Commodities Strategy Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2023 |
Shares | Value | |||||||
MUTUAL FUNDS† - 42.1% | ||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 141,704 | $ | 1,375,945 | |||||
Guggenheim Strategy Fund II1 | 56,518 | 1,368,309 | ||||||
Total Mutual Funds | ||||||||
(Cost $2,822,291) | 2,744,254 |
Face Amount | ||||||||
U.S. TREASURY BILLS†† - 4.6% | ||||||||
U.S. Treasury Bills | ||||||||
3.36% due 04/11/232,3 | $ | 300,000 | 299,695 | |||||
Total U.S. Treasury Bills | ||||||||
(Cost $299,700) | 299,695 | |||||||
REPURCHASE AGREEMENTS††,4 - 44.0% | ||||||||
J.P. Morgan Securities LLC issued 03/31/23 at 4.80% due 04/03/23 | 1,602,851 | 1,602,851 | ||||||
BofA Securities, Inc. issued 03/31/23 at 4.78% due 04/03/23 | 633,259 | 633,259 | ||||||
Barclays Capital, Inc. issued 03/31/23 at 4.80% due 04/03/23 | 633,259 | 633,259 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $2,869,369) | 2,869,369 | |||||||
Total Investments - 90.7% | ||||||||
(Cost $5,991,360) | $ | 5,913,318 | ||||||
Other Assets & Liabilities, net - 9.3% | 603,273 | |||||||
Total Net Assets - 100.0% | $ | 6,516,591 |
Futures Contracts
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Depreciation** | ||||||||||
Commodity Futures Contracts Purchased† | ||||||||||||||
Goldman Sachs Commodity Index Futures Contracts | 46 | Apr 2023 | $ | 6,596,113 | $ | (14,125 | ) |
** | Includes cumulative appreciation (depreciation). |
† | Value determined based on Level 1 inputs — See Note 3. |
†† | Value determined based on Level 2 inputs — See Note 3. |
1 | Affiliated issuer. |
2 | All or a portion of this security is pledged as futures collateral at March 31, 2023. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | Repurchase Agreements — See Note 4. |
See Sector Classification in Other Information section.
The following table summarizes the inputs used to value the Fund's investments at March 31, 2023 (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 | $ | 2,744,254 | $ | — | $ | — | $ | 2,744,254 | ||||||||
U.S. Treasury Bills | — | 299,695 | — | 299,695 | ||||||||||||
Repurchase Agreements | — | 2,869,369 | — | 2,869,369 | ||||||||||||
Total Assets | $ | 2,744,254 | $ | 3,169,064 | $ | — | $ | 5,913,318 |
Commodities Strategy Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2023 |
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Commodity Futures Contracts** | $ | 14,125 | $ | — | $ | — | $ | 14,125 |
** | 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, 2022, 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/1601445/000182126822000340/gug84768.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the period ended March 31, 2023, in which the company is an affiliated issuer, were as follows:
Security Name | Value 12/31/22 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 03/31/23 | Shares 03/31/23 | Investment Income | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 1,358,701 | $ | – | $ | – | $ | – | $ | 9,608 | $ | 1,368,309 | 56,518 | $ | 16,946 | |||||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 1,366,026 | – | – | – | 9,919 | 1,375,945 | 141,704 | 16,700 | ||||||||||||||||||||||||
$ | 2,724,727 | $ | – | $ | – | $ | – | $ | 19,527 | $ | 2,744,254 | $ | 33,646 |
Managed Futures Strategy Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2023 |
Shares | Value | |||||||
MUTUAL FUNDS† - 37.0% | ||||||||
Guggenheim Strategy Fund III1 | 235,195 | $ | 5,703,484 | |||||
Guggenheim Strategy Fund II1 | 166,856 | 4,039,581 | ||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 257,497 | 2,500,293 | ||||||
Total Mutual Funds | ||||||||
(Cost $12,548,782) | 12,243,358 |
Face Amount | ||||||||
U.S. TREASURY BILLS†† - 17.2% | ||||||||
U.S. Treasury Bills | ||||||||
3.36% due 04/11/232,3 | $ | 5,716,000 | 5,710,182 | |||||
Total U.S. Treasury Bills | ||||||||
(Cost $5,710,284) | 5,710,182 | |||||||
REPURCHASE AGREEMENTS††,4 - 45.4% | ||||||||
J.P. Morgan Securities LLC issued 03/31/23 at 4.80% due 04/03/23 | 8,392,852 | 8,392,852 | ||||||
BofA Securities, Inc. issued 03/31/23 at 4.78% due 04/03/23 | 3,315,874 | 3,315,874 | ||||||
Barclays Capital, Inc. issued 03/31/23 at 4.80% due 04/03/23 | 3,315,874 | 3,315,874 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $15,024,600) | 15,024,600 | |||||||
Total Investments - 99.6% | ||||||||
(Cost $33,283,666) | $ | 32,978,140 | ||||||
Other Assets & Liabilities, net - 0.4% | 138,617 | |||||||
Total Net Assets - 100.0% | $ | 33,116,757 |
Futures Contracts
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation (Depreciation)** | ||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||
FTSE 100 Index Futures Contracts | 22 | Jun 2023 | $ | 2,075,095 | $ | 78,582 | ||||||||
S&P 500 Index Mini Futures Contracts | 14 | Jun 2023 | 2,896,425 | 61,744 | ||||||||||
NASDAQ-100 Index Mini Futures Contracts | 10 | Jun 2023 | 2,660,150 | 61,344 | ||||||||||
Tokyo Stock Price Index Futures Contracts | 14 | Jun 2023 | 2,126,916 | 59,522 | ||||||||||
Nikkei 225 (OSE) Index Futures Contracts | 7 | Jun 2023 | 1,487,365 | 47,320 | ||||||||||
Euro STOXX 50 Index Futures Contracts | 20 | Jun 2023 | 925,681 | 45,583 | ||||||||||
Dow Jones Industrial Average Index Mini Futures Contracts | 22 | Jun 2023 | 3,680,380 | 38,079 | ||||||||||
MSCI EAFE Index Futures Contracts | 8 | Jun 2023 | 838,520 | 35,431 | ||||||||||
DAX Index Futures Contracts | 3 | Jun 2023 | 1,286,400 | 30,197 | ||||||||||
Russell 2000 Index Mini Futures Contracts | 18 | Jun 2023 | 1,632,060 | 27,928 | ||||||||||
CAC 40 10 Euro Index Futures Contracts | 12 | Apr 2023 | 956,927 | 20,095 | ||||||||||
Amsterdam Index Futures Contracts | 4 | Apr 2023 | 657,654 | 18,792 | ||||||||||
S&P MidCap 400 Index Mini Futures Contracts | 2 | Jun 2023 | 506,000 | 13,716 | ||||||||||
FTSE Taiwan Index Futures Contracts | 7 | Apr 2023 | 389,620 | 2,699 | ||||||||||
OMX Stockholm 30 Index Futures Contracts†† | 3 | Apr 2023 | 64,331 | 1,389 | ||||||||||
FTSE/JSE TOP 40 Index Futures Contracts†† | 1 | Jun 2023 | 40,012 | (6 | ) | |||||||||
FTSE MIB Index Futures Contracts | 1 | Jun 2023 | 144,787 | (580 | ) | |||||||||
IBEX 35 Index Futures Contracts†† | 11 | Apr 2023 | 1,097,401 | (1,035 | ) | |||||||||
SPI 200 Index Futures Contracts | 2 | Jun 2023 | 241,909 | (3,695 | ) | |||||||||
CBOE Volatility Index Futures Contracts | 26 | Aug 2023 | 616,200 | (10,664 | ) | |||||||||
CBOE Volatility Index Futures Contracts | 37 | Sep 2023 | 888,000 | (11,871 | ) | |||||||||
$ | 25,211,833 | $ | 514,570 | |||||||||||
Commodity Futures Contracts Purchased† | ||||||||||||||
Cocoa Futures Contracts | 73 | May 2023 | $ | 2,139,630 | $ | 153,072 | ||||||||
Sugar #11 Futures Contracts | 11 | Apr 2023 | 274,736 | 27,676 | ||||||||||
Cattle Feeder Futures Contracts | 11 | May 2023 | 1,128,600 | 24,395 |
Managed Futures Strategy Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2023 |
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation (Depreciation)** | ||||||||||
Commodity Futures Contracts Purchased† (continued) | ||||||||||||||
Corn Futures Contracts | 26 | May 2023 | $ | 856,050 | $ | 22,391 | ||||||||
Gasoline RBOB Futures Contracts | 6 | Apr 2023 | 676,116 | 17,681 | ||||||||||
Soybean Oil Futures Contracts | 30 | Dec 2023 | 978,120 | 16,142 | ||||||||||
ECX Emission Futures Contracts | 2 | Dec 2023 | 199,479 | 13,542 | ||||||||||
Live Cattle Futures Contracts | 9 | Jun 2023 | 583,380 | 7,451 | ||||||||||
Gold 100 oz. Futures Contracts | 3 | Jun 2023 | 596,520 | 5,756 | ||||||||||
Natural Gas Futures Contracts | 8 | Apr 2023 | 175,520 | 5,400 | ||||||||||
Soybean Futures Contracts | 2 | May 2023 | 150,500 | 5,069 | ||||||||||
NY Harbor ULSD Futures Contracts | 1 | Apr 2023 | 109,721 | 4,445 | ||||||||||
Soybean Meal Futures Contracts | 25 | Dec 2023 | 1,043,000 | 2,831 | ||||||||||
Copper Futures Contracts | 12 | May 2023 | 1,224,750 | 2,188 | ||||||||||
Silver Futures Contracts | 2 | May 2023 | 242,100 | 594 | ||||||||||
LME Lead Futures Contracts | 1 | May 2023 | 52,636 | 377 | ||||||||||
SGX Iron Ore 62% Futures Contracts | 9 | May 2023 | 112,788 | 360 | ||||||||||
Coffee 'C' Futures Contracts | 3 | May 2023 | 191,813 | 166 | ||||||||||
WTI Crude Futures Contracts | 1 | May 2023 | 75,570 | (93 | ) | |||||||||
LME Tin Futures Contracts | 3 | May 2023 | 388,140 | (115 | ) | |||||||||
Brent Crude Futures Contracts | 3 | Jun 2023 | 239,370 | (285 | ) | |||||||||
Oat Futures Contracts | 21 | Jul 2023 | 381,413 | (1,314 | ) | |||||||||
Soybean Futures Contracts | 24 | Nov 2023 | 1,582,800 | (4,427 | ) | |||||||||
Soybean Meal Futures Contracts | 36 | May 2023 | 1,673,280 | (4,633 | ) | |||||||||
Corn Futures Contracts | 44 | Sep 2023 | 1,269,950 | (6,609 | ) | |||||||||
Low Sulphur Gas Oil Futures Contracts | 13 | May 2023 | 984,425 | (8,871 | ) | |||||||||
$ | 17,330,407 | $ | 283,189 | |||||||||||
Currency Futures Contracts Purchased† | ||||||||||||||
Mexican Peso Futures Contracts | 149 | Jun 2023 | $ | 4,073,660 | $ | 34,722 | ||||||||
Japanese Yen Futures Contracts | 12 | Jun 2023 | 1,142,775 | 20,682 | ||||||||||
British Pound Futures Contracts | 9 | Jun 2023 | 695,081 | 17,962 | ||||||||||
New Zealand Dollar Futures Contracts | 27 | Jun 2023 | 1,688,580 | 12,679 | ||||||||||
Euro FX Futures Contracts | 3 | Jun 2023 | 408,544 | 3,952 | ||||||||||
Canadian Dollar Futures Contracts | 4 | Jun 2023 | 296,300 | 1,056 | ||||||||||
Swiss Franc Futures Contracts | 2 | Jun 2023 | 275,588 | 370 | ||||||||||
$ | 8,580,528 | $ | 91,423 | |||||||||||
Interest Rate Futures Contracts Purchased† | ||||||||||||||
Australian Government 10 Year Bond Futures Contracts | 19 | Jun 2023 | $ | 1,568,427 | $ | 24,730 | ||||||||
Euro - OATS Futures Contracts | 3 | Jun 2023 | 424,856 | 14,530 | ||||||||||
U.S. Treasury Ultra Long Bond Futures Contracts | 5 | Jun 2023 | 708,125 | 6,707 | ||||||||||
Euro - BTP Italian Government Bond Futures Contracts†† | 3 | Jun 2023 | 376,750 | 3,149 | ||||||||||
U.S. Treasury Long Bond Futures Contracts | 3 | Jun 2023 | 394,031 | 2,741 | ||||||||||
Euro - Bund Futures Contracts | 1 | Jun 2023 | 147,673 | 957 | ||||||||||
Canadian Government 10 Year Bond Futures Contracts | 1 | Jun 2023 | 93,271 | 220 | ||||||||||
$ | 3,713,133 | $ | 53,034 | |||||||||||
Commodity Futures Contracts Sold Short† | ||||||||||||||
Euro - Rapeseed Futures Contracts | 28 | Apr 2023 | $ | 722,632 | $ | 115,541 | ||||||||
Euro - Mill Wheat Futures Contracts | 62 | May 2023 | 876,994 | 90,688 | ||||||||||
Lean Hogs Futures Contracts | 27 | Jun 2023 | 987,660 | 86,632 | ||||||||||
Canadian Canola (WCE) Futures Contracts | 110 | May 2023 | 1,250,355 | 86,340 | ||||||||||
Wheat Futures Contracts | 20 | May 2023 | 692,000 | 77,634 | ||||||||||
Soybean Futures Contracts | 18 | Jul 2023 | 1,327,950 | 26,013 | ||||||||||
CME Random Length Lumber Futures Contracts | 18 | May 2023 | 733,986 | 23,751 | ||||||||||
Corn Futures Contracts | 28 | Jul 2023 | 889,000 | 22,466 | ||||||||||
Natural Gas Futures Contracts | 20 | Apr 2023 | 438,800 | 17,469 | ||||||||||
Soybean Meal Futures Contracts | 16 | Jul 2023 | 735,520 | 9,072 | ||||||||||
LME Zinc Futures Contracts | 23 | May 2023 | 1,675,838 | 8,700 | ||||||||||
Natural Gas Futures Contracts | 22 | Jun 2023 | 595,540 | 4,360 |
Managed Futures Strategy Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2023 |
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation (Depreciation)** | ||||||||||
Commodity Futures Contracts Sold Short† (continued) | ||||||||||||||
Gold 100 oz. Futures Contracts | 3 | Jun 2023 | $ | 596,520 | $ | 2,284 | ||||||||
CME Nonfat Dry Milk Futures Contracts | 2 | May 2023 | 103,400 | 1,249 | ||||||||||
LME Nickel Futures Contracts | 1 | May 2023 | 142,500 | 1,071 | ||||||||||
Live Cattle Futures Contracts | 1 | Jun 2023 | 64,820 | 23 | ||||||||||
WTI Crude Futures Contracts | 1 | Apr 2023 | 75,570 | (699 | ) | |||||||||
Hard Red Winter Wheat Futures Contracts | 12 | May 2023 | 526,350 | (8,683 | ) | |||||||||
Palladium Futures Contracts | 3 | Jun 2023 | 439,200 | (12,808 | ) | |||||||||
Red Spring Wheat Futures Contracts | 24 | May 2023 | 1,075,200 | (15,675 | ) | |||||||||
ICE Endex Dutch TTF Natural Gas Futures Contracts | 5 | Apr 2023 | 187,473 | (15,957 | ) | |||||||||
LME Primary Aluminum Futures Contracts | 20 | May 2023 | 1,196,875 | (16,357 | ) | |||||||||
Soybean Oil Futures Contracts | 25 | May 2023 | 838,500 | (17,729 | ) | |||||||||
Phelix DE Base Q Futures Contracts | 1 | Jun 2023 | 320,408 | (18,212 | ) | |||||||||
Cotton #2 Futures Contracts | 10 | May 2023 | 414,150 | (18,600 | ) | |||||||||
Soybean Futures Contracts | 17 | May 2023 | 1,279,250 | (20,021 | ) | |||||||||
Live Cattle Futures Contracts | 19 | Oct 2023 | 1,257,040 | (25,432 | ) | |||||||||
Sugar #11 Futures Contracts | 47 | Apr 2023 | 1,173,872 | (30,917 | ) | |||||||||
UK Natural Gas Futures Contracts | 5 | Apr 2023 | 225,701 | (34,716 | ) | |||||||||
$ | 20,843,104 | $ | 337,487 | |||||||||||
Equity Futures Contracts Sold Short† | ||||||||||||||
CBOE Volatility Index Futures Contracts | 33 | Apr 2023 | $ | 686,400 | $ | 52,328 | ||||||||
SPI 200 Index Futures Contracts | 3 | Jun 2023 | 362,864 | (11,348 | ) | |||||||||
S&P/TSX 60 IX Index Futures Contracts | 5 | Jun 2023 | 894,369 | (22,483 | ) | |||||||||
$ | 1,943,633 | $ | 18,497 | |||||||||||
Currency Futures Contracts Sold Short† | ||||||||||||||
Japanese Yen Futures Contracts | 43 | Jun 2023 | $ | 4,094,944 | $ | 11,850 | ||||||||
Australian Dollar Futures Contracts | 18 | Jun 2023 | 1,206,720 | 8,725 | ||||||||||
Euro FX Futures Contracts | 4 | Jun 2023 | 544,725 | (9,006 | ) | |||||||||
Canadian Dollar Futures Contracts | 14 | Jun 2023 | 1,037,050 | (10,020 | ) | |||||||||
British Pound Futures Contracts | 24 | Jun 2023 | 1,853,550 | (15,879 | ) | |||||||||
Swiss Franc Futures Contracts | 23 | Jun 2023 | 3,169,256 | (57,842 | ) | |||||||||
$ | 11,906,245 | $ | (72,172 | ) | ||||||||||
Interest Rate Futures Contracts Sold Short† | ||||||||||||||
Australian Government 3 Year Bond Futures Contracts | 35 | Jun 2023 | $ | 2,550,816 | $ | 2,875 | ||||||||
Euro – 30 year Bond Futures Contracts | 1 | Jun 2023 | 153,651 | (836 | ) | |||||||||
Long Gilt Futures Contracts†† | 21 | Jun 2023 | 2,696,732 | (2,736 | ) | |||||||||
U.S. Treasury Long Bond Futures Contracts | 1 | Jun 2023 | 131,344 | (6,153 | ) | |||||||||
U.S. Treasury 10 Year Note Futures Contracts | 9 | Jun 2023 | 1,035,422 | (13,612 | ) | |||||||||
U.S. Treasury 5 Year Note Futures Contracts | 23 | Jun 2023 | 2,521,914 | (14,423 | ) | |||||||||
Euro – Bobl Futures Contracts | 12 | Jun 2023 | 1,536,812 | (33,078 | ) | |||||||||
Canadian Government 10 Year Bond Futures Contracts | 17 | Jun 2023 | 1,585,603 | (35,199 | ) | |||||||||
Euro – Schatz Futures Contracts | 41 | Jun 2023 | 4,703,412 | (38,512 | ) | |||||||||
U.S. Treasury 2 Year Note Futures Contracts | 58 | Jun 2023 | 11,982,891 | (47,687 | ) | |||||||||
Euro – Bund Futures Contracts | 13 | Jun 2023 | 1,919,746 | (54,752 | ) | |||||||||
$ | 30,818,343 | $ | (244,113 | ) |
** | Includes cumulative appreciation (depreciation). |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 3. |
†† | Value determined based on Level 2 inputs — See Note 3. |
1 | Affiliated issuer. |
2 | All or a portion of this security is pledged as futures collateral at March 31, 2023. |
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) | March 31, 2023 |
CME — Chicago Mercantile Exchange
ICE — Intercontinental Exchange
See Sector Classification in Other Information section.
The following table summarizes the inputs used to value the Fund's investments at March 31, 2023 (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 | $ | 12,243,358 | $ | — | $ | — | $ | 12,243,358 | ||||||||
U.S. Treasury Bills | — | 5,710,182 | — | 5,710,182 | ||||||||||||
Repurchase Agreements | — | 15,024,600 | — | 15,024,600 | ||||||||||||
Commodity Futures Contracts** | 882,829 | — | — | 882,829 | ||||||||||||
Equity Futures Contracts** | 593,360 | 1,389 | — | 594,749 | ||||||||||||
Currency Futures Contracts** | 111,998 | — | — | 111,998 | ||||||||||||
Interest Rate Futures Contracts** | 52,760 | 3,149 | — | 55,909 | ||||||||||||
Total Assets | $ | 13,884,305 | $ | 20,739,320 | $ | — | $ | 34,623,625 |
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Commodity Futures Contracts** | $ | 262,153 | $ | — | $ | — | $ | 262,153 | ||||||||
Interest Rate Futures Contracts** | 244,252 | 2,736 | — | 246,988 | ||||||||||||
Currency Futures Contracts** | 92,747 | — | — | 92,747 | ||||||||||||
Equity Futures Contracts** | 60,641 | 1,041 | — | 61,682 | ||||||||||||
Total Liabilities | $ | 659,793 | $ | 3,777 | $ | — | $ | 663,570 |
** | 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, 2022, 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/1601445/000182126822000340/gug84768.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the period ended March 31, 2023, in which the company is an affiliated issuer, were as follows:
Security Name | Value 12/31/22 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 03/31/23 | Shares 03/31/23 | Investment Income | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 4,011,215 | $ | – | $ | 1 | $ | – | $ | 28,365 | $ | 4,039,581 | 166,856 | $ | 50,030 | |||||||||||||||||
Guggenheim Strategy Fund III | 5,658,797 | – | – | – | 44,687 | 5,703,484 | 235,195 | 69,966 | ||||||||||||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 2,482,268 | – | – | – | 18,025 | 2,500,293 | 257,497 | 30,346 | ||||||||||||||||||||||||
$ | 12,152,280 | $ | – | $ | 1 | $ | – | $ | 91,077 | $ | 12,243,358 | $ | 150,342 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2023 |
Shares | Value | |||||||
COMMON STOCKS† - 27.0% | ||||||||
Technology - 7.7% | ||||||||
Activision Blizzard, Inc.1 | 19,598 | $ | 1,677,393 | |||||
VMware, Inc. — Class A*,1 | 12,600 | 1,573,110 | ||||||
ForgeRock, Inc. — Class A* | 65,591 | 1,351,174 | ||||||
Tower Semiconductor Ltd.*,1 | 22,123 | 939,564 | ||||||
Sumo Logic, Inc.* | 55,116 | 660,290 | ||||||
Qualtrics International, Inc. — Class A* | 36,508 | 650,938 | ||||||
Cvent Holding Corp.* | 74,286 | 621,036 | ||||||
Total Technology | 7,473,505 | |||||||
Consumer, Non-cyclical - 6.9% | ||||||||
Horizon Therapeutics plc* | 14,874 | 1,623,349 | ||||||
MoneyGram International, Inc.*,1 | 150,982 | 1,573,238 | ||||||
Cardiovascular Systems, Inc.* | 65,828 | 1,307,344 | ||||||
Oak Street Health, Inc.* | 32,259 | 1,247,778 | ||||||
NuVasive, Inc.* | 14,543 | 600,771 | ||||||
Seagen, Inc.* | 1,594 | 322,737 | ||||||
VTRS*,††† | 31,686 | – | ||||||
Total Consumer, Non-cyclical | 6,675,217 | |||||||
Financial - 4.5% | ||||||||
First Horizon Corp.1 | 72,786 | 1,294,135 | ||||||
Indus Realty Trust, Inc. REIT | 18,308 | 1,213,637 | ||||||
Radius Global Infrastructure, Inc. — Class A* | 66,769 | 979,501 | ||||||
Focus Financial Partners, Inc. — Class A* | 12,608 | 653,977 | ||||||
Argo Group International Holdings Ltd. | 5,511 | 161,417 | ||||||
Total Financial | 4,302,667 | |||||||
Consumer, Cyclical - 3.5% | ||||||||
Spirit Airlines, Inc.1 | 59,579 | 1,022,971 | ||||||
TravelCenters of America, Inc.* | 7,760 | 671,240 | ||||||
Univar Solutions, Inc.* | 18,233 | 638,702 | ||||||
iRobot Corp.*,1 | 12,316 | 537,470 | ||||||
Kimball International, Inc. — Class B | 39,487 | 489,639 | ||||||
Total Consumer, Cyclical | 3,360,022 | |||||||
Communications - 1.8% | ||||||||
Maxar Technologies, Inc. | 22,238 | 1,135,472 | ||||||
TEGNA, Inc. | 37,541 | 634,819 | ||||||
Total Communications | 1,770,291 | |||||||
Industrial - 1.8% | ||||||||
Evoqua Water Technologies Corp.* | 26,277 | 1,306,492 | ||||||
Atlas Technical Consultants, Inc.* | 36,120 | 440,303 | ||||||
Total Industrial | 1,746,795 | |||||||
Basic Materials - 0.8% | ||||||||
Diversey Holdings Ltd.* | 99,422 | 804,324 | ||||||
Total Common Stocks | ||||||||
(Cost $26,766,460) | 26,132,821 | |||||||
RIGHTS† - 0.0% | ||||||||
Financial - 0.0% | ||||||||
CBRE Global Real Estate Income Fund* | 1,910 | 59 | ||||||
Consumer, Non-cyclical - 0.0% | ||||||||
Lantheus Holdings, Inc.*,††† | 42,000 | – | ||||||
Alexion Pharmaceuticals, Inc.*,††† | 34,843 | – | ||||||
Johnson & Johnson *,††† | 3,841 | – | ||||||
Total Consumer, Non-cyclical | – | |||||||
Total Rights | ||||||||
(Cost $1) | 59 | |||||||
MUTUAL FUNDS† - 15.5% | ||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class2 | 674,462 | 6,549,029 | ||||||
Guggenheim Strategy Fund II2 | 269,618 | 6,527,454 | ||||||
Guggenheim Strategy Fund III2 | 79,031 | 1,916,508 | ||||||
Total Mutual Funds | ||||||||
(Cost $15,386,814) | 14,992,991 | |||||||
CLOSED-END FUNDS† - 7.5% | ||||||||
Nuveen New Jersey Quality Municipal Income Fund | 16,485 | 193,039 | ||||||
Western Asset Inflation-Linked Opportunities & Income Fund | 21,022 | 192,351 | ||||||
Nuveen Pennsylvania Quality Municipal Income Fund | 16,659 | 190,412 | ||||||
Eaton Vance California Municipal Bond Fund | 21,075 | 190,097 | ||||||
General American Investors Company, Inc. | 4,746 | 184,667 | ||||||
Adams Diversified Equity Fund, Inc. | 11,859 | 184,407 | ||||||
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc. | 40,427 | 182,730 | ||||||
SRH Total Return Fund, Inc. | 14,565 | 178,858 | ||||||
DWS Municipal Income Trust | 19,082 | 169,830 | ||||||
Nuveen AMT-Free Quality Municipal Income Fund | 14,961 | 166,366 | ||||||
MFS Municipal Income Trust | 27,937 | 149,184 | ||||||
BlackRock California Municipal Income Trust | 10,966 | 128,302 | ||||||
Aberdeen Total Dynamic Dividend Fund | 15,221 | 122,986 | ||||||
Invesco Pennsylvania Value Municipal Income Trust | 11,809 | 118,562 | ||||||
Gabelli Healthcare & WellnessRx Trust | 11,488 | 115,914 | ||||||
Voya Infrastructure Industrials and Materials Fund | 11,854 | 114,391 | ||||||
Nuveen New York Quality Municipal Income Fund | 10,161 | 112,177 | ||||||
Gabelli Dividend & Income Trust | 5,389 | 112,037 | ||||||
Highland Global Allocation Fund | 12,177 | 110,080 | ||||||
LMP Capital and Income Fund, Inc. | 8,371 | 102,210 | ||||||
Virtus Convertible & Income Fund II | 32,128 | 96,384 | ||||||
Tekla Life Sciences Investors | 6,294 | 87,675 | ||||||
MFS High Yield Municipal Trust | 25,705 | 82,513 | ||||||
GAMCO Natural Resources Gold & Income Trust | 14,353 | 74,492 | ||||||
Clough Global Equity Fund | 10,717 | 64,945 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2023 |
Shares | Value | |||||||
CLOSED-END FUNDS† - 7.5% (continued) | ||||||||
Tortoise Power and Energy Infrastructure Fund, Inc. | 4,494 | $ | 57,748 | |||||
Mexico Fund, Inc. | 3,336 | 56,779 | ||||||
Ellsworth Growth and Income Fund Ltd. | 6,996 | 56,738 | ||||||
Invesco Trust for Investment Grade New York Municipals | 5,413 | 56,620 | ||||||
BlackRock MuniYield Pennsylvania Quality Fund | 4,633 | 54,391 | ||||||
BlackRock Resources & Commodities Strategy Trust | 5,529 | 52,747 | ||||||
DWS Strategic Municipal Income Trust | 5,907 | 50,091 | ||||||
Neuberger Berman New York Municipal Fund, Inc. | 4,685 | 45,070 | ||||||
Neuberger Berman California Municipal Fund, Inc. | 4,001 | 44,491 | ||||||
Morgan Stanley Emerging Markets Debt Fund, Inc. | 6,867 | 44,223 | ||||||
Federated Hermes Premier Municipal Income Fund | 3,589 | 38,833 | ||||||
Eaton Vance California Municipal Income Trust | 3,740 | 38,260 | ||||||
Korea Fund, Inc. | 1,706 | 37,477 | ||||||
Western Asset Emerging Markets Debt Fund, Inc. | 4,348 | 37,349 | ||||||
Nuveen Real Asset Income and Growth Fund | 3,053 | 35,842 | ||||||
Nuveen Georgia Quality Municipal Income Fund | 3,504 | 35,636 | ||||||
Swiss Helvetia Fund, Inc. | 4,492 | 35,622 | ||||||
BNY Mellon Municipal Income, Inc. | 5,480 | 35,565 | ||||||
Nuveen Credit Strategies Income Fund | 6,444 | 32,929 | ||||||
abrdn Japan Equity Fund, Inc. | 5,463 | 29,883 | ||||||
abrdn Global Dynamic Dividend | 3,135 | 29,250 | ||||||
New Germany Fund, Inc. | 3,107 | 28,243 | ||||||
Western Asset Intermediate Muni Fund, Inc. | 3,517 | 27,808 | ||||||
MFS Investment Grade Municipal Trust | 3,395 | 25,089 | ||||||
Nuveen Municipal High Income Opportunity Fund | 2,107 | 22,756 | ||||||
Eaton Vance Municipal Bond Fund | 2,161 | 22,474 | ||||||
BlackRock MuniYield Quality Fund III, Inc. | 1,970 | 22,340 | ||||||
BlackRock Municipal Income Fund, Inc. | 1,908 | 22,285 | ||||||
Eaton Vance Tax-Managed Global Diversified Equity Income Fund | 2,852 | 22,274 | ||||||
Eaton Vance Tax-Advantaged Global Dividend Income Fund | 1,378 | 22,255 | ||||||
BlackRock MuniHoldings New Jersey Quality Fund, Inc. | 1,940 | 22,213 | ||||||
Nuveen New York AMT-Free Quality Municipal Income Fund | 2,101 | 22,208 | ||||||
Nuveen Municipal Credit Income Fund | 1,854 | 22,155 | ||||||
Nuveen Quality Municipal Income Fund | 1,919 | 22,126 | ||||||
BlackRock MuniYield Quality Fund, Inc. | 1,867 | 22,105 | ||||||
BlackRock Municipal 2030 Target Term Trust | 1,016 | 22,068 | ||||||
Eaton Vance Tax Managed Global Buy Write Opportunities Fund | 2,727 | 22,034 | ||||||
BlackRock MuniHoldings California Quality Fund, Inc. | 1,992 | 22,032 | ||||||
Invesco Value Municipal Income Trust | 1,805 | 22,021 | ||||||
Nuveen California Quality Municipal Income Fund | 1,994 | 21,954 | ||||||
Nuveen AMT-Free Municipal Credit Income Fund | 1,860 | 21,911 | ||||||
BlackRock Enhanced International Dividend Trust | 4,049 | 21,865 | ||||||
Tekla Healthcare Opportunities Fund | 1,161 | 21,780 | ||||||
Tekla Healthcare Investors | 1,227 | 21,657 | ||||||
BlackRock Enhanced Global Dividend Trust | 2,179 | 21,637 | ||||||
BlackRock Floating Rate Income Strategies Fund, Inc. | 1,848 | 21,622 | ||||||
KKR Income Opportunities Fund | 1,960 | 21,521 | ||||||
Nuveen Floating Rate Income Fund/Closed-end Fund3 | 2,605 | 21,361 | ||||||
Nuveen Floating Rate Income Opportunity Fund | 2,662 | 21,349 | ||||||
PGIM Global High Yield Fund, Inc. | 1,937 | 21,249 | ||||||
Flaherty & Crumrine Dynamic Preferred and Income Fund, Inc. | 1,167 | 21,193 | ||||||
BlackRock Municipal Income Trust | 2,075 | 21,186 | ||||||
Saba Capital Income & Opportunities Fund | 2,597 | 21,166 | ||||||
BlackRock Debt Strategies Fund, Inc. | 2,222 | 21,131 | ||||||
BlackRock MuniHoldings Fund, Inc. | 1,741 | 20,979 | ||||||
Nuveen Preferred & Income Opportunities Fund | 3,183 | 20,944 | ||||||
Nuveen Preferred & Income Securities Fund | 3,240 | 20,930 | ||||||
Invesco Advantage Municipal Income Trust II | 2,340 | 20,849 | ||||||
Cohen & Steers Limited Duration Preferred and Income Fund, Inc. | 1,157 | 20,641 | ||||||
Invesco Municipal Trust | 2,056 | 20,395 | ||||||
PGIM High Yield Bond Fund, Inc. | 1,666 | 20,325 | ||||||
Herzfeld Caribbean Basin Fund, Inc. | 5,360 | 20,100 | ||||||
Nuveen California AMT-Free Quality Municipal Income Fund | 1,722 | 20,044 | ||||||
BlackRock Municipal Income Trust II | 1,862 | 19,979 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2023 |
Shares | Value | |||||||
CLOSED-END FUNDS† - 7.5% (continued) | ||||||||
Invesco Quality Municipal Income Trust | 1,993 | $ | 19,890 | |||||
CBRE Global Real Estate Income Fund3 | 3,728 | 19,796 | ||||||
BNY Mellon Strategic Municipal Bond Fund, Inc. | 3,254 | 19,557 | ||||||
BlackRock MuniYield Fund, Inc. | 1,799 | 19,339 | ||||||
RiverNorth Opportunities Fund, Inc. | 1,698 | 19,289 | ||||||
Eaton Vance Tax-Advantaged Global Dividend Opportunities Fund | 867 | 19,273 | ||||||
Nuveen Dow 30sm Dynamic Overwrite Fund | 1,299 | 19,069 | ||||||
Invesco California Value Municipal Income Trust | 1,837 | 18,682 | ||||||
BlackRock MuniVest Fund, Inc. | 2,681 | 18,552 | ||||||
Western Asset High Income Opportunity Fund, Inc. | 4,858 | 18,509 | ||||||
BlackRock MuniAssets Fund, Inc. | 1,754 | 18,470 | ||||||
BlackRock Municipal Income Quality Trust | 1,603 | 18,338 | ||||||
Allspring Income Opportunities | 2,894 | 18,319 | ||||||
New America High Income Fund, Inc. | 2,686 | 18,292 | ||||||
Eaton Vance Floating-Rate Income Trust | 1,567 | 18,036 | ||||||
BNY Mellon Strategic Municipals, Inc. | 2,885 | 18,002 | ||||||
Western Asset Managed Municipals Fund, Inc. | 1,750 | 17,990 | ||||||
Pioneer Municipal High Income Fund Trust | 2,015 | 17,913 | ||||||
Barings Global Short Duration High Yield Fund | 1,377 | 17,763 | ||||||
Blackrock Investment Quality Municipal Trust, Inc. | 1,458 | 17,598 | ||||||
Franklin Limited Duration Income Trust | 2,840 | 17,551 | ||||||
BlackRock MuniYield New York Quality Fund, Inc. | 1,728 | 17,539 | ||||||
Apollo Senior Floating Rate Fund, Inc. | 1,375 | 17,366 | ||||||
Eaton Vance Senior Floating-Rate Trust | 1,507 | 17,074 | ||||||
Apollo Tactical Income Fund, Inc. | 1,397 | 16,932 | ||||||
BlackRock MuniYield Michigan Quality Fund, Inc. | 1,513 | 16,930 | ||||||
BNY Mellon Municipal Bond Infrastructure Fund, Inc. | 1,449 | 16,794 | ||||||
Pioneer Floating Rate Fund, Inc. | 1,890 | 16,443 | ||||||
BlackRock New York Municipal Income Trust | 1,579 | 16,422 | ||||||
Nuveen Senior Income Fund | 3,562 | 16,421 | ||||||
Gabelli Global Small and Mid Capital Value Trust | 1,404 | 16,348 | ||||||
PIMCO California Municipal Income Fund II | 2,628 | 16,294 | ||||||
BlackRock MuniHoldings New York Quality Fund, Inc. | 1,528 | 16,258 | ||||||
Nuveen California Municipal Value Fund, Inc. | 1,832 | 16,140 | ||||||
Miller/Howard High Dividend Fund | 1,601 | 16,090 | ||||||
MFS Intermediate Income Trust | 5,768 | 15,977 | ||||||
MFS Multimarket Income Trust | 3,510 | 15,935 | ||||||
Pioneer High Income Fund, Inc. | 2,398 | 15,899 | ||||||
Pioneer Municipal High Income Advantage Fund, Inc. | 1,925 | 15,843 | ||||||
Putnam Premier Income Trust | 4,450 | 15,842 | ||||||
Nuveen Real Estate Income Fund | 2,119 | 15,829 | ||||||
Eaton Vance New York Municipal Bond Fund | 1,627 | 15,814 | ||||||
abrdn Emerging Markets Equity | 2,949 | 15,807 | ||||||
BlackRock MuniHoldings Quality Fund II, Inc. | 1,572 | 15,783 | ||||||
BNY Mellon High Yield Strategies Fund | 7,201 | 15,626 | ||||||
Eaton Vance Municipal Income 2028 Term Trust | 871 | 15,495 | ||||||
BrandywineGLOBAL Global Income Opportunities Fund, Inc. | 1,928 | 15,347 | ||||||
Nuveen AMT-Free Municipal Value Fund | 1,114 | 15,340 | ||||||
Western Asset Inflation - Linked Securities & Income Fund | 1,767 | 15,285 | ||||||
Flaherty & Crumrine Total Return Fund, Inc. | 1,026 | 15,082 | ||||||
Western Asset Municipal High Income Fund, Inc. | 2,244 | 14,967 | ||||||
Royce Global Value Trust, Inc. | 1,659 | 14,931 | ||||||
Nuveen Global High Income Fund | 1,346 | 14,927 | ||||||
MFS High Income Municipal Trust | 4,055 | 14,801 | ||||||
Nuveen Short Duration Credit Opportunities Fund | 1,247 | 14,627 | ||||||
Western Asset Premier Bond Fund | 1,434 | 14,627 | ||||||
Nuveen New York Municipal Value Fund | 1,671 | 14,579 | ||||||
Neuberger Berman Real Estate Securities Income Fund, Inc. | 4,727 | 14,559 | ||||||
BlackRock MuniVest Fund II, Inc. | 1,326 | 14,255 | ||||||
Nuveen Ohio Quality Municipal Income Fund | 1,114 | 14,159 | ||||||
MFS Government Markets Income Trust | 4,289 | 14,154 | ||||||
John Hancock Income Securities Trust | 1,294 | 14,131 | ||||||
Delaware Investments National Municipal Income Fund | 1,324 | 14,127 | ||||||
European Equity Fund, Inc. | 1,656 | 13,987 | ||||||
Western Asset Municipal Partners Fund, Inc. | 1,150 | 13,915 | ||||||
John Hancock Investors Trust | 1,080 | 13,705 | ||||||
Putnam Master Intermediate Income Trust | 4,268 | 13,572 | ||||||
Allspring Utilities and High I | 1,272 | 13,560 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2023 |
Shares | Value | |||||||
CLOSED-END FUNDS† - 7.5% (continued) | ||||||||
Invesco High Income Trust II | 1,275 | $ | 13,388 | |||||
Nuveen Select Maturities Municipal Fund | 1,438 | 13,273 | ||||||
Pioneer Diversified High Income Fund, Inc. | 1,310 | 13,257 | ||||||
Nuveen Minnesota Quality Municipal Income Fund | 1,088 | 13,165 | ||||||
Nuveen Arizona Quality Municipal Income Fund | 1,151 | 13,006 | ||||||
First Trust Dynamic Europe Equity Income Fund | 1,019 | 12,982 | ||||||
abrdn Australia Equity Fund In | 2,955 | 12,972 | ||||||
PIMCO New York Municipal Income Fund II | 1,678 | 12,971 | ||||||
DTF Tax-Free Income 2028 Term Fund, Inc. | 1,169 | 12,950 | ||||||
Nuveen Massachusetts Quality Municipal Income Fund | 1,216 | 12,938 | ||||||
PIMCO New York Municipal Income Fund III | 1,998 | 12,907 | ||||||
Neuberger Berman Municipal Fund, Inc. | 1,172 | 12,833 | ||||||
Flaherty & Crumrine Preferred and Income Opportunity Fund, Inc. | 1,544 | 12,738 | ||||||
AllianceBernstein National Municipal Income Fund, Inc. | 1,156 | 12,658 | ||||||
Principal Real Estate Income Fund | 1,338 | 12,657 | ||||||
GAMCO Global Gold Natural Resources & Income Trust | 3,446 | 12,613 | ||||||
John Hancock Tax-Advantaged Global Shareholder Yield Fund | 2,561 | 12,575 | ||||||
Western Asset Investment Grade Income Fund, Inc. | 1,052 | 12,561 | ||||||
Templeton Emerging Markets Fund/United States | 1,068 | 12,496 | ||||||
Nuveen Intermediate Duration Municipal Term Fund†† | 955 | 12,415 | ||||||
Voya Emerging Markets High Dividend Equity Fund | 2,310 | 12,405 | ||||||
First Trust Aberdeen Global Opportunity Income Fund | 2,070 | 12,399 | ||||||
BlackRock MuniYield Quality Fund II, Inc. | 1,190 | 12,340 | ||||||
Insight Select Income Fund | 774 | 12,291 | ||||||
Voya Asia Pacific High Dividend Equity Income Fund | 1,913 | 12,262 | ||||||
Eaton Vance Municipal Income Trust | 1,210 | 12,257 | ||||||
Macquarie/First Trust Global Infrastructure/Utilities Dividend & Income Fund | 1,483 | 12,250 | ||||||
Lazard Global Total Return and Income Fund, Inc. | 792 | 12,221 | ||||||
Gabelli Global Utility & Income Trust | 833 | 12,220 | ||||||
Credit Suisse High Yield Bond Fund | 6,417 | 12,128 | ||||||
Virtus Total Return Fund, Inc. | 1,869 | 12,102 | ||||||
Source Capital, Inc. | 319 | 12,055 | ||||||
First Trust Senior Floating Rate Income Fund II | 1,208 | 12,020 | ||||||
Tri-Continental Corp. | 450 | 11,948 | ||||||
First Trust High Income Long/Short Fund | 1,041 | 11,815 | ||||||
Royce Value Trust, Inc. | 848 | 11,507 | ||||||
Bancroft Fund Ltd. | 671 | 11,400 | ||||||
Eaton Vance Senior Income Trust | 2,128 | 11,385 | ||||||
Royce Micro-Capital Trust, Inc. | 1,294 | 11,348 | ||||||
Nuveen Preferred and Income Fund | 657 | 10,847 | ||||||
First Trust Intermediate Duration Preferred & Income Fund | 681 | 10,746 | ||||||
Invesco Municipal Opportunity Trust | 1,008 | 9,889 | ||||||
Flaherty & Crumrine Preferred and Income Securities Fund, Inc. | 713 | 9,868 | ||||||
DoubleLine Income Solutions Fund | 860 | 9,778 | ||||||
Virtus Convertible & Income Fund | 2,907 | 9,768 | ||||||
India Fund, Inc. | 644 | 9,744 | ||||||
BlackRock Credit Allocation Income Trust | 944 | 9,714 | ||||||
BlackRock Corporate High Yield Fund, Inc. | 1,112 | 9,697 | ||||||
Nuveen Municipal Value Fund, Inc. | 1,096 | 9,656 | ||||||
Aberdeen Asia-Pacific Income Fund, Inc. | 3,610 | 9,603 | ||||||
Invesco Senior Income Trust | 2,608 | 9,598 | ||||||
Putnam Municipal Opportunities Trust | 922 | 9,552 | ||||||
Ares Dynamic Credit Allocation Fund, Inc. | 791 | 9,468 | ||||||
Clough Global Opportunities Fund | 1,932 | 9,448 | ||||||
Highland Income Fund | 1,063 | 9,344 | ||||||
abrdn Global Premier Propertie | 2,099 | 8,648 | ||||||
Invesco Trust for Investment Grade Municipals | 814 | 8,091 | ||||||
BlackRock Limited Duration Income Trust | 615 | 8,063 | ||||||
Blackstone Strategic Credit Fund | 752 | 8,009 | ||||||
BlackRock Virginia Municipal Bond Trust | 644 | 7,110 | ||||||
BlackRock Energy and Resources Trust | 583 | 7,089 | ||||||
Nuveen Multi-Asset Income Fund | 599 | 6,912 | ||||||
Neuberger Berman MLP & Energy Income Fund, Inc. | 1,000 | 6,570 | ||||||
NXG Cushing Midstream Energy Fund | 199 | 6,517 | ||||||
Templeton Emerging Markets Income Fund | 1,250 | 6,338 | ||||||
Nuveen Multi-Market Income Fund | 1,039 | 6,031 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2023 |
Shares | Value | |||||||
CLOSED-END FUNDS† - 7.5% (continued) | ||||||||
Templeton Global Income Fund | 1,348 | $ | 5,931 | |||||
Putnam Managed Municipal Income Trust | 860 | 5,272 | ||||||
PIMCO California Municipal Income Fund | 506 | 5,100 | ||||||
BlackRock Enhanced Government Fund, Inc. | 447 | 4,358 | ||||||
First Trust Enhanced Equity Income Fund | 257 | 4,246 | ||||||
Allspring Multi-Sector Income | 353 | 3,230 | ||||||
BlackRock Long-Term Municipal Advantage Trust | 320 | 3,184 | ||||||
Special Opportunities Fund, Inc. | 285 | 3,118 | ||||||
Allspring Global Dividend Oppo | 627 | 2,803 | ||||||
MFS Charter Income Trust | 433 | 2,724 | ||||||
High Income Securities Fund | 418 | 2,717 | ||||||
Western Asset Mortgage Opportunity Fund, Inc. | 245 | 2,560 | ||||||
Nuveen Virginia Quality Municipal Income Fund | 177 | 2,018 | ||||||
Eaton Vance Short Duration Diversified Income Fund | 185 | 1,933 | ||||||
Franklin Universal Trust | 267 | 1,904 | ||||||
Clough Global Dividend and Income Fund | 316 | 1,827 | ||||||
RiverNorth Capital and Income | 85 | 1,312 | ||||||
Nuveen Mortgage and Income Fund | 78 | 1,245 | ||||||
MFS Intermediate High Income Fund | 468 | 786 | ||||||
MFS Special Value Trust | 119 | 501 | ||||||
Nuveen New York Select Tax-Free Income Portfolio | 38 | 458 | ||||||
Nuveen Missouri Quality Municipal Income Fund | 9 | 93 | ||||||
Total Closed-End Funds | ||||||||
(Cost $6,996,863) | 7,167,299 |
Face Amount | ||||||||
U.S. TREASURY BILLS†† - 11.5% | ||||||||
U.S. Treasury Bills | ||||||||
3.36% due 04/11/234,5 | $ | 6,085,000 | 6,078,807 | |||||
4.17% due 04/04/231,5 | 5,100,000 | 5,099,349 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $11,176,973) | 11,178,156 | |||||||
REPURCHASE AGREEMENTS††,6 - 20.8% | ||||||||
J.P. Morgan Securities LLC issued 03/31/23 at 4.80% due 04/03/231 | 11,273,397 | 11,273,397 | ||||||
BofA Securities, Inc. issued 03/31/23 at 4.78% due 04/03/231 | 4,453,929 | 4,453,929 | ||||||
Barclays Capital, Inc. issued 03/31/23 at 4.80% due 04/03/231 | 4,453,929 | 4,453,929 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $20,181,255) | 20,181,255 |
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,7 - 0.0% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund - Class X, 4.65%8 | 23,581 | 23,581 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $23,581) | 23,581 | |||||||
Total Investments - 82.3% | ||||||||
(Cost $80,531,947) | $ | 79,676,162 | ||||||
COMMON STOCKS SOLD SHORT† - (3.2)% | ||||||||
Financial - 0.0% | ||||||||
Columbia Banking System, Inc. | 1 | (21 | ) | |||||
Consumer, Cyclical - (0.1)% | ||||||||
HNI Corp. | 5,137 | (143,014 | ) | |||||
Consumer, Non-cyclical - (0.6)% | ||||||||
Globus Medical, Inc. — Class A* | 10,907 | (617,772 | ) | |||||
Technology - (1.1)% | ||||||||
Broadcom, Inc. | 1,588 | (1,018,766 | ) | |||||
Industrial - (1.4)% | ||||||||
Xylem, Inc. | 12,613 | (1,320,581 | ) | |||||
Total Common Stocks Sold Short | ||||||||
(Proceeds $2,859,191) | (3,100,154 | ) | ||||||
EXCHANGE-TRADED FUNDS SOLD SHORT† - (7.3)% | ||||||||
SPDR Gold Shares — Class D | 15 | (2,748 | ) | |||||
iShares Mortgage Real Estate ETF | 180 | (3,931 | ) | |||||
iShares MSCI All Country Asia ex Japan ETF | 132 | (8,959 | ) | |||||
iShares 7-10 Year Treasury Bond ETF | 100 | (9,912 | ) | |||||
iShares Agency Bond ETF | 130 | (14,070 | ) | |||||
iShares MBS ETF | 158 | (14,967 | ) | |||||
Utilities Select Sector SPDR Fund | 333 | (22,541 | ) | |||||
VanEck Gold Miners ETF | 725 | (23,454 | ) | |||||
iShares MSCI Emerging Markets ETF | 635 | (25,057 | ) | |||||
Energy Select Sector SPDR Fund | 321 | (26,588 | ) | |||||
iShares Latin America 40 ETF | 1,276 | (30,458 | ) | |||||
iShares U.S. Real Estate ETF | 478 | (40,582 | ) | |||||
SPDR S&P Biotech ETF | 544 | (41,458 | ) | |||||
Materials Select Sector SPDR Fund | 540 | (43,556 | ) | |||||
iShares Preferred & Income Securities ETF | 1,881 | (58,725 | ) | |||||
iShares Russell 1000 Growth ETF | 378 | (92,357 | ) | |||||
iShares Core High Dividend ETF | 957 | (97,289 | ) | |||||
Health Care Select Sector SPDR Fund | 1,008 | (130,496 | ) | |||||
iShares Floating Rate Bond ETF | 2,643 | (133,181 | ) | |||||
iShares TIPS Bond ETF | 1,398 | (154,129 | ) | |||||
VanEck High Yield Muni ETF | 3,344 | (173,018 | ) | |||||
iShares JP Morgan USD Emerging Markets Bond ETF | 2,216 | (191,196 | ) | |||||
SPDR Bloomberg Convertible Securities ETF | 3,385 | (227,032 | ) | |||||
iShares Russell 2000 Index ETF | 1,312 | (234,061 | ) | |||||
SPDR Nuveen Bloomberg High Yield Municipal Bond ETF | 12,462 | (312,048 | ) | |||||
iShares National Muni Bond ETF | 3,713 | (400,039 | ) |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2023 |
Shares | Value | |||||||
EXCHANGE-TRADED FUNDS SOLD SHORT† - (7.3)% (continued) | ||||||||
iShares Russell 1000 Value ETF | 2,776 | $ | (422,674 | ) | ||||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 4,147 | (454,553 | ) | |||||
Invesco Senior Loan ETF | 23,446 | (487,677 | ) | |||||
iShares MSCI EAFE ETF | 7,359 | (526,316 | ) | |||||
Schwab U.S. Aggregate Bond ETF | 13,210 | (619,681 | ) | |||||
iShares iBoxx High Yield Corporate Bond ETF | 8,694 | (656,832 | ) | |||||
SPDR S&P 500 ETF Trust | 1,683 | (689,003 | ) | |||||
SPDR Nuveen Bloomberg Municipal Bond ETF | 14,818 | (693,779 | ) | |||||
Total Exchange-Traded Funds Sold Short | ||||||||
(Proceeds $7,533,012) | (7,062,367 | ) | ||||||
Total Securities Sold Short - (10.5)% | ||||||||
(Proceeds $10,392,203) | $ | (10,162,521 | ) | |||||
Other Assets & Liabilities, net - 28.2% | 27,349,255 | |||||||
Total Net Assets - 100.0% | $ | 96,862,896 | ||||||
Futures Contracts | ||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation (Depreciation)** | ||||||||||
Currency Futures Contracts Purchased† | ||||||||||||||
British Pound Futures Contracts | 47 | Jun 2023 | $ | 3,629,868 | $ | 76,588 | ||||||||
Japanese Yen Futures Contracts | 72 | Jun 2023 | 6,856,650 | 65,619 | ||||||||||
New Zealand Dollar Futures Contracts | 66 | Jun 2023 | 4,127,640 | 47,121 | ||||||||||
Euro FX Futures Contracts | 16 | Jun 2023 | 2,178,900 | 20,837 | ||||||||||
$ | 16,793,058 | $ | 210,165 | |||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||
S&P 500 Index Mini Futures Contracts | 14 | Jun 2023 | $ | 2,896,425 | $ | 58,023 | ||||||||
Euro STOXX 50 Index Futures Contracts | 17 | Jun 2023 | 786,829 | 48,787 | ||||||||||
DAX Index Futures Contracts | 2 | Jun 2023 | 857,600 | 47,946 | ||||||||||
Tokyo Stock Price Index Futures Contracts | 13 | Jun 2023 | 1,974,993 | 45,932 | ||||||||||
FTSE 100 Index Futures Contracts | 7 | Jun 2023 | 660,258 | 27,476 | ||||||||||
Russell 2000 Index Mini Futures Contracts | 21 | Jun 2023 | 1,904,070 | 23,521 | ||||||||||
OMX Stockholm 30 Index Futures Contracts†† | 34 | Apr 2023 | 729,088 | 20,066 | ||||||||||
CAC 40 10 Euro Index Futures Contracts | 11 | Apr 2023 | 877,183 | 13,961 | ||||||||||
Amsterdam Index Futures Contracts | 5 | Apr 2023 | 822,068 | 13,543 | ||||||||||
Nikkei 225 (OSE) Index Futures Contracts | 1 | Jun 2023 | 212,481 | 9,940 | ||||||||||
NASDAQ-100 Index Mini Futures Contracts | 10 | Jun 2023 | 2,660,150 | (232 | ) | |||||||||
IBEX 35 Index Futures Contracts†† | 8 | Apr 2023 | 798,110 | (383 | ) | |||||||||
Dow Jones Industrial Average Index Mini Futures Contracts | 26 | Jun 2023 | 4,349,540 | (529 | ) | |||||||||
FTSE MIB Index Futures Contracts | 5 | Jun 2023 | 723,934 | (2,901 | ) | |||||||||
SPI 200 Index Futures Contracts | 16 | Jun 2023 | 1,935,277 | (13,594 | ) | |||||||||
CBOE Volatility Index Futures Contracts | 193 | Aug 2023 | 4,574,100 | (87,787 | ) | |||||||||
CBOE Volatility Index Futures Contracts | 276 | Sep 2023 | 6,624,000 | (95,730 | ) | |||||||||
$ | 33,386,106 | $ | 108,039 | |||||||||||
Commodity Futures Contracts Purchased† | ||||||||||||||
Sugar #11 Futures Contracts | 58 | Apr 2023 | $ | 1,448,608 | $ | 164,369 | ||||||||
Cocoa Futures Contracts | 43 | May 2023 | 1,260,330 | 81,451 | ||||||||||
Live Cattle Futures Contracts | 87 | Jun 2023 | 5,639,340 | 74,679 | ||||||||||
Gasoline RBOB Futures Contracts | 4 | Apr 2023 | 450,744 | 44,359 | ||||||||||
Soybean Oil Futures Contracts | 84 | Dec 2023 | 2,738,736 | 42,261 | ||||||||||
NY Harbor ULSD Futures Contracts | 6 | Apr 2023 | 658,325 | 24,231 | ||||||||||
Soybean Futures Contracts | 19 | May 2023 | 1,429,750 | 14,212 | ||||||||||
Corn Futures Contracts | 21 | May 2023 | 691,425 | 8,463 | ||||||||||
Natural Gas Futures Contracts | 38 | Apr 2023 | 833,720 | 5,293 | ||||||||||
Gold 100 oz. Futures Contracts | 5 | Jun 2023 | 994,200 | 4,628 | ||||||||||
WTI Crude Futures Contracts | 1 | Apr 2023 | 75,570 | 2,427 | ||||||||||
Brent Crude Futures Contracts | 1 | Apr 2023 | 79,790 | 1,613 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2023 |
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation (Depreciation)** | ||||||||||
Commodity Futures Contracts Purchased† (continued) | ||||||||||||||
LME Nickel Futures Contracts | 1 | May 2023 | $ | 142,500 | $ | (1,098 | ) | |||||||
Cattle Feeder Futures Contracts | 29 | May 2023 | 2,975,400 | (2,682 | ) | |||||||||
Coffee 'C' Futures Contracts | 1 | May 2023 | 63,938 | (3,678 | ) | |||||||||
Soybean Meal Futures Contracts | 31 | May 2023 | 1,440,880 | (20,673 | ) | |||||||||
Soybean Meal Futures Contracts | 70 | Dec 2023 | 2,920,400 | (31,168 | ) | |||||||||
Soybean Futures Contracts | 67 | Nov 2023 | 4,418,650 | (165,942 | ) | |||||||||
Corn Futures Contracts | 121 | Sep 2023 | 3,492,363 | (167,232 | ) | |||||||||
$ | 31,754,669 | $ | 75,513 | |||||||||||
Interest Rate Futures Contracts Purchased† | ||||||||||||||
Euro - OATS Futures Contracts | 6 | Jun 2023 | $ | 849,712 | $ | 29,682 | ||||||||
Australian Government 10 Year Bond Futures Contracts | 21 | Jun 2023 | 1,733,525 | 14,065 | ||||||||||
Euro - BTP Italian Government Bond Futures Contracts†† | 5 | Jun 2023 | 627,916 | 6,451 | ||||||||||
Canadian Government 10 Year Bond Futures Contracts | 17 | Jun 2023 | 1,585,603 | 3,910 | ||||||||||
$ | 4,796,756 | $ | 54,108 | |||||||||||
Equity Futures Contracts Sold Short† | ||||||||||||||
CBOE Volatility Index Futures Contracts | 244 | Apr 2023 | $ | 5,075,200 | $ | 450,763 | ||||||||
S&P/TSX 60 IX Index Futures Contracts | 2 | Jun 2023 | 357,748 | (9,618 | ) | |||||||||
$ | 5,432,948 | $ | 441,145 | |||||||||||
Commodity Futures Contracts Sold Short† | ||||||||||||||
Wheat Futures Contracts | 40 | May 2023 | $ | 1,384,000 | $ | 163,805 | ||||||||
Lean Hogs Futures Contracts | 30 | Jun 2023 | 1,097,400 | 82,365 | ||||||||||
Corn Futures Contracts | 78 | Jul 2023 | 2,476,500 | 80,426 | ||||||||||
Soybean Futures Contracts | 51 | Jul 2023 | 3,762,525 | 68,674 | ||||||||||
Soybean Meal Futures Contracts | 43 | Jul 2023 | 1,976,710 | 29,281 | ||||||||||
Cotton #2 Futures Contracts | 18 | May 2023 | 745,470 | 28,473 | ||||||||||
Natural Gas Futures Contracts | 62 | Jun 2023 | 1,678,340 | 9,922 | ||||||||||
LME Zinc Futures Contracts | 7 | May 2023 | 510,038 | 9,560 | ||||||||||
Hard Red Winter Wheat Futures Contracts | 3 | May 2023 | 131,587 | 1,504 | ||||||||||
LME Lead Futures Contracts | 3 | May 2023 | 157,909 | (1,186 | ) | |||||||||
LME Primary Aluminum Futures Contracts | 6 | May 2023 | 359,063 | (20,105 | ) | |||||||||
Soybean Oil Futures Contracts | 67 | May 2023 | 2,247,180 | (34,173 | ) | |||||||||
Live Cattle Futures Contracts | 52 | Oct 2023 | 3,440,320 | (105,296 | ) | |||||||||
$ | 19,967,042 | $ | 313,250 | |||||||||||
Interest Rate Futures Contracts Sold Short† | ||||||||||||||
Long Gilt Futures Contracts†† | 55 | Jun 2023 | $ | 7,062,869 | $ | 9,827 | ||||||||
U.S. Treasury 10 Year Note Futures Contracts | 3 | Jun 2023 | 345,141 | (401 | ) | |||||||||
Euro - Bund Futures Contracts | 2 | Jun 2023 | 295,346 | (600 | ) | |||||||||
U.S. Treasury Long Bond Futures Contracts | 11 | Jun 2023 | 1,444,781 | (2,258 | ) | |||||||||
Euro - 30 year Bond Futures Contracts | 5 | Jun 2023 | 768,254 | (4,180 | ) | |||||||||
U.S. Treasury Ultra Long Bond Futures Contracts | 9 | Jun 2023 | 1,274,625 | (4,843 | ) | |||||||||
$ | 11,191,016 | $ | (2,455 | ) | ||||||||||
Currency Futures Contracts Sold Short† | ||||||||||||||
Australian Dollar Futures Contracts | 70 | Jun 2023 | $ | 4,692,800 | $ | 31,675 | ||||||||
Canadian Dollar Futures Contracts | 36 | Jun 2023 | 2,666,700 | (26,395 | ) | |||||||||
Swiss Franc Futures Contracts | 139 | Jun 2023 | 19,153,331 | (297,405 | ) | |||||||||
$ | 26,512,831 | $ | (292,125 | ) |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2023 |
Custom Basket Swap Agreements | ||||||||||||||||||
Counterparty | Reference Obligation | Type | Financing Rate | Payment Frequency | Maturity Date | Notional Amount | Value and Unrealized Appreciation | |||||||||||
OTC Custom Basket Swap Agreements†† | ||||||||||||||||||
Goldman Sachs International | GS Long/Short Equity Custom Basket | Pay | 5.28% (Federal Funds Rate + 0.45%) | At Maturity | 05/06/24 | $ | 12,128,934 | $ | 367,461 | |||||||||
Morgan Stanley Capital Services LLC | MS Long/Short Equity Custom Basket | Pay | 5.23% (Federal Funds Rate + 0.40%) | At Maturity | 08/31/23 | 12,128,971 | 363,855 | |||||||||||
Morgan Stanley Capital Services LLC | MS Equity Market Neutral Custom Basket | Pay | 5.23% (Federal Funds Rate + 0.40%) | At Maturity | 08/31/23 | 13,778,372 | 113,491 | |||||||||||
Goldman Sachs International | GS Equity Market Neutral Custom Basket | Pay | 5.28% (Federal Funds Rate + 0.45%) | At Maturity | 05/06/24 | 13,778,382 | 94,902 | |||||||||||
$ | 51,814,659 | $ | 939,709 | |||||||||||||||
OTC Custom Basket Swap Agreements Sold Short†† | ||||||||||||||||||
Morgan Stanley Capital Services LLC | MS Equity Market Neutral Custom Basket | Receive | 4.53% (Federal Funds Rate - 0.30%) | At Maturity | 08/31/23 | $ | 13,410,753 | $ | 2,700,379 | |||||||||
Goldman Sachs International | GS Equity Market Neutral Custom Basket | Receive | 4.61% (Federal Funds Rate - 0.22%) | At Maturity | 05/06/24 | 13,410,762 | 2,678,930 | |||||||||||
Goldman Sachs International | GS Long/Short Equity Custom Basket | Receive | 4.63% (Federal Funds Rate - 0.20%) | At Maturity | 05/06/24 | 8,631,848 | 511,510 | |||||||||||
Morgan Stanley Capital Services LLC | MS Long/Short Equity Custom Basket | Receive | 4.53% (Federal Funds Rate - 0.30%) | At Maturity | 08/31/23 | 8,561,137 | 507,526 | |||||||||||
$ | 44,014,500 | $ | 6,398,345 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2023 |
GS LONG/SHORT EQUITY LONG CUSTOM BASKET | ||||||||||||
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
Communications | ||||||||||||
Alphabet, Inc. — Class C | 1,406 | 1.20 | % | $ | 16,975 | |||||||
Arista Networks, Inc. | 554 | 0.77 | % | 15,269 | ||||||||
Cisco Systems, Inc. | 2,278 | 0.98 | % | 9,137 | ||||||||
VeriSign, Inc. | 670 | 1.16 | % | 7,718 | ||||||||
T-Mobile US, Inc. | 188 | 0.22 | % | 2,652 | ||||||||
A10 Networks, Inc. | 3,554 | 0.45 | % | 1,380 | ||||||||
Extreme Networks, Inc. | 2,506 | 0.40 | % | (357 | ) | |||||||
Viavi Solutions, Inc. | 2,706 | 0.24 | % | (1,480 | ) | |||||||
Verizon Communications, Inc. | 3,496 | 1.12 | % | (2,137 | ) | |||||||
Total Communications | 49,157 | |||||||||||
Consumer, Non-cyclical | ||||||||||||
John B Sanfilippo & Son, Inc. | 1,447 | 1.15 | % | 26,203 | ||||||||
Perdoceo Education Corp. | 9,315 | 1.03 | % | 24,563 | ||||||||
Hologic, Inc. | 1,530 | 1.02 | % | 20,219 | ||||||||
Vertex Pharmaceuticals, Inc. | 254 | 0.66 | % | 18,376 | ||||||||
Amphastar Pharmaceuticals, Inc. | 721 | 0.22 | % | 13,114 | ||||||||
Inter Parfums, Inc. | 256 | 0.30 | % | 11,141 | ||||||||
General Mills, Inc. | 1,691 | 1.18 | % | 10,302 | ||||||||
Exelixis, Inc. | 4,234 | 0.68 | % | 10,164 | ||||||||
Bristol-Myers Squibb Co. | 1,672 | 0.96 | % | 8,670 | ||||||||
IDEXX Laboratories, Inc. | 93 | 0.38 | % | 7,345 | ||||||||
Kimberly-Clark Corp. | 827 | 0.92 | % | 6,412 | ||||||||
Amgen, Inc. | 492 | 0.98 | % | 3,284 | ||||||||
USANA Health Sciences, Inc. | 1,677 | 0.87 | % | 1,627 | ||||||||
Kellogg Co. | 796 | 0.44 | % | 1,134 | ||||||||
United Therapeutics Corp. | 213 | 0.39 | % | 916 | ||||||||
Prestige Consumer Healthcare, Inc. | 533 | 0.28 | % | 538 | ||||||||
Johnson & Johnson | 337 | 0.43 | % | 529 | ||||||||
EVERTEC, Inc. | 3,585 | 1.00 | % | 509 | ||||||||
Grand Canyon Education, Inc. | 254 | 0.24 | % | 102 | ||||||||
ResMed, Inc. | 122 | 0.22 | % | (53 | ) | |||||||
Premier, Inc. — Class A | 1,428 | 0.38 | % | (253 | ) | |||||||
Ionis Pharmaceuticals, Inc. | 850 | 0.25 | % | (640 | ) | |||||||
Triton International Ltd. | 1,495 | 0.78 | % | (672 | ) | |||||||
Philip Morris International, Inc. | 668 | 0.54 | % | (1,115 | ) | |||||||
Incyte Corp. | 1,497 | 0.89 | % | (1,135 | ) | |||||||
Acadia Healthcare Company, Inc. | 461 | 0.27 | % | (1,173 | ) | |||||||
Neurocrine Biosciences, Inc. | 418 | 0.35 | % | (1,190 | ) | |||||||
Ironwood Pharmaceuticals, Inc. — Class A | 8,647 | 0.75 | % | (1,259 | ) | |||||||
Quest Diagnostics, Inc. | 190 | 0.22 | % | (1,454 | ) | |||||||
Gilead Sciences, Inc. | 707 | 0.48 | % | (2,429 | ) | |||||||
Organon & Co. | 2,084 | 0.40 | % | (2,494 | ) | |||||||
Quanex Building Products Corp. | 2,435 | 0.43 | % | (2,578 | ) | |||||||
Hackett Group, Inc. | 3,186 | 0.49 | % | (2,635 | ) | |||||||
Corcept Therapeutics, Inc. | 1,714 | 0.31 | % | (2,805 | ) | |||||||
Fulgent Genetics, Inc. | 1,267 | 0.33 | % | (3,066 | ) | |||||||
Pfizer, Inc. | 1,338 | 0.45 | % | (3,104 | ) | |||||||
Altria Group, Inc. | 1,672 | 0.62 | % | (3,345 | ) | |||||||
Waters Corp. | 101 | 0.26 | % | (3,442 | ) | |||||||
Innoviva, Inc. | 5,321 | 0.49 | % | (4,710 | ) | |||||||
Merck & Company, Inc. | 1,083 | 0.95 | % | (7,244 | ) | |||||||
Abbott Laboratories | 1,288 | 1.08 | % | (11,084 | ) | |||||||
Eagle Pharmaceuticals, Inc. | 2,138 | 0.50 | % | (13,660 | ) | |||||||
Royalty Pharma plc — Class A | 2,485 | 0.74 | % | (16,701 | ) | |||||||
Total Consumer, Non-cyclical | 76,907 | |||||||||||
Industrial | ||||||||||||
Standex International Corp. | 1,087 | 1.10 | % | 34,916 | ||||||||
Vishay Intertechnology, Inc. | 5,001 | 0.93 | % | 28,360 | ||||||||
Dorian LPG Ltd. | 2,737 | 0.45 | % | 17,822 | ||||||||
Snap-on, Inc. | 461 | 0.94 | % | 17,334 | ||||||||
Advanced Energy Industries, Inc. | 1,075 | 0.87 | % | 16,411 | ||||||||
Eagle Materials, Inc. | 579 | 0.70 | % | 13,686 | ||||||||
Donaldson Company, Inc. | 1,745 | 0.94 | % | 12,421 | ||||||||
Mueller Industries, Inc. | 1,019 | 0.62 | % | 11,466 | ||||||||
Graco, Inc. | 1,861 | 1.11 | % | 7,391 | ||||||||
PGT Innovations, Inc. | 1,441 | 0.30 | % | 4,927 | ||||||||
Illinois Tool Works, Inc. | 562 | 1.12 | % | 3,467 | ||||||||
A O Smith Corp. | 972 | 0.55 | % | 2,631 | ||||||||
Louisiana-Pacific Corp. | 1,032 | 0.46 | % | 1,811 | ||||||||
Acuity Brands, Inc. | 449 | 0.68 | % | 1,116 | ||||||||
Otis Worldwide Corp. | 732 | 0.51 | % | 731 | ||||||||
Albany International Corp. — Class A | 401 | 0.30 | % | 247 | ||||||||
Lindsay Corp. | 205 | 0.26 | % | (1,189 | ) | |||||||
GrafTech International Ltd. | 4,643 | 0.19 | % | (1,463 | ) | |||||||
Simpson Manufacturing Company, Inc. | 670 | 0.61 | % | (1,482 | ) | |||||||
Lennox International, Inc. | 221 | 0.46 | % | (2,571 | ) | |||||||
Packaging Corporation of America | 914 | 1.05 | % | (3,025 | ) | |||||||
Timken Co. | 457 | 0.31 | % | (3,056 | ) | |||||||
ITT, Inc. | 502 | 0.36 | % | (3,605 | ) | |||||||
Masco Corp. | 848 | 0.35 | % | (3,628 | ) | |||||||
Sturm Ruger & Company, Inc. | 2,069 | 0.98 | % | (6,955 | ) | |||||||
3M Co. | 372 | 0.32 | % | (7,358 | ) | |||||||
Sealed Air Corp. | 1,048 | 0.40 | % | (7,544 | ) | |||||||
Total Industrial | 132,861 | |||||||||||
Basic Materials | ||||||||||||
NewMarket Corp. | 178 | 0.54 | % | 11,500 | ||||||||
Olin Corp. | 1,032 | 0.47 | % | 341 | ||||||||
Huntsman Corp. | 2,423 | 0.55 | % | (1,829 | ) | |||||||
AdvanSix, Inc. | 1,007 | 0.32 | % | (2,017 | ) | |||||||
Total Basic Materials | 7,995 | |||||||||||
Consumer, Cyclical | ||||||||||||
Allison Transmission Holdings, Inc. | 2,758 | 1.03 | % | 20,176 | ||||||||
Boyd Gaming Corp. | 2,040 | 1.08 | % | 15,679 | ||||||||
GMS, Inc. | 1,025 | 0.49 | % | 13,401 | ||||||||
Brunswick Corp. | 1,389 | 0.94 | % | 10,169 | ||||||||
Darden Restaurants, Inc. | 786 | 1.01 | % | 8,788 | ||||||||
McDonald's Corp. | 498 | 1.14 | % | 7,963 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2023 |
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
Oxford Industries, Inc. | 748 | 0.65 | % | $ | 5,812 | |||||||
DR Horton, Inc. | 1,106 | 0.89 | % | 5,748 | ||||||||
Haverty Furniture Companies, Inc. | 1,428 | 0.38 | % | 5,201 | ||||||||
Steven Madden Ltd. | 1,823 | 0.54 | % | 4,826 | ||||||||
Methode Electronics, Inc. | 835 | 0.30 | % | 4,536 | ||||||||
PulteGroup, Inc. | 1,242 | 0.60 | % | 3,799 | ||||||||
KB Home | 1,170 | 0.39 | % | 2,641 | ||||||||
Taylor Morrison Home Corp. — Class A | 1,375 | 0.43 | % | 2,401 | ||||||||
WW Grainger, Inc. | 83 | 0.47 | % | 1,716 | ||||||||
Yum! Brands, Inc. | 1,017 | 1.11 | % | 1,539 | ||||||||
O'Reilly Automotive, Inc. | 68 | 0.48 | % | 1,096 | ||||||||
MDC Holdings, Inc. | 2,100 | 0.67 | % | 1,001 | ||||||||
Ethan Allen Interiors, Inc. | 1,112 | 0.25 | % | 637 | ||||||||
MSC Industrial Direct Company, Inc. — Class A | 994 | 0.69 | % | (497 | ) | |||||||
Murphy USA, Inc. | 366 | 0.78 | % | (1,695 | ) | |||||||
Gentex Corp. | 3,998 | 0.92 | % | (3,215 | ) | |||||||
BlueLinx Holdings, Inc. | 203 | 0.11 | % | (4,168 | ) | |||||||
Buckle, Inc. | 1,768 | 0.52 | % | (5,449 | ) | |||||||
Total Consumer, Cyclical | 102,105 | |||||||||||
Financial | ||||||||||||
Evercore, Inc. — Class A | 984 | 0.94 | % | 11,010 | ||||||||
S&T Bancorp, Inc. | 2,090 | 0.54 | % | 6,682 | ||||||||
Virtus Investment Partners, Inc. | 232 | 0.36 | % | 5,220 | ||||||||
NMI Holdings, Inc. — Class A | 3,159 | 0.58 | % | 2,765 | ||||||||
Hilltop Holdings, Inc. | 1,338 | 0.33 | % | 1,750 | ||||||||
Mastercard, Inc. — Class A | 256 | 0.77 | % | 841 | ||||||||
Federated Hermes, Inc. — Class B | 1,112 | 0.37 | % | 457 | ||||||||
Radian Group, Inc. | 3,558 | 0.65 | % | 388 | ||||||||
Raymond James Financial, Inc. | 1 | 0.00 | % | 3 | ||||||||
International Bancshares Corp. | 775 | 0.27 | % | (724 | ) | |||||||
Central Pacific Financial Corp. | 546 | 0.08 | % | (1,224 | ) | |||||||
TowneBank | 2,582 | 0.57 | % | (2,251 | ) | |||||||
Visa, Inc. — Class A | 602 | 1.12 | % | (3,081 | ) | |||||||
Janus Henderson Group plc | 1,660 | 0.36 | % | (3,121 | ) | |||||||
BOK Financial Corp. | 182 | 0.13 | % | (3,461 | ) | |||||||
Marcus & Millichap, Inc. | 1,102 | 0.29 | % | (4,600 | ) | |||||||
MGIC Investment Corp. | 8,317 | 0.92 | % | (4,841 | ) | |||||||
Renasant Corp. | 2,129 | 0.54 | % | (5,959 | ) | |||||||
Essent Group Ltd. | 1,765 | 0.58 | % | (6,703 | ) | |||||||
Stewart Information Services Corp. | 1,158 | 0.39 | % | (10,948 | ) | |||||||
Bank of New York Mellon Corp. | 1,854 | 0.69 | % | (11,618 | ) | |||||||
Southside Bancshares, Inc. | 1,774 | 0.49 | % | (11,824 | ) | |||||||
Mr Cooper Group, Inc. | 1,805 | 0.61 | % | (12,141 | ) | |||||||
Preferred Bank/Los Angeles CA | 1,123 | 0.51 | % | (13,592 | ) | |||||||
FNB Corp. | 5,441 | 0.52 | % | (15,803 | ) | |||||||
FB Financial Corp. | 2,251 | 0.58 | % | (17,023 | ) | |||||||
Hope Bancorp, Inc. | 5,513 | 0.45 | % | (19,275 | ) | |||||||
Ameris Bancorp | 1,615 | 0.49 | % | (20,477 | ) | |||||||
Total Financial | (139,550 | ) | ||||||||||
Technology | ||||||||||||
Cirrus Logic, Inc. | 1,063 | 0.96 | % | 42,962 | ||||||||
Diodes, Inc. | 546 | 0.42 | % | 11,713 | ||||||||
Teradata Corp. | 1,364 | 0.45 | % | 8,423 | ||||||||
Analog Devices, Inc. | 713 | 1.16 | % | 8,385 | ||||||||
NetApp, Inc. | 542 | 0.29 | % | 6,336 | ||||||||
Avid Technology, Inc. | 1,590 | 0.42 | % | 5,345 | ||||||||
QUALCOMM, Inc. | 676 | 0.71 | % | 4,991 | ||||||||
Kulicke & Soffa Industries, Inc. | 724 | 0.31 | % | 3,571 | ||||||||
Veeco Instruments, Inc. | 1,637 | 0.29 | % | 3,137 | ||||||||
ON Semiconductor Corp. | 684 | 0.46 | % | 2,825 | ||||||||
Microchip Technology, Inc. | 1,493 | 1.03 | % | (155 | ) | |||||||
Cognizant Technology Solutions Corp. — Class A | 562 | 0.28 | % | (925 | ) | |||||||
Silicon Laboratories, Inc. | 198 | 0.29 | % | (975 | ) | |||||||
Seagate Technology Holdings plc | 473 | 0.26 | % | (2,269 | ) | |||||||
Dropbox, Inc. — Class A | 3,756 | 0.67 | % | (3,706 | ) | |||||||
Total Technology | 89,658 | |||||||||||
Energy | ||||||||||||
Marathon Petroleum Corp. | 705 | 0.78 | % | 26,197 | ||||||||
Exxon Mobil Corp. | 1,189 | 1.07 | % | 13,646 | ||||||||
Valero Energy Corp. | 502 | 0.58 | % | 10,689 | ||||||||
Antero Midstream Corp. | 10,764 | 0.93 | % | 4,673 | ||||||||
Magnolia Oil & Gas Corp. — Class A | 1,350 | 0.24 | % | (323 | ) | |||||||
REX American Resources Corp. | 1,383 | 0.33 | % | (438 | ) | |||||||
Kinder Morgan, Inc. | 6,392 | 0.92 | % | (747 | ) | |||||||
ONEOK, Inc. | 506 | 0.27 | % | (2,106 | ) | |||||||
Occidental Petroleum Corp. | 521 | 0.27 | % | (3,502 | ) | |||||||
DT Midstream, Inc. | 1,321 | 0.54 | % | (6,816 | ) | |||||||
Total Energy | 41,273 | |||||||||||
Utilities | ||||||||||||
MGE Energy, Inc. | 1,877 | 1.19 | % | 9,468 | ||||||||
Chesapeake Utilities Corp. | 544 | 0.57 | % | 6,863 | ||||||||
ONE Gas, Inc. | 1,633 | 1.07 | % | 6,534 | ||||||||
National Fuel Gas Co. | 1,244 | 0.59 | % | (2,580 | ) | |||||||
OGE Energy Corp. | 3,748 | 1.15 | % | (5,621 | ) | |||||||
Clearway Energy, Inc. — Class C | 3,496 | 0.90 | % | (7,609 | ) | |||||||
Total Utilities | 7,055 | |||||||||||
Total GS Long/Short Equity Long Custom Basket | $ | 367,461 |
GS LONG/SHORT EQUITY SHORT CUSTOM BASKET | ||||||||||||
Consumer, Non-cyclical | ||||||||||||
Viad Corp. | 1,424 | (0.34) | % | 31,601 | ||||||||
Equifax, Inc. | 546 | (1.28) | % | 14,378 | ||||||||
Healthcare Services Group, Inc. | 2,971 | (0.48) | % | 9,596 | ||||||||
Dun & Bradstreet Holdings, Inc. | 3,605 | (0.49) | % | 8,879 | ||||||||
Clarivate plc | 5,255 | (0.57) | % | 7,923 | ||||||||
ManpowerGroup, Inc. | 434 | (0.41) | % | 2,791 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2023 |
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
Performance Food Group Co. | 602 | (0.42) | % | $ | (233 | ) | ||||||
ABM Industries, Inc. | 2,295 | (1.19) | % | (1,455 | ) | |||||||
TransUnion | 1,902 | (1.37) | % | (1,506 | ) | |||||||
Driven Brands Holdings, Inc. | 4,515 | (1.59) | % | (3,918 | ) | |||||||
ICF International, Inc. | 843 | (1.07) | % | (5,147 | ) | |||||||
GXO Logistics, Inc. | 1,369 | (0.80) | % | (5,239 | ) | |||||||
FTI Consulting, Inc. | 411 | (0.94) | % | (7,504 | ) | |||||||
ICU Medical, Inc. | 715 | (1.37) | % | (20,450 | ) | |||||||
Total Consumer, Non-cyclical | 29,716 | |||||||||||
Utilities | ||||||||||||
AES Corp. | 5,346 | (1.49) | % | 14,214 | ||||||||
Spire, Inc. | 794 | (0.65) | % | (169 | ) | |||||||
DTE Energy Co. | 852 | (1.08) | % | (652 | ) | |||||||
Dominion Energy, Inc. | 2,408 | (1.56) | % | (1,166 | ) | |||||||
Duke Energy Corp. | 1,395 | (1.56) | % | (2,704 | ) | |||||||
Entergy Corp. | 1,278 | (1.60) | % | (3,924 | ) | |||||||
CMS Energy Corp. | 2,249 | (1.60) | % | (4,548 | ) | |||||||
Public Service Enterprise Group, Inc. | 2,216 | (1.60) | % | (4,614 | ) | |||||||
Vistra Corp. | 6,260 | (1.74) | % | (9,139 | ) | |||||||
Edison International | 1,065 | (0.87) | % | (13,006 | ) | |||||||
Total Utilities | (25,708 | ) | ||||||||||
Consumer, Cyclical | ||||||||||||
MillerKnoll, Inc. | 2,231 | (0.53) | % | 37,403 | ||||||||
Alaska Air Group, Inc. | 1,726 | (0.84) | % | 16,465 | ||||||||
UniFirst Corp. | 560 | (1.14) | % | 13,618 | ||||||||
American Airlines Group, Inc. | 4,476 | (0.76) | % | 12,249 | ||||||||
Southwest Airlines Co. | 2,113 | (0.80) | % | 6,302 | ||||||||
Royal Caribbean Cruises Ltd. | 670 | (0.51) | % | 5,712 | ||||||||
Gap, Inc. | 3,161 | (0.37) | % | 5,248 | ||||||||
United Airlines Holdings, Inc. | 583 | (0.30) | % | 3,501 | ||||||||
Burlington Stores, Inc. | 170 | (0.40) | % | 3,236 | ||||||||
Live Nation Entertainment, Inc. | 370 | (0.30) | % | 954 | ||||||||
Hyatt Hotels Corp. — Class A | 337 | (0.44) | % | 57 | ||||||||
Costco Wholesale Corp. | 37 | (0.21) | % | (976 | ) | |||||||
Tesla, Inc. | 91 | (0.22) | % | (1,485 | ) | |||||||
Delta Air Lines, Inc. | 2,646 | (1.07) | % | (2,460 | ) | |||||||
Lululemon Athletica, Inc. | 114 | (0.48) | % | (5,973 | ) | |||||||
Floor & Decor Holdings, Inc. — Class A | 773 | (0.88) | % | (13,773 | ) | |||||||
Copart, Inc. | 1,424 | (1.24) | % | (14,864 | ) | |||||||
Total Consumer, Cyclical | 65,214 | |||||||||||
Financial | ||||||||||||
Bank of America Corp. | 3,388 | (1.12) | % | 31,326 | ||||||||
Sun Communities, Inc. | 926 | (1.51) | % | 27,568 | ||||||||
Raymond James Financial, Inc. | 1,079 | (1.17) | % | 23,686 | ||||||||
Morgan Stanley | 2,378 | (2.42) | % | 23,508 | ||||||||
Invitation Homes, Inc. | 2,042 | (0.74) | % | 22,469 | ||||||||
Prudential Financial, Inc. | 1,172 | (1.12) | % | 18,890 | ||||||||
Equitable Holdings, Inc. | 3,330 | (0.98) | % | 18,534 | ||||||||
American Tower Corp. — Class A | 471 | (1.11) | % | 17,931 | ||||||||
Allstate Corp. | 920 | (1.18) | % | 16,588 | ||||||||
Americold Realty Trust, Inc. | 3,345 | (1.10) | % | 15,575 | ||||||||
Alexandria Real Estate Equities, Inc. | 546 | (0.79) | % | 15,334 | ||||||||
Howard Hughes Corp. | 1,129 | (1.05) | % | 15,247 | ||||||||
Assured Guaranty Ltd. | 1,156 | (0.67) | % | 13,075 | ||||||||
Independence Realty Trust, Inc. | 3,167 | (0.59) | % | 12,682 | ||||||||
Ventas, Inc. | 2,071 | (1.04) | % | 12,470 | ||||||||
Assurant, Inc. | 401 | (0.56) | % | 11,547 | ||||||||
Outfront Media, Inc. | 3,570 | (0.67) | % | 10,832 | ||||||||
Healthcare Realty Trust, Inc. | 6,768 | (1.52) | % | 10,063 | ||||||||
Brighthouse Financial, Inc. | 1,244 | (0.64) | % | 9,379 | ||||||||
Kennedy-Wilson Holdings, Inc. | 7,965 | (1.53) | % | 9,316 | ||||||||
KKR & Company, Inc. — Class A | 2,357 | (1.43) | % | 7,777 | ||||||||
Equinix, Inc. | 143 | (1.19) | % | 7,326 | ||||||||
Citigroup, Inc. | 1,666 | (0.91) | % | 7,207 | ||||||||
Kite Realty Group Trust | 6,187 | (1.50) | % | 6,520 | ||||||||
Welltower, Inc. | 1,412 | (1.17) | % | 4,558 | ||||||||
TFS Financial Corp. | 3,585 | (0.52) | % | 3,915 | ||||||||
Rexford Industrial Realty, Inc. | 1,889 | (1.31) | % | 3,269 | ||||||||
SoFi Technologies, Inc. | 2,659 | (0.19) | % | 3,179 | ||||||||
Apple Hospitality REIT, Inc. | 1,592 | (0.29) | % | 3,172 | ||||||||
Rayonier, Inc. | 1,296 | (0.50) | % | 786 | ||||||||
Ryman Hospitality Properties, Inc. | 1,061 | (1.10) | % | (290 | ) | |||||||
Apollo Global Management, Inc. | 1,838 | (1.34) | % | (2,044 | ) | |||||||
Iron Mountain, Inc. | 2,379 | (1.46) | % | (2,183 | ) | |||||||
Ares Management Corp. — Class A | 1,563 | (1.51) | % | (6,622 | ) | |||||||
Progressive Corp. | 798 | (1.32) | % | (9,439 | ) | |||||||
Total Financial | 363,151 | |||||||||||
Basic Materials | ||||||||||||
Ashland, Inc. | 600 | (0.71) | % | 2,646 | ||||||||
Royal Gold, Inc. | 374 | (0.56) | % | (1,157 | ) | |||||||
Carpenter Technology Corp. | 963 | (0.50) | % | (7,030 | ) | |||||||
Total Basic Materials | (5,541 | ) | ||||||||||
Technology | ||||||||||||
Atlassian Corp. — Class A | 103 | (0.20) | % | 524 | ||||||||
Take-Two Interactive Software, Inc. | 721 | (1.00) | % | (1,949 | ) | |||||||
Total Technology | (1,425 | ) | ||||||||||
Energy | ||||||||||||
Patterson-UTI Energy, Inc. | 3,477 | (0.47) | % | 20,344 | ||||||||
Halliburton Co. | 2,803 | (1.03) | % | 18,266 | ||||||||
NOV, Inc. | 2,892 | (0.62) | % | 13,516 | ||||||||
Helmerich & Payne, Inc. | 796 | (0.33) | % | 12,030 | ||||||||
Baker Hughes Co. | 1,792 | (0.60) | % | 5,737 | ||||||||
Liberty Energy, Inc. — Class A | 2,741 | (0.41) | % | 5,168 | ||||||||
Hess Corp. | 595 | (0.91) | % | 847 | ||||||||
Valaris Ltd. | 734 | (0.55) | % | (7,109 | ) | |||||||
Schlumberger Ltd. | 1,344 | (0.76) | % | (9,534 | ) | |||||||
Total Energy | 59,265 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2023 |
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
Communications | ||||||||||||
IAC, Inc. | 1,145 | (0.68) | % | $ | 5,801 | |||||||
CDW Corp. | 482 | (1.09) | % | 3,493 | ||||||||
Paramount Global — Class B | 1,966 | (0.51) | % | 277 | ||||||||
Robinhood Markets, Inc. — Class A | 1,830 | (0.21) | % | 239 | ||||||||
Chewy, Inc. — Class A | 440 | (0.19) | % | (412 | ) | |||||||
DoorDash, Inc. — Class A | 314 | (0.23) | % | (462 | ) | |||||||
Trade Desk, Inc. — Class A | 312 | (0.22) | % | (1,551 | ) | |||||||
Walt Disney Co. | 1,154 | (1.34) | % | (1,623 | ) | |||||||
Uber Technologies, Inc. | 2,210 | (0.81) | % | (9,659 | ) | |||||||
Warner Bros Discovery, Inc. | 3,680 | (0.64) | % | (10,483 | ) | |||||||
Total Communications | �� | (14,380 | ) | |||||||||
Industrial | ||||||||||||
Stericycle, Inc. | 1,668 | (0.84) | % | 28,100 | ||||||||
Stanley Black & Decker, Inc. | 571 | (0.53) | % | 22,624 | ||||||||
Jacobs Solutions, Inc. | 1,063 | (1.46) | % | 4,027 | ||||||||
Vulcan Materials Co. | 374 | (0.74) | % | 3,975 | ||||||||
Ryder System, Inc. | 269 | (0.28) | % | 2,221 | ||||||||
Waste Management, Inc. | 699 | (1.32) | % | 1,754 | ||||||||
TD SYNNEX Corp. | 467 | (0.52) | % | 649 | ||||||||
General Electric Co. | 1 | 0.00 | % | (12 | ) | |||||||
Kirby Corp. | 765 | (0.62) | % | (764 | ) | |||||||
Casella Waste Systems, Inc. — Class A | 1,040 | (1.00) | % | (827 | ) | |||||||
J.B. Hunt Transport Services, Inc. | 320 | (0.65) | % | (1,679 | ) | |||||||
Teledyne Technologies, Inc. | 145 | (0.75) | % | (2,136 | ) | |||||||
Tetra Tech, Inc. | 275 | (0.47) | % | (3,941 | ) | |||||||
MSA Safety, Inc. | 657 | (1.02) | % | (5,733 | ) | |||||||
Republic Services, Inc. — Class A | 899 | (1.42) | % | (7,040 | ) | |||||||
Total Industrial | 41,216 | |||||||||||
Total GS Long/Short Equity Short Custom Basket | $ | 511,510 | ||||||||||
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2023 |
MS LONG/SHORT EQUITY LONG CUSTOM BASKET | ||||||||||||
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
Communications | ||||||||||||
Alphabet, Inc. — Class C | 1,406 | 1.20 | % | $ | 16,964 | |||||||
Arista Networks, Inc. | 554 | 0.77 | % | 15,229 | ||||||||
Cisco Systems, Inc. | 2,278 | 0.98 | % | 9,148 | ||||||||
VeriSign, Inc. | 670 | 1.16 | % | 7,485 | ||||||||
T-Mobile US, Inc. | 188 | 0.22 | % | 2,667 | ||||||||
A10 Networks, Inc. | 3,554 | 0.45 | % | 1,542 | ||||||||
Extreme Networks, Inc. | 2,506 | 0.40 | % | (408 | ) | |||||||
Viavi Solutions, Inc. | 2,706 | 0.24 | % | (1,506 | ) | |||||||
Verizon Communications, Inc. | 3,496 | 1.11 | % | (2,107 | ) | |||||||
Total Communications | 49,014 | |||||||||||
Consumer, Non-cyclical | ||||||||||||
John B Sanfilippo & Son, Inc. | 1,447 | 1.15 | % | 26,141 | ||||||||
Perdoceo Education Corp. | 9,315 | 1.03 | % | 24,560 | ||||||||
Hologic, Inc. | 1,530 | 1.02 | % | 20,203 | ||||||||
Vertex Pharmaceuticals, Inc. | 254 | 0.66 | % | 18,581 | ||||||||
Amphastar Pharmaceuticals, Inc. | 721 | 0.22 | % | 13,120 | ||||||||
Inter Parfums, Inc. | 256 | 0.30 | % | 11,090 | ||||||||
General Mills, Inc. | 1,691 | 1.18 | % | 10,469 | ||||||||
Exelixis, Inc. | 4,234 | 0.68 | % | 9,987 | ||||||||
Bristol-Myers Squibb Co. | 1,672 | 0.96 | % | 8,575 | ||||||||
IDEXX Laboratories, Inc. | 93 | 0.38 | % | 7,381 | ||||||||
Kimberly-Clark Corp. | 827 | 0.92 | % | 6,390 | ||||||||
Amgen, Inc. | 492 | 0.98 | % | 3,345 | ||||||||
USANA Health Sciences, Inc. | 1,677 | 0.87 | % | 1,637 | ||||||||
Kellogg Co. | 796 | 0.44 | % | 1,194 | ||||||||
United Therapeutics Corp. | 213 | 0.39 | % | 906 | ||||||||
Johnson & Johnson | 337 | 0.43 | % | 549 | ||||||||
Prestige Consumer Healthcare, Inc. | 533 | 0.28 | % | 540 | ||||||||
EVERTEC, Inc. | 3,585 | 1.00 | % | 208 | ||||||||
Grand Canyon Education, Inc. | 254 | 0.24 | % | 172 | ||||||||
ResMed, Inc. | 122 | 0.22 | % | (73 | ) | |||||||
Premier, Inc. — Class A | 1,428 | 0.38 | % | (191 | ) | |||||||
Triton International Ltd. | 1,495 | 0.78 | % | (673 | ) | |||||||
Ionis Pharmaceuticals, Inc. | 850 | 0.25 | % | (678 | ) | |||||||
Ironwood Pharmaceuticals, Inc. — Class A | 8,647 | 0.75 | % | (1,063 | ) | |||||||
Neurocrine Biosciences, Inc. | 418 | 0.35 | % | (1,126 | ) | |||||||
Philip Morris International, Inc. | 668 | 0.54 | % | (1,130 | ) | |||||||
Acadia Healthcare Company, Inc. | 461 | 0.27 | % | (1,187 | ) | |||||||
Quest Diagnostics, Inc. | 190 | 0.22 | % | (1,436 | ) | |||||||
Incyte Corp. | 1,497 | 0.89 | % | (1,468 | ) | |||||||
Gilead Sciences, Inc. | 707 | 0.48 | % | (2,384 | ) | |||||||
Quanex Building Products Corp. | 2,435 | 0.43 | % | (2,542 | ) | |||||||
Organon & Co. | 2,084 | 0.40 | % | (2,564 | ) | |||||||
Hackett Group, Inc. | 3,186 | 0.49 | % | (2,620 | ) | |||||||
Fulgent Genetics, Inc. | 1,267 | 0.33 | % | (2,704 | ) | |||||||
Corcept Therapeutics, Inc. | 1,714 | 0.31 | % | (2,767 | ) | |||||||
Pfizer, Inc. | 1,338 | 0.45 | % | (3,116 | ) | |||||||
Altria Group, Inc. | 1,672 | 0.62 | % | (3,306 | ) | |||||||
Waters Corp. | 101 | 0.26 | % | (3,407 | ) | |||||||
Innoviva, Inc. | 5,321 | 0.49 | % | (4,693 | ) | |||||||
Merck & Company, Inc. | 1,083 | 0.95 | % | (7,270 | ) | |||||||
Abbott Laboratories | 1,288 | 1.08 | % | (11,025 | ) | |||||||
Eagle Pharmaceuticals, Inc. | 2,138 | 0.50 | % | (13,190 | ) | |||||||
Royalty Pharma plc — Class A | 2,485 | 0.74 | % | (17,057 | ) | |||||||
Total Consumer, Non-cyclical | 77,378 | |||||||||||
Industrial | ||||||||||||
Standex International Corp. | 1,087 | 1.10 | % | 35,022 | ||||||||
Vishay Intertechnology, Inc. | 5,001 | 0.93 | % | 28,416 | ||||||||
Dorian LPG Ltd. | 2,737 | 0.45 | % | 17,812 | ||||||||
Snap-on, Inc. | 461 | 0.94 | % | 17,367 | ||||||||
Advanced Energy Industries, Inc. | 1,075 | 0.87 | % | 16,120 | ||||||||
Eagle Materials, Inc. | 579 | 0.70 | % | 13,686 | ||||||||
Donaldson Company, Inc. | 1,745 | 0.94 | % | 12,304 | ||||||||
Mueller Industries, Inc. | 1,019 | 0.62 | % | 11,433 | ||||||||
Graco, Inc. | 1,861 | 1.12 | % | 7,458 | ||||||||
PGT Innovations, Inc. | 1,441 | 0.30 | % | 4,849 | ||||||||
Illinois Tool Works, Inc. | 562 | 1.13 | % | 3,831 | ||||||||
A O Smith Corp. | 972 | 0.55 | % | 2,742 | ||||||||
Louisiana-Pacific Corp. | 1,032 | 0.46 | % | 1,319 | ||||||||
Acuity Brands, Inc. | 449 | 0.68 | % | 885 | ||||||||
Otis Worldwide Corp. | 732 | 0.51 | % | 742 | ||||||||
Albany International Corp. — Class A | 401 | 0.30 | % | 294 | ||||||||
Lindsay Corp. | 205 | 0.26 | % | (1,224 | ) | |||||||
GrafTech International Ltd. | 4,643 | 0.19 | % | (1,374 | ) | |||||||
Simpson Manufacturing Company, Inc. | 670 | 0.61 | % | (1,542 | ) | |||||||
Lennox International, Inc. | 221 | 0.46 | % | (2,553 | ) | |||||||
Packaging Corporation of America | 914 | 1.05 | % | (2,806 | ) | |||||||
Timken Co. | 457 | 0.31 | % | (3,103 | ) | |||||||
Masco Corp. | 848 | 0.35 | % | (3,643 | ) | |||||||
ITT, Inc. | 502 | 0.36 | % | (3,702 | ) | |||||||
Sturm Ruger & Company, Inc. | 2,069 | 0.98 | % | (6,552 | ) | |||||||
3M Co. | 372 | 0.32 | % | (7,320 | ) | |||||||
Sealed Air Corp. | 1,048 | 0.40 | % | (7,522 | ) | |||||||
Total Industrial | 132,939 | |||||||||||
Basic Materials | ||||||||||||
NewMarket Corp. | 178 | 0.54 | % | 11,293 | ||||||||
Olin Corp. | 1,032 | 0.47 | % | 368 | ||||||||
Livent Corp. | 1 | 0.00 | % | 20 | ||||||||
Huntsman Corp. | 2,423 | 0.55 | % | (1,747 | ) | |||||||
AdvanSix, Inc. | 1,007 | 0.32 | % | (2,022 | ) | |||||||
Total Basic Materials | 7,912 | |||||||||||
Consumer, Cyclical | ||||||||||||
Allison Transmission Holdings, Inc. | 2,758 | 1.03 | % | 20,194 | ||||||||
Boyd Gaming Corp. | 2,040 | 1.08 | % | 15,487 | ||||||||
GMS, Inc. | 1,025 | 0.49 | % | 13,672 | ||||||||
Brunswick Corp. | 1,389 | 0.94 | % | 9,901 | ||||||||
Darden Restaurants, Inc. | 786 | 1.01 | % | 8,529 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2023 |
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
McDonald's Corp. | 498 | 1.14 | % | $ | 7,978 | |||||||
Oxford Industries, Inc. | 748 | 0.65 | % | 6,174 | ||||||||
DR Horton, Inc. | 1,106 | 0.89 | % | 5,611 | ||||||||
Haverty Furniture Companies, Inc. | 1,428 | 0.38 | % | 5,230 | ||||||||
Steven Madden Ltd. | 1,824 | 0.54 | % | 4,886 | ||||||||
Methode Electronics, Inc. | 835 | 0.30 | % | 4,463 | ||||||||
PulteGroup, Inc. | 1,242 | 0.60 | % | 3,714 | ||||||||
KB Home | 1,170 | 0.39 | % | 2,744 | ||||||||
Taylor Morrison Home Corp. — Class A | 1,375 | 0.43 | % | 2,345 | ||||||||
WW Grainger, Inc. | 83 | 0.47 | % | 1,679 | ||||||||
Yum! Brands, Inc. | 1,017 | 1.11 | % | 1,520 | ||||||||
O'Reilly Automotive, Inc. | 68 | 0.48 | % | 1,109 | ||||||||
MDC Holdings, Inc. | 2,100 | 0.67 | % | 991 | ||||||||
Ethan Allen Interiors, Inc. | 1,112 | 0.25 | % | 570 | ||||||||
MSC Industrial Direct Company, Inc. — Class A | 994 | 0.69 | % | (488 | ) | |||||||
Murphy USA, Inc. | 366 | 0.78 | % | (1,752 | ) | |||||||
Gentex Corp. | 3,998 | 0.92 | % | (3,190 | ) | |||||||
BlueLinx Holdings, Inc. | 203 | 0.11 | % | (4,178 | ) | |||||||
Buckle, Inc. | 1,768 | 0.52 | % | (5,557 | ) | |||||||
Total Consumer, Cyclical | 101,632 | |||||||||||
Financial | ||||||||||||
Evercore, Inc. — Class A | 984 | 0.94 | % | 10,068 | ||||||||
S&T Bancorp, Inc. | 2,090 | 0.54 | % | 6,719 | ||||||||
Virtus Investment Partners, Inc. | 232 | 0.36 | % | 5,317 | ||||||||
NMI Holdings, Inc. — Class A | 3,159 | 0.58 | % | 2,705 | ||||||||
Hilltop Holdings, Inc. | 1,338 | 0.33 | % | 1,750 | ||||||||
Mastercard, Inc. — Class A | 256 | 0.77 | % | 841 | ||||||||
Radian Group, Inc. | 3,558 | 0.65 | % | 560 | ||||||||
Federated Hermes, Inc. — Class B | 1,112 | 0.37 | % | 513 | ||||||||
Raymond James Financial, Inc. | 1 | 0.00 | % | 3 | ||||||||
International Bancshares Corp. | 775 | 0.27 | % | (736 | ) | |||||||
Central Pacific Financial Corp. | 546 | 0.08 | % | (1,229 | ) | |||||||
TowneBank | 2,582 | 0.57 | % | (2,898 | ) | |||||||
Janus Henderson Group plc | 1,660 | 0.36 | % | (3,008 | ) | |||||||
Visa, Inc. — Class A | 602 | 1.12 | % | (3,088 | ) | |||||||
BOK Financial Corp. | 182 | 0.13 | % | (3,465 | ) | |||||||
Marcus & Millichap, Inc. | 1,102 | 0.29 | % | (4,547 | ) | |||||||
MGIC Investment Corp. | 8,317 | 0.92 | % | (4,810 | ) | |||||||
Renasant Corp. | 2,129 | 0.54 | % | (5,961 | ) | |||||||
Essent Group Ltd. | 1,765 | 0.58 | % | (6,672 | ) | |||||||
Stewart Information Services Corp. | 1,158 | 0.39 | % | (10,866 | ) | |||||||
Bank of New York Mellon Corp. | 1,854 | 0.69 | % | (11,639 | ) | |||||||
Southside Bancshares, Inc. | 1,774 | 0.49 | % | (11,667 | ) | |||||||
Mr Cooper Group, Inc. | 1,805 | 0.61 | % | (12,426 | ) | |||||||
Preferred Bank/Los Angeles CA | 1,123 | 0.51 | % | (13,621 | ) | |||||||
FNB Corp. | 5,441 | 0.52 | % | (15,897 | ) | |||||||
FB Financial Corp. | 2,251 | 0.58 | % | (16,984 | ) | |||||||
Hope Bancorp, Inc. | 5,513 | 0.45 | % | (19,225 | ) | |||||||
Ameris Bancorp | 1,615 | 0.49 | % | (20,497 | ) | |||||||
Total Financial | (140,760 | ) | ||||||||||
Technology | ||||||||||||
Cirrus Logic, Inc. | 1,063 | 0.96 | % | 42,810 | ||||||||
Diodes, Inc. | 546 | 0.42 | % | 11,707 | ||||||||
Teradata Corp. | 1,364 | 0.45 | % | 8,442 | ||||||||
Analog Devices, Inc. | 713 | 1.15 | % | 8,268 | ||||||||
NetApp, Inc. | 542 | 0.29 | % | 6,357 | ||||||||
Avid Technology, Inc. | 1,590 | 0.42 | % | 5,645 | ||||||||
QUALCOMM, Inc. | 676 | 0.71 | % | 4,956 | ||||||||
Kulicke & Soffa Industries, Inc. | 724 | 0.31 | % | 3,567 | ||||||||
Veeco Instruments, Inc. | 1,637 | 0.29 | % | 3,104 | ||||||||
ON Semiconductor Corp. | 684 | 0.46 | % | 2,687 | ||||||||
Microchip Technology, Inc. | 1,493 | 1.03 | % | (140 | ) | |||||||
Cognizant Technology Solutions Corp. — Class A | 562 | 0.28 | % | (926 | ) | |||||||
Silicon Laboratories, Inc. | 198 | 0.29 | % | (994 | ) | |||||||
Seagate Technology Holdings plc | 473 | 0.26 | % | (2,250 | ) | |||||||
Dropbox, Inc. — Class A | 3,756 | 0.67 | % | (3,451 | ) | |||||||
Total Technology | 89,782 | |||||||||||
Energy | ||||||||||||
Marathon Petroleum Corp. | 705 | 0.78 | % | 26,123 | ||||||||
Exxon Mobil Corp. | 1,189 | 1.07 | % | 13,300 | ||||||||
Valero Energy Corp. | 502 | 0.58 | % | 10,618 | ||||||||
Antero Midstream Corp. | 10,764 | 0.93 | % | 4,440 | ||||||||
Magnolia Oil & Gas Corp. — Class A | 1,350 | 0.24 | % | (289 | ) | |||||||
REX American Resources Corp. | 1,383 | 0.33 | % | (709 | ) | |||||||
Kinder Morgan, Inc. | 6,392 | 0.92 | % | (967 | ) | |||||||
ONEOK, Inc. | 506 | 0.27 | % | (2,172 | ) | |||||||
Occidental Petroleum Corp. | 521 | 0.27 | % | (3,927 | ) | |||||||
DT Midstream, Inc. | 1,321 | 0.54 | % | (7,108 | ) | |||||||
Total Energy | 39,309 | |||||||||||
Utilities | ||||||||||||
MGE Energy, Inc. | 1,877 | 1.19 | % | 9,517 | ||||||||
Chesapeake Utilities Corp. | 544 | 0.57 | % | 6,960 | ||||||||
ONE Gas, Inc. | 1,633 | 1.07 | % | 6,296 | ||||||||
National Fuel Gas Co. | 1,244 | 0.59 | % | (2,599 | ) | |||||||
OGE Energy Corp. | 3,748 | 1.15 | % | (5,923 | ) | |||||||
Clearway Energy, Inc. — Class C | 3,496 | 0.90 | % | (7,602 | ) | |||||||
Total Utilities | 6,649 | |||||||||||
Total MS Long/Short Equity Long Custom Basket | $ | 363,855 | ||||||||||
MS LONG/SHORT EQUITY SHORT CUSTOM BASKET |
Consumer, Non-cyclical | ||||||||||||
Viad Corp. | 1,424 | (0.35 | )% | 31,571 | ||||||||
Equifax, Inc. | 546 | (1.29 | )% | 14,450 | ||||||||
Healthcare Services Group, Inc. | 2,971 | (0.48 | )% | 9,470 | ||||||||
Dun & Bradstreet Holdings, Inc. | 3,605 | (0.49 | )% | 8,922 | ||||||||
Clarivate plc | 5,255 | (0.58 | )% | 7,966 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2023 |
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
ManpowerGroup, Inc. | 434 | (0.42 | )% | $ | 2,787 | |||||||
Performance Food Group Co. | 602 | (0.42 | )% | (190 | ) | |||||||
TransUnion | 1,902 | (1.38 | )% | (1,228 | ) | |||||||
ABM Industries, Inc. | 2,295 | (1.20 | )% | (1,439 | ) | |||||||
Driven Brands Holdings, Inc. | 4,515 | (1.60 | )% | (4,130 | ) | |||||||
ICF International, Inc. | 843 | (1.08 | )% | (5,130 | ) | |||||||
GXO Logistics, Inc. | 1,369 | (0.81 | )% | (5,222 | ) | |||||||
FTI Consulting, Inc. | 411 | (0.95 | )% | (7,934 | ) | |||||||
ICU Medical, Inc. | 715 | (1.38 | )% | (20,346 | ) | |||||||
Total Consumer, Non-cyclical | 29,547 | |||||||||||
Utilities | ||||||||||||
AES Corp. | 5,346 | (1.50 | )% | 14,082 | ||||||||
Spire, Inc. | 794 | (0.65 | )% | (128 | ) | |||||||
DTE Energy Co. | 852 | (1.09 | )% | (508 | ) | |||||||
Dominion Energy, Inc. | 2,408 | (1.58 | )% | (686 | ) | |||||||
Duke Energy Corp. | 1,395 | (1.58 | )% | (2,446 | ) | |||||||
Entergy Corp. | 1,278 | (1.62 | )% | (3,780 | ) | |||||||
CMS Energy Corp. | 2,249 | (1.62 | )% | (4,090 | ) | |||||||
Public Service Enterprise Group, Inc. | 2,216 | (1.63 | )% | (5,033 | ) | |||||||
Vistra Corp. | 6,260 | (1.76 | )% | (8,996 | ) | |||||||
Edison International | 1,065 | (0.88 | )% | (12,630 | ) | |||||||
Total Utilities | (24,215 | ) | ||||||||||
Consumer, Cyclical | ||||||||||||
MillerKnoll, Inc. | 2,231 | (0.53 | )% | 37,422 | ||||||||
Alaska Air Group, Inc. | 1,726 | (0.85 | )% | 16,306 | ||||||||
UniFirst Corp. | 560 | (1.15 | )% | 13,529 | ||||||||
American Airlines Group, Inc. | 4,476 | (0.77 | )% | 12,203 | ||||||||
Southwest Airlines Co. | 2,113 | (0.80 | )% | 6,123 | ||||||||
Royal Caribbean Cruises Ltd. | 670 | (0.51 | )% | 5,869 | ||||||||
Gap, Inc. | 3,161 | (0.37 | )% | 5,171 | ||||||||
United Airlines Holdings, Inc. | 583 | (0.30 | )% | 3,634 | ||||||||
Burlington Stores, Inc. | 170 | (0.40 | )% | 3,236 | ||||||||
Live Nation Entertainment, Inc. | 370 | (0.30 | )% | 1,056 | ||||||||
Steven Madden Ltd. | 1 | 0.00 | % | 1 | ||||||||
Hyatt Hotels Corp. — Class A | 337 | (0.44 | )% | (27 | ) | |||||||
Costco Wholesale Corp. | 37 | (0.21 | )% | (974 | ) | |||||||
Tesla, Inc. | 91 | (0.22 | )% | (1,503 | ) | |||||||
Delta Air Lines, Inc. | 2,646 | (1.08 | )% | (2,436 | ) | |||||||
Lululemon Athletica, Inc. | 114 | (0.48 | )% | (5,929 | ) | |||||||
Floor & Decor Holdings, Inc. — Class A | 773 | (0.89 | )% | (13,623 | ) | |||||||
Copart, Inc. | 1,424 | (1.25 | )% | (14,631 | ) | |||||||
Total Consumer, Cyclical | 65,427 | |||||||||||
Financial | ||||||||||||
Bank of America Corp. | 3,388 | (1.13 | )% | 31,252 | ||||||||
Sun Communities, Inc. | 926 | (1.52 | )% | 27,678 | ||||||||
Raymond James Financial, Inc. | 1,079 | (1.18 | )% | 23,868 | ||||||||
Invitation Homes, Inc. | 2,042 | (0.74 | )% | 22,490 | ||||||||
Prudential Financial, Inc. | 1,172 | (1.13 | )% | 19,103 | ||||||||
Equitable Holdings, Inc. | 3,330 | (0.99 | )% | 18,699 | ||||||||
American Tower Corp. — Class A | 471 | (1.12 | )% | 17,714 | ||||||||
Allstate Corp. | 920 | (1.19 | )% | 16,504 | ||||||||
Americold Realty Trust, Inc. | 3,345 | (1.11 | )% | 15,757 | ||||||||
Alexandria Real Estate Equities, Inc. | 546 | (0.80 | )% | 15,672 | ||||||||
Howard Hughes Corp. | 1,129 | (1.05 | )% | 15,308 | ||||||||
Assured Guaranty Ltd. | 1,156 | (0.68 | )% | 13,074 | ||||||||
Ventas, Inc. | 2,071 | (1.05 | )% | 12,787 | ||||||||
Independence Realty Trust, Inc. | 3,167 | (0.59 | )% | 12,742 | ||||||||
Goldman Sachs Group, Inc. | 422 | (1.61 | )% | 12,137 | ||||||||
Assurant, Inc. | 401 | (0.56 | )% | 11,552 | ||||||||
Outfront Media, Inc. | 3,570 | (0.68 | )% | 10,666 | ||||||||
Healthcare Realty Trust, Inc. | 6,768 | (1.53 | )% | 9,938 | ||||||||
Kennedy-Wilson Holdings, Inc. | 7,965 | (1.54 | )% | 9,626 | ||||||||
Brighthouse Financial, Inc. | 1,244 | (0.64 | )% | 9,407 | ||||||||
KKR & Company, Inc. — Class A | 2,357 | (1.45 | )% | 7,853 | ||||||||
Equinix, Inc. | 143 | (1.20 | )% | 7,345 | ||||||||
Citigroup, Inc. | 1,666 | (0.91 | )% | 7,081 | ||||||||
Kite Realty Group Trust | 6,187 | (1.51 | )% | 6,484 | ||||||||
Welltower, Inc. | 1,412 | (1.18 | )% | 4,749 | ||||||||
TFS Financial Corp. | 3,585 | (0.53 | )% | 3,910 | ||||||||
Rexford Industrial Realty, Inc. | 1,889 | (1.32 | )% | 3,514 | ||||||||
SoFi Technologies, Inc. | 2,659 | (0.19 | )% | 3,166 | ||||||||
Apple Hospitality REIT, Inc. | 1,592 | (0.29 | )% | 3,129 | ||||||||
Rayonier, Inc. | 1,296 | (0.50 | )% | 761 | ||||||||
Ryman Hospitality Properties, Inc. | 1,061 | (1.11 | )% | (251 | ) | |||||||
Apollo Global Management, Inc. | 1,838 | (1.36 | )% | (1,755 | ) | |||||||
Iron Mountain, Inc. | 2,379 | (1.47 | )% | (2,200 | ) | |||||||
Ares Management Corp. — Class A | 1,563 | (1.52 | )% | (6,161 | ) | |||||||
Progressive Corp. | 798 | (1.33 | )% | (9,516 | ) | |||||||
Total Financial | 354,083 | |||||||||||
Basic Materials | ||||||||||||
Ashland, Inc. | 600 | (0.72 | )% | 2,682 | ||||||||
Livent Corp. | 1 | 0.00 | % | (9 | ) | |||||||
Royal Gold, Inc. | 374 | (0.57 | )% | (1,179 | ) | |||||||
Carpenter Technology Corp. | 963 | (0.50 | )% | (7,110 | ) | |||||||
Total Basic Materials | (5,616 | ) | ||||||||||
Technology | ||||||||||||
Atlassian Corp. — Class A | 103 | (0.21 | )% | 519 | ||||||||
Take-Two Interactive Software, Inc. | 721 | (1.00 | )% | (1,772 | ) | |||||||
Total Technology | (1,253 | ) | ||||||||||
Energy | ||||||||||||
Patterson-UTI Energy, Inc. | 3,477 | (0.48 | )% | 20,207 | ||||||||
Halliburton Co. | 2,803 | (1.04 | )% | 18,633 | ||||||||
NOV, Inc. | 2,892 | (0.63 | )% | 13,468 | ||||||||
Helmerich & Payne, Inc. | 796 | (0.33 | )% | 11,974 | ||||||||
Baker Hughes Co. | 1,792 | (0.60 | )% | 5,840 | ||||||||
Liberty Energy, Inc. — Class A | 2,741 | (0.41 | )% | 5,394 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2023 |
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
Hess Corp. | 595 | (0.92 | )% | $ | 820 | |||||||
Valaris Ltd. | 734 | (0.56 | )% | (7,077 | ) | |||||||
Schlumberger Ltd. | 1,344 | (0.77 | )% | (9,407 | ) | |||||||
Total Energy | 59,852 | |||||||||||
Communications | ||||||||||||
IAC, Inc. | 1,145 | (0.69 | )% | 6,575 | ||||||||
CDW Corp. | 482 | (1.10 | )% | 3,492 | ||||||||
Paramount Global — Class B | 1,966 | (0.51 | )% | 443 | ||||||||
Robinhood Markets, Inc. — Class A | 1,830 | (0.21 | )% | 346 | ||||||||
Chewy, Inc. — Class A | 440 | (0.19 | )% | (322 | ) | |||||||
DoorDash, Inc. — Class A | 314 | (0.23 | )% | (364 | ) | |||||||
Walt Disney Co. | 1,154 | (1.35 | )% | (1,307 | ) | |||||||
Trade Desk, Inc. — Class A | 312 | (0.22 | )% | (1,505 | ) | |||||||
Uber Technologies, Inc. | 2,210 | (0.82 | )% | (9,746 | ) | |||||||
Warner Bros Discovery, Inc. | 3,680 | (0.65 | )% | (9,832 | ) | |||||||
Total Communications | (12,220 | ) | ||||||||||
Industrial | ||||||||||||
Stericycle, Inc. | 1,668 | (0.85 | )% | 28,135 | ||||||||
Stanley Black & Decker, Inc. | 571 | (0.54 | )% | 22,689 | ||||||||
Jacobs Solutions, Inc. | 1,063 | (1.46 | )% | 4,371 | ||||||||
Vulcan Materials Co. | 374 | (0.75 | )% | 4,038 | ||||||||
Ryder System, Inc. | 269 | (0.28 | )% | 2,245 | ||||||||
Waste Management, Inc. | 699 | (1.33 | )% | 1,913 | ||||||||
TD SYNNEX Corp. | 467 | (0.53 | )% | 693 | ||||||||
General Electric Co. | 1 | 0.00 | % | (12 | ) | |||||||
Casella Waste Systems, Inc. — Class A | 1,040 | (1.00 | )% | (861 | ) | |||||||
Kirby Corp. | 765 | (0.62 | )% | (979 | ) | |||||||
J.B. Hunt Transport Services, Inc. | 320 | (0.66 | )% | (1,517 | ) | |||||||
Teledyne Technologies, Inc. | 145 | (0.76 | )% | (2,105 | ) | |||||||
Tetra Tech, Inc. | 275 | (0.47 | )% | (3,890 | ) | |||||||
MSA Safety, Inc. | 657 | (1.02 | )% | (5,751 | ) | |||||||
Republic Services, Inc. — Class A | 899 | (1.42 | )% | (7,048 | ) | |||||||
Total Industrial | 41,921 | |||||||||||
Total MS Long/Short Equity Short Custom Basket | $ | 507,526 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2023 |
MS EQUITY MARKET NEUTRAL LONG CUSTOM BASKET | ||||||||||||
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
Financial | ||||||||||||
Gaming and Leisure Properties, Inc. | 21,128 | 7.98 | % | $ | 175,633 | |||||||
Ryman Hospitality Properties, Inc. | 14,094 | 9.18 | % | 173,183 | ||||||||
Rexford Industrial Realty, Inc. | 24,200 | 10.48 | % | 86,136 | ||||||||
CareTrust REIT, Inc. | 46,698 | 6.64 | % | 79,728 | ||||||||
Sun Communities, Inc. | 5,608 | 5.73 | % | 67,102 | ||||||||
Four Corners Property Trust, Inc. | 29,953 | 5.84 | % | 40,715 | ||||||||
Agree Realty Corp. | 12,909 | 6.43 | % | 30,046 | ||||||||
Brixmor Property Group, Inc. | 32,522 | 5.08 | % | 23,900 | ||||||||
Ventas, Inc. | 16,837 | 5.30 | % | 12,860 | ||||||||
InvenTrust Properties Corp. | 26,838 | 4.56 | % | 3,481 | ||||||||
NETSTREIT Corp. | 24,153 | 3.20 | % | 895 | ||||||||
VICI Properties, Inc. | 1 | 0.00 | % | 9 | ||||||||
Kite Realty Group Trust | 22,528 | 3.42 | % | (11 | ) | |||||||
American Tower Corp. — Class A | 1,563 | 2.32 | % | (40,104 | ) | |||||||
SBA Communications Corp. | 1,237 | 2.34 | % | (44,814 | ) | |||||||
AvalonBay Communities, Inc. | 5,044 | 6.15 | % | (52,842 | ) | |||||||
Equity Residential | 13,343 | 5.81 | % | (83,048 | ) | |||||||
Boston Properties, Inc. | 4,924 | 1.93 | % | (107,949 | ) | |||||||
Alexandria Real Estate Equities, Inc. | 6,175 | 5.63 | % | (116,017 | ) | |||||||
Piedmont Office Realty Trust, Inc. — Class A | 37,318 | 1.98 | % | (135,412 | ) | |||||||
Total Financial | 113,491 | |||||||||||
Total MS Equity Market Neutral Long Custom Basket | $ | 113,491 | ||||||||||
MS EQUITY MARKET NEUTRAL SHORT CUSTOM BASKET |
Financial | ||||||||||||
Douglas Emmett, Inc. | 62,012 | (5.70 | )% | $ | 689,445 | |||||||
Office Properties Income Trust | 50,433 | (4.63 | )% | 455,349 | ||||||||
Essex Property Trust, Inc. | 4,450 | (6.94 | )% | 246,270 | ||||||||
Broadstone Net Lease, Inc. | 24,704 | (3.13 | )% | 223,071 | ||||||||
Mid-America Apartment Communities, Inc. | 5,273 | (5.94 | )% | 175,363 | ||||||||
Camden Property Trust | 4,095 | (3.20 | )% | 163,462 | ||||||||
JBG SMITH Properties | 39,577 | (4.44 | )% | 141,941 | ||||||||
Necessity Retail REIT, Inc. | 85,038 | (3.98 | )% | 125,832 | ||||||||
Apartment Income REIT Corp. | 12,898 | (3.44 | )% | 120,150 | ||||||||
Realty Income Corp. | 24,386 | (11.52 | )% | 78,243 | ||||||||
Apple Hospitality REIT, Inc. | 52,165 | (6.04 | )% | 58,757 | ||||||||
Host Hotels & Resorts, Inc. | 8,047 | (0.99 | )% | 27,601 | ||||||||
Federal Realty Investment Trust | 7,917 | (5.83 | )% | 19,857 | ||||||||
Phillips Edison & Company, Inc. | 45,356 | (11.04 | )% | 6,102 | ||||||||
STAG Industrial, Inc. | 40,845 | (10.30 | )% | (15,698 | ) | |||||||
Welltower, Inc. | 10,792 | (5.77 | )% | (112,301 | ) | |||||||
Total Financial | 2,403,444 | |||||||||||
Exchange Traded Funds | ||||||||||||
Vanguard Real Estate ETF | 11,486 | (7.11 | )% | 296,935 | ||||||||
Total MS Equity Market Neutral Short Custom Basket | $ | 2,700,379 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2023 |
GS EQUITY MARKET NEUTRAL LONG CUSTOM BASKET | ||||||||||||
Shares | Percentage Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||
Financial | ||||||||||||
Gaming and Leisure Properties, Inc. | 21,128 | 7.98 | % | $ | 175,459 | |||||||
Ryman Hospitality Properties, Inc. | 14,094 | 9.18 | % | 174,239 | ||||||||
Rexford Industrial Realty, Inc. | 24,200 | 10.48 | % | 88,080 | ||||||||
CareTrust REIT, Inc. | 46,698 | 6.64 | % | 79,475 | ||||||||
Sun Communities, Inc. | 5,608 | 5.73 | % | 40,702 | ||||||||
Four Corners Property Trust, Inc. | 29,953 | 5.84 | % | 40,544 | ||||||||
Agree Realty Corp. | 12,909 | 6.43 | % | 29,021 | ||||||||
Brixmor Property Group, Inc. | 32,522 | 5.08 | % | 24,087 | ||||||||
Ventas, Inc. | 16,837 | 5.30 | % | 13,094 | ||||||||
InvenTrust Properties Corp. | 26,838 | 4.56 | % | 5,189 | ||||||||
Kite Realty Group Trust | 22,528 | 3.42 | % | 3,752 | ||||||||
NETSTREIT Corp. | 24,153 | 3.20 | % | 1,155 | ||||||||
VICI Properties, Inc. | 1 | 0.00 | % | 9 | ||||||||
American Tower Corp. — Class A | 1,563 | 2.32 | % | (40,097 | ) | |||||||
SBA Communications Corp. | 1,237 | 2.34 | % | (44,640 | ) | |||||||
AvalonBay Communities, Inc. | 5,044 | 6.15 | % | (53,312 | ) | |||||||
Equity Residential | 13,343 | 5.81 | % | (83,698 | ) | |||||||
Boston Properties, Inc. | 4,924 | 1.93 | % | (108,047 | ) | |||||||
Alexandria Real Estate Equities, Inc. | 6,175 | 5.63 | % | (115,830 | ) | |||||||
Piedmont Office Realty Trust, Inc. — Class A | 37,318 | 1.98 | % | (134,280 | ) | |||||||
Total Financial | 94,902 | |||||||||||
Total GS Equity Market Neutral Long Custom Basket | $ | 94,902 | ||||||||||
GS EQUITY MARKET NEUTRAL SHORT CUSTOM BASKET |
Financial | ||||||||||||
Douglas Emmett, Inc. | 62,012 | (5.70 | )% | $ | 691,226 | |||||||
Office Properties Income Trust | 50,433 | (4.63 | )% | 457,398 | ||||||||
Essex Property Trust, Inc. | 4,450 | (6.94 | )% | 242,889 | ||||||||
Broadstone Net Lease, Inc. | 24,704 | (3.13 | )% | 217,603 | ||||||||
Mid-America Apartment Communities, Inc. | 5,273 | (5.94 | )% | 175,267 | ||||||||
Camden Property Trust | 4,095 | (3.20 | )% | 163,493 | ||||||||
JBG SMITH Properties | 39,577 | (4.44 | )% | 142,106 | ||||||||
Necessity Retail REIT, Inc. | 85,038 | (3.98 | )% | 125,411 | ||||||||
Apartment Income REIT Corp. | 12,898 | (3.44 | )% | 120,781 | ||||||||
Realty Income Corp. | 24,386 | (11.52 | )% | 77,871 | ||||||||
Apple Hospitality REIT, Inc. | 52,165 | (6.04 | )% | 50,044 | ||||||||
Host Hotels & Resorts, Inc. | 8,047 | (0.99 | )% | 27,678 | ||||||||
Federal Realty Investment Trust | 7,917 | (5.83 | )% | 19,124 | ||||||||
Phillips Edison & Company, Inc. | 45,356 | (11.04 | )% | 2,647 | ||||||||
STAG Industrial, Inc. | 40,845 | (10.30 | )% | (18,067 | ) | |||||||
Welltower, Inc. | 10,792 | (5.77 | )% | (113,524 | ) | |||||||
Total Financial | 2,381,947 | |||||||||||
Exchange Traded Funds | ||||||||||||
Vanguard Real Estate ETF | 11,486 | (7.11 | )% | 296,983 | ||||||||
Total GS Equity Market Neutral Short Custom Basket | $ | 2,678,930 |
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2023 |
* | 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 collateral at March 31, 2023. |
2 | Affiliated issuer. |
3 | All or a portion of this security is on loan at March 31, 2023 — See Note 5. |
4 | All or a portion of this security is pledged as futures collateral at March 31, 2023. |
5 | Rate indicated is the effective yield at the time of purchase. |
6 | Repurchase Agreements — See Note 4. |
7 | Securities lending collateral — See Note 5. |
8 | Rate indicated is the 7-day yield as of March 31, 2023. |
GS — Goldman Sachs International |
MS — Morgan Stanley Capital Services LLC |
plc — Public Limited Company |
REIT — Real Estate Investment Trust |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund's investments at March 31, 2023 (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 | $ | 26,132,821 | $ | — | $ | — | * | $ | 26,132,821 | |||||||
Rights | 59 | — | — | * | 59 | |||||||||||
Mutual Funds | 14,992,991 | — | — | 14,992,991 | ||||||||||||
Closed-End Funds | 7,154,884 | 12,415 | — | 7,167,299 | ||||||||||||
U.S. Treasury Bills | — | 11,178,156 | — | 11,178,156 | ||||||||||||
Repurchase Agreements | — | 20,181,255 | — | 20,181,255 | ||||||||||||
Securities Lending Collateral | 23,581 | — | — | 23,581 | ||||||||||||
Commodity Futures Contracts** | 941,996 | — | — | 941,996 | ||||||||||||
Equity Futures Contracts** | 739,892 | 20,066 | — | 759,958 | ||||||||||||
Currency Futures Contracts** | 241,840 | — | — | 241,840 | ||||||||||||
Interest Rate Futures Contracts** | 47,657 | 16,278 | — | 63,935 | ||||||||||||
Equity Custom Basket Swap Agreements** | — | 7,338,054 | — | 7,338,054 | ||||||||||||
Total Assets | $ | 50,275,721 | $ | 38,746,224 | $ | — | $ | 89,021,945 | ||||||||
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks Sold Short | $ | 3,100,154 | $ | — | $ | — | $ | 3,100,154 | ||||||||
Exchange-Traded Funds Sold Short | 7,062,367 | — | — | 7,062,367 | ||||||||||||
Commodity Futures Contracts** | 553,233 | — | — | 553,233 | ||||||||||||
Currency Futures Contracts** | 323,800 | — | — | 323,800 | ||||||||||||
Equity Futures Contracts** | 210,391 | 383 | — | 210,774 | ||||||||||||
Interest Rate Futures Contracts** | 12,282 | — | — | 12,282 | ||||||||||||
Total Liabilities | $ | 11,262,227 | $ | 383 | $ | — | $ | 11,262,610 |
* | Security has 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, 2022, 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/1601445/000182126822000340/gug84768.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Multi-Hedge Strategies Fund | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | March 31, 2023 |
Transactions during the period ended March 31, 2023, in which the company is an affiliated issuer, were as follows: | ||||||||||||||||||||||||||||||||
Security Name | Value 12/31/22 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 03/31/23 | Shares 03/31/23 | Investment Income | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 6,481,618 | $ | – | $ | – | $ | – | $ | 45,836 | $ | 6,527,454 | 269,618 | $ | 80,842 | |||||||||||||||||
Guggenheim Strategy Fund III | 1,901,492 | – | – | – | 15,016 | 1,916,508 | 79,031 | 23,510 | ||||||||||||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 6,501,817 | – | – | – | 47,212 | 6,549,029 | 674,462 | 79,486 | ||||||||||||||||||||||||
$ | 14,884,927 | $ | – | $ | – | $ | – | $ | 108,064 | $ | 14,992,991 | $ | 183,838 |
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (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 U.S. Securities and Exchange Commission (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. 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 (each, a “Fund” and together, 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 Subsidiaries
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 its Subsidiary which acts as an investment vehicle in order to effect certain investments consistent with the Fund’s investment objectives and policies.
Significant Accounting Policies
The Funds operate as investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the consolidated financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
(a) Valuation of Investments
The Board of Trustees of the Funds (the “Board”) adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). 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 when “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 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 the fair value of the Funds’ securities and 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 reviews 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, the investment is fair valued by the Adviser.
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (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 value of swap agreements entered into by a fund will 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 may utilize short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Consolidated Schedule of Investments.
Short Sales
A short sale is a transaction in which a Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.
The Funds may utilize derivatives for the following purposes:
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
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.
To the extent a Fund’s 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 an custom basket of securities) for a fixed or variable interest rate. Custom basket swaps will usually be computed based on the current value of the reference asset as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. When utilizing custom basket swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying reference asset declines in value.
In conjunction with short sales and the use of derivative instruments, the Funds are required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Funds use margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Funds as collateral.
The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
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 March 31, 2023, the repurchase agreements in the joint account were as follows:
Counterparty and Terms of Agreement | Face Value | Repurchase Price | Collateral | Par Value | Fair Value | |||||||||||||
J.P. Morgan Securities LLC | U.S. Treasury Bonds | |||||||||||||||||
4.80% | 1.38% - 2.88% | |||||||||||||||||
Due 04/03/23 | $ | 149,891,321 | $ | 149,951,278 | Due 08/15/50 - 05/15/52 | $ | 252,867,100 | $ | 152,889,157 | |||||||||
BofA Securities, Inc. | U.S. Treasury Bonds | |||||||||||||||||
4.78% | 1.88% - 3.00% | |||||||||||||||||
Due 04/03/23 | 59,219,537 | 59,243,126 | Due 02/15/41 - 11/15/44 | 72,519,500 | 60,404,008 | |||||||||||||
Barclays Capital, Inc. | U.S. Treasury Inflation Indexed Bond | |||||||||||||||||
4.80% | 0.13% - 1.00% | |||||||||||||||||
Due 04/03/23 | 59,219,537 | 59,243,225 | Due 10/15/26 - 02/15/46 | 64,469,037 | 60,404,002 |
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. Guggenheim Investments, 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. Securities 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 SCHEDULE OF INVESTMENTS (Unaudited)
At March 31, 2023, 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 | $ | 23,425 | $ | 23,581 |
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 of 1986, as amended (the “Internal Revenue Code”), applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax or federal excise tax is required.
Tax positions taken or expected to be taken in the course of preparing the Funds' tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds' tax positions taken, or to be taken, on U.S. federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Funds' consolidated financial statements. The Funds' U.S. federal income tax returns are subject to examination by the Internal Revenue Service ("IRS") for a period of three years after they are filed.
The Commodities Strategy Fund, Managed Futures Strategy Fund and Multi-Hedge Strategies Fund intend to invest up to 25% of their assets in the respective Subsidiary which is expected to provide the Funds with exposure to the commodities markets within the limitations of the U.S. federal income tax requirements under Subchapter M of the Internal Revenue Code. The Funds have received a private letter ruling from the IRS that concludes that the income the Funds receive from the Subsidiary will constitute qualifying income for purposes of Subchapter M of the Internal Revenue Code. The Subsidiary will be classified as a corporation for U.S. federal income tax purposes. A foreign corporation, such as the Subsidiary, will generally not be subject to U.S. federal income taxation unless it is deemed to be engaged in a U.S. trade or business. If, during a taxable year, the Subsidiary’s taxable losses (and other deductible items) exceed its income and gains, the net loss will not pass through to the Fund as a deductible amount for U.S. federal income tax purposes and cannot be carried forward to reduce future income from the Subsidiary in subsequent years.
At March 31, 2023, 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 | $ | 6,588,834 | $ | - | $ | (689,641 | ) | $ | (689,641 | ) | ||||||
Managed Futures Strategy Fund | 33,414,114 | 1,645,484 | (1,099,543 | ) | 545,941 | |||||||||||
Multi-Hedge Strategies Fund | 70,259,436 | 10,581,391 | (3,081,492 | ) | 7,499,899 |
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.
OTHER INFORMATION (Unaudited)
Sector Classification
Information in the Consolidated Schedule of Investments is categorized by sectors using sector-level classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.