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: June 30, 2022
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).
| AGFiQ U.S. Market Neutral Anti-Beta Fund (“BTAL”) | | | | | 28.66% | | |
| AGFiQ Global Infrastructure ETF (“GLIF”) | | | | | 1.35% | | |
| | | Fund Sector Weights (Based on Net Assets) | | |||||||||
As of 06/30/2022 | | | % Long Weight | | | % Short Weight | | ||||||
Communication Services | | | | | 3.45% | | | | | | -3.30% | | |
Consumer Discretionary | | | | | 10.62% | | | | | | -9.36% | | |
Consumer Staples | | | | | 4.13% | | | | | | -3.70% | | |
Energy | | | | | 2.34% | | | | | | -2.27% | | |
Financials | | | | | 12.75% | | | | | | -11.07% | | |
Health Care | | | | | 11.21% | | | | | | -11.33% | | |
Industrials | | | | | 13.01% | | | | | | -11.84% | | |
Information Technology | | | | | 14.18% | | | | | | -14.04% | | |
Materials | | | | | 4.48% | | | | | | -3.77% | | |
Real Estate | | | | | 6.44% | | | | | | -5.70% | | |
Utilities | | | | | 4.34% | | | | | | -4.07% | | |
Characteristics (as of 6/30/2022) | | | Long Index | | | Short Index | | ||||||
Number of Companies | | | | | 199 | | | | | | 199 | | |
Book Yield (B/P) | | | | | 39.61% | | | | | | 39.10% | | |
Earnings Yield (E/P) | | | | | 6.04% | | | | | | 2.90% | | |
Beta | | | | | 0.768 | | | | | | 1.302 | | |
Average Market Cap (millions) | | | | $ | 38,616 | | | | | $ | 26,179 | | |
Median Market Cap (millions) | | | | $ | 11,960 | | | | | $ | 8,736 | | |
S&P Dow Jones U.S. Thematic Market Neutral Low Beta Index
Russell 1000 — Russell 1000 Index4
| | | 1 Year | | | 5 Year | | | 10 Year | | |||||||||
BTAL NAV Return | | | | | 28.66% | | | | | | 1.93% | | | | | | -0.77% | | |
BTAL Market Price Return | | | | | 28.93% | | | | | | 1.99% | | | | | | -0.75% | | |
DJUS Anti-Beta Index | | | | | 29.55% | | | | | | 2.30% | | | | | | 0.54% | | |
Russell 1000 Index | | | | | -13.04% | | | | | | 11.00% | | | | | | 12.82% | | |
Fund Sector Weights (Based on Net Assets) | | ||||||
As of 06/30/2022 | | | Percentage % | | |||
Utilities | | | | | 38.75% | | |
Real Estate | | | | | 18.34% | | |
Energy | | | | | 22.22% | | |
Industrials | | | | | 12.02% | | |
Communication Services | | | | | 5.69% | | |
Information Technology | | | | | 1.21% | | |
Consumer Discretionary | | | | | 0.64% | | |
Materials | | | | | 0.21% | | |
Exchange Traded Funds | | | | | 0.21% | | |
Top 10 Country Allocations (Based on Net Assets) | | ||||||
As of 06/30/2022 | | | Percentage % | | |||
United States | | | | | 52.28% | | |
Canada | | | | | 17.83% | | |
China | | | | | 6.29% | | |
Australia | | | | | 4.54% | | |
United Kingdom | | | | | 3.95% | | |
France | | | | | 3.68% | | |
Italy | | | | | 3.18% | | |
Spain | | | | | 3.06% | | |
Germany | | | | | 1.44% | | |
Luxembourg | | | | | 0.73% | | |
Characteristics (as of 6/30/2022) | | | Index | | | Fund (Based on Net Assets) | | ||||||
Number of Companies | | | | | 102 | | | | | | 86 | | |
Book Yield (B/P) | | | | | 41.94% | | | | | | 45.78% | | |
Earnings Yield (E/P) | | | | | 4.04% | | | | | | 5.14% | | |
Beta | | | | | 0.790 | | | | | | 0.807 | | |
Average Market Cap (millions) | | | | $ | 41,279 | | | | | $ | 92,406 | | |
Median Market Cap (millions) | | | | $ | 6,557 | | | | | $ | 11,599 | | |
Dow Jones Brookfield Global Infrastructure TR Index5
| | | 1 Year | | | 3 Year | | | Since Inception | | |||||||||
GLIF NAV Return | | | | | 1.35% | | | | | | 3.70% | | | | | | 4.56% | | |
GLIF Market Price Return | | | | | 1.31% | | | | | | 3.71% | | | | | | 4.57% | | |
Dow Jones Brookfield Global Infrastructure TR Index | | | | | 2.07% | | | | | | 4.45% | | | | | | 5.38% | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
LONG POSITIONS – 77.6% | | | | | | | | | | | | | |
COMMON STOCKS – 77.6% | | | | | | | | | | | | | |
Aerospace & Defense – 2.9% | | ||||||||||||
BWX Technologies, Inc.(a) | | | | | 14,529 | | | | | $ | 800,403 | | |
General Dynamics Corp. | | | | | 3,340 | | | | | | 738,975 | | |
Huntington Ingalls Industries, Inc. | | | | | 3,507 | | | | | | 763,895 | | |
L3Harris Technologies, Inc. | | | | | 3,173 | | | | | | 766,914 | | |
Lockheed Martin Corp. | | | | | 1,670 | | | | | | 718,033 | | |
Mercury Systems, Inc.* | | | | | 12,859 | | | | | | 827,219 | | |
Northrop Grumman Corp. | | | | | 1,503 | | | | | | 719,291 | | |
| | | | | | | | | | | 5,334,730 | | |
Air Freight & Logistics – 0.4% | | ||||||||||||
CH Robinson Worldwide, Inc.(a) | | | | | 6,847 | | | | | | 694,080 | | |
Airlines – 0.3% | | ||||||||||||
Southwest Airlines Co.* | | | | | 17,368 | | | | | | 627,332 | | |
Automobiles – 0.4% | | ||||||||||||
Thor Industries, Inc. | | | | | 9,853 | | | | | | 736,315 | | |
Banks – 3.1% | | ||||||||||||
First Horizon Corp. | | | | | 31,897 | | | | | | 697,268 | | |
Glacier Bancorp, Inc. | | | | | 15,698 | | | | | | 744,399 | | |
Home BancShares, Inc. | | | | | 33,734 | | | | | | 700,655 | | |
Prosperity Bancshares, Inc. | | | | | 10,354 | | | | | | 706,868 | | |
Umpqua Holdings Corp. | | | | | 43,253 | | | | | | 725,353 | | |
United Bankshares, Inc. | | | | | 20,040 | | | | | | 702,803 | | |
Valley National Bancorp | | | | | 60,120 | | | | | | 625,849 | | |
Wintrust Financial Corp. | | | | | 8,684 | | | | | | 696,023 | | |
| | | | | | | | | | | 5,599,218 | | |
Biotechnology – 3.8% | | ||||||||||||
Alkermes plc*(a) | | | | | 25,384 | | | | | | 756,189 | | |
Amgen, Inc.(a) | | | | | 2,839 | | | | | | 690,729 | | |
Biohaven Pharmaceutical Holding Co. Ltd.*(a) | | | | | 5,177 | | | | | | 754,341 | | |
Exelixis, Inc.* | | | | | 41,249 | | | | | | 858,804 | | |
Gilead Sciences, Inc. | | | | | 11,356 | | | | | | 701,914 | | |
Incyte Corp.* | | | | | 9,519 | | | | | | 723,159 | | |
Neurocrine Biosciences, Inc.* | | | | | 8,350 | | | | | | 813,958 | | |
Vertex Pharmaceuticals, Inc.* | | | | | 2,672 | | | | | | 752,943 | | |
Vir Biotechnology, Inc.* | | | | | 31,062 | | | | | | 791,149 | | |
| | | | | | | | | | | 6,843,186 | | |
Building Products – 0.4% | | ||||||||||||
Masco Corp. | | | | | 13,193 | | | | | | 667,566 | | |
Capital Markets – 1.2% | | ||||||||||||
Cboe Global Markets, Inc.(a) | | | | | 6,847 | | | | | | 775,012 | | |
FactSet Research Systems, Inc. | | | | | 2,004 | | | | | | 770,678 | | |
Virtu Financial, Inc., Class A | | | | | 28,390 | | | | | | 664,610 | | |
| | | | | | | | | | | 2,210,300 | | |
Chemicals – 1.0% | | ||||||||||||
Huntsman Corp. | | | | | 20,708 | | | | | | 587,072 | | |
LyondellBasell Industries NV, Class A | | | | | 6,680 | | | | | | 584,233 | | |
NewMarket Corp. | | | | | 2,171 | | | | | | 653,384 | | |
| | | | | | | | | | | 1,824,689 | | |
Investments | | | Shares | | | Value ($) | | ||||||
Commercial Services & Supplies – 2.0% | | ||||||||||||
Clean Harbors, Inc.*(a) | | | | | 8,350 | | | | | $ | 732,045 | | |
Republic Services, Inc. | | | | | 5,511 | | | | | | 721,225 | | |
Rollins, Inc. | | | | | 20,708 | | | | | | 723,123 | | |
Stericycle, Inc.* | | | | | 15,197 | | | | | | 666,388 | | |
Waste Management, Inc. | | | | | 4,676 | | | | | | 715,334 | | |
| | | | | | | | | | | 3,558,115 | | |
Communications Equipment – 0.4% | | ||||||||||||
Cisco Systems, Inc. | | | | | 16,700 | | | | | | 712,088 | | |
Construction & Engineering – 0.4% | | ||||||||||||
MDU Resources Group, Inc. | | | | | 27,221 | | | | | | 734,695 | | |
Consumer Finance – 0.4% | | ||||||||||||
FirstCash Holdings, Inc. | | | | | 10,354 | | | | | | 719,706 | | |
Containers & Packaging – 2.3% | | ||||||||||||
Amcor plc(a) | | | | | 56,613 | | | | | | 703,700 | | |
Crown Holdings, Inc.(a) | | | | | 7,181 | | | | | | 661,873 | | |
International Paper Co. | | | | | 15,364 | | | | | | 642,676 | | |
Packaging Corp. of America | | | | | 4,843 | | | | | | 665,913 | | |
Silgan Holdings, Inc. | | | | | 17,201 | | | | | | 711,261 | | |
Sonoco Products Co. | | | | | 12,859 | | | | | | 733,477 | | |
| | | | | | | | | | | 4,118,900 | | |
Diversified Consumer Services – 2.0% | | ||||||||||||
Bright Horizons Family Solutions, Inc.*(a) | | | | | 8,517 | | | | | | 719,857 | | |
Chegg, Inc.*(a) | | | | | 40,414 | | | | | | 758,975 | | |
Grand Canyon Education, Inc.* | | | | | 8,183 | | | | | | 770,757 | | |
H&R Block, Inc. | | | | | 21,376 | | | | | | 755,000 | | |
Terminix Global Holdings, Inc.* | | | | | 17,368 | | | | | | 706,009 | | |
| | | | | | | | | | | 3,710,598 | | |
Diversified Financial Services – 0.3% | | ||||||||||||
Apollo Global Management, Inc. | | | | | —(b) | | | | | | 17 | | |
Berkshire Hathaway, Inc., Class B*(a) | | | | | 2,338 | | | | | | 638,321 | | |
| | | | | | | | | | | 638,338 | | |
Diversified Telecommunication Services – 0.8% | | ||||||||||||
AT&T, Inc. | | | | | 34,402 | | | | | | 721,066 | | |
Verizon Communications, Inc. | | | | | 14,362 | | | | | | 728,871 | | |
| | | | | | | | | | | 1,449,937 | | |
Electric Utilities – 1.9% | | ||||||||||||
American Electric Power Co., Inc.(a) | | | | | 7,181 | | | | | | 688,945 | | |
Constellation Energy Corp. | | | | | 1 | | | | | | 38 | | |
Duke Energy Corp. | | | | | 6,513 | | | | | | 698,259 | | |
Exelon Corp. | | | | | 15,030 | | | | | | 681,160 | | |
PNM Resources, Inc. | | | | | 15,531 | | | | | | 742,071 | | |
Xcel Energy, Inc. | | | | | 9,686 | | | | | | 685,381 | | |
| | | | | | | | | | | 3,495,854 | | |
Electronic Equipment, Instruments & Components – 0.8% | | ||||||||||||
Avnet, Inc.(a) | | | | | 15,865 | | | | | | 680,291 | | |
Coherent, Inc.* | | | | | 2,839 | | | | | | 755,799 | | |
| | | | | | | | | | | 1,436,090 | | |
Energy Equipment & Services – 0.7% | | ||||||||||||
Baker Hughes Co.(a) | | | | | 20,541 | | | | | | 593,019 | | |
NOV, Inc. | | | | | 38,243 | | | | | | 646,689 | | |
| | | | | | | | | | | 1,239,708 | | |
|
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Entertainment – 1.2% | | ||||||||||||
Activision Blizzard, Inc.(a) | | | | | 9,519 | | | | | $ | 741,149 | | |
Electronic Arts, Inc. | | | | | 5,344 | | | | | | 650,098 | | |
Take-Two Interactive Software, Inc.* | | | | | 6,013 | | | | | | 736,747 | | |
| | | | | | | | | | | 2,127,994 | | |
Equity Real Estate Investment Trusts (REITs) – 5.7% | | ||||||||||||
American Campus Communities, Inc.(a) | | | | | 11,356 | | | | | | 732,121 | | |
Corporate Office Properties Trust | | | | | 26,887 | | | | | | 704,171 | | |
Crown Castle International Corp.(a) | | | | | 3,841 | | | | | | 646,748 | | |
Digital Realty Trust, Inc. | | | | | 5,344 | | | | | | 693,811 | | |
Equity Commonwealth* | | | | | 26,887 | | | | | | 740,199 | | |
Healthcare Trust of America, Inc., Class A | | | | | 24,716 | | | | | | 689,824 | | |
Healthpeak Properties, Inc. | | | | | 24,883 | | | | | | 644,719 | | |
Omega Healthcare Investors, Inc. | | | | | 24,716 | | | | | | 696,744 | | |
Physicians Realty Trust | | | | | 39,412 | | | | | | 687,739 | | |
PS Business Parks, Inc. | | | | | 3,841 | | | | | | 718,843 | | |
Public Storage | | | | | 2,338 | | | | | | 731,022 | | |
Rayonier, Inc. | | | | | 18,203 | | | | | | 680,428 | | |
SL Green Realty Corp. | | | | | —(b) | | | | | | 12 | | |
Ventas, Inc. | | | | | 12,692 | | | | | | 652,750 | | |
Welltower, Inc. | | | | | 8,183 | | | | | | 673,870 | | |
WP Carey, Inc. | | | | | 8,851 | | | | | | 733,394 | | |
| | | | | | | | | | | 10,426,395 | | |
Food Products – 2.9% | | ||||||||||||
Campbell Soup Co. | | | | | 15,364 | | | | | | 738,240 | | |
Conagra Brands, Inc.(a) | | | | | 22,378 | | | | | | 766,223 | | |
General Mills, Inc. | | | | | 10,521 | | | | | | 793,809 | | |
Hormel Foods Corp. | | | | | 15,030 | | | | | | 711,821 | | |
J M Smucker Co. (The) | | | | | 5,845 | | | | | | 748,219 | | |
Kellogg Co. | | | | | 10,521 | | | | | | 750,568 | | |
Kraft Heinz Co. (The) | | | | | 18,370 | | | | | | 700,632 | | |
| | | | | | | | | | | 5,209,512 | | |
Gas Utilities – 0.4% | | ||||||||||||
Spire, Inc. | | | | | 9,352 | | | | | | 695,508 | | |
Health Care Equipment & Supplies – 1.1% | | ||||||||||||
Baxter International, Inc.(a) | | | | | 9,686 | | | | | | 622,132 | | |
Becton Dickinson and Co.(a) | | | | | 2,839 | | | | | | 699,899 | | |
QuidelOrtho Corp.* | | | | | 7,348 | | | | | | 714,078 | | |
| | | | | | | | | | | 2,036,109 | | |
Health Care Providers & Services – 1.6% | | ||||||||||||
HealthEquity, Inc.* | | | | | 12,191 | | | | | | 748,406 | | |
Laboratory Corp. of America Holdings | | | | | 3,006 | | | | | | 704,486 | | |
Premier, Inc., Class A | | | | | 19,372 | | | | | | 691,193 | | |
Quest Diagnostics, Inc. | | | | | 5,177 | | | | | | 688,437 | | |
| | | | | | | | | | | 2,832,522 | | |
Hotels, Restaurants & Leisure – 1.4% | | ||||||||||||
Hilton Worldwide Holdings, Inc. | | | | | 5,511 | | | | | | 614,146 | | |
Marriott International, Inc., Class A | | | | | 4,676 | | | | | | 635,983 | | |
McDonald’s Corp. | | | | | 3,006 | | | | | | 742,121 | | |
Wyndham Hotels & Resorts, Inc. | | | | | 9,686 | | | | | | 636,564 | | |
| | | | | | | | | | | 2,628,814 | | |
Household Durables – 1.1% | | ||||||||||||
Helen of Troy Ltd.* | | | | | 4,175 | | | | | | 678,062 | | |
Leggett & Platt, Inc. | | | | | 19,539 | | | | | | 675,658 | | |
Investments | | | Shares | | | Value ($) | | ||||||
Newell Brands, Inc. | | | | | 36,072 | | | | | $ | 686,811 | | |
| | | | | | | | | | | 2,040,531 | | |
Household Products – 0.8% | | ||||||||||||
Clorox Co. (The) | | | | | 5,177 | | | | | | 729,853 | | |
Kimberly-Clark Corp. | | | | | 5,511 | | | | | | 744,812 | | |
| | | | | | | | | | | 1,474,665 | | |
Insurance – 4.4% | | ||||||||||||
Allstate Corp. (The)(a) | | | | | 5,678 | | | | | | 719,573 | | |
Axis Capital Holdings Ltd.(a) | | | | | 12,859 | | | | | | 734,120 | | |
Everest Re Group Ltd. | | | | | 2,672 | | | | | | 748,908 | | |
Hanover Insurance Group, Inc. (The) | | | | | 5,010 | | | | | | 732,713 | | |
Hartford Financial Services Group, Inc. (The) | | | | | 10,521 | | | | | | 688,389 | | |
Mercury General Corp. | | | | | 15,030 | | | | | | 665,829 | | |
Progressive Corp. (The) | | | | | 6,346 | | | | | | 737,849 | | |
RenaissanceRe Holdings Ltd. | | | | | 4,843 | | | | | | 757,300 | | |
Travelers Cos., Inc. (The) | | | | | 4,175 | | | | | | 706,118 | | |
W R Berkley Corp. | | | | | 10,688 | | | | | | 729,563 | | |
White Mountains Insurance Group Ltd. | | | | | 668 | | | | | | 832,415 | | |
| | | | | | | | | | | 8,052,777 | | |
IT Services – 6.2% | | ||||||||||||
Akamai Technologies, Inc.*(a) | | | | | 7,348 | | | | | | 671,093 | | |
Amdocs Ltd. | | | | | 8,517 | | | | | | 709,551 | | |
Automatic Data Processing, Inc.(a) | | | | | 3,507 | | | | | | 736,610 | | |
Broadridge Financial Solutions, Inc.(a) | | | | | 5,177 | | | | | | 737,981 | | |
Cognizant Technology Solutions Corp., Class A | | | | | 10,187 | | | | | | 687,521 | | |
Concentrix Corp. | | | | | 5,010 | | | | | | 679,556 | | |
Fidelity National Information Services, Inc. | | | | | 7,181 | | | | | | 658,282 | | |
Fiserv, Inc.* | | | | | 7,515 | | | | | | 668,610 | | |
FleetCor Technologies, Inc.* | | | | | 3,173 | | | | | | 666,679 | | |
Global Payments, Inc. | | | | | 5,845 | | | | | | 646,691 | | |
International Business Machines Corp. | | | | | 5,511 | | | | | | 778,098 | | |
Jack Henry & Associates, Inc. | | | | | 4,008 | | | | | | 721,520 | | |
Mastercard, Inc., Class A | | | | | 2,171 | | | | | | 684,907 | | |
Maximus, Inc. | | | | | 11,523 | | | | | | 720,303 | | |
Western Union Co. (The) | | | | | 41,917 | | | | | | 690,373 | | |
WEX, Inc.* | | | | | 4,676 | | | | | | 727,399 | | |
| | | | | | | | | | | 11,185,174 | | |
Leisure Products – 0.8% | | ||||||||||||
Hasbro, Inc. | | | | | 8,851 | | | | | | 724,720 | | |
Mattel, Inc.* | | | | | 32,398 | | | | | | 723,447 | | |
| | | | | | | | | | | 1,448,167 | | |
Machinery – 1.9% | | ||||||||||||
Allison Transmission Holdings, Inc.(a) | | | | | 19,038 | | | | | | 732,011 | | |
Caterpillar, Inc.(a) | | | | | 3,507 | | | | | | 626,911 | | |
Chart Industries, Inc.* | | | | | 4,175 | | | | | | 698,812 | | |
Cummins, Inc. | | | | | 3,674 | | | | | | 711,029 | | |
Flowserve Corp. | | | | | 24,215 | | | | | | 693,276 | | |
| | | | | | | | | | | 3,462,039 | | |
Media – 1.1% | | ||||||||||||
Comcast Corp., Class A | | | | | 16,867 | | | | | | 661,861 | | |
Omnicom Group, Inc. | | | | | 10,187 | | | | | | 647,995 | | |
TEGNA, Inc. | | | | | 34,068 | | | | | | 714,406 | | |
| | | | | | | | | | | 2,024,262 | | |
|
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Metals & Mining – 0.7% | | ||||||||||||
Newmont Corp. | | | | | 10,521 | | | | | $ | 627,788 | | |
Royal Gold, Inc. | | | | | 6,346 | | | | | | 677,626 | | |
| | | | | | | | | | | 1,305,414 | | |
Mortgage Real Estate Investment Trusts (REITs) – 1.1% | | ||||||||||||
AGNC Investment Corp.(a) | | | | | 61,790 | | | | | | 684,015 | | |
Annaly Capital Management, Inc. | | | | | 115,063 | | | | | | 680,023 | | |
Blackstone Mortgage Trust, Inc., Class A(a) | | | | | 24,048 | | | | | | 665,408 | | |
| | | | | | | | | | | 2,029,446 | | |
Multiline Retail – 1.4% | | ||||||||||||
Dollar General Corp. | | | | | 3,841 | | | | | | 942,735 | | |
Dollar Tree, Inc.* | | | | | 5,511 | | | | | | 858,889 | | |
Target Corp. | | | | | 4,676 | | | | | | 660,392 | | |
| | | | | | | | | | | 2,462,016 | | |
Multi-Utilities – 1.6% | | ||||||||||||
Avista Corp.(a) | | | | | 16,700 | | | | | | 726,617 | | |
DTE Energy Co. | | | | | 5,511 | | | | | | 698,519 | | |
NorthWestern Corp. | | | | | 11,857 | | | | | | 698,733 | | |
WEC Energy Group, Inc. | | | | | 7,014 | | | | | | 705,889 | | |
| | | | | | | | | | | 2,829,758 | | |
Oil, Gas & Consumable Fuels – 1.4% | | ||||||||||||
Chevron Corp. | | | | | 4,175 | | | | | | 604,457 | | |
Exxon Mobil Corp. | | | | | 7,682 | | | | | | 657,886 | | |
HF Sinclair Corp. | | | | | 14,863 | | | | | | 671,213 | | |
Williams Cos., Inc. (The) | | | | | 20,040 | | | | | | 625,448 | | |
| | | | | | | | | | | 2,559,004 | | |
Pharmaceuticals – 3.5% | | ||||||||||||
Bristol-Myers Squibb Co.(a) | | | | | 9,519 | | | | | | 732,963 | | |
Elanco Animal Health, Inc.* | | | | | 31,396 | | | | | | 616,304 | | |
Jazz Pharmaceuticals plc* | | | | | 5,010 | | | | | | 781,610 | | |
Johnson & Johnson | | | | | 4,008 | | | | | | 711,460 | | |
Merck & Co., Inc. | | | | | 7,849 | | | | | | 715,593 | | |
Organon & Co. | | | | | 19,205 | | | | | | 648,169 | | |
Perrigo Co. plc | | | | | 18,704 | | | | | | 758,821 | | |
Pfizer, Inc. | | | | | 13,694 | | | | | | 717,977 | | |
Royalty Pharma plc, Class A | | | | | 18,203 | | | | | | 765,254 | | |
| | | | | | | | | | | 6,448,151 | | |
Professional Services – 2.5% | | ||||||||||||
Booz Allen Hamilton Holding Corp.(a) | | | | | 8,684 | | | | | | 784,686 | | |
CACI International, Inc., Class A*(a) | | | | | 2,672 | | | | | | 752,916 | | |
Dun & Bradstreet Holdings, Inc.* | | | | | 43,921 | | | | | | 660,133 | | |
FTI Consulting, Inc.* | | | | | 4,509 | | | | | | 815,453 | | |
Leidos Holdings, Inc. | | | | | 7,181 | | | | | | 723,199 | | |
Science Applications International Corp. | | | | | 8,684 | | | | | | 808,480 | | |
| | | | | | | | | | | 4,544,867 | | |
Road & Rail – 0.8% | | ||||||||||||
Canadian Pacific Railway Ltd. | | | | | —(b) | | | | | | 4 | | |
Norfolk Southern Corp. | | | | | 3,173 | | | | | | 721,191 | | |
Union Pacific Corp. | | | | | 3,340 | | | | | | 712,355 | | |
| | | | | | | | | | | 1,433,550 | | |
Semiconductors & Semiconductor Equipment – 0.4% | | ||||||||||||
Intel Corp. | | | | | 17,368 | | | | | | 649,737 | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Software – 3.8% | | ||||||||||||
Black Knight, Inc.*(a) | | | | | 10,521 | | | | | $ | 687,968 | | |
CDK Global, Inc.(a) | | | | | 13,527 | | | | | | 740,874 | | |
Citrix Systems, Inc. | | | | | 7,348 | | | | | | 714,005 | | |
Dolby Laboratories, Inc., Class A | | | | | 9,686 | | | | | | 693,130 | | |
Fair Isaac Corp.* | | | | | 1,837 | | | | | | 736,453 | | |
Mandiant Corp.* | | | | | 33,400 | | | | | | 728,788 | | |
NortonLifeLock, Inc. | | | | | 29,893 | | | | | | 656,450 | | |
Verint Systems, Inc.* | | | | | 14,696 | | | | | | 622,376 | | |
VMware, Inc., Class A | | | | | 6,012 | | | | | | 685,248 | | |
Zendesk, Inc.* | | | | | 8,016 | | | | | | 593,745 | | |
| | | | | | | | | | | 6,859,037 | | |
Specialty Retail – 1.9% | | ||||||||||||
AutoNation, Inc.*(a) | | | | | 6,346 | | | | | | 709,229 | | |
Burlington Stores, Inc.*(a) | | | | | 4,676 | | | | | | 637,012 | | |
Murphy USA, Inc. | | | | | 3,006 | | | | | | 700,007 | | |
O’Reilly Automotive, Inc.* | | | | | 1,169 | | | | | | 738,527 | | |
Penske Automotive Group, Inc. | | | | | 6,513 | | | | | | 681,846 | | |
| | | | | | | | | | | 3,466,621 | | |
Technology Hardware, Storage & Peripherals – 1.2% | | ||||||||||||
Dell Technologies, Inc., Class C | | | | | 16,867 | | | | | | 779,424 | | |
Hewlett Packard Enterprise Co. | | | | | 49,265 | | | | | | 653,254 | | |
HP, Inc. | | | | | 20,708 | | | | | | 678,808 | | |
| | | | | | | | | | | 2,111,486 | | |
Textiles, Apparel & Luxury Goods – 0.4% | | ||||||||||||
Carter’s, Inc. | | | | | 9,853 | | | | | | 694,439 | | |
Thrifts & Mortgage Finance – 0.8% | | ||||||||||||
New York Community Bancorp, Inc. | | | | | 75,818 | | | | | | 692,218 | | |
Radian Group, Inc. | | | | | 35,404 | | | | | | 695,689 | | |
| | | | | | | | | | | 1,387,907 | | |
TOTAL COMMON STOCKS (COST $144,049,783) | | | | | | | | | | | 140,777,347 | | |
TOTAL LONG POSITIONS (Cost $144,049,783) | | | | | | | | | | | 140,777,347 | | |
SHORT POSITIONS – (73.6)% | | ||||||||||||
COMMON STOCKS – (73.2)% | | ||||||||||||
Aerospace & Defense – (0.8)% | | ||||||||||||
Axon Enterprise, Inc.* | | | | | (7,515) | | | | | | (700,173) | | |
Boeing Co. (The)* | | | | | (5,845) | | | | | | (799,128) | | |
| | | | | | | | | | | (1,499,301) | | |
Airlines – (1.3)% | | ||||||||||||
American Airlines Group, Inc.* | | | | | (44,923) | | | | | | (569,624) | | |
Delta Air Lines, Inc.* | | | | | (18,704) | | | | | | (541,855) | | |
JetBlue Airways Corp.* | | | | | (70,641) | | | | | | (591,265) | | |
United Airlines Holdings, Inc.* | | | | | (16,867) | | | | | | (597,429) | | |
| | | | | | | | | | | (2,300,173) | | |
Auto Components – (0.7)% | | ||||||||||||
Fox Factory Holding Corp.* | | | | | (9,352) | | | | | | (753,210) | | |
QuantumScape Corp.* | | | | | (62,856) | | | | | | (539,933) | | |
| | | | | | | | | | | (1,293,143) | | |
Automobiles – (0.4)% | | ||||||||||||
Tesla, Inc.* | | | | | (1,169) | | | | | | (787,228) | | |
|
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Banks – (1.1)% | | ||||||||||||
First Republic Bank | | | | | (4,843) | | | | | $ | (698,361) | | |
Signature Bank | | | | | (3,674) | | | | | | (658,417) | | |
SVB Financial Group* | | | | | (1,670) | | | | | | (659,633) | | |
| | | | | | | | | | | (2,016,411) | | |
Biotechnology – (2.9)% | | ||||||||||||
Arrowhead Pharmaceuticals, Inc.* | | | | | (21,376) | | | | | | (752,649) | | |
Blueprint Medicines Corp.* | | | | | (12,859) | | | | | | (649,508) | | |
Intellia Therapeutics, Inc.* | | | | | (16,533) | | | | | | (855,748) | | |
Moderna, Inc.* | | | | | (5,511) | | | | | | (787,246) | | |
Natera, Inc.* | | | | | (19,205) | | | | | | (680,625) | | |
Novavax, Inc.* | | | | | (15,698) | | | | | | (807,348) | | |
Twist Bioscience Corp.* | | | | | (20,541) | | | | | | (718,114) | | |
| | | | | | | | | | | (5,251,238) | | |
Building Products – (1.0)% | | ||||||||||||
Advanced Drainage Systems, Inc. | | | | | (6,680) | | | | | | (601,667) | | |
Builders FirstSource, Inc.* | | | | | (11,690) | | | | | | (627,753) | | |
Trex Co., Inc.* | | | | | (11,523) | | | | | | (627,082) | | |
| | | | | | | | | | | (1,856,502) | | |
Capital Markets – (6.9)% | | ||||||||||||
Affiliated Managers Group, Inc. | | | | | (5,678) | | | | | | (662,055) | | |
Ameriprise Financial, Inc. | | | | | (2,672) | | | | | | (635,081) | | |
Ares Management Corp. | | | | | (10,688) | | | | | | (607,720) | | |
BlackRock, Inc. | | | | | (1,169) | | | | | | (711,968) | | |
Blackstone, Inc. | | | | | (6,513) | | | | | | (594,181) | | |
Carlyle Group, Inc. (The) | | | | | (19,873) | | | | | | (629,179) | | |
Charles Schwab Corp. (The) | | | | | (11,022) | | | | | | (696,370) | | |
Franklin Resources, Inc. | | | | | (27,388) | | | | | | (638,414) | | |
Goldman Sachs Group, Inc. (The) | | | | | (2,338) | | | | | | (694,433) | | |
Invesco Ltd. | | | | | (38,911) | | | | | | (627,634) | | |
Janus Henderson Group plc | | | | | (26,887) | | | | | | (632,113) | | |
Jefferies Financial Group, Inc. | | | | | (23,046) | | | | | | (636,531) | | |
KKR & Co., Inc. | | | | | (14,362) | | | | | | (664,817) | | |
Morningstar, Inc. | | | | | (2,839) | | | | | | (686,555) | | |
MSCI, Inc. | | | | | (1,670) | | | | | | (688,291) | | |
Northern Trust Corp. | | | | | (6,680) | | | | | | (644,486) | | |
Raymond James Financial, Inc. | | | | | (7,849) | | | | | | (701,779) | | |
State Street Corp. | | | | | (10,521) | | | | | | (648,620) | | |
T. Rowe Price Group, Inc. | | | | | (5,845) | | | | | | (664,050) | | |
| | | | | | | | | | | (12,464,277) | | |
Chemicals – (1.3)% | | ||||||||||||
Albemarle Corp. | | | | | (3,006) | | | | | | (628,194) | | |
Chemours Co. (The) | | | | | (17,535) | | | | | | (561,471) | | |
Olin Corp. | | | | | (11,523) | | | | | | (533,284) | | |
Scotts Miracle-Gro Co. (The) | | | | | (8,016) | | | | | | (633,184) | | |
| | | | | | | | | | | (2,356,133) | | |
Commercial Services & Supplies – (1.2)% | | ||||||||||||
Cintas Corp. | | | | | (2,004) | | | | | | (748,554) | | |
Copart, Inc.* | | | | | (6,513) | | | | | | (707,703) | | |
Tetra Tech, Inc. | | | | | (5,678) | | | | | | (775,331) | | |
| | | | | | | | | | | (2,231,588) | | |
Communications Equipment – (0.4)% | | ||||||||||||
Arista Networks, Inc.* | | | | | (7,181) | | | | | | (673,147) | | |
Consumer Finance – (1.4)% | | ||||||||||||
American Express Co. | | | | | (4,509) | | | | | | (625,038) | | |
Investments | | | Shares | | | Value ($) | | ||||||
Credit Acceptance Corp.* | | | | | (1,336) | | | | | $ | (632,476) | | |
Discover Financial Services | | | | | (6,680) | | | | | | (631,794) | | |
SLM Corp. | | | | | (39,412) | | | | | | (628,227) | | |
| | | | | | | | | | | (2,517,535) | | |
Diversified Financial Services – 0.0%(c) | | ||||||||||||
Apollo Global Management, Inc. | | | | | —(b) | | | | | | (18) | | |
Electric Utilities – (1.4)% | | ||||||||||||
ALLETE, Inc. | | | | | (11,690) | | | | | | (687,138) | | |
Constellation Energy Corp. | | | | | (1) | | | | | | (38) | | |
NextEra Energy, Inc. | | | | | (9,686) | | | | | | (750,277) | | |
NRG Energy, Inc. | | | | | (15,364) | | | | | | (586,444) | | |
PG&E Corp.* | | | | | (59,619) | | | | | | (594,998) | | |
| | | | | | | | | | | (2,618,895) | | |
Electrical Equipment – (1.5)% | | ||||||||||||
Generac Holdings, Inc.* | | | | | (3,173) | | | | | | (668,170) | | |
Plug Power, Inc.* | | | | | (45,925) | | | | | | (760,977) | | |
Sunrun, Inc.* | | | | | (31,396) | | | | | | (733,411) | | |
Vertiv Holdings Co. | | | | | (70,641) | | | | | | (580,669) | | |
| | | | | | | | | | | (2,743,227) | | |
Entertainment – (0.8)% | | ||||||||||||
Netflix, Inc.* | | | | | (3,841) | | | | | | (671,676) | | |
Roku, Inc.* | | | | | (8,517) | | | | | | (699,586) | | |
| | | | | | | | | | | (1,371,262) | | |
Equity Real Estate Investment Trusts (REITs) – (3.9)% | | ||||||||||||
Alexandria Real Estate Equities, Inc. | | | | | (4,509) | | | | | | (653,940) | | |
Brixmor Property Group, Inc. | | | | | (30,561) | | | | | | (617,638) | | |
EastGroup Properties, Inc. | | | | | (4,676) | | | | | | (721,647) | | |
Host Hotels & Resorts, Inc. | | | | | (37,408) | | | | | | (586,557) | | |
Lamar Advertising Co., Class A | | | | | (7,682) | | | | | | (675,786) | | |
National Storage Affiliates Trust | | | | | (14,362) | | | | | | (719,105) | | |
PotlatchDeltic Corp. | | | | | (13,360) | | | | | | (590,378) | | |
Regency Centers Corp. | | | | | (10,855) | | | | | | (643,810) | | |
Rexford Industrial Realty, Inc. | | | | | (11,690) | | | | | | (673,227) | | |
Simon Property Group, Inc. | | | | | (6,680) | | | | | | (634,066) | | |
SL Green Realty Corp. | | | | | (11,523) | | | | | | (531,787) | | |
| | | | | | | | | | | (7,047,941) | | |
Food & Staples Retailing – (1.7)% | | ||||||||||||
BJ’s Wholesale Club Holdings, Inc.* | | | | | (13,193) | | | | | | (822,188) | | |
Costco Wholesale Corp. | | | | | (1,670) | | | | | | (800,398) | | |
Performance Food Group Co.* | | | | | (17,702) | | | | | | (813,938) | | |
US Foods Holding Corp.* | | | | | (23,380) | | | | | | (717,298) | | |
| | | | | | | | | | | (3,153,822) | | |
Food Products – (0.6)% | | ||||||||||||
Darling Ingredients, Inc.* | | | | | (9,185) | | | | | | (549,263) | | |
Freshpet, Inc.* | | | | | (11,523) | | | | | | (597,928) | | |
| | | | | | | | | | | (1,147,191) | | |
Gas Utilities – (0.4)% | | ||||||||||||
UGI Corp. | | | | | (17,201) | | | | | | (664,131) | | |
Health Care Equipment & Supplies – (2.8)% | | ||||||||||||
Align Technology, Inc.* | | | | | (2,672) | | | | | | (632,382) | | |
Dexcom, Inc.* | | | | | (10,020) | | | | | | (746,791) | | |
Intuitive Surgical, Inc.* | | | | | (3,173) | | | | | | (636,853) | | |
Novocure Ltd.* | | | | | (9,519) | | | | | | (661,570) | | |
Penumbra, Inc.* | | | | | (5,010) | | | | | | (623,845) | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Shockwave Medical, Inc.* | | | | | (4,342) | | | | | $ | (830,060) | | |
STAAR Surgical Co.* | | | | | (12,191) | | | | | | (864,708) | | |
| | | | | | | | | | | (4,996,209) | | |
Health Care Providers & Services – (1.9)% | | ||||||||||||
1Life Healthcare, Inc.* | | | | | (87,341) | | | | | | (684,753) | | |
Amedisys, Inc.* | | | | | (6,346) | | | | | | (667,092) | | |
Guardant Health, Inc.* | | | | | (19,873) | | | | | | (801,677) | | |
LHC Group, Inc.* | | | | | (4,342) | | | | | | (676,223) | | |
Oak Street Health, Inc.* | | | | | (41,750) | | | | | | (686,370) | | |
| | | | | | | | | | | (3,516,115) | | |
Health Care Technology – (0.9)% | | ||||||||||||
Teladoc Health, Inc.* | | | | | (22,879) | | | | | | (759,812) | | |
Veeva Systems, Inc., Class A* | | | | | (4,509) | | | | | | (892,962) | | |
| | | | | | | | | | | (1,652,774) | | |
Hotels, Restaurants & Leisure – (1.3)% | | ||||||||||||
Caesars Entertainment, Inc.* | | | | | (15,248) | | | | | | (583,998) | | |
Carnival Corp.* | | | | | (59,452) | | | | | | (514,260) | | |
DraftKings, Inc., Class A* | | | | | (51,269) | | | | | | (598,309) | | |
Norwegian Cruise Line Holdings Ltd.* | | | | | (52,772) | | | | | | (586,825) | | |
| | | | | | | | | | | (2,283,392) | | |
Household Durables – (0.4)% | | ||||||||||||
Toll Brothers, Inc. | | | | | (15,030) | | | | | | (670,338) | | |
Independent Power and Renewable Electricity Producers – (0.7)% | | ||||||||||||
AES Corp. (The) | | | | | (33,734) | | | | | | (708,751) | | |
Vistra Corp. | | | | | (27,722) | | | | | | (633,448) | | |
| | | | | | | | | | | (1,342,199) | | |
Insurance – (0.7)% | | ||||||||||||
Brighthouse Financial, Inc.* | | | | | (15,364) | | | | | | (630,231) | | |
Lincoln National Corp. | | | | | (13,193) | | | | | | (617,037) | | |
| | | | | | | | | | | (1,247,268) | | |
Interactive Media & Services – (2.2)% | | ||||||||||||
Cargurus, Inc.* | | | | | (30,227) | | | | | | (649,578) | | |
Meta Platforms, Inc., Class A* | | | | | (4,008) | | | | | | (646,290) | | |
Pinterest, Inc., Class A* | | | | | (38,243) | | | | | | (694,493) | | |
Snap, Inc., Class A* | | | | | (51,102) | | | | | | (670,969) | | |
Twitter, Inc.* | | | | | (19,539) | | | | | | (730,563) | | |
ZoomInfo Technologies, Inc.* | | | | | (19,873) | | | | | | (660,579) | | |
| | | | | | | | | | | (4,052,472) | | |
Internet & Direct Marketing Retail – (1.1)% | | ||||||||||||
DoorDash, Inc., Class A* | | | | | (10,521) | | | | | | (675,133) | | |
Etsy, Inc.* | | | | | (10,187) | | | | | | (745,790) | | |
Wayfair, Inc., Class A* | | | | | (14,362) | | | | | | (625,609) | | |
| | | | | | | | | | | (2,046,532) | | |
IT Services – (2.9)% | | ||||||||||||
Affirm Holdings, Inc.* | | | | | (31,396) | | | | | | (567,012) | | |
Block, Inc., Class A* | | | | | (18,357) | | | | | | (1,128,221) | | |
Cloudflare, Inc., Class A* | | | | | (13,861) | | | | | | (606,419) | | |
EPAM Systems, Inc.* | | | | | (2,338) | | | | | | (689,196) | | |
MongoDB, Inc.* | | | | | (3,173) | | | | | | (823,393) | | |
Snowflake, Inc., Class A* | | | | | (5,511) | | | | | | (766,360) | | |
Twilio, Inc., Class A* | | | | | (7,515) | | | | | | (629,832) | | |
| | | | | | | | | | | (5,210,433) | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Leisure Products – (0.4)% | | ||||||||||||
YETI Holdings, Inc.* | | | | | (17,368) | | | | | $ | (751,513) | | |
Life Sciences Tools & Services – (1.8)% | | ||||||||||||
10X Genomics, Inc., Class A* | | | | | (15,698) | | | | | | (710,335) | | |
Azenta, Inc. | | | | | (10,354) | | | | | | (746,523) | | |
Bio-Techne Corp. | | | | | (2,004) | | | | | | (694,667) | | |
Illumina, Inc.* | | | | | (3,006) | | | | | | (554,186) | | |
Pacific Biosciences of California, Inc.* | | | | | (134,936) | | | | | | (596,417) | | |
| | | | | | | | | | | (3,302,128) | | |
Machinery – (0.4)% | | ||||||||||||
Crane Holdings Co. | | | | | (8,016) | | | | | | (701,881) | | |
Metals & Mining – (1.8)% | | ||||||||||||
Alcoa Corp. | | | | | (11,857) | | | | | | (540,442) | | |
Cleveland-Cliffs, Inc.* | | | | | (31,897) | | | | | | (490,257) | | |
Freeport-McMoRan, Inc. | | | | | (19,205) | | | | | | (561,938) | | |
Nucor Corp. | | | | | (5,678) | | | | | | (592,840) | | |
Steel Dynamics, Inc. | | | | | (9,018) | | | | | | (596,541) | | |
United States Steel Corp. | | | | | (29,392) | | | | | | (526,411) | | |
| | | | | | | | | | | (3,308,429) | | |
Multiline Retail – (0.4)% | | ||||||||||||
Kohl’s Corp. | | | | | (17,869) | | | | | | (637,745) | | |
Multi-Utilities – (0.4)% | | ||||||||||||
CenterPoint Energy, Inc. | | | | | (22,712) | | | | | | (671,821) | | |
Oil, Gas & Consumable Fuels – (2.1)% | | ||||||||||||
APA Corp. | | | ��� | | (15,865) | | | | | | (553,688) | | |
Continental Resources, Inc. | | | | | (11,356) | | | | | | (742,115) | | |
Devon Energy Corp. | | | | | (10,020) | | | | | | (552,202) | | |
EQT Corp. | | | | | (15,364) | | | | | | (528,522) | | |
Ovintiv, Inc. | | | | | (14,195) | | | | | | (627,277) | | |
Texas Pacific Land Corp. | | | | | (501) | | | | | | (745,498) | | |
| | | | | | | | | | | (3,749,302) | | |
Paper & Forest Products – (0.3)% | | ||||||||||||
Louisiana-Pacific Corp. | | | | | (10,855) | | | | | | (568,911) | | |
Personal Products – (1.0)% | | ||||||||||||
Coty, Inc., Class A* | | | | | (115,564) | | | | | | (925,667) | | |
Estee Lauder Cos., Inc. (The), Class A | | | | | (3,173) | | | | | | (808,068) | | |
| | | | | | | | | | | (1,733,735) | | |
Professional Services – (2.3)% | | ||||||||||||
ASGN, Inc.* | | | | | (7,682) | | | | | | (693,300) | | |
Clarivate plc* | | | | | (51,770) | | | | | | (717,532) | | |
Equifax, Inc. | | | | | (3,674) | | | | | | (671,534) | | |
Nielsen Holdings plc | | | | | (28,056) | | | | | | (651,460) | | |
Robert Half International, Inc. | | | | | (8,350) | | | | | | (625,332) | | |
Upwork, Inc.* | | | | | (43,420) | | | | | | (897,926) | | |
| | | | | | | | | | | (4,257,084) | | |
Real Estate Management & Development – (1.3)% | | ||||||||||||
Howard Hughes Corp. (The)* | | | | | (8,684) | | | | | | (590,946) | | |
Jones Lang LaSalle, Inc.* | | | | | (3,841) | | | | | | (671,637) | | |
Opendoor Technologies, Inc.* | | | | | (112,725) | | | | | | (530,935) | | |
Redfin Corp.* | | | | | (72,645) | | | | | | (598,595) | | |
| | | | | | | | | | | (2,392,113) | | |
|
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Road & Rail – (0.8)% | | ||||||||||||
Saia, Inc.* | | | | | (3,841) | | | | | $ | (722,108) | | |
Uber Technologies, Inc.* | | | | | (32,899) | | | | | | (673,113) | | |
| | | | | | | | | | | (1,395,221) | | |
Semiconductors & Semiconductor Equipment – (4.1)% | | ||||||||||||
Advanced Micro Devices, Inc.* | | | | | (1) | | | | | | (43) | | |
Applied Materials, Inc. | | | | | (6,680) | | | | | | (607,746) | | |
Enphase Energy, Inc.* | | | | | (4,342) | | | | | | (847,732) | | |
KLA Corp. | | | | | (2,171) | | | | | | (692,723) | | |
Lam Research Corp. | | | | | (1,503) | | | | | | (640,503) | | |
Lattice Semiconductor Corp.* | | | | | (15,030) | | | | | | (728,955) | | |
NVIDIA Corp. | | | | | (4,175) | | | | | | (632,888) | | |
ON Semiconductor Corp.* | | | | | (12,859) | | | | | | (646,936) | | |
Silicon Laboratories, Inc.* | | | | | (5,177) | | | | | | (725,919) | | |
Teradyne, Inc. | | | | | (7,181) | | | | | | (643,059) | | |
Universal Display Corp. | | | | | (6,012) | | | | | | (608,054) | | |
Wolfspeed, Inc.* | | | | | (11,022) | | | | | | (699,346) | | |
| | | | | | | | | | | (7,473,904) | | |
Software – (5.4)% | | ||||||||||||
Asana, Inc., Class A* | | | | | (35,905) | | | | | | (631,210) | | |
Bill.com Holdings, Inc.* | | | | | (6,513) | | | | | | (716,039) | | |
Datadog, Inc., Class A* | | | | | (8,183) | | | | | | (779,349) | | |
Digital Turbine, Inc.* | | | | | (30,561) | | | | | | (533,901) | | |
DocuSign, Inc.* | | | | | (9,352) | | | | | | (536,618) | | |
Dynatrace, Inc.* | | | | | (19,205) | | | | | | (757,445) | | |
Elastic NV* | | | | | (12,191) | | | | | | (824,965) | | |
Fortinet, Inc.* | | | | | (12,525) | | | | | | (708,665) | | |
MicroStrategy, Inc., Class A* | | | | | (622) | | | | | | (102,195) | | |
nCino, Inc.* | | | | | (23,659) | | | | | | (731,536) | | |
Palantir Technologies, Inc., Class A* | | | | | (91,015) | | | | | | (825,506) | | |
Smartsheet, Inc., Class A* | | | | | (21,042) | | | | | | (661,350) | | |
Trade Desk, Inc. (The), Class A* | | | | | (15,698) | | | | | | (657,589) | | |
Unity Software, Inc.* | | | | | (19,372) | | | | | | (713,277) | | |
Varonis Systems, Inc.* | | | | | (22,545) | | | | | | (661,019) | | |
| | | | | | | | | | | (9,840,664) | | |
Specialty Retail – (2.4)% | | ||||||||||||
Bath & Body Works, Inc. | | | | | (18,370) | | | | | | (494,520) | | |
Carvana Co.* | | | | | (23,380) | | | | | | (527,920) | | |
Dick’s Sporting Goods, Inc. | | | | | (9,185) | | | | | | (692,274) | | |
Five Below, Inc.* | | | | | (6,012) | | | | | | (681,941) | | |
Floor & Decor Holdings, Inc., Class A* | | | | | (10,187) | | | | | | (641,374) | | |
RH* | | | | | (2,839) | | | | | | (602,606) | | |
Williams-Sonoma, Inc. | | | | | (6,346) | | | | | | (704,089) | | |
| | | | | | | | | | | (4,344,724) | | |
Textiles, Apparel & Luxury Goods – (1.5)% | | ||||||||||||
Capri Holdings Ltd.* | | | | | (16,867) | | | | | | (691,716) | | |
Crocs, Inc.* | | | | | (14,195) | | | | | | (690,870) | | |
PVH Corp. | | | | | (11,022) | | | | | | (627,152) | | |
Under Armour, Inc., Class A* | | | | | (74,315) | | | | | | (619,044) | | |
| | | | | | | | | | | (2,628,782) | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Trading Companies & Distributors – (1.4)% | | ||||||||||||
Air Lease Corp. | | | | | (20,207) | | | | | $ | (675,520) | | |
SiteOne Landscape Supply, Inc.* | | | | | (5,678) | | | | | | (674,944) | | |
United Rentals, Inc.* | | | | | (2,672) | | | | | | (649,055) | | |
Univar Solutions, Inc.* | | | | | (24,549) | | | | | | (610,534) | | |
| | | | | | | | | | | (2,610,053) | | |
Water Utilities – (0.8)% | | ||||||||||||
American Water Works Co., Inc. | | | | | (4,843) | | | | | | (720,493) | | |
Essential Utilities, Inc. | | | | | (15,698) | | | | | | (719,753) | | |
| | | | | | | | | | | (1,440,246) | | |
TOTAL COMMON STOCKS (PROCEEDS $(169,784,127)) | | | | | | | | | | | (132,819,151) | | |
EXCHANGE TRADED FUNDS – (0.4)% | | ||||||||||||
SPDR S&P 500 ETF Trust (Proceeds $(848,492)) | | | | | (2,050) | | | | | | (773,362) | | |
TOTAL SHORT POSITIONS (Proceeds $(170,632,619)) | | | | | | | | | | | (133,592,513) | | |
Total Investments – 4.0% (Cost $(26,582,836)) | | | | | | | | | | | 7,184,834 | | |
Other assets less liabilities – 96.0% | | | | | | | | | | | 174,279,549 | | |
Net Assets – 100.0% | | | | | | | | | | $ | 181,464,383 | | |
|
| Aggregate gross unrealized appreciation | | | | $ | 37,741,057 | | |
| Aggregate gross unrealized depreciation | | | | | (10,676,626) | | |
| Net unrealized appreciation | | | | $ | 27,064,431 | | |
| Federal income tax cost of investments (including derivative contracts, if any) | | | | $ | (16,761,851) | | |
Schedule of Investments
| Notional Amount | | | Termination Date(1) | | | Counterparty | | | Rate Paid (Received)(2) | | | Payment Frequency | | | Underlying Instrument(3) | | | Value and Unrealized Appreciation/ (Depreciation)(4) ($) | | | Cash Collateral (Received) Pledged ($) | | | Net Amount(5) ($) | | |||||||||||||||
| USD 17,952,098 | | | | | 10/2/2023 | | | | Morgan Stanley | | | | | 1.93% | | | | Monthly | | | Dow Jones U.S. Low Beta Total Return Index(6) | | | | | (775,398) | | | | | | 775,398(7) | | | | | | — | | |
| USD (16,441,752) | | | | | 10/2/2023 | | | | Morgan Stanley | | | | | 1.18% | | | | Monthly | | | Dow Jones U.S. High Beta Total Return Index(8) | | | | | 3,893,144 | | | | | | — | | | | | | 3,893,144 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 3,117,746 | | | | | | | | | | | | 3,893,144 | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
COMMON STOCKS – 98.6% | | ||||||||||||
Commercial Services & Supplies – 0.3% | | ||||||||||||
Cleanaway Waste Management Ltd. | | | | | 5,880 | | | | | $ | 10,235 | | |
Construction & Engineering – 3.5% | | ||||||||||||
Quanta Services, Inc. | | | | | 210 | | | | | | 26,322 | | |
Vinci SA | | | | | 1,252 | | | | | | 112,480 | | |
| | | | | | | | | | | 138,802 | | |
Diversified Telecommunication Services – 3.3% | | ||||||||||||
Cellnex Telecom SA | | | | | 663 | | | | | | 25,828 | | |
China Tower Corp. Ltd., Class H | | | | | 456,844 | | | | | | 58,865 | | |
Cogent Communications Holdings, Inc. | | | | | 180 | | | | | | 10,937 | | |
Deutsche Telekom AG (Registered) | | | | | 1,795 | | | | | | 35,639 | | |
| | | | | | | | | | | 131,269 | | |
Electric Utilities – 12.8% | | ||||||||||||
Contact Energy Ltd. | | | | | 2,886 | | | | | | 13,109 | | |
Duke Energy Corp. | | | | | 342 | | | | | | 36,666 | | |
Edison International | | | | | 723 | | | | | | 45,723 | | |
Emera, Inc. | | | | | 438 | | | | | | 20,519 | | |
Endesa SA | | | | | 948 | | | | | | 17,889 | | |
Eversource Energy | | | | | 881 | | | | | | 74,418 | | |
FirstEnergy Corp. | | | | | 1,002 | | | | | | 38,467 | | |
Fortis, Inc. | | | | | 285 | | | | | | 13,473 | | |
Iberdrola SA | | | | | 2,539 | | | | | | 26,347 | | |
NextEra Energy, Inc. | | | | | 553 | | | | | | 42,835 | | |
OGE Energy Corp. | | | | | 483 | | | | | | 18,624 | | |
PG&E Corp.* | | | | | 1,101 | | | | | | 10,988 | | |
Pinnacle West Capital Corp. | | | | | 279 | | | | | | 20,400 | | |
Southern Co. (The) | | | | | 636 | | | | | | 45,353 | | |
SSE plc | | | | | 1,956 | | | | | | 38,670 | | |
Xcel Energy, Inc. | | | | | 609 | | | | | | 43,093 | | |
| | | | | | | | | | | 506,574 | | |
Electrical Equipment – 0.3% | | ||||||||||||
Stem, Inc.* | | | | | 1,407 | | | | | | 10,074 | | |
Equity Real Estate Investment Trusts (REITs) – 18.3% | | ||||||||||||
American Tower Corp. | | | | | 1,464 | | | | | | 374,184 | | |
Crown Castle International Corp. | | | | | 1,461 | | | | | | 246,003 | | |
Iron Mountain, Inc. | | | | | 612 | | | | | | 29,798 | | |
SBA Communications Corp. | | | | | 243 | | | | | | 77,772 | | |
| | | | | | | | | | | 727,757 | | |
Gas Utilities – 8.7% | | ||||||||||||
APA Group | | | | | 4,176 | | | | | | 32,465 | | |
Atmos Energy Corp. | | | | | 147 | | | | | | 16,479 | | |
Beijing Enterprises Holdings Ltd. | | | | | 4,500 | | | | | | 16,026 | | |
Brookfield Infrastructure Corp., Class A | | | | | 288 | | | | | | 12,240 | | |
China Resources Gas Group Ltd. | | | | | 5,200 | | | | | | 24,464 | | |
Enagas SA | | | | | 2,334 | | | | | | 51,555 | | |
ENN Energy Holdings Ltd. | | | | | 2,776 | | | | | | 45,665 | | |
Italgas SpA | | | | | 8,382 | | | | | | 48,948 | | |
National Fuel Gas Co. | | | | | 330 | | | | | | 21,796 | | |
Snam SpA | | | | | 14,739 | | | | | | 77,359 | | |
| | | | | | | | | | | 346,997 | | |
Independent Power and Renewable Electricity Producers – 3.5% | | ||||||||||||
Capital Power Corp. | | | | | 567 | | | | | | 19,827 | | |
Investments | | | Shares | | | Value ($) | | ||||||
China Longyuan Power Group Corp. Ltd., Class H | | | | | 6,000 | | | | | $ | 11,703 | | |
China Resources Power Holdings Co. Ltd. | | | | | 8,000 | | | | | | 16,568 | | |
Clearway Energy, Inc. | | | | | 876 | | | | | | 30,520 | | |
Engie Brasil Energia SA | | | | | 912 | | | | | | 7,197 | | |
Northland Power, Inc. | | | | | 792 | | | | | | 23,578 | | |
RWE AG | | | | | 234 | | | | | | 8,624 | | |
TransAlta Renewables, Inc. | | | | | 1,611 | | | | | | 20,588 | | |
| | | | | | | | | | | 138,605 | | |
Interactive Media & Services – 1.7% | | ||||||||||||
Alphabet, Inc., Class C* | | | | | 30 | | | | | | 65,624 | | |
Internet & Direct Marketing Retail – 0.6% | | ||||||||||||
Amazon.com, Inc.* | | | | | 240 | | | | | | 25,490 | | |
IT Services – 0.4% | | ||||||||||||
GDS Holdings Ltd., Class A* | | | | | 3,675 | | | | | | 15,542 | | |
Media – 0.7% | | ||||||||||||
SES SA, ADR | | | | | 3,297 | | | | | | 28,975 | | |
Metals & Mining – 0.2% | | ||||||||||||
Sims Ltd. | | | | | 879 | | | | | | 8,476 | | |
Multi-Utilities – 11.4% | | ||||||||||||
Algonquin Power & Utilities Corp. | | | | | 3,021 | | | | | | 40,602 | | |
ATCO Ltd., Class I | | | | | 714 | | | | | | 24,462 | | |
Canadian Utilities Ltd., Class A | | | | | 417 | | | | | | 12,437 | | |
CenterPoint Energy, Inc. | | | | | 540 | | | | | | 15,973 | | |
Consolidated Edison, Inc. | | | | | 852 | | | | | | 81,025 | | |
E.ON SE | | | | | 1,536 | | | | | | 12,887 | | |
National Grid plc | | | | | 9,224 | | | | | | 118,208 | | |
REN – Redes Energeticas Nacionais SGPS SA | | | | | 5,475 | | | | | | 16,507 | | |
Sempra Energy | | | | | 681 | | | | | | 102,334 | | |
WEC Energy Group, Inc. | | | | | 270 | | | | | | 27,173 | | |
| | | | | | | | ��� | | | 451,608 | | |
Oil, Gas & Consumable Fuels – 21.7% | | ||||||||||||
Cheniere Energy, Inc. | | | | | 378 | | | | | | 50,285 | | |
Enbridge, Inc. | | | | | 8,295 | | | | | | 350,308 | | |
Kinder Morgan, Inc. | | | | | 7,709 | | | | | | 129,203 | | |
Neste OYJ | | | | | 406 | | | | | | 17,990 | | |
ONEOK, Inc. | | | | | 1,695 | | | | | | 94,072 | | |
Pembina Pipeline Corp. | | | | | 1,344 | | | | | | 47,508 | | |
TC Energy Corp. | | | | | 2,019 | | | | | | 104,589 | | |
Williams Cos., Inc. (The) | | | | | 2,178 | | | | | | 67,975 | | |
| | | | | | | | | | | 861,930 | | |
Road & Rail – 1.8% | | ||||||||||||
Aurizon Holdings Ltd. | | | | | 14,721 | | | | | | 38,685 | | |
Norfolk Southern Corp. | | | | | 30 | | | | | | 6,819 | | |
Union Pacific Corp. | | | | | 118 | | | | | | 25,167 | | |
| | | | | | | | | | | 70,671 | | |
Software – 0.8% | | ||||||||||||
Microsoft Corp. | | | | | 126 | | | | | | 32,361 | | |
Transportation Infrastructure – 6.2% | | ||||||||||||
Aeroports de Paris* | | | | | 262 | | | | | | 33,378 | | |
Atlas Arteria Ltd. | | | | | 6,960 | | | | | | 38,690 | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
China Merchants Port Holdings Co. Ltd. | | | | | 11,088 | | | | | $ | 19,017 | | |
COSCO SHIPPING Ports Ltd. | | | | | 38,340 | | | | | | 27,082 | | |
Grupo Aeroportuario del Pacifico SAB de CV, ADR | | | | | 113 | | | | | | 15,772 | | |
Hutchison Port Holdings Trust | | | | | 89,592 | | | | | | 21,080 | | |
Shenzhen Expressway Corp. Ltd., Class H* | | | | | 14,000 | | | | | | 14,548 | | |
Transurban Group | | | | | 6,063 | | | | | | 60,211 | | |
Westshore Terminals Investment Corp. | | | | | 702 | | | | | | 17,424 | | |
| | | | | | | | | | | 247,202 | | |
Water Utilities – 2.4% | | ||||||||||||
American Water Works Co., Inc. | | | | | 633 | | | | | | 94,171 | | |
TOTAL COMMON STOCKS (COST $3,865,047) | | | | | | | | | | | 3,912,363 | | |
MASTER LIMITED PARTNERSHIPS – 0.5% | | | | | | | | | | | | | |
Oil, Gas & Consumable Fuels – 0.5% | | | | | | | | | | | | | |
Energy Transfer LP (Cost $19,868) | | | | | 2,014 | | | | | | 20,100 | | |
EXCHANGE TRADED FUNDS – 0.2% | | ||||||||||||
SPDR S&P Global Infrastructure ETF (Cost $7,423) | | | | | 155 | | | | | | 8,283 | | |
Total Investments – 99.3% (Cost $3,892,338) | | | | | | | | | | | 3,940,746 | | |
Other assets less liabilities – 0.7% | | | | | | | | | | | 28,019 | | |
Net Assets – 100.0% | | | | | | | | | | $ | 3,968,765 | | |
|
Abbreviations | | | ||
ADR | | | American Depositary Receipt | |
ETF | | | Exchange Traded Fund | |
OYJ | | | Public Limited Company | |
SPDR | | | Standard & Poor’s Depositary Receipt | |
| Aggregate gross unrealized appreciation | | | | $ | 194,989 | | |
| Aggregate gross unrealized depreciation | | | | | (146,045) | | |
| Net unrealized appreciation | | | | $ | 48,944 | | |
| Federal income tax cost of investments (including derivative contracts, if any) | | | | $ | 3,891,802 | | |
| Australia | | | | | 4.5% | | |
| Brazil | | | | | 0.2% | | |
| Canada | | | | | 17.8% | | |
| China | | | | | 6.3% | | |
| Finland | | | | | 0.5% | | |
| France | | | | | 3.7% | | |
| Germany | | | | | 1.4% | | |
| Hong Kong | | | | | 0.5% | | |
| Italy | | | | | 3.2% | | |
| Luxembourg | | | | | 0.7% | | |
| Mexico | | | | | 0.4% | | |
| New Zealand | | | | | 0.3% | | |
| Portugal | | | | | 0.4% | | |
| Spain | | | | | 3.1% | | |
| United Kingdom | | | | | 4.0% | | |
| United States | | | | | 52.3% | | |
| Other(1) | | | | | 0.7% | | |
| | | | | | 100.0% | | |
June 30, 2022
| | | AGFiQ U.S. Market Neutral Anti-Beta Fund | | | AGFiQ Global Infrastructure ETF | | ||||||
ASSETS: | | | | | | | | | | | | | |
Investments in securities, at value(1) | | | | $ | 140,777,347 | | | | | $ | 3,940,746 | | |
Cash | | | | | 3,830,920 | | | | | | 71,906 | | |
Segregated cash balance with custodian for swap agreements (Note 2) | | | | | 1,714,237 | | | | | | — | | |
Segregated cash balance with broker for securities sold short (Note 2) | | | | | 152,008,787 | | | | | | — | | |
Foreign cash(2) | | | | | — | | | | | | 887 | | |
Unrealized appreciation on swap agreements | | | | | 3,893,144 | | | | | | — | | |
Receivables: | | | | | — | | | | | | — | | |
Securities sold | | | | | 10,447,603 | | | | | | — | | |
Dividends and interest | | | | | 309,419 | | | | | | 14,575 | | |
Receivable for capital shares issued | | | | | 14,065,186 | | | | | | — | | |
Investment adviser (Note 4) | | | | | — | | | | | | 18,377 | | |
Foreign tax reclaims | | | | | — | | | | | | 1,409 | | |
Prepaid expenses | | | | | 4,059 | | | | | | 5,319 | | |
Total Assets | | | | | 327,050,702 | | | | | | 4,053,219 | | |
LIABILITIES: | | | | | | | | | | | | | |
Securities sold short, at value(3) | | | | $ | 133,592,513 | | | | | $ | — | | |
Unrealized depreciation on swap agreements | | | | | 775,398 | | | | | | — | | |
Payables: | | | | | | | | | | | | | |
Securities purchased | | | | | 10,972,563 | | | | | | — | | |
Income distributions | | | | | — | | | | | | 30,445 | | |
Investment management fees | | | | | 11,375 | | | | | | — | | |
Trustees fees | | | | | 22,408 | | | | | | 679 | | |
Dividends on securities sold short | | | | | 105,151 | | | | | | — | | |
Accrued expenses and other liabilities | | | | | 106,911 | | | | | | 53,330 | | |
Total Liabilities | | | | | 145,586,319 | | | | | | 84,454 | | |
Net Assets | | | | $ | 181,464,383 | | | | | $ | 3,968,765 | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | | |
Paid-in capital | | | | | 243,802,939 | | | | | | 3,973,885 | | |
Distributable earnings (loss) | | | | | (62,338,556) | | | | | | (5,120) | | |
Net Assets | | | | $ | 181,464,383 | | | | | $ | 3,968,765 | | |
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 | | | | | 8,350,000 | | | | | | 150,001 | | |
Net Asset Value | | | | $ | 21.73 | | | | | $ | 26.46 | | |
(1) Investments in securities, at cost | | | | $ | 144,049,783 | | | | | $ | 3,892,338 | | |
(2) Cost of foreign cash | | | | $ | — | | | | | $ | 887 | | |
(3) Securities sold short, proceeds | | | | $ | 170,632,619 | | | | | $ | — | | |
For the Year Ended June 30, 2022
| | | AGFiQ U.S. Market Neutral Anti-Beta Fund | | | AGFiQ Global Infrastructure ETF | | ||||||
INVESTMENT INCOME: | | | | | | | | | | | | | |
Dividend income | | | | $ | 1,846,486 | | | | | $ | 153,788 | | |
Foreign withholding tax on dividends | | | | | (165) | | | | | | (11,278) | | |
Total Investment Income | | | | | 1,846,321 | | | | | | 142,510 | | |
EXPENSES: | | | | | | | | | | | | | |
Dividends on securities sold short | | | | | 1,205,719 | | | | | | — | | |
Stock loan fees on securities sold short | | | | | 88,048 | | | | | | — | | |
Investment management fees (Note 4) | | | | | 533,061 | | | | | | 20,364 | | |
Professional fees | | | | | 245,257 | | | | | | 84,325 | | |
Custody fees | | | | | 13,509 | | | | | | 7,222 | | |
Index fees | | | | | 12,983 | | | | | | 5,480 | | |
Chief Compliance Officer fees | | | | | 63,369 | | | | | | 6,343 | | |
Treasurer fees | | | | | 29,676 | | | | | | 5,014 | | |
Listing fees | | | | | 7,311 | | | | | | 9,748 | | |
Accounting fees | | | | | 30,000 | | | | | | 30,000 | | |
Trustees fees | | | | | 87,780 | | | | | | 3,390 | | |
Administration fees (Note 5) | | | | | 76,400 | | | | | | 76,400 | | |
Other fees | | | | | 46,528 | | | | | | 11,369 | | |
Total Expenses before Adjustments | | | | | 2,439,641 | | | | | | 259,655 | | |
Less: waivers and/or reimbursements by Adviser (Note 4) | | | | | (612,540) | | | | | | (239,292) | | |
Total Expenses after Adjustments | | | | | 1,827,101 | | | | | | 20,363 | | |
Net Investment Income (Loss) | | | | | 19,220 | | | | | | 122,147 | | |
NET REALIZED GAIN (LOSS) FROM: | | | | | | | | | | | | | |
Transactions in Investment securities | | | | | 809,039 | | | | | | 43,488 | | |
Foreign currency transactions | | | | | — | | | | | | (4,310) | | |
In-kind redemptions of investments | | | | | 1,912,496 | | | | | | 219,059 | | |
Securities sold short | | | | | (10,939,094) | | | | | | — | | |
Expiration or closing of swap agreements | | | | | 1,302,369 | | | | | | — | | |
Net Realized Gain (Loss) | | | | | (6,915,190) | | | | | | 258,237 | | |
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM: | | | | | | | | | | | | | |
Investments in securities | | | | | (10,833,414) | | | | | | (278,888) | | |
Securities sold short | | | | | 45,039,406 | | | | | | — | | |
Swap agreements | | | | | 1,483,696 | | | | | | — | | |
Translation of assets and liabilities denominated in foreign currencies | | | | | — | | | | | | (264) | | |
Net Change in Unrealized Appreciation (Depreciation) | | | | | 35,689,688 | | | | | | (279,152) | | |
Net Realized and Unrealized Gain (Loss) | | | | | 28,774,498 | | | | | | (20,915) | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | $ | 28,793,718 | | | | | $ | 101,232 | | |
| | | AGFiQ U.S. Market Neutral Anti-Beta Fund | | | AGFiQ Global Infrastructure ETF | | ||||||||||||||||||
| | | Year Ended June 30, 2022 | | | Year Ended June 30, 2021 | | | Year Ended June 30, 2022 | | | Year Ended June 30, 2021 | | ||||||||||||
OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 19,220 | | | | | $ | (1,694,284) | | | | | $ | 122,147 | | | | | $ | 102,390 | | |
Net realized gain (loss) | | | | | (6,915,190) | | | | | | (49,688,938) | | | | | | 258,237 | | | | | | (89,477) | | |
Net change in unrealized appreciation (depreciation) | | | | | 35,689,688 | | | | | | (11,390,190) | | | | | | (279,152) | | | | | | 482,648 | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | | 28,793,718 | | | | | | (62,773,412) | | | | | | 101,232 | | | | | | 495,561 | | |
DISTRIBUTIONS (Note 2): | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributable earnings | | | | | — | | | | | | — | | | | | | (129,114) | | | | | | (72,810) | | |
Total Distributions | | | | | — | | | | | | — | | | | | | (129,114) | | | | | | (72,810) | | |
CAPITAL TRANSACTIONS:(1) | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | | | | 145,726,474 | | | | | | 112,000,987 | | | | | | 1,350,959 | | | | | | 1,283,158 | | |
Cost of shares redeemed | | | | | (91,876,927) | | | | | | (143,161,140) | | | | | | (1,382,461) | | | | | | — | | |
Net Increase (Decrease) from Capital Transactions | | | | | 53,849,547 | | | | | | (31,160,153) | | | | | | (31,502) | | | | | | 1,283,158 | | |
Total Increase (Decrease) in Net Assets | | | | | 82,643,265 | | | | | | (93,933,565) | | | | | | (59,384) | | | | | | 1,705,909 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of year | | | | $ | 98,821,118 | | | | | $ | 192,754,683 | | | | | $ | 4,028,149 | | | | | $ | 2,322,240 | | |
End of Year | | | | $ | 181,464,383 | | | | | $ | 98,821,118 | | | | | $ | 3,968,765 | | | | | $ | 4,028,149 | | |
SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of year | | | | | 5,850,000 | | | | | | 7,950,000 | | | | | | 150,001 | | | | | | 100,001 | | |
Shares issued | | | | | 550,000 | | | | | | 100,000 | | | | | | — | | | | | | — | | |
Shares issued in-kind | | | | | 6,900,000 | | | | | | 5,100,000 | | | | | | 50,000 | | | | | | 50,000 | | |
Shares redeemed | | | | | (3,850,000) | | | | | | (150,000) | | | | | | — | | | | | | — | | |
Shares redeemed in-kind | | | | | (1,100,000) | | | | | | (7,150,000) | | | | | | (50,000) | | | | | | — | | |
Shares Outstanding, End of Year | | | | | 8,350,000 | | | | | | 5,850,000 | | | | | | 150,001 | | | | | | 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(9) | | | Net asset value, end of period | | ||||||||||||||||||||||||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year ended June 30, 2022 | | | | $ | 16.89 | | | | | $ | —(8) | | | | | $ | 4.82 | | | | | $ | 4.82 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 0.02 | | | | | $ | 21.73 | | |
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(13) | | | | | | (0.09) | | | | | | — | | | | | | — | | | | | | (0.09) | | | | | | 0.04 | | | | | | 21.83 | | |
Year ended June 30, 2018 | | | | | 20.00 | | | | | | 0.18 | | | | | | (0.13) | | | | | | 0.05 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 20.05 | | |
AGFiQ Global Infrastructure ETF | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year ended June 30, 2022 | | | | | 26.85 | | | | | | 0.75 | | | | | | (0.37) | | | | | | 0.38 | | | | | | (0.77) | | | | | | — | | | | | | — | | | | | | (0.77) | | | | | | — | | | | | | 26.46 | | |
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) | | | | | | —(8) | | | | | | — | | | | | | (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(10) | | | Net investment income (loss) per share excluding special dividends(11) | | | 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% | | | | | | 1.54% | | | | | | 2.06% | | | | | | 0.02% | | | | | | (0.50)% | | | | | | 0.02% | | | | | $ | 0.00 | | | | | | 28.66% | | | | | | 28.93% | | | | | | 145% | | | | | | 321% | | | | | $ | 181,464 | | |
| | | 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 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |||||
| | | 0.45(12) | | | | | | 0.45(12) | | | | | | 5.74(12) | | | | | | 2.70 | | | | | | (2.59) | | | | | | 2.70 | | | | | $ | 0.75 | | | | | | 1.35 | | | | | | 1.31 | | | | | | 56 | | | | | | 56 | | | | | | 3,969 | | |
| | | 0.45(12) | | | | | | 0.45(12) | | | | | | 9.01(12) | | | | | | 3.73 | | | | | | (4.83) | | | | | | 3.73 | | | | | | 0.93 | | | | | | 18.72 | | | | | | 18.10 | | | | | | 44 | | | | | | 44 | | | | | | 4,028 | | |
| | | 0.45(12) | | | | | | 0.45(12) | | | | | | 6.81(12) | | | | | | 2.82 | | | | | | (3.54) | | | | | | 2.82 | | | | | | 0.71 | | | | | | (7.32) | | | | | | (6.76) | | | | | | 32 | | | | | | 32 | | | | | | 2,322 | | |
| | | 0.45(12) | | | | | | 0.45(12) | | | | | | 16.91(12) | | | | | | 5.28 | | | | | | (11.19) | | | | | | 5.28 | | | | | | 0.14 | | | | | | 3.00 | | | | | | 3.00 | | | | | | — | | | | | | — | | | | | | 2,575 | | |
June 30, 2022
| | | 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* | | | | $ | 140,777,347 | | | | | $ | — | | | | | $ | — | | | | | $ | 140,777,347 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | (132,819,151) | | | | | $ | — | | | | | $ | — | | | | | $ | (132,819,151) | | |
Exchange Traded Funds | | | | | (773,362) | | | | | | — | | | | | | — | | | | | | (773,362) | | |
Total Investments | | | | $ | 7,184,834 | | | | | $ | — | | | | | $ | — | | | | | $ | 7,184,834 | | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap Agreements** | | | | $ | — | | | | | $ | 3,893,144 | | | | | $ | — | | | | | $ | 3,893,144 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap Agreements** | | | | $ | — | | | | | $ | (775,398) | | | | | $ | — | | | | | $ | (775,398) | | |
Total Other Financial Instruments | | | | $ | — | | | | | $ | 3,117,746 | | | | | $ | — | | | | | $ | 3,117,746 | | |
| | | Level 1 – Quoted Prices | | | Level 2 – Other Significant Observable Inputs | | | Level 3 – Significant Unobservable Inputs | | | Total | | ||||||||||||
AGFiQ Global Infrastructure ETF | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | | | | | | | | | | |
Commercial Services & Supplies | | | | $ | — | | | | | $ | 10,235 | | | | | $ | — | | | | | $ | 10,235 | | |
Construction & Engineering | | | | | 26,322 | | | | | | 112,480 | | | | | | — | | | | | | 138,802 | | |
Diversified Telecommunication Services | | | | | 10,937 | | | | | | 120,332 | | | | | | — | | | | | | 131,269 | | |
Electric Utilities | | | | | 410,559 | | | | | | 96,015 | | | | | | — | | | | | | 506,574 | | |
Gas Utilities | | | | | 50,515 | | | | | | 296,482 | | | | | | — | | | | | | 346,997 | | |
Independent Power and Renewable Electricity Producers | | | | | 101,710 | | | | | | 36,895 | | | | | | — | | | | | | 138,605 | | |
IT Services | | | | | — | | | | | | 15,542 | | | | | | — | | | | | | 15,542 | | |
Media | | | | | — | | | | | | 28,975 | | | | | | — | | | | | | 28,975 | | |
Metals & Mining | | | | | — | | | | | | 8,476 | | | | | | — | | | | | | 8,476 | | |
Multi-Utilities | | | | | 304,006 | | | | | | 147,602 | | | | | | — | | | | | | 451,608 | | |
Oil, Gas & Consumable Fuels | | | | | 843,940 | | | | | | 17,990 | | | | | | — | | | | | | 861,930 | | |
Road & Rail | | | | | 31,986 | | | | | | 38,685 | | | | | | — | | | | | | 70,671 | | |
Transportation Infrastructure | | | | | 33,196 | | | | | | 214,006 | | | | | | — | | | | | | 247,202 | | |
Other* | | | | | 955,477 | | | | | | — | | | | | | — | | | | | | 955,477 | | |
Exchange Traded Funds | | | | | 8,283 | | | | | | — | | | | | | — | | | | | | 8,283 | | |
Master Limited Partnerships | | | | | 20,100 | | | | | | — | | | | | | — | | | | | | 20,100 | | |
Total Investments | | | | $ | 2,797,031 | | | | | $ | 1,143,715 | | | | | $ | — | | | | | $ | 3,940,746 | | |
Fund | | | Average Contract Long | | | Average Contract Short | | ||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 13,928,613 | | | | | $ | (12,862,499) | | |
Fair Value of Derivative Instruments as of June 30, 2022 | | ||||||||||||||||||
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 | | | | | | | | | | $ | 3,893,144 | | | | | $ | 775,398 | | |
The Effect of Derivative Instruments on the Statements of Operations as of June 30, 2022 | | |||||||||||||||
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 | | | | | | | $ | 1,302,369 | | | | | $ | 1,483,696 | | |
| | | Year Ended June 30, 2022 | | | Year Ended June 30, 2021 | | ||||||||||||||||||||||||||||||
Fund | | | Distributions Paid from Ordinary Income | | | Distributions Paid from Net Long Term Capital Gains | | | Total Distributions | | | Distributions Paid from Ordinary Income | | | Distributions Paid from Net Long Term Capital Gains | | | Total Distributions | | ||||||||||||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
AGFiQ Global Infrastructure ETF | | | | | 129,114 | | | | | | — | | | | | | 129,114 | | | | | | 72,810 | | | | | | — | | | | | | 72,810 | | |
Fund | | | Undistributed Ordinary Income | | | Undistributed Long-Term Capital Gains | | | Accumulated Capital and Other Losses | | | Unrealized Appreciation/ (Depreciation)* | | ||||||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | — | | | | | $ | — | | | | | $ | 89,402,987 | | | | | $ | (27,064,431) | | |
AGFiQ Global Infrastructure ETF | | | | | 590 | | | | | | — | | | | | | (54,434) | | | | | | 48,724 | | |
Fund | | | Accumulated undistributed net investment income (loss) | | | Accumulated net realized gain (loss) on investments | | | Paid in Capital | | |||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 596,731 | | | | | $ | (1,638,769) | | | | | $ | 1,042,038 | | |
AGFiQ Global Infrastructure ETF | | | | | (22,226) | | | | | | (199,985) | | | | | | 222,211 | | |
Fund | | | Capital Loss Carryforwards | | | Utilized Capital Loss Carryforwards | | ||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 81,761,429 | | | | | $ | 984,469 | | |
AGFiQ Global Infrastructure ETF | | | | | 35,687 | | | | | | 70,732 | | |
Fund | | | Ordinary Late Year Loss Deferrals | | | Post-October Capital Losses | | | Total | | |||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | — | | | | | $ | 7,641,558 | | | | | $ | 7,641,558 | | |
AGFiQ Global Infrastructure ETF | | | | | — | | | | | | 18,747 | | | | | | 18,747 | | |
Fund | | | Management Fees Waived | | | Expense Reimbursements | | ||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 533,061 | | | | | $ | 79,479 | | |
AGFiQ Global Infrastructure ETF | | | | | 20,364 | | | | | | 218,928 | | |
| | | Expires June 30, | | | Total Eligible for Recoupment | | ||||||||||||||||||
Fund | | | 2023 | | | 2024 | | | 2025 | | |||||||||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 484,176 | | | | | $ | 750,711 | | | | | $ | 612,540 | | | | | $ | 1,847,427 | | |
AGFiQ Global Infrastructure ETF | | | | | 159,123 | | | | | | 234,788 | | | | | | 239,292 | | | | | | 633,203 | | |
Fund | | | Year Ended June 30, 2022 | | |||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 109,247 | | |
| | | Purchases | | | Sales | | ||||||||||||||||||
Fund | | | Long | | | Short Covers | | | Long | | | Short | | ||||||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 144,389,465 | | | | | $ | 176,220,349 | | | | | $ | 170,470,327 | | | | | $ | 259,537,367 | | |
AGFiQ Global Infrastructure ETF | | | | | 2,571,104 | | | | | | — | | | | | | 2,511,427 | | | | | | — | | |
Fund | | | Value | | | Realized Gain | | ||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 17,188,853 | | | | | $ | 1,912,496 | | |
AGFiQ Global Infrastructure ETF | | | | | 1,355,293 | | | | | | 219,059 | | |
Fund | | | Value | | |||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 106,205,581 | | |
AGFiQ Global Infrastructure ETF | | | | | 1,241,282 | | |
June 30, 2022
August 26, 2022
June 30, 2022
| | | Beginning Account Value 01/01/22 | | | Ending Account Value 06/30/22 | | | Expenses Paid During the Period* | | | Annualized Expense Ratio During Period | | ||||||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | ||||||||||||||||||||||||
Actual | | | | $ | 1,000.00 | | | | | $ | 1,227.00 | | | | | $ | 7.01 | | | | | | 1.27% | | |
Hypothetical | | | | $ | 1,000.00 | | | | | $ | 1,018.50 | | | | | $ | 6.36 | | | | | | 1.27% | | |
AGFiQ Global Infrastructure ETF(a) | | ||||||||||||||||||||||||
Actual | | | | $ | 1,000.00 | | | | | $ | 947.00 | | | | | $ | 2.17 | | | | | | 0.45% | | |
Hypothetical | | | | $ | 1,000.00 | | | | | $ | 1,022.56 | | | | | $ | 2.26 | | | | | | 0.45% | | |
Fund | | | QDI | | | DRD | | ||||||
AGFiQ Global Infrastructure ETF | | | | | 97.51% | | | | | | 38.65% | | |
Name, Address*, Year of Birth | | | Position(s) Held with Trust | | | Term of Office and Length of Time Served | | | Principal Occupation(s) During Past 5 Years | | | Number of Funds in Fund Complex Overseen by Trustee | | | Other Directorships Held by Trustee | |
Independent Trustees | | |||||||||||||||
Peter A. Ambrosini Year of Birth: 1943 | | | Trustee | | | Indefinite/ Since 2011 | | | Independent Consultant, Independent Directors of GMO Trust (2013 − Present); Independent Consultant, GMO Funds, (2011 to present); Principal, Dover Consulting LLC (2008 to 2015). | | | 4 | | | None | |
Joseph A. Franco Year of Birth: 1957 | | | Trustee | | | Indefinite/ Since 2011 | | | Professor of Law, Suffolk University Law School (1996 to present). | | | 4 | | | None | |
Richard S. Robie III Year of Birth: 1960 | | | Trustee | | | Indefinite/ Since 2011 | | | Chief Operating Officer, Eagle Capital Management (July 2017 to present); Consultant, Advent International (August 2010 to present). | | | 4 | | | None | |
Interested Trustee** | | | | | | | ||||||||||
William H. DeRoche Year of Birth: 1962 | | | Trustee; President | | | Indefinite/ Since 2020 Since 2012 | | | Chief Investment Officer, Adviser (April 2010 to present); Chief Compliance Officer, Adviser (June 2012 to March 2017). | | | 4 | | | None | |
Name, Address, Year of Birth | | | Position(s) Held with Trust | | | Term of Office and Length of Time Served | | | Principal Occupation(s) During the Past 5 Years | |
Joshua Hunter 211 Congress Street, 10th Floor, Suite 1010 Boston, MA 02110 Year of Birth: 1981 | | | Principal Financial Officer and Treasurer | | | Indefinite/ Since 2015 | | | Fund Principal Financial Officer, Foreside Management Services LLC (July 2015 to present). | |
Kenneth Kalina 3 Canal Plaza, Suite 100 Portland, ME 04101 Year of Birth: 1959 | | | Chief Compliance Officer | | | Indefinite/ Since 2017 | | | Fund Chief Compliance Officer, Foreside Fund Officer Services, LLC (June 2017 to present); Chief Compliance Officer, Henderson Global Funds (December 2005 to June 2017). | |
Kevin McCreadie 66 Wellington Street West 31st Floor Toronto, Ontario Canada M5K 1E9 Year of Birth: 1960 | | | Vice President | | | Indefinite/ Since 2017 | | | Director and Chief Investment Officer of AGF Investments America Inc, and Executive Vice President and Chief Investment Officer of AGF Management Limited (June 2014 to present); Senior Officer and/or Director of certain subsidiaries of AGF Management Limited (June 2014 to present); Managing Executive – Institutional Asset Management, PNC Financial Services Group Inc.’s (“PNC”) Asset Management Group (December 2008 to May 2014); President and Chief Investment Officer, PNC Capital Advisors, LLC, a division of PNC and President, PNC Funds Co. and President, PNC Alternative Investment Funds Co. (March 2007 to May 2014). | |
Damion Hendrickson 53 State Street, Suite 1308 Boston, MA 02109 Year of Birth: 1972 | | | Vice President | | | Indefinite/ Since 2020 | | | Managing Director/Head of U.S. Business of AGF Investments (March 2020 to present); Managing Director/Head of Sales U.S. and Latin America of HSBC Global Asset Management (December 2011 to February 2020) | |
Boston, MA 02109
www.agf.com/us
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.
As of the end of the period, June 30, 2022, the Registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR that applies to its principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”). During the period covered by this report, no substantive amendments were made to the Code of Ethics. During the period covered by this report, there have been no waivers granted under the Code of Ethics.
Item 3. Audit Committee Financial Expert.
The Board has determined that it does not include an audit committee financial expert, notwithstanding certain Trustees’ past experience overseeing the implementation of accounting controls and principles, due to the continuous modernization of accounting and tax requirements and the increasingly important role played by technology in the conduct of audits.
Item 4. Principal Accountant Fees and Services.
Aggregate fees for professional services rendered for AGF Investments Trust by PricewaterhouseCoopers LLP (“PwC”) for the fiscal years ended June 30, 2021 and June 30, 2022 were:
2021 | 2022 | |
Audit Fees (a) | $57,609 | $47,248 |
Audit Related Fees (b) | 0 | |
Tax Fees (c) | $28,827 | $20,782 |
All Other Fees (d) | 0 | |
Total: | $86,436 | $68,030 |
(a) | Audit Fees: These fees relate to professional services rendered by PwC for the audit of the Registrant’s annual financial statement or services normally provided by the independent registered public accounting firm in connection with statutory and regulatory filing or engagements. These services include the audits of the financial statements of the Registrant and issuance of consents. |
(b) | Audit Related Fees: These fees relate to assurance and related services by PwC related to audit services in connection with the June 30, 2021 and June 30, 2022 annual financial statement. |
(c) | Tax Fees: These fees relate to professional services rendered by PwC for tax compliance, tax advice and tax planning. |
(d) | All Other Fees: These fees relate to products and services provided by PwC other than those reported under “Audit Fees,” “Audit-Related Fees,” and “Tax Fees” above. |
(e)(1) | Per Rule 2-01(c)(7)(A) and the charter of the Registrant’s Audit Committee, the Audit Committee approves and recommends the principal accountant for the Registrant, pre-approves (i) the principal accountant’s provision of all audit and permissible non-audit services to the Registrant (including the fees and other compensation to be paid to the principal accountant), and (ii) the principal accountant’s provision of any permissible non-audit services to the Registrant’s investment adviser (the “Adviser”), sub-adviser or any entity controlling, controlled by, or under common control with any investment adviser or sub-adviser, if the engagement relates directly to the operations of the financial reporting of the Trust. |
(e)(2) | 0% of services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. |
(f) | If greater than 50%, disclose the percentage of hours expended on the principal accountant’s engagement to audit the Registrant’s financial statements for the most recent fiscal year that were attributable to work performed by persons other than the principal accountant’s full-time, permanent employees: Not Applicable. |
(g) | Disclose the aggregate non-audit fees billed by the Registrant’s accountant for services rendered to the Registrant, and rendered to the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant for the fiscal year ended June 30, 2021 and June 30, 2022: $28,827 and $20,782, respectively. |
(h) | The Registrant’s Audit Committee has considered that the provision of non-audit services that were rendered to the Registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
(i) | A registrant identified by the Commission pursuant to Section 104(i)(2)(A) of the Sarbanes-Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for the preparation of the audit report on its financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board has determined it is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction must electronically submit to the Commission on a supplemental 6 basis documentation that establishes that the registrant is not owned or controlled by a governmental entity in the foreign jurisdiction. The registrant must submit this documentation on or before the due date for this form. A registrant that is owned or controlled by a foreign governmental entity is not required to submit such documentation. |
(j) | A registrant that is a foreign issuer, as defined in 17 CFR 240.3b-4, identified by the Commission pursuant to Section 104(i)(2)(A) of the Sarbanes-Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for the preparation of the audit report on its financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board has determined it is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction, for each year in which the registrant is so identified, must disclose: |
(1) | That, for the immediately preceding annual financial statement period, a registered public accounting firm that the PCAOB was unable to inspect or investigate completely, because of a position taken by an authority in the foreign jurisdiction, issued an audit report for the registrant; |
(2) | The percentage of shares of the registrant owned by governmental entities in the foreign jurisdiction in which the registrant is incorporated or otherwise organized; |
(3) | Whether governmental entities in the applicable foreign jurisdiction with respect to that registered public accounting firm have a controlling financial interest with respect to the registrant; |
(4) | The name of each official of the Chinese Communist Party who is a member of the board of directors of the registrant or the operating entity with respect to the registrant; and |
(5) | Whether the articles of incorporation of the registrant (or equivalent organizing document) contains any charter of the Chinese Communist Party, including the text of any such charter. |
Not Applicable.
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. |
(1) | Code of Ethics – Filed herewith. |
(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. |
(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 | ||
September 2, 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 | ||
September 2, 2022 |
By: | /s/ Joshua Hunter | |
Joshua Hunter | ||
Principal Financial Officer and Treasurer | ||
September 2, 2022 |