HUNDREDFOLD SELECT ALTERNATIVE FUND | ||||||||
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | ||||||||
November 30, 2023 | ||||||||
Shares | Fair Value | |||||||
OPEN END FUNDS — 65.9% | ||||||||
FIXED INCOME - 65.9% | ||||||||
1,904,762 | American High-Income Trust, Class F-3 | $ 17,523,810 | ||||||
2,078,385 | BlackRock High Yield Municipal Fund, Class K | 17,998,811 | ||||||
1,539,138 | Cohen & Steers Preferred Securities and Income, Class F | 17,607,740 | ||||||
1,111,411 | Holbrook Income Fund, Class I | 10,769,574 | ||||||
1,970,046 | JPMorgan Preferred and Income Securities Fund, R6 Shares | 17,494,009 | ||||||
1,816,262 | Lord Abbett Short Duration High Yield Fund, Class I | 17,508,765 | ||||||
3,239,171 | SEI Institutional Managed Trust, Class Y | 17,459,134 | ||||||
116,361,843 | ||||||||
TOTAL OPEN END FUNDS (Cost $114,471,286) | 116,361,843 | |||||||
Principal Amount ($) | Coupon Rate (%) | Maturity | ||||||
U.S. GOVERNMENT & AGENCIES — 9.2% | ||||||||
U.S. TREASURY BILL — 9.2% | ||||||||
16,462,000 | United States Treasury Bill(a) | 5.2800 | 02/01/24 | 16,313,220 | ||||
TOTAL U.S. GOVERNMENT & AGENCIES (Cost $16,314,574) | 16,313,220 | |||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS — 8.8% | ||||||||
MONEY MARKET FUNDS - 8.8% | ||||||||
10,792,754 | Fidelity Money Market Government Portfolio Institutional Class, 5.24%(b) | 10,792,754 | ||||||
4,692,140 | First American Government Obligations Fund Class X, 5.28%(b) (c) | 4,692,140 | ||||||
TOTAL MONEY MARKET FUNDS (Cost $15,484,894) | 15,484,894 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $15,484,894) | 15,484,894 | |||||||
TOTAL INVESTMENTS - 83.9% (Cost $146,270,754) | $ 148,159,957 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 16.1% | 28,358,338 | |||||||
NET ASSETS - 100.0% | $ 176,518,295 | |||||||
HUNDREDFOLD SELECT ALTERNATIVE FUND | |||||||
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
November 30, 2023 | |||||||
OPEN FUTURES CONTRACTS | |||||||
Number of Contracts | Open Long Futures Contracts | Expiration | Notional Amount | Unrealized Appreciation (Depreciation) | |||
159 | CBOT 10 Year US Treasury Note | 03/19/2024 | $ 17,457,703 | $ (7,461 ) | |||
28 | CME E-Mini NASDAQ 100 Index Futures | 12/15/2023 | 8,951,880 | 255,525 | |||
288 | CME E-Mini Russell 2000 Index Futures | 12/15/2023 | 26,095,680 | 3,230 | |||
39 | CME E-Mini Standard & Poor's 500 Index Futures | 12/15/2023 | 8,924,663 | 341,250 | |||
89 | COMEX Gold 100 Troy Ounces Futures(c) | 02/27/2024 | 18,309,080 | 167,020 | |||
285 | ICE US MSCI Emerging Markets EM Index Futures | 12/15/2023 | 14,066,175 | 177,760 | |||
TOTAL FUTURES CONTRACTS | $ 937,324 | ||||||
(a) | Zero coupon bond; rate disclosed is the effective yield as of November 30, 2023. |
(b) | Rate disclosed is the seven-day effective yield as of November 30, 2023. |
(c) | All or a portion of this investment is a holding of the Hundredfold Select Alternative Fund Limited (HFSA Fund Limited). |
TOTAL RETURN SWAPS | |||||||||
Number of Shares | Reference Entity | Notional Amount at November 30, 2023 | Interest Rate Payable(1) | Termination Date | Counterparty | Unrealized Appreciation | |||
Long Position: | |||||||||
5,088,235 | Invesco High Yield Fund Class R6 | $ 17,452,647 | USD-SOFR plus 165 bp | 11/16/2026 | BRC | $ 153,308 | |||
3,882,175 | Invesco Senior Floating Rate Fund Class R6 | 25,700,000 | USD-SOFR plus 165 bp | 11/3/2026 | BRC | 47,670 | |||
233,700 | iShares iBoxx $ High Yield Corporate Bond ETF | 17,693,427 | USD-SOFR plus 35 bp | 12/4/2024 | BRC | 383,614 | |||
133,300 | iShares National Muni Bond ETF | 14,199,116 | USD-SOFR plus 35 bp | 12/19/2024 | BRC | 340,695 | |||
1,240,143 | Nuveen High Yield Municipal Bond Fund Class R6 | 17,920,072 | USD-Federal Funds-H.15 plus 165 bp | 12/16/2024 | CIBC | 606,861 | |||
460,800 | Vanguard Tax-Exempt Bond Index Fund ETF | 23,044,608 | USD-SOFR plus 35 bp | 12/19/2024 | BRC | 498,661 | |||
Total: | $ 2,030,809 | ||||||||
BRC - Barclays Capital | |||||||||
CIBC - Canadian Imperial Bank of Commerce | |||||||||
SOFR - Secured Overnight Financing Rate | |||||||||
(1) Interest rate is based upon predeterminied notional amounts, which may be a multiple of the number of shares plus a specified spread. |