LEGG MASON LOW VOLATILITY HIGH DIVIDEND ETF
Schedule of investments (unaudited) | July 31, 2020 |
SECURITY | SHARES | VALUE | ||||||
COMMON STOCKS - 98.4% | ||||||||
COMMUNICATION SERVICES - 6.2% | ||||||||
Diversified Telecommunication Services - 2.2% | ||||||||
Verizon Communications Inc. | 257,065 | $ | 14,776,096 | |||||
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Media - 4.0% | ||||||||
Interpublic Group of Cos. Inc. | 614,808 | 11,097,285 | ||||||
Omnicom Group Inc. | 283,044 | 15,207,954 | ||||||
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Total Media | 26,305,239 | |||||||
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TOTAL COMMUNICATION SERVICES | 41,081,335 | |||||||
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CONSUMER DISCRETIONARY - 1.8% | ||||||||
Distributors - 1.2% | ||||||||
Genuine Parts Co. | 87,341 | 7,873,791 | ||||||
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Hotels, Restaurants & Leisure - 0.6% | ||||||||
Cracker Barrel Old Country Store Inc. | 39,527 | 4,366,548 | ||||||
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TOTAL CONSUMER DISCRETIONARY | 12,240,339 | |||||||
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CONSUMER STAPLES - 13.4% | ||||||||
Beverages - 4.6% | ||||||||
Coca-Cola Co. | 326,343 | 15,416,444 | ||||||
PepsiCo Inc. | 112,411 | 15,474,498 | ||||||
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Total Beverages | 30,890,942 | |||||||
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Food & Staples Retailing - 2.1% | ||||||||
Walgreens Boots Alliance Inc. | 344,202 | 14,012,463 | ||||||
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Food Products - 6.6% | ||||||||
Archer-Daniels-Midland Co. | 324,260 | 13,888,056 | ||||||
General Mills Inc. | 247,680 | 15,670,713 | ||||||
Kellogg Co. | 203,639 | 14,049,055 | ||||||
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Total Food Products | 43,607,824 | |||||||
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Tobacco - 0.1% | ||||||||
Universal Corp. | 15,380 | 648,421 | ||||||
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TOTAL CONSUMER STAPLES | 89,159,650 | |||||||
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ENERGY - 1.7% | ||||||||
Oil, Gas & Consumable Fuels - 1.7% | ||||||||
Phillips 66 | 187,514 | 11,629,618 | ||||||
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FINANCIALS - 7.5% | ||||||||
Banks - 5.7% | ||||||||
First Hawaiian Inc. | 134,901 | 2,344,579 | ||||||
FNB Corp. | 249,932 | 1,851,996 | ||||||
Huntington Bancshares Inc. | 1,545,662 | 14,328,287 | ||||||
Park National Corp. | 5,870 | 503,411 | ||||||
People’s United Financial Inc. | 369,721 | 3,989,290 | ||||||
S&T Bancorp Inc. | 17,631 | 379,067 |
See Notes to Schedule of Investments.
| ||||
Legg Mason Low Volatility High Dividend ETF 2020 Quarterly Report |
1 |
LEGG MASON LOW VOLATILITY HIGH DIVIDEND ETF
Schedule of investments (unaudited) (cont’d) | July 31, 2020 |
SECURITY | SHARES | VALUE | ||||||
Banks - (continued) | ||||||||
Umpqua Holdings Corp. | 161,193 | $ | 1,748,944 | |||||
WesBanco Inc. | 28,445 | 564,064 | ||||||
Zions Bancorp NA | 369,511 | 11,998,022 | ||||||
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Total Banks | 37,707,660 | |||||||
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Capital Markets - 0.1% | ||||||||
Cohen & Steers Inc. | 11,022 | 663,304 | ||||||
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Insurance - 0.3% | ||||||||
American National Group Inc. | 4,932 | 363,242 | ||||||
CNA Financial Corp. | 32,603 | 1,085,680 | ||||||
Safety Insurance Group Inc. | 5,555 | 420,347 | ||||||
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Total Insurance | 1,869,269 | |||||||
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Mortgage Real Estate Investment Trusts (REITs) - 0.5% | ||||||||
Arbor Realty Trust Inc. | 348,514 | 3,551,358 | ||||||
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Thrifts & Mortgage Finance - 0.9% | ||||||||
New York Community Bancorp Inc. | 473,625 | 4,987,271 | ||||||
Northwest Bancshares Inc. | 87,863 | 865,450 | ||||||
Provident Financial Services Inc. | 22,544 | 307,726 | ||||||
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Total Thrifts & Mortgage Finance | 6,160,447 | |||||||
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TOTAL FINANCIALS | 49,952,038 | |||||||
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HEALTH CARE - 10.2% | ||||||||
Biotechnology - 4.5% | ||||||||
AbbVie Inc. | 182,969 | 17,365,588 | ||||||
Gilead Sciences Inc. | 183,350 | 12,748,325 | ||||||
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Total Biotechnology | 30,113,913 | |||||||
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Health Care Providers & Services - 1.1% | ||||||||
CVS Health Corp. | 108,963 | 6,858,131 | ||||||
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Pharmaceuticals - 4.6% | ||||||||
Merck & Co. Inc. | 186,399 | 14,956,656 | ||||||
Pfizer Inc. | 411,250 | 15,824,900 | ||||||
|
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Total Pharmaceuticals | 30,781,556 | |||||||
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TOTAL HEALTH CARE | 67,753,600 | |||||||
|
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INDUSTRIALS - 10.4% | ||||||||
Air Freight & Logistics - 3.3% | ||||||||
United Parcel Service Inc., Class B Shares | 152,718 | 21,802,022 | ||||||
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Electrical Equipment - 4.8% | ||||||||
Eaton Corp. PLC | 191,986 | 17,879,656 | ||||||
Emerson Electric Co. | 230,007 | 14,262,734 | ||||||
|
| |||||||
Total Electrical Equipment | 32,142,390 | |||||||
|
|
See Notes to Schedule of Investments.
| ||||
2 | Legg Mason Low Volatility High Dividend ETF 2020 Quarterly Report |
LEGG MASON LOW VOLATILITY HIGH DIVIDEND ETF
Schedule of investments (unaudited) (cont’d) | July 31, 2020 |
SECURITY | SHARES | VALUE | ||||||
Industrial Conglomerates - 2.3% | ||||||||
3M Co. | 103,812 | $ | 15,620,591 | |||||
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TOTAL INDUSTRIALS | 69,565,003 | |||||||
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INFORMATION TECHNOLOGY - 9.5% | ||||||||
Communications Equipment - 1.3% | ||||||||
Juniper Networks Inc. | 347,797 | 8,827,088 | ||||||
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IT Services - 6.4% | ||||||||
International Business Machines Corp. | 124,942 | 15,360,369 | ||||||
Paychex Inc. | 186,989 | 13,448,249 | ||||||
Western Union Co. | 583,014 | 14,155,580 | ||||||
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Total IT Services | 42,964,198 | |||||||
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Technology Hardware, Storage & Peripherals - 1.8% | ||||||||
Seagate Technology PLC | 259,634 | 11,740,650 | ||||||
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TOTAL INFORMATION TECHNOLOGY | 63,531,936 | |||||||
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MATERIALS - 2.1% | ||||||||
Chemicals - 0.8% | ||||||||
LyondellBasell Industries NV, Class A Shares | 89,081 | 5,569,344 | ||||||
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Containers & Packaging - 1.3% | ||||||||
Packaging Corp. of America | 89,429 | 8,595,916 | ||||||
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TOTAL MATERIALS | 14,165,260 | |||||||
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REAL ESTATE - 16.8% | ||||||||
Equity Real Estate Investment Trusts (REITs) - 16.8% | ||||||||
CoreCivic Inc. | 127,919 | 1,139,758 | ||||||
Crown Castle International Corp. | 91,372 | 15,231,712 | ||||||
CubeSmart | 184,628 | 5,477,913 | ||||||
EPR Properties | 49,589 | 1,419,733 | ||||||
Four Corners Property Trust Inc. | 33,842 | 852,818 | ||||||
Gaming and Leisure Properties Inc. | 134,990 | 4,887,988 | ||||||
Getty Realty Corp. | 11,077 | 328,212 | ||||||
Highwoods Properties Inc. | 68,090 | 2,610,571 | ||||||
Industrial Logistics Properties Trust | 45,618 | 962,996 | ||||||
Kimco Realty Corp. | 347,437 | 3,873,923 | ||||||
Lamar Advertising Co., Class A Shares | 36,265 | 2,383,698 | ||||||
Lexington Realty Trust | 118,607 | 1,375,841 | ||||||
Life Storage Inc. | 41,345 | 4,057,185 | ||||||
LTC Properties Inc. | 20,168 | 749,241 | ||||||
Macerich Co. | 1,311,378 | 10,005,814 | ||||||
Monmouth Real Estate Investment Corp. | 27,550 | 397,547 | ||||||
National Health Investors Inc. | 21,609 | 1,339,758 | ||||||
National Retail Properties Inc. | 101,741 | 3,606,718 | ||||||
Piedmont Office Realty Trust Inc., Class A Shares | 79,867 | 1,294,644 |
See Notes to Schedule of Investments.
| ||||
Legg Mason Low Volatility High Dividend ETF 2020 Quarterly Report |
3 |
LEGG MASON LOW VOLATILITY HIGH DIVIDEND ETF
Schedule of investments (unaudited) (cont’d) | July 31, 2020 |
SECURITY | SHARES | VALUE | ||||||||||
Equity Real Estate Investment Trusts (REITs) - (continued) | ||||||||||||
Public Storage | 50,827 | $ | 10,159,301 | |||||||||
Realty Income Corp. | 195,798 | 11,757,670 | ||||||||||
STORE Capital Corp. | 172,189 | 4,079,157 | ||||||||||
Ventas Inc. | 216,593 | 8,308,508 | ||||||||||
VICI Properties Inc. | 394,624 | 8,567,287 | ||||||||||
WP Carey Inc. | 98,325 | 7,017,455 | ||||||||||
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TOTAL REAL ESTATE | 111,885,448 | |||||||||||
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UTILITIES - 18.8% | ||||||||||||
Electric Utilities - 11.8% | ||||||||||||
ALLETE Inc. | 38,704 | 2,295,147 | ||||||||||
American Electric Power Co. Inc. | 175,384 | 15,237,362 | ||||||||||
Duke Energy Corp. | 171,047 | 14,494,523 | ||||||||||
Evergy Inc. | 192,074 | 12,452,158 | ||||||||||
Exelon Corp. | 87,331 | 3,371,850 | ||||||||||
OGE Energy Corp. | 181,316 | 5,965,296 | ||||||||||
Pinnacle West Capital Corp. | 105,580 | 8,771,586 | ||||||||||
PPL Corp. | 588,966 | 15,678,275 | ||||||||||
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Total Electric Utilities | 78,266,197 | |||||||||||
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Multi-Utilities - 7.0% | ||||||||||||
Consolidated Edison Inc. | 177,211 | 13,615,121 | ||||||||||
DTE Energy Co. | 145,637 | 16,840,006 | ||||||||||
Public Service Enterprise Group Inc. | 291,740 | 16,319,936 | ||||||||||
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Total Multi-Utilities | 46,775,063 | |||||||||||
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TOTAL UTILITIES | 125,041,260 | |||||||||||
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TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS |
| 656,005,487 | ||||||||||
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RATE | ||||||||||||
SHORT-TERM INVESTMENTS - 1.3% | ||||||||||||
Invesco Treasury Portfolio, Institutional Class | 0.063 | % | 8,597,974 | 8,597,974 | ||||||||
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TOTAL INVESTMENTS - 99.7% | 664,603,461 | |||||||||||
Other Assets in Excess of Liabilities - 0.3% | 1,768,954 | |||||||||||
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TOTAL NET ASSETS - 100.0% | $ | 666,372,415 | ||||||||||
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At July 31, 2020, the Fund had the following open futures contracts:
Number of Contracts | Expiration Date | Notional Amount | Market Value | Unrealized Appreciation | ||||||||||||||||
Contracts to Buy: | ||||||||||||||||||||
E-mini S&P 500 Index | 62 | 9/20 | $ | 9,445,021 | $ | 10,116,850 | $ | 671,829 |
See Notes to Schedule of Investments.
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4 | Legg Mason Low Volatility High Dividend ETF 2020 Quarterly Report |
LEGG MASON LOW VOLATILITY HIGH DIVIDEND ETF
Schedule of investments (unaudited) (cont’d) | July 31, 2020 |
This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.
See Notes to Schedule of Investments.
| ||||
Legg Mason Low Volatility High Dividend ETF 2020 Quarterly Report |
5 |
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Legg Mason Low Volatility High Dividend ETF (the “Fund”) is a separate diversified investment series of Legg Mason ETF Investment Trust (the “Trust”). The Trust, a Maryland statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The Fund is an exchange-traded fund (“ETF”). ETFs are funds that trade like other publicly-traded securities. The Fund is designed to track an index. Similar to shares of an index mutual fund, each share of the Fund represents an ownership interest in an underlying portfolio of securities intended to track an index. Unlike shares of a mutual fund, which can be bought from and redeemed by the issuing fund by all shareholders at a price based on net asset value (“NAV”), shares of the Fund may be directly purchased from and redeemed by the Fund at NAV solely by certain large institutional investors who have entered into agreements with the Fund’s distributor (“Authorized Participants”). Also unlike shares of a mutual fund, shares of the Fund are listed on a national securities exchange and trade in the secondary market at market prices that change throughout the day.
Shares of the Fund are listed and traded at market prices on NASDAQ. The market price for the Fund’s shares may be different from the Fund’s NAV. The Fund issues and redeems shares at NAV only in blocks of a specified number of shares or multiples thereof (“Creation Units”). Only Authorized Participants may purchase or redeem Creation Units directly with the Fund at NAV. Creation Units are issued and redeemed generally in-kind for a basket of securities and/or cash. Except when aggregated in Creation Units, shares of the Fund are not redeemable securities. Shareholders who are not Authorized Participants may not redeem shares directly from the Fund at NAV.
The Fund seeks to track the investment results of the QS Low Volatility High Dividend Index (the “Underlying Index”). The Underlying Index seeks to provide more stable income through investments in stocks of profitable U.S. companies with relatively high dividend yields and lower price and earnings volatility. The Underlying Index is based on a proprietary methodology created and sponsored by QS Investors, LLC, the Fund’s subadviser.
The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”).
(a) Investment valuation. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day
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6 |
Notes to Schedule of Investments (unaudited) (continued)
of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will use the currency exchange rates, generally determined as of 4:00 p.m. (London Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Trustees.
The Board of Trustees is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North Atlantic Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Trustees, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Board of Trustees. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Trustees quarterly.
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7 |
Notes to Schedule of Investments (unaudited) (continued)
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used in valuing the Fund’s assets carried at fair value:
ASSETS | ||||||||||||||||
DESCRIPTION | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTAL | ||||||||||||
Common Stocks† | $ | 656,005,487 | — | — | $ | 656,005,487 | ||||||||||
Short-Term Investments† | 8,597,974 | — | — | 8,597,974 | ||||||||||||
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Total Investments | $ | 664,603,461 | — | — | $ | 664,603,461 | ||||||||||
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Other Financial Instruments: | ||||||||||||||||
Futures Contracts | $ | 671,829 | — | — | $ | 671,829 | ||||||||||
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Total | $ | 665,275,290 | — | — | $ | 665,275,290 | ||||||||||
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† | See Schedule of Investments for additional detailed categorizations. |
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8 |