THE ADVISORS’ INNER CIRCLE FUND II | RQSI GAA SYSTEMATIC | |
GLOBAL MACRO FUND | ||
JANUARY 31, 2022 (Unaudited) |
CONSOLIDATED SCHEDULE OF INVESTMENTS |
U.S. TREASURY OBLIGATION — 13.9% |
Face Amount | Value | |||||||||||
U.S. Treasury Bills (A)(B)^ | ||||||||||||
0.100%, 04/28/22 | $7,000,000 | $6,996,865 | ||||||||||
TOTAL U.S. TREASURY OBLIGATION | ||||||||||||
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(Cost $6,998,328) | 6,996,865 | |||||||||||
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TOTAL INVESTMENTS — 13.9% | ||||||||||||
(Cost $6,998,328) | $6,996,865 | |||||||||||
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A list of the open futures contracts held by the Fund at January 31, 2022, is as follows:
Unrealized | ||||||||||||||||||||
Number of | Expiration | Notional | Appreciation/ | |||||||||||||||||
Type of Contract | Contracts | Date | Amount | Value | (Depreciation) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
Amsterdam Index | 5 | Feb-2022 | $ | 869,981 | $ | 847,088 | $ | (14,498) | ||||||||||||
Australian 10-Year Bond | 60 | Mar-2022 | 5,918,715 | 5,812,631 | (13,381) | |||||||||||||||
Brent Crude^ | 48 | Mar-2022 | 4,240,040 | 4,284,480 | 44,440 | |||||||||||||||
British Pound^ | 38 | Mar-2022 | 3,178,506 | 3,195,563 | 17,057 | |||||||||||||||
Copper^ | 6 | Apr-2022 | 671,325 | 648,675 | (22,650) | |||||||||||||||
Corn^ | 1 | Mar-2022 | 31,900 | 31,300 | (600) | |||||||||||||||
Euro-BTP | 87 | Mar-2022 | 14,451,251 | 14,258,257 | (123,429) | |||||||||||||||
Euro-Bund | 2 | Mar-2022 | 378,663 | 379,971 | (1,800) | |||||||||||||||
Euro-OAT | 97 | Mar-2022 | 17,894,542 | 17,545,915 | (154,364) | |||||||||||||||
FTSE MIB Index | 8 | Mar-2022 | 1,176,618 | 1,202,849 | 27,035 | |||||||||||||||
Gasoline^ | 52 | Mar-2022 | 5,396,009 | 5,578,810 | 182,801 | |||||||||||||||
Gold^ | 27 | Apr-2022 | 4,935,740 | 4,850,280 | (85,460) | |||||||||||||||
IBEX | 13 | Feb-2022 | 1,287,331 | 1,253,367 | (24,172) | |||||||||||||||
Japanese 10-Year Bond | 8 | Mar-2022 | 10,536,237 | 10,477,581 | (8,615) | |||||||||||||||
Lean Hogs^ | 58 | Apr-2022 | 2,072,310 | 2,220,240 | 147,930 | |||||||||||||||
LME Copper^ | 13 | Feb-2022 | 3,151,081 | 3,105,050 | (46,031) | |||||||||||||||
LME Copper^ | 15 | Mar-2022 | 3,642,381 | 3,575,250 | (67,131) | |||||||||||||||
LME Lead^ | 32 | Feb-2022 | 1,847,713 | 1,803,400 | (44,313) | |||||||||||||||
LME Lead^ | 80 | Mar-2022 | 4,654,516 | 4,506,500 | (148,016) | |||||||||||||||
LME Nickel^ | 19 | Feb-2022 | 2,308,005 | 2,597,832 | 289,827 | |||||||||||||||
LME Nickel^ | 29 | Mar-2022 | 3,758,475 | 3,930,312 | 171,837 | |||||||||||||||
LME Primary Aluminum^ | 41 | Feb-2022 | 2,862,630 | 3,123,175 | 260,545 | |||||||||||||||
LME Primary Aluminum^ | 52 | Mar-2022 | 3,897,978 | 3,937,700 | 39,722 | |||||||||||||||
LME Zinc^ | 26 | Feb-2022 | 2,288,700 | 2,345,200 | 56,500 | |||||||||||||||
LME Zinc^ | 30 | Mar-2022 | 2,706,694 | 2,704,875 | (1,819) | |||||||||||||||
NASDAQ 100 Index E-MINI | 7 | Mar-2022 | 2,026,080 | 2,086,700 | 60,620 | |||||||||||||||
NY Harbor ULSD^ | 20 | Mar-2022 | 2,211,938 | 2,281,188 | 69,250 |
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THE ADVISORS’ INNER CIRCLE FUND II | RQSI GAA SYSTEMATIC | |
GLOBAL MACRO FUND | ||
JANUARY 31, 2022 (Unaudited) |
Unrealized | ||||||||||||||||||||
Number of | Expiration | Notional | Appreciation/ | |||||||||||||||||
Type of Contract | Contracts | Date | Amount | Value | (Depreciation) | |||||||||||||||
NYMEX Cocoa^ | 10 | Mar-2022 | $ | 252,390 | $ | 252,800 | $ | 410 | ||||||||||||
Platinum^ | 20 | Apr-2022 | 964,455 | 1,020,800 | 56,345 | |||||||||||||||
Silver^ | 18 | Apr-2022 | 2,085,100 | 2,015,370 | (69,730) | |||||||||||||||
Soybean^ | 26 | Mar-2022 | 1,776,638 | 1,937,650 | 161,012 | |||||||||||||||
Soybean Meal^ | 29 | Mar-2022 | 1,163,960 | 1,214,810 | 50,850 | |||||||||||||||
SPI 200 Index | 35 | Mar-2022 | 4,443,163 | 4,249,008 | (150,578) | |||||||||||||||
Sugar No. 11^ | 7 | Mar-2022 | 145,746 | 142,845 | (2,901) | |||||||||||||||
WTI Crude Oil^ | 61 | Feb-2022 | 5,225,910 | 5,377,150 | 151,240 | |||||||||||||||
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$ | 124,452,721 | $ | 124,794,622 | $ | 807,933 | |||||||||||||||
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Short Contracts | ||||||||||||||||||||
AUD USD Currency | (33 | ) | Mar-2022 | $ | (2,377,155) | $ | (2,334,585) | $ | 42,570 | |||||||||||
CAC40 10 Euro Index | (41 | ) | Feb-2022 | (3,304,404) | (3,222,671) | 60,502 | ||||||||||||||
CAD Currency | (43 | ) | Mar-2022 | (3,367,385) | (3,386,035) | (18,650) | ||||||||||||||
Canadian 10-Year Bond | (1 | ) | Mar-2022 | (109,216) | (109,428) | (212) | ||||||||||||||
Coffee C^ | (24 | ) | Mar-2022 | (2,082,281) | (2,115,900) | (33,619) | ||||||||||||||
Cotton No. 2^ | (1 | ) | Mar-2022 | (61,020) | (63,785) | (2,765) | ||||||||||||||
DAX Index | (6 | ) | Mar-2022 | (2,571,928) | (2,595,830) | (7,202) | ||||||||||||||
Euro FX 2022 | (24 | ) | Mar-2022 | (3,386,206) | (3,376,050) | 10,156 | ||||||||||||||
Euro STOXX 50 | (31 | ) | Mar-2022 | (1,431,784) | (1,442,873) | (26) | ||||||||||||||
FTSE 100 Index | (46 | ) | Mar-2022 | (4,686,296) | (4,575,873) | 53,940 | ||||||||||||||
Hang Seng Index | (7 | ) | Feb-2022 | (1,094,819) | (1,071,136) | 22,297 | ||||||||||||||
Japanese Yen | (36 | ) | Mar-2022 | (3,936,113) | (3,914,550) | 21,563 | ||||||||||||||
Live Cattle^ | (58 | ) | May-2022 | (3,259,930) | (3,352,980) | (93,050) | ||||||||||||||
LME Copper^ | (13 | ) | Feb-2022 | (3,121,488) | (3,105,050) | 16,438 | ||||||||||||||
LME Copper^ | (6 | ) | Mar-2022 | (1,452,706) | (1,430,100) | 22,606 | ||||||||||||||
LME Lead^ | (32 | ) | Feb-2022 | (1,841,944) | (1,803,400) | 38,544 | ||||||||||||||
LME Lead^ | (41 | ) | Mar-2022 | (2,381,649) | (2,309,581) | 72,068 | ||||||||||||||
LME Nickel^ | (19 | ) | Feb-2022 | (2,310,450) | (2,597,832) | (287,382) | ||||||||||||||
LME Nickel^ | (24 | ) | Mar-2022 | (3,237,067) | (3,252,672) | (15,605) | ||||||||||||||
LME Primary Aluminum^ | (41 | ) | Feb-2022 | (2,807,275) | (3,123,175) | (315,900) | ||||||||||||||
LME Primary Aluminum^ | (26 | ) | Mar-2022 | (1,961,821) | (1,968,850) | (7,029) | ||||||||||||||
LME Zinc^ | (26 | ) | Feb-2022 | (2,253,456) | (2,345,200) | (91,744) | ||||||||||||||
LME Zinc^ | (19 | ) | Mar-2022 | (1,694,863) | (1,713,088) | (18,225) | ||||||||||||||
Long Gilt 10-Year Bond | (112 | ) | Apr-2022 | (18,681,619) | (18,370,681) | 144,689 | ||||||||||||||
Natural Gas^ | (2 | ) | Feb-2022 | (82,190) | (97,480) | (15,290) | ||||||||||||||
Nikkei 225 Index | (4 | ) | Mar-2022 | (951,482) | (940,216) | 5,737 | ||||||||||||||
S&P 500 Index E-MINI | (7 | ) | Mar-2022 | (1,544,388) | (1,576,488) | (32,100) | ||||||||||||||
S&P TSX 60 Index | (21 | ) | Mar-2022 | (4,159,557) | (4,218,999) | (68,384) | ||||||||||||||
Soybean Oil^ | (20 | ) | Mar-2022 | (718,458) | (777,840) | (59,382) |
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THE ADVISORS’ INNER CIRCLE FUND II | RQSI GAA SYSTEMATIC | |
GLOBAL MACRO FUND | ||
JANUARY 31, 2022 (Unaudited) |
Unrealized | ||||||||||||||||||||
Number of | Expiration | Notional | Appreciation/ | |||||||||||||||||
Type of Contract | Contracts | Date | Amount | Value | (Depreciation) | |||||||||||||||
U.S. 10-Year Treasury Notes | (284 | ) | Mar-2022 | $ | (36,338,766) | $ | (36,343,125) | $ | (4,359) | |||||||||||
U.S. Long Treasury Bond | (15 | ) | Mar-2022 | (2,324,656) | (2,334,375) | (9,719) | ||||||||||||||
Wheat^ | (46 | ) | Mar-2022 | (1,835,763) | (1,750,875) | 84,888 | ||||||||||||||
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$ | (121,368,135) | $ | (121,620,723) | $ | (484,645) | |||||||||||||||
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$ | 3,084,586 | $ | 3,173,899 | $ | 323,288 | |||||||||||||||
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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 January 31, 2022, the quarterly average notional value of long contracts held was $124,452,721 and the quarterly average notional value of short contracts held was $(121,368,135).
Percentages are based on Net Assets of $50,172,635.
(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 January 31, 2022. |
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 January 31, 2022, in valuing the Fund’s investments and other financial instruments carried at value:
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Treasury Obligation | $ | — | $ | 6,996,865 | $ | — | $ | 6,996,865 | ||||||||
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Total Investments in Securities | $ | — | $ | 6,996,865 | $ | — | $ | 6,996,865 | ||||||||
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3
THE ADVISORS’ INNER CIRCLE FUND II | RQSI GAA SYSTEMATIC | |
GLOBAL MACRO FUND | ||
JANUARY 31, 2022 (Unaudited) |
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 2,383,419 | $ | – | $ | – | $ | 2,383,419 | ||||||||
Unrealized Depreciation | (2,060,131) | – | – | (2,060,131) | ||||||||||||
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Total Other Financial Instruments | $ | 323,288 | $ | – | $ | – | $ | 323,288 | ||||||||
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* Futures are valued at the unrealized appreciation (depreciation) on the instrument.
For the period ended January 31, 2022, 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-002-0800
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