Consolidated Portfolio of Investments – as of March 31, 2023 (Unaudited)
AlphaSimplex Global Alternatives Fund
Shares | Description | Value (†) | ||||
Common Stocks – 16.2% of Net Assets |
| |||||
Aerospace & Defense – 0.2% |
| |||||
| 516 | General Dynamics Corp. | $ | 117,757 | |||
| 3,125 | Howmet Aerospace, Inc. | 132,406 | ||||
| 218 | Lockheed Martin Corp. | 103,055 | ||||
| 2,103 | Mercury Systems, Inc.(a) | 107,505 | ||||
|
| |||||
| 460,723 | ||||||
|
| |||||
Air Freight & Logistics – 0.2% |
| |||||
| 1,416 | Expeditors International of Washington, Inc. | 155,930 | ||||
| 1,387 | United Parcel Service, Inc., Class B | 269,064 | ||||
|
| |||||
| 424,994 | ||||||
|
| |||||
Automobile Components – 0.1% |
| |||||
| 4,250 | Gentex Corp. | 119,127 | ||||
| 2,113 | Patrick Industries, Inc. | 145,396 | ||||
|
| |||||
| 264,523 | ||||||
|
| |||||
Automobiles – 0.1% |
| |||||
| 854 | Ferrari NV | 231,383 | ||||
|
| |||||
Banks – 0.8% |
| |||||
| 962 | City Holding Co. | 87,426 | ||||
| 5,556 | Columbia Financial, Inc.(a) | 101,564 | ||||
| 2,485 | Community Trust Bancorp, Inc. | 94,306 | ||||
| 5,101 | First Financial Corp. | 191,185 | ||||
| 1,501 | Great Southern Bancorp, Inc. | 76,071 | ||||
| 62,345 | Lakeland Bancorp, Inc. | 975,076 | ||||
| 7,544 | Northfield Bancorp, Inc. | 88,868 | ||||
| 7,875 | Northwest Bancshares, Inc. | 94,736 | ||||
| 6,203 | TrustCo Bank Corp. NY | 198,124 | ||||
| 2,036 | Westamerica BanCorp | 90,195 | ||||
|
| |||||
| 1,997,551 | ||||||
|
| |||||
Beverages – 0.2% |
| |||||
| 484 | Coca-Cola Co. | 30,022 | ||||
| 453 | Constellation Brands, Inc., Class A | 102,328 | ||||
| 943 | PepsiCo, Inc. | 171,909 | ||||
| 10,828 | Primo Water Corp. | 166,210 | ||||
|
| |||||
| 470,469 | ||||||
|
| |||||
Biotechnology – 0.6% |
| |||||
| 3,122 | AbbVie, Inc. | 497,553 | ||||
| 4,608 | Alkermes PLC(a) | 129,900 | ||||
| 1,312 | Amgen, Inc. | 317,176 | ||||
| 105 | Biogen, Inc.(a) | 29,193 | ||||
| 3,257 | Gilead Sciences, Inc. | 270,233 | ||||
| 10,510 | Ironwood Pharmaceuticals, Inc.(a) | 110,565 | ||||
|
| |||||
| 1,354,620 | ||||||
|
| |||||
Shares | Description | Value (†) | ||||
| �� | ||||||
Common Stocks – continued |
| |||||
Broadline Retail – 0.0% |
| |||||
| 63 | Macy’s, Inc. | $ | 1,102 | |||
|
| |||||
Building Products – 0.4% |
| |||||
| 775 | Builders FirstSource, Inc.(a) | 68,804 | ||||
| 394 | Carlisle Cos., Inc. | 89,072 | ||||
| 2,755 | Johnson Controls International PLC | 165,906 | ||||
| 1,380 | Masonite International Corp.(a) | 125,263 | ||||
| 4,861 | Resideo Technologies, Inc.(a) | 88,859 | ||||
| 4,662 | Tecnoglass, Inc. | 195,617 | ||||
| 846 | Trane Technologies PLC | 155,647 | ||||
|
| |||||
| 889,168 | ||||||
|
| |||||
Capital Markets – 0.8% |
| |||||
| 7,005 | Bain Capital Specialty Finance, Inc. | 83,500 | ||||
| 4,747 | Brightsphere Investment Group, Inc. | 111,934 | ||||
| 1,114 | Cboe Global Markets, Inc. | 149,543 | ||||
| 2,459 | Charles Schwab Corp. | 128,803 | ||||
| 510 | CME Group, Inc. | 97,675 | ||||
| 429 | Goldman Sachs Group, Inc. | 140,330 | ||||
| 1,025 | Intercontinental Exchange, Inc. | 106,897 | ||||
| 5,071 | Invesco Ltd. | 83,164 | ||||
| 3,879 | Janus Henderson Group PLC | 103,337 | ||||
| 4,087 | Lazard Ltd., Class A | 135,321 | ||||
| 467 | MarketAxess Holdings, Inc. | 182,733 | ||||
| 476 | Morningstar, Inc. | 96,642 | ||||
| 2,902 | Nasdaq, Inc. | 158,652 | ||||
| 1,142 | T. Rowe Price Group, Inc. | 128,932 | ||||
| 5,178 | Victory Capital Holdings, Inc., Class A | 151,560 | ||||
|
| |||||
| 1,859,023 | ||||||
|
| |||||
Chemicals – 0.2% |
| |||||
| 48 | Albemarle Corp. | 10,610 | ||||
| 1,040 | Corteva, Inc. | 62,722 | ||||
| 1,323 | International Flavors & Fragrances, Inc. | 121,663 | ||||
| 325 | NewMarket Corp. | 118,618 | ||||
| 2,003 | Olin Corp. | 111,167 | ||||
|
| |||||
| 424,780 | ||||||
|
| |||||
Commercial Services & Supplies – 0.2% |
| |||||
| 398 | Cintas Corp. | 184,147 | ||||
| 4,682 | Ennis, Inc. | 98,743 | ||||
| 218 | Republic Services, Inc. | 29,478 | ||||
| 890 | Waste Management, Inc. | 145,221 | ||||
|
| |||||
| 457,589 | ||||||
|
| |||||
Construction & Engineering – 0.3% |
| |||||
| 3,246 | AECOM | 273,703 | ||||
| 10,337 | MDU Resources Group, Inc. | 315,072 | ||||
| 444 | Quanta Services, Inc. | 73,988 | ||||
|
| |||||
| 662,763 | ||||||
|
| |||||
Shares | Description | Value (†) | ||||
Common Stocks – continued |
| |||||
Construction Materials – 0.0% |
| |||||
| 625 | Vulcan Materials Co. | $ | 107,225 | |||
|
| |||||
Consumer Finance – 0.1% |
| |||||
| 2,503 | Nelnet, Inc., Class A | 230,001 | ||||
|
| |||||
Consumer Staples Distribution & Retail – 0.4% |
| |||||
| 184 | Costco Wholesale Corp. | 91,424 | ||||
| 181 | Dollar General Corp. | 38,093 | ||||
| 1,299 | Target Corp. | 215,153 | ||||
| 3,108 | U.S. Foods Holding Corp.(a) | 114,810 | ||||
| 2,877 | Walmart, Inc. | 424,214 | ||||
|
| |||||
| 883,694 | ||||||
|
| |||||
Containers & Packaging – 0.2% |
| |||||
| 1,806 | AptarGroup, Inc. | 213,451 | ||||
| 3,216 | Sealed Air Corp. | 147,647 | ||||
| 3,963 | Silgan Holdings, Inc. | 212,694 | ||||
|
| |||||
| 573,792 | ||||||
|
| |||||
Distributors – 0.1% |
| |||||
| 588 | Genuine Parts Co. | 98,378 | ||||
| 2,732 | LKQ Corp. | 155,069 | ||||
|
| |||||
| 253,447 | ||||||
|
| |||||
Diversified Consumer Services – 0.1% |
| |||||
| 1,522 | Grand Canyon Education, Inc.(a) | 173,356 | ||||
|
| |||||
Diversified REITs – 0.0% |
| |||||
| 402 | WP Carey, Inc. | 31,135 | ||||
|
| |||||
Electric Utilities – 0.4% |
| |||||
| 571 | ALLETE, Inc. | 36,755 | ||||
| 944 | Alliant Energy Corp. | 50,410 | ||||
| 401 | American Electric Power Co., Inc. | 36,487 | ||||
| 748 | Avangrid, Inc. | 29,830 | ||||
| 1,387 | Duke Energy Corp. | 133,804 | ||||
| 253 | Entergy Corp. | 27,258 | ||||
| 422 | Evergy, Inc. | 25,793 | ||||
| 441 | Eversource Energy | 34,513 | ||||
| 811 | Exelon Corp. | 33,973 | ||||
| 6,099 | FirstEnergy Corp. | 244,326 | ||||
| 717 | Hawaiian Electric Industries, Inc. | 27,533 | ||||
| 388 | IDACORP, Inc. | 42,032 | ||||
| 374 | MGE Energy, Inc. | 29,048 | ||||
| 753 | OGE Energy Corp. | 28,358 | ||||
| 374 | Pinnacle West Capital Corp. | 29,636 | ||||
| 604 | Portland General Electric Co. | 29,529 | ||||
| 1,371 | PPL Corp. | 38,100 | ||||
| 668 | Xcel Energy, Inc. | 45,050 | ||||
|
| |||||
| 922,435 | ||||||
|
| |||||
Shares | Description | Value (†) | ||||
Common Stocks – continued |
| |||||
Electrical Equipment – 0.2% |
| |||||
| 1,443 | AMETEK, Inc. | $ | 209,711 | |||
| 915 | Eaton Corp. PLC | 156,776 | ||||
| 1,303 | Emerson Electric Co. | 113,544 | ||||
|
| |||||
| 480,031 | ||||||
|
| |||||
Electronic Equipment, Instruments & Components – 0.5% |
| |||||
| 2,034 | Amphenol Corp., Class A | 166,218 | ||||
| 716 | CDW Corp. | 139,541 | ||||
| 5,285 | Flex Ltd.(a) | 121,608 | ||||
| 1,426 | Insight Enterprises, Inc.(a) | 203,861 | ||||
| 1,172 | OSI Systems, Inc.(a) | 119,966 | ||||
| 1,238 | TE Connectivity Ltd. | 162,364 | ||||
| 6,795 | Vontier Corp. | 185,775 | ||||
|
| |||||
| 1,099,333 | ||||||
|
| |||||
Energy Equipment & Services – 0.0% |
| |||||
| 352 | Halliburton Co. | 11,137 | ||||
| 4,715 | USA Compression Partners LP | 99,628 | ||||
|
| |||||
| 110,765 | ||||||
|
| |||||
Entertainment – 0.1% |
| |||||
| 929 | Electronic Arts, Inc. | 111,898 | ||||
| 1,865 | World Wrestling Entertainment, Inc., Class A | 170,200 | ||||
|
| |||||
| 282,098 | ||||||
|
| |||||
Financial Services – 0.2% |
| |||||
| 6,313 | Banco Latinoamericano de Comercio Exterior SA | 109,720 | ||||
| 1,364 | Fiserv, Inc.(a) | 154,173 | ||||
| 560 | Jack Henry & Associates, Inc. | 84,403 | ||||
| 6,852 | NMI Holdings, Inc., Class A(a) | 153,005 | ||||
|
| |||||
| 501,301 | ||||||
|
| |||||
Food Products – 0.5% |
| |||||
| 602 | Campbell Soup Co. | 33,098 | ||||
| 970 | Conagra Brands, Inc. | 36,433 | ||||
| 1,004 | Flowers Foods, Inc. | 27,520 | ||||
| 950 | Freshpet, Inc.(a) | 62,881 | ||||
| 587 | General Mills, Inc. | 50,165 | ||||
| 1,169 | Hershey Co. | 297,405 | ||||
| 1,156 | Hormel Foods Corp. | 46,101 | ||||
| 934 | Ingredion, Inc. | 95,016 | ||||
| 207 | J.M. Smucker Co. | 32,576 | ||||
| 1,121 | John B Sanfilippo & Son, Inc. | 108,647 | ||||
| 718 | Kellogg Co. | 48,077 | ||||
| 719 | Kraft Heinz Co. | 27,804 | ||||
| 690 | McCormick & Co., Inc. | 57,415 | ||||
| 2,109 | Mondelez International, Inc., Class A | 147,039 | ||||
| 2,493 | TreeHouse Foods, Inc.(a) | 125,722 | ||||
| 1,242 | Tyson Foods, Inc., Class A | 73,675 | ||||
|
| |||||
| 1,269,574 | ||||||
|
| |||||
Shares | Description | Value (†) | ||||
Common Stocks – continued |
| |||||
Gas Utilities – 0.1% |
| |||||
| 2,056 | Southwest Gas Holdings, Inc. | $ | 128,397 | |||
| 5,215 | Suburban Propane Partners LP | 79,894 | ||||
|
| |||||
| 208,291 | ||||||
|
| |||||
Ground Transportation – 0.2% |
| |||||
| 448 | Old Dominion Freight Line, Inc. | 152,696 | ||||
| 1,308 | Union Pacific Corp. | 263,248 | ||||
|
| |||||
| 415,944 | ||||||
|
| |||||
Health Care Equipment & Supplies – 0.2% |
| |||||
| 778 | Becton Dickinson & Co. | 192,586 | ||||
| 4,605 | Inmode Ltd.(a) | 147,176 | ||||
| 3 | Insulet Corp.(a) | 957 | ||||
| 214 | Shockwave Medical, Inc.(a) | 46,401 | ||||
|
| |||||
| 387,120 | ||||||
|
| |||||
Health Care Providers & Services – 0.8% |
| |||||
| 1,320 | AMN Healthcare Services, Inc.(a) | 109,507 | ||||
| 650 | Cardinal Health, Inc. | 49,075 | ||||
| 329 | Chemed Corp. | 176,920 | ||||
| 1,908 | CVS Health Corp. | 141,783 | ||||
| 307 | Humana, Inc. | 149,036 | ||||
| 591 | Laboratory Corp. of America Holdings | 135,587 | ||||
| 399 | McKesson Corp. | 142,064 | ||||
| 857 | ModivCare, Inc.(a) | 72,057 | ||||
| 6,023 | Premier, Inc., Class A | 194,964 | ||||
| 749 | Quest Diagnostics, Inc. | 105,969 | ||||
| 1,130 | UnitedHealth Group, Inc. | 534,027 | ||||
|
| |||||
| 1,810,989 | ||||||
|
| |||||
Health Care REITs – 0.0% |
| |||||
| 6,143 | Physicians Realty Trust | 91,715 | ||||
|
| |||||
Health Care Technology – 0.0% |
| |||||
| 4,074 | HealthStream, Inc.(a) | 110,405 | ||||
|
| |||||
Hotels, Restaurants & Leisure – 0.3% |
| |||||
| 71 | Chipotle Mexican Grill, Inc.(a) | 121,289 | ||||
| 935 | Hilton Worldwide Holdings, Inc. | 131,714 | ||||
| 928 | Marriott International, Inc., Class A | 154,085 | ||||
| 2,896 | MGM Resorts International | 128,640 | ||||
| 6,741 | Wendy’s Co. | 146,819 | ||||
| 777 | Yum! Brands, Inc. | 102,626 | ||||
|
| |||||
| 785,173 | ||||||
|
| |||||
Household Durables – 0.2% |
| |||||
| 1,166 | Garmin Ltd. | 117,673 | ||||
| 1,583 | Installed Building Products, Inc. | 180,510 | ||||
| 7,685 | Newell Brands, Inc. | 95,601 | ||||
| 4,023 | Sonos, Inc.(a) | 78,931 | ||||
|
| |||||
| 472,715 | ||||||
|
| |||||
Shares | Description | Value (†) | ||||
Common Stocks – continued |
| |||||
Household Products – 0.3% |
| |||||
| 396 | Church & Dwight Co., Inc. | $ | 35,010 | |||
| 6,146 | Colgate-Palmolive Co. | 461,872 | ||||
| 1,284 | Kimberly-Clark Corp. | 172,338 | ||||
| 294 | Procter & Gamble Co. | 43,715 | ||||
| 3,497 | Reynolds Consumer Products, Inc. | 96,168 | ||||
|
| |||||
| 809,103 | ||||||
|
| |||||
Independent Power & Renewable Electricity Producers – 0.0% |
| |||||
| 1,382 | NextEra Energy Partners LP | 83,957 | ||||
|
| |||||
Industrial Conglomerates – 0.2% |
| |||||
| 1,963 | 3M Co. | 206,331 | ||||
| 1,703 | General Electric Co. | 162,807 | ||||
| 1,056 | Honeywell International, Inc. | 201,822 | ||||
|
| |||||
| 570,960 | ||||||
|
| |||||
Industrial REITs – 0.0% |
| |||||
| 1,986 | First Industrial Realty Trust, Inc. | 105,655 | ||||
|
| |||||
Insurance – 0.5% |
| |||||
| 2,265 | American International Group, Inc. | 114,065 | ||||
| 780 | CNA Financial Corp. | 30,443 | ||||
| 592 | Erie Indemnity Co., Class A | 137,143 | ||||
| 577 | Loews Corp. | 33,478 | ||||
| 1,673 | Marsh & McLennan Cos., Inc. | 278,638 | ||||
| 730 | Progressive Corp. | 104,434 | ||||
| 327 | Safety Insurance Group, Inc. | 24,368 | ||||
| 141 | Travelers Cos., Inc. | 24,169 | ||||
| 131 | White Mountains Insurance Group Ltd. | 180,451 | ||||
| 723 | Willis Towers Watson PLC | 168,011 | ||||
|
| |||||
| 1,095,200 | ||||||
|
| |||||
IT Services – 0.2% |
| |||||
| 2,466 | Amdocs Ltd. | 236,810 | ||||
| 1,678 | GoDaddy, Inc., Class A(a) | 130,414 | ||||
| 713 | International Business Machines Corp. | 93,467 | ||||
|
| |||||
| 460,691 | ||||||
|
| |||||
Leisure Products – 0.0% |
| |||||
| 1,769 | Sturm Ruger & Co., Inc. | 101,611 | ||||
|
| |||||
Life Sciences Tools & Services – 0.3% |
| |||||
| 462 | Danaher Corp. | 116,443 | ||||
| 870 | Medpace Holdings, Inc.(a) | 163,604 | ||||
| 1,867 | QIAGEN NV(a) | 85,751 | ||||
| 433 | Thermo Fisher Scientific, Inc. | 249,568 | ||||
|
| |||||
| 615,366 | ||||||
|
| |||||
Machinery – 0.9% |
| |||||
| 3,414 | Allison Transmission Holdings, Inc. | 154,450 | ||||
| 579 | Caterpillar, Inc. | 132,498 | ||||
| 348 | Deere & Co. | 143,682 | ||||
Shares | Description | Value (†) | ||||
Common Stocks – continued |
| |||||
Machinery – continued |
| |||||
| 21,393 | Evoqua Water Technologies Corp.(a) | $ | 1,063,660 | |||
| 1,564 | Illinois Tool Works, Inc. | 380,756 | ||||
| 942 | Lincoln Electric Holdings, Inc. | 159,292 | ||||
|
| |||||
| 2,034,338 | ||||||
|
| |||||
Marine Transportation – 0.2% |
| |||||
| 2,622 | Kirby Corp.(a) | 182,754 | ||||
| 2,727 | Star Bulk Carriers Corp. | 57,594 | ||||
| 5,930 | ZIM Integrated Shipping Services Ltd. | 139,829 | ||||
|
| |||||
| 380,177 | ||||||
|
| |||||
Media – 0.1% |
| |||||
| 3,068 | New York Times Co., Class A | 119,284 | ||||
| 29,191 | Sirius XM Holdings, Inc. | 115,888 | ||||
|
| |||||
| 235,172 | ||||||
|
| |||||
Metals & Mining – 0.2% |
| |||||
| 22 | Alcoa Corp. | 936 | ||||
| 5,063 | Freeport-McMoRan, Inc. | 207,128 | ||||
| 355 | Nucor Corp. | 54,837 | ||||
| 2,136 | Southern Copper Corp. | 162,870 | ||||
| 484 | Steel Dynamics, Inc. | 54,721 | ||||
|
| |||||
| 480,492 | ||||||
|
| |||||
Mortgage Real Estate Investment Trusts (REITs) – 0.0% |
| |||||
| 8,950 | Dynex Capital, Inc. | 108,474 | ||||
|
| |||||
Multi-Utilities – 0.2% |
| |||||
| 475 | Ameren Corp. | 41,035 | ||||
| 3,101 | Brookfield Infrastructure Partners LP | 104,721 | ||||
| 812 | CenterPoint Energy, Inc. | 23,922 | ||||
| 553 | CMS Energy Corp. | 33,943 | ||||
| 425 | Consolidated Edison, Inc. | 40,660 | ||||
| 1,042 | DTE Energy Co. | 114,141 | ||||
| 1,374 | NiSource, Inc. | 38,417 | ||||
| 545 | NorthWestern Corp. | 31,534 | ||||
| 690 | Public Service Enterprise Group, Inc. | 43,090 | ||||
| 388 | WEC Energy Group, Inc. | 36,778 | ||||
|
| |||||
| 508,241 | ||||||
|
| |||||
Office REITs – 0.1% |
| |||||
| 5,966 | Easterly Government Properties, Inc. | 81,973 | ||||
| 1,902 | Equity Commonwealth | 39,390 | ||||
|
| |||||
| 121,363 | ||||||
|
| |||||
Oil, Gas & Consumable Fuels – 0.5% |
| |||||
| 1,826 | Antero Resources Corp.(a) | 42,162 | ||||
| 1,774 | California Resources Corp. | 68,299 | ||||
| 1,092 | Cheniere Energy Partners LP | 51,673 | ||||
| 1,140 | Chesapeake Energy Corp. | 86,686 | ||||
| 723 | ConocoPhillips | 71,729 | ||||
| 195 | Coterra Energy, Inc. | 4,785 | ||||
Shares | Description | Value (†) | ||||
Common Stocks – continued |
| |||||
Oil, Gas & Consumable Fuels – continued |
| |||||
| 1,703 | CVR Energy, Inc. | $ | 55,824 | |||
| 109 | Devon Energy Corp. | 5,517 | ||||
| 20 | Diamondback Energy, Inc. | 2,703 | ||||
| 4,212 | Energy Transfer LP | 52,524 | ||||
| 8,062 | Enterprise Products Partners LP | 208,806 | ||||
| 408 | EOG Resources, Inc. | 46,769 | ||||
| 522 | Exxon Mobil Corp. | 57,243 | ||||
| 11 | Hess Corp. | 1,456 | ||||
| 1,389 | Marathon Petroleum Corp. | 187,279 | ||||
| 1,005 | Occidental Petroleum Corp. | 62,742 | ||||
| 1,809 | Peabody Energy Corp.(a) | 46,310 | ||||
| 301 | Pioneer Natural Resources Co. | 61,476 | ||||
| 2,329 | Sunoco LP | 102,220 | ||||
| 789 | Targa Resources Corp. | 57,558 | ||||
| 89 | Valero Energy Corp. | 12,424 | ||||
|
| |||||
| 1,286,185 | ||||||
|
| |||||
Personal Care Products – 0.1% |
| |||||
| 1,805 | USANA Health Sciences, Inc.(a) | 113,535 | ||||
|
| |||||
Pharmaceuticals – 0.3% |
| |||||
| 5,026 | Bausch Health Cos., Inc.(a) | 40,710 | ||||
| 1,157 | Bristol-Myers Squibb Co. | 80,192 | ||||
| 171 | Eli Lilly & Co. | 58,725 | ||||
| 12,717 | Innoviva, Inc.(a) | 143,066 | ||||
| 799 | Johnson & Johnson | 123,845 | ||||
| 989 | Merck & Co., Inc. | 105,220 | ||||
| 941 | Zoetis, Inc. | 156,620 | ||||
|
| |||||
| 708,378 | ||||||
|
| |||||
Professional Services – 0.5% |
| |||||
| 1,883 | CoStar Group, Inc.(a) | 129,645 | ||||
| 1,463 | Exponent, Inc. | 145,846 | ||||
| 2,208 | Leidos Holdings, Inc. | 203,268 | ||||
| 1,317 | Paychex, Inc. | 150,915 | ||||
| 1,950 | Robert Half International, Inc. | 157,111 | ||||
| 1,714 | TriNet Group, Inc.(a) | 138,166 | ||||
| 723 | Verisk Analytics, Inc. | 138,715 | ||||
|
| |||||
| 1,063,666 | ||||||
|
| |||||
Real Estate Management & Development – 0.1% |
| |||||
| 1,434 | Howard Hughes Corp.(a) | 114,720 | ||||
| 5,618 | Kennedy-Wilson Holdings, Inc. | 93,203 | ||||
|
| |||||
| 207,923 | ||||||
|
| |||||
Retail REITs – 0.1% |
| |||||
| 390 | Alexander’s, Inc. | 75,562 | ||||
| 893 | Getty Realty Corp. | 32,175 | ||||
| 737 | National Retail Properties, Inc. | 32,539 | ||||
| 474 | Realty Income Corp. | 30,014 | ||||
|
| |||||
| 170,290 | ||||||
|
| |||||
Shares | Description | Value (†) | ||||
Common Stocks – continued |
| |||||
Semiconductors & Semiconductor Equipment – 0.3% |
| |||||
| 435 | Broadcom, Inc. | $ | 279,070 | |||
| 240 | Enphase Energy, Inc.(a) | 50,467 | ||||
| 362 | First Solar, Inc.(a) | 78,735 | ||||
| 3,856 | Intel Corp. | 125,976 | ||||
| 765 | ON Semiconductor Corp.(a) | 62,975 | ||||
| 546 | Texas Instruments, Inc. | 101,561 | ||||
|
| |||||
| 698,784 | ||||||
|
| |||||
Software – 0.6% |
| |||||
| 79 | Adobe, Inc.(a) | 30,444 | ||||
| 611 | CyberArk Software Ltd.(a) | 90,416 | ||||
| 5,666 | Gen Digital, Inc. | 97,229 | ||||
| 1,415 | Microsoft Corp. | 407,945 | ||||
| 1,144 | New Relic, Inc.(a) | 86,132 | ||||
| 267 | Palo Alto Networks, Inc.(a) | 53,331 | ||||
| 1,019 | PTC, Inc.(a) | 130,666 | ||||
| 558 | Roper Technologies, Inc. | 245,905 | ||||
| 489 | Salesforce, Inc.(a) | 97,692 | ||||
| 191 | ServiceNow, Inc.(a) | 88,762 | ||||
| 338 | Tyler Technologies, Inc.(a) | 119,868 | ||||
| 828 | Workiva, Inc.(a) | 84,795 | ||||
|
| |||||
| 1,533,185 | ||||||
|
| |||||
Specialized REITs – 0.5% |
| |||||
| 3,388 | Four Corners Property Trust, Inc. | 91,002 | ||||
| 2,125 | Gaming & Leisure Properties, Inc. | 110,627 | ||||
| 8,344 | Life Storage, Inc. | 1,093,815 | ||||
|
| |||||
| 1,295,444 | ||||||
|
| |||||
Specialty Retail – 0.3% |
| |||||
| 1,630 | Bath & Body Works, Inc. | 59,625 | ||||
| 556 | Home Depot, Inc. | 164,087 | ||||
| 650 | Lowe’s Cos., Inc. | 129,981 | ||||
| 138 | O’Reilly Automotive, Inc.(a) | 117,159 | ||||
| 319 | RH(a) | 77,692 | ||||
| 674 | Tractor Supply Co. | 158,417 | ||||
|
| |||||
| 706,961 | ||||||
|
| |||||
Technology Hardware, Storage & Peripherals – 0.2% |
| |||||
| 1,822 | Apple, Inc. | 300,448 | ||||
| 26 | HP, Inc. | 763 | ||||
| 1,651 | Seagate Technology Holdings PLC | 109,164 | ||||
| 5,116 | Xerox Holdings Corp. | 78,786 | ||||
|
| |||||
| 489,161 | ||||||
|
| |||||
Textiles, Apparel & Luxury Goods – 0.1% |
| |||||
| 446 | Lululemon Athletica, Inc.(a) | 162,429 | ||||
|
| |||||
Tobacco – 0.1% |
| |||||
| 4,383 | Altria Group, Inc. | 195,570 | ||||
Shares | Description | Value (†) | ||||
Common Stocks – continued |
| |||||
Tobacco – continued |
| |||||
| 1,021 | Philip Morris International, Inc. | $ | 99,292 | |||
|
| |||||
| 294,862 | ||||||
|
| |||||
Trading Companies & Distributors – 0.3% |
| |||||
| 6,629 | Fastenal Co. | 357,568 | ||||
| 1,969 | GMS, Inc.(a) | 113,986 | ||||
| 2,280 | MSC Industrial Direct Co., Inc., Class A | 191,520 | ||||
| 329 | United Rentals, Inc. | 130,205 | ||||
|
| |||||
| 793,279 | ||||||
|
| |||||
Water Utilities – 0.1% |
| |||||
| 2,793 | Essential Utilities, Inc. | 121,914 | ||||
|
| |||||
Wireless Telecommunication Services – 0.2% |
| |||||
| 3,071 | T-Mobile U.S., Inc.(a) | 444,804 | ||||
|
| |||||
| Total Common Stocks (Identified Cost $37,785,562) | 38,500,827 | |||||
|
| |||||
Closed-End Investment Companies – 0.1% |
| |||||
| 15,691 | Golub Capital BDC, Inc. (Identified Cost $245,363) | 212,770 | ||||
|
| |||||
Principal Amount | ||||||
Short-Term Investments – 76.1% |
| |||||
Certificates of Deposit – 29.5% |
| |||||
| $ 8,000,000 | DNB Nor Bank ASA (NY), 4.750%, 4/05/2023 | 7,999,980 | ||||
| 5,000,000 | Bank of America N.A., 5.050%, 4/12/2023 | 5,000,107 | ||||
| 10,000,000 | Mizuho Bank Ltd. (NY), 5.000%, 4/28/2023 | 9,999,811 | ||||
| 5,000,000 | Sumitomo Mitsui Trust (NY), 4.870%, 5/17/2023 | 4,999,162 | ||||
| 5,000,000 | Mitsubishi UFJ Trust & Banking Corp. (NY), 5.280%, 5/17/2023 | 5,002,007 | ||||
| 6,000,000 | Skandinaviska Enskilda Banken (NY), 4.820%, 5/24/2023 | 5,998,685 | ||||
| 8,000,000 | Bank of Nova Scotia, SOFR + 0.700%, 5.520%, 8/17/2023(b) | 8,011,780 | ||||
| 5,000,000 | Canadian Imperial Bank of Commerce (NY), 5.200%, 9/21/2023 | 4,994,598 | ||||
| 10,000,000 | Toronto-Dominion Bank (NY), 5.320%, 9/27/2023 | 9,994,920 | ||||
| 3,000,000 | Nordea Bank ABP (NY), SOFR + 0.270%, 5.090%, 2/16/2024(b) | 2,991,856 | ||||
| 5,000,000 | Westpac Banking Corp. (NY), SOFR + 0.230%, 5.060%, 2/22/2024(b) | 4,988,043 | ||||
|
| |||||
| 69,980,949 | ||||||
|
| |||||
Treasuries – 42.3% |
| |||||
| 12,500,000 | U.S. Treasury Bills, 4.220%-4.553%, 4/04/2023(c)(d) | 12,498,405 | ||||
Principal | Description | Value (†) | ||||
Treasuries – continued | ||||||
| $ 2,500,000 | U.S. Treasury Bills, 4.445%, 4/06/2023(c)(e) | $ | 2,499,038 | |||
| 3,000,000 | U.S. Treasury Bills, 4.580%, 4/11/2023(c) | 2,996,947 | ||||
| 14,000,000 | U.S. Treasury Bills, 4.540%, 4/17/2023(c) | 13,974,411 | ||||
| 5,000,000 | U.S. Treasury Bills, 4.075%, 4/18/2023(c) | 4,990,510 | ||||
| 10,000,000 | U.S. Treasury Bills, 3.800%, 4/20/2023(c) | 9,978,054 | ||||
| 4,000,000 | U.S. Treasury Bills, 4.580%, 4/27/2023(c) | 3,987,733 | ||||
| 6,000,000 | U.S. Treasury Bills, 4.590%, 5/02/2023(c) | 5,977,820 | ||||
| 3,000,000 | U.S. Treasury Bills, 4.503%, 5/04/2023(c) | 2,988,068 | ||||
| 5,000,000 | U.S. Treasury Bills, 4.345%, 5/16/2023(c) | 4,972,849 | ||||
| 3,000,000 | U.S. Treasury Bills, 4.555%, 5/30/2023(c) | 2,977,953 | ||||
| 4,000,000 | U.S. Treasury Bills, 4.725%, 6/01/2023(c) | 3,970,254 | ||||
| 4,000,000 | U.S. Treasury Bills, 4.620%, 6/06/2023(c) | 3,967,884 | ||||
| 7,500,000 | U.S. Treasury Bills, 4.540%, 6/22/2023(c) | 7,423,354 | ||||
| 10,000,000 | U.S. Treasury Bills, 4.580%, 6/29/2023(c) | 9,888,108 | ||||
| 7,500,000 | U.S. Treasury Bills, 4.613%, 9/21/2023(c) | 7,333,299 | ||||
|
| |||||
| 100,424,687 | ||||||
|
| |||||
Repurchase Agreements – 4.3% |
| |||||
| 10,057,772 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2023 at 2.100% to be repurchased at $10,059,532 on 4/03/2023 collateralized by $334,000 U.S. Treasury Note, 2.875% due 6/15/2025 valued at $325,611; $11,408,300 U.S. Treasury Note, 0.750% due 1/31/2028 valued at $9,933,371 including accrued interest(f)(g) (Identified Cost $10,057,772) | 10,057,772 | ||||
|
| |||||
| Total Short-Term Investments (Identified Cost $180,468,620) | 180,463,408 | |||||
|
| |||||
| Total Investments – 92.4% (Identified Cost $218,499,545) | 219,177,005 | |||||
| Other assets less liabilities – 7.6% | 18,020,788 | |||||
|
| |||||
| Net Assets – 100.0% | $ | 237,197,793 | ||||
|
| |||||
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 March 31, 2023, the value of the Fund’s investment in the Subsidiary was $2,792,453, representing 1.18% of the Fund’s net assets.
| (†) | Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. The Fund obtains readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are not available are priced at fair value pursuant to the Fund’s Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Board’s oversight. |
Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Futures contracts are valued at the closing settlement price on the exchange on which the valuation designee believes that, over time, they are traded most extensively. Shares of open-end investment companies are valued at net asset value per share.
Exchange traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation as reported by an independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair 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 fair valued using evaluated bids furnished by an independent pricing service, if available.
Debt securities and unlisted preferred equity securities are fair 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 fair value debt and unlisted equities where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment. Forward foreign currency contracts are fair valued utilizing interpolated rates determined based on information provided by an independent pricing service. Equity basket total return swaps are valued based on the value of the underlying listed equity securities as reported by an independent pricing service.
The Fund may also fair value investments 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 a Fund’s investments, the valuation designee may, among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related market activity and/or information that occurred after the close of the foreign market but before the time the Fund’s net asset value (“NAV”) is calculated. Fair valuation by the Fund’s valuation designee may require subjective determinations about the value of the investment, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same investments. In addition, the use of fair value pricing may not always result in adjustments to the prices of investments held by a Fund.
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) | Variable rate security. Rate as of March 31, 2023 is disclosed. |
| (c) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
| (d) | The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments. |
| (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 March 31, 2023, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
| (g) | A portion of the security is held by AlphaSimplex Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary. |
| REITs | Real Estate Investment Trusts |
| SOFR | Secured Overnight Financing Rate |
| 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 March 31, 2023, the Fund had the following open forward foreign currency contracts:
Counterparty | Delivery Date | Currency Bought/ Sold (B/S) | Units of Currency | In Exchange for | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
UBS AG | 6/21/2023 | CHF | B | 1,375,000 | $ | 1,502,410 | $ | 1,515,453 | $ | 13,043 | ||||||||||||||||
UBS AG | 6/21/2023 | CHF | B | 2,125,000 | 2,351,748 | 2,342,064 | (9,684 | ) | ||||||||||||||||||
UBS AG | 6/21/2023 | CHF | S | 625,000 | 689,743 | 688,842 | 901 | |||||||||||||||||||
UBS AG | 6/21/2023 | CHF | S | 10,250,000 | 11,109,676 | 11,297,015 | (187,339 | ) | ||||||||||||||||||
UBS AG | 6/21/2023 | NOK | B | 4,000,000 | 377,150 | 383,394 | 6,244 | |||||||||||||||||||
UBS AG | 6/21/2023 | NOK | S | 10,000,000 | 965,965 | 958,485 | 7,480 | |||||||||||||||||||
UBS AG | 6/21/2023 | NOK | S | 26,000,000 | 2,490,776 | 2,492,061 | (1,285 | ) | ||||||||||||||||||
UBS AG | 6/21/2023 | NZD | B | 5,000,000 | 3,100,932 | 3,126,449 | 25,517 | |||||||||||||||||||
UBS AG | 6/21/2023 | NZD | B | 1,500,000 | 939,951 | 937,935 | (2,016 | ) | ||||||||||||||||||
UBS AG | 6/21/2023 | PLN | B | 3,000,000 | 683,576 | 691,693 | 8,117 | |||||||||||||||||||
UBS AG | 6/21/2023 | SEK | B | 16,000,000 | 1,527,317 | 1,547,820 | 20,503 | |||||||||||||||||||
UBS AG | 6/21/2023 | SEK | B | 10,000,000 | 969,954 | 967,387 | (2,567 | ) | ||||||||||||||||||
UBS AG | 6/21/2023 | SEK | S | 4,000,000 | 375,201 | 386,955 | (11,754 | ) | ||||||||||||||||||
UBS AG | 6/21/2023 | SGD | B | 5,500,000 | 4,102,243 | 4,143,194 | 40,951 | |||||||||||||||||||
UBS AG | 6/21/2023 | SGD | B | 1,125,000 | 850,759 | 847,471 | (3,288 | ) | ||||||||||||||||||
UBS AG | 6/21/2023 | ZAR | S | 31,500,000 | 1,702,202 | 1,757,203 | (55,001 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||||
Total |
| $ | (150,178 | ) | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||
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 March 31, 2023, open long futures contracts were as follows:
Financial and Currency Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
10 Year Australia Government Bond | 6/15/2023 | 10 | $ | 820,794 | $ | 821,433 | $ | 639 | ||||||||||||
3 Year Australia Government Bond | 6/15/2023 | 27 | 1,969,578 | 1,963,922 | (5,656 | ) | ||||||||||||||
3-month SOFR Index | 12/19/2023 | 297 | 70,931,825 | 70,830,788 | (101,037 | ) | ||||||||||||||
ASX SPI 200™ | 6/15/2023 | 9 | 1,055,667 | 1,081,536 | 25,869 | |||||||||||||||
Brazilian Real | 4/28/2023 | 61 | 1,178,159 | 1,197,125 | 18,966 | |||||||||||||||
British Pound | 6/16/2023 | 45 | 3,409,436 | 3,474,844 | 65,408 | |||||||||||||||
CAC 40® | 4/21/2023 | 10 | 766,996 | 795,372 | 28,376 | |||||||||||||||
DAX | 6/16/2023 | 1 | 411,900 | 428,296 | 16,396 | |||||||||||||||
E-mini NASDAQ 100 | 6/16/2023 | 25 | 6,057,430 | 6,650,875 | 593,445 | |||||||||||||||
E-mini Russell 2000 | 6/16/2023 | 313 | 27,911,118 | 28,381,274 | 470,156 | |||||||||||||||
E-mini S&P MidCap 400® | 6/16/2023 | 31 | 7,654,417 | 7,842,070 | 187,653 | |||||||||||||||
Euro | 6/16/2023 | 78 | 10,503,527 | 10,630,912 | 127,385 | |||||||||||||||
EURO STOXX 50® | 6/16/2023 | 32 | 1,402,583 | 1,478,737 | 76,154 | |||||||||||||||
FTSE 100 Index | 6/16/2023 | 16 | 1,484,809 | 1,507,754 | 22,945 | |||||||||||||||
FTSE China A50 Index | 4/27/2023 | 189 | 2,470,204 | 2,514,834 | 44,630 | |||||||||||||||
FTSE MIB | 6/16/2023 | 4 | 561,077 | 578,169 | 17,092 | |||||||||||||||
FTSE Taiwan Index | 4/27/2023 | 5 | 276,625 | 277,600 | 975 | |||||||||||||||
FTSE/JSE Top 40 Index | 6/15/2023 | 11 | 430,145 | 440,086 | 9,941 | |||||||||||||||
Hang Seng China Enterprises Index | 4/27/2023 | 38 | 1,626,033 | 1,697,193 | 71,160 | |||||||||||||||
Hang Seng China Enterprises Index® | 4/27/2023 | 5 | 628,511 | 652,269 | 23,758 | |||||||||||||||
IBEX 35 | 4/21/2023 | 6 | 581,725 | 598,201 | 16,476 | |||||||||||||||
Indian Rupee | 4/26/2023 | 36 | 868,680 | 874,584 | 5,904 | |||||||||||||||
Japanese Yen | 6/16/2023 | 21 | 2,000,042 | 2,000,905 | 863 | |||||||||||||||
Mexican Peso | 6/16/2023 | 57 | 1,541,024 | 1,558,095 | 17,071 | |||||||||||||||
MSCI EAFE Index | 6/16/2023 | 81 | 8,202,429 | 8,490,825 | 288,396 | |||||||||||||||
MSCI Emerging Markets Index | 6/16/2023 | 144 | 6,949,440 | 7,167,600 | 218,160 | |||||||||||||||
MSCI Singapore | 4/27/2023 | 11 | 251,089 | 253,137 | 2,048 | |||||||||||||||
Nikkei 225™ | 6/08/2023 | 2 | 421,992 | 422,369 | 377 | |||||||||||||||
OMXS30® | 4/21/2023 | 25 | 516,632 | 533,951 | 17,319 | |||||||||||||||
STOXX Europe 600 | 6/16/2023 | 416 | 9,825,639 | 10,252,428 | 426,789 | |||||||||||||||
TOPIX | 6/08/2023 | 34 | 5,158,257 | 5,130,409 | (27,848 | ) | ||||||||||||||
Financial and Currency Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
Futures Contracts Purchased – continued |
| |||||||||||||||||||
UK Long Gilt | 6/28/2023 | 55 | 6,993,062 | $ | 7,012,087 | $ | 19,025 | |||||||||||||
|
| |||||||||||||||||||
Total |
| $ | 2,678,835 | |||||||||||||||||
|
| |||||||||||||||||||
Commodity Futures1 | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
Brent Crude Oil | 4/28/2023 | 41 | $ | 3,474,840 | $ | 3,275,490 | $ | (199,350 | ) | |||||||||||
Copper | 5/26/2023 | 50 | 5,088,511 | 5,118,125 | 29,614 | |||||||||||||||
Gasoline | 4/28/2023 | 7 | 809,161 | 788,214 | (20,947 | ) | ||||||||||||||
Live Cattle | 6/30/2023 | 19 | 1,210,361 | 1,232,150 | 21,789 | |||||||||||||||
Low Sulfur Gasoil | 5/11/2023 | 10 | 790,250 | 751,750 | (38,500 | ) | ||||||||||||||
New York Harbor ULSD | 4/28/2023 | 16 | 1,860,251 | 1,761,043 | (99,208 | ) | ||||||||||||||
Silver | 5/26/2023 | 4 | 460,435 | 483,120 | 22,685 | |||||||||||||||
Soybean | 7/14/2023 | 40 | 3,014,223 | 2,951,000 | (63,223 | ) | ||||||||||||||
Soybean Meal | 7/14/2023 | 71 | 3,226,358 | 3,275,230 | 48,872 | |||||||||||||||
Sugar | 6/30/2023 | 107 | 2,492,095 | 2,616,107 | 124,012 | |||||||||||||||
Zinc LME | 6/21/2023 | 11 | 939,263 | 804,307 | (134,956 | ) | ||||||||||||||
|
| |||||||||||||||||||
Total |
| $ | (309,212 | ) | ||||||||||||||||
|
| |||||||||||||||||||
At March 31, 2023, open short futures contracts were as follows:
Financial and Currency Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
10 Year Canada Government Bond | 6/21/2023 | 26 | $ | 2,417,254 | $ | 2,427,051 | $ | (9,797 | ) | |||||||||||
10 Year U.S. Treasury Note | 6/21/2023 | 180 | 20,145,991 | 20,685,938 | (539,947 | ) | ||||||||||||||
2 Year U.S. Treasury Note | 6/30/2023 | 8 | 1,634,579 | 1,651,625 | (17,046 | ) | ||||||||||||||
5 Year U.S. Treasury Note | 6/30/2023 | 18 | 1,927,903 | 1,971,141 | (43,238 | ) | ||||||||||||||
Australian Dollar | 6/16/2023 | 7 | 468,108 | 469,070 | (962 | ) | ||||||||||||||
Canadian Dollar | 6/20/2023 | 213 | 15,593,862 | 15,759,870 | (166,008 | ) | ||||||||||||||
E-mini S&P 500® | 6/16/2023 | 40 | 7,806,279 | 8,275,500 | (469,221 | ) | ||||||||||||||
Euribor | 9/18/2023 | 27 | 7,059,037 | 7,055,743 | 3,294 | |||||||||||||||
Euro Schatz | 6/08/2023 | 25 | 2,836,064 | 2,865,654 | (29,590 | ) | ||||||||||||||
Euro-BTP | 6/08/2023 | 15 | 1,891,432 | 1,876,456 | 14,976 | |||||||||||||||
Euro-Buxl® 30 Year Bond | 6/08/2023 | 4 | 570,014 | 611,051 | (41,037 | ) | ||||||||||||||
Euro-OAT | 6/08/2023 | 22 | 3,101,724 | 3,107,157 | (5,433 | ) | ||||||||||||||
German Euro BOBL | 6/08/2023 | 20 | 2,493,048 | 2,556,817 | (63,769 | ) | ||||||||||||||
German Euro Bund | 6/08/2023 | 125 | 17,923,119 | 18,414,808 | (491,689 | ) | ||||||||||||||
Short-Term Euro-BTP | 6/08/2023 | 20 | 2,258,362 | 2,285,474 | (27,112 | ) | ||||||||||||||
U.S. Dollar Index | 6/16/2023 | 40 | 4,158,120 | 4,087,440 | 70,680 | |||||||||||||||
Ultra 10 Year U.S. Treasury Note | 6/21/2023 | 23 | 2,691,408 | 2,786,233 | (94,825 | ) | ||||||||||||||
Ultra Long U.S. Treasury Bond | 6/21/2023 | 4 | 536,157 | 564,500 | (28,343 | ) | ||||||||||||||
|
| |||||||||||||||||||
Total |
| $ | (1,939,067 | ) | ||||||||||||||||
|
| |||||||||||||||||||
Commodity Futures1 | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
Aluminum LME | 6/21/2023 | 47 | $ | 2,959,569 | $ | 2,832,338 | $ | 127,231 | ||||||||||||
Cocoa | 7/14/2023 | 45 | 1,290,680 | 1,302,300 | (11,620 | ) | ||||||||||||||
Coffee | 7/19/2023 | 5 | 318,221 | 318,188 | 33 | |||||||||||||||
Commodity Futures1 | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
Futures Contracts Sold – continued |
| |||||||||||||||||||
Corn | 7/14/2023 | 54 | 1,688,960 | $ | 1,717,200 | $ | (28,240 | ) | ||||||||||||
Cotton | 5/08/2023 | 35 | 1,478,765 | 1,448,650 | 30,115 | |||||||||||||||
Gold | 6/28/2023 | 1 | 197,002 | 198,620 | (1,618 | ) | ||||||||||||||
Natural Gas | 4/26/2023 | 40 | 1,058,027 | 886,400 | 171,627 | |||||||||||||||
Nickel LME | 6/21/2023 | 4 | 568,259 | 571,896 | (3,637 | ) | ||||||||||||||
Soybean Oil | 7/14/2023 | 8 | 263,472 | 266,976 | (3,504 | ) | ||||||||||||||
Wheat | 7/14/2023 | 96 | 3,706,597 | 3,381,600 | 324,997 | |||||||||||||||
WTI Crude Oil | 4/20/2023 | 49 | 3,648,329 | 3,707,830 | (59,501 | ) | ||||||||||||||
|
| |||||||||||||||||||
Total |
| $ | 545,883 | |||||||||||||||||
|
| |||||||||||||||||||
| 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.
At March 31, 2023, 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 | 5/19/2023 | $ | (28,059,535 | ) | $ | — | $ | (28,059,535 | ) | (11.8 | %) | ||||||||||
|
|
|
|
|
| |||||||||||||||||
| (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%-25.60% 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 March 31, 2023:
Common Stocks - Short | Shares | Value | % of Basket Value | |||||||||
Aerospace & Defense | ||||||||||||
Axon Enterprise, Inc. | (300 | ) | $ | (67,455 | ) | (0.2 | %) | |||||
Boeing Co. | (278 | ) | (59,056 | ) | (0.2 | %) | ||||||
Raytheon Technologies Corp. | (1,877 | ) | (183,815 | ) | (0.7 | %) | ||||||
Triumph Group, Inc. | (22,689 | ) | (262,965 | ) | (0.9 | %) | ||||||
|
| |||||||||||
| (573,291 | ) | |||||||||||
Air Freight & Logistics | ||||||||||||
FedEx Corp. | (777 | ) | (177,537 | ) | (0.6 | %) | ||||||
|
| |||||||||||
Automobile Components | ||||||||||||
Dana, Inc. | (3,966 | ) | (59,688 | ) | (0.2 | %) | ||||||
|
| |||||||||||
Automobiles | ||||||||||||
Ford Motor Co. | (14,574 | ) | (183,632 | ) | (0.7 | %) | ||||||
General Motors Co. | (236 | ) | (8,657 | ) | (0.0 | %) | ||||||
|
| |||||||||||
| (192,289 | ) | |||||||||||
Banks | ||||||||||||
Hilltop Holdings, Inc. | (5,094 | ) | (151,139 | ) | (0.5 | %) | ||||||
Provident Financial Services | (51,750 | ) | (992,565 | ) | (3.5 | %) | ||||||
Signature Bank | (455 | ) | (83 | ) | (0.0 | %) | ||||||
Texas Capital Bancshares, Inc. | (2,621 | ) | (128,324 | ) | (0.5 | %) | ||||||
Wells Fargo & Co. | (3,310 | ) | (123,728 | ) | (0.4 | %) | ||||||
WSFS Financial Corp. | (3,271 | ) | (123,022 | ) | (0.4 | %) | ||||||
|
| |||||||||||
| (1,518,861 | ) | |||||||||||
Beverages | ||||||||||||
Celsius Holdings, Inc. | (1,978 | ) | (183,835 | ) | (0.7 | %) | ||||||
|
| |||||||||||
Biotechnology | ||||||||||||
Agios Pharmaceuticals, Inc. | (1,960 | ) | (45,021 | ) | (0.2 | %) | ||||||
Alector, Inc. | (6,203 | ) | (38,397 | ) | (0.1 | %) | ||||||
Denali Therapeutics, Inc. | (1,887 | ) | (43,476 | ) | (0.2 | %) | ||||||
Intellia Therapeutics, Inc. | (1,679 | ) | (62,576 | ) | (0.2 | %) | ||||||
Moderna, Inc. | (304 | ) | (46,688 | ) | (0.2 | %) | ||||||
Natera, Inc. | (3,526 | ) | (195,764 | ) | (0.7 | %) | ||||||
Ultragenyx Pharmaceutical, Inc. | (1,096 | ) | (43,950 | ) | (0.2 | %) | ||||||
|
| |||||||||||
| (475,872 | ) | |||||||||||
Broadline Retail | ||||||||||||
Coupang, Inc. | (11,452 | ) | (183,232 | ) | (0.7 | %) | ||||||
Etsy, Inc. | (567 | ) | (63,124 | ) | (0.2 | %) | ||||||
Kohl’s Corp. | (1,968 | ) | (46,327 | ) | (0.2 | %) | ||||||
|
| |||||||||||
| (292,683 | ) | |||||||||||
Building Products | ||||||||||||
Janus International Group, Inc. | (15,058 | ) | (148,472 | ) | (0.5 | %) | ||||||
JELD-WEN Holding, Inc. | (7,761 | ) | (98,254 | ) | (0.4 | %) | ||||||
|
| |||||||||||
| (246,726 | ) | |||||||||||
Capital Markets | ||||||||||||
Ares Management Corp., Class A | (2,124 | ) | (177,227 | ) | (0.6 | %) | ||||||
Brookfield Corp. | (4,414 | ) | (143,852 | ) | (0.5 | %) | ||||||
XP, Inc., Class A | (10,178 | ) | (120,813 | ) | (0.4 | %) | ||||||
|
| |||||||||||
| (441,892 | ) | |||||||||||
Common Stocks - Short | Shares | Value | % of Basket Value | |||||||||
Chemicals | ||||||||||||
Chemours Co. | (7,270 | ) | (217,664 | ) | (0.8 | %) | ||||||
Livent Corp. | (2,737 | ) | (59,448 | ) | (0.2 | %) | ||||||
LyondellBasell Industries NV, Class A | (1,971 | ) | (185,057 | ) | (0.7 | %) | ||||||
Mosaic Co. | (961 | ) | (44,091 | ) | (0.2 | %) | ||||||
Perimeter Solutions SA | (15,094 | ) | (121,960 | ) | (0.4 | %) | ||||||
Scotts Miracle-Gro Co. | (925 | ) | (64,509 | ) | (0.2 | %) | ||||||
Tronox Holdings PLC, Class A | (6,506 | ) | (93,556 | ) | (0.3 | %) | ||||||
|
| |||||||||||
| (786,285 | ) | |||||||||||
Commercial Services & Supplies | ||||||||||||
ACV Auctions, Inc., Class A | (12,157 | ) | (156,947 | ) | (0.6 | %) | ||||||
Cimpress PLC | (2,009 | ) | (88,034 | ) | (0.3 | %) | ||||||
Montrose Environmental Group, Inc. | (3,344 | ) | (119,281 | ) | (0.4 | %) | ||||||
|
| |||||||||||
| (364,262 | ) | |||||||||||
Communications Equipment | ||||||||||||
Cisco Systems, Inc. | (3,857 | ) | (201,625 | ) | (0.7 | %) | ||||||
Extreme Networks, Inc. | (3,255 | ) | (62,235 | ) | (0.2 | %) | ||||||
Motorola Solutions, Inc. | (224 | ) | (64,093 | ) | (0.2 | %) | ||||||
|
| |||||||||||
| (327,953 | ) | |||||||||||
Consumer Finance | ||||||||||||
SLM Corp. | (10,023 | ) | (124,185 | ) | (0.4 | %) | ||||||
|
| |||||||||||
Consumer Staples Distribution & Retail | ||||||||||||
Kroger Co. | (3,392 | ) | (167,463 | ) | (0.6 | %) | ||||||
|
| |||||||||||
Containers & Packaging | ||||||||||||
Amcor PLC | (7,518 | ) | (85,555 | ) | (0.3 | %) | ||||||
Avery Dennison Corp. | (903 | ) | (161,574 | ) | (0.6 | %) | ||||||
|
| |||||||||||
| (247,129 | ) | |||||||||||
Diversified Consumer Services | ||||||||||||
Bright Horizons Family Solutions, Inc. | (726 | ) | (55,895 | ) | (0.2 | %) | ||||||
H&R Block, Inc. | (2,983 | ) | (105,151 | ) | (0.4 | %) | ||||||
Service Corp. International | (2,021 | ) | (139,004 | ) | (0.5 | %) | ||||||
|
| |||||||||||
| (300,050 | ) | |||||||||||
Diversified REITs | ||||||||||||
Safehold, Inc. | (1,948 | ) | (57,213 | ) | (0.2 | %) | ||||||
|
| |||||||||||
Diversified Telecommunication Services | ||||||||||||
AT&T, Inc. | (3,878 | ) | (74,652 | ) | (0.3 | %) | ||||||
Globalstar, Inc. | (127,853 | ) | (148,309 | ) | (0.5 | %) | ||||||
Verizon Communications, Inc. | (942 | ) | (36,634 | ) | (0.1 | %) | ||||||
|
| |||||||||||
| (259,595 | ) | |||||||||||
Electric Utilities | ||||||||||||
NextEra Energy, Inc. | (2,923 | ) | (225,305 | ) | (0.8 | %) | ||||||
PG&E Corp. | (3,488 | ) | (56,401 | ) | (0.2 | %) | ||||||
Southern Co. | (784 | ) | (54,550 | ) | (0.2 | %) | ||||||
|
| |||||||||||
| (336,256 | ) | |||||||||||
Common Stocks - Short | Shares | Value | % of Basket Value | |||||||||
Electrical Equipment | ||||||||||||
Generac Holdings, Inc. | (1,113 | ) | (120,215 | ) | (0.4 | %) | ||||||
|
| |||||||||||
Electronic Equipment, Instruments & Components | ||||||||||||
IPG Photonics Corp. | (1,481 | ) | (182,622 | ) | (0.7 | %) | ||||||
|
| |||||||||||
Energy Equipment & Services | ||||||||||||
Baker Hughes Co. | (1,690 | ) | (48,773 | ) | (0.2 | %) | ||||||
Expro Group Holdings NV | (7,506 | ) | (137,810 | ) | (0.5 | %) | ||||||
Helix Energy Solutions Group, Inc. | (19,402 | ) | (150,172 | ) | (0.5 | %) | ||||||
Noble Corp PLC | (3,746 | ) | (147,855 | ) | (0.5 | %) | ||||||
Patterson-UTI Energy, Inc. | (11,840 | ) | (138,528 | ) | (0.5 | %) | ||||||
|
| |||||||||||
| (623,138 | ) | |||||||||||
Entertainment | ||||||||||||
Live Nation Entertainment, Inc. | (2,536 | ) | (177,520 | ) | (0.6 | %) | ||||||
Netflix, Inc. | (391 | ) | (135,083 | ) | (0.5 | %) | ||||||
ROBLOX Corp., Class A | (1,256 | ) | (56,495 | ) | (0.2 | %) | ||||||
Roku, Inc. | (1,003 | ) | (66,018 | ) | (0.2 | %) | ||||||
Spotify Technology SA | (549 | ) | (73,357 | ) | (0.3 | %) | ||||||
Walt Disney Co. | (888 | ) | (88,915 | ) | (0.3 | %) | ||||||
Warner Bros Discovery, Inc. | (4,521 | ) | (68,267 | ) | (0.2 | %) | ||||||
Warner Music Group Corp., Class A | (1,116 | ) | (37,241 | ) | (0.1 | %) | ||||||
|
| |||||||||||
| (702,896 | ) | |||||||||||
Financial Services | ||||||||||||
AvidXchange Holdings, Inc. | (16,279 | ) | (126,976 | ) | (0.5 | %) | ||||||
Block, Inc. | (706 | ) | (48,467 | ) | (0.2 | %) | ||||||
Cannae Holdings, Inc. | (7,899 | ) | (159,402 | ) | (0.6 | %) | ||||||
Essent Group Ltd. | (806 | ) | (32,280 | ) | (0.1 | %) | ||||||
Fidelity National Information Services, Inc. | (1,496 | ) | (81,278 | ) | (0.3 | %) | ||||||
Marqeta, Inc., Class A | (35,483 | ) | (162,157 | ) | (0.6 | %) | ||||||
Mastercard, Inc., Class A | (27 | ) | (9,812 | ) | (0.0 | %) | ||||||
StoneCo. Ltd., Class A | (9,681 | ) | (92,357 | ) | (0.3 | %) | ||||||
TFS Financial Corp. | (12,175 | ) | (153,770 | ) | (0.5 | %) | ||||||
Visa, Inc. | (84 | ) | (18,939 | ) | (0.1 | %) | ||||||
|
| |||||||||||
| (885,438 | ) | |||||||||||
Food Products | ||||||||||||
Bunge Ltd. | (1,853 | ) | (176,998 | ) | (0.6 | %) | ||||||
Pilgrim’s Pride Corp. | (7,922 | ) | (183,632 | ) | (0.7 | %) | ||||||
|
| |||||||||||
| (360,630 | ) | |||||||||||
Gas Utilities | ||||||||||||
Atmos Energy Corp. | (895 | ) | (100,562 | ) | (0.4 | %) | ||||||
UGI Corp. | (2,862 | ) | (99,483 | ) | (0.4 | %) | ||||||
|
| |||||||||||
| (200,045 | ) | |||||||||||
Ground Transportation | ||||||||||||
Avis Budget Group, Inc. | (1,571 | ) | (306,031 | ) | (1.1 | %) | ||||||
Grab Holdings Ltd., Class A | (47,224 | ) | (142,144 | ) | (0.5 | %) | ||||||
Lyft, Inc., Class A | (14,599 | ) | (135,333 | ) | (0.5 | %) | ||||||
Uber Technologies, Inc. | (6,068 | ) | (192,355 | ) | (0.7 | %) | ||||||
|
| |||||||||||
| (775,863 | ) | |||||||||||
Common Stocks - Short | Shares | Value | % of Basket Value | |||||||||
Health Care Equipment & Supplies | ||||||||||||
Abbott Laboratories | (2,152 | ) | (217,911 | ) | (0.8 | %) | ||||||
Heska Corp. | (695 | ) | (67,846 | ) | (0.2 | %) | ||||||
IDEXX Laboratories, Inc. | (400 | ) | (200,032 | ) | (0.7 | %) | ||||||
Mesa Laboratories, Inc. | (310 | ) | (54,166 | ) | (0.2 | %) | ||||||
Neogen Corp. | (3,015 | ) | (55,838 | ) | (0.2 | %) | ||||||
Nevro Corp. | (1,605 | ) | (58,021 | ) | (0.2 | %) | ||||||
Tandem Diabetes Care, Inc. | (1,334 | ) | (54,174 | ) | (0.2 | %) | ||||||
|
| |||||||||||
| (707,988 | ) | |||||||||||
Health Care Providers & Services | ||||||||||||
Apollo Medical Holdings, Inc. | (1,885 | ) | (68,746 | ) | (0.2 | %) | ||||||
DaVita, Inc. | (724 | ) | (58,724 | ) | (0.2 | %) | ||||||
Fulgent Genetics, Inc. | (1,584 | ) | (49,452 | ) | (0.2 | %) | ||||||
OPKO Health, Inc. | (47,375 | ) | (69,168 | ) | (0.2 | %) | ||||||
|
| |||||||||||
| (246,090 | ) | |||||||||||
Health Care REITs | ||||||||||||
Ventas, Inc. | (3,070 | ) | (133,084 | ) | (0.5 | %) | ||||||
|
| |||||||||||
Hotel & Resort REITs | ||||||||||||
Service Properties Trust | (18,520 | ) | (184,459 | ) | (0.7 | %) | ||||||
Xenia Hotels & Resorts, Inc. | (10,471 | ) | (137,066 | ) | (0.5 | %) | ||||||
|
| |||||||||||
| (321,525 | ) | |||||||||||
Hotels, Restaurants & Leisure | ||||||||||||
Airbnb, Inc., Class A | (1,573 | ) | (195,681 | ) | (0.7 | %) | ||||||
Caesars Entertainment, Inc. | (1,212 | ) | (59,158 | ) | (0.2 | %) | ||||||
Doordash, Inc., Class A | (1,038 | ) | (65,975 | ) | (0.2 | %) | ||||||
Expedia Group, Inc. | (2,456 | ) | (238,306 | ) | (0.8 | %) | ||||||
Golden Entertainment, Inc. | (2,327 | ) | (101,248 | ) | (0.4 | %) | ||||||
Las Vegas Sands Corp. | (2,684 | ) | (154,196 | ) | (0.5 | %) | ||||||
Life Time Group Holdings, Inc. | (8,495 | ) | (135,580 | ) | (0.5 | %) | ||||||
McDonald’s Corp. | (41 | ) | (11,464 | ) | (0.0 | %) | ||||||
Norwegian Cruise Line Holdings Ltd. | (9,683 | ) | (130,236 | ) | (0.5 | %) | ||||||
RCI Hospitality Holdings, Inc. | (1,687 | ) | (131,873 | ) | (0.5 | %) | ||||||
Royal Caribbean Cruises Ltd. | (6,020 | ) | (393,106 | ) | (1.4 | %) | ||||||
Starbucks Corp. | (958 | ) | (99,756 | ) | (0.4 | %) | ||||||
|
| |||||||||||
| (1,716,579 | ) | |||||||||||
Household Durables | ||||||||||||
Helen of Troy Ltd. | (547 | ) | (52,058 | ) | (0.2 | %) | ||||||
|
| |||||||||||
Household Products | ||||||||||||
Spectrum Brands Holdings, Inc. | (2,547 | ) | (168,662 | ) | (0.6 | %) | ||||||
|
| |||||||||||
Independent Power & Renewable Electricity Producers | ||||||||||||
AES Corp. | (5,159 | ) | (124,229 | ) | (0.4 | %) | ||||||
Vistra Corp. | (1,304 | ) | (31,296 | ) | (0.1 | %) | ||||||
|
| |||||||||||
| (155,525 | ) | |||||||||||
Industrial REITs | ||||||||||||
Americold Realty Trust, Inc. | (5,009 | ) | (142,506 | ) | (0.5 | %) | ||||||
Prologis, Inc. | (1,584 | ) | (197,636 | ) | (0.7 | %) | ||||||
|
| |||||||||||
| (340,142 | ) | |||||||||||
Common Stocks - Short | Shares | Value | % of Basket Value | |||||||||
Insurance | ||||||||||||
Enstar Group Ltd. | (624 | ) | (144,637 | ) | (0.5 | %) | ||||||
Goosehead Insurance, Inc., Class A | (1,330 | ) | (69,426 | ) | (0.2 | %) | ||||||
Mercury General Corp. | (4,067 | ) | (129,087 | ) | (0.5 | %) | ||||||
RenaissanceRe Holdings Ltd. | (950 | ) | (190,323 | ) | (0.7 | %) | ||||||
|
| |||||||||||
| (533,473 | ) | |||||||||||
Interactive Media & Entertainment | ||||||||||||
IAC, Inc. | (1,166 | ) | (60,166 | ) | (0.2 | %) | ||||||
Pinterest, Inc., Class A | (6,113 | ) | (166,701 | ) | (0.6 | %) | ||||||
Snap, Inc., Class A | (17,391 | ) | (194,953 | ) | (0.7 | %) | ||||||
|
| |||||||||||
| (421,820 | ) | |||||||||||
IT Services | ||||||||||||
Cloudflare, Inc., Class A | (1,052 | ) | (64,866 | ) | (0.2 | %) | ||||||
Twilio, Inc., Class A | (4,058 | ) | (270,385 | ) | (1.0 | %) | ||||||
Wix.com Ltd. | (850 | ) | (84,830 | ) | (0.3 | %) | ||||||
|
| |||||||||||
| (420,081 | ) | |||||||||||
Life Sciences Tools & Services | ||||||||||||
10X Genomics, Inc., Class A | (1,539 | ) | (85,861 | ) | (0.3 | %) | ||||||
Adaptive Biotechnologies Corp. | (8,542 | ) | (75,426 | ) | (0.3 | %) | ||||||
BioLife Solutions, Inc. | (3,746 | ) | (81,475 | ) | (0.3 | %) | ||||||
Illumina, Inc. | (286 | ) | (66,509 | ) | (0.2 | %) | ||||||
Maravai LifeSciences Holdings, Inc., Class A | (4,065 | ) | (56,951 | ) | (0.2 | %) | ||||||
Sotera Health Co. | (11,707 | ) | (209,672 | ) | (0.7 | %) | ||||||
|
| |||||||||||
| (575,894 | ) | |||||||||||
Machinery | ||||||||||||
Xylem, Inc. | (10,268 | ) | (1,075,060 | ) | (3.8 | %) | ||||||
|
| |||||||||||
Media | ||||||||||||
Cable One, Inc. | (72 | ) | (50,544 | ) | (0.2 | %) | ||||||
Charter Communications, Inc., Class A | (183 | ) | (65,443 | ) | (0.2 | %) | ||||||
Comcast Corp., Class A | (6,223 | ) | (235,914 | ) | (0.8 | %) | ||||||
DISH Network Corp., Class A | (2,850 | ) | (26,591 | ) | (0.1 | %) | ||||||
iHeartMedia, Inc., Class A | (8,626 | ) | (33,641 | ) | (0.1 | %) | ||||||
Magnite, Inc. | (19,971 | ) | (184,931 | ) | (0.7 | %) | ||||||
Trade Desk, Inc., Class A | (787 | ) | (47,936 | ) | (0.2 | %) | ||||||
WideOpenWest, Inc. | (5,226 | ) | (55,552 | ) | (0.2 | %) | ||||||
|
| |||||||||||
| (700,552 | ) | |||||||||||
Metals & Mining | ||||||||||||
Agnico Eagle Mines Ltd. | (1,090 | ) | (55,557 | ) | (0.2 | %) | ||||||
Barrick Gold Corp. | (11,442 | ) | (212,478 | ) | (0.8 | %) | ||||||
Carpenter Technology Corp. | (5,106 | ) | (228,545 | ) | (0.8 | %) | ||||||
Cleveland-Cliffs, Inc. | (3,573 | ) | (65,493 | ) | (0.2 | %) | ||||||
Kinross Gold Corp. | (14,896 | ) | (70,160 | ) | (0.3 | %) | ||||||
Newmont Corp. | (240 | ) | (11,765 | ) | (0.0 | %) | ||||||
Pan American Silver Corp. | (13,581 | ) | (247,174 | ) | (0.9 | %) | ||||||
United States Steel Corp. | (2,263 | ) | (59,064 | ) | (0.2 | %) | ||||||
|
| |||||||||||
| (950,236 | ) | |||||||||||
Mortgage Real Estate Investment Trusts (REITs) | ||||||||||||
AGNC Investment Corp. | (23,699 | ) | (238,886 | ) | (0.9 | %) | ||||||
Common Stocks - Short | Shares | Value | % of Basket Value | |||||||||
Mortgage Real Estate Investment Trusts (REITs) – continued | ||||||||||||
Annaly Capital Management, Inc. | (9,755 | ) | (186,418 | ) | (0.7 | %) | ||||||
|
| |||||||||||
| (425,304 | ) | |||||||||||
Multi-Utilities | ||||||||||||
Dominion Energy, Inc. | (2,374 | ) | (132,730 | ) | (0.5 | %) | ||||||
Sempra Energy | (903 | ) | (136,498 | ) | (0.5 | %) | ||||||
|
| |||||||||||
| (269,228 | ) | |||||||||||
Office REITs | ||||||||||||
Douglas Emmett, Inc. | (3,666 | ) | (45,202 | ) | (0.2 | %) | ||||||
Hudson Pacific Properties, Inc. | (5,331 | ) | (35,451 | ) | (0.1 | %) | ||||||
Kilroy Realty Corp. | (1,921 | ) | (62,240 | ) | (0.2 | %) | ||||||
Vornado Realty Trust | (14,470 | ) | (222,404 | ) | (0.8 | %) | ||||||
|
| |||||||||||
| (365,297 | ) | |||||||||||
Oil, Gas & Consumable Fuels | ||||||||||||
APA Corp. | (1,692 | ) | (61,013 | ) | (0.2 | %) | ||||||
Cheniere Energy, Inc. | (1,264 | ) | (199,206 | ) | (0.7 | %) | ||||||
Civitas Resources, Inc. | (758 | ) | (51,802 | ) | (0.2 | %) | ||||||
Clean Energy Fuels Corp. | (35,264 | ) | (153,751 | ) | (0.5 | %) | ||||||
DHT Holdings, Inc. | (15,127 | ) | (163,523 | ) | (0.6 | %) | ||||||
Enviva, Inc. | (7,300 | ) | (210,824 | ) | (0.8 | %) | ||||||
EQT Corp. | (1,122 | ) | (35,803 | ) | (0.1 | %) | ||||||
Green Plains, Inc. | (4,232 | ) | (131,150 | ) | (0.5 | %) | ||||||
Kosmos Energy Ltd. | (32,972 | ) | (245,312 | ) | (0.9 | %) | ||||||
Marathon Oil Corp. | (26 | ) | (623 | ) | (0.0 | %) | ||||||
Ovintiv, Inc. | (1,401 | ) | (50,548 | ) | (0.2 | %) | ||||||
PBF Energy, Inc., Class A | (6,648 | ) | (288,257 | ) | (1.0 | %) | ||||||
PDC Energy, Inc. | (692 | ) | (44,413 | ) | (0.2 | %) | ||||||
Phillips 66 | (1,913 | ) | (193,940 | ) | (0.7 | %) | ||||||
Range Resources Corp. | (1,692 | ) | (44,787 | ) | (0.2 | %) | ||||||
Southwestern Energy Co. | (7,488 | ) | (37,440 | ) | (0.1 | %) | ||||||
|
| |||||||||||
| (1,912,392 | ) | |||||||||||
Passenger Airlines | ||||||||||||
Allegiant Travel Co. | (650 | ) | (59,787 | ) | (0.2 | %) | ||||||
American Airlines Group, Inc. | (11,507 | ) | (169,728 | ) | (0.6 | %) | ||||||
Delta Air Lines, Inc. | (4,718 | ) | (164,753 | ) | (0.6 | %) | ||||||
Southwest Airlines Co. | (5,156 | ) | (167,776 | ) | (0.6 | %) | ||||||
United Airlines Holdings, Inc. | (4,482 | ) | (198,329 | ) | (0.7 | %) | ||||||
|
| |||||||||||
| (760,373 | ) | |||||||||||
Personal Care Products | ||||||||||||
Beauty Health Co. | (10,625 | ) | (134,194 | ) | (0.5 | %) | ||||||
Olaplex Holdings, Inc. | (8,285 | ) | (35,377 | ) | (0.1 | %) | ||||||
|
| |||||||||||
| (169,571 | ) | |||||||||||
Pharmaceuticals | ||||||||||||
Elanco Animal Health, Inc. | (5,234 | ) | (49,200 | ) | (0.2 | %) | ||||||
Viatris, Inc. | (17,923 | ) | (172,419 | ) | (0.6 | %) | ||||||
|
| |||||||||||
| (221,619 | ) | |||||||||||
Professional Services | ||||||||||||
Fiverr International Ltd. | (1,744 | ) | (60,900 | ) | (0.2 | %) | ||||||
Upwork, Inc. | (4,737 | ) | (53,623 | ) | (0.2 | %) | ||||||
|
| |||||||||||
| (114,523 | ) | |||||||||||
Common Stocks - Short | Shares | Value | % of Basket Value | |||||||||
Real Estate Management & Development | ||||||||||||
Anywhere Real Estate, Inc. | (7,204 | ) | (38,037 | ) | (0.1 | %) | ||||||
CBRE Group, Inc., Class A | (1,745 | ) | (127,053 | ) | (0.5 | %) | ||||||
DigitalBridge Group, Inc. | (12,582 | ) | (150,858 | ) | (0.5 | %) | ||||||
Jones Lang LaSalle, Inc. | (353 | ) | (51,358 | ) | (0.2 | %) | ||||||
Zillow Group, Inc., Class A | (1,778 | ) | (77,699 | ) | (0.3 | %) | ||||||
|
| |||||||||||
| (445,005 | ) | |||||||||||
Residential REITs | ||||||||||||
Elme Communities | (7,159 | ) | (127,860 | ) | (0.5 | %) | ||||||
|
| |||||||||||
Retail REITs | ||||||||||||
Acadia Realty Trust | (9,749 | ) | (135,999 | ) | (0.5 | %) | ||||||
Kite Realty Group Trust | (7,557 | ) | (158,092 | ) | (0.6 | %) | ||||||
Macerich Co. | (11,958 | ) | (126,755 | ) | (0.5 | %) | ||||||
|
| |||||||||||
| (420,846 | ) | |||||||||||
Software | ||||||||||||
8x8, Inc. | (15,143 | ) | (63,146 | ) | (0.2 | %) | ||||||
Ceridian HCM Holding, Inc. | (3,170 | ) | (232,107 | ) | (0.8 | %) | ||||||
Datadog, Inc., Class A | (735 | ) | (53,405 | ) | (0.2 | %) | ||||||
DocuSign, Inc. | (1,098 | ) | (64,013 | ) | (0.2 | %) | ||||||
Dynatrace, Inc. | (1,239 | ) | (52,410 | ) | (0.2 | %) | ||||||
Five9, Inc. | (819 | ) | (59,206 | ) | (0.2 | %) | ||||||
Momentive Global, Inc. | (6,209 | ) | (57,868 | ) | (0.2 | %) | ||||||
Palantir Technologies, Inc., Class A | (6,502 | ) | (54,942 | ) | (0.2 | %) | ||||||
Paycom Software, Inc. | (492 | ) | (149,573 | ) | (0.5 | %) | ||||||
Qualtrics International, Inc., Class A | (3,612 | ) | (64,402 | ) | (0.2 | %) | ||||||
Rapid7, Inc. | (1,424 | ) | (65,376 | ) | (0.2 | %) | ||||||
RingCentral, Inc., Class A | (1,768 | ) | (54,225 | ) | (0.2 | %) | ||||||
UiPath, Inc., Class A | (3,947 | ) | (69,309 | ) | (0.2 | %) | ||||||
Zoom Video Communications, Inc., Class A | (995 | ) | (73,471 | ) | (0.3 | %) | ||||||
Zscaler, Inc. | (570 | ) | (66,593 | ) | (0.2 | %) | ||||||
|
| |||||||||||
| (1,180,046 | ) | |||||||||||
Specialized REITs | ||||||||||||
American Tower Corp. | (561 | ) | (114,635 | ) | (0.4 | %) | ||||||
Public Storage | (3,498 | ) | (1,056,885 | ) | (3.8 | %) | ||||||
|
| |||||||||||
| (1,171,520 | ) | |||||||||||
Specialty Retail | ||||||||||||
Best Buy Co., Inc. | (2,263 | ) | (177,125 | ) | (0.6 | %) | ||||||
CarMax, Inc. | (643 | ) | (41,332 | ) | (0.1 | %) | ||||||
Designer Brands, Inc., Class A | (11,624 | ) | (101,594 | ) | (0.4 | %) | ||||||
Gap, Inc. | (12,301 | ) | (123,502 | ) | (0.4 | %) | ||||||
Sleep Number Corp. | (2,048 | ) | (62,279 | ) | (0.2 | %) | ||||||
|
| |||||||||||
Williams-Sonoma, Inc. | (1,530 | ) | (186,140 | ) | (0.7 | %) | ||||||
| (691,972 | ) | |||||||||||
Textiles, Apparel & Luxury Goods | ||||||||||||
Crocs, Inc. | (483 | ) | (61,071 | ) | (0.2 | %) | ||||||
Hanesbrands, Inc. | (8,502 | ) | (44,720 | ) | (0.2 | %) | ||||||
PVH Corp. | (981 | ) | (87,466 | ) | (0.3 | %) | ||||||
VF Corp. | (1,914 | ) | (43,850 | ) | (0.2 | %) | ||||||
|
| |||||||||||
| (237,107 | ) | |||||||||||
Common Stocks - Short | Shares | Value | % of Basket Value | |||||||||
Trading Companies & Distributors | ||||||||||||
Veritiv Corp. | (327 | ) | (44,191 | ) | (0.2 | %) | ||||||
|
| |||||||||||
Total Common Stocks - Short |
| $ | (28,059,535 | ) | ||||||||
|
| |||||||||||
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 Fund’s pricing policies have been approved by the Board of Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized are categorized in Level 2. Broker-dealer bid prices for which the Fund has knowledge of the inputs used by the broker-dealer are categorized in Level 2. All other investments, including broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer, as well as investments fair valued by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.
Under certain conditions and based upon specific facts and circumstances, the Fund’s valuation designee may determine that a fair valuation should be made for portfolio investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3 inputs.
The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2023, at value:
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* | $ | 38,500,827 | $ | — | $ | — | $ | 38,500,827 | ||||||||
Closed-End Investment Companies | 212,770 | — | — | 212,770 | ||||||||||||
Short-Term Investments* | — | 180,463,408 | — | 180,463,408 | ||||||||||||
Forward Foreign Currency Contracts (unrealized appreciation) | — | 122,756 | — | 122,756 | ||||||||||||
Futures Contracts (unrealized appreciation) | 3,430,760 | 372,541 | — | 3,803,301 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 42,144,357 | $ | 180,958,705 | $ | — | $ | 223,103,062 | ||||||||
| �� |
|
|
|
|
|
|
|
| ||||||||
Liability Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Basket Total Return Swap | $ | — | (a) | $ | — | $ | — | $ | — | |||||||
Forward Foreign Currency Contracts (unrealized depreciation) | — | (272,934 | ) | — | (272,934 | ) | ||||||||||
Futures Contracts (unrealized depreciation) | (2,799,014 | ) | (27,848 | ) | — | (2,826,862 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (2,799,014 | ) | $ | (300,782 | ) | $ | — | $ | (3,099,796 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
| * | 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 at period end 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. As of March 31, 2023, the Fund used long and short contracts on foreign government bonds, U.S. market indices, foreign currencies, short term interest rates, and commodities (through investments in the Subsidiary), long contracts on foreign equity market indices, and short contracts on U.S. government bonds and equity basket total return swaps in accordance with these objectives.
The following is a summary of derivative instruments for the Fund, as of March 31, 2023:
Assets | Unrealized appreciation on forward foreign currency contracts | Unrealized appreciation on futures contracts | ||||||
Over-the-counter asset derivatives | ||||||||
Foreign exchange contracts | $ | 122,756 | $ | — | ||||
|
|
|
| |||||
Exchange-traded asset derivatives | ||||||||
Interest rate contracts | $ | — | $ | 37,934 | ||||
Foreign exchange contracts | — | 306,277 | ||||||
Commodity contracts | — | 900,975 | ||||||
Equity contracts | — | 2,558,115 | ||||||
|
|
|
| |||||
Total exchange-traded asset derivatives | $ | — | $ | 3,803,301 | ||||
|
|
|
| |||||
Total asset derivatives | $ | 122,756 | $ | 3,803,301 | ||||
|
|
|
| |||||
|
|
|
| |||||
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 | $ | (272,934 | ) | $ | — | $ | — | |||||
Equity Contracts | — | — | (28,059,535 | ) | ||||||||
|
|
|
|
|
| |||||||
Total over-the-counter liability derivatives | $ | (272,934 | ) | $ | — | $ | (28,059,535 | ) | ||||
|
|
|
|
|
| |||||||
Exchange-traded liability derivatives | ||||||||||||
Interest rate contracts | $ | — | $ | (1,498,519 | ) | $ | — | |||||
Foreign exchange contracts | — | (166,970 | ) | — | ||||||||
Commodity contracts | — | (664,304 | ) | — | ||||||||
Equity contracts | — | (497,069 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total exchange-traded liability derivatives | $ | — | $ | (2,826,862 | ) | $ | — | |||||
|
|
|
|
|
| |||||||
Total liability derivatives | $ | (272,934 | ) | $ | (2,826,862 | ) | $ | (28,059,535 | ) | |||
|
|
|
|
|
| |||||||
| 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 March 31, 2023, 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 | $(150,178) | $828,938 |
Counterparty risk is managed based on policies and procedures established by each 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. A Fund’s risk of loss from counterparty credit risk on over-the-counter 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. 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 typically are required to segregate customer margin for exchange-traded derivatives 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 customers, 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.
Investment Summary at March 31, 2023 (Unaudited)
Treasuries | 42.3 | % | ||
Certificates of Deposit | 29.5 | |||
Common Stocks | 16.2 | |||
Repurchase Agreements | 4.3 | |||
Closed-End Investment Companies | 0.1 | |||
|
| |||
Total Investments | 92.4 | |||
Other assets less liabilities (including swap agreements, forward foreign currency and futures contracts) | 7.6 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
Net Exposures by Asset Class as a Percentage of Net Assets at March 31, 20231
Equity | 37.8 | % | ||
Fixed Income | (21.9 | ) | ||
Short-Term Interest Rate | 26.9 | |||
Commodity | 2.7 | |||
Currency | (0.7 | ) |
| 1 | The Fund gains its investment exposures primarily through the use of futures contracts, forward contracts and swap contracts and may have net exposure that is materially less than or greater than its net asset value. Portfolio exposures presented above are intended to illustrate the Fund’s exposure to certain asset classes. The portfolio exposure percentage represents the notional contract value in U.S. dollars of the Fund’s futures and/or forward positions divided by the Fund’s total net assets. Notional contract values represent the aggregate exposure that a futures or forward currency contract provides to the underlying reference asset or currency, respectively. Exposure to equity securities also includes long and short equity positions held in conjunction with the Fund’s investment in bilateral equity basket total return swaps, and is represented by the U.S. dollar value of the securities in the basket. |