![](https://capedge.com/proxy/N-CSRS/0001133228-24-007498/swann-csr.jpg)
Shares | Value | ||||||||
EXCHANGE TRADED FUNDS - 94.7% | |||||||||
SPDR S&P 500 ETF Trust(a) | 445,602 | $234,997,126 | |||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $192,219,583) | 234,997,126 | ||||||||
Notional Amount | Contracts | ||||||||
PURCHASED OPTIONS - 4.8%(b)(c) | |||||||||
Put Options - 4.8% | |||||||||
S&P 500 Index | |||||||||
Expiration: 12/20/2024; Exercise Price: $4,550.00 | $14,249,277 | 27 | 108,270 | ||||||
Expiration: 12/31/2024; Exercise Price: $4,550.00 | 101,328,192 | 192 | 810,240 | ||||||
Expiration: 12/19/2025; Exercise Price: $5,000.00 | 235,376,946 | 446 | 9,006,970 | ||||||
Expiration: 12/20/2024; Exercise Price: $5,000.00 | 14,249,277 | 27 | 239,085 | ||||||
Expiration: 12/31/2024; Exercise Price: $5,000.00 | 101,328,192 | 192 | 1,756,800 | ||||||
Total Put Options | 11,921,365 | ||||||||
TOTAL PURCHASED OPTIONS (Cost $26,451,282) | 11,921,365 | ||||||||
Shares | |||||||||
SHORT-TERM INVESTMENTS - 1.5% | |||||||||
Money Market Funds - 1.5% | |||||||||
First American Government Obligations Fund - Class X, 5.23%(d) | 3,663,238 | 3,663,238 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,663,238) | 3,663,238 | ||||||||
TOTAL INVESTMENTS - 101.0% (Cost $222,334,103) | $250,581,729 | ||||||||
Liabilities in Excess of Other Assets - (1.0)% | (2,375,768) | ||||||||
TOTAL NET ASSETS - 100.0% | $248,205,961 | ||||||||