Quarterly Portfolios of Investments
HARBOR FUNDS II
January 31, 2024
Embark Commodity Strategy Fund (Consolidated) |
Embark Small Cap Equity Fund |
Embark Commodity Strategy FundCONSOLIDATED PORTFOLIO OF INVESTMENTS—January 31, 2024 (Unaudited)
Principal Amounts, Value and Cost in Thousands
Short-Term Investments—35.0% | ||
Principal Amount | Value | |
U.S. TREASURY BILLS—35.0% | ||
U.S. Treasury Bills | ||
$1,200 | 5.154%—05/30/2024† | $1,180 |
3,600 | 5.187%—04/30/2024-05/21/2024† | 3,548 |
1,200 | 5.194%—04/16/2024† | 1,187 |
1,200 | 5.195%—04/23/2024† | 1,186 |
1,200 | 5.197%—05/07/2024† | 1,183 |
1,340 | 5.202%—04/09/2024-04/18/2024† | 1,326 |
760 | 5.205%—04/11/2024† | 752 |
1,960 | 5.207%—04/02/2024-04/18/2024† | 1,941 |
760 | 5.222%—04/04/2024† | 753 |
750 | 5.226%—03/28/2024† | 744 |
1,200 | 5.227%—03/26/2024† | 1,191 |
Short-Term Investments—Continued | ||
Principal Amount | Value | |
U.S. TREASURY BILLS—Continued | ||
$760 | 5.237%—03/21/2024† | $755 |
750 | 5.247%—03/14/2024† | 745 |
750 | 5.257%—03/07/2024† | 746 |
500 | 5.260%—02/29/2024† | 498 |
TOTAL SHORT-TERM INVESTMENTS (Cost $17,735) | 17,735 | |
TOTAL INVESTMENTS—35.0% (Cost $17,735) | 17,735 | |
CASH AND OTHER ASSETS, LESS LIABILITIES—65.0% | 32,919 | |
TOTAL NET ASSETS—100% | $50,654 |
FUTURES CONTRACTS | ||||
Description | Number of Contracts | Expiration Date | Current Notional Value (000s) | Unrealized Appreciation/ (Depreciation) (000s) |
Brent Crude Futures (Long) | 19 | 02/29/2024 | $1,530 | $(13 ) |
Brent Crude Futures (Long) | 35 | 03/28/2024 | 2,809 | 46 |
California Carbon Allowance Futures (Long) | 9 | 12/24/2024 | 391 | 2 |
Cattle Feeder Futures (Long) | 1 | 05/23/2024 | 126 | 4 |
Cocoa Futures (Long) | 7 | 03/13/2024 | 340 | 13 |
Cocoa Futures (Long) | 2 | 05/15/2024 | 95 | 4 |
Cocoa Futures (Long) | 9 | 07/16/2024 | 422 | 19 |
Cocoa Futures (Short) | 5 | 03/13/2024 | 241 | (9 ) |
Coffee C Futures (Long) | 16 | 03/18/2024 | 1,164 | 8 |
Coffee C Futures (Long) | 4 | 05/20/2024 | 286 | 6 |
Coffee C Futures (Long) | 1 | 07/19/2024 | 71 | 2 |
Copper Futures (Long) | 4 | 03/26/2024 | 391 | 11 |
Copper Futures (Long) | 1 | 04/29/2024 | 215 | 2 |
Copper Futures (Long) | 11 | 07/29/2024 | 1,087 | 31 |
Copper Futures (Short) | 1 | 04/29/2024 | 215 | (3 ) |
Corn Futures (Long) | 69 | 03/14/2024 | 1,546 | 6 |
Corn Futures (Long) | 5 | 05/14/2024 | 115 | — |
Corn Futures (Long) | 27 | 07/12/2024 | 630 | 1 |
Cotton No. 2 Futures (Long) | 5 | 03/06/2024 | 213 | 1 |
Cotton No. 2 Futures (Long) | 7 | 05/08/2024 | 302 | 2 |
Cotton No. 2 Futures (Long) | 3 | 07/09/2024 | 131 | 1 |
ECX Emissions Futures (Long) | 6 | 12/16/2024 | 416 | 8 |
Gold Futures (Long) | 51 | 04/26/2024 | 10,544 | 113 |
ICE White Sugar Futures (Long) | 5 | 02/14/2024 | 167 | (1 ) |
KC Hard Red Wheat Futures (Long) | 18 | 03/14/2024 | 560 | 3 |
KC Hard Red Wheat Futures (Long) | 10 | 05/14/2024 | 310 | — |
Lean Hogs Futures (Long) | 7 | 04/12/2024 | 237 | 13 |
Lean Hogs Futures (Long) | 10 | 06/14/2024 | 392 | 18 |
Live Cattle Futures (Long) | 3 | 04/30/2024 | 217 | 3 |
Live Cattle Futures (Long) | 9 | 06/28/2024 | 644 | 14 |
Live Cattle Futures (Short) | 3 | 04/30/2024 | 217 | (3 ) |
⬤
1
Embark Commodity Strategy FundCONSOLIDATED PORTFOLIO OF INVESTMENTS—Continued
FUTURES CONTRACTS—Continued | ||||
Description | Number of Contracts | Expiration Date | Current Notional Value (000s) | Unrealized Appreciation/ (Depreciation) (000s) |
LME Aluminium Futures (Long) | 6 | 03/18/2024 | $340 | $7 |
LME Aluminium Futures (Long) | 1 | 04/15/2024 | 57 | 1 |
LME Aluminium Futures (Long) | 6 | 04/26/2024 | 342 | 6 |
LME Aluminium Futures (Long) | 7 | 05/13/2024 | 401 | 8 |
LME Aluminium Futures (Long) | 15 | 06/17/2024 | 865 | 16 |
LME Aluminium Futures (Long) | 13 | 08/19/2024 | 758 | 16 |
LME Aluminium Futures (Short) | 3 | 03/18/2024 | 170 | (4 ) |
LME Aluminium Futures (Short) | 6 | 04/26/2024 | 342 | (5 ) |
LME Copper Futures (Long) | 1 | 03/18/2024 | 214 | 3 |
LME Copper Futures (Long) | 4 | 04/15/2024 | 860 | 20 |
LME Copper Futures (Long) | 5 | 06/17/2024 | 1,080 | 25 |
LME Copper Futures (Short) | 1 | 03/18/2024 | 214 | (5 ) |
LME Lead Futures (Long) | 5 | 04/15/2024 | 271 | (1 ) |
LME Lead Futures (Long) | 1 | 04/26/2024 | 54 | — |
LME Lead Futures (Long) | 7 | 06/17/2024 | 380 | (1 ) |
LME Lead Futures (Short) | 1 | 04/26/2024 | 54 | — |
LME Lead Futures (Short) | 1 | 06/17/2024 | 54 | — |
LME Nickel Futures (Long) | 1 | 03/18/2024 | 97 | (1 ) |
LME Nickel Futures (Long) | 2 | 04/15/2024 | 195 | (1 ) |
LME Nickel Futures (Long) | 1 | 04/29/2024 | 98 | (3 ) |
LME Nickel Futures (Long) | 3 | 05/13/2024 | 294 | (1 ) |
LME Nickel Futures (Long) | 2 | 06/17/2024 | 197 | (1 ) |
LME Nickel Futures (Short) | 2 | 03/18/2024 | 194 | 3 |
LME Nickel Futures (Short) | 1 | 04/29/2024 | 98 | 2 |
LME Zinc Futures (Long) | 3 | 02/19/2024 | 190 | — |
LME Zinc Futures (Long) | 1 | 03/18/2024 | 63 | — |
LME Zinc Futures (Long) | 1 | 04/30/2024 | 63 | (1 ) |
LME Zinc Futures (Long) | 4 | 05/13/2024 | 253 | 1 |
LME Zinc Futures (Long) | 16 | 06/17/2024 | 1,014 | 4 |
LME Zinc Futures (Long) | 8 | 07/15/2024 | 508 | 2 |
LME Zinc Futures (Short) | 1 | 03/18/2024 | 63 | — |
LME Zinc Futures (Short) | 1 | 04/30/2024 | 63 | 1 |
LME Zinc Futures (Short) | 1 | 06/17/2024 | 63 | 1 |
Low Sulphur Gasoil Futures (Long) | 4 | 02/12/2024 | 342 | 17 |
Low Sulphur Gasoil Futures (Long) | 22 | 03/12/2024 | 1,841 | 82 |
Low Sulphur Gasoil Futures (Long) | 10 | 05/10/2024 | 795 | 33 |
Micro Copper Futures (Long) | 38 | 02/27/2024 | 371 | 8 |
Micro Gold Futures (Long) | 6 | 04/26/2024 | 124 | 1 |
Micro Silver Futures (Long) | 5 | 03/26/2024 | 116 | 3 |
Micro WTI Crude Oil Futures (Long) | 9 | 02/16/2024 | 68 | (1 ) |
Milling Wheat Futures (Long) | 3 | 03/11/2024 | 34 | (1 ) |
Natural Gas Futures (Long) | 50 | 02/27/2024 | 1,050 | (50 ) |
Natural Gas Futures (Long) | 12 | 03/26/2024 | 255 | (9 ) |
Natural Gas Futures (Long) | 20 | 04/26/2024 | 442 | (17 ) |
Natural Gas Futures (Short) | 6 | 12/27/2024 | 229 | 4 |
NY Harbor ULSD Futures (Long) | 7 | 02/29/2024 | 819 | 25 |
NY Harbor ULSD Futures (Long) | 2 | 03/28/2024 | 228 | 5 |
NY Harbor ULSD Futures (Long) | 7 | 04/30/2024 | 778 | 28 |
⬤
2
Embark Commodity Strategy FundCONSOLIDATED PORTFOLIO OF INVESTMENTS—Continued
FUTURES CONTRACTS—Continued | ||||
Description | Number of Contracts | Expiration Date | Current Notional Value (000s) | Unrealized Appreciation/ (Depreciation) (000s) |
NY Harbor ULSD Futures (Short) | 4 | 02/29/2024 | $468 | $(20 ) |
Palladium Futures (Long) | 1 | 03/26/2024 | 100 | 5 |
Palladium Futures (Short) | 1 | 03/26/2024 | 100 | (5 ) |
Platinum Futures (Long) | 9 | 04/26/2024 | 420 | 12 |
Platinum Futures (Long) | 4 | 12/24/2024 | 59 | 1 |
RBOB Gasoline Futures (Long) | 12 | 02/29/2024 | 1,125 | (1 ) |
RBOB Gasoline Futures (Long) | 9 | 04/30/2024 | 932 | 11 |
RBOB Gasoline Futures (Short) | 1 | 03/28/2024 | 103 | (1 ) |
Robusta Coffee Futures (Long) | 5 | 03/22/2024 | 165 | 6 |
SGX Iron Ore Futures (Long) | 26 | 03/28/2024 | 337 | (6 ) |
SGX Iron Ore Futures (Short) | 16 | 02/29/2024 | 210 | 2 |
Silver Futures (Long) | 13 | 03/26/2024 | 1,506 | 44 |
Silver Futures (Long) | 1 | 05/29/2024 | 117 | 4 |
Soybean Futures (Long) | 14 | 03/14/2024 | 856 | (11 ) |
Soybean Futures (Long) | 13 | 05/14/2024 | 801 | (9 ) |
Soybean Futures (Long) | 2 | 07/12/2024 | 124 | (1 ) |
Soybean Meal Futures (Long) | 40 | 03/14/2024 | 1,473 | 26 |
Soybean Meal Futures (Long) | 16 | 05/14/2024 | 583 | 6 |
Soybean Meal Futures (Short) | 1 | 03/14/2024 | 37 | (1 ) |
Soybean Oil Futures (Long) | 32 | 03/14/2024 | 884 | (42 ) |
Soybean Oil Futures (Long) | 7 | 05/14/2024 | 195 | (9 ) |
Soybean Oil Futures (Long) | 1 | 07/12/2024 | 28 | (1 ) |
Sugar No. 11 Futures (Long) | 40 | 02/29/2024 | 1,081 | 17 |
Sugar No. 11 Futures (Long) | 15 | 04/30/2024 | 391 | 4 |
Sugar No. 11 Futures (Short) | 3 | 02/29/2024 | 81 | (2 ) |
TTF Natural Gas Futures (Long) | 1 | 02/28/2024 | 24 | 2 |
Wheat Futures (Long) | 17 | 03/14/2024 | 506 | (2 ) |
Wheat Futures (Long) | 12 | 07/12/2024 | 366 | (2 ) |
WTI Crude Oil Futures (Long) | 21 | 02/20/2024 | 1,593 | 27 |
WTI Crude Oil Futures (Long) | 13 | 08/20/2024 | 965 | 15 |
WTI Crude Oil Futures (Short) | 15 | 03/20/2024 | 1,136 | (22 ) |
Total Futures Contracts | $569 |
FAIR VALUE MEASUREMENTS
As of January 31, 2024, the investment in futures contracts (as disclosed in the preceding Futures Contracts schedule) were classified as Level 1 and all other investments were classified as Level 2.
For more information on valuation inputs and their aggregation into the levels identified above, please refer to the Fair Value Measurements and Disclosures in Note 2 of the accompanying Notes to Portfolios of Investments.
†
Coupon represents yield to maturity
The accompanying notes are an integral part of the Portfolios of Investments.
⬤
3
Embark Small Cap Equity FundPORTFOLIO OF INVESTMENTS—January 31, 2024 (Unaudited)
Value and Cost in Thousands
COMMON STOCKS—99.0% | ||
Shares | Value | |
AEROSPACE & DEFENSE—1.2% | ||
1,040 | BWX Technologies, Inc. | $85 |
294 | Hexcel Corp. | 20 |
28 | Huntington Ingalls Industries, Inc. | 7 |
112 | ||
AIR FREIGHT & LOGISTICS—0.2% | ||
337 | GXO Logistics, Inc. * | 18 |
AUTOMOBILE COMPONENTS—2.1% | ||
688 | Adient PLC * | 24 |
711 | Atmus Filtration Technologies, Inc. * | 16 |
574 | Gentex Corp. | 19 |
1,391 | Gentherm, Inc. * | 67 |
935 | Modine Manufacturing Co. * | 64 |
790 | Stoneridge, Inc. * | 14 |
204 | ||
AUTOMOBILES—0.3% | ||
181 | Harley-Davidson, Inc. | 6 |
197 | Thor Industries, Inc. | 22 |
28 | ||
BANKS—3.5% | ||
200 | 1st Source Corp. | 10 |
847 | Bank of NT Butterfield & Son Ltd. (Bermuda) | 26 |
257 | Bank OZK | 12 |
934 | Cadence Bank | 25 |
34 | First Citizens BancShares, Inc. Class A | 51 |
2,287 | First Hawaiian, Inc. | 50 |
649 | First Horizon Corp. | 9 |
442 | Home BancShares, Inc. | 10 |
387 | International Bancshares Corp. | 20 |
166 | Luther Burbank Corp. * | 2 |
501 | Popular, Inc. (Puerto Rico) | 43 |
124 | Prosperity Bancshares, Inc. | 8 |
241 | Synovus Financial Corp. | 9 |
642 | Wintrust Financial Corp. | 62 |
337 | ||
BEVERAGES—0.4% | ||
2,135 | Vita Coco Co., Inc. * | 42 |
BIOTECHNOLOGY—3.6% | ||
1,160 | 89bio, Inc. * | 12 |
895 | Alkermes PLC * | 24 |
912 | Arcturus Therapeutics Holdings, Inc. * | 30 |
500 | Ascendis Pharma AS ADR (Denmark)*,1 | 65 |
5,345 | Avid Bioservices, Inc. * | 36 |
510 | Bicycle Therapeutics PLC ADR (United Kingdom)*,1 | 9 |
10,273 | Bluebird Bio, Inc. * | 11 |
440 | Cerevel Therapeutics Holdings, Inc. * | 18 |
751 | Kiniksa Pharmaceuticals Ltd. Class A* | 13 |
337 | MoonLake Immunotherapeutics * | 19 |
1,059 | Mural Oncology PLC * | 5 |
246 | Natera, Inc. * | 16 |
199 | Prothena Corp. PLC (Ireland)* | 6 |
948 | Rocket Pharmaceuticals, Inc. * | 27 |
453 | Vaxcyte, Inc. * | 32 |
778 | Veracyte, Inc. * | 19 |
171 | Xenon Pharmaceuticals, Inc. (Canada)* | 8 |
350 | ||
BROADLINE RETAIL—0.2% | ||
258 | Etsy, Inc. * | 17 |
BUILDING PRODUCTS—1.2% | ||
299 | AAON, Inc. | 21 |
COMMON STOCKS—Continued | ||
Shares | Value | |
BUILDING PRODUCTS—Continued | ||
805 | AZEK Co., Inc. * | $31 |
36 | Carlisle Cos., Inc. | 12 |
208 | CSW Industrials, Inc. | 44 |
82 | UFP Industries, Inc. | 9 |
117 | ||
CAPITAL MARKETS—4.1% | ||
1,194 | B Riley Financial, Inc. | 28 |
4,303 | Barings BDC, Inc. | 39 |
2,269 | Capital Southwest Corp. | 56 |
168 | Cohen & Steers, Inc. | 12 |
63 | Evercore, Inc. Class A | 11 |
22 | FactSet Research Systems, Inc. | 11 |
133 | Hamilton Lane, Inc. Class A | 15 |
56 | LPL Financial Holdings, Inc. | 13 |
36 | Morningstar, Inc. | 10 |
2,378 | Oaktree Specialty Lending Corp. | 50 |
618 | Perella Weinberg Partners | 7 |
396 | Stifel Financial Corp. | 29 |
1,810 | StoneX Group, Inc. * | 119 |
400 | ||
CHEMICALS—3.5% | ||
10,336 | Arcadium Lithium PLC (Jersey)* | 50 |
662 | Avient Corp. | 24 |
3,176 | Axalta Coating Systems Ltd. * | 103 |
11,870 | Ecovyst, Inc. * | 110 |
1,033 | Element Solutions, Inc. | 23 |
362 | Olin Corp. | 19 |
47 | Quaker Chemical Corp. | 9 |
338 | ||
COMMERCIAL SERVICES & SUPPLIES—1.6% | ||
166 | ABM Industries, Inc. | 7 |
4,627 | BrightView Holdings, Inc. * | 41 |
177 | Brink’s Co. | 14 |
581 | Casella Waste Systems, Inc. Class A* | 50 |
315 | GFL Environmental, Inc. (Canada) | 11 |
114 | MillerKnoll, Inc. | 3 |
448 | Quad/Graphics, Inc. * | 2 |
67 | Tetra Tech, Inc. | 11 |
43 | UniFirst Corp. | 7 |
276 | Viad Corp. * | 9 |
155 | ||
COMMUNICATIONS EQUIPMENT—2.6% | ||
284 | Calix, Inc. * | 9 |
1,553 | Digi International, Inc. * | 38 |
444 | F5, Inc. * | 82 |
594 | Harmonic, Inc. * | 7 |
17,784 | Infinera Corp. * | 88 |
316 | Lumentum Holdings, Inc. * | 17 |
2,768 | Telefonaktiebolaget LM Ericsson ADR (Sweden)1 | 15 |
256 | ||
CONSTRUCTION & ENGINEERING—2.5% | ||
1,366 | Ameresco, Inc. Class A* | 28 |
1,119 | Arcosa, Inc. | 88 |
128 | Comfort Systems USA, Inc. | 28 |
869 | Fluor Corp. * | 33 |
46 | Valmont Industries, Inc. | 10 |
1,191 | WillScot Mobile Mini Holdings Corp. * | 56 |
243 | ||
CONSTRUCTION MATERIALS—0.1% | ||
156 | Knife River Corp. * | 10 |
The accompanying notes are an integral part of the Portfolios of Investments.
⬤
4
Embark Small Cap Equity FundPORTFOLIO OF INVESTMENTS—Continued
Value and Cost in Thousands
COMMON STOCKS—Continued | ||
Shares | Value | |
CONSUMER FINANCE—0.4% | ||
2,141 | SLM Corp. | $43 |
CONSUMER STAPLES DISTRIBUTION & RETAIL—1.8% | ||
43 | Casey’s General Stores, Inc. | 12 |
1,241 | Chefs' Warehouse, Inc. * | 40 |
260 | Grocery Outlet Holding Corp. * | 6 |
2,306 | Sprouts Farmers Market, Inc. * | 116 |
174 | ||
CONTAINERS & PACKAGING—1.0% | ||
3,604 | Graphic Packaging Holding Co. | 92 |
DISTRIBUTORS—0.1% | ||
25 | Pool Corp. | 9 |
DIVERSIFIED CONSUMER SERVICES—1.1% | ||
444 | Adtalem Global Education, Inc. * | 22 |
1,233 | Frontdoor, Inc. * | 40 |
200 | Grand Canyon Education, Inc. * | 26 |
1,302 | Laureate Education, Inc. | 17 |
105 | ||
DIVERSIFIED REITS—0.3% | ||
1,569 | Alexander & Baldwin, Inc. | 27 |
DIVERSIFIED TELECOMMUNICATION SERVICES—0.1% | ||
138 | Cogent Communications Holdings, Inc. | 11 |
ELECTRIC UTILITIES—0.1% | ||
333 | Portland General Electric Co. | 14 |
ELECTRICAL EQUIPMENT—2.2% | ||
4,195 | Array Technologies, Inc. * | 56 |
254 | NEXTracker, Inc. Class A* | 11 |
3,145 | Sensata Technologies Holding PLC | 114 |
1,568 | Shoals Technologies Group, Inc. Class A* | 21 |
276 | Thermon Group Holdings, Inc. * | 9 |
211 | ||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS—2.3% | ||
1,599 | 908 Devices, Inc. * | 11 |
381 | Arrow Electronics, Inc. * | 42 |
206 | Belden, Inc. | 15 |
213 | Cognex Corp. | 8 |
148 | Fabrinet (Thailand)* | 32 |
1,701 | FARO Technologies, Inc. * | 38 |
176 | Insight Enterprises, Inc. * | 33 |
42 | Itron, Inc. * | 3 |
35 | Littelfuse, Inc. | 8 |
540 | PAR Technology Corp. * | 25 |
101 | Plexus Corp. * | 10 |
225 | ||
ENERGY EQUIPMENT & SERVICES—1.6% | ||
495 | ChampionX Corp. | 13 |
1,244 | Expro Group Holdings NV * | 22 |
250 | NOV, Inc. | 5 |
1,900 | Patterson-UTI Energy, Inc. | 21 |
6,526 | Select Water Solutions, Inc. | 51 |
584 | Tidewater, Inc. * | 39 |
151 | ||
ENTERTAINMENT—2.7% | ||
2,040 | Atlanta Braves Holdings, Inc. Class C* | 82 |
8,759 | Lions Gate Entertainment Corp. Class A* | 92 |
497 | Madison Square Garden Sports Corp. * | 92 |
266 |
COMMON STOCKS—Continued | ||
Shares | Value | |
FINANCIAL SERVICES—2.1% | ||
1,394 | Cantaloupe, Inc. * | $9 |
690 | Euronet Worldwide, Inc. * | 69 |
1,069 | Flywire Corp. * | 23 |
59 | Jack Henry & Associates, Inc. | 10 |
1,556 | Marqeta, Inc. Class A* | 9 |
412 | Shift4 Payments, Inc. Class A* | 29 |
1,162 | Toast, Inc. Class A* | 21 |
176 | WEX, Inc. * | 36 |
206 | ||
FOOD PRODUCTS—1.9% | ||
690 | Ingredion, Inc. | 74 |
7,155 | SunOpta, Inc. (Canada)* | 43 |
1,537 | TreeHouse Foods, Inc. * | 65 |
182 | ||
GAS UTILITIES—0.2% | ||
296 | Brookfield Infrastructure Corp. Class A (Canada) | 10 |
76 | Chesapeake Utilities Corp. | 8 |
18 | ||
GROUND TRANSPORTATION—1.0% | ||
48 | Landstar System, Inc. | 9 |
62 | Saia, Inc. * | 28 |
983 | U-Haul Holding Co. | 63 |
100 | ||
HEALTH CARE EQUIPMENT & SUPPLIES—3.7% | ||
7,089 | CytoSorbents Corp. * | 7 |
1,144 | Envista Holdings Corp. * | 27 |
394 | Haemonetics Corp. * | 30 |
99 | Inspire Medical Systems, Inc. * | 21 |
178 | iRhythm Technologies, Inc. * | 21 |
1,093 | Lantheus Holdings, Inc. * | 57 |
178 | LeMaitre Vascular, Inc. | 10 |
698 | OrthoPediatrics Corp. * | 18 |
783 | QuidelOrtho Corp. * | 54 |
1,700 | SI-BONE, Inc. * | 34 |
53 | STERIS PLC | 12 |
138 | TransMedics Group, Inc. * | 12 |
2,857 | Varex Imaging Corp. * | 55 |
358 | ||
HEALTH CARE PROVIDERS & SERVICES—3.6% | ||
2,504 | AdaptHealth Corp. * | 18 |
449 | Addus HomeCare Corp. * | 39 |
2,085 | Castle Biosciences, Inc. * | 48 |
17 | Chemed Corp. | 10 |
5,719 | DocGo, Inc. * | 21 |
509 | Encompass Health Corp. | 36 |
132 | Ensign Group, Inc. | 15 |
1,157 | Option Care Health, Inc. * | 36 |
65 | Quest Diagnostics, Inc. | 8 |
2,904 | RadNet, Inc. * | 108 |
104 | U.S. Physical Therapy, Inc. | 10 |
349 | ||
HEALTH CARE TECHNOLOGY—1.3% | ||
2,037 | Evolent Health, Inc. Class A* | 60 |
2,333 | HealthStream, Inc. | 62 |
122 | ||
HOTEL & RESORT REITS—0.3% | ||
276 | Ryman Hospitality Properties, Inc. | 30 |
HOTELS, RESTAURANTS & LEISURE—2.3% | ||
296 | Churchill Downs, Inc. | 36 |
The accompanying notes are an integral part of the Portfolios of Investments.
⬤
5
Embark Small Cap Equity FundPORTFOLIO OF INVESTMENTS—Continued
Value and Cost in Thousands
COMMON STOCKS—Continued | ||
Shares | Value | |
HOTELS, RESTAURANTS & LEISURE—Continued | ||
26 | Domino’s Pizza, Inc. | $11 |
334 | International Game Technology PLC | 9 |
126 | Marriott Vacations Worldwide Corp. | 11 |
3,189 | Penn Entertainment, Inc. * | 72 |
951 | Portillo’s, Inc. Class A* | 13 |
155 | Texas Roadhouse, Inc. | 19 |
221 | Travel & Leisure Co. | 9 |
161 | Wingstop, Inc. | 45 |
225 | ||
HOUSEHOLD DURABLES—3.2% | ||
80 | Cavco Industries, Inc. * | 26 |
1,568 | Green Brick Partners, Inc. * | 82 |
460 | Lovesac Co. * | 11 |
264 | M/I Homes, Inc. * | 34 |
241 | Meritage Homes Corp. | 40 |
903 | Mohawk Industries, Inc. * | 94 |
342 | Skyline Champion Corp. * | 23 |
310 | ||
INDUSTRIAL REITS—0.5% | ||
361 | Rexford Industrial Realty, Inc. | 19 |
447 | STAG Industrial, Inc. | 16 |
160 | Terreno Realty Corp. | 10 |
45 | ||
INSURANCE—3.0% | ||
581 | Assured Guaranty Ltd. | 47 |
193 | CNO Financial Group, Inc. | 5 |
262 | Enstar Group Ltd. * | 70 |
341 | First American Financial Corp. | 21 |
457 | Global Indemnity Group LLC Class A | 13 |
72 | Globe Life, Inc. | 9 |
311 | Horace Mann Educators Corp. | 11 |
121 | Kinsale Capital Group, Inc. | 48 |
247 | Palomar Holdings, Inc. * | 15 |
102 | Primerica, Inc. | 24 |
17 | White Mountains Insurance Group Ltd. | 27 |
290 | ||
INTERACTIVE MEDIA & SERVICES—0.4% | ||
225 | Shutterstock, Inc. | 10 |
1,290 | TripAdvisor, Inc. * | 28 |
38 | ||
IT SERVICES—0.4% | ||
1,452 | Hackett Group, Inc. | 33 |
61 | Wix.com Ltd. (Israel)* | 8 |
41 | ||
LEISURE PRODUCTS—1.5% | ||
80 | BRP, Inc. | 5 |
126 | Brunswick Corp. | 10 |
9,705 | Topgolf Callaway Brands Corp. * | 128 |
143 | ||
LIFE SCIENCES TOOLS & SERVICES—0.7% | ||
665 | BioLife Solutions, Inc. * | 11 |
61 | Bio-Rad Laboratories, Inc. Class A* | 20 |
487 | CryoPort, Inc. * | 7 |
2,249 | MaxCyte, Inc. * | 12 |
550 | Quanterix Corp. * | 12 |
129 | Stevanato Group SpA (Italy) | 4 |
66 |
COMMON STOCKS—Continued | ||
Shares | Value | |
MACHINERY—5.2% | ||
266 | Alamo Group, Inc. | $57 |
275 | Allison Transmission Holdings, Inc. | 17 |
483 | Chart Industries, Inc. * | 56 |
1,338 | Columbus McKinnon Corp. | 52 |
1,457 | Douglas Dynamics, Inc. | 37 |
257 | Flowserve Corp. | 10 |
324 | Greenbrier Cos., Inc. | 15 |
9,918 | Hillman Solutions Corp. * | 87 |
355 | ITT, Inc. | 43 |
2,243 | Kornit Digital Ltd. (Israel)* | 38 |
146 | Lincoln Electric Holdings, Inc. | 33 |
133 | Miller Industries, Inc. | 5 |
41 | Nordson Corp. | 10 |
222 | SPX Technologies, Inc. * | 22 |
72 | Standex International Corp. | 11 |
176 | Timken Co. | 14 |
507 | ||
MARINE TRANSPORTATION—0.7% | ||
3,270 | Global Ship Lease, Inc. Class A (United Kingdom) | 70 |
MEDIA—1.8% | ||
13 | Cable One, Inc. | 7 |
6,856 | Magnite, Inc. * | 61 |
2,463 | National CineMedia, Inc. * | 10 |
64 | Nexstar Media Group, Inc. | 11 |
7,745 | Stagwell, Inc. * | 51 |
917 | TechTarget, Inc. * | 31 |
171 | ||
METALS & MINING—0.6% | ||
265 | Carpenter Technology Corp. | 16 |
1,180 | Compass Minerals International, Inc. | 27 |
49 | Reliance Steel & Aluminum Co. | 14 |
57 | ||
MORTGAGE REAL ESTATE INVESTMENT TRUSTS (REITS)—0.4% | ||
3,498 | Ellington Financial, Inc. | 43 |
MULTI-UTILITIES—0.3% | ||
836 | Avista Corp. | 28 |
OFFICE REITS—0.2% | ||
1,321 | Easterly Government Properties, Inc. | 16 |
OIL, GAS & CONSUMABLE FUELS—3.6% | ||
2,475 | Baytex Energy Corp. (Canada) | 8 |
2,985 | Berry Corp. | 20 |
315 | Callon Petroleum Co. * | 10 |
51 | Chord Energy Corp. | 8 |
843 | Civitas Resources, Inc. | 55 |
218 | Crescent Energy Co. Class A | 2 |
2,732 | Equitrans Midstream Corp. | 28 |
53 | Kinetik Holdings, Inc. | 2 |
4,617 | Kosmos Energy Ltd. (Ghana)* | 28 |
177 | Matador Resources Co. | 10 |
148 | Murphy Oil Corp. | 6 |
1,167 | Northern Oil & Gas, Inc. | 39 |
3,166 | Par Pacific Holdings, Inc. * | 116 |
355 | Range Resources Corp. | 10 |
544 | Vitesse Energy, Inc. | 11 |
353 | ||
PERSONAL CARE PRODUCTS—0.1% | ||
221 | Herbalife Ltd. * | 3 |
72 | Inter Parfums, Inc. | 10 |
13 |
The accompanying notes are an integral part of the Portfolios of Investments.
⬤
6
Embark Small Cap Equity FundPORTFOLIO OF INVESTMENTS—Continued
Value and Cost in Thousands
COMMON STOCKS—Continued | ||
Shares | Value | |
PHARMACEUTICALS—1.5% | ||
523 | Cymabay Therapeutics, Inc. * | $12 |
6,147 | Elanco Animal Health, Inc. * | 91 |
1,299 | Innoviva, Inc. * | 21 |
284 | Perrigo Co. PLC | 9 |
862 | Pliant Therapeutics, Inc. * | 16 |
149 | ||
PROFESSIONAL SERVICES—4.8% | ||
345 | ASGN, Inc. * | 32 |
102 | Booz Allen Hamilton Holding Corp. | 14 |
63 | Broadridge Financial Solutions, Inc. | 13 |
72 | Concentrix Corp. | 7 |
6,224 | Dun & Bradstreet Holdings, Inc. | 72 |
1,394 | Franklin Covey Co. * | 56 |
544 | Insperity, Inc. | 62 |
548 | Korn Ferry | 32 |
365 | ManpowerGroup, Inc. | 27 |
166 | Maximus, Inc. | 14 |
115 | TransUnion | 8 |
134 | TriNet Group, Inc. * | 15 |
3,502 | Verra Mobility Corp. * | 84 |
391 | WNS Holdings Ltd. ADR (India)*,1 | 27 |
463 | ||
REAL ESTATE MANAGEMENT & DEVELOPMENT—1.2% | ||
573 | eXp World Holdings, Inc. | 7 |
33 | Jones Lang LaSalle, Inc. * | 6 |
2,730 | Kennedy-Wilson Holdings, Inc. | 29 |
916 | Marcus & Millichap, Inc. | 35 |
3,999 | Real Brokerage, Inc. (Canada)* | 11 |
207 | RMR Group, Inc. Class A | 5 |
2,141 | Seritage Growth Properties Class A* | 20 |
113 | ||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT—3.6% | ||
76 | Axcelis Technologies, Inc. * | 10 |
153 | Camtek Ltd. (Israel)* | 12 |
574 | Canadian Solar, Inc. (Canada)* | 13 |
214 | First Solar, Inc. * | 31 |
471 | FormFactor, Inc. * | 18 |
69 | Ichor Holdings Ltd. * | 2 |
184 | Impinj, Inc. * | 18 |
10,383 | indie Semiconductor, Inc. Class A (China)* | 63 |
293 | Kulicke & Soffa Industries, Inc. (Singapore) | 15 |
107 | Nova Ltd. (Israel)* | 15 |
119 | Power Integrations, Inc. | 9 |
444 | Silicon Motion Technology Corp. ADR (Taiwan)1 | 28 |
2,409 | Ultra Clean Holdings, Inc. * | 92 |
139 | Universal Display Corp. | 24 |
350 | ||
SOFTWARE—2.8% | ||
4,019 | A10 Networks, Inc. | 54 |
1,336 | ACI Worldwide, Inc. * | 40 |
1,477 | CCC Intelligent Solutions Holdings, Inc. * | 16 |
COMMON STOCKS—Continued | ||
Shares | Value | |
SOFTWARE—Continued | ||
393 | Dynatrace, Inc. * | $22 |
100 | Five9, Inc. * | 8 |
442 | Model N, Inc. * | 12 |
628 | N-able, Inc. * | 8 |
3,025 | Riskified Ltd. Class A* | 14 |
1,002 | Samsara, Inc. Class A* | 31 |
763 | Smartsheet, Inc. Class A* | 34 |
315 | SoundThinking, Inc. * | 7 |
405 | Tenable Holdings, Inc. * | 19 |
167 | Varonis Systems, Inc. * | 8 |
273 | ||
SPECIALIZED REITS—0.1% | ||
199 | CubeSmart | 9 |
SPECIALTY RETAIL—1.3% | ||
2,221 | Arhaus, Inc. * | 26 |
80 | Dick’s Sporting Goods, Inc. | 12 |
507 | ODP Corp. * | 26 |
315 | Sonic Automotive, Inc. Class A | 16 |
2,405 | ThredUp, Inc. Class A* | 5 |
1,194 | Urban Outfitters, Inc. * | 45 |
130 | ||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS—0.9% | ||
1,089 | Pure Storage, Inc. Class A* | 44 |
78 | Super Micro Computer, Inc. * | 41 |
85 | ||
TEXTILES, APPAREL & LUXURY GOODS—1.2% | ||
1,112 | Carter’s, Inc. | 84 |
705 | Steven Madden Ltd. | 30 |
114 | ||
TRADING COMPANIES & DISTRIBUTORS—1.8% | ||
1,084 | Air Lease Corp. | 45 |
788 | BlueLinx Holdings, Inc. * | 91 |
295 | GMS, Inc. * | 25 |
1,050 | Hudson Technologies, Inc. * | 13 |
174 | ||
TOTAL COMMON STOCKS (Cost $9,798) | 9,596 |
EXCHANGE-TRADED FUNDS—0.5% | ||
(Cost $56) | ||
CAPITAL MARKETS—0.5% | ||
366 | iShares Russell 2000 Value ETF | 54 |
TOTAL INVESTMENTS—99.5% (Cost $9,854) | 9,650 | |
CASH AND OTHER ASSETS, LESS LIABILITIES—0.5% | 45 | |
TOTAL NET ASSETS—100% | $9,695 |
The accompanying notes are an integral part of the Portfolios of Investments.
⬤
7
Embark Small Cap Equity FundPORTFOLIO OF INVESTMENTS—Continued
FAIR VALUE MEASUREMENTS
All investments as of January 31, 2024 (as disclosed in the preceding Portfolio of Investments) were classified as Level 1.
For more information on valuation inputs and their aggregation into the levels identified above, please refer to the Fair Value Measurements and Disclosures in Note 2 of the accompanying Notes to Portfolios of Investments.
For more information on valuation inputs and their aggregation into the levels identified above, please refer to the Fair Value Measurements and Disclosures in Note 2 of the accompanying Notes to Portfolios of Investments.
*
Non-income producing security
1
Depositary receipts such as American Depositary Receipts (ADRs), Global Depositary Receipts (GDRs) and other country specific depositary receipts are certificates evidencing ownership of shares of a foreign issuer. These certificates are issued by depositary banks and generally trade on an established market in the U.S. or elsewhere.
The accompanying notes are an integral part of the Portfolios of Investments.
⬤
8
Harbor Funds IINotes to Portfolios of Investments—January 31, 2024 (Unaudited)
NOTE 1—ORGANIZATIONAL MATTERS
Harbor Funds II (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “Investment Company Act”), as an open-end management investment company. As of January 31, 2024, the Trust consists of the following separate portfolios (individually or collectively referred to as a “Fund” or the “Funds,” respectively). Harbor Capital Advisors, Inc. (the “Adviser” or “Harbor Capital”) is the investment adviser for the Funds.
Embark Commodity Strategy Fund (Consolidated) |
Embark Small Cap Equity Fund |
Embark Commodity Strategy Fund (Consolidated) commenced operations on January 23, 2024. Embark Small Cap Equity Fund commenced operations on January 30, 2024.
NOTE 2—SIGNIFICANT ACCOUNTING POLICIES
Security Valuation
Investments are valued pursuant to valuation procedures approved by the Board of Trustees. The valuation procedures permit the Adviser to use a variety of valuation methodologies, consider a number of subjective factors, analyze applicable facts and circumstances and, in general, exercise judgment, when valuing Fund investments. The methodology used for a specific type of investment may vary based on the circumstances and relevant considerations, including available market data.
Equity securities (including common stock, preferred stock, and convertible preferred stock), exchange-traded funds and financial derivative instruments (such as futures contracts, rights and warrants) that are traded on a national securities exchange or system (except securities listed on the National Association of Securities Dealers Automated Quotation (“NASDAQ”) system and United Kingdom securities) are valued at the last sale price on a national exchange or system on which they are principally traded as of the valuation date. Securities listed on the NASDAQ system or a United Kingdom exchange are valued at the official closing price of those securities. In the case of securities for which there are no sales on the valuation day, (i) securities traded principally on a U.S. exchange, including NASDAQ, are valued at the mean (or average) of the closing bid and ask price; and (ii) securities traded principally on a foreign exchange, including United Kingdom securities, are valued at the official bid price determined as of the close of the primary exchange. Shares of open-end registered investment companies that are held by a Fund are valued at net asset value. To the extent these securities are actively traded and fair valuation adjustments are not applied, they are normally categorized as Level 1 in the fair value hierarchy. Equity securities traded on inactive markets or valued by reference to similar instruments are normally categorized as Level 2 in the fair value hierarchy. For more information on the fair value hierarchy, please refer to the Fair Value Measurements and Disclosures section.
Debt securities (including corporate bonds, municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, mortgage-backed and asset-backed securities, foreign government obligations and convertible securities, other than short-term securities, with a remaining maturity of less than 60 days at the time of acquisition) are valued using evaluated prices furnished by a pricing vendor. An evaluated price represents an assessment by the pricing vendor using various market inputs of what the pricing vendor believes is the fair value of a security at a particular point in time. The pricing vendor determines evaluated prices for debt securities that would be transacted at institutional-size quantities using inputs including, but not limited to, (i) recent transaction prices and dealer quotes, (ii) transaction prices for what the pricing vendor believes are securities with similar characteristics, (iii) the pricing vendor’s assessment of the risk inherent in the security taking into account criteria such as credit quality, payment history, liquidity and market conditions, and (iv) various correlations and relationships between security price movements and other factors, such as interest rate changes, which are recognized by institutional traders. In the case of asset-backed and mortgage-backed securities, the inputs used by the pricing vendor may also include information about cash flows, prepayment rates, default rates, delinquency and loss assumption, collateral characteristics, credit enhancements and other specific information about the particular offering. Because many debt securities trade infrequently, the pricing vendor will often not have current transaction price information available as an input in determining an evaluated price for a particular security. When current transaction price information is available, it is one input into the pricing vendor’s evaluation process, which means that the evaluated price supplied by the pricing vendor will frequently differ from that transaction price. Securities that use similar valuation techniques and inputs as described above are normally categorized as Level 2 in the fair value hierarchy.
Short-term securities with a remaining maturity of less than 60 days at the time of acquisition that are held by a Fund are valued at amortized cost to the extent amortized cost represents fair value. Such securities are normally categorized as Level 2 in the fair value hierarchy.
⬤
9
Harbor Funds IINotes to Portfolios of Investments—Continued
NOTE 2—SIGNIFICANT ACCOUNTING POLICIES—Continued
A Fund may also use fair value pricing if the value of some or all of the Fund’s securities have been materially affected by events occurring before the Fund’s pricing time but after the close of the primary markets or exchanges on which the security is traded. This most commonly occurs with foreign securities, but may occur with other securities as well. In such cases, the Fund may apply a fair value factor supplied by the pricing vendor to a foreign security’s market close value to reflect changes in value that may have occurred between the close of the primary market or exchange on which the security is traded and the Fund’s pricing time. That factor may be derived using observable inputs such as a comparison of the trading patterns of a foreign security to intraday trading in the U.S. markets that are highly correlated to the foreign security or other information that becomes available after the close of the foreign market on which the security principally traded. When fair value pricing is employed, the prices of securities used by a Fund to calculate its net asset value may differ from market quotations, official closing prices or evaluated prices for the same securities, which means that the Fund may value those securities higher or lower than another given fund that uses market quotations, official closing prices or evaluated prices supplied by a pricing vendor in its calculation of net asset value. Securities valued using observable inputs, such as those described above, are normally categorized as Level 2 of the fair value hierarchy.
When reliable market quotations or evaluated prices supplied by a pricing vendor are not readily available or are not believed to accurately reflect fair value, securities fair value determinations are made by the Adviser as designated by the Board of Trustees pursuant to the Investment Company Act. Fair value determinations for investments which incorporate significant unobservable inputs are normally categorized as Level 3 in the fair value hierarchy.
Fair Value Measurements and Disclosures
Various inputs may be used to determine the value of each Fund’s investments, which are summarized in three broad categories defined as Level 1, Level 2, and Level 3. The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those investments. The assignment of an investment to Levels 1, 2, or 3 is based on the lowest level of significant inputs used to determine its fair value.
Level 1–Quoted prices in active markets for identical securities.
Level 2–Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3–Significant unobservable inputs are used in situations where quoted prices or other observable inputs are not available or are deemed unreliable. Significant unobservable inputs may include each Fund’s own assumptions.
The categorization of investments into Levels 1, 2, or 3, and a summary of significant unobservable inputs used for Level 3 investments, when applicable, can be found at the end of each Fund’s Portfolio of Investments schedule.
Each Fund used observable inputs in its valuation methodologies whenever they were available and deemed reliable.
Securities Transactions
Securities transactions are accounted for on the trade date (the date the order to buy or sell is executed).
⬤
10