Portfolio of Investments
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
Common Stocks 79.8% | ||
Issuer | Shares | Value ($) |
Communication Services 6.8% | ||
Diversified Telecommunication Services 0.4% | ||
Koninklijke KPN NV | 5,631 | 18,477 |
Proximus SADP | 13,561 | 278,682 |
Telecom Italia SpA | 851,614 | 372,932 |
Telecom Italia SpA, Savings Shares | 789,544 | 368,109 |
Telefonica Deutschland Holding AG | 36,937 | 99,566 |
Telenor ASA | 626 | 10,869 |
Total | 1,148,635 | |
Entertainment 0.4% | ||
Activision Blizzard, Inc. | 3,487 | 291,583 |
Embracer Group AB(a) | 7,948 | 205,706 |
Live Nation Entertainment, Inc.(a) | 3,688 | 290,947 |
NetEase, Inc., ADR | 1,815 | 185,511 |
Total | 973,747 | |
Interactive Media & Services 3.3% | ||
Alphabet, Inc., Class A(a),(b) | 1,133 | 3,052,902 |
Alphabet, Inc., Class C(a),(b) | 968 | 2,617,879 |
Facebook, Inc., Class A(a) | 6,985 | 2,488,755 |
Yelp, Inc.(a) | 4,792 | 179,221 |
Total | 8,338,757 | |
Media 2.2% | ||
Altice U.S.A., Inc., Class A(a) | 7,360 | 226,173 |
Charter Communications, Inc., Class A(a) | 563 | 418,900 |
Cogeco Communications, Inc. | 244 | 23,103 |
CyberAgent, Inc. | 52,600 | 946,718 |
Fox Corp., Class A(b) | 15,574 | 555,369 |
Fox Corp., Class B(b) | 13,462 | 447,477 |
Gray Television, Inc. | 22,929 | 508,336 |
News Corp., Class A(b) | 30,727 | 756,806 |
Nexstar Media Group, Inc., Class A | 4,968 | 730,644 |
ProSiebenSat.1 Media AG | 4,704 | 89,371 |
TEGNA, Inc. | 44,705 | 792,173 |
Telenet Group Holding NV | 3,110 | 116,723 |
Total | 5,611,793 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Wireless Telecommunication Services 0.5% | ||
Freenet AG | 3,139 | 75,077 |
Millicom International Cellular SA, SDR(a) | 658 | 26,258 |
T-Mobile USA, Inc.(a) | 5,211 | 750,488 |
Vodafone Group PLC | 192,416 | 309,396 |
Total | 1,161,219 | |
Total Communication Services | 17,234,151 | |
Consumer Discretionary 9.8% | ||
Auto Components 0.1% | ||
Freni Brembo SpA | 25 | 349 |
Nokian Renkaat OYJ | 4,440 | 187,259 |
Pirelli & C. SpA | 4,396 | 26,547 |
Total | 214,155 | |
Automobiles 0.8% | ||
Bayerische Motoren Werke AG | 2,721 | 270,553 |
Daimler AG, Registered Shares | 1,893 | 168,930 |
Harley-Davidson, Inc. | 25,858 | 1,024,494 |
Stellantis NV | 23,570 | 451,991 |
Total | 1,915,968 | |
Distributors 0.2% | ||
LKQ Corp.(a) | 11,601 | 588,751 |
Diversified Consumer Services 0.1% | ||
Stride, Inc.(a) | 7,826 | 239,945 |
Hotels, Restaurants & Leisure 2.0% | ||
Caesars Entertainment, Inc.(a) | 2,363 | 206,432 |
Domino’s Pizza, Inc.(b) | 1,681 | 883,349 |
Entain PLC(a) | 29,032 | 732,080 |
Flutter Entertainment PLC(a) | 2,733 | 466,749 |
Genting Singapore Ltd. | 23,900 | 14,261 |
International Game Technology PLC(a) | 14,643 | 274,556 |
Las Vegas Sands Corp.(a) | 10,892 | 461,276 |
McDonald’s Holdings Co. Japan Ltd. | 23,500 | 1,059,048 |
Restaurant Brands International, Inc. | 4,765 | 324,925 |
Travel + Leisure Co. | 6,071 | 314,478 |
Wyndham Hotels & Resorts, Inc. | 3,668 | 264,316 |
Total | 5,001,470 |
Multi-Manager Directional Alternative Strategies Fund | Quarterly Report 2021 | 1 |
Portfolio of Investments (continued)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Household Durables 2.2% | ||
D.R. Horton, Inc.(b) | 13,280 | 1,267,310 |
Electrolux AB, Class B | 7,515 | 197,369 |
Ethan Allen Interiors, Inc.(b) | 18,495 | 439,626 |
Husqvarna AB, Class B | 10,679 | 149,438 |
Iida Group Holdings Co., Ltd. | 37,300 | 900,076 |
Lennar Corp., Class A(b) | 11,958 | 1,257,384 |
Mohawk Industries, Inc.(a) | 2,479 | 483,157 |
NVR, Inc.(a),(b) | 4 | 20,890 |
Tempur Sealy International, Inc. | 6,284 | 271,909 |
Whirlpool Corp.(b) | 2,185 | 484,065 |
Total | 5,471,224 | |
Internet & Direct Marketing Retail 0.8% | ||
Alibaba Group Holding Ltd., ADR(a) | 1,957 | 381,987 |
Amazon.com, Inc.(a),(b) | 181 | 602,294 |
eBay, Inc.(b) | 8,412 | 573,782 |
HelloFresh SE(a) | 5,340 | 500,569 |
Total | 2,058,632 | |
Leisure Products 0.7% | ||
BRP, Inc. | 1,721 | 144,194 |
Callaway Golf Co.(a) | 16,695 | 528,898 |
Hasbro, Inc. | 3,033 | 301,601 |
Johnson Outdoors, Inc., Class A(b) | 523 | 61,907 |
Polaris, Inc. | 4,971 | 651,549 |
Sturm Ruger & Co., Inc.(b) | 528 | 39,262 |
Total | 1,727,411 | |
Multiline Retail 0.8% | ||
Canadian Tire Corp., Ltd., Class A | 391 | 60,154 |
Dollar General Corp. | 1,513 | 351,984 |
Kohl’s Corp. | 3,760 | 191,008 |
Ryohin Keikaku Co., Ltd. | 4,600 | 93,317 |
Target Corp.(b) | 5,152 | 1,344,930 |
Total | 2,041,393 | |
Specialty Retail 1.0% | ||
AutoNation, Inc.(a) | 2,102 | 255,036 |
AutoZone, Inc.(a) | 732 | 1,188,453 |
Dick’s Sporting Goods, Inc. | 1,742 | 181,412 |
Foot Locker, Inc. | 5,483 | 312,860 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
H & M Hennes & Mauritz AB(a) | 1,125 | 23,520 |
Ross Stores, Inc. | 2,313 | 283,782 |
Ulta Beauty, Inc.(a) | 1,098 | 368,708 |
Total | 2,613,771 | |
Textiles, Apparel & Luxury Goods 1.1% | ||
Carter’s, Inc. | 3,297 | 322,249 |
NIKE, Inc., Class B(b) | 9,913 | 1,660,527 |
Pandora A/S | 3,331 | 430,888 |
PVH Corp.(a) | 2,511 | 262,701 |
Swatch Group AG (The) | 512 | 170,794 |
Total | 2,847,159 | |
Total Consumer Discretionary | 24,719,879 | |
Consumer Staples 7.3% | ||
Beverages 0.9% | ||
Boston Beer Co., Inc. (The), Class A(a),(b) | 702 | 498,420 |
Britvic PLC | 14,433 | 195,503 |
Carlsberg AS, Class B | 48 | 8,870 |
Coca-Cola Europacific Partners PLC | 19,540 | 1,212,652 |
Coca-Cola HBC AG(a) | 8,441 | 318,756 |
Monster Beverage Corp.(a),(b) | 383 | 36,125 |
Total | 2,270,326 | |
Food & Staples Retailing 3.6% | ||
Axfood AB | 11 | 298 |
Carrefour SA | 67,075 | 1,245,871 |
Coles Group Ltd. | 939 | 12,084 |
Cosmos Pharmaceutical Corp. | 8,500 | 1,442,897 |
Costco Wholesale Corp.(b) | 3,343 | 1,436,554 |
Empire Co., Ltd., Class A | 22,400 | 735,595 |
Etablissements Franz Colruyt NV | 2,417 | 137,425 |
Ingles Markets, Inc., Class A(b) | 3,147 | 188,065 |
Kesko OYJ, Class B | 14,658 | 628,271 |
Koninklijke Ahold Delhaize NV | 23,380 | 726,764 |
Kroger Co. (The)(b) | 5,533 | 225,193 |
Loblaw Companies Ltd. | 16,600 | 1,122,988 |
METRO AG | 5,828 | 75,548 |
Metro, Inc. | 14,700 | 762,336 |
2 | Multi-Manager Directional Alternative Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Tesco PLC | 3,225 | 10,440 |
U.S. Foods Holding Corp.(a) | 10,464 | 359,334 |
Total | 9,109,663 | |
Food Products 1.3% | ||
Bunge Ltd.(b) | 19,686 | 1,528,224 |
Darling Ingredients, Inc.(a),(b) | 7,688 | 531,010 |
Leroy Seafood Group ASA | 6,236 | 56,814 |
Mondelez International, Inc., Class A | 4,079 | 258,038 |
Nomad Foods Ltd.(a) | 23,312 | 608,910 |
Orkla | 15,279 | 138,770 |
Wilmar International Ltd. | 6,400 | 20,496 |
Total | 3,142,262 | |
Household Products 0.8% | ||
Colgate-Palmolive Co.(b) | 20,675 | 1,643,662 |
Essity AB, Class B | 1,424 | 46,590 |
Procter & Gamble Co. (The) | 1,925 | 273,793 |
Total | 1,964,045 | |
Personal Products 0.1% | ||
Medifast, Inc.(b) | 859 | 245,253 |
Tobacco 0.6% | ||
Philip Morris International, Inc. | 12,152 | 1,216,294 |
Swedish Match AB | 42,918 | 384,329 |
Total | 1,600,623 | |
Total Consumer Staples | 18,332,172 | |
Energy 4.9% | ||
Energy Equipment & Services 1.1% | ||
ChampionX Corp.(a) | 19,938 | 463,359 |
Halliburton Co. | 32,662 | 675,450 |
Helmerich & Payne, Inc.(b) | 15,391 | 441,260 |
National Energy Services Reunited Corp.(a) | 30,387 | 391,992 |
Schlumberger NV | 25,669 | 740,037 |
Subsea 7 SA | 5,493 | 43,978 |
Total | 2,756,076 | |
Oil, Gas & Consumable Fuels 3.8% | ||
ARC Resources Ltd. | 3,440 | 26,029 |
BP PLC, ADR | 9,143 | 221,078 |
Canadian Natural Resources Ltd. | 417 | 13,761 |
Canadian Natural Resources Ltd. | 19,423 | 641,347 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Cenovus Energy, Inc. | 87,919 | 733,598 |
ConocoPhillips Co. | 10,505 | 588,910 |
Delek U.S. Holdings, Inc. | 20,693 | 359,644 |
Devon Energy Corp. | 27,836 | 719,282 |
Diamondback Energy, Inc. | 7,227 | 557,419 |
Enerplus Corp. | 82,888 | 516,223 |
ENI SpA | 1,533 | 18,129 |
EOG Resources, Inc. | 8,121 | 591,696 |
HollyFrontier Corp. | 21,461 | 630,953 |
Imperial Oil Ltd. | 672 | 18,411 |
Kosmos Energy Ltd.(a) | 121,295 | 280,191 |
Marathon Petroleum Corp. | 11,623 | 641,822 |
MEG Energy Corp.(a) | 61,848 | 394,606 |
Parkland Fuel Corp. | 610 | 19,416 |
PDC Energy, Inc. | 11,714 | 463,289 |
Pioneer Natural Resources Co. | 5,396 | 784,417 |
Royal Dutch Shell PLC, ADR, Class A | 10,007 | 406,484 |
Suncor Energy, Inc. | 1,012 | 19,922 |
Tourmaline Oil Corp. | 4,126 | 112,642 |
Viper Energy Partners LP | 24,431 | 440,002 |
Whiting Petroleum Corp.(a) | 10,095 | 473,455 |
Total | 9,672,726 | |
Total Energy | 12,428,802 | |
Financials 9.9% | ||
Banks 3.8% | ||
Banco BPM SpA | 85,616 | 256,851 |
Bank of America Corp.(b) | 21,959 | 842,347 |
BNP Paribas SA | 5,012 | 305,628 |
Citigroup, Inc.(b) | 11,142 | 753,422 |
DBS Group Holdings Ltd. | 9,100 | 203,625 |
DNB Bank ASA | 7,677 | 157,324 |
East West Bancorp, Inc. | 4,751 | 338,034 |
Fifth Third Bancorp | 20,646 | 749,243 |
Hana Financial Group, Inc. | 4,875 | 183,927 |
Huntington Bancshares, Inc. | 42,672 | 600,822 |
ING Groep NV | 28,928 | 371,166 |
JPMorgan Chase & Co.(b) | 5,860 | 889,431 |
KeyCorp | 33,966 | 667,772 |
Nordea Bank Abp | 30,466 | 356,769 |
Multi-Manager Directional Alternative Strategies Fund | Quarterly Report 2021 | 3 |
Portfolio of Investments (continued)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Regions Financial Corp. | 20,823 | 400,843 |
Sumitomo Mitsui Financial Group, Inc. | 5,400 | 182,029 |
Svenska Handelsbanken AB, Class A | 5,560 | 62,657 |
Swedbank AB, Class A | 4,723 | 91,974 |
Truist Financial Corp. | 14,026 | 763,435 |
UniCredit SpA | 32,107 | 384,044 |
United Overseas Bank Ltd. | 11,300 | 218,469 |
Wells Fargo & Co.(b) | 17,722 | 814,149 |
Total | 9,593,961 | |
Capital Markets 1.8% | ||
Artisan Partners Asset Management, Inc., Class A | 5,517 | 265,313 |
Azimut Holding SpA | 4,385 | 112,801 |
Banca Generali SpA(a) | 3,900 | 161,789 |
Bank of New York Mellon Corp. (The) | 8,241 | 423,011 |
Bridgepoint Group Ltd., Registered Shares(a),(c) | 22,186 | 149,567 |
CI Financial Corp. | 5,555 | 101,295 |
Credit Suisse Group AG, Registered Shares | 3,265 | 32,778 |
Deutsche Bank AG, Registered Shares(a) | 15,320 | 193,128 |
Futu Holdings Ltd., ADR(a),(b) | 1,965 | 201,334 |
Goldman Sachs Group, Inc. (The) | 1,520 | 569,818 |
Moody’s Corp. | 1,285 | 483,160 |
Onex Capital | 1,128 | 85,983 |
S&P Global, Inc.(b) | 660 | 282,955 |
Singapore Exchange | 92,500 | 809,374 |
UBS AG | 23,320 | 384,215 |
UBS Group AG, Registered Shares | 13,736 | 226,369 |
Total | 4,482,890 | |
Consumer Finance 0.8% | ||
Capital One Financial Corp. | 2,965 | 479,441 |
Discover Financial Services | 4,154 | 516,425 |
Navient Corp. | 7,328 | 149,711 |
SLM Corp. | 25,120 | 473,010 |
Synchrony Financial | 9,317 | 438,085 |
Total | 2,056,672 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Diversified Financial Services 1.5% | ||
Berkshire Hathaway, Inc., Class B(a),(b) | 10,623 | 2,956,275 |
Industrivarden AB, Class C | 10,166 | 389,154 |
Plus500 Ltd. | 20,523 | 399,404 |
Total | 3,744,833 | |
Insurance 1.6% | ||
Aegon NV | 16,809 | 71,566 |
Ageas SA/NV | 1,615 | 85,281 |
Allstate Corp. (The) | 3,174 | 412,779 |
American International Group, Inc. | 5,762 | 272,831 |
ASR Nederland NV | 6,372 | 261,868 |
Assicurazioni Generali SpA | 3,413 | 68,049 |
Baloise Holding AG, Registered Shares | 101 | 15,925 |
Erie Indemnity Co., Class A(b) | 2,750 | 508,447 |
Everest Re Group Ltd. | 1,194 | 301,879 |
Fairfax Financial Holdings Ltd. | 970 | 408,604 |
iA Financial Corp., Inc. | 1,255 | 69,429 |
Intact Financial Corp. | 5,700 | 776,691 |
Manulife Financial Corp. | 4,802 | 92,838 |
NN Group NV | 5,088 | 252,957 |
Poste Italiane SpA | 583 | 7,714 |
RenaissanceRe Holdings Ltd. | 1,118 | 170,707 |
Unipol Gruppo SpA | 61,838 | 328,634 |
Total | 4,106,199 | |
Mortgage Real Estate Investment Trusts (REITS) 0.4% | ||
AGNC Investment Corp.(b) | 72,680 | 1,153,432 |
Total Financials | 25,137,987 | |
Health Care 8.1% | ||
Biotechnology 1.8% | ||
AbbVie, Inc. | 9,071 | 1,054,957 |
Amgen, Inc. | 1,926 | 465,206 |
Avid Bioservices, Inc.(a),(b) | 14,781 | 379,133 |
Biogen, Inc.(a) | 641 | 209,434 |
Blueprint Medicines Corp.(a),(b) | 5,359 | 470,895 |
Eagle Pharmaceuticals, Inc.(a),(b) | 559 | 25,994 |
Genmab A/S(a) | 374 | 169,040 |
Organogenesis Holdings, Inc.(a),(b) | 14,647 | 224,685 |
Pharma Foods International Co., Ltd. | 16,100 | 427,717 |
4 | Multi-Manager Directional Alternative Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Pharming Group NV(a) | 151,978 | 173,046 |
Swedish Orphan Biovitrum AB(a) | 10,919 | 213,393 |
Vertex Pharmaceuticals, Inc.(a),(b) | 2,979 | 600,507 |
Total | 4,414,007 | |
Health Care Equipment & Supplies 1.5% | ||
Abbott Laboratories | 3,995 | 483,315 |
Boston Scientific Corp.(a) | 6,549 | 298,634 |
Coloplast A/S, Class B | 210 | 38,401 |
DiaSorin SpA | 3,888 | 789,088 |
Envista Holdings Corp.(a) | 6,297 | 271,275 |
Getinge AB, Series CPO | 10,328 | 448,824 |
Koninklijke Philips NV | 2,116 | 97,568 |
Medtronic PLC | 2,102 | 276,014 |
Ortho Clinical Diagnostics Holdings PLC(a) | 14,070 | 316,153 |
Sonova Holding AG | 229 | 89,913 |
Stryker Corp. | 1,087 | 294,512 |
Zimmer Biomet Holdings, Inc. | 2,933 | 479,311 |
Total | 3,883,008 | |
Health Care Providers & Services 1.8% | ||
AmerisourceBergen Corp. | 791 | 96,636 |
Anthem, Inc.(b) | 925 | 355,209 |
Centene Corp.(a) | 4,820 | 330,700 |
Cigna Corp.(b) | 1,687 | 387,150 |
CVS Health Corp. | 6,221 | 512,362 |
Fresenius Medical Care AG & Co. KGaA | 3,345 | 263,657 |
Galenica AG | 2,102 | 159,569 |
HCA Healthcare, Inc. | 1,994 | 494,911 |
Humana, Inc. | 824 | 350,909 |
Molina Healthcare, Inc.(a) | 177 | 48,323 |
R1 RCM, Inc.(a) | 5,674 | 121,480 |
UnitedHealth Group, Inc. | 2,818 | 1,161,636 |
Universal Health Services, Inc., Class B | 1,541 | 247,192 |
Total | 4,529,734 | |
Health Care Technology 0.7% | ||
Cerner Corp.(b) | 22,008 | 1,769,223 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Life Sciences Tools & Services 1.3% | ||
Avantor, Inc.(a) | 13,256 | 498,160 |
ICON PLC(a) | 1,016 | 247,162 |
IQVIA Holdings, Inc.(a) | 581 | 143,914 |
QIAGEN NV(a) | 1,096 | 58,738 |
Sotera Health Co.(a) | 12,723 | 301,535 |
Syneos Health, Inc.(a) | 883 | 79,179 |
Tecan Group AG, Registered Shares | 81 | 46,710 |
Thermo Fisher Scientific, Inc.(b) | 3,697 | 1,996,417 |
Total | 3,371,815 | |
Pharmaceuticals 1.0% | ||
AstraZeneca PLC | 2,789 | 320,484 |
Bausch Health Companies, Inc.(a) | 901 | 26,360 |
Bayer AG, Registered Shares | 2,988 | 178,022 |
H Lundbeck A/S | 4,854 | 146,473 |
Jazz Pharmaceuticals PLC(a) | 223 | 37,803 |
Johnson & Johnson(b) | 3,518 | 605,799 |
Merck & Co., Inc. | 502 | 38,589 |
Novartis AG, ADR | 2,630 | 242,986 |
Novartis AG, Registered Shares | 543 | 50,216 |
Novo Nordisk A/S, Class B | 1,887 | 174,682 |
Orion Oyj, Class B | 3,350 | 142,594 |
Sanofi | 2,354 | 242,635 |
UCB SA | 3,556 | 384,608 |
Total | 2,591,251 | |
Total Health Care | 20,559,038 | |
Industrials 16.7% | ||
Aerospace & Defense 1.5% | ||
Boeing Co. (The)(a) | 2,828 | 640,485 |
BWX Technologies, Inc. | 4,884 | 280,488 |
General Dynamics Corp. | 2,657 | 520,852 |
Hexcel Corp.(a) | 11,332 | 616,687 |
Howmet Aerospace, Inc.(a) | 21,641 | 710,258 |
Maxar Technologies, Inc. | 6,402 | 232,201 |
Moog, Inc., Class A | 3,613 | 281,344 |
Saab AB, Class B | 7,182 | 217,922 |
Textron, Inc. | 4,658 | 321,449 |
Total | 3,821,686 |
Multi-Manager Directional Alternative Strategies Fund | Quarterly Report 2021 | 5 |
Portfolio of Investments (continued)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Air Freight & Logistics 1.5% | ||
CH Robinson Worldwide, Inc.(b) | 14,046 | 1,252,482 |
Deutsche Post AG | 4,976 | 337,230 |
DSV PANALPINA A/S | 89 | 21,695 |
Expeditors International of Washington, Inc.(b) | 13,680 | 1,754,460 |
Royal Mail PLC | 41,243 | 288,964 |
Total | 3,654,831 | |
Building Products 1.3% | ||
Allegion PLC | 2,909 | 397,370 |
Carrier Global Corp.(b) | 26,709 | 1,475,672 |
dorma+kaba Holding AG, Class B Registered Shares | 144 | 99,615 |
Geberit AG | 69 | 56,654 |
Nippon Sheet Glass Co., Ltd.(a) | 6,400 | 35,245 |
Owens Corning(b) | 3,844 | 369,639 |
Xinyi Glass Holdings Ltd. | 256,000 | 956,764 |
Total | 3,390,959 | |
Commercial Services & Supplies 0.1% | ||
Securitas AB | 11,609 | 204,707 |
Construction & Engineering 0.1% | ||
Hochtief AG | 1,965 | 155,917 |
Skanska AB, Class B | 2,350 | 66,340 |
SNC-Lavalin Group, Inc. | 988 | 26,292 |
Total | 248,549 | |
Electrical Equipment 1.3% | ||
AMETEK, Inc. | 2,446 | 340,116 |
Eaton Corp. PLC | 1,704 | 269,317 |
Generac Holdings, Inc.(a),(b) | 2,576 | 1,080,271 |
Prysmian SpA | 5,886 | 211,033 |
Sensata Technologies Holding(a) | 8,891 | 521,191 |
Signify NV | 5,725 | 320,708 |
Vertiv Holdings Co. | 19,954 | 559,510 |
Total | 3,302,146 | |
Industrial Conglomerates 0.5% | ||
DCC PLC | 10,430 | 873,234 |
Rheinmetall AG | 2,786 | 267,344 |
Siemens AG, Registered Shares | 867 | 135,281 |
Total | 1,275,859 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Machinery 4.2% | ||
Aalberts NV | 569 | 34,688 |
Allison Transmission Holdings, Inc. | 14,776 | 589,710 |
Altra Industrial Motion Corp. | 4,025 | 252,287 |
Bucher Industries AG | 164 | 91,269 |
Caterpillar, Inc.(b) | 1,351 | 279,319 |
CNH Industrial NV | 10,347 | 172,770 |
Cummins, Inc.(b) | 7,323 | 1,699,668 |
Deere & Co.(b) | 5,074 | 1,834,708 |
Dover Corp. | 2,067 | 345,437 |
Duerr AG | 164 | 7,836 |
Epiroc AB, Class A | 45,944 | 1,070,249 |
GEA Group AG | 1,601 | 70,989 |
Georg Fischer AG, Registered Shares | 16 | 25,895 |
Knorr-Bremse AG | 3,326 | 376,635 |
KONE OYJ, Class B | 2,858 | 236,719 |
Metso Outotec OYJ | 2,168 | 24,616 |
Middleby Corp. (The)(a) | 1,224 | 234,384 |
OC Oerlikon Corp AG | 6,984 | 79,055 |
Oshkosh Corp. | 2,357 | 281,779 |
Otis Worldwide Corp. | 5,538 | 495,928 |
Parker-Hannifin Corp. | 891 | 278,019 |
Schindler Holding AG | 2,462 | 797,037 |
SKF AB, Class B | 5,808 | 154,532 |
Sulzer AG, Registered Shares | 147 | 21,571 |
Trelleborg AB, Class B | 5,813 | 143,695 |
Valmet OYJ | 3,634 | 151,658 |
Volvo AB, B Shares | 1,068 | 25,185 |
Wartsila OYJ | 4,173 | 62,864 |
Westinghouse Air Brake Technologies Corp. | 6,214 | 527,382 |
Yangzijiang Shipbuilding Holdings Ltd. | 191,300 | 193,582 |
Total | 10,559,466 | |
Marine 0.2% | ||
AP Moller - Maersk A/S, Class B | 200 | 555,045 |
Kuehne & Nagel International AG | 155 | 52,286 |
Total | 607,331 |
6 | Multi-Manager Directional Alternative Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Professional Services 2.6% | ||
Adecco Group AG, Registered Shares | 28,551 | 1,709,809 |
ASGN, Inc.(a) | 8,954 | 905,518 |
DKSH Holding AG | 1,561 | 131,962 |
Huron Consulting Group, Inc.(a) | 8,970 | 440,696 |
Leidos Holdings, Inc. | 4,934 | 525,076 |
Pagegroup PLC(a) | 55,295 | 472,689 |
Randstad NV | 7,652 | 555,158 |
Robert Half International, Inc. | 5,924 | 581,796 |
Science Applications International Corp. | 7,591 | 662,694 |
Stantec, Inc. | 1,582 | 73,647 |
Teleperformance SA | 977 | 412,096 |
Thomson Reuters Corp. | 68 | 7,206 |
Total | 6,478,347 | |
Road & Rail 2.6% | ||
AMERCO(b) | 961 | 565,030 |
Aurizon Holdings Ltd. | 254,028 | 720,907 |
ComfortDelGro Corp., Ltd. | 77,700 | 90,141 |
JB Hunt Transport Services, Inc.(b) | 9,040 | 1,522,788 |
Knight-Swift Transportation Holdings, Inc.(b) | 22,994 | 1,142,572 |
Nippon Express Co., Ltd. | 12,400 | 905,817 |
Old Dominion Freight Line, Inc.(b) | 5,403 | 1,454,217 |
TFI International, Inc. | 1,149 | 128,622 |
Union Pacific Corp. | 513 | 112,224 |
Total | 6,642,318 | |
Trading Companies & Distributors 0.8% | ||
Brenntag SE | 3,311 | 330,700 |
Finning International, Inc. | 6,099 | 157,706 |
Marubeni Corp. | 108,100 | 920,084 |
Toromont Industries Ltd. | 138 | 11,662 |
WESCO International, Inc.(a) | 4,764 | 507,128 |
Total | 1,927,280 | |
Total Industrials | 42,113,479 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Information Technology 8.6% | ||
Communications Equipment 0.6% | ||
Cambium Networks Corp.(a),(b) | 2,659 | 117,129 |
Cisco Systems, Inc.(b) | 15,110 | 836,641 |
CommScope Holding Co., Inc.(a) | 16,878 | 357,138 |
InterDigital, Inc. | 2,668 | 175,795 |
Telefonaktiebolaget LM Ericsson, Class B | 13,138 | 151,536 |
Total | 1,638,239 | |
Electronic Equipment, Instruments & Components 1.6% | ||
Adyen NV(a) | 411 | 1,113,831 |
Arrow Electronics, Inc.(a),(b) | 15,012 | 1,779,973 |
Flex Ltd.(a),(b) | 21,371 | 384,037 |
Jabil, Inc. | 9,552 | 568,726 |
Venture Corp., Ltd. | 14,200 | 199,181 |
Total | 4,045,748 | |
IT Services 1.1% | ||
Amdocs Ltd. | 4,835 | 372,827 |
AtoS | 2,478 | 118,505 |
Capgemini SE | 2,869 | 620,143 |
CGI, Inc.(a) | 400 | 36,386 |
Concentrix Corp.(a) | 3,890 | 636,910 |
Fidelity National Information Services, Inc. | 1,528 | 227,748 |
FleetCor Technologies, Inc.(a) | 2,570 | 663,625 |
Total | 2,676,144 | |
Semiconductors & Semiconductor Equipment 1.8% | ||
Applied Materials, Inc. | 6,553 | 916,961 |
ASM International NV | 261 | 92,632 |
Broadcom, Inc. | 1,057 | 513,068 |
KLA Corp. | 1,241 | 432,066 |
Micron Technology, Inc.(a) | 9,858 | 764,784 |
NXP Semiconductors NV | 2,324 | 479,650 |
ON Semiconductor Corp.(a) | 6,915 | 270,100 |
Qorvo, Inc.(a) | 3,751 | 711,152 |
QUALCOMM, Inc. | 3,351 | 501,980 |
Total | 4,682,393 |
Multi-Manager Directional Alternative Strategies Fund | Quarterly Report 2021 | 7 |
Portfolio of Investments (continued)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Software 1.9% | ||
Bentley Systems, Inc., Class B(b) | 14,064 | 855,232 |
Constellation Software, Inc. | 200 | 320,364 |
Microsoft Corp.(b) | 5,335 | 1,519,995 |
NortonLifeLock, Inc. | 20,641 | 512,310 |
Open Text Corp. | 873 | 45,343 |
Oracle Corp.(b) | 4,437 | 386,640 |
Software AG | 1,159 | 56,010 |
SS&C Technologies Holdings, Inc. | 8,506 | 666,785 |
Zoom Video Communications, Inc., Class A(a),(b) | 926 | 350,121 |
Total | 4,712,800 | |
Technology Hardware, Storage & Peripherals 1.6% | ||
Apple, Inc.(b) | 7,340 | 1,070,613 |
HP, Inc.(b) | 47,051 | 1,358,362 |
Logitech International SA | 5,531 | 607,688 |
NetApp, Inc. | 7,009 | 557,846 |
Western Digital Corp.(a) | 6,655 | 432,109 |
Total | 4,026,618 | |
Total Information Technology | 21,781,942 | |
Materials 6.1% | ||
Chemicals 3.1% | ||
Axalta Coating Systems Ltd.(a) | 8,371 | 251,967 |
Corteva, Inc. | 5,709 | 244,231 |
Covestro AG | 25,206 | 1,623,802 |
Dow, Inc.(b) | 20,585 | 1,279,564 |
DuPont de Nemours, Inc. | 11,132 | 835,457 |
Evonik Industries AG | 1,533 | 53,303 |
FMC Corp. | 5,289 | 565,658 |
Ingevity Corp.(a) | 2,951 | 250,658 |
Johnson Matthey PLC | 8,392 | 346,877 |
LANXESS AG | 1,918 | 138,908 |
Linde PLC | 899 | 276,344 |
Methanex Corp. | 26 | 876 |
Mosaic Co. (The) | 12,510 | 390,687 |
Nutrien Ltd. | 775 | 46,080 |
Solvay SA | 1,194 | 159,467 |
Tronox Holdings PLC, Class A | 16,984 | 313,015 |
Umicore SA | 2,206 | 136,919 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Valvoline, Inc. | 13,397 | 411,020 |
Wacker Chemie AG | 1,264 | 185,940 |
Yara International ASA | 7,167 | 377,748 |
Total | 7,888,521 | |
Construction Materials 0.3% | ||
Buzzi Unicem SpA | 14,587 | 385,580 |
HeidelbergCement AG | 607 | 53,791 |
Holcim Ltd., Registered Shares(a) | 2,572 | 150,773 |
Total | 590,144 | |
Containers & Packaging 0.9% | ||
Avery Dennison Corp. | 1,429 | 301,062 |
Crown Holdings, Inc. | 3,751 | 374,200 |
Huhtamaki OYJ | 3,561 | 189,660 |
International Paper Co.(b) | 24,863 | 1,436,087 |
Total | 2,301,009 | |
Metals & Mining 0.9% | ||
Acerinox SA | 61,887 | 827,295 |
Agnico Eagle Mines Ltd. | 163 | 10,545 |
Alamos Gold, Inc., Class A | 8,610 | 69,979 |
Aperam SA | 283 | 17,736 |
Aurubis AG | 2,300 | 232,923 |
Barrick Gold Corp. | 1,169 | 25,449 |
Boliden AB | 2,475 | 96,456 |
Centerra Gold, Inc. | 25,337 | 203,695 |
Endeavour Mining PLC | 1,989 | 47,365 |
First Quantum Minerals Ltd. | 2,265 | 48,510 |
Kinross Gold Corp. | 25,415 | 166,432 |
Lundin Mining Corp. | 6,126 | 55,829 |
Norsk Hydro ASA | 8,781 | 58,420 |
SSAB AB, Class A(a) | 21,323 | 121,771 |
Teck Resources Ltd., Class B | 2,514 | 57,389 |
ThyssenKrupp AG(a) | 5,226 | 52,066 |
Yamana Gold, Inc. | 28,561 | 127,970 |
Total | 2,219,830 |
8 | Multi-Manager Directional Alternative Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Paper & Forest Products 0.9% | ||
Boise Cascade Co.(b) | 10,928 | 558,967 |
Canfor Corp.(a) | 20,100 | 388,113 |
Stora Enso OYJ, Class R | 3,297 | 65,286 |
UPM-Kymmene OYJ | 3,662 | 149,649 |
West Fraser Timber Co., Ltd. | 16,101 | 1,154,920 |
Total | 2,316,935 | |
Total Materials | 15,316,439 | |
Real Estate 1.0% | ||
Equity Real Estate Investment Trusts (REITS) 1.0% | ||
Canadian Apartment Properties REIT | 11,200 | 559,731 |
Host Hotels & Resorts, Inc.(a) | 16,971 | 270,348 |
Klepierre | 9,311 | 225,437 |
Weyerhaeuser Co.(b) | 42,793 | 1,443,408 |
Total | 2,498,924 | |
Total Real Estate | 2,498,924 | |
Utilities 0.6% | ||
Electric Utilities 0.1% | ||
BKW AG | 744 | 81,958 |
Fortum OYJ | 4,130 | 113,783 |
Total | 195,741 | |
Gas Utilities 0.1% | ||
Italgas SpA | 26,149 | 176,995 |
Independent Power and Renewable Electricity Producers 0.1% | ||
Uniper SE | 8,268 | 322,807 |
Multi-Utilities 0.3% | ||
A2A SpA | 70,758 | 150,124 |
Atco Ltd., Class I | 2,433 | 87,912 |
CenterPoint Energy, Inc. | 7,747 | 197,239 |
E.ON SE | 2,879 | 35,393 |
Hera | 52,664 | 223,793 |
RWE AG | 3,494 | 124,232 |
Total | 818,693 | |
Total Utilities | 1,514,236 | |
Total Common Stocks (Cost $159,937,527) | 201,637,049 |
Preferred Stocks 0.1% | |||
Issuer | Shares | Value ($) | |
Consumer Discretionary 0.1% | |||
Automobiles 0.1% | |||
Volkswagen AG | 592 | 144,194 | |
Total Consumer Discretionary | 144,194 | ||
Consumer Staples 0.0% | |||
Household Products 0.0% | |||
Henkel AG & Co. KGaA | 569 | 57,688 | |
Total Consumer Staples | 57,688 | ||
Health Care 0.0% | |||
Health Care Equipment & Supplies 0.0% | |||
Draegerwerk AG & Co. KGaA | 1,186 | 109,034 | |
Total Health Care | 109,034 | ||
Total Preferred Stocks (Cost $255,827) | 310,916 |
Money Market Funds 10.6% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.053%(d),(e) | 26,857,480 | 26,854,795 |
Total Money Market Funds (Cost $26,851,284) | 26,854,795 | |
Total Investments (Cost $187,044,638) | 228,802,760 | |
Investments in Securities Sold Short | ||
Common Stocks (34.3)% | ||
Issuer | Shares | Value ($) |
Communication Services (1.6)% | ||
Diversified Telecommunication Services (0.4)% | ||
Deutsche Telekom AG, Registered Shares | (1,336) | (27,728) |
Elisa OYJ | (2,335) | (150,073) |
Infrastrutture Wireless Italiane SpA | (25,714) | (290,470) |
Telia Co. AB | (86,118) | (377,740) |
United Internet AG, Registered Shares | (1,913) | (79,174) |
Total | (925,185) | |
Entertainment (0.4)% | ||
CTS Eventim AG & Co. KGaA(a) | (2,341) | (159,060) |
Live Nation Entertainment, Inc.(a) | (6,595) | (520,279) |
Spotify Technology SA(a) | (1,072) | (245,134) |
Total | (924,473) |
Multi-Manager Directional Alternative Strategies Fund | Quarterly Report 2021 | 9 |
Portfolio of Investments (continued)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Interactive Media & Services (0.4)% | ||
Adevinta ASA(a) | (8,278) | (159,164) |
Scout24 AG | (535) | (45,814) |
Twitter, Inc.(a) | (4,837) | (337,381) |
Yahoo Japan Corp. | (105,600) | (528,548) |
Total | (1,070,907) | |
Media (0.4)% | ||
JCDecaux SA(a) | (8,664) | (236,346) |
New York Times Co. (The) | (7,930) | (347,175) |
Pearson PLC | (27,122) | (326,833) |
Schibsted ASA, Class A | (2,118) | (112,262) |
Stroeer SE & Co. KGaA | (780) | (61,694) |
Total | (1,084,310) | |
Total Communication Services | (4,004,875) | |
Consumer Discretionary (5.7)% | ||
Auto Components (0.3)% | ||
Continental AG(a) | (501) | (68,059) |
Dometic Group AB(c) | (30,385) | (515,736) |
Workhorse Group, Inc.(a) | (20,447) | (235,958) |
Total | (819,753) | |
Automobiles (0.6)% | ||
Aston Martin Lagonda Global Holdings PLC(a),(c) | (5,492) | (148,872) |
Ferrari NV | (2,272) | (495,155) |
Tesla, Inc.(a) | (1,108) | (761,418) |
Total | (1,405,445) | |
Diversified Consumer Services (0.1)% | ||
WW International, Inc.(a) | (4,301) | (132,213) |
Hotels, Restaurants & Leisure (1.6)% | ||
BJ’s Restaurants, Inc.(a) | (2,597) | (105,386) |
Carnival Corp.(a) | (5,527) | (119,659) |
Choice Hotels International, Inc. | (3,896) | (467,130) |
Domino’s Pizza Group PLC | (34,034) | (198,123) |
DraftKings, Inc., Class A(a) | (15,648) | (758,928) |
Evolution AB | (203) | (35,322) |
Papa John’s International, Inc. | (2,202) | (251,292) |
Planet Fitness, Inc., Class A(a) | (7,072) | (532,026) |
Restaurant Brands International, Inc. | (4,299) | (293,308) |
Royal Caribbean Cruises Ltd.(a) | (1,948) | (149,743) |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Shake Shack, Inc., Class A(a) | (992) | (99,736) |
Vail Resorts, Inc.(a) | (888) | (271,018) |
Whitbread PLC(a) | (9,533) | (402,920) |
Wynn Resorts Ltd.(a) | (2,884) | (283,584) |
Total | (3,968,175) | |
Household Durables (0.5)% | ||
Fujitsu General Ltd. | (9,900) | (255,385) |
Hovnanian Enterprises, Inc., Class A(a) | (2,770) | (289,160) |
LGI Homes, Inc.(a) | (2,274) | (388,627) |
Purple Innovation, Inc.(a) | (15,495) | (408,138) |
Total | (1,341,310) | |
Internet & Direct Marketing Retail (1.1)% | ||
Delivery Hero SE(a) | (7,890) | (1,179,497) |
Fiverr International Ltd.(a) | (772) | (192,159) |
Just Eat Takeaway.com NV(a) | (4,457) | (395,785) |
Ocado Group PLC(a) | (4,965) | (127,936) |
Open Door, Inc.(a) | (16,300) | (293,481) |
Prosus NV(a) | (996) | (88,862) |
RealReal, Inc. (The)(a) | (21,657) | (357,557) |
Stitch Fix, Inc., Class A(a) | (2,334) | (125,849) |
Zalando SE(a) | (1,223) | (135,890) |
Total | (2,897,016) | |
Multiline Retail (0.0)% | ||
Dollarama, Inc. | (1,540) | (72,519) |
Specialty Retail (1.2)% | ||
CarLotz, Inc.(a) | (13,360) | (59,318) |
Carvana Co.(a) | (4,931) | (1,664,508) |
Dufry AG, Registered Shares(a) | (5,914) | (312,897) |
Floor & Decor Holdings, Inc., Class A(a) | (1,805) | (220,228) |
RH(a) | (358) | (237,741) |
Shift Technologies, Inc.(a) | (59,987) | (506,890) |
Total | (3,001,582) | |
Textiles, Apparel & Luxury Goods (0.3)% | ||
Adidas AG | (367) | (133,204) |
Canada Goose Holdings, Inc.(a) | (2,810) | (119,283) |
Gildan Activewear, Inc. | (475) | (16,375) |
HUGO BOSS AG | (1,794) | (107,476) |
Moncler SpA | (1,335) | (91,692) |
10 | Multi-Manager Directional Alternative Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Puma SE | (1,002) | (122,915) |
Salvatore Ferragamo SpA(a) | (3,820) | (76,192) |
Total | (667,137) | |
Total Consumer Discretionary | (14,305,150) | |
Consumer Staples (2.3)% | ||
Beverages (0.6)% | ||
Anheuser-Busch InBev SA/NV | (1,583) | (99,907) |
Davide Campari-Milano NV | (14,340) | (201,599) |
Fevertree Drinks PLC | (10,386) | (345,178) |
Heineken NV | (4,705) | (547,906) |
National Beverage Corp. | (4,343) | (197,085) |
Total | (1,391,675) | |
Food & Staples Retailing (0.1)% | ||
Grocery Outlet Holding, Corp.(a) | (3,660) | (121,219) |
Kesko OYJ, Class B | (3,523) | (151,003) |
Rite Aid Corp.(a) | (6,399) | (97,265) |
Total | (369,487) | |
Food Products (0.9)% | ||
AAK AB | (640) | (15,257) |
Bakkafrost P/F | (1,988) | (168,945) |
Beyond Meat, Inc.(a) | (2,504) | (307,241) |
Cal-Maine Foods, Inc. | (8,812) | (307,451) |
Campbell Soup Co. | (8,541) | (373,413) |
Chocoladefabriken Lindt & Spruengli AG | (20) | (224,099) |
Hormel Foods Corp. | (6,225) | (288,715) |
Mowi ASA | (8,091) | (206,157) |
Nestlé SA, Registered Shares | (1,295) | (163,985) |
Premium Brands Holdings Corp. | (789) | (80,683) |
Salmar ASA | (774) | (51,341) |
Saputo, Inc. | (735) | (21,209) |
Total | (2,208,496) | |
Household Products (0.4)% | ||
Clorox Co. (The) | (1,458) | (263,737) |
Essity AB, Class B | (9,253) | (302,737) |
Kimberly-Clark Corp. | (2,944) | (399,560) |
Total | (966,034) |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Personal Products (0.2)% | ||
Beiersdorf AG | (2,573) | (305,605) |
Kose Corp. | (1,900) | (300,220) |
Total | (605,825) | |
Tobacco (0.1)% | ||
Japan Tobacco, Inc. | (7,900) | (154,368) |
Swedish Match AB | (15,315) | (137,146) |
Total | (291,514) | |
Total Consumer Staples | (5,833,031) | |
Energy (1.8)% | ||
Energy Equipment & Services (0.2)% | ||
Saipem SpA(a) | (84,068) | (192,872) |
SBM Offshore NV | (4,862) | (70,578) |
Tenaris SA | (12,253) | (124,845) |
Total | (388,295) | |
Oil, Gas & Consumable Fuels (1.6)% | ||
Cameco Corp. | (23,583) | (419,451) |
Enbridge, Inc. | (1,492) | (58,814) |
Gevo, Inc.(a) | (47,835) | (291,315) |
Keyera Corp. | (36,491) | (976,915) |
Koninklijke Vopak NV | (177) | (7,495) |
Neste OYJ | (6,683) | (410,810) |
New Fortress Energy, Inc. | (7,582) | (229,810) |
NexGen Energy Ltd.(a) | (2,100) | (8,871) |
Northern Oil and Gas, Inc. | (18,808) | (324,814) |
Pembina Pipeline Corp. | (24,604) | (813,297) |
Renewable Energy Group, Inc.(a) | (7,317) | (448,166) |
Statoil ASA | (1,365) | (26,589) |
TC Energy Corp. | (711) | (34,661) |
Total | (4,051,008) | |
Total Energy | (4,439,303) | |
Financials (4.4)% | ||
Banks (2.3)% | ||
Bank of Hawaii Corp. | (4,561) | (381,801) |
Commerce Bancshares, Inc. | (5,955) | (421,197) |
Commonwealth Bank of Australia | (6,116) | (448,352) |
Community Bank System, Inc. | (6,095) | (436,646) |
Cullen/Frost Bankers, Inc. | (3,663) | (393,113) |
Multi-Manager Directional Alternative Strategies Fund | Quarterly Report 2021 | 11 |
Portfolio of Investments (continued)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
CVB Financial Corp. | (19,173) | (365,437) |
FinecoBank Banca Fineco SpA(a) | (25,560) | (457,689) |
First Financial Bankshares, Inc. | (9,130) | (445,909) |
Glacier Bancorp, Inc. | (6,302) | (324,931) |
Hang Seng Bank Ltd. | (23,400) | (448,144) |
HSBC Holdings PLC | (12,311) | (67,959) |
Independent Bank Corp. | (2,928) | (206,951) |
Intesa Sanpaolo SpA | (26,110) | (72,130) |
Mediobanca Banca di Credito Finanziario SpA(a) | (10,869) | (127,215) |
National Bank of Canada | (536) | (41,025) |
Royal Bank of Canada | (292) | (29,532) |
Skandinaviska Enskilda Banken AB, Class A | (21,369) | (289,015) |
Trustmark Corp. | (4,275) | (128,336) |
United Bankshares, Inc. | (11,307) | (390,544) |
Westamerica Bancorporation | (7,244) | (402,404) |
Total | (5,878,330) | |
Capital Markets (1.1)% | ||
Brookfield Asset Management, Inc., Class A | (5,100) | (275,317) |
Credit Suisse Group AG, Registered Shares | (42,271) | (424,371) |
Deutsche Bank AG(a) | (29,599) | (373,133) |
EQT AB | (11,160) | (537,936) |
Franklin Resources, Inc. | (4,475) | (132,236) |
Hamilton Lane, Inc., Class A | (3,408) | (316,944) |
Partners Group Holding AG | (136) | (232,338) |
TMX Group Ltd. | (1,113) | (122,228) |
WisdomTree Investments, Inc. | (72,485) | (447,957) |
Total | (2,862,460) | |
Consumer Finance (0.2)% | ||
Credit Acceptance Corp.(a) | (1,022) | (495,435) |
Diversified Financial Services (0.0)% | ||
Element Fleet Management Corp. | (8,040) | (92,026) |
Insurance (0.8)% | ||
Allianz SE | (297) | (73,823) |
Brookfield Asset Management Reinsurance Partners Ltd., Class A(a) | (1) | (49) |
eHealth, Inc.(a) | (1,036) | (53,882) |
Gjensidige Forsikring ASA | (4,882) | (111,715) |
GoHealth, Inc., Class A(a) | (9,969) | (87,727) |
Hannover Rueck SE | (810) | (136,148) |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Intact Financial Corp. | (830) | (113,097) |
Lemonade, Inc.(a) | (3,877) | (337,532) |
Muenchener Rueckversicherungs-Gesellschaft AG, Registered Shares | (381) | (102,803) |
RLI Corp. | (2,780) | (301,297) |
Sampo OYJ | (6,838) | (329,104) |
Tryg A/S | (7,351) | (181,678) |
Zurich Insurance Group AG | (242) | (97,568) |
Total | (1,926,423) | |
Total Financials | (11,254,674) | |
Health Care (4.4)% | ||
Biotechnology (1.7)% | ||
Allogene Therapeutics, Inc.(a) | (4,144) | (90,961) |
Allovir, Inc.(a) | (2,748) | (52,597) |
Applied Therapeutics, Inc.(a) | (12,134) | (208,826) |
Argenx SE(a) | (3,742) | (1,142,718) |
Avidity Biosciences, Inc.(a) | (13,485) | (260,395) |
Epizyme, Inc.(a) | (19,205) | (127,329) |
Exact Sciences Corp.(a) | (7,010) | (755,958) |
Galapagos NV(a) | (2,035) | (123,317) |
Global Blood Therapeutics, Inc.(a) | (1,893) | (51,736) |
Idorsia Ltd.(a) | (12,128) | (299,588) |
Inovio Pharmaceuticals, Inc.(a) | (6,499) | (54,592) |
Mersana Therapeutics, Inc.(a) | (22,643) | (249,073) |
MorphoSys AG(a) | (231) | (12,869) |
Myriad Genetics, Inc.(a) | (4,915) | (155,461) |
Rubius Therapeutics, Inc.(a) | (3,754) | (80,673) |
TCR2 Therapeutics, Inc.(a) | (17,022) | (211,754) |
Viking Therapeutics, Inc.(a) | (47,948) | (294,880) |
Total | (4,172,727) | |
Health Care Equipment & Supplies (0.9)% | ||
Alcon, Inc. | (560) | (40,767) |
Ambu A/S | (11,125) | (411,588) |
Carl Zeiss Meditec AG | (1,899) | (422,932) |
DiaSorin SpA | (155) | (31,458) |
Elekta AB, Class B | (7,061) | (103,059) |
Glaukos Corp.(a) | (2,029) | (103,479) |
Nevro Corp.(a) | (347) | (53,785) |
Quidel Corp.(a) | (1,136) | (160,710) |
12 | Multi-Manager Directional Alternative Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Siemens Healthineers AG | (6,363) | (420,094) |
SmileDirectClub, Inc.(a) | (7,299) | (51,531) |
Straumann Holding AG, Registered Shares | (249) | (461,651) |
Total | (2,261,054) | |
Health Care Providers & Services (0.2)% | ||
Alignment Healthcare, Inc.(a) | (5,671) | (118,127) |
Amplifon SpA | (4,331) | (213,884) |
Fulgent Genetics, Inc.(a) | (1,086) | (100,184) |
Oak Street Health, Inc.(a) | (1,290) | (81,322) |
Progyny, Inc.(a) | (1,534) | (85,428) |
Total | (598,945) | |
Health Care Technology (0.2)% | ||
CompuGroup Medical SE & Co KgaA | (1,017) | (81,614) |
GoodRx Holdings, Inc., Class A(a) | (3,157) | (101,245) |
Multiplan Corp.(a) | (18,128) | (145,930) |
Teladoc Health, Inc.(a) | (561) | (83,281) |
Total | (412,070) | |
Life Sciences Tools & Services (0.2)% | ||
Bachem Holding AG, Registered B Shares | (140) | (92,694) |
Evotec SE(a) | (6,302) | (261,309) |
Lonza Group AG, Registered Shares | (239) | (186,092) |
Total | (540,095) | |
Pharmaceuticals (1.2)% | ||
Axsome Therapeutics, Inc.(a) | (4,475) | (217,440) |
Canopy Growth Corp.(a) | (41,871) | (793,052) |
Cronos Group, Inc.(a) | (16,500) | (121,806) |
Merck KGaA | (608) | (124,460) |
Nippon Shinyaku Co., Ltd. | (2,300) | (173,033) |
Provention Bio, Inc.(a) | (22,743) | (138,050) |
Recordati Industria Chimica e Farmaceutica SpA | (1,100) | (68,037) |
Royalty Pharma PLC, Class A | (3,407) | (130,147) |
Tilray, Inc.(a) | — | (5) |
Viatris, Inc. | (92,137) | (1,296,368) |
Vifor Pharma AG | (626) | (87,547) |
Total | (3,149,945) | |
Total Health Care | (11,134,836) |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Industrials (5.4)% | ||
Aerospace & Defense (0.6)% | ||
Boeing Co. (The)(a) | (1,121) | (253,884) |
CAE, Inc.(a) | (897) | (27,372) |
Leonardo SpA(a) | (5,184) | (40,739) |
MTU Aero Engines AG | (2,967) | (742,158) |
Safran SA | (3,060) | (400,476) |
Virgin Galactic Holdings, Inc.(a) | (5,896) | (176,821) |
Total | (1,641,450) | |
Air Freight & Logistics (0.5)% | ||
Cargojet, Inc. | (3,731) | (580,763) |
FedEx Corp. | (2,068) | (578,936) |
ZTO Express Cayman, Inc., ADR | (8,460) | (228,928) |
Total | (1,388,627) | |
Airlines (0.3)% | ||
Air Canada(a) | (21,356) | (427,600) |
Deutsche Lufthansa AG, Registered Shares(a) | (29,160) | (329,344) |
Singapore Airlines Ltd.(a) | (12,100) | (45,363) |
Total | (802,307) | |
Building Products (0.6)% | ||
ASSA ABLOY AB, Class B | (453) | (14,531) |
Belimo Holding AG, Registered Shares | (30) | (15,494) |
Lennox International, Inc. | (1,280) | (421,670) |
Nibe Industrier AB, Class B | (41,974) | (501,589) |
ROCKWOOL International A/S, Class B | (343) | (182,005) |
Trex Co., Inc.(a) | (3,672) | (356,551) |
Total | (1,491,840) | |
Commercial Services & Supplies (0.2)% | ||
Boyd Group Services, Inc. | (87) | (17,041) |
GFL Environmental, Inc. | (1,139) | (39,677) |
Healthcare Services Group, Inc. | (5,413) | (141,279) |
ISS A/S(a) | (2,696) | (63,622) |
Ritchie Bros. Auctioneers, Inc. | (312) | (18,626) |
Tomra Systems ASA | (2,488) | (143,775) |
Total | (424,020) |
Multi-Manager Directional Alternative Strategies Fund | Quarterly Report 2021 | 13 |
Portfolio of Investments (continued)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Construction & Engineering (0.0)% | ||
Sweco AB, Class B | (3,975) | (63,584) |
WSP Global, Inc. | (200) | (23,740) |
Total | (87,324) | |
Electrical Equipment (1.4)% | ||
ABB Ltd., Registered Shares | (3,928) | (143,601) |
Array Technologies, Inc.(a) | (8,892) | (120,398) |
Ballard Power Systems, Inc.(a) | (59,136) | (957,476) |
ITM Power PLC(a) | (84,426) | (480,831) |
Plug Power, Inc.(a) | (24,919) | (679,790) |
Siemens Energy AG(a) | (179) | (4,870) |
Sunrun, Inc.(a) | (16,293) | (863,040) |
Varta AG | (498) | (86,384) |
Vestas Wind Systems A/S | (6,918) | (255,098) |
Total | (3,591,488) | |
Industrial Conglomerates (0.1)% | ||
Keppel Corp., Ltd. | (18,700) | (75,600) |
Lifco AB, Class B | (3,254) | (95,440) |
Total | (171,040) | |
Machinery (1.1)% | ||
Alfa Laval AB | (473) | (19,753) |
Atlas Copco AB, Class A | (4,704) | (318,579) |
Chart Industries, Inc.(a) | (3,302) | (513,296) |
Enerpac Tool Group Corp. | (12,853) | (329,936) |
Epiroc AB, Class A | (3,784) | (88,147) |
KION Group AG | (112) | (11,894) |
Miura Co., Ltd. | (3,900) | (172,219) |
Nikola Corp.(a) | (39,222) | (465,565) |
Proto Labs, Inc.(a) | (2,311) | (180,697) |
Rational AG | (256) | (278,764) |
Schindler Holding AG | (119) | (38,524) |
VAT Group AG | (749) | (294,024) |
Total | (2,711,398) | |
Professional Services (0.1)% | ||
Dun & Bradstreet Holdings, Inc.(a) | (11,177) | (234,270) |
Wolters Kluwer NV | (621) | (70,796) |
Total | (305,066) |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Road & Rail (0.2)% | ||
Canadian Pacific Railway Ltd. | (166) | (12,326) |
Central Japan Railway Co. | (1,200) | (174,558) |
Keisei Electric Railway Co., Ltd. | (7,400) | (220,391) |
Total | (407,275) | |
Trading Companies & Distributors (0.2)% | ||
IMCD NV | (927) | (160,614) |
Indutrade AB | (3,419) | (111,522) |
MonotaRO Co., Ltd. | (8,600) | (197,824) |
Total | (469,960) | |
Transportation Infrastructure (0.1)% | ||
Flughafen Zurich AG(a) | (122) | (19,604) |
Fraport AG Frankfurt Airport Services Worldwide(a) | (3,435) | (225,933) |
SATS Ltd(a) | (13,800) | (40,809) |
Total | (286,346) | |
Total Industrials | (13,778,141) | |
Information Technology (3.5)% | ||
Communications Equipment (0.2)% | ||
Calix, Inc.(a) | (8,017) | (375,035) |
Nokia OYJ(a) | (40,558) | (249,203) |
Total | (624,238) | |
Electronic Equipment, Instruments & Components (0.5)% | ||
Adyen NV(a) | (31) | (84,012) |
Hexagon AB, Class B | (3,882) | (64,261) |
Hirose Electric Co., Ltd. | (1,500) | (224,710) |
Itron, Inc.(a) | (2,751) | (271,304) |
Landis+Gyr Group AG(a) | (1,967) | (155,684) |
Novanta, Inc.(a) | (2,650) | (372,086) |
Total | (1,172,057) | |
IT Services (0.6)% | ||
Afterpay Touch Group Ltd.(a) | (2,543) | (180,762) |
Jack Henry & Associates, Inc. | (1,490) | (259,394) |
Nexi SpA(a) | (26,455) | (566,806) |
Okta, Inc.(a) | (1,201) | (297,596) |
Shopify, Inc., Class A(a) | (62) | (93,080) |
Total | (1,397,638) |
14 | Multi-Manager Directional Alternative Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Semiconductors & Semiconductor Equipment (0.2)% | ||
ams AG(a) | (6,046) | (115,532) |
ASML Holding NV | (42) | (32,104) |
Cree, Inc.(a) | (3,318) | (307,778) |
Infineon Technologies AG | (507) | (19,374) |
Total | (474,788) | |
Software (1.9)% | ||
Appfolio, Inc., Class A(a) | (1,972) | (279,235) |
Appian Corp.(a) | (1,785) | (207,827) |
Blackberry Ltd.(a) | (2,191) | (22,303) |
Blackline, Inc.(a) | (3,256) | (372,454) |
Ceridian HCM Holding, Inc.(a) | (14,490) | (1,425,816) |
Constellation Software, Inc. | (8) | (12,815) |
Descartes Systems Group, Inc. (The)(a) | (152) | (11,025) |
Guidewire Software, Inc.(a) | (3,599) | (414,605) |
Kinaxis, Inc.(a) | (276) | (35,807) |
Lightspeed POS, Inc.(a) | (6,053) | (518,309) |
Nemetschek SE | (2,824) | (249,212) |
Palantir Technologies, Inc., Class A(a) | (7,543) | (163,758) |
Q2 Holdings, Inc.(a) | (3,532) | (364,891) |
SAP SE | (1,001) | (143,655) |
SimCorp A/S | (394) | (54,745) |
Sinch AB(a) | (10,232) | (206,336) |
TeamViewer AG(a) | (3,351) | (112,666) |
Temenos AG, Registered Shares | (1,273) | (202,214) |
Total | (4,797,673) | |
Technology Hardware, Storage & Peripherals (0.1)% | ||
Canon, Inc. | (11,400) | (262,520) |
Total Information Technology | (8,728,914) | |
Materials (4.3)% | ||
Chemicals (2.1)% | ||
Akzo Nobel NV | (444) | (54,846) |
Albemarle Corp. | (726) | (149,585) |
BASF SE | (1,511) | (118,732) |
Christian Hansen Holding A/S | (2,716) | (244,271) |
Danimer Scientific, Inc.(a) | (8,233) | (137,326) |
Ecolab, Inc. | (631) | (139,344) |
EMS-Chemie Holding AG, Registered Shares | (152) | (168,501) |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Givaudan SA, Registered Shares | (33) | (164,711) |
Johnson Matthey PLC | (4,925) | (203,571) |
Koninklijke DSM NV | (1,467) | (295,720) |
Nippon Paint Holdings Co., Ltd. | (68,900) | (879,453) |
Novozymes A/S, Class B | (4,604) | (361,712) |
OCI NV(a) | (3,079) | (74,693) |
Quaker Chemical Corp. | (1,099) | (276,662) |
Sika AG | (1,244) | (438,225) |
Stepan Co. | (2,207) | (260,316) |
Symrise AG | (1,309) | (193,011) |
Tokai Carbon Co., Ltd. | (22,100) | (291,927) |
Umicore SA | (10,951) | (679,694) |
Yara International ASA | (4,755) | (250,620) |
Total | (5,382,920) | |
Containers & Packaging (0.3)% | ||
CCL Industries, Inc., Class B | (422) | (24,202) |
Greif, Inc., Class A | (5,396) | (327,105) |
International Paper Co. | (3,772) | (217,871) |
SIG Combibloc Group AG(a) | (5,188) | (153,076) |
Total | (722,254) | |
Metals & Mining (1.6)% | ||
Antofagasta PLC | (18,413) | (382,314) |
ArcelorMittal SA | (819) | (28,604) |
Bellevue Gold Ltd.(a) | (207,878) | (150,703) |
Compass Minerals International, Inc. | (7,159) | (490,821) |
Franco-Nevada Corp. | (4,159) | (665,066) |
Franco-Nevada Corp. | (1,155) | (184,739) |
Ivanhoe Mines Ltd., Class A(a) | (25,100) | (186,298) |
Nucor Corp. | (5,977) | (621,728) |
Pan American Silver Corp. | (480) | (13,477) |
Southern Copper Corp. | (5,957) | (391,017) |
SSR Mining, Inc. | (1,001) | (16,296) |
United States Steel Corp. | (8,196) | (217,030) |
Wheaton Precious Metals Corp. | (10,283) | (474,560) |
Wheaton Precious Metals Corp. | (2,556) | (118,068) |
Total | (3,940,721) |
Multi-Manager Directional Alternative Strategies Fund | Quarterly Report 2021 | 15 |
Portfolio of Investments (continued)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Paper & Forest Products (0.3)% | ||
Holmen AB, B Shares | (2,323) | (122,288) |
Nippon Paper Industries Co., Ltd. | (35,700) | (417,309) |
Svenska Cellulosa AB SCA, Class B | (17,384) | (323,345) |
Total | (862,942) | |
Total Materials | (10,908,837) | |
Real Estate (0.4)% | ||
Equity Real Estate Investment Trusts (REITS) (0.4)% | ||
Alexandria Real Estate Equities, Inc. | (1,309) | (263,554) |
EastGroup Properties, Inc. | (1,224) | (215,693) |
Extra Space Storage, Inc. | (863) | (150,283) |
Iron Mountain, Inc. | (6,019) | (263,392) |
Klepierre | (1,274) | (30,846) |
Total | (923,768) | |
Real Estate Management & Development (0.0)% | ||
City Developments Ltd. | (6,300) | (31,780) |
KE Holdings, Inc., ADR(a) | (2,395) | (52,666) |
Total | (84,446) | |
Total Real Estate | (1,008,214) | |
Utilities (0.5)% | ||
Electric Utilities (0.3)% | ||
Elia Group SA/NV | (1,505) | (177,878) |
Emera, Inc. | (2,441) | (113,852) |
Enel SpA | (22,689) | (209,091) |
Ørsted AS | (970) | (143,871) |
Terna - Rete Elettrica Nazionale | (6,204) | (49,237) |
Total | (693,929) | |
Gas Utilities (0.1)% | ||
AltaGas, Ltd. | (676) | (14,310) |
Snam SpA | (17,535) | (106,066) |
Total | (120,376) |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Independent Power and Renewable Electricity Producers (0.1)% | ||
Boralex, Inc., Class A | (3,397) | (106,925) |
Innergex Renewable Energy, Inc. | (8,129) | (141,717) |
Northland Power, Inc. | (807) | (28,319) |
TransAlta Renewables, Inc. | (1,854) | (32,649) |
Total | (309,610) | |
Multi-Utilities (0.0)% | ||
Algonquin Power & Utilities Corp. | (4,825) | (76,884) |
Total Utilities | (1,200,799) | |
Total Common Stocks (Proceeds $82,680,574) | (86,596,774) |
Preferred Stocks (0.1)% | |||
Issuer | Shares | Value ($) | |
Health Care (0.1)% | |||
Health Care Equipment & Supplies (0.1)% | |||
Sartorius AG | (454) | (274,630) | |
Total Health Care | (274,630) | ||
Materials (0.0)% | |||
Chemicals (0.0)% | |||
Fuchs Petrolub SE | (1,507) | (75,092) | |
Total Materials | (75,092) | ||
Total Preferred Stocks (Proceeds $257,676) | (349,722) | ||
Total Investments in Securities Sold Short (Proceeds $82,938,250) | (86,946,496) |
Total Investments in Securities, Net of Securities Sold Short | 141,856,264 | |
Other Assets & Liabilities, Net | 110,900,562 | |
Net Assets | 252,756,826 |
At July 31, 2021, securities and/or cash totaling $167,638,289 were pledged as collateral.
16 | Multi-Manager Directional Alternative Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Investments in derivatives
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
38,500 AUD | 29,663 USD | Citi | 09/15/2021 | 1,403 | — |
215,500 CAD | 177,608 USD | Citi | 09/15/2021 | 4,880 | — |
81,500 CAD | 64,561 USD | Citi | 09/15/2021 | — | (763) |
161,000 CHF | 179,562 USD | Citi | 09/15/2021 | 1,627 | — |
91,500 CHF | 99,210 USD | Citi | 09/15/2021 | — | (1,915) |
450,500 DKK | 72,309 USD | Citi | 09/15/2021 | 414 | — |
64,000 DKK | 10,153 USD | Citi | 09/15/2021 | — | (60) |
874,002 EUR | 1,063,194 USD | Citi | 09/15/2021 | 25,505 | — |
37,500 EUR | 44,251 USD | Citi | 09/15/2021 | — | (272) |
62,500 GBP | 88,204 USD | Citi | 09/15/2021 | 1,320 | — |
167,500 HKD | 21,583 USD | Citi | 09/15/2021 | 26 | — |
13,986,000 JPY | 127,102 USD | Citi | 09/15/2021 | — | (429) |
269,500 NOK | 31,701 USD | Citi | 09/15/2021 | 1,193 | — |
167,000 NOK | 18,738 USD | Citi | 09/15/2021 | — | (167) |
4,000 NZD | 2,868 USD | Citi | 09/15/2021 | 82 | — |
2,004,500 SEK | 239,870 USD | Citi | 09/15/2021 | 6,935 | — |
127,502 SGD | 96,026 USD | Citi | 09/15/2021 | 1,930 | — |
407,834 USD | 526,500 AUD | Citi | 09/15/2021 | — | (21,376) |
1,237,541 USD | 1,496,002 CAD | Citi | 09/15/2021 | — | (38,459) |
143,405 USD | 130,000 CHF | Citi | 09/15/2021 | 269 | — |
1,261,460 USD | 1,129,008 CHF | Citi | 09/15/2021 | — | (13,694) |
635 USD | 4,000 DKK | Citi | 09/15/2021 | 4 | — |
503,065 USD | 3,061,000 DKK | Citi | 09/15/2021 | — | (14,560) |
154,990 USD | 131,500 EUR | Citi | 09/15/2021 | 1,138 | — |
2,525,551 USD | 2,067,005 EUR | Citi | 09/15/2021 | — | (71,426) |
892,678 USD | 630,004 GBP | Citi | 09/15/2021 | — | (16,877) |
187,716 USD | 1,457,000 HKD | Citi | 09/15/2021 | — | (209) |
1,334,999 USD | 145,377,000 JPY | Citi | 09/15/2021 | — | (9,384) |
255,365 USD | 2,116,002 NOK | Citi | 09/15/2021 | — | (15,829) |
15,197 USD | 21,000 NZD | Citi | 09/15/2021 | — | (569) |
156,471 USD | 1,360,000 SEK | Citi | 09/15/2021 | 1,569 | — |
325,948 USD | 2,707,500 SEK | Citi | 09/15/2021 | — | (11,320) |
1,098 USD | 1,500 SGD | Citi | 09/15/2021 | 9 | — |
64,003 USD | 85,002 SGD | Citi | 09/15/2021 | — | (1,273) |
7,500 ILS | 2,316 USD | Citi | 09/17/2021 | — | (5) |
33,250 USD | 108,001 ILS | Citi | 09/17/2021 | 172 | — |
38,500 AUD | 29,663 USD | JPMorgan | 09/15/2021 | 1,403 | — |
215,500 CAD | 177,608 USD | JPMorgan | 09/15/2021 | 4,879 | — |
81,500 CAD | 64,561 USD | JPMorgan | 09/15/2021 | — | (763) |
161,000 CHF | 179,562 USD | JPMorgan | 09/15/2021 | 1,626 | — |
91,500 CHF | 99,210 USD | JPMorgan | 09/15/2021 | — | (1,915) |
450,500 DKK | 72,309 USD | JPMorgan | 09/15/2021 | 413 | — |
64,000 DKK | 10,153 USD | JPMorgan | 09/15/2021 | — | (60) |
873,998 EUR | 1,063,188 USD | JPMorgan | 09/15/2021 | 25,503 | — |
37,500 EUR | 44,251 USD | JPMorgan | 09/15/2021 | — | (272) |
62,500 GBP | 88,204 USD | JPMorgan | 09/15/2021 | 1,320 | — |
167,500 HKD | 21,583 USD | JPMorgan | 09/15/2021 | 26 | — |
13,986,000 JPY | 127,101 USD | JPMorgan | 09/15/2021 | — | (429) |
269,500 NOK | 31,701 USD | JPMorgan | 09/15/2021 | 1,193 | — |
167,000 NOK | 18,738 USD | JPMorgan | 09/15/2021 | — | (167) |
4,000 NZD | 2,868 USD | JPMorgan | 09/15/2021 | 82 | — |
2,004,500 SEK | 239,870 USD | JPMorgan | 09/15/2021 | 6,934 | — |
127,498 SGD | 96,023 USD | JPMorgan | 09/15/2021 | 1,930 | — |
407,835 USD | 526,500 AUD | JPMorgan | 09/15/2021 | — | (21,377) |
1,237,539 USD | 1,495,998 CAD | JPMorgan | 09/15/2021 | — | (38,460) |
Multi-Manager Directional Alternative Strategies Fund | Quarterly Report 2021 | 17 |
Portfolio of Investments (continued)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
143,405 USD | 130,000 CHF | JPMorgan | 09/15/2021 | 269 | — |
1,261,444 USD | 1,128,992 CHF | JPMorgan | 09/15/2021 | — | (13,695) |
635 USD | 4,000 DKK | JPMorgan | 09/15/2021 | 4 | — |
503,066 USD | 3,061,000 DKK | JPMorgan | 09/15/2021 | — | (14,560) |
154,990 USD | 131,500 EUR | JPMorgan | 09/15/2021 | 1,138 | — |
2,525,541 USD | 2,066,995 EUR | JPMorgan | 09/15/2021 | — | (71,429) |
892,668 USD | 629,996 GBP | JPMorgan | 09/15/2021 | — | (16,877) |
187,716 USD | 1,457,000 HKD | JPMorgan | 09/15/2021 | — | (209) |
1,335,001 USD | 145,377,000 JPY | JPMorgan | 09/15/2021 | — | (9,385) |
255,365 USD | 2,115,998 NOK | JPMorgan | 09/15/2021 | — | (15,829) |
15,197 USD | 21,000 NZD | JPMorgan | 09/15/2021 | — | (569) |
156,472 USD | 1,360,000 SEK | JPMorgan | 09/15/2021 | 1,569 | — |
325,949 USD | 2,707,500 SEK | JPMorgan | 09/15/2021 | — | (11,320) |
1,098 USD | 1,500 SGD | JPMorgan | 09/15/2021 | 9 | — |
64,001 USD | 84,998 SGD | JPMorgan | 09/15/2021 | — | (1,273) |
7,500 ILS | 2,316 USD | JPMorgan | 09/17/2021 | — | (5) |
33,250 USD | 107,999 ILS | JPMorgan | 09/17/2021 | 172 | — |
Total | 96,946 | (437,181) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Amsterdam Index | 5 | 08/2021 | EUR | 751,240 | 15,434 | — |
CAC40 Index | 12 | 08/2021 | EUR | 793,140 | 9,631 | — |
DAX Index | 1 | 09/2021 | EUR | 388,725 | — | (5,619) |
FTSE 100 Index | 12 | 09/2021 | GBP | 835,980 | — | (18,032) |
FTSE/MIB Index | 2 | 09/2021 | EUR | 253,570 | — | (2,676) |
Hang Seng Index | 1 | 08/2021 | HKD | 1,294,850 | 3,499 | — |
IBEX 35 Index | 4 | 08/2021 | EUR | 346,988 | 394 | — |
MSCI Singapore Index | 3 | 08/2021 | SGD | 108,255 | 1,230 | — |
OMXS30 Index | 13 | 08/2021 | SEK | 3,081,325 | 3,381 | — |
S&P 500 Index E-mini | 98 | 09/2021 | USD | 21,508,550 | 723,655 | — |
S&P/TSX 60 Index | 6 | 09/2021 | CAD | 1,454,880 | 17,543 | — |
SPI 200 Index | 5 | 09/2021 | AUD | 912,500 | 1,183 | — |
TOPIX Index | 11 | 09/2021 | JPY | 209,550,000 | — | (52,776) |
Total | 775,950 | (79,103) |
18 | Multi-Manager Directional Alternative Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Total return swap contracts | ||||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Total return on a portfolio of long and short positions† | 1-Month AUD BBSW, 1-Month HKD HIBOR, or 1-Month JPY BBA LIBOR based on the local currencies of the positions within the swap | Monthly | JPMorgan | 02/07/2022 | USD | 55,783,032 | 4,591 | — | — | — | 4,591 | — |
1-Month USD LIBOR minus 1.642%†† | Total return on SillaJen, Inc. | Monthly | Macquarie | 12/21/2021 | USD | 34,564 | 25,422††† | (95) | — | — | 25,327 | — |
Total return on Samsung Electronics Co., Ltd. | 1-Month USD LIBOR plus 0.800% | Monthly | Macquarie | 12/21/2021 | USD | 19,641 | (97) | 59 | — | — | — | (38) |
Total return on Samsung Electronics Co., Ltd. | 1-Month USD LIBOR plus 0.800% | Monthly | Macquarie | 12/21/2021 | USD | 42,922 | (211) | 129 | — | — | — | (82) |
Total return on Samsung Electronics Co., Ltd. | 1-Month USD LIBOR plus 0.800% | Monthly | Macquarie | 12/21/2021 | USD | 230,747 | (1,137) | 695 | — | — | — | (442) |
1-Month USD LIBOR minus 3.000% | Total return on Advantech Ltd. | Monthly | Macquarie | 12/21/2021 | USD | 38,185 | (971) | (770) | — | — | — | (1,741) |
1-Month USD LIBOR minus 3.000% | Total return on Acer, Inc. | Monthly | Macquarie | 12/21/2021 | USD | 42,749 | (205) | (2,367) | — | — | — | (2,572) |
1-Month USD LIBOR minus 3.000% | Total return on Acer, Inc. | Monthly | Macquarie | 12/21/2021 | USD | 162,252 | (776) | (8,986) | — | — | — | (9,762) |
1-Month USD LIBOR minus 3.000% | Total return on Advantech Ltd. | Monthly | Macquarie | 12/21/2021 | USD | 254,568 | (6,474) | (5,133) | — | — | — | (11,607) |
Total return on a portfolio of long and short positions† | 1-Day Overnight Fed Funds Effective Rate, EONIA, or SONIA based on the local currencies of the positions within the swap | Monthly | Morgan Stanley International | 07/19/2023 | USD | 145,339,751 | 675,219 | — | — | — | 675,219 | — |
Total | 695,361 | (16,468) | — | — | 705,137 | (26,244) |
Multi-Manager Directional Alternative Strategies Fund | Quarterly Report 2021 | 19 |
Portfolio of Investments (continued)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
† | By investing in the total return swap contract, the Fund gains exposure to the underlying investments that make up the custom basket/index without having to own the underlying investments directly. The components of the custom basket/index are available on Multi-Manager Directional Alternative Strategies Fund’s page of columbiathreadneedleus.com website. |
†† | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At July 31, 2021, the total value of these securities amounted to $25,422, which represents 0.01% of total net assets. |
††† | Valuation based on significant unobservable inputs. |
Total return swap contracts on futures | ||||||||
Reference instrument* | Counterparty | Expiration date | Trading currency | Notional amount long(short) | Upfront payments ($) | Upfront receipts ($) | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Swiss Market Index Sep 21 | Citi | 09/2021 | CHF | 121,000 | — | — | 2,092 | — |
Hang Seng Index Aug 21 | JPMorgan | 08/2021 | HKD | 1,294,850 | — | — | 4,413 | — |
Swiss Market Index Sep 21 | Morgan Stanley International | 09/2021 | CHF | 968,000 | — | — | 7,624 | — |
Total | — | — | 14,129 | — |
* | If the notional amount of the swap contract is long and the swap contract’s value is positive (negative), the Fund will receive (pay) the total return. If the notional amount of the swap contract is short and the swap contract’s value is positive (negative), the Fund will pay (receive) the total return. Receipts and payments occur upon termination of the contract. |
Reference index and values for swap contracts as of period end | ||
Reference index | Reference rate | |
1-Day Overnight Fed Funds Effective Rate | Overnight Federal Funds Effective Rate | 0.100% |
1-Month HKD HIBOR | Hong Kong Interbank Offered Rate | 0.083% |
1-Month USD LIBOR | London Interbank Offered Rate | 0.091% |
EONIA | Euro Overnight Index Average | (0.486%) |
SONIA | Sterling Overnight Index Average | 0.051% |
1-Month AUD BBSW | Bank Bill Swap Rate | 0.008% |
1-Month JPY BBA LIBOR | London Interbank Offered Rate | (0.064%) |
Notes to Portfolio of Investments
(a) | Non-income producing investment. |
(b) | This security or a portion of this security has been pledged as collateral in connection with investments sold short. |
(c) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At July 31, 2021, the total value of these securities amounted to $814,175, which represents 0.32% of total net assets. |
(d) | The rate shown is the seven-day current annualized yield at July 31, 2021. |
(e) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended July 31, 2021 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.053% | ||||||||
22,000,966 | 59,768,984 | (54,915,156) | 1 | 26,854,795 | — | 2,677 | 26,857,480 |
Abbreviation Legend
ADR | American Depositary Receipt |
SDR | Swedish Depositary Receipt |
20 | Multi-Manager Directional Alternative Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Multi-Manager Directional Alternative Strategies Fund, July 31, 2021 (Unaudited)
Currency Legend
AUD | Australian Dollar |
CAD | Canada Dollar |
CHF | Swiss Franc |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
ILS | Israeli Shekel |
JPY | Japanese Yen |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | US Dollar |
Investments are valued using policies described in the Notes to Financial Statements in the most recent shareholder report.
Multi-Manager Directional Alternative Strategies Fund | Quarterly Report 2021 | 21 |
You may at any time request, free of charge, to receive a paper copy of this report by calling 800.345.6611.
1QT284_04_L01_(09/21)