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

As filed with the Securities and Exchange Commission on 8/6/2020

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

811-22761

Investment Company Act file number

Stone Ridge Trust

(Exact name of registrant as specified in charter)

510 Madison Avenue, 21^st Floor

New York, New York 10022

(Address of principal executive offices) (Zip code)

Stone Ridge Asset Management LLC

510 Madison Avenue, 21^st Floor

New York, New York 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, 2020

Date of reporting period: May 31, 2020

Item 1. Reports to Stockholders.

Annual Report

May 31, 2020

Elements U.S. Portfolio

Elements U.S. Small Cap Portfolio

Elements International Portfolio

Elements International Small Cap Portfolio

Elements Emerging Markets Portfolio

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Portfolios’ shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from your financial intermediary or, if you invest directly through the Portfolios’ transfer agent, U.S. Bancorp Fund Services, LLC (the “Transfer Agent”), from the Transfer Agent. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications electronically by contacting your financial intermediary.

You may elect to receive all future reports in paper free of charge by contacting your financial intermediary or, if you invest directly through the Transfer Agent, by contacting the Transfer Agent at (855) 609-3680. Your election to receive reports in paper will apply to all funds held in your account if you invest through a financial intermediary or all funds within the fund complex if you invest directly through the Transfer Agent.

Table of Contents

Management’s Discussion of Fund Performance	1
Portfolio Holdings Presentation (Unaudited)	10
Schedules of Investments
Elements U.S. Portfolio	12
Elements U.S. Small Cap Portfolio	18
Elements International Portfolio	26
Elements International Small Cap Portfolio	37
Elements Emerging Markets Portfolio	53
Financial Statements and Notes	61
Report of Independent Registered Public Accounting Firm	90
Expense Examples (Unaudited)	92
Additional Information (Unaudited)	95

Management’s Discussion of Fund Performance

US Equity Market Review

For the 12 months ended May 31, 2020, the large cap U.S. stock market, as measured by the Russell 1000,ⁱ returned 12.53%, and the small cap U.S. stock market, as measured by the Russell 2000,ⁱⁱ returned -3.47%. During this period, large cap stocks outperformed small cap stocks, and growth securities stocks outperformed value stocks in the U.S. market.

Name	Total Return in USD
Russell 1000	12.54%
Russell 1000 Valueiii	-1.66%
Russell 1000 Growthiv	26.25%
Russell 2000	-3.44%
Russell 2000 Valuev	-14.72%
Russell 2000 Growthvi	7.30%

Elements U.S. Portfolio

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.^vii

For the 12 months ended May 31, 2020, total returns were 11.01% for the Portfolio and 12.54% for the Russell 1000 Index. The performance of the Portfolio was primarily driven by the broad trend of the market for U.S. companies as illustrated by the Russell 1000 Index. The Portfolio’s lower return relative to the Russell 1000 Index was primarily driven by the underperformance of the value and size factors and was partially offset by the outperformance of the quality factor. 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.

Elements U.S. Small Cap Portfolio

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 small capitalization 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.^vii

For the 12 months ended May 31, 2020, total returns were -3.88% for the Portfolio and -3.44% for the Russell 2000 Index. The performance of the Portfolio was primarily driven by the broad trend of the market for small capitalization U.S. companies as illustrated by the Russell 2000 Index. The Portfolio’s lower return relative to the Russell 2000 Index was primarily driven by the underperformance of the value factor. 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.

International Developed Market Review

For the 12 months ended May 31, 2020, large cap developed markets, as measured by the MSCI World ex US Index, returned -2.58%, and small cap developed markets, as measured by the MSCI World ex US Small Cap Index returned -0.19%. During this period, small cap stocks outperformed large cap stocks and growth stocks outperformed value stocks in the international developed markets.

Name	Total Return in USD
MSCI World ex USAviii	-2.58%
MSCI World ex USA Valueix	-12.89%
MSCI World ex USA Growthx	7.71%
MSCI World ex USA Small Capxi	-0.19%
MSCI World ex USA Small Cap Valuexii	-8.12%
MSCI World ex USA Small Cap Growthxiii	7.39%

Past performance does not guarantee future results. Indices are not investable and do not reflect any fees or transaction costs.

Elements Portfolios Annual Report May 31, 2020

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Management’s Discussion of Fund Performance

Elements International Portfolio

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.^vii

For the 12 months ended May 31, 2020, total returns were -1.98% for the Portfolio and -2.58% for the MSCI World ex USA Index (net of dividends). The performance of the Portfolio was primarily driven by the broad trend of the market for developed markets companies and related currency moves, as illustrated by the MSCI World ex USA Index. The Portfolio’s higher return relative to the MSCI World ex USA Index was primarily driven by the outperformance of the quality factor. 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.

Elements International Small Cap Portfolio

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.^vii

For the 12 months ended May 31, 2020, total returns were -3.33% for the Portfolio and -0.19% for the MSCI World ex USA Small Cap Index (net of dividends). The performance of the Portfolio was primarily driven by the broad trend of the market for small capitalization developed markets companies and related currency moves as illustrated by the MSCI World ex USA Small Cap Index. The Portfolio’s lower return relative to the MSCI World ex USA Small Cap Index was primarily driven by the underperformance of the value and size factors and was partially offset by the outperformance of the quality factor. 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.

Emerging Market Review

For the 12 months ended May 31, 2020, the performance of the emerging markets, as measured by MSCI Emerging Markets Index,^xiv returned -4.05%. During this period, growth stocks strongly outperformed value stocks in the emerging markets.

Name	Total Return in USD
MSCI Emerging Markets	-4.05%
MSCI Emerging Markets Valuexv	-15.38%
MSCI Emerging Markets Growthxvi	7.68%

Elements Emerging Markets Portfolio

The Elements Emerging Markets Portfolio seeks to capture the equity risk premium by investing in a broad and diverse group of securities or derivatives associated with countries with emerging 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.^vii

For the 12 months ended May 31, 2020, total returns were -5.11% for the Portfolio and -4.05% for the MSCI Emerging Markets Index (net of dividends). The performance of the Portfolio was primarily driven by the broad trend of the market for emerging markets companies and related currency moves, as illustrated by the MSCI Emerging Markets Index. The Portfolio’s lower return relative to the MSCI Emerging Markets Index was primarily driven by the underperformance of the value and size factors. 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.

Past performance does not guarantee future results. Indices are not investable and do not reflect any fees or transaction costs.

Elements Portfolios Annual Report May 31, 2020

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Management’s Discussion of Fund Performance

Investors should carefully consider the risks and investment objectives of the Elements U.S. Portfolio, Elements U.S. Small Cap Portfolio, Elements International Portfolio, Elements International Small Cap Portfolio, and Elements Emerging Markets 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 the Portfolios will achieve their investment objectives. An investment in the Portfolios involves a high degree of risk. It is possible that 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.

Investing in portfolios involves risks. Principal loss is possible.

Economic, political, and issuer-specific events will cause the value of securities, and the Portfolio that owns 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, and smaller companies are generally more vulnerable to adverse business or economic developments and may have more limited resources. 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. 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, such Portfolio will be directly exposed to the risks of that derivative, including the risk that the counterparty is unable or unwilling to perform its obligations. Derivatives are subject to a number of additional risks, including risks associated with liquidity, interest rates, market movements and valuation. 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. Please see the prospectus for a complete list of risks.

Each Portfolio is classified as non-diversified under the Investment Company Act of 1940. Each Portfolio is an open-end management investment company.

The Portfolios’ investment objectives, risks, charges and expenses must be considered carefully before investing. The prospectus contains this and other important information about the Portfolios. You can obtain a copy of the Portfolios’ prospectus by calling 855-609-3680 or visiting www.elementsfunds.com. The prospectus should be read carefully before investing.

The Elements Portfolios are distributed by ALPS Distributors, Inc. SRG001493(1)

ⁱ  The Russell 1000 Index comprises the largest 1000 companies in the Russell 3000 Index.

ⁱⁱ  The Russell 2000 Index comprises the smallest 2000 companies in the Russell 3000 Index.

ⁱⁱⁱ  The Russell 1000 Value Index comprises the companies in the Russell 1000 Index which exhibit value characteristics. Value is defined as lower price-to-book and lower expected earnings growth rates.

^iv  The Russell 1000 Growth Index comprises the companies in the Russell 1000 Index which exhibit growth characteristics. Growth is defined as higher price-to-book and higher expected earnings growth rates.

^v  The Russell 2000 Value Index comprises the companies in the Russell 2000 Index which exhibit value characteristics. Value is defined as lower price-to-book and lower expected earnings growth rates.

^vi  The Russell 2000 Growth Index comprises the companies in the Russell 2000 Index which exhibit growth characteristics. Growth is defined as higher price-to-book and higher expected earnings growth rates.

^vii  The “equity risk premium” is positive if investment returns for equity securities exceed the risk-free rate, on average and over time. The “risk-free rate” is the rate of return that can be earned on high quality, short-term government debt securities.

^viii  The MSCI World ex USA Index captures large and mid cap representation across 22 of 23 Developed Markets countries – excluding the United States.

^ix  The MSCI World ex USA Value Index captures large and mid cap representation exhibiting value style characteristics across 22 of 23 Developed Markets countries – excluding the United States. Value characteristics are defined using three variables: book value to price, 12-month forward earnings to price and dividend yield.

Past performance does not guarantee future results. Indices are not investable and do not reflect any fees or transaction costs.

Elements Portfolios Annual Report May 31, 2020

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Management’s Discussion of Fund Performance

^x  The MSCI World ex USA Growth Index captures large and mid cap representation exhibiting growth style characteristics across 22 of 23 Developed Markets countries – excluding the United States. Growth characteristics area defined using five variables: long-term forward EPS growth rate, short-term forward EPS growth rate, current internal growth rate, long term historical EPS growth trend and long term historical sales per share growth trend.

^xi  The MSCI World ex USA Small Cap Index captures small cap representation across 22 of 23 Developed Markets countries – excluding the United States.

^xii  The MSCI World ex USA Small Cap Value Index captures small cap representation exhibiting value style characteristics across 22 of 23 Developed Markets countries – excluding the United States. Value characteristics are defined using three variables: book value to price, 12-month forward earnings to price and dividend yield.

^xiii  The MSCI World ex USA Small Cap Growth Index captures small cap representation exhibiting growth style characteristics representation across 22 of 23 Developed Markets countries – excluding the United States. Growth characteristics area defined using five variables: long-term forward EPS growth rate, short-term forward EPS growth rate, current internal growth rate, long term historical EPS growth trend and long term historical sales per share growth trend.

^xiv  The MSCI Emerging Markets Index captures large and mid cap representation across 26 Emerging Markets countries.

^xv  The MSCI Emerging Markets Value Index captures large and mid cap representation exhibiting value style characteristics across 26 Emerging Markets countries. Value characteristics are defined using three variables: book value to price, 12-month forward earnings to price and dividend yield.

^xvi  The MSCI Emerging Markets Growth Index captures large and mid cap representation exhibiting growth style characteristics across 26 Emerging Markets countries. Growth characteristics area defined using five variables: long-term forward EPS growth rate, short-term forward EPS growth rate, current internal growth rate, long term historical EPS growth trend and long term historical sales per share growth trend.

Past performance does not guarantee future results. Indices are not investable and do not reflect any fees or transaction costs.

Elements Portfolios Annual Report May 31, 2020

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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 waivers of all of the Portfolio’s investment management fee and partial reimbursement of the Portfolio’s expenses by Stone Ridge Asset Management LLC (“Stone Ridge”). Stone Ridge has contractually agreed to waive its management fee entirely through September 30, 2022 and to pay or otherwise bear expenses as necessary to limit total annualized expenses, other than certain excluded expenses, of the applicable share class of the Portfolio, for the period from October 1, 2019 through September 30, 2020 to 0.15% for Class M shares and 0.05% for Class Y shares, in each case of the average daily net assets attributable to such class. Fee waivers and expense reimbursement may be discontinued after that date. 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, 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.

AVERAGE ANNUAL TOTAL RETURNS (FOR PERIODS ENDED MAY 31, 2020)
	1-year period ended 5/31/20		Since Commencement of Operations (4/3/17)
Elements U.S. Portfolio		11.01%		8.70%
Russell 1000 Index		12.54%		10.34%

Elements Portfolios Annual Report May 31, 2020

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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 waivers of all of the Portfolio’s investment management fee and partial reimbursement of the Portfolio’s expenses by Stone Ridge. Stone Ridge has contractually agreed to waive its management fee entirely through September 30, 2022 and to pay or otherwise bear expenses as necessary to limit total annualized expenses, other than certain excluded expenses, of the applicable share class of the Portfolio, for the period from October 1, 2019 through September 30, 2020, to 0.15% for Class M shares and 0.05% for Class Y shares, in each case of the average daily net assets attributable to such class. Fee waivers and expense reimbursement may be discontinued after that date. 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, 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.

AVERAGE ANNUAL TOTAL RETURNS (FOR PERIODS ENDED MAY 31, 2020)
	1-year period ended 5/31/20		Since Commencement of Operations (4/3/17)
Elements U.S. Small Cap Portfolio		-3.88%		-0.19%
Russell 2000 Index		-3.44%		1.57%

Elements Portfolios Annual Report May 31, 2020

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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 waivers of all of the Portfolio’s investment management fee and partial reimbursement of the Portfolio’s expenses by Stone Ridge. Stone Ridge has contractually agreed to waive its management fee entirely through September 30, 2022 and to pay or otherwise bear expenses as necessary to limit total annualized expenses, other than certain excluded expenses, of the applicable share class of the Portfolio, for the period from October 1, 2019 through September 30, 2020, to 0.20% for Class M shares and 0.10% for Class Y shares, in each case of the average daily net assets attributable to such class. Fee waivers and expense reimbursement may be discontinued after that date. 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, 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.

AVERAGE ANNUAL TOTAL RETURNS (FOR PERIODS ENDED MAY 31, 2020)
	1-year period ended 5/31/20		Since Commencement of Operations (5/1/17)
Elements International Portfolio		-1.98%		-0.22%
MSCI World ex USA Index		-2.58%		0.82%

Elements Portfolios Annual Report May 31, 2020

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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 waivers of all of the Portfolio’s investment management fee and partial reimbursement of the Portfolio’s expenses by Stone Ridge. Stone Ridge has contractually agreed to waive its management fee entirely through September 30, 2022 and to pay or otherwise bear expenses as necessary to limit total annualized expenses, other than certain excluded expenses, of the applicable share class of the Portfolio, for the period from October 1, 2019 through September 30, 2020, to 0.20% for Class M shares and 0.10% for Class Y shares, in each case of the average daily net assets attributable to such class. Fee waivers and expense reimbursement may be discontinued after that date. 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, 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.

AVERAGE ANNUAL TOTAL RETURNS (FOR PERIODS ENDED MAY 31, 2020)
	1-year period ended 5/31/20		Since Commencement of Operations (5/1/17)
Elements International Small Cap Portfolio		-3.33%		-1.19%
MSCI World ex USA Small Cap Index		-0.19%		1.10%

Elements Portfolios Annual Report May 31, 2020

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Elements Emerging Markets Portfolio

PERFORMANCE DATA (Unaudited)

This chart assumes an initial gross investment of $10,000 made on June 1, 2017 (commencement of operations). Returns shown reflect the reinvestment of all dividends, and are net of fees and expenses, and reflect waivers of all of the Portfolio’s investment management fee and partial reimbursement of the Portfolio’s expenses by Stone Ridge. Stone Ridge has contractually agreed to waive its management fee entirely through September 30, 2022 and to pay or otherwise bear expenses as necessary to limit total annualized expenses, other than certain excluded expenses, of the applicable share class of the Portfolio, for the period from October 1, 2019 through September 30, 2020, to 0.20% for Class M shares and 0.10% for Class Y shares, in each case of the average daily net assets attributable to such class. Fee waivers and expense reimbursement may be discontinued after that date. 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, 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 Emerging Markets Index is a free-float weighted equity index which captures large and mid-cap representation across Emerging Markets countries, as determined by MSCI. The Index covers approximately 85% of the free float-adjusted market capitalization in each country. 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, 2020)
	1-year period ended 5/31/20		Since Commencement of Operations (6/1/17)
Elements Emerging Markets Portfolio		-5.11%		-0.63%
MSCI Emerging Markets Index		-4.05%		-0.15%

Elements Portfolios Annual Report May 31, 2020

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ALLOCATION OF PORTFOLIO HOLDINGS AT MAY 31, 2020 (Unaudited)

ELEMENTS U.S. PORTFOLIO PORTFOLIO ALLOCATION BY SECTOR
Information Technology	$89,601,605	19.8%
Consumer Discretionary	80,073,850	17.7%
Consumer Staples	62,213,856	13.7%
Industrials	53,751,493	11.8%
Financials	51,384,081	11.3%
Health Care	40,783,620	9.0%
Communication Services	33,136,235	7.3%
Materials	20,662,827	4.6%
Energy	10,032,116	2.2%
Utilities	5,186,391	1.1%
Other(1)	6,942,628	1.5%
Total Net Assets	$453,768,702

ELEMENTS INTERNATIONAL PORTFOLIO PORTFOLIO ALLOCATION BY SECTOR
Industrials	$30,910,183	18.8%
Information Technology	24,185,511	14.7%
Consumer Discretionary	21,490,901	13.1%
Consumer Staples	16,637,574	10.1%
Communication Services	15,447,475	9.4%
Financials	14,452,307	8.8%
Health Care	11,403,325	7.0%
Real Estate	10,724,785	6.5%
Materials	8,096,968	4.9%
Energy	3,918,900	2.4%
Utilities	1,324,402	0.8%
Other(1)	5,830,212	3.5%
Total Net Assets	$164,422,543

ELEMENTS U.S. SMALL CAP PORTFOLIO PORTFOLIO ALLOCATION BY SECTOR
Industrials	$37,848,554	23.0%
Consumer Discretionary	26,284,198	16.1%
Information Technology	22,855,667	13.9%
Financials	18,445,139	11.2%
Health Care	16,661,549	10.1%
Consumer Staples	6,783,375	4.1%
Materials	5,134,646	3.1%
Energy	5,113,548	3.1%
Communication Services	4,073,792	2.5%
Utilities	917,277	0.6%
Real Estate	499,612	0.3%
Other(1)	19,697,573	12.0%
Total Net Assets	$164,314,930

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO PORTFOLIO ALLOCATION BY SECTOR
Industrials	$36,633,081	22.0%
Information Technology	28,012,454	16.8%
Consumer Discretionary	25,119,775	15.1%
Consumer Staples	18,175,090	10.9%
Communication Services	12,940,250	7.8%
Materials	9,932,365	6.0%
Health Care	8,732,016	5.2%
Financials	8,467,595	5.1%
Real Estate	6,383,329	3.7%
Energy	2,765,063	1.6%
Utilities	2,607,415	1.5%
Other(1)	7,041,227	4.3%
Total Net Assets	$166,809,660

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

Elements Portfolios Annual Report May 31, 2020

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ALLOCATION OF PORTFOLIO HOLDINGS AT MAY 31, 2020 (Unaudited)

ELEMENTS EMERGING MARKETS PORTFOLIO PORTFOLIO ALLOCATION BY SECTOR
Information Technology	$49,804,107	21.8%
Communication Services	29,760,082	13.1%
Consumer Staples	19,695,749	8.7%
Consumer Discretionary	19,256,959	8.4%
Industrials	18,970,584	8.3%
Financials	17,247,802	7.6%
Energy	16,207,255	7.1%
Real Estate	14,691,202	6.4%
Materials	13,045,470	5.7%
Health Care	11,483,762	5.0%
Utilities	2,051,772	0.9%
Other(1)	15,921,673	7.0%
Total Net Assets	$228,136,417

(1) 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.

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

Elements Portfolios Annual Report May 31, 2020

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Schedule of Investments as of May 31, 2020

ELEMENTS U.S. PORTFOLIO

		SHARES		FAIR VALUE
COMMON STOCKS - 98.5%	��
Automobiles & Components - 0.9%
Aptiv PLC (a)			700	$	52,745
BorgWarner, Inc.			6,399		205,728
Ford Motor Co.			285,653		1,631,079
Gentex Corp.			37,128		981,664
Goodyear Tire & Rubber Co.			65,138		495,700
Lear Corp.			7,363		780,846
					4,147,762
Banks - 2.3%
Associated Banc-Corp.			88,996		1,246,834
Bank of America Corp.			48,700		1,174,644
BankUnited, Inc.			12,100		223,608
Citizens Financial Group, Inc.			2,600		62,660
Commerce Bancshares, Inc.			1,462		93,173
East West Bancorp, Inc.			3,503		122,430
First Hawaiian, Inc.			27,574		475,652
First Horizon National Corp.			73,639		688,525
KeyCorp			8,452		100,156
M&T Bank Corp.			1,200		126,792
MGIC Investment Corp.			209,405		1,719,215
PacWest Bancorp			1,100		19,041
Popular, Inc. (a)			25,980		1,025,950
Regions Financial Corp.			87,314		987,521
Sterling Bancorp			44,901		552,282
Synovus Financial Corp.			291		5,584
Texas Capital Bancshares, Inc. (b)			10,677		285,717
Umpqua Holdings Corp.			97,515		1,110,696
Wells Fargo & Co.			9,947		263,297
Western Alliance Bancorp			4,583		174,842
					10,458,619
Capital Goods - 8.3%
3M Co.			1,630		254,997
Acuity Brands, Inc.			2,380		205,037
AECOM (b)			27,176		1,053,614
AGCO Corp.			21,989		1,214,452
Allegion PLC (a)			1,447		144,266
Allison Transmission Holdings, Inc.			21,629		815,846
AMETEK, Inc.			10,042		920,952
AO Smith Corp.			18,819		893,903
Armstrong World Industries, Inc.			3,189		240,419
Carlisle Cos., Inc.			900		107,874
Caterpillar, Inc.			578		69,435
Crane Co.			23,514		1,310,200
Cummins, Inc.			4,117		698,243
Curtiss-Wright Corp.			4,032		404,410
Donaldson Co., Inc.			24,440		1,159,678
Dover Corp.			6,650		646,712
Eaton Corp. PLC (a)			3,323		282,123
Emerson Electric Co.			2,500		152,550
Flowserve Corp.			5,900		153,990
Fluor Corp.			4,500		52,245
Fortive Corp.			745		45,430
Fortune Brands Home & Security, Inc.			9,837		599,664
Gates Industrial Corp. PLC (a)(b)			58,171		584,619
General Dynamics Corp.			800		117,464
Graco, Inc.			12,026		579,773

	SHARES		FAIR VALUE
Capital Goods - 8.3% (continued)
GrafTech International Ltd. (c)		185,633	$	1,269,730
HD Supply Holdings, Inc. (b)		22,789		722,639
HEICO Corp. - Class A		23,474		1,970,642
HEICO Corp.		3,515		354,171
Hexcel Corp.		17,418		630,357
Howmet Aerospace, Inc.		4,200		54,936
Hubbell, Inc.		3,557		435,448
Huntington Ingalls Industries, Inc.		604		120,734
IDEX Corp.		4,869		775,973
ITT, Inc.		15,756		909,121
Jacobs Engineering Group, Inc.		7,514		631,326
Johnson Controls International PLC (a)		7,670		240,915
Lincoln Electric Holdings, Inc.		4,773		392,197
Masco Corp.		2,666		124,369
Middleby Corp. (b)		2,600		177,060
MSC Industrial Direct Co., Inc.		21,915		1,519,586
Northrop Grumman Corp.		300		100,560
nVent Electric PLC (a)		69,453		1,273,073
Oshkosh Corp.		9,983		716,979
Owens Corning		7,655		401,888
Pentair PLC (a)		18,514		724,638
Raytheon Technologies Corp.		22,485		1,450,732
Regal Beloit Corp.		7,025		558,769
Resideo Technologies, Inc. (b)		39,764		280,734
Sensata Technologies Holding PLC (a)(b)		8,939		318,675
Snap-on, Inc.		370		47,985
Spirit AeroSystems Holdings, Inc.		7,684		166,512
Teledyne Technologies, Inc. (b)		210		78,565
Textron, Inc.		40,610		1,257,692
Timken Co.		8,700		370,098
Toro Co.		6,868		488,109
Trane Technologies PLC (a)		4,300		387,903
Univar Solutions, Inc. (b)		7,473		115,533
Valmont Industries, Inc.		9,066		1,033,524
Watsco, Inc.		406		72,231
WESCO International, Inc. (b)		75,658		2,519,411
Westinghouse Air Brake Technologies Corp.		292		17,832
Woodward, Inc.		3,040		208,483
WW Grainger, Inc.		3,658		1,132,590
Xylem, Inc.		10,252		680,118
				37,439,734
Commercial & Professional Services - 1.9%
Cintas Corp.		5,039		1,249,470
Clean Harbors, Inc. (b)		7,349		436,457
Copart, Inc. (b)		8,763		783,325
IHS Markit Ltd. (a)		2,445		169,830
KAR Auction Services, Inc.		48,337		693,636
ManpowerGroup, Inc.		10,149		701,702
Republic Services, Inc.		12,541		1,071,754
Robert Half International, Inc.		45,238		2,295,376
Rollins, Inc.		15,070		629,926
TransUnion		5,100		440,079
Waste Management, Inc.		996		106,323
				8,577,878

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

Elements Portfolios Annual Report May 31, 2020

12

Schedule of Investments as of May 31, 2020

ELEMENTS U.S. PORTFOLIO

	SHARES		FAIR VALUE
Consumer Durables & Apparel - 2.9%
Brunswick Corp.		2,901	$	159,584
Capri Holdings Ltd. (a)(b)		6,171		92,812
Carter’s, Inc.		1,352		116,150
Columbia Sportswear Co.		1,399		102,211
DR Horton, Inc.		15,529		858,754
Garmin Ltd. (a)		13,226		1,192,588
Hanesbrands, Inc.		946		9,328
Hasbro, Inc.		35		2,573
Lennar Corp. - A Shares		26,492		1,601,706
Lennar Corp. - B Shares		318		14,272
Newell Brands, Inc.		107,454		1,413,020
Nike, Inc.		17,790		1,753,738
NVR, Inc. (b)		428		1,378,849
PulteGroup, Inc.		46,093		1,565,779
PVH Corp.		8,815		400,818
Ralph Lauren Corp.		4,859		366,903
Skechers U.S.A., Inc. (b)		14,431		451,979
Tapestry, Inc.		45,616		620,378
Tempur Sealy International, Inc. (b)		900		58,707
Toll Brothers, Inc.		5,183		167,463
Under Armour, Inc. - Class A (b)		13,487		118,011
Under Armour, Inc. - Class C (b)		71,188		559,538
				13,005,161
Consumer Services - 0.6%
Aramark		12,608		326,421
Choice Hotels International, Inc.		2,384		192,699
Domino’s Pizza, Inc.		894		344,941
Extended Stay America, Inc.		56,575		650,612
Grand Canyon Education, Inc. (b)		500		48,795
H&R Block, Inc.		1,100		18,700
Hilton Grand Vacations, Inc. (b)		610		13,139
Hyatt Hotels Corp.		7,223		397,915
International Game Technology PLC (a)		8,600		72,498
Service Corp. International		2,310		91,083
ServiceMaster Global Holdings, Inc. (b)		18,604		612,072
Six Flags Entertainment Corp.		1,500		34,470
Wyndham Destinations, Inc.		532		16,918
				2,820,263
Diversified Financials - 3.6%
Affiliated Managers Group, Inc.		5,192		345,891
Bank of New York Mellon Corp.		4,100		152,397
Berkshire Hathaway, Inc. (b)		35,769		6,638,011
BGC Partners, Inc.		72,204		185,925
Capital One Financial Corp.		300		20,412
Cboe Global Markets, Inc.		5,285		562,641
Discover Financial Services		1,600		76,016
E*TRADE Financial Corp.		48,461		2,206,914
Evercore, Inc.		12,137		668,870
Janus Henderson Group PLC (a)		38,700		834,372
Legg Mason, Inc.		867		43,202
LPL Financial Holdings, Inc.		4,153		296,483
MarketAxess Holdings, Inc.		800		406,872
Morningstar, Inc.		4,259		652,990
Nasdaq, Inc.		200		23,692
OneMain Holdings, Inc.		1,800		41,994
Raymond James Financial, Inc.		1,331		92,212

	SHARES		FAIR VALUE
Diversified Financials - 3.6% (continued)
SEI Investments Co.		27,366	$	1,483,784
TD Ameritrade Holding Corp.		9,000		335,430
The Charles Schwab Corp.		3,900		140,049
Voya Financial, Inc.		20,933		943,032
				16,151,189
Energy - 2.2%
Apergy Corp. (b)		103,973		943,035
Baker Hughes Co.		59,214		977,623
Cabot Oil & Gas Corp.		59,032		1,171,195
Chevron Corp.		23,768		2,179,526
ConocoPhillips		16,196		683,147
Devon Energy Corp.		8,110		87,669
EOG Resources, Inc.		2,900		147,813
Exxon Mobil Corp.		7,700		350,119
Halliburton Co.		22,785		267,724
Helmerich & Payne, Inc.		3,000		60,390
Kosmos Energy Ltd.		329,700		600,054
Marathon Oil Corp.		6,693		35,741
Marathon Petroleum Corp.		10,029		352,419
Patterson-UTI Energy, Inc. (c)		338,313		1,248,375
Schlumberger Ltd. (a)		7,165		132,337
Valero Energy Corp.		11,929		794,949
				10,032,116
Food & Staples Retailing - 8.1%
Casey’s General Stores, Inc.		1,000		159,730
Costco Wholesale Corp.		23,070		7,116,403
Kroger Co.		117,658		3,838,004
Sprouts Farmers Market, Inc. (b)		106,567		2,678,029
Sysco Corp.		25,345		1,398,030
U.S. Foods Holding Corp. (b)		82,089		1,571,183
Walgreens Boots Alliance, Inc.		84,370		3,622,848
Walmart, Inc.		132,209		16,401,849
				36,786,076
Food, Beverage & Tobacco - 3.4%
Altria Group, Inc.		22,280		870,034
Brown-Forman Corp. - Class A		938		55,670
Bunge Ltd. (a)		17,530		684,021
Campbell Soup Co.		6,600		336,468
Conagra Brands, Inc.		3,100		107,849
Constellation Brands, Inc.		300		51,810
Flowers Foods, Inc.		60,639		1,430,474
General Mills, Inc.		16,396		1,033,604
Hain Celestial Group, Inc. (b)		12,967		408,201
Hershey Co.		17,219		2,336,274
Hormel Foods Corp.		14,666		716,141
Ingredion, Inc.		13,585		1,144,265
Kellogg Co.		2,500		163,275
Keurig Dr. Pepper, Inc.		2,000		55,840
Kraft Heinz Co.		93,204		2,839,926
Lamb Weston Holdings, Inc.		5,304		318,558
McCormick & Co., Inc.		400		70,064
Molson Coors Beverage Co.		3,300		125,268
Philip Morris International, Inc.		2,457		180,245
Pilgrim’s Pride Corp. (b)		19,204		396,947

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

Elements Portfolios Annual Report May 31, 2020

13

Schedule of Investments as of May 31, 2020

ELEMENTS U.S. PORTFOLIO

	SHARES		FAIR VALUE
Food, Beverage & Tobacco - 3.4% (continued)
TreeHouse Foods, Inc. (b)		9,496	$	500,534
Tyson Foods, Inc.		23,817		1,463,316
				15,288,784
Health Care Equipment & Services - 8.1%
ABIOMED, Inc. (b)		100		22,390
Acadia Healthcare Co., Inc. (b)		100		2,861
AmerisourceBergen Corp.		11,500		1,096,410
Anthem, Inc.		12,524		3,683,434
Cardinal Health, Inc.		22,079		1,207,501
Centene Corp. (b)		8,331		551,929
Chemed Corp.		11		5,264
Cigna Corp.		6,401		1,263,045
Covetrus, Inc. (b)		1,606		24,540
CVS Health Corp.		79,270		5,197,734
Dentsply Sirona, Inc.		22,924		1,066,424
Encompass Health Corp.		3,384		247,878
Envista Holdings Corp. (b)		9,211		194,721
Henry Schein, Inc. (b)		4,049		245,855
Hill-Rom Holdings, Inc.		113		11,489
Hologic, Inc. (b)		3,200		169,600
Humana, Inc.		12,651		5,195,133
ICU Medical, Inc. (b)		158		31,540
Integra LifeSciences Holdings Corp. (b)		6,948		362,060
Laboratory Corp. of America Holdings (b)		1,600		280,512
Masimo Corp. (b)		681		163,569
McKesson Corp.		3,204		508,379
MEDNAX, Inc. (b)		65,690		1,020,166
Molina Healthcare, Inc. (b)		2,670		496,139
Premier, Inc. (b)		28,718		999,099
Quest Diagnostics, Inc.		778		92,022
ResMed, Inc.		2,148		345,441
STERIS PLC (a)		9,025		1,497,157
UnitedHealth Group, Inc.		30,210		9,209,518
Universal Health Services, Inc.		3,947		416,211
West Pharmaceutical Services, Inc.		4,480		967,859
				36,575,880
Household & Personal Products - 2.2%
Church & Dwight Co., Inc.		9,442		708,811
Clorox Co.		2,966		611,737
Colgate-Palmolive Co.		37,349		2,701,453
Coty, Inc.		32,659		118,552
Estee Lauder Cos., Inc.		36		7,109
Herbalife Nutrition Ltd. (a)(b)		7,653		335,508
Kimberly-Clark Corp.		5,561		786,548
Nu Skin Enterprises, Inc.		66,336		2,466,372
Procter & Gamble Co.		20,729		2,402,906
				10,138,996
Insurance - 5.5%
Aflac, Inc.		16		584
Allstate Corp.		15,834		1,548,724
American Financial Group, Inc.		12,872		775,409
Arthur J Gallagher & Co.		4,603		433,971
Assurant, Inc.		1,997		204,852
Brown & Brown, Inc.		23,852		958,851
Cincinnati Financial Corp.		17,197		1,013,763

	SHARES		FAIR VALUE
Insurance - 5.5% (continued)
CNA Financial Corp.		32,690	$	988,219
Erie Indemnity Co.		697		125,627
Fidelity National Financial, Inc.		59,663		1,903,250
First American Financial Corp.		43,568		2,199,748
Globe Life, Inc.		500		38,510
Hanover Insurance Group, Inc.		16,283		1,633,999
Hartford Financial Services Group, Inc.		33,155		1,269,505
Kemper Corp.		4,441		281,560
Loews Corp.		31,655		1,052,212
Markel Corp. (b)		260		233,329
Marsh & McLennan Cos., Inc.		39		4,131
Mercury General Corp.		27,618		1,111,072
MetLife, Inc.		63,657		2,292,289
Old Republic International Corp.		219		3,414
Principal Financial Group, Inc.		11,181		431,810
Progressive Corp.		17,571		1,364,915
Reinsurance Group of America, Inc.		12,587		1,142,270
RenaissanceRe Holdings Ltd. (a)		5,771		968,720
Travelers Cos., Inc.		7,406		792,294
WR Berkley Corp.		34,534		2,001,245
				24,774,273
Materials - 4.6%
Alcoa Corp. (b)		18,400		169,464
AptarGroup, Inc.		13,641		1,519,471
Arconic Corp. (b)		8,950		129,506
Ashland Global Holdings, Inc.		1,448		97,248
Avery Dennison Corp.		4,261		471,565
Axalta Coating Systems Ltd. (a)(b)		61,323		1,417,174
Ball Corp.		209		14,893
Cabot Corp.		21,512		768,409
Celanese Corp.		26		2,338
Corteva, Inc.		2,100		57,351
Crown Holdings, Inc. (b)		600		39,258
Domtar Corp.		45,336		924,854
Dow, Inc.		6,500		250,900
Eastman Chemical Co.		600		40,848
Element Solutions, Inc. (b)		16,500		179,685
Graphic Packaging Holding Co.		78,900		1,141,683
Huntsman Corp.		30,919		561,180
International Paper Co.		14,148		481,739
Mosaic Co.		27,920		337,553
Newmont Corp.		42,946		2,511,053
Nucor Corp.		19,753		834,762
Olin Corp.		20,950		252,028
Packaging Corp. of America		1,802		182,741
PPG Industries, Inc.		8,020		815,393
Reliance Steel & Aluminum Co.		12,083		1,172,051
Royal Gold, Inc.		9,905		1,319,346
RPM International, Inc.		14,978		1,120,055
Scotts Miracle-Gro Co.		300		42,771
Silgan Holdings, Inc.		35,281		1,179,797
Sonoco Products Co.		17,302		896,417
Steel Dynamics, Inc.		9,835		261,218
Valvoline, Inc.		59,368		1,089,403
Westlake Chemical Corp.		552		26,330

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

Elements Portfolios Annual Report May 31, 2020

14

Schedule of Investments as of May 31, 2020

ELEMENTS U.S. PORTFOLIO

	SHARES		FAIR VALUE
Materials - 4.6% (continued)
Westrock Co.		12,256	$	343,903
WR Grace & Co.		200		10,440
				20,662,827
Media & Entertainment - 6.6%
Activision Blizzard, Inc.		9,217		663,440
AMC Networks, Inc. (b)		26,611		752,293
Discovery Communications, Inc. - Class C (b)		268		5,250
DISH Network Corp. (b)		97		3,070
Electronic Arts, Inc. (b)		3,753		461,169
Facebook, Inc. (b)		80,172		18,045,915
Fox Corp. - Class B		23,122		665,451
Interpublic Group of Cos., Inc.		5,500		94,105
John Wiley & Sons, Inc.		32,219		1,295,204
Liberty Media Corp. - Liberty SiriusXM - Class A (b)		14,344		523,556
Liberty Media Corp. - Liberty SiriusXM - Class B (b)		1,200		43,764
Liberty Media Corp-Liberty Formula One (b)		1,400		48,510
Lions Gate Entertainment Corp. - Class A (a)(b)(c)		41,574		331,345
Lions Gate Entertainment Corp. - Class B (a)(b)		147,364		1,109,651
News Corp. - Class A		127,698		1,564,300
News Corp. - Class B		1,622		19,886
Omnicom Group, Inc.		500		27,395
Sinclair Broadcast Group, Inc.		605		11,307
Take-Two Interactive Software, Inc. (b)		3,592		489,123
The New York Times Co. - Class A		8,577		336,476
TripAdvisor, Inc.		36,469		703,122
Walt Disney Co.		22,690		2,661,537
Zynga, Inc. (b)		21,105		193,111
				30,048,980
Pharmaceuticals, Biotechnology & Life Sciences - 0.9%
Avantor, Inc. (b)		17,100		324,387
Bruker Corp.		982		42,501
Jazz Pharmaceuticals PLC (a)(b)		300		35,796
Mylan N.V. (a)(b)		5,091		86,903
PerkinElmer, Inc.		2,878		289,153
Pfizer, Inc.		24,612		939,932
QIAGEN N.V. (a)(b)		51,895		2,272,482
Waters Corp. (b)		735		146,890
Zoetis, Inc.		500		69,695
				4,207,739
Retailing - 13.2%
Advance Auto Parts, Inc.		2,727		379,926
Amazon.com, Inc. (b)		14,849		36,266,752
AutoNation, Inc. (b)		19,507		770,136
AutoZone, Inc. (b)		1,064		1,221,323
Best Buy Co., Inc.		12,471		973,860
Booking Holdings, Inc. (b)		363		595,109
Dollar General Corp.		6,220		1,191,192
Dollar Tree, Inc. (b)		1,900		185,953
eBay, Inc.		16,641		757,831
Expedia Group, Inc.		15,509		1,232,655

	SHARES		FAIR VALUE
Retailing - 13.2% (continued)
Foot Locker, Inc.		22,823	$	632,197
Gap, Inc.		35,800		318,620
Genuine Parts Co.		7,855		655,186
Home Depot, Inc.		3,870		961,618
Kohl’s Corp.		40,977		787,578
L Brands, Inc.		35,454		574,000
LKQ Corp. (b)		74,654		2,049,999
Macy’s, Inc. (c)		210,017		1,335,708
Nordstrom, Inc.		105		1,694
O’Reilly Automotive, Inc. (b)		115		47,983
Penske Automotive Group, Inc.		4,104		146,759
Pool Corp.		2,189		588,885
Qurate Retail, Inc. (b)		208,723		1,718,834
Ross Stores, Inc.		5,630		545,885
Target Corp.		39,342		4,812,707
TJX Cos., Inc.		6,228		328,589
Tractor Supply Co.		6,738		822,171
Ulta Beauty, Inc. (b)		434		105,900
Williams-Sonoma, Inc.		1,101		91,614
				60,100,664
Semiconductors & Semiconductor Equipment - 1.9%
Advanced Micro Devices, Inc. (b)		13,300		715,540
Applied Materials, Inc.		19,756		1,109,892
Entegris, Inc.		900		53,892
Intel Corp.		25,686		1,616,420
Lam Research Corp.		683		186,917
Marvell Technology Group Ltd. (a)		7,546		246,150
Micron Technology, Inc. (b)		1,111		53,228
NVIDIA Corp.		1,485		527,205
QUALCOMM, Inc.		8,900		719,832
Skyworks Solutions, Inc.		5,916		701,283
Teradyne, Inc.		8,465		567,324
Xilinx, Inc.		24,125		2,218,294
				8,715,977
Software & Services - 5.7%
Akamai Technologies, Inc. (b)		27		2,857
Amdocs Ltd. (a)		29,411		1,831,129
Black Knight, Inc. (b)		83		6,389
Booz Allen Hamilton Holding Corp.		8,913		710,901
CACI International, Inc. (b)		3,334		836,100
CDK Global, Inc.		1,700		66,827
Citrix Systems, Inc.		8,739		1,294,421
Cognizant Technology Solutions Corp.		14,991		794,523
CoreLogic, Inc.		13,735		680,707
DXC Technology Co.		6,908		98,163
Euronet Worldwide, Inc. (b)		7,609		720,801
FireEye, Inc. (b)		1,940		24,211
Fortinet, Inc. (b)		775		107,880
Gartner, Inc. (b)		281		34,198
Genpact Ltd. (a)		44,457		1,598,229
International Business Machines Corp.		9,474		1,183,303
Intuit, Inc.		605		175,644
Jack Henry & Associates, Inc.		4,649		840,818
Leidos Holdings, Inc.		13,188		1,388,564
LogMeIn, Inc.		9,785		830,746
Manhattan Associates, Inc. (b)		11,717		1,035,783

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

Elements Portfolios Annual Report May 31, 2020

15

Schedule of Investments as of May 31, 2020

ELEMENTS U.S. PORTFOLIO

	SHARES		FAIR VALUE
Software & Services - 5.7% (continued)
Mastercard, Inc.		15,543	$	4,676,733
Microsoft Corp.		1,740		318,855
NortonLifeLock, Inc.		85,897		1,956,734
Nuance Communications, Inc. (b)		28,937		662,079
PayPal Holdings, Inc. (b)		12,349		1,914,218
Pegasystems, Inc.		2,443		232,378
PTC, Inc. (b)		669		51,098
Sabre Corp.		65,289		455,064
SolarWinds Corp. (b)		8,600		157,294
SS&C Technologies Holdings, Inc.		13,019		753,735
Teradata Corp. (b)		13,650		292,246
Western Union Co.		4,654		93,173
				25,825,801
Technology Hardware & Equipment - 12.1%
Amphenol Corp.		10,134		978,539
Apple, Inc.		86,875		27,621,037
Arrow Electronics, Inc. (b)		28,926		1,998,208
Avnet, Inc.		27,011		735,780
CDW Corp.		900		99,819
Ciena Corp. (b)		9,991		552,103
Cisco Systems, Inc.		101,793		4,867,741
CommScope Holding Co., Inc. (b)		15,300		157,743
Dell Technologies, Inc. (b)		7,931		393,695
Dolby Laboratories, Inc.		12,082		733,740
EchoStar Corp. (b)		2,321		72,322
F5 Networks, Inc. (b)		7,685		1,113,710
FLIR Systems, Inc.		29,925		1,382,535
Hewlett Packard Enterprise Co.		39,592		384,438
HP, Inc.		376,928		5,706,690
Jabil, Inc.		36,995		1,106,890
Juniper Networks, Inc.		48,176		1,168,750
National Instruments Corp.		34,329		1,329,219
NCR Corp. (b)		3,570		64,439
NetApp, Inc.		14,548		647,968
Pure Storage, Inc. - Class A (b)		1,400		24,654
SYNNEX Corp.		12,176		1,298,570
Trimble, Inc. (b)		14,900		582,888
Ubiquiti, Inc.		2,790		514,504
Western Digital Corp.		17,844		791,738
Xerox Holdings Corp.		45,329		719,825
Zebra Technologies Corp. (b)		47		12,282
				55,059,827
Telecommunication Services - 0.7%
AT&T, Inc.		68,784		2,122,674
Telephone & Data Systems, Inc.		42,270		866,112
United States Cellular Corp. (b)		3,125		98,469
				3,087,255
Transportation - 1.7%
Alaska Air Group, Inc.		9,529		325,796
CH Robinson Worldwide, Inc.		871		70,664
Copa Holdings S.A. (a)		8,818		386,757
Delta Air Lines, Inc.		8,366		210,907
Expeditors International of Washington, Inc.		21,781		1,663,415
J.B. Hunt Transport Services, Inc.		507		60,673
JetBlue Airways Corp. (b)		66,949		674,176

	SHARES		FAIR VALUE
Transportation - 1.7% (continued)
Knight-Swift Transportation Holdings, Inc.		1,562	$	64,995
Landstar System, Inc.		1,253		145,674
Macquarie Infrastructure Corp.		24,022		681,985
Old Dominion Freight Line, Inc.		15		2,566
Schneider National, Inc.		53,552		1,294,352
Southwest Airlines Co.		63,806		2,048,173
United Airlines Holdings, Inc. (b)		3,700		103,748
				7,733,881
Utilities - 1.1%
Avangrid, Inc.		25,969		1,155,101
CMS Energy Corp.		4,742		277,786
Evergy, Inc.		7,192		443,675
Hawaiian Electric Industries, Inc.		14,721		580,891
IDACORP, Inc.		575		53,607
NiSource, Inc.		3,100		73,873
NRG Energy, Inc.		1,465		52,813
OGE Energy Corp.		10,846		339,697
Pinnacle West Capital Corp.		109		8,491
Public Service Enterprise Group, Inc.		3,600		183,744
UGI Corp.		4,337		138,090
Vistra Energy Corp.		43,400		887,096
WEC Energy Group, Inc.		400		36,692
Xcel Energy, Inc.		14,683		954,836
				5,186,392
TOTAL COMMON STOCKS (Cost $371,920,150)				446,826,074
RIGHTS - 0.0% (d)
Liberty Media Corp-Liberty SiriusXM (b)		1,460		15,870
TOTAL RIGHTS (Cost $9,950)				15,870
SHORT-TERM INVESTMENTS - 1.3%
Money Market Funds - 1.1%
Fidelity Investments Money Market Funds - Government Portfolio, 0.08% (e)		1,055,186		1,055,186
First American Government Obligations Fund, 0.09% (e)		1,055,185		1,055,185
First American Treasury Obligations Fund, 0.10% (e)		1,055,186		1,055,186
Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class, 0.09% (e)		1,055,185		1,055,185
STIT - Treasury Portfolio - Institutional Class, 0.08% (e)		1,055,185		1,055,185
				5,275,927
	PRINCIPAL AMOUNT		FAIR VALUE
U.S. Treasury Bills - 0.2%
1.472%, 8/20/20 (f)(g)	$	747,000		746,772
				746,772
TOTAL SHORT-TERM INVESTMENTS (Cost $6,020,536)				6,022,699

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

Elements Portfolios Annual Report May 31, 2020

16

Schedule of Investments as of May 31, 2020

ELEMENTS U.S. PORTFOLIO

	SHARES		FAIR VALUE
INVESTMENTS PURCHASED WITH THE CASH PROCEEDS FROM SECURITIES LENDING - 0.5%
BlackRock Liquidity Funds FedFund Portfolio, 0.11% (e)		2,433,625	$	2,433,625
TOTAL INVESTMENTS PURCHASED WITH THE CASH PROCEEDS FROM SECURITIES LENDING (Cost $2,433,625)				2,433,625
TOTAL INVESTMENTS (Cost $380,384,261) - 100.3%				455,298,268
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.3)%				(1,529,566)
TOTAL NET ASSETS - 100.0%			$	453,768,702

Percentages are stated as a percent of net assets.

PLC - Public Limited Company

(a) Foreign issued security. Total foreign securities are $20,330,366 which represents 4.5% of net assets.

(b) Non-income producing security.

(c) This security or a portion of this security was out on loan as of May 31, 2020. Total loaned securities had a market value of $2,200,044 as of May 31, 2020.

(d) Rounds to zero.

(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.

(g) This security or a portion of this security was held as collateral for derivative contracts as of May 31, 2020. The total market value of the collateral was $746,701 as of May 31, 2020.

The Global Industry Classification Standard (GICS^®) was developed by and/or is the exclusive property of Morgan Stanley Capital International, 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.

Open Futures Contracts

DESCRIPTION	NUMBER OF CONTRACTS PURCHASED		NOTIONAL VALUE		VALUE/ UNREALIZED APPRECIATION
FUTURES CONTRACTS PURCHASED
S&P 500 E-mini Index, June 2020 Settlement		67	$	10,190,700	$	606,315
TOTAL FUTURES CONTRACTS PURCHASED			$	10,190,700	$	606,315

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

Elements Portfolios Annual Report May 31, 2020

17

Schedule of Investments as of May 31, 2020

ELEMENTS U.S. SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
COMMON STOCKS - 88.0%
Automobiles & Components - 0.8%
Cooper Tire & Rubber Co.		7,806	$	200,848
Dana, Inc.		587		7,420
Gentherm, Inc. (a)		4,191		170,574
Modine Manufacturing Co. (a)		38,208		204,413
Standard Motor Products, Inc.		4,813		204,793
Stoneridge, Inc. (a)		9,480		195,098
Strattec Security Corp.		1,809		23,336
Winnebago Industries, Inc.		4,267		232,125
				1,238,607
Banks - 3.5%
1st Source Corp.		53		1,833
Atlantic Capital Bancshares, Inc. (a)		152		1,733
Atlantic Union Bankshares Corp.		1,309		30,303
Axos Financial, Inc. (a)		1,100		23,980
Banc of California, Inc.		400		4,380
BancorpSouth Bank		400		8,892
Bank of Commerce Holdings		756		5,768
BCB Bancorp, Inc.		400		3,836
Berkshire Hills Bancorp, Inc.		2,036		22,030
Boston Private Financial Holdings, Inc.		19,096		131,190
Bridge Bancorp, Inc.		200		4,260
Brookline Bancorp, Inc.		4,200		39,060
Cadence Bancorp		8,763		70,717
Capital City Bank Group, Inc.		4,987		101,485
Capitol Federal Financial, Inc.		1,200		14,070
Cathay General Bancorp		23		625
CenterState Bank Corp.		5,613		88,685
Central Pacific Financial Corp.		800		12,888
Chemung Financial Corp.		1,112		28,156
Citizens & Northern Corp.		1,245		23,879
Columbia Banking System, Inc.		722		17,588
Community Bankers Trust Corp.		700		3,941
CVB Financial Corp.		2,948		57,515
First Bancorp Puerto Rico (b)		84,277		460,995
First Busey Corp.		6,039		108,159
First Commonwealth Financial Corp.		25,087		205,212
First Interstate BancSystem, Inc.		9,029		282,156
First Merchants Corp.		2,500		70,150
First of Long Island Corp.		1,600		24,432
Fulton Financial Corp.		5,857		65,657
German American Bancorp, Inc.		400		12,392
Great Western Bancorp, Inc.		7,299		103,938
Hancock Whitney Corp.		94		2,032
Heartland Financial USA, Inc.		7,202		230,536
Heritage Commerce Corp.		20,092		163,348
Heritage Financial Corp.		3,361		63,859
Home BancShares, Inc.		13,586		196,589
HomeStreet, Inc.		5,875		139,943
Hope Bancorp, Inc.		18,961		180,035
Horizon Bancorp		1,501		15,400
IberiaBank Corp.		1,500		63,615
Independent Bank Corp.		1,173		81,488
Independent Bank Corp. - Michigan		4,101		56,676
Kearny Financial Corp.		1,300		11,141
Lakeland Financial Corp.		600		25,614
Macatawa Bank Corp.		4,300		31,777

	SHARES		FAIR VALUE
Banks - 3.5% (continued)
Meridian Bancorp, Inc.		2,400	$	27,648
Meta Financial Group, Inc.		330		5,980
Midland States Bancorp, Inc.		1,300		19,461
National Bank Holdings Corp.		1,301		34,216
NBT Bancorp, Inc.		1,500		46,980
NMI Holdings, Inc. (a)		18,091		277,968
Northwest Bancshares, Inc.		6,484		64,581
OceanFirst Financial Corp.		2,200		36,740
OFG Bancorp (b)		17,764		215,833
Old National Bancorp		1,300		17,667
Old Second Bancorp, Inc.		1,131		8,709
Opus Bank		12,128		236,375
Pacific Premier Bancorp, Inc.		2,500		54,050
Peoples Bancorp, Inc.		534		11,999
Provident Financial Services, Inc.		1,934		25,200
Radian Group, Inc.		21,317		338,514
Republic First Bancorp, Inc. (a)		8,961		21,238
S&T Bancorp, Inc.		699		15,546
Southern National Bancorp of Virginia, Inc.		699		7,032
Southside Bancshares, Inc.		600		16,920
The Bancorp, Inc. (a)		10,713		94,274
Towne Bank		7,800		147,108
TriCo Bancshares		99		2,809
TrustCo Bank Corp. NY		2,178		13,721
Trustmark Corp.		118		2,807
UMB Financial Corp.		300		15,384
United Bankshares, Inc.		192		5,583
United Community Banks, Inc.		5,802		113,429
Univest Financial Corp.		10,490		172,456
Valley National Bancorp		7,300		58,254
Walker & Dunlop, Inc.		3,179		128,750
Washington Federal, Inc.		700		18,102
Waterstone Financial, Inc.		4,299		64,055
West Bancorporation, Inc.		255		4,498
WSFS Financial Corp.		2,415		66,823
				5,682,668
Capital Goods - 12.6%
AAON, Inc.		528		28,602
AAR Corp.		2,510		50,627
Advanced Drainage Systems, Inc.		2,055		91,119
Aerojet Rocketdyne Holdings, Inc. (a)		2,897		127,033
Alamo Group, Inc.		468		48,354
Albany International Corp.		700		42,210
Allied Motion Technologies, Inc.		2,024		73,249
Altra Industrial Motion Corp.		1,000		31,000
Apogee Enterprises, Inc.		7,042		145,417
Applied Industrial Technologies, Inc.		7,926		459,708
Arcosa, Inc.		1,200		45,804
Astronics Corp. (a)		13,211		120,616
Atkore International Group, Inc. (a)		5,147		138,145
Axon Enterprise, Inc. (a)		621		47,171
Barnes Group, Inc.		1,264		47,754
Beacon Roofing Supply, Inc. (a)		6,426		158,208
Blue Bird Corp. (a)		1,932		27,724
BMC Stock Holdings, Inc. (a)		39,925		1,044,837
Builders FirstSource, Inc. (a)		45,042		937,324
Caesarstone Ltd. (b)		10,814		120,468

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

Elements Portfolios Annual Report May 31, 2020

18

Schedule of Investments as of May 31, 2020

ELEMENTS U.S. SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Capital Goods - 12.6% (continued)
Comfort Systems USA, Inc.		2,195	$	81,215
Commercial Vehicle Group, Inc. (a)		24,771		62,671
Construction Partners, Inc. (a)		2,300		40,710
CSW Industrials, Inc.		2,802		200,511
Ducommun, Inc. (a)		4,281		137,848
DXP Enterprises, Inc. (a)		493		8,692
EMCOR Group, Inc.		9,065		576,081
Encore Wire Corp.		2,349		113,433
Energy Recovery, Inc. (a)		500		3,842
Enerpac Tool Group Corp.		400		7,160
EnerSys		500		31,650
EnPro Industries, Inc.		94		4,237
ESCO Technologies, Inc.		2,694		222,551
Evoqua Water Technologies Corp. (a)		5,240		98,564
Federal Signal Corp.		19,515		568,667
Foundation Building Materials, Inc. (a)		18,153		241,798
Franklin Electric Co., Inc.		4,360		221,139
Generac Holdings, Inc. (a)		4,607		512,621
Gibraltar Industries, Inc. (a)		8,452		371,973
GMS, Inc. (a)		24,351		498,952
Granite Construction, Inc.		300		5,280
Great Lakes Dredge & Dock Corp. (a)		31,190		289,131
JELD-WEN Holding, Inc. (a)		3,433		46,792
Kaman Corp.		11,598		463,920
Kennametal, Inc.		3,197		88,685
Lawson Products, Inc. (a)		15,773		489,909
Lydall, Inc. (a)		4,200		45,444
Masonite International Corp. (a)(b)		600		39,828
MasTec, Inc. (a)		3,300		129,195
Meritor, Inc. (a)		1,800		36,684
Miller Industries, Inc.		9,816		290,848
Moog, Inc.		355		19,273
MRC Global, Inc. (a)		15,800		93,536
Mueller Industries, Inc.		22,721		608,468
Mueller Water Products, Inc.		10,378		96,931
Navistar International Corp. (a)		6,600		165,924
NN, Inc.		7,772		34,741
NOW, Inc. (a)		69,484		517,656
Omega Flex, Inc.		813		83,170
Park Aerospace Corp.		8,148		98,835
Patrick Industries, Inc.		6,311		327,352
PGT Innovations, Inc. (a)		14,111		192,051
Primoris Services Corp.		2,100		35,049
Proto Labs, Inc. (a)		1,192		150,609
Quanex Building Products Corp.		29,570		366,668
Raven Industries, Inc.		9,504		203,861
Rexnord Corp.		12,298		370,170
Rush Enterprises, Inc.		3,301		120,850
Rush Enterprises, Inc. - Class A		6,931		288,468
Simpson Manufacturing Co., Inc.		6,439		515,506
SiteOne Landscape Supply, Inc. (a)		10		1,063
Spartan Motors, Inc.		70,957		1,211,946
SPX Corp. (a)		2,100		83,958
Sterling Construction Co., Inc. (a)		11,593		104,917
Systemax, Inc.		47,073		988,062
Terex Corp.		600		9,432
The Gorman-Rupp Co.		4,640		142,262
Thermon Group Holdings, Inc. (a)		11,944		191,462

	SHARES		FAIR VALUE
Capital Goods - 12.6% (continued)
Titan Machinery, Inc. (a)		6,934	$	72,599
Trex Co., Inc. (a)		3,046		365,886
TriMas Corp. (a)		14,604		345,385
Tutor Perini Corp. (a)		11,492		120,666
UFP Industries, Inc.		19,195		877,787
Vectrus, Inc. (a)		11,067		607,800
Veritiv Corp. (a)		900		11,214
Vicor Corp. (a)		15,879		968,301
Wabash National Corp.		39,794		380,033
Watts Water Technologies, Inc.		2,804		233,181
				20,720,473
Commercial & Professional Services - 8.9%
ABM Industries, Inc.		2,596		79,775
ACCO Brands Corp.		44,331		274,409
ASGN, Inc. (a)		11,849		729,780
Brady Corp.		9,225		471,674
BrightView Holdings, Inc. (a)		30		411
Casella Waste Systems, Inc. (a)		11,426		582,155
CBIZ, Inc. (a)		20,224		458,074
CECO Environmental Corp. (a)		17,643		93,684
Cimpress Plc (a)(b)		1,644		148,174
Deluxe Corp.		6,076		141,753
Ennis, Inc. (c)		21,339		379,834
Exponent, Inc.		11,216		832,676
Franklin Covey Co. (a)		9,672		206,014
FTI Consulting, Inc. (a)		10,867		1,309,039
Healthcare Services Group, Inc.		1,533		36,669
Heidrick & Struggles International, Inc.		12,822		284,392
Heritage-Crystal Clean, Inc. (a)		14,726		249,753
Herman Miller, Inc.		22,659		521,610
HNI Corp.		29,500		751,365
Huron Consulting Group, Inc. (a)		5,935		274,553
ICF International, Inc.		12,507		820,209
Insperity, Inc.		12,468		646,341
Interface, Inc.		9,500		80,655
Kelly Services, Inc.		38,772		581,192
Kforce, Inc.		7,567		228,523
Kimball International, Inc.		33,571		375,660
Knoll, Inc.		32,497		343,168
Korn Ferry		6,119		185,161
Matthews International Corp.		501		10,371
McGrath RentCorp		6,945		387,253
Mistras Group, Inc. (a)		23,247		93,918
Mobile Mini, Inc.		500		16,020
PICO Holdings, Inc. (a)		6,288		52,693
Quad Graphics, Inc.		27,263		77,700
Resources Connection, Inc.		32,573		357,977
Steelcase, Inc.		53,565		620,283
Team, Inc. (a)		7,100		35,003
Tetra Tech, Inc.		9,913		782,136
TriNet Group, Inc. (a)		3,843		206,484
TrueBlue, Inc. (a)		42,372		655,071
UniFirst Corp.		818		147,076
Upwork, Inc. (a)		2,400		29,856
Viad Corp.		7,182		131,718
				14,690,262

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

Elements Portfolios Annual Report May 31, 2020

19

Schedule of Investments as of May 31, 2020

ELEMENTS U.S. SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Consumer Durables & Apparel - 8.4%
Acushnet Holdings Corp.		40,352	$	1,348,564
American Outdoor Brands Corp. (a)		2,000		23,640
Crocs, Inc. (a)		66,146		1,895,083
Deckers Outdoor Corp. (a)		12,117		2,211,716
Ethan Allen Interiors, Inc.		10,070		113,791
Fossil Group, Inc. (a)		12,262		37,399
Green Brick Partners, Inc. (a)		4,978		53,265
Helen of Troy Ltd. (a)(b)		247		44,934
Installed Building Products, Inc. (a)		2,600		167,128
iRobot Corp. (a)		493		36,344
Johnson Outdoors, Inc.		13,599		1,055,418
KB Home		20,714		685,219
Kontoor Brands, Inc.		3,800		55,556
La-Z-Boy, Inc.		10,343		266,022
M/I Homes, Inc. (a)		12,018		402,363
Malibu Boats, Inc. (a)		8,184		385,712
MasterCraft Boat Holdings, Inc. (a)		29,121		432,738
Meritage Homes Corp. (a)		6,895		479,202
Movado Group, Inc.		3,461		36,340
Oxford Industries, Inc.		1,377		58,688
Skyline Champion Corp. (a)		10,300		255,852
Sonos, Inc. (a)		6,600		71,676
Steven Madden Ltd.		17,174		403,932
Sturm Ruger & Co., Inc.		3,894		242,752
Taylor Morrison Home Corp. (a)		32,301		624,378
TopBuild Corp. (a)		900		103,221
TRI Pointe Group, Inc. (a)		63,930		915,478
Tupperware Brands Corp.		82,835		267,557
Unifi, Inc. (a)		900		12,357
Universal Electronics, Inc. (a)		4,145		187,520
Vera Bradley, Inc. (a)		52,759		276,985
Vista Outdoor, Inc. (a)		38,290		371,796
Wolverine World Wide, Inc.		10,622		222,425
				13,745,051
Consumer Services - 1.0%
American Public Education, Inc. (a)		12,284		386,086
BBX Capital Corp.		3,300		5,907
BJ’s Restaurants, Inc.		2,756		59,860
Bloomin’ Brands, Inc.		1,427		16,282
Bluegreen Vacations Corp.		271		1,182
Chegg, Inc. (a)		400		24,432
Del Taco Restaurants, Inc. (a)		273		1,665
Denny’s Corp. (a)		11,819		128,177
El Pollo Loco Holdings, Inc. (a)		67		929
Fiesta Restaurant Group, Inc. (a)		3,939		32,418
Houghton Mifflin Harcourt Co. (a)		28,884		44,193
K12, Inc. (a)		18,294		450,398
Laureate Education, Inc. (a)		4,700		45,731
Perdoceo Education Corp. (a)		7,323		119,218
Ruth’s Hospitality Group, Inc.		1,600		12,976
Strategic Education, Inc.		417		70,736
WW International, Inc. (a)		7,393		176,693
				1,576,883
Diversified Financials - 3.5%
Artisan Partners Asset Management, Inc.		16,418		475,629
B. Riley Financial, Inc.		1,400		26,922

	SHARES		FAIR VALUE
Diversified Financials - 3.5% (continued)
Blucora, Inc. (a)		3,276	$	39,803
Cannae Holdings, Inc. (a)		29,389		1,082,397
Cohen & Steers, Inc.		6,317		401,445
Curo Group Holdings Corp.		4,900		32,781
Donnelley Financial Solutions, Inc. (a)		5,000		40,750
Enova International, Inc. (a)		23,455		331,888
EZCORP, Inc. (a)		51,375		265,095
Federated Hermes, Inc.		30,775		681,359
FGL Holdings (b)(c)		31,100		259,374
Green Dot Corp. (a)		9,468		361,488
Greenhill & Co., Inc.		651		6,490
Hamilton Lane, Inc.		2,563		187,535
Houlihan Lokey, Inc.		10,641		643,568
Moelis & Co.		636		21,389
Oppenheimer Holdings, Inc.		13,769		291,627
PJT Partners, Inc.		530		28,986
Pzena Investment Management, Inc.		64,185		261,875
Stifel Financial Corp.		600		28,626
Waddell & Reed Financial, Inc.		9,457		123,319
Westwood Holdings Group, Inc.		6,782		120,245
				5,712,591
Energy - 3.1%
Arch Resources, Inc.		3,907		128,775
Ardmore Shipping Corp. (b)		1,600		9,344
Cactus, Inc.		2,800		53,424
Clean Energy Fuels Corp. (a)		600		1,254
CONSOL Energy, Inc. (a)		11,436		77,879
CVR Energy, Inc.		21,512		438,845
Delek US Holdings, Inc.		6,375		125,396
DHT Holdings, Inc. (b)		1,500		8,910
DMC Global, Inc.		18,300		522,465
Dorian LPG Ltd. (a)(b)		3,800		31,236
Evolution Petroleum Corp.		19,534		47,663
Exterran Corp. (a)		7,365		47,283
Frank’s International N.V. (a)(b)		4,700		10,575
Liberty Oilfield Services, Inc.		11,800		60,770
Magnolia Oil & Gas Corp. (a)		27,100		150,405
Matrix Service Co. (a)		29,622		326,434
NACCO Industries, Inc.		5,847		153,659
Newpark Resources, Inc. (a)		16,111		32,544
NexTier Oilfield Solutions, Inc. (a)		122,406		354,977
Oceaneering International, Inc. (a)		6,800		43,656
Oil States International, Inc. (a)		25,800		109,392
Par Pacific Holdings, Inc. (a)		10,100		93,829
Peabody Energy Corp.		2,600		8,190
ProPetro Holding Corp. (a)		22,400		110,880
Renewable Energy Group, Inc. (a)		30,246		860,499
RPC, Inc. (a)(c)		84,603		269,038
Select Energy Services, Inc. (a)		32,952		195,735
Solaris Oilfield Infrastructure, Inc. - Class A		23,400		162,162
World Fuel Services Corp.		26,622		678,329
				5,113,548
Food & Staples Retailing - 2.3%
BJ’s Wholesale Club Holdings, Inc. (a)		241		8,676
Ingles Markets, Inc.		11,542		491,805
Natural Grocers by Vitamin Cottage, Inc.		14,654		211,018

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

Elements Portfolios Annual Report May 31, 2020

20

Schedule of Investments as of May 31, 2020

ELEMENTS U.S. SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Food & Staples Retailing - 2.3% (continued)
Performance Food Group Co. (a)		49,867	$	1,328,955
PriceSmart, Inc.		6,187		336,449
SpartanNash Co.		14,084		301,538
The Andersons, Inc.		1,200		15,552
The Chefs’ Warehouse, Inc. (a)		20,912		309,498
United Natural Foods, Inc. (a)		9,700		190,120
Village Super Market, Inc.		3,713		88,852
Weis Markets, Inc.		9,830		547,826
				3,830,289
Food, Beverage & Tobacco - 1.1%
Boston Beer Company, Inc. - Class A (a)		855		482,844
Calavo Growers, Inc.		189		11,058
Cal-Maine Foods, Inc. (a)		2,396		106,766
Darling Ingredients, Inc. (a)		12,368		288,298
Farmer Brothers Co. (a)		463		3,570
Fresh Del Monte Produce, Inc. (b)		600		14,934
Freshpet, Inc. (a)		281		21,687
Hostess Brands, Inc. (a)		2,800		33,810
J&J Snack Foods Corp.		998		128,373
John B Sanfilippo & Son, Inc.		317		27,560
Lancaster Colony Corp.		491		75,349
Landec Corp. (a)		3,700		39,479
Sanderson Farms, Inc.		889		117,366
Tootsie Roll Industries, Inc.		1,837		65,434
Universal Corp.		4,800		211,488
Vector Group Ltd.		12,576		143,744
				1,771,760
Health Care Equipment & Services - 8.8%
Addus HomeCare Corp. (a)		4,133		409,002
Allscripts Healthcare Solutions, Inc. (a)		10,500		66,360
Amedisys, Inc. (a)		11,387		2,186,873
AMN Healthcare Services, Inc. (a)		4,293		190,437
AngioDynamics, Inc. (a)		14,153		144,502
AtriCure, Inc. (a)		1,800		86,058
Atrion Corp.		30		19,260
Axogen, Inc. (a)		480		4,656
Computer Programs & Systems, Inc.		2,309		51,075
CorVel Corp. (a)		6,928		470,342
Cross Country Healthcare, Inc. (a)		35,938		218,144
Cutera, Inc. (a)		2,637		35,019
Enzo Biochem, Inc. (a)		1,592		4,537
Globus Medical, Inc. (a)		9,552		522,017
Haemonetics Corp. (a)		15,117		1,658,033
HealthStream, Inc. (a)		4,329		98,615
HMS Holdings Corp. (a)		2,891		90,315
Inogen, Inc. (a)		120		4,560
Inovalon Holdings, Inc. (a)		900		16,938
Invacare Corp.		1,243		7,657
iRadimed Corp. (a)(c)		26,141		607,778
Lantheus Holdings, Inc. (a)		2,500		34,325
LeMaitre Vascular, Inc.		1		27
LHC Group, Inc. (a)		8,636		1,403,436
Magellan Health, Inc. (a)		3,990		299,210
Meridian Bioscience, Inc. (a)		44,432		686,919
Merit Medical Systems, Inc. (a)		100		4,499
National Research Corp.		14,427		818,299

	SHARES		FAIR VALUE
Health Care Equipment & Services - 8.8% (continued)
Natus Medical, Inc. (a)		9,031	$	193,263
Neogen Corp. (a)		1,630		116,089
NextGen Healthcare, Inc. (a)		22,963		236,978
Novocure Ltd. (a)(b)		100		6,743
NuVasive, Inc. (a)		2,600		157,560
Omnicell, Inc. (a)		1,246		83,370
Option Care Health, Inc. (a)		1,025		15,580
OraSure Technologies, Inc. (a)		22,515		327,368
Orthofix Medical, Inc. (a)		7,405		252,362
Owens & Minor, Inc.		15,811		125,381
Patterson Cos., Inc.		11,714		230,649
Pennant Group Inc. (a)		8,575		218,577
Quidel Corp. (a)		400		70,000
R1 RCM, Inc. (a)		4,900		51,989
RadNet, Inc. (a)		1,300		22,152
RTI Surgical Holdings, Inc. (a)		1,228		3,340
SeaSpine Holdings Corp. (a)		4,300		45,795
STAAR Surgical Co. (a)		9,776		379,309
Tabula Rasa HealthCare, Inc. (a)(c)		15,450		825,494
Tactile Systems Technology, Inc. (a)		2,858		138,470
The Ensign Group, Inc.		8,150		356,318
The Providence Service Corp. (a)		4,049		325,944
Utah Medical Products, Inc.		1,700		169,116
				14,490,740
Household & Personal Products - 0.7%
Central Garden & Pet Co. - Class A (a)		2,292		84,093
Central Garden & Pet Co. (a)		14,634		501,361
Edgewell Personal Care Co. (a)		6,000		182,520
elf Beauty, Inc. (a)		2,469		42,319
Inter Parfums, Inc.		7,955		369,192
Medifast, Inc.		18		1,842
				1,181,327
Insurance - 4.3%
CNO Financial Group, Inc.		1,500		21,525
Crawford & Co.		482		2,902
eHealth, Inc. (a)		13,797		1,799,405
Employers Holdings, Inc.		11,273		336,950
FedNat Holding Co.		2,962		36,107
Heritage Insurance Holdings, Inc.		47,412		594,546
Horace Mann Educators Corp.		4,700		171,644
Kinsale Capital Group, Inc.		11,157		1,665,963
National General Holdings Corp.		36,988		750,856
RLI Corp.		7,796		615,572
Safety Insurance Group, Inc.		611		46,583
Selective Insurance Group, Inc.		9,764		512,122
Stewart Information Services Corp.		7,619		234,818
Third Point Reinsurance Ltd. (a)(b)		1,500		11,070
United Fire Group, Inc.		3		80
Universal Insurance Holdings, Inc.		13,983		249,736
				7,049,879
Materials - 3.1%
AdvanSix, Inc. (a)		267		3,161
Boise Cascade Co.		10,267		349,386
Carpenter Technology Corp.		93		2,173
Commercial Metals Co.		12,100		207,636

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

Elements Portfolios Annual Report May 31, 2020

21

Schedule of Investments as of May 31, 2020

ELEMENTS U.S. SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Materials - 3.1% (continued)
Ferro Corp. (a)		1,300	$	15,626
FutureFuel Corp.		37,948		496,360
GCP Applied Technologies, Inc. (a)		3,200		64,448
Haynes International, Inc.		3,700		84,471
HB Fuller Co.		1,100		41,382
Intrepid Potash, Inc. (a)		1,479		1,819
Kraton Corp. (a)		1,731		26,398
Kronos Worldwide, Inc.		8,001		78,090
Louisiana-Pacific Corp.		5,651		133,420
Materion Corp.		8,171		428,977
Minerals Technologies, Inc.		400		19,724
Myers Industries, Inc.		30,322		412,682
Neenah, Inc.		2,322		117,400
Orion Engineered Carbons S.A. (b)		11,000		121,660
PH Glatfelter Co.		12,467		192,116
PolyOne Corp.		3,304		81,873
PQ Group Holdings, Inc. (a)		3,700		46,435
Rayonier Advanced Materials, Inc.		5,700		12,369
Ryerson Holding Corp. (a)		11,506		57,415
Schnitzer Steel Industries, Inc.		6,505		102,128
Schweitzer-Mauduit International, Inc.		3,533		107,368
Sensient Technologies Corp.		2,300		115,276
SunCoke Energy, Inc.		6,400		21,824
TimkenSteel Corp. (a)		12,963		45,371
Trecora Resources (a)		1,038		6,633
Tredegar Corp.		21,132		323,531
Trinseo S.A. (b)		2,125		43,733
UFP Technologies, Inc. (a)		4,465		201,863
Verso Corp. (a)		21,194		304,770
Warrior Met Coal, Inc.		31,007		436,579
Worthington Industries, Inc.		14,390		430,549
				5,134,646
Media & Entertainment - 1.9%
Actua Corp. (a)(d)		5,440		272
Cargurus, Inc. (a)		2,100		54,558
Cars.com, Inc. (a)		21,600		133,272
Central European Media Enterprises Ltd. (a)(b)		13,399		53,596
DHI Group, Inc. (a)		5,700		15,219
Emerald Holding, Inc.		9,246		20,526
Entravision Communications Corp.		24,897		37,345
Eros International PLC (a)(b)(c)		10,673		34,474
Fluent, Inc. (a)		3,933		7,846
Gannett Co, Inc.		30		39
Glu Mobile, Inc. (a)		49,814		497,144
Hemisphere Media Group, Inc. (a)		362		3,548
IMAX Corp. (a)(b)		3,573		45,055
Liberty Latin America Ltd. (a)(b)		100		960
Liberty Media Corp. - Class A (a)		300		6,777
Liberty Media Corp. - Class C (a)		7,000		153,650
Liberty TripAdvisor Holdings, Inc. (a)		20,802		49,405
Meredith Corp.		3,600		53,784
MSG Networks, Inc. (a)		3,300		40,854
National CineMedia, Inc.		9,329		25,655
QuinStreet, Inc. (a)		81,098		822,334
Scholastic Corp.		17,134		503,740
TechTarget, Inc. (a)		16,367		449,929

	SHARES		FAIR VALUE
Media & Entertainment - 1.9% (continued)
The Marcus Corp.		400	$	5,392
The Meet Group, Inc. (a)		3,800		23,484
TrueCar, Inc. (a)		59,215		159,880
				3,198,738
Pharmaceuticals, Biotechnology & Life Sciences - 1.3%
Amneal Pharmaceuticals, Inc. (a)		100		487
Amphastar Pharmaceuticals, Inc. (a)		6,418		119,632
Fluidigm Corp. (a)		4,200		18,312
Innoviva, Inc. (a)		3,260		45,542
Intersect ENT, Inc. (a)		1,254		13,982
Mallinckrodt PLC (a)(b)(c)		800		2,256
Medpace Holdings, Inc. (a)		9,273		860,720
NeoGenomics, Inc. (a)		33,867		903,910
Phibro Animal Health Corp.		7,309		191,496
Supernus Pharmaceuticals, Inc. (a)		600		14,472
				2,170,809
Real Estate - 0.3%
eXp World Holdings, Inc. (a)(c)		5,578		59,629
Forestar Group, Inc. (a)		3,362		51,002
Marcus & Millichap, Inc. (a)		7,945		219,044
Newmark Group, Inc.		29,800		126,650
RE/MAX Holdings, Inc.		1,466		41,033
Realogy Holdings Corp.		372		2,254
				499,612
Retailing - 5.9%
1-800-Flowers.com, Inc. (a)		26,767		592,621
Aaron’s, Inc.		22,093		815,453
Abercrombie & Fitch Co.		2,722		31,630
American Eagle Outfitters, Inc.		33,616		307,922
America’s Car-Mart, Inc. (a)		5,733		456,175
Asbury Automotive Group, Inc. (a)		6,130		443,076
Bed Bath & Beyond, Inc. (c)		9,872		71,769
Big Lots, Inc.		5,261		203,864
Caleres, Inc.		13,004		93,239
Citi Trends, Inc.		8,899		144,520
Core-Mark Holding Co., Inc.		7,369		206,185
Dillard’s, Inc. (c)		3,517		105,545
Duluth Holdings, Inc. (a)		131		595
Funko, Inc. (a)		5,100		28,815
Genesco, Inc. (a)		7,112		131,501
Group 1 Automotive, Inc.		2,074		130,538
Groupon, Inc. (a)		164,594		209,857
Guess?, Inc.		479		4,584
Haverty Furniture Cos., Inc.		25,451		440,302
Hibbett Sports, Inc. (a)		11,396		220,171
Hudson Ltd. (a)(b)		27,019		136,176
J.C. Penney Co., Inc. (a)(c)		12,500		2,731
Lands’ End, Inc. (a)		7,217		45,323
Liquidity Services, Inc. (a)		34,398		196,413
Lithia Motors, Inc.		934		112,631
MarineMax, Inc. (a)		3,676		69,954
Michaels Cos., Inc. (a)(c)		56,187		216,882
Murphy USA, Inc. (a)		3,696		429,106
Office Depot, Inc.		47,000		116,090
PetMed Express, Inc.		139		5,018

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

Elements Portfolios Annual Report May 31, 2020

22

Schedule of Investments as of May 31, 2020

ELEMENTS U.S. SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Retailing - 5.9% (continued)
Quotient Technology, Inc. (a)		13,400	$	93,264
Rent-A-Center, Inc.		29,410		748,779
RH (a)		959		207,997
Sally Beauty Holdings, Inc. (a)		47,376		617,783
Shoe Carnival, Inc. (c)		8,544		222,059
Shutterstock, Inc.		332		12,589
Signet Jewelers Ltd. (b)		3,200		33,760
Sleep Number Corp. (a)		2,499		77,894
Sonic Automotive, Inc.		6,409		168,428
Sportsman’s Warehouse Holdings, Inc. (a)		42,534		475,105
Stamps.com, Inc. (a)		2,977		589,892
The Buckle, Inc.		1,532		21,570
The Cato Corp. - Class A		17,041		165,298
The Children’s Place, Inc.		258		10,743
The Rubicon Project, Inc. (a)		1		6
Tilly’s, Inc.		50,770		259,942
Zumiez, Inc. (a)		2,046		49,861
				9,723,656
Semiconductors & Semiconductor Equipment - 1.7%
Amkor Technology, Inc. (a)		20,000		211,600
Axcelis Technologies, Inc. (a)		1,985		53,297
CEVA, Inc. (a)		501		17,269
Cirrus Logic, Inc. (a)		2,910		210,917
Diodes, Inc. (a)		10,003		486,546
DSP Group, Inc. (a)		4,300		77,486
FormFactor, Inc. (a)		15,311		385,378
GSI Technology, Inc. (a)		505		3,803
Lattice Semiconductor Corp. (a)		10,428		259,344
MaxLinear, Inc. (a)		882		15,276
NeoPhotonics Corp. (a)		17,200		149,124
Onto Innovation, Inc. (a)		1		31
PDF Solutions, Inc. (a)		9,675		165,056
Photronics, Inc. (a)		28,892		346,415
Power Integrations, Inc.		173		18,745
Semtech Corp. (a)		200		10,636
Sigma Designs, Inc. (a)(c)		9,834		2,104
SMART Global Holdings, Inc. (a)(b)		1,008		26,994
Synaptics, Inc. (a)		3,586		228,500
Ultra Clean Holdings, Inc. (a)		2,100		43,533
Xperi Corp.		4,874		67,018
				2,779,072
Software & Services - 7.4%
A10 Networks, Inc. (a)		52,528		357,190
Agilysys, Inc. (a)		27,120		521,518
American Software, Inc. - Class A		28,860		561,327
Appfolio, Inc. (a)		8,962		1,420,567
Brightcove, Inc. (a)		27,211		218,504
ChannelAdvisor Corp. (a)		30,650		427,567
CommVault Systems, Inc. (a)		3,625		146,667
Conduent, Inc. (a)		16,800		40,152
CSG Systems International, Inc.		2,283		108,100
Digital Turbine, Inc. (a)		4,800		30,816
eGain Corp. (a)		1,600		16,656
Endurance International Group Holdings, Inc. (a)		25,588		91,605
Everbridge, Inc. (a)		4,796		701,463

	SHARES		FAIR VALUE
Software & Services - 7.4% (continued)
ExlService Holdings, Inc. (a)		1,293	$	79,093
J2 Global, Inc.		785		61,465
Limelight Networks, Inc. (a)		7,824		38,650
LivePerson, Inc. (a)		7,227		270,651
ManTech International Corp. - Class A		20,780		1,615,437
MAXIMUS, Inc.		7,343		528,843
Mitek Systems, Inc. (a)		6,348		59,227
MobileIron, Inc. (a)		34,631		156,532
Model N, Inc. (a)		5,765		185,172
NIC, Inc.		20,038		482,114
OneSpan, Inc. (a)		5,715		116,129
Perficient, Inc. (a)		27,573		938,585
Perspecta, Inc.		14,828		328,737
Progress Software Corp.		267		10,787
QAD, Inc.		9,413		429,892
Rapid7, Inc. (a)		400		19,556
Rimini Street, Inc. (a)		1,600		7,376
Rosetta Stone, Inc. (a)		15,141		281,320
Science Applications International Corp.		1,016		89,449
Sykes Enterprises, Inc. (a)		14,909		406,419
Synchronoss Technologies, Inc. (a)		9,923		27,040
Telenav, Inc. (a)		29,398		145,520
The Hackett Group, Inc.		31,535		434,868
TiVo Corp.		3,100		18,879
TTEC Holdings, Inc.		7,473		316,556
Unisys Corp. (a)		20,219		229,688
Verint Systems, Inc. (a)		100		4,637
Virtusa Corp. (a)		2,010		60,441
Workiva, Inc. (a)		4,642		206,755
				12,191,950
Technology Hardware & Equipment - 4.8%
3D Systems Corp. (a)		2,300		16,951
ADTRAN, Inc.		32,574		371,344
Anixter International, Inc. (a)		6,637		635,227
Avid Technology, Inc. (a)		2,755		19,450
Badger Meter, Inc.		842		51,522
Belden, Inc.		800		27,232
Benchmark Electronics, Inc.		13,177		279,221
CalAmp Corp. (a)		3,800		29,260
Calix, Inc. (a)		17,693		249,471
Comtech Telecommunications Corp.		8,134		144,867
CTS Corp.		2,985		63,700
Daktronics, Inc.		99,816		423,220
Digi International, Inc. (a)		17,063		189,911
Extreme Networks, Inc. (a)		14,904		49,183
Fabrinet (a)(b)		5,390		344,637
FARO Technologies, Inc. (a)		100		5,628
Harmonic, Inc. (a)		1,900		10,241
Insight Enterprises, Inc. (a)		127		6,510
Iteris, Inc. (a)		4,810		23,136
Itron, Inc. (a)		500		32,210
KEMET Corp.		2,348		63,467
Knowles Corp. (a)		2,259		33,975
KVH Industries, Inc. (a)		29,630		272,300
Methode Electronics, Inc.		4,518		141,639
MTS Systems Corp.		900		15,849
Napco Security Technologies, Inc. (a)		13		295

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

Elements Portfolios Annual Report May 31, 2020

23

Schedule of Investments as of May 31, 2020

ELEMENTS U.S. SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Technology Hardware & Equipment - 4.8% (continued)
NETGEAR, Inc. (a)		2,833	$	72,893
NetScout Systems, Inc. (a)		720		19,778
Novanta, Inc. (a)(b)		15,942		1,637,403
OSI Systems, Inc. (a)		1,404		106,381
PC Connection, Inc.		2,600		112,528
Plexus Corp. (a)		700		44,954
Ribbon Communications, Inc. (a)		52,088		229,187
Sanmina Corp. (a)		8,861		235,791
Tech Data Corp. (a)		8,157		1,111,310
TTM Technologies, Inc. (a)		14,021		162,223
Vishay Intertechnology, Inc.		21,864		355,509
Vishay Precision Group, Inc. (a)		12,542		296,242
				7,884,645
Telecommunication Services - 0.5%
Consolidated Communications Holdings, Inc. (a)		38,984		236,243
Frontier Communications Corp. (a)(c)		3,000		282
IDT Corp. - Class B (a)		811		5,141
Ooma, Inc. (a)		8,644		108,396
ORBCOMM, Inc. (a)		11,200		30,688
Spok Holdings, Inc.		22,970		235,902
Vonage Holdings Corp. (a)		26,833		258,402
				875,054
Transportation - 1.5%
ArcBest Corp.		8,211		183,844
Costamare, Inc. (b)		9,681		44,533
Echo Global Logistics, Inc. (a)		27,772		574,880
Forward Air Corp.		5,142		255,455
Heartland Express, Inc.		13,094		286,759
Hub Group, Inc. (a)		7,989		373,646
Marten Transport Ltd.		7,787		199,269
Mesa Air Group, Inc. (a)		17,100		55,575
Radiant Logistics, Inc. (a)		115,156		459,472
Safe Bulkers, Inc. (a)(b)		4,300		4,386
				2,437,819
Utilities - 0.6%
American States Water Co.		290		23,783
Atlantic Power Corp. (a)(b)		48,815		102,512
Avista Corp.		800		31,336
Consolidated Water Co., Ltd. (b)		17,890		265,309
El Paso Electric Co.		600		40,782
Genie Energy Ltd. - Class B		4,422		38,073
MGE Energy, Inc.		300		20,367
NorthWestern Corp.		400		24,048
Ormat Technologies, Inc.		300		21,843
Otter Tail Corp.		1,835		78,740
Portland General Electric Co.		5,720		269,469
Pure Cycle Corp. (a)		100		1,016
				917,278
TOTAL COMMON STOCKS (Cost $111,600,506)				144,617,357

	SHARES		FAIR VALUE
RIGHTS - 0.0% (e)
NewStar Financial, Inc. (a)(d)		4,220	$	1,013
TOTAL RIGHTS (Cost $0)				1,013
SHORT-TERM INVESTMENTS - 11.6%
Money Market Funds - 4.5%
Fidelity Investments Money Market Funds - Government Portfolio, 0.08% (f)		1,488,571		1,488,571
First American Government Obligations Fund, 0.09% (f)		1,488,570		1,488,570
First American Treasury Obligations Fund, 0.10% (f)		1,488,570		1,488,570
Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class, 0.09% (f)		1,488,570		1,488,570
STIT - Treasury Portfolio - Institutional Class, 0.08% (f)		1,488,571		1,488,571
				7,442,852
	PRINCIPAL AMOUNT		FAIR VALUE
U.S. Treasury Bills - 7.1%
0.116%, 8/20/20 (g)(h)	$	11,500,000		11,496,486
1.425%, 1/28/21 (g)(h)		118,000		117,867
				11,614,353
TOTAL SHORT-TERM INVESTMENTS (Cost $19,056,811)				19,057,205
INVESTMENTS PURCHASED WITH THE CASH PROCEEDS FROM SECURITIES LENDING - 1.4%
BlackRock Liquidity Funds FedFund Portfolio, 0.11% (f)		2,294,523		2,294,523
TOTAL INVESTMENTS PURCHASED WITH THE CASH PROCEEDS FROM SECURITIES LENDING (Cost $2,294,523)				2,294,523
TOTAL INVESTMENTS (Cost $132,951,840) - 101.0%				165,970,098
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.0)%				(1,655,168)
TOTAL NET ASSETS - 100.0%			$164,314,930

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 $4,279,862 which represents 2.6% of net assets.

(c) This security or a portion of this security was out on loan as of May 31, 2020. Total loaned securities had a market value of $2,220,619 as of May 31, 2020.

(d) Value determined using significant unobservable inputs.

(e) Rounds to zero.

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

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

Elements Portfolios Annual Report May 31, 2020

24

Schedule of Investments as of May 31, 2020

ELEMENTS U.S. SMALL CAP PORTFOLIO

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

(h) This security or a portion of this security was held as collateral for derivative contracts as of May 31, 2020. The total market value of the collateral was $1,767,210 as of May 31, 2020.

The Global Industry Classification Standard (GICS^®) was developed by and/or is the exclusive property of Morgan Stanley Capital International, 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.

Open Futures Contracts

DESCRIPTION	NUMBER OF CONTRACTS PURCHASED		NOTIONAL VALUE		VALUE/ UNREALIZED APPRECIATION
FUTURES CONTRACTS PURCHASED
Russell 2000 E-mini Index, June 2020 Settlement		274	$	19,081,360	$	2,883,140
TOTAL FUTURES CONTRACTS PURCHASED			$	19,081,360	$	2,883,140

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

Elements Portfolios Annual Report May 31, 2020

25

Schedule of Investments as of May 31, 2020

ELEMENTS INTERNATIONAL PORTFOLIO

	SHARES		FAIR VALUE
COMMON STOCKS - 90.4%
Australia - 1.3%
Ampol Ltd.		2,962	$	53,587
BHP Group Ltd.		28,964		681,693
CIMIC Group Ltd.		14,024		233,837
Rio Tinto Ltd.		4,914		306,925
Sonic Healthcare Ltd.		2,441		45,887
Wesfarmers Ltd.		8,766		236,107
Woolworths Group Ltd.		27,581		649,712
				2,207,748
Austria - 0.4%
Andritz AG (a)		4,962		185,905
OMV AG		9,670		319,534
Verbund AG		1,698		75,706
voestalpine AG		900		17,577
				598,722
Belgium - 0.4%
Ageas		10		341
Colruyt S.A.		3,397		205,038
Proximus SADP		6,715		139,325
Solvay S.A. - Class A		2,009		153,408
UCB S.A.		1,788		178,952
				677,064
Bermuda - 0.6%
Dairy Farm International Holdings Ltd.		173,200		731,926
Jardine Matheson Holdings Ltd.		6,900		277,471
Kerry Properties Ltd.		25,500		60,647
				1,070,044
Canada - 4.6%
Air Canada (a)		5,100		58,895
Alimentation Couche-Tard, Inc. (a)(b)		20,052		627,694
Bank of Nova Scotia (a)		200		8,014
Canadian Imperial Bank of Commerce (a)		400		25,650
Canadian Natural Resources Ltd. (a)		1,500		27,400
Cenovus Energy, Inc. (a)		29,827		129,979
CI Financial Corp. (a)		11,118		131,783
Empire Co., Ltd. (a)		13,565		306,994
George Weston Ltd. (a)		7,978		576,310
Great-West Lifeco, Inc.		37,313		607,588
iA Financial Corp, Inc. (a)		600		19,161
Imperial Oil Ltd. (a)		29,496		460,805
Loblaw Cos., Ltd. (a)		15,444		764,544
Magna International, Inc. (a)		34,803		1,467,598
National Bank of Canada (a)		200		8,710
Onex Corp.		3,700		173,626
Parkland Corp. (a)		1,721		48,398
Power Corp. of Canada		35,484		577,548
Royal Bank of Canada (a)		16,754		1,086,999
Sun Life Financial, Inc. (a)		11,033		378,464
Suncor Energy, Inc. (a)		1,900		32,664
				7,518,824
Cayman Islands - 0.4%
CK Hutchison Holdings Ltd.		36,000		221,648
Sands China Ltd.		23,600		92,703

	SHARES		FAIR VALUE
Cayman Islands - 0.4% (continued)
WH Group Ltd. (c)		369,000	$	321,010
				635,361
Denmark - 1.7%
A.P. Moller - Maersk - Class A		482		442,693
A.P. Moller - Maersk - Class B		384		378,594
Carlsberg A/S		467		60,529
Danske Bank A/S (a)		364		4,516
ISS A/S (a)		30,050		502,110
Novo Nordisk A/S		9,257		606,377
Pandora A/S		17,400		871,819
				2,866,638
Finland - 0.6%
Elisa OYJ		34		2,119
Kone OYJ		6,091		409,420
Neste OYJ		3,052		124,366
Stora Enso OYJ		16,343		200,581
UPM-Kymmene OYJ		10,168		293,385
				1,029,871
Germany - 7.5%
adidas AG (a)		859		227,813
Allianz SE		8,764		1,588,354
BASF SE		8,524		463,943
Beiersdorf AG		1,855		194,848
Brenntag AG		14,564		774,855
Continental AG		6,748		667,328
Covestro AG (c)		14,571		541,706
Deutsche Lufthansa AG (a)(b)		7,853		79,831
Deutsche Post AG		18,861		590,693
Deutsche Telekom AG		58,899		924,340
Fresenius SE & Co. KGaA		600		29,006
GEA Group AG		8,149		244,238
HeidelbergCement AG		11,914		595,953
Henkel AG & Co. KGaA		6,191		497,892
Hochtief AG		11,316		1,002,587
KION Group AG (a)		2,357		131,954
Knorr-Bremse AG		1,438		152,302
Metro AG		82,272		769,581
Puma SE (a)		3,773		271,438
Siemens AG		6,395		705,079
Siemens Healthineers AG (c)		1,600		83,074
Telefonica Deutschland Holding AG		156,148		476,203
Uniper SE		29,330		917,338
United Internet AG		1,975		81,355
Volkswagen AG		995		158,308
Zalando SE (a)(c)		1,603		109,002
				12,279,021
Hong Kong - 0.3%
Galaxy Entertainment Group Ltd.		63,000		430,639
Hong Kong & China Gas Co., Ltd.		240		405
I-CABLE Communications Ltd. (a)		9,655		66
				431,110

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

Elements Portfolios Annual Report May 31, 2020

26

Schedule of Investments as of May 31, 2020

ELEMENTS INTERNATIONAL PORTFOLIO

	SHARES		FAIR VALUE
Israel - 0.1%
Check Point Software Technologies Ltd. (a)(b)		336	$	36,849
ICL Group Ltd.		25,209		87,898
Mizrahi Tefahot Bank Ltd.		1,056		20,672
				145,419
Italy - 0.7%
Assicurazioni Generali S.p.A.		8,065		112,435
Eni S.p.A.		49,472		449,925
Intesa Sanpaolo S.p.A.		111,700		194,366
Moncler S.p.A.		600		22,483
Pirelli & C. S.p.A. (a)(c)		30,709		138,207
Prysmian S.p.A.		10,268		220,074
				1,137,490
Japan - 31.4%
ABC-Mart, Inc. (b)		6,400		388,754
Advantest Corp.		2,500		124,074
Aeon Co., Ltd.		33,800		749,024
Air Water, Inc.		3,400		49,495
Aisin Seiki Co., Ltd.		8,000		253,326
Ajinomoto Co., Inc.		12,900		220,082
Alfresa Holdings Corp.		26,600		536,925
Amada Holdings Co., Ltd.		10,000		89,361
Aozora Bank Ltd.		10,500		195,000
Asahi Group Holdings Ltd.		7,600		285,987
Astellas Pharma, Inc.		22,200		396,668
Bandai Namco Holdings, Inc.		5,300		294,663
Benesse Holdings, Inc.		11,700		317,432
Bridgestone Corp.		18,500		614,018
Brother Industries Ltd.		30,000		567,716
Canon, Inc.		13,600		279,270
Casio Computer Co., Ltd.		8,200		144,818
Coca-Cola Bottlers Japan, Inc.		3,800		75,455
CyberAgent, Inc.		3,300		166,876
Dai Nippon Printing Co., Ltd.		14,300		325,992
Daicel Corp.		20,500		173,985
Daiichi Sankyo Co., Ltd.		100		9,397
Daikin Industries Ltd.		1,900		279,766
Daito Trust Construction Co., Ltd.		4,900		518,476
Daiwa House Industry Co., Ltd.		5,000		124,063
Denso Corp.		19,000		731,843
Disco Corp.		400		89,613
Eisai Co., Ltd.		400		31,397
Fast Retailing Co., Ltd.		900		505,877
Fuji Electric Co., Ltd.		6,100		162,961
Fujifilm Holdings Corp.		9,900		454,079
Fujitsu Ltd.		6,200		638,898
Hakuhodo DY Holdings, Inc.		40,200		500,622
Hamamatsu Photonics KK		1,700		77,238
Hino Motors Ltd.		54,000		366,151
Hirose Electric Co., Ltd.		670		80,099
Hisamitsu Pharmaceutical Co., Inc.		100		5,063
Hitachi Construction Machinery Co., Ltd.		6,100		160,912
Hitachi Ltd.		27,600		891,459
Hoshizaki Corp.		2,200		177,615
Hoya Corp.		1,900		178,777
Idemitsu Kosan Co., Ltd.		2,079		46,286

	SHARES		FAIR VALUE
Japan - 31.4% (continued)
Iida Group Holdings Co., Ltd.		15,900	$	236,318
Inpex Corp.		6,100		42,714
Isetan Mitsukoshi Holdings Ltd.		63,400		425,521
Isuzu Motors Ltd.		48,000		450,847
Itochu Corp.		50,400		1,083,826
Itochu Techno-Solutions Corp.		4,700		159,074
Japan Tobacco, Inc.		19,700		390,970
JSR Corp.		3,500		68,950
JTEKT Corp.		30,300		245,317
JXTG Holdings, Inc.		36,800		142,230
Kamigumi Co., Ltd.		10,800		211,664
Kansai Paint Co., Ltd.		1,700		35,239
Kao Corp.		1,600		128,800
Kawasaki Heavy Industries Ltd.		9,500		150,899
KDDI Corp.		45,900		1,339,784
Kikkoman Corp.		4,000		201,826
Kirin Holdings Co., Ltd.		100		2,052
Koito Manufacturing Co., Ltd.		8,100		344,524
Konica Minolta, Inc.		23,000		85,451
Kose Corp.		1,600		201,491
Kuraray Co., Ltd.		1,300		13,686
Kurita Water Industries Ltd.		2,200		60,913
Kyocera Corp.		2,900		157,092
Lawson, Inc.		2,500		138,690
LIXIL Group Corp.		24,400		340,872
M3, Inc.		3,900		157,538
Marubeni Corp.		137,800		670,910
Maruichi Steel Tube Ltd.		8,300		212,932
Mazda Motor Corp.		68,300		440,911
McDonald’s Holdings Co., Japan Ltd.		700		37,252
Medipal Holdings Corp.		25,800		511,109
MEIJI Holdings Co., Ltd.		3,900		294,500
MISUMI Group, Inc.		11,600		308,766
Mitsubishi Chemical Holdings Corp.		122,300		720,392
Mitsubishi Corp.		39,300		918,489
Mitsubishi Electric Corp.		65,000		858,094
Mitsubishi Gas Chemical Co., Inc.		23,000		343,761
Mitsubishi Materials Corp.		9,300		212,160
Mitsubishi Motors Corp.		110,000		311,614
Mitsubishi UFJ Financial Group, Inc.		200,700		833,132
Mitsui Chemicals, Inc.		4,900		102,181
Nabtesco Corp.		1,300		40,579
NEC Corp.		14,100		633,968
Nexon Co., Ltd.		3,200		66,675
NH Foods Ltd.		8,600		318,208
Nikon Corp.		24,400		224,577
Nintendo Co., Ltd.		1,000		406,579
Nippon Express Co., Ltd.		5,300		272,642
Nippon Paint Holdings Co., Ltd.		600		41,987
Nippon Telegraph & Telephone Corp.		24,000		546,268
Nissan Chemical Corp.		4,700		208,533
Nissan Motor Co., Ltd.		154,200		584,376
Nisshin Seifun Group, Inc.		13,100		204,465
Nitori Holdings Co., Ltd.		2,500		452,635
Nitto Denko Corp.		10,300		559,296
Nomura Research Institute Ltd.		7,600		201,550
NSK Ltd.		22,300		164,021

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

Elements Portfolios Annual Report May 31, 2020

27

Schedule of Investments as of May 31, 2020

ELEMENTS INTERNATIONAL PORTFOLIO

	SHARES		FAIR VALUE
Japan - 31.4% (continued)
NTT DOCOMO, Inc.		18,200	$	500,203
Obayashi Corp.		31,200		289,311
Omron Corp.		4,700		312,098
Ono Pharmaceutical Co., Ltd.		5,000		143,416
Oracle Corp.		1,000		116,997
Otsuka Corp.		5,300		256,660
Otsuka Holdings Co., Ltd.		6,600		297,674
Pan Pacific International Holdings Corp.		2,800		56,461
Panasonic Corp.		93,200		834,969
Persol Holdings Co., Ltd.		39,700		524,669
Rakuten, Inc.		4,800		43,701
Recruit Holdings Co., Ltd.		21,000		723,386
Ricoh Co., Ltd.		58,300		432,129
Rinnai Corp.		3,300		278,792
Ryohin Keikaku Co., Ltd.		11,700		177,436
Secom Co., Ltd.		2,300		199,638
Sega Sammy Holdings, Inc.		5,700		74,402
Seiko Epson Corp.		20,400		231,158
Sekisui House Ltd.		31,200		595,581
Seven & i Holdings Co., Ltd.		25,200		864,388
Shimadzu Corp.		10,100		274,627
Shimamura Co., Ltd.		7,900		556,280
Shimano, Inc.		900		165,538
Shionogi & Co., Ltd.		2,000		118,602
Showa Denko KK		11,900		285,716
Sohgo Security Services Co., Ltd.		3,100		152,627
Sompo Holdings, Inc.		10,500		374,553
Sony Corp.		5,200		336,783
Sony Financial Holdings, Inc.		4,900		118,296
Square Enix Holdings Co., Ltd.		700		34,100
Stanley Electric Co., Ltd.		8,900		217,429
Subaru Corp.		10,400		230,409
Sumitomo Chemical Co., Ltd.		54,000		167,810
Sumitomo Corp.		38,500		463,890
Sumitomo Electric Industries Ltd.		45,600		533,497
Sumitomo Mitsui Financial Group, Inc.		1,800		52,240
Sumitomo Rubber Industries Ltd.		14,700		150,158
Sundrug Co., Ltd.		12,400		417,697
Suntory Beverage & Food Ltd.		10,800		441,993
Suzuken Co., Ltd.		18,700		680,333
Suzuki Motor Corp.		16,800		585,643
Sysmex Corp.		3,100		248,774
Taiheiyo Cement Corp.		7,900		187,246
Taisei Corp.		8,300		288,323
Taisho Pharmaceutical Holdings Co., Ltd.		3,200		203,818
Terumo Corp.		1,900		74,734
Toho Co., Ltd.		5,800		213,248
Toho Gas Co., Ltd.		1,800		89,334
Tokyo Electric Power Co. Holdings, Inc. (a)		13,500		45,639
Tokyo Electron Ltd.		1,700		342,097
Tokyo Gas Co., Ltd.		4,600		110,133
Toppan Printing Co., Ltd.		5,600		95,966
Toshiba Corp.		1,600		43,881
Tosoh Corp.		23,900		333,283
TOTO Ltd.		8,300		330,493
Toyo Suisan Kaisha Ltd.		5,600		293,456
Toyoda Gosei Co., Ltd.		14,500		311,282

	SHARES		FAIR VALUE
Japan - 31.4% (continued)
Toyota Industries Corp.		1,300	$	66,792
Toyota Motor Corp.		9,900		623,921
Toyota Tsusho Corp.		4,600		117,037
Trend Micro, Inc.		2,300		126,597
Tsuruha Holdings, Inc.		2,700		399,757
Unicharm Corp.		5,500		205,375
USS Co., Ltd.		5,500		95,904
Welcia Holdings Co., Ltd.		6,300		530,066
Yakult Honsha Co., Ltd.		3,700		227,300
Yamada Denki Co., Ltd.		74,700		363,527
Yamaha Corp.		3,900		190,261
Yamaha Motor Co., Ltd.		5,700		82,566
Yamato Holdings Co., Ltd.		14,100		313,696
Yamazaki Baking Co., Ltd.		33,700		604,139
Yokogawa Electric Corp.		12,300		177,910
Yokohama Rubber Co., Ltd.		7,300		110,681
ZOZO, Inc.		5,900		108,814
				51,665,703
Luxembourg - 0.2%
ArcelorMittal S.A. (a)		10,542		100,966
Tenaris S.A.		30,468		191,744
				292,710
Netherlands - 3.4%
CNH Industrial N.V. (a)		69,487		424,077
EXOR N.V.		16,927		913,183
Heineken Holding N.V.		3,099		254,907
ING Groep N.V.		32,964		214,319
Koninklijke Ahold Delhaize N.V.		63,791		1,617,352
Koninklijke KPN N.V.		101,405		247,871
Koninklijke Philips N.V. (a)		5,894		267,959
Randstad Holding N.V.		37,536		1,572,090
				5,511,758
Norway - 0.6%
Equinor ASA		51,674		753,595
Mowi ASA		2,055		38,733
Norsk Hydro ASA (a)		36,500		92,787
Orkla ASA		5,998		53,872
				938,987
Portugal - 0.5%
Galp Energia SGPS S.A.		23,866		283,962
Jeronimo Martins SGPS S.A. (a)		28,280		482,222
				766,184
Singapore - 0.4%
Genting Singapore Ltd.		177,600		98,962
Jardine Cycle & Carriage Ltd.		9,100		141,290
Oversea-Chinese Banking Corp., Ltd.		46,200		280,506
Venture Corp., Ltd.		11,200		121,711
				642,469
Spain - 1.4%
ACS, Actividades de Construccion y Servicios S.A.		274		7,012
Banco Santander S.A.		4,700		10,746
Bankia S.A.		233,802		205,868

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

Elements Portfolios Annual Report May 31, 2020

28

Schedule of Investments as of May 31, 2020

ELEMENTS INTERNATIONAL PORTFOLIO

	SHARES		FAIR VALUE
Spain - 1.4% (continued)
Endesa S.A.		3,594	$	85,847
Industria de Diseno Textil S.A.		28,987		807,388
Repsol S.A.		86,214		811,711
Siemens Gamesa Renewable Energy S.A. (a)		2,677		45,481
Telefonica S.A.		86,640		405,709
				2,379,762
Sweden - 2.3%
Assa Abloy AB		4,137		84,438
Atlas Copco AB - Class A		1		40
Electrolux AB		6,894		113,667
Electrolux Professional AB (a)		6,894		24,956
Epiroc AB - Class A		11,345		126,991
Epiroc AB - Class B		9,226		103,449
Essity AB (a)		5,136		170,107
Hennes & Mauritz AB - Class B		59,501		904,923
Husqvarna AB		23,213		172,142
ICA Gruppen AB		10,781		507,762
Sandvik AB (a)		14,077		235,333
Securitas AB - Class B (a)		3,749		50,053
Skanska AB (a)		25,612		514,874
SKF AB		17,657		326,447
Telefonaktiebolaget LM Ericsson		12,163		111,381
Volvo AB (a)		24,237		345,847
				3,792,410
Switzerland - 5.3%
Adecco Group AG		28,475		1,369,191
Chocoladefabriken, Lindt & Spruengli AG		21		175,917
Clariant AG (a)		2,229		41,162
Dufry AG (a)		18,142		542,934
EMS-Chemie Holding AG		269		199,873
Kuehne + Nagel International AG (a)		10,438		1,509,625
LafargeHolcim Ltd.		14,449		602,459
Nestle S.A.		2,610		283,386
Novartis AG		1,295		112,737
Roche Holding AG		6,238		2,165,346
Schindler Holding AG - Registered Shares		666		155,595
Schindler Holding AG - Participation Shares		2,829		660,612
Sonova Holding AG		1,723		379,852
Swatch Group AG		2,364		92,601
Swatch Group AG - Class B		635		128,099
Swiss Re AG		1,122		76,623
Swisscom AG		545		283,619
				8,779,631
United Kingdom - 0.1%
Coca-Cola European Partners PLC		4,019		151,516
United States - 26.2%
Alphabet, Inc. - Class C (a)(d)		3,375		4,822,605
Cadence Design Systems, Inc. (a)(d)		33,748		3,080,855
Comcast Corp. (d)		108,331		4,289,907
Gilead Sciences, Inc. (d)		50,622		3,939,910
Intuit, Inc. (d)		16,874		4,898,860
JPMorgan Chase & Co.		64,121		6,239,614
Lockheed Martin Corp. (d)		16,874		6,554,536

	SHARES		FAIR VALUE
United States - 26.2% (continued)
Maxim Integrated Products, Inc. (d)		33,748	$	1,946,585
Okta, Inc. (a)		12,824		2,508,118
Texas Instruments, Inc. (d)		34,760		4,127,402
Western Digital Corp. (d)		14,512		643,897
				43,052,289
TOTAL COMMON STOCKS (Cost $148,753,960)				148,570,731
REAL ESTATE INVESTMENT TRUSTS - 6.1%
United States - 6.1%
American Tower Corp. (d)		11,137		2,875,239
Crown Castle International Corp. (d)		41,510		7,146,361
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $9,268,545)				10,021,600
SHORT-TERM INVESTMENTS - 5.1%
Money Market Funds - 1.4%
Fidelity Investments Money Market Funds - Government Portfolio, 0.08% (e)		467,243		467,243
Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class, 0.09% (e)		467,243		467,243
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio, 0.05% (e)		467,243		467,243
STIT - Government & Agency Portfolio, 0.12% (e)		467,243		467,243
STIT - Treasury Portfolio - Institutional Class, 0.08% (e)		467,243		467,243
				2,336,215
	PRINCIPAL AMOUNT		FAIR VALUE
U.S. Treasury Bills - 3.7%
0.116%, 8/20/20 (f)	$	6,000,000		5,998,167
				5,998,167
TOTAL SHORT-TERM INVESTMENTS (Cost $8,334,682)				8,334,382
	SHARES		FAIR VALUE
INVESTMENTS PURCHASED WITH THE CASH PROCEEDS FROM SECURITIES LENDING - 0.5%
BlackRock Liquidity Funds FedFund Portfolio, 0.11% (e)		808,464		808,464
TOTAL INVESTMENTS PURCHASED WITH THE CASH PROCEEDS FROM SECURITIES LENDING (Cost $808,464)				808,464
TOTAL INVESTMENTS (Cost $167,165,651) - 102.1%				167,735,177
LIABILITIES IN EXCESS OF OTHER ASSETS - (2.1)%				(3,312,634)
TOTAL NET ASSETS - 100.0%			$	164,422,543

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

Elements Portfolios Annual Report May 31, 2020

29

Schedule of Investments as of May 31, 2020

ELEMENTS INTERNATIONAL PORTFOLIO

Percentages are stated as a percent of net assets.

PLC - Public Limited Company

(a) Non-income producing security.

(b) This security or a portion of this security was out on loan as of May 31, 2020. Total loaned securities had a market value of $768,406 as of May 31, 2020.

(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the

end of the period, the value of these securities totaled $1,192,999 or 0.7% of net assets.

(d) This security or a portion of this security was held as collateral for derivative contracts as of May 31, 2020. The total market value of the collateral was $26,651,674 as of May 31, 2020.

(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		VALUE/ UNREALIZED APPRECIATION/ (DEPRECIATION)
FUTURES CONTRACTS PURCHASED
Australian Dollar, June 2020 Settlement		22	$	1,465,200	$	70,691
British Pound, June 2020 Settlement		182		14,020,825		(385,309	)
Euro FX, June 2020 Settlement		130		18,039,125		331,631
Mini MSCI EAFE Index, June 2020 Settlement		312		26,919,360		1,536,689
TOTAL FUTURES CONTRACTS PURCHASED			$	60,444,510	$	1,553,702

Total Return Swaps - Long

COUNTERPARTY (a)

PORTFOLIO RECEIVES TOTAL RETURN ON REFERENCE ENTITY

PORTFOLIO PAYS BASE FINANCING RATE (b)

TERMINATION DATE

PAYMENT FREQUENCY

NOTIONAL VALUE

NUMBER OF UNITS

VALUE/UNREALIZED APPRECIATION (DEPRECIATION)

UBS

Accor S.A.

1-Month LIBOR EUR

5/13/2025

Term

$

472

20

$

93

GS

AGL Energy Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

354,900

30,565

(12,656

)

UBS

AIB Group PLC

3-Month LIBOR EUR

5/13/2025

Term

1,643

1,614

137

UBS

Air Liquide S.A.

1-Month LIBOR EUR

5/13/2025

Term

257,956

2,026

17,547

GS

Ampol Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

327,847

21,516

61,231

UBS

Anglo American PLC

1-Month LIBOR GBP

5/13/2025

Term

16,231

954

3,961

UBS

Antofagasta PLC

1-Month LIBOR GBP

5/13/2025

Term

39,716

4,037

4,354

MS

Arkema

1-Month LIBOR EUR

5/6/2025

Term

133,762

1,663

15,512

UBS

Arkema

1-Month LIBOR EUR

5/13/2025

Term

283,330

3,452

26,551

UBS

Associated British Foods PLC

1-Month LIBOR GBP

5/13/2025

Term

498,292

23,195

26,209

UBS

Atos SE

1-Month LIBOR EUR

5/13/2025

Term

221,969

3,172

19,456

MS

AXA S.A.

1-Month LIBOR EUR

5/6/2025

Term

1,003,917

58,658

72,340

UBS

BAE Systems PLC

1-Month LIBOR GBP

5/13/2025

Term

32,082

5,144

(342

)

UBS

Bank Of Ireland Group PLC

3-Month LIBOR EUR

5/13/2025

Term

56,744

38,291

11,640

UBS

Barratt Developments PLC

1-Month LIBOR GBP

5/13/2025

Term

232,575

39,340

10,709

UBS

Barratt Developments PLC

1-Month LIBOR GBP

5/13/2025

Term

25,831

504

(163

)

GS

BHP Group Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

39,846

1,960

6,262

UBS

BHP Group PLC

1-Month LIBOR GBP

5/13/2025

Term

571,366

34,418

105,350

GS

Bluescope Steel Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

466,719

72,037

63,767

UBS

Bollore

1-Month LIBOR EUR

5/13/2025

Term

386,419

137,267

7,755

MS

Bouygues S.A.

1-Month LIBOR EUR

5/6/2025

Term

645,158

22,217

36,441

UBS

Bouygues S.A.

1-Month LIBOR EUR

5/13/2025

Term

546,331

18,966

35,576

UBS

BP PLC

1-Month LIBOR GBP

5/13/2025

Term

605,595

162,560

15,875

UBS

BT Group PLC

1-Month LIBOR GBP

5/13/2025

Term

43,403

34,659

6,486

UBS

Bunzl PLC

1-Month LIBOR GBP

5/13/2025

Term

229,880

10,822

23,336

UBS

Burberry Group PLC

1-Month LIBOR GBP

5/13/2025

Term

199,227

11,866

22,302

UBS

Capgemini SE

1-Month LIBOR EUR

5/13/2025

Term

2,170

23

206

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

Elements Portfolios Annual Report May 31, 2020

30

Schedule of Investments as of May 31, 2020

ELEMENTS INTERNATIONAL PORTFOLIO

COUNTERPARTY (a)

PORTFOLIO RECEIVES TOTAL RETURN ON REFERENCE ENTITY

PORTFOLIO PAYS BASE FINANCING RATE (b)

TERMINATION DATE

PAYMENT FREQUENCY

NOTIONAL VALUE

NUMBER OF UNITS

VALUE/UNREALIZED APPRECIATION (DEPRECIATION)

MS

Carrefour S.A.

1-Month LIBOR EUR

5/6/2025

Term

$

42,006

2,881

$

1,828

UBS

Carrefour S.A.

1-Month LIBOR EUR

5/13/2025

Term

1,203,211

84,123

76,815

UBS

Casino Guichard Perrachon

1-Month LIBOR EUR

5/13/2025

Term

441,927

11,817

3,256

UBS

Centrica PLC

1-Month LIBOR GBP

5/13/2025

Term

322,967

745,475

15,158

GS

Cimic Group Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

77,569

5,001

5,776

UBS

CNP Assurances S.A.

1-Month LIBOR EUR

5/13/2025

Term

1,051

108

92

GS

Coles Group Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

510,604

47,228

(27,407

)

UBS

Compagnie De Saint Gobain

1-Month LIBOR EUR

5/13/2025

Term

252,753

9,563

60,209

UBS

Compass Group PLC

1-Month LIBOR GBP

5/13/2025

Term

122,410

8,649

4,349

UBS

CRH PLC

3-Month LIBOR EUR

5/13/2025

Term

50,089

1,751

6,857

UBS

Danone

1-Month LIBOR EUR

5/13/2025

Term

701,572

10,135

(4,258

)

UBS

Dassault Aviation S.A.

1-Month LIBOR EUR

5/13/2025

Term

217,470

286

24,119

UBS

DCC PLC

1-Month LIBOR GBP

5/13/2025

Term

184,004

2,560

33,720

UBS

Direct Line Insurance Group

1-Month LIBOR GBP

5/13/2025

Term

152,040

45,613

(2,664

)

MS

Eiffage

1-Month LIBOR EUR

5/6/2025

Term

608,680

7,620

86,882

UBS

Engie

1-Month LIBOR EUR

5/13/2025

Term

365,644

35,913

61,168

UBS

Eutelsat Communications

1-Month LIBOR EUR

5/13/2025

Term

133,068

13,448

1,579

UBS

Evraz PLC

1-Month LIBOR GBP

5/13/2025

Term

543,837

181,515

92,037

UBS

Faurecia

1-Month LIBOR EUR

5/13/2025

Term

510,060

15,492

90,608

UBS

Ferguson PLC

1-Month LIBOR GBP

5/13/2025

Term

568,832

7,646

34,051

GS

Fortescue Metals Group Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

608,062

79,603

128,526

UBS

G4S PLC

1-Month LIBOR GBP

5/13/2025

Term

45,337

40,898

432

UBS

Glencore PLC

1-Month LIBOR GBP

5/13/2025

Term

329,999

192,985

34,381

UBS

GVC Holdings PLC

1-Month LIBOR GBP

5/13/2025

Term

40,642

4,396

2,503

UBS

Iliad S.A.

1-Month LIBOR EUR

5/13/2025

Term

2,063

13

214

UBS

Imperial Brands PLC

1-Month LIBOR GBP

5/13/2025

Term

40,910

2,036

(3,259

)

UBS

ITV PLC

1-Month LIBOR GBP

5/13/2025

Term

46,174

54,565

8,226

UBS

JCDecaux Group

1-Month LIBOR EUR

5/13/2025

Term

47,170

2,204

(2,007

)

UBS

JD Sports Fashion PLC

1-Month LIBOR GBP

5/13/2025

Term

39,239

6,045

10,311

MS

Kingfisher PLC

1-Month LIBOR GBP

5/6/2025

Term

319,259

163,459

77,293

UBS

Kingfisher PLC

1-Month LIBOR GBP

5/13/2025

Term

531,588

249,312

73,356

UBS

Kingspan Group PLC

3-Month LIBOR EUR

5/13/2025

Term

86,119

1,621

13,830

UBS

Legrand S.A.

1-Month LIBOR EUR

5/13/2025

Term

73,776

1,140

4,335

UBS

L’Oreal

1-Month LIBOR EUR

5/13/2025

Term

160,992

591

12,360

UBS

Marks & Spencer Group PLC

1-Month LIBOR GBP

5/13/2025

Term

145,914

136,906

20,280

GS

Medibank Private Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

49,281

27,485

2,887

UBS

Meggitt PLC

1-Month LIBOR GBP

5/13/2025

Term

46,184

16,126

9,546

UBS

Melrose Industries PLC

1-Month LIBOR GBP

5/13/2025

Term

9,493

9,195

3,760

UBS

Michelin

1-Month LIBOR EUR

5/13/2025

Term

419,480

4,530

39,018

UBS

Micro Focus International PLC

1-Month LIBOR GBP

5/13/2025

Term

37,102

7,276

(1,269

)

MS

Mondi PLC

1-Month LIBOR GBP

5/6/2025

Term

108,709

6,501

13,555

UBS

Mondi PLC

1-Month LIBOR GBP

5/13/2025

Term

189,637

11,753

31,453

UBS

Next PLC

1-Month LIBOR GBP

5/13/2025

Term

165,488

2,920

11,062

UBS

Orange S.A.

1-Month LIBOR EUR

5/13/2025

Term

2,840

246

119

GS

Orica Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

108,080

9,623

3,435

GS

Origin Energy Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

11,396

3,461

2,202

MS

Pearson PLC

1-Month LIBOR GBP

5/6/2025

Term

36,301

6,532

1,037

UBS

Pearson PLC

1-Month LIBOR GBP

5/13/2025

Term

146,840

27,651

11,260

UBS

Persimmon PLC

1-Month LIBOR GBP

5/13/2025

Term

268,729

10,116

19,753

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

Elements Portfolios Annual Report May 31, 2020

31

Schedule of Investments as of May 31, 2020

ELEMENTS INTERNATIONAL PORTFOLIO

COUNTERPARTY (a)

PORTFOLIO RECEIVES TOTAL RETURN ON REFERENCE ENTITY

PORTFOLIO PAYS BASE FINANCING RATE (b)

TERMINATION DATE

PAYMENT FREQUENCY

NOTIONAL VALUE

NUMBER OF UNITS

VALUE/UNREALIZED APPRECIATION (DEPRECIATION)

MS

Publicis Groupe

1-Month LIBOR EUR

5/6/2025

Term

$

49,154

1,725

$

(2

)

UBS

Publicis Groupe

1-Month LIBOR EUR

5/13/2025

Term

199,937

7,603

16,718

GS

Qantas Airways Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

30,325

12,852

3,965

UBS

Rio Tinto PLC

1-Month LIBOR GBP

5/13/2025

Term

844,306

18,326

149,384

UBS

Rolls-Royce Holdings PLC

1-Month LIBOR GBP

5/13/2025

Term

45,196

14,190

3,159

UBS

Royal Dutch Shell PLC-A Shares

1-Month LIBOR GBP

5/13/2025

Term

1,355,540

86,740

30,927

UBS

Royal Dutch Shell PLC-B Shares

1-Month LIBOR GBP

5/13/2025

Term

1,108,648

73,377

23,054

UBS

RSA Insurance Group PLC

1-Month LIBOR GBP

5/13/2025

Term

99,812

21,944

7,630

UBS

Sage Group PLC

1-Month LIBOR GBP

5/13/2025

Term

337,433

40,988

16,964

UBS

Sainsbury (J) PLC

1-Month LIBOR GBP

5/13/2025

Term

233,225

98,332

2,502

UBS

Sanofi

1-Month LIBOR EUR

5/13/2025

Term

84,239

848

(1,289

)

GS

Santos Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

7,784

2,697

1,874

UBS

Sartorius Stedim Biotech

1-Month LIBOR EUR

5/13/2025

Term

51,906

200

2,532

UBS

Schneider Electric SE

1-Month LIBOR EUR

5/13/2025

Term

224,468

2,522

25,250

UBS

Schroders PLC

1-Month LIBOR GBP

5/13/2025

Term

196,474

5,696

13,067

MS

Scor SE

1-Month LIBOR EUR

5/6/2025

Term

627,616

22,909

(53,147

)

UBS

SEB S.A.

1-Month LIBOR EUR

5/13/2025

Term

1,947

17

420

UBS

SES S.A.

1-Month LIBOR EUR

5/13/2025

Term

31,789

4,902

4,528

UBS

Smurfit Kappa Group PLC

3-Month LIBOR EUR

5/13/2025

Term

94,378

3,030

4,560

MS

Sodexo S.A.

1-Month LIBOR EUR

5/6/2025

Term

294,768

3,934

(29,377

)

UBS

Sodexo S.A.

1-Month LIBOR EUR

5/13/2025

Term

102,274

1,532

1,086

GS

South32 Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

14,667

11,581

(32

)

UBS

STMicroelectronics N.V.

1-Month LIBOR EUR

5/13/2025

Term

25,981

1,027

(475

)

MS

Suez

1-Month LIBOR EUR

5/6/2025

Term

533,209

49,715

54,724

UBS

Suez

1-Month LIBOR EUR

5/13/2025

Term

189,526

16,641

7,286

GS

Suncorp Group Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

18,349

3,100

758

GS

Tabcorp Holdings Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

4,352

2,259

507

UBS

Taylor Wimpey PLC

1-Month LIBOR GBP

5/13/2025

Term

360,712

205,832

7,901

GS

Telstra Corp. Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

322,135

156,911

13,752

UBS

Tesco PLC

1-Month LIBOR GBP

5/13/2025

Term

265,902

86,747

(12,685

)

UBS

Thales S.A.

1-Month LIBOR EUR

5/13/2025

Term

989

14

82

MS

Total S.A.

1-Month LIBOR EUR

5/6/2025

Term

390,813

11,547

47,038

UBS

Total S.A.

1-Month LIBOR EUR

5/13/2025

Term

1,670,217

48,396

165,050

UBS

TUI AG

1-Month LIBOR GBP

5/13/2025

Term

44,591

13,887

31,126

UBS

Valeo S.A.

1-Month LIBOR EUR

5/13/2025

Term

602,641

29,854

135,335

UBS

Veolia Environnement

1-Month LIBOR EUR

5/13/2025

Term

394,850

19,480

34,111

UBS

Vinci S.A.

1-Month LIBOR EUR

5/13/2025

Term

12,930

159

1,904

UBS

Vodafone Group PLC

1-Month LIBOR GBP

5/13/2025

Term

16,405

10,935

1,573

UBS

Wendel

1-Month LIBOR EUR

5/13/2025

Term

168,261

2,085

24,182

MS

WM Morrison Supermarkets

1-Month LIBOR GBP

5/6/2025

Term

166,435

73,143

7,549

UBS

WM Morrison Supermarkets

1-Month LIBOR GBP

5/13/2025

Term

232,153

95,761

(4,316

)

UBS

WPP PLC

1-Month LIBOR GBP

5/13/2025

Term

191,332

28,158

22,916

$29,997,648

$ 2,434,800

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

Elements Portfolios Annual Report May 31, 2020

32

Schedule of Investments as of May 31, 2020

ELEMENTS INTERNATIONAL PORTFOLIO

Total Return Swaps - Short
COUNTERPARTY (a)	PORTFOLIO PAYS TOTAL RETURN ON REFERENCE ENTITY	PORTFOLIO RECEIVES BASE FINANCING RATE (b)	TERMINATION DATE	PAYMENT FREQUENCY		NOTIONAL VALUE		NUMBER OF UNITS		VALUE/ UNREALIZED APPRECIATION (DEPRECIATION)
GS	Alphabet, Inc. — Class C	1-Month LIBOR USD	4/4/2029		Term	$	4,551,728		3,375	$	(271,481	)
GS	American Tower Corp.	1-Month LIBOR USD	4/4/2029		Term		2,650,606		11,137		(224,985	)
GS	Cadence Design Sys., Inc.	1-Month LIBOR USD	4/4/2029		Term		2,737,975		33,748		(343,242	)
GS	Comcast Corp. — Class A	1-Month LIBOR USD	4/4/2029		Term		4,076,496		108,331		(213,952	)
GS	Crown Castle Intl. Corp.	1-Month LIBOR USD	4/4/2029		Term		6,617,939		41,510		(529,299	)
GS	Gilead Sciences, Inc.	1-Month LIBOR USD	4/4/2029		Term		4,252,248		50,622		311,774
GS	Intuit, Inc.	1-Month LIBOR USD	4/4/2029		Term		4,552,774		16,874		(346,689	)
GS	JPMorgan Chase & Co.	1-Month LIBOR USD	4/4/2029		Term		6,140,227		64,121		(100,201	)
GS	Lockheed Martin Corp.	1-Month LIBOR USD	4/4/2029		Term		6,564,998		16,874		(30,906	)
GS	Maxim Integrated Products	1-Month LIBOR USD	4/4/2029		Term		1,855,465		33,748		(107,565	)
GS	Okta, Inc.	1-Month LIBOR USD	4/4/2029		Term		1,940,271		12,824		(568,104	)
GS	Texas Instruments, Inc.	1-Month LIBOR USD	4/4/2029		Term		4,034,593		34,760		(124,628	)
GS	Western Digital Corp.	1-Month LIBOR USD	4/4/2029		Term		668,713		14,512		24,727
						$50,644,033				$(2,524,551)
Swaps on Futures
COUNTERPARTY (a)	PORTFOLIO RECEIVES TOTAL RETURN ON REFERENCE ENTITY	PORTFOLIO PAYS BASE FINANCING RATE (c)	TERMINATION DATE	PAYMENT FREQUENCY		NOTIONAL VALUE		NUMBER OF UNITS		VALUE/ UNREALIZED APPRECIATION (DEPRECIATION)
GS	Airbus Group Dividend Future — December 2020 Expiration	N/A	12/18/2020		Term	$	80,176		35	$	(80,176	)
GS	Airbus Group Dividend Future — December 2021 Expiration	N/A	12/17/2021		Term		80,197		30		(71,766	)
GS	Airbus Group Dividend Future — December 2022 Expiration	N/A	12/16/2022		Term		80,201		30		(58,029	)
GS	Assicurazioni Generali S.p.A. Dividend Future — December 2020 Expiration	N/A	12/18/2020		Term		80,156		74		(18,942	)
GS	Assicurazioni Generali S.p.A. Dividend Future — December 2021 Expiration	N/A	12/17/2021		Term		80,212		73		(34,797	)
GS	Assicurazioni Generali S.p.A. Dividend Future — December 2022 Expiration	N/A	12/16/2022		Term		80,167		75		(37,855	)
GS	Banco Santander Dividend Future — December 2020 Expiration	N/A	12/18/2020		Term		200,575		825		(163,789	)
GS	Banco Santander Dividend Future — December 2021 Expiration	N/A	12/17/2021		Term		200,869		866		(127,853	)
GS	Banco Santander Dividend Future — December 2022 Expiration	N/A	12/16/2022		Term		200,610		899		(80,270	)
GS	British American Tobacco — December 2020 Expiration	N/A	12/18/2020		Term		238,295		77		(33,240	)
GS	British American Tobacco — December 2021 Expiration	N/A	12/17/2021		Term		238,299		108		(13,079	)
GS	British American Tobacco — December 2022 Expiration	N/A	12/16/2022		Term		238,379		109		(25,707	)
GS	Bayer AG Dividend Future — December 2020 Expiration	N/A	12/18/2020		Term		250,557		86		18,733

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

Elements Portfolios Annual Report May 31, 2020

33

Schedule of Investments as of May 31, 2020

ELEMENTS INTERNATIONAL PORTFOLIO

COUNTERPARTY (a)	PORTFOLIO RECEIVES TOTAL RETURN ON REFERENCE ENTITY	PORTFOLIO PAYS BASE FINANCING RATE (c)	TERMINATION DATE	PAYMENT FREQUENCY		NOTIONAL VALUE		NUMBER OF UNITS		VALUE/ UNREALIZED APPRECIATION (DEPRECIATION)
GS	Bayer AG Dividend Future — December 2021 Expiration	N/A	12/17/2021		Term	$	250,618		94	$	(38,178	)
GS	Bayer AG Dividend Future — December 2022 Expiration	N/A	12/16/2022		Term		250,631		102		3,732
GS	BBVA Dividend Future — December 2020 Expiration	N/A	12/18/2020		Term		80,330		279		(30,500	)
GS	BBVA Dividend Future — December 2021 Expiration	N/A	12/17/2021		Term		80,073		286		(55,611	)
GS	BBVA Dividend Future — December 2022 Expiration	N/A	12/16/2022		Term		80,218		305		(45,287	)
GS	BMW AG Dividend Future — December 2020 Expiration	N/A	12/18/2020		Term		80,198		26		(6,453	)
GS	BMW AG Dividend Future — December 2021 Expiration	N/A	12/17/2021		Term		80,185		25		(56,218	)
GS	BMW AG Dividend Future — December 2022 Expiration	N/A	12/16/2022		Term		80,194		25		(47,120	)
GS	BNP Paribas S.A. Dividend Future — December 2020 Expiration	N/A	12/18/2020		Term		80,184		23		(68,459	)
GS	BNP Paribas S.A. Dividend Future — December 2021 Expiration	N/A	12/17/2021		Term		80,173		24		(61,007	)
GS	BNP Paribas S.A. Dividend Future — December 2022 Expiration	N/A	12/16/2022		Term		80,177		26		(49,356	)
GS	Carrefour S.A. Dividend Future — December 2020 Expiration	N/A	12/18/2020		Term		200,568		357		(109,023	)
GS	Carrefour S.A. Dividend Future — December 2021 Expiration	N/A	12/17/2021		Term		200,459		363		(78,136	)
GS	Carrefour S.A. Dividend Future — December 2022 Expiration	N/A	12/16/2022		Term		200,346		344		(44,372	)
GS	Daimler AG Dividend Future — December 2020 Expiration	N/A	12/18/2020		Term		250,539		131		(177,619	)
GS	Daimler AG Dividend Future — December 2021 Expiration	N/A	12/17/2021		Term		250,626		114		(219,822	)
GS	Daimler AG Dividend Future — December 2022 Expiration	N/A	12/16/2022		Term		250,638		112		(199,646	)
GS	Deutsche Lufthansa AG Dividend Future — December 2020 Expiration	N/A	12/18/2020		Term		250,609		300		(250,609	)
GS	Deutsche Lufthansa AG Dividend Future — December 2021 Expiration	N/A	12/17/2021		Term		250,706		335		(246,944	)
GS	Deutsche Lufthansa AG Dividend Future — December 2022 Expiration	N/A	12/16/2022		Term		250,427		370		(82,356	)
GS	E.ON SE Dividend Future — December 2020 Expiration	N/A	12/18/2020		Term		200,428		387		(1,762	)
GS	E.ON SE Dividend Future — December 2021 Expiration	N/A	12/17/2021		Term		200,545		381		(11,973	)
GS	Renault S.A. — December 2020 Expiration	N/A	12/18/2020		Term		250,524		117		(250,524	)
GS	Renault S.A. — December 2021 Expiration	N/A	12/17/2021		Term		250,576		146		(242,362	)
GS	Renault S.A. — December 2022 Expiration	N/A	12/16/2022		Term		250,576		157		(210,980	)
GS	Repsol S.A. — December 2020 Expiration	N/A	12/18/2020		Term		250,576		274		(32,858	)

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

Elements Portfolios Annual Report May 31, 2020

34

Schedule of Investments as of May 31, 2020

ELEMENTS INTERNATIONAL PORTFOLIO

COUNTERPARTY (a)	PORTFOLIO RECEIVES TOTAL RETURN ON REFERENCE ENTITY	PORTFOLIO PAYS BASE FINANCING RATE (c)	TERMINATION DATE	PAYMENT FREQUENCY		NOTIONAL VALUE		NUMBER OF UNITS		VALUE/ UNREALIZED APPRECIATION (DEPRECIATION)
GS	Repsol S.A. — December 2021 Expiration	N/A	12/17/2021		Term	$	250,499		246	$	(134,280	)
GS	Repsol S.A. — December 2022 Expiration	N/A	12/16/2022		Term		250,556		259		(138,437	)
GS	Société Générale S.A. — December 2020 Expiration	N/A	12/18/2020		Term		250,529		105		(229,977	)
GS	Société Générale S.A. — December 2021 Expiration	N/A	12/17/2021		Term		250,604		132		(212,007	)
GS	Société Générale S.A. — December 2022 Expiration	N/A	12/16/2022		Term		250,509		148		(186,684	)
GS	Telefónica S.A. — December 2020 Expiration	N/A	12/18/2020		Term		80,131		183		(16,983	)
GS	Telefónica S.A. — December 2021 Expiration	N/A	12/17/2021		Term		80,180		188		(33,558	)
GS	Telefónica S.A. — December 2022 Expiration	N/A	12/16/2022		Term		80,104		193		(33,583	)
GS	Total S.A. Dividend Future — December 2021 Expiration	N/A	12/17/2021		Term		97,129		35		(44,000	)
GS	UBS Group AG — December 2020 Expiration	N/A	12/18/2020		Term		164,457		219		(51,117	)
GS	UBS Group AG — December 2021 Expiration	N/A	12/17/2021		Term		164,468		231		(93,692	)
GS	UBS Group AG — December 2022 Expiration	N/A	12/16/2022		Term		164,335		236		(33,120	)
GS	Unibail-Rodamco-Westfield SE Dividend Future — December 2020 Expiration	N/A	12/18/2020		Term		80,189		7		(39,404	)
GS	Unibail-Rodamco-Westfield SE Dividend Future — December 2021 Expiration	N/A	12/17/2021		Term		80,182		7		(53,620	)
GS	Unibail-Rodamco-Westfield SE Dividend Future — December 2022 Expiration	N/A	12/16/2022		Term		80,178		8		(19,581	)
GS	UniCredit S.p.A. Dividend Future — December 2020 Expiration	N/A	12/18/2020		Term		250,733		353		(227,092	)
GS	UniCredit S.p.A. Dividend Future — December 2021 Expiration	N/A	12/17/2021		Term		250,650		332		(157,305	)
GS	UniCredit S.p.A. Dividend Future — December 2022 Expiration	N/A	12/16/2022		Term		250,762		337		(136,032	)
GS	Vodafone Group PLC — December 2020 Expiration	N/A	12/18/2020		Term		76,017		799		(26,626	)
GS	Vodafone Group PLC — December 2021 Expiration	N/A	12/17/2021		Term		76,350		847		(13,985	)
GS	Vodafone Group PLC — December 2022 Expiration	N/A	12/16/2022		Term		76,336		896		1,397
						$10,084,715				$(5,219,899)
										$(5,309,650)

(a) The full legal name of “GS” is “Goldman Sachs International,” the full legal name of “MS” is “Morgan Stanley Capital Services LLC,” and the full legal name of “UBS” is “UBS Group AG.”

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

Elements Portfolios Annual Report May 31, 2020

35

Schedule of Investments as of May 31, 2020

ELEMENTS INTERNATIONAL PORTFOLIO

(b) The swaps accrue financing fees according to the relevant base financing rate which resets periodically, plus a fixed spread. Each swap’s base financing rate is refreshed on a periodic basis, typically monthly. To the extent different swaps linked to the same base financing rate refresh at different times, there may be modest temporary differences in their rates. The financing rates as of May 31, 2020 are as follows:

	Variable Rate as of May 31, 2020	Fixed Spread Range as of May 31, 2020
1-Month LIBOR USD	0.18%	(0.75)%—(0.25)%
1-Month LIBOR EUR	(0.47)%	0.25%—0.75%
3-Month LIBOR EUR	(0.35)%	0.25%—0.50%
1-Month LIBOR GBP	0.09%	0.25%—0.75%
1-Month Bank Bill Swap Rate	0.09%	0.25%—0.75%

(c) These swaps do not have any financing accruals. The Portfolio has contracted to receive the total return of the reference entity. To the extent that return is positive, the Portfolio will earn a positive return; to the extent that return is negative, the Portfolio will bear a loss.

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

Elements Portfolios Annual Report May 31, 2020

36

Schedule of Investments as of May 31, 2020

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
COMMON STOCKS - 91.7%
Australia - 0.9%
Accent Group Ltd.		125,886	$	113,922
ARB Corp., Ltd.		2,158		24,556
Breville Group Ltd.		11,280		167,780
Cleanaway Waste Management Ltd.		15,072		19,613
CSR Ltd.		30,950		84,374
Inghams Group Ltd.		15,009		34,215
JB Hi-Fi Ltd. (a)		7,613		188,804
Magellan Financial Group Ltd.		1,791		70,037
Metcash Ltd.		166,927		300,479
Mineral Resources Ltd.		21,059		264,625
Sandfire Resources Ltd.		28,861		84,503
Super Retail Group Ltd.		21,228		118,649
Vita Group Ltd.		57,226		41,616
				1,513,173
Austria - 0.8%
Agrana Beteiligungs AG		2,195		42,658
Kapsch TrafficCom AG		252		4,895
Oesterreichische Post AG (a)		2,259		75,884
S&T AG (a)		5,105		134,699
Telekom Austria AG		38,774		278,906
UNIQA Insurance Group AG		20,650		139,882
Vienna Insurance Group AG Wiener Versicherung Gruppe (b)		24,202		510,408
Wienerberger AG		10,892		217,632
Zumtobel Group AG (b)		1,129		7,822
				1,412,786
Belgium - 2.4%
AGFA-Gevaert N.V. (b)		46,183		185,887
Balta Group S.A. (b)(c)		2,438		3,205
Barco N.V.		3,489		611,147
Bekaert S.A.		30,105		646,206
Bpost S.A.		40,171		263,413
D’ieteren S.A.		17,149		1,029,146
Fagron		1,129		27,030
KBC Ancora		884		29,699
Ontex Group N.V.		8,900		141,638
Orange Belgium S.A.		11,654		188,940
Recticel S.A.		48,769		405,452
Sioen Industries N.V. (b)		419		8,327
Sofina S.A.		1,505		413,071
Van de Velde N.V. (b)		479		11,538
				3,964,699
Bermuda - 0.5%
BW LPG Ltd. (c)		24,205		80,853
Chow Sang Sang Holdings International Ltd.		15,000		14,522
Fairwood Holdings Ltd.		9,500		19,668
First Pacific Co., Ltd.		46,000		8,934
Giordano International Ltd.		620,000		89,113
Global Brands Group Holding Ltd. (b)		600		16
Good Resources Holdings Ltd. (b)		220,000		1,958
G-Resources Group Ltd. (b)		1,071,000		5,546
Johnson Electric Holdings Ltd. (a)		36,000		61,933
K Wah International Holdings Ltd.		17,000		7,006

	SHARES		FAIR VALUE
Bermuda - 0.5% (continued)
Luk Fook Holdings International Ltd.		38,000	$	66,990
Regal Hotels International Holdings Ltd.		32,000		13,871
SmarTone Telecommunications Holdings Ltd.		453,500		236,995
Stolt-Nielsen Ltd.		796		6,824
VTech Holdings Ltd.		40,800		247,044
				861,273
Canada - 2.3%
Aecon Group, Inc. (b)		10,342		109,666
AGF Management Ltd. (b)		23,906		65,111
ATS Automation Tooling Systems, Inc. (b)		6,974		101,354
Canfor Pulp Products, Inc. (b)		14,873		67,298
Cascades, Inc. (b)		9,600		98,451
Celestica, Inc. (b)		600		4,088
Centerra Gold, Inc. (b)		2,400		24,351
Cogeco Communications, Inc. (b)		500		37,339
Cogeco, Inc. (b)		1,656		103,773
Corus Entertainment, Inc. (b)		54,310		127,408
Descartes Systems Group, Inc. (b)		2,600		123,952
ECN Capital Corp. (b)		13,700		47,164
Enghouse Systems Ltd. (b)		8,276		359,688
Evertz Technologies Ltd. (b)		2,100		23,031
Exco Technologies Ltd. (b)		17,611		77,896
FirstService Corp. (b)		1,000		92,959
Genworth MI Canada, Inc. (a)(b)		3,398		76,284
Gibson Energy Inc. (b)		7,000		108,291
Intertape Polymer Group, Inc. (b)		2,000		17,983
Linamar Corp. (b)		13,300		369,388
Martinrea International, Inc. (b)		9,100		59,814
MEG Energy Corp. (b)		7,700		17,896
Morneau Shepell, Inc. (b)		900		21,571
Mullen Group Ltd. (b)		5,600		24,241
Parex Resources, Inc. (b)		5,600		62,961
Pason Systems, Inc. (b)		16,068		83,791
Russel Metals, Inc. (a)(b)		20,099		213,712
Silvercorp Metals, Inc. (a)(b)		54,900		242,830
SSR Mining, Inc. (b)		4,100		78,852
Superior Plus Corp. (b)		3,400		23,336
Taseko Mines Ltd. (b)		7,450		2,976
TFI International, Inc. (b)		2,392		72,445
TMX Group Ltd. (b)		1,000		100,236
Torex Gold Resources, Inc. (b)		5,600		77,278
Toromont Industries Ltd. (b)		3,896		187,945
TransAlta Corp. (b)		13,725		80,246
Transcontinental, Inc. (b)		15,078		131,084
Vermilion Energy, Inc. (b)		1,800		8,968
Winpak Ltd. (b)		5,563		186,342
WSP Global, Inc. (b)		2,021		130,433
				3,842,432
Cayman Islands - 0.7%
Crystal International Group Ltd. (c)		12,500		2,783
Hutchison Telecommunications Hong Kong Holdings Ltd.		2,570,000		409,244
Leyou Technologies Holdings Ltd. (a)(b)		195,000		59,527
Pacific Textiles Holdings Ltd.		76,000		31,902
Sa Sa International Holdings Ltd. (a)		858,000		130,691

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

Elements Portfolios Annual Report May 31, 2020

37

Schedule of Investments as of May 31, 2020

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Cayman Islands - 0.7% (continued)
Sapiens International Corp., N.V.		1,518	$	37,270
SITC International Holdings Co., Ltd.		211,000		200,119
The United Laboratories International Holdings Ltd.		118,000		105,407
VSTECS Holdings Ltd.		128,000		57,260
Xinyi Glass Holdings Ltd.		86,000		91,369
				1,125,572
Denmark - 1.5%
Ambu A/S		500		16,873
Bang & Olufsen A/S (b)		1,150		4,224
D/S Norden A/S		1,433		19,559
GN Store Nord A/S		11,599		630,954
Matas A/S		22,691		202,918
Nilfisk Holding A/S (b)		587		8,900
NKT A/S (b)		5,722		122,053
NNIT A/S (c)		189		3,285
Per Aarsleff Holding A/S		16,370		554,929
Rockwool International A/S		298		83,629
Royal Unibrew A/S (b)		2,502		201,082
Scandinavian Tobacco Group A/S (c)		20,905		314,733
SimCorp A/S		2,204		243,353
Spar Nord Bank A/S (b)		689		5,182
Topdanmark A/S		2,195		91,308
				2,502,982
Faroe Islands - 0.1%
Bakkafrost P/F (b)		2,468		153,992
Finland - 2.0%
Adapteo Oyj (b)		408		3,223
Caverion OYJ (b)		60,686		392,624
Finnair OYJ (a)(b)		24,217		95,257
F-Secure OYJ (b)		5,175		17,912
Kesko OYJ		23,796		402,042
Konecranes OYJ		6,607		158,888
Metsa Board OYJ		11,795		84,464
Oriola OYJ - Class B		7,650		17,748
Outokumpu OYJ (b)		82,784		248,323
Outotec OYJ (a)		62,058		320,938
Rovio Entertainment OYJ (a)(c)		21,300		127,927
Sanoma OYJ		19,780		192,250
Tokmanni Group Corp.		48,322		653,028
Uponor OYJ		8,652		109,072
Valmet OYJ		8,655		226,296
YIT OYJ		62,854		347,463
				3,397,455
Germany - 5.3%
ADVA Optical Networking SE (b)		35,313		229,640
Aurubis AG		11,519		667,028
BayWa AG		315		9,724
Bechtle AG		2,953		524,500
bet-at-home.com AG		754		33,901
Borussia Dortmund GmbH & Co. KGaA		41,050		289,184
CANCOM SE		6,440		407,294
Centrotec SE		166		2,712
CEWE Stiftung & Co. KGaA		5,275		539,786

	SHARES		FAIR VALUE
Germany - 5.3% (continued)
CropEnergies AG		1,928	$	18,926
Draegerwerk AG & Co. KGaA		1,073		69,347
Duerr AG		1,328		31,577
ElringKlinger AG (b)		11,585		60,893
Freenet AG		5,679		97,714
Gesco AG		356		6,753
Hamburger Hafen und Logistik AG		3,459		56,441
HelloFresh SE (b)		38,874		1,589,467
Hornbach Holding AG & Co. KGaA		4,450		320,636
Hugo Boss AG		11,197		307,291
Hypoport SE (b)		191		85,327
Indus Holding AG		5,550		179,215
Jenoptik AG		25		602
JOST Werke AG (b)(c)		6,977		199,042
Krones AG		5,836		381,811
MLP SE		7,240		42,034
Nemetschek SE		1,071		85,139
Norma Group SE		1,213		35,839
OHB SE		2,041		80,516
ProSiebenSat.1 Media SE		43,214		557,138
Rheinmetall AG		5,724		466,194
Salzgitter AG		3,684		49,649
Sixt Leasing SE		1,400		25,802
SMA Solar Technology AG (b)		582		17,323
Software AG		4,147		160,513
Stroeer SE & Co., KGaA		2,784		202,588
Takkt AG		47,219		459,506
Varta AG (a)(b)		467		48,245
VERBIO Vereinigte BioEnergie AG		3,100		30,888
Washtec AG (b)		988		40,667
zooplus AG (b)		2,349		367,990
				8,778,842
Hong Kong - 0.3%
CITIC Telecom International Holdings Ltd.		225,000		71,567
Dah Sing Banking Group Ltd.		12,000		10,671
Melco International Development Ltd.		148,000		281,669
Nissin Foods Co., Ltd.		87,000		72,512
Shun Tak Holdings Ltd.		346,000		123,136
				559,555
Israel - 1.6%
B Communications Ltd. (b)		330		507
Bezeq The Israeli Telecommunication Corp., Ltd. (b)		509,743		438,537
Caesarstone Ltd.		23,215		258,615
Cellcom Israel Ltd. (b)		16,235		51,562
Delek Automotive Systems Ltd.		3,236		16,940
Delek Group Ltd.		253		6,817
Delta Galil Industries Ltd.		508		7,447
Equital Ltd. (b)		1,061		22,824
First International Bank Of Israel Ltd.		15,971		364,216
Formula Systems 1985 Ltd.		1,190		91,802
Hadera Paper Ltd. (b)		318		10,293
Harel Insurance Investments & Financial Services Ltd.		3,322		20,808
Hilan Ltd. (b)		411		17,502
IDI Insurance Co., Ltd.		116		3,003

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

Elements Portfolios Annual Report May 31, 2020

38

Schedule of Investments as of May 31, 2020

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Israel - 1.6% (continued)
Israel Corp., Ltd. (b)		1,213	$	143,184
Matrix IT Ltd.		13,367		300,063
Naphtha Israel Petroleum Corp., Ltd. (b)		4,129		16,308
Nova Measuring Instruments Ltd. (b)		1,588		78,629
Oil Refineries Ltd.		180,818		43,814
Partner Communications Co., Ltd. (b)		6,564		27,332
Paz Oil Co., Ltd.		1,895		156,221
Rami Levy Chain Stores Hashikma Marketing 2006 Ltd.		3,300		207,151
Shikun & Binui Ltd.		4,387		16,649
Shufersal Ltd.		42		284
Strauss Group Ltd.		11,871		332,737
				2,633,245
Italy - 3.0%
A2A S.p.A.		234,207		326,797
Arnoldo Mondadori Editore S.p.A. (b)		147,316		172,889
ASTM S.p.A.		8,960		184,933
Autogrill S.p.A.		44,385		251,449
Banca Popolare di Sondrio S.C.p.A.		173,186		282,222
Biesse S.p.A. (b)		36,986		385,125
Buzzi Unicem S.p.A.		12,968		150,267
Cairo Communication S.p.A.		12,743		20,699
Datalogic S.p.A.		5,872		74,015
DeA Capital S.p.A.		7,546		11,654
El.En. S.p.A. (b)		1,659		39,691
Enav S.p.A. (c)		62,228		283,450
ERG S.p.A.		2,759		61,071
GEOX S.p.A. (b)		14,261		10,452
Hera S.p.A.		70,370		269,505
Iren S.p.A.		38,462		96,051
Italimobiliare S.p.A.		2,576		69,242
Mediaset S.p.A. (a)(b)		103,295		177,910
Piaggio & C. S.p.A.		153,171		370,022
Rai Way S.p.A. (c)		630		3,855
Saipem S.p.A.		369,618		885,845
Saras S.p.A. (b)		222,466		200,323
Sesa S.p.A.		1,083		61,608
Sogefi S.p.A. (b)		5,925		5,739
Tinexta S.p.A.		2,337		29,989
Tod’s S.p.A.		270		7,164
Unipol Gruppo S.p.A. (b)		165,533		584,349
				5,016,316
Japan - 36.3%
Achilles Corp.		4,800		75,806
Adastria Co., Ltd.		11,900		192,756
ADEKA Corp.		7,400		103,170
Aeon Delight Co., Ltd.		7,100		204,058
Ai Holdings Corp.		3,800		50,998
Aica Kogyo Co., Ltd.		2,100		62,518
Aichi Corp.		100		697
Aichi Steel Corp.		600		16,901
Aida Engineering Ltd.		10,800		73,872
Ain Holdings, Inc.		1,700		109,999
Aisan Industry Co., Ltd.		10,100		54,610
Akatsuki, Inc.		800		30,307
Alpen Co., Ltd.		7,800		127,748

	SHARES		FAIR VALUE
Japan - 36.3% (continued)
Altech Corp.		2,230	$	40,220
Amano Corp.		2,600		56,382
Amuse, Inc.		5,100		113,924
Anest Iwata Corp.		6,300		50,554
Anicom Holdings, Inc.		1,700		84,040
Anritsu Corp. (a)		5,900		117,002
AOKI Holdings, Inc.		10,700		68,413
Aoyama Trading Co., Ltd.		25,600		195,264
Arata Corp.		5,400		228,588
Arcland Sakamoto Co., Ltd.		12,600		139,405
Arcland Service Holdings Co., Ltd.		4,400		78,120
Arcs Co., Ltd.		11,200		227,329
Argo Graphics, Inc.		4,400		151,581
As One Corp.		1,200		132,621
Asahi Co., Ltd.		2,900		41,773
Asahi Diamond Industrial Co., Ltd.		13,900		65,922
ASKUL Corp.		8,600		261,053
Atom Corp.		11,600		96,064
Autobacs Seven Co., Ltd.		13,800		169,385
Avex, Inc.		6,500		57,460
Axial Retailing, Inc.		5,100		196,096
Azbil Corp.		11,100		283,520
Bando Chemical Industries Ltd.		4,200		24,528
BayCurrent Consulting, Inc.		900		63,415
Belc Co., Ltd.		3,100		191,229
Benefit One, Inc.		5,600		122,879
BeNEXT Group, Inc.		15,200		115,834
Bic Camera, Inc.		18,900		199,168
BML, Inc.		5,000		141,023
Broadleaf Co., Ltd.		6,600		34,338
BRONCO BILLY Co., Ltd.		2,800		63,196
Bunka Shutter Co., Ltd.		15,600		116,820
Canon Electronics, Inc.		4,500		71,975
Canon Marketing Japan, Inc.		15,800		322,235
Capcom Co., Ltd.		5,600		198,146
Cawachi Ltd.		6,100		149,113
Chiyoda Co., Ltd.		17,500		171,330
Chiyoda Integre Co., Ltd.		3,300		54,057
Chori Co., Ltd.		11,000		186,004
Chubu Shiryo Co., Ltd.		10,400		161,186
Chudenko Corp.		5,700		122,659
Chugoku Marine Paints Ltd.		4,000		30,477
CI Takiron Corp.		24,700		169,194
Citizen Watch Co., Ltd.		34,900		125,128
Cleanup Corp.		440		2,133
CMIC Holdings Co., Ltd.		700		9,934
cocokara fine, Inc.		4,900		248,286
Colopl, Inc. (a)		4,100		40,938
COMSYS Holdings Corp.		4,400		122,578
Comture Corp.		1,600		44,208
CONEXIO Corp.		11,900		164,207
COOKPAD, Inc. (b)		9,900		28,881
Corona Corp.		500		4,340
Cosel Co., Ltd.		4,300		37,487
Cosmo Energy Holdings Co., Ltd.		6,400		101,767
Cosmos Pharmaceutical Corp.		2,600		373,986
Create Restaurants Holdings, Inc.		11,800		90,847

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

Elements Portfolios Annual Report May 31, 2020

39

Schedule of Investments as of May 31, 2020

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Japan - 36.3% (continued)
Create SD Holdings Co., Ltd. (a)		8,700	$	275,990
Curves Holdings Co., Ltd. (b)		6,000		36,775
Cybozu, Inc.		11,900		307,820
Dai-Dan Co., Ltd.		5,300		142,332
Daido Metal Co., Ltd.		11,100		58,826
Daido Steel Co., Ltd.		1,900		65,212
Daiho Corp.		1,800		42,051
Daiichi Jitsugyo Co., Ltd.		6,200		217,935
Daiichikosho Co., Ltd.		1,800		63,249
Daikokutenbussan Co., Ltd. (a)		4,200		157,640
Daikyonishikawa Corp.		6,200		35,127
Dainichiseika Color & Chemicals Manufacturing Co., Ltd.		200		4,649
Daisyo Corp.		7,400		96,706
Daiwabo Holdings Co., Ltd.		3,300		221,985
DCM Holdings Co., Ltd.		10,100		104,879
Denki Kogyo Co., Ltd.		2,100		51,763
Denyo Co., Ltd.		9,100		162,476
Descente Ltd. (b)		7,000		104,521
DIC Corp.		1,600		41,820
Dip Corp.		1,300		30,598
DMG Mori Co., Ltd.		3,900		47,580
Doshisha Co., Ltd.		14,500		211,318
Doutor Nichires Holdings Co., Ltd.		9,700		165,156
DTS Corp.		8,100		172,557
Duskin Co., Ltd.		6,000		164,342
DyDo Group Holdings, Inc.		4,800		235,831
Eagle Industry Co., Ltd.		5,000		35,260
Earth Corp.		2,000		132,410
Ebara Corp.		6,800		164,547
EDION Corp.		20,400		189,548
eGuarantee, Inc.		5,700		115,842
Elan Corp.		4,400		73,607
Elecom Co., Ltd.		6,200		295,893
Elematec Corp.		17,100		141,787
EM Systems Co., Ltd.		7,200		56,509
En-Japan, Inc.		3,200		86,550
Enplas Corp.		2,300		49,189
EPS Holdings, Inc.		5,500		56,711
ESPEC Corp.		3,300		54,121
Exedy Corp.		4,100		66,233
Ezaki Glico Co., Ltd.		3,400		164,999
F@N Communications, Inc.		16,400		72,320
Fancl Corp.		7,800		222,663
FCC Co., Ltd.		9,300		158,759
Feed One Co., Ltd.		50,000		86,492
Fields Corp.		60		214
Foster Electric Co., Ltd.		7,800		89,025
FP Corp.		1,200		88,329
France Bed Holdings Co., Ltd.		7,300		57,139
Fudo Tetra Corp.		76		999
Fuji Co., Ltd.		8,900		155,720
Fuji Machine Manufacturing Co., Ltd.		5,600		103,926
Fuji Pharma Co., Ltd.		400		4,615
Fuji Soft, Inc.		2,400		101,455
Fujicco Co., Ltd.		2,900		53,620
Fujikura Ltd.		15,900		47,071

	SHARES		FAIR VALUE
Japan - 36.3% (continued)
Fujimi, Inc.		2,800	$	80,907
Fujimori Kogyo Co., Ltd.		4,200		137,523
Fujio Food System Co., Ltd.		3,000		46,653
Fujitec Co., Ltd.		10,500		157,433
Fujitsu General Ltd.		8,900		174,142
Fujiya Co., Ltd.		5,500		110,932
Fukuda Corp.		2,400		109,188
Fukui Computer Holdings, Inc.		2,700		78,729
Fukushima Galilei Co., Ltd.		2,400		73,985
Fullcast Holdings Co., Ltd.		7,600		111,486
Funai Soken Holdings, Inc.		2,550		60,179
Furukawa Electric Co., Ltd.		4,600		112,884
Fuso Chemical Co., Ltd.		1,600		59,730
Futaba Industrial Co., Ltd.		5,500		26,883
Future Corp.		6,500		108,474
G-7 Holdings, Inc.		2,200		48,220
Gecoss Corp.		7,400		68,434
Geo Holdings Corp.		19,000		237,817
Giken Ltd.		800		36,413
Glory Ltd.		3,500		83,216
GMO Cloud KK (a)		3,700		192,788
Goldwin, Inc.		2,000		128,229
Gree, Inc.		44,400		182,413
GS Yuasa Corp.		5,800		102,896
G-Tekt Corp.		2,500		26,415
GungHo Online Entertainment, Inc.		7,670		125,037
Gunosy, Inc. (b)		3,700		31,875
Gurunavi, Inc.		10,700		65,584
H2O Retailing Corp.		12,800		100,360
Halows Co., Ltd.		3,700		106,627
Hamakyorex Co., Ltd.		1,700		51,381
Hanwa Co., Ltd.		1,400		25,845
Haseko Corp.		11,500		140,483
Hazama Ando Corp.		18,100		117,351
Heiwado Co., Ltd.		9,500		170,724
Hibiya Engineering Ltd.		3,300		60,278
Hiday Hidaka Corp.		5,320		94,177
Hioki EE Corp.		1,700		54,637
HIS Co., Ltd.		2,200		40,388
Hisaka Works Ltd.		700		4,923
Hochiki Corp.		9,100		115,428
Hodogaya Chemical Co., Ltd.		1,600		62,451
Hogy Medical Co., Ltd.		1,100		36,173
Hosiden Corp.		10,700		93,621
Hosokawa Micron Corp.		1,100		62,237
House Foods Group, Inc.		4,100		139,008
Ichibanya Co., Ltd.		2,800		145,081
Ichikoh Industries Ltd.		5,600		28,208
Icom, Inc.		5,100		141,231
IDOM, Inc.		19,500		93,708
Inaba Denki Sangyo Co., Ltd.		10,300		234,783
Inabata & Co., Ltd.		13,800		169,254
Ines Corp.		1,000		12,993
Infocom Corp.		7,600		198,194
Information Services International-Dentsu Ltd.		3,400		158,481
Internet Initiative Japan, Inc.		3,100		109,357

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

Elements Portfolios Annual Report May 31, 2020

40

Schedule of Investments as of May 31, 2020

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Japan - 36.3% (continued)
Iriso Electronics Co., Ltd.		500	$	16,014
Ito En Ltd.		3,500		201,373
Itochu Enex Co., Ltd.		10,900		87,661
Itochu-Shokuhin Co., Ltd.		2,900		126,483
Itoham Yonekyu Holdings, Inc.		38,800		241,797
Itoki Corp.		40		152
Iwatani Corp.		3,700		130,715
Izumi Co., Ltd.		4,600		144,832
JAC Recruitment Co., Ltd.		5,800		74,578
Japan Aviation Electronics Industry Ltd.		5,900		81,960
Japan Elevator Service Holdings Co., Ltd.		2,200		67,955
Japan Material Co., Ltd.		2,000		32,776
JCR Pharmaceuticals Co., Ltd.		1,000		115,382
JCU Corp.		3,700		112,042
Jeol Ltd.		1,000		30,018
JM Holdings Co., Ltd.		12,600		321,708
J-Oil Mills, Inc.		2,300		92,572
Joshin Denki Co., Ltd.		6,700		138,880
Joyful Honda Co., Ltd.		4,100		51,413
Justsystems Corp.		2,500		172,413
JVC Kenwood Corp.		34,600		56,623
K&O Energy Group, Inc.		4,000		57,847
Kadokawa Corp.		6,600		108,437
Kaga Electronics Co., Ltd.		1,800		39,078
Kagome Co., Ltd.		2,600		73,442
Kaken Pharmaceutical Co., Ltd.		1,100		60,635
Kameda Seika Co., Ltd.		1,600		80,556
Kamei Corp.		13,300		132,998
Kanamoto Co., Ltd.		7,100		153,322
Kandenko Co., Ltd.		16,400		149,993
Kaneka Corp.		6,400		171,654
Kanematsu Corp.		16,400		204,224
Kanematsu Electronics Ltd.		2,600		96,189
Kansai Super Market Ltd.		10,200		106,734
Kappa Create Co., Ltd.		6,300		88,559
Katakura Industries Co., Ltd.		500		5,636
Kato Sangyo Co., Ltd.		9,300		326,962
Kawasaki Kisen Kaisha Ltd. (b)		12,800		132,462
Kenko Mayonnaise Co., Ltd.		1,000		19,938
Kewpie Corp.		6,600		129,325
Key Coffee, Inc.		5,800		126,651
Kinden Corp.		16,800		281,446
Kintetsu Department Store Co., Ltd.		5,000		149,732
Kintetsu World Express, Inc.		12,100		195,574
Kisoji Co., Ltd.		2,600		61,407
KNT-CT Holdings Co., Ltd. (a)(b)		3,300		37,027
Koatsu Gas Kogyo Co., Ltd.		14,400		103,817
Kobe Bussan Co., Ltd.		5,800		301,856
Kohnan Shoji Co., Ltd.		2,300		67,226
Kokuyo Co., Ltd.		14,000		183,048
Komeri Co., Ltd.		5,200		128,671
Komori Corp.		16,700		121,327
Konishi Co., Ltd.		9,600		136,403
Konoike Transport Co., Ltd.		2,600		30,001
Koshidaka Holdings Co., Ltd.		6,000		29,880
Kotobuki Spirits Co., Ltd.		200		9,748
Kourakuen Holdings Corp.		1,800		29,951

		��
	SHARES		FAIR VALUE
Japan - 36.3% (continued)
Krosaki Harima Corp.		600	$	22,008
K’s Holdings Corp.		34,800		445,486
Kumiai Chemical Industry Co., Ltd.		5,600		45,378
Kura Sushi, Inc.		700		31,901
Kurabo Industries Ltd.		5,900		133,729
Kusuri no Aoki Holdings Co., Ltd.		1,300		107,411
Kyoei Steel Ltd.		1,200		15,894
Kyokuto Kaihatsu Kogyo Co., Ltd.		8,600		110,194
KYORIN Holdings, Inc.		6,000		129,721
Kyudenko Corp.		3,600		100,438
Lasertec Corp.		1,400		115,480
Leopalace21 Corp. (b)		35,000		87,315
Life Corp.		9,400		295,658
Lintec Corp.		5,900		141,135
Mabuchi Motor Co., Ltd.		1,200		39,759
Macnica Fuji Electronics Holdings, Inc.		13,900		224,817
Maeda Kosen Co., Ltd.		4,100		89,030
Maeda Road Construction Co., Ltd.		4,100		76,456
Makino Milling Machine Co., Ltd.		1,100		34,094
Mandom Corp.		4,400		89,047
Mani, Inc.		4,200		111,067
Mars Group Holdings Corp.		1,400		21,281
Marudai Food Co., Ltd.		6,700		121,234
Maruha Nichiro Corp.		4,000		86,694
Maruwa Co., Ltd.		1,600		122,245
Maruzen Showa Unyu Co., Ltd.		1,800		48,222
Marvelous, Inc.		5,700		41,317
Matsuda Sangyo Co., Ltd.		8,900		119,456
Matsumotokiyoshi Holdings Co., Ltd.		10,700		400,865
Matsuya Co., Ltd.		5,500		34,961
Matsuyafoods Holdings Co., Ltd.		2,400		88,271
Max Co., Ltd.		6,900		106,466
MCJ Co., Ltd.		12,300		96,174
Megmilk Snow Brand Co., Ltd.		4,300		105,826
Meidensha Corp.		3,200		54,238
Meiko Network Japan Co., Ltd.		1,900		15,206
Meisei Industrial Co., Ltd.		2,300		16,153
Meitec Corp.		2,100		101,601
Melco Holdings, Inc.		6,100		153,105
Menicon Co., Ltd.		4,300		219,083
Metawater Co., Ltd.		1,700		75,925
Micronics Japan Co., Ltd.		3,900		37,504
Milbon Co., Ltd.		2,200		108,725
Ministop Co., Ltd.		10,100		141,894
Mirait Holdings Corp.		6,400		91,647
Mitsubishi Logisnext Co., Ltd.		9,300		90,636
Mitsubishi Pencil Co., Ltd.		3,600		49,322
Mitsubishi Research Institute, Inc.		2,700		104,220
Mitsubishi Shokuhin Co., Ltd.		12,800		324,916
Mitsubishi Steel Manufacturing Co., Ltd. (b)		40		265
Mitsuboshi Belting Ltd.		3,600		54,865
Mitsuuroko Group Holdings Co., Ltd.		5,600		62,797
Miura Co., Ltd.		6,300		270,933
Mixi, Inc.		16,800		273,645
Mizuno Corp.		6,500		123,399
Mochida Pharmaceutical Co., Ltd.		1,600		62,270
Modec, Inc.		100		1,513

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

Elements Portfolios Annual Report May 31, 2020

41

Schedule of Investments as of May 31, 2020

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Japan - 36.3% (continued)
Morinaga & Co., Ltd.		2,600	$	111,679
Morinaga Milk Industry Co., Ltd.		3,800		160,272
MOS Food Services, Inc.		1,700		47,365
MTI Ltd.		5,300		29,701
Musashi Seimitsu Industry Co., Ltd.		200		1,814
Nagase & Co., Ltd.		3,700		46,128
Nagatanien Holdings Co., Ltd.		2,600		53,033
Nakanishi, Inc.		2,700		42,682
Nakayama Steel Works Ltd.		6,400		21,072
NEC Networks & System Integration Corp.		32,100		605,759
NET One Systems Co., Ltd.		13,800		418,524
Neturen Co., Ltd.		5,500		28,533
NHK Spring Co., Ltd.		14,000		96,896
Nichias Corp.		2,500		57,759
Nichiban Co., Ltd.		3,700		52,672
Nichiden Corp.		8,900		189,429
Nichiha Corp.		2,800		60,702
NichiiGakkan Co., Ltd.		12,400		188,670
Nichirei Corp.		2,000		56,535
Nihon Chouzai Co., Ltd.		5,500		88,207
Nihon Kohden Corp.		7,000		233,673
Nihon M&A Center, Inc.		1,400		56,421
Nihon Parkerizing Co., Ltd.		8,300		88,636
Nihon Trim Co., Ltd.		2,200		66,125
Nihon Unisys Ltd.		10,100		312,908
Nippo Corp.		5,700		141,719
Nippon Beet Sugar Manufacturing Co., Ltd.		4,700		73,886
Nippon Ceramic Co., Ltd.		1,100		21,104
Nippon Densetsu Kogyo Co., Ltd.		3,500		77,319
Nippon Flour Mills Co., Ltd.		6,900		104,682
Nippon Gas Co., Ltd.		1,000		39,831
Nippon Kanzai Co., Ltd.		5,000		86,019
Nippon Light Metal Holdings Co., Ltd.		43,400		74,545
Nippon Seiki Co., Ltd.		9,100		95,558
Nippon Shokubai Co., Ltd.		100		5,605
Nippon Soda Co., Ltd.		1,500		41,789
Nippon Steel Trading Corp.		6,100		211,282
Nippon Suisan Kaisha Ltd.		22,800		106,069
Nishimatsuya Chain Co., Ltd.		24,600		211,425
Nishimoto Co., Ltd.		1,900		33,838
Nissan Shatai Co., Ltd.		12,100		114,292
Nissin Corp.		4,500		66,906
Nissin Electric Co., Ltd.		3,500		36,493
Nitta Corp.		4,300		89,401
Nittetsu Mining Co., Ltd.		4,000		169,872
Nitto Kogyo Corp.		4,700		83,561
Nitto Kohki Co., Ltd.		3,700		68,010
Noevir Holdings Co., Ltd.		1,900		85,213
NOF Corp.		4,700		167,574
Nohmi Bosai Ltd.		6,000		112,374
Nojima Corp.		11,000		256,707
NOK Corp.		5,300		68,413
Nomura Co., Ltd.		9,900		89,595
Noritake Co., Ltd.		1,700		58,042
Noritz Corp.		13,400		156,946
NS Solutions Corp.		5,000		137,711
NS United Kaiun Kaisha Ltd.		5,300		70,039

	SHARES		FAIR VALUE
Japan - 36.3% (continued)
NSD Co., Ltd.		12,700	$	198,375
Ohsho Food Service Corp.		1,500		87,503
Oisix ra daichi, Inc. (b)		6,200		132,550
Okabe Co., Ltd.		4,300		32,684
Okamoto Industries, Inc.		100		3,564
Okamura Corp.		11,200		91,792
Oki Electric Industry Co., Ltd.		12,200		121,139
OKUMA Corp.		2,800		116,995
Okumura Corp.		1,900		45,914
Okuwa Co., Ltd.		22,500		319,140
Onward Holdings Co., Ltd.		32,000		110,099
OPT Holding, Inc.		4,400		62,451
Optex Group Co., Ltd.		2,200		29,860
Optim Corp. (b)		1,600		41,409
Optorun Co., Ltd.		1,100		28,927
Organo Corp.		5,200		293,483
Osaka Soda Co., Ltd.		4,700		114,941
Osaki Electric Co., Ltd.		10,600		50,930
OSJB Holdings Corp.		24,600		56,640
Outsourcing, Inc.		19,600		115,278
Oyo Corp.		10,700		133,406
Pacific Metals Co., Ltd.		600		9,462
PAL Group Holdings Co., Ltd.		11,400		146,768
PALTAC Corp.		6,000		295,401
Paramount Bed Holdings Co., Ltd.		500		19,448
Pasona Group, Inc.		15,300		182,109
PC Depot Corp.		80		470
Penta-Ocean Construction Co., Ltd.		9,400		49,134
PIA Corp. (a)		1,200		42,381
Pilot Corp.		1,500		51,557
Piolax, Inc.		5,500		87,901
Plenus Co., Ltd.		3,900		67,754
Press Kogyo Co., Ltd.		58,200		144,386
Prestige International, Inc.		10,000		88,736
Prima Meat Packers Ltd.		6,700		164,723
Proto Corp.		19,300		206,804
Qol Holdings Co., Ltd.		100		1,199
Raito Kogyo Co., Ltd.		6,700		91,042
Raiznext Corp.		8,200		97,952
Rakus Co., Ltd.		7,100		141,667
Relia, Inc.		12,700		144,270
Retail Partners Co., Ltd. (a)		7,400		109,080
Rheon Automatic Machinery Co., Ltd.		2,500		30,442
Riken Corp.		500		13,173
Riken Keiki Co., Ltd.		1,300		29,385
Riken Vitamin Co., Ltd.		2,600		54,546
Ringer Hut Co., Ltd.		2,200		49,704
Riso Kagaku Corp.		4,500		55,321
Riso Kyoiku Co., Ltd.		12,900		36,429
Rock Field Co., Ltd.		4,300		55,759
Rohto Pharmaceutical Co., Ltd.		6,700		206,348
Rorze Corp.		1,200		54,600
Royal Holdings Co., Ltd. (a)		4,600		84,295
Ryobi Ltd.		100		1,304
Ryosan Co., Ltd.		4,400		99,884
Ryoyo Electro Corp.		3,900		96,838
S Foods, Inc.		6,600		156,428

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

Elements Portfolios Annual Report May 31, 2020

42

Schedule of Investments as of May 31, 2020

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Japan - 36.3% (continued)
Saint Marc Holdings Co., Ltd.		400	$	6,943
Saizeriya Co., Ltd.		9,000		191,680
Sakai Chemical Industry Co., Ltd.		2,100		38,947
Sakai Moving Service Co., Ltd.		1,200		68,256
Sakata INX Corp.		6,000		59,960
Sakata Seed Corp.		1,200		41,239
San-A Co., Ltd.		1,700		67,902
San-Ai Oil Co., Ltd.		23,000		236,619
Sangetsu Corp.		5,600		83,026
Sanki Engineering Co., Ltd.		12,000		153,163
Sankyo Tateyama, Inc.		5,900		52,864
Sankyu, Inc.		1,900		77,555
Sanrio Co., Ltd.		2,100		35,262
Sanshin Electronics Co., Ltd.		4,100		62,932
Sanwa Holdings Corp.		9,200		79,053
Sanyo Chemical Industries Ltd.		1,400		64,293
Sapporo Holdings Ltd.		2,900		58,078
Sato Holdings Corp.		4,000		92,349
SB Technology Corp.		2,800		72,686
SCSK Corp.		3,200		157,178
Seino Holdings Co., Ltd.		19,300		263,559
Sekisui Jushi Corp.		2,300		50,794
Sekisui Plastics Co., Ltd.		300		1,689
Senko Group Holdings Co., Ltd.		5,200		41,699
Seria Co., Ltd.		4,700		150,871
SFP Holdings Co., Ltd.		1,200		18,781
Shikoku Chemicals Corp.		2,600		27,787
Shikoku Electric Power Co., Inc.		300		2,253
Shimachu Co., Ltd.		2,100		57,124
Shindengen Eletric Manufacturing Co., Ltd.		900		22,301
Shin-Etsu Polymer Co., Ltd.		15,000		132,615
Shinko Electric Industries Co., Ltd.		1,800		22,962
Shinmaywa Industries Ltd.		11,600		115,172
Shinnihon Corp.		12,600		88,249
Ship Healthcare Holdings, Inc.		2,800		121,447
Shizuoka Gas Co., Ltd.		24,700		227,656
Shoei Co., Ltd.		1,600		36,841
Showa Corp.		2,100		43,918
Showa Sangyo Co., Ltd.		6,900		211,230
Sinanen Holdings Co., Ltd.		6,000		151,972
Sinko Industries Ltd.		2,500		35,619
Sintokogio Ltd.		13,400		98,491
Skylark Holdings Co., Ltd. (a)		15,100		244,861
Sojitz Corp.		133,700		311,510
ST Corp.		3,500		53,844
Starzen Co., Ltd.		2,000		85,937
Studio Alice Co., Ltd.		3,200		48,696
Sugi Holdings Co., Ltd.		6,400		413,269
Sumitomo Densetsu Co., Ltd.		8,300		193,333
Sumitomo Forestry Co., Ltd.		6,000		76,282
Sumitomo Mitsui Construction Co., Ltd.		17,160		72,331
Sumitomo Riko Co., Ltd.		11,700		68,947
Sumitomo Seika Chemicals Co., Ltd.		3,800		107,605
Sushiro Global Holdings Ltd.		3,600		76,349
Systena Corp.		10,000		143,274
T. Hasegawa Co., Ltd.		3,600		79,883
Tachi-S Co., Ltd.		1,600		13,325

	SHARES		FAIR VALUE
Japan - 36.3% (continued)
Taiyo Yuden Co., Ltd.		300	$	8,399
Takamatsu Construction Group Co., Ltd.		3,600		85,753
Takara Holdings, Inc.		14,600		117,989
Takara Standard Co., Ltd.		10,400		152,375
Takasago International Corp.		100		2,305
Takasago Thermal Engineering Co., Ltd.		5,200		88,536
Takashimaya Co., Ltd.		15,600		150,192
Takeuchi Manufacturing Co., Ltd.		4,500		74,617
Takuma Co., Ltd.		10,600		138,079
Tama Home Co., Ltd. (a)		6,300		76,443
Tamron Co., Ltd.		9,600		180,956
Tanseisha Co., Ltd.		8,800		61,555
Tatsuta Electric Wire and Cable Co., Ltd.		6,800		39,805
Tayca Corp.		100		1,465
Tekken Corp.		3,100		64,096
Tenma Corp.		6,500		110,205
T-Gaia Corp.		13,700		292,116
The Japan Steel Works Ltd.		1,200		17,812
The Japan Wool Textile Co., Ltd.		8,900		83,319
The Monogatari Corp.		1,200		87,502
The Nippon Road Co., Ltd.		1,200		79,170
The Nisshin Oillio Group Ltd.		3,500		112,233
The Pack Corp.		3,100		90,039
TIS, Inc.		14,100		299,715
TKC Corp.		3,800		199,006
Toa Corp.		7,100		108,744
Toagosei Co., Ltd.		8,200		78,872
Tocalo Co., Ltd.		400		3,933
Toei Co., Ltd.		400		54,635
Toenec Corp.		1,300		47,247
Toho Holdings Co., Ltd.		10,600		212,033
Tokai Carbon Co., Ltd.		4,600		42,003
Tokai Corp.		6,200		158,720
Tokai Holdings Corp.		8,900		83,246
Tokai Rika Co., Ltd.		8,800		129,615
Tokuyama Corp.		3,800		91,208
Tokyo Broadcasting System Holdings, Inc.		4,000		62,871
Tokyo Ohka Kogyo Co., Ltd.		300		13,981
Tokyo Steel Manufacturing Co., Ltd.		31,200		202,329
Tokyu Construction Co., Ltd.		19,300		105,496
Tomy Co., Ltd.		9,100		77,962
Toppan Forms Co., Ltd.		18,400		191,865
Toppan Printing Co., Ltd.		1,900		32,560
Torii Pharmaceutical Co., Ltd.		3,500		105,431
Toshiba Machine Co., Ltd.		3,600		79,327
Toshiba TEC Corp.		8,800		307,056
Totetsu Kogyo Co., Ltd.		1,800		48,180
Toyo Construction Co., Ltd.		31,100		124,213
Toyo Ink SC Holdings Co., Ltd.		5,200		100,675
Toyo Tanso Co., Ltd.		3,000		45,486
Toyota Boshoku Corp.		14,700		208,238
Toyota Motor Corp.		1,436		90,500
TPR Co., Ltd.		7,900		108,095
Trancom Co., Ltd.		1,900		119,117
Transcosmos, Inc.		5,600		131,847
Trusco Nakayama Corp.		100		2,312
TS Tech Co., Ltd.		10,800		305,526

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

Elements Portfolios Annual Report May 31, 2020

43

Schedule of Investments as of May 31, 2020

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Japan - 36.3% (continued)
TSI Holdings Co., Ltd.		11,100	$	47,673
Tsubakimoto Chain Co.		1,600		41,524
Tsugami Corp.		6,800		63,597
Tsukishima Kikai Co., Ltd.		2,700		32,383
Tsukui Corp.		5,300		24,750
Tsurumi Manufacturing Co., Ltd.		2,700		49,163
Tsutsumi Jewelry Co., Ltd.		100		1,605
TV Asahi Holdings Corp.		8,800		138,210
Ube Industries Ltd.		10,900		195,020
Ulvac, Inc.		1,100		33,221
Unipres Corp.		10,800		105,078
United Arrows Ltd.		6,800		116,573
United Super Markets Holdings, Inc.		28,000		293,232
United, Inc.		300		3,223
UT Group Co., Ltd. (a)(b)		3,800		71,428
Valor Holdings Co., Ltd.		9,100		179,168
Valqua Ltd.		2,600		50,311
Vector, Inc. (b)		200		1,586
VISION, Inc. (b)		6,900		54,646
Vital KSK Holdings, Inc.		15,200		150,886
VT Holdings Co., Ltd.		24,500		87,065
Wacoal Holdings Corp.		3,000		62,266
Wacom Co., Ltd.		34,800		157,717
Wakita & Co., Ltd.		10,300		98,799
Warabeya Nichiyo Holdings Co., Ltd.		10,100		164,722
Watami Co., Ltd.		10,100		98,639
WDB Holdings Co., Ltd.		1,600		40,109
World Holdings Co., Ltd.		5,500		92,436
Wowow, Inc.		3,600		85,682
Xebio Holdings Co., Ltd.		15,300		132,554
Yahagi Construction Co., Ltd.		8,400		60,329
YAKUODO Holdings Co., Ltd.		2,600		65,151
YAMABIKO Corp.		5,700		52,027
YA-MAN Ltd. (a)		7,300		50,231
Yamato Kogyo Co., Ltd.		9,100		187,885
Yamazen Corp.		29,900		260,167
Yaoko Co., Ltd.		2,300		150,637
Yellow Hat Ltd.		11,300		161,540
Yodogawa Steel Works Ltd.		5,100		81,566
Yokogawa Bridge Holdings Corp.		2,500		50,828
Yonex Co., Ltd.		15,200		73,731
Yorozu Corp.		2,600		28,052
Yoshinoya Holdings Co., Ltd.		5,400		123,822
Yuasa Trading Co., Ltd.		6,700		196,517
Yurtec Corp.		22,700		133,277
Yushin Precision Equipment Co., Ltd.		6,700		43,382
Zenrin Co., Ltd.		50		634
Zensho Holdings Co., Ltd.		1,300		27,730
Zeon Corp.		6,800		65,673
ZERIA Pharmaceutical Co., Ltd.		4,100		81,131
ZIGExN Co., Ltd.		7,800		27,454
Zojirushi Corp.		9,600		151,721
				60,525,227
Liechtenstein - 0.0% (d)
VP Bank AG		127		17,261

	SHARES		FAIR VALUE
Luxembourg - 0.3%
Aperam S.A.		11,924	$	328,122
SAF-Holland S.A. (b)		32,240		188,752
Senvion S.A. (b)		2,327		79
				516,953
Malta - 0.2%
Kindred Group PLC		47,215		260,893
Netherlands - 1.4%
Aalberts Industries N.V.		6,329		173,754
Arcadis N.V. (b)		17,424		299,109
ASM International N.V.		482		56,220
Brunel International N.V. (a)(b)		39,679		251,941
Flow Traders (c)		1,734		60,666
ForFarmers N.V.		62,266		395,357
PostNL N.V.		171,204		255,293
Rhi Magnesita N.V.		3,595		107,943
Signify N.V. (b)(c)		32,315		695,852
TomTom N.V. (b)		5,163		43,929
				2,340,064
Norway - 1.6%
Atea ASA		57,377		608,041
Austevoll Seafood ASA (a)		13,747		104,912
Axactor SE (b)		51,107		38,279
B2Holding ASA (a)(b)		113,008		52,245
Europris ASA (c)		123,817		522,898
Fjordkraft Holding ASA (c)		1,329		11,418
Grieg Seafood ASA		14,655		150,076
Nordic Semiconductor ASA (b)		3,001		19,789
Norway Royal Salmon ASA		6,280		154,943
PGS ASA (b)		292,868		95,776
Salmar ASA		9,429		425,217
SpareBank 1 SMN		3,493		28,046
TGS-Nopec Geophysical Co. ASA		8,887		127,307
Tomra Systems ASA (b)		5,528		199,170
Veidekke ASA (b)		2,028		20,703
Wallenius Wilhelmsen ASA		5,404		8,101
XXL ASA (a)(b)(c)		93,245		144,260
				2,711,181
Portugal - 0.3%
Altri SGPS S.A.		7,516		34,572
Corticeira Amorim SGPS S.A.		2,954		30,233
CTT-Correios de Portugal S.A. (b)		4,559		10,374
Mota-Engil SGPS S.A. (a)		79,575		101,227
Nos SGPS S.A. (b)		42,967		175,920
Semapa-Sociedade de Investimento e Gestao SGPS S.A. (b)		1,989		18,290
Sonae SGPS S.A.		157,939		118,270
				488,886
Singapore - 0.4%
Best World International Ltd. (e)		393,700		—
China Aviation Oil Singapore Corp., Ltd.		20,500		15,851
Indofood Agri Resources Ltd. (b)		66,100		14,192
Japfa Ltd. (b)		4,310		2,033
Kenon Holdings Ltd.		1,737		35,988

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

Elements Portfolios Annual Report May 31, 2020

44

Schedule of Investments as of May 31, 2020

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
Singapore - 0.4% (continued)
Sheng Siong Group Ltd.		395,400	$	440,269
SIA Engineering Co., Ltd.		82,200		105,122
Singapore Post Ltd.		39,800		21,764
				635,219
Spain - 2.5%
Acciona S.A.		11,688		1,170,405
Acerinox S.A.		17,800		142,405
Applus Services S.A.		14,343		113,591
Atresmedia Corp. de Medios de Comunicacion S.A.		99,083		265,069
Construcciones y Auxiliar de Ferrocarriles S.A.		6,565		226,881
Ebro Foods S.A.		3,944		82,395
Faes Farma S.A.		57,725		233,018
Fomento de Construcciones y Contratas S.A. (b)		23,891		240,804
Gestamp Automocion S.A. (c)		23,900		71,082
Global Dominion Access S.A. (c)		1,116		3,804
Grupo Catalana Occidente S.A.		20,255		458,702
Grupo Empresarial San Jose S.A. (a)(b)		7,254		38,666
Mediaset Espana Comunicacion S.A. (b)		143,120		511,098
Melia Hotels International S.A.		38,292		190,008
Miquel y Costas & Miquel S.A.		651		9,544
NH Hotel Group S.A.		2,064		8,845
Prosegur Cia de Seguridad S.A.		21,950		49,532
Sacyr S.A.		12,503		24,514
Talgo S.A. (b)(c)		26,556		124,259
Viscofan S.A.		3,329		218,670
				4,183,292
Sweden - 4.7%
AAK AB (b)		10,519		192,456
AcadeMedia AB (c)		7,427		42,303
Arjo AB		72,504		410,853
Attendo AB (b)(c)		52,323		226,967
Axfood AB		41,716		935,512
Bergman & Beving AB		529		3,330
Betsson AB (b)		39,021		272,315
Bilia AB (b)		55,715		456,591
BioGaia AB		1,103		59,648
Bravida Holding AB (b)(c)		15,042		145,926
Bufab AB (b)		267		2,425
Clas Ohlson AB		56,598		592,730
Cloetta AB (b)		7,520		18,967
Dustin Group AB (c)		7,130		40,713
Elekta AB		1,850		19,526
Getinge AB		25,197		467,749
Gunnebo AB (b)		2,115		4,268
Holmen AB (b)		5,312		174,811
Indutrade AB (b)		4,955		189,918
Inwido AB (b)		24,352		155,335
LeoVegas AB (c)		100,747		458,423
Lifco AB - B Shares		2,354		145,089
Lindab International AB		20,791		212,013
Momentum Group AB		1,782		20,614
Mycronic AB (b)		9,540		168,813
NCC AB - B Shares		6,082		96,772

	SHARES		FAIR VALUE
Sweden - 4.7% (continued)
New Wave Group AB (b)		1,724	$	5,273
Nobia AB (b)		28,770		130,335
Nolato AB (b)		1,645		111,621
Nordic Entertainment Group AB		3,889		117,607
Paradox Interactive AB		3,099		68,421
Ratos AB (b)		96,280		255,566
RaySearch Laboratories AB (b)		1,250		11,099
Sagax AB		963		3,075
Scandi Standard AB (b)		22,090		145,233
Scandic Hotels Group AB (a)(c)		47,663		214,013
SSAB AB (b)		76,105		186,145
Svenska Cellulosa AB SCA (b)		60,211		753,429
Sweco AB		8,770		370,416
Tele2 AB		1,268		16,801
				7,903,101
Switzerland - 6.1%
ALSO Holding AG		5,435		1,276,213
APG SGA S.A. (b)		44		8,324
Aryzta AG (a)(b)		521,964		274,877
Ascom Holding AG (b)		3,633		26,448
Banque Cantonale Vaudoise		290		28,280
Bell Food Group AG		790		188,917
BKW AG		2,562		205,011
Burkhalter Holding AG		279		19,514
Conzzeta AG		594		524,355
DKSH Holding AG		9,994		554,384
dormakaba Holding AG		739		417,058
Emmi AG		473		409,366
Feintool International Holding AG (b)		105		5,182
Forbo Holding AG		76		108,708
Galenica AG (c)		6,085		450,779
Georg Fischer AG		238		198,803
Helvetia Holding AG		5,361		477,867
Huber + Suhner AG		4,032		278,183
Implenia AG (a)		19,488		802,322
Inficon Holding AG		328		245,742
Interroll Holding AG		205		449,966
Kardex AG		2,212		383,876
Kudelski S.A. (a)		2,600		8,204
Landis & Gyr Group AG		2,368		156,337
LEM Holding S.A.		18		25,298
Logitech International S.A.		7,555		448,887
Meier Tobler Group AG (b)		520		5,634
Mobilezone Holding AG		17,722		151,514
Orior AG		2,190		168,674
Rieter Holding AG		3,823		345,356
Schweiter Technologies AG		396		459,579
SFS Group AG		2,414		219,722
Siegfried Holding AG (b)		129		53,813
Swissquote Group Holding S.A.		386		25,788
Tecan Group AG		531		185,996
TX Group AG		71		5,143
Valora Holding AG (b)		1,672		342,771
Vetropack Holding AG		750		46,953
Zehnder Group AG		3,836		148,695
Zur Rose Group AG (b)		109		21,936
				10,154,475

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

Elements Portfolios Annual Report May 31, 2020

45

Schedule of Investments as of May 31, 2020

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

	SHARES		FAIR VALUE
United Kingdom -0.6%
Dialog Semiconductor PLC (b)		24,371	$	974,573
Torm PLC		1,000		8,359
				982,932
United States - 15.9%
Alphabet, Inc. - Class C (b)(f)		2,086		2,980,727
Cadence Design Systems, Inc. (b)		20,855		1,903,853
Comcast Corp. (f)		66,946		2,651,062
Gilead Sciences, Inc. (f)		31,283		2,434,756
Intuit, Inc. (f)		10,428		3,027,457
JPMorgan Chase & Co.		39,625		3,855,909
Lockheed Martin Corp. (f)		10,428		4,050,652
Maxim Integrated Products, Inc.		20,855		1,202,916
Okta, Inc. (b)		7,925		1,549,972
Texas Instruments, Inc. (f)		21,481		2,550,654
Western Digital Corp.		8,968		397,910
				26,605,868
TOTAL COMMON STOCKS (Cost $142,878,295)				153,087,674
PREFERRED STOCKS - 0.3%
Germany - 0.3%
Draegerwerk AG & Co. KGaA - Preferred		3,160		250,991
Sartorius AG		606		225,911
STO SE & Co. KGaA		95		10,883
TOTAL PREFERRED STOCKS (Cost $238,915)				487,785
REAL ESTATE INVESTMENT TRUSTS - 3.7%
United States - 3.7%
American Tower Corp. (f)		6,882		1,776,726
Crown Castle International Corp. (f)		25,652		4,416,248
TOTAL REAL ESTATE INVESTMENT TRUST (Cost $5,727,614)				6,192,974
RIGHTS - 0.1%
Sweden - 0.1%
Scandic Hotels Group AB - Right (b)(e)		47,663		110,273
Switzerland - 0.0% (d)
Meier Tobler Group AG - Right (b)(e)		520		811
TOTAL RIGHTS (Cost $96,345)				111,084
SHORT-TERM INVESTMENTS - 1.6%
Money Market Funds - 1.6%
Fidelity Investments Money Market Funds - Government Portfolio, 0.08% (g)		518,123		518,123
Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class, 0.09% (g)		518,122		518,122

	SHARES		FAIR VALUE
Money Market Funds - 1.6% (continued)
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio, 0.05% (g)		518,123	$	518,123
STIT - Government & Agency Portfolio, 0.12% (g)		518,122		518,122
STIT - Treasury Portfolio - Institutional Class, 0.08% (g)		518,122		518,122
TOTAL SHORT-TERM INVESTMENTS (Cost $2,590,612)				2,590,612
INVESTMENTS PURCHASED WITH THE CASH PROCEEDS FROM SECURITIES LENDING - 2.5%
BlackRock Liquidity Funds FedFund Portfolio, 0.11% (g)		4,239,580		4,239,580
TOTAL INVESTMENTS PURCHASED WITH THE CASH PROCEEDS FROM SECURITIES LENDING (Cost $4,239,580)				4,239,580
TOTAL INVESTMENTS (Cost $155,771,361) - 99.9%				166,709,709
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.1%				99,951
TOTAL NET ASSETS - 100.0%			$166,809,660

Percentages are stated as a percent of net assets.

PLC - Public Limited Company

(a) This security or a portion of this security was out on loan as of May 31, 2020. Total loaned securities had a market value of $4,683,541 as of May 31, 2020.

(b) Non-income producing security.

(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities totaled $4,232,496 or 2.5% of net assets.

(d) Rounds to zero.

(e) Value determined using significant unobservable inputs.

(f) This security or a portion of this security was held as collateral for derivative contracts as of May 31, 2020. The total market value of the collateral was $4,576,581 as of May 31, 2020.

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

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

Elements Portfolios Annual Report May 31, 2020

46

Schedule of Investments as of May 31, 2020

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

Open Futures Contracts

DESCRIPTION	NUMBER OF CONTRACTS PURCHASED		NOTIONAL VALUE		VALUE/ UNREALIZED APPRECIATION/ (DEPRECIATION)
FUTURES CONTRACTS PURCHASED
Australian Dollar, June 2020 Settlement		55	$	3,663,000	$	176,728
British Pound, June 2020 Settlement		184		14,174,900		(389,543	)
Euro FX, June 2020 Settlement		108		14,986,350		155,744
Mini MSCI EAFE Index, June 2020 Settlement		99		8,541,720		174,036
TOTAL FUTURES CONTRACTS PURCHASED			$	41,365,970	$	116,964

Total Return Swaps — Long

COUNTERPARTY (a)

PORTFOLIO RECEIVES TOTAL RETURN ON REFERENCE ENTITY

PORTFOLIO PAYS BASE FINANCING RATE (b)

TERMINATION DATE

PAYMENT FREQUENCY

NOTIONAL VALUE

NUMBER OF UNITS

VALUE/ UNREALIZED APPRECIATION (DEPRECIATION)

MS

888 Holdings PLC

1-Month LIBOR GBP

5/6/2025

Term

$

116,249

64,208

$

5,493

UBS

888 Holdings PLC

1-Month LIBOR GBP

5/13/2025

Term

66,703

39,138

7,524

UBS

A.G. Barr PLC

1-Month LIBOR GBP

5/13/2025

Term

191,869

32,673

4,821

GS

Accent Group Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

16,606

23,840

4,959

UBS

Aggreko PLC

1-Month LIBOR GBP

5/13/2025

Term

197,880

36,136

13,856

UBS

Air France — KLM S.A.

1-Month LIBOR EUR

5/13/2025

Term

124,400

28,393

3,690

UBS

Akka Technologies

1-Month LIBOR EUR

5/13/2025

Term

108,697

4,299

12,076

MS

Akwel

1-Month LIBOR EUR

5/6/2025

Term

49,990

4,094

19,768

UBS

Akwel

1-Month LIBOR EUR

5/13/2025

Term

45,013

3,168

8,970

UBS

Alten S.A.

1-Month LIBOR EUR

5/13/2025

Term

116,766

1,570

10,063

GS

Ansell Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

174,374

8,993

36,578

GS

A.P. Eagers Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

16,040

6,077

10,087

GS

ARB Corp Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

14,707

1,556

2,991

UBS

Ashmore Group PLC

1-Month LIBOR GBP

5/13/2025

Term

222,666

48,467

34,639

UBS

ASOS PLC

1-Month LIBOR GBP

5/13/2025

Term

235,049

6,790

17,895

MS

Assystem

1-Month LIBOR EUR

5/6/2025

Term

1,372

62

113

UBS

Aubay

1-Month LIBOR EUR

5/13/2025

Term

1,114

40

158

GS

Austal Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

8,817

4,337

859

GS

Australian Pharma Indus Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

5,574

7,368

(49

)

UBS

Babcock International Group PLC

1-Month LIBOR GBP

5/13/2025

Term

36,510

7,947

1,184

UBS

Balfour Beatty PLC

1-Month LIBOR GBP

5/13/2025

Term

106,677

34,690

1,069

GS

Bega Cheese Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

61,431

19,281

7,199

UBS

Bellway PLC

1-Month LIBOR GBP

5/13/2025

Term

455,736

15,161

28,117

UBS

Biffa PLC

1-Month LIBOR GBP

5/13/2025

Term

155,837

63,473

41,377

MS

Boiron S.A.

1-Month LIBOR EUR

5/6/2025

Term

43,917

1,181

(658

)

UBS

Boiron S.A.

1-Month LIBOR EUR

5/13/2025

Term

149,675

4,037

(1,788

)

UBS

Bonduelle SCA

1-Month LIBOR EUR

5/13/2025

Term

22,642

969

94

UBS

Boohoo Group PLC

1-Month LIBOR GBP

5/13/2025

Term

133,643

30,143

11,394

GS

Breville Group Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

154,338

13,392

44,772

UBS

Britvic PLC

1-Month LIBOR GBP

5/13/2025

Term

1,698

198

65

UBS

C&C Group PLC

1-Month LIBOR EUR

5/13/2025

Term

41,501

18,353

2,214

UBS

Cairn Energy PLC

1-Month LIBOR GBP

5/13/2025

Term

28,733

22,053

5,533

UBS

Cairn Homes PLC

1-Month LIBOR EUR

5/13/2025

Term

8,758

9,987

1,241

UBS

Centamin PLC

1-Month LIBOR GBP

5/13/2025

Term

315,863

148,138

(14,389

)

UBS

CGG S.A.

1-Month LIBOR EUR

5/13/2025

Term

69,056

62,397

(624

)

UBS

Cineworld Group PLC

1-Month LIBOR GBP

5/13/2025

Term

65,118

96,359

36,270

MS

CMC Markets PLC

1-Month LIBOR GBP

5/6/2025

Term

44,901

17,564

(1,888

)

MS

CME Group Inc.

1-Month LIBOR USD

5/6/2025

Term

6,385

37

368

UBS

Coats Group PLC

1-Month LIBOR GBP

5/13/2025

Term

46,366

92,358

15,345

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

Elements Portfolios Annual Report May 31, 2020

47

Schedule of Investments as of May 31, 2020

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

COUNTERPARTY (a)

PORTFOLIO RECEIVES TOTAL RETURN ON REFERENCE ENTITY

PORTFOLIO PAYS BASE FINANCING RATE (b)

TERMINATION DATE

PAYMENT FREQUENCY

NOTIONAL VALUE

NUMBER OF UNITS

VALUE/ UNREALIZED APPRECIATION (DEPRECIATION)

UBS

Coface S.A.

1-Month LIBOR EUR

5/13/2025

Term

$

47,149

8,478

$

1,498

GS

Collins Foods Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

17,638

4,040

3,956

UBS

Computacenter PLC

1-Month LIBOR GBP

5/13/2025

Term

610,914

34,885

83,845

GS

Coronado Global Resource — CDI

1-Month Bank Bill Swap Rate

4/29/2030

Term

65,467

80,837

(1,179

)

GS

Corporate Travel Management

1-Month Bank Bill Swap Rate

4/29/2030

Term

609

100

194

UBS

Cranswick PLC

1-Month LIBOR GBP

5/13/2025

Term

294,860

6,333

(5,717

)

UBS

Crest Nicholson Holdings

1-Month LIBOR GBP

5/13/2025

Term

175,881

61,280

25,672

GS

CSR Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

198,126

91,741

51,866

UBS

CVS Group PLC

1-Month LIBOR GBP

5/13/2025

Term

212,889

18,737

10,014

UBS

Dart Group PLC

1-Month LIBOR GBP

5/13/2025

Term

253,387

42,426

211,200

UBS

Derichebourg

1-Month LIBOR EUR

5/13/2025

Term

74,353

25,276

3,803

UBS

Devoteam S.A.

1-Month LIBOR EUR

5/13/2025

Term

19,551

256

544

GS

Dicker Data Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

23,450

5,629

6,254

UBS

Diploma PLC

1-Month LIBOR GBP

5/13/2025

Term

131,581

6,227

9,951

UBS

Diversified Gas & Oil PLC

1-Month LIBOR GBP

5/13/2025

Term

1,767

1,355

21

UBS

Dixons Carphone PLC

1-Month LIBOR GBP

5/13/2025

Term

363,962

426,185

35,148

MS

Drax Group PLC

1-Month LIBOR GBP

5/6/2025

Term

9,246

3,808

707

UBS

Drax Group PLC

1-Month LIBOR GBP

5/13/2025

Term

268,263

107,640

13,124

UBS

Dunelm Group PLC

1-Month LIBOR GBP

5/13/2025

Term

496,393

45,340

102,989

UBS

Electrocomponents PLC

1-Month LIBOR GBP

5/13/2025

Term

27,919

3,966

3,395

UBS

Elementis PLC

1-Month LIBOR GBP

5/13/2025

Term

37,018

48,898

3,161

UBS

Elior Group

1-Month LIBOR EUR

5/13/2025

Term

293,947

49,312

10,531

UBS

Elis S.A.

1-Month LIBOR EUR

5/13/2025

Term

8,445

800

1,527

UBS

Emis Group PLC

1-Month LIBOR GBP

5/13/2025

Term

140,458

10,669

8,662

UBS

Enquest PLC

1-Month LIBOR GBP

5/13/2025

Term

49,910

382,698

6,649

UBS

Equiniti Group PLC

1-Month LIBOR GBP

5/13/2025

Term

1,067

572

(121

)

GS

Evolution Mining Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

41,954

11,809

5,357

MS

Ferrexpo PLC

1-Month LIBOR GBP

5/6/2025

Term

30,427

18,250

9,314

UBS

Ferrexpo PLC

1-Month LIBOR GBP

5/13/2025

Term

412,663

247,146

125,627

UBS

Figeac-Aero

1-Month LIBOR EUR

5/13/2025

Term

3,204

997

576

UBS

Firstgroup PLC

1-Month LIBOR GBP

5/13/2025

Term

244,361

364,726

6,933

UBS

Forterra PLC

1-Month LIBOR GBP

5/13/2025

Term

23,883

9,621

(625

)

MS

Frasers Group PLC

1-Month LIBOR GBP

5/6/2025

Term

195,926

63,970

46,933

UBS

Frasers Group PLC

1-Month LIBOR GBP

5/13/2025

Term

472,621

158,661

129,857

UBS

Games Workshop Group PLC

1-Month LIBOR GBP

5/13/2025

Term

1,016,985

13,736

342,034

GS

Gaztransport Et Techniga S.A.

1-Month LIBOR EUR

4/29/2030

Term

53,847

691

(1,981

)

UBS

Gaztransport Et Techniga S.A.

1-Month LIBOR EUR

5/13/2025

Term

135,035

1,785

(1,048

)

MS

GL Events

1-Month LIBOR EUR

5/6/2025

Term

2,960

253

564

UBS

GL Events

1-Month LIBOR EUR

5/13/2025

Term

25,967

2,154

4,036

UBS

Go-Ahead Group PLC

1-Month LIBOR GBP

5/13/2025

Term

140,353

9,969

(5,989

)

UBS

Goco Group PLC

1-Month LIBOR GBP

5/13/2025

Term

67,070

67,463

(2,262

)

UBS

Grafton Group PLC-Uts

1-Month LIBOR GBP

5/13/2025

Term

162,561

20,551

(3,670

)

UBS

Greencore Group PLC

1-Month LIBOR GBP

5/13/2025

Term

280,380

134,976

(53,965

)

MS

Greggs PLC

1-Month LIBOR GBP

5/6/2025

Term

187,158

9,448

29,210

UBS

Greggs PLC

1-Month LIBOR GBP

5/13/2025

Term

116,112

6,344

29,206

GS

Groupe Crit

1-Month LIBOR EUR

4/29/2030

Term

1,840

32

120

MS

Groupe Crit

1-Month LIBOR EUR

5/6/2025

Term

31,666

566

3,006

UBS

Groupe Crit

1-Month LIBOR EUR

5/13/2025

Term

59,661

1,058

5,154

UBS

Groupe Guillin

1-Month LIBOR EUR

5/13/2025

Term

61,816

3,375

7,021

MS

Guerbet

1-Month LIBOR EUR

5/6/2025

Term

31

1

8

UBS

Guerbet

1-Month LIBOR EUR

5/13/2025

Term

43,111

1,263

5,960

UBS

Halfords Group PLC

1-Month LIBOR GBP

5/13/2025

Term

133,001

63,951

11,656

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

Elements Portfolios Annual Report May 31, 2020

48

Schedule of Investments as of May 31, 2020

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

COUNTERPARTY (a)

PORTFOLIO RECEIVES TOTAL RETURN ON REFERENCE ENTITY

PORTFOLIO PAYS BASE FINANCING RATE (b)

TERMINATION DATE

PAYMENT FREQUENCY

NOTIONAL VALUE

NUMBER OF UNITS

VALUE/ UNREALIZED APPRECIATION (DEPRECIATION)

UBS

Hays PLC

1-Month LIBOR GBP

5/13/2025

Term

$

529,833

431,606

$

76,340

UBS

Hill & Smith Holdings PLC

1-Month LIBOR GBP

5/13/2025

Term

173,497

12,725

28,186

MS

Hotel Chocolat Group PLC

1-Month LIBOR GBP

5/6/2025

Term

2,528

602

(67

)

GS

Howden Joinery Group PLC

1-Month LIBOR GBP

4/29/2030

Term

2,292

353

296

MS

Howden Joinery Group PLC

1-Month LIBOR GBP

5/6/2025

Term

358,305

56,009

52,345

UBS

Howden Joinery Group PLC

1-Month LIBOR GBP

5/13/2025

Term

239,744

36,531

28,154

UBS

IG Group Holdings PLC

1-Month LIBOR GBP

5/13/2025

Term

197,010

20,180

(6,229

)

GS

IGO Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

15,994

5,138

1,211

UBS

Imerys S.A.

1-Month LIBOR EUR

5/13/2025

Term

28,113

888

4,157

MS

Inchcape PLC

1-Month LIBOR GBP

5/6/2025

Term

381,904

63,342

11,712

UBS

Inchcape PLC

1-Month LIBOR GBP

5/13/2025

Term

507,656

88,059

39,696

GS

Inghams Group Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

945

422

16

UBS

Interparfums S.A.

1-Month LIBOR EUR

5/13/2025

Term

34

1

2

GS

IPH Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

61,200

12,612

2,507

MS

Ipsos

1-Month LIBOR EUR

5/6/2025

Term

135,469

6,934

34,230

UBS

Ipsos

1-Month LIBOR EUR

5/13/2025

Term

136,653

6,916

32,617

UBS

IWG PLC

1-Month LIBOR GBP

5/13/2025

Term

136,777

54,025

61,677

UBS

Jacquet Metal Service S.A.

1-Month LIBOR EUR

5/13/2025

Term

131,415

12,268

19,700

GS

JB Hi-Fi Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

954,632

41,537

74,976

MS

Kaufman & Broad S.A.

1-Month LIBOR EUR

5/6/2025

Term

108,393

2,959

(3,360

)

UBS

Kaufman & Broad S.A.

1-Month LIBOR EUR

5/13/2025

Term

157,740

4,721

9,851

UBS

Keller Group PLC

1-Month LIBOR GBP

5/13/2025

Term

129,989

18,023

11,765

GS

Kogan.Com Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

237,470

47,821

121,559

UBS

Korian

1-Month LIBOR EUR

5/13/2025

Term

144,129

4,328

12,026

UBS

Lagardere SCA

1-Month LIBOR EUR

5/13/2025

Term

675,369

46,801

(16,700

)

UBS

Lisi

1-Month LIBOR EUR

5/13/2025

Term

41,858

2,861

12,878

UBS

LNA Sante

1-Month LIBOR EUR

5/13/2025

Term

712

16

74

UBS

M6-Metropole Television

1-Month LIBOR EUR

5/13/2025

Term

185,929

17,762

21,264

GS

Magellan Financial Group Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

50,648

1,520

8,764

UBS

Maisons Du Monde S.A.

1-Month LIBOR EUR

5/13/2025

Term

194,937

21,667

66,549

UBS

Man Group PLC

1-Month LIBOR GBP

5/13/2025

Term

160,228

97,549

11,432

UBS

Manitou BF S.A.

1-Month LIBOR EUR

5/13/2025

Term

4,709

303

848

GS

Marshalls PLC

1-Month LIBOR GBP

4/29/2030

Term

18,563

2,367

504

MS

Marshalls PLC

1-Month LIBOR GBP

5/6/2025

Term

203,710

26,669

11,139

UBS

McCarthy & Stone PLC

1-Month LIBOR GBP

5/13/2025

Term

103,527

119,413

2,746

GS

McMillan Shakespeare Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

86,869

18,725

21,251

UBS

Mersen

1-Month LIBOR EUR

5/13/2025

Term

29,867

1,480

4,269

GS

Metcash Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

58,732

34,554

3,436

UBS

Mitchells & Butlers PLC

1-Month LIBOR GBP

5/13/2025

Term

3,397

1,884

835

GS

Monadelphous Group Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

705

100

82

MS

Moneysupermarket.com

1-Month LIBOR GBP

5/6/2025

Term

10,398

2,661

955

UBS

Moneysupermarket.com

1-Month LIBOR GBP

5/13/2025

Term

300,784

75,170

19,981

UBS

Morgan Sindall Group PLC

1-Month LIBOR GBP

5/13/2025

Term

83,766

5,299

(3,448

)

UBS

National Express Group PLC

1-Month LIBOR GBP

5/13/2025

Term

76,418

30,846

6,765

GS

New Hope Corp. Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

51,268

53,976

(2,485

)

MS

Nexans S.A.

1-Month LIBOR EUR

5/6/2025

Term

12,576

365

2,381

UBS

Nexans S.A.

1-Month LIBOR EUR

5/13/2025

Term

343,773

8,494

4,333

UBS

Nexity

1-Month LIBOR EUR

5/13/2025

Term

105,052

3,337

3,787

GS

NIB Holdings Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

110,816

34,564

(2,417

)

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

Elements Portfolios Annual Report May 31, 2020

49

Schedule of Investments as of May 31, 2020

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

COUNTERPARTY (a)

PORTFOLIO RECEIVES TOTAL RETURN ON REFERENCE ENTITY

PORTFOLIO PAYS BASE FINANCING RATE (b)

TERMINATION DATE

PAYMENT FREQUENCY

NOTIONAL VALUE

NUMBER OF UNITS

VALUE/ UNREALIZED APPRECIATION (DEPRECIATION)

GS

Northern Star Resources Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

$

28,232

3,119

$

1,952

UBS

Origin Enterprises PLC

3-Month LIBOR EUR

5/13/2025

Term

51,172

16,464

(520

)

GS

Pact Group Holdings Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

25,581

20,689

6,116

UBS

Pagegroup PLC

1-Month LIBOR GBP

5/13/2025

Term

448,646

103,557

30,508

GS

Perpetual Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

28,564

1,605

4,961

UBS

Petrofac Ltd.

1-Month LIBOR GBP

5/13/2025

Term

62,897

29,524

(65

)

UBS

Pets At Home Group PLC

1-Month LIBOR GBP

5/13/2025

Term

693,096

223,413

(57,381

)

UBS

Phoenix Group Holdings PLC

1-Month LIBOR GBP

5/13/2025

Term

95,273

13,255

6,604

UBS

Plastic Omnium

1-Month LIBOR EUR

5/13/2025

Term

274,853

15,341

43,843

UBS

Playtech PLC

1-Month LIBOR GBP

5/13/2025

Term

223,802

84,287

53,139

GS

Plus500 Ltd.

1-Month LIBOR GBP

4/29/2030

Term

59,355

3,879

3,940

UBS

Plus500 Ltd.

1-Month LIBOR GBP

5/13/2025

Term

365,845

23,107

11,324

GS

Premier Investments Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

91,468

9,844

17,447

UBS

Premier Oil PLC

1-Month LIBOR GBP

5/13/2025

Term

25,219

73,747

(544

)

GS

Pro Medicus Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

98,684

5,772

12,392

UBS

Provident Financial PLC

1-Month LIBOR GBP

5/13/2025

Term

3,557

1,920

1,141

UBS

PZ Cussons PLC

1-Month LIBOR GBP

5/13/2025

Term

123,750

55,545

(2,637

)

UBS

Quadient

1-Month LIBOR EUR

5/13/2025

Term

55,289

4,056

3,549

UBS

Rathbone Brothers PLC

1-Month LIBOR GBP

5/13/2025

Term

46,705

2,667

1,091

MS

Redcentric PLC

1-Month LIBOR GBP

5/6/2025

Term

82,828

61,813

6,764

UBS

Redrow PLC

1-Month LIBOR GBP

5/13/2025

Term

80,753

15,164

7,476

GS

Regis Healthcare Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

8,260

8,851

332

UBS

Renewi PLC

1-Month LIBOR GBP

5/13/2025

Term

136,282

513,257

12,869

UBS

Rexel S.A.

1-Month LIBOR EUR

5/13/2025

Term

166,709

18,477

21,673

UBS

RHI Magnesita N.V.

1-Month LIBOR GBP

5/13/2025

Term

243,604

8,798

21,245

UBS

Rightmove PLC

1-Month LIBOR GBP

5/13/2025

Term

59,105

9,257

8,324

MS

Rotork PLC

1-Month LIBOR GBP

5/6/2025

Term

61,614

20,753

7,055

UBS

Rotork PLC

1-Month LIBOR GBP

5/13/2025

Term

226,512

73,189

15,715

UBS

Royal Mail PLC

1-Month LIBOR GBP

5/13/2025

Term

104,322

49,413

2,252

GS

Sandfire Resources Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

104,889

35,927

245

GS

Saracen Mineral Holdings Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

64,999

21,385

6,671

UBS

Serco Group PLC

1-Month LIBOR GBP

5/13/2025

Term

62,340

38,829

(1,226

)

GS

Service Stream Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

65,800

53,505

6,635

GS

SG Fleet Group Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

37,897

46,795

16,214

GS

Sigma Healthcare Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

104,153

264,842

(1,810

)

UBS

Signature Aviation PLC

1-Month LIBOR GBP

5/13/2025

Term

35,118

15,321

9,280

GS

Sims Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

145,351

33,861

30,291

UBS

SMCP S.A.

1-Month LIBOR EUR

5/13/2025

Term

74,683

15,610

11,264

UBS

Société Bic S.A.

1-Month LIBOR EUR

5/13/2025

Term

30,051

610

2,520

MS

Softcat PLC

1-Month LIBOR GBP

5/6/2025

Term

339,514

24,264

5,880

UBS

Softcat PLC

1-Month LIBOR GBP

5/13/2025

Term

147,034

10,081

(3,499

)

UBS

Solocal Group

1-Month LIBOR EUR

5/13/2025

Term

64,454

388,908

(5,425

)

UBS

Sopra Steria Group

1-Month LIBOR EUR

5/13/2025

Term

320,837

3,065

42,912

GS

Southern Cross Media Group Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

19,745

236,979

17,306

UBS

Spectris PLC

1-Month LIBOR GBP

5/13/2025

Term

28,636

884

(6

)

UBS

Spie S.A.

1-Month LIBOR EUR

5/13/2025

Term

182,199

12,704

16,591

UBS

Spire Healthcare Group PLC

1-Month LIBOR GBP

5/13/2025

Term

34,094

30,437

2,902

UBS

Spirent Communications PLC

1-Month LIBOR GBP

5/13/2025

Term

43,992

13,969

(620

)

UBS

SSP Group PLC

1-Month LIBOR GBP

5/13/2025

Term

3,942

1,451

1,065

GS

Super Retail Group Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

182,485

46,324

76,332

UBS

SuperDry PLC

1-Month LIBOR GBP

5/13/2025

Term

52,981

29,586

(4,061

)

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

Elements Portfolios Annual Report May 31, 2020

50

Schedule of Investments as of May 31, 2020

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

COUNTERPARTY (a)

PORTFOLIO RECEIVES TOTAL RETURN ON REFERENCE ENTITY

PORTFOLIO PAYS BASE FINANCING RATE (b)

TERMINATION DATE

PAYMENT FREQUENCY

NOTIONAL VALUE

NUMBER OF UNITS

VALUE/ UNREALIZED APPRECIATION (DEPRECIATION)

MS

Synergie S.A.

1-Month LIBOR EUR

5/6/2025

Term

$

793

37

$

77

UBS

Synergie S.A.

1-Month LIBOR EUR

5/13/2025

Term

19,342

889

1,557

UBS

TalkTalk Telecom Group

1-Month LIBOR GBP

5/13/2025

Term

114,391

105,255

4,656

UBS

Tarkett

1-Month LIBOR EUR

5/13/2025

Term

312,532

32,399

22,535

UBS

Tate & Lyle PLC

1-Month LIBOR GBP

5/13/2025

Term

205,795

25,972

10,798

GS

Technology One Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

55,193

9,431

2,636

UBS

Telecom Plus PLC

1-Month LIBOR GBP

5/13/2025

Term

69,217

4,085

4,057

UBS

Television Francaise 1

1-Month LIBOR EUR

5/13/2025

Term

8,511

1,816

1,751

UBS

TP ICAP PLC

1-Month LIBOR GBP

5/13/2025

Term

143,782

33,359

(2,939

)

UBS

Travis Perkins PLC

1-Month LIBOR GBP

5/13/2025

Term

163,688

12,623

8,692

UBS

Trigano S.A.

1-Month LIBOR EUR

5/13/2025

Term

167,085

2,272

41,983

UBS

UDG Healthcare PLC

1-Month LIBOR GBP

5/13/2025

Term

14,514

1,933

3,094

UBS

Ultra Electronics Holdings PLC

1-Month LIBOR GBP

5/13/2025

Term

144,169

5,959

1,349

UBS

Vesuvius PLC

1-Month LIBOR GBP

5/13/2025

Term

168,080

38,885

8,699

UBS

Vicat S.A.

1-Month LIBOR EUR

5/13/2025

Term

9,724

365

1,256

GS

Village Roadshow Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

20,933

18,049

3,811

MS

Virbac S.A.

1-Month LIBOR EUR

5/6/2025

Term

102,552

539

11,238

UBS

Virbac S.A.

1-Month LIBOR EUR

5/13/2025

Term

65,651

319

1,699

UBS

Vistry Group PLC

1-Month LIBOR GBP

5/13/2025

Term

80,521

8,993

4,905

GS

Viva Energy Group Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

205,392

224,103

41,578

UBS

WH Smith PLC

1-Month LIBOR GBP

5/13/2025

Term

53,356

4,714

8,878

GS

Whitehaven Coal Ltd.

1-Month Bank Bill Swap Rate

4/29/2030

Term

4,291

3,679

165

MS

William Hill PLC

1-Month LIBOR GBP

5/6/2025

Term

245,648

170,296

37,637

UBS

William Hill PLC

1-Month LIBOR GBP

5/13/2025

Term

142,667

107,862

36,803

UBS

Worldline S.A.

1-Month LIBOR EUR

5/13/2025

Term

126,077

1,756

5,778

$27,878,922

$3,177,421

Total Return Swaps — Short

COUNTERPARTY (a)	PORTFOLIO PAYS TOTAL RETURN ON REFERENCE ENTITY	PORTFOLIO RECEIVES BASE FINANCING RATE (b)	TERMINATION DATE		PAYMENT FREQUENCY		NOTIONAL VALUE		NUMBER OF UNITS		VALUE/UNREALIZED APPRECIATION/ (DEPRECIATION)
GS	Alphabet, Inc. — Class C	1-Month LIBOR USD		4/4/2029		Term	$	2,813,305		2,086	$	(167,795	)
GS	American Tower Corp.	1-Month LIBOR USD		4/4/2029		Term		1,637,916		6,882		(139,027	)
GS	Cadence Design Sys., Inc.	1-Month LIBOR USD		4/4/2029		Term		1,691,966		20,855		(212,111	)
GS	Comcast Corp. — Class A	1-Month LIBOR USD		4/4/2029		Term		2,519,178		66,946		(132,217	)
GS	Crown Castle Intl. Corp.	1-Month LIBOR USD		4/4/2029		Term		4,089,698		25,652		(327,092	)
GS	Gilead Sciences, Inc.	1-Month LIBOR USD		4/4/2029		Term		2,627,772		31,283		192,668
GS	Intuit, Inc.	1-Month LIBOR USD		4/4/2029		Term		2,813,579		10,428		(214,251	)
GS	JPMorgan Chase & Co.	1-Month LIBOR USD		4/4/2029		Term		3,794,490		39,625		(61,922	)
GS	Lockheed Martin Corp.	1-Month LIBOR USD		4/4/2029		Term		4,057,118		10,428		(19,099	)
GS	Maxim Integrated Products	1-Month LIBOR USD		4/4/2029		Term		1,146,608		20,855		(66,471	)
GS	Okta, Inc.	1-Month LIBOR USD		4/4/2029		Term		1,199,053		7,925		(351,078	)
GS	Texas Instruments, Inc.	1-Month LIBOR USD		4/4/2029		Term		2,493,300		21,481		(77,018	)
GS	Western Digital Corp.	1-Month LIBOR USD		4/4/2029		Term		413,245		8,968		15,281
							$31,297,228				$(1,560,132)
											$  1,617,289

(a) The full legal name of “GS” is “Goldman Sachs International,” the full legal name of “MS” is “Morgan Stanley Capital Services LLC,” and the full legal name of “UBS” is “UBS Group AG.”

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

Elements Portfolios Annual Report May 31, 2020

51

Schedule of Investments as of May 31, 2020

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO

(b) The swaps accrue financing fees according to the relevant base financing rate which resets periodically, plus a fixed spread. Each swap’s base financing rate is refreshed on a periodic basis, typically monthly. To the extent different swaps linked to the same base financing rate refresh at different times, there may be modest temporary differences in their rates. The financing rates as of May 31, 2020 are as follows:

	Variable Rate as of May 31, 2020	Fixed Spread Range as of May 31, 2020
1-Month LIBOR USD	0.18%	(0.50)%—0.75%
1-Month LIBOR EUR	(0.47)%	0.25%—0.75%
3-Month LIBOR EUR	(0.35)%	0.25%—0.50%
1-Month LIBOR GBP	0.09%	0.00%—0.75%
1-Month Bank Bill Swap Rate	0.09%	0.25%—0.75%

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

Elements Portfolios Annual Report May 31, 2020

52

Schedule of Investments as of May 31, 2020

ELEMENTS EMERGING MARKETS PORTFOLIO

	SHARES		FAIR VALUE
COMMON STOCKS - 86.7%
Bermuda - 1.0%
China Resources Gas Group Ltd.		58,000	$	317,738
Haier Electronics Group Co., Ltd.		451,000		1,262,746
Kunlun Energy Co., Ltd.		766,000		472,436
Nine Dragons Paper Holdings Ltd.		242,000		212,790
				2,265,710
Brazil - 1.8%
Ambev S.A.		303,600		710,029
Atacadao S.A.		39,700		135,178
BB Seguridade Participacoes S.A.		6,200		29,604
BRF S.A. (a)		10,700		45,918
Cia de Saneamento Basico do Estado de Sao Paulo		23,000		232,573
Embraer S.A. (a)		61,400		85,490
IRB Brasil Resseguros S/A		36,600		55,418
JBS S.A.		58,500		240,630
Lojas Renner S.A.		8,130		58,686
Petrobras Distribuidora S.A.		101,400		414,432
Petroleo Brasileiro S.A.		27,600		105,718
Porto Seguro S.A.		17,700		154,070
Raia Drogasil S.A.		11,000		227,285
Sul America S.A.		30,900		258,837
TIM Participacoes S.A.		86,000		214,504
Ultrapar Participacoes S.A.		136,400		436,067
Vale S.A.		47,400		462,160
WEG S.A.		36,500		283,926
				4,150,525
Cayman Islands - 10.0%
58.com, Inc. - ADR (a)		2,800		134,428
ANTA Sports Products Ltd.		57,000		510,835
Autohome, Inc. - ADR (b)		8,200		630,826
Bosideng International Holdings Ltd.		664,000		171,750
China Hongqiao Group Ltd.		534,000		236,926
China Medical System Holdings Ltd.		536,000		614,664
China Mengniu Dairy Co., Ltd.		80,000		288,542
China Resources Cement Holdings Ltd.		634,000		801,007
China Resources Land Ltd.		10,000		39,878
Country Garden Holdings Co., Ltd.		109,000		136,440
Country Garden Services Holdings Co., Ltd.		17,586		83,322
Dali Foods Group Co., Ltd. (c)		571,000		363,195
ENN Energy Holdings Ltd.		26,600		312,284
Geely Automobile Holdings Ltd.		279,000		385,498
Haitian International Holdings Ltd.		143,000		304,298
Hengan International Group Co., Ltd.		5,500		45,293
JD.com, Inc. - ADR (a)		45,625		2,478,806
JOYY, Inc. - ADR (a)		6,547		399,694
Kingboard Holdings Ltd.		91,000		221,594
Kingboard Laminates Holdings Ltd.		497,500		439,454
Kingdee International Software Group Co., Ltd.		1,000		1,779
Lee & Man Paper Manufacturing Ltd.		528,000		285,752
Li Ning Co., Ltd.		152,000		514,937
Logan Property Holdings Co., Ltd.		66,000		99,194
Longfor Group Holdings Ltd. (c)		89,000		407,009
Momo, Inc. - ADR		29,167		565,840
NetEase, Inc. - ADR		2,800		1,072,120

	SHARES		FAIR VALUE
Cayman Islands - 10.0% (continued)
New Oriental Education & Technology Group, Inc. - ADR (a)		5,798	$	695,528
Noah Holdings Ltd. - ADR (a)(b)		20,376		540,575
Seazen Group Ltd. (b)		174,000		162,533
Shenzhou International Group Holdings Ltd.		35,000		421,170
Shimao Property Holdings Ltd.		12,500		52,423
Shui On Land Ltd.		1,753,000		290,812
SINA Corp. (a)		19,556		612,298
Sino Biopharmaceutical Ltd.		856,500		1,353,383
TAL Education Group - ADR (a)		6,977		393,921
Tencent Music Entertainment Group - ADR (a)		9,400		121,448
Tingyi Cayman Islands Holding Corp.		610,000		1,050,157
Topsports International Holdings Ltd. (c)		200,000		286,099
Uni-President China Holdings Ltd.		456,000		474,141
Vipshop Holdings Ltd. - ADR (a)		119,000		2,063,460
Want Want China Holdings Ltd.		487,000		353,143
Xiaomi Corp. (a)(c)		105,000		164,366
Yihai International Holding Ltd.		10,000		89,896
Zhen Ding Technology Holding Ltd.		137,000		547,530
Zhongsheng Group Holdings Ltd.		206,000		1,065,808
ZTO Express Cayman, Inc. - ADR		16,400		534,968
				22,819,024
Chile - 0.2%
Cia Cervecerias Unidas S.A. - ADR		9,900		138,699
Enel Americas S.A. - ADR		42,758		317,265
Enel Chile S.A. - ADR		12,706		47,139
Latam Airlines Group S.A. - ADR (a)(b)		8,905		9,973
				513,076
China - 4.3%
Air China Ltd.		112,000		67,832
Anhui Conch Cement Co., Ltd.		50,500		380,795
AviChina Industry & Technology Co., Ltd.		584,000		267,131
Bank of China Ltd.		815,000		299,579
Beijing Capital International Airport Co., Ltd.		176,000		110,264
CGN Power Co., Ltd. (c)		208,000		47,917
China CITIC Bank Corp., Ltd.		134,000		58,559
China Communications Services Corp., Ltd.		838,000		558,845
China Everbright Bank Co., Ltd.		95,000		38,685
China Merchants Bank Co., Ltd.		49,000		230,891
China National Building Material Co., Ltd.		850,000		964,316
China Pacific Insurance Group Co., Ltd.		12,400		34,466
China Petroleum & Chemical Corp.		798,000		372,323
China Reinsurance Group Corp.		628,000		66,059
China Shenhua Energy Co., Ltd.		118,500		217,057
China Telecom Corp., Ltd.		2,628,000		871,794
China Tower Corp., Ltd. (c)		2,358,000		478,908
China Vanke Co., Ltd.		6,800		22,199
GF Securities Co., Ltd.		30,200		31,063
Great Wall Motor Co., Ltd.		301,500		192,017
Guangzhou Automobile Group Co., Ltd.		1,600		1,325
Guotai Junan Securities Co., Ltd. (c)		197,400		261,418
Industrial & Commercial Bank of China Ltd.		1,394,000		902,919
PetroChina Co., Ltd.		230,000		79,348
PICC Property & Casualty Co., Ltd.		405,000		354,345
Ping An Insurance Group Co. of China Ltd.		20,000		197,923

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

Elements Portfolios Annual Report May 31, 2020

53

Schedule of Investments as of May 31, 2020

ELEMENTS EMERGING MARKETS PORTFOLIO

	SHARES		FAIR VALUE
China - 4.3% (continued)
Postal Savings Bank of China Co., Ltd. (c)		660,000	$	422,727
Shandong Weigao Group Medical Polymer Co., Ltd.		128,000		224,515
Shanghai Pharmaceuticals Holding Co., Ltd.		89,100		141,248
Sinopec Shanghai Petrochemical Co., Ltd.		330,000		82,151
Sinopharm Group Co., Ltd.		178,000		439,610
The People’s Insurance Co. Group of China Ltd.		226,000		68,365
Tong Ren Tang Technologies Co., Ltd.		73,000		54,798
TravelSky Technology Ltd.		56,000		113,435
Tsingtao Brewery Co., Ltd.		90,000		626,356
Weichai Power Co., Ltd.		64,000		110,869
WuXi AppTec Co., Ltd. (c)		18,592		197,750
Yanzhou Coal Mining Co., Ltd.		134,000		102,872
Zhejiang Expressway Co., Ltd.		32,000		22,542
Zhuzhou CRRC Times Electric Co., Ltd.		45,700		118,913
Zoomlion Heavy Industry Science and Technology Co., Ltd.		42,600		35,053
				9,869,182
Colombia - 0.1%
Ecopetrol S.A. - ADR (b)		24,900		259,209
Grupo Aval Acciones y Valores S.A. - ADR		1,200		5,268
				264,477
Czech Republic - 0.0% (d)
Moneta Money Bank AS (c)		12,805		28,477
Greece - 0.2%
Hellenic Telecommunications Organization S.A.		12,324		172,548
JUMBO S.A.		3,524		64,122
Motor Oil Hellas Corinth Refineries S.A.		7,463		125,167
				361,837
Hong Kong - 5.8%
Beijing Enterprises Holdings Ltd.		13,000		43,400
BYD Electronic International Co., Ltd.		137,000		265,085
China Mobile Ltd.		590,500		4,175,274
China Resources Beer Holdings Co., Ltd.		100,000		533,262
China Resources Pharmaceutical Group Ltd. (c)		1,147,500		627,385
China Taiping Insurance Holdings Co., Ltd.		211,600		316,551
China Traditional Chinese Medicine Holdings Co., Ltd.		146,000		62,201
China Unicom Hong Kong Ltd.		2,816,000		1,637,487
CNOOC Ltd.		1,222,000		1,396,088
CSPC Pharmaceutical Group Ltd.		280,000		551,962
Far East Horizon Ltd.		294,000		261,563
Guangdong Investment Ltd.		132,000		261,020
Lenovo Group Ltd.		1,142,000		624,505
Shanghai Industrial Holdings Ltd.		124,000		193,894
Sinotruk Hong Kong Ltd.		546,500		1,332,091
Sun Art Retail Group Ltd.		682,000		1,049,791
				13,331,559

	SHARES		FAIR VALUE
Hungary - 0.3%
MOL Hungarian Oil & Gas PLC		33,788	$	213,953
Richter Gedeon Nyrt		17,097		373,663
				587,616
India - 1.9%
Dr Reddy’s Laboratories Ltd. - ADR		16,823		899,021
ICICI Bank Ltd. - ADR		42,500		369,750
Infosys Ltd. - ADR		133,300		1,213,030
Reliance Industries Ltd. (c)		17,949		697,515
Tata Motors Ltd. - ADR (a)(b)		25,494		145,571
Tata Steel Ltd.		637		2,454
Wipro Ltd. - ADR (b)		296,683		982,021
				4,309,362
Luxembourg - 0.1%
Globant S.A. (a)(b)		500		70,105
Reinet Investments S.C.A.		3,949		62,016
				132,121
Mexico - 2.3%
Alfa S.A.B. de C.V.		563,802		299,006
Alsea S.A.B. de C.V. (a)		191,267		161,384
America Movil S.A.B. de C.V.		1,065,297		708,132
Arca Continental S.A.B. de C.V.		87,118		389,064
Cemex S.A.B. de C.V.		908,575		215,113
Coca-Cola Femsa S.A.B. de C.V.		66,546		292,899
El Puerto de Liverpool S.A.B. de C.V.		43,851		109,556
Fomento Economico Mexicano S.A.B. de C.V.		84,308		570,456
Gruma S.A.B. de C.V.		34,660		343,888
Grupo Aeroportuario del Sureste S.A.B. de C.V.		8,900		92,446
Grupo Bimbo S.A.B. de C.V.		335,063		524,025
Grupo Carso S.A.B. de C.V.		27,567		63,738
Grupo Mexico S.A.B. de C.V.		105,027		226,257
Kimberly-Clark de Mexico S.A.B. de C.V.		44,200		68,808
Orbia Advance Corp. S.A.B. de C.V.		158,375		230,194
Wal-Mart de Mexico S.A.B. de C.V.		425,700		1,065,474
				5,360,440
Poland - 0.5%
Cyfrowy Polsat S.A.		31,577		205,952
Dino Polska S.A. (a)(c)		2,359		107,629
Grupa Lotos S.A.		19,210		285,286
LPP S.A.		30		51,399
Orange Polska S.A. (a)		35,529		57,552
Polski Koncern Naftowy ORLEN S.A.		22,424		374,182
				1,082,000
Republic of Korea - 13.4%
Amorepacific Corp.		2,262		298,790
Amorepacific Group		10,298		482,884
BGF Retail Co., Ltd.		3,575		482,074
Cheil Worldwide, Inc.		20,080		269,941
CJ CheilJedang Corp.		622		149,477
CJ Corp.		3,824		284,692
CJ ENM Co., Ltd.		4,081		400,700
CJ Logistics Corp. (a)		1,677		218,457
Coway Co., Ltd.		3,428		184,602

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

Elements Portfolios Annual Report May 31, 2020

54

Schedule of Investments as of May 31, 2020

ELEMENTS EMERGING MARKETS PORTFOLIO

	SHARES		FAIR VALUE
Republic of Korea - 13.4% (continued)
Daelim Industrial Co., Ltd.		7,453	$	557,716
Daewoo Shipbuilding & Marine Engineering Co., Ltd. (a)		9,835		174,072
DB Insurance Co., Ltd.		4,256		149,648
Doosan Bobcat, Inc.		17,072		327,921
E-MART, Inc.		3,428		315,318
Fila Holdings Corp.		7,313		228,252
GS Engineering & Construction Corp.		13,001		300,962
GS Holdings Corp.		10,770		328,726
GS Retail Co., Ltd.		16,600		572,063
Hana Financial Group, Inc.		2,175		52,552
Hankook Tire & Technology Co., Ltd.		24,883		472,930
Hanon Systems		5,184		40,875
Hanwha Corp.		9,452		154,250
Hotel Shilla Co., Ltd.		8,195		526,702
Hyundai Department Store Co., Ltd.		6,804		352,467
Hyundai Engineering & Construction Co., Ltd.		15,205		421,642
Hyundai Glovis Co., Ltd.		4,754		435,278
Hyundai Marine & Fire Insurance Co., Ltd.		7,890		154,949
Hyundai Mobis Co., Ltd. - NVDR		7,388		1,184,570
Hyundai Steel Co.		39		693
Kakao Corp.		2,401		512,764
Kangwon Land, Inc.		13,244		260,176
KB Financial Group, Inc.		3,716		101,414
Kia Motors Corp.		33,878		942,030
KMW Co., Ltd. (a)		543		25,683
Korea Zinc Co., Ltd.		1,466		448,990
KT&G Corp.		7,027		476,911
Kumho Petrochemical Co., Ltd.		5,845		336,311
LG Electronics, Inc.		18,707		899,464
LG Household & Health Care Ltd.		574		636,183
LG Innotek Co., Ltd.		1,854		222,135
LG Uplus Corp.		51,165		544,923
Lotte Corp.		8,917		247,442
Lotte Shopping Co., Ltd.		2,939		212,103
NAVER Corp.		716		130,948
NCSoft Corp.		524		334,722
Netmarble Corp. (a)(c)		2,088		156,000
Orion Corp.		3,095		330,046
Ottogi Corp.		162		72,271
Pan Ocean Co., Ltd. (a)		32,025		92,909
Pearl Abyss Corp. (a)		1,120		185,105
POSCO		5,154		758,266
Posco International Corp.		17,397		225,487
S-1 Corp.		5,384		405,175
Samsung C&T Corp.		4,321		347,264
Samsung Electronics Co., Ltd.		230,777		9,504,800
Samsung Engineering Co., Ltd. (a)		67,110		659,312
Samsung Fire & Marine Insurance Co., Ltd.		1,654		244,409
Samsung Life Insurance Co., Ltd.		5,190		192,439
Samsung SDS Co., Ltd.		3,395		524,322
Shinsegae, Inc.		1,065		211,400
SK Holdings Co., Ltd.		235		45,563
SK Telecom Co., Ltd.		1,821		318,041
Yuhan Corp.		8,015		337,206
				30,465,417

	SHARES		FAIR VALUE
Russian Federation - 7.1%
Gazprom PJSC		39,806	$	223,542
LUKOIL PJSC - ADR (b)		1,000		75,290
LUKOIL PJSC		62,759		4,715,384
Magnit PJSC		65,581		755,297
Magnitogorsk Iron & Steel Works PJSC		35,472		265,151
MMC Norilsk Nickel PJSC - ADR (b)		10,434		331,592
MMC Norilsk Nickel PJSC		20,562		650,532
Mobile TeleSystems PJSC - ADR		40,320		358,445
Novolipetsk Steel PJSC		69,107		1,339,342
PhosAgro PJSC		50,815		705,765
Polyus PJSC		994		82,263
Rosneft Oil Co. PJSC		593,579		3,120,839
Sberbank of Russia PJSC		10,761		122,716
Severstal PAO		48,460		639,629
Surgutneftegas PJSC		148,832		839,805
Tatneft PJSC		29,428		1,341,056
VTB Bank PJSC		686,742		678,232
				16,244,880
South Africa - 2.6%
Absa Group Ltd.		46,482		216,146
Anglo American Platinum Ltd.		9,704		615,307
AngloGold Ashanti Ltd.		26,140		636,974
Aspen Pharmacare Holdings Ltd. (a)		3,466		27,729
Bid Corp., Ltd.		25,467		359,488
Capitec Bank Holdings Ltd.		1,992		96,622
Clicks Group Ltd.		21,850		289,756
FirstRand Ltd.		4,300		9,875
Gold Fields Ltd.		27,172		209,717
Impala Platinum Holdings Ltd.		1,881		12,553
Kumba Iron Ore Ltd.		37,576		1,014,814
Life Healthcare Group Holdings Ltd.		80,465		83,586
Mr Price Group Ltd.		30,057		223,721
MTN Group Ltd.		46,026		142,678
MultiChoice Group (a)		89,533		442,353
Nedbank Group Ltd.		12,554		71,056
Old Mutual Ltd.		204,039		130,926
Pepkor Holdings Ltd. (c)		49,042		33,529
Pick n Pay Stores Ltd.		62,159		188,722
Rand Merchant Investment Holdings Ltd.		162		252
Sanlam Ltd.		35,842		115,770
Shoprite Holdings Ltd.		50,272		296,356
The Bidvest Group Ltd.		17,376		150,830
The SPAR Group Ltd.		11,213		112,103
Tiger Brands Ltd.		15,018		134,327
Vodacom Group Ltd. (b)		25,676		184,656
Woolworths Holdings Ltd.		37,354		61,731
				5,861,577
Taiwan, Province of China - 7.5%
Acer, Inc.		117,000		63,818
Advantech Co., Ltd.		47,000		466,343
Asia Cement Corp.		58,000		84,273
Asustek Computer, Inc.		93,000		652,950
Catcher Technology Co., Ltd.		49,000		357,108
Chang Hwa Commercial Bank Ltd.		360		226
Chicony Electronics Co., Ltd.		123,000		352,902
China Airlines Ltd.		326,000		89,176

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

Elements Portfolios Annual Report May 31, 2020

55

Schedule of Investments as of May 31, 2020

ELEMENTS EMERGING MARKETS PORTFOLIO

	SHARES		FAIR VALUE
Taiwan, Province of China - 7.5% (continued)
Chunghwa Telecom Co., Ltd.		197,000	$	725,364
Compal Electronics, Inc.		778,000		495,480
Delta Electronics, Inc.		50,000		230,190
E.Sun Financial Holding Co., Ltd.		213		190
Eclat Textile Co., Ltd.		19,000		195,764
Eva Airways Corp.		406		149
Far EasTone Telecommunications Co., Ltd.		120,000		259,082
Formosa Chemicals & Fibre Corp.		176,000		422,860
Formosa Petrochemical Corp.		55,000		161,178
Formosa Plastics Corp.		20,000		55,384
Formosa Taffeta Co., Ltd.		81,000		92,360
Foxconn Technology Co., Ltd.		267,000		480,789
Giant Manufacturing Co., Ltd.		4,000		31,373
Globalwafers Co., Ltd.		14,000		169,727
Hon Hai Precision Industry Co., Ltd.		745,000		1,884,771
Hua Nan Financial Holdings Co., Ltd.		802		521
Inventec Corp.		381,000		309,837
Lite-On Technology Corp.		284,000		455,768
MediaTek, Inc.		65,000		1,003,571
Mega Financial Holding Co., Ltd.		48,000		49,314
Micro-Star International Co., Ltd.		120,000		404,881
Nanya Technology Corp.		154,000		308,195
Nien Made Enterprise Co., Ltd.		24,000		206,245
Novatek Microelectronics Corp.		62,000		424,518
Pegatron Corp.		233,000		501,502
Phison Electronics Corp.		4,000		36,868
Pou Chen Corp.		266,000		262,320
Powertech Technology, Inc.		96,000		310,910
President Chain Store Corp.		50,000		492,632
Quanta Computer, Inc.		239,000		558,307
Realtek Semiconductor Corp.		40,000		345,506
SinoPac Financial Holdings Co., Ltd.		578,000		227,856
Standard Foods Corp.		235,000		497,302
Synnex Technology International Corp.		99,000		146,579
Taiwan Business Bank		951,200		336,427
Taiwan Cement Corp.		69,213		98,262
Taiwan Mobile Co., Ltd.		108,000		386,457
Taiwan Semiconductor Manufacturing Co., Ltd.		77,000		748,538
Uni-President Enterprises Corp.		305,000		740,309
United Microelectronics Corp.		596,000		307,633
Wistron Corp.		196,480		187,321
Wiwynn Corp.		13,000		348,355
WPG Holdings Ltd.		143,000		187,206
				17,154,597
Thailand - 1.2%
Advanced Info Service PLC		39,000		236,099
Airports of Thailand PLC		31,500		61,567
Bangkok Bank PLC		122,700		419,692
Bumrungrad Hospital PLC		51,700		195,206
Charoen Pokphand Foods PLC		95,700		95,018
CP ALL PLC		180,400		400,650
Home Product Center PLC		400,300		187,118
Kasikornbank PLC		98		297
Krung Thai Bank PLC		1,193,200		391,269
Osotspa PLC		42,200		56,565

	SHARES		FAIR VALUE
Thailand - 1.2% (continued)
PTT Exploration & Production PLC		51,200	$	135,852
PTT Global Chemical PLC		95		129
PTT PLC		430,010		481,200
Thai Union Group PLC		273,900		118,096
				2,778,758
Turkey - 0.8%
Anadolu Efes Biracilik Ve Malt Sanayii AS		63,976		173,915
BIM Birlesik Magazalar AS		46,909		447,279
Eregli Demir ve Celik Fabrikalari T.A.S. (a)		200,780		236,748
Ford Otomotiv Sanayi AS		12,205		110,861
KOC Holding AS		140,689		332,638
Tupras Turkiye Petrol Rafinerileri AS (a)		9,508		119,598
Turk Hava Yollari AO (a)		25,372		46,669
Turkcell Iletisim Hizmetleri AS		123,789		257,200
Turkiye Is Bankasi AS (a)		58,614		42,499
				1,767,407
United States - 25.6%
Alphabet, Inc. - Class C (a)(e)		4,539		6,485,868
Cadence Design Systems, Inc. (a)(e)		45,397		4,144,292
Comcast Corp. (e)		145,723		5,770,631
Gilead Sciences, Inc. (e)		68,095		5,299,834
Intuit, Inc. (e)		22,698		6,589,683
JPMorgan Chase & Co.		86,254		8,393,377
Lockheed Martin Corp. (e)		22,698		8,816,811
Maxim Integrated Products, Inc.		45,397		2,618,499
Okta, Inc. (a)(b)		17,251		3,373,951
Texas Instruments, Inc. (e)		46,759		5,552,164
Western Digital Corp. (b)		19,520		866,102
Yum China Holdings, Inc.		10,501		486,616
				58,397,828
TOTAL COMMON STOCKS (Cost $194,753,383)				197,745,870
PREFERRED STOCKS - 0.4%
Republic of Korea - 0.4%
Amorepacific Corp. - Preferred		4,444		207,844
LG Household & Health Care Ltd. - Preferred		1,347		780,315
TOTAL PREFERRED STOCKS (Cost $1,204,038)				988,159
REAL ESTATE INVESTMENT TRUSTS - 5.9%
United States - 5.9%
American Tower Corp. (e)		14,981		3,867,645
Crown Castle International Corp. (e)		55,838		9,613,070
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $12,467,730)				13,480,715

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

Elements Portfolios Annual Report May 31, 2020

56

Schedule of Investments as of May 31, 2020

ELEMENTS EMERGING MARKETS PORTFOLIO

	SHARES		FAIR VALUE
SHORT-TERM INVESTMENTS - 8.6%
Money Market Funds - 5.0%
Fidelity Investments Money Market Funds - Government Portfolio, 0.08% (f)		2,271,191	$	2,271,191
Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class, 0.09% (f)		2,271,190		2,271,190
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio, 0.05% (f)		2,271,191		2,271,191
STIT - Government & Agency Portfolio, 0.12% (f)		2,271,190		2,271,190
STIT - Treasury Portfolio - Institutional Class, 0.08% (f)		2,271,190		2,271,190
				11,355,952
	PRINCIPAL AMOUNT		FAIR VALUE
U.S. Treasury Bills - 3.6%
1.425%, 1/28/21 (g)	$	7,701,000		7,692,365
1.531%, 8/13/20 (g)		500,000		499,874
				8,192,239
TOTAL SHORT-TERM INVESTMENTS (Cost $19,483,525)				19,548,191

	PRINCIPAL AMOUNT		FAIR VALUE
INVESTMENTS PURCHASED WITH THE CASH PROCEEDS FROM SECURITIES LENDING - 1.3%
BlackRock Liquidity Funds FedFund Portfolio, 0.11% (f)	$	3,032,640	$	3,032,640
TOTAL INVESTMENTS PURCHASED WITH THE CASH PROCEEDS FROM SECURITIES LENDING (Cost $3,032,640)				3,032,640
TOTAL INVESTMENTS (Cost $230,941,316) - 102.9%				234,795,575
LIABILITIES IN EXCESS OF OTHER ASSETS - (2.9)%				(6,659,158)
TOTAL NET ASSETS - 100.0%			$	228,136,417

Percentages are stated as a percent of net assets.

ADR - American Depository Receipt

PLC - Public Limited Company

(a) Non-income producing security.

(b) This security or a portion of this security was out on loan as of May 31, 2020. Total loaned securities had a market value of $3,145,556 as of May 31, 2020.

(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

At the end of the period, the value of these securities totaled $4,279,924 or 1.9% of net assets.

(d) Rounds to zero.

(e) This security or a portion of this security was held as collateral for derivative contracts as of May 31, 2020. The total market value of the collateral was $19,502,037 as of May 31, 2020.

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

(g) 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		VALUE/ UNREALIZED APPRECIATION
FUTURES CONTRACTS PURCHASED
Mini MSCI Emerging Markets Index, June 2020 Settlement		881	$	41,094,245	$	6,139,226
TOTAL FUTURES CONTRACTS PURCHASED			$	41,094,245	$	6,139,226

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

Elements Portfolios Annual Report May 31, 2020

57

Schedule of Investments as of May 31, 2020

ELEMENTS EMERGING MARKETS PORTFOLIO

Total Return Swaps — Long

COUNTERPARTY (a)

PORTFOLIO RECEIVES TOTAL RETURN ON REFERENCE ENTITY

PORTFOLIO PAYS BASE FINANCING RATE (b)

TERMINATION DATE

PAYMENT FREQUENCY

NOTIONAL VALUE

NUMBER OF UNITS

VALUE/ UNREALIZED APPRECIATION (DEPRECIATION)

UBS

ACE Hardware Indonesia

1-Month LIBOR USD

5/13/2025

Term

$

102,162

1,183,400

$

23,858

GS

Acer Inc.

1-Month LIBOR USD

4/29/2030

Term

125,762

236,000

2,824

GS

Advanced Petrochemicals Co.

1-Month LIBOR USD

4/29/2030

Term

585,129

49,232

63,249

GS

Almarai Co.

1-Month LIBOR USD

4/29/2030

Term

23,119

1,820

1,011

UBS

AMMB Holdings Bhd.

1-Month LIBOR USD

5/13/2025

Term

14,877

22,200

1,337

GS

Arab National Bank

1-Month LIBOR USD

4/29/2030

Term

6,446

1,300

450

GS

ASE Technology Holding Co., Ltd.

1-Month LIBOR USD

4/29/2030

Term

1,087

500

(60

)

GS

Asustek Computer Inc.

1-Month LIBOR USD

4/29/2030

Term

98,418

15,000

6,787

GS

Atacadao S.A.

1-Month LIBOR USD

4/29/2030

Term

87,079

24,666

(3,153

)

UBS

Axiata Group Bhd.

1-Month LIBOR USD

5/13/2025

Term

102,290

112,923

(3,693

)

GS

Bank Albilad

1-Month LIBOR USD

4/29/2030

Term

194,924

32,891

(863

)

GS

Bank Al-Jazira

1-Month LIBOR USD

4/29/2030

Term

9,796

3,233

11

GS

BGF Retail Co., Ltd.

1-Month LIBOR USD

4/29/2030

Term

119,954

928

5,049

GS

Bupa Arabia For Cooperative

1-Month LIBOR USD

4/29/2030

Term

541,201

19,723

60,990

UBS

Carlsberg Brewery Malaysia Bhd.

1-Month LIBOR USD

5/13/2025

Term

45,521

7,200

2,416

GS

Chang Hwa Commercial Bank

1-Month LIBOR USD

4/29/2030

Term

195,531

302,620

(5,703

)

GS

Cheil Worldwide Inc.

1-Month LIBOR USD

4/29/2030

Term

203,322

14,495

(8,689

)

GS

Chicony Electronics Co. Ltd.

1-Month LIBOR USD

4/29/2030

Term

255,250

93,805

13,605

UBS

Cia Brasileira de Distribuicao —Preferred

1-Month LIBOR USD

5/13/2025

Term

5,394

500

412

GS

Cia Saneamento Basico de Sao Paulo

1-Month LIBOR USD

4/29/2030

Term

35,808

4,973

14,454

GS

Cia Siderurgica Nacional S.A.

1-Month LIBOR USD

4/29/2030

Term

28,309

22,265

14,884

GS

Co. For Cooperative Insurance

1-Month LIBOR USD

4/29/2030

Term

48,883

2,627

1,327

GS

E.Sun Financial Holding Co.

1-Month LIBOR USD

4/29/2030

Term

391

448

8

GS

Etihad Etisalat Co.

1-Month LIBOR USD

4/29/2030

Term

326,247

46,233

298

GS

Eva Airways Corp.

1-Month LIBOR USD

4/29/2030

Term

51

151

4

GS

Evergreen Marine Corp., Ltd.

1-Month LIBOR USD

4/29/2030

Term

335

985

23

GS

Feng Tay Enterprise Co., Ltd.

1-Month LIBOR USD

4/29/2030

Term

210,804

41,100

37,510

GS

Formosa Petrochemical Corp.

1-Month LIBOR USD

4/29/2030

Term

643,744

236,000

47,138

GS

Formosa Taffeta Co.

1-Month LIBOR USD

4/29/2030

Term

88,213

82,000

5,189

UBS

Fraser & Neave Holdings Bhd.

1-Month LIBOR USD

5/13/2025

Term

234,886

32,600

11,149

UBS

Hartalega Holdings Bhd.

1-Month LIBOR USD

5/13/2025

Term

75,555

36,900

31,038

GS

Hon Hai Precision Industry

1-Month LIBOR USD

4/29/2030

Term

1,996

800

26

UBS

Hong Leong Financial Group

1-Month LIBOR USD

5/13/2025

Term

116,802

39,800

6,069

GS

Hua Nan Financial Holdings Co.

1-Month LIBOR USD

4/29/2030

Term

187

306

12

UBS

IHH Healthcare Bhd.

1-Month LIBOR USD

5/13/2025

Term

3,709

3,000

44

UBS

Indocement Tunggal Prakarsa

1-Month LIBOR USD

5/13/2025

Term

66,824

92,100

9,591

GS

Inventec Corp.

1-Month LIBOR USD

4/29/2030

Term

72,007

92,000

2,730

GS

Jarir Marketing Co.

1-Month LIBOR USD

4/29/2030

Term

321,978

8,122

(33,683

)

GS

JBS S.A.

1-Month LIBOR USD

4/29/2030

Term

566,252

137,836

341

GS

LG Household & Health-Preferred

1-Month LIBOR USD

4/29/2030

Term

189,072

315

(6,803

)

GS

Lite-On Technology Corp.

1-Month LIBOR USD

4/29/2030

Term

229,209

155,000

19,282

GS

Lojas Renner S.A.

1-Month LIBOR USD

4/29/2030

Term

77,455

11,424

4,976

UBS

Malaysia Airports Holdings Bhd.

1-Month LIBOR USD

5/13/2025

Term

160,716

139,100

(478

)

UBS

MISC Bhd.

1-Month LIBOR USD

5/13/2025

Term

27,903

15,000

1,023

GS

MSCI China A Inclusion Index

3-Month LIBOR USD

10/29/2020

Term

4,947,464

4,993

(3,149

)

GS

MSCI China A Inclusion Index

3-Month LIBOR USD

4/29/2021

Term

4,329,155

4,369

(4,938

)

GS

MSCI China A Inclusion Index

1-Month LIBOR USD

6/20/2022

Term

3,000,005

3,046

34,064

GS

MSCI Emerging Markets Index

3-Month LIBOR USD

4/12/2021

Term

16,009,754

25,015

(3,306,741

)

GS

National Commercial Bank

1-Month LIBOR USD

4/29/2030

Term

342,398

36,578

24,140

GS

Natura & Co. Holding S.A.

1-Month LIBOR USD

4/29/2030

Term

16,762

2,700

1,800

UBS

Nestle (Malaysia) Bhd.

1-Month LIBOR USD

5/13/2025

Term

204,830

6,400

28

GS

Petrobras Distribuidora S.A.

1-Month LIBOR USD

4/29/2030

Term

357,893

111,820

98,777

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

Elements Portfolios Annual Report May 31, 2020

58

Schedule of Investments as of May 31, 2020

ELEMENTS EMERGING MARKETS PORTFOLIO

COUNTERPARTY (a)

PORTFOLIO RECEIVES TOTAL RETURN ON REFERENCE ENTITY

PORTFOLIO PAYS BASE FINANCING RATE (b)

TERMINATION DATE

PAYMENT FREQUENCY

NOTIONAL VALUE

NUMBER OF UNITS

VALUE/ UNREALIZED APPRECIATION (DEPRECIATION)

GS

Petrobras — Petroleo Brasileiro S.A.

1-Month LIBOR USD

4/29/2030

Term

$

430,944

146,265

$

128,885

UBS

Petronas Chemicals Group Bhd.

1-Month LIBOR USD

5/13/2025

Term

163,695

130,700

26,140

UBS

Petronas Dagangan Bhd.

1-Month LIBOR USD

5/13/2025

Term

283,895

62,300

52,805

UBS

Petronas Gas Bhd.

1-Month LIBOR USD

5/13/2025

Term

112,892

32,700

30,177

GS

Phison Electronics Corp.

1-Month LIBOR USD

4/29/2030

Term

319,401

35,000

2,835

GS

Porto Seguro S.A.

1-Month LIBOR USD

4/29/2030

Term

287,926

36,516

29,648

UBS

PT Adaro Energy Tbk

1-Month LIBOR USD

5/13/2025

Term

427,242

6,359,500

53,207

UBS

PT Astra International Tbk

1-Month LIBOR USD

5/13/2025

Term

23,825

95,100

7,285

UBS

PT Charoen Pokphand Indonesia

1-Month LIBOR USD

5/13/2025

Term

218,581

707,300

61,799

UBS

PT Gudang Garam Tbk

1-Month LIBOR USD

5/13/2025

Term

581,815

189,400

50,734

UBS

PT HM Sampoerna Tbk

1-Month LIBOR USD

5/13/2025

Term

210,897

1,830,400

32,830

UBS

PT Indah Kiat Pulp & Paper Tbk

1-Month LIBOR USD

5/13/2025

Term

56,791

159,500

712

UBS

PT Indofood CBP Sukses Makmur Tbk

1-Month LIBOR USD

5/13/2025

Term

399,614

616,400

(55,116

)

UBS

PT Indofood Sukses Makmur Tbk

1-Month LIBOR USD

5/13/2025

Term

273,313

643,200

(19,618

)

UBS

PT Kalbe Farma Tbk

1-Month LIBOR USD

5/13/2025

Term

240,300

2,554,900

7,402

UBS

PT Perusahaan Gas Negara Tbk

1-Month LIBOR USD

5/13/2025

Term

131,537

2,290,000

10,242

UBS

PT Unilever Indonesia Tbk

1-Month LIBOR USD

5/13/2025

Term

442,235

797,900

(18,442

)

UBS

PT United Tractors Tbk

1-Month LIBOR USD

5/13/2025

Term

68,633

66,900

3,340

UBS

PT XL Axiata Tbk

1-Month LIBOR USD

5/13/2025

Term

77,394

480,000

7,766

UBS

QL Resources Bhd.

1-Month LIBOR USD

5/13/2025

Term

11,312

5,800

2,171

GS

Raia Drogasil S.A.

1-Month LIBOR USD

4/29/2030

Term

86,595

4,656

9,524

UBS

RHB Bank Bhd.

1-Month LIBOR USD

5/13/2025

Term

23,752

22,200

624

GS

Saudi Airlines Catering Co.

1-Month LIBOR USD

4/29/2030

Term

429,710

20,783

(821

)

GS

Saudi Arabian Fertilizer Co.

1-Month LIBOR USD

4/29/2030

Term

172,375

9,530

22,380

GS

Saudi Arabian Oil Co.

1-Month LIBOR USD

4/29/2030

Term

2,839,325

344,331

235,489

GS

Saudi Basic Industries Corp.

1-Month LIBOR USD

4/29/2030

Term

1,312,935

69,117

236,335

GS

Saudi British Bank

1-Month LIBOR USD

4/29/2030

Term

56,963

9,627

2,352

GS

Saudi Cement

1-Month LIBOR USD

4/29/2030

Term

136,702

10,598

(7,042

)

GS

Saudi Industrial Investment Group

1-Month LIBOR USD

4/29/2030

Term

709,653

143,866

42,896

GS

Saudi TeleCom Co.

1-Month LIBOR USD

4/29/2030

Term

548,299

22,893

71,839

GS

Savola

1-Month LIBOR USD

4/29/2030

Term

89,339

8,615

6,919

UBS

Sime Darby Berhad

1-Month LIBOR USD

5/13/2025

Term

8,123

18,500

789

GS

Sinopac Financial Holdings

1-Month LIBOR USD

4/29/2030

Term

5

13

—

GS

Standard Foods Corp.

1-Month LIBOR USD

4/29/2030

Term

1,844

840

(68

)

GS

Suzano S.A.

1-Month LIBOR USD

4/29/2030

Term

23,208

3,300

133

GS

Synnex Technology International Corp.

1-Month LIBOR USD

4/29/2030

Term

260,117

200,000

35,714

GS

Taiwan Cement

1-Month LIBOR USD

4/29/2030

Term

748

535

10

UBS

Telekom Malaysia Bhd.

1-Month LIBOR USD

5/13/2025

Term

69,825

70,600

(1,343

)

UBS

Telekomunikasi Indonesia Persero

1-Month LIBOR USD

5/13/2025

Term

343,428

1,617,700

5,493

UBS

Tenaga Nasional Bhd.

1-Month LIBOR USD

5/13/2025

Term

2,516

900

(182

)

GS

Tim Participacoes S.A.

1-Month LIBOR USD

4/29/2030

Term

136,502

62,019

18,055

GS

Ultrapar Participacoes S.A.

1-Month LIBOR USD

4/29/2030

Term

2,710

1,080

740

GS

Vale S.A.

1-Month LIBOR USD

4/29/2030

Term

146,416

18,740

36,160

UBS

Westports Holdings Bhd.

1-Month LIBOR USD

5/13/2025

Term

38,849

46,700

4,074

GS

WPG Holdings Ltd.

1-Month LIBOR USD

4/29/2030

Term

404

320

15

GS

Yanbu National Petrochemical

1-Month LIBOR USD

4/29/2030

Term

173,721

15,188

31,204

$

47,829,165

$

(1,663,938

)

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

Elements Portfolios Annual Report May 31, 2020

59

Schedule of Investments as of May 31, 2020

ELEMENTS EMERGING MARKETS PORTFOLIO

Total Return Swaps – Short

COUNTERPARTY (a)	PORTFOLIO PAYS TOTAL RETURN ON REFERENCE ENTITY	PORTFOLIO RECEIVES BASE FINANCING RATE (b)	TERMINATION DATE	PAYMENT FREQUENCY		NOTIONAL VALUE		NUMBER OF UNITS		VALUE/ UNREALIZED APPRECIATION (DEPRECIATION)
GS	Alphabet, Inc. — Class C	1-Month LIBOR USD	4/4/2029		Term	$	6,121,568		4,539	$	(365,111	)
GS	American Tower Corp.	1-Month LIBOR USD	4/4/2029		Term		3,565,478		14,981		(302,639	)
GS	Cadence Design Sys., Inc.	1-Month LIBOR USD	4/4/2029		Term		3,683,059		45,397		(461,722	)
GS	Comcast Corp. — Class A	1-Month LIBOR USD	4/4/2029		Term		5,483,556		145,723		(287,801	)
GS	Crown Castle Intl. Corp.	1-Month LIBOR USD	4/4/2029		Term		8,902,252		55,838		(711,997	)
GS	Gilead Sciences, Inc.	1-Month LIBOR USD	4/4/2029		Term		5,719,980		68,095		419,388
GS	Intuit, Inc.	1-Month LIBOR USD	4/4/2029		Term		6,124,147		22,698		(466,347	)
GS	JPMorgan Chase & Co.	1-Month LIBOR USD	4/4/2029		Term		8,259,683		86,254		(134,788	)
GS	Lockheed Martin Corp.	1-Month LIBOR USD	4/4/2029		Term		8,830,884		22,698		(41,573	)
GS	Maxim Integrated Products	1-Month LIBOR USD	4/4/2029		Term		2,495,927		45,397		(144,693	)
GS	Okta, Inc.	1-Month LIBOR USD	4/4/2029		Term		2,610,076		17,251		(764,220	)
GS	Texas Instruments, Inc.	1-Month LIBOR USD	4/4/2029		Term		5,427,317		46,759		(167,649	)
GS	Western Digital Corp.	1-Month LIBOR USD	4/4/2029		Term		899,482		19,520		33,260
						$	68,123,409			$	(3,395,892	)
										$	(5,059,830	)

(a) The full legal name of “GS” is “Goldman Sachs International,” the full legal name of “MS” is “Morgan Stanley Capital Services LLC,” and the full legal name of “UBS” is “UBS Group AG.”

(b) The swaps accrue financing fees according to the relevant base financing rate which resets periodically, plus a fixed spread. Each swap’s base financing rate is refreshed on a periodic basis, typically monthly. To the extent different swaps linked to the same base financing rate refresh at different times, there may be modest temporary differences in their rates. The financing rates as of May 31, 2020 are as follows:

	Variable Rate as of May 31, 2020	Fixed Spread Range as of May 31, 2020
1-Month LIBOR USD	0.18%	(3.00)%—1.00%
3-Month LIBOR USD	1.95%	(5.00)%—0.25%

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

Elements Portfolios Annual Report May 31, 2020

60

Statement of Assets and Liabilities May 31, 2020

	ELEMENTS U.S. PORTFOLIO		ELEMENTS U.S. SMALL CAP PORTFOLIO
ASSETS:
Investments, at fair value(1)(2)	$	455,298,268	$	165,970,098
Dividends and interest receivable		761,727		99,375
Receivable for fund shares sold		215,489		102,303
Variation margin receivable for futures		77,831		—
Receivable from adviser		17,419		—
Securities lending income receivable		1,248		1,967
Receivable for investments sold		—		779,418
Cash		3,532		3,422
Other assets		114,854		83,653
Total assets		456,490,368		167,040,236
LIABILITIES:
Payable for securities on loan		2,433,625		2,294,523
Payable for fund shares redeemed		62,607		28,151
Accrued distribution fees		32,176		12,623
Payable to custodian		13,060		3,565
Payable to adviser		—		12,203
Variation margin payable for futures		—		193,218
Other accrued expenses		180,198		181,023
Total liabilities		2,721,666		2,725,306
Total net assets	$	453,768,702	$	164,314,930
NET ASSETS CONSIST OF:
Capital stock	$	371,645,626	$	169,535,800
Total distributable earnings/(loss)		82,123,076		(5,220,870	)
Total net assets	$	453,768,702	$	164,314,930
Class M
Net Assets	$	393,080,762	$	159,848,872
Shares outstanding		31,932,142		16,772,211
Class M Net asset value, offering and redemption price per share	$	12.31	$	9.53
Class Y
Net Assets	$	60,687,940	$	4,466,058
Shares outstanding		4,935,625		468,371
Class Y Net asset value, offering and redemption price per share	$	12.30	$	9.54
(1)  Cost of Investments	$	380,384,261	$	132,951,840
(2)  Fair value of securities out on loan		2,200,044		2,220,619

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

Elements Portfolios Annual Report May 31, 2020

61

Statement of Assets and Liabilities May 31, 2020

	ELEMENTS INTERNATIONAL PORTFOLIO			ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO
ASSETS:
Investments, at fair value(1)(2)	$	167,735,177		$	166,709,709
Foreign currencies, at value(3)		4,187,062			2,794,555
Unrealized appreciation on swap contracts		2,950,511			3,596,762
Dividends and interest receivable		1,753,876			1,032,166
Receivable for fund shares sold		65,200			961,105
Receivable for swaps sold		53,443			—
Securities lending income receivable		2,023			10,143
Cash		—			579,564
Receivable for investments sold		—			254,616
Other assets		121,662			87,405
Total assets		176,868,954			176,026,025
LIABILITIES:
Unrealized depreciation on swap contracts		8,260,161			1,979,473
Due to broker		2,750,011			2,489,425
Payable for securities on loan		808,464			4,239,580
Payable to adviser		166,857			138,928
Payable for fund shares redeemed		142,215			188,809
Variation margin payable for futures		87,243			16,694
Payable for swaps purchased		43,114			—
Accrued distribution fees		14,069			13,063
Payable to custodian		4,975			11,699
Due to custodian		1,163			—
Other accrued expenses		168,139			138,694
Total liabilities		12,446,411			9,216,365
Total net assets	$	164,422,543		$	166,809,660
NET ASSETS CONSIST OF:
Capital stock	$	243,961,476			208,791,709
Total distributable earnings/(loss)		(79,538,933	)		(41,982,049	)
Total net assets	$	164,422,543		$	166,809,660
Class M
Net Assets	$	159,889,793		$	162,317,739
Shares outstanding		17,272,203			18,154,277
Class M Net asset value, offering and redemption price per share	$	9.26		$	8.94
Class Y
Net Assets	$	4,532,750		$	4,491,921
Shares outstanding		490,077			502,941
Class Y Net asset value, offering and redemption price per share	$	9.25		$	8.93
(1)  Cost of Investments	$	167,165,651		$	155,771,361
(2)  Fair value of securities out on loan		768,406			4,683,541
(3)  Cost of foreign currencies		4,144,401			2,777,403

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

Elements Portfolios Annual Report May 31, 2020

62

Statement of Assets and Liabilities May 31, 2020

	ELEMENTS EMERGING MARKETS PORTFOLIO
ASSETS:
Investments, at fair value(1)(2)	$	234,795,575
Unrealized appreciation on swap contracts		2,269,295
Variation margin receivable for futures		692,180
Dividends and interest receivable		455,843
Foreign currencies, at value(3)		359,267
Receivable for fund shares sold		171,621
Due from broker		61,399
Cash		6,899
Spot trade receivable		5,520
Securities lending income receivable		522
Receivable for return of capital		264
Other assets		164,732
Total assets		238,983,117
LIABILITIES:
Unrealized depreciation on swap contracts		7,329,125
Payable for securities on loan		3,032,640
Payable for fund shares redeemed		260,787
Payable to adviser		69,026
Accrued distribution fees		18,483
Payable for investment securities purchased		9,949
Payable for swaps purchased		5,959
Spot trade payable		5,535
Other accrued expenses		115,196
Total liabilities		10,846,700
Total net assets	$	228,136,417
NET ASSETS CONSIST OF:
Capital stock	$	288,822,189
Total distributable earnings/(loss)		(60,685,772	)
Total net assets	$	228,136,417
Class M
Net Assets	$	223,627,593
Shares outstanding		25,662,416
Class M Net asset value, offering and redemption price per share		8.71
Class Y
Net Assets	$	4,508,824
Shares outstanding		518,079
Class Y Net asset value, offering and redemption price per share		8.70
(1)  Cost of Investments	$	230,941,316
(2)  Fair value of securities out on loan		3,145,556
(3)  Cost of foreign currencies		356,419

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

Elements Portfolios Annual Report May 31, 2020

63

Statement of Operations For the Year Ended May 31, 2020

	ELEMENTS U.S. PORTFOLIO			ELEMENTS U.S. SMALL CAP PORTFOLIO
INVESTMENT INCOME:
Dividend income	$	18,126,048		$	3,492,940
Interest income		456,262			137,988
Securities lending income		79,885			106,978
Total investment income		18,662,195			3,737,906
EXPENSES:
Advisory fees (See Note 4)		2,903,310			1,472,758
Distribution (12b-1) fees		904,912			277,729
Fund accounting and administration fees		253,772			218,651
Legal fees		87,654			37,670
Transfer agency fees and expenses		72,958			47,400
Audit and tax related fees		59,750			54,260
Chief Compliance Officer compensation		46,528			46,528
Custody fees		43,617			13,669
Trustees fees and expenses		42,392			13,270
Sub-transfer agent fees		36,694			11,283
Federal and state registration fees		5,033			24,841
Other expenses		118,679			88,158
Total expenses before Adviser waiver		4,575,299			2,306,217
Expenses waived by Adviser (See Note 4)		(3,184,488	)		(1,879,932	)
Total net expenses		1,390,811			426,285
Net investment income		17,271,384			3,311,621
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		37,632,066			(3,015,084	)
Futures contracts		(3,678,275	)		(2,780,218	)
Swap contracts		—			200,336
Net change in unrealized appreciation (depreciation) on:
Investments		(34,023,362	)		(19,856,836	)
Futures contracts		1,430,593			3,815,941
Swap contracts		—			285,670
Net realized and unrealized gain/(loss)		1,361,022			(21,350,191	)
Net increase/(decrease) in net assets resulting from operations	$	18,632,406		$	(18,038,570	)

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

Elements Portfolios Annual Report May 31, 2020

64

Statement of Operations For the Year Ended May 31, 2020

	ELEMENTS INTERNATIONAL PORTFOLIO			ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO
INVESTMENT INCOME:
Dividend income	$	8,500,671		$	5,103,174
Interest income		81,120			159,492
Securities lending income		37,442			186,263
Total investment income		8,619,233			5,448,929
EXPENSES:
Advisory fees (See Note 4)		1,801,726			1,384,547
Distribution (12b-1) fees		397,425			248,798
Fund accounting and administration fees		283,175			271,508
Broker interest expense		173,165			107,339
Custody fees		98,163			196,178
Transfer agency fees and expenses		64,868			37,876
Audit and tax related fees		60,212			60,212
Legal fees		55,770			25,626
Chief Compliance Officer compensation		46,528			46,528
Trustees fees and expenses		18,082			11,084
Sub-transfer agent fees		14,253			8,733
Other expenses		102,324			116,325
Total expenses before Adviser waiver		3,115,691			2,514,754
Expenses waived by Adviser (See Note 4)		(2,144,717	)		(1,906,882	)
Total net expenses		970,974			607,872
Net investment income		7,648,259			4,841,057
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		(20,758,078	)		(31,726,812	)
Foreign currency translation		482,354			268,195
Futures contracts		(8,008,780	)		1,958,170
Swap contracts		4,002,619			(387,810	)
Net change in unrealized appreciation (depreciation) on:
Investments		2,563,926			21,430,356
Foreign currency translation		(162,867	)		(174,561	)
Futures contracts		7,271,804			2,419,835
Swap contracts		(16,313,795	)		(3,495,144	)
Net realized and unrealized loss		(31,922,817	)		(9,707,771	)
Net decrease in net assets resulting from operations	$	(23,274,558	)	$	(4,866,714	)

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

Elements Portfolios Annual Report May 31, 2020

65

Statement of Operations For the Year Ended May 31, 2020

	ELEMENTS EMERGING MARKETS PORTFOLIO
INVESTMENT INCOME:
Dividend income	$	10,626,598
Interest income		191,657
Securities lending income		27,160
Total investment income		10,845,415
EXPENSES:
Advisory fees (See Note 4)		2,099,522
Distribution (12b-1) fees		346,902
Fund accounting and administration fees		277,128
Custody fees		128,672
Audit and tax related fees		60,212
Chief Compliance Officer compensation		46,528
Transfer agency fees and expenses		46,378
Federal and state registration fees		43,112
Legal fees		27,684
Trustees fees and expenses		15,194
Sub-transfer agent fees		12,099
Other expenses		163,272
Total expenses before Adviser waiver		3,266,703
Expenses waived by Adviser (See Note 4)		(2,491,439	)
Total net expenses		775,264
Net investment income		10,070,151
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain/(loss) on:
Investments		(27,818,331	)
Foreign currency translation		(16,961	)
Futures contracts		(18,921,742	)
Swap contracts		9,339,834
Net change in unrealized appreciation (depreciation) on:
Investments		6,223,851
Foreign currency translation		(3,534	)
Futures contracts		10,049,023
Swap contracts		(15,052,891	)
Net realized and unrealized loss		(36,200,751	)
Net decrease in net assets resulting from operations	$	(26,130,600	)

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

Elements Portfolios Annual Report May 31, 2020

66

Statement of Changes in Net Assets

	ELEMENTS U.S. PORTFOLIO						ELEMENTS U.S.SMALL CAP PORTFOLIO
	YEAR ENDED MAY 31, 2020			YEAR ENDED MAY 31, 2019			YEAR ENDED MAY 31, 2020			YEAR ENDED MAY 31, 2019
OPERATIONS:
Net investment income	$	17,271,384		$	16,146,959		$	3,311,621		$	6,850,254
Net realized gain (loss) on:
Investments		37,632,066			(5,487,904	)		(3,015,084	)		(32,170,506	)
Futures contracts		(3,678,275	)		8,361,860			(2,780,218	)		1,547,034
Swap contracts		—			(4,284,341	)		200,336			(2,480,078	)
Net change in unrealized appreciation (depreciation) on:
Investments		(34,023,362	)		4,218,559			(19,856,836	)		(21,938,124	)
Futures contracts		1,430,593			296,089			3,815,941			(1,866,472	)
Swap contracts		—			(207,850	)		285,670			658,909
Net increase (decrease) in net assets resulting from operations		18,632,406			19,043,372			(18,038,570	)		(49,398,983	)
DISTRIBUTIONS TO SHAREHOLDERS:
Net dividends and distributions — Class M		(34,069,016	)		(13,665,103	)		(5,057,766	)		(6,907,090	)
Net dividends and distributions — Class Y		(2,430,370	)		—			(101,641	)		—
Total distributions		(36,499,386	)		(13,665,103	)		(5,159,407	)		(6,907,090	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold — Class M		165,861,817			377,868,263			65,173,267			114,949,889
Proceeds from shares sold — Class Y		5,000,000			78,343,721			5,000,000			35,546,789
Proceeds from shares issued to holders in reinvestment of dividends — Class M		31,819,354			13,023,486			4,657,748			6,490,196
Proceeds from shares issued to holders in reinvestment of dividends — Class Y		2,246,919			—			877			—
Cost of shares redeemed — Class M		(681,976,959	)		(432,273,423	)		(215,610,626	)		(259,800,613	)
Cost of shares redeemed — Class Y		(5,000,015	)		(20,000,015	)		(27,665,741	)		(10,000,000	)
Net increase (decrease) in net assets from capital share transactions		(482,048,884	)		16,962,032			(168,444,475	)		(112,813,739	)
Total increase (decrease) in net assets		(499,915,864	)		22,340,301			(191,642,452	)		(169,119,812	)
NET ASSETS:
Beginning of year		953,684,566			931,344,265			355,957,382			525,077,194
End of year	$	453,768,702		$	953,684,566		$	164,314,930		$	355,957,382

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

Elements Portfolios Annual Report May 31, 2020

67

Statement of Changes in Net Assets

	ELEMENTS INTERNATIONAL PORTFOLIO						ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO
	YEAR ENDED MAY 31, 2020			YEAR ENDED MAY 31, 2019			YEAR ENDED MAY 31, 2020			YEAR ENDED MAY 31, 2019
OPERATIONS:
Net investment income	$	7,648,259		$	15,017,984		$	4,841,057		$	6,642,599
Net realized gain (loss) on:
Investments		(20,758,078	)		(37,018,639	)		(31,726,812	)		(20,702,145	)
Foreign currency translation		482,354			(428,661	)		268,195			(186,473	)
Forward currency contracts		—			1,709			—			—
Futures contracts		(8,008,780	)		(13,465,217	)		1,958,170			(4,550,693	)
Securities sold short		—			967			—			(128	)
Swap contracts		4,002,619			(11,973,116	)		(387,810	)		(2,582,526	)
Net change in unrealized appreciation (depreciation) on:
Investments		2,563,926			(21,594,403	)		21,430,356			(20,482,875	)
Foreign currency translation		(162,867	)		18,636			(174,561	)		20,869
Futures contracts		7,271,804			464,698			2,419,835			(564,736	)
Securities sold short		—			(404	)		—			—
Swap contracts		(16,313,795	)		5,056,788			(3,495,144	)		2,992,898
Net decrease in net assets resulting from operations		(23,274,558	)		(63,919,658	)		(4,866,714	)		(39,413,210	)
DISTRIBUTIONS TO SHAREHOLDERS:
Net dividends and distributions — Class M		(13,427,788	)		(13,124,905	)		(7,975,429	)		(4,537,212	)
Net dividends and distributions — Class Y		(171,954	)		—			(171,984	)		—
Total distributions		(13,599,742	)		(13,124,905	)		(8,147,413	)		(4,537,212	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold — Class M		82,338,278			517,394,859			136,018,503			238,576,633
Proceeds from shares sold — Class Y		5,000,000			40,897			5,000,000			18,676
Proceeds from shares issued to holders in reinvestment of dividends — Class M		12,088,037			12,014,857			7,359,095			4,054,992
Proceeds from shares issued to holders in reinvestment of dividends — Class Y		1,416			—			642			—
Cost of shares redeemed — Class M		(496,540,045	)		(444,481,411	)		(271,830,862	)		(126,219,252	)
Cost of shares redeemed — Class Y		—			—			—			—
Net increase (decrease) in net assets from capital share transactions		(397,112,314	)		84,969,202			(123,452,622	)		116,431,049
Total increase (decrease) in net assets		(433,986,614	)		7,924,639			(136,466,749	)		72,480,627
NET ASSETS:
Beginning of year		598,409,157			590,484,518			303,276,409			230,795,782
End of year	$	164,422,543		$	598,409,157		$	166,809,660		$	303,276,409

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

Elements Portfolios Annual Report May 31, 2020

68

Statement of Changes in Net Assets

	ELEMENTS EMERGING MARKETS PORTFOLIO
	YEAR ENDED MAY 31, 2020			YEAR ENDED MAY 31, 2019
OPERATIONS:
Net investment income	$	10,070,151		$	7,566,277
Net realized gain (loss) on:
Investments		(27,818,331	)		221,908
Foreign currency translation		(16,961	)		(149,334	)
Forward currency contracts		—			(272,106	)
Futures contracts		(18,921,742	)		(23,521,147	)
Swap contracts		9,339,834			(15,242,980	)
Net change in unrealized appreciation (depreciation) on:
Investments		6,223,851			(10,746,579	)
Foreign currency translation		(3,534	)		11,218
Forward currency contracts		—			226,152
Futures contracts		10,049,023			7,108,945
Swap contracts		(15,052,891	)		8,716,195
Net decrease in net assets resulting from operations		(26,130,600	)		(26,081,451	)
DISTRIBUTIONS TO SHAREHOLDERS:
Net dividends and distributions — Class M		(11,034,264	)		(6,035,261	)
Net dividends and distributions — Class Y		(166,302	)		—
Total distributions		(11,200,566	)		(6,035,261	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold — Class M		92,992,307			259,496,758
Proceeds from shares sold — Class Y		5,000,000			46,157
Proceeds from shares issued to holders in reinvestment of dividends — Class M		10,330,998			5,282,097
Proceeds from shares issued to holders in reinvestment of dividends — Class Y		1,473			—
Cost of shares redeemed — Class M		(204,150,285	)		(146,985,095	)
Cost of shares redeemed — Class Y		(10	)		—
Net increase (decrease) in net assets from capital share transactions		(95,825,517	)		117,839,917
Total increase/(decrease) in net assets		(133,156,683	)		85,723,205
NET ASSETS:
Beginning of year		361,293,100			275,569,895
End of year	$	228,136,417		$	361,293,100

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

Elements Portfolios Annual Report May 31, 2020

69

Financial Highlights May 31, 2020

	PER SHARE DATA:
	Income (loss) from Investment Operations
	Net Asset Value, Beginning of Year		Net Investment Income(4)		Net  Realized and Unrealized Gains (Losses)			Total Income (Loss) from Investment Operations
ELEMENTS U.S. PORTFOLIO—CLASS M
Year Ended May 31, 2020	$	11.46		0.22		1.07			1.29
Year Ended May 31, 2019	$	11.43		0.19		—			0.19
Year Ended May 31, 2018	$	10.12		0.16		1.26			1.42
Period Ended May 31, 2017(1)	$	10.00		0.03		0.09			0.12
ELEMENTS U.S. PORTFOLIO—CLASS Y
Year Ended May 31, 2020	$	11.45		0.23		1.08			1.31
Period Ended May 31, 2019(9)	$	12.03		0.04		(0.62	)		(0.58	)
ELEMENTS U.S. SMALL CAP PORTFOLIO—CLASS M
Year Ended May 31, 2020	$	10.08		0.12		(0.48	)		(0.36	)
Year Ended May 31, 2019	$	11.42		0.16		(1.35	)		(1.19	)
Year Ended May 31, 2018	$	9.81		0.15		1.58			1.73
Period Ended May 31, 2017(1)	$	10.00		0.02		(0.21	)		(0.19	)
ELEMENTS U.S. SMALL CAP PORTFOLIO—CLASS Y
Year Ended May 31, 2020	$	10.08		0.14		(0.46	)		(0.32	)
Period Ended May 31, 2019(9)	$	10.79		0.02		(0.73	)		(0.71	)
ELEMENTS INTERNATIONAL PORTFOLIO—CLASS M
Year Ended May 31, 2020	$	9.74		0.19		(0.34	)		(0.15	)
Year Ended May 31, 2019	$	11.03		0.24		(1.32	)		(1.08	)
Year Ended May 31, 2018	$	10.29		0.21		0.73			0.94
Period Ended May 31, 2017(2)	$	10.00		0.01		0.28			0.29
ELEMENTS INTERNATIONAL PORTFOLIO—CLASS Y
Year Ended May 31, 2020	$	9.75		0.20		(0.35	)		(0.15	)
Period Ended May 31, 2019(9)	$	10.14		0.07		(0.46	)		(0.39	)
ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO—CLASS M
Year Ended May 31, 2020	$	9.53		0.19		(0.46	)		(0.27	)
Year Ended May 31, 2019	$	11.35		0.25		(1.88	)		(1.63	)
Year Ended May 31, 2018	$	10.36		0.19		1.08			1.27
Period Ended May 31, 2017(2)	$	10.00		0.01		0.35			0.36
ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO—CLASS Y
Year Ended May 31, 2020	$	9.53		0.17		(0.43	)		(0.26	)
Period Ended May 31, 2019(9)	$	9.94		0.08		(0.49	)		(0.41	)
ELEMENTS EMERGING MARKETS PORTFOLIO—CLASS M
Year Ended May 31, 2020	$	9.45		0.28		(0.72	)		(0.44	)
Year Ended May 31, 2019	$	10.63		0.24		(1.19	)		(0.95	)
Period Ended May 31, 2018(3)	$	10.00		0.14		1.19			1.33
ELEMENTS EMERGING MARKETS PORTFOLIO—CLASS Y
Year Ended May 31, 2020	$	9.45		0.17		(0.60	)		(0.43	)
Period Ended May 31, 2019(9)	$	10.06		0.04		(0.65	)		(0.61	)

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

Elements Portfolios Annual Report May 31, 2020

70

Financial Highlights May 31, 2020

															SUPPLEMENT DATA AND RATIOS:
Distributions to Shareholders
Net Investment Income			Net Realized Gains			Total Distributions			Net Asset Value, End of Year			Total Return(5)				Net Assets, End of Period (000’s)			Ratio of Expenses to Average Net Assets (Before Expense Reimbursement/ Recoupment)			Ratio of Expenses to Average Net Assets (After Expense Reimbursement/ Recoupment)			Ratio of Net Investment Income (Loss) to Average Net Assets (Before Expense Reimbursement/ Recoupment)			Ratio of Net Investment Income to Average Net Assets (After Expense Reimbursement/ Recoupment)			Portfolio Turnover Rate			Supplemental Portfolio Turnover Rate(8)
	(0.22	)		(0.22	)		(0.44	)		$	12.31		11.01	%			$	393,081		0.49	%		0.15	%		1.45	%		1.79	%		34.09	%		34.09	%
	(0.16	)		—			(0.16	)		$	11.46		1.68	%			$	897,792		0.47	%		0.15	%		1.29	%		1.61	%		52.00	%		37.64	%
	(0.10	)		(0.01	)		(0.11	)		$	11.43		14.02	%			$	931,344		0.51	%		0.15	%		1.06	%		1.42	%		21.56	%		14.17	%
	—			—			—			$	10.12		1.20	%(6)			$	616,076		0.66	%(7)		0.00	%(7)		1.16	%(7)		1.82	%(7)		0.40	%(6)		N/A
	(0.24	)		(0.22	)		(0.46	)		$	12.30		11.23	%			$	60,688		0.39	%		0.05	%		1.55	%		1.89	%		34.09	%		34.09	%
	—			—			—			$	11.45		-4.82	%(6)			$	55,893		0.38	%(7)		0.05	%(7)		1.61	%(7)		1.94	%(7)		52.00	%(6)		37.64	%
	(0.19	)		—			(0.19	)		$	9.53		-3.88	%			$	159,849		0.79	%		0.15	%		0.48	%		1.12	%		16.56	%		14.92	%
	(0.15	)		—			(0.15	)		$	10.08		-10.41	%			$	331,856		0.72	%		0.15	%		0.89	%		1.46	%		64.16	%		46.75	%
	(0.10	)		(0.02	)		(0.12	)		$	11.42		17.65	%			$	525,077		0.75	%		0.15	%		0.78	%		1.38	%		25.19	%		21.06	%
	—			—			—			$	9.81		(1.90	)%(6)			$	423,113		0.91	%(7)		0.00	%(7)		0.37	%(7)		1.28	%(7)		0.01	%(6)		N/A
	(0.22	)		—			(0.22	)		$	9.54		-3.57	%			$	4,466		0.68	%		0.05	%		0.67	%		1.30	%		16.56	%		14.92	%
	—			—			—			$	10.08		-6.58	%(6)			$	24,101		0.69	%(7)		0.05	%(7)		0.63	%(7)		1.27	%(7)		64.16	%(6)		46.75	%
	(0.33	)		—			(0.33	)		$	9.26		-1.98	%			$	159,890		0.78	%		0.24	%		1.38	%		1.92	%		34.26	%		21.96	%
	(0.14	)		(0.07	)		(0.21	)		$	9.74		-9.75	%			$	598,370		0.70	%		0.20	%		1.89	%		2.39	%		121.71	%		80.87	%
	(0.16	)		(0.04	)		(0.20	)		$	11.03		9.22	%			$	590,485		0.76	%		0.21	%		1.38	%		1.93	%		20.84	%		13.52	%
	—			—			—			$	10.29		2.90	%(6)			$	374,362		1.23	%(7)		0.00	%(7)		(0.59	)%(7)		0.64	%(7)		0.00	%(6)		N/A
	(0.35	)		—			(0.35	)		$	9.25		-1.95	%			$	4,532		0.58	%		0.14	%		1.65	%		2.09	%		34.26	%		21.96	%
	—			—			—			$	9.75		-3.85	%(6)			$	39		0.68	%(7)		0.10	%(7)		3.69	%(7)		4.27	%(7)		121.71	%(6)		80.87	%
	(0.32	)		—			(0.32	)		$	8.94		-3.33	%			$	162,318		1.01	%		0.24	%		1.16	%		1.93	%		52.47	%		44.09	%
	(0.12	)		(0.07	)		(0.19	)		$	9.53		-14.33	%			$	303,259		0.98	%		0.21	%		1.73	%		2.50	%		106.41	%		63.84	%
	(0.17	)		(0.11	)		(0.28	)		$	11.35		12.34	%			$	230,796		1.11	%		0.21	%		0.81	%		1.71	%		19.19	%		9.84	%
	—			—			—			$	10.36		3.60	%(6)			$	131,264		2.65	%(7)		0.00	%(7)		(1.60	)%(7)		1.05	%(7)		0.00	%(6)		N/A
	(0.34	)		—			(0.34	)		$	8.93		-3.23	%			$	4,492		0.81	%		0.14	%		1.19	%		1.86	%		52.47	%		44.09	%
	—			—			—			$	9.53		-4.12	%(6)			$	18		0.99	%(7)		0.10	%(7)		4.16	%(7)		5.05	%(7)		106.41	%(6)		63.84	%
	(0.30	)		—			(0.30	)		$	8.71		-5.11	%			$	223,628		0.93	%		0.22	%		2.18	%		2.89	%		91.90	%		28.78	%
	(0.11	)		(0.12	)		(0.23	)		$	9.45		-8.87	%			$	361,250		0.92	%		0.22	%		1.76	%		2.46	%		227.60	%		32.74	%
	(0.06	)		(0.64	)		(0.70	)		$	10.63		13.46	%(6)			$	275,570		0.98	%(7)		0.22	%(7)		0.56	%(7)		1.32	%(7)		60.28	%(6)		4.49	%
	(0.32	)		—			(0.32	)		$	8.70		-5.04	%			$	4,509		0.83	%		0.12	%		1.14	%		1.85	%		91.90	%		28.78	%
	—			—			—			$	9.45		-6.06	%(6)			$	43		0.88	%(7)		0.15	%(7)		1.78	%(7)		2.51	%(7)		227.60	%(6)		32.74	%

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

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

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

(4) 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 waived or reimbursed by the Adviser.

(5) Results shown reflect the reinvestment of all dividends, are net of fees and expenses, and reflect waivers of all of the Portfolio’s investment management fees and partial reimbursement of the Portfolio’s expenses by Stone Ridge. See Note 4 to the Financial Statements for additional information regarding the Portfolios’ fee waivers and expense reimbursements. In the absence of fee waivers and reimbursements, returns for the Portfolios would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

(6) Not annualized.

(7) Annualized.

(8) Turnover calculation for the Portfolio’s single stock factor investing. Calculated as the lesser of notional bought or sold in equities and singlename equity derivatives, divided by average net assets for the period. Excludes activity that the Adviser believes contributes minimal transaction cost and activity in other products such as index derivatives.

(9) Class Y for each portfolio commenced operations on April 1, 2019.

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

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71

Notes to Financial Statements May 31, 2020

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, the Elements International Small Cap Portfolio and the Elements Emerging Markets Portfolio, each a “Portfolio” and collectively the “Portfolios.”

Each Portfolio is classified as non-diversified under the 1940 Act. 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. The Elements Emerging Markets Portfolio commenced operations on June 1, 2017. Each Portfolio offers two classes of shares to investors: Class Y shares, with no front-end or back-end sales charges, and no 12b-1 fees; and Class M Shares, with no front-end or back-end sales charges, and a 0.10% 12b-1 fee. 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, other than the United States, 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, other than the United States, with developed markets. The Elements Emerging Markets Portfolio seeks to achieve its investment objective by investing in a broad and diverse group of securities of companies associated with countries with emerging or frontier markets.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies consistently followed by the 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 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 (“Board”) of Stone Ridge Trust has approved procedures pursuant to which each Portfolio values its investments (the “Valuation Procedures”). The Board has established an Adviser Valuation Committee made up of employees of Stone Ridge Asset Management LLC (the “Adviser”) to which the Board has delegated responsibility for overseeing the implementation of the Valuation Procedures and fair value determinations made on behalf of the Board.

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

Non-prime money market funds and cash sweep programs are generally valued at amortized cost.

Other debt securities, including corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, 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 investment companies that are registered under the 1940 Act, the value of the shares of such funds is calculated based upon the net asset value (“NAV”) per share of such funds. The prospectuses for such funds explain the circumstances under which they will use fair value pricing and its effects.

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Notes to Financial Statements May 31, 2020

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”).

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 forward currency contracts, are generally valued on the basis of valuations provided by a pricing service.

Generally, the Portfolio must value its assets using market quotations when they are readily available. If, with respect to any portfolio instrument, market quotations are not readily available or available market quotations are deemed to be 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, the 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.

Fair value pricing may require subjective determinations about the value of a portfolio instrument. Fair values 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 a 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 a Portfolio.

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 a 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 a 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 a Portfolio’s shares may change on days when an investor is not able to purchase, redeem or exchange shares. The calculation of a Portfolio’s NAV may not take place contemporaneously with the determination of the prices of foreign securities used in NAV calculations.

The 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 significant 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 Portfolios 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: significant unobservable inputs for the asset or liability.

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Notes to Financial Statements May 31, 2020

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 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.

There were transfers from Level 3 to Level 2 during the reporting period. Transfers from Level 3 to Level 2 occurred because observable inputs being deemed readily available for the securities. The following tables summarize the inputs used to value the Portfolios’ investments as of May 31, 2020.

DESCRIPTION	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Elements U.S. Portfolio (1)
Assets
Common Stocks	$	446,826,074	$	—	$	—	$	446,826,074
Rights		15,870		—		—		15,870
Money Market Funds		5,275,927		—		—		5,275,927
U.S. Treasury Bills		—		746,772		—		746,772
Investments Purchased with the Cash Proceeds from Securities Lending		2,433,625		—		—		2,433,625
Total Assets	$	454,551,496	$	746,772	$	—	$	455,298,268
Other Financial Instruments*
Unrealized appreciation on futures contracts	$	606,315	$	—	$	—	$	606,315
Total	$	606,315	$	—	$	—	$	606,315
Elements U.S. Small Cap Portfolio (1)
Assets
Common Stocks	$	144,617,085	$	—	$	272	$	144,617,357
Rights		—		—		1,013		1,013
Money Market Funds		7,442,852		—		—		7,442,852
U.S. Treasury Bills		—		11,614,353		—		11,614,353
Investments Purchased with the Cash Proceeds from Securities Lending		2,294,523		—		—		2,294,523
Total Assets	$	154,354,460	$	11,614,353	$	1,285	$	165,970,098
Other Financial Instruments*
Unrealized appreciation on futures contracts	$	2,883,140	$	—	$	—	$	2,883,140
Total	$	2,883,140	$	—	$	—	$	2,883,140

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74

Notes to Financial Statements May 31, 2020

DESCRIPTION	LEVEL 1			LEVEL 2			LEVEL 3		TOTAL
Elements International Portfolio (1)
Assets
Common Stocks	$	52,611,435		$	95,959,296		$	—	$	148,570,731
Real Estate Investment Trusts		10,021,600			—			—		10,021,600
Money Market Funds		2,336,215			—			—		2,336,215
U.S. Treasury Bills		—			5,998,167			—		5,998,167
Investments Purchased with the Cash Proceeds from Securities Lending		808,464			—			—		808,464
Total Assets	$	65,777,714		$	101,957,463		$	—	$	167,735,177
Other Financial Instruments*
Unrealized appreciation on futures contracts	$	1,939,011		$	—		$	—	$	1,939,011
Unrealized depreciation on futures contracts		(385,309	)		—			—		(385,309	)
Unrealized appreciation on swap contracts		—			2,950,511			—		2,950,511
Unrealized depreciation on swap contracts		—			(8,260,161	)		—		(8,260,161	)
Total	$	1,553,702		$	(5,309,650	)	$	—	$	(3,755,948	)
Elements International Small Cap Portfolio (1)
Assets
Common Stocks	$	33,005,053		$	120,082,621		$	—	$	153,087,674
Preferred Stocks		10,883			476,902			—		487,785
Real Estate Investment Trusts		6,192,974			—			—		6,192,974
Rights		—			—			111,084		111,084
Money Market Funds		2,590,612			—			—		2,590,612
Investments Purchased with the Cash Proceeds from Securities Lending		4,239,580			—			—		4,239,580
Total Assets	$	46,039,102		$	120,559,523		$	111,084	$	166,709,709
Other Financial Instruments*
Unrealized appreciation on futures contracts	$	506,507		$	—		$	—	$	506,507
Unrealized depreciation on futures contracts		(389,543	)		—			—		(389,543	)
Unrealized appreciation on swap contracts		—			3,596,762			—		3,596,762
Unrealized depreciation on swap contracts		—			(1,979,473	)		—		(1,979,473	)
Total	$	116,964		$	1,617,289		$	—	$	1,734,253
Elements Emerging Markets Portfolio (1)
Assets
Common Stocks	$	85,534,600		$	112,211,270		$	—	$	197,745,870
Preferred Stocks		—			988,159			—		988,159
Real Estate Investment Trusts		13,480,715			—			—		13,480,715
Money Market Funds		11,355,952			—			—		11,355,952
U.S. Treasury Bills		—			8,192,239			—		8,192,239
Investments Purchased with the Cash Proceeds from Securities Lending		3,032,640			—			—		3,032,640
Total Assets	$	113,403,907		$	121,391,668		$	—	$	234,795,575
Other Financial Instruments*
Unrealized appreciation on futures contracts	$	6,139,226		$	—		$	—	$	6,139,226
Unrealized appreciation on swap contracts		—			2,269,295			—		2,269,295
Unrealized depreciation on swap contracts		—			(7,329,125	)		—		(7,329,125	)
Total	$	6,139,226		$	(5,059,830	)	$	—	$	1,079,396

* 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 Portfolios measure Level 3 activity as of the beginning and end of each financial reporting period.

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Notes to Financial Statements May 31, 2020

Below is a reconciliation that details the activity of securities in Level 3 during the year ended May 31, 2020:

	BEGINNING BALANCE — JUNE 1, 2019			ACQUISITIONS		DISPOSITIONS			REALIZED GAINS/ (LOSSES)			RETURN OF CAPITAL		CHANGE IN UNREALIZED APPRECIATION/ (DEPRECIATION)			TRANSFERS IN/(OUT) OF LEVEL 3		ENDING BALANCE — MAY 31, 2020
Elements U.S. Small Cap Portfolio:
Common Stocks	$	3,482		$	—	$	(7,398	)	$	7,398		$	—	$	(3,210	)	$	—	$	272
Rights		8,024			—		(8,254	)		8,254			—		(7,011	)		—	$	1,013
Elements International Portfolio:
Rights		18,089			—		(18,207	)		—			—		118			—	$	—
Elements International Small Cap Portfolio:
Common Stocks		495,978			—		(90,763	)		(409	)		—		(404,806	)		—	$	—
Rights		33,653			63,406		—			—			—		14,025			—	$	111,084
Swap Contracts*		(4,494	)		—		1,213			(1,213	)		—		4,494			—		—
Elements Emerging Markets Portfolio:
Rights		—			—		—			—			—		—			—	$	—
Swap Contracts*		884,207			—		(3,447,169	)		3,447,169			—		(918,271	)		34,064		—

* Swap contracts are derivatives. These instruments are reflected at the unrealized appreciation (depreciation) on the instrument.

As of May 31, 2020, the change in unrealized appreciation (depreciation) on positions still held in the Elements U.S. Small Cap Portfolio were $(3,210) and $(84) for common stocks and rights, respectively, in the Elements International Portfolio was $0 for rights, in the Elements International Small Cap Portfolio were $(389,774), $(14,739), and $0 for common stocks, rights, and swap contracts, respectively, and in the Elements Emerging Markets Portfolio was $0 and $0 for rights, and swap contracts, respectively.

Unobservable inputs used to value a Portfolio’s investment in equity securities or equity swaps potentially include the analytical data relating to the security and issuer from the issuer’s financial statements, press releases and public filings, relevant material news events and other factors deemed relevant by the Adviser Valuation Committee. Significant changes in any of these inputs could impact the fair value measurement of the position.

Derivative Transactions — All of the Portfolios engage in futures transactions while all of the Portfolios except the U.S. Portfolio engage in swap transactions. These transactions were for speculative purposes, to maintain liquidity, hedge equity and foreign exchange rate exposure or to earn an enhanced return during the year ended May 31, 2020.

Futures Contracts — All of the Portfolios may 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. A currency future 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 specified currencies at the close of the last trading day of the contract and the price at which the currency contract originally was written. The Portfolios are also authorized to purchase or sell call and put options on futures contracts. Each Portfolio may maintain margin for non-U.S. futures transactions directly with its broker or the clearinghouse.

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76

Notes to Financial Statements May 31, 2020

The average notional amount of futures contracts held during the year ended May 31, 2020, were as follows:

	ELEMENTS U.S. PORTFOLIO		ELEMENTS U.S. SMALL CAP PORTFOLIO		ELEMENTS INTERNATIONAL PORTFOLIO		ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO		ELEMENTS EMERGING MARKETS PORTFOLIO
Long futures contracts
Equity index contracts	$	29,181,812	$	16,951,699	$	11,651,858	$	9,789,458	$	89,777,338
Foreign currency contracts		—		—		95,121,284		51,687,270		—
Total long futures contracts	$	29,181,812	$	16,951,699	$	106,773,142	$	61,476,728	$	89,777,338

Total Return Swaps — All of the 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 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 Portfolios use swaps for both speculative and hedging purposes.

The average notional amount of total return swaps held during the year ended May 31, 2020, were as follows:

	ELEMENTS U.S. PORTFOLIO		ELEMENTS U.S. SMALL CAP PORTFOLIO		ELEMENTS INTERNATIONAL PORTFOLIO		ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO		ELEMENTS EMERGING MARKETS PORTFOLIO
Long Swap Contracts
Equity contracts	$	—	$	—	$	81,052,097	$	46,624,628	$	59,144,420
Futures contracts		—		—		5,340,813		—		3,242,395
Total long swap contracts	$	—	$	—	$	86,392,910	$	46,624,628	$	62,386,815
Short Swap Contracts
Equity contracts	$	—	$	4,683,180	$	87,161,615	$	48,728,575	$	133,147,778
Total short swap contracts	$	—	$	4,683,180	$	87,161,615	$	48,728,575	$	133,147,778

Forward Currency Contracts — All of the Portfolios may enter into forward currency contracts. When entering into a forward currency contract, in the case of a deliverable contract, a Portfolio agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date, or in the case of a non-deliverable contract, to settle the equivalent in U.S. dollars. The Portfolio’s net equity therein, represents unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date. These instruments may involve market risk from movements in currencies or credit risk from the possible inability of counterparties to meet the terms of their contracts. None of the Portfolios entered into forward contracts during the year ended May 31, 2020.

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77

Notes to Financial Statements May 31, 2020

The tables below reflect the values of the derivative assets and liabilities as reflected in each Portfolio’s Statement of Assets and Liabilities.

	ASSET DERIVATIVES
	STATEMENT OF ASSETS AND LIABILITIES LOCATION	FAIR VALUE
Elements U.S. Portfolio
Futures
Equity contracts	Net assets—Unrealized appreciation*	$	606,315
Elements U.S. Small Cap Portfolio
Futures
Equity contracts	Net assets—Unrealized appreciation*		2,883,140
Elements International Portfolio
Futures
Equity contracts	Net assets—Unrealized appreciation*		1,536,689
Foreign exchange contracts	Net assets—Unrealized appreciation*		402,322
Swaps
Equity contracts	Unrealized appreciation on swap contracts**		2,926,649
Futures contracts	Unrealized appreciation on swap contracts**		23,862
Elements International Small Cap Portfolio
Futures
Equity contracts	Net assets—Unrealized appreciation*		174,036
Foreign exchange contracts	Net assets—Unrealized appreciation*		332,472
Swaps
Equity contracts	Unrealized appreciation on swap contracts**		3,596,762
Elements Emerging Markets Portfolio
Futures
Equity contracts	Net assets—Unrealized appreciation*		6,139,226
Swaps
Equity contracts	Unrealized appreciation on swap contracts**		2,269,295

* 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.

	LIABILITY DERIVATIVES
	STATEMENT OF ASSETS AND LIABILITIES LOCATION	FAIR VALUE
Elements International Portfolio
Futures
Foreign exchange contracts	Net assets—Unrealized depreciation*	$	(385,309	)
Swaps
Equity contracts	Unrealized depreciation on swap contracts**		(3,016,400	)
Futures contracts	Unrealized depreciation on swap contracts**		(5,243,761	)
Elements International Small Cap Portfolio
Futures
Foreign exchange contracts	Net assets—Unrealized depreciation*		(389,543	)
Swaps
Equity contracts	Unrealized depreciation on swap contracts**		(1,979,473	)
Elements Emerging Markets Portfolio
Swaps
Equity contracts	Unrealized depreciation on swap contracts**		(7,329,125	)

* 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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78

Notes to Financial Statements May 31, 2020

The tables below reflect the effect of derivative instruments on the Statement of Operations for the year ended May 31, 2020.

AMOUNT OF REALIZED GAIN OR (LOSS) ON DERIVATIVES TRANSACTIONS
	FUTURES CONTRACTS			SWAP CONTRACTS			TOTAL
Elements U.S. Portfolio
Equity contracts	$	(3,678,275	)	$	—		$	(3,678,275	)
Elements U.S. Small Cap Portfolio
Equity contracts		(2,780,218	)		200,336			(2,579,882	)
Elements International Portfolio
Equity contracts		1,463,394			4,002,619			5,466,013
Foreign exchange contracts		(9,472,174	)		—			(9,472,174	)
Elements International Small Cap Portfolio
Equity contracts		5,921,325			(387,810	)		5,533,515
Foreign exchange contracts		(3,963,155	)		—			(3,963,155	)
Elements Emerging Markets Portfolio
Equity contracts		(18,921,742	)		9,339,834			(9,581,908	)

CHANGE IN UNREALIZED APPRECIATION OR (DEPRECIATION) ON DERIVATIVES TRANSACTIONS
	FUTURES CONTRACTS		SWAP CONTRACTS			TOTAL
Elements U.S. Portfolio
Equity contracts	$	1,430,593	$	—		$	1,430,593
Elements U.S. Small Cap Portfolio
Equity contracts		3,815,941		285,670			4,101,611
Elements International Portfolio
Equity contracts		1,984,667		(16,313,795	)		(14,329,128	)
Foreign exchange contracts		5,287,137		—			5,287,137
Elements International Small Cap Portfolio
Equity contracts		326,640		(3,495,144	)		(3,168,504	)
Foreign exchange contracts		2,093,195		—			2,093,195
Elements Emerging Markets Portfolio
Equity contracts		10,049,023		(15,052,891	)		(5,003,868	)

(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 Portfolios are each subject to a netting arrangement, which governs the terms of certain transactions with select counterparties. The netting arrangement allows the 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

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Notes to Financial Statements May 31, 2020

counterparty. The netting arrangement also specifies collateral posting arrangements at prearranged exposure levels. Under the netting arrangement, 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.

	GROSS AMOUNT OF RECOGNIZED ASSETS		GROSS AMOUNT OFFSET IN THE CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES		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
Elements U.S. Portfolio
Total return swap contracts	$	—	$	—	$	—	$	—		$	—		$	—
	$	—	$	—	$	—	$	—		$	—		$	—
Elements U.S. Small Cap Portfolio
Total return swap contracts	$	—	$	—	$	—	$	—		$	—		$	—
	$	—	$	—	$	—	$	—		$	—		$	—
Elements International Portfolio
Total return swap contracts	$	2,950,511	$	—	$	2,950,511	$	(770,558	)	$	—		$	2,179,953
	$	2,950,511	$	—	$	2,950,511	$	(770,558	)	$	—		$	2,179,953
Elements International Small Cap Portfolio
Total return swap contracts	$	3,596,762	$	—	$	3,596,762	$	(1,068,238	)	$	(2,237,600	)	$	290,924
	$	3,596,762	$	—	$	3,596,762	$	(1,068,238	)	$	(2,237,600	)	$	290,924
Elements Emerging Markets Portfolio
Total return swap contracts	$	2,269,295	$	—	$	2,269,295	$	(1,923,612	)	$	—		$	345,683
	$	2,269,295	$	—	$	2,269,295	$	(1,923,612	)	$	—		$	345,683

	GROSS AMOUNT OF RECOGNIZED LIABILITIES		GROSS AMOUNT OFFSET IN THE CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES		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 POSTED			NET AMOUNT
Elements U.S. Portfolio
Total return swap contracts	$	—	$	—	$	—	$	—		$	—		$	—
	$	—	$	—	$	—	$	—		$	—		$	—
Elements U.S. Small Cap Portfolio
Total return swap contracts	$	—	$	—	$	—	$	—		$	—		$	—
	$	—	$	—	$	—	$	—		$	—		$	—
Elements International Portfolio
Total return swap contracts	$	8,260,161	$	—	$	8,260,161	$	(770,558	)	$	(7,150,867	)	$	338,736
	$	8,260,161	$	—	$	8,260,161	$	(770,558	)	$	(7,150,867	)	$	338,736
Elements International Small Cap Portfolio
Total return swap contracts	$	1,979,473	$	—	$	1,979,473	$	(1,068,238	)	$	(575,666	)	$	335,569
	$	1,979,473	$	—	$	1,979,473	$	(1,068,238	)	$	(575,666	)	$	335,569
Elements Emerging Markets Portfolio
Total return swap contracts	$	7,329,125	$	—	$	7,329,125	$	(1,923,612	)	$	(5,029,143	)	$	376,370
	$	7,329,125	$	—	$	7,329,125	$	(1,923,612	)	$	(5,029,143	)	$	376,370

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Notes to Financial Statements May 31, 2020

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 Portfolios enter into contracts that contain a variety of representations which provide general indemnifications. The Portfolios’ maximum exposure under these arrangements cannot be known; however, the Portfolios expect any risk of loss to be remote.

(e) Federal Income Taxes. The Portfolios qualify and intend to continue to qualify as regulated investment companies (“RIC”) under Subchapter M of the Internal Revenue Code of 1986, as amended. If so qualified, the 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.

(f) Distributions to Shareholders. The 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 the ex-dividend date. The 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 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 Portfolios do not 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.

The Elements International Portfolio, the Elements International Small Cap Portfolio and the Elements Emerging Markets 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 a Portfolio experiencing more rapid and extreme changes in value than a fund that obtains exposure exclusively in securities of U.S. issuers.

If the 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 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 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 publicly registered. Restricted securities may be deemed illiquid.

(j) REIT Distributions. The character of distributions received from real estate investment trusts (“REITs”) held by the Portfolios is generally made up of net investment income, capital gains, and return of capital. It is the policy of the

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81

Notes to Financial Statements May 31, 2020

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 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.

(k) Securities Lending. The Elements U.S. Portfolio and Elements U.S. Small Cap Portfolio entered into securities lending arrangements with Securities Finance Trust Company (a “securities lending agent”). The Elements International Portfolio, Elements International Small Cap Portfolio and Elements Emerging Markets Portfolio entered into securities lending arrangements with Brown Brothers Harriman & Co. (a “securities lending agent”). Under the terms of the agreements, the securities lending agent is authorized to loan securities on behalf of the Portfolios to approved borrowers. In exchange, the Portfolios receive collateral in the amount of 102% of the value of securities loaned for domestic securities and 105% of the value of securities loaned with respect to foreign securities and the loans are marked to market daily. The Portfolios’ cash collateral is invested in short-term instruments as noted in the Schedules of Investments. Although risk is mitigated by the collateral, the borrower may fail to return the securities in a timely manner or at all. As a result, the Portfolios may lose money and there may be a delay in recovering securities. In addition, the Portfolios bear the risk of loss associated with the investment of collateral received. After predetermined rebates to borrowers, a percentage of the net securities lending revenue is credited to the applicable Portfolio. The securities lending agent is paid a fee for administering a securities lending program for the Portfolios, equal to a predetermined percentage of such net securities lending revenues. Securities lending income is disclosed in the Portfolios’ Statement of Operations.

(l) Allocation of Income, Expenses, Gains/Losses. Income, expenses (other than those deemed attributable to a specific share class), and gains and losses of each portfolio are allocated daily to each share class based upon the ratio of net assets represented by each class as a percentage of the net assets of each portfolio. Expenses deemed directly attributable to a class of shares are recorded by the specific class. Most expenses are allocated based on average net assets, with the exception of 12b-1 fees, which are expensed at 0.10% of average daily net assets of the Class M shares.

(m) COVID-19. An outbreak of infectious respiratory illness caused by a novel coronavirus known as COVID-19 was first detected in China in December 2019 and subsequently spread globally. This coronavirus has resulted in travel restrictions and disruptions, closed borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, quarantines, event cancellations and restrictions, service cancellations or reductions, disruptions to business operations, supply chains and customer activity, lower consumer demand for goods and services, as well as general concern and uncertainty that has negatively affected the economic environment. The impact of this outbreak could adversely affect the economies of many nations or the entire global economy, the financial performance of individual issuers, borrowers and sectors and the health of capital markets and other markets generally in potentially significant and unforeseen ways. This crisis may also exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the COVID-19 outbreak and its effects cannot be determined with certainty. The foregoing could lead to a significant economic downturn or recession, increased market volatility, a greater number of market closures, higher default rates and adverse effects on the values and liquidity of securities or other assets. Such impacts present material uncertainty and risk with respect to the Fund’s investment performance and financial results.

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 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 year ended May 31, 2020, were primarily attributable to differences in the book and tax treatment of foreign currencies realized gains and losses, distributions from real estate investment trusts and investment in passive foreign investment companies.

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82

Notes to Financial Statements May 31, 2020

For the year ended May 31, 2020, the effect of permanent “book/tax” reclassifications resulted in increases and decreases to components of the Portfolios’ net assets as follows:

PORTFOLIO	TOTAL DISTRIBUTABLE EARNINGS/(LOSS)			PAID IN CAPITAL
Elements U.S. Portfolio	$	(11,550,046	)	$	11,550,046
Elements U.S. Small Cap Portfolio		—			—
Elements International Portfolio		1			(1	)
Elements International Small Cap Portfolio		(1	)		1
Elements Emerging Markets Portfolio		—			—

As of May 31, 2020, the components of accumulated earnings (losses) for income tax purposes were as follows:

	ELEMENTS U.S. PORTFOLIO			ELEMENTS U.S. SMALL CAP PORTFOLIO			ELEMENTS INTERNATIONAL PORTFOLIO			ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO			ELEMENTS EMERGING MARKETS PORTFOLIO
Tax cost of Investments	$	387,222,783		$	135,034,604		$	170,620,737		$	158,743,898		$	232,789,656
Unrealized Appreciation		106,786,707			46,181,799			15,842,857			27,325,700			22,702,180
Unrealized Depreciation		(38,674,829	)		(15,246,303	)		(24,226,975	)		(17,909,121	)		(25,758,719	)
Net unrealized appreciation (depreciation)		68,111,878			30,935,496			(8,384,118	)		9,416,579			(3,056,539	)
Undistributed Ordinary Income		6,967,918			805,059			7,204,950			3,092,009			4,571,682
Undistributed Long Term Capital Gains/(Capital Loss Carryover)		7,043,280			(36,961,425	)		(78,359,765	)		(54,490,637	)		(62,200,915	)
Distributable earnings		14,011,198			(36,156,366	)		(71,154,815	)		(51,398,628	)		(57,629,233	)
Other accumulated loss		—			—			—			—			—
Total accumulated gain/(loss)	$	82,123,076		$	(5,220,870	)	$	(79,538,933	)	$	(41,982,049	)	$	(60,685,772	)

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

The tax character of distributions paid during the year ended May 31, 2020 was as follows:

	ORDINARY INCOME		LONG-TERM CAPITAL GAIN		RETURN OF CAPITAL		TOTAL
Elements U.S. Portfolio	$	18,160,991	$	18,338,394	$	—	$	36,499,385
Elements U.S. Small Cap Portfolio		5,159,407		—		—		5,159,407
Elements International Portfolio		13,599,742		—		—		13,599,742
Elements International Small Cap Portfolio		8,147,413		—		—		8,147,413
Elements Emerging Markets Portfolio		11,200,566		—		—		11,200,566

The tax character of distributions paid during the year ended May 31, 2019 was as follows:

	ORDINARY INCOME		LONG-TERM CAPITAL GAIN		RETURN OF CAPITAL		TOTAL
Elements U.S. Portfolio	$	13,665,103	$	—	$	—	$	13,665,103
Elements U.S. Small Cap Portfolio		6,907,090		—		—		6,907,090
Elements International Portfolio		13,124,905		—		—		13,124,905
Elements International Small Cap Portfolio		4,537,212		—		—		4,537,212
Elements Emerging Markets Portfolio		6,035,261		—		—		6,035,261

Each of the Portfolios designated as long-term capital gain dividends, pursuant to Internal Revenue Code Section 852(b)(3), the amount necessary to reduce the earnings and profits related to net capital gains to zero.

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83

Notes to Financial Statements May 31, 2020

At May 31, 2020 certain Portfolios have tax basis capital losses which may be carried forward indefinitely to offset future capital gains as shown below:

	SHORT-TERM			LONG-TERM			TOTAL
Elements U.S. Portfolio	$	—		$	—		$	—
Elements U.S. Small Cap Portfolio		(21,088,499	)		(15,872,926	)		(36,961,425	)
Elements International Portfolio		(45,140,511	)		(33,219,254	)		(78,359,765	)
Elements International Small Cap Portfolio		(31,793,116	)		(22,697,521	)		(54,490,637	)
Elements Emerging Markets Portfolio		(34,644,124	)		(27,556,791	)		(62,200,915	)

The Portfolios elect not to defer, where applicable, Late Year Ordinary Losses incurred between January 1, 2020 and May 31, 2020 and Post-October Capital Losses incurred between November 1, 2019 and May 31, 2020.

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 year ended May 31, 2020. As of May 31, 2020 open tax years include the periods ended May 31, 2018, 2019, and 2020. The Portfolios recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statement of Operations. During the period the Portfolios did not incur any interest or penalties.

4. Agreements

(a) Investment Management Agreement. The Adviser is the Portfolios’ investment adviser, and 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 Portfolios.

As compensation for its services, the Adviser is paid by each of the 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, 0.55% of the average daily net assets of the Elements International Small Cap Portfolio, and 0.60% of the average daily net assets of the Elements Emerging Markets Portfolio.

Effective October 1, 2019 and through September 30, 2022 for the Portfolios, the Adviser has agreed to waive its management fee in its entirety. In addition, effective October 1, 2019 through September 30, 2020 the Adviser has agreed to pay or otherwise bear operating and other expenses of the applicable Portfolio or a share class thereof (including offering expenses, but excluding brokerage and transactional expenses, borrowing and other investment-related costs and fees including interest and commitment fees, short dividend expense, acquired fund fees and expenses, taxes, litigation and indemnification expenses, judgments and extraordinary expenses not incurred in the ordinary course of the Portfolio’s business (collectively, the “Excluded Expenses”)) solely to the extent necessary to limit the total annualized expenses, other than Excluded Expenses, of the applicable share class to the percentage specified below of the average daily net assets attributable to such class.

PORTFOLIO	EXPENSE CAP
Elements U.S. Portfolio	0.15% for Class M Shares
Elements U.S. Small Cap Portfolio	0.05% for Class Y Shares
Elements International Portfolio
Elements International Small Cap Portfolio	0.20% for Class M Shares
Elements Emerging Markets Portfolio	0.10% for Class Y Shares

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84

Notes to Financial Statements May 31, 2020

As of May 31, 2020, the amounts waived or reimbursed by the Adviser during the fiscal year ended with respect to the Elements U.S. Portfolio, the Elements U.S. Small Cap Portfolio, the Elements International Portfolio, the Elements International Small Cap Portfolio and the Elements Emerging Markets Portfolio were as follows:

PORTFOLIO	AMOUNTS WAIVED FOR THE FISCAL PERIOD ENDED MAY 31, 2020
Elements U.S. Portfolio—Class M	$	2,973,686
Elements U.S. Portfolio—Class Y		210,802
Elements U.S. Small Cap Portfolio—Class M		1,775,305
Elements U.S. Small Cap Portfolio—Class Y		104,627
Elements International Portfolio—Class M		2,131,875
Elements International Portfolio—Class Y		12,842
Elements International Small Cap Portfolio—Class M		1,886,791
Elements International Small Cap Portfolio—Class Y		20,091
Elements Emerging Markets Portfolio—Class M		2,469,849
Elements Emerging Markets Portfolio—Class Y		21,590

As of October 1, 2019, expenses reimbursed by the Adviser, not including advisory fees waived, on or after such date will be available for recoupment to the extent that the expenses for the Portfolio after such recoupment do not exceed the lower of (i) the annual expense limitation rate in effect at the time of the actual reimbursement and (ii) the annual expense limitation rate in effect at the time of the recoupment. However, the Adviser shall not be permitted to recoup any such expenses beyond three years from the month end in which the Adviser reimbursed an expense. As of May 31, 2020, the amounts available to be recouped by the Adviser with respect to the Elements U.S. Portfolio, the Elements U.S. Small Cap Portfolio, the Elements International Portfolio, the Elements International Small Cap Portfolio and the Elements Emerging Markets Portfolio were as follows:

PORTFOLIO	REMAINING AMOUNT TO BE RECOUPED (EXPIRING BY MAY 31, 2023)
Elements U.S. Portfolio—Class M	$	381,767
Elements U.S. Portfolio—Class Y		20,682
Elements U.S. Small Cap Portfolio—Class M		610,485
Elements U.S. Small Cap Portfolio—Class Y		28,253
Elements International Portfolio—Class M		580,677
Elements International Portfolio—Class Y		3,099
Elements International Small Cap Portfolio—Class M		977,693
Elements International Small Cap Portfolio—Class Y		5,651
Elements Emerging Markets Portfolio—Class M		596,141
Elements Emerging Markets Portfolio—Class Y		3,140

(b) Custodian, Administrator and Transfer Agent. The custodians to the Trust are U.S. Bank, N.A for the Elements U.S. Portfolio and the Elements U.S. Small Cap Portfolio and Brown Brothers Harriman & Co. for the Elements International Portfolio, the Elements International Small Cap Portfolio and the Elements Emerging Markets Portfolio. The administrator and transfer agent to the Trust is U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services, an affiliate of U.S. Bank, N.A.

(c) Distributor. ALPS Distributors, Inc. (the “Distributor”) serves as the Portfolios’ distributor.

5. Distribution Plan

The Class M Shares of the Portfolios pay Rule 12b-1 fees to compensate financial intermediaries in connection with (i) personal and account maintenance services rendered to Class M shareholders (fees for such services, “servicing fees”) and/or (ii) activities or expenses primarily intended to result in the sale of Class M shares (fees for such services, if any, “distribution fees”). Servicing fees and distribution fees may be paid pursuant to a Distribution Plan (“12b-1 Plan”)

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85

Notes to Financial Statements May 31, 2020

adopted by each Portfolio, with respect to its class M shares, at the maximum annual rate of 0.25% of such Portfolio’s average daily net assets attributable to Class M. Class M Shares of each Portfolio currently pay a rate of 0.10% of the average daily net assets attributable to Class M shares and may not pay at a higher rate unless authorized to do so by the Board (not to exceed 0.25%). These fees are paid out of each Portfolio’s Class M shares’ assets on an ongoing basis and may be administered or facilitated by the Distributor. Because Rule 12b-1 fees are paid out of a Portfolio’s Class M shares’ assets on an ongoing basis, over time these fees will increase the cost of your investment in Class M shares of the Portfolios and may cost you more than other types of sales charges. The Distributor does not retain any portion of the distribution fees. The Adviser performs certain services and incurs certain expenses with respect to the promotion of the Portfolios’ Class M shares and the servicing of Class M shareholders. If amounts remain from the 12b-1 fees after the Distributor has paid the intermediaries, such amounts may be used to compensate the Adviser for the services it provides and for the expenses it bears in connection with the distribution of the Portfolios’ Class M shares. To the extent that there are expenses associated with shareholder services that exceed the amounts payable pursuant to the 12b-1 Plan, the Class M shares of the Portfolios will bear such expenses.

6. Related Parties

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

7. Investment Transactions

For the year ended May 31, 2020, aggregate purchases and sales of securities (excluding short-term securities) by the Portfolios were as follows:

	ELEMENTS U.S. PORTFOLIO		ELEMENTS U.S. SMALL CAP PORTFOLIO		ELEMENTS INTERNATIONAL PORTFOLIO		ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO		ELEMENTS EMERGING MARKETS PORTFOLIO
Purchases	$	310,343,969	$	46,543,164	$	132,557,635	$	123,256,747	$	298,037,464
Sales		791,315,911		215,976,512		532,218,531		237,028,386		387,801,725
U.S. Government Security Purchases		—		—		—		—		—
U.S. Government Security Sales		—		—		—		—		—

8. Capital Share Transactions

ELEMENTS U.S. PORTFOLIO - CLASS M	YEAR ENDED MAY 31, 2020			YEAR ENDED MAY 31, 2019
Shares sold		13,922,689			33,337,508
Shares issued to holders in reinvestment of dividends		2,445,761			1,183,953
Shares redeemed		(62,796,449	)		(37,631,660	)
Net increase/(decrease) in shares		(46,427,999	)		(3,110,199	)
Shares outstanding:
Beginning of period		78,360,141			81,470,340
End of period		31,932,142			78,360,141
ELEMENTS U.S. PORTFOLIO - CLASS Y(1)	YEAR ENDED MAY 31, 2020			PERIOD ENDED MAY 31, 2019
Shares sold		398,406			6,512,365
Shares issued to holders in reinvestment of dividends		172,973			—
Shares redeemed		(515,465	)		(1,632,654	)
Net increase in shares		55,914			4,879,711
Shares outstanding:
Beginning of period		4,879,711			—
End of period		4,935,625			4,879,711

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Notes to Financial Statements May 31, 2020

ELEMENTS U.S. SMALL CAP PORTFOLIO - CLASS M	YEAR ENDED MAY 31, 2020			YEAR ENDED MAY 31, 2019
Shares sold		6,942,628			10,805,093
Shares issued to holders in reinvestment of dividends		405,374			646,434
Shares redeemed		(23,503,588	)		(24,519,155	)
Net increase/(decrease) in shares		(16,155,586	)		(13,067,628	)
Shares outstanding:
Beginning of period		32,927,797			45,995,425
End of period		16,772,211			32,927,797
ELEMENTS U.S. SMALL CAP PORTFOLIO - CLASS Y(1)	YEAR ENDED MAY 31, 2020			PERIOD ENDED MAY 31, 2019
Shares sold		464,253			3,294,419
Shares issued to holders in reinvestment of dividends		76			—
Shares redeemed		(2,387,035	)		(903,342	)
Net increase in shares		(1,922,706	)		2,391,077
Shares outstanding:
Beginning of period		2,391,077			—
End of period		468,371			2,391,077
ELEMENTS INTERNATIONAL PORTFOLIO - CLASS M	YEAR ENDED MAY 31, 2020			YEAR ENDED MAY 31, 2019
Shares sold		8,759,311			51,832,112
Shares issued to holders in reinvestment of dividends		1,152,339			1,263,392
Shares redeemed		(54,094,382	)		(45,193,831	)
Net increase in shares		(44,182,732	)		7,901,673
Shares outstanding:
Beginning of period		61,454,935			53,553,262
End of period		17,272,203			61,454,935
ELEMENTS INTERNATIONAL PORTFOLIO - CLASS Y(1)	YEAR ENDED MAY 31, 2020			PERIOD ENDED MAY 31, 2019
Shares sold		485,909			4,033
Shares issued to holders in reinvestment of dividends		135			—
Shares redeemed		—			—
Net increase in shares		486,044			4,033
Shares outstanding:
Beginning of period		4,033			—
End of period		490,077			4,033
ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO - CLASS M	YEAR ENDED MAY 31, 2020			YEAR ENDED MAY 31, 2019
Shares sold		16,077,025			24,159,117
Shares issued to holders in reinvestment of dividends		702,874			433,226
Shares redeemed		(30,451,957	)		(13,105,334	)
Net increase in shares		(13,672,058	)		11,487,009
Shares outstanding:
Beginning of period		31,826,335			20,339,326
End of period		18,154,277			31,826,335

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Notes to Financial Statements May 31, 2020

ELEMENTS INTERNATIONAL SMALL CAP PORTFOLIO - CLASS Y(1)	YEAR ENDED MAY 31, 2020			PERIOD ENDED MAY 31, 2019
Shares sold		501,002			1,878
Shares issued to holders in reinvestment of dividends		61			—
Shares redeemed		—			—
Net increase in shares		501,063			1,878
Shares outstanding:
Beginning of period		1,878			—
End of period		502,941			1,878
ELEMENTS EMERGING MARKETS PORTFOLIO - CLASS M	YEAR ENDED MAY 31, 2020			YEAR ENDED MAY 31, 2019
Shares sold		10,100,404			27,472,249
Shares issued to holders in reinvestment of dividends		1,011,851			571,656
Shares redeemed		(23,666,127	)		(15,749,206	)
Net increase in shares		(12,553,872	)		12,294,699
Shares outstanding:
Beginning of period		38,216,288			25,921,589
End of period		25,662,416			38,216,288
ELEMENTS EMERGING MARKETS PORTFOLIO - CLASS Y(1)	YEAR ENDED MAY 31, 2020			PERIOD ENDED MAY 31, 2019
Shares sold		513,347			4,588
Shares issued to holders in reinvestment of dividends		145			—
Shares redeemed		(1	)		—
Net increase in shares		513,491			4,588
Shares outstanding:
Beginning of period		4,588			—
End of period		518,079			4,588

(1) Class Y commenced operations on April 1, 2019.

9. Financing

The Elements U.S. Portfolios may obtain leverage through borrowings in seeking to achieve their investment objectives. As of May 31, 2020, the Elements U.S. Portfolio and Elements U.S. Small Cap Portfolio, along with two other series of the Trust advised by the Adviser (the Stone Ridge High Yield Reinsurance Risk Premium Fund (the “High Yield Fund”) and the Stone Ridge U.S. Hedged Equity Fund (the “Hedged Equity Fund”), shared an umbrella line of credit with a maximum withdrawal capacity of the lesser of (1) $50,000,000 across all Stone Ridge Trust funds less any loans outstanding with Stone Ridge Trust III to the extent such loans exceed $25,000,000 or (2) (a) for funds with a secured line of credit, 33.3% of the net market value of the collateral posted by the fund or (b) for funds with an unsecured line of credit, 33.3% of the net assets of the fund. For the High Yield Fund, the Elements U.S. Portfolio and the Elements U.S. Small Cap Portfolio, the umbrella line of credit takes the form of a secured loan agreement, which is effective November 28, 2017—October 24, 2020. For the Hedged Equity Fund, the umbrella line of credit takes the form of an unsecured loan agreement, which is effective June 6, 2018—October 24, 2020.

Through the year ended May 31, 2020, the Elements U.S. Portfolio’s maximum borrowing was $19,800,000 and average borrowing was $189,891. This borrowing resulted in interest expenses of $4,344 at a weighted average interest rate of 2.25% and is included in “Other expenses” on the Elements U.S. Portfolio’s Statement of Operations. As of May 31, 2020, the Elements U.S. Portfolio did not have an outstanding loan balance.

Through the year ended May 31, 2020, the Elements U.S. Small Cap Portfolio’s maximum borrowing was $3,800,000 and average borrowing was $34,180. This borrowing resulted in interest expenses of $818 at a weighted average interest

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Notes to Financial Statements May 31, 2020

rate of 2.60% and is included in “Other expenses” on the Elements U.S. Small Cap Portfolio’s Statement of Operations. As of May 31, 2020, the Elements U.S. Small Cap Portfolio did not have an outstanding loan balance.

10. Subsequent Events Evaluation

In preparing these financial statements, the 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. This evaluation did not result in any subsequent events that necessitated disclosures and/or adjustments.

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Report of Independent Registered Public Accounting Firm

To the Shareholders of Elements U.S. Portfolio, Elements U.S. Small Cap Portfolio, Elements International Portfolio, Elements International Small Cap Portfolio, and Elements Emerging Markets Portfolio and the Board of Trustees of Stone Ridge Trust

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of the Elements U.S. Portfolio, Elements U.S. Small Cap Portfolio, Elements International Portfolio, Elements International Small Cap Portfolio, and Elements Emerging Markets Portfolio (collectively referred to as the “Portfolios”), (five of the portfolios constituting Stone Ridge Trust (the “Trust”)), including the schedules of investments, as of May 31, 2020, and the related statements of operations, changes in net assets, and the financial highlights for each of the periods indicated in the table below and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Portfolios (five of the Portfolios constituting the Trust) at May 31, 2020, and the results of their operations, changes in net assets and financial highlights for each of the periods indicated in the table below, in conformity with U.S. generally accepted accounting principles.

Individual portfolio comprising the Stone Ridge Trust	Statement of operations	Statements of changes in net assets	Financial highlights
Elements U.S. Portfolio Elements U.S. Small Cap Portfolio	For the year ended May 31, 2020	For each of the two years in the period ended May 31, 2020	For each of the three years in the period ended May 31, 2020 and the period from April 3, 2017 (commencement of operations) through May 31, 2017
Elements International Portfolio Elements International Small Cap Portfolio	For the year ended May 31, 2020	For each of the two years in the period ended May 31, 2020	For each of the three years in the period ended May 31, 2020 and the period from May 1, 2017 (commencement of operations) through May 31, 2017
Elements Emerging Markets Portfolio	For the year ended May 31, 2020	For each of the two years in the period ended May 31, 2020	For each of the three years in the period ended May 31, 2020

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of the Portfolios’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. 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, whether due to fraud or error. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

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Report of Independent Registered Public Accounting Firm

Our audits include performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures including examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of May 31, 2020, by correspondence with the custodians and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluation the accounting principles used and significant estimated made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more of the Stone Ridge investment companies since 2013.

Minneapolis, Minnesota

July 29, 2020

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91

Expense Examples (Unaudited)

As a shareholder of 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 December 1, 2019 through May 31, 2020.

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 funds. 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 — Class M

	BEGINNING ACCOUNT VALUE DECEMBER 1, 2019		ENDING ACCOUNT VALUE MAY 31, 2020		EXPENSES PAID DURING PERIOD* DECEMBER 1, 2019 – MAY 31, 2020
Actual	$	1,000.00	$	963.10	$	0.74
Hypothetical (5% annual return before expenses)*	$	1,000.00	$	1,024.25	$	0.76

* Expenses are equal to the Portfolio’s annualized six month expense ratio of 0.15% for Elements U.S. Portfolio — Class M, multiplied by the average account value over the period, multiplied by 182/366 to reflect the partial year period.

Elements U.S. Portfolio — Class Y

		��
	BEGINNING ACCOUNT VALUE DECEMBER 1, 2019		ENDING ACCOUNT VALUE MAY 31, 2020		EXPENSES PAID DURING PERIOD* DECEMBER 1, 2019 – MAY 31, 2020
Actual	$	1,000.00	$	964.10	$	0.25
Hypothetical (5% annual return before expenses)*	$	1,000.00	$	1,024.75	$	0.25

* Expenses are equal to the Portfolio’s annualized six month expense ratio of 0.05% for Elements U.S. Portfolio — Class Y, multiplied by the average account value over the period, multiplied by 182/366 to reflect the partial year period.

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Expense Examples (Unaudited)

Elements U.S. Small Cap Portfolio — Class M

	BEGINNING ACCOUNT VALUE DECEMBER 1, 2019		ENDING ACCOUNT VALUE MAY 31, 2020		EXPENSES PAID DURING PERIOD* DECEMBER 1, 2019 – MAY 31, 2020
Actual	$	1,000.00	$	847.70	$	0.69
Hypothetical (5% annual return before expenses)*	$	1,000.00	$	1,024.25	$	0.76

* Expenses are equal to the Portfolio’s annualized six month expense ratio of 0.15% for Elements U.S. Small Cap Portfolio — Class M, multiplied by the average account value over the period, multiplied by 182/366 to reflect the partial year period.

Elements U.S. Small Cap Portfolio — Class Y

	BEGINNING ACCOUNT VALUE DECEMBER 1, 2019		ENDING ACCOUNT VALUE MAY 31, 2020		EXPENSES PAID DURING PERIOD* DECEMBER 1, 2019 – MAY 31, 2020
Actual	$	1,000.00	$	849.70	$	0.23
Hypothetical (5% annual return before expenses)*	$	1,000.00	$	1,024.75	$	0.25

* Expenses are equal to the Portfolio’s annualized six month expense ratio of 0.05% for Elements U.S. Small Cap Portfolio — Class Y, multiplied by the average account value over the period, multiplied by 182/366 to reflect the partial year period.

Elements International Portfolio — Class M

	BEGINNING ACCOUNT VALUE DECEMBER 1, 2019		ENDING ACCOUNT VALUE MAY 31, 2020		EXPENSES PAID DURING PERIOD* DECEMBER 1, 2019 – MAY 31, 2020
Actual	$	1,000.00	$	898.00	$	1.14
Hypothetical (5% annual return before expenses)*	$	1,000.00	$	1,023.80	$	1.21

* Expenses are equal to the Portfolio’s annualized six month expense ratio of 0.24% for Elements International Portfolio — Class M, multiplied by the average account value over the period, multiplied by 182/366 to reflect the partial year period.

Elements International Portfolio — Class Y

	BEGINNING ACCOUNT VALUE DECEMBER 1, 2019		ENDING ACCOUNT VALUE MAY 31, 2020		EXPENSES PAID DURING PERIOD* DECEMBER 1, 2019 – MAY 31, 2020
Actual	$	1,000.00	$	899.30	$	0.66
Hypothetical (5% annual return before expenses)*	$	1,000.00	$	1,024.30	$	0.71

* Expenses are equal to the Portfolio’s annualized six month expense ratio of 0.14% for Elements International Portfolio — Class Y, multiplied by the average account value over the period, multiplied by 182/366 to reflect the partial year period.

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Expense Examples (Unaudited)

Elements International Small Cap Portfolio — Class M

	BEGINNING ACCOUNT VALUE DECEMBER 1, 2019		ENDING ACCOUNT VALUE MAY 31, 2020		EXPENSES PAID DURING PERIOD* DECEMBER 1, 2019 – MAY 31, 2020
Actual	$	1,000.00	$	883.30	$	1.13
Hypothetical (5% annual return before expenses)*	$	1,000.00	$	1,023.80	$	1.21

* Expenses are equal to the Portfolio’s annualized six month expense ratio of 0.24% for Elements International Small Cap Portfolio — Class M, multiplied by the average account value over the period, multiplied by 182/366 to reflect the partial year period.

Elements International Small Cap Portfolio — Class Y

	BEGINNING ACCOUNT VALUE DECEMBER 1, 2019		ENDING ACCOUNT VALUE MAY 31, 2020		EXPENSES PAID DURING PERIOD* DECEMBER 1, 2019 – MAY 31, 2020
Actual	$	1,000.00	$	883.30	$	0.66
Hypothetical (5% annual return before expenses)*	$	1,000.00	$	1,024.30	$	0.71

* Expenses are equal to the Portfolio’s annualized six month expense ratio of 0.14% for Elements International Small Cap Portfolio — Class Y, multiplied by the average account value over the period, multiplied by 182/366 to reflect the partial year period.

Elements Emerging Markets Portfolio — Class M

	BEGINNING ACCOUNT VALUE DECEMBER 1, 2019		ENDING ACCOUNT VALUE MAY 31, 2020		EXPENSES PAID DURING PERIOD* DECEMBER 1, 2019 – MAY 31, 2020
Actual	$	1,000.00	$	1,045.50	$	1.18
Hypothetical (5% annual return before expenses)*	$	1,000.00	$	1,023.85	$	1.16

* Expenses are equal to the Portfolio’s annualized six month expense ratio of 0.22% for Elements Emerging Markets Portfolio — Class M, multiplied by the average account value over the period, multiplied by 182/366 to reflect the partial year period.

Elements Emerging Markets Portfolio — Class Y

	BEGINNING ACCOUNT VALUE DECEMBER 1, 2019		ENDING ACCOUNT VALUE MAY 31, 2020		EXPENSES PAID DURING PERIOD* DECEMBER 1, 2019 – MAY 31, 2020
Actual	$	1,000.00	$	908.30	$	0.57
Hypothetical (5% annual return before expenses)*	$	1,000.00	$	1,024.40	$	0.61

* Expenses are equal to the Portfolio’s annualized six month expense ratio of 0.12% for Elements Emerging Markets Portfolio — Class Y, multiplied by the average account value over the period, multiplied by 182/366 to reflect the partial year period.

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Additional Information (Unaudited)

1. Disclosure Regarding Trustees and Officers

Independent Trustees
NAME (YEAR OF BIRTH)	POSITION(S) HELD WITH THE TRUST	TERM OF OFFICE AND LENGTH OF TIME SERVED(1)	PRINCIPAL OCCUPATION(S) DURING THE PAST 5 YEARS	NUMBER OF PORTFOLIOS IN THE FUND COMPLEX OVERSEEN BY TRUSTEE(2)	OTHER DIRECTORSHIPS / TRUSTEESHIPS HELD BY TRUSTEE DURING THE PAST 5 YEARS
Jeffery Ekberg (1965)	Trustee	since 2012	Self-employed (personal investing) since 2011; Principal, TPG Capital, L.P. (private equity firm) until 2011; Chief Financial Officer, Newbridge Capital, LLC (subsidiary of TPG Capital, L.P.) until 2011	57	None.
Daniel Charney (1970)	Trustee	since 2012	Co-President, Cowen and Company, Cowen, Inc. (financial services firm) since 2012	57	None.
Interested Trustee
NAME (YEAR OF BIRTH)	POSITION(S) HELD WITH THE TRUST	TERM OF OFFICE AND LENGTH OF TIME SERVED(1)	PRINCIPAL OCCUPATION(S) DURING THE PAST 5 YEARS	NUMBER OF PORTFOLIOS IN THE FUND COMPLEX OVERSEEN BY TRUSTEE(2)	OTHER DIRECTORSHIPS / TRUSTEESHIPS HELD BY TRUSTEE DURING THE PAST 5 YEARS
Ross Stevens(3) (1969)	Trustee, Chairman	since 2012	Founder and Chief Executive Officer of Stone Ridge since 2012	57	None.

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

(2) The Fund Complex includes the Trust and Stone Ridge Trust II, Stone Ridge Trust III, Stone Ridge Trust IV, Stone Ridge Trust V, Stone Ridge Trust VI, Stone Ridge Residential Real Estate Income Fund I, Inc., Stone Ridge Longevity Risk Premium Fixed Income Master Trust 2045 and trusts that invest substantially all of their assets in a series of Stone Ridge Longevity Risk Premium Fixed Income Master Trust 2045, other investment companies managed by the Adviser.

(3) 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 the Funds’ Trustees and is available free of charge upon request by calling the Fund toll free at 1.855.609.3680

Officers of the Trust
NAME (YEAR OF BIRTH) AND ADDRESS(1)(2)	POSITION(S) HELD WITH THE TRUST	TERM OF OFFICE AND LENGTH OF TIME SERVED(3)	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.
Lauren D. Macioce (1978)	Chief Compliance Officer, Secretary, Chief Legal Officer and Anti-Money Laundering Compliance Officer	since 2016	General Counsel and Chief Compliance Officer of the Adviser, since 2016; prior to that Associate at Ropes & Gray LLP (law firm).

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Additional Information (Unaudited)

Officers of the Trust
NAME (YEAR OF BIRTH) AND ADDRESS(1)(2)	POSITION(S) HELD WITH THE TRUST	TERM OF OFFICE AND LENGTH OF TIME SERVED(3)	PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
Anthony Zuco (1975)	Treasurer, Principal Financial Officer, Chief Financial Officer and Chief Accounting Officer	since 2018	Supervising Fund Controller at the Adviser, since 2015; prior to that Controller at Owl Creek Asset Management L.P. (investment advisory firm).
Alexander Nyren (1980)	Assistant Secretary	since 2018	Head of Reinsurance of the Adviser, since 2018; member of Reinsurance portfolio management team at the Adviser, since 2013.
David Thomas (1980)	Assistant Treasurer	since 2018	Member of Operations at the Adviser, since 2015; prior to that member of Operations at KCG Holdings, Inc. (financial services firm).
Leson Lee (1975)	Assistant Treasurer	since 2019	Member of Operations at the Adviser, since 2018; prior to that Treasury Manager at Eton Park Capital Management (investment advisory firm).
Cathleen Hu (1983)	Assistant Treasurer	since 2019	Member of Operations at the Adviser, since 2015; prior to that Clearing Manager at KCG Holdings, Inc. (financial services firm).
Domingo Encarnacion (1983)	Assistant Treasurer	since January 2020	Tax Manager at the Adviser, since 2016; prior to that Tax Manager at PricewaterhouseCoopers LLP (public accounting 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) Each of the Officers is an affiliated person of the Adviser as a result of his or her position with the Adviser.

(3) The term of office of each Officer is indefinite.

2. Shareholder Notification of Federal Tax Status

For the fiscal year ended May 31, 2020, certain dividends paid by the Portfolios may be subject to a maximum tax rate of 15%, as provided by the Jobs and Growth Tax Relief Reconciliation Act of 2003. The percentage of dividends declared from ordinary income designated as qualified dividend income was as follows:

Elements U.S. Portfolio	100.00%
Elements U.S. Small Cap Portfolio	100.00%
Elements International Portfolio	93.87%
Elements International Small Cap Portfolio	88.59%
Elements Emerging Markets Portfolio	72.17%

For corporate shareholders, the percentage of ordinary income distributions qualifying for the corporate dividend received deduction for the fiscal year ended May 31, 2019 was as follows:

Elements U.S. Portfolio	100.00%
Elements U.S. Small Cap Portfolio	100.00%
Elements International Portfolio	12.74%
Elements International Small Cap Portfolio	14.06%
Elements Emerging Markets Portfolio	32.33%

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Additional Information (Unaudited)

The percentage of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Section 871(k)(2)(C) for each Portfolio was as follows:

Elements U.S. Portfolio	0.00%
Elements U.S. Small Cap Portfolio	0.00%
Elements International Portfolio	0.00%
Elements International Small Cap Portfolio	0.00%
Elements Emerging Markets Portfolio	0.00%

The percentage of taxable ordinary income distributions that are designated as interest related dividends under Internal Revenue Section 871(k)(1)(C) for each Portfolio was as follows:

Elements U.S. Portfolio	3.74%
Elements U.S. Small Cap Portfolio	6.92%
Elements International Portfolio	2.77%
Elements International Small Cap Portfolio	4.52%
Elements Emerging Markets Portfolio	2.58%

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 5/31/2019
Elements International Portfolio		6,572,711		610,784		0.3700375791		0.034386557		17,762,280
Elements International Small Cap Portfolio		4,038,959		390,656		0.2164823668		0.020938620		18,657,218
Elements Emerging Markets Portfolio		7,975,466		1,022,617		0.3046339059		0.039060275		26,180,495

3. Availability of Quarterly Portfolio Holdings Schedules

The 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 Part F of Form N-PORT, which is available without charge on the SEC’s website, www.sec.gov or upon request by calling 1.855.609.3680.

4. Proxy Voting Policies and Procedures and Proxy Voting Record

A description of the policies and procedures that the Portfolios use to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling 1.855.609.3680 and on the SEC’s website www.sec.gov. The 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, 2020

97

Investment Adviser

Stone Ridge Asset Management LLC

510 Madison Avenue, 21st Floor

New York, NY 10022

Independent Registered Public Accounting Firm

Ernst & Young LLP

220 South 6th Street

Minneapolis, MN 55402

Legal Counsel

Ropes & Gray LLP

Prudential Tower

800 Boylston Street

Boston, MA 02199

Custodians

U.S. Bank, N.A.

1555 North RiverCenter Drive, Suite 302

Milwaukee, WI 53212

Brown Brothers Harriman & Co.

50 Post Office Square

Boston, MA 02110

Distributor

ALPS Distributors, Inc.

1290 Broadway Suite 1000

Denver, CO 80203

Administrator, Transfer Agent and Dividend Disbursing Agent

U.S. Bancorp Fund Services, LLC

doing business as U.S. Bank Global Fund Services

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 5/31/2020		FYE 5/31/2019
Audit Fees	$	196,750	$	196,750
Audit-Related Fees		—		—
Tax Fees		98,000		96,250
All Other Fees		—		—

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 “Investment Adviser”) or to various entities either controlling, controlled by, or under common control with the Investment 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.

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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 5/31/2020			FYE 5/31/2019
Audit-Related Fees		0	%		0	%
Tax Fees		0	%		0	%
All Other Fees		0	%		0	%

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 5/31/2020		FYE 5/31/2019
Registrant	$	98,000	$	96,250
Registrant’s Investment Adviser	$	235,114	$	227,113

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.

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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 President and Treasurer 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 providers.

(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 period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

Not applicable to open-end investment companies.

Item 13. 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 to open-end investment companies.

(4) Change in the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the period covered by this report.

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

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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	8/6/2020

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	8/6/2020
By (Signature and Title)	/s/ Anthony Zuco
	Anthony Zuco, Treasurer, Principal Financial Officer, Chief Financial Officer and Chief Accounting Officer
Date	8/6/2020

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