FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
March 31, 2024 |
Shares | Fair Value | |||||||
COMMON STOCKS — 15.4% | ||||||||
ADVERTISING & MARKETING - 0.0%(a) | ||||||||
42 | Omnicom Group, Inc. | $ | 4,064 | |||||
AEROSPACE & DEFENSE - 0.1% | ||||||||
29 | AeroVironment, Inc.(b) | 4,445 | ||||||
18 | Dassault Aviation S.A.(c) | 3,961 | ||||||
1,377 | Saab A.B. (c) | 122,448 | ||||||
22 | Teledyne Technologies, Inc.(b) | 9,445 | ||||||
140,299 | ||||||||
APPAREL & TEXTILE PRODUCTS - 0.1% | ||||||||
20 | adidas A.G.(c) | 4,466 | ||||||
112 | Gildan Activewear, Inc. (c) | 4,157 | ||||||
35 | Hermes International SCA(c) | 89,331 | ||||||
86 | LVMH Moet Hennessy Louis Vuitton S.E.(c) | 77,344 | ||||||
252 | NIKE, Inc., Class B | 23,683 | ||||||
198,981 | ||||||||
ASSET MANAGEMENT - 0.1% | ||||||||
1,269 | Apollo Global Management, Inc. | 142,699 | ||||||
110 | BlackRock, Inc. | 91,707 | ||||||
1,482 | EQT A.B. (c) | 46,872 | ||||||
46 | Groupe Bruxelles Lambert N.V. (c) | 3,477 | ||||||
171 | Intermediate Capital Group PLC(c) | 4,433 | ||||||
289,188 | ||||||||
AUTOMOTIVE - 0.1% | ||||||||
1,084 | Niterra Company Ltd.(c) | 35,852 | ||||||
251 | Rheinmetall A.G. (c) | 141,069 | ||||||
702 | Tesla, Inc.(b) | 123,405 | ||||||
300,326 | ||||||||
BANKING - 0.5% | ||||||||
32,383 | Banco Santander S.A.(c) | 157,950 | ||||||
2,216 | Bank of America Corporation | 84,031 | ||||||
398 | Bank of Ireland Group PLC(c) | 4,057 | ||||||
99 | BNP Paribas S.A.(c) | 7,034 | ||||||
891 | CaixaBank S.A. (c) | 4,319 | ||||||
534 | Commonwealth Bank of Australia(c) | 41,875 |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
March 31, 2024 |
Shares | Fair Value | |||||||
COMMON STOCKS — 15.4% (Continued) | ||||||||
BANKING - 0.5% (Continued) | ||||||||
8,608 | HSBC Holdings PLC(c) | $ | 67,249 | |||||
3,226 | Intesa Sanpaolo SpA(c) | 11,703 | ||||||
1,586 | JPMorgan Chase & Company | 317,675 | ||||||
56 | KBC Group N.V.(c) | 4,194 | ||||||
43 | Macquarie Group Ltd. (c) | 5,596 | ||||||
6,552 | Mitsubishi UFJ Financial Group, Inc.(c) | 66,434 | ||||||
374 | Nordea Bank Abp(c) | 4,164 | ||||||
651 | Royal Bank of Canada(c) | 65,666 | ||||||
374 | Toronto-Dominion Bank (The) (c) | 22,574 | ||||||
1,151 | Wells Fargo & Company | 66,712 | ||||||
931,233 | ||||||||
BEVERAGES - 0.3% | ||||||||
3,503 | Celsius Holdings, Inc.(b) | 290,469 | ||||||
4,380 | Monster Beverage Corporation(b) | 259,646 | ||||||
550,115 | ||||||||
BIOTECHNOLOGY & PHARMACEUTICALS - 0.7% | ||||||||
540 | AbbVie, Inc. | 98,334 | ||||||
244 | Amgen, Inc. | 69,374 | ||||||
789 | AstraZeneca PLC(c) | 106,331 | ||||||
119 | Bayer A.G. (c) | 3,650 | ||||||
960 | Bristol-Myers Squibb Company | 52,061 | ||||||
625 | CSL Ltd.(c) | 117,262 | ||||||
429 | Eli Lilly & Company | 333,744 | ||||||
845 | Johnson & Johnson | 133,671 | ||||||
772 | Merck & Company, Inc. | 101,865 | ||||||
2,028 | Novo Nordisk A/S(c) | 258,495 | ||||||
979 | Rhythm Pharmaceuticals, Inc.(b) | 42,420 | ||||||
340 | Sanofi S.A.(c) | 33,362 | ||||||
1,671 | Structure Therapeutics, Inc. - ADR(b) | 71,619 | ||||||
1,137 | Viking Therapeutics, Inc.(b) | 93,234 | ||||||
1,515,422 | ||||||||
CABLE & SATELLITE - 0.0%(a) | ||||||||
1,234 | Comcast Corporation, Class A | 53,494 |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
March 31, 2024 |
Shares | Fair Value | |||||||
COMMON STOCKS — 15.4% (Continued) | ||||||||
CHEMICALS - 0.1% | ||||||||
32 | Arkema S.A.(c) | $ | 3,367 | |||||
210 | Dow, Inc. | 12,165 | ||||||
654 | Sherwin-Williams Company (The) | 227,154 | ||||||
26 | Yara International ASA(c) | 821 | ||||||
243,507 | ||||||||
COMMERCIAL SUPPORT SERVICES - 0.2% | ||||||||
3,896 | Castellum A.B.(b) (c) | 51,275 | ||||||
210 | Compass Group PLC(c) | 6,157 | ||||||
1,897 | Daiseki Company Ltd. (c) | 46,175 | ||||||
68 | Intertek Group PLC(c) | 4,278 | ||||||
1,670 | Recruit Holdings Company Ltd. (c) | 73,126 | ||||||
334 | Republic Services, Inc. | 63,941 | ||||||
601 | Waste Connections, Inc. (c) | 103,333 | ||||||
373 | Waste Management, Inc. | 79,505 | ||||||
427,790 | ||||||||
CONSTRUCTION MATERIALS - 0.1% | ||||||||
1,199 | Holcim A.G.(c) | 108,568 | ||||||
994 | Kingspan Group PLC(c) | 90,564 | ||||||
206 | Owens Corning | 34,361 | ||||||
233,493 | ||||||||
CONTAINERS & PACKAGING - 0.1% | ||||||||
664 | AptarGroup, Inc. | 95,543 | ||||||
4,314 | Billerud Aktiebolag(c) | 38,692 | ||||||
134,235 | ||||||||
DATA CENTER REIT - 0.1% | ||||||||
161 | Equinix, Inc. | 132,878 | ||||||
DIVERSIFIED INDUSTRIALS - 0.2% | ||||||||
689 | Eaton Corporation PLC | 215,437 | ||||||
1,434 | Emerson Electric Company | 162,644 | ||||||
378,081 | ||||||||
E-COMMERCE DISCRETIONARY - 0.3% | ||||||||
3,095 | Amazon.com, Inc.(b) | 558,276 |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
March 31, 2024 |
Shares | Fair Value | |||||||
COMMON STOCKS — 15.4% (Continued) | ||||||||
ELECTRIC UTILITIES - 0.7% | ||||||||
3,503 | AES Corporation (The) | $ | 62,809 | |||||
1,401 | Alliant Energy Corporation | 70,610 | ||||||
822 | Ameren Corporation | 60,795 | ||||||
1,335 | American Electric Power Company, Inc. | 114,944 | ||||||
1,721 | Boralex, Inc. (c) | 36,366 | ||||||
881 | Consolidated Edison, Inc. | 80,004 | ||||||
469 | Constellation Energy Corporation | 86,695 | ||||||
486 | Duke Energy Corporation | 47,001 | ||||||
2,088 | Edison International | 147,684 | ||||||
465 | EDP Renovaveis S.A. (c) | 6,293 | ||||||
9,611 | Enel SpA(c) | 63,441 | ||||||
1,086 | Engie S.A.(c) | 18,170 | ||||||
1,187 | Evergy, Inc. | 63,362 | ||||||
1,122 | Eversource Energy | 67,062 | ||||||
318 | Hydro One Ltd. (c) | 9,274 | ||||||
6,400 | Iberdrola S.A. (c) | 79,361 | ||||||
3,498 | National Grid PLC(c) | 47,062 | ||||||
1,749 | NextEra Energy, Inc. | 111,779 | ||||||
654 | Pinnacle West Capital Corporation | 48,873 | ||||||
802 | PNM Resources, Inc. | 30,187 | ||||||
584 | Public Service Enterprise Group, Inc. | 39,000 | ||||||
515 | RWE A.G. (c) | 17,478 | ||||||
1,175 | SEMPRA | 84,400 | ||||||
1,003 | Southern Company (The) | 71,955 | ||||||
974 | WEC Energy Group, Inc. | 79,985 | ||||||
1,544,590 | ||||||||
ELECTRICAL EQUIPMENT - 0.6% | ||||||||
1,191 | AMETEK, Inc. | 217,835 | ||||||
1,149 | Amphenol Corporation, Class A | 132,537 | ||||||
755 | Assa Abloy A.B., Class B(c) | 21,657 | ||||||
815 | Daikin Industries Ltd. (c) | 110,954 | ||||||
433 | Hubbell, Inc. | 179,717 | ||||||
105 | Lennox International, Inc. | 51,320 | ||||||
514 | Nibe Industrier A.B. (c) | 2,523 |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
March 31, 2024 |
Shares | Fair Value | |||||||
COMMON STOCKS — 15.4% (Continued) | ||||||||
ELECTRICAL EQUIPMENT - 0.6% (Continued) | ||||||||
21 | Novanta, Inc.(b) | $ | 3,670 | |||||
1,931 | nVent Electric PLC | 145,597 | ||||||
15 | Schindler Holding A.G. (c) | 3,777 | ||||||
753 | Schneider Electric S.E.(c) | 170,298 | ||||||
512 | Trane Technologies PLC | 153,702 | ||||||
1,193,587 | ||||||||
ENGINEERING & CONSTRUCTION - 0.2% | ||||||||
180 | AECOM | 17,654 | ||||||
222 | Arcosa, Inc. | 19,061 | ||||||
3,150 | Cellnex Telecom S.A. (c) | 111,355 | ||||||
82 | Comfort Systems USA, Inc. | 26,052 | ||||||
314 | Construction Partners, Inc., Class A(b) | 17,631 | ||||||
528 | Fluor Corporation(b) | 22,324 | ||||||
298 | Granite Construction, Inc. | 17,025 | ||||||
244 | Installed Building Products, Inc. | 63,131 | ||||||
143 | Jacobs Solutions, Inc. | 21,983 | ||||||
323 | KBR, Inc. | 20,562 | ||||||
211 | Primoris Services Corporation | 8,982 | ||||||
94 | Quanta Services, Inc. | 24,421 | ||||||
256 | Sterling Infrastructure, Inc.(b) | 28,239 | ||||||
113 | Tetra Tech, Inc. | 20,872 | ||||||
111 | TopBuild Corporation(b) | 48,921 | ||||||
468,213 | ||||||||
ENTERTAINMENT CONTENT - 0.1% | ||||||||
234 | Capcom Company Ltd. (c) | 4,368 | ||||||
148 | Konami Group Corporation(c) | 10,040 | ||||||
104 | Square Enix Holdings Company Ltd. (c) | 4,000 | ||||||
546 | Take-Two Interactive Software, Inc.(b) | 81,075 | ||||||
99,483 | ||||||||
FOOD - 0.6% | ||||||||
707 | Bakkafrost P/F(c) | 45,384 | ||||||
5,852 | BellRing Brands, Inc.(b) | 345,444 | ||||||
4,813 | Mowi ASA(c) | 88,187 | ||||||
1,995 | Nestle S.A.(c) | 211,813 |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
March 31, 2024 |
Shares | Fair Value | |||||||
COMMON STOCKS — 15.4% (Continued) | ||||||||
FOOD - 0.6% (Continued) | ||||||||
128 | Salmar ASA(c) | $ | 8,433 | |||||
7,159 | Simply Good Foods Company (The)(b) | 243,621 | ||||||
8,628 | Vital Farms, Inc.(b) | 200,601 | ||||||
1,143,483 | ||||||||
FORESTRY, PAPER & WOOD PRODUCTS - 0.0%(a) | ||||||||
970 | West Fraser Timber Company Ltd. | 83,764 | ||||||
GAS & WATER UTILITIES - 0.1% | ||||||||
883 | American Water Works Company, Inc. | 107,911 | ||||||
1,078 | Veolia Environnement S.A. | 35,038 | ||||||
142,949 | ||||||||
HEALTH CARE FACILITIES & SERVICES - 1.4% | ||||||||
4,726 | Cardinal Health, Inc. | 528,839 | ||||||
2,332 | Cencora, Inc. | 566,652 | ||||||
1,270 | Centene Corporation(b) | 99,670 | ||||||
589 | Cigna Group (The) | 213,919 | ||||||
831 | CVS Health Corporation | 66,281 | ||||||
477 | Elevance Health, Inc. | 247,344 | ||||||
316 | Humana, Inc. | 109,564 | ||||||
14 | Lonza Group A.G. (c) | 8,386 | ||||||
1,207 | McKesson Corporation | 647,977 | ||||||
167 | Molina Healthcare, Inc.(b) | 68,609 | ||||||
697 | UnitedHealth Group, Inc. | 344,806 | ||||||
2,902,047 | ||||||||
HOME CONSTRUCTION - 0.7% | ||||||||
215 | Armstrong World Industries, Inc. | 26,707 | ||||||
1,019 | AZEK Company, Inc. (The)(b) | 51,174 | ||||||
1,398 | DR Horton, Inc. | 230,041 | ||||||
585 | Fortune Brands Innovations, Inc. | 49,532 | ||||||
2,288 | KB Home | 162,173 | ||||||
696 | Lennar Corporation, Class A | 119,698 | ||||||
502 | LGI Homes, Inc.(b) | 58,418 | ||||||
378 | Masco Corporation | 29,817 | ||||||
43 | Masonite International Corporation(b) | 5,652 |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
March 31, 2024 |
Shares | Fair Value | |||||||
COMMON STOCKS — 15.4% (Continued) | ||||||||
HOME CONSTRUCTION - 0.7% (Continued) | ||||||||
297 | Meritage Homes Corporation | $ | 52,112 | |||||
22 | NVR, Inc.(b) | 178,199 | ||||||
1,432 | PulteGroup, Inc. | 172,728 | ||||||
1,918 | Taylor Morrison Home Corporation(b) | 119,242 | ||||||
932 | Toll Brothers, Inc. | 120,573 | ||||||
2,501 | Tri Pointe Homes, Inc.(b) | 96,689 | ||||||
1,472,755 | ||||||||
HOUSEHOLD PRODUCTS - 0.3% | ||||||||
1,351 | Church & Dwight Company, Inc. | 140,923 | ||||||
156 | Colgate-Palmolive Company | 14,048 | ||||||
45 | Estee Lauder Companies, Inc. (The), Class A | 6,937 | ||||||
1,545 | Procter & Gamble Company (The) | 250,676 | ||||||
287 | Reckitt Benckiser Group PLC(c) | 16,343 | ||||||
3,432 | Unicharm Corporation(c) | 109,247 | ||||||
538,174 | ||||||||
INDUSTRIAL REIT - 0.1% | ||||||||
783 | Prologis, Inc. | 101,962 | ||||||
130 | Warehouses De Pauw CVA | 3,711 | ||||||
105,673 | ||||||||
INDUSTRIAL SUPPORT SERVICES - 0.1% | ||||||||
53 | Ashtead Group PLC(c) | 3,773 | ||||||
181 | Ferguson PLC | 39,536 | ||||||
372 | SiteOne Landscape Supply, Inc.(b) | 64,932 | ||||||
23 | United Rentals, Inc. | 16,586 | ||||||
124,827 | ||||||||
INFRASTRUCTURE REIT - 0.0%(a) | ||||||||
94 | American Tower Corporation, Class A | 18,573 | ||||||
INSTITUTIONAL FINANCIAL SERVICES - 0.1% | ||||||||
191 | CME Group, Inc. | 41,120 | ||||||
135 | Deutsche Boerse A.G.(c) | 27,619 | ||||||
689 | Interactive Brokers Group, Inc., Class A | 76,969 | ||||||
299 | London Stock Exchange Group PLC(c) | 35,812 |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
March 31, 2024 |
Shares | Fair Value | |||||||
COMMON STOCKS — 15.4% (Continued) | ||||||||
INSTITUTIONAL FINANCIAL SERVICES - 0.1% (Continued) | ||||||||
252 | Morgan Stanley | $ | 23,728 | |||||
205,248 | ||||||||
INSURANCE - 0.5% | ||||||||
27 | Allstate Corporation (The) | 4,671 | ||||||
41 | Aon PLC, Class A | 13,683 | ||||||
114 | Arch Capital Group Ltd.(b) | 10,538 | ||||||
395 | Arthur J Gallagher & Company | 98,766 | ||||||
501 | Berkshire Hathaway, Inc., Class B(b) | 210,681 | ||||||
486 | Chubb Ltd. | 125,937 | ||||||
276 | Coface S.A. (c) | 4,362 | ||||||
129 | Fairfax Financial Holdings Ltd. (c) | 139,065 | ||||||
1,109 | Hartford Financial Services Group, Inc. (The) | 114,282 | ||||||
149 | Marsh & McLennan Companies, Inc. | 30,691 | ||||||
876 | MS&AD Insurance Group Holdings, Inc.(c) | 15,418 | ||||||
178 | Progressive Corporation (The) | 36,814 | ||||||
126 | SCOR S.E.(c) | 4,359 | ||||||
5 | Swiss Life Holding A.G. (c) | 3,505 | ||||||
817 | Tokio Marine Holdings, Inc.(c) | 25,499 | ||||||
501 | Travelers Companies, Inc. (The) | 115,300 | ||||||
877 | Voya Financial, Inc. | 64,828 | ||||||
1,018,399 | ||||||||
INTERNET MEDIA & SERVICES - 0.7% | ||||||||
4,576 | Adevinta ASA(b)(c) | 47,960 | ||||||
1,004 | Airbnb, Inc., Class A(b) | 165,620 | ||||||
1,789 | Alphabet, Inc., Class A(b) | 270,013 | ||||||
1,560 | Alphabet, Inc., Class C(b) | 237,525 | ||||||
401 | Auto Trader Group PLC(c) | 3,544 | ||||||
20 | Booking Holdings, Inc. | 72,558 | ||||||
639 | Expedia Group, Inc.(b) | 88,022 | ||||||
744 | Meta Platforms, Inc., Class A | 361,272 | ||||||
172 | Netflix, Inc.(b) | 104,461 | ||||||
30 | REA Group Ltd. (c) | 3,626 | ||||||
500 | Rightmove PLC(c) | 3,468 | ||||||
379 | Shopify, Inc., Class A(b) (c) | 29,242 |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
March 31, 2024 |
Shares | Fair Value | |||||||
COMMON STOCKS — 15.4% (Continued) | ||||||||
INTERNET MEDIA & SERVICES - 0.7% (Continued) | ||||||||
49 | Spotify Technology S.A.(b) | $ | 12,931 | |||||
1,885 | Uber Technologies, Inc.(b) | 145,126 | ||||||
1,545,368 | ||||||||
LEISURE FACILITIES & SERVICES - 0.2% | ||||||||
87 | Chipotle Mexican Grill, Inc.(b) | 252,888 | ||||||
219 | McDonald’s Corporation | 61,747 | ||||||
1,094 | Starbucks Corporation | 99,981 | ||||||
1,026 | TKO Group Holdings, Inc. | 88,657 | ||||||
503,273 | ||||||||
MACHINERY - 0.1% | ||||||||
1,580 | Atlas Copco A.B. (c) | 26,683 | ||||||
303 | Atlas Copco A.B. (c) | 4,476 | ||||||
702 | Crane Company | 94,861 | ||||||
1,186 | Ingersoll Rand, Inc. | 112,611 | ||||||
301 | TOMRA Systems ASA(c) | 4,700 | ||||||
243,331 | ||||||||
MEDICAL EQUIPMENT & DEVICES - 0.2% | ||||||||
1,099 | Boston Scientific Corporation(b) | 75,271 | ||||||
324 | Cochlear Ltd. (c) | 71,261 | ||||||
930 | Edwards Lifesciences Corporation(b) | 88,871 | ||||||
1,051 | Hoya Corporation(c) | 130,759 | ||||||
26 | Illumina, Inc.(b) | 3,570 | ||||||
224 | Insulet Corporation(b) | 38,394 | ||||||
31 | Mettler-Toledo International, Inc.(b) | 41,270 | ||||||
449,396 | ||||||||
METALS & MINING - 0.1% | ||||||||
20,985 | Denison Mines Corporation(b) (c) | 41,058 | ||||||
4,755 | Energy Fuels, Inc.(b) (c) | 29,736 | ||||||
645 | Franco-Nevada Corporation | 76,859 | ||||||
170 | Glencore PLC(c) | 934 | ||||||
724 | Hecla Mining Company | 3,482 | ||||||
1,115 | Newmont Corporation | 39,962 | ||||||
217 | Pan American Silver Corporation | 3,272 | ||||||
590 | Rio Tinto Ltd.(c) | 46,812 |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
March 31, 2024 |
Shares | Fair Value | |||||||
COMMON STOCKS — 15.4% (Continued) | ||||||||
METALS & MINING - 0.1% (Continued) | ||||||||
933 | Rio Tinto PLC(c) | $ | 59,077 | |||||
30 | Royal Gold, Inc. | 3,654 | ||||||
304,846 | ||||||||
MULTI ASSET CLASS REIT - 0.0%(a) | ||||||||
5,127 | Segro PLC(c) | 58,483 | ||||||
OIL & GAS PRODUCERS - 0.2% | ||||||||
3,607 | Antero Resources Corporation(b) | 104,602 | ||||||
1,415 | BP PLC(c) | 8,853 | ||||||
1,797 | CNX Resources Corporation(b) | 42,625 | ||||||
4,598 | Eni SpA(c) | 72,655 | ||||||
3,374 | Itochu Enex Company Ltd. (c) | 34,701 | ||||||
1,896 | Ovintiv, Inc. | 98,402 | ||||||
1,299 | Parkland Corporation(c) | 41,375 | ||||||
403,213 | ||||||||
OIL & GAS SERVICES & EQUIPMENT - 0.1% | ||||||||
8,879 | Aker Solutions ASA(c) | 31,744 | ||||||
3,729 | Baker Hughes Company | 124,923 | ||||||
2,220 | Expro Group Holdings N.V.(b) | 44,333 | ||||||
1,872 | Schlumberger Ltd. | 102,604 | ||||||
303,604 | ||||||||
PUBLISHING & BROADCASTING - 0.0%(a) | ||||||||
3,700 | Future PLC(c) | 28,626 | ||||||
128 | Schibsted ASA(c) | 4,088 | ||||||
32,714 | ||||||||
RESIDENTIAL REIT - 0.0%(a) | ||||||||
19 | AvalonBay Communities, Inc. | 3,526 | ||||||
273 | UNITE Group PLC (The) | 3,370 | ||||||
6,896 | ||||||||
RETAIL - CONSUMER STAPLES - 1.1% | ||||||||
1,246 | Costco Wholesale Corporation | 912,857 | ||||||
2,671 | Kroger Company (The) | 152,594 | ||||||
17,708 | Tesco PLC(c) | 66,288 |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
March 31, 2024 |
Shares | Fair Value | |||||||
COMMON STOCKS — 15.4% (Continued) | ||||||||
RETAIL - CONSUMER STAPLES - 1.1% (Continued) | ||||||||
19,019 | Walmart, Inc. | $ | 1,144,373 | |||||
2,276,112 | ||||||||
RETAIL - DISCRETIONARY - 0.4% | ||||||||
449 | Brunello Cucinelli SpA(c) | 51,342 | ||||||
286 | Builders FirstSource, Inc.(b) | 59,645 | ||||||
116 | Floor & Decor Holdings, Inc., Class A(b) | 15,036 | ||||||
619 | Home Depot, Inc. (The) | 237,448 | ||||||
39,617 | JD Sports Fashion PLC(c) | 67,251 | ||||||
501 | Lowe’s Companies, Inc. | 127,620 | ||||||
210 | Lululemon Athletica, Inc.(b) | 82,037 | ||||||
903 | Pets at Home Group PLC(c) | 3,059 | ||||||
1,122 | TJX Companies, Inc. (The) | 113,793 | ||||||
757,231 | ||||||||
RETAIL REIT - 0.0%(a) | ||||||||
63 | Realty Income Corporation | 3,408 | ||||||
SELF-STORAGE REIT - 0.0%(a) | ||||||||
235 | Big Yellow Group PLC | 3,156 | ||||||
31 | Public Storage | 8,992 | ||||||
12,148 | ||||||||
SEMICONDUCTORS - 0.9% | ||||||||
559 | Applied Materials, Inc. | 115,283 | ||||||
262 | BE Semiconductor Industries N.V.(c) | 40,106 | ||||||
207 | Broadcom, Inc. | 274,360 | ||||||
258 | Infineon Technologies A.G.(c) | 8,771 | ||||||
104 | KLA Corporation | 72,651 | ||||||
121 | Lam Research Corporation | 117,560 | ||||||
285 | Microchip Technology, Inc. | 25,567 | ||||||
1,078 | Micron Technology, Inc. | 127,085 | ||||||
866 | NVIDIA Corporation | 782,484 | ||||||
359 | NXP Semiconductors N.V. | 88,949 | ||||||
357 | QUALCOMM, Inc. | 60,440 | ||||||
565 | Taiwan Semiconductor Manufacturing Company Ltd. - ADR | 76,868 | ||||||
1,790,124 |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
March 31, 2024 |
Shares | Fair Value | |||||||
COMMON STOCKS — 15.4% (Continued) | ||||||||
SOFTWARE - 1.1% | ||||||||
150 | Adobe, Inc.(b) | $ | 75,690 | |||||
525 | Akamai Technologies, Inc.(b) | 57,099 | ||||||
202 | ANSYS, Inc.(b) | 70,126 | ||||||
82 | Autodesk, Inc.(b) | 21,354 | ||||||
342 | Cadence Design Systems, Inc.(b) | 106,458 | ||||||
20 | Cloudflare, Inc., Class A(b) | 1,937 | ||||||
32 | Crowdstrike Holdings, Inc., Class A(b) | 10,259 | ||||||
141 | Dassault Systemes S.E. (c) | 6,242 | ||||||
137 | Elastic N.V.(b) | 13,733 | ||||||
199 | Fortinet, Inc.(b) | 13,594 | ||||||
46 | HubSpot, Inc.(b) | 28,822 | ||||||
115 | Intuit, Inc. | 74,750 | ||||||
360 | JFrog Ltd.(b) | 15,919 | ||||||
2,475 | Microsoft Corporation | 1,041,281 | ||||||
63 | nCino, Inc.(b) | 2,355 | ||||||
40 | Okta, Inc.(b) | 4,185 | ||||||
1,056 | Oracle Corporation | 132,644 | ||||||
186 | Palo Alto Networks, Inc.(b) | 52,848 | ||||||
146 | Pegasystems, Inc. | 9,437 | ||||||
21 | PTC, Inc.(b) | 3,968 | ||||||
85 | Qualys, Inc.(b) | 14,184 | ||||||
102 | Rapid7, Inc.(b) | 5,002 | ||||||
83 | Roper Technologies, Inc. | 46,550 | ||||||
435 | Salesforce, Inc. | 131,013 | ||||||
323 | SAP S.E.(c) | 62,879 | ||||||
181 | ServiceNow, Inc.(b) | 137,994 | ||||||
211 | Smartsheet, Inc., Class A(b) | 8,124 | ||||||
35 | Synopsys, Inc.(b) | 20,003 | ||||||
189 | Tenable Holdings, Inc.(b) | 9,342 | ||||||
9 | Tyler Technologies, Inc.(b) | 3,825 | ||||||
78 | Varonis Systems, Inc.(b) | 3,679 | ||||||
39 | Veeva Systems, Inc., Class A(b) | 9,036 | ||||||
230 | Workday, Inc., Class A(b) | 62,733 | ||||||
2,257,065 |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
March 31, 2024 |
Shares | Fair Value | |||||||
COMMON STOCKS — 15.4% (Continued) | ||||||||
STEEL - 0.0%(a) | ||||||||
36 | ArcelorMittal S.A. (c) | $ | 989 | |||||
573 | Mitsui & Company Ltd.(c) | 26,657 | ||||||
27,646 | ||||||||
TECHNOLOGY HARDWARE - 0.4% | ||||||||
4,462 | Apple, Inc. | 765,144 | ||||||
450 | Nintendo Company Ltd.(c) | 24,550 | ||||||
520 | Panasonic Holdings Corporation(c) | 4,941 | ||||||
800 | Sony Group Corporation(c) | 68,327 | ||||||
15 | Super Micro Computer, Inc.(b) | 15,150 | ||||||
878,112 | ||||||||
TECHNOLOGY SERVICES - 0.8% | ||||||||
210 | Accenture PLC, Class A | 72,788 | ||||||
3 | Adyen N.V.(b) (c) | 5,074 | ||||||
1,499 | Amadeus IT Group S.A. (c) | 96,117 | ||||||
42 | Amdocs Ltd. | 3,796 | ||||||
83 | Automatic Data Processing, Inc. | 20,728 | ||||||
29 | Booz Allen Hamilton Holding Corporation | 4,305 | ||||||
386 | Broadridge Financial Solutions, Inc. | 79,076 | ||||||
103 | Computacenter PLC(c) | 3,505 | ||||||
263 | Corpay, Inc.(b) | 81,146 | ||||||
15 | Equifax, Inc. | 4,013 | ||||||
114 | Experian PLC(c) | 4,970 | ||||||
8 | FactSet Research Systems, Inc. | 3,635 | ||||||
25 | Fair Isaac Corporation(b) | 31,240 | ||||||
1,384 | Fiserv, Inc.(b) | 221,191 | ||||||
305 | International Business Machines Corporation | 58,243 | ||||||
616 | Mastercard, Inc., Class A | 296,647 | ||||||
53 | MSCI, Inc. | 29,704 | ||||||
1,079 | Netcompany Group A/S(b) (c) | 44,476 | ||||||
39 | Paychex, Inc. | 4,789 | ||||||
329 | PayPal Holdings, Inc.(b) | 22,040 | ||||||
926 | QinetiQ Group PLC(c) | 4,268 | ||||||
376 | RELX PLC(c) | 16,249 | ||||||
220 | S&P Global, Inc. | 93,599 |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
March 31, 2024 |
Shares | Fair Value | |||||||
COMMON STOCKS — 15.4% (Continued) | ||||||||
TECHNOLOGY SERVICES - 0.8% (Continued) | ||||||||
211 | Softcat PLC(c) | $ | 4,229 | |||||
17 | Verisk Analytics, Inc. | 4,007 | ||||||
1,256 | Visa, Inc., Class A | 350,524 | ||||||
400 | WEX, Inc.(b) | 95,012 | ||||||
133 | Wolters Kluwer N.V. (c) | 20,832 | ||||||
1,676,203 | ||||||||
TELECOMMUNICATIONS - 0.0%(a) | ||||||||
211 | TELUS Corporation(c) | 3,376 | ||||||
107 | T-Mobile US, Inc. | 17,465 | ||||||
1,333 | Verizon Communications, Inc. | 55,933 | ||||||
76,774 | ||||||||
TRANSPORTATION & LOGISTICS - 0.6% | ||||||||
1 | AP Moller - Maersk A/S, Class A(c) | 1,278 | ||||||
1,967 | Ardmore Shipping Corporation | 32,298 | ||||||
501 | Canadian National Railway Company | 65,987 | ||||||
1,319 | Canadian Pacific Kansas City Ltd. | 116,296 | ||||||
1,733 | Canadian Pacific Kansas City Ltd. (c) | 152,813 | ||||||
632 | CH Robinson Worldwide, Inc. | 48,120 | ||||||
1,983 | CSX Corporation | 73,510 | ||||||
6,036 | DHT Holdings, Inc. | 69,414 | ||||||
486 | DSV A/S(c) | 78,866 | ||||||
2,183 | Euronav N.V. | 36,303 | ||||||
691 | Expeditors International of Washington, Inc. | 84,005 | ||||||
4,409 | Frontline PLC | 103,082 | ||||||
1,777 | International Seaways, Inc. | 94,536 | ||||||
11 | Kuehne + Nagel International A.G. (c) | 3,062 | ||||||
238 | Norfolk Southern Corporation | 60,659 | ||||||
891 | Scorpio Tankers, Inc. | 63,751 | ||||||
1,331 | Teekay Tankers Ltd., Class A | 77,744 | ||||||
413 | Union Pacific Corporation | 101,569 | ||||||
1,263,293 | ||||||||
WHOLESALE - CONSUMER STAPLES - 0.0%(a) | ||||||||
536 | ITOCHU Corporation(c) | 22,886 |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
March 31, 2024 |
Shares | Fair Value | |||||||||||
COMMON STOCKS — 15.4% (Continued) | ||||||||||||
WHOLESALE - DISCRETIONARY - 0.0%(a) | ||||||||||||
68 | Pool Corporation | $ | 27,438 | |||||||||
711 | Toyota Tsusho Corporation(c) | 48,515 | ||||||||||
75,953 | ||||||||||||
TOTAL COMMON STOCKS (Cost $28,377,448) | 32,121,226 | |||||||||||
EXCHANGE-TRADED FUNDS — 0.3% | ||||||||||||
EQUITY - 0.3% | ||||||||||||
11,882 | iShares MSCI Taiwan ETF | 578,416 | ||||||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $549,780) | 578,416 | |||||||||||
Principal | ||||||||||||
Amount ($) | Yield (%) | Maturity | ||||||||||
U.S. GOVERNMENT & AGENCIES — 50.9% | ||||||||||||
U.S. TREASURY BILLS — 50.9% | ||||||||||||
9,100,000 | United States Treasury Bill | 5.0500 | 04/18/24 | 9,077,380 | ||||||||
10,150,000 | United States Treasury Bill | 5.1300 | 04/25/24 | 10,114,429 | ||||||||
10,500,000 | United States Treasury Bill | 5.2100 | 05/02/24 | 10,452,264 | ||||||||
10,200,000 | United States Treasury Bill | 5.2200 | 05/16/24 | 10,133,332 | ||||||||
11,200,000 | United States Treasury Bill | 5.2600 | 05/23/24 | 11,115,083 | ||||||||
10,200,000 | United States Treasury Bill | 5.2000 | 06/04/24 | 10,106,332 | ||||||||
11,000,000 | United States Treasury Bill | 5.2800 | 06/20/24 | 10,872,486 | ||||||||
10,500,000 | United States Treasury Bill | 5.3000 | 07/02/24 | 10,360,104 | ||||||||
12,000,000 | United States Treasury Bill | 5.3100 | 07/16/24 | 11,816,002 | ||||||||
12,000,000 | United States Treasury Bill | 5.2900 | 08/01/24 | 11,789,794 | ||||||||
TOTAL U.S. GOVERNMENT & AGENCIES (Cost $105,840,008) | 105,837,206 |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
March 31, 2024 |
Contracts | Broker/ Counterparty | Expiration Date | Exercise Price | Notional Value | Fair Value | |||||||||||||||
CURRENCY OPTIONS PURCHASED - 0.3% | ||||||||||||||||||||
CALL OPTIONS PURCHASED - 0.1% | ||||||||||||||||||||
101,000 | AUDcNZDp Digi | JPPB | 04/22/2024 | 1.103 | 9,342 | $ | 10,029 | |||||||||||||
3,129,000 | AUDcUSDp Digi | JPPB | 09/17/2024 | 0.795 | 52,202 | 2,260 | ||||||||||||||
9,476,000 | EURcCHFp | JPPB | 09/06/2024 | 1.00 | 25,925 | 22,993 | ||||||||||||||
5,122,000 | EURcGBPp | JPPB | 04/05/2024 | 0.863 | 6,355 | 181 | ||||||||||||||
7,572,000 | USDcCNHp | JPPB | 04/15/2024 | 7.30 | 19,422 | 9,766 | ||||||||||||||
8,956,000 | USDcCNHp | JPPB | 04/25/2024 | 7.30 | 11,911 | 3,516 | ||||||||||||||
5,168,000 | USDcCNHp | JPPB | 04/25/2024 | 7.45 | 34,243 | 1,168 | ||||||||||||||
214,000 | USDcCNHp Digi | JPPB | 10/30/2024 | 7.50 | 22,149 | 24,192 | ||||||||||||||
216,000 | USDcCNHp Digi | JPPB | 10/18/2024 | 7.70 | 10,001 | 9,880 | ||||||||||||||
45,000 | USDcCNHp Digi | JPPB | 12/20/2024 | 7.775 | 1,798 | 2,380 | ||||||||||||||
13,524,000 | USDcJPYp | JPPB | 04/12/2024 | 150.15 | 15,553 | 41,362 | ||||||||||||||
4,861,000 | USDcJPYp | JPPB | 04/12/2024 | 152.00 | 7,787 | 5,959 | ||||||||||||||
3,913,000 | USDcJPYp | JPPB | 04/19/2024 | 155.00 | 6,261 | 2,913 | ||||||||||||||
30,683,000 | USDcJPYp | JPPB | 02/25/2025 | 175.00 | 39,810 | 39,125 | ||||||||||||||
145,000 | USDcJPYp Digi | JPPB | 05/02/2024 | 156.00 | 13,833 | 8,307 | ||||||||||||||
872,000 | USDcJPYp Digi | JPPB | 02/17/2025 | 171.00 | 36,929 | 25,648 | ||||||||||||||
3,656,000 | USDcKRWp | JPPB | 04/18/2024 | 1,400.00 | 19,084 | 1,280 | ||||||||||||||
2,661,000 | USDcMXNp | JPPB | 04/18/2024 | 16.90 | 5,402 | 1,573 | ||||||||||||||
1,758,000 | USDcMXNp | JPPB | 09/10/2024 | 18.20 | 20,621 | 13,926 | ||||||||||||||
5,558,000 | USDcTWDp | JPPB | 04/04/2024 | 31.73 | 9,659 | 45,230 | ||||||||||||||
10,499,000 | USDcTWDp | JPPB | 04/09/2024 | 33.00 | 56,726 | 518 | ||||||||||||||
11,123,000 | USDcTWDp | JPPB | 03/31/2025 | 33.50 | 78,508 | 77,116 | ||||||||||||||
TOTAL CALL OPTIONS PURCHASED (Cost - $503,524) | 349,322 | |||||||||||||||||||
PUT OPTIONS PURCHASED - 0.2% | ||||||||||||||||||||
3,515,000 | AUDpUSDc | JPPB | 06/26/2024 | 0.638 | 11,194 | 16,366 | ||||||||||||||
4,180,000 | EURpCHFc | JPPB | 04/16/2024 | 0.90 | 23,691 | 4 | ||||||||||||||
5,122,000 | EURpGBPc | JPPB | 04/05/2024 | 0.851 | 11,636 | 998 | ||||||||||||||
5,406,000 | EURpUSDc | JPPB | 04/13/2024 | 1.075 | 8,422 | 15,258 | ||||||||||||||
3,160,000 | EURpUSDc Digi | JPPB | 05/30/2024 | 1.00 | 98,761 | 8,359 | ||||||||||||||
256,000 | EURpUSDc Digi | JPPB | 09/27/2024 | 1.01 | 10,037 | 12,139 | ||||||||||||||
967,000 | EURpUSDc Digi | JPPB | 09/11/2024 | 1.05 | 117,914 | 167,412 | ||||||||||||||
1,578,000 | EURpUSDc Digi | JPPB | 04/30/2024 | 1.05 | 171,719 | 62,176 | ||||||||||||||
3,986,000 | GBPpUSDc | JPPB | 04/25/2024 | 1.255 | 6,592 | 5,947 | ||||||||||||||
114,000 | GBPpUSDc Digi | JPPB | 05/20/2024 | 1.23 | 15,877 | 15,982 | ||||||||||||||
730,000 | USDpJPYc iOT | JPPB | 12/03/2026 | 110.00 | 88,841 | 10,245 | ||||||||||||||
633,000 | USDpJPYc iOT | JPPB | 12/03/2026 | 110.00 | 111,870 | 49,922 | ||||||||||||||
129,000 | USDpTRYc Digi | JPPB | 11/11/2024 | 30.00 | 7,740 | 639 | ||||||||||||||
116,000 | USDpTRYc Digi | JPPB | 01/10/2025 | 32.00 | 9,112 | 1,387 | ||||||||||||||
5,558,000 | USDpTWDc | JPPB | 04/04/2024 | 31.17 | 9,659 | 80 |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
March 31, 2024 |
Contracts | Broker/ Counterparty | Expiration Date | Exercise Price | Notional Value | Fair Value | |||||||||||||||
CURRENCY OPTIONS PURCHASED - 0.3% (Continued) | ||||||||||||||||||||
PUT OPTIONS PURCHASED - 0.2% (Continued) | ||||||||||||||||||||
1,213,000 | XAUpUSDc iOT | JPPB | 10/02/2024 | 1,250.00 | 21,228 | $ | 245 | |||||||||||||
TOTAL PUT OPTIONS PURCHASED (Cost - $724,292) | 367,159 | |||||||||||||||||||
TOTAL CURRENCY OPTIONS PURCHASED (Cost - $1,227,816) | 716,481 | |||||||||||||||||||
OTC DUAL BINARY OPTIONS PURCHASED - 0.6% | ||||||||||||||||||||
PUT OPTIONS PURCHASED - 0.6% | ||||||||||||||||||||
453,000 | DEDZ4 > 152 and SX5E < 5375 | MSI | 12/23/2024 | 152.00 | 91,420 | 319,771 | ||||||||||||||
107,000 | EURUSD < 1.0625 and USDMXN < 17.00 | JPPB | 05/08/2024 | 1.063 | 5,029 | 9,371 | ||||||||||||||
210,000 | EURUSD < 1.0628 and US2YRSOFR < 3.749% | MSI | 07/09/2024 | 1.06 | 15,330 | 31 | ||||||||||||||
247,000 | GBPUSD < 1.2136 and SPX > 5067.25 | MSI | 09/23/2024 | 1.214 | 15,981 | 26,153 | ||||||||||||||
588,000 | GLD US > 194.3 and USO US < 64.254 | MSI | 08/19/2024 | 194.30 | 52,626 | 55,487 | ||||||||||||||
1,032,000 | GLD US > 198.93 and USO US < 60.651 | MSI | 08/19/2024 | 198.93 | 51,084 | 49,506 | ||||||||||||||
748,000 | SPX < 4652.75 and USDJPY < 145.42 | CIT | 04/18/2025 | 4,652.75 | 60,588 | 58,920 | ||||||||||||||
748,000 | SPX < 4652.75 and USDJPY < 145.42 | CIT | 03/24/2025 | 4,652.75 | 60,588 | 54,020 | ||||||||||||||
748,000 | SPX < 4757.30 and USDJPY < 142.39 | CIT | 04/18/2025 | 4,757.30 | 60,588 | 54,731 | ||||||||||||||
748,000 | SPX < 4757.30 and USDJPY < 142.39 | CIT | 03/24/2025 | 4,757.30 | 60,588 | 49,782 | ||||||||||||||
1,660,000 | SPX<4874.45andUSDJPY<144.452andCLV4<67.473 | CIT | 09/18/2024 | 4,874.45 | 79,680 | 21,933 | ||||||||||||||
1,660,000 | SPX<4874.45andUSDJPY<144.45andCLN4<69.075 | CIT | 06/17/2024 | 4,874.45 | 48,140 | 3,280 | ||||||||||||||
883,000 | SPX < 4911.79 and USDJPY < 143.288 | MER | 06/24/2024 | 4,911.79 | 48,124 | 11,598 | ||||||||||||||
2,168,000 | SPX<4996.53 andUSDJPY<148.45 andCLV4<69.82 | CIT | 09/18/2024 | 4,996.53 | 101,896 | 73,673 | ||||||||||||||
537,000 | SPX > 5167.45 and USDCNH > 7.25 | CIT | 01/20/2025 | 5,167.45 | 51,391 | 106,364 | ||||||||||||||
771,000 | SPX > 5510 and EURUSD < 1.04 | CIT | 12/23/2024 | 5,510.00 | 37,548 | 36,942 | ||||||||||||||
771,000 | SPX > 5510 and EURUSD < 1.04 | CIT | 11/25/2024 | 5,510.00 | 37,548 | 34,135 | ||||||||||||||
771,000 | SPX > 5599 and EURUSD < 1.05 | CIT | 12/23/2024 | 5,599.00 | 37,548 | 41,658 | ||||||||||||||
771,000 | SPX > 5599 and EURUSD < 1.05 | CIT | 11/25/2024 | 5,599.00 | 37,548 | 36,557 | ||||||||||||||
763,000 | SPX<4760.29andUS5YRSOFR<3.303Resettable2.5 | CIT | 06/24/2024 | 4,760.29 | 49,595 | 14,436 | ||||||||||||||
763,000 | SPX<4760.29andUS5YRSOFR<3.329Resettable2.5 | CIT | 07/22/2024 | 4,760.29 | 62,566 | 23,071 | ||||||||||||||
763,000 | SPX<4760.29andUS5YRSOFR<3.403Resettable2.5 | CIT | 06/24/2024 | 4,760.29 | 58,751 | 9,877 | ||||||||||||||
209,000 | SX5E < 5000.00 and DEDZ > 160.00 | MSI | 12/23/2024 | 5,000.00 | 55,852 | 28,269 | ||||||||||||||
TOTAL PUT OPTIONS PURCHASED (Cost - $1,180,007) | 1,119,565 | |||||||||||||||||||
TOTAL BINARY OPTIONS PURCHASED (Cost - $1,180,007) | 1,119,565 | |||||||||||||||||||
CORRELATION OPTIONS PURCHASED - 0.2%(d) | ||||||||||||||||||||
PUT OPTIONS PURCHASED - 0.2%(d) | ||||||||||||||||||||
26,000 | EURMXN GBPMXN Correlation | CIT | 04/09/2024 | 100.00 | 308,409 | 240,452 | ||||||||||||||
23,000 | USDZAR CADZAR Correlation | MSI | 05/15/2024 | 100.00 | 209,300 | 145,686 | ||||||||||||||
TOTAL PUT OPTIONS PURCHASED (Cost - $517,709) | 386,138 | |||||||||||||||||||
TOTAL CORRELATION OPTIONS PURCHASED (Cost - $517,709) | 386,138 |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
March 31, 2024 |
Contracts | Broker/ Counterparty | Expiration Date | Exercise Price | Notional Value | Fair Value | |||||||||||||||
INDEX OPTIONS PURCHASED - 0.2%(e)(f) | ||||||||||||||||||||
CALL OPTIONS PURCHASED - 0.2%(e)(f) | ||||||||||||||||||||
20 | EURO STOXX 50 Price EUR SX5E | MSO | 04/22/2024 | 4,925.00 | 1,016,684 | $ | 39,396 | |||||||||||||
20 | EURO STOXX 50 Price EUR SX5E | MSO | 04/22/2024 | 4,975.00 | 1,016,684 | 29,881 | ||||||||||||||
29 | EURO STOXX 50 Price EUR SX5E | MSO | 04/22/2024 | 5,025.00 | 1,474,192 | 30,596 | ||||||||||||||
9 | EURO STOXX 50 Price EUR SX5E | MSO | 04/22/2024 | 5,075.00 | 457,508 | 6,136 | ||||||||||||||
20 | EURO STOXX 50 Price EUR SX5E | MSO | 04/22/2024 | 5,100.00 | 1,016,684 | 10,507 | ||||||||||||||
9 | EURO STOXX 50 Price EUR SX5E | MSO | 04/22/2024 | 5,125.00 | 457,508 | 3,524 | ||||||||||||||
9 | EURO STOXX 50 Price EUR SX5E | MSO | 04/22/2024 | 5,175.00 | 457,508 | 1,767 | ||||||||||||||
142 | EURO STOXX 50 Price EUR SX5E | MSO | 05/20/2024 | 5,125.00 | 7,218,456 | 71,536 | ||||||||||||||
72 | EURO STOXX Banks Price EUR SX7E | MSO | 04/22/2024 | 134.00 | 501,516 | 21,359 | ||||||||||||||
72 | EURO STOXX Banks Price EUR SX7E | MSO | 04/22/2024 | 135.00 | 501,516 | 18,058 | ||||||||||||||
72 | EURO STOXX Banks Price EUR SX7E | MSO | 04/22/2024 | 137.00 | 501,516 | 12,233 | ||||||||||||||
72 | EURO STOXX Banks Price EUR SX7E | MSO | 04/22/2024 | 139.00 | 501,516 | 7,379 | ||||||||||||||
8 | FTSE 100 Index UKX | MSO | 04/22/2024 | 7,975.00 | 636,210 | 6,361 | ||||||||||||||
8 | FTSE 100 Index UKX | MSO | 04/22/2024 | 8,025.00 | 636,210 | 4,342 | ||||||||||||||
8 | FTSE 100 Index UKX | MSO | 04/22/2024 | 8,100.00 | 636,210 | 2,322 | ||||||||||||||
8 | FTSE 100 Index UKX | MSO | 04/22/2024 | 8,175.00 | 636,210 | 1,161 | ||||||||||||||
2 | Tokyo Stock Exchange Tokyo Stock Price Index TPX | MSO | 05/13/2024 | 2,775.00 | 55,372,400 | 5,945 | ||||||||||||||
2 | Tokyo Stock Exchange Tokyo Stock Price Index TPX | MSO | 05/13/2024 | 2,825.00 | 55,372,400 | 3,567 | ||||||||||||||
2 | Tokyo Stock Exchange Tokyo Stock Price Index TPX | MSO | 05/13/2024 | 2,850.00 | 55,372,400 | 2,708 | ||||||||||||||
2 | Tokyo Stock Exchange Tokyo Stock Price Index TPX | MSO | 05/13/2024 | 2,925.00 | 55,372,400 | 1,097 | ||||||||||||||
TOTAL CALL OPTIONS PURCHASED (Cost - $168,612) | 279,875 | |||||||||||||||||||
PUT OPTIONS PURCHASED - 0.0%(e)(f) | ||||||||||||||||||||
20 | EURO STOXX 50 Price EUR SX5E | MSO | 04/22/2024 | 4,650.00 | 1,016,684 | 841 | ||||||||||||||
20 | EURO STOXX 50 Price EUR SX5E | MSO | 04/22/2024 | 4,750.00 | 1,016,684 | 1,143 | ||||||||||||||
9 | EURO STOXX 50 Price EUR SX5E | MSO | 04/22/2024 | 4,800.00 | 457,508 | 641 | ||||||||||||||
20 | EURO STOXX 50 Price EUR SX5E | MSO | 04/22/2024 | 4,825.00 | 1,016,684 | 1,596 | ||||||||||||||
29 | EURO STOXX 50 Price EUR SX5E | MSO | 04/22/2024 | 4,875.00 | 1,474,492 | 3,066 | ||||||||||||||
9 | EURO STOXX 50 Price EUR SX5E | MSO | 04/22/2024 | 4,950.00 | 457,508 | 1,573 | ||||||||||||||
9 | EURO STOXX 50 Price EUR SX5E | MSO | 04/22/2024 | 5,000.00 | 457,508 | 2,281 | ||||||||||||||
72 | EURO STOXX Banks Price EUR SX7E | MSO | 04/22/2024 | 126.00 | 501,516 | 582 | ||||||||||||||
72 | EURO STOXX Banks Price EUR SX7E | MSO | 04/22/2024 | 129.00 | 501,516 | 777 | ||||||||||||||
72 | EURO STOXX Banks Price EUR SX7E | MSO | 04/22/2024 | 131.00 | 501,516 | 1,165 | ||||||||||||||
72 | EURO STOXX Banks Price EUR SX7E | MSO | 04/22/2024 | 132.00 | 501,516 | 1,359 | ||||||||||||||
8 | FTSE 100 Index UKX | MSO | 04/22/2024 | 7,725.00 | 636,210 | 1,414 | ||||||||||||||
8 | FTSE 100 Index UKX | MSO | 04/22/2024 | 7,825.00 | 636,210 | 2,878 | ||||||||||||||
8 | FTSE 100 Index UKX | MSO | 04/22/2024 | 7,875.00 | 636,210 | 4,190 | ||||||||||||||
8 | FTSE 100 Index UKX | MSO | 04/22/2024 | 7,925.00 | 636,210 | 6,008 | ||||||||||||||
2 | Tokyo Stock Exchange Tokyo Stock Price Index TPX | MSO | 05/13/2024 | 2,600.00 | 55,372,400 | 1,929 | ||||||||||||||
2 | Tokyo Stock Exchange Tokyo Stock Price Index TPX | MSO | 05/13/2024 | 2,650.00 | 55,372,400 | 3,105 | ||||||||||||||
2 | Tokyo Stock Exchange Tokyo Stock Price Index TPX | MSO | 05/13/2024 | 2,700.00 | 55,372,400 | 4,888 | ||||||||||||||
2 | Tokyo Stock Exchange Tokyo Stock Price Index TPX | MSO | 05/13/2024 | 2,750.00 | 55,372,400 | 7,662 | ||||||||||||||
TOTAL PUT OPTIONS PURCHASED (Cost - $113,937) | 47,098 | |||||||||||||||||||
TOTAL INDEX OPTIONS PURCHASED (Cost - $282,549) | 326,973 |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
March 31, 2024 |
Contracts | Broker/ Counterparty | Expiration Date | Exercise Price | Notional Value | Fair Value | |||||||||||||||
FUTURE OPTIONS PURCHASED - 0.3%(g) | ||||||||||||||||||||
CALL OPTIONS PURCHASED - 0.2%(g) | ||||||||||||||||||||
166 | 3 Month SOFR | MS | 12/16/2024 | 96.00 | 39,603,450 | $ | 60,175 | |||||||||||||
34 | AUD/USD Euro | MS | 04/08/2024 | 66.00 | 2,217,310 | 2,380 | ||||||||||||||
34 | AUD/USD Euro | MS | 04/08/2024 | 66.50 | 2,217,310 | 680 | ||||||||||||||
34 | AUD/USD Euro | MS | 04/08/2024 | 67.00 | 2,217,310 | 340 | ||||||||||||||
15 | Canadian Dollar | MS | 04/08/2024 | 74.50 | 1,108,125 | 450 | ||||||||||||||
15 | Canadian Dollar | MS | 04/08/2024 | 74.75 | 1,108,125 | 225 | ||||||||||||||
15 | Canadian Dollar | MS | 04/08/2024 | 75.00 | 1,108,125 | 75 | ||||||||||||||
15 | Canadian Dollar | MS | 04/08/2024 | 75.25 | 1,108,125 | 75 | ||||||||||||||
9 | Crude Oilfi) | MS | 04/18/2024 | 79.00 | 748,530 | 41,670 | ||||||||||||||
9 | Crude Oil(f) | MS | 04/18/2024 | 81.00 | 748,530 | 27,720 | ||||||||||||||
9 | Crude Oil(f) | MS | 04/18/2024 | 83.00 | 748,530 | 16,650 | ||||||||||||||
9 | Crude Oil(f) | MS | 04/18/2024 | 85.50 | 748,530 | 7,920 | ||||||||||||||
157 | EURIBOR 3M | MS | 12/17/2024 | 97.75 | 38,062,688 | 24,346 | ||||||||||||||
34 | S&P Emini | MS | 04/22/2024 | 5,350.00 | 9,024,450 | 56,950 | ||||||||||||||
49 | SX5E Dividend | MS | 12/23/2024 | 135.00 | 850,109 | 132,041 | ||||||||||||||
TOTAL CALL OPTIONS PURCHASED (Cost - $476,206) | 371,697 | |||||||||||||||||||
PUT OPTIONS PURCHASED - 0.1%(g) | ||||||||||||||||||||
34 | AUD/USD Euro | MS | 04/08/2024 | 64.00 | 2,217,310 | 680 | ||||||||||||||
34 | AUD/USD Euro | MS | 04/08/2024 | 65.00 | 2,217,310 | 5,780 | ||||||||||||||
34 | AUD/USD Euro | MS | 04/08/2024 | 65.50 | 2,217,310 | 13,260 | ||||||||||||||
15 | Canadian Dollar | MS | 04/08/2024 | 73.50 | 1,108,125 | 750 | ||||||||||||||
15 | Canadian Dollar | MS | 04/08/2024 | 73.75 | 1,108,125 | 1,800 | ||||||||||||||
15 | Canadian Dollar | MS | 04/08/2024 | 74.00 | 1,108,125 | 3,450 | ||||||||||||||
15 | Canadian Dollar | MS | 04/08/2024 | 74.25 | 1,108,125 | 5,700 | ||||||||||||||
9 | Crude Oil(f) | MS | 04/18/2024 | 70.50 | 748,530 | 450 | ||||||||||||||
9 | Crude Oil(f) | MS | 04/18/2024 | 73.50 | 748,530 | 900 | ||||||||||||||
9 | Crude Oil(f) | MS | 04/18/2024 | 75.50 | 748,530 | 1,440 | ||||||||||||||
9 | Crude Oil(f) | MS | 04/18/2024 | 77.50 | 748,530 | 2,610 | ||||||||||||||
29 | High Grade Copper(f) | MS | 05/29/2024 | 350.00 | 2,918,125 | 2,538 | ||||||||||||||
65 | S&P Emini | MS | 04/22/2024 | 4,700.00 | 17,252,625 | 7,313 | ||||||||||||||
157 | S&P Emini | MS | 05/20/2024 | 5,100.00 | 41,671,725 | 241,387 | ||||||||||||||
19 | U.S. Bond | MS | 05/28/2024 | 119.00 | 2,282,660 | 25,234 | ||||||||||||||
TOTAL PUT OPTIONS PURCHASED (Cost - $582,056) | 313,292 | |||||||||||||||||||
TOTAL FUTURE OPTIONS PURCHASED (Cost - $1,058,262) | 684,989 | |||||||||||||||||||
TOTAL INVESTMENTS - 68.2% (Cost $139,033,579) | $ | 141,770,994 | ||||||||||||||||||
CALL OPTIONS WRITTEN - (0.1)% (Premiums received - $265,987) | (255,911 | ) | ||||||||||||||||||
PUT OPTIONS WRITTEN - (0.0)% (Premiums received - $175,180) | (105,340 | ) | ||||||||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 32.0% | 66,524,966 | |||||||||||||||||||
NET ASSETS - 100.0% | $ | 207,934,709 |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
March 31, 2024 |
Contracts | Broker/ Counterparty | Expiration Date | Exercise Price | Notional Value | Fair Value | |||||||||||||||
WRITTEN FUTURE OPTIONS - 0.1%(g) | ||||||||||||||||||||
CALL OPTIONS WRITTEN - 0.1%(g) | ||||||||||||||||||||
10 | Euro-Bund | MS | 04/29/2024 | $ | 133.00 | $ | 1,333,800 | $ | 11,435 | |||||||||||
10 | Euro-Bund | MS | 04/29/2024 | 133.50 | 1,333,800 | 8,630 | ||||||||||||||
10 | Euro-Bund | MS | 04/29/2024 | 134.50 | 1,333,800 | 4,639 | ||||||||||||||
10 | Euro-Bund | MS | 04/29/2024 | 135.50 | 1,333,800 | 2,481 | ||||||||||||||
28 | High Grade Copper(f) | MS | 05/29/2024 | 420.00 | 2,817,500 | 46,550 | ||||||||||||||
34 | S&P Emini | MS | 04/22/2024 | 5,460.00 | 9,024,450 | 11,305 | ||||||||||||||
9 | US 10 Year Treasury Note | MS | 04/29/2024 | 111.00 | 992,250 | 5,344 | ||||||||||||||
9 | US 10 Year Treasury Note | MS | 04/29/2024 | 111.50 | 992,250 | 3,656 | ||||||||||||||
9 | US 10 Year Treasury Note | MS | 04/29/2024 | 112.00 | 992,250 | 2,391 | ||||||||||||||
9 | US 10 Year Treasury Note | MS | 04/29/2024 | 113.00 | 992,250 | 984 | ||||||||||||||
4 | US Treasury Bond | MS | 04/29/2024 | 120.00 | 480,560 | 6,250 | ||||||||||||||
4 | US Treasury Bond | MS | 04/29/2024 | 121.00 | 480,560 | 4,250 | ||||||||||||||
4 | US Treasury Bond | MS | 04/29/2024 | 123.00 | 480,560 | 1,750 | ||||||||||||||
4 | US Treasury Bond | MS | 04/29/2024 | 124.00 | 480,560 | 1,062 | ||||||||||||||
TOTAL CALL OPTIONS WRITTEN (Proceeds - $95,722) | 110,727 | |||||||||||||||||||
PUT OPTIONS WRITTEN - 0.0%(a)(g) | ||||||||||||||||||||
10 | Euro-Bund | MS | 04/29/2024 | 130.00 | 1,333,800 | 755 | ||||||||||||||
10 | Euro-Bund | MS | 04/29/2024 | 131.00 | 1,333,800 | 1,726 | ||||||||||||||
10 | Euro-Bund | MS | 04/29/2024 | 131.50 | 1,333,800 | 2,481 | ||||||||||||||
10 | Euro-Bund | MS | 04/29/2024 | 132.50 | 1,333,800 | 5,286 | ||||||||||||||
22 | High Grade Copper(f) | MS | 05/29/2024 | 380.00 | 2,213,750 | 16,500 | ||||||||||||||
49 | SX5E Dividend | MS | 12/23/2024 | 90.00 | 850,109 | 53 | ||||||||||||||
9 | US 10 Year Treasury Note | MS | 04/29/2024 | 108.50 | 992,250 | 844 | ||||||||||||||
9 | US 10 Year Treasury Note | MS | 04/29/2024 | 109.50 | 992,250 | 2,109 | ||||||||||||||
9 | US 10 Year Treasury Note | MS | 04/29/2024 | 110.00 | 992,250 | 3,375 | ||||||||||||||
9 | US 10 Year Treasury Note | MS | 04/29/2024 | 110.50 | 992,250 | 5,062 | ||||||||||||||
19 | US Treasury Bond | MS | 05/28/2024 | 116.00 | 2,282,660 | 9,797 | ||||||||||||||
4 | US Treasury Bond | MS | 04/29/2024 | 116.00 | 480,560 | 625 | ||||||||||||||
4 | US Treasury Bond | MS | 04/29/2024 | 117.00 | 480,560 | 1,125 | ||||||||||||||
4 | US Treasury Bond | MS | 04/29/2024 | 118.00 | 480,560 | 1,938 | ||||||||||||||
4 | US Treasury Bond | MS | 04/29/2024 | 119.00 | 480,560 | 3,000 | ||||||||||||||
TOTAL PUT OPTIONS WRITTEN (Proceeds - $96,726) | 54,676 | |||||||||||||||||||
TOTAL FUTURE OPTIONS WRITTEN (Proceeds - $192,448) | 165,403 | |||||||||||||||||||
WRITTEN CURRENCY OPTIONS - 0.0%(a) | ||||||||||||||||||||
CALL OPTIONS WRITTEN- 0.0%(a) | ||||||||||||||||||||
5,122,000 | EURcCHFp | JPPB | 04/05/2024 | 0.969 | 12,054 | 26,886 | ||||||||||||||
4,610,000 | EURcCZKp | JPPB | 04/05/2024 | 25.65 | 8,800 | 429 | ||||||||||||||
TOTAL CALL OPTIONS WRITTEN (Proceeds - $20,854) | 27,315 |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
March 31, 2024 |
Contracts | Broker/ Counterparty | Expiration Date | Exercise Price | Notional Value | Fair Value | |||||||||||||||
PUT OPTIONS WRITTEN - 0.0%(a) | ||||||||||||||||||||
5,122,000 | EURpCHFc 0.9500 04/04/2024 | JPPB | 04/05/2024 | 0.95 | 12,054 | $ | 5 | |||||||||||||
4,610,000 | EURpCZKc 25.190 04/04/2024 | JPPB | 04/05/2024 | 25.19 | 8,800 | 2,659 | ||||||||||||||
TOTAL PUT OPTIONS WRITTEN (Proceeds - $20,854) | 2,664 | |||||||||||||||||||
TOTAL CURRENCY OPTIONS WRITTEN (Proceeds - $41,708) | 29,979 | |||||||||||||||||||
WRITTEN INDEX OPTIONS - 0.1%(e) | ||||||||||||||||||||
CALL OPTIONS WRITTEN - 0.1%(e) | ||||||||||||||||||||
400 | Chicago Board Options Exchange VIX US | MSO | 04/18/2024 | 15.00 | 520,400 | 27,600 | ||||||||||||||
400 | Chicago Board Options Exchange VIX US | MSO | 04/18/2024 | 16.00 | 520,400 | 18,800 | ||||||||||||||
400 | Chicago Board Options Exchange VIX US | MSO | 04/18/2024 | 18.00 | 520,400 | 12,400 | ||||||||||||||
400 | Chicago Board Options Exchange VIX US | MSO | 04/18/2024 | 21.00 | 520,400 | 7,600 | ||||||||||||||
142 | EURO STOXX 50 Price EUR SX5E(f) | MSO | 05/20/2024 | 5,225.00 | 7,218,456 | 28,951 | ||||||||||||||
142 | EURO STOXX 50 Price EUR SX5E(f) | MSO | 05/20/2024 | 5,250.00 | 7,218,456 | 22,518 | ||||||||||||||
TOTAL CALL OPTIONS WRITTEN (Proceeds - $149,411) | 117,869 | |||||||||||||||||||
PUT OPTIONS WRITTEN - 0.0%(e) | ||||||||||||||||||||
400 | Chicago Board Options Exchange | MSO | 04/18/2024 | 12.50 | 520,400 | 2,800 | ||||||||||||||
400 | Chicago Board Options Exchange | MSO | 04/18/2024 | 13.50 | 520,400 | 14,000 | ||||||||||||||
400 | Chicago Board Options Exchange | MSO | 04/18/2024 | 13.00 | 520,400 | 6,400 | ||||||||||||||
400 | Chicago Board Options Exchange | MSO | 04/18/2024 | 14.00 | 520,400 | 24,800 | ||||||||||||||
TOTAL PUT OPTIONS WRITTEN (Proceeds - $57,600) | 48,000 | |||||||||||||||||||
TOTAL INDEX OPTIONS WRITTEN (Proceeds - $207,011) | 165,869 |
OPEN FUTURES CONTRACTS | ||||||||||||||
Number of | Value and Unrealized | |||||||||||||
Contracts | Open Long Futures Contracts | Expiration | Notional Amount(h) | Appreciation (Depreciation) | ||||||||||
41 | CBOE Volatility Index Future | 04/17/2024 | $ | 589,117 | $ | (6,744 | ) | |||||||
62 | CBOT 5 Year US Treasury Note | 06/28/2024 | 6,634,969 | (1,559 | ) | |||||||||
50 | CBOT 10 Year US Treasury Note | 06/18/2024 | 5,539,844 | 10,619 | ||||||||||
26 | CBOT Soybean Meal Future(f) | 05/14/2024 | 878,020 | (29,570 | ) | |||||||||
46 | CME Canadian Dollar Currency Future | 06/18/2024 | 3,401,240 | 7,979 | ||||||||||
2 | CME E-Mini NASDAQ 100 Index Future | 06/21/2024 | 739,000 | (1,767 | ) | |||||||||
12 | CME E-mini Russell 2000 Index Futures | 06/21/2024 | 1,287,540 | 16,420 | ||||||||||
114 | CME E-Mini Standard & Poor’s 500 Index Future | 06/21/2024 | 30,258,450 | 606,045 | ||||||||||
157 | CME Japanese Yen Currency Future | 06/17/2024 | 13,120,294 | (20,411 | ) | |||||||||
31 | CME Lean Hogs Future(f) | 06/14/2024 | 1,257,980 | (6,953 | ) | |||||||||
33 | CME Live Cattle Future(f) | 06/28/2024 | 2,379,300 | (44,810 | ) | |||||||||
84 | CME Mexican Peso Currency Future | 06/17/2024 | 2,496,900 | 17,952 | ||||||||||
7 | CME Norwegian Krone Currency Future | 06/17/2024 | 1,292,760 | (13,300 | ) | |||||||||
6 | CME Swedish Krona Currency Future | 06/17/2024 | 1,124,880 | (12,778 | ) | |||||||||
3 | COMEX Copper Future(f) | 05/29/2024 | 300,525 | (5,500 | ) | |||||||||
36 | COMEX Gold 100 Troy Ounces Future(f) | 06/26/2024 | 8,058,240 | 99,610 |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
March 31, 2024 |
OPEN FUTURES CONTRACTS (Continued) | ||||||||||||||
Number of | Value and Unrealized | |||||||||||||
Contracts | Open Long Futures Contracts | Expiration | Notional Amount(h) | Appreciation (Depreciation) | ||||||||||
15 | COMEX Silver Future(f) | 05/29/2024 | $ | 1,868,700 | $ | 15,325 | ||||||||
7 | E-mini Dow Jones Industrial Average Index Futures | 06/21/2024 | 1,406,160 | 30,135 | ||||||||||
16 | Eurex 2 Year Euro SCHATZ Future | 06/06/2024 | 1,824,380 | 85 | ||||||||||
64 | Eurex 5 Year Euro BOBL Future | 06/06/2024 | 8,163,970 | 23,694 | ||||||||||
4 | Eurex 30 Year Euro BUXL Future | 06/06/2024 | 585,976 | 3,109 | ||||||||||
240 | Eurex Dow Jones EURO STOXX 50 Dividend Future | 12/19/2025 | 4,168,285 | 550,365 | ||||||||||
25 | Eurex Stoxx Europe 600 Futures | 06/21/2024 | 688,781 | 11,386 | ||||||||||
22 | Euronext CAC 40 Index Future | 04/19/2024 | 1,951,640 | 22,162 | ||||||||||
103 | Euronext Milling Wheat Future(f) | 05/10/2024 | 1,130,556 | 15,802 | ||||||||||
1 | EUX Short term Euro-BTP Futures | 06/06/2024 | 114,218 | 77 | ||||||||||
11 | French Government Bond Futures | 06/06/2024 | 1,520,895 | 5,771 | ||||||||||
15 | FTSE 100 Index Future | 06/21/2024 | 1,512,249 | 24,958 | ||||||||||
5 | FTSE/MIB Index Future | 06/21/2024 | 922,330 | 21,691 | ||||||||||
1 | HKG Hang Seng Index Future | 04/29/2024 | 105,853 | (371 | ) | |||||||||
27 | ICE Gas Oil Future(f) | 05/10/2024 | 2,181,600 | 39,125 | ||||||||||
13 | IFSC NIFTY 50 Index Futures | 04/25/2024 | 584,519 | 4,874 | ||||||||||
8 | KCBT Hard Red Winter Wheat Future(f) | 05/14/2024 | 234,100 | 2,488 | ||||||||||
5 | KFE 3 Year Treasury Bond Future | 06/18/2024 | 388,607 | 189 | ||||||||||
4 | KFE 10 Year Treasury Bond Future | 06/18/2024 | 336,770 | 1,404 | ||||||||||
24 | KFE KOSPI 200 Index Future | 06/13/2024 | 1,670,954 | 40,042 | ||||||||||
2 | LME Copper Future(f) | 05/13/2024 | 441,327 | (1,766 | ) | |||||||||
6 | LME Primary Aluminum Futur(f) | 05/13/2024 | 348,147 | 6,476 | ||||||||||
2 | LME Zinc Future(f) | 05/13/2024 | 121,035 | (6,707 | ) | |||||||||
198 | Long Gilt Future | 06/26/2024 | 24,974,594 | 379,884 | ||||||||||
8 | MEFF Madrid IBEX 35 Index Future | 04/19/2024 | 955,090 | 47,888 | ||||||||||
18 | Mini-DAX Futures | 06/21/2024 | 1,822,913 | 54,320 | ||||||||||
11 | Montreal Exchange S&P/TSX 60 Index Future | 06/20/2024 | 2,178,851 | 27,451 | ||||||||||
6 | MSCI World Index Futures USD NTR | 06/21/2024 | 654,360 | 7,685 | ||||||||||
8 | NYBOT CSC C Coffee Future(f) | 05/20/2024 | 566,550 | 5,456 | ||||||||||
7 | NYBOT CSC Cocoa Future(f) | 05/15/2024 | 683,620 | 298,531 | ||||||||||
11 | NYBOT CTN Number 2 Cotton Future(f) | 05/08/2024 | 502,590 | (23,350 | ) | |||||||||
141 | NYMEX Henry Hub Natural Gas Futures(f) | 04/26/2024 | 2,485,830 | (91,902 | ) | |||||||||
4 | NYMEX Light Sweet Crude Oil Future(f) | 04/22/2024 | 332,680 | 7,350 | ||||||||||
5 | NYMEX NY Harbor ULSD Futures(f) | 04/30/2024 | 550,767 | 3,732 | ||||||||||
58 | NYMEX Platinum Future(f) | 07/29/2024 | 2,671,190 | 6,351 | ||||||||||
44 | OML Stockholm OMXS30 Index Future | 04/19/2024 | 1,037,546 | 10,371 | ||||||||||
125 | OSE Nikkei 225 mini Future | 06/13/2024 | 3,321,741 | 63,326 | ||||||||||
16 | Robusta Coffee Future 10-Tonne(f) | 05/24/2024 | 556,640 | 54,620 | ||||||||||
43 | SFE 10 Year Australian Bond Future | 06/17/2024 | 3,266,493 | 17,918 | ||||||||||
14 | SFE S&P ASX Share Price Index 200 Future | 06/20/2024 | 1,813,404 | 46,974 | ||||||||||
13 | SGX MSCI Singapore Index Future | 04/29/2024 | 280,034 | (1,598 | ) | |||||||||
1 | TSE Japanese 10 Year Bond Futures | 06/13/2024 | 963,610 | 1,458 | ||||||||||
91 | TSE TOPIX (Tokyo Price Index) Future | 06/13/2024 | 16,527,258 | 363,586 | ||||||||||
5 | TTF Natural Gas Base Load Monthly Futures(f) | 04/29/2024 | 109,714 | (5,310 | ) | |||||||||
26 | Ultra 10-Year US Treasury Note Futures | 06/18/2024 | 2,979,844 | 19,609 | ||||||||||
TOTAL LONG FUTURES CONTRACTS | 2,719,897 |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
March 31, 2024 |
OPEN FUTURES CONTRACTS | ||||||||||||||
Number of Contracts | Open Short Futures Contracts | Expiration | Notional Amount(h) | Value and Unrealized Appreciation (Depreciation) | ||||||||||
6 | Carbon Emissions Future(f) | 12/16/2024 | $ | 400,000 | $ | 17,716 | ||||||||
73 | CBOE Volatility Index Future | 05/22/2024 | 1,125,551 | 52,701 | ||||||||||
130 | CBOT 2 Year US Treasury Note Future | 06/28/2024 | 26,582,969 | 5,027 | ||||||||||
64 | CBOT Corn Future(f) | 05/14/2024 | 1,414,400 | (27,471 | ) | |||||||||
5 | CBOT Soybean Future(f) | 05/14/2024 | 297,875 | (5,087 | ) | |||||||||
9 | CBOT Soybean Oil Future(f) | 05/14/2024 | 258,930 | (11,154 | ) | |||||||||
9 | CBOT US Treasury Bond Futures | 06/18/2024 | 1,083,938 | (4,719 | ) | |||||||||
8 | CBOT Wheat Future(f) | 05/14/2024 | 224,100 | (5,375 | ) | |||||||||
75 | CME Australian Dollar Currency Future | 06/17/2024 | 4,899,750 | 13,144 | ||||||||||
222 | CME British Pound Currency Future | 06/17/2024 | 17,519,963 | 75,202 | ||||||||||
49 | CME Euro Foreign Exchange Currency Future | 06/17/2024 | 6,628,169 | 19,007 | ||||||||||
13 | CME Feeder Cattle Future(f) | 05/23/2024 | 1,616,550 | 56,699 | ||||||||||
11 | CME New Zealand Dollar Currency Future | 06/17/2024 | 657,250 | (1,627 | ) | |||||||||
70 | CME Swiss Franc Currency Future | 06/17/2024 | 9,784,250 | 57,329 | ||||||||||
70 | Eurex 10 Year Euro BUND Future | 06/06/2024 | 10,071,845 | (31,985 | ) | |||||||||
113 | Eurex EURO STOXX 50 Future | 06/21/2024 | 6,149,784 | (76,809 | ) | |||||||||
160 | Eurex EURO STOXX Banks Index Future | 06/21/2024 | 1,168,501 | (17,625 | ) | |||||||||
159 | EURO STOXX Banks Index Dividend Futures | 12/19/2025 | 774,417 | (175,967 | ) | |||||||||
253 | EURO STOXX Banks Index Dividend Futures | 12/18/2026 | 1,165,383 | (123,978 | ) | |||||||||
73 | Euro-BTP Italian Bond Futures | 06/06/2024 | 9,371,877 | (5,311 | ) | |||||||||
53 | FVSA index - Mini-Futures on VSTOXX | 04/17/2024 | 80,901 | (1,003 | ) | |||||||||
2 | HKG Hang Seng China Enterprises Index Future | 04/29/2024 | 74,282 | 439 | ||||||||||
17 | ICE Brent Crude Oil Future(f) | 04/30/2024 | 1,479,000 | (18,020 | ) | |||||||||
1 | LME Lead Future(f) | 05/13/2024 | 51,140 | (741 | ) | |||||||||
1 | LME Nickel Future(f) | 05/13/2024 | 99,973 | 2,501 | ||||||||||
2 | MGE Red Wheat Future(f) | 05/14/2024 | 64,500 | 2,140 | ||||||||||
67 | Montreal Exchange 10 Year Canadian Bond Future | 06/19/2024 | 5,952,939 | (7,674 | ) | |||||||||
19 | NYBOT CSC Number 11 World Sugar Future(f) | 04/30/2024 | 479,226 | 6,238 | ||||||||||
3 | NYMEX Palladium Future(f) | 06/26/2024 | 306,450 | (8,300 | ) | |||||||||
8 | NYMEX Reformulated Gasoline Blendstock for Oxygen(f) | 04/30/2024 | 914,122 | (13,209 | ) | |||||||||
5 | SAFEX FTSE/JSE Top 40 Index Future | 06/20/2024 | 181,956 | (5,795 | ) | |||||||||
29 | Ultra U.S. Treasury Bond Futures | 06/18/2024 | 3,741,000 | (50,362 | ) | |||||||||
139 | WCE Canola Future(f) | 05/14/2024 | 1,285,711 | 8,130 | ||||||||||
4 | White Sugar Future(f) | 04/15/2024 | 130,500 | (5,000 | ) | |||||||||
TOTAL SHORT FUTURES CONTRACTS | (280,939 | ) | ||||||||||||
TOTAL OPEN FUTURES CONTRACTS | 2,438,958 |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
March 31, 2024 |
Unrealized | ||||||||||||||||
Foreign Currency | Settlement Date | Counterparty | Local Currency | U.S. Dollar Value | Appreciation/(Depreciation) | |||||||||||
To Buy: | ||||||||||||||||
British Pound | 04/02/2024 | JPPB | 28,522 | $ | 35,998 | $ | 7 | |||||||||
Euro | 04/02/2024 | JPPB | 18,215 | 19,649 | (51 | ) | ||||||||||
Australian Dollar | 04/03/2024 | JPPB | 14,337 | 9,343 | 10 | |||||||||||
Czech Koruna | 04/30/2024 | JPPB | 25,364,703 | 1,081,347 | 131 | |||||||||||
Hungarian Forints | 04/30/2024 | JPPB | 22,021,606 | 60,219 | 219 | |||||||||||
Mexican Peso | 04/30/2024 | JPPB | 41,007,740 | 2,455,865 | 10,463 | |||||||||||
Norwegian Krone | 04/30/2024 | JPPB | 1,283,506 | 118,305 | (1,694 | ) | ||||||||||
Polish Zloty | 04/30/2024 | JPPB | 10,297,068 | 2,577,036 | (775 | ) | ||||||||||
Singapore Dollar | 04/30/2024 | JPPB | 2,782,486 | 2,063,428 | (7,572 | ) | ||||||||||
South African Rand | 04/30/2024 | JPPB | 1,893,992 | 99,770 | (230 | ) | ||||||||||
Swedish Krona | 04/30/2024 | JPPB | 19,097,203 | 1,785,815 | (26,281 | ) | ||||||||||
Swiss Franc | 04/30/2024 | JPPB | 332,527 | 369,868 | (1,770 | ) | ||||||||||
Chinese Yuan | 04/30/2024 | JPPB | 1,857,741 | 256,173 | 173 | |||||||||||
Brazilian Real | 06/20/2024 | JPPB | 20,669,138 | 4,091,107 | (21,640 | ) | ||||||||||
Indian Rupee | 06/20/2024 | JPPB | 753,922,344 | 9,018,988 | (40,860 | ) | ||||||||||
Indonesia Rupiah | 06/20/2024 | JPPB | 4,007,125,496 | 251,900 | (1,757 | ) | ||||||||||
Philippine Peso | 06/20/2024 | JPPB | 29,260,772 | 520,357 | (2,210 | ) | ||||||||||
South Korean Won | 06/20/2024 | JPPB | 3,674,817,579 | 2,734,156 | (54,135 | ) | ||||||||||
Taiwanese Dollar | 06/20/2024 | JPPB | 110,794,127 | 3,475,887 | (17,113 | ) | ||||||||||
Thailand Baht | 06/20/2024 | JPPB | 79,353,933 | 2,185,344 | (15,727 | ) | ||||||||||
Chilean Peso | 06/21/2024 | JPPB | 333,963,941 | 339,853 | (9,156 | ) | ||||||||||
Egyptian Pound | 06/24/2024 | JPPB | 10,884,250 | 229,623 | 8,623 | |||||||||||
Egyptian Pound | 12/18/2024 | JPPB | 11,504,040 | 242,698 | 20,698 | |||||||||||
34,022,729 | (160,647 | ) | ||||||||||||||
To Sell: | ||||||||||||||||
Euro | 04/02/2024 | JPPB | 46,743 | 50,424 | 132 | |||||||||||
Chinese Yuan | 04/30/2024 | JPPB | 120,565,453 | 16,625,361 | (20,645 | ) | ||||||||||
Czech Koruna | 04/30/2024 | JPPB | 12,204,036 | 520,282 | (282 | ) | ||||||||||
Hungarian Forints | 04/30/2024 | JPPB | 54,688,446 | 149,548 | (740 | ) | ||||||||||
Mexican Peso | 04/30/2024 | JPPB | 5,230,485 | 313,242 | (1,099 | ) | ||||||||||
Norwegian Krone | 04/30/2024 | JPPB | 2,709,619 | 249,756 | 1,915 | |||||||||||
Polish Zloty | 04/30/2024 | JPPB | 39,733 | 9,944 | 56 | |||||||||||
Singapore Dollar | 04/30/2024 | JPPB | 720,212 | 534,093 | 515 | |||||||||||
South African Rand | 04/30/2024 | JPPB | 14,031,005 | 739,110 | (2,871 | ) | ||||||||||
Swedish Krona | 04/30/2024 | JPPB | 3,150,734 | 294,631 | 2,427 | |||||||||||
Brazilian Real | 06/20/2024 | JPPB | 3,249,389 | 643,162 | 2,448 | |||||||||||
Indian Rupee | 06/20/2024 | JPPB | 161,091,522 | 1,927,098 | (972 | ) | ||||||||||
Indonesia Rupiah | 06/20/2024 | JPPB | 17,494,575,532 | 1,099,761 | 21,069 | |||||||||||
Philippine Peso | 06/20/2024 | JPPB | 9,602,151 | 170,759 | 2,202 | |||||||||||
South Korean Won | 06/20/2024 | JPPB | 2,561,238,447 | 1,905,625 | 23,834 | |||||||||||
Taiwanese Dollar | 06/20/2024 | JPPB | 76,379,207 | 2,396,206 | 40,942 | |||||||||||
Thailand Baht | 06/20/2024 | JPPB | 198,843,157 | 5,475,982 | 75,172 | |||||||||||
Chilean Peso | 06/21/2024 | JPPB | 1,427,500,660 | 1,452,673 | 23,749 | |||||||||||
34,557,657 | 167,852 | |||||||||||||||
Total | $ | 7,205 |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
March 31, 2024 |
Settlement | Local Currency Amount | Local Currency Amount | U.S. Dollar Market | U.S. Dollar Market | Unrealized Appreciation/ | |||||||||||||||||||||
Foreign Currency | Date | Counterparty | Purchased Sell | Purchased Sell | Value Buy | Value Sell | (Depreciation) | |||||||||||||||||||
To Buy: | To Sell: | |||||||||||||||||||||||||
Czech Koruna | Euro | 4/8/2024 | JPPB | 40,514,730 | 1,601,000 | $ | 1,727,504 | $ | (1,727,493 | ) | $ | 11 | ||||||||||||||
Czech Koruna | Euro | 4/30/2024 | JPPB | 25,879,125 | 1,018,063 | 1,103,277 | (1,099,470 | ) | 3,807 | |||||||||||||||||
Euro | Hungarian Forints | 4/30/2024 | JPPB | 1,036,725 | 413,215,720 | 1,119,624 | (1,129,956 | ) | (10,332 | ) | ||||||||||||||||
Hungarian Forints | Euro | 4/30/2024 | JPPB | 205,089,548 | 518,000 | 560,827 | (559,420 | ) | 1,407 | |||||||||||||||||
272,520,128 | 416,352,783 | $ | 4,511,232 | $ | 4,516,339 | $ | (5,107 | ) |
CREDIT DEFAULT SWAP AGREEMENTS | ||||||||||||||||||||||
Fixed Deal | Amortized Upfront | Unrealized | ||||||||||||||||||||
Description | Counterparty | (Pay) Rate | Maturity Date | Notional Value | Fair Value | Payments Paid | Appreciation | |||||||||||||||
Markit CDX EM 41^ | JPM | 1.00% | 6/20/2029 | $ | (2,600,000 | ) | (78,694 | ) | (85,236 | ) | $ | 6,542 | ||||||||||
Markit CDX NA IG 42^ | JPM | 1.00% | 6/20/2029 | (6,000,000 | ) | 137,533 | 130,261 | 7,272 | ||||||||||||||
Markit ITRAXX Europe Crossover 41^ | CIT | 5.00% | 6/20/2029 | 985,000 | (95,334 | ) | (98,946 | ) | 3,612 | |||||||||||||
Markit ITRAXX Europe 41^ | JPM | 1.00% | 6/20/2029 | (4,800,000 | ) | 115,799 | 112,791 | 3,008 | ||||||||||||||
TOTAL | $ | 20,434 |
^ | Sell protection. |
DISPERSION SWAP AGREEMENTS | |||||||||||||||
Unrealized Appreciation/ | |||||||||||||||
Description | Counterparty | Receive | Pay | Maturity Date | Notional Value | (Depreciation) | |||||||||
Equity Volatility | JPM | U.S. Equity Volatility | U.S. Equity Volatility | 9/20/2024 | 8,000 | $ | (6,715 | ) | |||||||
SPX Index | UBS | Stock Basket Volatility | Index Volatility | 1/17/2025 | 20,000 | (32,070 | ) | ||||||||
SPX Index | BAML | Stock Basket Volatility | Index Volatility | 1/17/2025 | 20,000 | 62,999 | |||||||||
SPX Index | HSBC | Stock Basket Volatility | Index Volatility | 1/17/2025 | 20,000 | 21,398 | |||||||||
SPX Index | BAR | Stock Basket Volatility | Index Volatility | 1/17/2025 | 20,000 | (1,287 | ) | ||||||||
SPX Index | UBS | Stock Basket Volatility | Index Volatility | 1/17/2025 | 25,000 | 5,932 | |||||||||
SX5E Index | MS | Stock Basket Volatility | Index Volatility | 12/20/2024 | 10,000 | 8,478 | |||||||||
SX5E Index | MS | Stock Basket Volatility | Index Volatility | 12/20/2024 | 10,000 | 10,053 | |||||||||
SX5E Index | JPM | Stock Basket Volatility | Index Volatility | 6/20/2025 | 10,000 | (16,258 | ) | ||||||||
TOTAL | $ | 52,530 |
* | Pays annually. |
INTEREST RATE SWAPS^ | ||||||||||||||||||||||
Payment | Amortized Upfront Payments | Unrealized Appreciation/ | ||||||||||||||||||||
Rate Paid | Rate Received | Frequency | Maturity Date | Notional Value | Fair Value | Paid/(Received) | (Depreciation) | |||||||||||||||
2.3275 | USD – CPI | Annually | 2/7/2029 | $ | 10,122,600 | $ | 73,166 | $ | 74,912 | $ | (1,746 | ) | ||||||||||
EUR - EXT | 2.1079 | Annually | 2/15/2029 | 2,143,100 | (3,404 | ) | 1,988 | (5,392 | ) | |||||||||||||
0.3230 | JPY - TONAR | Annually | 12/6/2025 | 4,167,770,640 | 7,970 | 3,572 | 4,398 | |||||||||||||||
CHF - SARON | 1.5120 | Annually | 6/21/2024 | 20,510,900 | 4,443 | — | 4,443 | |||||||||||||||
3.5053 | USD – CORRA | Annually | 2/17/2028 | 19,422,100 | 31,641 | 40,941 | (9,300 | ) |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
March 31, 2024 |
INTEREST RATE SWAPS (Continued)^ | ||||||||||||||||||||||
Payment | Amortized Upfront Payments | Unrealized Appreciation/ | ||||||||||||||||||||
Rate Paid | Rate Received | Frequency | Maturity Date | Notional Value | Fair Value | Paid/(Received) | (Depreciation) | |||||||||||||||
CHF - SARON | 1.1408 | Annually | 6/19/2034 | $ | 2,132,100 | $ | (1,151 | ) | $ | (12,177 | ) | $ | 11,026 | |||||||||
INR - MIBOR | 6.2300 | Semi-annually | 6/19/2029 | 132,282,900 | (6,150 | ) | 498 | (6,648 | ) | |||||||||||||
THB - THOR | 2.1910 | Quarterly | 6/19/2029 | 77,000,000 | 1,681 | 2,114 | (433 | ) | ||||||||||||||
0.5390 | JPY – TONAR | Annually | 6/19/2029 | 332,136,900 | (1,327 | ) | 1,322 | (2,649 | ) | |||||||||||||
0.3190 | JPY – TONAR | Annually | 6/19/2026 | 2,480,120,600 | 4,772 | 4,941 | (169 | ) | ||||||||||||||
1.4890 | JPY – TONAR | Annually | 6/19/2064 | 80,000,000 | 3,839 | (34 | ) | 3,873 | ||||||||||||||
JPY - TONAR | 1.4736 | Annually | 6/19/2054 | 67,599,200 | (3,019 | ) | — | (3,019 | ) | |||||||||||||
AUD – BILLS | 3.7700 | Semi-annually | 12/19/2025 | 16,126,800 | (21,105 | ) | (27,632 | ) | 6,527 | |||||||||||||
MXN - TIIE | 8.6495 | Monthly | 1/29/2026 | 191,537,200 | (41,754 | ) | (2,425 | ) | (39,329 | ) | ||||||||||||
CNY - CNREPOFIX | 2.1100 | Quarterly | 6/19/2029 | 33,366,000 | (1,638 | ) | 1,013 | (2,651 | ) | |||||||||||||
NZD - BILLS | 4.3560 | Semi-annually | 6/19/2034 | 1,175,900 | 1,026 | 76 | 950 | |||||||||||||||
NZD - BILLS | 4.2870 | Semi-annually | 6/19/2029 | 7,060,300 | 11,762 | 563 | 11,199 | |||||||||||||||
GBP - SONIA | 4.3240 | Annually | 6/19/2026 | 6,256,500 | 16,374 | 6,082 | 10,292 | |||||||||||||||
GBP - SONIA | 3.7840 | Annually | 6/19/2029 | 995,400 | 3,698 | (5 | ) | 3,703 | ||||||||||||||
3.6570 | NOK – NIBOR | Semi-annually | 6/19/2034 | 27,149,600 | 6,194 | 6,506 | (312 | ) | ||||||||||||||
PLN - WIBOR | 4.7440 | Annually | 6/19/2029 | 15,858,200 | (20,854 | ) | (13,572 | ) | (7,282 | ) | ||||||||||||
9.4760 | ZAR – JIBAR | Quarterly | 6/19/2034 | 109,058,600 | 143,474 | 116,560 | 26,914 | |||||||||||||||
NZD - BILLS | 4.7020 | Semi-annually | 6/19/2026 | 20,845,200 | 21,353 | 8,014 | 13,339 | |||||||||||||||
4.9440 | CLP – TNA | Semi-annually | 6/21/2034 | 972,522,600 | 15,125 | 5,390 | 9,735 | |||||||||||||||
8.4900 | MXN – TIIE | Monthly | 6/7/2034 | 26,061,300 | 18,573 | 4,642 | 13,931 | |||||||||||||||
MXN – TIIE | 9.2720 | Monthly | 6/17/2026 | 202,625,700 | (33,926 | ) | (24,937 | ) | (8,989 | ) | ||||||||||||
8.4910 | MXN – TIIE | Monthly | 6/13/2029 | 47,251,100 | 22,833 | 627 | 22,206 | |||||||||||||||
SEK – STIBOR | 2.8841 | Annually | 6/19/2026 | 63,042,000 | (17,777 | ) | (14,555 | ) | (3,222 | ) | ||||||||||||
AUD – BBR | 4.1462 | Semi-annually | 6/19/2026 | 2,693,600 | 3,956 | — | 3,956 | |||||||||||||||
6.4240 | HUF – BUBOR | Semi-annually | 6/19/2029 | 496,314,700 | (3,493 | ) | — | (3,493 | ) | |||||||||||||
TOTAL | $ | 51,858 |
^ | Counterparty is J.P. Morgan Investment Bank. |
TOTAL RETURN SWAPS* | ||||||||||||||
Unrealized | ||||||||||||||
Appreciation/ | ||||||||||||||
Description | Counterparty | Notional Value | Variable Rate | Maturity Date | (Depreciation) | |||||||||
ADNOC Drilling Company | MS | $ | 137,903 | Pay SOFR + 1.150% | 11/15/2030 | $ | 894 | |||||||
Air China Ltd. | JPM | 1,023,379 | Receive HONIA - 0.350% | 9/21/2030 | 6,199 | |||||||||
Alchip Technologies, Inc. | MS | 124,483 | Pay SOFR + 0.750% | 3/15/2030 | (15,242 | ) | ||||||||
All Ring Tech Company Ltd. | MS | 7,510 | Pay SOFR + 0.750% | 3/15/2030 | (20 | ) | ||||||||
BBUXALC1 | JPM | 355,396 | N/A | 3/9/2051 | 667 | |||||||||
BCIIACTM2 | BAR | 2,386,870 | Receive SOFR - 0.260% | 6/15/2030 | (100,642 | ) | ||||||||
BCIICAPG3 | BAR | 611,855 | Receive SOFR - 0.200% | 8/15/2030 | (8,380 | ) | ||||||||
BCIICOAL4 | BAR | 81,906 | Pay SOFR - 0.380% | 9/15/2030 | 4,333 | |||||||||
BCIICOPP5 | BAR | 420,170 | Receive SOFR - 0.380% | 2/23/2024 | (14,594 | ) | ||||||||
BCIIDISC6 | BAR | 980,024 | Receive SOFR - 0.250% | 7/15/2030 | (35,764 | ) | ||||||||
BCIIEUBK7 | BAR | 495,652 | Pay ESTR + 0.300% | 2/15/2030 | 11,396 | |||||||||
BCIIFFOD8 | BAR | 2,144,123 | Receive SOFR - 0.300% | 4/15/2030 | (49,588 | ) | ||||||||
BCIIJPNB9 | BAR | 391,632,186 | Pay TONAR + 0.080% | 2/15/2030 | 73,012 | |||||||||
BCIIPRIV10 | BAR | 2,757,226 | Pay SOFR + 0.250% | 4/15/2030 | 94,052 | |||||||||
BCIIREFN11 | BAR | 385,961 | Pay SOFR + 0.300% | 1/15/2030 | 8,836 | |||||||||
BCIISHDF12 | BAR | 1,156,571 | Pay ESTR + 0.300% | 2/15/2030 | 107,039 | |||||||||
BCIISOXX13 | BAR | 2,487,042 | Receive SOFR - 0.350% | 9/15/2030 | (46,871 | ) |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
March 31, 2024 |
TOTAL RETURN SWAPS (Continued)* | ||||||||||||||
Unrealized | ||||||||||||||
Appreciation/ | ||||||||||||||
Description | Counterparty | Notional Value | Variable Rate | Maturity Date | (Depreciation) | |||||||||
BCIISTEL14 | BAR | 1,042,049 | Receive SOFR - 0.250% | 7/15/2030 | (22,589 | ) | ||||||||
BCIIUSBA15 | BAR | 906,912 | Receive SOFR - 0.300% | 2/15/2030 | (53,907 | ) | ||||||||
BCIIWMAH16 | BAR | 1,856,209 | Pay SOFR + 0.200% | 12/15/2030 | 20,571 | |||||||||
Bloomberg Commodity ex-Agriculture and Livestock Capped Index | JPM | 5,780,203 | Pay Performance | 3/9/2051 | (29,123 | ) | ||||||||
CGFCAWIN17 | CIT | 2,494,766 | Pay OBFR + 0.380% | 8/10/2030 | (45,176 | ) | ||||||||
CGFCBVRG18 | CIT | 2,236,993 | Receive OBFR - 0.250% | 10/10/2030 | 9,296 | |||||||||
CGFCGROY19 | CIT | 208,684 | Receive OBFR - 0.250% | 4/10/2030 | (11,200 | ) | ||||||||
CGFCITDS20 | CIT | 299,631 | Receive SOFR - 0.350% | 7/10/2030 | 13,925 | |||||||||
CGFCJPBK21 | CIT | 85,726,222 | Pay TONA + 0.100% | 8/21/2030 | 2,324 | |||||||||
CGFCWHEH22 | CIT | 418,911 | Receive OBFR - 0.250% | 7/10/2030 | 4,270 | |||||||||
CGFOOILP23 | CIT | 962,458 | Receive OBFR - 0.150% | 7/10/2030 | (36,868 | ) | ||||||||
CGFOREIT24 | CIT | 164,005 | Receive OBFR - 0.050% | 12/10/2030 | (7,029 | ) | ||||||||
CGNAECOM25 | CIT | 10,413 | Receive OBFR - 4.050% | 3/10/2030 | 8 | |||||||||
China Eastern Airlines Company | JPM | 273,203 | Receive HONIA - 4.250% | 9/21/2030 | 1,346 | |||||||||
CPFL Energia SA | MS | 80,165 | Pay BRL 1D + 0.500% | 12/15/2030 | 520 | |||||||||
EVA Airways Corporation | JPM | 99,462 | Receive OBFR - 4.375% | 9/21/2030 | (1,080 | ) | ||||||||
Gold Circuit Electronics Ltd. | MS | 16,843 | Pay SOFR + 0.750% | 3/15/2030 | 400 | |||||||||
GSGLPHRE26 | GS | 2,032,166 | Receive SOFR + 0.500% | 2/21/2030 | (69,738 | ) | ||||||||
GSMBATDM27 | GS | 2,127,057 | Pay SOFR + 0.450% | 12/21/2030 | (66,674 | ) | ||||||||
GSMBHLUX28 | GS | 924,370 | Receive SOFR - 0.400% | 9/21/2030 | (4,376 | ) | ||||||||
GSMBLITH29 | GS | 742,112 | Receive SOFR - 1.350% | 9/21/2030 | (5,020 | ) | ||||||||
GSMBLUXE30 | GS | 738,551 | Pay SOFR + 0.400% | 8/21/2030 | (449 | ) | ||||||||
GSMBOILR31 | GS | 407,092 | Pay SOFR + 0.350% | 1/21/2030 | 9,328 | |||||||||
GSMBSLVP32 | GS | 1,269,395 | Receive SOFR - 0.450% | 2/21/2030 | (102,112 | ) | ||||||||
GSMBTITA33 | GS | 255,822 | Pay SOFR + 0.300% | 1/21/2030 | 2,020 | |||||||||
GSMBWHEL34 | GS | 1,046,808 | Receive SOFR - 0.250% | 1/21/2030 | (11,187 | ) | ||||||||
GSMBWIH135 | GS | 2,060,418 | Receive SOFR - 0.250% | 3/21/2030 | 2,695 | |||||||||
JBS S/A | JPM | 832,569 | Receive BRL 1D - 4.000% | 6/21/2030 | 12,531 | |||||||||
JPFCITSV36 | JPM | 584,370 | Receive OBFR - 0.300% | 3/21/2030 | (8,637 | ) | ||||||||
JPFUMEDA37 | JPM | 736,106 | Pay OBFR + 0.400% | 1/21/2030 | (22,331 | ) | ||||||||
JPFUNOI138 | JPM | 412,357 | Receive OBFR - 0.650% | 3/21/2030 | (7,955 | ) | ||||||||
JPFUOMED39 | JPM | $ | 1,689,961 | Receive OBFR - 0.500% | 3/21/2030 | $ | (47,745 | ) | ||||||
JPFURU140 | JPM | 1 | Pay OBFR | 3/30/2030 | (1 | ) | ||||||||
JPFUSHP241 | JPM | 878,147 | Receive OBFR - 1.470% | 6/21/2030 | 3,366 | |||||||||
JPFUSOEC42 | JPM | 328,493 | Receive OBFR - 0.750% | 3/21/2030 | 9,233 | |||||||||
JPGLAG43 | JPM | 650,555 | Pay OBFR + 0.250% | 3/21/2030 | 7,560 | |||||||||
JPGWIN44 | JPM | 1,269,250 | Receive OBFR - 0.250% | 3/21/2030 | (11,926 | ) | ||||||||
JPMOLAG45 | JPM | 1,396,273 | Pay OBFR + 0.250% | 3/21/2030 | 17,839 | |||||||||
JPMOWIN46 | JPM | 453,986 | Receive OBFR - 0.250% | 3/21/2030 | 1,111 | |||||||||
JPQLAG47 | JPM | 1,537,199 | Pay OBFR + 0.250% | 3/21/2030 | 25,391 | |||||||||
JPQWIN48 | JPM | 2,182,691 | Receive OBFR - 0.250% | 3/21/2030 | 3,393 | |||||||||
JPTAOBRL49 | JPM | 1,606,438 | Pay ID Rate + 0.500% | 6/21/2030 | (360 | ) | ||||||||
JPTASHTE50 | JPM | 858,132 | Pay OBFR + 0.020% | 11/21/2030 | 9,942 | |||||||||
JPVLAG51 | JPM | 420,803 | Receive OBFR - 0.250% | 4/21/2030 | (9,948 | ) | ||||||||
JPVWIN52 | JPM | 422,707 | Pay OBFR + 0.250% | 4/21/2030 | 10,997 | |||||||||
MSFDRUS I53 | MS | 38,427,193 | N/A | 7/15/2030 | 213,707 | |||||||||
Neoenergia | MS | 145,132 | Pay BRL 1D + 0.500% | 12/15/2030 | (435 | ) |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
March 31, 2024 |
TOTAL RETURN SWAPS (Continued)* | ||||||||||||||
Unrealized | ||||||||||||||
Appreciation/ | ||||||||||||||
Description | Counterparty | Notional Value | Variable Rate | Maturity Date | (Depreciation) | |||||||||
Qatar Gas Transport Company Ltd. | MS | 60,095 | Pay SOFR + 1.150% | 6/21/2030 | (1,344 | ) | ||||||||
Samsung Electronics Company Ltd. | MS | 39,130 | Pay SOFR + 0.750% | 3/21/2030 | 1,739 | |||||||||
Samsung Heavy Industries Company, Ltd. | MS | 49,961 | Pay SOFR + 0.750% | 11/15/2030 | (2,259 | ) | ||||||||
Sao Martinho S/A | MS | 51,014 | Pay ID Rate + 1.500% | 9/20/2030 | 938 | |||||||||
SK Hynix, Inc. | MS | 115,472 | Pay SOFR + 0.750% | 3/21/2030 | 6,598 | |||||||||
Taiwan Semiconductor Manufacturing Company Ltd. | MS | 55,229 | Pay SOFR + 0.750% | 3/21/2030 | (535 | ) | ||||||||
Wiwynn Corporation | MS | 41,332 | Pay SOFR + 0.750% | 3/15/2030 | (1,344 | ) | ||||||||
TOTAL | $ | (154,973 | ) |
* | No upfront premiums paid on the Total Return Swaps. Each swap pays monthly. |
Definitions | |
ADR | - American Depositary Receipt |
A/S | - Anonim Sirketi |
ETF | - Exchange-Traded Fund |
Ltd. | - Limited Company |
MSCI | - Morgan Stanley Capital International |
N.V. | - Naamioze Vennootschap |
PLC | - Public Limited Company |
REIT | - Real Estate Investment Trust |
S/A | - Société Anonyme |
Counterparty Definitions | |
BAML | Bank of America Merrill Lynch |
BAR | Barclays |
CIT | Citigroup |
GS | Goldman Sachs |
HSBC | HSBC Securities |
Counterparty Definitions (Continued) | |
JPM | JP Morgan |
MER | Merrill Lynch |
MS | Morgan Stanley |
UBS | UBS |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
March 31, 2024 |
(a) | Percentage rounds to less than 0.1%. |
(b) | Non-income producing security. |
(c) | Foreign issued security. |
(d) | Correlation swap option – option gives the right to the Fund to short correlation swap. |
(e) | Each option contract allows the holder of the option to purchase or sell 10 shares of the underlying index. |
(f) | All or a portion of this investment is a holding of the Fulcrum Diversified Absolute Return Fund CFC. |
(g) | Each contract is equivalent to one futures contract. |
(h) | The amounts shown are the underlying reference notional amounts to stock exchange indices and equities upon which the fair value of the futures contracts held by the Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Fund’s futures contracts. Further, the underlying price changes in relation to the variables specified by the notional values affects the fair value of these derivative financial instruments. The notional values as set forth within this schedule do not purport to represent economic value at risk to the Fund. |
1 | BBUXALC Index. |
2 | BCIIACTM is a custom basket of investment management stocks. The components of the basket as of March 31, 2024 are shown on the following pages. |
3 | BCIICAPG is a custom basket of U.S. construction stocks. |
4 | BCIICOAL is a custom basket of base metal and coal stocks. |
5 | BCIICOPP is a custom basket of base metal and coal stocks. |
6 | BCIIDISC is a custom basket of U.S. housing stocks. |
7 | BCIIEUBK is a custom basket of global bank stocks. |
8 | BCIIFFOD is a custom basket of consumer trends sector stocks. The components of the basket as of March 31, 2024 are shown on the following pages. |
9 | BCIIJPNB is a custom basket of Japanese bank stocks. The components of the basket as of March 31, 2024 are shown on the following pages. |
10 | BCIIPRIV is a custom basket of global financial stocks. The components of the basket as of March 31, 2024 are shown on the following pages. |
11 | BCIIREFN is a custom basket of energy stocks. |
12 | BCIISHDF is a custom basket of defense stocks. |
13 | BCIISOXX is a custom basket of technology stocks. The components of the basket as of March 31, 2024 are shown on the following pages. |
14 | BCIISTEL is a custom basket of base metal and coal stocks. |
15 | BCIIUSBA is a custom basket of global financial stocks. |
16 | BCIIWMAH is a custom basket of chemical industry stocks. |
17 | CGFCAWIN is a custom basket of technology stocks. The components of the basket as of March 31, 2024 are shown on the following pages. |
18 | CGFCBVRG is a custom basket of consumer trends and short processed food stocks. The components of the basket as of March 31, 2024 are shown on the following pages. |
19 | CGFCGROY is a custom basket of gold stocks. |
20 | CGFCITDS is a custom basket of technology stocks. |
21 | CGFCJPBK is a custom basket of global financial and bank stocks. The components of the basket as of March 31, 2024 are shown on the following pages. |
22 | CGFCWHEH is a custom basket of healthcare stocks. |
23 | CGFOOILP is a custom basket of global energy and oil stocks. |
24 | CGFOREIT is a custom basket of real estate company stocks. |
25 | CGNAECOM is a custom basket of consumer trends stocks. |
26 | GSGLPHRE is a custom basket of consumer trends stocks. |
27 | GSMBATDM is a custom basket of consumer trends stocks. The components of the basket as of March 31, 2024 are shown on the following pages. |
28 | GSMBHLUX is a custom basket of consumer trends stocks. |
29 | GSMBLITH is a custom basket of auto company stocks. |
30 | GSMBLUXE is a custom basket of consumer trends stocks. |
31 | GSMBOILR is a custom basket of energy stocks. |
32 | GSMBSLVP is a custom basket of gold stocks. |
33 | GSMBTITA is a custom basket of chemical stocks. |
34 | GSMBWHEL is a custom basket of U.S. healthcare stocks. |
35 | GSMBWIH1 is a custom basket of technology stocks. |
36 | JPFCITSV is a custom basket of technology stocks. |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
March 31, 2024 |
37 | JPFUMEDA is a custom basket of technology company stocks. |
38 | JPFUNOI1 is a custom basket of energy stocks. |
39 | JPFUOMED is a custom basket of technology company stocks. |
40 | JPFURU1 I is a custom basket of metal and coal stocks. |
41 | JPFUSHP2 is a custom basket of shipping company stocks. |
42 | JPFUSOEC is a custom basket of Chinese company stocks. |
43 | JPGLAG Index. |
44 | JPGWIN Index. |
45 | JPMOLAG Index. |
46 | JPMOWIN Index. |
47 | JPQLAG Index. |
48 | JPQWIN Index. The components of the index as of March 31, 2024 are shown on the following pages. |
49 | JPTAOBRL is a custom basket of Brazilian company stocks. |
50 | JPTASHTE Index. |
51 | JPVLAG Index. |
52 | JPVWIN Index. |
53 | MSFDRUS I – The components of the basket as of March 31, 2024 are shown on the following pages. |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
March 31, 2024 |
The following table represents the individual positions and related values of underlying securities of the BCIIACTM Index Total Return Swap with Barclays.
Name | Quantity | Value | Weight | |||||||||
Janus Henderson Group PLC | (9,101 | ) | $ | (299,313 | ) | 12.01 | % | |||||
T Rowe Price Group, Inc. | (2,245 | ) | (273,733 | ) | 10.98 | % | ||||||
Invesco Ltd. | (16,046 | ) | (266,204 | ) | 10.68 | % | ||||||
Franklin Resources, Inc. | (8,826 | ) | (248,108 | ) | 9.95 | % | ||||||
Artisan Partners Asset Management, Inc. | (4,683 | ) | (214,337 | ) | 8.60 | % | ||||||
Abrdn PLC | (94,059 | ) | (167,546 | ) | 6.72 | % | ||||||
Affiliated Managers Group, Inc. | (657 | ) | (109,971 | ) | 4.41 | % | ||||||
Schroders PLC | (21,117 | ) | (100,398 | ) | 4.03 | % | ||||||
Alliancebernstein Holding LP | (2,838 | ) | (98,589 | ) | 3.95 | % | ||||||
Amundi SA | (1,409 | ) | (96,770 | ) | 3.88 | % | ||||||
Federated Hermes, Inc. | (2,501 | ) | (90,342 | ) | 3.62 | % | ||||||
Cohen & Steers, Inc. | (879 | ) | (67,622 | ) | 2.71 | % | ||||||
StepStone Group, Inc. | (1,678 | ) | (59,963 | ) | 2.41 | % | ||||||
Victory Capital Holdings, Inc. | (1,335 | ) | (56,634 | ) | 2.27 | % | ||||||
Virtus Investment Partners, Inc. | (220 | ) | (54,547 | ) | 2.19 | % | ||||||
Virtu Financial, Inc. | (2,602 | ) | (53,388 | ) | 2.14 | % | ||||||
Magellan Financial Group Ltd. | (7,919 | ) | (51,036 | ) | 2.05 | % | ||||||
IGM Financial, Inc. | (1,746 | ) | (45,037 | ) | 1.81 | % | ||||||
Anima Holding SpA | (8,323 | ) | (39,509 | ) | 1.58 | % | ||||||
Brightsphere Investment Group, Inc. | (1,565 | ) | (35,734 | ) | 1.43 | % | ||||||
DWS Group GmbH & Company KgaA | (622 | ) | (27,352 | ) | 1.10 | % | ||||||
Bridgepoint Group PLC | (7,310 | ) | (24,013 | ) | 0.96 | % | ||||||
Ashmore Group PLC | (5,285 | ) | (13,058 | ) | 0.52 | % | ||||||
$ | (2,493,204 | ) | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of the BCIIFFOD Index Total Return Swap with Barclays.
Name | Quantity | Value | Weight | |||||||||
Hershey Company (The) | (586 | ) | $ | (113,897 | ) | 5.18 | % | |||||
Danone SA | (1,580 | ) | (102,069 | ) | 4.64 | % | ||||||
Unilever PLC | (1,751 | ) | (87,880 | ) | 4.00 | % | ||||||
Keurig Dr Pepper, Inc. | (2,792 | ) | (85,616 | ) | 3.89 | % | ||||||
Kellogg Company | (1,485 | ) | (85,092 | ) | 3.87 | % | ||||||
McCormick & Company, Inc. | (1,018 | ) | (78,195 | ) | 3.56 | % | ||||||
Kraft Heinz Company (The) | (2,112 | ) | (77,930 | ) | 3.54 | % | ||||||
Campbell Soup Company | (1,724 | ) | (76,627 | ) | 3.48 | % | ||||||
General Mills, Inc. | (1,083 | ) | (75,793 | ) | 3.45 | % | ||||||
Conagra Brands, Inc. | (2,529 | ) | (74,961 | ) | 3.41 | % | ||||||
J M Smucker Company (The) | (590 | ) | (74,212 | ) | 3.38 | % | ||||||
Utz Brands, Inc. | (3,944 | ) | (72,728 | ) | 3.31 | % | ||||||
TreeHouse Foods, Inc. | (1,848 | ) | (71,985 | ) | 3.27 | % | ||||||
Coca-Cola Company (The) | (1,168 | ) | (71,475 | ) | 3.25 | % | ||||||
Constellation Brands, Inc. | (253 | ) | (68,711 | ) | 3.12 | % | ||||||
PepsiCo, Inc. | (382 | ) | (66,891 | ) | 3.04 | % | ||||||
Nestlé S.A. | (611 | ) | (64,890 | ) | 2.95 | % | ||||||
Dollar Tree, Inc. | (464 | ) | (61,750 | ) | 2.81 | % | ||||||
Reckitt Benckiser Group PLC | (1,070 | ) | (60,956 | ) | 2.77 | % | ||||||
Tootsie Roll Industries, Inc. | (1,819 | ) | (58,241 | ) | 2.65 | % | ||||||
Mondelez International, Inc., Class A | (804 | ) | (56,256 | ) | 2.56 | % | ||||||
Flowers Foods, Inc. | (2,317 | ) | (55,033 | ) | 2.50 | % | ||||||
Barry Callebaut AG | (38 | ) | (55,007 | ) | 2.50 | % | ||||||
Hormel Foods Corporation | (1,537 | ) | (53,625 | ) | 2.44 | % | ||||||
Sysco Corporation | (635 | ) | (51,561 | ) | 2.35 | % | ||||||
J & J Snack Foods Corporation | (350 | ) | (50,554 | ) | 2.30 | % | ||||||
Tate & Lyle PLC | (5,468 | ) | (42,625 | ) | 1.94 | % | ||||||
Chocoladefabriken Lindt & Spruengli AG | (3 | ) | (39,736 | ) | 1.81 | % | ||||||
Saputo, Inc. | (2,011 | ) | (39,584 | ) | 1.80 | % | ||||||
JDE Peet’s NV | (1,579 | ) | (33,155 | ) | 1.51 | % | ||||||
Post Holdings, Inc. | (298 | ) | (31,717 | ) | 1.44 | % | ||||||
Lancaster Colony Corporation | (146 | ) | (30,382 | ) | 1.38 | % | ||||||
Orkla ASA | (3,958 | ) | (27,903 | ) | 1.27 | % | ||||||
Lamb Weston Holdings, Inc. | (239 | ) | (25,404 | ) | 1.16 | % | ||||||
WK Kellogg Company | (1,260 | ) | (23,691 | ) | 1.08 | % | ||||||
Colgate-Palmolive Company | (248 | ) | (22,314 | ) | 1.01 | % | ||||||
Hain Celestial Group, Inc. (The) | (2,496 | ) | (19,615 | ) | 0.89 | % | ||||||
B&G Foods, Inc. | (937 | ) | (10,723 | ) | 0.49 | % | ||||||
$ | (2,198,784 | ) | 100.00 | % |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
March 31, 2024 |
The following table represents the individual positions and related values of underlying securities of the BCIIJPNB Index Total Return Swap with Barclays.
Name | Quantity | Value | Weight | |||||||||
Mitsubishi UFJ Financial Group, Inc. | 26,808 | $ | 271,763 | 10.22 | % | |||||||
Sumitomo Mitsui Financial Group, Inc. | 3,684 | 214,901 | 8.08 | % | ||||||||
Resona Holdings, Inc. | 34,043 | 209,535 | 7.88 | % | ||||||||
Mizuho Financial Group, Inc. | 10,457 | 206,355 | 7.76 | % | ||||||||
Chiba Bank Ltd. (The) | 23,896 | 198,453 | 7.46 | % | ||||||||
Sumitomo Mitsui Trust Holdings, Inc. | 8,984 | 193,299 | 7.27 | % | ||||||||
Concordia Financial Group Ltd. | 37,909 | 190,070 | 7.15 | % | ||||||||
Fukuoka Financial Group, Inc. | 5,553 | 147,710 | 5.55 | % | ||||||||
Mebuki Financial Group, Inc. | 37,039 | 121,304 | 4.56 | % | ||||||||
Shizuoka Financial Group, Inc. | 12,260 | 116,265 | 4.37 | % | ||||||||
Yamaguchi Financial Group, Inc. | 11,267 | 113,996 | 4.29 | % | ||||||||
77 Bank Ltd. (The) | 3,796 | 100,912 | 3.79 | % | ||||||||
Kyushu Financial Group, Inc. | 13,662 | 100,556 | 3.78 | % | ||||||||
Hirogin Holdings, Inc. | 10,563 | 75,553 | 2.84 | % | ||||||||
Nishi-Nippon Financial Holdings, Inc. | 4,225 | 52,706 | 1.98 | % | ||||||||
Shiga Bank, Ltd. (The) | 1,597 | 43,972 | 1.65 | % | ||||||||
Gunma Bank Ltd. (The) | 5,325 | 30,100 | 1.13 | % | ||||||||
Hachijuni Bank Ltd. (The) | 4,304 | 28,948 | 1.09 | % | ||||||||
Mitsubishi UFJ Financial Group, Inc. | 2,444 | 24,778 | 0.93 | % | ||||||||
Seven Bank Ltd. | 10,768 | 20,836 | 0.78 | % | ||||||||
Sumitomo Mitsui Financial Group, Inc. | 336 | 19,594 | 0.74 | % | ||||||||
Resona Holdings, Inc. | 3,104 | 19,105 | 0.72 | % | ||||||||
Mizuho Financial Group, Inc. | 953 | 18,815 | 0.71 | % | ||||||||
Chiba Bank Ltd. (The) | 2,179 | 18,094 | 0.68 | % | ||||||||
Sumitomo Mitsui Trust Holdings, Inc. | 819 | 17,624 | 0.66 | % | ||||||||
Concordia Financial Group Ltd. | 3,456 | 17,330 | 0.65 | % | ||||||||
Fukuoka Financial Group, Inc. | 506 | 13,468 | 0.51 | % | ||||||||
Mebuki Financial Group, Inc. | 3,377 | 11,060 | 0.42 | % | ||||||||
Shizuoka Financial Group, Inc. | 1,118 | 10,601 | 0.40 | % | ||||||||
Yamaguchi Financial Group, Inc. | 1,027 | 10,394 | 0.39 | % | ||||||||
77 Bank Ltd. (The) | 346 | 9,201 | 0.35 | % | ||||||||
Kyushu Financial Group, Inc. | 1,246 | 9,168 | 0.35 | % | ||||||||
Hirogin Holdings, Inc. | 963 | 6,889 | 0.26 | % | ||||||||
Nishi-Nippon Financial Holdings, Inc. | 385 | 4,805 | 0.18 | % | ||||||||
Shiga Bank, Ltd. (The) | 146 | 4,009 | 0.15 | % | ||||||||
Gunma Bank Ltd. (The) | 485 | 2,744 | 0.10 | % | ||||||||
Hachijuni Bank Ltd. (The) | 392 | 2,639 | 0.10 | % | ||||||||
Seven Bank Ltd. | 982 | 1,900 | 0.07 | % | ||||||||
$ | 2,659,452 | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of the BCIIPRIV Index Total Return Swap with Barclays.
Name | Quantity | Value | Weight | |||||||||
Apollo Global Management, Inc. | 4,772 | $ | 536,605 | 18.77 | % | |||||||
Ares Management Corporation | 3,714 | 493,793 | 17.27 | % | ||||||||
3i Group PLC | 13,013 | 461,420 | 16.14 | % | ||||||||
Blue Owl Capital, Inc. | 19,065 | 359,542 | 12.58 | % | ||||||||
Hamilton Lane, Inc., Class A | 2,039 | 229,952 | 8.05 | % | ||||||||
Partners Group Holding AG | 154 | 219,454 | 7.68 | % | ||||||||
Intermediate Capital Group PLC | 6,851 | 177,628 | 6.21 | % | ||||||||
Blackstone, Inc. | 1,075 | 141,232 | 4.94 | % | ||||||||
EQT AB | 4,317 | 136,531 | 4.78 | % | ||||||||
Carlyle Group, Inc. (The) | 2,182 | 102,361 | 3.58 | % | ||||||||
$ | 2,858,518 | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of the BCIISOXX Index Total Return Swap with Barclays.
Name | Quantity | Value | Weight | |||||||||
Texas Instruments, Inc. | (1,175 | ) | $ | (204,689 | ) | 8.06 | % | |||||
Analog Devices, Inc. | (991 | ) | (195,926 | ) | 7.72 | % | ||||||
NXP Semiconductors N.V. | (772 | ) | (191,207 | ) | 7.53 | % | ||||||
STMicroelectronics N.V. | (4,405 | ) | (189,692 | ) | 7.47 | % | ||||||
Intel Corporation | (4,023 | ) | (177,698 | ) | 7.00 | % | ||||||
Microchip Technology, Inc. | (1,815 | ) | (162,793 | ) | 6.41 | % | ||||||
Infineon Technologies AG | (4,696 | ) | (159,664 | ) | 6.29 | % | ||||||
Teradyne, Inc. | (1,347 | ) | (151,966 | ) | 5.98 | % | ||||||
ASE Technology Holding Company Ltd. | (30,298 | ) | (146,766 | ) | 5.78 | % |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
March 31, 2024 |
Name | Quantity | Value | Weight | |||||||||
Lattice Semiconductor Corporation | (1,747 | ) | $ | (136,690 | ) | 5.38 | % | |||||
Entegris, Inc. | (841 | ) | (118,179 | ) | 4.65 | % | ||||||
MKS Instruments, Inc. | (756 | ) | (100,528 | ) | 3.96 | % | ||||||
ON Semiconductor Corporation | (1,334 | ) | (98,096 | ) | 3.86 | % | ||||||
Skyworks Solutions, Inc. | (902 | ) | (97,732 | ) | 3.85 | % | ||||||
United Microelectronics Corporation | (60,092 | ) | (97,655 | ) | 3.85 | % | ||||||
QUALCOMM, Inc. | (574 | ) | (97,099 | ) | 3.82 | % | ||||||
Marvell Technology, Inc. | (1,042 | ) | (73,887 | ) | 2.91 | % | ||||||
Rambus, Inc. | (880 | ) | (54,367 | ) | 2.14 | % | ||||||
Qorvo, Inc. | (391 | ) | (44,850 | ) | 1.77 | % | ||||||
Monolithic Power Systems, Inc. | (59 | ) | (39,912 | ) | 1.57 | % | ||||||
$ | (2,539,396 | ) | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of the CGFCAWIN Index Total Return Swap with Citigroup.
Name | Quantity | Value | Weight | |||||||||
Vertiv Holdings Company | 3,345 | $ | 273,364 | 11.12 | % | |||||||
NVIDIA Corporation | 244 | 220,473 | 8.97 | % | ||||||||
Disco Corporation | 582 | 212,291 | 8.64 | % | ||||||||
Super Micro Computer, Inc. | 197 | 199,041 | 8.10 | % | ||||||||
Broadcom, Inc. | 147 | 195,500 | 7.95 | % | ||||||||
SK Hynix, Inc. | 1,307 | 172,540 | 7.02 | % | ||||||||
Micron Technology, Inc. | 1,222 | 144,202 | 5.87 | % | ||||||||
Alchip Technologies Ltd. | 1,253 | 123,995 | 5.04 | % | ||||||||
Wiwynn Corporation | 1,674 | 114,651 | 4.66 | % | ||||||||
Arista Networks, Inc. | 375 | 108,760 | 4.42 | % | ||||||||
BE Semiconductor Industries NV | 576 | 88,209 | 3.59 | % | ||||||||
Synopsys, Inc. | 153 | 87,522 | 3.56 | % | ||||||||
Taiwan Semiconductor Manufacturing Company Ltd. | 612 | 83,301 | 3.39 | % | ||||||||
Cadence Design Systems, Inc. | 262 | 81,541 | 3.32 | % | ||||||||
ASML Holding N.V. | 58 | 56,279 | 2.29 | % | ||||||||
Gold Circuit Electronics Ltd. | 7,071 | 54,064 | 2.20 | % | ||||||||
Samsung Electronics Company Ltd., Preferred Series 1 | 990 | 49,284 | 2.01 | % | ||||||||
Tokyo Electron Ltd. | 189 | 49,068 | 2.00 | % | ||||||||
Applied Materials, Inc. | 175 | 36,063 | 1.47 | % | ||||||||
KLA Corporation | 51 | 35,934 | 1.46 | % | ||||||||
Lam Research Corporation | 25 | 24,019 | 0.98 | % | ||||||||
Nova Ltd. | 71 | 12,623 | 0.51 | % | ||||||||
ULVAC, Inc. | 187 | 11,942 | 0.49 | % | ||||||||
Kulicke & Soffa Industries, Inc. | 235 | 11,823 | 0.48 | % | ||||||||
All Ring Technology Company Ltd. | 1,500 | 11,396 | 0.46 | % | ||||||||
$ | 2,457,885 | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of the CGFCBVRG Index Total Return Swap with Citigroup.
Name | Quantity | Value | Weight | |||||||||
Constellation Brands, Inc. | (1,523 | ) | $ | (413,992 | ) | 18.53 | % | |||||
Molson Coors Beverage Company, Class B | (4,516 | ) | (303,841 | ) | 13.60 | % | ||||||
Diageo PLC | (7,131 | ) | (263,452 | ) | 11.79 | % | ||||||
Anheuser-Busch Inbev SA | (4,208 | ) | (256,444 | ) | 11.48 | % | ||||||
Brown-Forman Corporation | (3,998 | ) | (206,468 | ) | 9.24 | % | ||||||
Davide Campari-Milano NV | (18,487 | ) | (185,847 | ) | 8.32 | % | ||||||
Boston Beer Company, Inc. (The) | (503 | ) | (153,076 | ) | 6.85 | % | ||||||
MGP Ingredients, Inc. | (1,315 | ) | (113,337 | ) | 5.07 | % | ||||||
Duckhorn Portfolio, Inc. (The) | (11,287 | ) | (105,123 | ) | 4.71 | % | ||||||
Remy Cointreau SA | (944 | ) | (95,205 | ) | 4.26 | % | ||||||
Heineken NV | (756 | ) | (72,872 | ) | 3.26 | % | ||||||
Pernod Ricard SA | (400 | ) | (64,656 | ) | 2.89 | % | ||||||
$ | (2,234,313 | ) | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of the CGFCJPBK Index Total Return Swap with Citigroup.
Name | Quantity | Value | Weight | |||||||||
Seven Bank Ltd. | 2,511 | $ | 4,859 | 0.85 | % | |||||||
Hachijuni Bank Ltd. (The) | 1,004 | 6,753 | 1.19 | % | ||||||||
Gunma Bank Ltd. (The) | 1,242 | 7,022 | 1.24 | % | ||||||||
Shiga Bank Ltd. (The) | 373 | 10,255 | 1.80 | % | ||||||||
Nishi-Nippon Financial Holdings | 985 | 12,293 | 2.16 | % | ||||||||
Hirogin Holdings, Inc. | 2,464 | 17,621 | 3.10 | % |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
March 31, 2024 |
Name | Quantity | Value | Weight | |||||||||
Kyushu Financial Group, Inc. | 3,187 | $ | 23,455 | 4.13 | % | |||||||
77 Bank Ltd. (The) | 885 | 23,536 | 4.14 | % | ||||||||
Yamaguchi Financial Group, Inc. | 2,628 | 26,591 | 4.68 | % | ||||||||
Shizuoka Financial Group, Inc. | 2,860 | 27,118 | 4.77 | % | ||||||||
Mebuki Financial Group, Inc. | 8,640 | 28,297 | 4.98 | % | ||||||||
Fukuoka Financial Group, Inc. | 1,295 | 34,457 | 6.06 | % | ||||||||
Concordia Financial Group Ltd. | 8,843 | 44,337 | 7.80 | % | ||||||||
Sumitomo Mitsui Trust Holdings | 2,095 | 45,088 | 7.93 | % | ||||||||
Chiba Bank Ltd. (The) | 5,574 | 46,289 | 8.14 | % | ||||||||
Mizuho Financial Group, Inc. | 2,440 | 48,135 | 8.46 | % | ||||||||
Resona Holdings, Inc. | 7,940 | 48,874 | 8.60 | % | ||||||||
Sumitomo Mitsui Financial Group | 860 | 50,128 | 8.82 | % | ||||||||
Mitsubishi Ufj Financial Group | 6,253 | 63,392 | 11.15 | % | ||||||||
$ | 568,500 | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of the GSMBATDM Index Total Return Swap with Goldman Sachs.
Name | Quantity | Value | Weight | |||||||||
Lululemon Athletica, Inc. | 681 | $ | 266,057 | 12.89 | % | |||||||
Industria de Diseno Textil SA | 3,740 | 188,380 | 9.13 | % | ||||||||
ASICS Corporation | 3,900 | 183,046 | 8.87 | % | ||||||||
TJX Companies, Inc. (The) | 1,682 | 170,655 | 8.27 | % | ||||||||
O’Reilly Automotive, Inc. | 142 | 160,863 | 7.79 | % | ||||||||
MercadoLibre, Inc. | 104 | 157,190 | 7.62 | % | ||||||||
Associated British Foods PLC | 4,547 | 143,427 | 6.95 | % | ||||||||
EssilorLuxottica SA | 579 | 130,947 | 6.34 | % | ||||||||
e.l.f. Beauty, Inc. | 664 | 130,189 | 6.31 | % | ||||||||
Deckers Outdoor Corporation | 110 | 103,104 | 5.00 | % | ||||||||
Ross Stores, Inc. | 695 | 102,008 | 4.94 | % | ||||||||
Ulta Beauty, Inc. | 175 | 91,415 | 4.43 | % | ||||||||
AutoZone, Inc. | 29 | 90,260 | 4.37 | % | ||||||||
Beiersdorf AG | 595 | 86,653 | 4.20 | % | ||||||||
Five Below, Inc. | 328 | 59,592 | 2.89 | % | ||||||||
$ | 2,063,786 | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of the JPQWIN Index Total Return Swap with JP Morgan.
Name | Quantity | Value | Weight | |||||||||
Inspire Medical Systems, Inc. | (172 | ) | $ | (36,961 | ) | 1.69 | % | |||||
Williams-Sonoma, Inc. | (115 | ) | (36,500 | ) | 1.67 | % | ||||||
T Rowe Price Group, Inc. | (277 | ) | (33,830 | ) | 1.55 | % | ||||||
Progressive Corporation (The) | (163 | ) | (33,788 | ) | 1.55 | % | ||||||
Illumina, Inc. | (246 | ) | (33,747 | ) | 1.55 | % | ||||||
Fastenal Company | (435 | ) | (33,544 | ) | 1.54 | % | ||||||
Pure Storage, Inc., Class A | (645 | ) | (33,541 | ) | 1.54 | % | ||||||
Align Technology, Inc. | (102 | ) | (33,367 | ) | 1.53 | % | ||||||
Elevance Health, Inc. | (64 | ) | (33,211 | ) | 1.52 | % | ||||||
Cadence Design Systems, Inc. | (107 | ) | (33,171 | ) | 1.52 | % | ||||||
Roku, Inc. | (506 | ) | (32,985 | ) | 1.51 | % | ||||||
Rambus, Inc. | (531 | ) | (32,790 | ) | 1.50 | % | ||||||
Humana, Inc. | (95 | ) | (32,775 | ) | 1.50 | % | ||||||
Lattice Semiconductor Corporation | (419 | ) | (32,752 | ) | 1.50 | % | ||||||
Pinterest, Inc., Class A | (943 | ) | (32,697 | ) | 1.50 | % | ||||||
Expeditors International of Washington, Inc. | (269 | ) | (32,674 | ) | 1.50 | % | ||||||
Netflix, Inc. | (54 | ) | (32,518 | ) | 1.49 | % | ||||||
Manhattan Associates, Inc. | (130 | ) | (32,444 | ) | 1.49 | % | ||||||
Toast, Inc., Class A | (1,301 | ) | (32,410 | ) | 1.49 | % | ||||||
Saia, Inc. | (55 | ) | (32,201 | ) | 1.48 | % | ||||||
Meta Platforms, Inc., Class A | (66 | ) | (31,973 | ) | 1.47 | % | ||||||
Duolingo, Inc. | (145 | ) | (31,909 | ) | 1.46 | % | ||||||
MarketAxess Holdings, Inc. | (145 | ) | (31,806 | ) | 1.46 | % | ||||||
Jack Henry & Associates, Inc. | (183 | ) | (31,789 | ) | 1.46 | % | ||||||
Qualys, Inc. | (190 | ) | (31,724 | ) | 1.45 | % | ||||||
Trex Company, Inc. | (316 | ) | (31,549 | ) | 1.45 | % | ||||||
Robert Half, Inc. | (395 | ) | (31,328 | ) | 1.44 | % | ||||||
Chewy, Inc., Class A | (1,814 | ) | (28,858 | ) | 1.32 | % | ||||||
YETI Holdings, Inc. | (747 | ) | (28,794 | ) | 1.32 | % | ||||||
Adobe, Inc. | (57 | ) | (28,708 | ) | 1.32 | % |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
March 31, 2024 |
Name | Quantity | Value | Weight | |||||||||
DocuSign, Inc. | (461 | ) | $ | (27,430 | ) | 1.26 | % | |||||
Universal Health Services, Inc., Class B | (147 | ) | (26,848 | ) | 1.23 | % | ||||||
Texas Roadhouse, Inc. | (172 | ) | (26,530 | ) | 1.22 | % | ||||||
Old Dominion Freight Line, Inc. | (120 | ) | (26,359 | ) | 1.21 | % | ||||||
Cognex Corporation | (607 | ) | (25,761 | ) | 1.18 | % | ||||||
Liberty Energy, Inc. | (1,182 | ) | (24,499 | ) | 1.12 | % | ||||||
American Eagle Outfitters, Inc. | (900 | ) | (23,207 | ) | 1.06 | % | ||||||
Abercrombie & Fitch Company, Class A | (184 | ) | (23,021 | ) | 1.05 | % | ||||||
Appfolio, Inc., Class A | (91 | ) | (22,369 | ) | 1.02 | % | ||||||
Zions Bancorp NA | (509 | ) | (22,093 | ) | 1.01 | % | ||||||
Warrior Met Coal, Inc. | (363 | ) | (22,061 | ) | 1.01 | % | ||||||
Exelixis, Inc. | (926 | ) | (21,979 | ) | 1.01 | % | ||||||
CONSOL Energy, Inc. | (261 | ) | (21,889 | ) | 1.00 | % | ||||||
Smartsheet, Inc., Class A | (561 | ) | (21,589 | ) | 0.99 | % | ||||||
Jones Lang LaSalle, Inc. | (110 | ) | (21,541 | ) | 0.99 | % | ||||||
NVIDIA Corporation | (23 | ) | (20,458 | ) | 0.94 | % | ||||||
Alkermes PLC | (739 | ) | (20,015 | ) | 0.92 | % | ||||||
Allegro Microsystems, Inc. | (715 | ) | (19,271 | ) | 0.88 | % | ||||||
Oscar Health, Inc., Class A | (1,282 | ) | (19,062 | ) | 0.87 | % | ||||||
ACADIA Pharmaceuticals, Inc. | (1,013 | ) | (18,732 | ) | 0.86 | % | ||||||
Other Underlying Index Components* | (28,477 | ) | (751,314 | ) | 34.40 | % | ||||||
$ | (2,182,372 | ) | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of the MSFDRUS I Index Total Return Swap with Morgan Stanley.
Name | Quantity | Value | Weight | |||||||||
Novo Nordisk A/S, Class B | 6,393 | $ | 815,262 | 5.09 | % | |||||||
Eli Lilly & Company | 1,040 | 809,078 | 5.05 | % | ||||||||
PDD Holdings, Inc. - ADR | 6,533 | 759,461 | 4.74 | % | ||||||||
George Weston Ltd. | 3,292 | 444,984 | 2.78 | % | ||||||||
Bunge Global S.A. | (3,628 | ) | (371,943 | ) | -2.32 | % | ||||||
ONEOK, Inc. | 4,485 | 359,562 | 2.24 | % | ||||||||
Loblaw Companies Ltd. | 3,189 | 353,545 | 2.21 | % | ||||||||
Vulcan Materials Company | 1,295 | 353,431 | 2.21 | % | ||||||||
Tenaris SA - ADR | 8,987 | 352,919 | 2.20 | % | ||||||||
CRH PLC | 4,037 | 347,976 | 2.17 | % | ||||||||
Martin Marietta Materials, Inc. | 552 | 338,895 | 2.11 | % | ||||||||
Archer-Daniels-Midland Company | (5,312 | ) | (333,647 | ) | -2.08 | % | ||||||
TransDigm Group, Inc. | 268 | 330,069 | 2.06 | % | ||||||||
Targa Resources Corporation | 2,934 | 328,579 | 2.05 | % | ||||||||
Eagle Materials, Inc. | 1,190 | 323,383 | 2.02 | % | ||||||||
CF Industries Holdings, Inc. | (3,869 | ) | (321,939 | ) | -2.01 | % | ||||||
CSL Ltd. | 1,590 | 298,298 | 1.86 | % | ||||||||
Mowi ASA | 15,766 | 288,885 | 1.80 | % | ||||||||
Enbridge, Inc. | 7,541 | 272,833 | 1.70 | % | ||||||||
Holcim AG | 2,847 | 257,990 | 1.61 | % | ||||||||
SalMar ASA | 3,915 | 257,953 | 1.61 | % | ||||||||
Airbus SE | 1,346 | 247,942 | 1.55 | % | ||||||||
Rheinmetall AG | 437 | 245,663 | 1.53 | % | ||||||||
Corteva, Inc. | (4,241 | ) | (244,578 | ) | -1.53 | % | ||||||
FMC Corporation | (3,789 | ) | (241,359 | ) | -1.51 | % | ||||||
Williams Companies, Inc. (The) | 6,126 | 238,730 | 1.49 | % | ||||||||
Safran SA | 1,045 | 236,843 | 1.48 | % | ||||||||
TC Energy Corporation | 5,604 | 225,333 | 1.41 | % | ||||||||
NextEra Energy, Inc. | 3,490 | 223,046 | 1.39 | % | ||||||||
Republic Services, Inc. | 1,161 | 222,262 | 1.39 | % | ||||||||
Wheaton Precious Metals Corporation | (4,451 | ) | (209,776 | ) | -1.31 | % | ||||||
Agnico Eagle Mines Ltd. | 3,504 | 209,014 | 1.30 | % | ||||||||
Waste Connections, Inc. | 1,208 | 207,773 | 1.30 | % | ||||||||
MPLX, L.P. | 4,947 | 205,597 | 1.28 | % | ||||||||
Clean Harbors, Inc. | 989 | 199,096 | 1.24 | % | ||||||||
Nutrien Ltd. | (3,665 | ) | (199,046 | ) | -1.24 | % | ||||||
Waste Management, Inc. | 914 | 194,819 | 1.22 | % | ||||||||
Quanta Services, Inc. | 748 | 194,330 | 1.21 | % | ||||||||
Franco-Nevada Corporation | (1,622 | ) | (193,278 | ) | -1.21 | % | ||||||
Schlumberger N.V. | 3,443 | 188,711 | 1.18 | % | ||||||||
Tidewater, Inc. | 2,050 | 188,600 | 1.18 | % | ||||||||
Barrick Gold Corporation | 11,334 | 188,598 | 1.18 | % |
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
March 31, 2024 |
Name | Quantity | Value | Weight | |||||||||
Mitsubishi UFJ Financial Group, Inc. | 18,579 | $ | 188,225 | 1.17 | % | |||||||
Rolls-Royce Holdings PLC | 34,886 | 187,919 | 1.17 | % | ||||||||
Ryanair Holdings PLC | 8,275 | 187,771 | 1.17 | % | ||||||||
Harmony Gold Mining Company Ltd. | 22,959 | 187,575 | 1.17 | % | ||||||||
Gold Fields Ltd. | 11,774 | 187,089 | 1.17 | % | ||||||||
Plains All American Pipeline, L.P. | 10,439 | 183,309 | 1.14 | % | ||||||||
Weatherford International PLC | 1,576 | 181,902 | 1.14 | % | ||||||||
Antero Midstream Corporation | 12,841 | 180,544 | 1.13 | % | ||||||||
Other Underlying Index Components* | (317,030 | ) | 5,945,893 | 37.11 | % | |||||||
$ | (102,078 | ) | $ | 16,024,121 | 100.00 | % |
* | Largest 50 underlying components by market value at March 31, 2024. |