Commodities Strategy Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value | |||||||
MUTUAL FUNDS† - 6.7% | ||||||||
Guggenheim Strategy Fund II1 | 56,518 | $ | 1,387,525 | |||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 141,704 | 1,387,282 | ||||||
Total Mutual Funds | ||||||||
(Cost $2,822,291) | 2,774,807 | |||||||
Face Amount | ||||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 59.3% | ||||||||
Federal Home Loan Bank | ||||||||
0.13% due 04/04/222 | $ | 6,963,000 | 6,962,913 | |||||
0.15% due 04/05/222 | 5,000,000 | 4,999,917 | ||||||
0.17% due 04/27/222 | 5,000,000 | 4,999,350 | ||||||
0.24% due 04/27/222 | 4,800,000 | 4,799,168 | ||||||
0.83% due 10/03/222 | 2,000,000 | 1,991,348 | ||||||
0.81% due 09/14/222 | 1,000,000 | 996,442 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $24,749,082) | 24,749,138 | |||||||
FEDERAL AGENCY NOTES†† - 16.8% | ||||||||
Federal Home Loan Bank | ||||||||
0.27% (SOFR, Rate Floor: 0.00%) due 04/25/22◊ | 6,000,000 | 6,000,036 | ||||||
Federal Farm Credit Bank | ||||||||
0.32% (U.S. Prime Rate - 3.18%, Rate Floor: 0.00%) due 10/25/22◊ | 1,000,000 | 999,913 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $7,000,011) | 6,999,949 | |||||||
U.S. TREASURY BILLS†† - 11.4% | ||||||||
U.S. Treasury Bills | ||||||||
0.12% due 05/05/222,3 | 4,771,000 | 4,770,335 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $4,770,459) | 4,770,335 | |||||||
REPURCHASE AGREEMENTS††,4 - 9.4% | ||||||||
J.P. Morgan Securities LLC issued 03/31/22 at 0.28% due 04/01/22 | 2,641,897 | 2,641,897 | ||||||
BofA Securities, Inc. issued 03/31/22 at 0.25% due 04/01/22 | 1,017,541 | 1,017,541 | ||||||
Barclays Capital, Inc. issued 03/31/22 at 0.24% due 04/01/22 | 264,561 | 264,561 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $3,923,999) | 3,923,999 | |||||||
Total Investments - 103.6% | ||||||||
(Cost $43,265,842) | $ | 43,218,228 | ||||||
Other Assets & Liabilities, net - (3.6)% | (1,497,467 | ) | ||||||
Total Net Assets - 100.0% | $ | 41,720,761 |
Futures Contracts | ||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Depreciation** | ||||||||||
Commodity Futures Contracts Purchased† | ||||||||||||||
Goldman Sachs Commodity Index Futures Contracts | 230 | Apr 2022 | $ | 41,690,375 | $ | (334,777 | ) |
** | Includes cumulative appreciation (depreciation). |
† | Value determined based on Level 1 inputs — See Note 3. |
†† | Value determined based on Level 2 inputs — See Note 3. |
◊ | Variable rate security. Rate indicated is the rate effective at March 31, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
1 | Affiliated issuer. |
2 | Rate indicated is the effective yield at the time of purchase. |
3 | All or a portion of this security is pledged as futures collateral at March 31, 2022. |
4 | Repurchase Agreements — See Note 4. |
SOFR — Secured Overnight Financing Rate
See Sector Classification in Other Information section.
Commodities Strategy Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
The following table summarizes the inputs used to value the Fund's investments at March 31, 2022 (See Note 3 in the Notes to Consolidated Schedule of Investments): | |||||||||||||||
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | |||||||||||
Mutual Funds | $ | 2,774,807 | $ | — | $ | — | $ | 2,774,807 | |||||||
Federal Agency Discount Notes | — | 24,749,138 | — | 24,749,138 | |||||||||||
Federal Agency Notes | — | 6,999,949 | — | 6,999,949 | |||||||||||
U.S. Treasury Bills | — | 4,770,335 | — | 4,770,335 | |||||||||||
Repurchase Agreements | — | 3,923,999 | — | 3,923,999 | |||||||||||
Total Assets | $ | 2,774,807 | $ | 40,443,421 | $ | — | $ | 43,218,228 | |||||||
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | |||||||||||
Commodity Futures Contracts** | $ | 334,777 | $ | — | $ | — | $ | 334,777 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles' annual report on Form N-CSR dated September 30, 2021, is available publicly or upon request. This information is available from the EDGAR database on the SEC's website at https://www.sec.gov/Archives/edgar/data/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the period ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | Value 12/31/21 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 03/31/22 | Shares 03/31/22 | Investment Income | |||||||||||||||||||||||
Mutual Funds | |||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 1,406,176 | $ | – | $ | – | $ | – | $ | (18,651 | ) | $ | 1,387,525 | 56,518 | $ | 4,776 | |||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 1,405,703 | – | – | – | (18,421 | ) | 1,387,282 | 141,704 | 3,513 | ||||||||||||||||||||||
$ | 2,811,879 | $ | – | $ | – | $ | – | $ | (37,072 | ) | $ | 2,774,807 | $ | 8,289 |
Managed Futures Strategy Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value | |||||||
MUTUAL FUNDS† - 27.9% | ||||||||
Guggenheim Strategy Fund III1 | 235,195 | $ | 5,795,209 | |||||
Guggenheim Strategy Fund II1 | 166,856 | 4,096,312 | ||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 257,497 | 2,520,893 | ||||||
Total Mutual Funds | ||||||||
(Cost $12,548,782) | 12,412,414 |
Face Amount | ||||||||
U.S. TREASURY BILLS†† - 12.9% | ||||||||
U.S. Treasury Bills | ||||||||
0.12% due 05/05/222,3 | $ | 5,753,000 | 5,752,199 | |||||
Total U.S. Treasury Bills | ||||||||
(Cost $5,752,348) | 5,752,199 |
REPURCHASE AGREEMENTS††,4 - 58.6% | ||||||||
J.P. Morgan Securities LLC issued 03/31/22 at 0.28% due 04/01/22 | 17,578,906 | 17,578,906 | ||||||
BofA Securities, Inc. issued 03/31/22 at 0.25% due 04/01/22 | 6,770,610 | 6,770,610 | ||||||
Barclays Capital, Inc. issued 03/31/22 at 0.24% due 04/01/22 | 1,760,358 | 1,760,358 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $26,109,874) | 26,109,874 | |||||||
Total Investments - 99.4% | ||||||||
(Cost $44,411,004) | $ | 44,274,487 | ||||||
Other Assets & Liabilities, net - 0.6% | 279,651 | |||||||
Total Net Assets - 100.0% | $ | 44,554,138 |
Futures Contracts | ||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation (Depreciation)** | ||||||||||
Commodity Futures Contracts Purchased† | ||||||||||||||
Cotton #2 Futures Contracts | 48 | Dec 2022 | $ | 2,668,320 | $ | 204,669 | ||||||||
Natural Gas Futures Contracts | 18 | Apr 2022 | 1,017,360 | 188,184 | ||||||||||
Corn Futures Contracts | 37 | Sep 2022 | 1,284,825 | 94,243 | ||||||||||
Lean Hogs Futures Contracts | 55 | Jun 2022 | 2,660,900 | 61,907 | ||||||||||
Gold 100 oz. Futures Contracts | 23 | Jun 2022 | 4,465,910 | 47,716 | ||||||||||
Euro - Rapeseed Futures Contracts | 7 | Apr 2022 | 364,446 | 46,569 | ||||||||||
Brent Crude Futures Contracts | 6 | Apr 2022 | 629,820 | 44,040 | ||||||||||
LME Zinc Futures Contracts | 5 | May 2022 | 525,312 | 41,160 | ||||||||||
Corn Futures Contracts | 9 | May 2022 | 336,375 | 30,894 | ||||||||||
Cotton #2 Futures Contracts | 7 | May 2022 | 474,390 | 29,667 | ||||||||||
LME Primary Aluminum Futures Contracts | 7 | May 2022 | 610,244 | 27,442 | ||||||||||
Low Sulphur Gas Oil Futures Contracts | 3 | May 2022 | 300,150 | 25,970 | ||||||||||
NY Harbor ULSD Futures Contracts | 4 | Apr 2022 | 564,547 | 25,778 | ||||||||||
Red Spring Wheat Futures Contracts | 4 | May 2022 | 218,800 | 24,109 | ||||||||||
Canadian Canola (WCE) Futures Contracts | 30 | May 2022 | 542,675 | 23,847 | ||||||||||
Sugar #11 Futures Contracts | 27 | Apr 2022 | 590,285 | 21,700 | ||||||||||
Euro - Mill Wheat Futures Contracts | 11 | May 2022 | 224,577 | 21,129 | ||||||||||
Soybean Oil Futures Contracts | 12 | May 2022 | 502,848 | 16,635 | ||||||||||
Live Cattle Futures Contracts | 26 | Jun 2022 | 1,425,060 | 15,270 | ||||||||||
Cocoa Futures Contracts | 17 | May 2022 | 450,160 | 13,890 | ||||||||||
Gasoline RBOB Futures Contracts | 3 | Apr 2022 | 395,942 | 10,320 | ||||||||||
Coffee 'C' Futures Contracts | 19 | May 2022 | 1,608,469 | 9,761 | ||||||||||
Oat Futures Contracts | 15 | Jul 2022 | 515,438 | 8,279 | ||||||||||
LME Lead Futures Contracts | 9 | May 2022 | 544,950 | 7,248 | ||||||||||
Soybean Meal Futures Contracts | 15 | May 2022 | 701,850 | 4,835 | ||||||||||
Platinum Futures Contracts | 1 | Jul 2022 | 49,405 | (1,098 | ) | |||||||||
Copper Futures Contracts | 3 | May 2022 | 353,775 | (1,422 | ) | |||||||||
Silver Futures Contracts | 5 | May 2022 | 624,000 | (1,953 | ) |
Managed Futures Strategy Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation (Depreciation)** | ||||||||||
Commodity Futures Contracts Purchased† (continued) | ||||||||||||||
CME Nonfat Dry Milk Futures Contracts | 4 | May 2022 | $ | 320,320 | $ | (3,970 | ) | |||||||
SGX Iron Ore 62% Futures Contracts | 23 | May 2022 | 367,172 | (5,355 | ) | |||||||||
Wheat Futures Contracts | 7 | May 2022 | 352,800 | (20,083 | ) | |||||||||
ECX Emission Futures Contracts | 2 | Dec 2022 | 169,260 | (22,259 | ) | |||||||||
Hard Red Winter Wheat Futures Contracts | 6 | May 2022 | 309,600 | (22,460 | ) | |||||||||
WTI Crude Futures Contracts | 10 | Apr 2022 | 1,006,800 | (23,339 | ) | |||||||||
Soybean Futures Contracts | 12 | May 2022 | 970,350 | (34,497 | ) | |||||||||
Soybean Meal Futures Contracts | 48 | Dec 2022 | 1,978,080 | (57,311 | ) | |||||||||
LME Nickel Futures Contracts | 3 | May 2022 | 577,710 | (61,276 | ) | |||||||||
Soybean Futures Contracts | 44 | Nov 2022 | 3,121,250 | (88,461 | ) | |||||||||
Low Sulphur Gas Oil Futures Contracts | 15 | Jul 2022 | 1,383,375 | (102,000 | ) | |||||||||
$ | 35,207,550 | $ | 599,778 | |||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||
S&P/TSX 60 IX Index Futures Contracts | 7 | Jun 2022 | $ | 1,478,849 | $ | 38,298 | ||||||||
SPI 200 Index Futures Contracts | 5 | Jun 2022 | 695,775 | 34,438 | ||||||||||
CBOE Volatility Index Futures Contracts | 43 | Jul 2022 | 1,122,300 | 14,470 | ||||||||||
S&P 500 Index Mini Futures Contracts | 1 | Jun 2022 | 226,387 | 13,999 | ||||||||||
NASDAQ-100 Index Mini Futures Contracts | 2 | Jun 2022 | 594,840 | 7,650 | ||||||||||
CBOE Volatility Index Futures Contracts | 35 | Sep 2022 | 932,050 | 7,622 | ||||||||||
Dow Jones Industrial Average Index Mini Futures Contracts | 1 | Jun 2022 | 172,965 | 3,133 | ||||||||||
FTSE 100 Index Futures Contracts | 1 | Jun 2022 | 97,847 | 687 | ||||||||||
FTSE Taiwan Index Futures Contracts | 1 | Apr 2022 | 61,190 | (643 | ) | |||||||||
CAC 40 10 Euro Index Futures Contracts | 2 | Apr 2022 | 146,664 | (681 | ) | |||||||||
S&P MidCap 400 Index Mini Futures Contracts | 1 | Jun 2022 | 268,770 | (2,062 | ) | |||||||||
Tokyo Stock Price Index Futures Contracts | 1 | Jun 2022 | 158,310 | (2,540 | ) | |||||||||
FTSE/JSE TOP 40 Index Futures Contracts†† | 18 | Jun 2022 | 835,359 | (18,319 | ) | |||||||||
$ | 6,791,306 | $ | 96,052 | |||||||||||
Currency Futures Contracts Purchased† | ||||||||||||||
Mexican Peso Futures Contracts | 108 | Jun 2022 | $ | 2,681,640 | $ | 73,644 | ||||||||
Canadian Dollar Futures Contracts | 44 | Jun 2022 | 3,518,240 | 22,776 | ||||||||||
New Zealand Dollar Futures Contracts | 11 | Jun 2022 | 761,365 | 18,110 | ||||||||||
British Pound Futures Contracts | 33 | Jun 2022 | 2,708,681 | 5,591 | ||||||||||
Euro FX Futures Contracts | 6 | Jun 2022 | 832,013 | 3,848 | ||||||||||
Australian Dollar Futures Contracts | 4 | Jun 2022 | 299,660 | (795 | ) | |||||||||
Japanese Yen Futures Contracts | 17 | Jun 2022 | 1,748,875 | (34,569 | ) | |||||||||
$ | 12,550,474 | $ | 88,605 | |||||||||||
Interest Rate Futures Contracts Purchased† | ||||||||||||||
Australian Government 10 Year Bond Futures Contracts | 15 | Jun 2022 | $ | 1,426,802 | $ | 10,278 | ||||||||
Euro - BTP Italian Government Bond Futures Contracts†† | 26 | Jun 2022 | 3,984,154 | 3,917 | ||||||||||
Euro - OATS Futures Contracts | 24 | Jun 2022 | 4,021,069 | (40,702 | ) | |||||||||
$ | 9,432,025 | $ | (26,507 | ) | ||||||||||
Interest Rate Futures Contracts Sold Short† | ||||||||||||||
Euro - Bund Futures Contracts | 58 | Jun 2022 | $ | 10,182,892 | $ | 282,261 | ||||||||
Canadian Government 10 Year Bond Futures Contracts | 67 | Jun 2022 | 6,989,966 | 192,414 | ||||||||||
U.S. Treasury 10 Year Note Futures Contracts | 56 | Jun 2022 | 6,874,875 | 144,114 | ||||||||||
Euro - Bobl Futures Contracts | 57 | Jun 2022 | 8,132,135 | 122,299 | ||||||||||
Australian Government 10 Year Bond Futures Contracts | 22 | Jun 2022 | 2,092,643 | 79,769 | ||||||||||
Long Gilt Futures Contracts†† | 56 | Jun 2022 | 8,923,336 | 73,933 | ||||||||||
Australian Government 3 Year Bond Futures Contracts | 39 | Jun 2022 | 3,205,875 | 43,839 | ||||||||||
U.S. Treasury 5 Year Note Futures Contracts | 39 | Jun 2022 | 4,467,633 | 43,396 | ||||||||||
U.S. Treasury 2 Year Note Futures Contracts | 17 | Jun 2022 | 3,600,547 | 23,261 | ||||||||||
U.S. Treasury Ultra Long Bond Futures Contracts | 5 | Jun 2022 | 885,469 | 19,186 |
Managed Futures Strategy Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation (Depreciation)** | ||||||||||
Interest Rate Futures Contracts Sold Short† (continued) | ||||||||||||||
U.S. Treasury Long Bond Futures Contracts | 5 | Jun 2022 | $ | 751,250 | $ | 2,240 | ||||||||
Euro - Schatz Futures Contracts | 8 | Jun 2022 | 980,635 | 575 | ||||||||||
Euro - 30 year Bond Futures Contracts | 1 | Jun 2022 | 205,511 | 539 | ||||||||||
$ | 57,292,767 | $ | 1,027,826 | |||||||||||
Currency Futures Contracts Sold Short† | ||||||||||||||
Japanese Yen Futures Contracts | 75 | Jun 2022 | $ | 7,715,625 | $ | 354,725 | ||||||||
New Zealand Dollar Futures Contracts | 10 | Jun 2022 | 692,150 | (4,826 | ) | |||||||||
Australian Dollar Futures Contracts | 34 | Jun 2022 | 2,547,110 | (50,648 | ) | |||||||||
Swiss Franc Futures Contracts | 92 | Jun 2022 | 12,480,950 | (59,278 | ) | |||||||||
Euro FX Futures Contracts | 53 | Jun 2022 | 7,349,444 | (69,612 | ) | |||||||||
$ | 30,785,279 | $ | 170,361 | |||||||||||
Commodity Futures Contracts Sold Short† | ||||||||||||||
Low Sulphur Gas Oil Futures Contracts | 6 | May 2022 | $ | 600,300 | $ | 82,640 | ||||||||
Soybean Futures Contracts | 32 | Jul 2022 | 2,556,400 | 61,564 | ||||||||||
Palladium Futures Contracts | 1 | Jun 2022 | 224,900 | 29,097 | ||||||||||
Soybean Meal Futures Contracts | 40 | May 2022 | 1,871,600 | 26,220 | ||||||||||
Cattle Feeder Futures Contracts | 26 | May 2022 | 2,164,175 | 14,832 | ||||||||||
Platinum Futures Contracts | 6 | Jul 2022 | 296,430 | 5,685 | ||||||||||
Soybean Oil Futures Contracts | 1 | May 2022 | 41,904 | 45 | ||||||||||
Live Cattle Futures Contracts | 3 | Jun 2022 | 164,430 | (1,236 | ) | |||||||||
Corn Futures Contracts | 39 | May 2022 | 1,457,625 | (3,979 | ) | |||||||||
Cotton #2 Futures Contracts | 3 | May 2022 | 203,310 | (23,619 | ) | |||||||||
Cotton #2 Futures Contracts | 27 | Jul 2022 | 1,778,760 | (147,940 | ) | |||||||||
$ | 11,359,834 | $ | 43,309 | |||||||||||
Equity Futures Contracts Sold Short† | ||||||||||||||
Euro STOXX 50 Index Futures Contracts | 4 | Jun 2022 | $ | 168,153 | $ | 1,146 | ||||||||
OMX Stockholm 30 Index Futures Contracts†† | 4 | Apr 2022 | 87,512 | 49 | ||||||||||
Russell 2000 Index Mini Futures Contracts | 1 | Jun 2022 | 103,250 | (95 | ) | |||||||||
CAC 40 10 Euro Index Futures Contracts | 1 | Apr 2022 | 73,332 | (3,089 | ) | |||||||||
Amsterdam Index Futures Contracts | 1 | Apr 2022 | 159,666 | (4,224 | ) | |||||||||
IBEX 35 Index Futures Contracts†† | 3 | Apr 2022 | 276,654 | (4,493 | ) | |||||||||
MSCI EAFE Index Futures Contracts | 1 | Jun 2022 | 107,230 | (5,217 | ) | |||||||||
SPI 200 Index Futures Contracts | 1 | Jun 2022 | 139,155 | (6,289 | ) | |||||||||
FTSE MIB Index Futures Contracts | 1 | Jun 2022 | 134,226 | (7,222 | ) | |||||||||
FTSE 100 Index Futures Contracts | 4 | Jun 2022 | 391,388 | (7,437 | ) | |||||||||
Tokyo Stock Price Index Futures Contracts | 1 | Jun 2022 | 158,310 | (15,117 | ) | |||||||||
Nikkei 225 (OSE) Index Futures Contracts | 1 | Jun 2022 | 226,251 | (15,486 | ) | |||||||||
CBOE Volatility Index Futures Contracts | 31 | Apr 2022 | 726,950 | (36,727 | ) | |||||||||
$ | 2,752,077 | $ | (104,201 | ) |
** | Includes cumulative appreciation (depreciation). |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 3. |
†† | Value determined based on Level 2 inputs — See Note 3. |
1 | Affiliated issuer. |
2 | All or a portion of this security is pledged as futures collateral at March 31, 2022. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | Repurchase Agreements — See Note 4. |
See Sector Classification in Other Information section. |
Managed Futures Strategy Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
The following table summarizes the inputs used to value the Fund's investments at March 31, 2022 (See Note 3 in the Notes to Consolidated Schedule of Investments):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Mutual Funds | $ | 12,412,414 | $ | — | $ | — | $ | 12,412,414 | ||||||||
U.S. Treasury Bills | — | 5,752,199 | — | 5,752,199 | ||||||||||||
Repurchase Agreements | — | 26,109,874 | — | 26,109,874 | ||||||||||||
Commodity Futures Contracts** | 1,265,345 | — | — | 1,265,345 | ||||||||||||
Interest Rate Futures Contracts** | 964,171 | 77,850 | — | 1,042,021 | ||||||||||||
Currency Futures Contracts** | 478,694 | — | — | 478,694 | ||||||||||||
Equity Futures Contracts** | 121,443 | 49 | — | 121,492 | ||||||||||||
Total Assets | $ | 15,242,067 | $ | 31,939,972 | $ | — | $ | 47,182,039 |
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Commodity Futures Contracts** | $ | 622,258 | $ | — | $ | — | $ | 622,258 | ||||||||
Currency Futures Contracts** | 219,728 | — | — | 219,728 | ||||||||||||
Equity Futures Contracts** | 106,829 | 22,812 | — | 129,641 | ||||||||||||
Interest Rate Futures Contracts** | 40,702 | — | — | 40,702 | ||||||||||||
Total Liabilities | $ | 989,517 | $ | 22,812 | $ | — | $ | 1,012,329 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments ("GI"), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the "Short Term Investment Vehicles"), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles' annual report on Form N-CSR dated September 30, 2021, is available publicly or upon request. This information is available from the EDGAR database on the SEC's website at https://www.sec.gov/Archives/edgar/data/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the period ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | Value 12/31/21 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 03/31/22 | Shares 03/31/22 | Investment Income | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 4,951,696 | $ | – | $ | (800,000 | ) | $ | (3,539 | ) | $ | (51,845 | ) | $ | 4,096,312 | 166,856 | $ | 14,528 | ||||||||||||||
Guggenheim Strategy Fund III | 5,886,936 | – | – | – | (91,727 | ) | 5,795,209 | 235,195 | 21,386 | |||||||||||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 1,753,560 | 800,000 | – | – | (32,667 | ) | 2,520,893 | 257,497 | 6,039 | |||||||||||||||||||||||
$ | 12,592,192 | $ | 800,000 | $ | (800,000 | ) | $ | (3,539 | ) | $ | (176,239 | ) | $ | 12,412,414 | $ | 41,953 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value | |||||||
COMMON STOCKS† - 39.2% | ||||||||
Financial - 7.3% | ||||||||
People's United Financial, Inc. | 48,387 | $ | 967,256 | |||||
Preferred Apartment Communities, Inc. — Class A REIT | 29,712 | 741,017 | ||||||
First Horizon Corp. | 29,951 | 703,549 | ||||||
American National Group, Inc. | 3,443 | 651,037 | ||||||
Goldman Sachs Group, Inc. | 1,951 | 644,062 | ||||||
MGM Growth Properties LLC — Class A REIT | 16,551 | 640,524 | ||||||
Investors Bancorp, Inc. | 31,211 | 465,981 | ||||||
TriState Capital Holdings, Inc.* | 13,971 | 464,256 | ||||||
Flagstar Bancorp, Inc. | 9,355 | 396,652 | ||||||
Umpqua Holdings Corp. | 14,485 | 273,187 | ||||||
Total Financial | 5,947,521 | |||||||
Communications - 7.0% | ||||||||
Mimecast Ltd.* | 16,456 | 1,309,239 | ||||||
Vonage Holdings Corp.* | 49,293 | 1,000,155 | ||||||
Houghton Mifflin Harcourt Co.* | 47,317 | 994,130 | ||||||
TEGNA, Inc. | 33,134 | 742,202 | ||||||
NeoPhotonics Corp.* | 48,113 | 731,799 | ||||||
Mandiant, Inc.* | 22,239 | 496,152 | ||||||
Anaplan, Inc.* | 7,562 | 491,908 | ||||||
Total Communications | 5,765,585 | |||||||
Technology - 5.9% | ||||||||
Cerner Corp. | 13,084 | 1,224,139 | ||||||
Zynga, Inc. — Class A* | 111,544 | 1,030,667 | ||||||
Bottomline Technologies DE, Inc.* | 16,717 | 947,519 | ||||||
CMC Materials, Inc. | 4,591 | 851,172 | ||||||
Activision Blizzard, Inc. | 6,141 | 491,955 | ||||||
Tower Semiconductor Ltd.* | 7,663 | 370,889 | ||||||
Total Technology | 4,916,341 | |||||||
Consumer, Non-cyclical - 5.2% | ||||||||
Ortho Clinical Diagnostics Holdings plc* | 52,545 | 980,582 | ||||||
MoneyGram International, Inc.* | 81,444 | 860,049 | ||||||
Sanderson Farms, Inc. | 3,900 | 731,211 | ||||||
Intersect ENT, Inc.* | 23,678 | 663,221 | ||||||
Nielsen Holdings plc | 18,416 | 501,652 | ||||||
LHC Group, Inc.* | 2,972 | 501,079 | ||||||
Total Consumer, Non-cyclical | 4,237,794 | |||||||
Industrial - 5.0% | ||||||||
SPX FLOW, Inc. | 13,730 | 1,183,801 | ||||||
Coherent, Inc.* | 3,364 | 919,583 | ||||||
US Ecology, Inc.* | 17,948 | 859,350 | ||||||
Welbilt, Inc.* | 31,302 | 743,422 | ||||||
Cornerstone Building Brands, Inc.* | 20,090 | 488,589 | ||||||
Total Industrial | 4,194,745 | |||||||
Consumer, Cyclical - 4.3% | ||||||||
Veoneer, Inc.*,1 | 33,305 | 1,230,625 | ||||||
Meritor, Inc.* | 27,875 | 991,513 | ||||||
Tenneco, Inc. — Class A* | 48,165 | 882,383 | ||||||
Spirit Airlines, Inc.* | 14,891 | 325,666 | ||||||
Golden Nugget Online Gaming, Inc.* | 23,257 | 165,358 | ||||||
Total Consumer, Cyclical | 3,595,545 | |||||||
Basic Materials - 3.6% | ||||||||
Rogers Corp.* | 4,486 | 1,218,846 | ||||||
Ferro Corp.* | 40,498 | 880,427 | ||||||
GCP Applied Technologies, Inc.* | 15,812 | 496,813 | ||||||
Atotech Ltd.* | 17,259 | 378,835 | ||||||
Total Basic Materials | 2,974,921 | |||||||
Utilities - 0.9% | ||||||||
South Jersey Industries, Inc. | 21,558 | 744,829 | ||||||
Total Common Stocks | ||||||||
(Cost $32,330,285) | 32,377,281 |
RIGHTS† - 0.0% | ||||||||
Consumer, Non-cyclical - 0.0% | ||||||||
Lantheus Holdings, Inc.* | 42,000 | – | ||||||
Alexion Pharmaceuticals, Inc.* | 34,843 | – | ||||||
Total Consumer, Non-cyclical | – | |||||||
Total Rights | ||||||||
(Cost $–) | – |
MUTUAL FUNDS† - 18.4% | ||||||||
Guggenheim Strategy Fund II2 | 269,618 | 6,619,124 | ||||||
Guggenheim Ultra Short Duration Fund — Institutional Class2 | 674,462 | 6,602,987 | ||||||
Guggenheim Strategy Fund III2 | 79,031 | 1,947,330 | ||||||
Total Mutual Funds | ||||||||
(Cost $15,386,814) | 15,169,441 |
CLOSED-END FUNDS† - 5.9% | ||||||||
CBRE Global Real Estate Income Fund | 18,108 | 163,696 | ||||||
General American Investors Company, Inc. | 3,645 | 154,803 | ||||||
Nuveen Real Asset Income and Growth Fund | 10,079 | 154,007 | ||||||
Adams Diversified Equity Fund, Inc. | 8,329 | 153,587 | ||||||
LMP Capital and Income Fund, Inc. | 10,403 | 152,092 | ||||||
BNY Mellon High Yield Strategies Fund | 53,285 | 148,132 | ||||||
Barings Global Short Duration High Yield Fund | 9,445 | 146,397 | ||||||
PGIM High Yield Bond Fund, Inc. | 10,196 | 146,313 | ||||||
Virtus AllianzGI Convertible & Income Fund II | 33,787 | 146,298 | ||||||
Nuveen California Quality Municipal Income Fund | 10,843 | 142,260 | ||||||
Nuveen New York AMT-Free Quality Municipal Income Fund | 11,715 | 142,220 | ||||||
BlackRock California Municipal Income Trust | 11,427 | 140,324 | ||||||
Eaton Vance California Municipal Bond Fund | 13,371 | 134,245 | ||||||
Nuveen California AMT-Free Quality Municipal Income Fund | 8,578 | 116,318 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value | |||||||
CLOSED-END FUNDS† - 5.9% (continued) | ||||||||
Gabelli Healthcare & WellnessRx Trust | 8,876 | $ | 113,790 | |||||
Nuveen New Jersey Quality Municipal Income Fund | 8,446 | 113,007 | ||||||
Pioneer Municipal High Income Fund Trust | 9,832 | 103,236 | ||||||
First Trust Dynamic Europe Equity Income Fund | 7,539 | 95,218 | ||||||
Apollo Tactical Income Fund, Inc. | 6,556 | 94,144 | ||||||
Invesco Dynamic Credit Opportunities Fund* | 7,373 | 90,314 | ||||||
Invesco Trust for Investment Grade New York Municipals | 7,470 | 86,577 | ||||||
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc. | 16,520 | 82,435 | ||||||
Western Asset Emerging Markets Debt Fund, Inc. | 7,577 | 81,301 | ||||||
Nuveen New York Quality Municipal Income Fund | 6,361 | 79,958 | ||||||
Eaton Vance New York Municipal Bond Fund | 7,618 | 79,837 | ||||||
BNY Mellon Municipal Income, Inc. | 10,040 | 76,204 | ||||||
Invesco California Value Municipal Income Trust | 5,949 | 65,915 | ||||||
Aberdeen Global Dynamic Dividend Fund | 5,702 | 63,862 | ||||||
Miller/Howard High Dividend Fund | 5,666 | 63,233 | ||||||
Saba Capital Income & Opportunities Fund | 13,294 | 60,089 | ||||||
Bancroft Fund Ltd. | 2,565 | 58,431 | ||||||
Nuveen Credit Strategies Income Fund | 9,240 | 57,103 | ||||||
Aberdeen Total Dynamic Dividend Fund | 5,866 | 56,372 | ||||||
Delaware Investments National Municipal Income Fund | 4,420 | 55,913 | ||||||
Insight Select Income Fund | 3,057 | 54,629 | ||||||
BlackRock MuniYield Michigan Quality Fund, Inc. | 3,937 | 50,433 | ||||||
Invesco Pennsylvania Value Municipal Income Trust | 4,187 | 48,904 | ||||||
Neuberger Berman California Municipal Fund, Inc. | 3,399 | 41,502 | ||||||
Tortoise Power and Energy Infrastructure Fund, Inc. | 2,856 | 40,669 | ||||||
AllianceBernstein National Municipal Income Fund, Inc. | 3,139 | 39,520 | ||||||
Nuveen Pennsylvania Quality Municipal Income Fund | 2,739 | 36,977 | ||||||
New Germany Fund, Inc. | 2,987 | 34,141 | ||||||
Eaton Vance California Municipal Income Trust | 2,899 | 33,281 | ||||||
Aberdeen Japan Equity Fund, Inc. | 4,407 | 30,673 | ||||||
BlackRock MuniHoldings Investment Quality Fund | 2,486 | 30,478 | ||||||
MFS Municipal Income Trust | 4,353 | 26,640 | ||||||
MFS High Yield Municipal Trust | 6,848 | 26,502 | ||||||
Western Asset Municipal Partners Fund, Inc. | 1,949 | 26,253 | ||||||
DWS Strategic Municipal Income Trust | 2,508 | 25,933 | ||||||
BlackRock MuniYield Pennsylvania Quality Fund | 1,983 | 25,878 | ||||||
Gabelli Global Small and Mid Capital Value Trust | 1,645 | 22,997 | ||||||
Neuberger Berman New York Municipal Fund, Inc.1 | 1,821 | 21,124 | ||||||
Herzfeld Caribbean Basin Fund, Inc. | 3,928 | 20,858 | ||||||
European Equity Fund, Inc. | 2,272 | 20,834 | ||||||
Source Capital, Inc. | 404 | 16,968 | ||||||
Royce Global Value Trust, Inc. | 1,345 | 15,279 | ||||||
Morgan Stanley Emerging Markets Debt Fund, Inc. | 1,881 | 14,634 | ||||||
BlackRock Resources & Commodities Strategy Trust | 970 | 10,709 | ||||||
Voya Infrastructure Industrials and Materials Fund1 | 910 | 10,583 | ||||||
First Trust Intermediate Duration Preferred & Income Fund | 472 | 10,379 | ||||||
Tekla Healthcare Opportunities Fund | 466 | 10,373 | ||||||
Cohen & Steers Limited Duration Preferred and Income Fund, Inc. | 448 | 10,268 | ||||||
Cohen & Steers Select Preferred and Income Fund, Inc. | 443 | 10,224 | ||||||
Putnam Master Intermediate Income Trust | 2,824 | 10,110 | ||||||
John Hancock Income Securities Trust | 740 | 10,101 | ||||||
Nuveen Preferred & Income Opportunities Fund | 1,176 | 10,090 | ||||||
Putnam Premier Income Trust | 2,526 | 10,079 | ||||||
Allspring Global Dividend Oppo | 1,901 | 10,076 | ||||||
Nuveen Senior Income Fund | 1,764 | 10,002 | ||||||
Allspring Income Opportunities | 1,265 | 9,993 | ||||||
Nuveen Global High Income Fund | 701 | 9,982 | ||||||
BlackRock Limited Duration Income Trust | 696 | 9,981 | ||||||
MFS Charter Income Trust | 1,359 | 9,975 | ||||||
Nuveen Preferred & Income Securities Fund | 1,187 | 9,971 | ||||||
MFS Multimarket Income Trust | 1,876 | 9,962 | ||||||
BlackRock MuniHoldings New York Quality Fund, Inc. | 777 | 9,961 | ||||||
Credit Suisse Asset Management Income Fund, Inc. | 3,264 | 9,955 | ||||||
Invesco Bond Fund | 568 | 9,951 | ||||||
Western Asset Investment Grade Income Fund, Inc. | 729 | 9,936 | ||||||
Credit Suisse High Yield Bond Fund | 4,550 | 9,919 | ||||||
BlackRock Debt Strategies Fund, Inc. | 949 | 9,889 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value | |||||||
CLOSED-END FUNDS† - 5.9% (continued) | ||||||||
First Trust High Income Long/Short Fund | 728 | $ | 9,799 | |||||
Pioneer High Income Fund, Inc. | 1,206 | 9,793 | ||||||
Western Asset Inflation-Linked Opportunities & Income Fund | 815 | 9,788 | ||||||
Nuveen New York Municipal Value Fund | 1,085 | 9,787 | ||||||
Invesco High Income Trust II | 792 | 9,781 | ||||||
Western Asset Municipal High Income Fund, Inc. | 1,387 | 9,764 | ||||||
MFS Government Markets Income Trust | 2,578 | 9,745 | ||||||
Nuveen Select Maturities Municipal Fund | 1,017 | 9,743 | ||||||
BNY Mellon Strategic Municipal Bond Fund, Inc. | 1,377 | 9,735 | ||||||
Western Asset Global High Income Fund, Inc. | 1,148 | 9,723 | ||||||
Pioneer Diversified High Income Fund, Inc. | 754 | 9,704 | ||||||
BlackRock Core Bond Trust | 745 | 9,685 | ||||||
Western Asset Inflation - Linked Securities & Income Fund | 827 | 9,676 | ||||||
Nuveen California Municipal Value Fund, Inc. | 1,055 | 9,664 | ||||||
BlackRock MuniHoldings Fund, Inc. | 678 | 9,648 | ||||||
BlackRock MuniYield Quality Fund II, Inc. | 794 | 9,647 | ||||||
Putnam Managed Municipal Income Trust | 1,364 | 9,644 | ||||||
Invesco Quality Municipal Income Trust | 850 | 9,631 | ||||||
Nuveen Massachusetts Quality Municipal Income Fund | 757 | 9,629 | ||||||
Western Asset Premier Bond Fund | 799 | 9,588 | ||||||
Nuveen Enhanced Municipal Value Fund | 732 | 9,531 | ||||||
BNY Mellon Strategic Municipals, Inc. | 1,323 | 9,512 | ||||||
Federated Hermes Premier Municipal Income Fund | 748 | 9,507 | ||||||
BlackRock MuniYield Quality Fund, Inc. | 689 | 9,501 | ||||||
Western Asset Intermediate Muni Fund, Inc. | 1,106 | 9,500 | ||||||
PIMCO New York Municipal Income Fund | 943 | 9,496 | ||||||
BlackRock New York Municipal Income Trust | 778 | 9,476 | ||||||
Eaton Vance Municipal Bond Fund | 819 | 9,418 | ||||||
Nuveen Georgia Quality Municipal Income Fund | 806 | 9,382 | ||||||
Pioneer Municipal High Income Advantage Fund, Inc. | 953 | 9,368 | ||||||
PIMCO New York Municipal Income Fund II | 986 | 9,367 | ||||||
Nuveen AMT-Free Quality Municipal Income Fund | 711 | 9,342 | ||||||
Nuveen Quality Municipal Income Fund | 696 | 9,299 | ||||||
New Ireland Fund, Inc. | 968 | 8,954 | ||||||
First Trust Aberdeen Emerging Opportunity Fund | 846 | 8,705 | ||||||
Total Closed-End Funds | ||||||||
(Cost $5,059,159) | 4,899,739 | |||||||
Face Amount | ||||||||
U.S. TREASURY BILLS†† - 10.3% | ||||||||
U.S. Treasury Bills | ||||||||
0.16% due 04/05/223,4 | $ | 4,800,000 | 4,799,931 | |||||
0.12% due 05/05/224 | 3,751,000 | 3,750,477 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $8,550,484) | 8,550,408 | |||||||
REPURCHASE AGREEMENTS††,5 - 21.7% | ||||||||
J.P. Morgan Securities LLC issued 03/31/22 at 0.28% due 04/01/226 | 12,100,254 | 12,100,254 | ||||||
BofA Securities, Inc. issued 03/31/22 at 0.25% due 04/01/226 | 4,660,478 | 4,660,478 | ||||||
Barclays Capital, Inc. issued 03/31/22 at 0.24% due 04/01/226 | 1,211,724 | 1,211,724 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $17,972,456) | 17,972,456 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,7 - 0.4% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 0.15%8 | 316,279 | 316,279 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $316,279) | 316,279 | |||||||
Total Investments - 95.9% | ||||||||
(Cost $79,615,477) | $ | 79,285,604 |
COMMON STOCKS SOLD SHORT† - (7.3)% | ||||||||
Industrial - (0.2)% | ||||||||
II-VI, Inc.* | 3,061 | (221,892 | ) | |||||
Consumer, Cyclical - (0.6)% | ||||||||
DraftKings, Inc. — Class A* | 8,489 | (165,281 | ) | |||||
Frontier Group Holdings, Inc.* | 28,481 | (322,690 | ) | |||||
Total Consumer, Cyclical | (487,971 | ) | ||||||
Consumer, Non-cyclical - (0.8)% | ||||||||
Quidel Corp.* | 5,543 | (623,366 | ) | |||||
Technology - (1.1)% | ||||||||
MKS Instruments, Inc. | 953 | (142,950 | ) | |||||
Entegris, Inc. | 2,069 | (271,577 | ) | |||||
Take-Two Interactive Software, Inc.* | 3,346 | (514,414 | ) | |||||
Total Technology | (928,941 | ) | ||||||
Financial - (4.6)% | ||||||||
Columbia Banking System, Inc. | 8,710 | (281,072 | ) | |||||
Raymond James Financial, Inc. | 3,493 | (383,916 | ) | |||||
New York Community Bancorp, Inc. | 37,561 | (402,654 | ) | |||||
Citizens Financial Group, Inc. | 9,270 | (420,209 | ) | |||||
VICI Properties, Inc. | 22,609 | (643,452 | ) |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value | |||||||
COMMON STOCKS SOLD SHORT† - (7.3)% (continued) | ||||||||
Financial - (4.6)% (continued) | ||||||||
Goldman Sachs Group, Inc. | 1,951 | $ | (644,025 | ) | ||||
M&T Bank Corp. | 5,710 | (967,845 | ) | |||||
Total Financial | (3,743,173 | ) | ||||||
Total Common Stocks Sold Short | ||||||||
(Proceeds $6,270,593) | (6,005,343 | ) | ||||||
EXCHANGE-TRADED FUNDS SOLD SHORT† - (6.7)% | ||||||||
iShares Latin America 40 ETF | 80 | (2,431 | ) | |||||
SPDR Gold Shares — Class D* | 44 | (7,949 | ) | |||||
iShares 7-10 Year Treasury Bond ETF | 173 | (18,593 | ) | |||||
iShares Agency Bond ETF | 168 | (18,866 | ) | |||||
Energy Select Sector SPDR Fund | 275 | (21,021 | ) | |||||
iShares TIPS Bond ETF | 305 | (37,994 | ) | |||||
VanEck High Yield Muni ETF | 664 | (38,114 | ) | |||||
VanEck Gold Miners ETF | 1,107 | (42,453 | ) | |||||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 363 | (43,901 | ) | |||||
iShares Core High Dividend ETF | 453 | (48,421 | ) | |||||
Health Care Select Sector SPDR Fund | 680 | (93,153 | ) | |||||
iShares Russell 1000 Growth ETF | 408 | (113,273 | ) | |||||
iShares Preferred & Income Securities ETF | 3,256 | (118,583 | ) | |||||
iShares U.S. Real Estate ETF | 1,250 | (135,275 | ) | |||||
SPDR Bloomberg Convertible Securities ETF | 2,176 | (167,443 | ) | |||||
Invesco Senior Loan ETF | 10,095 | (219,768 | ) | |||||
iShares National Muni Bond ETF | 2,814 | (308,527 | ) | |||||
Schwab U.S. Aggregate Bond ETF | 7,129 | (360,514 | ) | |||||
iShares Russell 1000 Value ETF | 2,372 | (393,705 | ) | |||||
iShares Russell 2000 Index ETF | 2,109 | (432,914 | ) | |||||
SPDR S&P 500 ETF Trust | 1,114 | (503,127 | ) | |||||
iShares Floating Rate Bond ETF | 10,701 | (540,615 | ) | |||||
SPDR Nuveen Bloomberg Municipal Bond ETF | 14,542 | (696,271 | ) | |||||
iShares iBoxx High Yield Corporate Bond ETF | 13,931 | (1,146,382 | ) | |||||
Total Exchange-Traded Funds Sold Short | ||||||||
(Proceeds $5,711,335) | (5,509,293 | ) | ||||||
Total Securities Sold Short - (14.0)% | ||||||||
(Proceeds $11,981,928) | $ | (11,514,636 | ) | |||||
Other Assets & Liabilities, net - 18.1% | 14,928,647 | |||||||
Total Net Assets - 100.0% | $ | 82,699,615 |
Futures Contracts | ||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation (Depreciation)** | ||||||||||
Commodity Futures Contracts Purchased† | ||||||||||||||
Cotton #2 Futures Contracts | 62 | Dec 2022 | $ | 3,446,580 | $ | 264,350 | ||||||||
Corn Futures Contracts | 48 | Sep 2022 | 1,666,800 | 125,447 | ||||||||||
Natural Gas Futures Contracts | 3 | Apr 2022 | 169,560 | 25,102 | ||||||||||
Brent Crude Futures Contracts | 2 | Apr 2022 | 209,940 | 18,657 | ||||||||||
Gasoline RBOB Futures Contracts | 2 | Apr 2022 | 263,962 | 16,753 | ||||||||||
Sugar #11 Futures Contracts | 18 | Apr 2022 | 393,523 | 16,710 | ||||||||||
Lean Hogs Futures Contracts | 3 | Jun 2022 | 145,140 | 8,347 | ||||||||||
LME Zinc Futures Contracts | 1 | May 2022 | 105,062 | 6,466 | ||||||||||
Copper Futures Contracts | 1 | May 2022 | 117,925 | 4,609 | ||||||||||
LME Primary Aluminum Futures Contracts | 1 | May 2022 | 87,178 | 3,618 | ||||||||||
Gold 100 oz. Futures Contracts | 1 | Jun 2022 | 194,170 | 2,737 | ||||||||||
LME Lead Futures Contracts | 3 | May 2022 | 181,650 | 1,285 | ||||||||||
Soybean Futures Contracts | 2 | May 2022 | 161,725 | (2,581 | ) | |||||||||
Soybean Oil Futures Contracts | 7 | May 2022 | 293,328 | (3,051 | ) | |||||||||
NY Harbor ULSD Futures Contracts | 1 | Apr 2022 | 141,137 | (4,060 | ) | |||||||||
Hard Red Winter Wheat Futures Contracts | 3 | May 2022 | 154,800 | (6,586 | ) | |||||||||
WTI Crude Futures Contracts | 2 | Apr 2022 | 201,360 | (11,878 | ) | |||||||||
Wheat Futures Contracts | 3 | May 2022 | 151,200 | (16,547 | ) | |||||||||
Coffee 'C' Futures Contracts | 3 | May 2022 | 253,969 | (29,391 | ) | |||||||||
Soybean Meal Futures Contracts | 62 | Dec 2022 | 2,555,020 | (74,022 | ) | |||||||||
Soybean Futures Contracts | 57 | Nov 2022 | 4,043,438 | (102,671 | ) | |||||||||
Low Sulphur Gas Oil Futures Contracts | 19 | Jul 2022 | 1,752,275 | (130,556 | ) | |||||||||
$ | 16,689,742 | $ | 112,738 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Description | Number of Contracts | Expiration Date | Value and Unrealized Appreciation (Depreciation)** | ||||||||||
Equity Futures Contracts Purchased† | |||||||||||||
CBOE Volatility Index Futures Contracts | 120 | Jul 2022 | $ | 3,132,000 | $ | 39,832 | |||||||
CBOE Volatility Index Futures Contracts | 98 | Sep 2022 | 2,609,740 | 21,399 | |||||||||
S&P/TSX 60 IX Index Futures Contracts | 2 | Jun 2022 | 422,528 | 8,805 | |||||||||
FTSE 100 Index Futures Contracts | 1 | Jun 2022 | 97,847 | 1,307 | |||||||||
$ | 6,262,115 | $ | 71,343 | ||||||||||
Currency Futures Contracts Purchased† | |||||||||||||
Canadian Dollar Futures Contracts | 18 | Jun 2022 | $ | 1,439,280 | $ | 36,103 | |||||||
New Zealand Dollar Futures Contracts | 34 | Jun 2022 | 2,353,310 | 35,224 | |||||||||
Euro FX Futures Contracts | 6 | Jun 2022 | 832,012 | 12,749 | |||||||||
British Pound Futures Contracts | 40 | Jun 2022 | 3,283,250 | (2,205) | |||||||||
Japanese Yen Futures Contracts | 33 | Jun 2022 | 3,394,875 | (114,810) | |||||||||
$ | 11,302,727 | $ | (32,939) | ||||||||||
Interest Rate Futures Contracts Purchased† | |||||||||||||
Australian Government 10 Year Bond Futures Contracts | 44 | Jun 2022 | $ | 4,185,286 | $ | (11,892) | |||||||
Euro - BTP Italian Government Bond Futures Contracts†† | 58 | Jun 2022 | 8,887,728 | (196,100) | |||||||||
Euro - OATS Futures Contracts | 60 | Jun 2022 | 10,052,673 | (409,783) | |||||||||
$ | 23,125,687 | $ | (617,775) | ||||||||||
Interest Rate Futures Contracts Sold Short† | |||||||||||||
Canadian Government 10 Year Bond Futures Contracts | 79 | Jun 2022 | $ | 8,241,901 | $ | 249,407 | |||||||
U.S. Treasury 10 Year Note Futures Contracts | 83 | Jun 2022 | 10,189,547 | 241,422 | |||||||||
Euro - Bund Futures Contracts | 26 | Jun 2022 | 4,564,745 | 131,936 | |||||||||
Long Gilt Futures Contracts†† | 49 | Jun 2022 | 7,807,919 | 60,851 | |||||||||
Euro - 30 year Bond Futures Contracts | 1 | Jun 2022 | 205,511 | 540 | |||||||||
U.S. Treasury Ultra Long Bond Futures Contracts | 2 | Jun 2022 | 354,187 | 33 | |||||||||
U.S. Treasury Long Bond Futures Contracts | 2 | Jun 2022 | 300,500 | (411) | |||||||||
$ | 31,664,310 | $ | 683,778 | ||||||||||
Commodity Futures Contracts Sold Short† | |||||||||||||
Low Sulphur Gas Oil Futures Contracts | 13 | May 2022 | $ | 1,300,650 | $ | 179,053 | |||||||
Soybean Futures Contracts | 42 | Jul 2022 | 3,355,275 | 64,556 | |||||||||
Soybean Meal Futures Contracts | 38 | May 2022 | 1,778,020 | 19,646 | |||||||||
Cattle Feeder Futures Contracts | 11 | May 2022 | 915,613 | (5,246) | |||||||||
Corn Futures Contracts | 28 | May 2022 | 1,046,500 | (15,134) | |||||||||
Cotton #2 Futures Contracts | 6 | May 2022 | 406,620 | (47,239) | |||||||||
Cotton #2 Futures Contracts | 35 | Jul 2022 | 2,305,800 | (189,020) | |||||||||
$ | 11,108,478 | $ | 6,616 | ||||||||||
Currency Futures Contracts Sold Short† | |||||||||||||
Swiss Franc Futures Contracts | 112 | Jun 2022 | $ | 15,194,200 | $ | (903) | |||||||
Australian Dollar Futures Contracts | 48 | Jun 2022 | 3,595,920 | (52,198) | |||||||||
$ | 18,790,120 | $ | (53,101) | ||||||||||
Equity Futures Contracts Sold Short† | |||||||||||||
Russell 2000 Index Mini Futures Contracts | 2 | Jun 2022 | $ | 206,500 | $ | 1,673 | |||||||
Euro STOXX 50 Index Futures Contracts | 4 | Jun 2022 | 168,153 | 1,037 | |||||||||
OMX Stockholm 30 Index Futures Contracts†† | 9 | Apr 2022 | 196,901 | 993 | |||||||||
IBEX 35 Index Futures Contracts†† | 3 | Apr 2022 | 276,654 | (928) | |||||||||
CAC 40 10 Euro Index Futures Contracts | 2 | Apr 2022 | 146,664 | (6,977) | |||||||||
SPI 200 Index Futures Contracts | 1 | Jun 2022 | 139,155 | (7,009) | |||||||||
Amsterdam Index Futures Contracts | 1 | Apr 2022 | 159,666 | (8,843) | |||||||||
FTSE MIB Index Futures Contracts | 1 | Jun 2022 | 134,226 | (10,011) | |||||||||
Nikkei 225 (OSE) Index Futures Contracts | 1 | Jun 2022 | 226,251 | (10,078) | |||||||||
Tokyo Stock Price Index Futures Contracts | 2 | Jun 2022 | 316,621 | (21,308) |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Description | Number of Contracts | Expiration Date | Value and Unrealized Appreciation (Depreciation)** | ||||||||||
Equity Futures Contracts Sold Short† (continued) | |||||||||||||
CBOE Volatility Index Futures Contracts | 86 | Apr 2022 | $ | 2,016,700 | $ | (101,889) | |||||||
$ | 3,987,491 | $ | (163,340) |
Custom Basket Swap Agreements | |||||||||||||||||||
Counterparty | Reference Obligation | Type | Financing Rate | Payment Frequency | Maturity Date | Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||||
OTC Custom Basket Swap Agreements†† | |||||||||||||||||||
Morgan Stanley Capital Services LLC | MS Equity Market Neutral Custom Basket | Pay | 0.73% (Federal Funds Rate + 0.40%) | At Maturity | 08/31/23 | $ | 11,827,358 | $ | 1,412,522 | ||||||||||
Goldman Sachs International | GS Equity Market Neutral Custom Basket | Pay | 0.78% (Federal Funds Rate + 0.45%) | At Maturity | 05/06/24 | 11,781,876 | 1,371,116 | ||||||||||||
Morgan Stanley Capital Services LLC | MS Long/Short Equity Custom Basket | Pay | 0.73% (Federal Funds Rate + 0.40%) | At Maturity | 08/31/23 | 8,632,310 | 408,871 | ||||||||||||
Goldman Sachs International | GS Long/Short Equity Custom Basket | Pay | 0.78% (Federal Funds Rate + 0.45%) | At Maturity | 05/06/24 | 8,632,490 | 405,585 | ||||||||||||
$ | 40,874,034 | $ | 3,598,094 | ||||||||||||||||
OTC Custom Basket Swap Agreements Sold Short†† | |||||||||||||||||||
Morgan Stanley Capital Services LLC | MS Long/Short Equity Custom Basket | Receive | 0.03% (Federal Funds Rate - 0.30%) | At Maturity | 08/31/23 | $ | 5,278,278 | $ | (151,814 | ) | |||||||||
Goldman Sachs International | GS Long/Short Equity Custom Basket | Receive | 0.13% (Federal Funds Rate - 0.20%) | At Maturity | 05/06/24 | 5,215,456 | (152,259 | ) | |||||||||||
Morgan Stanley Capital Services LLC | MS Equity Market Neutral Custom Basket | Receive | 0.03% (Federal Funds Rate - 0.30%) | At Maturity | 08/31/23 | 12,240,493 | (319,156 | ) | |||||||||||
Goldman Sachs International | GS Equity Market Neutral Custom Basket | Receive | 0.12% (Federal Funds Rate - 0.21%) | At Maturity | 05/06/24 | 12,241,596 | (343,015 | ) | |||||||||||
$ | 34,975,823 | $ | (966,244 | ) | |||||||||||||||
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
MS EQUITY MARKET NEUTRAL LONG CUSTOM BASKET | ||||||||||||
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
Financial | ||||||||||||
AvalonBay Communities, Inc. | 2,319 | 4.87 | % | $ | 146,395 | |||||||
Equity Residential | 6,479 | 4.93 | % | 127,704 | ||||||||
Sun Communities, Inc. | 3,856 | 5.71 | % | 107,504 | ||||||||
Ryman Hospitality Properties, Inc. | 5,441 | 4.27 | % | 107,189 | ||||||||
National Storage Affiliates Trust | 12,009 | 6.37 | % | 103,481 | ||||||||
Ventas, Inc. | 5,727 | 2.99 | % | 86,354 | ||||||||
Prologis, Inc. | 1,711 | 2.34 | % | 85,902 | ||||||||
Rexford Industrial Realty, Inc. | 5,694 | 3.59 | % | 77,757 | ||||||||
Alexandria Real Estate Equities, Inc. | 2,626 | 4.47 | % | 76,595 | ||||||||
Gaming and Leisure Properties, Inc. | 12,346 | 4.90 | % | 59,875 | ||||||||
American Assets Trust, Inc. | 10,961 | 3.51 | % | 55,356 | ||||||||
Invitation Homes, Inc. | 11,373 | 3.86 | % | 51,093 | ||||||||
Brixmor Property Group, Inc. | 11,008 | 2.40 | % | 49,009 | ||||||||
American Campus Communities, Inc. | 5,752 | 2.72 | % | 48,225 | ||||||||
DiamondRock Hospitality Co. | 29,985 | 2.56 | % | 46,003 | ||||||||
Healthpeak Properties, Inc. | 5,241 | 1.52 | % | 34,230 | ||||||||
Xenia Hotels & Resorts, Inc. | 30,606 | 4.99 | % | 33,136 | ||||||||
Kite Realty Group Trust | 20,590 | 3.96 | % | 32,050 | ||||||||
MGM Growth Properties LLC — Class A | 6,444 | 2.11 | % | 31,455 | ||||||||
Hudson Pacific Properties, Inc. | 15,596 | 3.66 | % | 31,215 | ||||||||
VICI Properties, Inc. | 14,450 | 3.48 | % | 21,164 | ||||||||
Acadia Realty Trust | 18,540 | 3.40 | % | 16,162 | ||||||||
SITE Centers Corp. | 15,998 | 2.26 | % | 14,940 | ||||||||
NETSTREIT Corp. | 8,143 | 1.54 | % | 8,252 | ||||||||
Agree Realty Corp. | 4,932 | 2.77 | % | 4,767 | ||||||||
Medical Properties Trust, Inc. | 14,698 | 2.63 | % | 2,018 | ||||||||
PS Business Parks, Inc. | 269 | 0.38 | % | 1,805 | ||||||||
Four Corners Property Trust, Inc. | 19,271 | 4.41 | % | (9,714 | ) | |||||||
Empire State Realty Trust, Inc. — Class A | 40,933 | 3.40 | % | (37,400 | ) | |||||||
Total Financial | 1,412,522 | |||||||||||
Total MS Equity Market Neutral Long Custom Basket | $ | 1,412,522 |
MS EQUITY MARKET NEUTRAL SHORT CUSTOM BASKET | ||||||||||||
Financial | ||||||||||||
Broadstone Net Lease, Inc. | 24,877 | (4.44) | % | 104,212 | ||||||||
STORE Capital Corp. | 16,092 | (3.84) | % | 75,041 | ||||||||
Omega Healthcare Investors, Inc. | 14,350 | (3.65) | % | 61,811 | ||||||||
Necessity Retail REIT, Inc. | 35,419 | (2.29) | % | 30,202 | ||||||||
RLJ Lodging Trust | 37,245 | (4.28) | % | 24,351 | ||||||||
Office Properties Income Trust | 17,279 | (3.63) | % | 21,531 | ||||||||
LTC Properties, Inc. | 7,819 | (2.46) | % | 19,825 | ||||||||
National Health Investors, Inc. | 832 | (0.40) | % | 12,795 | ||||||||
Industrial Logistics Properties Trust | 8,374 | (1.55) | % | 12,635 | ||||||||
Easterly Government Properties, Inc. | 9,316 | (1.61) | % | 4,426 | ||||||||
Equity Commonwealth | 9,854 | (2.27) | % | (2,659 | ) | |||||||
Essential Properties Realty Trust, Inc. | 20,690 | (4.28) | % | (10,657 | ) | |||||||
Corporate Office Properties Trust | 9,981 | (2.33) | % | (12,278 | ) | |||||||
Realty Income Corp. | 13,420 | (7.60) | % | (17,674 | ) | |||||||
Douglas Emmett, Inc. | 15,704 | (4.29) | % | (17,876 | ) | |||||||
CubeSmart | 3,941 | (1.68) | % | (25,494 | ) | |||||||
Apartment Income REIT Corp. | 5,493 | (2.40) | % | (33,174 | ) | |||||||
Phillips Edison & Company, Inc. | 19,485 | (5.47) | % | (33,474 | ) | |||||||
Camden Property Trust | 2,483 | (3.37) | % | (35,944 | ) | |||||||
Welltower, Inc. | 3,352 | (2.63) | % | (44,205 | ) | |||||||
Washington Real Estate Investment Trust | 19,593 | (4.08) | % | (45,377 | ) | |||||||
Host Hotels & Resorts, Inc. | 21,815 | (3.46) | % | (47,242 | ) | |||||||
STAG Industrial, Inc. | 11,934 | (4.03) | % | (57,062 | ) | |||||||
Apple Hospitality REIT, Inc. | 48,708 | (7.15) | % | (113,336 | ) | |||||||
Mid-America Apartment Communities, Inc. | 4,082 | (6.98) | % | (161,497 | ) | |||||||
Total Financial | (291,120 | ) | ||||||||||
Exchange-Traded Funds | ||||||||||||
Vanguard Real Estate ETF | 11,103 | (9.83) | % | (28,036 | ) | |||||||
Total MS Equity Market Neutral Short Custom Basket | $ | (319,156 | ) |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
GS EQUITY MARKET NEUTRAL ��LONG CUSTOM BASKET | ||||||||||||
Financial | ||||||||||||
AvalonBay Communities, Inc. | 2,319 | 4.87 | % | $ | 146,058 | |||||||
Equity Residential | 6,479 | 4.94 | % | 127,215 | ||||||||
Ryman Hospitality Properties, Inc. | 5,426 | 4.27 | % | 108,595 | ||||||||
National Storage Affiliates Trust | 12,009 | 6.40 | % | 103,160 | ||||||||
Ventas, Inc. | 5,727 | 3.00 | % | 86,384 | ||||||||
Prologis, Inc. | 1,711 | 2.35 | % | 85,840 | ||||||||
Sun Communities, Inc. | 3,856 | 5.74 | % | 79,384 | ||||||||
Rexford Industrial Realty, Inc. | 5,694 | 3.60 | % | 77,511 | ||||||||
Alexandria Real Estate Equities, Inc. | 2,626 | 4.49 | % | 76,649 | ||||||||
Gaming and Leisure Properties, Inc. | 12,346 | 4.92 | % | 59,817 | ||||||||
American Assets Trust, Inc. | 10,961 | 3.53 | % | 55,682 | ||||||||
Invitation Homes, Inc. | 11,373 | 3.88 | % | 50,982 | ||||||||
Brixmor Property Group, Inc. | 11,008 | 2.41 | % | 49,059 | ||||||||
American Campus Communities, Inc. | 5,752 | 2.73 | % | 47,400 | ||||||||
DiamondRock Hospitality Co. | 29,985 | 2.57 | % | 45,689 | ||||||||
Xenia Hotels & Resorts, Inc. | 30,606 | 5.01 | % | 32,967 | ||||||||
Kite Realty Group Trust | 20,590 | 3.98 | % | 32,246 | ||||||||
MGM Growth Properties LLC — Class A | 6,444 | 2.12 | % | 31,506 | ||||||||
Hudson Pacific Properties, Inc. | 15,596 | 3.67 | % | 31,280 | ||||||||
Healthpeak Properties, Inc. | 5,241 | 1.53 | % | 23,703 | ||||||||
VICI Properties, Inc. | 14,450 | 3.49 | % | 20,973 | ||||||||
Acadia Realty Trust | 18,540 | 3.41 | % | 16,807 | ||||||||
SITE Centers Corp. | 15,998 | 2.27 | % | 12,163 | ||||||||
NETSTREIT Corp. | 8,587 | 1.64 | % | 8,499 | ||||||||
Agree Realty Corp. | 4,724 | 2.66 | % | 3,961 | ||||||||
Medical Properties Trust, Inc. | 14,698 | 2.64 | % | 1,923 | ||||||||
PS Business Parks, Inc. | 167 | 0.24 | % | 1,118 | ||||||||
Four Corners Property Trust, Inc. | 19,271 | 4.42 | % | (9,118 | ) | |||||||
Empire State Realty Trust, Inc. — Class A | 38,579 | 3.22 | % | (36,337 | ) | |||||||
Total Financial | 1,371,116 | |||||||||||
Total GS Equity Market Neutral Long Custom Basket | $ | 1,371,116 | ||||||||||
GS EQUITY MARKET NEUTRAL SHORT CUSTOM BASKET | ||||||||||||
Financial | ||||||||||||
Broadstone Net Lease, Inc. | 24,877 | (4.44)% | 98,765 | |||||||||
STORE Capital Corp. | 16,092 | (3.84)% | 74,860 | |||||||||
Omega Healthcare Investors, Inc. | 14,350 | (3.65)% | 63,789 | |||||||||
Necessity Retail REIT, Inc. | 35,419 | (2.29)% | 30,482 | |||||||||
RLJ Lodging Trust | 37,237 | (4.28)% | 27,261 | |||||||||
Office Properties Income Trust | 17,279 | (3.63)% | 23,421 | |||||||||
LTC Properties, Inc. | 7,819 | (2.46)% | 19,942 | |||||||||
National Health Investors, Inc. | 832 | (0.40)% | 12,818 | |||||||||
Industrial Logistics Properties Trust | 8,374 | (1.55)% | 12,474 | |||||||||
Easterly Government Properties, Inc. | 9,316 | (1.61)% | 4,395 | |||||||||
Equity Commonwealth | 9,854 | (2.27)% | (2,613 | ) | ||||||||
Corporate Office Properties Trust | 9,088 | (2.12)% | (11,354 | ) | ||||||||
Essential Properties Realty Trust, Inc. | 21,745 | (4.49)% | (13,923 | ) | ||||||||
Douglas Emmett, Inc. | 15,704 | (4.29)% | (16,927 | ) | ||||||||
Realty Income Corp. | 13,420 | (7.60)% | (18,789 | ) | ||||||||
CubeSmart | 3,941 | (1.68)% | (25,893 | ) | ||||||||
Apartment Income REIT Corp. | 5,493 | (2.40)% | (32,565 | ) | ||||||||
Camden Property Trust | 2,483 | (3.37)% | (36,021 | ) | ||||||||
Phillips Edison & Company, Inc. | 19,485 | (5.47)% | (37,095 | ) | ||||||||
Welltower, Inc. | 3,352 | (2.63)% | (44,673 | ) | ||||||||
Washington Real Estate Investment Trust | 19,593 | (4.08)% | (46,783 | ) | ||||||||
Host Hotels & Resorts, Inc. | 21,815 | (3.46)% | (47,423 | ) | ||||||||
STAG Industrial, Inc. | 11,934 | (4.03)% | (57,938 | ) | ||||||||
Apple Hospitality REIT, Inc. | 48,708 | (7.15)% | (128,138 | ) | ||||||||
Mid-America Apartment Communities, Inc. | 4,082 | (6.98)% | (162,621 | ) | ||||||||
Total Financial | (314,549 | ) | ||||||||||
Exchange-Traded Funds | ||||||||||||
Vanguard Real Estate ETF | 11,103 | (9.83)% | (28,466 | ) | ||||||||
Total GS Equity Market Neutral Short Custom Basket | $ | (343,015 | ) |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
MS LONG/SHORT EQUITY LONG CUSTOM BASKET | ||||||||||||
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
Consumer, Non-cyclical | ||||||||||||
Amphastar Pharmaceuticals, Inc. | 1,783 | 0.70 | % | $ | 27,701 | |||||||
Innoviva, Inc. | 3,612 | 0.78 | % | 23,872 | ||||||||
AbbVie, Inc. | 492 | 0.92 | % | 21,461 | ||||||||
United Therapeutics Corp. | 176 | 0.37 | % | 14,480 | ||||||||
Regeneron Pharmaceuticals, Inc. | 96 | 0.78 | % | 14,273 | ||||||||
Bristol-Myers Squibb Co. | 1,340 | 1.13 | % | 13,678 | ||||||||
Vertex Pharmaceuticals, Inc. | 188 | 0.57 | % | 12,257 | ||||||||
Prestige Consumer Healthcare, Inc. | 823 | 0.50 | % | 12,181 | ||||||||
Amgen, Inc. | 335 | 0.94 | % | 12,001 | ||||||||
Molson Coors Beverage Co. — Class B | 906 | 0.56 | % | 11,654 | ||||||||
Eagle Pharmaceuticals, Inc. | 1,134 | 0.65 | % | 9,326 | ||||||||
Johnson & Johnson | 549 | 1.13 | % | 9,132 | ||||||||
Hologic, Inc. | 1,020 | 0.91 | % | 8,345 | ||||||||
Quest Diagnostics, Inc. | 308 | 0.49 | % | 3,779 | ||||||||
Perdoceo Education Corp. | 6,047 | 0.80 | % | 3,488 | ||||||||
Corteva, Inc. | 381 | 0.25 | % | 3,356 | ||||||||
Merck & Company, Inc. | 469 | 0.45 | % | 3,354 | ||||||||
Exelixis, Inc. | 1,279 | 0.34 | % | 2,692 | ||||||||
Incyte Corp. | 710 | 0.65 | % | 2,290 | ||||||||
John B Sanfilippo & Son, Inc. | 1,085 | 1.05 | % | 1,601 | ||||||||
Halozyme Therapeutics, Inc. | 590 | 0.27 | % | 1,520 | ||||||||
Royalty Pharma plc — Class A | 899 | 0.41 | % | 244 | ||||||||
Premier, Inc. — Class A | 505 | 0.21 | % | (884 | ) | |||||||
Abbott Laboratories | 340 | 0.47 | % | (1,009 | ) | |||||||
Waters Corp. | 107 | 0.38 | % | (1,023 | ) | |||||||
Laboratory Corporation of America Holdings | 109 | 0.33 | % | (1,438 | ) | |||||||
Pfizer, Inc. | 565 | 0.34 | % | (2,767 | ) | |||||||
EVERTEC, Inc. | 1,024 | 0.49 | % | (4,797 | ) | |||||||
Gilead Sciences, Inc. | 1,501 | 1.03 | % | (5,305 | ) | |||||||
USANA Health Sciences, Inc. | 615 | 0.57 | % | (11,348 | ) | |||||||
Bio-Rad Laboratories, Inc. — Class A | 95 | 0.62 | % | (11,630 | ) | |||||||
Vanda Pharmaceuticals, Inc. | 3,159 | 0.41 | % | (15,148 | ) | |||||||
Total Consumer, Non-cyclical | 157,336 | |||||||||||
Consumer, Cyclical | ||||||||||||
AutoZone, Inc. | 48 | 1.14 | % | 23,798 | ||||||||
AutoNation, Inc. | 251 | 0.29 | % | 8,459 | ||||||||
Brunswick Corp. | 407 | 0.38 | % | 8,312 | ||||||||
Gentex Corp. | 3,152 | 1.07 | % | 7,118 | ||||||||
Cummins, Inc. | 304 | 0.72 | % | 6,762 | ||||||||
Ethan Allen Interiors, Inc. | 1,739 | 0.53 | % | 3,554 | ||||||||
Allison Transmission Holdings, Inc. | 1,508 | 0.69 | % | 2,982 | ||||||||
Methode Electronics, Inc. | 688 | 0.34 | % | 549 | ||||||||
Columbia Sportswear Co. | 415 | 0.44 | % | 15 | ||||||||
Tapestry, Inc. | 665 | 0.29 | % | 1 | ||||||||
Zumiez, Inc. | 593 | 0.26 | % | (1,436 | ) | |||||||
Dolby Laboratories, Inc. — Class A | 707 | 0.64 | % | (2,748 | ) | |||||||
Autoliv, Inc. | 290 | 0.26 | % | (2,908 | ) | |||||||
Buckle, Inc. | 536 | 0.21 | % | (3,233 | ) | |||||||
MarineMax, Inc. | 444 | 0.21 | % | (3,527 | ) | |||||||
Haverty Furniture Companies, Inc. | 637 | 0.20 | % | (3,680 | ) | |||||||
Shoe Carnival, Inc. | 639 | 0.22 | % | (4,668 | ) | |||||||
Tri Pointe Homes, Inc. | 1,734 | 0.40 | % | (4,715 | ) | |||||||
Jack in the Box, Inc. | 315 | 0.34 | % | (4,988 | ) | |||||||
LKQ Corp. | 610 | 0.32 | % | (6,093 | ) | |||||||
PulteGroup, Inc. | 613 | 0.30 | % | (6,640 | ) | |||||||
NVR, Inc. | 16 | 0.83 | % | (7,580 | ) | |||||||
Toll Brothers, Inc. | 474 | 0.26 | % | (8,998 | ) | |||||||
Acushnet Holdings Corp. | 1,025 | 0.48 | % | (9,341 | ) | |||||||
Whirlpool Corp. | 442 | 0.88 | % | (19,311 | ) | |||||||
Total Consumer, Cyclical | (28,316 | ) | ||||||||||
Basic Materials | ||||||||||||
Westlake Corp. | 533 | 0.76 | % | 16,223 | ||||||||
LyondellBasell Industries N.V. — Class A | 710 | 0.85 | % | 8,235 | ||||||||
Dow, Inc. | 1,169 | 0.86 | % | 8,011 | ||||||||
AdvanSix, Inc. | 685 | 0.41 | % | 5,073 | ||||||||
NewMarket Corp. | 74 | 0.28 | % | 868 | ||||||||
Reliance Steel & Aluminum Co. | 187 | 0.40 | % | (717 | ) | |||||||
Minerals Technologies, Inc. | 608 | 0.47 | % | (2,065 | ) | |||||||
International Paper Co. | 1,342 | 0.72 | % | (2,168 | ) | |||||||
Total Basic Materials | 33,460 | |||||||||||
Technology | ||||||||||||
CSG Systems International, Inc. | 1,480 | 1.09 | % | 26,729 | ||||||||
Rambus, Inc. | 2,019 | 0.75 | % | 23,668 | ||||||||
NetApp, Inc. | 537 | 0.52 | % | 16,514 | ||||||||
ExlService Holdings, Inc. | 192 | 0.32 | % | 7,062 | ||||||||
Lumentum Holdings, Inc. | 264 | 0.30 | % | 4,023 | ||||||||
Akamai Technologies, Inc. | 241 | 0.33 | % | 1,630 | ||||||||
Dropbox, Inc. — Class A | 835 | 0.22 | % | 1,200 | ||||||||
Genpact Ltd. | 434 | 0.22 | % | 733 | ||||||||
Progress Software Corp. | 709 | 0.39 | % | 518 | ||||||||
NetScout Systems, Inc. | 603 | 0.22 | % | 414 | ||||||||
SS&C Technologies Holdings, Inc. | 242 | 0.21 | % | (187 | ) | |||||||
Skyworks Solutions, Inc. | 135 | 0.21 | % | (238 | ) | |||||||
Ziff Davis, Inc. | 251 | 0.28 | % | (404 | ) | |||||||
Intel Corp. | 712 | 0.41 | % | (547 | ) | |||||||
Qorvo, Inc. | 140 | 0.20 | % | (1,084 | ) | |||||||
CommVault Systems, Inc. | 285 | 0.22 | % | (3,560 | ) | |||||||
Xperi Holding Corp. | 2,120 | 0.43 | % | (5,531 | ) | |||||||
Total Technology | 70,940 | |||||||||||
Industrial | ||||||||||||
Snap-on, Inc. | 375 | 0.89 | % | 17,612 | ||||||||
Mueller Industries, Inc. | 1,608 | 1.01 | % | 17,544 | ||||||||
Owens Corning | 310 | 0.33 | % | 13,985 | ||||||||
Knowles Corp. | 4,289 | 1.07 | % | 10,490 | ||||||||
Packaging Corporation of America | 428 | 0.77 | % | 9,824 | ||||||||
Vishay Intertechnology, Inc. | 4,843 | 1.10 | % | 9,792 | ||||||||
Crane Co. | 433 | 0.54 | % | 5,772 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value and Unrealized Appreciation (Depreciation) | |||||||||||
Encore Wire Corp. | 333 | 0.44 | % | $ | 5,106 | |||||||
TTM Technologies, Inc. | 4,443 | 0.76 | % | 4,572 | ||||||||
Dorian LPG Ltd. | 1,745 | 0.29 | % | 3,188 | ||||||||
Sanmina Corp. | 1,863 | 0.87 | % | 2,714 | ||||||||
Albany International Corp. — Class A | 323 | 0.32 | % | 2,120 | ||||||||
Louisiana-Pacific Corp. | 464 | 0.33 | % | 1,120 | ||||||||
Keysight Technologies, Inc. | 119 | 0.22 | % | 784 | ||||||||
Insteel Industries, Inc. | 574 | 0.25 | % | (1,068 | ) | |||||||
Hillenbrand, Inc. | 1,181 | 0.60 | % | (1,250 | ) | |||||||
Arrow Electronics, Inc. | 152 | 0.21 | % | (1,426 | ) | |||||||
Sturm Ruger & Company, Inc. | 1,079 | 0.87 | % | (2,366 | ) | |||||||
UFP Industries, Inc. | 289 | 0.26 | % | (2,953 | ) | |||||||
Eagle Materials, Inc. | 324 | 0.48 | % | (5,908 | ) | |||||||
OSI Systems, Inc. | 561 | 0.55 | % | (5,985 | ) | |||||||
Vontier Corp. | 1,084 | 0.32 | % | (7,842 | ) | |||||||
3M Co. | 624 | 1.08 | % | (9,972 | ) | |||||||
Garmin Ltd. | 753 | 1.03 | % | (12,295 | ) | |||||||
Total Industrial | 53,558 | |||||||||||
Communications | ||||||||||||
Cisco Systems, Inc. | 897 | 0.58 | % | 14,281 | ||||||||
Omnicom Group, Inc. | 437 | 0.43 | % | 13,782 | ||||||||
Viavi Solutions, Inc. | 2,990 | 0.56 | % | 13,007 | ||||||||
Juniper Networks, Inc. | 677 | 0.29 | % | 9,722 | ||||||||
F5, Inc. | 91 | 0.22 | % | 1,345 | ||||||||
Interpublic Group of Companies, Inc. | 1,199 | 0.49 | % | 1,316 | ||||||||
Nexstar Media Group, Inc. — Class A | 230 | 0.50 | % | 1,300 | ||||||||
Alphabet, Inc. — Class C | 13 | 0.42 | % | 834 | ||||||||
Shenandoah Telecommunications Co. | 1,594 | 0.44 | % | (96 | ) | |||||||
InterDigital, Inc. | 539 | 0.40 | % | (399 | ) | |||||||
Comcast Corp. — Class A | 1,788 | 0.97 | % | (708 | ) | |||||||
Yelp, Inc. — Class A | 1,465 | 0.58 | % | (2,240 | ) | |||||||
NETGEAR, Inc. | 686 | 0.20 | % | (2,378 | ) | |||||||
Verizon Communications, Inc. | 1,694 | 1.00 | % | (4,882 | ) | |||||||
Meta Platforms, Inc. — Class A | 385 | 0.99 | % | (7,010 | ) | |||||||
Total Communications | 37,874 | |||||||||||
Utilities | ||||||||||||
National Fuel Gas Co. | 1,415 | 1.13 | % | 22,436 | ||||||||
IDACORP, Inc. | 775 | 1.04 | % | 18,382 | ||||||||
Southern Co. | 656 | 0.55 | % | 11,551 | ||||||||
Chesapeake Utilities Corp. | 607 | 0.97 | % | 10,401 | ||||||||
Portland General Electric Co. | 1,576 | 1.01 | % | 8,062 | ||||||||
Duke Energy Corp. | 809 | 1.05 | % | 6,447 | ||||||||
MGE Energy, Inc. | 1,254 | 1.16 | % | 4,700 | ||||||||
CMS Energy Corp. | 1,419 | 1.15 | % | 4,466 | ||||||||
American States Water Co. | 308 | 0.32 | % | 2,114 | ||||||||
WEC Energy Group, Inc. | 364 | 0.42 | % | 2,063 | ||||||||
California Water Service Group | 429 | 0.29 | % | 573 | ||||||||
Otter Tail Corp. | 820 | 0.59 | % | (257 | ) | |||||||
PPL Corp. | 1,780 | 0.59 | % | (1,766 | ) | |||||||
Total Utilities | 89,172 | |||||||||||
Financial | ||||||||||||
Arch Capital Group Ltd. | 1,979 | 1.11 | % | 15,969 | ||||||||
Safety Insurance Group, Inc. | 1,105 | 1.16 | % | 12,023 | ||||||||
Enstar Group Ltd. | 331 | 1.00 | % | 10,754 | ||||||||
Raymond James Financial, Inc. | 453 | 0.58 | % | 10,199 | ||||||||
Markel Corp. | 34 | 0.58 | % | 8,621 | ||||||||
Everest Re Group Ltd. | 185 | 0.65 | % | 5,833 | ||||||||
Preferred Bank/Los Angeles CA | 962 | 0.83 | % | 5,256 | ||||||||
Travelers Companies, Inc. | 413 | 0.87 | % | 4,148 | ||||||||
Equity Commonwealth | 1,685 | 0.55 | % | 3,609 | ||||||||
BankUnited, Inc. | 1,264 | 0.64 | % | 3,254 | ||||||||
PS Business Parks, Inc. | 332 | 0.65 | % | 2,252 | ||||||||
Western Union Co. | 1,824 | 0.40 | % | 1,518 | ||||||||
WP Carey, Inc. | 242 | 0.23 | % | 880 | ||||||||
Old Republic International Corp. | 2,973 | 0.89 | % | 697 | ||||||||
Easterly Government Properties, Inc. | 1,397 | 0.34 | % | 575 | ||||||||
United Bankshares, Inc. | 1,828 | 0.74 | % | 107 | ||||||||
First American Financial Corp. | 539 | 0.40 | % | (796 | ) | |||||||
Stewart Information Services Corp. | 1,178 | 0.83 | % | (870 | ) | |||||||
Fulton Financial Corp. | 3,876 | 0.75 | % | (1,299 | ) | |||||||
Radian Group, Inc. | 3,037 | 0.78 | % | (1,523 | ) | |||||||
Janus Henderson Group plc | 1,034 | 0.42 | % | (1,582 | ) | |||||||
Interactive Brokers Group, Inc. — Class A | 784 | 0.60 | % | (1,934 | ) | |||||||
HomeStreet, Inc. | 1,105 | 0.61 | % | (1,997 | ) | |||||||
Fidelity National Financial, Inc. | 1,115 | 0.63 | % | (2,349 | ) | |||||||
PotlatchDeltic Corp. | 574 | 0.35 | % | (2,917 | ) | |||||||
Citigroup, Inc. | 535 | 0.33 | % | (3,130 | ) | |||||||
OneMain Holdings, Inc. | 946 | 0.52 | % | (4,254 | ) | |||||||
Piper Sandler Cos. | 385 | 0.59 | % | (4,950 | ) | |||||||
Essent Group Ltd. | 1,191 | 0.57 | % | (5,515 | ) | |||||||
MGIC Investment Corp. | 4,560 | 0.72 | % | (5,744 | ) | |||||||
Mercury General Corp. | 1,711 | 1.09 | % | (6,223 | ) | |||||||
Meta Financial Group, Inc. | 761 | 0.48 | % | (6,387 | ) | |||||||
National Bank Holdings Corp. — Class A | 2,151 | 1.00 | % | (7,522 | ) | |||||||
AMERISAFE, Inc. | 1,315 | 0.76 | % | (8,850 | ) | |||||||
Hilltop Holdings, Inc. | 1,582 | 0.54 | % | (11,459 | ) | |||||||
Evercore, Inc. — Class A | 512 | 0.66 | % | (12,498 | ) | |||||||
Total Financial | (6,104 | ) | ||||||||||
Energy | ||||||||||||
Kinder Morgan, Inc. | 2,692 | 0.59 | % | 928 | ||||||||
Exxon Mobil Corp. | 381 | 0.36 | % | 23 | ||||||||
Total Energy | 951 | |||||||||||
Total MS Long/Short Equity Long Custom Basket | $ | 408,871 |
MS LONG/SHORT EQUITY SHORT CUSTOM BASKET | ||||||||||||
Consumer, Non-cyclical | ||||||||||||
Guardant Health, Inc. | 467 | (0.60)% | 23,331 | |||||||||
CoStar Group, Inc. | 833 | (1.06)% | 15,396 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value and Unrealized Appreciation (Depreciation) | |||||||||||
Viad Corp. | 1,175 | (0.79)% | $ | 10,051 | ||||||||
Equifax, Inc. | 228 | (1.02)% | 5,899 | |||||||||
Driven Brands Holdings, Inc. | 2,387 | (1.19)% | 4,338 | |||||||||
TransUnion | 400 | (0.78)% | 3,239 | |||||||||
Dun & Bradstreet Holdings, Inc. | 1,709 | (0.57)% | 2,956 | |||||||||
ASGN, Inc. | 360 | (0.80)% | 2,513 | |||||||||
Natera, Inc. | 151 | (0.12)% | 2,506 | |||||||||
Cooper Companies, Inc. | 45 | (0.36)% | 453 | |||||||||
Intellia Therapeutics, Inc. | 104 | (0.14)% | (84 | ) | ||||||||
Booz Allen Hamilton Holding Corp. | 379 | (0.63)% | (669 | ) | ||||||||
Verisk Analytics, Inc. — Class A | 292 | (1.19)% | (886 | ) | ||||||||
UnitedHealth Group, Inc. | 51 | (0.49)% | (1,306 | ) | ||||||||
Cintas Corp. | 239 | (1.93)% | (2,928 | ) | ||||||||
Rollins, Inc. | 1,408 | (0.93)% | (3,255 | ) | ||||||||
Sysco Corp. | 556 | (0.86)% | (3,573 | ) | ||||||||
Bunge Ltd. | 406 | (0.85)% | (4,544 | ) | ||||||||
Quanta Services, Inc. | 244 | (0.61)% | (5,503 | ) | ||||||||
Total Consumer, Non-cyclical | 47,934 | |||||||||||
Communications | ||||||||||||
Lyft, Inc. — Class A | 1,158 | (0.84)% | 4,344 | |||||||||
Okta, Inc. | 56 | (0.16)% | 2,444 | |||||||||
Airbnb, Inc. — Class A | 62 | (0.20)% | 1,214 | |||||||||
Trade Desk, Inc. — Class A | 187 | (0.25)% | (441 | ) | ||||||||
Palo Alto Networks, Inc. | 18 | (0.21)% | (871 | ) | ||||||||
DoorDash, Inc. — Class A | 174 | (0.39)% | (3,272 | ) | ||||||||
Total Communications | 3,418 | |||||||||||
Consumer, Cyclical | ||||||||||||
United Airlines Holdings, Inc. | 1,155 | (1.01)% | 11,927 | |||||||||
Delta Air Lines, Inc. | 1,361 | (1.02)% | 9,751 | |||||||||
MillerKnoll, Inc. | 2,273 | (1.49)% | 5,969 | |||||||||
IAA, Inc. | 576 | (0.42)% | 5,815 | |||||||||
Freshpet, Inc. | 192 | (0.37)% | 5,174 | |||||||||
MGM Resorts International | 549 | (0.44)% | 810 | |||||||||
American Airlines Group, Inc. | 3,801 | (1.31)% | 54 | |||||||||
Copart, Inc. | 623 | (1.48)% | 14 | |||||||||
Southwest Airlines Co. | 744 | (0.65)% | (394 | ) | ||||||||
JetBlue Airways Corp. | 1,350 | (0.38)% | (595 | ) | ||||||||
Royal Caribbean Cruises Ltd. | 226 | (0.36)% | (1,084 | ) | ||||||||
Hilton Worldwide Holdings, Inc. | 162 | (0.47)% | (1,129 | ) | ||||||||
Carnival Corp. | 839 | (0.32)% | (1,372 | ) | ||||||||
Lululemon Athletica, Inc. | 61 | (0.42)% | (3,203 | ) | ||||||||
Total Consumer, Cyclical | 31,737 | |||||||||||
Financial | ||||||||||||
Americold Realty Trust | 1,139 | (0.60)% | 9,903 | |||||||||
Western Alliance Bancorporation | 587 | (0.92)% | 9,821 | |||||||||
SVB Financial Group | 61 | (0.65)% | 6,619 | |||||||||
Sun Communities, Inc. | 385 | (1.28)% | 5,735 | |||||||||
Equinix, Inc. | 88 | (1.24)% | 4,351 | |||||||||
Bank of New York Mellon Corp. | 364 | (0.34)% | 4,038 | |||||||||
Invitation Homes, Inc. | 1,678 | (1.28)% | 3,417 | |||||||||
Equitable Holdings, Inc. | 2,354 | (1.38)% | 2,207 | |||||||||
Regions Financial Corp. | 1,075 | (0.45)% | 1,489 | |||||||||
RLJ Lodging Trust | 5,442 | (1.45)% | 1,361 | |||||||||
Signature Bank | 131 | (0.73)% | 854 | |||||||||
State Street Corp. | 863 | (1.42)% | 680 | |||||||||
First Republic Bank | 171 | (0.53)% | 431 | |||||||||
Safehold, Inc. | 425 | (0.45)% | 374 | |||||||||
Park Hotels & Resorts, Inc. | 3,606 | (1.33)% | 259 | |||||||||
UDR, Inc. | 507 | (0.55)% | 118 | |||||||||
Wells Fargo & Co. | 815 | (0.75)% | 105 | |||||||||
Northern Trust Corp. | 488 | (1.08)% | 70 | |||||||||
Bank of America Corp. | 577 | (0.45)% | (245 | ) | ||||||||
Sunstone Hotel Investors, Inc. | 4,175 | (0.93)% | (315 | ) | ||||||||
Zions Bancorp North America | 878 | (1.09)% | (417 | ) | ||||||||
Digital Realty Trust, Inc. | 170 | (0.46)% | (465 | ) | ||||||||
Goldman Sachs Group, Inc. | 190 | (1.19)% | (495 | ) | ||||||||
CBRE Group, Inc. — Class A | 344 | (0.60)% | (520 | ) | ||||||||
Crown Castle International Corp. | 317 | (1.11)% | (1,026 | ) | ||||||||
Lincoln National Corp. | 325 | (0.40)% | (1,104 | ) | ||||||||
KKR & Company, Inc. — Class A | 618 | (0.68)% | (1,608 | ) | ||||||||
Apple Hospitality REIT, Inc. | 1,044 | (0.36)% | (2,023 | ) | ||||||||
Ryman Hospitality Properties, Inc. | 598 | (1.05)% | (2,051 | ) | ||||||||
SBA Communications Corp. | 137 | (0.89)% | (2,908 | ) | ||||||||
Xenia Hotels & Resorts, Inc. | 1,753 | (0.64)% | (3,172 | ) | ||||||||
Apartment Income REIT Corp. | 1,762 | (1.78)% | (4,111 | ) | ||||||||
Comerica, Inc. | 769 | (1.32)% | (4,212 | ) | ||||||||
Ventas, Inc. | 885 | (1.04)% | (5,251 | ) | ||||||||
Welltower, Inc. | 726 | (1.32)% | (6,874 | ) | ||||||||
Pebblebrook Hotel Trust | 2,513 | (1.17)% | (7,006 | ) | ||||||||
Kennedy-Wilson Holdings, Inc. | 3,910 | (1.81)% | (7,067 | ) | ||||||||
Iron Mountain, Inc. | 1,252 | (1.31)% | (9,427 | ) | ||||||||
Howard Hughes Corp. | 770 | (1.51)% | (9,679 | ) | ||||||||
Outfront Media, Inc. | 2,468 | (1.33)% | (9,999 | ) | ||||||||
Host Hotels & Resorts, Inc. | 4,521 | (1.66)% | (11,076 | ) | ||||||||
Total Financial | (39,219 | ) | ||||||||||
Utilities | ||||||||||||
Entergy Corp. | 511 | (1.13)% | (2,799 | ) | ||||||||
Black Hills Corp. | 1,296 | (1.89)% | (11,179 | ) | ||||||||
ONE Gas, Inc. | 1,081 | (1.81)% | (11,522 | ) | ||||||||
CenterPoint Energy, Inc. | 3,274 | (1.90)% | (13,338 | ) | ||||||||
Atmos Energy Corp. | 815 | (1.84)% | (14,201 | ) | ||||||||
Edison International | 1,421 | (1.89)% | (16,131 | ) | ||||||||
Total Utilities | (69,170 | ) | ||||||||||
Technology | ||||||||||||
Ceridian HCM Holding, Inc. | 469 | (0.61)% | 8,196 | |||||||||
Atlassian Corporation plc — Class A | 44 | (0.24)% | 239 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Value and Unrealized Appreciation (Depreciation) | |||||||||||
Datadog, Inc. — Class A | 129 | (0.37)% | $ | (768 | ) | |||||||
Bill.com Holdings, Inc. | 85 | (0.37)% | (1,100 | ) | ||||||||
Zscaler, Inc. | 86 | (0.39)% | (1,633 | ) | ||||||||
Cloudflare, Inc. — Class A | 164 | (0.37)% | (1,804 | ) | ||||||||
Leidos Holdings, Inc. | 239 | (0.49)% | (4,052 | ) | ||||||||
Crowdstrike Holdings, Inc. — Class A | 95 | (0.41)% | (4,392 | ) | ||||||||
MongoDB, Inc. | 55 | (0.46)% | (4,555 | ) | ||||||||
KBR, Inc. | 1,402 | (1.45)% | (16,718 | ) | ||||||||
Total Technology | (26,587 | ) | ||||||||||
Industrial | ||||||||||||
Stericycle, Inc. | 1,105 | (1.23)% | 15,145 | |||||||||
Boeing Co. | 373 | (1.35)% | 13,670 | |||||||||
MSA Safety, Inc. | 223 | (0.56)% | 1,590 | |||||||||
Jacobs Engineering Group, Inc. | 629 | (1.64)% | 1,158 | |||||||||
J.B. Hunt Transport Services, Inc. | 159 | (0.60)% | 445 | |||||||||
CH Robinson Worldwide, Inc. | 344 | (0.70)% | (322 | ) | ||||||||
TransDigm Group, Inc. | 48 | (0.59)% | (508 | ) | ||||||||
General Electric Co. | 352 | (0.61)% | (783 | ) | ||||||||
Republic Services, Inc. — Class A | 275 | (0.69)% | (3,850 | ) | ||||||||
Waste Management, Inc. | 265 | (0.80)% | (4,689 | ) | ||||||||
Howmet Aerospace, Inc. | 1,343 | (0.91)% | (5,383 | ) | ||||||||
Tetra Tech, Inc. | 338 | (1.06)% | (9,322 | ) | ||||||||
Casella Waste Systems, Inc. — Class A | 882 | (1.46)% | (18,562 | ) | ||||||||
Total Industrial | (11,411 | ) | ||||||||||
Energy | ||||||||||||
NOV, Inc. | 2,043 | (0.76)% | (7,801 | ) | ||||||||
Range Resources Corp. | 966 | (0.56)% | (12,297 | ) | ||||||||
Patterson-UTI Energy, Inc. | 4,196 | (1.23)% | (30,428 | ) | ||||||||
Halliburton Co. | 2,779 | (1.99)% | (37,990 | ) | ||||||||
Total Energy | (88,516 | ) | ||||||||||
Total MS Long/Short Equity Short Custom Basket | $ | (151,814 | ) |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
GS LONG/SHORT EQUITY LONG CUSTOM BASKET | ||||||||||||
Consumer, Non-cyclical | ||||||||||||
Amphastar Pharmaceuticals, Inc. | 1,783 | 0.70 | % | $ | 27,667 | |||||||
Innoviva, Inc. | 3,612 | 0.78 | % | 23,873 | ||||||||
AbbVie, Inc. | 492 | 0.92 | % | 21,475 | ||||||||
United Therapeutics Corp. | 176 | 0.37 | % | 14,438 | ||||||||
Regeneron Pharmaceuticals, Inc. | 96 | 0.78 | % | 14,256 | ||||||||
Bristol-Myers Squibb Co. | 1,340 | 1.13 | % | 13,722 | ||||||||
Amgen, Inc. | 335 | 0.94 | % | 13,174 | ||||||||
Vertex Pharmaceuticals, Inc. | 188 | 0.57 | % | 12,183 | ||||||||
Prestige Consumer Healthcare, Inc. | 823 | 0.50 | % | 12,160 | ||||||||
Molson Coors Beverage Co. — Class B | 906 | 0.56 | % | 11,666 | ||||||||
Johnson & Johnson | 549 | 1.13 | % | 9,391 | ||||||||
Eagle Pharmaceuticals, Inc. | 1,134 | 0.65 | % | 8,816 | ||||||||
Hologic, Inc. | 1,020 | 0.91 | % | 8,362 | ||||||||
Quest Diagnostics, Inc. | 308 | 0.49 | % | 3,755 | ||||||||
Perdoceo Education Corp. | 6,047 | 0.80 | % | 3,477 | ||||||||
Merck & Company, Inc. | 469 | 0.45 | % | 3,380 | ||||||||
Corteva, Inc. | 381 | 0.25 | % | 3,370 | ||||||||
Exelixis, Inc. | 1,279 | 0.34 | % | 2,701 | ||||||||
Incyte Corp. | 710 | 0.65 | % | 2,161 | ||||||||
John B Sanfilippo & Son, Inc. | 1,085 | 1.05 | % | 1,647 | ||||||||
Halozyme Therapeutics, Inc. | 590 | 0.27 | % | 1,534 | ||||||||
Royalty Pharma plc — Class A | 899 | 0.41 | % | 278 | ||||||||
Premier, Inc. — Class A | 505 | 0.21 | % | (890 | ) | |||||||
Waters Corp. | 107 | 0.38 | % | (1,015 | ) | |||||||
Abbott Laboratories | 340 | 0.47 | % | (1,055 | ) | |||||||
Laboratory Corporation of America Holdings | 109 | 0.33 | % | (1,393 | ) | |||||||
Pfizer, Inc. | 565 | 0.34 | % | (2,775 | ) | |||||||
EVERTEC, Inc. | 1,024 | 0.49 | % | (4,867 | ) | |||||||
Gilead Sciences, Inc. | 1,501 | 1.03 | % | (5,448 | ) | |||||||
USANA Health Sciences, Inc. | 615 | 0.57 | % | (11,338 | ) | |||||||
Bio-Rad Laboratories, Inc. — Class A | 95 | 0.62 | % | (11,661 | ) | |||||||
Vanda Pharmaceuticals, Inc. | 3,159 | 0.41 | % | (15,152 | ) | |||||||
Total Consumer, Non-cyclical | 157,892 | |||||||||||
Consumer, Cyclical | ||||||||||||
AutoZone, Inc. | 48 | 1.14 | % | 24,021 | ||||||||
AutoNation, Inc. | 251 | 0.29 | % | 8,430 | ||||||||
Brunswick Corp. | 407 | 0.38 | % | 8,348 | ||||||||
Gentex Corp. | 3,152 | 1.07 | % | 7,121 | ||||||||
Cummins, Inc. | 304 | 0.72 | % | 6,771 | ||||||||
Ethan Allen Interiors, Inc. | 1,739 | 0.53 | % | 3,503 | ||||||||
Allison Transmission Holdings, Inc. | 1,508 | 0.69 | % | 2,926 | ||||||||
Methode Electronics, Inc. | 688 | 0.34 | % | 550 | ||||||||
Tapestry, Inc. | 665 | 0.29 | % | (136 | ) | |||||||
Columbia Sportswear Co. | 415 | 0.44 | % | (143 | ) | |||||||
Zumiez, Inc. | 593 | 0.26 | % | (1,729 | ) | |||||||
Dolby Laboratories, Inc. — Class A | 707 | 0.64 | % | (2,767 | ) | |||||||
Autoliv, Inc. | 290 | 0.26 | % | (2,929 | ) | |||||||
Buckle, Inc. | 536 | 0.21 | % | (3,268 | ) | |||||||
MarineMax, Inc. | 444 | 0.21 | % | (3,543 | ) | |||||||
Haverty Furniture Companies, Inc. | 637 | 0.20 | % | (3,728 | ) | |||||||
Shoe Carnival, Inc. | 639 | 0.22 | % | (4,613 | ) | |||||||
Tri Pointe Homes, Inc. | 1,734 | 0.40 | % | (4,725 | ) | |||||||
Jack in the Box, Inc. | 315 | 0.34 | % | (4,799 | ) | |||||||
LKQ Corp. | 610 | 0.32 | % | (6,186 | ) | |||||||
PulteGroup, Inc. | 613 | 0.30 | % | (6,710 | ) | |||||||
NVR, Inc. | 16 | 0.83 | % | (7,885 | ) | |||||||
Toll Brothers, Inc. | 474 | 0.26 | % | (8,970 | ) | |||||||
Acushnet Holdings Corp. | 1,025 | 0.48 | % | (9,322 | ) | |||||||
Whirlpool Corp. | 442 | 0.88 | % | (19,344 | ) | |||||||
Total Consumer, Cyclical | (29,127 | ) | ||||||||||
Basic Materials | ||||||||||||
Westlake Corp. | 533 | 0.76 | % | 16,016 | ||||||||
LyondellBasell Industries N.V. — Class A | 710 | 0.85 | % | 8,234 | ||||||||
Dow, Inc. | 1,169 | 0.86 | % | 8,063 | ||||||||
AdvanSix, Inc. | 685 | 0.41 | % | 5,062 | ||||||||
NewMarket Corp. | 74 | 0.28 | % | 894 | ||||||||
Reliance Steel & Aluminum Co. | 187 | 0.40 | % | (814 | ) | |||||||
Minerals Technologies, Inc. | 608 | 0.47 | % | (2,110 | ) | |||||||
International Paper Co. | 1,342 | 0.72 | % | (2,176 | ) | |||||||
Total Basic Materials | 33,169 | |||||||||||
Technology | ||||||||||||
CSG Systems International, Inc. | 1,480 | 1.09 | % | 26,582 | ||||||||
Rambus, Inc. | 2,019 | 0.75 | % | 23,659 | ||||||||
NetApp, Inc. | 537 | 0.52 | % | 16,461 | ||||||||
ExlService Holdings, Inc. | 192 | 0.32 | % | 7,035 | ||||||||
Lumentum Holdings, Inc. | 264 | 0.30 | % | 4,004 | ||||||||
Akamai Technologies, Inc. | 241 | 0.33 | % | 1,624 | ||||||||
Dropbox, Inc. — Class A | 835 | 0.22 | % | 1,166 | ||||||||
Genpact Ltd. | 434 | 0.22 | % | 717 | ||||||||
Progress Software Corp. | 709 | 0.39 | % | 509 | ||||||||
NetScout Systems, Inc. | 603 | 0.22 | % | 354 | ||||||||
SS&C Technologies Holdings, Inc. | 242 | 0.21 | % | (187 | ) | |||||||
Skyworks Solutions, Inc. | 135 | 0.21 | % | (309 | ) | |||||||
Ziff Davis, Inc. | 251 | 0.28 | % | (460 | ) | |||||||
Intel Corp. | 712 | 0.41 | % | (511 | ) | |||||||
Qorvo, Inc. | 140 | 0.20 | % | (1,068 | ) | |||||||
CommVault Systems, Inc. | 285 | 0.22 | % | (3,603 | ) | |||||||
Xperi Holding Corp. | 2,120 | 0.43 | % | (5,719 | ) | |||||||
Total Technology | 70,254 | |||||||||||
Industrial | ||||||||||||
Mueller Industries, Inc. | 1,608 | 1.01 | % | 17,738 | ||||||||
Snap-on, Inc. | 375 | 0.89 | % | 17,443 | ||||||||
Owens Corning | 310 | 0.33 | % | 14,004 | ||||||||
Knowles Corp. | 4,289 | 1.07 | % | 10,743 | ||||||||
Packaging Corporation of America | 428 | 0.77 | % | 9,763 | ||||||||
Vishay Intertechnology, Inc. | 4,843 | 1.10 | % | 9,650 | ||||||||
Crane Co. | 433 | 0.54 | % | 5,806 | ||||||||
Encore Wire Corp. | 333 | 0.44 | % | 5,342 | ||||||||
TTM Technologies, Inc. | 4,443 | 0.76 | % | 4,479 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
Dorian LPG Ltd. | 1,745 | 0.29 | % | $ | 3,179 | |||||||
Sanmina Corp. | 1,863 | 0.87 | % | 2,805 | ||||||||
Albany International Corp. — Class A | 323 | 0.32 | % | 2,115 | ||||||||
Louisiana-Pacific Corp. | 464 | 0.33 | % | 1,102 | ||||||||
Keysight Technologies, Inc. | 119 | 0.22 | % | 743 | ||||||||
Insteel Industries, Inc. | 574 | 0.25 | % | (554 | ) | |||||||
Hillenbrand, Inc. | 1,181 | 0.60 | % | (1,156 | ) | |||||||
Arrow Electronics, Inc. | 152 | 0.21 | % | (1,423 | ) | |||||||
Sturm Ruger & Company, Inc. | 1,079 | 0.87 | % | (2,780 | ) | |||||||
UFP Industries, Inc. | 289 | 0.26 | % | (3,416 | ) | |||||||
Eagle Materials, Inc. | 324 | 0.48 | % | (5,982 | ) | |||||||
OSI Systems, Inc. | 561 | 0.55 | % | (6,002 | ) | |||||||
Vontier Corp. | 1,084 | 0.32 | % | (7,799 | ) | |||||||
3M Co. | 624 | 1.08 | % | (9,938 | ) | |||||||
Garmin Ltd. | 753 | 1.03 | % | (12,316 | ) | |||||||
Total Industrial | 53,546 | |||||||||||
Communications | ||||||||||||
Cisco Systems, Inc. | 897 | 0.58 | % | 14,294 | ||||||||
Omnicom Group, Inc. | 437 | 0.43 | % | 13,779 | ||||||||
Viavi Solutions, Inc. | 2,990 | 0.56 | % | 12,680 | ||||||||
Juniper Networks, Inc. | 677 | 0.29 | % | 9,799 | ||||||||
F5, Inc. | 91 | 0.22 | % | 1,338 | ||||||||
Interpublic Group of Companies, Inc. | 1,199 | 0.49 | % | 1,264 | ||||||||
Nexstar Media Group, Inc. — Class A | 230 | 0.50 | % | 1,262 | ||||||||
Alphabet, Inc. — Class C | 13 | 0.42 | % | 821 | ||||||||
Shenandoah Telecommunications Co. | 1,594 | 0.44 | % | (194 | ) | |||||||
InterDigital, Inc. | 539 | 0.40 | % | (429 | ) | |||||||
Comcast Corp. — Class A | 1,788 | 0.97 | % | (819 | ) | |||||||
Yelp, Inc. — Class A | 1,465 | 0.58 | % | (2,300 | ) | |||||||
NETGEAR, Inc. | 686 | 0.20 | % | (2,454 | ) | |||||||
Verizon Communications, Inc. | 1,694 | 1.00 | % | (4,856 | ) | |||||||
Meta Platforms, Inc. — Class A | 386 | 0.99 | % | (6,999 | ) | |||||||
Total Communications | 37,186 | |||||||||||
Utilities | ||||||||||||
National Fuel Gas Co. | 1,415 | 1.13 | % | 22,364 | ||||||||
IDACORP, Inc. | 775 | 1.04 | % | 18,411 | ||||||||
Southern Co. | 656 | 0.55 | % | 11,414 | ||||||||
Chesapeake Utilities Corp. | 607 | 0.97 | % | 10,281 | ||||||||
Portland General Electric Co. | 1,576 | 1.01 | % | 8,113 | ||||||||
Duke Energy Corp. | 809 | 1.05 | % | 6,144 | ||||||||
MGE Energy, Inc. | 1,254 | 1.16 | % | 4,726 | ||||||||
CMS Energy Corp. | 1,419 | 1.15 | % | 4,387 | ||||||||
American States Water Co. | 308 | 0.32 | % | 2,085 | ||||||||
WEC Energy Group, Inc. | 364 | 0.42 | % | 2,038 | ||||||||
California Water Service Group | 429 | 0.29 | % | 639 | ||||||||
Otter Tail Corp. | 820 | 0.59 | % | (298 | ) | |||||||
PPL Corp. | 1,780 | 0.59 | % | (1,709 | ) | |||||||
Total Utilities | 88,595 | |||||||||||
Financial | ||||||||||||
Arch Capital Group Ltd. | 1,979 | 1.11 | % | 15,911 | ||||||||
Safety Insurance Group, Inc. | 1,105 | 1.16 | % | 12,030 | ||||||||
Enstar Group Ltd. | 331 | 1.00 | % | 12,025 | ||||||||
Raymond James Financial, Inc. | 453 | 0.58 | % | 10,159 | ||||||||
Markel Corp. | 34 | 0.58 | % | 8,572 | ||||||||
Everest Re Group Ltd. | 185 | 0.65 | % | 5,808 | ||||||||
Preferred Bank/Los Angeles CA | 962 | 0.83 | % | 5,149 | ||||||||
Travelers Companies, Inc. | 413 | 0.87 | % | 4,175 | ||||||||
Equity Commonwealth | 1,685 | 0.55 | % | 3,588 | ||||||||
BankUnited, Inc. | 1,264 | 0.64 | % | 2,924 | ||||||||
PS Business Parks, Inc. | 332 | 0.65 | % | 2,297 | ||||||||
Western Union Co. | 1,824 | 0.40 | % | 1,534 | ||||||||
WP Carey, Inc. | 242 | 0.23 | % | 805 | ||||||||
Old Republic International Corp. | 2,973 | 0.89 | % | 691 | ||||||||
Easterly Government Properties, Inc. | 1,397 | 0.34 | % | 480 | ||||||||
United Bankshares, Inc. | 1,828 | 0.74 | % | 23 | ||||||||
First American Financial Corp. | 539 | 0.40 | % | (781 | ) | |||||||
Stewart Information Services Corp. | 1,178 | 0.83 | % | (877 | ) | |||||||
Fulton Financial Corp. | 3,876 | 0.75 | % | (1,428 | ) | |||||||
Janus Henderson Group plc | 1,034 | 0.42 | % | (1,576 | ) | |||||||
Radian Group, Inc. | 3,037 | 0.78 | % | (1,649 | ) | |||||||
HomeStreet, Inc. | 1,105 | 0.61 | % | (1,950 | ) | |||||||
Interactive Brokers Group, Inc. — Class A | 784 | 0.60 | % | (1,960 | ) | |||||||
Fidelity National Financial, Inc. | 1,115 | 0.63 | % | (2,506 | ) | |||||||
Citigroup, Inc. | 535 | 0.33 | % | (3,103 | ) | |||||||
PotlatchDeltic Corp. | 574 | 0.35 | % | (3,295 | ) | |||||||
OneMain Holdings, Inc. | 946 | 0.52 | % | (4,238 | ) | |||||||
Piper Sandler Cos. | 385 | 0.59 | % | (4,930 | ) | |||||||
Essent Group Ltd. | 1,191 | 0.57 | % | (5,619 | ) | |||||||
MGIC Investment Corp. | 4,560 | 0.72 | % | (5,895 | ) | |||||||
Mercury General Corp. | 1,711 | 1.09 | % | (6,429 | ) | |||||||
Meta Financial Group, Inc. | 761 | 0.48 | % | (6,436 | ) | |||||||
National Bank Holdings Corp. — Class A | 2,151 | 1.00 | % | (7,378 | ) | |||||||
AMERISAFE, Inc. | 1,315 | 0.76 | % | (8,858 | ) | |||||||
Hilltop Holdings, Inc. | 1,582 | 0.54 | % | (11,508 | ) | |||||||
Evercore, Inc. — Class A | 512 | 0.66 | % | (12,599 | ) | |||||||
Total Financial | (6,844 | ) | ||||||||||
Energy | ||||||||||||
Kinder Morgan, Inc. | 2,692 | 0.59 | % | 925 | ||||||||
Exxon Mobil Corp. | 381 | 0.36 | % | (11 | ) | |||||||
Total Energy | 914 | |||||||||||
Total GS Long/Short Equity Long Custom Basket | $ | 405,585 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
GS LONG/SHORT EQUITY SHORT CUSTOM BASKET | ||||||||||||
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
Consumer, Non-cyclical | ||||||||||||
Guardant Health, Inc. | 467 | (0.60)% | $ | 23,359 | ||||||||
CoStar Group, Inc. | 833 | (1.06)% | 15,318 | |||||||||
Viad Corp. | 1,175 | (0.80)% | 9,978 | |||||||||
Equifax, Inc. | 228 | (1.04)% | 5,837 | |||||||||
Driven Brands Holdings, Inc. | 2,387 | (1.20)% | 4,321 | |||||||||
TransUnion | 400 | (0.79)% | 3,205 | |||||||||
Dun & Bradstreet Holdings, Inc. | 1,709 | (0.57)% | 2,885 | |||||||||
Natera, Inc. | 151 | (0.12)% | 2,516 | |||||||||
ASGN, Inc. | 360 | (0.81)% | 2,484 | |||||||||
Cooper Companies, Inc. | 45 | (0.36)% | 464 | |||||||||
Intellia Therapeutics, Inc. | 104 | (0.14)% | (74 | ) | ||||||||
Booz Allen Hamilton Holding Corp. | 379 | (0.64)% | (653 | ) | ||||||||
Verisk Analytics, Inc. — Class A | 292 | (1.20)% | (871 | ) | ||||||||
UnitedHealth Group, Inc. | 51 | (0.50)% | (1,324 | ) | ||||||||
Cintas Corp. | 239 | (1.95)% | (3,024 | ) | ||||||||
Rollins, Inc. | 1,407 | (0.95)% | (3,287 | ) | ||||||||
Sysco Corp. | 556 | (0.87)% | (3,459 | ) | ||||||||
Bunge Ltd. | 406 | (0.86)% | (4,497 | ) | ||||||||
Quanta Services, Inc. | 244 | (0.62)% | (5,477 | ) | ||||||||
Total Consumer, Non-cyclical | 47,701 | |||||||||||
Communications | ||||||||||||
Lyft, Inc. — Class A | 1,158 | (0.85)% | 4,203 | |||||||||
Okta, Inc. | 56 | (0.16)% | 2,455 | |||||||||
Airbnb, Inc. — Class A | 62 | (0.20)% | 1,254 | |||||||||
Trade Desk, Inc. — Class A | 187 | (0.25)% | (430 | ) | ||||||||
Palo Alto Networks, Inc. | 18 | (0.21)% | (864 | ) | ||||||||
DoorDash, Inc. — Class A | 174 | (0.39)% | (3,222 | ) | ||||||||
Total Communications | 3,396 | |||||||||||
Consumer, Cyclical | ||||||||||||
United Airlines Holdings, Inc. | 1,155 | (1.03)% | 11,949 | |||||||||
Delta Air Lines, Inc. | 1,361 | (1.03)% | 9,763 | |||||||||
MillerKnoll, Inc. | 2,273 | (1.51)% | 5,951 | |||||||||
IAA, Inc. | 576 | (0.42)% | 5,769 | |||||||||
Freshpet, Inc. | 192 | (0.38)% | 5,196 | |||||||||
MGM Resorts International | 549 | (0.44)% | 798 | |||||||||
American Airlines Group, Inc. | 3,801 | (1.33)% | 4 | |||||||||
Copart, Inc. | 623 | (1.50)% | (18 | ) | ||||||||
Southwest Airlines Co. | 744 | (0.65)% | (405 | ) | ||||||||
JetBlue Airways Corp. | 1,350 | (0.39)% | (619 | ) | ||||||||
Royal Caribbean Cruises Ltd. | 226 | (0.36)% | (1,083 | ) | ||||||||
Hilton Worldwide Holdings, Inc. | 162 | (0.47)% | (1,129 | ) | ||||||||
Carnival Corp. | 839 | (0.33)% | (1,381 | ) | ||||||||
Lululemon Athletica, Inc. | 61 | (0.43)% | (3,191 | ) | ||||||||
Total Consumer, Cyclical | 31,604 | |||||||||||
Financial | ||||||||||||
Americold Realty Trust | 1,139 | (0.61)% | 9,852 | |||||||||
Western Alliance Bancorporation | 587 | (0.93)% | 9,816 | |||||||||
SVB Financial Group | 61 | (0.65)% | 6,683 | |||||||||
Sun Communities, Inc. | 385 | (1.29)% | 5,688 | |||||||||
Equinix, Inc. | 88 | (1.25)% | 4,273 | |||||||||
Bank of New York Mellon Corp. | 364 | (0.35)% | 4,036 | |||||||||
Invitation Homes, Inc. | 1,678 | (1.29)% | 3,405 | |||||||||
Equitable Holdings, Inc. | 2,354 | (1.40)% | 2,206 | |||||||||
Regions Financial Corp. | 1,075 | (0.46)% | 1,573 | |||||||||
RLJ Lodging Trust | 5,442 | (1.47)% | 1,071 | |||||||||
Signature Bank | 131 | (0.74)% | 843 | |||||||||
State Street Corp. | 863 | (1.44)% | 709 | |||||||||
Safehold, Inc. | 425 | (0.45)% | 497 | |||||||||
First Republic Bank | 171 | (0.53)% | 476 | |||||||||
Park Hotels & Resorts, Inc. | 3,606 | (1.35)% | 320 | |||||||||
Wells Fargo & Co. | 815 | (0.76)% | 85 | |||||||||
UDR, Inc. | 507 | (0.56)% | 78 | |||||||||
Zions Bancorp North America | 878 | (1.10)% | (59 | ) | ||||||||
Bank of America Corp. | 577 | (0.46)% | (222 | ) | ||||||||
Northern Trust Corp. | 488 | (1.09)% | (254 | ) | ||||||||
CBRE Group, Inc. — Class A | 344 | (0.60)% | (442 | ) | ||||||||
Digital Realty Trust, Inc. | 170 | (0.46)% | (457 | ) | ||||||||
Sunstone Hotel Investors, Inc. | 4,175 | (0.94)% | (459 | ) | ||||||||
Lincoln National Corp. | 325 | (0.41)% | (1,075 | ) | ||||||||
Crown Castle International Corp. | 317 | (1.12)% | (1,079 | ) | ||||||||
KKR & Company, Inc. — Class A | 618 | (0.69)% | (1,501 | ) | ||||||||
Apple Hospitality REIT, Inc. | 1,044 | (0.36)% | (2,043 | ) | ||||||||
Ryman Hospitality Properties, Inc. | 598 | (1.06)% | (2,067 | ) | ||||||||
Xenia Hotels & Resorts, Inc. | 1,753 | (0.65)% | (2,671 | ) | ||||||||
SBA Communications Corp. | 137 | (0.90)% | (3,001 | ) | ||||||||
Comerica, Inc. | 769 | (1.33)% | (4,087 | ) | ||||||||
Apartment Income REIT Corp. | 1,762 | (1.81)% | (4,357 | ) | ||||||||
Ventas, Inc. | 885 | (1.05)% | (5,217 | ) | ||||||||
Welltower, Inc. | 726 | (1.34)% | (6,869 | ) | ||||||||
Pebblebrook Hotel Trust | 2,513 | (1.18)% | (7,066 | ) | ||||||||
Kennedy-Wilson Holdings, Inc. | 3,910 | (1.83)% | (7,152 | ) | ||||||||
Iron Mountain, Inc. | 1,252 | (1.33)% | (9,516 | ) | ||||||||
Howard Hughes Corp. | 770 | (1.53)% | (9,611 | ) | ||||||||
Outfront Media, Inc. | 2,468 | (1.35)% | (9,994 | ) | ||||||||
Host Hotels & Resorts, Inc. | 4,521 | (1.68)% | (11,126 | ) | ||||||||
Total Financial | (38,714 | ) | ||||||||||
Utilities | ||||||||||||
Entergy Corp. | 511 | (1.14)% | (2,715 | ) | ||||||||
Black Hills Corp. | 1,296 | (1.91)% | (11,340 | ) | ||||||||
ONE Gas, Inc. | 1,081 | (1.83)% | (11,546 | ) | ||||||||
CenterPoint Energy, Inc. | 3,274 | (1.92)% | (13,371 | ) | ||||||||
Atmos Energy Corp. | 815 | (1.87)% | (14,249 | ) | ||||||||
Edison International | 1,421 | (1.91)% | (16,252 | ) | ||||||||
Total Utilities | (69,473 | ) | ||||||||||
Technology | ||||||||||||
Ceridian HCM Holding, Inc. | 469 | (0.61)% | 8,223 | |||||||||
Atlassian Corporation plc — Class A | 44 | (0.25)% | 155 | |||||||||
Datadog, Inc. — Class A | 129 | (0.37)% | (757 | ) | ||||||||
Bill.com Holdings, Inc. | 85 | (0.37)% | (1,236 | ) | ||||||||
Zscaler, Inc. | 86 | (0.40)% | (1,608 | ) | ||||||||
Cloudflare, Inc. — Class A | 164 | (0.38)% | (1,790 | ) | ||||||||
Leidos Holdings, Inc. | 239 | (0.50)% | (4,050 | ) | ||||||||
Crowdstrike Holdings, Inc. — Class A | 95 | (0.41)% | (4,392 | ) |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
MongoDB, Inc. | 55 | (0.47)% | $ | (4,540 | ) | |||||||
KBR, Inc. | 1,402 | (1.47)% | (16,710 | ) | ||||||||
Total Technology | (26,705 | ) | ||||||||||
Industrial | ||||||||||||
Stericycle, Inc. | 1,105 | (1.25)% | 15,127 | |||||||||
Boeing Co. | 373 | (1.37)% | 13,661 | |||||||||
MSA Safety, Inc. | 223 | (0.57)% | 1,512 | |||||||||
Jacobs Engineering Group, Inc. | 629 | (1.66)% | 1,165 | |||||||||
J.B. Hunt Transport Services, Inc. | 159 | (0.61)% | 439 | |||||||||
CH Robinson Worldwide, Inc. | 344 | (0.71)% | (440 | ) | ||||||||
TransDigm Group, Inc. | 48 | (0.60)% | (517 | ) | ||||||||
General Electric Co. | 352 | (0.62)% | (756 | ) | ||||||||
Republic Services, Inc. — Class A | 275 | (0.70)% | (3,880 | ) | ||||||||
Waste Management, Inc. | 265 | (0.81)% | (4,683 | ) | ||||||||
Howmet Aerospace, Inc. | 1,343 | (0.93)% | (5,458 | ) | ||||||||
Tetra Tech, Inc. | 338 | (1.07)% | (9,285 | ) | ||||||||
Casella Waste Systems, Inc. — Class A | 882 | (1.48)% | (18,580 | ) | ||||||||
Total Industrial | (11,695 | ) | ||||||||||
Energy | ||||||||||||
NOV, Inc. | 2,043 | (0.77)% | (7,861 | ) | ||||||||
Range Resources Corp. | 966 | (0.56)% | (12,225 | ) | ||||||||
Patterson-UTI Energy, Inc. | 4,196 | (1.25)% | (30,416 | ) | ||||||||
Halliburton Co. | 2,779 | (2.02)% | (37,871 | ) | ||||||||
Total Energy | (88,373 | ) | ||||||||||
Total GS Long/Short Equity Short Custom Basket | $ | (152,259 | ) |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 3. |
†† | Value determined based on Level 2 inputs — See Note 3. |
1 | All or a portion of this security is on loan at March 31, 2022 — See Note 5. |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as short security and equity custom basket swap collateral at March 31, 2022. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Repurchase Agreements — See Note 4. |
6 | All or a portion of this security is pledged as futures collateral at March 31, 2022. |
7 | Securities lending collateral — See Note 5. |
8 | Rate indicated is the 7-day yield as of March 31, 2022. |
GS — Goldman Sachs International
MS — Morgan Stanley Capital Services LLC
plc — Public Limited Company
REIT — Real Estate Investment Trust
See Sector Classification in Other Information section.
The following table summarizes the inputs used to value the Fund's investments at March 31, 2022 (See Note 3 in the Notes to Consolidated Schedule of Investments): | ||||||||||||||||
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 32,377,281 | $ | — | $ | — | $ | 32,377,281 | ||||||||
Rights | — | * | — | — | — | |||||||||||
Mutual Funds | 15,169,441 | — | — | 15,169,441 | ||||||||||||
Closed-End Funds | 4,899,739 | — | — | 4,899,739 | ||||||||||||
U.S. Treasury Bills | — | 8,550,408 | — | 8,550,408 | ||||||||||||
Repurchase Agreements | — | 17,972,456 | — | 17,972,456 | ||||||||||||
Securities Lending Collateral | 316,279 | — | — | 316,279 | ||||||||||||
Commodity Futures Contracts** | 757,336 | — | — | 757,336 | ||||||||||||
Interest Rate Futures Contracts** | 623,338 | 60,851 | — | 684,189 | ||||||||||||
Currency Futures Contracts** | 84,076 | — | — | 84,076 | ||||||||||||
Equity Futures Contracts** | 74,053 | 993 | — | 75,046 | ||||||||||||
Equity Custom Basket Swap Agreements** | — | 3,598,094 | — | 3,598,094 | ||||||||||||
Total Assets | $ | 54,301,543 | $ | 30,182,802 | $ | — | $ | 84,484,345 |
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks Sold Short | $ | 6,005,343 | $ | — | $ | — | $ | 6,005,343 | ||||||||
Exchange-Traded Funds Sold Short | 5,509,293 | — | — | 5,509,293 | ||||||||||||
Commodity Futures Contracts** | 637,982 | — | — | 637,982 | ||||||||||||
Interest Rate Futures Contracts** | 422,086 | 196,100 | — | 618,186 | ||||||||||||
Currency Futures Contracts** | 170,116 | — | — | 170,116 | ||||||||||||
Equity Futures Contracts** | 166,115 | 928 | — | 167,043 | ||||||||||||
Equity Custom Basket Swap Agreements** | — | 966,244 | — | 966,244 | ||||||||||||
Total Liabilities | $ | 12,910,935 | $ | 1,163,272 | $ | — | $ | 14,074,207 |
* | Includes securities with a market value of $0. |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles' annual report on Form N-CSR dated September 30, 2021, is available publicly or upon request. This information is available from the EDGAR database on the SEC's website at https://www.sec.gov/Archives/edgar/data/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2022 |
Transactions during the period ended March 31, 2022, in which the company is an affiliated issuer, were as follows:
Security Name | Value 12/31/21 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 03/31/22 | Shares 03/31/22 | Investment Income | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 5,207,495 | $ | 1,500,000 | $ | – | $ | – | $ | (88,371 | ) | $ | 6,619,124 | 269,618 | $ | 22,316 | ||||||||||||||||
Guggenheim Strategy Fund III | 977,752 | 1,000,000 | – | – | (30,422 | ) | 1,947,330 | 79,031 | 6,848 | |||||||||||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 3,690,666 | 3,000,000 | – | – | (87,679 | ) | 6,602,987 | 674,462 | 16,008 | |||||||||||||||||||||||
$ | 9,875,913 | $ | 5,500,000 | $ | – | $ | – | $ | (206,472 | ) | $ | 15,169,441 | $ | 45,172 |
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) |
Note 1 – Organization and Significant Accounting Policies
Organization
The Rydex Series Funds (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (”1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund (each, a "Fund"). The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each Fund separately.
This report covers the following funds (collectively, the “Funds”):
Fund Name | Investment Company Type |
Commodities Strategy Fund | Non-diversified |
Managed Futures Strategy Fund | Diversified |
Multi-Hedge Strategies Fund | Diversified |
For information on the Funds' policy regarding valuation of investments and other significant accounting policies, please refer to the Funds' most recent semi-annual or annual shareholder report.
Consolidation of Subsidiary
The consolidated schedules of investments include the accounts of a wholly-owned and controlled Cayman Islands subsidiary (the “Subsidiary”). Significant intercompany accounts and transactions have been eliminated in consolidation for the Funds.
Each Fund may invest up to 25% of its total assets in the Subsidiary which acts as an investment vehicle in order to effect certain investmentsconsistent with the Funds’ investment objectives and policies.
Significant Accounting Policies
The Funds operate as investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the consolidated financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
(a) Valuation of Investments
The Board of Trustees of the Funds (the “Board”) has adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Funds' securities and/or other assets.
Valuations of the Funds’ securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Funds’ officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Equity securities listed or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) |
Open-end investment companies are valued at their net asset value (“NAV”) as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are valued at the last quoted sale price.
U.S. Government securities are valued by independent pricing services, the last traded fill price, or at the reported bid price at the close of business.
Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value.
Repurchase agreements are generally valued at amortized cost, provided such amounts approximate market value.
The value of futures contracts is accounted for using the unrealized appreciation or depreciation on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the official settlement price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.
The values of swap agreements entered into by a fund are accounted for using the unrealized appreciation or depreciation on the agreements that are determined by marking the agreements to the last quoted value of the index or other underlying position that the swaps pertain to at the close of the New York Stock Exchange ("NYSE").
Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value". Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis.
In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) |
Note 2 – Financial Instruments and Derivatives
As part of their investment strategy, the Funds utilize short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Consolidated Schedule of Investments.
Short Sales
A short sale is a transaction in which a Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.
The Funds may utilize derivatives for the following purposes:
Duration: the use of an instrument to manage the interest rate risk of a portfolio.
Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.
Index Exposure: the use of an instrument to obtain exposure to a listed or other type of index.
Leverage: gaining total exposure to equities or other assets on the long and short sides at greater than 100% of invested capital.
Liquidity: the ability to buy or sell exposure with little price/market impact.
Speculation: the use of an instrument to express macro-economic and other investment views.
For any Fund whose investment strategy consistently involves applying leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase or decrease in the underlying index or other asset. In addition, because an investment in derivative instruments generally requires a small investment relative to the amount of investment exposure assumed, an opportunity for increased net income is created; but, at the same time, leverage risk will increase. The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile and riskier than if they had not been leveraged.
Futures Contracts
A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund's use of futures contracts, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to a Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Securities held as collateral are noted on the Consolidated Schedules of Investments.
Swap Agreements
A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. When utilizing over-the-counter ("OTC") swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. For a fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. There is no guarantee that a fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) |
Custom basket swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as an index or custom basket of securities) for a fixed or variable interest rate. Custom basket swaps will usually be computed based on the current value of the reference asset as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. When utilizing custom basket swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying reference asset declines in value.
In conjunction with short sales and the use of derivative instruments, the Funds are required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Funds use margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Funds as collateral.
The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.
Note 3 – Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Funds would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — quoted prices in active markets for identical assets or liabilities.
Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).
Level 3 — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
Note 4 – Repurchase Agreements
The Funds transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by obligations of the U.S. Treasury and U.S. government agencies. The joint account includes other Funds in the Guggenheim complex not covered in this report. The collateral is in the possession of the Funds’ custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements. Each Fund holds a pro rata share of the collateral based on the dollar amount of the repurchase agreement entered into by each Fund.
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) |
At March 31, 2022, the repurchase agreements in the joint account were as follows:
Repurchase Agreements
Counterparty and Terms of Agreement | Face Value | Repurchase Price | Collateral | Par Value | Fair Value | |||||||||||||
J.P. Morgan Securities LLC | U.S. Treasury Bond | |||||||||||||||||
0.28% | 2.38% | |||||||||||||||||
Due 04/01/22 | $ | 151,286,307 | $ | 151,287,484 | Due 05/15/51 | $ | 155,999,600 | $ | 154,312,098 | |||||||||
BofA Securities, Inc. | U.S. Treasury Note | |||||||||||||||||
0.25% | 1.25% | |||||||||||||||||
Due 04/01/22 | 58,268,731 | 58,269,135 | Due 04/30/28 | 63,485,700 | 59,434,112 | |||||||||||||
Barclays Capital, Inc. | U.S. Treasury Inflation Indexed Bond | |||||||||||||||||
0.24% | 0.13% | |||||||||||||||||
Due 04/01/22 | 15,149,870 | 15,149,971 | Due 01/15/30 | 14,626,728 | 15,452,970 |
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. GI, acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds enter into repurchase agreements to evaluate potential risks.
Note 5 – Portfolio Securities Loaned
The Funds may lend their securities to approved brokers to earn additional income. Security lending income is net of rebates paid to the borrowers and earnings on cash collateral investments shared with the lending agent. Within this arrangement, the Funds act as the lender, U.S. Bank acts as the lending agent, and other approved registered broker dealers act as the borrowers. The Funds receive cash collateral, valued at 102% of the value of the securities on loan. Under the terms of the Funds’ securities lending agreement with U.S. Bank, cash collateral and proceeds are invested in the First American Government Obligations Fund – Class Z. The Funds bear the risk of loss on cash collateral investments. Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of fund business each day; any additional collateral required due to changes in security values is delivered to the Funds the next business day. Although the collateral mitigates the risk, the Funds could experience a delay in recovering its securities and a possible loss of income or value if the borrower fails to return the securities. The Funds have the right under the securities lending agreement to recover the securities from the borrower on demand. Securities lending transactions are accounted for as secured borrowings. The remaining contractual maturity of the securities lending agreement is overnight and continuous.
At March 31, 2022, the Funds participated in securities lending transactions, which are subject to enforceable netting arrangements, as follows:
Fund | Value of Securities Loaned | Collateral Received | |||||||
Multi-Hedge Strategies Fund | $ | 309,478 | $ | 316,279 |
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. GI, acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers to evaluate potential risks.
Note 6 – Federal Income Tax Information
The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax or federal excise tax is required.
Tax positions taken or expected to be taken in the course of preparing the Funds' tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds' tax positions taken, or to be taken, on U.S. federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Funds' consolidated financial statements. The Funds' U.S. federal income tax returns are subject to examination by the Internal Revenue Service ("IRS") for a period of three years after they are filed.
The Commodities Strategy Fund, Managed Futures Strategy Fund and Multi-Hedge Strategies Fund intend to invest up to 25% of their assets in the respective Subsidiary which is expected to provide the Funds with exposure to the commodities markets within the limitations of the U.S. federal income tax requirements under Subchapter M of the Internal Revenue Code. The Funds have received a private letter ruling from the IRS that concludes that the income the Funds receive from the Subsidiary will constitute qualifying income for purposes of Subchapter M of the Internal Revenue Code. The Subsidiary will be classified as a corporation for U.S. federal income tax purposes. A foreign corporation, such as the Subsidiary, will generally not be subject to U.S. federal income taxation unless it is deemed to be engaged in a U.S. trade or business. If, during a taxable year, the Subsidiary’s taxable losses (and other deductible items) exceed its income and gains, the net loss will not pass through to the Fund as a deductible amount for U.S. federal income tax purposes and cannot be carried forward to reduce future income from the Subsidiary in subsequent years.
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) |
At March 31, 2022, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:
Fund | Tax Cost | Tax Unrealized Appreciation | Tax Unrealized Depreciation | Net Tax Unrealized Appreciation (Depreciation) | ||||||||||||
Commodities Strategy Fund | $ | 44,224,002 | $ | - | $ | (1,340,551 | ) | $ | (1,340,551 | ) | ||||||
Managed Futures Strategy Fund | 44,539,991 | 2,907,551 | (1,277,832 | ) | 1,629,719 | |||||||||||
Multi-Hedge Strategies Fund | 67,695,796 | 6,617,439 | (3,903,097 | ) | 2,714,342 |
Note 7 – COVID-19 and Other Market Risks
The outbreak of COVID-19 and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, and market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates. Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Funds’ investments and the performance of the Funds. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Funds will depend on future developments, which are highly uncertain and difficult to predict.
The value of, or income generated by, the investments held by a Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political, social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Changing economic, political, geopolitical, social, or, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by a Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.
OTHER INFORMATION (Unaudited) |
Sector Classification
Information in the Consolidated Schedule of Investments is categorized by sectors using sector-level classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.