SPECTRUM LOW VOLATILITY FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) | |||||||
June 30, 2024 | |||||||
Shares | Fair Value | ||||||
OPEN END FUNDS — 66.9% | |||||||
FIXED INCOME - 66.9% | |||||||
2,240,735 | American High-Income Trust, Class F-3 | $ 21,421,429 | |||||
1,263,695 | Axonic Strategic Income Fund, Class I | 11,335,344 | |||||
4,580,341 | BlackRock High Yield Bond Portfolio, Class K | 32,199,794 | |||||
1,194,354 | BlackRock High Yield Municipal Fund, Class K | 10,940,282 | |||||
2,320,451 | Fidelity Advisor Floating Rate High Income Fund, Class Z | 21,487,371 | |||||
2,571,354 | First Eagle Funds - First Eagle High Income Fund, Class I | 21,985,080 | |||||
615,763 | Holbrook Structured Income Fund, Class I | 6,046,797 | |||||
3,356,799 | JPMorgan High Yield Fund, Class R6 | 21,416,377 | |||||
146,832,474 | |||||||
TOTAL OPEN-END FUNDS (Cost $146,316,499) | 146,832,474 | ||||||
Principal Amount ($) | Coupon Rate (%) | Maturity | |||||
U.S. GOVERNMENT & AGENCIES — 7.6% | |||||||
U.S. TREASURY BILL — 7.6% | |||||||
16,736,000 | United States Treasury Bill(a) | 5.0400 | 07/18/24 | 16,694,469 | |||
TOTAL U.S. GOVERNMENT & AGENCIES (Cost $16,694,319) | 16,694,469 | ||||||
Shares | |||||||
SHORT-TERM INVESTMENTS — 8.3% | |||||||
MONEY MARKET FUNDS - 8.3% | |||||||
18,132,255 | Fidelity Government Portfolio, Class I, 5.20% (Cost $18,132,255)(b) | 18,132,255 | |||||
TOTAL INVESTMENTS - 82.8% (Cost $181,143,073) | $ 181,659,198 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 17.2% | 37,652,547 | ||||||
NET ASSETS - 100.0% | $ 219,311,745 | ||||||
(a) | Zero coupon bond; rate disclosed is the effective yield as of June 30, 2024. |
(b) | Rate disclosed is the seven-day effective yield as of June 30, 2024. |
SPECTRUM LOW VOLATILITY FUND | ||||
SCHEDULE OF INVESTMENTS (Unaudited)(Continued) June 30,2024 | ||||
TOTAL RETURN SWAPS | ||||||||
Number of Shares | Reference Entity | Notional Amount at June 30, 2024 | Interest Rate Payable (1) | Termination Date | Counterparty | Unrealized Appreciation (Depreciation) | ||
Long Position: | ||||||||
2,341,357 | American Beacon SiM High Yield Opportunities Fund Class R5* | $ 21,353,173 | USD SOFR plus 165 bp | 5/17/2027 | BRC | $ - | ||
1,151,833 | Aristotle Floating Rate Income Fund Class I* | 10,965,445 | USD FED plus 165 bp | 3/31/2025 | CIBC | - | ||
2,571,650 | Credit Suisse Floating Rate High Income Fund Institutional Class* | 16,304,263 | USD SOFR plus 165 bp | 11/3/2026 | BRC | - | ||
315,790 | Credit Suisse Strategic Income Fund Class I* | 2,993,684 | USD SOFR plus 165 bp | 6/14/2027 | BRC | - | ||
2,246,835 | MainStay MacKay Short Duration High Income Fund Class I* | 21,300,000 | USD SOFR plus 165 bp | 5/3/2027 | BRC | - | ||
607,224 | Nuveen Floating Rate Income Fund Class R6* | 11,081,831 | USD FED plus 165 bp | 6/30/2025 | CIBC | - | ||
1,434,316 | Nuveen High Yield Municipal Bond Fund Class R6* | 21,873,324 | USD SOFR plus 165 bp | 5/10/2027 | BRC | - | ||
708,140 | Nuveen High Yield Municipal Bond Fund Class R6* | 10,799,140 | USD SOFR plus 165 bp | 5/17/2027 | BRC | - | ||
700,720 | Nuveen Preferred Securities & Income Fund Class R6* | 10,749,050 | USD SOFR plus 165 bp | 5/7/2027 | BRC | - | ||
2,075,829 | PIMCO Income Fund Institutional Class* | 21,754,692 | USD SOFR plus 165 bp | 6/7/2027 | BRC | - | ||
2,402,229 | PIMCO Preferred and Capital Securities Fund Institutional Class* | 21,860,283 | USD FED plus 165 bp | 6/30/2025 | CIBC | - | ||
Total: | $ - | |||||||
BRC - Barclays Capital | ||||||||
CIBC - Canadian Imperial Bank of Commerce | ||||||||
FED - Federal Funds Effective Rate | ||||||||
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 June 30, 2024. |
SPECTRUM ACTIVE ADVANTAGE FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) | |||||||
June 30, 2024 | |||||||
Shares | Fair Value | ||||||
EXCHANGE-TRADED FUND — 20.7% | |||||||
EQUITY - 20.7% | |||||||
23,000 | Invesco S&P 500 Low Volatility ETF | $ 1,493,850 | |||||
TOTAL EXCHANGE-TRADED FUND (Cost $1,514,051) | 1,493,850 | ||||||
Principal Amount ($) | Coupon Rate (%) | Maturity | |||||
U.S. GOVERNMENT & AGENCIES — 49.1% | |||||||
U.S. TREASURY BILLS — 49.1% | |||||||
102,000 | United States Treasury Bill(a) | 4.8300 | 07/11/24 | 101,852 | |||
422,000 | United States Treasury Bill(a) | 5.0400 | 07/18/24 | 420,953 | |||
145,000 | United States Treasury Bill(a) | 5.1600 | 08/01/24 | 144,348 | |||
1,318,000 | United States Treasury Bill(a) | 5.2300 | 08/22/24 | 1,308,063 | |||
1,598,000 | United States Treasury Bill(a) | 5.2800 | 09/19/24 | 1,579,505 | |||
3,554,721 | |||||||
TOTAL U.S. GOVERNMENT & AGENCIES (Cost $3,554,876) | 3,554,721 | ||||||
Shares | |||||||
SHORT-TERM INVESTMENTS — 25.1% | |||||||
MONEY MARKET FUNDS - 25.1% | |||||||
908,407 | Fidelity Government Portfolio, Class I, 5.20%(b) | 908,407 | |||||
908,406 | First American Government Obligations Fund, Class Z, 5.19%(b) | 908,406 | |||||
TOTAL MONEY MARKET FUNDS (Cost $1,816,813) | 1,816,813 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,816,813) | 1,816,813 | ||||||
TOTAL INVESTMENTS - 94.9% (Cost $6,885,740) | $ 6,865,384 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 5.1% | 369,059 | ||||||
NET ASSETS - 100.0% | $ 7,234,443 | ||||||
OPEN FUTURES CONTRACTS | |||||||
Number of Contracts | Open Long Futures Contracts | Expiration | Notional Amount | Unrealized (Depreciation) | |||
7 | CME E-Mini NASDAQ 100 Index | 09/23/2024 | $2,789,815 | $ (8,388 ) | |||
17 | CME E-Mini Standard & Poor's 500 Index | 09/23/2024 | 4,693,275 | (14,608 ) | |||
TOTAL FUTURES CONTRACTS | $ (22,996 ) | ||||||
SPECTRUM ACTIVE ADVANTAGE FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) | |||||||
June 30, 2024 | |||||||
OPEN FUTURES CONTRACTS (Continued) | |||||||
Number of Contracts | Open Short Futures Contracts | Expiration | Notional Amount | Unrealized (Depreciation) | |||
5 | CME E-Mini Standard & Poor's MidCap 400 Index | 09/23/2024 | $1,479,050 | $ (4,650 ) | |||
TOTAL FUTURES CONTRACTS | |||||||
ETF | - Exchange-Traded Fund |
(a) | Zero coupon bond, rate disclosed is the effective yield as of June 30, 2024. |
(b) | Rate disclosed is the seven-day effective yield as of June 30, 2024. |
SPECTRUM UNCONSTRAINED FUND | |||||||
SCHEDULE OF INVESTMENTS (Unaudited) | |||||||
June 30, 2024 | |||||||
Shares | Fair Value | ||||||
OPEN END FUNDS — 61.1% | |||||||
FIXED INCOME - 61.1% | |||||||
125,268 | Bramshill Multi Strategy Income Fund, Institutional Class | $ 819,257 | |||||
77,003 | Buffalo High Yield Fund, Inc., Institutional Class | 815,461 | |||||
191,716 | First Eagle Funds - First Eagle High Income Fund, Class I | 1,639,172 | |||||
165,581 | Holbrook Structured Income Fund, Class I | 1,626,003 | |||||
4,899,893 | |||||||
TOTAL OPEN-END FUNDS (Cost $4,849,785) | 4,899,893 | ||||||
Principal Amount ($) | Coupon Rate (%) | Maturity | |||||
U.S. GOVERNMENT & AGENCIES — 13.3% | |||||||
U.S. TREASURY BILLS — 13.3% | |||||||
122,000 | United States Treasury Bill(a) | 5.100 | 07/25/24 | 121,575 | |||
952,000 | United States Treasury Bill(a) | 5.230 | 08/22/24 | 944,823 | |||
1,066,398 | |||||||
TOTAL U.S. GOVERNMENT & AGENCIES (Cost $1,066,426) | 1,066,398 | ||||||
Shares | |||||||
SHORT-TERM INVESTMENTS — 4.8% | |||||||
MONEY MARKET FUNDS - 4.8% | |||||||
190,183 | Fidelity Government Portfolio, Class I, 5.20%(b) | 190,183 | |||||
190,184 | First American Government Obligations Fund, Class Z, 5.19%(b) | 190,184 | |||||
TOTAL MONEY MARKET FUNDS (Cost $380,367) | 380,367 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $380,367) | 380,367 | ||||||
TOTAL INVESTMENTS - 79.2% (Cost $6,296,578) | $ 6,346,658 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 20.8% | 1,666,916 | ||||||
NET ASSETS - 100.0% | $ 8,013,574 | ||||||
(a) | Zero coupon bond; rate disclosed is the effective yield as of June 30, 2024. |
(b) | Rate disclosed is the seven-day effective yield as of June 30, 2024. |
SPECTRUM UNCONSTRAINED FUND |
SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
June 30, 2024 |
TOTAL RETURN SWAPS | |||||||||
Number of Shares | Reference Entity | Notional Amount at June 30, 2024 | Interest Rate Payable (1) | Termination Date | Counterparty | Unrealized (Depreciation) | |||
Long Position: | |||||||||
26,200 | iShares iBoxx $ High Yield Corporate Bond ETF | $2,021,068 | USD Overnight Bank Funding Rate plus 55 bp | 4/1/2025 | Nomura | $ (17,293) | |||
16,700 | SPDR Bloomberg Convertible Securities ETF | 1,203,402 | USD Overnight Bank Funding Rate plus 55 bp | 4/1/2025 | Nomua | (1,841) | |||
$ (19,134) | |||||||||
OBFR - Overnight Bank Funding Rate | |||||||||
(1) | Interest rate is based upon predetermined notional amounts, which may be a multiple of the number of shares plus a specified spread. |