WCM Alternatives: Event-Driven Fund | ||||||||||||
SCHEDULE OF INVESTMENTS | ||||||||||||
September 30, 2019 (Unaudited) | ||||||||||||
Shares | Value | |||||||||||
LONG INVESTMENTS - 102.06% | ||||||||||||
COMMON STOCKS - 47.31% | ||||||||||||
AEROSPACE & DEFENSE - 2.10% | ||||||||||||
United Technologies Corporation (k) | 30,500 | $ | 4,163,860 | |||||||||
ALTERNATIVE CARRIERS - 0.09% | ||||||||||||
Zayo Group Holdings, Inc. (a) | 5,520 | 187,128 | ||||||||||
ASSET MANAGEMENT & CUSTODY BANKS - 3.97% | ||||||||||||
Apollo Global Management, Inc. (k) | 72,403 | 2,738,281 | ||||||||||
Brookfield Asset Management, Inc. Class A (b)(e) | 96,484 | 5,122,335 | ||||||||||
7,860,616 | ||||||||||||
BIOTECHNOLOGY - 5.12% | ||||||||||||
Alder Biopharmaceuticals, Inc. (a) | 63,174 | 1,191,462 | ||||||||||
Celgene Corporation (a)(e) | 90,123 | 8,949,214 | ||||||||||
10,140,676 | ||||||||||||
BROADCASTING - 0.94% | ||||||||||||
Fox Corporation Class A | 58,683 | 1,850,568 | ||||||||||
BUILDING PRODUCTS - 1.04% | ||||||||||||
Masco Corporation (e)(k) | 49,300 | 2,054,824 | ||||||||||
CASINOS & GAMING - 3.61% | ||||||||||||
Caesars Entertainment Corporation (a)(e) | 442,038 | 5,154,163 | ||||||||||
MGM Resorts International (k) | 71,900 | 1,993,068 | ||||||||||
7,147,231 | ||||||||||||
COMMODITY CHEMICALS - 0.64% | ||||||||||||
Dow, Inc. (e)(k) | 26,551 | 1,265,155 | ||||||||||
CONSTRUCTION MACHINERY & HEAVY TRUCKS - 1.45% | ||||||||||||
WABCO Holdings, Inc. (e) | 21,444 | 2,868,135 | ||||||||||
ENVIRONMENTAL & FACILITIES SERVICES - 0.78% | ||||||||||||
Advanced Disposal Services, Inc. (a) | 47,308 | 1,540,822 | ||||||||||
FERTILIZERS & AGRICULTURAL CHEMICALS - 0.38% | ||||||||||||
Corteva, Inc. (e)(k) | 26,551 | 743,428 | ||||||||||
HEALTH CARE TECHNOLOGY - 0.40% | ||||||||||||
Medidata Solutions, Inc. (a) | 8,730 | 798,795 | ||||||||||
HOTELS, RESORTS & CRUISE LINES - 1.53% | ||||||||||||
Hilton Grand Vacations, Inc. (a)(e)(k) | 94,748 | 3,031,936 | ||||||||||
INDUSTRIAL MACHINERY - 1.60% | ||||||||||||
Milacron Holdings Corporation (a)(e) | 189,336 | 3,156,231 | ||||||||||
INTEGRATED OIL & GAS - 0.02% | ||||||||||||
Occidental Petroleum Corporation (k) | 929 | 41,313 | ||||||||||
INTERACTIVE MEDIA & SERVICES - 1.93% | ||||||||||||
IAC / InterActiveCorp (a)(e)(k) | 17,487 | 3,811,641 | ||||||||||
INTERNET & DIRECT MARKETING RETAIL - 0.00% | ||||||||||||
Reebonz Holdings Ltd. (a)(b) | 597 | 609 | ||||||||||
LIFE & HEALTH INSURANCE - 0.03% | ||||||||||||
Genworth Financial, Inc. Class A (a) | 15,670 | 68,948 | ||||||||||
MANAGED HEALTH CARE - 1.89% | ||||||||||||
WellCare Health Plans, Inc. (a)(e) | 14,400 | 3,732,048 | ||||||||||
MOVIES & ENTERTAINMENT - 3.10% | ||||||||||||
The Madison Square Garden Company Class A (a)(k) | 14,400 | 3,794,688 | ||||||||||
Viacom, Inc. Class B (e) | 97,337 | 2,339,008 | ||||||||||
6,133,696 | ||||||||||||
OIL & GAS EXPLORATION & PRODUCTION - 0.04% | ||||||||||||
EnCana Corporation (b) | 17,005 | 78,223 | ||||||||||
OIL & GAS STORAGE & TRANSPORTATION - 1.85% | ||||||||||||
Buckeye Partners LP (e) | 60,498 | 2,485,863 | ||||||||||
Columbia Pipeline Group, Inc. (a)(d)(g)(i) | 38,718 | 1,169,283 | ||||||||||
3,655,146 | ||||||||||||
PHARMACEUTICALS - 4.36% | ||||||||||||
Allergan plc (b)(e) | 51,207 | 8,617,626 | ||||||||||
RAILROADS - 0.83% | ||||||||||||
Genesee & Wyoming, Inc. Class A (a)(e) | 14,935 | 1,650,467 | ||||||||||
REGIONAL BANKS - 4.02% | ||||||||||||
SunTrust Banks, Inc. (e) | 115,750 | 7,963,600 | ||||||||||
SEMICONDUCTOR EQUIPMENT - 0.96% | ||||||||||||
Versum Materials, Inc. (e) | 35,980 | 1,904,421 | ||||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.56% | ||||||||||||
Cypress Semiconductor Corporation | 47,640 | 1,111,918 | ||||||||||
SPECIALTY CHEMICALS - 3.07% | ||||||||||||
Axalta Coating Systems Ltd. (a)(b)(k) | 138,455 | 4,174,418 | ||||||||||
DuPont de Nemours, Inc. (e)(k) | 26,553 | 1,893,495 | ||||||||||
6,067,913 | ||||||||||||
SPECIALTY RETAIL - 0.01% | ||||||||||||
Kaixin Auto Holdings (a)(b) | 9,742 | 17,634 | ||||||||||
WIRELESS TELECOMMUNICATION SERVICES - 0.99% | ||||||||||||
Sprint Corporation (a)(e) | 316,180 | 1,950,831 | ||||||||||
TOTAL COMMON STOCKS (Cost $95,593,762) | 93,615,439 | |||||||||||
SPECIAL PURPOSE ACQUISITION COMPANIES - 12.59% (a) | ||||||||||||
Act II Global Acquisition Corporation Class A (b) | 90,858 | 894,951 | ||||||||||
Akazoo SA (b) | 7,150 | 45,260 | ||||||||||
Alberton Acquisition Corporation (b) | 242,664 | 2,487,306 | ||||||||||
Apex Technology Acquisition Corporation | 58,965 | 600,853 | ||||||||||
Big Rock Partners Acquisition Corporation | 45,950 | 486,151 | ||||||||||
CF Finance Acquisition Corporation Class A (f) | 108,500 | 1,098,563 | ||||||||||
ChaSerg Technology Acquisition Corporation Class A (f) | 22,830 | 231,040 | ||||||||||
Collier Creek Holdings Class A (b) | 42,300 | 431,037 | ||||||||||
FinTech Acquisition Corporation III Class A | 168,874 | 1,700,561 | ||||||||||
GigCapital, Inc. (f) | 122,996 | 1,282,233 | ||||||||||
GigCapital2, Inc. | 37,777 | 389,103 | ||||||||||
Gordon Pointe Acquisition Corporation | 4,482 | 46,927 | ||||||||||
Graf Industrial Corporation (e)(f) | 197,624 | 1,985,133 | ||||||||||
Hennessy Capital Acquisition Corporation IV Class A (f) | 167,612 | 1,684,501 | ||||||||||
Legacy Acquisition Corporation Class A | 144,392 | 1,472,798 | ||||||||||
Monocle Acquisition Corporation (f) | 15,759 | 157,590 | ||||||||||
Mudrick Capital Acquisition Corporation Class A (f) | 19,411 | 198,866 | ||||||||||
Pivotal Investment Corporation II | 97,373 | 991,257 | ||||||||||
Pure Acquisition Corporation | 57,469 | 589,057 | ||||||||||
Regalwood Global Energy Ltd. Class A (b) | 97,770 | 1,008,986 | ||||||||||
Trident Acquisitions Corporation (f) | 187,445 | 1,949,428 | ||||||||||
Trinity Merger Corporation Class A | 171,957 | 1,795,231 | ||||||||||
Tuscan Holdings Corporation (e) | 168,926 | 1,655,475 | ||||||||||
Tuscan Holdings Corporation II | 146,060 | 1,467,903 | ||||||||||
VectoIQ Acquisition Corporation (f) | 25,000 | 255,500 | ||||||||||
TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES (Cost $23,685,157) | 24,905,710 | |||||||||||
CLOSED-END FUNDS - 3.78% | ||||||||||||
Altaba, Inc. | 89,173 | 1,737,090 | ||||||||||
Apollo Senior Floating Rate Fund, Inc. | 22,543 | 334,313 | ||||||||||
Apollo Tactical Income Fund, Inc. | 21,782 | 329,997 | ||||||||||
Ares Dynamic Credit Allocation Fund | 4,683 | 69,777 | ||||||||||
BlackRock Debt Strategies Fund, Inc. (a)(e) | 71,056 | 763,852 | ||||||||||
BlackRock Floating Rate Income Strategies Fund, Inc. (a) | 19,222 | 242,582 | ||||||||||
Eaton Vance Floating-Rate Income Trust | 57,056 | 754,280 | ||||||||||
First Trust Senior Floating Rate Income Fund II | 22,317 | 267,804 | ||||||||||
Invesco Dynamic Credit Opportunities Fund | 53,124 | 584,895 | ||||||||||
Invesco Senior Income Trust | 173,546 | 728,893 | ||||||||||
Nuveen Credit Strategies Income Fund | 1,574 | 11,774 | ||||||||||
Voya Prime Rate Trust | 147,638 | 695,375 | ||||||||||
Western Asset High Income Opportunity Fund, Inc. (e) | 191,266 | 965,893 | ||||||||||
TOTAL CLOSED-END FUNDS (Cost $7,566,315) | 7,486,525 | |||||||||||
PREFERRED STOCKS - 3.73% | ||||||||||||
Colony Capital, Inc., 8.750%, Series E (e) | 56,929 | 1,439,735 | ||||||||||
Fannie Mae, 8.250%, Series S (a)(e) | 281,114 | 3,752,872 | ||||||||||
Freddie Mac, 8.375%, Series Z (a) | 160,436 | 2,100,107 | ||||||||||
Pebblebrook Hotel Trust, 6.375%, Series E | 3,515 | 88,402 | ||||||||||
TOTAL PREFERRED STOCKS (Cost $6,853,970) | 7,381,116 | |||||||||||
CONTINGENT VALUE RIGHTS - 0.00% (a)(e)(g) | ||||||||||||
Media General, Inc. | 42,852 | 2,143 | ||||||||||
TOTAL CONTINGENT VALUE RIGHTS (Cost $0) | 2,143 | |||||||||||
WARRANTS - 0.34% (a) | ||||||||||||
Act II Global Acquisition Corporation Class A | ||||||||||||
Expiration: April 2024, Exercise Price: $11.50 (b) | 45,429 | 42,249 | ||||||||||
Akazoo SA | ||||||||||||
Expiration: December 2024, Exercise Price: $11.50 (b) | 35,748 | 27,526 | ||||||||||
CF Finance Acquisition Corporation Class A | ||||||||||||
Expiration: April 2025, Exercise Price: $11.50 | 81,375 | 52,894 | ||||||||||
ChaSerg Technology Acquisition Corporation Class A | ||||||||||||
Expiration: September 2023, Exercise Price: $11.50 (f) | 11,415 | 11,415 | ||||||||||
Collier Creek Holdings Class A | ||||||||||||
Expiration: November 2023, Exercise Price: $11.50 (b)(f) | 14,100 | 19,740 | ||||||||||
FinTech Acquisition Corporation III Class A | ||||||||||||
Expiration: December 2023, Exercise Price: $11.50 | 84,437 | 103,013 | ||||||||||
Graf Industrial Corporation | ||||||||||||
Expiration: December 2025, Exercise Price: $11.50 | 197,624 | 77,073 | ||||||||||
Hennessy Capital Acquisition Corporation IV Class A | ||||||||||||
Expiration: September 2025, Exercise Price: $11.50 (f) | 125,709 | 98,053 | ||||||||||
Kaixin Auto Holdings | ||||||||||||
Expiration: April 2024, Exercise Price: $11.50 (b)(f) | 48,712 | 2,277 | ||||||||||
Legacy Acquisition Corporation Class A | ||||||||||||
Expiration: November 2022, Exercise Price: $11.50 | 144,392 | 50,537 | ||||||||||
Monocle Acquisition Corporation | ||||||||||||
Expiration: June 2024, Exercise Price: $11.50 (f) | 15,759 | 7,249 | ||||||||||
Mudrick Capital Acquisition Corporation Class A | ||||||||||||
Expiration: March 2025, Exercise Price: $11.50 (f) | 19,411 | 12,132 | ||||||||||
Pivotal Acquisition Corporation Class A | ||||||||||||
Expiration: December 2025, Exercise Price: $11.50 (f) | 10,000 | 13,100 | ||||||||||
Pure Acquisition Corporation | ||||||||||||
Expiration: April 2023, Exercise Price: $11.50 | 22,218 | 23,329 | ||||||||||
Reebonz Holdings Ltd. | ||||||||||||
Expiration: December 2023, Exercise Price: $11.50 (b)(f) | 23,859 | 167 | ||||||||||
Tuscan Holdings Corporation | ||||||||||||
Expiration: April 2026, Exercise Price: $11.50 (e) | 168,926 | 128,384 | ||||||||||
TOTAL WARRANTS (Cost $573,019) | 669,138 | |||||||||||
Principal Amount | ||||||||||||
BANK LOANS - 3.19% (f)(j) | ||||||||||||
Avaya Holdings Corporation | ||||||||||||
6.278% (1 Month U.S. LIBOR + 4.250%), 12/15/2024 | $ | 596,557 | 568,220 | |||||||||
6.430% (2 Month U.S. LIBOR + 4.250%), 12/15/2024 | 355,883 | 338,979 | ||||||||||
Cengage Learning Holdings II, Inc. | ||||||||||||
6.384% (1 Month U.S. LIBOR + 4.250%), 6/7/2023 | 1,364,946 | 1,294,993 | ||||||||||
McGraw-Hill Global Education Holdings LLC | ||||||||||||
6.139% (1 Month U.S. LIBOR + 4.000%), 5/4/2022 | 1,362,897 | 1,277,715 | ||||||||||
Refinitiv US Holdings, Inc. | ||||||||||||
5.849% (1 Month U.S. LIBOR + 3.750%), 10/1/2025 | 2,806,431 | 2,823,971 | ||||||||||
TOTAL BANK LOANS (Cost $6,448,429) | 6,303,878 | |||||||||||
CONVERTIBLE BONDS - 1.25% (f) | ||||||||||||
Caesars Entertainment Corporation | ||||||||||||
5.000%, 10/1/2024 | 251,397 | 427,574 | ||||||||||
NII Holdings, Inc. | ||||||||||||
4.250%, 8/15/2023 (h) | 1,960,000 | 2,044,809 | ||||||||||
TOTAL CONVERTIBLE BONDS (Cost $2,190,540) | 2,472,383 | |||||||||||
CORPORATE BONDS - 11.80% (f) | ||||||||||||
APX Group, Inc. | ||||||||||||
7.875%, 12/1/2022 | 2,416,000 | 2,422,040 | ||||||||||
Arconic, Inc. | ||||||||||||
5.400%, 4/15/2021 | 795,000 | 822,733 | ||||||||||
CEC Entertainment, Inc. | ||||||||||||
8.000%, 2/15/2022 | 3,440,000 | 3,276,600 | ||||||||||
EIG Investors Corporation | ||||||||||||
10.875%, 2/1/2024 (e) | 2,068,000 | 2,161,060 | ||||||||||
Inmarsat Finance plc | ||||||||||||
6.500%, 10/1/2024 (b)(e)(h) | 1,379,000 | 1,451,397 | ||||||||||
Kinetic Concepts, Inc. / KCI USA, Inc. | ||||||||||||
12.500%, 11/1/2021 (h) | 3,286,000 | 3,499,590 | ||||||||||
MEG Energy Corporation | ||||||||||||
6.500%, 1/15/2025 (b)(h) | 1,246,000 | 1,275,593 | ||||||||||
Nielsen Finance LLC / Nielsen Finance Company | ||||||||||||
5.000%, 4/15/2022 (e)(h) | 4,022,000 | 4,053,372 | ||||||||||
Sinclair Television Group, Inc. | ||||||||||||
6.125%, 10/1/2022 (e) | 1,600,000 | 1,634,928 | ||||||||||
T-Mobile USA, Inc. | ||||||||||||
6.500%, 1/15/2024 | 217,000 | 225,639 | ||||||||||
Univar USA, Inc. | ||||||||||||
6.750%, 7/15/2023 (h) | 1,435,000 | 1,465,494 | ||||||||||
Vistra Energy Corporation | ||||||||||||
5.875%, 6/1/2023 | 601,000 | 616,175 | ||||||||||
Zayo Group LLC / Zayo Capital, Inc. | ||||||||||||
5.750%, 1/15/2027 (h) | 440,000 | 450,912 | ||||||||||
TOTAL CORPORATE BONDS (Cost $23,640,002) | 23,355,533 | |||||||||||
Contracts (100 shares per contract) | Notional Amount | |||||||||||
PURCHASED PUT OPTIONS - 0.29% (a) | ||||||||||||
Alder Biopharmaceuticals, Inc. | ||||||||||||
Expiration: January 2020, Exercise Price: $17.50 | 632 | $ | 1,191,952 | 9,480 | ||||||||
Apollo Global Management, Inc. | ||||||||||||
Expiration: October 2019, Exercise Price: $37.00 | 410 | 1,550,620 | 28,700 | |||||||||
Axalta Coating Systems Ltd. | ||||||||||||
Expiration: October 2019, Exercise Price: $25.00 | 330 | 994,950 | 1,650 | |||||||||
Expiration: October 2019, Exercise Price: $26.00 | 745 | 2,246,175 | 5,587 | |||||||||
Bayer AG | ||||||||||||
Expiration: October 2019, Exercise Price: EUR 54.00 (b)(f) | 755 | 4,884,095 | 3,292 | |||||||||
The Blackstone Group LP | ||||||||||||
Expiration: December 2019, Exercise Price: $48.00 | 488 | 2,383,392 | 119,560 | |||||||||
CBS Corporation Class B | ||||||||||||
Expiration: October 2019, Exercise Price: $37.50 | 307 | 1,239,359 | 7,368 | |||||||||
Expiration: December 2019, Exercise Price: $32.50 | 717 | 2,894,529 | 22,227 | |||||||||
Expiration: December 2019, Exercise Price: $35.00 | 5 | 20,185 | 320 | |||||||||
Expiration: December 2019, Exercise Price: $40.00 | 203 | 819,511 | 40,600 | |||||||||
Centene Corporation | ||||||||||||
Expiration: December 2019, Exercise Price: $40.00 | 55 | 237,930 | 8,525 | |||||||||
Corteva, Inc. | ||||||||||||
Expiration: December 2019, Exercise Price: $24.00 | 145 | 406,000 | 7,250 | |||||||||
Dow, Inc. | ||||||||||||
Expiration: October 2019, Exercise Price: $40.00 | 288 | 1,372,320 | 2,880 | |||||||||
DuPont de Nemours, Inc. | ||||||||||||
Expiration: December 2019, Exercise Price: $60.00 | 288 | 2,053,728 | 24,768 | |||||||||
FTSE 100 Index | ||||||||||||
Expiration: October 2019, Exercise Price: GBP 7,200.00 (b)(f)(m) | 2 | 182,258 | 566 | |||||||||
Hilton Grand Vacations, Inc. | ||||||||||||
Expiration: October 2019, Exercise Price: $31.00 | 342 | 1,094,400 | 27,360 | |||||||||
Expiration: November 2019, Exercise Price: $30.00 | 90 | 288,000 | 9,810 | |||||||||
Expiration: December 2019, Exercise Price: $30.00 | 389 | 1,244,800 | 54,460 | |||||||||
IAC / InterActiveCorp | ||||||||||||
Expiration: October 2019, Exercise Price: $195.00 | 18 | 392,346 | 1,665 | |||||||||
Expiration: October 2019, Exercise Price: $200.00 | 58 | 1,264,226 | 8,410 | |||||||||
Expiration: October 2019, Exercise Price: $210.00 | 91 | 1,983,527 | 29,120 | |||||||||
The Madison Square Garden Company Class A | ||||||||||||
Expiration: November 2019, Exercise Price: $220.00 | 110 | 2,898,720 | 4,675 | |||||||||
Expiration: November 2019, Exercise Price: $240.00 | 34 | 895,968 | 6,205 | |||||||||
Masco Corporation | ||||||||||||
Expiration: October 2019, Exercise Price: $31.00 | 372 | 1,550,496 | 930 | |||||||||
Expiration: October 2019, Exercise Price: $34.00 | 718 | 2,992,624 | 3,590 | |||||||||
Expiration: October 2019, Exercise Price: $35.00 | 361 | 1,504,648 | 1,805 | |||||||||
MGM Resorts International | ||||||||||||
Expiration: December 2019, Exercise Price: $23.00 | 719 | 1,993,068 | 24,086 | |||||||||
Mylan NV | ||||||||||||
Expiration: October 2019, Exercise Price: $15.00 | 896 | 1,772,288 | 4,928 | |||||||||
Expiration: October 2019, Exercise Price: $17.50 | 1,109 | 2,193,602 | 22,180 | |||||||||
SPDR S&P 500 ETF Trust | ||||||||||||
Expiration: October 2019, Exercise Price: $293.00 | 40 | 1,187,080 | 9,080 | |||||||||
Expiration: October 2019, Exercise Price: $300.00 | 71 | 2,107,067 | 31,950 | |||||||||
United Technologies Corporation | ||||||||||||
Expiration: October 2019, Exercise Price: $105.00 | 153 | 2,088,756 | 1,224 | |||||||||
Expiration: October 2019, Exercise Price: $110.00 | 152 | 2,075,104 | 1,216 | |||||||||
Expiration: November 2019, Exercise Price: $125.00 | 247 | 3,372,044 | 37,544 | |||||||||
VanEck Vectors Semiconductor ETF | ||||||||||||
Expiration: November 2019, Exercise Price: $107.00 | 64 | 762,432 | 7,744 | |||||||||
Expiration: November 2019, Exercise Price: $115.00 | 38 | 452,694 | 11,058 | |||||||||
TOTAL PURCHASED PUT OPTIONS (Cost $847,228) | 581,813 | |||||||||||
Principal Amount | ||||||||||||
ESCROW NOTES - 0.01% (a)(d)(g) | ||||||||||||
AMR Corporation | $ | 28,850 | 6,636 | |||||||||
Winthrop Realty Trust (e) | 26,484 | 15,890 | ||||||||||
TOTAL ESCROW NOTES (Cost $75,779) | 22,526 | |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS - 17.77% | ||||||||||||
MONEY MARKET FUNDS - 7.24% (c) | ||||||||||||
The Government & Agency Portfolio, Institutional Share Class, 1.81% | 4,635,149 | 4,635,149 | ||||||||||
JPMorgan U.S. Government Money Market Fund, Institutional Share Class, 1.83% | 9,692,000 | 9,692,000 | ||||||||||
14,327,149 | ||||||||||||
Principal Amount | ||||||||||||
U.S. TREASURY BILLS - 10.53% (e)(f)(l) | ||||||||||||
United States Treasury Bills | ||||||||||||
2.35%, 10/24/2019 | $ | 315,000 | 314,641 | |||||||||
2.33%, 11/7/2019 | 15,000 | 14,974 | ||||||||||
2.29%, 11/21/2019 | 3,760,000 | 3,750,452 | ||||||||||
2.23%, 11/29/2019 | 820,000 | 817,584 | ||||||||||
2.09%, 12/5/2019 | 1,345,000 | 1,340,686 | ||||||||||
2.10%, 12/12/2019 | 275,000 | 274,023 | ||||||||||
1.95%, 12/19/2019 | 1,710,000 | 1,703,504 | ||||||||||
2.00%, 1/23/2020 | 1,280,000 | 1,272,747 | ||||||||||
1.91%, 1/30/2020 | 990,000 | 984,091 | ||||||||||
1.86%, 2/6/2020 | 1,265,000 | 1,256,964 | ||||||||||
1.78%, 2/13/2020 | 1,355,000 | 1,345,994 | ||||||||||
1.80%, 2/20/2020 | 940,000 | 933,382 | ||||||||||
1.78%, 2/27/2020 | 3,085,000 | 3,062,302 | ||||||||||
1.78%, 3/12/2020 | 1,490,000 | 1,477,951 | ||||||||||
1.82%, 3/19/2020 | 1,244,000 | 1,233,513 | ||||||||||
1.73%, 3/26/2020 | 1,060,000 | 1,050,775 | ||||||||||
20,833,583 | ||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $35,154,985) | 35,160,732 | |||||||||||
TOTAL LONG INVESTMENTS (Cost $202,629,186) - 102.06% | 201,956,936 | |||||||||||
Shares | ||||||||||||
SHORT INVESTMENTS - (14.71)% | ||||||||||||
COMMON STOCKS - (14.21)% | ||||||||||||
AIRLINES - (0.00)% | ||||||||||||
American Airlines Group, Inc. | (194 | ) | (5,232 | ) | ||||||||
ASSET MANAGEMENT & CUSTODY BANKS - (2.42)% | ||||||||||||
Brookfield Asset Management, Inc. Class A (b) | (90,303 | ) | (4,794,186 | ) | ||||||||
BROADCASTING - (0.28)% | ||||||||||||
CBS Corporation Class B | (6,886 | ) | (277,988 | ) | ||||||||
Discovery, Inc. Class A | (10,767 | ) | (286,725 | ) | ||||||||
(564,713 | ) | |||||||||||
CABLE & SATELLITE - (0.37)% | ||||||||||||
Sirius XM Holdings, Inc. | (117,749 | ) | (736,520 | ) | ||||||||
CASINOS & GAMING - (0.88)% | ||||||||||||
Eldorado Resorts, Inc. | (43,633 | ) | (1,739,648 | ) | ||||||||
INDUSTRIAL MACHINERY - (0.48)% | ||||||||||||
Hillenbrand, Inc. | (30,561 | ) | (943,724 | ) | ||||||||
INTERNET & DIRECT MARKETING RETAIL - (0.07)% | ||||||||||||
Alibaba Group Holding Ltd. - ADR | (796 | ) | (133,115 | ) | ||||||||
MANAGED HEALTH CARE - (0.94)% | ||||||||||||
Centene Corporation | (43,167 | ) | (1,867,404 | ) | ||||||||
PHARMACEUTICALS - (4.01)% | ||||||||||||
AbbVie, Inc. | (44,355 | ) | (3,358,561 | ) | ||||||||
Bristol-Myers Squibb Company | (90,123 | ) | (4,570,137 | ) | ||||||||
(7,928,698 | ) | |||||||||||
REGIONAL BANKS - (4.05)% | ||||||||||||
BB&T Corporation | (150,073 | ) | (8,009,396 | ) | ||||||||
REITs - (0.25)% | ||||||||||||
Brookfield Property Partners LP (b) | (24,527 | ) | (497,898 | ) | ||||||||
WIRELESS TELECOMMUNICATION SERVICES - (0.46)% | ||||||||||||
T-Mobile USA, Inc. | (11,477 | ) | (904,043 | ) | ||||||||
TOTAL COMMON STOCKS | ||||||||||||
(Proceeds $26,819,475) | (28,124,577 | ) | ||||||||||
Principal Amount | ||||||||||||
CORPORATE BONDS - (0.45)% (f) | ||||||||||||
APX Group, Inc. | ||||||||||||
7.625%, 9/1/2023 | $ | (991,000 | ) | (886,945 | ) | |||||||
TOTAL CORPORATE BONDS | ||||||||||||
(Proceeds $893,386) | (886,945 | ) | ||||||||||
Shares | ||||||||||||
PRIVATE PLACEMENTS - (0.05)% (g) | ||||||||||||
Celgene Corporation | (44,896 | ) | (89,231 | ) | ||||||||
TOTAL PRIVATE PLACEMENTS | ||||||||||||
(Proceeds $93,995) | (89,231 | ) | ||||||||||
TOTAL SHORT INVESTMENTS | ||||||||||||
(Proceeds $27,806,856) - (14.71)% | (29,100,753 | ) | ||||||||||
TOTAL NET INVESTMENTS | ||||||||||||
(Cost $174,822,330) - 87.35% | 172,856,183 | |||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 12.65% | 25,024,792 | |||||||||||
TOTAL NET ASSETS - 100.00% | $ | 197,880,975 |
ADR | - American Depository Receipt | ||||||
ETF | - Exchange-Traded Fund | ||||||
EUR | - Euro | ||||||
GBP | - British Pound | ||||||
LIBOR | - London Interbank Offered Rate | ||||||
plc | - Public Limited Company | ||||||
REITs | - Real Estate Investment Trusts | ||||||
(a) | Non-income producing security. | ||||||
(b) | Foreign security. | ||||||
(c) | The rate quoted is the annualized seven-day yield as of September 30, 2019. | ||||||
(d) | Security fair valued by the Valuation Group in good faith in accordance with the policies adopted by the Board of Trustees. | ||||||
(e) | All or a portion of the shares have been committed as collateral for open securities sold short, written option contracts, swap contracts, and forward currency exchange contracts. | ||||||
(f) | Level 2 Security. Please see footnote (o) on the Schedule of Investments for more information. | ||||||
(g) | Level 3 Security. Please see footnote (o) on the Schedule of Investments for more information. | ||||||
(h) | 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. As of September 30, 2019, these securities represent 7.20% of total net assets. | ||||||
(i) | Restricted security. The Fund may own investment securities that have other legal or contractual limitations, and thus are restricted as to resale. These securities are valued by the Valuation Group under the supervision of the Board of Trustees. As of September 30, 2019, this common stock had a cost of $983,662 and its market value represented 0.59% of total net assets. The Fund’s adviser perfected its appraisal rights over this security as of 6/20/2016. Please see footnote (o) on the Schedule of Investments for more information. | ||||||
(j) | The coupon rate shown on variable rate securities represents the rate as of September 30, 2019. | ||||||
(k) | This security is held in connection with a written option contract. | ||||||
(l) | The rate shown represents yield to maturity. | ||||||
(m) | This security has 10 shares per contract. | ||||||
(n) | As of September 30, 2019, the components of accumulated earnings (losses) for income tax purposes were as follows*: |
Total Portfolio | |||
Tax Cost (1) | $ | 171,088,857 | |
Gross unrealized appreciation(2) | 10,114,080 | ||
Gross unrealized depreciation(2) | (11,017,226 | ) | |
Net unrealized depreciation | $ | (903,146 | ) |
(1) Tax cost represents tax on investments, net of premiums on written options. | ||||||
(2) Includes investments, open written options, forward currency contacts and open swap contracts appreciation and/or depreciation. | ||||||
*Because tax adjustments are calculated annually at the end of the Fund’s fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Fund’s most recent annual report. |
(o) | Investment Valuation | ||||||
Equity securities, including common and preferred stocks, closed-end funds and ETFs, that trade on an exchange will typically be valued based on the last reported sale price. Securities listed on NASDAQ are typically valued using the NASDAQ Official Closing Price. The securities valued using quoted prices in active markets are classified as Level 1 investments. If, on a particular day, an exchange-listed security does not trade, then the mean between the closing bid and asked prices will typically be used to value the security. These securities are classified as Level 2 investments. Fixed income securities having a maturity of greater than 60 days are typically valued based on evaluations provided by an independent pricing vendor. Investments in United States government securities (other than short-term securities) are valued at the mean between the 4:00 p.m. New York time bid and asked prices supplied by a third party vendor. Short-term fixed-income securities having a maturity of less than 60 days are valued at market quotations or based on valuations supplied by a third party pricing service. If a reliable price from a third party pricing service is unavailable, amortized cost may be used if it is determined that the instrument’s amortized cost value represents approximately the fair value of the security. These securities are classified as Level 2 investments. | |||||||
Investments in Special Purpose Acquisition Companies, including their related units, shares, rights and warrants (each a “SPAC interest”), will typically be valued by reference to the last reported transaction for the composite exchange. These securities are classified as Level 1 investments. If, on a particular day, no reliable market transaction is readily available and reported for the composite exchange, then the mean between the closing bid and asked prices on the composite exchange will be used to value the SPAC interest, or the SPAC interest will be fair valued in accordance with the Fund’s pricing procedures. These securities are classified as Level 2 investments. |
Exchange-traded options are typically valued at the higher of the intrinsic value of the option (i.e., what a Fund would pay or can receive upon the option being exercised) or the last reported composite sale price when such sale falls between the bid and asked prices. Notwithstanding the above, options that trade principally on a European exchange are typically valued at the “settlement price” as reported by the exchange on which the option principally trades. If the settlement price for a European exchange-traded option is unreliable or unavailable, the option will generally be valued at the last reported sale price. When the last sale of an exchange-traded option is outside the bid and asked prices, the Fund will typically value the option at the higher of the intrinsic value of the option or the mean between the highest end of day option bid price and the lowest end of day option ask price. On the stipulated expiration date, expiring options will be priced at intrinsic value. Options for which there is an active market are classified as Level 1 investments, but options not listed on an exchange and/or are fair valued in accordance with the Fund’s pricing procedures are classified as Level 2 investments. | |||||||
Investments in registered open-end investment companies, including Money Market Funds, are typically valued at their reported net asset value (“NAV”) per share. These securities are generally classified as Level 1 investments. | |||||||
Forward currency contracts are valued daily at the prevailing forward exchange rate. These securities are generally classified as Level 2. | |||||||
In general, swap prices are determined using the same methods as would be used to price the underlying security. When the underlying security is the subject of a completed corporate reorganization for which the final deal terms are known, the swap is priced at the value of the consideration to be received by the Fund. The credit quality of counterparties and collateral is monitored and the valuation of a swap may be adjusted if it is believed that the credit quality of the counterparty or collateral affects the market value of the swap position. These securities are generally classified as Level 2 investments. | |||||||
The Fund typically fair values securities and assets for which (a) market quotations are not readily available or (b) market quotations are believed to be unrepresentative of market value. For example, the Fund may fair value a security that primarily trades on an exchange that closes before the New York Stock Exchange (“NYSE”) if a significant event occurs after the close of the exchange on which the security primarily trades but before the NYSE closes. Fair valuations are determined in good faith by the Valuation Group (the “Valuation Group”), a committee comprised of persons who are officers of the Trust or representatives of the Adviser, acting pursuant to procedures adopted by the Board. When fair value pricing is employed, the prices of securities used by the Fund to calculate its NAV may differ from quoted or published prices for the same securities. In addition, due to the subjective nature of fair value pricing, it is possible that the value determined for a particular asset may be materially different from the value realized upon such asset’s sale. These securities are generally classified as Level 2 or depending on the inputs as described below. | |||||||
The Fund has performed an analysis of all existing investments to determine the significance and character of all inputs to their fair value determination. Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below: | |||||||
Level 1 — Quoted prices in active markets for identical securities. | |||||||
Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). | |||||||
Level 3 — Significant unobservable inputs are those inputs that reflect the applicable Fund’s own assumptions that market participants would use to price the asset or liability based on the best available information. | |||||||
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities. | |||||||
The following tables provide the fair value measurements of applicable Fund assets and liabilities by level within the fair value hierarchy for the Fund as of September 30, 2019. These assets and liabilities are measured on a recurring basis. |
Investments at Fair Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets | ||||||||||||||||
Common Stocks* | $ | 92,446,156 | $ | - | $ | 1,169,283 | $ | 93,615,439 | ||||||||
Special Purpose Acquisition Companies | 16,062,856 | 8,842,854 | - | 24,905,710 | ||||||||||||
Closed-End Funds | 7,486,525 | - | - | 7,486,525 | ||||||||||||
Preferred Stocks | 7,381,116 | - | - | 7,381,116 | ||||||||||||
Contingent Value Rights | - | - | 2,143 | 2,143 | ||||||||||||
Warrants | 505,005 | 164,133 | - | 669,138 | ||||||||||||
Bank Loans | - | 6,303,878 | - | 6,303,878 | ||||||||||||
Convertible Bonds | - | 2,472,383 | - | 2,472,383 | ||||||||||||
Corporate Bonds | - | 23,355,533 | - | 23,355,533 | ||||||||||||
Purchased Option Contracts | 577,955 | 3,858 | - | 581,813 | ||||||||||||
Escrow Notes | - | - | 22,526 | 22,526 | ||||||||||||
Short-Term Investments | 14,327,149 | 20,833,583 | - | 35,160,732 | ||||||||||||
Forward Currency Exchange Contracts** | - | 347,154 | - | 347,154 | ||||||||||||
Swap Contracts** | - | 532,521 | - | 532,521 | ||||||||||||
Total | $ | 138,786,762 | $ | 62,855,897 | $ | 1,193,952 | $ | 202,836,611 | ||||||||
Liabilities | ||||||||||||||||
Short Common Stocks* | $ | (28,124,577 | ) | $ | - | $ | - | $ | (28,124,577 | ) | ||||||
Short Corporate Bonds | - | (886,945 | ) | - | (886,945 | ) | ||||||||||
Private Placements | - | - | (89,231 | ) | (89,231 | ) | ||||||||||
Written Option Contracts | (2,973,553 | ) | (34,562 | ) | - | (3,008,115 | ) | |||||||||
Swap Contracts** | - | (542,032 | ) | - | (542,032 | ) | ||||||||||
Total | $ | (31,098,130 | ) | $ | (1,463,539 | ) | $ | (89,231 | ) | $ | (32,650,900 | ) | ||||
* Please refer to the Schedules of Investments to view long/short common stocks segregated by industry type. | ||||||||||||||||
** Swap contracts and forward currency exchange contracts are valued at the net unrealized appreciation (depreciation) on the | ||||||||||||||||
instrument by counterparty. |
The Level 2 securities are priced using inputs such as current yields, discount rates, credit quality, yields on comparable securities, trading volume, maturity date, market bid and asked prices, prices on comparable securities and other significant inputs. Level 3 securities are valued by using broker quotes or such other pricing sources or data as are permitted by the Fund’s pricing procedures. At September 30, 2019, the net value of these securities was $1,104,721. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs as described in footnote (o). The appropriateness of fair values for these securities is monitored by the Valuation Group on an ongoing basis. | |||||||
There were no transfers into or out of Level 3 for the nine months ended September 30, 2019. |
Level 3 Reconciliation Disclosure | ||
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value. |
Description | Common Stocks | Contingent Value Rights | Escrow Notes | Private Placements | Total Investment | |||||||||||||||
Balance as of December 31, 2018 | $ | 1,016,674 | $ | 1,286 | $ | 60,608 | $ | - | $ | 1,078,568 | ||||||||||
Purchases on Investments* | - | - | - | (93,995 | ) | (93,995 | ) | |||||||||||||
(Sales) of Investments | - | - | - | - | - | |||||||||||||||
Realized (Gain) Loss | - | - | - | - | - | |||||||||||||||
Transfers Into Level 3 | - | - | - | - | - | |||||||||||||||
(Transfer Out) of Level 3 | - | - | - | - | - | |||||||||||||||
Change in Unrealized Appreciation (Depreciation) | 152,609 | 857 | (38,082 | )** | 4,764 | 120,148 | ||||||||||||||
Balance as of September 30, 2019 | $ | 1,169,283 | $ | 2,143 | $ | 22,526 | $ | (89,231 | ) | $ | 1,104,721 | |||||||||
Change in unrealized appreciation (depreciation) during the period for Level 3 investments held at September 30, 2019. | $ | 152,609 | $ | 857 | $ | (19,429 | )** | $ | 4,764 | $ | 138,801 | |||||||||
* Includes receipts from corporate actions. | ||||||||||||||||||||
** The difference in unrealized depreciation values is due to a change in the cost basis from a corporate action. |
The realized and unrealized gains and losses from Level 3 transactions are included with the net realized gain (loss) on investments and net change in unrealized appreciation (depreciation) on investments on the Statement of Operations, respectively. The net change in unrealized appreciation on investments related to Level 3 securities held by the Fund at September 30, 2019 totals $120,148. | |||||||
Significant unobservable valuation inputs monitored by the Valuation Group under the supervision of the Board of Trustees for restricted securities or material Level 3 investments as of September 30, 2019 are as follows: |
Description | Fair Value at September 30, 2019 | Valuation Technique | Unobservable Input | |||
Common Stock | $ | 1,169,283 | Discounted Cash Flow Model | Discount Rates/Terminal Value/Cash Flow Projection | ||
The table above does not include certain Level 3 investments that are valued by brokers. At September 30, 2019, the net value of these securities was $(64,562). The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in footnote (o). | |||||||
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. 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 Fund Services. |
WCM Alternatives: Event-Driven Fund | |||||||
SCHEDULE OF INVESTMENTS | |||||||
Open Written Options | |||||||
September 30, 2019 (Unaudited) | |||||||
Contracts (100 shares per contract) | Notional Amount | Value | |||||
WRITTEN CALL OPTIONS | |||||||
Apollo Global Management, Inc. | |||||||
Expiration: October 2019, Exercise Price: $42.00 | (410) | $ | (1,550,620) | $ | (2,050) | ||
AT&T, Inc. | |||||||
Expiration: October 2019, Exercise Price: $36.00 | (26) | (98,384) | (4,914) | ||||
Expiration: October 2019, Exercise Price: $37.00 | (30) | (113,520) | (2,925) | ||||
Axalta Coating Systems Ltd. | |||||||
Expiration: October 2019, Exercise Price: $28.00 | (183) | (551,745) | (45,292) | ||||
Expiration: October 2019, Exercise Price: $30.00 | (662) | (1,995,930) | (72,820) | ||||
Expiration: October 2019, Exercise Price: $31.00 | (86) | (259,290) | (5,590) | ||||
Expiration: October 2019, Exercise Price: $32.00 | (316) | (952,740) | (15,800) | ||||
The Blackstone Group LP | |||||||
Expiration: December 2019, Exercise Price: $52.50 | (488) | (2,383,392) | (53,192) | ||||
CBS Corporation Class B | |||||||
Expiration: October 2019, Exercise Price: $42.50 | (307) | (1,239,359) | (9,210) | ||||
Expiration: December 2019, Exercise Price: $37.50 | (205) | (827,585) | (83,537) | ||||
Expiration: December 2019, Exercise Price: $40.00 | (517) | (2,087,129) | (127,182) | ||||
Expiration: December 2019, Exercise Price: $45.00 | (203) | (819,511) | (13,804) | ||||
Centene Corporation | |||||||
Expiration: December 2019, Exercise Price: $45.00 | (55) | (237,930) | (12,237) | ||||
Corteva, Inc. | |||||||
Expiration: December 2019, Exercise Price: $27.00 | (145) | (406,000) | (34,655) | ||||
Dow, Inc. | |||||||
Expiration: October 2019, Exercise Price: $46.00 | (288) | (1,372,320) | (68,400) | ||||
DuPont de Nemours, Inc. | |||||||
Expiration: December 2019, Exercise Price: $67.50 | (288) | (2,053,728) | (177,120) | ||||
Hilton Grand Vacations, Inc. | |||||||
Expiration: October 2019, Exercise Price: $34.00 | (342) | (1,094,400) | (17,100) | ||||
Expiration: November 2019, Exercise Price: $33.00 | (90) | (288,000) | (13,950) | ||||
Expiration: December 2019, Exercise Price: $33.00 | (389) | (1,244,800) | (75,855) | ||||
IAC / InterActiveCorp | |||||||
Expiration: October 2019, Exercise Price: $220.00 | (58) | (1,264,226) | (31,958) | ||||
Expiration: October 2019, Exercise Price: $230.00 | (37) | (806,489) | (7,955) | ||||
Expiration: October 2019, Exercise Price: $240.00 | (72) | (1,569,384) | (3,384) | ||||
The Madison Square Garden Company Class A | |||||||
Expiration: November 2019, Exercise Price: $260.00 | (110) | (2,898,720) | (119,900) | ||||
Expiration: November 2019, Exercise Price: $270.00 | (34) | (895,968) | (21,930) | ||||
Masco Corporation | |||||||
Expiration: October 2019, Exercise Price: $37.00 | (250) | (1,042,000) | (117,000) | ||||
Expiration: October 2019, Exercise Price: $38.00 | (829) | (3,455,272) | (315,020) | ||||
Expiration: October 2019, Exercise Price: $39.00 | (372) | (1,550,496) | (106,020) | ||||
MGM Resorts International | |||||||
Expiration: December 2019, Exercise Price: $26.00 | (719) | (1,993,068) | (197,006) | ||||
Mylan NV | |||||||
Expiration: October 2019, Exercise Price: $17.50 | (776) | (1,534,928) | (195,940) | ||||
Expiration: October 2019, Exercise Price: $20.00 | (1,229) | (2,430,962) | (90,946) |
Occidental Petroleum Corporation | |||||||
Expiration: October 2019, Exercise Price: $45.00 | (9) | (40,023) | (900) | ||||
T-Mobile USA, Inc. | |||||||
Expiration: November 2019, Exercise Price: $70.00 | (203) | (1,599,031) | (183,208) | ||||
United Technologies Corporation | |||||||
Expiration: October 2019, Exercise Price: $115.00 | (153) | (2,088,756) | (336,983) | ||||
Expiration: October 2019, Exercise Price: $120.00 | (152) | (2,075,104) | (257,640) | ||||
Expiration: November 2019, Exercise Price: $135.00 | (247) | (3,372,044) | (138,567) | ||||
(2,959,990) | |||||||
WRITTEN PUT OPTIONS | |||||||
Bayer AG | |||||||
Expiration: October 2019, Exercise Price: EUR 60.00 (a)(b) | (755) | (4,884,095) | (34,562) | ||||
SPDR S&P 500 ETF Trust | |||||||
Expiration: October 2019, Exercise Price: $283.00 | (40) | (1,187,080) | (3,320) | ||||
Expiration: October 2019, Exercise Price: $289.00 | (31) | (919,987) | (4,759) | ||||
VanEck Vectors Semiconductor ETF | |||||||
Expiration: November 2019, Exercise Price: $100.00 | (32) | (381,216) | (1,760) | ||||
Expiration: November 2019, Exercise Price: $105.00 | (38) | (452,694) | (3,724) | ||||
(48,125) | |||||||
TOTAL WRITTEN OPTIONS | |||||||
(Premiums received $3,733,473) | $ | (3,008,115) |
ETF - Exchange-Traded Fund | |||||||
EUR - Euro | |||||||
(a) Foreign Security. | |||||||
(b) Level 2 Security. Please see footnote (o) on the Schedule of Investments for more information. |
WCM Alternatives: Event-Driven Fund | ||||||||||||||
SCHEDULE OF INVESTMENTS | ||||||||||||||
Forward Currency Exchange Contracts | ||||||||||||||
September 30, 2019 (Unaudited) | ||||||||||||||
Unrealized | ||||||||||||||
Settlement | USD Value at | USD Value at | Appreciation | |||||||||||
Date | Counterparty | Currency to be Delivered | September 30, 2019 | Currency to be Received | September 30, 2019 | (Depreciation)* | ||||||||
12/5/2019 | JPM | 2,005,206 | AUD | $ 1,356,319 | 1,377,777 | USD | $ 1,377,777 | $ 21,458 | ||||||
10/24/2019 | JPM | 3,083,600 | EUR | 3,367,605 | 3,450,280 | USD | 3,450,280 | 82,675 | ||||||
10/24/2019 | JPM | 3,401,828 | USD | 3,401,828 | 3,083,600 | EUR | 3,367,605 | (34,223) | ||||||
11/12/2019 | JPM | 1,322,725 | EUR | 1,446,518 | 1,459,255 | USD | 1,459,255 | 12,737 | ||||||
12/10/2019 | JPM | 203,344 | EUR | 222,858 | 226,126 | USD | 226,126 | 3,268 | ||||||
12/19/2019 | JPM | 1,808,688 | EUR | 1,983,972 | 2,060,581 | USD | 2,060,581 | 76,609 | ||||||
12/19/2019 | JPM | 47,011 | USD | 47,011 | 42,448 | EUR | 46,562 | (449) | ||||||
1/15/2020 | JPM | 3,195,809 | EUR | 3,512,889 | 3,581,140 | USD | 3,581,140 | 68,251 | ||||||
1/15/2020 | JPM | 439,885 | USD | 439,885 | 398,871 | EUR | 438,446 | (1,439) | ||||||
10/15/2019 | JPM | 2,125,233 | GBP | 2,614,794 | 2,680,263 | USD | 2,680,263 | 65,469 | ||||||
10/29/2019 | JPM | 346,064 | GBP | 426,055 | 426,025 | USD | 426,025 | (30) | ||||||
11/6/2019 | JPM | 5,601 | GBP | 6,897 | 6,809 | USD | 6,809 | (88) | ||||||
12/19/2019 | JPM | 4,196,689 | GBP | 5,177,625 | 5,222,671 | USD | 5,222,671 | 45,046 | ||||||
1/10/2020 | JPM | 329,122 | GBP | 406,412 | 411,381 | USD | 411,381 | 4,969 | ||||||
2/6/2020 | JPM | 596,203 | GBP | 736,819 | 737,671 | USD | 737,671 | 852 | ||||||
1/16/2020 | JPM | 4,053,000 | HKD | 517,512 | 517,195 | USD | 517,195 | (317) | ||||||
12/4/2019 | JPM | 64,526,198 | JPY | 599,462 | 601,828 | USD | 601,828 | 2,366 | ||||||
$ 26,264,461 | $ 26,611,615 | $ 347,154 | ||||||||||||
AUD | - Australian Dollar | |||||||||||||
EUR | - Euro | |||||||||||||
GBP | - British Pound | |||||||||||||
HKD | - Hong Kong Dollar | |||||||||||||
JPM | - JPMorgan Chase & Co., Inc. | |||||||||||||
JPY | - Japanese Yen | |||||||||||||
USD | - U.S. Dollar | |||||||||||||
* | Net unrealized appreciation (depreciation) is a receivable (payable). |
WCM Alternatives: Event-Driven Fund | |||||||||||
SCHEDULE OF INVESTMENTS | |||||||||||
Open Swap Contracts | |||||||||||
September 30, 2019 (Unaudited) | |||||||||||
Counterparty | Security | Termination Date | Pay/Receive on Financing Rate | Financing Rate | Payment Frequency | Shares | Notional Amount | Unrealized Appreciation (Depreciation)* | |||
LONG TOTAL RETURN SWAP CONTRACTS | |||||||||||
JPM | Altaba, Inc. | 9/26/2020 | Pay | 0.800% + 3 Month U.S. LIBOR | Quarterly | 332,903 | $ 6,508,254 | $ (25,401) | |||
JPM | Altran Technologies SA | 6/25/2020 | Pay | 0.400% + 3 Month U.S. LIBOR | Quarterly | 126,160 | 2,027,118 | (48,073) | |||
JPM | AT&T, Inc. | 9/5/2020 | Pay | 0.300% + 3 Month U.S. LIBOR | Quarterly | 5,502 | 197,467 | 10,530 | |||
JPM | Aveo Group | 9/17/2020 | Pay | 0.400% + 3 Month U.S. LIBOR | Quarterly | 932,654 | 1,356,290 | (16,624) | |||
BAML | Avon Products, Inc. | 8/26/2020 | Pay | 0.750% + 1 Month U.S. LIBOR | Monthly | 237,686 | 1,029,462 | 15,719 | |||
GS | Avon Products, Inc. | 9/17/2020 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 3,037 | 14,460 | (1,107) | |||
JPM | BCA Marketplace plc | 6/27/2020 | Pay | 0.300% + 3 Month U.S. LIBOR | Quarterly | 749,395 | 2,280,108 | (109,712) | |||
BAML | BCA Marketplace plc | 7/25/2020 | Pay | 0.450% + 1 Month U.S. LIBOR | Monthly | 125,187 | 376,552 | (13,810) | |||
JPM | The Blackstone Group LP | 5/31/2020 | Pay | 0.650% + 3 Month U.S. LIBOR | Quarterly | 58,432 | 2,211,651 | 639,616 | |||
BAML | Brookfield Property REIT, Inc. Class A | 8/30/2020 | Pay | 0.750% + 1 Month U.S. LIBOR | Monthly | 29,422 | 553,722 | 45,850 | |||
JPM | CBS Corporation Class B | 5/8/2020 | Pay | 0.300% + 3 Month U.S. LIBOR | Quarterly | 1,200 | 58,248 | (9,863) | |||
BAML | CBS Corporation Class B | 10/22/2019 | Pay | 0.400% + 1 Month U.S. LIBOR | Monthly | 73,435 | 3,789,697 | (827,178) | |||
JPM | Cobham plc | 9/10/2020 | Pay | 0.300% + 3 Month U.S. LIBOR | Quarterly | 2,543,448 | 5,013,927 | (112,530) | |||
BAML | Corteva, Inc. | 6/3/2020 | Pay | 0.400% + 1 Month U.S. LIBOR | Monthly | 2,280 | 75,961 | (12,162) | |||
BAML | Cypress Semiconductor Corporation | 8/26/2020 | Pay | 0.750% + 1 Month U.S. LIBOR | Monthly | 216,075 | 4,965,404 | 74,712 | |||
JPM | Discovery, Inc. Class C | 3/9/2020 | Pay | 0.300% + 3 Month U.S. LIBOR | Quarterly | 10,767 | 292,539 | (27,751) | |||
BAML | Dow, Inc. | 4/2/2020 | Pay | 0.400% + 1 Month U.S. LIBOR | Monthly | 2,280 | 125,697 | (17,123) | |||
BAML | Dupont De Nemours, Inc. | 4/2/2020 | Pay | 0.400% + 1 Month U.S. LIBOR | Monthly | 2,280 | 181,917 | (19,429) | |||
BAML | EI Group plc | 9/30/2020 | Pay | 0.450% + 1 Month U.S. LIBOR | Monthly | 209,194 | 723,709 | (425) | |||
JPM | First Trust Senior Floating Rate Income Fund II | 12/6/2019 | Pay | 0.800% + 3 Month U.S. LIBOR | Quarterly | 12,108 | 143,025 | 2,097 | |||
JPM | Genesee & Wyoming, Inc. Class A | 7/16/2020 | Pay | 0.300% + 3 Month U.S. LIBOR | Quarterly | 22,584 | 2,479,700 | 13,559 | |||
JPM | Inmarsat Finance plc | 4/8/2020 | Pay | 0.300% + 3 Month U.S. LIBOR | Quarterly | 185,363 | 1,277,885 | 53,656 | |||
BAML | Inmarsat Finance plc | 4/1/2020 | Pay | 0.550% + 1 Month U.S. LIBOR | Monthly | 141,993 | 1,001,883 | 18,523 | |||
JPM | Innogy SE | 6/6/2020 | Pay | 0.400% + 3 Month U.S. LIBOR | Quarterly | 34,699 | 1,650,732 | 36,511 | |||
BAML | Kinder Morgan Ltd. | 9/10/2020 | Pay | 0.750% + 1 Month U.S. LIBOR | Monthly | 74,988 | 839,911 | 3,492 | |||
JPM | Liberty Media Corporation- Liberty SiriusXM Class A | 12/17/2019 | Pay | 0.300% + 3 Month U.S. LIBOR | Quarterly | 12,597 | 485,740 | 37,428 | |||
JPM | London Stock Exchange Group plc | 9/16/2020 | Pay | 0.300% + 3 Month U.S. LIBOR | Quarterly | 16,094 | 1,465,232 | (20,237) | |||
JPM | Masco Corporation | 7/25/2020 | Pay | 0.300% + 3 Month U.S. LIBOR | Quarterly | 95,800 | 3,982,484 | 6,447 | |||
JPM | Mellanox Technologies, Inc. | 5/14/2020 | Pay | 0.300% + 3 Month U.S. LIBOR | Quarterly | 24,660 | 2,888,919 | (189,341) | |||
JPM | Melrose Industries plc | 10/8/2019 | Pay | 0.300% + 3 Month U.S. LIBOR | Quarterly | 166,701 | 407,541 | 5,352 | |||
JPM | Merlin Entertainment plc | 8/15/2020 | Pay | 0.300% + 3 Month U.S. LIBOR | Quarterly | 1,231 | 6,728 | 113 | |||
JPM | Mylan NV | 8/26/2020 | Pay | 0.300% + 3 Month U.S. LIBOR | Quarterly | 200,500 | 3,767,395 | 194,699 | |||
JPM | Osram Licht AG | 8/13/2020 | Pay | 0.400% + 3 Month U.S. LIBOR | Quarterly | 68,218 | 2,784,322 | 212,682 | |||
BAML | Renault SA | 5/29/2020 | Pay | 0.350% + 1 Month U.S. LIBOR | Monthly | 3,000 | 179,398 | (7,303) | |||
JPM | Renault SA | 4/3/2020 | Pay | 0.400% + 3 Month U.S. LIBOR | Quarterly | 25,418 | 1,502,409 | (45,070) | |||
JPM | SLM Corporation, 4.110%, Series B | 2/8/2020 | Pay | 1.100% + 3 Month U.S. LIBOR | Quarterly | 35,769 | 2,378,639 | (368,749) | |||
BAML | Spark Therapeutics, Inc. | 5/24/2020 | Pay | 0.750% + 1 Month U.S. LIBOR | Monthly | 7,829 | 863,774 | (105,080) | |||
JPM | Tallgrass Energy LP Class A | 9/9/2020 | Pay | 0.300% + 3 Month U.S. LIBOR | Quarterly | 19,671 | 393,059 | 2,965 | |||
JPM | TPV Technology Limited | 9/11/2020 | Pay | 0.400% + 3 Month U.S. LIBOR | Quarterly | 1,050,000 | 495,505 | 2,335 | |||
JPM | United Technologies Corporation | 8/7/2020 | Pay | 0.300% + 3 Month U.S. LIBOR | Quarterly | 24,700 | 3,186,547 | 182,286 | |||
BAML | Versum Materials, Inc. | 5/14/2020 | Pay | 0.750% + 1 Month U.S. LIBOR | Monthly | 116,897 | 6,054,836 | 128,773 | |||
BAML | Zayo Group LLC / Zayo Capital, Inc. | 5/13/2020 | Pay | 0.750% + 1 Month U.S. LIBOR | Monthly | 214,867 | 7,103,579 | 176,014 | |||
JPM | Zozo, Inc. | 9/26/2020 | Pay | 0.400% + 3 Month U.S. LIBOR | Quarterly | 34,206 | 788,393 | (198) |
SHORT TOTAL RETURN SWAP CONTRACTS | |||||||||||
JPM | Alibaba Group Holding Ltd. - ADR | 6/11/2020 | Receive | (0.600)% + 3 Month U.S. LIBOR | Quarterly | (293) | (47,656) | (1,312) | |||
BAML | Brookfield Property Partners LP | 3/29/2020 | Pay | (2.500)% + 1 Month U.S. LIBOR | Monthly | (4,895) | (101,327) | 1,948 | |||
JPM | Daimler AG | 4/3/2020 | Receive | (0.462)% + 3 Month U.S. LIBOR | Quarterly | (1,525) | (81,561) | 5,789 | |||
BAML | Fiat Chrysler Automobiles N.V. | 5/29/2020 | Receive | (0.400)% + 1 Month U.S. LIBOR | Monthly | (15,986) | (211,653) | 4,856 | |||
BAML | Natura Cosmeticos SA | 8/26/2020 | Pay | (10.000)% + 1 Month U.S. LIBOR | Monthly | (142,736) | (1,151,330) | (13,906) | |||
GS | Natura Cosmeticos SA | 9/17/2020 | Pay | (20.000)% + 1 Month U.S. LIBOR | Monthly | (1,822) | (16,119) | 1,217 | |||
JPM | Nissan Motor Company Ltd. | 4/3/2020 | Receive | (0.462)% + 3 Month U.S. LIBOR | Quarterly | (171,229) | (1,168,027) | 101,207 | |||
BAML | Pembina Pipeline Corporation | 9/10/2020 | Receive | (0.350)% + 1 Month U.S. LIBOR | Monthly | (23,036) | (858,082) | 4,497 | |||
$ (9,511) | |||||||||||
ADR | - American Depository Receipt | ||||||||||
BAML | - Bank of America Merrill Lynch & Co., Inc. | ||||||||||
GS | - Goldman, Sachs & Co. | ||||||||||
JPM | - JPMorgan Chase & Co., Inc. | ||||||||||
LIBOR | - London Interbank Offered Rate | ||||||||||
plc | - Public Limited Company | ||||||||||
* | Based on the net swap value held at each counterparty, unrealized appreciation (depreciation) is a receivable (payable). |