SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Large Cap Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Large Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Large Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Large Cap Fund (Concluded)
A list of the open futures contracts held by the Fund at June 30, 2024, is as follows: |
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Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
S&P 500 Index E-MINI |
37 | Sep-2024 | $ | 10,202 | $ | 10,215 | $ | 13 | ||||||||||||
S&P Mid Cap 400 Index E-MINI |
7 | Sep-2024 | 2,084 | 2,071 | (13 | ) | ||||||||||||||
$ | 12,286 | $ | 12,286 | $ | – |
|
Percentages are based on Net Assets of $1,646,385 ($ Thousands). |
* |
Non-income producing security. |
** |
The rate reported is the 7-day effective yield as of June 30, 2024. |
† |
Investment in Affiliated Security. |
†† |
Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
‡ |
Real Estate Investment Trust. |
The following is a summary of the Fund’s transactions with affiliates for the period ended June 30, 2024 ($ Thousands): |
||||||||||||||||||||||||||||||||
Security Description |
Value |
Purchases |
Proceeds |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | — | $ | 33,884 | $ | (33,883 | ) | $ | (1 | ) | $ | — | $ | — | $ | 32 | $ | — | ||||||||||||||
SEI Daily Income Trust, Government Fund, |
19,610 | 334,424 | (337,637 | ) | — | — | 16,397 | 525 | — | |||||||||||||||||||||||
Totals |
$ | 19,610 | $ | 368,308 | $ | (371,520 | ) | $ | (1 | ) | $ | — | $ | 16,397 | $ | 557 | $ | — |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Large Cap Value Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Large Cap Value Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Large Cap Value Fund (Concluded)
A list of the open futures contracts held by the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Depreciation(Thousands) |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
S&P 500 Index E-MINI |
20 | Sep-2024 | $ | 5,526 | $ | 5,521 | $ | (5 | ) | |||||||||||
S&P Mid Cap 400 Index E-MINI |
12 | Sep-2024 | 3,556 | 3,550 | (6 | ) | ||||||||||||||
$ | 9,082 | $ | 9,071 | $ | (11 | ) |
|
Percentages are based on Net Assets of $1,308,925 ($ Thousands). |
* |
Non-income producing security. |
** |
The rate reported is the 7-day effective yield as of June 30, 2024. |
† |
Investment in Affiliated Security. |
‡ |
Real Estate Investment Trust. |
The following is a summary of the Fund’s transactions with affiliates for the period ended June 30, 2024 ($ Thousands): |
||||||||||||||||||||||||||||||||
Security Description |
Value |
Purchases |
Proceeds |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | 38 | $ | 37,423 | $ | (37,467 | ) | $ | 1 | $ | 5 | $ | — | $ | 18 | $ | 4 | |||||||||||||||
SEI Daily Income Trust, Government Fund, |
9,541 | 166,295 | (164,165 | ) | — | — | 11,671 | 412 | — | |||||||||||||||||||||||
Totals |
$ | 9,579 | $ | 203,718 | $ | (201,632 | ) | $ | 1 | $ | 5 | $ | 11,671 | $ | 430 | $ | 4 |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Large Cap Growth Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Large Cap Growth Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Large Cap Growth Fund (Continued)
A list of the open futures contracts held by the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
NASDAQ 100 Index E-MINI |
15 | Sep-2024 | $ | 6,017 | $ | 5,978 | $ | (39 | ) | |||||||||||
S&P 500 Index E-MINI |
22 | Sep-2024 | 6,090 | 6,073 | (17 | ) | ||||||||||||||
S&P Mid Cap 400 Index E-MINI |
21 | Sep-2024 | 6,207 | 6,212 | 5 | |||||||||||||||
$ | 18,314 | $ | 18,263 | $ | (51 | ) |
A list of the open OTC swap agreements held by the Fund at June 30, 2024 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 |
United States Custom Basket of Securities |
New York Federal Overnight Bank Fund Rate +0.40% |
Asset Returns | Annually | 09/15/2025 | USD | $ | 34,814 | $ | 1,366 | $ | – | $ | 1,366 | ||||||||||||||||||||||||||
$ | 1,366 | $ | – | $ | 1,366 |
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, 2024:
United States Custom Basket of Long Securities
Shares |
Description |
Notional Amount (Thousands) |
Value (Thousands) |
Percentage of Basket | ||||||||||||
5,447 | LAM RESEARCH CORP REGISTERED SHS |
$ | 5,838 | $ | (38 | ) | 16.8 | % | ||||||||
23,994 | ROYAL CARIBBEAN CRUISES LTD (DOING BUSINESS AS ROY |
3,578 | 240 | 10.3 |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Large Cap Growth Fund (Continued)
Shares |
Description |
Notional Amount (Thousands) |
Value (Thousands) |
Percentage of Basket | ||||||||||||
7,836 | GOLDMAN SACHS GROUP INC REGISTERED SHS |
$ | 3,528 | $ | 9 | 10.1 | % | |||||||||
77,303 | SYNCHRONY FINANCIAL REGISTERED SHS |
3,331 | 310 | 9.6 | ||||||||||||
22,500 | SIMON PROPERTY GROUP INC REGISTERED SHS |
3,323 | 86 | 9.5 | ||||||||||||
47,534 | PURE STORAGE INC REGISTERED SHS -A- |
3,223 | (178 | ) | 9.3 | |||||||||||
13,406 | EQUIFAX INC REGISTERED SHS |
3,205 | 39 | 9.2 | ||||||||||||
188,440 | NORWEGIAN CRUISE LINE HOLDINGS LTD REGISTERED SHS |
3,187 | 348 | 9.2 | ||||||||||||
43,727 | EDISON INTERNATIONAL REGISTERED SHS |
3,128 | 6 | 9.0 | ||||||||||||
19,082 | GENERAL ELECTRIC CO (DOING BUSINESS AS GE AEROSPAC |
3,115 | (88 | ) | 8.9 | |||||||||||
22,412 | INTERCONTINENTAL EXCHANGE INC REGISTERED SHS |
3,053 | 9 | 8.8 | ||||||||||||
18,764 | ATLASSIAN CORP REGISTERED SHS -A- |
2,939 | 374 | 8.4 | ||||||||||||
24,134 | PULTEGROUP INC REGISTERED SHS |
2,761 | (105 | ) | 7.9 | |||||||||||
19,302 | DELL TECHNOLOGIES INC REGISTERED SHS -C- |
2,741 | (65 | ) | 7.9 | |||||||||||
48,776 | NUTANIX INC REGISTERED SHS -A- |
2,664 | 103 | 7.7 | ||||||||||||
4,109 | UNITED RENTALS INC REGISTERED SHS |
2,545 | 107 | 7.3 | ||||||||||||
20,478 | EXPEDIA GROUP INC REGISTERED SHS |
2,541 | 34 | 7.3 | ||||||||||||
3,743 | NETFLIX INC REGISTERED SHS |
2,530 | (10 | ) | 7.3 | |||||||||||
80,289 | INTEL CORP REGISTERED SHS |
2,487 | (6 | ) | 7.1 | |||||||||||
13,883 | BOEING CO REGISTERED SHS |
2,477 | 45 | 7.1 | ||||||||||||
91,729 | NEWS CORP REGISTERED SHS -A- |
2,464 | 60 | 7.1 | ||||||||||||
28,578 | TEXTRON INC REGISTERED SHS |
2,455 | (7 | ) | 7.1 | |||||||||||
26,839 | MICROCHIP TECHNOLOGY INC REGISTERED SHS |
2,443 | 8 | 7.0 | ||||||||||||
24,061 | CARDINAL HEALTH INC REGISTERED SHS |
2,429 | (68 | ) | 7.0 | |||||||||||
4,965 | MICROSOFT CORP REGISTERED SHS |
2,226 | (10 | ) | 6.4 | |||||||||||
106,208 | DROPBOX INC REGISTERED SHS -A- |
2,223 | 159 | 6.4 | ||||||||||||
41,013 | US FOODS HOLDING CORP REGISTERED SHS |
2,188 | (25 | ) | 6.3 | |||||||||||
139,277 | CARNIVAL CORPORATION SHS |
2,185 | 417 | 6.3 | ||||||||||||
292,138 | WARNER BROS. DISCOVERY INC REGISTERED SHS SERIES - |
2,092 | 77 | 6.0 | ||||||||||||
17,353 | TOLL BROTHERS INC REGISTERED SHS |
2,089 | (94 | ) | 6.0 | |||||||||||
14,064 | MICRON TECHNOLOGY INC REGISTERED SHS |
2,079 | (270 | ) | 6.0 | |||||||||||
12,846 | ALLSTATE CORP REGISTERED SHS |
2,039 | 8 | 5.9 | ||||||||||||
7,644 | FEDEX CORP REGISTERED SHS |
1,911 | 387 | 5.5 | ||||||||||||
22,033 | POPULAR INC REGISTERED SHS |
1,872 | 72 | 5.4 | ||||||||||||
8,853 | TRAVELERS COMPANIES INC REGISTERED SHS |
1,843 | (46 | ) | 5.3 | |||||||||||
13,216 | TENET HEALTHCARE CORP REGISTERED SHS |
1,809 | (55 | ) | 5.2 | |||||||||||
23,916 | ALLISON TRANSMISSION HOLDINGS INC REGISTERED SHS |
1,762 | 52 | 5.1 | ||||||||||||
28,775 | CVS HEALTH CORP REGISTERED SHS |
1,758 | (62 | ) | 5.0 | |||||||||||
24,280 | TRANSUNION REGISTERED SHS |
1,732 | 65 | 5.0 | ||||||||||||
27,382 | INCYTE CORP REGISTERED SHS |
1,717 | (60 | ) | 4.9 | |||||||||||
27,960 | PAYPAL HOLDINGS INC REGISTERED SHS |
1,681 | (62 | ) | 4.8 | |||||||||||
17,422 | NIKE INC SHS -B- |
1,649 | (339 | ) | 4.7 | |||||||||||
116,493 | KEYCORP REGISTERED SHS |
1,580 | 72 | 4.5 | ||||||||||||
4,054 | EVEREST GROUP LTD REGISTERED SHS |
1,526 | 16 | 4.4 | ||||||||||||
36,080 | SMARTSHEET INC REGISTERED SHS -A- |
1,511 | 77 | 4.3 | ||||||||||||
21,364 | MASCO CORP REGISTERED SHS |
1,485 | (64 | ) | 4.3 | |||||||||||
1,605 | ELI LILLY & CO REGISTERED SHS |
1,420 | 33 | 4.1 | ||||||||||||
78,460 | LIBERTY GLOBAL LTD 3REGISTERED SHS -C- |
1,417 | (19 | ) | 4.1 | |||||||||||
23,134 | LATTICE SEMICONDUCTOR CORP REGISTERED SHS |
1,389 | (50 | ) | 4.0 | |||||||||||
64,743 | SLM CORP REGISTERED SHS |
1,323 | 20 | 3.8 | ||||||||||||
5,940 | QUALCOMM INC REGISTERED SHS |
1,320 | (140 | ) | 3.8 | |||||||||||
16,672 | FIDELITY NATIONAL INFORMATION SERVICES INC REGISTE |
1,269 | (15 | ) | 3.6 | |||||||||||
34,965 | INVITATION HOMES INC REGISTERED SHS |
1,242 | 21 | 3.6 | ||||||||||||
8,822 | NEUROCRINE BIOSCIENCES INC REGISTERED SHS |
1,194 | 19 | 3.4 | ||||||||||||
66,658 | PG&E CORPORATION REGISTERED SHS |
1,185 | (23 | ) | 3.4 | |||||||||||
19,374 | FORTINET INC REGISTERED SHS |
1,180 | (15 | ) | 3.4 | |||||||||||
5,489 | RESMED INC REGISTERED SHS |
1,155 | (106 | ) | 3.3 | |||||||||||
160,132 | ADT INC REGISTERED SHS |
1,148 | 66 | 3.3 | ||||||||||||
10,729 | SKYWORKS SOLUTIONS INC REGISTERED SHS |
1,140 | 1 | 3.3 | ||||||||||||
8,586 | AGILENT TECHNOLOGIES INC REGISTERED SHS |
1,132 | (21 | ) | 3.3 | |||||||||||
9,592 | SAREPTA THERAPEUTICS INC REGISTERED SHS |
1,121 | 393 | 3.2 | ||||||||||||
12,227 | VERTIV HOLDINGS CO REGISTERED SHS -A- |
1,095 | (39 | ) | 3.1 | |||||||||||
50,138 | EXELIXIS INC REGISTERED SHS |
1,092 | 32 | 3.1 | ||||||||||||
106,138 | VIATRIS INC REGISTERED SHS |
1,073 | 53 | 3.1 |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Large Cap Growth Fund (Continued)
Shares |
Description |
Notional Amount (Thousands) |
Value (Thousands) |
Percentage of Basket | ||||||||||||
5,045 | WORKDAY INC SHS -A- |
$ | 1,072 | $ | 73 | 3.1 | % | |||||||||
2,332 | LOCKHEED MARTIN CORP REGISTERED SHS |
1,070 | 17 | 3.1 | ||||||||||||
20,515 | VENTAS INC REGISTERED SHS |
1,026 | 24 | 2.9 | ||||||||||||
11,873 | MEDTRONIC PLC REGISTERED SHS |
949 | (8 | ) | 2.7 | |||||||||||
6,546 | TARGET CORP REGISTERED SHS |
949 | 18 | 2.7 | ||||||||||||
6,614 | CAPITAL ONE FINANCIAL CORP REGISTERED SHS |
907 | 7 | 2.6 | ||||||||||||
13,437 | WALMART INC REGISTERED SHS |
906 | 2 | 2.6 | ||||||||||||
2,681 | CATERPILLAR INC REGISTERED SHS |
864 | 34 | 2.5 | ||||||||||||
14,593 | TAYLOR MORRISON HOME CORPORATION REGISTERED SHS |
818 | (18 | ) | 2.3 | |||||||||||
17,291 | SM ENERGY CO REGISTERED SHS |
800 | (54 | ) | 2.3 | |||||||||||
1,525 | ADOBE INC REGISTERED SHS |
791 | 54 | 2.3 | ||||||||||||
66,170 | UIPATH INC REGISTERED SHS -A- |
753 | 85 | 2.2 | ||||||||||||
50,520 | FIRST HORIZON CORPORATION REGISTERED SHS |
731 | 65 | 2.1 | ||||||||||||
6,209 | LAMAR ADVERTISING CO REGISTERED SHS -A- |
710 | 39 | 2.0 | ||||||||||||
13,878 | DOMINION ENERGY INC REGISTERED SHS |
686 | (8 | ) | 2.0 | |||||||||||
13,244 | H.& R.BLOCK INC REGISTERED SHS |
686 | 31 | 2.0 | ||||||||||||
40,850 | SNAP INC REGISTERED SHS -A- |
647 | 30 | 1.9 | ||||||||||||
5,471 | ELASTIC N.V. BEARER AND REGISTERED SHARES |
615 | 7 | 1.8 | ||||||||||||
770 | BLACKROCK INC REGISTERED SHS |
601 | 4 | 1.7 | ||||||||||||
23,566 | ALKERMES PLC REGISTERED SHS |
589 | (23 | ) | 1.7 | |||||||||||
3,199 | AMAZON.COM INC REGISTERED SHS |
589 | 38 | 1.7 | ||||||||||||
194 | AUTOZONE INC REGISTERED SHS |
570 | 4 | 1.6 | ||||||||||||
3,919 | TERADYNE INC REGISTERED SHS |
567 | 13 | 1.6 | ||||||||||||
339 | FIRST CITIZENS BANCSHARES INC REGISTERED SHS -A- |
560 | 10 | 1.6 | ||||||||||||
24,063 | BRIXMOR PROPERTY GROUP INC REGISTERED SHS |
536 | 18 | 1.5 | ||||||||||||
1,044 | META PLATFORMS INC REGISTERED SHS -A- |
529 | (3 | ) | 1.5 | |||||||||||
2,441 | CME GROUP INC REGISTERED SHS -A- |
480 | (1 | ) | 1.4 | |||||||||||
2,831 | WESCO INTERNATIONAL INC REGISTERED SHS |
466 | (18 | ) | 1.3 | |||||||||||
4,374 | ENTERGY CORP REGISTERED SHS |
465 | 1 | 1.3 | ||||||||||||
2,930 | ALNYLAM PHARMACEUTICALS INC REGISTERED SHS |
461 | 250 | 1.3 | ||||||||||||
24,481 | DOUBLEVERIFY HOLDINGS INC REGISTERED SHS |
460 | 16 | 1.3 | ||||||||||||
9,296 | FREEPORT-MCMORAN INC REGISTERED SHS |
439 | 12 | 1.3 | ||||||||||||
1,349 | COMFORT SYSTEMS USA INC REGISTERED SHS |
434 | (25 | ) | 1.2 | |||||||||||
947,312 | GINKGO BIOWORKS HOLDINGS INC REGISTERED SHS -A- |
406 | (90 | ) | 1.2 | |||||||||||
14,060 | COREBRIDGE FINANCIAL INC REGISTERED SHS |
405 | 4 | 1.2 | ||||||||||||
3,931 | RTX CORPORATION REGISTERED SHS |
397 | (3 | ) | 1.1 | |||||||||||
4,901 | DUPONT DE NEMOURS INC REGISTERED SHS |
394 | (0 | ) | 1.1 | |||||||||||
6,254 | PEGASYSTEMS INC REGISTERED SHS |
356 | 22 | 1.0 | ||||||||||||
1,046 | HCA HEALTHCARE INC REGISTERED SHS |
351 | (16 | ) | 1.0 | |||||||||||
1,359 | FEDEX CORP REGISTERED SHS |
340 | 69 | 1.0 |
United States Custom Basket of Short Securities
Shares |
Description |
Notional Amount (Thousands) |
Value (Thousands) |
Percentage of Basket | ||||||||||||
(41,849 | ) | WAYFAIR INC REGISTERED SHS -A- |
$ | (2,223 | ) | $ | 20 | (6.4 | )% | |||||||
(4,940 | ) | SAIA INC REGISTERED SHS |
(2,210 | ) | (129 | ) | (6.3 | ) | ||||||||
(22,633 | ) | CROWN CASTLE INC REGISTERED SHS |
(2,180 | ) | (28 | ) | (6.3 | ) | ||||||||
(29,445 | ) | COSTAR GROUP INC REGISTERED SHS |
(2,158 | ) | (22 | ) | (6.2 | ) | ||||||||
(24,888 | ) | C.H.ROBINSON WORLDWIDE INC REGISTERED SHS |
(2,135 | ) | (54 | ) | (6.1 | ) | ||||||||
(124,483 | ) | XP INCORPORATION REGISTERED SHS -A- |
(2,128 | ) | (58 | ) | (6.1 | ) | ||||||||
(28,665 | ) | CF INDUSTRIES HOLDINGS INC REGISTERED SHS |
(2,122 | ) | 1 | (6.1 | ) | |||||||||
(16,326 | ) | AMERICAN WATER WORKS CO INC REGISTERED SHS |
(2,101 | ) | (3 | ) | (6.0 | ) | ||||||||
(16,958 | ) | EXPEDITORS INTERNATIONAL OF WASHINGTON REGISTERED |
(2,098 | ) | (14 | ) | (6.0 | ) | ||||||||
(7,578 | ) | AIR PRODUCTS & CHEMICALS INC REGISTERED SHS |
(2,070 | ) | 118 | (5.9 | ) | |||||||||
(57,715 | ) | FIFTH THIRD BANCORP REGISTERED SHS |
(2,058 | ) | (65 | ) | (5.9 | ) | ||||||||
(4,384 | ) | TYLER TECHNOLOGIES INC REGISTERED SHS |
(2,049 | ) | (152 | ) | (5.9 | ) | ||||||||
(24,029 | ) | NORTHERN TRUST CORP REGISTERED SHS |
(1,972 | ) | (42 | ) | (5.7 | ) | ||||||||
(15,731 | ) | REPLIGEN CORP REGISTERED SHS |
(1,972 | ) | (9 | ) | (5.7 | ) | ||||||||
(12,066 | ) | CHORD ENERGY CORPORATION REGISTERED SHS |
(1,963 | ) | (57 | ) | (5.6 | ) | ||||||||
(87,692 | ) | ROBINHOOD MARKETS INC REGISTERED SHS -A- |
(1,951 | ) | (37 | ) | (5.6 | ) | ||||||||
(14,047 | ) | GENERAC HOLDINGS INC REGISTERED SHS |
(1,909 | ) | 55 | (5.5 | ) | |||||||||
(191,530 | ) | AMCOR PLC REGISTERED SHS |
(1,908 | ) | 38 | (5.5 | ) |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Large Cap Growth Fund (Continued)
Shares |
Description |
Notional Amount (Thousands) |
Value (Thousands) |
Percentage of Basket | ||||||||||||
(6,263 | ) | ZEBRA TECHNOLOGIES CORP SHS -A- |
$ | (1,894 | ) | $ | (42 | ) | (5.4 | )% | ||||||
(13,241 | ) | CHART INDUSTRIES INC REGISTERED SHS |
(1,886 | ) | (22 | ) | (5.4 | ) | ||||||||
(7,446 | ) | FABRINET BEARER SHS |
(1,849 | ) | 29 | (5.3 | ) | |||||||||
(15,624 | ) | CHOICE HOTELS INTERNATIONAL INC REGISTERED SHS |
(1,821 | ) | (36 | ) | (5.2 | ) | ||||||||
(11,519 | ) | GLOBANT S.A. REGISTERED SHS |
(1,821 | ) | (229 | ) | (5.2 | ) | ||||||||
(44,226 | ) | ZIONS BANCORPORATION NA REGISTERED SHS |
(1,821 | ) | (95 | ) | (5.2 | ) | ||||||||
(4,671 | ) | KINSALE CAPITAL GROUP INC REGISTERED SHS |
(1,821 | ) | 24 | (5.2 | ) | |||||||||
(43,917 | ) | DUTCH BROS INC REGISTERED SHS -A- |
(1,727 | ) | (88 | ) | (5.0 | ) | ||||||||
(50,356 | ) | RANGE RESOURCES CORP REGISTERED SHS |
(1,727 | ) | 41 | (5.0 | ) | |||||||||
(28,126 | ) | AGREE REALTY CORP REGISTERED SHS |
(1,727 | ) | (19 | ) | (5.0 | ) | ||||||||
(14,869 | ) | SUN COMMUNITIES INC REGISTERED SHS |
(1,723 | ) | (77 | ) | (5.0 | ) | ||||||||
(45,537 | ) | ESSENTIAL UTILITIES INC REGISTERED SHS |
(1,688 | ) | (9 | ) | (4.8 | ) | ||||||||
(10,166 | ) | JACK HENRY & ASSOCIATES INC REGISTERED SHS |
(1,678 | ) | (7 | ) | (4.8 | ) | ||||||||
(21,292 | ) | PRINCIPAL FINANCIAL GROUP INC REGISTERED SHS |
(1,658 | ) | (9 | ) | (4.8 | ) | ||||||||
(106,578 | ) | WALGREENS BOOTS ALLIANCE INC REGISTERED SHS |
(1,615 | ) | 328 | (4.6 | ) | |||||||||
(10,353 | ) | NEXSTAR MEDIA GROUP INC REGISTERED SHS |
(1,573 | ) | (143 | ) | (4.5 | ) | ||||||||
(15,582 | ) | RYMAN HOSPITALITY PROPERTIES INC REGISTERED SHS |
(1,558 | ) | (13 | ) | (4.5 | ) | ||||||||
(11,698 | ) | HOULIHAN LOKEY INC REGISTERED SHS -A- |
(1,532 | ) | (43 | ) | (4.4 | ) | ||||||||
(38,388 | ) | US BANCORP REGISTERED SHS |
(1,513 | ) | (29 | ) | (4.3 | ) | ||||||||
(15,538 | ) | CULLEN/FROST BANKERS INC REGISTERED SHS |
(1,512 | ) | (64 | ) | (4.3 | ) | ||||||||
(8,333 | ) | LANDSTAR SYSTEM INC REGISTERED SHS |
(1,503 | ) | (31 | ) | (4.3 | ) | ||||||||
(10,642 | ) | CHURCHILL DOWNS INC REGISTERED SHS |
(1,488 | ) | 5 | (4.3 | ) | |||||||||
(7,508 | ) | ASPEN TECHNOLOGY INC REGISTERED SHS |
(1,473 | ) | (16 | ) | (4.2 | ) | ||||||||
(5,277 | ) | RBC BEARINGS INC REGISTERED SHS |
(1,441 | ) | 20 | (4.1 | ) | |||||||||
(7,753 | ) | HEICO CORP REGISTERED SHS -A- |
(1,391 | ) | 18 | (4.0 | ) | |||||||||
(18,191 | ) | PINNACLE FINANCIAL PARTNERS INC REGISTERED SHS |
(1,388 | ) | (66 | ) | (4.0 | ) | ||||||||
(7,257 | ) | SPS COMMERCE INC REGISTERED SHS |
(1,345 | ) | (18 | ) | (3.9 | ) | ||||||||
(112,538 | ) | NU HOLDINGS LIMITED REGISTERED SHS -A- |
(1,331 | ) | (117 | ) | (3.8 | ) | ||||||||
(22,075 | ) | PROSPERITY BANCSHARES INC REGISTERED SHS |
(1,301 | ) | (46 | ) | (3.7 | ) | ||||||||
(3,545 | ) | ERIE INDEMNITY CO SHS -A- |
(1,260 | ) | (22 | ) | (3.6 | ) | ||||||||
(11,473 | ) | MACOM TECHNOLOGY SOLUTIONS HOLDINGS INC REGISTERED |
(1,228 | ) | (48 | ) | (3.5 | ) | ||||||||
(39,062 | ) | BLACKSTONE SECURED LENDING FUND REGISTERED SHS |
(1,227 | ) | 2 | (3.5 | ) | |||||||||
(8,129 | ) | PENSKE AUTOMOTIVE GROUP INC REGISTERED SHS |
(1,199 | ) | (10 | ) | (3.4 | ) | ||||||||
(22,169 | ) | COMMERCE BANCSHARES INC REGISTERED SHS |
(1,185 | ) | (50 | ) | (3.4 | ) | ||||||||
(32,569 | ) | VIPER ENERGY PARTNERS LP REGISTERED SHS |
(1,176 | ) | (44 | ) | (3.4 | ) | ||||||||
(9,460 | ) | BLACKSTONE INC REGISTERED SHS |
(1,156 | ) | (16 | ) | (3.3 | ) | ||||||||
(15,753 | ) | SOUTHSTATE CORPORATION REGISTERED SHS |
(1,145 | ) | (57 | ) | (3.3 | ) | ||||||||
(16,499 | ) | CIVITAS RESOURCES INC REGISTERED SHS |
(1,110 | ) | (27 | ) | (3.2 | ) | ||||||||
(5,397 | ) | MARKETAXESS HOLDING INC REGISTERED SHS |
(1,076 | ) | (4 | ) | (3.1 | ) | ||||||||
(7,475 | ) | RLI CORP REGISTERED SHS |
(1,058 | ) | 8 | (3.0 | ) | |||||||||
(6,429 | ) | NOVANTA INC REGISTERED SHS |
(1,056 | ) | 10 | (3.0 | ) | |||||||||
(14,754 | ) | INTRA-CELLULAR THERAPIES INC REGISTERED SHS |
(1,048 | ) | 39 | (3.0 | ) | |||||||||
(29,254 | ) | PILGRIMS PRIDE CORP REGISTERED SHS |
(1,030 | ) | (95 | ) | (3.0 | ) | ||||||||
(8,742 | ) | FIVE BELOW INC REGISTERED SHS |
(984 | ) | 32 | (2.8 | ) | |||||||||
(4,546 | ) | FTI CONSULTING INC REGISTERED SHS |
(953 | ) | (34 | ) | (2.7 | ) | ||||||||
(5,667 | ) | F5 INC REGISTERED SHS |
(950 | ) | (24 | ) | (2.7 | ) | ||||||||
(5,035 | ) | LANCASTER COLONY CORP REGISTERED SHS |
(949 | ) | (0 | ) | (2.7 | ) | ||||||||
(57,925 | ) | UNITY SOFTWARE INC REGISTERED SHS |
(949 | ) | 8 | (2.7 | ) | |||||||||
(6,278 | ) | WESTLAKE CORPORATION REGISTERED SHS |
(944 | ) | 37 | (2.7 | ) | |||||||||
(3,381 | ) | MADRIGAL PHARMACEUTICALS INC REGISTERED SHS |
(936 | ) | (10 | ) | (2.7 | ) | ||||||||
(20,400 | ) | INTERNATIONAL PAPER CO REGISTERED SHS |
(926 | ) | 47 | (2.7 | ) | |||||||||
(233,866 | ) | PELOTON INTERACTIVE INC REGISTERED SHS -A- |
(924 | ) | 173 | (2.7 | ) | |||||||||
(8,861 | ) | TKO GROUP HOLDINGS INC REGISTERED SHS -A- |
(922 | ) | (34 | ) | (2.6 | ) | ||||||||
(5,466 | ) | AUTONATION INC REGISTERED SHS |
(920 | ) | 51 | (2.6 | ) | |||||||||
(20,741 | ) | NOBLE HOLDING CORPORATION PLC REGISTERED SHS -A- |
(901 | ) | (23 | ) | (2.6 | ) | ||||||||
(9,212 | ) | IDACORP INC REGISTERED SHS |
(840 | ) | (17 | ) | (2.4 | ) | ||||||||
(75,755 | ) | ROIVANT SCIENCES LIMITED REGISTERED SHS |
(812 | ) | 13 | (2.3 | ) | |||||||||
(10,808 | ) | VAXCYTE INC REGISTERED SHS |
(777 | ) | (38 | ) | (2.2 | ) | ||||||||
(14,786 | ) | VIKING THERAPEUTICS INC REGISTERED SHS |
(769 | ) | (13 | ) | (2.2 | ) | ||||||||
(2,236 | ) | POOL CORP REGISTERED SHS |
(767 | ) | 82 | (2.2 | ) | |||||||||
(16,933 | ) | NOBLE HOLDING CORPORATION PLC REGISTERED SHS -A- |
(736 | ) | (19 | ) | (2.1 | ) | ||||||||
(19,394 | ) | REVOLUTION MEDICINES INC REGISTERED SHS |
(1,908 | ) | 38 | (2.1 | ) |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Large Cap Growth Fund (Concluded)
Shares |
Description |
Notional Amount (Thousands) |
Value (Thousands) |
Percentage of Basket | ||||||||||||
(18,853 | ) | KEURIG DR PEPPER INC REGISTERED SHS |
$ | (654 | ) | $ | 21 | (1.9 | )% | |||||||
(2,817 | ) | RH REGISTERED SHS |
(643 | ) | (44 | ) | (1.8 | ) | ||||||||
(9,779 | ) | CIVITAS RESOURCES INC REGISTERED SHS |
(637 | ) | (36 | ) | (1.8 | ) | ||||||||
(2,793 | ) | CDW CORPORATION REGISTERED SHS |
(632 | ) | 8 | (1.8 | ) | |||||||||
(13,105 | ) | GXO LOGISTICS INC REGISTERED SHS |
(628 | ) | (28 | ) | (1.8 | ) | ||||||||
(3,276 | ) | WATTS WATER TECHNOLOGIES INC SHS -A- |
(615 | ) | 16 | (1.8 | ) | |||||||||
(3,785 | ) | HYATT HOTELS CORP REGISTERED SHS -A- |
(568 | ) | (6 | ) | (1.6 | ) | ||||||||
(16,492 | ) | AFFIRM HOLDINGS INC REGISTERED SHS -A- |
(508 | ) | 21 | (1.5 | ) | |||||||||
(68,587 | ) | UWM HOLDINGS CORPORATION REGISTERED SHS -A- |
(506 | ) | 25 | (1.5 | ) | |||||||||
(8,631 | ) | CELSIUS HOLDINGS INC REGISTERED SHS |
(479 | ) | (13 | ) | (1.4 | ) | ||||||||
(521 | ) | SUPER MICRO COMPUTER INC REGISTERED SHS |
(462 | ) | 40 | (1.3 | ) | |||||||||
(39,802 | ) | SOTERA HEALTH COMPANY REGISTERED SHS |
(452 | ) | (19 | ) | (1.3 | ) | ||||||||
(565 | ) | TEXAS PACIFIC LAND CORP REGISTERED SHS |
(429 | ) | 15 | (1.2 | ) | |||||||||
(55 | ) | NVR INC REGISTERED SHS |
(423 | ) | 6 | (1.2 | ) | |||||||||
(2,647 | ) | UBIQUITI INC REGISTERED SHS |
(388 | ) | 3 | (1.1 | ) | |||||||||
(1,425 | ) | FIRST SOLAR INC REGISTERED SHS |
(372 | ) | 55 | (1.1 | ) | |||||||||
(2,666 | ) | MODERNA INC REGISTERED SHS |
(368 | ) | 52 | (1.1 | ) | |||||||||
(1,542 | ) | APPFOLIO INC REGISTERED SHS -A- |
(355 | ) | (21 | ) | (1.0 | ) | ||||||||
(1,700 | ) | CHARLES RIVER LABORATORIES INTERNATIONAL INC REGIS |
(354 | ) | 4 | (1.0 | ) | |||||||||
(1,544 | ) | PRIMERICA INC REGISTERED SHS |
(352 | ) | (13 | ) | (1.0 | ) |
|
Percentages are based on Net Assets of $1,523,999 ($ Thousands). |
* |
Non-income producing security. |
** |
The rate reported is the 7-day effective yield as of June 30, 2024. |
† |
Investment in Affiliated Security. |
†† |
Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
‡ |
Real Estate Investment Trust. |
(A) |
Interest rate represents the security's effective yield at the time of purchase. |
The following is a summary of the Fund’s transactions with affiliates for the period ended June 30, 2024 ($ Thousands): |
||||||||||||||||||||||||||||||||
Security Description |
Value |
Purchases |
Proceeds |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | — | $ | 12,537 | $ | (12,537 | ) | $ | — | $ | — | $ | — | $ | 3 | $ | — | |||||||||||||||
SEI Daily Income Trust, Government Fund, |
16,819 | 342,820 | (338,626 | ) | — | — | 21,013 | 789 | — | |||||||||||||||||||||||
Totals |
$ | 16,819 | $ | 355,357 | $ | (351,163 | ) | $ | – | $ | — | $ | 21,013 | $ | 792 | $ | — |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for Abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Large Cap Index Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Large Cap Index Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Large Cap Index Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Large Cap Index Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Large Cap Index Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Large Cap Index Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Large Cap Index Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Large Cap Index Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Large Cap Index Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Large Cap Index Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Large Cap Index Fund (Concluded)
A list of the open futures contracts held by the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
S&P 500 Index E-MINI |
69 | Sep-2024 | $ | 18,976 | $ | 19,049 | $ | 73 | ||||||||||||
S&P Mid Cap 400 Index E-MINI |
2 | Sep-2024 | 594 | 592 | (2 | ) | ||||||||||||||
S&P Mid Cap 400 Index E-MINI |
8 | Sep-2024 | 2,344 | 2,366 | 22 | |||||||||||||||
$ | 21,914 | $ | 22,007 | $ | 93 |
|
Percentages are based on Net Assets of $1,150,553 ($ Thousands). |
* |
Non-income producing security. |
** |
The rate reported is the 7-day effective yield as of June 30, 2024. |
† |
Investment in Affiliated Security. |
†† |
Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
‡ |
Real Estate Investment Trust. |
The following is a summary of the Fund’s transactions with affiliates for the period ended June 30, 2024 ($ Thousands): |
||||||||||||||||||||||||||||||||
Security Description |
Value |
Purchases |
Proceeds |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Investments Co |
$ | 151 | $ | — | $ | (13 | ) | $ | (2 | ) | $ | 13 | $ | 149 | $ | 2 | $ | — | ||||||||||||||
SEI Liquidity Fund, LP |
567 | 1,302 | (1,871 | ) | — | 2 | — | 21 | — | |||||||||||||||||||||||
SEI Daily Income Trust, Government Fund, |
32,499 | 112,957 | (123,680 | ) | — | — | 21,776 | 941 | — | |||||||||||||||||||||||
Totals |
$ | 33,217 | $ | 114,259 | $ | (125,564 | ) | $ | (2 | ) | $ | 15 | $ | 21,925 | $ | 964 | $ | — |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Tax-Managed Large Cap Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Tax-Managed Large Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Tax-Managed Large Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Tax-Managed Large Cap Fund (Concluded)
A list of the open futures contracts held by the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
S&P 500 Index E-MINI |
54 | Sep-2024 | $ | 14,927 | $ | 14,908 | $ | (19 | ) | |||||||||||
S&P Mid Cap 400 Index E-MINI |
13 | Sep-2024 | 3,830 | 3,846 | 16 | |||||||||||||||
$ | 18,757 | $ | 18,754 | $ | (3 | ) |
|
Percentages are based on Net Assets of $4,190,688 ($ Thousands). |
* |
Non-income producing security. |
** |
The rate reported is the 7-day effective yield as of June 30, 2024. |
† |
Investment in Affiliated Security. |
†† |
Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
‡ |
Real Estate Investment Trust. |
The following is a summary of the Fund’s transactions with affiliates for the period ended June 30, 2024 ($ Thousands): |
||||||||||||||||||||||||||||||||
Security Description |
Value |
Purchases |
Proceeds |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | 3,657 | $ | 88,023 | $ | (91,654 | ) | $ | (4 | ) | $ | (22 | ) | $ | — | $ | 539 | $ | 7 | |||||||||||||
SEI Daily Income Trust, Government Fund, |
26,387 | 471,151 | (470,744 | ) | — | — | 26,794 | 838 | — | |||||||||||||||||||||||
Totals |
$ | 30,044 | $ | 559,174 | $ | (562,398 | ) | $ | (4 | ) | $ | (22 | ) | $ | 26,794 | $ | 1,377 | $ | 7 |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
S&P 500 Index Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
S&P 500 Index Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
S&P 500 Index Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
S&P 500 Index Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
S&P 500 Index Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
S&P 500 Index Fund (Concluded)
A list of the open futures contracts held by the Fund at June 30, 2024, 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 |
84 | Sep-2024 | $ | 23,137 | $ | 23,190 | $ | 53 | ||||||||||||
|
Percentages are based on Net Assets of $1,050,226 ($ Thousands). |
* |
Non-income producing security. |
** |
The rate reported is the 7-day effective yield as of June 30, 2024. |
† |
Investment in Affiliated Security. |
†† |
Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
‡ |
Real Estate Investment Trust. |
The following is a summary of the Fund’s transactions with affiliates for the period ended June 30, 2024 ($ Thousands): |
||||||||||||||||||||||||||||||||
Security Description |
Value |
Purchases |
Proceeds |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Daily Income Trust, Government Fund, |
$ | 19,012 | $ | 88,480 | $ | (92,646 | ) | $ | — | $ | — | $ | 14,846 | $ | 711 | $ | — | |||||||||||||||
|
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Small Cap Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Small Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Small Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Small Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Small Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Small Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Small Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Small Cap Fund (Concluded)
A list of the open futures contracts held by the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation(Thousands) |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
Russell 2000 Index E-MINI |
54 | Sep-2024 | $ | 5,552 | $ | 5,576 | $ | 24 | ||||||||||||
The following is a summary of the Fund’s transactions with affiliates for the period ended June 30, 2024 ($ Thousands): |
||||||||||||||||||||||||||||||||
Security Description |
Value |
Purchases |
Proceeds |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | 381 | $ | 6,659 | $ | (7,040 | ) | $ | — | $ | — | $ | — | $ | 10 | $ | — | |||||||||||||||
SEI Daily Income Trust, Government Fund, |
5,314 | 148,582 | (148,263 | ) | — | — | 5,633 | 199 | — | |||||||||||||||||||||||
Totals |
$ | 5,695 | $ | 155,241 | $ | (155,303 | ) | $ | – | $ | — | $ | 5,633 | $ | 209 | $ | — |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Small Cap Value Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Small Cap Value Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Small Cap Value Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Small Cap Value Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Small Cap Value Fund (Continued)
A list of the open futures contracts held by the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation(Thousands) |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
Russell 2000 Index E-MINI |
12 | Sep-2024 | $ | 1,218 | $ | 1,239 | $ | 21 | ||||||||||||
|
Percentages are based on Net Assets of $347,375 ($ Thousands). |
* |
Non-income producing security. |
** |
The rate reported is the 7-day effective yield as of June 30, 2024. |
† |
Investment in Affiliated Security. |
†† |
Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
‡ |
Real Estate Investment Trust. |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Small Cap Value Fund (Concluded)
The following is a summary of the Fund’s transactions with affiliates for the period ended June 30, 2024 ($ Thousands): |
||||||||||||||||||||||||||||||||
Security Description |
Value |
Purchases |
Proceeds |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | 1,689 | $ | 6,725 | $ | (8,411 | ) | $ | — | $ | (3 | ) | $ | — | $ | 61 | $ | 1 | ||||||||||||||
SEI Daily Income Trust, Government Fund, |
3,706 | 57,915 | (58,936 | ) | — | — | 2,685 | 134 | — | |||||||||||||||||||||||
Totals |
$ | 5,395 | $ | 64,640 | $ | (67,347 | ) | $ | — | $ | (3 | ) | $ | 2,685 | $ | 195 | $ | 1 |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Small Cap Growth Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Small Cap Growth Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Small Cap Growth Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Small Cap Growth Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Small Cap Growth Fund (Concluded)
The following is a summary of the Fund’s transactions with affiliates for the period ended June 30, 2024 ($ Thousands): |
||||||||||||||||||||||||||||||||
Security Description |
Value |
Purchases |
Proceeds |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | 2,403 | $ | 9,567 | $ | (11,974 | ) | $ | — | $ | 4 | $ | — | $ | 84 | $ | — | |||||||||||||||
SEI Daily Income Trust, Government Fund, |
3,887 | 54,610 | (54,727 | ) | — | — | 3,770 | 142 | — | |||||||||||||||||||||||
Totals |
$ | 6,290 | $ | 64,177 | $ | (66,701 | ) | $ | – | $ | 4 | $ | 3,770 | $ | 226 | $ | — |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Tax-Managed Small/Mid Cap Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Tax-Managed Small/Mid Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Tax-Managed Small/Mid Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Tax-Managed Small/Mid Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Tax-Managed Small/Mid Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Tax-Managed Small/Mid Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Tax-Managed Small/Mid Cap Fund (Concluded)
A list of the open futures contracts held by the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation(Thousands) |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
Russell 2000 Index E-MINI |
18 | Sep-2024 | $ | 1,828 | $ | 1,858 | $ | 30 | ||||||||||||
S&P Mid Cap 400 Index E-MINI |
6 | Sep-2024 | 1,758 | 1,775 | 17 | |||||||||||||||
$ | 3,586 | $ | 3,633 | $ | 47 |
The following is a summary of the Fund’s transactions with affiliates for the period ended June 30, 2024 ($ Thousands): |
||||||||||||||||||||||||||||||||
Security Description |
Value |
Purchases |
Proceeds |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | — | $ | 3,198 | $ | (3,189 | ) | $ | (3 | ) | $ | (6 | ) | $ | — | $ | 9 | $ | — | |||||||||||||
SEI Daily Income Trust, Government Fund, |
9,783 | 119,673 | (122,914 | ) | — | — | 6,542 | 328 | — | |||||||||||||||||||||||
Totals |
$ | 9,783 | $ | 122,871 | $ | (126,103 | ) | $ | (3 | ) | $ | (6 | ) | $ | 6,542 | $ | 337 | $ | — |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Mid-Cap Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Mid-Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Mid-Cap Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Mid-Cap Fund (Concluded)
A list of the open futures contracts held by the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Depreciation(Thousands) |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
S&P Mid Cap 400 Index E-MINI |
3 | Sep-2024 | $ | 887 | $ | 887 | $ | – | ||||||||||||
|
Percentages are based on Net Assets of $84,688 ($ Thousands). |
* |
Non-income producing security. |
** |
The rate reported is the 7-day effective yield as of June 30, 2024. |
‡ |
Real Estate Investment Trust. |
‡‡ |
Expiration date not available. |
† |
Investment in Affiliated Security. |
The following is a summary of the Fund’s transactions with affiliates for the period ended June 30, 2024 ($ Thousands): |
||||||||||||||||||||||||||||||||
Security Description |
Value |
Purchases |
Proceeds |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Daily Income Trust, Government Fund, |
$ | 1,512 | $ | 9,947 | $ | (10,308 | ) | $ | — | $ | — | $ | 1,151 | $ | 63 | $ | — | |||||||||||||||
|
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
U.S. Managed Volatility Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
U.S. Managed Volatility Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
U.S. Managed Volatility Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
U.S. Managed Volatility Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
U.S. Managed Volatility Fund (Concluded)
A list of the open futures contracts held by the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Depreciation(Thousands) |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
S&P 500 Index E-MINI |
1 | Sep-2024 | $ | 277 | $ | 276 | $ | (1 | ) | |||||||||||
|
Percentages are based on Net Assets of $627,941 ($ Thousands). |
* |
Non-income producing security. |
** |
The rate reported is the 7-day effective yield as of June 30, 2024. |
† |
Investment in Affiliated Security. |
‡ |
Real Estate Investment Trust. |
The following is a summary of the Fund’s transactions with affiliates for the period ended June 30, 2024 ($ Thousands): |
||||||||||||||||||||||||||||||||
Security Description |
Value |
Purchases |
Proceeds |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | 2,813 | $ | 21,533 | $ | (24,347 | ) | $ | 1 | $ | — | $ | — | $ | 18 | $ | — | |||||||||||||||
SEI Daily Income Trust, Government Fund, |
15,573 | 142,748 | (151,931 | ) | — | — | 6,390 | 410 | — | |||||||||||||||||||||||
Totals |
$ | 18,386 | $ | 164,281 | $ | (176,278 | ) | $ | 1 | $ | — | $ | 6,390 | $ | 428 | $ | — |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Global Managed Volatility Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Global Managed Volatility Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Global Managed Volatility Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Global Managed Volatility Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Global Managed Volatility Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Global Managed Volatility Fund (Continued)
A list of the open futures contracts held by the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
Euro STOXX 50 |
12 | Sep-2024 | $ | 637 | $ | 632 | $ | (5 | ) | |||||||||||
FTSE 100 Index |
4 | Sep-2024 | 419 | 416 | (3 | ) | ||||||||||||||
Hang Seng Index |
1 | Jul-2024 | 114 | 113 | (1 | ) | ||||||||||||||
S&P 500 Index E-MINI |
11 | Sep-2024 | 3,036 | 3,036 | – | |||||||||||||||
SPI 200 Index |
5 | Sep-2024 | 649 | 649 | (2 | ) | ||||||||||||||
TOPIX Index |
4 | Sep-2024 | 690 | 699 | 14 | |||||||||||||||
$ | 5,545 | $ | 5,545 | $ | 3 |
A list of the open forward foreign currency contracts held by the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||||||
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
Barclays PLC |
07/22/24 | GBP | 15,394 | USD | 19,507 | $ | 47 | |||||||||||||||||
Barclays PLC |
07/22/24 | DKK | 30,696 | USD | 4,417 | — | ||||||||||||||||||
Barclays PLC |
07/22/24 | SEK | 74,991 | USD | 7,159 | 70 | ||||||||||||||||||
BNP Paribas |
07/22/24 | SGD | 4,673 | USD | 3,455 | 3 | ||||||||||||||||||
BNP Paribas |
07/22/24 | HKD | 93,893 | USD | 12,036 | 1 | ||||||||||||||||||
BNP Paribas |
07/22/24 | JPY | 6,118,435 | USD | 38,887 | 728 | ||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | USD | 13 | NZD | 21 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | USD | 13 | SGD | 17 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | USD | 15 | SGD | 21 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | NZD | 31 | USD | 19 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | NZD | 5 | USD | 3 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | SGD | 22 | USD | 16 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | SGD | 38 | USD | 28 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | USD | 33 | DKK | 229 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | USD | 28 | DKK | 196 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | USD | 48 | CAD | 65 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | USD | 19 | CAD | 25 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | USD | 80 | HKD | 627 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | CAD | 54 | USD | 39 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | CAD | 37 | USD | 27 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | AUD | 91 | USD | 60 | (1 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/22/24 | USD | 84 | AUD | 127 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | USD | 16 | AUD | 23 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | USD | 6 | SEK | 69 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | USD | 100 | SEK | 1,048 | (1 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/22/24 | USD | 137 | NOK | 1,452 | (1 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/22/24 | USD | 187 | GBP | 147 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | USD | 96 | JPY | 15,400 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | USD | 141 | JPY | 22,399 | (1 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/22/24 | GBP | 167 | USD | 211 | 1 | ||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | GBP | 91 | USD | 115 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | USD | 259 | CHF | 229 | (4 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/22/24 | CHF | 379 | USD | 426 | 3 | ||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | CHF | 19 | USD | 21 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | USD | 239 | EUR | 223 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | USD | 208 | EUR | 193 | — |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Global Managed Volatility Fund (Continued)
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | DKK | 549 | USD | 79 | $ | — | |||||||||||||||||
Brown Brothers Harriman |
07/22/24 | EUR | 556 | USD | 595 | (1 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/22/24 | HKD | 532 | USD | 68 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | HKD | 417 | USD | 53 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | NOK | 1,036 | USD | 98 | 1 | ||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | NOK | 349 | USD | 33 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | SEK | 1,885 | USD | 179 | 1 | ||||||||||||||||||
Brown Brothers Harriman |
07/22/24 | JPY | 145,524 | USD | 916 | 9 | ||||||||||||||||||
Standard Chartered |
07/22/24 | CAD | 12,477 | USD | 9,079 | (44 | ) | |||||||||||||||||
Standard Chartered |
07/22/24 | NOK | 66,881 | USD | 6,267 | (19 | ) | |||||||||||||||||
Westpac Banking |
07/22/24 | NZD | 2,111 | USD | 1,288 | 2 | ||||||||||||||||||
Westpac Banking |
07/22/24 | AUD | 6,880 | USD | 4,559 | (38 | ) | |||||||||||||||||
Westpac Banking |
07/22/24 | CHF | 17,853 | USD | 20,187 | 267 | ||||||||||||||||||
Westpac Banking |
07/22/24 | EUR | 30,784 | USD | 33,034 | 13 | ||||||||||||||||||
$ | 1,036 |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Global Managed Volatility Fund (Concluded)
The following is a summary of the Fund’s transactions with affiliates for the period ended June 30, 2024 ($ Thousands):
Security Description |
Value 9/30/2023 |
Purchases at Cost |
Proceeds from Sales |
Realized Gain/ (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value 6/30/2024 |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | 5,171 | $ | 71,534 | $ | (76,700 | ) | $ | (4 | ) | $ | (1 | ) | $ | — | $ | 66 | $ | — | |||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class |
8,088 | 219,255 | (215,057 | ) | — | — | 12,286 | 309 | — | |||||||||||||||||||||||
Totals |
$ | 13,259 | $ | 290,789 | $ | (291,757 | ) | $ | (4 | ) | $ | (1 | ) | $ | 12,286 | $ | 375 | $ | — |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Tax-Managed Managed Volatility Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Tax-Managed Managed Volatility Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Tax-Managed Managed Volatility Fund (Concluded)
A list of the open futures contracts held by the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Depreciation(Thousands) |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
S&P 500 Index E-MINI |
11 | Sep-2024 | $ | 3,039 | $ | 3,037 | $ | (2 | ) | |||||||||||
|
Percentages are based on Net Assets of $806,414 ($ Thousands). |
* |
Non-income producing security. |
** |
The rate reported is the 7-day effective yield as of June 30, 2024. |
† |
Investment in Affiliated Security. |
‡ |
Real Estate Investment Trust. |
The following is a summary of the Fund’s transactions with affiliates for the period ended June 30, 2024 ($ Thousands):
Security Description |
Value 9/30/2023 |
Purchases at Cost |
Proceeds from Sales |
Realized Gain/ (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value 6/30/2024 |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | 3,171 | $ | 5,861 | $ | (9,037 | ) | $ | — | $ | 5 | $ | — | $ | 13 | $ | — | |||||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class |
18,107 | 122,915 | (129,920 | ) | — | — | 11,102 | 474 | — | |||||||||||||||||||||||
Totals |
$ | 21,278 | $ | 128,776 | $ | (138,957 | ) | $ | — | $ | 5 | $ | 11,102 | $ | 487 | $ | — |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Tax-Managed International Managed Volatility Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Tax-Managed International Managed Volatility Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Tax-Managed International Managed Volatility Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Tax-Managed International Managed Volatility Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Tax-Managed International Managed Volatility Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Tax-Managed International Managed Volatility Fund (Concluded)
A list of the open futures contracts held by the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
Euro STOXX 50 |
16 | Sep-2024 | $ | 848 | $ | 845 | $ | (3 | ) | |||||||||||
FTSE 100 Index |
5 | Sep-2024 | 520 | 518 | – | |||||||||||||||
SPI 200 Index |
3 | Sep-2024 | 388 | 390 | 1 | |||||||||||||||
TOPIX Index |
4 | Sep-2024 | 688 | 699 | 17 | |||||||||||||||
$ | 2,444 | $ | 2,452 | $ | 15 |
The following is a summary of the Fund’s transactions with affiliates for the period ended June 30, 2024 ($ Thousands): |
||||||||||||||||||||||||||||||||
Security Description |
Value |
Purchases |
Proceeds |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | 2,591 | $ | 51,730 | $ | (54,321 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
SEI Daily Income Trust, Government Fund, |
1,096 | 56,846 | (53,117 | ) | — | (3 | ) | 4,822 | 115 | — | ||||||||||||||||||||||
Totals |
$ | 3,687 | $ | 108,576 | $ | (107,438 | ) | $ | – | $ | (3 | ) | $ | 4,822 | $ | 115 | $ | — |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary for abbreviations”.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Real Estate Fund
The following is a summary of the Fund’s transactions with affiliates for the period ended June 30, 2024 ($ Thousands): |
||||||||||||||||||||||||||||||||
Security Description |
Value |
Purchases |
Proceeds |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | 4 | $ | 1,020 | $ | (1,025 | ) | $ | — | $ | 1 | $ | — | $ | 1 | $ | — | |||||||||||||||
SEI Daily Income Trust, Government Fund, |
973 | 13,142 | (13,407 | ) | — | — | 708 | 29 | — | |||||||||||||||||||||||
Totals |
$ | 977 | $ | 14,162 | $ | (14,432 | ) | $ | – | $ | 1 | $ | 708 | $ | 30 | $ | — |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
A list of open exchange traded options contracts for the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||
Description |
Number of Contracts |
Notional Amount |
Exercise Price |
Expiration Date |
Value |
|||||||||||||||
PURCHASED OPTIONS — 0.0% |
||||||||||||||||||||
Put Options |
||||||||||||||||||||
December 2024, 3 Month SOFR OPT Dec24P 95.5 |
51 | $ | 12,176 | $ | 95.50 | 12/21/2024 | $ | 57 | ||||||||||||
June 2024, US 5YR Note W4 OP Jun24C 106.25 |
216 | 22,950 | 106.25 | 7/20/2024 | 2 | |||||||||||||||
35,126 | 59 | |||||||||||||||||||
Call Options |
||||||||||||||||||||
September 2024, 3 Month SOFR OPT Sep24C 95.13 |
691 | 164,328 | 95.13 | 9/21/2024 | 39 | |||||||||||||||
June 2024, U.S. 10 Year Future Option |
288 | 31,968 | 111.00 | 7/20/2024 | – | |||||||||||||||
June 2024, US 5YR Note W4 OP Jun24C 106.75 |
216 | 23,058 | 106.75 | 7/20/2024 | 1 | |||||||||||||||
US 6-7 NOTE FRI WK1 Jul24C 110.5 |
121 | 13,371 | 110.50 | 7/20/2024 | 13 | |||||||||||||||
June 2024, U.S. Long Treasury Bond |
49 | 5,856 | 119.50 | 7/20/2024 | – | |||||||||||||||
June 2024, U.S. Long Treasury Bond |
124 | 14,880 | 120.00 | 7/20/2024 | – | |||||||||||||||
June 2024, U.S. Long Treasury Bond |
81 | 9,801 | 121.00 | 7/20/2024 | – | |||||||||||||||
US Trs Bnd FRI WK1 Jul24C 119 |
72 | 8,568 | 119.00 | 7/20/2024 | 19 |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
A list of open exchange traded options contracts for the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||
Description |
Number of Contracts |
Notional Amount |
Exercise Price |
Expiration Date |
Value |
|||||||||||||||
PURCHASED OPTIONS (continued) |
||||||||||||||||||||
271,830 | 72 | |||||||||||||||||||
Total Purchased Options |
$ | 306,956 | $ | 131 | ||||||||||||||||
WRITTEN OPTIONS — 0.0% |
||||||||||||||||||||
Put Options |
||||||||||||||||||||
December 2024, 3 Month SOFR OPT Dec24C 95 |
(51) | $ | (12,113 | ) | $ | 95.00 | 12/21/2024 | $ | (14 | ) | ||||||||||
August 2024, U.S. 10 Year Future Option |
(144) | (15,768 | ) | 109.50 | 07/20/2024 | (74 | ) | |||||||||||||
June 2024, US 5YR NOTE W4 OP Jun24P 106.5 |
(72) | (7,668 | ) | 106.50 | 07/20/2024 | – | ||||||||||||||
(35,549 | ) | (88 | ) | |||||||||||||||||
Call Options |
||||||||||||||||||||
December 2024, 3 Month SOFR OPT Dec24C 97.13 |
(102) | (24,767 | ) | 97.13 | 12/21/2024 | (5 | ) | |||||||||||||
June 2025, 3 Month SOFR OPT Jun25C 97 |
(691) | (167,567 | ) | 97.00 | 06/21/2025 | (177 | ) | |||||||||||||
September 2024, 3 Month SOFR OPT Sep24C 96.13 |
(691) | (166,056 | ) | 96.13 | 09/21/2024 | (17 | ) | |||||||||||||
September 2024, 3 Month SOFR OPT Sep24C 96.88 |
(118) | (28,578 | ) | 96.88 | 09/21/2024 | (2 | ) | |||||||||||||
June 2024, U.S. 10 Year Future Option |
(96) | (10,608 | ) | 110.50 | 07/20/2024 | – | ||||||||||||||
September 2024, U.S. 10 Year Future Option |
(120) | (13,620 | ) | 113.50 | 08/17/2024 | (21 | ) | |||||||||||||
June 2024, U.S. Long Treasury Bond |
(49) | (5,831 | ) | 119.00 | 07/20/2024 | – | ||||||||||||||
(417,027 | ) | (222 | ) | |||||||||||||||||
Total Written Options |
$ | (452,576 | ) | $ | (310 | ) | ||||||||||||||
A list of the open futures contracts held by the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
3 Month SOFR |
188 | Dec-2024 | $ | 44,984 | $ | 44,718 | $ | (266 | ) | |||||||||||
3 Month SOFR |
412 | Dec-2025 | 98,923 | 98,911 | (12 | ) | ||||||||||||||
U.S. 2-Year Treasury Note |
2,184 | Sep-2024 | 445,256 | 446,014 | 758 | |||||||||||||||
U.S. 5-Year Treasury Note |
1,314 | Sep-2024 | 139,406 | 140,044 | 638 | |||||||||||||||
U.S. 10-Year Treasury Note |
1,653 | Sep-2024 | 180,941 | 181,804 | 863 | |||||||||||||||
U.S. Long Treasury Bond |
183 | Sep-2024 | 21,680 | 21,652 | (28 | ) | ||||||||||||||
U.S. Ultra Long Treasury Bond |
408 | Sep-2024 | 50,637 | 51,140 | 503 | |||||||||||||||
Ultra 10-Year U.S. Treasury Note |
18 | Sep-2024 | 2,026 | 2,044 | 18 | |||||||||||||||
983,853 | 986,327 | 2,474 | ||||||||||||||||||
Short Contracts |
||||||||||||||||||||
U.S. 5-Year Treasury Note |
(150) | Sep-2024 | $ | (16,003 | ) | $ | (15,987 | ) | $ | 16 | ||||||||||
U.S. Long Treasury Bond |
(185) | Sep-2024 | (21,594 | ) | (21,888 | ) | (294 | ) | ||||||||||||
Ultra 10-Year U.S. Treasury Note |
(890) | Sep-2024 | (100,285 | ) | (101,043 | ) | (758 | ) | ||||||||||||
(137,882 | ) | (138,918 | ) | (1,036 | ) | |||||||||||||||
$ | 845,971 | $ | 847,409 | $ | 1,438 |
A list of the open forward foreign currency contracts held by the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||||||
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
BNP Paribas |
07/19/24 | USD | 2,109 | CAD | 2,900 | $ | 12 | |||||||||||||||||
BNP Paribas |
07/19/24 | CHF | 890 | USD | 994 | 1 |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Continued)
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
BNP Paribas |
07/19/24 | CHF | 1,920 | USD | 2,127 | $ | (15 | ) | ||||||||||||||||
BNP Paribas |
07/19/24 | CAD | 3,770 | USD | 2,767 | 10 | ||||||||||||||||||
BNP Paribas |
07/19/24 | USD | 4,625 | NOK | 50,490 | 121 | ||||||||||||||||||
BNP Paribas |
07/19/24 | USD | 13,591 | JPY | 2,031,976 | (921 | ) | |||||||||||||||||
BNP Paribas |
07/19/24 | NOK | 1,420 | USD | 133 | — | ||||||||||||||||||
BNP Paribas |
07/19/24 | NOK | 16,420 | USD | 1,537 | (6 | ) | |||||||||||||||||
Citigroup |
07/02/24 | USD | 3,313 | BRL | 17,710 | (124 | ) | |||||||||||||||||
Citigroup |
07/18/24 | USD | 928 | INR | 77,630 | 2 | ||||||||||||||||||
Citigroup |
07/19/24 | USD | 335 | GBP | 270 | 6 | ||||||||||||||||||
Citigroup |
07/19/24 | EUR | 1,600 | USD | 1,723 | 7 | ||||||||||||||||||
Citigroup |
07/19/24 | USD | 3,299 | EUR | 3,090 | 15 | ||||||||||||||||||
Citigroup |
07/19/24 | GBP | 5,834 | USD | 7,311 | (63 | ) | |||||||||||||||||
Citigroup |
07/19/24 | USD | 6,880 | AUD | 10,529 | 154 | ||||||||||||||||||
Citigroup |
07/19/24 | JPY | 54,620 | USD | 352 | 12 | ||||||||||||||||||
Citigroup |
07/19/24 | CNH | 60,232 | USD | 8,333 | 70 | ||||||||||||||||||
Citigroup |
08/02/24 | USD | 346 | BRL | 1,890 | (8 | ) | |||||||||||||||||
Goldman Sachs |
07/02/24 | USD | 1,232 | BRL | 6,450 | (71 | ) | |||||||||||||||||
Goldman Sachs |
07/02/24 | BRL | 22,270 | USD | 4,093 | 84 | ||||||||||||||||||
Goldman Sachs |
07/19/24 | GBP | 640 | USD | 813 | 4 | ||||||||||||||||||
Goldman Sachs |
07/19/24 | USD | 1,978 | CHF | 1,800 | 30 | ||||||||||||||||||
Goldman Sachs |
07/19/24 | CAD | 2,520 | USD | 1,852 | 10 | ||||||||||||||||||
Goldman Sachs |
07/19/24 | CHF | 4,220 | USD | 4,715 | 8 | ||||||||||||||||||
Goldman Sachs |
07/19/24 | CHF | 2,770 | USD | 3,063 | (27 | ) | |||||||||||||||||
Goldman Sachs |
07/19/24 | EUR | 7,773 | USD | 8,307 | (31 | ) | |||||||||||||||||
Goldman Sachs |
07/19/24 | NOK | 32,650 | USD | 3,028 | (41 | ) | |||||||||||||||||
Goldman Sachs |
07/19/24 | JPY | 67,970 | USD | 447 | 23 | ||||||||||||||||||
Goldman Sachs |
08/02/24 | USD | 3,105 | BRL | 17,003 | (55 | ) | |||||||||||||||||
Morgan Stanley |
07/19/24 | CAD | 5,010 | USD | 3,685 | 21 | ||||||||||||||||||
Morgan Stanley |
07/19/24 | USD | 3,558 | CAD | 4,900 | 25 | ||||||||||||||||||
Morgan Stanley |
07/19/24 | USD | 2,560 | CAD | 3,501 | (1 | ) | |||||||||||||||||
Morgan Stanley |
07/19/24 | USD | 11,794 | BRL | 60,387 | (945 | ) | |||||||||||||||||
Morgan Stanley |
07/19/24 | JPY | 593,300 | USD | 3,873 | 174 | ||||||||||||||||||
$ | (1,519 | ) |
A list of the open OTC swap agreements held by the Fund at June 30, 2024, is as follows:
Interest Rate Swap |
||||||||||||||||||||||||||||||||||||
Counterparty |
Fund Pays |
Fund Receives |
Payment Frequency |
Termination Date |
Currency |
Notional Amount |
Value |
Upfront Payments |
Net Unrealized |
|||||||||||||||||||||||||||
Citigroup Global Markets |
10.2375 | BRL-CDI | Annual | 01/02/2029 | BRL | 70,430 | $ | (631 | ) | $ | – | $ | (631 | ) |
A list of open centrally cleared swap agreements held by the Fund at June 30, 2024, is as follows:
Interest Rate Swaps |
||||||||||||||||||||||||||||||||
Fund Pays |
Fund Receives |
Payment Frequency |
Termination Date |
Currency |
Notional Amount |
Value |
Upfront Payments/ Receipts |
Net Unrealized |
||||||||||||||||||||||||
4.2% |
USD-SOFR-OIS COMPOUND | Annual | 04/30/2031 | USD | 31,475 | $ | (500 | ) | $ | (270 | ) | $ | (230 | ) | ||||||||||||||||||
FIXED 3.52% |
Secured Overnight Financing Rate - SOFR |
Annual | 12/20/2053 | USD | 7,131 | 237 | – | 237 |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Core Fixed Income Fund (Concluded)
Fund Pays |
Fund Receives |
Payment Frequency |
Termination Date |
Currency |
Notional Amount |
Value |
Upfront Payments/ Receipts |
Net Unrealized |
||||||||||||||||||||||||
3.87% |
SECURED OVERNIGHT FINANCING RATE - SOFR | Annual | 02/28/2031 | USD | 48,920 | $ | 306 | $ | (130 | ) | $ | 436 | ||||||||||||||||||||
3.15% |
SECURED OVERNIGHT FINANCING RATE - SOFR | Annual | 05/15/2048 | USD | 15,522 | 1,605 | 1,324 | 281 | ||||||||||||||||||||||||
0.026% FIXED |
Secured Overnight Financing Rate - SOFR |
Annual | 02/15/2048 | USD | 4,494 | 845 | 518 | 327 | ||||||||||||||||||||||||
3.05% FIXED |
Secured Overnight Financing Rate - SOFR |
Annual | 02/15/2048 | USD | 6,069 | 722 | 287 | 435 | ||||||||||||||||||||||||
$ | 3,215 | $ | 1,729 | $ | 1,486 |
Credit Default Swap - Buy Protection |
||||||||||||||||||||||||||||
Reference Entity/ Obligation |
Pay Rate |
Payment Frequency |
Termination Date |
Notional Amount |
Value |
Upfront Payments/ Receipts |
Net Unrealized |
|||||||||||||||||||||
CDS-CDX.NA.HY.4206 |
5.00% | Quarterly | 06/20/2029 | $ | 7,974 | $ | (503 | ) | $ | (533 | ) | $ | 30 | |||||||||||||||
Credit Default Swap - Sell Protection |
||||||||||||||||||||||||||||
Reference Entity/ Obligation |
Receive Rate |
Payment Frequency |
Termination Date |
Notional Amount |
Value |
Upfront Payments/ Receipts |
Net Unrealized |
|||||||||||||||||||||
CDS-NA.IG.4206 |
1.00% | Quarterly | 06/20/2029 | $ | 108,087 | $ | 2,232 | $ | 2,267 | $ | (35 | ) | ||||||||||||||||
The following is a summary of the transactions with affiliates for the period ended June 30, 2024 ($ Thousands):
Security Description |
Value |
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 |
$ | 53,339 | $ | 748,169 | $ | (801,296 | ) | $ | (141 | ) | $ | (71 | ) | $ | — | $ | 312 | $ | — | |||||||||||||
SEI Daily Income Trust, Government Fund, Institutional Class |
241,390 | 2,676,578 | (2,670,848 | ) | — | — | 247,120 | 3,747 | — | |||||||||||||||||||||||
Totals |
$ | 294,729 | $ | 3,424,747 | $ | (3,472,144 | ) | $ | (141 | ) | $ | (71 | ) | $ | 247,120 | $ | 4,059 | $ | — |
Amounts designated as “-” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
High Yield Bond Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
High Yield Bond Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
High Yield Bond Fund (Concluded)
A list of the open forward foreign currency contracts held by the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||||||
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized |
||||||||||||||||||||
Barclays PLC |
09/12/24 | AUD | 637 | USD | 421 | $ | (5 | ) | ||||||||||||||||
The following is a summary of the Fund’s transactions with affiliates for the period ended June 30, 2024 ($ Thousands): |
||||||||||||||||||||||||||||||||
Security Description |
Value |
Purchases |
Proceeds |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Liquidity Fund, LP |
$ | 1 | $ | 73 | $ | (74 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
SEI Daily Income Trust, Government Fund, |
13,031 | 461,282 | (447,356 | ) | — | — | 26,957 | 1,249 | — | |||||||||||||||||||||||
Totals |
$ | 13,032 | $ | 461,355 | $ | (447,430 | ) | $ | – | $ | — | $ | 26,957 | $ | 1,249 | $ | — |
A list of the restricted securities, excluding 144a, held by the Fund at June 30, 2024, is as follows: |
||||||||||||||||
Description |
Face Amount ($ Thousands)/ Number of Shares/ Number of Warrants |
Acquisition Date |
Cost ($ Thousands) |
Market Value |
||||||||||||
Corporate Obligations |
||||||||||||||||
Audacy Capital |
$ | 3,784 | 3/12/2021 | $ | 3,170 | $ | 132 | |||||||||
Audacy Capital |
1,717 | 4/24/2019 | 1,113 | 60 | ||||||||||||
Chesapeake Energy Corp |
2,515 | 2/12/2021 | – | 53 | ||||||||||||
Cornerstone Chemical |
343 | 3/15/2023 | 357 | 343 | ||||||||||||
Mountain Province Diamonds |
1,989 | 12/16/2022 | 1,958 | 1,943 | ||||||||||||
Tacora Resources |
127 | 5/24/2023 | 127 | 127 | ||||||||||||
Tacora Resources |
870 | 5/7/2021 | 912 | 428 | ||||||||||||
Loan Participations |
||||||||||||||||
GatesAir, Term Loan |
1,154 | 8/9/2022 | 1,131 | 1,154 | ||||||||||||
Premier Brands Group Holdings LLC, Initial Loan, 1st Lien |
936 | 3/21/2019 | 889 | 800 | ||||||||||||
Common Stock |
||||||||||||||||
AVAYA Inc |
127,790 | 5/5/2023 | 1,894 | 831 | ||||||||||||
Burgundy Diamond Mines Ltd |
2,083,693 | 7/21/2023 | 347 | 251 | ||||||||||||
Carestream Health Holdings Inc |
69,956 | 9/30/2022 | 1,343 | 1,175 | ||||||||||||
Guitar Center |
13,905 | 1/8/2021 | 1,762 | 1,688 | ||||||||||||
Gymboree Holding Corp |
40,312 | 10/2/2017 | 672 | – | ||||||||||||
Lannett |
93,813 | 7/6/2023 | 53 | 199 | ||||||||||||
Preferred Stock |
||||||||||||||||
Guitar Center |
365 | 1/8/2021 | 34 | 34 | ||||||||||||
Syniverse |
3,438,050 | 5/13/2022 | 3,384 | 3,335 | ||||||||||||
Convertible Bond |
||||||||||||||||
Authentic Brands |
$ | 273 | 9/21/2023 | 8 | 273 | |||||||||||
Warrants |
||||||||||||||||
Guitar Center |
3,680 | 1/8/2021 | 197 | 199 | ||||||||||||
Guitar Center |
3,681 | 1/8/2021 | 132 | 111 | ||||||||||||
Intelsat Jackson Holdings |
4 | 3/3/2022 | – | – | ||||||||||||
Tacora Resources |
3,398,032 | 5/24/2023 | – | – | ||||||||||||
$ | 19,483 | $ | 13,136 |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Conservative Income Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Conservative Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Conservative Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Conservative Income Fund (Concluded)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Tax-Free Conservative Income Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Tax-Free Conservative Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Tax-Free Conservative Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Tax-Free Conservative Income Fund (Concluded)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Real Return Fund
The following is a summary of the Fund’s transactions with affiliates for the period ended June 30, 2024 ($ Thousands): |
||||||||||||||||||||||||||||||||
Security Description |
Value |
Purchases |
Proceeds |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Daily Income Trust, Government Fund, |
$ | 1,547 | $ | 32,259 | $ | (33,723 | ) | $ | — | $ | — | $ | 83 | $ | 40 | $ | — | |||||||||||||||
|
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Dynamic Asset Allocation Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Dynamic Asset Allocation Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Dynamic Asset Allocation Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Dynamic Asset Allocation Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Dynamic Asset Allocation Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Dynamic Asset Allocation Fund (Continued)
A list of open exchange traded options contracts for the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||
Description |
Number of Contracts |
Notional Amount |
Exercise Price |
Expiration Date |
Value |
|||||||||||||||
PURCHASED OPTIONS — 0.7% |
||||||||||||||||||||
Put Options |
||||||||||||||||||||
SXP OTC EP Unlisted Option |
17,644 | $ | 81,162 | $ | 4,600.00 | 7/20/2024 | $ | 17 | ||||||||||||
Call Options |
– | – | ||||||||||||||||||
EUR PUT/USD CALL |
202,000,000 | 212,100 | 1.05 | 10/19/2024 | 1,220 | |||||||||||||||
USD CALL/JPY PUT |
150,000,000 | 23,400,000 | 156.00 | 7/20/2024 | 4,264 | |||||||||||||||
USD CALL/JPY PUT |
150,000,000 | 24,900,000 | 166.00 | 7/20/2024 | 86 | |||||||||||||||
48,512,100 | 5,570 | |||||||||||||||||||
Total Purchased Options |
$ | 48,593,262 | $ | 5,587 | ||||||||||||||||
WRITTEN OPTIONS — (0.2)% |
||||||||||||||||||||
Put Options |
||||||||||||||||||||
SXP OTC EP Unlisted Option |
(17,644) | $ | (72,340 | ) | 4,100.00 | 07/20/2024 | $ | (8 | ) | |||||||||||
Call Options |
||||||||||||||||||||
USD CALL/JPY PUT |
(300,000,000) | (48,300,000 | ) | 161.00 | 07/20/2024 | (1,695 | ) | |||||||||||||
Total Written Options |
$ | (48,372,340 | ) | $ | (1,703 | ) | ||||||||||||||
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Dynamic Asset Allocation Fund (Continued)
A list of open exchange traded swaptions held by the Fund at June 30, 2024 is as follows:
Description |
Counterparty |
Number of Contracts/ Notional Amount |
Exercise Price |
Expiration Date |
Value |
|||||||||||||||
PURCHASED SWAPTIONS — 0.7% |
||||||||||||||||||||
Call Swaptions |
||||||||||||||||||||
Swaption Payer |
BOAML | $ | 800,000,000 | $ | 0.12 | 05/17/2025 | $ | 1,187 | ||||||||||||
Put Swaptions |
||||||||||||||||||||
Swaption Payer |
BOAML | $ | 461,000,000 | 4.27 | 07/20/2024 | $ | 3,395 | |||||||||||||
Swaption Payer |
BOAML | 207,450,000 | 4.36 | 07/20/2024 | 1,338 | |||||||||||||||
668,450,000 | 4,733 | |||||||||||||||||||
Total Purchased Swaptions |
$ | 1,468,450,000 | $ | 5,920 | ||||||||||||||||
WRITTEN SWAPTIONS — (0.4)% |
||||||||||||||||||||
Put Swaptions |
||||||||||||||||||||
Swaption Payer |
BOAML | $ | (922,000,000 | ) | 4.82 | 07/20/2024 | $ | (2,107 | ) | |||||||||||
Swaption Payer |
BOAML | (414,900,000 | ) | 4.91 | 07/20/2024 | (646 | ) | |||||||||||||
(1,336,900,000 | ) | (2,753 | ) | |||||||||||||||||
Call Swaptions |
||||||||||||||||||||
Swaption Payer |
BOAML | $ | (800,000,000 | ) | 0.87 | 05/17/2025 | $ | (188 | ) | |||||||||||
Total Written Swaptions |
$ | (2,136,900,000 | ) | $ | (2,941 | ) |
A list of the open futures contracts held by the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Depreciation(Thousands) |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
S&P 500 Index E-MINI^ |
589 | Sep-2024 | $ | 163,359 | $ | 162,609 | $ | (750 | ) | |||||||||||
$ | 163,359 | $ | 162,609 | $ | (750 | ) |
A list of open centrally cleared swap agreements held by the Fund at June 30, 2024 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%^ |
CPI | Annually | 2/27/2033 | USD | 103,200 | $ | 3,742 | $ | – | $ | 3,742 | |||||||||||||||||||||
FIXED 0.280960% |
FLOATING (MUTKCALM Index) | Annually | 05/15/2026 | JPY | 102,200,000 | 1,723 | – | 1,723 | ||||||||||||||||||||||||
0.29283% |
JPY UNSECURED OVERNIGHT CALL RATE TONAR | Annually | 05/15/2026 | JPY | 81,000,000 | 1,306 | – | 1,306 | ||||||||||||||||||||||||
SOFR |
3.41% | Annually | 12/11/2028 | USD | 399,757 | (1,682 | ) | – | (1,682 | ) | ||||||||||||||||||||||
3.432% |
SOFR | Annually | 12/11/2056 | USD | 42,027 | 775 | – | 775 | ||||||||||||||||||||||||
3.707% |
SOFR | Annually | 03/05/2034 | USD | 160,000 | 297 | – | 297 | ||||||||||||||||||||||||
FIXED 3.726% |
FLOATING: USD-SOFR-OIS COMPOUND | Annually | 06/18/3034 | USD | 76,000 | 125 | – | 125 | ||||||||||||||||||||||||
FIXED 3.745% |
FLOATING: USD-SOFR-OIS COMPOUND | Annually | 06/11/2034 | USD | 80,000 | 72 | – | 72 | ||||||||||||||||||||||||
4.161% FIXED |
SOFR | Annually | 11/02/2056 | USD | 84,588 | (8,457 | ) | – | (8,457 | ) | ||||||||||||||||||||||
4.35% FIXED |
SOFR | Annually | 11/02/2031 | USD | 330,000 | 9,024 | – | 9,024 | ||||||||||||||||||||||||
$ | 6,925 | $ | – | $ | 6,925 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Dynamic Asset Allocation Fund (Concluded)
A list of open OTC swap agreements held by the Fund at June 30, 2024 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 |
||||||||||||||||||||||||||||||
Goldman Sachs^ |
+BCOMTR/0.075 | % | 3-MONTH T-BILL RATE + 7.5 BPS | BCOMTR | Annually | 09/13/2024 | USD | 34,133 | $ | (808 | ) | $ | – | $ | (808 | ) | ||||||||||||||||||||||||
$ | (808 | ) | $ | – | $ | (808 | ) |
The following is a summary of the Fund’s transactions with affiliates for the period ended June 30, 2024 ($ Thousands): |
||||||||||||||||||||||||||||||||
Security Description |
Value |
Purchases |
Proceeds |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Daily Income Trust, Government Fund, |
$ | 2,779 | $ | 147,088 | $ | (142,344 | ) | $ | — | $ | — | $ | 7,523 | $ | 227 | $ | — | |||||||||||||||
|
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Strategy Alternative Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Strategy Alternative Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Strategy Alternative Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Strategy Alternative Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Strategy Alternative Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Strategy Alternative Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Strategy Alternative Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Strategy Alternative Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Strategy Alternative Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Strategy Alternative Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Strategy Alternative Fund (Continued)
A list of open exchange traded options contracts for the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||
Description |
Number of Contracts |
Notional Amount |
Exercise Price |
Expiration Date |
Value |
|||||||||||||||
PURCHASED OPTIONS — 0.0% |
||||||||||||||||||||
Put Options |
||||||||||||||||||||
New Fortress Energy Inc |
38 | $ | 83 | $ | 21.00 | 7/20/2024 | $ | 3 | ||||||||||||
New Fortress Energy Inc |
33 | 73 | 19.00 | 8/17/2024 | 3 | |||||||||||||||
New Fortress Energy Inc |
24 | 53 | 18.00 | 8/17/2024 | 2 | |||||||||||||||
S&P 500 Index |
3 | 1,638 | 5,000.00 | 8/17/2024 | 3 | |||||||||||||||
S&P 500 Index |
3 | 1,638 | 5,050.00 | 7/20/2024 | 1 | |||||||||||||||
Tesla Inc |
25 | 495 | 110.00 | 10/19/2024 | 2 | |||||||||||||||
Tesla Inc |
8 | 158 | 135.00 | 8/17/2024 | – | |||||||||||||||
Total Purchased Options |
$ | 4,138 | $ | 14 | ||||||||||||||||
WRITTEN OPTIONS — 0.0% |
||||||||||||||||||||
Put Options |
||||||||||||||||||||
S&P 500 Index |
(3) | $ | (1,638 | ) | 4,750.00 | 07/20/2024 | $ | – | ||||||||||||
S&P 500 Index |
(3) | (1,638 | ) | 4,700.00 | 08/17/2024 | (1 | ) | |||||||||||||
Tesla Inc |
(8) | (158 | ) | 95.00 | 08/17/2024 | – | ||||||||||||||
Tesla Inc |
(25) | (495 | ) | 80.00 | 10/19/2024 | (1 | ) | |||||||||||||
Total Written Options |
$ | (3,929 | ) | $ | (2 | ) | ||||||||||||||
A list of the open forward foreign currency contracts held by the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||||||
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
Barclays PLC |
07/25/24 | EUR | 101 | USD | 109 | $ | 1 | |||||||||||||||||
Barclays PLC |
07/25/24 | GBP | 105 | USD | 131 | (1 | ) | |||||||||||||||||
Barclays PLC |
07/25/24 | USD | 109 | EUR | 101 | — | ||||||||||||||||||
Barclays PLC |
07/25/24 | USD | 134 | GBP | 105 | (1 | ) | |||||||||||||||||
Barclays PLC |
09/12/24 | AUD | 138 | USD | 91 | (1 | ) | |||||||||||||||||
BNYMellon |
09/18/24 | USD | 43 | CAD | 58 | — | ||||||||||||||||||
BNYMellon |
09/18/24 | CAD | 216 | USD | 158 | — | ||||||||||||||||||
BNYMellon |
09/18/24 | EUR | 764 | USD | 831 | 8 | ||||||||||||||||||
$ | 6 |
A list of open centrally cleared swap agreements held by the Fund at June 30, 2024, 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 |
|||||||||||||||||||||
CDX.HY.42 500 |
5.00% | Quarterly | 06/20/2029 | $ | 930 | $ | (59 | ) | $ | (61 | ) | $ | 2 | |||||||||||||||
CDX.IG.42 100 |
1.00% | Quarterly | 06/20/2029 | 13,863 | (286 | ) | (286 | ) | – | |||||||||||||||||||
CDX.IG.42 100 |
1.00% | Quarterly | 06/20/2029 | 1,392 | (29 | ) | (30 | ) | 1 | |||||||||||||||||||
CDX.IG.42 100 |
1.00% | Quarterly | 06/20/2029 | 1,130 | (23 | ) | (25 | ) | 2 | |||||||||||||||||||
TOL 100 |
1.00% | Quarterly | 06/20/2029 | 651 | (2 | ) | (1 | ) | (1 | ) | ||||||||||||||||||
TOL 100 |
1.00% | Quarterly | 06/20/2029 | 326 | (1 | ) | – | (1 | ) | |||||||||||||||||||
TOL 100 |
1.00% | Quarterly | 06/20/2029 | 656 | (3 | ) | (1 | ) | (2 | ) | ||||||||||||||||||
$ | (403 | ) | $ | (404 | ) | $ | 1 |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Strategy Alternative Fund (Concluded)
The following is a summary of the Fund’s transactions with affiliates for the period ended June 30, 2024 ($ Thousands): |
||||||||||||||||||||||||||||||||
Security Description |
Value |
Purchases |
Proceeds |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value |
Income |
Capital Gains |
||||||||||||||||||||||||
SEI Daily Income Trust, Government Fund, |
$ | 92,197 | $ | 344,118 | $ | (407,214 | ) | $ | — | $ | — | $ | 29,101 | $ | 2,167 | $ | — | |||||||||||||||
|
Amounts designated as “—” are $0 or have been rounded to $0.
A list of the restricted securities, excluding 144a, held by the Fund at June 30, 2024, is as follows: |
||||||||||||||||
Description |
Face Amount ($ Thousands)/ Shares/ Number of Warrants |
Acquisition Date |
Cost ($ Thousands) |
Market Value |
||||||||||||
Corporate Obligations |
||||||||||||||||
Audacy Capital |
$ | 335 | 3/12/2021 | $ | 236 | $ | 12 | |||||||||
Audacy Capital |
220 | 4/24/2019 | 140 | 7 | ||||||||||||
Chesapeake Energy Corp |
170 | 2/12/2021 | – | 4 | ||||||||||||
Cornerstone Chemical |
56 | 3/15/2023 | 58 | 56 | ||||||||||||
Mountain Province Diamonds |
223 | 12/16/2022 | 219 | 218 | ||||||||||||
Tacora Resources |
23 | 5/24/2023 | 23 | 24 | ||||||||||||
Tacora Resources |
175 | 5/7/2021 | 188 | 86 | ||||||||||||
Common Stock |
||||||||||||||||
AVAYA Inc |
14,995 | 5/5/2023 | 224 | 98 | ||||||||||||
Carestream Health Holdings Inc |
5,876 | 9/30/2022 | 113 | 99 | ||||||||||||
Guitar Center |
2,167 | 1/8/2021 | 275 | 263 | ||||||||||||
Lannett |
15,243 | 7/6/2023 | 9 | 32 | ||||||||||||
Loan Participations |
||||||||||||||||
Premier Brands Group Holdings LLC, Initial Loan, 1st Lien |
221 | 3/21/2019 | 199 | 189 | ||||||||||||
Foreign Common Stock |
||||||||||||||||
Burgundy Diamond Mines Ltd |
450,932 | 7/21/2023 | 75 | 54 | ||||||||||||
Greenfire Resources Restricted |
13,407 | 9/21/2023 | 135 | 91 | ||||||||||||
Convertible Bond |
||||||||||||||||
Authentic Brands |
32 | 9/21/2023 | 1 | 32 | ||||||||||||
Preferred Stock |
||||||||||||||||
Guitar Center |
39 | 1/8/2021 | 4 | 4 | ||||||||||||
Syniverse |
560,381 | 5/13/2022 | 551 | 543 | ||||||||||||
Warrant |
||||||||||||||||
Guitar Center |
1,148 | 1/8/2021 | 52 | 48 | ||||||||||||
Tacora Resources |
614,882 | 5/24/2023 | – | – | ||||||||||||
$ | 2,502 | $ | 1,860 |
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Liquid Alternative Fund
A list of the open futures contracts held by the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
3-Month SOFR |
267 | Dec-2025 | $ | 64,170 | $ | 64,100 | $ | (70 | ) | |||||||||||
AUD USD Currency |
182 | Sep-2024 | 12,134 | 12,163 | 29 | |||||||||||||||
CAD Currency |
126 | Sep-2024 | 9,212 | 9,223 | 11 | |||||||||||||||
Euro FX |
171 | Sep-2024 | 23,044 | 22,983 | (61 | ) | ||||||||||||||
MSCI EAFE Index |
327 | Sep-2024 | 38,195 | 38,312 | 117 | |||||||||||||||
MSCI Emerging Markets |
342 | Sep-2024 | 18,470 | 18,608 | 138 | |||||||||||||||
NASDAQ 100 Index E-MINI |
35 | Sep-2024 | 13,936 | 13,948 | 12 | |||||||||||||||
Russell 2000 Index E-MINI |
59 | Sep-2024 | 5,976 | 6,091 | 115 | |||||||||||||||
S&P Mid Cap 400 Index E-MINI |
36 | Sep-2024 | 10,531 | 10,649 | 118 | |||||||||||||||
U.S. Dollar Index |
446 | Sep-2024 | 46,481 | 47,073 | 592 | |||||||||||||||
242,149 | 243,150 | 1,001 | ||||||||||||||||||
Short Contracts |
||||||||||||||||||||
Japanese Yen |
(640) | Sep-2024 | $ | (51,687 | ) | $ | (50,340 | ) | $ | 1,347 | ||||||||||
S&P 500 Index E-MINI |
(46) | Sep-2024 | (12,760 | ) | (12,699 | ) | 61 | |||||||||||||
U.S. 10-Year Treasury Note |
(344) | Sep-2024 | (37,397 | ) | (37,834 | ) | (437 | ) | ||||||||||||
U.S. Long Treasury Bond |
(389) | Sep-2024 | (45,137 | ) | (46,024 | ) | (887 | ) | ||||||||||||
(146,981 | ) | (146,897 | ) | 84 | ||||||||||||||||
$ | 95,168 | $ | 96,253 | $ | 1,085 |
Percentages are based on Net Assets of $208,447 ($ Thousands). |
See “Glossary” for abbreviations.
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Accumulation Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Accumulation Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Accumulation Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Accumulation Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Accumulation Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Accumulation Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Accumulation Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Accumulation Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Accumulation Fund (Continued)
A list of the open futures contracts held by the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
Australian 10-Year Bond |
1,476 | Sep-2024 | $ | 111,711 | $ | 111,951 | $ | (176 | ) | |||||||||||
Australian 3-Year Bond |
182 | Sep-2024 | 12,797 | 12,818 | (46 | ) | ||||||||||||||
Brent Crude^ |
18 | Jul-2024 | 1,493 | 1,530 | 37 | |||||||||||||||
Brent Crude^ |
244 | Aug-2024 | 19,768 | 20,542 | 774 | |||||||||||||||
Canadian 10-Year Bond |
372 | Sep-2024 | 32,449 | 32,642 | 233 | |||||||||||||||
Canadian 10-Year Bond |
150 | Sep-2024 | 13,237 | 13,163 | (81 | ) | ||||||||||||||
Coffee C^ |
49 | Sep-2024 | 3,943 | 4,167 | 224 | |||||||||||||||
Coffee C^ |
59 | Sep-2024 | 5,024 | 5,018 | (6 | ) | ||||||||||||||
Copper^ |
68 | Sep-2024 | 8,128 | 7,465 | (663 | ) | ||||||||||||||
Corn^ |
407 | Sep-2024 | 9,456 | 8,292 | (1,164 | ) | ||||||||||||||
Cotton No. 2^ |
119 | Dec-2024 | 4,373 | 4,326 | (47 | ) | ||||||||||||||
DAX Index |
19 | Sep-2024 | 9,342 | 9,369 | 46 | |||||||||||||||
Euro STOXX 50 |
334 | Sep-2024 | 17,704 | 17,633 | (47 | ) | ||||||||||||||
Euro-Bobl |
404 | Sep-2024 | 50,551 | 50,417 | 393 | |||||||||||||||
Euro-BTP |
208 | Sep-2024 | 26,168 | 25,701 | (189 | ) | ||||||||||||||
Euro-Bund 10-Year Bond |
374 | Sep-2024 | 52,900 | 52,759 | 335 | |||||||||||||||
Euro-Buxl |
96 | Sep-2024 | 13,354 | 13,399 | 185 | |||||||||||||||
Euro-OAT |
135 | Sep-2024 | 18,088 | 17,814 | (113 | ) | ||||||||||||||
Euro-Schatz |
53 | Sep-2024 | 6,004 | 6,004 | (2 | ) | ||||||||||||||
Feeder Cattle^ |
7 | Sep-2024 | 913 | 909 | (4 | ) | ||||||||||||||
Feeder Cattle^ |
52 | Aug-2024 | 6,548 | 6,742 | 194 | |||||||||||||||
FTSE 100 Index |
319 | Sep-2024 | 33,180 | 33,114 | 46 | |||||||||||||||
FTSE MIB Index |
79 | Sep-2024 | 14,167 | 14,150 | 8 | |||||||||||||||
FTSE Taiwan Index |
72 | Jul-2024 | 5,527 | 5,554 | 27 | |||||||||||||||
FTSE/JSE Top 40 Index |
19 | Sep-2024 | 763 | 767 | 5 | |||||||||||||||
Gasoline^ |
85 | Aug-2024 | 8,655 | 8,821 | 166 | |||||||||||||||
Gold^ |
12 | Dec-2024 | 2,849 | 2,863 | 14 | |||||||||||||||
Gold^ |
222 | Aug-2024 | 53,261 | 51,939 | (1,322 | ) | ||||||||||||||
Hang Seng Index |
145 | Jul-2024 | 16,518 | 16,372 | (148 | ) | ||||||||||||||
IBEX |
172 | Jul-2024 | 20,327 | 20,049 | (236 | ) | ||||||||||||||
IFSC Nifty50 Index |
297 | Jul-2024 | 14,133 | 14,339 | 206 | |||||||||||||||
Japanese 10-Year Bond |
23 | Sep-2024 | 20,794 | 20,427 | (74 | ) | ||||||||||||||
Japanese 10-Year Bond |
101 | Sep-2024 | 91,972 | 89,698 | 2 | |||||||||||||||
Japanese 10-Year Government Bond E-MINI |
9 | Sep-2024 | 820 | 799 | (1 | ) | ||||||||||||||
KC HRW Wheat^ |
8 | Sep-2024 | 250 | 234 | (16 | ) | ||||||||||||||
KOSPI 200 Index |
76 | Sep-2024 | 5,107 | 5,334 | 223 | |||||||||||||||
Lean Hogs^ |
77 | Aug-2024 | 2,815 | 2,758 | (57 | ) | ||||||||||||||
Live Cattle^ |
124 | Oct-2024 | 9,142 | 9,170 | 28 | |||||||||||||||
Live Cattle^ |
73 | Aug-2024 | 5,114 | 5,415 | 301 | |||||||||||||||
LME Copper^ |
49 | Sep-2024 | 11,867 | 11,750 | (117 | ) | ||||||||||||||
LME Lead^ |
45 | Sep-2024 | 2,464 | 2,508 | 44 | |||||||||||||||
LME Nickel^ |
51 | Sep-2024 | 5,990 | 5,286 | (704 | ) | ||||||||||||||
LME Primary Aluminum^ |
299 | Sep-2024 | 19,316 | 18,864 | (452 | ) | ||||||||||||||
LME Zinc^ |
110 | Sep-2024 | 8,208 | 8,073 | (135 | ) | ||||||||||||||
LME Zinc^ |
60 | Sep-2024 | 4,268 | 4,403 | 135 | |||||||||||||||
Long Gilt 10-Year Bond |
795 | Sep-2024 | 98,031 | 98,054 | 709 | |||||||||||||||
Low Sulphur Gasoil^ |
79 | Sep-2024 | 6,100 | 6,194 | 94 | |||||||||||||||
Low Sulphur Gasoil^ |
106 | Aug-2024 | 8,002 | 8,310 | 308 | |||||||||||||||
Natural Gas^ |
485 | Aug-2024 | 13,086 | 12,600 | (486 | ) | ||||||||||||||
Natural Gas^ |
41 | Jul-2024 | 1,190 | 1,066 | (124 | ) | ||||||||||||||
NY Harbor ULSD^ |
92 | Aug-2024 | 9,717 | 9,849 | 132 | |||||||||||||||
NYMEX Cocoa^ |
101 | Dec-2024 | 6,616 | 6,657 | 41 | |||||||||||||||
NYMEX Cocoa^ |
24 | Sep-2024 | 2,164 | 1,856 | (308 | ) | ||||||||||||||
OMX Stockholm 30 |
644 | Jul-2024 | 15,730 | 15,676 | 49 | |||||||||||||||
Platinum^ |
3 | Apr-2025 | 47 | 48 | 1 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Accumulation Fund (Continued)
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation |
|||||||||||||||
Russell 2000 Index E-MINI |
214 | Sep-2024 | $ | 22,069 | $ | 22,096 | $ | 27 | ||||||||||||
Russell 2000 Index E-MINI |
159 | Sep-2024 | 16,533 | 16,417 | (116 | ) | ||||||||||||||
S&P 500 Index E-MINI |
1,190 | Sep-2024 | 327,100 | 328,529 | 1,429 | |||||||||||||||
S&P Mid Cap 400 Index E-MINI |
59 | Sep-2024 | 17,530 | 17,453 | (77 | ) | ||||||||||||||
S&P TSX 60 Index |
77 | Sep-2024 | 14,520 | 14,749 | 144 | |||||||||||||||
Silver^ |
124 | Sep-2024 | 18,463 | 18,327 | (136 | ) | ||||||||||||||
Soybean^ |
168 | Nov-2024 | 9,911 | 9,273 | (638 | ) | ||||||||||||||
Soybean Meal^ |
313 | Dec-2024 | 11,047 | 10,501 | (546 | ) | ||||||||||||||
Soybean Oil^ |
252 | Dec-2024 | 6,654 | 6,622 | (32 | ) | ||||||||||||||
SPI 200 Index |
109 | Sep-2024 | 13,852 | 14,145 | 112 | |||||||||||||||
Sugar No. 11^ |
466 | Sep-2024 | 9,769 | 10,594 | 825 | |||||||||||||||
TOPIX Index |
228 | Sep-2024 | 40,405 | 39,835 | 407 | |||||||||||||||
U.S. 2-Year Treasury Note |
756 | Sep-2024 | 154,144 | 154,390 | 246 | |||||||||||||||
U.S. 5-Year Treasury Note |
1,413 | Sep-2024 | 149,995 | 150,595 | 600 | |||||||||||||||
U.S. 10-Year Treasury Note |
1,263 | Sep-2024 | 138,035 | 138,910 | 875 | |||||||||||||||
U.S. Long Treasury Bond |
599 | Sep-2024 | 70,402 | 70,869 | 467 | |||||||||||||||
U.S. Ultra Long Treasury Bond |
176 | Sep-2024 | 21,961 | 22,060 | 99 | |||||||||||||||
Wheat^ |
233 | Sep-2024 | 7,480 | 6,681 | (799 | ) | ||||||||||||||
WTI Crude Oil^ |
215 | Aug-2024 | 17,082 | 17,338 | 256 | |||||||||||||||
WTI Crude Oil^ |
40 | Jul-2024 | 3,123 | 3,261 | 138 | |||||||||||||||
2,012,216 | 2,008,303 | 1,523 | ||||||||||||||||||
Short Contracts |
||||||||||||||||||||
AUD Currency |
(224) | Sep-2024 | $ | (14,848 | ) | $ | (14,970 | ) | $ | (122 | ) | |||||||||
British Pound |
(248) | Sep-2024 | (19,768 | ) | (19,606 | ) | 162 | |||||||||||||
CAC40 10 Euro Index |
(78) | Jul-2024 | (6,359 | ) | (6,264 | ) | 87 | |||||||||||||
CAD Currency |
(294) | Sep-2024 | (21,426 | ) | (21,521 | ) | (95 | ) | ||||||||||||
Copper^ |
(4) | Sep-2024 | (439 | ) | (439 | ) | – | |||||||||||||
DAX Index |
(9) | Sep-2024 | (4,427 | ) | (4,438 | ) | (20 | ) | ||||||||||||
Euro FX |
(147) | Sep-2024 | (19,830 | ) | (19,757 | ) | 73 | |||||||||||||
FTSE KLCI |
(6) | Jul-2024 | (101 | ) | (102 | ) | (1 | ) | ||||||||||||
Gasoline^ |
(10) | Jul-2024 | (1,038 | ) | (1,051 | ) | (13 | ) | ||||||||||||
Hang Seng China Enterprises Index |
(5) | Jul-2024 | (204 | ) | (200 | ) | 4 | |||||||||||||
Japanese Yen |
(216) | Sep-2024 | (17,448 | ) | (16,989 | ) | 459 | |||||||||||||
LME Nickel^ |
(1) | Sep-2024 | (104 | ) | (104 | ) | – | |||||||||||||
Mexican Bolsa Index |
(7) | Sep-2024 | (205 | ) | (205 | ) | 2 | |||||||||||||
MSCI Singapore Index |
(73) | Jul-2024 | (1,691 | ) | (1,705 | ) | (13 | ) | ||||||||||||
NY Harbor ULSD^ |
(6) | Jul-2024 | (643 | ) | (638 | ) | 5 | |||||||||||||
S&P TSX 60 Index |
(35) | Sep-2024 | (6,659 | ) | (6,704 | ) | (24 | ) | ||||||||||||
SET 50 |
(99) | Sep-2024 | (437 | ) | (434 | ) | 3 | |||||||||||||
SPI 200 Index |
(63) | Sep-2024 | (8,048 | ) | (8,175 | ) | (49 | ) | ||||||||||||
Swiss Franc |
(133) | Sep-2024 | (18,736 | ) | (18,675 | ) | 61 | |||||||||||||
(142,411 | ) | (141,977 | ) | 519 | ||||||||||||||||
$ | 1,869,805 | $ | 1,866,326 | $ | 2,042 |
A list of the open forward foreign currency contracts held by the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||||||
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
Barclays PLC |
08/29/24 | GBP | 25,400 | USD | 32,129 | $ | 11 | |||||||||||||||||
BNYMellon |
07/30/24 | AUD | 2,750 | USD | 1,830 | (7 | ) | |||||||||||||||||
BNYMellon |
07/30/24 | CAD | 5,580 | USD | 4,084 | 3 | ||||||||||||||||||
Brown Brothers Harriman |
07/30/24 | EUR | 62 | USD | 66 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/30/24 | JPY | 8,107 | USD | 51 | — | ||||||||||||||||||
Citigroup |
09/18/24 | USD | 1 | SGD | 2 | — | ||||||||||||||||||
Citigroup |
09/18/24 | USD | 174 | ILS | 649 | (1 | ) | |||||||||||||||||
Citigroup |
09/18/24 | USD | 183 | IDR | 2,977,778 | (1 | ) |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Accumulation Fund (Continued)
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
Citigroup |
09/18/24 | USD | 137 | COP | 578,223 | $ | — | |||||||||||||||||
Citigroup |
09/18/24 | USD | 247 | COP | 983,861 | (13 | ) | |||||||||||||||||
Citigroup |
09/18/24 | USD | 406 | PLN | 1,604 | (7 | ) | |||||||||||||||||
Citigroup |
09/18/24 | USD | 141 | THB | 5,143 | — | ||||||||||||||||||
Citigroup |
09/18/24 | USD | 355 | THB | 12,857 | (2 | ) | |||||||||||||||||
Citigroup |
09/18/24 | THB | 500 | USD | 14 | — | ||||||||||||||||||
Citigroup |
09/18/24 | USD | 262 | TWD | 8,500 | — | ||||||||||||||||||
Citigroup |
09/18/24 | USD | 1,663 | TWD | 53,500 | (9 | ) | |||||||||||||||||
Citigroup |
09/18/24 | PLN | 1,366 | USD | 346 | 6 | ||||||||||||||||||
Citigroup |
09/18/24 | PLN | 953 | USD | 235 | (2 | ) | |||||||||||||||||
Citigroup |
09/18/24 | ILS | 2,954 | USD | 802 | 15 | ||||||||||||||||||
Citigroup |
09/18/24 | SGD | 3,512 | USD | 2,617 | 15 | ||||||||||||||||||
Citigroup |
09/18/24 | USD | 3,852 | CZK | 87,532 | (97 | ) | |||||||||||||||||
Citigroup |
09/18/24 | BRL | 5,658 | USD | 1,053 | 42 | ||||||||||||||||||
Citigroup |
09/18/24 | USD | 5,864 | HUF | 2,115,496 | (134 | ) | |||||||||||||||||
Citigroup |
09/18/24 | USD | 6,200 | EUR | 5,724 | (43 | ) | |||||||||||||||||
Citigroup |
09/18/24 | TWD | 6,000 | USD | 186 | 1 | ||||||||||||||||||
Citigroup |
09/18/24 | TWD | 500 | USD | 15 | — | ||||||||||||||||||
Citigroup |
09/18/24 | USD | 7,301 | GBP | 5,724 | (62 | ) | |||||||||||||||||
Citigroup |
09/18/24 | USD | 280 | BRL | 1,570 | — | ||||||||||||||||||
Citigroup |
09/18/24 | USD | 7,926 | BRL | 42,047 | (421 | ) | |||||||||||||||||
Citigroup |
09/18/24 | USD | 8,571 | ZAR | 162,879 | 296 | ||||||||||||||||||
Citigroup |
09/18/24 | USD | 2,375 | ZAR | 43,500 | (7 | ) | |||||||||||||||||
Citigroup |
09/18/24 | GBP | 17,358 | USD | 22,173 | 221 | ||||||||||||||||||
Citigroup |
09/18/24 | HUF | 20,000 | USD | 54 | — | ||||||||||||||||||
Citigroup |
09/18/24 | USD | 17,416 | INR | 1,457,250 | 25 | ||||||||||||||||||
Citigroup |
09/18/24 | USD | 2,794 | INR | 232,875 | (7 | ) | |||||||||||||||||
Citigroup |
09/18/24 | USD | 211 | MXN | 4,000 | 5 | ||||||||||||||||||
Citigroup |
09/18/24 | USD | 21,970 | MXN | 380,203 | (1,436 | ) | |||||||||||||||||
Citigroup |
09/18/24 | ZAR | 41,875 | USD | 2,208 | (72 | ) | |||||||||||||||||
Citigroup |
09/18/24 | CZK | 35,000 | USD | 1,541 | 40 | ||||||||||||||||||
Citigroup |
09/18/24 | CZK | 17,000 | USD | 726 | (3 | ) | |||||||||||||||||
Citigroup |
09/18/24 | PHP | 7,500 | USD | 129 | — | ||||||||||||||||||
Citigroup |
09/18/24 | PHP | 52,500 | USD | 894 | (4 | ) | |||||||||||||||||
Citigroup |
09/18/24 | EUR | 63,070 | USD | 68,801 | 951 | ||||||||||||||||||
Citigroup |
09/18/24 | EUR | 2,523 | USD | 2,710 | (4 | ) | |||||||||||||||||
Citigroup |
09/18/24 | MXN | 50,500 | USD | 2,794 | 67 | ||||||||||||||||||
Citigroup |
09/18/24 | MXN | 24,500 | USD | 1,309 | (15 | ) | |||||||||||||||||
Citigroup |
09/18/24 | INR | 105,000 | USD | 1,254 | (3 | ) | |||||||||||||||||
Citigroup |
09/19/24 | CNH | 2,082 | USD | 288 | 1 | ||||||||||||||||||
Citigroup |
09/19/24 | CNH | 15 | USD | 2 | — | ||||||||||||||||||
Citigroup |
09/19/24 | USD | 689 | KRW | 950,000 | 3 | ||||||||||||||||||
Citigroup |
09/19/24 | USD | 3,758 | KRW | 5,128,881 | (19 | ) | |||||||||||||||||
Citigroup |
09/19/24 | USD | 7,466 | CNH | 53,795 | (50 | ) | |||||||||||||||||
Citigroup |
09/19/24 | KRW | 850,000 | USD | 626 | 6 | ||||||||||||||||||
Citigroup |
09/23/24 | USD | 1,492 | CLP | 1,359,371 | (52 | ) | |||||||||||||||||
Citigroup |
09/23/24 | CLP | 556,250 | USD | 603 | 13 | ||||||||||||||||||
Citigroup |
09/23/24 | CLP | 150,000 | USD | 158 | (1 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | USD | 1 | SGD | 2 | — | ||||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | USD | 174 | ILS | 649 | (1 | ) |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Accumulation Fund (Continued)
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | USD | 183 | IDR | 2,977,778 | $ | (1 | ) | ||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | USD | 137 | COP | 578,223 | 1 | ||||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | USD | 247 | COP | 983,861 | (12 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | USD | 406 | PLN | 1,604 | (7 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | USD | 141 | THB | 5,143 | 1 | ||||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | USD | 355 | THB | 12,857 | (2 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | THB | 500 | USD | 14 | — | ||||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | USD | 1,368 | EUR | 1,265 | (7 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | USD | 262 | TWD | 8,500 | 1 | ||||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | USD | 1,663 | TWD | 53,500 | (9 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | PLN | 1,366 | USD | 346 | 7 | ||||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | PLN | 953 | USD | 235 | (1 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | ILS | 2,954 | USD | 802 | 15 | ||||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | SGD | 3,512 | USD | 2,617 | 15 | ||||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | USD | 3,852 | CZK | 87,532 | (97 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | BRL | 5,658 | USD | 1,053 | 43 | ||||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | USD | 5,864 | HUF | 2,115,496 | (134 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | TWD | 6,000 | USD | 186 | 1 | ||||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | TWD | 500 | USD | 15 | — | ||||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | USD | 279 | BRL | 1,570 | 1 | ||||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | USD | 7,925 | BRL | 42,047 | (421 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | USD | 8,571 | ZAR | 162,879 | 297 | ||||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | USD | 2,375 | ZAR | 43,500 | (6 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | GBP | 15,198 | USD | 19,411 | 191 | ||||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | HUF | 20,000 | USD | 54 | — | ||||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | USD | 17,416 | INR | 1,457,250 | 25 | ||||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | USD | 2,794 | INR | 232,875 | (7 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | USD | 211 | MXN | 4,000 | 5 | ||||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | USD | 21,970 | MXN | 380,203 | (1,435 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | ZAR | 41,875 | USD | 2,208 | (71 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | CZK | 35,000 | USD | 1,541 | 40 | ||||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | CZK | 17,000 | USD | 726 | (3 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | PHP | 7,500 | USD | 129 | 1 | ||||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | PHP | 52,500 | USD | 894 | (4 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | EUR | 61,279 | USD | 66,844 | 922 | ||||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | EUR | 620 | USD | 666 | — | ||||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | MXN | 50,500 | USD | 2,794 | 67 | ||||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | MXN | 24,500 | USD | 1,309 | (15 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/18/24 | INR | 105,000 | USD | 1,254 | (3 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/19/24 | CNH | 2,082 | USD | 288 | 2 | ||||||||||||||||||
JPMorgan Chase Bank |
09/19/24 | CNH | 15 | USD | 2 | — | ||||||||||||||||||
JPMorgan Chase Bank |
09/19/24 | USD | 689 | KRW | 950,000 | 4 | ||||||||||||||||||
JPMorgan Chase Bank |
09/19/24 | USD | 3,758 | KRW | 5,128,881 | (19 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/19/24 | USD | 7,466 | CNH | 53,795 | (49 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/19/24 | KRW | 850,000 | USD | 626 | 6 | ||||||||||||||||||
JPMorgan Chase Bank |
09/23/24 | USD | 1,492 | CLP | 1,359,371 | (52 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/23/24 | CLP | 556,250 | USD | 603 | 14 | ||||||||||||||||||
JPMorgan Chase Bank |
09/23/24 | CLP | 150,000 | USD | 158 | — | ||||||||||||||||||
State Street |
07/30/24 | CHF | 3,280 | USD | 3,685 | 20 | ||||||||||||||||||
State Street |
07/30/24 | GBP | 4,020 | USD | 5,100 | 18 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Accumulation Fund (Continued)
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
State Street |
07/30/24 | HKD | 13,710 | USD | 1,758 | $ | — | |||||||||||||||||
State Street |
07/30/24 | EUR | 13,820 | USD | 14,829 | (1 | ) | |||||||||||||||||
State Street |
07/30/24 | JPY | 2,089,420 | USD | 13,169 | 117 | ||||||||||||||||||
State Street |
08/29/24 | EUR | 40,000 | USD | 42,915 | (75 | ) | |||||||||||||||||
$ | (1,369 | ) |
A list of open OTC swap agreements held by the Fund at June 30, 2024, 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 INDEX | NEGATIVE PRICE RETURN | POSITVE PRICE RETURN | At Maturity |
7/20/2024 | TWD | $ | 9,533 | $ | 9,775 | $ | – | $ | 242 | ||||||||||||||||||||||||||
JPMorgan Chase |
AEX INDEX | NEGATIVE PRICE RETURN | POSITVE PRICE RETURN | At Maturity |
7/22/2024 | EUR | 799 | 794 | – | (5 | ) | |||||||||||||||||||||||||||||
Bank of America |
HSCEI FUTURES INDEX | POSITIVE PRICE RETURN | ASSET RETURN |
At Maturity |
7/30/2024 | HKD | 9,373 | 9,228 | – | (144 | ) | |||||||||||||||||||||||||||||
JPMorgan Chase |
HSCEI FUTURES INDEX | POSITIVE PRICE RETURN | ASSET RETURN |
At Maturity |
7/30/2024 | HKD | 11,064 | 10,873 | – | (190 | ) | |||||||||||||||||||||||||||||
Bank of America |
BOVESPA INDEX | POSITIVE PRICE RETURN | POSITVE PRICE RETURN | At Maturity |
8/17/2024 | BRL | 4,783 | 4,805 | – | 22 | ||||||||||||||||||||||||||||||
Bank of America |
KOSPI 200 INDEX | NEGATIVE PRICE RETURN | POSITVE PRICE RETURN | At Maturity |
9/15/2024 | KRW | 2,623 | 2,737 | – | 113 | ||||||||||||||||||||||||||||||
JPMorgan Chase |
KOSPI 200 INDEX | NEGATIVE PRICE RETURN | POSITVE PRICE RETURN | At Maturity |
9/15/2024 | KRW | 5,197 | 5,403 | – | 206 | ||||||||||||||||||||||||||||||
Citigroup |
MSCI INTERNATIONAL SOUTH AFRICA | ASSET RETURN |
JIBA1M INDEX | Monthly | 09/18/2024 | ZAR | 27,684 | (67 | ) | – | (67 | ) | ||||||||||||||||||||||||||||
Citigroup |
MSCI THAILAND NET | ASSET RETURN |
NDEUTHF INDEX | Monthly | 09/18/2024 | USD | 944 | 11 | – | 11 | ||||||||||||||||||||||||||||||
Citigroup |
MSCI INTERNATIONAL SINGAPORE | ASSET RETURN |
SIBCSORA INDEX | Monthly | 09/18/2024 | SGD | 2,189 | (13 | ) | – | (13 | ) | ||||||||||||||||||||||||||||
Citigroup |
MSCI TAIWAN NET | NDEUSTW INDEX | ASSET RETURN |
Monthly | 09/18/2024 | USD | (379 | ) | 19 | – | 19 | |||||||||||||||||||||||||||||
Citigroup |
MSCI INTERNATIONAL MEXICO | ASSET RETURN |
MXIBTIIE INDEX | Monthly | 09/18/2024 | MXN | 9,301 | 3 | – | 3 | ||||||||||||||||||||||||||||||
Bank of America |
TEL AVIV 35 | TELBOR01 INDEX | ASSET RETURN |
Monthly | 09/18/2024 | ILS | (1,432 | ) | (3 | ) | – | (3 | ) | |||||||||||||||||||||||||||
Citigroup |
MSCI INTERNATIONAL SPAIN | ESTRON INDEX | ASSET RETURN |
Monthly | 09/18/2024 | EUR | (2,570 | ) | (72 | ) | – | (72 | ) | |||||||||||||||||||||||||||
Citigroup |
MSCI INTERNATIONAL NETHERLANDS | ASSET RETURN |
ESTRON INDEX | Monthly | 09/18/2024 | EUR | 547 | 12 | – | 12 | ||||||||||||||||||||||||||||||
Citigroup |
MSCI INTERNATIONAL GERMANY | ASSET RETURN |
ESTRON INDEX | Monthly | 09/18/2024 | EUR | 231 | 4 | – | 4 | ||||||||||||||||||||||||||||||
Citigroup |
MSCI INTERNATIONAL FRANCE | ASSET RETURN |
ESTRON INDEX | Monthly | 09/18/2024 | EUR | 1,577 | 1,695 | – | 1,695 | ||||||||||||||||||||||||||||||
Citigroup |
MSCI INTERNATIONAL SWITZERLAND | SSARON INDEX | ASSET RETURN |
Monthly | 09/18/2024 | CHF | (2,216 | ) | (38 | ) | – | (38 | ) | |||||||||||||||||||||||||||
Citigroup |
MSCI INTERNATIONAL CANADA NET | ASSET RETURN |
CAONREPO INDEX | Monthly | 09/18/2024 | CAD | 7,249 | 25 | – | 25 | ||||||||||||||||||||||||||||||
Citigroup |
MSCI INTERNATIONAL SWEDEN | STBB1M INDEX | ASSET RETURN |
Monthly | 09/18/2024 | SEK | (12,478 | ) | (29 | ) | – | (29 | ) | |||||||||||||||||||||||||||
Citigroup |
MSCI INTERNATIONAL BRAZIL NET INDEX | BZDIOVRA INDEX | ASSET RETURN |
Monthly | 09/18/2024 | BRL | (13,149 | ) | 79 | – | 79 | |||||||||||||||||||||||||||||
Citigroup |
MSCI INTERNATIONAL HONG KONG | HIHD01M INDEX | ASSET RETURN |
Monthly | 09/19/2024 | HKD | (3,635 | ) | (18 | ) | – | (18 | ) | |||||||||||||||||||||||||||
Bank of America |
FTSE/JSE SHAREHOLDER WEIGHTED TOP 40 INDEX | POSITIVE PRICE RETURN | POSITVE PRICE RETURN | At Maturity |
9/22/2024 | ZAR | (66 | ) | (68 | ) | – | (1 | ) | |||||||||||||||||||||||||||
Bank of America |
SWISS MARKET INDEX | NEGATIVE PRICE RETURN | POSITVE PRICE RETURN | At Maturity |
9/23/2024 | CHF | 14,704 | 14,450 | – | (254 | ) | |||||||||||||||||||||||||||||
Bank of America |
WIG 20 INDEX | NEGATIVE PRICE RETURN | POSITIVE PRICE RETURN | At Maturity |
9/23/2024 | PLN | (243 | ) | (254 | ) | – | (11 | ) | |||||||||||||||||||||||||||
$ | 59,351 | $ | – | $ | 1,586 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Accumulation Fund (Concluded)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Income Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Income Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Income Fund (Continued)
A list of over the counter swaption contracts for the Fund at June 30, 2024, is as follows:
Description |
Counterparty |
Number of Contracts/ Notional Amount |
Exercise Price |
Expiration Date |
Value |
|||||||||||||||
PURCHASED SWAPTION — 0.0% |
||||||||||||||||||||
Put Swaptions |
||||||||||||||||||||
Swaption |
Bank of America Merrill Lynch | $ | 6,000,000 | $ | 60.00 | 11/16/2024 | $ | 16 | ||||||||||||
WRITTEN SWAPTION — 0.0% |
||||||||||||||||||||
Put Swaptions |
||||||||||||||||||||
Swaption |
Bank of America Merrill Lynch | $ | (12,000,000 | ) | 80.00 | 11/16/2024 | $ | (15 | ) |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Income Fund (Continued)
A list of the open futures contracts held by the Fund at June 30, 2024, is as follows:
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
3 Month SOFR |
39 | Mar-2025 | $ | 9,421 | $ | 9,277 | $ | (144 | ) | |||||||||||
Australian 10-Year Bond |
14 | Sep-2024 | 1,066 | 1,062 | (2 | ) | ||||||||||||||
Euro-Bobl |
4 | Sep-2024 | 502 | 499 | 4 | |||||||||||||||
Euro-Bund 10-Year Bond |
36 | Sep-2024 | 5,097 | 5,078 | 53 | |||||||||||||||
ICE 3-Month SONIA |
28 | Sep-2024 | 8,404 | 8,393 | 41 | |||||||||||||||
ICE 3-Month SONIA |
1 | Mar-2025 | 303 | 302 | 2 | |||||||||||||||
Long Gilt 10-Year Bond |
29 | Sep-2024 | 3,571 | 3,577 | 27 | |||||||||||||||
U.S. 2-Year Treasury Note |
366 | Sep-2024 | 74,621 | 74,744 | 123 | |||||||||||||||
U.S. 5-Year Treasury Note |
111 | Sep-2024 | 11,779 | 11,830 | 51 | |||||||||||||||
U.S. 10-Year Treasury Note |
140 | Sep-2024 | 15,341 | 15,398 | 57 | |||||||||||||||
U.S. Long Treasury Bond |
20 | Sep-2024 | 2,363 | 2,366 | 3 | |||||||||||||||
U.S. Ultra Long Treasury Bond |
52 | Sep-2024 | 6,462 | 6,518 | 56 | |||||||||||||||
Ultra 10-Year U.S. Treasury Note |
67 | Sep-2024 | 7,533 | 7,606 | 73 | |||||||||||||||
146,463 | 146,650 | 344 | ||||||||||||||||||
Short Contracts |
||||||||||||||||||||
U.S. 5-Year Treasury Note |
(89) | Sep-2024 | $ | (9,506 | ) | $ | (9,486 | ) | $ | 20 | ||||||||||
U.S. Long Treasury Bond |
(12) | Sep-2024 | (1,427 | ) | (1,419 | ) | 8 | |||||||||||||
Ultra 10-Year U.S. Treasury Note |
(70) | Sep-2024 | (7,896 | ) | (7,947 | ) | (51 | ) | ||||||||||||
(18,829 | ) | (18,852 | ) | (23 | ) | |||||||||||||||
$ | 127,634 | $ | 127,798 | $ | 321 |
A list of the open forward foreign currency contracts held by the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||||||
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
Bank of America |
07/02/24 | GBP | 1,004 | USD | 1,269 | $ | (1 | ) | ||||||||||||||||
Barclays PLC |
07/30/24 | USD | 170 | EUR | 156 | (2 | ) | |||||||||||||||||
BNP Paribas |
07/19/24 | USD | 89 | JPY | 13,317 | (6 | ) | |||||||||||||||||
BNP Paribas |
07/19/24 | USD | 247 | EUR | 230 | (1 | ) | |||||||||||||||||
BNP Paribas |
07/19/24 | USD | 531 | CAD | 730 | 3 | ||||||||||||||||||
BNP Paribas |
07/19/24 | CAD | 620 | USD | 455 | 2 | ||||||||||||||||||
BNP Paribas |
07/19/24 | CHF | 210 | USD | 235 | — | ||||||||||||||||||
BNP Paribas |
07/19/24 | CHF | 440 | USD | 487 | (4 | ) | |||||||||||||||||
BNP Paribas |
07/19/24 | USD | 1,063 | NOK | 11,607 | 28 | ||||||||||||||||||
BNP Paribas |
07/19/24 | NOK | 430 | USD | 40 | — | ||||||||||||||||||
BNP Paribas |
07/19/24 | NOK | 3,270 | USD | 307 | (1 | ) | |||||||||||||||||
Citigroup |
07/02/24 | USD | 172 | BRL | 920 | (6 | ) | |||||||||||||||||
Citigroup |
07/02/24 | BRL | 950 | USD | 185 | 14 | ||||||||||||||||||
Citigroup |
07/18/24 | USD | 130 | INR | 10,910 | — | ||||||||||||||||||
Citigroup |
07/19/24 | EUR | 400 | USD | 431 | 2 | ||||||||||||||||||
Citigroup |
07/19/24 | USD | 780 | EUR | 730 | 3 | ||||||||||||||||||
Citigroup |
07/19/24 | USD | 762 | EUR | 703 | (7 | ) | |||||||||||||||||
Citigroup |
07/19/24 | USD | 1,570 | GBP | 1,254 | 14 | ||||||||||||||||||
Citigroup |
07/19/24 | AUD | 140 | USD | 94 | — | ||||||||||||||||||
Citigroup |
07/19/24 | AUD | 2,252 | USD | 1,490 | (14 | ) | |||||||||||||||||
Citigroup |
07/19/24 | USD | 3,214 | AUD | 4,918 | 72 | ||||||||||||||||||
Citigroup |
07/19/24 | GBP | 4,378 | USD | 5,490 | (44 | ) | |||||||||||||||||
Citigroup |
07/19/24 | JPY | 13,320 | USD | 86 | 3 | ||||||||||||||||||
Goldman Sachs |
07/02/24 | USD | 185 | BRL | 970 | (11 | ) | |||||||||||||||||
Goldman Sachs |
07/02/24 | BRL | 2,092 | USD | 386 | 10 | ||||||||||||||||||
Goldman Sachs |
07/19/24 | USD | 767 | CHF | 695 | 8 |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Income Fund (Continued)
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
Goldman Sachs |
07/19/24 | CAD | 1,036 | USD | 761 | $ | 3 | |||||||||||||||||
Goldman Sachs |
07/19/24 | CHF | 830 | USD | 927 | 2 | ||||||||||||||||||
Goldman Sachs |
07/19/24 | CHF | 580 | USD | 641 | (6 | ) | |||||||||||||||||
Goldman Sachs |
07/19/24 | EUR | 3,378 | USD | 3,610 | (13 | ) | |||||||||||||||||
Goldman Sachs |
07/19/24 | NOK | 7,908 | USD | 733 | (10 | ) | |||||||||||||||||
Goldman Sachs |
07/19/24 | MXN | 15,273 | USD | 845 | 12 | ||||||||||||||||||
Goldman Sachs |
08/02/24 | USD | 160 | BRL | 877 | (3 | ) | |||||||||||||||||
JPMorgan Chase Bank |
07/19/24 | USD | 10 | NZD | 16 | — | ||||||||||||||||||
JPMorgan Chase Bank |
07/19/24 | AUD | 200 | USD | 134 | — | ||||||||||||||||||
JPMorgan Chase Bank |
07/19/24 | USD | 282 | CNH | 2,033 | (3 | ) | |||||||||||||||||
JPMorgan Chase Bank |
07/19/24 | USD | 1,548 | MXN | 26,560 | (100 | ) | |||||||||||||||||
JPMorgan Chase Bank |
07/19/24 | CNH | 7,937 | USD | 1,099 | 10 | ||||||||||||||||||
JPMorgan Chase Bank |
07/19/24 | MXN | 11,843 | USD | 710 | 64 | ||||||||||||||||||
Morgan Stanley |
07/02/24 | USD | 219 | BRL | 1,152 | (11 | ) | |||||||||||||||||
Morgan Stanley |
07/02/24 | USD | 376 | GBP | 295 | (3 | ) | |||||||||||||||||
Morgan Stanley |
07/19/24 | USD | 165 | MXN | 2,850 | (10 | ) | |||||||||||||||||
Morgan Stanley |
07/19/24 | USD | 194 | EUR | 179 | (2 | ) | |||||||||||||||||
Morgan Stanley |
07/19/24 | CAD | 201 | USD | 148 | 1 | ||||||||||||||||||
Morgan Stanley |
07/19/24 | USD | 820 | CAD | 1,130 | 6 | ||||||||||||||||||
Morgan Stanley |
07/19/24 | USD | 974 | GBP | 775 | 6 | ||||||||||||||||||
Morgan Stanley |
07/19/24 | MXN | 1,374 | USD | 81 | 6 | ||||||||||||||||||
Morgan Stanley |
07/19/24 | USD | 2,752 | BRL | 14,090 | (221 | ) | |||||||||||||||||
Morgan Stanley |
07/19/24 | BRL | 4,231 | USD | 817 | 57 | ||||||||||||||||||
Morgan Stanley |
07/30/24 | USD | 296 | EUR | 275 | (1 | ) | |||||||||||||||||
State Street |
09/27/24 | GBP | 695 | USD | 879 | — | ||||||||||||||||||
UBS |
07/30/24 | USD | 1,375 | EUR | 1,274 | (8 | ) | |||||||||||||||||
UBS |
07/30/24 | EUR | 9,667 | USD | 10,455 | 80 | ||||||||||||||||||
$ | (82 | ) |
A list of the open centrally cleared swap agreements held by the Fund at June 30, 2024 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-DAIGR@100BP5.1Y |
1.00% | Quarterly | 12/20/2024 | $ | 1,290 | $ | (5 | ) | $ | (2 | ) | $ | (3 | ) | ||||||||||||||
CDS-GM@500BP4.9Y |
5.00% | Quarterly | 06/20/2026 | 760 | (67 | ) | (58 | ) | (9 | ) | ||||||||||||||||||
CDS-GM@500BP5.3Y |
5.00% | Quarterly | 06/20/2029 | 690 | (115 | ) | (117 | ) | 2 | |||||||||||||||||||
CDS-RIG@100BP5.2Y |
1.00% | Quarterly | 06/20/2029 | 420 | 52 | 50 | 2 | |||||||||||||||||||||
$ | (135 | ) | $ | (127 | ) | $ | (8 | ) |
Credit Default Swaps - Sell Protection |
||||||||||||||||||||||||||||
Reference Entity/ Obligation |
Receive Rate |
Payment Frequency |
Termination Date |
Notional Amount |
Value |
Upfront Payments/ Receipts |
Net Unrealized |
|||||||||||||||||||||
CDS-CDX.NA.HY.4206/29@500 |
5.00% | Quarterly | 06/20/2029 | $ | 652 | $ | 41 | $ | 43 | $ | (2 | ) | ||||||||||||||||
CDS-F@500BP5.3Y |
5.00% | Quarterly | 06/20/2029 | 690 | 101 | 101 | – | |||||||||||||||||||||
CDS-F@500BPS 4.9Y |
5.00% | Quarterly | 06/20/2026 | 760 | 63 | 43 | 20 | |||||||||||||||||||||
CDS-NA.IG.4206/29@100 |
1.00% | Quarterly | 06/20/2029 | 325 | 7 | 7 | – | |||||||||||||||||||||
CDS-NBR@100BP5.2Y |
1.00% | Quarterly | 06/20/2029 | 420 | (73 | ) | (69 | ) | (4 | ) | ||||||||||||||||||
CDS-VW@100BP5.1Y |
1.00% | Quarterly | 12/20/2024 | 1,290 | 4 | 1 | 3 | |||||||||||||||||||||
CDX.NA.HY.34-VERSION 1 INDEX |
5.00% | Quarterly | 06/25/2025 | 6,092 | 206 | (46 | ) | 252 |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Income Fund (Continued)
Reference Entity/ Obligation |
Receive Rate |
Payment Frequency |
Termination Date |
Notional Amount |
Value |
Upfront Payments/ Receipts |
Net Unrealized |
|||||||||||||||||||||
CDX.NA.IG.33-Version 1 INDEX |
1.00% | Quarterly | 12/20/2024 | $ | 2,375 | $ | 10 | $ | 6 | $ | 4 | |||||||||||||||||
CDX.NA.IG.41-V1 |
1.00% | Quarterly | 12/20/2028 | 8,505 | 181 | 138 | 43 | |||||||||||||||||||||
CHILEAN GOVT 3.24% 06 FEB 2028 |
1.00% | Quarterly | 06/20/2029 | 210 | 4 | 4 | – | |||||||||||||||||||||
GENERAL ELECTRIC COMPANY |
1.00% | Quarterly | 06/20/2026 | 1,175 | 20 | 7 | 13 | |||||||||||||||||||||
PERUVIAN GOVT 8.75% 21 NOV 2033 |
1.00% | Quarterly | 06/20/2029 | 980 | 10 | 15 | (5 | ) | ||||||||||||||||||||
PHILIPPINO GOVT 9.5% 02 FEB 2030 |
1.00% | Quarterly | 06/20/2029 | 390 | 5 | 7 | (2 | ) | ||||||||||||||||||||
$ | 579 | $ | 257 | $ | 322 |
Interest Rate Swaps |
||||||||||||||||||||||||||||||||
Fund Pays |
Fund Receives |
Payment Frequency |
Termination Date |
Currency |
Notional Amount |
Value |
Upfront Payments/ Receipts |
Net Unrealized |
||||||||||||||||||||||||
10.25% |
CETIP | Monthly | 01/02/2029 | BRL | 10,730 | $ | 117 | $ | 69 | $ | 48 | |||||||||||||||||||||
11.50% |
CETIP | Monthly | 01/02/2029 | BRL | 3,830 | 15 | (3 | ) | 18 | |||||||||||||||||||||||
CETIP |
9.75% | Monthly | 01/02/2026 | BRL | 1,030 | 4 | 3 | 1 | ||||||||||||||||||||||||
CETIP |
12.06% | Monthly | 01/02/2025 | BRL | 5,500 | (6 | ) | 59 | (65 | ) | ||||||||||||||||||||||
CETIP |
12.064% | Monthly | 01/02/2025 | BRL | 6,480 | 7 | 69 | (62 | ) | |||||||||||||||||||||||
CETIP |
10.85% | Monthly | 01/02/2026 | BRL | 22,250 | (31 | ) | 34 | (65 | ) | ||||||||||||||||||||||
10.2861% |
CETIP | Monthly | 01/04/2027 | BRL | 4,470 | 24 | – | 24 | ||||||||||||||||||||||||
11.23% |
CETIP | Monthly | 01/04/2027 | BRL | 5,470 | (14 | ) | 8 | (22 | ) | ||||||||||||||||||||||
CLICP |
4.5% | Semi-Annually | 06/21/2026 | CLP | 266,170 | (4 | ) | (3 | ) | (1 | ) | |||||||||||||||||||||
5.0% |
CLICP | Semi-Annually | 06/21/2034 | CLP | 82,660 | 3 | 2 | 1 | ||||||||||||||||||||||||
9.25% |
MXIBTIIE | Monthly | 09/06/2034 | MXN | 7,390 | 2 | 9 | (7 | ) | |||||||||||||||||||||||
10.0% |
MXIBTIIE | Monthly | 09/16/2026 | MXN | 27,850 | 1 | 10 | (9 | ) | |||||||||||||||||||||||
TIIE |
7.2% | Monthly | 07/17/2024 | MXN | 365,383 | (46 | ) | – | (46 | ) | ||||||||||||||||||||||
CNRR007 |
1.75% | Quarterly | 09/18/2026 | CNY | 8,640 | (1 | ) | (2 | ) | 1 | ||||||||||||||||||||||
2.0% |
CNRR007 | Quarterly | 09/18/2029 | CNY | 11,290 | (5 | ) | 3 | (8 | ) | ||||||||||||||||||||||
4.25% |
PRIB06M | Annually | 09/18/2026 | CZK | 24,830 | – | (6 | ) | 6 | |||||||||||||||||||||||
PRIB06M |
4.0% | Semi-Annually | 09/18/2034 | CZK | 6,940 | 3 | – | 3 | ||||||||||||||||||||||||
2.5% |
EUR006M | Annually | 09/18/2027 | EUR | 2,030 | 27 | 28 | (1 | ) | |||||||||||||||||||||||
2.5% |
EUR006M | Annually | 09/18/2029 | EUR | 980 | 16 | 15 | 1 | ||||||||||||||||||||||||
2.5% |
EUR006M | Annually | 09/18/2031 | EUR | 2,850 | 56 | 52 | 4 | ||||||||||||||||||||||||
2.5% |
EUR006M | Annually | 09/18/2034 | EUR | 660 | 19 | 17 | 2 | ||||||||||||||||||||||||
2.5% |
EUR006M | Annually | 09/18/2044 | EUR | 330 | 14 | 12 | 2 | ||||||||||||||||||||||||
2.5% |
EUR006M | Annually | 09/18/2054 | EUR | 260 | 2 | – | 2 | ||||||||||||||||||||||||
3.5% |
SONIO | Annually | 09/18/2034 | GBP | 390 | 13 | 13 | – | ||||||||||||||||||||||||
6.5% |
IN00O/N | Semi-Annually | 09/18/2026 | INR | 103,400 | (1 | ) | – | (1 | ) | ||||||||||||||||||||||
6.5% |
IN00O/N | Semi-Annually | 09/18/2029 | INR | 76,020 | (7 | ) | (2 | ) | (5 | ) | |||||||||||||||||||||
KWCDC |
3.25% | Quarterly | 09/19/2034 | KRW | 660,670 | 5 | (2 | ) | 7 | |||||||||||||||||||||||
WIBR6M |
5.5% | Semi-Annually | 09/18/2034 | PLN | 1,400 | 10 | 7 | 3 | ||||||||||||||||||||||||
5.5% |
WIBR6M | Annually | 09/18/2026 | PLN | 5,910 | (7 | ) | (4 | ) | (3 | ) | |||||||||||||||||||||
3.75% |
SOFRRATE | Annually | 09/18/2034 | USD | 300 | 2 | 1 | 1 | ||||||||||||||||||||||||
SOFRATE |
3.696% | Annually | 09/26/2028 | USD | 27,240 | 13 | (28 | ) | 41 | |||||||||||||||||||||||
3.782% |
SOFRATE | Annually | 09/22/2036 | USD | 6,140 | (8 | ) | 69 | (77 | ) | ||||||||||||||||||||||
SOFRATE |
3.35% | Annually | 10/26/2027 | USD | 31,190 | (267 | ) | (36 | ) | (231 | ) | |||||||||||||||||||||
3.24% |
SOFRATE | Annually | 10/26/2035 | USD | 7,100 | 296 | 141 | 155 | ||||||||||||||||||||||||
JIBA3M |
10.0% | Quarterly | 09/18/2034 | ZAR | 6,490 | 16 | 9 | 7 | ||||||||||||||||||||||||
$ | 268 | $ | 544 | $ | (276 | ) |
A list of open OTC swap agreements held by the Fund at June 30, 2024, is as follows:
Interest Rate Swap |
||||||||||||||||||||||||||||||||||||
Counterparty |
Fund Pays |
Fund Receives |
Payment Frequency |
Termination Date |
Currency |
Notional Amount |
Value |
Upfront Payments |
Net Unrealized |
|||||||||||||||||||||||||||
JPMorgan Chase |
0.23% | CETIP | Annually | 01/02/2029 | BRL | 23,190 | $ | (209 | ) | $ | – | $ | (209 | ) |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Income Fund (Concluded)
Total Return Swap |
||||||||||||||||||||||||||||||||||||||||
Counterparty |
Reference Entity/ Obligation |
Fund Pays |
Fund Receives |
Payment Frequency |
Termination Date |
Currency |
Notional |
Value |
Upfront Payments/ |
Net Unrealized |
||||||||||||||||||||||||||||||
JPMorgan Chase |
JPEIFNTR INDEX | SOFRATE | ASSET RETURN |
Quarterly | 08/01/2024 | USD | 1,062 | $ | (25 | ) | $ | – | $ | (25 | ) | |||||||||||||||||||||||||
$ | (25 | ) | $ | – | $ | (25 | ) |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Inflation Managed Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
A list of open exchange traded options contracts for the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||
Description |
Number of Contracts |
Notional Amount |
Exercise Price |
Expiration Date |
Value |
|||||||||||||||
PURCHASED OPTIONS — 0.0% |
||||||||||||||||||||
Put Options |
||||||||||||||||||||
September 2024, Nickel LME Future^ |
6 | $ | 576 | $ | 16,000.00 | 9/21/2024 | $ | 7 | ||||||||||||
Call Options |
– | – | ||||||||||||||||||
September 2024, LEAD LME Spot Option^ |
55 | 3,163 | 2,300.00 | 9/21/2024 | 63 | |||||||||||||||
September 2024, Nickel LME Future^ |
18 | 2,052 | 19,000.00 | 9/21/2024 | 27 | |||||||||||||||
August 2024, Silver Futures^ |
21 | 3,412 | 32.50 | 7/20/2024 | 17 | |||||||||||||||
August 2024, Silver Futures^ |
21 | 4,463 | 42.50 | 7/20/2024 | 2 | |||||||||||||||
13,090 | 109 | |||||||||||||||||||
Total Purchased Options |
$ | 13,666 | $ | 116 | ||||||||||||||||
WRITTEN OPTIONS — 0.0% |
||||||||||||||||||||
Put Options |
||||||||||||||||||||
September 2024, LEAD LME Spot Option^ |
(11 | ) | $ | (605 | ) | 2,200.00 | 09/21/2024 | $ | (18 | ) | ||||||||||
Call Options |
||||||||||||||||||||
September 2024, LEAD LME Spot Option^ |
(55 | ) | (3,438 | ) | 2,500.00 | 09/21/2024 | (14 | ) | ||||||||||||
September 2024, Nickel LME Future^ |
(18 | ) | (2,268 | ) | 21,000.00 | 09/21/2024 | (8 | ) | ||||||||||||
August 2024, Silver Futures^ |
(42 | ) | (7,875 | ) | 37.50 | 07/20/2024 | (6 | ) | ||||||||||||
(13,581 | ) | (28 | ) | |||||||||||||||||
Total Written Options |
$ | (14,186 | ) | $ | (46 | ) | ||||||||||||||
A list of the open futures contracts held by the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
Brent Crude^ |
11 | Sep-2024 | $ | 864 | $ | 918 | $ | 54 | ||||||||||||
Brent Crude^ |
12 | Jul-2024 | 983 | 1,020 | 37 | |||||||||||||||
Brent Crude^ |
23 | Jan-2025 | 1,814 | 1,871 | 57 | |||||||||||||||
Brent Crude^ |
56 | Sep-2024 | 4,776 | 4,760 | (16 | ) | ||||||||||||||
Brent Crude^ |
11 | Nov-2024 | 917 | 906 | (11 | ) | ||||||||||||||
Coffee C^ |
24 | Dec-2024 | 2,027 | 2,021 | (6 | ) | ||||||||||||||
Coffee C^ |
10 | Dec-2024 | 749 | 842 | 93 | |||||||||||||||
Coffee C^ |
7 | Sep-2024 | 538 | 595 | 57 | |||||||||||||||
Coffee C^ |
10 | Mar-2025 | 782 | 835 | 53 | |||||||||||||||
Coffee C^ |
24 | Sep-2024 | 2,047 | 2,041 | (6 | ) | ||||||||||||||
Copper^ |
13 | Mar-2025 | 1,489 | 1,442 | (47 | ) | ||||||||||||||
Copper^ |
13 | Dec-2024 | 1,400 | 1,434 | 34 | |||||||||||||||
Copper^ |
38 | Sep-2024 | 4,553 | 4,172 | (381 | ) | ||||||||||||||
Copper^ |
8 | Sep-2024 | 857 | 879 | 22 | |||||||||||||||
Corn^ |
55 | Dec-2024 | 1,299 | 1,157 | (142 | ) | ||||||||||||||
Corn^ |
22 | Sep-2024 | 507 | 448 | (59 | ) | ||||||||||||||
Corn^ |
54 | Mar-2025 | 1,321 | 1,174 | (147 | ) | ||||||||||||||
Cotton No. 2^ |
7 | Dec-2024 | 261 | 255 | (6 | ) | ||||||||||||||
Cotton No. 2^ |
17 | Mar-2025 | 631 | 632 | 1 | |||||||||||||||
Feeder Cattle^ |
4 | Aug-2024 | 524 | 519 | (5 | ) | ||||||||||||||
Gasoline^ |
3 | Oct-2024 | 274 | 280 | 6 | |||||||||||||||
Gasoline^ |
6 | Dec-2024 | 543 | 547 | 4 | |||||||||||||||
Gasoline^ |
3 | Feb-2025 | 266 | 275 | 9 | |||||||||||||||
Gasoline^ |
37 | Sep-2024 | 3,767 | 3,840 | 73 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation |
|||||||||||||||
Gold^ |
16 | Mar-2025 | $ | 3,864 | $ | 3,854 | $ | (10 | ) | |||||||||||
Gold^ |
6 | Aug-2024 | 1,285 | 1,403 | 118 | |||||||||||||||
Gold^ |
16 | Dec-2024 | 3,523 | 3,817 | 294 | |||||||||||||||
Gold^ |
27 | Aug-2024 | 6,474 | 6,317 | (157 | ) | ||||||||||||||
KC HRW Wheat^ |
13 | Mar-2025 | 458 | 401 | (57 | ) | ||||||||||||||
KC HRW Wheat^ |
13 | Dec-2024 | 410 | 392 | (18 | ) | ||||||||||||||
KC HRW Wheat^ |
35 | Sep-2024 | 1,156 | 1,026 | (130 | ) | ||||||||||||||
Lean Hogs^ |
105 | Oct-2024 | 3,283 | 3,181 | (102 | ) | ||||||||||||||
Lean Hogs^ |
9 | Dec-2024 | 285 | 252 | (33 | ) | ||||||||||||||
Lean Hogs^ |
18 | Feb-2025 | 562 | 537 | (25 | ) | ||||||||||||||
Lean Hogs^ |
13 | Aug-2024 | 466 | 465 | (1 | ) | ||||||||||||||
Live Cattle^ |
13 | Oct-2024 | 963 | 962 | (1 | ) | ||||||||||||||
Live Cattle^ |
11 | Mar-2025 | 823 | 826 | 3 | |||||||||||||||
Live Cattle^ |
8 | Aug-2024 | 562 | 594 | 32 | |||||||||||||||
Live Cattle^ |
6 | Oct-2024 | 443 | 444 | 1 | |||||||||||||||
Live Cattle^ |
6 | Dec-2024 | 429 | 446 | 17 | |||||||||||||||
LME Copper^ |
2 | Oct-2024 | 491 | 481 | (10 | ) | ||||||||||||||
LME Lead^ |
2 | Mar-2025 | 110 | 113 | 3 | |||||||||||||||
LME Lead^ |
4 | Jan-2025 | 230 | 226 | (4 | ) | ||||||||||||||
LME Lead^ |
4 | Sep-2024 | 217 | 223 | 6 | |||||||||||||||
LME Lead^ |
2 | Nov-2024 | 109 | 112 | 3 | |||||||||||||||
LME Nickel^ |
3 | Nov-2024 | 335 | 314 | (21 | ) | ||||||||||||||
LME Nickel^ |
16 | Sep-2024 | 1,695 | 1,658 | (37 | ) | ||||||||||||||
LME Nickel^ |
1 | Sep-2024 | 99 | 104 | 5 | |||||||||||||||
LME Nickel^ |
3 | Mar-2025 | 333 | 320 | (13 | ) | ||||||||||||||
LME Nickel^ |
6 | Jan-2025 | 684 | 634 | (50 | ) | ||||||||||||||
LME Primary Aluminum^ |
8 | Nov-2024 | 466 | 511 | 45 | |||||||||||||||
LME Primary Aluminum^ |
4 | Sep-2024 | 240 | 252 | 12 | |||||||||||||||
LME Primary Aluminum^ |
16 | Jan-2025 | 1,031 | 1,029 | (2 | ) | ||||||||||||||
LME Primary Aluminum^ |
8 | Mar-2025 | 528 | 519 | (9 | ) | ||||||||||||||
LME Primary Aluminum^ |
5 | Sep-2024 | 334 | 315 | (19 | ) | ||||||||||||||
LME Zinc^ |
56 | Sep-2024 | 4,112 | 4,110 | (2 | ) | ||||||||||||||
LME Zinc^ |
9 | Jan-2025 | 649 | 667 | 18 | |||||||||||||||
LME Zinc^ |
4 | Mar-2025 | 286 | 298 | 12 | |||||||||||||||
LME Zinc^ |
5 | Sep-2024 | 343 | 367 | 24 | |||||||||||||||
LME Zinc^ |
4 | Nov-2024 | 263 | 295 | 32 | |||||||||||||||
Low Sulphur Gasoil^ |
4 | Mar-2025 | 293 | 306 | 13 | |||||||||||||||
Low Sulphur Gasoil^ |
4 | Nov-2024 | 305 | 312 | 7 | |||||||||||||||
Low Sulphur Gasoil^ |
9 | Jan-2025 | 687 | 693 | 6 | |||||||||||||||
Low Sulphur Gasoil^ |
75 | Sep-2024 | 5,668 | 5,880 | 212 | |||||||||||||||
Natural Gas^ |
259 | Aug-2024 | 7,338 | 6,729 | (609 | ) | ||||||||||||||
Natural Gas^ |
29 | Feb-2025 | 1,022 | 944 | (78 | ) | ||||||||||||||
Natural Gas^ |
49 | Dec-2024 | 1,868 | 1,873 | 5 | |||||||||||||||
Natural Gas^ |
30 | Oct-2024 | 901 | 925 | 24 | |||||||||||||||
NY Harbor ULSD^ |
2 | Oct-2024 | 215 | 215 | – | |||||||||||||||
NY Harbor ULSD^ |
4 | Aug-2024 | 414 | 428 | 14 | |||||||||||||||
NY Harbor ULSD^ |
2 | Feb-2025 | 207 | 213 | 6 | |||||||||||||||
NY Harbor ULSD^ |
5 | Dec-2024 | 528 | 536 | 8 | |||||||||||||||
NYMEX Cocoa^ |
9 | Sep-2024 | 717 | 695 | (22 | ) | ||||||||||||||
NYMEX Cocoa^ |
88 | Dec-2024 | 6,607 | 5,800 | (807 | ) | ||||||||||||||
Palladium^ |
8 | Sep-2024 | 781 | 782 | 1 | |||||||||||||||
Platinum^ |
21 | Oct-2024 | 1,075 | 1,065 | (10 | ) | ||||||||||||||
Silver^ |
9 | Mar-2025 | 1,351 | 1,369 | 18 | |||||||||||||||
Silver^ |
21 | Sep-2024 | 3,149 | 3,103 | (46 | ) | ||||||||||||||
Silver^ |
4 | Sep-2024 | 494 | 591 | 97 | |||||||||||||||
Silver^ |
9 | Dec-2024 | 1,265 | 1,349 | 84 | |||||||||||||||
Soybean^ |
10 | Nov-2024 | 586 | 552 | (34 | ) | ||||||||||||||
Soybean^ |
14 | Mar-2025 | 815 | 786 | (29 | ) | ||||||||||||||
Soybean^ |
29 | Jan-2025 | 1,731 | 1,621 | (110 | ) |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation |
|||||||||||||||
Soybean Meal^ |
29 | Jan-2025 | $ | 1,040 | $ | 976 | $ | (64 | ) | |||||||||||
Soybean Meal^ |
15 | Mar-2025 | 529 | 506 | (23 | ) | ||||||||||||||
Soybean Meal^ |
64 | Dec-2024 | 2,261 | 2,147 | (114 | ) | ||||||||||||||
Soybean Oil^ |
36 | Jan-2025 | 997 | 946 | (51 | ) | ||||||||||||||
Soybean Oil^ |
24 | Dec-2024 | 653 | 631 | (22 | ) | ||||||||||||||
Soybean Oil^ |
18 | Mar-2025 | 479 | 474 | (5 | ) | ||||||||||||||
Sugar No. 11^ |
37 | Sep-2024 | 787 | 841 | 54 | |||||||||||||||
Sugar No. 11^ |
53 | Feb-2025 | 1,207 | 1,222 | 15 | |||||||||||||||
U.S. 5-Year Treasury Note |
288 | Sep-2024 | 30,479 | 30,695 | 216 | |||||||||||||||
Wheat^ |
6 | Sep-2024 | 186 | 172 | (14 | ) | ||||||||||||||
Wheat^ |
20 | Mar-2025 | 699 | 615 | (84 | ) | ||||||||||||||
Wheat^ |
8 | Sep-2024 | 226 | 230 | 4 | |||||||||||||||
Wheat^ |
20 | Dec-2024 | 628 | 597 | (31 | ) | ||||||||||||||
WTI Crude Oil^ |
68 | Oct-2024 | 5,263 | 5,372 | 109 | |||||||||||||||
WTI Crude Oil^ |
57 | Aug-2024 | 4,420 | 4,596 | 176 | |||||||||||||||
WTI Crude Oil^ |
12 | Feb-2025 | 889 | 920 | 31 | |||||||||||||||
WTI Crude Oil^ |
24 | Dec-2024 | 1,855 | 1,866 | 11 | |||||||||||||||
161,345 | 159,901 | (1,444 | ) | |||||||||||||||||
Short Contracts |
||||||||||||||||||||
Cotton No. 2^ |
(16) | Dec-2024 | $ | (584 | ) | $ | (582 | ) | $ | 2 | ||||||||||
Feeder Cattle^ |
(19) | Aug-2024 | (2,399 | ) | (2,464 | ) | (65 | ) | ||||||||||||
LME Lead^ |
(42) | Sep-2024 | (2,384 | ) | (2,340 | ) | 44 | |||||||||||||
MSCI EAFE Index |
(74) | Sep-2024 | (8,737 | ) | (8,670 | ) | 67 | |||||||||||||
NY Harbor ULSD^ |
(18) | Aug-2024 | (1,909 | ) | (1,927 | ) | (18 | ) | ||||||||||||
NYMEX Cocoa^ |
(72) | Sep-2024 | (6,306 | ) | (5,566 | ) | 740 | |||||||||||||
S&P 500 Index E-MINI |
(65) | Sep-2024 | (17,851 | ) | (17,945 | ) | (94 | ) | ||||||||||||
Sugar No. 11^ |
(42) | Sep-2024 | (895 | ) | (955 | ) | (60 | ) | ||||||||||||
U.S. 2-Year Treasury Note |
(74) | Sep-2024 | (15,071 | ) | (15,112 | ) | (41 | ) | ||||||||||||
U.S. Ultra Long Treasury Bond |
(11) | Sep-2024 | (1,345 | ) | (1,378 | ) | (33 | ) | ||||||||||||
Ultra 10-Year U.S. Treasury Note |
(70) | Sep-2024 | (7,865 | ) | (7,947 | ) | (82 | ) | ||||||||||||
(65,346 | ) | (64,886 | ) | 460 | ||||||||||||||||
$ | 95,999 | $ | 95,015 | $ | (984 | ) |
A list of the open forward foreign currency contracts held by the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||||||
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
JPMorgan Chase Bank |
08/08/24 | EUR | 1,622 | USD | 1,747 | $ | 6 | |||||||||||||||||
A list of open OTC swap agreements held by the Fund at June 30, 2024, 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-BBB--364870 | 3.00% | Monthly | 12/31/2049 | $ | 19 | $ | (2 | ) | $ | — | $ | (2 | ) | ||||||||||||||||||
Goldman Sachs |
CMBX-BBB--407892 | 3.00% | Monthly | 05/11/2063 | 86 | (11 | ) | (7 | ) | (4 | ) | |||||||||||||||||||||
Goldman Sachs |
CMBX-BBB--408196 | 3.00% | Monthly | 05/11/2063 | 7 | (1 | ) | — | (1 | ) | ||||||||||||||||||||||
Goldman Sachs |
CMBX-BBB--408197 | 3.00% | Monthly | 05/11/2063 | 14 | (2 | ) | (1 | ) | (1 | ) | |||||||||||||||||||||
Goldman Sachs |
CMBX-BBB--408481 | 3.00% | Monthly | 05/11/2063 | 14 | (2 | ) | (1 | ) | (1 | ) | |||||||||||||||||||||
Goldman Sachs |
CMBX-BBB--408891 | 3.00% | Monthly | 05/11/2063 | 29 | (4 | ) | (3 | ) | (1 | ) | |||||||||||||||||||||
Deutsche Bank |
CMBX-BBB--409304 | 3.00% | Monthly | 05/11/2063 | 15 | (2 | ) | (1 | ) | (1 | ) | |||||||||||||||||||||
Deutsche Bank |
CMBX-BBB--409425 | 3.00% | Monthly | 05/11/2063 | 89 | (12 | ) | (10 | ) | (2 | ) | |||||||||||||||||||||
Deutsche Bank |
CMBX-BBB--410332 | 3.00% | Monthly | 05/11/2063 | 50 | (7 | ) | (5 | ) | (2 | ) | |||||||||||||||||||||
Deutsche Bank |
CMBX-BBB--410410 | 3.00% | Monthly | 05/11/2063 | 50 | (7 | ) | (5 | ) | (2 | ) | |||||||||||||||||||||
Citigroup |
CMBX-BBB--413146 | 3.00% | Monthly | 05/11/2063 | 15 | (2 | ) | (1 | ) | (1 | ) | |||||||||||||||||||||
Citigroup |
CMBX-BBB--413312 | 3.00% | Monthly | 05/11/2063 | 13 | (2 | ) | (1 | ) | (1 | ) |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
Counterparty |
Reference Entity/ Obligation |
Receive Rate |
Payment Frequency |
Termination Date |
Notional Amount |
Value |
Upfront Payments/ Receipts |
Net Unrealized |
||||||||||||||||||||||||
Goldman Sachs |
CMBX-BBB--416265 | 3.00% | Monthly | 05/11/2063 | $ | 99 | $ | (13 | ) | $ | (9 | ) | $ | (4 | ) | |||||||||||||||||
Citigroup |
CMBX-BBB--434583 | 3.00% | Monthly | 05/11/2063 | 2 | — | — | — | ||||||||||||||||||||||||
Citigroup |
CMBX-BBB--465843 | 3.00% | Monthly | 05/11/2063 | 17 | (6 | ) | (2 | ) | (4 | ) | |||||||||||||||||||||
Citigroup |
CMBX-BBB--468788 | 3.00% | Monthly | 05/11/2063 | 12 | (2 | ) | (1 | ) | (1 | ) | |||||||||||||||||||||
Citigroup |
CMBX-BBB--468793 | 3.00% | Monthly | 05/11/2063 | 15 | (2 | ) | (2 | ) | — | ||||||||||||||||||||||
Citigroup |
CMBX-BBB--469138 | 3.00% | Monthly | 05/11/2063 | 14 | (2 | ) | (2 | ) | — | ||||||||||||||||||||||
Citigroup |
CMBX-BBB--469653 | 3.00% | Monthly | 05/11/2063 | 3 | — | — | — | ||||||||||||||||||||||||
Credit Suisse |
CMBX-BBB--470792 | 3.00% | Monthly | 05/11/2063 | 1 | — | — | — | ||||||||||||||||||||||||
Citigroup |
CMBX-BBB--489133 | 3.00% | Monthly | 05/11/2063 | 27 | (4 | ) | (3 | ) | (1 | ) | |||||||||||||||||||||
Citigroup |
CMBX-BBB--489134 | 3.00% | Monthly | 05/11/2063 | 8 | (1 | ) | — | (1 | ) | ||||||||||||||||||||||
Citigroup |
CMBX-BBB--499059 | 3.00% | Monthly | 05/11/2063 | 9 | (1 | ) | — | (1 | ) | ||||||||||||||||||||||
$ | (85 | ) | $ | (54 | ) | $ | (31 | ) |
A list of open centrally cleared swap agreements held by the Fund at June 30, 2024, 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-NAHYS42V1-5Y |
5.00% | Quarterly | 06/20/2029 | $ | 4,970 | $ | (312 | ) | $ | (320 | ) | $ | 8 | |||||||||||||||
ITRAXX-AUSTRALIAS41 |
1.00% | Quarterly | 06/20/2029 | 14,530 | (186 | ) | (225 | ) | 39 | |||||||||||||||||||
MALAYSIA |
1.00% | Quarterly | 06/20/2029 | 18,090 | (440 | ) | (443 | ) | 3 | |||||||||||||||||||
$ | (938 | ) | $ | (988 | ) | $ | 50 |
Credit Default Swaps - Sell Protection |
||||||||||||||||||||||||||||
Reference Entity/ Obligation |
Receive Rate |
Payment Frequency |
Termination Date |
Notional Amount |
Value |
Upfront Payments/ Receipts |
Net Unrealized |
|||||||||||||||||||||
CDX-NAIGS42V1-5Y |
1.00% | Quarterly | 06/20/2029 | $ | 7,415 | $ | 153 | $ | 153 | $ | – | |||||||||||||||||
CDX-NAIGS42V1-5Y |
1.00% | Quarterly | 06/20/2029 | 7,115 | 146 | 151 | (5 | ) | ||||||||||||||||||||
$ | 299 | $ | 304 | $ | (5 | ) |
Interest Rate Swaps |
||||||||||||||||||||||||||||||||
Fund Pays |
Fund Receives |
Payment Frequency |
Termination Date |
Currency |
Notional Amount |
Value |
Upfront Payments/ Receipts |
Net Unrealized |
||||||||||||||||||||||||
3.146% |
CPI | Annually | 01/15/2027 | USD | 6,000 | $ | 1,067 | $ | – | $ | 1,067 | |||||||||||||||||||||
1.4725% |
SOFR | Annually | 11/09/2026 | USD | 1,490 | 100 | 92 | 8 | ||||||||||||||||||||||||
1.455% |
SOFR | Annually | 11/08/2026 | USD | 1,490 | 100 | 93 | 7 | ||||||||||||||||||||||||
1.3945% |
SOFR | Annually | 05/21/2031 | USD | 18,720 | 2,875 | 2,553 | 322 | ||||||||||||||||||||||||
1.98% |
SOFR | Annually | 07/12/2027 | USD | 1,075 | 70 | 55 | 15 | ||||||||||||||||||||||||
2.28% |
SOFR | Annually | 05/18/2025 | USD | 2,820 | 69 | 52 | 17 | ||||||||||||||||||||||||
1.27% |
SOFR | Annually | 09/27/2029 | USD | 2,230 | 289 | 235 | 54 | ||||||||||||||||||||||||
1.965% |
SOFR | Annually | 06/04/2029 | USD | 4,220 | 391 | 298 | 93 | ||||||||||||||||||||||||
0.316% |
SOFR | Annually | 06/05/2027 | USD | 15,800 | 1,731 | 1,488 | 243 | ||||||||||||||||||||||||
2.21% |
SOFR | Annually | 04/04/2027 | USD | 10,400 | 579 | 438 | 141 | ||||||||||||||||||||||||
1.33% |
SOFR | Annually | 10/25/2026 | USD | 6,110 | 421 | 345 | 76 | ||||||||||||||||||||||||
1.92% |
SOFR | Annually | 08/04/2025 | USD | 2,717 | 89 | 68 | 21 | ||||||||||||||||||||||||
2.51% |
SOFR | Annually | 06/09/2025 | USD | 1,710 | 40 | 30 | 10 | ||||||||||||||||||||||||
1.8% |
SOFR | Annually | 04/21/2025 | USD | 2,760 | 73 | 58 | 15 | ||||||||||||||||||||||||
2.4% |
SOFR | Annually | 11/10/2035 | USD | 1,190 | 165 | 105 | 60 | ||||||||||||||||||||||||
$ | 8,059 | $ | 5,910 | $ | 2,149 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Inflation Managed Fund (Concluded)
As of June 30, 2024, the open Reverse Repurchase Agreements held by the Fund are listed below: |
|||||||||||||||
Multi-Asset Inflation Managed Fund |
|||||||||||||||
Principal Amount ($ Thousands) |
Counterparty |
Rate |
Value ($ Thousands) |
||||||||||||
$ | (25,795 | ) | Chase Securities |
5.40 | % | $ | (25,795 | ) | |||||||
(7,605 | ) | Chase Securities |
5.41 | % | (7,605 | ) | |||||||||
(17,307 | ) | Chase Securities |
5.45 | % | (17,307 | ) | |||||||||
(8,120 | ) | Chase Securities |
5.46 | % | (8,120 | ) | |||||||||
(11,033 | ) | Chase Securities |
5.46 | % | (11,033 | ) | |||||||||
(6,399 | ) | Chase Securities |
5.49 | % | (6,399 | ) | |||||||||
$ | (76,259 | ) |
|
Percentages are based on Net Assets of $592,066 ($ Thousands). |
^ |
Security, or a portion thereof, is held by the Accumulation Commodity Strategy Subsidiary, Ltd. as of June 30, 2024. |
* |
Non-income producing security. |
‡ |
Real Estate Investment Trust. |
‡‡ |
Expiration date not available. |
(A) |
Interest rate represents the security's effective yield at the time of purchase. |
(B) |
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. |
(C) |
Security, or portion thereof, has been pledged as collateral on securities sold short. The total market value of such securities as of June 30, 2024 was $60,709 ($ Thousands). |
(D) |
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, 2024, the value of these securities amounted to $64,920 ($ Thousands), representing 11.0% of the Net Assets of the Fund. |
(E) |
Security is in default on interest payment. |
(F) |
Perpetual security with no stated maturity date. |
(G) |
Zero coupon security. |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Capital Stability Fund
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Capital Stability Fund (Continued)
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Capital Stability Fund (Continued)
A list of the open futures contracts held by the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||
Type of Contract |
Number of |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized Appreciation |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
Amsterdam Index |
12 | Jul-2024 | $ | 2,384 | $ | 2,382 | $ | (2 | ) | |||||||||||
Australian 10-Year Bond |
116 | Sep-2024 | 8,837 | 8,798 | (90 | ) | ||||||||||||||
CAC40 10 Euro Index |
20 | Jul-2024 | 1,623 | 1,606 | (17 | ) | ||||||||||||||
Canadian 10-Year Bond |
114 | Sep-2024 | 9,990 | 10,003 | 5 | |||||||||||||||
DAX Index |
4 | Sep-2024 | 1,957 | 1,972 | 15 | |||||||||||||||
Euro STOXX 50 |
23 | Sep-2024 | 1,221 | 1,215 | (4 | ) | ||||||||||||||
Euro-Buxl |
22 | Sep-2024 | 3,035 | 3,071 | 70 | |||||||||||||||
Euro-OAT |
19 | Sep-2024 | 2,544 | 2,506 | (21 | ) | ||||||||||||||
FTSE 100 Index |
38 | Sep-2024 | 3,950 | 3,944 | 7 | |||||||||||||||
FTSE MIB Index |
7 | Sep-2024 | 1,241 | 1,254 | 13 | |||||||||||||||
IBEX |
11 | Jul-2024 | 1,284 | 1,283 | (1 | ) | ||||||||||||||
Long Gilt 10-Year Bond |
10 | Sep-2024 | 1,246 | 1,233 | (6 | ) | ||||||||||||||
Long Gilt 10-Year Bond |
43 | Sep-2024 | 5,313 | 5,303 | 25 | |||||||||||||||
MSCI EAFE Index |
141 | Sep-2024 | 16,640 | 16,520 | (120 | ) | ||||||||||||||
MSCI Emerging Markets |
337 | Sep-2024 | 18,244 | 18,336 | 92 | |||||||||||||||
NASDAQ 100 Index E-MINI |
21 | Sep-2024 | 8,383 | 8,370 | (13 | ) | ||||||||||||||
Nikkei 225 Index |
195 | Sep-2024 | 4,864 | 4,798 | 52 | |||||||||||||||
OMX Stockholm 30 |
50 | Jul-2024 | 1,219 | 1,218 | 6 | |||||||||||||||
Russell 2000 Index E-MINI |
31 | Sep-2024 | 3,148 | 3,201 | 53 | |||||||||||||||
S&P 500 Index E-MINI |
153 | Sep-2024 | 42,041 | 42,240 | 199 | |||||||||||||||
S&P Mid Cap 400 Index E-MINI |
12 | Sep-2024 | 3,580 | 3,549 | (31 | ) | ||||||||||||||
S&P TSX 60 Index |
33 | Sep-2024 | 6,257 | 6,321 | 44 | |||||||||||||||
SPI 200 Index |
107 | Sep-2024 | 13,603 | 13,884 | 116 | |||||||||||||||
TOPIX Index |
11 | Sep-2024 | 1,938 | 1,922 | 19 | |||||||||||||||
U.S. 5-Year Treasury Note |
258 | Sep-2024 | 27,397 | 27,498 | 101 | |||||||||||||||
U.S. 10-Year Treasury Note |
184 | Sep-2024 | 20,130 | 20,238 | 108 | |||||||||||||||
U.S. Long Treasury Bond |
23 | Sep-2024 | 2,703 | 2,721 | 18 | |||||||||||||||
U.S. Ultra Long Treasury Bond |
30 | Sep-2024 | 3,750 | 3,760 | 10 | |||||||||||||||
218,522 | 219,146 | 648 | ||||||||||||||||||
Short Contracts |
||||||||||||||||||||
FTSE 100 Index |
(27) | Sep-2024 | $ | (2,826 | ) | $ | (2,803 | ) | $ | 14 | ||||||||||
Japanese 10-Year Bond |
(6) | Sep-2024 | (5,518 | ) | (5,328 | ) | 23 | |||||||||||||
SPI 200 Index |
(27) | Sep-2024 | (3,469 | ) | (3,504 | ) | (7 | ) | ||||||||||||
(11,813 | ) | (11,635 | ) | 30 | ||||||||||||||||
$ | 206,709 | $ | 207,511 | $ | 678 |
A list of the open forward foreign currency contracts held by the Fund at June 30, 2024, is as follows: |
||||||||||||||||||||||||
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
Bank of America |
07/19/24 | USD | 1,135 | NOK | 12,445 | $ | 35 | |||||||||||||||||
Bank of America |
07/19/24 | COP | 1,523,902 | USD | 386 | 20 | ||||||||||||||||||
Bank of America |
07/25/24 | USD | 767 | NZD | 1,257 | (1 | ) | |||||||||||||||||
Bank of America |
07/25/24 | PHP | 11,216 | USD | 194 | 2 | ||||||||||||||||||
Bank of America |
08/23/24 | TWD | 10,348 | USD | 318 | (1 | ) | |||||||||||||||||
Bank of America |
08/28/24 | JPY | 11,153,000 | USD | 72,148 | 2,151 | ||||||||||||||||||
Barclays PLC |
07/02/24 | USD | 1,134 | BRL | 5,852 | (81 | ) | |||||||||||||||||
Barclays PLC |
07/18/24 | KRW | 428,820 | USD | 310 | (2 | ) | |||||||||||||||||
Barclays PLC |
07/19/24 | COP | 1,155,230 | USD | 278 | — | ||||||||||||||||||
Barclays PLC |
07/19/24 | IDR | 8,252,768 | USD | 516 | 11 | ||||||||||||||||||
Barclays PLC |
07/25/24 | USD | 874 | PHP | 49,965 | (19 | ) | |||||||||||||||||
Barclays PLC |
07/25/24 | NZD | 2,925 | USD | 1,794 | 12 |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Capital Stability Fund (Continued)
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
Barclays PLC |
07/25/24 | PHP | 54,288 | USD | 946 | $ | 17 | |||||||||||||||||
Barclays PLC |
08/08/24 | EUR | 858 | CHF | 827 | 5 | ||||||||||||||||||
Barclays PLC |
08/16/24 | USD | 781 | JPY | 119,704 | (31 | ) | |||||||||||||||||
Barclays PLC |
08/21/24 | USD | 1,030 | MYR | 4,907 | 13 | ||||||||||||||||||
Barclays PLC |
08/21/24 | MYR | 6,415 | USD | 1,357 | (6 | ) | |||||||||||||||||
BNP Paribas |
07/02/24 | BRL | 1,054 | USD | 195 | 5 | ||||||||||||||||||
BNP Paribas |
07/19/24 | USD | 307 | CLP | 282,162 | (8 | ) | |||||||||||||||||
BNP Paribas |
07/19/24 | COP | 899,063 | USD | 233 | 17 | ||||||||||||||||||
BNP Paribas |
07/25/24 | USD | 697 | NZD | 1,129 | (10 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/11/24 | EUR | 317 | HUF | 122,232 | (8 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/11/24 | PLN | 312 | USD | 78 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/11/24 | PLN | 616 | USD | 153 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/11/24 | PLN | 967 | EUR | 226 | 1 | ||||||||||||||||||
Brown Brothers Harriman |
07/11/24 | USD | 317 | CZK | 7,534 | 5 | ||||||||||||||||||
Brown Brothers Harriman |
07/11/24 | USD | 687 | CZK | 15,611 | (19 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/11/24 | USD | 620 | PLN | 2,519 | 7 | ||||||||||||||||||
Brown Brothers Harriman |
07/11/24 | USD | 965 | PLN | 3,832 | (12 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/11/24 | USD | 1,835 | HUF | 682,018 | 15 | ||||||||||||||||||
Brown Brothers Harriman |
07/11/24 | USD | 906 | HUF | 329,614 | (12 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/11/24 | CZK | 22,923 | USD | 996 | 15 | ||||||||||||||||||
Brown Brothers Harriman |
07/11/24 | CZK | 19,754 | USD | 836 | (10 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/11/24 | HUF | 26,012 | USD | 73 | 3 | ||||||||||||||||||
Brown Brothers Harriman |
07/11/24 | HUF | 172,517 | USD | 466 | (2 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/12/24 | USD | 105 | THB | 3,858 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/12/24 | USD | 1,263 | THB | 46,142 | (4 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/12/24 | THB | 56,385 | USD | 1,542 | 4 | ||||||||||||||||||
Brown Brothers Harriman |
07/12/24 | THB | 28,095 | USD | 765 | (1 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/19/24 | USD | 955 | NOK | 10,425 | 24 | ||||||||||||||||||
Brown Brothers Harriman |
07/19/24 | USD | 250 | NOK | 2,643 | (2 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/19/24 | USD | 1,093 | SEK | 11,783 | 21 | ||||||||||||||||||
Brown Brothers Harriman |
07/19/24 | USD | 734 | SEK | 7,705 | (5 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/19/24 | NOK | 8,462 | USD | 801 | 6 | ||||||||||||||||||
Brown Brothers Harriman |
07/19/24 | NOK | 4,403 | USD | 398 | (16 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/19/24 | SEK | 4,987 | USD | 478 | 6 | ||||||||||||||||||
Brown Brothers Harriman |
07/19/24 | SEK | 32,567 | USD | 3,013 | (66 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/23/24 | USD | 913 | CNH | 6,636 | (2 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/23/24 | CNH | 3,511 | USD | 486 | 4 | ||||||||||||||||||
Brown Brothers Harriman |
07/25/24 | USD | 84 | MXN | 1,580 | 2 | ||||||||||||||||||
Brown Brothers Harriman |
07/25/24 | NZD | 142 | USD | 87 | — | ||||||||||||||||||
Brown Brothers Harriman |
07/25/24 | SGD | 456 | USD | 340 | 3 | ||||||||||||||||||
Brown Brothers Harriman |
07/25/24 | USD | 1,532 | NZD | 2,499 | (9 | ) | |||||||||||||||||
Brown Brothers Harriman |
07/25/24 | MXN | 16,454 | USD | 976 | 79 | ||||||||||||||||||
Brown Brothers Harriman |
08/08/24 | EUR | 586 | CHF | 561 | (2 | ) | |||||||||||||||||
Brown Brothers Harriman |
08/08/24 | EUR | 888 | USD | 957 | 3 | ||||||||||||||||||
Brown Brothers Harriman |
08/08/24 | USD | 448 | EUR | 419 | 2 | ||||||||||||||||||
Brown Brothers Harriman |
08/08/24 | USD | 467 | EUR | 434 | (1 | ) | |||||||||||||||||
Brown Brothers Harriman |
08/08/24 | USD | 820 | CHF | 742 | 10 | ||||||||||||||||||
Brown Brothers Harriman |
08/08/24 | USD | 608 | CHF | 540 | (3 | ) | |||||||||||||||||
Brown Brothers Harriman |
08/08/24 | CHF | 876 | USD | 987 | 7 | ||||||||||||||||||
Brown Brothers Harriman |
08/08/24 | CHF | 892 | USD | 996 | (2 | ) |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Capital Stability Fund (Continued)
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
Brown Brothers Harriman |
08/16/24 | USD | 2,248 | JPY | 350,392 | $ | (53 | ) | ||||||||||||||||
Brown Brothers Harriman |
08/16/24 | JPY | 24,995 | USD | 161 | 4 | ||||||||||||||||||
Brown Brothers Harriman |
08/22/24 | USD | 616 | ZAR | 11,445 | 8 | ||||||||||||||||||
Brown Brothers Harriman |
08/22/24 | ZAR | 10,211 | USD | 561 | 4 | ||||||||||||||||||
Brown Brothers Harriman |
08/22/24 | ZAR | 9,057 | USD | 493 | (2 | ) | |||||||||||||||||
Brown Brothers Harriman |
08/23/24 | USD | 156 | CAD | 215 | 1 | ||||||||||||||||||
Brown Brothers Harriman |
08/23/24 | CAD | 887 | USD | 649 | — | ||||||||||||||||||
Brown Brothers Harriman |
08/29/24 | GBP | 488 | USD | 619 | 2 | ||||||||||||||||||
Brown Brothers Harriman |
08/29/24 | USD | 590 | GBP | 465 | (2 | ) | |||||||||||||||||
Brown Brothers Harriman |
09/19/24 | USD | 175 | AUD | 263 | — | ||||||||||||||||||
Deutsche Bank |
07/02/24 | USD | 309 | BRL | 1,629 | (15 | ) | |||||||||||||||||
Deutsche Bank |
07/11/24 | PLN | 2,322 | USD | 586 | 9 | ||||||||||||||||||
Deutsche Bank |
07/11/24 | HUF | 282,112 | USD | 781 | 15 | ||||||||||||||||||
Deutsche Bank |
07/18/24 | KRW | 187,779 | USD | 136 | — | ||||||||||||||||||
Deutsche Bank |
07/19/24 | USD | 287 | PEN | 1,087 | (3 | ) | |||||||||||||||||
Deutsche Bank |
07/19/24 | USD | 906 | COP | 3,578,195 | (45 | ) | |||||||||||||||||
Deutsche Bank |
07/19/24 | USD | 109 | IDR | 1,790,731 | — | ||||||||||||||||||
Deutsche Bank |
07/19/24 | USD | 988 | IDR | 15,777,392 | (24 | ) | |||||||||||||||||
Deutsche Bank |
07/19/24 | USD | 1,308 | SEK | 13,645 | (18 | ) | |||||||||||||||||
Deutsche Bank |
07/19/24 | PEN | 2,044 | USD | 541 | 7 | ||||||||||||||||||
Deutsche Bank |
07/19/24 | COP | 583,748 | USD | 148 | 7 | ||||||||||||||||||
Deutsche Bank |
07/19/24 | IDR | 25,261,745 | USD | 1,575 | 31 | ||||||||||||||||||
Deutsche Bank |
07/25/24 | USD | 101 | PHP | 5,931 | 1 | ||||||||||||||||||
Deutsche Bank |
07/25/24 | MXN | 9,990 | USD | 550 | 6 | ||||||||||||||||||
Deutsche Bank |
08/02/24 | USD | 880 | BRL | 4,798 | (19 | ) | |||||||||||||||||
Deutsche Bank |
08/02/24 | BRL | 5,184 | USD | 951 | 21 | ||||||||||||||||||
Deutsche Bank |
08/08/24 | USD | 530 | CHF | 475 | 1 | ||||||||||||||||||
Deutsche Bank |
08/08/24 | EUR | 651 | USD | 701 | 2 | ||||||||||||||||||
Deutsche Bank |
08/08/24 | USD | 2,305 | EUR | 2,141 | (6 | ) | |||||||||||||||||
Deutsche Bank |
08/16/24 | USD | 663 | JPY | 104,441 | (9 | ) | |||||||||||||||||
Deutsche Bank |
08/16/24 | JPY | 384,790 | USD | 2,492 | 81 | ||||||||||||||||||
Deutsche Bank |
08/23/24 | TWD | 18,112 | USD | 565 | 5 | ||||||||||||||||||
Goldman Sachs |
07/02/24 | USD | 169 | BRL | 918 | (4 | ) | |||||||||||||||||
Goldman Sachs |
07/02/24 | BRL | 4,742 | USD | 908 | 54 | ||||||||||||||||||
Goldman Sachs |
07/18/24 | USD | 340 | KRW | 467,986 | — | ||||||||||||||||||
Goldman Sachs |
07/18/24 | KRW | 581,434 | USD | 428 | 5 | ||||||||||||||||||
Goldman Sachs |
07/19/24 | USD | 165 | CLP | 150,823 | (6 | ) | |||||||||||||||||
Goldman Sachs |
07/19/24 | USD | 86 | COP | 360,174 | — | ||||||||||||||||||
Goldman Sachs |
07/19/24 | USD | 214 | COP | 838,609 | (13 | ) | |||||||||||||||||
Goldman Sachs |
07/19/24 | EUR | 804 | SEK | 9,116 | — | ||||||||||||||||||
Goldman Sachs |
07/19/24 | PEN | 2,182 | USD | 581 | 11 | ||||||||||||||||||
Goldman Sachs |
07/19/24 | USD | 2,952 | IDR | 47,895,189 | (25 | ) | |||||||||||||||||
Goldman Sachs |
07/19/24 | SEK | 16,370 | USD | 1,554 | 7 | ||||||||||||||||||
Goldman Sachs |
07/19/24 | CLP | 63,587 | USD | 69 | 2 | ||||||||||||||||||
Goldman Sachs |
07/19/24 | IDR | 19,119,006 | USD | 1,183 | 14 | ||||||||||||||||||
Goldman Sachs |
07/25/24 | USD | 1,625 | MXN | 27,203 | (143 | ) | |||||||||||||||||
Goldman Sachs |
07/25/24 | USD | 116 | PHP | 6,780 | — | ||||||||||||||||||
Goldman Sachs |
07/25/24 | USD | 2,095 | PHP | 119,516 | (51 | ) | |||||||||||||||||
Goldman Sachs |
07/25/24 | PHP | 94,859 | USD | 1,663 | 40 | ||||||||||||||||||
Goldman Sachs |
08/08/24 | EUR | 1,277 | USD | 1,366 | (5 | ) |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Capital Stability Fund (Continued)
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
Goldman Sachs |
08/16/24 | USD | 570 | JPY | 88,648 | $ | (15 | ) | ||||||||||||||||
Goldman Sachs |
08/16/24 | JPY | 91,254 | USD | 595 | 23 | ||||||||||||||||||
Goldman Sachs |
08/21/24 | USD | 2,047 | MYR | 9,694 | 13 | ||||||||||||||||||
Goldman Sachs |
08/21/24 | USD | 3,840 | MYR | 18,022 | (11 | ) | |||||||||||||||||
Goldman Sachs |
08/21/24 | MYR | 15,500 | USD | 3,314 | 21 | ||||||||||||||||||
Goldman Sachs |
08/21/24 | MYR | 3,039 | USD | 638 | (8 | ) | |||||||||||||||||
Goldman Sachs |
08/23/24 | USD | 511 | TWD | 16,440 | (4 | ) | |||||||||||||||||
Goldman Sachs |
08/23/24 | USD | 3,899 | CAD | 5,362 | 25 | ||||||||||||||||||
Goldman Sachs |
08/23/24 | CAD | 4,025 | USD | 2,927 | (19 | ) | |||||||||||||||||
Goldman Sachs |
08/23/24 | TWD | 17,671 | USD | 545 | — | ||||||||||||||||||
Goldman Sachs |
09/18/24 | CNY | 5,857 | USD | 824 | 3 | ||||||||||||||||||
HSBC |
07/19/24 | USD | 497 | IDR | 7,913,115 | (14 | ) | |||||||||||||||||
HSBC |
07/19/24 | CLP | 386,367 | USD | 426 | 17 | ||||||||||||||||||
HSBC |
08/16/24 | JPY | 138,287 | USD | 878 | 12 | ||||||||||||||||||
JPMorgan Chase Bank |
07/11/24 | CZK | 12,394 | USD | 533 | 2 | ||||||||||||||||||
JPMorgan Chase Bank |
07/18/24 | USD | 652 | KRW | 896,371 | (1 | ) | |||||||||||||||||
JPMorgan Chase Bank |
07/19/24 | PEN | 1,102 | USD | 295 | 8 | ||||||||||||||||||
JPMorgan Chase Bank |
07/19/24 | SEK | 7,825 | USD | 716 | (24 | ) | |||||||||||||||||
JPMorgan Chase Bank |
07/19/24 | CLP | 94,648 | USD | 105 | 4 | ||||||||||||||||||
JPMorgan Chase Bank |
07/19/24 | COP | 957,829 | USD | 241 | 10 | ||||||||||||||||||
JPMorgan Chase Bank |
07/19/24 | IDR | 2,293,745 | USD | 141 | 1 | ||||||||||||||||||
JPMorgan Chase Bank |
07/23/24 | CNH | 4,069 | USD | 564 | 6 | ||||||||||||||||||
JPMorgan Chase Bank |
08/23/24 | USD | 544 | CAD | 742 | (1 | ) | |||||||||||||||||
JPMorgan Chase Bank |
09/13/24 | USD | 534 | INR | 44,690 | 1 | ||||||||||||||||||
JPMorgan Chase Bank |
09/13/24 | INR | 87,974 | USD | 1,051 | (2 | ) | |||||||||||||||||
Merrill Lynch |
07/02/24 | USD | 175 | BRL | 920 | (9 | ) | |||||||||||||||||
Merrill Lynch |
07/02/24 | BRL | 2,788 | USD | 522 | 20 | ||||||||||||||||||
Merrill Lynch |
07/18/24 | USD | 183 | KRW | 253,189 | 1 | ||||||||||||||||||
Merrill Lynch |
07/18/24 | KRW | 439,019 | USD | 318 | (1 | ) | |||||||||||||||||
Merrill Lynch |
07/19/24 | USD | 132 | CLP | 117,470 | (7 | ) | |||||||||||||||||
Merrill Lynch |
07/19/24 | USD | 232 | COP | 957,829 | (1 | ) | |||||||||||||||||
Merrill Lynch |
07/19/24 | USD | 802 | NOK | 8,549 | 2 | ||||||||||||||||||
Merrill Lynch |
07/19/24 | USD | 1,006 | IDR | 16,201,616 | (16 | ) | |||||||||||||||||
Merrill Lynch |
07/19/24 | USD | 1,657 | SEK | 18,015 | 46 | ||||||||||||||||||
Merrill Lynch |
07/19/24 | NOK | 21,205 | USD | 1,934 | (59 | ) | |||||||||||||||||
Merrill Lynch |
07/19/24 | COP | 254,861 | USD | 66 | 5 | ||||||||||||||||||
Merrill Lynch |
07/19/24 | IDR | 25,441,296 | USD | 1,560 | 6 | ||||||||||||||||||
Merrill Lynch |
07/23/24 | CNH | 15,892 | USD | 2,202 | 20 | ||||||||||||||||||
Merrill Lynch |
07/25/24 | USD | 389 | PHP | 22,960 | 3 | ||||||||||||||||||
Merrill Lynch |
07/25/24 | USD | 189 | PHP | 10,806 | (4 | ) | |||||||||||||||||
Merrill Lynch |
07/25/24 | USD | 3,554 | NZD | 5,796 | (24 | ) | |||||||||||||||||
Merrill Lynch |
07/25/24 | NZD | 3,801 | USD | 2,320 | 5 | ||||||||||||||||||
Merrill Lynch |
07/25/24 | PHP | 47,739 | USD | 823 | 7 | ||||||||||||||||||
Merrill Lynch |
07/25/24 | PHP | 14,813 | USD | 252 | (2 | ) | |||||||||||||||||
Merrill Lynch |
08/02/24 | USD | 227 | BRL | 1,263 | (1 | ) | |||||||||||||||||
Merrill Lynch |
09/13/24 | USD | 1,658 | INR | 138,835 | 4 | ||||||||||||||||||
Morgan Stanley |
07/02/24 | BRL | 1,121 | USD | 207 | 5 | ||||||||||||||||||
Morgan Stanley |
07/11/24 | HUF | 653,563 | USD | 1,757 | (17 | ) | |||||||||||||||||
Morgan Stanley |
07/18/24 | USD | 989 | KRW | 1,351,857 | (6 | ) | |||||||||||||||||
Morgan Stanley |
07/18/24 | KRW | 5,633 | USD | 4 | — |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Capital Stability Fund (Continued)
Counterparty |
Settlement Date |
Currency to Deliver |
Currency to Receive |
Unrealized Appreciation |
||||||||||||||||||||
Morgan Stanley |
07/18/24 | KRW | 278,351 | USD | 203 | $ | 1 | |||||||||||||||||
Morgan Stanley |
07/19/24 | USD | 693 | PEN | 2,571 | (21 | ) | |||||||||||||||||
Morgan Stanley |
07/19/24 | USD | 1,758 | CLP | 1,640,756 | (20 | ) | |||||||||||||||||
Morgan Stanley |
07/19/24 | CLP | 1,454,114 | USD | 1,558 | 18 | ||||||||||||||||||
Morgan Stanley |
07/25/24 | USD | 333 | PHP | 19,550 | 1 | ||||||||||||||||||
Morgan Stanley |
07/25/24 | USD | 86 | PHP | 5,010 | — | ||||||||||||||||||
Morgan Stanley |
08/08/24 | CHF | 1,779 | USD | 1,977 | (12 | ) | |||||||||||||||||
Morgan Stanley |
08/16/24 | JPY | 83,345 | USD | 535 | 13 | ||||||||||||||||||
Morgan Stanley |
08/21/24 | USD | 1,340 | MYR | 6,283 | (5 | ) | |||||||||||||||||
Morgan Stanley |
08/21/24 | MYR | 2,167 | USD | 461 | 1 | ||||||||||||||||||
Morgan Stanley |
08/21/24 | MYR | 2,901 | USD | 618 | 1 | ||||||||||||||||||
Morgan Stanley |
08/21/24 | MYR | 1,894 | USD | 398 | (5 | ) | |||||||||||||||||
Morgan Stanley |
08/23/24 | USD | 3,323 | TWD | 105,887 | (53 | ) | |||||||||||||||||
Morgan Stanley |
08/23/24 | TWD | 64,022 | USD | 2,009 | 32 | ||||||||||||||||||
Morgan Stanley |
08/29/24 | GBP | 988 | USD | 1,254 | 4 | ||||||||||||||||||
Morgan Stanley |
08/29/24 | USD | 2,165 | GBP | 1,707 | (6 | ) | |||||||||||||||||
Morgan Stanley |
09/19/24 | USD | 2,601 | AUD | 3,909 | 15 | ||||||||||||||||||
Morgan Stanley |
09/19/24 | AUD | 2,699 | USD | 1,796 | (10 | ) | |||||||||||||||||
$ | 2,043 |
A list of the open OTC swap agreements held by the Fund at June 30, 2024, 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 |
Pay Gold EQ Index | Goldman Sachs Weekly TY Volatility Carry Strategy | Negative Index Return | Quarterly | 08/22/2024 | USD | 2,134 | $ | 97 | $ | – | $ | 97 | |||||||||||||||||||||||||||
Goldman Sachs |
Pay Gold EQ Index | Goldman Sachs Weekly TY Volatility Carry Strategy | Negative Index Return | Quarterly | 08/22/2024 | USD | 1,095 | 18 | – | 18 | ||||||||||||||||||||||||||||||
$ | 115 | $ | – | $ | 115 |
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
Multi-Asset Capital Stability Fund (Concluded)
A list of the open centrally cleared swap agreements held by the Fund at June 30, 2024, is as follows:
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.S42.V1-5Y |
5.00% | Quarterly | 06/20/2029 | $ | 7,310 | $ | 464 | $ | 490 | $ | (26 | ) | ||||||||||||||||
CDX.NA.IG.S42.V1-5Y |
1.00% | Quarterly | 06/20/2029 | 6,070 | 125 | 131 | (6 | ) | ||||||||||||||||||||
ITRAXX.XOVER.S39.V1-5Y |
5.00% | Quarterly | 06/20/2028 | 1,283 | 113 | 96 | 17 | |||||||||||||||||||||
$ | 702 | $ | 717 | $ | (15 | ) |
Interest Rate Swaps |
||||||||||||||||||||||||||||||||||||
Fund Pays |
Fund Receives |
Payment Frequency |
Termination Date |
Currency |
Notional Amount |
Value |
Upfront Payments/ Receipts |
Net Unrealized |
||||||||||||||||||||||||||||
3-MONTH NZD - BKBM |
4.5675 | Quarterly | 05/10/2034 | NZD | 280 | $ | 1 | $ | – | $ | 1 | |||||||||||||||||||||||||
3-MONTH NZD - BKBM |
4.371% | Quarterly | 06/18/2034 | NZD | 1,310 | (8 | ) | – | (8 | ) | ||||||||||||||||||||||||||
6-MONTH AUD - BBSW |
4.2965% | Semi-Annually | 06/17/2034 | AUD | 1,380 | (17 | ) | – | (17 | ) | ||||||||||||||||||||||||||
3-MONTH NZD - BKBM |
4.6% | Quarterly | 06/12/2034 | NZD | 1,570 | 8 | – | 8 | ||||||||||||||||||||||||||||
6-MONTH AUD - BBSW |
4.496% | Semi-Annually | 06/12/2034 | AUD | 1,740 | (3 | ) | – | (3 | ) | ||||||||||||||||||||||||||
3-MONTH NZD - BKBM |
4.47% | Quarterly | 05/21/2034 | NZD | 1,530 | (2 | ) | – | (2 | ) | ||||||||||||||||||||||||||
6-MONTH AUD - BBSW |
4.429% | Semi-Annually | 05/20/2034 | AUD | 1,620 | (9 | ) | – | (9 | ) | ||||||||||||||||||||||||||
3-MONTH NZD - BKBM |
4.595 | Quarterly | 05/14/2034 | NZD | 340 | 2 | – | 2 | ||||||||||||||||||||||||||||
6-MONTH AUD - BBSW |
4.559 | Semi-Annually | 05/13/2034 | AUD | 370 | – | – | – | ||||||||||||||||||||||||||||
3-MONTH NZD - BKBM |
4.401% | Quarterly | 06/26/2034 | NZD | 1,000 | (5 | ) | – | (5 | ) | ||||||||||||||||||||||||||
6-MONTH AUD - BBSW |
4.524 | Semi-Annually | 05/09/2034 | AUD | 290 | – | – | – | ||||||||||||||||||||||||||||
3-MONTH NZD - BKBM |
4.3625% | Quarterly | 03/12/2034 | NZD | 1,460 | (9 | ) | – | (9 | ) | ||||||||||||||||||||||||||
3-MONTH AUD - BBSW |
4.2255% | Semi-Annually | 03/11/2034 | AUD | 1,560 | (25 | ) | – | (25 | ) | ||||||||||||||||||||||||||
6-MONTH AUD - BBSW |
4.3965% | Semi-Annually | 06/25/2034 | AUD | 1,060 | (8 | ) | – | (8 | ) | ||||||||||||||||||||||||||
3-MONTH NZD - BKBM |
4.7725 | Quarterly | 12/04/2033 | NZD | 160 | 2 | – | 2 | ||||||||||||||||||||||||||||
6-MONTH AUD - BBSW |
4.7295 | Semi-Annually | 12/01/2033 | AUD | 210 | 2 | – | 2 | ||||||||||||||||||||||||||||
6-MONTH AUD - BBSW |
4.5395 | Semi-Annually | 12/13/2033 | AUD | 1,790 | 2 | – | 2 | ||||||||||||||||||||||||||||
3-MONTH NZD - BKBM |
4.7175 | Quarterly | 12/14/2033 | NZD | 1,690 | 18 | – | 18 | ||||||||||||||||||||||||||||
6-MONTH AUD - BBSW |
4.178 | Semi-Annually | 12/28/2033 | AUD | 1,040 | (19 | ) | – | (19 | ) | ||||||||||||||||||||||||||
3-MONTH NZD - BKBM |
4.178 | Quarterly | 12/29/2033 | NZD | 1,020 | (15 | ) | – | (15 | ) | ||||||||||||||||||||||||||
$ | (85 | ) | $ | – | $ | (85 | ) |
|
Percentages are based on Net Assets of $517,974 ($ Thousands). |
* |
Non-income producing security. |
(A) |
Interest rate represents the security's effective yield at the time of purchase. |
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):
June 30, 2024 (Unaudited)