SPECTRUM LOW VOLATILITY FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) | |||||||
December 31, 2023 | |||||||
Shares | Fair Value | ||||||
OPEN END FUNDS — 77.3% | |||||||
FIXED INCOME - 77.3% | |||||||
3,330,256 | AB High Income Fund, Inc., Class Z | $ 23,111,977 | |||||
3,259,384 | BlackRock High Yield Bond Portfolio, Class K | 22,946,061 | |||||
1,480,716 | Nuveen Preferred Securities Fund, Class I | 22,255,158 | |||||
3,388,482 | PIMCO High Yield Fund, Institutional Class | 27,073,973 | |||||
2,669,251 | PIMCO High Yield Municipal Bond Fund, Institutional Class | 22,635,247 | |||||
2,626,426 | PIMCO Preferred and Capital Security Fund, Institutional Class | 23,243,867 | |||||
1,469,907 | Principal Spectrum Preferred and Capital, Class R6 | 12,964,583 | |||||
4,198,855 | Vanguard High-Yield Corporate Fund, Admiral Class | 22,757,795 | |||||
176,988,661 | |||||||
TOTAL OPEN END FUNDS (Cost $169,487,140) | 176,988,661 | ||||||
SHORT-TERM INVESTMENTS — 8.0% | |||||||
MONEY MARKET FUNDS - 8.0% | |||||||
18,175,319 | Fidelity Money Market Government Portfolio Class I, 5.24% (Cost $18,175,319)(a) | 18,175,319 | |||||
TOTAL INVESTMENTS - 85.3% (Cost $187,662,459) | $ 195,163,980 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 14.7% | 33,701,369 | ||||||
NET ASSETS - 100.0% | $ 228,865,349 | ||||||
(a) | Rate disclosed is the seven day effective yield as of December 31, 2023. |
TOTAL RETURN SWAPS | ||||||
Number of Shares | Reference Entity | Notional Amount at December 31, 2023 | Interest Rate Payable (1) | Termination Date | Counterparty | Unrealized Appreciation (Depreciation) |
Long Position: | ||||||
1,791,045 | BrandywindGLOBAL High Yield Fund Class IS* | $ 18,143,284 | USD SOFR plus 165 bp | 12/14/2026 | BRC | $ - |
1,924,722 | Cohen & Steers Preferred Securities and Income Fund Class F* | 22,673,225 | USD-Federal Funds-H.15 plus 165 bp | 1/31/2025 | CIBC | - |
5,142,405 | Credit Suisse Floating Rate High Income Fund Institujtional Class* | 32,757,120 | USD-Federal Funds-H.15 plus 165 bp | 8/30/2024 | CIBC | - |
13,048,780 | Franklin High Income Fund Class R6* | 22,313,415 | USD SOFR plus 165 bp | 11/16/2026 | BRC | - |
1,308,523 | Invesco High Yield Municipal Fund Class R6* | 11,174,790 | USD SOFR plus 165 bp | 12/1/2026 | BRC | - |
3,292,308 | Invesco Rochester Municipal Opportunities Fund Class R6* | 22,716,923 | USD-Federal Funds-H.15 plus 165 bp | 12/16/2024 | CIBC | - |
128,500 | iShares JP Morgan USD Emerging Markets Bond ETF | 11,444,210 | O/N USD SOFR plus 35 bp | 1/23/2025 | BRC | (54,404) |
168,200 | iShares National Muni Bond ETF | 18,234,562 | O/N USD SOFR plus 35 bp | 12/6/2024 | BRC | 763,501 |
1,520,967 | Nuveen High Yield Municipal Bond Fund Class R6* | 22,555,935 | USD SOFR plus 165 bp | 11/20/2026 | CIBC | - |
Total: | $ 709,097 | |||||
BRC - Barclays Capital | ||||||
CIBC - Canadian Imperial Bank of Commerce | ||||||
O/N - Overnight, Daily Fixings | ||||||
SOFR - Secured Overnight Financing Rate | ||||||
(1) | Interest rate is based upon predetermined notional amounts, which may be a multiple of the number of shares plus a specified spread. | |||||
* Swap contract reset at December 31, 2023. | ||||||
SPECTRUM ACTIVE ADVANTAGE FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) | |||||||
December 31, 2023 | |||||||
Shares | Fair Value | ||||||
COMMON STOCKS — 14.2% | |||||||
AUTOMOTIVE - 1.3% | |||||||
395 | Tesla, Inc.(a) | $ 98,150 | |||||
INTERNET MEDIA & SERVICES - 1.3% | |||||||
279 | Meta Platforms, Inc., Class A(a) | 98,755 | |||||
SEMICONDUCTORS - 9.1% | |||||||
743 | Advanced Micro Devices, Inc.(a) | 109,526 | |||||
133 | ASML Holding N.V. - ADR | 100,670 | |||||
168 | KLA Corporation | 97,658 | |||||
1,719 | Marvell Technology, Inc. | 103,673 | |||||
1,106 | Microchip Technology, Inc. | 99,739 | |||||
193 | NVIDIA Corporation | 95,577 | |||||
453 | NXP Semiconductors N.V. | 104,045 | |||||
710,888 | |||||||
SOFTWARE - 2.5% | |||||||
151 | Adobe, Inc.(a) | 90,087 | |||||
479 | Zscaler, Inc.(a) | 106,127 | |||||
196,214 |
TOTAL COMMON STOCKS (Cost $1,014,894) | 1,104,007 | ||||||
Shares | Fair Value | ||||||
EXCHANGE-TRADED FUNDS — 33.6% | |||||||
EQUITY - 23.6% | |||||||
5,300 | First Trust NASDAQ-100 Equal Weighted Index Fund | 622,485 | |||||
3,900 | Invesco S&P 500 Equal Weight ETF | 615,420 | |||||
19,500 | VanEck Gold Miners ETF | 604,695 | |||||
1,842,600 | |||||||
FIXED INCOME - 10.0% | |||||||
27,900 | Invesco Senior Loan ETF | 590,922 | |||||
3,600 | VanEck High Yield Muni ETF | 185,868 | |||||
776,790 | |||||||
SPECTRUM ACTIVE ADVANTAGE FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
December 31, 2023 | |||||||
Shares | Fair Value | ||||||
EXCHANGE-TRADED FUNDS — 33.6% (Continued) | |||||||
FIXED INCOME - 10.0% (Continued) | |||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $2,551,341) | $ 2,619,390 | ||||||
Principal Amount ($) | Coupon Rate (%) | Maturity | |||||
U.S. GOVERNMENT & AGENCIES — 42.0% | |||||||
U.S. TREASURY BILLS — 42.0% | |||||||
315,000 | United States Treasury Bill(b) | 2.6500 | 01/04/24 | 314,909 | |||
1,038,000 | United States Treasury Bill(b) | 4.7700 | 01/18/24 | 1,035,566 | |||
557,000 | United States Treasury Bill(b) | 5.1500 | 02/22/24 | 552,863 | |||
1,389,000 | United States Treasury Bill(b) | 5.2100 | 03/28/24 | 1,371,772 | |||
3,275,110 | |||||||
TOTAL U.S. GOVERNMENT & AGENCIES (Cost $3,274,748) | 3,275,110 | ||||||
Shares | |||||||
SHORT-TERM INVESTMENTS — 5.0% | |||||||
MONEY MARKET FUNDS - 5.0% | |||||||
194,401 | Fidelity Money Market Government Portfolio Class I, 5.24%(c) | 194,401 | |||||
194,400 | First American Government Obligations Fund, Class Z, 5.24%(c) | 194,400 | |||||
TOTAL MONEY MARKET FUNDS (Cost $388,801) | 388,801 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $388,801) | 388,801 | ||||||
TOTAL INVESTMENTS - 94.8% (Cost $7,229,784) | $ 7,387,308 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 5.2% | 403,948 | ||||||
NET ASSETS - 100.0% | $ 7,791,256 | ||||||
OPEN FUTURES CONTRACTS | ||||||||||
Number of Contracts | Open Long Futures Contracts | Expiration | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
2 | CBOT 10 Year US Treasury Note | 3/19/2024 | $ 219,797 | $ 225,781 | $ 5,984 | |||||
3 | CME E-Mini NASDAQ 100 Index | 3/15/2024 | 978,669 | 1,021,410 | 42,741 | |||||
8 | CME E-Mini Russell 2000 Index | 3/15/2024 | 825,840 | 819,080 | (6,760) | |||||
5 | CME E-Mini Standard & Poor's 500 Index | 3/15/2024 | 1,172,210 | 1,205,000 | 32,790 | |||||
2 | CME E-Mini Standard & Poor's MidCap 400 Index | 3/15/2024 | 532,090 | 561,900 | 29,810 | |||||
3 | CME E-Mini Russell 2000 Index | 3/15/2024 | 333,390 | 337,860 | 4,470 | |||||
23 | ICE US MSCI Emerging Markets EM Index | 3/15/2024 | 1,136,200 | 1,188,755 | 52,555 | |||||
TOTAL FUTURES CONTRACTS | $ 161,590 | |||||||||
ADR | - American Depositary Receipt | |||||||||
ETF | - Exchange-Traded Fund | |||||||||
NV | - Naamioze Vennootschap |
(a) | Non-income producing security. |
(b) | Zero coupon bond; rate disclosed is the effective yield as of December 31, 2023. |
(c) | Rate disclosed is the seven day effective yield as of December 31, 2023. |
SPECTRUM UNCONSTRAINED FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) | |||||||
December 31, 2023 | |||||||
Shares | Fair Value | ||||||
OPEN END FUNDS — 58.2% | |||||||
FIXED INCOME - 58.2% | |||||||
122,013 | Braddock Multi-Strategy Income Fund, Institutional Class | $ 784,541 | |||||
74,089 | Buffalo High Yield Fund, Inc., Institutional Class | 780,157 | |||||
41,484 | First Trust Preferred Securities and Income Fund | 784,879 | |||||
78,199 | Holbrook Structured Income Fund, Class I | 764,003 | |||||
128,645 | PIMCO Emerging Markets Local Currency and Bond, Institutional Class | 774,443 | |||||
92,885 | Segall Bryant & Hamill Quality High Yield Fund | 784,874 | |||||
4,672,897 | |||||||
TOTAL OPEN END FUNDS (Cost $4,522,859) | 4,672,897 | ||||||
Principal Amount ($) | Coupon Rate (%) | Maturity | |||||
U.S. GOVERNMENT & AGENCIES — 25.0% | |||||||
U.S. TREASURY BILLS — 25.0% | |||||||
314,000 | United States Treasury Bill(a) | 4.9300 | 01/25/24 | 312,943 | |||
304,000 | United States Treasury Bill(a) | 5.2000 | 02/29/24 | 301,424 | |||
1,408,000 | United States Treasury Bill(a) | 5.2100 | 03/28/24 | 1,390,538 | |||
2,004,905 | |||||||
TOTAL U.S. GOVERNMENT & AGENCIES (Cost $2,004,716) | 2,004,905 | ||||||
Shares | |||||||
SHORT-TERM INVESTMENTS — 10.1% | |||||||
MONEY MARKET FUNDS - 10.1% | |||||||
406,550 | Fidelity Money Market Government Portfolio Class I, 5.24%(b) | 406,550 | |||||
406,550 | First American Government Obligations Fund, Class Z, 5.24%(b) | 406,550 | |||||
TOTAL MONEY MARKET FUNDS (Cost $813,100) | 813,100 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $813,100) | 813,100 | ||||||
TOTAL INVESTMENTS - 93.3% (Cost $7,340,675) | $ 7,490,902 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 6.7% | 541,508 | ||||||
NET ASSETS - 100.0% | $ 8,032,410 | ||||||
(a) Zero coupon bond; rate disclosed is the effective yield as of December 31, 2023.
(b) Rate disclosed is the seven day effective yield as of December 31, 2023.
TOTAL RETURN SWAPS | |||||||||
Number of Shares | Reference Entity | Notional Amount at December 31, 2023 | Interest Rate Payable (1) | Termination Date | Counterparty | Unrealized Appreciation (Depreciation) | |||
Long Position: | |||||||||
175,300 | Invesco Senior Loan ETF | $ 3,712,854 | O/N USD SOFR plus 35 bp | 12/4/2024 | BRC | $ 7,167 | |||
100 | iShares iBoxx $ High Yield Corporate Bond ETF | 7,739 | O/N USD SOFR plus 35 bp | 1/10/2025 | BRC | 4,459 | |||
25,300 | iShares iBoxx $ High Yield Corporate Bond ETF | 1,957,967 | O/N USD SOFR plus 35 bp | 1/13/2025 | BRC | 21,105 | |||
13,400 | iShares JPMorgan USD Emerging Markets Bond ETF | 1,193,404 | O/N USD SOFR plus 35 bp | 1/24/2025 | BRC | (3,993) | |||
62,900 | iShares Preferred and Income Securities ETF | 1,961,851 | O/N USD SOFR plus 35 bp | 1/13/2025 | BRC | 24,129 | |||
15,400 | iShares Preferred and Income Securities ETF | 480,326 | O/N USD SOFR plus 35 bp | 1/24/2025 | BRC | (2,924) | |||
5,500 | SPDR Bloomberg Convertible Securities ETF | 396,825 | O/N USD SOFR plus 35 bp | 1/16/2025 | BRC | 4,634 | |||
5,600 | SPDR Bloomberg Convertible Securities ETF | 404,040 | O/N USD SOFR plus 35 bp | 1/24/2025 | BRC | (770) | |||
15,600 | VanEck High Yield Muni ETF | 805,428 | O/N USD SOFR plus 35 bp | 1/2/2025 | BRC | 15,128 | |||
15,500 | VanEck High Yield Muni ETF | 800,265 | O/N USD SOFR plus 35 bp | 1/24/2025 | BRC | (150) | |||
$ 68,785 | |||||||||
BRC - Barclays Capital | |||||||||
SOFR - Secured Overnight Financing Rate | |||||||||
O/N - Overnight, Daily Fixings | |||||||||
(1) | Interest rate is based upon predetermined notional amounts, which may be a multiple of the number of shares plus a specified spread. |