Consolidated Schedule of Investments
July 31, 2022
(Unaudited)
Interest Rate | Maturity Date | Principal Amount (000) | Value | |||||||||||||
| ||||||||||||||||
U.S. Treasury Securities–40.55%(a) | ||||||||||||||||
U.S. Treasury Bills–12.84% | ||||||||||||||||
U.S. Treasury Bills | 0.73% | 09/08/2022 | $ | 9,400 | $ | 9,392,819 | ||||||||||
| ||||||||||||||||
U.S. Treasury Bills | 1.48% | 11/25/2022 | 10,630 | 10,542,914 | ||||||||||||
| ||||||||||||||||
U.S. Treasury Bills | 1.74% | 12/08/2022 | 1,540 | 1,525,748 | ||||||||||||
| ||||||||||||||||
21,461,481 | ||||||||||||||||
| ||||||||||||||||
U.S. Treasury Floating Rate Notes–27.71% | ||||||||||||||||
U.S. Treasury Floating Rate Notes (3 mo. U.S. Treasury Bill Money Market Yield Rate - 0.02%)(b) | 2.49% | 01/31/2024 | 23,500 | 23,559,257 | ||||||||||||
| ||||||||||||||||
U.S. Treasury Floating Rate Notes (3 mo. U.S. Treasury Bill Money Market Yield Rate - 0.08%)(b) | 2.43% | 04/30/2024 | 22,700 | 22,725,970 | ||||||||||||
| ||||||||||||||||
46,285,227 | ||||||||||||||||
| ||||||||||||||||
Total U.S. Treasury Securities (Cost $67,702,974) | 67,746,708 | |||||||||||||||
| ||||||||||||||||
Shares | ||||||||||||||||
Money Market Funds–43.45% | ||||||||||||||||
Invesco Government & Agency Portfolio, Institutional Class, 1.71%(c)(d) | 29,109,308 | 29,109,308 | ||||||||||||||
| ||||||||||||||||
Invesco Liquid Assets Portfolio, Institutional Class, 1.67%(c)(d) | 11,148,136 | 11,148,136 | ||||||||||||||
| ||||||||||||||||
Invesco STIC (Global Series) PLC, U.S. Dollar Liquidity Portfolio (Ireland), Institutional Class, 1.68%(c)(d) | 14,727,219 | 14,727,219 | ||||||||||||||
| ||||||||||||||||
Invesco Treasury Portfolio, Institutional Class, 1.66%(c)(d) | 17,590,066 | 17,590,066 | ||||||||||||||
| ||||||||||||||||
Total Money Market Funds (Cost $72,572,137) | 72,574,729 | |||||||||||||||
| ||||||||||||||||
Options Purchased–3.77% | ||||||||||||||||
(Cost $8,952,652)(e) | 6,300,115 | |||||||||||||||
| ||||||||||||||||
TOTAL INVESTMENTS IN SECURITIES–87.77% (Cost $149,227,763) | 146,621,552 | |||||||||||||||
| ||||||||||||||||
OTHER ASSETS LESS LIABILITIES–12.23% | 20,425,310 | |||||||||||||||
| ||||||||||||||||
NET ASSETS–100.00% | $ | 167,046,862 | ||||||||||||||
|
Notes to Consolidated Schedule of Investments:
(a) | Security traded on a discount basis. The interest rate shown represents the discount rate at the time of purchase by the Fund. |
(b) | Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on July 31, 2022. |
(c) | Affiliated issuer. The issuer and/or the Fund is a wholly-owned subsidiary of Invesco Ltd., or is affiliated by having an investment adviser that is under common control of Invesco Ltd. The table below shows the Fund’s transactions in, and earnings from, its investments in affiliates for the nine months ended July 31, 2022. |
Value October 31, 2021 | Purchases at Cost | Proceeds from Sales | Change in Unrealized Appreciation | Realized Gain (Loss) | Value July 31, 2022 | Dividend Income | ||||||||||||||||||||||
| ||||||||||||||||||||||||||||
Investments in Affiliated Money Market Funds: | ||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||
Invesco Government & Agency Portfolio, Institutional Class | $ 53,989,266 | $ 99,509,760 | $(124,389,718) | $ - | $ - | $29,109,308 | $121,723 | |||||||||||||||||||||
| ||||||||||||||||||||||||||||
Invesco Liquid Assets Portfolio, Institutional Class | 18,897,176 | 71,078,400 | (78,821,226) | 3,286 | (9,500) | 11,148,136 | 35,319 | |||||||||||||||||||||
| ||||||||||||||||||||||||||||
Invesco STIC (Global Series) PLC, U.S. Dollar Liquidity Portfolio, Institutional Class | 20,435,916 | 77,183,569 | (82,892,266) | - | - | 14,727,219 | 37,463 | |||||||||||||||||||||
| ||||||||||||||||||||||||||||
Invesco Treasury Portfolio, Institutional Class | 29,978,590 | 113,725,440 | (126,113,964) | - | - | 17,590,066 | 48,347 | |||||||||||||||||||||
| ||||||||||||||||||||||||||||
Total | $123,300,948 | $361,497,169 | $(412,217,174) | $3,286 | $(9,500) | $72,574,729 | $242,852 | |||||||||||||||||||||
|
(d) | The rate shown is the 7-day SEC standardized yield as of July 31, 2022. |
(e) | The table below details options purchased. |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco Macro Allocation Strategy Fund
Open Exchange-Traded Index Options Purchased(a) | ||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Description | Type of Contract | Expiration Date | Number of Contracts | Exercise Price | Notional Value* | Value | ||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Equity Risk | ||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
S&P 500 Index | Put | 09/16/2022 | 17 | USD | 4,350.00 | USD | 7,395,000 | $ | 417,775 | |||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
S&P 500 Index | Put | 10/21/2022 | 17 | USD | 4,250.00 | USD | 7,225,000 | 361,250 | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
S&P 500 Index | Put | 08/19/2022 | 17 | USD | 4,250.00 | USD | 7,225,000 | 239,190 | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
S&P 500 Index | Put | 11/18/2022 | 17 | USD | 4,450.00 | USD | 7,565,000 | 617,610 | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
S&P 500 Index | Put | 12/16/2022 | 17 | USD | 4,475.00 | USD | 7,607,500 | 671,500 | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
S&P 500 Index | Put | 01/20/2023 | 17 | USD | 4,650.00 | USD | 7,905,000 | 903,550 | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
S&P 500 Index | Put | 02/17/2023 | 17 | USD | 4,375.00 | USD | 7,437,500 | 611,490 | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
S&P 500 Index | Put | 03/17/2023 | 17 | USD | 4,175.00 | USD | 7,097,500 | 477,530 | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
S&P 500 Index | Put | 04/21/2023 | 17 | USD | 4,450.00 | USD | 7,565,000 | 734,060 | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
S&P 500 Index | Put | 06/16/2023 | 17 | USD | 4,025.00 | USD | 6,842,500 | 461,125 | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
S&P 500 Index | Put | 07/21/2023 | 17 | USD | 3,750.00 | USD | 6,375,000 | 350,030 | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
S&P 500 Index | Put | 05/19/2023 | 17 | USD | 4,050.00 | USD | 6,885,000 | 455,005 | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Total Index Options Purchased | $ | 6,300,115 | ||||||||||||||||||||||||||||||
|
(a) | Open Exchange-Traded Index Options Purchased collateralized by $4,095,000 cash held with Morgan Stanley & Co. |
* | Notional Value is calculated by multiplying the Number of Contracts by the Exercise Price by the multiplier. |
Open Futures Contracts(a) | ||||||||||||||||||||
| ||||||||||||||||||||
Long Futures Contracts | Number of Contracts | Expiration Month | Notional Value | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
| ||||||||||||||||||||
Commodity Risk | ||||||||||||||||||||
| ||||||||||||||||||||
Low Sulphur Gas Oil | 3 | December-2022 | $ | 307,200 | $ | 12,546 | $ | 12,546 | ||||||||||||
| ||||||||||||||||||||
Soybean Meal | 65 | December-2022 | 2,720,250 | 188,305 | 188,305 | |||||||||||||||
| ||||||||||||||||||||
Brent Crude | 13 | September-2022 | 1,318,720 | (41,651 | ) | (41,651 | ) | |||||||||||||
| ||||||||||||||||||||
Coffee ‘C’ | 31 | September-2022 | 2,524,950 | (207,044 | ) | (207,044 | ) | |||||||||||||
| ||||||||||||||||||||
Cotton No. 2 | 17 | December-2022 | 822,290 | (238,882 | ) | (238,882 | ) | |||||||||||||
| ||||||||||||||||||||
Gasoline Reformulated Blendstock Oxygenate Blending | 9 | August-2022 | 1,176,790 | 28,369 | 28,369 | |||||||||||||||
| ||||||||||||||||||||
LME Primary Aluminum | 169 | October-2022 | 10,586,752 | 171,603 | 171,603 | |||||||||||||||
| ||||||||||||||||||||
New York Harbor Ultra-Low Sulfur Diesel | 3 | November-2022 | 428,803 | (34,386 | ) | (34,386 | ) | |||||||||||||
| ||||||||||||||||||||
Soybeans | 11 | November-2022 | 807,675 | (26,955 | ) | (26,955 | ) | |||||||||||||
| ||||||||||||||||||||
WTI Crude | 6 | September-2022 | 580,500 | (33,247 | ) | (33,247 | ) | |||||||||||||
| ||||||||||||||||||||
Subtotal | (181,342 | ) | (181,342 | ) | ||||||||||||||||
| ||||||||||||||||||||
Equity Risk | ||||||||||||||||||||
| ||||||||||||||||||||
E-Mini Russell 2000 Index | 18 | September-2022 | 1,696,770 | 58,555 | 58,555 | |||||||||||||||
| ||||||||||||||||||||
E-Mini S&P 500 Index | 72 | September-2022 | 14,880,600 | 1,256,702 | 1,256,702 | |||||||||||||||
| ||||||||||||||||||||
EURO STOXX 50 Index | 23 | September-2022 | 870,234 | 43,006 | 43,006 | |||||||||||||||
| ||||||||||||||||||||
FTSE 100 Index | 41 | September-2022 | 3,683,571 | 119,466 | 119,466 | |||||||||||||||
| ||||||||||||||||||||
S&P/TSX 60 Index | 4 | September-2022 | 741,556 | (18,450 | ) | (18,450 | ) | |||||||||||||
| ||||||||||||||||||||
Subtotal | 1,459,279 | 1,459,279 | ||||||||||||||||||
| ||||||||||||||||||||
Interest Rate Risk | ||||||||||||||||||||
| ||||||||||||||||||||
Australia 10 Year Bonds | 600 | September-2022 | 52,388,958 | 2,308,414 | 2,308,414 | |||||||||||||||
| ||||||||||||||||||||
Canada 10 Year Bonds | 319 | September-2022 | 32,496,623 | 1,350,699 | 1,350,699 | |||||||||||||||
| ||||||||||||||||||||
Euro-Bund | 128 | September-2022 | 20,622,837 | 956,941 | 956,941 | |||||||||||||||
| ||||||||||||||||||||
Japan 10 Year Bonds | 23 | September-2022 | 25,959,730 | 215,177 | 215,177 | |||||||||||||||
| ||||||||||||||||||||
Long Gilt | 84 | September-2022 | 12,089,245 | 307,832 | 307,832 | |||||||||||||||
| ||||||||||||||||||||
U.S. Treasury Long Bonds | 55 | September-2022 | 7,920,000 | 160,917 | 160,917 | |||||||||||||||
| ||||||||||||||||||||
Subtotal | 5,299,980 | 5,299,980 | ||||||||||||||||||
| ||||||||||||||||||||
Subtotal-Long Futures Contracts | 6,577,917 | 6,577,917 | ||||||||||||||||||
|
See accompanying notes which are an integral part of this consolidated schedule.
Invesco Macro Allocation Strategy Fund
Open Futures Contracts(a)-(continued) | ||||||||||||||||||||
| ||||||||||||||||||||
Short Futures Contracts | Number of Contracts | Expiration Month | Notional Value | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
| ||||||||||||||||||||
Commodity Risk | ||||||||||||||||||||
| ||||||||||||||||||||
Gold 100 oz. | 18 | December-2022 | $ | (3,207,240 | ) | $ | (101,748 | ) | $ (101,748 | ) | ||||||||||
| ||||||||||||||||||||
Soybean Oil | 29 | December-2022 | (1,142,484 | ) | (131,457 | ) | (131,457 | ) | ||||||||||||
| ||||||||||||||||||||
Cocoa | 53 | September-2022 | (1,231,190 | ) | 91,375 | 91,375 | ||||||||||||||
| ||||||||||||||||||||
Corn | 59 | December-2022 | (1,829,000 | ) | 217,044 | 217,044 | ||||||||||||||
| ||||||||||||||||||||
Kansas City Wheat | 9 | December-2022 | (396,675 | ) | 5,482 | 5,482 | ||||||||||||||
| ||||||||||||||||||||
Lean Hogs | 95 | December-2022 | (3,338,300 | ) | (184,776 | ) | (184,776 | ) | ||||||||||||
| ||||||||||||||||||||
Live Cattle | 8 | December-2022 | (474,080 | ) | 4,786 | 4,786 | ||||||||||||||
| ||||||||||||||||||||
LME Primary Aluminum | 169 | October-2022 | (10,586,752 | ) | 1,201,446 | 1,201,446 | ||||||||||||||
| ||||||||||||||||||||
LME Nickel | 12 | September-2022 | (1,699,488 | ) | 35,297 | 35,297 | ||||||||||||||
| ||||||||||||||||||||
Natural Gas | 43 | November-2022 | (3,600,820 | ) | (901,291 | ) | (901,291 | ) | ||||||||||||
| ||||||||||||||||||||
Silver | 17 | September-2022 | (1,716,745 | ) | (35,436 | ) | (35,436 | ) | ||||||||||||
| ||||||||||||||||||||
Sugar No. 11 | 30 | February-2023 | (594,384 | ) | 20,244 | 20,244 | ||||||||||||||
| ||||||||||||||||||||
Wheat | 62 | December-2022 | (2,559,825 | ) | 743,800 | 743,800 | ||||||||||||||
| ||||||||||||||||||||
Subtotal | 964,766 | 964,766 | ||||||||||||||||||
| ||||||||||||||||||||
Equity Risk | ||||||||||||||||||||
| ||||||||||||||||||||
MSCI EAFE Index | 127 | September-2022 | (12,395,835 | ) | 231,517 | 231,517 | ||||||||||||||
| ||||||||||||||||||||
MSCI Emerging Markets Index | 203 | September-2022 | (10,134,775 | ) | 28,914 | 28,914 | ||||||||||||||
| ||||||||||||||||||||
Tokyo Stock Price Index | 1 | September-2022 | (145,294 | ) | (5,714 | ) | (5,714 | ) | ||||||||||||
| ||||||||||||||||||||
Subtotal | 254,717 | 254,717 | ||||||||||||||||||
| ||||||||||||||||||||
Subtotal-Short Futures Contracts | 1,219,483 | 1,219,483 | ||||||||||||||||||
| ||||||||||||||||||||
Total Futures Contracts | $ | 7,797,400 | $7,797,400 | |||||||||||||||||
|
(a) | Futures contracts collateralized by $6,938,146 cash held with Goldman Sachs & Co. LLC, the futures commission merchant. |
Open Over-The-Counter Total Return Swap Agreements(a) | ||||||||||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Counterparty | Pay/ Receive | Reference Entity(b) | Fixed Rate | Payment Frequency | Number of Contracts | Maturity Date | Notional Value | Upfront Payments Paid (Received) | Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Commodity Risk | ||||||||||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Macquarie Bank Ltd. | Receive | Macquarie F6 Carry Alpha Index | (0.32 | )% | Monthly | 194,250 | April-2023 | USD | 50,592,743 | | $– | $ | 82,071 | $ 82,071 | ||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Merrill Lynch International | Pay | MLCX Dynamic Enhanced Copper Excess Return Index | 0.10 | Monthly | 830 | July-2023 | USD | (613,361 | ) | – | 0 | 0 | ||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Subtotal - Appreciation | – | 82,071 | 82,071 | |||||||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Commodity Risk | ||||||||||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Morgan Stanley Capital Services LLC | Pay | S&P GSCI Aluminum Dynamic Roll Index Excess Return | 0.03 | Monthly | 28,300 | June-2023 | USD | (3,205,300 | ) | – | (101,416 | ) | (101,416) | |||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||
Total – Total Return Swap Agreements | $– | $ | (19,345 | ) | $ (19,345) | |||||||||||||||||||||||||||||||||||
|
(a) | The Fund receives or pays payments based on any positive or negative return on the Reference Entity, respectively. |
(b) | The Reference Entity Components table below includes additional information regarding the underlying components of certain reference entities that are not publicly available. |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco Macro Allocation Strategy Fund
Open Over-The-Counter Total Return Swap Agreements(a) | ||||||||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||
Counterparty | Pay/ Receive | Reference Entity | Floating Rate Index | Payment Frequency | Number of Contracts | Maturity Date | Notional Value | Upfront Payments Paid (Received) | Value | Unrealized Appreciation | ||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||
Commodity Risk | ||||||||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||
BNP Paribas S.A. | Receive | Invesco U.S. Low Volatility Total Return Index | | SOFR + 0.600% | | Monthly | 666 | September-2022 | USD | 4,001,448 | $– | $ | 134,673 | $ 134,673 | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||
BNP Paribas S.A. | Receive | Invesco US Large Cap Broad Quality Total Return Index | | SOFR + 0.280% | | Monthly | 475 | November-2022 | USD | 3,993,871 | – | 251,958 | 251,958 | |||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||
BNP Paribas S.A. | Receive | MSCI EAFE Minimum Volatility Daily Net Total Return Index | | SOFR + 0.230% | | Monthly | 2,120 | September-2022 | USD | 3,965,714 | – | 126,818 | 126,818 | |||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||
Citibank, N.A. | Receive | MSCI EAFE Momentum Index | | SOFR + 0.10% | | Monthly | 690 | October-2022 | USD | 3,904,924 | – | 155,174 | 155,174 | |||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||
Citibank, N.A. | Receive | MSCI EAFE Quality Index | | SOFR + 0.14% | | Monthly | 990 | October-2022 | USD | 4,001,946 | – | 240,348 | 240,348 | |||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||
J.P. Morgan Chase Bank, N.A. | Receive | Invesco Emerging Markets + Korea Large Cap Broad Price Momentum Index | | SOFR + 0.550% | | Monthly | 920 | November-2022 | USD | 5,700,339 | – | 256,723 | 256,723 | |||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||
J.P. Morgan Chase Bank, N.A. | Receive | Invesco US Large Cap Broad Price Momentum Index | | SOFR + 0.280% | | Monthly | 580 | November-2022 | USD | 3,975,047 | – | 273,952 | 273,952 | |||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||
J.P. Morgan Chase Bank, N.A. | Receive | MSCI Emerging Markets Minimum Volatility Index | | SOFR + 0.680% | | Monthly | 3,220 | December-2022 | USD | 5,907,283 | – | 62,854 | 62,854 | |||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||
Total – Total Return Swap Agreements |
| $– | $ | 1,502,500 | $1,502,500 | |||||||||||||||||||||||||||||||||
|
(a) | The Fund receives or pays payments based on any positive or negative return on the Reference Entity, respectively. |
Reference Entity Components | ||||||
| ||||||
Reference Entity | Underlying Components | Percentage | ||||
| ||||||
MLCX Dynamic Enhanced Copper Excess Return Index | ||||||
Long Futures Contracts | ||||||
| ||||||
Copper | 100% | |||||
| ||||||
Macquarie F6 Carry Alpha Index |
See accompanying notes which are an integral part of this consolidated schedule.
Invesco Macro Allocation Strategy Fund
Reference Entity Components–(continued) | ||||||
| ||||||
Reference Entity | Underlying Components | Percentage | ||||
| ||||||
Long Futures Contracts | ||||||
| ||||||
Aluminum | 4.50% | |||||
| ||||||
Coffee ‘C’ | 3.04% | |||||
| ||||||
Copper | 5.50% | |||||
| ||||||
Corn | 7.18% | |||||
| ||||||
Cotton No. 2 | 1.51% | |||||
| ||||||
Heating Oil | 3.34% | |||||
| ||||||
KC HRW Wheat | 2.38% | |||||
| ||||||
Lean Hogs | 2.39% | |||||
| ||||||
Live Cattle | 4.93% | |||||
| ||||||
Low Sulphur Gasoil | 4.50% | |||||
| ||||||
Natural Gas | 15.48% | |||||
| ||||||
Nickel | 3.90% | |||||
| ||||||
RBOB Gasoline | 3.03% | |||||
| ||||||
Soybean Meal | 4.34% | |||||
| ||||||
Soybean Oil | 4.32% | |||||
| ||||||
Soybeans | 7.58% | |||||
| ||||||
Sugar No. 11 | 3.34% | |||||
| ||||||
Wheat | 3.98% | |||||
| ||||||
WTI Crude | 11.33% | |||||
| ||||||
Zinc | 3.43% | |||||
| ||||||
Total | 100% | |||||
| ||||||
Short Futures Contracts | ||||||
| ||||||
Aluminum | (4.19)% | |||||
| ||||||
Coffee ��C’ | (2.94)% | |||||
| ||||||
Copper | (5.11)% | |||||
| ||||||
Corn | (6.58)% | |||||
| ||||||
Cotton No. 2 | (1.46)% | |||||
| ||||||
Heating Oil | (3.41)% | |||||
| ||||||
KC HRW Wheat | (2.19)% | |||||
| ||||||
Lean Hogs | (2.37)% | |||||
| ||||||
Live Cattle | (4.28)% | |||||
| ||||||
Low Sulphur Gasoil | (4.69)% | |||||
| ||||||
Natural Gas | (19.02)% | |||||
| ||||||
Nickel | (3.61)% | |||||
| ||||||
RBOB Gasoline | (3.30)% | |||||
| ||||||
Soybean Meal | (4.13)% | |||||
| ||||||
Soybean Oil | (4.08)% | |||||
| ||||||
Soybeans | (7.07)% | |||||
| ||||||
Sugar No. 11 | (3.11)% | |||||
| ||||||
Wheat | (3.57)% | |||||
| ||||||
WTI Crude | (11.51)% | |||||
| ||||||
Zinc | (3.38)% | |||||
| ||||||
Total | (100.00)% | |||||
| ||||||
S&P GSCI Aluminum Dynamic Roll Index Excess Return | ||||||
Long Futures Contracts | ||||||
| ||||||
Aluminum | 100% | |||||
|
Abbreviations:
SOFR –Secured Overnight Financing Rate
USD –U.S. Dollar
See accompanying notes which are an integral part of this consolidated schedule.
Invesco Macro Allocation Strategy Fund
The valuation policy and a listing of other significant accounting policies are available in the most recent shareholder report.
See accompanying notes which are an integral part of this consolidated schedule.
Invesco Macro Allocation Strategy Fund
Notes to Quarterly Consolidated Schedule of Portfolio Holdings
July 31, 2022
(Unaudited)
NOTE 1–Additional Valuation Information
Generally Accepted Accounting Principles (“GAAP”) defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date, under current market conditions. GAAP establishes a hierarchy that prioritizes the inputs to valuation methods, giving the highest priority to readily available unadjusted quoted prices in an active market for identical assets (Level 1) and the lowest priority to significant unobservable inputs (Level 3), generally when market prices are not readily available or are unreliable. Based on the valuation inputs, the securities or other investments are tiered into one of three levels. Changes in valuation methods may result in transfers in or out of an investment’s assigned level:
Level 1 - | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 - | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 - | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
The following is a summary of the tiered valuation input levels, as of July 31, 2022. The level assigned to the securities valuations may not be an indication of the risk or liquidity associated with investing in those securities. Because of the inherent uncertainties of valuation, the values reflected in the consolidated financial statements may materially differ from the value received upon actual sale of those investments.
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| ||||||||||||||||
Investments in Securities | ||||||||||||||||
| ||||||||||||||||
U.S. Treasury Securities | $ – | $67,746,708 | $– | $ 67,746,708 | ||||||||||||
| ||||||||||||||||
Money Market Funds | 72,574,729 | – | – | 72,574,729 | ||||||||||||
| ||||||||||||||||
Options Purchased | 6,300,115 | – | – | 6,300,115 | ||||||||||||
| ||||||||||||||||
Total Investments in Securities | 78,874,844 | 67,746,708 | – | 146,621,552 | ||||||||||||
| ||||||||||||||||
Other Investments - Assets* | ||||||||||||||||
| ||||||||||||||||
Futures Contracts | 9,758,437 | – | – | 9,758,437 | ||||||||||||
| ||||||||||||||||
Swap Agreements | – | 1,584,571 | – | 1,584,571 | ||||||||||||
| ||||||||||||||||
9,758,437 | 1,584,571 | – | 11,343,008 | |||||||||||||
| ||||||||||||||||
Other Investments - Liabilities* | ||||||||||||||||
| ||||||||||||||||
Futures Contracts | (1,961,037 | ) | – | – | (1,961,037 | ) | ||||||||||
| ||||||||||||||||
Swap Agreements | – | (101,416 | ) | – | (101,416 | ) | ||||||||||
| ||||||||||||||||
(1,961,037 | ) | (101,416 | ) | – | (2,062,453 | ) | ||||||||||
| ||||||||||||||||
Total Other Investments | 7,797,400 | 1,483,155 | – | 9,280,555 | ||||||||||||
| ||||||||||||||||
Total Investments | $86,672,244 | $69,229,863 | $– | $155,902,107 | ||||||||||||
|
* | Unrealized appreciation (depreciation). |
Invesco Macro Allocation Strategy Fund