THE ADVISORS’ INNER CIRCLE FUND II | RQSI GAA SYSTEMATIC GLOBAL MACRO FUND JULY 31, 2021 (Unaudited) |
CONSOLIDATED SCHEDULE OF INVESTMENTS U.S. TREASURY OBLIGATION — 12.8%
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Face Amount | Value | |||||||||||
U.S. Treasury Bills (A)(B)^ | $6,000,000 | $5,999,333 | ||||||||||
TOTAL U.S. TREASURY OBLIGATION | ||||||||||||
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(Cost $5,999,595) | 5,999,333 | |||||||||||
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TOTAL INVESTMENTS — 12.8% | $5,999,333 | |||||||||||
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A list of the open futures contracts held by the Fund at July 31, 2021, is as follows:
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Type of Contract | Number of Contracts Long/(Short) | Expiration Date | Notional Amount‡ | Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
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Amsterdam Index | (7) | Aug-2021 | $ (1,221,833) | $ (1,247,626) | $ (22,921) | |||||||||||||||
AUDUSD Currency | (25) | Sep-2021 | (1,868,270) | (1,834,000) | 34,270 | |||||||||||||||
Australian 10-Year Bond | 12 | Sep-2021 | 1,285,726 | 1,280,397 | 139 | |||||||||||||||
Brent Crude^ | (11) | Sep-2021 | (816,200) | (829,510) | (13,310) | |||||||||||||||
British Pound | (24) | Sep-2021 | (2,044,569) | (2,083,950) | (39,381) | |||||||||||||||
CAC40 10 Euro Index | (28) | Aug-2021 | (2,165,541) | (2,195,352) | (23,639) | |||||||||||||||
CAD Currency | 30 | Sep-2021 | 2,362,400 | 2,403,900 | 41,500 | |||||||||||||||
Canadian 10-Year Bond | 63 | Sep-2021 | 7,384,795 | 7,474,054 | 7,397 | |||||||||||||||
Coffee C^ | (9) | Sep-2021 | (555,356) | (605,981) | (50,625) | |||||||||||||||
Copper^ | 8 | Oct-2021 | 894,550 | 896,500 | 1,950 | |||||||||||||||
Corn^ | 15 | Dec-2021 | 419,412 | 408,937 | (10,475) | |||||||||||||||
Cotton No. 2^ | 4 | Dec-2021 | 175,865 | 178,780 | 2,915 | |||||||||||||||
DAX Index | (5) | Sep-2021 | (2,297,025) | (2,305,632) | (5,468) | |||||||||||||||
Euro | 19 | Sep-2021 | 2,820,544 | 2,818,175 | (2,369) | |||||||||||||||
Euro STOXX 50 | (20) | Sep-2021 | (959,788) | (969,881) | (7,866) | |||||||||||||||
Euro-BTP | 65 | Sep-2021 | 11,750,866 | 11,895,989 | 68,607 | |||||||||||||||
Euro-Bund | 22 | Sep-2021 | 4,551,210 | 4,608,050 | 35,463 | |||||||||||||||
Euro-OAT | 85 | Sep-2021 | 16,263,972 | 16,342,780 | 220,244 | |||||||||||||||
FTSE 100 Index | (14) | Sep-2021 | (1,342,323) | (1,355,689) | (8,978) | |||||||||||||||
FTSE MIB Index | 7 | Sep-2021 | 1,024,770 | 1,052,794 | 29,539 | |||||||||||||||
Gasoline^ | (3) | Sep-2021 | (284,638) | (294,172) | (9,534) | |||||||||||||||
Gold^ | 19 | Jan-2022 | 3,434,740 | 3,452,680 | 17,940 | |||||||||||||||
Hang Seng Index | 20 | Sep-2021 | 3,343,503 | 3,332,454 | (16,772) | |||||||||||||||
IBEX | 9 | Aug-2021 | 922,634 | 926,136 | 1,271 | |||||||||||||||
Japanese 10-Year Bond | (5) | Sep-2021 | (6,878,024) | (6,941,343) | (15,256) | |||||||||||||||
Japanese Yen | 26 | Sep-2021 | 2,960,494 | 2,961,887 | 1,393 | |||||||||||||||
Lean Hogs^ | (28) | Oct-2021 | (1,005,630) | (985,880) | 19,750 | |||||||||||||||
Live Cattle^ | 26 | Nov-2021 | 1,322,000 | 1,322,880 | 880 | |||||||||||||||
LME Aluminum^ | (43) | Aug-2021 | (2,653,806) | (2,798,225) | (144,419) | |||||||||||||||
LME Aluminum^ | 43 | Aug-2021 | 2,657,853 | 2,798,225 | 140,372 | |||||||||||||||
LME Aluminum^ | (28) | Sep-2021 | (1,750,930) | (1,816,500) | (65,570) |
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THE ADVISORS’ INNER CIRCLE FUND II | RQSI GAA SYSTEMATIC GLOBAL MACRO FUND JULY 31, 2021 (Unaudited) |
Type of Contract | Number of Contracts Long/(Short) | Expiration Date | Notional Amount‡ | Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
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LME Aluminum^ | 9 | Sep-2021 | $558,709 | $583,875 | $25,166 | |||||||||||||||
LME Copper^ | (7) | Aug-2021 | (1,695,613) | (1,699,031) | (3,418) | |||||||||||||||
LME Copper^ | 7 | Aug-2021 | 1,650,321 | 1,699,031 | 48,710 | |||||||||||||||
LME Copper^ | (8) | Sep-2021 | (1,870,013) | (1,943,550) | (73,537) | |||||||||||||||
LME Copper^ | 2 | Sep-2021 | 467,944 | 485,887 | 17,943 | |||||||||||||||
LME Lead^ | (33) | Aug-2021 | (1,872,710) | (1,986,394) | (113,684) | |||||||||||||||
LME Lead^ | 33 | Aug-2021 | 1,829,208 | 1,986,394 | 157,186 | |||||||||||||||
LME Lead^ | (19) | Sep-2021 | (1,104,619) | (1,137,031) | (32,412) | |||||||||||||||
LME Lead^ | 33 | Sep-2021 | 1,909,413 | 1,974,844 | 65,431 | |||||||||||||||
LME Nickel^ | (12) | Aug-2021 | (1,311,248) | (1,407,672) | (96,424) | |||||||||||||||
LME Nickel^ | 12 | Aug-2021 | 1,314,886 | 1,407,672 | 92,786 | |||||||||||||||
LME Nickel^ | (18) | Sep-2021 | (2,055,137) | (2,111,508) | (56,371) | |||||||||||||||
LME Nickel^ | 12 | Sep-2021 | 1,371,533 | 1,407,672 | 36,139 | |||||||||||||||
LME Zinc^ | (27) | Aug-2021 | (1,992,649) | (2,046,263) | (53,614) | |||||||||||||||
LME Zinc^ | 27 | Aug-2021 | 1,985,429 | 2,046,262 | 60,833 | |||||||||||||||
LME Zinc^ | (26) | Sep-2021 | (1,926,101) | (1,972,750) | (46,649) | |||||||||||||||
LME Zinc^ | 20 | Sep-2021 | 1,481,416 | 1,517,500 | 36,084 | |||||||||||||||
Long Gilt 10-Year Bond | (25) | Oct-2021 | (4,491,582) | (4,510,230) | (3,670) | |||||||||||||||
NASDAQ 100 Index E-MINI | (3) | Sep-2021 | (873,640) | (897,345) | (23,705) | |||||||||||||||
Natural Gas^ | 29 | Aug-2021 | 1,137,720 | 1,135,060 | (2,660) | |||||||||||||||
Nikkei 225 Index | 18 | Sep-2021 | 4,666,124 | 4,487,489 | (226,706) | |||||||||||||||
NY Harbor ULSD^ | 8 | Sep-2021 | 712,131 | 737,722 | 25,591 | |||||||||||||||
NYMEX Cocoa^ | 6 | Sep-2021 | 145,280 | 141,960 | (3,320) | |||||||||||||||
Platinum^ | 18 | Oct-2021 | 980,515 | 943,560 | (36,955) | |||||||||||||||
S&P 500 Index E-MINI | (11) | Sep-2021 | (2,382,550) | (2,414,225) | (31,675) | |||||||||||||||
S&P TSX 60 Index | (11) | Sep-2021 | (2,115,144) | (2,137,400) | (16,594) | |||||||||||||||
Silver^ | (11) | Oct-2021 | (1,423,400) | (1,405,085) | 18,315 | |||||||||||||||
Soybean^ | (2) | Nov-2021 | (137,175) | (134,925) | 2,250 | |||||||||||||||
Soybean Meal^ | (28) | Dec-2021 | (1,014,280) | (990,920) | 23,360 | |||||||||||||||
Soybean Oil^ | 33 | Dec-2021 | 1,208,826 | 1,248,192 | 39,366 | |||||||||||||||
SPI 200 Index | (1) | Sep-2021 | (134,916) | (133,927) | 344 | |||||||||||||||
Sugar No. 11^ | 41 | Oct-2021 | 826,672 | 822,427 | (4,245) | |||||||||||||||
U.S. 10-Year Treasury Notes | 148 | Sep-2021 | 19,821,000 | 19,899,063 | 78,063 | |||||||||||||||
Wheat^ | (26) | Sep-2021 | (896,238) | (914,875) | (18,637) | |||||||||||||||
WTI Crude Oil^ | (2) | Aug-2021 | (140,230) | (147,900) | (7,670) | |||||||||||||||
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$52,361,283 | $52,424,456 | $62,668 | ||||||||||||||||||
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‡ The foreign exchange rate for the contract notional amounts are based on prevailing exchange rates on the date the respective contracts were opened.
For the period ended July 31, 2021, the quarterly average notional value of long contracts held was $109,335,123 and the quarterly average notional value of short contracts held was $(72,012,171).
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THE ADVISORS’ INNER CIRCLE FUND II | RQSI GAA SYSTEMATIC GLOBAL MACRO FUND JULY 31, 2021 (Unaudited) |
Percentages are based on Net Assets of $47,040,024.
(A) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
(B) | The rate shown is the security’s effective yield at time of purchase. |
^ | Security, or a portion thereof, is held by the RQSI GAA Systematic Global Macro Fund, Ltd., a wholly owned subsidiary of the Fund, as of July 31, 2021. |
AUD — Australian Dollar
BTP — Buoni del Tesoro Poliennali
CAC — Cotation Assistee en Continu (continuous assisted quotation)
CAD — Canadian Dollar
DAX — Deutscher Aktien 30 Index
FTSE — Financial Times Stock Exchange
IBEX — International Business Exchange
LME — London Metal Exchange
MIB — Milano Indice di Borsa
NASDAQ — National Association of Securities Dealers and Automated Quotation
NYMEX — New York Mercantile Exchange
OAT — Obligations Assimilables du Trésor
S&P — Standard & Poors
SPI — Share Price Index
STOXX — Eurozone Stock Index
TSX — Toronto Stock Exchange
ULSD — Ultra-Low Sulfur Diesel
USD — United States Dollar
WTI — West Texas Intermediate
The following is a list of the level of inputs used as of July 31, 2021, in valuing the Fund’s investments and other financial instruments carried at value:
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
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U.S. Treasury Obligation | $ — | $ 5,999,333 | $ — | $ 5,999,333 | ||||||||||||
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Total Investments in Securities | $ — | $ 5,999,333 | $ — | $ 5,999,333 | ||||||||||||
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Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ 1,351,197 | $ – | $ – | $ 1,351,197 | ||||||||||||
Unrealized Depreciation | (1,288,529 | ) | – | – | (1,288,529 | ) | ||||||||||
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Total Other Financial Instruments | $ 62,668 | $ – | $ – | $ 62,668 | ||||||||||||
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* Futures are valued at the unrealized appreciation (depreciation) on the instrument.
For the period ended July 31, 2021, there were no transfers in or out of Level 3.
For more information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to the Fund’s most recent financial statements.
RQS-QH-002-0700
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