| | |
| UNITED STATES
SECURITIES AND EXCHANGE COMMISSION |
| | |
| CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
|
| | |
| Investment Company Act file number: | (811-07237) |
| | |
| Exact name of registrant as specified in charter: | Putnam Investment Funds |
| | |
| Address of principal executive offices: | One Post Office Square, Boston, Massachusetts 02109 |
| | |
| Name and address of agent for service: | Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109 |
| | |
| Copy to: | Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036 |
| | |
| Registrant's telephone number, including area code: | (617) 292-1000 |
| | |
| Date of fiscal year end: | August 31, 2018 |
| | |
| Date of reporting period: | September 1, 2017 — February 28, 2018 |
| | |
|
Item 1. Report to Stockholders: | |
| | |
| The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940: | |
Putnam PanAgora
Market Neutral
Fund
Semiannual report
2 | 28 | 18
Consider these risks before investing: There can be no assurance that the fund’s strategies will achieve any particular level of return. The fund’s allocation of assets may hurt performance, and efforts to generate returns under different market conditions and over different time horizons may be unsuccessful. Quantitative models or data may be incorrect or incomplete, and reliance on those models or data may not produce the desired results. Stock and bond prices may fall or fail to rise over time for several reasons, including general financial market conditions, changing market perceptions (including, in the case of bonds, perceptions about the risk of default and expectations about monetary policy or interest rates), changes in government intervention in the financial markets, and factors related to a specific issuer or industry. These and other factors may also lead to increased volatility and reduced liquidity in the fund’s portfolio holdings. Investments in small and/or midsize companies increase the risk of greater price fluctuations. Bond investments in which the fund invests (or has exposure to) are subject to interest-rate risk and credit risk. Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Risks associated with derivatives (including “short” derivatives) include losses caused by unexpected market movements (which are potentially unlimited), imperfect correlation between the price of the derivative and the price of the underlying asset, increased investment exposure (which may be considered leverage), the potential inability to terminate or sell derivatives positions, the potential need to sell securities at disadvantageous times to meet margin or segregation requirements, the potential inability to recover margin or other amounts deposited from a counterparty, and the potential failure of the other party to the instrument to meet its obligations. Leveraging can result in volatility in the fund’s performance and losses in excess of the amounts invested. International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Exposure to REITs subjects the fund to the risks associated with direct ownership in real estate, including economic downturns that have an adverse effect on real estate markets. By investing in open-end or closed-end investment companies and ETFs, the fund is indirectly exposed to the risks associated with direct ownership of the securities held by those investment companies or ETFs. Certain investments are not as readily traded as conventional securities, and the fund may be unable to sell these investments when it considers it desirable to do so. Frequent trading may cause the fund to experience increased brokerage commissions and other transaction costs, and the fund may be more likely to realize capital gains that must be distributed to shareholders as taxable ordinary income. You can lose money by investing in the fund.
Message from the Trustees
April 20, 2018
Dear Fellow Shareholder:
After an extended period of record advances and low volatility, the U.S. stock market encountered some challenges in early 2018. Following several turbulent days, the S&P 500 Index entered correction territory on February 8, 2018, closing more than 10% below its January 2018 peak. Global stock and bond markets have also struggled as concerns grow about rising inflation and interest rates.
While declines like this can be unsettling, seasoned investors recognize that they are natural and ultimately can restore balance in the financial markets. In this changing environment, Putnam’s experienced investment professionals continue to monitor risks and seek opportunities. They take a research-intensive approach to investing that includes risk management strategies designed to serve investors in all types of markets.
As always, we believe investors should maintain a well-diversified portfolio, think about long-term goals, and speak regularly with their financial advisors. In the following pages, you will find an overview of your fund’s performance for the reporting period as well as an outlook for the coming months.
Thank you for investing with Putnam.
Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will fluctuate, and you may have a gain or a loss when you sell your shares. Performance of class A shares assumes reinvestment of distributions and does not account for taxes. Fund returns in the bar chart do not reflect a sales charge of 5.75%; had they, returns would have been lower. See below and pages 7–8 for additional performance information. For a portion of the period, the fund had an expense limitation, without which the return would have been lower. To obtain the most recent month-end performance, visit putnam.com.
This comparison shows your fund’s performance in the context of broad market indexes for the period from 9/21/17 (commencement of operations) to 2/28/18. See above and pages 7–8 for additional fund performance information. Index descriptions can be found on pages 11–12.
The short-term results of a relatively new fund are not necessarily indicative of its long-term prospects.
|
| 2 PanAgora Market Neutral Fund |
George D. Mussalli, CFA
Portfolio Manager
George is Chief Investment Officer and Head of Equity Research at PanAgora Asset Management. He has an M.B.A. from Sloan School of Business at the Massachusetts Institute of Technology and a B.S. from Tufts University. George joined PanAgora in 2004 and has been in the investment industry since 1995.
Richard Tan, CFA
Portfolio Manager
Richard is a Director in the Equity group at PanAgora Asset Management. He has an M.B.A. from Boston College Carroll School of Management, an M.S. in Computer Science from Rutgers University, and a B.A. from Shanghai Jiao Tong University. Richard joined PanAgora in 2008 and has been in the investment industry since 1997.
How was the investing environment during the reporting period?
Global equities performed strongly between September 2017 and late January 2018, reaching new highs in most markets. However, the upward trend was abruptly halted in February as investors reacted to a more hawkish than expected U.S. Federal Reserve meeting. Expectations quickly moved to price in four anticipated Fed interest-rate hikes for 2018, up from the previous expectation for three. Stocks corrected, with most of the major indexes declining by 5% or more, in early February. Investor expectations shifted toward a tightening of monetary policy in Europe, pushing equities, sovereign bonds, and commodities lower in February.
For the reporting period, several major global regions posted strong equity returns. U.S. equities performed best, with the S&P 500 Index gaining 9.12%. Emerging markets were second, with the MSCI Emerging Markets Index [ND] returning 8.04%, followed by developed non-U.S. markets, which gained 3.69% as measured by the MSCI World ex-U.S. Index [ND]. Within the United States, large-cap stocks outperformed small-caps, with the Russell 2000 Index gaining 5.21% compared with an
|
| PanAgora Market Neutral Fund 3 |
Global composition
| | | |
| | LONG (%) | SHORT (%) | NET (%) |
| North America | 142.5% | –134.0% | 8.5% |
| Emerging Markets | 20.1 | –18.0 | 2.1 |
| Asia Pacific ex-Japan | 15.3 | –13.3 | 2.0 |
| Continental Europe | 48.8 | –47.6 | 1.2 |
| Central America | 0.6 | –0.3 | 0.3 |
| Japan | 15.2 | –15.3 | –0.1 |
| United Kingdom | 8.7 | –9.7 | –1.0 |
| Middle East | 0.0 | –1.2 | –1.2 |
| Total | 251.2 | –239.4 | 11.8 |
The table shows the fund’s long and short exposures in each country or region and the percentage of the fund’s net assets that each represented as of 2/28/18. Allocations will not total 100% because the table reflects the notional value of derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities. Holdings and allocations may vary over time.
_________________________________________________________________________________________________________________________________________________________________________________________________________________________
increase of 8.86% for the Russell 1000 Index for the period.
After posting gains in the second half of 2017, bonds stumbled out of the gate to begin 2018. Several segments of the bond market posted negative returns in January and February. Treasury yields, especially at the longer maturities of the yield curve, rose at the start of 2018 and continued to rally. The jump in yields and selloff in bonds were largely fueled by signs of economic expansion and expectations of additional Fed rate hikes in 2018. Non-U.S. developed market government bond yields took their cues from the United States and rose at the start of the year, albeit at a slower pace. In the eurozone, sovereign bonds fared better as the European economy had not heated up as fast as its U.S. counterpart, and rising inflation had been less pronounced.
How did the fund perform for the period?
The fund returned –1.10% at net asset value for the period. The long-term portfolio declined 0.24%, with most of the underperformance coming from swap contracts of large-capitalization stocks in developed international markets. This was largely due to weakness in Europe, where companies with low profitability and
unstable earnings outperformed. The model fared much better in the United States, contributing positively to performance for the period. Intermediate-term strategies detracted 0.38%, while short-term strategies contributed 0.51%. Fund performance was primarily driven by stock selection achieved through swap contracts rather than by underlying sectors or industry allocations within the swaps.
What strategies or positions detracted from performance for the period?
Selection of swap contracts with stock exposure in information technology, energy, and consumer staples detracted from returns. Declines in information technology were concentrated in the software and services industry. In the energy sector, rising oil prices caused weaker energy companies to outperform, resulting in losses among the portfolio’s short positions. Examples included Pioneer Natural Resources and Helmerich & Payne. The stocks of these energy companies, which ranked poorly in our proprietary models, rallied during the period. Swap contracts with stocks that were selected in consumer staples was hurt by a short position in Snyder’s-Lance, which was acquired by Campbell Soup Co. We sold our position in Campbell Soup in the period.
|
| 4 PanAgora Market Neutral Fund |
Intermediate strategies detracted due to U.S. merger arbitrage-related trades.
What strategies or positions contributed to performance?
Exposure in financials and materials through swap contracts helped performance during the period. Within financials, our proprietary insurance model contributed positively, particularly long swap positions in Old Mutual and Reinsurance Group of America. We sold our position in Old Mutual during the period. In the materials sector, several long swap positions in metals and mining companies performed well. Short-term strategies contributed 0.51%, due in part to index reconstitution-related trades.
What is your outlook for the coming months?
The fund’s investment strategies are designed to derive uncorrelated returns purely from alpha generation rather than from market risk. The fund is designed to generate attractive absolute returns under different market conditions and, over time, different horizons. The combination of a diversified set of strategies that have low correlation to one another — rather than relying on one individual strategy — is designed to result in more stable returns over time.
The majority of the fund’s allocation is within the long-term portfolio, which utilizes fundamentally based signals applied across a broad universe of stocks, and is designed to provide the majority of return over a market cycle. We believe intermediate- and short-term strategies can provide additional alpha based on the number of corporate and market events.
Thank you, George and Richard, for your time and insights today.
ABOUT DERIVATIVES
Derivatives are an increasingly common type of investment instrument, the performance of which is derived from an underlying security, index, currency, or other area of the capital markets. Derivatives employed by the fund’s managers generally serve one purpose: to take long or short position in equity securities.
For example, the fund’s managers may use derivatives, such as total return swaps, to take long or short positions in equity securities. The fund may also use derivatives as a substitute for a direct investment in the securities of one or more issuers.
Like any other investment, derivatives may not appreciate in value and may lose money. Derivatives may amplify traditional investment risks through the creation of leverage and may be less liquid than traditional securities. And because derivatives typically represent contractual agreements between two financial institutions, derivatives entail “counterparty risk,” which is the risk that the other party is unable or unwilling to pay. PanAgora monitors the counterparty risks we assume. For example, PanAgora often enters into collateral agreements that require the counterparties to post collateral on a regular basis to cover their obligations to the fund. Counterparty risk for exchange-traded futures and centrally cleared swaps is mitigated by the daily exchange of margin and other safeguards against default through their respective clearinghouses.
|
| PanAgora Market Neutral Fund 5 |
The opinions expressed in this article represent the current, good-faith views of the author(s) at the time of publication, are provided for limited purposes, are not definitive investment advice, and should not be relied on as such. The information presented in this article has been developed internally and/or obtained from sources believed to be reliable; however, PanAgora Asset Management, Inc. (PanAgora) does not guar -antee the accuracy, adequacy, or completeness of such information. Predictions, opinions, and other information contained in this article are subject to change continually and without notice of any kind and may no longer be true after the date indicated. As with any investment there is a potential for profit as well as the possibility of loss.
Past performance is not a guarantee of future results. Any forward-looking statements speak only as of the date they are made, and PanAgora assumes no duty to and does not undertake to update forward-looking statements. Forward-looking statements are subject to numerous assumptions, risks, and uncertainties, which change over time. Actual results could differ materially from those anticipated in forward-looking statements. This material is directed exclusively at investment professionals. Any investments to which this material relates are available only to or will be engaged in only with investment professionals.
|
| 6 PanAgora Market Neutral Fund |
Your fund’s performance
This section shows your fund’s performance, price, and distribution information for the reporting period from September 21, 2017 (the fund’s commencement of operations) through February 28, 2018, the end of the first half of its current fiscal year. In accordance with regulatory requirements for mutual funds, we also include performance information as of the most recent calendar quarter-end and expense information taken from the fund’s current prospectus. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance information does not reflect any deduction for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. For the most recent month-end performance, please visit the Individual Investors section at putnam.com or call Putnam at 1-800-225-1581. Class R, R6, and Y shares are not available to all investors. See the Terms and definitions section in this report for definitions of the share classes offered by your fund.
Fund performance Total return for the life-of-fund period ended 2/28/18
| |
| (inception dates) | Life of fund |
| Class A (9/21/17) | |
| Before sales charge | –1.10% |
| After sales charge | –6.79 |
| Class B (9/21/17) | |
| Before CDSC | –1.50 |
| After CDSC | –6.43 |
| Class C (9/21/17) | |
| Before CDSC | –1.50 |
| After CDSC | –2.49 |
| Class M (9/21/17) | |
| Before sales charge | –1.30 |
| After sales charge | –4.75 |
| Class R (9/21/17) | |
| Net asset value | –1.30 |
| Class R6 (9/21/17) | |
| Net asset value | –1.00 |
| Class Y (9/21/17) | |
| Net asset value | –1.00 |
Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. After-sales-charge returns for class A and M shares reflect the deduction of the maximum 5.75% and 3.50% sales charge, respectively, levied at the time of purchase. Class B share returns after contingent deferred sales charge (CDSC) reflect the applicable CDSC, which is 5% in the first year, declining over time to 1% in the sixth year, and is eliminated thereafter. Class C share returns after CDSC reflect a 1% CDSC for the first year that is eliminated thereafter. Class R, R6, and Y shares have no initial sales charge or CDSC.
For a portion of the period, the fund had an expense limitation, without which returns would have been lower. The short-term results of a relatively new fund are not necessarily indicative of its long-term prospects.
|
| PanAgora Market Neutral Fund 7 |
Comparative index returns For the period ended 2/28/18
| |
| | Life of fund |
| | (since 9/21/17) |
| ICE BofAML U. S. Treasury Bill Index | 0.48% |
| Lipper Alternative Equity Market Neutral Funds | |
| category average* | 0.21 |
Index and Lipper results should be compared with fund performance before sales charge, before CDSC, or at net asset value.
* Over the life-of-fund period ended 2/28/18, there were 109 funds in this Lipper category.
Fund price and distribution information For the life-of-fund period ended 2/28/18
| | | | | | | | | |
| | Class A | Class B | Class C | Class M | Class R | ClassR6 | Class Y |
| | Before | After | Net | Net | Before | After | Net | Net | Net |
| | sales | sales | asset | asset | sales | sales | asset | asset | asset |
| Share value | charge | charge | value | value | charge | charge | value | value | value |
| 9/21/17* | $10.00 | $10.61 | $10.00 | $10.00 | $10.00 | $10.36 | $10.00 | $10.00 | $10.00 |
| 2/28/18 | 9.89 | 10.49 | 9.85 | 9.85 | 9.87 | 10.23 | 9.87 | 9.90 | 9.90 |
The classification of distributions, if any, is an estimate. Before-sales-charge share value and current dividend rate for class A and M shares, if applicable, do not take into account any sales charge levied at the time of purchase. After-sales-charge share value, current dividend rate, and current 30-day SEC yield, if applicable, are calculated assuming that the maximum sales charge (5.75% for class A shares and 3.50% for class M shares) was levied at the time of purchase. Final distribution information will appear on your year-end tax forms.
The fund made no distributions during the period.
* Inception date of the fund.
Fund performance as of most recent calendar quarter Total return for the periods ended 3/31/18
| | |
| (inception dates) | Life of fund | 6 months |
| Class A (9/21/17) | | |
| Before sales charge | –2.80% | –2.31% |
| After sales charge | –8.39 | –7.93 |
| Class B (9/21/17) | | |
| Before CDSC | –3.20 | –2.71 |
| After CDSC | –8.04 | –7.58 |
| Class C (9/21/17) | | |
| Before CDSC | –3.20 | –2.71 |
| After CDSC | –4.17 | –3.69 |
| Class M (9/21/17) | | |
| Before sales charge | –3.10 | –2.61 |
| After sales charge | –6.49 | –6.02 |
| Class R (9/21/17) | | |
| Net asset value | –2.90 | –2.41 |
| Class R6 (9/21/17) | | |
| Net asset value | –2.70 | –2.21 |
| Class Y (9/21/17) | | |
| Net asset value | –2.70 | –2.21 |
See the discussion following the fund performance table on page 7 for information about the calculation of fund performance.
|
| 8 PanAgora Market Neutral Fund |
Your fund’s expenses
As a mutual fund investor, you pay ongoing expenses, such as management fees, distribution fees (12b-1 fees), and other expenses. During the period from 9/21/17 (the fund’s commencement of operations) to 2/28/18, your fund’s expenses were limited; had expenses not been limited, they would have been higher. Using the following information, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You may also pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial representative.
Expense ratios
| | | | | | | |
| | Class A | Class B | Class C | Class M | Class R | Class R6 | Class Y |
| Estimated net expenses for the fiscal | | | | | | | |
| year ended 8/31/17*† | 1.90% | 2.65% | 2.65% | 2.40% | 2.15% | 1.55% | 1.65% |
| Estimated total annual operating | | | | | | | |
| expenses for the fiscal year | | | | | | | |
| ended 8/31/17* | 2.29% | 3.04% | 3.04% | 2.79% | 2.54% | 1.94% | 2.04% |
| Annualized expense ratio from 9/21/17 | | | | | | | |
| (commencement of operations) | | | | | | | |
| to 2/28/18 | 1.81% | 2.56% | 2.56% | 2.31% | 2.06% | 1.56% | 1.56% |
Fiscal-year expense information in this table is taken from the most recent prospectus, is subject to change, and may differ from that shown for the annualized expense ratio and in the financial highlights of this report.
Expenses are shown as a percentage of average net assets.
* Other expenses are based on estimated amounts for the current fiscal year.
† Reflects Putnam Management’s contractual obligation to limit certain fund expenses through 12/30/18.
Expenses per $1,000
The following table shows the expenses you would have paid on a $1,000 investment in each class of the fund from 9/21/17 (commencement of operations) to 2/28/18. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
| | | | | | | |
| | Class A | Class B | Class C | Class M | Class R | Class R6 | Class Y |
| Expenses paid per $1,000 *† | $7.94 | $11.21 | $11.21 | $10.12 | $9.03 | $6.85 | $6.85 |
| Ending value (after expenses) | $989.00 | $985.00 | $985.00 | $987.00 | $987.00 | $990.00 | $990.00 |
* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the period from 9/21/17 (inception date of the class) to 2/28/18. The expense ratio may differ for each share class.
† Expenses are calculated by multiplying the expense ratio by the average account value for the period; then multiplying the result by the number of days in the period; and then dividing that result by the number of days in the year.
|
| PanAgora Market Neutral Fund 9 |
Estimate the expenses you paid
To estimate the ongoing expenses you paid for the period from 9/21/17 (commencement of operations) to 2/28/18, use the following calculation method. To find the value of your investment on 9/21/17, call Putnam at 1-800-225-1581.
Compare expenses using the SEC’s method
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the following table shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total costs) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
| | | | | | | |
| | Class A | Class B | Class C | Class M | Class R | Class R6 | Class Y |
| Expenses paid per $1,000 *† | $9.05 | $12.77 | $12.77 | $11.53 | $10.29 | $7.80 | $7.80 |
| Ending value (after expenses) | $1,015.82 | $1,012.10 | $1,012.10 | $1,013.34 | $1,014.58 | $1,017.06 | $1,017.06 |
* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the period from 9/21/17 (inception date of the class) to 2/28/18. The expense ratio may differ for each share class.
† Expenses are calculated by multiplying the expense ratio by the average account value for the six-month period; then multiplying the result by the number of days in the six-month period; and then dividing that result by the number of days in the year.
| |
| 10 PanAgora Market Neutral Fund |
Terms and definitions
Important terms
Total return shows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.
Before sales charge, or net asset value, is the price, or value, of one share of a mutual fund, without a sales charge. Before-sales-charge figures fluctuate with market conditions, and are calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class.
After sales charge is the price of a mutual fund share plus the maximum sales charge levied at the time of purchase. After-sales-charge performance figures shown here assume the 5.75% maximum sales charge for class A shares and 3.50% for class M shares.
Contingent deferred sales charge (CDSC) is generally a charge applied at the time of the redemption of class B or C shares and assumes redemption at the end of the period. Your fund’s class B CDSC declines over time from a 5% maximum during the first year to 1% during the sixth year. After the sixth year, the CDSC no longer applies. The CDSC for class C shares is 1% for one year after purchase.
Share classes
Class A shares are generally subject to an initial sales charge and no CDSC (except on certain redemptions of shares bought without an initial sales charge).
Class B shares are closed to new investments and are only available by exchange from another Putnam fund or through dividend and/or capital gains reinvestment. They are not subject to an initial sales charge and may be subject to a CDSC.
Class C shares are not subject to an initial sales charge and are subject to a CDSC only if the shares are redeemed during the first year.
Class M shares have a lower initial sales charge and a higher 12b-1 fee than class A shares and no CDSC.
Class R shares are not subject to an initial sales charge or CDSC and are only available to employer-sponsored retirement plans.
Class R6 shares are not subject to an initial sales charge or CDSC, and carry no 12b-1 fee. Effective March 1, 2018, they are generally only available to employer-sponsored retirement plans, corporate and institutional clients, and clients in other approved programs.
Class Y shares are not subject to an initial sales charge or CDSC, and carry no 12b-1 fee. They are generally only available to corporate and institutional clients and clients in other approved programs.
Comparative indexes
Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.
ICE BofAML (Intercontinental Exchange Bank of America Merrill Lynch) U.S. Treasury Bill Index is an unmanaged index that tracks the performance of U.S. dollar-denominated U.S. Treasury bills publicly issued in the U.S. domestic market. Qualifying securities must have a remaining term of at least one month to final maturity and a minimum amount outstanding of $1 billion.
MSCI Emerging Markets Index (ND) is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets. Calculated with net dividends (ND), this total return index reflects the reinvestment of dividends after the deduction of withholding taxes, using a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties.
|
| PanAgora Market Neutral Fund 11 |
MSCI World ex-U.S. Index (ND) is an unmanaged index of equity securities from developed countries, excluding the United States. Calculated with net dividends (ND), this total return index reflects the reinvestment of dividends after the deduction of withholding taxes, using a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties.
Russell 1000 Index is an unmanaged index of the 1,000 largest U.S. companies.
Russell 2000 Index is an unmanaged index of 2,000 small companies in the Russell 3000 Index.
S&P 500 Index is an unmanaged index of common stock performance.
ICE Data Indices, LLC (“ICE BofAML”), used with permission. ICE BofAML permits use of the ICE BofAML indices and related data on an “as is” basis; makes no warranties regarding same; does not guarantee the suitability, quality, accuracy, timeliness, and/or completeness of the ICE BofAML indices or any data included in, related to, or derived therefrom; assumes no liability in connection with the use of the foregoing; and does not sponsor, endorse, or recommend Putnam Investments, or any of its products or services.
Indexes assume reinvestment of all distributions and do not account for fees. Securities and performance of a fund and an index will differ. You cannot invest directly in an index.
Frank Russell Company is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. Russell® is a trademark of Frank Russell Company.
Lipper is a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund’s category assignment at its discretion. Lipper category averages reflect performance trends for funds within a category.
| |
| 12 PanAgora Market Neutral Fund |
Other information for shareholders
Important notice regarding delivery of shareholder documents
In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single copy of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581, and Putnam will begin sending individual copies within 30 days.
Proxy voting
Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2018, will be available in the Individual Investors section of putnam.com, and on the SEC’s website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.
Fund portfolio holdings
The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Shareholders may obtain the fund’s Form N-Q on the SEC’s website at www.sec.gov. In addition, the fund’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. You may call the SEC at 1-800-SEC-0330 for information about the SEC’s website or the operation of the Public Reference Room.
Trustee and employee fund ownership
Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of February 28, 2018, Putnam employees had approximately $528,000,000 and the Trustees had approximately $81,000,000 invested in Putnam mutual funds. These amounts include investments by the Trustees’ and employees’ immediate family members as well as investments through retirement and deferred compensation plans.
|
| PanAgora Market Neutral Fund 13 |
Trustee approval of management contract
General conclusions
In June 2017, the Putnam Funds’ Board of Trustees, which oversees the management of each Putnam fund, approved your fund’s management contract with Putnam Investment Management, LLC (“Putnam Management”) and the sub-advisory contract with respect to your fund between Putnam Management and its affiliate, PanAgora Asset Management, Inc. (“PanAgora”).
The Board, with the assistance of its Contract Committee, which consists solely of Trustees who are not “interested persons” (as this term is defined in the Investment Company Act of 1940, as amended) of The Putnam Funds (“Independent Trustees”), requested and evaluated all information it deemed reasonably necessary under the circumstances in connection with its approval of your fund’s management contract and sub-advisory contract. Over the course of the several months ending in June 2017, the Contract Committee and other committees of the Board met with representatives of Putnam Management and PanAgora, and separately in executive session, to consider the information that Putnam Management and PanAgora provided and other information developed with the assistance of the Board’s independent counsel and independent staff. The Independent Trustees also took into consideration the Contract Committee’s review and consideration of the other Putnam funds’ management, sub-management, and sub-advisory contracts and related information over the course of several months leading up to their June 2017 meeting.
On June 22, 2017, the Contract Committee recommended, and on June 23, 2017, the Independent Trustees approved, the initial execution and continuance of your fund’s management and sub-advisory contracts.
The Independent Trustees’ approval was based on the following conclusions:
• That the proposed fee schedule for your fund would represent reasonable compensation in light of the nature and quality of the services to be provided to the fund and the fees paid by competitive funds; and
• That the proposed fee schedule would represent an appropriate sharing between fund shareholders, Putnam Management and PanAgora of such economies of scale as may exist in the management of the fund at anticipated future asset levels.
These conclusions were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations and how the Trustees considered these factors are described below, although individual Trustees may have evaluated the information presented differently, giving different weights to various factors.
Management fee schedules and total expenses
The Trustees considered the proposed management fee schedule for your fund, including fee levels and breakpoints, in light of the fund’s proposed investment program. The Trustees also focused on the competitiveness of your fund’s fee schedule in comparison to other Putnam funds and to market competitors.
Your fund has the benefit of breakpoints in its management fee that provide shareholders with economies of scale in the form of reduced fee rates as assets under management of all open-end funds sponsored by Putnam Management for which PanAgora acts as sub-adviser launched on or after the date of your fund’s management contract.
The Trustees also focused on the competitiveness of your fund’s projected total expense ratio. In order to support the effort to have fund expenses of the Putnam funds continue to meet evolving competitive standards, the Trustees and Putnam Management have implemented certain expense limitations. These expense limitations attempt to maintain competitive expense levels for the funds. The expense limitations were: (i) a contractual expense limitation applicable to specified retail open-end funds of 25 basis points on investor servicing fees and expenses and (ii) a contractual expense limitation applicable to specified open-end funds of 20 basis points on so-called “other expenses” (i.e., all expenses exclusive of management fees, distribution fees, investor servicing fees, investment-related expenses, interest, taxes, brokerage commissions, acquired fund fees and expenses and extraordinary expenses). Putnam Management has agreed to maintain these expense limitations until at least December 30, 2018. Putnam Management’s
| |
| 14 PanAgora Market Neutral Fund |
support for these expense limitation arrangements was an important factor in the Trustees’ decision to approve your fund’s management and sub-advisory contracts.
The information examined by the Trustees in connection with their contract review for your fund included information regarding fees charged by Putnam Management and by PanAgora to certain of their other clients. The Trustees did not rely on these comparisons to any significant extent in concluding that the management fees paid by your fund are reasonable.
Investment performance
Because your fund was not yet operational, the Trustees were not able to consider your fund’s performance before their initial approval of your fund’s management and sub-advisory contracts.
Brokerage and soft-dollar allocations; investor servicing
The Trustees considered various potential benefits that PanAgora may receive in connection with the services it provides under the sub-advisory contract with your fund. These include benefits related to brokerage allocation and the use of soft dollars, whereby a portion of the commissions paid by the fund for brokerage may be used to acquire research services that are expected to be useful to PanAgora in managing the assets of the fund and of other clients.
Putnam Management may also receive benefits from payments that the fund makes to Putnam Management’s affiliates for investor or distribution services. In conjunction with the June 2017 initial review and continuance of your fund’s management and sub-advisory contracts, the Trustees reviewed your fund’s proposed investor servicing agreement with Putnam Investor Services, Inc. (“PSERV”) and its proposed distributor’s contracts and distribution plans with Putnam Retail Management Limited Partnership (“PRM”), both of which are affiliates of Putnam Management. The Trustees concluded that the proposed fees to be paid by your fund to PSERV and PRM, as applicable, for such services are fair and reasonable in relation to the expected nature and quality of such services, the fees paid by competitive funds, and the expected costs incurred by PSERV and PRM, as applicable, in providing such services. Furthermore, the Trustees were of the view that the services provided were required for the operation of the funds, and that they were of a quality at least equal to those provided by other providers.
|
| PanAgora Market Neutral Fund 15 |
Financial statements
These sections of the report, as well as the accompanying Notes, constitute the fund’s financial statements.
The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.
Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)
Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal period.
Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year.
Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.
| |
| 16 PanAgora Market Neutral Fund |
The fund’s portfolio 2/28/18 (Unaudited)
| | |
| INVESTMENT COMPANIES (13.5%)* | Shares | Value |
| State Street Institutional US Government Money Market Fund | 1,533,642 | $1,533,642 |
| Total investment companies (cost $1,533,709) | | $1,533,642 |
| |
| SHORT-TERM INVESTMENTS (88.2%)* | Principal amount | Value |
| U. S. Treasury Bills with effective yields ranging from 1.251% | | |
| to 1.742%, 9/13/18 ∆ | $10,100,000 | $10,001,697 |
| Total short-term investments (cost $10,027,475) | | $10,001,697 |
| |
| TOTAL INVESTMENTS | | |
| Total investments (cost $11,561,184) | | $11,535,339 |
| |
| Key to holding’s abbreviations |
| |
| ADR/Adr | American Depository Receipts: represents ownership of foreign securities on deposit with a |
| | custodian bank |
| ETF/Etf | Exchange Traded Fund |
| GDR/Gdr | Global Depository Receipts: represents ownership of foreign securities on deposit with a |
| | custodian bank |
| NVDR/Nvdr | Non-voting Depository Receipts |
| OTC | Over-the-counter |
| PJSC/Pjsc | Public Joint Stock Company |
| REGS/Regs | Securities sold under Regulation S may not be offered, sold or delivered within the United |
| | States except pursuant to an exemption from, or in a transaction not subject to, the registration |
| | requirements of the Securities Act of 1933. |
| SPDR/Spdr | S&P Depository Receipts |
Notes to the fund’s portfolio
Unless noted otherwise, the notes to the fund’s portfolio are for the close of the fund’s reporting period, which ran from September 21, 2017 (commencement of operations) through February 28, 2018 (the reporting period). Within the following notes to the portfolio, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures.
* Percentages indicated are based on net assets of $11,337,047.
∆ This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $6,897,300 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 8).
The dates shown on debt obligations are the original maturity dates.
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC | | | | |
| $3,325 | $3,173 | $— | 9/25/19 | (Federal Funds | 1&1 Drillisch Ag— | $(152) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 30,609 | 30,268 | — | 9/25/19 | (Federal Funds | 3I Group Plc— | (342) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 17 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $46,740 | $45,800 | $— | 9/25/19 | (Federal Funds | Abb Ltd-Reg— | $(941) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 45,621 | 44,786 | — | 9/25/19 | (Federal Funds | Abiomed Inc— | (837) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 114,720 | 113,298 | — | 9/25/19 | (Federal Funds | Acs Actividades | (1,428) |
| | | | | Effective Rate | Cons Y Serv— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 16,548 | 15,589 | — | 9/27/19 | (Federal Funds | Adaro Energy Tbk | (961) |
| | | | | Effective Rate | Pt—Monthly | |
| | | | | US plus 0.75%) — | | |
| | | | | Monthly | | |
| 17,638 | 17,700 | — | 9/25/19 | (Federal Funds | Advanced | 61 |
| | | | | Effective Rate US | Semiconductor | |
| | | | | plus 0.35%) — | Engineering Inc— | |
| | | | | Monthly | Monthly | |
| 34,619 | 33,450 | — | 9/25/19 | (Federal Funds | Aecom—Monthly | (1,170) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 37,378 | 37,736 | — | 9/26/19 | (Federal Funds | Aeon Mall Co Ltd— | 626 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 41,653 | 41,963 | — | 9/25/19 | (Federal Funds | Aetna Inc—Monthly | 309 |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 21,015 | 20,702 | — | 9/25/19 | (Federal Funds | Agile Group | (314) |
| | | | | Effective Rate | Holdings Ltd— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 78,061 | 75,861 | — | 9/25/19 | (Federal Funds | Agilent | (2,205) |
| | | | | Effective Rate | Technologies Inc— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 21,031 | 20,012 | — | 9/25/19 | (Federal Funds | Agricultural Bank Of | (1,020) |
| | | | | Effective Rate | China Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 38,360 | 40,842 | — | 9/25/19 | (Federal Funds | Air New Zealand | 2,480 |
| | | | | Effective Rate | Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| |
| 18 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $40,968 | $41,132 | $— | 9/26/19 | (Federal Funds | Aisin Seiki Co Ltd— | $163 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 16,401 | 16,506 | — | 9/26/19 | (Federal Funds | Ajinomoto Co Inc— | 104 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 49,118 | 48,301 | — | 9/25/19 | (Federal Funds | Akamai | (819) |
| | | | | Effective Rate | Technologies Inc— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 37,557 | 36,678 | — | 9/25/19 | (Federal Funds | Aker Bp Asa— | (880) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 28,827 | 16,127 | — | 9/25/19 | (Federal Funds | Akorn Inc—Monthly | (12,699) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 37,326 | 38,380 | — | 9/26/19 | (Federal Funds | Alfresa Holdings | 1,052 |
| | | | | Effective Rate | Corp—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 72,769 | 72,367 | — | 9/25/19 | (Federal Funds | Allianz Se-Reg— | (405) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 108,417 | 109,022 | — | 9/25/19 | (Federal Funds | Allison Transmission | 600 |
| | | | | Effective Rate | Holding—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 33,130 | 31,922 | — | 9/25/19 | (Federal Funds | Allstate Corp— | (1,210) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 52,613 | 50,818 | — | 9/25/19 | (Federal Funds | Alphabet Inc-Cl C— | (1,797) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 116,808 | 111,976 | — | 9/25/19 | (Federal Funds | Altaba Inc—Monthly | (4,838) |
| | | | | Effective Rate US | | |
| | | | | plus 0.30%) — | | |
| | | | | Monthly | | |
| 29,771 | 28,642 | — | 9/25/19 | (Federal Funds | Altria Group Inc— | (1,130) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 19 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $182,634 | $181,494 | $— | 9/25/19 | (Federal Funds | Amazon.Com Inc— | $(1,149) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 17,657 | 17,266 | — | 9/25/19 | (Federal Funds | Amcor Limited— | (65) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 31,453 | 29,890 | — | 9/25/19 | (Federal Funds | America Movil-Spn | (1,565) |
| | | | | Effective Rate | Adr Cl L—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 38,013 | 36,469 | — | 9/25/19 | (Federal Funds | American Express | (1,546) |
| | | | | Effective Rate US | Co—Monthly | |
| | | | | plus 0.30%) — | | |
| | | | | Monthly | | |
| 124,662 | 120,146 | — | 9/25/19 | (Federal Funds | Ameriprise Financial | (4,521) |
| | | | | Effective Rate | Inc—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 18,264 | 18,332 | — | 9/25/19 | (Federal Funds | Amp Ltd—Monthly | 66 |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 34,307 | 34,937 | — | 9/25/19 | (Federal Funds | Amplifon Spa— | 630 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 10,094 | 9,993 | — | 9/25/19 | (Federal Funds | Amundi Sa— | (101) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 21,731 | 21,443 | — | 9/25/19 | (Federal Funds | Anhui Conch | (289) |
| | | | | Effective Rate | Cement Co Ltd-H— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 34,588 | 34,446 | — | 9/25/19 | (Federal Funds | Apartment | (142) |
| | | | | Effective Rate US | Investment & | |
| | | | | plus 0.30%) — | Management Co— | |
| | | | | Monthly | Monthly | |
| 11,551 | 11,460 | — | 9/25/19 | (Federal Funds | Applied Materials | (90) |
| | | | | Effective Rate | Inc—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 42,529 | 41,007 | — | 9/25/19 | (Federal Funds | Aptiv Plc—Monthly | (1,524) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| |
| 20 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $18,095 | $17,676 | $— | 9/25/19 | (Federal Funds | Aqua America Inc— | $(420) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 11,816 | 11,869 | — | 9/25/19 | (Federal Funds | Arista Networks | 53 |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | plus 0.30%) — | | |
| | | | | Monthly | | |
| 36,005 | 34,910 | — | 9/25/19 | (Federal Funds | Arris International | (1,097) |
| | | | | Effective Rate US | Plc—Monthly | |
| | | | | plus 0.30%) — | | |
| | | | | Monthly | | |
| 9,222 | 9,219 | — | 9/25/19 | (Federal Funds | Assa Abloy Ab-B— | (3) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 18,631 | 19,255 | — | 9/26/19 | (Federal Funds | Astellas Pharma | 624 |
| | | | | Effective Rate | Inc—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 14,989 | 14,457 | — | 9/27/19 | (Federal Funds | Astro Malaysia | (533) |
| | | | | Effective Rate | Holdings Bhd— | |
| | | | | US plus 0.75%) — | Monthly | |
| | | | | Monthly | | |
| 19,090 | 19,110 | — | 9/25/19 | (Federal Funds | Asx Ltd—Monthly | 20 |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 5,769 | 5,590 | — | 9/25/19 | (Federal Funds | At&T Inc—Monthly | (179) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 132,000 | 129,450 | — | 9/25/19 | (Federal Funds | Athene Holding Ltd- | (2,557) |
| | | | | Effective Rate | Class A—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 4,807 | 4,737 | — | 9/25/19 | (Federal Funds | Attendo Ab— | (70) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 53,721 | 48,525 | — | 9/25/19 | (Federal Funds | Autozone Inc— | (5,197) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 132,842 | 130,674 | — | 9/25/19 | (Federal Funds | Avery Dennison | (2,174) |
| | | | | Effective Rate | Corp—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 21 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $64,379 | $62,944 | $— | 9/25/19 | (Federal Funds | Avista Corp— | $(1,437) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 42,144 | 41,959 | — | 9/25/19 | (Federal Funds | Aviva Plc—Monthly | (187) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 34,442 | 33,233 | — | 9/25/19 | (Federal Funds | Axalta Coating | (1,210) |
| | | | | Effective Rate US | Systems Ltd— | |
| | | | | plus 0.30%) — | Monthly | |
| | | | | Monthly | | |
| 125,319 | 124,953 | — | 9/25/19 | (Federal Funds | Axfood Ab— | (373) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 10,742 | 10,022 | — | 9/26/19 | (Federal Funds | Ayala Land Inc— | (721) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.75%) — | | |
| | | | | Monthly | | |
| 26,145 | 25,733 | — | 9/26/19 | (Federal Funds | Banco Do Brasil | (414) |
| | | | | Effective Rate | S. A.—Monthly | |
| | | | | US plus 0.65%) — | | |
| | | | | Monthly | | |
| 1,932 | 1,920 | — | 9/27/19 | (Federal Funds | Bank Danamon | (12) |
| | | | | Effective Rate | Indonesia Tbk— | |
| | | | | US plus 0.75%) — | Monthly | |
| | | | | Monthly | | |
| 102,350 | 101,340 | — | 9/25/19 | (Federal Funds | Bank Of America | (1,013) |
| | | | | Effective Rate | Corp—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 14,724 | 14,187 | — | 9/25/19 | (Federal Funds | Bank Of China Ltd— | (537) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 10,538 | 10,566 | — | 9/25/19 | (Federal Funds | Bank Of East Asia | 27 |
| | | | | Effective Rate | Ltd/The—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 35,606 | 34,902 | — | 9/25/19 | (Federal Funds | Bank Of New York | (706) |
| | | | | Effective Rate US | Mellon Corp/The— | |
| | | | | plus 0.30%) — | Monthly | |
| | | | | Monthly | | |
| 83,084 | 83,139 | — | 9/25/19 | (Federal Funds | Bank Of Nova | 52 |
| | | | | Effective Rate | Scotia—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| |
| 22 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $19,328 | $19,163 | $— | 9/27/19 | (Federal Funds | Bank Rakyat | $(166) |
| | | | | Effective Rate | Indonesia Perser— | |
| | | | | US plus 0.75%) — | Monthly | |
| | | | | Monthly | | |
| 54,838 | 54,304 | — | 9/25/19 | (Federal Funds | Bankinter Sa— | (537) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 12,088 | 11,818 | — | 9/25/19 | (Federal Funds | Beijing Capital Intl | (271) |
| | | | | Effective Rate | Airpo-H—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 11,198 | 11,131 | — | 9/25/19 | (Federal Funds | Beijing Enterprises | (68) |
| | | | | Effective Rate | Holdings—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 92,688 | 91,229 | — | 9/25/19 | (Federal Funds | Berry Global Group | (1,462) |
| | | | | Effective Rate | Inc—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 131,134 | 130,899 | — | 9/25/19 | (Federal Funds | Best Buy Co Inc— | (241) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 17,881 | 17,707 | — | 9/25/19 | (Federal Funds | Bhp Billiton Ltd— | (175) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 17,560 | 16,953 | — | 9/25/19 | (Federal Funds | Bhp Billiton Plc— | (607) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 74,382 | 74,304 | — | 9/25/19 | (Federal Funds | Billerudkorsnas | (81) |
| | | | | Effective Rate | Ab—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 159,772 | 159,742 | — | 9/25/19 | (Federal Funds | Bioverativ Inc— | (38) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 106,253 | 105,259 | — | 9/25/19 | (Federal Funds | Black Knight Inc— | (1,000) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 44,795 | 44,795 | — | 9/25/19 | (Federal Funds | Blackhawk Network | (2) |
| | | | | Effective Rate US | Holdings Inc— | |
| | | | | plus 0.30%) — | Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 23 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $33,838 | $32,966 | $— | 9/25/19 | (Federal Funds | Blackrock Inc— | $(874) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 118,494 | 118,080 | — | 9/25/19 | (Federal Funds | Boeing Co/The— | (419) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 1,048 | 1,010 | — | 9/25/19 | (Federal Funds | Bonava Ab-B | (38) |
| | | | | Effective Rate | Shares—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 50,405 | 47,657 | — | 9/25/19 | (Federal Funds | Borgwarner Inc— | (2,585) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 63,997 | 62,031 | — | 9/25/19 | (Federal Funds | Brighthouse | (1,968) |
| | | | | Effective Rate | Financial Inc— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 15,094 | 14,372 | — | 9/25/19 | (Federal Funds | British Land Co Plc— | (722) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 105,480 | 102,774 | — | 9/25/19 | (Federal Funds | Broadcom Ltd— | (2,713) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 35,541 | 35,334 | — | 9/25/19 | (Federal Funds | Broadridge | (209) |
| | | | | Effective Rate | Financial Solutio— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 34,311 | 35,241 | — | 9/26/19 | (Federal Funds | Brother Industries | 928 |
| | | | | Effective Rate | Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 63,532 | 61,719 | — | 9/25/19 | (Federal Funds | Brunswick Corp/ | (1,815) |
| | | | | Effective Rate | De—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 116,080 | 112,821 | — | 9/25/19 | (Federal Funds | Cadence Design Sys | (3,265) |
| | | | | Effective Rate | Inc—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 91,275 | 90,866 | — | 9/25/19 | (Federal Funds | Cae Inc—Monthly | (413) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| |
| 24 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $45,162 | $45,162 | $— | 9/25/19 | (Federal Funds | Callidus Software | $(2) |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | plus 0.30%) — | | |
| | | | | Monthly | | |
| 103,481 | 103,481 | — | 9/25/19 | (Federal Funds | Calpine Corp— | (4) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 95,143 | 96,333 | — | 9/25/19 | (Federal Funds | Caltex Australia | 1,186 |
| | | | | Effective Rate | Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 3,592 | 3,539 | — | 9/25/19 | (Federal Funds | Canadian Tire Corp- | (54) |
| | | | | Effective Rate | Class A—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 22,319 | 23,032 | — | 9/26/19 | (Federal Funds | Canon Inc.— | 712 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 16,474 | 15,749 | — | 9/25/19 | (Federal Funds | Capita Plc—Monthly | (725) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 43,029 | 42,451 | — | 9/25/19 | (Federal Funds | Carnival Plc— | (580) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 25,960 | 24,459 | — | 9/25/19 | (Federal Funds | Cars. Com Inc— | (1,503) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 17,167 | 17,460 | — | 9/25/19 | (Federal Funds | Catcher Technology | 291 |
| | | | | Effective Rate US | Co Ltd—Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 108,690 | 102,674 | — | 9/25/19 | (Federal Funds | Caterpillar Inc— | (6,021) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 14,812 | 14,934 | — | 9/25/19 | (Federal Funds | Cathay Financial | 121 |
| | | | | Effective Rate US | Holding Co— | |
| | | | | plus 0.35%) — | Monthly | |
| | | | | Monthly | | |
| 90,479 | 90,287 | — | 9/25/19 | (Federal Funds | Cavium Inc— | (196) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 25 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $94,959 | $95,183 | $— | 9/25/19 | (Federal Funds | Cbre Group Inc— | $219 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 8,947 | 7,818 | — | 9/26/19 | (Federal Funds | Ccr Sa—Monthly | (1,129) |
| | | | | Effective Rate | | |
| | | | | US plus 0.65%) — | | |
| | | | | Monthly | | |
| 14,707 | 14,267 | — | 9/25/19 | (Federal Funds | Celltrion Pharm | (441) |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 102,269 | 101,014 | — | 9/25/19 | (Federal Funds | Centene Corp— | (1,259) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 46,742 | 45,727 | — | 9/25/19 | (Federal Funds | Centrica Plc— | (1,017) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 33,654 | 32,141 | — | 9/25/19 | (Federal Funds | Charter | (1,514) |
| | | | | Effective Rate | Communications | |
| | | | | US plus 0.25%) — | Inc-A—Monthly | |
| | | | | Monthly | | |
| 8,881 | 8,777 | — | 9/25/19 | (Federal Funds | Cheil Worldwide | (105) |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 49,212 | 45,800 | — | 9/25/19 | (Federal Funds | Chemours Co/The— | (3,417) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 67,156 | 65,585 | — | 9/25/19 | (Federal Funds | Chevron Corp— | (1,572) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 11,194 | 11,423 | — | 9/25/19 | (Federal Funds | China Airlines Ltd— | 228 |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 13,512 | 13,150 | — | 9/25/19 | (Federal Funds | China Cinda Asset | (363) |
| | | | | Effective Rate | Management Co | |
| | | | | US plus 0.25%) — | Ltd—Monthly | |
| | | | | Monthly | | |
| 10,791 | 10,719 | — | 9/25/19 | (Federal Funds | China | (73) |
| | | | | Effective Rate | Communications | |
| | | | | US plus 0.25%) — | Servi-H—Monthly | |
| | | | | Monthly | | |
| |
| 26 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $14,084 | $14,062 | $— | 9/25/19 | (Federal Funds | China Medical | $(23) |
| | | | | Effective Rate | System Holding— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 20,351 | 19,859 | — | 9/25/19 | (Federal Funds | China National | (493) |
| | | | | Effective Rate | Building Material Co | |
| | | | | US plus 0.25%) — | Ltd—Monthly | |
| | | | | Monthly | | |
| 8,159 | 8,051 | — | 9/25/19 | (Federal Funds | China Railway | (108) |
| | | | | Effective Rate | Construction-H— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 14,013 | 13,916 | — | 9/25/19 | (Federal Funds | China Resources | (97) |
| | | | | Effective Rate | Cement—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 27,458 | 26,989 | — | 9/25/19 | (Federal Funds | China Resources | (469) |
| | | | | Effective Rate | Gas Group Lt— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 35,371 | 34,351 | — | 9/25/19 | (Federal Funds | Choice Hotels Intl | (1,022) |
| | | | | Effective Rate | Inc—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 30,471 | 30,220 | — | 9/25/19 | (Federal Funds | Christian Dior Se— | (251) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 45,108 | 44,346 | — | 9/25/19 | (Federal Funds | Ci Financial Corp— | (579) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 93,591 | 94,600 | — | 9/25/19 | (Federal Funds | Cimic Group Ltd— | 1,006 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 64,939 | 63,408 | — | 9/25/19 | (Federal Funds | Citizens Financial | (1,534) |
| | | | | Effective Rate | Group—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 132,175 | 130,824 | — | 9/25/19 | (Federal Funds | Citrix Systems Inc— | (1,356) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 17,270 | 17,303 | — | 9/25/19 | (Federal Funds | Ck Asset Holdings | 32 |
| | | | | Effective Rate | Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 27 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $10,072 | $10,031 | $— | 9/25/19 | (Federal Funds | Clariant Ag-Reg— | $(41) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 24,751 | 25,271 | — | 9/25/19 | (Federal Funds | Clp Holdings Ltd— | 518 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 72,133 | 69,958 | — | 9/25/19 | (Federal Funds | Cms Energy Corp— | (2,178) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 77,151 | 76,594 | — | 9/25/19 | (Federal Funds | Cnp Assurances— | (560) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 39,472 | 42,344 | — | 9/25/19 | (Federal Funds | Cnx Resources | 2,870 |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | plus 0.30%) — | | |
| | | | | Monthly | | |
| 60,143 | 57,592 | — | 9/25/19 | (Federal Funds | Coca-Cola Amatil | (824) |
| | | | | Effective Rate | Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 44,181 | 43,436 | — | 9/25/19 | (Federal Funds | Com Hem Holding | (747) |
| | | | | Effective Rate | Ab—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 98,474 | 96,053 | — | 9/25/19 | (Federal Funds | Comerica Inc— | (2,426) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 102,175 | 100,204 | — | 9/25/19 | (Federal Funds | Computershare | (1,976) |
| | | | | Effective Rate | Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 115,946 | 114,677 | — | 9/25/19 | (Federal Funds | Conagra Brands | (1,275) |
| | | | | Effective Rate | Inc—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 141,762 | 140,014 | — | 9/25/19 | (Federal Funds | Constellation | (1,754) |
| | | | | Effective Rate | Software Inc— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 2,356 | 2,357 | — | 9/25/19 | (Federal Funds | Contourglobal Plc— | — |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| |
| 28 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $70,741 | $69,209 | $— | 9/25/19 | (Federal Funds | Copa Holdings Sa- | $(1,536) |
| | | | | Effective Rate | Class A—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 20,807 | 20,541 | — | 9/25/19 | (Federal Funds | Cornerstone | (267) |
| | | | | Effective Rate US | Ondemand Inc— | |
| | | | | plus 0.30%) — | Monthly | |
| | | | | Monthly | | |
| 76,546 | 75,787 | — | 9/25/19 | (Federal Funds | Costco Wholesale | (762) |
| | | | | Effective Rate | Corp—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 54,870 | 54,303 | — | 9/25/19 | (Federal Funds | Covestro Ag— | (570) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 18,957 | 18,950 | — | 9/26/19 | (Federal Funds | Cp All Pcl—Monthly | (8) |
| | | | | Effective Rate | | |
| | | | | US plus 0.75%) — | | |
| | | | | Monthly | | |
| 163,427 | 159,050 | — | 9/25/19 | (Federal Funds | Crane Co—Monthly | (3,782) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 45,084 | 45,029 | — | 9/25/19 | (Federal Funds | Csra Inc—Monthly | (58) |
| | | | | Effective Rate US | | |
| | | | | plus 0.30%) — | | |
| | | | | Monthly | | |
| 33,782 | 32,286 | — | 9/25/19 | (Federal Funds | Csx Corp—Monthly | (1,366) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 18,133 | 18,325 | — | 9/25/19 | (Federal Funds | Ctbc Financial | 191 |
| | | | | Effective Rate US | Holding Co Ltd— | |
| | | | | plus 0.35%) — | Monthly | |
| | | | | Monthly | | |
| 37,322 | 37,048 | — | 9/25/19 | (Federal Funds | Cvs Health Corp— | (275) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 15,083 | 15,006 | — | 9/25/19 | (Federal Funds | Daelim Industrial Co | (78) |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 9,704 | 9,294 | — | 9/25/19 | (Federal Funds | Daewoo | (411) |
| | | | | Effective Rate US | Engineering & | |
| | | | | plus 0.35%) — | Constr—Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 29 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $33,825 | $33,753 | $— | 9/26/19 | (Federal Funds | Dai Nippon Printing | $(73) |
| | | | | Effective Rate | Co Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 33,680 | 34,609 | — | 9/26/19 | (Federal Funds | Daicel Corp— | 928 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 34,013 | 33,588 | — | 9/26/19 | (Federal Funds | Daiwa Securities | (427) |
| | | | | Effective Rate | Group Inc—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 34,988 | 33,930 | — | 9/25/19 | (Federal Funds | Danaher Corp— | (1,060) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 98,064 | 99,205 | — | 9/25/19 | (Federal Funds | Dassault Aviation | 1,137 |
| | | | | Effective Rate | Sa—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 14,748 | 14,505 | — | 9/25/19 | (Federal Funds | Db Insurance Co | (244) |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 10,642 | 10,123 | — | 9/25/19 | (Federal Funds | Delphi Technologies | (519) |
| | | | | Effective Rate | Plc—Monthly | |
| | | | | US plus 0.20%) — | | |
| | | | | Monthly | | |
| 45,284 | 44,036 | — | 9/25/19 | (Federal Funds | Direct Line | (1,250) |
| | | | | Effective Rate | Insurance Group | |
| | | | | US plus 0.25%) — | Plc—Monthly | |
| | | | | Monthly | | |
| 46,343 | 42,982 | — | 9/25/19 | (Federal Funds | Dish Network | (3,363) |
| | | | | Effective Rate | Corp—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 9,602 | 9,108 | — | 9/25/19 | (Federal Funds | Distribuidora | (495) |
| | | | | Effective Rate | Internacional— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 5,896 | 6,014 | — | 9/26/19 | (Federal Funds | Dmci Holdings Inc— | 117 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.75%) — | | |
| | | | | Monthly | | |
| 26,458 | 26,559 | — | 9/26/19 | (Federal Funds | Dmg Mori Co Ltd— | 100 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| |
| 30 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $38,921 | $39,040 | $— | 9/25/19 | (Federal Funds | Dnb Asa—Monthly | $118 |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 60,636 | 59,967 | — | 9/25/19 | (Federal Funds | Dolby Laboratories | (672) |
| | | | | Effective Rate | Inc—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 12,668 | 12,664 | — | 9/25/19 | (Federal Funds | Dongfeng Motor Grp | (5) |
| | | | | Effective Rate | Co Ltd-H—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 34,033 | 34,017 | — | 9/25/19 | (Federal Funds | Dst Systems Inc— | (18) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.30%) — | | |
| | | | | Monthly | | |
| 12,070 | 11,991 | — | 9/27/19 | (Federal Funds | Dubai Islamic Bank | (80) |
| | | | | Effective Rate | Pjsc—Monthly | |
| | | | | US plus 1.20%) — | | |
| | | | | Monthly | | |
| 37,073 | 36,139 | — | 9/25/19 | (Federal Funds | Duke Realty Corp— | (936) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 136,267 | 136,169 | — | 9/25/19 | (Federal Funds | Dun & Bradstreet | (104) |
| | | | | Effective Rate | Corp—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 93,234 | 91,363 | — | 9/25/19 | (Federal Funds | Dxc Technology | (1,876) |
| | | | | Effective Rate | Co—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 129,952 | 130,627 | — | 9/25/19 | (Federal Funds | E*Trade Financial | 670 |
| | | | | Effective Rate | Corp—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 55,275 | 52,776 | — | 9/25/19 | (Federal Funds | E.On Se—Monthly | (2,502) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 106,405 | 103,962 | — | 9/25/19 | (Federal Funds | East West Bancorp | (2,448) |
| | | | | Effective Rate | Inc—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 33,899 | 33,248 | — | 9/25/19 | (Federal Funds | Eaton Corp Plc— | (653) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.30%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 31 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $66,928 | $65,447 | $— | 9/25/19 | (Federal Funds | Ebay Inc—Monthly | $(1,484) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 13,878 | 13,611 | — | 9/26/19 | (Federal Funds | Ecorodovias | (267) |
| | | | | Effective Rate | Infraestrutura E | |
| | | | | US plus 0.65%) — | Logistica Sa— | |
| | | | | Monthly | Monthly | |
| 112,597 | 109,327 | — | 9/25/19 | (Federal Funds | Edgewell Personal | (3,277) |
| | | | | Effective Rate | Care Co—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 9,408 | 9,007 | — | 9/26/19 | (Federal Funds | Edp — Energias Do | (402) |
| | | | | Effective Rate | Brasil Sa—Monthly | |
| | | | | US plus 0.65%) — | | |
| | | | | Monthly | | |
| 42,343 | 40,426 | — | 9/25/19 | (Federal Funds | Eiffage Sa—Monthly | (1,920) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 31,688 | 32,028 | — | 9/26/19 | (Federal Funds | Eisai Co Ltd— | 339 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 112,935 | 110,747 | — | 9/25/19 | (Federal Funds | Electrolux Ab-Ser | (2,193) |
| | | | | Effective Rate | B—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 8,043 | 7,840 | — | 9/27/19 | (Federal Funds | Emaar Properties | (204) |
| | | | | Effective Rate | Pjsc—Monthly | |
| | | | | US plus 1.20%) — | | |
| | | | | Monthly | | |
| 19,540 | 19,089 | — | 9/25/19 | (Federal Funds | E-Mart Inc—Monthly | (451) |
| | | | | Effective Rate US | | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 7,821 | 7,540 | — | 9/25/19 | (Federal Funds | Embotelladora | (281) |
| | | | | Effective Rate | Andina-Adr B— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 34,265 | 33,114 | — | 9/25/19 | (Federal Funds | Emerson Electric | (1,153) |
| | | | | Effective Rate | Co—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 64,344 | 63,912 | — | 9/25/19 | (Federal Funds | Encompass Health | (435) |
| | | | | Effective Rate | Corp—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| |
| 32 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $72,333 | $70,516 | $— | 9/25/19 | (Federal Funds | Endesa Sa— | $(1,821) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 6,605 | 6,445 | — | 9/25/19 | (Federal Funds | Enel Chile Sa— | (161) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 1.25%) — | | |
| | | | | Monthly | | |
| 2 | 2 | — | 9/25/19 | (Federal Funds | Enel Chile Sa— | — |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.20%) — | | |
| | | | | Monthly | | |
| 15,780 | 15,527 | — | 9/25/19 | (Federal Funds | Energizer Holdings | (255) |
| | | | | Effective Rate | Inc—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 40,608 | 39,964 | — | 9/25/19 | (Federal Funds | Engie Sa—Monthly | (646) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 19,239 | 19,281 | — | 9/26/19 | (Federal Funds | Engie Brasil Energia | 41 |
| | | | | Effective Rate | Sa—Monthly | |
| | | | | US plus 0.65%) — | | |
| | | | | Monthly | | |
| 11,723 | 11,528 | — | 9/25/19 | (Federal Funds | Enn Energy | (195) |
| | | | | Effective Rate | Holdings Ltd— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 34,419 | 33,266 | — | 9/25/19 | (Federal Funds | Entegris Inc— | (1,154) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.30%) — | | |
| | | | | Monthly | | |
| 99,342 | 97,884 | — | 9/25/19 | (Federal Funds | Entergy Corp— | (1,463) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 14,241 | 14,949 | — | 9/25/19 | (Federal Funds | Eregli Demir Ve Celik | 707 |
| | | | | Effective Rate | Fabrik—Monthly | |
| | | | | US plus 0.70%) — | | |
| | | | | Monthly | | |
| 11,436 | 11,352 | — | 9/25/19 | (Federal Funds | Estee Lauder Cos | (84) |
| | | | | Effective Rate US | Inc/The—Monthly | |
| | | | | plus 0.30%) — | | |
| | | | | Monthly | | |
| 18,085 | 17,528 | — | 9/25/19 | (Federal Funds | Eurofins Scientific— | (558) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 33 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $11,864 | $11,896 | $— | 9/25/19 | (Federal Funds | Eva Airways Corp— | $31 |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 20,752 | 20,561 | — | 9/25/19 | (Federal Funds | Evonik Industries | (191) |
| | | | | Effective Rate | Ag—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 41,533 | 41,496 | — | 9/25/19 | (Federal Funds | Exor Nv—Monthly | (38) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 42,257 | 41,485 | — | 9/25/19 | (Federal Funds | Experian Plc— | (774) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 12,283 | 11,275 | — | 9/27/19 | (Federal Funds | Exxaro Resources | 64 |
| | | | | Effective Rate | Ltd—Monthly | |
| | | | | US plus 0.60%) — | | |
| | | | | Monthly | | |
| 33,822 | 32,492 | — | 9/25/19 | (Federal Funds | Exxon Mobil Corp— | (1,332) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.30%) — | | |
| | | | | Monthly | | |
| 36,247 | 35,645 | — | 9/25/19 | (Federal Funds | F5 Networks Inc— | (604) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.30%) — | | |
| | | | | Monthly | | |
| 48,452 | 46,720 | — | 9/25/19 | (Federal Funds | Facebook Inc-A— | (1,734) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 1,880 | 1,880 | — | 9/25/19 | (Federal Funds | Far East Horizon | — |
| | | | | Effective Rate | Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 130,617 | 127,029 | — | 9/25/19 | (Federal Funds | Federated Investors | (3,593) |
| | | | | Effective Rate | Inc-Cl B—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 3,453 | 3,368 | — | 9/27/19 | (Federal Funds | Felda Global | (86) |
| | | | | Effective Rate | Ventures Holdings | |
| | | | | US plus 0.75%) — | Bhd—Monthly | |
| | | | | Monthly | | |
| 119,375 | 116,865 | — | 9/25/19 | (Federal Funds | Fifth Third | (2,516) |
| | | | | Effective Rate | Bancorp—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| |
| 34 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $48,323 | $47,562 | $— | 9/25/19 | (Federal Funds | Finning | $(764) |
| | | | | Effective Rate | International Inc— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 38,652 | 38,124 | — | 9/25/19 | (Federal Funds | Fireeye Inc— | (530) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 39,956 | 37,860 | — | 9/25/19 | (Federal Funds | First Citizens | (2,097) |
| | | | | Effective Rate | Bcshs -Cl A— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 78,114 | 77,006 | — | 9/25/19 | (Federal Funds | First Hawaiian Inc— | (1,112) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 20,376 | 19,672 | — | 9/25/19 | (Federal Funds | First Solar Inc— | (705) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 112,419 | 114,924 | — | 9/25/19 | (Federal Funds | Flight Centre Travel | 2,500 |
| | | | | Effective Rate | Group L—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 57,805 | 57,260 | — | 9/25/19 | (Federal Funds | Fnf Group—Monthly | (548) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 33,408 | 33,193 | — | 9/25/19 | (Federal Funds | Foot Locker Inc— | (215) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.30%) — | | |
| | | | | Monthly | | |
| 20,680 | 20,148 | — | 9/25/19 | (Federal Funds | Ford Motor Co— | (533) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 26,505 | 26,981 | — | 9/25/19 | (Federal Funds | Ford Otomotiv | 474 |
| | | | | Effective Rate | Sanayi As—Monthly | |
| | | | | US plus 0.70%) — | | |
| | | | | Monthly | | |
| 133,247 | 133,645 | — | 9/25/19 | (Federal Funds | Fortinet Inc— | 391 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 9,963 | 9,926 | — | 9/25/19 | (Federal Funds | Fosun International | (38) |
| | | | | Effective Rate | Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 35 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $89,057 | $84,816 | $— | 9/25/19 | (Federal Funds | Freeport-Mcmoran | $(4,247) |
| | | | | Effective Rate | Inc—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 41,837 | 38,378 | — | 9/25/19 | (Federal Funds | Fresnillo Plc— | (3,461) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 22,988 | 22,998 | — | 9/26/19 | (Federal Funds | Fuji Electric Co Ltd— | 9 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 32,354 | 33,565 | — | 9/26/19 | (Federal Funds | Fujifilm Holdings | 1,210 |
| | | | | Effective Rate | Corp—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 28,396 | 28,374 | — | 9/26/19 | (Federal Funds | Fujitsu Ltd— | (23) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 39,905 | 39,579 | — | 9/25/19 | (Federal Funds | G4S Plc—Monthly | (328) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 39,993 | 39,718 | — | 9/25/19 | (Federal Funds | Galp Energia Sgps | (277) |
| | | | | Effective Rate | Sa—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 123,726 | 120,850 | — | 9/25/19 | (Federal Funds | Garmin Ltd— | (2,882) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 28,782 | 27,672 | — | 9/25/19 | (Federal Funds | Gartner Inc— | (1,112) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 35,173 | 34,883 | — | 9/25/19 | (Federal Funds | Genpact Ltd— | (291) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 91,223 | 81,288 | — | 9/26/19 | (Federal Funds | Genting Singapore | (9,940) |
| | | | | Effective Rate US | Plc—Monthly | |
| | | | | plus 0.55%) — | | |
| | | | | Monthly | | |
| 34,754 | 34,357 | — | 9/25/19 | (Federal Funds | Global Payments | (399) |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | plus 0.30%) — | | |
| | | | | Monthly | | |
| |
| 36 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $12,392 | $12,387 | $— | 9/26/19 | (Federal Funds | Glow Energy Pcl — | $(5) |
| | | | | Effective Rate | Nvdr—Monthly | |
| | | | | US plus 0.75%) — | | |
| | | | | Monthly | | |
| 34,439 | 33,733 | — | 9/25/19 | (Federal Funds | Godaddy Inc— | (706) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.30%) — | | |
| | | | | Monthly | | |
| 86,301 | 84,695 | — | 9/25/19 | (Federal Funds | Graham Holdings | (1,609) |
| | | | | Effective Rate | Co—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 1,650 | 1,601 | — | 9/25/19 | (Federal Funds | Granite Point | (49) |
| | | | | Effective Rate | Mortgage Trust Inc— | |
| | | | | US plus 0.40%) — | Monthly | |
| | | | | Monthly | | |
| 1,109 | 1,051 | — | 9/25/19 | (Federal Funds | Grupo Carso Sab De | (58) |
| | | | | Effective Rate US | Cv—Monthly | |
| | | | | plus 1.00%) — | | |
| | | | | Monthly | | |
| 17,665 | 18,007 | — | 9/25/19 | (Federal Funds | Gs Holdings Corp— | 341 |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 18,571 | 17,788 | — | 9/25/19 | (Federal Funds | Guangzhou | (784) |
| | | | | Effective Rate | Automobile Group | |
| | | | | US plus 0.25%) — | Co Ltd—Monthly | |
| | | | | Monthly | | |
| 5,458 | 5,431 | — | 9/25/19 | (Federal Funds | Guangzhou | (28) |
| | | | | Effective Rate | Baiyunshan | |
| | | | | US plus 0.25%) — | Pharm-H—Monthly | |
| | | | | Monthly | | |
| 19,654 | 19,142 | — | 9/27/19 | (Federal Funds | Gudang Garam Tbk | (513) |
| | | | | Effective Rate | Pt—Monthly | |
| | | | | US plus 0.75%) — | | |
| | | | | Monthly | | |
| 46,896 | 45,949 | — | 9/25/19 | (Federal Funds | Gulfport Energy | (950) |
| | | | | Effective Rate | Corp—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 31,523 | 30,881 | — | 9/25/19 | (Federal Funds | Haier Electronics | (644) |
| | | | | Effective Rate | Group Co—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 31,216 | 33,666 | — | 9/25/19 | (Federal Funds | Haitian | 2,449 |
| | | | | Effective Rate | International | |
| | | | | US plus 0.25%) — | Hldgs—Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 37 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $120,671 | $116,143 | $— | 9/25/19 | (Federal Funds | Halliburton Co— | $(4,535) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 42,436 | 39,282 | — | 9/25/19 | (Federal Funds | Hammerson Plc— | (3,156) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 99,570 | 98,626 | — | 9/25/19 | (Federal Funds | Hang Seng Bank | (948) |
| | | | | Effective Rate | Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 90,522 | 89,940 | — | 9/25/19 | (Federal Funds | Hannover Rueck | (587) |
| | | | | Effective Rate | Se—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 11,126 | 11,055 | — | 9/25/19 | (Federal Funds | Hannover Rueck | (72) |
| | | | | Effective Rate | Se—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 56,037 | 54,818 | — | 9/25/19 | (Federal Funds | Hanover Insurance | (1,222) |
| | | | | Effective Rate | Group Inc/— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 19,833 | 19,407 | — | 9/25/19 | (Federal Funds | Hanwha Chemical | (427) |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 21,389 | 21,853 | — | 9/25/19 | (Federal Funds | Hanwha | 462 |
| | | | | Effective Rate US | Corporation— | |
| | | | | plus 0.35%) — | Monthly | |
| | | | | Monthly | | |
| 131,329 | 131,214 | — | 9/25/19 | (Federal Funds | Heineken Holding | (121) |
| | | | | Effective Rate | Nv—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 20,826 | 20,761 | — | 9/25/19 | (Federal Funds | Heineken Nv— | (65) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 6,654 | 6,426 | — | 9/25/19 | (Federal Funds | Hemfosa | (228) |
| | | | | Effective Rate | Fastigheter Ab— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 35,909 | 35,804 | — | 9/26/19 | (Federal Funds | Hino Motors Ltd— | (106) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| |
| 38 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $24,714 | $24,346 | $— | 9/26/19 | (Federal Funds | Hiroshima Bank Ltd/ | $(369) |
| | | | | Effective Rate | The—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 24,874 | 24,731 | — | 9/26/19 | (Federal Funds | Hitachi Chemical Co | (145) |
| | | | | Effective Rate | Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 32,958 | 34,441 | — | 9/26/19 | (Federal Funds | Hitachi High- | 1,481 |
| | | | | Effective Rate | Technologies | |
| | | | | US plus 0.25%) — | Corp—Monthly | |
| | | | | Monthly | | |
| 31,195 | 30,664 | — | 9/26/19 | (Federal Funds | Hitachi Ltd— | (533) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 21,688 | 21,724 | — | 9/25/19 | (Federal Funds | Hkt Trust & Hkt Ltd— | 35 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 126,627 | 125,678 | — | 9/25/19 | (Federal Funds | Hochtief Ag— | (956) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 9,457 | 9,576 | — | 9/25/19 | (Federal Funds | Holmen Ab— | 120 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 10,069 | 10,030 | — | 9/25/19 | (Federal Funds | Holmen Ab— | (39) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 11,449 | 11,301 | — | 9/25/19 | (Federal Funds | Home Depot Inc/ | (148) |
| | | | | Effective Rate | The—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 13,949 | 15,333 | — | 9/27/19 | (Federal Funds | Hong Leong Bank | 1,382 |
| | | | | Effective Rate | Bhd—Monthly | |
| | | | | US plus 0.75%) — | | |
| | | | | Monthly | | |
| 1,417 | 1,448 | — | 9/27/19 | (Federal Funds | Hong Leong | 31 |
| | | | | Effective Rate | Financial Group | |
| | | | | US plus 0.75%) — | Bhd—Monthly | |
| | | | | Monthly | | |
| 116,603 | 113,903 | — | 9/25/19 | (Federal Funds | Host Hotels & | (2,706) |
| | | | | Effective Rate | Resorts Inc— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 39 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $14,579 | $15,255 | $— | 9/25/19 | (Federal Funds | Howard Hughes | $675 |
| | | | | Effective Rate | Corp/The—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 26,393 | 26,314 | — | 9/25/19 | (Federal Funds | Hp Inc—Monthly | (80) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 122,716 | 119,649 | — | 9/25/19 | (Federal Funds | Hubbell Inc— | (2,370) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 116,667 | 115,331 | — | 9/25/19 | (Federal Funds | Hugo Boss Ag | (1,340) |
| | | | | Effective Rate | -Ord—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 116,147 | 114,980 | — | 9/25/19 | (Federal Funds | Humana Inc— | (1,172) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 47,322 | 45,113 | — | 9/25/19 | (Federal Funds | Huntsman Corp— | (2,211) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 19,837 | 20,131 | — | 9/25/19 | (Federal Funds | Hyundai Mipo | 293 |
| | | | | Effective Rate US | Dockyard Co Ltd— | |
| | | | | plus 0.35%) — | Monthly | |
| | | | | Monthly | | |
| 22,049 | 21,512 | — | 9/27/19 | (Federal Funds | Imperial Holdings | (539) |
| | | | | Effective Rate | Ltd—Monthly | |
| | | | | US plus 0.60%) — | | |
| | | | | Monthly | | |
| 18,178 | 18,107 | — | 9/25/19 | (Federal Funds | Incitec Pivot Ltd— | (72) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 85,167 | 82,861 | — | 9/25/19 | (Federal Funds | Incyte Corp— | (2,309) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 29,060 | 28,434 | — | 9/25/19 | (Federal Funds | Indivior Plc— | (627) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 17,691 | 18,043 | — | 9/25/19 | (Federal Funds | Industrial Bank Of | 352 |
| | | | | Effective Rate US | Korea—Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| |
| 40 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $3,564 | $3,442 | $— | 9/25/19 | (Federal Funds | Ing Bank Slaski Sa— | $(122) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.70%) — | | |
| | | | | Monthly | | |
| 17,305 | 17,299 | — | 9/25/19 | (Federal Funds | Innolux Corp— | (7) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 22,352 | 22,124 | — | 9/26/19 | (Federal Funds | Inpex Corp— | (230) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 86,352 | 88,276 | — | 9/25/19 | (Federal Funds | Insurance Australia | 1,920 |
| | | | | Effective Rate | Group Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 52,360 | 52,033 | — | 9/25/19 | (Federal Funds | Intercontinental | (330) |
| | | | | Effective Rate | Exchange Inc— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 125,632 | 122,987 | — | 9/25/19 | (Federal Funds | International | (2,651) |
| | | | | Effective Rate | Game Technolog— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 54,447 | 54,228 | — | 9/25/19 | (Federal Funds | Intesa Sanpaolo | (222) |
| | | | | Effective Rate | Spa—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 58,997 | 59,162 | — | 9/25/19 | (Federal Funds | Intesa Sanpaolo | 163 |
| | | | | Effective Rate | Spa—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 30,858 | 31,125 | — | 9/25/19 | (Federal Funds | Intrum Justitia Ab— | 265 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 18,775 | 18,531 | — | 9/27/19 | (Federal Funds | Investec Ltd— | (245) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.60%) — | | |
| | | | | Monthly | | |
| 95,419 | 93,743 | — | 9/25/19 | (Federal Funds | Ipsen Sa—Monthly | (1,680) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 30,491 | 29,991 | — | 9/25/19 | (Federal Funds | Iqvia Holdings Inc— | (502) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 41 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $37,255 | $36,363 | $— | 9/26/19 | (Federal Funds | Isuzu Motors Ltd— | $(894) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 12,218 | 11,600 | — | 9/25/19 | (Federal Funds | Itau Unibanco | (619) |
| | | | | Effective Rate | H-Spon Prf Adr— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 34,237 | 34,489 | — | 9/26/19 | (Federal Funds | Japan Airlines Co | 249 |
| | | | | Effective Rate | Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 33,308 | 32,708 | — | 9/26/19 | (Federal Funds | Japan Retail Fund | 100 |
| | | | | Effective Rate | Investment Corp— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 40,091 | 39,338 | — | 9/26/19 | (Federal Funds | Jardine Cycle & | (754) |
| | | | | Effective Rate US | Carriage Ltd— | |
| | | | | plus 0.55%) — | Monthly | |
| | | | | Monthly | | |
| 18,636 | 19,545 | — | 9/26/19 | (Federal Funds | Jardine Matheson | 909 |
| | | | | Effective Rate US | Holdings Ltd— | |
| | | | | plus 0.55%) — | Monthly | |
| | | | | Monthly | | |
| 5,279 | 5,175 | — | 9/27/19 | (Federal Funds | Jasa Marga | (104) |
| | | | | Effective Rate | (Persero) Tbk Pt— | |
| | | | | US plus 0.75%) — | Monthly | |
| | | | | Monthly | | |
| 31,812 | 31,638 | — | 9/25/19 | (Federal Funds | Jbg Smith | (176) |
| | | | | Effective Rate | Properties— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 19,689 | 18,913 | — | 9/26/19 | (Federal Funds | Jbs Sa—Monthly | (778) |
| | | | | Effective Rate | | |
| | | | | US plus 0.65%) — | | |
| | | | | Monthly | | |
| 53,033 | 50,999 | — | 9/25/19 | (Federal Funds | Jeronimo Martins— | (2,038) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 51,723 | 49,288 | — | 9/25/19 | (Federal Funds | Jm Ab—Monthly | (2,437) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 94,697 | 93,154 | — | 9/25/19 | (Federal Funds | Jones Lang Lasalle | (1,547) |
| | | | | Effective Rate | Inc—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| |
| 42 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $118,770 | $115,500 | $— | 9/25/19 | (Federal Funds | Jpmorgan Chase & | $(3,275) |
| | | | | Effective Rate | Co—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 29,811 | 31,554 | — | 9/26/19 | (Federal Funds | Jsr Corp—Monthly | 1,742 |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 26,707 | 26,510 | — | 9/26/19 | (Federal Funds | Jtekt Corp— | (198) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 19,786 | 19,813 | — | 9/26/19 | (Federal Funds | Kamigumi Co Ltd— | 26 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 91,814 | 91,656 | — | 9/25/19 | (Federal Funds | Kapstone Paper And | (162) |
| | | | | Effective Rate US | Packaging Corp— | |
| | | | | plus 0.30%) — | Monthly | |
| | | | | Monthly | | |
| 89,290 | 85,729 | — | 9/25/19 | (Federal Funds | Kellogg Co— | (3,565) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 99,555 | 99,945 | — | 9/25/19 | (Federal Funds | Kerry Properties | 387 |
| | | | | Effective Rate | Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 35,287 | 34,740 | — | 9/25/19 | (Federal Funds | Keysight | (549) |
| | | | | Effective Rate | Technologies Inc— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 35,230 | 35,116 | — | 9/25/19 | (Federal Funds | Kindred Group Plc— | (116) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 7,747 | 7,620 | — | 9/25/19 | (Federal Funds | Kingboard Chemical | (127) |
| | | | | Effective Rate | Holdings—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 9,618 | 9,685 | — | 9/25/19 | (Federal Funds | Kingboard | 67 |
| | | | | Effective Rate | Laminates Holdings | |
| | | | | US plus 0.25%) — | Ltd—Monthly | |
| | | | | Monthly | | |
| 10,104 | 9,671 | — | 9/25/19 | (Federal Funds | Kingston Financial | (433) |
| | | | | Effective Rate | Group Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 43 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $39,167 | $39,097 | $— | 9/25/19 | (Federal Funds | Kinross Gold Corp— | $(71) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 40,249 | 39,772 | — | 9/25/19 | (Federal Funds | Kla-Tencor Corp— | (479) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 42,518 | 41,714 | — | 9/25/19 | (Federal Funds | Klepierre Sa— | (806) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 7,445 | 7,411 | — | 9/25/19 | (Federal Funds | Kongsberg Gruppen | (34) |
| | | | | Effective Rate | Asa—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 108,256 | 108,514 | — | 9/25/19 | (Federal Funds | Koninklijke Dsm | 253 |
| | | | | Effective Rate | Nv—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 74,035 | 71,670 | — | 9/25/19 | (Federal Funds | Koninklijke Kpn | (2,369) |
| | | | | Effective Rate | Nv—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 20,608 | 20,458 | — | 9/25/19 | (Federal Funds | Koninklijke Philips | (151) |
| | | | | Effective Rate | Nv—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 12,484 | 12,293 | — | 9/25/19 | (Federal Funds | Korea Zinc Co Ltd— | (192) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 23,434 | 23,808 | — | 9/27/19 | (Federal Funds | Kumba Iron Ore | 373 |
| | | | | Effective Rate | Ltd—Monthly | |
| | | | | US plus 0.60%) — | | |
| | | | | Monthly | | |
| 30,013 | 30,880 | — | 9/26/19 | (Federal Funds | Kurita Water | 865 |
| | | | | Effective Rate | Industries Ltd— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 42,643 | 41,912 | — | 9/25/19 | (Federal Funds | Lagardere Sca— | (733) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 37,702 | 36,453 | — | 9/25/19 | (Federal Funds | Lam Research | (1,250) |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | plus 0.30%) — | | |
| | | | | Monthly | | |
| |
| 44 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $4,965 | $4,963 | $— | 9/26/19 | (Federal Funds | Land & Houses | $(2) |
| | | | | Effective Rate | Pub — Nvdr— | |
| | | | | US plus 0.75%) — | Monthly | |
| | | | | Monthly | | |
| 40,056 | 38,663 | — | 9/25/19 | (Federal Funds | Land Securities | (1,395) |
| | | | | Effective Rate | Group Plc—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 47,772 | 47,035 | — | 9/25/19 | (Federal Funds | Las Vegas Sands | (739) |
| | | | | Effective Rate | Corp—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 35,747 | 35,458 | — | 9/25/19 | (Federal Funds | Lazard Ltd— | (291) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 41,700 | 41,646 | — | 9/25/19 | (Federal Funds | Legal & General | (56) |
| | | | | Effective Rate | Group Plc—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 11,860 | 11,425 | — | 9/25/19 | (Federal Funds | Lendingclub Corp— | (436) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 66,578 | 63,837 | — | 9/25/19 | (Federal Funds | Leucadia National | (2,742) |
| | | | | Effective Rate | Corp—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 10,096 | 9,903 | — | 9/25/19 | (Federal Funds | Lg Chem Ltd— | (194) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 12,102 | 11,808 | — | 9/25/19 | (Federal Funds | Lg Electronics Inc— | (295) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 15,175 | 14,881 | — | 9/25/19 | (Federal Funds | Lg Uplus Corp— | (295) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 23,403 | 23,220 | — | 9/25/19 | (Federal Funds | Li & Fung Ltd— | (185) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 14,000 | 13,363 | — | 9/25/19 | (Federal Funds | Liberty Global Plc— | (637) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 45 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $67,207 | $64,833 | $— | 9/25/19 | (Federal Funds | Liberty Global Plc— | $(2,377) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.30%) — | | |
| | | | | Monthly | | |
| 30,427 | 30,747 | — | 9/25/19 | (Federal Funds | Liberty Interactive | 318 |
| | | | | Effective Rate | Corp Qvc Group— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 117,446 | 114,757 | — | 9/25/19 | (Federal Funds | Liberty Property | (2,695) |
| | | | | Effective Rate | Trust—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 64,812 | 63,635 | — | 9/25/19 | (Federal Funds | Liberty Ventures— | (1,180) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 11,697 | 11,460 | — | 9/25/19 | (Federal Funds | Linamar Corp— | (238) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 20,860 | 20,261 | — | 9/25/19 | (Federal Funds | Lincoln National | (599) |
| | | | | Effective Rate | Corp—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 20,836 | 21,373 | — | 9/25/19 | (Federal Funds | Link Reit—Monthly | 536 |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 3,013 | 2,778 | — | 9/25/19 | (Federal Funds | Live Nation | (235) |
| | | | | Effective Rate | Entertainment In— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 98,643 | 96,921 | — | 9/25/19 | (Federal Funds | Lockheed Martin | (1,177) |
| | | | | Effective Rate | Corp—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 116,527 | 113,311 | — | 9/25/19 | (Federal Funds | Loews Corp— | (3,078) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 33,619 | 33,115 | — | 9/25/19 | (Federal Funds | Logitech | (506) |
| | | | | Effective Rate | International Sa— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 132,619 | 127,914 | — | 9/25/19 | (Federal Funds | Logmein Inc— | (4,712) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| |
| 46 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $42,280 | $38,989 | $— | 9/25/19 | (Federal Funds | Longfor | $(3,293) |
| | | | | Effective Rate | Properties— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 1,865 | 1,860 | — | 9/25/19 | (Federal Funds | Loomis Ab-B— | (5) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 13,533 | 13,495 | — | 9/25/19 | (Federal Funds | Loomis Ab— | (38) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 91,209 | 87,524 | — | 9/25/19 | (Federal Funds | Louisiana-Pacific | (3,689) |
| | | | | Effective Rate | Corp—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 46,220 | 42,466 | — | 9/25/19 | (Federal Funds | Lowe’s Cos Inc— | (3,756) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 157,782 | 153,670 | — | 9/25/19 | (Federal Funds | Lpl Financial | (4,120) |
| | | | | Effective Rate | Holdings Inc— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 19,675 | 18,809 | — | 9/25/19 | (Federal Funds | Ls Corp—Monthly | (868) |
| | | | | Effective Rate US | | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 45,746 | 43,694 | — | 9/25/19 | (Federal Funds | Lundin Mining | (2,055) |
| | | | | Effective Rate | Corp—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 25,230 | 25,913 | — | 9/26/19 | (Federal Funds | Mabuchi Motor Co | 681 |
| | | | | Effective Rate | Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 16,121 | 15,447 | — | 9/25/19 | (Federal Funds | Magna International | (675) |
| | | | | Effective Rate | Inc—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 5,474 | 5,752 | — | 9/26/19 | (Federal Funds | Manila Electric | 278 |
| | | | | Effective Rate | Company—Monthly | |
| | | | | US plus 0.75%) — | | |
| | | | | Monthly | | |
| 43,450 | 42,671 | — | 9/25/19 | (Federal Funds | Manulife Financial | (781) |
| | | | | Effective Rate | Corp—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 47 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $76,777 | $72,673 | $— | 9/25/19 | (Federal Funds | Marathon Oil Corp— | $(4,107) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 105,202 | 101,663 | — | 9/25/19 | (Federal Funds | Marathon | (3,544) |
| | | | | Effective Rate | Petroleum Corp— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 17,570 | 17,668 | — | 9/26/19 | (Federal Funds | Marubeni Corp— | 97 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 131,634 | 131,802 | — | 9/25/19 | (Federal Funds | Marvell Technology | 163 |
| | | | | Effective Rate | Group Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 116,778 | 112,011 | — | 9/25/19 | (Federal Funds | Masco Corp— | (4,773) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 30,060 | 29,703 | — | 9/25/19 | (Federal Funds | Mastercard Inc — | (358) |
| | | | | Effective Rate | A—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 35,623 | 33,997 | — | 9/25/19 | (Federal Funds | Matador Resources | (1,627) |
| | | | | Effective Rate | Co—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 5,408 | 5,223 | — | 9/25/19 | (Federal Funds | Mckesson Corp— | (174) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.30%) — | | |
| | | | | Monthly | | |
| 10,415 | 10,088 | — | 9/25/19 | (Federal Funds | Medibank Pvt Ltd— | (328) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 2,074 | 2,073 | — | 9/25/19 | (Federal Funds | Merida Industry Co | (1) |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 4,755 | 4,558 | — | 9/25/19 | (Federal Funds | Meritz Fire & Marine | (198) |
| | | | | Effective Rate US | Insurance Co Ltd— | |
| | | | | plus 0.35%) — | Monthly | |
| | | | | Monthly | | |
| 1,573 | 1,535 | — | 9/26/19 | (Federal Funds | Metro Pacific | (38) |
| | | | | Effective Rate | Investments Co— | |
| | | | | US plus 0.75%) — | Monthly | |
| | | | | Monthly | | |
| |
| 48 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $38,810 | $37,632 | $— | 9/25/19 | (Federal Funds | Michael Kors | $(1,178) |
| | | | | Effective Rate | Holdings Ltd— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 53,577 | 50,921 | — | 9/25/19 | (Federal Funds | Michaels Cos Inc/ | (2,658) |
| | | | | Effective Rate | The—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 64,563 | 64,748 | — | 9/25/19 | (Federal Funds | Michelin (Cgde) — | 182 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 35,675 | 36,728 | — | 9/25/19 | (Federal Funds | Microchip | 1,052 |
| | | | | Effective Rate | Technology Inc— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 64,197 | 65,308 | — | 9/25/19 | (Federal Funds | Micron Technology | 1,108 |
| | | | | Effective Rate | Inc—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 133,397 | 131,090 | — | 9/25/19 | (Federal Funds | Microsoft Corp— | (2,313) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 23,698 | 23,171 | — | 9/25/19 | (Federal Funds | Mid-America | (528) |
| | | | | Effective Rate | Apartment Comm— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 23,819 | 23,775 | — | 9/26/19 | (Federal Funds | Mitsui & Co Ltd— | (44) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 29,570 | 28,046 | — | 9/25/19 | (Federal Funds | Mobile Telesystems- | (1,525) |
| | | | | Effective Rate | Sp Adr—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 35,411 | 35,084 | — | 9/25/19 | (Federal Funds | Modern Times | (329) |
| | | | | Effective Rate | Group Mtg Ab— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 11,797 | 11,857 | — | 9/25/19 | (Federal Funds | Mol Hungarian Oil & | 59 |
| | | | | Effective Rate | Gas Plc—Monthly | |
| | | | | US plus 0.70%) — | | |
| | | | | Monthly | | |
| 18,405 | 18,424 | — | 9/27/19 | (Federal Funds | Mondi Ltd—Monthly | 17 |
| | | | | Effective Rate | | |
| | | | | US plus 0.60%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 49 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $131,451 | $131,322 | $— | 9/25/19 | (Federal Funds | Mondi Plc—Monthly | $(136) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 22,859 | 22,947 | — | 9/25/19 | (Federal Funds | Monsanto Co— | 86 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 35,061 | 34,377 | — | 9/25/19 | (Federal Funds | Moody’S Corp— | (686) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 124,232 | 123,452 | — | 9/25/19 | (Federal Funds | Motorola Solutions | (785) |
| | | | | Effective Rate | Inc—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 24,605 | 23,741 | — | 9/27/19 | (Federal Funds | Mr Price Group Ltd— | (865) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.60%) — | | |
| | | | | Monthly | | |
| 31,382 | 31,226 | — | 9/26/19 | (Federal Funds | Ms&Ad Insurance | (158) |
| | | | | Effective Rate | Group Holdin— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 36,692 | 34,913 | — | 9/25/19 | (Federal Funds | Msa Safety Inc— | (1,782) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.30%) — | | |
| | | | | Monthly | | |
| 11,502 | 11,322 | — | 9/25/19 | (Federal Funds | Msci Inc—Monthly | (180) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 10,352 | 10,237 | — | 9/25/19 | (Federal Funds | Mtu Aero Engines | (115) |
| | | | | Effective Rate | Ag—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 34,677 | 34,077 | — | 9/25/19 | (Federal Funds | Nasdaq Inc— | (600) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.30%) — | | |
| | | | | Monthly | | |
| 65,443 | 65,310 | — | 9/25/19 | (Federal Funds | Natixis—Monthly | (136) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 14,349 | 13,737 | — | 9/26/19 | (Federal Funds | Natura Cosmeticos | (612) |
| | | | | Effective Rate | Sa—Monthly | |
| | | | | US plus 0.65%) — | | |
| | | | | Monthly | | |
| |
| 50 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $48,759 | $47,169 | $— | 9/25/19 | (Federal Funds | Neste Oyj—Monthly | $(1,593) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 101,791 | 102,027 | — | 9/25/19 | (Federal Funds | Netapp Inc— | 231 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 6,414 | 6,019 | — | 9/25/19 | (Federal Funds | Newfield | (395) |
| | | | | Effective Rate | Exploration Co— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 58,906 | 57,100 | — | 9/25/19 | (Federal Funds | News Corp— | (1,808) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 16,984 | 16,903 | — | 9/26/19 | (Federal Funds | Ngk Insulators, | (82) |
| | | | | Effective Rate | Ltd.—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 25,530 | 25,603 | — | 9/26/19 | (Federal Funds | Ngk Spark Plug Co., | 72 |
| | | | | Effective Rate | Ltd.—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 3,605 | 3,574 | — | 9/25/19 | (Federal Funds | Nice Ltd — Spon | (32) |
| | | | | Effective Rate | Adr—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 33,530 | 33,738 | — | 9/26/19 | (Federal Funds | Nippon Express Co | 206 |
| | | | | Effective Rate | Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 17,031 | 16,771 | — | 9/26/19 | (Federal Funds | Nippon Steel & | (260) |
| | | | | Effective Rate | Sumitomo Metal | |
| | | | | US plus 0.25%) — | Corp—Monthly | |
| | | | | Monthly | | |
| 32,131 | 32,683 | — | 9/26/19 | (Federal Funds | Nippon Telegraph & | 550 |
| | | | | Effective Rate | Telephone Corp— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 71,234 | 67,507 | — | 9/25/19 | (Federal Funds | Nobia Ab—Monthly | (3,729) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 85,197 | 75,299 | — | 9/25/19 | (Federal Funds | Noble Corp Plc— | (9,901) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 51 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $21,412 | $21,536 | $— | 9/26/19 | (Federal Funds | Nok Corp—Monthly | $122 |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 17,238 | 17,308 | — | 9/26/19 | (Federal Funds | Nomura Holdings | 70 |
| | | | | Effective Rate | Inc—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 22,219 | 22,476 | — | 9/25/19 | (Federal Funds | Norwegian Cruise | 257 |
| | | | | Effective Rate US | Line Holdings Ltd— | |
| | | | | plus 0.30%) — | Monthly | |
| | | | | Monthly | | |
| 30,474 | 29,561 | — | 9/25/19 | (Federal Funds | Novo Nordisk | (915) |
| | | | | Effective Rate | A/S-B—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 34,098 | 33,540 | — | 9/25/19 | (Federal Funds | Nrg Energy Inc— | (558) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.30%) — | | |
| | | | | Monthly | | |
| 98,439 | 93,825 | — | 9/25/19 | (Federal Funds | Nvr Inc—Monthly | (4,619) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 5,829 | 5,659 | — | 9/25/19 | (Federal Funds | Nws Holdings Ltd— | (171) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 17,258 | 17,168 | — | 9/25/19 | (Federal Funds | Oil Search Limited— | (90) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 4,619 | 4,592 | — | 9/26/19 | (Federal Funds | Olam International | (27) |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | plus 0.55%) — | | |
| | | | | Monthly | | |
| 33,870 | 33,663 | — | 9/25/19 | (Federal Funds | Omv Ag—Monthly | (208) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 6,091 | 6,021 | — | 9/26/19 | (Federal Funds | Ooredoo Qpsc— | (70) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 1.20%) — | | |
| | | | | Monthly | | |
| 218 | 220 | — | 9/25/19 | (Federal Funds | Optotech Corp— | 2 |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| |
| 52 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $85,986 | $86,103 | $— | 9/25/19 | (Federal Funds | Orbital Atk Inc— | $113 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 69,467 | 68,390 | — | 9/25/19 | (Federal Funds | Oriflame Holding | (1,080) |
| | | | | Effective Rate | Ag—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 17,736 | 17,454 | — | 9/25/19 | (Federal Funds | Origin Energy Ltd— | (282) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 14,523 | 14,320 | — | 9/26/19 | (Federal Funds | Orix Corp—Monthly | (204) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 46,513 | 46,752 | — | 9/25/19 | (Federal Funds | Orkla Asa—Monthly | 237 |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 11,697 | 11,748 | — | 9/25/19 | (Federal Funds | Otp Bank Plc— | 50 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.70%) — | | |
| | | | | Monthly | | |
| 24,900 | 24,156 | — | 9/25/19 | (Federal Funds | Ottogi | (745) |
| | | | | Effective Rate US | Corporation— | |
| | | | | plus 0.35%) — | Monthly | |
| | | | | Monthly | | |
| 26,253 | 26,726 | — | 9/26/19 | (Federal Funds | Panasonic Corp— | 472 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 6,396 | 6,264 | — | 9/25/19 | (Federal Funds | Park Hotels & | (133) |
| | | | | Effective Rate | Resorts Inc— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 13,289 | 13,109 | — | 9/25/19 | (Federal Funds | Pccw Ltd-Sp— | (181) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 97,635 | 93,574 | — | 9/25/19 | (Federal Funds | Peab Ab—Monthly | (4,066) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 18,776 | 18,379 | — | 9/25/19 | (Federal Funds | People’S Insurance | (398) |
| | | | | Effective Rate | Co Grou-H— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 53 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $11,391 | $11,302 | $— | 9/25/19 | (Federal Funds | Pepsico Inc— | $(89) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.30%) — | | |
| | | | | Monthly | | |
| 120,883 | 111,519 | — | 9/25/19 | (Federal Funds | Perrigo Co Plc— | (9,369) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 51,670 | 53,613 | — | 9/25/19 | (Federal Funds | Persimmon Plc— | 1,942 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 10,347 | 10,313 | — | 9/26/19 | (Federal Funds | Persol Holdings Co | (35) |
| | | | | Effective Rate | Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 12,184 | 12,390 | — | 9/27/19 | (Federal Funds | Perusahaan Gas | 206 |
| | | | | Effective Rate | Negara Persero | |
| | | | | US plus 0.75%) — | Tbk—Monthly | |
| | | | | Monthly | | |
| 12,321 | 12,225 | — | 9/25/19 | (Federal Funds | Phison Electronics | (96) |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 42,950 | 41,449 | — | 9/25/19 | (Federal Funds | Pirelli & C Spa— | (1,504) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 127,303 | 124,198 | — | 9/25/19 | (Federal Funds | Pitney Bowes Inc— | (3,111) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 12,629 | 12,109 | — | 9/25/19 | (Federal Funds | Pldt Inc-Spon Adr— | (521) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 131,730 | 128,335 | — | 9/25/19 | (Federal Funds | Pnc Financial | (3,400) |
| | | | | Effective Rate | Services Group— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 20,152 | 19,371 | — | 9/25/19 | (Federal Funds | Polskie Gornictwo | (782) |
| | | | | Effective Rate | Naftowe I—Monthly | |
| | | | | US plus 0.70%) — | | |
| | | | | Monthly | | |
| 12,097 | 12,018 | — | 9/25/19 | (Federal Funds | Posco—Monthly | (80) |
| | | | | Effective Rate US | | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
|
| 54 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $20,996 | $21,261 | $— | 9/25/19 | (Federal Funds | Power Assets | $264 |
| | | | | Effective Rate | Holdings Ltd— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 17,199 | 16,684 | — | 9/25/19 | (Federal Funds | Powszechny Zaklad | (516) |
| | | | | Effective Rate | Ubezpieczen Sa— | |
| | | | | US plus 0.70%) — | Monthly | |
| | | | | Monthly | | |
| 2,707 | 2,711 | — | 9/27/19 | (Federal Funds | Ppb Group Berhad— | 4 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.75%) — | | |
| | | | | Monthly | | |
| 114,711 | 113,532 | — | 9/25/19 | (Federal Funds | Prologis Inc— | (1,184) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 36,521 | 35,375 | — | 9/25/19 | (Federal Funds | Prysmian Spa— | (1,148) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 41,890 | 41,129 | — | 9/25/19 | (Federal Funds | Ps Business Parks | (762) |
| | | | | Effective Rate | Inc/Ca—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 33,862 | 34,202 | — | 9/25/19 | (Federal Funds | Publicis Groupe | 338 |
| | | | | Effective Rate | Sa—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 34,675 | 34,390 | — | 9/25/19 | (Federal Funds | Puma Se—Monthly | (286) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 23,930 | 23,085 | — | 9/25/19 | (Federal Funds | Pvh Corp—Monthly | (843) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 1,995 | 1,925 | — | 9/26/19 | (Federal Funds | Qatar Islamic | (70) |
| | | | | Effective Rate | Bank—Monthly | |
| | | | | US plus 1.20%) — | | |
| | | | | Monthly | | |
| 33,553 | 33,476 | — | 9/25/19 | (Federal Funds | Raiffeisen Bank | (78) |
| | | | | Effective Rate | International Ag— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 4,367 | 4,083 | — | 9/25/19 | (Federal Funds | Ramsay Health Care | (284) |
| | | | | Effective Rate | Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 55 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $81,914 | $84,698 | $— | 9/25/19 | (Federal Funds | Realogy Holdings | $2,780 |
| | | | | Effective Rate | Corp—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 11,520 | 11,920 | — | 9/25/19 | (Federal Funds | Realtek | 400 |
| | | | | Effective Rate US | Semiconductor | |
| | | | | plus 0.35%) — | Corp—Monthly | |
| | | | | Monthly | | |
| 103,064 | 103,590 | — | 9/25/19 | (Federal Funds | Recordati Spa— | 521 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 37,562 | 36,432 | — | 9/25/19 | (Federal Funds | Relx PLC—Monthly | (1,132) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 153,872 | 153,872 | — | 9/25/19 | (Federal Funds | Regal | (7) |
| | | | | Effective Rate | Entertainment | |
| | | | | US plus 0.25%) — | Group—Monthly | |
| | | | | Monthly | | |
| 116,033 | 113,958 | — | 9/25/19 | (Federal Funds | Reinsurance Group | (2,080) |
| | | | | Effective Rate | Of America— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 21,329 | 20,633 | — | 9/25/19 | (Federal Funds | Relx Nv—Monthly | (697) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 9,460 | 9,202 | — | 9/25/19 | (Federal Funds | Rentokil Initial Plc— | (259) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 34,991 | 33,859 | — | 9/25/19 | (Federal Funds | Retail Properties Of | (1,134) |
| | | | | Effective Rate | Ame — A—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 12,296 | 11,450 | — | 9/25/19 | (Federal Funds | Richter Gedeon | (846) |
| | | | | Effective Rate | Nyrt—Monthly | |
| | | | | US plus 0.70%) — | | |
| | | | | Monthly | | |
| 28,704 | 28,130 | — | 9/25/19 | (Federal Funds | Roche Holding | (576) |
| | | | | Effective Rate | Ag-Br—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 73,297 | 71,704 | — | 9/25/19 | (Federal Funds | Roche Holding | (1,597) |
| | | | | Effective Rate | Ag-Genusschein— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| |
| 56 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $116,601 | $111,915 | $— | 9/25/19 | (Federal Funds | Rockwell | $(4,692) |
| | | | | Effective Rate | Automation Inc— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 40,463 | 40,352 | — | 9/25/19 | (Federal Funds | Rockwell Collins | (114) |
| | | | | Effective Rate | Inc—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 21,978 | 22,803 | — | 9/26/19 | (Federal Funds | Rohm Co Ltd— | 824 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 78,911 | 77,075 | — | 9/25/19 | (Federal Funds | Ross Stores Inc— | (1,839) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 99,886 | 96,976 | — | 9/25/19 | (Federal Funds | Royal Caribbean | (2,915) |
| | | | | Effective Rate | Cruises Ltd— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 39,350 | 39,535 | — | 9/25/19 | (Federal Funds | Royal Dutch Shell | 183 |
| | | | | Effective Rate | Plc—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 39,014 | 39,079 | — | 9/25/19 | (Federal Funds | Royal Dutch Shell | 64 |
| | | | | Effective Rate | Plc—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 3,754 | 3,776 | — | 9/25/19 | (Federal Funds | Rtl Group—Monthly | 21 |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 54,801 | 54,960 | — | 9/25/19 | (Federal Funds | Rtl Group—Monthly | 157 |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 133,764 | 132,726 | — | 9/25/19 | (Federal Funds | S&P Global Inc— | (1,044) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 11,349 | 11,097 | — | 9/25/19 | (Federal Funds | S.A.C.I. Falabella— | (252) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 1.25%) — | | |
| | | | | Monthly | | |
| 34,010 | 32,824 | — | 9/25/19 | (Federal Funds | Sabre Corp— | (1,188) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.30%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 57 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $111,935 | $111,753 | $— | 9/25/19 | (Federal Funds | Safran Sa—Monthly | $(186) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 40,677 | 39,804 | — | 9/25/19 | (Federal Funds | Sage Group Plc/ | (876) |
| | | | | Effective Rate | The—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 26,263 | 26,074 | — | 9/25/19 | (Federal Funds | Samsung | (190) |
| | | | | Effective Rate US | Electronics Co Ltd— | |
| | | | | plus 0.35%) — | Monthly | |
| | | | | Monthly | | |
| 1,358 | 1,354 | — | 9/26/19 | (Federal Funds | San Miguel Corp— | (5) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.75%) — | | |
| | | | | Monthly | | |
| 64,556 | 64,006 | — | 9/25/19 | (Federal Funds | Sanofi—Monthly | (553) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 32,845 | 33,222 | — | 9/25/19 | (Federal Funds | Sap Se—Monthly | 376 |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 8,960 | 8,518 | — | 9/27/19 | (Federal Funds | Sapura Energy | (442) |
| | | | | Effective Rate | Bhd—Monthly | |
| | | | | US plus 0.75%) — | | |
| | | | | Monthly | | |
| 75,576 | 75,473 | — | 9/26/19 | (Federal Funds | Sats Ltd—Monthly | (107) |
| | | | | Effective Rate US | | |
| | | | | plus 0.55%) — | | |
| | | | | Monthly | | |
| 33,556 | 33,804 | — | 9/25/19 | (Federal Funds | Sberbank | 247 |
| | | | | Effective Rate | Pjsc -Sponsored | |
| | | | | US plus 0.25%) — | Adr—Monthly | |
| | | | | Monthly | | |
| 32,104 | 31,855 | — | 9/25/19 | (Federal Funds | Scana Corp— | (250) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 51,391 | 50,722 | — | 9/25/19 | (Federal Funds | Schaeffler Ag— | (671) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 31,492 | 30,573 | — | 9/25/19 | (Federal Funds | Schibsted | (920) |
| | | | | Effective Rate | Asa-Cl A—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| |
| 58 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $127,619 | $124,207 | $— | 9/25/19 | (Federal Funds | Schindler Holding | $(3,417) |
| | | | | Effective Rate | Ag-Reg—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 128,592 | 125,449 | — | 9/25/19 | (Federal Funds | Schindler Holding- | (3,148) |
| | | | | Effective Rate | Part Cert—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 33,259 | 32,819 | — | 9/25/19 | (Federal Funds | Charles Schwab | (441) |
| | | | | Effective Rate | Corp/The—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 74,720 | 74,554 | — | 9/25/19 | (Federal Funds | Scor Se—Monthly | (170) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 21,154 | 21,477 | — | 9/25/19 | (Federal Funds | Scripps Networks | 393 |
| | | | | Effective Rate | Inter-Cl A—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 33,338 | 32,748 | — | 9/26/19 | (Federal Funds | Secom Co Ltd— | (591) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 35,543 | 35,065 | — | 9/26/19 | (Federal Funds | Sega Sammy | (480) |
| | | | | Effective Rate | Holdings Inc— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 28,756 | 28,874 | — | 9/26/19 | (Federal Funds | Seiko Epson Corp— | 116 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 86,583 | 82,861 | — | 9/25/19 | (Federal Funds | Senior Housing Prop | (3,725) |
| | | | | Effective Rate | Trust—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 33,262 | 33,445 | — | 9/26/19 | (Federal Funds | Seven & I Holdings | 518 |
| | | | | Effective Rate | Co Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 8,398 | 8,415 | — | 9/25/19 | (Federal Funds | Shanghai Industrial | 16 |
| | | | | Effective Rate | Hldg Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 14,029 | 12,472 | — | 9/25/19 | (Federal Funds | Shimao Property | (1,558) |
| | | | | Effective Rate | Holdings Ltd— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 59 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $4,522 | $4,291 | $— | 9/25/19 | (Federal Funds | Sibanye Stillwater- | $(232) |
| | | | | Effective Rate | Spons Adr—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 10,977 | 11,330 | — | 9/25/19 | (Federal Funds | Sihuan | 352 |
| | | | | Effective Rate | Pharmaceutical | |
| | | | | US plus 0.25%) — | Holdings Group | |
| | | | | Monthly | Ltd—Monthly | |
| 98,964 | 98,788 | — | 9/25/19 | (Federal Funds | Sika Ag-Br—Monthly | (180) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 22,509 | 22,196 | — | 9/27/19 | (Federal Funds | Sime Darby Bhd— | (314) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.75%) — | | |
| | | | | Monthly | | |
| 10,923 | 10,758 | — | 9/25/19 | (Federal Funds | Sina Corp—Monthly | (166) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 41,040 | 41,093 | — | 9/26/19 | (Federal Funds | Singapore Exchange | 51 |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | plus 0.55%) — | | |
| | | | | Monthly | | |
| 20,108 | 20,832 | — | 9/25/19 | (Federal Funds | Sino Biopharma- | 724 |
| | | | | Effective Rate | ceutical—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 17,666 | 17,686 | — | 9/25/19 | (Federal Funds | Sino Land Co Ltd— | 19 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 12,118 | 12,105 | — | 9/25/19 | (Federal Funds | Skandinaviska | (13) |
| | | | | Effective Rate | Enskilda Ban-C— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 118,890 | 117,662 | — | 9/25/19 | (Federal Funds | Skyworks Solutions | (1,233) |
| | | | | Effective Rate | Inc—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 42,977 | 42,636 | — | 9/25/19 | (Federal Funds | Smiths Group Plc— | (344) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 34,477 | 35,261 | — | 9/25/19 | (Federal Funds | Software Ag— | 783 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| |
| 60 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $21,651 | $21,059 | $— | 9/25/19 | (Federal Funds | Sonoco Products | $(422) |
| | | | | Effective Rate | Co—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 66,551 | 63,867 | — | 9/25/19 | (Federal Funds | Southwestern | (2,687) |
| | | | | Effective Rate | Energy Co—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 22,231 | 21,557 | — | 9/27/19 | (Federal Funds | Spar Group Ltd/ | (676) |
| | | | | Effective Rate | The—Monthly | |
| | | | | US plus 0.60%) — | | |
| | | | | Monthly | | |
| 132,270 | 131,092 | — | 9/25/19 | (Federal Funds | Spirit Aerosystems | (1,184) |
| | | | | Effective Rate | Hold-Cl A—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 2,322 | 2,252 | — | 9/25/19 | (Federal Funds | Sprint Corp— | (70) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 17,205 | 16,737 | — | 9/27/19 | (Federal Funds | Standard Bank | (469) |
| | | | | Effective Rate | Group Ltd—Monthly | |
| | | | | US plus 0.60%) — | | |
| | | | | Monthly | | |
| 133,525 | 132,688 | — | 9/25/19 | (Federal Funds | State Street Corp— | (844) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 43,347 | 43,406 | — | 9/25/19 | (Federal Funds | Stmicroelectronics | 56 |
| | | | | Effective Rate | Nv—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 130,340 | 130,412 | — | 9/25/19 | (Federal Funds | Stmicroelectronics | 67 |
| | | | | Effective Rate | Nv—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 17,057 | 16,991 | — | 9/25/19 | (Federal Funds | Stockland—Monthly | (67) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 21,131 | 21,255 | — | 9/26/19 | (Federal Funds | Subaru Corp— | 123 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 104 | 108 | — | 9/26/19 | (Federal Funds | Sumco Corp— | 4 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 61 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $33,221 | $32,670 | $— | 9/26/19 | (Federal Funds | Suntory Beverage & | $(553) |
| | | | | Effective Rate | Food Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 12,422 | 12,250 | — | 9/25/19 | (Federal Funds | Surgutneftegas-Sp | (172) |
| | | | | Effective Rate | Adr—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 35,537 | 36,943 | — | 9/26/19 | (Federal Funds | Suzuken Co Ltd— | 1,404 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 25,674 | 25,396 | — | 9/25/19 | (Federal Funds | Svb Financial | (280) |
| | | | | Effective Rate | Group—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 41,733 | 40,715 | — | 9/25/19 | (Federal Funds | Svenska Cellulosa | (1,020) |
| | | | | Effective Rate | Ab Sca—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 99,398 | 97,730 | — | 9/25/19 | (Federal Funds | Swedish Match Ab— | (1,672) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 10,467 | 10,604 | — | 9/25/19 | (Federal Funds | Synnex Technology | 137 |
| | | | | Effective Rate US | Intl Corp—Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 126,667 | 125,481 | — | 9/25/19 | (Federal Funds | Synopsys Inc— | (1,191) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 131,148 | 126,602 | — | 9/25/19 | (Federal Funds | Synovus Financial | (4,552) |
| | | | | Effective Rate | Corp—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 20,146 | 20,430 | — | 9/26/19 | (Federal Funds | Taisei Corp— | 283 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 107,034 | 108,664 | — | 9/25/19 | (Federal Funds | Talanx Ag—Monthly | 1,625 |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 69,731 | 69,390 | — | 9/25/19 | (Federal Funds | Tapestry Inc— | (341) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| |
| 62 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $13,592 | $14,213 | $— | 9/25/19 | (Federal Funds | Tav Havalimanlari | $620 |
| | | | | Effective Rate | Holding As— | |
| | | | | US plus 0.70%) — | Monthly | |
| | | | | Monthly | | |
| 31,266 | 30,121 | — | 9/25/19 | (Federal Funds | Taylor Wimpey Plc— | (1,146) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 55,072 | 54,796 | — | 9/25/19 | (Federal Funds | Tdc A S—Monthly | (279) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 4,492 | 4,530 | — | 9/25/19 | (Federal Funds | Teco Electric | 37 |
| | | | | Effective Rate US | & Machinery— | |
| | | | | plus 0.35%) — | Monthly | |
| | | | | Monthly | | |
| 16,232 | 16,042 | — | 9/25/19 | (Federal Funds | Telenet Group | (191) |
| | | | | Effective Rate | Holding Nv— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 85,567 | 84,369 | — | 9/25/19 | (Federal Funds | Telenor Asa— | (1,202) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 114,344 | 118,441 | — | 9/25/19 | (Federal Funds | Telephone And Data | 4,093 |
| | | | | Effective Rate | Systems—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 78,522 | 75,294 | — | 9/25/19 | (Federal Funds | Telstra Corp Ltd— | (761) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 95,078 | 93,854 | — | 9/25/19 | (Federal Funds | Teradata Corp— | (1,224) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 56,679 | 56,017 | — | 9/25/19 | (Federal Funds | Texas Instruments | (664) |
| | | | | Effective Rate | Inc—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 10,195 | 9,947 | — | 9/25/19 | (Federal Funds | Time Warner Inc— | (249) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 88,155 | 83,395 | — | 9/25/19 | (Federal Funds | Timken Co— | (4,764) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 63 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $31,199 | $31,579 | $— | 9/26/19 | (Federal Funds | Tohoku Electric | $379 |
| | | | | Effective Rate | Power Co Inc— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 32,223 | 32,578 | — | 9/26/19 | (Federal Funds | Tokio Marine | 353 |
| | | | | Effective Rate | Holdings Inc— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 28,789 | 28,988 | — | 9/26/19 | (Federal Funds | Tokyo Gas Co Ltd— | 197 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 9,996 | 10,065 | — | 9/26/19 | (Federal Funds | Tokyo Gas Co., Ltd— | 68 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 38,267 | 37,112 | — | 9/26/19 | (Federal Funds | Tokyu Fudosan | (1,157) |
| | | | | Effective Rate | Holdings Corp— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 125,639 | 123,962 | — | 9/25/19 | (Federal Funds | Toro Co—Monthly | (1,682) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 23,515 | 23,916 | — | 9/26/19 | (Federal Funds | Toyo Seikan Group | 400 |
| | | | | Effective Rate | Holdings Ltd— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 19,696 | 19,634 | — | 9/26/19 | (Federal Funds | Toyo Suisan Kaisha | (64) |
| | | | | Effective Rate | Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 22,040 | 21,997 | — | 9/26/19 | (Federal Funds | Toyoda Gosei Co | (44) |
| | | | | Effective Rate | Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 37,091 | 36,817 | — | 9/26/19 | (Federal Funds | Toyota Motor | (276) |
| | | | | Effective Rate | Corp—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 5,698 | 5,809 | — | 9/25/19 | (Federal Funds | Transcend | 110 |
| | | | | Effective Rate US | Information Inc— | |
| | | | | plus 0.35%) — | Monthly | |
| | | | | Monthly | | |
| 12,732 | 12,779 | — | 9/25/19 | (Federal Funds | Travelsky | 47 |
| | | | | Effective Rate | Technology Ltd-H— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| |
| 64 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $39,069 | $38,378 | $— | 9/25/19 | (Federal Funds | Tribune Media | $(692) |
| | | | | Effective Rate | Co — A—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 120,366 | 116,407 | — | 9/25/19 | (Federal Funds | Trimble Inc— | (3,965) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 17,965 | 16,749 | — | 9/27/19 | (Federal Funds | Truworths | (1,217) |
| | | | | Effective Rate | International Ltd— | |
| | | | | US plus 0.60%) — | Monthly | |
| | | | | Monthly | | |
| 74,825 | 73,717 | — | 9/25/19 | (Federal Funds | Tui Ag-Di—Monthly | (1,111) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 109,349 | 102,711 | — | 9/25/19 | (Federal Funds | Tupperware Brands | (6,642) |
| | | | | Effective Rate | Corp—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 16,641 | 16,338 | — | 9/25/19 | (Federal Funds | Tupras Turkiye | (304) |
| | | | | Effective Rate | Petrol Rafinerileri | |
| | | | | US plus 0.70%) — | As—Monthly | |
| | | | | Monthly | | |
| 16,129 | 15,917 | — | 9/25/19 | (Federal Funds | Turkiye Garanti | (214) |
| | | | | Effective Rate | Bankasi As— | |
| | | | | US plus 0.70%) — | Monthly | |
| | | | | Monthly | | |
| 16,637 | 16,756 | — | 9/25/19 | (Federal Funds | Turkiye Is | 118 |
| | | | | Effective Rate | Bankasi-C—Monthly | |
| | | | | US plus 0.70%) — | | |
| | | | | Monthly | | |
| 117,416 | 110,192 | — | 9/25/19 | (Federal Funds | Union Pacific Corp— | (6,613) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 11,400 | 11,817 | — | 9/25/19 | (Federal Funds | Uni-President | 416 |
| | | | | Effective Rate US | Enterprises Corp— | |
| | | | | plus 0.35%) — | Monthly | |
| | | | | Monthly | | |
| 18,741 | 18,632 | — | 9/25/19 | (Federal Funds | United Co Rusal | (110) |
| | | | | Effective Rate | Plc—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 53,280 | 53,032 | — | 9/25/19 | (Federal Funds | United Internet Ag— | (251) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 65 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $106,843 | $104,772 | $— | 9/25/19 | (Federal Funds | United States Steel | $(2,076) |
| | | | | Effective Rate | Corp—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 34,138 | 33,954 | — | 9/25/19 | (Federal Funds | United Technologies | (186) |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | plus 0.30%) — | | |
| | | | | Monthly | | |
| 4,602 | 4,402 | — | 9/27/19 | (Federal Funds | United Tractors Tbk | (201) |
| | | | | Effective Rate | Pt—Monthly | |
| | | | | US plus 0.75%) — | | |
| | | | | Monthly | | |
| 32,344 | 32,227 | — | 9/25/19 | (Federal Funds | Upm-Kymmene | (119) |
| | | | | Effective Rate | Oyj—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 33,810 | 32,818 | — | 9/25/19 | (Federal Funds | Usg Corp—Monthly | (993) |
| | | | | Effective Rate US | | |
| | | | | plus 0.30%) — | | |
| | | | | Monthly | | |
| 22,470 | 22,803 | — | 9/26/19 | (Federal Funds | Uss Co Ltd— | 332 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 90,882 | 91,043 | — | 9/25/19 | (Federal Funds | Validus Holdings | 157 |
| | | | | Effective Rate | Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 32,711 | 32,068 | — | 9/25/19 | (Federal Funds | Valmont Industries | (644) |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | plus 0.30%) — | | |
| | | | | Monthly | | |
| 44,402 | 49,836 | — | 9/25/19 | (Federal Funds | Veeva Systems | 5,432 |
| | | | | Effective Rate | Inc-Class A— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 64,460 | 72,349 | — | 9/25/19 | (Federal Funds | Veeva Systems Inc- | 7,886 |
| | | | | Effective Rate | Class A—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 28,237 | 26,624 | — | 9/25/19 | (Federal Funds | Venator Materials | (1,615) |
| | | | | Effective Rate | Plc—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 50,452 | 52,085 | — | 9/26/19 | (Federal Funds | Venture Corp Ltd— | 1,629 |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.55%) — | | |
| | | | | Monthly | | |
| |
| 66 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $43,275 | $42,599 | $— | 9/25/19 | (Federal Funds | Veolia | $(677) |
| | | | | Effective Rate | Environnement | |
| | | | | US plus 0.25%) — | Sa—Monthly | |
| | | | | Monthly | | |
| 64,425 | 63,091 | — | 9/25/19 | (Federal Funds | Vertex | (1,336) |
| | | | | Effective Rate | Pharmaceuticals | |
| | | | | US plus 0.25%) — | Inc—Monthly | |
| | | | | Monthly | | |
| 125,728 | 123,747 | — | 9/25/19 | (Federal Funds | Vestas Wind | (1,987) |
| | | | | Effective Rate | Systems A/S— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 8,630 | 8,596 | — | 9/25/19 | (Federal Funds | Vicinity Centres— | (34) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 27,534 | 27,170 | — | 9/25/19 | (Federal Funds | Visa Inc-Class A | (366) |
| | | | | Effective Rate | Shares—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 27,653 | 26,601 | — | 9/25/19 | (Federal Funds | Vitrolife Ab— | (1,053) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 8,717 | 8,508 | — | 9/25/19 | (Federal Funds | Vornado Realty | (209) |
| | | | | Effective Rate | Trust—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 106,485 | 104,167 | — | 9/25/19 | (Federal Funds | Wabco Holdings | (2,323) |
| | | | | Effective Rate | Inc—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 54,503 | 53,183 | — | 9/25/19 | (Federal Funds | Walgreens Boots | (1,322) |
| | | | | Effective Rate | Alliance Inc— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 12,191 | 11,926 | — | 9/25/19 | (Federal Funds | Walmart De Mexico | (265) |
| | | | | Effective Rate US | Sab De Cv—Monthly | |
| | | | | plus 0.90%) — | | |
| | | | | Monthly | | |
| 29,391 | 28,854 | — | 9/25/19 | (Federal Funds | Waters Corp— | (538) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 33,978 | 33,405 | — | 9/25/19 | (Federal Funds | Watsco Inc— | (575) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 67 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $130,315 | $129,726 | $— | 9/25/19 | (Federal Funds | Wellcare Health | $(594) |
| | | | | Effective Rate | Plans Inc—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 30,756 | 30,610 | — | 9/25/19 | (Federal Funds | Wendel Sa— | (147) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 17,467 | 16,908 | — | 9/25/19 | (Federal Funds | Wesfarmers Ltd— | (136) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 52,604 | 50,014 | — | 9/25/19 | (Federal Funds | West Fraser Timber | (2,592) |
| | | | | Effective Rate | Co Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 45,955 | 44,605 | — | 9/25/19 | (Federal Funds | Western Alliance | (1,353) |
| | | | | Effective Rate | Bancorp—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 46,087 | 45,696 | — | 9/25/19 | (Federal Funds | Western Digital | (391) |
| | | | | Effective Rate | Corp—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 37,476 | 37,499 | — | 9/25/19 | (Federal Funds | Weston (George) | 20 |
| | | | | Effective Rate | Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 88,670 | 88,172 | — | 9/25/19 | (Federal Funds | Wgl Holdings Inc— | (501) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 42,012 | 43,385 | — | 9/25/19 | (Federal Funds | Wh Group Ltd— | 1,371 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 18,472 | 18,721 | — | 9/25/19 | (Federal Funds | Wharf Holdings Ltd/ | 249 |
| | | | | Effective Rate | The—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 78,955 | 80,195 | — | 9/25/19 | (Federal Funds | Wheelock & Co Ltd— | 1,237 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 129,153 | 125,317 | — | 9/25/19 | (Federal Funds | Wihlborgs | (3,843) |
| | | | | Effective Rate | Fastigheter Ab— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| |
| 68 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $4,381 | $4,379 | $— | 9/25/19 | (Federal Funds | Wistron Corp— | $(3) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 22,248 | 21,452 | — | 9/25/19 | (Federal Funds | Wolters Kluwer Nv— | (796) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 15,092 | 15,349 | — | 9/25/19 | (Federal Funds | Woodside | 256 |
| | | | | Effective Rate | Petroleum Ltd— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 82,896 | 81,335 | — | 9/25/19 | (Federal Funds | Wr Grace & Co— | (1,396) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.30%) — | | |
| | | | | Monthly | | |
| 59,039 | 57,018 | — | 9/25/19 | (Federal Funds | Ww Grainger Inc— | (2,024) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 20,862 | 21,085 | — | 9/25/19 | (Federal Funds | Wynn Macau Ltd— | 223 |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 33,800 | 33,500 | — | 9/25/19 | (Federal Funds | Wynn Resorts Ltd— | (302) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 57,189 | 55,572 | — | 9/25/19 | (Federal Funds | Xcel Energy Inc— | (1,620) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 21,225 | 21,791 | — | 9/25/19 | (Federal Funds | Xinyi Glass Holdings | 565 |
| | | | | Effective Rate | Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 7,042 | 6,989 | — | 9/25/19 | (Federal Funds | Xpo Logistics Inc— | (54) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 35,645 | 35,101 | — | 9/26/19 | (Federal Funds | Yamaha Motor Co | (545) |
| | | | | Effective Rate | Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 40,949 | 42,006 | — | 9/26/19 | (Federal Funds | Yangzijiang | 1,054 |
| | | | | Effective Rate US | Shipbuilding | |
| | | | | plus 0.55%) — | Holdings Ltd— | |
| | | | | Monthly | Monthly | |
|
| PanAgora Market Neutral Fund 69 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $20,248 | $17,972 | $— | 9/25/19 | (Federal Funds | Yanzhou Coal Mining | $(2,276) |
| | | | | Effective Rate | Co Ltd—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 16,281 | 16,338 | — | 9/25/19 | (Federal Funds | Yuanta Financial | 56 |
| | | | | Effective Rate US | Holding Co Ltd— | |
| | | | | plus 0.35%) — | Monthly | |
| | | | | Monthly | | |
| 18,379 | 19,264 | — | 9/25/19 | (Federal Funds | Yue Yuen Industrial | 885 |
| | | | | Effective Rate | Holdings Ltd— | |
| | | | | US plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 17,660 | 16,941 | — | 9/25/19 | (Federal Funds | Yuhan Corp— | (720) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 8,677 | 8,871 | — | 9/25/19 | (Federal Funds | Yulon Nissan Motor | 194 |
| | | | | Effective Rate US | Co Ltd—Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 34,650 | 33,884 | — | 9/25/19 | (Federal Funds | Yy Inc-Adr—Monthly | (767) |
| | | | | Effective Rate | | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 142,823 | 139,936 | — | 9/25/19 | (Federal Funds | Zebra Technologies | (2,894) |
| | | | | Effective Rate | Corp-Cl A—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 35,406 | 34,576 | — | 9/25/19 | (Federal Funds | Zions | (832) |
| | | | | Effective Rate US | Bancorporation— | |
| | | | | plus 0.30%) — | Monthly | |
| | | | | Monthly | | |
| 80,197 | 79,234 | — | 9/25/19 | (Federal Funds | Zurich Insurance | (967) |
| | | | | Effective Rate | Group Ag—Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 132,888 | 127,366 | — | 9/25/19 | (Federal Funds | Zynga Inc — Cl A— | (5,528) |
| | | | | Effective Rate | Monthly | |
| | | | | US plus 0.25%) — | | |
| | | | | Monthly | | |
| 6,650 | 6,346 | — | 9/25/19 | Federal Funds | 1&1 Drillisch Ag— | 304 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 14,029 | 13,942 | — | 9/25/19 | Federal Funds | Aak Ab—Monthly | 87 |
| | | | | Effective Rate US | | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| |
| 70 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $124,297 | $122,022 | $— | 9/25/19 | Federal Funds | Abiomed Inc— | $2,280 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 93,119 | 92,608 | — | 9/25/19 | Federal Funds | Abn Amro Group | 514 |
| | | | | Effective Rate US | Nv-Cva—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 6,666 | 6,783 | — | 9/26/19 | Federal Funds | Aboitiz Equity | (117) |
| | | | | Effective Rate US | Ventures Inc— | |
| | | | | minus 2.50%— | Monthly | |
| | | | | Monthly | | |
| 77,256 | 76,314 | — | 9/25/19 | Federal Funds | Acadia Healthcare | 944 |
| | | | | Effective Rate US | Co Inc—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 80,514 | 78,196 | — | 9/25/19 | Federal Funds | Adient Plc—Monthly | 2,320 |
| | | | | Effective Rate US | | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 39,604 | 37,430 | — | 9/25/19 | Federal Funds | Admiral Group Plc— | 2,174 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 27,947 | 27,535 | — | 9/25/19 | Federal Funds | Adp—Monthly | 413 |
| | | | | Effective Rate US | | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 11,329 | 11,465 | — | 9/25/19 | Federal Funds | Advantech Co Ltd— | (137) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 2.00%— | | |
| | | | | Monthly | | |
| 112,124 | 108,341 | — | 9/25/19 | Federal Funds | Aecom—Monthly | 3,787 |
| | | | | Effective Rate US | | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 15,439 | 15,237 | — | 9/26/19 | Federal Funds | Aeon Co Ltd— | 76 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 6,260 | 6,182 | — | 9/25/19 | Federal Funds | Aguas Andinas | 76 |
| | | | | Effective Rate US | Sa-A—Monthly | |
| | | | | minus 7.50%— | | |
| | | | | Monthly | | |
| 20,504 | 20,997 | — | 9/25/19 | Federal Funds | Aib Group Plc— | (493) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 1.88%— | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 71 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $13,679 | $13,743 | $— | 9/25/19 | Federal Funds | Akbank Turk As— | $(64) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.75%— | | |
| | | | | Monthly | | |
| 3,078 | 3,150 | — | 9/27/19 | Federal Funds | Akr Corporindo Tbk | (73) |
| | | | | Effective Rate US | Pt—Monthly | |
| | | | | minus 4.50%— | | |
| | | | | Monthly | | |
| 16,295 | 14,864 | — | 9/25/19 | Federal Funds | Albemarle Corp— | 1,431 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 6,941 | 6,915 | — | 9/25/19 | Federal Funds | Alexandria Real | 26 |
| | | | | Effective Rate US | Estate Equit— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 133,603 | 128,064 | — | 9/25/19 | Federal Funds | Alibaba Group | 5,543 |
| | | | | Effective Rate US | Holding Ltd— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 4,985 | 4,920 | — | 9/25/19 | Federal Funds | Alibaba Health | 65 |
| | | | | Effective Rate US | Information | |
| | | | | minus 4.38%— | Technology Ltd— | |
| | | | | Monthly | Monthly | |
| 11,045 | 10,939 | — | 9/25/19 | Federal Funds | Alibaba Pictures | 106 |
| | | | | Effective Rate US | Group Ltd—Monthly | |
| | | | | minus 1.50%— | | |
| | | | | Monthly | | |
| 72,197 | 71,526 | — | 9/25/19 | Federal Funds | Alleghany Corp— | 672 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 3,660 | 3,738 | — | 9/26/19 | Federal Funds | Alliance Global | (78) |
| | | | | Effective Rate US | Group Inc—Monthly | |
| | | | | minus 2.50%— | | |
| | | | | Monthly | | |
| 9,806 | 9,657 | — | 9/25/19 | Federal Funds | Alrosa Pjsc— | 149 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.75%— | | |
| | | | | Monthly | | |
| 86,596 | 87,015 | — | 9/25/19 | Federal Funds | Alstom—Monthly | (417) |
| | | | | Effective Rate US | | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 34,118 | 35,010 | — | 9/25/19 | Federal Funds | Altice Nv — A— | (891) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| |
| 72 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $9,524 | $9,749 | $— | 9/25/19 | Federal Funds | Altice Nv — B— | $(225) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 67,916 | 65,342 | — | 9/25/19 | Federal Funds | Altria Group Inc— | 2,576 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 8,818 | 8,728 | — | 9/25/19 | Federal Funds | Ambev Sa-Adr— | 91 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 100,324 | 97,352 | — | 9/25/19 | Federal Funds | Amerco—Monthly | 2,975 |
| | | | | Effective Rate US | | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 36,120 | 35,872 | — | 9/25/19 | Federal Funds | American Electric | 247 |
| | | | | Effective Rate US | Power Co Inc— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 4,609 | 4,419 | — | 9/25/19 | Federal Funds | Amorepacific | 190 |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| 4,388 | 4,189 | — | 9/25/19 | Federal Funds | Amorepacific | 200 |
| | | | | Effective Rate US | Group—Monthly | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| 88,806 | 87,826 | — | 9/25/19 | Federal Funds | Amphenol | 983 |
| | | | | Effective Rate US | Corp-Cl A—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 64,287 | 63,645 | — | 9/25/19 | Federal Funds | Amundi Sa— | 645 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 9,611 | 9,290 | — | 9/25/19 | Federal Funds | Anadolu Efes | 321 |
| | | | | Effective Rate US | Biracilik Ve— | |
| | | | | minus 0.88%— | Monthly | |
| | | | | Monthly | | |
| 14,775 | 14,503 | — | 9/27/19 | Federal Funds | Anglo American | 272 |
| | | | | Effective Rate US | Platinum Ltd— | |
| | | | | minus 0.90%— | Monthly | |
| | | | | Monthly | | |
| 3,967 | 3,773 | — | 9/25/19 | Federal Funds | Anglogold Ashanti- | 194 |
| | | | | Effective Rate US | Spon Adr—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 73 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $28,098 | $26,792 | $— | 9/25/19 | Federal Funds | Antofagasta Plc— | $1,307 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.63%— | | |
| | | | | Monthly | | |
| 13,465 | 12,838 | — | 9/25/19 | Federal Funds | Antofagasta Plc— | 627 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 93,432 | 91,489 | — | 9/25/19 | Federal Funds | Aon Plc—Monthly | 1,946 |
| | | | | Effective Rate US | | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 41,225 | 40,843 | — | 9/25/19 | Federal Funds | Ap Moller-Maersk | 382 |
| | | | | Effective Rate US | A/S—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 39,798 | 39,412 | — | 9/25/19 | Federal Funds | Ap Moller-Maersk | 387 |
| | | | | Effective Rate US | A/S—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 69,055 | 67,457 | — | 9/25/19 | Federal Funds | Aqua America Inc— | 1,600 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 10,562 | 10,413 | — | 9/25/19 | Federal Funds | Arca Continental | 149 |
| | | | | Effective Rate US | Sab De Cv—Monthly | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| 36,365 | 35,956 | — | 9/25/19 | Federal Funds | Archer-Daniels- | 409 |
| | | | | Effective Rate US | Midland Co— | |
| | | | | minus 0.40%— | Monthly | |
| | | | | Monthly | | |
| 23,527 | 24,039 | — | 9/26/19 | Federal Funds | Ascendas Real | (512) |
| | | | | Effective Rate US | Estate Inv Trt— | |
| | | | | minus 0.50%— | Monthly | |
| | | | | Monthly | | |
| 2,908 | 2,913 | — | 9/25/19 | Federal Funds | Asia Cement Corp— | (5) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.88%— | | |
| | | | | Monthly | | |
| 54,814 | 54,798 | — | 9/25/19 | Federal Funds | Assa Abloy Ab-B— | 17 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 85,703 | 82,231 | — | 9/25/19 | Federal Funds | Assured Guaranty | 3,474 |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| |
| 74 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $11,879 | $11,629 | $— | 9/27/19 | Federal Funds | Astra International | $249 |
| | | | | Effective Rate US | Tbk Pt—Monthly | |
| | | | | minus 4.00%— | | |
| | | | | Monthly | | |
| 11,538 | 11,180 | — | 9/25/19 | Federal Funds | At&T Inc—Monthly | 358 |
| | | | | Effective Rate US | | |
| | | | | minus 0.25%— | | |
| | | | | Monthly | | |
| 121,806 | 119,286 | — | 9/25/19 | Federal Funds | Atmos Energy | 2,523 |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 132,039 | 127,231 | — | 9/25/19 | Federal Funds | Autoliv Inc—Monthly | 4,812 |
| | | | | Effective Rate US | | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 127,804 | 125,007 | — | 9/25/19 | Federal Funds | Automatic Data | 2,801 |
| | | | | Effective Rate US | Processing— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 82,329 | 79,282 | — | 9/25/19 | Federal Funds | Autonation Inc— | 3,051 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 14,318 | 14,094 | — | 9/25/19 | Federal Funds | Avanza Bank | 224 |
| | | | | Effective Rate US | Holding Ab— | |
| | | | | minus 0.88%— | Monthly | |
| | | | | Monthly | | |
| 7,516 | 7,800 | — | 9/25/19 | Federal Funds | Avichina Industry & | (284) |
| | | | | Effective Rate US | Tech-H—Monthly | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| 60,190 | 59,455 | — | 9/25/19 | Federal Funds | Axis Capital | 737 |
| | | | | Effective Rate US | Holdings Ltd— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 21,652 | 20,504 | — | 9/26/19 | Federal Funds | B3 Sa-Brasil Bolsa | 1,148 |
| | | | | Effective Rate US | Balcao—Monthly | |
| | | | | minus 1.00%— | | |
| | | | | Monthly | | |
| 125,490 | 125,083 | — | 9/25/19 | Federal Funds | Ball Corp—Monthly | 98 |
| | | | | Effective Rate US | | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 16,609 | 15,428 | — | 9/25/19 | Federal Funds | Banco De Credito | 1,178 |
| | | | | Effective Rate US | E Inversiones Sa— | |
| | | | | minus 7.50%— | Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 75 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $10,656 | $10,463 | $— | 9/26/19 | Federal Funds | Bangkok Dusit Med | $193 |
| | | | | Effective Rate US | Service-F—Monthly | |
| | | | | minus 1.50%— | | |
| | | | | Monthly | | |
| 82,550 | 82,765 | — | 9/25/19 | Federal Funds | Bank Of East Asia | (212) |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| 126,555 | 123,425 | — | 9/25/19 | Federal Funds | Bank Of Hawaii | 2,352 |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 22,622 | 22,379 | — | 9/26/19 | Federal Funds | Bank Of Kyoto Ltd/ | 244 |
| | | | | Effective Rate US | The—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 31,105 | 30,717 | — | 9/25/19 | Federal Funds | Bank Of Queensland | 390 |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.45%— | | |
| | | | | Monthly | | |
| 15,475 | 15,017 | — | 9/25/19 | Federal Funds | Bank Of The | 460 |
| | | | | Effective Rate US | Ozarks—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 9,340 | 9,276 | — | 9/25/19 | Federal Funds | Bank Pekao Sa— | 64 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.75%— | | |
| | | | | Monthly | | |
| 20,556 | 19,618 | — | 9/25/19 | Federal Funds | Bankia Sa—Monthly | 939 |
| | | | | Effective Rate US | | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 21,654 | 21,730 | — | 9/25/19 | Federal Funds | Barclays Plc— | (76) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 83,713 | 82,806 | — | 9/25/19 | Federal Funds | Bayerische Motoren | 909 |
| | | | | Effective Rate US | Werke Ag—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 18,901 | 18,859 | — | 9/25/19 | Federal Funds | Bayerische Motoren | 42 |
| | | | | Effective Rate US | Werke-Prf—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 13,759 | 13,436 | — | 9/26/19 | Federal Funds | Bb Seguridade | 323 |
| | | | | Effective Rate US | Participacoes Sa— | |
| | | | | minus 1.00%— | Monthly | |
| | | | | Monthly | | |
| |
| 76 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $10,140 | $10,965 | $— | 9/26/19 | Federal Funds | Berli Jucker Pub | $(826) |
| | | | | Effective Rate US | Co-Forgn—Monthly | |
| | | | | minus 3.88%— | | |
| | | | | Monthly | | |
| 68,474 | 68,461 | — | 9/25/19 | Federal Funds | Bioverativ Inc— | 15 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 20,827 | 20,809 | — | 9/25/19 | Federal Funds | Bnp Paribas Sa— | 19 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 143,599 | 140,069 | — | 9/25/19 | Federal Funds | Bok Financial | 3,534 |
| | | | | Effective Rate US | Corporation— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 91,974 | 93,389 | — | 9/25/19 | Federal Funds | Bollore—Monthly | (1,413) |
| | | | | Effective Rate US | | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 84,119 | 84,114 | — | 9/25/19 | Federal Funds | Boral Ltd—Monthly | 7 |
| | | | | Effective Rate US | | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| 41,270 | 40,116 | — | 9/25/19 | Federal Funds | Boskalis | 1,155 |
| | | | | Effective Rate US | Westminster— | |
| | | | | minus 0.30%— | Monthly | |
| | | | | Monthly | | |
| 116,363 | 114,846 | — | 9/25/19 | Federal Funds | Boston Scientific | 1,521 |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 9,124 | 8,813 | — | 9/26/19 | Federal Funds | Br Malls | 311 |
| | | | | Effective Rate US | Participacoes Sa— | |
| | | | | minus 1.00%— | Monthly | |
| | | | | Monthly | | |
| 5,278 | 5,426 | — | 9/27/19 | Federal Funds | Brait Se—Monthly | (148) |
| | | | | Effective Rate US | | |
| | | | | minus 1.13%— | | |
| | | | | Monthly | | |
| 24,449 | 24,253 | — | 9/25/19 | Federal Funds | Brambles Ltd— | 197 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| 8,416 | 8,740 | — | 9/25/19 | Federal Funds | Brf Sa-Adr—Monthly | (323) |
| | | | | Effective Rate US | | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 77 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $41,294 | $39,757 | $— | 9/27/19 | Federal Funds | British American | $1,537 |
| | | | | Effective Rate US | Tobacco Plc— | |
| | | | | minus 0.90%— | Monthly | |
| | | | | Monthly | | |
| 82,754 | 78,598 | — | 9/25/19 | Federal Funds | British American | 4,159 |
| | | | | Effective Rate US | Tobacco Plc— | |
| | | | | minus 0.30%— | Monthly | |
| | | | | Monthly | | |
| 119,347 | 118,649 | — | 9/25/19 | Federal Funds | Broadridge | 701 |
| | | | | Effective Rate US | Financial Solutio— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 14,983 | 15,096 | — | 9/25/19 | Federal Funds | Brown-Forman | (113) |
| | | | | Effective Rate US | Corp-Class A— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 94,637 | 91,922 | — | 9/25/19 | Federal Funds | Bwx Technologies | 2,719 |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 9,357 | 9,258 | — | 9/25/19 | Federal Funds | Byd Co Ltd-H— | 99 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 2.13%— | | |
| | | | | Monthly | | |
| 113,745 | 112,219 | — | 9/25/19 | Federal Funds | C. H. Robinson | 1,530 |
| | | | | Effective Rate US | Worldwide Inc— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 21,012 | 20,429 | — | 9/25/19 | Federal Funds | Cable One Inc— | 583 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 5,598 | 5,352 | — | 9/25/19 | Federal Funds | Capita Plc—Monthly | 246 |
| | | | | Effective Rate US | | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 81,874 | 83,698 | — | 9/26/19 | Federal Funds | Capitaland | (1,821) |
| | | | | Effective Rate US | Commercial Trust— | |
| | | | | minus 0.50%— | Monthly | |
| | | | | Monthly | | |
| 40,711 | 41,687 | — | 9/26/19 | Federal Funds | Capitaland Mall | (976) |
| | | | | Effective Rate US | Trust—Monthly | |
| | | | | minus 0.35%— | | |
| | | | | Monthly | | |
| 13,072 | 12,271 | — | 9/27/19 | Federal Funds | Capitec Bank | 801 |
| | | | | Effective Rate US | Holdings Ltd— | |
| | | | | minus 0.90%— | Monthly | |
| | | | | Monthly | | |
| |
| 78 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $17,717 | $17,891 | $— | 9/25/19 | Federal Funds | Car Inc—Monthly | $(178) |
| | | | | Effective Rate US | | |
| | | | | minus 10.25%— | | |
| | | | | Monthly | | |
| 53,708 | 52,880 | — | 9/25/19 | Federal Funds | Carmax Inc— | 830 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 108,517 | 106,502 | — | 9/25/19 | Federal Funds | Carrefour Sa— | 2,019 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 19,897 | 19,708 | — | 9/25/19 | Federal Funds | Castellum Ab— | 188 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 55,008 | 55,919 | — | 9/25/19 | Federal Funds | Cathay Pacific | (912) |
| | | | | Effective Rate US | Airways—Monthly | |
| | | | | minus 1.63%— | | |
| | | | | Monthly | | |
| 104,539 | 105,177 | — | 9/25/19 | Federal Funds | Cboe Global | (636) |
| | | | | Effective Rate US | Markets Inc— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 19,434 | 17,576 | — | 9/25/19 | Federal Funds | Ccc Sa—Monthly | 1,858 |
| | | | | Effective Rate US | | |
| | | | | minus 2.00%— | | |
| | | | | Monthly | | |
| 9,054 | 8,933 | — | 9/25/19 | Federal Funds | Cencosud Sa— | 119 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 7.50%— | | |
| | | | | Monthly | | |
| 19,934 | 19,748 | — | 9/25/19 | Federal Funds | Centennial | 187 |
| | | | | Effective Rate US | Resource | |
| | | | | minus 0.23%— | Develo-A—Monthly | |
| | | | | Monthly | | |
| 9,980 | 9,912 | — | 9/26/19 | Federal Funds | Centrais Eletricas | 68 |
| | | | | Effective Rate US | Brasilier—Monthly | |
| | | | | minus 1.00%— | | |
| | | | | Monthly | | |
| 10,833 | 10,666 | — | 9/25/19 | Federal Funds | Cez As—Monthly | 168 |
| | | | | Effective Rate US | | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| 6,740 | 6,678 | — | 9/26/19 | Federal Funds | Charoen Pokphand | 62 |
| | | | | Effective Rate US | Food-Forgn— | |
| | | | | minus 1.50%— | Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 79 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $812 | $801 | $— | 9/27/19 | Federal Funds | Charoen Pokphand | $12 |
| | | | | Effective Rate US | Indonesi Pt— | |
| | | | | minus 4.00%— | Monthly | |
| | | | | Monthly | | |
| 164,689 | 157,288 | — | 9/25/19 | Federal Funds | Charter | 7,407 |
| | | | | Effective Rate US | Communications | |
| | | | | minus 0.23%— | Inc-A—Monthly | |
| | | | | Monthly | | |
| 6,777 | 6,878 | — | 9/25/19 | Federal Funds | Cheng Shin Rubber | (100) |
| | | | | Effective Rate US | Ind Co Ltd—Monthly | |
| | | | | minus 1.25%— | | |
| | | | | Monthly | | |
| 33,578 | 32,793 | — | 9/25/19 | Federal Funds | Chevron Corp— | 787 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 24,986 | 24,966 | — | 9/26/19 | Federal Funds | Chiba Bank Ltd/ | 21 |
| | | | | Effective Rate US | The—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 16,214 | 15,323 | — | 9/25/19 | Federal Funds | China Citic Bank | 891 |
| | | | | Effective Rate US | Corp Ltd-H— | |
| | | | | minus 0.50%— | Monthly | |
| | | | | Monthly | | |
| 15,735 | 15,097 | — | 9/25/19 | Federal Funds | China Coal Energy | 638 |
| | | | | Effective Rate US | Co-H—Monthly | |
| | | | | minus 0.75%— | | |
| | | | | Monthly | | |
| 14,059 | 13,390 | — | 9/25/19 | Federal Funds | China Everbright | 669 |
| | | | | Effective Rate US | Bank Co L-H— | |
| | | | | minus 0.50%— | Monthly | |
| | | | | Monthly | | |
| 15,438 | 15,184 | — | 9/25/19 | Federal Funds | China Hongqiao | 251 |
| | | | | Effective Rate US | Group Ltd—Monthly | |
| | | | | minus 7.75%— | | |
| | | | | Monthly | | |
| 5,662 | 5,482 | — | 9/25/19 | Federal Funds | China International | 180 |
| | | | | Effective Rate US | Capital Corp Ltd— | |
| | | | | minus 4.38%— | Monthly | |
| | | | | Monthly | | |
| 12,783 | 12,242 | — | 9/25/19 | Federal Funds | China Jinmao | 541 |
| | | | | Effective Rate US | Holdings Group— | |
| | | | | minus 0.50%— | Monthly | |
| | | | | Monthly | | |
| 9,108 | 8,913 | — | 9/25/19 | Federal Funds | China Life Insurance | 195 |
| | | | | Effective Rate US | Co-H—Monthly | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| |
| 80 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $9,324 | $9,303 | $— | 9/25/19 | Federal Funds | China Longyuan | $21 |
| | | | | Effective Rate US | Power Group-H— | |
| | | | | minus 0.50%— | Monthly | |
| | | | | Monthly | | |
| 13,320 | 13,214 | — | 9/25/19 | Federal Funds | China Mengniu Dairy | 107 |
| | | | | Effective Rate US | Co Ltd—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 9,894 | 9,408 | — | 9/25/19 | Federal Funds | China Minsheng | 486 |
| | | | | Effective Rate US | Banking-H— | |
| | | | | minus 0.50%— | Monthly | |
| | | | | Monthly | | |
| 8,271 | 8,051 | — | 9/25/19 | Federal Funds | China Petroleum | 220 |
| | | | | Effective Rate US | & Chemical-H— | |
| | | | | minus 0.50%— | Monthly | |
| | | | | Monthly | | |
| 6,105 | 6,042 | — | 9/25/19 | Federal Funds | China Power | 63 |
| | | | | Effective Rate US | International— | |
| | | | | minus 0.50%— | Monthly | |
| | | | | Monthly | | |
| 8,253 | 8,173 | — | 9/25/19 | Federal Funds | China State | 79 |
| | | | | Effective Rate US | Construction Int— | |
| | | | | minus 0.50%— | Monthly | |
| | | | | Monthly | | |
| 42,586 | 41,924 | — | 9/25/19 | Federal Funds | Chocoladefabriken | 664 |
| | | | | Effective Rate US | Lindt-Pc—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 105,337 | 104,471 | — | 9/25/19 | Federal Funds | Chr Hansen Holding | 869 |
| | | | | Effective Rate US | A/S—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 30,332 | 31,208 | — | 9/26/19 | Federal Funds | Chugai | (875) |
| | | | | Effective Rate US | Pharmaceutical Co | |
| | | | | minus 0.30%— | Ltd—Monthly | |
| | | | | Monthly | | |
| 17,600 | 17,586 | — | 9/26/19 | Federal Funds | Chugoku Electric | 15 |
| | | | | Effective Rate US | Power Co., Inc. — | |
| | | | | minus 0.30%— | Monthly | |
| | | | | Monthly | | |
| 8,176 | 8,024 | — | 9/25/19 | Federal Funds | Cia Cervecerias | 153 |
| | | | | Effective Rate US | Unidas Sa—Monthly | |
| | | | | minus 0.77%— | | |
| | | | | Monthly | | |
| 6,081 | 5,864 | — | 9/25/19 | Federal Funds | Cia Paranaense | 217 |
| | | | | Effective Rate US | Ener-Sp Adr P— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 81 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING AT 2/28/18 (UNAUDITED) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $16,168 | $15,968 | $— | 9/26/19 | Federal Funds | Cia Siderurgica | $198 |
| | | | | Effective Rate US | Nacional Sa— | |
| | | | | minus 4.00%— | Monthly | |
| | | | | Monthly | | |
| 15,679 | 15,589 | — | 9/25/19 | Federal Funds | Cincinnati Financial | 90 |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 76,562 | 75,289 | — | 9/25/19 | Federal Funds | Cinemark Holdings | 1,276 |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 15,333 | 15,433 | — | 9/26/19 | Federal Funds | City Developments | (100) |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| 8,044 | 7,953 | — | 9/25/19 | Federal Funds | Cj Logistics Corp— | 91 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 1.50%— | | |
| | | | | Monthly | | |
| 10,072 | 10,031 | — | 9/25/19 | Federal Funds | Clariant Ag-Reg— | 40 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 115,447 | 112,892 | — | 9/25/19 | Federal Funds | Clean Harbors Inc— | 2,559 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 38,112 | 38,079 | — | 9/25/19 | Federal Funds | Clorox Co/The— | 34 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 26,403 | 25,691 | — | 9/25/19 | Federal Funds | Cnh Industrial Nv— | 714 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 73,974 | 68,426 | — | 9/25/19 | Federal Funds | Cobham Plc— | 5,550 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 31,289 | 30,514 | — | 9/26/19 | Federal Funds | Coca-Cola Bottlers | 776 |
| | | | | Effective Rate US | Japan Holdings | |
| | | | | minus 0.30%— | Inc—Monthly | |
| | | | | Monthly | | |
| 9,537 | 9,507 | — | 9/25/19 | Federal Funds | Cognex Corp— | 30 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| |
| 82 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $6,279 | $6,123 | $— | 9/25/19 | Federal Funds | Colbun Sa—Monthly | $156 |
| | | | | Effective Rate US | | |
| | | | | minus 7.50%— | | |
| | | | | Monthly | | |
| 68,722 | 66,916 | — | 9/25/19 | Federal Funds | Colony Northstar | 1,808 |
| | | | | Effective Rate US | Inc-Class A— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 42,867 | 41,884 | — | 9/25/19 | Federal Funds | Coloplast-B— | 985 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 9,459 | 9,301 | — | 9/25/19 | Federal Funds | Commerce | 160 |
| | | | | Effective Rate US | Bancshares Inc— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 79,190 | 76,219 | — | 9/25/19 | Federal Funds | Compass Minerals | 2,063 |
| | | | | Effective Rate US | Internation— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 11,465 | 11,035 | — | 9/25/19 | Federal Funds | Compass Minerals | 298 |
| | | | | Effective Rate US | International Inc— | |
| | | | | minus 0.91%— | Monthly | |
| | | | | Monthly | | |
| 50,359 | 49,010 | — | 9/25/19 | Federal Funds | Concho Resources | 1,350 |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 99,426 | 98,259 | — | 9/25/19 | Federal Funds | Constellation | 1,170 |
| | | | | Effective Rate US | Brands Inc-A— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 14,465 | 14,378 | — | 9/25/19 | Federal Funds | Corelogic Inc/ | 87 |
| | | | | Effective Rate US | United States— | |
| | | | | minus 0.40%— | Monthly | |
| | | | | Monthly | | |
| 107,638 | 100,754 | — | 9/25/19 | Federal Funds | Coty Inc-Cl A— | 6,235 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 82,620 | 80,730 | — | 9/25/19 | Federal Funds | Covanta Holding | 1,892 |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 79,558 | 78,673 | — | 9/25/19 | Federal Funds | Credit Acceptance | 885 |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | minus 1.37%— | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 83 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $46,729 | $46,935 | $— | 9/25/19 | Federal Funds | Croda International | $(204) |
| | | | | Effective Rate US | Plc—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 10,548 | 10,300 | — | 9/25/19 | Federal Funds | Ctrip. Com | 249 |
| | | | | Effective Rate US | International-Adr— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 50,900 | 50,527 | — | 9/25/19 | Federal Funds | Cvs Health Corp— | 374 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 16,734 | 16,525 | — | 9/26/19 | Federal Funds | Cyberdyne Inc— | 200 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 21.13%— | | |
| | | | | Monthly | | |
| 49,514 | 48,154 | — | 9/25/19 | Federal Funds | Cyrusone Inc— | 1,362 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 17,745 | 18,195 | — | 9/26/19 | Federal Funds | Daifuku Co Ltd— | (450) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 20,534 | 20,509 | — | 9/26/19 | Federal Funds | Daikin Industries | 25 |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 17,000 | 16,900 | — | 9/26/19 | Federal Funds | Dairy Farm | 100 |
| | | | | Effective Rate US | International | |
| | | | | minus 2.38%— | Holdings Ltd— | |
| | | | | Monthly | Monthly | |
| 42,125 | 40,961 | — | 9/26/19 | Federal Funds | Daiwa House Reit | 363 |
| | | | | Effective Rate US | Investment— | |
| | | | | minus 0.40%— | Monthly | |
| | | | | Monthly | | |
| 34,988 | 33,930 | — | 9/25/19 | Federal Funds | Danaher Corp— | 1,059 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 131,958 | 126,766 | — | 9/25/19 | Federal Funds | Deere & Co— | 5,197 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 97,840 | 96,427 | — | 9/25/19 | Federal Funds | Delta Air Lines Inc— | 1,416 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| |
| 84 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $4,710 | $4,761 | $— | 9/25/19 | Federal Funds | Delta Electronics | $(51) |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 25,382 | 25,650 | — | 9/26/19 | Federal Funds | Dena Co Ltd— | (268) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 38,555 | 37,962 | — | 9/25/19 | Federal Funds | Deutsche Bank Ag— | 594 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 27,257 | 27,232 | — | 9/25/19 | Federal Funds | Deutsche Boerse | 25 |
| | | | | Effective Rate US | Ag—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 9,379 | 9,267 | — | 9/27/19 | Federal Funds | Digi.Com Bhd— | 111 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 4.00%— | | |
| | | | | Monthly | | |
| 21,535 | 21,336 | — | 9/25/19 | Federal Funds | Digital Realty Trust | 200 |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 7,274 | 7,028 | — | 9/25/19 | Federal Funds | Discovery Com- | 246 |
| | | | | Effective Rate US | munications-A— | |
| | | | | minus 0.56%— | Monthly | |
| | | | | Monthly | | |
| 15,996 | 15,585 | — | 9/27/19 | Federal Funds | Discovery Ltd— | 411 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.90%— | | |
| | | | | Monthly | | |
| 9,602 | 9,108 | — | 9/25/19 | Federal Funds | Distribuidora | 495 |
| | | | | Effective Rate US | Internacional— | |
| | | | | minus 0.50%— | Monthly | |
| | | | | Monthly | | |
| 32,040 | 31,226 | — | 9/25/19 | Federal Funds | Dometic Group Ab— | 814 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 40,807 | 39,776 | — | 9/25/19 | Federal Funds | Dominion Energy | 1,032 |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 41,707 | 39,903 | — | 9/25/19 | Federal Funds | Domino’s Pizza | 1,803 |
| | | | | Effective Rate US | Enterprises L— | |
| | | | | minus 1.38%— | Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 85 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $44,920 | $43,815 | $— | 9/25/19 | Federal Funds | Domino’s Pizza Inc— | $1,107 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 27,340 | 28,162 | — | 9/26/19 | Federal Funds | Don Quijote | (821) |
| | | | | Effective Rate US | Holdings Co Ltd— | |
| | | | | minus 0.40%— | Monthly | |
| | | | | Monthly | | |
| 949 | 898 | — | 9/25/19 | Federal Funds | Dongwon Systems | 51 |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | minus 7.13%— | | |
| | | | | Monthly | | |
| 15,530 | 15,345 | — | 9/25/19 | Federal Funds | Dsv A/S—Monthly | 186 |
| | | | | Effective Rate US | | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 103,513 | 101,748 | — | 9/25/19 | Federal Funds | Dufry Ag-Reg— | 1,769 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 66,928 | 65,447 | — | 9/25/19 | Federal Funds | Ebay Inc—Monthly | 1,483 |
| | | | | Effective Rate US | | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 85,134 | 84,140 | — | 9/25/19 | Federal Funds | Ecolab Inc—Monthly | 997 |
| | | | | Effective Rate US | | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 87,119 | 87,177 | — | 9/25/19 | Federal Funds | Edf—Monthly | (55) |
| | | | | Effective Rate US | | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 6,398 | 6,146 | — | 9/25/19 | Federal Funds | El Puerto De | 253 |
| | | | | Effective Rate US | Liverpool Sab De | |
| | | | | minus 0.50%— | Cv—Monthly | |
| | | | | Monthly | | |
| 42,429 | 42,180 | — | 9/27/19 | Federal Funds | Elbit Systems Ltd— | 249 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 2.75%— | | |
| | | | | Monthly | | |
| 17,239 | 16,559 | — | 9/25/19 | Federal Funds | Eli Lilly & Co— | 680 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 6,698 | 6,560 | — | 9/25/19 | Federal Funds | Emera Inc—Monthly | 138 |
| | | | | Effective Rate US | | |
| | | | | minus 0.25%— | | |
| | | | | Monthly | | |
|
| 86 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $67,648 | $65,375 | $— | 9/25/19 | Federal Funds | Emerson Electric | $2,274 |
| | | | | Effective Rate US | Co—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 7,268 | 7,401 | — | 9/25/19 | Federal Funds | Emlak Konut | (133) |
| | | | | Effective Rate US | Gayrimenkul Yati— | |
| | | | | minus 0.75%— | Monthly | |
| | | | | Monthly | | |
| 15,588 | 14,784 | — | 9/25/19 | Federal Funds | Empresa Nacional | 801 |
| | | | | Effective Rate US | De Telecom— | |
| | | | | minus 7.50%— | Monthly | |
| | | | | Monthly | | |
| 5,411 | 5,336 | — | 9/25/19 | Federal Funds | Enka Insaat Ve | 74 |
| | | | | Effective Rate US | Sanayi As—Monthly | |
| | | | | minus 2.00%— | | |
| | | | | Monthly | | |
| 80,366 | 74,442 | — | 9/25/19 | Federal Funds | Eog Resources Inc— | 5,926 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 55,791 | 54,326 | — | 9/25/19 | Federal Funds | Essilor | 1,468 |
| | | | | Effective Rate US | International— | |
| | | | | minus 0.30%— | Monthly | |
| | | | | Monthly | | |
| 19,731 | 19,519 | — | 9/25/19 | Federal Funds | Eurazeo Sa— | 212 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 60,090 | 58,239 | — | 9/25/19 | Federal Funds | Eurofins Scientific— | 1,852 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 21,935 | 20,669 | — | 9/25/19 | Federal Funds | Extraction Oil & Gas | 1,267 |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 1,797 | 1,637 | — | 9/26/19 | Federal Funds | Ezdan Holding | 160 |
| | | | | Effective Rate US | Group—Monthly | |
| | | | | minus 3.50%— | | |
| | | | | Monthly | | |
| 71,211 | 70,097 | — | 9/25/19 | Federal Funds | Factset Research | 923 |
| | | | | Effective Rate US | Systems Inc— | |
| | | | | minus 0.40%— | Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 87 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $73,318 | $70,481 | $— | 9/25/19 | Federal Funds | Fairfax Financial | $2,840 |
| | | | | Effective Rate US | Hldgs Ltd—Monthly | |
| | | | | minus 0.25%— | | |
| | | | | Monthly | | |
| 43,475 | 41,460 | — | 9/25/19 | Federal Funds | Fairfax Financial | 2,017 |
| | | | | Effective Rate US | Holdings Ltd— | |
| | | | | minus 0.40%— | Monthly | |
| | | | | Monthly | | |
| 5,760 | 5,758 | — | 9/25/19 | Federal Funds | Far East Horizon | 2 |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 130,508 | 127,388 | — | 9/25/19 | Federal Funds | Fastenal Co— | 3,124 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 16,657 | 16,700 | — | 9/25/19 | Federal Funds | Fastighets Ab | (43) |
| | | | | Effective Rate US | Balder—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 70,698 | 73,189 | — | 9/25/19 | Federal Funds | Ferroglobe Plc— | (2,488) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 15,552 | 15,454 | — | 9/25/19 | Federal Funds | Fibria Celulose Sa— | 99 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 34,801 | 34,325 | — | 9/25/19 | Federal Funds | Fireeye Inc— | 477 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 8,442 | 8,591 | — | 9/27/19 | Federal Funds | First Abu Dhabi | (150) |
| | | | | Effective Rate US | Bank Pjsc—Monthly | |
| | | | | minus 3.50%— | | |
| | | | | Monthly | | |
| 53,241 | 52,537 | — | 9/25/19 | Federal Funds | First Capital Realty | 705 |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | minus 0.25%— | | |
| | | | | Monthly | | |
| 13,769 | 13,545 | — | 9/25/19 | Federal Funds | First Horizon | 224 |
| | | | | Effective Rate US | National Corp— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 110,747 | 107,116 | — | 9/25/19 | Federal Funds | First Quantum | 3,635 |
| | | | | Effective Rate US | Minerals Ltd— | |
| | | | | minus 0.25%— | Monthly | |
| | | | | Monthly | | |
| |
| 88 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $20,376 | $19,672 | $— | 9/25/19 | Federal Funds | First Solar Inc— | $705 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 38,372 | 38,057 | — | 9/25/19 | Federal Funds | Fletcher Building | 315 |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 6,830 | 6,678 | — | 9/25/19 | Federal Funds | Flowers Foods Inc— | 152 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 50,535 | 47,644 | — | 9/25/19 | Federal Funds | Flowserve Corp— | 2,892 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 5,604 | 5,402 | — | 9/27/19 | Federal Funds | Fortress Reit Ltd-A— | 202 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.90%— | | |
| | | | | Monthly | | |
| 85,884 | 84,360 | — | 9/25/19 | Federal Funds | Fortum Oyj— | 1,526 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 10,841 | 10,878 | — | 9/25/19 | Federal Funds | Foxconn | (38) |
| | | | | Effective Rate US | Technology Co | |
| | | | | minus 0.40%— | Ltd—Monthly | |
| | | | | Monthly | | |
| 10,987 | 12,651 | — | 9/25/19 | Federal Funds | Fullshare Holdings | (1,667) |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 11.88%— | | |
| | | | | Monthly | | |
| 15,883 | 15,575 | — | 9/27/19 | Federal Funds | Gamuda Bhd— | 307 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 3.00%— | | |
| | | | | Monthly | | |
| 112,298 | 107,966 | — | 9/25/19 | Federal Funds | Gartner Inc— | 4,334 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 6,016 | 5,950 | — | 9/25/19 | Federal Funds | Gazprom Pao -Spon | 67 |
| | | | | Effective Rate US | Adr—Monthly | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| 69,046 | 63,622 | — | 9/25/19 | Federal Funds | Gecina Sa—Monthly | 5,425 |
| | | | | Effective Rate US | | |
| | | | | minus 0.63%— | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 89 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $34,896 | $33,610 | $— | 9/25/19 | Federal Funds | General Electric | $1,288 |
| | | | | Effective Rate US | Co—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 45,912 | 45,755 | — | 9/25/19 | Federal Funds | Genmab A/S— | 159 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 12,262 | 12,243 | — | 9/27/19 | Federal Funds | Genting Malaysia | 18 |
| | | | | Effective Rate US | Bhd—Monthly | |
| | | | | minus 3.00%— | | |
| | | | | Monthly | | |
| 4,976 | 5,157 | — | 9/27/19 | Federal Funds | Genting Plantations | (181) |
| | | | | Effective Rate US | Bhd—Monthly | |
| | | | | minus 7.50%— | | |
| | | | | Monthly | | |
| 64,512 | 62,451 | — | 9/25/19 | Federal Funds | Genuine Parts Co— | 2,063 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 16,673 | 16,551 | — | 9/25/19 | Federal Funds | Getinge Ab— | 123 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 108,350 | 107,274 | — | 9/25/19 | Federal Funds | Givaudan-Reg— | 1,080 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 14,484 | 14,591 | — | 9/25/19 | Federal Funds | Globalwafers Co | (113) |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 8.50%— | | |
| | | | | Monthly | | |
| 53,719 | 53,510 | — | 9/25/19 | Federal Funds | Goodman Group— | 211 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.45%— | | |
| | | | | Monthly | | |
| 11,676 | 11,299 | — | 9/27/19 | Federal Funds | Growthpoint | 377 |
| | | | | Effective Rate US | Properties Ltd— | |
| | | | | minus 0.90%— | Monthly | |
| | | | | Monthly | | |
| 4,509 | 4,272 | — | 9/25/19 | Federal Funds | Grupo Carso Sab De | 236 |
| | | | | Effective Rate US | Cv—Monthly | |
| | | | | minus 0.75%— | | |
| | | | | Monthly | | |
| 6,157 | 5,628 | — | 9/25/19 | Federal Funds | Grupo Elektra Sab | 528 |
| | | | | Effective Rate US | De Cv—Monthly | |
| | | | | minus 3.25%— | | |
| | | | | Monthly | | |
| |
| 90 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $8,691 | $8,114 | $— | 9/25/19 | Federal Funds | Grupo Televisa | $577 |
| | | | | Effective Rate US | Sa-Spon Adr— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 46,874 | 46,430 | — | 9/25/19 | Federal Funds | Hang Seng Bank | 445 |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| 10,556 | 10,078 | — | 9/25/19 | Federal Funds | Hanssem Co Ltd— | 478 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.88%— | | |
| | | | | Monthly | | |
| 6,520 | 6,703 | — | 9/25/19 | Federal Funds | Hanwha Techwin Co | (182) |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| 33,545 | 32,828 | — | 9/25/19 | Federal Funds | Hawaiian Electric | 718 |
| | | | | Effective Rate US | Inds—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 125,825 | 124,857 | — | 9/25/19 | Federal Funds | Hca Healthcare | 534 |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 40,804 | 39,089 | — | 9/25/19 | Federal Funds | Healthcare Trust Of | 1,716 |
| | | | | Effective Rate US | Ame-Cl A—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 107,025 | 104,942 | — | 9/25/19 | Federal Funds | Healthscope Ltd— | 2,084 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| 80,940 | 84,680 | — | 9/25/19 | Federal Funds | Heico Corp— | (3,736) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 49,752 | 51,566 | — | 9/25/19 | Federal Funds | Heico Corp- | (1,812) |
| | | | | Effective Rate US | Class A—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 85,704 | 82,043 | — | 9/25/19 | Federal Funds | Helmerich & | 3,663 |
| | | | | Effective Rate US | Payne—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 9,779 | 9,776 | — | 9/25/19 | Federal Funds | Hengan | 3 |
| | | | | Effective Rate US | International Group | |
| | | | | minus 0.40%— | Co Ltd—Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 91 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $2,487 | $2,411 | $— | 9/25/19 | Federal Funds | Henkel Ag & Co | $75 |
| | | | | Effective Rate US | Kgaa—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 8,501 | 8,265 | — | 9/25/19 | Federal Funds | Henkel Ag & Co Kgaa | 236 |
| | | | | Effective Rate US | Vorzug—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 37,853 | 37,154 | — | 9/25/19 | Federal Funds | Hess Corp—Monthly | 699 |
| | | | | Effective Rate US | | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 93,937 | 94,140 | — | 9/25/19 | Federal Funds | Hewlett Packard | (200) |
| | | | | Effective Rate US | Enterprise— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 7,637 | 7,561 | — | 9/25/19 | Federal Funds | Highwealth | 76 |
| | | | | Effective Rate US | Construction | |
| | | | | minus 2.50%— | Corp—Monthly | |
| | | | | Monthly | | |
| 26,073 | 25,968 | — | 9/26/19 | Federal Funds | Hikari Tsushin Inc— | 105 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 19,850 | 20,194 | — | 9/27/19 | Federal Funds | Hm Sampoerna Tbk | (346) |
| | | | | Effective Rate US | Pt—Monthly | |
| | | | | minus 4.75%— | | |
| | | | | Monthly | | |
| 26,495 | 25,184 | — | 9/25/19 | Federal Funds | Hollyfrontier Corp— | 1,118 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 12,802 | 12,724 | — | 9/25/19 | Federal Funds | Hormel Foods | 77 |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 8,958 | 8,838 | — | 9/25/19 | Federal Funds | Hotel Shilla Co Ltd— | 120 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 2.88%— | | |
| | | | | Monthly | | |
| 123,613 | 129,344 | — | 9/25/19 | Federal Funds | Howard Hughes | (5,728) |
| | | | | Effective Rate US | Corp/The—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 136,655 | 136,247 | — | 9/25/19 | Federal Funds | Hp Inc—Monthly | 413 |
| | | | | Effective Rate US | | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| |
| 92 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $8,472 | $8,357 | $— | 9/25/19 | Federal Funds | Htc Corp—Monthly | $111 |
| | | | | Effective Rate US | | |
| | | | | minus 8.13%— | | |
| | | | | Monthly | | |
| 9,843 | 9,986 | — | 9/25/19 | Federal Funds | Hua Nan Financial | (142) |
| | | | | Effective Rate US | Holdings C— | |
| | | | | minus 0.50%— | Monthly | |
| | | | | Monthly | | |
| 8,411 | 8,695 | — | 9/25/19 | Federal Funds | Huaneng Power | (283) |
| | | | | Effective Rate US | International Inc— | |
| | | | | minus 0.40%— | Monthly | |
| | | | | Monthly | | |
| 7,284 | 7,366 | — | 9/25/19 | Federal Funds | Huaneng | (82) |
| | | | | Effective Rate US | Renewables | |
| | | | | minus 0.50%— | Corp-H—Monthly | |
| | | | | Monthly | | |
| 2,026 | 2,016 | — | 9/25/19 | Federal Funds | Jb Hunt Transport | 11 |
| | | | | Effective Rate US | Services Inc— | |
| | | | | minus 0.40%— | Monthly | |
| | | | | Monthly | | |
| 67,903 | 66,505 | — | 9/25/19 | Federal Funds | Huntington | 1,400 |
| | | | | Effective Rate US | Bancshares Inc/ | |
| | | | | minus 0.40%— | Oh—Monthly | |
| | | | | Monthly | | |
| 3,736 | 3,750 | — | 9/25/19 | Federal Funds | Hyundai Heavy | (15) |
| | | | | Effective Rate US | Industries—Monthly | |
| | | | | minus 1.50%— | | |
| | | | | Monthly | | |
| 6,119 | 6,170 | — | 9/25/19 | Federal Funds | Hyundai Wia Corp— | (51) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 1.50%— | | |
| | | | | Monthly | | |
| 29,343 | 28,700 | — | 9/25/19 | Federal Funds | Ica Gruppen Ab— | 643 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.88%— | | |
| | | | | Monthly | | |
| 9,279 | 9,053 | — | 9/27/19 | Federal Funds | Ihh Healthcare | 226 |
| | | | | Effective Rate US | Bhd—Monthly | |
| | | | | minus 3.00%— | | |
| | | | | Monthly | | |
| 44,997 | 45,501 | — | 9/26/19 | Federal Funds | Iida Group Holdings | (503) |
| | | | | Effective Rate US | Co Ltd—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 42,779 | 41,408 | — | 9/25/19 | Federal Funds | Iliad Sa—Monthly | 1,372 |
| | | | | Effective Rate US | | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 93 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $7,699 | $7,896 | $— | 9/27/19 | Federal Funds | Indocement | $(199) |
| | | | | Effective Rate US | Tunggal Prakarsa | |
| | | | | minus 4.00%— | Tbk Pt—Monthly | |
| | | | | Monthly | | |
| 11,946 | 12,869 | — | 9/26/19 | Federal Funds | Indorama Ventures | (924) |
| | | | | Effective Rate US | Pcl—Monthly | |
| | | | | minus 1.50%— | | |
| | | | | Monthly | | |
| 20,568 | 19,950 | — | 9/25/19 | Federal Funds | Industrial Alliance | 618 |
| | | | | Effective Rate US | Insurance—Monthly | |
| | | | | minus 0.25%— | | |
| | | | | Monthly | | |
| 4,837 | 4,677 | — | 9/25/19 | Federal Funds | Industrias Penoles | 160 |
| | | | | Effective Rate US | Sab De Cv—Monthly | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| 3,044 | 2,894 | — | 9/26/19 | Federal Funds | Industries Qatar | 150 |
| | | | | Effective Rate US | Qsc—Monthly | |
| | | | | minus 3.50%— | | |
| | | | | Monthly | | |
| 59,266 | 58,214 | — | 9/25/19 | Federal Funds | Industrivarden Ab-A | 1,054 |
| | | | | Effective Rate US | Shs—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 14,752 | 14,462 | — | 9/25/19 | Federal Funds | Industrivarden Ab-C | 291 |
| | | | | Effective Rate US | Shs—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 19,400 | 18,974 | — | 9/25/19 | Federal Funds | Indutrade Ab— | 426 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 14,389 | 13,680 | — | 9/25/19 | Federal Funds | Infraestructura | 709 |
| | | | | Effective Rate US | Energetica N— | |
| | | | | minus 0.88%— | Monthly | |
| | | | | Monthly | | |
| 66,431 | 67,911 | — | 9/25/19 | Federal Funds | Insurance Australia | (1,479) |
| | | | | Effective Rate US | Group—Monthly | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| 118,300 | 117,286 | — | 9/25/19 | Federal Funds | Interactive Brokers | 849 |
| | | | | Effective Rate US | Gro-Cl A—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 32,720 | 31,537 | — | 9/25/19 | Federal Funds | Intercept | 1,183 |
| | | | | Effective Rate US | Pharmaceuticals | |
| | | | | minus 0.23%— | Inc—Monthly | |
| | | | | Monthly | | |
| |
| 94 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $112,750 | $110,795 | $— | 9/25/19 | Federal Funds | Intl Business | $1,960 |
| | | | | Effective Rate US | Machines Corp— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 1,772 | 1,712 | — | 9/25/19 | Federal Funds | Investment Ab | 60 |
| | | | | Effective Rate US | Latour-B Shs— | |
| | | | | minus 0.75%— | Monthly | |
| | | | | Monthly | | |
| 73,430 | 71,523 | — | 9/25/19 | Federal Funds | Investors Bancorp | 1,910 |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 20,323 | 20,380 | — | 9/25/19 | Federal Funds | Invitation Homes | (57) |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 7,946 | 7,783 | — | 9/27/19 | Federal Funds | Ioi Corp Bhd— | 163 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 3.13%— | | |
| | | | | Monthly | | |
| 30,491 | 29,991 | — | 9/25/19 | Federal Funds | Iqvia Holdings Inc— | 501 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 103,358 | 101,773 | — | 9/25/19 | Federal Funds | Iron Mountain Inc— | 1,589 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 306,503 | 303,941 | — | 9/25/19 | Federal Funds | Ishares Euro Stoxx50 | 2,570 |
| | | | | Effective Rate US | Ucits D—Monthly | |
| | | | | minus 0.63%— | | |
| | | | | Monthly | | |
| 67,642 | 65,336 | — | 9/25/19 | Federal Funds | Jack Henry & | 2,102 |
| | | | | Effective Rate US | Associates Inc— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 58,909 | 57,994 | — | 9/25/19 | Federal Funds | James Hardies | 916 |
| | | | | Effective Rate US | Industries Nv— | |
| | | | | minus 0.45%— | Monthly | |
| | | | | Monthly | | |
| 25,774 | 25,397 | — | 9/26/19 | Federal Funds | Japan Post | 378 |
| | | | | Effective Rate US | Insurance Co Ltd— | |
| | | | | minus 0.40%— | Monthly | |
| | | | | Monthly | | |
| 41,925 | 41,385 | — | 9/26/19 | Federal Funds | Japan Prime Realty | 540 |
| | | | | Effective Rate US | Investment Corp— | |
| | | | | minus 0.40%— | Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 95 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $9,404 | $8,771 | $— | 9/25/19 | Federal Funds | Jastrzebska Spolka | $632 |
| | | | | Effective Rate US | Weglowa S— | |
| | | | | minus 2.75%— | Monthly | |
| | | | | Monthly | | |
| 7,466 | 7,214 | — | 9/25/19 | Federal Funds | Jd.Com Inc— | 253 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 34,018 | 34,595 | — | 9/26/19 | Federal Funds | Jgc Corp—Monthly | (576) |
| | | | | Effective Rate US | | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 12,354 | 12,452 | — | 9/25/19 | Federal Funds | Jiangsu Expressway | (98) |
| | | | | Effective Rate US | Co Ltd—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 60,279 | 57,370 | — | 9/25/19 | Federal Funds | Johnson Controls | 2,912 |
| | | | | Effective Rate US | Internation— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 109,956 | 111,880 | — | 9/25/19 | Federal Funds | K+S Ag-Reg— | (1,926) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 1.63%— | | |
| | | | | Monthly | | |
| 15,616 | 15,359 | — | 9/26/19 | Federal Funds | Kakaku. Com Inc— | 258 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 1,059 | 1,053 | — | 9/27/19 | Federal Funds | Kalbe Farma Tbk | 7 |
| | | | | Effective Rate US | Pt—Monthly | |
| | | | | minus 4.00%— | | |
| | | | | Monthly | | |
| 7,513 | 7,433 | — | 9/25/19 | Federal Funds | Kangwon Land Inc— | 80 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| 25,174 | 25,303 | — | 9/26/19 | Federal Funds | Kansai Paint Co | (130) |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 7,290 | 7,340 | — | 9/26/19 | Federal Funds | Kce Electronics | (50) |
| | | | | Effective Rate US | Pcl-Foreign— | |
| | | | | minus 4.25%— | Monthly | |
| | | | | Monthly | | |
| 6,368 | 6,288 | — | 9/26/19 | Federal Funds | Keihan Holdings Co | 80 |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| |
| 96 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $28,658 | $28,298 | $— | 9/26/19 | Federal Funds | Keihan Holdings Co | $361 |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 39,597 | 39,545 | — | 9/26/19 | Federal Funds | Keikyu Corp— | 54 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 45,958 | 45,921 | — | 9/26/19 | Federal Funds | Keisei Electric | 39 |
| | | | | Effective Rate US | Railway Co— | |
| | | | | minus 0.40%— | Monthly | |
| | | | | Monthly | | |
| 40,695 | 40,688 | — | 9/25/19 | Federal Funds | Kingfisher Plc— | 8 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 53,562 | 51,994 | — | 9/25/19 | Federal Funds | Kingspan Groupord | 1,569 |
| | | | | Effective Rate US | Eur0.13(Dublin | |
| | | | | minus 0.30%— | Listing) —Monthly | |
| | | | | Monthly | | |
| 40,415 | 38,685 | — | 9/25/19 | Federal Funds | Kingston Financial | 1,722 |
| | | | | Effective Rate US | Group Ltd—Monthly | |
| | | | | minus 8.38%— | | |
| | | | | Monthly | | |
| 19,368 | 19,306 | — | 9/26/19 | Federal Funds | Kintetsu Group | 63 |
| | | | | Effective Rate US | Holdings Co Ltd— | |
| | | | | minus 0.30%— | Monthly | |
| | | | | Monthly | | |
| 8,863 | 8,682 | — | 9/25/19 | Federal Funds | Kion Group Ag— | 181 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 121,039 | 118,125 | — | 9/25/19 | Federal Funds | Kirby Corp— | 2,917 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 56,015 | 54,999 | — | 9/25/19 | Federal Funds | Knight-Swift | 949 |
| | | | | Effective Rate US | Transportation— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 7,445 | 7,411 | — | 9/25/19 | Federal Funds | Kongsberg Gruppen | 34 |
| | | | | Effective Rate US | Asa—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 9,958 | 9,708 | — | 9/25/19 | Federal Funds | Korea Aerospace | 250 |
| | | | | Effective Rate US | Industries—Monthly | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 97 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $6,997 | $6,847 | $— | 9/25/19 | Federal Funds | Korea Electric Power | $151 |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| 11,677 | 11,164 | — | 9/25/19 | Federal Funds | Korea Investment | 514 |
| | | | | Effective Rate US | Holdings Co— | |
| | | | | minus 0.50%— | Monthly | |
| | | | | Monthly | | |
| 14,580 | 14,722 | — | 9/26/19 | Federal Funds | Kose Corp—Monthly | (142) |
| | | | | Effective Rate US | | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 85,013 | 81,734 | — | 9/25/19 | Federal Funds | Kraft Heinz Co/ | 3,281 |
| | | | | Effective Rate US | The—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 13,046 | 13,168 | — | 9/25/19 | Federal Funds | Kunlun Energy Co | (121) |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 33,990 | 33,766 | — | 9/26/19 | Federal Funds | Kyushu Electric | 224 |
| | | | | Effective Rate US | Power Co Inc— | |
| | | | | minus 0.40%— | Monthly | |
| | | | | Monthly | | |
| 22,585 | 22,492 | — | 9/26/19 | Federal Funds | Kyushu Financial | 94 |
| | | | | Effective Rate US | Group Inc—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 43,644 | 43,591 | — | 9/25/19 | Federal Funds | Lanxess Ag— | 55 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 12,941 | 12,864 | — | 9/25/19 | Federal Funds | Leggett & Platt Inc— | 77 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 53,120 | 50,648 | — | 9/25/19 | Federal Funds | Leidos Holdings | 2,472 |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 11,860 | 11,425 | — | 9/25/19 | Federal Funds | Lendingclub Corp— | 436 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 5,152 | 5,227 | — | 9/25/19 | Federal Funds | Lenovo Group Ltd— | (75) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| |
| 98 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $33,058 | $31,719 | $— | 9/25/19 | Federal Funds | Liberty Broadband | $1,340 |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 64,690 | 62,219 | — | 9/25/19 | Federal Funds | Liberty Broadband | 2,473 |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 7,431 | 7,108 | — | 9/27/19 | Federal Funds | Life Healthcare | 323 |
| | | | | Effective Rate US | Group Holdings | |
| | | | | minus 0.90%— | Ltd—Monthly | |
| | | | | Monthly | | |
| 93,826 | 96,441 | — | 9/25/19 | Federal Funds | Lifepoint Health | (2,613) |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 104,377 | 101,382 | — | 9/25/19 | Federal Funds | Lincoln National | 2,998 |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 20,540 | 20,360 | — | 9/26/19 | Federal Funds | Line Corp—Monthly | 177 |
| | | | | Effective Rate US | | |
| | | | | minus 7.75%— | | |
| | | | | Monthly | | |
| 15,427 | 15,107 | — | 9/26/19 | Federal Funds | Lion Corp—Monthly | 320 |
| | | | | Effective Rate US | | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 628 | 637 | — | 9/27/19 | Federal Funds | Lippo Karawaci Tbk | (9) |
| | | | | Effective Rate US | Pt—Monthly | |
| | | | | minus 6.38%— | | |
| | | | | Monthly | | |
| 3,013 | 2,778 | — | 9/25/19 | Federal Funds | Live Nation | 235 |
| | | | | Effective Rate US | Entertainment Inc— | |
| | | | | minus 0.40%— | Monthly | |
| | | | | Monthly | | |
| 10,477 | 10,392 | — | 9/26/19 | Federal Funds | Lojas Americanas | 85 |
| | | | | Effective Rate US | Sa-Pref—Monthly | |
| | | | | minus 1.00%— | | |
| | | | | Monthly | | |
| 11,287 | 11,480 | — | 9/25/19 | Federal Funds | Lotte Chilsung | (194) |
| | | | | Effective Rate US | Beverage Co Ltd— | |
| | | | | minus 2.75%— | Monthly | |
| | | | | Monthly | | |
| 1,913 | 1,928 | — | 9/25/19 | Federal Funds | Lotte Confectionery | (15) |
| | | | | Effective Rate US | Co/New—Monthly | |
| | | | | minus 8.20%— | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 99 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $15,805 | $15,498 | $— | 9/25/19 | Federal Funds | Lotte Corp— | $304 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 8.13%— | | |
| | | | | Monthly | | |
| 12,814 | 12,204 | — | 9/25/19 | Federal Funds | Lotte Shopping Co | 610 |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 1.50%— | | |
| | | | | Monthly | | |
| 8,394 | 7,892 | — | 9/25/19 | Federal Funds | Lpp Sa—Monthly | 501 |
| | | | | Effective Rate US | | |
| | | | | minus 3.00%— | | |
| | | | | Monthly | | |
| 11,507 | 11,541 | — | 9/25/19 | Federal Funds | Lukoil Pjsc-Spon | (34) |
| | | | | Effective Rate US | Adr—Monthly | |
| | | | | minus 0.88%— | | |
| | | | | Monthly | | |
| 12,456 | 12,002 | — | 9/25/19 | Federal Funds | L E | 455 |
| | | | | Effective Rate US | Lundbergforetagen | |
| | | | | minus 0.30%— | Ab—Monthly | |
| | | | | Monthly | | |
| 11,874 | 11,752 | — | 9/26/19 | Federal Funds | M3 Inc—Monthly | 122 |
| | | | | Effective Rate US | | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 23,889 | 23,026 | — | 9/25/19 | Federal Funds | Macom Technology | 864 |
| | | | | Effective Rate US | Solutions H— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 4,242 | 4,210 | — | 9/25/19 | Federal Funds | Manhattan | 33 |
| | | | | Effective Rate US | Associates Inc— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 39,865 | 40,561 | — | 9/26/19 | Federal Funds | Marui Group Co | (695) |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 15,687 | 15,791 | — | 9/26/19 | Federal Funds | Maruichi Steel Tube | (104) |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 51,753 | 51,819 | — | 9/25/19 | Federal Funds | Marvell Technology | (65) |
| | | | | Effective Rate US | Group Inc—Monthly | |
| | | | | minus 0.35%— | | |
| | | | | Monthly | | |
| 2,575 | 2,334 | — | 9/26/19 | Federal Funds | Masraf Al Rayan | 117 |
| | | | | Effective Rate US | Qsc—Monthly | |
| | | | | minus 3.50%— | | |
| | | | | Monthly | | |
|
| 100 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $11,428 | $11,416 | $— | 9/25/19 | Federal Funds | Mattel Inc—Monthly | $12 |
| | | | | Effective Rate US | | |
| | | | | minus 1.12%— | | |
| | | | | Monthly | | |
| 12,730 | 12,523 | — | 9/27/19 | Federal Funds | Maxis Bhd—Monthly | 100 |
| | | | | Effective Rate US | | |
| | | | | minus 4.13%— | | |
| | | | | Monthly | | |
| 32,039 | 31,257 | — | 9/25/19 | Federal Funds | Mbia Inc—Monthly | 783 |
| | | | | Effective Rate US | | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 27,153 | 26,850 | — | 9/26/19 | Federal Funds | Mcdonald’s | 304 |
| | | | | Effective Rate US | Holdings Co | |
| | | | | minus 0.40%— | Japan—Monthly | |
| | | | | Monthly | | |
| 5,408 | 5,223 | — | 9/25/19 | Federal Funds | Mckesson Corp— | 174 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 1,893 | 1,876 | — | 9/27/19 | Federal Funds | Media Nusantara | 17 |
| | | | | Effective Rate US | Citra Tbk Pt— | |
| | | | | minus 5.00%— | Monthly | |
| | | | | Monthly | | |
| 83,704 | 81,639 | — | 9/25/19 | Federal Funds | Medical Properties | 2,067 |
| | | | | Effective Rate US | Trust Inc—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 55,023 | 54,596 | — | 9/25/19 | Federal Funds | Melrose Industries | 429 |
| | | | | Effective Rate US | Plc—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 2,074 | 2,073 | — | 9/25/19 | Federal Funds | Merida Industry Co | — |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 5.50%— | | |
| | | | | Monthly | | |
| 14,984 | 14,583 | — | 9/25/19 | Federal Funds | Merlin | 401 |
| | | | | Effective Rate US | Entertainments | |
| | | | | minus 0.30%— | Plc—Monthly | |
| | | | | Monthly | | |
| 5,807 | 5,857 | — | 9/25/19 | Federal Funds | Micro-Star | (50) |
| | | | | Effective Rate US | International Co— | |
| | | | | minus 1.63%— | Monthly | |
| | | | | Monthly | | |
| 23,698 | 23,171 | — | 9/25/19 | Federal Funds | Mid-America | 527 |
| | | | | Effective Rate US | Apartment Comm— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 101 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $103,414 | $94,877 | $— | 9/25/19 | Federal Funds | Middleby Corp— | $8,541 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 20,336 | 19,955 | — | 9/26/19 | Federal Funds | Minor International | 382 |
| | | | | Effective Rate US | Pcl-For—Monthly | |
| | | | | minus 1.50%— | | |
| | | | | Monthly | | |
| 20,027 | 19,367 | — | 9/25/19 | Federal Funds | Mirae Asset Daewoo | 4,622 |
| | | | | Effective Rate US | Co Ltd—Monthly | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| 23,185 | 23,242 | — | 9/26/19 | Federal Funds | Misumi Group Inc— | (56) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 85,631 | 88,828 | — | 9/27/19 | Federal Funds | Mizrahi Tefahot | (3,193) |
| | | | | Effective Rate | Bank Ltd—Monthly | |
| | | | | US plus 0.10%— | | |
| | | | | Monthly | | |
| 61,787 | 61,216 | — | 9/25/19 | Federal Funds | Modern Times | 573 |
| | | | | Effective Rate US | Group-B Shs— | |
| | | | | minus 0.30%— | Monthly | |
| | | | | Monthly | | |
| 15,675 | 15,592 | — | 9/25/19 | Federal Funds | Mohawk Industries | 83 |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 7,175 | 7,137 | — | 9/25/19 | Federal Funds | Moneta Money Bank | 38 |
| | | | | Effective Rate US | As—Monthly | |
| | | | | minus 1.13%— | | |
| | | | | Monthly | | |
| 149,606 | 146,688 | — | 9/25/19 | Federal Funds | Moody’S Corp— | 2,923 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 53,054 | 49,534 | — | 9/25/19 | Federal Funds | Mosaic Co/The— | 3,474 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 66,792 | 66,291 | — | 9/25/19 | Federal Funds | Mtr Corp—Monthly | 502 |
| | | | | Effective Rate US | | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
|
| 102 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $63,130 | $62,430 | $— | 9/25/19 | Federal Funds | Mtu Aero Engines | $702 |
| | | | | Effective Rate US | Ag—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 22,455 | 20,995 | — | 9/25/19 | Federal Funds | Nabors Industries | 1,461 |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 10,268 | 10,245 | — | 9/26/19 | Federal Funds | Nagoya Railroad Co | 23 |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 33,372 | 33,296 | — | 9/26/19 | Federal Funds | Nagoya Railroad Co | 76 |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 5,418 | 5,535 | — | 9/25/19 | Federal Funds | Nanya Technology | (119) |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | minus 7.75%— | | |
| | | | | Monthly | | |
| 13,537 | 13,024 | — | 9/27/19 | Federal Funds | Naspers Ltd— | 513 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.90%— | | |
| | | | | Monthly | | |
| 114,497 | 113,709 | — | 9/25/19 | Federal Funds | National | 791 |
| | | | | Effective Rate US | Instruments Corp— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 11,377 | 11,088 | — | 9/25/19 | Federal Funds | National Oilwell | 289 |
| | | | | Effective Rate US | Varco Inc—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 9,990 | 9,640 | — | 9/25/19 | Federal Funds | Naver Corp— | 350 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| 11,551 | 12,035 | — | 9/27/19 | Federal Funds | Nestle Malaysia | (484) |
| | | | | Effective Rate US | Bhd—Monthly | |
| | | | | minus 3.00%— | | |
| | | | | Monthly | | |
| 12,615 | 12,277 | — | 9/27/19 | Federal Funds | Netcare Ltd— | 338 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.90%— | | |
| | | | | Monthly | | |
| 6,480 | 6,160 | — | 9/25/19 | Federal Funds | Netease Inc— | 320 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 103 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $9,813 | $9,126 | $— | 9/25/19 | Federal Funds | Netmarble Games | $687 |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | minus 2.50%— | | |
| | | | | Monthly | | |
| 82,789 | 83,501 | — | 9/25/19 | Federal Funds | Neurocrine | (709) |
| | | | | Effective Rate US | Biosciences Inc— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 129,134 | 125,004 | — | 9/25/19 | Federal Funds | New York | 4,133 |
| | | | | Effective Rate US | Community | |
| | | | | minus 0.23%— | Bancorp—Monthly | |
| | | | | Monthly | | |
| 65,792 | 64,358 | — | 9/25/19 | Federal Funds | Newmarket Corp— | 1,436 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 11,133 | 10,789 | — | 9/25/19 | Federal Funds | Nh Investment & | 344 |
| | | | | Effective Rate US | Securities C— | |
| | | | | minus 0.50%— | Monthly | |
| | | | | Monthly | | |
| 43,577 | 42,837 | — | 9/25/19 | Federal Funds | Nibe Industrier Ab— | 742 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 20,836 | 21,352 | — | 9/26/19 | Federal Funds | Nidec Corp— | (515) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 19,415 | 19,568 | — | 9/26/19 | Federal Funds | Nihon M&A Center | (153) |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 16,329 | 16,559 | — | 9/26/19 | Federal Funds | Nintendo Co Ltd— | (230) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 32,527 | 32,613 | — | 9/26/19 | Federal Funds | Nippon Building | (86) |
| | | | | Effective Rate US | Fund Inc—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 32,330 | 32,979 | — | 9/26/19 | Federal Funds | Nippon Paint | (648) |
| | | | | Effective Rate US | Holdings Co Ltd— | |
| | | | | minus 0.40%— | Monthly | |
| | | | | Monthly | | |
| 13,191 | 13,506 | — | 9/26/19 | Federal Funds | Nitori Holdings Co | (316) |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
|
| 104 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $21,663 | $21,283 | $— | 9/25/19 | Federal Funds | Nokian Renkaat | $381 |
| | | | | Effective Rate US | Oyj—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 13,731 | 13,514 | — | 9/25/19 | Federal Funds | Novatek Pjsc— | 218 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.88%— | | |
| | | | | Monthly | | |
| 15,203 | 15,435 | — | 9/26/19 | Federal Funds | Ntt Docomo Inc— | (232) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 2,366 | 2,333 | — | 9/25/19 | Federal Funds | O2 Czech Republic | 34 |
| | | | | Effective Rate US | As—Monthly | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| 18,469 | 18,404 | — | 9/26/19 | Federal Funds | Odakyu Electric | 66 |
| | | | | Effective Rate US | Railway Co— | |
| | | | | minus 0.40%— | Monthly | |
| | | | | Monthly | | |
| 30,634 | 29,742 | — | 9/25/19 | Federal Funds | Oge Energy Corp— | 894 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 3,095 | 3,007 | — | 9/25/19 | Federal Funds | Omega Healthcare | 89 |
| | | | | Effective Rate US | Investors Inc— | |
| | | | | minus 0.40%— | Monthly | |
| | | | | Monthly | | |
| 113,710 | 111,611 | — | 9/25/19 | Federal Funds | On Semiconductor | 2,104 |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 72,687 | 72,750 | — | 9/25/19 | Federal Funds | Onex Corporation— | (61) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.25%— | | |
| | | | | Monthly | | |
| 48,128 | 43,741 | — | 9/25/19 | Federal Funds | Opko Health Inc— | 4,388 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 218 | 220 | — | 9/25/19 | Federal Funds | Optotech Corp— | (2) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 5.25%— | | |
| | | | | Monthly | | |
| 46,253 | 45,755 | — | 9/25/19 | Federal Funds | Oracle Corp— | 498 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 105 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $18,952 | $18,869 | $— | 9/26/19 | Federal Funds | Oracle Corp | $84 |
| | | | | Effective Rate US | Japan—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 10,069 | 9,897 | — | 9/25/19 | Federal Funds | Orange Polska Sa— | 173 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.75%— | | |
| | | | | Monthly | | |
| 69,092 | 67,519 | — | 9/25/19 | Federal Funds | Orpea—Monthly | 1,575 |
| | | | | Effective Rate US | | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 81,442 | 81,049 | — | 9/25/19 | Federal Funds | Orsted A/S— | 394 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 11,651 | 11,543 | — | 9/25/19 | Federal Funds | Paddy Power Betfair | 108 |
| | | | | Effective Rate US | Plc—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 43,959 | 43,376 | — | 9/25/19 | Federal Funds | Paddy Power Betfair | 585 |
| | | | | Effective Rate US | Plc—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 12,319 | 11,910 | — | 9/25/19 | Federal Funds | Pan Ocean Co Ltd— | 408 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 3.13%— | | |
| | | | | Monthly | | |
| 24,687 | 24,193 | — | 9/25/19 | Federal Funds | Pandora Media Inc— | 494 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 5,173 | 5,050 | — | 9/25/19 | Federal Funds | Paramount Group | 123 |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 6,396 | 6,264 | — | 9/25/19 | Federal Funds | Park Hotels & | 133 |
| | | | | Effective Rate US | Resorts Inc— | |
| | | | | minus 0.40%— | Monthly | |
| | | | | Monthly | | |
| 31,141 | 31,359 | — | 9/26/19 | Federal Funds | Park24 Co Ltd— | (218) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 79,809 | 76,978 | — | 9/25/19 | Federal Funds | Parsley Energy Inc- | 2,834 |
| | | | | Effective Rate US | Class A—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
|
| 106 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $52,391 | $47,813 | $— | 9/25/19 | Federal Funds | Patterson-Uti | $4,579 |
| | | | | Effective Rate US | Energy Inc—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 64,959 | 63,306 | — | 9/25/19 | Federal Funds | Paychex Inc— | 1,654 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 45,421 | 42,741 | — | 9/25/19 | Federal Funds | Pennon Group Plc— | 2,681 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 120,869 | 115,233 | — | 9/25/19 | Federal Funds | Penske Automotive | 5,639 |
| | | | | Effective Rate US | Group Inc—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 10,347 | 10,313 | — | 9/26/19 | Federal Funds | Persol Holdings Co | 35 |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 13,674 | 13,872 | — | 9/26/19 | Federal Funds | Petrobras — | (197) |
| | | | | Effective Rate US | Petroleo Bras-Pr— | |
| | | | | minus 1.00%— | Monthly | |
| | | | | Monthly | | |
| 18,512 | 18,374 | — | 9/25/19 | Federal Funds | Petrochina Co | 139 |
| | | | | Effective Rate US | Ltd-H—Monthly | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| 8,473 | 8,563 | — | 9/27/19 | Federal Funds | Petronas Dagangan | (90) |
| | | | | Effective Rate US | Bhd—Monthly | |
| | | | | minus 3.00%— | | |
| | | | | Monthly | | |
| 4,963 | 4,948 | — | 9/27/19 | Federal Funds | Petronas Gas Bhd— | 15 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 4.13%— | | |
| | | | | Monthly | | |
| 93,578 | 91,610 | — | 9/25/19 | Federal Funds | Pfizer Inc—Monthly | 1,971 |
| | | | | Effective Rate US | | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 108,896 | 106,365 | — | 9/25/19 | Federal Funds | Phillips 66—Monthly | 2,534 |
| | | | | Effective Rate US | | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 10,961 | 10,664 | — | 9/25/19 | Federal Funds | Ping An Insurance | 298 |
| | | | | Effective Rate US | Group Co Of China | |
| | | | | minus 0.40%— | Ltd—Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 107 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $108,533 | $105,668 | $— | 9/25/19 | Federal Funds | Pinnacle Financial | $2,868 |
| | | | | Effective Rate US | Partners Inc— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 110,330 | 104,521 | — | 9/25/19 | Federal Funds | Pioneer Natural | 5,813 |
| | | | | Effective Rate US | Resources Co— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 34,433 | 34,028 | — | 9/25/19 | Federal Funds | Popular Inc— | 405 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 101,115 | 101,163 | — | 9/25/19 | Federal Funds | Porsche Automobil | (44) |
| | | | | Effective Rate US | Hldg-Prf—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 18,571 | 17,947 | — | 9/27/19 | Federal Funds | Psg Group Ltd— | 624 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.90%— | | |
| | | | | Monthly | | |
| 12,115 | 12,111 | — | 9/26/19 | Federal Funds | Ptt Exploration & | 4 |
| | | | | Effective Rate US | Production Pcl— | |
| | | | | minus 1.50%— | Monthly | |
| | | | | Monthly | | |
| 24,048 | 24,289 | — | 9/25/19 | Federal Funds | Publicis Groupe | (240) |
| | | | | Effective Rate US | Sa—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 15,563 | 15,416 | — | 9/25/19 | Federal Funds | Qorvo Inc—Monthly | 149 |
| | | | | Effective Rate US | | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 66,768 | 67,322 | — | 9/25/19 | Federal Funds | Qube Holdings | (554) |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 1.13%— | | |
| | | | | Monthly | | |
| 46,551 | 44,639 | — | 9/25/19 | Federal Funds | Randgold Resources | 1,913 |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 11,725 | 11,576 | — | 9/25/19 | Federal Funds | Range Resources | 149 |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 44,707 | 44,558 | — | 9/25/19 | Federal Funds | Ratos Ab-B Shs— | 150 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.88%— | | |
| | | | | Monthly | | |
|
| 108 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $38,793 | $37,325 | $— | 9/25/19 | Federal Funds | Reckitt Benckiser | $1,469 |
| | | | | Effective Rate US | Group Plc—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 14,899 | 14,575 | — | 9/26/19 | Federal Funds | Recruit Holdings Co | 324 |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 14,771 | 14,287 | — | 9/27/19 | Federal Funds | Redefine Properties | 485 |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.90%— | | |
| | | | | Monthly | | |
| 43,750 | 43,750 | — | 9/25/19 | Federal Funds | Regal | 1 |
| | | | | Effective Rate US | Entertainment | |
| | | | | minus 0.23%— | Group-A—Monthly | |
| | | | | Monthly | | |
| 22,090 | 22,604 | — | 9/26/19 | Federal Funds | Relo Group Inc— | (514) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 10,686 | 10,414 | — | 9/27/19 | Federal Funds | Remgro Ltd— | 273 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.90%— | | |
| | | | | Monthly | | |
| 119,202 | 120,374 | — | 9/25/19 | Federal Funds | Remy Cointreau— | (1,169) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 9,460 | 9,202 | — | 9/25/19 | Federal Funds | Rentokil Initial Plc— | 258 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 5,218 | 4,959 | — | 9/27/19 | Federal Funds | Resilient Reit Ltd— | 30 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.90%— | | |
| | | | | Monthly | | |
| 22,366 | 22,407 | — | 9/25/19 | Federal Funds | Resurs Holding Ab— | (43) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 3.50%— | | |
| | | | | Monthly | | |
| 88,313 | 86,719 | — | 9/25/19 | Federal Funds | Rexel Sa—Monthly | 1,597 |
| | | | | Effective Rate US | | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 1,654 | 1,607 | — | 9/26/19 | Federal Funds | Robinsons Land | 47 |
| | | | | Effective Rate US | Co—Monthly | |
| | | | | minus 4.88%— | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 109 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $134,961 | $130,118 | $— | 9/25/19 | Federal Funds | Roper Technologies | $4,848 |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 9,472 | 9,313 | — | 9/25/19 | Federal Funds | Rosneft Oil Co | 159 |
| | | | | Effective Rate US | Pjsc-Regs Gdr— | |
| | | | | minus 0.50%— | Monthly | |
| | | | | Monthly | | |
| 4,971 | 5,113 | — | 9/25/19 | Federal Funds | Rostelecom Pjsc— | (142) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 6.50%— | | |
| | | | | Monthly | | |
| 35,937 | 35,347 | — | 9/25/19 | Federal Funds | Royal Bank Of | 592 |
| | | | | Effective Rate US | Scotland Group— | |
| | | | | minus 0.30%— | Monthly | |
| | | | | Monthly | | |
| 51,107 | 49,189 | — | 9/25/19 | Federal Funds | Royal Gold Inc— | 1,920 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 46,154 | 44,917 | — | 9/25/19 | Federal Funds | Rsa Insurance | 1,238 |
| | | | | Effective Rate US | Group Plc—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 6,605 | 6,607 | — | 9/25/19 | Federal Funds | Ruentex | (3) |
| | | | | Effective Rate US | Development Co | |
| | | | | minus 2.63%— | Ltd—Monthly | |
| | | | | Monthly | | |
| 17,547 | 18,204 | — | 9/26/19 | Federal Funds | Ryohin Keikaku Co | (736) |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.63%— | | |
| | | | | Monthly | | |
| 61,597 | 61,148 | — | 9/25/19 | Federal Funds | Salesforce. Com | 450 |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 94,885 | 94,940 | — | 9/25/19 | Federal Funds | Sampo Oyj-A Shs— | (53) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 8,426 | 8,246 | — | 9/25/19 | Federal Funds | Samsung Card Co— | 179 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| 17,731 | 16,846 | — | 9/25/19 | Federal Funds | Samsung Electro- | 886 |
| | | | | Effective Rate US | Mechanics Co— | |
| | | | | minus 0.50%— | Monthly | |
| | | | | Monthly | | |
|
| 110 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $8,972 | $8,606 | $— | 9/25/19 | Federal Funds | Samsung Heavy | $366 |
| | | | | Effective Rate US | Industries—Monthly | |
| | | | | minus 0.63%— | | |
| | | | | Monthly | | |
| 9,110 | 8,527 | — | 9/25/19 | Federal Funds | Samsung Sdi Co | 583 |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| 6,573 | 6,363 | — | 9/25/19 | Federal Funds | Samsung Securities | 210 |
| | | | | Effective Rate US | Co Ltd—Monthly | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| 10,086 | 10,451 | — | 9/27/19 | Federal Funds | Sasol Ltd—Monthly | (365) |
| | | | | Effective Rate US | | |
| | | | | minus 0.90%— | | |
| | | | | Monthly | | |
| 27,569 | 26,805 | — | 9/25/19 | Federal Funds | Schibsted | 764 |
| | | | | Effective Rate US | Asa-B Shs—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 54,694 | 53,098 | — | 9/25/19 | Federal Funds | Schibsted | 1,598 |
| | | | | Effective Rate US | Asa-Cl A—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 111,102 | 110,388 | — | 9/25/19 | Federal Funds | Charles Schwab | 553 |
| | | | | Effective Rate US | Corp/The—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 106,144 | 103,855 | — | 9/25/19 | Federal Funds | Scotts Miracle-Gro | 2,293 |
| | | | | Effective Rate US | Co—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 57,902 | 57,581 | — | 9/25/19 | Federal Funds | Sealed Air Corp— | 321 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 59,473 | 58,743 | — | 9/25/19 | Federal Funds | Securitas | 731 |
| | | | | Effective Rate US | Ab-B Shs—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 113,595 | 109,009 | — | 9/25/19 | Federal Funds | Segro Plc—Monthly | 4,590 |
| | | | | Effective Rate US | | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 28,347 | 28,175 | — | 9/26/19 | Federal Funds | Sekisui House Ltd— | 173 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 111 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $38,996 | $38,462 | $— | 9/26/19 | Federal Funds | Sembcorp | $534 |
| | | | | Effective Rate US | Industries Ltd— | |
| | | | | minus 0.50%— | Monthly | |
| | | | | Monthly | | |
| 11,061 | 11,449 | — | 9/25/19 | Federal Funds | Semiconductor | (388) |
| | | | | Effective Rate US | Manufacturing— | |
| | | | | minus 2.13%— | Monthly | |
| | | | | Monthly | | |
| 13,203 | 12,910 | — | 9/25/19 | Federal Funds | Severstal Pjsc— | 294 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.88%— | | |
| | | | | Monthly | | |
| 71,808 | 69,585 | — | 9/25/19 | Federal Funds | Shaftesbury Plc— | 2,226 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 44,638 | 45,033 | — | 9/25/19 | Federal Funds | Shangri-La Asia | (392) |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| 21,245 | 20,890 | — | 9/26/19 | Federal Funds | Shimano Inc— | 355 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.63%— | | |
| | | | | Monthly | | |
| 29,861 | 29,955 | — | 9/26/19 | Federal Funds | Shin-Etsu Chemical | (93) |
| | | | | Effective Rate US | Co Ltd—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 41,431 | 41,325 | — | 9/26/19 | Federal Funds | Shinsei Bank Ltd— | 107 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 17,788 | 18,165 | — | 9/26/19 | Federal Funds | Shiseido Co Ltd— | (376) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 57,845 | 59,012 | — | 9/25/19 | Federal Funds | Shopify Inc — | (1,166) |
| | | | | Effective Rate US | Class A—Monthly | |
| | | | | minus 0.25%— | | |
| | | | | Monthly | | |
| 6,103 | 6,253 | — | 9/26/19 | Federal Funds | Siam Cement Pcl/ | (150) |
| | | | | Effective Rate US | The—Monthly | |
| | | | | minus 1.50%— | | |
| | | | | Monthly | | |
| 12,304 | 11,674 | — | 9/25/19 | Federal Funds | Sibanye Gold Ltd— | 630 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 2.16%— | | |
| | | | | Monthly | | |
|
| 112 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $45,104 | $46,090 | $— | 9/25/19 | Federal Funds | Siemens Gamesa | $(985) |
| | | | | Effective Rate US | Renewable Energy | |
| | | | | minus 0.88%— | Sa—Monthly | |
| | | | | Monthly | | |
| 129,862 | 123,092 | — | 9/25/19 | Federal Funds | Signature Bank— | 6,774 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 6,228 | 6,430 | — | 9/25/19 | Federal Funds | Sillajen Inc— | (206) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 23.38%— | | |
| | | | | Monthly | | |
| 7,770 | 7,166 | — | 9/25/19 | Federal Funds | Sinclair Broadcast | 605 |
| | | | | Effective Rate US | Group -A—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 124,585 | 119,656 | — | 9/25/19 | Federal Funds | Six Flags | 4,930 |
| | | | | Effective Rate US | Entertainment | |
| | | | | minus 0.66%— | Corp—Monthly | |
| | | | | Monthly | | |
| 40,804 | 40,308 | — | 9/25/19 | Federal Funds | Sjm Holdings Ltd— | 496 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| 7,572 | 7,494 | — | 9/25/19 | Federal Funds | Sk Networks Co | 78 |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 6.50%— | | |
| | | | | Monthly | | |
| 70,971 | 69,475 | — | 9/25/19 | Federal Funds | Skanska Ab— | 1,499 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 555 | 541 | — | 9/26/19 | Federal Funds | Sm Investments | 13 |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | minus 2.50%— | | |
| | | | | Monthly | | |
| 8,867 | 8,811 | — | 9/26/19 | Federal Funds | Sm Prime Holdings | 55 |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | minus 5.13%— | | |
| | | | | Monthly | | |
| 54,899 | 53,553 | — | 9/25/19 | Federal Funds | Smartcentres Real | 1,080 |
| | | | | Effective Rate US | Estate Inv—Monthly | |
| | | | | minus 0.25%— | | |
| | | | | Monthly | | |
| 112,242 | 109,311 | — | 9/25/19 | Federal Funds | Snc-Lavalin Group | 2,935 |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | minus 0.25%— | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 113 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $46,459 | $45,188 | $— | 9/25/19 | Federal Funds | Sonoco Products | $906 |
| | | | | Effective Rate US | Co—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 15,065 | 15,300 | — | 9/26/19 | Federal Funds | Sony Corp— | (235) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 127,996 | 125,497 | — | 9/25/19 | Federal Funds | Southern Copper | 2,505 |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 1,276,951 | 1,248,232 | — | 9/25/19 | Federal Funds | Spdr S&P 500 Etf | 27,340 |
| | | | | Effective Rate US | Trust—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 53,405 | 52,565 | — | 9/25/19 | Federal Funds | Splunk Inc—Monthly | 842 |
| | | | | Effective Rate US | | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 2,322 | 2,252 | — | 9/25/19 | Federal Funds | Sprint Corp— | 70 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 44,148 | 44,298 | — | 9/25/19 | Federal Funds | Ssab Ab—Monthly | (149) |
| | | | | Effective Rate US | | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 43,779 | 43,989 | — | 9/25/19 | Federal Funds | Ssab Ab—Monthly | (209) |
| | | | | Effective Rate US | | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 21,618 | 20,835 | — | 9/25/19 | Federal Funds | Standard Chartered | 783 |
| | | | | Effective Rate US | Plc—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 2,352 | 2,350 | — | 9/25/19 | Federal Funds | Standard Foods | 2 |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | minus 2.88%— | | |
| | | | | Monthly | | |
| 37,281 | 37,230 | — | 9/26/19 | Federal Funds | Starhub Ltd— | 51 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.35%— | | |
| | | | | Monthly | | |
| 88,346 | 88,570 | — | 9/25/19 | Federal Funds | Statoil Asa— | (222) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
|
| 114 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $34,133 | $33,948 | $— | 9/25/19 | Federal Funds | Store Capital Corp— | $187 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 129,964 | 127,133 | — | 9/25/19 | Federal Funds | Stryker Corp— | 2,835 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 60,316 | 60,112 | — | 9/25/19 | Federal Funds | Suez—Monthly | 205 |
| | | | | Effective Rate US | | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 104 | 108 | — | 9/26/19 | Federal Funds | Sumco Corp— | (4) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 19,268 | 18,863 | — | 9/26/19 | Federal Funds | Sumitomo Metal | 406 |
| | | | | Effective Rate US | Mining Co Ltd— | |
| | | | | minus 0.40%— | Monthly | |
| | | | | Monthly | | |
| 4,817 | 4,716 | — | 9/26/19 | Federal Funds | Sumitomo Metal | 101 |
| | | | | Effective Rate US | Mining Co Ltd— | |
| | | | | minus 0.40%— | Monthly | |
| | | | | Monthly | | |
| 25,275 | 25,894 | — | 9/26/19 | Federal Funds | Suntec Reit— | (619) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| 25,674 | 25,396 | — | 9/25/19 | Federal Funds | Svb Financial | 279 |
| | | | | Effective Rate US | Group—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 12,941 | 12,845 | — | 9/25/19 | Federal Funds | Svenska | 96 |
| | | | | Effective Rate US | Handelsbanken- | |
| | | | | minus 1.25%— | B Shs—Monthly | |
| | | | | Monthly | | |
| 113,213 | 110,838 | — | 9/25/19 | Federal Funds | Swatch Group Ag/ | 2,379 |
| | | | | Effective Rate US | The-Br—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 10,055 | 9,818 | — | 9/25/19 | Federal Funds | Swatch Group Ag/ | 238 |
| | | | | Effective Rate US | The-Reg—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 88,355 | 90,149 | — | 9/25/19 | Federal Funds | Swedish Orphan | (1,793) |
| | | | | Effective Rate US | Biovitrum Ab— | |
| | | | | minus 1.13%— | Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 115 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $69,680 | $69,253 | $— | 9/25/19 | Federal Funds | Symrise Ag— | $429 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 14,017 | 14,279 | — | 9/26/19 | Federal Funds | Sysmex Corp— | (261) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 63,404 | 61,688 | — | 9/25/19 | Federal Funds | Tabcorp Holdings | 1,719 |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.45%— | | |
| | | | | Monthly | | |
| 136,608 | 133,694 | — | 9/25/19 | Federal Funds | Tableau Software | 2,918 |
| | | | | Effective Rate US | Inc-Cl A—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 6,747 | 6,919 | — | 9/25/19 | Federal Funds | Taimed Biologics | (174) |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | minus 5.00%— | | |
| | | | | Monthly | | |
| 659 | 664 | — | 9/25/19 | Federal Funds | Taiwan Cement | (5) |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 7,870 | 8,015 | — | 9/25/19 | Federal Funds | Taiwan Fertilizer Co | (145) |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 1.50%— | | |
| | | | | Monthly | | |
| 11,773 | 11,778 | — | 9/26/19 | Federal Funds | Taiyo Nippon Sanso | (6) |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 14,982 | 15,368 | — | 9/25/19 | Federal Funds | Tal Education | (386) |
| | | | | Effective Rate US | Group—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 31,381 | 29,692 | — | 9/25/19 | Federal Funds | Targa Resources | 1,690 |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 1,323 | 1,330 | — | 9/25/19 | Federal Funds | Tatneft Pjsc— | (7) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 2.25%— | | |
| | | | | Monthly | | |
| 5,327 | 4,907 | — | 9/25/19 | Federal Funds | Tauron Polska | 420 |
| | | | | Effective Rate US | Energia Sa— | |
| | | | | minus 0.75%— | Monthly | |
| | | | | Monthly | | |
|
| 116 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $55,312 | $55,458 | $— | 9/25/19 | Federal Funds | Telecom Italia Spa— | $(144) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 78,717 | 78,851 | — | 9/25/19 | Federal Funds | Telecom | (132) |
| | | | | Effective Rate US | Italia-Rsp—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 44,118 | 43,360 | — | 9/25/19 | Federal Funds | Telefonaktiebolaget | 759 |
| | | | | Effective Rate US | Lm Ericsson— | |
| | | | | minus 0.30%— | Monthly | |
| | | | | Monthly | | |
| 10,412 | 10,243 | — | 9/27/19 | Federal Funds | Telekom Malaysia | 169 |
| | | | | Effective Rate US | Bhd—Monthly | |
| | | | | minus 3.00%— | | |
| | | | | Monthly | | |
| 78,622 | 77,287 | — | 9/25/19 | Federal Funds | Telus Corp— | 1,337 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.25%— | | |
| | | | | Monthly | | |
| 50,333 | 48,441 | — | 9/25/19 | Federal Funds | Tempur Sealy | 1,893 |
| | | | | Effective Rate US | International Inc— | |
| | | | | minus 0.40%— | Monthly | |
| | | | | Monthly | | |
| 45,128 | 44,631 | — | 9/25/19 | Federal Funds | Tenaris Sa—Monthly | 498 |
| | | | | Effective Rate US | | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 5,796 | 5,523 | — | 9/25/19 | Federal Funds | Tencent Holdings | 273 |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 82,846 | 82,628 | — | 9/25/19 | Federal Funds | Teradyne Inc— | 221 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 30,782 | 32,445 | — | 9/26/19 | Federal Funds | Terumo Corp— | (1,662) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 54,211 | 50,094 | — | 9/25/19 | Federal Funds | Tesaro Inc—Monthly | 4,120 |
| | | | | Effective Rate US | | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 94,359 | 90,568 | — | 9/25/19 | Federal Funds | Tesla Inc—Monthly | 3,794 |
| | | | | Effective Rate US | | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 117 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $55,476 | $54,404 | $— | 9/25/19 | Federal Funds | Textron Inc— | $1,074 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 119,879 | 116,805 | — | 9/25/19 | Federal Funds | Thermo Fisher | 3,078 |
| | | | | Effective Rate US | Scientific Inc— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 40,358 | 39,391 | — | 9/25/19 | Federal Funds | Thyssenkrupp Ag— | 968 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 19,612 | 19,540 | — | 9/26/19 | Federal Funds | Toho Co Ltd— | (110) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 46,595 | 45,509 | — | 9/26/19 | Federal Funds | Tokyo Century | 1,088 |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 33,860 | 33,586 | — | 9/26/19 | Federal Funds | Toray Industries | 275 |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 85,312 | 83,971 | — | 9/25/19 | Federal Funds | Toronto-Dominion | 1,344 |
| | | | | Effective Rate US | Bank—Monthly | |
| | | | | minus 0.25%— | | |
| | | | | Monthly | | |
| 11,911 | 11,636 | — | 9/25/19 | Federal Funds | Tpg Telecom Ltd— | 275 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.63%— | | |
| | | | | Monthly | | |
| 72,580 | 68,522 | — | 9/25/19 | Federal Funds | Transcanada Corp— | 4,060 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.25%— | | |
| | | | | Monthly | | |
| 5,727 | 5,809 | — | 9/25/19 | Federal Funds | Transcend | (82) |
| | | | | Effective Rate US | Information Inc— | |
| | | | | minus 3.25%— | Monthly | |
| | | | | Monthly | | |
| 131,051 | 128,010 | — | 9/25/19 | Federal Funds | Transdigm Group | 3,046 |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 107,349 | 95,361 | — | 9/25/19 | Federal Funds | Travis Perkins Plc— | 11,991 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
|
| 118 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $73,563 | $73,677 | $— | 9/25/19 | Federal Funds | Trelleborg | $(111) |
| | | | | Effective Rate US | Ab-B Shs—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 10,533 | 16,713 | — | 9/26/19 | Federal Funds | True Corp Plc— | (6,181) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 1.63%— | | |
| | | | | Monthly | | |
| 10,955 | 10,990 | — | 9/25/19 | Federal Funds | Tsingtao Brewery | (35) |
| | | | | Effective Rate US | Co Ltd—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 30,915 | 31,417 | — | 9/26/19 | Federal Funds | Tsuruha Holdings | (501) |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 4,887 | 4,909 | — | 9/25/19 | Federal Funds | Turkcell Iletisim | (21) |
| | | | | Effective Rate US | Hizmet As—Monthly | |
| | | | | minus 0.75%— | | |
| | | | | Monthly | | |
| 40,487 | 40,821 | — | 9/25/19 | Federal Funds | Twilio Inc — A— | (333) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 130,388 | 128,772 | — | 9/25/19 | Federal Funds | Tyler Technologies | 1,621 |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 2,689 | 2,602 | — | 9/25/19 | Federal Funds | Ulker Biskuvi | 87 |
| | | | | Effective Rate US | Sanayi—Monthly | |
| | | | | minus 0.75%— | | |
| | | | | Monthly | | |
| 118,918 | 118,810 | — | 9/25/19 | Federal Funds | Umicore Sa— | 112 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 44,039 | 42,329 | — | 9/25/19 | Federal Funds | Under Armour | 1,712 |
| | | | | Effective Rate US | Inc-Class A— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 24,579 | 23,990 | — | 9/25/19 | Federal Funds | Under Armour Inc- | 591 |
| | | | | Effective Rate US | Class C—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 43,680 | 43,854 | — | 9/25/19 | Federal Funds | Unicredit Spa— | (173) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 119 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $58,167 | $54,919 | $— | 9/25/19 | Federal Funds | United Bankshares | $3,251 |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 4,830 | 4,830 | — | 9/25/19 | Federal Funds | United | — |
| | | | | Effective Rate US | Microelectronics | |
| | | | | minus 0.63%— | Corp—Monthly | |
| | | | | Monthly | | |
| 47,983 | 46,358 | — | 9/25/19 | Federal Funds | United Parcel | 1,627 |
| | | | | Effective Rate US | Service-Cl B— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 23,157 | 22,845 | — | 9/25/19 | Federal Funds | Universal Display | 313 |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 6,007 | 6,237 | — | 9/26/19 | Federal Funds | Universal Robina | (232) |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | minus 9.00%— | | |
| | | | | Monthly | | |
| 99,592 | 101,118 | — | 9/26/19 | Federal Funds | Uol Group Ltd— | (1,523) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| 21,659 | 20,971 | — | 9/25/19 | Federal Funds | Us Silica Holdings | 689 |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 51,314 | 49,821 | — | 9/25/19 | Federal Funds | Vail Resorts Inc— | 1,495 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 82,791 | 80,712 | — | 9/25/19 | Federal Funds | Valvoline Inc— | 1,819 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 23,354 | 22,858 | — | 9/25/19 | Federal Funds | Verifone Systems | 497 |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 66,173 | 64,354 | — | 9/25/19 | Federal Funds | Verizon | 1,822 |
| | | | | Effective Rate US | Communications | |
| | | | | minus 0.40%— | Inc—Monthly | |
| | | | | Monthly | | |
| 96,797 | 94,549 | — | 9/25/19 | Federal Funds | Versum Materials | 2,251 |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
|
| 120 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $43,823 | $42,988 | $— | 9/25/19 | Federal Funds | Vifor Pharma Ag— | $836 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 27,576 | 26,035 | — | 9/25/19 | Federal Funds | Vista Outdoor Inc— | 1,542 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 16,631 | 16,311 | — | 9/27/19 | Federal Funds | Vodacom Group | 320 |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.90%— | | |
| | | | | Monthly | | |
| 39,103 | 38,839 | — | 9/25/19 | Federal Funds | Voestalpine Ag— | 265 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 65,434 | 64,002 | — | 9/25/19 | Federal Funds | Volkswagen Ag— | 1,434 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 92,580 | 90,984 | — | 9/25/19 | Federal Funds | Volkswagen | 1,599 |
| | | | | Effective Rate US | Ag-Pref—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 43,457 | 42,632 | — | 9/25/19 | Federal Funds | Volvo Ab—Monthly | 826 |
| | | | | Effective Rate US | | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 43,562 | 42,735 | — | 9/25/19 | Federal Funds | Volvo Ab—Monthly | 829 |
| | | | | Effective Rate US | | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 63,188 | 61,102 | — | 9/25/19 | Federal Funds | Vulcan Materials | 2,088 |
| | | | | Effective Rate US | Co—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 114,442 | 111,029 | — | 9/25/19 | Federal Funds | Wabtec Corp— | 3,418 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 41,626 | 41,157 | — | 9/25/19 | Federal Funds | Wallenstam Ab— | 471 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 29,391 | 28,854 | — | 9/25/19 | Federal Funds | Waters Corp— | 538 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 121 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $13,793 | $13,560 | $— | 9/25/19 | Federal Funds | Watsco Inc— | $233 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 64,209 | 66,272 | — | 9/25/19 | Federal Funds | Wayfair Inc— | (2,062) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.86%— | | |
| | | | | Monthly | | |
| 7,701 | 7,454 | — | 9/25/19 | Federal Funds | Weibo Corp-Spon | 247 |
| | | | | Effective Rate US | Adr—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 41,076 | 41,154 | — | 9/25/19 | Federal Funds | Weir Group Plc/ | (77) |
| | | | | Effective Rate US | The—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 47,675 | 45,167 | — | 9/25/19 | Federal Funds | Welbilt Inc—Monthly | 2,509 |
| | | | | Effective Rate US | | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 58,890 | 58,612 | — | 9/25/19 | Federal Funds | Wendel—Monthly | 279 |
| | | | | Effective Rate US | | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 133,459 | 128,079 | — | 9/25/19 | Federal Funds | Wendy’S Co/The— | 4,702 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 81,842 | 82,772 | — | 9/25/19 | Federal Funds | West | (928) |
| | | | | Effective Rate US | Pharmaceutical | |
| | | | | minus 0.23%— | Services—Monthly | |
| | | | | Monthly | | |
| 113,233 | 110,218 | — | 9/25/19 | Federal Funds | Wex Inc—Monthly | 3,019 |
| | | | | Effective Rate US | | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 74,601 | 73,283 | — | 9/25/19 | Federal Funds | Weyerhaeuser Co— | 1,320 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 7,389 | 7,489 | — | 9/25/19 | Federal Funds | Wharf Holdings Ltd/ | (103) |
| | | | | Effective Rate US | The—Monthly | |
| | | | | minus 15.00%— | | |
| | | | | Monthly | | |
| 74,468 | 72,724 | — | 9/25/19 | Federal Funds | Wheaton Precious | 1,747 |
| | | | | Effective Rate US | Metals Corp— | |
| | | | | minus 0.25%— | Monthly | |
| | | | | Monthly | | |
|
| 122 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $40,095 | $39,377 | $— | 9/25/19 | Federal Funds | Whitbread Plc— | $719 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 86,638 | 86,333 | — | 9/25/19 | Federal Funds | White Mountains | 308 |
| | | | | Effective Rate US | Insurance Gp— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 71,194 | 69,358 | — | 9/25/19 | Federal Funds | Williams-Sonoma | 1,837 |
| | | | | Effective Rate US | Inc—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 15,752 | 15,743 | — | 9/25/19 | Federal Funds | Wistron Corp— | 9 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.88%— | | |
| | | | | Monthly | | |
| 6,619 | 6,276 | — | 9/25/19 | Federal Funds | Wood Group (John) | 344 |
| | | | | Effective Rate US | Plc—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 85,168 | 88,920 | — | 9/25/19 | Federal Funds | Worldpay Inc — | (3,750) |
| | | | | Effective Rate US | Cl A—Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 53,488 | 50,486 | — | 9/25/19 | Federal Funds | Wpx Energy Inc— | 3,003 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 69,986 | 68,658 | — | 9/25/19 | Federal Funds | Wyndham | 1,330 |
| | | | | Effective Rate US | Worldwide Corp— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
| 7,607 | 7,697 | — | 9/25/19 | Federal Funds | X 5 Retail Group | (91) |
| | | | | Effective Rate US | Nv-Regs Gdr— | |
| | | | | minus 0.88%— | Monthly | |
| | | | | Monthly | | |
| 57,189 | 55,572 | — | 9/25/19 | Federal Funds | Xcel Energy Inc— | 1,620 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.35%— | | |
| | | | | Monthly | | |
| 78,784 | 78,974 | — | 9/25/19 | Federal Funds | Xero Ltd—Monthly | (384) |
| | | | | Effective Rate US | | |
| | | | | minus 1.88%— | | |
| | | | | Monthly | | |
| 15,673 | 16,059 | — | 9/25/19 | Federal Funds | Xinjiang Goldwind | (389) |
| | | | | Effective Rate US | Sci&Tec-H—Monthly | |
| | | | | minus 8.75%— | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 123 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $129,532 | $127,099 | $— | 9/25/19 | Federal Funds | Xl Group Ltd— | $2,438 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 67,251 | 66,736 | — | 9/25/19 | Federal Funds | Xpo Logistics Inc— | 517 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23%— | | |
| | | | | Monthly | | |
| 33,420 | 31,609 | — | 9/26/19 | Federal Funds | Yahoo Japan Corp— | 1,813 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 29,070 | 28,896 | — | 9/26/19 | Federal Funds | Yakult Honsha Co | 174 |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 42,857 | 42,509 | — | 9/26/19 | Federal Funds | Yamada Denki Co | 349 |
| | | | | Effective Rate US | Ltd—Monthly | |
| | | | | minus 0.30%— | | |
| | | | | Monthly | | |
| 22,017 | 22,188 | — | 9/26/19 | Federal Funds | Yamaguchi Financial | (170) |
| | | | | Effective Rate US | Group In—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 31,186 | 31,029 | — | 9/26/19 | Federal Funds | Yamaha Corp— | 156 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 13,886 | 14,086 | — | 9/26/19 | Federal Funds | Yaskawa Electric | (255) |
| | | | | Effective Rate US | Corp—Monthly | |
| | | | | minus 0.40%— | | |
| | | | | Monthly | | |
| 8,244 | 7,969 | — | 9/27/19 | Federal Funds | Ytl Corp Bhd— | 22 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 4.00%— | | |
| | | | | Monthly | | |
| 9,223 | 9,597 | — | 9/25/19 | Federal Funds | Yulon Motor | (374) |
| | | | | Effective Rate US | Company—Monthly | |
| | | | | minus 2.00%— | | |
| | | | | Monthly | | |
| 76,978 | 74,877 | — | 9/25/19 | Federal Funds | Zalando Ag— | 2,097 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 3.38%— | | |
| | | | | Monthly | | |
| 130,827 | 129,490 | — | 9/25/19 | Federal Funds | Zayo Group | 1,341 |
| | | | | Effective Rate US | Holdings Inc— | |
| | | | | minus 0.23%— | Monthly | |
| | | | | Monthly | | |
|
| 124 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/18 (Unaudited) cont. | |
| | | Upfront | | | | |
| | | premium | Termina- | Payments | Total return | Unrealized |
| Swap counterparty/ | | received | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $8,670 | $8,755 | $— | 9/25/19 | Federal Funds | Zhen Ding | $(86) |
| | | | | Effective Rate US | Technology Holding | |
| | | | | minus 2.88%— | Ltd—Monthly | |
| | | | | Monthly | | |
| 8,825 | 8,669 | — | 9/25/19 | Federal Funds | Zhuzhou Crrc Times | 157 |
| | | | | Effective Rate US | Electric Co Ltd— | |
| | | | | minus 0.40%— | Monthly | |
| | | | | Monthly | | |
| 9,979 | 9,885 | — | 9/25/19 | Federal Funds | Zoomlion Heavy | 95 |
| | | | | Effective Rate US | Industry — H— | |
| | | | | minus 1.00%— | Monthly | |
| | | | | Monthly | | |
| 5,625 | 5,643 | — | 9/25/19 | Federal Funds | Zte Corp-H— | (18) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.50%— | | |
| | | | | Monthly | | |
| Upfront premium received | — | | Unrealized appreciation | 644,653 |
| Upfront premium (paid) | | — | | Unrealized (depreciation) | (614,830) |
| Total | | $— | | Total | | $29,823 |
ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period:
| | | |
| | | Valuation inputs |
| Investments in securities: | Level 1 | Level 2 | Level 3 |
| Investment companies | $1,533,642 | $— | $— |
| Short-term investments | — | 10,001,697 | — |
| Totals by level | $1,533,642 | $10,001,697 | $— |
| | | | |
| | | Valuation inputs |
| Other financial instruments: | Level 1 | Level 2 | Level 3 |
| Total return swap contracts | $— | $29,823 | $— |
| Totals by level | $— | $29,823 | $— |
During the reporting period, transfers within the fair value hierarchy, if any, did not represent, in the aggregate, more than 1% of the fund’s net assets measured as of the end of the period. Transfers are accounted for using the end of period pricing valuation method.
The accompanying notes are an integral part of these financial statements.
|
| PanAgora Market Neutral Fund 125 |
Statement of assets and liabilities 2/28/18 (Unaudited)
| |
| ASSETS | |
| Investment in securities, at value (Note 1): | |
| Unaffiliated issuers (identified cost $11,561,184) | $11,535,339 |
| Interest and other receivables | 816 |
| Receivable for shares of the fund sold | 4,123 |
| Receivable for investments sold | 2,085,452 |
| Receivable from Manager (Note 2) | 74,813 |
| Unrealized appreciation on OTC swap contracts (Note 1) | 644,653 |
| Prepaid assets | 1,373 |
| Unamortized offering costs (Note 1) | 187,007 |
| Total assets | 14,533,576 |
| |
| LIABILITIES | |
| Payable for investments purchased | 2,206,916 |
| Payable for custodian fees (Note 2) | 2,829 |
| Payable for investor servicing fees (Note 2) | 977 |
| Payable for Trustee compensation and expenses (Note 2) | 13 |
| Payable for administrative services (Note 2) | 36 |
| Payable for distribution fees (Note 2) | 4,043 |
| Payable for offering costs (Note 1) | 334,594 |
| Unrealized depreciation on OTC swap contracts (Note 1) | 614,830 |
| Other accrued expenses | 32,291 |
| Total liabilities | 3,196,529 |
| | |
| Net assets | $11,337,047 |
| |
| REPRESENTED BY | |
| Paid-in capital (Unlimited shares authorized) (Notes 1, 4 and 5) | $11,468,568 |
| Accumulated net investment loss (Note 1) | (25,675) |
| Accumulated net realized loss on investments (Note 1) | (109,824) |
| Net unrealized appreciation of investments | 3,978 |
| Total — Representing net assets applicable to capital shares outstanding | $11,337,047 |
| |
| COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE | |
| Net asset value and redemption price per class A share ($9,838,940 divided by 995,309 shares) | $9.89 |
| Offering price per class A share (100/94.25 of $9.89)* | $10.49 |
| Net asset value and offering price per class B share ($9,854 divided by 1,000 shares)** | $9.85 |
| Net asset value and offering price per class C share ($9,854 divided by 1,000 shares)** | $9.85 |
| Net asset value and redemption price per class M share ($9,865 divided by 1,000 shares) | $9.87 |
| Offering price per class M share (100/96.50 of $9.87)* | $10.23 |
| Net asset value, offering price and redemption price per class R share | |
| ($9,875 divided by 1,000 shares)† | $9.87 |
| Net asset value, offering price and redemption price per class R6 share | |
| ($1,013,304 divided by 102,389 shares) | $9.90 |
| Net asset value, offering price and redemption price per class Y share | |
| ($445,355 divided by 45,006 shares) | $9.90 |
* On single retail sales of less than $50,000. On sales of $50,000 or more the offering price is reduced.
** Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
† Net asset value may not recalculate due to rounding of fractional shares.
The accompanying notes are an integral part of these financial statements.
|
| 126 PanAgora Market Neutral Fund |
Statement of operations
For the period 9/21/17 (commencement of operations) to 2/28/18 (Unaudited)
| |
| INVESTMENT INCOME | |
| Interest | $59,020 |
| Total investment income | 59,020 |
| |
| EXPENSES | |
| Compensation of Manager (Note 2) | 61,494 |
| Investor servicing fees (Note 2) | 2,153 |
| Custodian fees (Note 2) | 2,830 |
| Trustee compensation and expenses (Note 2) | 242 |
| Distribution fees (Note 2) | 11,097 |
| Administrative services (Note 2) | 181 |
| Amortization of offering costs (Note 1) | 147,587 |
| Auditing and tax fees | 23,604 |
| Other | 9,771 |
| Fees waived and reimbursed by Manager (Note 2) | (174,013) |
| Total expenses | 84,946 |
| Expense reduction (Note 2) | (251) |
| Net expenses | 84,695 |
| | |
| Net investment loss | (25,675) |
| |
| REALIZED AND UNREALIZED GAIN (LOSS) | |
| Net realized gain (loss) on: | |
| Swap contracts (Note 1) | (109,824) |
| Total net realized loss | (109,824) |
| Change in net unrealized appreciation (depreciation) on: | |
| Securities in unaffiliated issuers | (25,845) |
| Swap contracts | 29,823 |
| Total change in net unrealized appreciation | 3,978 |
| | |
| Net loss on investments | (105,846) |
| | |
| Net decrease in net assets resulting from operations | $(131,521) |
| |
| Statement of changes in net assets | |
| | For the period 9/21/17 |
| | (commencement of |
| INCREASE IN NET ASSETS | operations) to 2/28/18* |
| Operations | |
| Net investment loss | $(25,675) |
| Net realized loss on investments | (109,824) |
| Net unrealized appreciation of investments | 3,978 |
| Net decrease in net assets resulting from operations | (131,521) |
| Increase from capital share transactions (Note 4) | 1,468,568 |
| Total increase in net assets | 1,337,047 |
| |
| NET ASSETS | |
| Beginning of period (Note 5) | 10,000,000 |
| End of period (including accumulated net investment loss of $25,675) | $11,337,047 |
* Unaudited.
The accompanying notes are an integral part of these financial statements.
|
| PanAgora Market Neutral Fund 127 |
Consolidated financial highlights (For a common share outstanding throughout the period)
| | | | | | | | | | | | |
| | INVESTMENT OPERATIONS | | | LESS DISTRIBUTIONS | | | | RATIOS AND SUPPLEMENTAL DATA | | |
| | | | | | | | | | | | Ratio | |
| | | | Net realized | | | | | | | | of net investment | |
| | Net asset value, | | and unrealized | Total from | From | | | Total return | Net assets, | Ratio of expenses | income (loss) | |
| | beginning | Net investment | gain (loss) | investment | net investment | Total | Net asset value, | at net asset value | end of period | to average | to average | Portfolio |
| Period ended | of period | income (loss) a | on investments | operations | income | distributions | end of period | (%) b | (in thousands) | net assets (%) c,d | net assets (%) d | turnover (%) |
| Class A | | | | | | | | | | | | |
| February 28, 2018**† | $10.00 | (.02) | (.09) | (.11) | — | — | $9.89 | (1.10)* | $9,839 | .80 * | (.24)* | 614* |
| Class B | | | | | | | | | | | | |
| February 28, 2018**† | $10.00 | (.06) | (.09) | (.15) | — | — | $9.85 | (1.50)* | $10 | 1.13* | (.57)* | 614* |
| Class C | | | | | | | | | | | | |
| February 28, 2018**† | $10.00 | (.06) | (.09) | (.15) | — | — | $9.85 | (1.50)* | $10 | 1.13* | (.57)* | 614* |
| Class M | | | | | | | | | | | | |
| February 28, 2018**† | $10.00 | (.05) | (.08) | (.13) | — | — | $9.87 | (1.30)* | $10 | 1.02* | (.46)* | 614* |
| Class R | | | | | | | | | | | | |
| February 28, 2018**† | $10.00 | (.04) | (.09) | (.13) | — | — | $9.87 | (1.30)* | $10 | .91* | (.35)* | 614* |
| Class R6 | | | | | | | | | | | | |
| February 28, 2018**† | $10.00 | (.01) | (.09) | (.10) | — | — | $9.90 | (1.00)* | $1,013 | .69* | (.12)* | 614* |
| Class Y | | | | | | | | | | | | |
| February 28, 2018**† | $10.00 | (.01) | (.09) | (.10) | — | — | $9.90 | (1.00)* | $445 | .69* | (.12)* | 614* |
* Not annualized.
** Unaudited.
† For the period September 21, 2017 (commencement of operations) to February 28, 2018.
a Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.
b Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
c Includes amounts paid through expense offset and/or brokerage/service arrangements, if any (Note 2). Also excludes acquired fund fees and expenses, if any.
d Reflects an involuntary contractual expense limitation in effect during the period. As a result of such limitation, the expenses of each class reflect a reduction of 1.62% as a percentage of average net assets for the period ended February 28, 2018 (Note 2).
The accompanying notes are an integral part of these financial statements.
| |
| 128 PanAgora Market Neutral Fund | PanAgora Market Neutral Fund 129 |
Notes to financial statements 2/28/18 (Unaudited)
Within the following Notes to financial statements, references to “State Street” represent State Street Bank and Trust Company, references to “the SEC” represent the Securities and Exchange Commission, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter. Unless otherwise noted, the “reporting period” represents the period from September 21, 2017 (commencement of operations) through February 28, 2018.
Putnam PanAgora Market Neutral Fund (the fund) is a diversified series of Putnam Investment Funds (the Trust), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The goal of the fund is to seek absolute return (i.e. positive total return in diverse market environments over time). The fund pursues its goal by investing through a diversified set of long/short equity strategies that seek to identify and exploit multiple price inefficiencies that exist in global equity markets. PanAgora Asset Management, Inc. (“PanAgora”), the subadviser to the fund and an affiliate of Putnam Management, believes that these inefficiencies create investment opportunities in different market segments, at different times, and for different reasons, before they are ultimately arbitraged away. By using a diversified set of strategies that PanAgora believes have low correlation to one another, the fund seeks to generate returns under different market conditions and over different time horizons that are more stable over time than the returns of any individual strategy.
The fund’s strategies rely on quantitative models and information and data inputs to those models in an effort to capitalize on investment opportunities that exist when the prospects of a company’s likely success or failure are not fully recognized by market participants. PanAgora expects to implement the fund’s strategies primarily through investing in total return swap contracts.
The fund’s strategies are managed within three distinct sleeves of the fund designed to capitalize on long-term, intermediate-term, and short-term price inefficiencies. PanAgora strategically allocates the fund’s investments among the various strategies, varying the allocations from time to time based upon its assessment of the attractiveness of the available opportunity set, to seek to increase the potential for higher returns.
Although the fund may have net long or short exposure to the stock market at any time, PanAgora expects that, over time, the fund’s returns will not closely correlate with stock market movements. PanAgora may adjust the fund’s portfolio from time to time, and may use derivatives, to minimize exposure to stock market movements. The fund’s portfolio is also adjusted on a regular basis in an effort to manage risk from systematic factors (such as market or interest rate movements), risk from sector, country and region exposure, as well as excessive risk from any one security, by using derivatives, exchange traded funds (ETFs) and other risk management and portfolio construction techniques.
The fund expects to use total return swaps, and may also use other derivatives (such as futures contracts, options, currency swaps and other swap contracts), to take long or short positions in equity securities (principally common stocks, American Depositary Receipts (ADRs), and real estate investment trusts (REITs)), fixed-income securities, and other investment companies (principally ETFs). The fund may have exposure to U.S. and non-U.S. (including both developed and emerging market) companies, to companies of any market capitalization and to fixed-income securities of any credit quality, duration or maturity (principally government-issued instruments, money market instruments, and investment-grade corporate instruments). At times, the fund may also hold these instruments directly. The fund may take “short” derivatives positions and may use derivatives to hedge and for speculative purposes.
A significant portion of the assets of the fund will be invested in short-term instruments, including cash and cash equivalents generally with one year or less term to maturity. These investments serve as collateral for the derivative positions the fund takes and also may earn income for the fund.
The fund offers class A, class B, class C, class M, class R, class R6 and class Y shares. The fund registered class T shares, however, as of the date of this report, class T shares had not commenced operations and are not available for purchase. The fund began offering class A, class B, class C, class M, class R, class R6 and class Y shares on September 21, 2017. Purchases of class B shares are closed to new and existing investors except by exchange from class B shares of another Putnam fund or through dividend and/or capital gains reinvestment. Class A and class M shares are sold with a maximum front-end sales charge of 5.75% and 3.50%, respectively. Class A shares generally are not subject to a contingent deferred sales charge, and class M, class R, class R6 and class Y shares are not subject to a contingent deferred sales charge. Class B shares, which convert to class A shares after approximately
|
| 130 PanAgora Market Neutral Fund |
eight years, are not subject to a front-end sales charge and are subject to a contingent deferred sales charge if those shares are redeemed within six years of purchase. Class C shares are subject to a one-year 1.00% contingent deferred sales charge and generally convert to class A shares after approximately ten years. Prior to April 1, 2018, class C shares did not convert to class A shares. Class R shares, which are not available to all investors, are sold at net asset value. The expenses for class A, class B, class C, class M and class R shares may differ based on the distribution fee of each class, which is identified in Note 2. Class R6 and class Y shares, which are sold at net asset value, are generally subject to the same expenses as class A, class B, class C, class M and class R shares, but do not bear a distribution fee and in the case of class R6 shares, bear a lower investor servicing fee, which is identified in Note 2. Class R6 and class Y shares are not available to all investors.
In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund’s management team expects the risk of material loss to be remote.
The fund has entered into contractual arrangements with an investment adviser, administrator, distributor, shareholder servicing agent and custodian, who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.
Under the fund’s Agreement and Declaration of Trust, any claims asserted against or on behalf of the Putnam Funds, including claims against Trustees and Officers, must be brought in state and federal courts located within the Commonwealth of Massachusetts.
Note 1: Significant accounting policies
The following is a summary of significant accounting policies consistently followed by the fund in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations. Actual results could differ from those estimates. Subsequent events after the Statement of assets and liabilities date through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
Investment income, realized and unrealized gains and losses and expenses of the fund are borne pro-rata based on the relative net assets of each class to the total net assets of the fund, except that each class bears expenses unique to that class (including the distribution fees applicable to such classes). Each class votes as a class only with respect to its own distribution plan or other matters on which a class vote is required by law or determined by the Trustees. If the fund were liquidated, shares of each class would receive their pro-rata share of the net assets of the fund. In addition, the Trustees declare separate dividends on each class of shares.
Security valuation Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
|
| PanAgora Market Neutral Fund 131 |
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security’s fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Security transactions and related investment income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.
Interest income, net of any applicable withholding taxes, is recorded on the accrual basis.
All premiums/discounts are amortized/accreted on a yield-to-maturity basis.
Total return swap contracts The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to take long or short positions in equity securities.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.
OTC and/or centrally cleared total return swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
Master agreements The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and, with respect to those amounts which can be sold or repledged, is presented in the fund’s portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other
|
| 132 PanAgora Market Neutral Fund |
securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund did not have a net liability position on open derivative contracts subject to the Master Agreements.
Interfund lending The fund, along with other Putnam funds, may participate in an interfund lending program pursuant to an exemptive order issued by the SEC. This program allows the fund to borrow from or lend to other Putnam funds that permit such transactions. Interfund lending transactions are subject to each fund’s investment policies and borrowing and lending limits. Interest earned or paid on the interfund lending transaction will be based on the average of certain current market rates. During the reporting period, the fund did not utilize the program.
Lines of credit The fund participates, along with other Putnam funds, in a $317.5 million unsecured committed line of credit and a $235.5 million unsecured uncommitted line of credit, both provided by State Street. Borrowings may be made for temporary or emergency purposes, including the funding of shareholder redemption requests and trade settlements. Interest is charged to the fund based on the fund’s borrowing at a rate equal to 1.25% plus the higher of (1) the Federal Funds rate and (2) the overnight LIBOR for the committed line of credit and the Federal Funds rate plus 1.30% for the uncommitted line of credit. A closing fee equal to 0.04% of the committed line of credit plus a $25,000 flat fee and 0.04% of the uncommitted line of credit has been paid by the participating funds. In addition, a commitment fee of 0.21% per annum on any unutilized portion of the committed line of credit is allocated to the participating funds based on their relative net assets and paid quarterly. During the reporting period, the fund had no borrowings against these arrangements.
Federal taxes It is the policy of the fund to distribute all of its taxable income within the prescribed time period and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the Code), applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code.
The fund is subject to the provisions of Accounting Standards Codification 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The fund did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains.
Tax cost of investments includes adjustments to net unrealized appreciation (depreciation) which may not necessarily be final tax cost basis adjustments, but closely approximate the tax basis unrealized gains and losses that may be realized and distributed to shareholders. The aggregate identified cost on a tax basis is $11,561,184, resulting in gross unrealized appreciation and depreciation of $652,157 and $648,179, respectively, or net unrealized appreciation of $3,978.
Distributions to shareholders Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year. Reclassifications are made to the fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations.
Expenses of the Trust Expenses directly charged or attributable to any fund will be paid from the assets of that fund. Generally, expenses of the Trust will be allocated among and charged to the assets of each fund on a basis that the Trustees deem fair and equitable, which may be based on the relative assets of each fund or the nature of the services performed and relative applicability to each fund.
|
| PanAgora Market Neutral Fund 133 |
Offering costs The offering costs of $334,594 are being fully amortized on a straight-line basis over a twelve-month period. The fund will reimburse Putnam Management for the payment of these expenses.
Note 2: Management fee, administrative services and other transactions
The fund pays Putnam Management a management fee (based on the fund’s average net assets and computed and paid monthly) at annual rates that may vary based on the monthly average of the aggregate net assets of all open-end funds sponsored by Putnam Management for which PanAgora is acting as sub-adviser launched on or after the date of the fund’s management contract, as determined at the close of each business day during the month. Such annual rates may vary as follows:
| | | | |
| 1.300% | of the first $1 billion, | | 1.280% | of the next $2 billion and |
| 1.290% | of the next $2 billion, | | 1.270% | of any excess thereafter |
For the reporting period, the fee represented an effective rate (excluding the impact from any expense waivers in effect) of 0.573% of the fund’s average net assets.
Putnam Management has contractually agreed, through December 30, 2018, to waive fees or reimburse the fund’s expenses to the extent necessary to limit the cumulative expenses of the fund, exclusive of brokerage, interest, taxes, investment-related expenses, extraordinary expenses, acquired fund fees and expenses and payments under the fund’s investor servicing contract, investment management contract and distribution plans, on a fiscal year-to-date basis to an annual rate of 0.20% of the fund’s average net assets over such fiscal year-to-date period. During the reporting period, the fund’s expenses were reduced by $174,013 as a result of this limit.
PanAgora is authorized by the Trustees to make investment decisions for the assets of the fund as determined by Putnam Management from time to time. Putnam Management pays a quarterly sub-management fee to PanAgora for its services at an annual rate of 1.00% of the average net assets of the portion of the fund managed by PanAgora.
The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.
Custodial functions for the fund’s assets are provided by State Street. Custody fees are based on the fund’s asset level, the number of its security holdings and transaction volumes.
Putnam Investor Services, Inc., an affiliate of Putnam Management, provides investor servicing agent functions to the fund. Putnam Investor Services, Inc. received fees for investor servicing for class A, class B, class C, class M, class R and class Y shares that included (1) a per account fee for each direct and underlying non-defined contribution account (“retail account”) of the fund; (2) a specified rate of the fund’s assets attributable to defined contribution plan accounts; and (3) a specified rate based on the average net assets in retail accounts. Putnam Investor Services, Inc. has agreed that the aggregate investor servicing fees for each fund’s retail and defined contribution accounts for these share classes will not exceed an annual rate of 0.25% of the fund’s average assets attributable to such accounts.
Class R6 shares paid a monthly fee based on the average net assets of class R6 shares at an annual rate of 0.05%.
During the reporting period, the expenses for each class of shares related to investor servicing fees were as follows:
| | | | |
| Class A | $1,976 | | Class R | 2 |
| Class B | 2 | | Class R6 | 106 |
| Class C | 2 | | Class Y | 63 |
| Class M | 2 | | Total | $2,153 |
The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.’s and State Street’s fees are reduced by credits allowed on cash balances. For the reporting period, the fund’s expenses were reduced by $251 under the expense offset arrangements.
|
| 134 PanAgora Market Neutral Fund |
Each Independent Trustee of the fund receives an annual Trustee fee, of which $8, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees also are reimbursed for expenses they incur relating to their services as Trustees.
The fund has adopted a Trustee Fee Deferral Plan (the Deferral Plan) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.
The fund has adopted an unfunded noncontributory defined benefit pension plan (the Pension Plan) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee’s average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee’s lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Pension expense for the fund is included in Trustee compensation and expenses in the Statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003.
The fund has adopted distribution plans (the Plans) with respect to the following share classes pursuant to Rule 12b–1 under the Investment Company Act of 1940. The purpose of the Plans is to compensate Putnam Retail Management Limited Partnership, an indirect wholly-owned subsidiary of Putnam Investments, LLC, for services provided and expenses incurred in distributing shares of the fund. The Plans provide payments by the fund to Putnam Retail Management Limited Partnership at an annual rate of up to the following amounts (“Maximum %”) of the average net assets attributable to each class. The Trustees have approved payment by the fund at the following annual rate (“Approved %”) of the average net assets attributable to each class. During the reporting period, the class-specific expenses related to distribution fees were as follows:
| | | |
| | Maximum % | Approved % | Amount |
| Class A | 0.35% | 0.25% | $10,954 |
| Class B | 1.00% | 1.00% | 44 |
| Class C | 1.00% | 1.00% | 44 |
| Class M | 1.00% | 0.75% | 33 |
| Class R | 1.00% | 0.50% | 22 |
| Total | | | $11,097 |
For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $533 and no monies from the sale of class A and class M shares, respectively, and received no monies in contingent deferred sales charges from redemptions of class B and class C shares.
A deferred sales charge of up to 1.00% is assessed on certain redemptions of class A shares. For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received no monies on class A redemptions.
Note 3: Purchases and sales of securities
During the reporting period, the cost of purchases and the proceeds from sales, excluding short-term investments, were as follows:
| | |
| | Cost of purchases | Proceeds from sales |
| Investments in securities (Long-term) | $11,838,477 | $10,304,835 |
| U. S. government securities (Long-term) | — | — |
| Total | $11,838,477 | $10,304,835 |
|
| PanAgora Market Neutral Fund 135 |
Note 4: Capital shares
At the close of the reporting period, there were an unlimited number of shares of beneficial interest authorized. Transactions in capital shares were as follows:
| | |
| | | FOR THE PERIOD 9/21/17 |
| | | (COMMENCEMENT OF OPERATIONS) TO 2/28/18 |
| Class A | Shares | Amount |
| Shares sold | 1,312 | $13,155 |
| Shares issued in connection with reinvestment of distributions | — | — |
| | 1,312 | 13,155 |
| Shares repurchased | (3) | (25) |
| Net increase | 1,309 | $13,130 |
| |
| | | FOR THE PERIOD 9/21/17 |
| | | (COMMENCEMENT OF OPERATIONS) TO 2/28/18 |
| Class B | Shares | Amount |
| Shares sold | — | $— |
| Shares issued in connection with reinvestment of distributions | — | — |
| | — | — |
| Shares repurchased | — | — |
| Net increase (decrease) | — | $— |
| |
| | | FOR THE PERIOD 9/21/17 |
| | | (COMMENCEMENT OF OPERATIONS) TO 2/28/18 |
| Class C | Shares | Amount |
| Shares sold | — | $— |
| Shares issued in connection with reinvestment of distributions | — | — |
| | — | — |
| Shares repurchased | — | — |
| Net increase (decrease) | — | $— |
| |
| | | FOR THE PERIOD 9/21/17 |
| | | (COMMENCEMENT OF OPERATIONS) TO 2/28/18 |
| Class M | Shares | Amount |
| Shares sold | — | $— |
| Shares issued in connection with reinvestment of distributions | — | — |
| | — | — |
| Shares repurchased | — | — |
| Net increase (decrease) | — | $— |
| |
| | | FOR THE PERIOD 9/21/17 |
| | | (COMMENCEMENT OF OPERATIONS) TO 2/28/18 |
| Class R | Shares | Amount |
| Shares sold | — | $— |
| Shares issued in connection with reinvestment of distributions | — | — |
| | — | — |
| Shares repurchased | — | — |
| Net increase (decrease) | — | $— |
|
| 136 PanAgora Market Neutral Fund |
| | |
| | | FOR THE PERIOD 9/21/17 |
| | | (COMMENCEMENT OF OPERATIONS) TO 2/28/18 |
| Class R6 | Shares | Amount |
| Shares sold | 105,952 | $1,060,344 |
| Shares issued in connection with reinvestment of distributions | — | — |
| | 105,952 | 1,060,344 |
| Shares repurchased | (4,563) | (45,620) |
| Net increase | 101,389 | $1,014,724 |
| |
| | | FOR THE PERIOD 9/21/17 |
| | | (COMMENCEMENT OF OPERATIONS) TO 2/28/18 |
| Class Y | Shares | Amount |
| Shares sold | 44,006 | $440,714 |
| Shares issued in connection with reinvestment of distributions | — | — |
| | 44,006 | 440,714 |
| Shares repurchased | — | — |
| Net increase | 44,006 | $440,714 |
At the close of the reporting period, Putnam Investments, LLC owned the following shares of the fund:
| | | |
| | Shares owned | Percentage of ownership | Value |
| Class A | 994,000 | 99.87% | $9,830,660 |
| Class B | 1,000 | 100.00 | 9,854 |
| Class C | 1,000 | 100.00 | 9,854 |
| Class M | 1,000 | 100.00 | 9,865 |
| Class R | 1,000 | 100.00 | 9,875 |
| Class R6 | 1,000 | 0.98 | 9,900 |
| Class Y | 1,000 | 2.22 | 9,900 |
At the close of the reporting period, a shareholder of record owned 8.8% of the outstanding shares of the fund.
Note 5: Initial capitalization and offering of shares
The fund was established as a series of the Trust on September 20, 2017 and commenced operations on September 21, 2017. Prior to September 21, 2017, the fund had no operations other than those related to organizational matters, including as noted below, the initial capital contributions by Putnam Investments, LLC and issuance of shares:
| | |
| | Capital contribution | Shares issued |
| Class A | $9,940,000 | 994,000 |
| Class B | 10,000 | 1,000 |
| Class C | 10,000 | 1,000 |
| Class M | 10,000 | 1,000 |
| Class R | 10,000 | 1,000 |
| Class R6 | 10,000 | 1,000 |
| Class Y | 10,000 | 1,000 |
|
| PanAgora Market Neutral Fund 137 |
Note 6: Market, credit and other risks
In the normal course of business, the fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The fund may be exposed to additional credit risk that an institution or other entity with which the fund has unsettled or open transactions will default. The fund may invest in higher-yielding, lower-rated bonds that may have a higher rate of default.
Note 7: Summary of derivative activity
The volume of activity for the reporting period for any derivative type that was held during the period is listed below and was based on an average of the holdings at the end of each fiscal quarter:
| |
| OTC total return swap contracts (notional) | $56,600,000 |
The following is a summary of the fair value of derivative instruments as of the close of the reporting period:
| | | | |
| Fair value of derivative instruments as of the close of the reporting period | |
| | ASSET DERIVATIVES | LIABILITY DERIVATIVES |
| Derivatives not | | | | |
| accounted for as | Statement of | | Statement of | |
| hedging instruments | assets and | | assets and | |
| under ASC 815 | liabilities location | Fair value | liabilities location | Fair value |
| Equity contracts | Receivables | $644,653 | Payables | $614,830 |
| Total | | $644,653 | | $614,830 |
The following is a summary of realized and change in unrealized gains or losses of derivative instruments in the Statement of operations for the reporting period (Note 1):
| | |
| Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments | |
| Derivatives not accounted for as | | |
| hedging instruments under ASC 815 | Swaps | Total |
| Equity contracts | $(109,824) | $(109,824) |
| Total | $(109,824) | $(109,824) |
| |
| Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) |
| on investments | | |
| Derivatives not accounted for as | | |
| hedging instruments under ASC 815 | Swaps | Total |
| Equity contracts | $29,823 | $29,823 |
| Total | $29,823 | $29,823 |
|
| 138 PanAgora Market Neutral Fund |
Note 8: Offsetting of financial and derivative assets and liabilities
The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions or borrowing transactions associated with securities sold short, if any, see Note 1. For financial reporting purposes, the fund does not offset financial assets and financial liabilities that are subject to the master netting agreements in the Statement of assets and liabilities.
| | |
| | Morgan Stanley & Co. International PLC | Total |
| Assets: | | |
| OTC Total return swap contracts*# | $644,653 | $644,653 |
| Total Assets | $644,653 | $644,653 |
| Liabilities: | | |
| OTC Total return swap contracts*# | $614,830 | $614,830 |
| Total Liabilities | $614,830 | $614,830 |
| Total Financial and Derivative Net Assets | $29,823 | $29,823 |
| Total collateral received (pledged)†## | $(6,897,300) | |
| Net amount | $6,927,123 | |
| Controlled collateral received (including | | |
| TBA commitments)** | $— | $— |
| Uncontrolled collateral received | $— | $— |
| Collateral (pledged) (including TBA commitments) ** | $(6,897,300) | $(6,897,300) |
* Excludes premiums, if any. Included in unrealized appreciation and depreciation on OTC swap contracts on the Statement of assets and liabilities.
** Included with Investments in securities on the Statement of assets and liabilities.
† Additional collateral may be required from certain brokers based on individual agreements.
# Covered by master netting agreement (Note 1).
## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.
|
| PanAgora Market Neutral Fund 139 |
Fund information
Founded over 80 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage over 100 funds across income, value, blend, growth, asset allocation, absolute return, and global sector categories.
| | |
| Investment Manager | Trustees | Michael J. Higgins |
| Putnam Investment | Jameson A. Baxter, Chair | Vice President, Treasurer, |
| Management, LLC | Kenneth R. Leibler, Vice Chair | and Clerk |
| One Post Office Square | Liaquat Ahamed | |
| Boston, MA 02109 | Ravi Akhoury | Janet C. Smith |
| | Barbara M. Baumann | Vice President, |
| Investment Sub-Advisor | Katinka Domotorffy | Principal Financial Officer, |
| PanAgora Asset Management, Inc. | Catharine Bond Hill | Principal Accounting Officer, |
| 470 Atlantic Avenue | Paul L. Joskow | and Assistant Treasurer |
| Boston, MA 02210 | Robert E. Patterson | |
| | George Putnam, III | Susan G. Malloy |
| Marketing Services | Robert L. Reynolds | Vice President and |
| Putnam Retail Management | Manoj P. Singh | Assistant Treasurer |
| One Post Office Square | | |
| Boston, MA 02109 | Officers | Mark C. Trenchard |
| | Robert L. Reynolds | Vice President and |
| Custodian | President | BSA Compliance Officer |
| State Street Bank | | |
| and Trust Company | Jonathan S. Horwitz | Nancy E. Florek |
| | Executive Vice President, | Vice President, Director of |
| Legal Counsel | Principal Executive Officer, | Proxy Voting and Corporate |
| Ropes & Gray LLP | and Compliance Liaison | Governance, Assistant Clerk, |
| | | and Assistant Treasurer |
| | Robert T. Burns | |
| | Vice President and | Denere P. Poulack |
| | Chief Legal Officer | Assistant Vice President, Assistant |
| | | Clerk, and Assistant Treasurer |
| | James F. Clark | |
| | Vice President and | |
| | Chief Compliance Officer | |
This report is for the information of shareholders of Putnam PanAgora Market Neutral Fund. It may also be used as sales literature when preceded or accompanied by the current prospectus, the most recent copy of Putnam’s Quarterly Performance Summary, and Putnam’s Quarterly Ranking Summary. For more recent performance, please visit putnam.com. Investors should carefully consider the investment objectives, risks, charges, and expenses of a fund, which are described in its prospectus. For this and other information or to request a prospectus or summary prospectus, call 1-800-225-1581 toll free. Please read the prospectus care -fully before investing. The fund’s Statement of Additional Information contains additional information about the fund’s Trustees and is available without charge upon request by calling 1-800-225-1581.
| |
|
Item 3. Audit Committee Financial Expert: |
| |
|
Item 4. Principal Accountant Fees and Services: |
| |
|
Item 5. Audit Committee of Listed Registrants |
| |
|
Item 6. Schedule of Investments: |
| |
| The registrant's schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above. |
| |
| Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies: |
| |
|
Item 8. Portfolio Managers of Closed-End Investment Companies |
| |
|
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers: |
| |
|
Item 10. Submission of Matters to a Vote of Security Holders: |
| |
|
Item 11. Controls and Procedures: |
| |
| (a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms. |
| |
| (b) Changes in internal control over financial reporting: Not applicable |
| |
| (a)(2) Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith. |
| |
| (b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith. |
| |
| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. |
| |
| By (Signature and Title): |
| |
| /s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
|
| |
| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. |
| |
| By (Signature and Title): |
| |
| /s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
|
| |
| By (Signature and Title): |
| |
| /s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer
|
