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, 2021
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). |
| | | Allocation of Portfolio Holdings and Sector Weightings | | |
| | | | Schedule of Investments | |
| | | | ||
| | | | ||
| | | | ||
| | | Statements of Assets and Liabilities | | |
| | | Statements of Operations | | |
| | | Statements of Changes in Net Assets | | |
| | | Financial Highlights | | |
| | | Notes to Financial Statements | | |
| | | Expense Examples | | |
| | | Liquidity Risk Management Program | | |
| | | Additional Information | |
December 31, 2021 (Unaudited)
Investment Type | | | % of Net Assets | | |||
Equity Securities Long Positions | | | | | 89% | | |
Equity Securities Short Positions | | | | | -86% | | |
Swap Agreements Long Positions | | | | | 12% | | |
Swap Agreements Short Positions | | | | | -12% | | |
Company | | | % of Net Assets | | |||
Vir Biotechnology, Inc. | | | | | 0.6% | | |
Cerner Corp. | | | | | 0.6% | | |
Vertex Pharmaceuticals, Inc. | | | | | 0.5% | | |
ACADIA Pharmaceuticals, Inc. | | | | | 0.5% | | |
Biohaven Pharmaceutical Holding Co. Ltd. | | | | | 0.5% | | |
MarketAxess Holdings, Inc. | | | | | 0.5% | | |
Quest Diagnostics, Inc. | | | | | 0.5% | | |
Public Storage | | | | | 0.5% | | |
Life Storage, Inc. | | | | | 0.5% | | |
Cirrus Logic, Inc. | | | | | 0.5% | | |
Company | | | % of Net Assets | | |||
Alcoa Corp. | | | | | -0.5% | | |
Builders FirstSource, Inc. | | | | | -0.5% | | |
NRG Energy, Inc. | | | | | -0.5% | | |
Jabil, Inc. | | | | | -0.5% | | |
Berry Global Group, Inc. | | | | | -0.5% | | |
McKesson Corp. | | | | | -0.5% | | |
Zillow Group, Inc. | | | | | -0.5% | | |
Essential Utilities, Inc. | | | | | -0.5% | | |
Howard Hughes Corp. (The) | | | | | -0.5% | | |
Vistra Corp. | | | | | -0.5% | | |
| | | Fund Sector Weights (Based on Net Assets) | | |||||||||
As of 12/31/2021 | | | % of Long Weight | | | % of Short Weight | | ||||||
Communication Services | | | | | 4.32% | | | | | | -4.45% | | |
Consumer Discretionary | | | | | 11.66% | | | | | | -11.72% | | |
Consumer Staples | | | | | 5.11% | | | | | | -5.19% | | |
Energy | | | | | 2.83% | | | | | | -2.91% | | |
Financials | | | | | 13.79% | | | | | | -13.87% | | |
Health Care | | | | | 14.37% | | | | | | -13.41% | | |
Industrials | | | | | 14.71% | | | | | | -14.77% | | |
Information Technology | | | | | 16.83% | | | | | | -16.11% | | |
Materials | | | | | 5.54% | | | | | | -5.86% | | |
Real Estate | | | | | 6.71% | | | | | | -7.28% | | |
Utilities | | | | | 4.13% | | | | | | -4.43% | | |
Investment Type | | | % of Net Assets | | |||
Equity Securities Long Positions | | | | | 93% | | |
Equity Securities Short Positions | | | | | -48% | | |
Master Limited Partnership Long Positions | | | | | 5% | | |
Master Limited Partnership Short Positions | | | | | -1% | | |
Company | | | % of Net Assets | | |||
Campbell Soup Co. | | | | | 1.0% | | |
Conagra Brands, Inc. | | | | | 1.0% | | |
Cheniere Energy Partners LP | | | | | 1.0% | | |
Magellan Midstream Partners LP | | | | | 1.0% | | |
Packaging Corp. of America | | | | | 1.0% | | |
Consolidated Edison, Inc. | | | | | 1.0% | | |
Kellogg Co. | | | | | 1.0% | | |
Baker Hughes Co. | | | | | 1.0% | | |
Kraft Heinz Co. (The) | | | | | 1.0% | | |
Newmont Corp. | | | | | 1.0% | | |
Company | | | % of Net Assets | | |||
American Water Works Co., Inc. | | | | | -0.8% | | |
Atmos Energy Corp. | | | | | -0.8% | | |
Dominion Energy, Inc. | | | | | -0.8% | | |
Xcel Energy, Inc. | | | | | -0.8% | | |
Alliant Energy Corp. | | | | | -0.8% | | |
CenterPoint Energy, Inc. | | | | | -0.8% | | |
Ameren Corp. | | | | | -0.8% | | |
PG&E Corp. | | | | | -0.8% | | |
IDACORP, Inc. | | | | | -0.8% | | |
Essential Utilities, Inc. | | | | | -0.8% | | |
| | | Fund Sector Weights (Based on Net Assets) | | |||||||||
As of 12/31/2021 | | | % of Long Weight | | | % of Short Weight | | ||||||
Communication Services | | | | | 5.98% | | | | | | -5.98% | | |
Consumer Discretionary | | | | | 2.00% | | | | | | -1.98% | | |
Consumer Staples | | | | | 11.05% | | | | | | -10.99% | | |
Energy | | | | | 14.04% | | | | | | -14.02% | | |
Financials | | | | | 9.98% | | | | | | -20.23% | | |
Health Care | | | | | 5.97% | | | | | | -6.15% | | |
Industrials | | | | | 3.01% | | | | | | -3.05% | | |
Information Technology | | | | | 2.98% | | | | | | -3.02% | | |
Materials | | | | | 6.01% | | | | | | -6.05% | | |
Real Estate | | | | | 14.94% | | | | | | -4.50% | | |
Utilities | | | | | 24.05% | | | | | | -24.02% | | |
Investment Type | | | % of Net Assets | | |||
Equity Securities | | | | | 98% | | |
Exchange Traded Fund | | | | | 0%(a) | | |
Master Limited Partnership | | | | | 0%(a) | | |
Company | | | % of Net Assets | | |||
American Tower Corp. | | | | | 8.6% | | |
Enbridge, Inc. | | | | | 7.6% | | |
Crown Castle International Corp. | | | | | 5.8% | | |
Vinci SA | | | | | 3.8% | | |
Kinder Morgan, Inc. | | | | | 3.7% | | |
National Grid plc | | | | | 3.4% | | |
American Water Works Co., Inc. | | | | | 3.2% | | |
ONEOK, Inc. | | | | | 2.4% | | |
TC Energy Corp. | | | | | 2.2% | | |
Sempra Energy | | | | | 2.1% | | |
Fund Sector Weights (Based on Net Assets) | | ||||||
As of 12/31/2021 | | | % Weight | | |||
Communication Services | | | | | 4.1% | | |
Consumer Discretionary | | | | | 1.0% | | |
Energy | | | | | 21.8% | | |
Industrials | | | | | 15.7% | | |
Information Technology | | | | | 1.5% | | |
Exchange Traded Funds | | | | | 0.2% | | |
Real Estate | | | | | 16.9% | | |
Utilities | | | | | 37.5% | | |
Country | | | % of Net Assets | | |||
United States | | | | | 49.0% | | |
Canada | | | | | 15.9% | | |
China | | | | | 5.9% | | |
United Kingdom | | | �� | | 5.8% | | |
France | | | | | 5.5% | | |
Spain | | | | | 2.8% | | |
Italy | | | | | 2.7% | | |
Austria | | | | | 2.6% | | |
Finland | | | | | 1.9% | | |
Germany | | | | | 1.4% | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
LONG POSITIONS – 88.6% | | ||||||||||||
COMMON STOCKS – 88.6% | | ||||||||||||
Aerospace & Defense – 1.8% | | ||||||||||||
BWX Technologies, Inc.(a) | | | | | 9,317 | | | | | $ | 446,098 | | |
Huntington Ingalls Industries, Inc. | | | | | 2,541 | | | | | | 474,506 | | |
Lockheed Martin Corp. | | | | | 1,331 | | | | | | 473,051 | | |
Northrop Grumman Corp. | | | | | 1,331 | | | | | | 515,190 | | |
| | | | | | | | | | | 1,908,845 | | |
Airlines – 0.8% | | ||||||||||||
American Airlines Group, Inc.*(a) | | | | | 24,079 | | | | | | 432,459 | | |
United Airlines Holdings, Inc.* | | | | | 10,043 | | | | | | 439,682 | | |
| | | | | | | | | | | 872,141 | | |
Automobiles – 0.8% | | ||||||||||||
Harley-Davidson, Inc. | | | | | 12,100 | | | | | | 456,049 | | |
Thor Industries, Inc. | | | | | 4,356 | | | | | | 452,022 | | |
| | | | | | | | | | | 908,071 | | |
Banks – 1.7% | | ||||||||||||
Bank OZK | | | | | 9,801 | | | | | | 456,040 | | |
Commerce Bancshares, Inc.(a) | | | | | 6,609 | | | | | | 454,303 | | |
People’s United Financial, Inc. | | | | | 25,047 | | | | | | 446,338 | | |
UMB Financial Corp. | | | | | 4,356 | | | | | | 462,215 | | |
| | | | | | | | | | | 1,818,896 | | |
Biotechnology – 5.7% | | ||||||||||||
ACADIA Pharmaceuticals, Inc.*(a) | | | | | 23,716 | | | | | | 553,531 | | |
Alkermes plc*(a) | | | | | 20,449 | | | | | | 475,644 | | |
Biogen, Inc.*(a) | | | | | 1,815 | | | | | | 435,455 | | |
Biohaven Pharmaceutical Holding Co. Ltd.* | | | | | 3,993 | | | | | | 550,275 | | |
Exelixis, Inc.* | | | | | 26,862 | | | | | | 491,037 | | |
Gilead Sciences, Inc. | | | | | 6,655 | | | | | | 483,220 | | |
Mirati Therapeutics, Inc.* | | | | | 3,267 | | | | | | 479,236 | | |
Moderna, Inc.* | | | | | 1,694 | | | | | | 430,242 | | |
Sarepta Therapeutics, Inc.* | | | | | 5,808 | | | | | | 523,010 | | |
United Therapeutics Corp.* | | | | | 2,299 | | | | | | 496,768 | | |
Vertex Pharmaceuticals, Inc.* | | | | | 2,541 | | | | | | 558,004 | | |
Vir Biotechnology, Inc.* | | | | | 14,641 | | | | | | 613,019 | | |
| | | | | | | | | | | 6,089,441 | | |
Building Products – 0.9% | | ||||||||||||
Armstrong World Industries, Inc.(a) | | | | | 4,114 | | | | | | 477,718 | | |
Masco Corp. | | | | | 6,897 | | | | | | 484,307 | | |
| | | | | | | | | | | 962,025 | | |
Capital Markets – 2.3% | | ||||||||||||
Cboe Global Markets, Inc.(a) | | | | | 3,630 | | | | | | 473,352 | | |
CME Group, Inc.(a) | | | | | 2,057 | | | | | | 469,942 | | |
MarketAxess Holdings, Inc. | | | | | 1,331 | | | | | | 547,400 | | |
Nasdaq, Inc. | | | | | 2,299 | | | | | | 482,813 | | |
Virtu Financial, Inc., Class A | | | | | 16,214 | | | | | | 467,450 | | |
| | | | | | | | | | | 2,440,957 | | |
Chemicals – 2.2% | | ||||||||||||
Air Products and Chemicals, Inc.(a) | | | | | 1,573 | | | | | | 478,601 | | |
DuPont de Nemours, Inc. | | | | | 5,929 | | | | | | 478,945 | | |
NewMarket Corp. | | | | | 1,331 | | | | | | 456,160 | | |
Sherwin-Williams Co. (The) | | | | | 1,452 | | | | | | 511,336 | | |
Valvoline, Inc. | | | | | 12,826 | | | | | | 478,282 | | |
| | | | | | | | | | | 2,403,324 | | |
Investments | | | Shares | | | Value ($) | | ||||||
Commercial Services & Supplies – 1.3% | | ||||||||||||
Republic Services, Inc. | | | | | 3,388 | | | | | $ | 472,457 | | |
Stericycle, Inc.* | | | | | 7,744 | | | | | | 461,852 | | |
Waste Management, Inc. | | | | | 2,783 | | | | | | 464,483 | | |
| | | | | | | | | | | 1,398,792 | | |
Communications Equipment – 0.5% | | ||||||||||||
F5, Inc.* | | | | | 2,057 | | | | | | 503,369 | | |
Consumer Finance – 1.0% | | ||||||||||||
Credit Acceptance Corp.*(a) | | | | | 726 | | | | | | 499,256 | | |
FirstCash Holdings, Inc. | | | | | 7,018 | | | | | | 525,016 | | |
| | | | | | | | | | | 1,024,272 | | |
Containers & Packaging – 2.2% | | ||||||||||||
Ball Corp.(a) | | | | | 4,961 | | | | | | 477,596 | | |
International Paper Co. | | | | | 9,801 | | | | | | 460,451 | | |
Packaging Corp. of America | | | | | 3,509 | | | | | | 477,750 | | |
Silgan Holdings, Inc. | | | | | 11,132 | | | | | | 476,895 | | |
Sonoco Products Co. | | | | | 7,502 | | | | | | 434,291 | | |
| | | | | | | | | | | 2,326,983 | | |
Distributors – 0.4% | | ||||||||||||
Pool Corp. | | | | | 847 | | | | | | 479,402 | | |
Diversified Consumer Services – 2.3% | | ||||||||||||
Bright Horizons Family Solutions, Inc.*(a) | | | | | 3,751 | | | | | | 472,176 | | |
Grand Canyon Education, Inc.* | | | | | 6,171 | | | | | | 528,916 | | |
H&R Block, Inc. | | | | | 18,392 | | | | | | 433,316 | | |
Service Corp. International | | | | | 6,897 | | | | | | 489,618 | | |
Terminix Global Holdings, Inc.* | | | | | 11,737 | | | | | | 530,864 | | |
| | | | | | | | | | | 2,454,890 | | |
Diversified Financial Services – 0.4% | | ||||||||||||
Berkshire Hathaway, Inc., Class B*(a) | | | | | 1,573 | | | | | | 470,327 | | |
Diversified Telecommunication Services – 1.3% | | ||||||||||||
AT&T, Inc. | | | | | 19,118 | | | | | | 470,303 | | |
Lumen Technologies, Inc. | | | | | 33,759 | | | | | | 423,675 | | |
Verizon Communications, Inc. | | | | | 9,075 | | | | | | 471,537 | | |
| | | | | | | | | | | 1,365,515 | | |
Electric Utilities – 1.8% | | ||||||||||||
Duke Energy Corp. | | | | | 4,719 | | | | | | 495,023 | | |
Evergy, Inc. | | | | | 7,139 | | | | | | 489,807 | | |
IDACORP, Inc. | | | | | 4,356 | | | | | | 493,579 | | |
PNM Resources, Inc. | | | | | 9,438 | | | | | | 430,467 | | |
| | | | | | | | | | | 1,908,876 | | |
Electronic Equipment, Instruments & Components – 0.4% | | ||||||||||||
Keysight Technologies, Inc.* | | | | | 2,299 | | | | | | 474,767 | | |
Entertainment – 0.5% | | ||||||||||||
Electronic Arts, Inc. | | | | | 3,751 | | | | | | 494,757 | | |
Equity Real Estate Investment Trusts (REITs) – 5.9% | | ||||||||||||
Boston Properties, Inc.(a) | | | | | 3,993 | | | | | | 459,914 | | |
Camden Property Trust(a) | | | | | 2,783 | | | | | | 497,266 | | |
Crown Castle International Corp.(a) | | | | | 2,541 | | | | | | 530,408 | | |
CubeSmart(a) | | | | | 8,470 | | | | | | 482,028 | | |
Digital Realty Trust, Inc. | | | | | 2,783 | | | | | | 492,229 | | |
Douglas Emmett, Inc. | | | | | 13,189 | | | | | | 441,832 | | |
Equity Commonwealth* | | | | | 17,908 | | | | | | 463,817 | | |
Iron Mountain, Inc. | | | | | 9,922 | | | | | | 519,218 | | |
Schedule of Investments (continued)
Investments | | | Shares | | | Value ($) | | ||||||
Life Storage, Inc. | | | | | 3,509 | | | | | $ | 537,509 | | |
Public Storage | | | | | 1,452 | | | | | | 543,861 | | |
SBA Communications Corp. | | | | | 1,331 | | | | | | 517,786 | | |
SL Green Realty Corp. | | | | | 6,171 | | | | | | 442,461 | | |
Vornado Realty Trust | | | | | 10,648 | | | | | | 445,725 | | |
| | | | | | | | | | | 6,374,054 | | |
Food & Staples Retailing – 0.5% | | ||||||||||||
Kroger Co. (The) | | | | | 11,011 | | | | | | 498,358 | | |
Food Products – 3.1% | | ||||||||||||
Beyond Meat, Inc.* | | | | | 6,171 | | | | | | 402,102 | | |
Campbell Soup Co.(a) | | | | | 11,374 | | | | | | 494,314 | | |
Flowers Foods, Inc. | | | | | 17,303 | | | | | | 475,314 | | |
General Mills, Inc. | | | | | 7,381 | | | | | | 497,332 | | |
Hain Celestial Group, Inc. (The)* | | | | | 11,253 | | | | | | 479,490 | | |
Hormel Foods Corp. | | | | | 10,890 | | | | | | 531,541 | | |
J M Smucker Co. (The) | | | | | 3,509 | | | | | | 476,592 | | |
| | | | | | | | | | | 3,356,685 | | |
Health Care Equipment & Supplies – 2.4% | | ||||||||||||
Abbott Laboratories(a) | | | | | 3,751 | | | | | | 527,916 | | |
Baxter International, Inc.(a) | | | | | 6,050 | | | | | | 519,332 | | |
Becton Dickinson and Co.(a) | | | | | 1,936 | | | | | | 486,865 | | |
Penumbra, Inc.* | | | | | 1,815 | | | | | | 521,486 | | |
Quidel Corp.* | | | | | 3,509 | | | | | | 473,680 | | |
| | | | | | | | | | | 2,529,279 | | |
Health Care Providers & Services – 1.5% | | ||||||||||||
Laboratory Corp. of America Holdings* | | | | | 1,694 | | | | | | 532,272 | | |
Premier, Inc., Class A | | | | | 11,858 | | | | | | 488,194 | | |
Quest Diagnostics, Inc. | | | | | 3,146 | | | | | | 544,289 | | |
| | | | | | | | | | | 1,564,755 | | |
Health Care Technology – 0.6% | | ||||||||||||
Cerner Corp.(a) | | | | | 6,413 | | | | | | 595,575 | | |
Hotels, Restaurants & Leisure – 2.2% | | ||||||||||||
Domino’s Pizza, Inc. | | | | | 847 | | | | | | 477,988 | | |
McDonald’s Corp. | | | | | 1,815 | | | | | | 486,547 | | |
Vail Resorts, Inc. | | | | | 1,331 | | | | | | 436,435 | | |
Wendy’s Co. (The) | | | | | 21,417 | | | | | | 510,795 | | |
Wyndham Hotels & Resorts, Inc. | | | | | 5,445 | | | | | | 488,144 | | |
| | | | | | | | | | | 2,399,909 | | |
Household Durables – 0.4% | | ||||||||||||
Helen of Troy Ltd.* | | | | | 1,936 | | | | | | 473,294 | | |
Household Products – 0.9% | | ||||||||||||
Church & Dwight Co., Inc.(a) | | | | | 4,961 | | | | | | 508,502 | | |
Clorox Co. (The)(a) | | | | | 2,783 | | | | | | 485,244 | | |
| | | | | | | | | | | 993,746 | | |
Industrial Conglomerates – 0.8% | | ||||||||||||
3M Co. | | | | | 2,662 | | | | | | 472,851 | | |
General Electric Co. | | | | | 4,598 | | | | | | 434,373 | | |
| | | | | | | | | | | 907,224 | | |
Insurance – 5.2% | | ||||||||||||
Allstate Corp. (The)(a) | | | | | 4,114 | | | | | | 484,012 | | |
American Financial Group, Inc.(a) | | | | | 3,267 | | | | | | 448,624 | | |
Arthur J Gallagher & Co.(a) | | | | | 2,783 | | | | | | 472,192 | | |
Assurant, Inc.(a) | | | | | 2,904 | | | | | | 452,617 | | |
Cincinnati Financial Corp.(a) | | | | | 3,872 | | | | | | 441,137 | | |
Investments | | | Shares | | | Value ($) | | ||||||
Erie Indemnity Co., Class A | | | | | 2,178 | | | | | $ | 419,614 | | |
Hanover Insurance Group, Inc. (The) | | | | | 3,630 | | | | | | 475,748 | | |
Hartford Financial Services Group, Inc. (The) | | | | | 6,534 | | | | | | 451,107 | | |
Marsh & McLennan Cos., Inc. | | | | | 2,783 | | | | | | 483,741 | | |
Mercury General Corp. | | | | | 8,954 | | | | | | 475,099 | | |
Progressive Corp. (The) | | | | | 4,840 | | | | | | 496,826 | | |
White Mountains Insurance Group Ltd. | | | | | 484 | | | | | | 490,728 | | |
| | | | | | | | | | | 5,591,445 | | |
Interactive Media & Services – 0.4% | | ||||||||||||
Ziff Davis, Inc.* | | | | | 3,993 | | | | | | 442,664 | | |
IT Services – 6.0% | | ||||||||||||
Akamai Technologies, Inc.*(a) | | | | | 4,114 | | | | | | 481,503 | | |
Amdocs Ltd. | | | | | 6,413 | | | | | | 479,949 | | |
Automatic Data Processing, Inc.(a) | | | | | 1,936 | | | | | | 477,379 | | |
Broadridge Financial Solutions, Inc.(a) | | | | | 2,662 | | | | | | 486,667 | | |
Cognizant Technology Solutions Corp., Class A(a) | | | | | 5,808 | | | | | | 515,286 | | |
Fidelity National Information Services, Inc. | | | | | 4,235 | | | | | | 462,250 | | |
International Business Machines Corp. | | | | | 3,993 | | | | | | 533,704 | | |
Jack Henry & Associates, Inc. | | | | | 3,025 | | | | | | 505,145 | | |
Maximus, Inc. | | | | | 5,808 | | | | | | 462,723 | | |
MongoDB, Inc.* | | | | | 968 | | | | | | 512,411 | | |
Paychex, Inc. | | | | | 3,751 | | | | | | 512,011 | | |
VeriSign, Inc.* | | | | | 1,936 | | | | | | 491,396 | | |
Western Union Co. (The) | | | | | 28,193 | | | | | | 502,963 | | |
| | | | | | | | | | | 6,423,387 | | |
Leisure Products – 0.9% | | ||||||||||||
Hasbro, Inc. | | | | | 4,719 | | | | | | 480,300 | | |
Mattel, Inc.* | | | | | 20,933 | | | | | | 451,315 | | |
| | | | | | | | | | | 931,615 | | |
Life Sciences Tools & Services – 0.5% | | ||||||||||||
West Pharmaceutical Services, Inc. | | | | | 1,089 | | | | | | 510,752 | | |
Machinery – 2.6% | | ||||||||||||
Cummins, Inc.(a) | | | | | 2,057 | | | | | | 448,714 | | |
Lincoln Electric Holdings, Inc. | | | | | 3,267 | | | | | | 455,648 | | |
Middleby Corp. (The)* | | | | | 2,541 | | | | | | 499,967 | | |
Otis Worldwide Corp. | | | | | 5,566 | | | | | | 484,632 | | |
Pentair plc | | | | | 6,050 | | | | | | 441,831 | | |
Snap-on, Inc. | | | | | 2,178 | | | | | | 469,098 | | |
| | | | | | | | | | | 2,799,890 | | |
Media – 1.7% | | ||||||||||||
Discovery, Inc., Class C* | | | | | 18,997 | | | | | | 435,031 | | |
Fox Corp., Class A | | | | | 12,221 | | | | | | 450,955 | | |
New York Times Co. (The), Class A | | | | | 10,164 | | | | | | 490,921 | | |
ViacomCBS, Inc. | | | | | 14,036 | | | | | | 423,607 | | |
| | | | | | | | | | | 1,800,514 | | |
Metals & Mining – 0.5% | | ||||||||||||
Newmont Corp. | | | | | 8,470 | | | | | | 525,309 | | |
Mortgage Real Estate Investment Trusts (REITs) – 0.8% | | ||||||||||||
AGNC Investment Corp.(a) | | | | | 29,282 | | | | | | 440,401 | | |
Annaly Capital Management, Inc. | | | | | 55,418 | | | | | | 433,369 | | |
| | | | | | | | | | | 873,770 | | |
|
Schedule of Investments (continued)
Investments | | | Shares | | | Value ($) | | ||||||
Multiline Retail – 1.2% | | ||||||||||||
Dollar General Corp. | | | | | 2,057 | | | | | $ | 485,102 | | |
Ollie’s Bargain Outlet Holdings, Inc.* | | | | | 7,139 | | | | | | 365,446 | | |
Target Corp. | | | | | 1,936 | | | | | | 448,068 | | |
| | | | | | | | | | | 1,298,616 | | |
Multi-Utilities – 1.9% | | ||||||||||||
Consolidated Edison, Inc. | | | | | 5,929 | | | | | | 505,862 | | |
DTE Energy Co. | | | | | 4,114 | | | | | | 491,788 | | |
NiSource, Inc. | | | | | 18,392 | | | | | | 507,803 | | |
WEC Energy Group, Inc. | | | | | 5,203 | | | | | | 505,055 | | |
| | | | | | | | | | | 2,010,508 | | |
Oil, Gas & Consumable Fuels – 2.5% | | ||||||||||||
Coterra Energy, Inc.(a) | | | | | 22,264 | | | | | | 423,016 | | |
EQT Corp.* | | | | | 22,022 | | | | | | 480,300 | | |
Equitrans Midstream Corp. | | | | | 43,802 | | | | | | 452,913 | | |
HollyFrontier Corp. | | | | | 13,794 | | | | | | 452,167 | | |
Kinder Morgan, Inc. | | | | | 28,314 | | | | | | 449,060 | | |
Williams Cos., Inc. (The) | | | | | 16,456 | | | | | | 428,514 | | |
| | | | | | | | | | | 2,685,970 | | |
Pharmaceuticals – 2.2% | | ||||||||||||
Bristol-Myers Squibb Co.(a) | | | | | 8,228 | | | | | | 513,016 | | |
Elanco Animal Health, Inc.* | | | | | 15,246 | | | | | | 432,681 | | |
Eli Lilly and Co. | | | | | 1,815 | | | | | | 501,339 | | |
Merck & Co., Inc. | | | | | 5,687 | | | | | | 435,852 | | |
Perrigo Co. plc | | | | | 12,100 | | | | | | 470,690 | | |
| | | | | | | | | | | 2,353,578 | | |
Professional Services – 3.1% | | ||||||||||||
Booz Allen Hamilton Holding Corp.(a) | | | | | 5,324 | | | | | | 451,422 | | |
CACI International, Inc., Class A*(a) | | | | | 1,694 | | | | | | 456,042 | | |
Dun & Bradstreet Holdings, Inc.* | | | | | 25,047 | | | | | | 513,213 | | |
Equifax, Inc. | | | | | 1,694 | | | | | | 495,986 | | |
FTI Consulting, Inc.* | | | | | 3,146 | | | | | | 482,659 | | |
Nielsen Holdings plc | | | | | 22,264 | | | | | | 456,635 | | |
Science Applications International Corp. | | | | | 5,324 | | | | | | 445,033 | | |
| | | | | | | | | | | 3,300,990 | | |
Road & Rail – 1.2% | | ||||||||||||
Canadian Pacific Railway Ltd. | | | | | 4,424 | | | | | | 318,267 | | |
CSX Corp.(a) | | | | | 12,947 | | | | | | 486,807 | | |
Norfolk Southern Corp. | | | | | 1,694 | | | | | | 504,321 | | |
| | | | | | | | | | | 1,309,395 | | |
Semiconductors & Semiconductor Equipment – 0.5% | | ||||||||||||
Cirrus Logic, Inc.*(a) | | | | | 5,808 | | | | | | 534,452 | | |
Software – 6.5% | | ||||||||||||
Black Knight, Inc.*(a) | | | | | 6,413 | | | | | | 531,573 | | |
Citrix Systems, Inc.(a) | | | | | 5,566 | | | | | | 526,488 | | |
Dolby Laboratories, Inc., Class A | | | | | 5,445 | | | | | | 518,473 | | |
Dropbox, Inc., Class A*(a) | | | | | 19,118 | | | | | | 469,156 | | |
Five9, Inc.* | | | | | 3,388 | | | | | | 465,240 | | |
New Relic, Inc.* | | | | | 4,235 | | | | | | 465,681 | | |
NortonLifeLock, Inc. | | | | | 18,634 | | | | | | 484,111 | | |
Nuance Communications, Inc.* | | | | | 8,470 | | | | | | 468,560 | | |
Oracle Corp. | | | | | 4,961 | | | | | | 432,649 | | |
Splunk, Inc.* | | | | | 3,751 | | | | | | 434,066 | | |
Tyler Technologies, Inc.* | | | | | 847 | | | | | | 455,644 | | |
Unity Software, Inc.* | | | | | 2,541 | | | | | | 363,337 | | |
Verint Systems, Inc.* | | | | | 9,680 | | | | | | 508,297 | | |
Investments | | | Shares | | | Value ($) | | ||||||
VMware, Inc., Class A | | | | | 3,993 | | | | | $ | 462,709 | | |
Zoom Video Communications, Inc., Class A* | | | | | 2,299 | | | | | | 422,809 | | |
| | | | | | | | | | | 7,008,793 | | |
Specialty Retail – 1.6% | | ||||||||||||
GameStop Corp., Class A* | | | | | 2,178 | | | | | | 323,193 | | |
Murphy USA, Inc. | | | | | 2,541 | | | | | | 506,269 | | |
O’Reilly Automotive, Inc.* | | | | | 726 | | | | | | 512,723 | | |
Williams-Sonoma, Inc. | | | | | 2,178 | | | | | | 368,365 | | |
| | | | | | | | | | | 1,710,550 | | |
Technology Hardware, Storage & Peripherals – 1.0% | | ||||||||||||
Seagate Technology Holdings plc | | | | | 4,598 | | | | | | 519,482 | | |
Western Digital Corp.* | | | | | 7,865 | | | | | | 512,877 | | |
| | | | | | | | | | | 1,032,359 | | |
Textiles, Apparel & Luxury Goods – 0.4% | | ||||||||||||
Levi Strauss & Co., Class A | | | | | 16,577 | | | | | | 414,922 | | |
Thrifts & Mortgage Finance – 0.8% | | ||||||||||||
New York Community Bancorp, Inc. | | | | | 36,784 | | | | | | 449,133 | | |
Rocket Cos., Inc., Class A | | | | | 29,766 | | | | | | 416,724 | | |
| | | | | | | | | | | 865,857 | | |
Trading Companies & Distributors – 0.5% | | ||||||||||||
WW Grainger, Inc. | | | | | 968 | | | | | | 501,656 | | |
TOTAL COMMON STOCKS (COST $87,733,407) | | | | | | | | | | | 94,925,521 | | |
TOTAL LONG POSITIONS (Cost $87,733,407) | | | | | | | | | | | 94,925,521 | | |
SHORT POSITIONS – (86.2)% | | ||||||||||||
COMMON STOCKS – (86.2)% | | ||||||||||||
Aerospace & Defense – (2.1)% | | ||||||||||||
Axon Enterprise, Inc.* | | | | | (2,662) | | | | | | (417,934) | | |
Boeing Co. (The)* | | | | | (2,299) | | | | | | (462,835) | | |
Curtiss-Wright Corp. | | | | | (3,509) | | | | | | (486,593) | | |
HEICO Corp. | | | | | (3,267) | | | | | | (471,167) | | |
Hexcel Corp.* | | | | | (8,107) | | | | | | (419,942) | | |
| | | | | | | | | | | (2,258,471) | | |
Auto Components – (0.8)% | | ||||||||||||
Fox Factory Holding Corp.* | | | | | (2,662) | | | | | | (452,806) | | |
Luminar Technologies, Inc.* | | | | | (26,620) | | | | | | (450,144) | | |
| | | | | | | | | | | (902,950) | | |
Automobiles – (0.5)% | | ||||||||||||
Tesla, Inc.* | | | | | (484) | | | | | | (511,482) | | |
Banks – (1.6)% | | ||||||||||||
First Citizens BancShares, Inc., Class A | | | | | (484) | | | | | | (401,642) | | |
First Horizon Corp. | | | | | (27,709) | | | | | | (452,488) | | |
SVB Financial Group* | | | | | (605) | | | | | | (410,335) | | |
Wells Fargo & Co. | | | | | (9,317) | | | | | | (447,030) | | |
| | | | | | | | | | | (1,711,495) | | |
Beverages – (0.5)% | | ||||||||||||
Constellation Brands, Inc., Class A | | | | | (2,057) | | | | | | (516,245) | | |
Biotechnology – (1.8)% | | ||||||||||||
Bridgebio Pharma, Inc.* | | | | | (11,737) | | | | | | (195,773) | | |
Intellia Therapeutics, Inc.* | | | | | (4,114) | | | | | | (486,439) | | |
Novavax, Inc.* | | | | | (2,420) | | | | | | (346,230) | | |
Twist Bioscience Corp.* | | | | | (4,961) | | | | | | (383,932) | | |
Schedule of Investments (continued)
Investments | | | Shares | | | Value ($) | | ||||||
Ultragenyx Pharmaceutical, Inc.* | | | | | (6,171) | | | | | $ | (518,919) | | |
| | | | | | | | | | | (1,931,293) | | |
Building Products – (1.5)% | | ||||||||||||
Advanced Drainage Systems, Inc. | | | | | (3,751) | | | | | | (510,624) | | |
Builders FirstSource, Inc.* | | | | | (6,534) | | | | | | (560,029) | | |
Trex Co., Inc.* | | | | | (3,630) | | | | | | (490,159) | | |
| | | | | | | | | | | (1,560,812) | | |
Capital Markets – (6.0)% | | ||||||||||||
Affiliated Managers Group, Inc. | | | | | (2,662) | | | | | | (437,926) | | |
BlackRock, Inc. | | | | | (484) | | | | | | (443,131) | | |
Carlyle Group, Inc. (The) | | | | | (8,349) | | | | | | (458,360) | | |
Charles Schwab Corp. (The) | | | | | (5,808) | | | | | | (488,453) | | |
Franklin Resources, Inc. | | | | | (13,915) | | | | | | (466,013) | | |
Interactive Brokers Group, Inc., Class A | | | | | (6,171) | | | | | | (490,101) | | |
Invesco Ltd. | | | | | (19,602) | | | | | | (451,238) | | |
Jefferies Financial Group, Inc. | | | | | (11,979) | | | | | | (464,785) | | |
KKR & Co., Inc. | | | | | (6,292) | | | | | | (468,754) | | |
LPL Financial Holdings, Inc. | | | | | (2,783) | | | | | | (445,530) | | |
Morgan Stanley | | | | | (4,719) | | | | | | (463,217) | | |
MSCI, Inc. | | | | | (726) | | | | | | (444,813) | | |
Northern Trust Corp. | | | | | (3,872) | | | | | | (463,130) | | |
State Street Corp. | | | | | (4,840) | | | | | | (450,120) | | |
| | | | | | | | | | | (6,435,571) | | |
Chemicals – (0.9)% | | ||||||||||||
Chemours Co. (The) | | | | | (14,762) | | | | | | (495,412) | | |
Olin Corp. | | | | | (7,986) | | | | | | (459,355) | | |
| | | | | | | | | | | (954,767) | | |
Commercial Services & Supplies – (0.8)% | | ||||||||||||
ADT, Inc. | | | | | (54,087) | | | | | | (454,871) | | |
Tetra Tech, Inc. | | | | | (2,541) | | | | | | (431,462) | | |
| | | | | | | | | | | (886,333) | | |
Construction & Engineering – (0.5)% | | ||||||||||||
AECOM* | | | | | (6,413) | | | | | | (496,046) | | |
Consumer Finance – (1.7)% | | ||||||||||||
American Express Co. | | | | | (2,783) | | | | | | (455,299) | | |
Discover Financial Services | | | | | (3,993) | | | | | | (461,431) | | |
OneMain Holdings, Inc. | | | | | (9,317) | | | | | | (466,223) | | |
Synchrony Financial | | | | | (9,680) | | | | | | (449,055) | | |
| | | | | | | | | | | (1,832,008) | | |
Containers & Packaging – (0.5)% | | ||||||||||||
Berry Global Group, Inc.* | | | | | (7,381) | | | | | | (544,570) | | |
Electric Utilities – (2.4)% | | ||||||||||||
ALLETE, Inc. | | | | | (7,623) | | | | | | (505,786) | | |
Exelon Corp. | | | | | (8,833) | | | | | | (510,194) | | |
NRG Energy, Inc. | | | | | (12,826) | | | | | | (552,544) | | |
OGE Energy Corp. | | | | | (13,552) | | | | | | (520,126) | | |
PG&E Corp.* | | | | | (38,478) | | | | | | (467,123) | | |
| | | | | | | | | | | (2,555,773) | | |
Electrical Equipment – (1.4)% | | ||||||||||||
EnerSys | | | | | (6,171) | | | | | | (487,879) | | |
Generac Holdings, Inc.* | | | | | (1,089) | | | | | | (383,241) | | |
Plug Power, Inc.* | | | | | (11,132) | | | | | | (314,256) | | |
Sunrun, Inc.* | | | | | (9,680) | | | | | | (332,024) | | |
| | | | | | | | | | | (1,517,400) | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Electronic Equipment, Instruments & Components – (1.0)% | | ||||||||||||
Avnet, Inc. | | | | | (12,342) | | | | | $ | (508,861) | | |
Jabil, Inc. | | | | | (7,744) | | | | | | (544,790) | | |
| | | | | | | | | | | (1,053,651) | | |
Entertainment – (0.9)% | | ||||||||||||
Live Nation Entertainment, Inc.* | | | | | (4,235) | | | | | | (506,887) | | |
Roku, Inc.* | | | | | (2,057) | | | | | | (469,408) | | |
| | | | | | | | | | | (976,295) | | |
Equity Real Estate Investment Trusts (REITs) – (4.5)% | | ||||||||||||
Brixmor Property Group, Inc. | | | | | (19,118) | | | | | | (485,788) | | |
Essex Property Trust, Inc. | | | | | (1,331) | | | | | | (468,818) | | |
Host Hotels & Resorts, Inc.* | | | | | (27,346) | | | | | | (475,547) | | |
Lamar Advertising Co., Class A | | | | | (4,114) | | | | | | (499,028) | | |
PotlatchDeltic Corp. | | | | | (8,349) | | | | | | (502,777) | | |
Rayonier, Inc. | | | | | (12,100) | | | | | | (488,356) | | |
Sabra Health Care REIT, Inc. | | | | | (34,243) | | | | | | (463,650) | | |
Simon Property Group, Inc. | | | | | (2,783) | | | | | | (444,640) | | |
STORE Capital Corp. | | | | | (14,036) | | | | | | (482,839) | | |
Weyerhaeuser Co. | | | | | (12,342) | | | | | | (508,244) | | |
| | | | | | | | | | | (4,819,687) | | |
Food & Staples Retailing – (1.8)% | | ||||||||||||
Casey’s General Stores, Inc. | | | | | (2,420) | | | | | | (477,587) | | |
Performance Food Group Co.* | | | | | (10,769) | | | | | | (494,189) | | |
Sysco Corp. | | | | | (6,292) | | | | | | (494,237) | | |
US Foods Holding Corp.* | | | | | (13,794) | | | | | | (480,445) | | |
| | | | | | | | | | | (1,946,458) | | |
Food Products – (0.8)% | | ||||||||||||
Darling Ingredients, Inc.* | | | | | (6,534) | | | | | | (452,741) | | |
Freshpet, Inc.* | | | | | (4,356) | | | | | | (414,996) | | |
| | | | | | | | | | | (867,737) | | |
Health Care Equipment & Supplies – (2.5)% | | ||||||||||||
Align Technology, Inc.* | | | | | (726) | | | | | | (477,113) | | |
Globus Medical, Inc., Class A* | | | | | (7,139) | | | | | | (515,436) | | |
Novocure Ltd.* | | | | | (4,840) | | | | | | (363,387) | | |
Shockwave Medical, Inc.* | | | | | (2,420) | | | | | | (431,559) | | |
STAAR Surgical Co.* | | | | | (4,598) | | | | | | (419,797) | | |
Stryker Corp. | | | | | (1,936) | | | | | | (517,725) | | |
| | | | | | | | | | | (2,725,017) | | |
Health Care Providers & Services – (4.7)% | | ||||||||||||
1Life Healthcare, Inc.* | | | | | (28,072) | | | | | | (493,225) | | |
Amedisys, Inc.* | | | | | (3,025) | | | | | | (489,687) | | |
Covetrus, Inc.* | | | | | (26,257) | | | | | | (524,352) | | |
Guardant Health, Inc.* | | | | | (4,477) | | | | | | (447,790) | | |
HCA Healthcare, Inc. | | | | | (2,057) | | | | | | (528,484) | | |
LHC Group, Inc.* | | | | | (3,751) | | | | | | (514,750) | | |
McKesson Corp. | | | | | (2,178) | | | | | | (541,385) | | |
Molina Healthcare, Inc.* | | | | | (1,573) | | | | | | (500,340) | | |
Oak Street Health, Inc.* | | | | | (14,397) | | | | | | (477,117) | | |
Tenet Healthcare Corp.* | | | | | (6,171) | | | | | | (504,109) | | |
| | | | | | | | | | | (5,021,239) | | |
Health Care Technology – (0.8)% | | ||||||||||||
Teladoc Health, Inc.* | | | | | (4,477) | | | | | | (411,078) | | |
Veeva Systems, Inc., Class A* | | | | | (1,694) | | | | | | (432,783) | | |
| | | | | | | | | | | (843,861) | | |
|
Schedule of Investments (continued)
Investments | | | Shares | | | Value ($) | | ||||||
Hotels, Restaurants & Leisure – (2.7)% | | ||||||||||||
Boyd Gaming Corp.* | | | | | (7,744) | | | | | $ | (507,774) | | |
Caesars Entertainment, Inc.* | | | | | (5,082) | | | | | | (475,320) | | |
Churchill Downs, Inc. | | | | | (2,057) | | | | | | (495,531) | | |
Marriott Vacations Worldwide Corp. | | | | | (2,904) | | | | | | (490,718) | | |
MGM Resorts International | | | | | (11,132) | | | | | | (499,604) | ��� | |
Penn National Gaming, Inc.* | | | | | (8,954) | | | | | | (464,265) | | |
| | | | | | | | | | | (2,933,212) | | |
Household Durables – (0.4)% | | ||||||||||||
TopBuild Corp.* | | | | | (1,694) | | | | | | (467,392) | | |
Household Products – (0.5)% | | ||||||||||||
Energizer Holdings, Inc. | | | | | (12,100) | | | | | | (485,210) | | |
Independent Power and Renewable Electricity Producers – (0.9)% | | ||||||||||||
AES Corp. (The) | | | | | (19,360) | | | | | | (470,448) | | |
Vistra Corp. | | | | | (23,232) | | | | | | (528,993) | | |
| | | | | | | | | | | (999,441) | | |
Insurance – (2.2)% | | ||||||||||||
Athene Holding Ltd., Class A* | | | | | (5,687) | | | | | | (473,898) | | |
Brighthouse Financial, Inc.* | | | | | (9,075) | | | | | | (470,085) | | |
Fidelity National Financial, Inc. | | | | | (9,075) | | | | | | (473,533) | | |
Lincoln National Corp. | | | | | (6,776) | | | | | | (462,530) | | |
Principal Financial Group, Inc. | | | | | (6,534) | | | | | | (472,604) | | |
| | | | | | | | | | | (2,352,650) | | |
Interactive Media & Services – (2.9)% | | ||||||||||||
Cargurus, Inc.* | | | | | (13,310) | | | | | | (447,748) | | |
Meta Platforms, Inc., Class A* | | | | | (1,452) | | | | | | (488,380) | | |
Pinterest, Inc., Class A* | | | | | (11,374) | | | | | | (413,445) | | |
Snap, Inc., Class A* | | | | | (9,680) | | | | | | (455,251) | | |
TripAdvisor, Inc.* | | | | | (16,940) | | | | | | (461,784) | | |
Twitter, Inc.* | | | | | (10,043) | | | | | | (434,059) | | |
ZoomInfo Technologies, Inc., Class A* | | | | | (6,776) | | | | | | (435,019) | | |
| | | | | | | | | | | (3,135,686) | | |
Internet & Direct Marketing Retail – (0.3)% | | ||||||||||||
Etsy, Inc.* | | | | | (1,573) | | | | | | (344,393) | | |
IT Services – (1.1)% | | ||||||||||||
Block, Inc.* | | | | | (2,178) | | | | | | (351,769) | | |
Cloudflare, Inc., Class A* | | | | | (2,420) | | | | | | (318,230) | | |
PayPal Holdings, Inc.* | | | | | (2,541) | | | | | | (479,182) | | |
| | | | | | | | | | | (1,149,181) | | |
Leisure Products – (0.4)% | | ||||||||||||
YETI Holdings, Inc.* | | | | | (4,961) | | | | | | (410,920) | | |
Life Sciences Tools & Services – (1.7)% | | ||||||||||||
10X Genomics, Inc., Class A* | | | | | (3,146) | | | | | | (468,628) | | |
Bio-Techne Corp. | | | | | (968) | | | | | | (500,785) | | |
Pacific Biosciences of California, Inc.* | | | | | (20,449) | | | | | | (418,386) | | |
Repligen Corp.* | | | | | (1,815) | | | | | | (480,685) | | |
| | | | | | | | | | | (1,868,484) | | |
Machinery – (1.7)% | | ||||||||||||
Allison Transmission Holdings, Inc. | | | | | (12,826) | | | | | | (466,225) | | |
Chart Industries, Inc.* | | | | | (2,662) | | | | | | (424,562) | | �� |
Colfax Corp.* | | | | | (9,559) | | | | | | (439,427) | | |
Crane Co. | | | | | (4,598) | | | | | | (467,755) | | |
| | | | | | | | | | | (1,797,969) | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Metals & Mining – (3.2)% | | ||||||||||||
Alcoa Corp. | | | | | (9,438) | | | | | $ | (562,316) | | |
Cleveland-Cliffs, Inc.* | | | | | (21,054) | | | | | | (458,345) | | |
Freeport-McMoRan, Inc. | | | | | (12,342) | | | | | | (515,032) | | |
Nucor Corp. | | | | | (4,114) | | | | | | (469,613) | | |
Reliance Steel & Aluminum Co. | | | | | (2,904) | | | | | | (471,087) | | |
Steel Dynamics, Inc. | | | | | (7,381) | | | | | | (458,139) | | |
United States Steel Corp. | | | | | (19,118) | | | | | | (455,199) | | |
| | | | | | | | | | | (3,389,731) | | |
Multiline Retail – (0.4)% | | ||||||||||||
Kohl’s Corp. | | | | | (8,712) | | | | | | (430,286) | | |
Oil, Gas & Consumable Fuels – (2.5)% | | ||||||||||||
APA Corp. | | | | | (16,698) | | | | | | (449,009) | | |
Devon Energy Corp. | | | | | (10,648) | | | | | | (469,044) | | |
EOG Resources, Inc. | | | | | (5,203) | | | | | | (462,183) | | |
Occidental Petroleum Corp. | | | | | (15,004) | | | | | | (434,966) | | |
Ovintiv, Inc. | | | | | (12,342) | | | | | | (415,925) | | |
Texas Pacific Land Corp. | | | | | (363) | | | | | | (453,340) | | |
| | | | | | | | | | | (2,684,467) | | |
Paper & Forest Products – (0.5)% | | ||||||||||||
Louisiana-Pacific Corp. | | | | | (6,655) | | | | | | (521,419) | | |
Personal Products – (0.9)% | | ||||||||||||
Coty, Inc., Class A* | | | | | (46,585) | | | | | | (489,143) | | |
Estee Lauder Cos., Inc. (The), Class A | | | | | (1,331) | | | | | | (492,736) | | |
| | | | | | | | | | | (981,879) | | |
Professional Services – (1.7)% | | ||||||||||||
ASGN, Inc.* | | | | | (3,751) | | | | | | (462,873) | | |
Clarivate plc* | | | | | (20,328) | | | | | | (478,115) | | |
KBR, Inc. | | | | | (10,164) | | | | | | (484,010) | | |
Upwork, Inc.* | | | | | (12,584) | | | | | | (429,869) | | |
| | | | | | | | | | | (1,854,867) | | |
Real Estate Management & Development – (1.8)% | | ||||||||||||
Howard Hughes Corp. (The)* | | | | | (5,203) | | | | | | (529,561) | | |
Opendoor Technologies, Inc.* | | | | | (28,193) | | | | | | (411,900) | | |
Redfin Corp.* | | | | | (11,132) | | | | | | (427,357) | | |
Zillow Group, Inc., Class C* | | | | | (8,470) | | | | | | (540,810) | | |
| | | | | | | | | | | (1,909,628) | | |
Road & Rail – (1.3)% | | ||||||||||||
Lyft, Inc., Class A* | | | | | (10,769) | | | | | | (460,159) | | |
Uber Technologies, Inc.* | | | | | (11,374) | | | | | | (476,912) | | |
XPO Logistics, Inc.* | | | | | (6,050) | | | | | | (468,452) | | |
| | | | | | | | | | | (1,405,523) | | |
Semiconductors & Semiconductor Equipment – (6.1)% | | ||||||||||||
Applied Materials, Inc. | | | | | (3,267) | | | | | | (514,095) | | |
Enphase Energy, Inc.* | | | | | (1,936) | | | | | | (354,172) | | |
KLA Corp. | | | | | (1,210) | | | | | | (520,433) | | |
Lam Research Corp. | | | | | (726) | | | | | | (522,103) | | |
Lattice Semiconductor Corp.* | | | | | (6,050) | | | | | | (466,213) | | |
Microchip Technology, Inc. | | | | | (5,687) | | | | | | (495,110) | | |
NVIDIA Corp. | | | | | (1,452) | | | | | | (427,048) | | |
NXP Semiconductors NV | | | | | (2,178) | | | | | | (496,105) | | |
ON Semiconductor Corp.* | | | | | (7,623) | | | | | | (517,754) | | |
Silicon Laboratories, Inc.* | | | | | (2,420) | | | | | | (499,536) | | |
SolarEdge Technologies, Inc.* | | | | | (1,331) | | | | | | (373,439) | | |
Teradyne, Inc. | | | | | (3,146) | | | | | | (514,465) | | |
Schedule of Investments (continued)
Investments | | | Shares | | | Value ($) | | ||||||
Wolfspeed, Inc.* | | | | | (3,751) | | | | | $ | (419,249) | | |
Xilinx, Inc. | | | | | (2,057) | | | | | | (436,146) | | |
| | | | | | | | | | | (6,555,868) | | |
Software – (5.3)% | | ||||||||||||
Anaplan, Inc.* | | | | | (10,890) | | | | | | (499,307) | | |
Bill.com Holdings, Inc.* | | | | | (1,573) | | | | | | (391,913) | | |
Coupa Software, Inc.* | | | | | (2,420) | | | | | | (382,481) | | |
Digital Turbine, Inc.* | | | | | (8,470) | | | | | | (516,585) | | |
DocuSign, Inc.* | | | | | (1,936) | | | | | | (294,872) | | |
Dynatrace, Inc.* | | | | | (7,502) | | | | | | (452,746) | | |
Elastic NV* | | | | | (3,025) | | | | | | (372,347) | | |
Manhattan Associates, Inc.* | | | | | (3,025) | | | | | | (470,357) | | |
MicroStrategy, Inc., Class A* | | | | | (726) | | | | | | (395,300) | | |
PTC, Inc.* | | | | | (4,356) | | | | | | (527,729) | | |
Trade Desk, Inc. (The), Class A* | | | | | (4,477) | | | | | | (410,272) | | |
Varonis Systems, Inc.* | | | | | (9,075) | | | | | | (442,679) | | |
Workday, Inc., Class A* | | | | | (1,694) | | | | | | (462,767) | | |
| | | | | | | | | | | (5,619,355) | | |
Specialty Retail – (2.1)% | | ||||||||||||
Bath & Body Works, Inc. | | | | | (6,413) | | | | | | (447,563) | | |
Dick’s Sporting Goods, Inc. | | | | | (3,751) | | | | | | (431,328) | | |
Floor & Decor Holdings, Inc., Class A* | | | | | (3,630) | | | | | | (471,937) | | |
Foot Locker, Inc. | | | | | (9,559) | | | | | | (417,059) | | |
Lithia Motors, Inc. | | | | | (1,694) | | | | | | (503,033) | | |
| | | | | | | | | | | (2,270,920) | | |
Technology Hardware, Storage & Peripherals – (0.5)% | | ||||||||||||
Pure Storage, Inc., Class A* | | | | | (15,488) | | | | | | (504,134) | | |
Textiles, Apparel & Luxury Goods – (2.4)% | | ||||||||||||
Capri Holdings Ltd.* | | | | | (7,502) | | | | | | (486,955) | | |
Crocs, Inc.* | | | | | (2,783) | | | | | | (356,836) | | |
PVH Corp. | | | | | (3,993) | | | | | | (425,854) | | |
Skechers USA, Inc., Class A* | | | | | (10,043) | | | | | | (435,866) | | |
Tapestry, Inc. | | | | | (10,890) | | | | | | (442,134) | | |
Under Armour, Inc., Class A* | | | | | (19,239) | | | | | | (407,674) | | |
| | | | | | | | | | | (2,555,319) | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Thrifts & Mortgage Finance – (0.5)% | | ||||||||||||
Essent Group Ltd. | | | | | (10,527) | | | | | $ | (479,294) | | |
Trading Companies & Distributors – (1.7)% | | ||||||||||||
Applied Industrial Technologies, Inc. | | | | | (4,598) | | | | | | (472,215) | | |
SiteOne Landscape Supply, Inc.* | | | | | (1,936) | | | | | | (469,054) | | |
United Rentals, Inc.* | | | | | (1,331) | | | | | | (442,278) | | |
Univar Solutions, Inc.* | | | | | (17,061) | | | | | | (483,679) | | |
| | | | | | | | | | | (1,867,226) | | |
Water Utilities – (0.5)% | | ||||||||||||
Essential Utilities, Inc. | | | | | (9,922) | | | | | | (532,712) | | |
TOTAL COMMON STOCKS (Proceeds $(89,347,956)) | | | | | | | | | | | (92,376,327) | | |
TOTAL SHORT POSITIONS (Proceeds $(89,347,956)) | | | | | | | | | | | (92,376,327) | | |
Total Investments – 2.4% (Cost $(1,614,549)) | | | | | | | | | | | 2,549,194 | | |
Other assets less liabilities – 97.6% | | | | | | | | | | | 104,615,450 | | |
Net Assets – 100.0% | | | | | | | | | | | 107,164,644 | | |
|
| Aggregate gross unrealized appreciation | | | | $ | 11,865,691 | | |
| Aggregate gross unrealized depreciation | | | | | (13,819,275) | | |
| Net unrealized depreciation | | | | $ | (1,953,584) | | |
| Federal income tax cost of investments (including derivative contracts, if any) | | | | $ | 5,059,740 | | |
Schedule of Investments (continued)
| 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) | | ||||||||||||||||||
| USD12,544,367 | | | | | 10/2/2023 | | | | Morgan Stanley | | | | | 0.43% | | | | | | Monthly | | | | Dow Jones U.S. Low Beta Total Return Index(6) | | | | $ | 684,841 | | | | | $ | — | | | | | $ | 684,841 | | |
| USD(12,972,996) | | | | | 10/2/2023 | | | | Morgan Stanley | | | | | (0.32)% | | | | | | Monthly | | | | Dow Jones U.S. High Beta Total Return Index(7) | | | | | (127,879) | | | | | | 127,879(8) | | | | | | — | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 556,962 | | | | | | | | | | | $ | 684,841 | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
LONG POSITIONS – 97.8% | | ||||||||||||
COMMON STOCKS – 92.9% | | ||||||||||||
Aerospace & Defense – 1.0% | | ||||||||||||
Lockheed Martin Corp. | | | | | 102 | | | | | $ | 36,252 | | |
Banks – 2.0% | | ||||||||||||
First Horizon Corp. | | | | | 2,211 | | | | | | 36,106 | | |
Huntington Bancshares, Inc. | | | | | 2,337 | | | | | | 36,036 | | |
| | | | | | | | | | | 72,142 | | |
Beverages – 1.0% | | ||||||||||||
Coca-Cola Co. (The) | | | | | 612 | | | | | | 36,236 | | |
Biotechnology – 2.9% | | ||||||||||||
AbbVie, Inc.(a) | | | | | 267 | | | | | | 36,152 | | |
Amgen, Inc.(a) | | | | | 159 | | | | | | 35,770 | | |
Gilead Sciences, Inc.(a) | | | | | 495 | | | | | | 35,942 | | |
| | | | | | | | | | | 107,864 | | |
Capital Markets – 1.0% | | ||||||||||||
Owl Rock Capital Corp. | | | | | 2,547 | | | | | | 36,065 | | |
Chemicals – 1.9% | | ||||||||||||
Chemours Co. (The)(a) | | | | | 1,071 | | | | | | 35,943 | | |
Dow, Inc.(a) | | | | | 636 | | | | | | 36,074 | | |
| | | | | | | | | | | 72,017 | | |
Consumer Finance – 1.0% | | ||||||||||||
OneMain Holdings, Inc. | | | | | 720 | | | | | | 36,029 | | |
Containers & Packaging – 2.9% | | ||||||||||||
International Paper Co. | | | | | 768 | | | | | | 36,081 | | |
Packaging Corp. of America | | | | | 267 | | | | | | 36,352 | | |
Sonoco Products Co. | | | | | 624 | | | | | | 36,123 | | |
| | | | | | | | | | | 108,556 | | |
Diversified Telecommunication Services – 2.9% | | ||||||||||||
AT&T, Inc. | | | | | 1,464 | | | | | | 36,014 | | |
Lumen Technologies, Inc. | | | | | 2,856 | | | | | | 35,843 | | |
Verizon Communications, Inc. | | | | | 693 | | | | | | 36,008 | | |
| | | | | | | | | | | 107,865 | | |
Electric Utilities – 10.8% | | ||||||||||||
American Electric Power Co., Inc.(a) | | | | | 405 | | | | | | 36,033 | | |
Duke Energy Corp.(a) | | | | | 345 | | | | | | 36,190 | | |
Edison International(a) | | | | | 531 | | | | | | 36,241 | | |
Entergy Corp.(a) | | | | | 321 | | | | | | 36,161 | | |
Exelon Corp.(a) | | | | | 627 | | | | | | 36,215 | | |
FirstEnergy Corp.(a) | | | | | 867 | | | | | | 36,059 | | |
NRG Energy, Inc. | | | | | 840 | | | | | | 36,187 | | |
OGE Energy Corp. | | | | | 939 | | | | | | 36,039 | | |
Pinnacle West Capital Corp. | | | | | 510 | | | | | | 36,001 | | |
PPL Corp. | | | | | 1,206 | | | | | | 36,252 | | |
Southern Co. (The) | | | | | 528 | | | | | | 36,210 | | |
| | | | | | | | | | | 397,588 | | |
Energy Equipment & Services – 1.0% | | ||||||||||||
Baker Hughes Co.(a) | | | | | 1,509 | | | | | | 36,307 | | |
Equity Real Estate Investment Trusts (REITs) – 14.6% | | ||||||||||||
Agree Realty Corp.(a) | | | | | 504 | | | | | | 35,966 | | |
American Campus Communities, Inc.(a) | | | | | 627 | | | | | | 35,921 | | |
Boston Properties, Inc. | | | | | 312 | | | | | | 35,936 | | |
Investments | | | Shares | | | Value ($) | | ||||||
Healthcare Trust of America, Inc., Class A | | | | | 1,077 | | | | | $ | 35,961 | | |
Highwoods Properties, Inc. | | | | | 804 | | | | | | 35,850 | | |
Iron Mountain, Inc. | | | | | 687 | | | | | | 35,951 | | |
Medical Properties Trust, Inc. | | | | | 1,524 | | | | | | 36,012 | | |
MGM Growth Properties LLC, Class A | | | | | 882 | | | | | | 36,030 | | |
National Retail Properties, Inc. | | | | | 747 | | | | | | 35,908 | | |
Omega Healthcare Investors, Inc. | | | | | 1,209 | | | | | | 35,774 | | |
Realty Income Corp. | | | | | 504 | | | | | | 36,081 | | |
Spirit Realty Capital, Inc. | | | | | 741 | | | | | | 35,709 | | |
STORE Capital Corp. | | | | | 1,041 | | | | | | 35,811 | | |
VICI Properties, Inc. | | | | | 1,194 | | | | | | 35,951 | | |
WP Carey, Inc. | | | | | 438 | | | | | | 35,938 | | |
| | | | | | | | | | | 538,799 | | |
Food & Staples Retailing – 1.0% | | ||||||||||||
Walgreens Boots Alliance, Inc. | | | | | 690 | | | | | | 35,990 | | |
Food Products – 5.9% | | ||||||||||||
Campbell Soup Co. | | | | | 837 | | | | | | 36,376 | | |
Conagra Brands, Inc.(a) | | | | | 1,065 | | | | | | 36,370 | | |
General Mills, Inc. | | | | �� | 537 | | | | | | 36,183 | | |
J M Smucker Co. (The) | | | | | 267 | | | | | | 36,264 | | |
Kellogg Co. | | | | | 564 | | | | | | 36,333 | | |
Kraft Heinz Co. (The) | | | | | 1,011 | | | | | | 36,295 | | |
| | | | | | | | | | | 217,821 | | |
Gas Utilities – 2.0% | | ||||||||||||
National Fuel Gas Co. | | | | | 564 | | | | | | 36,062 | | |
UGI Corp. | | | | | 786 | | | | | | 36,085 | | |
| | | | | | | | | | | 72,147 | | |
Health Care Providers & Services – 1.0% | | ||||||||||||
Cardinal Health, Inc.(a) | | | | | 690 | | | | | | 35,528 | | |
Household Durables – 1.0% | | ||||||||||||
Leggett & Platt, Inc. | | | | | 876 | | | | | | 36,056 | | |
Household Products – 1.0% | | ||||||||||||
Kimberly-Clark Corp. | | | | | 252 | | | | | | 36,016 | | |
Independent Power and Renewable Electricity Producers – 2.9% | | ||||||||||||
Clearway Energy, Inc., Class C | | | | | 1,002 | | | | | | 36,102 | | |
NextEra Energy Partners LP | | | | | 429 | | | | | | 36,208 | | |
Vistra Corp. | | | | | 1,587 | | | | | | 36,136 | | |
| | | | | | | | | | | 108,446 | | |
Industrial Conglomerates – 1.0% | | ||||||||||||
3M Co. | | | | | 204 | | | | | | 36,236 | | |
Insurance – 1.9% | | ||||||||||||
Prudential Financial, Inc. | | | | | 333 | | | | | | 36,044 | | |
Unum Group | | | | | 1,464 | | | | | | 35,970 | | |
| | | | | | | | | | | 72,014 | | |
IT Services – 1.9% | | ||||||||||||
International Business Machines Corp. | | | | | 270 | | | | | | 36,088 | | |
Western Union Co. (The) | | | | | 1,995 | | | | | | 35,591 | | |
| | | | | | | | | | | 71,679 | | |
Media – 2.9% | | ||||||||||||
Interpublic Group of Cos., Inc. (The) | | | | | 960 | | | | | | 35,952 | | |
Omnicom Group, Inc. | | | | | 492 | | | | | | 36,049 | | |
Schedule of Investments (continued)
Investments | | | Shares | | | Value ($) | | ||||||
ViacomCBS, Inc. | | | | | 1,182 | | | | | $ | 35,673 | | |
| | | | | | | | | | | 107,674 | | |
Metals & Mining – 1.0% | | ||||||||||||
Newmont Corp. | | | | | 585 | | | | | | 36,282 | | |
Mortgage Real Estate Investment Trusts (REITs) – 1.9% | | ||||||||||||
Blackstone Mortgage Trust, Inc., Class A(a) | | | | | 1,176 | | | | | | 36,009 | | |
Starwood Property Trust, Inc. | | | | | 1,485 | | | | | | 36,086 | | |
| | | | | | | | | | | 72,095 | | |
Multi-Utilities – 7.8% | | ||||||||||||
CMS Energy Corp. | | | | | 555 | | | | | | 36,103 | | |
Consolidated Edison, Inc.(a) | | | | | 426 | | | | | | 36,346 | | |
DTE Energy Co.(a) | | | | | 303 | | | | | | 36,221 | | |
MDU Resources Group, Inc. | | | | | 1,173 | | | | | | 36,175 | | |
NiSource, Inc. | | | | | 1,308 | | | | | | 36,114 | | |
Public Service Enterprise Group, Inc. | | | | | 543 | | | | | | 36,234 | | |
Sempra Energy | | | | | 273 | | | | | | 36,113 | | |
WEC Energy Group, Inc. | | | | | 372 | | | | | | 36,110 | | |
| | | | | | | | | | | 289,416 | | |
Oil, Gas & Consumable Fuels – 9.8% | | ||||||||||||
Chevron Corp.(a) | | | | | 309 | | | | | | 36,261 | | |
Coterra Energy, Inc. | | | | | 1,899 | | | | | | 36,081 | | |
Exxon Mobil Corp. | | | | | 591 | | | | | | 36,163 | | |
Hess Midstream LP, Class A | | | | | 1,308 | | | | | | 36,140 | | |
Kinder Morgan, Inc. | | | | | 2,277 | | | | | | 36,113 | | |
Marathon Petroleum Corp. | | | | | 564 | | | | | | 36,090 | | |
ONEOK, Inc. | | | | | 615 | | | | | | 36,138 | | |
Phillips 66 | | | | | 498 | | | | | | 36,085 | | |
Valero Energy Corp. | | | | | 480 | | | | | | 36,053 | | |
Williams Cos., Inc. (The) | | | | | 1,389 | | | | | | 36,170 | | |
| | | | | | | | | | | 361,294 | | |
Paper & Forest Products – 0.0%(b) | | ||||||||||||
Sylvamo Corp.* | | | | | 1 | | | | | | 28 | | |
Pharmaceuticals – 1.9% | | ||||||||||||
Bristol-Myers Squibb Co.(a) | | | | | 576 | | | | | | 35,914 | | |
Merck & Co., Inc. | | | | | 468 | | | | | | 35,867 | | |
| | | | | | | | | | | 71,781 | | |
Technology Hardware, Storage & Peripherals – 1.0% | | ||||||||||||
Hewlett Packard Enterprise Co. | | | | | 2,280 | | | | | | 35,956 | | |
Textiles, Apparel & Luxury Goods – 1.0% | | ||||||||||||
Hanesbrands, Inc. | | | | | 2,151 | | | | | | 35,965 | | |
Thrifts & Mortgage Finance – 1.0% | | ||||||||||||
New York Community Bancorp, Inc. | | | | | 2,946 | | | | | | 35,971 | | |
Tobacco – 2.0% | | ||||||||||||
Altria Group, Inc. | | | | | 765 | | | | | | 36,253 | | |
Philip Morris International, Inc. | | | | | 381 | | | | | | 36,195 | | |
| | | | | | | | | | | 72,448 | | |
TOTAL COMMON STOCKS (COST $3,049,233) | | | | | | | | | | | 3,426,563 | | |
MASTER LIMITED PARTNERSHIPS – 4.9% | | ||||||||||||
Capital Markets – 0.9% | | ||||||||||||
AllianceBernstein Holding LP | | | | | 732 | | | | | | 35,751 | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Industrial Conglomerates – 1.0% | | ||||||||||||
Icahn Enterprises LP | | | | | 726 | | | | | $ | 36,002 | | |
Oil, Gas & Consumable Fuels – 3.0% | | ||||||||||||
Cheniere Energy Partners LP | | | | | 861 | | | | | | 36,369 | | |
Enterprise Products Partners LP(a) | | | | | 1,647 | | | | | | 36,168 | | |
Magellan Midstream Partners LP | | | | | 783 | | | | | | 36,362 | | |
| | | | | | | | | | | 108,899 | | |
TOTAL MASTER LIMITED PARTNERSHIPS (Cost $190,330) | | | | | | | | | | | 180,652 | | |
TOTAL LONG POSITIONS (Cost $3,239,563) | | | | | | | | | | | 3,607,215 | | |
SHORT POSITIONS – (48.9)% | | ||||||||||||
COMMON STOCKS – (47.9)% | | ||||||||||||
Aerospace & Defense – (0.5)% | | ||||||||||||
Boeing Co. (The)* | | | | | (45) | | | | | | (9,060) | | |
TransDigm Group, Inc.* | | | | | (15) | | | | | | (9,544) | | |
| | | | | | | | | | | (18,604) | | |
Automobiles – (0.3)% | | ||||||||||||
Tesla, Inc.* | | | | | (9) | | | | | | (9,511) | | |
Banks – (1.7)% | | ||||||||||||
First Citizens BancShares, Inc., Class A | | | | | (12) | | | | | | (9,958) | | |
First Republic Bank | | | | | (45) | | | | | | (9,293) | | |
Pinnacle Financial Partners, Inc. | | | | | (90) | | | | | | (8,595) | | |
Signature Bank | | | | | (27) | | | | | | (8,734) | | |
Silvergate Capital Corp., Class A* | | | | | (60) | | | | | | (8,892) | | |
SVB Financial Group* | | | | | (12) | | | | | | (8,139) | | |
Western Alliance Bancorp | | | | | (84) | | | | | | (9,042) | | |
| | | | | | | | | | | (62,653) | | |
Beverages – (1.7)% | | ||||||||||||
Boston Beer Co., Inc. (The), Class A* | | | | | (18) | | | | | | (9,092) | | |
Brown-Forman Corp., Class B | | | | | (129) | | | | | | (9,399) | | |
Celsius Holdings, Inc.* | | | | | (120) | | | | | | (8,948) | | |
Coca-Cola Consolidated, Inc. | | | | | (15) | | | | | | (9,288) | | |
Constellation Brands, Inc., Class A | | | | | (36) | | | | | | (9,035) | | |
Molson Coors Beverage Co., Class B | | | | | (195) | | | | | | (9,038) | | |
Monster Beverage Corp.* | | | | | (96) | | | | | | (9,220) | | |
| | | | | | | | | | | (64,020) | | |
Capital Markets – (4.6)% | | ||||||||||||
Affiliated Managers Group, Inc. | | | | | (54) | | | | | | (8,883) | | |
Blue Owl Capital, Inc. | | | | | (603) | | | | | | (8,991) | | |
Charles Schwab Corp. (The) | | | | | (108) | | | | | | (9,083) | | |
Coinbase Global, Inc., Class A* | | | | | (36) | | | | | | (9,085) | | |
FactSet Research Systems, Inc. | | | | | (18) | | | | | | (8,748) | | |
Focus Financial Partners, Inc., Class A* | | | | | (150) | | | | | | (8,958) | | |
Interactive Brokers Group, Inc., Class A | | | | | (114) | | | | | | (9,054) | | |
Intercontinental Exchange, Inc. | | | | | (66) | | | | | | (9,027) | | |
KKR & Co., Inc. | | | | | (120) | | | | | | (8,940) | | |
LPL Financial Holdings, Inc. | | | | | (57) | | | | | | (9,125) | | |
MarketAxess Holdings, Inc. | | | | | (21) | | | | | | (8,637) | | |
Moody’s Corp. | | | | | (24) | | | | | | (9,374) | | |
Morningstar, Inc. | | | | | (27) | | | | | | (9,234) | | |
MSCI, Inc. | | | | | (15) | | | | | | (9,190) | | |
Nasdaq, Inc. | | | | | (42) | | | | | | (8,820) | | |
Raymond James Financial, Inc. | | | | | (90) | | | | | | (9,036) | | |
Schedule of Investments (continued)
Investments | | | Shares | | | Value ($) | | ||||||
S&P Global, Inc. | | | | | (18) | | | | | $ | (8,495) | | |
Stifel Financial Corp. | | | | | (126) | | | | | | (8,873) | | |
Tradeweb Markets, Inc., Class A | | | | | (90) | | | | | | (9,013) | | |
| | | | | | | | | | | (170,566) | | |
Chemicals – (1.0)% | | ||||||||||||
Albemarle Corp. | | | | | (39) | | | | | | (9,117) | | |
Balchem Corp. | | | | | (54) | | | | | | (9,105) | | |
Livent Corp.* | | | | | (369) | | | | | | (8,996) | | |
Sherwin-Williams Co. (The) | | | | | (27) | | | | | | (9,508) | | |
| | | | | | | | | | | (36,726) | | |
Commercial Services & Supplies – (0.3)% | | ||||||||||||
Copart, Inc.* | | | | | (60) | | | | | | (9,097) | | |
Construction Materials – (0.5)% | | ||||||||||||
Eagle Materials, Inc. | | | | | (54) | | | | | | (8,989) | | |
Martin Marietta Materials, Inc. | | | | | (21) | | | | | | (9,251) | | |
| | | | | | | | | | | (18,240) | | |
Consumer Finance – (1.0)% | | ||||||||||||
Credit Acceptance Corp.* | | | | | (12) | | | | | | (8,252) | | |
SLM Corp. | | | | | (459) | | | | | | (9,029) | | |
SoFi Technologies, Inc.* | | | | | (546) | | | | | | (8,632) | | |
Upstart Holdings, Inc.* | | | | | (60) | | | | | | (9,078) | | |
| | | | | | | | | | | (34,991) | | |
Containers & Packaging – (0.3)% | | ||||||||||||
Berry Global Group, Inc.* | | | | | (123) | | | | | | (9,075) | | |
Diversified Financial Services – (0.2)% | | ||||||||||||
Berkshire Hathaway, Inc., Class B* | | | | | (30) | | | | | | (8,970) | | |
Electric Utilities – (5.9)% | | ||||||||||||
Alliant Energy Corp. | | | | | (504) | | | | | | (30,981) | | |
Evergy, Inc. | | | | | (450) | | | | | | (30,874) | | |
Eversource Energy | | | | | (339) | | | | | | (30,842) | | |
IDACORP, Inc. | | | | | (273) | | | | | | (30,934) | | |
NextEra Energy, Inc. | | | | | (330) | | | | | | (30,809) | | |
PG&E Corp.* | | | | | (2,550) | | | | | | (30,957) | | |
Xcel Energy, Inc. | | | | | (459) | | | | | | (31,074) | | |
| | | | | | | | | | | (216,471) | | |
Electrical Equipment – (0.3)% | | ||||||||||||
Generac Holdings, Inc.* | | | | | (27) | | | | | | (9,502) | | |
Energy Equipment & Services – (0.5)% | | ||||||||||||
Halliburton Co. | | | | | (396) | | | | | | (9,056) | | |
NOV, Inc. | | | | | (681) | | | | | | (9,228) | | |
| | | | | | | | | | | (18,284) | | |
Entertainment – (1.2)% | | ||||||||||||
Liberty Media Corp-Liberty Formula One, Class C* | | | | | (144) | | | | | | (9,106) | | |
Netflix, Inc.* | | | | | (15) | | | | | | (9,037) | | |
ROBLOX Corp., Class A* | | | | | (87) | | | | | | (8,975) | | |
Roku, Inc.* | | | | | (39) | | | | | | (8,900) | | |
Walt Disney Co. (The)* | | | | | (57) | | | | | | (8,829) | | |
| | | | | | | | | | | (44,847) | | |
Equity Real Estate Investment Trusts (REITs) – (0.7)% | | ||||||||||||
American Homes 4 Rent, Class A | | | | | (204) | | | | | | (8,896) | | |
Host Hotels & Resorts, Inc.* | | | | | (513) | | | | | | (8,921) | | |
Investments | | | Shares | | | Value ($) | | ||||||
SBA Communications Corp. | | | | | (24) | | | | | $ | (9,337) | | |
| | | | | | | | | | | (27,154) | | |
Food & Staples Retailing – (1.7)% | | ||||||||||||
BJ’s Wholesale Club Holdings, Inc.* | | | | | (135) | | | | | | (9,041) | | |
Casey’s General Stores, Inc. | | | | | (45) | | | | | | (8,881) | | |
Costco Wholesale Corp. | | | | | (15) | | | | | | (8,516) | | |
Kroger Co. (The) | | | | | (198) | | | | | | (8,961) | | |
Performance Food Group Co.* | | | | | (195) | | | | | | (8,949) | | |
US Foods Holding Corp.* | | | | | (258) | | | | | | (8,986) | | |
Walmart, Inc. | | | | | (63) | | | | | | (9,115) | | |
| | | | | | | | | | | (62,449) | | |
Food Products – (1.2)% | | ||||||||||||
Darling Ingredients, Inc.* | | | | | (129) | | | | | | (8,938) | | |
Hershey Co. (The) | | | | | (48) | | | | | | (9,287) | | |
Lamb Weston Holdings, Inc. | | | | | (138) | | | | | | (8,746) | | |
McCormick & Co., Inc. (Non-Voting) | | | | | (93) | | | | | | (8,985) | | |
Post Holdings, Inc.* | | | | | (81) | | | | | | (9,131) | | |
| | | | | | | | | | | (45,087) | | |
Gas Utilities – (0.8)% | | ||||||||||||
Atmos Energy Corp. | | | | | (297) | | | | | | (31,117) | | |
Health Care Equipment & Supplies – (1.5)% | | ||||||||||||
Align Technology, Inc.* | | | | | (15) | | | | | | (9,858) | | |
Boston Scientific Corp.* | | | | | (207) | | | | | | (8,793) | | |
DexCom, Inc.* | | | | | (18) | | | | | | (9,665) | | |
Edwards Lifesciences Corp.* | | | | | (69) | | | | | | (8,939) | | |
IDEXX Laboratories, Inc.* | | | | | (15) | | | | | | (9,877) | | |
Intuitive Surgical, Inc.* | | | | | (24) | | | | | | (8,623) | | |
| | | | | | | | | | | (55,755) | | |
Health Care Providers & Services – (0.5)% | | ||||||||||||
Centene Corp.* | | | | | (108) | | | | | | (8,899) | | |
Laboratory Corp. of America Holdings* | | | | | (27) | | | | | | (8,484) | | |
| | | | | | | | | | | (17,383) | | |
Health Care Technology – (0.3)% | | ||||||||||||
Veeva Systems, Inc., Class A* | | | | | (36) | | | | | | (9,197) | | |
Hotels, Restaurants & Leisure – (0.4)% | | ||||||||||||
Airbnb, Inc., Class A* | | | | | (54) | | | | | | (8,990) | | |
Booking Holdings, Inc.* | | | | | (3) | | | | | | (7,198) | | |
| | | | | | | | | | | (16,188) | | |
Household Products – (0.2)% | | ||||||||||||
Church & Dwight Co., Inc. | | | | | (87) | | | | | | (8,918) | | |
Independent Power and Renewable Electricity Producers – (0.8)% | | ||||||||||||
AES Corp. (The) | | | | | (1,272) | | | | | | (30,910) | | |
Insurance – (2.1)% | | ||||||||||||
Alleghany Corp.* | | | | | (12) | | | | | | (8,011) | | |
Brown & Brown, Inc. | | | | | (129) | | | | | | (9,066) | | |
Globe Life, Inc. | | | | | (96) | | | | | | (8,997) | | |
Goosehead Insurance, Inc., Class A | | | | | (69) | | | | | | (8,976) | | |
Loews Corp. | | | | | (159) | | | | | | (9,184) | | |
Markel Corp.* | | | | | (6) | | | | | | (7,404) | | |
RLI Corp. | | | | | (84) | | | | | | (9,416) | | |
Trupanion, Inc.* | | | | | (69) | | | | | | (9,110) | | |
Schedule of Investments (continued)
Investments | | | Shares | | | Value ($) | | ||||||
W R Berkley Corp. | | | | | (108) | | | | | $ | (8,898) | | |
| | | | | | | | | | | (79,062) | | |
Interactive Media & Services – (1.2)% | | ||||||||||||
Alphabet, Inc., Class A* | | | | | (3) | | | | | | (8,691) | | |
Match Group, Inc.* | | | | | (66) | | | | | | (8,728) | | |
Meta Platforms, Inc., Class A* | | | | | (27) | | | | | | (9,081) | | |
Snap, Inc., Class A* | | | | | (189) | | | | | | (8,889) | | |
Twitter, Inc.* | | | | | (207) | | | | | | (8,947) | | |
| | | | | | | | | | | (44,336) | | |
Internet & Direct Marketing Retail – (0.3)% | | ||||||||||||
Amazon.com, Inc.* | | | | | (3) | | | | | | (10,003) | | |
IT Services – (0.2)% | | ||||||||||||
PayPal Holdings, Inc.* | | | | | (48) | | | | | | (9,052) | | |
Life Sciences Tools & Services – (0.8)% | | ||||||||||||
Illumina, Inc.* | | | | | (24) | | | | | | (9,131) | | |
IQVIA Holdings, Inc.* | | | | | (33) | | | | | | (9,311) | | |
Mettler-Toledo International, Inc.* | | | | | (6) | | | | | | (10,183) | | |
| | | | | | | | | | | (28,625) | | |
Media – (0.3)% | | ||||||||||||
Charter Communications, Inc., Class A* | | | | | (15) | | | | | | (9,780) | | |
Metals & Mining – (1.2)% | | ||||||||||||
Alcoa Corp. | | | | | (150) | | | | | | (8,937) | | |
Cleveland-Cliffs, Inc.* | | | | | (414) | | | | | | (9,013) | | |
Freeport-McMoRan, Inc. | | | | | (216) | | | | | | (9,014) | | |
MP Materials Corp.* | | | | | (198) | | | | | | (8,993) | | |
United States Steel Corp. | | | | | (390) | | | | | | (9,286) | | |
| | | | | | | | | | | (45,243) | | |
Multi-Utilities – (2.5)% | | ||||||||||||
Ameren Corp. | | | | | (348) | | | | | | (30,975) | | |
CenterPoint Energy, Inc. | | | | | (1,110) | | | | | | (30,980) | | |
Dominion Energy, Inc. | | | | | (396) | | | | | | (31,110) | | |
| | | | | | | | | | | (93,065) | | |
Oil, Gas & Consumable Fuels – (5.4)% | | ||||||||||||
Antero Midstream Corp. | | | | | (930) | | | | | | (9,002) | | |
Antero Resources Corp.* | | | | | (516) | | | | | | (9,030) | | |
APA Corp. | | | | | (336) | | | | | | (9,035) | | |
Cheniere Energy, Inc. | | | | | (90) | | | | | | (9,128) | | |
Chesapeake Energy Corp. | | | | | (138) | | | | | | (8,904) | | |
ConocoPhillips | | | | | (126) | | | | | | (9,095) | | |
Coterra Energy, Inc. | | | | | —(c) | | | | | | (9) | | |
Devon Energy Corp. | | | | | (204) | | | | | | (8,986) | | |
Diamondback Energy, Inc. | | | | | (84) | | | | | | (9,059) | | |
EOG Resources, Inc. | | | | | (102) | | | | | | (9,061) | | |
EQT Corp.* | | | | | (414) | | | | | | (9,029) | | |
Hess Corp. | | | | | (123) | | | | | | (9,106) | | |
HollyFrontier Corp. | | | | | (276) | | | | | | (9,047) | | |
Marathon Oil Corp. | | | | | (552) | | | | | | (9,064) | | |
Occidental Petroleum Corp. | | | | | (312) | | | | | | (9,045) | | |
Ovintiv, Inc. | | | | | (273) | | | | | | (9,200) | | |
PDC Energy, Inc. | | | | | (186) | | | | | | (9,073) | | |
Pioneer Natural Resources Co. | | | | | (51) | | | | | | (9,276) | | |
Plains GP Holdings LP, Class A* | | | | | (891) | | | | | | (9,035) | | |
Range Resources Corp.* | | | | | (510) | | | | | | (9,093) | | |
Southwestern Energy Co.* | | | | | (1,956) | | | | | | (9,115) | | |
Targa Resources Corp. | | | | | (174) | | | | | | (9,090) | | |
Investments | | | Shares | | | Value ($) | | ||||||
Texas Pacific Land Corp. | | | | | (6) | | | | | $ | (7,493) | | |
| | | | | | | | | | | (197,975) | | |
Personal Products – (0.5)% | | ||||||||||||
Coty, Inc., Class A* | | | | | (858) | | | | | | (9,009) | | |
Estee Lauder Cos., Inc. (The), Class A | | | | | (24) | | | | | | (8,885) | | |
| | | | | | | | | | | (17,894) | | |
Pharmaceuticals – 0.0%(b) | | ||||||||||||
AstraZeneca plc, ADR | | | | | (1) | | | | | | (56) | | |
Professional Services – (0.2)% | | ||||||||||||
CoStar Group, Inc.* | | | | | (114) | | | | | | (9,009) | | |
Real Estate Management & Development – (1.5)% | | ||||||||||||
CBRE Group, Inc., Class A* | | | | | (87) | | | | | | (9,440) | | |
eXp World Holdings, Inc. | | | | | (264) | | | | | | (8,894) | | |
Howard Hughes Corp. (The)* | | | | | (87) | | | | | | (8,855) | | |
Jones Lang LaSalle, Inc.* | | | | | (33) | | | | | | (8,888) | | |
Opendoor Technologies, Inc.* | | | | | (618) | | | | | | (9,029) | | |
Zillow Group, Inc., Class C* | | | | | (141) | | | | | | (9,003) | | |
| | | | | | | | | | | (54,109) | | |
Road & Rail – (0.2)% | | ||||||||||||
Uber Technologies, Inc.* | | | | | (213) | | | | | | (8,931) | | |
Semiconductors & Semiconductor Equipment – (0.3)% | | ||||||||||||
Advanced Micro Devices, Inc.* | | | | | (63) | | | | | | (9,066) | | |
Software – (1.0)% | | ||||||||||||
Adobe, Inc.* | | | | | (15) | | | | | | (8,506) | | |
salesforce.com, Inc.* | | | | | (36) | | | | | | (9,149) | | |
ServiceNow, Inc.* | | | | | (15) | | | | | | (9,737) | | |
VMware, Inc., Class A | | | | | (78) | | | | | | (9,038) | | |
| | | | | | | | | | | (36,430) | | |
Thrifts & Mortgage Finance – (0.2)% | | ||||||||||||
Rocket Cos., Inc., Class A | | | | | (636) | | | | | | (8,904) | | |
Water Utilities – (1.7)% | | ||||||||||||
American Water Works Co., Inc. | | | | | (165) | | | | | | (31,162) | | |
Essential Utilities, Inc. | | | | | (576) | | | | | | (30,925) | | |
| | | | | | | | | | | (62,087) | | |
Wireless Telecommunication Services – (0.2)% | | ||||||||||||
T-Mobile US, Inc.* | | | | | (78) | | | | | | (9,046) | | |
TOTAL COMMON STOCKS (Proceeds $(1,528,469)) | | | | | | | | | | | (1,768,388) | | |
MASTER LIMITED PARTNERSHIPS – (1.0)% | | ||||||||||||
Oil, Gas & Consumable Fuels – (1.0)% | | ||||||||||||
DCP Midstream LP | | | | | (333) | | | | | | (9,151) | | |
Energy Transfer LP | | | | | (1,104) | | | | | | (9,086) | | |
Plains All American Pipeline LP | | | | | (969) | | | | | | (9,050) | | |
Western Midstream Partners LP | | | | | (426) | | | | | | (9,487) | | |
TOTAL MASTER LIMITED PARTNERSHIPS (Proceeds $(41,205)) | | | | | | | | | | | (36,774) | | |
TOTAL SHORT POSITIONS (Proceeds $(1,569,674)) | | | | | | | | | | | (1,805,162) | | |
Total Investments – 48.9% (Cost $1,669,889) | | | | | | | | | | | 1,802,053 | | |
Other assets less liabilities – 51.1% | | | | | | | | | | | 1,885,013 | | |
Net Assets – 100.0% | | | | | | | | | | | 3,687,066 | | |
|
Schedule of Investments (continued)
| Aggregate gross unrealized appreciation | | | | $ | 439,171 | | |
| Aggregate gross unrealized depreciation | | | | | (360,951) | | |
| Net unrealized appreciation | | | | $ | 78,220 | | |
| Federal income tax cost of investments (including derivative contracts, if any) | | | | $ | 1,723,833 | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
COMMON STOCKS – 98.1% | | ||||||||||||
Commercial Services & Supplies – 0.3% | | ||||||||||||
China Everbright Environment Group Ltd. | | | | | 23,668 | | | | | $ | 19,001 | | |
Construction & Engineering – 3.8% | | ||||||||||||
Vinci SA | | | | | 2,020 | | | | | | 213,672 | | |
Diversified Telecommunication Services – 2.5% | | ||||||||||||
Cellnex Telecom SA | | | | | 1,360 | | | | | | 79,245 | | |
China Tower Corp. Ltd., Class H | | | | | 179,792 | | | | | | 19,829 | | |
Lumen Technologies, Inc. | | | | | 3,200 | | | | | | 40,160 | | |
| | | | | | | | | | | 139,234 | | |
Electric Utilities – 11.8% | | ||||||||||||
Chubu Electric Power Co., Inc. | | | | | 3,992 | | | | | | 42,061 | | |
Cia Energetica de Minas Gerais (Preference) | | | | | 10,940 | | | | | | 25,749 | | |
Duke Energy Corp. | | | | | 456 | | | | | | 47,834 | | |
Edison International | | | | | 388 | | | | | | 26,481 | | |
Eversource Energy | | | | | 864 | | | | | | 78,607 | | |
Fortis, Inc. | | | | | 380 | | | | | | 18,334 | | |
Fortum OYJ | | | | | 1,804 | | | | | | 55,433 | | |
Iberdrola SA | | | | | 1,589 | | | | | | 18,832 | | |
Mercury NZ Ltd. | | | | | 3,148 | | | | | | 13,195 | | |
NextEra Energy, Inc. | | | | | 756 | | | | | | 70,580 | | |
OGE Energy Corp. | | | | | 1,060 | | | | | | 40,683 | | |
PG&E Corp.* | | | | | 1,468 | | | | | | 17,822 | | |
PPL Corp. | | | | | 1,936 | | | | | | 58,196 | | |
Southern Co. (The) | | | | | 848 | | | | | | 58,156 | | |
SSE plc | | | | | 2,608 | | | | | | 58,211 | | |
Verbund AG | | | | | 304 | | | | | | 34,230 | | |
| | | | | | | | | | | 664,404 | | |
Equity Real Estate Investment Trusts (REITs) – 16.9% | | ||||||||||||
American Tower Corp. | | | | | 1,664 | | | | | | 486,720 | | |
Crown Castle International Corp. | | | | | 1,576 | | | | | | 328,974 | | |
Iron Mountain, Inc. | | | | | 816 | | | | | | 42,701 | | |
SBA Communications Corp. | | | | | 240 | | | | | | 93,365 | | |
| | | | | | | | | | | 951,760 | | |
Gas Utilities – 4.9% | | ||||||||||||
Enagas SA | | | | | 1,176 | | | | | | 27,313 | | |
ENN Energy Holdings Ltd. | | | | | 2,635 | | | | | | 49,608 | | |
Hong Kong & China Gas Co. Ltd. | | | | | 19,873 | | | | | | 30,940 | | |
Italgas SpA | | | | | 6,448 | | | | | | 44,428 | | |
Kunlun Energy Co. Ltd. | | | | | 34,000 | | | | | | 31,874 | | |
Naturgy Energy Group SA | | | | | 992 | | | | | | 32,335 | | |
Snam SpA | | | | | 9,956 | | | | | | 60,075 | | |
| | | | | | | | | | | 276,573 | | |
Independent Power and Renewable Electricity Producers – 3.3% | | ||||||||||||
Capital Power Corp. | | | | | 756 | | | | | | 23,583 | | |
China Longyuan Power Group Corp. Ltd., Class H | | | | | 13,332 | | | | | | 31,118 | | |
China Power International Development Ltd. | | | | | 28,907 | | | | | | 19,463 | | |
Clearway Energy, Inc. | | | | | 1,168 | | | | | | 42,083 | | |
Northland Power, Inc. | | | | | 1,916 | | | | | | 57,482 | | |
TransAlta Renewables, Inc. | | | | | 916 | | | | | | 13,578 | | |
| | | | | | | | | | | 187,307 | | |
Investments | | | Shares | | | Value ($) | | ||||||
Interactive Media & Services – 1.0% | | ||||||||||||
Alphabet, Inc., Class C* | | | | | 20 | | | | | $ | 57,872 | | |
Internet & Direct Marketing Retail – 0.9% | | ||||||||||||
Amazon.com, Inc.* | | | | | 16 | | | | | | 53,349 | | |
IT Services – 0.5% | | ||||||||||||
GDS Holdings Ltd., Class A* | | | | | 4,900 | | | | | | 28,467 | | |
Machinery – 0.9% | | ||||||||||||
Cargotec OYJ, Class B | | | | | 524 | | | | | | 26,154 | | |
Xylem, Inc. | | | | | 224 | | | | | | 26,862 | | |
| | | | | | | | | | | 53,016 | | |
Media – 0.6% | | ||||||||||||
SES SA, FDR | | | | | 4,396 | | | | | | 34,894 | | |
Multi-Utilities – 12.6% | | ||||||||||||
A2A SpA | | | | | 12,208 | | | | | | 23,906 | | |
Algonquin Power & Utilities Corp. | | | | | 3,092 | | | | | | 44,658 | | |
Canadian Utilities Ltd., Class A | | | | | 1,900 | | | | | | 55,110 | | |
Consolidated Edison, Inc. | | | | | 556 | | | | | | 47,438 | | |
DTE Energy Co. | | | | | 328 | | | | | | 39,209 | | |
E.ON SE | | | | | 2,048 | | | | | | 28,427 | | |
National Grid plc | | | | | 13,512 | | | | | | 193,829 | | |
REN – Redes Energeticas Nacionais SGPS SA | | | | | 7,300 | | | | | | 21,152 | | |
RWE AG | | | | | 1,248 | | | | | | 50,753 | | |
Sempra Energy | | | | | 904 | | | | | | 119,581 | | |
Suez SA | | | | | 2,412 | | | | | | 54,399 | | |
WEC Energy Group, Inc. | | | | | 360 | | | | | | 34,945 | | |
| | | | | | | | | | | 713,407 | | |
Oil, Gas & Consumable Fuels – 21.5% | | ||||||||||||
Cheniere Energy, Inc. | | | | | 504 | | | | | | 51,116 | | |
Enbridge, Inc. | | | | | 11,036 | | | | | | 431,075 | | |
Kinder Morgan, Inc. | | | | | 13,280 | | | | | | 210,621 | | |
Neste OYJ | | | | | 541 | | | | | | 26,707 | | |
ONEOK, Inc. | | | | | 2,260 | | | | | | 132,798 | | |
Pembina Pipeline Corp. | | | | | 1,792 | | | | | | 54,357 | | |
Targa Resources Corp. | | | | | 1,392 | | | | | | 72,718 | | |
TC Energy Corp. | | | | | 2,684 | | | | | | 124,827 | | |
Williams Cos., Inc. (The) | | | | | 4,064 | | | | | | 105,826 | | |
| | | | | | | | | | | 1,210,045 | | |
Road & Rail – 3.8% | | ||||||||||||
Aurizon Holdings Ltd. | | | | | 19,628 | | | | | | 49,838 | | |
Canadian Pacific Railway Ltd. | | | | | 724 | | | | | | 52,073 | | |
CSX Corp. | | | | | 1,016 | | | | | | 38,202 | | |
Union Pacific Corp. | | | | | 288 | | | | | | 72,556 | | |
| | | | | | | | | | | 212,669 | | |
Software – 1.0% | | ||||||||||||
Microsoft Corp. | | | | | 168 | | | | | | 56,502 | | |
Transportation Infrastructure – 6.9% | | ||||||||||||
Aeroports de Paris* | | | | | 349 | | | | | | 45,018 | | |
Atlantia SpA* | | | | | 1,248 | | | | | | 24,801 | | |
Beijing Capital International Airport Co. Ltd., Class H* | | | | | 18,065 | | | | | | 11,051 | | |
China Merchants Port Holdings Co. Ltd. | | | | | 29,760 | | | | | | 54,195 | | |
Schedule of Investments (continued)
Investments | | | Shares | | | Value ($) | | ||||||
COSCO SHIPPING Ports Ltd. | | | | | 51,120 | | | | | $ | 44,384 | | |
Flughafen Zurich AG (Registered)* | | | | | 164 | | | | | | 29,535 | | |
Hutchison Port Holdings Trust | | | | | 119,456 | | | | | | 26,878 | | |
Kamigumi Co. Ltd. | | | | | 1,956 | | | | | | 37,035 | | |
Sydney Airport* | | | | | 2,168 | | | | | | 13,691 | | |
Transurban Group | | | | | 8,084 | | | | | | 81,283 | | |
Westshore Terminals Investment Corp. | | | | | 936 | | | | | | 19,845 | | |
| | | | | | | | | | | 387,716 | | |
Water Utilities – 4.9% | | ||||||||||||
American Water Works Co., Inc. | | | | | 948 | | | | | | 179,039 | | |
China Water Affairs Group Ltd. | | | | | 16,000 | | | | | | 22,941 | | |
Severn Trent plc | | | | | 431 | | | | | | 17,192 | | |
United Utilities Group plc | | | | | 3,752 | | | | | | 55,305 | | |
| | | | | | | | | | | 274,477 | | |
TOTAL COMMON STOCKS (COST $4,948,740) | | | | | | | | | | | 5,534,365 | | |
MASTER LIMITED PARTNERSHIPS – 0.4% | | ||||||||||||
Oil, Gas & Consumable Fuels – 0.4% | | ||||||||||||
Energy Transfer LP (Cost $26,296) | | | | | 2,685 | | | | | | 22,097 | | |
EXCHANGE TRADED FUNDS – 0.2% | | ||||||||||||
SPDR S&P Global Infrastructure ETF (Cost $10,056) | | | | | 207 | | | | | | 11,230 | | |
Total Investments – 98.7% (Cost $4,985,092) | | | | | | | | | | | 5,567,692 | | |
Other assets less liabilities – 1.3% | | | | | | | | | | | 73,848 | | |
Net Assets – 100.0% | | | | | | | | | | | 5,641,540 | | |
|
Abbreviations | | | ||
ETF | | | Exchange Traded Fund | |
FDR | | | Fiduciary Depositary Receipt | |
OYJ | | | Public Limited Company | |
Preference | | | A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference. | |
SPDR | | | Standard & Poor’s Depositary Receipt | |
| Aggregate gross unrealized appreciation | | | | $ | 667,563 | | |
| Aggregate gross unrealized depreciation | | | | | (87,058) | | |
| Net unrealized appreciation | | | | $ | 580,505 | | |
| Federal income tax cost of investments (including derivative contracts, if any) | | | | $ | 4,987,187 | | |
| Australia | | | | | 2.6% | | |
| Austria | | | | | 0.6% | | |
| Brazil | | | | | 0.5% | | |
| Canada | | | | | 15.9% | | |
| China | | | | | 5.9% | | |
| Finland | | | | | 1.9% | | |
| France | | | | | 5.5% | | |
| Germany | | | | | 1.4% | | |
| Hong Kong | | | | | 1.0% | | |
| Italy | | | | | 2.7% | | |
| Japan | | | | | 1.4% | | |
| Luxembourg | | | | | 0.6% | | |
| New Zealand | | | | | 0.2% | | |
| Portugal | | | | | 0.4% | | |
| Spain | | | | | 2.8% | | |
| Switzerland | | | | | 0.5% | | |
| United Kingdom | | | | | 5.8% | | |
| United States | | | | | 49.0% | | |
| Other(1) | | | | | 1.3% | | |
| | | | | | 100.0% | | |
| | | AGFiQ U.S. Market Neutral Anti-Beta Fund | | | AGFiQ Hedged Dividend Income Fund | | | AGFiQ Global Infrastructure ETF | | |||||||||
ASSETS | | | | | | | | | | | | | | | | | | | |
Investments in securities, at value(1) | | | | $ | 94,925,521 | | | | | $ | 3,607,215 | | | | | $ | 5,567,692 | | |
Cash | | | | | 2,824,862 | | | | | | 101,625 | | | | | | 137,808 | | |
Segregated cash balance with custodian for swap agreements (Note 2) | | | | | 3,094,237 | | | | | | — | | | | | | — | | |
Segregated cash balance with broker for securities sold short (Note 2) | | | | | 98,197,862 | | | | | | 1,756,247 | | | | | | — | | |
Unrealized appreciation on swap agreements | | | | | 684,841 | | | | | | — | | | | | | — | | |
Receivables: | | | | | — | | | | | | — | | | | | | — | | |
Securities sold | | | | | — | | | | | | 1,051,752 | | | | | | — | | |
Dividends and interest | | | | | 110,829 | | | | | | 11,116 | | | | | | 14,338 | | |
Due from Authorized Participant | | | | | — | | | | | | — | | | | | | 12,029 | | |
Investment adviser (Note 4) | | | | | — | | | | | | 10,446 | | | | | | 11,529 | | |
Foreign tax reclaims | | | | | — | | | | | | — | | | | | | 1,367 | | |
Prepaid expenses | | | | | 447 | | | | | | 447 | | | | | | 398 | | |
Total Assets | | | | | 199,838,599 | | | | | | 6,538,848 | | | | | | 5,745,161 | | |
LIABILITIES | | | | | | | | | | | | | | | | | | | |
Securities sold short, at value(2) | | | | $ | 92,376,327 | | | | | $ | 1,805,162 | | | | | $ | — | | |
Foreign Cash Overdraft(3) | | | | | — | | | | | | — | | | | | | 3 | | |
Unrealized depreciation on swap agreements | | | | | 127,879 | | | | | | — | | | | | | — | | |
Payables: | | | | | | | | | | | | | | | | | | | |
Securities purchased | | | | | — | | | | | | 980,529 | | | | | | — | | |
Income distributions | | | | | — | | | | | | 15,000 | | | | | | 53,714 | | |
Investment management fees | | | | | 3,857 | | | | | | — | | | | | | — | | |
Trustees fees | | | | | 21,432 | | | | | | 760 | | | | | | 1,171 | | |
Dividends on securities sold short | | | | | 62,453 | | | | | | 1,184 | | | | | | — | | |
Accrued expenses and other liabilities | | | | | 82,007 | | | | | | 49,147 | | | | | | 48,733 | | |
Total Liabilities | | | | | 92,673,955 | | | | | | 2,851,782 | | | | | | 103,621 | | |
Net Assets | | | | $ | 107,164,644 | | | | | $ | 3,687,066 | | | | | $ | 5,641,540 | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | | | | |
Paid-in capital | | | | | 192,679,713 | | | | | | 4,493,407 | | | | | | 5,134,135 | | |
Distributable earnings (loss) | | | | | (85,515,069) | | | | | | (806,341) | | | | | | 507,405 | | |
Net Assets | | | | $ | 107,164,644 | | | | | $ | 3,687,066 | | | | | $ | 5,641,540 | | |
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 | | | | | 6,050,000 | | | | | | 150,000 | | | | | | 200,001 | | |
Net Asset Value | | | | $ | 17.71 | | | | | $ | 24.58 | | | | | $ | 28.21 | | |
(1) Investments in securities, at cost | | | | $ | 87,733,407 | | | | | $ | 3,239,563 | | | | | $ | 4,985,092 | | |
(2) Securities sold short, proceeds | | | | $ | 89,347,956 | | | | | $ | 1,569,674 | | | | | $ | — | | |
(3) Cost of foreign cash | | | | $ | — | | | | | $ | — | | | | | $ | (3) | | |
For the Period Ended December 31, 2021 (Unaudited)
| | | AGFiQ U.S. Market Neutral Anti-Beta Fund | | | AGFiQ Hedged Dividend Income Fund | | | AGFiQ Global Infrastructure ETF | | |||||||||
INVESTMENT INCOME | | | | | | | | | | | | | | | | | | | |
Dividend income | | | | $ | 794,830 | | | | | $ | 78,600 | | | | | $ | 76,920 | | |
Foreign withholding tax on dividends | | | | | (102) | | | | | | — | | | | | | (4,433) | | |
Total Investment Income | | | | | 794,728 | | | | | | 78,600 | | | | | | 72,487 | | |
EXPENSES | | | | | | | | | | | | | | | | | | | |
Dividends on securities sold short | | | | | 609,728 | | | | | | 11,974 | | | | | | — | | |
Stock loan fees on securities sold short | | | | | 128,116 | | | | | | 2,936 | | | | | | — | | |
Investment management fees (Note 4) | | | | | 229,012 | | | | | | 8,169 | | | | | | 10,964 | | |
Professional fees | | | | | 140,837 | | | | | | 39,440 | | | | | | 42,501 | | |
Custody fees | | | | | 7,081 | | | | | | 1,398 | | | | | | 3,220 | | |
Index fees | | | | | 6,172 | | | | | | 7,432 | | | | | | 2,392 | | |
Chief Compliance Officer fees | | | | | 31,195 | | | | | | 3,042 | | | | | | 3,398 | | |
Treasurer fees | | | | | 14,690 | | | | | | 2,453 | | | | | | 2,607 | | |
Listing fees | | | | | 3,592 | | | | | | 3,592 | | | | | | 4,789 | | |
Accounting fees | | | | | 15,000 | | | | | | 15,000 | | | | | | 15,000 | | |
Trustees fees | | | | | 43,192 | | | | | | 1,558 | | | | | | 2,003 | | |
Administration fees (Note 5) | | | | | 38,200 | | | | | | 38,200 | | | | | | 38,200 | | |
Other fees | | | | | 17,853 | | | | | | 4,600 | | | | | | 4,240 | | |
Total Expenses before Adjustments | | | | | 1,284,668 | | | | | | 139,794 | | | | | | 129,314 | | |
Less: waivers and/or reimbursements by Adviser (Note 4) | | | | | (317,813) | | | | | | (116,716) | | | | | | (118,347) | | |
Total Expenses after Adjustments | | | | | 966,855 | | | | | | 23,078 | | | | | | 10,967 | | |
Net Investment Income (Loss) | | | | | (172,127) | | | | | | 55,522 | | | | | | 61,520 | | |
NET REALIZED GAIN (LOSS) FROM: | | | | | | | | | | | | | | | | | | | |
Transactions in Investment securities | | | | | 4,344,089 | | | | | | 149,860 | | | | | | 37,717 | | |
Foreign currency transactions | | | | | — | | | | | | — | | | | | | (2,327) | | |
In-kind redemptions of investments | | | | | 779,534 | | | | | | — | | | | | | — | | |
Securities sold short | | | | | (5,528,985) | | | | | | (61,078) | | | | | | — | | |
Expiration or closing of swap agreements | | | | | 1,627,679 | | | | | | — | | | | | | — | | |
Net Realized Gain (Loss) | | | | | 1,222,317 | | | | | | 88,782 | | | | | | 35,390 | | |
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM: | | | | | | | | | | | | | | | | | | | |
Investments in securities | | | | | (368,864) | | | | | | (14,014) | | | | | | 255,304 | | |
Securities sold short | | | | | 4,970,929 | | | | | | (10,140) | | | | | | — | | |
Swap agreements | | | | | (1,077,088) | | | | | | — | | | | | | — | | |
Translation of assets and liabilities denominated in foreign currencies | | | | | — | | | | | | — | | | | | | 21 | | |
Net Change in Unrealized Appreciation (Depreciation) | | | | | 3,524,977 | | | | | | (24,154) | | | | | | 255,325 | | |
Net Realized and Unrealized Gain (Loss) | | | | | 4,747,294 | | | | | | 64,628 | | | | | | 290,715 | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | $ | 4,575,167 | | | | | $ | 120,150 | | | | | $ | 352,235 | | |
| | | AGFiQ U.S. Market Neutral Anti-Beta Fund | | | AGFiQ Hedged Dividend Income Fund | | ||||||||||||||||||
| | | Six Months Ended December 31, 2021 (Unaudited) | | | Year Ended June 30, 2021 | | | Six Months Ended December 31, 2021 (Unaudited) | | | Year Ended June 30, 2021 | | ||||||||||||
OPERATIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | (172,127) | | | | | $ | (1,694,284) | | | | | $ | 55,522 | | | | | $ | 88,338 | | |
Net realized gain (loss) | | | | | 1,222,317 | | | | | | (49,688,938) | | | | | | 88,782 | | | | | | 267,364 | | |
Net change in unrealized appreciation (depreciation) | | | | | 3,524,977 | | | | | | (11,390,190) | | | | | | (24,154) | | | | | | 201,749 | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | | 4,575,167 | | | | | | (62,773,412) | | | | | | 120,150 | | | | | | 557,451 | | |
DISTRIBUTIONS (Note 2) | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributable earnings | | | | | — | | | | | | — | | | | | | (43,024) | | | | | | (27,365) | | |
Total Distributions | | | | | — | | | | | | — | | | | | | (43,024) | | | | | | (27,365) | | |
CAPITAL TRANSACTIONS(1) | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | | | | 19,007,046 | | | | | | 112,000,987 | | | | | | — | | | | | | — | | |
Cost of shares redeemed | | | | | (15,238,687) | | | | | | (143,161,140) | | | | | | — | | | | | | — | | |
Net Increase (Decrease) from Capital Transactions | | | | | 3,768,359 | | | | | | (31,160,153) | | | | | | — | | | | | | — | | |
Total Increase (Decrease) in Net Assets | | | | | 8,343,526 | | | | | | (93,933,565) | | | | | | 77,126 | | | | | | 530,086 | | |
NET ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | $ | 98,821,118 | | | | | $ | 192,754,683 | | | | | $ | 3,609,940 | | | | | $ | 3,079,854 | | |
End of Period | | | | $ | 107,164,644 | | | | | $ | 98,821,118 | | | | | $ | 3,687,066 | | | | | $ | 3,609,940 | | |
SHARE TRANSACTIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | | 5,850,000 | | | | | | 7,950,000 | | | | | | 150,000 | | | | | | 150,000 | | |
Shares issued | | | | | 150,000 | | | | | | 100,000 | | | | | | — | | | | | | — | | |
Shares issued in-kind | | | | | 950,000 | | | | | | 5,100,000 | | | | | | — | | | | | | — | | |
Shares redeemed | | | | | (500,000) | | | | | | (150,000) | | | | | | — | | | | | | — | | |
Shares redeemed in-kind | | | | | (400,000) | | | | | | (7,150,000) | | | | | | — | | | | | | — | | |
Shares Outstanding, End of Period | | | | | 6,050,000 | | | | | | 5,850,000 | | | | | | 150,000 | | | | | | 150,000 | | |
| | | AGFiQ Global Infrastructure ETF | | |||||||||
| | | Six Months Ended December 31, 2021 (Unaudited) | | | Year Ended June 30, 2021 | | ||||||
OPERATIONS | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 61,520 | | | | | $ | 102,390 | | |
Net realized gain (loss) | | | | | 35,390 | | | | | | (89,477) | | |
Net change in unrealized appreciation (depreciation) | | | | | 255,325 | | | | | | 482,648 | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | | 352,235 | | | | | | 495,561 | | |
DISTRIBUTIONS (Note 2) | | | | | | | | | | | | | |
Distributable earnings | | | | | (89,803) | | | | | | (72,810) | | |
Total Distributions | | | | | (89,803) | | | | | | (72,810) | | |
CAPITAL TRANSACTIONS(1) | | | | | | | | | | | | | |
Proceeds from shares issued | | | | | 1,350,959 | | | | | | 1,283,158 | | |
Cost of shares redeemed | | | | | — | | | | | | — | | |
Net Increase (Decrease) from Capital Transactions | | | | | 1,350,959 | | | | | | 1,283,158 | | |
Total Increase (Decrease) in Net Assets | | | | | 1,613,391 | | | | | | 1,705,909 | | |
NET ASSETS | | | | | | | | | | | | | |
Beginning of period | | | | $ | 4,028,149 | | | | | $ | 2,322,240 | | |
End of Period | | | | $ | 5,641,540 | | | | | $ | 4,028,149 | | |
SHARE TRANSACTIONS | | | | | | | | | | | | | |
Beginning of period | | | | | 150,001 | | | | | | 100,001 | | |
Shares issued in-kind | | | | | 50,000 | | | | | | 50,000 | | |
Shares redeemed in-kind | | | | | — | | | | | | — | | |
Shares Outstanding, End of Period | | | | | 200,001 | | | | | | 150,001 | | |
| | | PER SHARE OPERATING PERFORMANCE | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
| | | Investment Operations | | | Distributions | | | | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||||||||
| | | Net asset value, beginning of period | | | Net investment income (loss)(1) | | | Net realized and unrealized gain (loss) | | | Total investment operations | | | Net investment income | | | Net realized gains | | | Tax return of capital | | | Total distributions | | | Transaction fees(10) | | | Net asset value, end of period | | ||||||||||||||||||||||||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the six months ended 12/31/21 (unaudited) | | | | $ | 16.89 | | | | | $ | (0.03) | | | | | $ | 0.85 | | | | | $ | 0.82 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | —(9) | | | | | $ | 17.71 | | |
Year ended June 30, 2021 | | | | | 24.25 | | | | | | (0.22) | | | | | | (7.16) | | | | | | (7.38) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 0.02 | | | | | | 16.89 | | |
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(14) | | | | | | (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)(14) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 0.02 | | | | | | 20.00 | | |
AGFiQ Hedged Dividend Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the six months ended 12/31/21 (unaudited) | | | | | 24.07 | | | | | | 0.37 | | | | | | 0.43 | | | | | | 0.80 | | | | | | (0.29) | | | | | | — | | | | | | — | | | | | | (0.29) | | | | | | — | | | | | | 24.58 | | |
Year ended June 30, 2021 | | | | | 20.53 | | | | | | 0.59 | | | | | | 3.13 | | | | | | 3.72 | | | | | | (0.18) | | | | | | — | | | | | | — | | | | | | (0.18) | | | | | | — | | | | | | 24.07 | | |
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(14) | | | | | | (0.91) | | | | | | (0.60) | | | | | | — | | | | | | (1.51) | | | | | | 0.01 | | | | | | 25.41 | | |
AGFiQ Global Infrastructure ETF | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the six months ended 12/31/21 (unaudited) | | | | | 26.85 | | | | | | 0.35 | | | | | | 1.52 | | | | | | 1.87 | | | | | | (0.51) | | | | | | — | | | | | | — | | | | | | (0.51) | | | | | | — | | | | | | 28.21 | | |
Year ended June 30, 2021 | | | | | 23.22 | | | | | | 0.93 | | | | | | 3.34 | | | | | | 4.27 | | | | | | (0.64) | | | | | | — | | | | | | — | | | | | | (0.64) | | | | | | — | | | | | | 26.85 | | |
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 | | |
| 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% | | | | | | 1.90% | | | | | | 2.52% | | | | | | (0.34)% | | | | | | (0.96)% | | | | | | (0.34)% | | | | | $ | (0.03) | | | | | | 4.85% | | | | | | 5.27% | | | | | | 52% | | | | | | 129% | | | | | $ | 107,165 | | |
| | | 0.45 | | | | | | 2.53 | | | | | | 3.01 | | | | | | (1.09) | | | | | | (1.57) | | | | | | (1.09) | | | | | | (0.22) | | | | | | (30.35) | | | | | | (30.45) | | | | | | 35 | | | | | | 225 | | | | | | 98,821 | | |
| | | 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 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 0.45 | | | | | | 1.27 | | | | | | 7.70 | | | | | | 3.06 | | | | | | (3.37) | | | | | | 3.06 | | | | | $ | 0.37 | | | | | | 3.39 | | | | | | 3.30 | | | | | | 32 | | | | | | 52 | | | | | | 3,687 | | |
| | | 0.45 | | | | | | 1.21 | | | | | | 8.36 | | | | | | 2.64 | | | | | | (4.51) | | | | | | 2.64 | | | | | | 0.59 | | | | | | 18.18 | | | | | | 18.16 | | | | | | 115 | | | | | | 180 | | | | | | 3,610 | | |
| | | 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 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 0.45(13) | | | | | | 0.45(13) | | | | | | 5.31(13) | | | | | | 2.52 | | | | | | (2.33) | | | | | | 2.52 | | | | | $ | 0.35 | | | | | | 7.01 | | | | | | 6.90 | | | | | | 26 | | | | | | 26 | | | | | | 5,642 | | |
| | | 0.45(13) | | | | | | 0.45(13) | | | | | | 9.01(13) | | | | | | 3.73 | | | | | | (4.83) | | | | | | 3.73 | | | | | | 0.93 | | | | | | 18.72 | | | | | | 18.10 | | | | | | 44 | | | | | | 44 | | | | | | 4,028 | | |
| | | 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 | | |
December 31, 2021 (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* | | | | $ | 94,925,521 | | | | | $ | — | | | | | $ | — | | | | | $ | 94,925,521 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | (92,376,327) | | | | | $ | — | | | | | $ | — | | | | | $ | (92,376,327) | | |
Total Investments | | | | $ | 2,549,194 | | | | | $ | — | | | | | $ | — | | | | | $ | 2,549,194 | | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap Agreements** | | | | $ | — | | | | | $ | 684,841 | | | | | $ | — | | | | | $ | 684,841 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap Agreements** | | | | $ | — | | | | | $ | (127,879) | | | | | $ | — | | | | | $ | (127,879) | | |
Total Other Financial Instruments | | | | $ | — | | | | | $ | 556,962 | | | | | $ | — | | | | | $ | 556,962 | | |
AGFiQ Hedged Dividend Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | 3,426,563 | | | | | $ | — | | | | | $ | — | | | | | $ | 3,426,563 | | |
Master Limited Partnerships | | | | $ | 180,652 | | | | | $ | — | | | | | $ | — | | | | | $ | 180,652 | | |
| | | Level 1 – Quoted Prices | | | Level 2 – Other Significant Observable Inputs | | | Level 3 – Significant Unobservable Inputs | | | Total | | ||||||||||||
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | (1,768,388) | | | | | $ | — | | | | | $ | — | | | | | $ | (1,768,388) | | |
Master Limited Partnerships | | | | | (36,774) | | | | | | — | | | | | | — | | | | | | (36,774) | | |
Total Investments | | | | $ | 1,802,053 | | | | | $ | — | | | | | $ | — | | | | | $ | 1,802,053 | | |
AGFiQ Global Infrastructure ETF | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | 5,534,365 | | | | | $ | — | | | | | $ | — | | | | | $ | 5,534,365 | | |
Exchange Traded Funds | | | | | 11,230 | | | | | | — | | | | | | — | | | | | | 11,230 | | |
Master Limited Partnerships | | | | | 22,097 | | | | | | — | | | | | | — | | | | | | 22,097 | | |
Total Investments | | | | $ | 5,567,692 | | | | | $ | — | | | | | $ | — | | | | | $ | 5,567,692 | | |
The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to a Fund’s NAV than the uncertainties surrounding inputs for a non-derivative security with the same market value.
Fund | | | Average Contract Long | | | Average Contract Short | | ||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 12,345,561 | | | | | $ | (12,452,604) | | |
Fair Value of Derivative Instruments as of December 31, 2021 | | ||||||||||||||||||
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 Anti-Beta Fund | | | | | | | | | | $ | 684,841 | | | | | $ | 127,879 | | |
The Effect of Derivative Instruments on the Statements of Operations as of December 31, 2021 | | |||||||||||||||
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 Anti-Beta Fund | | | | | | | $ | 1,627,679 | | | | | $ | (1,077,088) | | |
Fund | | | Management Fees Waived | | | Expense Reimbursements | | ||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 229,012 | | | | | $ | 88,801 | | |
AGFiQ Hedged Dividend Income Fund | | | | | 8,169 | | | | | | 108,547 | | |
AGFiQ Global Infrastructure ETF | | | | | 10,964 | | | | | | 107,383 | | |
| | | Expires June 30, | | | Total Eligible for Recoupment | | ||||||||||||||||||||||||
Fund | | | 2022 | | | 2023 | | | 2024 | | | 2025 | | ||||||||||||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 135,255 | | | | | $ | 484,176 | | | | | $ | 750,711 | | | | | $ | 317,813 | | | | | $ | 1,687,955 | | |
AGFiQ Hedged Dividend Income Fund | | | | | 133,117 | | | | | | 215,032 | | | | | | 239,131 | | | | | | 116,716 | | | | | | 703,996 | | |
AGFiQ Global Infrastructure ETF | | | | | 44,646 | | | | | | 159,123 | | | | | | 234,788 | | | | | | 118,347 | | | | | | 556,904 | | |
Fund | | | Six Months Ended December 31, 2021 | | |||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 14,976 | | |
| | | Purchases | | | Sales | | ||||||||||||||||||
Fund | | | Long | | | Short Covers | | | Long | | | Short | | ||||||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 45,020,996 | | | | | $ | 67,335,540 | | | | | $ | 49,101,603 | | | | | $ | 74,778,005 | | |
AGFiQ Hedged Dividend Income Fund | | | | | 1,129,336 | | | | | | 702,235 | | | | | | 1,196,196 | | | | | | 665,828 | | |
AGFiQ Global Infrastructure ETF | | | | | 1,274,186 | | | | | | — | | | | | | 1,258,193 | | | | | | — | | |
Fund | | | Value | | | Realized Gain | | ||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 5,982,538 | | | | | $ | 779,534 | | |
Fund | | | Value | | |||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 140,655,548 | | |
AGFiQ Global Infrastructure ETF | | | | | 1,241,282 | | |
December 31, 2021 (Unaudited)
| | | Beginning Account Value 07/01/21 | | | Ending Account Value 12/31/21 | | | Expenses Paid During the Period* | | | Annualized Expense Ratio During Period | | ||||||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | ||||||||||||||||||||||||
Actual | | | | $ | 1,000.00 | | | | | $ | 1,048.50 | | | | | $ | 9.81 | | | | | | 1.90% | | |
Hypothetical | | | | $ | 1,000.00 | | | | | $ | 1,015.63 | | | | | $ | 9.65 | | | | | | 1.90% | | |
AGFiQ Hedged Dividend Income Fund | | ||||||||||||||||||||||||
Actual | | | | $ | 1,000.00 | | | | | $ | 1,033.90 | | | | | $ | 6.51 | | | | | | 1.27% | | |
Hypothetical | | | | $ | 1,000.00 | | | | | $ | 1,018.80 | | | | | $ | 6.46 | | | | | | 1.27% | | |
AGFiQ Global Infrastructure ETF(a) | | ||||||||||||||||||||||||
Actual | | | | $ | 1,000.00 | | | | | $ | 1,070.10 | | | | | $ | 2.35 | | | | | | 0.45% | | |
Hypothetical | | | | $ | 1,000.00 | | | | | $ | 1,022.94 | | | | | $ | 2.29 | | | | | | 0.45% | | |
December 31, 2021 (Unaudited)
Boston, MA 02109
www.AGFiQ.com
Foreside Fund Services, LLC
(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. |
(b) | Not Applicable. |
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)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not applicable. |
(a)(4) | A change in the registrant’s independent public accountant – Not applicable |
(b) | Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
AGF Investments Trust
By: | /s/ William H. DeRoche | |
William H. DeRoche | ||
President and Principal Executive Officer | ||
March 4, 2022 |
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 4, 2022 |
By: | /s/ Joshua Hunter | |
Joshua Hunter | ||
Principal Financial Officer and Treasurer | ||
March 4, 2022 |