SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Large Cap Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Large Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Large Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Large Cap Fund (Concluded)
A list of the open futures contracts held by the Fund at June 30, 2023, is as follows:
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation (Thousands) |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
S&P 500 Index E-MINI |
30 | Sep-2023 | $ | 6,636 | $ | 6,732 | $ | 96 | ||||||||||||
S&P Mid Cap 400 Index E-MINI |
3 | Sep-2023 | 788 | 793 | 5 | |||||||||||||||
$ | 7,424 | $ | 7,525 | $ | 101 |
|
Percentages are based on Net Assets of $1,740,715 ($ Thousands). |
* |
Non-income producing security. |
** |
The rate reported is the 7-day effective yield as of June 30, 2023. |
† |
Investment in Affiliated Security. |
‡ |
Real Estate Investment Trust. |
The following is a summary of the transactions with affiliates for the period ended June 30, 2023 ($ Thousands):
Security Description |
Value 9/30/2022 |
Purchases at Cost |
Proceeds from Sales |
Realized Gain/ (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value 6/30/2023 |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | 1,266 | $ | 30,662 | $ | (31,915 | ) | $ | (7 | ) | $ | (6 | ) | $ | — | $ | 25 | $ | — | |||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class |
15,252 | 268,081 | (270,379 | ) | — | — | 12,954 | 472 | — | |||||||||||||||||||||||
Totals |
$ | 16,518 | $ | 298,743 | $ | (302,294 | ) | $ | (7 | ) | $ | (6 | ) | $ | 12,954 | $ | 497 | $ | — |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Large Cap Value Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Large Cap Value Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Large Cap Value Fund (Concluded)
A list of the open futures contracts held by the Fund at June 30, 2023, is as follows:
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation (Thousands) |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
S&P 500 Index E-MINI |
44 | Sep-2023 | $ | 9,667 | $ | 9,874 | $ | 207 | ||||||||||||
S&P Mid Cap 400 Index E-MINI |
28 | Sep-2023 | 7,183 | 7,404 | 221 | |||||||||||||||
$ | 16,850 | $ | 17,278 | $ | 428 |
|
Percentages are based on Net Assets of $1,326,593 ($ Thousands). |
* |
Non-income producing security. |
** |
The rate reported is the 7-day effective yield as of June 30, 2023. |
‡ |
Real Estate Investment Trust. |
† |
Investment in Affiliated Security. |
(A) |
This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of June 30, 2023 was $10 ($ Thousands). |
The following is a summary of the transactions with affiliates for the period ended June 30, 2023 ($ Thousands):
Security Description |
Value 9/30/2022 |
Purchases at Cost |
Proceeds from Sales |
Realized Gain/ (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value 6/30/2023 |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | 15,770 | $ | 62,753 | $ | (78,517 | ) | $ | 6 | $ | (2 | ) | $ | 10 | $ | 52 | $ | 2 | ||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class |
16,000 | 209,091 | (203,567 | ) | — | — | 21,524 | 384 | — | |||||||||||||||||||||||
Totals |
$ | 31,770 | $ | 271,844 | $ | (282,084 | ) | $ | 6 | $ | (2 | ) | $ | 21,534 | $ | 436 | $ | 2 |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Large Cap Growth Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Large Cap Growth Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Large Cap Growth Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Large Cap Growth Fund (Continued)
A list of the open futures contracts held by the Fund at June 30, 2023, is as follows:
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation (Thousands) |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
S&P 500 Index E-MINI |
45 | Sep-2023 | $ | 9,973 | $ | 10,099 | $ | 126 | ||||||||||||
A list of the open OTC swap agreements held by the Fund at June 30, 2023, is as follows:
Total Return Swap |
||||||||||||||||||||||||||||||||||||||||
Counterparty |
Reference Entity/ Obligation |
Fund Pays |
Fund Receives |
Payment Frequency |
Termination Date |
Currency |
Notional |
Value |
Upfront Payments/ |
Net Unrealized |
||||||||||||||||||||||||||||||
Bank of America Merrill Lynch
|
United States Custom Basket of Securities |
1 Month + 0.15 | % | Asset Returns | Annually | 02/28/2024 | USD | 91,216 | $ | 821 | $ | – | $ | 821 | ||||||||||||||||||||||||||
$ | 821 | $ | – | $ | 821 |
The following table represents the top 50 individual stock exposures or those exceeding 1% of the Custom Basket Total Return Swap as of June 30, 2023:
United States Custom Basket of Long Securities
Shares |
Description |
Notional Amount (Thousands) |
Value (Thousands) |
Percentage of Basket | ||||||||||||
6,654 | LAM RESEARCH CORP REGISTERED SHS |
$ | 4,051 | $ | 4,278 | 4.4 | % | |||||||||
15,913 | WORKDAY INC SHS -A- |
3,522 | 3,595 | 3.9 | % | |||||||||||
14,669 | VERISK ANALYTICS INC REGISTERED SHS |
3,296 | 3,316 | 3.6 | % | |||||||||||
19,865 | CLOROX CO REGISTERED SHS |
3,113 | 3,159 | 3.4 | % | |||||||||||
13,756 | EQUIFAX INC REGISTERED SHS |
3,088 | 3,237 | 3.4 | % | |||||||||||
18,857 | ATLASSIAN CORP REGISTERED SHS -A- |
3,083 | 3,164 | 3.4 | % | |||||||||||
14,878 | BOEING CO REGISTERED SHS |
3,045 | 3,142 | 3.3 | % | |||||||||||
25,181 | AGILENT TECHNOLOGIES INC REGISTERED SHS |
3,000 | 3,028 | 3.3 | % | |||||||||||
29,405 | SPLUNK INC REGISTERED SHS |
2,985 | 3,120 | 3.3 | % | |||||||||||
27,678 | EXPEDIA GROUP INC REGISTERED SHS |
2,897 | 3,028 | 3.2 | % | |||||||||||
7,155 | UNITED RENTALS INC REGISTERED SHS |
2,888 | 3,187 | 3.2 | % | |||||||||||
26,721 | SIMON PROPERTY GROUP INC REGISTERED SHS |
2,877 | 3,086 | 3.2 | % | |||||||||||
84,919 | INTEL CORP REGISTERED SHS |
2,798 | 2,840 | 3.1 | % | |||||||||||
22,896 | LENNAR CORP REGISTERED SHS -A- |
2,789 | 2,869 | 3.1 | % | |||||||||||
36,525 | PULTEGROUP INC REGISTERED SHS |
2,783 | 2,837 | 3.1 | % | |||||||||||
25,097 | INTERCONTINENTAL EXCHANGE INC REGISTERED SHS |
2,782 | 2,838 | 3.0 | % | |||||||||||
77,600 | PURE STORAGE INC REGISTERED SHS -A- |
2,780 | 2,857 | 3.0 | % | |||||||||||
84,997 | SYNCHRONY FINANCIAL REGISTERED SHS |
2,778 | 2,883 | 3.0 | % | |||||||||||
28,310 | ROYAL CARIBBEAN CRUISES LTD (DOING BUSINESS AS ROY |
2,770 | 2,937 | 3.0 | % | |||||||||||
15,872 | TRAVELERS COMPANIES INC REGISTERED SHS |
2,762 | 2,756 | 3.0 | % | |||||||||||
25,720 | ALLSTATE CORP REGISTERED SHS |
2,761 | 2,805 | 3.0 | % | |||||||||||
38,959 | SOUTHERN CO REGISTERED SHS |
2,756 | 2,737 | 3.0 | % | |||||||||||
52,360 | UNITED AIRLINES HOLDINGS INC REGISTERED SHS |
2,747 | 2,873 | 3.0 | % | |||||||||||
59,570 | CITIGROUP INC REGISTERED SHS |
2,745 | 2,743 | 3.0 | % | |||||||||||
8,692 | GOLDMAN SACHS GROUP INC REGISTERED SHS |
2,741 | 2,804 | 3.0 | % | |||||||||||
290,556 | KEYCORP REGISTERED SHS |
2,735 | 2,685 | 3.0 | % | |||||||||||
15,016 | AVALONBAY COMMUNITIES INC REGISTERED SHS |
2,733 | 2,842 | 3.0 | % | |||||||||||
39,950 | EDISON INTERNATIONAL REGISTERED SHS |
2,723 | 2,775 | 3.0 | % | |||||||||||
7,723 | EVEREST RE GROUP LTD REGISTERED SHS |
2,680 | 2,640 | 2.9 | % | |||||||||||
59,758 | VENTAS INC REGISTERED SHS |
2,665 | 2,825 | 2.9 | % | |||||||||||
36,396 | GODADDY INC REGISTERED SHS -A- |
2,637 | 2,734 | 2.9 | % | |||||||||||
28,367 | CARDINAL HEALTH INC REGISTERED SHS |
2,613 | 2,683 | 2.9 | % | |||||||||||
79,011 | INVITATION HOMES INC REGISTERED SHS |
2,596 | 2,718 | 2.8 | % | |||||||||||
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Large Cap Growth Fund (Continued)
Shares |
Description |
Notional Amount (Thousands) |
Value (Thousands) |
Percentage of Basket | ||||||||||||
39,881 | TEXTRON INC REGISTERED SHS |
$ | 2,588 | $ | 2,697 | 2.8 | % | |||||||||
59,375 | UBER TECHNOLOGIES INC REGISTERED SHS |
2,579 | 2,563 | 2.8 | % | |||||||||||
109,033 | UNITED STATES STEEL CORP REGISTERED SHS |
2,554 | 2,727 | 2.8 | % | |||||||||||
100,873 | VISTRA CORP REGISTERED SHS |
2,539 | 2,648 | 2.8 | % | |||||||||||
95,871 | DROPBOX INC REGISTERED SHS -A- |
2,531 | 2,557 | 2.8 | % | |||||||||||
36,135 | CVS HEALTH CORP REGISTERED SHS |
2,515 | 2,498 | 2.8 | % | |||||||||||
27,870 | COPART INC REGISTERED SHS |
2,491 | 2,542 | 2.7 | % | |||||||||||
19,075 | AGCO CORP REGISTERED SHS |
2,481 | 2,507 | 2.7 | % | |||||||||||
39,094 | ELASTIC N.V. BEARER AND REGISTERED SHARES |
2,433 | 2,507 | 2.7 | % | |||||||||||
70,562 | AMERICAN HOMES 4 RENT REGISTERED SHS -A- |
2,391 | 2,501 | 2.6 | % | |||||||||||
36,289 | MICRON TECHNOLOGY INC REGISTERED SHS |
2,372 | 2,290 | 2.6 | % | |||||||||||
23,593 | MOHAWK INDUSTRIES INC REGISTERED SHS |
2,310 | 2,434 | 2.5 | % | |||||||||||
22,038 | WYNN RESORTS LTD REGISTERED SHS |
2,300 | 2,327 | 2.5 | % | |||||||||||
53,963 | US FOODS HOLDING CORP REGISTERED SHS |
2,271 | 2,374 | 2.5 | % | |||||||||||
29,103 | TOLL BROTHERS INC REGISTERED SHS |
2,211 | 2,301 | 2.4 | % | |||||||||||
215,991 | VIATRIS INC REGISTERED SHS |
2,118 | 2,156 | 2.3 | % | |||||||||||
43,029 | NVENT ELECTRIC PLC REGISTERED SHS |
2,073 | 2,223 | 2.3 | % | |||||||||||
14,949 | LEAR CORP REGISTERED SHS |
2,040 | 2,146 | 2.2 | % | |||||||||||
9,213 | ESSEX PROPERTY TRUST REGISTERED SHS |
2,033 | 2,159 | 2.2 | % | |||||||||||
118,630 | PG&E CORPORATION REGISTERED SHS |
2,017 | 2,050 | 2.2 | % | |||||||||||
52,268 | DENTSPLY SIRONA INC REGISTERED SHS |
2,013 | 2,092 | 2.2 | % | |||||||||||
17,905 | ELF BEAUTY INC REGISTERED SHS |
1,956 | 2,045 | 2.1 | % | |||||||||||
91,553 | ANTERO RESOURCES CORPORATION REGISTERED SHS |
1,950 | 2,108 | 2.1 | % | |||||||||||
102,433 | NEWS CORP REGISTERED SHS -A- |
1,926 | 1,997 | 2.1 | % | |||||||||||
69,825 | NUTANIX INC REGISTERED SHS -A- |
1,913 | 1,959 | 2.1 | % | |||||||||||
35,562 | ALLISON TRANSMISSION HOLDINGS INC REGISTERED SHS |
1,912 | 2,008 | 2.1 | % | |||||||||||
2,995 | CABLE ONE INC REGISTERED SHS |
1,903 | 1,968 | 2.1 | % | |||||||||||
76,454 | OLD REPUBLIC INTERNATIONAL CORP REGISTERED SHS |
1,861 | 1,924 | 2.0 | % | |||||||||||
93,274 | NORWEGIAN CRUISE LINE HOLDINGS LTD REGISTERED SHS |
1,807 | 2,031 | 2.0 | % | |||||||||||
41,422 | SMARTSHEET INC REGISTERED SHS -A- |
1,581 | 1,585 | 1.7 | % | |||||||||||
24,455 | INCYTE CORP REGISTERED SHS |
1,524 | 1,522 | 1.7 | % | |||||||||||
24,519 | IRIDIUM COMMUNICATIONS INC REGISTERED SHS |
1,517 | 1,523 | 1.7 | % | |||||||||||
34,620 | EBAY INC REGISTERED SHS |
1,505 | 1,547 | 1.6 | % | |||||||||||
93,922 | CARNIVAL CORPORATION SHS |
1,486 | 1,769 | 1.6 | % | |||||||||||
7,878 | SNOWFLAKE INC REGISTERED SHS -A- |
1,410 | 1,386 | 1.5 | % | |||||||||||
78,840 | LIBERTY GLOBAL PLC REGISTERED SHS -C- |
1,380 | 1,401 | 1.5 | % | |||||||||||
9,083 | ZSCALER INC REGISTERED SHS |
1,299 | 1,329 | 1.4 | % | |||||||||||
54,609 | VERTIV HOLDINGS CO REGISTERED SHS -A- |
1,286 | 1,353 | 1.4 | % | |||||||||||
5,523 | UNITED THERAPEUTICS CORP REGISTERED SHS |
1,234 | 1,219 | 1.4 | % | |||||||||||
59,550 | EXELIXIS INC REGISTERED SHS |
1,183 | 1,138 | 1.3 | % | |||||||||||
17,273 | PAYPAL HOLDINGS INC REGISTERED SHS |
1,159 | 1,153 | 1.3 | % | |||||||||||
1,519 | WW GRAINGER INC REGISTERED SHS |
1,121 | 1,198 | 1.2 | % | |||||||||||
22,273 | DOCUSIGN INC REGISTERED SHS |
1,117 | 1,138 | 1.2 | % | |||||||||||
33,305 | AMERICOLD REALTY TRUST INC REGISTERED SHS |
1,035 | 1,076 | 1.1 | % | |||||||||||
15,323 | CENTENE CORP REGISTERED SHS |
1,019 | 1,034 | 1.1 | % | |||||||||||
8,388 | FISERV INC REGISTERED SHS |
1,010 | 1,058 | 1.1 | % | |||||||||||
172,125 | ADT INC REGISTERED SHS |
1,010 | 1,038 | 1.1 | % | |||||||||||
27,004 | THE KRAFT HEINZ COMPANY REGISTERED SHS |
972 | 959 | 1.1 | % | |||||||||||
170,570 | SOUTHWESTERN ENERGY CO REGISTERED SHS |
940 | 1,025 | 1.0 | % | |||||||||||
27,988 | ALKERMES PLC REGISTERED SHS |
934 | 876 | 1.0 | % | |||||||||||
60,475 | TECHNIPFMC PLC REGISTERED SHS |
895 | 1,005 | 1.0 | % | |||||||||||
2,276 | MONGODB INC REGISTERED SHS -A- |
889 | 935 | 1.0 | % | |||||||||||
2,558 | INTUITIVE SURGICAL INC REGISTERED SHS |
837 | 875 | 0.9 | % |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Large Cap Growth Fund (Continued)
Shares |
Description |
Notional Amount (Thousands) |
Value (Thousands) |
Percentage of Basket | ||||||||||||
70,229 | PLAYTIKA HOLDING CORP REGISTERED SHS |
$ | 813 | $ | 815 | 0.9 | % | |||||||||
33,273 | ZOOMINFO TECHNOLOGIES INC REGISTERED SHS -A- |
796 | 845 | 0.9 | % | |||||||||||
8,594 | ETSY INC REGISTERED SHS |
771 | 727 | 0.8 | % | |||||||||||
27,857 | PINTEREST INC REGISTERED SHS -A- |
734 | 762 | 0.8 | % | |||||||||||
6,091 | D.R. HORTON INC REGISTERED SHS |
732 | 741 | 0.8 | % | |||||||||||
43,463 | AMERICAN AIRLINES GROUP INC REGISTERED SHS |
704 | 780 | 0.8 | % | |||||||||||
15,037 | ZILLOW GROUP INC REGISTERED SHS -A- |
704 | 740 | 0.8 | % | |||||||||||
6,670 | GENERAL ELECTRIC CO REGISTERED SHS |
692 | 733 | 0.8 | % | |||||||||||
2,065 | ALIGN TECHNOLOGY INC REGISTERED SHS |
678 | 730 | 0.7 | % | |||||||||||
5,912 | SAREPTA THERAPEUTICS INC REGISTERED SHS |
670 | 677 | 0.7 | % | |||||||||||
2,068 | SHOCKWAVE MEDICAL INC REGISTERED SHS |
610 | 590 | 0.7 | % | |||||||||||
3,312 | EAGLE MATERIALS INC REGISTERED SHS |
579 | 617 | 0.6 | % | |||||||||||
3,764 | NUCOR CORP REGISTERED SHS |
579 | 617 | 0.6 | % | |||||||||||
2,614 | VERISIGN INC REGISTERED SHS |
578 | 591 | 0.6 | % | |||||||||||
2,311 | VULCAN MATERIALS CO (HOLDING CO) REGISTERED SHS |
494 | 521 | 0.5 | % | |||||||||||
43,513 | FIRST HORIZON CORPORATION REGISTERED SHS |
479 | 490 | 0.5 | % | |||||||||||
5,022 | APELLIS PHARMACEUTICALS INC REGISTERED SHS |
431 | 458 | 0.5 | % | |||||||||||
4,596 | OKTA INC REGISTERED SHS -A- |
320 | 319 | 0.4 | % | |||||||||||
1,850 | WESCO INTERNATIONAL INC REGISTERED SHS |
310 | 331 | 0.3 | % | |||||||||||
7,468 | CHEWY INC REGISTERED SHS -A- |
292 | 295 | 0.3 | % | |||||||||||
22,150 | COTY INC REGISTERED SHS -A- |
271 | 272 | 0.3 | % | |||||||||||
2,676 | NEUROCRINE BIOSCIENCES INC REGISTERED SHS |
259 | 252 | 0.3 | % | |||||||||||
340 | EQUINIX INC REGISTERED SHS |
254 | 267 | 0.3 | % | |||||||||||
3,719 | FIDELITY NATIONAL INFORMATION SERVICES INC REGISTE |
197 | 203 | 0.2 | % | |||||||||||
5,782 | ALCOA CORP REGISTERED SHS |
190 | 196 | 0.2 | % | |||||||||||
6,893 | CITIZENS FINANCIAL GROUP INC REGISTERED SHS |
176 | 180 | 0.2 | % | |||||||||||
780 | ECOLAB INC REGISTERED SHS |
139 | 146 | 0.2 | % |
The following table represents the individual stock exposures comprising the Net Short Custom Basket Total Return Swap as of June 30, 2023:
United States Custom Basket of Short Securities
Shares |
Description |
Notional Amount (Thousands) |
Value (Thousands) |
Percentage of Basket | ||||||||||||
(17,283 | ) | CELANESE CORP REGISTERED SHS |
$ | (1,880 | ) | $ | (2,001 | ) | -2.1 | % | ||||||
(21,237 | ) | STANLEY BLACK & DECKER INC REGISTERED SHS |
(1,859 | ) | (1,990 | ) | -2.0 | % | ||||||||
(4,008 | ) | ROPER TECHNOLOGIES INC REGISTERED SHS |
(1,853 | ) | (1,927 | ) | -2.0 | % | ||||||||
(23,708 | ) | PACCAR INC REGISTERED SHS |
(1,851 | ) | (1,983 | ) | -2.0 | % | ||||||||
(5,496 | ) | BERKSHIRE HATHAWAY INC REGISTERED SHS -B- |
(1,844 | ) | (1,874 | ) | -2.0 | % | ||||||||
(15,002 | ) | PNC FINANCIAL SERVICES GROUP INC REGISTERED SHS |
(1,843 | ) | (1,890 | ) | -2.0 | % | ||||||||
(15,346 | ) | WILLIAMS-SONOMA INC REGISTERED SHS |
(1,841 | ) | (1,920 | ) | -2.0 | % | ||||||||
(31,138 | ) | REALTY INCOME CORP REGISTERED SHS |
(1,834 | ) | (1,862 | ) | -2.0 | % | ||||||||
(17,927 | ) | EXXON MOBIL CORP REGISTERED SHS |
(1,832 | ) | (1,923 | ) | -2.0 | % | ||||||||
(18,840 | ) | RAYMOND JAMES FINANCIAL INC REGISTERED SHS |
(1,832 | ) | (1,955 | ) | -2.0 | % | ||||||||
(107,978 | ) | REGIONS FINANCIAL CORP REGISTERED SHS |
(1,824 | ) | (1,924 | ) | -2.0 | % | ||||||||
(17,564 | ) | ENTEGRIS INC REGISTERED SHS |
(1,820 | ) | (1,946 | ) | -2.0 | % | ||||||||
(59,013 | ) | INTERNATIONAL PAPER CO REGISTERED SHS |
(1,803 | ) | (1,877 | ) | -2.0 | % | ||||||||
(97,772 | ) | VF CORP REGISTERED SHS |
(1,788 | ) | (1,866 | ) | -2.0 | % | ||||||||
(6,771 | ) | MARKETAXESS HOLDING INC REGISTERED SHS |
(1,785 | ) | (1,770 | ) | -2.0 | % | ||||||||
(5,606 | ) | SAIA INC REGISTERED SHS |
(1,760 | ) | (1,920 | ) | -1.9 | % | ||||||||
(14,580 | ) | RALPH LAUREN CORP REGISTERED SHS -A- |
(1,749 | ) | (1,798 | ) | -1.9 | % | ||||||||
(4,382 | ) | TYLER TECHNOLOGIES INC REGISTERED SHS |
(1,748 | ) | (1,825 | ) | -1.9 | % | ||||||||
(29,201 | ) | HASBRO INC REGISTERED SHS |
(1,746 | ) | (1,891 | ) | -1.9 | % | ||||||||
(24,369 | ) | NORTHERN TRUST CORP REGISTERED SHS |
(1,741 | ) | (1,807 | ) | -1.9 | % | ||||||||
(32,934 | ) | BOSTON PROPERTIES INC REGISTERED SHS |
(1,699 | ) | (1,897 | ) | -1.9 | % |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Large Cap Growth Fund (Continued)
Shares |
Description |
Notional Amount (Thousands) |
Value (Thousands) |
Percentage of Basket | ||||||||||||
(13,016 | ) | PACKAGING CORP OF AMERICA REGISTERED SHS |
$ | (1,682 | ) | $ | (1,720 | ) | -1.8 | % | ||||||
(70,390 | ) | LINCOLN NATIONAL CORP REGISTERED SHS |
(1,673 | ) | (1,813 | ) | -1.8 | % | ||||||||
(168,567 | ) | AMCOR PLC REGISTERED SHS |
(1,665 | ) | (1,682 | ) | -1.8 | % | ||||||||
(11,025 | ) | CHART INDUSTRIES INC REGISTERED SHS |
(1,640 | ) | (1,762 | ) | -1.8 | % | ||||||||
(13,029 | ) | SUN COMMUNITIES INC REGISTERED SHS |
(1,640 | ) | (1,700 | ) | -1.8 | % | ||||||||
(24,311 | ) | W.P. CAREY INC REGISTERED SHS |
(1,615 | ) | (1,642 | ) | -1.8 | % | ||||||||
(7,025 | ) | MEDPACE HOLDINGS INC REGISTERED SHS |
(1,575 | ) | (1,687 | ) | -1.7 | % | ||||||||
(10,469 | ) | AMERICAN WATER WORKS CO INC REGISTERED SHS |
(1,537 | ) | (1,494 | ) | -1.7 | % | ||||||||
(14,607 | ) | CULLEN/FROST BANKERS INC REGISTERED SHS |
(1,517 | ) | (1,571 | ) | -1.7 | % | ||||||||
(7,179 | ) | STERIS PLC REGISTERED SHS |
(1,513 | ) | (1,615 | ) | -1.7 | % | ||||||||
(50,987 | ) | HP INC REGISTERED SHS |
(1,509 | ) | (1,566 | ) | -1.7 | % | ||||||||
(81,677 | ) | STARWOOD PROPERTY TRUST INC REGISTERED SHS OF BENE |
(1,508 | ) | (1,585 | ) | -1.7 | % | ||||||||
(162,632 | ) | PLUG POWER INC REGISTERED SHS |
(1,499 | ) | (1,690 | ) | -1.6 | % | ||||||||
(24,597 | ) | TREX COMPANY INC REGISTERED SHS |
(1,490 | ) | (1,613 | ) | -1.6 | % | ||||||||
(40,046 | ) | NOBLE CORPORATION PLC REGISTERED SHS -A- |
(1,465 | ) | (1,654 | ) | -1.6 | % | ||||||||
(22,373 | ) | AGREE REALTY CORP REGISTERED SHS |
(1,456 | ) | (1,463 | ) | -1.6 | % | ||||||||
(35,555 | ) | ESSENTIAL UTILITIES INC REGISTERED SHS |
(1,431 | ) | (1,419 | ) | -1.6 | % | ||||||||
(3,950 | ) | KINSALE CAPITAL GROUP INC REGISTERED SHS |
(1,420 | ) | (1,478 | ) | -1.6 | % | ||||||||
(6,836 | ) | CHARLES RIVER LABORATORIES INTERNATIONAL INC REGIS |
(1,417 | ) | (1,437 | ) | -1.6 | % | ||||||||
(50,119 | ) | SPIRIT AEROSYSTEMS HOLDINGS INC SHS -A- |
(1,382 | ) | (1,463 | ) | -1.5 | % | ||||||||
(10,764 | ) | GENERAC HOLDINGS INC REGISTERED SHS |
(1,376 | ) | (1,605 | ) | -1.5 | % | ||||||||
(7,350 | ) | FIRST SOLAR INC REGISTERED SHS |
(1,363 | ) | (1,397 | ) | -1.5 | % | ||||||||
(21,678 | ) | IAC INC REGISTERED SHS |
(1,325 | ) | (1,361 | ) | -1.5 | % | ||||||||
(8,121 | ) | ASPEN TECHNOLOGY INC REGISTERED SHS |
(1,323 | ) | (1,361 | ) | -1.5 | % | ||||||||
(23,697 | ) | PROSPERITY BANCSHARES INC REGISTERED SHS |
(1,316 | ) | (1,338 | ) | -1.4 | % | ||||||||
(6,265 | ) | RBC BEARINGS INC REGISTERED SHS |
(1,309 | ) | (1,362 | ) | -1.4 | % | ||||||||
(36,683 | ) | NRG ENERGY INC REGISTERED SHS |
(1,277 | ) | (1,372 | ) | -1.4 | % | ||||||||
(7,752 | ) | JACK HENRY & ASSOCIATES INC REGISTERED SHS |
(1,262 | ) | (1,297 | ) | -1.4 | % | ||||||||
(12,200 | ) | WORKIVA INC REGISTERED SHS -A- |
(1,232 | ) | (1,240 | ) | -1.4 | % | ||||||||
(5,976 | ) | LANCASTER COLONY CORP REGISTERED SHS |
(1,192 | ) | (1,202 | ) | -1.3 | % | ||||||||
(6,798 | ) | GLOBANT S.A. REGISTERED SHS |
(1,190 | ) | (1,222 | ) | -1.3 | % | ||||||||
(25,060 | ) | COMMERCE BANCSHARES INC REGISTERED SHS |
(1,148 | ) | (1,220 | ) | -1.3 | % | ||||||||
(29,152 | ) | SPIRIT REALTY CAPITAL INC REGISTERED SHS |
(1,114 | ) | (1,148 | ) | -1.2 | % | ||||||||
(69,822 | ) | PARAMOUNT GLOBAL REGISTERED SHS -B- |
(1,075 | ) | (1,111 | ) | -1.2 | % | ||||||||
(41,975 | ) | FIFTH THIRD BANCORP REGISTERED SHS |
(1,070 | ) | (1,100 | ) | -1.2 | % | ||||||||
(5,341 | ) | PIONEER NATURAL RESOURCES COMPANY REGISTERED SHS |
(1,061 | ) | (1,107 | ) | -1.2 | % | ||||||||
(21,181 | ) | WOLFSPEED INC REGISTERED SHS |
(1,051 | ) | (1,177 | ) | -1.2 | % | ||||||||
(5,451 | ) | PRIMERICA INC REGISTERED SHS |
(1,033 | ) | (1,078 | ) | -1.1 | % | ||||||||
(6,941 | ) | CHORD ENERGY CORPORATION REGISTERED SHS |
(1,023 | ) | (1,068 | ) | -1.1 | % | ||||||||
(4,822 | ) | ERIE INDEMNITY CO SHS -A- |
(1,018 | ) | (1,013 | ) | -1.1 | % | ||||||||
(5,224 | ) | SPS COMMERCE INC REGISTERED SHS |
(955 | ) | (1,003 | ) | -1.0 | % | ||||||||
(2,822 | ) | DOMINO'S PIZZA INC REGISTERED SHS |
(897 | ) | (951 | ) | -1.0 | % | ||||||||
(5,655 | ) | SPOTIFY TECHNOLOGY S.A. REGISTERED SHS |
(889 | ) | (908 | ) | -1.0 | % | ||||||||
(10,510 | ) | BOK FINANCIAL CORP REGISTERED SHS |
(853 | ) | (849 | ) | -0.9 | % | ||||||||
(2,920 | ) | RH REGISTERED SHS |
(849 | ) | (962 | ) | -0.9 | % | ||||||||
(17,791 | ) | COHERENT CORP REGISTERED SHS |
(827 | ) | (907 | ) | -0.9 | % | ||||||||
(4,814 | ) | MSA SAFETY INC REGISTERED SHS |
(781 | ) | (837 | ) | -0.9 | % | ||||||||
(3,388 | ) | KARUNA THERAPEUTICS INC REGISTERED SHS |
(775 | ) | (735 | ) | -0.8 | % | ||||||||
(4,833 | ) | BROADRIDGE FINANCIAL SOLUTIONS INC REGISTERED SHS |
(764 | ) | (800 | ) | -0.8 | % | ||||||||
(6,680 | ) | ROYAL GOLD INC REGISTERED SHS |
(762 | ) | (767 | ) | -0.8 | % | ||||||||
(13,209 | ) | WAYFAIR INC REGISTERED SHS -A- |
(762 | ) | (859 | ) | -0.8 | % | ||||||||
(40,025 | ) | HERTZ GLOBAL HOLDINGS INC REGISTERED SHS |
(699 | ) | (736 | ) | -0.8 | % | ||||||||
(3,308 | ) | FIVE BELOW INC REGISTERED SHS |
(658 | ) | (650 | ) | -0.7 | % |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Large Cap Growth Fund (Concluded)
Shares |
Description |
Notional Amount (Thousands) |
Value (Thousands) |
Percentage of Basket | ||||||||||||
(3,999 | ) | CELSIUS HOLDINGS INC REGISTERED SHS |
$ | (605 | ) | $ | (597 | ) | -0.7 | % | ||||||
(9,292 | ) | SHIFT4 PAYMENTS INC REGISTERED SHS -A- |
(572 | ) | (631 | ) | -0.6 | % | ||||||||
(2,116 | ) | ZEBRA TECHNOLOGIES CORP SHS -A- |
(560 | ) | (626 | ) | -0.6 | % | ||||||||
(4,849 | ) | TEXAS ROADHOUSE INC REGISTERED SHS |
(530 | ) | (544 | ) | -0.6 | % | ||||||||
(4,226 | ) | CONOCOPHILLIPS REGISTERED SHS |
(428 | ) | (438 | ) | -0.5 | % | ||||||||
(11,948 | ) | CEREVEL THERAPEUTICS HOLDINGS INC REGISTERED SHS |
(387 | ) | (380 | ) | -0.4 | % | ||||||||
(6,666 | ) | CORTEVA INC REGISTERED SHS |
(382 | ) | (382 | ) | -0.4 | % | ||||||||
(5,256 | ) | ROBERT HALF INTERNATIONAL INC REGISTERED SHS |
(378 | ) | (395 | ) | -0.4 | % | ||||||||
(34,841 | ) | CCC INTELLIGENT SOLUTIONS HOLDINGS INC REGISTERED |
(377 | ) | (391 | ) | -0.4 | % | ||||||||
(9,499 | ) | CNA FINANCIAL CORP REGISTERED SHS |
(370 | ) | (367 | ) | -0.4 | % | ||||||||
(22,861 | ) | AT&T INC REGISTERED SHS |
(355 | ) | (365 | ) | -0.4 | % | ||||||||
(1,205 | ) | SOLAREDGE TECHNOLOGIES INC REGISTERED SHS |
(292 | ) | (324 | ) | -0.3 | % | ||||||||
(4,568 | ) | BERRY GLOBAL GROUP INC REGISTERED SHS |
(284 | ) | (294 | ) | -0.3 | % | ||||||||
(2,802 | ) | OMNICOM GROUP INC REGISTERED SHS |
(262 | ) | (267 | ) | -0.3 | % | ||||||||
(1,530 | ) | BURLINGTON STORES INC REGISTERED SHS |
(243 | ) | (241 | ) | -0.3 | % | ||||||||
(872 | ) | ICON PLC REGISTERED SHS |
(218 | ) | (218 | ) | -0.2 | % | ||||||||
(2,636 | ) | TWILIO INC SHS -A- |
(169 | ) | (168 | ) | -0.2 | % | ||||||||
(1,904 | ) | CHESAPEAKE ENERGY CORP REGISTERED SHS |
(154 | ) | (159 | ) | -0.2 | % | ||||||||
(3,761 | ) | UNITY SOFTWARE INC REGISTERED SHS |
(141 | ) | (163 | ) | -0.2 | % | ||||||||
(5,227 | ) | DRAFTKINGS INC REGISTERED SHS -A- |
(131 | ) | (139 | ) | -0.1 | % | ||||||||
(2,505 | ) | ALLIANT ENERGY CORP REGISTERED SHS |
(130 | ) | (131 | ) | -0.1 | % | ||||||||
(12,238 | ) | ROIVANT SCIENCES LIMITED REGISTERED SHS |
(123 | ) | (123 | ) | -0.1 | % |
|
Percentages are based on Net Assets of $1,442,237 ($ Thousands). |
* |
Non-income producing security. |
** |
The rate reported is the 7-day effective yield as of June 30, 2023. |
† |
Investment in Affiliated Security. |
†† |
Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
‡ |
Real Estate Investment Trust. |
(A) |
Certain securities or partial positions of certain securities are on loan at June 30, 2023. |
(B) |
Interest rate represents the security's effective yield at the time of purchase. |
(C) |
This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of June 30, 2023 was $333 ($ Thousands). |
The following is a summary of the transactions with affiliates for the period ended June 30, 2023 ($ Thousands):
Security Description |
Value 9/30/2022 |
Purchases at Cost |
Proceeds from Sales |
Realized Gain/ (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value 6/30/2023 |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | 45 | $ | 12,574 | $ | (12,286 | ) | $ | (1 | ) | $ | 1 | $ | 333 | $ | 16 | $ | — | ||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class |
13,898 | 172,098 | (179,682 | ) | — | — | 6,314 | 317 | — | |||||||||||||||||||||||
Totals |
$ | 13,943 | $ | 184,672 | $ | (191,968 | ) | $ | (1 | ) | $ | 1 | $ | 6,647 | $ | 333 | $ | — |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for Abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Large Cap Index Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Large Cap Index Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Large Cap Index Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Large Cap Index Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Large Cap Index Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Large Cap Index Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Large Cap Index Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Large Cap Index Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Large Cap Index Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Large Cap Index Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Large Cap Index Fund (Concluded)
A list of the open futures contracts held by the Fund at June 30, 2023 is as follows:
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation (Thousands) |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
S&P 500 Index E-MINI |
43 | Sep-2023 | $ | 9,328 | $ | 9,650 | $ | 322 | ||||||||||||
S&P Mid Cap 400 Index E-MINI |
3 | Sep-2023 | 775 | 793 | 18 | |||||||||||||||
$ | 10,103 | $ | 10,443 | $ | 340 |
The following is a summary of the transactions with affiliates for the period ended June 30, 2023 ($ Thousands):
Security Description | Value 9/30/2022 | Purchases at Cost | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value 6/30/2023 | Income | Capital Gains | ||||||||||||||||||||||||
SEI Investments Co | $ | 137 | $ | — | $ | (6 | ) | $ | (1 | ) | $ | 31 | $ | 161 | $ | 2 | $ | — | ||||||||||||||
SEI Liquidity Fund, LP | 855 | 4,245 | (4,098 | ) | — | — | 1,002 | 83 | — | |||||||||||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | 5,327 | 121,933 | (118,773 | ) | — | — | 8,487 | 242 | — | |||||||||||||||||||||||
Totals | $ | 6,319 | $ | 126,178 | $ | (122,877 | ) | $ | (1 | ) | $ | 31 | $ | 9,650 | $ | 327 | $ | — |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Tax-Managed Large Cap Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Tax-Managed Large Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Tax-Managed Large Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Tax-Managed Large Cap Fund (Concluded)
A list of the open futures contracts held by the Fund at June 30, 2023, is as follows:
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation (Thousands) |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
S&P 500 Index E-MINI |
31 | Sep-2023 | $ | 6,741 | $ | 6,957 | $ | 216 | ||||||||||||
S&P Mid Cap 400 Index E-MINI |
3 | Sep-2023 | 777 | 793 | 16 | |||||||||||||||
$ | 7,518 | $ | 7,750 | $ | 232 |
The following is a summary of the transactions with affiliates for the period ended June 30, 2023 ($ Thousands):
Security Description |
Value 9/30/2022 |
Purchases at Cost |
Proceeds from Sales |
Realized Gain/ (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value 6/30/2023 |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | 28,547 | $ | 109,597 | $ | (134,829 | ) | $ | 14 | $ | 6 | $ | 3,335 | $ | 45 | $ | 1 | |||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class |
21,654 | 478,429 | (482,476 | ) | — | — | 17,607 | 561 | — | |||||||||||||||||||||||
Totals |
$ | 50,201 | $ | 588,026 | $ | (617,305 | ) | $ | 14 | $ | 6 | $ | 20,942 | $ | 606 | $ | 1 |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
S&P 500 Index Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
S&P 500 Index Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
S&P 500 Index Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
S&P 500 Index Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
S&P 500 Index Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
S&P 500 Index Fund (Concluded)
A list of the open futures contracts held by the Fund at June 30, 2023, is as follows:
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation (Thousands) |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
S&P 500 Index E-MINI |
38 | Sep-2023 | $ | 8,242 | $ | 8,528 | $ | 286 | ||||||||||||
The following is a summary of the transactions with affiliates for the period ended June 30, 2023 ($ Thousands):
Security Description |
Value 9/30/2022 |
Purchases at Cost |
Proceeds from Sales |
Realized Gain/ (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value 6/30/2023 |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | 1 | $ | 142 | $ | (143 | ) | $ | — | $ | — | $ | — | $ | 6 | $ | — | |||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class |
2,986 | 86,851 | (80,065 | ) | — | — | 9,772 | 134 | — | |||||||||||||||||||||||
Totals |
$ | 2,987 | $ | 86,993 | $ | (80,208 | ) | $ | — | $ | — | $ | 9,772 | $ | 140 | $ | — |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Small Cap Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Small Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Small Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Small Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Small Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Small Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Small Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Small Cap Fund (Concluded)
The following is a summary of the transactions with affiliates for the period ended June 30, 2023 ($ Thousands):
Security Description |
Value 9/30/2022 |
Purchases at Cost |
Proceeds from Sales |
Realized Gain/ (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value 6/30/2023 |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | 2,751 | $ | 15,352 | $ | (17,113 | ) | $ | — | $ | — | $ | 990 | $ | 18 | $ | — | |||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class |
9,050 | 128,066 | (129,761 | ) | — | — | 7,355 | 217 | — | |||||||||||||||||||||||
Totals |
$ | 11,801 | $ | 143,418 | $ | (146,874 | ) | $ | — | $ | — | $ | 8,345 | $ | 235 | $ | — |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Small Cap Value Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Small Cap Value Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Small Cap Value Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Small Cap Value Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Small Cap Value Fund (Concluded)
The following is a summary of the transactions with affiliates for the period ended June 30, 2023 ($ Thousands):
Security Description |
Value 9/30/2022 |
Purchases at Cost |
Proceeds from Sales |
Realized Gain/ (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value 6/30/2023 |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | 675 | $ | 12,553 | $ | (10,069 | ) | $ | — | $ | 2 | $ | 3,161 | $ | 32 | $ | — | |||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class |
10,063 | 74,345 | (78,364 | ) | — | — | 6,044 | 152 | — | |||||||||||||||||||||||
Totals |
$ | 10,738 | $ | 86,898 | $ | (88,433 | ) | $ | — | $ | 2 | $ | 9,205 | $ | 184 | $ | — |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Small Cap Growth Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Small Cap Growth Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Small Cap Growth Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Small Cap Growth Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Small Cap Growth Fund (Concluded)
The following is a summary of the transactions with affiliates for the period ended June 30, 2023 ($ Thousands):
Security Description |
Value 9/30/2022 |
Purchases at Cost |
Proceeds from Sales |
Realized Gain/ (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value 6/30/2023 |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | 3,740 | $ | 29,599 | $ | (30,421 | ) | $ | — | $ | — | $ | 2,918 | $ | 48 | $ | — | |||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class |
6,614 | 57,245 | (59,807 | ) | — | — | 4,052 | 118 | — | |||||||||||||||||||||||
Totals |
$ | 10,354 | $ | 86,844 | $ | (90,228 | ) | $ | — | $ | — | $ | 6,970 | $ | 166 | $ | — |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Tax-Managed Small/Mid Cap Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Tax-Managed Small/Mid Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Tax-Managed Small/Mid Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Tax-Managed Small/Mid Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Tax-Managed Small/Mid Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Tax-Managed Small/Mid Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Tax-Managed Small/Mid Cap Fund (Concluded)
The following is a summary of the transactions with affiliates for the period ended June 30, 2023 ($ Thousands):
Security Description |
Value 9/30/2022 |
Purchases at Cost |
Proceeds from Sales |
Realized Gain/ (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value 6/30/2023 |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | 525 | $ | 14,867 | $ | (10,244 | ) | $ | — | $ | — | $ | 5,148 | $ | 16 | $ | — | |||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class |
10,783 | 140,053 | (141,814 | ) | — | — | 9,022 | 304 | — | |||||||||||||||||||||||
Totals |
$ | 11,308 | $ | 154,920 | $ | (152,058 | ) | $ | — | $ | — | $ | 14,170 | $ | 320 | $ | — |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Mid-Cap Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Mid-Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Mid-Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Mid-Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Mid-Cap Fund (Concluded)
A list of the open futures contracts held by the Fund at June 30, 2023, is as follows:
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation(Thousands) |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
S&P Mid Cap 400 Index E-MINI |
8 | Sep-2023 | $ | 2,088 | $ | 2,115 | $ | 27 | ||||||||||||
The following is a summary of the transactions with affiliates for the period ended June 30, 2023 ($ Thousands):
Security Description |
Value 9/30/2022 |
Purchases at Cost |
Proceeds from Sales |
Realized Gain/ (Loss) |
Change in Unrealized Appreciation/(Depreciation) |
Value 6/30/2023 |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | — | $ | 630 | $ | (630 | ) | $ | — | $ | — | $ | — | $ | 1 | $ | — | |||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class |
2,161 | 11,463 | (10,237 | ) | — | — | 3,387 | 45 | — | |||||||||||||||||||||||
Totals |
$ | 2,161 | $ | 12,093 | $ | (10,867 | ) | $ | — | $ | — | $ | 3,387 | $ | 46 | $ | — |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
U.S. Managed Volatility Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
U.S. Managed Volatility Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
U.S. Managed Volatility Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
U.S. Managed Volatility Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
U.S. Managed Volatility Fund (Concluded)
A list of open futures contracts held by the Fund at June 30, 2023, is as follows:
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation(Thousands) |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
S&P 500 Index E-MINI |
46 | Sep-2023 | $ | 10,151 | $ | 10,323 | $ | 172 | ||||||||||||
The following is a summary of the transactions with affiliates for the period ended June 30, 2023 ($ Thousands):
Security Description |
Value 9/30/2022 |
Purchases at Cost |
Proceeds from Sales |
Realized Gain/ (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value 6/30/2023 |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | 7,816 | $ | 20,535 | $ | (24,891 | ) | $ | (1 | ) | $ | 1 | $ | 3,460 | $ | 51 | $ | — | ||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class |
9,947 | 175,276 | (165,308 | ) | — | — | 19,915 | 474 | — | |||||||||||||||||||||||
Totals |
$ | 17,763 | $ | 195,811 | $ | (190,199 | ) | $ | (1 | ) | $ | 1 | $ | 23,375 | $ | 525 | $ | — |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Global Managed Volatility Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Global Managed Volatility Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Global Managed Volatility Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Global Managed Volatility Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Global Managed Volatility Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Global Managed Volatility Fund (Continued)
A list of the open futures contracts held by the Fund at June 30, 2023, is as follows:
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation(Thousands) |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
Euro STOXX 50 |
28 | Sep-2023 | $ | 1,318 | $ | 1,352 | $ | 31 | ||||||||||||
FTSE 100 Index |
6 | Sep-2023 | 570 | 575 | 5 | |||||||||||||||
Hang Seng Index |
2 | Jul-2023 | 239 | 240 | 1 | |||||||||||||||
S&P 500 Index E-MINI |
38 | Sep-2023 | 8,384 | 8,528 | 144 | |||||||||||||||
SPI 200 Index |
3 | Sep-2023 | 355 | 358 | 3 | |||||||||||||||
TOPIX Index |
4 | Sep-2023 | 629 | 633 | 8 | |||||||||||||||
$ | 11,495 | $ | 11,686 | $ | 192 |
A list of the open forward foreign currency contracts held by the Fund at June 30, 2023, is as follows:
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
Barclays PLC |
07/24/23 | GBP | 13,861 | USD | 17,623 | $ | 1 | |||||||||||||||||
Barclays PLC |
07/24/23 | CHF | 19,239 | USD | 21,494 | (59 | ) | |||||||||||||||||
Barclays PLC |
07/24/23 | EUR | 34,378 | USD | 37,577 | 35 | ||||||||||||||||||
Barclays PLC |
07/24/23 | JPY | 5,719,949 | USD | 40,553 | 850 | ||||||||||||||||||
Brown Brothers Harriman |
07/24/23 | USD | 3 | AUD | 5 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/24/23 | USD | 36 | AUD | 53 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/24/23 | AUD | 19 | USD | 13 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/24/23 | AUD | 23 | USD | 15 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/24/23 | SGD | 30 | USD | 22 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/24/23 | SGD | 42 | USD | 31 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/24/23 | CAD | 14 | USD | 11 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/24/23 | CAD | 90 | USD | 68 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/24/23 | CHF | 104 | USD | 116 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/24/23 | NZD | 38 | USD | 23 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/24/23 | NZD | 77 | USD | 47 | (1 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/24/23 | USD | 0 | NZD | 0 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/24/23 | USD | 131 | NZD | 212 | (1 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/24/23 | USD | 26 | SGD | 35 | — |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Global Managed Volatility Fund (Continued)
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
Brown Brothers Harriman |
07/24/23 | USD | 109 | SGD | 147 | $ | (1 | ) | ||||||||||||||||
Brown Brothers Harriman |
07/24/23 | GBP | 187 | USD | 236 | (2 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/24/23 | USD | 193 | DKK | 1,309 | (1 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/24/23 | USD | 33 | CAD | 44 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/24/23 | USD | 239 | CAD | 315 | (1 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/24/23 | USD | 333 | SEK | 3,561 | (3 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/24/23 | USD | 23 | HKD | 179 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/24/23 | USD | 310 | HKD | 2,427 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/24/23 | HKD | 281 | USD | 36 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/24/23 | HKD | 67 | USD | 9 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/24/23 | DKK | 415 | USD | 61 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/24/23 | USD | 98 | NOK | 1,058 | 1 | ||||||||||||||||||
Brown Brothers Harriman |
07/24/23 | USD | 344 | NOK | 3,676 | (1 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/24/23 | EUR | 444 | USD | 484 | (1 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/24/23 | USD | 37 | GBP | 29 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/24/23 | USD | 626 | GBP | 491 | (1 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/24/23 | USD | 281 | CHF | 251 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/24/23 | USD | 506 | CHF | 451 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/24/23 | USD | 116 | JPY | 16,694 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/24/23 | USD | 876 | JPY | 124,719 | (10 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/24/23 | SEK | 312 | USD | 29 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/24/23 | SEK | 986 | USD | 91 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/24/23 | USD | 1,480 | EUR | 1,351 | (5 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/24/23 | NOK | 2,290 | USD | 211 | (3 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/24/23 | JPY | 93,564 | USD | 653 | 3 | ||||||||||||||||||
Standard Chartered |
07/24/23 | DKK | 33,035 | USD | 4,853 | 6 | ||||||||||||||||||
Standard Chartered |
07/24/23 | SEK | 78,794 | USD | 7,334 | 31 | ||||||||||||||||||
Standard Chartered |
07/24/23 | HKD | 100,469 | USD | 12,841 | 15 | ||||||||||||||||||
Westpac Banking |
07/24/23 | AUD | 1,583 | USD | 1,072 | 18 | ||||||||||||||||||
Westpac Banking |
07/24/23 | NZD | 4,184 | USD | 2,581 | 19 | ||||||||||||||||||
Westpac Banking |
07/24/23 | SGD | 5,872 | USD | 4,374 | 31 | ||||||||||||||||||
Westpac Banking |
07/24/23 | CAD | 9,424 | USD | 7,133 | 8 | ||||||||||||||||||
Westpac Banking |
07/24/23 | NOK | 71,100 | USD | 6,637 | (5 | ) | |||||||||||||||||
$ | 923 |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Global Managed Volatility Fund (Concluded)
The following is a summary of the transactions with affiliates for the period ended June 30, 2023 ($ Thousands):
Security Description |
Value 9/30/2022 |
Purchases at Cost |
Proceeds from Sales |
Realized Gain/ (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value 6/30/2023 |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | 17,355 | $ | 106,874 | $ | (113,238 | ) | $ | 3 | $ | 6 | $ | 11,000 | $ | 50 | $ | — | |||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class |
8,497 | 127,498 | (123,578 | ) | — | — | 12,417 | 367 | — | |||||||||||||||||||||||
Totals |
$ | 25,852 | $ | 234,372 | $ | (236,816 | ) | $ | 3 | $ | 6 | $ | 23,417 | $ | 417 | $ | — |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Tax-Managed Managed Volatility Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Tax-Managed Managed Volatility Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Tax-Managed Managed Volatility Fund (Concluded)
A list of the open futures contracts held by the Fund at June 30, 2023, is as follows:
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation(Thousands) |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
S&P 500 Index E-MINI |
41 | Sep-2023 | $ | 9,040 | $ | 9,201 | $ | 161 | ||||||||||||
|
Percentages are based on Net Assets of $869,547 ($ Thousands). |
* |
Non-income producing security. |
** |
The rate reported is the 7-day effective yield as of June 30, 2023. |
† |
Investment in Affiliated Security. |
‡ |
Real Estate Investment Trust. |
(A) |
Certain securities or partial positions of certain securities are on loan at June 30, 2023. |
(B) |
This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of June 30, 2023 was $4,557 ($ Thousands). |
The following is a summary of the transactions with affiliates for the period ended June 30, 2023 ($ Thousands):
Security Description |
Value 9/30/2022 |
Purchases at Cost |
Proceeds from Sales |
Realized Gain/ (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value 6/30/2023 |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | 3,473 | $ | 11,359 | $ | (10,275 | ) | $ | — | $ | — | $ | 4,557 | $ | 21 | $ | — | |||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class |
14,834 | 204,875 | (203,011 | ) | — | — | 16,698 | 536 | — | |||||||||||||||||||||||
Totals |
$ | 18,307 | $ | 216,234 | $ | (213,286 | ) | $ | — | $ | — | $ | 21,255 | $ | 557 | $ | — |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Tax-Managed International Managed Volatility Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Tax-Managed International Managed Volatility Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Tax-Managed International Managed Volatility Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Tax-Managed International Managed Volatility Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Tax-Managed International Managed Volatility Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Tax-Managed International Managed Volatility Fund (Concluded)
A list of the open futures contracts held by the Fund at June 30, 2023, is as follows:
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation/ |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
Euro STOXX 50 |
28 | Sep-2023 | $ | 1,331 | $ | 1,352 | $ | 19 | ||||||||||||
FTSE 100 Index |
7 | Sep-2023 | 675 | 671 | (3 | ) | ||||||||||||||
Hang Seng Index |
2 | Jul-2023 | 241 | 240 | (1 | ) | ||||||||||||||
SPI 200 Index |
2 | Sep-2023 | 242 | 238 | (1 | ) | ||||||||||||||
TOPIX Index |
5 | Sep-2023 | 801 | 792 | 2 | |||||||||||||||
$ | 3,290 | $ | 3,293 | $ | 16 |
The following is a summary of the transactions with affiliates for the period ended June 30, 2023 ($ Thousands):
Security Description |
9/30/2022 |
Purchases at Cost |
Proceeds from Sales |
Realized Gain/ (Loss) |
Change in Unrealized Appreciation/(Depreciation) |
Value 6/30/2023 |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | 18,526 | $ | 74,502 | $ | (76,901 | ) | $ | — | $ | 4 | $ | 16,131 | $ | 54 | $ | — | |||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class |
2,754 | 44,621 | (42,769 | ) | — | — | 4,606 | 121 | — | |||||||||||||||||||||||
Totals |
$ | 21,280 | $ | 119,123 | $ | (119,670 | ) | $ | — | $ | 4 | $ | 20,737 | $ | 175 | $ | — |
See “Glossary for abbreviations”.
Amounts designated as “—” are $0 or have been rounded to $0.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Real Estate Fund
The following is a summary of the transactions with affiliates for the period ended June 30, 2023 ($ Thousands):
Security Description |
Value 9/30/2022 |
Purchases at Cost |
Proceeds from Sales |
Realized Gain/ (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value 6/30/2023 |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | 3 | $ | — | $ | — | $ | — | $ | — | $ | 3 | $ | — | $ | — | ||||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class |
2,110 | 14,825 | (15,711 | ) | — | — | 1,224 | 36 | — | |||||||||||||||||||||||
Totals |
$ | 2,113 | $ | 14,825 | $ | (15,711 | ) | $ | — | $ | — | $ | 1,227 | $ | 36 | $ | — |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
A list of the exchange traded option contracts held by the Fund at June 30, 2023, is as follows:
Description |
Number of Contracts |
Notional Amount |
Exercise Price |
Expiration Date |
Value |
|||||||||||||||
PURCHASED OPTIONS — 0.0% |
||||||||||||||||||||
Put Options |
||||||||||||||||||||
December 2023, SOFR 1yr MidCurve Dec23P 95.88 |
155 | $ | 37,152 | $ | 95.88 | 12/16/2023 | $ | 162 | ||||||||||||
December 2023, SOFR 1yr MidCurve Dec23P 96 |
118 | 28,320 | 96.00 | 12/16/2023 | 142 | |||||||||||||||
July 2023, SOFR 1yr MidCurve Jul23P 95.25 |
2,124 | 505,777 | 95.25 | 7/22/2023 | 186 | |||||||||||||||
October 2023, SOFR 1yr MidCurve Oct23P 97 |
179 | 43,407 | 97.00 | 10/21/2023 | 494 | |||||||||||||||
June 2023, U.S. 10 Year Future Option |
518 | 57,887 | 111.75 | 7/22/2023 | – | |||||||||||||||
June 2023, U.S. 10 Year Future Option |
242 | 27,225 | 112.50 | 7/22/2023 | 57 | |||||||||||||||
June 2023, U.S. 10 Year Future Option |
121 | 13,643 | 112.75 | 7/22/2023 | 59 | |||||||||||||||
July 2023, US 5YR Note FRI WK1 Jul23P 107.25 |
372 | 39,897 | 107.25 | 7/22/2023 | 148 | |||||||||||||||
June 2023, US 5YR Note W5 OP Jun23P 107 |
435 | 46,545 | 107.00 | 7/22/2023 | 3 | |||||||||||||||
799,853 | 1,251 | |||||||||||||||||||
Call Options |
||||||||||||||||||||
September 2023, SOFR 1yr MidCurve Sep23P 96.75 |
849 | 205,352 | 96.75 | 9/16/2023 | 127 | |||||||||||||||
June 2023, U.S. 10 Year Future Option |
518 | 58,275 | 112.50 | 7/22/2023 | – | |||||||||||||||
June 2023, U.S. 10 Year Future Option |
121 | 13,764 | 113.75 | 7/22/2023 | – | |||||||||||||||
June 2023, U.S. 10 Year Future Option |
242 | 27,588 | 114.00 | 7/22/2023 | – | |||||||||||||||
June 2023, U.S. 10 Year Future Option |
495 | 56,554 | 114.25 | 7/22/2023 | – | |||||||||||||||
June 2023, US 5YR Note W5 OP Jun23C 108.5 |
861 | 93,418 | 108.50 | 7/22/2023 | 7 | |||||||||||||||
454,951 | 134 | |||||||||||||||||||
Total Purchased Options |
$ | 1,254,804 | $ | 1,385 | ||||||||||||||||
WRITTEN OPTIONS — (0.1)% |
||||||||||||||||||||
Put Options |
||||||||||||||||||||
June 2024, 3 Month SOFR OPT Jun24P 97.5 |
(1,176 | ) | $ | (277,830 | ) | 94.50 | 06/22/2024 | $ | (728 | ) | ||||||||||
December 2023, SOFR 1yr MidCurve Dec23P 95.25 |
(310 | ) | (73,819 | ) | 95.25 | 12/16/2023 | (139 | ) | ||||||||||||
December 2023, SOFR 1yr MidCurve Dec23P 95.38 |
(236 | ) | (56,271 | ) | 95.38 | 12/16/2023 | (128 | ) | ||||||||||||
October 2023, SOFR 1yr MidCurve Oct23P 96.25 |
(179 | ) | (43,072 | ) | 96.25 | 10/21/2023 | (242 | ) | ||||||||||||
October 2023, SOFR 1yr MidCurve Oct23P 96.5 |
(179 | ) | (43,184 | ) | 96.50 | 10/21/2023 | (318 | ) | ||||||||||||
August 2023, U.S. 10 Year Future Option |
(179 | ) | (20,138 | ) | 112.50 | 07/22/2023 | (148 | ) | ||||||||||||
June 2023, U.S. 10 Year Future Option |
(286 | ) | (32,389 | ) | 113.25 | 07/22/2023 | (281 | ) | ||||||||||||
August 2023, U.S. 5 Year Future Option |
(183 | ) | (19,764 | ) | 108.00 | 07/22/2023 | (203 | ) | ||||||||||||
June 2023, US 5YR Note W5 OP Jun23P 107.75 |
(167 | ) | (17,994 | ) | 107.75 | 07/22/2023 | (110 | ) | ||||||||||||
June 2023, US 5YR Note W5 OP Jun23P 108 |
(120 | ) | (12,960 | ) | 108.00 | 07/22/2023 | (109 | ) | ||||||||||||
(597,421 | ) | (2,406 | ) | |||||||||||||||||
Call Options |
||||||||||||||||||||
June 2024, 3 Month SOFR OPT Jun24C 97.5 |
(354 | ) | (86,287 | ) | 97.50 | 06/22/2024 | (117 | ) | ||||||||||||
September 2023, 3 Month SOFR OPT Sep23C 98.75 |
(164 | ) | (40,487 | ) | 98.75 | 09/16/2023 | (1 | ) | ||||||||||||
September 2024, 3 Month SOFR OPT Sep24C 97 |
(283 | ) | (68,628 | ) | 97.00 | 09/21/2024 | (200 | ) | ||||||||||||
August 2023, U.S. 10 Year Future Option |
(179 | ) | (20,406 | ) | 114.00 | 07/22/2023 | (31 | ) | ||||||||||||
June 2023, U.S. 10 Year Future Option |
(286 | ) | (32,390 | ) | 113.25 | 07/22/2023 | – | |||||||||||||
August 2023, U.S. 5 Year Future Option |
(183 | ) | (19,947 | ) | 109.00 | 07/22/2023 | (12 | ) | ||||||||||||
June 2023, US 5YR Note W5 OP Jun23C 107.75 |
(167 | ) | (17,994 | ) | 107.75 | 07/22/2023 | (1 | ) | ||||||||||||
June 2023, US 5YR Note W5 OP Jun23C 108 |
(120 | ) | (12,960 | ) | 108.00 | 07/22/2023 | (1 | ) | ||||||||||||
(299,099 | ) | (363 | ) | |||||||||||||||||
Total Written Options |
$ | (896,520 | ) | $ | (2,769 | ) | ||||||||||||||
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Continued)
A list of the open futures contracts held by the Fund at June 30, 2023, is as follows:
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation/ |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
3 Month SOFR |
5 | Sep-2023 | $ | 1,206 | $ | 1,185 | $ | (21 | ) | |||||||||||
3 Month SOFR |
91 | Mar-2026 | 21,928 | 21,962 | 34 | |||||||||||||||
Euro-Bobl |
39 | Sep-2023 | 4,880 | 4,923 | (46 | ) | ||||||||||||||
Euro-OAT |
76 | Sep-2023 | 10,472 | 10,646 | (20 | ) | ||||||||||||||
U.S. 2-Year Treasury Note |
2,145 | Sep-2023 | 441,792 | 436,172 | (5,620 | ) | ||||||||||||||
U.S. 5-Year Treasury Note |
2,236 | Sep-2023 | 242,901 | 239,462 | (3,439 | ) | ||||||||||||||
U.S. 10-Year Treasury Note |
68 | Sep-2023 | 7,735 | 7,634 | (101 | ) | ||||||||||||||
U.S. Ultra Long Treasury Bond |
652 | Sep-2023 | 88,135 | 88,815 | 680 | |||||||||||||||
Ultra 10-Year U.S. Treasury Note |
9 | Sep-2023 | 1,079 | 1,066 | (13 | ) | ||||||||||||||
820,128 | 811,865 | (8,546 | ) | |||||||||||||||||
Short Contracts |
||||||||||||||||||||
3 Month SOFR |
(226 | ) | Mar-2024 | $ | (54,092 | ) | $ | (53,472 | ) | $ | 620 | |||||||||
Euro-Buxl |
(4 | ) | Sep-2023 | (594 | ) | (609 | ) | (6 | ) | |||||||||||
U.S. 2-Year Treasury Note |
(13 | ) | Oct-2023 | (2,681 | ) | (2,643 | ) | 38 | ||||||||||||
U.S. 10-Year Treasury Note |
(69 | ) | Sep-2023 | (7,780 | ) | (7,747 | ) | 33 | ||||||||||||
U.S. Long Treasury Bond |
(274 | ) | Sep-2023 | (34,988 | ) | (34,772 | ) | 216 | ||||||||||||
Ultra 10-Year U.S. Treasury Note |
(466 | ) | Sep-2023 | (55,775 | ) | (55,192 | ) | 583 | ||||||||||||
(155,910 | ) | (154,435 | ) | 1,484 | ||||||||||||||||
$ | 664,218 | $ | 657,430 | $ | (7,062 | ) |
A list of the open forward foreign currency contracts held by the Fund at June 30, 2023, is as follows:
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
BNP Paribas |
07/18/23 | EUR | 462 | USD | 508 | $ | 4 | |||||||||||||||||
BNP Paribas |
07/18/23 | USD | 4,852 | EUR | 4,423 | (22 | ) | |||||||||||||||||
BNP Paribas |
07/18/23 | USD | 17,945 | CAD | 24,132 | 299 | ||||||||||||||||||
Citigroup |
07/18/23 | IDR | 759,546 | USD | 51 | — | ||||||||||||||||||
Goldman Sachs |
07/18/23 | USD | 18,226 | JPY | 2,401,276 | (1,561 | ) | |||||||||||||||||
Morgan Stanley |
07/18/23 | GBP | 462 | USD | 577 | (11 | ) | |||||||||||||||||
Morgan Stanley |
07/18/23 | EUR | 4,100 | NOK | 46,790 | (106 | ) | |||||||||||||||||
Morgan Stanley |
07/18/23 | USD | 7,079 | AUD | 10,529 | (68 | ) | |||||||||||||||||
Morgan Stanley |
07/18/23 | CNH | 52,111 | USD | 7,617 | 443 | ||||||||||||||||||
$ | (1,022 | ) |
A list of open centrally cleared swap agreements held by the Fund at June 30, 2023, is as follows:
Interest Rate Swaps |
Fund Pays |
Fund Receives |
Payment Frequency |
Termination Date |
Currency |
Notional Amount |
Value |
Upfront Payments/ Receipts |
Net Unrealized |
||||||||||||||||||||||||||||
2.98% |
USD-SOFR-OIS COMPOUND | Annual | 11/30/2027 | USD | 46,949 | $ | (1,736 | ) | $ | 9 | $ | (1,745 | ) | |||||||||||||||||||||||
3.45% |
USD-SOFR-OIS COMPOUND | Annual | 11/30/2027 | USD | 34,857 | (662 | ) | (5 | ) | (657 | ) | |||||||||||||||||||||||||
LE - 2.85% FIXED |
USD-SOFR-OIS COMPOUND | Annual | 02/15/2029 | USD | 10,144 | 498 | (17 | ) | 515 | |||||||||||||||||||||||||||
0.0327% FIXED |
USD-SOFR-OIS COMPOUND | Annual | 04/30/2029 | USD | 7,015 | 196 | 27 | 169 | ||||||||||||||||||||||||||||
3.85% FIXED |
USD-SOFR-OIS COMPOUND | Annual | 06/30/2029 | USD | 7,436 | (23 | ) | 2 | (25 | ) | ||||||||||||||||||||||||||
1.52% FIXED |
USD-SOFR-COMPOUND 2/15/47 | Annual | 02/15/2047 | USD | 5,559 | 1,616 | (61 | ) | 1,677 | |||||||||||||||||||||||||||
0.026% FIXED |
USD-SOFR-OIS-COMPOUND | Annual | 02/15/2048 | USD | 9,739 | 1,133 | 933 | 200 | ||||||||||||||||||||||||||||
3.05% FIXED |
USD-SOFR-OIS COMPOUND | Annual | 02/15/2048 | USD | 10,834 | 456 | 508 | (52 | ) | |||||||||||||||||||||||||||
USD-SOFR-OIS COMPOUND |
3.15% | Annual | 05/15/2048 | USD | 10,146 | 250 | 123 | 127 | ||||||||||||||||||||||||||||
.5 |
SD-SOFR-OIS-COMPOUND | Annual | 04/21/2052 | USD | 5,290 | 684 | 8 | 676 | ||||||||||||||||||||||||||||
3% FIXED |
OFRRAT | Annual | 09/20/2053 | USD | 3,595 | 99 | – | 99 |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Core Fixed Income Fund (Concluded)
Fund Pays |
Fund Receives |
Payment Frequency |
Termination Date |
Currency |
Notional Amount |
Value |
Upfront Payments/ Receipts |
Net Unrealized |
||||||||||||||||||||||||||||
3% FIXED |
OFRRAT | Annual | 09/20/2053 | USD | 3,472 | 95 | – | 95 | ||||||||||||||||||||||||||||
$ | 2,606 | $ | 1,527 | $ | 1,079 |
Credit Default Swap - Buy Protection |
Reference Entity/ Obligation | Pay Rate | Payment Frequency | Termination Date | Notional Amount (Thousands) | Value (Thousands) | Upfront Payments/ Receipts (Thousands) | Net Unrealized Appreciation (Depreciation) (Thousands) | |||||||||||||||||
CDS-CDX.NA.HY.4006 | 5.00 | % | Quarterly | 06/20/2028 | $ | 9,051 | $ | (259 | ) | $ | 26 | $ | (285 | ) | ||||||||||
Credit Default Swap - Sell Protection |
Reference Entity/ Obligation | Receive Rate | Payment Frequency | Termination Date | Notional Amount (Thousands) | Value (Thousands) | Upfront Payments/ Receipts (Thousands) | Net Unrealized Appreciation (Depreciation) (Thousands) | |||||||||||||||||
CDS-CDX.NA.HY.4006 | 1.00 | % | Quarterly | 06/20/2028 | $ | 138,701 | $ | 2,095 | $ | 1,054 | $ | 1,041 |
|
Percentages are based on Net Assets of $3,522,350 ($ Thousands). |
** |
The rate reported is the 7-day effective yield as of June 30, 2023. |
† |
Investment in Affiliated Security. |
(A) |
Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates. |
(B) |
Zero coupon security. |
(C) |
No interest rate available. |
(D) |
Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
(E) |
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On June 30, 2023, the value of these securities amounted to $515,219 ($ Thousands), representing 14.6% of the Net Assets of the Fund. |
(F) |
Certain securities or partial positions of certain securities are on loan at June 30, 2023. |
(G) |
Perpetual security with no stated maturity date. |
(H) |
Interest rate represents the security's effective yield at the time of purchase. |
(I) |
Unsettled bank loan. Interest rate may not be available. |
(J) |
This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of June 30, 2023 was $39,018 ($ Thousands). |
See “Glossary for abbreviations”. |
The following is a summary of the transactions with affiliates for the period ended June 30, 2023, ($ Thousands):
Security Description |
Value 9/30/2022 |
Purchases at Cost |
Proceeds from Sales |
Realized Gain/(Loss) |
Change in Unrealized Appreciation/(Depreciation) |
Value 6/30/2023 |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | 254,770 | $ | 1,016,437 | $ | (1,232,253 | ) | $ | 34 | $ | 30 | $ | 39,018 | $ | 48 | $ | — | |||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class |
113,748 | 2,131,979 | (2,191,358 | ) | — | — | 54,369 | 3,100 | — | |||||||||||||||||||||||
Totals |
$ | 368,518 | $ | 3,148,416 | $ | (3,423,611 | ) | $ | 34 | $ | 30 | $ | 93,387 | $ | 3,148 | $ | — |
Amounts designated as “-” are $0 or have been rounded to $0.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
High Yield Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
High Yield Bond Fund (Concluded)
The following is a summary of the transactions with affiliates for the period ended June 30, 2023 ($ Thousands):
Security Description |
Value 9/30/2022 |
Purchases at Cost |
Proceeds from Sales |
Realized Gain/ (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value 6/30/2023 |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | 1 | $ | — | $ | — | $ | — | $ | — | $ | 1 | $ | — | $ | — | ||||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class |
15,930 | 406,593 | (387,971 | ) | — | — | 34,552 | 851 | — | |||||||||||||||||||||||
Totals |
$ | 15,931 | $ | 406,593 | $ | (387,971 | ) | $ | — | $ | — | $ | 34,553 | $ | 851 | $ | — |
Amounts designated as “—” are $0 or have been rounded to $0.
A list of the restricted securities, excluding 144a, held by the Fund at June 30, 2023, is as follows:
Description |
Number of Shares/Face Amount ($ Thousands)/Number of Warrants |
Acquisition Date |
Cost ($ Thousands) |
Market Value |
||||||||||||
Common Stock |
||||||||||||||||
Guitar Center |
13,905 | 1/8/2021 |
$ | 1,762 | $ | 2,611 | ||||||||||
Gymboree Holding Corp |
40,312 | 10/2/2017 | 672 | – | ||||||||||||
Nine West FKA Premier Brands |
92,548 | 5/20/2019 | 1,967 | 52 | ||||||||||||
Parker Drilling Co |
79,089 | 3/26/2019 | 1,000 | 890 | ||||||||||||
Corporate Obligations |
||||||||||||||||
Aventine (Escrow Security) |
$ | 2,750 | 4/21/2010 | – | – | |||||||||||
Northwest Acquisitions ULC |
2,115 | 10/1/2019 | 1,493 | – | ||||||||||||
Loan Participations |
||||||||||||||||
Boardriders Inc., Closing Date Tranche A Loan, 1st Lien |
383 | 9/4/2020 | 383 | 375 | ||||||||||||
Boardriders Inc., Closing Date Tranche B-2 Loan, 1st Lien |
1,639 | 9/4/2020 | 1,455 | 1,607 | ||||||||||||
GatesAir, Term Loan |
1,137 | 8/9/2022 | 1,107 | 1,137 | ||||||||||||
Premier Brands Group Holdings, LLC, Term Loan, 1st Lien |
1,109 | 3/21/2019 | 1,068 | 834 | ||||||||||||
Preferred Stock |
||||||||||||||||
Boardriders Inc. |
215,931 | 9/4/2020 | – | 359 | ||||||||||||
Claire's Stores |
861 | 10/22/2018 | 976 | 1,026 | ||||||||||||
Guitar Center |
365 | 1/8/2021 | 34 | 34 | ||||||||||||
Warrants |
||||||||||||||||
Guitar Center |
3,680 | 1/8/2021 | 197 | 322 | ||||||||||||
Guitar Center |
3,681 | 1/8/2021 | 132 | 182 | ||||||||||||
$ | 12,246 | $ | 9,429 |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Conservative Income Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Conservative Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Conservative Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Conservative Income Fund (Concluded)
The following is a summary of the transactions with affiliates for the period ended June 30, 2023 ($ Thousands):
Security Description |
Value 9/30/2022 |
Purchases at Cost |
Proceeds from Sales |
Realized Gain/ (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value 6/30/2023 |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class |
$ | — | $ | 7,618,260 | $ | (7,617,874 | ) | $ | — | $ | — | $ | 386 | $ | 3 | $ | — |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Tax-Free Conservative Income Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Tax-Free Conservative Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Tax-Free Conservative Income Fund (Concluded)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Real Return Fund
The following is a summary of the transactions with affiliates for the period ended June 30, 2023 ($ Thousands):
Security Description |
Value 9/30/2022 |
Purchases at Cost |
Proceeds from Sales |
Realized Gain/ (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value 6/30/2023 |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class |
$ | 1,251 | $ | 61,213 | $ | (62,243 | ) | $ | — | $ | — | $ | 221 | $ | 21 | $ | — |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Dynamic Asset Allocation Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Dynamic Asset Allocation Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Dynamic Asset Allocation Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Dynamic Asset Allocation Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Dynamic Asset Allocation Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Dynamic Asset Allocation Fund (Continued)
A list of the open exchange traded options contracts held by the Fund at June 30, 2023, is as follows:
Description |
Number of Contracts |
Notional Amount |
Exercise Price |
Expiration Date |
Value |
|||||||||||||||
PURCHASED OPTIONS — 0.1% |
||||||||||||||||||||
Put Options |
||||||||||||||||||||
S&P 500 Index |
16,243 | $ | 66,595 | $ | 4,100.00 | 12/16/2023 | $ | 985 | ||||||||||||
USD PUT / JPY CALL |
69,000,000 | 8,625,000 | 125.00 | 8/19/2023 | 23 | |||||||||||||||
$ | 8,691,595 | $ | 1,008 | |||||||||||||||||
WRITTEN OPTION — 0.0% |
||||||||||||||||||||
Put Options |
||||||||||||||||||||
S&P 500 Index |
(16,243 | ) | $ | (56,849 | ) | 3,500.00 | 12/16/2023 | $ | (323 | ) | ||||||||||
Total Written Option |
$ | (56,849 | ) | $ | (323 | ) | ||||||||||||||
A list of the open futures contracts held by the Fund at June 30, 2023, is as follows:
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation (Thousands) |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
S&P 500 Index E-MINI^ |
305 | Sep-2023 | $ | 66,365 | $ | 68,446 | $ | 2,081 | ||||||||||||
$ | 66,365 | $ | 68,446 | $ | 2,081 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Dynamic Asset Allocation Fund (Concluded)
A list of open centrally cleared swap agreements held by the Fund at June 30, 2023 is as follows:
Interest Rate Swaps |
||||||||||||||||||||||||||||||||
Fund Pays |
Fund Receives |
Payment Frequency |
Termination Date |
Currency |
Notional Amount |
Value |
Upfront Payments/ Receipts |
Net Unrealized |
||||||||||||||||||||||||
2.659%^ |
U.S. CPI | Annually | 2/27/2033 | USD | 103,200 | $ | 293 | $ | – | $ | 293 | |||||||||||||||||||||
FIXED 0.280960% |
FLOATING MUTKCALM | Annually | 05/15/2026 | JPY | 102,200,000 | (130 | ) | – | (130 | ) | ||||||||||||||||||||||
0.29283% |
TONAR | Annually | 05/15/2026 | JPY | 81,000,000 | (170 | ) | – | (170 | ) | ||||||||||||||||||||||
$ | (7 | ) | $ | – | $ | (7 | ) |
A list of open OTC swap agreements held by the Fund at June 30, 2023 is as follows:
Total Return Swaps |
||||||||||||||||||||||||||||||||||||||||
Counterparty |
Reference Entity/ Obligation |
Fund Pays |
Fund Receives |
Payment Frequency |
Termination Date |
Currency |
Notional |
Value |
Upfront Payments/ |
Net Unrealized |
||||||||||||||||||||||||||||||
Goldman Sachs |
BCOMTR | ^ | 3 MONTH TREASURY BILL RATE + 7.5 BPS | INDEX RETURN | Quarterly | 08/21/2023 | USD | 34,000 | $ | (1,212 | ) | $ | – | $ | (1,212 | ) | ||||||||||||||||||||||||
Goldman Sachs |
BCOMTR | ^ | 3 MONTH TREASURY BILL RATE + 7.5 BPS | INDEX RETURN | Annually | 09/08/2023 | USD | 49,000 | 246 | – | 246 | |||||||||||||||||||||||||||||
$ | (966 | ) | $ | – | $ | (966 | ) |
The following is a summary of the Fund’s transactions with affiliates for the period ended June 30, 2023 ($ Thousands):
Security Description |
Value 9/30/2022 |
Purchases at Cost |
Proceeds from Sales |
Realized Gain/(Loss) |
Change in Unrealized Appreciation/(Depreciation) |
Value 6/30/2023 |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class |
$ | 6,875 | $ | 59,759 | $ | (58,519 | ) | $ | — | $ | — | $ | 8,115 | $ | 200 | $ — |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Strategy Alternative Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Strategy Alternative Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Strategy Alternative Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Strategy Alternative Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Strategy Alternative Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Strategy Alternative Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Strategy Alternative Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Strategy Alternative Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Strategy Alternative Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Strategy Alternative Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Strategy Alternative Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Strategy Alternative Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Strategy Alternative Fund (Continued)
A list of the open exchange traded option contracts held by the Fund at June 30, 2023 is as follows:
Description |
Number of Contracts |
Notional Amount |
Exercise Price |
Expiration Date |
Value |
|||||||||||||||
PURCHASED OPTIONS — 0.0% |
||||||||||||||||||||
Put Options |
||||||||||||||||||||
S&P 500 Index |
3 | $ | 1,261 | $ | 4,205.00 | 8/19/2023 | $ | 6 | ||||||||||||
S&P 500 Index |
1 | 400 | 4,000.00 | 7/22/2023 | – | |||||||||||||||
S&P 500 Index |
4 | 1,680 | 4,200.00 | 7/22/2023 | – | |||||||||||||||
S&P 500 Index |
1 | 395 | 3,950.00 | 7/22/2023 | – | |||||||||||||||
3,736 | 6 | |||||||||||||||||||
Call Options |
||||||||||||||||||||
Constellation Brands, Inc. |
23 | 604 | 262.50 | 7/22/2023 | – | |||||||||||||||
Nike |
24 | 293 | 122.00 | 7/22/2023 | – | |||||||||||||||
897 | – | |||||||||||||||||||
Total Purchased Options |
$ | 4,633 | $ | 6 | ||||||||||||||||
WRITTEN OPTIONS — 0.0% |
||||||||||||||||||||
Put Options |
||||||||||||||||||||
S&P 500 Index |
(1 | ) | $ | (375 | ) | 3,750.00 | 07/22/2023 | $ | – | |||||||||||
S&P 500 Index |
(4 | ) | (1,630 | ) | 4,075.00 | 07/22/2023 | – | |||||||||||||
S&P 500 Index |
(1 | ) | (383 | ) | 3,830.00 | 07/22/2023 | – | |||||||||||||
S&P 500 Index |
(3 | ) | (1,223 | ) | 4,075.00 | 08/19/2023 | (3 | ) | ||||||||||||
(3,611 | ) | (3 | ) | |||||||||||||||||
Total Written Options |
$ | (3,611 | ) | $ | (3 | ) | ||||||||||||||
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Strategy Alternative Fund (Continued)
A list of the open future contracts held by the Fund at June 30, 2023 is as follows:
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation/ (Depreciation) (Thousands) |
|||||||||||||||
Short Contracts |
||||||||||||||||||||
S&P 500 Index E-MINI |
(4 | ) | Sep-2023 | $ | (870 | ) | $ | (898 | ) | $ | (28 | ) | ||||||||
U.S. 10-Year Treasury Note |
(51 | ) | Sep-2023 | (5,808 | ) | (5,725 | ) | 83 | ||||||||||||
$ | (6,678 | ) | $ | (6,623 | ) | $ | 55 |
A list of the open forward foreign currency contracts held by the Fund at June 30, 2023 is as follows:
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
Morgan Stanley |
09/20/23 | EUR | 1,000 | HUF | 381,535 | $ | (1 | ) | ||||||||||||||||
Morgan Stanley |
09/20/23 | USD | 1,000 | INR | 82,507 | 3 | ||||||||||||||||||
Barclays PLC |
07/05/23 | USD | 1,000 | BRL | 4,871 | 9 | ||||||||||||||||||
Barclays PLC |
07/27/23 | USD | 32 | EUR | 30 | — | ||||||||||||||||||
Barclays PLC |
07/27/23 | EUR | 220 | USD | 244 | 4 | ||||||||||||||||||
BNYMellon |
09/20/23 | EUR | 669 | USD | 733 | — | ||||||||||||||||||
Deutsche Bank |
07/05/23 | USD | 1,406 | BRL | 7,023 | 48 | ||||||||||||||||||
Deutsche Bank |
09/20/23 | HUF | 381,535 | EUR | 985 | (15 | ) | |||||||||||||||||
Goldman Sachs |
07/05/23 | BRL | 1,909 | USD | 383 | (13 | ) | |||||||||||||||||
JPMorgan Chase Bank |
07/05/23 | BRL | 5,114 | USD | 1,000 | (59 | ) | |||||||||||||||||
Societe Generale |
09/20/23 | USD | 1,000 | CLP | 811,450 | 2 | ||||||||||||||||||
State Street |
08/02/23 | USD | 999 | BRL | 4,871 | 4 | ||||||||||||||||||
UBS |
09/20/23 | EUR | 501 | USD | 541 | (9 | ) | |||||||||||||||||
$ | (27 | ) |
A list of open OTC swap agreements held by the Fund at June 30, 2023, is as follows:
Total Return Swap |
||||||||||||||||||||||||||||||||||||||||
Counterparty |
Reference Entity/ Obligation |
Fund Pays |
Fund Receives |
Payment Frequency |
Termination Date |
Currency |
Notional |
Value |
Upfront Payments/ |
Net Unrealized |
||||||||||||||||||||||||||||||
JPMorgan Chase |
Indonesia Government | USD SOFR + 0.55 | % | ASSET RETURN |
Quarterly | 02/15/2033 | IDR | 783 | $ | 65 | $ | – | $ | 65 | ||||||||||||||||||||||||||
$ | 65 | $ | – | $ | 65 |
A list of open centrally cleared swap agreements held by the Fund at June 30, 2023, is as follows:
Interest Rate Swaps |
||||||||||||||||||||||||||||||||
Fund Pays |
Fund Receives |
Payment Frequency |
Termination Date |
Currency |
Notional Amount |
Value |
Upfront Payments/ Receipts |
Net Unrealized |
||||||||||||||||||||||||
1.0 X PRIB06M + 0.0 BPS |
4.28% | Monthly | 09/13/2028 | MXN | 41,192 | $ | 9 | $ | – | $ | 9 | |||||||||||||||||||||
1.0 X MXIBTIIE + 0.0 BPS |
8.2175% | Semi-Annually | 09/20/2028 | CZK | 16,912 | (1 | ) | – | (1 | ) | ||||||||||||||||||||||
$ | 8 | $ | – | $ | 8 |
Credit Default Swaps - Buy Protection |
||||||||||||||||||||||||||||
Reference Entity/ Obligation |
Pay Rate |
Payment Frequency |
Termination Date |
Notional Amount |
Value |
Upfront Payments/ Receipts |
Net Unrealized |
|||||||||||||||||||||
BRAZIL |
1.00% | Quarterly | 06/20/2028 | $ | 500 | $ | 17 | $ | 17 | $ | – | |||||||||||||||||
CDS.HY.40 |
5.00% | Quarterly | 06/20/2028 | 2,500 | (72 | ) | 6 | (78 | ) | |||||||||||||||||||
CDS.HY.40 |
5.00% | Quarterly | 06/20/2028 | 1,565 | (45 | ) | – | (45 | ) | |||||||||||||||||||
CDX.HY.40 |
5.00% | Quarterly | 06/20/2028 | 906 | (19 | ) | 3 | (22 | ) | |||||||||||||||||||
CDX.HY.40 |
5.00% | Quarterly | 06/20/2028 | 181 | (4 | ) | (2 | ) | (2 | ) |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Strategy Alternative Fund (Concluded)
Reference Entity/ Obligation |
Pay Rate |
Payment Frequency |
Termination Date |
Notional Amount |
Value |
Upfront Payments/ Receipts |
Net Unrealized |
|||||||||||||||||||||
CDX.HY.40 |
5.00% | Quarterly | 06/20/2028 | $ | 109 | $ | (3 | ) | $ | (1 | ) | $ | (2 | ) | ||||||||||||||
CDX.HY.40 |
5.00% | Quarterly | 06/20/2028 | 76 | (2 | ) | (1 | ) | (1 | ) | ||||||||||||||||||
CDX.HY.40 |
5.00% | Quarterly | 06/20/2028 | 147 | (4 | ) | – | (4 | ) | |||||||||||||||||||
CDX.HY.40 |
5.00% | Quarterly | 06/20/2028 | 186 | (5 | ) | (1 | ) | (4 | ) | ||||||||||||||||||
CDX.IG.40 |
1.00% | Quarterly | 06/20/2028 | 725 | (10 | ) | (7 | ) | (3 | ) | ||||||||||||||||||
CDX.IG.40 |
1.00% | Quarterly | 06/20/2028 | 1,092 | (17 | ) | (11 | ) | (6 | ) | ||||||||||||||||||
CDX.IG.40 |
1.00% | Quarterly | 06/20/2028 | 367 | (6 | ) | (3 | ) | (3 | ) | ||||||||||||||||||
CDX.IG.40 |
1.00% | Quarterly | 06/28/2028 | 2,130 | (31 | ) | (10 | ) | (21 | ) | ||||||||||||||||||
$ | (201 | ) | $ | (10 | ) | $ | (191 | ) |
The following is a summary of the transactions with affiliates for the period ended June 30, 2023 ($ Thousands):
Security Description | Value 9/30/2022 | Purchases at Cost | Proceeds from Sales | Realized Gain/(Loss) | Change in Unrealized Appreciation/(Depreciation) | Value 6/30/2023 | Income | Capital Gains | ||||||||||||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class | $ | 117,844 | $ | 553,005 | $ | (554,475 | ) | $ | — | $ | — | $ | 116,374 | $ | 3,553 | $ | — |
Amounts designated as “—” are $0 or have been rounded to $0.
A list of the restricted securities, excluding 144a, held by the Fund at June 30, 2023, is as follows:
Description |
Face Amount ($ Thousands)/Number of Shares/Number of Warrants |
Acquisition Date |
Cost ($ Thousands) |
Market Value |
||||||||||||
Corporate Obligation |
||||||||||||||||
Northwest Acquisitions ULC |
$ | 460 | 10/1/2019 | $ | 419 | $ | – | |||||||||
Common Stock |
||||||||||||||||
Guitar Center |
2,167 | 1/8/2021 | 275 | 407 | ||||||||||||
Parker Drilling Co |
4,414 | 3/26/2019 | 55 | 50 | ||||||||||||
Loan Participation |
||||||||||||||||
Boardriders Inc., Closing Date Tranche A Loan, 1st Lien |
45 | 9/4/2020 | 46 | 45 | ||||||||||||
Boardriders Inc., Closing Date Tranche B-2 Loan, 1st Lien |
275 | 9/4/2020 | 249 | 269 | ||||||||||||
Premier Brands Group Holdings, LLC, Term Loan, 1st Lien |
194 | 3/21/2019 | 181 | 146 | ||||||||||||
Preferred Stock |
||||||||||||||||
Boardriders Inc. |
25,646 | 9/4/2020 | – | 42 | ||||||||||||
Guitar Center |
39 | 1/8/2021 | 4 | 4 | ||||||||||||
Warrant |
||||||||||||||||
Guitar Center |
574 | 1/8/2021 | 31 | 50 | ||||||||||||
Guitar Center |
574 | 1/8/2021 | 20 | 29 | ||||||||||||
$ | 1,280 | $ | 1,042 |
See “Glossary” for abbreviations.
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Accumulation Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Accumulation Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Accumulation Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Accumulation Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Accumulation Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Accumulation Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Accumulation Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Accumulation Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Accumulation Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Accumulation Fund (Continued)
A list of the open futures contracts held by the Fund at June 30, 2023, is as follows:
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation/ |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
Australian 10-Year Bond |
2,334 | Sep-2023 | $ | 183,855 | $ | 180,489 | $ | (1,068 | ) | |||||||||||
Australian 3-Year Bond |
132 | Sep-2023 | 9,517 | 9,281 | (44 | ) | ||||||||||||||
Brent Crude |
76 | Jul-2023 | 5,692 | 5,731 | 39 | |||||||||||||||
Brent Crude^ |
127 | Aug-2023 | 9,485 | 9,563 | 78 | |||||||||||||||
Brent Crude^ |
6 | Oct-2023 | 448 | 450 | 2 | |||||||||||||||
CAC40 10 Euro Index |
19 | Jul-2023 | 1,503 | 1,536 | 39 | |||||||||||||||
Canadian 10-Year Bond |
1,088 | Sep-2023 | 99,033 | 100,746 | (856 | ) | ||||||||||||||
Coffee C^ |
1 | Dec-2023 | 61 | 59 | (2 | ) | ||||||||||||||
Coffee C |
107 | Sep-2023 | 7,295 | 6,380 | (916 | ) | ||||||||||||||
Copper |
10 | Sep-2023 | 947 | 940 | (7 | ) | ||||||||||||||
Corn^ |
406 | Sep-2023 | 11,862 | 9,917 | (1,945 | ) | ||||||||||||||
Corn |
18 | Dec-2023 | 494 | 445 | (49 | ) | ||||||||||||||
Cotton No. 2^ |
35 | Dec-2023 | 1,437 | 1,407 | (30 | ) | ||||||||||||||
DAX Index |
22 | Sep-2023 | 9,591 | 9,764 | 26 | |||||||||||||||
Euro STOXX 50 |
597 | Sep-2023 | 28,235 | 28,834 | 318 | |||||||||||||||
Euro-Bobl |
873 | Sep-2023 | 109,767 | 110,207 | (1,400 | ) | ||||||||||||||
Euro-BTP |
260 | Sep-2023 | 32,400 | 32,936 | (21 | ) | ||||||||||||||
Euro-BTP |
142 | Sep-2023 | 17,596 | 17,988 | 97 | |||||||||||||||
Euro-Bund |
301 | Sep-2023 | 43,573 | 43,919 | (370 | ) | ||||||||||||||
Euro-Buxl |
195 | Sep-2023 | 28,789 | 29,699 | 472 | |||||||||||||||
Euro-OAT |
171 | Sep-2023 | 23,735 | 23,954 | (176 | ) | ||||||||||||||
Euro-Schatz |
31 | Sep-2023 | 3,547 | 3,546 | (4 | ) | ||||||||||||||
Feeder Cattle^ |
5 | Oct-2023 | 607 | 631 | 24 | |||||||||||||||
Feeder Cattle^ |
8 | Sep-2023 | 967 | 1,003 | 36 | |||||||||||||||
Feeder Cattle^ |
13 | Aug-2023 | 1,488 | 1,609 | 121 | |||||||||||||||
FTSE 100 Index |
393 | Sep-2023 | 37,557 | 37,680 | (291 | ) | ||||||||||||||
FTSE MIB Index |
154 | Sep-2023 | 23,056 | 23,827 | 557 | |||||||||||||||
FTSE Taiwan Index |
224 | Jul-2023 | 12,973 | 12,943 | (30 | ) | ||||||||||||||
FTSE/JSE Top 40 Index |
112 | Sep-2023 | 4,353 | 4,211 | (67 | ) | ||||||||||||||
Gasoline^ |
6 | Sep-2023 | 543 | 559 | 16 | |||||||||||||||
Gasoline |
16 | Jul-2023 | 1,657 | 1,710 | 53 | |||||||||||||||
Gasoline |
60 | Aug-2023 | 6,062 | 6,206 | 144 | |||||||||||||||
Gold |
155 | Aug-2023 | 31,544 | 29,906 | (1,638 | ) | ||||||||||||||
Gold^ |
1 | Dec-2023 | 197 | 197 | – | |||||||||||||||
Hang Seng China Enterprises Index |
270 | Jul-2023 | 11,042 | 10,944 | (93 | ) | ||||||||||||||
Hang Seng Index |
124 | Jul-2023 | 14,915 | 14,879 | (26 | ) | ||||||||||||||
IBEX |
109 | Jul-2023 | 10,927 | 11,357 | 324 | |||||||||||||||
Japanese 10-Year Bond |
283 | Sep-2023 | 300,070 | 290,861 | 897 | |||||||||||||||
Japanese 10-Year Government Bond E-MINI |
1,117 | Sep-2023 | 118,419 | 114,749 | 271 | |||||||||||||||
KC HRW Wheat |
35 | Sep-2023 | 1,469 | 1,400 | (69 | ) | ||||||||||||||
KOSPI 200 Index |
216 | Sep-2023 | 14,258 | 13,954 | (168 | ) | ||||||||||||||
Lean Hogs^ |
54 | Aug-2023 | 1,970 | 2,000 | 31 | |||||||||||||||
Lean Hogs^ |
5 | Dec-2023 | 153 | 150 | (3 | ) | ||||||||||||||
Live Cattle^ |
66 | Aug-2023 | 4,310 | 4,677 | 368 | |||||||||||||||
Live Cattle^ |
12 | Dec-2023 | 858 | 881 | 23 | |||||||||||||||
LME Copper^ |
144 | Sep-2023 | 30,827 | 29,941 | (886 | ) | ||||||||||||||
LME Lead |
23 | Sep-2023 | 1,192 | 1,209 | 17 | |||||||||||||||
LME Nickel |
15 | Sep-2023 | 2,031 | 1,846 | (185 | ) | ||||||||||||||
LME Primary Aluminum^ |
1 | Dec-2023 | 55 | 55 | – | |||||||||||||||
LME Primary Aluminum |
57 | Sep-2023 | 3,237 | 3,060 | (177 | ) | ||||||||||||||
LME Zinc |
31 | Sep-2023 | 1,985 | 1,852 | (134 | ) | ||||||||||||||
Long Gilt 10-Year Bond |
274 | Sep-2023 | 32,397 | 33,198 | 20 | |||||||||||||||
Long Gilt 10-Year Bond |
759 | Sep-2023 | 90,617 | 91,960 | (1,110 | ) | ||||||||||||||
Low Sulphur Gasoil^ |
7 | Dec-2023 | 495 | 484 | (11 | ) |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Accumulation Fund (Continued)
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation/ |
|||||||||||||||
Low Sulphur Gasoil |
52 | Sep-2023 | $ | 3,619 | $ | 3,644 | $ | 25 | ||||||||||||
Low Sulphur Gasoil |
18 | Aug-2023 | 1,236 | 1,265 | 28 | |||||||||||||||
Mexican Bolsa Index |
9 | Sep-2023 | 289 | 288 | (2 | ) | ||||||||||||||
MSCI Emerging Markets |
1,149 | Sep-2023 | 57,947 | 57,329 | (618 | ) | ||||||||||||||
Natural Gas |
56 | Aug-2023 | 1,442 | 1,553 | 111 | |||||||||||||||
Natural Gas^ |
38 | Oct-2023 | 1,239 | 1,220 | (18 | ) | ||||||||||||||
Natural Gas |
25 | Jul-2023 | 681 | 700 | 18 | |||||||||||||||
NY Harbor ULSD |
7 | Jul-2023 | 695 | 720 | 25 | |||||||||||||||
NY Harbor ULSD^ |
40 | Aug-2023 | 4,055 | 4,103 | 48 | |||||||||||||||
NY Harbor ULSD^ |
5 | Nov-2023 | 504 | 508 | 5 | |||||||||||||||
NYMEX Cocoa^ |
38 | Sep-2023 | 1,164 | 1,274 | 110 | |||||||||||||||
NYMEX Cocoa |
22 | Dec-2023 | 714 | 740 | 26 | |||||||||||||||
OMX Stockholm 30 |
556 | Jul-2023 | 12,079 | 11,923 | (49 | ) | ||||||||||||||
Russell 2000 Index E-MINI |
1,117 | Sep-2023 | 106,119 | 106,322 | 202 | |||||||||||||||
S&P 500 Index E-MINI |
1,628 | Sep-2023 | 353,556 | 365,344 | 11,788 | |||||||||||||||
S&P Mid Cap 400 Index E-MINI |
86 | Sep-2023 | 22,174 | 22,739 | 565 | |||||||||||||||
S&P TSX 60 Index |
95 | Sep-2023 | 17,044 | 17,497 | 307 | |||||||||||||||
SGX Nifty 50 |
419 | Jul-2023 | 15,860 | 16,156 | 296 | |||||||||||||||
Silver |
90 | Sep-2023 | 10,588 | 10,359 | (229 | ) | ||||||||||||||
Soybean |
237 | Nov-2023 | 14,921 | 15,918 | 997 | |||||||||||||||
Soybean Meal |
10 | Dec-2023 | 432 | 397 | (35 | ) | ||||||||||||||
Soybean Meal |
220 | Dec-2023 | 8,417 | 8,741 | 324 | |||||||||||||||
Soybean Oil |
162 | Dec-2023 | 5,018 | 5,732 | 714 | |||||||||||||||
SPI 200 Index |
202 | Sep-2023 | 24,203 | 24,072 | 206 | |||||||||||||||
Sugar No. 11 |
496 | Sep-2023 | 13,783 | 12,660 | (1,123 | ) | ||||||||||||||
TOPIX Index |
447 | Sep-2023 | 70,921 | 70,760 | 2,060 | |||||||||||||||
U.S. 2-Year Treasury Note |
1,396 | Oct-2023 | 287,802 | 283,868 | (3,934 | ) | ||||||||||||||
U.S. 5-Year Treasury Note |
2,437 | Sep-2023 | 265,901 | 260,988 | (4,913 | ) | ||||||||||||||
U.S. 10-Year Treasury Note |
2,746 | Sep-2023 | 313,226 | 308,281 | (4,945 | ) | ||||||||||||||
U.S. Long Treasury Bond |
267 | Sep-2023 | 33,870 | 33,884 | 14 | |||||||||||||||
U.S. Long Treasury Bond |
608 | Sep-2023 | 77,347 | 77,159 | (188 | ) | ||||||||||||||
U.S. Ultra Long Treasury Bond |
228 | Sep-2023 | 30,747 | 31,058 | 311 | |||||||||||||||
Wheat |
16 | Dec-2023 | 579 | 535 | (44 | ) | ||||||||||||||
Wheat^ |
28 | Sep-2023 | 991 | 911 | (80 | ) | ||||||||||||||
WTI Crude Oil |
6 | Nov-2023 | 417 | 422 | 5 | |||||||||||||||
WTI Crude Oil^ |
99 | Aug-2023 | 6,893 | 7,007 | 115 | |||||||||||||||
3,157,566 | 3,143,807 | (5,681 | ) | |||||||||||||||||
Short Contracts |
||||||||||||||||||||
Aluminum^ |
(5 | ) | Oct-2023 | $ | (282 | ) | $ | (269 | ) | $ | 13 | |||||||||
DAX Index |
(14 | ) | Sep-2023 | (6,148 | ) | (6,213 | ) | (75 | ) | |||||||||||
FTSE KLCI |
(1 | ) | Jul-2023 | (15 | ) | (15 | ) | – | ||||||||||||
MSCI Singapore Index |
(115 | ) | Jul-2023 | (2,454 | ) | (2,455 | ) | (3 | ) | |||||||||||
OMX Stockholm 30 |
(365 | ) | Jul-2023 | (7,900 | ) | (7,827 | ) | (18 | ) | |||||||||||
Platinum^ |
(1 | ) | Jun-2024 | (14 | ) | (14 | ) | – | ||||||||||||
SET 50 |
(401 | ) | Sep-2023 | (2,045 | ) | (2,069 | ) | (28 | ) | |||||||||||
WTI Crude Oil |
(129 | ) | Jul-2023 | (8,968 | ) | (9,113 | ) | (145 | ) | |||||||||||
(27,826 | ) | (27,975 | ) | (256 | ) | |||||||||||||||
$ | 3,129,740 | $ | 3,115,832 | $ | (5,937 | ) |
A list of the open forward foreign currency contracts held by the Fund at June 30, 2023 is as follows:
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
Barclays PLC |
08/30/23 | GBP | 26,000 | USD | 33,066 | $ | 10 | |||||||||||||||||
BNP Paribas |
07/28/23 | HKD | 287 | USD | 37 | — | ||||||||||||||||||
BNYMellon |
07/28/23 | EUR | 32 | USD | 35 | — | ||||||||||||||||||
BNYMellon |
07/28/23 | GBP | 5,010 | USD | 6,390 | 20 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Accumulation Fund (Continued)
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
BNYMellon |
07/28/23 | AUD | 5,640 | USD | 3,787 | $ | 30 | |||||||||||||||||
BNYMellon |
07/28/23 | CAD | 9,170 | USD | 6,970 | 36 | ||||||||||||||||||
BNYMellon |
07/28/23 | HKD | 26,290 | USD | 3,358 | 1 | ||||||||||||||||||
BNYMellon |
07/28/23 | JPY | 2,639,080 | USD | 18,474 | 127 | ||||||||||||||||||
Citigroup |
09/20/23 | USD | 45 | SGD | 61 | — | ||||||||||||||||||
Citigroup |
09/20/23 | PLN | 558 | USD | 136 | (1 | ) | |||||||||||||||||
Citigroup |
09/20/23 | USD | 1,036 | TWD | 31,500 | (22 | ) | |||||||||||||||||
Citigroup |
09/20/23 | USD | 1,196 | COP | 5,350,000 | 62 | ||||||||||||||||||
Citigroup |
09/20/23 | USD | 332 | IDR | 4,999,857 | — | ||||||||||||||||||
Citigroup |
09/20/23 | USD | 939 | IDR | 14,000,143 | (7 | ) | |||||||||||||||||
Citigroup |
09/20/23 | SGD | 2,109 | USD | 1,569 | 5 | ||||||||||||||||||
Citigroup |
09/20/23 | BRL | 38 | USD | 8 | — | ||||||||||||||||||
Citigroup |
09/20/23 | BRL | 2,301 | USD | 458 | (13 | ) | |||||||||||||||||
Citigroup |
09/20/23 | USD | 2,563 | EUR | 2,349 | 10 | ||||||||||||||||||
Citigroup |
09/20/23 | USD | 1,421 | EUR | 1,293 | (5 | ) | |||||||||||||||||
Citigroup |
09/20/23 | USD | 1,124 | CLP | 918,254 | 10 | ||||||||||||||||||
Citigroup |
09/20/23 | USD | 3,426 | CLP | 2,754,763 | (25 | ) | |||||||||||||||||
Citigroup |
09/20/23 | ILS | 3,519 | USD | 957 | 5 | ||||||||||||||||||
Citigroup |
09/20/23 | ILS | 1,142 | USD | 307 | (2 | ) | |||||||||||||||||
Citigroup |
09/20/23 | USD | 4,788 | CZK | 106,032 | 66 | ||||||||||||||||||
Citigroup |
09/20/23 | USD | 46 | CZK | 1,000 | (1 | ) | |||||||||||||||||
Citigroup |
09/20/23 | USD | 4,944 | HUF | 1,765,496 | 119 | ||||||||||||||||||
Citigroup |
09/20/23 | USD | 72 | HUF | 25,000 | (1 | ) | |||||||||||||||||
Citigroup |
09/20/23 | CNH | 4,982 | USD | 706 | 16 | ||||||||||||||||||
Citigroup |
09/20/23 | CNH | 1,827 | USD | 253 | — | ||||||||||||||||||
Citigroup |
09/20/23 | USD | 4,249 | ZAR | 83,379 | 129 | ||||||||||||||||||
Citigroup |
09/20/23 | USD | 2,999 | ZAR | 56,000 | (59 | ) | |||||||||||||||||
Citigroup |
09/20/23 | USD | 9,498 | PLN | 40,086 | 331 | ||||||||||||||||||
Citigroup |
09/20/23 | USD | 15 | PLN | 60 | — | ||||||||||||||||||
Citigroup |
09/20/23 | USD | 11,474 | BRL | 58,005 | 374 | ||||||||||||||||||
Citigroup |
09/20/23 | USD | 734 | BRL | 3,558 | (8 | ) | |||||||||||||||||
Citigroup |
09/20/23 | USD | 13,741 | CNH | 96,673 | (355 | ) | |||||||||||||||||
Citigroup |
09/20/23 | GBP | 1,445 | USD | 1,848 | 11 | ||||||||||||||||||
Citigroup |
09/20/23 | GBP | 17,146 | USD | 21,330 | (469 | ) | |||||||||||||||||
Citigroup |
09/20/23 | USD | 20,197 | INR | 1,675,125 | 161 | ||||||||||||||||||
Citigroup |
09/20/23 | USD | 547 | INR | 45,000 | (1 | ) | |||||||||||||||||
Citigroup |
09/20/23 | USD | 21,460 | MXN | 386,703 | 736 | ||||||||||||||||||
Citigroup |
09/20/23 | USD | 10,655 | KRW | 14,014,441 | 32 | ||||||||||||||||||
Citigroup |
09/20/23 | USD | 13,233 | KRW | 17,114,441 | (182 | ) | |||||||||||||||||
Citigroup |
09/20/23 | MXN | 12,340 | USD | 711 | 2 | ||||||||||||||||||
Citigroup |
09/20/23 | MXN | 14,660 | USD | 840 | (2 | ) | |||||||||||||||||
Citigroup |
09/20/23 | ZAR | 29,000 | USD | 1,539 | 16 | ||||||||||||||||||
Citigroup |
09/20/23 | PHP | 50,000 | USD | 888 | (15 | ) | |||||||||||||||||
Citigroup |
09/20/23 | CZK | 52,500 | USD | 2,374 | (30 | ) | |||||||||||||||||
Citigroup |
09/20/23 | EUR | 2,137 | USD | 2,350 | 9 | ||||||||||||||||||
Citigroup |
09/20/23 | EUR | 93,678 | USD | 100,852 | (1,766 | ) | |||||||||||||||||
Citigroup |
09/20/23 | HUF | 95,000 | USD | 273 | — | ||||||||||||||||||
Citigroup |
09/20/23 | HUF | 270,000 | USD | 763 | (11 | ) | |||||||||||||||||
Citigroup |
09/20/23 | CLP | 536,424 | USD | 666 | 3 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Accumulation Fund (Continued)
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
Citigroup |
09/20/23 | CLP | 63,576 | USD | 78 | $ | (1 | ) | ||||||||||||||||
Citigroup |
09/20/23 | KRW | 961,429 | USD | 739 | 6 | ||||||||||||||||||
Citigroup |
09/20/23 | KRW | 2,938,571 | USD | 2,235 | (6 | ) | |||||||||||||||||
JPMorgan Chase Bank |
07/28/23 | JPY | 6,249 | USD | 43 | — | ||||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | USD | 45 | SGD | 61 | — | ||||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | PLN | 558 | USD | 136 | (1 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | USD | 1,036 | TWD | 31,500 | (21 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | USD | 1,196 | COP | 5,350,000 | 62 | ||||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | USD | 332 | IDR | 4,999,857 | — | ||||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | USD | 939 | IDR | 14,000,143 | (7 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | SGD | 2,109 | USD | 1,569 | 6 | ||||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | BRL | 38 | USD | 8 | — | ||||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | BRL | 2,301 | USD | 458 | (12 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | USD | 2,563 | EUR | 2,349 | 11 | ||||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | USD | 729 | EUR | 663 | (3 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | USD | 1,124 | CLP | 918,254 | 10 | ||||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | USD | 3,426 | CLP | 2,754,763 | (25 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | ILS | 3,519 | USD | 957 | 6 | ||||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | ILS | 1,142 | USD | 307 | (1 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | USD | 4,788 | CZK | 106,032 | 67 | ||||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | USD | 46 | CZK | 1,000 | — | ||||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | USD | 4,944 | HUF | 1,765,496 | 120 | ||||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | USD | 72 | HUF | 25,000 | (1 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | CNH | 4,982 | USD | 706 | 17 | ||||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | CNH | 1,827 | USD | 253 | — | ||||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | USD | 4,249 | ZAR | 83,379 | 130 | ||||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | USD | 2,999 | ZAR | 56,000 | (58 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | USD | 9,498 | PLN | 40,086 | 332 | ||||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | USD | 15 | PLN | 60 | — | ||||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | USD | 11,474 | BRL | 58,005 | 374 | ||||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | USD | 734 | BRL | 3,558 | (7 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | GBP | 12,705 | USD | 15,798 | (355 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | USD | 13,741 | CNH | 96,673 | (355 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | USD | 20,197 | INR | 1,675,125 | 162 | ||||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | USD | 547 | INR | 45,000 | — | ||||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | USD | 21,460 | MXN | 386,703 | 736 | ||||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | USD | 10,656 | KRW | 14,014,440 | 31 | ||||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | USD | 13,233 | KRW | 17,114,441 | (181 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | MXN | 12,340 | USD | 711 | 3 | ||||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | MXN | 14,660 | USD | 840 | (1 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | ZAR | 29,000 | USD | 1,539 | 17 | ||||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | PHP | 50,000 | USD | 888 | (15 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | CZK | 52,500 | USD | 2,374 | (29 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | EUR | 1,161 | USD | 1,273 | 1 | ||||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | EUR | 81,290 | USD | 87,514 | (1,534 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | HUF | 95,000 | USD | 273 | — | ||||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | HUF | 270,000 | USD | 763 | (11 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | CLP | 536,424 | USD | 666 | 4 | ||||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | CLP | 63,576 | USD | 78 | — |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Accumulation Fund (Continued)
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | KRW | 961,429 | USD | 739 | $ | 6 | |||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | KRW | 2,938,571 | USD | 2,235 | (6 | ) | |||||||||||||||||
State Street |
07/28/23 | CHF | 3,640 | USD | 4,084 | 2 | ||||||||||||||||||
State Street |
07/28/23 | EUR | 17,290 | USD | 18,990 | 100 | ||||||||||||||||||
State Street |
08/30/23 | EUR | 33,500 | USD | 36,603 | (54 | ) | |||||||||||||||||
$ | (1,135 | ) |
A list of open OTC swap agreements held by the Fund at June 30, 2023, is as follows:
Total Return Swaps |
||||||||||||||||||||||||||||||||||||||||
Counterparty |
Reference Entity/ Obligation |
Fund Pays |
Fund Receives |
Payment Frequency |
Termination Date |
Currency |
Notional Amount ($ Thousands) |
Value |
Upfront Payments |
Net Unrealized |
||||||||||||||||||||||||||||||
Bank of America |
TAIEX FUTURES JUL23 | NEGATIVE PRICE RETURN | POSITIVE PRICE RETURN | At Maturity |
07/19/2023 | TWD | $ | 8,015 | $ | 7,762 | $ | – | $ | (253 | ) | |||||||||||||||||||||||||
JPMorgan Chase |
AEX INDEX FUTURE SWAP - JUL23 |
NEGATIVE PRICE RETURN | POSITIVE PRICE RETURN | At Maturity |
07/21/2023 | EUR | (7,508 | ) | (7,612 | ) | – | (104 | ) | |||||||||||||||||||||||||||
Bank of America |
HSCEI FUTURES SWAP JUN23 |
POSITIVE PRICE RETURN | ASSET RETURN |
At Maturity |
07/28/2023 | HKD | 12,357 | 12,241 | – | (116 | ) | |||||||||||||||||||||||||||||
JPMorgan Chase |
HSCEI FUTURES SWAP JUN23 |
POSITIVE PRICE RETURN | ASSET RETURN |
At Maturity |
07/28/2023 | HKD | 12,157 | 12,120 | – | (37 | ) | |||||||||||||||||||||||||||||
Bank of America |
BOVESPA INDEX FUTURE AUG23 | POSITIVE PRICE RETURN | POSITIVE PRICE RETURN | At Maturity |
08/16/2023 | BRL | 9,662 | 9,690 | – | 29 | ||||||||||||||||||||||||||||||
Bank of America |
KOSPI 200 INDEX FUTURE SEP23 | NEGATIVE PRICE RETURN | POSITIVE PRICE RETURN | At Maturity |
09/14/2023 | KRW | 2,833 | 2,778 | – | (55 | ) | |||||||||||||||||||||||||||||
JPMorgan Chase |
KOSPI 200 INDEX FUTURE SEP23 | NEGATIVE PRICE RETURN | POSITIVE PRICE RETURN | At Maturity |
09/14/2023 | KRW | 1,651 | 1,615 | – | (36 | ) | |||||||||||||||||||||||||||||
Bank of America |
WIG 20 INDEX FUTURE SWAP - SEP23 |
NEGATIVE PRICE RETURN | POSITIVE PRICE RETURN | At Maturity |
09/15/2023 | PLN | 200 | 201 | – | 1 | ||||||||||||||||||||||||||||||
Bank of America |
SWISS MARKET INDEX FUTURE | NEGATIVE PRICE RETURN | POSITIVE PRICE RETURN | At Maturity |
09/15/2023 | CHF | 9,409 | 9,496 | – | 87 | ||||||||||||||||||||||||||||||
Citibank |
MSCI INTERNATIONAL SINGAPORE NET INDEX | ASSET RETURN |
SIBCSORA INDEX | Monthly | 09/20/2023 | SGD | 1,183 | 9 | – | 9 | ||||||||||||||||||||||||||||||
Citibank |
MSCI INTERNATIONAL SWEDEN NET INDEX | ASSET RETURN |
STBB1M INDEX | Monthly | 09/20/2023 | SEK | 13,783 | 10 | – | 10 | ||||||||||||||||||||||||||||||
Citibank |
MSCI INTERNATIONAL MEXICO NET RETURN INDEX | MXIBTIIE INDEX | ASSET RETURN |
Monthly | 09/20/2023 | MXN | 144 | – | – | – | ||||||||||||||||||||||||||||||
Bank of America |
TEL AVIV 35 INDEX | TELBOR01 INDEX | ASSET RETURN |
Monthly | 09/20/2023 | ILS | 1,204 | (13 | ) | – | (13 | ) | ||||||||||||||||||||||||||||
Citibank |
MSCI INTERNATIONAL UNITED KINGDOM NET INDEX | SONIO/N INDEX | ASSET RETURN |
Monthly | 09/20/2023 | GBP | 86 | (1 | ) | – | (1 | ) | ||||||||||||||||||||||||||||
Citibank |
MSCI INTERNATIONAL NETHERLANDS NET INDEX | ASSET RETURN |
ESTRON INDEX | Monthly | 09/20/2023 | EUR | 1,337 | 8 | – | 8 | ||||||||||||||||||||||||||||||
Citibank |
MSCI INTERNATIONAL ITALY NET INDEX | ESTRON INDEX | ASSET RETURN |
Monthly | 09/20/2023 | EUR | 1,631 | 50 | – | 50 | ||||||||||||||||||||||||||||||
Citibank |
MSCI INTERNATIONAL SOUTH AFRICA NET INDEX | JIBA1M INDEX | ASSET RETURN |
Monthly | 09/20/2023 | ZAR | 10,496 | (12 | ) | – | (12 | ) | ||||||||||||||||||||||||||||
Citibank |
MSCI INTERNATIONAL CANADA NET INDEX | ASSET RETURN |
CDOR01 INDEX | Monthly | 09/20/2023 | CAD | 1,793 | (14 | ) | – | (14 | ) | ||||||||||||||||||||||||||||
Bank of America |
FTSE/JSE SHAREHOLDER WEIGHTED TOP 40 INDEX FUTURE | POSITIVE PRICE RETURN | POSITIVE PRICE RETURN | At Maturity |
09/21/2023 | ZAR | 35 | 35 | – | – | ||||||||||||||||||||||||||||||
$ | 48,363 | $ | – | $ | (447 | ) |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Accumulation Fund (Concluded)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Income Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Income Fund (Continued)
A list of the open exchange traded options contracts held by the Fund at June 30, 2023 is as follows:
Description |
Number of Contracts |
Notional Amount |
Exercise Price |
Expiration Date |
Value |
|||||||||||||||
PURCHASED OPTIONS — 0.1% |
||||||||||||||||||||
Put Options |
||||||||||||||||||||
USD Put |
6,820,000 | $ | 7,911 | $ | 1.16 | 9/16/2023 | $ | 1 | ||||||||||||
USD Put |
2,800,000 | 6,720 | 2.40 | 7/22/2023 | – | |||||||||||||||
14,631 | 1 | |||||||||||||||||||
Call Options |
||||||||||||||||||||
December 2023, 3 Month SOFR |
6 | $ | 1,489 | 99.25 | 12/16/2023 | $ | – | |||||||||||||
USD Call |
2,820,000 | 7,896 | 2.80 | 8/19/2023 | 182 | |||||||||||||||
USD Call |
2,820,000 | 8,347 | 2.96 | 9/16/2023 | 147 | |||||||||||||||
USD Call |
3,100,000 | 4,123 | 1.33 | 8/19/2023 | 21 | |||||||||||||||
21,855 | 350 | |||||||||||||||||||
Total Purchased Options |
$ | 36,486 | $ | 351 | ||||||||||||||||
WRITTEN OPTIONS — 0.0% |
||||||||||||||||||||
Put Options |
||||||||||||||||||||
USD Put |
(2,800,000 | ) | $ | (4,900 | ) | 1.75 | 07/22/2023 | $ | – | |||||||||||
USD Put |
(2,800,000 | ) | (5,810 | ) | 2.08 | 07/22/2023 | – | |||||||||||||
(10,710 | ) | – | ||||||||||||||||||
Call Options |
||||||||||||||||||||
USD Call |
(2,820,000 | ) | (10,857 | ) | 3.85 | 09/16/2023 | (18 | ) | ||||||||||||
USD Call |
(2,820,000 | ) | (10,321 | ) | 3.66 | 08/19/2023 | (28 | ) | ||||||||||||
USD Call |
(2,820,000 | ) | (9,602 | ) | 3.41 | 09/16/2023 | (64 | ) | ||||||||||||
USD Call |
(2,820,000 | ) | (9,109 | ) | 3.23 | 08/19/2023 | (91 | ) | ||||||||||||
(39,889 | ) | (201 | ) | |||||||||||||||||
Total Written Options |
$ | (50,599 | ) | $ | (201 | ) | ||||||||||||||
A list of open OTC swaptions held by the Fund at June 30, 2023, is as follows:
Description |
Counterparty |
Number of Contracts/ Notional Amount |
Exercise Price |
Expiration Date |
Value |
|||||||||||||||
PURCHASED SWAPTION — 0.0% |
||||||||||||||||||||
Call Swaptions |
||||||||||||||||||||
Swaption Call* |
Bank of America Merrill Lynch | 5,406,000 | $ | 102.00 | 09/16/2023 | $ | 75 | |||||||||||||
WRITTEN SWAPTION — 0.0% |
||||||||||||||||||||
Call Swaptions |
||||||||||||||||||||
Swaption Call* |
Bank of America Merrill Lynch | (27,029,000 | ) | $ | 70.00 | 09/16/2023 | $ | (62 | ) | |||||||||||
A list of the open futures contracts held by the Fund at June 30, 2023 is as follows:
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation/ |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
3 Month SOFR |
52 | Mar-2025 | $ | 12,561 | $ | 12,477 | $ | (84 | ) | |||||||||||
Australian 10-Year Bond |
24 | Sep-2023 | 1,882 | 1,856 | (24 | ) | ||||||||||||||
Euro-Bobl |
5 | Sep-2023 | 626 | 631 | (6 | ) | ||||||||||||||
ICE 3-Month SONIA |
22 | Sep-2023 | 6,384 | 6,630 | (65 | ) | ||||||||||||||
ICE 3-Month SONIA |
116 | Dec-2023 | 33,942 | 34,675 | (451 | ) | ||||||||||||||
ICE 3-Month SONIA |
76 | Mar-2024 | 22,224 | 22,649 | (282 | ) | ||||||||||||||
Long Gilt 10-Year Bond |
27 | Sep-2023 | 3,259 | 3,271 | (62 | ) |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Income Fund (Continued)
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation/ |
|||||||||||||||
U.S. 2-Year Treasury Note |
481 | Oct-2023 | $ | 99,066 | $ | 97,808 | $ | (1,258 | ) | |||||||||||
U.S. 5-Year Treasury Note |
88 | Sep-2023 | 9,509 | 9,424 | (85 | ) | ||||||||||||||
U.S. 10-Year Treasury Note |
741 | Sep-2023 | 84,142 | 83,189 | (953 | ) | ||||||||||||||
U.S. Long Treasury Bond |
48 | Sep-2023 | 6,083 | 6,092 | 9 | |||||||||||||||
U.S. Long Treasury Bond |
101 | Sep-2023 | 12,946 | 12,818 | (128 | ) | ||||||||||||||
U.S. Ultra Long Treasury Bond |
152 | Sep-2023 | 20,505 | 20,705 | 200 | |||||||||||||||
Ultra 10-Year U.S. Treasury Note |
101 | Sep-2023 | 12,083 | 11,962 | (121 | ) | ||||||||||||||
325,212 | 324,187 | (3,310 | ) | |||||||||||||||||
Short Contracts |
||||||||||||||||||||
3 Month SOFR |
(19 | ) | Sep-2023 | $ | (4,535 | ) | $ | (4,502 | ) | $ | 32 | |||||||||
3 Month SOFR |
(90 | ) | Mar-2024 | (21,412 | ) | (21,294 | ) | 118 | ||||||||||||
(25,947 | ) | (25,796 | ) | 150 | ||||||||||||||||
$ | 299,265 | $ | 298,391 | $ | (3,160 | ) |
A list of the open forward foreign currency contracts held by the Fund at June 30, 2023 is as follows:
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
Bank of America |
08/08/23 | GBP | 1,092 | USD | 1,370 | $ | (19 | ) | ||||||||||||||||
Barclays PLC |
09/20/23 | NZD | 940 | USD | 574 | (1 | ) | |||||||||||||||||
BNP Paribas |
07/18/23 | USD | 504 | EUR | 470 | 9 | ||||||||||||||||||
BNP Paribas |
07/18/23 | USD | 629 | CAD | 855 | 17 | ||||||||||||||||||
BNP Paribas |
07/18/23 | EUR | 2,000 | USD | 2,205 | 21 | ||||||||||||||||||
BNP Paribas |
07/18/23 | EUR | 1,221 | USD | 1,308 | (25 | ) | |||||||||||||||||
BNP Paribas |
07/18/23 | CAD | 4,013 | USD | 3,001 | (32 | ) | |||||||||||||||||
Citigroup |
07/18/23 | AUD | 48 | USD | 33 | 1 | ||||||||||||||||||
Deutsche Bank |
08/16/23 | USD | 472 | MXN | 8,593 | 24 | ||||||||||||||||||
Goldman Sachs |
07/18/23 | GBP | 235 | USD | 291 | (8 | ) | |||||||||||||||||
Goldman Sachs |
07/18/23 | EUR | 690 | USD | 768 | 15 | ||||||||||||||||||
Goldman Sachs |
07/18/23 | USD | 767 | MXN | 14,170 | 56 | ||||||||||||||||||
Goldman Sachs |
07/18/23 | USD | 2,019 | CAD | 2,687 | 13 | ||||||||||||||||||
Goldman Sachs |
07/18/23 | USD | 3,608 | JPY | 483,180 | (255 | ) | |||||||||||||||||
Goldman Sachs |
07/18/23 | MXN | 21,930 | USD | 1,228 | (46 | ) | |||||||||||||||||
Goldman Sachs |
07/18/23 | JPY | 221,923 | USD | 1,676 | 136 | ||||||||||||||||||
JPMorgan Chase Bank |
07/18/23 | USD | 10 | NZD | 16 | — | ||||||||||||||||||
JPMorgan Chase Bank |
07/18/23 | CAD | 500 | USD | 374 | (4 | ) | |||||||||||||||||
JPMorgan Chase Bank |
07/18/23 | EUR | 2,781 | USD | 3,057 | 20 | ||||||||||||||||||
JPMorgan Chase Bank |
07/18/23 | IDR | 10,942,340 | USD | 730 | 1 | ||||||||||||||||||
JPMorgan Chase Bank |
09/20/23 | USD | 392 | JPY | 55,434 | (4 | ) | |||||||||||||||||
Morgan Stanley |
07/18/23 | ZAR | 30 | USD | 2 | — | ||||||||||||||||||
Morgan Stanley |
07/18/23 | USD | 583 | BRL | 2,983 | 34 | ||||||||||||||||||
Morgan Stanley |
07/18/23 | USD | 914 | GBP | 732 | 16 | ||||||||||||||||||
Morgan Stanley |
07/18/23 | USD | 1,015 | JPY | 136,890 | (64 | ) | |||||||||||||||||
Morgan Stanley |
07/18/23 | USD | 1,878 | EUR | 1,700 | (21 | ) | |||||||||||||||||
Morgan Stanley |
07/18/23 | USD | 2,021 | CNH | 14,160 | (72 | ) | |||||||||||||||||
Morgan Stanley |
07/18/23 | BRL | 2,910 | USD | 576 | (26 | ) | |||||||||||||||||
Morgan Stanley |
07/18/23 | AUD | 3,130 | USD | 2,157 | 72 | ||||||||||||||||||
Morgan Stanley |
07/18/23 | USD | 3,352 | MXN | 61,749 | 235 | ||||||||||||||||||
Morgan Stanley |
07/18/23 | USD | 3,887 | NOK | 39,927 | (157 | ) | |||||||||||||||||
Morgan Stanley |
07/18/23 | NOK | 4,140 | USD | 394 | 7 | ||||||||||||||||||
Morgan Stanley |
07/18/23 | GBP | 5,499 | USD | 6,854 | (138 | ) | |||||||||||||||||
Morgan Stanley |
07/18/23 | USD | 291 | AUD | 440 | 2 |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Income Fund (Continued)
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
Morgan Stanley |
07/18/23 | USD | 7,488 | AUD | 11,125 | $ | (79 | ) | ||||||||||||||||
Morgan Stanley |
07/18/23 | CNH | 9,180 | USD | 1,342 | 78 | ||||||||||||||||||
Morgan Stanley |
07/18/23 | MXN | 70,320 | USD | 3,919 | (167 | ) | |||||||||||||||||
Morgan Stanley |
09/19/23 | EUR | 12,888 | USD | 14,199 | 81 | ||||||||||||||||||
Morgan Stanley |
09/20/23 | GBP | 590 | USD | 739 | (10 | ) | |||||||||||||||||
Morgan Stanley |
09/20/23 | EUR | 859 | USD | 926 | (15 | ) | |||||||||||||||||
Morgan Stanley |
09/20/23 | AUD | 1,031 | USD | 692 | 5 | ||||||||||||||||||
Morgan Stanley |
09/20/23 | CAD | 1,093 | USD | 821 | (6 | ) | |||||||||||||||||
State Street |
09/20/23 | USD | 1,707 | CHF | 1,529 | 18 | ||||||||||||||||||
State Street |
09/20/23 | USD | 313 | CHF | 278 | — | ||||||||||||||||||
UBS |
09/20/23 | USD | 1,379 | JPY | 189,233 | (53 | ) | |||||||||||||||||
UBS |
09/20/23 | SEK | 6,432 | USD | 597 | (1 | ) | |||||||||||||||||
Westpac Banking |
09/20/23 | NOK | 7,242 | USD | 660 | (19 | ) | |||||||||||||||||
$ | (361 | ) |
A list of the open centrally cleared swap agreements held by the Fund at June 30, 2023 is as follows:
Credit Default Swaps - Buy Protection |
Reference Entity/ Obligation |
Pay Rate |
Payment Frequency |
Termination Date |
Notional Amount |
Value |
Upfront Payments/ Receipts |
Net Unrealized |
|||||||||||||||||||||
CDS-CDX.NA.HY.4006/28@500 |
5.00% | Quarterly | 06/20/2028 | $ | 3,753 | $ | (108 | ) | $ | 11 | $ | (119 | ) | |||||||||||||||
CDS-DAIGR@100BP5.1Y |
1.00% | Quarterly | 12/20/2024 | 1,290 | (13 | ) | (8 | ) | (5 | ) | ||||||||||||||||||
CDS-GM@500BP4.9Y |
5.00% | Quarterly | 06/20/2026 | 1,450 | (153 | ) | (168 | ) | 15 | |||||||||||||||||||
$ | (274 | ) | $ | (165 | ) | $ | (109 | ) |
Credit Default Swaps - Sell Protection |
Reference Entity/ Obligation |
Receive Rate |
Payment Frequency |
Termination Date |
Notional Amount |
Value |
Upfront Payments/ Receipts |
Net Unrealized |
|||||||||||||||||||||
CDS-F@500BPS 4.9Y |
5.00% | Quarterly | 06/20/2026 | $ | 1,450 | $ | 122 | $ | 125 | $ | (3 | ) | ||||||||||||||||
CDS-VW@100BP5.1Y |
1.00% | Quarterly | 12/20/2024 | 1,290 | 8 | 4 | 4 | |||||||||||||||||||||
ICE CD BA 1.00 20JUN24 P |
1.00% | Quarterly | 06/20/2024 | 525 | 3 | 2 | 1 | |||||||||||||||||||||
ICE CD CDXIG533 1.00 20DE |
1.00% | Quarterly | 12/20/2024 | 2,375 | 23 | 18 | 5 | |||||||||||||||||||||
ICE CD CDXIG534 1.00 20JU |
1.00% | Quarterly | 06/20/2025 | 26,200 | 292 | 156 | 136 | |||||||||||||||||||||
ICE CD CHILE 1.00 20JUN28 |
1.00% | Quarterly | 06/20/2028 | 210 | 3 | – | 3 | |||||||||||||||||||||
ICE CD CXPHY534 5.00 20JU |
5.00% | Quarterly | 06/25/2025 | 6,092 | 226 | (93 | ) | 319 | ||||||||||||||||||||
ICE CD GE 1.00 20JUN26 P |
1.00% | Quarterly | 06/20/2026 | 1,175 | 13 | 11 | 2 | |||||||||||||||||||||
ICE CD PERU 1.00 20JUN28 |
1.00% | Quarterly | 06/20/2028 | 980 | 10 | (11 | ) | 21 | ||||||||||||||||||||
ICE CD PHILIP 1.00 20JUN2 |
1.00% | Quarterly | 06/20/2028 | 390 | 3 | – | 3 | |||||||||||||||||||||
ICE CD US91087BAC46 1.00 |
1.00% | Quarterly | 06/20/2028 | 1,160 | (2 | ) | (8 | ) | 6 | |||||||||||||||||||
$ | 701 | $ | 204 | $ | 497 |
Interest Rate Swaps |
Fund Pays |
Fund Receives |
Payment Frequency |
Termination Date |
Currency |
Notional Amount |
Value |
Upfront Payments/ Receipts |
Net Unrealized |
||||||||||||||||||||||||||||
BZDIOVRA |
12.30% | Monthly | 01/02/2024 | BRL | 1,690 | $ | (1 | ) | $ | – | $ | (1 | ) | |||||||||||||||||||||||
12.795% |
BZDIOVRA | Monthly | 01/02/2024 | BRL | 7,200 | – | – | – | ||||||||||||||||||||||||||||
11.814% |
BZDIOVRA | Monthly | 01/02/2024 | BRL | 12,765 | (12 | ) | 2 | (14 | ) | ||||||||||||||||||||||||||
10.95% |
BZDIOVRA | Monthly | 01/02/2025 | BRL | 4,140 | (3 | ) | – | (3 | ) | ||||||||||||||||||||||||||
13.3% |
BZDIOVRA | Monthly | 01/02/2025 | BRL | 4,360 | (33 | ) | – | (33 | ) | ||||||||||||||||||||||||||
BZDIOVRA |
12.06% | Monthly | 01/02/2025 | BRL | 5,500 | 20 | (8 | ) | 28 |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Income Fund (Concluded)
Fund Pays |
Fund Receives |
Payment Frequency |
Termination Date |
Currency |
Notional Amount |
Value |
Upfront Payments/ Receipts |
Net Unrealized |
|||||||||||||||||||||||||||
BZDIOVRA |
12.063% | Monthly | 01/02/2025 | BRL | 6,480 | $ | 24 | $ | – | $ | 24 | ||||||||||||||||||||||||
BZDIOVRA |
10.85% | Monthly | 01/02/2026 | BRL | 2,750 | 7 | – | 7 | |||||||||||||||||||||||||||
BZDIOVRA |
8.495% | Monthly | 01/04/2027 | BRL | 1,200 | (12 | ) | (25 | ) | 13 | |||||||||||||||||||||||||
BZDIOVRA |
13.03% | Monthly | 01/04/2027 | BRL | 2,270 | 49 | 2 | 47 | |||||||||||||||||||||||||||
BRL @11.23% |
BZDIOVRA 1M | Monthly | 01/04/2027 | BRL | 800 | 5 | (6 | ) | 11 | ||||||||||||||||||||||||||
CME IR |
CME IR | Monthly | 01/02/2024 | BRL | 3,790 | 4 | – | 4 | |||||||||||||||||||||||||||
MXIBTIIE |
8.25% | Monthly | 09/13/2028 | MXN | 27,180 | 8 | – | 8 | |||||||||||||||||||||||||||
9.25% |
MXIBTIIE | Monthly | 09/17/2025 | MXN | 16,025 | 1 | – | 1 | |||||||||||||||||||||||||||
28-DAY MXN - TIIE |
7.2% | Monthly | 07/17/2024 | MXN | 365,383 | (790 | ) | – | (790 | ) | |||||||||||||||||||||||||
3.05% |
SD-SOFR-OIS | Annually | 02/15/2048 | USD | 2,879 | 121 | 106 | 15 | |||||||||||||||||||||||||||
3.15% FIXED |
USD-SOFR-OIS | Annually | 05/15/2048 | USD | 3,364 | 83 | – | 83 | |||||||||||||||||||||||||||
CNRR007 |
2.25% | Quarterly | 09/20/2025 | CNY | 31,620 | 13 | 1 | 12 | |||||||||||||||||||||||||||
CNRR007 |
2.50% | Quarterly | 09/20/2028 | CNY | 14,770 | 9 | (3 | ) | 12 | ||||||||||||||||||||||||||
3.50% |
EUR006M | Annually | 09/20/2026 | EUR | 2,710 | 4 | (6 | ) | 10 | ||||||||||||||||||||||||||
3.25% |
EUR006M | Annually | 09/20/2028 | EUR | 1,150 | (2 | ) | (4 | ) | 2 | |||||||||||||||||||||||||
3.25% |
EUR006M | Annually | 09/20/2030 | EUR | 3,150 | (38 | ) | (34 | ) | (4 | ) | ||||||||||||||||||||||||
3.25% |
EUR006M | Annually | 09/20/2033 | EUR | 2,980 | (71 | ) | (54 | ) | (17 | ) | ||||||||||||||||||||||||
3.00% |
EUR006M | Annually | 09/20/2043 | EUR | 330 | (11 | ) | (3 | ) | (8 | ) | ||||||||||||||||||||||||
2.50% |
EUR006M | Annually | 09/20/2053 | EUR | 260 | 1 | (9 | ) | 10 | ||||||||||||||||||||||||||
3.25% |
SONIO | Annually | 09/20/2033 | GBP | 430 | 45 | 45 | – | |||||||||||||||||||||||||||
KWCDC |
3.25% | Quarterly | 09/20/2028 | KRW | 2,777,030 | (22 | ) | (3 | ) | (19 | ) | ||||||||||||||||||||||||
KWCDC |
3.25% | Quarterly | 09/20/2033 | KRW | 716,480 | (7 | ) | (2 | ) | (5 | ) | ||||||||||||||||||||||||
PLN @ 5% |
WIBR6M | Annually | 09/20/2028 | PLN | 2,620 | (4 | ) | (2 | ) | (2 | ) | ||||||||||||||||||||||||
WIBR6M |
5.50% | Semi-Annually | 09/20/2033 | PLN | 3,950 | 38 | 15 | 23 | |||||||||||||||||||||||||||
3.00% |
SIBCSORA | Semi-Annually | 09/20/2028 | SGD | 1,720 | 37 | 6 | 31 | |||||||||||||||||||||||||||
SOFRRATE |
3.60% | Annually | 09/20/2028 | USD | 1,290 | (12 | ) | 4 | (16 | ) | |||||||||||||||||||||||||
3.50% |
SOFRRATE | Annually | 09/20/2033 | USD | 710 | – | (4 | ) | 4 | ||||||||||||||||||||||||||
SOFRRATE |
3.35% | Annually | 10/26/2027 | USD | 42,440 | 72 | 205 | (133 | ) | ||||||||||||||||||||||||||
3.24% |
SOFRRATE | Annually | 10/26/2035 | USD | 9,780 | (35 | ) | (45 | ) | 10 | |||||||||||||||||||||||||
9.25% |
JIBA3M | Quarterly | 09/20/2025 | ZAR | 25,175 | (18 | ) | (20 | ) | 2 | |||||||||||||||||||||||||
JIBA3M |
10.5% | Quarterly | 09/20/2033 | ZAR | 6,600 | 19 | 6 | 13 | |||||||||||||||||||||||||||
– | $ | (511 | ) | $ | 164 | $ | (675 | ) |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Inflation Managed Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Inflation Managed Fund (Continued)
A list of the open exchange traded options contracts held by the Fund at June 30, 2023, is as follows:
Description |
Number of Contracts |
Notional Amount |
Exercise Price |
Expiration Date |
Value |
|||||||||||||||
PURCHASED OPTION — 0.0% |
||||||||||||||||||||
Call Options |
||||||||||||||||||||
August 2023, Crude Oil Future Option^ |
36 | $ | 2,880 | $ | 80.00 | 7/22/2023 | $ | 3 | ||||||||||||
Total Purchased Option |
$ | 2,880 | $ | 3 | ||||||||||||||||
WRITTEN OPTIONS — 0.0% |
||||||||||||||||||||
Put Options |
||||||||||||||||||||
August 2023, Crude Oil Future Option^ |
(9 | ) | $ | (630 | ) | 70.00 | 07/22/2023 | $ | (14 | ) | ||||||||||
Call Options |
||||||||||||||||||||
August 2023, Crude Oil Future Option^ |
(36 | ) | (3,240 | ) | 90.00 | 07/22/2023 | (1 | ) | ||||||||||||
Total Written Options |
$ | (3,870 | ) | $ | (15 | ) | ||||||||||||||
A list of the open futures contracts held by the Fund at June 30, 2023, is as follows:
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation/ (Depreciation) (Thousands) |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
Brent Crude^ |
28 | Sep-2023 | $ | 2,065 | $ | 2,103 | $ | 38 | ||||||||||||
Brent Crude^ |
13 | Nov-2023 | 1,052 | 971 | (82 | ) | ||||||||||||||
Brent Crude^ |
26 | Jan-2024 | 1,906 | 1,929 | 22 | |||||||||||||||
Brent Crude^ |
56 | Jul-2023 | 4,261 | 4,223 | (38 | ) | ||||||||||||||
Brent Crude^ |
13 | Sep-2023 | 1,040 | 977 | (64 | ) | ||||||||||||||
Coffee C^ |
13 | Dec-2023 | 879 | 771 | (108 | ) | ||||||||||||||
Coffee C^ |
3 | Sep-2023 | 209 | 179 | (30 | ) | ||||||||||||||
Coffee C^ |
13 | Mar-2024 | 880 | 773 | (107 | ) | ||||||||||||||
Copper^ |
15 | Mar-2024 | 1,446 | 1,417 | (29 | ) | ||||||||||||||
Copper^ |
49 | Dec-2023 | 4,768 | 4,621 | (147 | ) | ||||||||||||||
Copper^ |
43 | Sep-2023 | 4,172 | 4,042 | (130 | ) | ||||||||||||||
Corn^ |
46 | Mar-2024 | 1,242 | 1,165 | (77 | ) | ||||||||||||||
Corn^ |
53 | Sep-2023 | 1,419 | 1,295 | (125 | ) | ||||||||||||||
Corn^ |
69 | Dec-2023 | 1,992 | 1,707 | (285 | ) | ||||||||||||||
Cotton No. 2^ |
10 | Dec-2023 | 405 | 402 | (4 | ) | ||||||||||||||
Cotton No. 2^ |
20 | Mar-2024 | 813 | 803 | (11 | ) | ||||||||||||||
Gasoline^ |
7 | Dec-2023 | 637 | 617 | (20 | ) | ||||||||||||||
Gasoline^ |
43 | Aug-2023 | 4,266 | 4,447 | 182 | |||||||||||||||
Gasoline^ |
4 | Oct-2023 | 376 | 362 | (14 | ) | ||||||||||||||
Gasoline^ |
4 | Feb-2024 | 351 | 354 | 4 | |||||||||||||||
Gasoline^ |
28 | Oct-2023 | 2,455 | 2,536 | 81 | |||||||||||||||
Gold^ |
11 | Aug-2023 | 2,076 | 2,122 | 46 | |||||||||||||||
Gold^ |
21 | Feb-2024 | 4,336 | 4,174 | (162 | ) | ||||||||||||||
Gold^ |
54 | Dec-2023 | 10,629 | 10,627 | (2 | ) | ||||||||||||||
Gold^ |
21 | Dec-2023 | 4,093 | 4,133 | 40 | |||||||||||||||
KC HRW Wheat^ |
12 | Mar-2024 | 482 | 478 | (5 | ) | ||||||||||||||
KC HRW Wheat^ |
6 | Sep-2023 | 237 | 240 | 3 | |||||||||||||||
KC HRW Wheat^ |
11 | Dec-2023 | 455 | 440 | (14 | ) | ||||||||||||||
Lean Hogs^ |
85 | Aug-2023 | 2,777 | 3,148 | 371 | |||||||||||||||
Lean Hogs^ |
9 | Dec-2023 | 278 | 271 | (8 | ) | ||||||||||||||
Lean Hogs^ |
64 | Oct-2023 | 2,084 | 2,006 | (78 | ) | ||||||||||||||
Lean Hogs^ |
16 | Feb-2024 | 509 | 517 | 8 | |||||||||||||||
Lean Hogs^ |
10 | Aug-2023 | 373 | 370 | (2 | ) | ||||||||||||||
Live Cattle^ |
20 | Oct-2023 | 1,371 | 1,436 | 66 | |||||||||||||||
Live Cattle^ |
7 | Dec-2023 | 481 | 514 | 33 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Inflation Managed Fund (Continued)
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation/ (Depreciation) (Thousands) |
|||||||||||||||
Live Cattle^ |
30 | Aug-2023 | $ | 2,067 | $ | 2,126 | $ | 59 | ||||||||||||
Live Cattle^ |
14 | Feb-2024 | 1,001 | 1,047 | 46 | |||||||||||||||
LME Lead^ |
2 | Mar-2024 | 103 | 105 | 2 | |||||||||||||||
LME Lead^ |
72 | Sep-2023 | 3,768 | 3,785 | 17 | |||||||||||||||
LME Lead^ |
2 | Nov-2023 | 106 | 105 | (1 | ) | ||||||||||||||
LME Lead^ |
5 | Jan-2024 | 266 | 262 | (4 | ) | ||||||||||||||
LME Nickel^ |
2 | Nov-2023 | 286 | 248 | (39 | ) | ||||||||||||||
LME Nickel^ |
4 | Jan-2024 | 548 | 499 | (48 | ) | ||||||||||||||
LME Nickel^ |
2 | Mar-2024 | 257 | 251 | (5 | ) | ||||||||||||||
LME Nickel^ |
1 | Sep-2023 | 165 | 123 | (42 | ) | ||||||||||||||
LME Primary Aluminum^ |
21 | Sep-2023 | 1,203 | 1,127 | (76 | ) | ||||||||||||||
LME Primary Aluminum^ |
98 | Jul-2023 | 5,478 | 5,197 | (282 | ) | ||||||||||||||
LME Primary Aluminum^ |
10 | Mar-2024 | 577 | 555 | (22 | ) | ||||||||||||||
LME Primary Aluminum^ |
20 | Jan-2024 | 1,186 | 1,097 | (89 | ) | ||||||||||||||
LME Primary Aluminum^ |
10 | Nov-2023 | 596 | 542 | (54 | ) | ||||||||||||||
LME Zinc^ |
28 | Sep-2023 | 1,654 | 1,673 | 19 | |||||||||||||||
LME Zinc^ |
5 | Nov-2023 | 366 | 299 | (67 | ) | ||||||||||||||
LME Zinc^ |
5 | Mar-2024 | 299 | 300 | – | |||||||||||||||
LME Zinc^ |
11 | Jan-2024 | 734 | 658 | (76 | ) | ||||||||||||||
LME Zinc^ |
8 | Sep-2023 | 552 | 478 | (74 | ) | ||||||||||||||
Low Sulphur Gasoil^ |
5 | Mar-2024 | 338 | 343 | 5 | |||||||||||||||
Low Sulphur Gasoil^ |
9 | Jan-2024 | 638 | 621 | (17 | ) | ||||||||||||||
Low Sulphur Gasoil^ |
16 | Sep-2023 | 1,128 | 1,121 | (7 | ) | ||||||||||||||
Low Sulphur Gasoil^ |
4 | Nov-2023 | 297 | 279 | (18 | ) | ||||||||||||||
Natural Gas^ |
147 | Aug-2023 | 3,878 | 4,078 | 199 | |||||||||||||||
Natural Gas^ |
47 | Dec-2023 | 1,770 | 1,809 | 40 | |||||||||||||||
Natural Gas^ |
26 | Feb-2024 | 877 | 911 | 33 | |||||||||||||||
Natural Gas^ |
34 | Aug-2023 | 1,060 | 943 | (117 | ) | ||||||||||||||
Natural Gas^ |
28 | Oct-2023 | 915 | 899 | (16 | ) | ||||||||||||||
Natural Gas^ |
64 | Oct-2023 | 2,023 | 2,055 | 32 | |||||||||||||||
NY Harbor ULSD^ |
13 | Aug-2023 | 1,289 | 1,333 | 45 | |||||||||||||||
NY Harbor ULSD^ |
2 | Oct-2023 | 221 | 204 | (16 | ) | ||||||||||||||
NY Harbor ULSD^ |
5 | Dec-2023 | 517 | 507 | (9 | ) | ||||||||||||||
NY Harbor ULSD^ |
2 | Feb-2024 | 194 | 201 | 6 | |||||||||||||||
NY Harbor ULSD^ |
11 | Aug-2023 | 1,133 | 1,128 | (5 | ) | ||||||||||||||
NYMEX Cocoa^ |
90 | Sep-2023 | 2,846 | 3,018 | 172 | |||||||||||||||
Platinum^ |
27 | Oct-2023 | 1,253 | 1,233 | (20 | ) | ||||||||||||||
Silver^ |
38 | Sep-2023 | 4,597 | 4,374 | (223 | ) | ||||||||||||||
Silver^ |
10 | Mar-2024 | 1,282 | 1,183 | (99 | ) | ||||||||||||||
Silver^ |
10 | Dec-2023 | 1,199 | 1,167 | (32 | ) | ||||||||||||||
Soybean^ |
28 | Jan-2024 | 1,781 | 1,885 | 104 | |||||||||||||||
Soybean^ |
14 | Mar-2024 | 854 | 928 | 75 | |||||||||||||||
Soybean^ |
42 | Nov-2023 | 2,519 | 2,821 | 302 | |||||||||||||||
Soybean Meal^ |
14 | Mar-2024 | 506 | 540 | 33 | |||||||||||||||
Soybean Meal^ |
173 | Dec-2023 | 6,683 | 6,873 | 190 | |||||||||||||||
Soybean Meal^ |
27 | Jan-2024 | 1,062 | 1,065 | 3 | |||||||||||||||
Soybean Oil^ |
31 | Jan-2024 | 966 | 1,086 | 121 | |||||||||||||||
Soybean Oil^ |
16 | Mar-2024 | 493 | 551 | 58 | |||||||||||||||
Soybean Oil^ |
181 | Dec-2023 | 5,797 | 6,404 | 608 | |||||||||||||||
Sugar No. 11^ |
66 | Feb-2024 | 1,745 | 1,692 | (53 | ) | ||||||||||||||
Sugar No. 11^ |
228 | Sep-2023 | 6,401 | 5,820 | (582 | ) | ||||||||||||||
U.S. 5-Year Treasury Note |
324 | Sep-2023 | 35,275 | 34,698 | (576 | ) | ||||||||||||||
Wheat^ |
20 | Dec-2023 | 712 | 669 | (43 | ) | ||||||||||||||
Wheat^ |
58 | Sep-2023 | 2,167 | 1,888 | (280 | ) | ||||||||||||||
Wheat^ |
20 | Mar-2024 | 678 | 685 | 7 | |||||||||||||||
WTI Crude Oil^ |
15 | Feb-2024 | 1,026 | 1,046 | 21 | |||||||||||||||
WTI Crude Oil^ |
17 | Aug-2023 | 1,277 | 1,203 | (73 | ) | ||||||||||||||
WTI Crude Oil^ |
14 | Oct-2023 | 1,036 | 988 | (48 | ) |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Inflation Managed Fund (Continued)
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation/ (Depreciation) (Thousands) |
|||||||||||||||
WTI Crude Oil^ |
29 | Dec-2023 | $ | 2,141 | $ | 2,036 | $ | (105 | ) | |||||||||||
WTI Crude Oil^ |
37 | Aug-2023 | 2,583 | 2,619 | 36 | |||||||||||||||
191,184 | 189,551 | (1,633 | ) | |||||||||||||||||
Short Contracts |
||||||||||||||||||||
Cotton No. 2^ |
(47 | ) | Dec-2023 | $ | (1,890 | ) | $ | (1,889 | ) | $ | 2 | |||||||||
Feeder Cattle^ |
(6 | ) | Aug-2023 | (703 | ) | (743 | ) | (39 | ) | |||||||||||
Feeder Cattle^ |
(22 | ) | Oct-2023 | (2,658 | ) | (2,778 | ) | (120 | ) | |||||||||||
Japanese 10-Year Bond |
(12 | ) | Sep-2023 | (12,769 | ) | (12,333 | ) | (56 | ) | |||||||||||
KC HRW Wheat^ |
(10 | ) | Sep-2023 | (391 | ) | (400 | ) | (9 | ) | |||||||||||
LME Nickel^ |
(4 | ) | Sep-2023 | (513 | ) | (492 | ) | 20 | ||||||||||||
LME Primary Aluminum^ |
(93 | ) | Jun-2024 | (6,159 | ) | (5,245 | ) | 914 | ||||||||||||
Low Sulphur Gasoil^ |
(28 | ) | Sep-2023 | (1,924 | ) | (1,962 | ) | (38 | ) | |||||||||||
MSCI EAFE Index |
(104 | ) | Sep-2023 | (11,135 | ) | (11,209 | ) | (74 | ) | |||||||||||
Palladium^ |
(13 | ) | Sep-2023 | (1,635 | ) | (1,589 | ) | 46 | ||||||||||||
S&P 500 Index E-MINI |
(101 | ) | Sep-2023 | (21,961 | ) | (22,666 | ) | (705 | ) | |||||||||||
U.S. 2-Year Treasury Note |
(10 | ) | Sep-2023 | (2,063 | ) | (2,033 | ) | 29 | ||||||||||||
U.S. Ultra Long Treasury Bond |
(11 | ) | Sep-2023 | (1,473 | ) | (1,498 | ) | (25 | ) | |||||||||||
(65,274 | ) | (64,837 | ) | (55 | ) | |||||||||||||||
$ | 125,910 | $ | 124,714 | $ | (1,688 | ) |
A list of the open forward foreign currency contracts held by the Fund at June 30, 2023 is as follows:
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
Barclays PLC |
07/31/23 | EUR | 2,453 | USD | 2,702 | $ | 21 | |||||||||||||||||
A list of open OTC swap agreements held by the Fund at June 30, 2023, are as follows:
Credit Default Swaps - Sell Protection |
||||||||||||||||||||||||||||||||
Counterparty |
Reference Entity/ Obligation |
Receive Rate |
Payment Frequency |
Termination Date |
Notional Amount |
Value |
Upfront Payments/ Receipts |
Net Unrealized |
||||||||||||||||||||||||
Deutsche Bank |
CMBX.NA.BBB.6 | 3.00% | Monthly | 12/31/2049 | $ | 16 | $ | (5 | ) | $ | (1 | ) | $ | (4 | ) | |||||||||||||||||
Citibank |
CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 13 | (4 | ) | (1 | ) | (3 | ) | |||||||||||||||||||||
Citibank |
CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 13 | (4 | ) | (2 | ) | (2 | ) | |||||||||||||||||||||
Citibank |
CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 2 | (1 | ) | — | (1 | ) | ||||||||||||||||||||||
Citibank |
CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 20 | (12 | ) | (2 | ) | (10 | ) | |||||||||||||||||||||
Citibank |
CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 18 | (4 | ) | (2 | ) | (2 | ) | |||||||||||||||||||||
Citibank |
CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 15 | (3 | ) | (2 | ) | (1 | ) | |||||||||||||||||||||
Citibank |
CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 18 | (4 | ) | (2 | ) | (2 | ) | |||||||||||||||||||||
Citibank |
CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 4 | (1 | ) | — | (1 | ) | ||||||||||||||||||||||
Citibank |
CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 1 | (2 | ) | — | (2 | ) | ||||||||||||||||||||||
Citibank |
CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 8 | (3 | ) | (1 | ) | (2 | ) | |||||||||||||||||||||
Citibank |
CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 33 | (7 | ) | (4 | ) | (3 | ) | |||||||||||||||||||||
Credit Suisse |
CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 1 | — | — | — | ||||||||||||||||||||||||
Deutsche Bank |
CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 15 | (4 | ) | (2 | ) | (2 | ) | |||||||||||||||||||||
Deutsche Bank |
CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 111 | (25 | ) | (13 | ) | (12 | ) | |||||||||||||||||||||
Deutsche Bank |
CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 62 | (14 | ) | (6 | ) | (8 | ) | |||||||||||||||||||||
Deutsche Bank |
CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 62 | (14 | ) | (6 | ) | (8 | ) | |||||||||||||||||||||
Goldman Sachs |
CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 120 | (27 | ) | (12 | ) | (15 | ) | |||||||||||||||||||||
Goldman Sachs |
CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 109 | (24 | ) | (9 | ) | (15 | ) | |||||||||||||||||||||
Goldman Sachs |
CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 8 | (2 | ) | (1 | ) | (1 | ) | |||||||||||||||||||||
Goldman Sachs |
CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 17 | (4 | ) | (1 | ) | (3 | ) | |||||||||||||||||||||
Goldman Sachs |
CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 17 | (4 | ) | (1 | ) | (3 | ) | |||||||||||||||||||||
Goldman Sachs |
CMBX.NA.BBB.6 | 3.00% | Monthly | 05/11/2063 | 36 | (8 | ) | (4 | ) | (4 | ) | |||||||||||||||||||||
$ | (176 | ) | $ | (72 | ) | $ | (104 | ) |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Inflation Managed Fund (Concluded)
A list of open centrally cleared swap agreements held by the Fund at June 30, 2023, are as follows:
Credit Default Swaps - Buy Protection |
||||||||||||||||||||||||||||
Reference Entity/ Obligation |
Pay Rate |
Payment Frequency |
Termination Date |
Notional Amount |
Value |
Upfront Payments/ Receipts |
Net Unrealized |
|||||||||||||||||||||
CDX.NA.HY. S39V1.5Y |
5.00% | Quarterly | 12/20/2027 | $ | 9,870 | $ | (318 | ) | $ | 99 | $ | (417 | ) | |||||||||||||||
CDX.NA.HY. S40V1.5Y |
5.00% | Quarterly | 06/20/2028 | 9,870 | (283 | ) | (20 | ) | (263 | ) | ||||||||||||||||||
ITRAXX-AUSTRALIAS39 |
1.00% | Quarterly | 06/20/2028 | 6,937 | (105 | ) | (61 | ) | (44 | ) | ||||||||||||||||||
Malaysia |
1.00% | Quarterly | 06/20/2028 | 18,090 | (368 | ) | (118 | ) | (250 | ) | ||||||||||||||||||
$ | (1,074 | ) | $ | (100 | ) | $ | (974 | ) |
Credit Default Swaps - Sell Protection |
||||||||||||||||||||||||||||
Reference Entity/ Obligation |
Receive Rate |
Payment Frequency |
Termination Date |
Notional Amount |
Value |
Upfront Payments/ Receipts |
Net Unrealized |
|||||||||||||||||||||
CDX.NA.HY.S39V1.5Y |
5.00% | Quarterly | 12/20/2027 | $ | 9,870 | $ | 318 | $ | (18 | ) | $ | 336 | ||||||||||||||||
CDX.NA.IG.S40V1.5Y |
1.00% | Quarterly | 06/20/2028 | 11,276 | 92 | 148 | (56 | ) | ||||||||||||||||||||
$ | 410 | $ | 130 | $ | 280 |
Interest Rate Swaps |
||||||||||||||||||||||||||||||||
Fund Pays |
Fund Receives |
Payment Frequency |
Termination Date |
Currency |
Notional Amount |
Value |
Upfront Payments/ Receipts |
Net Unrealized |
||||||||||||||||||||||||
USD @ 0% |
USD CPI | Annually | 01/15/2027 | USD | 6,000 | $ | 783 | $ | – | $ | 783 | |||||||||||||||||||||
1.4725% |
SOFR | Annually | 11/09/2026 | USD | 1,490 | 109 | 132 | (23 | ) | |||||||||||||||||||||||
1.455% |
SOFR | Annually | 11/08/2026 | USD | 1,490 | 109 | 133 | (24 | ) | |||||||||||||||||||||||
1.3945% |
SOFR | Annually | 05/21/2031 | USD | 18,720 | 2,845 | 2,924 | (79 | ) | |||||||||||||||||||||||
1.98% |
SOFR | Annually | 07/12/2027 | USD | 1,075 | 83 | 73 | 10 | ||||||||||||||||||||||||
2.28% |
SOFR | Annually | 05/18/2025 | USD | 2,820 | 131 | 111 | 20 | ||||||||||||||||||||||||
1.27% |
SOFR | Annually | 09/27/2029 | USD | 2,230 | 305 | 281 | 24 | ||||||||||||||||||||||||
1.965% |
SOFR | Annually | 06/04/2029 | USD | 4,220 | 405 | 359 | 46 | ||||||||||||||||||||||||
0.316% |
SOFR | Annually | 06/05/2027 | USD | 15,800 | 2,151 | 1,997 | 154 | ||||||||||||||||||||||||
2.21% |
SOFR | Annually | 04/04/2027 | USD | 10,400 | 698 | 597 | 101 | ||||||||||||||||||||||||
1.33% |
SOFR | Annually | 10/25/2026 | USD | 6,110 | 553 | 494 | 59 | ||||||||||||||||||||||||
1.92% |
SOFR | Annually | 08/04/2025 | USD | 2,717 | 152 | 131 | 21 | ||||||||||||||||||||||||
2.51% |
SOFR | Annually | 06/09/2025 | USD | 1,710 | 73 | 61 | 12 | ||||||||||||||||||||||||
1.8% |
SOFR | Annually | 04/21/2025 | USD | 2,760 | 148 | 129 | 19 | ||||||||||||||||||||||||
2.4% |
SOFR | Annually | 11/10/2035 | USD | 1,190 | 131 | 114 | 17 | ||||||||||||||||||||||||
$ | 8,676 | $ | 7,536 | $ | 1,140 |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Capital Stability Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Capital Stability Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Capital Stability Fund (Continued)
A list of the exchange traded option contracts held by the Fund at June 30, 2023, is as follows:
Description |
Number of Contracts |
Notional Amount |
Exercise Price |
Expiration Date |
Value |
|||||||||||||||
PURCHASED OPTION — 0.0% |
||||||||||||||||||||
Put Options |
||||||||||||||||||||
QQQ US 08/18/23 P353 |
322 | $ | – | $ | 353.00 | 8/19/2023 | $ | 119 | ||||||||||||
Total Purchased Option |
$ | – | $ | 119 | ||||||||||||||||
WRITTEN OPTIONS — 0.0% |
||||||||||||||||||||
Put Options |
||||||||||||||||||||
QQQ US 08/18/23 P333 |
(322 | ) | $ | – | 333.00 | 08/19/2023 | $ | (46 | ) | |||||||||||
Call Options |
||||||||||||||||||||
QQQ US 08/18/23 C396 |
(322 | ) | – | 396.00 | 08/19/2023 | (60 | ) | |||||||||||||
Total Written Options |
$ | – | $ | (106 | ) | |||||||||||||||
A list of the open futures contracts held by the Fund at June 30, 2023, is as follows:
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation/ |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
Amsterdam Index |
10 | Jul-2023 | $ | 1,666 | $ | 1,691 | $ | 12 | ||||||||||||
Australian 10-Year Bond |
35 | Sep-2023 | 2,774 | 2,707 | (13 | ) | ||||||||||||||
Australian 3-Year Bond |
3 | Sep-2023 | 216 | 211 | (1 | ) | ||||||||||||||
CAC40 10 Euro Index |
16 | Jul-2023 | 1,264 | 1,294 | 22 | |||||||||||||||
Canadian 10-Year Bond |
73 | Sep-2023 | 6,641 | 6,760 | (59 | ) | ||||||||||||||
DAX Index |
4 | Sep-2023 | 1,765 | 1,775 | – | |||||||||||||||
Euro-Buxl |
23 | Sep-2023 | 3,439 | 3,503 | 40 | |||||||||||||||
Euro-OAT |
3 | Sep-2023 | 412 | 420 | 1 | |||||||||||||||
FTSE 100 Index |
21 | Sep-2023 | 2,004 | 2,013 | 7 | |||||||||||||||
FTSE MIB Index |
2 | Sep-2023 | 299 | 309 | 8 | |||||||||||||||
Hang Seng Index |
5 | Jul-2023 | 600 | 600 | – | |||||||||||||||
IBEX |
9 | Jul-2023 | 910 | 938 | 23 | |||||||||||||||
Long Gilt 10-Year Bond |
29 | Sep-2023 | 3,451 | 3,514 | (33 | ) | ||||||||||||||
Long Gilt 10-Year Bond |
1 | Sep-2023 | 117 | 121 | – | |||||||||||||||
MSCI EAFE Index |
115 | Sep-2023 | 12,316 | 12,394 | 78 | |||||||||||||||
MSCI Emerging Markets |
321 | Sep-2023 | 16,313 | 16,016 | (297 | ) | ||||||||||||||
NASDAQ 100 Index E-MINI |
34 | Sep-2023 | 10,210 | 10,429 | 219 | |||||||||||||||
Nikkei 225 Index |
623 | Sep-2023 | 14,246 | 14,297 | 553 | |||||||||||||||
Nikkei 225 Index |
5 | Sep-2023 | 800 | 837 | 37 | |||||||||||||||
OMX Stockholm 30 |
101 | Jul-2023 | 2,196 | 2,166 | (9 | ) | ||||||||||||||
Russell 2000 Index E-MINI |
37 | Sep-2023 | 3,496 | 3,522 | 26 | |||||||||||||||
S&P 500 Index E-MINI |
53 | Sep-2023 | 11,642 | 11,894 | 252 | |||||||||||||||
S&P Mid Cap 400 Index E-MINI |
10 | Sep-2023 | 2,582 | 2,644 | 62 | |||||||||||||||
S&P TSX 60 Index |
9 | Sep-2023 | 1,615 | 1,658 | 33 | |||||||||||||||
SPI 200 Index |
36 | Sep-2023 | 4,315 | 4,290 | 33 | |||||||||||||||
U.S. 2-Year Treasury Note |
20 | Oct-2023 | 4,073 | 4,067 | (6 | ) | ||||||||||||||
U.S. 5-Year Treasury Note |
202 | Sep-2023 | 21,968 | 21,633 | (335 | ) | ||||||||||||||
U.S. 10-Year Treasury Note |
125 | Sep-2023 | 14,275 | 14,033 | (241 | ) | ||||||||||||||
U.S. Long Treasury Bond |
5 | Sep-2023 | 634 | 635 | – | |||||||||||||||
U.S. Ultra Long Treasury Bond |
34 | Sep-2023 | 4,619 | 4,631 | 13 | |||||||||||||||
150,858 | 151,002 | 425 | ||||||||||||||||||
Short Contracts |
||||||||||||||||||||
Euro STOXX 50 |
(18 | ) | Sep-2023 | $ | (841 | ) | $ | (869 | ) | $ | (16 | ) | ||||||||
Japanese 10-Year Bond |
(10 | ) | Sep-2023 | (10,637 | ) | (10,278 | ) | (51 | ) | |||||||||||
MSCI Singapore Index |
(12 | ) | Jul-2023 | (256 | ) | (256 | ) | – |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Capital Stability Fund (Continued)
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation/ |
|||||||||||||||
S&P 500 Index E-MINI |
(54 | ) | Sep-2023 | $ | (11,745 | ) | $ | (12,118 | ) | $ | (374 | ) | ||||||||
SPI 200 Index |
(13 | ) | Sep-2023 | (1,546 | ) | (1,549 | ) | (20 | ) | |||||||||||
(25,025 | ) | (25,070 | ) | (461 | ) | |||||||||||||||
$ | 125,833 | $ | 125,932 | $ | (36 | ) |
A list of the open forward foreign currency contracts held by the Fund at June 30, 2023 is as follows:
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
Bank of America |
07/05/23 | USD | 581 | BRL | 2,940 | $ | 27 | |||||||||||||||||
Bank of America |
07/13/23 | USD | 722 | PEN | 2,662 | 12 | ||||||||||||||||||
Bank of America |
07/21/23 | GBP | 874 | USD | 1,088 | (22 | ) | |||||||||||||||||
Bank of America |
07/27/23 | USD | 291 | KRW | 384,525 | 2 | ||||||||||||||||||
Bank of America |
07/31/23 | EUR | 895 | USD | 968 | (10 | ) | |||||||||||||||||
Bank of America |
09/13/23 | USD | 2,802 | NOK | 29,847 | (7 | ) | |||||||||||||||||
Barclays PLC |
07/12/23 | USD | 407 | IDR | 6,126,053 | 2 | ||||||||||||||||||
Barclays PLC |
07/31/23 | EUR | 1,613 | USD | 1,768 | 5 | ||||||||||||||||||
Barclays PLC |
08/16/23 | JPY | 11,153,000 | USD | 84,192 | 6,432 | ||||||||||||||||||
Barclays PLC |
09/21/23 | USD | 1,584 | MYR | 7,252 | (15 | ) | |||||||||||||||||
Barclays PLC |
10/12/23 | IDR | 6,126,053 | USD | 406 | (1 | ) | |||||||||||||||||
BNP Paribas |
07/27/23 | USD | 770 | PHP | 42,666 | 2 | ||||||||||||||||||
BNP Paribas |
08/24/23 | USD | 2,246 | NZD | 3,646 | (13 | ) | |||||||||||||||||
BNP Paribas |
08/24/23 | NZD | 2,280 | USD | 1,404 | 8 | ||||||||||||||||||
BNP Paribas |
10/12/23 | USD | 1,040 | IDR | 15,611,539 | (2 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/07/23 | USD | 404 | CNY | 2,763 | (23 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/07/23 | USD | 491 | CNH | 3,475 | (13 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/07/23 | CNY | 2,971 | USD | 410 | 1 | ||||||||||||||||||
Brown Brothers Harriman |
07/07/23 | CNH | 6,272 | USD | 899 | 37 | ||||||||||||||||||
Brown Brothers Harriman |
07/13/23 | USD | 157 | MXN | 2,687 | (1 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/13/23 | SGD | 1,032 | USD | 772 | 10 | ||||||||||||||||||
Brown Brothers Harriman |
07/13/23 | USD | 4,598 | THB | 156,786 | (169 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/13/23 | MXN | 1,607 | USD | 93 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/13/23 | MXN | 10,111 | USD | 577 | (11 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/13/23 | THB | 150,834 | USD | 4,432 | 171 | ||||||||||||||||||
Brown Brothers Harriman |
07/20/23 | USD | 469 | HUF | 159,745 | (4 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/20/23 | USD | 552 | CZK | 12,179 | 7 | ||||||||||||||||||
Brown Brothers Harriman |
07/20/23 | USD | 513 | CZK | 11,019 | (7 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/20/23 | USD | 1,606 | PLN | 6,704 | 43 | ||||||||||||||||||
Brown Brothers Harriman |
07/20/23 | USD | 145 | PLN | 587 | (1 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/20/23 | PLN | 2,823 | USD | 671 | (24 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/20/23 | CZK | 7,875 | USD | 362 | 1 | ||||||||||||||||||
Brown Brothers Harriman |
07/20/23 | HUF | 551,716 | USD | 1,573 | (32 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/21/23 | USD | 368 | GBP | 296 | 8 | ||||||||||||||||||
Brown Brothers Harriman |
07/21/23 | USD | 386 | CHF | 349 | 5 | ||||||||||||||||||
Brown Brothers Harriman |
07/21/23 | CHF | 694 | USD | 771 | (6 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/21/23 | GBP | 987 | USD | 1,236 | (18 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/31/23 | EUR | 100 | USD | 107 | (2 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/31/23 | USD | 611 | EUR | 565 | 6 | ||||||||||||||||||
Brown Brothers Harriman |
07/31/23 | USD | 4,120 | EUR | 3,757 | (15 | ) | |||||||||||||||||
Brown Brothers Harriman |
08/23/23 | ZAR | 4,929 | USD | 265 | 5 | ||||||||||||||||||
Brown Brothers Harriman |
08/24/23 | USD | 363 | CAD | 479 | (1 | ) |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Capital Stability Fund (Continued)
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
Brown Brothers Harriman |
08/24/23 | USD | 673 | NZD | 1,091 | $ | (5 | ) | ||||||||||||||||
Brown Brothers Harriman |
08/24/23 | CAD | 479 | USD | 364 | 2 | ||||||||||||||||||
Brown Brothers Harriman |
08/24/23 | CAD | 2,194 | USD | 1,649 | (11 | ) | |||||||||||||||||
Brown Brothers Harriman |
08/25/23 | AUD | 726 | USD | 493 | 9 | ||||||||||||||||||
Brown Brothers Harriman |
08/25/23 | USD | 178 | AUD | 268 | 1 | ||||||||||||||||||
Brown Brothers Harriman |
08/25/23 | USD | 708 | AUD | 1,044 | (13 | ) | |||||||||||||||||
Brown Brothers Harriman |
08/25/23 | JPY | 3,676 | USD | 27 | 1 | ||||||||||||||||||
Brown Brothers Harriman |
09/13/23 | USD | 196 | SEK | 2,090 | (2 | ) | |||||||||||||||||
Brown Brothers Harriman |
09/13/23 | SEK | 2,143 | USD | 199 | — | ||||||||||||||||||
Brown Brothers Harriman |
09/13/23 | NOK | 2,717 | USD | 258 | 4 | ||||||||||||||||||
Citigroup |
08/25/23 | USD | 943 | AUD | 1,383 | (21 | ) | |||||||||||||||||
Deutsche Bank |
07/07/23 | USD | 731 | CNH | 5,172 | (20 | ) | |||||||||||||||||
Deutsche Bank |
07/12/23 | IDR | 6,238,785 | USD | 416 | — | ||||||||||||||||||
Deutsche Bank |
07/13/23 | USD | 489 | CLP | 395,678 | 3 | ||||||||||||||||||
Deutsche Bank |
07/13/23 | USD | 513 | COP | 2,318,837 | 41 | ||||||||||||||||||
Deutsche Bank |
07/13/23 | USD | 649 | MXN | 11,510 | 20 | ||||||||||||||||||
Deutsche Bank |
07/13/23 | PEN | 1,073 | USD | 289 | (6 | ) | |||||||||||||||||
Deutsche Bank |
07/13/23 | COP | 2,877,969 | USD | 683 | (5 | ) | |||||||||||||||||
Deutsche Bank |
07/20/23 | USD | 702 | CZK | 15,496 | 9 | ||||||||||||||||||
Deutsche Bank |
07/21/23 | CHF | 460 | USD | 511 | (5 | ) | |||||||||||||||||
Deutsche Bank |
07/27/23 | USD | 278 | PHP | 15,415 | 1 | ||||||||||||||||||
Deutsche Bank |
07/27/23 | PHP | 103,548 | USD | 1,875 | 1 | ||||||||||||||||||
Deutsche Bank |
07/27/23 | PHP | 35,350 | USD | 633 | (6 | ) | |||||||||||||||||
Deutsche Bank |
07/31/23 | EUR | 545 | USD | 599 | 3 | ||||||||||||||||||
Deutsche Bank |
07/31/23 | USD | 1,488 | EUR | 1,364 | 2 | ||||||||||||||||||
Deutsche Bank |
08/24/23 | USD | 1,219 | CAD | 1,631 | 15 | ||||||||||||||||||
Deutsche Bank |
09/20/23 | EUR | 962 | USD | 1,054 | 1 | ||||||||||||||||||
Deutsche Bank |
09/25/23 | INR | 36,325 | USD | 441 | — | ||||||||||||||||||
Goldman Sachs |
07/05/23 | USD | 111 | BRL | 551 | 3 | ||||||||||||||||||
Goldman Sachs |
07/12/23 | IDR | 26,168,660 | USD | 1,742 | (3 | ) | |||||||||||||||||
Goldman Sachs |
07/13/23 | USD | 148 | COP | 619,752 | — | ||||||||||||||||||
Goldman Sachs |
07/13/23 | USD | 667 | PEN | 2,431 | 3 | ||||||||||||||||||
Goldman Sachs |
07/13/23 | PEN | 1,279 | USD | 349 | (3 | ) | |||||||||||||||||
Goldman Sachs |
07/13/23 | CLP | 328,072 | USD | 407 | (1 | ) | |||||||||||||||||
Goldman Sachs |
07/13/23 | COP | 1,226,358 | USD | 279 | (14 | ) | |||||||||||||||||
Goldman Sachs |
07/20/23 | PLN | 4,308 | USD | 1,031 | (28 | ) | |||||||||||||||||
Goldman Sachs |
07/27/23 | USD | 720 | PHP | 40,527 | 14 | ||||||||||||||||||
Goldman Sachs |
07/27/23 | PHP | 44,128 | USD | 800 | 2 | ||||||||||||||||||
Goldman Sachs |
07/27/23 | PHP | 4,874 | USD | 88 | (1 | ) | |||||||||||||||||
Goldman Sachs |
07/31/23 | USD | 639 | EUR | 591 | 7 | ||||||||||||||||||
Goldman Sachs |
07/31/23 | EUR | 1,968 | USD | 2,159 | 9 | ||||||||||||||||||
Goldman Sachs |
08/25/23 | USD | 1,308 | AUD | 1,948 | (9 | ) | |||||||||||||||||
Goldman Sachs |
08/25/23 | USD | 3,390 | JPY | 468,456 | (120 | ) | |||||||||||||||||
Goldman Sachs |
08/25/23 | JPY | 76,435 | USD | 546 | 13 | ||||||||||||||||||
Goldman Sachs |
09/13/23 | USD | 2,941 | SEK | 31,502 | (13 | ) | |||||||||||||||||
Goldman Sachs |
09/13/23 | SEK | 29,640 | USD | 2,767 | 13 | ||||||||||||||||||
Goldman Sachs |
09/21/23 | USD | 159 | MYR | 727 | (2 | ) | |||||||||||||||||
Goldman Sachs |
09/21/23 | MYR | 10,320 | USD | 2,253 | 21 | ||||||||||||||||||
Goldman Sachs |
10/12/23 | USD | 146 | IDR | 2,199,587 | — |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Capital Stability Fund (Continued)
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
HSBC |
09/25/23 | USD | 2,241 | INR | 184,972 | $ | 6 | |||||||||||||||||
HSBC |
09/25/23 | INR | 98,317 | USD | 1,191 | (4 | ) | |||||||||||||||||
JPMorgan Chase Bank |
07/12/23 | IDR | 2,668,761 | USD | 179 | 2 | ||||||||||||||||||
JPMorgan Chase Bank |
07/13/23 | USD | 279 | COP | 1,279,229 | 27 | ||||||||||||||||||
JPMorgan Chase Bank |
07/13/23 | USD | 338 | COP | 1,402,470 | (3 | ) | |||||||||||||||||
JPMorgan Chase Bank |
07/20/23 | HUF | 176,122 | USD | 503 | (9 | ) | |||||||||||||||||
JPMorgan Chase Bank |
07/21/23 | GBP | 904 | USD | 1,151 | 2 | ||||||||||||||||||
JPMorgan Chase Bank |
07/21/23 | USD | 1,835 | GBP | 1,431 | (15 | ) | |||||||||||||||||
JPMorgan Chase Bank |
07/27/23 | USD | 286 | KRW | 363,404 | (10 | ) | |||||||||||||||||
JPMorgan Chase Bank |
07/27/23 | USD | 824 | PHP | 46,375 | 16 | ||||||||||||||||||
JPMorgan Chase Bank |
07/27/23 | PHP | 10,101 | USD | 180 | (3 | ) | |||||||||||||||||
JPMorgan Chase Bank |
07/27/23 | KRW | 112,158 | USD | 84 | (1 | ) | |||||||||||||||||
JPMorgan Chase Bank |
08/24/23 | USD | 898 | CAD | 1,184 | (3 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/14/23 | USD | 180 | TWD | 5,460 | (4 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/14/23 | TWD | 3,113 | USD | 102 | 2 | ||||||||||||||||||
JPMorgan Chase Bank |
09/25/23 | INR | 30,263 | USD | 368 | 1 | ||||||||||||||||||
Merrill Lynch |
07/05/23 | USD | 482 | BRL | 2,308 | (4 | ) | |||||||||||||||||
Merrill Lynch |
07/05/23 | BRL | 7,147 | USD | 1,410 | (71 | ) | |||||||||||||||||
Merrill Lynch |
07/12/23 | USD | 957 | IDR | 14,230,549 | (8 | ) | |||||||||||||||||
Merrill Lynch |
07/12/23 | IDR | 7,120,834 | USD | 482 | 8 | ||||||||||||||||||
Merrill Lynch |
07/13/23 | USD | 147 | CLP | 118,554 | 1 | ||||||||||||||||||
Merrill Lynch |
07/13/23 | USD | 1,749 | PEN | 6,432 | 24 | ||||||||||||||||||
Merrill Lynch |
07/13/23 | PEN | 11,881 | USD | 3,221 | (54 | ) | |||||||||||||||||
Merrill Lynch |
07/13/23 | CLP | 230,163 | USD | 285 | (1 | ) | |||||||||||||||||
Merrill Lynch |
07/20/23 | USD | 2,048 | HUF | 713,247 | 26 | ||||||||||||||||||
Merrill Lynch |
07/20/23 | CZK | 32,647 | USD | 1,530 | 32 | ||||||||||||||||||
Merrill Lynch |
07/21/23 | USD | 1,571 | GBP | 1,261 | 32 | ||||||||||||||||||
Merrill Lynch |
07/27/23 | USD | 104 | KRW | 139,476 | 1 | ||||||||||||||||||
Merrill Lynch |
07/27/23 | USD | 443 | PHP | 24,756 | 4 | ||||||||||||||||||
Merrill Lynch |
07/27/23 | KRW | 1,282,963 | USD | 970 | (5 | ) | |||||||||||||||||
Merrill Lynch |
08/25/23 | USD | 885 | AUD | 1,306 | (14 | ) | |||||||||||||||||
Merrill Lynch |
09/13/23 | NOK | 26,562 | USD | 2,493 | 6 | ||||||||||||||||||
Merrill Lynch |
09/14/23 | USD | 354 | TWD | 10,924 | (2 | ) | |||||||||||||||||
Morgan Stanley |
07/05/23 | USD | 895 | BRL | 4,288 | (7 | ) | |||||||||||||||||
Morgan Stanley |
07/05/23 | BRL | 2,940 | USD | 614 | 5 | ||||||||||||||||||
Morgan Stanley |
07/07/23 | USD | 1,142 | CNY | 8,120 | (23 | ) | |||||||||||||||||
Morgan Stanley |
07/07/23 | CNH | 16,170 | USD | 2,364 | 140 | ||||||||||||||||||
Morgan Stanley |
07/12/23 | USD | 2,686 | IDR | 40,457,080 | 10 | ||||||||||||||||||
Morgan Stanley |
07/12/23 | IDR | 18,616,642 | USD | 1,258 | 17 | ||||||||||||||||||
Morgan Stanley |
07/13/23 | USD | 166 | PEN | 614 | 3 | ||||||||||||||||||
Morgan Stanley |
07/13/23 | USD | 293 | CLP | 233,598 | (2 | ) | |||||||||||||||||
Morgan Stanley |
07/13/23 | USD | 1,141 | COP | 5,264,469 | 116 | ||||||||||||||||||
Morgan Stanley |
07/13/23 | USD | 1,959 | MXN | 35,597 | 111 | ||||||||||||||||||
Morgan Stanley |
07/13/23 | MXN | 25,162 | USD | 1,385 | (78 | ) | |||||||||||||||||
Morgan Stanley |
07/13/23 | CLP | 928,698 | USD | 1,169 | 13 | ||||||||||||||||||
Morgan Stanley |
07/13/23 | COP | 3,057,554 | USD | 663 | (67 | ) | |||||||||||||||||
Morgan Stanley |
07/20/23 | USD | 791 | PLN | 3,308 | 22 | ||||||||||||||||||
Morgan Stanley |
07/20/23 | CZK | 14,045 | USD | 641 | (4 | ) | |||||||||||||||||
Morgan Stanley |
07/21/23 | CHF | 2,510 | USD | 2,813 | — |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Capital Stability Fund (Continued)
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
Morgan Stanley |
07/21/23 | USD | 3,275 | CHF | 2,922 | $ | — | |||||||||||||||||
Morgan Stanley |
07/27/23 | USD | 374 | KRW | 484,898 | (5 | ) | |||||||||||||||||
Morgan Stanley |
07/27/23 | KRW | 210,501 | USD | 162 | 2 | ||||||||||||||||||
Morgan Stanley |
07/31/23 | EUR | 2,279 | USD | 2,445 | (46 | ) | |||||||||||||||||
Morgan Stanley |
08/02/23 | USD | 610 | BRL | 2,940 | (5 | ) | |||||||||||||||||
Morgan Stanley |
08/02/23 | BRL | 4,288 | USD | 890 | 7 | ||||||||||||||||||
Morgan Stanley |
08/24/23 | USD | 775 | NZD | 1,257 | (5 | ) | |||||||||||||||||
Morgan Stanley |
08/25/23 | AUD | 3,318 | USD | 2,282 | 70 | ||||||||||||||||||
Morgan Stanley |
08/25/23 | JPY | 112,567 | USD | 817 | 31 | ||||||||||||||||||
Morgan Stanley |
09/14/23 | USD | 232 | TWD | 7,046 | (5 | ) | |||||||||||||||||
Morgan Stanley |
09/14/23 | TWD | 12,308 | USD | 405 | 9 | ||||||||||||||||||
Morgan Stanley |
10/12/23 | IDR | 11,960,947 | USD | 797 | 2 | ||||||||||||||||||
UBS |
08/02/23 | USD | 657 | BRL | 3,203 | 3 | ||||||||||||||||||
UBS |
08/25/23 | JPY | 115,007 | USD | 835 | 32 | ||||||||||||||||||
$ | 6,622 |
A list of the open OTC swap agreements held by the Fund at June 30, 2023, is as follows:
Total Return Swap |
Counterparty |
Reference Entity/ Obligation |
Fund Pays |
Fund Receives |
Payment Frequency |
Termination Date |
Currency |
Notional |
Value |
Upfront Payments/ |
Net Unrealized |
||||||||||||||||||||||||||||||
Morgan Stanley |
Swiss Market Index Future | Negative Index Return | Positive Index Return | Quarterly | 09/15/2023 | CHF | 113 | $ | — | $ | – | $ | – | |||||||||||||||||||||||||||
$ | — | $ | – | $ | – |
A list of the open centrally cleared swap agreements held by the Fund at June 30, 2023, is as follows:
Credit Default Swaps |
Reference Entity/ Obligation |
Buy/Sell Protection |
(Pays)/Receives Rate |
Payment Frequency |
Termination Date |
Notional Amount |
Value |
Upfront Payments/ Receipts |
Net Unrealized |
||||||||||||||||||||||||
CDX.NA.HY.S39V1-5Y |
Sell | (269.166)% | Quarterly | 12/20/2027 | $ | (3,317 | ) | $ | 107 | $ | 50 | $ | 57 | |||||||||||||||||||
CDX.NA.HY.S40V1-5Y |
Sell | (58.249)% | Quarterly | 06/20/2028 | (2,180 | ) | 62 | 29 | 33 | |||||||||||||||||||||||
CDX.NA.IG.S39V1-5Y |
Sell | (82.382)% | Quarterly | 12/20/2027 | (3,440 | ) | 50 | 39 | 11 | |||||||||||||||||||||||
CDX.NA.IG.S40V1-5Y |
Sell | (38.091)% | Quarterly | 06/20/2028 | (1,030 | ) | 16 | 12 | 4 | |||||||||||||||||||||||
ITRAXX.XOVER.S38V1-5Y |
Sell | (108.603)% | Quarterly | 12/20/2027 | (910 | ) | 48 | 32 | 16 | |||||||||||||||||||||||
$ | 283 | $ | 162 | $ | 121 |
Interest Rate Swaps |
Fund Pays |
Fund Receives |
Payment Frequency |
Termination Date |
Currency |
Notional Amount |
Value |
Upfront Payments/ Receipts |
Net Unrealized |
||||||||||||||||||||||||||||
6-MONTH AUD - BBSW |
4.022 | Semi-Annually | 01/24/2033 | AUD | 1,770 | $ | (30 | ) | $ | – | $ | (30 | ) | |||||||||||||||||||||||
3-MONTH NZD - BKBM |
4.255 | Quarterly | 01/25/2033 | NZD | 1,500 | (14 | ) | – | (14 | ) | ||||||||||||||||||||||||||
6-MONTH AUD - BBSW |
4.1425 | Semi-Annually | 01/30/2033 | AUD | 830 | (9 | ) | – | (9 | ) | ||||||||||||||||||||||||||
3-MONTH NZD - BKBM |
4.2160 | Quarterly | 02/01/2033 | NZD | 950 | (13 | ) | – | (13 | ) | ||||||||||||||||||||||||||
6-MONTH AUD - BBSW |
4.07 | Semi-Annually | 03/17/2033 | AUD | 1,100 | 12 | – | 12 | ||||||||||||||||||||||||||||
3-MONTH NZD - BKBM |
4.351 | Quarterly | 03/20/2033 | NZD | 920 | – | – | – | ||||||||||||||||||||||||||||
6 MONTH BBSW- AUD |
3.896 | Semi-Annually | 04/04/2033 | AUD | – | 44 | – | 44 |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
Multi-Asset Capital Stability Fund (Concluded)
Fund Pays |
Fund Receives |
Payment Frequency |
Termination Date |
Currency |
Notional Amount |
Value |
Upfront Payments/ Receipts |
Net Unrealized |
||||||||||||||||||||||||||||
3-MONTH BKBM NZD |
4.1895 | Quarterly | 04/05/2033 | NZD | 1,680 | $ | (26 | ) | $ | – | $ | (26 | ) | |||||||||||||||||||||||
6-MONTH AUD - BBSW |
3.7445 | Semi-Annually | 04/12/2033 | AUD | 1,920 | (50 | ) | – | (50 | ) | ||||||||||||||||||||||||||
3-MONTH NZD - BKBM |
4.1215 | Quarterly | 04/13/2033 | NZD | 1,840 | (32 | ) | – | (32 | ) | ||||||||||||||||||||||||||
$ | (118 | ) | $ | – | $ | (118 | ) |
|
Percentages are based on Net Assets of $611,889 ($ Thousands). |
(A) |
Interest rate represents the security's effective yield at the time of purchase. |
(B) |
Zero coupon security. |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
Glossary (abbreviations which may be used in the preceding Schedules of Investments):
(Unaudited)