Abraham Fortress Fund |
CONSOLIDATED SCHEDULE OF INVESTMENTS |
As of September 30, 2023 (Unaudited) |
Number of Shares | Value | |||||||
COMMON STOCKS — 26.8%1 | ||||||||
COMMUNICATIONS — 2.7% | ||||||||
318 | Activision Blizzard, Inc. | $ | 29,774 | |||||
5,440 | Alphabet, Inc. - Class A* | 711,878 | ||||||
2,912 | AT&T, Inc. | 43,738 | ||||||
17 | Booking Holdings, Inc.* | 52,427 | ||||||
83 | Charter Communications, Inc. - Class A* | 36,505 | ||||||
1,863 | Comcast Corp. - Class A | 82,605 | ||||||
1,134 | Meta Platforms, Inc. - Class A* | 340,438 | ||||||
181 | Netflix, Inc.* | 68,346 | ||||||
509 | T-Mobile US, Inc.* | 71,286 | ||||||
1,712 | Verizon Communications, Inc. | 55,486 | ||||||
741 | Walt Disney Co.* | 60,058 | ||||||
704 | Warner Bros Discovery, Inc.* | 7,646 | ||||||
1,560,187 | ||||||||
CONSUMER DISCRETIONARY — 2.4% | ||||||||
4,140 | Amazon.com, Inc.* | 526,277 | ||||||
110 | Aptiv PLC*2 | 10,845 | ||||||
8 | AutoZone, Inc.* | 20,320 | ||||||
11 | Chipotle Mexican Grill, Inc.* | 20,150 | ||||||
255 | eBay, Inc. | 11,243 | ||||||
1,629 | Ford Motor Co. | 20,232 | ||||||
592 | General Motors Co. | 19,518 | ||||||
426 | Home Depot, Inc. | 128,720 | ||||||
275 | Lowe's Cos., Inc. | 57,156 | ||||||
133 | Marriott International, Inc. - Class A | 26,143 | ||||||
305 | McDonald's Corp. | 80,349 | ||||||
645 | NIKE, Inc. - Class B | 61,675 | ||||||
27 | O'Reilly Automotive, Inc.* | 24,539 | ||||||
478 | Starbucks Corp. | 43,627 | ||||||
1,169 | Tesla, Inc.* | 292,507 | ||||||
486 | TJX Cos., Inc. | 43,196 | ||||||
1,386,497 | ||||||||
CONSUMER STAPLES — 1.6% | ||||||||
749 | Altria Group, Inc. | 31,496 | ||||||
1,761 | Coca-Cola Co. | 98,581 | ||||||
344 | Colgate-Palmolive Co. | 24,462 | ||||||
77 | Constellation Brands, Inc. - Class A | 19,352 | ||||||
181 | Costco Wholesale Corp. | 102,258 | ||||||
94 | Dollar General Corp. | 9,945 | ||||||
147 | Estee Lauder Cos., Inc. - Class A | 21,249 | ||||||
137 | Kimberly-Clark Corp. | 16,556 | ||||||
499 | Kraft Heinz Co. | 16,786 |
Abraham Fortress Fund |
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued |
As of September 30, 2023 (Unaudited) |
Number of Shares | Value | |||||||
COMMON STOCKS 1 (Continued) | ||||||||
CONSUMER STAPLES (Continued) | ||||||||
569 | Mondelez International, Inc. - Class A | $ | 39,489 | |||||
432 | Monster Beverage Corp.* | 22,874 | ||||||
564 | PepsiCo, Inc. | 95,564 | ||||||
635 | Philip Morris International, Inc. | 58,788 | ||||||
987 | Procter & Gamble Co. | 143,964 | ||||||
195 | Target Corp. | 21,561 | ||||||
352 | Walgreens Boots Alliance, Inc. | 7,829 | ||||||
1,131 | Walmart, Inc. | 180,881 | ||||||
911,635 | ||||||||
ENERGY — 0.8% | ||||||||
786 | Chevron Corp. | 132,535 | ||||||
538 | ConocoPhillips | 64,452 | ||||||
239 | EOG Resources, Inc. | 30,296 | ||||||
1,746 | Exxon Mobil Corp. | 205,295 | ||||||
100 | Pioneer Natural Resources Co. | 22,955 | ||||||
572 | Schlumberger N.V.2 | 33,348 | ||||||
488,881 | ||||||||
FINANCIALS — 2.2% | ||||||||
316 | American Express Co. | 47,144 | ||||||
339 | American International Group, Inc. | 20,543 | ||||||
90 | Aon PLC - Class A2 | 29,180 | ||||||
3,337 | Bank of America Corp. | 91,367 | ||||||
337 | Bank of New York Mellon Corp. | 14,373 | ||||||
913 | Berkshire Hathaway, Inc. - Class B* | 319,824 | ||||||
62 | BlackRock, Inc. | 40,082 | ||||||
174 | Capital One Financial Corp. | 16,887 | ||||||
771 | Charles Schwab Corp. | 42,328 | ||||||
176 | Chubb Ltd.2 | 36,640 | ||||||
809 | Citigroup, Inc. | 33,274 | ||||||
147 | CME Group, Inc. | 29,432 | ||||||
142 | Goldman Sachs Group, Inc. | 45,947 | ||||||
230 | Intercontinental Exchange, Inc. | 25,305 | ||||||
1,205 | JPMorgan Chase & Co. | 174,749 | ||||||
206 | Marsh & McLennan Cos., Inc. | 39,202 | ||||||
343 | MetLife, Inc. | 21,578 | ||||||
732 | Morgan Stanley | 59,783 | ||||||
172 | PNC Financial Services Group, Inc. | 21,117 | ||||||
238 | Progressive Corp. | 33,153 | ||||||
92 | T. Rowe Price Group, Inc. | 9,648 | ||||||
544 | Truist Financial Corp. | 15,564 | ||||||
605 | U.S. Bancorp | 20,001 |
Abraham Fortress Fund |
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued |
As of September 30, 2023 (Unaudited) |
Number of Shares | Value | |||||||
COMMON STOCKS 1 (Continued) | ||||||||
FINANCIALS (Continued) | ||||||||
1,626 | Wells Fargo & Co. | $ | 66,438 | |||||
1,253,559 | ||||||||
HEALTH CARE — 3.2% | ||||||||
721 | Abbott Laboratories | 69,829 | ||||||
721 | AbbVie, Inc. | 107,472 | ||||||
123 | Agilent Technologies, Inc. | 13,754 | ||||||
32 | Align Technology, Inc.* | 9,770 | ||||||
230 | Amgen, Inc. | 61,815 | ||||||
204 | Baxter International, Inc. | 7,699 | ||||||
116 | Becton Dickinson & Co. | 29,990 | ||||||
581 | Boston Scientific Corp.* | 30,677 | ||||||
905 | Bristol-Myers Squibb Co. | 52,526 | ||||||
238 | Centene Corp.* | 16,393 | ||||||
135 | Cigna Group | 38,619 | ||||||
538 | CVS Health Corp. | 37,563 | ||||||
291 | Danaher Corp. | 72,197 | ||||||
160 | Dexcom, Inc.* | 14,928 | ||||||
255 | Edwards Lifesciences Corp.* | 17,666 | ||||||
99 | Elevance Health, Inc. | 43,107 | ||||||
390 | Eli Lilly & Co. | 209,481 | ||||||
23 | Embecta Corp. | 346 | ||||||
149 | GE HealthCare Technologies, Inc. | 10,138 | ||||||
511 | Gilead Sciences, Inc. | 38,294 | ||||||
127 | HCA Healthcare, Inc. | 31,240 | ||||||
52 | Humana, Inc. | 25,299 | ||||||
35 | IDEXX Laboratories, Inc.* | 15,304 | ||||||
64 | Illumina, Inc.* | 8,786 | ||||||
146 | Intuitive Surgical, Inc.* | 42,674 | ||||||
78 | IQVIA Holdings, Inc.* | 15,347 | ||||||
1,073 | Johnson & Johnson | 167,120 | ||||||
548 | Medtronic PLC2 | 42,941 | ||||||
1,030 | Merck & Co., Inc. | 106,039 | ||||||
165 | Moderna, Inc.* | 17,043 | ||||||
2,288 | Pfizer, Inc. | 75,893 | ||||||
44 | Regeneron Pharmaceuticals, Inc.* | 36,210 | ||||||
154 | Stryker Corp. | 42,084 | ||||||
161 | Thermo Fisher Scientific, Inc. | 81,493 | ||||||
384 | UnitedHealth Group, Inc. | 193,609 | ||||||
104 | Vertex Pharmaceuticals, Inc.* | 36,165 | ||||||
193 | Zoetis, Inc. | 33,578 | ||||||
1,853,089 |
Abraham Fortress Fund |
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued |
As of September 30, 2023 (Unaudited) |
Number of Shares | Value | |||||||
COMMON STOCKS 1 (Continued) | ||||||||
INDUSTRIALS — 1.5% | ||||||||
235 | 3M Co. | $ | 22,001 | |||||
244 | Amphenol Corp. - Class A | 20,494 | ||||||
240 | Boeing Co.* | 46,003 | ||||||
353 | Carrier Global Corp. | 19,486 | ||||||
221 | Caterpillar, Inc. | 60,333 | ||||||
42 | Cintas Corp. | 20,202 | ||||||
904 | CSX Corp. | 27,798 | ||||||
125 | Deere & Co. | 47,172 | ||||||
163 | Eaton Corp. PLC2 | 34,765 | ||||||
243 | Emerson Electric Co. | 23,466 | ||||||
108 | FedEx Corp. | 28,611 | ||||||
114 | General Dynamics Corp. | 25,191 | ||||||
448 | General Electric Co. | 49,526 | ||||||
281 | Honeywell International, Inc. | 51,912 | ||||||
128 | Illinois Tool Works, Inc. | 29,480 | ||||||
287 | Johnson Controls International plc2 | 15,271 | ||||||
80 | L3Harris Technologies, Inc. | 13,930 | ||||||
112 | Lockheed Martin Corp. | 45,804 | ||||||
99 | Norfolk Southern Corp. | 19,496 | ||||||
65 | Northrop Grumman Corp. | 28,612 | ||||||
47 | Old Dominion Freight Line, Inc. | 19,230 | ||||||
129 | Republic Services, Inc. | 18,384 | ||||||
610 | RTX Corp. | 43,902 | ||||||
133 | TE Connectivity Ltd.2 | 16,429 | ||||||
97 | Trane Technologies PLC2 | 19,682 | ||||||
262 | Union Pacific Corp. | 53,351 | ||||||
354 | United Parcel Service, Inc. - Class B | 55,178 | ||||||
171 | Waste Management, Inc. | 26,067 | ||||||
881,776 | ||||||||
MATERIALS — 0.3% | ||||||||
90 | Air Products and Chemicals, Inc. | 25,506 | ||||||
211 | DuPont de Nemours, Inc. | 15,738 | ||||||
117 | Ecolab, Inc. | 19,820 | ||||||
599 | Freeport-McMoRan, Inc. | 22,337 | ||||||
208 | Linde PLC2 | 77,449 | ||||||
325 | Newmont Corp. | 12,009 | ||||||
107 | Sherwin-Williams Co. | 27,290 | ||||||
200,149 | ||||||||
REAL ESTATE — 0.3% | ||||||||
186 | American Tower Corp. - REIT | 30,588 | ||||||
176 | Crown Castle, Inc. - REIT | 16,197 |
Abraham Fortress Fund |
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued |
As of September 30, 2023 (Unaudited) |
Number of Shares | Value | |||||||
COMMON STOCKS 1 (Continued) | ||||||||
REAL ESTATE (Continued) | ||||||||
119 | Digital Realty Trust, Inc. - REIT | $ | 14,401 | |||||
37 | Equinix, Inc. - REIT | 26,872 | ||||||
302 | Prologis, Inc. - REIT | 33,887 | ||||||
71 | Public Storage - REIT | 18,710 | ||||||
134 | Simon Property Group, Inc. - REIT | 14,476 | ||||||
155,131 | ||||||||
TECHNOLOGY — 7.8% | ||||||||
269 | Accenture PLC - Class A2 | 82,613 | ||||||
194 | Adobe, Inc.* | 98,921 | ||||||
666 | Advanced Micro Devices, Inc.* | 68,478 | ||||||
214 | Analog Devices, Inc. | 37,469 | ||||||
6,689 | Apple, Inc. | 1,145,224 | ||||||
362 | Applied Materials, Inc. | 50,119 | ||||||
125 | Arista Networks, Inc.* | 22,991 | ||||||
90 | Autodesk, Inc.* | 18,622 | ||||||
172 | Automatic Data Processing, Inc. | 41,380 | ||||||
168 | Broadcom, Inc. | 139,537 | ||||||
113 | Cadence Design Systems, Inc.* | 26,476 | ||||||
1,720 | Cisco Systems, Inc. | 92,467 | ||||||
214 | Cognizant Technology Solutions Corp. - Class A | 14,496 | ||||||
248 | Fidelity National Information Services, Inc. | 13,707 | ||||||
269 | Fiserv, Inc.* | 30,386 | ||||||
335 | Fortinet, Inc.* | 19,658 | ||||||
1,658 | Intel Corp. | 58,942 | ||||||
366 | International Business Machines Corp. | 51,350 | ||||||
115 | Intuit, Inc. | 58,758 | ||||||
62 | KLA Corp. | 28,437 | ||||||
57 | Lam Research Corp. | 35,726 | ||||||
401 | Mastercard, Inc. - Class A | 158,760 | ||||||
226 | Microchip Technology, Inc. | 17,639 | ||||||
457 | Micron Technology, Inc. | 31,090 | ||||||
3,061 | Microsoft Corp. | 966,511 | ||||||
76 | Moody's Corp. | 24,029 | ||||||
69 | Motorola Solutions, Inc. | 18,785 | ||||||
34 | MSCI, Inc. | 17,445 | ||||||
1,019 | NVIDIA Corp. | 443,255 | ||||||
108 | NXP Semiconductors N.V.2 | 21,591 | ||||||
1,089 | Oracle Corp. | 115,347 | ||||||
147 | Paychex, Inc. | 16,953 | ||||||
479 | PayPal Holdings, Inc.* | 28,002 | ||||||
457 | QUALCOMM, Inc. | 50,754 | ||||||
43 | Roper Technologies, Inc. | 20,824 |
Abraham Fortress Fund |
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued |
As of September 30, 2023 (Unaudited) |
Number of Shares | Value | |||||||
COMMON STOCKS 1 (Continued) | ||||||||
TECHNOLOGY (Continued) | ||||||||
144 | S&P Global, Inc. | $ | 52,619 | |||||
402 | Salesforce, Inc.* | 81,517 | ||||||
81 | ServiceNow, Inc.* | 45,276 | ||||||
63 | Synopsys, Inc.* | 28,915 | ||||||
377 | Texas Instruments, Inc. | 59,947 | ||||||
888 | Visa, Inc. - Class A | 204,249 | ||||||
4,539,265 | ||||||||
UTILITIES — 4.0% | ||||||||
2,283 | Alliant Energy Corp. | 110,611 | ||||||
1,565 | Ameren Corp. | 117,109 | ||||||
1,775 | American Electric Power Co., Inc. | 133,516 | ||||||
745 | American Water Works Co., Inc. | 92,253 | ||||||
1,315 | Atmos Energy Corp. | 139,298 | ||||||
2,144 | CMS Energy Corp. | 113,868 | ||||||
1,628 | Consolidated Edison, Inc. | 139,243 | ||||||
962 | Constellation Energy Corp. | 104,935 | ||||||
330 | Dominion Energy, Inc. | 14,741 | ||||||
1,158 | DTE Energy Co. | 114,966 | ||||||
314 | Duke Energy Corp. | 27,714 | ||||||
1,236 | Entergy Corp. | 114,330 | ||||||
2,031 | Evergy, Inc. | 102,972 | ||||||
1,522 | Eversource Energy | 88,504 | ||||||
2,888 | Exelon Corp. | 109,138 | ||||||
3,369 | FirstEnergy Corp. | 115,152 | ||||||
800 | NextEra Energy, Inc. | 45,832 | ||||||
4,624 | PPL Corp. | 108,941 | ||||||
2,100 | Public Service Enterprise Group, Inc. | 119,511 | ||||||
2,471 | Southern Co. | 159,923 | ||||||
1,438 | WEC Energy Group, Inc. | 115,831 | ||||||
2,043 | Xcel Energy, Inc. | 116,900 | ||||||
2,305,288 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $16,822,630) | 15,535,457 |
Principal Amount | ||||||||
U.S. TREASURY BILLS — 55.7% | ||||||||
United States Treasury Bill | ||||||||
$ | 1,500,000 | 4.830%, 11/9/20233,4 | 1,491,623 | |||||
2,200,000 | 5.010%, 11/16/20233,4,5 | 2,185,438 | ||||||
300,000 | 5.160%, 11/30/20233,4 | 297,382 | ||||||
100,000 | 5.110%, 12/14/20233,4 | 98,923 | ||||||
8,400,000 | 5.220%, 1/25/20244 | 8,257,738 |
Abraham Fortress Fund |
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued |
As of September 30, 2023 (Unaudited) |
Principal Amount | Value | |||||||
U.S. TREASURY BILLS (Continued) | ||||||||
$ | 3,100,000 | 5.200%, 2/1/20243,4,5 | $ | 3,044,386 | ||||
10,800,000 | 5.230%, 2/29/20243,4,5 | 10,561,309 | ||||||
6,500,000 | 5.260%, 3/14/20244 | 6,342,837 | ||||||
TOTAL U.S. TREASURY BILLS | ||||||||
(Cost $32,282,185) | 32,279,636 | |||||||
U.S. TREASURY NOTES — 18.9% | ||||||||
United States Treasury Note | ||||||||
3,500,000 | 0.875%, 11/15/2030 | 2,723,164 | ||||||
3,400,000 | 1.625%, 5/15/2031 | 2,760,508 | ||||||
3,500,000 | 1.375%, 11/15/2031 | 2,743,125 | ||||||
3,100,000 | 2.875%, 5/15/2032 | 2,721,583 | ||||||
TOTAL U.S. TREASURY NOTES | ||||||||
(Cost $11,829,785) | 10,948,380 | |||||||
SHORT-TERM INVESTMENTS — 0.0% | ||||||||
$ | 10 | UMB Bank Demand Deposit, 0.01%3,5,6 | 10 | |||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $10) | 10 | |||||||
TOTAL INVESTMENTS — 101.4% | ||||||||
(Cost $60,934,610) | 58,763,483 | |||||||
Liabilities in Excess of Other Assets — (1.4)% | (786,761 | ) | ||||||
TOTAL NET ASSETS — 100.0% | $ | 57,976,722 |
PLC – Public Limited Company |
REIT – Real Estate Investment Trusts |
* | Non-income producing security. |
1 | See additional notional stock exposure value via stock index futures on page 8. |
2 | Foreign security denominated in U.S. dollars. |
3 | All or a portion of this security is segregated as collateral for derivatives. The market value of the securities pledged as collateral was $14,442,434, which represents 24.91% of total net assets of the Fund. |
4 | The rate is the effective yield as of September 30, 2023. |
5 | All or a portion of this security is a holding of Abraham Fortress Fund, Ltd. |
6 | The rate is the annualized seven-day yield at period end. |
Abraham Fortress Fund |
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued |
As of September 30, 2023 (Unaudited) |
Long Contracts | Expiration Date | Number of Contracts | Notional Value | Value at September 30, 2023 | Unrealized Appreciation (Depreciation) | |||||||||||
Commodity Futures | ||||||||||||||||
CMX Gold1 | December 2023 | 29 | $ | 5,781,063 | $ | 5,411,690 | $ | (369,373 | ) | |||||||
NYMEX Crude Oil1 | November 2024 | 15 | 1,175,203 | 1,167,900 | (7,303 | ) | ||||||||||
Index Futures | ||||||||||||||||
CME E-mini S&P 500 | December 2023 | 9 | 2,012,963 | 1,946,475 | (66,488 | ) | ||||||||||
NYF MSCI EAFE Index | December 2023 | 60 | 6,329,313 | 6,124,500 | (204,813 | ) | ||||||||||
Total Long Contracts | $ | 15,298,542 | $ | 14,650,565 | $ | (647,977 | ) |
1 | All or a portion of this security is a holding of Abraham Fortress Fund, Ltd. |
Abraham Fortress Fund |
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued |
As of September 30, 2023 (Unaudited) |
SWAP CONTRACTS
(OTC) TOTAL RETURN SWAP
Counterparty | Reference Entity | Pay/Receive Total Return on Reference Entity | Financing Rate1 | Pay/Receive Frequency | Termination Date | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||||||
Deutsche Bank | Abraham Fortress dbSelect Index2 | Receive | 0.44% of Notional Value | Monthly | June 13, 2024 | $ | 32,955,344 | (1,352,873 | ) | |||||||||||
TOTAL SWAP CONTRACTS | $ | (1,352,873 | ) |
1 | Financing rate is based upon notional trading amounts at period end. |
2 | This investment is a holding of the Abraham Fortress Fund, Ltd. and is comprised of a proprietary basket of alternative programs investing in various futures contracts and forward foreign currency exchange contracts. |
Total Return Swap Top Holdings^
FUTURES CONTRACTS
Description | Expiration Date | Number of Long Contracts | Notional Value | Unrealized Appreciation (Depreciation) | Percentage of Custom Swap's Unrealized Appreciation (Depreciation) | |||||||||||||
CME Live Cattle Future | October 2023 | 28 | $ | 2,054,087 | $ | (13,133 | ) | -3.15 | % | |||||||||
ICE Brent Crude Monthly Future | October 2023 | 18 | 1,706,437 | (34,120 | ) | -8.17 | % | |||||||||||
KCB Hard Red Winter Wheat Future | March 2024 | 24 | 838,183 | (154,480 | ) | -37.01 | % | |||||||||||
OSE TOPIX Future | December 2023 | 5 | 828,863 | (5,635 | ) | -1.35 | % | |||||||||||
OSE 10 year Japanese Government Bond | December 2023 | 1 | 800,535 | (2,216 | ) | -0.53 | % | |||||||||||
NYM NY Harbour ULSD Future | December 2023 | 5 | 655,058 | 12,608 | 3.02 | % | ||||||||||||
CME Lean Hog Future | October 2023 | 16 | 534,468 | (22,908 | ) | -5.49 | % | |||||||||||
SGX Nikkei 225 Index | December 2023 | 5 | 514,603 | (13,043 | ) | -3.12 | % | |||||||||||
CME Feeder Cattle Future | January 2024 | 4 | 497,495 | 4,789 | 1.15 | % | ||||||||||||
CME Lean Hog Future | February 2024 | 16 | 471,483 | (2,445 | ) | -0.59 | % | |||||||||||
NYM Gasoline RBOB Future | December 2023 | 5 | 470,832 | (15,240 | ) | -3.65 | % | |||||||||||
NYM Light Sweet Crude Oil (WTI) Future | December 2023 | 5 | 462,868 | (2,248 | ) | -0.54 | % | |||||||||||
NYM Gasoline RBOB Future | November 2023 | 5 | 451,557 | (7,866 | ) | -1.88 | % | |||||||||||
NYM Light Sweet Crude Oil (WTI) Future | November 2023 | 5 | 439,986 | 5,681 | 1.36 | % | ||||||||||||
NYM NY Harbour ULSD Future | November 2023 | 3 | 426,258 | 12,224 | 2.93 | % | ||||||||||||
NYB Cotton No.2 Future | December 2023 | 9 | 403,122 | 4,837 | 1.16 | % | ||||||||||||
ICE Gasoil Monthly Future | November 2023 | 4 | 374,544 | 33,321 | 7.98 | % | ||||||||||||
CME E-Mini S&P 500 | December 2023 | 2 | 358,934 | (12,370 | ) | -2.96 | % | |||||||||||
12,289,313 | (212,244 | ) |
Abraham Fortress Fund |
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued |
As of September 30, 2023 (Unaudited) |
Description | Expiration Date | Number of Short Contracts | Notional Value | Unrealized Appreciation (Depreciation) | Percentage of Custom Swap's Unrealized Appreciation (Depreciation) | |||||||||||||
CME EUR/USD | December 2023 | (58 | ) | $ | (7,634,463 | ) | $ | 109,104 | 26.14 | % | ||||||||
CME AUD/USD | December 2023 | (92 | ) | (5,953,289 | ) | (33,919 | ) | -8.13 | % | |||||||||
LIF 3 month Euro (EURIBOR) | June 2024 | (18 | ) | (4,513,027 | ) | 5,226 | 1.25 | % | ||||||||||
CME SOFR 3month | September 2024 | (18 | ) | (4,337,020 | ) | 10,660 | 2.55 | % | ||||||||||
CME GBP/USD | December 2023 | (35 | ) | (2,635,126 | ) | 36,871 | 8.83 | % | ||||||||||
LIF 3 month Euro (EURIBOR) | September 2024 | (9 | ) | (2,332,986 | ) | 660 | 0.16 | % | ||||||||||
CME SOFR 3month | December 2025 | (8 | ) | (2,018,805 | ) | 3,142 | 0.75 | % | ||||||||||
CME SOFR 3month | March 2025 | (8 | ) | (1,963,391 | ) | 6,480 | 1.55 | % | ||||||||||
CME SOFR 3month | December 2024 | (8 | ) | (1,878,133 | ) | 8,674 | 2.08 | % | ||||||||||
CME SOFR 3month | September 2025 | (8 | ) | (1,871,368 | ) | 4,693 | 1.12 | % | ||||||||||
CME Live Cattle Future | December 2023 | (23 | ) | (1,703,147 | ) | 15,143 | 3.63 | % | ||||||||||
CMX Gold | December 2023 | (9 | ) | (1,657,730 | ) | 67,741 | 16.23 | % | ||||||||||
CME CHF/USD | December 2023 | (12 | ) | (1,644,289 | ) | 42,134 | 10.09 | % | ||||||||||
CME SOFR 3month | June 2026 | (7 | ) | (1,585,111 | ) | 3,059 | 0.73 | % | ||||||||||
CME SOFR 3month | June 2025 | (6 | ) | (1,534,461 | ) | 4,119 | 0.99 | % | ||||||||||
CBT 2 year US Treasury Notes | December 2023 | (7 | ) | (1,445,899 | ) | 4,898 | 1.17 | % | ||||||||||
SFE 3 year Australian Treasury Bond | December 2023 | (20 | ) | (1,370,597 | ) | 2,077 | 0.50 | % | ||||||||||
EUX 2 year Euro-Schatz | December 2023 | (12 | ) | (1,346,087 | ) | 2,431 | 0.58 | % | ||||||||||
EUX Euro-BOBL | December 2023 | (11 | ) | (1,334,495 | ) | 7,072 | 1.69 | % | ||||||||||
EUX Euro-BUND | December 2023 | (9 | ) | (1,254,120 | ) | 15,669 | 3.75 | % | ||||||||||
LIF 3 month Euro (EURIBOR) | March 2025 | (5 | ) | (1,224,469 | ) | (91 | ) | -0.02 | % | |||||||||
ICE Brent Crude Monthly Future | November 2023 | (13 | ) | (1,221,851 | ) | 1,364 | 0.33 | % | ||||||||||
CME JPY/USD | December 2023 | (14 | ) | (1,174,284 | ) | 19,216 | 4.60 | % | ||||||||||
MGE Hard Red Spring Wheat Future | December 2023 | (31 | ) | (1,148,270 | ) | 82,285 | 19.71 | % | ||||||||||
CME SOFR 3month | March 2026 | (5 | ) | (1,107,229 | ) | 2,088 | 0.50 | % | ||||||||||
CME CAD/USD | December 2023 | (14 | ) | (1,031,113 | ) | (1,683 | ) | -0.40 | % | |||||||||
CMX Copper Future | December 2023 | (10 | ) | (930,308 | ) | (6,533 | ) | -1.56 | % | |||||||||
MSE Three Month Canadian Bankers Acceptance Future | March 2024 | (5 | ) | (922,383 | ) | 1,658 | 0.40 | % | ||||||||||
CME Lean Hog Future | December 2023 | (32 | ) | (922,049 | ) | 30,052 | 7.20 | % | ||||||||||
CBT 10 year US Treasury Notes | December 2023 | (8 | ) | (825,509 | ) | 13,117 | 3.14 | % | ||||||||||
KOFEX 3 Year Korean Treasury Bond Future | December 2023 | (9 | ) | (720,314 | ) | 866 | 0.21 | % | ||||||||||
CME SOFR 3month | June 2027 | (3 | ) | (715,322 | ) | 1,003 | 0.24 | % | ||||||||||
HKG Hang Seng Index | October 2023 | (6 | ) | (701,896 | ) | (2,199 | ) | -0.53 | % | |||||||||
LIF 3 month Euro (EURIBOR) | September 2025 | (3 | ) | (692,252 | ) | 100 | 0.02 | % | ||||||||||
CMX Silver | December 2023 | (6 | ) | (692,203 | ) | 41,098 | 9.84 | % | ||||||||||
CME SOFR 3month | September 2026 | (3 | ) | (687,345 | ) | 2,717 | 0.65 | % | ||||||||||
EUX EURO STOXX 50 Index Future | December 2023 | (15 | ) | (681,315 | ) | 7,359 | 1.76 | % | ||||||||||
CME SOFR 3month | March 2027 | (3 | ) | (675,718 | ) | 2,101 | 0.50 | % | ||||||||||
MSE Three Month Canadian Bankers Acceptance Future | December 2023 | (4 | ) | (635,018 | ) | 181 | 0.04 | % | ||||||||||
LIF 3 month Euro (EURIBOR) | March 2026 | (2 | ) | (634,852 | ) | 27 | 0.01 | % | ||||||||||
EUX Euro-OAT Future | December 2023 | (5 | ) | (628,977 | ) | 7,551 | 1.81 | % | ||||||||||
SFE 10 year Australian Treasury Bond Future | December 2023 | (7 | ) | (529,289 | ) | 1,566 | 0.38 | % | ||||||||||
LIF 3 month Euro (EURIBOR) | September 2026 | (2 | ) | (525,753 | ) | 441 | 0.11 | % | ||||||||||
NYM Light Sweet Crude Oil (WTI) Future | May 2024 | (6 | ) | (521,580 | ) | 13,313 | 3.19 | % | ||||||||||
EUX 3 year Italian Bond Future | December 2023 | (4 | ) | (492,511 | ) | 1,221 | 0.29 | % | ||||||||||
CBT 5 year US Treasury Notes | December 2023 | (5 | ) | (484,949 | ) | 3,001 | 0.72 | % | ||||||||||
CBT 30 year US Treasury Bonds | December 2023 | (4 | ) | (469,723 | ) | 22,458 | 5.38 | % | ||||||||||
MGE Hard Red Spring Wheat Future | March 2024 | (12 | ) | (467,895 | ) | 21,894 | 5.24 | % | ||||||||||
CBT E-mini Dow | December 2023 | (3 | ) | (464,689 | ) | 3,514 | 0.84 | % | ||||||||||
CME CME E-Mini Russell 2000 Index | December 2023 | (5 | ) | (454,430 | ) | 8,397 | 2.01 | % | ||||||||||
MSE Three Month Canadian Bankers Acceptance Future | June 2024 | (2 | ) | (433,155 | ) | 1,527 | 0.37 | % | ||||||||||
CME Feeder Cattle Future | November 2023 | (3 | ) | (430,074 | ) | 1,072 | 0.26 | % | ||||||||||
SFE SPI 200 Index | December 2023 | (4 | ) | (424,522 | ) | 765 | 0.18 | % | ||||||||||
IFLL 3 Month SONIA Index | September 2026 | (1 | ) | (414,866 | ) | (185 | ) | -0.04 | % | |||||||||
NYM Light Sweet Crude Oil (WTI) Future | October 2023 | (4 | ) | (369,821 | ) | (24,991 | ) | -5.99 | % | |||||||||
LIF Long Gilt Future | December 2023 | (3 | ) | (367,967 | ) | 1,038 | 0.25 | % | ||||||||||
MSE 10 year Canadian Govt Bond | December 2023 | (4 | ) | (363,853 | ) | 9,485 | 2.27 | % | ||||||||||
(75,201,298 | ) | 582,727 |
FORWARD FOREIGN CURRENCY CONTRACTS
Settlement Date | Counterparty | Currency Units to Receive/(Deliver) | In Exchange For | Unrealized Appreciation (Depreciation) | Percentage of Custom Swap's Unrealized Appreciation (Depreciation) | |||||||||||
12/20/2023 | Deutsche Bank | (58,166,362) JPY | 400,896 USD | 6,160 | 1.48 | % | ||||||||||
12/20/2023 | Deutsche Bank | (32,120,587) INO | 384,838 USD | (308 | ) | -0.07 | % |
^ | These investments are not direct holdings of the Fund. The holdings were determined based on the absolute notional values of the positions within the underlying swap basket. |