | | | | | (264) | | | | | | (25,790) | | |
| New Relic, Inc.* | | | | | (420) | | | | | | (27,468) | | |
| Nutanix, Inc., Class A* | | | | | (836) | | | | | | (26,643) | | |
| Pluralsight, Inc., Class A* | | | | | (1,544) | | | | | | (32,362) | | |
| Proofpoint, Inc.* | | | | | (240) | | | | | | (32,739) | | |
| VMware, Inc., Class A* | | | | | (156) | | | | | | (21,881) | | |
| | | | | | | | | | | | (279,772) | | |
| Specialty Retail – (0.5)% | |
| Foot Locker, Inc. | | | | | (604) | | | | | | (24,426) | | |
| |
| Investments | | | Shares | | | Value ($) | |
| Technology Hardware, Storage & Peripherals – (3.1)% | |
| Hewlett Packard Enterprise Co. | | | | | (2,044) | | | | | $ | (24,221) | | |
| HP, Inc. | | | | | (1,084) | | | | | | (26,655) | | |
| NetApp, Inc. | | | | | (424) | | | | | | (28,086) | | |
| Pure Storage, Inc., Class A* | | | | | (1,192) | | | | | | (26,951) | | |
| Western Digital Corp. | | | | | (512) | | | | | | (28,360) | | |
| Xerox Holdings Corp. | | | | | (1,000) | | | | | | (23,190) | | |
| | | | | | | | | | | | (157,463) | | |
| Textiles, Apparel & Luxury Goods – (2.5)% | |
| Carter’s, Inc. | | | | | (248) | | | | | | (23,330) | | |
| PVH Corp. | | | | | (272) | | | | | | (25,538) | | |
| Ralph Lauren Corp. | | | | | (264) | | | | | | (27,387) | | |
| Skechers USA, Inc., Class A* | | | | | (684) | | | | | | (24,583) | | |
| Under Armour, Inc., Class A* | | | | | (1,384) | | | | | | (23,763) | | |
| | | | | | | | | | | | (124,601) | | |
| Thrifts & Mortgage Finance – (1.5)% | |
| MGIC Investment Corp. | | | | | (1,888) | | | | | | (23,694) | | |
| New York Community Bancorp, Inc. | | | | | (2,416) | | | | | | (25,489) | | |
| Radian Group, Inc. | | | | | (1,180) | | | | | | (23,895) | | |
| | | | | | | | | | | | (73,078) | | |
| Trading Companies & Distributors – (1.0)% | |
| Air Lease Corp. | | | | | (592) | | | | | | (26,297) | | |
| Univar Solutions, Inc.* | | | | | (1,260) | | | | | | (23,952) | | |
| | | | | | | | | | | | (50,249) | | |
| Transportation Infrastructure – (0.5)% | |
| Macquarie Infrastructure Corp. | | | | | (684) | | | | | | (25,684) | | |
TOTAL COMMON STOCKS
(Proceeds $(4,173,850)) | | | | | | | | | | | (4,898,438) | | |
TOTAL SHORT POSITIONS
(Proceeds $(4,173,850)) | | | | | | | | | | | (4,898,438) | | |
Total Investments – (8.7)%
(Cost $(799,005)) | | | | | | | | | | | (436,731) | | |
| Other assets less liabilities – 108.7% | | | | | | | | | | | 5,473,781 | | |
| Net Assets – 100.0% | | | | | | | | | | | 5,037,050 | | |
| |
*
Non-income producing security.
(a)
All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $4,418,760.
As of December 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative contracts, if any) for federal income tax purposes was as follows:
| | Aggregate gross unrealized appreciation | | | | $ | 1,496,297 | | |
| | Aggregate gross unrealized depreciation | | | | | (1,050,920) | | |
| | Net unrealized appreciation | | | | $ | 445,377 | | |
| | Federal income tax cost of investments (including derivative contracts, if any) | | | | $ | (795,740) | | |
See accompanying notes to the financial statements.
AGFiQ U.S. Market Neutral Momentum Fund
Schedule of Investments
December 31, 2020 (Unaudited)
OTC Total return swap contracts outstanding as of December 31, 2020
| | 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) | |
| | USD616,168 | | | | | 9/30/2021 | | | | Morgan Stanley | | | | | 0.64% | | | | | | Monthly | | | | Dow Jones U.S. High
Momentum Total
Return Index(6) | | | | $ | 323,438 | | | | | $ | — | | | | | $ | 323,438 | | |
| | USD(477,317) | | | | | 9/30/2021 | | | | Morgan Stanley | | | | | (0.26)% | | | | | | Monthly | | | | Dow Jones U.S. Low
Momentum Total
Return Index(7) | | | | | (237,070) | | | | | | 20,039(8) | | | | | | (217,031) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 86,368 | | | | | | | | | | | $ | 106,407 | | |
(1)
Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
(2)
Reflects the floating financing rate, as of December 31, 2020, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Payments may be made at the conclusion of the agreement or periodically during its term.
(3)
The 50 largest components of the referenced underlying Swap Index can be found at https://www.agf.com/us/resources
(4)
The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at year end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or “net” these amounts on its Statement of Assets and Liabilities.
(5)
Represents the “uncollateralized” amount due from or (to) the counterparty at year end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum “thresholds” that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from the counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
(6)
The Dow Jones U.S. High Momentum Total Return Index (DJTLMOT) is designed to measure the performance of 200 companies ranked as having the highest momentum. Momentum is calculated by ranking stocks by their 12-month historical total return, starting one month prior to reconstitution. Dividends are reinvested.
(7)
The Dow Jones U.S. Low Momentum Total Return Index (DJTSMOT) is designed to measure the performance of 200 companies ranked as having the lowest momentum. Momentum is calculated by ranking stocks by their 12-month historical total return, starting one month prior to reconstitution. Dividends are reinvested.
(8)
Reflects all or a portion of the amount disclosed on the Statement of Assets and Liabilities as “Segregated cash balance with custodian for swap agreements.” Under U.S. Generally Accepted Accounting Principles (“GAAP”), the amount disclosed under this caption may not exceed the amount of the liability being collateralized for the benefit of the counterparty.
Abbreviations
USD US Dollar
See accompanying notes to the financial statements.
AGFiQ U.S. Market Neutral Anti-Beta Fund
Schedule of Investments
December 31, 2020 (Unaudited)
| Investments | | | Shares | | | Value ($) | |
| LONG POSITIONS – 91.2% | | | | | | | | | | | | | |
| COMMON STOCKS – 91.2% | | | | | | | | | | | | | |
| Aerospace & Defense – 1.8% | |
| L3Harris Technologies, Inc.(a) | | | | | 2,919 | | | | | $ | 551,749 | | |
| Lockheed Martin Corp.(a) | | | | | 1,529 | | | | | | 542,764 | | |
| Mercury Systems, Inc.*(a) | | | | | 8,062 | | | | | | 709,940 | | |
| Northrop Grumman Corp. | | | | | 1,807 | | | | | | 550,629 | | |
| | | | | | | | | | | | 2,355,082 | | |
| Air Freight & Logistics – 1.7% | |
| CH Robinson Worldwide, Inc.(a) | | | | | 6,116 | | | | | | 574,109 | | |
Expeditors International of Washington,
Inc.(a) | | | | | 6,394 | | | | | | 608,133 | | |
| FedEx Corp.(a) | | | | | 1,946 | | | | | | 505,221 | | |
| United Parcel Service, Inc., Class B | | | | | 3,336 | | | | | | 561,782 | | |
| | | | | | | | | | | | 2,249,245 | | |
| Auto Components – 0.4% | |
| Gentex Corp.(a) | | | | | 17,514 | | | | | | 594,250 | | |
| Banks – 2.2% | |
| Bank OZK | | | | | 19,599 | | | | | | 612,861 | | |
| Commerce Bancshares, Inc.(a) | | | | | 8,772 | | | | | | 576,320 | | |
| First Financial Bankshares, Inc.(a) | | | | | 16,402 | | | | | | 593,342 | | |
| Glacier Bancorp, Inc.(a) | | | | | 13,205 | | | | | | 607,562 | | |
| UMB Financial Corp. | | | | | 7,923 | | | | | | 546,608 | | |
| | | | | | | | | | | | 2,936,693 | | |
| Biotechnology – 6.0% | |
| Alexion Pharmaceuticals, Inc.*(a) | | | | | 4,726 | | | | | | 738,390 | | |
| Alnylam Pharmaceuticals, Inc.*(a) | | | | | 4,587 | | | | | | 596,172 | | |
| Amgen, Inc.(a) | | | | | 2,641 | | | | | | 607,219 | | |
| Gilead Sciences, Inc.(a) | | | | | 9,591 | | | | | | 558,772 | | |
| Incyte Corp.*(a) | | | | | 7,228 | | | | | | 628,691 | | |
| Moderna, Inc.*(a) | | | | | 5,838 | | | | | | 609,896 | | |
| Neurocrine Biosciences, Inc.*(a) | | | | | 5,977 | | | | | | 572,896 | | |
| Novavax, Inc.* | | | | | 6,116 | | | | | | 681,995 | | |
| Regeneron Pharmaceuticals, Inc.* | | | | | 1,112 | | | | | | 537,218 | | |
| Seagen, Inc.* | | | | | 3,475 | | | | | | 608,612 | | |
| United Therapeutics Corp.* | | | | | 4,309 | | | | | | 654,063 | | |
| Vertex Pharmaceuticals, Inc.* | | | | | 2,641 | | | | | | 624,174 | | |
| Vir Biotechnology, Inc.* | | | | | 21,267 | | | | | | 569,530 | | |
| | | | | | | | | | | | 7,987,628 | | |
| Capital Markets – 5.7% | |
| Bank of New York Mellon Corp. (The)(a) | | | | | 14,178 | | | | | | 601,714 | | |
| Cboe Global Markets, Inc.(a) | | | | | 6,255 | | | | | | 582,466 | | |
| Charles Schwab Corp. (The) | | | | | 11,537 | | | | | | 611,922 | | |
| CME Group, Inc.(a) | | | | | 3,336 | | | | | | 607,319 | | |
| Franklin Resources, Inc.(a) | | | | | 25,854 | | | | | | 646,091 | | |
Interactive Brokers Group, Inc.,
Class A(a) | | | | | 10,981 | | | | | | 668,963 | | |
| Intercontinental Exchange, Inc.(a) | | | | | 5,560 | | | | | | 641,012 | | |
| MarketAxess Holdings, Inc.(a) | | | | | 1,112 | | | | | | 634,463 | | |
| Morningstar, Inc.(a) | | | | | 2,919 | | | | | | 675,953 | | |
| MSCI, Inc.(a) | | | | | 1,390 | | | | | | 620,677 | | |
| Tradeweb Markets, Inc., Class A | | | | | 10,008 | | | | | | 625,000 | | |
| Virtu Financial, Inc., Class A | | | | | 25,437 | | | | | | 640,249 | | |
| | | | | | | | | | | | 7,555,829 | | |
| Investments | | | Shares | | | Value ($) | |
| Chemicals – 1.3% | |
| Air Products and Chemicals, Inc.(a) | | | | | 2,085 | | | | | $ | 569,664 | | |
| Corteva, Inc.(a) | | | | | 14,873 | | | | | | 575,883 | | |
| NewMarket Corp. | | | | | 1,529 | | | | | | 608,985 | | |
| | | | | | | | | | | | 1,754,532 | | |
| Commercial Services & Supplies – 1.7% | |
| Republic Services, Inc. | | | | | 5,977 | | | | | | 575,585 | | |
| Rollins, Inc. | | | | | 15,497 | | | | | | 605,468 | | |
| Tetra Tech, Inc. | | | | | 4,726 | | | | | | 547,176 | | |
| Waste Management, Inc. | | | | | 4,865 | | | | | | 573,730 | | |
| | | | | | | | | | | | 2,301,959 | | |
| Communications Equipment – 1.0% | |
| Cisco Systems, Inc.(a) | | | | | 13,622 | | | | | | 609,585 | | |
| Ubiquiti, Inc. | | | | | 2,363 | | | | | | 658,119 | | |
| | | | | | | | | | | | 1,267,704 | | |
| Construction & Engineering – 0.5% | |
| Valmont Industries, Inc. | | | | | 3,475 | | | | | | 607,882 | | |
| Consumer Finance – 0.4% | |
| FirstCash, Inc.(a) | | | | | 8,201 | | | | | | 574,398 | | |
| Containers & Packaging – 2.3% | |
| Amcor plc(a) | | | | | 48,928 | | | | | | 575,883 | | |
| AptarGroup, Inc.(a) | | | | | 4,587 | | | | | | 627,914 | | |
| Packaging Corp. of America | | | | | 4,309 | | | | | | 594,254 | | |
| Silgan Holdings, Inc. | | | | | 16,680 | | | | | | 618,494 | | |
| Sonoco Products Co. | | | | | 9,730 | | | | | | 576,503 | | |
| | | | | | | | | | | | 2,993,048 | | |
| Distributors – 0.5% | |
| Pool Corp. | | | | | 1,807 | | | | | | 673,107 | | |
| Diversified Consumer Services – 1.8% | |
| frontdoor, Inc.*(a) | | | | | 12,510 | | | | | | 628,127 | | |
| Grand Canyon Education, Inc.*(a) | | | | | 6,672 | | | | | | 621,230 | | |
| Service Corp. International | | | | | 11,676 | | | | | | 573,292 | | |
| Terminix Global Holdings, Inc.* | | | | | 11,398 | | | | | | 581,412 | | |
| | | | | | | | | | | | 2,404,061 | | |
| Diversified Financial Services – 0.4% | |
| Berkshire Hathaway, Inc., Class B*(a) | | | | | 2,502 | | | | | | 580,139 | | |
| Diversified Telecommunication Services – 0.9% | |
| Liberty Global plc, Class C*(a) | | | | | 25,854 | | | | | | 611,447 | | |
| Verizon Communications, Inc. | | | | | 9,591 | | | | | | 563,471 | | |
| | | | | | | | | | | | 1,174,918 | | |
| Electric Utilities – 1.3% | |
| Avangrid, Inc.(a) | | | | | 12,371 | | | | | | 562,262 | | |
| Hawaiian Electric Industries, Inc.(a) | | | | | 15,151 | | | | | | 536,194 | | |
| NextEra Energy, Inc. | | | | | 7,645 | | | | | | 589,812 | | |
| | | | | | | | | | | | 1,688,268 | | |
| Electronic Equipment, Instruments & Components – 1.0% | |
| Cognex Corp.(a) | | | | | 7,923 | | | | | | 636,098 | | |
| Keysight Technologies, Inc.*(a) | | | | | 4,865 | | | | | | 642,618 | | |
| | | | | | | | | | | | 1,278,716 | | |
| Entertainment – 3.1% | |
| Activision Blizzard, Inc.(a) | | | | | 7,645 | | | | | | 709,838 | | |
| Electronic Arts, Inc.(a) | | | | | 4,865 | | | | | | 698,614 | | |
See accompanying notes to the financial statements.
AGFiQ U.S. Market Neutral Anti-Beta Fund
Schedule of Investments
December 31, 2020 (Unaudited)
| Investments | | | Shares | | | Value ($) | |
| Netflix, Inc.* | | | | | 1,251 | | | | | $ | 676,453 | | |
| Take-Two Interactive Software, Inc.* | | | | | 3,475 | | | | | | 722,070 | | |
World Wrestling Entertainment, Inc.,
Class A | | | | | 13,761 | | | | | | 661,216 | | |
| Zynga, Inc., Class A* | | | | | 72,141 | | | | | | 712,032 | | |
| | | | | | | | | | | | 4,180,223 | | |
| Equity Real Estate Investment Trusts (REITs) – 6.8% | |
| American Tower Corp.(a) | | | | | 2,502 | | | | | | 561,599 | | |
| Americold Realty Trust(a) | | | | | 17,375 | | | | | | 648,609 | | |
| CoreSite Realty Corp.(a) | | | | | 4,587 | | | | | | 574,659 | | |
| Crown Castle International Corp.(a) | | | | | 3,475 | | | | | | 553,185 | | |
| CubeSmart(a) | | | | | 17,931 | | | | | | 602,661 | | |
| CyrusOne, Inc.(a) | | | | | 8,479 | | | | | | 620,239 | | |
| Digital Realty Trust, Inc.(a) | | | | | 4,309 | | | | | | 601,149 | | |
| Equinix, Inc.(a) | | | | | 834 | | | | | | 595,626 | | |
| Equity Commonwealth(a) | | | | | 21,962 | | | | | | 599,123 | | |
| Extra Space Storage, Inc.(a) | | | | | 5,282 | | | | | | 611,972 | | |
| Lexington Realty Trust(a) | | | | | 55,322 | | | | | | 587,520 | | |
| Public Storage | | | | | 2,641 | | | | | | 609,886 | | |
| Rayonier, Inc. | | | | | 20,433 | | | | | | 600,322 | | |
| SBA Communications Corp. | | | | | 2,085 | | | | | | 588,241 | | |
| Sun Communities, Inc. | | | | | 4,170 | | | | | | 633,631 | | |
| | | | | | | | | | | | 8,988,422 | | |
| Food & Staples Retailing – 0.8% | |
| Kroger Co. (The)(a) | | | | | 17,653 | | | | | | 560,659 | | |
| Sprouts Farmers Market, Inc.* | | | | | 27,800 | | | | | | 558,780 | | |
| | | | | | | | | | | | 1,119,439 | | |
| Food Products – 2.6% | |
| Campbell Soup Co.(a) | | | | | 11,676 | | | | | | 564,535 | | |
| Flowers Foods, Inc.(a) | | | | | 25,576 | | | | | | 578,785 | | |
| General Mills, Inc.(a) | | | | | 9,591 | | | | | | 563,951 | | |
| Hain Celestial Group, Inc. (The)*(a) | | | | | 15,429 | | | | | | 619,474 | | |
| Hormel Foods Corp.(a) | | | | | 12,232 | | | | | | 570,133 | | |
| J M Smucker Co. (The) | | | | | 4,865 | | | | | | 562,394 | | |
| | | | | | | | | | | | 3,459,272 | | |
| Gas Utilities – 1.6% | |
| Atmos Energy Corp.(a) | | | | | 5,699 | | | | | | 543,855 | | |
| National Fuel Gas Co. | | | | | 13,344 | | | | | | 548,839 | | |
| New Jersey Resources Corp. | | | | | 15,151 | | | | | | 538,618 | | |
| Spire, Inc. | | | | | 8,618 | | | | | | 551,897 | | |
| | | | | | | | | | | | 2,183,209 | | |
| Health Care Equipment & Supplies – 1.4% | |
| Baxter International, Inc.(a) | | | | | 7,645 | | | | | | 613,435 | | |
| Becton Dickinson and Co.(a) | | | | | 2,502 | | | | | | 626,051 | | |
| ICU Medical, Inc.*(a) | | | | | 3,058 | | | | | | 655,910 | | |
| | | | | | | | | | | | 1,895,396 | | |
| Health Care Providers & Services – 1.0% | |
| Amedisys, Inc.*(a) | | | | | 2,502 | | | | | | 733,912 | | |
| Premier, Inc., Class A | | | | | 16,402 | | | | | | 575,710 | | |
| | | | | | | | | | | | 1,309,622 | | |
| Health Care Technology – 0.9% | |
| Teladoc Health, Inc.* | | | | | 3,058 | | | | | | 611,478 | | |
| Veeva Systems, Inc., Class A* | | | | | 2,224 | | | | | | 605,484 | | |
| | | | | | | | | | | | 1,216,962 | | |
| |
| Investments | | | Shares | | | Value ($) | |
| Hotels, Restaurants & Leisure – 0.9% | |
| Domino’s Pizza, Inc.(a) | | | | | 1,529 | | | | | $ | 586,310 | | |
| McDonald’s Corp.(a) | | | | | 2,641 | | | | | | 566,706 | | |
| | | | | | | | | | | | 1,153,016 | | |
| Household Durables – 0.9% | |
| Garmin Ltd.(a) | | | | | 5,004 | | | | | | 598,779 | | |
| Helen of Troy Ltd.*(a) | | | | | 2,780 | | | | | | 617,688 | | |
| | | | | | | | | | | | 1,216,467 | | |
| Household Products – 0.9% | |
| Church & Dwight Co., Inc.(a) | | | | | 6,950 | | | | | | 606,249 | | |
| Clorox Co. (The)(a) | | | | | 2,919 | | | | | | 589,404 | | |
| | | | | | | | | | | | 1,195,653 | | |
| Industrial Conglomerates – 0.9% | |
| 3M Co.(a) | | | | | 3,336 | | | | | | 583,099 | | |
| Roper Technologies, Inc. | | | | | 1,390 | | | | | | 599,215 | | |
| | | | | | | | | | | | 1,182,314 | | |
| Insurance – 4.0% | |
| Arthur J Gallagher & Co.(a) | | | | | 5,004 | | | | | | 619,045 | | |
| Axis Capital Holdings Ltd.(a) | | | | | 10,842 | | | | | | 546,328 | | |
| Brown & Brown, Inc.(a) | | | | | 12,371 | | | | | | 586,509 | | |
| Erie Indemnity Co., Class A(a) | | | | | 2,502 | | | | | | 614,491 | | |
| Everest Re Group Ltd. | | | | | 2,363 | | | | | | 553,155 | | |
| Progressive Corp. (The) | | | | | 6,533 | | | | | | 645,983 | | |
| RLI Corp. | | | | | 5,560 | | | | | | 579,074 | | |
| Selective Insurance Group, Inc. | | | | | 8,896 | | | | | | 595,854 | | |
| White Mountains Insurance Group Ltd. | | | | | 556 | | | | | | 556,367 | | |
| | | | | | | | | | | | 5,296,806 | | |
| Internet & Direct Marketing Retail – 0.8% | |
| Amazon.com, Inc.*(a) | | | | | 139 | | | | | | 452,713 | | |
| eBay, Inc.(a) | | | | | 11,398 | | | | | | 572,750 | | |
| | | | | | | | | | | | 1,025,463 | | |
| IT Services – 4.2% | |
| Akamai Technologies, Inc.*(a) | | | | | 5,699 | | | | | | 598,338 | | |
| Black Knight, Inc.*(a) | | | | | 6,394 | | | | | | 564,910 | | |
| Booz Allen Hamilton Holding Corp.(a) | | | | | 6,533 | | | | | | 569,547 | | |
| Broadridge Financial Solutions, Inc.(a) | | | | | 3,892 | | | | | | 596,254 | | |
| Fastly, Inc., Class A*(a) | | | | | 7,089 | | | | | | 619,366 | | |
| MAXIMUS, Inc.(a) | | | | | 7,784 | | | | | | 569,711 | | |
| MongoDB, Inc.*(a) | | | | | 2,224 | | | | | | 798,505 | | |
| Okta, Inc.* | | | | | 2,502 | | | | | | 636,158 | | |
| VeriSign, Inc.* | | | | | 2,919 | | | | | | 631,672 | | |
| | | | | | | | | | | | 5,584,461 | | |
| Leisure Products – 0.6% | |
| Peloton Interactive, Inc., Class A* | | | | | 5,421 | | | | | | 822,474 | | |
| Life Sciences Tools & Services – 0.9% | |
| Bio-Rad Laboratories, Inc., Class A*(a) | | | | | 1,112 | | | | | | 648,229 | | |
| Repligen Corp.* | | | | | 3,197 | | | | | | 612,641 | | |
| | | | | | | | | | | | 1,260,870 | | |
| Machinery – 1.4% | |
| Caterpillar, Inc.(a) | | | | | 3,336 | | | | | | 607,219 | | |
| Graco, Inc.(a) | | | | | 8,340 | | | | | | 603,399 | | |
| Toro Co. (The) | | | | | 6,255 | | | | | | 593,224 | | |
| | | | | | | | | | | | 1,803,842 | | |
| |
See accompanying notes to the financial statements.
AGFiQ U.S. Market Neutral Anti-Beta Fund
Schedule of Investments
December 31, 2020 (Unaudited)
| Investments | | | Shares | | | Value ($) | |
| Metals & Mining – 1.3% | |
| Newmont Corp. | | | | | 10,147 | | | | | $ | 607,704 | | |
| Nucor Corp. | | | | | 10,286 | | | | | | 547,112 | | |
| Royal Gold, Inc. | | | | | 5,421 | | | | | | 576,578 | | |
| | | | | | | | | | | | 1,731,394 | | |
| Multiline Retail – 1.7% | |
| Dollar General Corp.(a) | | | | | 2,780 | | | | | | 584,634 | | |
| Dollar Tree, Inc.*(a) | | | | | 5,143 | | | | | | 555,650 | | |
| Ollie’s Bargain Outlet Holdings, Inc.* | | | | | 6,116 | | | | | | 500,105 | | |
| Target Corp. | | | | | 3,197 | | | | | | 564,366 | | |
| | | | | | | | | | | | 2,204,755 | | |
| Multi-Utilities – 1.2% | |
| Ameren Corp.(a) | | | | | 7,367 | | | | | | 575,068 | | |
| Consolidated Edison, Inc.(a) | | | | | 7,367 | | | | | | 532,413 | | |
| Dominion Energy, Inc.(a) | | | | | 7,228 | | | | | | 543,546 | | |
| | | | | | | | | | | | 1,651,027 | | |
| Oil, Gas & Consumable Fuels – 2.8% | |
| Cabot Oil & Gas Corp.(a) | | | | | 31,970 | | | | | | 520,472 | | |
| Cheniere Energy, Inc.*(a) | | | | | 9,730 | | | | | | 584,092 | | |
| Concho Resources, Inc.(a) | | | | | 8,896 | | | | | | 519,082 | | |
| EOG Resources, Inc.(a) | | | | | 10,564 | | | | | | 526,827 | | |
| EQT Corp.(a) | | | | | 36,140 | | | | | | 459,339 | | |
| Equitrans Midstream Corp.(a) | | | | | 67,276 | | | | | | 540,899 | | |
| Exxon Mobil Corp. | | | | | 13,761 | | | | | | 567,228 | | |
| | | | | | | | | | | | 3,717,939 | | |
| Pharmaceuticals – 1.4% | |
| Eli Lilly and Co.(a) | | | | | 4,031 | | | | | | 680,594 | | |
| Johnson & Johnson(a) | | | | | 4,031 | | | | | | 634,399 | | |
| Merck & Co., Inc.(a) | | | | | 7,228 | | | | | | 591,250 | | |
| | | | | | | | | | | | 1,906,243 | | |
| Professional Services – 1.5% | |
| FTI Consulting, Inc.*(a) | | | | | 5,560 | | | | | | 621,163 | | |
| Nielsen Holdings plc | | | | | 34,750 | | | | | | 725,233 | | |
| Verisk Analytics, Inc. | | | | | 2,919 | | | | | | 605,955 | | |
| | | | | | | | | | | | 1,952,351 | | |
| Road & Rail – 1.7% | |
| JB Hunt Transport Services, Inc.(a) | | | | | 4,170 | | | | | | 569,831 | | |
Knight-Swift Transportation Holdings,
Inc.(a) | | | | | 13,900 | | | | | | 581,298 | | |
| Landstar System, Inc.(a) | | | | | 4,309 | | | | | | 580,250 | | |
| Old Dominion Freight Line, Inc. | | | | | 2,780 | | | | | | 542,600 | | |
| | | | | | | | | | | | 2,273,979 | | |
| Semiconductors & Semiconductor Equipment – 0.9% | |
| Texas Instruments, Inc. | | | | | 3,614 | | | | | | 593,166 | | |
| Xilinx, Inc. | | | | | 4,309 | | | | | | 610,887 | | |
| | | | | | | | | | | | 1,204,053 | | |
| Software – 9.6% | |
| Adobe, Inc.*(a) | | | | | 1,251 | | | | | | 625,650 | | |
| Autodesk, Inc.*(a) | | | | | 2,224 | | | | | | 679,076 | | |
| Citrix Systems, Inc.(a) | | | | | 4,726 | | | | | | 614,853 | | |
| Cloudflare, Inc., Class A* | | | | | 8,618 | | | | | | 654,882 | | |
| Coupa Software, Inc.*(a) | | | | | 1,807 | | | | | | 612,410 | | |
| Crowdstrike Holdings, Inc., Class A*(a) | | | | | 3,892 | | | | | | 824,403 | | |
| Datadog, Inc., Class A*(a) | | | | | 6,533 | | | | | | 643,109 | | |
| Investments | | | Shares | | | Value ($) | |
| DocuSign, Inc.*(a) | | | | | 2,641 | | | | | $ | 587,094 | | |
| Dropbox, Inc., Class A*(a) | | | | | 31,275 | | | | | | 693,992 | | |
| Five9, Inc.*(a) | | | | | 4,031 | | | | | | 703,006 | | |
| Fortinet, Inc.*(a) | | | | | 4,865 | | | | | | 722,599 | | |
| Guidewire Software, Inc.*(a) | | | | | 4,865 | | | | | | 626,271 | | |
| NortonLifeLock, Inc. | | | | | 31,692 | | | | | | 658,560 | | |
| Oracle Corp. | | | | | 10,008 | | | | | | 647,418 | | |
| RingCentral, Inc., Class A* | | | | | 2,085 | | | | | | 790,152 | | |
| Smartsheet, Inc., Class A* | | | | | 11,259 | | | | | | 780,136 | | |
| Tyler Technologies, Inc.* | | | | | 1,390 | | | | | | 606,763 | | |
Zoom Video Communications, Inc.,
Class A* | | | | | 1,390 | | | | | | 468,875 | | |
| Zscaler, Inc.* | | | | | 4,031 | | | | | | 805,031 | | |
| | | | | | | | | | | | 12,744,280 | | |
| Specialty Retail – 1.8% | |
| Murphy USA, Inc.(a) | | | | | 4,448 | | | | | | 582,110 | | |
| O’Reilly Automotive, Inc.* | | | | | 1,251 | | | | | | 566,165 | | |
| Tiffany & Co. | | | | | 4,448 | | | | | | 584,690 | | |
| Tractor Supply Co. | | | | | 4,309 | | | | | | 605,759 | | |
| | | | | | | | | | | | 2,338,724 | | |
| Textiles, Apparel & Luxury Goods – 1.3% | |
| Columbia Sportswear Co.(a) | | | | | 6,811 | | | | | | 595,145 | | |
| Hanesbrands, Inc.(a) | | | | | 38,920 | | | | | | 567,454 | | |
| Lululemon Athletica, Inc.*(a) | | | | | 1,668 | | | | | | 580,514 | | |
| | | | | | | | | | | | 1,743,113 | | |
| Thrifts & Mortgage Finance – 0.5% | |
| New York Community Bancorp, Inc. | | | | | 59,214 | | | | | | 624,708 | | |
| Trading Companies & Distributors – 0.9% | |
MSC Industrial Direct Co., Inc.,
Class A(a) | | | | | 6,672 | | | | | | 563,050 | | |
| Watsco, Inc. | | | | | 2,502 | | | | | | 566,828 | | |
| | | | | | | | | | | | 1,129,878 | | |
TOTAL COMMON STOCKS
(Cost $107,416,525) | | | | | | | | | | | 121,093,814 | | |
TOTAL LONG POSITIONS
(Cost $107,416,525) | | | | | | | | | | | 121,093,814 | | |
| SHORT POSITIONS – (93.0)% | |
| COMMON STOCKS – (93.0)% | |
| Aerospace & Defense – (2.3)% | |
| Boeing Co. (The) | | | | | (2,780) | | | | | | (595,087) | | |
| Howmet Aerospace, Inc.* | | | | | (23,769) | | | | | | (678,367) | | |
| Raytheon Technologies Corp. | | | | | (8,062) | | | | | | (576,514) | | |
| Textron, Inc. | | | | | (12,371) | | | | | | (597,890) | | |
| TransDigm Group, Inc.* | | | | | (973) | | | | | | (602,141) | | |
| | | | | | | | | | | | (3,049,999) | | |
| Air Freight & Logistics – (0.5)% | |
| XPO Logistics, Inc.* | | | | | (5,699) | | | | | | (679,321) | | |
| Airlines – (2.2)% | |
| Alaska Air Group, Inc. | | | | | (11,537) | | | | | | (599,924) | | |
| American Airlines Group, Inc. | | | | | (40,588) | | | | | | (640,073) | | |
| Delta Air Lines, Inc. | | | | | (14,595) | | | | | | (586,865) | | |
| JetBlue Airways Corp.* | | | | | (37,947) | | | | | | (551,749) | | |
| United Airlines Holdings, Inc.* | | | | | (13,344) | | | | | | (577,128) | | |
| | | | | | | | | | | | (2,955,739) | | |
| |
See accompanying notes to the financial statements.
AGFiQ U.S. Market Neutral Anti-Beta Fund
Schedule of Investments
December 31, 2020 (Unaudited)
| Investments | | | Shares | | | Value ($) | |
| Auto Components – (0.5)% | |
| Aptiv plc | | | | | (5,004) | | | | | $ | (651,971) | | |
| Automobiles – (0.4)% | |
| Thor Industries, Inc. | | | | | (6,255) | | | | | | (581,652) | | |
| Banks – (2.7)% | |
| Citigroup, Inc. | | | | | (10,564) | | | | | | (651,376) | | |
| Citizens Financial Group, Inc. | | | | | (17,097) | | | | | | (611,389) | | |
| Fifth Third Bancorp | | | | | (22,101) | | | | | | (609,325) | | |
| KeyCorp | | | | | (36,001) | | | | | | (590,776) | | |
| Synovus Financial Corp. | | | | | (17,792) | | | | | | (575,927) | | |
| TCF Financial Corp. | | | | | (16,124) | | | | | | (596,910) | | |
| | | | | | | | | | | | (3,635,703) | | |
| Beverages – (1.0)% | |
| Constellation Brands, Inc., Class A | | | | | (2,919) | | | | | | (639,407) | | |
| Monster Beverage Corp.* | | | | | (7,089) | | | | | | (655,591) | | |
| | | | | | | | | | | | (1,294,998) | | |
| Biotechnology – (0.4)% | |
| FibroGen, Inc.* | | | | | (14,595) | | | | | | (541,329) | | |
| Building Products – (0.5)% | |
| Fortune Brands Home & Security, Inc. | | | | | (7,089) | | | | | | (607,669) | | |
| Chemicals – (3.2)% | |
| Axalta Coating Systems Ltd.* | | | | | (20,989) | | | | | | (599,236) | | |
| Chemours Co. (The) | | | | | (23,491) | | | | | | (582,342) | | |
| Eastman Chemical Co. | | | | | (5,838) | | | | | | (585,435) | | |
| Ingevity Corp.* | | | | | (8,479) | | | | | | (642,115) | | |
| LyondellBasell Industries NV, Class A | | | | | (6,672) | | | | | | (611,555) | | |
| Valvoline, Inc. | | | | | (25,437) | | | | | | (588,612) | | |
| W R Grace & Co. | | | | | (10,703) | | | | | | (586,738) | | |
| | | | | | | | | | | | (4,196,033) | | |
| Commercial Services & Supplies – (0.9)% | |
| Cimpress plc* | | | | | (6,255) | | | | | | (548,814) | | |
| Clean Harbors, Inc.* | | | | | (7,923) | | | | | | (602,940) | | |
| | | | | | | | | | | | (1,151,754) | | |
| Construction Materials – (0.5)% | |
| Eagle Materials, Inc. | | | | | (6,255) | | | | | | (633,944) | | |
| Consumer Finance – (3.8)% | |
| Ally Financial, Inc. | | | | | (19,321) | | | | | | (688,987) | | |
| Capital One Financial Corp. | | | | | (6,533) | | | | | | (645,787) | | |
| Credit Acceptance Corp.* | | | | | (1,946) | | | | | | (673,588) | | |
| Discover Financial Services | | | | | (7,367) | | | | | | (666,935) | | |
| OneMain Holdings, Inc. | | | | | (14,734) | | | | | | (709,589) | | |
| PROG Holdings, Inc. | | | | | (9,035) | | | | | | (486,715) | | |
| Santander Consumer USA Holdings, Inc. | | | | | (25,576) | | | | | | (563,184) | | |
| Synchrony Financial | | | | | (18,765) | | | | | | (651,333) | | |
| | | | | | | | | | | | (5,086,118) | | |
| Diversified Financial Services – (0.4)% | |
| Equitable Holdings, Inc. | | | | | (22,657) | | | | | | (579,793) | | |
| Electric Utilities – (2.2)% | |
| Entergy Corp. | | | | | (5,421) | | | | | | (541,233) | | |
| NRG Energy, Inc. | | | | | (18,904) | | | | | | (709,845) | | |
| OGE Energy Corp. | | | | | (17,375) | | | | | | (553,567) | | |
| PNM Resources, Inc. | | | | | (12,232) | | | | | | (593,619) | | |
| PPL Corp. | | | | | (19,599) | | | | | | (552,692) | | |
| | | | | | | | | | | | (2,950,956) | | |
| |
| Investments | | | Shares | | | Value ($) | |
| Electrical Equipment – (0.4)% | |
| nVent Electric plc | | | | | (25,159) | | | | | $ | (585,953) | | |
| Electronic Equipment, Instruments & Components – (2.5)% | |
| CDW Corp. | | | | | (4,448) | | | | | | (586,202) | | |
| Coherent, Inc.* | | | | | (4,865) | | | | | | (729,847) | | |
| FLIR Systems, Inc. | | | | | (14,595) | | | | | | (639,699) | | |
| Jabil, Inc. | | | | | (15,290) | | | | | | (650,284) | | |
| Trimble, Inc.* | | | | | (9,869) | | | | | | (658,953) | | |
| | | | | | | | | | | | (3,264,985) | | |
| Energy Equipment & Services – (0.5)% | |
| Halliburton Co. | | | | | (33,638) | | | | | | (635,758) | | |
| Entertainment – (0.5)% | |
| Live Nation Entertainment, Inc.* | | | | | (8,618) | | | | | | (633,251) | | |
| Equity Real Estate Investment Trusts (REITs) – (6.4)% | |
| American Campus Communities, Inc. | | | | | (14,595) | | | | | | (624,228) | | |
| Brixmor Property Group, Inc. | | | | | (35,862) | | | | | | (593,516) | | |
| Gaming and Leisure Properties, Inc. | | | | | (14,368) | | | | | | (609,202) | | |
| Lamar Advertising Co., Class A | | | | | (7,367) | | | | | | (613,082) | | |
| National Health Investors, Inc. | | | | | (9,035) | | | | | | (624,951) | | |
| National Retail Properties, Inc. | | | | | (15,012) | | | | | | (614,291) | | |
| Sabra Health Care REIT, Inc. | | | | | (34,333) | | | | | | (596,364) | | |
| Simon Property Group, Inc. | | | | | (6,811) | | | | | | (580,842) | | |
| SL Green Realty Corp. | | | | | (9,730) | | | | | | (579,714) | | |
| Ventas, Inc. | | | | | (11,954) | | | | | | (586,224) | | |
| VEREIT, Inc. | | | | | (16,372) | | | | | | (618,713) | | |
| Vornado Realty Trust | | | | | (14,317) | | | | | | (534,597) | | |
| Welltower, Inc. | | | | | (9,174) | | | | | | (592,824) | | |
| Weyerhaeuser Co. | | | | | (20,572) | | | | | | (689,779) | | |
| | | | | | | | | | | | (8,458,327) | | |
| Food & Staples Retailing – (1.4)% | |
| Performance Food Group Co.* | | | | | (13,205) | | | | | | (628,690) | | |
| Sysco Corp. | | | | | (8,340) | | | | | | (619,329) | | |
| US Foods Holding Corp.* | | | | | (18,765) | | | | | | (625,062) | | |
| | | | | | | | | | | | (1,873,081) | | |
| Food Products – (1.4)% | |
| Beyond Meat, Inc.* | | | | | (4,309) | | | | | | (538,625) | | |
| Darling Ingredients, Inc.* | | | | | (12,371) | | | | | | (713,559) | | |
| Lamb Weston Holdings, Inc. | | | | | (8,340) | | | | | | (656,692) | | |
| | | | | | | | | | | | (1,908,876) | | |
| Health Care Equipment & Supplies – (3.0)% | |
| Align Technology, Inc.* | | | | | (1,251) | | | | | | (668,509) | | |
| Intuitive Surgical, Inc.* | | | | | (834) | | | | | | (682,295) | | |
| NuVasive, Inc.* | | | | | (12,510) | | | | | | (704,688) | | |
| Stryker Corp. | | | | | (2,502) | | | | | | (613,090) | | |
| Tandem Diabetes Care, Inc.* | | | | | (6,811) | | | | | | (651,677) | | |
| Zimmer Biomet Holdings, Inc. | | | | | (4,031) | | | | | | (621,137) | | |
| | | | | | | | | | | | (3,941,396) | | |
| Health Care Providers & Services – (6.2)% | |
| Acadia Healthcare Co., Inc.* | | | | | (13,761) | | | | | | (691,628) | | |
| Anthem, Inc. | | | | | (1,946) | | | | | | (624,841) | | |
| Cigna Corp. | | | | | (2,919) | | | | | | (607,677) | | |
| Covetrus, Inc.* | | | | | (22,379) | | | | | | (643,173) | | |
| Encompass Health Corp. | | | | | (7,228) | | | | | | (597,683) | | |
| HCA Healthcare, Inc. | | | | | (3,892) | | | | | | (640,078) | | |
| HealthEquity, Inc.* | | | | | (8,201) | | | | | | (571,692) | | |
See accompanying notes to the financial statements.
AGFiQ U.S. Market Neutral Anti-Beta Fund
Schedule of Investments
December 31, 2020 (Unaudited)
| Investments | | | Shares | | | Value ($) | |
| Humana, Inc. | | | | | (1,529) | | | | | $ | (627,303) | | |
| Laboratory Corp. of America Holdings* | | | | | (3,058) | | | | | | (622,456) | | |
| Molina Healthcare, Inc.* | | | | | (2,919) | | | | | | (620,813) | | |
| Tenet Healthcare Corp.* | | | | | (17,931) | | | | | | (715,985) | | |
| UnitedHealth Group, Inc. | | | | | (1,807) | | | | | | (633,679) | | |
| Universal Health Services, Inc., Class B | | | | | (4,448) | | | | | | (611,600) | | |
| | | | | | | | | | | | (8,208,608) | | |
| Hotels, Restaurants & Leisure – (3.8)% | |
| Carnival Corp. | | | | | (29,746) | | | | | | (644,298) | | |
| Darden Restaurants, Inc. | | | | | (5,282) | | | | | | (629,192) | | |
| Marriott Vacations Worldwide Corp. | | | | | (4,448) | | | | | | (610,355) | | |
| MGM Resorts International | | | | | (21,128) | | | | | | (665,743) | | |
| Norwegian Cruise Line Holdings Ltd.* | | | | | (26,688) | | | | | | (678,676) | | |
| Planet Fitness, Inc., Class A* | | | | | (8,062) | | | | | | (625,853) | | |
| Royal Caribbean Cruises Ltd. | | | | | (7,367) | | | | | | (550,241) | | |
| Wynn Resorts Ltd. | | | | | (5,838) | | | | | | (658,702) | | |
| | | | | | | | | | | | (5,063,060) | | |
| Household Durables – (1.4)% | |
| Mohawk Industries, Inc.* | | | | | (4,448) | | | | | | (626,945) | | |
| Tempur Sealy International, Inc.* | | | | | (23,908) | | | | | | (645,516) | | |
| Toll Brothers, Inc. | | | | | (12,927) | | | | | | (561,937) | | |
| | | | | | | | | | | | (1,834,398) | | |
| Household Products – (0.5)% | |
| Energizer Holdings, Inc. | | | | | (14,456) | | | | | | (609,754) | | |
| Insurance – (4.3)% | |
| American Financial Group, Inc. | | | | | (6,394) | | | | | | (560,242) | | |
| American International Group, Inc. | | | | | (14,734) | | | | | | (557,829) | | |
| Athene Holding Ltd., Class A* | | | | | (12,788) | | | | | | (551,674) | | |
| Brighthouse Financial, Inc.* | | | | | (15,707) | | | | | | (568,672) | | |
| Lincoln National Corp. | | | | | (11,815) | | | | | | (594,413) | | |
| Primerica, Inc. | | | | | (4,448) | | | | | | (595,721) | | |
| Principal Financial Group, Inc. | | | | | (11,398) | | | | | | (565,455) | | |
| Prudential Financial, Inc. | | | | | (7,506) | | | | | | (585,993) | | |
| Reinsurance Group of America, Inc. | | | | | (4,865) | | | | | | (563,854) | | |
| Unum Group | | | | | (25,298) | | | | | | (580,336) | | |
| | | | | | | | | | | | (5,724,189) | | |
| Interactive Media & Services – (1.0)% | |
| TripAdvisor, Inc.* | | | | | (21,962) | | | | | | (632,066) | | |
| Zillow Group, Inc., Class C* | | | | | (5,560) | | | | | | (721,688) | | |
| | | | | | | | | | | | (1,353,754) | | |
| Internet & Direct Marketing Retail – (0.4)% | |
| Wayfair, Inc., Class A* | | | | | (2,502) | | | | | | (564,977) | | |
| IT Services – (3.9)% | |
| DXC Technology Co. | | | | | (25,437) | | | | | | (655,003) | | |
| Euronet Worldwide, Inc.* | | | | | (4,448) | | | | | | (644,604) | | |
| Gartner, Inc.* | | | | | (3,892) | | | | | | (623,460) | | |
| Global Payments, Inc. | | | | | (3,058) | | | | | | (658,754) | | |
| KBR, Inc. | | | | | (21,128) | | | | | | (653,489) | | |
| Science Applications International Corp. | | | | | (6,394) | | | | | | (605,128) | | |
| Square, Inc., Class A* | | | | | (2,919) | | | | | | (635,291) | | |
| WEX, Inc.* | | | | | (3,197) | | | | | | (650,686) | | |
| | | | | | | | | | | | (5,126,415) | | |
| Leisure Products – (0.4)% | |
| Brunswick Corp. | | | | | (7,923) | | | | | | (604,050) | | |
| |
| Investments | | | Shares | | | Value ($) | |
| Life Sciences Tools & Services – (1.9)% | |
Charles River Laboratories International,
Inc.* | | | | | (2,641) | | | | | $ | (659,880) | | |
| IQVIA Holdings, Inc.* | | | | | (3,475) | | | | | | (622,616) | | |
| PRA Health Sciences, Inc.* | | | | | (5,421) | | | | | | (680,010) | | |
| Syneos Health, Inc.* | | | | | (9,035) | | | | | | (615,555) | | |
| | | | | | | | | | | | (2,578,061) | | |
| Machinery – (2.7)% | |
| Colfax Corp.* | | | | | (15,985) | | | | | | (611,266) | | |
| Middleby Corp. (The)* | | | | | (4,309) | | | | | | (555,516) | | |
| Parker-Hannifin Corp. | | | | | (2,085) | | | | | | (567,975) | | |
| Stanley Black & Decker, Inc. | | | | | (3,197) | | | | | | (570,856) | | |
Westinghouse Air Brake Technologies
Corp. | | | | | (7,923) | | | | | | (579,964) | | |
| Woodward, Inc. | | | | | (5,282) | | | | | | (641,922) | | |
| | | | | | | | | | | | (3,527,499) | | |
| Media – (1.9)% | |
| Interpublic Group of Cos., Inc. (The) | | | | | (25,854) | | | | | | (608,086) | | |
| Liberty Broadband Corp., Class C* | | | | | (27) | | | | | | (4,276) | | |
| Liberty Media Corp-Liberty SiriusXM* | | | | | (14,178) | | | | | | (616,885) | | |
| Nexstar Media Group, Inc., Class A | | | | | (5,421) | | | | | | (591,919) | | |
| ViacomCBS, Inc. | | | | | (17,375) | | | | | | (647,392) | | |
| | | | | | | | | | | | (2,468,558) | | |
| Metals & Mining – (1.0)% | |
| Alcoa Corp.* | | | | | (28,912) | | | | | | (666,421) | | |
| Freeport-McMoRan, Inc. | | | | | (25,993) | | | | | | (676,338) | | |
| | | | | | | | | | | | (1,342,759) | | |
| Mortgage Real Estate Investment Trusts (REITs) – (1.4)% | |
Blackstone Mortgage Trust, Inc.,
Class A | | | | | (21,545) | | | | | | (593,134) | | |
| New Residential Investment Corp. | | | | | (61,160) | | | | | | (607,930) | | |
| Starwood Property Trust, Inc. | | | | | (31,414) | | | | | | (606,290) | | |
| | | | | | | | | | | | (1,807,354) | | |
| Multiline Retail – (0.5)% | |
| Kohl’s Corp. | | | | | (17,931) | | | | | | (729,612) | | |
| Multi-Utilities – (2.1)% | |
| Black Hills Corp. | | | | | (9,313) | | | | | | (572,284) | | |
| CenterPoint Energy, Inc. | | | | | (24,742) | | | | | | (535,417) | | |
| DTE Energy Co. | | | | | (4,587) | | | | | | (556,908) | | |
| MDU Resources Group, Inc. | | | | | (23,213) | | | | | | (611,430) | | |
| NorthWestern Corp. | | | | | (9,730) | | | | | | (567,356) | | |
| | | | | | | | | | | | (2,843,395) | | |
| Oil, Gas & Consumable Fuels – (2.8)% | |
| Apache Corp. | | | | | (42,812) | | | | | | (607,502) | | |
| Marathon Petroleum Corp. | | | | | (14,178) | | | | | | (586,402) | | |
| Occidental Petroleum Corp. | | | | | (35,862) | | | | | | (620,771) | | |
| ONEOK, Inc. | | | | | (15,985) | | | | | | (613,505) | | |
| Ovintiv, Inc. | | | | | (44,619) | | | | | | (640,729) | | |
| Targa Resources Corp. | | | | | (23,908) | | | | | | (630,693) | | |
| | | | | | | | | | | | (3,699,602) | | |
| Paper & Forest Products – (0.5)% | |
| Louisiana-Pacific Corp. | | | | | (17,236) | | | | | | (640,662) | | |
| Personal Products – (0.4)% | |
| Coty, Inc., Class A | | | | | (79,925) | | | | | | (561,074) | | |
| |
See accompanying notes to the financial statements.
AGFiQ U.S. Market Neutral Anti-Beta Fund
Schedule of Investments
December 31, 2020 (Unaudited)
| Investments | | | Shares | | | Value ($) | |
| Pharmaceuticals – (0.4)% | |
| Elanco Animal Health, Inc.* | | ��� | | | (19,043) | | | | | $ | (584,049) | | |
| Professional Services – (0.4)% | |
| Insperity, Inc. | | | | | (6,811) | | | | | | (554,552) | | |
| Real Estate Management & Development – (0.5)% | |
| Howard Hughes Corp. (The)* | | | | | (8,062) | | | | | | (636,334) | | |
| Road & Rail – (0.6)% | |
| Lyft, Inc., Class A* | | | | | (15,290) | | | | | | (751,198) | | |
| Semiconductors & Semiconductor Equipment – (4.9)% | |
| Applied Materials, Inc. | | | | | (7,228) | | | | | | (623,776) | | |
| Enphase Energy, Inc.* | | | | | (4,448) | | | | | | (780,491) | | |
| KLA Corp. | | | | | (2,363) | | | | | | (611,804) | | |
| Lam Research Corp. | | | | | (1,390) | | | | | | (656,455) | | |
| Microchip Technology, Inc. | | | | | (4,448) | | | | | | (614,313) | | |
| NXP Semiconductors NV | | | | | (3,753) | | | | | | (596,765) | | |
| ON Semiconductor Corp.* | | | | | (20,989) | | | | | | (686,970) | | |
| SolarEdge Technologies, Inc.* | | | | | (2,224) | | | | | | (709,723) | | |
| Teradyne, Inc. | | | | | (5,560) | | | | | | (666,588) | | |
| Universal Display Corp. | | | | | (2,641) | | | | | | (606,902) | | |
| | | | | | | | | | | | (6,553,787) | | |
| Software – (4.0)% | |
| Anaplan, Inc.* | | | | | (8,896) | | | | | | (639,178) | | |
| Manhattan Associates, Inc.* | | | | | (6,394) | | | | | | (672,521) | | |
| Nutanix, Inc., Class A* | | | | | (21,267) | | | | | | (677,779) | | |
| Paylocity Holding Corp.* | | | | | (3,058) | | | | | | (629,673) | | |
| Pluralsight, Inc., Class A* | | | | | (39,476) | | | | | | (827,417) | | |
| PTC, Inc.* | | | | | (5,838) | | | | | | (698,283) | | |
| SS&C Technologies Holdings, Inc. | | | | | (8,618) | | | | | | (626,959) | | |
| Trade Desk, Inc. (The), Class A* | | | | | (695) | | | | | | (556,695) | | |
| | | | | | | | | | | | (5,328,505) | | |
| Specialty Retail – (2.2)% | |
| Carvana Co.* | | | | | (2,502) | | | | | | (599,329) | | |
| Gap, Inc. (The) | | | | | (22,379) | | | | | | (451,832) | | |
| National Vision Holdings, Inc.* | | | | | (13,344) | | | | | | (604,350) | | |
| Penske Automotive Group, Inc. | | | | | (10,008) | | | | | | (594,375) | | |
| Restoration Hardware Holdings, Inc.* | | | | | (1,390) | | | | | | (622,053) | | |
| | | | | | | | | | | | (2,871,939) | | |
| Technology Hardware, Storage & Peripherals – (1.5)% | |
| Pure Storage, Inc., Class A* | | | | | (30,441) | | | | | | (688,271) | | |
| Western Digital Corp. | | | | | (13,066) | | | | | | (723,726) | | |
| Xerox Holdings Corp. | | | | | (25,576) | | | | | | (593,107) | | |
| | | | | | | | | | | | (2,005,104) | | |
| Textiles, Apparel & Luxury Goods – (1.0)% | |
| PVH Corp. | | | | | (6,950) | | | | | | (652,536) | | |
| Tapestry, Inc. | | | | | (20,016) | | | | | | (622,097) | | |
| | | | | | | | | | | | (1,274,633) | | |
| |
| Investments | | | Shares | | | Value ($) | |
| Thrifts & Mortgage Finance – (0.9)% | |
| MGIC Investment Corp. | | | | | (48,233) | | | | | $ | (605,324) | | |
| Radian Group, Inc. | | | | | (30,163) | | | | | | (610,801) | | |
| | | | | | | | | | | | (1,216,125) | | |
| Trading Companies & Distributors – (1.4)% | |
| Air Lease Corp. | | | | | (15,151) | | | | | | (673,007) | | |
| United Rentals, Inc.* | | | | | (2,502) | | | | | | (580,239) | | |
| Univar Solutions, Inc.* | | | | | (32,109) | | | | | | (610,392) | | |
| | | | | | | | | | | | (1,863,638) | | |
| Transportation Infrastructure – (0.5)% | |
| Macquarie Infrastructure Corp. | | | | | (17,375) | | | | | | (652,431) | | |
TOTAL COMMON STOCKS
(Proceeds $(107,886,227)) | | | | | | | | | | | (123,478,682) | | |
TOTAL SHORT POSITIONS
(Proceeds $(107,886,227)) | | | | | | | | | | | (123,478,682) | | |
Total Investments – (1.8)%
(Cost $(469,702)) | | | | | | | | | | | (2,384,868) | | |
| Other assets less liabilities – 101.8% | | | | | | | | | | | 135,194,930 | | |
| Net Assets – 100.0% | | | | | | | | | | | 132,810,062 | | |
*
Non-income producing security.
(a)
All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $72,406,880.
As of December 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative contracts, if any) for federal income tax purposes was as follows:
| | Aggregate gross unrealized appreciation | | | | $ | 19,642,507 | | |
| | Aggregate gross unrealized depreciation | | | | | (28,510,995) | | |
| | Net unrealized depreciation | | | | $ | (8,868,488) | | |
| | Federal income tax cost of investments (including derivative contracts, if any) | | | | $ | 6,859,204 | | |
See accompanying notes to the financial statements.
AGFiQ U.S. Market Neutral Anti-Beta Fund
Schedule of Investments
December 31, 2020 (Unaudited)
OTC Total return swap contracts outstanding as of December 31, 2020
| | 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) | |
| | USD16,772,024 | | | | | 9/30/2021 | | | | Morgan Stanley | | | | | 0.49% | | | | Monthly | | | Dow Jones U.S.
Low Beta Total
Return Index(6) | | | | $ | 3,925,498 | | | | | $ | — | | | | | $ | 3,925,498 | | |
| | USD(17,938,703) | | | | | 9/30/2021 | | | | Morgan Stanley | | | | | (0.26)% | | | | Monthly | | | Dow Jones U.S.
High Beta Total
Return Index(7) | | | | | (3,549,914) | | | | | | 3,549,914(8) | | | | | | — | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 375,584 | | | | | | | | | | | $ | 3,925,498 | | |
(1)
Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
(2)
Reflects the floating financing rate, as of December 31, 2020, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Payments may be made at the conclusion of the agreement or periodically during its term.
(3)
The 50 largest components of the referenced underlying Swap Index can be found at https://www.agf.com/us/resources
(4)
The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at year end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or “net” these amounts on its Statement of Assets and Liabilities.
(5)
Represents the “uncollateralized” amount due from or (to) the counterparty at year end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum “thresholds” that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from the counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
(6)
The Dow Jones U.S. Low Beta Total Return Index (DJTLABT) is designed to measure the performance of 200 companies ranked as having the lowest beta. Beta is calculated using weekly returns for the previous 52 weeks. Dividends are reinvested.
(7)
The Dow Jones U.S. High Beta Total Return Index (DJTSABT) is designed to measure the performance of 200 companies ranked as having the highest beta. Beta is calculated using weekly returns for the previous 52 weeks. Dividends are reinvested.
(8)
Reflects all or a portion of the amount disclosed on the Statement of Assets and Liabilities as “Segregated cash balance with custodian for swap agreements.” Under U.S. GAAP, the amount disclosed under this caption may not exceed the amount of the liability being collateralized for the benefit of the counterparty.
Abbreviations
USD US Dollar
See accompanying notes to the financial statements.
AGFiQ Hedged Dividend Income Fund
Schedule of Investments
December 31, 2020 (Unaudited)
| Investments | | | Shares | | | Value ($) | |
| Long Positions – 98.0% | |
| Common Stocks – 95.1% | |
| Banks – 5.8% | |
| Comerica, Inc.(a) | | | | | 576 | | | | | $ | 32,175 | | |
| First Horizon National Corp.(a) | | | | | 2,502 | | | | | | 31,926 | | |
| Huntington Bancshares, Inc.(a) | | | | | 2,553 | | | | | | 32,244 | | |
| People’s United Financial, Inc. | | | | | 2,490 | | | | | | 32,196 | | |
| United Bankshares, Inc. | | | | | 984 | | | | | | 31,882 | | |
| Valley National Bancorp | | | | | 3,294 | | | | | | 32,116 | | |
| | | | | | | | | | | | 192,539 | | |
| Beverages – 1.0% | |
| Coca-Cola Co. (The) | | | | | 591 | | | | | | 32,410 | | |
| Biotechnology – 1.9% | |
| AbbVie, Inc.(a) | | | | | 300 | | | | | | 32,145 | | |
| Gilead Sciences, Inc.(a) | | | | | 558 | | | | | | 32,509 | | |
| | | | | | | | | | | | 64,654 | | |
| Capital Markets – 2.0% | |
| Apollo Global Management, Inc. | | | | | 660 | | | | | | 32,327 | | |
| Franklin Resources, Inc. | | | | | 1,299 | | | | | | 32,462 | | |
| | | | | | | | | | | | 64,789 | | |
| Chemicals – 1.9% | |
| CF Industries Holdings, Inc.(a) | | | | | 828 | | | | | | 32,052 | | |
| Chemours Co. (The)(a) | | | | | 1,281 | | | | | | 31,756 | | |
| | | | | | | | | | | | 63,808 | | |
| Communications Equipment – 2.0% | |
| Cisco Systems, Inc.(a) | | | | | 723 | | | | | | 32,354 | | |
| Juniper Networks, Inc.(a) | | | | | 1,443 | | | | | | 32,482 | | |
| | | | | | | | | | | | 64,836 | | |
| Containers & Packaging – 1.9% | |
| International Paper Co.(a) | | | | | 651 | | | | | | 32,368 | | |
| Sonoco Products Co. | | | | | 543 | | | | | | 32,173 | | |
| | | | | | | | | | | | 64,541 | | |
| Distributors – 1.0% | |
| Genuine Parts Co.(a) | | | | | 324 | | | | | | 32,539 | | |
| Diversified Consumer Services – 1.0% | |
| H&R Block, Inc. | | | | | 2,040 | | | | | | 32,354 | | |
| Diversified Telecommunication Services – 2.0% | |
| AT&T, Inc. | | | | | 1,128 | | | | ��� | | 32,441 | | |
| Verizon Communications, Inc. | | | | | 552 | | | | | | 32,430 | | |
| | | | | | | | | | | | 64,871 | | |
| Electric Utilities – 12.8% | |
| American Electric Power Co., Inc.(a) | | | | | 390 | | | | | | 32,475 | | |
| Duke Energy Corp.(a) | | | | | 354 | | | | | | 32,412 | | |
| Edison International(a) | | | | | 519 | | | | | | 32,604 | | |
| Entergy Corp.(a) | | | | | 324 | | | | | | 32,348 | | |
| Exelon Corp.(a) | | | | | 768 | | | | | | 32,425 | | |
| Hawaiian Electric Industries, Inc.(a) | | | | | 915 | | | | | | 32,382 | | |
| IDACORP, Inc. | | | | | 339 | | | | | | 32,554 | | |
| NRG Energy, Inc. | | | | | 864 | | | | | | 32,443 | | |
| OGE Energy Corp. | | | | | 1,014 | | | | | | 32,306 | | |
| Investments | | | Shares | | | Value ($) | |
| Pinnacle West Capital Corp. | | | | | 405 | | | | | $ | 32,380 | | |
| Portland General Electric Co. | | | | | 756 | | | | | | 32,334 | | |
| PPL Corp. | | | | | 1,155 | | | | | | 32,571 | | |
| Southern Co. (The) | | | | | 528 | | | | | | 32,435 | | |
| | | | | | | | | | | | 421,669 | | |
| Energy Equipment & Services – 1.0% | |
| Baker Hughes Co.(a) | | | | | 1,542 | | | | | | 32,151 | | |
| Equity Real Estate Investment Trusts (REITs) – 11.8% | |
| American Campus Communities, Inc.(a) | | | | | 756 | | | | | | 32,334 | | |
| Gaming and Leisure Properties, Inc.(a) | | | | | 779 | | | | | | 33,030 | | |
Healthcare Trust of America, Inc.,
Class A | | | | | 1,182 | | | | | | 32,552 | | |
| Healthpeak Properties, Inc. | | | | | 1,074 | | | | | | 32,467 | | |
| Highwoods Properties, Inc. | | | | | 813 | | | | | | 32,219 | | |
| Iron Mountain, Inc.(a) | | | | | 1,101 | | | | | | 32,457 | | |
| Medical Properties Trust, Inc. | | | | | 1,488 | | | | | | 32,424 | | |
| National Retail Properties, Inc. | | | | | 789 | | | | | | 32,286 | | |
| Omega Healthcare Investors, Inc. | | | | | 885 | | | | | | 32,143 | | |
| SL Green Realty Corp. | | | | | 546 | | | | | | 32,531 | | |
| VICI Properties, Inc. | | | | | 1,257 | | | | | | 32,054 | | |
| WP Carey, Inc. | | | | | 459 | | | | | | 32,396 | | |
| | | | | | | | | | | | 388,893 | | |
| Food Products – 5.9% | |
| Archer-Daniels-Midland Co. | | | | | 639 | | | | | | 32,212 | | |
| Campbell Soup Co. | | | | | 672 | | | | | | 32,491 | | |
| General Mills, Inc. | | | | | 552 | | | | | | 32,458 | | |
| Ingredion, Inc. | | | | | 411 | | | | | | 32,333 | | |
| J M Smucker Co. (The) | | | | | 282 | | | | | | 32,599 | | |
| Kellogg Co. | | | | | 522 | | | | | | 32,484 | | |
| | | | | | | | | | | | 194,577 | | |
| Gas Utilities – 2.9% | |
| National Fuel Gas Co. | | | | | 786 | | | | | | 32,328 | | |
| Southwest Gas Holdings, Inc. | | | | | 534 | | | | | | 32,441 | | |
| UGI Corp. | | | | | 930 | | | | | | 32,513 | | |
| | | | | | | | | | | | 97,282 | | |
| Health Care Providers & Services – 2.0% | |
| Cardinal Health, Inc.(a) | | | | | 606 | | | | | | 32,458 | | |
| CVS Health Corp. | | | | | 474 | | | | | | 32,374 | | |
| | | | | | | | | | | | 64,832 | | |
| Household Durables – 1.0% | |
| Leggett & Platt, Inc. | | | | | 732 | | | | | | 32,428 | | |
| Household Products – 1.0% | |
| Kimberly-Clark Corp. | | | | | 240 | | | | | | 32,359 | | |
| Independent Power and Renewable Electricity Producers – 1.0% | |
| NextEra Energy Partners LP | | | | | 486 | | | | | | 32,586 | | |
| Industrial Conglomerates – 1.0% | |
| 3M Co. | | | | | 186 | | | | | | 32,511 | | |
| Insurance – 1.9% | |
| Prudential Financial, Inc. | | | | | 414 | | | | | | 32,321 | | |
| Unum Group | | | | | 1,404 | | | | | | 32,208 | | |
| | | | | | | | | | | | 64,529 | | |
| |
See accompanying notes to the financial statements.
AGFiQ Hedged Dividend Income Fund
Schedule of Investments
December 31, 2020 (Unaudited)
| Investments | | | Shares | | | Value ($) | |
| IT Services – 2.0% | |
International Business Machines
Corp.(a) | | | | | 258 | | | | | $ | 32,477 | | |
| Western Union Co. (The) | | | | | 1,476 | | | | | | 32,384 | | |
| | | | | | | | | | | | 64,861 | | |
| Leisure Products – 1.0% | |
| Hasbro, Inc.(a) | | | | | 345 | | | | | | 32,271 | | |
| Media – 1.9% | |
| Interpublic Group of Cos., Inc. (The)(a) | | | | | 1,377 | | | | | | 32,387 | | |
| Omnicom Group, Inc. | | | | | 519 | | | | | | 32,370 | | |
| | | | | | | | | | | | 64,757 | | |
| Metals & Mining – 1.0% | |
| Nucor Corp. | | | | | 606 | | | | | | 32,233 | | |
| Mortgage Real Estate Investment Trusts (REITs) – 1.9% | |
Blackstone Mortgage Trust, Inc.,
Class A(a) | | | | | 1,176 | | | | | | 32,375 | | |
| Starwood Property Trust, Inc. | | | | | 1,671 | | | | | | 32,251 | | |
| | | | | | | | | | | | 64,626 | | |
| Multi-Utilities – 7.9% | |
| Black Hills Corp.(a) | | | | | 528 | | | | | | 32,446 | | |
| Consolidated Edison, Inc.(a) | | | | | 450 | | | | | | 32,522 | | |
| Dominion Energy, Inc.(a) | | | | | 432 | | | | | | 32,486 | | |
| DTE Energy Co.(a) | | | | | 267 | | | | | | 32,416 | | |
| MDU Resources Group, Inc. | | | | | 1,230 | | | | | | 32,398 | | |
| NiSource, Inc. | | | | | 1,419 | | | | | | 32,552 | | |
| Public Service Enterprise Group, Inc. | | | | | 558 | | | | | | 32,531 | | |
| Sempra Energy | | | | | 255 | | | | | | 32,490 | | |
| | | | | | | | | | | | 259,841 | | |
| Oil, Gas & Consumable Fuels – 3.9% | |
| Chevron Corp.(a) | | | | | 381 | | | | | | 32,175 | | |
| ConocoPhillips(a) | | | | | 804 | | | | | | 32,152 | | |
| Kinder Morgan, Inc. | | | | | 2,358 | | | | | | 32,234 | | |
| Williams Cos., Inc. (The) | | | | | 1,617 | | | | | | 32,421 | | |
| | | | | | | | | | | | 128,982 | | |
| Pharmaceuticals – 2.9% | |
| Bristol-Myers Squibb Co. | | | | | 522 | | | | | | 32,380 | | |
| Merck & Co., Inc. | | | | | 396 | | | | | | 32,393 | | |
| Pfizer, Inc. | | | | | 882 | | | | | | 32,466 | | |
| | | | | | | | | | | | 97,239 | | |
| Semiconductors & Semiconductor Equipment – 1.0% | |
| Broadcom, Inc.(a) | | | | | 75 | | | | | | 32,839 | | |
| Technology Hardware, Storage & Peripherals – 2.9% | |
| Hewlett Packard Enterprise Co.(a) | | | | | 2,718 | | | | | | 32,208 | | |
| HP, Inc.(a) | | | | | 1,317 | | | | | | 32,385 | | |
| NetApp, Inc. | | | | | 489 | | | | | | 32,392 | | |
| | | | | | | | | | | | 96,985 | | |
| Textiles, Apparel & Luxury Goods – 1.0% | |
| Hanesbrands, Inc.(a) | | | | | 2,205 | | | | | | 32,149 | | |
| Thrifts & Mortgage Finance – 1.0% | |
| New York Community Bancorp, Inc. | | | | | 3,039 | | | | | | 32,061 | | |
| Tobacco – 2.0% | |
| Altria Group, Inc. | | | | | 795 | | | | | | 32,595 | | |
| Investments | | | Shares | | | Value ($) | |
| Philip Morris International, Inc. | | | | | 393 | | | | | $ | 32,536 | | |
| | | | | | | | | | | | 65,131 | | |
| Trading Companies & Distributors – 1.9% | |
| MSC Industrial Direct Co., Inc., Class A | | | | | 381 | | | | | | 32,153 | | |
| Watsco, Inc. | | | | | 141 | | | | | | 31,943 | | |
| | | | | | | | | | | | 64,096 | | |
Total Common Stocks
(Cost $2,916,699) | | | | | | | | | | | 3,139,229 | | |
| Master Limited Partnerships – 2.9% | |
| Industrial Conglomerates – 0.9% | |
| Icahn Enterprises LP | | | | | 633 | | | | | | 32,074 | | |
| Oil, Gas & Consumable Fuels – 2.0% | |
| Enterprise Products Partners LP(a) | | | | | 1,650 | | | | | | 32,323 | | |
| Magellan Midstream Partners LP | | | | | 765 | | | | | | 32,467 | | |
| | | | | | | | | | | | 64,790 | | |
Total Master Limited Partnerships
(Cost $106,922) | | | | | | | | | | | 96,864 | | |
Total Long Positions
(Cost $3,023,621) | | | | | | | | | | | 3,236,093 | | |
| Short Positions – (49.0)% | |
| Common Stocks – (49.0)% | |
| Aerospace & Defense – (0.5)% | |
| Teledyne Technologies, Inc.* | | | | | (21) | | | | | | (8,232) | | |
| TransDigm Group, Inc.* | | | | | (12) | | | | | | (7,426) | | |
| | | | | | | | | | | | (15,658) | | |
| Automobiles – (0.3)% | |
| Tesla, Inc.* | | | | | (12) | | | | | | (8,468) | | |
| Banks – (1.2)% | |
| First Citizens BancShares, Inc., Class A | | | | | (15) | | | | | | (8,614) | | |
| First Financial Bankshares, Inc. | | | | | (222) | | | | | | (8,031) | | |
| First Republic Bank | | | | | (54) | | | | | | (7,934) | | |
| Pinnacle Financial Partners, Inc. | | | | | (123) | | | | | | (7,921) | | |
| SVB Financial Group* | | | | | (21) | | | | | | (8,145) | | |
| | | | | | | | | | | | (40,645) | | |
| Beverages – (1.0)% | |
| Boston Beer Co., Inc. (The), Class A* | | | | | (9) | | | | | | (8,948) | | |
| Brown-Forman Corp., Class B | | | | | (102) | | | | | | (8,102) | | |
| Constellation Brands, Inc., Class A | | | | | (36) | | | | | | (7,886) | | |
| Monster Beverage Corp.* | | | | | (87) | | | | | | (8,046) | | |
| | | | | | | | | | | | (32,982) | | |
| Biotechnology – (0.2)% | |
| Alexion Pharmaceuticals, Inc.* | | | | | (51) | | | | | | (7,968) | | |
| Capital Markets – (3.7)% | |
| Affiliated Managers Group, Inc. | | | | | (78) | | | | | | (7,933) | | |
| Charles Schwab Corp. (The) | | | | | (153) | | | | | | (8,115) | | |
| FactSet Research Systems, Inc. | | | | | (24) | | | | | | (7,980) | | |
| Intercontinental Exchange, Inc. | | | | | (69) | | | | | | (7,955) | | |
| KKR & Co., Inc. | | | | | (198) | | | | | | (8,017) | | |
| LPL Financial Holdings, Inc. | | | | | (78) | | | | | | (8,129) | | |
| MarketAxess Holdings, Inc. | | | | | (15) | | | | | | (8,558) | | |
| Moody’s Corp. | | | | | (27) | | | | | | (7,836) | | |
See accompanying notes to the financial statements.
AGFiQ Hedged Dividend Income Fund
Schedule of Investments
December 31, 2020 (Unaudited)
| Investments | | | Shares | | | Value ($) | |
| Morningstar, Inc. | | | | | (36) | | | | | $ | (8,337) | | |
| MSCI, Inc. | | | | | (18) | | | | | | (8,038) | | |
| Nasdaq, Inc. | | | | | (60) | | | | | | (7,964) | | |
| Open Lending Corp., Class A* | | | | | (237) | | | | | | (8,286) | | |
| S&P Global, Inc. | | | | | (24) | | | | | | (7,890) | | |
| SEI Investments Co. | | | | | (141) | | | | | | (8,103) | | |
| Stifel Financial Corp. | | | | | (159) | | | | | | (8,023) | | |
| | | | | | | | | | | | (121,164) | | |
| Chemicals – (0.8)% | |
| Ecolab, Inc. | | | | | (36) | | | | | | (7,789) | | |
| Quaker Chemical Corp. | | | | | (33) | | | | | | (8,362) | | |
| Sherwin-Williams Co. (The) | | | | | (12) | | | | | | (8,819) | | |
| | | | | | | | | | | | (24,970) | | |
| Commercial Services & Supplies – (0.2)% | |
| Copart, Inc.* | | | | | (63) | | | | | | (8,017) | | |
| Construction Materials – (0.5)% | |
| Eagle Materials, Inc. | | | | | (78) | | | | | | (7,905) | | |
| Martin Marietta Materials, Inc. | | | | | (27) | | | | | | (7,667) | | |
| | | | | | | | | | | | (15,572) | | |
| Consumer Finance – (1.2)% | |
| American Express Co. | | | | | (66) | | | | | | (7,980) | | |
| Capital One Financial Corp. | | | | | (81) | | | | | | (8,007) | | |
| Credit Acceptance Corp.* | | | | | (24) | | | | | | (8,307) | | |
| PROG Holdings, Inc. | | | | | (147) | | | | | | (7,919) | | |
| SLM Corp. | | | | | (648) | | | | | | (8,029) | | |
| | | | | | | | | | | | (40,242) | | |
| Containers & Packaging – (0.7)% | |
| Ball Corp. | | | | | (87) | | | | | | (8,107) | | |
| Berry Global Group, Inc.* | | | | | (144) | | | | | | (8,091) | | |
| Crown Holdings, Inc.* | | | | | (81) | | | | | | (8,116) | | |
| | | | | | | | | | | | (24,314) | | |
| Diversified Financial Services – (0.5)% | |
| Berkshire Hathaway, Inc., Class B* | | | | | (36) | | | | | | (8,347) | | |
| Voya Financial, Inc. | | | | | (135) | | | | | | (7,940) | | |
| | | | | | | | | | | | (16,287) | | |
| Electric Utilities – (4.7)% | |
| Alliant Energy Corp. | | | | | (378) | | | | | | (19,478) | | |
| Evergy, Inc. | | | | | (351) | | | | | | (19,484) | | |
| Eversource Energy | | | | | (225) | | | | | | (19,465) | | |
| FirstEnergy Corp. | | | | | (636) | | | | | | (19,468) | | |
| NextEra Energy, Inc. | | | | | (252) | | | | | | (19,442) | | |
| PG&E Corp.* | | | | | (1,557) | | | | | | (19,400) | | |
| PNM Resources, Inc. | | | | | (399) | | | | | | (19,364) | | |
| Xcel Energy, Inc. | | | | | (294) | | | | | | (19,601) | | |
| | | | | | | | | | | | (155,702) | | |
| Electrical Equipment – (0.3)% | |
| Generac Holdings, Inc.* | | | | | (36) | | | | | | (8,187) | | |
| Energy Equipment & Services – (0.2)% | |
| National Oilwell Varco, Inc. | | | | | (585) | | | | | | (8,032) | | |
| Entertainment – (0.3)% | |
| Netflix, Inc.* | | | | | (15) | | | | | | (8,111) | | |
| |
| Investments | | | Shares | | | Value ($) | |
| Equity Real Estate Investment Trusts (REITs) – (0.8)% | |
| American Homes 4 Rent, Class A | | | | | (270) | | | | | $ | (8,100) | | |
| Equinix, Inc. | | | | | (12) | | | | | | (8,570) | | |
| SBA Communications Corp. | | | | | (30) | | | | | | (8,464) | | |
| | | | | | | | | | | | (25,134) | | |
| Food & Staples Retailing – (1.5)% | |
| BJ’s Wholesale Club Holdings, Inc.* | | | | | (216) | | | | | | (8,053) | | |
| Casey’s General Stores, Inc. | | | | | (45) | | | | | | (8,038) | | |
| Costco Wholesale Corp. | | | | | (21) | | | | | | (7,912) | | |
| Performance Food Group Co.* | | | | | (168) | | | | | | (7,998) | | |
| US Foods Holding Corp.* | | | | | (240) | | | | | | (7,994) | | |
| Walmart, Inc. | | | | | (57) | | | | | | (8,217) | | |
| | | | | | | | | | | | (48,212) | | |
| Food Products – (1.9)% | |
| Beyond Meat, Inc.* | | | | | (63) | | | | | | (7,875) | | |
| Darling Ingredients, Inc.* | | | | | (138) | | | | | | (7,960) | | |
| Freshpet, Inc.* | | | | | (57) | | | | | | (8,093) | | |
| Hain Celestial Group, Inc. (The)* | | | | | (201) | | | | | | (8,070) | | |
| Lamb Weston Holdings, Inc. | | | | | (102) | | | | | | (8,032) | | |
| Lancaster Colony Corp. | | | | | (45) | | | | | | (8,268) | | |
| McCormick & Co., Inc. (Non-Voting) | | | | | (84) | | | | | | (8,030) | | |
| Post Holdings, Inc.* | | | | | (78) | | | | | | (7,879) | | |
| | | | | | | | | | | | (64,207) | | |
| Gas Utilities – (1.2)% | |
| Atmos Energy Corp. | | | | | (204) | | | | | | (19,468) | | |
| ONE Gas, Inc. | | | | | (252) | | | | | | (19,346) | | |
| | | | | | | | | | | | (38,814) | | |
| Health Care Equipment & Supplies – (1.4)% | |
| Align Technology, Inc.* | | | | | (15) | | | | | | (8,015) | | |
| Boston Scientific Corp.* | | | | | (225) | | | | | | (8,089) | | |
| DexCom, Inc.* | | | | | (21) | | | | | | (7,764) | | |
| Edwards Lifesciences Corp.* | | | | | (90) | | | | | | (8,211) | | |
| IDEXX Laboratories, Inc.* | | | | | (15) | | | | | | (7,498) | | |
| Intuitive Surgical, Inc.* | | | | | (9) | | | | | | (7,363) | | |
| | | | | | | | | | | | (46,940) | | |
| Health Care Providers & Services – (0.3)% | |
| Centene Corp.* | | | | | (135) | | | | | | (8,104) | | |
| Health Care Technology – (0.5)% | |
| Teladoc Health, Inc.* | | | | | (42) | | | | | | (8,398) | | |
| Veeva Systems, Inc., Class A* | | | | | (30) | | | | | | (8,168) | | |
| | | | | | | | | | | | (16,566) | | |
| Hotels, Restaurants & Leisure – (0.5)% | |
| Chipotle Mexican Grill, Inc.* | | | | | (6) | | | | | | (8,320) | | |
| DraftKings, Inc., Class A* | | | | | (171) | | | | | | (7,962) | | |
| | | | | | | | | | | | (16,282) | | |
| Household Products – (0.3)% | |
| Church & Dwight Co., Inc. | | | | | (93) | | | | | | (8,112) | | |
| Independent Power and Renewable Electricity Producers – (2.9)% | |
| AES Corp. (The) | | | | | (828) | | | | | | (19,458) | | |
| Clearway Energy, Inc. | | | | | (609) | | | | | | (19,445) | | |
| Ormat Technologies, Inc. | | | | | (213) | | | | | | (19,230) | | |
See accompanying notes to the financial statements.
AGFiQ Hedged Dividend Income Fund
Schedule of Investments
December 31, 2020 (Unaudited)
| Investments | | | Shares | | | Value ($) | |
| Sunnova Energy International, Inc.* | | | | | (420) | | | | | $ | (18,955) | | |
| Vistra Corp. | | | | | (987) | | | | | | (19,404) | | |
| | | | | | | | | | | | (96,492) | | |
| Insurance – (3.4)% | |
| Alleghany Corp. | | | | | (12) | | | | | | (7,244) | | |
| Arthur J Gallagher & Co. | | | | | (66) | | | | | | (8,165) | | |
| Brown & Brown, Inc. | | | | | (171) | | | | | | (8,107) | | |
| Globe Life, Inc. | | | | | (84) | | | | | | (7,977) | | |
| Goosehead Insurance, Inc., Class A | | | | | (66) | | | | | | (8,234) | | |
| Kemper Corp. | | | | | (105) | | | | | | (8,067) | | |
| Kinsale Capital Group, Inc. | | | | | (39) | | | | | | (7,805) | | |
| Loews Corp. | | | | | (180) | | | | | | (8,104) | | |
| Markel Corp.* | | | | | (9) | | | | | | (9,300) | | |
| National General Holdings Corp. | | | | | (219) | | | | | | (7,485) | | |
| Primerica, Inc. | | | | | (60) | | | | | | (8,036) | | |
| RLI Corp. | | | | | (78) | | | | | | (8,124) | | |
| Selective Insurance Group, Inc. | | | | | (120) | | | | | | (8,037) | | |
| W R Berkley Corp. | | | | | (120) | | | | | | (7,970) | | |
| | | | | | | | | | | | (112,655) | | |
| Interactive Media & Services – (1.3)% | |
| Alphabet, Inc., Class A* | | | | | (6) | | | | | | (10,516) | | |
| Facebook, Inc., Class A* | | | | | (30) | | | | | | (8,195) | | |
| Pinterest, Inc., Class A* | | | | | (120) | | | | | | (7,908) | | |
| Snap, Inc., Class A* | | | | | (162) | | | | | | (8,111) | | |
| Twitter, Inc.* | | | | | (150) | | | | | | (8,122) | | |
| | | | | | | | | | | | (42,852) | | |
| Internet & Direct Marketing Retail – (0.7)% | |
| Amazon.com, Inc.* | | | | | (3) | | | | | | (9,771) | | |
| Booking Holdings, Inc.* | | | | | (3) | | | | | | (6,682) | | |
| Wayfair, Inc., Class A* | | | | | (36) | | | | | | (8,129) | | |
| | | | | | | | | | | | (24,582) | | |
| IT Services – (1.0)% | |
| Fiserv, Inc.* | | | | | (72) | | | | | | (8,198) | | |
| PayPal Holdings, Inc.* | | | | | (36) | | | | | | (8,431) | | |
| Square, Inc., Class A* | | | | | (36) | | | | | | (7,835) | | |
| Twilio, Inc., Class A* | | | | | (24) | | | | | | (8,124) | | |
| | | | | | | | | | | | (32,588) | | |
| Leisure Products – (0.3)% | |
| Peloton Interactive, Inc., Class A* | | | | | (54) | | | | | | (8,193) | | |
| Life Sciences Tools & Services – (0.7)% | |
| Illumina, Inc.* | | | | | (21) | | | | | | (7,770) | | |
| IQVIA Holdings, Inc.* | | | | | (45) | | | | | | (8,063) | | |
| Mettler-Toledo International, Inc.* | | | | | (6) | | | | | | (6,838) | | |
| | | | | | | | | | | | (22,671) | | |
| Machinery – (0.2)% | |
| Ingersoll Rand, Inc.* | | | | | (177) | | | | | | (8,064) | | |
| Media – (0.2)% | |
| Charter Communications, Inc., Class A* | | | | | (12) | | | | | | (7,939) | | |
| Metals & Mining – (0.5)% | |
| Alcoa Corp.* | | | | | (345) | | | | | | (7,952) | | |
| Freeport-McMoRan, Inc. | | | | | (309) | | | | | | (8,040) | | |
| | | | | | | | | | | | (15,992) | | |
| |
| Investments | | | Shares | | | Value ($) | |
| Multiline Retail – (0.2)% | |
| Dollar Tree, Inc.* | | | | | (75) | | | | | $ | (8,103) | | |
| Multi-Utilities – (2.4)% | |
| Ameren Corp. | | | | | (249) | | | | | | (19,437) | | |
| CenterPoint Energy, Inc. | | | | | (900) | | | | | | (19,476) | | |
| CMS Energy Corp. | | | | | (318) | | | | | | (19,401) | | |
| WEC Energy Group, Inc. | | | | | (213) | | | | | | (19,603) | | |
| | | | | | | | | | | | (77,917) | | |
| Oil, Gas & Consumable Fuels – (3.2)% | |
| Apache Corp. | | | | | (567) | | | | | | (8,046) | | |
| Cabot Oil & Gas Corp. | | | | | (495) | | | | | | (8,059) | | |
| Cheniere Energy, Inc.* | | | | | (132) | | | | | | (7,924) | | |
| Cimarex Energy Co. | | | | | (216) | | | | | | (8,102) | | |
| Concho Resources, Inc. | | | | | (138) | | | | | | (8,052) | | |
| EQT Corp. | | | | | (633) | | | | | | (8,045) | | |
| Hess Corp. | | | | | (153) | | | | | | (8,077) | | |
| Marathon Oil Corp. | | | | | (1,203) | | | | | | (8,024) | | |
| New Fortress Energy, Inc. | | | | | (147) | | | | | | (7,878) | | |
| Parsley Energy, Inc., Class A | | | | | (567) | | | | | | (8,051) | | |
| Pioneer Natural Resources Co. | | | | | (72) | | | | | | (8,200) | | |
| Texas Pacific Land Trust | | | | | (12) | | | | | | (8,724) | | |
| WPX Energy, Inc.* | | | | | (987) | | | | | | (8,044) | | |
| | | | | | | | | | | | (105,226) | | |
| Personal Products – (0.2)% | |
| Estee Lauder Cos., Inc. (The), Class A | | | | | (30) | | | | | | (7,986) | | |
| Pharmaceuticals – (0.2)% | |
| Viatris, Inc.* | | | | | (429) | | | | | | (8,039) | | |
| Professional Services – (0.3)% | |
| CoStar Group, Inc.* | | | | | (9) | | | | | | (8,319) | | |
| Real Estate Management & Development – (1.2)% | |
| CBRE Group, Inc., Class A* | | | | | (129) | | | | | | (8,091) | | |
| eXp World Holdings, Inc.* | | | | | (126) | | | | | | (7,953) | | |
| Howard Hughes Corp. (The)* | | | | | (102) | | | | | | (8,051) | | |
| Jones Lang LaSalle, Inc.* | | | | | (54) | | | | | | (8,012) | | |
| Redfin Corp.* | | | | | (117) | | | | | | (8,030) | | |
| | | | | | | | | | | | (40,137) | | |
| Road & Rail – (0.2)% | |
| Uber Technologies, Inc.* | | | | | (156) | | | | | | (7,956) | | |
| Semiconductors & Semiconductor Equipment – (0.5)% | |
| Advanced Micro Devices, Inc.* | | | | | (87) | | | | | | (7,979) | | |
| Micron Technology, Inc.* | | | | | (108) | | | | | | (8,119) | | |
| | | | | | | | | | | | (16,098) | | |
| Software – (2.4)% | |
| Adobe, Inc.* | | | | | (15) | | | | | | (7,502) | | |
| Autodesk, Inc.* | | | | | (27) | | | | | | (8,244) | | |
| Crowdstrike Holdings, Inc., Class A* | | | | | (39) | | | | | | (8,261) | | |
| DocuSign, Inc.* | | | | | (36) | | | | | | (8,003) | | |
| salesforce.com, Inc.* | | | | | (36) | | | | | | (8,011) | | |
| ServiceNow, Inc.* | | | | | (15) | | | | | | (8,256) | | |
| Synopsys, Inc.* | | | | | (30) | | | | | | (7,777) | | |
| Trade Desk, Inc. (The), Class A* | | | | | (9) | | | | | | (7,209) | | |
| Workday, Inc., Class A* | | | | | (33) | | | | | | (7,907) | | |
See accompanying notes to the financial statements.
AGFiQ Hedged Dividend Income Fund
Schedule of Investments
December 31, 2020 (Unaudited)
| Investments | | | Shares | | | Value ($) | |
Zoom Video Communications, Inc.,
Class A* | | | | | (24) | | | | | $ | (8,096) | | |
| | | | | | | | | | | | (79,266) | | |
| Specialty Retail – (0.5)% | |
| AutoZone, Inc.* | | | | | (6) | | | | | | (7,113) | | |
| O’Reilly Automotive, Inc.* | | | | | (18) | | | | | | (8,146) | | |
| | | | | | | | | | | | (15,259) | | |
| Thrifts & Mortgage Finance – (0.2)% | |
| PennyMac Financial Services, Inc. | | | | | (123) | | | | | | (8,071) | | |
| Trading Companies & Distributors – (0.2)% | |
| United Rentals, Inc.* | | | | | (33) | | | | | | (7,653) | | |
| Water Utilities – (1.2)% | |
| American Water Works Co., Inc. | | | | | (126) | | | | | | (19,337) | | |
| Essential Utilities, Inc. | | | | | (414) | | | | | | (19,578) | | |
| | | | | | | | | | | | (38,915) | | |
| Wireless Telecommunication Services – (0.2)% | |
| T-Mobile US, Inc.* | | | | | (60) | | | | | | (8,091) | | |
Total Common Stocks
(Proceeds $(1,447,201)) | | | | | | | | | | | (1,617,754) | | |
| |
| Investments | | | Shares | | | Value ($) | |
Total Short Positions
(Proceeds $(1,447,201)) | | | | | | | $ | (1,617,754) | | |
Total Investments – 49.0%
(Cost $1,576,420) | | | | | | | | 1,618,339 | | |
| Other assets less liabilities – 51.0% | | | | | | | | 1,683,513 | | |
| Net Assets – 100.0% | | | | | | | | 3,301,852 | | |
| |
*
Non-income producing security.
(a)
All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $1,163,529.
As of December 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative contracts, if any) for federal income tax purposes was as follows:
| | Aggregate gross unrealized appreciation | | | | $ | 304,284 | | |
| | Aggregate gross unrealized depreciation | | | | | (369,508) | | |
| | Net unrealized depreciation | | | | $ | (65,224) | | |
| | Federal income tax cost of investments (including derivative contracts, if any) | | | | $ | 1,683,563 | | |
See accompanying notes to the financial statements.
AGFiQ Global Infrastructure ETF
Schedule of Investments
December 31, 2020 (Unaudited)
| Investments | | | Shares | | | Value ($) | |
| COMMON STOCKS – 99.4% | |
| Construction & Engineering – 3.2% | |
| Vinci SA | | | | | 770 | | | | | $ | 76,616 | | |
| Diversified Telecommunication Services – 2.8% | |
| Cellnex Telecom SA | | | | | 489 | | | | | | 29,357 | | |
| China Tower Corp. Ltd., Class H | | | | | 254,370 | | | | | | 37,446 | | |
| | | | | | | | | | | | 66,803 | | |
| Electric Utilities – 16.2% | |
| AusNet Services | | | | | 7,744 | | | | | | 10,527 | | |
Cia Energetica de Minas Gerais
(Preference) | | | | | 6,090 | | | | | | 17,071 | | |
| Duke Energy Corp. | | | | | 160 | | | | | | 14,650 | | |
| Edison International | | | | | 440 | | | | | | 27,641 | | |
| Endesa SA | | | | | 292 | | | | | | 8,006 | | |
| Eversource Energy | | | | | 420 | | | | | | 36,334 | | |
| Fortis, Inc. | | | | | 766 | | | | | | 31,292 | | |
| Fortum OYJ | | | | | 1,128 | | | | | | 27,135 | | |
| Iberdrola SA | | | | | 1,132 | | | | | | 16,189 | | |
| Mercury NZ Ltd. | | | | | 3,842 | | | | | | 18,048 | | |
| NextEra Energy, Inc. | | | | | 368 | | | | | | 28,391 | | |
| OGE Energy Corp. | | | | | 530 | | | | | | 16,886 | | |
| Orsted A/S | | | | | 72 | | | | | | 14,726 | | |
| Power Assets Holdings Ltd. | | | | | 2,848 | | | | | | 15,449 | | |
| Southern Co. (The) | | | | | 416 | | | | | | 25,555 | | |
| Terna Rete Elettrica Nazionale SpA | | | | | 2,704 | | | | | | 20,631 | | |
| Verbund AG | | | | | 384 | | | | | | 32,855 | | |
| Xcel Energy, Inc. | | | | | 380 | | | | | | 25,335 | | |
| | | | | | | | | | | | 386,721 | | |
| Equity Real Estate Investment Trusts (REITs) – 19.7% | |
| American Tower Corp. | | | | | 762 | | | | | | 171,038 | | |
| Ascendas REIT | | | | | 5,303 | | | | | | 11,941 | | |
| CoreSite Realty Corp. | | | | | 139 | | | | | | 17,414 | | |
| Crown Castle International Corp. | | | | | 778 | | | | | | 123,850 | | |
| CyrusOne, Inc. | | | | | 149 | | | | | | 10,899 | | |
| Digital Realty Trust, Inc. | | | | | 113 | | | | | | 15,765 | | |
| Equinix, Inc. | | | | | 20 | | | | | | 14,284 | | |
| Japan Logistics Fund, Inc. | | | | | 4 | | | | | | 11,796 | | |
| Keppel DC REIT | | | | | 7,859 | | | | | | 16,729 | | |
| QTS Realty Trust, Inc., Class A | | | | | 176 | | | | | | 10,891 | | |
| SBA Communications Corp. | | | | | 181 | | | | | | 51,066 | | |
| STAG Industrial, Inc. | | | | | 534 | | | | | | 16,725 | | |
| | | | | | | | | | | | 472,398 | | |
| Gas Utilities – 4.0% | |
| Atmos Energy Corp. | | | | | 266 | | | | | | 25,384 | | |
| China Gas Holdings Ltd. | | | | | 2,218 | | | | | | 8,844 | | |
| Enagas SA | | | | | 672 | | | | | | 14,756 | | |
| Hong Kong & China Gas Co. Ltd. | | | | | 9,464 | | | | | | 14,160 | | |
| Italgas SpA | | | | | 2,016 | | | | | | 12,865 | | |
| Kunlun Energy Co. Ltd. | | | | | 13,952 | | | | | | 12,066 | | |
| Spire, Inc. | | | | | 120 | | | | | | 7,685 | | |
| | | | | | | | | | | | 95,760 | | |
| Independent Power and Renewable Electricity Producers – 2.8% | |
China Longyuan Power Group Corp. Ltd.,
Class H | | | | | 15,180 | | | | | | 15,186 | | |
| Investments | | | Shares | | | Value ($) | |
| Northland Power, Inc. | | | | | 718 | | | | | $ | 25,761 | | |
| TransAlta Renewables, Inc. | | | | | 1,516 | | | | | | 25,916 | | |
| | | | | | | | | | | | 66,863 | | |
| Interactive Media & Services – 1.2% | |
| Alphabet, Inc., Class C* | | | | | 16 | | | | | | 28,030 | | |
| Internet & Direct Marketing Retail – 1.1% | |
| Amazon.com, Inc.* | | | | | 8 | | | | | | 26,055 | | |
| IT Services – 0.6% | |
| GDS Holdings Ltd., ADR* | | | | | 132 | | | | | | 12,361 | | |
| Switch, Inc., Class A | | | | | 155 | | | | | | 2,537 | | |
| | | | | | | | | | | | 14,898 | | |
| Multi-Utilities – 13.1% | |
| A2A SpA | | | | | 6,104 | | | | | | 9,719 | | |
| AGL Energy Ltd. | | | | | 502 | | | | | | 4,629 | | |
| Algonquin Power & Utilities Corp. | | | | | 1,516 | | | | | | 24,951 | | |
| CenterPoint Energy, Inc. | | | | | 434 | | | | | | 9,392 | | |
| Consolidated Edison, Inc. | | | | | 542 | | | | | | 39,170 | | |
| DTE Energy Co. | | | | | 160 | | | | | | 19,426 | | |
| E.ON SE | | | | | 1,698 | | | | | | 18,805 | | |
| National Grid plc | | | | | 6,537 | | | | | | 77,859 | | |
REN – Redes Energeticas Nacionais SGPS
SA | | | | | 3,650 | | | | | | 10,567 | | |
| RWE AG | | | | | 602 | | | | | | 25,426 | | |
| Sempra Energy | | | | | 440 | | | | | | 56,060 | | |
| WEC Energy Group, Inc. | | | | | 180 | | | | | | 16,565 | | |
| | | | | | | | | | | | 312,569 | | |
| Oil, Gas & Consumable Fuels – 18.4% | |
| Enbridge, Inc. | | | | | 5,370 | | | | | | 171,744 | | |
| Kinder Morgan, Inc. | | | | | 5,273 | | | | | | 72,082 | | |
| ONEOK, Inc. | | | | | 612 | | | | | | 23,488 | | |
| Pembina Pipeline Corp. | | | | | 880 | | | | | | 20,809 | | |
| Targa Resources Corp. | | | | | 429 | | | | | | 11,317 | | |
| TC Energy Corp. | | | | | 1,950 | | | | | | 79,278 | | |
| Williams Cos., Inc. (The) | | | | | 3,067 | | | | | | 61,493 | | |
| | | | | | | | | | | | 440,211 | | |
| Road & Rail – 3.2% | |
| Canadian National Railway Co. | | | | | 258 | | | | | | 28,364 | | |
| Kyushu Railway Co. | | | | | 416 | | | | | | 8,987 | | |
| Union Pacific Corp. | | | | | 188 | | | | | | 39,145 | | |
| | | | | | | | | | | | 76,496 | | |
| Software – 1.5% | |
| Microsoft Corp. | | | | | 164 | | | | | | 36,477 | | |
| Transportation Infrastructure – 8.7% | |
| Aena SME SA* | | | | | 96 | | | | | | 16,763 | | |
| ASTM SpA* | | | | | 756 | | | | | | 19,009 | | |
| Atlantia SpA* | | | | | 624 | | | | | | 11,203 | | |
| Auckland International Airport Ltd. | | | | | 2,354 | | | | | | 12,865 | | |
Beijing Capital International Airport Co. Ltd.,
Class H | | | | | 9,033 | | | | | | 7,543 | | |
| COSCO SHIPPING Ports Ltd. | | | | | 17,514 | | | | | | 12,184 | | |
Fraport AG Frankfurt Airport Services
Worldwide* | | | | | 195 | | | | | | 11,762 | | |
See accompanying notes to the financial statements.
AGFiQ Global Infrastructure ETF
Schedule of Investments
December 31, 2020 (Unaudited)
| Investments | | | Shares | | | Value ($) | |
| Jiangsu Expressway Co. Ltd., Class H | | | | | 7,254 | | | | | $ | 8,122 | | |
| Sydney Airport* | | | | | 8,288 | | | | | | 40,988 | | |
| Transurban Group | | | | | 4,960 | | | | | | 52,284 | | |
| Zhejiang Expressway Co. Ltd., Class H | | | | | 18,000 | | | | | | 15,225 | | |
| | | | | | | | | | | | 207,948 | | |
| Water Utilities – 2.9% | |
| American Water Works Co., Inc. | | | | | 252 | | | | | | 38,675 | | |
| United Utilities Group plc | | | | | 2,600 | | | | | | 31,979 | | |
| | | | | | | | | | | | 70,654 | | |
TOTAL COMMON STOCKS
(Cost $2,373,210) | | | | | | | | | | | 2,378,499 | | |
| EXCHANGE TRADED FUNDS – 0.2% | |
SPDR S&P Global Infrastructure ETF
(Cost $3,980) | | | | | 87 | | | | | | 4,340 | | |
Total Investments – 99.6%
(Cost $2,377,190) | | | | | | | | | | | 2,382,839 | | |
| Other assets less liabilities – 0.4% | | | | | | | | | | | 9,824 | | |
| Net Assets – 100.0% | | | | | | | | | | | 2,392,663 | | |
| |
*
Non-income producing security.
| Abbreviations | | |
| ADR | | | American 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. | |
| SPDR | | | Standard & Poor’s Depositary Receipt | |
As of December 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative contracts, if any) for federal income tax purposes was as follows:
| | Aggregate gross unrealized appreciation | | | | $ | 189,590 | | |
| | Aggregate gross unrealized depreciation | | | | | (186,891) | | |
| | Net unrealized appreciation | | | | $ | 2,699 | | |
| | Federal income tax cost of investments (including derivative contracts, if any) | | | | $ | 2,380,140 | | |
AGFiQ Global Infrastructure ETF invested, as a percentage of net assets, in the following countries as of December 31, 2020:
| | Australia | | | | | 4.5% | | |
| | Austria | | | | | 1.4% | | |
| | Brazil | | | | | 0.7% | | |
| | Canada | | | | | 17.1% | | |
| | China | | | | | 5.4% | | |
| | Denmark | | | | | 0.6% | | |
| | Finland | | | | | 1.1% | | |
| | France | | | | | 3.2% | | |
| | Germany | | | | | 2.3% | | |
| | Hong Kong | | | | | 1.2% | | |
| | Italy | | | | | 3.1% | | |
| | Japan | | | | | 0.9% | | |
| | New Zealand | | | | | 1.3% | | |
| | Portugal | | | | | 0.4% | | |
| | Singapore | | | | | 1.2% | | |
| | Spain | | | | | 3.6% | | |
| | United Kingdom | | | | | 4.6% | | |
| | United States | | | | | 47.0% | | |
| | Other(1) | | | | | 0.4% | | |
| | | | | | | 100.0% | | |
(1)
Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
AGFiQ Dynamic Hedged U.S. Equity ETF
Schedule of Investments
December 31, 2020 (Unaudited)
| Investments | | | Shares | | | Value ($) | |
| EXCHANGE TRADED FUNDS – 100.0% | |
AGFiQ U.S. Market Neutral Anti-Beta
Fund*(a) | | | | | 32,014 | | | | | $ | 610,827 | | |
Communication Services Select Sector SPDR
Fund | | | | | 4,228 | | | | | | 285,305 | | |
Consumer Discretionary Select Sector SPDR
Fund | | | | | 738 | | | | | | 118,655 | | |
Consumer Staples Select Sector SPDR
Fund | | | | | 4,015 | | | | | | 270,812 | | |
| Energy Select Sector SPDR Fund | | | | | 259 | | | | | | 9,816 | | |
| Financial Select Sector SPDR Fund | | | | | 11,168 | | | | | | 329,233 | | |
| Health Care Select Sector SPDR Fund | | | | | 3,894 | | | | | | 441,735 | | |
| Industrial Select Sector SPDR Fund | | | | | 1,474 | | | | | | 130,523 | | |
| Materials Select Sector SPDR Fund | | | | | 1,835 | | | | | | 132,836 | | |
| Real Estate Select Sector SPDR Fund | | | | | 1,662 | | | | | | 60,763 | | |
| Technology Select Sector SPDR Fund | | | | | 4,887 | | | | | | 635,408 | | |
| Utilities Select Sector SPDR Fund | | | | | 1,107 | | | | | | 69,409 | | |
TOTAL EXCHANGE TRADED FUNDS
(Cost $2,565,356) | | | | | | | | | | | 3,095,322 | | |
Total Investments – 100.0%
(Cost $2,565,356) | | | | | | | | 3,095,322 | | |
| Liabilities in excess of other assets – 0.0% | | | | | | | | (95) | | |
| Net Assets – 100.0% | | | | | | | | 3,095,227 | | |
*
Non-income producing security.
(a)
Affiliated company as defined under the Investment Company Act of 1940.
As of December 31, 2020, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments (including derivative contracts, if any) for federal income tax purposes was as follows:
| | Aggregate gross unrealized appreciation | | | | $ | 630,067 | | |
| | Aggregate gross unrealized depreciation | | | | | (100,219) | | |
| | Net unrealized appreciation | | | | $ | 529,848 | | |
| | Federal income tax cost of investments (including derivative contracts, if any) | | | | $ | 2,565,474 | | |
Investment in a company which was affiliated for the period ended December 31, 2020, was as follows:
| Security | | | Value
June 30,
2020 | | | Purchases
at Cost | | | Sales
Proceeds | | | Shares
December 31,
2020 | | | Value
December 31,
2020 | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Dividend
Income | | | Realized
Loss | |
| AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | — | | | | | $ | 710,555 | | | | | $ | 1,362 | | | | | | 32,014 | | | | | $ | 610,827 | | | | | $ | (98,326) | | | | | $ | — | | | | | $ | (40) | | |
See accompanying notes to the financial statements.
AGF Investments Trust
Statements of Assets and Liabilities
December 31, 2020 (Unaudited)
| | | | AGFiQ
U.S. Market Neutral
Momentum Fund | | | AGFiQ
U.S. Market Neutral
Anti-Beta Fund | | | AGFiQ
Hedged Dividend
Income Fund | | | AGFiQ
Global
Infrastructure ETF | |
| ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | |
| Investments in securities, at value(1) | | | | $ | 4,461,707 | | | | | $ | 121,093,814 | | | | | $ | 3,236,093 | | | | | $ | 2,382,839 | | |
| Cash | | | | | 449,783 | | | | | | 6,116,109 | | | | | | 180,951 | | | | | | 34,765 | | |
Segregated cash balance with custodian for
swap agreements (Note 2) | | | | | 20,039 | | | | | | 4,774,237 | | | | | | — | | | | | | — | | |
| Segregated cash balance with broker for securities sold short (Note 2) | | | | | 4,891,931 | | | | | | 123,573,953 | | | | | | 1,390,288 | | | | | | — | | |
| Unrealized appreciation on swap agreements | | | | | 323,438 | | | | | | 3,925,498 | | | | | | — | | | | | | — | | |
| Receivables: | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
| Securities sold | | | | | 39,354 | | | | | | 892,272 | | | | | | 1,363,759 | | | | | | 9,381 | | |
| Dividends and interest | | | | | 1,815 | | | | | | 116,727 | | | | | | 14,400 | | | | | | 6,849 | | |
| Receivable for capital shares issued | | | | | — | | | | | | 955,905 | | | | | | — | | | | | | — | | |
| Investment adviser (Note 4) | | | | | 15,250 | | | | | | 84,333 | | | | | | 14,887 | | | | | | 14,090 | | |
| Foreign tax reclaims | | | | | — | | | | | | — | | | | | | — | | | | | | 1,809 | | |
| Prepaid expenses | | | | | 1,018 | | | | | | 10,494 | | | | | | 757 | | | | | | 221 | | |
| Total Assets | | | | | 10,204,335 | | | | | | 261,543,342 | | | | | | 6,201,135 | | | | | | 2,449,954 | | |
| LIABILITIES | | | | | | | | | | | | | | | | | | | | | | | | | |
| Securities sold short, at value(2) | | | | | 4,898,438 | | | | | | 123,478,682 | | | | | | 1,617,754 | | | | | | — | | |
| Foreign Cash Overdraft | ��� | | | | — | | | | | | — | | | | | | — | | | | | | 9,381 | | |
| Unrealized depreciation on swap agreements | | | | | 237,070 | | | | | | 3,549,914 | | | | | | — | | | | | | — | | |
| Payables: | | | | | | | | | | | | | | | | | | | | | | | | | |
| Securities purchased | | | | | — | | | | | | 1,467,271 | | | | | | 1,248,021 | | | | | | — | | |
| Income distributions | | | | | — | | | | | | — | | | | | | 6,000 | | | | | | 29,198 | | |
| Trustees fees | | | | | 628 | | | | | | 22,521 | | | | | | 362 | | | | | | 275 | | |
| Dividends on securities sold short | | | | | 10,273 | | | | | | 197,093 | | | | | | 1,134 | | | | | | — | | |
| Accrued expenses and other liabilities | | | | | 20,876 | | | | | | 17,799 | | | | | | 26,012 | | | | | | 18,437 | | |
| Total Liabilities | | | | | 5,167,285 | | | | | | 128,733,280 | | | | | | 2,899,283 | | | | | | 57,291 | | |
| Net Assets | | | | $ | 5,037,050 | | | | | $ | 132,810,062 | | | | | $ | 3,301,852 | | | | | $ | 2,392,663 | | |
| NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | | | | | | | | | | |
| Paid-in capital | | | | | 7,869,694 | | | | | | 188,103,358 | | | | | | 4,479,468 | | | | | | 2,500,022 | | |
| Distributable earnings (loss) | | | | | (2,832,644) | | | | | | (55,293,296) | | | | | | (1,177,616) | | | | | | (107,359) | | |
| Net Assets | | | | $ | 5,037,050 | | | | | $ | 132,810,062 | | | | | $ | 3,301,852 | | | | | $ | 2,392,663 | | |
| 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 | | | | | 200,000 | | | | | | 6,950,000 | | | | | | 150,000 | | | | | | 100,001 | | |
| Net Asset Value | | | | $ | 25.19 | | | | | $ | 19.11 | | | | | $ | 22.01 | | | | | $ | 23.93 | | |
(1) Investments in securities, at cost | | | | $ | 3,374,845 | | | | | $ | 107,416,525 | | | | | $ | 3,023,621 | | | | | $ | 2,377,190 | | |
(2) Securities sold short, proceeds | | | | $ | 4,173,850 | | | | | $ | 107,886,227 | | | | | $ | 1,447,201 | | | | | $ | — | | |
See accompanying notes to the financial statements.
AGF Investments Trust
Statements of Assets and Liabilities
December 31, 2020 (Unaudited)
| | | | AGFiQ
Dynamic Hedged
U.S. Equity ETF | |
| ASSETS | | | | | | | |
| Investments in securities, at value(1) | | | | $ | 2,484,495 | | |
| Investments in affiliates, at value(3) | | | | | 610,827 | | |
| Cash | | | | | 73,135 | | |
| Receivables: | | | | | — | | |
| Investment adviser (Note 4) | | | | | 13,858 | | |
| Prepaid expenses | | | | | 221 | | |
| Total Assets | | | | | 3,182,536 | | |
| LIABILITIES | | | | | | | |
| Payables: | | | | | | | |
| Income distributions | | | | | 35,896 | | |
| Capital gain distributions | | | | | 30,137 | | |
| Trustees fees | | | | | 330 | | |
| Accrued expenses and other liabilities | | | | | 20,946 | | |
| Total Liabilities | | | | | 87,309 | | |
| Net Assets | | | | $ | 3,095,227 | | |
| NET ASSETS CONSIST OF: | | | | | | | |
| Paid-in capital | | | | | 2,499,949 | | |
| Distributable earnings (loss) | | | | | 595,278 | | |
| Net Assets | | | | $ | 3,095,227 | | |
| 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 | | |
| Net Asset Value | | | | $ | 30.95 | | |
(1) Investments in securities, at cost | | | | $ | 1,856,203 | | |
(3) Investments in affiliates, at cost | | | | $ | 709,153 | | |
See accompanying notes to the financial statements.
AGF Investments Trust
Statements of Operations
For the Period Ended December 31, 2020 (Unaudited)
| | | | AGFiQ
U.S. Market
Neutral
Momentum Fund | | | AGFiQ
U.S. Market
Neutral
Anti-Beta Fund | | | AGFiQ
Hedged
Dividend
Income Fund | | | AGFiQ
Global
Infrastructure
ETF | |
| INVESTMENT INCOME | | | | | | | | | | | | | | | | | | | | | | | | | |
| Dividend income | | | | $ | 32,191 | | | | | $ | 1,708,649 | | | | | $ | 81,411 | | | | | $ | 41,800 | | |
| Interest income on securities sold short | | | | | (10,261) | | | | | | (351,537) | | | | | | (2,968) | | | | | | — | | |
| Foreign withholding tax on dividends | | | | | — | | | | | | — | | | | | | — | | | | | | (3,268) | | |
| Total Investment Income | | | | | 21,930 | | | | | | 1,357,112 | | | | | | 78,443 | | | | | | 38,532 | | |
| EXPENSES | | | | | | | | | | | | | | | | | | | | | | | | | |
| Dividends on securities sold short | | | | | 57,797 | | | | | | 1,748,594 | | | | | | 10,165 | | | | | | — | | |
| Investment management fees (Note 4) | | | | | 13,157 | | | | | | 452,158 | | | | | | 7,143 | | | | | | 5,371 | | |
| Professional fees | | | | | 19,275 | | | | | | 257,361 | | | | | | 17,506 | | | | | | 14,666 | | |
| Custody fees | | | | | 3,491 | | | | | | 13,533 | | | | | | 1,767 | | | | | | 2,499 | | |
| Index fees | | | | | 6,004 | | | | | | 6,004 | | | | | | 7,265 | | | | | | 2,222 | | |
| CCO fees | | | | | 2,955 | | | | | | 32,283 | | | | | | 2,445 | | | | | | 2,354 | | |
| Treasurer fees | | | | | 2,417 | | | | | | 14,938 | | | | | | 2,200 | | | | | | 2,160 | | |
| Listing fees | | | | | 3,582 | | | | | | 3,582 | | | | | �� | 3,582 | | | | | | 4,776 | | |
| Accounting fees | | | | | 15,000 | | | | | | 18,873 | | | | | | 15,000 | | | | | | 15,000 | | |
| Trustees fees | | | | | 1,312 | | | | | | 44,758 | | | | | | 664 | | | | | | 506 | | |
| Administration fees (Note 5) | | | | | 38,200 | | | | | | 38,200 | | | | | | 38,200 | | | | | | 38,200 | | |
| Other fees | | | | | 5,997 | | | | | | 23,253 | | | | | | 5,768 | | | | | | 5,322 | | |
| Total Expenses before Adjustments | | | | | 169,187 | | | | | | 2,653,537 | | | | | | 111,705 | | | | | | 93,076 | | |
Less: waivers and/or reimbursements by Adviser
(Note 4) | | | | | (98,231) | | | | | | (452,769) | | | | | | (94,398) | | | | | | (87,705) | | |
| Total Expenses after Adjustments | | | | | 70,956 | | | | | | 2,200,768 | | | | | | 17,307 | | | | | | 5,371 | | |
| Net Investment Income (Loss) | | | | | (49,026) | | | | | | (843,656) | | | | | | 61,136 | | | | | | 33,161 | | |
| NET REALIZED GAIN (LOSS) FROM: | | | | | | | | | | | | | | | | | | | | | | | | | |
| Transactions in Investment securities | | | | | 950,731 | | | | | | 5,451,178 | | | | | | 148,903 | | | | | | (78,549) | | |
| Foreign currency transactions | | | | | — | | | | | | — | | | | | | — | | | | | | (138) | | |
| In-kind redemptions of investments | | | | | — | | | | | | 11,652,966 | | | | | | — | | | | | | — | | |
| Securities sold short | | | | | (1,388,397) | | | | | | (47,305,723) | | | | | | (55,620) | | | | | | — | | |
| Expiration or closing of swap agreements | | | | | (2,453) | | | | | | (1,739,370) | | | | | | — | | | | | | — | | |
| Net Realized Gain (Loss) | | | | | (440,119) | | | | | | (31,940,949) | | | | | | 93,283 | | | | | | (78,687) | | |
| NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM: | | | | | | | | | | | | | | | | | | | | | | | | | |
| Investments in securities | | | | | 291,873 | | | | | | 13,135,559 | | | | | | 371,842 | | | | | | 160,904 | | |
| Securities sold short | | | | | (575,240) | | | | | | (25,455,128) | | | | | | (284,492) | | | | | | — | | |
| Swap agreements | | | | | (1,347) | | | | | | (1,805,931) | | | | | | — | | | | | | — | | |
Translation of assets and liabilities denominated
in foreign currencies | | | | | — | | | | | | — | | | | | | — | | | | | | 205 | | |
| Net Change in Unrealized Appreciation (Depreciation) | | | | | (284,714) | | | | | | (14,125,500) | | | | | | 87,350 | | | | | | 161,109 | | |
| Net Realized and Unrealized Gain (Loss) | | | | | (724,833) | | | | | | (46,066,449) | | | | | | 180,633 | | | | | | 82,422 | | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | | $ | (773,859) | | | | | $ | (46,910,105) | | | | | $ | 241,769 | | | | | $ | 115,583 | | |
See accompanying notes to the financial statements.
AGF Investments Trust
Statements of Operations
For the Period Ended December 31, 2020 (Unaudited)
| | | | AGFiQ
Dynamic Hedged
U.S. Equity ETF | |
| INVESTMENT INCOME | | | | | | | |
| Dividend income | | | | $ | 21,861 | | |
| Total Investment Income | | | | | 21,861 | | |
| EXPENSES | | | | | | | |
| Investment management fees (Note 4) | | | | | 6,751 | | |
| Professional fees | | | | | 15,184 | | |
| Custody fees | | | | | 348 | | |
| Index fees | | | | | 2,222 | | |
| CCO fees | | | | | 2,434 | | |
| Treasurer fees | | | | | 2,195 | | |
| Listing fees | | | | | 4,776 | | |
| Accounting fees | | | | | 15,000 | | |
| Trustees fees | | | | | 617 | | |
| Administration fees (Note 5) | | | | | 38,200 | | |
| Other fees | | | | | 5,309 | | |
| Total Expenses before Adjustments | | | | | 93,036 | | |
| Less: waivers and/or reimbursements by Adviser (Note 4) | | | | | (87,040) | | |
| Total Expenses after Adjustments | | | | | 5,996 | | |
| Net Investment Income (Loss) | | | | | 15,865 | | |
| NET REALIZED GAIN (LOSS) FROM: | | | | | | | |
| Transactions in Investment securities of Affiliated Underlying Funds | | | | | (40) | | |
| Transactions in Investment securities | | | | | 66,977 | | |
| Net Realized Gain (Loss) | | | | | 66,937 | | |
| NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM: | | | | | | | |
| Investments in securities | | | | | 421,931 | | |
| Investments in Affiliated Underlying Funds | | | | | (98,326) | | |
| Net Change in Unrealized Appreciation (Depreciation) | | | | | 323,605 | | |
| Net Realized and Unrealized Gain (Loss) | | | | | 390,542 | | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | | $ | 406,407 | | |
See accompanying notes to the financial statements.
AGF Investments Trust
Statements of Changes in Net Assets
| | | | AGFiQ U.S. Market Neutral
Momentum Fund | | | AGFiQ U.S. Market Neutral
Anti-Beta Fund | |
| | | | Six Months Ended
December 31, 2020
(Unaudited) | | | Year Ended
June 30, 2020 | | | Six Months Ended
December 31, 2020
(Unaudited) | | | Year Ended
June 30, 2020 | |
| OPERATIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | | $ | (49,026) | | | | | $ | (28,799) | | | | | $ | (843,656) | | | | | $ | 321,328 | | |
| Net realized gain (loss) | | | | | (440,119) | | | | | | (25,651) | | | | | | (31,940,949) | | | | | | 303,276 | | |
| Net change in unrealized appreciation (depreciation) | | | | | (284,714) | | | | | | 265,244 | | | | | | (14,125,500) | | | | | | 11,071,381 | | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | | | (773,859) | | | | | | 210,794 | | | | | | (46,910,105) | | | | | | 11,695,985 | | |
| DISTRIBUTIONS (Note 2) | | | | | | | | | | | | | | | | | | | | | | | | | |
| Distributable earnings | | | | | — | | | | | | — | | | | | | — | | | | | | (1,077,142) | | |
| Total Distributions | | | | | — | | | | | | — | | | | | | — | | | | | | (1,077,142) | | |
| CAPITAL TRANSACTIONS(1) | | | | | | | | | | | | | | | | | | | | | | | | | |
| Proceeds from shares issued | | | | | — | | | | | | 7,156,217 | | | | | | 80,154,657 | | | | | | 297,822,206 | | |
| Cost of shares redeemed | | | | | — | | | | | | (4,016,549) | | | | | | (93,189,173) | | | | | | (181,178,598) | | |
| Net Increase (Decrease) from Capital Transactions | | | | | — | | | | | | 3,139,668 | | | | | | (13,034,516) | | | | | | 116,643,608 | | |
| Total Increase (Decrease) in Net Assets | | | | | (773,859) | | | | | | 3,350,462 | | | | | | (59,944,621) | | | | | | 127,262,451 | | |
| NET ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | |
| Beginning of period | | | | $ | 5,810,909 | | | | | $ | 2,460,447 | | | | | $ | 192,754,683 | | | | | $ | 65,492,232 | | |
| End of Period | | | | $ | 5,037,050 | | | | | $ | 5,810,909 | | | | | $ | 132,810,062 | | | | | $ | 192,754,683 | | |
| SHARE TRANSACTIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
| Beginning of period | | | | | 200,000 | | | | | | 100,000 | | | | | | 7,950,000 | | | | | | 3,000,000 | | |
| Shares issued | | | | | — | | | | | | — | | | | | | 50,000 | | | | | | 2,300,000 | | |
| Shares issued in-kind | | | | | — | | | | | | 250,000 | | | | | | 3,300,000 | | | | | | 10,100,000 | | |
| Shares redeemed | | | | | — | | | | | | (100,000) | | | | | | — | | | | | | — | | |
| Shares redeemed in-kind | | | | | — | | | | | | (50,000) | | | | | | (4,350,000) | | | | | | (7,450,000) | | |
| Shares Outstanding, End of Period | | | | | 200,000 | | | | | | 200,000 | | | | | | 6,950,000 | | | | | | 7,950,000 | | |
(1)
Capital transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 7 to the Financial Statements.
See accompanying notes to the financial statements.
AGF Investments Trust
Statements of Changes in Net Assets
| | | | AGFiQ Hedged Dividend
Income Fund | | | AGFiQ Global
Infrastructure ETF | |
| | | | Six Months Ended
December 31, 2020
(Unaudited) | | | Year Ended
June 30, 2020 | | | Six Months Ended
December 31, 2020
(Unaudited) | | | Year Ended
June 30, 2020 | |
| OPERATIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | | $ | 61,136 | | | | | $ | 168,711 | | | | | $ | 33,161 | | | | | $ | 70,588 | | |
| Net realized gain (loss) | | | | | 93,283 | | | | | | (503,758) | | | | | | (78,687) | | | | | | (37,387) | | |
| Net change in unrealized appreciation (depreciation) | | | | | 87,350 | | | | | | 4,417 | | | | | | 161,109 | | | | | | (216,808) | | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | | | 241,769 | | | | | | (330,630) | | | | | | 115,583 | | | | | | (183,607) | | |
| DISTRIBUTIONS (Note 2) | | | | | | | | | | | | | | | | | | | | | | | | | |
| Distributable earnings | | | | | (19,771) | | | | | | (196,558) | | | | | | (45,160) | | | | | | (68,803) | | |
| Tax return of capital | | | | | — | | | | | | (16,969) | | | | | | — | | | | | | — | | |
| Total Distributions | | | | | (19,771) | | | | | | (213,527) | | | | | | (45,160) | | | | | | (68,803) | | |
| CAPITAL TRANSACTIONS(1) | | | | | | | | | | | | | | | | | | | | | | | | | |
| Proceeds from shares issued | | | | | — | | | | | | 1,200,348 | | | | | | — | | | | | | — | | |
| Cost of shares redeemed | | | | | — | | | | | | (2,346,703) | | | | | | — | | | | | | — | | |
| Net Increase (Decrease) from Capital Transactions | | | | | — | | | | | | (1,146,355) | | | | | | — | | | | | | — | | |
| Total Increase (Decrease) in Net Assets | | | | | 221,998 | | | | | | (1,690,512) | | | | | | 70,423 | | | | | | (252,410) | | |
| NET ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | |
| Beginning of period | | | | $ | 3,079,854 | | | | | $ | 4,770,366 | | | | | $ | 2,322,240 | | | | | $ | 2,574,650 | | |
| End of Period | | | | $ | 3,301,852 | | | | | $ | 3,079,854 | | | | | $ | 2,392,663 | | | | | $ | 2,322,240 | | |
| SHARE TRANSACTIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
| Beginning of period | | | | | 150,000 | | | | | | 200,000 | | | | | | 100,001 | | | | | | 100,001 | | |
| Shares issued in-kind | | | | | — | | | | | | 50,000 | | | | | | — | | | | | | — | | |
| Shares redeemed in-kind | | | | | — | | | | | | (100,000) | | | | | | — | | | | | | — | | |
| Shares Outstanding, End of Period | | | | | 150,000 | | | | | | 150,000 | | | | | | 100,001 | | | | | | 100,001 | | |
(1)
Capital transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 7 to the Financial Statements.
See accompanying notes to the financial statements.
AGF Investments Trust
Statements of Changes in Net Assets
| | �� | | AGFiQ Dynamic Hedged U.S.
Equity ETF | |
| | | | Six Months Ended
December 31, 2020
(Unaudited) | | | Year Ended
June 30, 2020 | |
| OPERATIONS | | | | | | | | | | | | | |
| Net investment income (loss) | | | | $ | 15,865 | | | | | $ | 40,517 | | |
| Net realized gain (loss) | | | | | 66,937 | | | | | | 37,439 | | |
| Net change in unrealized appreciation (depreciation) | | | | | 323,605 | | | | | | 148,072 | | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | | | 406,407 | | | | | | 226,028 | | |
| DISTRIBUTIONS (Note 2) | | | | | | | | | | | | | |
| Distributable earnings | | | | | (66,033) | | | | | | (38,385) | | |
| Total Distributions | | | | | (66,033) | | | | | | (38,385) | | |
| CAPITAL TRANSACTIONS | | | | | | | | | | | | | |
| Proceeds from shares issued | | | | | — | | | | | | — | | |
| Cost of shares redeemed | | | | | — | | | | | | — | | |
| Net Increase (Decrease) from Capital Transactions | | | | | — | | | | | | — | | |
| Total Increase (Decrease) in Net Assets | | | | | 340,374 | | | | | | 187,643 | | |
| NET ASSETS | | | | | | | | | | | | | |
| Beginning of period | | | | $ | 2,754,853 | | | | | $ | 2,567,210 | | |
| End of Period | | | | $ | 3,095,227 | | | | | $ | 2,754,853 | | |
| SHARE TRANSACTIONS | | | | | | | | | | | | | |
| Beginning of period | | | | | 100,001 | | | | | | 100,001 | | |
| Shares issued in-kind | | | | | — | | | | | | — | | |
| Shares redeemed in-kind | | | | | — | | | | | | — | | |
| Shares Outstanding, End of Period | | | | | 100,001 | | | | | | 100,001 | | |
See accompanying notes to the financial statements.
Financial Highlights for a share outstanding throughout the period
| | | | 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(10) | | | Net asset
value,
end of
period | |
| AGFiQ U.S. Market Neutral Momentum Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| For the six months ended 12/31/20 (unaudited) | | | | $ | 29.05 | | | | | $ | (0.25) | | | | | $ | (3.61) | | | | | $ | (3.86) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 25.19 | | |
| Year ended June 30, 2020 | | | | | 24.60 | | | | | | (0.26) | | | | | | 4.65 | | | | | | 4.39 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 0.06 | | | | | | 29.05 | | |
| Year ended June 30, 2019 | | | | | 24.54 | | | | | | 0.02 | | | | | | —(9) | | | | | | 0.02(15) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 0.04 | | | | | | 24.60 | | |
| Year ended June 30, 2018 | | | | | 22.41 | | | | | | (0.21) | | | | | | 2.34 | | | | | | 2.13 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | —(9) | | | | | | 24.54 | | |
| Year ended June 30, 2017 | | | | | 26.73 | | | | | | (0.21) | | | | | | (4.12) | | | | | | (4.33)(15) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 0.01 | | | | | | 22.41 | | |
| Year ended June 30, 2016 | | | | | 24.99 | | | | | | (0.63) | | | | | | 2.37(8) | | | | | | 1.74 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 26.73 | | |
| AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| For the six months ended 12/31/20 (unaudited) | | | | | 24.25 | | | | | | (0.10) | | | | | | (5.05) | | | | | | (5.15) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 0.01 | | | | | | 19.11 | | |
| Year ended June 30, 2020 | | | | | 21.83 | | | | | | 0.06 | | | | | | 2.52 | | | | | | 2.58 | | | | | | (0.20) | | | | | | — | | | | | | — | | | | | | (0.20) | | | | | | 0.04 | | | | | | 24.25 | | |
| Year ended June 30, 2019 | | | | | 20.05 | | | | | | 0.31 | | | | | | 1.52 | | | | | | 1.83(15) | | | | | | (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)(15) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 0.02 | | | | | | 20.00 | | |
| Year ended June 30, 2016 | | | | | 19.34 | | | | | | (0.13) | | | | | | 4.09(8) | | | | | | 3.96 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 23.30 | | |
| AGFiQ Hedged Dividend Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| For the six months ended 12/31/20 (unaudited) | | | | | 20.53 | | | | | | 0.41 | | | | | | 1.20 | | | | | | 1.61 | | | | | | (0.13) | | | | | | — | | | | | | — | | | | | | (0.13) | | | | | | — | | | | | | 22.01 | | |
| Year ended June 30, 2020 | | | | | 23.85 | | | | | | 0.93 | | | | | | (3.04) | | | | | | (2.11) | | | | | | (1.10) | | | | | | — | | | | | | (0.11) | | | | | | (1.21) | | | | | | —(9) | | | | | | 20.53 | | |
| Year ended June 30, 2019 | | | | | 23.56 | | | | | | 1.00 | | | | | | 0.16 | | | | | | 1.16 | | | | | | (0.87) | | | | | | — | | | | | | — | | | | | | (0.87) | | | | | | —(9) | | | | | | 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(15) | | | | | | (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 | | |
| AGFiQ Global Infrastructure ETF | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| For the six months ended 12/31/20 (unaudited) | | | | | 23.22 | | | | | | 0.33 | | | | | | 0.83 | | | | | | 1.16 | | | | | | (0.45) | | | | | | — | | | | | | — | | | | | | (0.45) | | | | | | — | | | | | | 23.93 | | |
| Year ended June 30, 2020 | | | | | 25.75 | | | | | | 0.71 | | | | | | (2.55) | | | | | | (1.84) | | | | | | (0.69) | | | | | | —(9) | | | | | | — | | | | | | (0.69) | | | | | | — | | | | | | 23.22 | | |
| 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 12/31/20 (unaudited) | | | | | 27.55 | | | | | | 0.16 | | | | | | 3.90 | | | | | | 4.06 | | | | | | (0.36) | | | | | | (0.30) | | | | | | — | | | | | | (0.66) | | | | | | — | | | | | | 30.95 | | |
| Year ended June 30, 2020 | | | | | 25.67 | | | | | | 0.41 | | | | | | 1.85 | | | | | | 2.26 | | | | | | (0.31) | | | | | | (0.07) | | | | | | — | | | | | | (0.38) | | | | | | — | | | | | | 27.55 | | |
| For the period 05/23/19* – 06/30/19 | | | | | 25.00 | | | | | | 0.09 | | | | | | 0.58 | | | | | | 0.67 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 25.67 | | |
*
Commencement of investment operations.
(1)
Net investment income (loss) per share is based on average shares outstanding.
(2)
Net investment income (loss) per share is based on average shares outstanding.
(3)
Not annualized for periods less than one year.
(4)
Had certain expenses not been waived/reimbursed during the periods, if applicable, total returns would have been lower.
(5)
Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at net asset value.
(6)
Market value total return is calculated assuming an initial investment made at market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period at market value. The market value is determined by the midpoint of the bid/ask spread at 4:00 p.m. from the NYSE Arca, Inc. Exchange. Market value returns may vary from net asset value returns.
(7)
In-kind transactions are not included in portfolio turnover calculations.
(8)
The amount shown for a share outstanding throughout the period is not in accordance with the aggregate net realized and unrealized gain (loss) for that period because of the timing of sales and repurchases of the Fund shares in relation to fluctuating market value of the investments in the Fund.
(9)
Per share amount is less than $0.01.
(10)
Includes transaction fees associated with the issuance and redemption of Creation Units.
(11)
This ratio reflects the exclusion of large, non-recurring dividends (special dividends) recognized by the Funds during each period. If a special dividend was received during a period, this ratio will be lower than the net investment income (loss) per share ratio presented for the same period herein.
(12)
This ratio reflects the exclusion of large, non-recurring dividends (special dividends) recognized by the Funds during each period. If a special dividend was received during a period, this ratio will be lower than the net investment income (loss) of average net assets ratio presented for the same period herein.
(13)
The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Fund in which the Fund is invested. This ratio does not include these indirect fees and expenses.
(14)
The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not reflect the indirect expenses of the underlying non-affiliated Funds in which it invests. Additionally, the Adviser has contractually agreed to waive the management fee charged to a Fund to the extent of the amount of any acquired fund fees and expenses incurred by the Fund that are attributable to the management fee paid to the Adviser (or an affiliated person of the Adviser) by an underlying fund in which the Fund invests. If the ratio had included these affiliated indirect expenses, the ratio would have been higher.
(15)
Due to certain Financial Highlight presentation reclassifications, these amounts may differ from what was presented in previous shareholder reports.
See accompanying notes to the financial statements
| | 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(11) | | | Net
investment
income
(loss) per
share
excluding
special
dividends(12) | | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 0.45% | | | | | | 2.43% | | | | | | 5.79% | | | | | | (1.68)% | | | | | | (5.04)% | | | | | | (1.68)% | | | | | $ | (0.25) | | | | | | (13.29)% | | | | | | (12.95)% | | | | | | 43% | | | | | | 145% | | | | | $ | 5,037 | | |
| | | | 0.70 | | | | | | 2.83 | | | | | | 9.79 | | | | | | (0.99) | | | | | | (7.95) | | | | | | (0.99) | | | | | | (0.26) | | | | | | 18.09 | | | | | | 17.44 | | | | | | 132 | | | | | | 391 | | | | | | 5,811 | | |
| | | | 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 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 0.45 | | | | | | 2.19 | | | | | | 2.64 | | | | | | (0.84) | | | | | | (1.29) | | | | | | (0.84) | | | | | $ | (0.10) | | | | | | (21.20) | | | | | | (21.56) | | | | | | 10 | | | | | | 111 | | | | | | 132,810 | | |
| | | | 0.45 | | | | | | 2.19 | | | | | | 2.57 | | | | | | 0.25 | | | | | | (0.13) | | | | | | 0.25 | | | | | | 0.06 | | | | | | 12.07 | | | | | | 11.99 | | | | | | 144 | | | | | | 483 | | | | | | 192,755 | | |
| | | | 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 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 0.45 | | | | | | 1.09 | | | | | | 7.04 | | | | | | 3.85 | | | | | | (2.10) | | | | | | 3.85 | | | | | $ | 0.41 | | | | | | 7.89 | | | | | | 8.00 | | | | | | 56 | | | | | | 86 | | | | | | 3,302 | | |
| | | | 0.45 | | | | | | 1.21 | | | | | | 6.30 | | | | | | 3.99 | | | | | | (1.10) | | | | | | 3.99 | | | | | | 0.93 | | | | | | (9.10) | | | | | | (9.42) | | | | | | 127 | | | | | | 187 | | | | | | 3,080 | | |
| | | | 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 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 0.45(13) | | | | | | 0.45(13) | | | | | | 7.80(13) | | | | | | 2.78 | | | | | | (4.57) | | | | | | 2.78 | | | | | $ | 0.33 | | | | | | 5.05 | | | | | | 4.20 | | | | | | 25 | | | | | | 25 | | | | | | 2,393 | | |
| | | | 0.45(13) | | | | | | 0.45(13) | | | | | | 6.81(13) | | | | | | 2.82 | | | | | | (3.54) | | | | | | 2.82 | | | | | | 0.71 | | | | | | (7.32) | | | | | | (6.76) | | | | | | 32 | | | | | | 32 | | | | | | 2,322 | | |
| | | | 0.45(13) | | | | | | 0.45(13) | | | | | | 16.91(13) | | | | | | 5.28 | | | | | | (11.19) | | | | | | 5.28 | | | | | | 0.14 | | | | | | 3.00 | | | | | | 3.00 | | | | | | — | | | | | | — | | | | | | 2,575 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 0.40(14) | | | | | | 0.40(14) | | | | | | 6.20(14) | | | | | | 1.06 | | | | | | (4.74) | | | | | | 1.06 | | | | | $ | 0.16 | | | | | | 14.75 | | | | | | 14.69 | | | | | | 12 | | | | | | 12 | | | | | | 3,095 | | |
| | | | 0.33(14) | | | | | | 0.33(14) | | | | | | 6.04(14) | | | | | | 1.52 | | | | | | (4.18) | | | | | | 1.52 | | | | | | 0.41 | | | | | | 8.81 | | | | | | 8.30 | | | | | | 31 | | | | | | 31 | | | | | | 2,755 | | |
| | | | 0.36(14) | | | | | | 0.36(14) | | | | | | 15.05(14) | | | | | | 3.30 | | | | | | (11.38) | | | | | | 3.30 | | | | | | 0.09 | | | | | | 2.68 | | | | | | 2.72 | | | | | | — | | | | | | — | | | | | | 2,567 | | |
See accompanying notes to the financial statements
AGF Investments Trust
Notes to Financial Statements
December 31, 2020 (Unaudited)
1. Organization
AGF Investments Trust (formerly known as FQF Trust) (the “Trust”), a Delaware statutory trust, was formed on November 19, 2009. The Trust consists of 7 funds, 5 of which are presented herein, the AGFiQ Funds: AGFiQ U.S. Market Neutral Momentum Fund, AGFiQ U.S. Market Neutral Anti-Beta Fund, AGFiQ Hedged Dividend Income Fund, AGFiQ Global Infrastructure ETF, and AGFiQ Dynamic Hedged U.S. Equity ETF (each, a “Fund”; collectively, the “Funds”). The remaining 2 funds are presented in a separate report. AGF Investments LLC (the “Adviser”) is the investment adviser to each Fund. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”).
The AGFiQ U.S. Market Neutral Value Fund ceased trading on the NYSE Arca, Inc. (“NYSE Arca”) and was closed for purchase by investors as of the close of regular trading on NYSE Arca on December 11, 2020. The final liquidating distribution was paid to shareholders on December 30, 2020 to complete the liquidation of the Fund.
The investment objective of each of AGFiQ U.S. Market Neutral Momentum Fund, AGFiQ U.S. Market Neutral Anti-Beta Fund, and AGFiQ Hedged Dividend Income Fund (collectively, the “Target Index Funds”) is to provide performance results that correspond to the price and yield performance, before fees and expenses, of a specified benchmark index (each, a “Target Index”). The AGFiQ Global Infrastructure ETF seeks to achieve its investment objective by investing, under normal circumstances in securities of infrastructure-related companies located throughout the world, including the U.S. and infrastructure-related investments. The AGFiQ Dynamic Hedged U.S. Equity ETF will operate as a “fund-of-funds” by investing primarily in sector-based ETFs and other ETFs. Each Fund is classified as a “diversified” Fund within the meaning of the 1940 Act. There can be no assurance that the Funds will achieve their respective investment objectives.
2. Significant Accounting Policies
The following is a summary of the significant accounting policies followed by the Funds in preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of the financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements during the reporting period. Management believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the financial statements may differ from the value the Funds ultimately realize upon sale of the securities.
Investment Valuation
The NAV of each Fund’s shares is calculated each business day as of the close of regular trading on the New York Stock Exchange (“NYSE”), generally 4:00 p.m., Eastern Time. NAV per share is computed by dividing a Fund’s net assets (i.e. total assets, less liabilities) by the number of shares it has outstanding.
The value of each Fund’s securities held long and securities held short is based on such securities’ closing price on local markets when available. Such valuations would typically be categorized as Level 1 in the fair value hierarchy described below. If a security’s market price is not readily available, or if the value of a security the Funds hold has been materially affected by events occurring before the Funds’ pricing time but after the close of the primary markets or exchanges on which the security is traded, the security will be fair valued by Pricing Procedures the Funds’ Valuation Committee adheres to in accordance with the Trust’s procedures which were approved by the Board of Trustees (the “Trustees”).
Each Fund may use fair value pricing in a variety of circumstances, including but not limited to, situations when the value of a Fund’s security has been materially affected by events occurring after the close of the market on which such security is principally traded (such as a corporate action or other news that may materially affect the price of such security) or trading in such security has been suspended or halted. Such valuations would typically be categorized as Level 2 or Level 3 in the fair value hierarchy described below. Fair value pricing involves subjective judgments and
AGF Investments Trust
Notes to Financial Statements (continued)
December 31, 2020 (Unaudited)
it is possible that a fair value determination for a security is materially different than the value that could be realized upon the sale of such security. In addition, fair value pricing could result in a difference between the prices used to calculate a Fund’s NAV and the prices used by the Fund’s Target Index. This may adversely affect a Fund’s ability to track its Target Index. Securities of non-exchange traded and exchange traded investment companies are valued at their NAV and market value, respectively.
Generally, each Fund , other than AGFIQ Global infrastructure ETF and AGFIQ Dynamic Hedged U.S. Equity ETF (the “Active ETFs”), prices its swap agreements daily using industry standard models that may incorporate quotations from market makers or pricing vendors (unless the underlying reference security is closed or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, in which case the quotations will be adjusted, to the extent practicable and available, based on inputs from an independent pricing source approved by the Trustees) and records the change in value, if any, as unrealized gain or loss. Such valuations would typically be categorized as Level 2 in the fair value hierarchy described below. Gains or losses are realized upon termination of the swap agreements or reset dates, as appropriate.
The Funds disclose the fair value of their investments in a hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs) and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the hierarchy are as follows:
•
Level 1 — Quoted prices in active markets for identical assets.
•
Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
•
Level 3 — Significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the valuations as of December 31, 2020 for each Fund based upon the three levels defined above:
| | | | 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* | | | | $ | 4,461,707 | | | | | $ | — | | | | | $ | — | | | | | $ | 4,461,707 | | |
| Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
| Common Stocks* | | | | $ | (4,898,438) | | | | | $ | — | | | | | $ | — | | | | | $ | (4,898,438) | | |
| Total Investments | | | | $ | (436,731) | | | | | $ | — | | | | | $ | — | | | | | $ | (436,731) | | |
| Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | |
| Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
| Swap Agreements** | | | | $ | — | | | | | $ | 323,438 | | | | | $ | — | | | | | $ | 323,438 | | |
| Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
| Swap Agreements** | | | | $ | — | | | | | $ | (237,070) | | | | | $ | — | | | | | $ | (237,070) | | |
| Total Other Financial Instruments | | | | $ | — | | | | | $ | 86,368 | | | | | $ | — | | | | | $ | 86,368 | | |
AGF Investments Trust
Notes to Financial Statements (continued)
December 31, 2020 (Unaudited)
| | | | Level 1 –
Quoted Prices | | | Level 2 –
Other Significant
Observable
Inputs | | | Level 3 –
Significant
Unobservable
Inputs | | | Total | |
| AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
| Investments | | | | | | | | | | | | | | | | | | | | | | | | | |
| Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
| Common Stocks* | | | | $ | 121,093,814 | | | | | $ | — | | | | | $ | — | | | | | $ | 121,093,814 | | |
| Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
| Common Stocks* | | | | $ | (123,478,682) | | | | | $ | — | | | | | $ | — | | | | | $ | (123,478,682) | | |
| Total Investments | | | | $ | (2,384,868) | | | | | $ | — | | | | | $ | — | | | | | $ | (2,384,868) | | |
| Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | |
| Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
| Swap Agreements** | | | | $ | — | | | | | $ | 3,925,498 | | | | | $ | — | | | | | $ | 3,925,498 | | |
| Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
| Swap Agreements** | | | | $ | — | | | | | $ | (3,549,914) | | | | | $ | — | | | | | $ | (3,549,914) | | |
| Total Other Financial Instruments | | | | $ | — | | | | | $ | 375,584 | | | | | $ | — | | | | | $ | 375,584 | | |
| AGFiQ Hedged Dividend Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
| Investments | | | | | | | | | | | | | | | | | | | | | | | | | |
| Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
| Common Stocks* | | | | $ | 3,236,093 | | | | | $ | — | | | | | $ | — | | | | | $ | 3,236,093 | | |
| Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
| Common Stocks* | | | | $ | (1,617,754) | | | | | $ | — | | | | | $ | — | | | | | $ | (1,617,754) | | |
| Total Investments | | | | $ | 1,618,339 | | | | | $ | — | | | | | $ | — | | | | | $ | 1,618,339 | | |
| AGFiQ Global Infrastructure ETF | | | | | | | | | | | | | | | | | | | | | | | | | |
| Investments | | | | | | | | | | | | | | | | | | | | | | | | | |
| Common Stocks | | | | | | | | | | | | | | | | | | | | | | | | | |
| Construction & Engineering | | | | $ | — | | | | | $ | 76,616 | | | | | $ | — | | | | | $ | 76,616 | | |
| Diversified Telecommunication Services | | | | | — | | | | | | 66,803 | | | | | | — | | | | | | 66,803 | | |
| Electric Utilities | | | | | 223,155 | | | | | | 163,566 | | | | | | — | | | | | | 386,721 | | |
| Equity Real Estate Investment Trusts (REITs) | | | | | 431,932 | | | | | | 40,466 | | | | | | — | | | | | | 472,398 | | |
| Gas Utilities | | | | | 33,069 | | | | | | 62,691 | | | | | | — | | | | | | 95,760 | | |
| Independent Power and Renewable Electricity Producers | | | | | 51,677 | | | | | | 15,186 | | | | | | — | | | | | | 66,863 | | |
| Multi-Utilities | | | | | 165,564 | | | | | | 147,005 | | | | | | — | | | | | | 312,569 | | |
| Road & Rail | | | | | 67,509 | | | | | | 8,987 | | | | | | — | | | | | | 76,496 | | |
| Transportation Infrastructure | | | | | — | | | | | | 207,948 | | | | | | — | | | | | | 207,948 | | |
| Water Utilities | | | | | 38,675 | | | | | | 31,979 | | | | | | — | | | | | | 70,654 | | |
| Other* | | | | | 545,671 | | | | | | — | | | | | | — | | | | | | 545,671 | | |
| Exchange Traded Funds | | | | | 4,340 | | | | | | — | | | | | | — | | | | | | 4,340 | | |
| Total Investments | | | | $ | 1,561,592 | | | | | $ | 821,247 | | | | | $ | — | | | | | $ | 2,382,839 | | |
| AGFiQ Dynamic Hedged U.S. Equity ETF | | | | | | | | | | | | | | | | | | | | | | | | | |
| Investments | | | | | | | | | | | | | | | | | | | | | | | | | |
| Exchange Traded Funds | | | | $ | 3,095,322 | | | | | $ | — | | | | | $ | — | | | | | $ | 3,095,322 | | |
| Total Investments | | | | $ | 3,095,322 | | | | | $ | — | | | | | $ | — | | | | | $ | 3,095,322 | | |
*
See Schedules of Investments for segregation by industry type.
**
The tables above are based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives.
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.
AGF Investments Trust
Notes to Financial Statements (continued)
December 31, 2020 (Unaudited)
Real Estate Investment Trusts (“REITs”)
Each Fund, except AGFiQ Dynamic Hedged U.S. Equity ETF, may invest in REITs. Equity REITs invest primarily in real property while mortgage REITs make construction, development and long term mortgage loans. Their value may be affected by changes in the value of the underlying property of the REIT, the creditworthiness of the issuer, property taxes, interest rates, and tax and regulatory requirements, such as those relating to the environment.
REITs are dependent upon management skill, are not diversified and are subject to heavy cash flow dependency, default by borrowers, self-liquidation and the possibility of failing to qualify for tax free income status under the Internal Revenue Code of 1986 and failing to be exempt from registration as a registered investment company under the 1940 Act.
Distributions from REIT investments may be comprised of return of capital, capital gains and income. The actual character of amounts received during the year is not known until after the REIT’s fiscal year end. The Funds record the character of distributions received from REITs during the year based on estimates available. The characterization of distributions received by the Funds may be subsequently revised based on information received from the REITs after their tax reporting periods have concluded.
Foreign Currency Translation
The books and records of the AGFiQ Global Infrastructure ETF are maintained in U.S. dollars. The Fund’s assets and liabilities in foreign currencies are translated into U.S. dollars at the prevailing exchange rate at the valuation date. Transactions denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the date of the transaction. The Fund’s income earned and expense incurred in foreign denominated currencies are translated into U.S. dollars at the prevailing exchange rate on the date of such activity.
The AGFiQ Global Infrastructure ETF does not isolate that portion of the results of operations arising from changes in the foreign exchange rates on investments and derivatives from the fluctuations that result from changes in the market prices of investments and derivatives held or sold during the period. Accordingly, such foreign currency gains (losses) are included in the reported net realized gain (loss) on investments in securities and derivatives and net change in unrealized appreciation (depreciation) on investment securities and derivatives on the Statement of Operations.
Net realized gains (losses) on foreign currency transactions reported on the Statement of Operations arise from sales of foreign currency, realized currency gains or losses, including foreign exchange contracts, between the trade and settlement dates on securities transactions and the difference in the amounts of dividends and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net changes in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in foreign currencies reported on the Statement of Operations arise from changes (due to the changes in the exchange rate) in the value of foreign currency and assets and liabilities (other than investments) denominated in foreign currencies, which are held at period end.
Short Sales
Each Fund, except the Active ETFs, enters into short sales. A short sale is a transaction in which a Fund sells a security it does not own. To complete such a transaction, a Fund must borrow the security to make delivery to the buyer. A Fund is then obligated to replace the security borrowed by borrowing the same security from another lender, purchasing it at the market price at the time of replacement or paying the lender an amount equal to the cost of purchasing the security. The price at such time may be more or less than the price at which the security was sold by the Fund. Until the security is replaced, a Fund is required to repay the lender any dividends it receives, or interest which accrues, during the period of the loan. To borrow the security, a Fund also may be required to pay a premium, which would increase the cost of the security sold. The net proceeds of the short sale will be retained by the broker, to the extent necessary to meet margin requirements, until the short position is closed out. A Fund also will incur transaction costs in effecting short sales.
A Fund will incur a loss as a result of a short sale if the price of the security increases between the date of the short sale and the date on which the Fund closes out the short sale. A Fund will realize a gain if the price of the security declines in price between those dates. The amount of any gain will be decreased, and the amount of any loss
AGF Investments Trust
Notes to Financial Statements (continued)
December 31, 2020 (Unaudited)
increased, by the amount of the premium, dividends or interest a Fund may be required to pay, if any, in connection with a short sale. Short sales may be subject to unlimited losses as the price of a security can rise infinitely.
Whenever a Fund engages in short sales, it earmarks or segregates liquid securities or cash in an amount that, when combined with the amount of collateral deposited with the broker in connection with the short sale (other than the proceeds of the short sale), equals the current market value of the security sold short. The earmarked or segregated assets are marked-to-market daily and cannot be sold or liquidated unless replaced with liquid assets of equal value.
Funds may not be able to borrow stocks that are short positions in a Target Index as their supply may be insufficient or the cost to borrow may be prohibitively expensive due to market or stock specific conditions. Under such circumstances, the Funds may not achieve their investment objectives.
Swap Agreements
Each Fund, except the Active ETFs, may enter into swap agreements. Certain Funds currently enter into equity or equity index swap agreements for purposes of attempting to gain exposure to an index or group of securities without actually purchasing those securities. Although some swap agreements may be exchange-traded, others are two-party contracts entered into primarily by institutional investors for periods ranging from a day to more than one year. Most, if not all, swap agreements entered into by the Funds will be two-party contracts. In connection with the Funds’ positions in a swaps contract, each Fund will segregate liquid assets or will otherwise cover its position in accordance with applicable SEC requirements. In such a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount,” i.e., the return on or increase in value of a particular dollar amount invested in a “basket” of securities representing a particular index or group of securities. The use of swaps is a highly specialized activity which involves investment techniques and risks different from those associated with ordinary portfolio securities transactions.
A Fund may enter into swap agreements to invest in a market without owning or taking physical custody of securities in circumstances in which direct investment is restricted for legal reasons or is otherwise impracticable. The counterparty to any swap agreement will typically be a bank, investment banking firm or broker/dealer. On a long swap, the counterparty will generally agree to pay the Fund the amount, if any, by which the notional amount of the swap agreement would have increased in value had it been invested in the particular stocks, plus the dividends that would have been received on those stocks.
A Fund agrees to pay to the counterparty a floating rate of interest on the notional amount of the swap agreement plus the amount, if any, by which the notional amount would have decreased in value had it been invested in such stocks. Therefore, the return to a Fund on any swap agreement will generally be the gain or loss on the notional amount plus dividends on the stocks less the interest paid by the Fund on the notional amount. As a trading technique, the Adviser may substitute physical securities with a swap agreement having risk characteristics substantially similar to the underlying securities.
Swap agreements typically are settled on a net basis, which means that the two payment streams are netted out, with a Fund receiving or paying, as the case may be, only the net amount of the two payments. Payments may be made at the conclusion of a swap agreement or periodically during its term. Swap agreements do not involve the delivery of securities or other underlying assets. Accordingly, the risk of loss with respect to swap agreements is limited to the net amount of payments that a Fund is contractually obligated to make. If the other party to a swap agreement defaults, a Fund’s risk of loss consists of the net amount of payments that such Fund is contractually entitled to receive. The net amount of the excess, if any, of a Fund’s obligations over its entitlements with respect to each equity swap will be accrued on a daily basis and an amount of cash or liquid assets, having an aggregate value at least equal to such accrued excess, will be earmarked or segregated by a Fund’s custodian; this cash and liquid assets cannot be sold unless replaced with cash or liquid assets of equal value. Inasmuch as these transactions are entered into for hedging purposes or are offset by earmarked or segregated cash or liquid assets, as permitted by applicable law, these transactions will not be construed to constitute senior securities within the meaning of the 1940 Act, and will not be subject to a Fund’s borrowing restrictions.
AGF Investments Trust
Notes to Financial Statements (continued)
December 31, 2020 (Unaudited)
The swap market has grown substantially in recent periods with a large number of banks and investment banking firms acting both as principals and as agents utilizing standardized swap documentation. As a result, the swap market has become relatively liquid in comparison with the markets for other similar instruments which are traded in the OTC market. The Adviser, under the oversight of the Trustees, is responsible for determining and monitoring the liquidity of the Funds’ transactions in swap agreements.
In the normal course of business, a Fund enters into International Swaps and Derivatives Association (“ISDA”) agreements with certain counterparties for derivative transactions. These agreements contain among other conditions, events of default and termination events, and various covenants and representations. Certain of the Funds’ ISDA agreements contain provisions that require the Funds to maintain a pre-determined level of net assets, and/or provide limits regarding the decline of the Funds’ NAV over specific periods of time, which may or may not be exclusive of redemptions. If the Funds were to trigger such provisions and have open derivative positions at that time, counterparties to the ISDA agreements could elect to terminate such ISDA agreements and request immediate payment in an amount equal to the net liability positions, if any, under the relevant ISDA agreement. Pursuant to the terms of its ISDA agreements, the Funds will have already collateralized its liability under such agreements, in some cases only in excess of certain threshold amounts.
The Funds noted below used swap contracts to simulate full investment in each respective Fund’s Target Index. The following represents the average monthly outstanding swap contracts for the period ended December 31, 2020:
| Fund | | | Average
Contract Long | | | Average
Contract Short | |
| AGFiQ U.S. Market Neutral Momentum Fund | | | | $ | 796,477 | | | | | $ | (508,762) | | |
| AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | 22,330,180 | | | | | | (18,915,560) | | |
The following table indicates the location of derivative-related items on the Statements of Assets and Liabilities as well as the effect of derivative instruments on the Statements of Operations for the period ended December 31, 2020:
| Fair Value of Derivative Instruments as of December 31, 2020 | |
| Fund | | | Derivatives not
accounted for
as hedging
instruments
under ASC 815 | | | Location | | | Assets
Value | | | Liabilities
Value | |
| | | | Swap agreements | | | Statements of Assets
and Liabilities | | | | | | | | | | | | | |
| AGFiQ U.S. Market Neutral Momentum Fund | | | | | | | | | | $ | 323,438 | | | | | $ | 237,070 | | |
| AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | | | | | | | 3,925,498 | | | | | | 3,549,914 | | |
| The Effect of Derivative Instruments on the Statements of Operations as of December 31, 2020 | |
| 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 | |
| | | | Swap agreements | | | | | | | | | | | | | |
| AGFiQ U.S. Market Neutral Momentum Fund | | | | | | | $ | (2,453) | | | | | $ | (1,347) | | |
| AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | | | | (1,739,370) | | | | | | (1,805,931) | | |
Expenses
Expenses of the Trust, which are directly identifiable to a specific fund are applied to that fund. Expenses which are not identifiable to a specific fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense.
Taxes and Distributions
Each of the Funds intends to qualify (or continue to qualify) as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute substantially all of its net investment income and net capital gains to shareholders. Accordingly, no provision for federal income taxes is required in the financial statements.
AGF Investments Trust
Notes to Financial Statements (continued)
December 31, 2020 (Unaudited)
As of June 30, 2020 (the Funds’ tax year end), management of the Funds has reviewed the open tax years and major jurisdictions and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months. On an ongoing basis, management will monitor the tax positions taken to determine if adjustment to conclusions are necessary based on factors including but not limited to further implementation on guidance expected from FASB and ongoing analysis of tax law, regulation, and interpretations thereof.
Distributions to shareholders from net investment income, if any, are distributed annually. Dividends may be declared and paid more frequently to improve a Fund’s tracking to its Target Index or to comply with the distribution requirements of the Internal Revenue Code. Net capital gains are distributed at least annually.
3. Investment Transactions and Related Income
Throughout the reporting period, investment transactions are accounted for one business day following the trade date. For financial reporting purposes, investment transactions are accounted for on trade date on the last business day of the reporting period. Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premiums and accretion of discounts. Dividend income, net of any applicable foreign withholding taxes, is recorded on the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the asset received. Large, non-recurring dividends recognized by the Funds are presented separately on the Statements of Operations as “Special Dividends” and the impact of these dividends is presented in the Financial Highlights. Gains or losses realized on sales of securities are determined using the specific identification method by comparing the identified cost of the security lot sold with the net sales proceeds.
4. Investment Management Fees
Pursuant to the Advisory Agreement (“Advisory Agreement”), the Adviser manages the investment and reinvestment of the Funds’ assets and administers the affairs of the Funds under the oversight of the Board. Pursuant to the Advisory Agreement, the AGFiQ U.S. Market Neutral Momentum Fund, AGFiQ U.S. Market Neutral Anti-Beta Fund, AGFiQ Hedged Dividend Income Fund, AGFiQ Global Infrastructure ETF, and AGFiQ Dynamic Hedged U.S. Equity ETF each pay the Adviser a management fee for its services payable on a monthly basis at the annual rate of 0.45% of the Fund’s average daily net assets.
The Adviser has contractually agreed to waive the fees and reimburse expenses of each Target Index Fund until at least November 1, 2023, so that the total annual operating expenses (excluding interest, taxes, brokerage commissions and other expenses that are capitalized in accordance with generally accepted accounting principles, dividend, interest and brokerage expenses for short positions, acquired fund fees and expenses (“AFFE”), and extraordinary expenses) (“Operating Expenses”) are limited to 0.45% of average daily net assets for each of the AGFiQ U.S. Market Neutral Momentum Fund, AGFiQ U.S. Market Neutral Anti-Beta Fund, AGFiQ Hedged Dividend Income Fund, AGFiQ Global Infrastructure ETF, and AGFiQ Dynamic Hedged U.S. Equity ETF (collectively, the “Expense Caps”). In addition, the Adviser has contractually agreed to reduce its management fees to the extent of any acquired fund fees and expenses incurred by the Fund that are attributable to the management fee paid to the Adviser (or an affiliated person of the Adviser) by an underlying fund in which the Fund invests. AFFE are expenses incurred indirectly by the Fund through its ownership of share in other investment companies. Because AFFE are not direct expenses of the Fund, they are not reflected on the Funds’ financial statements. This undertaking can only be changed with the approval of the Trustees.
For the period ended December 31, 2020, management fee waivers and expense reimbursements were as follows:
| Fund | | | Management
Fees Waived | | | Expense
Reimbursements | |
| AGFiQ U.S. Market Neutral Momentum Fund | | | | $ | 13,157 | | | | | $ | 85,074 | | |
| AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | 452,158 | | | | | | 611 | | |
| AGFiQ Hedged Dividend Income Fund | | | | | 7,143 | | | | | | 87,255 | | |
| AGFiQ Global Infrastructure ETF | | | | | 5,371 | | | | | | 82,334 | | |
| AGFiQ Dynamic Hedged U.S. Equity ETF | | | | | 6,751 | | | | | | 80,289 | | |
AGF Investments Trust
Notes to Financial Statements (continued)
December 31, 2020 (Unaudited)
Each Fund has agreed that it will repay the Adviser for fees and expenses forgone or reimbursed for the Fund pursuant to the contractual expense limitation described above. Such repayment would increase a Fund’s expenses and would appear on the Statements of Operations as “Repayment of prior expenses waived and/or reimbursed by the Adviser.” However, repayment would only occur up to the point of each Fund’s expense cap.
Any such repayment must be made within three years from the date the expense was borne by the Adviser. Any such repayment made under any prior expense cap cannot cause the Fund’s Operating Expenses to exceed the lower of 0.45% of average daily net assets for the AGFiQ U.S. Market Neutral Momentum Fund, AGFiQ U.S. Market Neutral Anti-Beta Fund, AGFiQ Hedged Dividend Income Fund, AGFiQ Global Infrastructure ETF, and AGFiQ Dynamic Hedged U.S. Equity ETF or the annual rate of daily net assets for the Fund under the terms of a prior expense cap. For the period ended December 31, 2020, none of the Funds repaid expenses to the Adviser.
As of December 31, 2020 the amounts eligible for repayment and the associated period of expiration are as follows:
| | | | Expires June 30, | | | Total Eligible for
Recoupment | |
| Fund | | | 2021 | | | 2022 | | | 2023 | | | 2024 | |
| AGFiQ U.S. Market Neutral Momentum Fund | | | | $ | 107,997 | | | | | $ | 242,138 | | | | | $ | 202,602 | | | | | $ | 98,231 | | | | | $ | 650,968 | | |
| AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | 107,742 | | | | | | 255,129 | | | | | | 484,176 | | | | | | 452,769 | | | | | | 1,299,816 | | |
| AGFiQ Hedged Dividend Income Fund | | | | | 114,110 | | | | | | 255,140 | | | | | | 215,032 | | | | | | 94,398 | | | | | | 678,680 | | |
| AGFiQ Global Infrastructure ETF | | | | | — | | | | | | 44,646 | | | | | | 159,123 | | | | | | 87,705 | | | | | | 291,474 | | |
| AGFiQ Dynamic Hedged U.S. Equity ETF | | | | | — | | | | | | 39,362 | | | | | | 148,662 | | | | | | 86,285 | | | | | | 274,309 | | |
5. Administration and Custodian Fees
JPMorgan acts as administrator (the “Administrator”) and custodian to the Funds. The Administrator provides the Funds with all required general administrative services. For these services, each Fund shall pay the Administrator monthly, a fee accrued daily and based on average net assets and subject to certain minimum levels. The Administrator pays all fees and expenses that are directly related to the services provided by the Administrator to the Funds; each Fund reimburses the Administrator for all fees and expenses incurred by the Administrator which are not directly related to the services the Administrator provides to the Funds under the service agreement. Each Fund may also reimburse the Administrator for such out-of-pocket expenses as incurred by the Administrator in the performance of its duties. As custodian, JPMorgan holds cash, securities and other assets of the Funds as required by the 1940 Act.
6. Distribution, Service Plan and Fund Officers
Foreside Fund Services, LLC serves as the Funds’ distributor (the “Distributor”). The Trust has adopted a distribution and service plan (“Plan”) pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, each Fund is authorized to pay distribution fees to the Distributor and other firms that provide distribution and shareholder services (“Service Providers”). If a Service Provider provides such services, the Funds may pay fees at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 under the 1940 Act.
No distribution or service fees are currently paid by the Funds and there are no current plans to impose these fees. In the event Rule 12b-1 fees were charged, over time they would increase the cost of an investment in the Funds and may cost you more than other types of sales charges.
Foreside Fund Officer Services, LLC (“FFOS”), an affiliate of the Distributor, provides a Chief Compliance Officer as well as certain additional compliance support functions to the Funds. Foreside Management Services, LLC (“FMS”), an affiliate of the Distributor, provides a Principal Financial Officer and Treasurer to the Funds. Neither FFOS nor FMS have a role in determining the investment policies of the Trust or Funds, or which securities are to be purchased or sold by the Trust or a Fund.
7. Issuance and Redemption of Fund Shares
The Funds are exchange-traded funds or ETFs. Individual Fund shares may only be purchased and sold on a national securities exchange through a broker-dealer and investors may pay a commission to such broker-dealers in connection with their purchase or sale. The price of Fund shares is based on market price, and because ETF shares trade at market prices rather than NAV, shares may trade at a price greater than NAV (a premium) or less than NAV
AGF Investments Trust
Notes to Financial Statements (continued)
December 31, 2020 (Unaudited)
(a discount). Information regarding how often the shares of the Funds traded on the Exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Funds for the most recently completed five fiscal years and the most recently completed calendar quarters can be found at www.agf.com/us. This information represents past performance and cannot be used to predict future results.
The Funds will only issue or redeem shares aggregated into blocks of 50,000 shares or multiples thereof (“Creation Units”) to Authorized Participants who have entered into agreements with the Funds’ Distributor. An Authorized Participant is either (1) a “Participating Party,” (i.e., a broker-dealer or other participant in the clearing process of the Continuous Net Settlement System of the NSCC) (“Clearing Process”), or (2) a participant of DTC (“DTC Participant”), and, in each case, must have executed an agreement (“Participation Agreement”) with the distributor with respect to creations and redemptions of Creation Units. The Funds will issue or redeem Creation Units in return for a basket of assets that the Funds specify each day.
Shares are listed on the NYSE Arca, Inc.TM and are publicly traded. If you buy or sell Fund shares on the secondary market, you will pay or receive the market price, which may be higher or lower than NAV. Your transaction will be priced at NAV if you purchase or redeem Fund shares in Creation Units.
Authorized Participants purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to the Funds’ Administrator to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. Additionally, a portion of the transaction fee is used to offset transactional costs typically accrued in the Funds’ custody expenses directly related to the issuance and redemption of Creation Units. An additional variable fee may be charged for certain transactions. Such fees would be included in the receivable for capital shares issued on the Statements of Assets and Liabilities. Transaction fees assessed during the period, which are included in the proceeds or cost from shares issued or redeemed on the Statements of Changes in Net Assets, were as follows:
| Fund | | | Six Months Ended
December 31, 2020 | |
| AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 78,119 | | |
8. Investment Transactions
For the period ended December 31, 2020, the cost of securities purchased and proceeds from sales of securities, excluding short-term securities, derivatives and in-kind transactions, were as follows:
| | | | Purchases | | | Sales | |
| Fund | | | Long | | | Short Covers | | | Long | | | Short | |
| AGFiQ U.S. Market Neutral Momentum Fund | | | | $ | 2,308,753 | | | | | $ | 6,112,081 | | | | | $ | 4,486,575 | | | | | $ | 3,320,480 | | |
| AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | 19,246,369 | | | | | | 253,616,841 | | | | | | 98,871,663 | | | | | | 111,437,835 | | |
| AGFiQ Hedged Dividend Income Fund | | | | | 1,743,596 | | | | | | 942,772 | | | | | | 2,043,915 | | | | | | 712,688 | | |
| AGFiQ Global Infrastructure ETF | | | | | 595,965 | | | | | | — | | | | | | 617,681 | | | | | | — | | |
| AGFiQ Dynamic Hedged U.S. Equity ETF | | | | | 710,555 | | | | | | — | | | | | | 341,450 | | | | | | — | | |
9. In-Kind Transactions
During the period presented in this report, certain Funds delivered securities of the Funds in exchange for the redemption of shares (redemption-in-kind). Cash and securities were transferred for redemptions at fair value. For financial reporting purposes, the Funds recorded net realized gains and losses in connection with each transaction.
For the period ended December 31, 2020, the value of the securities transferred for redemptions, and the net realized gains recorded in connection with the transactions were as follows:
| Fund | | | Value | | | Realized Gain | |
| AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 87,452,047 | | | | | $ | 11,652,966 | | |
During the period, certain Funds of the Trust received cash and securities in exchange for subscriptions of shares (subscriptions-in-kind). For the period ended December 31, 2020, the value of the securities received for subscriptions were as follows:
AGF Investments Trust
Notes to Financial Statements (continued)
December 31, 2020 (Unaudited)
| Fund | | | Value | |
| AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 74,476,412 | | |
10. Principal Investment Risks
Some principal risks apply to all Funds, while others are specific to the investment strategy of certain Funds. Each Fund may be subject to other principal risks in addition to these identified principal risks. This section discusses certain principal risks encountered by the Funds. A more complete description of the principal risks to which each Fund is subject is included in the Funds’ prospectus.
Market Risk. The value of the Fund’s investments may fluctuate because of changes in the markets in which the Fund invests, which could cause the Fund to underperform other funds with similar objectives. Changes in these markets may be rapid and unpredictable. War and occupation, terrorism and related geopolitical risks, natural disasters, and public health emergencies, including an epidemic or pandemic may lead to increased short-term market volatility and may have adverse long-term effects on world economies and markets generally. From time to time, markets may experience stress for potentially prolonged periods that may result in: (i) increased market volatility; (ii) reduced market liquidity; and (iii) increased redemptions. Such conditions may add significantly to the risk of volatility in the net asset value of the Fund’s shares. Although the precise impact of the recent COVID-19 outbreak remains unknown, it has introduced uncertainty and volatility in global markets and economies. This impact may be for a short-term or extend for a longer term and may adversely affect the performance of the Fund.
Single Factor Risk: A Fund invests in securities based on a single factor and seeks to track the performance of a securities index that generally is not representative of the market as a whole. A Fund is designed to be used as part of broader asset allocation strategies. Accordingly, an investment in a Fund is not a complete investment program. There is no guarantee that a stock that exhibited characteristics of a single factor in the past will exhibit that characteristic in the future.
Anti-Beta Risk: Anti-beta investing entails investing in securities that are less volatile and shorting securities that are more volatile relative to a market index based on historical market index data. There is a risk that the present and future volatility of a security, relative to the market index, will not be the same as it has historically been and thus that the Fund will not be invested in the less volatile securities in the universe. In addition, the Fund may be more volatile than the universe since it will have short exposure to the most volatile stocks in the universe. Volatile stocks are subject to sharp swings in price.
High Dividend Risk: High dividend investing entails taking long positions in each of ten sectors that, over the last three years, have consistently paid the highest dividends and that have the highest dividend yields and short positions in each of ten sectors that have inconsistently paid dividends or paid the lowest dividends and have the lowest dividend yields. There is a risk that the present and future dividend of a security will not be the same as it has historically been and thus that the Fund will not be invested in high dividend securities. In addition, the Fund may be more volatile than the universe since it will have short exposure to low dividend paying stocks in the universe. In addition, there may be periods when the high dividend style investing is out of favor, and during which the investment performance of a fund using a high dividend strategy may suffer.
Momentum Risk: In general, “momentum” is the tendency of an investment to exhibit persistence in its relative performance; a momentum style of investing, therefore, emphasizes investing in securities that have recently outperformed the universe. Momentum securities may be more volatile than a broad cross-section of securities, and momentum may be an indicator that a security’s price is peaking. In addition, there may be periods when the momentum style is out of favor, and during which the investment performance of a fund using a momentum strategy may suffer. Momentum can turn quickly. The Fund may experience significant losses if momentum stops, turns or otherwise behaves differently than predicted.
Value Risk: Securities that can be quantitatively identified as undervalued may fail to appreciate in value, and the Index may be unsuccessful in identifying undervalued securities. Value securities have generally performed better than other securities during periods of economic recovery. Value investing may go in and out of favor over time and when value securities are out of favor, a fund pursuing a value strategy may underperform and suffer losses.
AGF Investments Trust
Notes to Financial Statements (continued)
December 31, 2020 (Unaudited)
Authorized Participants Concentration Risk: Only a member or participant of a clearing agency registered with the Securities and Exchange Commission, which has a written agreement with a Fund or one of its service providers that allows such member or participant to place orders for the purchase and redemption of Creation Units (an “Authorized Participant”) may purchase and redeem Shares directly from the Fund. Each Fund has a limited number Authorized Participants. To the extent the Authorized Participants cannot or are otherwise unwilling to engage in creation and redemption transactions with a Fund, shares of the Fund may trade like closed-end fund shares at a significant discount to net asset value (“NAV”) and may face trading halts and/or delisting from the Exchange. Risk may be heightened for a fund that invests in securities or instruments that have lower trading volumes.
Cash Transactions Risk: A Fund may effect creations and redemptions partly or wholly for cash, rather than through in-kind distributions of securities. To the extent a Fund effects creations and redemptions partly or wholly in cash, an investment in a Fund may be less tax-efficient than an investment in an ETF that effects creations and redemptions primarily or wholly in-kind. ETFs generally are able to make in-kind redemptions and thereby avoid being taxed on gains on the distributed portfolio securities at the Fund level. Because a Fund may effect redemptions partly or wholly for cash, rather than in-kind, it may be required to sell portfolio securities in order to obtain the cash needed to distribute redemption proceeds, which involves transaction costs. If a Fund realizes a gain on these sales, the Fund generally will be required to recognize a gain it might not otherwise have recognized, or to recognize such gain sooner than would otherwise be required if it were to distribute portfolio securities in-kind. A Fund generally distributes these gains to shareholders to avoid capital gains taxes at the Fund level and the need to otherwise comply with the special tax rules that apply to such gains. This strategy may cause shareholders to be subject to tax on gains to which they would not otherwise be subject, or at an earlier date than if they had made an investment in a different ETF. Moreover, cash transactions may have to be carried out over several days if the securities markets are relatively illiquid at the time the Fund must sell securities and may involve considerable brokerage fees and taxes. These brokerage fees and taxes, which will be higher than if a Fund sold and redeemed its shares principally in-kind, will be passed on to purchasers and redeemers of Creation Units in the form of creation and redemption transaction fees. As a result of these factors, the spreads between the bid and the offered prices of a Fund’s shares may be wider than those of shares of ETFs that primarily or wholly transact in-kind.
Concentration Risk: To the extent that a Target Index Fund’s Target Index is concentrated in a particular industry, the Fund is also expected to be concentrated in that industry and may subject a Fund to a greater loss as a result of adverse economic, business or other developments affecting that industry. In addition, the value of a Fund’s shares may change at different rates compared to the value of shares of a fund with investments in a more diversified mix of industries. An individual industry may have above-average performance during particular periods, but may also move up and down more than the broader market. A Fund’s performance could also be affected if the industries do not perform as expected.
Depositary Receipts Risk: Depositary receipts subject the Fund generally to the same risks as if it were investing in the underlying foreign securities directly, including political and economic risks that differ from investing in securities of U.S. issuers. In addition, because the underlying securities may be trading on a non-U.S. market, the value of the underlying security may decline, sometimes rapidly, at a time when U.S. markets are closed and the Adviser may not be able to take appropriate actions to mitigate losses to the Fund.
Derivatives Risk: A Fund’s use of derivatives — such as futures contracts and swap agreements, among other instruments — may involve risks different from, or greater than, the risks associated with investing in more traditional investments, such as stocks and bonds. Derivatives can be highly complex and may perform in unanticipated ways. Derivatives may be highly volatile, and a Fund could lose more than the amount it invests. Derivatives may be difficult to value and highly illiquid, and a Fund may not be able to close out or sell a derivative position at a particular time or at anticipated price. A Fund’s use of derivatives may increase the amount and affect the timing and character of taxable distributions payable to shareholders. Also, suitable derivative transactions may not be available in all circumstances. There can be no assurance that a Fund will engage in derivative transactions to reduce exposure to other risks when that would be beneficial. Derivatives may be subject to counterparty risk. Counterparty risk is the risk that a loss may be sustained by a Fund as a result of the insolvency or bankruptcy of the other party to the transaction or the failure of the other party to make required payments or otherwise comply with the terms of the
AGF Investments Trust
Notes to Financial Statements (continued)
December 31, 2020 (Unaudited)
transaction. The Funds do not specifically limit its counterparty risk with respect to any single counterparty.
Emerging Markets Risk: The Funds may invest in issuers located in emerging market economies (including frontier market economies). The value of Funds that invest in emerging markets may fluctuate more than those that invest in developed markets. In emerging market countries, securities markets may be less liquid, less diverse and may provide less transparency, making it more difficult to buy and sell securities.
Equity Investing Risk: Equity investments are subject to risks such as market fluctuations, changes in interest rates and perceived trends in stock prices. The values of equity securities could decline generally or could underperform other investments. Different types of equity securities tend to go through cycles of outperformance and underperformance in comparison to the general securities markets. In addition, securities may decline in value due to factors affecting a specific issuer, market or securities markets generally. Recent unprecedented turbulence in financial markets, reduced liquidity in credit and fixed income markets, or rising interest rates may negatively affect many issuers worldwide, which may have an adverse effect on the Funds. Terrorism and related geo-political risks have led, and may in the future lead, to increased short-term market volatility and may have adverse long-term effects on world economies and the markets generally.
Flash Crash Risk: An exchange or market may close or issue trading halts on specific securities. In such circumstances, a Fund may be unable to accurately price its investments and/or may incur substantial trading losses. In addition, a Target Index Fund may be unable to rebalance its portfolio and may incur significant tracking differences with its Target Index. Sharp price declines in securities owned by the Fund may trigger trading halts, which may result in the Fund’s shares trading in the market at an increasingly large discount to NAV during part (or all) of one or more trading days. In such market conditions, market or stop-loss orders to sell the ETF shares may be executed at market prices that are significantly below NAV.
Foreign Currency Risk: Securities and other instruments in which the Funds invest may be denominated or quoted in currencies other than the U.S. dollar. For this reason, changes in foreign currency exchange rates can affect the value of a Fund’s portfolio. Generally, when the U.S. dollar rises in value against a foreign currency, a security denominated in that currency loses value because the currency is worth fewer U.S. dollars. Conversely, when the U.S. dollar decreases in value against a foreign currency, a security denominated in that currency gains value because the currency is worth more U.S. dollars. This risk, generally known as “currency risk,” means that a strong U.S. dollar will reduce returns for U.S. investors while a weak U.S. dollar will increase those returns.
Foreign Securities Risk: Foreign investments involve additional risks because financial markets outside of the United States may be less liquid and companies may be less regulated and have lower standards of accounting and financial reporting. There may not be an established stock market or legal system that adequately protects the rights of investors. Foreign investments can also be affected by social, political, or economic instability. Investment in foreign securities involves higher costs than investment in U.S. securities, including higher transaction and custody costs as well as the imposition of additional taxes by foreign governments. Foreign governments may impose investment restrictions. In general, securities issued by companies in more developed markets, such as the United States, Canada and Western Europe, have a lower foreign market risk. Securities issued in emerging or developing markets, such as Southeast Asia or Latin America, tend to have a higher foreign market risk than securities issued in developed markets.
Hedging Risk: A Fund’s hedging strategies against declines in security prices, financial markets, exchange rates and interest rates may not be successful or cost-effective, and even if they are successful, the Fund’s exposure to a certain risk may not be fully hedged at all times and the Fund may still lose money on a hedged position.
Infrastructure Investment Risk: Securities and instruments of infrastructure-related companies are subject to a variety of factors that may adversely affect their business or operations, including costs associated with compliance with and changes in environmental, governmental and other regulations, rising interest costs in connection with capital construction and improvement programs, government budgetary constraints and funding that impact publicly funded projects, the effects of 50 general economic conditions throughout the world, surplus capacity and depletion concerns, service interruptions, increased competition from other providers of services, uncertainties regarding the
AGF Investments Trust
Notes to Financial Statements (continued)
December 31, 2020 (Unaudited)
availability of fuel at reasonable prices, the effects of energy conservation policies, unfavorable tax laws or accounting policies and high leverage. Infrastructure companies will also be affected by technological innovations that may render existing plants, equipment or products obsolete and natural or man-made disasters. Additionally, infrastructure related entities may be subject to regulation by various governmental authorities and may also be affected by governmental regulation of rates charged to customers, service interruption and/or legal challenges due to environmental, operational or other mishaps and the imposition of special tariffs and changes in tax laws, regulatory policies and accounting standards. There is also the risk that corruption may negatively affect publicly-funded infrastructure projects, resulting in delays and cost overruns.
Investments in Exchange-Traded Funds Risk: The Funds may invest in underlying funds. An investment in an underlying fund exposes the Fund to the risks associated with the underlying fund’s investments. The Fund will bear its proportionate share of the management, service and other fees of the underlying fund. If an underlying fund suspends redemptions or does not calculate its NAV, the Fund may not be able to value part of its assets. An adjustment to the Fund’s holdings of underlying funds may result in gains being distributed to shareholders of the Fund. As a result of such adjustments, the underlying fund may have to make large purchases or sales of securities to meet the redemption or purchase requests of the Fund. The portfolio manager of the underlying fund may have to change the underlying fund’s holdings significantly or may be forced to buy or sell investments at unfavorable prices, which can affect its performance and the performance of the Fund.
Leverage Risk: The use of short selling and swap agreements allows a Fund to obtain investment exposures greater than their NAV by a significant amount, i.e. use leverage. Use of leverage involves special risks and can result in losses that exceed the amount originally invested. Use of leverage tends to magnify increases or decreases in a Fund’s returns and may lead to a more volatile share price.
Market Risk. The market value of the Funds’ investments may increase or decrease sharply and unpredictably in response to the real or perceived prospects of individual companies, particular sectors or industries, governments and/or general economic conditions throughout the world. The value of an investment may decline because of general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, adverse changes to credit markets or adverse investor sentiment generally. War and occupation, terrorism and related geopolitical risks, natural disasters, and public health emergencies, including an epidemic or pandemic may lead to increased short-term market volatility and may have adverse long-term effects on world economies and markets generally. During a general downturn in the securities or other markets, multiple asset classes may decline in value and adversely affect the NAV, regardless of the individual results of the securities and other investments in which the Funds invest. These market events may continue for prolonged periods, particularly if they are unprecedented, unforeseen or widespread events or conditions. As a result, the value of the Funds’ shares may fall, sometimes sharply and for extended periods, causing investors to lose money.
Although the precise impact of the recent COVID-19 outbreak remains unknown, it has introduced uncertainty and volatility in global markets and economies. This impact may be for a short-term or extend for a longer term and may adversely affect the performance of a Fund.
Market Neutral Style Risk: During a “bull” market, when most equity securities and long-only equity ETFs are increasing in value, a Fund’s short positions will likely cause a Fund to underperform the overall U.S. equity market and such ETFs. In addition, because the U.S. Market Neutral Funds employ a dollar-neutral strategy to achieve market neutrality, the beta of a Fund (i.e., the relative volatility of a Fund as compared to the market) will vary over time and may not be equal to zero.
Master Limited Partnership Risk: Master Limited Partnerships (“MLPs”) are commonly taxed as partnerships and publicly traded on national securities exchanges. Investments in common units of MLPs involve risks that differ from investments in common stock, including risks related to limited control and limited rights to vote on matters that affect the MLP. MLPs are commonly treated as partnerships that are “qualified publicly traded partnerships” for federal income tax purposes, which commonly pertain to the use of natural resources. Changes in U.S. tax laws could revoke the pass-through attributes that provide the tax efficiencies that make MLPs attractive investment structures.
AGF Investments Trust
Notes to Financial Statements (continued)
December 31, 2020 (Unaudited)
Passive Investment Risk: The Adviser does not actively manage the Funds and therefore does not attempt to analyze, quantify or control the risks associated with investing in stocks of companies in the relevant Target Index. Each Fund invests primarily in securities included in, or representative of, its Target Index regardless of their investment merits. The Adviser does not attempt to take defensive positions in declining markets. As a result, the Funds may hold constituent securities regardless of the current or projected performance of a specific security or a particular industry or market sector, which could cause the Funds’ return to be lower than if the Funds employed an active strategy.
Premium/Discount Risk: Fund shares may trade at prices that are above or below their NAV per share. The market prices of Fund shares will generally fluctuate in accordance with changes in NAV as well as the relative supply of, and demand for, Fund shares.
REIT Risk: Through its investments in REITs, a Fund will be subject to the risks of investing in the real estate market, including decreases in property values and revenues and increases in interest rates.
Secondary Market Trading Risk: Investors buying or selling Fund shares in the secondary market may pay brokerage commissions or other charges, which may be a significant proportional cost for investors seeking to buy or sell relatively small amounts of Fund shares. Although the Fund’s shares are listed on the Exchange, there can be no assurance that an active or liquid trading market for them will develop or be maintained. In addition, trading in Fund shares on the Exchange may be halted.
Short Sale Risk: Short sales are transactions in which a Fund sells a stock it does not own. To complete the transaction, a Fund must borrow the stock to make delivery to the buyer. A Fund is then obligated to replace the stock borrowed by purchasing the stock at the market price at the time of replacement. The price at such time may be higher or lower than the price at which the stock was sold by a Fund. If the underlying stock goes up in price during the period during which the short position is outstanding, a Fund will realize a loss on the transaction. Any loss will be increased by the amount of compensation, interest or dividends and transaction costs a Fund must pay to a lender of the security.
Tracking Error Risk: The investment performance of a Target Index Fund may diverge from that of its Target Index. A Target Index Fund’s return may not match the return of the Target Index for a number of other reasons. For example, each Target Index Fund incurs a number of operating expenses not applicable to the Target Index, and incurs costs in buying and selling securities, especially when reconstituting a Target Index Fund’s securities holdings to reflect changes in the composition of the Target Index. Since certain Target Index’s components are rebalanced or reconstituted more frequently than other indices, the relevant Target Index Fund’s transaction costs may be greater. To the extent a Target Index Fund employs a representative sampling strategy, the investments held by a Target Index Fund may provide performance that differs from the aggregate performance of all of the Target Index components.
11. LIBOR Risk
The United Kingdom’s Financial Conduct Authority, which regulates the London Interbank Offered Rate (“LIBOR”), has announced plans to phase out the use of LIBOR by the end of 2021. There remains uncertainty regarding the future use of LIBOR and the nature of any replacement rate. The transition process away from LIBOR may involve, among other things, increased volatility or illiquidity in markets for instruments that currently rely on LIBOR. The transition process may also result in a reduction in the value of certain instruments held by a Fund or reduce the effectiveness of related Fund transactions such as hedges. Volatility, the potential reduction in value, and/or the hedge effectiveness of financial instruments may be heightened for financial instruments that do not include fallback provisions that address the cessation of LIBOR. Any potential effects of the transition away from LIBOR on any of the Funds or on financial instruments in which a Fund invests, as well as other unforeseen effects, could result in losses to a Fund.
12. Guarantees and Indemnifications
In the normal course of business, a Fund enters into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. Additionally, under the Funds’ organizational documents, the officers and Trustees are indemnified against certain liabilities arising out of the performance of their
AGF Investments Trust
Notes to Financial Statements (continued)
December 31, 2020 (Unaudited)
duties to the Funds. The Funds’ maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. Based on experience, the Adviser is of the view that the risk of loss to the Funds in connection with the Funds’ indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.
13. New Accounting Pronouncements
In March 2020, the FASB issued ASU No. 2020-04 (“ASU 2020-04”), Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020-04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the LIBOR and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying ASU 2020-04.
14. Subsequent Events
Subsequent events occurring after the date of this report have been evaluated for potential impact to this report through the date the report was issued. No subsequent events requiring financial statement adjustment or disclosure have been identified other than the following:
At a meeting held on February 22, 2021, the Board of Trustees approved a Plan of Liquidation providing for the liquidation and termination of the AGFiQ U.S. Market Neutral Momentum Fund and the AGFiQ Dynamic Hedged U.S. Equity ETF (“Liquidation”). The Liquidation does not require shareholder approval and you are not being asked to vote on the Liquidation. Please refer to the supplement dated February 22, 2021 to the Fund’s prospectus containing further information regarding the Liquidation which is scheduled to take place on or about March 30, 2021.
Expense Example (Unaudited)
December 31, 2020
As a shareholder, you incur two types of costs: (1) transaction costs for, such as brokerage commissions, purchasing and selling shares and (2) ongoing costs, including management fees, other operational and investment related expenses. The expense examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.
Actual Expenses
The actual expense examples are based on an investment of $1,000 invested at the beginning of a six month period and held through the period ended December 31, 2020.
The first line in the following tables provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The hypothetical expense examples are based on an investment of $1,000 invested at the beginning of a six month period and held through the period ended December 31, 2020.
The second line in the following tables provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as brokerage commissions on the purchases and sales of Fund shares. Therefore, the second line for each Fund in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Expense Example (Unaudited)
December 31, 2020
| | | | Beginning
Account Value
07/01/20 | | | Ending
Account Value
12/31/20 | | | Expenses Paid
During the
Period* | | | Annualized
Expense Ratio
During Period | |
| AGFiQ U.S. Market Neutral Momentum Fund | |
| Actual | | | | $ | 1,000.00 | | | | | $ | 867.10 | | | | | $ | 11.44 | | | | | | 2.43% | | |
| Hypothetical | | | | $ | 1,000.00 | | | | | $ | 1,012.96 | | | | | $ | 12.33 | | | | | | 2.43% | | |
| AGFiQ U.S. Market Neutral Anti-Beta Fund | |
| Actual | | | | $ | 1,000.00 | | | | | $ | 788.00 | | | | | $ | 9.87 | | | | | | 2.19% | | |
| Hypothetical | | | | $ | 1,000.00 | | | | | $ | 1,014.17 | | | | | $ | 11.12 | | | | | | 2.19% | | |
| AGFiQ Hedged Dividend Income Fund | |
| Actual | | | | $ | 1,000.00 | | | | | $ | 1,078.90 | | | | | $ | 5.71 | | | | | | 1.09% | | |
| Hypothetical | | | | $ | 1,000.00 | | | | | $ | 1,019.71 | | | | | $ | 5.55 | | | | | | 1.09% | | |
| AGFiQ Global Infrastructure ETF(a) | |
| Actual | | | | $ | 1,000.00 | | | | | $ | 1,050.50 | | | | | $ | 2.33 | | | | | | 0.45% | | |
| Hypothetical | | | | $ | 1,000.00 | | | | | $ | 1,022.94 | | | | | $ | 2.29 | | | | | | 0.45% | | |
| AGFiQ Dynamic Hedged U.S. Equity ETF(b) | |
| Actual | | | | $ | 1,000.00 | | | | | $ | 1,147.50 | | | | | $ | 2.17 | | | | | | 0.40% | | |
| Hypothetical | | | | $ | 1,000.00 | | | | | $ | 1,023.19 | | | | | $ | 2.04 | | | | | | 0.40% | | |
*
Expenses are equal to the average account value over the period multiplied by the Fund’s annualized expense ratio, multiplied by 184 days in the most recent fiscal half-year divided by 365 days in the fiscal year (to reflect the one half year period)
(a)
The annualized expense ratio does not reflect the indirect expenses of the underlying Fund in which it invests.
(b)
The annualized expense ratio does not reflect the indirect expenses of the underlying non-affiliated Funds in which it invests. In addition, the Adviser has contractually agreed to reduce its management fees to the extent of any acquired fund fees and expenses incurred by the Fund that are attributable to the management fee paid to the Adviser (or an affiliated person of the Adviser) by an underlying fund in which the Fund invests. If the ratio had included these affiliated indirect expenses, the annualized expense ratio would have been 0.45% for both the Actual and Hypothetical expense examples.
Liquidity Risk Management Program
December 31, 2020 (Unaudited)
Consistent with Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”), the Funds have adopted and implemented a liquidity risk management program (the “Program”). The Program seeks to assess and manage each Fund’s liquidity risk, which is defined as the risk that a Fund is unable to meet investor redemption requests without significantly diluting the remaining investors’ interests in the Fund. The Funds’ Board of Trustees (the “Board”) has designated a Liquidity Program Administrator (“LPA”), a committee comprised of senior representatives of the adviser, AGF Investments, LLC, its affiliated company, AGF Investments Inc. and officers of the Funds to implement and monitor the Program. As part of its responsibilities, the LPA has retained a third party to perform certain functions, including providing market data and liquidity classification model information.
The Program includes a number of processes designed to support the assessment and management of its liquidity risk. In particular, the Program includes no less than annual assessments of factors that influence each Fund’s liquidity risk; daily classifications of each Fund’s investments into one of four liquidity classifications provided for in the Liquidity Rule; a 15% of net assets limit on the acquisition of “illiquid investments” (as defined under the Liquidity Rule); establishment of a minimum percentage of a Fund’s assets to be invested in investments classified as “highly liquid” (as defined under the Liquidity Rule) if the Fund does not invest primarily in highly liquid investments; and periodic reporting to the Funds’ Board.
At a meeting of the Board of Trustees on November 20, 2020, the LPA provided a written report (the “Report”) to the Board addressing the operation, adequacy, and effectiveness the Program, including any material changes to the Program for the period from the inception of the Program on June 1, 2019 through September 30, 2020 (“Reporting Period”). The Report included a summary of the oversight of the Program and the system that is used to operate the Program, a discussion of the Funds’ investment strategies and liquidity of portfolio investments including liquidity classifications, the effects of short-term and long-term cash flows and a review of Authorized Participants on each Fund’s liquidity, the effect of pricing/spreads and basket assets on each Fund’s liquidity, and the effect that historical redemptions and market volatility had on the liquidity for each Fund during the Reporting Period. The Report concluded that during the Reporting Period: (1) there were no material changes to the Program, (2) there were no significant liquidity events impacting any Fund, and (3) it is the LPA’s assessment that the Program is adequately designed and has been effective in managing each Fund’s liquidity risk and in implementing the requirements of the Liquidity Rule. The Report further concluded that each Fund’s investment strategy continues to be appropriate and manageable for an open-end fund in both normal and stressed conditions.
There can be no assurance that the Program will achieve its objectives in the future. Additional information regarding risks of investing in each Fund, including liquidity risks presented by the Fund’s investment portfolio, is found in the Fund’s Prospectus and Statement of Additional Information.
Additional Information (Unaudited)
Proxy Voting Information
A description of AGF Investments Trust’s proxy voting policies and procedures is attached to the Funds’ Statement of Additional Information, which is available without charge by visiting the Funds’ website at www.agf.com/us or the U.S. Securities and Exchange Commission’s (“SEC”) SEC’s website at www.sec.gov or by calling collect 1-617-292-9801.
In addition, a description of how each Fund voted proxies relating to its portfolio securities during the most recent 12-month period ended June 30 is available without charge upon request by calling collect 1-617-292-9801 or on the SEC’s website at www.sec.gov.
Quarterly Portfolio Holdings Information
AGF Investments Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year to date on Form N-PORT and, for periods prior to March 31, 2020, on Form N-Q. The Funds’ Forms N-Q and Forms N-PORT are available on the SEC’s website at www.sec.gov. You may also review and obtain copies of the Funds’ Forms N-Q and Forms N-PORT, after paying a duplicating fee, by electronic request at the following email address: publicinfo@sec.gov. In addition, the Funds’ full portfolio holdings are updated daily and available on the AGFiQ Funds’ website at www.agf.com/us.
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.
AGF Investments Trust
53 State Street, Suite 1308
Boston, MA 02109
www.AGFiQ.com
Distributor:
Foreside Fund Services, LLC
3 Canal Plaza, Suite 100
Portland, ME 04101
| (b) | Include a copy of each notice transmitted to stockholders in reliance on Rule 30e-3 under the Act (17 CFR 270.30e-3) that contains disclosures specified by paragraph (c)(3) of that rule. |
Not applicable.
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.
| (a) | The Registrant is an issuer as defined in Section 10A-3 of the Securities Exchange Act of 1934 and has a separately-designated standing Audit Committee in accordance with Section 3(a)(58)(A) of such Act. All of the Board’s independent Trustees, Peter A. Ambrosini, Joseph A. Franco and Richard S. Robie III, are members of the Audit Committee. |
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 (as defined in Rule 30a - 3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are 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)(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 |
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 | |
| | William H. DeRoche | |
| | President and Principal Executive Officer | |
| | March 5, 2021 | |
| | |
| 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 and Principal Executive Officer | |
| | March 5, 2021 | |
| | |
| | |
| By: | /s/ Joshua Hunter | |
| | Joshua Hunter | |
| | Principal Financial Officer and Treasurer | |
| | March 5, 2021 | |
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