Stone Ridge Trust N-CSR Certified annual shareholder report (management investment company)

As filed with the Securities and Exchange Commission on July 31, 2017.

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 811-22761

Stone Ridge Trust

(Exact name of registrant as specified in charter)

510 Madison Avenue, 21^st Floor

New York, NY 10022

(Address of principal executive offices) (Zip code)

Stone Ridge Asset Management LLC

510 Madison Avenue, 21^st Floor

New York, NY 10022

(Name and address of agent for service)

(855) 609-3680

Registrant’s telephone number, including area code

Date of fiscal year end: May 31, 2017

Date of reporting period: May 31, 2017

Item 1. Reports to Stockholders.

Annual Report

May 31, 2017

Elements U.S. Portfolio

Elements U.S. Small Cap Portfolio

Elements International Portfolio

Elements International Small Cap Portfolio

Table of Contents

Portfolio Holdings Presentation (Unaudited)	8
Schedules of Investments
Elements U.S. Portfolio	9
Elements U.S. Small Cap Portfolio	16
Elements International Portfolio	28
Elements International Small Cap Portfolio	36
Financial Statements and Notes	52
Report of Independent Registered Public Accounting Firm	72
Expense Examples (Unaudited)	73
Additional Information (Unaudited)	75

ELEMENTS U.S. PORTFOLIO

PERFORMANCE DATA (Unaudited)

This chart assumes an initial gross investment of $10,000 made on April 3, 2017 (commencement of operations). Returns shown reflect the reinvestment of all dividends, and are net of fees and expenses, and reflect voluntary waivers and reimbursement of all of the Portfolio’s fees and expenses by Stone Ridge Asset Management (“Stone Ridge”). Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. In the absence of fee waivers and reimbursements, which may be discontinued at any time, returns for the Portfolio would have been lower. Past performance is not predictive of future performance. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than the original cost.

The Russell 1000 Index is an unmanaged index that measures the performance of the stocks of the large-capitalization segment of the U.S. equity universe. Index figures do not reflect any deduction of fees, taxes or expenses, and are not available for investment. Returns shown for the index include reinvestment of all dividends.

TOTAL RETURNS (FOR PERIOD ENDED MAY 31, 2017)(1)
	Since Inception (4/3/17)
Elements U.S. Portfolio		1.20%
Russell 1000 Index		2.35%

(1) Portfolio return is less than one year so return is not annualized.

Elements Portfolios Annual Report May 31, 2017

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ELEMENTS U.S. SMALL CAP PORTFOLIO

PERFORMANCE DATA (Unaudited)

This chart assumes an initial gross investment of $10,000 made on April 3, 2017 (commencement of operations). Returns shown reflect the reinvestment of all dividends, and are net of fees and expenses, and reflect voluntary waivers and reimbursement of all of the Portfolio’s fees and expenses by Stone Ridge. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. In the absence of fee waivers and reimbursements, which may be discontinued at any time, returns for the Portfolio would have been lower. Past performance is not predictive of future performance. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than the original cost.

The Russell 2000 Index is an unmanaged index that measures the performance of the small-capitalization segment of the U.S. equity universe. Index figures do not reflect any deduction of fees, taxes or expenses, and are not available for investment. Returns shown for the index include reinvestment of all dividends.

TOTAL RETURNS (FOR PERIOD ENDED MAY 31, 2017)(1)
	Since Inception (4/3/17)
Elements U.S. Small Cap Portfolio		(1.90)%
Russell 2000 Index		(0.96)%

(1) Portfolio return is less than one year so return is not annualized.

Elements Portfolios Annual Report May 31, 2017

3

ELEMENTS INTERNATIONAL PORTFOLIO

PERFORMANCE DATA (Unaudited)

This chart assumes an initial gross investment of $10,000 made on May 1, 2017 (commencement of operations). Returns shown reflect the reinvestment of all dividends, and are net of fees and expenses, and reflect voluntary waivers and reimbursement of all of the Portfolio’s fees and expenses by Stone Ridge. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. In the absence of fee waivers and reimbursements, which may be discontinued at any time, returns for the Portfolio would have been lower. Past performance is not predictive of future performance. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than the original cost.

The MSCI World ex USA Index is a free-float adjusted index which captures large- and mid-cap representation across 22 of 23 developed market countries, as determined by MSCI, excluding the United States. Index figures do not reflect any deduction of fees, taxes or expenses, and are not available for investment. Returns shown for the index include reinvestment of all dividends net of withholding tax.

TOTAL RETURNS (FOR PERIOD ENDED MAY 31, 2017)(1)
	Since Inception (5/1/17)
Elements International Portfolio		2.90%
MSCI World ex USA Index		3.33%

(1) Portfolio return is less than one year so return is not annualized.

Elements Portfolios Annual Report May 31, 2017

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ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

PERFORMANCE DATA (Unaudited)

This chart assumes an initial gross investment of $10,000 made on May 1, 2017 (commencement of operations). Returns shown reflect the reinvestment of all dividends, and are net of fees and expenses, and reflect voluntary waivers and reimbursement of all of the Portfolio’s fees and expenses by Stone Ridge. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. In the absence of fee waivers and reimbursements, which may be discontinued at any time, returns for the Portfolio would have been lower. Past performance is not predictive of future performance. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than the original cost.

The MSCI World ex USA Small Cap Index is a free-float adjusted index which captures small-cap representation across 22 or 23 developed market countries, as determined by MSCI, excluding the United States. Index figures do not reflect any deduction of fees, taxes or expenses, and are not available for investment. Returns shown for the index include reinvestment of all dividends net of withholding tax.

TOTAL RETURNS (FOR PERIOD ENDED MAY 31, 2017)(1)
	Since Inception (5/1/17)
Elements International Small Cap Portfolio		3.60%
MSCI World ex USA Small Cap Index		3.28%

(1) Portfolio return is less than one year so return is not annualized.

Elements Portfolios Annual Report May 31, 2017

5

Management’s Discussion of Fund Performance

The Elements U.S. Portfolio seeks to capture the equity risk premium by investing in a broad and diverse group of securities or derivatives on U.S. companies, with a focus on intuitive risk factors such as size, value, momentum, and quality that the Adviser believes may contribute to a positive equity risk premium. For the period since the Portfolio’s launch date on April 3, 2017 through May 31, 2017, the Portfolio’s total returns were 1.20%. Periods of positive performance for the Portfolio, such as the most recently completed fiscal year, correspond to periods when the equity risk premium and factors emphasized are positive for U.S. companies. There can be no assurance that the equity risk premium will be positive for the Portfolio’s investments at any time or on average and over time.

The Elements U.S. Small Cap Portfolio seeks to capture the equity risk premium by investing in a broad and diverse group of securities or derivatives on U.S. small capitalization companies, with a focus on intuitive risk factors such as size, value, momentum, and quality that the Adviser believes may contribute to a positive equity risk premium. For the period since the Portfolio’s launch date on April 3, 2017 through May 31, 2017, the Portfolio’s total returns were -1.90%. Periods of negative performance for the Portfolio, such as the most recently completed fiscal year, correspond to periods when the equity risk premium and factors emphasized are negative for U.S. small capitalization companies. There can be no assurance that the equity risk premium will be positive for the Portfolio’s investments at any time or on average and over time.

The Elements International Portfolio seeks to capture the equity risk premium by investing in a broad and diverse group of securities or derivatives on companies associated with countries with developed markets, with a focus on intuitive risk factors such as size, value, momentum, and quality that the Adviser believes may contribute to a positive equity risk premium. For the period since the Portfolio’s launch date on May 1, 2017 through May 31, 2017, the Portfolio’s total returns were 2.90%. Periods of positive performance for the Portfolio, such as the most recently completed fiscal year, correspond to periods when the equity risk premium, factors emphasized, and relevant currencies performances versus the U.S. dollar are positive for developed markets companies. There can be no assurance that the equity risk premium will be positive for the Portfolio’s investments at any time or on average and over time.

The Elements International Small Cap Portfolio seeks to capture the equity risk premium by investing in a broad and diverse group of securities or derivatives on small capitalization companies associated with countries with developed markets, with a focus on intuitive risk factors such as size, value, momentum, and quality that the Adviser believes may contribute to a positive equity risk premium. For the period since the Portfolio’s launch date on May 1, 2017 through May 31, 2017, the Portfolio’s total returns were 3.60%. Periods of positive performance for the Portfolio, such as the most recently completed fiscal year, correspond to periods when the equity risk premium, factors emphasized, and relevant currencies performances versus the U.S. dollar are positive for small capitalization developed markets companies. There can be no assurance that the equity risk premium will be positive for the Portfolio’s investments at any time or on average and over time.

Disclaimers

Past performance is no guarantee of future results.

Opinions expressed are subject to change at any time, are not guaranteed and should not be considered investment advice.

Investors should carefully consider the risks and investment objectives of the Elements U.S. Portfolio, Elements U.S. Small Cap Portfolio, Elements International Portfolio and Elements International Small Cap Portfolio (collectively, the “Portfolios”), as an investment in a Portfolio may not be appropriate for all investors and the Portfolios are not designed to be a complete investment program. There can be no assurance that a Portfolio will achieve its investment objective. An investment in the Portfolios involves a high degree of risk. It is possible that

Elements Portfolios Annual Report May 31, 2017

6

Management’s Discussion of Fund Performance

investing in a Portfolio may result in a loss of some or all of the amount invested. Before making an investment/allocation decision, investors should (i) consider the suitability of this investment with respect to an investor’s or a client’s investment objectives and individual situation and (ii) consider factors such as an investor’s or a client’s net worth, income, age and risk tolerance. Investment should be avoided where an investor/client has a short-term investing horizon and/or cannot bear the loss of some or all of the investment. Before investing in a Portfolio, an investor should read the discussion of the risks of investing in the Portfolio in the prospectus.

Mutual fund investing in funds involves risks. Principal loss is possible.

Economic, political, and issuer-specific events will cause the value of securities, and the Portfolios that own them, to rise or fall. Because the value of your investment in a Portfolio will fluctuate, you may lose money, even over the long term. Securities of smaller companies are often less liquid than those of larger companies. This could make it difficult to sell a smaller company security at a desired time or price. In general, smaller companies are also more vulnerable than larger companies to adverse business or economic developments, and they may have more limited resources. As a result, prices of smaller company securities may fluctuate more than those of larger companies. Foreign securities prices may decline or fluctuate because of economic or political actions of foreign governments and/or less regulated or liquid securities markets and may give rise to foreign currency risk. In addition to smaller company risk, securities of companies that exhibit other factors such as value, momentum or quality may be riskier than securities of companies that do not exhibit those factors, and may perform differently from the market as a whole. If a Portfolio uses derivatives, the Portfolio will be directly exposed to the risks of that derivative, including the risk that the counterparty to the derivative is unable or unwilling to perform its obligations. Derivatives are subject to a number of additional risks including risks associated with the potential illiquidity of the derivative, changes in interest rates, market movements, and the possibility of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, and a Portfolio could lose more than the amount invested in a derivative. Securities lending and similar transactions involve the risk that the counterparty may fail to return the securities in a timely manner or at all and that the value of collateral securing a securities loan or similar transaction falls.

The Portfolios intends to qualify for treatment as a “regulated investment company” (a “RIC”) under the Internal Revenue Code of 1986, as amended (the “Code”). In order to qualify for such treatment, each Portfolio must derive at least 90% of its gross income each taxable year from qualifying income, meet certain asset diversification tests at the end of each fiscal quarter, and distribute at least 90% of its investment company taxable income for each taxable year. A Portfolio’s investment strategy will potentially be limited by its intention to qualify for treatment as a RIC. The tax treatment of certain of the Portfolios’ investments under one or more of the qualification or distribution tests applicable to RICs is not certain. An adverse determination or future guidance by the IRS might affect a Portfolio’s ability to qualify for such treatment.

If, in any year, a Portfolio were to fail to qualify as a RIC under the Code for any reason, and were not able to cure such failure, the Portfolio would be subject to tax on its taxable income at corporate rates, and all distributions from earnings and profits, including any distributions of net tax-exempt income and net long-term capital gains, would be taxable to shareholders as ordinary income.

The Portfolios are classified as non-diversified under the 1940 Act. Accordingly, a Portfolio may invest a greater portion of its assets in the securities of a single issuer than if it were a “diversified” fund. To the extent that a Portfolio invests a higher percentage of its assets in the securities of a single issuer, the Portfolio is subject to a higher degree of risk associated with and developments affecting that issuer than a fund that invests more widely. The Portfolios are newly organized open-end management investment companies with no history of operations and are designed for long-term investors and not as a short-term trading vehicle.

Must be preceded or accompanied by a current prospectus.

The Portfolios are distributed by Quasar Distributors, LLC.

Elements Portfolios Annual Report May 31, 2017

7

ALLOCATION OF PORTFOLIO HOLDINGS AT MAY 31, 2017 (Unaudited)

ELEMENTS U.S. PORTFOLIO PORTFOLIO ALLOCATION BY SECTOR
Information Technology	$124,655,767	20.2%
Consumer Discretionary	119,761,402	19.4%
Industrials	85,131,396	13.8%
Financials	74,499,172	12.1%
Consumer Staples	66,458,559	10.8%
Health Care	53,494,966	8.7%
Materials	25,865,843	4.2%
Energy	9,497,035	1.6%
Telecommunication Services	7,317,078	1.2%
Utilities	2,626,158	0.4%
Real Estate	908,987	0.2%
Other(1)	45,859,216	7.4%
	$616,075,579

ELEMENTS INTERNATIONAL PORTFOLIO PORTFOLIO ALLOCATION BY SECTOR
Industrials	$58,176,189	15.5%
Consumer Discretionary	45,872,125	12.2%
Financials	38,935,111	10.4%
Consumer Staples	36,357,529	9.7%
Materials	30,164,787	8.1%
Information Technology	18,010,919	4.8%
Health Care	11,581,559	3.1%
Telecommunication Services	11,079,316	3.0%
Energy	8,066,536	2.2%
Utilities	7,528,529	2.0%
Other(2)	108,589,649	29.0%
	$374,362,249

(1) Cash, cash equivalents, U.S. Government notes, short-term investments and other assets less liabilities.

(2) Cash, cash equivalents, short-term investments and other assets less liabilities.

The Global Industry Classification Standard (GICS^®) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.

ELEMENTS U.S. SMALL CAP PORTFOLIO PORTFOLIO ALLOCATION BY SECTOR
Consumer Discretionary	$95,815,474	22.6%
Industrials	90,759,491	21.4%
Information Technology	70,599,003	16.7%
Financials	60,467,501	14.3%
Consumer Staples	25,314,846	6.0%
Health Care	23,189,539	5.5%
Materials	16,153,793	3.8%
Energy	7,654,420	1.8%
Utilities	2,514,476	0.6%
Real Estate	2,451,904	0.6%
Telecommunication Services	1,701,346	0.4%
Other(1)	26,491,496	6.3%
	$423,113,289

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO PORTFOLIO ALLOCATION BY SECTOR
Industrials	$26,376,787	20.1%
Consumer Discretionary	21,544,491	16.4%
Materials	10,956,206	8.4%
Consumer Staples	9,694,955	7.4%
Information Technology	9,103,824	6.9%
Health Care	3,677,086	2.8%
Financials	3,666,552	2.8%
Energy	2,378,142	1.8%
Telecommunication Services	1,045,548	0.8%
Utilities	966,545	0.7%
Other(2)	41,854,224	31.9%
	$131,264,360

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements.

Elements Portfolios Annual Report May 31, 2017

8

Schedule of Investments as of May 31, 2017

ELEMENTS U.S. PORTFOLIO

	SHARES		FAIR VALUE
COMMON STOCKS - 92.4%
Automobiles & Components - 1.5%
BorgWarner, Inc.		16,554	$	703,711
Delphi Automotive PLC (a)		7,264		639,014
Ford Motor Co.		154,459		1,717,584
Gentex Corp.		73,881		1,402,261
Goodyear Tire & Rubber Co.		13,075		421,277
Harley-Davidson, Inc.		548		29,049
Lear Corp.		7,039		1,049,093
Thor Industries, Inc.		17,515		1,585,633
Visteon Corp. (b)		13,869		1,390,922
				8,938,544
Banks - 0.9%
Associated Banc-Corp.		53,446		1,274,687
Bank of Hawaii Corp.		5,263		409,093
BankUnited, Inc.		1,147		38,035
Citizens Financial Group, Inc.		4,043		137,866
Commerce Bancshares, Inc.		3,339		178,737
Cullen/Frost Bankers, Inc.		362		33,181
East West Bancorp, Inc.		17,964		983,170
Fifth Third Bancorp		1,206		28,630
First Hawaiian, Inc.		6,194		170,707
First Horizon National Corp.		3,123		52,904
Huntington Bancshares, Inc.		8,475		106,276
New York Community Bancorp, Inc.		595		7,687
Popular, Inc. (a)		20,762		772,346
Regions Financial Corp.		52,986		733,326
Signature Bank (b)		296		42,334
TCF Financial Corp.		23,441		353,021
TFS Financial Corp.		1,061		16,573
Western Alliance Bancorp (b)		480		21,946
				5,360,519
Capital Goods - 10.2%
3M Co.		3,818		780,666
Acuity Brands, Inc.		3,003		489,219
AECOM Technology Corp. (b)		24,618		790,484
AGCO Corp.		13,130		840,714
Air Lease Corp.		5,408		199,663
Allegion PLC (a)		4,018		315,935
Allison Transmission Holdings, Inc.		5,847		226,396
AMETEK, Inc.		13,652		833,045
AO Smith Corp.		25,958		1,424,316
Arconic, Inc.		8,397		230,666
Armstrong World Industries, Inc. (b)		6,029		251,108
Boeing Co.		15,574		2,922,150
BWX Technologies, Inc.		5,756		279,742
Carlisle Cos, Inc.		13,255		1,343,129
Caterpillar, Inc.		947		99,842
Chicago Bridge & Iron Co. (a)		21,129		399,761
Colfax Corp. (b)		12,393		502,660
Crane Co.		16,409		1,273,010
Cummins, Inc.		7,566		1,193,158
Danaher Corp.		8,959		760,978
Donaldson Co, Inc.		28,196		1,352,280
Dover Corp.		3,457		285,375
Eaton Corp. PLC (a)		13,455		1,041,148
Emerson Electric Co.		22,356		1,321,687

	SHARES		FAIR VALUE
Capital Goods - 10.2% (continued)
Fastenal Co.		790	$	34,104
Flowserve Corp.		2,388		115,818
Fluor Corp.		25,102		1,126,076
Fortive Corp.		8,540		533,323
Fortune Brands Home & Security, Inc.		23,882		1,506,954
General Dynamics Corp.		1,820		369,915
Graco, Inc.		5,714		627,797
HD Supply Holdings, Inc. (b)		25,796		1,040,869
HEICO Corp.		22,794		1,691,543
HEICO Corp. - Class A		22,765		1,426,227
Hexcel Corp.		11,935		613,817
Honeywell International, Inc.		2,562		340,720
Hubbell, Inc.		10,959		1,270,258
Huntington Ingalls Industries, Inc.		5,880		1,151,363
IDEX Corp.		5,197		563,719
Illinois Tool Works, Inc.		200		28,244
Ingersoll-Rand PLC (a)		11,077		992,499
ITT, Inc.		31,913		1,213,013
Jacobs Engineering Group, Inc.		38,628		2,024,880
L3 Technologies, Inc.		5,711		962,818
Lennox International, Inc.		7,008		1,241,117
Lincoln Electric Holdings, Inc.		11,514		1,029,121
Lockheed Martin Corp.		3,304		928,854
Masco Corp.		10,369		386,245
Middleby Corp. (b)		1,134		145,560
MSC Industrial Direct Co, Inc.		15,693		1,317,270
Nordson Corp.		2,917		338,022
Northrop Grumman Corp.		1,275		330,506
Orbital ATK, Inc.		67		6,811
Oshkosh Corp.		23,165		1,462,175
Owens Corning		7,648		477,235
Parker-Hannifin Corp.		5,153		811,443
Pentair PLC (a)		11,715		775,767
Quanta Services, Inc. (b)		22,342		685,006
Raytheon Co.		8,703		1,427,379
Regal Beloit Corp.		17,850		1,413,720
Rockwell Automation, Inc.		2,228		353,628
Rockwell Collins, Inc.		4,254		463,899
Snap-on, Inc.		4,657		752,851
Spirit AeroSystems Holdings, Inc.		29,551		1,610,234
Stanley Black & Decker, Inc.		5,238		720,958
Terex Corp.		85		2,786
Textron, Inc.		21,208		1,013,742
Timken Co.		18,321		845,514
Toro Co.		15,747		1,078,512
Trinity Industries, Inc.		6,000		153,120
United Technologies Corp.		1,711		207,510
USG Corp. (b)		17,294		491,841
Valmont Industries, Inc.		7,403		1,083,799
WABCO Holdings, Inc. (b)		3,382		411,995
Wabtec Corp.		1,303		106,520
Watsco, Inc.		8,723		1,230,990
WESCO International, Inc. (b)		21,391		1,308,060
WW Grainger, Inc.		5,728		986,820
Xylem, Inc.		7,731		403,094
				62,793,193

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

9

Schedule of Investments as of May 31, 2017

ELEMENTS U.S. PORTFOLIO

	SHARES		FAIR VALUE
Commercial & Professional Services - 1.7%
Cintas Corp.		5,512	$	693,851
Clean Harbors, Inc. (b)		289		16,881
Copart, Inc. (b)		13,489		420,722
Covanta Holding Corp.		1,340		19,765
Dun & Bradstreet Corp.		9,426		986,996
KAR Auction Services, Inc.		7,610		331,568
LSC Communications, Inc.		36,885		784,544
ManpowerGroup, Inc.		18,039		1,837,633
Nielsen Holdings PLC (a)		21,828		839,941
Pitney Bowes, Inc.		56,393		838,564
Republic Services, Inc.		15,440		982,138
Robert Half International, Inc.		18,515		860,762
Rollins, Inc.		6,457		278,103
RR Donnelley & Sons Co.		100,242		1,194,885
Stericycle, Inc. (b)		4,484		366,657
Verisk Analytics, Inc. (b)		3,174		256,745
Waste Management, Inc.		96		6,999
				10,716,754
Consumer Durables & Apparel - 4.3%
Brunswick Corp.		18,211		1,006,340
CalAtlantic Group, Inc.		8,484		305,763
Carter’s, Inc.		18,628		1,530,477
Coach, Inc.		24,545		1,134,224
DR Horton, Inc.		15,001		490,383
Garmin Ltd. (a)		17,307		900,656
Hanesbrands, Inc.		31,750		655,638
Hasbro, Inc.		7,792		820,186
Kate Spade & Co. (b)		51,405		946,880
Leggett & Platt, Inc.		13,984		727,448
Lennar Corp. - A		4,821		247,366
Lennar Corp. - B SHS		1,482		63,622
Lululemon Athletica, Inc. (b)		8,553		412,853
Mattel, Inc.		22,418		513,596
Michael Kors Holdings Ltd. (a)(b)		43,946		1,458,128
Mohawk Industries, Inc. (b)		2,761		660,707
NIKE, Inc.		49,993		2,649,129
NVR, Inc. (b)		654		1,492,677
PulteGroup, Inc.		10,390		235,541
PVH Corp.		11,221		1,188,865
Ralph Lauren Corp.		28,160		1,909,248
Skechers U.S.A., Inc. (b)		71,494		1,824,527
Tempur Sealy International, Inc. (b)		765		35,527
Toll Brothers, Inc.		662		24,434
Tupperware Brands Corp.		13,101		942,093
Under Armour, Inc. - Class A (b)		4,825		92,447
Under Armour, Inc. - Class C (b)		79,194		1,412,029
VF Corp.		22,561		1,213,782
Vista Outdoor, Inc. (b)		55,849		1,171,712
Whirlpool Corp.		1,585		294,081
				26,360,359
Consumer Services - 1.8%
Aramark		18,008		670,978
Brinker International, Inc.		37,339		1,464,809
Carnival Corp. (a)		6,011		385,125
Chipotle Mexican Grill, Inc. (b)		1,330		634,876
Choice Hotels International, Inc.		7,781		505,376

	SHARES		FAIR VALUE
Consumer Services - 1.8% (continued)
Darden Restaurants, Inc.		11,701	$	1,040,570
Domino’s Pizza, Inc.		79		16,726
Extended Stay America, Inc.		13,702		249,376
Graham Holdings Co.		1,977		1,183,828
H&R Block, Inc.		6,936		184,081
Hilton Grand Vacations, Inc. (b)		5,387		192,693
Hilton Worldwide Holdings, Inc.		500		33,235
Hyatt Hotels Corp. (b)		29,023		1,674,627
International Game Technology PLC (a)		28,169		500,000
McDonald’s Corp.		123		18,559
Panera Bread Co. (b)		1,337		420,473
Service Corp International		12,241		390,243
ServiceMaster Global Holdings, Inc. (b)		2,748		103,874
Six Flags Entertainment Corp.		141		8,514
Starbucks Corp.		1,287		81,866
Wendy’s Co.		2,699		43,643
Wyndham Worldwide Corp.		2,004		202,384
Yum China Holdings, Inc. (b)		17,917		688,192
Yum! Brands, Inc.		2,414		175,353
				10,869,401
Diversified Financials - 3.1%
Affiliated Managers Group, Inc.		1,312		201,851
Ally Financial, Inc.		23,371		433,298
American Express Co.		11,640		895,582
Ameriprise Financial, Inc.		4,898		591,629
Artisan Partners Asset Management, Inc.		37,392		1,058,194
Bank of America Corp.		165,844		3,716,564
Capital One Financial Corp.		2,195		168,839
Citigroup, Inc.		6,415		388,364
Discover Financial Services		3,800		223,060
Donnelley Financial Solutions, Inc. (b)		13,626		310,400
E*TRADE Financial Corp. (b)		20,075		694,796
Eaton Vance Corp.		3,786		176,314
Federated Investors, Inc.		54,391		1,444,625
FNF Group		37,056		1,578,956
Franklin Resources, Inc.		40,626		1,697,761
JPMorgan Chase & Co.		8,219		675,191
Lazard Ltd. (a)		463		20,604
Legg Mason, Inc.		1,065		39,267
Leucadia National Corp.		33,354		813,504
LPL Financial Holdings, Inc.		190		7,397
MarketAxess Holdings, Inc.		1,614		307,596
Morningstar, Inc.		6,395		467,986
MSCI, Inc.		899		91,455
Navient Corp.		1,122		16,190
OneMain Holdings, Inc. (b)		13,781		310,899
Raymond James Financial, Inc.		100		7,227
S&P Global, Inc.		406		57,981
SEI Investments Co.		10,214		511,619
Synchrony Financial		26,800		719,580
Thomson Reuters Corp. (a)		37,644		1,643,537
Voya Financial, Inc.		2,493		85,211
				19,355,477
Energy - 1.5%
Baker Hughes, Inc.		14,040		774,306
Cheniere Energy, Inc. (b)		65		3,167

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

10

Schedule of Investments as of May 31, 2017

ELEMENTS U.S. PORTFOLIO

	SHARES		FAIR VALUE
Energy - 1.5% (continued)
Dril-Quip, Inc. (b)		25,116	$	1,245,754
Ensco PLC (a)		443		2,764
Gulfport Energy Corp. (b)		3,949		56,668
HollyFrontier Corp.		12,298		293,922
Kinder Morgan, Inc.		16,781		314,812
Kosmos Energy Ltd. (a)(b)		1,310		7,860
Marathon Oil Corp.		2,587		33,683
Marathon Petroleum Corp.		12,386		644,567
Noble Corp PLC (a)		267,453		1,083,185
Oceaneering International, Inc.		31,687		772,529
PBF Energy, Inc.		26,475		511,497
Rowan Cos. PLC (a)(b)		33,331		401,305
Superior Energy Services, Inc. (b)		3,242		33,619
Transocean Ltd. (a)(b)		4,286		38,960
Valero Energy Corp.		20,093		1,235,117
Williams Cos., Inc.		21,042		601,801
World Fuel Services Corp.		40,790		1,441,519
				9,497,035
Food & Staples Retailing - 5.7%
Casey’s General Stores, Inc.		6,067		706,138
Costco Wholesale Corp.		20,488		3,696,650
CVS Health Corp.		50,879		3,909,033
Kroger Co.		79,146		2,356,968
Rite Aid Corp. (b)		157,634		537,532
Sprouts Farmers Market, Inc. (b)		50,574		1,211,753
Sysco Corp.		24,727		1,349,105
US Foods Holding Corp. (b)		75,960		2,275,762
Walgreens Boots Alliance, Inc.		47,732		3,867,247
Wal-Mart Stores, Inc.		161,293		12,677,630
Whole Foods Market, Inc.		73,085		2,557,244
				35,145,062
Food, Beverage & Tobacco - 4.1%
Archer-Daniels-Midland Co.		26,830		1,115,591
Blue Buffalo Pet Products, Inc. (b)		300		7,047
Brown-Forman Corp. - Class - A		4,168		221,071
Brown-Forman Corp. - Class - B		15,489		804,653
Bunge Ltd. (a)		19,677		1,573,570
Campbell Soup Co.		28,963		1,669,717
Coca-Cola Co.		30,770		1,399,112
Conagra Brands, Inc.		29,761		1,146,989
Dr Pepper Snapple Group, Inc.		2,984		276,945
Flowers Foods, Inc.		90,558		1,673,512
General Mills, Inc.		19,493		1,106,033
Hain Celestial Group, Inc. (b)		32,539		1,136,587
Hershey Co.		11,913		1,373,211
Hormel Foods Corp.		46,569		1,566,115
Ingredion, Inc.		14,308		1,632,400
JM Smucker Co.		6,436		822,843
Kellogg Co.		16,816		1,204,025
McCormick & Co, Inc.		7,771		809,350
Mead Johnson Nutrition Co.		12,528		1,120,254
Mondelez International, Inc.		2,188		101,939
Monster Beverage Corp. (b)		200		10,112
PepsiCo., Inc.		1,422		166,189
Pilgrim’s Pride Corp. (b)		20,167		469,286
Pinnacle Foods, Inc.		12,496		778,626

	SHARES		FAIR VALUE
Food, Beverage & Tobacco - 4.1% (continued)
Post Holdings, Inc. (b)		2,301	$	184,862
Reynolds American, Inc.		18,632		1,253,002
TreeHouse Foods, Inc. (b)		4,932		380,652
Tyson Foods, Inc.		23,456		1,344,967
				25,348,660
Health Care Equipment & Services - 5.9%
Acadia Healthcare Co., Inc. (b)		578		23,894
Aetna, Inc.		11,384		1,649,086
Align Technology, Inc. (b)		1,254		182,081
Allscripts Healthcare Solutions, Inc. (b)		56,847		648,624
AmerisourceBergen Corp.		14,127		1,296,435
Anthem, Inc.		16,330		2,977,775
Baxter International, Inc.		10,580		627,500
C.R. Bard, Inc.		1,404		431,632
Cardinal Health, Inc.		15,779		1,172,222
Centene Corp. (b)		11,192		812,875
Cerner Corp. (b)		2,601		169,975
Cigna Corp.		17,927		2,890,370
Cooper Cos., Inc.		243		53,156
DaVita HealthCare Partners, Inc. (b)		13,406		888,282
Dentsply Sirona, Inc.		4,224		268,308
DexCom, Inc. (b)		1,289		86,157
Edwards Lifesciences Corp. (b)		3,360		386,635
Envision Healthcare Corp. (b)		347		18,950
Express Scripts Holding Co. (b)		27,208		1,625,678
HCA Healthcare, Inc. (b)		672		55,044
Henry Schein, Inc. (b)		8,558		1,574,415
Hill-Rom Holdings, Inc.		11,717		906,427
Hologic, Inc. (b)		7,452		322,746
Humana, Inc.		10,494		2,437,336
IDEXX Laboratories, Inc. (b)		2,381		400,937
Inovalon Holdings, Inc. (b)		2,118		28,805
Laboratory Corp. of America Holdings (b)		5,393		749,627
LifePoint Health, Inc. (b)		1,461		88,829
MEDNAX, Inc. (b)		16,677		905,561
Patterson Cos., Inc.		17,143		757,035
Premier, Inc. (b)		18,082		624,191
Quest Diagnostics, Inc.		8,326		905,619
ResMed, Inc.		1,075		76,432
UnitedHealth Group, Inc.		29,240		5,122,263
Universal Health Services, Inc.		3,275		372,236
Varex Imaging Corp. (b)		39,391		1,353,081
Varian Medical Systems, Inc. (b)		3,226		319,439
VCA, Inc. (b)		2,745		252,897
WellCare Health Plans, Inc. (b)		13,110		2,252,298
West Pharmaceutical Services, Inc.		7,790		755,786
				36,470,639
Household & Personal Products - 1.0%
Church & Dwight Co, Inc.		26,257		1,356,437
Clorox Co.		4,832		655,847
Colgate-Palmolive Co.		9,211		703,352
Edgewell Personal Care Co. (b)		10,020		732,863
Energizer Holdings, Inc.		5,088		272,717
Estee Lauder Cos., Inc.		8,459		796,330
Herbalife Ltd. (a)(b)		5,259		377,491
Kimberly-Clark Corp.		573		74,335

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

11

Schedule of Investments as of May 31, 2017

ELEMENTS U.S. PORTFOLIO

	SHARES		FAIR VALUE
Household & Personal Products - 1.0% (continued)
Nu Skin Enterprises, Inc.		17,163	$	941,905
Procter & Gamble Co.		608		53,559
				5,964,836
Insurance - 7.9%
Aflac, Inc.		10,815		815,235
Allstate Corp.		13,871		1,197,622
American Financial Group, Inc.		18,059		1,803,191
American National Insurance Co.		3,866		454,371
AmTrust Financial Services, Inc.		42,736		561,551
Arthur J Gallagher & Co.		4,125		234,011
Assurant, Inc.		8,087		792,364
Athene Holding Ltd. (a)(b)		4,664		229,842
Berkshire Hathaway, Inc. (b)		77,970		12,886,882
Brown & Brown, Inc.		26,510		1,151,329
Cincinnati Financial Corp.		19,937		1,397,185
CNA Financial Corp.		33,445		1,525,092
Erie Indemnity Co.		2,333		274,757
First American Financial Corp.		40,114		1,745,761
Hanover Insurance Group, Inc.		19,787		1,650,038
Hartford Financial Services Group, Inc.		6,348		313,528
Lincoln National Corp.		461		29,956
Loews Corp.		24,330		1,147,403
Marsh & McLennan Cos, Inc.		23,819		1,847,402
Mercury General Corp.		9,997		559,832
MetLife, Inc.		20,556		1,039,928
Old Republic International Corp.		61,011		1,206,798
Principal Financial Group, Inc.		14,049		883,823
ProAssurance Corp.		20,238		1,205,173
Progressive Corp.		53,327		2,262,665
Prudential Financial, Inc.		6,797		712,665
Reinsurance Group of America, Inc.		12,624		1,571,814
RenaissanceRe Holdings Ltd. (a)		7,790		1,112,879
Torchmark Corp.		23,706		1,789,803
Travelers Cos., Inc.		13,446		1,678,733
Unum Group		11,009		495,185
Validus Holdings Ltd. (a)		35,712		1,907,021
WR Berkley Corp.		31,146		2,148,762
				48,632,601
Materials - 4.2%
Air Products & Chemicals, Inc.		160		23,050
Albemarle Corp.		1,901		215,954
AptarGroup, Inc.		12,801		1,088,213
Ashland Global Holdings, Inc.		400		26,616
Avery Dennison Corp.		19,097		1,609,113
Axalta Coating Systems Ltd. (a)(b)		18,847		589,911
Bemis Co, Inc.		29,156		1,301,524
Berry Global Group, Inc. (b)		2,408		139,640
Cabot Corp.		10,911		569,881
Celanese Corp.		426		36,870
Crown Holdings, Inc. (b)		11,982		691,841
Domtar Corp.		26,333		957,994
Eagle Materials, Inc.		1,584		149,371
Eastman Chemical Co.		980		78,508
FMC Corp.		7,010		528,344
Freeport-McMoRan, Inc. (b)		38,402		441,239
Graphic Packaging Holding Co.		32,271		435,981

	SHARES		FAIR VALUE
Materials - 4.2% (continued)
Huntsman Corp.		10,467	$	250,161
International Flavors & Fragrances, Inc.		100		13,789
International Paper Co.		1,018		53,832
LyondellBasell Industries NV (a)		7,632		614,529
Monsanto Co.		16,738		1,965,376
Mosaic Co.		25,550		578,196
NewMarket Corp.		403		187,536
Newmont Mining Corp.		52,717		1,800,285
Nucor Corp.		14,640		850,584
Owens-Illinois, Inc. (b)		6,898		155,688
Packaging Corp of America		1,363		139,244
Platform Specialty Products Corp. (b)		12,835		160,181
Praxair, Inc.		4,201		555,750
Reliance Steel & Aluminum Co.		15,486		1,129,704
Royal Gold, Inc.		138		11,098
RPM International, Inc.		23,177		1,256,889
Scotts Miracle-Gro Co.		5,153		446,301
Sealed Air Corp.		20,631		916,429
Sherwin-Williams Co.		1,506		499,646
Silgan Holdings, Inc.		29,338		933,242
Sonoco Products Co.		28,858		1,463,389
Steel Dynamics, Inc.		14,746		501,216
United States Steel Corp.		427		8,903
Valspar Corp.		15,228		1,720,612
Westlake Chemical Corp.		731		44,927
WestRock Co.		13,159		716,113
WR Grace & Co.		114		8,173
				25,865,843
Media - 3.8%
AMC Networks, Inc. (b)		16,505		874,435
Cable One, Inc.		275		197,615
CBS Corp.		573		35,016
Cinemark Holdings, Inc.		648		25,641
Clear Channel Outdoor Holdings, Inc.		62,901		242,169
Discovery Communications, Inc. - A (b)		65,885		1,745,952
Discovery Communications, Inc. - C (b)		55,155		1,424,654
DISH Network Corp. (b)		11,496		733,100
Interpublic Group of Cos., Inc.		21,666		540,133
John Wiley & Sons, Inc.		31,796		1,612,057
Liberty Broadband Corp. - Class A (b)		294		25,946
Liberty Media Corp. - Liberty SiriusXM - A (b)		44,609		1,858,857
Liberty Media Corp. - Liberty SiriusXM - B (b)		14,026		584,463
Lions Gate Entertainment Corp. - A (a)(b)		3,363		91,137
Lions Gate Entertainment Corp. - B (a)(b)		2,369		59,912
Live Nation Entertainment, Inc. (b)		30,757		1,060,809
Madison Square Garden Co. (b)		3,317		648,175
News Corp. - Class A		154,794		2,071,144
News Corp. - Class B		66,839		915,694
Omnicom Group, Inc.		3,980		333,206
Regal Entertainment Group		24		499
Scripps Networks Interactive, Inc.		24,110		1,596,564
TEGNA, Inc.		46,566		1,105,477
Time Warner, Inc.		3,623		360,452
Tribune Media Co.		5,553		212,125
Twenty-First Century Fox, Inc. - A		70,826		1,920,801

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

12

Schedule of Investments as of May 31, 2017

ELEMENTS U.S. PORTFOLIO

	SHARES		FAIR VALUE
Media - 3.8% (continued)
Twenty-First Century Fox, Inc. - B		56,485	$	1,519,447
Viacom, Inc. - Class A		6,013		230,899
Viacom, Inc. - Class B		6,531		227,213
Walt Disney Co.		11,624		1,254,695
				23,508,287
Pharmaceuticals, Biotechnology & Life Sciences - 2.8%
Bio-Rad Laboratories, Inc. (b)		1,945		434,669
Bio-Techne Corp.		150		16,812
Bristol-Myers Squibb Co.		35,449		1,912,474
Bruker Corp.		31,774		864,571
Charles River Laboratories International, Inc. (b)		2,077		191,188
Eli Lilly & Co.		21,160		1,683,701
Endo International PLC (a)(b)		41,460		546,443
Johnson & Johnson		15,577		1,997,750
Mallinckrodt PLC (a)(b)		81		3,494
Merck & Co., Inc.		9,575		623,428
Mettler-Toledo International, Inc. (b)		161		93,832
Mylan NV (a)(b)		11,881		463,121
Patheon NV (a)(b)		599		20,791
PerkinElmer, Inc.		13,865		874,327
Perrigo Co. PLC (a)		11,213		816,867
Pfizer, Inc.		153,143		5,000,119
QIAGEN N.V. (a)		16,417		550,955
Quintiles IMS Holdings, Inc. (b)		1,021		88,255
VWR Corp. (b)		16,566		547,672
Waters Corp. (b)		1,636		293,858
				17,024,327
Real Estate - 0.2%
Jones Lang LaSalle, Inc.		54		6,236
Realogy Holdings Corp.		29,842		908,987
				915,223
Retailing - 8.1%
Advance Auto Parts, Inc.		5,211		696,346
Amazon.com, Inc. (b)		1,930		1,919,617
AutoNation, Inc. (b)		9,095		359,434
AutoZone, Inc. (b)		952		576,836
Bed Bath & Beyond, Inc.		55,161		1,898,090
Best Buy Co., Inc.		41,476		2,463,260
Burlington Stores, Inc. (b)		11,619		1,136,919
Cabela’s, Inc. (b)		6,991		369,334
CST Brands, Inc.		300		14,499
Dick’s Sporting Goods, Inc.		32,214		1,324,962
Dillard’s, Inc.		3,667		188,777
Dollar General Corp.		19,221		1,410,629
Dollar Tree, Inc. (b)		15,937		1,238,305
Expedia, Inc.		5,502		791,077
Foot Locker, Inc.		22,528		1,338,388
GameStop Corp.		35,085		776,782
Gap, Inc.		88,295		1,986,637
Genuine Parts Co.		10,233		947,780
Groupon, Inc. (b)		391,197		1,177,503
Home Depot, Inc.		1,768		271,406
Kohl’s Corp.		35,842		1,377,408

	SHARES		FAIR VALUE
Retailing - 8.1% (continued)
L Brands, Inc.		13,152	$	678,643
Liberty Expedia Holdings, Inc. (b)		9,442		492,589
Liberty Interactive Corp Q-A (b)		81,391		1,909,433
LKQ Corp. (b)		38,800		1,221,812
Lowe’s Cos., Inc.		20,093		1,582,726
Macy’s, Inc.		73,246		1,721,281
Michaels Cos, Inc. (b)		83,723		1,618,366
Murphy USA, Inc. (b)		17,825		1,212,635
Nordstrom, Inc.		18,610		777,898
O’Reilly Automotive, Inc. (b)		1,182		286,139
Penske Automotive Group, Inc.		14,774		625,679
Pool Corp.		8,892		1,059,304
Ross Stores, Inc.		26,880		1,718,170
Sally Beauty Holdings, Inc. (b)		74,598		1,344,256
Signet Jewelers Ltd. (a)		21,235		1,021,403
Staples, Inc.		285,984		2,596,735
Target Corp.		42,894		2,365,604
Tiffany & Co.		11,297		982,387
TJX Cos, Inc.		22,686		1,706,214
Tractor Supply Co.		25,681		1,416,307
TripAdvisor, Inc. (b)		8,175		314,819
Urban Outfitters, Inc. (b)		46,780		882,739
Williams-Sonoma, Inc.		5,871		285,683
				50,084,811
Semiconductors & Semiconductor Equipment - 2.4%
Applied Materials, Inc.		59,458		2,727,933
Cree, Inc. (b)		52,930		1,262,116
First Solar, Inc. (b)		9,799		377,360
Intel Corp.		85,332		3,081,339
KLA-Tencor Corp.		9,331		970,424
Lam Research Corp.		2,358		365,891
Marvell Technology Group Ltd. (a)		73,440		1,266,106
Maxim Integrated Products, Inc.		2,535		121,173
NVIDIA Corp.		9,346		1,349,095
ON Semiconductor Corp. (b)		44,942		695,702
QUALCOMM, Inc.		1,848		105,835
Skyworks Solutions, Inc.		5,480		583,236
Teradyne, Inc.		13,619		484,155
Texas Instruments, Inc.		7,762		640,287
Xilinx, Inc.		9,275		618,735
				14,649,387
Software & Services - 9.9%
Accenture PLC-CL A (a)		17,064		2,123,956
Activision Blizzard, Inc.		1,603		93,904
Akamai Technologies, Inc. (b)		4,258		200,765
Alliance Data Systems Corp.		74		17,844
Alphabet, Inc. - Class A (b)		10,860		10,719,797
Alphabet, Inc. - Class C (b)		9,850		9,503,871
Amdocs Ltd. (a)		30,373		1,967,563
ANSYS, Inc. (b)		7,680		970,214
Atlassian Corp PLC (a)(b)		6,801		243,204
Automatic Data Processing, Inc.		1,305		133,593
Black Knight Financial Services, Inc. (b)		11,914		474,773
Booz Allen Hamilton Holding Corp.		29,500		1,163,480
Broadridge Financial Solutions, Inc.		11,257		854,294
CA, Inc.		28,354		900,807

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

13

Schedule of Investments as of May 31, 2017

ELEMENTS U.S. PORTFOLIO

	SHARES		FAIR VALUE
Software & Services - 9.9% (continued)
Cadence Design Systems, Inc. (b)		25,278	$	888,269
CDK Global, Inc.		6,891		423,521
Citrix Systems, Inc. (b)		2,673		220,629
Cognizant Technology Solutions Corp.		2,054		137,433
CommerceHub, Inc. - Series - A (b)		6,494		110,528
CommerceHub, Inc. - Series - C (b)		17,829		306,302
CoreLogic, Inc. (b)		15,839		685,829
CSRA, Inc.		23,662		713,646
Dell Technologies, Inc. - Class - V (b)		14,359		996,371
DST Systems, Inc.		2,809		339,383
eBay, Inc. (b)		4,422		151,675
Euronet Worldwide, Inc. (b)		5,474		477,497
Facebook, Inc. (b)		6,237		944,656
FactSet Research Systems, Inc.		3,519		583,063
Fidelity National Information Services, Inc.		4,377		375,853
FireEye, Inc. (b)		3,740		56,063
First Data Corp. (b)		59,457		1,018,498
Fiserv, Inc. (b)		4,137		518,283
Fortinet, Inc. (b)		5,866		230,768
Gartner, Inc. (b)		4,781		571,808
Genpact Ltd. (a)		58,765		1,605,460
GoDaddy, Inc. (b)		307		12,630
Guidewire Software, Inc. (b)		2,003		133,039
IAC InterActive Corp. (b)		11,551		1,228,333
International Business Machines Corp.		25,362		3,871,002
Intuit, Inc.		3,247		456,658
Jack Henry & Associates, Inc.		2,964		314,806
Leidos Holdings, Inc.		5,890		327,248
Manhattan Associates, Inc. (b)		6,725		314,999
MasterCard, Inc.		12,943		1,590,436
Match Group, Inc. (b)		51,471		1,002,655
Nuance Communications, Inc. (b)		899		16,641
Nutanix, Inc. (b)		23,273		434,042
PayPal Holdings, Inc. (b)		8,115		423,684
PTC, Inc. (b)		1,469		84,585
Red Hat, Inc. (b)		153		13,704
Sabre Corp.		14,289		320,502
SS&C Technologies Holdings, Inc.		6,519		244,984
Symantec Corp.		2,374		71,956
Synopsys, Inc. (b)		20,674		1,547,862
Tableau Software, Inc. (b)		5,469		339,133
Teradata Corp. (b)		61,257		1,669,866
Total System Services, Inc.		11,077		659,635
Twitter, Inc. (b)		18,732		343,170
Tyler Technologies, Inc. (b)		592		101,161
Vantiv, Inc. (b)		4,855		304,506
VeriFone Systems, Inc. (b)		34,561		632,121
Visa, Inc.		900		85,707
VMware, Inc. (b)		26,726		2,596,431
Western Union Co.		16,397		311,871
Yelp, Inc. (b)		7,695		214,844
Zynga, Inc. (b)		245,105		862,770
				61,254,581
Technology Hardware & Equipment - 7.9%
Amphenol Corp.		9,234		688,857
Apple, Inc.		120,971		18,479,530
ARRIS International PLC (a)(b)		32,351		907,122

	SHARES		FAIR VALUE
Technology Hardware & Equipment - 7.9% (continued)
Arrow Electronics, Inc. (b)		12,654	$	956,516
Avnet, Inc.		22,659		831,132
Brocade Communications Systems, Inc.		54,083		683,068
CDW Corp.		21,813		1,312,706
Cisco Systems, Inc.		88,522		2,791,099
CommScope Holding Co, Inc. (b)		26,298		972,763
Corning, Inc.		64,121		1,865,921
Dolby Laboratories, Inc.		37,413		1,885,241
EchoStar Corp. (b)		6,418		378,983
F5 Networks, Inc. (b)		7,955		1,019,274
Fitbit, Inc. (b)		102,438		535,751
FLIR Systems, Inc.		21,197		803,154
Harris Corp.		4,550		510,328
HP, Inc.		99,621		1,868,890
IPG Photonics Corp. (b)		107		14,877
Jabil Circuit, Inc.		42,744		1,278,901
Juniper Networks, Inc.		63,964		1,876,064
Keysight Technologies, Inc. (b)		25,402		981,533
Motorola Solutions, Inc.		6,142		513,287
National Instruments Corp.		29,229		1,115,086
NCR Corp. (b)		28,902		1,113,594
NetApp, Inc.		33,657		1,362,772
Trimble, Inc. (b)		21,965		791,619
Western Digital Corp.		526		47,372
Xerox Corp.		391,261		2,766,215
Zebra Technologies Corp. (b)		3,835		400,144
				48,751,799
Telecommunication Services - 1.2%
AT&T, Inc.		94,841		3,654,224
CenturyLink, Inc.		8,402		209,630
Frontier Communications Corp.		535,711		701,781
Telephone & Data Systems, Inc.		32,639		931,191
T-Mobile US, Inc. (b)		10,406		701,572
United States Cellular Corp. (b)		27,995		1,118,680
				7,317,078
Transportation - 1.9%
Alaska Air Group, Inc.		1,777		154,688
Avis Budget Group, Inc. (b)		305		6,981
CH Robinson Worldwide, Inc.		10,479		702,198
Copa Holdings (a)		3,157		356,867
Delta Air Lines, Inc.		20,215		993,163
Expeditors International of Washington, Inc.		27,533		1,469,712
Genesee & Wyoming, Inc. (b)		522		34,191
J.B. Hunt Transport Services, Inc.		11,650		994,677
JetBlue Airways Corp. (b)		71,011		1,592,067
Kirby Corp. (b)		4,510		298,787
Landstar System, Inc.		23,551		1,967,686
Old Dominion Freight Line, Inc.		6,884		614,879
Southwest Airlines Co.		31,284		1,879,856
United Continental Holdings, Inc. (b)		6,975		555,698
				11,621,450
Utilities - 0.4%
Aqua America, Inc.		2,743		89,669
Atmos Energy Corp.		1,737		144,709

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

14

Schedule of Investments as of May 31, 2017

ELEMENTS U.S. PORTFOLIO

	SHARES		FAIR VALUE
Utilities - 0.4% (continued)
Avangrid, Inc.		2,553	$	115,983
Calpine Corp. (b)		25,000		321,250
Eversource Energy		556		34,511
MDU Resources Group, Inc.		13,929		379,287
National Fuel Gas Co.		528		29,969
NiSource, Inc.		2,692		70,180
NRG Energy, Inc.		23,554		378,277
OGE Energy Corp.		469		16,710
ONEOK, Inc.		3,027		150,381
PG&E Corp.		2,450		167,531
Pinnacle West Capital Corp.		530		46,826
UGI Corp.		2,960		151,493
Vectren Corp.		1,461		89,618
WEC Energy Group, Inc.		136		8,535
Westar Energy, Inc.		2,964		156,944
Xcel Energy, Inc.		5,725		274,285
				2,626,158
TOTAL COMMON STOCKS (Cost $561,148,185)				569,072,024
REAL ESTATE INVESTMENT TRUSTS - 0.2%
Diversified Financials - 0.1%
Chimera Investment Corp.		1,489		27,695
Starwood Property Trust, Inc.		11,981		263,822
Two Harbors Investment Corp.		15,022		149,920
				441,437
Real Estate - 0.1%
Annaly Capital Management, Inc.		58,673		702,902
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $1,113,822)				1,144,339
	PRINCIPAL AMOUNT		FAIR VALUE
U.S. GOVERNMENT NOTES - 0.8%
U.S. Government Notes - 0.8%
United States Treasury Floating Rate Note - 0.899%, 07/31/2017 (c)	$	5,001,000		5,002,090
TOTAL U.S. GOVERNMENT NOTES (Cost $5,002,016)				5,002,090

	SHARES		FAIR VALUE
SHORT-TERM INVESTMENTS - 11.3%
Money Market Funds - 6.4%
Fidelity Institutional Money Market Funds - Government Portfolio - Institutional Class - 0.64% (d)		7,913,264	$	7,913,264
First American Government Obligations Fund - Class Z - 0.65% (d)		7,913,263		7,913,263
First American Treasury Obligations Fund - Class Z - 0.64% (d)		7,913,263		7,913,263
Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class - 0.67% (d)		7,913,263		7,913,263
Short-Term Investments Trust - Treasury Portfolio - Institutional Class - 0.65% (d)		7,913,263		7,913,263
				39,566,316
	PRINCIPAL AMOUNT		FAIR VALUE
U.S. Treasury Bills - 4.9%
0.729%, 06/29/2017 (e)	$	1,000		999
0.800%, 07/13/2017 (e)		10,000,000		9,990,638
0.862%, 08/03/2017 (e)		20,000,000		19,968,380
				29,960,017
TOTAL SHORT-TERM INVESTMENTS (Cost $69,528,028)				69,526,333
TOTAL INVESTMENTS (Cost $636,792,051) - 104.7%				644,744,786
LIABILITIES IN EXCESS OF OTHER ASSETS - (4.7)%				(28,669,207)
TOTAL NET ASSETS - 100.0%			$	616,075,579

Percentages are stated as a percent of net assets.

PLC - Public Limited Company

(a) Foreign issued security. Total foreign securities are $30,668,179, which represents 5.0% of net assets.

(b) Non-income producing security.

(c) Variable rate security. This rate is listed as of May 31, 2017.

(d) Rate shown is the 7-day effective yield.

(e) Rate shown is the effective yield based on purchase price. The calculation assumes the security is held to maturity.

Open Futures Contracts

DESCRIPTION	NUMBER OF CONTRACTS PURCHASED		NOTIONAL VALUE		UNREALIZED DEPRECIATION
FUTURES CONTRACTS PURCHASED
S&P 500 E-Mini Index, June 2017 Settlement		360	$	43,399,800	$	(15,577)
TOTAL FUTURES CONTRACTS PURCHASED			$	43,399,800	$	(15,577)

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements.

Elements Portfolios Annual Report May 31, 2017

15

Schedule of Investments as of May 31, 2017

ELEMENTS U.S. SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
COMMON STOCKS - 93.4%
Automobiles & Components - 1.5%
American Axle & Manufacturing Holdings, Inc. (a)		10,273	$	155,225
Cooper Tire & Rubber Co.		15,649		563,364
Cooper-Standard Holdings, Inc. (a)		4,316		466,171
Dana Holding Corp.		14,477		305,754
Dorman Products, Inc. (a)		6,082		507,239
Fox Factory Holding Corp. (a)		9,985		328,007
Gentherm, Inc. (a)		230		8,671
Horizon Global Corp. (a)		6,128		90,143
LCI Industries		9,326		830,014
Modine Manufacturing Co. (a)		3,234		49,157
Spartan Motors, Inc.		67,059		576,707
Standard Motor Products, Inc.		15,765		767,125
Stoneridge, Inc. (a)		33,835		523,089
Strattec Security Corp.		8,094		287,742
Superior Industries International, Inc.		17,535		341,933
Tenneco, Inc.		2,981		169,470
Tower International, Inc.		7,226		167,643
Unique Fabricating, Inc.		4,029		37,429
				6,174,883
Banks - 7.1%
Access National Corp.		1,524		42,657
ACNB Corp.		243		6,865
American National Bankshares, Inc.		4,460		155,431
Ames National Corp.		1,113		33,000
Arrow Financial Corp.		4,204		133,057
Astoria Financial Corp.		14,681		271,892
Atlantic Capital Bancshares, Inc. (a)		6,276		116,420
BancFirst Corp.		130		12,278
Banco Latinoamericano de Comercio Exterior, S.A. (b)		10,087		272,349
Bank Mutual Corp.		22,080		195,408
Bank of Marin Bancorp		3,232		193,758
BankFinancial Corp.		18,404		270,171
Bankwell Financial Group, Inc.		128		3,972
Bear State Financial, Inc.		9,733		85,066
Beneficial Bancorp, Inc.		5,219		76,458
Berkshire Hills Bancorp, Inc.		6,709		240,518
Blue Hills Bancorp, Inc.		1,000		18,000
Boston Private Financial Holdings, Inc.		11,064		160,428
Brookline Bancorp, Inc.		14,027		193,573
Bryn Mawr Bank Corp.		5,558		227,044
C&F Financial Corp.		1,253		60,332
California First National Bancorp		3,516		60,299
Camden National Corp.		1,757		70,631
Capital City Bank Group, Inc.		17,183		322,353
Cathay General Bancorp		10,838		384,749
CenterState Banks, Inc.		6,157		148,014
Central Pacific Financial Corp.		13,047		394,672
Central Valley Community Bancorp		9,999		208,779
Century Bancorp, Inc. - Class A		696		41,586
Charter Financial Corp.		8,817		157,824
Chemung Financial Corp.		4,790		180,008
Citizens & Northern Corp.		12,345		275,170
City Holding Co.		330		20,820

	SHARES		FAIR VALUE
Banks - 7.1% (continued)
CNB Financial Corp.		2,423	$	50,810
CoBiz Financial, Inc.		13,401		210,932
Codorus Valley Bancorp, Inc.		891		22,988
Columbia Banking System, Inc.		3,211		117,876
Community Bank System, Inc.		12		645
Community Trust Bancorp, Inc.		11,402		473,183
County Bancorp, Inc.		1,562		38,675
Customers Bancorp, Inc. (a)		11,100		310,245
Enterprise Bancorp, Inc.		2,930		87,900
Enterprise Financial Services Corp.		1,820		72,982
ESSA Bancorp, Inc.		750		10,913
Essent Group Ltd. (a)(b)		24,825		900,403
EverBank Financial Corp.		11,371		221,166
F.N.B. Corp.		14,867		196,244
Farmers Capital Bank Corp.		4,873		186,149
Farmers National Banc Corp.		14,028		190,079
Federal Agricultural Mortgage Corp. - Class C		2,183		132,290
Fidelity Southern Corp.		1,663		35,572
Financial Institutions, Inc.		2,495		76,472
First Bancorp, Inc.		2,954		74,234
First Bancorp Puerto Rico (a)(b)		43,907		227,877
First Bancorp NC		5,706		158,399
First Busey Corp.		14,295		405,835
First Business Financial Services, Inc.		9,448		215,887
First Citizens BancShares, Inc. - Class A		837		277,382
First Commonwealth Financial Corp.		42,726		524,675
First Community Bancshares, Inc.		7,366		187,833
First Connecticut Bancorp, Inc.		5,455		136,648
First Defiance Financial Corp.		87		4,533
First Financial Bancorp		13,599		340,655
First Financial Bankshares, Inc.		507		19,393
First Financial Corp.		1,646		74,975
First Financial Northwest, Inc.		5,789		92,740
First Internet Bancorp		1,495		38,571
First Interstate BancSystem, Inc. - Class A		25,500		889,946
First Merchants Corp.		6,860		272,273
First NBC Bank Holding Co. (a)		45,404		1,862
Flagstar Bancorp, Inc. (a)		485		14,012
Flushing Financial Corp.		2,696		74,895
Fulton Financial Corp.		38,426		672,455
German American Bancorp, Inc.		803		24,933
Glacier Bancorp, Inc.		10,859		350,311
Great Southern Bancorp, Inc.		1,679		82,187
Great Western Bancorp, Inc.		1,371		51,906
Green Bancorp, Inc. (a)		6,364		121,234
Hanmi Financial Corp.		1,088		28,941
Heartland Financial USA, Inc.		8,647		387,818
Heritage Commerce Corp.		46,723		628,892
Heritage Financial Corp.		3,368		80,327
Home Bancorp, Inc.		1,002		34,870
Home BancShares, Inc.		1,628		38,111
HomeStreet, Inc. (a)		9,085		243,478
HomeTrust Bancshares, Inc. (a)		4,458		110,336
Horizon Bancorp		1,353		34,420
Independent Bank Corp. - Massachusetts		1,170		70,727
Independent Bank Corp. - Michigan		12,827		261,029

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

16

Schedule of Investments as of May 31, 2017

ELEMENTS U.S. SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Banks - 7.1% (continued)
Kearny Financial Corp.		2,438	$	34,010
Lakeland Bancorp, Inc.		16,443		308,306
Lakeland Financial Corp.		678		28,768
Legacy Texas Financial Group, Inc.		861		30,324
Macatawa Bank Corp.		20,928		193,375
MBT Financial Corp.		26,850		272,528
Meridian Bancorp, Inc.		11,768		190,642
Meta Financial Group, Inc.		1,550		132,680
MGIC Investment Corp. (a)		50,788		537,337
MidWestOne Financial Group, Inc.		1,456		50,421
National Bank Holdings Corp. - Class A		176		5,372
National Bankshares, Inc.		1,927		77,658
National Commerce Corp. (a)		415		15,500
NBT Bancorp, Inc.		1,192		41,887
NMI Holdings, Inc. - Class A (a)		11,659		121,254
Northfield Bancorp, Inc.		800		13,168
Northrim BanCorp, Inc.		8,075		239,828
Northwest Bancshares, Inc.		65,459		1,007,414
OceanFirst Financial Corp.		314		8,321
Ocwen Financial Corp. (a)		2,106		5,223
OFG Bancorp (b)		24,726		231,188
Old Second Bancorp, Inc.		9,464		109,782
Oritani Financial Corp.		9,769		161,677
Pacific Continental Corp.		2,718		64,009
Pacific Premier Bancorp, Inc. (a)		5		170
Park Sterling Corp.		19,822		230,133
Peapack Gladstone Financial Corp.		11,881		361,064
Penns Woods Bancorp, Inc.		640		25,280
Peoples Bancorp, Inc.		2,562		77,501
People’s United Financial, Inc.		182		3,016
People’s Utah Bancorp		3,727		95,411
Preferred Bank		2,643		131,912
Premier Financial Bancorp, Inc.		11,699		231,172
Provident Financial Holdings, Inc.		9,667		183,673
Provident Financial Services, Inc.		22,237		519,012
QCR Holdings, Inc.		5,024		220,051
Radian Group, Inc.		70,804		1,137,112
Renasant Corp.		21,721		867,754
Republic Bancorp, Inc. - Class A		5,049		175,099
S&T Bancorp, Inc.		2,313		77,185
Sandy Spring Bancorp, Inc.		3,074		117,949
Shore Bancshares, Inc.		17,493		278,663
Sierra Bancorp		9,750		234,293
Southern First Bancshares, Inc. (a)		460		15,732
Southern Missouri Bancorp, Inc.		2,190		68,766
Southern National Bancorp of Virginia, Inc.		2,938		50,269
Southwest Bancorp, Inc.		1,894		46,592
Stock Yards Bancorp, Inc.		8,137		294,559
Stonegate Bank		6,142		277,864
Territorial Bancorp, Inc.		8,616		258,997
The Bancorp, Inc. (a)		18,467		113,018
TriCo Bancshares		8,396		292,852
TriState Capital Holdings, Inc. (a)		1,235		28,652
TrustCo Bank Corp. NY		85,352		627,337
Trustmark Corp.		1,346		40,932
Umpqua Holdings Corp.		68,184		1,155,378
Union Bankshares Corp.		2,252		75,667

	SHARES		FAIR VALUE
Banks - 7.1% (continued)
United Bankshares, Inc.		5,922	$	226,517
United Community Banks, Inc.		935		24,095
United Community Financial, Corp.		394		3,117
United Financial Bancorp, Inc.		6,796		110,027
Valley National Bancorp		42,349		477,697
Veritex Holdings, Inc. (a)		145		3,770
Walker & Dunlop, Inc. (a)		2,402		112,197
WashingtonFirst Bankshares, Inc.		838		27,503
Waterstone Financial, Inc.		8,262		156,152
Webster Financial Corp.		2,289		111,520
West Bancorporation, Inc.		6,496		142,587
Western New England Bancorp, Inc.		5,292		52,655
Wintrust Financial Corp.		7,449		512,193
WSFS Financial Corp.		3,493		154,041
				29,931,514
Capital Goods - 12.5%
AAON, Inc.		5,885		212,890
AAR Corp.		6,754		235,985
Actuant Corp. - Class A		7,894		204,849
Advanced Drainage Systems, Inc.		24,602		471,128
Aegion Corp. (a)		18,417		364,472
Aerojet Rocketdyne Holdings, Inc. (a)		18,086		396,083
Alamo Group, Inc.		6,423		546,790
Allied Motion Technologies, Inc.		9,636		242,634
American Railcar Industries, Inc.		607		21,542
American Superconductor Corp. (a)		16,930		69,752
American Woodmark Corp. (a)		2,916		270,605
Apogee Enterprises, Inc.		4,331		230,756
Applied Industrial Technologies, Inc.		19,436		1,200,173
Argan, Inc.		16,649		983,123
Armstrong Flooring, Inc. (a)		30,460		563,205
Astec Industries, Inc.		13,461		753,412
Astronics Corp. (a)		13,542		414,385
Atkore International Group, Inc. (a)		36,452		760,389
Axon Enterprise, Inc. (a)		558		13,398
AZZ, Inc.		2,669		144,793
Babcock & Wilcox Enterprises, Inc. (a)		17,099		182,104
Barnes Group, Inc.		13,179		745,800
Beacon Roofing Supply, Inc. (a)		19,517		941,305
Blue Bird Corp. (a)		26,420		482,165
BMC Stock Holdings, Inc. (a)		28,409		553,976
Briggs & Stratton Corp.		2,469		58,713
Builders FirstSource, Inc. (a)		46,739		638,455
Caesarstone Ltd. (a)(b)		8,955		336,260
Chart Industries, Inc. (a)		2,489		85,497
Columbus McKinnon Corp.		23,920		668,325
Comfort Systems USA, Inc.		20,218		696,510
Continental Building Products, Inc. (a)		11,304		275,818
CSW Industrials, Inc. (a)		4,309		152,108
Cubic Corp.		7,003		324,589
Curtiss-Wright Corp.		7,980		718,439
DMC Global, Inc.		25,400		321,310
Ducommun, Inc. (a)		16,082		511,568
DXP Enterprises, Inc. (a)		9,128		327,056
Dycom Industries, Inc. (a)		1,739		146,406
EMCOR Group, Inc.		30,875		1,945,743
Encore Wire Corp.		4,487		185,537

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

17

Schedule of Investments as of May 31, 2017

ELEMENTS U.S. SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Capital Goods - 12.5% (continued)
EnerSys		9,668	$	716,012
ESCO Technologies, Inc.		1,821		104,890
Esterline Technologies Corp. (a)		1,450		141,303
Federal Signal Corp.		27,379		429,303
Foundation Building Materials, Inc. (a)		22,499		303,737
Franklin Electric Co, Inc.		3,673		140,309
FreightCar America, Inc.		38,694		648,511
Gencor Industries, Inc. (a)		20,601		333,736
Generac Holdings, Inc. (a)		2,213		76,680
General Cable Corp.		935		15,474
Gibraltar Industries, Inc. (a)		8,826		274,489
Global Brass & Copper Holdings, Inc.		11,562		350,329
GMS, Inc. (a)		21,549		703,790
Graham Corp.		11,378		238,142
Granite Construction, Inc.		1,760		82,474
Griffon Corp.		23,098		501,227
Hardinge, Inc.		36,091		436,701
Harsco Corp. (a)		33,212		494,859
HC2 Holdings, Inc. (a)		79,830		423,099
Hillenbrand, Inc.		20,734		740,204
Hurco Cos, Inc.		9,434		274,529
Hyster-Yale Materials Handling, Inc.		2,883		215,158
IES Holdings, Inc. (a)		7,166		109,998
Insteel Industries, Inc.		19,798		628,784
JELD-WEN Holding, Inc. (a)		15,455		482,814
Kadant, Inc.		8,848		679,969
Kaman Corp.		17,289		835,232
Kennametal, Inc.		1,037		39,893
KLX, Inc. (a)		8,698		420,896
Lawson Products, Inc. (a)		16,273		346,615
Lindsay Corp.		524		44,739
LSI Industries, Inc.		51,557		455,248
Lydall, Inc. (a)		1,218		61,448
Masonite International Corp. (a)(b)		12,222		900,150
MasTec, Inc. (a)		6,985		296,164
Meritor, Inc. (a)		7,266		113,132
Miller Industries, Inc.		11,216		287,130
Moog, Inc. - Class A (a)		11,281		790,121
MRC Global, Inc. (a)		25,840		466,412
Mueller Industries, Inc.		32,500		919,100
Mueller Water Products, Inc. - Class A		27,909		312,023
MYR Group, Inc. (a)		17,052		500,647
National Presto Industries, Inc.		4,933		525,118
NCI Building Systems, Inc. (a)		19,179		319,330
Neff Corp. - Class A (a)		29,404		499,868
NOW, Inc. (a)		23,634		390,197
NV5 Global, Inc. (a)		1,604		58,867
Omega Flex, Inc.		2,904		177,783
Orion Group Holdings, Inc. (a)		39,760		283,489
Patrick Industries, Inc. (a)		4,759		315,046
PGT Innovations, Inc. (a)		9,799		112,199
Ply Gem Holdings, Inc. (a)		17,048		278,735
Powell Industries, Inc.		19,323		636,306
Preformed Line Products Co.		4,000		192,000
Primoris Services Corp.		28,148		653,034
Proto Labs, Inc. (a)		2,986		191,104
Quanex Building Products Corp.		17,406		358,564

	SHARES		FAIR VALUE
Capital Goods - 12.5% (continued)
Raven Industries, Inc.		6,859	$	232,177
REV Group, Inc.		715		19,198
Rexnord Corp. (a)		7,067		161,128
Rush Enterprises, Inc. - Class A (a)		23,204		831,863
Rush Enterprises, Inc. - Class B (a)		4,922		162,278
Simpson Manufacturing Co, Inc.		20,339		817,221
SiteOne Landscape Supply, Inc. (a)		5,110		271,750
Sparton Corp. (a)		23,371		401,046
SPX Corp. (a)		7,662		184,578
Standex International Corp.		1,004		88,252
Supreme Industries, Inc. - Class A		34,959		619,473
Teledyne Technologies, Inc. (a)		3,624		476,592
Tennant Co.		8,861		620,270
The Gorman-Rupp Co.		18,059		434,680
The Greenbrier Companies, Inc.		7,137		315,812
Thermon Group Holdings, Inc. (a)		14,304		264,910
Titan International, Inc.		158		1,638
Titan Machinery, Inc. (a)		31,982		538,897
TPI Composites, Inc. (a)		1,823		31,027
Trex Co., Inc. (a)		523		33,613
TriMas Corp. (a)		21,304		464,427
Triumph Group, Inc.		11,032		359,643
Tutor Perini Corp. (a)		7,096		184,141
Univar, Inc. (a)		51,156		1,556,166
Universal Forest Products, Inc.		4,080		358,754
Vectrus, Inc. (a)		13,417		395,802
Veritiv Corp. (a)		11,493		507,991
Vicor Corp. (a)		15,679		265,759
Wabash National Corp.		50,164		1,002,778
Watts Water Technologies, Inc. - Class A		7,907		491,025
Wesco Aircraft Holdings, Inc. (a)		48,522		468,237
Woodward, Inc.		10,996		749,048
				53,035,333
Commercial & Professional Services - 7.4%
ABM Industries, Inc.		20,236		870,957
Acacia Research Corp. (a)		78,270		309,167
ACCO Brands Corp. (a)		37,601		426,771
ARC Document Solutions, Inc. (a)		98,133		324,820
Barrett Business Services, Inc.		9,157		522,590
Brady Corp. - Class A		34,586		1,241,637
Casella Waste Systems, Inc. (a)		8,774		123,012
CBIZ, Inc. (a)		43,149		651,550
CECO Environmental Corp.		69,473		653,046
CompX International, Inc.		258		3,509
CRA International, Inc.		13,879		479,797
Deluxe Corp.		9,643		657,267
Ennis, Inc.		32,806		526,536
Essendant, Inc.		23,971		385,933
Exponent, Inc.		4,508		267,324
Franklin Covey Co. (a)		24,459		483,065
FTI Consulting, Inc. (a)		12,920		446,128
GP Strategies Corp. (a)		6,492		159,379
Healthcare Services Group, Inc.		16,289		779,754
Heidrick & Struggles International, Inc.		32,642		703,435
Heritage-Crystal Clean, Inc. (a)		17,472		266,448
Herman Miller, Inc.		32,790		1,034,525
Hill International, Inc. (a)		48,394		237,131

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

18

Schedule of Investments as of May 31, 2017

ELEMENTS U.S. SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Commercial & Professional Services - 7.4% (continued)
HNI Corp.		11,993	$	515,939
Huron Consulting Group, Inc. (a)		6,594		273,981
ICF International, Inc. (a)		17,117		805,355
InnerWorkings, Inc. (a)		57,503		623,333
Insperity, Inc.		8,356		630,460
Interface, Inc.		42,005		863,203
Kelly Services, Inc.		34,201		794,489
Kforce, Inc.		39,116		704,088
Kimball International, Inc. - Class B		64,851		1,114,140
Knoll, Inc.		19,923		428,345
Korn/Ferry International		4,502		144,559
Matthews International Corp. - Class A		2,598		165,623
McGrath RentCorp		13,013		431,641
Mistras Group, Inc. (a)		15,210		318,193
MSA Safety, Inc.		11,610		941,571
Multi-Color Corp.		3,189		273,935
Navigant Consulting, Inc. (a)		39,928		778,197
NL Industries, Inc. (a)		24,524		181,478
On Assignment, Inc. (a)		14,868		779,083
Quad Graphics, Inc.		26,904		599,152
Resources Connection, Inc.		36,107		453,143
RPX Corp. (a)		74,454		985,771
SP Plus Corp. (a)		27,936		824,112
Steelcase, Inc. - Class A		44,461		744,722
Team, Inc. (a)		1,314		33,704
Tetra Tech, Inc.		14,113		648,492
The Brink’s Co.		9,703		612,259
TRC Cos., Inc. (a)		37,154		650,195
TriNet Group, Inc. (a)		16,143		499,303
TrueBlue, Inc. (a)		37,033		994,336
UniFirst Corp.		7,296		1,033,843
Viad Corp.		8,354		368,829
VSE Corp.		5,267		220,371
West Corp.		22,013		510,041
				31,499,667
Consumer Durables & Apparel - 5.5%
Acushnet Holdings Corp.		29,493		560,367
American Outdoor Brands Corp. (a)		22,535		510,418
AV Homes, Inc. (a)		23,166		363,127
Bassett Furniture Industries, Inc.		17,254		512,444
Beazer Homes USA, Inc. (a)		12,300		150,060
Callaway Golf Co.		31,572		402,227
Cavco Industries, Inc. (a)		717		79,049
Century Communities, Inc. (a)		1,306		32,519
Columbia Sportswear Co.		24,754		1,343,647
Crocs, Inc. (a)		66,053		451,142
CSS Industries, Inc.		5,590		148,638
Culp, Inc.		9,748		312,911
Deckers Outdoor Corp. (a)		6,767		469,359
Escalade, Inc.		7,051		84,612
Ethan Allen Interiors, Inc.		27,943		753,064
Flexsteel Industries, Inc.		12,205		618,183
Fossil Group, Inc. (a)		51,082		550,153
G-III Apparel Group Ltd. (a)		32,397		634,009
GoPro, Inc. - Class A (a)		16,109		132,416
Green Brick Partners, Inc. (a)		11,194		110,821
Helen of Troy Ltd. (a)(b)		10,847		987,077

	SHARES		FAIR VALUE
Consumer Durables & Apparel - 5.5% (continued)
Hooker Furniture Corp.		14,477	$	621,063
Hovnanian Enterprises, Inc. - Class A (a)		19,651		47,752
Installed Building Products, Inc. (a)		2,594		128,662
iRobot Corp. (a)		5,205		482,608
JAKKS Pacific, Inc. (a)		44,577		187,223
Johnson Outdoors, Inc. - Class A		14,799		635,469
KB Home		5,408		113,460
La-Z-Boy, Inc.		29,701		787,077
Libbey, Inc.		25,258		206,358
Lifetime Brands, Inc.		17,396		320,086
M/I Homes, Inc. (a)		8,202		231,214
Malibu Boats, Inc. - Class A (a)		19,385		470,086
Marine Products Corp.		2,478		33,726
MCBC Holdings, Inc.		18,714		359,870
MDC Holdings, Inc.		12,213		410,968
Movado Group, Inc.		28,131		593,564
NACCO Industries, Inc. - Class A		7,047		466,864
Nautilus, Inc. (a)		31,473		571,235
Oxford Industries, Inc.		7,882		423,579
Perry Ellis International, Inc. (a)		33,781		619,544
Sequential Brands Group, Inc. (a)		24,351		78,167
Steven Madden Ltd. (a)		31,465		1,235,001
Sturm Ruger & Co, Inc.		6,801		433,224
Superior Uniform Group, Inc.		6,989		134,888
Taylor Morrison Home Corp. - Class A (a)		48,938		1,137,809
The New Home Co, Inc. (a)		10,036		107,887
TopBuild Corp. (a)		13,077		700,273
TRI Pointe Group, Inc. (a)		2,693		33,312
UCP, Inc. - Class A (a)		6,956		76,516
Unifi, Inc. (a)		1,606		45,193
Universal Electronics, Inc. (a)		135		8,721
Vera Bradley, Inc. (a)		81,882		770,510
Vince Holding Corp. (a)		69,656		41,835
Wolverine World Wide, Inc.		50,722		1,318,772
ZAGG, Inc. (a)		41,144		343,552
				23,382,311
Consumer Services - 4.3%
Adtalem Global Education, Inc.		15,621		584,225
American Public Education, Inc. (a)		16,555		364,210
Ascent Capital Group, Inc. - Class A (a)		13,028		179,396
Belmond Ltd. - Class A (a)(b)		3,692		45,596
Biglari Holdings, Inc. (a)		717		272,611
BJ’s Restaurants, Inc. (a)		7,435		333,088
Bloomin’ Brands, Inc.		26,709		534,981
Bob Evans Farms, Inc.		9,428		663,825
Bojangles’, Inc. (a)		4,983		87,202
Bridgepoint Education, Inc. (a)		32,265		446,548
Bright Horizons Family Solutions, Inc. (a)		70		5,370
Buffalo Wild Wings, Inc. (a)		2,380		342,006
Caesars Acquisition Co. - Class A (a)		44,159		779,406
Cambium Learning Group, Inc. (a)		1,629		8,096
Capella Education Co.		2,568		222,260
Career Education Corp. (a)		45,487		429,397
Carrols Restaurant Group, Inc. (a)		13,546		160,520
Century Casinos, Inc. (a)		32,921		257,113
Churchill Downs, Inc.		286		47,948
Chuy’s Holdings, Inc. (a)		12,882		346,526

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

19

Schedule of Investments as of May 31, 2017

ELEMENTS U.S. SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Consumer Services - 4.3% (continued)
ClubCorp Holdings, Inc.		1,717	$	22,836
Collectors Universe, Inc.		9,904		248,095
Cracker Barrel Old Country Store, Inc.		3,202		534,126
Del Frisco’s Restaurant Group, Inc. (a)		30,226		513,842
Del Taco Restaurants, Inc. (a)		16,492		211,592
Denny’s Corp. (a)		23,535		280,066
El Pollo Loco Holdings, Inc. (a)		4,064		55,474
Eldorado Resorts, Inc. (a)		5,224		108,398
Fiesta Restaurant Group, Inc. (a)		12,390		273,200
Grand Canyon Education, Inc. (a)		1,702		133,437
Houghton Mifflin Harcourt Co. (a)		15,509		191,536
ILG, Inc.		770		20,744
International Speedway Corp. - Class A		19,928		703,458
J Alexander’s Holdings, Inc. (a)		27,210		308,834
K12, Inc. (a)		33,343		627,849
La Quinta Holdings, Inc. (a)		11,348		157,283
Laureate Education, Inc. - Class A (a)		12,923		216,073
Liberty Tax, Inc. - Class A		4,723		66,594
Luby’s, Inc. (a)		94,439		251,208
Marriott Vacations Worldwide Corp.		2,611		304,234
Monarch Casino & Resort, Inc. (a)		7,357		221,814
Papa John’s International, Inc.		4,101		330,418
Penn National Gaming, Inc. (a)		25,745		497,651
Pinnacle Entertainment, Inc. (a)		21,748		426,043
Potbelly Corp. (a)		49,733		571,930
Red Robin Gourmet Burgers, Inc. (a)		1,155		83,247
Regis Corp. (a)		72,041		680,787
Ruby Tuesday, Inc. (a)		77,509		170,520
Ruth’s Hospitality Group, Inc.		29,224		631,238
SeaWorld Entertainment, Inc.		16,361		292,044
Sonic Corp.		8,370		244,571
Speedway Motorsports, Inc.		27,880		480,094
Strayer Education, Inc.		3,807		336,729
Texas Roadhouse, Inc.		7,696		376,488
The Cheesecake Factory, Inc.		13,969		823,892
The Habit Restaurants, Inc. - Class A (a)		1,985		36,822
The Marcus Corp.		780		25,740
Weight Watchers International, Inc. (a)		16,938		445,469
				18,014,700
Diversified Financials - 2.6%
B. Riley Financial, Inc.		815		12,266
Cohen & Steers, Inc.		10,045		393,764
Diamond Hill Investment Group, Inc.		131		26,491
Enova International, Inc. (a)		23,255		309,291
Evercore Partners, Inc. - Class A		13,219		896,248
EZCORP, Inc. - Class A (a)		53,674		456,229
FBR & Co.		6,707		118,714
Fidelity National Financial, Inc. (a)		29,352		409,460
Fifth Street Asset Management, Inc.		48,353		181,324
Financial Engines, Inc.		104		3,942
FirstCash, Inc.		1,353		72,588
GAIN Capital Holdings, Inc.		174		1,018
GAMCO Investors, Inc. - Class A		16,876		489,404
Green Dot Corp. - Class A (a)		15,163		557,089
Greenhill & Co, Inc.		9,306		188,447
Hennessy Advisors, Inc.		7,049		101,365
Houlihan Lokey, Inc.		19,290		647,565

	SHARES		FAIR VALUE
Diversified Financials - 2.6% (continued)
Investment Technology Group, Inc.		9,579	$	190,909
Janus Henderson Group PLC (a)(b)		29,032		908,113
Ladenburg Thalmann Financial Services, Inc. (a)		17,819		38,133
Manning & Napier, Inc.		46,072		214,235
Marlin Business Services Corp.		21,442		543,555
Medley Management, Inc. - Class A		21,895		126,991
Moelis & Co.		20,862		732,256
NewStar Financial, Inc.		4,220		37,516
OM Asset Management Plc (b)		11,141		155,528
On Deck Capital, Inc. (a)		21,105		74,712
Oppenheimer Holdings, Inc. - Class A		3,470		54,132
PICO Holdings, Inc. (a)		26,843		438,883
Piper Jaffray Cos.		4,107		240,876
PJT Partners, Inc. - Class A		463		17,904
Pzena Investment Management, Inc. - Class A		50,314		436,222
Regional Management Corp. (a)		1,054		21,080
Silvercrest Asset Management Group, Inc. - Class A		9,341		114,427
Tiptree, Inc.		1,514		9,160
Virtu Financial, Inc. - Class A		12,971		211,427
Virtus Investment Partners, Inc.		385		38,770
Waddell & Reed Financial, Inc. - Class A		62,756		1,050,535
Westwood Holdings Group, Inc.		3,847		209,969
World Acceptance Corp. (a)		2,041		159,443
				10,889,981
Energy - 1.8%
Adams Resources & Energy, Inc.		8,016		319,598
Alon USA Energy, Inc.		56,541		698,281
Archrock, Inc.		21,590		226,695
Atwood Oceanics, Inc. (a)		8,247		82,800
Contango Oil & Gas Co. (a)		3,445		21,221
CVR Energy, Inc.		22,951		458,102
Dawson Geophysical Co. (a)		43,616		167,922
Delek US Holdings, Inc.		25,500		625,260
Dorian LPG Ltd. (a)(b)		14,429		112,691
EP Energy Corp. - Class A (a)		86		362
Era Group, Inc. (a)		21,563		181,345
Evolution Petroleum Corp.		18,690		136,437
Exterran Corp. (a)		17,022		480,020
Independence Contract Drilling, Inc. (a)		8,927		34,101
International Seaways, Inc. (a)(b)		14,100		278,898
Mammoth Energy Services, Inc. (a)		12,793		232,449
Matrix Service Co. (a)		29,582		241,093
Natural Gas Services Group, Inc. (a)		11,171		292,680
Navios Maritime Acquisition Corp. (b)		22,270		32,069
Oil States International, Inc. (a)		8,695		254,329
Overseas Shipholding Group, Inc. - Class A (a)		104,072		274,750
Pacific Ethanol, Inc. (a)		20,138		118,814
Renewable Energy Group, Inc. (a)		44,820		506,466
REX American Resources Corp. (a)		7,127		677,920
RigNet, Inc. (a)		26,953		451,463
Scorpio Tankers, Inc. (b)		6,095		22,673
Seadrill Ltd. (a)(b)		102,315		46,083

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

20

Schedule of Investments as of May 31, 2017

ELEMENTS U.S. SMALL CAP PORTFOLIO

	SHARES			FAIR VALUE
Energy - 1.8% (continued)
Smart Sand, Inc. (a)		140		$	1,364
Teekay Tankers Ltd. - Class A (b)		72,013			135,384
Tesco Corp. (a)(b)		177			823
TETRA Technologies, Inc. (a)		52,337	��		161,721
Western Refining, Inc.		6,826			247,101
Westmoreland Coal Co. (a)		16,477			108,254
Willbros Group, Inc. (a)		10,931			25,251
					7,654,420
Food & Staples Retailing - 1.8%
Ingles Markets, Inc. - Class A		13,095			479,277
Natural Grocers by Vitamin Cottage, Inc. (a)		31,880			315,931
Performance Food Group Co. (a)		53,381			1,510,682
PriceSmart, Inc.		6,679			589,422
Smart & Final Stores, Inc. (a)		47,997			628,761
SpartanNash Co.		26,623			793,365
SUPERVALU, Inc. (a)		161,563			622,017
The Andersons, Inc.		4,558			159,986
The Chefs’ Warehouse, Inc. (a)		28,512			431,957
United Natural Foods, Inc. (a)		27,942			1,116,003
Village Super Market, Inc. - Class A		12,095			300,924
Weis Markets, Inc.		15,871			819,261
					7,767,586
Food, Beverage & Tobacco - 2.8%
AdvancePierre Foods Holdings, Inc.		19,292			776,889
Alliance One International, Inc. (a)		5,470			57,435
Boston Beer Company, Inc. - Class A (a)		424			60,526
Calavo Growers, Inc.		289			19,565
Coca-Cola Bottling Co.		1,607			365,978
Craft Brew Alliance, Inc. (a)		8,618			143,921
Darling Ingredients, Inc. (a)		44,714			700,668
Dean Foods Co.		38,116			695,236
Farmer Brothers Co. (a)		1,348			40,440
Fresh Del Monte Produce, Inc. (b)		26,289			1,332,327
Inventure Foods, Inc. (a)		5,252			22,321
J&J Snack Foods Corp.		4,475			582,197
John B Sanfilippo & Son, Inc.		10,167			658,517
Lancaster Colony Corp.		5,102			631,781
Landec Corp. (a)		31,169			436,366
Lifeway Foods, Inc. (a)		19,759			194,033
Omega Protein Corp.		26,577			463,769
Sanderson Farms, Inc.		7,361			873,751
Seaboard Corp.		260			1,052,873
Seneca Foods Corp. - Class A (a)		7,363			226,780
Snyder’s-Lance, Inc.		33,633			1,236,013
Tootsie Roll Industries, Inc.		11,904			413,069
Universal Corp.		11,906			790,558
Vector Group Ltd.		2,652			57,654
					11,832,667
Health Care Equipment & Services - 4.6%
Abaxis, Inc.		2,374			114,902
Accuray, Inc. (a)		349			1,431
Aceto Corp.		7,994			113,115
Addus HomeCare Corp. (a)		3,633			134,784
Almost Family, Inc. (a)		1,912			109,749

	SHARES		FAIR VALUE
Health Care Equipment & Services - 4.6% (continued)
Amedisys, Inc. (a)		1,137	$	68,129
American Renal Associates Holdings, Inc. (a)		18,462		299,084
AMN Healthcare Services, Inc. (a)		15,190		550,638
Analogic Corp.		4,892		351,735
AngioDynamics, Inc. (a)		43,273		652,557
Anika Therapeutics, Inc. (a)		4,283		198,174
Atrion Corp.		430		237,210
Avinger, Inc. (a)		1,104		586
AxoGen, Inc. (a)		80		1,188
BioTelemetry, Inc. (a)		14		404
Cantel Medical Corp.		2,538		197,507
Cardiovascular Systems, Inc. (a)		111		3,333
Chemed Corp.		3,218		658,596
Civitas Solutions, Inc. (a)		23,092		363,699
Computer Programs & Systems, Inc.		462		15,431
ConforMIS, Inc. (a)		7,868		31,865
CONMED Corp.		2,650		134,541
CorVel Corp. (a)		9,528		444,005
Cotiviti Holdings, Inc. (a)		8,219		313,390
Cross Country Healthcare, Inc. (a)		54,479		629,232
CryoLife, Inc. (a)		1,050		19,163
Cutera, Inc. (a)		13,591		309,875
Diplomat Pharmacy, Inc. (a)		51,760		887,166
Exactech, Inc. (a)		9,706		294,092
Glaukos Corp. (a)		3,145		128,033
Globus Medical, Inc. - Class A (a)		12,679		389,879
Haemonetics Corp. (a)		13,336		543,842
Halyard Health, Inc. (a)		5,978		214,849
HealthSouth Corp.		1,373		62,238
HealthStream, Inc. (a)		5,877		163,792
HMS Holdings Corp. (a)		1,827		33,288
ICU Medical, Inc. (a)		681		109,845
Inogen, Inc. (a)		91		8,066
Integra LifeSciences Holdings Corp. (a)		1,437		72,353
Invacare Corp.		14,342		202,939
InVivo Therapeutics Holdings Corp. (a)		16,476		32,128
iRadimed Corp. (a)		38,229		311,566
IRIDEX Corp. (a)		4,847		43,575
Kindred Healthcare, Inc.		51,722		506,876
Landauer, Inc.		1,058		51,683
LeMaitre Vascular, Inc.		11,756		359,263
LHC Group, Inc. (a)		10,395		625,779
Magellan Health, Inc. (a)		2,773		190,644
Masimo Corp. (a)		9,568		832,799
Meridian Bioscience, Inc.		33,160		457,608
Merit Medical Systems, Inc. (a)		100		3,550
National HealthCare Corp.		6,818		467,033
National Research Corp. - Class A		15,394		369,456
Natus Medical, Inc. (a)		5,832		197,705
Neogen Corp. (a)		297		18,797
Nobilis Health Corp. (a)(b)		26		46
NuVasive, Inc. (a)		665		49,895
NxStage Medical, Inc. (a)		10,471		226,802
Omnicell, Inc. (a)		2,814		112,279
OraSure Technologies, Inc. (a)		5,764		86,863
Orthofix International N.V. (a)(b)		9,605		400,240
Owens & Minor, Inc.		47,667		1,519,624

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

21

Schedule of Investments as of May 31, 2017

ELEMENTS U.S. SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Health Care Equipment & Services - 4.6% (continued)
PharMerica Corp. (a)		14,039	$	346,763
Quality Systems, Inc. (a)		53,309		818,826
Quorum Health Corp. (a)		18,588		70,077
RadNet, Inc. (a)		23,966		172,555
RTI Surgical, Inc. (a)		52,334		269,520
STAAR Surgical Co. (a)		7,676		70,235
Surmodics, Inc. (a)		6,125		149,450
Tabula Rasa HealthCare, Inc. (a)		15,146		200,685
Tactile Systems Technology, Inc. (a)		2,789		67,856
The Ensign Group, Inc.		10,440		191,887
The Providence Service Corp. (a)		8,251		385,652
Tivity Health, Inc. (a)		2,207		74,928
Triple-S Management Corp. - Class B (a)(b)		11,492		186,975
US Physical Therapy, Inc.		4,420		279,565
Utah Medical Products, Inc.		2,100		141,120
				19,355,010
Household & Personal Products - 1.4%
Avon Products, Inc. (a)		157,206		534,500
Central Garden & Pet Co. (a)		19,455		582,094
Central Garden & Pet Co. - Class A (a)		17,661		510,580
HRG Group, Inc. (a)		57,958		1,099,463
Inter Parfums, Inc.		17,955		624,834
Lifevantage Corp. (a)		95,634		381,580
Medifast, Inc.		2,258		93,955
Natural Health Trends Corp.		9,388		261,550
Nature’s Sunshine Products, Inc.		16,616		210,192
Nutraceutical International Corp.		15,826		660,736
Oil-Dri Corp. of America		6,962		239,980
Revlon, Inc. (a)		8,112		150,883
USANA Health Sciences, Inc. (a)		4,082		262,881
WD-40 Co.		959		101,366
				5,714,594
Insurance - 4.3%
Ambac Financial Group, Inc. (a)		9,368		154,759
American Equity Investment Life Holding Co.		22,355		560,216
AMERISAFE, Inc.		14,960		774,928
Atlas Financial Holdings, Inc. (a)(b)		1,280		19,200
Baldwin & Lyons, Inc. - Class B		25,281		601,688
Blue Capital Reinsurance Holdings Ltd. (b)		22,162		423,294
Citizens, Inc. (a)		18,857		117,102
CNO Financial Group, Inc.		23,541		482,355
Crawford & Co. - Class B		20,858		195,022
Donegal Group, Inc. - Class A		36,319		569,845
eHealth, Inc. (a)		19,644		359,878
EMC Insurance Group, Inc.		15,887		430,855
Employers Holdings, Inc.		11,649		466,543
FBL Financial Group, Inc. - Class A		7,879		495,983
Federated National Holding Co.		3,462		54,423
Fidelity & Guaranty Life		18,752		578,499
Global Indemnity Ltd. (a)(b)		1,848		70,243
Hallmark Financial Services, Inc. (a)		31,790		329,027
HCI Group, Inc.		3,355		149,197
Heritage Insurance Holdings, Inc.		46,916		597,710
Horace Mann Educators Corp.		11,807		451,618

	SHARES		FAIR VALUE
Insurance - 4.3% (continued)
Independence Holding Co.		6,626	$	131,526
Infinity Property & Casualty Corp.		3,915		374,861
Investors Title Co.		316		59,067
James River Group Holdings Ltd. (b)		11,563		458,357
Kemper Corp.		15,346		585,450
Kinsale Capital Group, Inc.		8,731		316,411
Maiden Holdings Ltd. (b)		54,876		578,942
National General Holdings Corp.		48,415		1,063,193
National Western Life Group, Inc. - Class A		1,968		604,471
OneBeacon Insurance Group Ltd. - Class A (b)		24,681		452,896
Primerica, Inc.		552		39,854
RLI Corp.		8,435		468,480
Safety Insurance Group, Inc.		11,490		764,660
Selective Insurance Group, Inc.		11,489		587,088
State Auto Financial Corp.		4,502		111,920
State National Cos., Inc.		29,583		519,773
Stewart Information Services Corp.		24,319		1,100,192
The Navigators Group, Inc.		15,776		836,128
Third Point Reinsurance Ltd. (a)(b)		71		934
United Fire Group, Inc.		15,417		666,785
United Insurance Holdings Corp.		14,382		233,420
Universal Insurance Holdings, Inc.		22,411		552,431
				18,389,224
Materials - 3.8%
A Schulman, Inc.		9,244		270,849
AgroFresh Solutions, Inc. (a)		25,808		181,430
American Vanguard Corp.		21,884		368,745
Boise Cascade Company (a)		14,568		392,608
Calgon Carbon Corp.		9,541		134,051
Century Aluminum Co. (a)		803		11,579
Chase Corp.		3,526		371,993
Commercial Metals Co.		34,937		632,360
Ferro Corp. (a)		7,535		126,287
Ferroglobe PLC (b)		51,938		547,426
Forterra, Inc. (a)		2,640		18,982
FutureFuel Corp.		53,305		721,750
GCP Applied Technologies, Inc. (a)		2,799		84,250
Gold Resource Corp.		85,382		301,398
Greif, Inc. - Class A		7,865		467,574
Greif, Inc. - Class B		3,057		203,138
Handy & Harman Ltd. (a)		2,834		80,911
Hawkins, Inc.		7,852		369,437
Haynes International, Inc.		1,282		45,896
HB Fuller Co.		6,207		315,005
Hecla Mining Co.		21,193		121,648
Innophos Holdings, Inc.		11,716		495,470
Innospec, Inc.		2,354		150,656
Kaiser Aluminum Corp.		1,412		116,292
KapStone Paper and Packaging Corp.		4,165		88,006
KMG Chemicals, Inc.		10,322		577,309
Koppers Holdings, Inc. (a)		457		16,475
Kronos Worldwide, Inc.		5,439		99,751
Louisiana-Pacific Corp. (a)		41,027		914,081
Materion Corp.		19,571		669,328
Minerals Technologies, Inc.		2,777		199,805

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

22

Schedule of Investments as of May 31, 2017

ELEMENTS U.S. SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Materials - 3.8% (continued)
Multi Packaging Solutions International Ltd. (a)(b)		38,537	$	693,666
Myers Industries, Inc.		32,677		552,241
Neenah Paper, Inc.		1,975		154,050
Olin Corp.		39,829		1,168,583
Olympic Steel, Inc.		522		8,597
OMNOVA Solutions, Inc. (a)		13,658		118,142
PolyOne Corp.		16,652		621,786
Quaker Chemical Corp.		2,400		334,536
Real Industry, Inc. (a)		24,747		69,292
Ryerson Holding Corp. (a)		11		92
Schnitzer Steel Industries, Inc. - Class A		2,849		54,986
Schweitzer-Mauduit International, Inc.		9,384		349,835
Sensient Technologies Corp.		7,345		589,730
Stepan Co.		6,390		540,722
SunCoke Energy, Inc. (a)		17,991		157,241
Trecora Resources (a)		7,357		78,720
Tredegar Corp.		935		14,773
Trinseo S.A. (b)		6,929		446,574
UFP Technologies, Inc. (a)		7,725		211,279
United States Lime & Minerals, Inc.		4,591		360,026
Valhi, Inc.		8,599		29,323
Worthington Industries, Inc.		12,035		505,109
				16,153,793
Media - 2.2%
Entercom Communications Corp. - Class A		16,855		173,606
Entravision Communications Corp. - Class A		26,782		153,997
Eros International PLC (a)(b)		273		2,621
Gannett Co., Inc.		119,650		939,253
Gray Television, Inc. (a)		15,843		190,908
Hemisphere Media Group, Inc. (a)		23,430		263,588
MDC Partners, Inc. - Class A (b)		27,310		226,673
Meredith Corp.		15,194		821,995
MSG Networks, Inc. - Class A (a)		32,383		681,662
National CineMedia, Inc.		32,654		237,395
New Media Investment Group, Inc.		60,402		780,998
Reading International, Inc. - Class A (a)		417		6,655
Saga Communications, Inc. - Class A		2,135		103,441
Salem Media Group, Inc.		35,036		239,997
Scholastic Corp.		29,978		1,274,964
Sinclair Broadcast Group, Inc. - Class A		3,406		110,354
The EW Scripps Co. - Class A (a)		27,271		468,516
The New York Times Co. - Class A		62,429		1,098,750
Time, Inc.		52,433		655,413
Townsquare Media, Inc. - Class A (a)		20,683		208,071
Tronc, Inc. (a)		46,388		520,473
Urban One, Inc. (a)		45,531		91,062
World Wrestling Entertainment, Inc. - Class A		4,189		85,497
				9,335,889
Pharmaceuticals, Biotechnology & Life Sciences - 0.9%
Amphastar Pharmaceuticals, Inc. (a)		5,345		91,239
Cambrex Corp. (a)		6,052		325,598
Corcept Therapeutics, Inc. (a)		20,804		235,293

	SHARES		FAIR VALUE
Pharmaceuticals, Biotechnology & Life Sciences - 0.9% (continued)
Depomed, Inc. (a)		2,101	$	22,018
Enzo Biochem, Inc. (a)		16,577		149,193
Heska Corp. (a)		119		11,741
INC Research Holdings, Inc. - Class A (a)		66		3,752
Intersect ENT, Inc. (a)		3,074		77,772
Luminex Corp.		17,456		353,659
Medpace Holdings, Inc. (a)		4,593		127,777
NeoGenomics, Inc. (a)		22,967		173,631
Paratek Pharmaceuticals, Inc. (a)		144		2,887
PAREXEL International Corp. (a)		11,344		916,822
Phibro Animal Health Corp. - Class A		15,346		540,947
Prestige Brands Holdings, Inc. (a)		2,272		114,463
SciClone Pharmaceuticals, Inc. (a)		53,714		510,283
Titan Pharmaceuticals, Inc. (a)		44,398		104,335
				3,761,410
Real Estate - 0.6%
Alexander & Baldwin, Inc.		2,864		114,617
Altisource Portfolio Solutions, S.A. (a)(b)		8,575		176,474
Forestar Group, Inc. (a)		33,130		468,790
HFF, Inc. - Class A		16,191		504,997
Marcus & Millichap, Inc. (a)		22,952		554,979
RE/MAX Holdings, Inc. - Class A		435		23,120
The RMR Group, Inc. - Class A		11,345		557,040
				2,400,017
Retailing - 9.2%
1-800-Flowers.com, Inc. - Class A (a)		60,599		605,990
Aaron’s, Inc.		39,244		1,433,191
Abercrombie & Fitch Co.		75,842		1,000,356
American Eagle Outfitters, Inc.		113,927		1,310,161
America’s Car-Mart, Inc. (a)		15,333		554,288
Asbury Automotive Group, Inc. (a)		6,813		381,187
Ascena Retail Group, Inc. (a)		123,067		217,829
Barnes & Noble Education, Inc. (a)		91,211		865,592
Barnes & Noble, Inc.		69,969		468,792
Big 5 Sporting Goods Corp.		76,067		1,057,331
Big Lots, Inc.		22,598		1,103,460
Boot Barn Holdings, Inc. (a)		24,202		188,534
Build-A-Bear Workshop, Inc. (a)		61,552		661,684
Caleres, Inc.		31,636		864,928
Camping World Holdings, Inc. - Class A		20,955		565,785
Chico’s FAS, Inc.		97,801		925,198
Citi Trends, Inc.		31,704		578,598
Conn’s, Inc. (a)		4,416		75,514
Core-Mark Holding Co., Inc.		18,058		614,875
Destination XL Group, Inc. (a)		221,809		532,342
DSW, Inc. - Class A		66,220		1,114,483
Duluth Holdings, Inc. - Class B (a)		1,971		38,474
Express, Inc. (a)		130,482		1,012,540
Five Below, Inc. (a)		2,329		119,478
Francesca’s Holdings Corp. (a)		32,747		414,577
Fred’s, Inc. - Class A		34,936		480,719
FTD Companies, Inc. (a)		24,169		418,607
Gaia, Inc. (a)		6,701		73,041
Genesco, Inc. (a)		19,732		734,030
GNC Holdings, Inc.		102,590		777,632
Group 1 Automotive, Inc.		9,144		550,012

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

23

Schedule of Investments as of May 31, 2017

ELEMENTS U.S. SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Retailing - 9.2% (continued)
Guess, Inc.		28,963	$	348,715
Haverty Furniture Cos, Inc.		40,872		978,884
Hibbett Sports, Inc. (a)		31,836		738,595
HSN, Inc.		34,944		1,158,394
Kirkland’s, Inc. (a)		51,423		465,378
Lands’ End, Inc. (a)		6,439		113,326
Liberty TripAdvisor Holdings, Inc. (a)		45,027		533,570
Lithia Motors, Inc. - Class A		2,064		187,514
Lumber Liquidators Holdings, Inc. (a)		2,444		70,827
MarineMax, Inc. (a)		3,620		65,341
Monro Muffler Brake, Inc.		14,101		699,410
Office Depot, Inc.		252,825		1,291,936
Overstock.com, Inc. (a)		32,129		451,413
Party City Holdco, Inc. (a)		9,538		157,854
PetMed Express, Inc.		804		28,212
Pier 1 Imports, Inc.		117,315		587,748
Rent-A-Center, Inc.		23,010		262,544
Sears Hometown and Outlet Stores, Inc. (a)		123,094		375,437
Select Comfort Corp. (a)		9,625		277,200
Shoe Carnival, Inc.		39,785		813,603
Shutterfly, Inc. (a)		7,495		370,928
Sonic Automotive, Inc. - Class A		19,646		369,345
Sportsman’s Warehouse Holdings, Inc. (a)		74,857		436,416
Stage Stores, Inc.		71,655		155,491
Stein Mart, Inc.		339,080		495,057
Tailored Brands, Inc.		79,121		840,265
The Buckle, Inc.		33,621		571,557
The Cato Corp. - Class A		35,425		714,168
The Children’s Place, Inc.		8,109		877,394
The Container Store Group, Inc. (a)		41,694		240,157
The Finish Line, Inc. - Class A		75,554		1,066,067
Tile Shop Holdings, Inc.		3,911		76,851
Tilly’s, Inc. - Class A		37,716		397,904
Tuesday Morning Corp. (a)		140,656		239,115
Vitamin Shoppe, Inc. (a)		56,722		657,975
Wayfair, Inc. - Class A (a)		5,953		374,741
West Marine, Inc.		57,945		569,599
Weyco Group, Inc.		16,501		450,972
Winmark Corp.		883		108,168
Zumiez, Inc. (a)		38,624		550,392
				38,907,691
Semiconductors & Semiconductor Equipment - 3.0%
Advanced Energy Industries, Inc. (a)		2,765		212,711
Alpha & Omega Semiconductor, Ltd. (a)(b)		6,344		118,125
Ambarella, Inc. (a)(b)		1,681		98,406
Amkor Technology, Inc. (a)		63,998		725,737
Axcelis Technologies, Inc. (a)		85		1,849
Brooks Automation, Inc.		36,187		996,952
Cabot Microelectronics Corp.		4,093		308,981
Cirrus Logic, Inc. (a)		12,092		797,467
Cohu, Inc.		24,724		453,191
Diodes, Inc. (a)		24,071		616,458
DSP Group, Inc. (a)		48,408		573,635
Entegris, Inc. (a)		34,761		858,597
Ichor Holdings Ltd. (a)(b)		8,087		189,883
IXYS Corp.		40,057		590,841

	SHARES		FAIR VALUE
Semiconductors & Semiconductor Equipment - 3.0% (continued)
Kopin Corp. (a)		20,937	$	72,233
Lattice Semiconductor Corp. (a)		17,480		121,486
MaxLinear, Inc. (a)		9,351		291,284
Microsemi Corp. (a)		13,386		657,386
MKS Instruments, Inc.		8,351		682,694
Monolithic Power Systems, Inc.		270		26,514
Nanometrics, Inc. (a)		13,452		373,966
NeoPhotonics Corp. (a)		18,452		166,252
NVE Corp.		2,145		169,326
PDF Solutions, Inc. (a)		7,064		114,719
Photronics, Inc. (a)		73,432		737,992
Power Integrations, Inc.		1,840		123,188
Rudolph Technologies, Inc. (a)		30,339		725,102
Sigma Designs, Inc. (a)		37,967		237,294
Silicon Laboratories, Inc. (a)		2,507		187,524
Synaptics, Inc. (a)		17,078		948,854
Ultra Clean Holdings, Inc. (a)		5,122		116,986
Veeco Instruments, Inc. (a)		949		29,832
Xcerra Corp. (a)		43,426		421,666
				12,747,131
Software & Services - 7.3%
8x8, Inc. (a)		10,516		143,543
A10 Networks, Inc. (a)		43,001		351,318
ACI Worldwide, Inc. (a)		7,721		176,502
Actua Corp. (a)		12,840		179,760
Acxiom Corp. (a)		3,797		99,481
ALJ Regional Holdings, Inc. (a)		40,327		136,305
American Software, Inc. - Class A		59,266		636,517
Angie’s List, Inc. (a)		21,421		257,909
Appfolio, Inc. - Class A (a)		8,662		248,166
Apptio, Inc. - Class A (a)		34,960		577,539
Aspen Technology, Inc. (a)		9,741		595,760
Autobytel, Inc. (a)		28,057		353,238
Bankrate, Inc. (a)		21,463		224,288
Barracuda Networks, Inc. (a)		5,751		126,062
Bazaarvoice, Inc. (a)		66		300
Blackhawk Network Holdings, Inc. (a)		8,140		352,869
Blucora, Inc. (a)		9,570		196,185
Brightcove, Inc. (a)		64,711		385,030
CACI International, Inc. - Class A (a)		7,619		937,899
Carbonite, Inc. (a)		17,868		332,345
Cardtronics PLC - Class A (a)(b)		10,482		359,009
Care.com, Inc. (a)		27,409		421,276
Cass Information Systems, Inc.		1,056		64,669
ChannelAdvisor Corp. (a)		19,372		220,841
Cimpress, N.V. (a)(b)		680		60,071
CommVault Systems, Inc. (a)		5,944		333,607
Convergys Corp.		55,597		1,351,563
CSG Systems International, Inc.		18,628		743,071
DHI Group, Inc. (a)		132,196		376,759
Endurance International Group Holdings, Inc. (a)		20,226		152,706
EPAM Systems, Inc. (a)		4,725		396,333
Everbridge, Inc. (a)		2,896		74,891
EVERTEC, Inc. (b)		15,804		260,766
Exa Corp. (a)		919		12,765
ExlService Holdings, Inc. (a)		9,025		472,639

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

24

Schedule of Investments as of May 31, 2017

ELEMENTS U.S. SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Software & Services - 7.3% (continued)
Forrester Research, Inc.		12,424	$	489,506
Global Sources Ltd. (a)(b)		26,526		554,393
Globant S.A. (a)(b)		1,322		51,770
Glu Mobile, Inc. (a)		49,814		126,528
Guidance Software, Inc. (a)		31,608		202,607
Instructure, Inc. (a)		58		1,549
J2 Global, Inc.		1,944		164,501
Jive Software, Inc. (a)		77,867		410,748
Limelight Networks, Inc. (a)		111,584		329,173
Liquidity Services, Inc. (a)		66,366		411,469
LivePerson, Inc. (a)		7,227		69,018
Majesco Entertainment Co. (a)		1,900		9,025
ManTech International Corp. - Class A		23,380		895,454
Marchex, Inc. - Class B (a)		52,342		147,081
MAXIMUS, Inc.		17,140		1,064,051
MicroStrategy, Inc. - Class A (a)		1,368		249,468
Mitek Systems, Inc. (a)		148		1,154
MobileIron, Inc. (a)		6,971		37,643
Model N, Inc. (a)		5,765		74,657
MoneyGram International, Inc. (a)		30,579		532,686
NCI, Inc. - Class A (a)		29,467		562,820
NeuStar, Inc. - Class A (a)		20,977		695,388
NIC, Inc.		33,478		677,930
Numerex Corp. - Class A (a)		57,117		235,893
Pegasystems, Inc.		5,428		317,267
Perficient, Inc. (a)		37,073		640,251
PFSweb, Inc. (a)		32,124		221,977
Progress Software Corp.		14,744		430,525
QAD, Inc. - Class A		16,058		522,688
QuinStreet, Inc. (a)		89,798		348,865
RealNetworks, Inc. (a)		25,867		107,348
RealPage, Inc. (a)		1,010		34,946
Reis, Inc.		10,350		195,615
Rightside Group Ltd. (a)		27,151		247,346
RingCentral, Inc. - Class A (a)		5,803		197,882
Rosetta Stone, Inc. (a)		30,441		361,335
Sapiens International Corp N.V. (a)(b)		14,034		174,162
Science Applications International Corp.		8,863		673,499
SecureWorks Corp. - Class A (a)		14,228		154,801
ServiceSource International, Inc. (a)		5,670		19,618
Shutterstock, Inc. (a)		242		11,268
Silver Spring Networks, Inc. (a)		19,723		200,780
SPS Commerce, Inc. (a)		100		5,816
Stamps.com, Inc. (a)		579		79,844
Sykes Enterprises, Inc. (a)		15,218		507,216
Synchronoss Technologies, Inc. (a)		12,616		161,232
Syntel, Inc.		26,413		461,699
TechTarget, Inc. (a)		15,197		138,293
Telenav, Inc. (a)		24,333		198,314
TeleTech Holdings, Inc.		11,639		495,239
The Hackett Group, Inc.		42,193		618,549
The Meet Group, Inc. (a)		39,024		180,681
The Rubicon Project, Inc. (a)		171,006		851,610
The Trade Desk, Inc. - Class A (a)		3,339		183,645
Travelport Worldwide Ltd. (b)		7,394		99,819
Unisys Corp. (a)		53,459		630,816
Varonis Systems, Inc. (a)		130		4,726

	SHARES		FAIR VALUE
Software & Services - 7.3% (continued)
VASCO Data Security International, Inc. (a)		1,535	$	21,030
Virtusa Corp. (a)		10,750		311,965
Web.com Group, Inc. (a)		13,697		311,607
Workiva, Inc. (a)		6,042		109,964
Xactly Corp. (a)		10,537		165,431
XO Group, Inc. (a)		28,390		468,719
Zix Corp. (a)		82,952		478,633
				30,951,515
Technology Hardware & Equipment - 6.3%
3D Systems Corp. (a)		13		266
ADTRAN, Inc.		15,977		307,557
Aerohive Networks, Inc. (a)		39,794		189,419
Agilysys, Inc. (a)		30,920		306,417
Anixter International, Inc. (a)		15,385		1,161,568
Avid Technology, Inc. (a)		22,275		116,053
AVX Corp.		100,801		1,650,112
Badger Meter, Inc.		12,711		498,271
Bel Fuse, Inc. - Class B		18,036		432,864
Belden, Inc.		1,344		95,424
Benchmark Electronics, Inc. (a)		40,545		1,309,604
Black Box Corp.		33,804		277,193
CalAmp Corp. (a)		5,318		100,510
Calix, Inc. (a)		83,392		546,218
Clearfield, Inc. (a)		764		9,970
Comtech Telecommunications Corp.		9,934		143,348
Control4 Corp. (a)		21,015		417,148
CPI Card Group, Inc.		73,634		143,586
Cray, Inc. (a)		9,636		171,039
CTS Corp.		25,842		543,974
Daktronics, Inc.		64,636		641,835
Diebold Nixdorf, Inc.		7,405		195,862
Digi International, Inc. (a)		67,437		644,023
Eastman Kodak Co. (a)		20,333		188,080
Electro Scientific Industries, Inc. (a)		24,276		202,947
Electronics For Imaging, Inc. (a)		10,421		494,164
EMCORE Corp.		17,368		174,548
ePlus, Inc. (a)		9,846		775,373
Extreme Networks, Inc. (a)		12,473		120,115
FARO Technologies, Inc. (a)		4,400		152,900
II-VI, Inc. (a)		7,582		227,460
Immersion Corp. (a)		2,020		17,170
Infinera Corp. (a)		16,454		159,933
Insight Enterprises, Inc. (a)		14,997		622,975
InterDigital, Inc.		8,503		688,743
Itron, Inc. (a)		7,148		483,562
Kimball Electronics, Inc. (a)		41,329		719,125
KVH Industries, Inc. (a)		38,930		367,889
Maxwell Technologies, Inc. (a)		5,982		34,636
Methode Electronics, Inc.		14,615		586,792
MTS Systems Corp.		5,092		264,020
NETGEAR, Inc. (a)		11,848		497,024
NetScout Systems, Inc. (a)		8,570		313,662
Novanta, Inc. (a)(b)		15,942		542,028
Park Electrochemical Corp.		15,855		267,950
PC Connection, Inc.		27,241		710,445
Plantronics, Inc.		6,704		354,776
Plexus Corp. (a)		13,665		710,307

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

25

Schedule of Investments as of May 31, 2017

ELEMENTS U.S. SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Technology Hardware & Equipment - 6.3% (continued)
Pure Storage, Inc. - Class A (a)		5,227	$	67,637
Radisys Corp. (a)		72,737		274,218
Rogers Corp. (a)		1,286		136,586
Sanmina Corp. (a)		20,097		735,550
ScanSource, Inc. (a)		16,879		641,402
ShoreTel, Inc. (a)		93,620		542,996
Silicom Ltd. (b)		5,371		273,760
Sonus Networks, Inc. (a)		74,732		504,441
Stratasys Ltd. (a)(b)		842		22,650
Super Micro Computer, Inc. (a)		202		4,969
SYNNEX Corp.		7,553		840,347
Systemax, Inc.		52,030		828,838
Tech Data Corp. (a)		3,227		312,922
TTM Technologies, Inc. (a)		46,921		761,997
Vishay Intertechnology, Inc.		63,604		1,039,925
Vishay Precision Group, Inc. (a)		19,262		333,233
				26,900,356
Telecommunication Services - 0.4%
Boingo Wireless, Inc. (a)		1,818		29,215
Consolidated Communications Holdings, Inc.		2,365		47,111
FairPoint Communications, Inc. (a)		4,482		64,541
IDT Corp. - Class B		45,454		770,900
Lumos Networks Corp. (a)		72		1,290
ORBCOMM, Inc. (a)		1,068		10,466
Spok Holdings, Inc.		38,684		673,102
Vonage Holdings Corp. (a)		15,155		104,721
				1,701,346
Transportation - 1.5%
Arkansas Best Corp.		10,371		194,975
Covenant Transportation Group, Inc. - Class A (a)		2,403		44,263
Echo Global Logistics, Inc. (a)		8,449		157,574
Forward Air Corp.		17,815		928,696
Hawaiian Holdings, Inc. (a)		13,998		701,300
Heartland Express, Inc.		25,689		499,651
Hub Group, Inc. - Class A (a)		15,565		558,005
Knight Transportation, Inc.		17,912		597,365
Marten Transport Ltd.		12,415		307,271
Park-Ohio Holdings Corp.		3,257		120,835
Radiant Logistics, Inc. (a)		112,797		663,246
Roadrunner Transportation Systems, Inc. (a)		78,404		497,866
Saia, Inc. (a)		2,134		98,591
Swift Transportation Co. (a)		24,020		575,279
Universal Logistics Holdings, Inc.		5,888		81,254
YRC Worldwide, Inc. (a)		21,580		198,320
				6,224,491
Utilities - 0.6%
ALLETE, Inc.		4,126		302,807
Artesian Resources Corp.		2,155		75,705
Atlantic Power Corp. (a)(b)		81		190
California Water Service Group		136		4,712
Consolidated Water Co Ltd. (b)		18,790		222,662
Dynegy, Inc. (a)		18,902		156,320

	SHARES		FAIR VALUE
Utilities - 0.6% (continued)
Genie Energy Ltd. - Class B		24,377	$	187,459
Northwest Natural Gas Co.		2,570		157,413
NRG Yield, Inc. - Class A		13,434		231,065
NRG Yield, Inc. - Class C		11,007		194,824
Portland General Electric Co.		5,401		255,683
South Jersey Industries, Inc.		2,814		102,458
Southwest Gas Holdings, Inc.		1,653		131,529
Spark Energy, Inc. - Class A		9,956		436,571
The York Water Co.		1,664		55,078
				2,514,476
TOTAL COMMON STOCKS (Cost $398,417,441)				395,240,005
REAL ESTATE INVESTMENT TRUSTS - 0.3%
Diversified Financials - 0.3%
AG Mortgage Investment Trust, Inc.		6,268		116,773
Anworth Mortgage Asset Corp.		16,492		99,777
Apollo Commercial Real Estate Finance, Inc.		18,758		346,273
Ares Commercial Real Estate Corp.		1,652		21,856
Capstead Mortgage Corp.		13,049		137,536
Dynex Capital, Inc.		18,017		123,597
Ladder Capital Corp.		979		13,774
MTGE Investment Corp.		120		2,190
New Residential Investment Corp.		9,018		145,100
Resource Capital Corp.		25,924		249,907
				1,256,783
Real Estate (c) - 0.0%
Global Net Lease, Inc.		2,302		51,887
TOTAL REAL ESTATE INVESMENT TRUSTS (Cost $1,312,048)				1,308,670
RIGHTS (c) - 0.0%
Health Care Equipment & Services (c) - 0.0%
Community Health Systems, Inc. (a)		8,262		73,118
TOTAL RIGHTS (Cost $74,807)				73,118
	PRINCIPAL AMOUNT		FAIR VALUE
U.S. GOVERNMENT NOTES - 1.2%
U.S. Government Notes - 1.2%
United States Treasury Floating Rate Note - 0.899%, 07/31/2017 (d)	$	5,000,000		5,001,090
TOTAL U.S. GOVERNMENT NOTES (Cost $5,001,016)				5,001,090
	SHARES		FAIR VALUE
SHORT-TERM INVESTMENTS - 18.1%
Money Market Funds - 15.7%
Fidelity Institutional Money Market Funds - Government Portfolio - Institutional Class - 0.64% (e)		13,327,857		13,327,857

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

26

Schedule of Investments as of May 31, 2017

ELEMENTS U.S. SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Money Market Funds - 15.7% (continued)
First American Government Obligations Fund - Class Z - 0.65% (e)		13,327,857	$	13,327,857
First American Treasury Obligations Fund - Class Z - 0.64% (e)		13,327,856		13,327,856
Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class - 0.67% (e)		13,327,857		13,327,857
Short-Term Investments Trust - Treasury Portfolio - Institutional Class - 0.65% (e)		13,327,857		13,327,857
				66,639,284
	PRINCIPAL AMOUNT		FAIR VALUE
U.S. Treasury Bills - 2.4%
0.729%, 06/29/2017 (f)	$	1,000		999
0.800%, 07/13/2017 (f)		10,000,000		9,990,638
				9,991,637
TOTAL SHORT-TERM INVESTMENTS (Cost $76,630,921)				76,630,921
TOTAL INVESTMENTS (Cost $481,436,233) - 113.0%				478,253,804
LIABILITIES IN EXCESS OF OTHER ASSETS - (13.0)%				(55,140,515)
TOTAL NET ASSETS - 100.0%			$	423,113,289

Percentages are stated as a percent of net assets.

PLC - Public Limited Company

(a) Non-income producing security.

(b) Foreign issued security. Total foreign securities are $14,637,744, which represents 3.5% of net assets.

(c) Rounds to zero.

(d) Variable rate security. The rate is listed as of May 31, 2017.

(e) Rate shown is the 7-day effective yield.

(f) Rate shown is the effective yield based on purchase price. The calculation assumes the security is held to maturity.

Open Futures Contracts

DESCRIPTION	NUMBER OF CONTRACTS PURCHASED		NOTIONAL VALUE		UNREALIZED DEPRECIATION
FUTURES CONTRACTS PURCHASED
Russell 2000 Mini Index, June 2017 Settlement		350	$	23,959,250	$	(42,627)
TOTAL FUTURES CONTRACTS PURCHASED			$	23,959,250	$	(42,627)

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements.

Elements Portfolios Annual Report May 31, 2017

27

Schedule of Investments as of May 31, 2017

ELEMENTS INTERNATIONAL PORTFOLIO

	SHARES		FAIR VALUE
COMMON STOCKS - 70.8%
Australia - 5.8%
AGL Energy Ltd.		34,865	$	682,637
Aristocrat Leisure Ltd.		21,235		343,976
Aurizon Holdings Ltd.		23,759		97,098
Australia & New Zealand Banking Group Ltd.		174,134		3,624,233
BHP Billiton Ltd.		29,275		519,893
Caltex Australia Ltd.		26,724		656,483
CIMIC Group Ltd.		28,084		845,149
Coca-Cola Amatil Ltd.		93,713		650,379
Cochlear Ltd.		597		65,028
Commonwealth Bank of Australia		8,671		513,186
Flight Centre Travel Group Ltd.		25,779		684,988
Fortescue Metals Group Ltd.		302,563		1,090,378
Harvey Norman Holdings Ltd.		99,113		277,646
Macquarie Group Ltd.		1,976		131,630
Medibank Private Ltd.		407,998		833,701
National Australia Bank Ltd.		69,359		1,552,306
Orica Ltd.		21,956		321,069
Origin Energy Ltd. (a)		29,685		169,843
Qantas Airways Ltd.		184,461		686,692
Rio Tinto Ltd.		25,246		1,178,259
Sonic Healthcare Ltd.		5,689		97,902
South32 Ltd.		121,405		238,155
Tabcorp Holdings Ltd.		20,243		68,891
Tatts Group Ltd.		87,762		273,889
Telstra Corp., Ltd.		210,971		689,755
TPG Telecom Ltd.		71,245		311,809
Wesfarmers Ltd.		78,759		2,498,892
Woolworths Ltd.		136,206		2,636,474
				21,740,341
Austria - 0.9%
ANDRITZ AG		19,452		1,167,089
Erste Group Bank AG		14,402		522,568
OMV AG		22,050		1,149,452
Raiffeisen Bank International AG (a)		14,706		387,396
				3,226,505
Belgium - 1.1%
Ageas N.V.		1,827		73,772
Colruyt S.A.		13,268		734,130
KBC Group N.V.		18,129		1,364,069
Proximus SADP		7,750		278,549
Solvay S.A. - Class A		10,100		1,320,662
Umicore S.A.		7,373		488,336
				4,259,518
Canada - 5.6%
Agrium, Inc. (a)		1,100		101,641
Alimentation Couche-Tard, Inc. - Class B (a)		26,900		1,244,188
Atco Ltd. - Class I		5,500		207,443
CAE, Inc. (a)		2,800		45,228
Canadian Tire Corp. Ltd. - Class A		8,300		944,744
CGI Group, Inc. - Class A (a)		15,600		773,389
Dollarama, Inc. (a)		300		27,789
Empire Co., Ltd. - Class A (a)		24,000		364,038

	SHARES		FAIR VALUE
Canada - 5.6% (continued)
Finning International, Inc. (a)		21,400	$	407,136
George Weston Ltd. (a)		7,100		641,804
Gildan Activewear, Inc. (a)		6,100		176,608
Great-West Lifeco., Inc.		35,600		884,960
Imperial Oil Ltd. (a)		9,800		277,274
Intact Financial Corp. (a)		1,500		103,024
Jean Coutu Group PJC, Inc. - Class A (a)		5,100		83,776
Linamar Corp. (a)		8,200		371,985
Loblaw Cos., Ltd. (a)		29,800		1,684,295
Magna International, Inc. (a)		33,600		1,504,084
Manulife Financial Corp. (a)		57,300		989,606
Methanex Corp. (a)		3,300		136,119
Metro, Inc. (a)		7,300		244,477
National Bank of Canada (a)		5,300		209,042
Onex Corp.		2,900		210,794
Power Financial Corp.		35,000		835,326
Rogers Communications, Inc. - Class B		3,000		139,912
Royal Bank of Canada (a)		44,700		3,089,639
Saputo, Inc. (a)		34,900		1,165,185
SNC-Lavalin Group, Inc. (a)		100		3,837
Sun Life Financial, Inc. (a)		18,400		604,094
Teck Resources Ltd. - Class B (a)		31,000		551,912
Toronto-Dominion Bank (a)		48,600		2,316,941
West Fraser Timber Co., Ltd. (a)		11,700		509,366
				20,849,656
Cayman Islands - 0.5%
Melco Resorts & Entertainment Ltd. - ADR		3,100		69,998
Sands China Ltd.		14,400		66,433
WH Group Ltd. (b) (Cost $1,592,796; Original Acquisition Date: 05/25/2017)		1,721,500		1,612,688
				1,749,119
Denmark - 2.5%
A.P. Moller - Maersk - Class A		248		450,197
A.P. Moller - Maersk - Class B		218		415,163
Carlsberg A/S - Class B		6,480		705,598
Coloplast A/S - Class B		412		35,280
Danske Bank A/S		40,267		1,512,418
DSV A/S		11,620		707,401
ISS A/S		35,982		1,491,676
Novo Nordisk A/S - Class B		43,079		1,830,782
Pandora A/S		5,976		566,332
TDC A/S		83,525		498,643
Vestas Wind Systems A/S		11,840		1,052,313
William Demant Holding A/S (a)		8,078		211,910
				9,477,713
Finland - 1.6%
Kone OYJ - Class B		17,723		878,196
Metso OYJ		16,401		557,883
Neste OYJ		34,345		1,365,405
Nokian Renkaat OYJ		6,836		279,371
Orion OYJ - Class B		5,871		379,885
Stora Enso OYJ		76,864		972,252
UPM-Kymmene OYJ		37,265		1,050,732
Wartsila OYJ Abp		10,666		633,233
				6,116,957

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

28

Schedule of Investments as of May 31, 2017

ELEMENTS INTERNATIONAL PORTFOLIO

	SHARES		FAIR VALUE
Germany - 8.1%
adidas AG		4,359	$	833,664
Allianz SE		11,222		2,154,416
BASF SE		19,542		1,840,507
Bayer AG		17,090		2,267,301
Beiersdorf AG		7,535		809,205
Brenntag AG		13,764		796,286
Commerzbank AG (a)		62,721		661,460
Continental AG		7,056		1,569,427
Covestro AG (b) (Cost: $1,501,809; Original Acquisition Date: 05/19/2017)		20,219		1,512,240
Deutsche Bank AG		19,477		340,775
Deutsche Lufthansa AG		20,009		388,744
Deutsche Post AG		30,885		1,128,103
Deutsche Telekom AG		11,103		221,077
E.ON SE		101,111		884,589
Evonik Industries AG		7,284		250,835
Fresenius Medical Care AG & Co.		2,022		193,435
Fresenius SE & Co.		1,228		105,130
GEA Group AG		3,402		139,777
Henkel AG & Co.		15,800		1,962,154
Hochtief AG		7,842		1,442,532
Hugo Boss AG		12,070		908,853
Innogy SE (b) (Cost: $140,132; Original Acquisition Date: 05/30/2017)		3,445		141,370
Lanxess AG		1,881		140,369
Linde AG		4,503		859,687
Man SE		5,328		563,271
Merck KGaA		14,056		1,696,623
Metro AG		31,519		1,055,130
OSRAM Licht AG		461		35,303
RWE AG (a)		54,264		1,102,117
SAP SE		4,685		502,293
Siemens AG		12,402		1,770,042
Telefonica Deutschland Holding AG		268,542		1,335,787
Volkswagen AG		3,109		487,031
Zalando SE (a)(b) (Cost: $104,924; Original Acquisition Date: 05/19/2017)		2,218		105,918
				30,205,451
Hong Kong - 1.1%
ASM Pacific Technology Ltd.		12,300		176,468
BOC Hong Kong Holdings Ltd.		21,500		96,980
Cathay Pacific Airways Ltd.		9,000		13,166
CLP Holdings Ltd.		63,500		694,278
First Pacific Co., Ltd.		220,000		172,216
Galaxy Entertainment Group Ltd.		63,000		364,213
Hang Seng Bank Ltd.		4,700		99,217
HK Electric Investments Ltd. (b) (Cost: $170,470; Original Acquisition Date: 05/23/2017)		186,500		170,882
HKT Trust & HKT Ltd.		126,000		164,927
Li & Fung Ltd.		1,630,000		671,449
NWS Holdings Ltd.		68,000		131,592
SJM Holdings Ltd.		576,000		558,811
Techtronic Industries Co., Ltd.		81,000		383,039
Yue Yuen Industrial Holdings Ltd.		77,000		306,812
				4,004,050

	SHARES		FAIR VALUE
Ireland - 0.1%
CRH PLC		11,566	$	416,482
Israel - 0.3%
Bank Hapoalim B.M.		26,738		178,072
Bezeq The Israeli Telecommunication Corp. Ltd.		98,512		170,920
Check Point Software Technologies Ltd. (a)		2,161		242,140
Elbit Systems Ltd.		571		69,428
Taro Pharmaceutical Industries Ltd. (a)		4,000		426,440
Teva Pharmaceutical Industries Ltd. - ADR		7,500		208,950
				1,295,950
Italy - 1.1%
EXOR N.V.		16,927		944,097
Leonardo S.p.A.		35,746		629,638
Luxottica Group S.p.A.		2,911		176,421
Poste Italiane S.p.A (b) (Cost: $253,955; Original Acquisition Date: 05/19/2017)		35,074		246,648
Prysmian S.p.A		24,725		687,986
Saipem S.p.A. (a)		293,728		1,191,159
Snam S.p.A.		46,030		211,072
				4,087,021
Japan - 26.9%
ABC-Mart, Inc.		2,400		140,208
Aeon Co., Ltd.		50,600		764,369
Air Water, Inc.		21,300		383,112
Aisin Seiki Co., Ltd.		12,500		616,253
Ajinomoto Co., Inc.		8,000		171,269
Alfresa Holdings Corp.		34,000		655,747
Alps Electric Co., Ltd.		16,100		452,108
Amada Holdings Co., Ltd.		62,300		725,661
ANA Holdings, Inc.		63,000		206,435
Aozora Bank Ltd.		42,000		154,348
Asahi Glass Co., Ltd.		32,000		261,201
Asahi Kasei Corp.		119,000		1,143,797
Asics Corp.		21,400		358,631
Astellas Pharma, Inc.		90,700		1,145,318
Bandai Namco Holdings, Inc.		12,200		435,675
Benesse Holdings, Inc.		6,700		245,919
Bridgestone Corp.		37,800		1,587,771
Brother Industries Ltd.		42,000		932,153
Calbee, Inc.		3,100		120,081
Canon, Inc.		54,800		1,870,375
Casio Computer Co., Ltd.		20,600		319,928
Chiba Bank Ltd.		7,000		45,950
Coca-Cola Bottlers Japan, Inc.		10,900		351,359
Dai Nippon Printing Co., Ltd.		43,000		477,950
Daicel Corp.		29,400		348,022
Daiichi Sankyo Co., Ltd.		30,100		660,026
Daikin Industries Ltd.		3,800		372,451
DeNA Co., Ltd.		4,600		101,719
Denso Corp.		31,800		1,355,556
FANUC Corp.		600		117,941
Fast Retailing Co., Ltd.		800		267,991
Fuji Electric Co., Ltd.		47,000		251,657
Fujifilm Holdings Corp.		28,300		1,031,832

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

29

Schedule of Investments as of May 31, 2017

ELEMENTS INTERNATIONAL PORTFOLIO

	SHARES		FAIR VALUE
Japan - 26.9% (continued)
Fujitsu Ltd.		150,000	$	1,094,086
Hachijuni Bank Ltd.		5,600		32,209
Hakuhodo DY Holdings, Inc.		46,000		608,488
Hikari Tsushin, Inc.		4,700		476,154
Hino Motors Ltd.		27,000		327,901
Hirose Electric Co., Ltd.		600		80,072
Hisamitsu Pharmaceutical Co., Inc.		4,100		206,203
Hitachi Chemical Co., Ltd.		27,600		761,336
Hitachi Construction Machinery Co., Ltd.		20,800		482,485
Hitachi High-Technologies Corp.		20,400		810,474
Hitachi Ltd.		207,000		1,249,850
Hitachi Metals Ltd.		20,900		278,352
Honda Motor Co., Ltd.		17,300		486,899
Hoshizaki Corp.		3,400		299,323
Hoya Corp.		5,100		251,155
Idemitsu Kosan Co., Ltd.		7,800		218,330
IHI Corp.		51,000		191,567
Iida Group Holdings Co., Ltd.		25,900		427,496
Isetan Mitsukoshi Holdings Ltd.		68,900		694,910
Isuzu Motors Ltd.		14,100		172,256
Itochu Corp.		61,300		870,654
J Front Retailing Co., Ltd.		14,600		206,312
Japan Airlines Co., Ltd.		1,200		35,160
Japan Airport Terminal Co., Ltd.		3,800		148,912
Japan Tobacco, Inc.		10,100		379,468
JFE Holdings, Inc.		12,500		208,409
JSR Corp.		33,100		555,303
JTEKT Corp.		20,100		301,818
JXTG Holdings, Inc.		55,600		242,180
Kajima Corp.		46,000		353,463
Kamigumi Co., Ltd.		39,000		398,980
Kaneka Corp.		31,000		234,844
Kao Corp.		3,800		239,597
Kawasaki Heavy Industries Ltd.		59,000		169,409
KDDI Corp.		72,800		2,015,393
Keyence Corp.		300		136,280
Kikkoman Corp.		8,700		272,587
Kirin Holdings Co., Ltd.		46,300		976,794
Koito Manufacturing Co., Ltd.		9,700		510,619
Komatsu Ltd.		26,300		625,382
Konami Holdings Corp.		2,000		98,239
Konica Minolta, Inc.		72,500		570,181
Kose Corp.		1,500		161,851
Kubota Corp.		11,000		174,014
Kuraray Co., Ltd.		32,900		591,457
Kurita Water Industries Ltd.		20,900		553,119
Kyocera Corp.		16,800		967,953
Kyowa Hakko Kirin Co., Ltd.		6,000		102,610
Lawson, Inc.		4,700		320,406
Lion Corp.		28,000		592,614
LIXIL Group Corp.		37,000		899,693
M3, Inc.		2,300		66,144
Mabuchi Motor Co., Ltd.		5,400		304,253
Makita Corp.		8,600		323,810
Marubeni Corp.		135,400		836,240
Maruichi Steel Tube Ltd.		5,900		172,871
Mazda Motor Corp.		53,400		728,072
Mebuki Financial Group, Inc.		29,100		113,772

	SHARES		FAIR VALUE
Japan - 26.9% (continued)
Medipal Holdings Corp.		36,900	$	679,027
MEIJI Holdings Co., Ltd.		3,700		302,682
MINEBEA MITSUMI, Inc.		9,400		153,371
Miraca Holdings, Inc.		7,000		294,221
MISUMI Group, Inc.		23,000		519,187
Mitsubishi Chemical Holdings Corp.		106,300		804,809
Mitsubishi Corp.		34,600		692,937
Mitsubishi Electric Corp.		110,600		1,524,932
Mitsubishi Gas Chemical Co., Inc.		31,900		657,874
Mitsubishi Logistics Corp.		10,000		127,043
Mitsubishi Motors Corp.		40,300		261,268
Mitsubishi Tanabe Pharma Corp.		12,500		277,991
Mitsubishi UFJ Financial Group, Inc.		323,800		2,019,986
Mitsui & Co., Ltd.		12,800		172,843
Mitsui Chemicals, Inc.		48,000		238,375
Mitsui OSK Lines Ltd.		108,000		310,104
Mixi, Inc.		6,800		426,727
Mizuho Financial Group, Inc.		538,100		936,756
Murata Manufacturing Co., Ltd.		800		110,880
Nabtesco Corp.		10,500		308,126
NEC Corp.		141,000		365,391
Nexon Co., Ltd.		5,900		111,394
NGK Spark Plug Co., Ltd.		6,800		138,210
NH Foods Ltd.		22,000		690,293
Nikon Corp.		32,500		500,926
Nintendo Co., Ltd.		100		30,384
Nippon Express Co., Ltd.		69,000		425,526
Nippon Paint Holdings Co., Ltd.		8,600		342,059
Nippon Steel & Sumitomo Metal Corp.		8,900		189,371
Nippon Telegraph & Telephone Corp.		50,300		2,410,767
Nissan Chemical Industries Ltd.		3,300		115,761
Nissan Motor Co., Ltd.		72,100		691,053
Nisshin Seifun Group, Inc.		35,400		584,619
Nissin Foods Holdings Co., Ltd.		8,700		549,102
Nitto Denko Corp.		12,000		963,359
NOK Corp.		30,200		660,991
Nomura Research Institute Ltd.		5,900		224,546
NSK Ltd.		69,900		833,120
NTT Data Corp.		1,800		97,029
NTT DOCOMO, Inc.		32,700		802,220
Obayashi Corp.		44,300		489,600
Oji Holdings Corp.		63,000		308,885
Olympus Corp.		600		21,914
Omron Corp.		23,700		990,799
Oracle Corp.		4,000		235,485
Osaka Gas Co., Ltd.		185,000		730,479
Otsuka Corp.		9,600		590,303
Otsuka Holdings Co., Ltd.		3,000		135,305
Panasonic Corp.		89,100		1,142,813
Park24 Co., Ltd.		6,500		181,354
Pola Orbis Holdings, Inc.		16,900		473,048
Recruit Holdings Co., Ltd.		15,000		795,034
Resona Holdings, Inc.		75,900		388,375
Ricoh Co., Ltd.		16,500		139,151
Rinnai Corp.		3,800		341,743
Rohm Co., Ltd.		700		56,190
Ryohin Keikaku Co., Ltd.		1,700		442,537
Santen Pharmaceutical Co., Ltd.		15,000		206,546

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

30

Schedule of Investments as of May 31, 2017

ELEMENTS INTERNATIONAL PORTFOLIO

	SHARES		FAIR VALUE
Japan - 26.9% (continued)
Secom Co., Ltd.		8,900	$	650,765
Sega Sammy Holdings, Inc.		40,800		517,598
Seiko Epson Corp.		15,200		318,823
Sekisui Chemical Co., Ltd.		57,700		1,013,853
Sekisui House Ltd.		16,200		277,923
Seven & i Holdings Co., Ltd.		17,000		722,673
Shimadzu Corp.		14,300		276,574
Shimamura Co., Ltd.		4,200		539,269
Shimano, Inc.		1,200		186,366
Shimizu Corp.		68,000		685,219
Shin-Etsu Chemical Co., Ltd.		6,200		556,013
Shinsei Bank Ltd.		170,000		274,763
Shionogi & Co., Ltd.		1,800		96,201
Shiseido Co., Ltd.		6,100		205,335
Showa Shell Sekiyu KK		26,400		242,189
SMC Corp.		200		63,224
Sohgo Security Services Co., Ltd.		2,400		112,253
Sompo Holdings, Inc.		14,300		551,857
Sony Corp.		17,000		619,215
Sony Financial Holdings, Inc.		2,200		33,869
Stanley Electric Co., Ltd.		13,000		391,467
Subaru Corp.		31,700		1,071,932
Sumitomo Chemical Co., Ltd.		52,000		271,386
Sumitomo Corp.		51,800		660,655
Sumitomo Dainippon Pharma Co., Ltd.		14,400		219,738
Sumitomo Electric Industries Ltd.		32,800		519,913
Sumitomo Heavy Industries Ltd.		89,000		580,208
Sumitomo Metal Mining Co., Ltd.		7,000		85,074
Sumitomo Mitsui Financial Group, Inc.		2,000		71,765
Sumitomo Mitsui Trust Holdings, Inc.		5,100		172,686
Sumitomo Rubber Industries Ltd.		40,500		690,420
Sundrug Co., Ltd.		12,200		474,781
Suntory Beverage & Food Ltd.		17,800		864,686
Suzuken Co., Ltd.		15,000		493,002
Suzuki Motor Corp.		20,600		970,014
Sysmex Corp.		3,400		202,004
Taiheiyo Cement Corp.		54,000		173,580
Taisei Corp.		48,000		410,005
Taisho Pharmaceutical Holdings Co., Ltd.		1,900		148,397
Taiyo Nippon Sanso Corp.		10,200		103,520
Takashimaya Co., Ltd.		63,000		585,345
Teijin Ltd.		9,200		171,872
THK Co., Ltd.		11,400		318,582
Toho Co., Ltd.		9,300		275,011
Toho Gas Co., Ltd.		21,000		161,932
Tokyo Electron Ltd.		2,300		325,842
Tokyo Gas Co., Ltd.		66,000		342,664
Toppan Printing Co., Ltd.		63,000		693,996
Toray Industries, Inc.		29,000		242,186
TOTO Ltd.		10,500		400,090
Toyo Seikan Group Holdings Ltd.		22,200		354,799
Toyo Suisan Kaisha Ltd.		5,700		222,081
Toyoda Gosei Co., Ltd.		17,500		420,632
Toyota Industries Corp.		1,200		60,352
Toyota Motor Corp.		30,900		1,655,068
Toyota Tsusho Corp.		12,300		377,052
Trend Micro, Inc.		1,200		60,244
Tsuruha Holdings, Inc.		6,200		687,458

	SHARES		FAIR VALUE
Japan - 26.9% (continued)
Unicharm Corp.		16,800	$	454,472
USS Co., Ltd.		3,500		70,442
Yakult Honsha Co., Ltd.		1,700		120,190
Yamada Denki Co., Ltd.		137,900		723,430
Yamaha Corp.		6,500		210,113
Yamaha Motor Co., Ltd.		26,300		660,409
Yamato Holdings Co., Ltd.		6,400		139,037
Yamazaki Baking Co., Ltd.		32,000		663,115
Yaskawa Electric Corp.		13,900		276,745
Yokogawa Electric Corp.		37,700		653,921
Yokohama Rubber Co., Ltd.		3,800		74,113
				100,816,451
Luxembourg - 0.2%
RTL Group S.A.		6,783		527,894
Tenaris S.A.		4,604		69,562
				597,456
Netherlands - 3.2%
ABN AMRO Group N.V. (b) (Cost: $175,782; Original Acquisition Date: 05/30/2017)		6,796		175,246
Aegon N.V.		98,670		491,250
AerCap Holdings N.V. (a)		1,600		70,432
Akzo Nobel N.V.		9,575		801,439
Altice N.V. - Class A (a)		12,638		314,534
Altice N.V. - Class B (a)		5,616		140,023
ArcelorMittal USA (a)		19,147		415,229
Boskalis Westminster		7,077		243,945
CNH Industrial N.V.		109,056		1,209,773
Gemalto N.V.		11,231		666,399
Heineken Holding N.V.		3,387		314,848
ING Groep N.V.		91,886		1,536,956
Koninklijke Ahold Delhaize N.V.		52,534		1,158,452
Koninklijke DSM N.V.		2,355		175,291
Koninklijke Philips N.V.		60,675		2,144,301
Mobileye N.V. (a)		500		30,950
QIAGEN N.V.		1,056		35,552
Randstad Holding N.V.		15,164		877,280
RELX N.V.		34,022		705,902
Unilever N.V.		6,162		350,951
Wolters Kluwer N.V.		7,191		315,448
				12,174,201
Norway - 1.1%
DNB ASA		61,406		1,039,991
Marine Harvest ASA		44,913		786,707
Norsk Hydro ASA		194,577		1,048,500
Schibsted ASA - Class A		1,418		33,783
Telenor ASA		78,958		1,303,616
				4,212,597
Portugal - 0.5%
EDP - Energias de Portugal S.A.		106,593		392,035
Galp Energia SGPS S.A.		47,817		737,514
Jeronimo Martins SGPS S.A.		36,904		734,606
				1,864,155

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

31

Schedule of Investments as of May 31, 2017

ELEMENTS INTERNATIONAL PORTFOLIO

	SHARES		FAIR VALUE
Spain - 3.6%
ACS Actividades de Construccion y Servicios S.A.		40,334	$	1,611,430
Amadeus IT Group S.A.		1,219		71,002
Banco Bilbao Vizcaya Argentaria S.A.		121,799		992,245
Banco de Sabadell S.A.		238,609		491,590
Banco Popular Espanol S.A. (a)		49,884		34,127
Banco Santander S.A.		317,320		2,060,714
Bankia S.A.		30,228		34,772
Bankinter S.A.		15,222		140,149
CaixaBank S.A.		81,686		385,769
Distribuidora Internacional de Alimentacion S.A.		131,285		808,042
Endesa S.A.		42,603		1,063,173
Gas Natural SDG S.A.		29,535		743,858
Industria de Diseno Textil S.A.		27,539		1,125,919
International Consolidated Airlines Group S.A.		138,461		1,079,299
Mapfre S.A.		127,390		453,068
Repsol S.A.		104,277		1,747,145
Telefonica S.A.		34,394		383,044
Zardoya Otis S.A.		17,991		176,234
				13,401,580
Sweden - 3.0%
Alfa Laval AB		9,999		201,328
Assa Abloy AB - Class B		1,495		33,576
Atlas Copco AB - Class A		25,423		940,704
Atlas Copco AB - Class B		46,017		1,520,064
Boliden AB		8,530		233,482
Electrolux AB - Class B		38,637		1,240,719
Getinge AB - B Shares		9,722		202,351
Hennes & Mauritz AB - Class B		28,215		702,827
Hexagon AB - Class B		873		38,239
Husqvarna AB - B Shares		41,220		427,547
ICA Gruppen AB		11,203		403,707
Industrivarden AB - Class C		14,269		337,213
L E Lundbergforetagen AB		5,958		467,857
Nordea Bank AB		25,951		333,218
Sandvik AB		10,993		172,268
Securitas AB - Class B		21,301		339,438
Skandinaviska Enskilda Banken AB		22,203		267,721
Skanska AB - Class B		34,997		833,109
SKF AB - Class B		26,324		538,510
Swedish Match AB		5,995		202,238
Telefonaktiebolaget LM Ericsson		78,570		573,134
Volvo AB - Class B		64,999		1,062,701
				11,071,951
Switzerland - 3.5%
ABB Ltd.		110,464		2,774,858
Adecco Group AG		21,677		1,615,899
Aryzta AG		3,303		104,285
Barry Callebaut AG		239		342,997
Chocoladefabriken, Lindt & Spruengli AG		29		176,207
Cie Financiere Richemont S.A.		4,609		384,500
Dufry AG (a)		4,686		770,719
EMS-Chemie Holding AG		179		125,765
Geberit AG		376		176,014

	SHARES		FAIR VALUE
Switzerland - 3.5% (continued)
Julius Baer Group Ltd.		1,353	$	70,056
Kuehne + Nagel International AG		1,141		184,129
LafargeHolcim Ltd.		3,500		210,134
Nestle S.A.		7,569		645,891
Novartis AG		290		23,744
Pargesa Holding S.A.		1,792		139,319
Partners Group Holding AG		57		34,928
Roche Holding AG		1,658		455,006
Schindler Holding AG - PC		490		105,078
Schindler Holding AG - REG		4,451		925,540
SGS SA		192		456,930
Sika AG		120		773,114
Sonova Holding AG		19		3,147
Swatch Group AG THE - BR		16,889		1,288,624
Swatch Group AG - THE - REG		2,156		835,198
Swisscom AG		736		352,897
Syngenta AG		403		183,078
				13,158,057
United Kingdom - 0.1%
Coca-Cola European Partners PLC		5,070		209,022
TOTAL COMMON STOCKS (Cost $264,597,820)				264,934,233
PREFERRED STOCKS - 0.2%
Germany - 0.2%
Fuchs Petrolub SE		3,157		176,133
Henkel AG & Co.		4,718		662,234
TOTAL PREFERRED STOCKS (Cost $832,248)				838,367
SHORT-TERM INVESTMENTS - 18.6%
Money Market Funds - 18.6%
Fidelity Institutional Money Market Funds - Government Portfolio - Institutional Class - 0.64% (c)		13,947,902		13,947,902
First American Government Obligations Fund - Class Z - 0.65% (c)		13,947,902		13,947,902
First American Treasury Obligations Fund - Class Z - 0.64% (c)		13,947,903		13,947,903
Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class - 0.67% (c)		13,947,902		13,947,902
Short-Term Investments Trust - Treasury Portfolio - Institutional Class - 0.65% (c)		13,947,902		13,947,902
TOTAL SHORT-TERM INVESTMENTS (Cost $69,739,511)				69,739,511
TOTAL INVESTMENTS (Cost $335,169,579) - 89.6%				335,512,111
OTHER ASSETS IN EXCESS OF LIABILITIES - 10.4%				38,850,138
TOTAL NET ASSETS - 100.0%			$	374,362,249

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

32

Schedule of Investments as of May 31, 2017

ELEMENTS INTERNATIONAL PORTFOLIO

Percentages are stated as a percent of net assets.

ADR - American Depository Receipt

PLC - Public Limited Company

(a) Non-income producing security.

(b) Security is restricted to resale. The Portfolio’s Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. The aggregate value of these securities at May 31, 2017 was $3,964,992, which represents 1.1% of net assets.

(c) Rate shown is the 7-day effective yield.

Open Futures Contracts

DESCRIPTION	NUMBER OF CONTRACTS PURCHASED		NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
FUTURES CONTRACTS PURCHASED
CAC 40 Euro Index, June 2017 Settlement		9	$	532,454	$	(616)
DAX Index, June 2017 Settlement		2		709,848		2,581
FTSE 100 Index, June 2017 Settlement		4		386,945		4,531
FTSE/MIB Index, June 2017 Settlement		1		116,593		(1,249)
IBEX 35 Index, June 2017 Settlement		1		121,957		564
Mini MSCI EAFE Index, June 2017 Settlement		229		21,593,555		187,381
S&P/TSX 60 Index, June 2017 Settlement		12		1,608,054		1,771
Swiss Market Index, June 2017 Settlement		1		93,129		907
Nikkei 225 Index, June 2017 Settlement		56		4,973,002		7,209
TOTAL FUTURES CONTRACTS PURCHASED			$	30,135,538	$	203,080

Total Return Swaps

COUNTERPARTY	REFERENCE ENTITY	PAY/RECEIVE TOTAL RETURN ON REFERENCE ENTITY	TERMINATION DATE		NOTIONAL VALUE		NUMBER OF UNITS		UNREALIZED APPRECIATION/ (DEPRECIATION)
Morgan Stanley	Airbus SE (a)	Receive		6/1/2020	$	521,970		6,359	$	(2,137)
Morgan Stanley	Anglo American PLC (a)	Receive		6/1/2020		825,514		62,114		(24,135)
Morgan Stanley	Arkema (a)	Receive		6/1/2020		798,338		7,640		(12,778)
Morgan Stanley	Associated British Foods PLC (a)	Receive		6/1/2020		245,353		6,356		244
Morgan Stanley	Atos SE (a)	Receive		6/1/2020		328,076		2,287		9,065
Morgan Stanley	Auto Trader Group PLC (a)	Receive		6/1/2020		106,522		19,869		233
Morgan Stanley	AXA SA (a)	Receive		6/1/2020		1,393,907		52,268		133
Morgan Stanley	Barclays PLC (a)	Receive		6/1/2020		847,422		313,195		(10,698)
Morgan Stanley	Barratt Developments PLC (a)	Receive		6/1/2020		728,911		92,364		10,911
Morgan Stanley	BHP Billiton PLC (a)	Receive		6/1/2020		861,618		57,010		(25,267)
Morgan Stanley	BNP Paribas SA (a)	Receive		6/1/2020		69,228		981		(543)
Morgan Stanley	Bollore (a)	Receive		6/1/2020		404,386		87,800		6,135
Morgan Stanley	Bouygues Sa (a)	Receive		6/1/2020		2,001,826		46,735		27,772
Morgan Stanley	BT Group PLC (a)	Receive		6/1/2020		212,094		53,178		410
Morgan Stanley	Bunzl PLC (a)	Receive		6/1/2020		244,319		7,797		(30)
Morgan Stanley	Burberry Group PLC (a)	Receive		6/1/2020		1,048,642		44,842		16,813
Morgan Stanley	Capgemini SE (a)	Receive		6/1/2020		35,200		340		(202)
Morgan Stanley	Capita PLC (a)	Receive		6/1/2020		55,568		7,404		1,985
Morgan Stanley	Carnival PLC (a)	Receive		6/1/2020		1,203,678		18,797		16,477
Morgan Stanley	Carrefour SA (a)	Receive		6/1/2020		1,623,513		62,174		3,691
Morgan Stanley	Casino Guichard Perrachon (a)	Receive		6/1/2020		1,611,695		26,138		3,597
Morgan Stanley	Centrica PLC (a)	Receive		6/1/2020		568,482		217,027		(103)
Morgan Stanley	CGDE Michelin (a)	Receive		6/1/2020		1,648,691		13,104		(47,414)
Morgan Stanley	Christian Dior Se (a)	Receive		6/1/2020		2,175,088		7,617		1,618
Morgan Stanley	Coca-Cola HBC AG (a)	Receive		6/1/2020		883,400		30,432		135
Morgan Stanley	Compagnie de Saint-Gobain (a)	Receive		6/1/2020		215,552		3,855		(1,180)
Morgan Stanley	Compass Group PLC (a)	Receive		6/1/2020		1,545,675		71,835		18,150
Morgan Stanley	CRH PLC (a)	Receive		6/1/2020		1,180,200		32,775		(4,641)
Morgan Stanley	Dassault Aviation SA (a)	Receive		6/1/2020		252,041		169		236

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

33

Schedule of Investments as of May 31, 2017

ELEMENTS INTERNATIONAL PORTFOLIO

COUNTERPARTY	REFERENCE ENTITY	PAY/RECEIVE TOTAL RETURN ON REFERENCE ENTITY	TERMINATION DATE		NOTIONAL VALUE		NUMBER OF UNITS		UNREALIZED APPRECIATION/ (DEPRECIATION)
Morgan Stanley	DCC PLC (a)	Receive		6/1/2020	$	386,172		4,064	$	1,723
Morgan Stanley	Direct Line Insurance Group (a)	Receive		6/1/2020		316,611		70,491		839
Morgan Stanley	Dixons Carphone PLC (a)	Receive		6/1/2020		140,982		33,299		(379)
Morgan Stanley	EDF (a)	Receive		6/1/2020		1,173,843		108,939		9,327
Morgan Stanley	Eiffage (a)	Receive		6/1/2020		1,265,006		13,911		32,440
Morgan Stanley	Engie (a)	Receive		6/1/2020		1,309,467		85,806		22,639
Morgan Stanley	Eutelsat Communications (a)	Receive		6/1/2020		103,851		4,037		(1,209)
Morgan Stanley	Experian PLC (a)	Receive		6/1/2020		70,088		3,362		(57)
Morgan Stanley	Fresnillo PLC (a)	Receive		6/1/2020		158,650		7,813		(393)
Morgan Stanley	G4S PLC (a)	Receive		6/1/2020		458,320		109,451		(1,814)
Morgan Stanley	GKN PLC (a)	Receive		6/1/2020		1,051,799		233,238		(7,637)
Morgan Stanley	Glencore PLC (a)	Receive		6/1/2020		244,414		66,537		(4,671)
Morgan Stanley	Hermes International (a)	Receive		6/1/2020		774,937		1,568		1,065
Morgan Stanley	HSBC Holdings PLC (a)	Receive		6/1/2020		3,313,263		380,628		(6,885)
Morgan Stanley	Imerys SA (a)	Receive		6/1/2020		517,958		5,971		571
Morgan Stanley	IMI PLC (a)	Receive		6/1/2020		130,679		8,088		1,012
Morgan Stanley	Intercontinental Hotels Group (a)	Receive		6/1/2020		220,980		3,922		1,614
Morgan Stanley	J Sainsbury PLC (a)	Receive		6/1/2020		493,416		136,283		1,579
Morgan Stanley	Johnson Matthey PLC (a)	Receive		6/1/2020		388,815		9,697		(1,377)
Morgan Stanley	Kering (a)	Receive		6/1/2020		255,974		774		765
Morgan Stanley	Kingfisher PLC (a)	Receive		6/1/2020		1,197,948		285,993		(28,607)
Morgan Stanley	Lagardere SCA (a)	Receive		6/1/2020		1,009,894		32,130		(5,230)
Morgan Stanley	Legrand SA (a)	Receive		6/1/2020		382,282		5,576		(291)
Morgan Stanley	L’Oreal (a)	Receive		6/1/2020		1,152,725		5,388		10,866
Morgan Stanley	LVMH Moet Hennessy Louis Vuitton SE (a)	Receive		6/1/2020		1,449,877		5,682		(3,107)
Morgan Stanley	Marks & Spencer Group PLC (a)	Receive		6/1/2020		391,381		79,415		(6,002)
Morgan Stanley	Mondi PLC (a)	Receive		6/1/2020		1,196,750		45,891		5,418
Morgan Stanley	Natixis (a)	Receive		6/1/2020		73,154		11,075		(2,417)
Morgan Stanley	Next PLC (a)	Receive		6/1/2020		922,300		16,418		(6,582)
Morgan Stanley	Old Mutual PLC (a)	Receive		6/1/2020		437,817		180,554		(11,977)
Morgan Stanley	Persimmon PLC (a)	Receive		6/1/2020		791,984		25,038		2,240
Morgan Stanley	Petrofac Ltd (a)	Receive		6/1/2020		521,840		106,583		(32,230)
Morgan Stanley	Prudential PLC (a)	Receive		6/1/2020		1,133,534		50,678		(6,613)
Morgan Stanley	Publicis Groupe (a)	Receive		6/1/2020		316,409		4,133		(1,337)
Morgan Stanley	Randgold Resources Ltd. (a)	Receive		6/1/2020		36,060		380		719
Morgan Stanley	RELX PLC (a)	Receive		6/1/2020		280,370		13,085		876
Morgan Stanley	Renault Sa (a)	Receive		6/1/2020		663,831		7,112		(12,849)
Morgan Stanley	Rexel Sa (a)	Receive		6/1/2020		1,116,882		63,408		10,328
Morgan Stanley	Rio Tinto PLC (a)	Receive		6/1/2020		1,257,541		31,459		(33,947)
Morgan Stanley	Rolls-Royce Holdings PLC (a)	Receive		6/1/2020		246,112		22,019		(556)
Morgan Stanley	Royal Bank Of Scotland Group (a)	Receive		6/1/2020		346,409		103,407		(1,162)
Morgan Stanley	Royal Dutch Shell PLC — A Shares (a)	Receive		6/1/2020		3,978,211		147,029		(19,591)
Morgan Stanley	Royal Dutch Shell PLC — B Shares (a)	Receive		6/1/2020		3,380,363		122,398		(26,985)
Morgan Stanley	Royal Mail PLC (a)	Receive		6/1/2020		1,372,524		241,336		6,990
Morgan Stanley	Safran Sa (a)	Receive		6/1/2020		1,033,653		11,677		889
Morgan Stanley	Sanofi (a)	Receive		6/1/2020		2,381,171		24,041		10,132
Morgan Stanley	Schneider Electric SE (a)	Receive		6/1/2020		1,203,010		15,620		(5,673)
Morgan Stanley	Schroders PLC (a)	Receive		6/1/2020		484,046		11,900		57
Morgan Stanley	SCOR SE (a)	Receive		6/1/2020		838,893		21,309		856
Morgan Stanley	Smiths Group PLC (a)	Receive		6/1/2020		260,175		12,597		2,800
Morgan Stanley	Societe Generale SA (a)	Receive		6/1/2020		207,663		3,961		(1,212)
Morgan Stanley	Sodexo SA (a)	Receive		6/1/2020		822,955		6,032		9,667

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

34

Schedule of Investments as of May 31, 2017

ELEMENTS INTERNATIONAL PORTFOLIO

COUNTERPARTY	REFERENCE ENTITY	PAY/RECEIVE TOTAL RETURN ON REFERENCE ENTITY	TERMINATION DATE		NOTIONAL VALUE		NUMBER OF UNITS		UNREALIZED APPRECIATION/ (DEPRECIATION)
Morgan Stanley	SSE PLC (a)	Receive		6/1/2020	$	176,478		9,101	$	(954)
Morgan Stanley	St James’s Place PLC (a)	Receive		6/1/2020		242,888		16,071		(757)
Morgan Stanley	STMicroelectronics NV (a)	Receive		6/1/2020		105,000		6,365		(260)
Morgan Stanley	Suez (a)	Receive		6/1/2020		622,443		34,119		(2,443)
Morgan Stanley	Taylor Wimpey PLC (a)	Receive		6/1/2020		849,295		324,551		11,362
Morgan Stanley	Tesco PLC (a)	Receive		6/1/2020		352,150		148,783		(3,629)
Morgan Stanley	Thales SA (a)	Receive		6/1/2020		831,897		7,532		7,442
Morgan Stanley	The Berkeley Group Holdings (a)	Receive		6/1/2020		176,113		4,198		(2,054)
Morgan Stanley	Travis Perkins PLC (a)	Receive		6/1/2020		438,496		20,828		(3,885)
Morgan Stanley	TUI AG (a)	Receive		6/1/2020		175,579		11,375		727
Morgan Stanley	Unilever PLC (a)	Receive		6/1/2020		560,992		10,052		1,783
Morgan Stanley	Valeo SA (a)	Receive		6/1/2020		632,168		9,081		(14,949)
Morgan Stanley	Veolia Environnement (a)	Receive		6/1/2020		340,001		15,450		(3,376)
Morgan Stanley	Vinci SA (a)	Receive		6/1/2020		420,351		4,814		3,202
Morgan Stanley	Vodafone Group PLC (a)	Receive		6/1/2020		70,217		23,541		451
Morgan Stanley	Wendel (a)	Receive		6/1/2020		420,585		2,757		1,219
Morgan Stanley	William Hill PLC (a)	Receive		6/1/2020		691,925		186,921		(5,201)
Morgan Stanley	Wm Morrison Supermarkets (a)	Receive		6/1/2020		859,652		271,000		156
Morgan Stanley	Wolseley PLC (a)	Receive		6/1/2020		656,025		9,964		19,288
Morgan Stanley	WPP PLC (a)	Receive		6/1/2020		455,768		20,283		(1,042)
Morgan Stanley	Zodiac Aerospace (a)	Receive		6/1/2020		285,204		10,767		2,224
					$	76,663,125			$	(97,597)

(a) Foreign issue total return swap.

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements.

Elements Portfolios Annual Report May 31, 2017

35

Schedule of Investments as of May 31, 2017

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
COMMON STOCKS - 68.0%
Australia - 4.1%
ALS Ltd.		2,515	$	12,614
Altium Ltd.		3,549		22,310
Ansell Ltd.		2,558		44,401
ARB Corp. Ltd.		1,901		22,135
Australian Pharmaceutical Industries Ltd.		177,751		235,760
Automotive Holdings Group Ltd.		90,781		198,318
Bapcor Ltd.		1,614		6,260
Bega Cheese Ltd.		5,005		22,054
BlueScope Steel Ltd.		76,980		657,802
Breville Group Ltd.		21,718		166,056
Cabcharge Australia Ltd.		44,353		85,028
Cleanaway Waste Management Ltd.		11,474		11,254
Costa Group Holdings Ltd.		26,796		90,196
CSR Ltd.		82,064		254,278
Downer EDI Ltd.		81,507		387,609
DuluxGroup Ltd.		6,393		33,442
FlexiGroup Ltd.		56,330		71,365
Greencross Ltd.		2,799		11,709
GUD Holdings Ltd.		7,461		66,638
GWA Group Ltd.		62,090		135,179
Hansen Technologies Ltd.		4,223		11,234
IDP Education Ltd.		3,342		11,075
Infigen Energy Ltd. (a)		18,068		11,747
InvoCare Ltd.		1,008		10,988
JB Hi-Fi Ltd.		1,943		33,380
Metcash Ltd. (a)		166,927		254,273
Michael Hill International Ltd.		12,124		10,946
Mineral Resources Ltd.		21,059		158,044
Monadelphous Group Ltd.		24,198		233,745
Myer Holdings Ltd.		282,125		181,333
Myob Group Ltd.		12,819		33,814
Nanosonics Ltd. (a)		10,625		22,264
Nufarm Ltd.		19,745		145,102
OZ Minerals Ltd.		22,528		122,366
Pact Group Holdings Ltd.		7,244		33,103
Perpetual Ltd.		1,109		43,806
Platinum Asset Management Ltd.		22,866		72,210
Primary Health Care Ltd.		17,106		46,775
Programmed Maintenance Services Ltd.		153,479		204,137
RCG Corp. Ltd.		125,886		56,124
Regis Resources Ltd.		26,745		64,984
Sandfire Resources NL		22,213		100,848
Seven West Media Ltd.		43,243		22,492
Sigma Healthcare Ltd.		354,946		214,951
Sirtex Medical Ltd.		3,449		30,728
Southern Cross Media Group, Ltd.		93,111		78,527
Spark Infrastructure Group		16,776		33,657
Spotless Group Holdings Ltd.		26,711		22,329
St. Barbara Ltd. (a)		79,691		170,538
Super Retail Group Ltd.		42,989		245,962
Vita Group Ltd.		142,917		102,478
Whitehaven Coal Ltd. (a)		52,978		99,594
WiseTech Global Ltd.		4,151		22,269
				5,440,231

	SHARES		FAIR VALUE
Austria - 1.4%
DO & CO AG		527	$	39,250
EVN AG		3,940		57,096
FACC AG (a)		1,198		9,555
Kapsch TrafficCom AG		642		34,726
Lenzing AG		2,301		412,153
Oesterreichische Post AG		5,639		244,832
Porr AG		3,577		121,652
RHI AG		4,818		175,251
S&T AG		4,844		69,869
UNIQA Insurance Group AG		37,938		330,288
Wienerberger AG		9,241		217,844
Zumtobel Group AG		8,869		182,523
				1,895,039
Belgium - 1.8%
Ackermans & van Haaren N.V.		2,090		356,046
AGFA-Gevaert N.V. (a)		32,166		147,029
Barco N.V.		1,563		155,002
Bekaert, S.A.		1,135		58,950
Bpost, S.A.		9,601		233,556
Cie d’Entreprises Cfe, S.A.		1,099		168,457
D’ieteren, S.A.		7,583		369,954
Econocom Group SE		1,416		12,442
Euronav N.V.		8,153		61,299
EVS Broadcast Equipment, S.A.		2,151		86,300
Greenyard N.V.		6,837		142,893
Ion Beam Applications, S.A.		412		24,997
Kinepolis Group N.V		437		25,159
Melexis N.V.		1,386		125,040
Orange Belgium, S.A.		6,190		144,252
Sioen Industries N.V.		609		22,333
Sofina, S.A.		999		146,115
Van de Velde N.V.		861		47,132
				2,326,956
Bermuda - 0.4%
Esprit Holdings Ltd. (a)		90,600		63,481
Man Wah Holdings Ltd.		135,200		135,329
NewOcean Energy Holdings Ltd.		232,000		71,453
Seadrill Ltd. (a)		44,443		21,008
VTech Holdings Ltd.		11,900		181,267
				472,538
Canada - 3.5%
Aecon Group, Inc. (a)		5,500		60,014
Ag Growth International, Inc. (a)		235		10,118
AGF Management Ltd. (a)		9,659		46,334
Amaya, Inc. (a)		1,400		24,282
ATS Automation Tooling Systems, Inc. (a)		4,674		44,738
AutoCanada, Inc. (a)		2,701		36,710
Badger Daylightling Ltd. (a)		2,100		36,299
Bird Construction, Inc. (a)		3,448		21,390
BRP, Inc. (a)		6,024		146,536
Callidus Capital Corp. (a)		1,140		13,114
Canaccord Genuity Group, Inc. (a)		5,777		18,817
Canadian Western Bank (a)		1,386		24,901
Canfor Corp. (a)		18,165		258,722
Canfor Pulp Products, Inc. (a)		1,000		9,150

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

36

Schedule of Investments as of May 31, 2017

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Canada - 3.5% (continued)
Cascades, Inc. (a)		10,162	$	123,447
Celestica, Inc. (a)		23,171		318,529
Cogeco Communications, Inc. (a)		1,800		105,240
Cogeco, Inc. (a)		200		9,932
Corby Spirit and Wine Ltd. (a)		500		8,480
Corus Entertainment, Inc. - B Shares (a)		1,200		11,868
Descartes Systems Group, Inc. (a)		400		10,003
Dorel Industries, Inc. - Class B (a)		3,375		87,870
Dundee Corp. - Class A (a)		7,000		15,960
Enerflex Ltd. (a)		900		11,426
Enghouse Systems Ltd. (a)		551		24,094
Equitable Group, Inc. (a)		400		14,782
Exco Technologies Ltd. (a)		5,511		46,059
Genworth MI Canada, Inc. (a)		2,685		60,782
Gluskin Sheff + Associates, Inc. (a)		4,213		47,842
Great Canadian Gaming Corp. (a)		1,300		23,106
High Liner Foods, Inc. (a)		4,600		66,198
Home Capital Group, Inc.		1,789		12,105
Hudbay Minerals, Inc. (a)		14,420		73,763
Interfor Corp. (a)		11,049		144,201
Just Energy Group, Inc. (a)		41,729		218,399
Kinaxis, Inc. (a)		269		17,922
Labrodor Iron Ore Royalty Corp. (a)		900		11,360
Laurentian Bank of Canada (a)		1,836		70,784
Lucara Diamond Corp. (a)		23,600		52,411
Magellan Aerospace Corp. (a)		1,300		20,258
Maple Leaf Foods, Inc. (a)		9,119		231,679	��
Martinrea International, Inc. (a)		10,400		86,073
Morneau Shepell, Inc. (a)		700		10,991
New Flyer Industries, Inc. (a)		5,891		242,295
Norbord, Inc.		2,064		58,810
Parkland Fuel Corp. (a)		2,100		47,788
Premium Brands Holdings Corp. (a)		700		47,845
Pretium Resources, Inc. (a)		2,973		26,652
Quebecor, Inc. - Class B (a)		800		24,370
Russel Metals, Inc. (a)		6,899		128,649
Sandvine Corp. (a)		45,600		130,975
Sierra Wireless, Inc. (a)		400		10,841
Silvercorp Metals, Inc. (a)		4,300		12,542
Spin Master Corp. (a)(b) (Cost: $117,114; Original Acquisition Date: 05/05/2017)		4,014		117,610
Sprott, Inc. (a)		11,300		19,156
Superior Plus Corp. (a)		10,491		92,729
TFI International, Inc. (a)		2,292		46,829
The North West Co., Inc. (a)		5,642		134,822
TMX Group Rg (a)		900		47,550
Toromont Industries Ltd. (a)		3,252		109,560
TransAlta Corp. (a)		2,100		11,846
Transcontinental, Inc. - Class A (a)		8,074		141,535
Uni-Select, Inc. (a)		6,624		149,020
Wajax Corp. (a)		2,200		38,647
Western Forest Products, Inc. (a)		56,274		88,315
Winpak Ltd. (a)		1,613		70,259
WSP Global, Inc. (a)		1,921		71,516
				4,556,850
Cayman Islands - 0.1%
Goodbaby International Holdings Ltd.		102,000		49,871

	SHARES		FAIR VALUE
Cayman Islands - 0.1% (continued)
Hutchison Telecommunications Hong Kong Holdings Ltd.		352,000	$	107,056
				156,927
Denmark - 1.1%
Alm. Brand A/S		1,851		16,074
Bang & Olufsen A/S (a)		642		9,987
Dampskibsselskabet Norden A/S (a)		854		14,587
Dfds A/S		5,806		320,926
FLSmidth & Co. A/S		3,422		208,324
GN Store Nord A/S		4,038		123,187
IC Group A/S		425		9,243
Matas A/S		3,938		65,421
NKT A/S (a)		1,260		103,613
NNIT A/S (b) (Cost: $5,876; Original Acquisition Date: 05/22/2017)		189		5,851
Per Aarsleff Holding A/S		738		17,666
Rockwool International A/S - B Shares		730		146,078
Royal Unibrew A/S		1,611		74,353
Scandinavian Tobacco Group A/S (b) (Cost: $65,324; Original Acquisition Date: 05/22/2017)		4,079		65,915
Schouw & Co. AB		895		95,698
SimCorp A/S		1,191		74,016
Solar A/S - B Shares		338		19,653
Sydbank A/S		1,570		56,313
Topdanmark A/S (a)		2,195		66,001
				1,492,906
Finland - 1.3%
Amer Sports OYJ		2,116		49,085
Atria OYJ		672		8,508
Cargotec OYJ - B Shares		2,954		175,875
Caverion OYJ (a)		6,940		58,003
Cramo OYJ		844		24,585
F-Secure OYJ		6,735		31,020
Kesko OYJ - B Shares		4,505		234,008
Konecranes OYJ		3,060		126,258
Lehto Group OYJ		4,518		63,695
Oriola OYJ - Class B		13,034		53,296
Outokumpu OYJ		5,300		42,153
Ponsse OYJ		173		4,631
Ramirent OYJ		2,397		24,880
Sanoma OYJ		5,136		47,830
Stockmann OYJ (a)		631		4,937
Tieto OYJ		3,345		109,197
Tokmanni Group Corp.		19,468		181,079
Uponor OYJ		689		12,322
Valmet OYJ		17,134		333,368
YIT OYJ		13,080		110,642
				1,695,372
Germany - 5.4%
ADVA Optical Networking SE (a)		5,480		61,745
AURELIUS Equity Opportunities SE & Co. KGaA		1,966		114,534
Aurubis AG		5,793		451,237
BayWa AG		2,804		100,371
Bechtle AG		789		101,263

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

37

Schedule of Investments as of May 31, 2017

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Germany - 5.4% (continued)
bet-at-home.com AG		385	$	62,106
Borussia Dortmund GmbH & Co. KGaA		7,132		49,288
CANCOM SE		710		41,753
Carl Zeiss Meditec AG		3,713		192,055
CENTROTEC Sustainable AG		1,702		37,092
CEWE Stiftung & Co. KGaA		1,527		134,656
Deutsche Beteiligungs AG		431		20,030
Deutsche Pfandbriefbank AG (b) (Cost: $92,973; Original Acquisition Date: 05/09/2017)		6,739		85,885
Deutz AG		29,993		243,262
Diebold Nixdorf AG		3,060		244,954
DMG Mori AG		4,457		246,660
Draegerwerk AG & Co. KGaA		688		61,667
Drillisch AG		582		36,776
Duerr AG		783		85,399
Freenet AG		6,425		229,410
Gerry Weber International AG		5,280		72,125
Gesco AG		2,008		51,881
Grammer AG		2,445		134,762
H&R GmbH & Co. KGaA (a)		5,459		78,096
Hamburger Hafen und Logistik AG		5,920		126,688
Heidelberger Druckmaschinen AG (a)		40,249		109,282
Hornbach Baumarkt AG		549		18,841
Hypoport AG (a)		191		28,322
Indus Holding AG		1,912		134,671
Isra Vision AG		410		73,922
Jenoptik AG		3,318		92,493
Kloeckner & Co. SE		7,632		80,685
Koenig & Bauer AG		323		22,028
Krones AG		1,575		196,125
LEONI AG		1,102		60,752
MLP AG		19,725		134,434
MTU Aero Engines AG		608		85,785
OHB SE		1,839		53,795
Pfeiffer Vacuum Technology AG		862		123,075
Rational AG		68		36,697
Rheinmetall AG		5,481		526,002
Rhoen Klinikum AG		299		9,002
RIB Software SE		701		12,537
Salzgitter AG		10,244		390,110
SLM Solutions Group AG (a)		578		24,998
SMA Solar Technology AG		3,798		107,431
Software AG		1,853		88,831
STADA Arzneimittel AG		828		59,901
Suedzucker AG		11,473		245,392
Surteco SE		535		14,334
Takkt AG		8,339		203,278
Uniper SE		11,731		228,706
VERBIO Vereinigte BioEnergie AG		14,128		153,137
Vossloh AG (a)		470		31,071
VTG AG		1,755		61,747
Wacker Chemie AG		2,998		328,699
Wacker Neuson SE		3,163		69,820
XING AG		47		12,605
zooplus AG (a)		456		99,248
				6,981,451

	SHARES		FAIR VALUE
Hong Kong - 1.7%
Cafe de Coral Holdings Ltd.		28,000	$	91,806
Chong Hing Bank Ltd.		2,000		4,312
Chow Sang Sang Holdings International Ltd.		86,000		200,859
Giordano International Ltd.		158,000		84,956
Hopewell Holdings Ltd.		56,000		210,201
Johnson Electric Holdings Ltd.		41,500		149,649
Luk Fook Holdings International Ltd.		95,000		323,065
Melco International Development Ltd.		37,000		97,337
Pacific Textiles Holdings Ltd.		122,000		135,111
Sa Sa International Holdings Ltd.		390,000		184,676
SmarTone Telecommunications Holdings Ltd.		120,000		160,769
Sun Hung Kai & Co., Ltd.		260,000		170,496
Texwinca Holdings Ltd.		372,000		207,660
The United Laboratories International Holdings Ltd. (a)		128,000		85,251
VST Holdings Ltd.		92,000		28,453
Xinyi Glass Holdings Ltd.		86,000		84,537
				2,219,138
Ireland (c) - 0.0%
Origin Enterprises PLC		1,906		14,410
Israel - 0.6%
B Communications Ltd.		460		9,341
Caesarstone Ltd. (a)		1,291		48,477
Cellcom Israel Ltd. (a)		1,902		18,507
Delta-Galil Industries Ltd.		237		7,216
Electra Ltd.		88		19,165
First International Bank Of Israel Ltd.		3,492		61,336
Formula Systems 1985 Ltd.		71		3,004
Harel Insurance Investments & Financial Services Ltd.		3,322		19,563
IDI Insurance Co., Ltd.		178		10,231
Israel Corp. Ltd. (a)		125		23,326
Israel Discount Bank Ltd. - Class A (a)		12,065		31,364
Ituran Location and Control Ltd.		1,876		60,407
Matrix IT Ltd.		1,524		16,671
Naphtha Israel Petroleum Corp. Ltd. (a)		1,259		10,668
Oil Refineries Ltd.		40,364		17,157
Orbotech Ltd. (a)		2,832		101,046
Partner Communications Co., Ltd. (a)		9,106		50,409
Paz Oil Co., Ltd.		136		23,370
Radware Ltd. (a)		2,024		35,643
Rami Levy Chain Stores Hashikma Marketing 2006 Ltd.		331		16,828
Shikun & Binui Ltd.		3,277		7,961
Shufersal Ltd.		7,236		39,975
SodaStream International Ltd. (a)		2,032		107,655
Strauss Group Ltd.		832		15,178
				754,498
Italy - 2.5%
A2A S.p.A.		36,674		60,643
ACEA S.p.A.		623		10,183
Ascopiave S.p.A.		26,614		108,347
ASTM S.p.A.		4,331		74,390
Autogrill S.p.A.		17,277		210,191
Biesse S.p.A.		4,769		185,308

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

38

Schedule of Investments as of May 31, 2017

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Italy - 2.5% (continued)
Brembo S.p.A.		3,076	$	48,964
Brunello Cucinelli S.p.A.		944		24,348
Cementir Holding S.p.A.		2,127		12,210
CIR-Compagnie Industriali Riunite S.p.A.		105,049		159,310
Danieli & C Officine Meccaniche S.p.A.		4,616		116,412
Danieli & C Officine Meccaniche S.p.A. - Risparmio		971		18,456
De’ Longhi S.p.A.		3,450		114,795
DeA Capital S.p.A.		6,978		10,041
DiaSorin S.p.A.		1,435		111,148
El.En. S.p.A.		729		24,543
Enav S.p.A. (b) (Cost: $50,344; Original Acquisition Date: 05/08/2017)		11,956		50,392
ERG S.p.A.		1,828		24,765
Esprinet S.p.A.		5,449		39,206
GEDI Gruppo Editoriale S.p.A. (a)		7,287		7,056
Hera S.p.A.		18,484		60,839
Industria Macchine Automatiche S.p.A.		931		83,197
Iren S.p.A.		30,316		73,083
Italimobiliare S.p.A.		476		12,988
La Doria S.p.A.		3,472		43,254
Maire Tecnimont S.p.A.		38,444		161,085
MARR S.p.A.		4,054		98,732
Mediaset S.p.A. (a)		33,875		133,721
Moncler S.p.A.		502		12,226
OVS S.p.A. (b) (Cost: $135,623; Original Acquisition Date: 05/08/2017)		19,101		135,502
Piaggio & C. S.p.A.		22,726		49,629
Rai Way S.p.A.		4,816		24,583
Recordati S.p.A.		3,705		149,042
Safilo Group S.p.A. (a)		19,682		147,031
Salini Impregilo S.p.A.		37,788		135,838
Salvatore Ferragamo S.p.A.		8,398		234,433
Saras S.p.A.		107,606		260,375
Technogym S.p.A. (b) (Cost: $10,200; Original Acquisition Date: 05/08/2017)		1,336		11,091
Zignago Vetro S.p.A.		366		3,059
				3,240,416
Japan - 30.9%
Achilles Corp.		3,500		58,370
Adastria Co., Ltd.		4,500		119,133
ADEKA Corp.		3,200		46,548
Advantest Corp.		2,000		35,738
Adways, Inc.		15,400		70,916
Aeon Delight Co., Ltd.		4,200		134,627
Aeon Fantasy Co., Ltd.		100		2,880
Ai Holdings Corp.		300		7,986
Aica Kogyo Co., Ltd.		4,100		119,576
Aichi Bank		100		5,535
AICHI Corp.		1,600		11,066
Aida Engineering Ltd.		3,100		27,263
Ain Holdings, Inc.		100		8,045
Aisan Industry Co., Ltd.		5,900		46,934
Alpen Co., Ltd.		6,100		106,523
Alpine Electronics, Inc.		9,300		133,013
Amano Corp.		4,800		107,962
Amuse, Inc.		2,500		69,639
Anest Iwata Corp.		2,400		22,299
Anicom Holdings, Inc.		1,700		35,197

	SHARES		FAIR VALUE
Japan - 30.9% (continued)
Anritsu Corp.		13,900	$	120,237
AOKI Holdings, Inc.		7,300		94,587
Aoyama Trading Co., Ltd.		500		18,036
Arcland Sakamoto Co., Ltd.		7,200		94,917
Arcland Service Holdings Co., Ltd.		1,400		44,813
Arcs Co., Ltd.		7,100		153,604
Ariake Japan Co., Ltd.		400		28,677
AS ONE Corp.		1,200		56,235
Asahi Co., Ltd.		5,500		66,050
Asahi Diamond Industrial Co., Ltd.		9,900		72,496
Asahi Holdings, Inc.		2,700		46,004
Asatsu-DK, Inc.		3,800		93,190
ASKA Pharmaceutical Co., Ltd.		2,200		34,703
ASKUL Corp.		3,200		93,905
ATEAM, Inc.		300		8,181
Atom Corp.		10,800		71,382
Autobacs Seven Co., Ltd.		5,200		82,026
Avex Group Holdings, Inc.		5,500		70,768
Axial Retailing, Inc.		2,400		96,217
Azbil Corp.		5,900		214,957
Bando Chemical Industries Ltd.		5,100		46,879
Bank of Saga Ltd.		4,000		9,679
Belc Co., Ltd.		1,800		84,515
Belluna Co., Ltd.		3,600		42,452
Benefit One, Inc.		300		11,418
Bic Camera, Inc.		12,400		131,782
BML, Inc.		4,700		95,952
Broadleaf Co., Ltd.		5,800		37,549
Bunka Shutter Co., Ltd.		3,000		23,621
Canon Electronics, Inc.		3,300		63,586
Canon Marketing Japan, Inc.		9,800		205,114
Cawachi Ltd.		3,300		82,329
Chiyoda Co., Ltd.		3,200		80,209
Chiyoda Corp.		14,000		78,754
Chiyoda Integre Co., Ltd.		1,600		32,968
Chori Co., Ltd.		4,900		86,718
Chudenko Corp.		2,300		58,294
Chugoku Marine Paints Ltd.		8,300		60,404
CI Takiron Corp.		6,000		30,555
Ci:z Holdings Co., Ltd.		2,300		74,867
Citizen Watch Co., Ltd.		16,700		109,021
CKD Corp.		3,800		58,192
Clarion Co., Ltd.		16,000		58,077
Cleanup Corp.		4,900		35,970
CMIC Holdings Co., Ltd.		500		6,284
Coco Kara Fine, Inc.		2,500		126,411
Colopl, Inc.		3,900		42,469
Colowide Co., Ltd.		2,600		43,478
COMSYS Holdings Corp.		3,300		69,903
Conexio Corp.		5,400		94,591
COOKPAD, Inc.		1,600		12,699
Corona Corp.		4,800		49,408
Cosel Co., Ltd.		2,800		34,889
Cosmos Pharmaceutical Corp.		500		105,508
Create Restaurants Holdings, Inc.		4,000		35,792
Create SD Holdings Co., Ltd.		5,000		118,284
Crooz, Inc.		3,100		81,706
CyberAgent, Inc.		1,900		68,623
D.A.Consortium Holdings, Inc.		3,000		43,883
Daido Steel Co., Ltd.		10,000		54,718

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

39

Schedule of Investments as of May 31, 2017

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Japan - 30.9% (continued)
Daifuku Co., Ltd.		2,000	$	60,948
Daihen Corp.		3,000		22,889
Daiho Corp.		9,000		43,639
Daiichi Jitsugyo Co., Ltd.		14,000		77,111
DAIICHIKOSHO Co., Ltd.		200		9,661
Daiken Corp.		2,600		55,287
Daikokutenbussan Co., Ltd.		1,000		49,390
Daikyonishikawa Corp.		3,500		46,646
Dainichiseika Color & Chemicals Manufacturing Co., Ltd.		5,000		36,840
Daio Paper Corp.		5,800		71,119
Daiseki Co., Ltd.		1,700		36,441
Daisyo Corp.		3,100		48,452
Daiwa Industries Ltd.		1,000		10,953
Daiwabo Holdings Co., Ltd.		32,000		117,020
DCM Holdings Co., Ltd.		13,800		120,867
Denka Co., Ltd.		1,000		5,029
Denki Kogyo Co., Ltd.		3,000		15,169
Denyo Co., Ltd.		3,300		53,664
Descente Ltd.		7,600		92,298
Dexerials Corp.		1,300		11,210
DIC Corp.		6,000		206,140
Disco Corp.		900		155,214
DMG Mori Co., Ltd.		1,400		22,021
Doshisha Co., Ltd.		3,600		67,807
Doutor Nichires Holdings Co., Ltd.		7,200		154,272
Dowa Holdings Co., Ltd.		8,000		60,388
DTS Corp.		4,000		119,007
Dunlop Sports Co., Ltd.		2,400		23,426
Duskin Co., Ltd.		5,800		145,223
DyDo Group Holdings, Inc.		1,400		69,905
Eagle Industry Co., Ltd.		3,700		59,768
Earth Chemical Co., Ltd.		1,400		74,329
Ebara Corp.		3,300		93,413
EDION Corp.		17,800		169,884
Eiken Chemical Co., Ltd.		1,100		32,479
Eizo Corp.		1,400		55,558
Elecom Co., Ltd.		1,700		35,965
Elematec Corp.		1,500		24,447
En-Japan, Inc.		1,200		33,372
Enplas Corp.		1,300		38,442
EPS Holdings, Inc.		1,500		22,605
Exedy Corp.		3,800		103,792
Ezaki Glico Co., Ltd.		1,800		101,580
F@N Communications, Inc.		5,400		47,491
Fancl Corp.		3,100		58,193
FCC Co., Ltd.		3,700		71,528
FIELDS Corp.		2,100		22,583
Foster Electric Co., Ltd.		700		10,467
France Bed Holdings Co., Ltd.		5,500		47,923
Fudo Tetra Corp.		38,700		63,597
Fuji Co., Ltd.		3,700		92,508
Fuji Machine Manufacturing Co., Ltd.		5,400		83,572
Fuji Oil Holdings, Inc.		5,900		143,624
Fuji Seal International, Inc.		1,100		27,622
Fuji Soft, Inc.		2,300		67,910
Fujibo Holdings, Inc.		1,800		53,472

	SHARES		FAIR VALUE
Japan - 30.9% (continued)
Fujicco Co., Ltd.		1,400	$	33,132
Fujikura Ltd.		6,600		56,554
Fujimi, Inc.		1,600		32,982
Fujimori Kogyo Co., Ltd.		1,700		51,115
Fujitec Co., Ltd.		11,300		130,805
Fujitsu General Ltd.		4,100		94,661
Fujiya Co., Ltd.		25,000		57,788
Fukuda Corp.		4,000		36,551
Fukuda Denshi Co., Ltd.		1,300		85,571
Fukui Computer Holdings, Inc.		1,000		32,235
Fukushima Industries Corp.		1,000		38,826
Funai Soken Holdings, Inc.		1,500		33,684
Furukawa Electric Co., Ltd.		1,800		80,533
Fuso Chemical Co., Ltd.		1,600		55,621
Futaba Corp.		3,000		51,847
Futaba Industrial Co., Ltd.		4,600		35,845
Future Corp.		4,700		36,327
Gecoss Corp.		3,600		36,699
Geo Holdings Corp.		11,300		119,071
GLORY Ltd.		1,700		57,716
Goldwin, Inc.		500		28,397
Gree, Inc.		7,200		59,615
GS Yuasa Corp.		12,000		53,851
G-Tekt Corp.		3,900		71,697
Gunze Ltd.		16,000		56,921
H2O Retailing Corp.		6,500		108,989
Halows Co., Ltd.		2,500		52,393
Hanwa Co., Ltd.		7,000		48,731
Harmonic Drive Systems, Inc.		100		3,440
Haseko Corp.		8,600		109,179
Hazama Ando Corp.		11,700		84,515
Hearts United Group Co., Ltd.		700		9,860
Heiwa Corp.		400		8,701
Heiwado Co., Ltd.		5,500		118,939
Hibiya Engineering Ltd.		2,900		45,693
HIS Co., Ltd.		700		19,783
Hisaka Works Ltd.		6,100		51,774
Hitachi Kokusai Electric, Inc.		1,900		44,862
Hitachi Maxell Ltd.		1,300		25,519
Hitachi Transport System Ltd.		1,500		33,860
Hitachi Zosen Corp.		5,100		24,084
Hokuetsu Kishu Paper Co., Ltd.		3,000		23,052
Hokuhoku Financial Group, Inc.		3,200		47,010
Horiba Ltd.		300		18,366
Hosiden Corp.		6,400		72,697
House Foods Group, Inc.		6,300		158,083
Ibiden Co., Ltd.		2,300		41,224
Ichibanya Co., Ltd.		1,300		43,314
Ichiyoshi Securities Co., Ltd.		6,100		48,525
Icom, Inc.		3,900		93,142
Idec Corp.		1,400		19,341
IDOM, Inc.		6,500		35,743
Inaba Denki Sangyo Co., Ltd.		2,400		88,307
Inabata & Co., Ltd.		6,700		81,852
Infocom Corp.		2,400		46,656
Information Services International-Dentsu Ltd.		2,900		69,705

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

40

Schedule of Investments as of May 31, 2017

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Japan - 30.9% (continued)
Iriso Electronics Co., Ltd.		100	$	7,783
Ishihara Sangyo Kaisha Ltd.		2,400		23,014
Ito En Ltd.		5,200		215,043
Itochu Enex Co., Ltd.		2,300		18,878
Itochu Techno-Solutions Corp.		4,200		143,160
Itochu-Shokuhin Co., Ltd.		900		38,641
Itoham Yonekyu Holdings, Inc.		12,600		117,752
Itoki Corp.		5,800		38,859
Iwatani Corp.		9,000		58,754
Iyo Bank Ltd.		8,400		60,450
Izumi Co., Ltd.		3,000		163,341
JAC Recruitment Co., Ltd.		1,500		21,860
Jafco Co., Ltd.		700		26,862
Jamco Corp.		200		4,683
Japan Cash Machine Co., Ltd.		4,600		47,890
Japan Lifeline Co., Ltd.		400		14,826
Japan Material Co., Ltd.		300		5,307
Japan Pulp & Paper Co., Ltd.		8,000		28,533
Jeol Ltd.		2,000		10,005
Jimoto Holdings, Inc.		6,100		10,851
JINS, Inc.		1,000		58,510
J-Oil Mills, Inc.		1,100		40,027
Joshin Denki Co., Ltd.		9,000		114,257
Joyful Honda Co., Ltd.		3,200		107,630
JSP Corp.		2,900		71,014
Justsystems Corp.		1,500		22,483
JVC Kenwood Corp.		13,200		34,683
K&O Energy Group, Inc.		3,100		50,132
Kadokawa Dwango Corp.		3,800		47,110
Kaga Electronics Co., Ltd.		5,200		95,736
Kagome Co., Ltd.		1,300		41,494
Kaken Pharmaceutical Co., Ltd.		500		28,804
Kameda Seika Co., Ltd.		600		31,151
Kamei Corp.		6,700		80,461
Kanamoto Co., Ltd.		2,100		57,643
Kandenko Co., Ltd.		9,000		91,828
Kanematsu Corp.		45,000		88,172
Kanematsu Electronics Ltd.		2,700		83,743
Kansai Super Market Ltd.		6,100		89,779
Kanto Denka Kogyo Co., Ltd.		600		4,897
Kappa Create Co., Ltd.		5,400		61,289
Kasai Kogyo Co., Ltd.		4,800		58,683
Katakura Industries Co., Ltd.		900		10,442
Kato Sangyo Co., Ltd.		5,400		136,865
KATO WORKS Co., Ltd.		300		8,749
Kawasaki Kisen Kaisha Ltd.		36,000		93,291
Keihin Corp.		8,700		119,325
Keiyo Co., Ltd.		3,600		23,502
Kenko Mayonnaise Co., Ltd.		2,400		68,479
Kewpie Corp.		100		2,609
Key Coffee, Inc.		2,600		51,390
Kinden Corp.		12,500		191,648
Kintetsu Department Store Co., Ltd.		9,000		29,011
Kintetsu World Express, Inc.		4,700		72,272
Kisoji Co., Ltd.		3,000		68,804
Kissei Pharmaceutical Co., Ltd.		2,700		69,286
Kitz Corp.		7,600		62,653

	SHARES		FAIR VALUE
Japan - 30.9% (continued)
KNT-CT Holdings Co., Ltd.		31,000	$	39,467
Koa Corp.		2,200		38,736
Koatsu Gas Kogyo Co., Ltd.		4,900		34,112
Kobayashi Pharmaceutical Co., Ltd.		1,700		100,235
Kobe Bussan Co., Ltd.		800		31,025
Kohnan Shoji Co., Ltd.		3,700		71,093
Kokuyo Co., Ltd.		7,200		95,632
Komeri Co., Ltd.		3,200		81,134
Komori Corp.		3,600		47,556
Konishi Co., Ltd.		5,200		71,931
Konoike Transport Co., Ltd.		2,400		34,196
Koshidaka Holdings Co., Ltd.		1,500		34,321
Kotobuki Spirits Co., Ltd.		900		31,002
K’s Holdings Corp.		9,400		193,517
Kumagai Gumi Co., Ltd.		22,000		68,334
Kura Corp.		2,300		104,461
Kurabo Industries Ltd.		17,000		40,217
Kureha Corp.		600		30,014
Kuroda Electric Co., Ltd.		6,900		131,832
KYB Corp.		19,000		92,813
Kyodo Printing Co., Ltd.		6,000		20,533
Kyoei Steel Ltd.		700		10,618
Kyokuto Kaihatsu Kogyo Co., Ltd.		6,500		105,409
Kyokuto Securities Co., Ltd.		5,600		82,420
KYORIN Holdings, Inc.		3,400		70,026
Kyowa Exeo Corp.		5,000		83,070
Kyudenko Corp.		2,600		92,262
Laox Co., Ltd.		2,500		11,445
Lasertec Corp.		700		10,208
LIFE Corp.		1,700		45,850
Lifull Co., Ltd.		3,700		23,586
Lintec Corp.		1,900		45,034
Macnica Fuji Electronics Holdings, Inc.		6,600		96,303
Maeda Kosen Co., Ltd.		5,100		71,193
Maeda Road Construction Co., Ltd.		5,000		101,264
Makino Milling Machine Co., Ltd.		2,000		16,470
Mandom Corp.		1,000		52,190
Mani, Inc.		1,200		33,914
Mars Engineering Corp.		1,500		31,977
Marudai Food Co., Ltd.		16,000		74,257
Maruha Nichiro Corp.		2,400		68,695
Marusan Securities Co., Ltd.		4,300		33,934
Maruwa Co., Ltd.		1,200		44,424
Maruzen Showa Unyu Co., Ltd.		4,000		16,181
Marvelous, Inc.		2,900		32,443
Matsuda Sangyo Co., Ltd.		4,500		59,363
Matsumotokiyoshi Holdings Co., Ltd.		3,200		187,232
Matsuya Co., Ltd.		5,400		47,637
Matsuya Foods Co., Ltd.		3,000		112,551
Max Co., Ltd.		5,000		72,686
MCJ Co., Ltd.		7,400		84,123
Megmilk Snow Brand Co., Ltd.		3,000		90,745
Meidensha Corp.		2,000		6,736
Meiko Network Japan Co., Ltd.		3,800		47,144
Meitec Corp.		2,200		93,463
Melco Holdings, Inc.		2,900		83,530
Menicon Co., Ltd.		600		18,880

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

41

Schedule of Investments as of May 31, 2017

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Japan - 30.9% (continued)
Micronics Japan Co., Ltd.		1,100	$	10,528
Mie Bank Ltd.		1,100		22,397
Milbon Co., Ltd.		700		38,492
Mimasu Semiconductor Industry Co., Ltd.		1,300		21,457
Ministop Co., Ltd.		5,000		102,167
Mirait Holdings Corp.		2,300		23,280
Miroku Jyoho Service Co., Ltd.		2,800		58,301
Misawa Homes Co., Ltd.		8,200		72,560
Mitsuba Corp.		700		12,060
Mitsubishi Nichiyu Forklift Co., Ltd.		9,300		56,598
Mitsubishi Paper Mills Ltd.		700		4,671
Mitsubishi Pencil Co., Ltd.		300		17,309
Mitsubishi Research Institute, Inc.		1,400		39,314
Mitsubishi Shokuhin Co., Ltd.		3,600		107,431
Mitsubishi Steel Manufacturing Co., Ltd.		9,000		19,991
Mitsuboshi Belting Ltd.		4,000		42,041
Mitsui High-Tec, Inc.		4,300		48,028
Mitsui Home Co., Ltd.		7,000		47,088
Mitsui Sugar Co., Ltd.		1,600		47,458
Mitsui-Soko Holdings Co., Ltd.		6,000		17,011
Miura Co., Ltd.		1,100		21,454
Mizuno Corp.		16,000		90,727
Mochida Pharmaceutical Co., Ltd.		400		28,280
Modec, Inc.		2,000		45,833
Morinaga & Co., Ltd.		2,100		125,147
Morinaga Milk Industry Co., Ltd.		19,000		159,549
MOS FOOD SERVICES, Inc.		1,400		43,106
MTI Ltd.		400		2,366
Nagase & Co., Ltd.		12,700		181,183
Nagatanien Holdings Co., Ltd.		1,000		12,668
Nakanishi, Inc.		500		20,316
Nakayama Steel Works Ltd.		4,000		23,621
NEC Networks & System Integration Corp.		5,900		131,105
NET One Systems Co., Ltd.		13,800		131,832
Neturen Co., Ltd.		5,900		53,326
NHK Spring Co., Ltd.		13,800		145,165
Nichias Corp.		11,000		130,709
Nichicon Corp.		6,100		59,761
Nichiden Corp.		1,900		61,675
Nichiha Corp.		2,600		94,257
NichiiGakkan Co., Ltd.		3,700		35,380
Nichirei Corp.		4,600		131,666
Nifco, Inc.		600		30,664
Nihon Kohden Corp.		2,600		58,010
NIHON NOHYAKU Co., Ltd.		2,400		14,194
Nihon Parkerizing Co., Ltd.		5,700		84,252
Nihon Trim Co., Ltd.		1,200		44,533
Nihon Unisys Ltd.		9,300		157,281
Nippo Corp.		6,000		122,059
Nippon Beet Sugar Manufacturing Co., Ltd.		4,800		95,307
Nippon Ceramic Co., Ltd.		500		11,919
Nippon Denko Co., Ltd.		10,400		35,872
Nippon Densetsu Kogyo Co., Ltd.		2,200		45,013
Nippon Flour Mills Co., Ltd.		6,100		96,719
Nippon Gas Co., Ltd.		2,100		70,348
Nippon Kanzai Co., Ltd.		2,500		42,460
Nippon Kayaku Co., Ltd.		7,000		97,210

	SHARES		FAIR VALUE
Japan - 30.9% (continued)
Nippon Koei Co., Ltd.		800	$	21,743
Nippon Light Metal Holdings Co., Ltd.		14,900		34,845
Nippon Seiki Co., Ltd.		3,000		62,980
Nippon Shinyaku Co., Ltd.		600		34,998
Nippon Shokubai Co., Ltd.		100		6,104
Nippon Signal Company Ltd.		3,700		35,513
Nippon Soda Co., Ltd.		15,000		76,388
Nippon Steel & Sumikin Bussan Corp.		1,100		51,946
Nippon Suisan Kaisha Ltd.		10,500		54,799
Nishimatsu Construction Co., Ltd.		13,000		71,485
Nishimatsuya Chain Co., Ltd.		9,200		97,109
Nishio Rent All Co., Ltd.		600		16,767
Nissan Shatai Co., Ltd.		6,900		69,530
Nisshinbo Holdings, Inc.		3,300		31,197
Nissin Corp.		17,000		66,772
Nissin Electric Co., Ltd.		1,700		19,402
Nissin Kogyo Co., Ltd.		6,600		104,348
Nitta Corp.		1,100		32,926
Nittetsu Mining Co., Ltd.		900		45,264
Nitto Boseki Co., Ltd.		23,000		113,391
Nitto Kogyo Corp.		4,400		71,393
Nitto Kohki Co., Ltd.		2,000		45,779
Noevir Holdings Co., Ltd.		1,800		84,027
NOF Corp.		5,000		64,921
Nohmi Bosai Ltd.		5,800		79,393
Nojima Corp.		6,900		108,842
Nomura Co., Ltd.		2,800		59,110
Noritake Co., Ltd.		1,000		30,655
Noritz Corp.		5,000		94,492
NS Solutions Corp.		2,900		69,548
NS United Kaiun Kaisha Ltd.		15,000		30,880
NSD Co., Ltd.		1,900		33,728
NTN Corp.		23,000		105,291
NuFlare Technology, Inc.		400		26,293
Obara Group, Inc.		200		10,835
Ohsho Food Service Corp.		1,500		55,327
Oiles Corp.		4,800		82,521
Okabe Co., Ltd.		7,200		64,751
OKAMOTO INDUSTRIES, Inc.		2,000		23,621
Okamura Corp.		9,400		84,621
Oki Electric Industry Co., Ltd.		7,400		108,979
Okuma Corp.		7,000		62,763
Okumura Corp.		8,000		53,887
Okuwa Co., Ltd.		9,000		96,298
Onward Holdings Co., Ltd.		14,000		100,876
Optex Group Co., Ltd.		600		20,126
Organo Corp.		8,000		40,163
Osaka Soda Co., Ltd.		8,000		36,262
Osaki Electric Co., Ltd.		10,000		78,194
OSJB Holdings Corp.		8,700		22,624
Oyo Corp.		3,100		41,511
PAL Group Holdings Co., Ltd.		1,300		32,139
PALTAC Corp.		1,900		66,907
PanaHome Corp.		14,000		155,359
Paramount Bed Holdings Co., Ltd.		500		21,648
PC Depot Corp.		15,500		84,113
Penta-Ocean Construction Co., Ltd.		10,600		60,202

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

42

Schedule of Investments as of May 31, 2017

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Japan - 30.9% (continued)
Pigeon Corp.		900	$	31,043
Pilot Corp.		200		7,783
Piolax, Inc.		3,300		83,044
Pioneer Corp.		14,100		25,335
Plenus Co., Ltd.		4,300		89,456
Press Kogyo Co., Ltd.		21,600		96,932
Prestige International, Inc.		3,400		35,182
Prima Meat Packers Ltd.		25,000		139,278
Proto Corp.		3,500		53,535
Raito Kogyo Co., Ltd.		2,100		23,171
Relia, Inc.		4,300		47,446
Rengo Co., Ltd.		1,400		7,850
Right On Co., Ltd.		9,200		83,485
Riken Corp.		1,000		42,935
Riken Vitamin Co., Ltd.		100		3,986
Ringer Hut Co., Ltd.		1,000		21,707
Riso Kagaku Corp.		2,900		58,969
Rock Field Co., Ltd.		3,900		70,851
Rohto Pharmaceutical Co., Ltd.		2,800		58,250
Rokko Butter Co., Ltd.		100		2,429
Roland DG Corp.		4,000		94,736
Royal Holdings Co., Ltd.		4,500		95,932
Ryobi Ltd.		9,000		36,325
Ryosan Co., Ltd.		3,600		129,860
Ryoyo Electro Corp.		3,700		53,955
S Foods, Inc.		2,700		92,153
Sac’s Bar Holdings, Inc.		6,500		70,253
Saint Marc Holdings Co., Ltd.		1,600		49,120
Saizeriya Co., Ltd.		5,300		151,223
Sakai Chemical Industry Co., Ltd.		8,000		29,833
Sakai Moving Service Co., Ltd.		800		29,002
Sakata INX Corp.		5,300		83,699
Sakata Seed Corp.		1,800		57,454
San-A Co., Ltd.		400		18,203
San-Ai Oil Co., Ltd.		9,700		87,234
Sangetsu Corp.		1,200		21,237
Sanken Electric Co., Ltd.		2,000		8,235
Sanki Engineering Co., Ltd.		5,700		60,526
Sankyo Tateyama, Inc.		3,200		46,519
Sankyu, Inc.		16,000		99,828
Sanrio Co., Ltd.		600		11,209
Sanwa Holdings Corp.		6,500		71,720
Sanyo Chemical Industries Ltd.		600		27,792
Sanyo Denki Co., Ltd.		5,000		46,456
Sanyo Special Steel Co., Ltd.		9,000		47,214
Sapporo Holdings Ltd.		1,100		31,883
Sato Holdings Corp.		2,600		59,019
Sawai Pharmaceutical Co., Ltd.		300		16,226
SCREEN Holdings Co., Ltd.		3,600		261,996
SEIKAGAKU Corp.		600		9,627
Seino Holdings Co., Ltd.		11,500		144,230
Seiren Co., Ltd.		6,500		95,901
Sekisui Jushi Corp.		2,900		53,339
Sekisui Plastics Co., Ltd.		8,000		60,244
Senko Group Holdings Co., Ltd.		6,100		37,399
Senshukai Co., Ltd.		8,500		61,860
Shibuya Corp.		300		9,264

	SHARES		FAIR VALUE
Japan - 30.9% (continued)
Shikoku Chemicals Corp.		4,000	$	48,144
SHIMA SEIKI MFG., Ltd.		200		9,354
Shimachu Co., Ltd.		3,000		69,941
Shindengen Eletric Mfg. Co., Ltd.		1,000		4,957
Shin-Etsu Polymer Co., Ltd.		16,400		119,502
Shinko Electric Industries Co., Ltd.		7,500		59,729
Shinko Plantech Co., Ltd.		8,200		59,603
Shinmaywa Industries Ltd.		15,000		120,135
Shinnihon Corp.		5,700		53,063
Ship Healthcare Holdings, Inc.		1,400		38,998
Shizuoka Gas Co., Ltd.		8,600		59,482
Showa Corp.		4,900		47,695
Showa Denko K.K.		5,600		108,865
Showa Sangyo Co., Ltd.		11,000		58,004
Siix Corp.		2,200		92,172
Sinanen Holdings Co., Ltd.		2,400		47,372
Sinko Industries Ltd.		2,700		46,296
Sintokogio Ltd.		3,500		35,585
Skylark Co., Ltd.		13,100		205,933
SMK Corp.		5,000		17,246
Sogo Medical Co., Ltd.		200		8,795
Sojitz Corp.		16,300		39,297
Square Enix Holdings Co., Ltd.		2,000		63,386
Star Micronics Co., Ltd.		1,500		22,090
Starts Corp, Inc.		900		21,974
Starzen Co., Ltd.		1,100		45,589
Studio Alice Co., Ltd.		2,700		58,193
Sugi Holdings Co., Ltd.		3,100		165,147
Sumitomo Bakelite Co., Ltd.		23,000		159,910
Sumitomo Densetsu Co., Ltd.		4,500		59,973
Sumitomo Forestry Co., Ltd.		5,300		84,417
Sumitomo Mitsui Construction Co., Ltd.		76,800		85,988
Sumitomo Riko Co., Ltd.		7,900		81,532
Sumitomo Seika Chemicals Co., Ltd.		1,200		53,255
Systena Corp.		2,200		46,225
Tachi-S Co., Ltd.		3,400		59,312
Tadano Ltd.		5,900		72,345
Taihei Dengyo Kaisha Ltd.		2,000		22,321
Taiho Kogyo Co., Ltd.		1,800		22,689
Taikisha Ltd.		1,900		52,239
Taiyo Holdings Co., Ltd.		400		17,734
Taiyo Yuden Co., Ltd.		300		4,261
Takamatsu Construction Group Co., Ltd.		3,600		90,886
Takara Bio, Inc.		100		1,364
Takara Holdings, Inc.		11,900		123,781
Takara Standard Co., Ltd.		4,300		70,897
Takasago International Corp.		1,600		57,427
Takasago Thermal Engineering Co., Ltd.		4,400		70,638
Takeuchi Manufacturing Co., Ltd.		2,800		46,368
Takuma Co., Ltd.		11,600		108,930
Tamron Co., Ltd.		5,300		96,381
Tanseisha Co., Ltd.		7,000		71,801
Tatsuta Electric Wire and Cable Co., Ltd.		17,000		84,424
TechnoPro Holdings, Inc.		1,700		68,998
TEIKOKU SEN-I Co., Ltd.		1,400		22,981
Tekken Corp.		7,000		21,174
Temp Holdings Co., Ltd.		11,600		229,067

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

43

Schedule of Investments as of May 31, 2017

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Japan - 30.9% (continued)
Tenma Corp.		3,300	$	58,938
T-Gaia Corp.		9,000		166,185
The Japan Steel Works Ltd.		1,900		27,552
The Japan Wool Textile Co., Ltd.		9,400		72,823
The Nippon Road Co., Ltd.		5,000		26,591
The Nisshin Oillio Group Ltd.		19,000		112,199
The Oita Bank Ltd.		2,000		7,404
The Pack Corp.		1,100		32,876
TIS, Inc.		3,200		92,749
TKC Corp.		1,100		31,386
Toa Corp.		1,900		34,432
Toagosei Co., Ltd.		10,700		120,188
Tocalo Co., Ltd.		600		19,449
Toda Corp.		10,000		63,025
TOEI Co., Ltd.		1,000		9,372
Toenec Corp.		5,000		28,939
Toho Holdings Co., Ltd.		6,500		131,819
Toho Zinc Co., Ltd.		2,000		7,693
Tokai Carbon Co., Ltd.		4,600		23,592
Tokai Corp.		2,800		109,977
Tokai Holdings Corp.		8,200		60,343
Tokai Rika Co., Ltd.		4,500		82,564
Token Corp.		1,700		152,885
Tokuyama Corp.		9,000		39,819
Tokyo Broadcasting System Holdings, Inc.		9,500		157,404
Tokyo Ohka Kogyo Co., Ltd.		2,700		94,957
Tokyo Seimitsu Co., Ltd.		2,400		82,456
Tokyo Steel Manufacturing Co., Ltd.		7,000		55,558
Tokyu Construction Co., Ltd.		5,500		48,072
Tomy Co., Ltd.		4,600		59,063
TOPCON Corp.		500		9,133
Toppan Forms Co., Ltd.		12,700		132,906
Topre Corp.		2,900		82,090
Topy Industries Ltd.		1,300		34,287
Toridoll Holdings Corp.		1,300		32,937
Torii Pharmaceutical Co., Ltd.		2,500		60,903
Toshiba Machine Co., Ltd.		15,000		66,095
Toshiba Plant Systems & Services Corp.		8,900		132,435
Toshiba TEC Corp.		36,000		199,585
Tosho Printing Co., Ltd.		2,000		9,156
Tosoh Corp.		33,000		280,388
Totetsu Kogyo Co., Ltd.		1,400		43,801
Toyo Construction Co., Ltd.		3,600		13,490
Toyo Corp.		2,500		23,679
Toyo Ink SC Holdings Co., Ltd.		10,000		50,293
Toyo Kanetsu K.K.		11,000		31,088
Toyo Kohan Co., Ltd.		10,400		36,529
Toyo Tanso Co., Ltd.		3,100		53,323
Toyota Boshoku Corp.		12,500		241,196
TPR Co., Ltd.		1,700		57,178
Trancom Co., Ltd.		1,400		74,330
Transcosmos, Inc.		3,500		75,404
Trusco Nakayama Corp.		3,100		69,418
TS Tech Co., Ltd.		8,300		233,449
TSI Holdings Co., Ltd.		18,300		120,623
Tsubakimoto Chain Co.		4,000		34,239
Tsugami Corp.		4,000		28,641

	SHARES		FAIR VALUE
Japan - 30.9% (continued)
Tsukada Global Holdings, Inc.		1,200	$	6,057
Tsukishima Kikai Co., Ltd.		2,700		29,353
Tsukui Corp.		5,800		36,031
Tsumura & Co.		1,200		43,828
Tsurumi Manufacturing Co., Ltd.		2,200		34,604
Tsutsumi Jewelry Co., Ltd.		700		13,235
TV Asahi Holdings Corp.		8,100		141,741
Ube Industries Ltd.		14,000		33,246
UKC Holdings Corp.		1,200		21,432
Ulvac, Inc.		300		16,632
Union Tool Co.		200		5,977
Unipres Corp.		3,500		80,587
United Super Markets Holdings, Inc.		15,200		148,500
United, Inc.		300		6,601
Valor Holdings Co., Ltd.		4,100		93,846
Vector, Inc.		700		10,271
Vital KSK Holdings, Inc.		8,300		71,121
Wacoal Holdings Corp.		13,000		166,682
Wacom Co., Ltd.		3,700		11,693
Wakita & Co., Ltd.		7,400		81,250
Warabeya Nichiyo Holdings Co., Ltd.		4,700		130,497
Watami Co., Ltd.		11,000		137,562
Welcia Holdings Co., Ltd.		7,100		259,639
Wowow, Inc.		900		26,533
Xebio Holdings Co., Ltd.		8,200		133,125
Yahagi Construction Co., Ltd.		10,000		80,181
Yakuodo Co., Ltd.		1,100		33,422
YAMABIKO Corp.		7,300		83,316
Yamato Kogyo Co., Ltd.		3,900		93,565
Yamazen Corp.		15,900		156,344
Yellow Hat Ltd.		3,900		93,917
Yodogawa Steel Works Ltd.		3,900		106,172
Yokogawa Bridge Holdings Corp.		1,500		20,736
Yondoshi Holdings, Inc.		1,900		45,343
Yonex Co., Ltd.		2,600		23,664
Yoshinoya Holdings Co., Ltd.		9,000		145,625
Yuasa Trading Co., Ltd.		3,700		113,589
Yurtec Corp.		8,000		53,381
Yusen Logistics Co., Ltd.		10,200		92,376
Yushin Precision Equipment Co., Ltd.		1,900		46,681
ZENRIN Co., Ltd.		400		9,748
Zensho Holdings Co., Ltd.		10,000		182,122
Zeon Corp.		7,000		71,485
ZERIA Pharmaceutical Co., Ltd.		3,900		59,864
Zojirushi Corp.		4,400		51,926
				40,537,476
Luxembourg - 0.4%
Aperam, S.A.		3,103		148,738
SAF-Holland, S.A.		2,796		48,794
Senvion, S.A. (a)		4,481		65,187
Subsea 7, S.A.		24,616		353,975
				616,694
Marshall Islands (c) - 0.0%
VTTI Energy Partners LP		105		2,047

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

44

Schedule of Investments as of May 31, 2017

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Netherlands - 1.6%
Aalberts Industries N.V.		6,078	$	245,799
Accell Group N.V.		5,948		199,416
Arcadis N.V.		2,061		36,430
ASR Nederland N.V.		5,865		188,233
BE Semiconductor Industries N.V.		188		10,057
Brunel International N.V.		11,263		173,654
Corbion N.V.		551		16,718
IMCD N.V.		222		12,215
Kendrion N.V.		2,478		96,538
Koninklijke BAM Groep N.V.		9,259		49,114
Philips Lighting N.V. (b) (Cost: $468,610; Original Acquisition Date: 05/12/2017)		13,123		486,479
PostNL N.V.		52,815		258,145
Refresco Group N.V. (b) (Cost: $87,522; Original Acquisition Date: 05/12/2017)		4,473		88,361
SBM Offshore N.V.		4,764		73,371
SIF Holding N.V.		1,198		24,877
TKH Group N.V.		1,196		60,002
TomTom N.V. (a)		9,646		98,466
				2,117,875
Netherlands Antilles (c) - 0.0%
Sapiens International Corp. N.V. (a)		1,518		19,435
Norway - 0.7%
Aker ASA		329		12,110
Aker Solutions ASA		17,243		84,998
Atea ASA		2,659		32,414
Austevoll Seafood ASA		19,150		162,052
B2Holding ASA		12,043		22,805
Borregaard ASA		7,280		85,730
Europris ASA (b) (Cost: $37,092; Original Acquisition Date: 05/26/2017)		8,425		36,395
Kongsberg Automotive ASA (a)		62,312		48,600
Leroy Seafood Group ASA		18,950		102,047
Norway Royal Salmon ASA		6,107		105,888
Salmar ASA		2,579		69,807
TGS-Nopec Geophysical Co. ASA		8,482		176,681
				939,527
Portugal - 0.6%
Altri, SGPS, S.A.		7,516		36,643
Banco Comercial Portugues, S.A. - Class R (a)		329,436		85,117
Corticeira Amorim SGPS, S.A.		4,640		63,174
CTT-Correios de Portugal, S.A.		1,583		9,635
Mota-Engil SGPS, S.A.		16,615		50,768
Nos SGPS, S.A.		26,142		159,843
REN-Redes Energeticas Nacionais, SGPS, S.A. (a)		3,837		12,383
Semapa-Sociedade de Investimento e Gestao		9,915		184,558
Sonae SGPS, S.A.		67,530		69,564
The Navigator Company, S.A.		13,558		61,379
				733,064
Spain - 1.9%
Applus Services, S.A.		13,490		172,756
Cia de Distribucion Integral Logista Holdings SA		12,495		337,503

	SHARES		FAIR VALUE
Spain - 1.9% (continued)
CIE Automotive, S.A.		1,318	$	31,388
Construcciones y Auxiliar de Ferrocarriles, S.A.		3,880		165,192
Corp Financiera Alba, S.A.		517		30,316
Ebro Foods, S.A.		4,734		111,837
Ence Energia y Celulosa, S.A.		9,426		37,114
Faes Farma, S.A.		14,905		52,073
Fomento de Construcciones y Contratas, S.p.A. (a)		18,296		201,830
Gamesa Corp Tecnologica, S.A.		12,562		284,913
Global Dominion Access, S.A. (a)		3,149		13,089
Grupo Catalana Occidente, S.A.		5,421		224,954
Indra Sistemas, S.A. (a)		4,456		61,820
Liberbank, S.A. (a)		106,772		141,173
Melia Hotels International S.A.		3,238		49,451
Miquel y Costas & Miquel, S.A.		1,679		60,016
NH Hotel Group, S.A. (a)		6,284		36,778
Papeles y Cartones de Europa, S.A.		7,991		69,570
Promotora de Informaciones, S.A. - Class A		1,695		5,427
Tecnicas Reunidas, S.A.		8,594		331,040
Tubacex, S.A.		7,143		29,729
Viscofan, S.A.		165		10,089
				2,458,058
Sweden - 3.8%
AcadeMedia AB (a)(b) (Cost: $31,851; Original Acquisition Date: 05/10/2017)		4,949		33,595
Attendo AB (b) (Cost: $61,004; Original Acquisition Date: 05/10/2017)		5,280		62,086
Axfood AB		16,850		281,887
B&B Tools AB - B Shares		5,498		122,088
Betsson AB		4,057		36,993
Bilia AB - A Shares		5,565		111,090
BillerudKorsnas AB		12,193		194,439
BioGaia AB - B Shares		826		34,166
Bossard Holding AG		250		49,249
Bravida Holding AB		6,884		49,107
Byggmax Group AB		11,375		75,254
Camurus AB		895		12,434
CAPIO AB		3,409		20,200
Clas Ohlson AB - B Shares		4,959		87,011
Cloetta AB - B Shares		7,007		30,797
Concentric AB		3,198		50,593
Dometic Group AB		4,513		37,048
Dustin Group AB (b) (Cost: $31,077; Original Acquisition Date: 05/10/2017)		3,678		31,315
Fingerprint Cards AB - Class B (a)		41,612		135,971
Granges AB		9,103		85,360
Gunnebo AB		4,124		23,060
Haldex AB (a)		2,749		37,322
Hexpol AB		11,609		120,880
Holmen AB - B Shares		6,112		274,750
Indutrade AB		3,129		73,442
Intrum Justitia AB		1,437		48,642
JM AB		9,524		358,216
KappAhl AB		12,003		65,875
Lifco AB - B Shares		1,271		37,393
Lindab International AB		3,631		39,897
Loomis AB - Class B		7,868		296,473

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

45

Schedule of Investments as of May 31, 2017

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Sweden - 3.8% (continued)
Mekonomen AB		5,696	$	109,445
Mycronic AB		5,743		58,478
NCC AB - B Shares		5,837		163,195
New Wave Group AB		9,145		62,868
Nobia AB		24,784		269,187
Nobina AB (b) (Cost: $88,152; Original Acquisition Date: 05/10/2017)		14,103		89,245
Peab AB		27,001		320,294
Ratos AB - B Shares		13,973		68,648
RaySearch Laboratories AB (a)		1,132		31,128
Rexidor Hotel Group AB		3,651		12,644
Saab AB - Class B		1,556		80,956
SAS AB (a)		19,932		36,693
Scandi Standard AB		173		1,095
Scandic Hotels Group AB (b) (Cost: $193,256; Original Acquisition Date: 05/10/2017)		15,418		197,794
SSAB AB - A Shares (a)		47,873		195,372
SSAB AB - B Shares (a)		65,915		219,555
Sweco AB		5,101		132,992
Trelleborg AB - B Shares		521		12,253
Vitrolife AB		184		11,517
				4,989,992
Switzerland - 4.0%
APG SGA, S.A.		100		50,152
Ascom Holding AG		619		12,271
Autoneum Holding AG		945		268,557
Bell Food Group AG		200		90,031
BKW Energie AG		1,166		70,907
Bobst Group, S.A.		1,826		184,193
Bucher Industries AG		732		238,256
Burkhalter Holding AG		253		36,570
Cembra Money Bank AG		1,127		106,178
Conzzeta AG		130		128,852
dormakaba Holding AG		295		266,354
EDAG Engineering Group AG		855		15,612
Emmi AG		288		223,162
Feintool International Holding AG		199		25,683
Flughafen Zurich AG		206		51,045
Forbo Holding AG		60		99,055
Georg Fischer AG		376		354,629
Gurit Holding AG		138		133,362
Huber + Suhner AG		1,007		70,959
Implenia AG		2,221		171,755
Inficon Holding AG		233		121,967
Kardex AG		699		74,479
Komax Holding AG		88		24,554
Kudelski, S.A.		4,762		84,074
Logitech International, S.A.		5,681		207,638
Mobilezone Holding AG		14,024		218,639
OC Oerlikon Corp AG		787		9,994
Oriflame Holding AG		5,425		222,146
Orior AG		1,115		86,801
Panalpina Welttransport Holding AG		2,116		290,348
Rieter Holding AG		874		197,170
Schmolz + Bickenbach AG (a)		45,907		41,710

	SHARES		FAIR VALUE
Switzerland - 4.0% (continued)
Schweiter Technologies AG		79	$	99,428
SFS Group AG		1,074		124,083
Siegfried Holding AG		128		37,004
Straumann Holding AG		221		122,417
Sulzer AG		105		12,239
Sunrise Communications Group AG (b) (Cost: $122,379; Original Acquisition Date: 05/30/2017)		1,478		122,842
Tecan Group AG		394		74,484
u-blox Holding AG		96		19,804
Valora Holding AG		763		251,300
Vontobel Holding AG		1,380		86,130
Walter Meier AG		649		29,684
Ypsomed Holding AG		51		11,005
Zehnder Group AG		2,174		77,214
				5,244,737
United Kingdom - 0.3%
Dialog Semiconductor PLC (a)		5,890		281,171
Zeal Network SE		3,748		110,206
				391,377
TOTAL COMMON STOCKS (Cost $88,872,233)				89,297,014
PREFERRED STOCKS - 0.1%
Germany - 0.1%
Draegerwerk AG & Co. KGaA - Preference Shares		438		51,343
Sartorius AG		606		61,779
TOTAL PREFERRED STOCKS (Cost $110,219)				113,122
SHORT-TERM INVESTMENTS - 16.2%
Money Market Funds - 16.2%
Fidelity Institutional Money Market Funds - Government Portfolio - Institutional Class - 0.64% (d)		4,102,957		4,102,957
First American Government Obligations Fund - Class Z - 0.65% (d)		4,347,957		4,347,957
First American Treasury Obligations Fund - Class Z - 0.64% (d)		4,347,956		4,347,956
Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class - 0.67% (d)		4,347,956		4,347,956
Short-Term Investments Trust - Treasury Portfolio - Institutional Class - 0.65% (d)		4,102,956		4,102,956
TOTAL SHORT-TERM INVESTMENTS (Cost $21,249,782)				21,249,782
TOTAL INVESTMENTS (Cost $110,232,234) - 84.3%				110,659,918
OTHER ASSETS IN EXCESS OF LIABILITIES - 15.7%				20,604,442
TOTAL NET ASSETS - 100.0%			$	131,264,360

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

46

Schedule of Investments as of May 31, 2017

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

Percentages are stated as a percent of net assets.

PLC - Public Limited Company

(a) Non-income producing security.

(b) Security is restricted to resale. The Portfolio’s Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. The aggregate value of these securities at May 31, 2017 was $1,620,358, which represents 1.2% of net assets.

(c) Rounds to zero.

(d) Rate shown is the 7-day effective yield.

Open Futures Contracts

DESCRIPTION	NUMBER OF CONTRACTS PURCHASED		NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
FUTURES CONTRACTS PURCHASED
DAX Index, June 2017 Settlement		1	$	354,924	$	420
Mini MSCI EAFE Index, June 2017 Settlement		177		16,690,215		16,255
S&P/TSX 60 Index, June 2017 Settlement		8		1,072,036		(3,203)
Nikkei 225 Index, June 2017 Settlement		44		3,907,359		4,301
TOTAL FUTURES CONTRACTS PURCHASED			$	22,024,534	$	17,773

Total Return Swaps

COUNTERPARTY	REFERENCE ENTITY	PAY/RECEIVE TOTAL RETURN ON REFERENCE ENTITY		TERMINATION DATE		NOTIONAL VALUE		NUMBER OF UNITS		UNREALIZED APPRECIATION/ (DEPRECIATION)
Morgan Stanley	888 Holdings PLC (a)		Receive		6/1/2020	$	146,647		39,146	$	4,570
Goldman Sachs	888 Holdings PLC (a)		Receive		6/1/2022		27,264		7,278		817
Morgan Stanley	Abcam PLC (a)		Receive		6/1/2020		82,924		6,574		569
Goldman Sachs	Abcam PLC (a)		Receive		6/1/2022		732		58		9
Morgan Stanley	Acacia Mining PLC (a)		Receive		6/1/2020		90,316		24,390		1,609
Morgan Stanley	Advanced Medical Solutions (a)		Receive		6/1/2020		41,677		11,330		1,445
Goldman Sachs	Advanced Medical Solutions (a)		Receive		6/1/2022		7,835		2,130		30
Morgan Stanley	Air France KLM (a)		Receive		6/1/2020		206,941		18,330		3,019
Morgan Stanley	Alten SA (a)		Receive		6/1/2020		186,763		2,096		619
Goldman Sachs	Alten SA (a)		Receive		6/1/2022		17,197		193		19
Morgan Stanley	Amec Foster Wheeler PLC (a)		Receive		6/1/2020		24,567		3,746		(608)
Morgan Stanley	Asos PLC (a)		Receive		6/1/2020		290,122		3,509		5,511
Goldman Sachs	Asos PLC (a)		Receive		6/1/2022		83		1		2
Morgan Stanley	Assystem (a)		Receive		6/1/2020		78,603		2,058		(1,888)
Goldman Sachs	Assystem (a)		Receive		6/1/2022		10,694		280		(325)
Morgan Stanley	Aveva Group PLC (a)		Receive		6/1/2020		79,672		3,194		(2,115)
Goldman Sachs	Aveva Group PLC (a)		Receive		6/1/2022		1,023		41		(9)
Morgan Stanley	Axway Software SA (a)		Receive		6/1/2020		34,802		955		489
Goldman Sachs	Axway Software SA (a)		Receive		6/1/2022		2,186		60		66
Morgan Stanley	Beneteau (a)		Receive		6/1/2020		159,379		9,186		3,920
Goldman Sachs	Beneteau (a)		Receive		6/1/2022		7,634		440		417
Morgan Stanley	Boiron SA (a)		Receive		6/1/2020		50,844		512		1,170
Goldman Sachs	Boiron SA (a)		Receive		6/1/2022		12,115		122		112
Morgan Stanley	Bonduelle SCA (a)		Receive		6/1/2020		77,192		2,071		405
Goldman Sachs	Bonduelle SCA (a)		Receive		6/1/2022		8,088		217		(169)
Morgan Stanley	Boohoo.com PLC (a)		Receive		6/1/2020		2,644		977		216
Morgan Stanley	Booker Group PLC (a)		Receive		6/1/2020		536,527		208,729		(3,430)
Goldman Sachs	Booker Group PLC (a)		Receive		6/1/2022		1,732		674		(5)
Morgan Stanley	Bourbon Corp. (a)		Receive		6/1/2020		34,491		3,028		(120)
Goldman Sachs	Bourbon Corp. (a)		Receive		6/1/2022		1,743		153		(7)

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

47

Schedule of Investments as of May 31, 2017

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

COUNTERPARTY	REFERENCE ENTITY	PAY/RECEIVE TOTAL RETURN ON REFERENCE ENTITY		TERMINATION DATE		NOTIONAL VALUE		NUMBER OF UNITS		UNREALIZED APPRECIATION/ (DEPRECIATION)
Morgan Stanley	Bovis Homes Group PLC (a)		Receive		6/1/2020	$	114,510		9,745	$	(750)
Goldman Sachs	Bovis Homes Group PLC (a)		Receive		6/1/2022		940		80		(6)
Morgan Stanley	Brewin Dolphin Holdings PLC (a)		Receive		6/1/2020		102,379		23,467		1,977
Morgan Stanley	Brown Group PLC (a)		Receive		6/1/2020		59,724		16,151		2,654
Goldman Sachs	Brown Group PLC (a)		Receive		6/1/2022		44		12		3
Morgan Stanley	C&C Group PLC (a)		Receive		6/1/2020		24,671		6,450		119
Morgan Stanley	Cape PLC (a)		Receive		6/1/2020		35,360		11,423		(151)
Goldman Sachs	Cape PLC (a)		Receive		6/1/2022		62		20		—
Morgan Stanley	Card Factory PLC (a)		Receive		6/1/2020		24,736		5,755		(215)
Morgan Stanley	Carillion PLC (a)		Receive		6/1/2020		101,657		38,790		(12)
Goldman Sachs	Carillion PLC (a)		Receive		6/1/2022		605		231		(2)
Morgan Stanley	Centamin PLC (a)		Receive		6/1/2020		627,722		292,609		(1,392)
Goldman Sachs	Centamin PLC (a)		Receive		6/1/2022		764		356		(12)
Morgan Stanley	CGG SA (a)		Receive		6/1/2020		41,210		7,426		(352)
Morgan Stanley	Chemring Group PLC (a)		Receive		6/1/2020		43,057		18,514		(115)
Goldman Sachs	Chemring Group PLC (a)		Receive		6/1/2022		4,716		2,028		12
Morgan Stanley	Clinigen Group PLC (a)		Receive		6/1/2020		26,581		2,318		62
Morgan Stanley	Close Brothers Group PLC (a)		Receive		6/1/2020		61,183		2,966		(483)
Morgan Stanley	CMC Markets PLC (a)		Receive		6/1/2020		53,711		32,824		166
Goldman Sachs	CMC Markets PLC (a)		Receive		6/1/2022		6,699		4,094		(54)
Morgan Stanley	Coface SA (a)		Receive		6/1/2020		49,409		6,075		787
Morgan Stanley	Compagnie Des Alpes (a)		Receive		6/1/2020		69,076		2,388		(714)
Goldman Sachs	Compagnie Des Alpes (a)		Receive		6/1/2022		13,451		465		312
Morgan Stanley	Conviviality PLC (a)		Receive		6/1/2020		46,052		10,451		1,341
Goldman Sachs	Conviviality PLC (a)		Receive		6/1/2022		176		40		11
Morgan Stanley	Costain Group PLC (a)		Receive		6/1/2020		104,739		16,787		2,196
Goldman Sachs	Costain Group PLC (a)		Receive		6/1/2022		22,911		3,672		766
Morgan Stanley	Crest Nicholson Holdings (a)		Receive		6/1/2020		105,295		12,941		1,333
Goldman Sachs	Crest Nicholson Holdings (a)		Receive		6/1/2022		195		24		3
Morgan Stanley	Cvs Group PLC (a)		Receive		6/1/2020		55,255		3,048		1,484
Morgan Stanley	Dart Group PLC (a)		Receive		6/1/2020		62,997		7,823		10
Goldman Sachs	Dart Group PLC (a)		Receive		6/1/2022		443		55		4
Morgan Stanley	Debenhams PLC (a)		Receive		6/1/2020		112,739		174,651		(1,168)
Goldman Sachs	Debenhams PLC (a)		Receive		6/1/2022		30,036		46,530		56
Morgan Stanley	Derichebourg (a)		Receive		6/1/2020		95,871		14,090		5,011
Goldman Sachs	Derichebourg (a)		Receive		6/1/2022		5,559		817		(233)
Morgan Stanley	Devoteam SA (a)		Receive		6/1/2020		67,929		857		(187)
Goldman Sachs	Devoteam SA (a)		Receive		6/1/2022		6,183		78		(48)
Morgan Stanley	Dialight PLC (a)		Receive		6/1/2020		28,284		2,121		(263)
Goldman Sachs	Dialight PLC (a)		Receive		6/1/2022		3,694		277		57
Morgan Stanley	Diploma PLC (a)		Receive		6/1/2020		186,695		12,949		580
Goldman Sachs	Diploma PLC (a)		Receive		6/1/2022		22,376		1,552		97
Morgan Stanley	Drax Group PLC (a)		Receive		6/1/2020		131,217		29,417		3,335
Morgan Stanley	Dunelm Group PLC (a)		Receive		6/1/2020		191,680		23,765		3,719
Morgan Stanley	Ei Group PLC (a)		Receive		6/1/2020		86,373		47,126		(836)
Goldman Sachs	Ei Group PLC (a)		Receive		6/1/2022		176		96		2
Morgan Stanley	Electrocomponents PLC (a)		Receive		6/1/2020		335,526		44,401		15,194
Morgan Stanley	Elementis PLC (a)		Receive		6/1/2020		96,869		25,036		14
Goldman Sachs	Elementis PLC (a)		Receive		6/1/2022		12		3		—
Morgan Stanley	Emis Group PLC (a)		Receive		6/1/2020		32,464		2,689		(98)
Goldman Sachs	Emis Group PLC (a)		Receive		6/1/2022		72		6		—
Morgan Stanley	Entertainment One Ltd. (a)		Receive		6/1/2020		24,606		7,814		(315)
Morgan Stanley	Euler Hermes Group (a)		Receive		6/1/2020		61,103		581		(469)
Morgan Stanley	Euronext N.V. (a)		Receive		6/1/2020		61,247		1,171		233
Morgan Stanley	Evraz PLC (a)		Receive		6/1/2020		299,638		122,399		(6,500)

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

48

Schedule of Investments as of May 31, 2017

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

COUNTERPARTY	REFERENCE ENTITY	PAY/RECEIVE TOTAL RETURN ON REFERENCE ENTITY		TERMINATION DATE		NOTIONAL VALUE		NUMBER OF UNITS		UNREALIZED APPRECIATION/ (DEPRECIATION)
Goldman Sachs	Evraz PLC (a)		Receive		6/1/2022	$	81,916		33,462	$	(874)
Morgan Stanley	Faurecia (a)		Receive		6/1/2020		738,124		14,061		(3,175)
Morgan Stanley	Fenner PLC (a)		Receive		6/1/2020		72,188		17,900		503
Morgan Stanley	Ferrexpo PLC (a)		Receive		6/1/2020		276,769		125,107		(4,584)
Goldman Sachs	Ferrexpo PLC (a)		Receive		6/1/2022		148		67		—
Morgan Stanley	Fevertree Drinks PLC (a)		Receive		6/1/2020		8,263		365		350
Morgan Stanley	Firstgroup PLC (a)		Receive		6/1/2020		153,064		79,304		509
Morgan Stanley	Fnac Darty SA (a)		Receive		6/1/2020		135,618		1,945		(6)
Morgan Stanley	Forterra PLC (a)		Receive		6/1/2020		46,227		13,425		615
Goldman Sachs	Forterra PLC (a)		Receive		6/1/2022		15,595		4,529		246
Morgan Stanley	Galliford Try PLC (a)		Receive		6/1/2020		159,815		9,923		(6)
Goldman Sachs	Galliford Try PLC (a)		Receive		6/1/2022		467		29		—
Morgan Stanley	Gaztransport et Techniga SA (a)		Receive		6/1/2020		85,593		2,168		384
Goldman Sachs	Gaztransport et Techniga SA (a)		Receive		6/1/2022		27,281		691		(218)
Morgan Stanley	GL Events (a)		Receive		6/1/2020		37,291		1,478		(415)
Goldman Sachs	GL Events (a)		Receive		6/1/2022		7,468		296		19
Morgan Stanley	Go-Ahead Group PLC (a)		Receive		6/1/2020		7,785		330		(30)
Goldman Sachs	Go-Ahead Group PLC (a)		Receive		6/1/2022		47		2		(1)
Morgan Stanley	Greggs PLC (a)		Receive		6/1/2020		162,284		11,566		1,564
Goldman Sachs	Greggs PLC (a)		Receive		6/1/2022		30,784		2,194		505
Morgan Stanley	Groupe Crit (a)		Receive		6/1/2020		21,696		261		30
Goldman Sachs	Groupe Crit (a)		Receive		6/1/2022		10,059		121		(20)
Morgan Stanley	Halfords Group PLC (a)		Receive		6/1/2020		217,330		46,429		(2,991)
Goldman Sachs	Halfords Group PLC (a)		Receive		6/1/2022		43,022		9,191		148
Morgan Stanley	Haulotte Group (a)		Receive		6/1/2020		26,808		1,570		1,448
Goldman Sachs	Haulotte Group (a)		Receive		6/1/2022		3,347		196		101
Morgan Stanley	Havas SA (a)		Receive		6/1/2020		344,714		33,636		(253)
Morgan Stanley	Hays PLC (a)		Receive		6/1/2020		161,128		74,929		1,168
Morgan Stanley	Henderson Group PLC (a)		Receive		6/1/2020		133,123		44,185		(17)
Morgan Stanley	Hochschild Mining PLC (a)		Receive		6/1/2020		189,620		51,386		1,328
Morgan Stanley	Hostelworld Group PLC (a)		Receive		6/1/2020		5,472		1,179		297
Morgan Stanley	Howden Joinery Group PLC (a)		Receive		6/1/2020		322,171		55,198		(3,030)
Goldman Sachs	Howden Joinery Group PLC (a)		Receive		6/1/2022		2,060		353		(32)
Morgan Stanley	ID Logistics Group (a)		Receive		6/1/2020		42,286		279		84
Goldman Sachs	ID Logistics Group (a)		Receive		6/1/2022		7,275		48		10
Morgan Stanley	Inchcape PLC (a)		Receive		6/1/2020		317,282		30,141		(6,346)
Goldman Sachs	Inchcape PLC (a)		Receive		6/1/2022		347		33		(16)
Morgan Stanley	Indivior PLC (a)		Receive		6/1/2020		132,831		31,653		1,790
Goldman Sachs	Indivior PLC (a)		Receive		6/1/2022		457		109		11
Morgan Stanley	Interparfums SA (a)		Receive		6/1/2020		42,491		1,038		1,583
Goldman Sachs	Interparfums SA (a)		Receive		6/1/2022		3,807		93		305
Morgan Stanley	Iomart Group PLC (a)		Receive		6/1/2020		20,365		5,251		76
Goldman Sachs	Iomart Group PLC (a)		Receive		6/1/2022		12		3		—
Morgan Stanley	Ipsen (a)		Receive		6/1/2020		135,302		1,073		3,197
Morgan Stanley	Ipsos (a)		Receive		6/1/2020		172,289		4,382		110
Morgan Stanley	J D Wetherspoon PLC (a)		Receive		6/1/2020		58,190		4,389		229
Morgan Stanley	Jackpotjoy PLC (a)		Receive		6/1/2020		13,703		1,786		47
Morgan Stanley	Jacquet Metal Service (a)		Receive		6/1/2020		36,546		1,237		405
Goldman Sachs	Jacquet Metal Service (a)		Receive		6/1/2022		4,638		157		65
Morgan Stanley	JD Sports Fashion PLC (a)		Receive		6/1/2020		581,484		100,046		(1,635)
Goldman Sachs	JD Sports Fashion PLC (a)		Receive		6/1/2022		96,273		16,564		221
Morgan Stanley	John Menzies PLC (a)		Receive		6/1/2020		75,919		8,299		631
Goldman Sachs	John Menzies PLC (a)		Receive		6/1/2022		8,444		923		48
Morgan Stanley	John Wood Group PLC (a)		Receive		6/1/2020		366,365		39,741		(16,070)
Goldman Sachs	John Wood Group PLC (a)		Receive		6/1/2022		2,646		287		(172)

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

49

Schedule of Investments as of May 31, 2017

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

COUNTERPARTY	REFERENCE ENTITY	PAY/RECEIVE TOTAL RETURN ON REFERENCE ENTITY		TERMINATION DATE		NOTIONAL VALUE		NUMBER OF UNITS		UNREALIZED APPRECIATION/ (DEPRECIATION)
Morgan Stanley	Just Eat PLC (a)		Receive		6/1/2020	$	37,281		4,309	$	846
Morgan Stanley	Kainos Group PLC (a)		Receive		6/1/2020		10,602		3,543		(173)
Goldman Sachs	Kainos Group PLC (a)		Receive		6/1/2022		1,568		524		(167)
Morgan Stanley	KCOM Group PLC (a)		Receive		6/1/2020		50,577		41,649		561
Goldman Sachs	KCOM Group PLC (a)		Receive		6/1/2022		5,643		4,647		134
Morgan Stanley	Latecoere (a)		Receive		6/1/2020		14,412		3,394		(17)
Morgan Stanley	Lisi SA (a)		Receive		6/1/2020		120,069		2,735		2,284
Goldman Sachs	Lisi SA (a)		Receive		6/1/2022		15,014		342		321
Morgan Stanley	Maisons Du Monde SA (a)		Receive		6/1/2020		111,418		2,951		657
Morgan Stanley	Majestic Wine PLC (a)		Receive		6/1/2020		23,188		4,825		63
Goldman Sachs	Majestic Wine PLC (a)		Receive		6/1/2022		8,160		1,698		240
Morgan Stanley	Manitou BF SA (a)		Receive		6/1/2020		40,663		1,267		810
Goldman Sachs	Manitou BF SA (a)		Receive		6/1/2022		3,819		119		172
Morgan Stanley	Marshalls PLC (a)		Receive		6/1/2020		166,924		31,430		6,864
Goldman Sachs	Marshalls PLC (a)		Receive		6/1/2022		37,872		7,131		2,035
Morgan Stanley	Mersen SA (a)		Receive		6/1/2020		73,248		2,455		659
Goldman Sachs	Mersen SA (a)		Receive		6/1/2022		19,662		659		708
Morgan Stanley	Metropole Television SA (a)		Receive		6/1/2020		356,298		14,961		(266)
Morgan Stanley	MGI Coutier (a)		Receive		6/1/2020		135,775		3,179		(1,858)
Goldman Sachs	MGI Coutier (a)		Receive		6/1/2022		11,489		269		(207)
Morgan Stanley	Mitie Group PLC (a)		Receive		6/1/2020		130,591		41,848		516
Morgan Stanley	Moneysupermarket.com (a)		Receive		6/1/2020		176,527		39,291		3,758
Goldman Sachs	Moneysupermarket.com (a)		Receive		6/1/2022		94		21		3
Morgan Stanley	Morgan Advanced Materials PLC (a)		Receive		6/1/2020		29,882		7,767		(369)
Morgan Stanley	National Express Group PLC (a)		Receive		6/1/2020		49,410		10,345		154
Morgan Stanley	Naturex (a)		Receive		6/1/2020		98		1		1
Morgan Stanley	Neopost SA (a)		Receive		6/1/2020		226,536		5,086		3,694
Morgan Stanley	Nex Group PLC (a)		Receive		6/1/2020		218,769		26,345		(8,123)
Morgan Stanley	Northgate PLC (a)		Receive		6/1/2020		37,239		5,443		(36)
Morgan Stanley	Origin Enterprises PLC (a)		Receive		6/1/2020		38,445		5,111		(470)
Goldman Sachs	Origin Enterprises PLC (a)		Receive		6/1/2022		4,318		574		(100)
Morgan Stanley	Oxford Instruments PLC (a)		Receive		6/1/2020		20,010		1,408		(245)
Morgan Stanley	Pagegroup PLC (a)		Receive		6/1/2020		365,784		60,288		(5,508)
Goldman Sachs	Pagegroup PLC (a)		Receive		6/1/2022		285		47		(4)
Morgan Stanley	Paragon Group Companies PLC (a)		Receive		6/1/2020		220,485		37,511		(5,611)
Morgan Stanley	Pets At Home Group PLC (a)		Receive		6/1/2020		199,394		93,002		5,411
Goldman Sachs	Pets At Home Group PLC (a)		Receive		6/1/2022		37,209		17,355		1,650
Morgan Stanley	Pierre & Vacances (a)		Receive		6/1/2020		4,242		81		6
Goldman Sachs	Pierre & Vacances (a)		Receive		6/1/2022		838		16		(21)
Morgan Stanley	Plastic Omnium (a)		Receive		6/1/2020		85,196		2,293		(2,588)
Morgan Stanley	Plus500 Ltd. (a)		Receive		6/1/2020		155,395		23,556		5,478
Goldman Sachs	Plus500 Ltd. (a)		Receive		6/1/2022		28,432		4,310		1,440
Morgan Stanley	Polypipe Group PLC (a)		Receive		6/1/2020		49,617		9,226		15
Morgan Stanley	Rank Group PLC (a)		Receive		6/1/2020		36,322		12,843		249
Goldman Sachs	Rank Group PLC (a)		Receive		6/1/2022		3,315		1,172		143
Morgan Stanley	Redcentric PLC (a)		Receive		6/1/2020		69,246		64,752		(916)
Goldman Sachs	Redcentric PLC (a)		Receive		6/1/2022		3,927		3,672		(143)
Morgan Stanley	Redde PLC (a)		Receive		6/1/2020		59,955		28,032		(1,481)
Goldman Sachs	Redde PLC (a)		Receive		6/1/2022		7,439		3,478		(315)
Morgan Stanley	Redrow PLC (a)		Receive		6/1/2020		257,707		35,685		(3,685)
Goldman Sachs	Redrow PLC (a)		Receive		6/1/2022		563		78		(15)
Morgan Stanley	Renishaw PLC (a)		Receive		6/1/2020		97,209		2,038		2,003
Morgan Stanley	Restaurant Group PLC (a)		Receive		6/1/2020		61,702		13,149		3,436

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

50

Schedule of Investments as of May 31, 2017

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

COUNTERPARTY	REFERENCE ENTITY	PAY/RECEIVE TOTAL RETURN ON REFERENCE ENTITY		TERMINATION DATE		NOTIONAL VALUE		NUMBER OF UNITS		UNREALIZED APPRECIATION/ (DEPRECIATION)
Goldman Sachs	Restaurant Group PLC (a)		Receive		6/1/2022	$	1,976		421	$	277
Morgan Stanley	Rotork PLC (a)		Receive		6/1/2020		62,997		20,753		(1,221)
Goldman Sachs	Rotork PLC (a)		Receive		6/1/2022		149		49		(3)
Morgan Stanley	RPS Group PLC (a)		Receive		6/1/2020		61,976		17,428		403
Goldman Sachs	RPS Group PLC (a)		Receive		6/1/2022		188		53		4
Morgan Stanley	Rubis (a)		Receive		6/1/2020		168,597		1,455		(550)
Goldman Sachs	Rubis (a)		Receive		6/1/2022		116		1		(2)
Morgan Stanley	Sartorius Stedim Biotech (a)		Receive		6/1/2020		12,274		156		107
Morgan Stanley	SIG PLC (a)		Receive		6/1/2020		245,671		123,653		14,630
Morgan Stanley	Softcat PLC (a)		Receive		6/1/2020		117,626		20,987		654
Morgan Stanley	Sopra Steria Group (a)		Receive		6/1/2020		36,773		232		(53)
Morgan Stanley	Spectris PLC (a)		Receive		6/1/2020		163,723		4,863		1,583
Goldman Sachs	Spectris PLC (a)		Receive		6/1/2022		269		8		8
Morgan Stanley	SPIE SA (a)		Receive		6/1/2020		228,417		8,194		2,193
Morgan Stanley	Spirax-Sarco Engineering PLC (a)		Receive		6/1/2020		49,429		676		31
Morgan Stanley	SRE Groupe SA (a)		Receive		6/1/2020		73,217		2,544		1,079
Goldman Sachs	SRE Groupe SA (a)		Receive		6/1/2022		33,270		1,156		1,074
Morgan Stanley	SSP Group PLC (a)		Receive		6/1/2020		73,768		11,754		(133)
Morgan Stanley	Stagecoach Group PLC (a)		Receive		6/1/2020		24,686		9,059		73
Morgan Stanley	Stallergenes Greer PLC (a)		Receive		6/1/2020		896		22		—
Morgan Stanley	Stock Spirits Group PLC (a)		Receive		6/1/2020		22,597		10,022		1,004
Goldman Sachs	Stock Spirits Group PLC (a)		Receive		6/1/2022		2,142		950		171
Morgan Stanley	Supergroup PLC (a)		Receive		6/1/2020		39,828		1,993		(430)
Goldman Sachs	Supergroup PLC (a)		Receive		6/1/2022		60		3		(1)
Morgan Stanley	SVG Capital PLC (a)		Receive		6/1/2020		28,870		3,030		18
Goldman Sachs	SVG Capital PLC (a)		Receive		6/1/2022		12,958		1,360		7
Morgan Stanley	Synergie SA (a)		Receive		6/1/2020		18,831		417		(174)
Goldman Sachs	Synergie SA (a)		Receive		6/1/2022		2,258		50		(53)
Morgan Stanley	Synthomer PLC (a)		Receive		6/1/2020		40,281		6,203		245
Morgan Stanley	Talktalk Telecom Group (a)		Receive		6/1/2020		175,664		76,810		2,558
Morgan Stanley	Tarkett (a)		Receive		6/1/2020		7,734		155		267
Morgan Stanley	Technicolor SA (a)		Receive		6/1/2020		122,195		23,709		(900)
Morgan Stanley	Telecom Plus PLC (a)		Receive		6/1/2020		110,445		6,489		1,504
Goldman Sachs	Telecom Plus PLC (a)		Receive		6/1/2022		16,731		983		390
Morgan Stanley	Telit Communications PLC (a)		Receive		6/1/2020		182,322		42,526		(4,977)
Goldman Sachs	Telit Communications PLC (a)		Receive		6/1/2022		24,026		5,604		(1,610)
Morgan Stanley	Trigano Sa (a)		Receive		6/1/2020		71,942		659		(513)
Goldman Sachs	Trigano Sa (a)		Receive		6/1/2022		11,681		107		(205)
Morgan Stanley	Ubisoft Entertainment (a)		Receive		6/1/2020		191,735		3,446		4,155
Morgan Stanley	UDG Healthcare PLC (a)		Receive		6/1/2020		49,518		4,707		364
Morgan Stanley	Vedanta Resources PLC (a)		Receive		6/1/2020		84,871		10,772		(5,070)
Morgan Stanley	Vesuvius PLC (a)		Receive		6/1/2020		35,399		4,741		1,079
Morgan Stanley	Vicat (a)		Receive		6/1/2020		147,560		2,003		3,281
Morgan Stanley	Victrex PLC (a)		Receive		6/1/2020		73,420		2,951		(1,046)
Goldman Sachs	Victrex PLC (a)		Receive		6/1/2022		25		1		(1)
Morgan Stanley	Virbac SA (a)		Receive		6/1/2020		73,274		446		(1,443)
Goldman Sachs	Virbac SA (a)		Receive		6/1/2022		24,972		152		(816)
Morgan Stanley	WH Smith PLC (a)		Receive		6/1/2020		285,645		12,427		975
Goldman Sachs	WH Smith PLC (a)		Receive		6/1/2022		1,425		62		(2)
Morgan Stanley	Worldline SA (a)		Receive		6/1/2020		25,796		734		328
Morgan Stanley	WS Atkins PLC (a)		Receive		6/1/2020		10,001		373		(9)
						$	18,779,432			$	52,880

(a) Foreign issue total return swap.

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements.

Elements Portfolios Annual Report May 31, 2017

51

Statement of Assets and Liabilities May 31, 2017

	ELEMENTS U.S. PORTFOLIO			ELEMENTS U.S. SMALL CAP PORTFOLIO
ASSETS:
Investments, at fair value(1)	$	644,744,786		$	478,253,804
Dividends and interest receivable		826,691			390,738
Receivable for fund shares sold		2,618,424			1,957,904
Receivable from Adviser		153,439			134,076
Cash		4,936			53,942
Deferred offering expenses (See Note 6)		1,237			—
Other assets		97			74
Total assets		648,349,610			480,790,538
LIABILITIES:
Variation Margin Payable		15,573			5,726
Payable for investment securities purchased		31,945,878			57,394,335
Payable for Chief Compliance Officer compensation		4,971			4,971
Payable for fund shares redeemed		62,926			60,618
Payable to Custodian		3,799			2,787
Accrued distribution fees		70,720			51,184
Deferred offering expenses (See Note 6)		—			6,680
Other accrued expenses		170,164			150,948
Total liabilities		32,274,031			57,677,249
Total net assets	$	616,075,579		$	423,113,289
NET ASSETS CONSIST OF:
Capital stock	$	606,338,023		$	424,908,215
Accumulated net investment income		1,400,467			724,819
Accumulated net realized gain		399,931			705,311
Unrealized appreciation (depreciation) on:
Investments		7,952,735			(3,182,429	)
Futures contracts		(15,577	)		(42,627	)
Total net assets	$	616,075,579		$	423,113,289
Net Assets	$	616,075,579		$	423,113,289
Shares outstanding		60,881,175			43,110,826
Net asset value, offering and redemption price per share	$	10.12		$	9.81
(1)  Cost of Investments	$	636,792,051		$	481,436,233

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

Elements Portfolios Annual Report May 31, 2017

52

Statement of Assets and Liabilities May 31, 2017

	ELEMENTS INTERNATIONAL PORTFOLIO			ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO
ASSETS:
Investments, at fair value(1)	$	335,512,111		$	110,659,918
Unrealized appreciation on swap contracts		300,871			167,352
Dividends and interest receivable		102,598			31,696
Receivable for fund shares sold		2,779,602			1,209,003
Receivable from Adviser		140,765			103,702
Cash		9,500,000			2,350,000
Foreign currencies, at value(2)		170,132,787			53,109,450
Collateral held at broker		3,011,741			791,074
Total assets		521,480,475			168,422,195
LIABILITIES:
Unrealized depreciation on swap contracts		398,468			114,472
Payable for investment securities purchased		146,560,751			36,916,134
Payable for Chief Compliance Officer compensation		4,991			4,991
Payable for fund shares redeemed		17,170			22,456
Payable to Custodian		1,803			494
Accrued distribution fees		18,029			4,943
Deferred offering expenses (See Note 6)		5,664			5,664
Other accrued expenses		111,350			88,681
Total liabilities		147,118,226			37,157,835
Total net assets	$	374,362,249		$	131,264,360
NET ASSETS CONSIST OF:
Capital stock	$	370,324,685		$	129,584,157
Accumulated net investment income		2,177,768			287,962
Accumulated net realized gain		775,599			677,673
Unrealized appreciation (depreciation) on:
Investments		(176,526	)		(167,737	)
Foreign currency translation		1,155,240			811,652
Futures contracts		203,080			17,773
Swap contracts		(97,597	)		52,880
Total net assets	$	374,362,249		$	131,264,360
Net Assets	$	374,362,249		$	131,264,360
Shares outstanding		36,373,294			12,672,948
Net asset value, offering and redemption price per share	$	10.29		$	10.36
(1)  Cost of Investments	$	335,169,579		$	110,232,234
(2)  Cost of foreign currencies		168,698,875			53,017,011

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements.

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Statement of Operations For the Period Ended May 31, 2017

	ELEMENTS U.S. PORTFOLIO(1)			ELEMENTS U.S. SMALL  CAP PORTFOLIO(1)
INVESTMENT INCOME:
Dividend income	$	1,315,194		$	624,181
Interest income		85,273			100,638
Total investment income		1,400,467			724,819
EXPENSES:
Advisory fees (See Note 4)		231,136			284,020
Distribution (12b-1) fees		77,045			56,804
Federal and state registration fees		69,935			49,056
Audit and tax related fees		32,084			32,084
Fund accounting and administration fees		28,531			32,889
Legal fees		22,512			20,012
Offering costs		10,693			9,110
Chief Compliance Officer compensation		9,971			9,971
Transfer agency fees and expenses		8,926			8,726
Custody fees		3,852			2,840
Other expenses		10,249			10,550
Total expenses before Adviser waiver		504,934			516,062
Expenses waived by Adviser (See Note 4)		(504,934	)		(516,062	)
Total net expenses		—			—
Net investment income		1,400,467			724,819
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Investments		77,593			227,496
Futures contracts		322,338			477,815
Net change in unrealized appreciation (depreciation) on:
Investments		7,952,735			(3,182,429	)
Futures contracts		(15,577	)		(42,627	)
Net realized and unrealized gain (loss)		8,337,089			(2,519,745	)
Net increase (decrease) in net assets resulting from operations	$	9,737,556		$	(1,794,926	)

(1) The Portfolio commenced operations on April 3, 2017.

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

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Statement of Operations For the Period Ended May 31, 2017

	ELEMENTS INTERNATIONAL PORTFOLIO(1)			ELEMENTS INTERNATIONAL SMALL  CAP PORTFOLIO(1)
INVESTMENT INCOME:
Dividend income	$	70,165		$	40,557
Interest income		45,292			11,139
Total investment income		115,457			51,696
EXPENSES:
Advisory fees (See Note 4)		81,132			27,188
Federal and state registration fees		42,873			15,013
Audit and tax related fees		32,054			32,054
Distribution (12b-1) fees		18,029			4,943
Legal fees		11,511			11,511
Fund accounting and administration fees		11,004			16,195
Transfer agency fees and expenses		6,708			6,708
Chief Compliance Officer compensation		4,991			4,991
Offering costs		4,507			4,507
Custody fees		1,803			494
Other expenses		7,286			7,286
Total expenses before Adviser waiver		221,898			130,890
Expenses waived by Adviser (See Note 4)		(221,898	)		(130,890	)
Total net expenses		—			—
Net investment income		115,457			51,696
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Foreign currency translation		2,062,311			236,266
Futures contracts		775,599			677,673
Net change in unrealized appreciation (depreciation) on:
Investments		(176,526	)		(167,737	)
Foreign currency translation		1,155,240			811,652
Futures contracts		203,080			17,773
Swap contracts		(97,597	)		52,880
Net realized and unrealized gain		3,922,107			1,628,507
Net increase in net assets resulting from operations	$	4,037,564		$	1,680,203

(1) The Portfolio commenced operations on May 1, 2017.

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements.

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Statement of Changes in Net Assets

	ELEMENTS U.S. PORTFOLIO			ELEMENTS U.S. SMALL CAP PORTFOLIO
	PERIOD ENDED MAY 31, 2017(1)			PERIOD ENDED MAY 31, 2017(1)
OPERATIONS:
Net investment income	$	1,400,467		$	724,819
Net realized gain on:
Investments		77,593			227,496
Futures contracts		322,338			477,815
Net change in unrealized appreciation (depreciation) on:
Investments		7,952,735			(3,182,429	)
Futures contracts		(15,577	)		(42,627	)
Net increase (decrease) in net assets resulting from operations		9,737,556			(1,794,926	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold		608,890,382			425,844,395
Cost of shares redeemed		(2,552,359	)		(936,180	)
Net increase in net assets from capital share transactions		606,338,023			424,908,215
Total increase in net assets		616,075,579			423,113,289
NET ASSETS:
Beginning of period		—			—
End of period	$	616,075,579		$	423,113,289
Accumulated net investment income	$	1,400,467		$	724,819

(1) The Portfolio commenced operations on April 3, 2017.

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements. (Continued)

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Statement of Changes in Net Assets

	ELEMENTS INTERNATIONAL PORTFOLIO			ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO
	PERIOD ENDED MAY 31, 2017(1)			PERIOD ENDED MAY 31, 2017(1)
OPERATIONS:
Net investment income	$	115,457		$	51,696
Net realized gain on:
Foreign currency translation		2,062,311			236,266
Futures contracts		775,599			677,673
Net change in unrealized appreciation (depreciation) on:
Investments		(176,526	)		(167,737	)
Foreign currency translation		1,155,240			811,652
Futures contracts		203,080			17,773
Swap contracts		(97,597	)		52,880
Net increase in net assets resulting from operations		4,037,564			1,680,203
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold		373,924,019			135,785,017
Cost of shares redeemed		(3,599,334	)		(6,200,860	)
Net increase in net assets from capital share transactions		370,324,685			129,584,157
Total increase in net assets		374,362,249			131,264,360
NET ASSETS:
Beginning of period		—			—
End of period	$	374,362,249		$	131,264,360
Accumulated net investment income	$	2,177,768		$	287,962

(1) The Portfolio commenced operations on May 1, 2017.

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements.

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Financial Highlights May 31, 2017

	PER SHARE DATA:
	Income (loss) from Investment Operations
	Net Asset Value, Beginning of Period		Net Investment Income(3)		Net Realized and Unrealized  Gains (Losses)			Total Income (Loss) from Investment Operations
Elements U.S. Portfolio
Period Ended May 31, 2017(1)	$	10.00		0.03		0.09			0.12
Elements U.S. Small Cap Portfolio
Period Ended May 31, 2017(1)	$	10.00		0.02		(0.21	)		(0.19	)
Elements International Portfolio
Period Ended May 31, 2017(2)	$	10.00		0.01		0.28			0.29
Elements International Small Cap Portfolio
Period Ended May 31, 2017(2)	$	10.00		0.01		0.35			0.36

(1) The Portfolio commenced operations on April 3, 2017.

(2) The Portfolio commenced operations on May 1, 2017.

(3) Net investment income per share has been calculated based on average shares outstanding during the period. Net investment income per share is net of fees and expenses that were voluntarily waived or reimbursed by the Adviser, and the Adviser is free to discontinue such waivers or reimbursements at any time.

(4) Not annualized.

(5) Annualized.

(6) Returns shown reflect the reinvestment of all dividends, and are net of fees and expenses, and reflect voluntary waivers and reimbursement of all of the Portfolio’s fees and expenses by Stone Ridge. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemptions of fund shares.

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements.

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Financial Highlights May 31, 2017

											SUPPLEMENT DATA AND RATIOS:
Distributions to Shareholders
Net Investment Income		Net Realized Gains		Total Distributions		Net Asset Value, End of Period		Total Return(6)			Net Assets, End of Period (000’s)		Ratio of Expenses to Average Net Assets (Before Voluntary Expense Waiver)			Ratio of Expenses to Average Net Assets (After Voluntary Expense Waiver)			Ratio of Net Investment Income (Loss) to Average Net Assets (Before Voluntary Expense Waiver)			Ratio of Net Investment Income to Average Net Assets (After Voluntary Expense Waiver)			Portfolio Turnover Rate
	—		—		—	$	10.12		1.20	%(4)	$	616,076		0.66	%(5)		0.00	%(5)		1.16	%(5)		1.82	%(5)		0.40	%(4)
	—		—		—	$	9.81		(1.90	)%(4)	$	423,113		0.91	%(5)		0.00	%(5)		0.37	%(5)		1.28	%(5)		0.01	%(4)
	—		—		—	$	10.29		2.90	%(4)	$	374,362		1.23	%(5)		0.00	%(5)		(0.59	)%(5)		0.64	%(5)		0.00	%(4)
	—		—		—	$	10.36		3.60	%(4)	$	131,264		2.65	%(5)		0.00	%(5)		(1.60	)%(5)		1.05	%(5)		0.00	%(4)

The accompanying Notes to the Financial Statements are an integral part of these Financial  Statements.

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Notes to Financial Statements May 31, 2017

1. Organization

Stone Ridge Trust (the “Trust”) is an open-end management investment company, organized as a Delaware statutory trust and registered under the Investment Company Act of 1940, as amended (the “1940 Act”). Currently, the Trust consists of a number of different funds, each having distinct investment management objectives, strategies, risks and policies. Included in this report are the Elements U.S. Portfolio, the Elements U.S. Small Cap Portfolio, the Elements International Portfolio and the Elements International Small Cap Portfolio, each a “Portfolio” and collectively the “Elements Portfolios.”

Each Portfolio is non-diversified. The Elements U.S. Portfolio and the Elements U.S. Small Cap Portfolio commenced operations on April 3, 2017. The Elements International Portfolio and the Elements International Small Cap Portfolio commenced operations on May 1, 2017. Each Portfolio offers one class of shares with no front-end or back-end sales charges and a 0.10% 12b-1 fee to investors. No Portfolio charges redemption fees. Each Portfolio has an unlimited number of authorized shares.

The investment objective of each Portfolio is to seek long-term capital appreciation. The Elements U.S. Portfolio seeks to achieve its investment objective by investing in a broad and diverse group of securities of U.S. companies. The Elements U.S. Small Cap Portfolio seeks to achieve its investment objective by investing in a broad and diverse group of securities of U.S. small capitalization companies. The Elements International Portfolio seeks to achieve its investment objective by investing in a broad and diverse group of securities of companies associated with countries with developed markets. The Elements International Small Cap Portfolio seeks to achieve its investment objective by investing in a broad and diverse group of securities of small capitalization companies associated with countries with developed markets.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies consistently followed by the Elements Portfolios in the preparation of their financial statements. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The Elements Portfolios are investment companies and apply specific accounting and financial reporting requirements under Financial Accounting Standards Board (“FASB”) Accounting Standards Topic 946, Financial Services – Investment Companies.

(a) Investment Valuation and Fair Value Measurement The Board of Trustees has approved procedures pursuant to which each Elements Portfolio will value its investments (the “Valuation Procedures”). The Board of Trustees has established an Adviser Valuation Committee comprised of employees of Stone Ridge Asset Management LLC (the “Adviser”) to which they have delegated responsibility for overseeing the implementation of the Valuation Procedures and fair value determinations made on behalf of the Board of Trustees.

Listed below is a summary of certain of the methods generally used currently to value investments of each Elements Portfolio under the Valuation Procedures:

Short-term debt instruments, such as commercial paper, bankers’ acceptances and U.S. Treasury Bills, having a maturity of 60 days or less, are generally valued at amortized cost which approximates fair value.

Other debt securities, including corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities in each case having a remaining maturity in excess of 60 days, loans, mortgage-backed securities, collateralized mortgage obligations and other asset-backed securities are valued by an independent pricing service at an evaluated (or estimated) mean between the closing bid and asked prices.

For investments in open-end management companies that are registered under the 1940 Act, the value of the shares of such funds is calculated based upon the net asset value per share of such funds. The prospectuses for such funds explain the circumstances under which they will use fair value pricing and its effects.

Equity securities are valued at the last sale, official close or if there are no reported sales at the mean between the bid and asked price on the primary exchange on which they are traded. The values of the Portfolios’ investments in publicly traded foreign equity securities generally will be the closing or final trading prices in the local trading markets but may be adjusted based on values determined by a pricing service using pricing models designed to estimate changes in the values of those securities between the times in which the trading in those securities is substantially completed and the close of the New York Stock Exchange (“NYSE”).

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Notes to Financial Statements May 31, 2017

Exchange-traded derivatives, such as options and futures contracts, are valued at the settlement price on the exchange or mean of the bid and asked prices.

Total return swaps on exchange-traded underliers or indices are generally valued on the basis of funding accruals and underlying instruments’ total returns. Other non-exchange traded derivatives, such as FX forwards, are generally valued on the basis of valuations provided by a pricing service.

If market quotations are not readily available or available market quotations or other information are deemed to be unreliable by the Adviser Valuation Committee, and if the valuation of the applicable instrument is not covered by the valuation methods described above or if the valuation methods are described above, but such methods are deemed unreliable by the Adviser Valuation Committee, then such instruments will be valued as determined in good faith by the Adviser Valuation Committee. In these circumstances, a Portfolio determines fair value in a manner that seeks to reflect the market value of the security on the Valuation Date based on consideration by the Adviser Valuation Committee of any information or factors it deems appropriate. For purposes of determining the fair value of securities, the Adviser Valuation Committee may generally consider, without limitation: (i) indications or quotes from brokers or other third-party sources (ii) valuations provided by a third-party pricing agent, (iii) internal models that take into consideration different factors determined to be relevant by the Adviser; or (iv) any combination of the above.

Fair value pricing may require subjective determinations about the value of a portfolio instrument. Fair values used to determine the Portfolio’s net asset value (“NAV”) may differ from quoted or published prices, or from prices that are used by others, for the same investments. Also, the use of fair value pricing may not always result in adjustments to the prices of securities or other assets or liabilities held by the Portfolio. It is possible that the fair value determined for a security may be materially different than the value that could be realized upon the sale of such security. Thus, fair valuation may have an unintended dilutive or accretive effect on the value of shareholders’ investments in the Portfolio. Information that becomes known to the Portfolio or its agents after the NAV has been calculated on a particular day will not be used to retroactively adjust the price of a security or the NAV determined earlier that day.

Investments initially valued in currencies other than the U.S. dollar are converted to U.S. dollars using exchange rates obtained from pricing services. As a result, the NAV of the Portfolio’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. International markets are sometimes open on days when U.S. markets are closed, which means that the value of foreign securities owned by the Portfolio could change on days when Portfolio shares cannot be bought or sold. The value of investments traded in markets outside the U.S. or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the NYSE is closed, and the NAV of the Portfolio’s shares may change on days when an investor is not able to purchase, redeem or exchange shares. The calculation of the Portfolio’s NAV may not take place contemporaneously with the determination of the prices of foreign securities used in NAV calculations.

The Elements Portfolios adhere to authoritative fair valuation accounting standards that set out a hierarchy for measuring fair valuation inputs. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs during the period. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are as follows:

Level 1 Inputs: quoted prices (unadjusted) in active markets for identical assets or liabilities that the Portfolio can access at the measurement date;

Level 2 Inputs: inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly including inputs in markets that are not considered to be active or in active markets for similar assets or liabilities, observable inputs other than quoted prices and inputs that are not directly observable but are corroborated by observable market data;

Level 3 Inputs: unobservable inputs for the asset or liability.

Inputs are used in applying the various valuation techniques and broadly refer to the assumptions that market participants use to make valuation decisions, including assumptions about risk. A financial instrument’s level within the

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Notes to Financial Statements May 31, 2017

fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. However, the determination of what constitutes “observable” requires significant judgment by the Adviser. The Adviser considers observable data to be that market data which is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market. The categorization of a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the Adviser’s perceived risk of that instrument.

Transfers between levels are recognized at the end of the reporting period. There were no transfers between levels during the reporting period. The following tables summarize the inputs used to value the Elements Portfolios’ investments as of May 31, 2017.

DESCRIPTION	LEVEL 1			LEVEL 2			LEVEL 3		TOTAL
Elements U.S. Portfolio (1)
Assets
Common Stocks	$	569,072,024		$	—		$	—	$	569,072,024
Real Estate Investment Trusts		1,144,339			—			—		1,144,339
U.S. Government Notes		—			5,002,090			—		5,002,090
Money Market Funds		39,566,316			—			—		39,566,316
U.S. Treasury Bills		—			29,960,017			—		29,960,017
Total Assets	$	609,782,679		$	34,962,107		$	—	$	644,744,786
Other Financial Instruments*
Unrealized depreciation on futures contracts	$	(15,577	)	$	—		$	—	$	(15,577	)
Total	$	(15,577	)	$	—		$	—	$	(15,577	)
Elements U.S. Small Cap Portfolio (1)
Assets
Common Stocks	$	395,240,005		$	—		$	—	$	395,240,005
Real Estate Investment Trusts		1,308,670			—			—		1,308,670
Rights		73,118			—			—		73,118
U.S. Government Notes		—			5,001,090			—		5,001,090
Money Market Funds		66,639,284			—			—		66,639,284
U.S. Treasury Bills		—			9,991,637			—		9,991,637
Total Assets	$	463,261,077		$	14,992,727		$	—	$	478,253,804
Other Financial Instruments*
Unrealized depreciation on futures contracts	$	(42,627	)	$	—		$	—	$	(42,627	)
Total	$	(42,627	)	$	—		$	—	$	(42,627	)
Elements International Portfolio (1)
Assets
Common Stocks	$	264,934,233		$	—		$	—	$	264,934,233
Preferred Stocks		838,367			—			—		838,367
Money Market Funds		69,739,511			—			—		69,739,511
Total Assets	$	335,512,111		$	—		$	—	$	335,512,111
Other Financial Instruments*
Unrealized appreciation on futures contracts	$	204,945		$	—		$	—	$	204,945
Unrealized depreciation on futures contracts		(1,865	)		—			—		(1,865	)
Unrealized appreciation on swap contracts		—			300,871			—		300,871
Unrealized depreciation on swap contracts		—			(398,468	)		—		(398,468	)
Total	$	203,080		$	(97,597	)	$	—	$	105,483

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Notes to Financial Statements May 31, 2017

DESCRIPTION	LEVEL 1			LEVEL 2			LEVEL 3		TOTAL
Elements International Small Cap Portfolio (1)
Assets
Common Stocks	$	89,297,014		$	—		$	—	$	89,297,014
Preferred Stocks		113,122			—			—		113,122
Money Market Funds		21,249,782			—			—		21,249,782
Total Assets	$	110,659,918		$	—		$	—	$	110,659,918
Other Financial Instruments*
Unrealized appreciation on futures contracts	$	20,976		$	—		$	—	$	20,976
Unrealized depreciation on futures contracts		(3,203	)		—			—		(3,203	)
Unrealized appreciation on swap contracts		—			167,352			—		167,352
Unrealized depreciation on swap contracts		—			(114,472	)		—		(114,472	)
Total	$	17,773		$	52,880		$	—	$	70,653

* Other financial instruments are derivatives, such as futures contracts and swap contracts. These instruments are reflected at the unrealized appreciation (depreciation) on the instrument.

(1) The Portfolio measures Level 3 activity as of the beginning and end of each financial reporting period. For the period ended May 31, 2017, the Portfolio did not have unobservable inputs (Level 3 securities) used in determining fair value. Therefore, a reconciliation of assets and liabilities in which significant inputs (Level 3 securities) were used in determining fair value is not applicable.

Derivative Transactions — All of the Elements Portfolios engaged in futures transactions while the Elements International Portfolio and Elements International Small Cap Portfolio also engaged in swaps transactions. These transactions were for speculative purposes, to maintain liquidity or to earn an enhanced return during the fiscal period ended May 31, 2017.

Futures Contracts — All of the Elements Portfolios engage in transactions in futures contracts and options on futures contracts. Futures contracts are standardized, exchange-traded contracts that obligate a purchaser to take delivery, and a seller to make delivery, of a specific amount of an asset at a specified future date at a specified price. A futures contract on an index is an agreement pursuant to which two parties agree to take or make delivery of an amount of cash equal to the difference between the value of the index at the close of the last trading day of the contract and the price at which the index contract originally was written. Although the value of an index might be a function of the value of certain specified securities, physical delivery of these securities is not always made. The Portfolios also are authorized to purchase or sell call and put options on futures contracts. The Portfolios may maintain margin for non-U.S. futures transactions directly with its broker or the clearinghouse.

The average notional amount of futures contracts during the fiscal period ended May 31, 2017, were as follows:

	ELEMENTS U.S. PORTFOLIO		ELEMENTS U.S. SMALL CAP PORTFOLIO		ELEMENTS INTERNATIONAL PORTFOLIO		ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO
Long futures contracts
Equity index contracts	$	21,699,900	$	45,995,705	$	30,135,538	$	22,024,534
Total long futures contracts	$	21,699,900	$	45,995,705	$	30,135,538	$	22,024,534

Total Return Swaps — All of the Elements Portfolios may enter into total return swaps. In a swap transaction, two parties generally agree to exchange the returns (or differentials in rates of return) earned or realized on a particular predetermined reference instrument or instruments, which can be adjusted for an interest rate factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount” (i.e., the return on or increase in value of a particular dollar amount invested in a particular security or other asset or in a “basket” of securities representing a particular index). Other types of swap agreements may calculate the obligations of the parties to the agreement on a “net basis.” Consequently, a party’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of

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Notes to Financial Statements May 31, 2017

the positions held by each party to the agreement (the “net amount”). An equity swap is an agreement in which at least one party’s payments are based on the rate of return of an equity security or equity index. The other party’s payments can be based on a fixed rate, a non-equity variable rate or even a different equity index. The average amount of long total return swaps held during the period ended May 31, 2017 was $76,663,125 for the Elements International Portfolio and $18,779,432 for the Elements International Small Cap Portfolio.

Statement of Assets and Liabilities — Values of Derivatives at May 31, 2017

	ASSET DERIVATIVES
	STATEMENT OF ASSETS AND LIABILITIES LOCATION	FAIR VALUE
Elements International Portfolio
Futures
Equity index contracts	Net assets—Unrealized appreciation*	$	204,945
Total return swaps
Equity contracts	Unrealized appreciation on open swap contracts*		300,871
Elements International Small Cap Portfolio
Futures
Equity index contracts	Net assets—Unrealized appreciation*		20,976
Total return swaps
Equity contracts	Unrealized appreciation on open swap contracts**		167,352

* Reflects cumulative unrealized appreciation of futures contracts as reported in the Schedule of Investments.

** Reflects cumulative unrealized appreciation of swap contracts as reported in the Schedule of Investments.

	LIABILITY DERIVATIVES
	STATEMENT OF ASSETS AND LIABILITIES LOCATION	FAIR VALUE
Elements U.S. Portfolio
Futures
Equity index contracts	Net assets—Unrealized depreciation*	$	15,577
Elements U.S. Small Cap Portfolio
Futures
Equity index contracts	Net assets—Unrealized depreciation*		42,627
Elements International Portfolio
Futures
Equity index contracts	Net assets—Unrealized depreciation*		1,865
Total return swaps
Equity contracts	Unrealized depreciation on open swap contracts**		398,468
Elements International Small Cap Portfolio
Futures
Equity index contracts	Net assets—Unrealized depreciation*		3,203
Total return swaps
Equity contracts	Unrealized depreciation on open swap contracts*		114,472

* Reflects cumulative unrealized depreciation of futures contracts as reported in the Schedule of Investments.

** Reflects cumulative unrealized depreciation of swap contracts as reported in the Schedule of Investments.

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Notes to Financial Statements May 31, 2017

The effect of derivative instruments on the Statement of Operations for the period ended May 31, 2017.

AMOUNT OF REALIZED GAIN ON DERIVATIVES TRANSACTIONS
	FUTURES CONTRACTS		TOTAL
Elements U.S. Portfolio
Equity index contracts	$	322,338	$	322,338
Elements U.S. Small Cap Portfolio
Equity index contracts		477,815		477,815
Elements International Portfolio
Equity index contracts		775,599		775,599
Elements International Small Cap Portfolio
Equity index contracts		677,673		677,673

CHANGE IN UNREALIZED APPRECIATION OR (DEPRECIATION) ON DERIVATIVES TRANSACTIONS
	FUTURES CONTRACTS			SWAP CONTRACTS			TOTAL
Elements U.S. Portfolio
Equity index contracts	$	(15,577	)	$	—		$	(15,577	)
Elements U.S. Small Cap Portfolio
Equity index contracts		(42,627	)		—			(42,627	)
Elements International Portfolio
Equity index contracts		203,080			—			203,080
Equity contracts		—			(97,597	)		(97,597	)
Elements International Small Cap Portfolio
Equity index contracts		17,773			—			17,773
Equity contracts		—			52,880			52,880

(b) Offsetting on the Statement of Assets and Liabilities Accounting Standards Update No. 2011-11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011-11”) intended to help investors and other financial statement users better assess the effect or potential effect of offsetting arrangements on a fund’s financial position. ASU 2011-11 requires entities to disclose both gross and net information about both instruments and transactions eligible for offset on the Statement of Assets and Liabilities, and disclose instruments and transactions subject to master netting or similar agreements. In addition, in January 2013, the FASB issued Accounting Standards Update No. 2013-1 “Clarifying the Scope of Offsetting Assets and Liabilities” (“ASU 2013-1”), specifying exactly which transactions are subject to offsetting disclosures. The scope of the disclosure requirement is limited to derivative instruments, repurchase agreements and reverse repurchase agreements, and securities lending transactions. The International Swap and Derivative Association (“ISDA”) agreements specify collateral posting arrangements. Under the agreements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under an agreement with a counterparty in a given account exceeds a specified threshold.

The Elements Portfolios are each subject to a netting arrangement, which governs the terms of certain transactions with select counterparties. The netting arrangement allows the Elements Portfolios to individually close out and net their total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single agreement with a counterparty. The netting arrangement also specifies collateral posting arrangements at prearranged exposure levels. Under the netting agreement, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant netting arrangement with a counterparty in a given account exceeds a specified threshold depending on the counterparty and the type of netting arrangement.

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Notes to Financial Statements May 31, 2017

ELEMENTS INTERNATIONAL PORTFOLIO

	GROSS AMOUNT OF RECOGNIZED ASSETS		GROSS AMOUNT OFFSET IN THE CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES		NET AMOUNTS PRESENTED IN THE CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES		GROSS AMOUNTS NOT OFFSET IN THE CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
Assets:							FINANCIAL INSTRUMENTS			COLLATERAL RECEIVED			NET AMOUNT
Total return swap contracts	$	300,871	$	—	$	300,871	$	(300,871	)		$—		$	—
	$	300,871	$	—	$	300,871	$	(300,871	)		$—		$	—
	GROSS AMOUNT OF RECOGNIZED LIABILITIES		GROSS AMOUNT OFFSET IN THE CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES		NET AMOUNTS PRESENTED IN THE CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES		GROSS AMOUNTS NOT OFFSET IN THE CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
Liabilities:							FINANCIAL INSTRUMENTS			COLLATERAL PLEDGED			NET AMOUNT
Total return swap contracts	$	398,468	$	—	$	398,468	$	(300,871	)	$	(97,597	)	$	—
	$	398,468	$	—	$	398,468	$	(300,871	)	$	(97,597	)	$	—

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

	GROSS AMOUNT OF RECOGNIZED ASSETS		GROSS AMOUNT OFFSET IN THE CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES		NET AMOUNTS PRESENTED IN THE CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES		GROSS AMOUNTS NOT OFFSET IN THE CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
Assets:							FINANCIAL INSTRUMENTS			COLLATERAL RECEIVED		NET AMOUNT
Total return swap contracts	$	167,352	$	—	$	167,352	$	(114,472	)	$	—	$	52,880
	$	167,352	$	—	$	167,352	$	(114,472	)	$	—	$	52,880
	GROSS AMOUNT OF RECOGNIZED LIABILITIES		GROSS AMOUNT OFFSET IN THE CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES		NET AMOUNTS PRESENTED IN THE CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES		GROSS AMOUNTS NOT OFFSET IN THE CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
Liabilities:							FINANCIAL INSTRUMENTS			COLLATERAL PLEDGED		NET AMOUNT
Total return swap contracts	$	114,472	$	—	$	114,472	$	(114,472	)	$	—		$—
	$	114,472	$	—	$	114,472	$	(114,472	)	$	—		$—

Actual collateral pledged may be more than reported in order to satisfy broker requirements.

(c) Use of Estimates The preparation of the financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

(d) Indemnifications In the normal course of business, the Elements Portfolios enter into contracts that contain a variety of representations which provide general indemnifications. The Elements Portfolios’ maximum exposure under these arrangements cannot be known; however, the Elements Portfolios expect any risk of loss to be remote.

(e) Federal Income Taxes The Elements Portfolios intend to qualify as “regulated investment companies” under Subchapter M of the Internal Revenue Code of 1986, as amended. If so qualified, the Elements Portfolios will not be subject to federal income tax to the extent they distribute substantially all of their net investment income and capital gains to shareholders. Therefore, no federal income tax provision is required.

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Notes to Financial Statements May 31, 2017

(f) Distributions to Shareholders The Elements Portfolios intend to distribute to their shareholders any net investment income and any net realized long- or short-term capital gains, if any, at least annually. Distributions are recorded on ex-dividend date. The Elements Portfolios each may periodically make reclassifications among certain of their capital accounts as a result of the characterization of certain income and realized gains determined annually in accordance with federal tax regulations that may differ from GAAP.

(g) Foreign Securities and Currency Transactions The Elements Portfolios’ books and records are maintained in U.S. dollars. Foreign currency denominated transactions (i.e. market value of investment securities, assets and liabilities, purchases and sales of investment securities, and income and expenses) are translated into U.S. dollars at the current rate of exchange. The Elements Portfolios isolate that portion of results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held and it is reported as realized gains (losses) on foreign currency translation and change in unrealized appreciation (depreciation) on foreign currency translation related items on the Elements Portfolios’ statement of operations.

The Elements International Portfolio and the Elements International Small Cap Portfolio invest primarily in foreign issued securities. Investments in foreign (non-U.S.) issuers involve risks not ordinarily associated with exposure to securities and instruments of U.S. issuers, including risks relating to political, social and economic developments affecting issuers located in foreign countries and differences between U.S. and foreign regulatory requirements and market practices, including fluctuations in foreign currency exchange rates and regulations, or foreign withholding taxes. Investing directly or indirectly in foreign securities may result in the Portfolio experiencing more rapid and extreme changes in value than a fund that obtains exposure exclusively in securities of U.S. issuers.

If the Elements Portfolios invest in foreign issuers by purchasing American Depositary Receipts (“ADRs”) (U.S. dollar-denominated depositary receipts issued generally by banks and representing the deposit with the bank of a security of a non-U.S. issuer; ADRs are publicly traded on exchanges or over-the counter in the United States), the Elements Portfolios are exposed to credit risk with respect to the issuer of the ADR, in addition to the risks of the underlying foreign securities.

(h) Other Investment transactions are recorded on the trade date. Dividend income, less any foreign tax withheld, is recognized on the ex-dividend date and interest income is recognized on an accrual basis, including amortization/accretion of premiums or discounts. Discounts and premiums on securities purchased are amortized over the lives of the respective securities using the constant yield method.

(i) Restricted Securities The Elements Portfolios may invest a portion of their assets in securities that are restricted, but eligible for purchase and sale by certain qualified institutional buyers, as defined in Rule 144A under the Securities Act of 1933, as amended, as well as other restricted securities. Restricted securities may be resold in transactions that are exempt from registration under Federal securities laws or if the securities are publically registered. Restricted securities may be deemed illiquid.

(j) REIT Distributions The character of distributions received from real estate investment trusts (“REITs”) held by the Elements Portfolios is generally comprised of net investment income, capital gains, and return of capital. It is the policy of the Elements Portfolios to estimate the character of distributions received from underlying REITs based on historical data provided by the REITs. After each calendar year end, REITs report the actual tax character of these distributions. Differences between the estimated and actual amounts reported by the REITs are reflected in the Elements Portfolios’ records in the year in which they are reported by the REITs by adjusting related investment cost basis, capital gains and income, as necessary.

3. Federal Tax Matters

Provisions for federal income taxes or excise taxes have not been made since the Portfolios intend to be taxed as Regulated Investment Companies and intend to distribute substantially all taxable income and capital gains to shareholders and otherwise comply with the provisions of the Internal Revenue Code applicable to Regulated Investment Companies. Distributions from net realized gains for book purposes may include short-term capital gains which are included as ordinary income to shareholders for tax purposes. Additionally, GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. The reclassifications have no effect on net assets or NAV per share. Permanent differences for the period ended May 31, 2017 were primarily attributable to differences in the book and tax treatment of foreign currencies realized gains and losses.

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Notes to Financial Statements May 31, 2017

For the period ended May 31, 2017, the effect of permanent “book/tax” reclassifications resulted in increases and decreases to components of the Portfolios’ net assets as follows:

	UNDISTRIBUTED NET INVESTMENT INCOME/(LOSS)		ACCUMULATED NET REALIZED GAIN/(LOSS)			PAID IN CAPITAL
Elements US Portfolio		—		—			—
Elements US Small Cap Portfolio		—		—			—
Elements International Portfolio		2,062,311		(2,062,311	)		—
Elements International Small Cap Portfolio		236,266		(236,266	)		—

As of May 31, 2017, the components of accumulated earnings (losses) for income tax purposes were as follows:

	ELEMENTS US PORTFOLIO			ELEMENTS US SMALL CAP PORTFOLIO			ELEMENTS INTERNATIONAL PORTFOLIO			ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO
Tax cost of Investments		636,826,913			481,436,235			335,174,387			110,267,579
Unrealized Appreciation		22,049,090			14,818,449			6,430,599			2,310,908
Unrealized Depreciation		(14,131,217	)		(18,000,880	)		(6,092,875	)		(1,918,569	)
Net unrealized appreciation (depreciation)		7,917,873			(3,182,431	)		337,724			392,339
Undistributed Ordinary Income		1,635,626			1,126,392			2,182,576			623,881
Undistributed Long-Term Capital Gains		184,057			261,113			977,301			398,075
Total distributable earnings		1,819,683			1,387,505			3,159,877			1,021,956
Post-October Capital Loss/Late Year Ordinary Loss Deferral		—			—			—			—
Other Temporary Differences		—			—			539,963			265,908
Total accumulated gain/(loss)		9,737,556			(1,794,926	)		4,037,564			1,680,203

The differences between book-basis and tax-basis unrealized appreciation (depreciation) are primarily attributable to passive foreign investments and wash sales loss deferrals.

There are no capital loss carryovers for the period ended May 31, 2017.

Post-October capital losses represent losses realized on investments transactions from November 1, 2016 through May 31, 2017 that, in accordance with federal income tax regulations, a Portfolio may elect to defer and treat as arising in the following year. Late year ordinary losses represent ordinary and certain specified losses on investments transactions from January 1, 2017 through May 31, 2017 that, in accordance with federal income tax regulations, a Portfolio may elect to defer and treat as arising in the following year. The Elements Portfolios did not have post-October capital losses or late year ordinary losses for the period ended May 31, 2017.

There were no distributions during the period ended May 31, 2017.

There is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken on the tax returns for the period ended May 31, 2017. The period ended May 31, 2017 is the only open tax year subject to examination. The Portfolios recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Consolidated Statement of Operations. During the period, the Portfolios did not incur any interest or penalties.

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Notes to Financial Statements May 31, 2017

4. Agreements

(a) Investment Management Agreement Stone Ridge Asset Management LLC (“Stone Ridge” or the “Adviser”) is the Elements Portfolios’ investment adviser. The Adviser was organized as a Delaware limited liability company in 2012. The Adviser’s primary business is to provide a variety of investment management services, including an investment program for the Elements Portfolios.

As compensation for its services, the Adviser is paid by each of the Elements Portfolios a fee, computed daily and paid monthly in arrears, at the annual rate of 0.30% of the average daily net assets for the Elements U.S. Portfolio, 0.50% of the average daily net assets for the Elements U.S. Small Cap Portfolio, 0.45% of the average daily net assets for the Elements International Portfolio, and 0.55% of the average daily net assets of the International Small Cap Portfolio.

For the Elements Portfolios, the Adviser has voluntarily waived its management fee and/or paid or otherwise borne operating and other expenses, with the result that the Elements Portfolios’ total annual fund operating expense ratio through May 31, 2017 was 0.00%.

As of May 31, 2017, the amounts waived or reimbursed by the Adviser with respect to the Elements U.S. Portfolio, the Elements U.S. Small Cap Portfolio, the Elements International Portfolio, and the Elements International Small Cap Portfolio were $504,934, $516,062, $221,898, and $130,890, respectively. The Adviser is not eligible to recover the previously waived or reimbursed expenses since the expenses were waived or reimbursed on a voluntary basis.

(b) Custodian, Administrator and Transfer Agent The custodian to the Trust is U.S. Bank, N.A. The administrator and transfer agent to the Trust is U.S. Bancorp Fund Services, LLC, an affiliate of U.S. Bank, N.A.

(c) Distributor Quasar Distributors, LLC (the “Distributor”), an affiliate of U.S. Bank, N.A., serves as the Elements Portfolios’ distributor.

5. Distribution Plan

The Elements Portfolios pay fees to the Distributor, on an ongoing basis as compensation for the services the Distributor renders and the expenses it bears in connection with the sale and distribution of shares (“distribution fees”) and/or in connection with personal services rendered to shareholders and the maintenance of shareholder accounts (“servicing fees”). These payments are made pursuant to a Distribution and Servicing Plan (“12b-1 Plan”) adopted by each Elements Portfolio pursuant to Rule 12b-1 under the 1940 Act. The maximum annual rate at which the distribution and/or servicing fees may be paid under the 12b-1 Plan (calculated as a percentage of each Portfolio’s average daily net assets) is 0.25%. Each Portfolio currently pays a rate of 0.10% unless authorized by the Board of Trustees to pay a higher rate (not to exceed 0.25%). Because 12b-1 fees are paid out of a Portfolio’s assets on an ongoing basis, over time these fees will increase the cost of your investment and may cost you more than other types of sales charges.

6. Offering Costs

Offering costs include state registration fees and legal fees regarding the preparation of the initial registration statement. Offering costs are accounted for as deferred costs until operations begin and are then amortized to expense over twelve months on a straight-line basis. The offering costs incurred were $9,456 for the Elements U.S. Portfolio, $15,790 for the Elements U.S. Small Cap Portfolio, $10,171 for the Elements International Portfolio, and $10,171 for the Elements International Small Cap Portfolio.

7. Related Parties

Certain officers of the Trust are also employees of the Adviser. The Officers, with the exception of a portion of the Chief Compliance Officer’s salary, are not compensated by the Trust.

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69

Notes to Financial Statements May 31, 2017

8. Investment Transactions

For the period ended May 31, 2017, aggregate purchases and sales of securities (excluding short-term securities) by the Elements Portfolios were as follows:

	ELEMENTS U.S. PORTFOLIO		ELEMENTS U.S. SMALL CAP PORTFOLIO		ELEMENTS INTERNATIONAL PORTFOLIO		ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO
Purchases	$	569,386,642	$	407,025,100	$	265,431,973	$	88,984,381
Sales		2,142,281		23,372		1,905		1,930

9. Capital Share Transactions

ELEMENTS U.S. PORTFOLIO	PERIOD ENDED MAY 31, 2017(1)
Shares sold		61,134,269
Shares issued to holders in reinvestment of dividends		—
Shares redeemed		(253,094	)
Net increase in shares		60,881,175
Shares outstanding:
Beginning of period		—
End of period		60,881,175
ELEMENTS U.S. SMALL CAP PORTFOLIO	PERIOD ENDED MAY 31, 2017(1)
Shares sold		43,205,365
Shares issued to holders in reinvestment of dividends		—
Shares redeemed		(94,539	)
Net increase in shares		43,110,826
Shares outstanding:
Beginning of period		—
End of period		43,110,826
ELEMENTS INTERNATIONAL PORTFOLIO	PERIOD ENDED MAY 31, 2017(2)
Shares sold		36,727,462
Shares issued to holders in reinvestment of dividends		—
Shares redeemed		(354,168	)
Net increase in shares		36,373,294
Shares outstanding:
Beginning of period		—
End of period		36,373,294

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Notes to Financial Statements May 31, 2017

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO	PERIOD ENDED May 31, 2017(2)
Shares sold		13,283,032
Shares issued to holders in reinvestment of dividends		—
Shares redeemed		(610,084	)
Net increase in shares		12,672,948
Shares outstanding:
Beginning of period		—
End of period		12,672,948

(1) The Portfolio commenced operations on April 3, 2017.

(2) The Portfolio commenced operations on May 1, 2017.

10. Subsequent Events Evaluation

In preparing these financial statements, the Elements Portfolios have evaluated events and transactions for potential recognition or disclosure resulting from subsequent events through the date the financial statements were available to be issued. Other than the event disclosed below, this evaluation did not result in any subsequent events that necessitated disclosures and/or adjustments.

The Elements Emerging Markets Portfolio commenced operations on June 1, 2017. The Elements Emerging Markets’ Portfolio investment objective is to seek long-term capital appreciation and seeks to achieve its objective by investing in a broad and diverse group of securities associated with countries with emerging or frontier markets.

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Report of Independent Registered Public Accounting Firm

The Board of Trustees and Shareholders of Stone Ridge Trust

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of the Elements U.S Portfolio, Elements U.S Small Cap Portfolio, Elements International Portfolio and Elements International Small Cap Portfolio (four of the portfolios constituting Stone Ridge Trust) (collectively the Funds), as of May 31, 2017, and the related statements of operations, statements of changes in net assets, and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of May 31, 2017, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the respective Funds constituting Stone Ridge Trust at May 31, 2017, the results of their operations, changes in their net assets, and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.

Philadelphia, PA

July 26, 2017

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Expense Examples (Unaudited)

As a shareholder of the Elements Portfolios (each a “Portfolio”, together the “Portfolios”), you incur ongoing costs, including investment advisory fees, distribution and/or shareholder servicing fees, and other Portfolio expenses, which are indirectly paid by shareholders. This example is intended to help you understand your ongoing costs (in U.S. dollars) of investing in a Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from April 3, 2017 through May 31, 2017 for the Elements U.S. Portfolio and the Elements U.S. Small Cap Portfolio and from May 1, 2017 through May 31, 2017 for the Elements International Portfolio and the Elements International Small Cap Portfolio.

Actual Expenses

The first line on each table below provides information about actual account values and actual expenses. However, the table does not include shareholder specific fees, such as the $15.00 fee charged for wire redemptions by the Portfolios’ transfer agent. The table also does not include portfolio trading commissions and related trading costs. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.

Hypothetical Example For Comparison Purposes

The second line on each table below provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio for each Portfolio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolios and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other fund. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relevant total cost of owning different funds.

Elements U.S. Portfolio

	BEGINNING ACCOUNT VALUE APRIL 3, 2017		ENDING ACCOUNT VALUE MAY 31, 2017		EXPENSES PAID DURING PERIOD* APRIL 3, 2017 – MAY 31, 2017
Actual	$	1,000.00	$	1,012.00	$	0.00
Hypothetical (5% annual return before expenses)	$	1,000.00	$	1,008.08	$	0.00

* Expenses are equal to the share class’s annualized since inception expense ratio of 0.00%, multiplied by the average account value over the period, multiplied by 59/365 to reflect the partial year period. Expenses are zero because all fees and expenses were voluntarily waived or reimbursed by the Adviser, and the Adviser is free to discontinue such waivers or reimbursements at any time.

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Expense Examples (Unaudited)

Elements U.S. Small Cap Portfolio

	BEGINNING ACCOUNT VALUE APRIL 3, 2017		ENDING ACCOUNT VALUE MAY 31, 2017		EXPENSES PAID DURING PERIOD* APRIL 3, 2017 – MAY 31, 2017
Actual	$	1,000.00	$	981.00	$	0.00
Hypothetical (5% annual return before expenses)	$	1,000.00	$	1,008.08	$	0.00

* Expenses are equal to the share class’s annualized since inception expense ratio of 0.00%, multiplied by the average account value over the period, multiplied by 59/365 to reflect the partial year period. Expenses are zero because all fees and expenses were voluntarily waived or reimbursed by the Adviser, and the Adviser is free to discontinue such waivers or reimbursements at any time.

Elements International Portfolio

	BEGINNING ACCOUNT VALUE MAY 1, 2017		ENDING ACCOUNT VALUE MAY 31, 2017		EXPENSES PAID DURING PERIOD* MAY 1, 2017 – MAY 31, 2017
Actual	$	1,000.00	$	1,029.00	$	0.00
Hypothetical (5% annual return before expenses)	$	1,000.00	$	1,004.25	$	0.00

* Expenses are equal to the share class’s annualized since inception expense ratio of 0.00%, multiplied by the average account value over the period, multiplied by 31/365 to reflect the partial year period. Expenses are zero because all fees and expenses were voluntarily waived or reimbursed by the Adviser, and the Adviser is free to discontinue such waivers or reimbursements at any time.

Elements International Small Cap Portfolio

	BEGINNING ACCOUNT VALUE MAY 1, 2017		ENDING ACCOUNT VALUE MAY 31, 2017		EXPENSES PAID DURING PERIOD* MAY 1, 2017 – MAY 31, 2017
Actual	$	1,000.00	$	1,036.00	$	0.00
Hypothetical (5% annual return before expenses)	$	1,000.00	$	1,004.25	$	0.00

* Expenses are equal to the share class’s annualized since inception expense ratio of 0.00%, multiplied by the average account value over the period, multiplied by 31/365 to reflect the partial year period. Expenses are zero because all fees and expenses were voluntarily waived or reimbursed by the Adviser, and the Adviser is free to discontinue such waivers or reimbursements at any time.

Elements Portfolios Annual Report May 31, 2017

74

Additional Information (Unaudited)

1. Board Approval of Management Agreement

The 1940 Act requires that the Board of Trustees (the “Board”) of the Trust, including a majority of the trustees who are not “interested persons” of the Trust (the “Independent Trustees”) as defined in the 1940 Act, approve any new investment management agreement for a registered investment company, such as the investment management agreement (the “Initial Agreement”) between the Adviser and the Trust, on behalf of the Portfolios, each a series of the Trust. At an in-person meeting held January 24, 2017, the Board, including all of the Independent Trustees, considered and approved the Initial Agreement for a two-year period. In its consideration of the Initial Agreement, the Board considered information and materials furnished by the Adviser in advance of and at the meeting and was afforded the opportunity to request additional information and to ask questions of the Adviser to obtain information that it believed to be reasonably necessary to evaluate the terms of the Initial Agreement. In determining whether to approve the Initial Agreement, the Board, including the Independent Trustees, did not identify any single factor as determinative; individual trustees may have evaluated the information presented differently from one another, giving different weights to various factors.

In considering the nature, extent and quality of the services to be provided by the Adviser, the Board considered the investment management services to be provided by the Adviser, including management of each Portfolio in accordance with its investment objective, investment policies, investment restrictions and applicable law; investment selection and monitoring; selection of trading counterparties and order management; the creation and implementation of ongoing analytical and risk management strategies; the Adviser’s investment in infrastructure, technology and personnel needed to implement each Portfolio’s investment program; and the oversight and/or implementation of policies and procedures necessary to fulfill these responsibilities. The Board considered other services to be provided by the Adviser, including proxy voting, monitoring potential conflicts of interest and maintaining regulatory compliance programs for the Portfolios. In addition, the Board considered the qualifications and professional backgrounds of the Adviser’s personnel who would provide significant advisory or other services to each Portfolio under the Initial Agreement and analyzed the Adviser’s ongoing ability to service the Portfolios through such personnel. Based on this and the related information, the Board, including the Independent Trustees, concluded that the nature, extent and quality of services supported approval of the Initial Agreement.

The Board noted that the Portfolios had not yet commenced operations and that, therefore, there was no performance to consider at that time.

In considering the cost of services to be provided and the potential benefits to be realized by the Adviser from its relationship with each Portfolio, the Board considered the fees to be paid under the Initial Agreement and the projected expense ratio for each Portfolio, and considered the Adviser’s anticipated voluntary expense waivers/reimbursements. In considering the appropriateness of the advisory fees and expense ratios applicable to the Portfolios, the Board also compared this data against corresponding information for certain funds included in the Morningstar categories to which the Portfolios’ administrator believed the Portfolios would be assigned. The Board noted that the Investment Manager had requested that each Portfolio’s benchmark, asset size and share class be used as screening factors in identifying each Portfolio’s peer group. The Board took into consideration information provided by the Adviser relating to the Adviser’s financial health, profitability and the benefits that the Adviser would derive from the Initial Agreement. The Board also noted that the Adviser may receive reputational and other fallout benefits from its relationships with the Portfolios. Based on the foregoing information and other factors deemed relevant, the Board, including the Independent Trustees, concluded that the advisory fee arrangements applicable to each of the Portfolios were fair and reasonable and that the costs of the services to be provided by the Adviser and the related benefits to the Adviser in respect of its relationships with the Portfolios supported approval of the Initial Agreement.

After reviewing this and related information, the Board considered the extent to which economies of scale in the provision of services by the Adviser might be realized as the Portfolios grew. The Board, including the Independent Trustees, concluded that it would consider ways and the extent to which economies of scale might be shared between the Adviser and shareholders of the Portfolios after the Portfolios had been in operation for a period of time.

Based on a consideration and evaluation of all factors deemed to be relevant, including the foregoing matters, the Board, including the Independent Trustees, concluded that the Initial Agreement should be approved for a two-year period.

Elements Portfolios Annual Report May 31, 2017

75

Additional Information (Unaudited)

2. Disclosure Regarding Trustees and Officers

Independent Trustees(1)
NAME (YEAR OF BIRTH AND  ADDRESS)(2)	POSITION(S) HELD WITH THE TRUST	TERM OF OFFICE AND LENGTH OF TIME  SERVED(3)	PRINCIPAL OCCUPATION(S) DURING THE PAST 5 YEARS	NUMBER OF PORTFOLIOS IN THE FUND COMPLEX OVERSEEN BY TRUSTEE(4)	OTHER DIRECTORSHIPS / TRUSTEESHIPS HELD BY TRUSTEE DURING THE PAST 5 YEARS
Jeffery Ekberg (1965)	Trustee	since 2012	Principal, TPG Capital, L.P (private equity firm), until 2011; Chief Financial Officer, Newbridge Capital, LLC (private equity firm) until 2011	17	None.
Daniel Charney (1970)	Trustee	since 2012	Head of Equities, Cowen Group (financial services firm), since 2012; Jefferies & Co. (investment bank) until 2011	17	None.
Interested Trustee
NAME (YEAR OF BIRTH AND  ADDRESS)(2)	POSITION(S) HELD WITH THE TRUST	TERM OF OFFICE AND LENGTH OF TIME  SERVED(3)	PRINCIPAL OCCUPATION(S) DURING THE PAST 5 YEARS	NUMBER OF PORTFOLIOS IN THE FUND COMPLEX OVERSEEN BY TRUSTEE(4)	OTHER DIRECTORSHIPS / TRUSTEESHIPS HELD BY TRUSTEE DURING THE PAST 5 YEARS
Ross Stevens(5) (1969)	Trustee, Chairman	since 2012	Founder, Chief Executive Officer and President of Stone Ridge since 2012; Investment Committee and Co-Head of Portfolio Managers Committee; Magnetar Capital (investment advisory firm) until 2012	17	None.

(1) Trustees who are not deemed to be “interested persons” of the Trust as defined in the 1940 Act.

(2) Each Trustee’s mailing address is c/o Stone Ridge Asset Management LLC, 510 Madison Avenue, 21^st Floor, New York, NY 10022.

(3) Each Trustee serves until resignation or removal from the Board.

(4) Fund complex includes Stone Ridge Trust II, Stone Ridge Trust III, Stone Ridge Trust IV and Stone Ridge Trust V, other investment companies managed by the Adviser.

(5) Mr. Stevens is an “interested person” of the Trust, as defined in Section 2(a)(19) of the 1940 Act, due to his position with the Adviser.

The Statement of Additional Information includes additional information about each Portfolio’s Trustees and is available free of charge upon request by call the Elements Portfolios toll free at 1.855.609.3680

Elements Portfolios Annual Report May 31, 2017

76

Additional Information (Unaudited)

Officers of the Trust
NAME (YEAR OF BIRTH) AND ADDRESS(1)	POSITION(S) HELD WITH THE TRUST	TERM OF OFFICE AND LENGTH OF TIME SERVED(2)	PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
Ross Stevens (1969)	President, Chief Executive Officer and Principal Executive Officer	since 2012	Founder of Stone Ridge Asset Management LLC, Chief Executive Officer and President of the Adviser, since 2012; prior to that Magnetar Capital (investment advisory firm) (Investment Committee and Co-Head of Portfolio Managers Committee).
Lauren D. Macioce (1978)	Chief Compliance Officer, Secretary and Chief Legal Officer	since 2016	General Counsel and Chief Compliance Officer of the Adviser, since 2016; prior to that Associate at Ropes & Gray LLP (law firm).
Patrick Kelly (1978)	Treasurer, Principal Financial Officer, Chief Financial Officer and Chief Accounting Officer	since 2012	Chief Operating Officer of the Adviser, since 2012; prior to that Chief Operating Officer of Quantitative Strategies at Magnetar Capital (investment advisory firm).
Robert Gutmann (1982)	Vice President	since 2012	Head of Product Development & Execution of the Adviser, since 2012; prior to that Head of Delta-One Synthetic Solutions Group at RBC Capital Markets.
Yan Zhao (1985)	Assistant Secretary	since 2012	Head of Reinsurance of the Adviser, since 2012; prior to that Consultant at Boston Consulting Group (consulting firm).
Richard Taylor (1980)	Assistant Treasurer	since 2015	Head of Operations of the Adviser, since 2013; prior to that Budget Analyst at Integrated Rehabilitation and Recovery Care Service (construction firm) and Head of Operations at Ruby Capital Partners LLP (investment advisory firm).

(1) Each Officer’s mailing address is c/o Stone Ridge Asset Management LLC, 510 Madison Avenue, 21st Floor, New York, NY 10022.

(2) The term of office of each officer is indefinite.

3. Shareholder Notification of Federal Tax Status

Pursuant to Section 853 of the Internal Revenue Code, the following Portfolios elect to pass-through to shareholders the credit for taxes paid to eligible foreign countries, which may be less than the actual amount paid for financial statement purposes:

					PER SHARE
FUND	GROSS FOREIGN SOURCE INCOME		FOREIGN TAXES PASSTHROUGH		GROSS FOREIGN SOURCE INCOME		FOREIGN TAXES PASSTHROUGH		SHARES OUTSTANDING AT 5/31/2017
Elements International Portfolio		78,576		8,412		0.0021602663		0.000231269		36,373,294
Elements International Small Cap Portfolio		47,509		6,953		0.0037488515		0.000548649		12,672,948

Elements Portfolios Annual Report May 31, 2017

77

Additional Information (Unaudited)

4. Availability of Quarterly Portfolio Holdings Schedules

The Elements Portfolios are required to file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Elements Portfolios’ Form N-Q is available without charge on the SEC’s website www.sec.gov and may be available by calling 1.855.609.3680. You may also obtain copies at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1.800.SEC.0330.

5. Proxy Voting Policies and Procedures and Proxy Voting Record

A description of the policies and procedures that the Elements Portfolios use to determine how to vote proxies relating to portfolio securities is available without charge by calling 1.855.609.3680 and on the SEC’s website www.sec.gov. The Elements Portfolios are required to file how they voted proxies related to portfolio securities during the most recent 12-month period ended June 30. The information is available without charge, upon request by calling 1.855.609.3680 and on the SEC’s website, www.sec.gov.

Elements Portfolios Annual Report May 31, 2017

78

Investment Adviser

Stone Ridge Asset Management LLC

510 Madison Avenue, 21st Floor

New York, NY 10022

Independent Registered Public Accounting Firm

Ernst & Young LLP

5 Times Square

New York, NY 10036

Legal Counsel

Ropes & Gray LLP

Prudential Tower

800 Boylston Street

Boston, MA 02199

Custodian

U.S. Bank, N.A.

1555 North RiverCenter Drive, Suite 302

Milwaukee, WI 53212

Distributor

Quasar Distributors, LLC

615 East Michigan Street

Milwaukee, WI 53202

Administrator, Transfer Agent and Dividend Disbursing Agent

U.S. Bancorp Fund Services, LLC

615 East Michigan Street

Milwaukee, WI 53202

Elements Portfolios P.O. Box 701 Milwaukee, WI 53201-0701   855-609-3680 www.elementsfunds.com XXANNU

Item 2. Code of Ethics.

The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. The registrant has not made any substantive amendments to its code of ethics during the period covered by this report. The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report.

A copy of the registrant’s Code of Ethics is filed herewith.

Item 3. Audit Committee Financial Expert.

The registrant’s board of trustees has determined that there is at least one audit committee financial expert serving on its audit committee. Jeffery Ekberg is the “audit committee financial expert” and is considered to be “independent” as each term is defined in Item 3 of Form N-CSR.

Item 4. Principal Accountant Fees and Services.

The registrant has engaged its principal accountant to perform audit services, audit-related services, tax services and other services during the past two fiscal years. “Audit services” refer to performing an audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. “Audit-related services” refer to the assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s annual financial statements and are not included as “audit services”. “Tax services” refer to professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning including review of the Portfolios’ tax returns, asset diversification and income testing, excise taxes, and fiscal year end income calculations. “All other fees” refer to the aggregate fees for products and services provided by the principal accountant, other than the services reported in the foregoing three categories. The following table details the aggregate fees billed or expected to be billed for each of the last two fiscal years for audit fees, audit-related fees, tax fees and other fees by the principal accountant.

	FYE 5/31/2017		FYE 5/31/2016
Audit Fees	$	100,000		N/A
Audit-Related Fees		—		N/A
Tax Fees		27,000		N/A
All Other Fees		—		N/A

To the extent required by applicable law, pre-approval by the audit committee is needed for all audit and permissible non-audit services rendered to the registrant and all permissible non-audit services rendered to Stone Ridge Asset Management LLC (the “Adviser”) or to various entities either controlling, controlled by, or under common control with the Adviser that provide ongoing services to the registrant if the services relate directly to the operations and financial reporting of the registrant. Pre-approval is currently on an engagement-by-engagement basis.

The percentage of fees billed by Ernst & Young, LLP applicable to non-audit services that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X (which permits waiver of pre-approval, if certain conditions are satisfied) were as follows:

	FYE 5/31/2017			FYE 5/31/2016
Audit-Related Fees		0	%		N/A
Tax Fees		0	%		N/A
All Other Fees		0	%		N/A

All of the principal accountant’s hours spent on auditing the registrant’s financial statements were attributed to work performed by full-time permanent employees of the principal accountant.

The following table indicates the non-audit fees billed or expected to be billed by the registrant’s accountant for services to the registrant and to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the registrant’s investment adviser that provides ongoing services to the registrant for the last two fiscal years of the registrant. The audit committee of the board of trustees has considered whether the provision of any non-audit services that were rendered to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the registrant’s 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.

Non-Audit Related Fees	FYE 5/31/2017		FYE 5/31/2016
Registrant	$	27,000		N/A
Registrant’s Investment Adviser	$	503,546		N/A

Item 5. Audit Committee of Listed Registrants.

Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).

Item 6. Investments.

(a) Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.

(b) Not Applicable

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to open-end investment companies.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to open-end investment companies.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to open-end investment companies.

Item 10. Submission of Matters to a Vote of Security Holders.

Not Applicable.

Item 11. Controls and Procedures.

(a) The Registrant’s Principal Executive Officer and Principal Financial Officer have reviewed the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a) (1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Filed herewith.

(2) A separate certification for each principal executive officer and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.

(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable.

(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith.

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.

(Registrant) Stone Ridge Trust
By (Signature and Title)*	/s/ Ross Stevens
	Ross Stevens, President, Chief Executive Officer and Principal Executive Officer

Date 8/9/17

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 (Signature and Title)*	/s/ Ross Stevens
	Ross Stevens, President, Chief Executive Officer and Principal Executive Officer

Date 8/9/17

By (Signature and Title)*	/s/ Patrick Kelly
	Patrick Kelly, Treasurer, Principal Financial Officer, Chief Financial Officer and Chief Accounting Officer

Date 8/9/17

* Print the name and title of each signing officer under his or her signature.