Consolidated Portfolio of Investments – as of September 30, 2020 (Unaudited)
AlphaSimplex Global Alternatives Fund
Shares | Description | Value (†) | ||||||
Common Stocks – 35.0% of Net Assets | ||||||||
Aerospace & Defense – 0.3% |
| |||||||
15,760 | Howmet Aerospace, Inc. | $ | 263,507 | |||||
2,205 | Lockheed Martin Corp. | 845,132 | ||||||
14,270 | Raytheon Technologies Corp. | 821,096 | ||||||
|
| |||||||
1,929,735 | ||||||||
|
| |||||||
Air Freight & Logistics – 0.4% |
| |||||||
8,809 | C.H. Robinson Worldwide, Inc. | 900,192 | ||||||
15,991 | Expeditors International of Washington, Inc. | 1,447,505 | ||||||
|
| |||||||
2,347,697 | ||||||||
|
| |||||||
Automobiles – 0.1% |
| |||||||
850 | Tesla, Inc.(a) | 364,659 | ||||||
|
| |||||||
Banks – 0.3% |
| |||||||
14,717 | Citigroup, Inc. | 634,450 | ||||||
103,156 | Dime Community Bancshares, Inc. | 1,166,694 | ||||||
|
| |||||||
1,801,144 | ||||||||
|
| |||||||
Beverages – 0.5% |
| |||||||
19,539 | Coca-Cola Co. (The) | 964,640 | ||||||
32,388 | Keurig Dr Pepper, Inc. | 893,909 | ||||||
7,587 | PepsiCo, Inc. | 1,051,558 | ||||||
|
| |||||||
2,910,107 | ||||||||
|
| |||||||
Biotechnology – 0.4% |
| |||||||
2,405 | Alnylam Pharmaceuticals, Inc.(a) | 350,168 | ||||||
113,656 | Immatics NV(a) | 1,205,890 | ||||||
408 | Regeneron Pharmaceuticals, Inc.(a) | 228,390 | ||||||
1,707 | Seattle Genetics, Inc.(a) | 334,043 | ||||||
|
| |||||||
2,118,491 | ||||||||
|
| |||||||
Building Products – 0.4% |
| |||||||
7,010 | Allegion PLC | 693,359 | ||||||
8,147 | Fortune Brands Home & Security, Inc. | 704,879 | ||||||
6,278 | Masonite International Corp.(a) | 617,755 | ||||||
39,489 | Resideo Technologies, Inc.(a) | 434,379 | ||||||
|
| |||||||
2,450,372 | ||||||||
|
| |||||||
Capital Markets – 1.8% |
| |||||||
5,116 | Blackstone Group, Inc. (The), Class A | 267,055 | ||||||
32,094 | Houlihan Lokey, Inc. | 1,895,151 | ||||||
2,205 | MarketAxess Holdings, Inc. | 1,061,906 | ||||||
7,151 | Morningstar, Inc. | 1,148,522 | ||||||
2,722 | Nasdaq, Inc. | 334,017 | ||||||
41,384 | Open Lending Corp., Class A(a) | 1,055,292 | ||||||
16,196 | PJT Partners, Inc., Class A | 981,639 | ||||||
12,333 | SEI Investments Co. | 625,530 | ||||||
72,248 | TD Ameritrade Holding Corp. | 2,828,509 | ||||||
|
| |||||||
10,197,621 | ||||||||
|
|
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Chemicals – 0.6% |
| |||||||
34,093 | Axalta Coating Systems Ltd.(a) | $ | 755,842 | |||||
5,480 | Ecolab, Inc. | 1,095,123 | ||||||
2,687 | NewMarket Corp. | 919,814 | ||||||
59,455 | Orion Engineered Carbons S.A. | 743,782 | ||||||
|
| |||||||
3,514,561 | ||||||||
|
| |||||||
Commercial Services & Supplies – 0.8% |
| |||||||
29,530 | ADT, Inc. | 241,260 | ||||||
2,094 | Cintas Corp. | 696,946 | ||||||
2,909 | Copart, Inc.(a) | 305,910 | ||||||
14,459 | IAA, Inc.(a) | 752,880 | ||||||
4,193 | Republic Services, Inc. | 391,417 | ||||||
15,671 | Ritchie Bros. Auctioneers, Inc. | 928,507 | ||||||
11,736 | Rollins, Inc. | 635,974 | ||||||
3,067 | Waste Management, Inc. | 347,092 | ||||||
|
| |||||||
4,299,986 | ||||||||
|
| |||||||
Communications Equipment – 0.2% |
| |||||||
37,202 | Radware Ltd.(a) | 901,777 | ||||||
1,899 | Ubiquiti, Inc. | 316,487 | ||||||
|
| |||||||
1,218,264 | ||||||||
|
| |||||||
Construction & Engineering – 0.2% |
| |||||||
23,351 | AECOM(a) | 977,006 | ||||||
|
| |||||||
Construction Materials – 0.1% |
| |||||||
10,000 | Eagle Materials, Inc. | 863,200 | ||||||
|
| |||||||
Consumer Finance – 0.4% |
| |||||||
2,151 | Credit Acceptance Corp.(a) | 728,415 | ||||||
10,999 | FirstCash, Inc. | 629,253 | ||||||
9,881 | Green Dot Corp., Class A(a) | 500,077 | ||||||
13,055 | Synchrony Financial | 341,649 | ||||||
|
| |||||||
2,199,394 | ||||||||
|
| |||||||
Containers & Packaging – 0.3% |
| |||||||
4,846 | Avery Dennison Corp. | 619,513 | ||||||
25,841 | Silgan Holdings, Inc. | 950,173 | ||||||
|
| |||||||
1,569,686 | ||||||||
|
| |||||||
Distributors – 0.1% |
| |||||||
25,978 | LKQ Corp.(a) | 720,370 | ||||||
|
| |||||||
Diversified Consumer Services – 0.1% |
| |||||||
4,481 | Chegg, Inc.(a) | 320,123 | ||||||
|
| |||||||
Diversified Financial Services – 0.2% |
| |||||||
3 | Berkshire Hathaway, Inc., Class A(a) | 960,003 | ||||||
|
| |||||||
Diversified Telecommunication Services – 0.6% |
| |||||||
83,877 | AT&T, Inc. | 2,391,333 |
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Diversified Telecommunication Services – continued |
| |||||||
16,133 | Verizon Communications, Inc. | $ | 959,752 | |||||
|
| |||||||
3,351,085 | ||||||||
|
| |||||||
Electric Utilities – 1.1% |
| |||||||
7,693 | Alliant Energy Corp. | 397,343 | ||||||
4,463 | American Electric Power Co., Inc. | 364,761 | ||||||
8,112 | Avangrid, Inc. | 409,332 | ||||||
4,740 | Duke Energy Corp. | 419,774 | ||||||
2,511 | Entergy Corp. | 247,409 | ||||||
4,446 | Eversource Energy | 371,463 | ||||||
33,438 | Exelon Corp. | 1,195,743 | ||||||
10,424 | Hawaiian Electric Industries, Inc. | 346,494 | ||||||
4,269 | IDACORP, Inc. | 341,093 | ||||||
976 | NextEra Energy, Inc. | 270,899 | ||||||
12,063 | OGE Energy Corp. | 361,769 | ||||||
4,733 | Pinnacle West Capital Corp. | 352,845 | ||||||
9,004 | Portland General Electric Co. | 319,642 | ||||||
7,156 | Southern Co. (The) | 387,998 | ||||||
4,780 | Xcel Energy, Inc. | 329,868 | ||||||
|
| |||||||
6,116,433 | ||||||||
|
| |||||||
Electrical Equipment – 0.7% |
| |||||||
10,016 | Emerson Electric Co. | 656,749 | ||||||
5,257 | Generac Holdings, Inc.(a) | 1,017,966 | ||||||
51,687 | Vivint Solar, Inc.(a) | 2,188,944 | ||||||
|
| |||||||
3,863,659 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 0.3% |
| |||||||
5,151 | Amphenol Corp., Class A | 557,699 | ||||||
4,878 | CDW Corp. | 583,067 | ||||||
60,281 | Flex Ltd.(a) | 671,530 | ||||||
|
| |||||||
1,812,296 | ||||||||
|
| |||||||
Entertainment – 0.4% |
| |||||||
71,100 | Lions Gate Entertainment Corp., Class A(a) | 674,028 | ||||||
2,834 | Madison Square Garden Sports Corp., Class A(a) | 426,460 | ||||||
7,638 | Walt Disney Co. (The) | 947,723 | ||||||
|
| |||||||
2,048,211 | ||||||||
|
| |||||||
Food & Staples Retailing – 0.4% |
| |||||||
3,325 | Costco Wholesale Corp. | 1,180,375 | ||||||
5,192 | Sysco Corp. | 323,046 | ||||||
7,612 | U.S. Foods Holding Corp.(a) | 169,139 | ||||||
6,299 | Walmart, Inc. | 881,293 | ||||||
|
| |||||||
2,553,853 | ||||||||
|
| |||||||
Food Products – 1.7% |
| |||||||
33,287 | Conagra Brands, Inc. | 1,188,679 | ||||||
14,492 | Flowers Foods, Inc. | 352,590 | ||||||
5,892 | General Mills, Inc. | 363,419 | ||||||
32,938 | Hain Celestial Group, Inc. (The)(a) | 1,129,773 |
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Food Products – continued |
| |||||||
2,326 | Hershey Co. (The) | $ | 333,409 | |||||
7,728 | Hormel Foods Corp. | 377,822 | ||||||
68,422 | Hostess Brands, Inc.(a) | 843,643 | ||||||
5,189 | Kellogg Co. | 335,158 | ||||||
1,662 | McCormick & Co., Inc. | 322,594 | ||||||
27,089 | Mondelez International, Inc., Class A | 1,556,263 | ||||||
34,068 | Nomad Foods Ltd.(a) | 868,053 | ||||||
13,066 | Post Holdings, Inc.(a) | 1,123,676 | ||||||
27,726 | Tootsie Roll Industries, Inc. | 856,733 | ||||||
|
| |||||||
9,651,812 | ||||||||
|
| |||||||
Gas Utilities – 0.1% |
| |||||||
3,865 | Atmos Energy Corp. | 369,455 | ||||||
6,054 | Spire, Inc. | 322,073 | ||||||
|
| |||||||
691,528 | ||||||||
|
| |||||||
Health Care Equipment & Supplies – 1.1% |
| |||||||
23,223 | Baxter International, Inc. | 1,867,594 | ||||||
9,492 | Danaher Corp. | 2,043,912 | ||||||
822 | DexCom, Inc.(a) | 338,853 | ||||||
1,350 | Insulet Corp.(a) | 319,397 | ||||||
8,245 | Medtronic PLC | 856,820 | ||||||
13,391 | Merit Medical Systems, Inc.(a) | 582,509 | ||||||
1,529 | Quidel Corp.(a) | 335,432 | ||||||
|
| |||||||
6,344,517 | ||||||||
|
| |||||||
Health Care Providers & Services – 0.6% |
| |||||||
6,424 | DaVita, Inc.(a) | 550,216 | ||||||
8,427 | Magellan Health, Inc.(a) | 638,598 | ||||||
35,832 | MEDNAX, Inc.(a) | 583,345 | ||||||
7,647 | Quest Diagnostics, Inc. | 875,505 | ||||||
2,221 | UnitedHealth Group, Inc. | 692,441 | ||||||
|
| |||||||
3,340,105 | ||||||||
|
| |||||||
Health Care Technology – 0.8% |
| |||||||
35,765 | Cerner Corp. | 2,585,452 | ||||||
14,947 | Livongo Health, Inc.(a) | 2,093,327 | ||||||
|
| |||||||
4,678,779 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure – 0.9% |
| |||||||
191 | Chipotle Mexican Grill, Inc.(a) | 237,548 | ||||||
5,634 | Cracker Barrel Old Country Store, Inc. | 645,994 | ||||||
10,715 | Hilton Worldwide Holdings, Inc. | 914,204 | ||||||
4,245 | McDonald’s Corp. | 931,735 | ||||||
13,078 | Starbucks Corp. | 1,123,662 | ||||||
12,316 | Yum! Brands, Inc. | 1,124,451 | ||||||
|
| |||||||
4,977,594 | ||||||||
|
| |||||||
Household Products – 0.8% |
| |||||||
3,858 | Church & Dwight Co., Inc. | 361,533 | ||||||
1,667 | Clorox Co. (The) | 350,353 |
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Household Products – continued |
| |||||||
4,220 | Colgate-Palmolive Co. | $ | 325,573 | |||||
2,198 | Kimberly-Clark Corp. | 324,557 | ||||||
15,976 | Procter & Gamble Co. (The) | 2,220,504 | ||||||
4,734 | WD-40 Co. | 896,194 | ||||||
|
| |||||||
4,478,714 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers – 0.1% |
| |||||||
13,322 | Atlantica Sustainable Infrastructure PLC | 381,142 | ||||||
|
| |||||||
Industrial Conglomerates – 0.1% |
| |||||||
19,703 | General Electric Co. | 122,750 | ||||||
3,882 | Honeywell International, Inc. | 639,016 | ||||||
|
| |||||||
761,766 | ||||||||
|
| |||||||
Insurance – 1.1% |
| |||||||
4,750 | Aon PLC, Class A | 979,925 | ||||||
8,938 | Brown & Brown, Inc. | 404,623 | ||||||
2,905 | Erie Indemnity Co., Class A | 610,864 | ||||||
12,616 | Hanover Insurance Group, Inc. (The) | 1,175,559 | ||||||
12,700 | Marsh & McLennan Cos., Inc. | 1,456,690 | ||||||
6,003 | Progressive Corp. (The) | 568,304 | ||||||
1,496 | White Mountains Insurance Group Ltd. | 1,165,384 | ||||||
|
| |||||||
6,361,349 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail – 0.5% |
| |||||||
443 | Amazon.com, Inc.(a) | 1,394,888 | ||||||
24,272 | eBay, Inc. | 1,264,571 | ||||||
|
| |||||||
2,659,459 | ||||||||
|
| |||||||
IT Services – 2.4% |
| |||||||
8,971 | Accenture PLC, Class A | 2,027,356 | ||||||
19,279 | Amdocs Ltd. | 1,106,807 | ||||||
12,519 | Black Knight, Inc.(a) | 1,089,779 | ||||||
16,254 | Booz Allen Hamilton Holding Corp. | 1,348,757 | ||||||
11,469 | Broadridge Financial Solutions, Inc. | 1,513,908 | ||||||
6,698 | Fidelity National Information Services, Inc. | 986,013 | ||||||
5,341 | Jack Henry & Associates, Inc. | 868,393 | ||||||
27,105 | KBR, Inc. | 606,068 | ||||||
16,524 | MAXIMUS, Inc. | 1,130,407 | ||||||
8,866 | Paychex, Inc. | 707,241 | ||||||
39,000 | Perspecta, Inc. | 758,550 | ||||||
3,422 | Visa, Inc., Class A | 684,297 | ||||||
2,667 | Wix.com Ltd.(a) | 679,685 | ||||||
|
| |||||||
13,507,261 | ||||||||
|
| |||||||
Leisure Products – 0.2% |
| |||||||
11,123 | Brunswick Corp. | 655,256 | ||||||
33,020 | Callaway Golf Co. | 632,003 | ||||||
|
| |||||||
1,287,259 | ||||||||
|
|
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Life Sciences Tools & Services – 0.2% |
| |||||||
12,438 | Agilent Technologies, Inc. | $ | 1,255,492 | |||||
|
| |||||||
Machinery – 0.6% |
| |||||||
12,028 | Donaldson Co., Inc. | 558,340 | ||||||
14,465 | Hillenbrand, Inc. | 410,227 | ||||||
7,266 | Lincoln Electric Holdings, Inc. | 668,763 | ||||||
11,494 | Toro Co. (The) | 964,921 | ||||||
43,865 | Trinity Industries, Inc. | 855,368 | ||||||
|
| |||||||
3,457,619 | ||||||||
|
| |||||||
Media – 0.7% |
| |||||||
34,082 | Altice USA, Inc., Class A(a) | 886,132 | ||||||
3,664 | Charter Communications, Inc., Class A(a) | 2,287,582 | ||||||
2,078 | Liberty Broadband Corp.(a) | 294,681 | ||||||
33,270 | Loral Space & Communications, Inc. | 608,841 | ||||||
|
| |||||||
4,077,236 | ||||||||
|
| |||||||
Multi-Utilities – 0.6% |
| |||||||
3,371 | Ameren Corp. | 266,579 | ||||||
6,324 | CMS Energy Corp. | 388,357 | ||||||
5,273 | Consolidated Edison, Inc. | 410,239 | ||||||
3,304 | Dominion Energy, Inc. | 260,785 | ||||||
3,502 | DTE Energy Co. | 402,870 | ||||||
16,048 | NiSource, Inc. | 353,056 | ||||||
7,121 | NorthWestern Corp. | 346,365 | ||||||
7,091 | Public Service Enterprise Group, Inc. | 389,367 | ||||||
3,129 | Sempra Energy | 370,349 | ||||||
3,618 | WEC Energy Group, Inc. | 350,584 | ||||||
|
| |||||||
3,538,551 | ||||||||
|
| |||||||
Multiline Retail – 0.1% |
| |||||||
4,206 | Dollar General Corp. | 881,662 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 1.3% |
| |||||||
16,566 | Cheniere Energy, Inc.(a) | 766,509 | ||||||
221,523 | CNX Resources Corp.(a) | 2,091,174 | ||||||
36,208 | CVR Energy, Inc. | 448,255 | ||||||
21,897 | Enviva Partners LP | 881,573 | ||||||
50,407 | Holly Energy Partners LP | 611,437 | ||||||
18,084 | Magellan Midstream Partners LP | 618,473 | ||||||
265,014 | Noble Energy, Inc. | 2,265,870 | ||||||
|
| |||||||
7,683,291 | ||||||||
|
| |||||||
Personal Products – 0.2% |
| |||||||
2,606 | Estee Lauder Cos., Inc. (The), Class A | 568,760 | ||||||
3,925 | Medifast, Inc. | 645,466 | ||||||
|
| |||||||
1,214,226 | ||||||||
|
| |||||||
Pharmaceuticals – 0.7% |
| |||||||
15,880 | Bristol-Myers Squibb Co. | 957,405 | ||||||
5,708 | Eli Lilly & Co. | 844,898 | ||||||
4,069 | Horizon Therapeutics PLC(a) | 316,080 |
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Pharmaceuticals – continued |
| |||||||
6,426 | Johnson & Johnson | $ | 956,703 | |||||
22,905 | Pfizer, Inc. | 840,614 | ||||||
|
| |||||||
3,915,700 | ||||||||
|
| |||||||
Professional Services – 0.6% |
| |||||||
8,925 | Exponent, Inc. | 642,868 | ||||||
11,979 | IHS Markit Ltd. | 940,471 | ||||||
58,173 | Nielsen Holdings PLC | 824,893 | ||||||
9,303 | Robert Half International, Inc. | 492,501 | ||||||
2,135 | Verisk Analytics, Inc. | 395,637 | ||||||
|
| |||||||
3,296,370 | ||||||||
|
| |||||||
Real Estate Management & Development – 0.2% |
| |||||||
18,392 | CBRE Group, Inc., Class A(a) | 863,872 | ||||||
5,667 | Howard Hughes Corp. (The)(a) | 326,419 | ||||||
|
| |||||||
1,190,291 | ||||||||
|
| |||||||
REITs - Apartments – 0.3% |
| |||||||
14,081 | American Homes 4 Rent, Class A | 401,027 | ||||||
4,306 | Camden Property Trust | 383,148 | ||||||
6,855 | Equity Residential | 351,867 | ||||||
2,964 | Mid-America Apartment Communities, Inc. | 343,676 | ||||||
|
| |||||||
1,479,718 | ||||||||
|
| |||||||
REITs - Health Care – 0.1% |
| |||||||
5,803 | Welltower, Inc. | 319,687 | ||||||
|
| |||||||
REITs - Hotels – 0.1% |
| |||||||
23,468 | MGM Growth Properties LLC, Class A | 656,635 | ||||||
|
| |||||||
REITs - Manufactured Homes – 0.1% |
| |||||||
6,093 | Equity LifeStyle Properties, Inc. | 373,501 | ||||||
|
| |||||||
REITs - Mortgage – 0.6% |
| |||||||
82,555 | AGNC Investment Corp. | 1,148,340 | ||||||
116,883 | Broadmark Realty Capital, Inc. | 1,152,467 | ||||||
69,361 | KKR Real Estate Finance Trust, Inc. | 1,146,537 | ||||||
|
| |||||||
3,447,344 | ||||||||
|
| |||||||
REITs - Office Property – 0.2% |
| |||||||
2,342 | Alexandria Real Estate Equities, Inc. | 374,720 | ||||||
30,394 | Equity Commonwealth | 809,392 | ||||||
|
| |||||||
1,184,112 | ||||||||
|
| |||||||
REITs - Shopping Centers – 0.2% |
| |||||||
3,979 | Alexander’s, Inc. | 975,730 | ||||||
|
| |||||||
REITs - Storage – 0.2% |
| |||||||
8,605 | CubeSmart | 278,027 | ||||||
3,402 | Extra Space Storage, Inc. | 363,980 | ||||||
2,501 | Life Storage, Inc. | 263,280 |
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
REITs - Storage – continued |
| |||||||
1,723 | Public Storage | $ | 383,747 | |||||
|
| |||||||
1,289,034 | ||||||||
|
| |||||||
REITs - Warehouse/Industrials – 0.1% |
| |||||||
7,237 | Terreno Realty Corp. | 396,298 | ||||||
|
| |||||||
Road & Rail – 0.6% |
| |||||||
8,075 | CSX Corp. | 627,185 | ||||||
4,175 | Landstar System, Inc. | 523,921 | ||||||
4,312 | Old Dominion Freight Line, Inc. | 780,127 | ||||||
19,744 | Uber Technologies, Inc.(a) | 720,261 | ||||||
3,301 | Union Pacific Corp. | 649,868 | ||||||
|
| |||||||
3,301,362 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 0.8% |
| |||||||
3,493 | Advanced Micro Devices, Inc.(a) | 286,391 | ||||||
44,165 | Maxim Integrated Products, Inc. | 2,985,996 | ||||||
1,110 | Monolithic Power Systems, Inc. | 310,367 | ||||||
2,220 | Qorvo, Inc.(a) | 286,402 | ||||||
1,612 | SolarEdge Technologies, Inc.(a) | 384,220 | ||||||
4,172 | Teradyne, Inc. | 331,507 | ||||||
|
| |||||||
4,584,883 | ||||||||
|
| |||||||
Software – 2.7% |
| |||||||
15,087 | 2U, Inc.(a) | 510,846 | ||||||
29,227 | Box, Inc., Class A(a) | 507,381 | ||||||
7,848 | Check Point Software Technologies Ltd.(a) | 944,428 | ||||||
8,344 | Citrix Systems, Inc. | 1,149,052 | ||||||
22,802 | CommVault Systems, Inc.(a) | 930,322 | ||||||
1,101 | Coupa Software, Inc.(a) | 301,938 | ||||||
3,810 | Datadog, Inc., Class A(a) | 389,230 | ||||||
1,476 | DocuSign, Inc.(a) | 317,694 | ||||||
66,886 | NortonLifeLock, Inc. | 1,393,904 | ||||||
53,419 | Open Text Corp. | 2,256,418 | ||||||
18,008 | Oracle Corp. | 1,075,078 | ||||||
7,164 | Pegasystems, Inc. | 867,130 | ||||||
11,394 | PTC, Inc.(a) | 942,512 | ||||||
995 | RingCentral, Inc., Class A(a) | 273,237 | ||||||
3,756 | salesforce.com, Inc.(a) | 943,958 | ||||||
1,725 | ServiceNow, Inc.(a) | 836,625 | ||||||
3,539 | Tyler Technologies, Inc.(a) | 1,233,554 | ||||||
770 | Zoom Video Communications, Inc., Class A(a) | 361,985 | ||||||
|
| |||||||
15,235,292 | ||||||||
|
| |||||||
Specialty Retail – 0.7% |
| |||||||
5,787 | Advance Auto Parts, Inc. | 888,305 | ||||||
5,807 | Best Buy Co., Inc. | 646,261 | ||||||
5,350 | Lowe’s Cos., Inc. | 887,351 | ||||||
22,366 | Rent-A-Center, Inc. | 668,520 | ||||||
7,414 | Ross Stores, Inc. | 691,874 |
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Specialty Retail – continued |
| |||||||
1,678 | Ulta Beauty, Inc.(a) | $ | 375,838 | |||||
|
| |||||||
4,158,149 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 0.2% |
| |||||||
22,196 | Seagate Technology PLC | 1,093,597 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.1% |
| |||||||
5,912 | NIKE, Inc., Class B | 742,193 | ||||||
|
| |||||||
Thrifts & Mortgage Finance – 0.5% |
| |||||||
85,787 | Columbia Financial, Inc.(a) | 952,236 | ||||||
18,134 | Essent Group Ltd. | 671,139 | ||||||
76,689 | TFS Financial Corp. | 1,126,561 | ||||||
|
| |||||||
2,749,936 | ||||||||
|
| |||||||
Trading Companies & Distributors – 1.0% |
| |||||||
65,104 | BMC Stock Holdings, Inc.(a) | 2,788,404 | ||||||
19,292 | HD Supply Holdings, Inc.(a) | 795,602 | ||||||
3,967 | United Rentals, Inc.(a) | 692,242 | ||||||
1,805 | W.W. Grainger, Inc. | 643,970 | ||||||
4,051 | Watsco, Inc. | 943,437 | ||||||
|
| |||||||
5,863,655 | ||||||||
|
| |||||||
Water Utilities – 0.0% |
| |||||||
1,859 | American Water Works Co., Inc. | 269,332 | ||||||
|
| |||||||
Wireless Telecommunication Services – 0.2% |
| |||||||
9,558 | T-Mobile US, Inc.(a) | 1,093,053 | ||||||
|
| |||||||
Total Common Stocks (Identified Cost $188,060,004) | 199,353,190 | |||||||
|
| |||||||
Exchange-Traded Funds – 1.3% | ||||||||
86,120 | iShares® iBoxx $ High Yield Corporate Bond ETF (Identified Cost $7,337,437) | 7,225,468 | ||||||
|
| |||||||
Principal | ||||||||
Short-Term Investments – 55.7% | ||||||||
Certificates of Deposit – 30.2% |
| |||||||
$10,000,000 | National Bank of Kuwait (NY), 0.210%, 10/01/2020 | 10,000,036 | ||||||
20,000,000 | Sumitomo Mitsui Trust Bank (NY), 0.090%, 10/06/2020 | 19,999,937 | ||||||
15,000,000 | Landesbank Baden-Wuerttemberg (NY), 0.190%, 10/06/2020(b) | 15,000,142 | ||||||
21,000,000 | DNB Nor Bank ASA (NY), 0.080%, 10/08/2020 | 20,999,907 | ||||||
20,000,000 | Sumitomo Mitsui Banking Corp. (NY), 1-month LIBOR + 0.150%, 0.301%, 10/13/2020(c) | 20,001,149 | ||||||
14,000,000 | Toronto-Dominion Bank (NY), 1-month LIBOR + 0.310%, 0.466%, 10/20/2020(c) | 14,002,498 |
Principal | Description | Value (†) | ||||||
Certificates of Deposit – continued |
| |||||||
$5,000,000 | Landesbank Hessen-Thueringen Girozentrale (NY), 0.200%, 10/27/2020(b) | $ | 5,000,333 | |||||
17,000,000 | Credit Industriel et Commercial (NY), 0.140%, 12/01/2020 | 17,001,346 | ||||||
20,000,000 | BNP Paribas (NY), 0.220%, 12/01/2020(b) | 20,002,994 | ||||||
20,000,000 | Mizuho Bank Ltd. (NY), 0.240%, 12/02/2020(b) | 20,002,797 | ||||||
5,000,000 | DZ Bank (NY), 0.160%, 12/03/2020 | 5,000,142 | ||||||
5,000,000 | Royal Bank of Canada (NY), 3-month LIBOR + 0.110%, 0.360%, 6/11/2021(b)(c) | 5,003,815 | ||||||
|
| |||||||
172,015,096 | ||||||||
|
| |||||||
Time Deposits – 9.5% |
| |||||||
21,300,000 | Skandinaviska Enskilda Banken (NY), 0.040%, 10/01/2020 | 21,300,000 | ||||||
11,300,000 | National Bank of Kuwait (NY), 0.060%, 10/01/2020 | 11,300,000 | ||||||
21,300,000 | Canadian Imperial Bank of Commerce, 0.080%, 10/01/2020 | 21,300,000 | ||||||
|
| |||||||
53,900,000 | ||||||||
|
| |||||||
Treasuries – 5.8% |
| |||||||
10,000,000 | U.S. Treasury Bills, 0.080%, 10/08/2020(d)(e) | 9,999,876 | ||||||
8,000,000 | U.S. Treasury Bills, 0.090%, 11/05/2020(d)(e) | 7,999,319 | ||||||
15,000,000 | U.S. Treasury Bills, 0.080%, 11/19/2020(d) | 14,998,163 | ||||||
|
| |||||||
32,997,358 | ||||||||
|
| |||||||
Commercial Paper – 3.7% |
| |||||||
21,000,000 | Cooperatieve Rabobank UA, 0.080%, 10/06/2020(d) | 20,999,661 | ||||||
|
| |||||||
Repurchase Agreements – 6.5% |
| |||||||
36,687,304 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2020 at 0.000% to be repurchased at $36,687,304 on 10/01/2020 collateralized by $548,100 U.S. Treasury Inflation Indexed Note, 0.125% due 4/15/2021 valued at $601,856; $36,860,300 U.S. Treasury Bills, Zero Coupon due 9/09/2021 valued at $36,819,348 including accrued interest(f) (Identified Cost $36,687,304) | 36,687,304 | ||||||
|
| |||||||
Total Short-Term Investments (Identified Cost $316,584,814) | 316,599,419 | |||||||
|
| |||||||
Total Investments – 92.0% (Identified Cost $511,982,255) | 523,178,077 | |||||||
Other assets less liabilities – 8.0% | 45,675,409 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 568,853,486 | ||||||
|
|
Consolidation
The Fund invests in commodity-related derivatives through its investment in the AlphaSimplex Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of September 30, 2020, the value of the Fund’s investment in the Subsidiary was $12,957,085, representing 2.28% of the Fund’s net assets.
(†) | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Broker-dealer bid prices may be used to value debt and unlisted equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.
Futures contracts are valued at the most recent settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively.
Equity basket total return swaps are valued based on the value of the underlying listed equity securities as reported by an independent pricing service. If prices from an independent pricing service are not available, prices from a broker-dealer may be used.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
As of September 30, 2020, futures contracts were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of the contracts, as follows:
Notional Value | Unrealized Appreciation/ Depreciation* | Unrealized as a Percentage of Net Assets | ||
$53,281,150 | $1,395,732 | 0.25% |
* | Amount represents gross unrealized appreciation/(depreciation) at absolute value. |
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a) | Non-income producing security. |
(b) | Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts. |
(c) | Variable rate security. Rate as of September 30, 2020 is disclosed. |
(d) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
(e) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
(f) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of September 30, 2020, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
ETF | Exchange-Traded Fund | |||||||||||||
LIBOR | London Interbank Offered Rate | |||||||||||||
REITs | Real Estate Investment Trusts | |||||||||||||
CHF | Swiss Franc | |||||||||||||
NOK | Norwegian Krone | |||||||||||||
NZD | New Zealand Dollar | |||||||||||||
PLN | Polish Zloty | |||||||||||||
SEK | Swedish Krona | |||||||||||||
SGD | Singapore Dollar | |||||||||||||
ZAR | South African Rand |
Forward Foreign Currency Contracts
The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation). The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. When the Fund enters into a forward foreign currency contract, it is required to pledge cash or high-quality securities equal to a percentage of the notional amount of the contract to the counterparty as an independent amount of collateral. The Fund may pledge additional collateral to the counterparty to the extent of mark-to-market losses on open contracts.
At September 30, 2020, the Fund had the following open forward foreign currency contracts:
Counterparty | Delivery | Currency | Units | In Exchange | Notional | Unrealized | ||||||||
UBS AG | 12/16/2020 | CHF | B | 8,500,000 | $ 9,182,326 | $ 9,249,419 | $ 67,093 | |||||||
UBS AG | 12/16/2020 | CHF | B | 39,000,000 | 42,622,508 | 42,438,509 | (183,999) | |||||||
UBS AG | 12/16/2020 | CHF | S | 23,750,000 | 26,054,476 | 25,843,964 | 210,512 | |||||||
UBS AG | 12/16/2020 | NOK | B | 64,000,000 | 7,093,088 | 6,862,748 | (230,340) | |||||||
UBS AG | 12/16/2020 | NOK | S | 6,000,000 | 660,435 | 643,383 | 17,052 | |||||||
UBS AG | 12/16/2020 | NOK | S | 22,000,000 | 2,319,518 | 2,359,070 | (39,552) | |||||||
UBS AG | 12/16/2020 | NZD | B | 81,000,000 | 53,750,226 | 53,582,103 | (168,123) | |||||||
UBS AG | 12/16/2020 | NZD | S | 19,100,000 | 12,775,069 | 12,634,792 | 140,277 | |||||||
UBS AG | 12/16/2020 | NZD | S | 15,000,000 | 9,819,719 | 9,922,612 | (102,893) | |||||||
UBS AG | 12/16/2020 | PLN | B | 8,000,000 | 2,128,520 | 2,070,077 | (58,443) | |||||||
UBS AG | 12/16/2020 | SEK | B | 268,000,000 | 30,551,627 | 29,952,470 | (599,157) | |||||||
UBS AG | 12/16/2020 | SEK | S | 44,000,000 | 4,866,351 | 4,917,570 | (51,219) | |||||||
UBS AG | 12/16/2020 | SGD | B | 1,875,000 | 1,369,182 | 1,373,711 | 4,529 | |||||||
UBS AG | 12/16/2020 | SGD | B | 3,375,000 | 2,473,242 | 2,472,680 | (562) | |||||||
UBS AG | 12/17/2020 | ZAR | S | 19,500,000 | 1,136,577 | 1,153,802 | (17,225) | |||||||
| ||||||||||||||
Total | $(1,012,050) | |||||||||||||
|
Futures Contracts
The Fund and the Subsidiary may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.
When the Fund or the Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by the Fund or the Subsidiary, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund or the Subsidiary enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s or the Subsidiary’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund and the Subsidiary are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At September 30, 2020, open long futures contracts were as follows:
Financial and Currency Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
2 Year U.S. Treasury Note | 12/31/2020 | 2,573 | $ | 568,374,038 | $ | 568,532,493 | $ | 158,455 | ||||||||||||
3 Year Australia Government Bond | 12/15/2020 | 374 | 31,360,747 | 31,423,727 | 62,980 | |||||||||||||||
5 Year U.S. Treasury Note | 12/31/2020 | 617 | 77,737,992 | 77,761,281 | 23,289 | |||||||||||||||
10 Year Australia Government Bond | 12/15/2020 | 469 | 49,816,847 | 50,184,207 | 367,360 | |||||||||||||||
10 Year Canada Government Bond | 12/18/2020 | 479 | 54,717,502 | 54,610,784 | (106,718 | ) | ||||||||||||||
10 Year U.S. Treasury Note | 12/21/2020 | 879 | 122,591,485 | 122,647,969 | 56,484 | |||||||||||||||
AEX-Index® | 10/16/2020 | 8 | 1,042,073 | 1,027,216 | (14,857 | ) | ||||||||||||||
British Pound | 12/14/2020 | 192 | 15,441,550 | 15,484,800 | 43,250 | |||||||||||||||
Canadian Dollar | 12/15/2020 | 33 | 2,465,980 | 2,479,290 | 13,310 | |||||||||||||||
DAX | 12/18/2020 | 60 | 23,097,407 | 22,474,103 | (623,304 | ) | ||||||||||||||
E-mini NASDAQ 100 | 12/18/2020 | 8 | 1,767,730 | 1,825,160 | 57,430 | |||||||||||||||
E-mini Russell 2000 | 12/18/2020 | 686 | 51,321,537 | 51,600,920 | 279,383 | |||||||||||||||
E-mini S&P MidCap 400® | 12/18/2020 | 7 | 1,265,590 | 1,299,130 | 33,540 | |||||||||||||||
EURO STOXX 50® | 12/18/2020 | 115 | 4,456,997 | 4,306,525 | (150,472 | ) | ||||||||||||||
Euro-BTP | 12/08/2020 | 415 | 71,071,044 | 71,807,507 | 736,463 | |||||||||||||||
Euro-Buxl® 30 Year Bond | 12/08/2020 | 8 | 2,030,308 | 2,088,649 | 58,341 | |||||||||||||||
Euribor | 12/14/2020 | 48 | 14,141,855 | 14,140,448 | (1,407 | ) | ||||||||||||||
Eurodollar | 3/15/2021 | 146 | 36,421,812 | 36,428,825 | 7,013 | |||||||||||||||
FTSE 100 Index | 12/18/2020 | 213 | 16,594,239 | 16,055,034 | (539,205 | ) | ||||||||||||||
German Euro BOBL | 12/08/2020 | 69 | 10,917,231 | 10,935,123 | 17,892 | |||||||||||||||
Hang Seng Index® | 10/29/2020 | 7 | 1,051,619 | 1,058,122 | 6,503 | |||||||||||||||
Indian Rupee | 10/27/2020 | 158 | 4,276,468 | 4,275,480 | (988 | ) | ||||||||||||||
MSCI EAFE Index | 12/18/2020 | 15 | 1,415,435 | 1,389,900 | (25,535 | ) | ||||||||||||||
MSCI Emerging Markets Index | 12/18/2020 | 134 | 7,312,875 | 7,292,950 | (19,925 | ) | ||||||||||||||
Nikkei 225™ | 12/10/2020 | 7 | 1,529,726 | 1,539,184 | 9,458 | |||||||||||||||
OMXS30® | 10/16/2020 | 99 | 2,010,506 | 2,024,305 | 13,799 | |||||||||||||||
S&P/TSX 60 Index | 12/17/2020 | 13 | 1,865,082 | 1,877,436 | 12,354 | |||||||||||||||
Sterling | 12/16/2020 | 340 | 54,798,712 | 54,795,970 | (2,742 | ) | ||||||||||||||
Short-Term Euro-BTP | 12/08/2020 | 105 | 13,916,756 | 13,944,355 | 27,599 | |||||||||||||||
TOPIX | 12/10/2020 | 9 | 1,378,623 | 1,387,142 | 8,519 | |||||||||||||||
UK Long Gilt | 12/29/2020 | 81 | 14,269,495 | 14,225,984 | (43,511 | ) |
Financial and Currency Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
U.S. Dollar Index | 12/14/2020 | 288 | $ | 26,695,872 | $ | 27,050,976 | $ | 355,104 | ||||||||||||
|
| |||||||||||||||||||
Total |
| $ | 819,862 | |||||||||||||||||
|
| |||||||||||||||||||
Commodity Futures1 | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
Aluminum LME | 12/16/2020 | 162 | $ | 7,218,049 | $ | 7,145,213 | $ | (72,836 | ) | |||||||||||
Cocoa | 12/15/2020 | 9 | 235,060 | 229,140 | (5,920 | ) | ||||||||||||||
Coffee | 12/18/2020 | 77 | 3,637,987 | 3,203,681 | (434,306 | ) | ||||||||||||||
Copper LME | 12/16/2020 | 178 | 28,930,259 | 29,702,638 | 772,379 | |||||||||||||||
Cotton | 12/08/2020 | 255 | 8,424,835 | 8,388,225 | (36,610 | ) | ||||||||||||||
Gold | 12/29/2020 | 185 | 35,000,350 | 35,066,750 | 66,400 | |||||||||||||||
New York Harbor ULSD | 10/30/2020 | 104 | 4,927,646 | 5,032,810 | 105,164 | |||||||||||||||
Nickel LME | 12/16/2020 | 72 | 6,255,123 | 6,270,480 | 15,357 | |||||||||||||||
Soybean Meal | 12/14/2020 | 129 | 4,390,060 | 4,422,120 | 32,060 | |||||||||||||||
Soybean Oil | 12/14/2020 | 306 | 6,287,700 | 6,082,668 | (205,032 | ) | ||||||||||||||
Sugar | 2/26/2021 | 532 | 7,635,723 | 8,049,798 | 414,075 | |||||||||||||||
Wheat | 12/14/2020 | 19 | 513,563 | 549,100 | 35,537 | |||||||||||||||
WTI Crude Oil | 10/20/2020 | 6 | 237,990 | 241,320 | 3,330 | |||||||||||||||
Zinc LME | 12/16/2020 | 141 | 8,374,489 | 8,467,932 | 93,443 | |||||||||||||||
|
| |||||||||||||||||||
Total |
| $ | 783,041 | |||||||||||||||||
|
| |||||||||||||||||||
At September 30, 2020, open short futures contracts were as follows:
|
| |||||||||||||||||||
Financial and Currency Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
30 Year U.S. Treasury Bond | 12/21/2020 | 181 | $ | 32,124,719 | $ | 31,906,906 | $ | 217,813 | ||||||||||||
Australian Dollar | 12/14/2020 | 37 | 2,699,820 | 2,650,310 | 49,510 | |||||||||||||||
Brazilian Real | 10/30/2020 | 91 | 1,632,310 | 1,617,980 | 14,330 | |||||||||||||||
E-mini S&P 500® | 12/18/2020 | 426 | 72,293,000 | 71,397,600 | 895,400 | |||||||||||||||
Euro | 12/14/2020 | 219 | 32,058,900 | 32,125,931 | (67,031 | ) | ||||||||||||||
Euro-OAT | 12/08/2020 | 446 | 87,702,796 | 88,136,919 | (434,123 | ) | ||||||||||||||
FTSE/JSE Top 40 Index | 12/17/2020 | 1 | 30,242 | 30,079 | 163 | |||||||||||||||
German Euro Bund | 12/08/2020 | 732 | 149,219,793 | 149,778,864 | (559,071 | ) | ||||||||||||||
IBEX 35 | 10/16/2020 | 8 | 659,726 | 631,285 | 28,441 | |||||||||||||||
Japanese Yen | 12/14/2020 | 173 | 20,517,106 | 20,516,719 | 387 | |||||||||||||||
Mexican Peso | 12/14/2020 | 49 | 1,115,130 | 1,098,825 | 16,305 | |||||||||||||||
MSCI Singapore | 10/29/2020 | 69 | 1,429,992 | 1,428,981 | 1,011 | |||||||||||||||
|
| |||||||||||||||||||
Total |
| $ | 163,135 | |||||||||||||||||
|
| |||||||||||||||||||
Commodity Futures1 | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
Aluminum LME | 12/16/2020 | 255 | $ | 11,260,293 | $ | 11,247,094 | $ | 13,199 | ||||||||||||
Copper | 12/29/2020 | 131 | 9,942,838 | 9,931,438 | 11,400 | |||||||||||||||
Copper LME | 12/16/2020 | 27 | 4,385,971 | 4,505,456 | (119,485 | ) | ||||||||||||||
Corn | 12/14/2020 | 652 | 11,514,962 | 12,355,400 | (840,438 | ) | ||||||||||||||
Live Cattle | 12/31/2020 | 17 | 752,210 | 763,980 | (11,770 | ) |
Commodity Futures1 | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
Low Sulfur Gasoil | 11/12/2020 | 186 | $ | 6,414,950 | $ | 6,207,750 | $ | 207,200 | ||||||||||||||
Natural Gas | 10/28/2020 | 89 | 2,658,430 | 2,249,030 | 409,400 | |||||||||||||||||
Nickel LME | 12/16/2020 | 30 | 2,639,880 | 2,612,700 | 27,180 | |||||||||||||||||
Silver | 12/29/2020 | 13 | 1,773,425 | 1,527,110 | 246,315 | |||||||||||||||||
Soybean | 11/13/2020 | 56 | 2,805,625 | 2,865,800 | (60,175 | ) | ||||||||||||||||
Zinc LME | 12/16/2020 | 98 | 5,959,166 | 5,885,512 | 73,654 | |||||||||||||||||
|
| |||||||||||||||||||||
Total |
| $ | (43,520 | ) | ||||||||||||||||||
|
|
1 | Commodity futures are held by AlphaSimplex Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary. |
Swap Agreements
The Fund may enter into equity basket total return swap agreements. An equity basket total return swap is an agreement between two parties to exchange, for a specified period and based on the notional amount, the total return on an underlying basket of equity securities for, typically, fixed or floating interest payments. When a Fund pays interest in exchange for the total return of an underlying asset and the value of the underlying asset decreases, the Fund may be required to pay the change in value to the counterparty in addition to the interest payment; conversely, when a Fund receives interest in exchange for the total return of an underlying asset and the value of the underlying asset decreases, the Fund may receive the change in value in addition to the interest payment. The Fund receives net interest or pays net total return depending on whether the values of the underlying assets decrease or increase. Dividends declared on short reference entity common stocks are accrued and paid to the counterparty. Equity basket total return swap agreements typically reset on a monthly basis.
Equity basket total return swap agreements are valued daily, and fluctuations in value are recorded as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement. Payments made or received by the Fund as a result of a reset or termination of the agreement are recorded as realized gain or loss.
Equity basket total return swap agreements are privately negotiated in the over-the-counter market and are entered into as bilateral contracts. Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. Bilateral swap agreements may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts. The Fund covers its net obligations under outstanding equity basket total return swap agreements by segregating or earmarking cash or securities.
At September 30, 2020, the Fund had the following open swap agreements:
Bilateral Equity Basket Total Return Swaps (a)
Reference Entity | Counterparty | Expiration Date | Notional Amount | Unrealized Appreciation (Depreciation) | Value of Reference Entities | Notional Amount Net Asset Percentage | ||||||||||||||
Equity Securities Short | Morgan Stanley Capital Services LLC | 5/19/2021 | $ | (94,536,500 | ) | $ | — | $ | (94,536,500 | ) | (16.6 | %) | ||||||||
|
|
|
|
|
|
(a) | The Fund receives or pays, on a monthly basis, the total return on a portfolio of short equity positions net of one day U.S. Federal Funds Effective Rate minus a spread of 0.45%-0.84% as calculated on the notional amount. |
The following table represents the reference entities underlying the total return swap with Morgan Stanley Capital Services LLC as of September 30, 2020:
Common Stocks - Short | Shares | Value | % of Basket Value | |||||||||||||||
Aerospace & Defense |
| |||||||||||||||||
Axon Enterprise, Inc. | (3,491 | ) | $ | (316,634 | ) | (0.3 | %) | |||||||||||
Boeing Co. (The) | (1,615 | ) | (266,895 | ) | (0.3 | %) | ||||||||||||
Hexcel Corp. | (6,843 | ) | (229,582 | ) | (0.2 | %) | ||||||||||||
Spirit AeroSystems Holdings, Inc. | (12,953 | ) | (244,941 | ) | (0.3 | %) | ||||||||||||
|
| |||||||||||||||||
(1,058,052) |
Common Stocks - Short | Shares | Value | % of Basket Value | |||||||||
Air Freight & Logistics | ||||||||||||
FedEx Corp. | (2,273 | ) | (571,704 | ) | (0.6 | %) | ||||||
XPO Logistics, Inc. | (3,615 | ) | (306,046 | ) | (0.3 | %) | ||||||
|
| |||||||||||
(877,750 | ) | |||||||||||
Airlines | ||||||||||||
Alaska Air Group, Inc. | (7,325 | ) | (268,315 | ) | (0.3 | %) | ||||||
Delta Air Lines, Inc. | (27,145 | ) | (830,094 | ) | (0.9 | %) | ||||||
JetBlue Airways Corp. | (26,403 | ) | (299,146 | ) | (0.3 | %) | ||||||
Southwest Airlines Co. | (15,329 | ) | (574,837 | ) | (0.6 | %) | ||||||
United Airlines Holdings, Inc. | (16,629 | ) | (577,858 | ) | (0.6 | %) | ||||||
Wayfair, Inc. | (2,382 | ) | (693,186 | ) | (0.7 | %) | ||||||
|
| |||||||||||
(3,243,436 | ) | |||||||||||
Auto Components | ||||||||||||
Aptiv PLC | (3,523 | ) | (322,989 | ) | (0.3 | %) | ||||||
Goodyear Tire & Rubber Co. (The) | (29,442 | ) | (225,820 | ) | (0.2 | %) | ||||||
|
| |||||||||||
(548,809 | ) | |||||||||||
Banks | ||||||||||||
Banc of California, Inc. | (52,428 | ) | (530,572 | ) | (0.6 | %) | ||||||
Bridge Bancorp, Inc. | (63,507 | ) | (1,106,927 | ) | (1.2 | %) | ||||||
Live Oak Bancshares, Inc. | (26,013 | ) | (658,909 | ) | (0.7 | %) | ||||||
|
| |||||||||||
(2,296,408 | ) | |||||||||||
Biotechnology | ||||||||||||
Agios Pharmaceuticals, Inc. | (8,563 | ) | (299,705 | ) | (0.3 | %) | ||||||
Alexion Pharmaceuticals, Inc. | (4,970 | ) | (568,717 | ) | (0.6 | %) | ||||||
Alkermes PLC | (12,848 | ) | (212,891 | ) | (0.2 | %) | ||||||
Bluebird Bio, Inc. | (5,121 | ) | (276,278 | ) | (0.3 | %) | ||||||
Caredx, Inc. | (5,889 | ) | (223,429 | ) | (0.2 | %) | ||||||
Enanta Pharmaceuticals, Inc. | (5,627 | ) | (257,604 | ) | (0.3 | %) | ||||||
Insmed, Inc. | (12,265 | ) | (394,197 | ) | (0.4 | %) | ||||||
Madrigal Pharmaceuticals, Inc. | (2,201 | ) | (261,325 | ) | (0.3 | %) | ||||||
TG Therapeutics, Inc. | (20,531 | ) | (549,410 | ) | (0.6 | %) | ||||||
|
| |||||||||||
(3,043,556 | ) | |||||||||||
Building Products | ||||||||||||
Advanced Drainage Systems, Inc. | (10,995 | ) | (686,528 | ) | (0.7 | %) | ||||||
Builders FirstSource, Inc. | (85,083 | ) | (2,775,407 | ) | (2.9 | %) | ||||||
|
| |||||||||||
(3,461,935 | ) | |||||||||||
Capital Markets | ||||||||||||
Ares Management Corp., Class A | (13,406 | ) | (541,870 | ) | (0.6 | %) | ||||||
Blucora, Inc. | (20,079 | ) | (189,144 | ) | (0.2 | %) | ||||||
Charles Schwab Corp. (The) | (77,329 | ) | (2,801,630 | ) | (3.0 | %) | ||||||
|
| |||||||||||
(3,532,644 | ) | |||||||||||
Chemicals | ||||||||||||
Chemours Co. (The) | (29,016 | ) | (606,725 | ) | (0.6 | %) | ||||||
DuPont de Nemours, Inc. | (4,903 | ) | (272,018 | ) | (0.3 | %) | ||||||
Ingevity Corp. | (4,764 | ) | (235,532 | ) | (0.2 | %) | ||||||
Mosaic Co. (The) | (53,050 | ) | (969,223 | ) | (1.0 | %) | ||||||
Olin Corp. | (32,599 | ) | (403,576 | ) | (0.4 | %) | ||||||
Scotts Miracle-Gro Co. (The) | (4,693 | ) | (717,607 | ) | (0.8 | %) | ||||||
Trinseo S.A. | (21,363 | ) | (547,747 | ) | (0.6 | %) | ||||||
|
| |||||||||||
(3,752,428 | ) |
Common Stocks - Short | Shares | Value | % of Basket Value | |||||||||
Commercial Services & Supplies | ||||||||||||
Clean Harbors, Inc. | (5,531 | ) | (309,902 | ) | (0.3 | %) | ||||||
|
| |||||||||||
Communications Equipment | ||||||||||||
CommScope Holding Co., Inc. | (31,890 | ) | (287,010 | ) | (0.3 | %) | ||||||
|
| |||||||||||
Construction & Engineering | ||||||||||||
Fluor Corp. | (52,922 | ) | (466,243 | ) | (0.5 | %) | ||||||
Granite Construction, Inc. | (31,697 | ) | (558,184 | ) | (0.6 | %) | ||||||
|
| |||||||||||
(1,024,427 | ) | |||||||||||
Consumer Finance | ||||||||||||
Capital One Financial Corp. | (8,199 | ) | (589,180 | ) | (0.6 | %) | ||||||
|
| |||||||||||
Diversified Consumer Services | ||||||||||||
ServiceMaster Global Holdings, Inc. | (7,912 | ) | (315,531 | ) | (0.3 | %) | ||||||
|
| |||||||||||
Diversified Financial Services | ||||||||||||
Cannae Holdings, Inc. | (13,435 | ) | (500,588 | ) | (0.5 | %) | ||||||
|
| |||||||||||
Diversified Telecommunication Services | ||||||||||||
Anterix, Inc. | (19,723 | ) | (645,139 | ) | (0.7 | %) | ||||||
|
| |||||||||||
Electric Utilities | ||||||||||||
FirstEnergy Corp. | (9,983 | ) | (286,612 | ) | (0.3 | %) | ||||||
|
| |||||||||||
Electrical Equipment | ||||||||||||
Sunrun, Inc. | (33,485 | ) | (2,580,689 | ) | (2.7 | %) | ||||||
|
| |||||||||||
Energy Equipment & Services | ||||||||||||
Halliburton Co. | (45,976 | ) | (554,011 | ) | (0.6 | %) | ||||||
Schlumberger Ltd. | (18,219 | ) | (283,487 | ) | (0.3 | %) | ||||||
TechnipFMC PLC | (133,396 | ) | (841,729 | ) | (0.9 | %) | ||||||
|
| |||||||||||
(1,679,227 | ) | |||||||||||
Entertainment | ||||||||||||
Live Nation Entertainment, Inc. | (10,682 | ) | (575,546 | ) | (0.6 | %) | ||||||
Take-Two Interactive Software, Inc. | (3,430 | ) | (566,705 | ) | (0.6 | %) | ||||||
|
| |||||||||||
(1,142,251 | ) | |||||||||||
Equity Real Estate Investment Trusts | ||||||||||||
American Finance Trust, Inc. | (96,964 | ) | (607,964 | ) | (0.6 | %) | ||||||
City Office REIT, Inc. | (70,052 | ) | (526,791 | ) | (0.6 | %) | ||||||
Easterly Government Properties, Inc. | (9,575 | ) | (214,576 | ) | (0.2 | %) | ||||||
Franklin Street Properties | (131,726 | ) | (482,117 | ) | (0.5 | %) | ||||||
NexPoint Residential Trust, Inc. | (16,268 | ) | (721,486 | ) | (0.8 | %) | ||||||
Paramount Group, Inc. | (70,594 | ) | (499,806 | ) | (0.5 | %) | ||||||
SL Green Realty Corp. | (6,366 | ) | (295,191 | ) | (0.3 | %) | ||||||
UDR, Inc. | (16,780 | ) | (547,196 | ) | (0.6 | %) | ||||||
UMH Properties, Inc. | (39,215 | ) | (530,971 | ) | (0.6 | %) | ||||||
Vornado Realty Trust | (14,045 | ) | (473,457 | ) | (0.5 | %) | ||||||
|
| |||||||||||
(4,899,555 | ) | |||||||||||
Food & Staples Retailing | ||||||||||||
Andersons, Inc. (The) | (34,736 | ) | (665,889 | ) | (0.7 | %) | ||||||
|
| |||||||||||
Food Products | ||||||||||||
Beyond Meat, Inc. | (2,416 | ) | (401,201 | ) | (0.4 | %) |
Common Stocks - Short | Shares | Value | % of Basket Value | |||||||||
Food Products – continued |
| |||||||||||
Bunge Ltd. | (10,763 | ) | (491,869 | ) | (0.5 | %) | ||||||
Cal-Maine Foods, Inc. | (11,694 | ) | (448,699 | ) | (0.5 | %) | ||||||
Pilgrim’s Pride Corp. | (54,731 | ) | (819,050 | ) | (0.9 | %) | ||||||
Sanderson Farms, Inc. | (4,289 | ) | (505,973 | ) | (0.5 | %) | ||||||
|
| |||||||||||
(2,666,792 | ) | |||||||||||
Health Care Equipment & Supplies | ||||||||||||
ABIOMED, Inc. | (936 | ) | (259,328 | ) | (0.3 | %) | ||||||
Align Technology, Inc. | (2,201 | ) | (720,520 | ) | (0.8 | %) | ||||||
Tandem Diabetes Care, Inc. | (4,198 | ) | (476,473 | ) | (0.5 | %) | ||||||
|
| |||||||||||
(1,456,321 | ) | |||||||||||
Health Care Providers & Services | ||||||||||||
BioTelemetry, Inc. | (6,206 | ) | (282,869 | ) | (0.3 | %) | ||||||
Tenet Healthcare Corp. | (13,299 | ) | (325,959 | ) | (0.3 | %) | ||||||
|
| |||||||||||
(608,828 | ) | |||||||||||
Health Care Technology | ||||||||||||
Teladoc Health, Inc. | (7,416 | ) | (1,625,884 | ) | (1.7 | %) | ||||||
|
| |||||||||||
Hotels, Restaurants & Leisure | ||||||||||||
Aramark | (11,427 | ) | (302,244 | ) | (0.3 | %) | ||||||
Bloomin’ Brands, Inc. | (14,410 | ) | (220,041 | ) | (0.2 | %) | ||||||
MGM Resorts International | (8,192 | ) | (178,176 | ) | (0.2 | %) | ||||||
Papa John’s International, Inc. | (6,966 | ) | (573,162 | ) | (0.6 | %) | ||||||
Royal Caribbean Cruises Ltd. | (8,805 | ) | (569,948 | ) | (0.6 | %) | ||||||
Wendy’s Co. (The) | (4,458 | ) | (99,391 | ) | (0.1 | %) | ||||||
Wyndham Hotels & Resorts, Inc. | (11,540 | ) | (582,770 | ) | (0.6 | %) | ||||||
Wynn Resorts Ltd. | (7,859 | ) | (564,355 | ) | (0.6 | %) | ||||||
|
| |||||||||||
(3,090,087 | ) | |||||||||||
Household Durables | ||||||||||||
Mohawk Industries, Inc. | (3,230 | ) | (315,216 | ) | (0.3 | %) | ||||||
Toll Brothers, Inc. | (6,356 | ) | (309,283 | ) | (0.3 | %) | ||||||
|
| |||||||||||
(624,499 | ) | |||||||||||
Independent Power & Renewable Electricity Producers | ||||||||||||
AES Corp. (The) | (31,613 | ) | (572,511 | ) | (0.6 | %) | ||||||
Sunnova Energy International, Inc. | (25,494 | ) | (775,273 | ) | (0.8 | %) | ||||||
|
| |||||||||||
(1,347,784 | ) | |||||||||||
Insurance | ||||||||||||
American International Group, Inc. | (8,836 | ) | (243,255 | ) | (0.3 | %) | ||||||
Brighthouse Financial, Inc. | (17,606 | ) | (473,777 | ) | (0.5 | %) | ||||||
Cincinnati Financial Corp. | (4,425 | ) | (345,017 | ) | (0.4 | %) | ||||||
First American Financial Corp. | (11,336 | ) | (577,116 | ) | (0.6 | %) | ||||||
Lincoln National Corp. | (7,662 | ) | (240,051 | ) | (0.3 | %) | ||||||
Reinsurance Group of America, Inc. | (3,365 | ) | (320,314 | ) | (0.3 | %) | ||||||
Third Point Reinsurance Ltd. | (81,703 | ) | (567,836 | ) | (0.6 | %) | ||||||
|
| |||||||||||
(2,767,366 | ) | |||||||||||
Interactive Media & Entertainment | ||||||||||||
Snap-on, Inc., Class A | (1,807 | ) | (47,181 | ) | (— | ) | ||||||
TripAdvisor, Inc. | (9,714 | ) | (190,297 | ) | (0.2 | %) |
Common Stocks - Short | Shares | Value | % of Basket Value | |||||||||
Interactive Media & Entertainment – continued | ||||||||||||
Twitter, Inc. | (12,972 | ) | (577,254 | ) | (0.6 | %) | ||||||
|
| |||||||||||
(814,732 | ) | |||||||||||
Internet & Direct Marketing Retail | ||||||||||||
Etsy, Inc. | (674 | ) | (81,978 | ) | (0.1 | %) | ||||||
Expedia Group, Inc. | (6,078 | ) | (557,292 | ) | (0.6 | %) | ||||||
Realreal, Inc. (The) | (41,876 | ) | (605,946 | ) | (0.6 | %) | ||||||
|
| |||||||||||
(1,245,216 | ) | |||||||||||
IT Services | ||||||||||||
DXC Technology Co. | (22,958 | ) | (409,800 | ) | (0.4 | %) | ||||||
Euronet Worldwide, Inc. | (3,074 | ) | (280,042 | ) | (0.3 | %) | ||||||
LiveRamp Holdings, Inc. | (5,483 | ) | (283,855 | ) | (0.3 | %) | ||||||
|
| |||||||||||
(973,697 | ) | |||||||||||
Leisure Products | ||||||||||||
Mattel, Inc. | (50,196 | ) | (587,293 | ) | (0.6 | %) | ||||||
|
| |||||||||||
Machinery | ||||||||||||
Middleby Corp. (The) | (3,008 | ) | (269,848 | ) | (0.3 | %) | ||||||
|
| |||||||||||
Media | ||||||||||||
AMC Networks, Inc., Class A | (12,844 | ) | (317,375 | ) | (0.3 | %) | ||||||
ViacomCBS, Inc., Class B | (27,374 | ) | (766,746 | ) | (0.8 | %) | ||||||
|
| |||||||||||
(1,084,121 | ) | |||||||||||
Metals & Mining | ||||||||||||
Agnico Eagle Mines Ltd. | (3,895 | ) | (310,081 | ) | (0.3 | %) | ||||||
Alcoa Corp. | (15,914 | ) | (185,080 | ) | (0.2 | %) | ||||||
Allegheny Technologies, Inc. | (29,021 | ) | (253,063 | ) | (0.3 | %) | ||||||
Barrick Gold Corp. | (20,531 | ) | (577,126 | ) | (0.6 | %) | ||||||
Century Aluminum Co. | (82,094 | ) | (584,509 | ) | (0.6 | %) | ||||||
Coeur Mining, Inc. | (72,329 | ) | (533,788 | ) | (0.6 | %) | ||||||
Freeport-McMoRan, Inc. | (37,844 | ) | (591,880 | ) | (0.6 | %) | ||||||
Hecla Mining Co. | (173,906 | ) | (883,443 | ) | (0.9 | %) | ||||||
Kinross Gold Corp. | (5,098 | ) | (44,964 | ) | (— | ) | ||||||
Newmont Corp. | (9,259 | ) | (587,484 | ) | (0.6 | %) | ||||||
Pan American Silver Corp. | (9,744 | ) | (313,270 | ) | (0.3 | %) | ||||||
|
| |||||||||||
(4,864,688 | ) | |||||||||||
Mortgage Real Estate Investment Trusts (REITs) | ||||||||||||
Annaly Capital Management, Inc. | (81,606 | ) | (581,035 | ) | (0.6 | %) | ||||||
Capstead Mortgage Corp. | (109,970 | ) | (618,031 | ) | (0.7 | %) | ||||||
PennyMac Mortgage Investment Trust | (33,664 | ) | (540,981 | ) | (0.6 | %) | ||||||
|
| |||||||||||
(1,740,047 | ) | |||||||||||
Multi-Utilities | ||||||||||||
CenterPoint Energy, Inc. | (14,291 | ) | (276,531 | ) | (0.3 | %) | ||||||
|
| |||||||||||
Multiline Retail | ||||||||||||
Dollar Tree, Inc. | (6,360 | ) | (580,922 | ) | (0.6 | %) | ||||||
Kohl’s Corp. | (27,973 | ) | (518,340 | ) | (0.5 | %) | ||||||
|
| |||||||||||
(1,099,262 | ) |
Common Stocks - Short | Shares | Value | % of Basket Value | |||||||||
Oil, Gas & Consumable Fuels | ||||||||||||
Cabot Oil & Gas Corp. | (12,725 | ) | (220,906 | ) | (0.2 | %) | ||||||
Chevron Corp. | (31,173 | ) | (2,244,456 | ) | (2.4 | %) | ||||||
Cimarex Energy Co. | (11,117 | ) | (270,477 | ) | (0.3 | %) | ||||||
CNX Resources Corp. | (221,522 | ) | (2,091,168 | ) | (2.2 | %) | ||||||
Concho Resources, Inc. | (5,627 | ) | (248,263 | ) | (0.3 | %) | ||||||
ConocoPhillips | (16,876 | ) | (554,208 | ) | (0.6 | %) | ||||||
Devon Energy Corp. | (61,687 | ) | (583,559 | ) | (0.6 | %) | ||||||
Energy Transfer LP | (147,246 | ) | (798,073 | ) | (0.8 | %) | ||||||
EOG Resources, Inc. | (14,528 | ) | (522,136 | ) | (0.6 | %) | ||||||
EQT Corp. | (61,688 | ) | (797,626 | ) | (0.8 | %) | ||||||
Exxon Mobil Corp | (5,221 | ) | (179,237 | ) | (0.2 | %) | ||||||
Hess Corp. | (14,049 | ) | (575,026 | ) | (0.6 | %) | ||||||
HollyFrontier Corp. | (27,001 | ) | (532,190 | ) | (0.6 | %) | ||||||
Kinder Morgan, Inc. | (45,976 | ) | (566,884 | ) | (0.6 | %) | ||||||
Marathon Oil Corp. | (131,420 | ) | (537,508 | ) | (0.6 | %) | ||||||
Marathon Petroleum Corp. | (3,229 | ) | (94,739 | ) | (0.1 | %) | ||||||
Occidental Petroleum Corp. | (46,318 | ) | (463,643 | ) | (0.5 | %) | ||||||
Parsley Energy, Inc. | (52,071 | ) | (487,384 | ) | (0.5 | %) | ||||||
Pioneer Natural Resources Co. | (2,940 | ) | (252,811 | ) | (0.3 | %) | ||||||
Plains All American Pipeline LP | (53,881 | ) | (322,208 | ) | (0.3 | %) | ||||||
WPX Energy, Inc. | (192,707 | ) | (944,264 | ) | (1.0 | %) | ||||||
|
| |||||||||||
(13,286,766 | ) | |||||||||||
Personal Products | ||||||||||||
Coty, Inc. | (78,897 | ) | (213,022 | ) | (0.2 | %) | ||||||
Edgewell Personal Care Co. | (10,383 | ) | (289,478 | ) | (0.3 | %) | ||||||
Herbalife Nutrition Ltd. | (3,108 | ) | (144,988 | ) | (0.2 | %) | ||||||
|
| |||||||||||
(647,488 | ) | |||||||||||
Pharmaceuticals | ||||||||||||
Mylan NV | (39,440 | ) | (584,895 | ) | (0.6 | %) | ||||||
|
| |||||||||||
Professional Services | ||||||||||||
Clarivate PLC | (23,703 | ) | (734,556 | ) | (0.8 | %) | ||||||
CoreLogic, Inc. | (4,540 | ) | (307,222 | ) | (0.3 | %) | ||||||
|
| |||||||||||
(1,041,778 | ) | |||||||||||
Road & Rail | ||||||||||||
ArcBest Corp. | (22,432 | ) | (696,738 | ) | (0.7 | %) | ||||||
Lyft, Inc., Class A | (20,658 | ) | (569,128 | ) | (0.6 | %) | ||||||
|
| |||||||||||
(1,265,866 | ) | |||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
Analog Devices, Inc. | (27,405 | ) | (3,199,260 | ) | (3.4 | %) | ||||||
Applied Materials, Inc. | (7,637 | ) | (454,020 | ) | (0.5 | %) | ||||||
Enphase Energy, Inc. | (5,089 | ) | (420,300 | ) | (0.4 | %) | ||||||
Lam Research Corp. | (26 | ) | (8,625 | ) | (— | ) | ||||||
Microchip Technology, Inc. | (831 | ) | (85,394 | ) | (0.1 | %) | ||||||
MKS Instruments, Inc. | (2,305 | ) | (251,775 | ) | (0.3 | %) | ||||||
NVIDIA Corp. | (235 | ) | (127,187 | ) | (0.1 | %) | ||||||
Ultra Clean Holdings, Inc. | (8,966 | ) | (192,410 | ) | (0.2 | %) |
Common Stocks - Short | Shares | Value | % of Basket Value | |||||||||
Semiconductors & Semiconductor Equipment – continued | ||||||||||||
Veeco Instruments, Inc. | (14,899 | ) | (173,871 | ) | (0.2 | %) | ||||||
|
| |||||||||||
(4,912,842 | ) | |||||||||||
Software | ||||||||||||
Blackberry Ltd. | (59,130 | ) | (271,407 | ) | (0.3 | %) | ||||||
Cloudflare, Inc., Class A | (9,357 | ) | (384,198 | ) | (0.4 | %) | ||||||
Nutanix, Inc., Class A | (12,418 | ) | (275,431 | ) | (0.3 | %) | ||||||
Teradata Corp. | (13,463 | ) | (305,610 | ) | (0.3 | %) | ||||||
|
| |||||||||||
(1,236,646 | ) | |||||||||||
Specialty Retail | ||||||||||||
Aaron’s, Inc. | (6,729 | ) | (381,198 | ) | (0.4 | %) | ||||||
Carvana Co. | (2,922 | ) | (651,781 | ) | (0.7 | %) | ||||||
Foot Locker, Inc. | (8,403 | ) | (277,551 | ) | (0.3 | %) | ||||||
Gap, Inc. (The) | (34,912 | ) | (594,551 | ) | (0.6 | %) | ||||||
L Brands, Inc. | (17,938 | ) | (570,608 | ) | (0.6 | %) | ||||||
RH | (1,056 | ) | (404,047 | ) | (0.4 | %) | ||||||
|
| |||||||||||
(2,879,736 | ) | |||||||||||
Technology Hardware, Storage & Peripherals | ||||||||||||
HP, Inc. | (31,078 | ) | (590,171 | ) | (0.6 | %) | ||||||
Western Digital Corp. | (9,252 | ) | (338,161 | ) | (0.4 | %) | ||||||
Xerox Holdings Corp. | (15,863 | ) | (297,748 | ) | (0.3 | %) | ||||||
|
| |||||||||||
(1,226,080 | ) | |||||||||||
Textiles, Apparel & Luxury Goods | ||||||||||||
PVH Corp. | (8,846 | ) | (527,575 | ) | (0.6 | %) | ||||||
Ralph Lauren Corp. | (9,849 | ) | (669,437 | ) | (0.7 | %) | ||||||
Tapestry, Inc. | (33,256 | ) | (519,791 | ) | (0.5 | %) | ||||||
|
| |||||||||||
(1,716,803 | ) | |||||||||||
Thrifts & Mortgage Finance | ||||||||||||
Flagstar Bancorp, Inc. | (18,230 | ) | (540,155 | ) | (0.6 | %) | ||||||
|
| |||||||||||
Trading Companies & Distributors | ||||||||||||
Beacon Roofing Supply, Inc. | (19,724 | ) | (612,825 | ) | (0.6 | %) | ||||||
NOW, Inc. | (103,799 | ) | (471,247 | ) | (0.5 | %) | ||||||
|
| |||||||||||
(1,084,072 | ) | |||||||||||
Wireless Telecommunication Services | ||||||||||||
U.S. Cellular Corp. | (7,767 | ) | (229,359 | ) | (0.2 | %) | ||||||
|
| |||||||||||
Total Common Stocks—Short |
| $ | (94,536,500 | ) |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
• | Level 1 — quoted prices in active markets for identical assets or liabilities; |
• | Level 2 — prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
• | Level 3 — prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2020, at value:
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* | $ | 199,353,190 | $ | — | $ | — | $ | 199,353,190 | ||||||||
Exchange-Traded Funds | 7,225,468 | — | — | 7,225,468 | ||||||||||||
Short-Term Investments* | — | 316,599,419 | — | 316,599,419 | ||||||||||||
Forward Foreign Currency Contracts (unrealized appreciation) | — | 439,463 | — | 439,463 | ||||||||||||
Futures Contracts (unrealized appreciation) | 6,030,085 | 67,894 | — | 6,097,979 | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Total | $ | 212,608,743 | $ | 317,106,776 | $ | — | $ | 529,715,519 | ||||||||
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|
|
|
|
|
|
|
Liability Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Basket Total Return Swap | $ | — | (a) | $ | — | $ | — | $ | — | |||||||
Forward Foreign Currency Contracts (unrealized depreciation) | — | (1,451,513 | ) | — | (1,451,513 | ) | ||||||||||
Futures Contracts (unrealized depreciation) | (3,047,623 | ) | (1,327,838 | ) | — | (4,375,461 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (3,047,623 | ) | $ | (2,779,351 | ) | $ | — | $ | (5,826,974 | ) | |||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Fund’s investments are reflected within the Consolidated Portfolio of Investments. |
(a) | Represents net unrealized appreciation (depreciation) of $0, as reflected within the Consolidated Portfolio of Investments. |
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of and underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include forward foreign currency contracts, futures contracts and swap agreements.
The Fund seeks to achieve long and short exposure to global equity, bond, currency and commodity markets through a wide range of derivative instruments and direct investments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified portfolio of hedge funds. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge funds, and seeks to use a variety of derivative instruments to capture such exposures in the aggregate. The Fund may also use various strategies commonly used by hedge funds that seek to profit from underlying risk factors, such as merger arbitrage. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts on global equity and fixed income securities, securities indices, currencies, commodities and other instruments and equity basket total return swap agreements. During the period ended September 30, 2020, the Fund used long and short contracts on U.S. and foreign government bonds, U.S. and foreign equity market indices, foreign currencies, and commodities (through investments in the Subsidiary), long contracts on short term interest rates, and short contracts on equity basket total return swaps in accordance with these objectives.
The following is a summary of derivative instruments for the Fund, as of September 30, 2020:
Assets | Unrealized appreciation on forward foreign currency contracts | Unrealized appreciation on futures contracts | ||||||
Over-the-counter asset derivatives | ||||||||
Foreign exchange contracts | $ | 439,463 | $ | — | ||||
|
|
|
| |||||
Exchange-traded asset derivatives | ||||||||
Interest rate contracts | $ | — | $ | 1,733,689 | ||||
Foreign exchange contracts | — | 492,196 | ||||||
Commodity contracts | — | 2,526,093 | ||||||
Equity contracts | — | 1,346,001 | ||||||
|
|
|
| |||||
Total exchange-traded asset derivatives | $ | — | $ | 6,097,979 | ||||
|
|
|
| |||||
Total asset derivatives | $ | 439,463 | $ | 6,097,979 | ||||
|
|
|
|
Liabilities | Unrealized depreciation on forward foreign currency contracts | Unrealized depreciation on futures contracts | Swap agreements at value1 | |||||||||
Over-the-counter liability derivatives | ||||||||||||
Foreign exchange contracts | $ | (1,451,513 | ) | $ | — | $ | — | |||||
Equity Contracts | — | — | (94,536,500 | ) | ||||||||
|
|
|
|
|
| |||||||
Total over-the-counter liability derivatives | $ | (1,451,513 | ) | $ | — | $ | (94,536,500 | ) | ||||
|
|
|
|
|
| |||||||
Exchange-traded liability derivatives | ||||||||||||
Interest rate contracts | $ | — | $ | (1,147,572 | ) | $ | — | |||||
Foreign exchange contracts | — | (68,019 | ) | — | ||||||||
Commodity contracts | — | (1,786,572 | ) | — | ||||||||
Equity contracts | — | (1,373,298 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total exchange-traded liability derivatives | $ | — | $ | (4,375,461 | ) | $ | — | |||||
|
|
|
|
|
| |||||||
Total liability derivatives | $ | (1,451,513 | ) | $ | (4,375,461 | ) | $ | (94,536,500 | ) | |||
|
|
|
|
|
| |||||||
1 | Represents swap agreements, at value. Market value of swap agreements is reported in the Consolidated Portfolio of Investments. |
The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
Over-the-counter (“OTC”) derivatives, including forward foreign currency contracts and swap agreements, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. As of September 30, 2020, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:
Counterparty | Derivatives | Collateral Pledged | ||||||
UBS AG | $ | (1,012,050 | ) | $ | 6,616,423 |
Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of September 30, 2020:
Maximum Amount of Loss — Gross | Maximum Amount of Loss — Net | |||||||
Over-the-counter counterparty credit risk | ||||||||
Forward foreign currency contracts | $ | 439,463 | $ | — | ||||
Collateral pledged to UBS AG | 6,616,423 | 6,616,423 | ||||||
Collateral pledged to Morgan Stanley | 20,935,601 | 20,935,601 | ||||||
|
|
|
| |||||
Total over-the-counter counterparty credit risk | 27,991,487 | 27,552,024 | ||||||
|
|
|
| |||||
Exchange-traded counterparty credit risk | ||||||||
Futures contracts | 6,097,979 | 6,097,979 | ||||||
Margin with brokers | 31,734,953 | 31,734,953 | ||||||
|
|
|
| |||||
Total exchange-traded counterparty credit risk | 37,832,932 | 37,832,932 | ||||||
|
|
|
| |||||
Total counterparty credit risk | $ | 65,824,419 | $ | 65,384,956 | ||||
|
|
|
|
Investment Summary at September 30, 2020 (Unaudited) | ||||
Common Stocks | 35.0 | % | ||
Certificates of Deposit | 30.2 | |||
Time Deposits | 9.5 | |||
Repurchase Agreements | 6.5 | |||
Treasuries | 5.8 | |||
Commercial Paper | 3.7 | |||
Exchange-Traded Funds | 1.3 | |||
|
| |||
Total Investments | 92.0 | |||
Other assets less liabilities (including swap agreements, forward foreign currency and futures contracts) | 8.0 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|