Commodities Strategy Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2022 |
Shares | Value | |||||||
MUTUAL FUNDS† - 24.0% | ||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 141,704 | $ | 1,358,941 | |||||
Guggenheim Strategy Fund II1 | 56,518 | 1,354,744 | ||||||
Total Mutual Funds | ||||||||
(Cost $2,822,291) | 2,713,685 |
Face Amount | ||||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 45.8% | ||||||||
Federal Home Loan Bank | ||||||||
0.83% due 10/03/222 | $ | 2,000,000 | 1,999,840 | |||||
3.06% due 11/21/222 | 2,000,000 | 1,991,550 | ||||||
3.06% due 11/14/222 | 1,200,000 | 1,195,512 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $5,186,750) | 5,186,902 | |||||||
U.S. TREASURY BILLS†† - 14.4% | ||||||||
U.S. Treasury Bills | ||||||||
2.70% due 11/08/222,3 | 1,635,000 | 1,630,571 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $1,630,254) | 1,630,571 | |||||||
FEDERAL AGENCY NOTES†† - 8.8% | ||||||||
Federal Farm Credit Bank | ||||||||
3.07% (Commercial Prime Lending Rate - 3.18%, Rate Floor: 0.00%) due 10/25/22◊ | 1,000,000 | 1,000,006 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $999,996) | 1,000,006 | |||||||
REPURCHASE AGREEMENTS††,4 - 9.0% | ||||||||
J.P. Morgan Securities LLC issued 09/30/22 at 2.97% due 10/03/22 | 577,320 | 577,320 | ||||||
BofA Securities, Inc. issued 09/30/22 at 2.91% due 10/03/22 | 222,046 | 222,046 | ||||||
Barclays Capital, Inc. issued 09/30/22 at 2.92% due 10/03/22 | 215,474 | 215,474 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $1,014,840) | 1,014,840 | |||||||
Total Investments - 102.0% | ||||||||
(Cost $11,654,131) | $ | 11,546,004 | ||||||
Other Assets & Liabilities, net - (2.0)% | (223,386 | ) | ||||||
Total Net Assets - 100.0% | $ | 11,322,618 |
Futures Contracts | ||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Depreciation** | ||||||||||
Commodity Futures Contracts Purchased† | ||||||||||||||
Goldman Sachs Commodity Index Futures Contracts | 75 | Oct 2022 | $ | 11,405,625 | $ | (419,700 | ) |
** | 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 September 30, 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 September 30, 2022. |
4 | Repurchase Agreements — See Note 4. |
See Sector Classification in Other Information section.
Commodities Strategy Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2022 |
The following table summarizes the inputs used to value the Fund's investments at September 30, 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 | $ | 2,713,685 | $ | — | $ | — | $ | 2,713,685 | ||||||||
Federal Agency Discount Notes | — | 5,186,902 | — | 5,186,902 | ||||||||||||
U.S. Treasury Bills | — | 1,630,571 | — | 1,630,571 | ||||||||||||
Federal Agency Notes | — | 1,000,006 | — | 1,000,006 | ||||||||||||
Repurchase Agreements | — | 1,014,840 | — | 1,014,840 | ||||||||||||
Total Assets | $ | 2,713,685 | $ | 8,832,319 | $ | — | $ | 11,546,004 |
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Commodity Futures Contracts** | $ | 419,700 | $ | — | $ | — | $ | 419,700 |
** | 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 September 30, 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 09/30/22 | Shares 09/30/22 | Investment Income | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 1,406,176 | $ | – | $ | – | $ | – | $ | (51,432 | ) | $ | 1,354,744 | 56,518 | $ | 22,620 | ||||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 1,405,703 | – | – | – | (46,762 | ) | 1,358,941 | 141,704 | 17,573 | |||||||||||||||||||||||
$ | 2,811,879 | $ | – | $ | – | $ | – | $ | (98,194 | ) | $ | 2,713,685 | $ | 40,193 |
Managed Futures Strategy Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2022 |
Shares | Value | |||||||
MUTUAL FUNDS† - 32.3% | ||||||||
Guggenheim Strategy Fund III1 | 235,195 | $ | 5,649,389 | |||||
Guggenheim Strategy Fund II1 | 166,856 | 3,999,535 | ||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 257,497 | 2,469,394 | ||||||
Total Mutual Funds | ||||||||
(Cost $12,548,781) | 12,118,318 |
Face Amount | ||||||||
U.S. TREASURY BILLS†† - 9.2% | ||||||||
U.S. Treasury Bills | ||||||||
2.70% due 11/08/222,3 | $ | 3,480,000 | 3,470,573 | |||||
Total U.S. Treasury Bills | ||||||||
(Cost $3,469,898) | 3,470,573 | |||||||
REPURCHASE AGREEMENTS††,4 - 57.5% | ||||||||
J.P. Morgan Securities LLC issued 09/30/22 at 2.97% due 10/03/22 | 12,303,559 | 12,303,559 | ||||||
BofA Securities, Inc. issued 09/30/22 at 2.91% due 10/03/22 | 4,732,138 | 4,732,138 | ||||||
Barclays Capital, Inc. issued 09/30/22 at 2.92% due 10/03/22 | 4,592,071 | 4,592,071 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $21,627,768) | 21,627,768 | |||||||
Total Investments - 99.0% | ||||||||
(Cost $37,646,447) | $ | 37,216,659 | ||||||
Other Assets & Liabilities, net - 1.0% | 377,607 | |||||||
Total Net Assets - 100.0% | $ | 37,594,266 |
Futures Contracts | ||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation (Depreciation)** | ||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||
CBOE Volatility Index Futures Contracts | 23 | Dec 2022 | $ | 690,230 | $ | 62,196 | ||||||||
CBOE Volatility Index Futures Contracts | 1 | Nov 2022 | 31,020 | 3,522 | ||||||||||
Dow Jones Industrial Average Index Mini Futures Contracts | 5 | Dec 2022 | 719,650 | (1,059 | ) | |||||||||
FTSE 100 Index Futures Contracts | 2 | Dec 2022 | 152,791 | (6,947 | ) | |||||||||
Russell 2000 Index Mini Futures Contracts | 5 | Dec 2022 | 417,300 | (12,915 | ) | |||||||||
S&P 500 Index Mini Futures Contracts | 4 | Dec 2022 | 719,450 | (14,863 | ) | |||||||||
NASDAQ-100 Index Mini Futures Contracts | 3 | Dec 2022 | 661,830 | (18,291 | ) | |||||||||
$ | 3,392,271 | $ | 11,643 | |||||||||||
Interest Rate Futures Contracts Purchased† | ||||||||||||||
Long Gilt Futures Contracts†† | 4 | Dec 2022 | $ | 429,495 | $ | 5,572 | ||||||||
Euro - OATS Futures Contracts | 6 | Dec 2022 | 776,242 | 4,017 | ||||||||||
Australian Government 10 Year Bond Futures Contracts | 2 | Dec 2022 | 149,888 | 2,427 | ||||||||||
Euro - BTP Italian Government Bond Futures Contracts†† | 10 | Dec 2022 | 1,097,912 | (2,523 | ) | |||||||||
$ | 2,453,537 | $ | 9,493 | |||||||||||
Currency Futures Contracts Purchased† | ||||||||||||||
British Pound Futures Contracts | 15 | Dec 2022 | $ | 1,047,750 | $ | 10,031 | ||||||||
Mexican Peso Futures Contracts | 53 | Dec 2022 | 1,297,705 | (8,586 | ) | |||||||||
Euro FX Futures Contracts | 2 | Dec 2022 | 246,363 | (8,917 | ) | |||||||||
Japanese Yen Futures Contracts | 13 | Dec 2022 | 1,131,975 | (14,587 | ) | |||||||||
Canadian Dollar Futures Contracts | 5 | Dec 2022 | 362,050 | (16,945 | ) | |||||||||
New Zealand Dollar Futures Contracts | 16 | Dec 2022 | 895,680 | (62,921 | ) | |||||||||
$ | 4,981,523 | $ | (101,925 | ) |
Managed Futures Strategy Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2022 |
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation (Depreciation)** | ||||||||||
Commodity Futures Contracts Purchased† | ||||||||||||||
Red Spring Wheat Futures Contracts | 8 | Dec 2022 | $ | 393,500 | $ | 26,107 | ||||||||
Corn Futures Contracts | 14 | Dec 2022 | 474,600 | 22,405 | ||||||||||
Wheat Futures Contracts | 2 | Dec 2022 | 92,325 | 8,593 | ||||||||||
Hard Red Winter Wheat Futures Contracts | 2 | Dec 2022 | 99,225 | 7,031 | ||||||||||
Euro - Mill Wheat Futures Contracts | 11 | Dec 2022 | 192,309 | 6,986 | ||||||||||
Gasoline RBOB Futures Contracts | 7 | Nov 2022 | 670,085 | 200 | ||||||||||
Sugar #11 Futures Contracts | 16 | Feb 2023 | 316,288 | (590 | ) | |||||||||
Sugar #11 Futures Contracts | 23 | Jun 2023 | 425,298 | (2,738 | ) | |||||||||
Soybean Meal Futures Contracts | 3 | Dec 2022 | 120,900 | (2,789 | ) | |||||||||
Lean Hogs Futures Contracts | 1 | Dec 2022 | 30,560 | (2,883 | ) | |||||||||
Soybean Futures Contracts | 6 | Nov 2022 | 409,800 | (5,890 | ) | |||||||||
Sugar #11 Futures Contracts | 26 | Apr 2023 | 492,419 | (6,036 | ) | |||||||||
Coffee 'C' Futures Contracts | 1 | Dec 2022 | 82,856 | (6,946 | ) | |||||||||
WTI Crude Futures Contracts | 4 | Oct 2022 | 318,800 | (7,370 | ) | |||||||||
Natural Gas Futures Contracts | 8 | Dec 2022 | 580,640 | (7,750 | ) | |||||||||
Low Sulphur Gas Oil Futures Contracts | 1 | Nov 2022 | 94,125 | (8,302 | ) | |||||||||
Soybean Oil Futures Contracts | 8 | Dec 2022 | 294,384 | (11,358 | ) | |||||||||
NY Harbor ULSD Futures Contracts | 5 | Oct 2022 | 680,232 | (12,919 | ) | |||||||||
ECX Emission Futures Contracts | 2 | Dec 2022 | 130,805 | (15,405 | ) | |||||||||
Low Sulphur Gas Oil Futures Contracts | 7 | Dec 2022 | 630,525 | (20,442 | ) | |||||||||
Brent Crude Futures Contracts | 3 | Oct 2022 | 256,050 | (23,334 | ) | |||||||||
Live Cattle Futures Contracts | 18 | Dec 2022 | 1,058,400 | (26,757 | ) | |||||||||
LME Nickel Futures Contracts | 2 | Nov 2022 | 252,660 | (40,278 | ) | |||||||||
Cotton #2 Futures Contracts | 6 | Dec 2022 | 256,020 | (42,314 | ) | |||||||||
Natural Gas Futures Contracts | 5 | Oct 2022 | 339,750 | (54,859 | ) | |||||||||
$ | 8,692,556 | $ | (227,638 | ) | ||||||||||
Interest Rate Futures Contracts Sold Short† | ||||||||||||||
U.S. Treasury 2 Year Note Futures Contracts | 64 | Dec 2022 | $ | 13,140,000 | $ | 155,959 | ||||||||
U.S. Treasury 5 Year Note Futures Contracts | 32 | Dec 2022 | 3,438,250 | 98,836 | ||||||||||
Long Gilt Futures Contracts†† | 11 | Dec 2022 | 1,181,112 | 80,792 | ||||||||||
Euro - Bund Futures Contracts | 21 | Dec 2022 | 2,847,339 | 77,283 | ||||||||||
Canadian Government 10 Year Bond Futures Contracts | 47 | Dec 2022 | 4,194,654 | 50,622 | ||||||||||
Euro - Bobl Futures Contracts | 17 | Dec 2022 | 1,991,914 | 38,089 | ||||||||||
U.S. Treasury 10 Year Note Futures Contracts | 31 | Dec 2022 | 3,473,937 | 36,920 | ||||||||||
U.S. Treasury Long Bond Futures Contracts | 14 | Dec 2022 | 1,771,437 | 29,218 | ||||||||||
Euro - Schatz Futures Contracts | 45 | Dec 2022 | 4,722,508 | 26,664 | ||||||||||
U.S. Treasury Ultra Long Bond Futures Contracts | 10 | Dec 2022 | 1,366,562 | 21,658 | ||||||||||
Australian Government 3 Year Bond Futures Contracts | 29 | Dec 2022 | 1,978,597 | 17,755 | ||||||||||
Australian Government 10 Year Bond Futures Contracts | 8 | Dec 2022 | 599,552 | 5,167 | ||||||||||
Euro - 30 year Bond Futures Contracts | 1 | Dec 2022 | 143,507 | 206 | ||||||||||
$ | 40,849,369 | $ | 639,169 | |||||||||||
Currency Futures Contracts Sold Short† | ||||||||||||||
Australian Dollar Futures Contracts | 38 | Dec 2022 | $ | 2,433,520 | $ | 152,132 | ||||||||
Swiss Franc Futures Contracts | 40 | Dec 2022 | 5,105,750 | 142,718 | ||||||||||
Euro FX Futures Contracts | 55 | Dec 2022 | 6,774,969 | 128,773 | ||||||||||
Canadian Dollar Futures Contracts | 31 | Dec 2022 | 2,244,710 | 97,179 | ||||||||||
Japanese Yen Futures Contracts | 56 | Dec 2022 | 4,876,200 | 26,723 | ||||||||||
New Zealand Dollar Futures Contracts | 15 | Dec 2022 | 839,700 | 15,370 | ||||||||||
British Pound Futures Contracts | 18 | Dec 2022 | 1,257,300 | (33,759 | ) | |||||||||
$ | 23,532,149 | $ | 529,136 | |||||||||||
Commodity Futures Contracts Sold Short† | ||||||||||||||
Gold 100 oz. Futures Contracts | 11 | Dec 2022 | $ | 1,836,780 | $ | 82,385 | ||||||||
Lean Hogs Futures Contracts | 25 | Dec 2022 | 764,000 | 61,042 | ||||||||||
Live Cattle Futures Contracts | 36 | Apr 2023 | 2,223,000 | 39,517 | ||||||||||
Silver Futures Contracts | 7 | Dec 2022 | 665,350 | 32,759 |
Managed Futures Strategy Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2022 |
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation (Depreciation)** | ||||||||||
Commodity Futures Contracts Sold Short† (continued) | ||||||||||||||
Gasoline RBOB Futures Contracts | 8 | Dec 2022 | $ | 750,926 | $ | 23,911 | ||||||||
Cocoa Futures Contracts | 27 | Dec 2022 | 632,340 | 22,980 | ||||||||||
Copper Futures Contracts | 3 | Dec 2022 | 254,850 | 19,668 | ||||||||||
LME Primary Aluminum Futures Contracts | 9 | Nov 2022 | 484,481 | 18,723 | ||||||||||
Low Sulphur Gas Oil Futures Contracts | 6 | Nov 2022 | 564,750 | 13,390 | ||||||||||
CME Random Length Lumber Futures Contracts | 3 | Nov 2022 | 140,151 | 12,637 | ||||||||||
Euro - Rapeseed Futures Contracts | 6 | Jan 2023 | 187,224 | 11,301 | ||||||||||
Canadian Canola (WCE) Futures Contracts | 3 | Nov 2022 | 36,931 | 8,705 | ||||||||||
Natural Gas Futures Contracts | 8 | Nov 2022 | 566,640 | 7,990 | ||||||||||
Sugar #11 Futures Contracts | 22 | Feb 2023 | 434,896 | 7,710 | ||||||||||
LME Zinc Futures Contracts | 3 | Nov 2022 | 225,075 | 7,260 | ||||||||||
Soybean Meal Futures Contracts | 3 | Dec 2022 | 120,900 | 5,251 | ||||||||||
Cattle Feeder Futures Contracts | 6 | Jan 2023 | 526,425 | 2,145 | ||||||||||
LME Lead Futures Contracts | 4 | Nov 2022 | 191,285 | 1,653 | ||||||||||
LME Tin Futures Contracts | 1 | Nov 2022 | 103,425 | 1,093 | ||||||||||
Live Cattle Futures Contracts | 8 | Dec 2022 | 470,400 | 1,050 | ||||||||||
Platinum Futures Contracts | 2 | Jan 2023 | 85,740 | 365 | ||||||||||
Oat Futures Contracts | 6 | Dec 2022 | 116,475 | 182 | ||||||||||
SGX Iron Ore 62% Futures Contracts | 15 | Nov 2022 | 141,225 | (660 | ) | |||||||||
Gasoline RBOB Futures Contracts | 1 | Oct 2022 | 99,624 | (2,686 | ) | |||||||||
Corn Futures Contracts | 1 | Dec 2022 | 33,900 | (2,978 | ) | |||||||||
Wheat Futures Contracts | 1 | Dec 2022 | 46,163 | (5,353 | ) | |||||||||
Hard Red Winter Wheat Futures Contracts | 1 | Dec 2022 | 49,613 | (5,778 | ) | |||||||||
$ | 11,752,569 | $ | 364,262 | |||||||||||
Equity Futures Contracts Sold Short† | ||||||||||||||
DAX Index Futures Contracts | 2 | Dec 2022 | $ | 587,670 | $ | 54,643 | ||||||||
MSCI EAFE Index Futures Contracts | 7 | Dec 2022 | 581,560 | 54,448 | ||||||||||
NASDAQ-100 Index Mini Futures Contracts | 1 | Dec 2022 | 220,610 | 27,331 | ||||||||||
S&P MidCap 400 Index Mini Futures Contracts | 1 | Dec 2022 | 220,780 | 21,298 | ||||||||||
S&P 500 Index Mini Futures Contracts | 1 | Dec 2022 | 179,863 | 21,264 | ||||||||||
FTSE Taiwan Index Futures Contracts | 9 | Oct 2022 | 418,590 | 20,526 | ||||||||||
FTSE/JSE TOP 40 Index Futures Contracts†† | 17 | Dec 2022 | 531,786 | 18,803 | ||||||||||
SPI 200 Index Futures Contracts | 5 | Dec 2022 | 518,695 | 18,124 | ||||||||||
Dow Jones Industrial Average Index Mini Futures Contracts | 2 | Dec 2022 | 287,860 | 15,413 | ||||||||||
CAC 40 10 Euro Index Futures Contracts | 9 | Oct 2022 | 501,955 | 14,865 | ||||||||||
Euro STOXX 50 Index Futures Contracts | 3 | Dec 2022 | 96,266 | 9,476 | ||||||||||
Russell 2000 Index Mini Futures Contracts | 1 | Dec 2022 | 83,460 | 9,123 | ||||||||||
IBEX 35 Index Futures Contracts†† | 2 | Oct 2022 | 142,526 | 7,544 | ||||||||||
OMX Stockholm 30 Index Futures Contracts†† | 4 | Oct 2022 | 64,470 | 4,856 | ||||||||||
Amsterdam Index Futures Contracts | 2 | Oct 2022 | 248,241 | 2,077 | ||||||||||
S&P/TSX 60 IX Index Futures Contracts | 2 | Dec 2022 | 323,271 | 1,523 | ||||||||||
Nikkei 225 Index Futures Contracts | 1 | Dec 2022 | 181,167 | (6 | ) | |||||||||
CBOE Volatility Index Futures Contracts | 2 | Mar 2023 | 60,300 | (130 | ) | |||||||||
CBOE Volatility Index Futures Contracts | 7 | Feb 2023 | 211,820 | (874 | ) | |||||||||
CBOE Volatility Index Futures Contracts | 23 | Jan 2023 | 705,410 | (14,679 | ) | |||||||||
$ | 6,166,300 | $ | 285,625 |
** | 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 September 30, 2022. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | Repurchase Agreements — See Note 4. |
Managed Futures Strategy Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2022 |
CME — Chicago Mercantile Exchange
See Sector Classification in Other Information section.
The following table summarizes the inputs used to value the Fund's investments at September 30, 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 | $ | 12,118,318 | $ | — | $ | — | $ | 12,118,318 | ||||||||
U.S. Treasury Bills | — | 3,470,573 | — | 3,470,573 | ||||||||||||
Repurchase Agreements | — | 21,627,768 | — | 21,627,768 | ||||||||||||
Interest Rate Futures Contracts** | 564,821 | 86,364 | — | 651,185 | ||||||||||||
Currency Futures Contracts** | 572,926 | — | — | 572,926 | ||||||||||||
Commodity Futures Contracts** | 453,039 | — | — | 453,039 | ||||||||||||
Equity Futures Contracts** | 335,829 | 31,203 | — | 367,032 | ||||||||||||
Total Assets | $ | 14,044,933 | $ | 25,215,908 | $ | — | $ | 39,260,841 |
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Commodity Futures Contracts** | $ | 316,415 | $ | — | $ | — | $ | 316,415 | ||||||||
Currency Futures Contracts** | 145,715 | — | — | 145,715 | ||||||||||||
Equity Futures Contracts** | 69,764 | — | — | 69,764 | ||||||||||||
Interest Rate Futures Contracts** | — | 2,523 | — | 2,523 | ||||||||||||
Total Liabilities | $ | 531,894 | $ | 2,523 | $ | — | $ | 534,417 |
** | 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 September 30, 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 09/30/22 | Shares 09/30/22 | Investment Income | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 4,951,696 | $ | – | $ | (800,000 | ) | $ | (3,539 | ) | $ | (148,622 | ) | $ | 3,999,535 | 166,856 | $ | 67,208 | ||||||||||||||
Guggenheim Strategy Fund III | 5,886,936 | – | – | – | (237,547 | ) | 5,649,389 | 235,195 | 96,525 | |||||||||||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 1,753,560 | 800,000 | – | – | (84,166 | ) | 2,469,394 | 257,497 | 31,588 | |||||||||||||||||||||||
$ | 12,592,192 | $ | 800,000 | $ | (800,000 | ) | $ | (3,539 | ) | $ | (470,335 | ) | $ | 12,118,318 | $ | 195,321 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2022 |
Shares | Value | |||||||
COMMON STOCKS† - 32.4% | ||||||||
Consumer, Non-cyclical - 8.7% | ||||||||
LHC Group, Inc.*,1 | 8,220 | $ | 1,345,285 | |||||
MoneyGram International, Inc.*,1 | 128,543 | 1,336,847 | ||||||
Covetrus, Inc.* | 62,481 | 1,304,603 | ||||||
Nielsen Holdings plc | 45,275 | 1,255,023 | ||||||
Signify Health, Inc. — Class A*,1 | 37,906 | 1,104,960 | ||||||
ChemoCentryx, Inc.* | 18,708 | 966,455 | ||||||
Biohaven Pharmaceutical Holding Company Ltd.*,1 | 5,037 | 761,443 | ||||||
Global Blood Therapeutics, Inc.* | 9,796 | 667,108 | ||||||
Forma Therapeutics Holdings, Inc.* | 32,282 | 644,026 | ||||||
Evo Payments, Inc. — Class A* | 19,215 | 639,860 | ||||||
Aerie Pharmaceuticals, Inc.* | 31,143 | 471,194 | ||||||
Meridian Bioscience, Inc.* | 14,850 | 468,220 | ||||||
Total Consumer, Non-cyclical | 10,965,024 | |||||||
Technology - 7.4% | ||||||||
Citrix Systems, Inc.*,†† | 19,235 | 2,000,440 | ||||||
Activision Blizzard, Inc.1 | 20,393 | 1,516,016 | ||||||
1Life Healthcare, Inc.* | 75,244 | 1,290,435 | ||||||
VMware, Inc. — Class A1 | 10,070 | 1,072,052 | ||||||
Tower Semiconductor Ltd.*,1 | 22,123 | 972,085 | ||||||
Ping Identity Holding Corp.* | 34,080 | 956,625 | ||||||
ironSource Ltd. — Class A* | 244,005 | 839,377 | ||||||
Change Healthcare, Inc. | 17,745 | 487,810 | ||||||
Total Technology | 9,134,840 | |||||||
Financial - 5.0% | ||||||||
First Horizon Corp.1 | 64,930 | 1,486,897 | ||||||
Alleghany Corp.* | 1,524 | 1,279,200 | ||||||
STORE Capital Corp. REIT | 30,223 | 946,887 | ||||||
Duke Realty Corp. REIT | 18,210 | 877,722 | ||||||
Cowen, Inc. — Class A1 | 13,609 | 525,852 | ||||||
Flagstar Bancorp, Inc.1 | 15,425 | 515,195 | ||||||
Bluerock Residential Growth REIT, Inc. | 13,268 | 354,919 | ||||||
Umpqua Holdings Corp. | 14,485 | 247,549 | ||||||
Total Financial | 6,234,221 | |||||||
Communications - 4.4% | ||||||||
Switch, Inc. — Class A | 52,360 | 1,764,008 | ||||||
TEGNA, Inc. | 65,842 | 1,361,613 | ||||||
Sierra Wireless, Inc.* | 31,107 | 946,897 | ||||||
ChannelAdvisor Corp.* | 41,757 | 946,213 | ||||||
Twitter, Inc.* | 12,676 | 555,716 | ||||||
Total Communications | 5,574,447 | |||||||
Consumer, Cyclical - 2.5% | ||||||||
Tenneco, Inc. — Class A* | 83,246 | 1,447,648 | ||||||
Spirit Airlines, Inc.*,1 | 59,579 | 1,121,277 | ||||||
iRobot Corp.*,1 | 11,007 | 620,024 | ||||||
Total Consumer, Cyclical | 3,188,949 | |||||||
Basic Materials - 1.5% | ||||||||
Rogers Corp.*,1 | 5,111 | 1,236,249 | ||||||
Yamana Gold, Inc. | 134,978 | 611,450 | ||||||
Total Basic Materials | 1,847,699 | |||||||
Utilities - 1.1% | ||||||||
South Jersey Industries, Inc.1 | 41,926 | 1,401,167 | ||||||
Industrial - 1.0% | ||||||||
Atlas Air Worldwide Holdings, Inc.* | 12,839 | 1,227,023 | ||||||
Energy - 0.8% | ||||||||
Shell Midstream Partners, LP | 41,320 | 653,269 | ||||||
Infrastructure and Energy Alternatives, Inc.* | 28,464 | 385,403 | ||||||
Total Energy | 1,038,672 | |||||||
Total Common Stocks | ||||||||
(Cost $41,983,079) | 40,612,042 | |||||||
MASTER LIMITED PARTNERSHIPS† - 0.0% | ||||||||
Energy - 0.0% | ||||||||
Energy Transfer, LP | – | 5 | ||||||
Total Master Limited Partnerships | ||||||||
(Cost $4) | 5 | |||||||
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 $1) | – | |||||||
MUTUAL FUNDS† - 11.8% | ||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class2 | 674,462 | 6,468,094 | ||||||
Guggenheim Strategy Fund II2 | 269,618 | 6,462,745 | ||||||
Guggenheim Strategy Fund III2 | 79,031 | 1,898,331 | ||||||
Total Mutual Funds | ||||||||
(Cost $15,386,814) | 14,829,170 | |||||||
CLOSED-END FUNDS† - 5.8% | ||||||||
Invesco Senior Income Trust | 63,438 | 235,990 | ||||||
Nuveen Credit Strategies Income Fund | 45,430 | 232,147 | ||||||
BlackRock Resources & Commodities Strategy Trust | 26,078 | 226,618 | ||||||
Tri-Continental Corp. | 8,856 | 226,359 | ||||||
Adams Diversified Equity Fund, Inc. | 15,238 | 222,018 | ||||||
Nuveen New York AMT-Free Quality Municipal Income Fund | 22,342 | 219,398 | ||||||
Aberdeen Total Dynamic Dividend Fund | 30,570 | 218,270 | ||||||
Gabelli Dividend & Income Trust | 11,545 | 216,122 | ||||||
Royce Micro-Capital Trust, Inc. | 27,057 | 214,562 | ||||||
Virtus Convertible & Income Fund II3 | 72,661 | 204,904 | ||||||
BlackRock California Municipal Income Trust | 18,989 | 195,207 | ||||||
General American Investors Company, Inc. | 5,379 | 182,079 | ||||||
Nuveen Real Asset Income and Growth Fund | 15,665 | 174,665 | ||||||
Nuveen Floating Rate Income Opportunity Fund | 20,714 | 166,955 | ||||||
MFS Municipal Income Trust | 32,496 | 157,281 | ||||||
BlackRock MuniYield Fund, Inc. | 15,251 | 151,595 | ||||||
BNY Mellon High Yield Strategies Fund | 71,564 | 151,000 | ||||||
Apollo Senior Floating Rate Fund, Inc. | 12,029 | 150,483 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2022 |
Shares | Value | |||||||
CLOSED-END FUNDS† - 5.8% (continued) | ||||||||
DWS Municipal Income Trust | 16,894 | $ | 140,558 | |||||
Pioneer Municipal High Income Fund Trust | 16,658 | 136,762 | ||||||
Pioneer Municipal High Income Advantage Fund, Inc. | 18,052 | 136,293 | ||||||
PGIM High Yield Bond Fund, Inc. | 11,587 | 133,714 | ||||||
BlackRock MuniHoldings New York Quality Fund, Inc. | 13,268 | 130,026 | ||||||
Eaton Vance California Municipal Bond Fund | 14,084 | 119,855 | ||||||
First Trust Dynamic Europe Equity Income Fund3 | 11,365 | 108,422 | ||||||
LMP Capital and Income Fund, Inc. | 9,567 | 107,820 | ||||||
Ellsworth Growth and Income Fund Ltd. | 12,426 | 99,532 | ||||||
Western Asset Managed Municipals Fund, Inc. | 9,940 | 96,418 | ||||||
abrdn Global Dynamic Dividend | 10,510 | 88,809 | ||||||
Eaton Vance New York Municipal Bond Fund | 9,850 | 83,232 | ||||||
Invesco Trust for Investment Grade New York Municipals | 8,431 | 80,600 | ||||||
Voya Infrastructure Industrials and Materials Fund | 8,924 | 78,888 | ||||||
Nuveen Short Duration Credit Opportunities Fund | 5,807 | 68,697 | ||||||
Bancroft Fund Ltd. | 3,905 | 65,292 | ||||||
Invesco Pennsylvania Value Municipal Income Trust | 6,740 | 65,054 | ||||||
Nuveen Ohio Quality Municipal Income Fund | 5,258 | 61,782 | ||||||
Nuveen New York Quality Municipal Income Fund | 5,800 | 60,726 | ||||||
BlackRock MuniYield New York Quality Fund, Inc. | 6,318 | 59,579 | ||||||
Apollo Tactical Income Fund, Inc. | 4,929 | 58,064 | ||||||
Gabelli Healthcare & WellnessRx Trust | 6,086 | 57,817 | ||||||
Federated Hermes Premier Municipal Income Fund | 5,171 | 53,468 | ||||||
Eaton Vance California Municipal Income Trust | 5,380 | 51,648 | ||||||
MFS High Income Municipal Trust | 14,879 | 50,142 | ||||||
First Trust High Income Long/Short Fund | 4,496 | 48,737 | ||||||
Nuveen New Jersey Quality Municipal Income Fund | 4,208 | 46,330 | ||||||
BNY Mellon Municipal Income, Inc. | 7,517 | 45,177 | ||||||
Nuveen Pennsylvania Quality Municipal Income Fund | 3,896 | 42,739 | ||||||
Morgan Stanley Emerging Markets Debt Fund, Inc. | 6,392 | 39,375 | ||||||
Neuberger Berman California Municipal Fund, Inc. | 3,641 | 38,230 | ||||||
MFS High Yield Municipal Trust | 12,183 | 36,671 | ||||||
Western Asset Municipal Partners Fund, Inc. | 3,108 | 34,810 | ||||||
Swiss Helvetia Fund, Inc. | 4,382 | 29,754 | ||||||
Neuberger Berman New York Municipal Fund, Inc. | 3,166 | 29,285 | ||||||
abrdn Japan Equity Fund, Inc. | 5,533 | 27,776 | ||||||
Herzfeld Caribbean Basin Fund, Inc. | 7,151 | 25,957 | ||||||
Tortoise Power and Energy Infrastructure Fund, Inc. | 1,793 | 22,395 | ||||||
Western Asset Intermediate Muni Fund, Inc. | 2,647 | 19,455 | ||||||
DWS Strategic Municipal Income Trust | 2,334 | 18,462 | ||||||
Mexico Fund, Inc. | 1,381 | 17,994 | ||||||
New Germany Fund, Inc. | 2,545 | 17,713 | ||||||
First Trust/abrdn Emerging Opp | 1,830 | 16,350 | ||||||
MFS Intermediate Income Trust | 5,591 | 15,711 | ||||||
Nuveen New York Municipal Value Fund | 1,909 | 15,577 | ||||||
MFS Investment Grade Municipal Trust | 2,304 | 15,506 | ||||||
Putnam Premier Income Trust | 4,330 | 15,501 | ||||||
Insight Select Income Fund | 1,008 | 15,493 | ||||||
Tekla Life Sciences Investors | 1,131 | 15,449 | ||||||
Nuveen Select Maturities Municipal Fund | 1,739 | 15,407 | ||||||
Source Capital, Inc. | 440 | 15,400 | ||||||
Eaton Vance Floating-Rate Income Trust | 1,352 | 15,359 | ||||||
Saba Capital Income & Opportunities Fund | 1,941 | 15,353 | ||||||
Nuveen AMT-Free Municipal Value Fund | 1,169 | 15,349 | ||||||
Nuveen Municipal Income Fund, Inc. | 1,761 | 15,303 | ||||||
Nuveen Floating Rate Income Fund/Closed-end Fund | 1,885 | 15,287 | ||||||
Tekla Healthcare Opportunities Fund | 841 | 15,239 | ||||||
Western Asset Municipal High Income Fund, Inc. | 2,444 | 15,153 | ||||||
KKR Income Opportunities Fund | 1,322 | 15,124 | ||||||
Invesco Bond Fund | 1,046 | 15,073 | ||||||
Nuveen Massachusetts Quality Municipal Income Fund | 1,417 | 15,063 | ||||||
Western Asset High Income Opportunity Fund, Inc. | 4,091 | 15,055 | ||||||
Western Asset Investment Grade Income Fund, Inc. | 1,344 | 15,039 | ||||||
MFS Charter Income Trust | 2,519 | 14,988 | ||||||
MFS Multimarket Income Trust | 3,533 | 14,945 | ||||||
BlackRock Municipal Income Fund, Inc. | 1,375 | 14,932 | ||||||
Eaton Vance Municipal Bond Fund | 1,542 | 14,926 | ||||||
BlackRock Floating Rate Income Strategies Fund, Inc. | 1,354 | 14,908 | ||||||
BNY Mellon Strategic Municipals, Inc. | 2,451 | 14,902 | ||||||
Western Asset Global High Income Fund, Inc. | 2,261 | 14,832 | ||||||
Allspring Income Opportunities | 2,390 | 14,818 | ||||||
BlackRock MuniVest Fund, Inc. | 2,230 | 14,807 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2022 |
Shares | Value | |||||||
CLOSED-END FUNDS† - 5.8% (continued) | ||||||||
AllianceBernstein National Municipal Income Fund, Inc. | 1,426 | $ | 14,773 | |||||
Invesco Quality Municipal Income Trust | 1,618 | 14,772 | ||||||
Nuveen California Quality Municipal Income Fund | 1,345 | 14,755 | ||||||
Pioneer High Income Fund, Inc. | 2,283 | 14,748 | ||||||
BlackRock MuniYield Quality Fund III, Inc. | 1,412 | 14,727 | ||||||
BlackRock Municipal Income Trust II | 1,471 | 14,710 | ||||||
PGIM Global High Yield Fund, Inc. | 1,387 | 14,674 | ||||||
Franklin Limited Duration Income Trust | 2,369 | 14,640 | ||||||
BlackRock MuniYield Quality Fund, Inc. | 1,324 | 14,630 | ||||||
Pioneer Diversified High Income Fund, Inc. | 1,418 | 14,620 | ||||||
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc. | 3,636 | 14,617 | ||||||
Nuveen Quality Municipal Income Fund | 1,327 | 14,597 | ||||||
Credit Suisse High Yield Bond Fund | 8,287 | 14,585 | ||||||
Nuveen Preferred & Income Securities Fund | 2,215 | 14,553 | ||||||
Miller/Howard High Dividend Fund | 1,604 | 14,548 | ||||||
Western Asset Inflation - Linked Securities & Income Fund | 1,624 | 14,535 | ||||||
BlackRock Municipal Income Trust | 1,524 | 14,524 | ||||||
Barings Global Short Duration High Yield Fund | 1,188 | 14,518 | ||||||
BlackRock MuniVest Fund II, Inc. | 1,438 | 14,509 | ||||||
BlackRock New York Municipal Income Trust | 1,483 | 14,504 | ||||||
Invesco California Value Municipal Income Trust | 1,612 | 14,492 | ||||||
Sprott Focus Trust, Inc. | 2,101 | 14,476 | ||||||
Invesco High Income Trust II | 1,479 | 14,450 | ||||||
Nuveen AMT-Free Quality Municipal Income Fund | 1,363 | 14,448 | ||||||
Western Asset Inflation-Linked Opportunities & Income Fund | 1,591 | 14,430 | ||||||
BlackRock MuniHoldings Fund, Inc. | 1,280 | 14,400 | ||||||
First Trust Aberdeen Global Opportunity Income Fund | 2,634 | 14,382 | ||||||
BrandywineGLOBAL Global Income Opportunities Fund, Inc. | 1,887 | 14,379 | ||||||
BNY Mellon Strategic Municipal Bond Fund, Inc. | 2,539 | 14,371 | ||||||
Nuveen Georgia Quality Municipal Income Fund | 1,502 | 14,344 | ||||||
Nuveen Municipal Credit Income Fund | 1,261 | 14,338 | ||||||
Nuveen Global High Income Fund | 1,356 | 14,292 | ||||||
DTF Tax-Free Income 2028 Term Fund, Inc. | 1,285 | 14,264 | ||||||
Western Asset Emerging Markets Debt Fund, Inc. | 1,782 | 14,220 | ||||||
Macquarie/First Trust Global Infrastructure/Utilities Dividend & Income Fund | 1,788 | 14,173 | ||||||
Delaware Investments Dividend & Income Fund, Inc. | 1,903 | 13,835 | ||||||
Principal Real Estate Income Fund | 1,243 | 13,723 | ||||||
Virtus Convertible & Income Fund | 4,218 | 13,498 | ||||||
Virtus Total Return Fund, Inc. | 2,142 | 13,345 | ||||||
Gabelli Global Small and Mid Capital Value Trust | 1,333 | 12,704 | ||||||
Korea Fund, Inc. | 620 | 11,910 | ||||||
Nuveen New York Select Tax-Free Income Portfolio | 888 | 9,848 | ||||||
Royce Global Value Trust, Inc. | 1,154 | 9,255 | ||||||
European Equity Fund, Inc. | 1,153 | 7,160 | ||||||
New Ireland Fund, Inc. | 309 | 2,030 | ||||||
Total Closed-End Funds | ||||||||
(Cost $8,551,029) | 7,351,866 |
Face Amount | ||||||||
U.S. TREASURY BILLS†† - 11.3% | ||||||||
U.S. Treasury Bills | ||||||||
2.30% due 10/04/224 | $ | 9,000,000 | 8,999,396 | |||||
2.70% due 11/08/224,5 | 5,212,000 | 5,197,882 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $14,195,086) | 14,197,278 | |||||||
REPURCHASE AGREEMENTS††,6 - 35.5% | ||||||||
J.P. Morgan Securities LLC issued 09/30/22 at 2.97% due 10/03/221 | 25,388,735 | 25,388,735 | ||||||
BofA Securities, Inc. issued 09/30/22 at 2.91% due 10/03/221 | 9,764,898 | 9,764,898 | ||||||
Barclays Capital, Inc. issued 09/30/22 at 2.92% due 10/03/221 | 9,475,865 | 9,475,865 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $44,629,498) | 44,629,498 |
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,7 - 0.1% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund - Class X, 2.78%8 | 83,050 | 83,050 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $83,050) | 83,050 | |||||||
Total Investments - 96.9% | ||||||||
(Cost $124,828,561) | $ | 121,702,909 |
COMMON STOCKS SOLD SHORT† - (3.1)% | ||||||||
Consumer, Cyclical - 0.0% | ||||||||
DraftKings, Inc. — Class A* | 1 | (15 | ) |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2022 |
Shares | Value | |||||||
COMMON STOCKS SOLD SHORT† - (3.1)% (continued) | ||||||||
Consumer, Non-cyclical - 0.0% | ||||||||
QuidelOrtho Corp.* | 1 | $ | (71 | ) | ||||
Industrial - (0.1)% | ||||||||
Coherent Corp.* | 1 | (35 | ) | |||||
MasTec, Inc.* | 1,373 | (87,185 | ) | |||||
Total Industrial | (87,220 | ) | ||||||
Basic Materials - (0.5)% | ||||||||
Gold Fields Ltd. ADR | 80,987 | (655,185 | ) | |||||
Technology - (1.2)% | ||||||||
Entegris, Inc. | 1 | (106 | ) | |||||
Broadcom, Inc. | 1,269 | (563,449 | ) | |||||
Unity Software, Inc.* | 26,572 | (846,584 | ) | |||||
Total Technology | (1,410,139 | ) | ||||||
Financial - (1.3)% | ||||||||
Raymond James Financial, Inc. | 1 | (99 | ) | |||||
Columbia Banking System, Inc. | 8,710 | (251,632 | ) | |||||
New York Community Bancorp, Inc. | 61,933 | (528,289 | ) | |||||
Prologis, Inc. | 8,650 | (878,840 | ) | |||||
Total Financial | (1,658,860 | ) | ||||||
Total Common Stocks Sold Short | ||||||||
(Proceeds $4,672,053) | (3,811,490 | ) | ||||||
EXCHANGE-TRADED FUNDS SOLD SHORT† - (6.8)% | ||||||||
iShares Mortgage Real Estate ETF | 41 | (859 | ) | |||||
iShares Latin America 40 ETF | 48 | (1,138 | ) | |||||
SPDR Gold Shares — Class D | 15 | (2,320 | ) | |||||
iShares U.S. Real Estate ETF | 74 | (6,025 | ) | |||||
Utilities Select Sector SPDR Fund | 94 | (6,158 | ) | |||||
SPDR S&P Biotech ETF* | 84 | (6,663 | ) | |||||
Energy Select Sector SPDR Fund | 116 | (8,354 | ) | |||||
iShares Preferred & Income Securities ETF | 315 | (9,976 | ) | |||||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 181 | (18,544 | ) | |||||
iShares TIPS Bond ETF* | 246 | (25,805 | ) | |||||
VanEck Gold Miners ETF | 1,176 | (28,365 | ) | |||||
iShares Core High Dividend ETF | 439 | (40,076 | ) | |||||
Health Care Select Sector SPDR Fund | 579 | (70,123 | ) | |||||
iShares 7-10 Year Treasury Bond ETF | 1,479 | (141,969 | ) | |||||
iShares Russell 1000 Growth ETF | 873 | (183,679 | ) | |||||
iShares Agency Bond ETF | 2,477 | (263,801 | ) | |||||
iShares Floating Rate Bond ETF | 5,303 | (266,582 | ) | |||||
SPDR Nuveen Bloomberg High Yield Municipal Bond ETF | 6,105 | (292,552 | ) | |||||
SPDR Bloomberg Convertible Securities ETF | 5,571 | (352,644 | ) | |||||
iShares Russell 2000 Index ETF | 2,173 | (358,371 | ) | |||||
iShares National Muni Bond ETF | 3,573 | (366,518 | ) | |||||
iShares Russell 1000 Value ETF | 3,437 | (467,398 | ) | |||||
SPDR S&P 500 ETF Trust | 1,570 | (560,773 | ) | |||||
SPDR Nuveen Bloomberg Municipal Bond ETF | 14,566 | (640,758 | ) | |||||
Schwab U.S. Aggregate Bond ETF | 17,701 | (802,032 | ) | |||||
iShares MSCI EAFE ETF | 16,536 | (926,181 | ) | |||||
Invesco Senior Loan ETF | 58,052 | (1,172,070 | ) | |||||
iShares iBoxx High Yield Corporate Bond ETF | 21,184 | (1,512,326 | ) | |||||
Total Exchange-Traded Funds Sold Short | ||||||||
(Proceeds $9,802,857) | (8,532,060 | ) | ||||||
Total Securities Sold Short - (9.9)% | ||||||||
(Proceeds $14,474,910) | $ | (12,343,550 | ) | |||||
Other Assets & Liabilities, net - 13.0% | 16,308,915 | |||||||
Total Net Assets - 100.0% | $ | 125,668,274 |
Futures Contracts | ||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation (Depreciation)** | ||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||
CBOE Volatility Index Futures Contracts | 207 | Dec 2022 | $ | 6,212,070 | $ | 574,668 | ||||||||
CBOE Volatility Index Futures Contracts | 6 | Nov 2022 | 186,120 | 21,130 | ||||||||||
Dow Jones Industrial Average Index Mini Futures Contracts | 33 | Dec 2022 | 4,749,690 | (7,043 | ) | |||||||||
NASDAQ-100 Index Mini Futures Contracts | 12 | Dec 2022 | 2,647,320 | (72,569 | ) | |||||||||
Russell 2000 Index Mini Futures Contracts | 36 | Dec 2022 | 3,004,560 | (84,840 | ) | |||||||||
S&P 500 Index Mini Futures Contracts | 18 | Dec 2022 | 3,237,525 | (94,845 | ) | |||||||||
$ | 20,037,285 | $ | 336,501 | |||||||||||
Interest Rate Futures Contracts Purchased† | ||||||||||||||
Euro - OATS Futures Contracts | 37 | Dec 2022 | $ | 4,786,827 | $ | 24,504 | ||||||||
Long Gilt Futures Contracts†† | 5 | Dec 2022 | 536,869 | 15,862 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2022 |
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation (Depreciation)** | ||||||||||
Interest Rate Futures Contracts Purchased† (continued) | ||||||||||||||
Euro - BTP Italian Government Bond Futures Contracts†† | 56 | Dec 2022 | $ | 6,148,309 | $ | (22,459 | ) | |||||||
$ | 11,472,005 | $ | 17,907 | |||||||||||
Currency Futures Contracts Purchased† | ||||||||||||||
British Pound Futures Contracts | 57 | Dec 2022 | $ | 3,981,450 | $ | 102,694 | ||||||||
Japanese Yen Futures Contracts | 23 | Dec 2022 | 2,002,725 | (18,877 | ) | |||||||||
Canadian Dollar Futures Contracts | 27 | Dec 2022 | 1,955,070 | (23,440 | ) | |||||||||
New Zealand Dollar Futures Contracts | 91 | Dec 2022 | 5,094,180 | (325,323 | ) | |||||||||
$ | 13,033,425 | $ | (264,946 | ) | ||||||||||
Commodity Futures Contracts Purchased† | ||||||||||||||
Hard Red Winter Wheat Futures Contracts | 10 | Dec 2022 | $ | 496,125 | $ | 46,078 | ||||||||
Gasoline RBOB Futures Contracts | 28 | Nov 2022 | 2,680,339 | 42,265 | ||||||||||
Soybean Oil Futures Contracts | 10 | Dec 2022 | 367,980 | 21,234 | ||||||||||
Soybean Meal Futures Contracts | 26 | Dec 2022 | 1,047,800 | 20,135 | ||||||||||
WTI Crude Futures Contracts | 1 | Dec 2022 | 77,920 | 387 | ||||||||||
CBOE Volatility Index Futures Contracts | 4 | Oct 2022 | 125,400 | (11 | ) | |||||||||
NY Harbor ULSD Futures Contracts | 3 | Oct 2022 | 408,139 | (2,817 | ) | |||||||||
Soybean Futures Contracts | 9 | Nov 2022 | 614,700 | (4,170 | ) | |||||||||
WTI Crude Futures Contracts | 2 | Oct 2022 | 159,400 | (4,905 | ) | |||||||||
Gasoline RBOB Futures Contracts | 2 | Oct 2022 | 199,248 | (7,540 | ) | |||||||||
Sugar #11 Futures Contracts | 90 | Jun 2023 | 1,664,208 | (14,349 | ) | |||||||||
Brent Crude Futures Contracts | 3 | Oct 2022 | 256,050 | (23,432 | ) | |||||||||
Sugar #11 Futures Contracts | 100 | Apr 2023 | 1,893,920 | (31,184 | ) | |||||||||
Natural Gas Futures Contracts | 31 | Dec 2022 | 2,249,980 | (34,799 | ) | |||||||||
Lean Hogs Futures Contracts | 13 | Dec 2022 | 397,280 | (36,293 | ) | |||||||||
LME Nickel Futures Contracts | 2 | Nov 2022 | 252,660 | (38,679 | ) | |||||||||
Coffee 'C' Futures Contracts | 8 | Dec 2022 | 662,850 | (41,493 | ) | |||||||||
Natural Gas Futures Contracts | 7 | Oct 2022 | 475,650 | (77,438 | ) | |||||||||
Low Sulphur Gas Oil Futures Contracts | 29 | Dec 2022 | 2,612,175 | (98,092 | ) | |||||||||
Live Cattle Futures Contracts | 109 | Dec 2022 | 6,409,200 | (159,141 | ) | |||||||||
$ | 23,051,024 | $ | (444,244 | ) | ||||||||||
Currency Futures Contracts Sold Short† | ||||||||||||||
Swiss Franc Futures Contracts | 164 | Dec 2022 | $ | 20,933,575 | $ | 744,107 | ||||||||
Australian Dollar Futures Contracts | 61 | Dec 2022 | 3,906,440 | 256,358 | ||||||||||
Euro FX Futures Contracts | 11 | Dec 2022 | 1,354,994 | 5,769 | ||||||||||
$ | 26,195,009 | $ | 1,006,234 | |||||||||||
Commodity Futures Contracts Sold Short† | ||||||||||||||
Live Cattle Futures Contracts | 142 | Apr 2023 | $ | 8,768,500 | $ | 230,128 | ||||||||
Gasoline RBOB Futures Contracts | 30 | Dec 2022 | 2,815,974 | 101,354 | ||||||||||
Low Sulphur Gas Oil Futures Contracts | 23 | Nov 2022 | 2,164,875 | 87,977 | ||||||||||
Gold 100 oz. Futures Contracts | 10 | Dec 2022 | 1,669,800 | 80,480 | ||||||||||
Silver Futures Contracts | 7 | Dec 2022 | 665,350 | 57,199 | ||||||||||
Sugar #11 Futures Contracts | 155 | Feb 2023 | 3,064,040 | 52,663 | ||||||||||
Cocoa Futures Contracts | 54 | Dec 2022 | 1,264,680 | 51,670 | ||||||||||
Copper Futures Contracts | 7 | Dec 2022 | 594,650 | 41,142 | ||||||||||
Natural Gas Futures Contracts | 31 | Nov 2022 | 2,195,730 | 36,191 | ||||||||||
LME Primary Aluminum Futures Contracts | 15 | Nov 2022 | 807,468 | 33,786 | ||||||||||
Cattle Feeder Futures Contracts | 45 | Jan 2023 | 3,948,187 | 16,091 | ||||||||||
LME Zinc Futures Contracts | 5 | Nov 2022 | 375,125 | 9,948 | ||||||||||
Cotton #2 Futures Contracts | 1 | Dec 2022 | 42,670 | 5,960 | ||||||||||
Corn Futures Contracts | 2 | Dec 2022 | 67,800 | (544 | ) | |||||||||
LME Lead Futures Contracts | 19 | Nov 2022 | 908,604 | (6,592 | ) |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2022 |
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation (Depreciation)** | ||||||||||
Commodity Futures Contracts Sold Short† (continued) | ||||||||||||||
Wheat Futures Contracts | 10 | Dec 2022 | $ | 461,625 | $ | (53,480 | ) | |||||||
$ | 29,815,078 | $ | 743,973 | |||||||||||
Interest Rate Futures Contracts Sold Short† | ||||||||||||||
Canadian Government 10 Year Bond Futures Contracts | 180 | Dec 2022 | $ | 16,064,631 | $ | 200,550 | ||||||||
U.S. Treasury 10 Year Note Futures Contracts | 71 | Dec 2022 | 7,956,437 | 152,757 | ||||||||||
U.S. Treasury Ultra Long Bond Futures Contracts | 6 | Dec 2022 | 819,938 | 1,834 | ||||||||||
Euro - 30 year Bond Futures Contracts | 4 | Dec 2022 | 574,027 | 825 | ||||||||||
U.S. Treasury Long Bond Futures Contracts | 7 | Dec 2022 | 885,719 | (1,137 | ) | |||||||||
Australian Government 10 Year Bond Futures Contracts | 7 | Dec 2022 | 524,608 | (1,147 | ) | |||||||||
$ | 26,825,360 | $ | 353,682 | |||||||||||
Equity Futures Contracts Sold Short† | ||||||||||||||
DAX Index Futures Contracts | 2 | Dec 2022 | $ | 587,670 | $ | 70,877 | ||||||||
SPI 200 Index Futures Contracts | 12 | Dec 2022 | 1,244,867 | 69,518 | ||||||||||
IBEX 35 Index Futures Contracts†† | 10 | Oct 2022 | 712,631 | 65,481 | ||||||||||
Euro STOXX 50 Index Futures Contracts | 16 | Dec 2022 | 513,418 | 58,043 | ||||||||||
CAC 40 10 Euro Index Futures Contracts | 11 | Oct 2022 | 613,501 | 41,802 | ||||||||||
OMX Stockholm 30 Index Futures Contracts†† | 33 | Oct 2022 | 531,875 | 40,251 | ||||||||||
FTSE MIB Index Futures Contracts | 5 | Dec 2022 | 497,525 | 39,177 | ||||||||||
S&P/TSX 60 IX Index Futures Contracts | 5 | Dec 2022 | 808,178 | 33,301 | ||||||||||
Amsterdam Index Futures Contracts | 3 | Oct 2022 | 372,361 | 22,827 | ||||||||||
FTSE 100 Index Futures Contracts | 1 | Dec 2022 | 76,396 | 4,452 | ||||||||||
CBOE Volatility Index Futures Contracts | 21 | Mar 2023 | 633,150 | (1,360 | ) | |||||||||
CBOE Volatility Index Futures Contracts | 60 | Feb 2023 | 1,815,600 | (6,855 | ) | |||||||||
CBOE Volatility Index Futures Contracts | 202 | Jan 2023 | 6,195,340 | (131,936 | ) | |||||||||
$ | 14,602,512 | $ | 305,578 |
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†† | ||||||||||||||||||||
Goldman Sachs International | GS Long/Short Equity Custom Basket | Pay | 3.53% (Federal Funds Rate + 0.45%) | At Maturity | 05/06/24 | $ | 12,606,036 | $ | (1,624,658 | ) | ||||||||||
Morgan Stanley Capital Services LLC | MS Long/Short Equity Custom Basket | Pay | 3.48% (Federal Funds Rate + 0.40%) | At Maturity | 08/31/23 | 12,606,076 | (1,632,192 | ) | ||||||||||||
Morgan Stanley Capital Services LLC | MS Equity Market Neutral Custom Basket | Pay | 3.48% (Federal Funds Rate + 0.40%) | At Maturity | 08/31/23 | 13,230,838 | (1,923,679 | ) | ||||||||||||
Goldman Sachs International | GS Equity Market Neutral Custom Basket | Pay | 3.53% (Federal Funds Rate + 0.45%) | At Maturity | 05/06/24 | 13,231,137 | (1,942,312 | ) | ||||||||||||
$ | 51,674,087 | $ | (7,122,841 | ) |
OTC Custom Basket Swap Agreements Sold Short†† | ||||||||||||||||||||
Morgan Stanley Capital Services LLC | MS Equity Market Neutral Custom Basket | Receive | 2.78% (Federal Funds Rate - 0.30%) | At Maturity | 08/31/23 | $ | 13,082,029 | $ | 3,293,550 | |||||||||||
Goldman Sachs International | GS Equity Market Neutral Custom Basket | Receive | 2.86% (Federal Funds Rate - 0.22%) | At Maturity | 05/06/24 | 13,013,296 | 3,261,582 | |||||||||||||
Morgan Stanley Capital Services LLC | MS Long/Short Equity Custom Basket | Receive | 2.78% (Federal Funds Rate - 0.30%) | At Maturity | 08/31/23 | 7,908,534 | 1,498,244 | |||||||||||||
Goldman Sachs International | GS Long/Short Equity Custom Basket | Receive | 2.88% (Federal Funds Rate - 0.20%) | At Maturity | 05/06/24 | 7,754,692 | 1,480,731 | |||||||||||||
$ | 41,758,551 | $ | 9,534,107 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2022 |
GS LONG/SHORT EQUITY LONG CUSTOM BASKET | ||||||||||||
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
Consumer, Non-cyclical | ||||||||||||
Regeneron Pharmaceuticals, Inc. | 126 | 0.73 | % | $ | 15,655 | |||||||
Vertex Pharmaceuticals, Inc. | 188 | 0.46 | % | 12,550 | ||||||||
Bristol-Myers Squibb Co. | 2,083 | 1.17 | % | 9,311 | ||||||||
Amphastar Pharmaceuticals, Inc. | 1,392 | 0.31 | % | 7,946 | ||||||||
AbbVie, Inc. | 909 | 0.97 | % | 5,162 | ||||||||
Merck & Company, Inc. | 752 | 0.51 | % | 4,312 | ||||||||
Eli Lilly & Co. | 178 | 0.46 | % | 2,270 | ||||||||
Archer-Daniels-Midland Co. | 1,347 | 0.86 | % | 1,991 | ||||||||
Globus Medical, Inc. — Class A | 487 | 0.23 | % | (319 | ) | |||||||
Prestige Consumer Healthcare, Inc. | 2,108 | 0.83 | % | (587 | ) | |||||||
Varex Imaging Corp. | 5,390 | 0.90 | % | (1,541 | ) | |||||||
Medtronic plc | 470 | 0.30 | % | (2,562 | ) | |||||||
Hain Celestial Group, Inc. | 1,551 | 0.21 | % | (2,784 | ) | |||||||
Quest Diagnostics, Inc. | 228 | 0.22 | % | (3,092 | ) | |||||||
Universal Corp. | 988 | 0.36 | % | (3,269 | ) | |||||||
Innoviva, Inc. | 4,245 | 0.39 | % | (5,155 | ) | |||||||
CVS Health Corp. | 1,007 | 0.76 | % | (5,245 | ) | |||||||
Global Payments, Inc. | 294 | 0.25 | % | (6,155 | ) | |||||||
Conagra Brands, Inc. | 4,203 | 1.09 | % | (6,555 | ) | |||||||
Viatris, Inc. | 3,852 | 0.26 | % | (6,727 | ) | |||||||
Altria Group, Inc. | 2,378 | 0.76 | % | (6,842 | ) | |||||||
SpartanNash Co. | 2,199 | 0.51 | % | (7,511 | ) | |||||||
Reynolds Consumer Products, Inc. | 4,055 | 0.84 | % | (8,267 | ) | |||||||
United Therapeutics Corp. | 459 | 0.76 | % | (8,302 | ) | |||||||
Quanex Building Products Corp. | 1,871 | 0.27 | % | (8,512 | ) | |||||||
Ingredion, Inc. | 955 | 0.61 | % | (9,040 | ) | |||||||
Johnson & Johnson | 882 | 1.14 | % | (9,056 | ) | |||||||
John B Sanfilippo & Son, Inc. | 1,811 | 1.09 | % | (9,581 | ) | |||||||
Ironwood Pharmaceuticals, Inc. — Class A | 13,565 | 1.11 | % | (9,694 | ) | |||||||
Post Holdings, Inc. | 1,441 | 0.94 | % | (10,131 | ) | |||||||
Perdoceo Education Corp. | 11,787 | 0.96 | % | (10,723 | ) | |||||||
EVERTEC, Inc. | 949 | 0.24 | % | (11,330 | ) | |||||||
Hologic, Inc. | 2,145 | 1.10 | % | (12,470 | ) | |||||||
Amgen, Inc. | 592 | 1.06 | % | (13,081 | ) | |||||||
Avery Dennison Corp. | 760 | 0.98 | % | (15,842 | ) | |||||||
Colgate-Palmolive Co. | 1,844 | 1.03 | % | (19,336 | ) | |||||||
Philip Morris International, Inc. | 1,221 | 0.80 | % | (19,714 | ) | |||||||
Vanda Pharmaceuticals, Inc. | 5,567 | 0.44 | % | (19,718 | ) | |||||||
Mondelez International, Inc. — Class A | 2,384 | 1.04 | % | (22,678 | ) | |||||||
Sotera Health Co. | 2,612 | 0.14 | % | (24,083 | ) | |||||||
Integra LifeSciences Holdings Corp. | 2,008 | 0.67 | % | (25,249 | ) | |||||||
Pilgrim's Pride Corp. | 4,599 | 0.84 | % | (26,586 | ) | |||||||
Eagle Pharmaceuticals, Inc. | 2,010 | 0.42 | % | (31,197 | ) | |||||||
Tyson Foods, Inc. — Class A | 1,710 | 0.89 | % | (34,960 | ) | |||||||
USANA Health Sciences, Inc. | 1,958 | 0.87 | % | (43,468 | ) | |||||||
Total Consumer, Non-cyclical | (402,165 | ) | ||||||||||
Technology | ||||||||||||
Rambus, Inc. | 2,821 | 0.57 | % | 12,465 | ||||||||
CSG Systems International, Inc. | 583 | 0.24 | % | 4,520 | ||||||||
NetApp, Inc. | 662 | 0.32 | % | 3,890 | ||||||||
IPG Photonics Corp. | 590 | 0.39 | % | (2,634 | ) | |||||||
Amkor Technology, Inc. | 1,790 | 0.24 | % | (2,799 | ) | |||||||
Synaptics, Inc. | 260 | 0.20 | % | (3,403 | ) | |||||||
Hewlett Packard Enterprise Co. | 2,861 | 0.27 | % | (3,557 | ) | |||||||
Lumentum Holdings, Inc. | 381 | 0.21 | % | (3,930 | ) | |||||||
Fiserv, Inc. | 340 | 0.25 | % | (3,988 | ) | |||||||
Diodes, Inc. | 1,716 | 0.88 | % | (6,206 | ) | |||||||
ACI Worldwide, Inc. | 1,942 | 0.32 | % | (10,696 | ) | |||||||
Cirrus Logic, Inc. | 1,283 | 0.70 | % | (17,043 | ) | |||||||
Texas Instruments, Inc. | 698 | 0.86 | % | (19,186 | ) | |||||||
SS&C Technologies Holdings, Inc. | 2,620 | 0.99 | % | (30,942 | ) | |||||||
Total Technology | (83,509 | ) | ||||||||||
Basic Materials | ||||||||||||
FMC Corp. | 307 | 0.26 | % | (651 | ) | |||||||
NewMarket Corp. | 221 | 0.53 | % | (1,387 | ) | |||||||
Ingevity Corp. | 628 | 0.30 | % | (2,339 | ) | |||||||
Westlake Corp. | 332 | 0.23 | % | (3,153 | ) | |||||||
Nucor Corp. | 448 | 0.38 | % | (4,599 | ) | |||||||
American Vanguard Corp. | 1,954 | 0.29 | % | (4,749 | ) | |||||||
Steel Dynamics, Inc. | 1,079 | 0.61 | % | (7,115 | ) | |||||||
Balchem Corp. | 768 | 0.74 | % | (8,467 | ) | |||||||
Mercer International, Inc. | 2,309 | 0.23 | % | (8,741 | ) | |||||||
Huntsman Corp. | 1,521 | 0.30 | % | (12,636 | ) | |||||||
AdvanSix, Inc. | 1,220 | 0.31 | % | (13,136 | ) | |||||||
LyondellBasell Industries N.V. — Class A | 831 | 0.50 | % | (17,301 | ) | |||||||
Eastman Chemical Co. | 1,388 | 0.78 | % | (30,778 | ) | |||||||
Minerals Technologies, Inc. | 2,219 | 0.87 | % | (36,065 | ) | |||||||
Total Basic Materials | (151,117 | ) | ||||||||||
Industrial | ||||||||||||
Vishay Intertechnology, Inc. | 5,532 | 0.78 | % | 2,696 | ||||||||
EMCOR Group, Inc. | 562 | 0.51 | % | (140 | ) | |||||||
Dorian LPG Ltd. | 2,700 | 0.29 | % | (145 | ) | |||||||
Sanmina Corp. | 839 | 0.31 | % | (934 | ) | |||||||
EnPro Industries, Inc. | 747 | 0.50 | % | (1,983 | ) | |||||||
Agilent Technologies, Inc. | 222 | 0.21 | % | (2,120 | ) | |||||||
Lennox International, Inc. | 114 | 0.20 | % | (2,369 | ) | |||||||
TTM Technologies, Inc. | 2,523 | 0.26 | % | (4,546 | ) | |||||||
Arrow Electronics, Inc. | 553 | 0.40 | % | (4,794 | ) | |||||||
Louisiana-Pacific Corp. | 681 | 0.28 | % | (5,111 | ) | |||||||
Timken Co. | 1,236 | 0.58 | % | (6,157 | ) | |||||||
Packaging Corporation of America | 306 | 0.27 | % | (6,991 | ) | |||||||
Snap-on, Inc. | 569 | 0.91 | % | (7,289 | ) | |||||||
AptarGroup, Inc. | 941 | 0.71 | % | (9,437 | ) | |||||||
Insteel Industries, Inc. | 1,112 | 0.23 | % | (10,180 | ) | |||||||
Energizer Holdings, Inc. | 2,722 | 0.54 | % | (11,854 | ) |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2022 |
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
Albany International Corp. — Class A | 1,142 | 0.71 | % | $ | (13,827 | ) | ||||||
OSI Systems, Inc. | 1,666 | 0.95 | % | (14,088 | ) | |||||||
Sonoco Products Co. | 1,969 | 0.89 | % | (14,692 | ) | |||||||
Standex International Corp. | 1,498 | 0.97 | % | (15,449 | ) | |||||||
Knowles Corp. | 3,534 | 0.34 | % | (17,756 | ) | |||||||
Eagle Materials, Inc. | 1,075 | 0.91 | % | (18,713 | ) | |||||||
Barnes Group, Inc. | 4,592 | 1.05 | % | (21,890 | ) | |||||||
Westrock Co. | 3,210 | 0.79 | % | (29,352 | ) | |||||||
Sturm Ruger & Company, Inc. | 2,016 | 0.81 | % | (37,233 | ) | |||||||
Total Industrial | (254,354 | ) | ||||||||||
Consumer, Cyclical | ||||||||||||
Papa John's International, Inc. | 357 | 0.20 | % | (4,075 | ) | |||||||
GMS, Inc. | 982 | 0.31 | % | (4,811 | ) | |||||||
Allison Transmission Holdings, Inc. | 2,181 | 0.58 | % | (6,952 | ) | |||||||
McDonald's Corp. | 254 | 0.46 | % | (7,104 | ) | |||||||
Home Depot, Inc. | 412 | 0.90 | % | (7,683 | ) | |||||||
Boyd Gaming Corp. | 1,316 | 0.50 | % | (9,927 | ) | |||||||
Methode Electronics, Inc. | 2,119 | 0.62 | % | (10,093 | ) | |||||||
Haverty Furniture Companies, Inc. | 2,945 | 0.58 | % | (11,359 | ) | |||||||
Brunswick Corp. | 1,448 | 0.75 | % | (17,919 | ) | |||||||
G-III Apparel Group Ltd. | 3,798 | 0.45 | % | (21,067 | ) | |||||||
Total Consumer, Cyclical | (100,990 | ) | ||||||||||
Communications | ||||||||||||
Viavi Solutions, Inc. | 6,971 | 0.72 | % | (212 | ) | |||||||
T-Mobile US, Inc. | 804 | 0.86 | % | (804 | ) | |||||||
Alphabet, Inc. — Class C | 562 | 0.43 | % | (5,261 | ) | |||||||
VeriSign, Inc. | 440 | 0.61 | % | (5,545 | ) | |||||||
Cisco Systems, Inc. | 1,229 | 0.39 | % | (6,088 | ) | |||||||
Meta Platforms, Inc. — Class A | 698 | 0.75 | % | (14,218 | ) | |||||||
Gogo, Inc. | 4,315 | 0.41 | % | (25,740 | ) | |||||||
Verizon Communications, Inc. | 3,012 | 0.91 | % | (38,396 | ) | |||||||
InterDigital, Inc. | 2,170 | 0.70 | % | (52,028 | ) | |||||||
Total Communications | (148,292 | ) | ||||||||||
Energy | ||||||||||||
HF Sinclair Corp. | 1,799 | 0.77 | % | 2,144 | ||||||||
Marathon Petroleum Corp. | 1,084 | 0.85 | % | 1,799 | ||||||||
Equitrans Midstream Corp. | 6,614 | 0.39 | % | (423 | ) | |||||||
REX American Resources Corp. | 1,442 | 0.32 | % | (1,478 | ) | |||||||
CVR Energy, Inc. | 1,116 | 0.26 | % | (3,156 | ) | |||||||
Valero Energy Corp. | 787 | 0.67 | % | (4,080 | ) | |||||||
ONEOK, Inc. | 586 | 0.24 | % | (5,149 | ) | |||||||
Phillips 66 | 1,387 | 0.89 | % | (7,099 | ) | |||||||
Williams Companies, Inc. | 1,638 | 0.37 | % | (7,380 | ) | |||||||
Targa Resources Corp. | 999 | 0.48 | % | (7,866 | ) | |||||||
DT Midstream, Inc. | 2,158 | 0.89 | % | (8,651 | ) | |||||||
Kinder Morgan, Inc. | 7,064 | 0.93 | % | (9,394 | ) | |||||||
Exxon Mobil Corp. | 904 | 0.63 | % | (10,657 | ) | |||||||
Antero Midstream Corp. | 11,846 | 0.86 | % | (12,409 | ) | |||||||
Chevron Corp. | 809 | 0.92 | % | (14,432 | ) | |||||||
SunCoke Energy, Inc. | 6,637 | 0.31 | % | (16,551 | ) | |||||||
Total Energy | (104,782 | ) | ||||||||||
Financial | ||||||||||||
S&T Bancorp, Inc. | 4,912 | 1.14 | % | 4,502 | ||||||||
NMI Holdings, Inc. — Class A | 1,815 | 0.29 | % | 3,137 | ||||||||
Everest Re Group Ltd. | 198 | 0.41 | % | 1,508 | ||||||||
Associated Banc-Corp. | 7,320 | 1.17 | % | 810 | ||||||||
Getty Realty Corp. | 2,251 | 0.48 | % | (35 | ) | |||||||
Bank of Hawaii Corp. | 558 | 0.34 | % | (916 | ) | |||||||
PennyMac Financial Services, Inc. | 774 | 0.26 | % | (3,431 | ) | |||||||
Preferred Bank/Los Angeles CA | 1,770 | 0.92 | % | (6,305 | ) | |||||||
Marcus & Millichap, Inc. | 1,298 | 0.34 | % | (6,371 | ) | |||||||
Hilltop Holdings, Inc. | 2,044 | 0.40 | % | (7,520 | ) | |||||||
Renasant Corp. | 4,470 | 1.11 | % | (9,754 | ) | |||||||
National Bank Holdings Corp. — Class A | 2,821 | 0.83 | % | (10,801 | ) | |||||||
Pathward Financial, Inc. | 919 | 0.24 | % | (10,990 | ) | |||||||
Central Pacific Financial Corp. | 2,965 | 0.49 | % | (15,002 | ) | |||||||
BankUnited, Inc. | 4,062 | 1.10 | % | (16,317 | ) | |||||||
Stewart Information Services Corp. | 1,311 | 0.45 | % | (16,669 | ) | |||||||
Highwoods Properties, Inc. | 1,782 | 0.38 | % | (18,212 | ) | |||||||
Eagle Bancorp, Inc. | 3,078 | 1.09 | % | (23,006 | ) | |||||||
Global Net Lease, Inc. | 10,327 | 0.87 | % | (37,481 | ) | |||||||
Office Properties Income Trust | 5,745 | 0.64 | % | (37,693 | ) | |||||||
Total Financial | (210,540 | ) | ||||||||||
Utilities | ||||||||||||
Otter Tail Corp. | 1,009 | 0.49 | % | (2,455 | ) | |||||||
Chesapeake Utilities Corp. | 798 | 0.73 | % | (6,955 | ) | |||||||
Avista Corp. | 2,848 | 0.84 | % | (10,600 | ) | |||||||
PPL Corp. | 3,934 | 0.79 | % | (14,855 | ) | |||||||
MGE Energy, Inc. | 1,483 | 0.77 | % | (16,234 | ) | |||||||
Duke Energy Corp. | 1,061 | 0.78 | % | (17,594 | ) | |||||||
NorthWestern Corp. | 1,646 | 0.64 | % | (17,865 | ) | |||||||
WEC Energy Group, Inc. | 1,098 | 0.78 | % | (17,950 | ) | |||||||
Portland General Electric Co. | 2,402 | 0.83 | % | (18,360 | ) | |||||||
NiSource, Inc. | 3,850 | 0.77 | % | (19,224 | ) | |||||||
UGI Corp. | 2,993 | 0.77 | % | (26,817 | ) | |||||||
Total Utilities | (168,909 | ) | ||||||||||
Total GS Long/Short Equity Long Custom Basket | $ | (1,624,658 | ) |
GS LONG/SHORT EQUITY SHORT CUSTOM BASKET | ||||||||||||
Consumer, Non-cyclical | ||||||||||||
TransUnion | 1,928 | (1.47)% | 55,450 | |||||||||
Equifax, Inc. | 477 | (1.05)% | 30,007 | |||||||||
ASGN, Inc. | 1,066 | (1.24)% | 25,947 | |||||||||
Verisk Analytics, Inc. — Class A | 664 | (1.46)% | 18,526 | |||||||||
Viad Corp. | 2,108 | (0.86)% | 16,675 | |||||||||
ABM Industries, Inc. | 2,524 | (1.24)% | 14,402 | |||||||||
Patterson Companies, Inc. | 2,245 | (0.70)% | 13,539 | |||||||||
CoStar Group, Inc. | 858 | (0.77)% | 12,803 | |||||||||
Cintas Corp. | 298 | (1.49)% | 10,999 | |||||||||
FTI Consulting, Inc. | 185 | (0.40)% | 3,087 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2022 |
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
Quanta Services, Inc. | 506 | (0.83)% | $ | 3,030 | ||||||||
Driven Brands Holdings, Inc. | 2,883 | (1.04)% | 676 | |||||||||
Robert Half International, Inc. | 453 | (0.45)% | 345 | |||||||||
Total Consumer, Non-cyclical | 205,486 | |||||||||||
Financial | ||||||||||||
Howard Hughes Corp. | 1,479 | (1.06)% | 48,503 | |||||||||
Welltower, Inc. | 1,827 | (1.52)% | 43,551 | |||||||||
Signature Bank | 528 | (1.03)% | 41,534 | |||||||||
Outfront Media, Inc. | 3,691 | (0.72)% | 36,604 | |||||||||
Equinix, Inc. | 198 | (1.45)% | 34,222 | |||||||||
Sun Communities, Inc. | 670 | (1.17)% | 30,424 | |||||||||
Crown Castle, Inc. | 733 | (1.37)% | 26,909 | |||||||||
Rexford Industrial Realty, Inc. | 2,005 | (1.34)% | 26,607 | |||||||||
Kite Realty Group Trust | 6,426 | (1.43)% | 26,502 | |||||||||
Western Alliance Bancorporation | 1,160 | (0.98)% | 26,468 | |||||||||
State Street Corp. | 989 | (0.78)% | 26,445 | |||||||||
Americold Realty Trust, Inc. | 3,092 | (0.98)% | 25,609 | |||||||||
Invitation Homes, Inc. | 3,773 | (1.64)% | 24,736 | |||||||||
KKR & Company, Inc. — Class A | 1,868 | (1.04)% | 21,544 | |||||||||
Digital Realty Trust, Inc. | 813 | (1.04)% | 20,804 | |||||||||
Realty Income Corp. | 1,396 | (1.05)% | 19,719 | |||||||||
Apollo Global Management, Inc. | 1,787 | (1.07)% | 19,590 | |||||||||
Ares Management Corp. — Class A | 1,192 | (0.95)% | 18,127 | |||||||||
BlackRock, Inc. — Class A | 141 | (1.00)% | 17,209 | |||||||||
Ryman Hospitality Properties, Inc. | 1,218 | (1.16)% | 17,152 | |||||||||
Iron Mountain, Inc. | 2,503 | (1.42)% | 16,900 | |||||||||
Invesco Ltd. | 5,772 | (1.02)% | 16,074 | |||||||||
Bank of America Corp. | 2,400 | (0.93)% | 15,842 | |||||||||
SBA Communications Corp. | 297 | (1.09)% | 14,286 | |||||||||
American Tower Corp. — Class A | 360 | (1.00)% | 14,024 | |||||||||
Kennedy-Wilson Holdings, Inc. | 1,818 | (0.36)% | 13,778 | |||||||||
Equitable Holdings, Inc. | 4,259 | (1.45)% | 12,823 | |||||||||
Extra Space Storage, Inc. | 375 | (0.84)% | 11,812 | |||||||||
First Republic Bank | 376 | (0.63)% | 11,097 | |||||||||
SLM Corp. | 1,978 | (0.36)% | 10,657 | |||||||||
Ventas, Inc. | 1,270 | (0.66)% | 10,530 | |||||||||
Northern Trust Corp. | 760 | (0.84)% | 10,518 | |||||||||
Xenia Hotels & Resorts, Inc. | 2,221 | (0.39)% | 9,649 | |||||||||
Independence Realty Trust, Inc. | 2,368 | (0.51)% | 9,097 | |||||||||
Public Storage | 183 | (0.69)% | 8,839 | |||||||||
Marsh & McLennan Companies, Inc. | 544 | (1.05)% | 8,297 | |||||||||
Alexandria Real Estate Equities, Inc. | 591 | (1.07)% | 7,969 | |||||||||
Wells Fargo & Co. | 1,836 | (0.95)% | 7,414 | |||||||||
CBRE Group, Inc. — Class A | 626 | (0.54)% | 6,524 | |||||||||
Life Storage, Inc. | 327 | (0.47)% | 6,505 | |||||||||
Morgan Stanley | 1,318 | (1.34)% | 6,490 | |||||||||
Intercontinental Exchange, Inc. | 527 | (0.61)% | 5,933 | |||||||||
Progressive Corp. | 538 | (0.81)% | 5,174 | |||||||||
Popular, Inc. | 950 | (0.88)% | 5,126 | |||||||||
Comerica, Inc. | 1,195 | (1.10)% | 4,508 | |||||||||
Assurant, Inc. | 238 | (0.45)% | 3,783 | |||||||||
Mid-America Apartment Communities, Inc. | 178 | (0.36)% | 2,545 | |||||||||
Allstate Corp. | 316 | (0.51)% | (76 | ) | ||||||||
Cullen/Frost Bankers, Inc. | 355 | (0.61)% | (230 | ) | ||||||||
Charles Schwab Corp. | 880 | (0.82)% | (403 | ) | ||||||||
Arthur J Gallagher & Co. | 242 | (0.53)% | (1,515 | ) | ||||||||
LPL Financial Holdings, Inc. | 327 | (0.92)% | (10,885 | ) | ||||||||
Total Financial | 795,344 | |||||||||||
Consumer, Cyclical | ||||||||||||
MillerKnoll, Inc. | 3,937 | (0.79)% | 74,878 | |||||||||
American Airlines Group, Inc. | 5,614 | (0.87)% | 23,971 | |||||||||
Healthcare Services Group, Inc. | 4,390 | (0.68)% | 19,822 | |||||||||
CarMax, Inc. | 463 | (0.39)% | 15,317 | |||||||||
Copart, Inc. | 1,234 | (1.69)% | 14,087 | |||||||||
Genuine Parts Co. | 890 | (1.71)% | 10,448 | |||||||||
Hilton Worldwide Holdings, Inc. | 407 | (0.63)% | 9,843 | |||||||||
Dana, Inc. | 2,769 | (0.41)% | 9,046 | |||||||||
Live Nation Entertainment, Inc. | 528 | (0.52)% | 7,488 | |||||||||
Delta Air Lines, Inc. | 2,017 | (0.73)% | 7,141 | |||||||||
Southwest Airlines Co. | 850 | (0.34)% | 6,862 | |||||||||
Lear Corp. | 320 | (0.49)% | 5,610 | |||||||||
Tesla, Inc. | 94 | (0.32)% | 3,902 | |||||||||
Floor & Decor Holdings, Inc. — Class A | 566 | (0.51)% | 3,220 | |||||||||
WESCO International, Inc. | 457 | (0.70)% | 1,657 | |||||||||
Royal Caribbean Cruises Ltd. | 825 | (0.40)% | (1,616 | ) | ||||||||
Las Vegas Sands Corp. | 1,488 | (0.72)% | (2,112 | ) | ||||||||
Total Consumer, Cyclical | 209,564 | |||||||||||
Energy | ||||||||||||
Patterson-UTI Energy, Inc. | 4,255 | (0.64)% | 23,342 | |||||||||
Helmerich & Payne, Inc. | 1,722 | (0.82)% | 16,973 | |||||||||
Baker Hughes Co. | 3,517 | (0.95)% | 13,792 | |||||||||
Hess Corp. | 785 | (1.10)% | 7,062 | |||||||||
NexTier Oilfield Solutions, Inc. | 5,153 | (0.49)% | 6,705 | |||||||||
ChampionX Corp. | 1,968 | (0.50)% | 3,453 | |||||||||
Liberty Energy, Inc. — Class A | 3,371 | (0.55)% | 3,369 | |||||||||
Continental Resources, Inc. | 581 | (0.50)% | 797 | |||||||||
Valaris Ltd. | 1,079 | (0.68)% | 709 | |||||||||
Schlumberger N.V. | 2,592 | (1.20)% | 437 | |||||||||
Equities Corp. | 981 | (0.52)% | (4,991 | ) | ||||||||
EOG Resources, Inc. | 982 | (1.41)% | (8,144 | ) | ||||||||
Total Energy | 63,504 | |||||||||||
Industrial | ||||||||||||
Stanley Black & Decker, Inc. | 816 | (0.79)% | 28,509 | |||||||||
Stericycle, Inc. | 723 | (0.39)% | 23,176 | |||||||||
Boeing Co. | 594 | (0.93)% | 22,239 | |||||||||
Jacobs Solutions, Inc. | 960 | (1.34)% | 19,350 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2022 |
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
Old Dominion Freight Line, Inc. | 302 | (0.97)% | $ | 12,658 | ||||||||
CSX Corp. | 2,232 | (0.77)% | 12,128 | |||||||||
Waste Management, Inc. | 729 | (1.51)% | 9,326 | |||||||||
Union Pacific Corp. | 249 | (0.63)% | 8,356 | |||||||||
MSA Safety, Inc. | 523 | (0.74)% | 8,333 | |||||||||
Eaton Corporation plc | 1,037 | (1.78)% | 6,934 | |||||||||
CH Robinson Worldwide, Inc. | 311 | (0.39)% | 3,947 | |||||||||
Exponent, Inc. | 927 | (1.05)% | 3,313 | |||||||||
TransDigm Group, Inc. | 54 | (0.37)% | 751 | |||||||||
Casella Waste Systems, Inc. — Class A | 1,244 | (1.23)% | (44 | ) | ||||||||
Total Industrial | 158,976 | |||||||||||
Utilities | ||||||||||||
Dominion Energy, Inc. | 1,739 | (1.55)% | 24,499 | |||||||||
Public Service Enterprise Group, Inc. | 822 | (0.60)% | 7,633 | |||||||||
Total Utilities | 32,132 | |||||||||||
Technology | ||||||||||||
MSCI, Inc. — Class A | 116 | (0.63)% | 5,471 | |||||||||
Veeva Systems, Inc. — Class A | 261 | (0.55)% | 2,664 | |||||||||
Total Technology | 8,135 | |||||||||||
Communications | ||||||||||||
Paramount Global — Class B | 2,857 | (0.70)% | 11,414 | |||||||||
Uber Technologies, Inc. | 2,418 | (0.83)% | (3,824 | ) | ||||||||
Total Communications | 7,590 | |||||||||||
Total GS Long/Short Equity Short Custom Basket | $ | 1,480,731 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2022 |
MS LONG/SHORT EQUITY LONG CUSTOM BASKET
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
Consumer, Non-cyclical | ||||||||||||
Regeneron Pharmaceuticals, Inc. | 126 | 0.73 | % | $ | 15,589 | |||||||
Vertex Pharmaceuticals, Inc. | 188 | 0.46 | % | 12,637 | ||||||||
Bristol-Myers Squibb Co. | 2,083 | 1.17 | % | 9,287 | ||||||||
Amphastar Pharmaceuticals, Inc. | 1,392 | 0.31 | % | 7,939 | ||||||||
AbbVie, Inc. | 909 | 0.97 | % | 5,125 | ||||||||
Merck & Company, Inc. | 752 | 0.51 | % | 4,304 | ||||||||
Eli Lilly & Co. | 178 | 0.46 | % | 2,253 | ||||||||
Archer-Daniels-Midland Co. | 1,347 | 0.86 | % | 1,825 | ||||||||
Prestige Consumer Healthcare, Inc. | 2,108 | 0.83 | % | (463 | ) | |||||||
Globus Medical, Inc. — Class A | 487 | 0.23 | % | (492 | ) | |||||||
Varex Imaging Corp. | 5,390 | 0.90 | % | (2,013 | ) | |||||||
Medtronic plc | 470 | 0.30 | % | (2,583 | ) | |||||||
Hain Celestial Group, Inc. | 1,551 | 0.21 | % | (2,882 | ) | |||||||
Quest Diagnostics, Inc. | 228 | 0.22 | % | (3,096 | ) | |||||||
Universal Corp. | 988 | 0.36 | % | (3,251 | ) | |||||||
Innoviva, Inc. | 4,245 | 0.39 | % | (5,130 | ) | |||||||
CVS Health Corp. | 1,007 | 0.76 | % | (5,231 | ) | |||||||
Global Payments, Inc. | 294 | 0.25 | % | (6,159 | ) | |||||||
Conagra Brands, Inc. | 4,203 | 1.09 | % | (6,644 | ) | |||||||
Viatris, Inc. | 3,852 | 0.26 | % | (6,645 | ) | |||||||
Altria Group, Inc. | 2,378 | 0.76 | % | (6,812 | ) | |||||||
SpartanNash Co. | 2,199 | 0.51 | % | (7,612 | ) | |||||||
United Therapeutics Corp. | 459 | 0.76 | % | (8,218 | ) | |||||||
Reynolds Consumer Products, Inc. | 4,055 | 0.84 | % | (8,295 | ) | |||||||
Quanex Building Products Corp. | 1,871 | 0.27 | % | (8,483 | ) | |||||||
Johnson & Johnson | 882 | 1.14 | % | (9,020 | ) | |||||||
Ingredion, Inc. | 955 | 0.61 | % | (9,120 | ) | |||||||
Ironwood Pharmaceuticals, Inc. — Class A | 13,565 | 1.11 | % | (9,472 | ) | |||||||
John B Sanfilippo & Son, Inc. | 1,811 | 1.09 | % | (9,687 | ) | |||||||
Perdoceo Education Corp. | 11,787 | 0.96 | % | (10,644 | ) | |||||||
Post Holdings, Inc. | 1,441 | 0.94 | % | (11,028 | ) | |||||||
EVERTEC, Inc. | 949 | 0.24 | % | (11,265 | ) | |||||||
Hologic, Inc. | 2,145 | 1.10 | % | (12,468 | ) | |||||||
Amgen, Inc. | 592 | 1.06 | % | (13,137 | ) | |||||||
Avery Dennison Corp. | 760 | 0.98 | % | (16,076 | ) | |||||||
Colgate-Palmolive Co. | 1,844 | 1.03 | % | (19,499 | ) | |||||||
Philip Morris International, Inc. | 1,221 | 0.80 | % | (19,660 | ) | |||||||
Vanda Pharmaceuticals, Inc. | 5,567 | 0.44 | % | (19,705 | ) | |||||||
Mondelez International, Inc. — Class A | 2,384 | 1.04 | % | (22,727 | ) | |||||||
Sotera Health Co. | 2,612 | 0.14 | % | (24,207 | ) | |||||||
Integra LifeSciences Holdings Corp. | 2,008 | 0.67 | % | (24,912 | ) | |||||||
Pilgrim's Pride Corp. | 4,599 | 0.84 | % | (26,936 | ) | |||||||
Eagle Pharmaceuticals, Inc. | 2,010 | 0.42 | % | (30,757 | ) | |||||||
Tyson Foods, Inc. — Class A | 1,710 | 0.89 | % | (35,081 | ) | |||||||
USANA Health Sciences, Inc. | 1,958 | 0.87 | % | (43,413 | ) | |||||||
Total Consumer, Non-cyclical | (403,864 | ) | ||||||||||
Technology | ||||||||||||
Rambus, Inc. | 2,821 | 0.57 | % | 12,524 | ||||||||
CSG Systems International, Inc. | 583 | 0.24 | % | 4,597 | ||||||||
NetApp, Inc. | 662 | 0.32 | % | 3,889 | ||||||||
IPG Photonics Corp. | 590 | 0.39 | % | (2,870 | ) | |||||||
Amkor Technology, Inc. | 1,790 | 0.24 | % | (3,128 | ) | |||||||
Synaptics, Inc. | 260 | 0.20 | % | (3,544 | ) | |||||||
Hewlett Packard Enterprise Co. | 2,861 | 0.27 | % | (3,605 | ) | |||||||
Fiserv, Inc. | 340 | 0.25 | % | (3,988 | ) | |||||||
Lumentum Holdings, Inc. | 381 | 0.21 | % | (4,030 | ) | |||||||
Diodes, Inc. | 1,716 | 0.88 | % | (6,171 | ) | |||||||
ACI Worldwide, Inc. | 1,942 | 0.32 | % | (10,803 | ) | |||||||
Cirrus Logic, Inc. | 1,283 | 0.70 | % | (16,717 | ) | |||||||
Texas Instruments, Inc. | 698 | 0.86 | % | (19,264 | ) | |||||||
SS&C Technologies Holdings, Inc. | 2,620 | 0.99 | % | (31,274 | ) | |||||||
Total Technology | (84,384 | ) | ||||||||||
Basic Materials | ||||||||||||
FMC Corp. | 307 | 0.26 | % | (820 | ) | |||||||
NewMarket Corp. | 221 | 0.53 | % | (1,555 | ) | |||||||
Ingevity Corp. | 628 | 0.30 | % | (2,266 | ) | |||||||
Westlake Corp. | 332 | 0.23 | % | (3,380 | ) | |||||||
American Vanguard Corp. | 1,954 | 0.29 | % | (4,691 | ) | |||||||
Nucor Corp. | 448 | 0.38 | % | (4,713 | ) | |||||||
Steel Dynamics, Inc. | 1,079 | 0.61 | % | (7,205 | ) | |||||||
Balchem Corp. | 768 | 0.74 | % | (8,451 | ) | |||||||
Mercer International, Inc. | 2,309 | 0.23 | % | (8,761 | ) | |||||||
Huntsman Corp. | 1,521 | 0.30 | % | (12,488 | ) | |||||||
AdvanSix, Inc. | 1,220 | 0.31 | % | (13,129 | ) | |||||||
LyondellBasell Industries N.V. — Class A | 831 | 0.50 | % | (17,262 | ) | |||||||
Eastman Chemical Co. | 1,388 | 0.78 | % | (31,298 | ) | |||||||
Minerals Technologies, Inc. | 2,219 | 0.87 | % | (36,160 | ) | |||||||
Total Basic Materials | (152,179 | ) | ||||||||||
Industrial | ||||||||||||
Vishay Intertechnology, Inc. | 5,532 | 0.78 | % | 2,806 | ||||||||
Dorian LPG Ltd. | 2,700 | 0.29 | % | (135 | ) | |||||||
EMCOR Group, Inc. | 562 | 0.51 | % | (211 | ) | |||||||
Sanmina Corp. | 839 | 0.31 | % | (1,216 | ) | |||||||
EnPro Industries, Inc. | 747 | 0.50 | % | (1,911 | ) | |||||||
Agilent Technologies, Inc. | 222 | 0.21 | % | (2,094 | ) | |||||||
Lennox International, Inc. | 114 | 0.20 | % | (2,428 | ) | |||||||
TTM Technologies, Inc. | 2,523 | 0.26 | % | (4,694 | ) | |||||||
Arrow Electronics, Inc. | 553 | 0.40 | % | (4,906 | ) | |||||||
Louisiana-Pacific Corp. | 681 | 0.28 | % | (5,104 | ) | |||||||
Timken Co. | 1,236 | 0.58 | % | (6,232 | ) | |||||||
Packaging Corporation of America | 306 | 0.27 | % | (6,959 | ) | |||||||
Snap-on, Inc. | 569 | 0.91 | % | (7,216 | ) | |||||||
AptarGroup, Inc. | 941 | 0.71 | % | (9,382 | ) | |||||||
Insteel Industries, Inc. | 1,112 | 0.23 | % | (10,641 | ) | |||||||
Energizer Holdings, Inc. | 2,722 | 0.54 | % | (11,768 | ) |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2022 |
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
Albany International Corp. — Class A | 1,142 | 0.71 | % | $ | (13,712 | ) | ||||||
OSI Systems, Inc. | 1,666 | 0.95 | % | (13,951 | ) | |||||||
Sonoco Products Co. | 1,969 | 0.89 | % | (14,884 | ) | |||||||
Standex International Corp. | 1,498 | 0.97 | % | (15,178 | ) | |||||||
Knowles Corp. | 3,534 | 0.34 | % | (17,731 | ) | |||||||
Eagle Materials, Inc. | 1,075 | 0.91 | % | (18,841 | ) | |||||||
Barnes Group, Inc. | 4,592 | 1.05 | % | (21,698 | ) | |||||||
Westrock Co. | 3,210 | 0.79 | % | (30,093 | ) | |||||||
Sturm Ruger & Company, Inc. | 2,016 | 0.81 | % | (36,760 | ) | |||||||
Total Industrial | (254,939 | ) | ||||||||||
Consumer, Cyclical | ||||||||||||
Papa John's International, Inc. | 357 | 0.20 | % | (4,191 | ) | |||||||
GMS, Inc. | 982 | 0.31 | % | (4,956 | ) | |||||||
Allison Transmission Holdings, Inc. | 2,181 | 0.58 | % | (6,894 | ) | |||||||
McDonald's Corp. | 254 | 0.46 | % | (7,069 | ) | |||||||
Home Depot, Inc. | 412 | 0.90 | % | (7,871 | ) | |||||||
Methode Electronics, Inc. | 2,119 | 0.62 | % | (10,086 | ) | |||||||
Boyd Gaming Corp. | 1,316 | 0.50 | % | (10,138 | ) | |||||||
Haverty Furniture Companies, Inc. | 2,945 | 0.58 | % | (11,316 | ) | |||||||
Brunswick Corp. | 1,448 | 0.75 | % | (18,319 | ) | |||||||
G-III Apparel Group Ltd. | 3,798 | 0.45 | % | (20,937 | ) | |||||||
Total Consumer, Cyclical | (101,777 | ) | ||||||||||
Communications | ||||||||||||
Viavi Solutions, Inc. | 6,971 | 0.72 | % | (34 | ) | |||||||
T-Mobile US, Inc. | 804 | 0.86 | % | (762 | ) | |||||||
Alphabet, Inc. — Class C | 562 | 0.43 | % | (5,242 | ) | |||||||
VeriSign, Inc. | 440 | 0.61 | % | (5,724 | ) | |||||||
Cisco Systems, Inc. | 1,229 | 0.39 | % | (6,066 | ) | |||||||
Meta Platforms, Inc. — Class A | 698 | 0.75 | % | (14,290 | ) | |||||||
Gogo, Inc. | 4,315 | 0.41 | % | (25,465 | ) | |||||||
Verizon Communications, Inc. | 3,012 | 0.91 | % | (38,384 | ) | |||||||
InterDigital, Inc. | 2,170 | 0.70 | % | (51,868 | ) | |||||||
Total Communications | (147,835 | ) | ||||||||||
Energy | ||||||||||||
HF Sinclair Corp. | 1,799 | 0.77 | % | 1,786 | ||||||||
Marathon Petroleum Corp. | 1,084 | 0.85 | % | 1,685 | ||||||||
Equitrans Midstream Corp. | 6,614 | 0.39 | % | (36 | ) | |||||||
REX American Resources Corp. | 1,442 | 0.32 | % | (1,755 | ) | |||||||
CVR Energy, Inc. | 1,116 | 0.26 | % | (3,351 | ) | |||||||
Valero Energy Corp. | 787 | 0.67 | % | (4,236 | ) | |||||||
ONEOK, Inc. | 586 | 0.24 | % | (5,195 | ) | |||||||
Phillips 66 | 1,387 | 0.89 | % | (7,207 | ) | |||||||
Williams Companies, Inc. | 1,638 | 0.37 | % | (7,432 | ) | |||||||
Targa Resources Corp. | 999 | 0.48 | % | (7,775 | ) | |||||||
DT Midstream, Inc. | 2,158 | 0.89 | % | (8,711 | ) | |||||||
Kinder Morgan, Inc. | 7,064 | 0.93 | % | (9,531 | ) | |||||||
Exxon Mobil Corp. | 904 | 0.63 | % | (10,636 | ) | |||||||
Antero Midstream Corp. | 11,846 | 0.86 | % | (12,641 | ) | |||||||
Chevron Corp. | 809 | 0.92 | % | (14,494 | ) | |||||||
SunCoke Energy, Inc. | 6,637 | 0.31 | % | (16,542 | ) | |||||||
Total Energy | (106,071 | ) | ||||||||||
Financial | ||||||||||||
S&T Bancorp, Inc. | 4,912 | 1.14 | % | 4,620 | ||||||||
NMI Holdings, Inc. — Class A | 1,815 | 0.29 | % | 3,055 | ||||||||
Everest Re Group Ltd. | 198 | 0.41 | % | 1,525 | ||||||||
Associated Banc-Corp. | 7,320 | 1.17 | % | 337 | ||||||||
Getty Realty Corp. | 2,251 | 0.48 | % | (28 | ) | |||||||
Bank of Hawaii Corp. | 558 | 0.34 | % | (904 | ) | |||||||
PennyMac Financial Services, Inc. | 774 | 0.26 | % | (3,523 | ) | |||||||
Preferred Bank/Los Angeles CA | 1,770 | 0.92 | % | (6,154 | ) | |||||||
Marcus & Millichap, Inc. | 1,298 | 0.34 | % | (6,353 | ) | |||||||
Hilltop Holdings, Inc. | 2,044 | 0.40 | % | (7,510 | ) | |||||||
Renasant Corp. | 4,470 | 1.11 | % | (9,729 | ) | |||||||
Pathward Financial, Inc. | 919 | 0.24 | % | (10,963 | ) | |||||||
National Bank Holdings Corp. — Class A | 2,821 | 0.83 | % | (11,042 | ) | |||||||
Central Pacific Financial Corp. | 2,965 | 0.49 | % | (14,916 | ) | |||||||
BankUnited, Inc. | 4,062 | 1.10 | % | (16,456 | ) | |||||||
Stewart Information Services Corp. | 1,311 | 0.45 | % | (16,592 | ) | |||||||
Highwoods Properties, Inc. | 1,782 | 0.38 | % | (18,073 | ) | |||||||
Eagle Bancorp, Inc. | 3,078 | 1.09 | % | (22,847 | ) | |||||||
Global Net Lease, Inc. | 10,327 | 0.87 | % | (37,578 | ) | |||||||
Office Properties Income Trust | 5,745 | 0.64 | % | (37,798 | ) | |||||||
Total Financial | (210,929 | ) | ||||||||||
Utilities | ||||||||||||
Otter Tail Corp. | 1,009 | 0.49 | % | (2,418 | ) | |||||||
Chesapeake Utilities Corp. | 798 | 0.73 | % | (6,876 | ) | |||||||
Avista Corp. | 2,848 | 0.84 | % | (10,608 | ) | |||||||
PPL Corp. | 3,934 | 0.79 | % | (14,869 | ) | |||||||
MGE Energy, Inc. | 1,483 | 0.77 | % | (16,188 | ) | |||||||
Duke Energy Corp. | 1,061 | 0.78 | % | (17,733 | ) | |||||||
NorthWestern Corp. | 1,646 | 0.64 | % | (17,800 | ) | |||||||
WEC Energy Group, Inc. | 1,098 | 0.78 | % | (18,160 | ) | |||||||
Portland General Electric Co. | 2,402 | 0.83 | % | (18,576 | ) | |||||||
NiSource, Inc. | 3,850 | 0.77 | % | (19,784 | ) | |||||||
UGI Corp. | 2,993 | 0.77 | % | (27,202 | ) | |||||||
Total Utilities | (170,214 | ) | ||||||||||
Total MS Long/Short Equity Long Custom Basket | $ | (1,632,192 | ) |
MS LONG/SHORT EQUITY SHORT CUSTOM BASKET
Consumer, Non-cyclical | ||||||||||||
TransUnion | 1,928 | (1.42 | )% | 55,633 | ||||||||
Equifax, Inc. | 477 | (1.03 | )% | 30,081 | ||||||||
ASGN, Inc. | 1,066 | (1.22 | )% | 25,806 | ||||||||
Verisk Analytics, Inc. — Class A | 664 | (1.43 | )% | 18,617 | ||||||||
Viad Corp. | 2,108 | (0.84 | )% | 16,712 | ||||||||
ABM Industries, Inc. | 2,524 | (1.22 | )% | 14,391 | ||||||||
Patterson Companies, Inc. | 2,245 | (0.68 | )% | 13,636 | ||||||||
CoStar Group, Inc. | 858 | (0.76 | )% | 12,873 | ||||||||
Cintas Corp. | 298 | (1.46 | )% | 11,474 | ||||||||
FTI Consulting, Inc. | 185 | (0.39 | )% | 3,092 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2022 |
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
Quanta Services, Inc. | 506 | (0.82 | )% | $ | 2,947 | |||||||
Driven Brands Holdings, Inc. | 2,883 | (1.02 | )% | 670 | ||||||||
Robert Half International, Inc. | 453 | (0.44 | )% | 387 | ||||||||
Total Consumer, Non-cyclical | 206,319 | |||||||||||
Financial | ||||||||||||
Howard Hughes Corp. | 1,479 | (1.04 | )% | 48,409 | ||||||||
Welltower, Inc. | 1,827 | (1.49 | )% | 43,477 | ||||||||
Signature Bank | 528 | (1.01 | )% | 41,783 | ||||||||
Outfront Media, Inc. | 3,691 | (0.71 | )% | 36,571 | ||||||||
Equinix, Inc. | 198 | (1.42 | )% | 34,366 | ||||||||
Sun Communities, Inc. | 670 | (1.15 | )% | 30,504 | ||||||||
Crown Castle, Inc. | 733 | (1.34 | )% | 26,895 | ||||||||
Kite Realty Group Trust | 6,426 | (1.40 | )% | 26,508 | ||||||||
State Street Corp. | 989 | (0.76 | )% | 26,470 | ||||||||
Western Alliance Bancorporation | 1,160 | (0.96 | )% | 26,448 | ||||||||
Rexford Industrial Realty, Inc. | 2,005 | (1.32 | )% | 26,196 | ||||||||
Americold Realty Trust, Inc. | 3,092 | (0.96 | )% | 25,661 | ||||||||
Invitation Homes, Inc. | 3,773 | (1.61 | )% | 24,675 | ||||||||
KKR & Company, Inc. — Class A | 1,868 | (1.02 | )% | 21,410 | ||||||||
Digital Realty Trust, Inc. | 813 | (1.02 | )% | 20,931 | ||||||||
Realty Income Corp. | 1,396 | (1.03 | )% | 19,508 | ||||||||
Apollo Global Management, Inc. | 1,787 | (1.05 | )% | 19,475 | ||||||||
Goldman Sachs Group, Inc. | 880 | (3.26 | )% | 18,653 | ||||||||
Ares Management Corp. — Class A | 1,192 | (0.93 | )% | 18,136 | ||||||||
BlackRock, Inc. — Class A | 141 | (0.98 | )% | 17,233 | ||||||||
Ryman Hospitality Properties, Inc. | 1,218 | (1.13 | )% | 17,125 | ||||||||
Iron Mountain, Inc. | 2,503 | (1.39 | )% | 16,940 | ||||||||
Invesco Ltd. | 5,772 | (1.00 | )% | 16,264 | ||||||||
Bank of America Corp. | 2,400 | (0.92 | )% | 15,779 | ||||||||
SBA Communications Corp. | 297 | (1.07 | )% | 14,301 | ||||||||
American Tower Corp. — Class A | 360 | (0.98 | )% | 13,935 | ||||||||
Kennedy-Wilson Holdings, Inc. | 1,818 | (0.36 | )% | 13,723 | ||||||||
Equitable Holdings, Inc. | 4,259 | (1.42 | )% | 13,392 | ||||||||
Extra Space Storage, Inc. | 375 | (0.82 | )% | 11,928 | ||||||||
First Republic Bank | 376 | (0.62 | )% | 11,131 | ||||||||
Ventas, Inc. | 1,270 | (0.65 | )% | 10,788 | ||||||||
SLM Corp. | 1,978 | (0.35 | )% | 10,577 | ||||||||
Northern Trust Corp. | 760 | (0.82 | )% | 10,469 | ||||||||
Independence Realty Trust, Inc. | 2,368 | (0.50 | )% | 9,140 | ||||||||
Xenia Hotels & Resorts, Inc. | 2,221 | (0.39 | )% | 9,139 | ||||||||
Public Storage | 183 | (0.68 | )% | 8,863 | ||||||||
Marsh & McLennan Companies, Inc. | 544 | (1.03 | )% | 8,457 | ||||||||
Alexandria Real Estate Equities, Inc. | 591 | (1.05 | )% | 8,335 | ||||||||
Wells Fargo & Co. | 1,836 | (0.93 | )% | 7,394 | ||||||||
CBRE Group, Inc. — Class A | 626 | (0.53 | )% | 6,974 | ||||||||
Life Storage, Inc. | 327 | (0.46 | )% | 6,520 | ||||||||
Intercontinental Exchange, Inc. | 527 | (0.60 | )% | 5,981 | ||||||||
Progressive Corp. | 538 | (0.79 | )% | 5,313 | ||||||||
Popular, Inc. | 950 | (0.87 | )% | 5,115 | ||||||||
Comerica, Inc. | 1,195 | (1.07 | )% | 4,470 | ||||||||
Assurant, Inc. | 238 | (0.44 | )% | 3,804 | ||||||||
Mid-America Apartment Communities, Inc. | 178 | (0.35 | )% | 2,543 | ||||||||
Allstate Corp. | 316 | (0.50 | )% | (15 | ) | |||||||
Cullen/Frost Bankers, Inc. | 355 | (0.59 | )% | (174 | ) | |||||||
Charles Schwab Corp. | 880 | (0.80 | )% | (251 | ) | |||||||
Arthur J Gallagher & Co. | 242 | (0.52 | )% | (1,555 | ) | |||||||
LPL Financial Holdings, Inc. | 327 | (0.90 | )% | (10,976 | ) | |||||||
Total Financial | 808,738 | |||||||||||
Consumer, Cyclical | ||||||||||||
MillerKnoll, Inc. | 3,937 | (0.78 | )% | 74,762 | ||||||||
American Airlines Group, Inc. | 5,614 | (0.85 | )% | 23,810 | ||||||||
Healthcare Services Group, Inc. | 4,390 | (0.67 | )% | 19,635 | ||||||||
CarMax, Inc. | 463 | (0.39 | )% | 15,208 | ||||||||
Copart, Inc. | 1,234 | (1.66 | )% | 14,974 | ||||||||
Genuine Parts Co. | 890 | (1.68 | )% | 10,686 | ||||||||
Hilton Worldwide Holdings, Inc. | 407 | (0.62 | )% | 9,904 | ||||||||
Dana, Inc. | 2,769 | (0.40 | )% | 8,839 | ||||||||
Live Nation Entertainment, Inc. | 528 | (0.51 | )% | 7,421 | ||||||||
Delta Air Lines, Inc. | 2,017 | (0.72 | )% | 7,161 | ||||||||
Southwest Airlines Co. | 850 | (0.33 | )% | 6,881 | ||||||||
Lear Corp. | 320 | (0.48 | )% | 5,793 | ||||||||
Tesla, Inc. | 94 | (0.32 | )% | 3,902 | ||||||||
Floor & Decor Holdings, Inc. — Class A | 566 | (0.50 | )% | 3,291 | ||||||||
WESCO International, Inc. | 457 | (0.69 | )% | 1,585 | ||||||||
Royal Caribbean Cruises Ltd. | 825 | (0.40 | )% | (1,550 | ) | |||||||
Las Vegas Sands Corp. | 1,488 | (0.71 | )% | (2,155 | ) | |||||||
Total Consumer, Cyclical | 210,147 | |||||||||||
Energy | ||||||||||||
Patterson-UTI Energy, Inc. | 4,255 | (0.63 | )% | 23,095 | ||||||||
Helmerich & Payne, Inc. | 1,722 | (0.80 | )% | 16,979 | ||||||||
Baker Hughes Co. | 3,517 | (0.93 | )% | 13,880 | ||||||||
Hess Corp. | 785 | (1.08 | )% | 7,001 | ||||||||
NexTier Oilfield Solutions, Inc. | 5,153 | (0.48 | )% | 6,985 | ||||||||
Liberty Energy, Inc. — Class A | 3,371 | (0.54 | )% | 3,621 | ||||||||
ChampionX Corp. | 1,968 | (0.49 | )% | 3,593 | ||||||||
Valaris Ltd. | 1,079 | (0.67 | )% | 876 | ||||||||
Continental Resources, Inc. | 581 | (0.49 | )% | 748 | ||||||||
Schlumberger N.V. | 2,592 | (1.18 | )% | 533 | ||||||||
Equities Corp. | 981 | (0.51 | )% | (4,887 | ) | |||||||
EOG Resources, Inc. | 982 | (1.39 | )% | (7,664 | ) | |||||||
Total Energy | 64,760 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2022 |
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
Industrial | ||||||||||||
Stanley Black & Decker, Inc. | 816 | (0.78 | )% | $ | 28,623 | |||||||
Stericycle, Inc. | 723 | (0.38 | )% | 23,189 | ||||||||
Boeing Co. | 594 | (0.91 | )% | 22,402 | ||||||||
Jacobs Solutions, Inc. | 960 | (1.32 | )% | 19,202 | ||||||||
Old Dominion Freight Line, Inc. | 302 | (0.95 | )% | 12,804 | ||||||||
CSX Corp. | 2,232 | (0.75 | )% | 12,251 | ||||||||
Waste Management, Inc. | 729 | (1.48 | )% | 9,602 | ||||||||
Union Pacific Corp. | 249 | (0.61 | )% | 8,393 | ||||||||
MSA Safety, Inc. | 523 | (0.72 | )% | 8,329 | ||||||||
Eaton Corporation plc | 1,037 | (1.75 | )% | 7,760 | ||||||||
CH Robinson Worldwide, Inc. | 311 | (0.38 | )% | 4,061 | ||||||||
Exponent, Inc. | 927 | (1.03 | )% | 3,345 | ||||||||
TransDigm Group, Inc. | 54 | (0.36 | )% | 744 | ||||||||
Casella Waste Systems, Inc. — Class A | 1,244 | (1.20 | )% | (19 | ) | |||||||
Total Industrial | 160,686 | |||||||||||
Utilities | ||||||||||||
Dominion Energy, Inc. | 1,739 | (1.52 | )% | 24,534 | ||||||||
Public Service Enterprise Group, Inc. | 822 | (0.58 | )% | 7,515 | ||||||||
Total Utilities | 32,049 | |||||||||||
Technology | ||||||||||||
MSCI, Inc. — Class A | 116 | (0.62 | )% | 5,344 | ||||||||
Veeva Systems, Inc. — Class A | 261 | (0.54 | )% | 2,720 | ||||||||
Total Technology | 8,064 | |||||||||||
Communications | ||||||||||||
Paramount Global — Class B | 2,857 | (0.69 | )% | 11,405 | ||||||||
Uber Technologies, Inc. | 2,418 | (0.81 | )% | (3,924 | ) | |||||||
Total Communications | 7,480 | |||||||||||
Total MS Long/Short Equity Short Custom Basket | $ | 1,498,244 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2022 |
MS EQUITY MARKET NEUTRAL LONG CUSTOM BASKET | ||||||||||||
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
Financial | ||||||||||||
Gaming and Leisure Properties, Inc. | 15,450 | 5.17 | % | $ | 21,294 | |||||||
CareTrust REIT, Inc. | 34,143 | 4.67 | % | (8,001 | ) | |||||||
Agree Realty Corp. | 10,267 | 5.24 | % | (26,383 | ) | |||||||
InvenTrust Properties Corp. | 10,357 | 1.67 | % | (26,881 | ) | |||||||
SBA Communications Corp. | 905 | 1.95 | % | (35,519 | ) | |||||||
Ryman Hospitality Properties, Inc. | 10,799 | 6.01 | % | (39,500 | ) | |||||||
American Tower Corp. — Class A | 1,144 | 1.86 | % | (46,130 | ) | |||||||
Healthcare Realty Trust, Inc. | 13,073 | 2.06 | % | (46,848 | ) | |||||||
Crown Castle, Inc. | 1,723 | 1.88 | % | (48,154 | ) | |||||||
Brixmor Property Group, Inc. | 18,759 | 2.62 | % | (50,881 | ) | |||||||
Boston Properties, Inc. | 3,480 | 1.97 | % | (50,897 | ) | |||||||
Four Corners Property Trust, Inc. | 24,184 | 4.42 | % | (62,214 | ) | |||||||
Piedmont Office Realty Trust, Inc. — Class A | 24,152 | 1.93 | % | (66,771 | ) | |||||||
AvalonBay Communities, Inc. | 5,019 | 6.99 | % | (87,282 | ) | |||||||
Cousins Properties, Inc. | 10,457 | 1.85 | % | (91,325 | ) | |||||||
Alexandria Real Estate Equities, Inc. | 5,289 | 5.60 | % | (105,810 | ) | |||||||
Equity Residential | 13,934 | 7.08 | % | (105,846 | ) | |||||||
NETSTREIT Corp. | 38,252 | 5.15 | % | (115,170 | ) | |||||||
SITE Centers Corp. | 40,135 | 3.25 | % | (117,067 | ) | |||||||
Ventas, Inc. | 15,253 | 4.63 | % | (120,015 | ) | |||||||
Xenia Hotels & Resorts, Inc. | 44,595 | 4.65 | % | (154,618 | ) | |||||||
Rexford Industrial Realty, Inc. | 12,149 | 4.77 | % | (156,506 | ) | |||||||
Sun Communities, Inc. | 8,227 | 8.41 | % | (181,099 | ) | |||||||
National Storage Affiliates Trust | 19,639 | 6.17 | % | (202,056 | ) | |||||||
Total Financial | (1,923,679 | ) | ||||||||||
Total MS Equity Market Neutral Long Custom Basket | $ | (1,923,679 | ) | |||||||||
MS EQUITY MARKET NEUTRAL SHORT CUSTOM BASKET | ||||||||||||
Financial | ||||||||||||
Douglas Emmett, Inc. | 33,512 | (4.59 | )% | 372,970 | ||||||||
Office Properties Income Trust | 36,872 | (3.96 | )% | 355,186 | ||||||||
Broadstone Net Lease, Inc. | 39,734 | (4.72 | )% | 322,283 | ||||||||
Washington Real Estate Investment Trust | 34,800 | (4.67 | )% | 196,146 | ||||||||
Phillips Edison & Company, Inc. | 38,229 | (8.20 | )% | 193,588 | ||||||||
Realty Income Corp. | 17,996 | (8.01 | )% | 183,431 | ||||||||
Mid-America Apartment Communities, Inc. | 3,853 | (4.57 | )% | 156,492 | ||||||||
STAG Industrial, Inc. | 23,573 | (5.12 | )% | 147,653 | ||||||||
Necessity Retail REIT, Inc. | 62,173 | (2.79 | )% | 147,182 | ||||||||
Host Hotels & Resorts, Inc. | 61,864 | (7.51 | )% | 131,288 | ||||||||
Apple Hospitality REIT, Inc. | 46,023 | (4.95 | )% | 118,088 | ||||||||
Essex Property Trust, Inc. | 3,252 | (6.02 | )% | 110,308 | ||||||||
Camden Property Trust | 2,992 | (2.73 | )% | 106,161 | ||||||||
Omega Healthcare Investors, Inc. | 12,641 | (2.85 | )% | 88,533 | ||||||||
Equity Commonwealth | 30,014 | (5.59 | )% | 87,593 | ||||||||
Apartment Income REIT Corp. | 9,428 | (2.78 | )% | 87,202 | ||||||||
Public Storage | 1,968 | (4.40 | )% | 61,471 | ||||||||
LTC Properties, Inc. | 3,023 | (0.87 | )% | 16,399 | ||||||||
Extra Space Storage, Inc. | 3,684 | (4.86 | )% | 7,170 | ||||||||
Total Financial | 2,889,144 | |||||||||||
Exchange Traded Funds | ||||||||||||
Vanguard Real Estate ETF | 17,633 | (10.81 | )% | 404,406 | ||||||||
Total MS Equity Market Neutral Short Custom Basket | $ | 3,293,550 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2022 |
GS EQUITY MARKET NEUTRAL LONG CUSTOM BASKET | ||||||||||||
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
Financial | ||||||||||||
Gaming and Leisure Properties, Inc. | 15,450 | 5.17 | % | $ | 21,124 | |||||||
CareTrust REIT, Inc. | 34,143 | 4.67 | % | (8,407 | ) | |||||||
InvenTrust Properties Corp. | 10,695 | 1.72 | % | (23,918 | ) | |||||||
Agree Realty Corp. | 10,267 | 5.24 | % | (28,072 | ) | |||||||
SBA Communications Corp. | 905 | 1.95 | % | (35,219 | ) | |||||||
Ryman Hospitality Properties, Inc. | 10,799 | 6.01 | % | (38,433 | ) | |||||||
American Tower Corp. — Class A | 1,144 | 1.86 | % | (46,201 | ) | |||||||
Healthcare Realty Trust, Inc. | 13,073 | 2.06 | % | (46,642 | ) | |||||||
Crown Castle, Inc. | 1,723 | 1.88 | % | (47,799 | ) | |||||||
Brixmor Property Group, Inc. | 18,759 | 2.62 | % | (50,470 | ) | |||||||
Boston Properties, Inc. | 3,480 | 1.97 | % | (51,918 | ) | |||||||
Four Corners Property Trust, Inc. | 24,184 | 4.42 | % | (62,204 | ) | |||||||
Piedmont Office Realty Trust, Inc. — Class A | 24,152 | 1.93 | % | (66,085 | ) | |||||||
AvalonBay Communities, Inc. | 5,019 | 6.99 | % | (87,643 | ) | |||||||
Cousins Properties, Inc. | 10,457 | 1.85 | % | (90,900 | ) | |||||||
Alexandria Real Estate Equities, Inc. | 5,289 | 5.60 | % | (105,442 | ) | |||||||
Equity Residential | 13,934 | 7.08 | % | (106,212 | ) | |||||||
SITE Centers Corp. | 39,489 | 3.20 | % | (110,873 | ) | |||||||
NETSTREIT Corp. | 38,252 | 5.15 | % | (114,737 | ) | |||||||
Ventas, Inc. | 15,253 | 4.63 | % | (119,532 | ) | |||||||
Xenia Hotels & Resorts, Inc. | 44,595 | 4.65 | % | (154,414 | ) | |||||||
Rexford Industrial Realty, Inc. | 12,149 | 4.77 | % | (156,672 | ) | |||||||
National Storage Affiliates Trust | 19,639 | 6.17 | % | (202,329 | ) | |||||||
Sun Communities, Inc. | 8,227 | 8.41 | % | (209,314 | ) | |||||||
Total Financial | (1,942,312 | ) | ||||||||||
Total GS Equity Market Neutral Long Custom Basket | $ | (1,942,312 | ) | |||||||||
GS EQUITY MARKET NEUTRAL SHORT CUSTOM BASKET | ||||||||||||
Financial | ||||||||||||
Douglas Emmett, Inc. | 33,512 | (4.61)% | 374,218 | |||||||||
Office Properties Income Trust | 36,872 | (3.98)% | 357,221 | |||||||||
Broadstone Net Lease, Inc. | 39,734 | (4.74)% | 316,413 | |||||||||
Washington Real Estate Investment Trust | 34,800 | (4.70)% | 194,831 | |||||||||
Phillips Edison & Company, Inc. | 38,229 | (8.24)% | 190,141 | |||||||||
Realty Income Corp. | 17,996 | (8.05)% | 183,118 | |||||||||
Mid-America Apartment Communities, Inc. | 3,853 | (4.59)% | 156,471 | |||||||||
Necessity Retail REIT, Inc. | 62,173 | (2.81)% | 147,479 | |||||||||
STAG Industrial, Inc. | 23,573 | (5.15)% | 147,014 | |||||||||
Host Hotels & Resorts, Inc. | 61,864 | (7.55)% | 131,978 | |||||||||
Apple Hospitality REIT, Inc. | 46,023 | (4.97)% | 107,096 | |||||||||
Essex Property Trust, Inc. | 3,252 | (6.05)% | 106,785 | |||||||||
Camden Property Trust | 2,992 | (2.75)% | 106,163 | |||||||||
Apartment Income REIT Corp. | 9,428 | (2.80)% | 87,821 | |||||||||
Equity Commonwealth | 30,014 | (5.62)% | 87,771 | |||||||||
Omega Healthcare Investors, Inc. | 10,310 | (2.34)% | 74,460 | |||||||||
Public Storage | 1,968 | (4.43)% | 61,614 | |||||||||
LTC Properties, Inc. | 3,023 | (0.87)% | 16,384 | |||||||||
Extra Space Storage, Inc. | 3,684 | (4.89)% | 7,203 | |||||||||
Total Financial | 2,854,181 | |||||||||||
Exchange-Traded Funds | ||||||||||||
Vanguard Real Estate ETF | 17,633 | (10.86)% | 407,401 | |||||||||
Total GS Equity Market Neutral Short Custom Basket | $ | 3,261,582 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2022 |
* | 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. |
††† | Value determined based on Level 3 inputs — See Note 3. |
1 | All or a portion of this security is pledged as short security and equity custom basket swap collateral collateral at September 30, 2022. |
2 | Affiliated issuer. |
3 | All or a portion of this security is on loan at September 30, 2022 — See Note 5. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | All or a portion of this security is pledged as futures collateral at September 30, 2022. |
6 | Repurchase Agreements — See Note 4. |
7 | Securities lending collateral — See Note 5. |
8 | Rate indicated is the 7-day yield as of September 30, 2022. |
ADR — American Depositary Receipt
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 September 30, 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 | $ | 38,611,602 | $ | 2,000,440 | $ | — | $ | 40,612,042 | ||||||||
Master Limited Partnership | 5 | — | — | 5 | ||||||||||||
Rights | — | — | — | * | — | |||||||||||
Mutual Funds | 14,829,170 | — | — | 14,829,170 | ||||||||||||
Closed-End Funds | 7,351,866 | — | — | 7,351,866 | ||||||||||||
U.S. Treasury Bills | — | 14,197,278 | — | 14,197,278 | ||||||||||||
Repurchase Agreements | — | 44,629,498 | — | 44,629,498 | ||||||||||||
Securities Lending Collateral | 83,050 | — | — | 83,050 | ||||||||||||
Currency Futures Contracts** | 1,108,928 | — | — | 1,108,928 | ||||||||||||
Equity Futures Contracts** | 935,795 | 105,732 | — | 1,041,527 | ||||||||||||
Commodity Futures Contracts** | 934,688 | — | — | 934,688 | ||||||||||||
Interest Rate Futures Contracts** | 380,470 | 15,862 | — | 396,332 | ||||||||||||
Equity Custom Basket Swap Agreements** | — | 9,534,107 | — | 9,534,107 | ||||||||||||
Total Assets | $ | 64,235,574 | $ | 70,482,917 | $ | — | $ | 134,718,491 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2022 |
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks Sold Short | $ | 3,811,490 | $ | — | $ | — | $ | 3,811,490 | ||||||||
Exchange-Traded Funds Sold Short | 8,532,060 | — | — | 8,532,060 | ||||||||||||
Commodity Futures Contracts** | 634,959 | — | — | 634,959 | ||||||||||||
Equity Futures Contracts** | 399,448 | — | — | 399,448 | ||||||||||||
Currency Futures Contracts** | 367,640 | — | — | 367,640 | ||||||||||||
Interest Rate Futures Contracts** | 2,284 | 22,459 | — | 24,743 | ||||||||||||
Equity Custom Basket Swap Agreements** | — | 7,122,841 | — | 7,122,841 | ||||||||||||
Total Liabilities | $ | 13,747,881 | $ | 7,145,300 | $ | — | $ | 20,893,181 |
* | 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.
Transactions during the period ended September 30, 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 09/30/22 | Shares 09/30/22 | Investment Income | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 5,207,495 | $ | 1,500,000 | $ | – | $ | – | $ | (244,750 | ) | $ | 6,462,745 | 269,618 | $ | 107,439 | ||||||||||||||||
Guggenheim Strategy Fund III | 977,752 | 1,000,000 | – | – | (79,421 | ) | 1,898,331 | 79,031 | 32,096 | |||||||||||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 3,690,666 | 3,000,000 | – | – | (222,572 | ) | 6,468,094 | 674,462 | 82,928 | |||||||||||||||||||||||
$ | 9,875,913 | $ | 5,500,000 | $ | – | $ | – | $ | (546,743 | ) | $ | 14,829,170 | $ | 222,463 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) |
Note 1 – Organization, Consolidation of Subsidiary 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 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”) adopted policies and procedures for the valuation of the Funds' investments (the “Valuation Procedures”). The U.S. Securities and Exchange Commission (the “SEC”) adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith and became effective September 8, 2022. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.
Pursuant to Rule 2a-5, the Board has designated Security Investors, LLC (the “Adviser”) as the valuation designee to perform fair valuation determinations for the Funds with respect to all Fund investments and/or other assets. As the Funds’ valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in 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 Adviser, with the assistance of 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 Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Designee Procedures, regularly review the appropriateness of the inputs, methods, models and assumptions employed 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 Adviser.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) |
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.
Open-end investment companies are valued at their net asset value as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are generally 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.
Commercial paper and discount notes 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. Commercial paper and discount notes with a maturity of 60 days or less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using an independent pricing service.
Repurchase agreements are generally valued at amortized cost, provided such amounts approximate market value.
The value of futures contracts are valued on the basis of the last sale price 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 generally valued using an evaluated price provided by a third party pricing vendor.
Investments for which market quotations are not readily available are fair-valued as determined in good faith by the Adviser.. 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.
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.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) |
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 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.
Custom basket swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as 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.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) |
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 between market participants at the measurement date. 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 — unadjusted 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.
Rule 2a-5 sets forth a definition of “readily available market quotations," which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”
Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. 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 selected and applied for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed 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.
At September 30, 2022, the repurchase agreements in the joint account were as follows:
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) |
Repurchase Agreements | ||||||||||||||||||||
Counterparty and Terms of Agreement | Face Value | Repurchase Price | Collateral | Par Value | Fair Value | |||||||||||||||
J.P. Morgan Securities LLC | U.S. Treasury Note | |||||||||||||||||||
2.97% | 0.75% | |||||||||||||||||||
Due 10/03/22 | $ | 135,693,328 | $ | 135,726,912 | Due 08/31/26 | $ | 157,165,800 | $ | 138,407,205 | |||||||||||
BofA Securities, Inc. | U.S. Treasury Note | |||||||||||||||||||
2.91% | 0.88% | |||||||||||||||||||
Due 10/03/22 | 52,189,742 | 52,202,398 | Due 11/15/30 | 66,285,100 | 53,233,580 | |||||||||||||||
Barclays Capital, Inc. | U.S. Treasury Inflation Indexed Bond | |||||||||||||||||||
2.92% | 1.00% | |||||||||||||||||||
Due 10/03/22 | 50,644,966 | 50,657,290 | Due 02/15/46 | 32,719,353 | 26,831,244 | |||||||||||||||
U.S. Treasury Inflation Indexed Bond | ||||||||||||||||||||
0.13% | ||||||||||||||||||||
Due 10/15/25 | 26,181,251 | 24,826,653 | ||||||||||||||||||
58,900,604 | 51,657,897 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) |
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 X. 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.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) |
At September 30, 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 | $ | 81,256 | $ | 83,050 |
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' 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.
At September 30, 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 | $ | 11,911,601 | $ | - | $ | (785,297 | ) | $ | (785,297 | ) | ||||||
Managed Futures Strategy Fund | 37,776,008 | 2,044,654 | (1,094,238 | ) | 950,416 | |||||||||||
Multi-Hedge Strategies Fund | 110,444,719 | 15,383,388 | (12,002,797 | ) | 3,380,591 |
Note 7 – Market Risks
The value of, or income generated by, the investments held by the Funds are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), 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 (including geopolitical), 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. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Funds in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Funds’ investments and performance of the Funds.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) |
The value of, or income generated by, the investments held by the Trust 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 (which have since risen and may continue to rise), 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 (including geopolitical), 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. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Trust 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 “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.