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| UNITED STATES
SECURITIES AND EXCHANGE COMMISSION |
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| CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
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| Investment Company Act file number: | (811–07237) |
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| Exact name of registrant as specified in charter: | Putnam Investment Funds |
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| Address of principal executive offices: | 100 Federal Street, Boston, Massachusetts 02110 |
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| Name and address of agent for service: | Robert T. Burns, Vice President
100 Federal Street
Boston, Massachusetts 02110 |
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| Copy to: | Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036 |
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| Registrant's telephone number, including area code: | (617) 292–1000 |
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| Date of fiscal year end: | August 31, 2020 |
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| Date of reporting period: | September 1, 2019 — February 29, 2020 |
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Item 1. Report to Stockholders: | |
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| 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|29|20
IMPORTANT NOTICE: Delivery of paper fund reports
In accordance with regulations adopted by the Securities and Exchange Commission, beginning on January 1, 2021, reports like this one will no longer be sent by mail unless you specifically request it. Instead, they will be on Putnam’s website, and you will be notified by mail whenever a new one is available, and provided with a website link to access the report.
If you wish to stop receiving paper reports sooner, or if you wish to continue to receive paper reports free of charge after January 1, 2021, please see the back cover or insert for instructions. If you invest through a bank or broker, your choice will apply to all funds held in your account. If you invest directly with Putnam, your choice will apply to all Putnam funds in your account.
If you already receive these reports electronically, no action is required.
Message from the Trustees
April 9, 2020
Dear Fellow Shareholder:
After a period of gains and relative tranquility, global financial markets encountered considerable challenges in early 2020. In late February, as COVID-19, the disease caused by the coronavirus, spread into regions beyond China, global stock markets began to experience significant declines and turbulence. By mid-March, major U.S. indexes had fallen into bear market territory, defined as a 20% drop from a previous high. As often happens when stocks decline sharply, bonds generally provided better results. As investors rushed to safe havens, the yield on the benchmark 10-year U.S. Treasury note fell to historic lows. Central banks and governments worldwide have enacted measures to inject liquidity into the markets and restore confidence, including emergency interest-rate cuts.
Markets are working to assess the economic impact of the disease and the public health measures taken in response to it. It is still unclear what the costs will be and how long the effects of the COVID-19 pandemic will last, but history has shown that markets recover from downturns. For investors, we believe the most important course of action is to remain calm, stay focused on your long-term goals, and consult with your financial advisor. At Putnam, our investment professionals remain focused on actively managing fund portfolios with a research-intensive approach that includes risk management strategies.
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 periods, the fund had expense limitations, without which returns would have been lower. To obtain the most recent month-end performance, visit putnam.com.
*Returns for the six-month period are not annualized, but cumulative.
This comparison shows your fund’s performance in the context of broad market indexes for the six months ended 2/29/20. See above and pages 7–8 for additional fund performance information. Index descriptions can be found on pages 12–13.
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| 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 the 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 the Carroll Graduate School of Management at Boston College, 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.
Please review global market performance, beginning with equities.
For the six-month reporting period ended February 29, 2020, global equities gained 1.13% as measured by the MSCI All Country World Index [ND] [ACWI]. The asset class finished 2019 strongly due to continued optimism about the U.S.–China trade deal and a series of interest-rate cuts from the U.S. Federal Reserve [Fed]. At the start of 2020, global equities declined. The MSCI ACWI fell by 9.09% in the first two months of 2020. In February, equities reached an all-time high only to sell off later that month. Fears over the potential for a global outbreak of the coronavirus disease [COVID-19] to slow global economic growth further eroded investor confidence.
U.S. large-cap equities finished the six-month period up 1.92% as measured by the S&P 500 Index. Small-cap U.S. equities finished lower, with the Russell 2000 Index declining 0.52% over the same period. Although U.S. equities finished 2019 on a promising note, market turmoil battered the asset class after the amount of coro-navirus cases outside of mainland China surged. The S&P 500 Index notably declined by 11.44% in the last week of February 2020 as worries about the virus shook investor sentiment.
European equities lost 1.12% for the reporting period, as measured by the MSCI Europe Index
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| PanAgora Market Neutral Fund 3 |
Global composition
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 2/29/20. 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.
[ND]. Similar to U.S. equities, European equities suffered significant losses at the start of 2020. The spread of the coronavirus hit European equities hard after a sizeable outbreak occurred in northern Italy, business slowed in Milan, and fears of contagion rose. Travel and leisure stocks fell the most, given new border restrictions, grounded flights, and lower consumer demand.
Emerging-market equities finished the reporting period up 2.93%, as measured by the MSCI Emerging Markets Index [ND]. Improved U.S.–China trade relations helped boost the asset class. Emerging-market equities had declined at the start of 2020. However, promising reports of the coronavirus containment in China helped to reduce losses compared with developing markets.
How did fixed-income markets perform?
Bonds ended the final months of 2019 on a decline as investors favored riskier assets. As mentioned previously, the market environment changed drastically in the first two months of 2020. Bonds rallied considerably as the coronavirus moved from being a localized epidemic to a global pandemic. Prices for U.S.Treasuries rose as yields dropped to record lows. The yield on the bellwether 10-year U.S. Treasury note declined by approximately 80 basis points from the start of 2020 through the end of the reporting period, closing at a then-all-time low of 1.13%. The spike in volatility and drastic repricing of assets took place over a short period of time. It also followed the results of the January FOMC [Federal Open Market Committee] meeting in which the Fed indicated that the U.S. economy and labor market remained strong.
Across the Atlantic, yields for developed-market government debt moved in step with the United States as prices climbed. The yield on the benchmark 10-year German bund retreated further into negative territory and closed the period at –0.61%. The Bloomberg Barclays U.S. Treasury Index and FTSE World Government Bond Index ex-U.S. [Hedged] finished the period up 3.44% and 0.75%, respectively. Investment-grade credit and inflation-linked bonds also reflected demand for safer haven assets. The Bloomberg Barclays U.S. Credit Index and the Bloomberg Barclays World Government Inflation-Linked Bond Index [Hedged] gained 4.14% and 0.36%, respectively, for the period.
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| 4 PanAgora Market Neutral Fund |
How did commodities, the third source of the fund’s asset class diversification, perform?
The risk aversion stemming from coronavirus fears directly affected the prices of commodities. Both the S&P GSCI and the Bloomberg Commodity Index saw their positive gains from the end of 2019 get completely wiped out by the end of February 2020. The more heavily energy-weighted S&P GSCI lost 9.97%, while the more balanced Bloomberg Commodity Index lost 7.06%. The steep decline in prices reflected investor fears that the spread of the corona-virus would disrupt China’s economy and the country’s large demand for certain commodities. The main commodity sectors, with the exception of safe-haven precious metals, posted negative performance for the period, with energy and industrial metals declining the most.
How did the fund perform? Could you discuss some detractors and contributors to results?
Putnam PanAgora Market Neutral Fund posted a return of –5.66% for the six-month reporting period. The long-term portfolio was the largest detractor with most of the underperformance coming from U.S. smaller-capitalization-equity short positions. Intermediate- and short-term strategies contributed to performance for the period.
The long-term portfolio declined due to poor stock selection within the United States. On a sector-basis, U.S. consumer staples and communication services detracted the most. Our alpha model struggled in both sectors. Within staples, growth and quality metrics detracted from results. In communication services, sentiment metrics underperformed. The U.S. health-care sector was the fund’s top contributor. Good performance came from stock selection within the pharmaceuticals, biotechnology, and life sciences industry groups. The alpha model within the health-care sector benefited from the positive performance of the industry-specific model.
International positions slightly detracted from overall results. Positions in the Asia-Pacific region detracted the most. The alpha model did not perform well in the Asia-Pacific region due to poor performance of value and quality metrics. In terms of countries, South Korea and Taiwan detracted the most. Positive stock selection results came from Germany and the United Kingdom, making the European region the largest international fund contributor. The alpha model worked well in Europe, driven by the solid performance of value metrics.
The fund’s intermediate strategies contributed to returns with the majority of positive performance coming from U.S. merger-arbitrage-related trades within the technology sector. The fund’s short-term strategies contributed as well due to performance of the index-reconstitution and company-investors-meeting strategies.
How did the fund use derivatives?
We used total return swaps to take long or short positions in equity securities.
What is your outlook and portfolio strategy for the coming months?
The fund is designed to generate attractive absolute returns under different market conditions and over different time horizons. The fund uses a diversified set of strategies that have low correlation to one another. The resulting combination is expected to result in more stable returns over time than any individual strategy alone.
At period end, the majority of the fund’s allocation was within the long-term portfolio, which utilizes fundamental-based signals applied across a broad universe of stocks and will provide the majority of the fund’s return, in our
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| PanAgora Market Neutral Fund 5 |
view. Intermediate- and short-term strategies provide additional alpha based on the number of corporate and market events.
Thank you, George and Richard, for your time and insights today.
Past performance is not a guarantee of future results.
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 guarantee 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.
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. Any investments to which this material relates are available only to or will be engaged in only with investment professionals.
ABOUT DERIVATIVES
Derivatives are an increasingly common type of investment instrument, the performance of which isderivedfrom 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 positions in equity securities.
For example, the fund’s managers might 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.
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| 6 PanAgora Market Neutral Fund |
Your fund’s performance
This section shows your fund’s performance, price, and distribution information for periods ended February 29, 2020, 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.
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| Fund performanceTotal return for periods ended 2/29/20 | | |
| | Life of fund | Annual average | 1 year | 6 months |
| Class A(9/21/17) | | | | |
| Before sales charge | –18.30% | –7.95% | –10.71% | –5.66% |
| After sales charge | –23.00 | –10.15 | –15.84 | –11.08 |
| Class B(9/21/17) | | | | |
| Before CDSC | –19.70 | –8.60 | –11.37 | –5.86 |
| After CDSC | –22.11 | –9.73 | –15.80 | –10.57 |
| Class C(9/21/17) | | | | |
| Before CDSC | –19.70 | –8.60 | –11.37 | –5.86 |
| After CDSC | –19.70 | –8.60 | –12.25 | –6.80 |
| Class R(9/21/17) | | | | |
| Net asset value | –18.70 | –8.13 | –10.86 | –5.68 |
| Class R6(9/21/17) | | | | |
| Net asset value | –17.80 | –7.72 | –10.55 | –5.52 |
| Class Y(9/21/17) | | | | |
| Net asset value | –17.80 | –7.72 | –10.55 | –5.52 |
Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. After-sales-charge returns for class A shares reflect the deduction of the maximum 5.75% sales charge 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 periods, the fund had expense limitations, without which returns would have been lower.
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| PanAgora Market Neutral Fund 7 |
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| Comparative index returnsFor periods ended 2/29/20 | | |
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| | Life of fund | Annual average | 1 year | 6 months |
| ICE BofA U.S. | | | | |
| Treasury Bill Index | 4.90% | 1.98% | 2.27% | 0.97% |
| Lipper Alternative | | | | |
| Equity Market | | | | |
| Neutral Funds | –6.57 | –3.05 | –4.99 | –2.87 |
| category average* | | | | |
Index and Lipper results should be compared with fund performance before sales charge, before CDSC, or at net asset value.
*Over the 6-month, 1-year and life-of-fund periods ended 2/29/20, there were 70, 68, and 67 funds, respectively, in this Lipper category.
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| Fund price and distribution informationFor the six-month period ended 2/29/20 | |
| | Class A | Class B | Class C | Class R | Class R6 | Class Y |
| | Before | After | Net | Net | Net | Net | Net |
| | sales | sales | asset | asset | asset | asset | asset |
| Share value | charge | charge | value | value | value | value | value |
| 8/31/19 | $8.66 | $9.19 | $8.53 | $8.53 | $8.62 | $8.70 | $8.70 |
| 2/29/20 | 8.17 | 8.67 | 8.03 | 8.03 | 8.13 | 8.22 | 8.22 |
The classification of distributions, if any, is an estimate. Before-sales-charge share value and current dividend rate for class A 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) 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.
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| Fund performance as of most recent calendar quarterTotal return for periods ended 3/31/20 |
| | Life of fund | Annual average | 1 year | 6 months |
| Class A(9/21/17) | | | | |
| Before sales charge | –19.10% | –8.04% | –9.91% | –6.58% |
| After sales charge | –23.75 | –10.17 | –15.09 | –11.95 |
| Class B(9/21/17) | | | | |
| Before CDSC | –20.60 | –8.72 | –10.59 | –6.92 |
| After CDSC | –22.98 | –9.81 | –15.06 | –11.57 |
| Class C(9/21/17) | | | | |
| Before CDSC | –20.60 | –8.72 | –10.59 | –6.92 |
| After CDSC | –20.60 | –8.72 | –11.48 | –7.85 |
| Class R(9/21/17) | | | | |
| Net asset value | –19.60�� | –8.26 | –10.17 | –6.73 |
| Class R6(9/21/17) | | | | |
| Net asset value | –18.60 | –7.81 | –9.76 | –6.44 |
| Class Y(9/21/17) | | | | |
| Net asset value | –18.60 | –7.81 | –9.66 | –6.44 |
See the discussion following the fund performance table on page 7 for information about the calculation of fund performance.
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| 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. In the most recent six-month period, 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.
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| Expense ratios | | | | | | |
| | Class A | Class B | Class C | Class R | Class R6 | Class Y |
| Net expenses for the fiscal year | | | | | | |
| ended 8/31/19*† | 1.81% | 2.56% | 2.56% | 2.06% | 1.57% | 1.56% |
| Total annual operating expenses for the | | | | | | |
| fiscal year ended 8/31/19* | 3.31% | 4.06% | 4.06% | 3.56% | 3.07% | 3.06% |
| Annualized expense ratio for the | | | | | | |
| six-month period ended 2/29/20 | 1.79% | 2.54% | 2.54% | 2.04% | 1.55% | 1.54% |
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.
Prospectus expense information also includes the impact of acquired fund fees and expenses of 0.02%, which is not included in the financial highlights or annualized expense ratios. Expenses are shown as a percentage of average net assets.
*Other expenses have been restated to reflect current fees.
†Reflects Putnam Management’s contractual obligation to limit certain fund expenses through 12/30/20.
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 9/1/19 to 2/29/20. It also shows how much a $1,000 investment would be worth at the close of the period, assumingactual returnsand expenses.
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| | Class A | Class B | Class C | Class R | Class R6 | Class Y |
| Expenses paid per $1,000*† | $8.65 | $12.26 | $12.26 | $9.86 | $7.49 | $7.45 |
| Ending value (after expenses) | $943.40 | $941.40 | $941.40 | $943.20 | $944.80 | $944.80 |
*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 six months ended 2/29/20. 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.
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| PanAgora Market Neutral Fund 9 |
Estimate the expenses you paid
To estimate the ongoing expenses you paid for the six months ended 2/29/20, use the following calculation method. To find the value of your investment on 9/1/19, 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 ahypothetical 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.
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| | Class A | Class B | Class C | Class R | Class R6 | Class Y |
| Expenses paid per $1,000*† | $8.97 | $12.71 | $12.71 | $10.22 | $7.77 | $7.72 |
| Ending value (after expenses) | $1,015.96 | $1,012.23 | $1,012.23 | $1,014.72 | $1,017.16 | $1,017.21 |
*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 six months ended 2/29/20. 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.
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| 10 PanAgora Market Neutral Fund |
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. The value of investments in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political, or financial market conditions; investor sentiment and market perceptions; government actions; geopolitical events or changes; and factors related to a specific issuer, asset class, geography, industry, or sector. These and other factors may 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.
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| PanAgora Market Neutral Fund 11 |
Terms and definitions
Important terms
Total returnshows 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 chargeis 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.
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 sharesare generally subject to an initial sales charge and no CDSC (except on certain redemptions of shares bought without an initial sales charge).
Class B sharesare 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 sharesare not subject to an initial sales charge and are subject to a CDSC only if the shares are redeemed during the first year.
Class R sharesare not subject to an initial sales charge or CDSC and are only available to employer-sponsored retirement plans.
Class R6 sharesare not subject to an initial sales charge or CDSC and carry no 12b-1 fee. They are generally only available to employer-sponsored retirement plans, corporate and institutional clients, and clients in other approved programs.
Class Y sharesare 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 Indexis an unmanaged index of U.S. dollar-denominated, investment-grade fixed-income securities.
Bloomberg Barclays U.S. Credit Indexis an unmanaged index of U.S. dollar-denominated, investment-grade, fixed-rate, taxable corporate and government-related bonds.
Bloomberg Barclays U.S. Treasury Indexis an unmanaged index of U.S.-dollar-denominated, fixed-rate, nominal debt issued by the U.S. Treasury.
Bloomberg Barclays World Government Inflation-Linked Bond (ILB) Index (Hedged)is an unmanaged index that tracks the performance of government inflation-protected securities.
Bloomberg Commodity Indexis a broadly diversified index that measures the prices of commodities.
FTSE World Government Bond Index (WGBI) ex-U.S. (Hedged)is an unmanaged index that represents the world bond market, excluding the United States.
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| 12 PanAgora Market Neutral Fund |
ICE BofA (Intercontinental Exchange Bank of America) U.S. Treasury Bill Indexis 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 ACWI (All Country World Index) (ND)is a free float-adjusted market capitalization index that is designed measure equity market performance in the global developed and emerging markets. Calculated with net dividends, 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.
MSCI Emerging Markets Index (ND)is a free float-adjusted market capitalization index that is designed to measure equity market performance in 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.
MSCI Europe Index (ND)is an unmanaged index of Western European equity securities. 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 2000 Indexis an unmanaged index of 2,000 small companies in the Russell 3000 Index.
S&P 500 Indexis an unmanaged index of common stock performance.
S&P GSCIis a composite index of commodity sector returns that represents a broadly diversified, unleveraged, long-only position in commodity futures.
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.
ICE Data Indices, LLC (“ICE BofA”), used with permission. ICE BofA permits use of the ICE BofA 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 BofA 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.
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.
Lipperis 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.
|
| PanAgora Market Neutral Fund 13 |
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, 2019, are 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 andprocedures 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-PORT within 60 days of the end of such fiscal quarter. Shareholders may obtain the fund’s Form N-PORT on the SEC’s website at www.sec.gov.
Prior to its use of Form N-PORT, the fund filed its complete schedule of its portfolio holdings with the SEC on Form N-Q, which is available online at www.sec.gov.
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 29, 2020, Putnam employees had approximately $449,000,000 and the Trustees had approximately $74,000,000 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.
| |
| 14 PanAgora Market Neutral Fund |
Financial statements
These sections of the report, as well as the accompanying Notes, constitute the fund’s financial statements.
The fund’s portfoliolists 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 liabilitiesshows 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 operationsshows 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 toor subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal period.
Statement of changes in net assetsshows 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 highlightsprovide 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.
|
| PanAgora Market Neutral Fund 15 |
| | |
| The fund’s portfolio2/29/20 (Unaudited) | | |
| |
| UNITS (2.5%)* | Units | Value |
| Amplitude Healthcare Acquisition Corp. † | 2,947 | $30,590 |
| CHP Merger Corp. † | 1,898 | 19,796 |
| Churchill Capital Corp. III † | 374 | 3,908 |
| CIIG Merger Corp. † | 2,780 | 28,773 |
| East Stone Acquisition Corp. † | 2,904 | 28,982 |
| Greenrose Acquisition Corp. † | 2,903 | 29,030 |
| InterPrivate Acquisition Corp. † | 2,918 | 29,764 |
| LIV Capital Acquisition Corp. (Mexico) † | 2,822 | 28,502 |
| PropTech Acquisition Corp. † | 1,896 | 20,098 |
| SCVX Corp. † | 1,124 | 11,566 |
| Total units (cost $226,752) | | $231,009 |
| |
| INVESTMENT COMPANIES (0.7%)* | Shares | Value |
| Morgan Stanley Emerging Markets Domestic Debt Fund, Inc. † | 640 | $4,096 |
| State Street Institutional U.S. Government Money Market Fund | 59,360 | 59,360 |
| Total investment companies (cost $63,854) | | $63,456 |
| |
| SHORT-TERM INVESTMENTS (99.9%)* | Principal amount | Value |
| U.S. Treasury Bills with an effective yield of 1.533%, 5/7/20 ∆ | $4,850,000 | $4,838,439 |
| U.S. Treasury Bills with an effective yield of 1.526%, 8/6/20 | 4,550,000 | 4,527,180 |
| Total short-term investments (cost $9,356,004) | | $9,365,619 |
| |
| TOTAL INVESTMENTS | | |
| Total investments (cost $9,646,610) | | $9,660,084 |
| |
| Key to holding’s abbreviations |
| | |
| ETF/Etf | Exchange Traded Fund |
| JSC/Jsc | Joint Stock Company |
| OTC | Over-the-counter |
| PJSC/Pjsc | Public Joint Stock Company |
| 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 1, 2019 through February 29, 2020 (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 820Fair Value Measurements and Disclosures.
*Percentages indicated are based on net assets of $9,379,553.
†This security is non-income-producing.
∆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 $4,218,788 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 7).
At the close of the reporting period, the fund maintained liquid assets totaling $27,128 to cover certain derivative contracts.
The dates shown on debt obligations are the original maturity dates.
| |
| 16 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 | | | | |
| $46,614 | $47,698 | $— | 1/28/25 | (Federal Funds | 1–800-Flowers.com | $1,028 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 12,909 | 13,213 | — | 1/28/25 | (Federal Funds | 2U Inc — Monthly | 302 |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 23,209 | 22,840 | — | 1/28/25 | (Federal Funds | 58.com Inc — | (396) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 7,087 | 6,764 | — | 1/28/25 | (Federal Funds | Aberdeen Income | (260) |
| | | | | Effective Rate US | Credit Strategies | |
| | | | | plus 0.25%) — | Fund — Monthly | |
| | | | | Monthly | | |
| 7,859 | 6,630 | — | 1/28/25 | (Federal Funds | Abivax Sa — Monthly | (1,242) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 42,240 | 42,339 | — | 1/28/25 | (Federal Funds | Acacia | 39 |
| | | | | Effective Rate US | Communications | |
| | | | | plus 0.25%) — | Inc — Monthly | |
| | | | | Monthly | | |
| — | — | — | 1/28/25 | (Federal Funds | Achillion | — |
| | | | | Effective Rate US | Pharmaceutical — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 13,475 | 13,309 | — | 1/28/25 | (Federal Funds | Acs Actividades | (188) |
| | | | | Effective Rate US | Construccion Y | |
| | | | | plus 0.25%) — | Servicios Sa — | |
| | | | | Monthly | Monthly | |
| 50,631 | 52,176 | — | 1/28/25 | (Federal Funds | Adamas | 1,460 |
| | | | | Effective Rate US | Pharmaceuticals | |
| | | | | plus 0.25%) — | Inc — Monthly | |
| | | | | Monthly | | |
| 31,706 | 32,699 | — | 1/28/25 | (Federal Funds | Adaptimmune | 942 |
| | | | | Effective Rate US | Therapeutics Plc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 37,941 | 38,006 | — | 1/28/25 | (Federal Funds | Adesto | 65 |
| | | | | Effective Rate US | Technologies | |
| | | | | plus 0.25%) — | Corp — Monthly | |
| | | | | Monthly | | |
| 24,408 | 22,855 | — | 1/28/25 | (Federal Funds | Admiral Group Plc — | (1,580) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 17 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $43,950 | $44,003 | $— | 1/28/25 | (Federal Funds | Advanced Disposal | $(8) |
| | | | | Effective Rate US | Services Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 36,947 | 35,383 | — | 1/27/20 | (Federal Funds | Advanced Micro | (1,605) |
| | | | | Effective Rate US | Devices — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 22,028 | 22,033 | — | 1/28/25 | (Federal Funds | Advanced | (45) |
| | | | | Effective Rate US | Petrochemicals | |
| | | | | plus 1.20%) — | Co — Monthly | |
| | | | | Monthly | | |
| 6,728 | 6,439 | — | 1/28/25 | (Federal Funds | Advent Convertible | (256) |
| | | | | Effective Rate US | & Income — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 66,986 | 57,449 | — | 1/28/25 | (Federal Funds | Agenus Inc — | (9,677) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 18,512 | 18,266 | — | 1/28/25 | (Federal Funds | Agilent | (275) |
| | | | | Effective Rate US | Technologies Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 23,424 | 23,447 | — | 1/28/25 | (Federal Funds | Agility Public | (31) |
| | | | | Effective Rate US | Warehousing Co | |
| | | | | plus 1.20%) — | Kscp — Monthly | |
| | | | | Monthly | | |
| 11,531 | 11,181 | — | 1/28/25 | (Federal Funds | Aida Engineering | (367) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 37,729 | 34,574 | — | 1/28/25 | (Federal Funds | Airgain Inc — | (3,214) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 10,384 | 9,923 | — | 1/30/20 | (Federal Funds | Airtac International | (462) |
| | | | | Effective Rate US | Group — Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 10,402 | 9,638 | — | 1/28/25 | (Federal Funds | Akzo Nobel Nv — | (781) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 43,463 | 40,044 | — | 1/28/25 | (Federal Funds | Albany International | (3,483) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| |
| 18 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $20,716 | $19,061 | $— | 1/28/25 | (Federal Funds | Aldeyra | $(1,705) |
| | | | | Effective Rate US | Therapeutics Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 47,277 | 41,379 | — | 1/28/25 | (Federal Funds | Alexander & Baldwin | (5,966) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 6,196 | 5,906 | — | 1/28/25 | (Federal Funds | Alfresa Holdings | (299) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 19,622 | 19,552 | — | 1/28/25 | (Federal Funds | Alibaba Group | (97) |
| | | | | Effective Rate US | Holding Ltd — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 7,964 | 7,642 | — | 1/27/20 | (Federal Funds | Align Technology | (334) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 78,242 | 77,221 | — | 1/28/25 | (Federal Funds | Allergan Plc — | (911) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 9,718 | 9,566 | — | 1/28/25 | (Federal Funds | Alliance Global | (171) |
| | | | | Effective Rate US | Group Inc — Monthly | |
| | | | | plus 0.75%) — | | |
| | | | | Monthly | | |
| 10,764 | 9,665 | — | 1/28/25 | (Federal Funds | Allianzgi Convertible | (1,063) |
| | | | | Effective Rate US | & Income Fund — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 5,538 | 4,999 | — | 1/28/25 | (Federal Funds | Allianzgi Convertible | (516) |
| | | | | Effective Rate US | & Income Fund Ii — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 3,406 | 3,019 | — | 1/28/25 | (Federal Funds | Allianzgi Diversified | (380) |
| | | | | Effective Rate US | Income — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 21,443 | 20,787 | — | 1/28/25 | (Federal Funds | Allison Transmission | (683) |
| | | | | Effective Rate US | Holdings Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 18,170 | 16,524 | — | 1/28/25 | (Federal Funds | Allstate Corp — | (1,587) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 19 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $6,352 | $5,919 | $— | 1/28/25 | (Federal Funds | Alpen Co Ltd — | $(442) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 43,499 | 44,737 | — | 1/28/25 | (Federal Funds | Alpha & Omega | 1,162 |
| | | | | Effective Rate US | Semiconductor | |
| | | | | plus 0.25%) — | Ltd — Monthly | |
| | | | | Monthly | | |
| 30,590 | 29,464 | — | 1/28/25 | (Federal Funds | Alphabet Inc — | (1,172) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 27,690 | 26,626 | — | 1/28/25 | (Federal Funds | Altium Ltd — | (942) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 14,933 | 14,953 | — | 1/28/25 | (Federal Funds | Amada Holdings Co | (4) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 10,047 | 9,757 | — | 1/28/25 | (Federal Funds | Amag | (307) |
| | | | | Effective Rate US | Pharmaceuticals | |
| | | | | plus 0.25%) — | Inc — Monthly | |
| | | | | Monthly | | |
| 5,077 | 4,914 | — | 1/28/25 | (Federal Funds | Amano Corp — | (172) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 25,735 | 24,489 | — | 1/28/25 | (Federal Funds | Amazon.com Inc — | (1,280) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 33,417 | 31,000 | — | 1/28/25 | (Federal Funds | American Express | (2,432) |
| | | | | Effective Rate US | Co — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 15,444 | 13,989 | — | 1/28/25 | (Federal Funds | Ameriprise Financial | (1,382) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 27,457 | 24,706 | — | 1/28/25 | (Federal Funds | Amerisourcebergen | (2,665) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 33,027 | 32,004 | — | 1/28/25 | (Federal Funds | Amicus | (1,066) |
| | | | | Effective Rate US | Therapeutics Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| |
| 20 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $36,547 | $36,564 | $— | 1/28/25 | (Federal Funds | Amkor Technology | $(41) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 4,272 | 4,170 | — | 1/28/25 | (Federal Funds | Amuse Inc — | (109) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 1,722 | 1,630 | — | 1/28/25 | (Federal Funds | Anaptysbio Inc — | (95) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 24,220 | 23,623 | — | 1/28/25 | (Federal Funds | Angiodynamics | (637) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 3,670 | 3,519 | — | 1/28/25 | (Federal Funds | Apollo Senior | (134) |
| | | | | Effective Rate US | Floating Rate Fund | |
| | | | | plus 0.25%) — | Inc — Monthly | |
| | | | | Monthly | | |
| 10,535 | 9,841 | — | 8/31/20 | (Federal Funds | Apple Inc — Monthly | (683) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 43,762 | 42,413 | — | 1/28/25 | (Federal Funds | Arcbest Corp — | (1,253) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 30,601 | 29,168 | — | 1/28/25 | (Federal Funds | Arena | (1,473) |
| | | | | Effective Rate US | Pharmaceuticals | |
| | | | | plus 0.25%) — | Inc — Monthly | |
| | | | | Monthly | | |
| 9,292 | 8,900 | — | 1/28/25 | (Federal Funds | Argo Graphics Inc — | (405) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 51,274 | 47,271 | — | 1/28/25 | (Federal Funds | Artisan Partners | (3,088) |
| | | | | Effective Rate US | Asset Management | |
| | | | | plus 0.25%) — | Inc — Monthly | |
| | | | | Monthly | | |
| 11,774 | 10,974 | — | 1/28/25 | (Federal Funds | Ascom Holding Ag — | (817) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 27,813 | 25,515 | — | 1/28/25 | (Federal Funds | Ashtead Group | (2,259) |
| | | | | Effective Rate US | Plc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 21 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $20,691 | $20,506 | $— | 1/28/25 | (Federal Funds | Asia Cement Corp — | $(186) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 36,891 | 33,252 | — | 1/28/25 | (Federal Funds | Asm International | (3,691) |
| | | | | Effective Rate US | Nv — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 6,520 | 6,301 | — | 1/28/25 | (Federal Funds | Astellas Pharma | (229) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 12,418 | 12,151 | — | 1/28/25 | (Federal Funds | Asustek Computer | (268) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 8,569 | 9,629 | — | 1/28/25 | (Federal Funds | Atresmedia | 1,046 |
| | | | | Effective Rate US | Corporacion | |
| | | | | plus 0.25%) — | de Medios de | |
| | | | | Monthly | Comunicacion Sa — | |
| | | | | | Monthly | |
| 4,455 | 4,968 | — | 1/28/25 | (Federal Funds | Audi Ag — Monthly | 507 |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 14,490 | 13,804 | — | 1/28/25 | (Federal Funds | Aurizon Holdings | (431) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 7,675 | 7,598 | — | 1/28/25 | (Federal Funds | Australian Pharma | (89) |
| | | | | Effective Rate US | Indus Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 6,061 | 5,641 | — | 1/28/25 | (Federal Funds | Avex Inc — Monthly | (430) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 11,095 | 10,169 | — | 1/28/25 | (Federal Funds | Aviva Plc — Monthly | (926) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 4,645 | 4,387 | — | 1/27/20 | (Federal Funds | Avnet Inc — Monthly | (266) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 22,268 | 22,072 | — | 1/28/25 | (Federal Funds | B&M European | (222) |
| | | | | Effective Rate US | Value Retail Sa — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| |
| 22 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $10,520 | $9,801 | $— | 1/28/25 | (Federal Funds | Baic Motor Corp | $(733) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 18,892 | 17,475 | — | 1/28/25 | (Federal Funds | Balfour Beatty Plc — | (1,442) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 13,805 | 12,774 | — | 1/28/25 | (Federal Funds | Bancfirst Corp — | (1,048) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 24,075 | 22,401 | — | 1/28/25 | (Federal Funds | Bank Of America | (1,711) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 11,968 | 11,501 | — | 1/28/25 | (Federal Funds | Bank Of Commerce | (484) |
| | | | | Effective Rate US | Holdings — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 43,367 | 40,342 | — | 1/28/25 | (Federal Funds | Bank Of Marin | (2,849) |
| | | | | Effective Rate US | Bancorp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 59,748 | 54,768 | — | 1/28/25 | (Federal Funds | Banner Corp — | (5,067) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 50,870 | 46,542 | — | 1/28/25 | (Federal Funds | Barrett Business | (4,420) |
| | | | | Effective Rate US | Services Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 20,865 | 20,061 | — | 1/28/25 | (Federal Funds | Baudax Bio Inc — | (840) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 17,426 | 17,048 | — | 1/28/25 | (Federal Funds | Bavarian Nordic | (401) |
| | | | | Effective Rate US | As — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 40,727 | 39,700 | — | 1/28/25 | (Federal Funds | Bbx Capital Corp — | (1,090) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 5,084 | 4,514 | — | 1/28/25 | (Federal Funds | Beauty Garage Inc — | (579) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 23 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $8,774 | $8,094 | $— | 1/28/25 | (Federal Funds | Beenos Inc — | $(694) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 22,600 | 22,644 | — | 6/19/20 | (Federal Funds | Beigene Ltd — | 13 |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 14,620 | 14,040 | — | 1/28/25 | (Federal Funds | Beijing Capital | (600) |
| | | | | Effective Rate US | International Airport | |
| | | | | plus 0.25%) — | Co Ltd — Monthly | |
| | | | | Monthly | | |
| 20,051 | 18,774 | — | 1/28/25 | (Federal Funds | Berkeley Group | (1,306) |
| | | | | Effective Rate US | Holdings/The — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 27,284 | 25,116 | — | 1/28/25 | (Federal Funds | Best Buy Co Inc — | (2,209) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 18,573 | 16,741 | — | 1/28/25 | (Federal Funds | Bid Corp Ltd — | (1,868) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.60%) — | | |
| | | | | Monthly | | |
| 11,324 | 10,581 | — | 1/28/25 | (Federal Funds | Bilia Ab — Monthly | (760) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 19,040 | 18,769 | — | 1/28/25 | (Federal Funds | Biodelivery | (309) |
| | | | | Effective Rate US | Sciences | |
| | | | | plus 0.25%) — | International Inc — | |
| | | | | Monthly | Monthly | |
| 39,453 | 39,037 | — | 1/28/25 | (Federal Funds | Biohaven | (477) |
| | | | | Effective Rate US | Pharmaceutical | |
| | | | | plus 0.25%) — | Holding Co Ltd — | |
| | | | | Monthly | Monthly | |
| 9,391 | 8,740 | — | 1/28/25 | (Federal Funds | Biotage Ab — | (664) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 43,148 | 40,529 | — | 1/28/25 | (Federal Funds | Bj’s Restaurants | (2,691) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 4,373 | 4,339 | — | 1/28/25 | (Federal Funds | Blackrock California | (29) |
| | | | | Effective Rate US | Municipal Income | |
| | | | | plus 0.25%) — | Trust — Monthly | |
| | | | | Monthly | | |
| |
| 24 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $24,948 | $23,870 | $— | 1/28/25 | (Federal Funds | Blackrock | $(935) |
| | | | | Effective Rate US | Corporate High | |
| | | | | plus 0.25%) — | Yield Fund Inc — | |
| | | | | Monthly | Monthly | |
| 7,515 | 7,124 | — | 1/28/25 | (Federal Funds | Blackrock Debt | (354) |
| | | | | Effective Rate US | Strategies Fund | |
| | | | | plus 0.25%) — | Inc — Monthly | |
| | | | | Monthly | | |
| 13,637 | 13,023 | — | 1/28/25 | (Federal Funds | Blackrock Floating | (552) |
| | | | | Effective Rate US | Rate Income | |
| | | | | plus 0.25%) — | Strategies Fund | |
| | | | | Monthly | Inc — Monthly | |
| 3,953 | 3,754 | — | 1/28/25 | (Federal Funds | Blackrock Floating | (180) |
| | | | | Effective Rate US | Rate Income Trust — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 4,076 | 3,808 | — | 1/28/25 | (Federal Funds | Blackrock Municipal | (260) |
| | | | | Effective Rate US | Income Trust — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 2,108 | 2,072 | — | 1/28/25 | (Federal Funds | Blackrock Municipal | (30) |
| | | | | Effective Rate US | Income Quality | |
| | | | | plus 0.25%) — | Trust — Monthly | |
| | | | | Monthly | | |
| 2,750 | 2,700 | — | 1/28/25 | (Federal Funds | Blackrock | (49) |
| | | | | Effective Rate US | Munienhanced Fund | |
| | | | | plus 0.25%) — | Inc — Monthly | |
| | | | | Monthly | | |
| 2,865 | 2,824 | — | 1/28/25 | (Federal Funds | Blackrock | (40) |
| | | | | Effective Rate US | Muniholdings New | |
| | | | | plus 0.25%) — | Jersey Quality Fund | |
| | | | | Monthly | Inc — Monthly | |
| 2,635 | 2,609 | — | 1/28/25 | (Federal Funds | Blackrock | (21) |
| | | | | Effective Rate US | Muniholdings | |
| | | | | plus 0.25%) — | Quality Fund Ii — | |
| | | | | Monthly | Monthly | |
| 6,524 | 6,421 | — | 1/28/25 | (Federal Funds | Blackrock | (101) |
| | | | | Effective Rate US | Muniholdings | |
| | | | | plus 0.25%) — | Quality Fund — | |
| | | | | Monthly | Monthly | |
| 1,988 | 1,947 | — | 1/28/25 | (Federal Funds | Blackrock | (37) |
| | | | | Effective Rate US | Muniholdings | |
| | | | | plus 0.25%) — | Quality Fund — | |
| | | | | Monthly | Monthly | |
| 4,917 | 4,768 | — | 1/28/25 | (Federal Funds | Blackrock Munivest | (143) |
| | | | | Effective Rate US | Fund Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 25 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $2,235 | $2,164 | $— | 1/28/25 | (Federal Funds | Blackrock Munivest | $(67) |
| | | | | Effective Rate US | Fund Ii Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 3,719 | 3,663 | — | 1/28/25 | (Federal Funds | Blackrock Muniyield | (52) |
| | | | | Effective Rate US | California Quality | |
| | | | | plus 0.25%) — | Fund Inc — Monthly | |
| | | | | Monthly | | |
| 4,569 | 4,445 | — | 1/28/25 | (Federal Funds | Blackrock Muniyield | (117) |
| | | | | Effective Rate US | Fund Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 1,990 | 1,968 | — | 1/28/25 | (Federal Funds | Blackrock Muniyield | (20) |
| | | | | Effective Rate US | Michigan Quality | |
| | | | | plus 0.25%) — | Fund Inc — Monthly | |
| | | | | Monthly | | |
| 2,357 | 2,310 | — | 1/28/25 | (Federal Funds | Blackrock Muniyield | (41) |
| | | | | Effective Rate US | New Jersey Fund | |
| | | | | plus 0.25%) — | Inc — Monthly | |
| | | | | Monthly | | |
| 2,744 | 2,702 | — | 1/28/25 | (Federal Funds | Blackrock Muniyield | (37) |
| | | | | Effective Rate US | Quality Fund Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 5,382 | 5,344 | — | 1/28/25 | (Federal Funds | Blackrock Muniyield | (22) |
| | | | | Effective Rate US | Quality Fund Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 15,953 | 15,068 | — | 1/28/25 | (Federal Funds | Blackrock Taxable | (839) |
| | | | | Effective Rate US | Municipal Bond | |
| | | | | plus 0.25%) — | Trust — Monthly | |
| | | | | Monthly | | |
| 11,068 | 10,488 | — | 1/28/25 | (Federal Funds | Blackstone/Gso | (515) |
| | | | | Effective Rate US | Strategic Credit | |
| | | | | plus 0.25%) — | Fund — Monthly | |
| | | | | Monthly | | |
| 5,544 | 5,394 | — | 1/28/25 | (Federal Funds | Bml Inc — Monthly | (158) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 3,695 | 3,498 | — | 1/28/25 | (Federal Funds | Bny Mellon Strategic | (185) |
| | | | | Effective Rate US | Municipals Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 4,089 | 3,935 | — | 1/28/25 | (Federal Funds | Bny Mellon Strategic | (144) |
| | | | | Effective Rate US | Municpal Bond | |
| | | | | plus 0.25%) — | Fund — Monthly | |
| | | | | Monthly | | |
| |
| 26 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $10,132 | $9,833 | $— | 1/28/25 | (Federal Funds | Bogota Financial | $(314) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 9,879 | 9,447 | — | 1/28/25 | (Federal Funds | Bollore — Monthly | (448) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 7,692 | 6,202 | — | 1/28/25 | (Federal Funds | Bombardier Inc — | (1,502) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 22,597 | 23,637 | — | 1/28/25 | (Federal Funds | Borgwarner Inc — | 1,130 |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 22,531 | 22,553 | — | 1/28/25 | (Federal Funds | Boubyan Bank | (28) |
| | | | | Effective Rate US | Kscp — Monthly | |
| | | | | plus 1.20%) — | | |
| | | | | Monthly | | |
| 15,543 | 15,558 | — | 1/28/25 | (Federal Funds | Boubyan | (21) |
| | | | | Effective Rate US | Petrochemicals Co | |
| | | | | plus 1.20%) — | Kscp — Monthly | |
| | | | | Monthly | | |
| 60,115 | 67,218 | — | 1/28/25 | (Federal Funds | Box Inc — Monthly | 7,023 |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 24,354 | 23,612 | — | 1/28/25 | (Federal Funds | Boyd Gaming | (809) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 7,677 | 7,328 | — | 1/28/25 | (Federal Funds | Bpost Sa — Monthly | (363) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 18,242 | 17,539 | — | 1/28/25 | (Federal Funds | Br Malls | (733) |
| | | | | Effective Rate US | Participacoes Sa — | |
| | | | | plus 0.65%) — | Monthly | |
| | | | | Monthly | | |
| 2,913 | 2,816 | — | 1/28/25 | (Federal Funds | Brandywineglobal | (85) |
| | | | | Effective Rate US | Global Income | |
| | | | | plus 0.25%) — | Opportunities Fund | |
| | | | | Monthly | Inc — Monthly | |
| 10,245 | 10,030 | — | 1/28/25 | (Federal Funds | Bridgestone Corp — | (33) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 27 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $1,567 | $1,504 | $— | 1/28/25 | (Federal Funds | Bristol-Myers | $(65) |
| | | | | Effective Rate US | Squibb Co — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 17,930 | 17,068 | — | 1/28/25 | (Federal Funds | Bristol-Myers | (619) |
| | | | | Effective Rate US | Squibb Co — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 22,342 | 21,026 | — | 1/28/25 | (Federal Funds | Brookfield Real | (1,140) |
| | | | | Effective Rate US | Assets Income Fund | |
| | | | | plus 0.25%) — | Inc — Monthly | |
| | | | | Monthly | | |
| 17,265 | 15,800 | — | 8/31/20 | (Federal Funds | Brunswick Corp — | (1,403) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 18,068 | 18,086 | — | 1/28/25 | (Federal Funds | Burgan Bank Sak — | (23) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 1.20%) — | | |
| | | | | Monthly | | |
| 8,363 | 7,692 | — | 1/28/25 | (Federal Funds | C&C Group Plc — | (683) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 7,711 | 6,996 | — | 1/28/25 | (Federal Funds | Cac Holdings | (584) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 11,365 | 10,781 | — | 1/28/25 | (Federal Funds | Caci International | (601) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 27,552 | 26,456 | — | 1/28/25 | (Federal Funds | Cadence Design | (1,137) |
| | | | | Effective Rate US | Systems Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 47,099 | 46,226 | — | 1/28/25 | (Federal Funds | Caesars | (943) |
| | | | | Effective Rate US | Entertainment | |
| | | | | plus 0.25%) — | Corp — Monthly | |
| | | | | Monthly | | |
| 8,109 | 7,895 | — | 1/28/25 | (Federal Funds | Cafe De Coral | (226) |
| | | | | Effective Rate US | Holdings Ltd — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 4,140 | 3,750 | — | 1/28/25 | (Federal Funds | Calamos Dynamic | (363) |
| | | | | Effective Rate US | Convertible & | |
| | | | | plus 0.25%) — | Income Fund — | |
| | | | | Monthly | Monthly | |
| |
| 28 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $10,458 | $10,247 | $— | 1/28/25 | (Federal Funds | Calbee Inc — | $(230) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 33,441 | 32,351 | — | 1/28/25 | (Federal Funds | Campbell Soup | (1,138) |
| | | | | Effective Rate US | Co — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 5,103 | 5,069 | — | 1/28/25 | (Federal Funds | Canon Inc — | 89 |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 13,150 | 11,832 | — | 1/28/25 | (Federal Funds | Capita Plc — | (1,319) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 12,007 | 11,539 | — | 1/28/25 | (Federal Funds | Capital City Bank | (485) |
| | | | | Effective Rate US | Group Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 31,373 | 29,832 | — | 1/28/25 | (Federal Funds | Capital One | (1,454) |
| | | | | Effective Rate US | Financial Corp — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 29,773 | 29,185 | — | 1/28/25 | (Federal Funds | Card Factory Plc — | (623) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 25,554 | 24,409 | — | 1/28/25 | (Federal Funds | Carlisle Cos Inc — | (1,099) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 11,082 | 10,621 | — | 1/28/25 | (Federal Funds | Carlsberg As — | (478) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 9,096 | 8,554 | — | 1/28/25 | (Federal Funds | Carnival Plc — | (421) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 7,329 | 7,447 | — | 1/28/25 | (Federal Funds | Cawachi Ltd — | 107 |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 16,225 | 14,842 | — | 1/28/25 | (Federal Funds | Cd Projekt Sa — | (1,410) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.70%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 29 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $25,467 | $23,301 | $— | 1/28/25 | (Federal Funds | Cdw Corp — | $(2,127) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 16,767 | 15,455 | — | 1/28/25 | (Federal Funds | Cedar Realty Trust | (1,037) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 45,849 | 42,467 | — | 1/28/25 | (Federal Funds | Central Valley | (3,179) |
| | | | | Effective Rate US | Comm Bancorp — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 43,249 | 39,042 | — | 1/28/25 | (Federal Funds | Century Bancorp | (4,209) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 10,774 | 9,748 | — | 1/28/25 | (Federal Funds | Cerence Inc — | (1,041) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 19,238 | 19,243 | — | 1/28/25 | (Federal Funds | Charoen Pokphand | (30) |
| | | | | Effective Rate US | Foods Pcl — Monthly | |
| | | | | plus 0.75%) — | | |
| | | | | Monthly | | |
| 35,687 | 33,976 | — | 1/28/25 | (Federal Funds | Chevron Corp — | (1,286) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 10,130 | 9,375 | — | 1/28/25 | (Federal Funds | China Energy | (766) |
| | | | | Effective Rate US | Engineering Co | |
| | | | | plus 0.25%) — | Ltd — Monthly | |
| | | | | Monthly | | |
| 16,679 | 16,010 | — | 1/28/25 | (Federal Funds | China Medical | (695) |
| | | | | Effective Rate US | System Holdings | |
| | | | | plus 0.25%) — | Ltd — Monthly | |
| | | | | Monthly | | |
| 7,068 | 6,829 | — | 1/28/25 | (Federal Funds | Chong Kun Dang | (250) |
| | | | | Effective Rate US | Pharmaceutical | |
| | | | | plus 0.35%) — | Corp — Monthly | |
| | | | | Monthly | | |
| 8,422 | 8,749 | — | 1/28/25 | (Federal Funds | Cie Automotive Sa — | 313 |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 63,055 | 61,296 | — | 1/28/25 | (Federal Funds | Cirrus Logic Inc — | (1,861) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 30 PanAgora Market Neutral Fund |
|
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $5,385 | $5,146 | $— | 1/28/25 | (Federal Funds | Citizen Watch Co | $(247) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 28,943 | 28,019 | — | 1/28/25 | (Federal Funds | Citrix Systems Inc — | (971) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 32,422 | 28,863 | — | 1/28/25 | (Federal Funds | Civista Bancshares | (3,515) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 6,364 | 6,248 | — | 1/28/25 | (Federal Funds | Ck Asset Holdings | (126) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 17,526 | 17,409 | — | 1/28/25 | (Federal Funds | Ck Hutchison | (144) |
| | | | | Effective Rate US | Holdings Ltd — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 12,433 | 11,477 | — | 1/28/25 | (Federal Funds | Clariant Ag — | (974) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 27,467 | 24,541 | — | 1/28/25 | (Federal Funds | Clean Harbors Inc — | (2,969) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 6,453 | 6,260 | — | 1/28/25 | (Federal Funds | Clearfield Inc — | (201) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 5,401 | 5,084 | — | 1/28/25 | (Federal Funds | Cmic Holdings Co | (326) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 19,108 | 18,653 | — | 1/28/25 | (Federal Funds | Coca-Cola Amatil | (55) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 34,230 | 32,010 | — | 1/28/25 | (Federal Funds | Coca-Cola | (2,242) |
| | | | | Effective Rate US | Consolidated Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 8,340 | 7,708 | — | 1/28/25 | (Federal Funds | Coca-Cola Hbc Ag — | (644) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 31 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $22,742 | $21,477 | $— | 1/28/25 | (Federal Funds | Comerica Inc — | $(1,300) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 48,086 | 44,669 | — | 1/28/25 | (Federal Funds | Comfort Systems | (3,489) |
| | | | | Effective Rate US | Usa Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 15,536 | 15,120 | — | 1/28/25 | (Federal Funds | Comfortdelgro Corp | (445) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.55%) — | | |
| | | | | Monthly | | |
| 28,720 | 28,013 | — | 1/28/25 | (Federal Funds | Commercial Vehicle | (754) |
| | | | | Effective Rate US | Group Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 40,609 | 38,114 | — | 1/28/25 | (Federal Funds | Commvault Systems | (2,553) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 25,554 | 23,716 | — | 1/28/25 | (Federal Funds | Computacenter | (1,875) |
| | | | | Effective Rate US | Plc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 6,710 | 6,260 | — | 1/28/25 | (Federal Funds | Computer | (405) |
| | | | | Effective Rate US | Engineering & | |
| | | | | plus 0.25%) — | Consulting Ltd — | |
| | | | | Monthly | Monthly | |
| 50,057 | 38,781 | — | 1/28/25 | (Federal Funds | Concert | (11,347) |
| | | | | Effective Rate US | Pharmaceuticals | |
| | | | | plus 0.25%) — | Inc — Monthly | |
| | | | | Monthly | | |
| 36,470 | 35,718 | — | 1/28/25 | (Federal Funds | Condor Hospitality | (774) |
| | | | | Effective Rate US | Trust Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 30,399 | 29,338 | — | 1/28/25 | (Federal Funds | Conmed Corp — | (1,106) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 43,769 | 42,097 | — | 1/28/25 | (Federal Funds | Cornerstone | (1,754) |
| | | | | Effective Rate US | Ondemand Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 62,557 | 58,185 | — | 1/28/25 | (Federal Funds | Corvel Corp — | (4,499) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| |
| 32 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $22,517 | $22,030 | $— | 1/28/25 | (Federal Funds | Costar Group Inc — | $(517) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 7,257 | 6,701 | — | 1/28/25 | (Federal Funds | Covestro Ag — | (567) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 15,114 | 14,864 | — | 1/28/25 | (Federal Funds | Coway Co Ltd — | (272) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 38,703 | 38,057 | — | 1/28/25 | (Federal Funds | Craft Brew Alliance | (657) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 26,434 | 24,728 | — | 1/28/25 | (Federal Funds | Csx Corp — Monthly | (1,653) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 24,327 | 23,299 | — | 1/28/25 | (Federal Funds | Cummins Inc — | (863) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 13,594 | 14,352 | — | 1/28/25 | (Federal Funds | Cushman & | 745 |
| | | | | Effective Rate US | Wakefield Plc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 9,957 | 9,067 | — | 1/28/25 | (Federal Funds | Cybernet Systems | (753) |
| | | | | Effective Rate US | Co — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 21,168 | 21,962 | — | 1/28/25 | (Federal Funds | Cymabay | 759 |
| | | | | Effective Rate US | Therapeutics Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 44,898 | 44,772 | — | 1/28/25 | (Federal Funds | Cypress | (189) |
| | | | | Effective Rate US | Semiconductor | |
| | | | | plus 0.25%) — | Corp — Monthly | |
| | | | | Monthly | | |
| 27,087 | 24,960 | — | 1/28/25 | (Federal Funds | Cytomx | (2,167) |
| | | | | Effective Rate US | Therapeutics Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 17,588 | 16,834 | — | 1/28/25 | (Federal Funds | Daelim Industrial Co | (784) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 33 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $6,267 | $5,986 | $— | 1/28/25 | (Federal Funds | Daido Metal Co | $(290) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 4,147 | 4,089 | — | 1/28/25 | (Federal Funds | Daiichikosho Co | (65) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 22,823 | 21,802 | — | 1/29/20 | (Federal Funds | Dali Foods Group Co | (1,046) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 14,030 | 12,439 | — | 1/28/25 | (Federal Funds | Dassault Aviation | (1,611) |
| | | | | Effective Rate US | Sa — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 14,787 | 14,186 | — | 1/28/25 | (Federal Funds | Dcc Plc — Monthly | (624) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 11,947 | 11,683 | — | 1/28/25 | (Federal Funds | Demant As — | (281) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 5,462 | 5,151 | — | 1/28/25 | (Federal Funds | Dena Co Ltd — | (321) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 26,051 | 25,211 | — | 1/28/25 | (Federal Funds | Dentsply Sirona | (882) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 10,260 | 9,521 | — | 1/28/25 | (Federal Funds | Deutsche Post Ag — | (756) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 7,814 | 7,343 | — | 1/28/25 | (Federal Funds | Dexerials Corp — | (484) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 14,362 | 14,321 | — | 1/28/25 | (Federal Funds | Dic Asset Ag — | (63) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 42,144 | 40,941 | — | 1/28/25 | (Federal Funds | Dicerna | (1,260) |
| | | | | Effective Rate US | Pharmaceuticals | |
| | | | | plus 0.25%) — | Inc — Monthly | |
| | | | | Monthly | | |
| |
| 34 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $6,057 | $5,670 | $— | 1/28/25 | (Federal Funds | Domino’s Pizza | $(396) |
| | | | | Effective Rate US | Group Plc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 6,921 | 6,896 | — | 1/28/25 | (Federal Funds | Dong-A St Co Ltd — | (36) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 12,450 | 12,744 | — | 1/28/25 | (Federal Funds | Doosan Bobcat | 753 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 29,024 | 27,534 | — | 1/28/25 | (Federal Funds | Dover Corp — | (1,402) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 18,469 | 18,171 | — | 1/28/25 | (Federal Funds | Dropbox Inc — | (319) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 7,669 | 7,321 | — | 1/28/25 | (Federal Funds | Dts Corp — Monthly | (361) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 48,391 | 48,133 | — | 1/28/25 | (Federal Funds | Ducommun Inc — | (324) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 23,736 | 21,706 | — | 1/28/25 | (Federal Funds | Dunelm Group Plc — | (2,056) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 3,826 | 3,752 | — | 1/28/25 | (Federal Funds | Dws Municipal | (66) |
| | | | | Effective Rate US | Income Trust — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 20,442 | 18,755 | — | 1/28/25 | (Federal Funds | Dynavax | (1,721) |
| | | | | Effective Rate US | Technologies | |
| | | | | plus 0.25%) — | Corp — Monthly | |
| | | | | Monthly | | |
| 6,230 | 6,093 | — | 1/28/25 | (Federal Funds | East Japan Railway | (147) |
| | | | | Effective Rate US | Co — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 1,662 | 1,510 | — | 1/28/25 | (Federal Funds | Easyjet Plc — | (92) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 35 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $65,481 | $61,508 | $— | 1/28/25 | (Federal Funds | Eaton Corp Plc — | $(4,031) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 2,773 | 2,707 | — | 1/28/25 | (Federal Funds | Eaton Vance | (61) |
| | | | | Effective Rate US | California Municipal | |
| | | | | plus 0.25%) — | Bond Fund — | |
| | | | | Monthly | Monthly | |
| 10,371 | 9,860 | — | 1/28/25 | (Federal Funds | Eaton Vance | (462) |
| | | | | Effective Rate US | Floating-Rate | |
| | | | | plus 0.25%) — | Income Trust — | |
| | | | | Monthly | Monthly | |
| 16,740�� | 15,976 | — | 1/28/25 | (Federal Funds | Eaton Vance Limited | (660) |
| | | | | Effective Rate US | Duration Income | |
| | | | | plus 0.25%) — | Fund — Monthly | |
| | | | | Monthly | | |
| 4,832 | 4,667 | — | 1/28/25 | (Federal Funds | Eaton Vance | (155) |
| | | | | Effective Rate US | Municipal Income | |
| | | | | plus 0.25%) — | Trust — Monthly | |
| | | | | Monthly | | |
| 2,139 | 2,045 | — | 1/28/25 | (Federal Funds | Eaton Vance Short | (85) |
| | | | | Effective Rate US | Duration Diversified | |
| | | | | plus 0.25%) — | Income Fund — | |
| | | | | Monthly | Monthly | |
| 12,076 | 11,668 | — | 1/28/25 | (Federal Funds | Eaton Vance Senior | (350) |
| | | | | Effective Rate US | Floating-Rate | |
| | | | | plus 0.25%) — | Trust — Monthly | |
| | | | | Monthly | | |
| 29,389 | 27,747 | — | 1/28/25 | (Federal Funds | Ebay Inc — Monthly | (1,553) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 77,161 | 67,694 | — | 1/28/25 | (Federal Funds | Egain Corp — | (9,549) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 84,370 | 84,023 | — | 1/28/25 | (Federal Funds | El Paso Electric Co — | (465) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 22,556 | 22,071 | — | 1/28/25 | (Federal Funds | Emaar Development | (536) |
| | | | | Effective Rate US | Pjsc — Monthly | |
| | | | | plus 1.20%) — | | |
| | | | | Monthly | | |
| 21,418 | 21,114 | — | 1/28/25 | (Federal Funds | Embotelladora | (344) |
| | | | | Effective Rate US | Andina Sa — | |
| | | | | plus 1.25%) — | Monthly | |
| | | | | Monthly | | |
| |
| 36 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $12,017 | $11,484 | $— | 1/28/25 | (Federal Funds | Empire Co Ltd — | $(550) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 37,529 | 36,297 | — | 1/28/25 | (Federal Funds | Encompass Health | (1,263) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 46,218 | 44,571 | — | 1/28/25 | (Federal Funds | Enova International | (1,729) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 59,858 | 55,714 | — | 1/28/25 | (Federal Funds | Ensign Group Inc/ | (4,160) |
| | | | | Effective Rate US | The — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 3,545 | 3,379 | — | 1/28/25 | (Federal Funds | Enterprise Bancorp | (149) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 11,643 | 11,004 | — | 1/28/25 | (Federal Funds | Ericsson Ltd — | (655) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 61,463 | 60,734 | — | 1/28/25 | (Federal Funds | Esquire Financial | (812) |
| | | | | Effective Rate US | Holdings Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 19,631 | 18,915 | — | 1/28/25 | (Federal Funds | Essity Ab — Monthly | (744) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 10,257 | 10,257 | — | 1/28/25 | (Federal Funds | Eureka Homestead | (14) |
| | | | | Effective Rate US | Bancorp Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 16,709 | 15,722 | — | 1/28/25 | (Federal Funds | Evercore Inc — | (859) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 5,635 | 5,610 | — | 1/28/25 | (Federal Funds | Exedy Corp — | (34) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 33,979 | 32,973 | — | 1/28/25 | (Federal Funds | Exxon Mobil Corp — | (490) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 37 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $68,321 | $65,813 | $— | 1/28/25 | (Federal Funds | Fabrinet — Monthly | $(2,619) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 9,860 | 9,624 | — | 8/31/20 | (Federal Funds | Facebook Inc — | (252) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 18,090 | 17,510 | — | 1/28/25 | (Federal Funds | Faurecia Se — | (606) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 43,786 | 41,267 | — | 1/28/25 | (Federal Funds | Federal Signal | (2,587) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 42,107 | 40,232 | — | 1/28/25 | (Federal Funds | First Bancorp/ | (1,687) |
| | | | | Effective Rate US | Puerto Rico — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 48,399 | 45,229 | — | 1/28/25 | (Federal Funds | First Bancorp/ | (3,241) |
| | | | | Effective Rate US | Southern Pines | |
| | | | | plus 0.25%) — | Nc — Monthly | |
| | | | | Monthly | | |
| 30,212 | 28,335 | — | 1/28/25 | (Federal Funds | First Choice | (1,603) |
| | | | | Effective Rate US | Bancorp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 43,663 | 40,536 | — | 1/28/25 | (Federal Funds | First Defiance | (2,826) |
| | | | | Effective Rate US | Financial Corp — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 25,955 | 23,950 | — | 1/28/25 | (Federal Funds | First Hawaiian Inc — | (1,786) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 8,147 | 7,577 | — | 1/28/25 | (Federal Funds | First Trust High | (524) |
| | | | | Effective Rate US | Income Long/Short | |
| | | | | plus 0.25%) — | Fund — Monthly | |
| | | | | Monthly | | |
| 4,405 | 4,205 | — | 1/28/25 | (Federal Funds | First Trust Senior | (177) |
| | | | | Effective Rate US | Floating Rate | |
| | | | | plus 0.25%) — | Income Fund Ii — | |
| | | | | Monthly | Monthly | |
| 14,305 | 13,615 | — | 1/28/25 | (Federal Funds | Fischer (Georg) — | (712) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| |
| 38 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $83,010 | $81,867 | $— | 1/28/25 | (Federal Funds | Five9 Inc — Monthly | $(1,256) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 37,621 | 37,951 | — | 1/28/25 | (Federal Funds | Forescout | 329 |
| | | | | Effective Rate US | Technologies Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 27,628 | 26,536 | — | 1/28/25 | (Federal Funds | Fortinet Inc — | (1,135) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 9,738 | 9,554 | — | 1/28/25 | (Federal Funds | Fosun International | (195) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 24,820 | 21,187 | — | 1/28/25 | (Federal Funds | Franklin Financial | (3,457) |
| | | | | Effective Rate US | Services — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 3,615 | 3,384 | — | 1/28/25 | (Federal Funds | Franklin Limited | (204) |
| | | | | Effective Rate US | Duration Income | |
| | | | | plus 0.25%) — | Trust — Monthly | |
| | | | | Monthly | | |
| 8,534 | 8,341 | — | 1/28/25 | (Federal Funds | Fresenius Medical | (205) |
| | | | | Effective Rate US | Care Ag & Co Kgaa — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 19,286 | 17,850 | — | 1/28/25 | (Federal Funds | Frontdoor Inc — | (1,461) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 8,546 | 8,241 | — | 1/28/25 | (Federal Funds | Fuji Electric Co | (318) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 6,982 | 6,610 | — | 1/28/25 | (Federal Funds | Fuji Soft Inc — | (346) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 10,540 | 10,130 | — | 1/28/25 | (Federal Funds | Furukawa Co Ltd — | (426) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 8,099 | 7,652 | — | 1/28/25 | (Federal Funds | Furuno Electric Co | (386) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 39 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $33,245 | $33,438 | $— | 1/28/25 | (Federal Funds | Gamco Investors | $142 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 12,270 | 11,470 | — | 1/28/25 | (Federal Funds | Games Workshop | (801) |
| | | | | Effective Rate US | Group Plc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 18,076 | 17,678 | — | 1/28/25 | (Federal Funds | Garmin Ltd — | (426) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 10,422 | 9,681 | — | 1/28/25 | (Federal Funds | Generac Holdings | (755) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 11,285 | 11,140 | — | 1/28/25 | (Federal Funds | Genexine Co Ltd — | (157) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 30,386 | 28,996 | — | 1/28/25 | (Federal Funds | Gentex Corp — | (1,437) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 20,594 | 20,364 | — | 1/28/25 | (Federal Funds | Genting Malaysia | (266) |
| | | | | Effective Rate US | Bhd — Monthly | |
| | | | | plus 0.75%) — | | |
| | | | | Monthly | | |
| 10,581 | 10,298 | — | 1/28/25 | (Federal Funds | Genting Singapore | (302) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.55%) — | | |
| | | | | Monthly | | |
| 17,453 | 17,517 | — | 1/28/25 | (Federal Funds | Gerresheimer Ag — | 38 |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 21,319 | 19,539 | — | 1/28/25 | (Federal Funds | Globus Medical | (1,821) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 31,187 | 30,846 | — | 1/28/25 | (Federal Funds | Glycomimetics | (393) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 10,322 | 10,082 | — | 1/28/25 | (Federal Funds | Gn Store Nord As — | (253) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| |
| 40 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $25,892 | $25,389 | $— | 1/28/25 | (Federal Funds | Go-Ahead Group | $(541) |
| | | | | Effective Rate US | Plc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 44,577 | 44,213 | — | 1/28/25 | (Federal Funds | Great Lakes Dredge | (433) |
| | | | | Effective Rate US | & Dock Co — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 1,858 | 1,794 | — | 1/28/25 | (Federal Funds | Green Brick Partners | (66) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 23,767 | 21,973 | — | 1/28/25 | (Federal Funds | Greggs Plc — | (1,822) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 12,708 | 12,030 | — | 1/28/25 | (Federal Funds | Grupo | (698) |
| | | | | Effective Rate US | Aeroportuario Del | |
| | | | | plus 0.25%) — | Pacifico Sab De Cv — | |
| | | | | Monthly | Monthly | |
| 12,810 | 12,191 | — | 1/28/25 | (Federal Funds | Grupo | (639) |
| | | | | Effective Rate US | Aeroportuario del | |
| | | | | plus 0.25%) — | Sureste Sab De Cv — | |
| | | | | Monthly | Monthly | |
| 3,474 | 3,360 | — | 1/28/25 | (Federal Funds | Guggenheim Credit | (100) |
| | | | | Effective Rate US | Allocation Fund — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 17,558 | 16,551 | — | 1/28/25 | (Federal Funds | Guggenheim | (931) |
| | | | | Effective Rate US | Strategic | |
| | | | | plus 0.25%) — | Opportunities | |
| | | | | Monthly | Fund — Monthly | |
| 4,448 | 4,112 | — | 1/28/25 | (Federal Funds | Guggenheim | (320) |
| | | | | Effective Rate US | Taxable Municipal | |
| | | | | plus 0.25%) — | Managed Duration | |
| | | | | Monthly | Trust — Monthly | |
| 21,612 | 21,632 | — | 1/28/25 | (Federal Funds | Gulf Bank Kscp — | (31) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 1.20%) — | | |
| | | | | Monthly | | |
| 5,969 | 5,836 | — | 1/28/25 | (Federal Funds | Hakuhodo Dy | (143) |
| | | | | Effective Rate US | Holdings Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 22,253 | 21,920 | — | 1/28/25 | (Federal Funds | Hanmi Pharm Co | (361) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 41 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $20,479 | $18,611 | $— | 1/28/25 | (Federal Funds | Hanover Insurance | $(1,899) |
| | | | | Effective Rate US | Group Inc/The — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 6,495 | 6,161 | — | 1/28/25 | (Federal Funds | Hanwa Co Ltd — | (345) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 8,858 | 8,766 | — | 1/28/25 | (Federal Funds | Hanwha Corp — | (103) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 26,190 | 24,026 | — | 1/28/25 | (Federal Funds | Hartford Financial | (2,048) |
| | | | | Effective Rate US | Services Group/ | |
| | | | | plus 0.25%) — | The — Monthly | |
| | | | | Monthly | | |
| 4,623 | 4,337 | — | 1/28/25 | (Federal Funds | Hastings Group | (294) |
| | | | | Effective Rate US | Holdings Plc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 31,080 | 29,047 | — | 1/28/25 | (Federal Funds | Hd Supply Holdings | (2,076) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 44,268 | 43,411 | — | 1/28/25 | (Federal Funds | Healthstream Inc — | (920) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 10,559 | 10,045 | — | 1/28/25 | (Federal Funds | Heidelbergcement | (530) |
| | | | | Effective Rate US | Ag — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 37,518 | 39,114 | — | 1/28/25 | (Federal Funds | Heidrick & Struggles | 1,523 |
| | | | | Effective Rate US | International Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 10,529 | 10,412 | — | 1/28/25 | (Federal Funds | Heijmans Nv — | (131) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 53,170 | 49,032 | — | 1/28/25 | (Federal Funds | Herman Miller Inc — | (3,917) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 19,760 | 19,918 | — | 1/28/25 | (Federal Funds | Heron Therapeutics | 156 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| |
| 42 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $37,853 | $34,414 | $— | 8/21/20 | (Federal Funds | Hershey Co/The — | $(3,268) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 18,649 | 17,984 | — | 1/28/25 | (Federal Funds | Highland Income | (575) |
| | | | | Effective Rate US | Fund — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 48,712 | 47,930 | — | 1/28/25 | (Federal Funds | Hilltop Holdings | (653) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 28,293 | 28,091 | — | 1/28/25 | (Federal Funds | Hilton Worldwide | (203) |
| | | | | Effective Rate US | Holdings Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 31,544 | 32,217 | — | 1/28/25 | (Federal Funds | Hitachi High- | 628 |
| | | | | Effective Rate US | Technologies | |
| | | | | plus 0.25%) — | Corp — Monthly | |
| | | | | Monthly | | |
| 49,718 | 47,984 | — | 1/28/25 | (Federal Funds | Hms Holdings | (1,815) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 5,963 | 5,698 | — | 1/28/25 | (Federal Funds | Hokuetsu Corp — | (275) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 26,988 | 26,199 | — | 1/28/25 | (Federal Funds | Hologic Inc — | (832) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 18,440 | 17,637 | — | 1/28/25 | (Federal Funds | Hyundai Mobis Co | (609) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 9,694 | 9,185 | — | 1/28/25 | (Federal Funds | Iaa Inc — Monthly | (524) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 15,062 | 14,684 | — | 1/28/25 | (Federal Funds | Iac/ | (395) |
| | | | | Effective Rate US | Interactivecorp — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 5,669 | 5,411 | — | 1/28/25 | (Federal Funds | Iida Group Holdings | (268) |
| | | | | Effective Rate US | Co Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 43 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $36,078 | $34,395 | $— | 1/28/25 | (Federal Funds | Illinois Tool Works | $(1,702) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 70,797 | 67,898 | — | 1/28/25 | (Federal Funds | Immunogen Inc — | (3,029) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 38,343 | 37,488 | — | 1/28/25 | (Federal Funds | Immunomedics | (928) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 6,823 | 6,650 | — | 1/28/25 | (Federal Funds | Inaba Denki Sangyo | (184) |
| | | | | Effective Rate US | Co Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 14,641 | 14,093 | — | 1/28/25 | (Federal Funds | Inchcape Plc — | (570) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 25,418 | 24,584 | — | 1/28/25 | (Federal Funds | Incyte Corp — | (869) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 8,581 | 7,684 | — | 1/28/25 | (Federal Funds | Indah Kiat Pulp | (910) |
| | | | | Effective Rate US | & Paper Tbk — | |
| | | | | plus 0.75%) — | Monthly | |
| | | | | Monthly | | |
| 18,570 | 17,116 | — | 1/28/25 | (Federal Funds | Indofood Cbp | (1,491) |
| | | | | Effective Rate US | Sukses Makmur | |
| | | | | plus 0.75%) — | Tbk — Monthly | |
| | | | | Monthly | | |
| 36,857 | 33,117 | — | 1/28/25 | (Federal Funds | Indofood Sukses | (3,816) |
| | | | | Effective Rate US | Makmur Tbk Pt — | |
| | | | | plus 0.75%) — | Monthly | |
| | | | | Monthly | | |
| 9,771 | 9,541 | — | 1/28/25 | (Federal Funds | Ingenia | (134) |
| | | | | Effective Rate US | Communities | |
| | | | | plus 0.25%) — | Group — Monthly | |
| | | | | Monthly | | |
| 52,809 | 57,625 | — | 1/28/25 | (Federal Funds | Ingles Markets Inc — | 4,720 |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 18,681 | 18,268 | — | 1/28/25 | (Federal Funds | Innovent Biologics | (431) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| |
| 44 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $62,641 | $62,527 | $— | 1/28/25 | (Federal Funds | Insight Enterprises | $(220) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 25,180 | 24,957 | — | 1/28/25 | (Federal Funds | Insperity Inc — | (269) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 56,711 | 53,765 | — | 1/28/25 | (Federal Funds | Installed Building | (3,034) |
| | | | | Effective Rate US | Products Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 15,943 | 15,003 | — | 1/28/25 | (Federal Funds | Intercontinental | (941) |
| | | | | Effective Rate US | Hotels Group Plc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 50,493 | 46,410 | — | 1/28/25 | (Federal Funds | International | (4,160) |
| | | | | Effective Rate US | Bancshares Corp — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 6,491 | 5,434 | — | 1/28/25 | (Federal Funds | International | (1,057) |
| | | | | Effective Rate US | Consolidated | |
| | | | | plus 0.25%) — | Airlines Group — | |
| | | | | Monthly | Monthly | |
| 26,048 | 24,724 | — | 1/28/25 | (Federal Funds | Intuit Inc — Monthly | (1,362) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 3,728 | 3,643 | — | 1/28/25 | (Federal Funds | Invesco Advantage | (73) |
| | | | | Effective Rate US | Municipal Income | |
| | | | | plus 0.25%) — | Trust Ii — Monthly | |
| | | | | Monthly | | |
| 4,261 | 4,095 | — | 1/28/25 | (Federal Funds | Invesco Ca V M I — | (163) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 19,363 | 18,508 | — | 1/28/25 | (Federal Funds | Invesco | (848) |
| | | | | Effective Rate US | Dynamic Credit | |
| | | | | plus 0.25%) — | Opportunities | |
| | | | | Monthly | Fund — Monthly | |
| 2,559 | 2,449 | — | 1/28/25 | (Federal Funds | Invesco High | (96) |
| | | | | Effective Rate US | Income Trust Ii — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 6,925 | 6,790 | — | 1/28/25 | (Federal Funds | Invesco Municipal | (117) |
| | | | | Effective Rate US | Opportunity Trust — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 45 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $6,481 | $6,355 | $— | 1/28/25 | (Federal Funds | Invesco Municipal | $(110) |
| | | | | Effective Rate US | Trust — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 3,865 | 3,794 | — | 1/28/25 | (Federal Funds | Invesco Quality | (54) |
| | | | | Effective Rate US | Municipal Income | |
| | | | | plus 0.25%) — | Trust — Monthly | |
| | | | | Monthly | | |
| 27,365 | 26,010 | — | 1/28/25 | (Federal Funds | Invesco Senior | (1,239) |
| | | | | Effective Rate US | Income Trust — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 6,001 | 5,905 | — | 1/28/25 | (Federal Funds | Invesco Trust For | (75) |
| | | | | Effective Rate US | Investment Grade | |
| | | | | plus 0.25%) — | Municipals — | |
| | | | | Monthly | Monthly | |
| 5,246 | 5,136 | — | 1/28/25 | (Federal Funds | Invesco Value | (98) |
| | | | | Effective Rate US | Municipal Income | |
| | | | | plus 0.25%) — | Trust — Monthly | |
| | | | | Monthly | | |
| 9,538 | 8,992 | — | 1/28/25 | (Federal Funds | Ipsen — Monthly | (560) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 8,702 | 8,670 | — | 1/28/25 | (Federal Funds | Ipsos — Monthly | (45) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 27,040 | 25,248 | — | 1/28/25 | (Federal Funds | Iqvia Holdings Inc — | (1,832) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 11,702 | 11,103 | — | 1/28/25 | (Federal Funds | Itochu Techno- | (616) |
| | | | | Effective Rate US | Solutions Corp — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 25,103 | 24,421 | — | 1/28/25 | (Federal Funds | Itt Inc — Monthly | (722) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 17,988 | 15,845 | — | 1/28/25 | (Federal Funds | J Alexander’s | (2,168) |
| | | | | Effective Rate US | Holdings — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 8,763 | 8,808 | — | 1/28/25 | (Federal Funds | Japan Prime Realty | 32 |
| | | | | Effective Rate US | Investment Corp — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
|
| 46 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $10,280 | $9,195 | $— | 1/28/25 | (Federal Funds | Japan Property | $(971) |
| | | | | Effective Rate US | Management Center | |
| | | | | plus 0.25%) — | Co Ltd — Monthly | |
| | | | | Monthly | | |
| 4,834 | 4,524 | — | 1/28/25 | (Federal Funds | Japan Rental | (316) |
| | | | | Effective Rate US | Housing | |
| | | | | plus 0.25%) — | Investments Inc — | |
| | | | | Monthly | Monthly | |
| 6,183 | 5,705 | — | 1/28/25 | (Federal Funds | Japan Retail Fund | (377) |
| | | | | Effective Rate US | Investment Corp — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 6,011 | 5,963 | — | 1/28/25 | (Federal Funds | Japan Tobacco | (57) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 22,269 | 21,885 | — | 1/28/25 | (Federal Funds | Jazz | (423) |
| | | | | Effective Rate US | Pharmaceuticals | |
| | | | | plus 0.25%) — | Plc — Monthly | |
| | | | | Monthly | | |
| 8,162 | 7,640 | — | 1/28/25 | (Federal Funds | Jbcc Holdings Inc — | (535) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 18,170 | 17,218 | — | 1/28/25 | (Federal Funds | Jbs Sa — Monthly | (989) |
| | | | | Effective Rate US | | |
| | | | | plus 0.65%) — | | |
| | | | | Monthly | | |
| 21,817 | 20,364 | — | 1/28/25 | (Federal Funds | Jd Sports Fashion | (1,477) |
| | | | | Effective Rate US | Plc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 25,908 | 24,993 | — | 1/28/25 | (Federal Funds | Jd.com Inc — | (951) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 21,767 | 20,439 | — | 1/28/25 | (Federal Funds | Jefferies Financial | (1,203) |
| | | | | Effective Rate US | Group Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 14,318 | 13,870 | — | 1/28/25 | (Federal Funds | Jiangsu Expressway | (469) |
| | | | | Effective Rate US | Co Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 43,408 | 40,640 | — | 1/28/25 | (Federal Funds | John B. Sanfilippo & | (2,835) |
| | | | | Effective Rate US | Son Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 47 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $16,052 | $14,416 | $— | 1/28/25 | (Federal Funds | Jvckenwood Corp — | $(1,660) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 5,499 | 5,391 | — | 1/28/25 | (Federal Funds | Kajima Corp — | (116) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 5,942 | 5,581 | — | 1/28/25 | (Federal Funds | Kato Sangyo Co | (369) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 5,102 | 4,873 | — | 1/28/25 | (Federal Funds | Kawai Musical | (239) |
| | | | | Effective Rate US | Instruments | |
| | | | | plus 0.25%) — | Manufacturing Co | |
| | | | | Monthly | Ltd — Monthly | |
| 37,987 | 37,972 | — | 1/28/25 | (Federal Funds | Kemet Corp — | (68) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 8,728 | 8,256 | — | 1/28/25 | (Federal Funds | Kemira Oyj — | (486) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 18,290 | 16,935 | — | 1/28/25 | (Federal Funds | Kemper Corp — | (1,308) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 10,001 | 9,254 | — | 1/28/25 | (Federal Funds | Keycorp — Monthly | (762) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 65,191 | 65,669 | — | 1/28/25 | (Federal Funds | Keysight | 396 |
| | | | | Effective Rate US | Technologies Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 7,057 | 6,561 | — | 1/28/25 | (Federal Funds | Kfc Holdings Japan | (507) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 53,495 | 52,665 | — | 1/28/25 | (Federal Funds | Kforce Inc — | (922) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 17,649 | 16,804 | — | 1/28/25 | (Federal Funds | Kia Motors Corp — | (868) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
|
| 48 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $15,274 | $14,352 | $— | 1/28/25 | (Federal Funds | Kimball | $(947) |
| | | | | Effective Rate US | International Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 6,913 | 6,607 | — | 1/28/25 | (Federal Funds | Kingboard Holdings | (315) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 23,338 | 21,431 | — | 1/28/25 | (Federal Funds | Kingboard | (1,940) |
| | | | | Effective Rate US | Laminates Holdings | |
| | | | | plus 0.25%) — | Ltd — Monthly | |
| | | | | Monthly | | |
| 11,086 | 10,609 | — | 1/28/25 | (Federal Funds | Kingfisher Plc — | (477) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 7,491 | 7,273 | — | 1/28/25 | (Federal Funds | Kissei | (229) |
| | | | | Effective Rate US | Pharmaceutical Co | |
| | | | | plus 0.25%) — | Ltd — Monthly | |
| | | | | Monthly | | |
| 27,245 | 28,436 | — | 1/28/25 | (Federal Funds | Kla Corp — Monthly | 1,304 |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 10,506 | 9,843 | — | 1/29/20 | (Federal Funds | Klepierre — Monthly | (678) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 12,596 | 11,144 | — | 1/28/25 | (Federal Funds | Koc Holding As — | (1,476) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.70%) — | | |
| | | | | Monthly | | |
| 34,897 | 34,139 | — | 1/28/25 | (Federal Funds | Kohls Corp — | (774) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 4,029 | 3,950 | — | 1/27/20 | (Federal Funds | Koito Manufacturing | (86) |
| | | | | Effective Rate US | Co Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 6,069 | 6,070 | — | 1/28/25 | (Federal Funds | Komatsu Ltd — | (9) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 6,178 | 5,976 | — | 1/28/25 | (Federal Funds | Konica Minolta | (211) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 49 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $19,216 | $18,261 | $— | 1/28/25 | (Federal Funds | Koninklijke Ahold | $(982) |
| | | | | Effective Rate US | Delhaize Nv — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 12,926 | 12,281 | — | 1/28/25 | (Federal Funds | Kontoor Brands | (665) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 43,781 | 40,752 | — | 1/28/25 | (Federal Funds | Korn Ferry — | (3,098) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 9,352 | 8,642 | — | 1/28/25 | (Federal Funds | Kumho | (366) |
| | | | | Effective Rate US | Petrochemical Co | |
| | | | | plus 0.35%) — | Ltd — Monthly | |
| | | | | Monthly | | |
| 25,435 | 25,460 | — | 1/28/25 | (Federal Funds | Kuwait Finance | (32) |
| | | | | Effective Rate US | House Kscp — | |
| | | | | plus 1.20%) — | Monthly | |
| | | | | Monthly | | |
| 7,030 | 6,659 | — | 1/28/25 | (Federal Funds | Kyb Corp — Monthly | (383) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 13,964 | 13,278 | — | 1/28/25 | (Federal Funds | L Brands Inc — | (523) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 43,315 | 41,686 | — | 1/28/25 | (Federal Funds | La-Z-Boy Inc — | (1,695) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 9,448 | 8,125 | — | 1/28/25 | (Federal Funds | Lagardere Sca — | (1,335) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 67,032 | 66,315 | — | 1/28/25 | (Federal Funds | Lam Research | (803) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 39,902 | 38,066 | — | 1/28/25 | (Federal Funds | Lantheus Holdings | (1,898) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 11,137 | 10,920 | — | 1/28/25 | (Federal Funds | Lee & Man Paper | (228) |
| | | | | Effective Rate US | Manufacturing | |
| | | | | plus 0.25%) — | Ltd — Monthly | |
| | | | | Monthly | | |
|
| 50 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $7,397 | $6,894 | $— | 1/28/25 | (Federal Funds | Leonardo Spa — | $(514) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 21,664 | 21,057 | — | 1/28/25 | (Federal Funds | Lexicon | (651) |
| | | | | Effective Rate US | Pharmaceuticals | |
| | | | | plus 0.25%) — | Inc — Monthly | |
| | | | | Monthly | | |
| 23,095 | 22,081 | — | 1/28/25 | (Federal Funds | Lg Electronics Inc — | (807) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 22,013 | 21,788 | — | 1/28/25 | (Federal Funds | Liberty Tripadvisor | (269) |
| | | | | Effective Rate US | Holdings Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 6,634 | 6,425 | — | 1/28/25 | (Federal Funds | Lintec Corp — | (218) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 19,074 | 18,766 | — | 1/28/25 | (Federal Funds | Livzon | (335) |
| | | | | Effective Rate US | Pharmaceutical | |
| | | | | plus 0.25%) — | Group Inc — Monthly | |
| | | | | Monthly | | |
| 37,412 | 37,682 | — | 1/28/25 | (Federal Funds | Logmein Inc — | 270 |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 28,137 | 27,749 | — | 1/28/25 | (Federal Funds | Longfor Group | (425) |
| | | | | Effective Rate US | Holdings Ltd — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 24,904 | 23,765 | — | 1/28/25 | (Federal Funds | Lpl Financial | (1,179) |
| | | | | Effective Rate US | Holdings Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 11,453 | 11,021 | — | 1/28/25 | (Federal Funds | Ls Industrial | (183) |
| | | | | Effective Rate US | Systems — Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 1,566 | 1,675 | — | 1/28/25 | (Federal Funds | Lsc | 107 |
| | | | | Effective Rate US | Communications | |
| | | | | plus 0.25%) — | Inc — Monthly | |
| | | | | Monthly | | |
| 48,259 | 46,128 | — | 1/28/25 | (Federal Funds | M/I Homes Inc — | (2,212) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 51 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $22,380 | $22,401 | $— | 1/28/25 | (Federal Funds | Mabanee Co Sak — | $(30) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 1.20%) — | | |
| | | | | Monthly | | |
| 30,013 | 21,916 | — | 1/28/25 | (Federal Funds | Macrogenics Inc — | (8,132) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 10,601 | 10,286 | — | 1/28/25 | (Federal Funds | Magna International | (332) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 4,352 | 4,305 | — | 1/28/25 | (Federal Funds | Mainstay Mackay | (26) |
| | | | | Effective Rate US | Definedterm | |
| | | | | plus 0.25%) — | Municipal | |
| | | | | Monthly | Opportunities | |
| | | | | | Fund — Monthly | |
| 21,622 | 20,344 | — | 1/28/25 | (Federal Funds | Malibu Boats Inc — | (1,307) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 6,801 | 6,972 | — | 1/28/25 | (Federal Funds | Mamezou Holdings | 164 |
| | | | | Effective Rate US | Co Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 16,399 | 15,796 | — | 1/28/25 | (Federal Funds | Manpowergroup | (613) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 46,393 | 46,867 | — | 1/28/25 | (Federal Funds | Marcus Corp — | 700 |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 65,723 | 59,871 | — | 1/28/25 | (Federal Funds | Marten Transport | (5,939) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 6,625 | 6,252 | — | 1/28/25 | (Federal Funds | Marvelous Inc — | (384) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 29,506 | 28,735 | — | 1/28/25 | (Federal Funds | Mastercard Inc — | (776) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 8,743 | 8,365 | — | 1/28/25 | (Federal Funds | Maxell Holdings | (391) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| |
| 52 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $18,442 | $16,224 | $— | 1/29/20 | (Federal Funds | Mckesson Corp — | $(2,180) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 17,280 | 17,557 | — | 1/28/25 | (Federal Funds | Mckesson Europe | 252 |
| | | | | Effective Rate US | Ag — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 24,583 | 23,434 | — | 1/28/25 | (Federal Funds | Mediatek Inc — | (1,150) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 17,409 | 16,510 | — | 1/27/20 | (Federal Funds | Medtronic Plc — | (926) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 2,947 | 2,637 | — | 1/28/25 | (Federal Funds | Meet Group Inc/ | (313) |
| | | | | Effective Rate US | The — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 6,251 | 6,050 | — | 1/28/25 | (Federal Funds | Megmilk Snow | (211) |
| | | | | Effective Rate US | Brand Co Ltd — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 40,865 | 36,514 | — | 1/28/25 | (Federal Funds | Mei Pharma Inc — | (4,411) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 9,593 | 9,314 | — | 1/28/25 | (Federal Funds | Meiji Holdings Co | (295) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 19,631 | 19,031 | — | 1/28/25 | (Federal Funds | Meituan-Dianping — | (621) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 44,094 | 43,947 | — | 1/28/25 | (Federal Funds | Mellanox | (209) |
| | | | | Effective Rate US | Technologies Ltd — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 27,419 | 26,260 | — | 1/28/25 | (Federal Funds | Merck & Co Inc — | (1,201) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 26,104 | 23,647 | — | 1/28/25 | (Federal Funds | Mercury General | (2,494) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 53 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $61,417 | $59,018 | $— | 1/28/25 | (Federal Funds | Meritage Homes | $(2,490) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 53,861 | 50,263 | — | 1/28/25 | (Federal Funds | Mersana | (3,659) |
| | | | | Effective Rate US | Therapeutics Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 11,934 | 11,623 | — | 1/28/25 | (Federal Funds | Metallurgical Corp | (328) |
| | | | | Effective Rate US | Of China Ltd — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 33,579 | 32,096 | — | 1/28/25 | (Federal Funds | Metso Oyj — | (1,536) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 8,465 | 8,199 | — | 1/28/25 | (Federal Funds | Mfs Intermediate | (251) |
| | | | | Effective Rate US | Income Trust — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 1,902 | 1,829 | — | 1/28/25 | (Federal Funds | Mfs Municipal | (69) |
| | | | | Effective Rate US | Income Trust — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 30,631 | 29,162 | — | 1/28/25 | (Federal Funds | Microsoft Corp — | (1,419) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 9,663 | 9,257 | — | 1/28/25 | (Federal Funds | Mimasu | (356) |
| | | | | Effective Rate US | Semiconductor | |
| | | | | plus 0.25%) — | Industry Co Ltd — | |
| | | | | Monthly | Monthly | |
| 9,843 | 9,957 | — | 1/28/25 | (Federal Funds | Miraca Holdings | 99 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 9,476 | 9,364 | — | 1/28/25 | (Federal Funds | Misc Bhd — Monthly | (131) |
| | | | | Effective Rate US | | |
| | | | | plus 0.75%) — | | |
| | | | | Monthly | | |
| 2,651 | 2,405 | — | 1/28/25 | (Federal Funds | Mitchells & Butlers | (246) |
| | | | | Effective Rate US | Plc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 7,582 | 7,482 | — | 1/28/25 | (Federal Funds | Mitsubishi Corp — | (111) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| |
| 54 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $7,931 | $7,584 | $— | 1/28/25 | (Federal Funds | Mitsubishi Gas | $(358) |
| | | | | Effective Rate US | Chemical Co — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 6,546 | 6,340 | — | 1/28/25 | (Federal Funds | Mitsubishi Heavy | (217) |
| | | | | Effective Rate US | Industries — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 6,669 | 6,506 | — | 1/28/25 | (Federal Funds | Mitsui Chemicals | (173) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 5,418 | 5,282 | — | 1/28/25 | (Federal Funds | Mitsui Sugar Co | (144) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 5,943 | 5,822 | — | 1/28/25 | (Federal Funds | Mitsui-Soko | (131) |
| | | | | Effective Rate US | Holdings Co Ltd — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 6,432 | 6,353 | — | 1/28/25 | (Federal Funds | Mixi Inc — Monthly | (89) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 6,281 | 5,961 | — | 1/28/25 | (Federal Funds | Mizuno Corp — | (330) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 22,616 | 22,638 | — | 1/28/25 | (Federal Funds | Mobile Telecom- | (29) |
| | | | | Effective Rate US | munications Co — | |
| | | | | plus 1.20%) — | Monthly | |
| | | | | Monthly | | |
| 32,635 | 30,845 | — | 1/28/25 | (Federal Funds | Mobileiron Inc — | (1,842) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 9,745 | 9,520 | — | 1/28/25 | (Federal Funds | Molecular Medicine | (239) |
| | | | | Effective Rate US | Spa — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 104,082 | 101,866 | — | 1/28/25 | (Federal Funds | Molecular | (2,360) |
| | | | | Effective Rate US | Templates Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 11,685 | 11,501 | — | 1/28/25 | (Federal Funds | Momo Inc — | (202) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 55 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $16,983 | $16,052 | $— | 1/28/25 | (Federal Funds | Moneysupermarket. | $(932) |
| | | | | Effective Rate US | com Group Plc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 37,324 | 34,324 | — | 1/28/25 | (Federal Funds | Moody’s Corp — | (3,004) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 24,174 | 22,532 | — | 1/28/25 | (Federal Funds | Motorola Solutions | (1,676) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 10,696 | 10,340 | — | 1/28/25 | (Federal Funds | Msci Inc — Monthly | (346) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 24,217 | 23,204 | — | 1/28/25 | (Federal Funds | Multiplan | (937) |
| | | | | Effective Rate US | Empreendimentos | |
| | | | | plus 0.65%) — | Imobiliarios Sa — | |
| | | | | Monthly | Monthly | |
| 23,111 | 23,133 | — | 1/28/25 | (Federal Funds | National Bank Of | (29) |
| | | | | Effective Rate US | Kuwait — Monthly | |
| | | | | plus 1.20%) — | | |
| | | | | Monthly | | |
| 42,606 | 37,118 | — | 1/28/25 | (Federal Funds | National Research | (5,553) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 40,128 | 37,722 | — | 1/28/25 | (Federal Funds | Natural Grocers By | (2,105) |
| | | | | Effective Rate US | Vitamin Cottage | |
| | | | | plus 0.25%) — | Inc — Monthly | |
| | | | | Monthly | | |
| 7,762 | 6,699 | — | 1/28/25 | (Federal Funds | Nature’s Sunshine | (1,074) |
| | | | | Effective Rate US | Products Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 7,497 | 7,371 | — | 1/28/25 | (Federal Funds | Nec Networks & | (137) |
| | | | | Effective Rate US | System Integration | |
| | | | | plus 0.25%) — | Corp — Monthly | |
| | | | | Monthly | | |
| 57,253 | 59,880 | — | 1/28/25 | (Federal Funds | Neophotonics | 2,522 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 47,381 | 43,663 | — | 1/28/25 | (Federal Funds | Netease Inc — | (3,782) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| |
| 56 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $2,263 | $2,174 | $— | 1/28/25 | (Federal Funds | Neuberger Berman | $(75) |
| | | | | Effective Rate US | High Yield Strategies | |
| | | | | plus 0.25%) — | Fund Inc — Monthly | |
| | | | | Monthly | | |
| 2,444 | 2,338 | — | 1/28/25 | (Federal Funds | Neuberger Berman | (100) |
| | | | | Effective Rate US | Municipal Fund | |
| | | | | plus 0.25%) — | Inc — Monthly | |
| | | | | Monthly | | |
| 2,571 | 2,425 | — | 1/28/25 | (Federal Funds | New America High | (134) |
| | | | | Effective Rate US | Income Fund — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 16,318 | 15,603 | — | 1/28/25 | (Federal Funds | New Oriental | (737) |
| | | | | Effective Rate US | Education & | |
| | | | | plus 0.25%) — | Technology Group | |
| | | | | Monthly | Inc — Monthly | |
| 17,635 | 16,402 | — | 8/31/20 | (Federal Funds | Newell Brands Inc — | (1,018) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 44,791 | 42,250 | — | 1/28/25 | (Federal Funds | Nic Inc — Monthly | (2,613) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 12,431 | 12,150 | — | 1/28/25 | (Federal Funds | Nifco Inc — Monthly | (299) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 6,342 | 6,053 | — | 1/28/25 | (Federal Funds | Nintendo Co Ltd — | (299) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 4,938 | 4,793 | — | 1/28/25 | (Federal Funds | Nippon Express Co | (153) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 7,651 | 7,408 | — | 1/28/25 | (Federal Funds | Nippon Shinyaku Co | (256) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 12,661 | 12,368 | — | 1/28/25 | (Federal Funds | Nisshin Oillio Group | (312) |
| | | | | Effective Rate US | Ltd/The — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 5,068 | 5,079 | — | 1/28/25 | (Federal Funds | Nisshin Seifun | 4 |
| | | | | Effective Rate US | Group Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 57 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $14,475 | $14,273 | $— | 1/28/25 | (Federal Funds | Nortonlifelock Inc — | $8,512 |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 18,150 | 17,620 | — | 1/28/25 | (Federal Funds | Nuance | (552) |
| | | | | Effective Rate US | Communications | |
| | | | | plus 0.25%) — | Inc — Monthly | |
| | | | | Monthly | | |
| 25,636 | 24,416 | — | 1/28/25 | (Federal Funds | Nuvasive Inc — | (1,271) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 19,448 | 18,926 | — | 1/28/25 | (Federal Funds | Nuveen Amt-Free | (488) |
| | | | | Effective Rate US | Municipal Credit | |
| | | | | plus 0.25%) — | Income Fund — | |
| | | | | Monthly | Monthly | |
| 24,412 | 24,132 | — | 1/28/25 | (Federal Funds | Nuveen Amt-Free | (212) |
| | | | | Effective Rate US | Quality Municipal | |
| | | | | plus 0.25%) — | Income Fund — | |
| | | | | Monthly | Monthly | |
| 28,160 | 26,660 | — | 1/28/25 | (Federal Funds | Nuveen Credit | (1,309) |
| | | | | Effective Rate US | Strategies Income | |
| | | | | plus 0.25%) — | Fund — Monthly | |
| | | | | Monthly | | |
| 3,242 | 3,184 | — | 1/28/25 | (Federal Funds | Nuveen Municipal | (54) |
| | | | | Effective Rate US | Value Fund — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 15,896 | 14,949 | — | 1/28/25 | (Federal Funds | Nuveen Floating | (932) |
| | | | | Effective Rate US | Rate Income Fund — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 13,227 | 12,918 | — | 1/28/25 | (Federal Funds | Nuveen Municipal | (280) |
| | | | | Effective Rate US | Credit Income | |
| | | | | plus 0.25%) — | Fund — Monthly | |
| | | | | Monthly | | |
| 19,229 | 18,465 | — | 1/28/25 | (Federal Funds | Nuveen Municipal | (751) |
| | | | | Effective Rate US | High Income | |
| | | | | plus 0.25%) — | Opportunity Fund — | |
| | | | | Monthly | Monthly | |
| 3,100 | 3,034 | — | 1/28/25 | (Federal Funds | Nuveen New Jersey | (60) |
| | | | | Effective Rate US | Quality Municipal | |
| | | | | plus 0.25%) — | Income Fund — | |
| | | | | Monthly | Monthly | |
| 2,281 | 2,256 | — | 1/28/25 | (Federal Funds | Nuveen | (20) |
| | | | | Effective Rate US | Pennsylvania | |
| | | | | plus 0.25%) — | Quality Municipal | |
| | | | | Monthly | Income Fund — | |
| | | | | | Monthly | |
| |
| 58 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $18,790 | $18,590 | $— | 1/28/25 | (Federal Funds | Nuveen Quality | $(143) |
| | | | | Effective Rate US | Municipal Income | |
| | | | | plus 0.25%) — | Fund — Monthly | |
| | | | | Monthly | | |
| 17,340 | 16,393 | — | 1/28/25 | (Federal Funds | Nuveen Senior | (957) |
| | | | | Effective Rate US | Income Fund — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 3,337 | 3,160 | — | 1/28/25 | (Federal Funds | Nuveen Short | (171) |
| | | | | Effective Rate US | Duration Credit | |
| | | | | plus 0.25%) — | Opportunities | |
| | | | | Monthly | Fund — Monthly | |
| 5,343 | 5,013 | — | 1/28/25 | (Federal Funds | Nuveen Taxable | (310) |
| | | | | Effective Rate US | Municipal Income | |
| | | | | plus 0.25%) — | Fund — Monthly | |
| | | | | Monthly | | |
| 10,563 | 10,096 | — | 1/28/25 | (Federal Funds | Obayashi Corp — | (482) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 7,744 | 7,530 | — | 1/28/25 | (Federal Funds | Obi Pharma Inc — | (214) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 16,761 | 16,690 | — | 1/28/25 | (Federal Funds | Office Depot Inc — | 83 |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 41,471 | 37,977 | — | 1/28/25 | (Federal Funds | Oil-Dri Corp Of | (3,244) |
| | | | | Effective Rate US | America — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 5,734 | 5,516 | — | 1/28/25 | (Federal Funds | Oki Electric Industry | (226) |
| | | | | Effective Rate US | Co Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 45,188 | 43,342 | — | 1/28/25 | (Federal Funds | Omnicell Inc — | (1,909) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 8,750 | 8,013 | — | 1/28/25 | (Federal Funds | Oncotherapy | (754) |
| | | | | Effective Rate US | Science Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 6,570 | 6,147 | — | 1/28/25 | (Federal Funds | Ono Pharmaceutical | (433) |
| | | | | Effective Rate US | Co Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 59 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $46,243 | $43,117 | $— | 1/28/25 | (Federal Funds | Oppenheimer | $(2,974) |
| | | | | Effective Rate US | Holdings Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 10,410 | 9,893 | — | 1/29/20 | (Federal Funds | Orica Ltd — Monthly | (533) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 14,990 | 15,006 | — | 1/28/25 | (Federal Funds | Osjb Holdings | (7) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 12,633 | 13,231 | — | 1/28/25 | (Federal Funds | Osotspa Pcl — | 572 |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.75%) — | | |
| | | | | Monthly | | |
| 7,868 | 7,425 | — | 1/28/25 | (Federal Funds | Ovs Spa — Monthly | (456) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 6,055 | 5,767 | — | 1/28/25 | (Federal Funds | Oyo Corp — Monthly | (297) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 33,350 | 33,548 | — | 1/28/25 | (Federal Funds | Pacific Biosciences | 132 |
| | | | | Effective Rate US | Of California Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 6,008 | 5,374 | — | 1/28/25 | (Federal Funds | Pal Group Holdings | (480) |
| | | | | Effective Rate US | Co Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 66,005 | 64,300 | — | 1/28/25 | (Federal Funds | Parker Hannifin | (1,632) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 60,108 | 55,415 | — | 1/28/25 | (Federal Funds | Paysign Inc — | (4,774) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 66,145 | 64,096 | — | 1/28/25 | (Federal Funds | Pc Connection Inc — | (2,163) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 56,257 | 56,027 | — | 1/28/25 | (Federal Funds | Pdf Solutions Inc — | (301) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| |
| 60 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $24,215 | $20,867 | $— | 1/28/25 | (Federal Funds | Pennant Group Inc/ | $(3,376) |
| | | | | Effective Rate US | The — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 37,473 | 37,310 | — | 1/28/25 | (Federal Funds | Perdoceo Education | (214) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 12,802 | 11,721 | — | 1/28/25 | (Federal Funds | Persimmon Plc — | (1,099) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 32,286 | 30,350 | — | 1/28/25 | (Federal Funds | Petrobras | (1,510) |
| | | | | Effective Rate US | Distribuidora Sa — | |
| | | | | plus 0.65%) — | Monthly | |
| | | | | Monthly | | |
| 23,297 | 21,108 | — | 1/28/25 | (Federal Funds | Pets At Home Group | (2,214) |
| | | | | Effective Rate US | Plc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 8,558 | 8,174 | — | 1/28/25 | (Federal Funds | Pgim Global High | (336) |
| | | | | Effective Rate US | Yield Fund — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 8,539 | 8,099 | — | 1/28/25 | (Federal Funds | Pgim High Yield | (393) |
| | | | | Effective Rate US | Bond Fund — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 21,983 | 22,728 | — | 1/28/25 | (Federal Funds | Pharma Mar Sa — | 711 |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 7,151 | 6,869 | — | 1/28/25 | (Federal Funds | Pharmally | (282) |
| | | | | Effective Rate US | Interenational | |
| | | | | plus 0.35%) — | Holding Co Ltd — | |
| | | | | Monthly | Monthly | |
| 20,811 | 20,134 | — | 1/30/20 | (Federal Funds | Phison Electronics | (679) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 23,826 | 21,907 | — | 1/28/25 | (Federal Funds | Phoenix Group | (1,945) |
| | | | | Effective Rate US | Holdings Plc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 12,151 | 11,555 | — | 1/28/25 | (Federal Funds | Piaggio & C Spa — | (615) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 61 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $3,617 | $3,519 | $— | 1/28/25 | (Federal Funds | Pimco California | $(90) |
| | | | | Effective Rate US | Municipal Income | |
| | | | | plus 0.25%) — | Fund — Monthly | |
| | | | | Monthly | | |
| 23,210 | 20,656 | — | 1/28/25 | (Federal Funds | Pimco Corporate & | (2,457) |
| | | | | Effective Rate US | Income Opportunity | |
| | | | | plus 0.25%) — | Fund — Monthly | |
| | | | | Monthly | | |
| 2,675 | 2,343 | — | 1/28/25 | (Federal Funds | Pimco Global | (314) |
| | | | | Effective Rate US | Stocksplus & | |
| | | | | plus 0.25%) — | Income Fund — | |
| | | | | Monthly | Monthly | |
| 4,464 | 4,133 | — | 1/28/25 | (Federal Funds | Pimco Income | (309) |
| | | | | Effective Rate US | Strategy Fund — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 8,849 | 8,397 | — | 1/28/25 | (Federal Funds | Pimco Income | (406) |
| | | | | Effective Rate US | Strategy Fund Ii — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 3,856 | 3,740 | — | 1/28/25 | (Federal Funds | Pimco Municipal | (110) |
| | | | | Effective Rate US | Income Fund — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 7,186 | 6,876 | — | 1/28/25 | (Federal Funds | Pimco Municipal | (294) |
| | | | | Effective Rate US | Income Fund Ii — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 3,127 | 3,065 | — | 1/28/25 | (Federal Funds | Pimco Municipal | (58) |
| | | | | Effective Rate US | Income Fund Iii — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 12,914 | 11,877 | — | 1/28/25 | (Federal Funds | Pioneer Bancorp | (1,056) |
| | | | | Effective Rate US | Inc/Ny — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 4,588 | 4,337 | — | 1/28/25 | (Federal Funds | Pioneer High | (226) |
| | | | | Effective Rate US | Income Trust — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 3,919 | 3,843 | — | 1/28/25 | (Federal Funds | Pioneer Municipal | (68) |
| | | | | Effective Rate US | High Income | |
| | | | | plus 0.25%) — | Advantage Trust — | |
| | | | | Monthly | Monthly | |
| 2,677 | 2,577 | — | 1/28/25 | (Federal Funds | Pioneer Municipal | (95) |
| | | | | Effective Rate US | High Income Trust — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| |
| 62 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $27,784 | $26,000 | $— | 1/28/25 | (Federal Funds | Piper Sandler Cos — | $(1,550) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 10,715 | 8,661 | — | 1/28/25 | (Federal Funds | Playtech Plc — | (2,071) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 17,300 | 16,601 | — | 1/28/25 | (Federal Funds | Popular Inc — | (709) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 12,603 | 12,178 | — | 1/28/25 | (Federal Funds | Porsche Automobil | (445) |
| | | | | Effective Rate US | Holding Se — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 9,817 | 9,134 | — | 1/28/25 | (Federal Funds | Posco International | 62 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 59,795 | 54,260 | — | 1/28/25 | (Federal Funds | Potbelly Corp — | (5,600) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 1,309 | 1,270 | — | 1/28/25 | (Federal Funds | Powell Industries | (30) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 41,000 | 39,429 | — | 1/28/25 | (Federal Funds | Pricesmart Inc — | (1,385) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 28,117 | 26,496 | — | 1/28/25 | (Federal Funds | Procter & Gamble | (1,488) |
| | | | | Effective Rate US | Co/The — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 32,736 | 30,069 | — | 1/28/25 | (Federal Funds | Progressive Corp — | (2,714) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 19,395 | 17,811 | — | 1/28/25 | (Federal Funds | Proofpoint Inc — | (1,615) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 38,426 | 34,906 | — | 1/28/25 | (Federal Funds | Providence Service | (3,571) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 63 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $5,967 | $5,609 | $— | 1/28/25 | (Federal Funds | Provident Financial | $(327) |
| | | | | Effective Rate US | Holdings Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 64,013 | 64,602 | — | 1/28/25 | (Federal Funds | Ptc Therapeutics | 484 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 19,605 | 18,733 | — | 1/28/25 | (Federal Funds | Pultegroup Inc — | (901) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 22,737 | 23,048 | — | 1/28/25 | (Federal Funds | Puma | 285 |
| | | | | Effective Rate US | Biotechnology Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 34,935 | 33,597 | — | 1/28/25 | (Federal Funds | Pzena Investment | (1,243) |
| | | | | Effective Rate US | Management Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 7,884 | 7,897 | — | 1/28/25 | (Federal Funds | Qad Inc — Monthly | 1 |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 18,843 | 19,278 | — | 1/28/25 | (Federal Funds | Qiagen Nv — | 409 |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 12,308 | 11,133 | — | 1/28/25 | (Federal Funds | Quadient — Monthly | (1,192) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 27,483 | 27,014 | — | 1/28/25 | (Federal Funds | Qualcomm Inc — | (512) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 49,308 | 46,200 | — | 1/28/25 | (Federal Funds | Quanex Building | (3,176) |
| | | | | Effective Rate US | Products Corp — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 39,428 | 39,512 | — | 1/28/25 | (Federal Funds | Ra Pharmaceuticals | 29 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 15,948 | 16,565 | — | 1/28/25 | (Federal Funds | Ralph Lauren | 607 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| |
| 64 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $58,727 | $47,353 | $— | 1/28/25 | (Federal Funds | Rci Hospitality | $(11,435) |
| | | | | Effective Rate US | Holdings Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 75,243 | 70,338 | — | 1/28/25 | (Federal Funds | Recro Pharma Inc — | (5,042) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 40,201 | 37,888 | — | 1/28/25 | (Federal Funds | Regal Beloit Corp — | (2,357) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 13,280 | 12,893 | — | 1/28/25 | (Federal Funds | Regeneron | (401) |
| | | | | Effective Rate US | Pharmaceuticals — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 37,668 | 31,720 | — | 1/28/25 | (Federal Funds | Regenxbio Inc — | (5,997) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 52,722 | 46,940 | — | 1/28/25 | (Federal Funds | Regional | (5,854) |
| | | | | Effective Rate US | Management | |
| | | | | plus 0.25%) — | Corp — Monthly | |
| | | | | Monthly | | |
| 5,513 | 5,288 | — | 1/28/25 | (Federal Funds | Resorttrust Inc — | (234) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 9,741 | 9,338 | — | 1/28/25 | (Federal Funds | Restorbio Inc — | (415) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 48,483 | 49,166 | — | 1/28/25 | (Federal Funds | Retrophin Inc — | 613 |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 40,550 | 36,864 | — | 1/28/25 | (Federal Funds | Revere Bank — | (3,745) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 8,252 | 7,997 | — | 1/28/25 | (Federal Funds | Rheinmetall Ag — | (268) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 13,543 | 12,993 | — | 1/28/25 | (Federal Funds | Richmond Mutual | (571) |
| | | | | Effective Rate US | Bancorporation | |
| | | | | plus 0.25%) — | Inc — Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 65 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $38,094 | $37,217 | $— | 1/28/25 | (Federal Funds | Rigel | $(937) |
| | | | | Effective Rate US | Pharmaceuticals | |
| | | | | plus 0.25%) — | Inc — Monthly | |
| | | | | Monthly | | |
| 7,530 | 7,366 | — | 1/28/25 | (Federal Funds | Rivernorth/ | (93) |
| | | | | Effective Rate US | Doublelne Strategic | |
| | | | | plus 0.25%) — | Opportunity Fund | |
| | | | | Monthly | Inc — Monthly | |
| 46,113 | 42,796 | — | 1/28/25 | (Federal Funds | Riverview Bancorp | (3,386) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 24,144 | 23,289 | — | 1/28/25 | (Federal Funds | Robert Half | (737) |
| | | | | Effective Rate US | International Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 19,987 | 18,939 | — | 1/28/25 | (Federal Funds | Roche Holding Ag — | (1,075) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 10,148 | 9,542 | — | 1/28/25 | (Federal Funds | Rockwell | (568) |
| | | | | Effective Rate US | Automation Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 25,923 | 26,144 | — | 1/28/25 | (Federal Funds | Roku Inc — Monthly | 179 |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 14,260 | 13,543 | — | 1/28/25 | (Federal Funds | Roland Dg Corp — | (659) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 12,878 | 12,854 | — | 1/28/25 | (Federal Funds | Rolls-Royce | (34) |
| | | | | Effective Rate US | Holdings Plc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 22,657 | 21,378 | — | 1/28/25 | (Federal Funds | Royal Mail Plc — | (1,303) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 19,735 | 18,625 | — | 1/28/25 | (Federal Funds | Royal Unibrew As — | (1,139) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 24,266 | 20,862 | — | 1/28/25 | (Federal Funds | Rr Donnelley & Sons | (3,116) |
| | | | | Effective Rate US | Co — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| |
| 66 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $35,189 | $34,970 | $— | 1/28/25 | (Federal Funds | Ruth’s Hospitality | $(269) |
| | | | | Effective Rate US | Group Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 6,779 | 6,549 | — | 1/28/25 | (Federal Funds | Ryoyo Electro | (108) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 16,388 | 15,618 | — | 1/28/25 | (Federal Funds | Safran Sa — Monthly | (796) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 29,247 | 26,785 | — | 1/28/25 | (Federal Funds | Sage Group Plc/ | (2,064) |
| | | | | Effective Rate US | The — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 5,651 | 5,363 | — | 1/28/25 | (Federal Funds | Saint Marc Holdings | (298) |
| | | | | Effective Rate US | Co Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 5,879 | 5,696 | — | 1/28/25 | (Federal Funds | Saizeriya Co Ltd — | (192) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 27,367 | 26,071 | — | 1/28/25 | (Federal Funds | Salesforce.com | (1,309) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 23,771 | 22,849 | — | 1/28/25 | (Federal Funds | Samsung | (911) |
| | | | | Effective Rate US | Electronics Co Ltd — | |
| | | | | plus 0.35%) — | Monthly | |
| | | | | Monthly | | |
| 9,677 | 9,207 | — | 1/28/25 | (Federal Funds | Samsung | (488) |
| | | | | Effective Rate US | Engineering Co | |
| | | | | plus 0.35%) — | Ltd — Monthly | |
| | | | | Monthly | | |
| 10,901 | 10,319 | — | 1/28/25 | (Federal Funds | Sandvik Ab — | (599) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 32,521 | 40,262 | — | 1/28/25 | (Federal Funds | Sangamo | 7,692 |
| | | | | Effective Rate US | Therapeutics Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 6,139 | 6,123 | — | 1/28/25 | (Federal Funds | Sangetsu Corp — | (26) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 67 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $7,049 | $7,081 | $— | 1/28/25 | (Federal Funds | Sanki Engineering | $21 |
| | | | | Effective Rate US | Co Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 17,364 | 16,433 | — | 1/28/25 | (Federal Funds | Sankyo Co Ltd — | (955) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 4,708 | 4,508 | — | 1/28/25 | (Federal Funds | Sato Holdings | (209) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 24,170 | 23,595 | — | 1/28/25 | (Federal Funds | Saudi Industrial | (632) |
| | | | | Effective Rate US | Investment Group — | |
| | | | | plus 1.20%) — | Monthly | |
| | | | | Monthly | | |
| 48,181 | 43,526 | — | 1/28/25 | (Federal Funds | Saul Centers Inc — | (4,192) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 4,905 | 4,502 | — | 1/28/25 | (Federal Funds | Scala Inc — Monthly | (319) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 11,571 | 12,003 | — | 1/28/25 | (Federal Funds | Scandinavian | 415 |
| | | | | Effective Rate US | Tobacco Group As — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 8,019 | 8,716 | — | 1/28/25 | (Federal Funds | Seegene Inc — | 685 |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 8,302 | 7,851 | — | 1/28/25 | (Federal Funds | Sekisui House Ltd — | (328) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 71,607 | 66,625 | — | 1/28/25 | (Federal Funds | Select Medical | (5,095) |
| | | | | Effective Rate US | Holdings Corp — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 13,925 | 13,643 | — | 1/28/25 | (Federal Funds | Sella Capital | (171) |
| | | | | Effective Rate US | Real Estate Ltd — | |
| | | | | plus 0.70%) — | Monthly | |
| | | | | Monthly | | |
| 16,805 | 15,912 | — | 1/28/25 | (Federal Funds | Sensata | (903) |
| | | | | Effective Rate US | Technologies | |
| | | | | plus 0.25%) — | Holding — Monthly | |
| | | | | Monthly | | |
| |
| 68 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $12,878 | $12,559 | $— | 1/28/25 | (Federal Funds | Sesa Spa — Monthly | $(338) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 14,606 | 13,426 | — | 1/28/25 | (Federal Funds | Seven Group | (1,202) |
| | | | | Effective Rate US | Holdings Ltd — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 20,981 | 20,608 | — | 1/28/25 | (Federal Funds | Shandong Weigao | (400) |
| | | | | Effective Rate US | Group Medical | |
| | | | | plus 0.25%) — | Polymer Co Ltd — | |
| | | | | Monthly | Monthly | |
| 6,828 | 6,685 | — | 1/28/25 | (Federal Funds | Shimamura Co | (73) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 5,761 | 5,572 | — | 1/28/25 | (Federal Funds | Shindengen Electric | (198) |
| | | | | Effective Rate US | Manufacturing Co | |
| | | | | plus 0.25%) — | Ltd — Monthly | |
| | | | | Monthly | | |
| 6,867 | 6,486 | — | 1/27/20 | (Federal Funds | Showa Denko K K — | (391) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 11,964 | 11,854 | — | 1/28/25 | (Federal Funds | Shun Tak Holdings | (128) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 34,420 | 32,228 | — | 1/28/25 | (Federal Funds | Sierra Bancorp — | (1,973) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 18,863 | 17,470 | — | 1/28/25 | (Federal Funds | Silicon Laboratories | (1,395) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 8,753 | 8,424 | — | 1/28/25 | (Federal Funds | Simcorp As — | (344) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 11,310 | 10,735 | — | 1/28/25 | (Federal Funds | Skf Ab — Monthly | (591) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 7,235 | 6,898 | — | 1/28/25 | (Federal Funds | Sky Perfect Jsat | (347) |
| | | | | Effective Rate US | Holdings Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 69 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $48,926 | $47,534 | $— | 1/28/25 | (Federal Funds | Skywest Inc — | $(1,482) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 16,355 | 16,334 | — | 11/5/20 | (Federal Funds | Smith (Ao) Corp — | 53 |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 18,352 | 17,130 | — | 1/28/25 | (Federal Funds | Software Ag — | (1,245) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 10,179 | 9,584 | — | 1/28/25 | (Federal Funds | Sonae Sgps Sa — | (611) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 26,807 | 27,048 | — | 1/28/25 | (Federal Funds | Sonic Automotive | 197 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 29,024 | 27,868 | — | 1/28/25 | (Federal Funds | Sonova Holding | (1,198) |
| | | | | Effective Rate US | Ag — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 8,520 | 8,461 | — | 11/20/23 | (Federal Funds | Spectrum Brands | (7) |
| | | | | Effective Rate US | Holdings Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 8,929 | 8,075 | — | 1/28/25 | (Federal Funds | Spirent | (866) |
| | | | | Effective Rate US | Communications | |
| | | | | plus 0.25%) — | Plc — Monthly | |
| | | | | Monthly | | |
| 19,303 | 17,279 | — | 1/28/25 | (Federal Funds | Spirit Aerosystems | (2,055) |
| | | | | Effective Rate US | Holdings Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 54,455 | 59,248 | — | 1/28/25 | (Federal Funds | Square Inc — | 4,767 |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 17,195 | 15,653 | — | 1/28/25 | (Federal Funds | Standard Life | (1,543) |
| | | | | Effective Rate US | Aberdeen Plc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 13,018 | 12,462 | — | 1/28/25 | (Federal Funds | Star Entertainment | (212) |
| | | | | Effective Rate US | Group Ltd/The — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
|
| 70 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $4,416 | $4,201 | $— | 1/28/25 | (Federal Funds | Steelcase Inc — | $(221) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 37,290 | 34,989 | — | 1/28/25 | (Federal Funds | Steven Madden | (2,360) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 43,370 | 39,796 | — | 1/28/25 | (Federal Funds | Stifel Financial | (3,505) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 1,952 | 1,812 | — | 1/28/25 | (Federal Funds | Stone Harbor | (118) |
| | | | | Effective Rate US | Emerging Markets | |
| | | | | plus 0.25%) — | Total Income | |
| | | | | Monthly | Fund — Monthly | |
| 55,971 | 54,825 | — | 1/28/25 | (Federal Funds | Strategic Education | (1,214) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 7,652 | 7,286 | — | 1/28/25 | (Federal Funds | Subaru Corp — | (377) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 8,473 | 7,958 | — | 1/28/25 | (Federal Funds | Sulzer Ag — Monthly | (528) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 8,147 | 7,652 | — | 1/28/25 | (Federal Funds | Sumitomo Chemical | (509) |
| | | | | Effective Rate US | Co Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 7,233 | 7,160 | — | 1/28/25 | (Federal Funds | Sumitomo Corp — | (84) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 3,563 | 3,426 | — | 1/28/25 | (Federal Funds | Sumitomo Osaka | (143) |
| | | | | Effective Rate US | Cement Co Ltd — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 9,539 | 9,417 | — | 1/28/25 | (Federal Funds | Summit Properties | (135) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 14,899 | 15,645 | — | 1/28/25 | (Federal Funds | Sundrug Co Ltd — | 722 |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 71 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $43,799 | $41,238 | $— | 1/28/25 | (Federal Funds | Sunstone Hotel | $(2,629) |
| | | | | Effective Rate US | Investors Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 8,330 | 7,692 | — | 1/28/25 | (Federal Funds | Super Retail Group | (449) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 27,283 | 25,700 | — | 1/28/25 | (Federal Funds | Sushiro Global | (1,627) |
| | | | | Effective Rate US | Holdings Ltd — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 35,381 | 34,220 | — | 1/28/25 | (Federal Funds | Sutro Biopharma | (1,210) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 21,981 | 20,400 | — | 1/28/25 | (Federal Funds | Svb Financial | (1,615) |
| | | | | Effective Rate US | Group — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 49,967 | 47,578 | — | 1/28/25 | (Federal Funds | Swedish Match Ab — | (2,455) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 24,411 | 23,222 | — | 1/28/25 | (Federal Funds | Synchrony | (1,050) |
| | | | | Effective Rate US | Financial — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 5,641 | 5,179 | — | 1/28/25 | (Federal Funds | Syuppin Co Ltd — | (472) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 20,471 | 20,028 | — | 1/28/25 | (Federal Funds | Taiwan | (466) |
| | | | | Effective Rate US | Semiconductor | |
| | | | | plus 0.25%) — | Manufacturing Co — | |
| | | | | Monthly | Monthly | |
| 7,680 | 6,928 | — | 1/28/25 | (Federal Funds | Takara Bio Inc — | (763) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 11,166 | 10,963 | — | 1/28/25 | (Federal Funds | Take-Two | (221) |
| | | | | Effective Rate US | Interactive Software | |
| | | | | plus 0.25%) — | Inc — Monthly | |
| | | | | Monthly | | |
| 6,851 | 6,475 | — | 1/28/25 | (Federal Funds | Takeei Corp — | (389) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| |
| 72 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $39,289 | $38,954 | $— | 1/28/25 | (Federal Funds | Tallgrass Energy | $(390) |
| | | | | Effective Rate US | Lp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 5,860 | 5,440 | — | 1/28/25 | (Federal Funds | Tanseisha Co Ltd — | (330) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 28,671 | 28,586 | — | 1/28/25 | (Federal Funds | Tapestry Inc — | (131) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 70,669 | 70,397 | — | 12/4/23 | (Federal Funds | Td Ameritrade | (85) |
| | | | | Effective Rate US | Holding Corp — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 6,074 | 5,910 | — | 1/28/25 | (Federal Funds | Tdk Corp — Monthly | (173) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 37,450 | 38,001 | — | 1/28/25 | (Federal Funds | Tech Data Corp — | 552 |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 35,649 | 33,168 | — | 1/28/25 | (Federal Funds | Techtarget Inc — | (2,533) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 61,531 | 61,583 | — | 1/28/25 | (Federal Funds | Telenav Inc — | (16) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 13,783 | 13,244 | — | 1/28/25 | (Federal Funds | Templeton | (465) |
| | | | | Effective Rate US | Emerging Markets | |
| | | | | plus 0.25%) — | Income Fund — | |
| | | | | Monthly | Monthly | |
| 6,539 | 6,449 | — | 1/28/25 | (Federal Funds | Terumo Corp — | (100) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 6,910 | 6,457 | — | 1/28/25 | (Federal Funds | Tessco | (443) |
| | | | | Effective Rate US | Technologies Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 1,864 | 1,772 | — | 1/28/25 | (Federal Funds | Thl Credit Senior | (83) |
| | | | | Effective Rate US | Loan Fund — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 73 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $39,252 | $39,275 | $— | 1/28/25 | (Federal Funds | Tiffany & Co — | $(32) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 15,159 | 13,904 | — | 1/28/25 | (Federal Funds | Timberland | (1,159) |
| | | | | Effective Rate US | Bancorp Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 25,399 | 25,468 | — | 1/28/25 | (Federal Funds | Tingyi (Cayman | 37 |
| | | | | Effective Rate US | Islands) Holding | |
| | | | | plus 0.25%) — | Corp — Monthly | |
| | | | | Monthly | | |
| 5,765 | 5,419 | — | 1/28/25 | (Federal Funds | Tobishima Corp — | (355) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 30,358 | 28,770 | — | 1/28/25 | (Federal Funds | Tokyo Electron | (1,632) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 53,698 | 49,894 | — | 1/28/25 | (Federal Funds | Topbuild Corp — | (3,885) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 8,424 | 8,136 | — | 1/28/25 | (Federal Funds | Toshiba Corp — | (302) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 24,074 | 22,997 | — | 1/28/25 | (Federal Funds | Toyo Construction | (1,114) |
| | | | | Effective Rate US | Co Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 19,760 | 19,817 | — | 1/28/25 | (Federal Funds | Toyo Suisan Kaisha | 28 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 6,426 | 6,291 | — | 1/28/25 | (Federal Funds | Toyobo Co Ltd — | (145) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 29,563 | 27,921 | — | 1/28/25 | (Federal Funds | Transunion Llc — | (1,683) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 22,821 | 20,980 | — | 1/28/25 | (Federal Funds | Travis Perkins Plc — | (1,864) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| |
| 74 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $8,690 | $8,272 | $— | 1/28/25 | (Federal Funds | Trelleborg Ab — | $(431) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 57,995 | 55,532 | — | 1/28/25 | (Federal Funds | Trico Bancshares — | (2,549) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 18,783 | 18,164 | — | 1/28/25 | (Federal Funds | Tripod Technology | (619) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 5,064 | 4,756 | — | 1/28/25 | (Federal Funds | Tsubaki Nakashima | (317) |
| | | | | Effective Rate US | Co Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 5,607 | 5,457 | — | 1/28/25 | (Federal Funds | Tsubakimoto Chain | (159) |
| | | | | Effective Rate US | Co — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 10,254 | 10,330 | — | 1/28/25 | (Federal Funds | Tty Biopharm Co | 75 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.35%) — | | |
| | | | | Monthly | | |
| 7,539 | 7,298 | — | 1/28/25 | (Federal Funds | Ube Industries Ltd — | (252) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 24,511 | 22,693 | — | 1/28/25 | (Federal Funds | Ucb Sa — Monthly | (1,850) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 42,660 | 39,925 | — | 1/28/25 | (Federal Funds | Ufp Industries Inc — | (2,687) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 60,676 | 59,526 | — | 1/28/25 | (Federal Funds | Unisys Corp — | (1,202) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 41,919 | 37,775 | — | 1/28/25 | (Federal Funds | United Security | (4,206) |
| | | | | Effective Rate US | Bancshares/Fresno | |
| | | | | plus 0.25%) — | Ca — Monthly | |
| | | | | Monthly | | |
| 22,016 | 22,707 | — | 1/28/25 | (Federal Funds | Universal Display | 653 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 75 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $46,241 | $40,911 | $— | 1/28/25 | (Federal Funds | Universal | $(5,402) |
| | | | | Effective Rate US | Electronics Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 9,428 | 8,918 | — | 1/28/25 | (Federal Funds | Valora Holding Ag — | (523) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 34,218 | 32,937 | — | 1/28/25 | (Federal Funds | Veeva Systems Inc — | (1,328) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 47,361 | 48,621 | — | 1/28/25 | (Federal Funds | Vericel Corp — | 1,173 |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 21,232 | 20,939 | — | 1/28/25 | (Federal Funds | Vipshop Holdings | (321) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 29,018 | 28,173 | — | 1/28/25 | (Federal Funds | Visa Inc — Monthly | (843) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 11,201 | 10,521 | — | 1/28/25 | (Federal Funds | Vivendi — Monthly | (696) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 16,068 | 15,582 | — | 1/28/25 | (Federal Funds | Volkswagen Ag — | (510) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 53,404 | 53,365 | — | 1/28/25 | (Federal Funds | Wabco Holdings | (115) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 27,016 | 27,551 | — | 1/28/25 | (Federal Funds | Weichai Power Co | 499 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 4,893 | 4,555 | — | 1/28/25 | (Federal Funds | Wells Fargo Multi- | (306) |
| | | | | Effective Rate US | Sector Income Fund | |
| | | | | plus 0.25%) — | Inc — Monthly | |
| | | | | Monthly | | |
| 25,938 | 23,803 | — | 1/28/25 | (Federal Funds | Western Alliance | (2,047) |
| | | | | Effective Rate US | Bancorp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| |
| 76 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $15,689 | $14,930 | $— | 1/28/25 | (Federal Funds | Western Asset | $(673) |
| | | | | Effective Rate US | Emerging Markets | |
| | | | | plus 0.25%) — | Debt Fund Inc — | |
| | | | | Monthly | Monthly | |
| 15,205 | 14,377 | — | 1/28/25 | (Federal Funds | Western Asset High | (740) |
| | | | | Effective Rate US | Income Fund Ii Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 4,580 | 4,406 | — | 1/28/25 | (Federal Funds | Western Asset | (166) |
| | | | | Effective Rate US | Managed Municipals | |
| | | | | plus 0.25%) — | Fund Inc — Monthly | |
| | | | | Monthly | | |
| 9,081 | 8,651 | — | 1/28/25 | (Federal Funds | Westports Holdings | (290) |
| | | | | Effective Rate US | Bhd — Monthly | |
| | | | | plus 0.75%) — | | |
| | | | | Monthly | | |
| 41,322 | 40,151 | — | 1/28/25 | (Federal Funds | Westwood Holdings | (1,233) |
| | | | | Effective Rate US | Group Inc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 22,931 | 21,712 | — | 1/28/25 | (Federal Funds | Wetherspoon (Jd) | (1,243) |
| | | | | Effective Rate US | Plc — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 5,785 | 5,292 | — | 1/29/20 | (Federal Funds | Whitbread Plc — | (501) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 24,636 | 22,549 | — | 1/28/25 | (Federal Funds | Wienerberger Ag — | (2,123) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 4,949 | 4,528 | — | 1/28/25 | (Federal Funds | Will Group Inc — | (429) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 17,648 | 16,202 | — | 1/28/25 | (Federal Funds | Woodward Inc — | (1,428) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 41,844 | 41,775 | — | 1/28/25 | (Federal Funds | Wright Medical | (127) |
| | | | | Effective Rate US | Group Nv — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 22,633 | 22,110 | — | 1/28/25 | (Federal Funds | Wuxi Apptec Co | (549) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 77 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $16,806 | $16,375 | $— | 1/28/25 | (Federal Funds | Ww Grainger Inc — | $(409) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 3,701 | 3,488 | — | 1/28/25 | (Federal Funds | Xai Octagon | (198) |
| | | | | Effective Rate US | Floating Rate & | |
| | | | | plus 0.25%) — | Alternative Income | |
| | | | | Monthly | Term Trust — | |
| | | | | | Monthly | |
| 48,824 | 47,565 | — | 1/28/25 | (Federal Funds | Xencor Inc — | (1,337) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 17,222 | 15,520 | — | 1/28/25 | (Federal Funds | Xerox Holdings | (1,474) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 12,176 | 12,483 | — | 1/28/25 | (Federal Funds | Yamaha Motor | 295 |
| | | | | Effective Rate US | Robotics Holdings | |
| | | | | plus 0.25%) — | Co Ltd — Monthly | |
| | | | | Monthly | | |
| 48,982 | 46,498 | — | 1/28/25 | (Federal Funds | Yelp Inc — Monthly | (2,557) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 18,106 | 19,520 | — | 1/28/25 | (Federal Funds | Yichang Hec | 1,388 |
| | | | | Effective Rate US | Changjiang | |
| | | | | plus 0.25%) — | Pharmaceutical Co | |
| | | | | Monthly | Ltd — Monthly | |
| 6,801 | 6,442 | — | 1/28/25 | (Federal Funds | Yokogawa Electric | (369) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 6,526 | 6,327 | — | 1/28/25 | (Federal Funds | Yokohama Reito Co | (209) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 7,528 | 7,343 | — | 1/28/25 | (Federal Funds | Yuexiu Property Co | (195) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 45,553 | 45,697 | — | 1/28/25 | (Federal Funds | Zayo Group | 80 |
| | | | | Effective Rate US | Holdings Inc — | |
| | | | | plus 0.25%) — | Monthly | |
| | | | | Monthly | | |
| 21,781 | 21,097 | — | 1/28/25 | (Federal Funds | Zebra Technologies | (719) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| |
| 78 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $21,721 | $21,117 | $— | 1/28/25 | (Federal Funds | Zogenix Inc — | $(656) |
| | | | | Effective Rate US | Monthly | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 18,079 | 17,377 | — | 1/29/20 | (Federal Funds | Zte Corp — Monthly | (724) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 19,980 | 19,486 | — | 1/28/25 | (Federal Funds | Zynga Inc — Monthly | (518) |
| | | | | Effective Rate US | | |
| | | | | plus 0.25%) — | | |
| | | | | Monthly | | |
| 11,926 | 9,698 | — | 1/28/25 | Federal Funds | 22nd Century Group | 2,168 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 6.85% — | | |
| | | | | Monthly | | |
| 29,256 | 26,170 | — | 1/28/25 | Federal Funds | 3D Systems Corp — | 3,116 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 19,853 | 18,796 | — | 1/28/25 | Federal Funds | 8X8 Inc — Monthly | 1,077 |
| | | | | Effective Rate US | | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 24,327 | 23,032 | — | 1/28/25 | Federal Funds | Abbott | 1,215 |
| | | | | Effective Rate US | Laboratories — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 31,032 | 30,084 | — | 1/28/25 | Federal Funds | Abbvie Inc — | 1,131 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 9,566 | 9,343 | — | 1/28/25 | Federal Funds | Ablbio Lnc — | 169 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 10.25% — | | |
| | | | | Monthly | | |
| 6,357 | 6,017 | — | 1/28/25 | Federal Funds | Acacia Research | 344 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.83% — | | |
| | | | | Monthly | | |
| 18,473 | 17,375 | — | 9/11/20 | Federal Funds | Acadia Healthcare | 1,117 |
| | | | | Effective Rate US | Co Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 10,380 | 9,692 | — | 1/28/25 | Federal Funds | Accton Technology | 688 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 3.00% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 79 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $20,735 | $20,349 | $— | 1/28/25 | Federal Funds | Acelrx | $(5) |
| | | | | Effective Rate US | Pharmaceuticals | |
| | | | | minus 18.46% — | Inc — Monthly | |
| | | | | Monthly | | |
| 38,805 | 32,387 | — | 1/28/25 | Federal Funds | Acer Therapeutics | 6,332 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 3.47% — | | |
| | | | | Monthly | | |
| 9,125 | 8,508 | — | 1/28/25 | Federal Funds | Ado Properties Sa — | 622 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.88% — | | |
| | | | | Monthly | | |
| 4,793 | 4,557 | — | 1/28/25 | Federal Funds | Advantest Corp — | 242 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 28,221 | 24,818 | — | 1/28/25 | Federal Funds | Aegion Corp — | 3,434 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 12,783 | 12,673 | — | 1/28/25 | Federal Funds | Agex Therapeutics | 90 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 2.83% — | | |
| | | | | Monthly | | |
| 23,246 | 21,761 | — | 1/28/25 | Federal Funds | Agree Realty Corp — | 1,509 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 14,003 | 12,619 | — | 1/28/25 | Federal Funds | Aimmune | 1,400 |
| | | | | Effective Rate US | Therapeutics Inc — | |
| | | | | minus 1.28% — | Monthly | |
| | | | | Monthly | | |
| 24,307 | 24,362 | — | 1/28/25 | Federal Funds | Air Transport | (25) |
| | | | | Effective Rate US | Services Group | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 10,349 | 9,428 | — | 1/28/25 | Federal Funds | Airbus Se — Monthly | 932 |
| | | | | Effective Rate US | | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 25,626 | 24,281 | — | 1/28/25 | Federal Funds | Akcea Therapeutics | 1,317 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 2.83% — | | |
| | | | | Monthly | | |
| 31,262 | 31,436 | — | 1/28/25 | Federal Funds | Akoustis | (485) |
| | | | | Effective Rate US | Technologies Inc — | |
| | | | | minus 10.83% — | Monthly | |
| | | | | Monthly | | |
| |
| 80 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $12,699 | $12,123 | $— | 1/28/25 | Federal Funds | Alibaba Pictures | $583 |
| | | | | Effective Rate US | Group Ltd — | |
| | | | | minus 0.88% — | Monthly | |
| | | | | Monthly | | |
| 5,393 | 5,423 | — | 1/28/25 | Federal Funds | Allakos Inc — | (26) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.83% — | | |
| | | | | Monthly | | |
| 21,888 | 20,353 | — | 1/28/25 | Federal Funds | Allegion Plc — | 1,558 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 24,483 | 25,974 | — | 1/28/25 | Federal Funds | Allogene | (1,481) |
| | | | | Effective Rate US | Therapeutics Inc — | |
| | | | | minus 0.83% — | Monthly | |
| | | | | Monthly | | |
| 8,135 | 7,335 | — | 1/28/25 | Federal Funds | Amarin Corp Plc — | 806 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.78% — | | |
| | | | | Monthly | | |
| 12,612 | 11,801 | — | 1/28/25 | Federal Funds | Ambac Financial | 824 |
| | | | | Effective Rate US | Group Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 18,763 | 18,365 | — | 1/28/25 | Federal Funds | Ambu As — Monthly | 405 |
| | | | | Effective Rate US | | |
| | | | | minus 1.50% — | | |
| | | | | Monthly | | |
| 26,277 | 25,478 | — | 1/28/25 | Federal Funds | Amerco — Monthly | 829 |
| | | | | Effective Rate US | | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 24,975 | 23,399 | — | 1/28/25 | Federal Funds | American | 1,605 |
| | | | | Effective Rate US | International Group | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 15,581 | 15,481 | — | 1/28/25 | Federal Funds | Amrest Holdings | 100 |
| | | | | Effective Rate US | Se — Monthly | |
| | | | | minus 1.50% — | | |
| | | | | Monthly | | |
| 18,949 | 17,993 | — | 1/28/25 | Federal Funds | Analog Devices | 872 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 47,554 | 44,299 | — | 1/28/25 | Federal Funds | Anavex Life Sciences | 3,137 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 6.15% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 81 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $27,125 | $26,810 | $— | 1/28/25 | Federal Funds | Anika Therapeutics | $344 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 34,889 | 34,678 | — | 1/28/25 | Federal Funds | Appfolio Inc — | 249 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 57,671 | 57,464 | — | 1/28/25 | Federal Funds | Applied | 271 |
| | | | | Effective Rate US | Therapeutics Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 8,112 | 7,226 | — | 1/28/25 | Federal Funds | Aramark — Monthly | 873 |
| | | | | Effective Rate US | | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 29,351 | 27,792 | — | 1/28/25 | Federal Funds | Argan Inc — Monthly | 1,422 |
| | | | | Effective Rate US | | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 4,775 | 4,795 | — | 1/28/25 | Federal Funds | Asahi Intecc Co | (15) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 17,518 | 17,601 | — | 1/28/25 | Federal Funds | Ascendis Pharma | (65) |
| | | | | Effective Rate US | As — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 24,737 | 23,167 | — | 1/28/25 | Federal Funds | Aselsan Elektronik | 1,457 |
| | | | | Effective Rate US | Sanayi Ve Ticaret | |
| | | | | minus 10.50% — | As — Monthly | |
| | | | | Monthly | | |
| 23,180 | 22,441 | — | 1/28/25 | Federal Funds | Asos Plc — Monthly | 750 |
| | | | | Effective Rate US | | |
| | | | | minus 0.62% — | | |
| | | | | Monthly | | |
| 25,121 | 23,792 | — | 1/28/25 | Federal Funds | Assured Guaranty | 1,357 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 32,232 | 30,190 | — | 1/28/25 | Federal Funds | Astec Industries | 2,076 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 5,707 | 4,897 | — | 1/28/25 | Federal Funds | Aston Martin | 787 |
| | | | | Effective Rate US | Lagonda Global | |
| | | | | minus 6.50% — | Holdings Plc — | |
| | | | | Monthly | Monthly | |
| |
| 82 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $13,741 | $12,160 | $— | 1/28/25 | Federal Funds | At Home Group | $1,596 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 35,597 | 32,684 | — | 1/28/25 | Federal Funds | Atlantic Union | 2,676 |
| | | | | Effective Rate US | Bankshares Corp — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 16,555 | 16,380 | — | 1/28/25 | Federal Funds | Atlassian Corp Plc — | 191 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 13,308 | 12,502 | — | 1/28/25 | Federal Funds | Atom Corp — | 794 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 2.63% — | | |
| | | | | Monthly | | |
| 17,992 | 16,315 | — | 1/28/25 | Federal Funds | Au Optronics | 1,676 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 3.68% — | | |
| | | | | Monthly | | |
| 13,356 | 11,919 | — | 1/28/25 | Federal Funds | Aurora Cannabis | 666 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 77.36% — | | |
| | | | | Monthly | | |
| 863 | 787 | — | 1/28/25 | Federal Funds | Ausgroup Ltd — | 71 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 10.25% — | | |
| | | | | Monthly | | |
| 16,990 | 16,282 | — | 1/28/25 | Federal Funds | Autoliv Inc — | 576 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 2,880 | 2,677 | — | 1/28/25 | Federal Funds | Autonomous | 155 |
| | | | | Effective Rate US | Control Systems | |
| | | | | minus 19.13% — | Laboratory Ltd — | |
| | | | | Monthly | Monthly | |
| 21,692 | 21,310 | — | 1/28/25 | Federal Funds | Avichina Industry | 397 |
| | | | | Effective Rate US | & Technology Co | |
| | | | | minus 0.40% — | Ltd — Monthly | |
| | | | | Monthly | | |
| 8,316 | 7,267 | — | 1/28/25 | Federal Funds | Avita Medical Ltd — | 1,009 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 6.98% — | | |
| | | | | Monthly | | |
| 32,380 | 31,312 | — | 1/28/25 | Federal Funds | Axos Financial Inc — | 1,103 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 83 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $15,269 | $14,384 | $— | 1/28/25 | Federal Funds | Ayala Land Inc — | $874 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 2.50% — | | |
| | | | | Monthly | | |
| 10,912 | 10,078 | — | 1/28/25 | Federal Funds | Bachem Holding | 844 |
| | | | | Effective Rate US | Ag — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 30,907 | 28,069 | — | 1/28/25 | Federal Funds | Banc Of California | 2,869 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 27,648 | 25,989 | — | 1/28/25 | Federal Funds | Bank First Corp — | 1,590 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 3.78% — | | |
| | | | | Monthly | | |
| 26,298 | 24,261 | — | 1/28/25 | Federal Funds | Bank Of Hawaii | 1,850 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 27,916 | 26,115 | — | 1/28/25 | Federal Funds | Bank Of Princeton/ | 1,732 |
| | | | | Effective Rate US | The — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 32,349 | 32,000 | — | 1/28/25 | Federal Funds | Bankwell Financial | 223 |
| | | | | Effective Rate US | Group Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 14,844 | 14,591 | — | 1/28/25 | Federal Funds | Baozun Inc — | 216 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 4.23% — | | |
| | | | | Monthly | | |
| 22,454 | 21,257 | — | 1/28/25 | Federal Funds | Bar Harbor | 992 |
| | | | | Effective Rate US | Bankshares — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 19,938 | 19,289 | — | 1/28/25 | Federal Funds | Barwa Real Estate | 616 |
| | | | | Effective Rate US | Co — Monthly | |
| | | | | minus 3.50% — | | |
| | | | | Monthly | | |
| 9,133 | 8,912 | — | 1/28/25 | Federal Funds | Basic-Fit Nv — | 230 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 22,784 | 22,476 | — | 1/28/25 | Federal Funds | Bbmg Corp Ltd — | 328 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40% — | | |
| | | | | Monthly | | |
| |
| 84 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $26,584 | $25,685 | $— | 1/28/25 | Federal Funds | Becton Dickinson | $931 |
| | | | | Effective Rate US | And Co — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 16,239 | 16,561 | — | 1/28/25 | Federal Funds | Bed Bath & Beyond | (340) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 3.98% — | | |
| | | | | Monthly | | |
| 7,859 | 7,673 | — | 1/28/25 | Federal Funds | Befesa Sa — | 196 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 11,051 | 10,034 | — | 1/28/25 | Federal Funds | Benefitfocus Inc — | 1,032 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 31,319 | 29,146 | — | 1/28/25 | Federal Funds | Berkshire Hills | 1,922 |
| | | | | Effective Rate US | Bancorp Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 12,406 | 12,784 | — | 1/28/25 | Federal Funds | Best Inc — Monthly | (364) |
| | | | | Effective Rate US | | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 28,308 | 26,726 | — | 1/28/25 | Federal Funds | Beyondspring Inc — | 1,328 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 13.13% — | | |
| | | | | Monthly | | |
| 24,659 | 22,937 | — | 1/28/25 | Federal Funds | Bgc Partners Inc — | 1,063 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 14,687 | 14,403 | — | 1/28/25 | Federal Funds | Bim Birlesik | 294 |
| | | | | Effective Rate US | Magazalar As — | |
| | | | | minus 0.75% — | Monthly | |
| | | | | Monthly | | |
| 10,614 | 10,160 | — | 1/28/25 | Federal Funds | Bingo Industries | 448 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 2.25% — | | |
| | | | | Monthly | | |
| 8,064 | 7,698 | — | 1/28/25 | Federal Funds | Biocartis Nv — | 273 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 14.50% — | | |
| | | | | Monthly | | |
| 14,264 | 13,517 | — | 1/28/25 | Federal Funds | Biosig Technologies | 622 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 10.79% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 85 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $20,727 | $19,613 | $— | 10/30/20 | Federal Funds | Black Knight Inc — | $1,134 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 8,919 | 8,382 | — | 1/28/25 | Federal Funds | Blackmores Ltd — | 475 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 8.38% — | | |
| | | | | Monthly | | |
| 11,710 | 11,235 | — | 1/28/25 | Federal Funds | Blue Prism Group | 441 |
| | | | | Effective Rate US | Plc — Monthly | |
| | | | | minus 4.63% — | | |
| | | | | Monthly | | |
| 18,349 | 17,672 | — | 1/28/25 | Federal Funds | Bluelinx Holdings | 683 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 1.08% — | | |
| | | | | Monthly | | |
| 18,335 | 16,507 | — | 1/28/25 | Federal Funds | Boeing Co/The — | 1,725 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 18,834 | 17,666 | — | 1/28/25 | Federal Funds | Bok Financial | 1,176 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 22,037 | 21,367 | — | 1/28/25 | Federal Funds | Boston Omaha | 691 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 8,544 | 8,359 | — | 1/28/25 | Federal Funds | Briggs & Stratton | 193 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.73% — | | |
| | | | | Monthly | | |
| 17,669 | 16,385 | — | 1/27/20 | Federal Funds | Broadridge | 1,291 |
| | | | | Effective Rate US | Financial Solutions | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 9,126 | 9,008 | — | 1/28/25 | Federal Funds | Brunello Cucinelli | 128 |
| | | | | Effective Rate US | Spa — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 12,282 | 11,656 | — | 1/28/25 | Federal Funds | Bukwang | 614 |
| | | | | Effective Rate US | Pharmaceutical | |
| | | | | minus 2.63% — | Co — Monthly | |
| | | | | Monthly | | |
| 28,769 | 25,775 | — | 1/28/25 | Federal Funds | Bwx Technologies | 3,026 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| |
| 86 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $30,139 | $27,537 | $— | 1/28/25 | Federal Funds | Byd Co Ltd — | $2,433 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 10.25% — | | |
| | | | | Monthly | | |
| 23,385 | 22,539 | — | 1/28/25 | Federal Funds | Cal-Maine Foods | 870 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 35,497 | 33,453 | ��� | 1/28/25 | Federal Funds | Calix Inc — Monthly | 2,079 |
| | | | | Effective Rate US | | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 47,531 | 44,720 | — | 1/28/25 | Federal Funds | Camping World | 2,849 |
| | | | | Effective Rate US | Holdings Inc — | |
| | | | | minus 0.58% — | Monthly | |
| | | | | Monthly | | |
| 26,800 | 25,619 | — | 1/28/25 | Federal Funds | Cantel Medical | 1,167 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 33,911 | 32,209 | — | 1/28/25 | Federal Funds | Capitol Federal | 1,515 |
| | | | | Effective Rate US | Financial Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 21,950 | 20,802 | — | 1/28/25 | Federal Funds | Cara Therapeutics | 1,163 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.68% — | | |
| | | | | Monthly | | |
| 21,364 | 20,431 | — | 1/28/25 | Federal Funds | Carmax Inc — | 957 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 7,235 | 6,337 | — | 1/28/25 | Federal Funds | Carna Biosciences | 856 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 7.63% — | | |
| | | | | Monthly | | |
| 12,361 | 12,481 | — | 1/28/25 | Federal Funds | Carnival Corp — | (288) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 23,530 | 21,683 | — | 1/28/25 | Federal Funds | Carter Bank & | 1,694 |
| | | | | Effective Rate US | Trust — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 20,617 | 16,831 | — | 1/28/25 | Federal Funds | Carvana Co — | 3,803 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 87 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $29,436 | $27,569 | $— | 1/28/25 | Federal Funds | Catalent Inc — | $1,902 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 20,736 | 18,830 | — | 1/28/25 | Federal Funds | Catchmark Timber | 1,651 |
| | | | | Effective Rate US | Trust Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 53,703 | 49,283 | — | 1/28/25 | Federal Funds | Celsius Holdings | 4,285 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 5.08% — | | |
| | | | | Monthly | | |
| 16,126 | 15,649 | — | 1/28/25 | Federal Funds | Cemex Sab De Cv — | 498 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.25% — | | |
| | | | | Monthly | | |
| 16,534 | 18,712 | — | 3/9/20 | Federal Funds | Central Pattana | (2,179) |
| | | | | Effective Rate US | Pcl — Monthly | |
| | | | | minus 1.63% — | | |
| | | | | Monthly | | |
| 8,772 | 8,282 | — | 1/28/25 | Federal Funds | Centric Brands Inc — | 469 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 3.07% — | | |
| | | | | Monthly | | |
| 4,096 | 3,721 | — | 1/28/25 | Federal Funds | Ceragon Networks | 376 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 1.18% — | | |
| | | | | Monthly | | |
| 18,829 | 18,036 | — | 1/28/25 | Federal Funds | Ceridian Hcm | 812 |
| | | | | Effective Rate US | Holding Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 8,738 | 8,679 | — | 1/28/25 | Federal Funds | Champion Reit — | 67 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40% — | | |
| | | | | Monthly | | |
| 28,831 | 25,070 | — | 1/28/25 | Federal Funds | Change Inc — | 3,426 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 19.63% — | | |
| | | | | Monthly | | |
| 9,382 | 9,002 | — | 1/28/25 | Federal Funds | Chefs Warehouse | 390 |
| | | | | Effective Rate US | Inc/The — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 15,181 | 14,568 | — | 1/28/25 | Federal Funds | China Eastern | 627 |
| | | | | Effective Rate US | Airlines Corp Ltd — | |
| | | | | minus 0.40% — | Monthly | |
| | | | | Monthly | | |
| |
| 88 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $22,787 | $22,450 | $— | 1/28/25 | Federal Funds | China Evergrande | $353 |
| | | | | Effective Rate US | Group — Monthly | |
| | | | | minus 0.40% — | | |
| | | | | Monthly | | |
| 14,576 | 14,343 | — | 1/28/25 | Federal Funds | China Mengniu Dairy | 247 |
| | | | | Effective Rate US | Co — Monthly | |
| | | | | minus 0.40% — | | |
| | | | | Monthly | | |
| 18,408 | 17,927 | — | 1/28/25 | Federal Funds | China Southern | 498 |
| | | | | Effective Rate US | Airlines Co Ltd — | |
| | | | | minus 0.40% — | Monthly | |
| | | | | Monthly | | |
| 9,784 | 8,737 | — | 1/28/25 | Federal Funds | Chiyoda Corp — | 997 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 8.75% — | | |
| | | | | Monthly | | |
| 14,025 | 13,498 | — | 1/28/25 | Federal Funds | Chr Hansen Holding | 540 |
| | | | | Effective Rate US | As — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 18,355 | 18,060 | — | 1/28/25 | Federal Funds | Cia Cervecerias | 312 |
| | | | | Effective Rate US | Unidas Sa — | |
| | | | | minus 0.53% — | Monthly | |
| | | | | Monthly | | |
| 31,319 | 29,217 | — | 1/28/25 | Federal Funds | Cim Commercial | 2,122 |
| | | | | Effective Rate US | Trust Corp — | |
| | | | | minus 0.63% — | Monthly | |
| | | | | Monthly | | |
| 6,934 | 6,445 | — | 1/28/25 | Federal Funds | Citi Trends Inc — | 497 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 15,585 | 14,730 | — | 1/28/25 | Federal Funds | City Developments | 867 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.61% — | | |
| | | | | Monthly | | |
| 21,300 | 19,689 | — | 1/28/25 | Federal Funds | Cj Cheiljedang | 1,473 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.40% — | | |
| | | | | Monthly | | |
| 17,337 | 16,928 | — | 1/28/25 | Federal Funds | Cj Logistics Corp — | 410 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 1.50% — | | |
| | | | | Monthly | | |
| 2,590 | 2,637 | — | 1/28/25 | Federal Funds | Clipper Realty Inc — | (44) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 89 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $21,137 | $19,087 | $— | 1/28/25 | Federal Funds | Cme Group Inc — | $2,072 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 18,667 | 17,505 | — | 1/28/25 | Federal Funds | Cna Financial | 1,026 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 7,380 | 6,912 | — | 1/28/25 | Federal Funds | Coca-Cola Bottlers | 407 |
| | | | | Effective Rate US | Japan Holdings | |
| | | | | minus 0.30% — | Inc — Monthly | |
| | | | | Monthly | | |
| 17,767 | 17,148 | — | 1/28/25 | Federal Funds | Cogna Educacao — | 595 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 5.63% — | | |
| | | | | Monthly | | |
| 19,554 | 18,827 | — | 1/28/25 | Federal Funds | Cognizant | 678 |
| | | | | Effective Rate US | Technology | |
| | | | | minus 0.23% — | Solutions Corp — | |
| | | | | Monthly | Monthly | |
| 4,011 | 3,843 | — | 1/28/25 | Federal Funds | Colopl Inc — | 115 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 14.50% — | | |
| | | | | Monthly | | |
| 8,817 | 8,688 | — | 1/28/25 | Federal Funds | Coloplast As — | 137 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 29,635 | 27,547 | — | 1/28/25 | Federal Funds | Community Bank | 2,120 |
| | | | | Effective Rate US | System Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 3,006 | 2,920 | — | 1/28/25 | Federal Funds | Community | 77 |
| | | | | Effective Rate US | Financial Corp/ | |
| | | | | minus 0.23% — | The — Monthly | |
| | | | | Monthly | | |
| 30,144 | 28,578 | — | 1/28/25 | Federal Funds | Community | 1,345 |
| | | | | Effective Rate US | Healthcare Trust | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 15,802 | 14,513 | — | 1/28/25 | Federal Funds | Companhia | 1,297 |
| | | | | Effective Rate US | Brasileira de | |
| | | | | minus 1.00% — | Distribuicao — | |
| | | | | Monthly | Monthly | |
| 12,000 | 12,888 | — | 1/28/25 | Federal Funds | Compugen Ltd — | (937) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 7.68% — | | |
| | | | | Monthly | | |
|
| 90 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $21,647 | $24,283 | $— | 1/28/25 | Federal Funds | Comscore Inc — | $(2,608) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.58% — | | |
| | | | | Monthly | | |
| 4,336 | 4,356 | — | 1/28/25 | Federal Funds | Conduent Inc — | (14) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.24% — | | |
| | | | | Monthly | | |
| 38,636 | 37,083 | — | 1/28/25 | Federal Funds | Connectone | 1,438 |
| | | | | Effective Rate US | Bancorp Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 20,455 | 19,799 | — | 1/28/25 | Federal Funds | Cooper Cos Inc/ | 676 |
| | | | | Effective Rate US | The — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 25,096 | 22,529 | — | 1/28/25 | Federal Funds | Corbus | 2,494 |
| | | | | Effective Rate US | Pharmaceuticals | |
| | | | | minus 3.98% — | Holdings Inc — | |
| | | | | Monthly | Monthly | |
| 19,199 | 18,012 | — | 1/28/25 | Federal Funds | Corelogic Inc — | 1,194 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 19,751 | 18,588 | — | 1/28/25 | Federal Funds | Cornerstone | 1,186 |
| | | | | Effective Rate US | Building Brands | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 20,276 | 19,160 | — | 1/28/25 | Federal Funds | Corning Inc — | 963 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 20,553 | 19,974 | — | 1/28/25 | Federal Funds | Cosco Shipping | 594 |
| | | | | Effective Rate US | Ports Ltd — Monthly | |
| | | | | minus 0.40% — | | |
| | | | | Monthly | | |
| 41,913 | 38,412 | — | 1/28/25 | Federal Funds | Cracker Barrel Old | 3,182 |
| | | | | Effective Rate US | Country Store Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 27,060 | 26,611 | — | 1/28/25 | Federal Funds | Credit Acceptance | 480 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 9,597 | 9,170 | — | 1/28/25 | Federal Funds | Cronos Group Inc — | 328 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 17.73% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 91 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $39,543 | $39,145 | $— | 1/28/25 | Federal Funds | Cryoport Inc — | $423 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.83% — | | |
| | | | | Monthly | | |
| 11,602 | 11,490 | — | 1/28/25 | Federal Funds | Csl Ltd — Monthly | 122 |
| | | | | Effective Rate US | | |
| | | | | minus 0.45% — | | |
| | | | | Monthly | | |
| 7,305 | 6,789 | — | 1/28/25 | Federal Funds | Ctt Correios De | 524 |
| | | | | Effective Rate US | Portugal Sa — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
| 35,689 | 33,807 | — | 1/28/25 | Federal Funds | Cubic Corp — | 1,842 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 72,067 | 66,584 | — | 1/28/25 | Federal Funds | Cue Biopharma | 5,559 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 27,909 | 27,107 | — | 1/28/25 | Federal Funds | Customers Bancorp | 832 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 3,794 | 3,797 | — | 1/28/25 | Federal Funds | Cyberagent Inc — | — |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 13,321 | 12,182 | — | 1/28/25 | Federal Funds | Cyberdyne Inc — | 1,022 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 12.00% — | | |
| | | | | Monthly | | |
| 19,802 | 21,171 | — | 1/28/25 | Federal Funds | Cytosorbents | (1,359) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.93% — | | |
| | | | | Monthly | | |
| 14,409 | 13,909 | — | 1/28/25 | Federal Funds | D/S Norden As — | 493 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 2.13% — | | |
| | | | | Monthly | | |
| 12,783 | 12,116 | — | 1/28/25 | Federal Funds | Dasan Zhone | 683 |
| | | | | Effective Rate US | Solutions Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 17,445 | 16,448 | — | 1/28/25 | Federal Funds | Davide Campari- | 1,015 |
| | | | | Effective Rate US | Milano Spa — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
| |
| 92 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $9,361 | $9,107 | $— | 1/28/25 | Federal Funds | Dbv Technologies | $183 |
| | | | | Effective Rate US | Sa — Monthly | |
| | | | | minus 10.00% — | | |
| | | | | Monthly | | |
| 12,335 | 11,936 | — | 1/28/25 | Federal Funds | Delivery Hero Se — | 411 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 20,944 | 18,450 | — | 1/28/25 | Federal Funds | Dell Technologies | 2,503 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 9,807 | 9,700 | — | 1/28/25 | Federal Funds | Deutsche Wohnen | 116 |
| | | | | Effective Rate US | Se — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 23,633 | 22,137 | — | 1/28/25 | Federal Funds | Dick’s Sporting | 1,525 |
| | | | | Effective Rate US | Goods Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 6,527 | 6,041 | — | 1/28/25 | Federal Funds | Dime Community | 443 |
| | | | | Effective Rate US | Bancshares Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 23,105 | 21,388 | — | 1/28/25 | Federal Funds | Dixons Carphone | 1,732 |
| | | | | Effective Rate US | Plc — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 11,598 | 11,135 | — | 1/28/25 | Federal Funds | Dongfang Electric | 455 |
| | | | | Effective Rate US | Corp Ltd — Monthly | |
| | | | | minus 2.50% — | | |
| | | | | Monthly | | |
| 30,786 | 28,925 | — | 1/28/25 | Federal Funds | Dorman Products | 1,897 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 23,042 | 22,831 | — | 1/28/25 | Federal Funds | Dp World Plc — | 181 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 3.50% — | | |
| | | | | Monthly | | |
| 14,486 | 13,997 | — | 1/28/25 | Federal Funds | Drive Shack Inc — | 509 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.25% — | | |
| | | | | Monthly | | |
| 9,339 | 8,403 | — | 1/28/25 | Federal Funds | Ds Smith Plc — | 945 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 93 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $21,702 | $21,177 | $— | 1/28/25 | Federal Funds | Duluth Holdings | $491 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 2.73% — | | |
| | | | | Monthly | | |
| 5,235 | 5,114 | — | 1/28/25 | Federal Funds | Dycom Industries | 128 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 26,881 | 24,846 | — | 1/28/25 | Federal Funds | Dynex Capital Inc — | 1,843 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 26,844 | 23,388 | — | 1/28/25 | Federal Funds | Eagle Bancorp Inc — | 3,347 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 14,408 | 15,531 | — | 1/28/25 | Federal Funds | Eagle Bulk Shipping | (1,115) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.94% — | | |
| | | | | Monthly | | |
| 56,805 | 54,314 | — | 1/28/25 | Federal Funds | Easterly | 2,548 |
| | | | | Effective Rate US | Government | |
| | | | | minus 0.23% — | Properties Inc — | |
| | | | | Monthly | Monthly | |
| 22,655 | 20,465 | — | 1/28/25 | Federal Funds | Ebix Inc — Monthly | 2,154 |
| | | | | Effective Rate US | | |
| | | | | minus 0.58% — | | |
| | | | | Monthly | | |
| 27,295 | 27,015 | — | 1/28/25 | Federal Funds | Editas Medicine | 315 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 3,541 | 3,361 | — | 1/28/25 | Federal Funds | Edulab Inc — | 134 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 15.25% — | | |
| | | | | Monthly | | |
| 60,146 | 63,326 | — | 1/28/25 | Federal Funds | Eidos Therapeutics | (3,129) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.73% — | | |
| | | | | Monthly | | |
| 18,611 | 17,725 | — | 1/28/25 | Federal Funds | El Puerto De | 897 |
| | | | | Effective Rate US | Liverpool Sab De | |
| | | | | minus 0.88% — | Cv — Monthly | |
| | | | | Monthly | | |
| 7,518 | 7,196 | — | 1/28/25 | Federal Funds | Elbit Systems Ltd — | 327 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.75% — | | |
| | | | | Monthly | | |
|
| 94 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $16,808 | $16,409 | $— | 1/28/25 | Federal Funds | Eldorado Resorts | $415 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.58% — | | |
| | | | | Monthly | | |
| 14,701 | 11,228 | — | 1/28/25 | Federal Funds | Electrocore Inc — | 3,335 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 6.83% — | | |
| | | | | Monthly | | |
| 5,030 | 4,461 | — | 1/28/25 | Federal Funds | Elementis Plc — | 575 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 27,439 | 24,261 | — | 1/28/25 | Federal Funds | Eloxx | 3,196 |
| | | | | Effective Rate US | Pharmaceuticals | |
| | | | | minus 0.24% — | Inc — Monthly | |
| | | | | Monthly | | |
| 30,002 | 28,346 | — | 1/28/25 | Federal Funds | Embraer Sa — | 1,688 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 7,086 | 6,225 | — | 1/28/25 | Federal Funds | Emeco Holdings | 868 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.45% — | | |
| | | | | Monthly | | |
| 27,319 | 25,063 | — | 1/28/25 | Federal Funds | Energizer Holdings | 2,109 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 6,585 | 5,569 | — | 1/28/25 | Federal Funds | Energous Corp — | 919 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 25.13% — | | |
| | | | | Monthly | | |
| 46,688 | 45,667 | — | 1/28/25 | Federal Funds | Energy Recovery | 1,056 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.68% — | | |
| | | | | Monthly | | |
| 38,525 | 37,269 | — | 1/28/25 | Federal Funds | Enerpac Tool Group | 1,298 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 30,508 | 30,192 | — | 1/28/25 | Federal Funds | Envestnet Inc — | 347 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 15,918 | 15,485 | — | 1/28/25 | Federal Funds | Epiroc Ab — Monthly | 449 |
| | | | | Effective Rate US | | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 95 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $21,475 | $19,886 | $— | 1/28/25 | Federal Funds | Equifax Inc — | $1,611 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 28,517 | 26,913 | — | 1/28/25 | Federal Funds | Equity Bancshares | 1,632 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 18,461 | 16,579 | — | 1/27/20 | Federal Funds | Erie Indemnity Co — | 1,903 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 13,449 | 13,220 | — | 1/28/25 | Federal Funds | Eros International | 202 |
| | | | | Effective Rate US | Plc — Monthly | |
| | | | | minus 2.85% — | | |
| | | | | Monthly | | |
| 15,326 | 13,492 | — | 1/28/25 | Federal Funds | Es-Con Japan Ltd — | 1,073 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 6.50% — | | |
| | | | | Monthly | | |
| 1,090 | 1,027 | — | 1/28/25 | Federal Funds | Escalade Inc — | 64 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 4,710 | 4,364 | — | 1/28/25 | Federal Funds | Estia Health Ltd — | 230 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.45% — | | |
| | | | | Monthly | | |
| 26,039 | 25,555 | — | 1/28/25 | Federal Funds | Ethan Allen Interiors | 518 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 19,354 | 19,015 | — | 1/28/25 | Federal Funds | Evelo Biosciences | 324 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 2.58% — | | |
| | | | | Monthly | | |
| 19,476 | 19,002 | — | 1/28/25 | Federal Funds | Evi Industries Inc — | 398 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 5.53% — | | |
| | | | | Monthly | | |
| 30,034 | 29,435 | — | 1/28/25 | Federal Funds | Evofem Biosciences | 482 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 6.33% — | | |
| | | | | Monthly | | |
| 25,546 | 24,301 | — | 1/28/25 | Federal Funds | Evolus Inc — | 1,160 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 5.38% — | | |
| | | | | Monthly | | |
| |
| 96 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $11,094 | $10,781 | $— | 1/28/25 | Federal Funds | Evotec Se — Monthly | $283 |
| | | | | Effective Rate US | | |
| | | | | minus 4.63% — | | |
| | | | | Monthly | | |
| 16,394 | 16,433 | — | 1/28/25 | Federal Funds | Exact Sciences | (32) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 8,355 | 7,791 | — | 1/28/25 | Federal Funds | Exela Technologies | 570 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.93% — | | |
| | | | | Monthly | | |
| 33,904 | 29,818 | — | 1/28/25 | Federal Funds | Exp World Holdings | 3,968 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 5.63% — | | |
| | | | | Monthly | | |
| 22,893 | 21,294 | — | 1/28/25 | Federal Funds | Experian Plc — | 1,697 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 28,204 | 26,951 | — | 1/28/25 | Federal Funds | Eyepoint | 1,208 |
| | | | | Effective Rate US | Pharmaceuticals | |
| | | | | minus 3.02% — | Inc — Monthly | |
| | | | | Monthly | | |
| 6,511 | 5,875 | — | 1/28/25 | Federal Funds | Facc Ag — Monthly | 612 |
| | | | | Effective Rate US | | |
| | | | | minus 5.21% — | | |
| | | | | Monthly | | |
| 7,278 | 7,433 | — | 1/28/25 | Federal Funds | Familymart Co | (209) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 7,778 | 8,802 | — | 1/28/25 | Federal Funds | Farfetch Ltd — | (1,015) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 30,972 | 28,031 | — | 1/28/25 | Federal Funds | Farmland Partners | 2,907 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 2.63% — | | |
| | | | | Monthly | | |
| 18,807 | 17,897 | — | 1/28/25 | Federal Funds | Fastenal Co — | 799 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 8,207 | 7,312 | — | 1/28/25 | Federal Funds | Fdk Corp — Monthly | 858 |
| | | | | Effective Rate US | | |
| | | | | minus 6.38% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 97 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $11,658 | $10,971 | $— | 1/28/25 | Federal Funds | Ferrovial Sa — | $699 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 7,297 | 7,148 | — | 1/28/25 | Federal Funds | Fila Spa — Monthly | 152 |
| | | | | Effective Rate US | | |
| | | | | minus 1.13% — | | |
| | | | | Monthly | | |
| 8,128 | 7,239 | — | 1/28/25 | Federal Funds | Fingerprint Cards | 734 |
| | | | | Effective Rate US | Ab — Monthly | |
| | | | | minus 23.38% — | | |
| | | | | Monthly | | |
| 27,300 | 25,500 | — | 1/28/25 | Federal Funds | First Bancorp Inc/ | 1,830 |
| | | | | Effective Rate US | Me — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 5,320 | 5,021 | — | 1/28/25 | Federal Funds | First Bank/Hamilton | 289 |
| | | | | Effective Rate US | Nj — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 23,516 | 23,343 | — | 1/28/25 | Federal Funds | First Solar Inc — | 200 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 18,058 | 17,002 | — | 1/28/25 | Federal Funds | Firstgroup Plc — | 1,059 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 20,909 | 19,196 | — | 1/28/25 | Federal Funds | Five Below Inc — | 1,737 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 27,723 | 25,731 | — | 1/28/25 | Federal Funds | Flex Ltd — Monthly | 2,023 |
| | | | | Effective Rate US | | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 38,580 | 37,328 | — | 1/28/25 | Federal Funds | Flexion | 1,292 |
| | | | | Effective Rate US | Therapeutics Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 41,292 | 39,106 | — | 1/28/25 | Federal Funds | Flushing Financial | 2,230 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 11,628 | 10,810 | — | 1/28/25 | Federal Funds | Flutter | 818 |
| | | | | Effective Rate US | Entertainment Plc — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
| |
| 98 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $12,077 | $11,349 | $— | 1/28/25 | Federal Funds | Fox Factory Holding | $741 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 17,211 | 16,276 | — | 1/28/25 | Federal Funds | Franklin Resources | 954 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 22,750 | 19,477 | — | 1/28/25 | Federal Funds | Frasers Group Plc — | 3,291 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 8,031 | 6,814 | — | 1/28/25 | Federal Funds | Freakout Holdings | 1,157 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 12.88% — | | |
| | | | | Monthly | | |
| 33,746 | 33,429 | — | 1/28/25 | Federal Funds | Freshpet Inc — | 351 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 22,894 | 23,040 | — | 1/28/25 | Federal Funds | Front Yard | (125) |
| | | | | Effective Rate US | Residential Corp — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 13,859 | 12,929 | — | 1/28/25 | Federal Funds | Fuji Kyuko Co Ltd — | 936 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 1.13% — | | |
| | | | | Monthly | | |
| 4,746 | 4,645 | — | 1/28/25 | Federal Funds | Fuji Oil Holdings | 106 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 4,251 | 3,969 | — | 1/28/25 | Federal Funds | Fujio Food System | 255 |
| | | | | Effective Rate US | Co Ltd — Monthly | |
| | | | | minus 8.88% — | | |
| | | | | Monthly | | |
| 16,802 | 16,617 | — | 1/28/25 | Federal Funds | Funko Inc — Monthly | 206 |
| | | | | Effective Rate US | | |
| | | | | minus 0.83% — | | |
| | | | | Monthly | | |
| 9,930 | 8,761 | — | 1/28/25 | Federal Funds | Furuya Metal Co | 1,087 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 12.38% — | | |
| | | | | Monthly | | |
| 6,897 | 6,635 | — | 1/28/25 | Federal Funds | Fvcbankcorp Inc — | 269 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 99 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $15,968 | $1,687 | $— | 1/28/25 | Federal Funds | Gain Capital | $(14,268) |
| | | | | Effective Rate US | Holdings Inc — | |
| | | | | minus 0.68% — | Monthly | |
| | | | | Monthly | | |
| 9,848 | 10,458 | — | 1/28/25 | Federal Funds | Gamestop Corp — | (791) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 20.94% — | | |
| | | | | Monthly | | |
| 26,064 | 24,325 | — | 1/28/25 | Federal Funds | Gartner Inc — | 1,770 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 2,644 | 2,402 | — | 1/28/25 | Federal Funds | Gatechnologies Co | 217 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 10.75% — | | |
| | | | | Monthly | | |
| 16,255 | 15,387 | — | 1/28/25 | Federal Funds | Gates Industrial | 875 |
| | | | | Effective Rate US | Corp Plc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 6,955 | 6,652 | — | 1/28/25 | Federal Funds | Gatx Corp — | 266 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 31,831 | 29,441 | — | 1/28/25 | Federal Funds | Gci Liberty Inc — | 2,421 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 23,429 | 25,928 | — | 1/28/25 | Federal Funds | Genco Shipping | (2,469) |
| | | | | Effective Rate US | & Trading Ltd — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 28,306 | 26,349 | — | 1/28/25 | Federal Funds | General Dynamics | 1,820 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 28,622 | 28,750 | — | 1/28/25 | Federal Funds | Genting Plantations | (224) |
| | | | | Effective Rate US | Bhd — Monthly | |
| | | | | minus 5.47% — | | |
| | | | | Monthly | | |
| 24,980 | 24,165 | — | 1/28/25 | Federal Funds | Genuine Parts Co — | 842 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 20,956 | 19,313 | — | 1/28/25 | Federal Funds | German American | 1,544 |
| | | | | Effective Rate US | Bancorp Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
|
| 100 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $7,117 | $6,675 | $— | 1/28/25 | Federal Funds | Giken Ltd — Monthly | $382 |
| | | | | Effective Rate US | | |
| | | | | minus 1.00% — | | |
| | | | | Monthly | | |
| 25,804 | 24,456 | — | 1/28/25 | Federal Funds | Gladstone Land | 1,288 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 12,290 | 12,031 | — | 1/28/25 | Federal Funds | Glanbia Plc — | 271 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 7,601 | 7,269 | — | 1/28/25 | Federal Funds | Glenveagh | 340 |
| | | | | Effective Rate US | Properties Plc — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
| 19,041 | 18,873 | — | 1/28/25 | Federal Funds | Globant Sa — | 186 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 27,502 | 25,296 | — | 1/28/25 | Federal Funds | Globe Life Inc — | 2,189 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 13,131 | 12,275 | — | 1/28/25 | Federal Funds | Gmo Payment | 865 |
| | | | | Effective Rate US | Gateway Inc — | |
| | | | | minus 0.75% — | Monthly | |
| | | | | Monthly | | |
| 12,571 | 12,201 | — | 1/28/25 | Federal Funds | Goldwin Inc — | 364 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 2.13% — | | |
| | | | | Monthly | | |
| 35,035 | 35,921 | — | 1/28/25 | Federal Funds | Gome Retail | (945) |
| | | | | Effective Rate US | Holdings Ltd — | |
| | | | | minus 3.86% — | Monthly | |
| | | | | Monthly | | |
| 19,196 | 17,658 | — | 1/28/25 | Federal Funds | Granite | 1,563 |
| | | | | Effective Rate US | Construction Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 22,864 | 22,491 | — | 1/28/25 | Federal Funds | Greentown Service | 376 |
| | | | | Effective Rate US | Group Co Ltd — | |
| | | | | minus 1.29% — | Monthly | |
| | | | | Monthly | | |
| 47,049 | 44,735 | — | 1/28/25 | Federal Funds | Griffon Corp — | 2,179 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 101 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $25,941 | $24,511 | $— | 1/28/25 | Federal Funds | Gritstone Oncology | $1,446 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.83% — | | |
| | | | | Monthly | | |
| 17,235 | 15,910 | — | 1/28/25 | Federal Funds | Growthpoint | 1,336 |
| | | | | Effective Rate US | Properties Ltd — | |
| | | | | minus 0.90% — | Monthly | |
| | | | | Monthly | | |
| 18,125 | 16,592 | — | 1/28/25 | Federal Funds | Grupo Bimbo Sab | 1,545 |
| | | | | Effective Rate US | De Cv — Monthly | |
| | | | | minus 0.50% — | | |
| | | | | Monthly | | |
| 15,034 | 14,881 | — | 1/28/25 | Federal Funds | Guangshen Railway | 167 |
| | | | | Effective Rate US | Co Ltd — Monthly | |
| | | | | minus 0.40% — | | |
| | | | | Monthly | | |
| 14,445 | 13,812 | — | 1/28/25 | Federal Funds | Gw Pharmaceuticals | 642 |
| | | | | Effective Rate US | Plc — Monthly | |
| | | | | minus 0.63% — | | |
| | | | | Monthly | | |
| 11,146 | 10,776 | — | 1/28/25 | Federal Funds | Gwg Holdings Inc — | 317 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 7.08% — | | |
| | | | | Monthly | | |
| 27,728 | 26,862 | — | 1/28/25 | Federal Funds | Hain Celestial Group | 895 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 14,038 | 13,580 | — | 1/28/25 | Federal Funds | Hamamatsu | 473 |
| | | | | Effective Rate US | Photonics Kk — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
| 9,616 | 9,126 | — | 1/28/25 | Federal Funds | Hamborner Reit | 499 |
| | | | | Effective Rate US | Ag — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 4,747 | 4,477 | — | 1/28/25 | Federal Funds | Hanmi Financial | 206 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 5,324 | 4,821 | — | 1/28/25 | Federal Funds | Hannon Armstrong | 508 |
| | | | | Effective Rate US | Sustainable | |
| | | | | minus 0.23% — | Infrastructure | |
| | | | | Monthly | Capital Inc — | |
| | | | | | Monthly | |
| 14,470 | 12,353 | — | 1/28/25 | Federal Funds | Harvey Norman | 2,106 |
| | | | | Effective Rate US | Holdings Ltd — | |
| | | | | minus 2.50% — | Monthly | |
| | | | | Monthly | | |
|
| 102 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $36,806 | $35,815 | $— | 1/28/25 | Federal Funds | Helios Technologies | $1,032 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 7,531 | 6,709 | — | 1/28/25 | Federal Funds | Hexagon | 812 |
| | | | | Effective Rate US | Composites Asa — | |
| | | | | minus 3.13% — | Monthly | |
| | | | | Monthly | | |
| 17,794 | 17,774 | — | 1/28/25 | Federal Funds | Highwealth | (378) |
| | | | | Effective Rate US | Construction | |
| | | | | minus 2.25% — | Corp — Monthly | |
| | | | | Monthly | | |
| 9,297 | 8,965 | — | 1/28/25 | Federal Funds | Hisamitsu | 266 |
| | | | | Effective Rate US | Pharmaceutical | |
| | | | | minus 0.30% — | Co — Monthly | |
| | | | | Monthly | | |
| 23,558 | 22,054 | — | 1/28/25 | Federal Funds | Hiscox Ltd — | 1,521 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 17,011 | 18,196 | — | 1/28/25 | Federal Funds | Hlb Inc — Monthly | (1,614) |
| | | | | Effective Rate US | | |
| | | | | minus 30.00% — | | |
| | | | | Monthly | | |
| 15,987 | 14,787 | — | 1/28/25 | Federal Funds | Hm Sampoerna Tbk | 1,167 |
| | | | | Effective Rate US | Pt — Monthly | |
| | | | | minus 4.00% — | | |
| | | | | Monthly | | |
| 34,009 | 31,509 | — | 1/28/25 | Federal Funds | Home Bancshares | 2,293 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 24,204 | 22,903 | — | 1/28/25 | Federal Funds | Homeserve Plc — | 1,320 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 23,233 | 21,591 | — | 1/28/25 | Federal Funds | Homestreet Inc — | 1,548 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 17,008 | 16,944 | — | 1/28/25 | Federal Funds | Homology | 80 |
| | | | | Effective Rate US | Medicines Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 11,263 | 10,871 | — | 1/28/25 | Federal Funds | Hong Kong | 328 |
| | | | | Effective Rate US | Television Network | |
| | | | | minus 9.38% — | Ltd — Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 103 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $33,618 | $31,783 | $— | 1/28/25 | Federal Funds | Hope Bancorp Inc — | $1,508 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 47,167 | 46,150 | — | 1/28/25 | Federal Funds | Hostess Brands | 1,068 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 22,149 | 21,279 | — | 1/28/25 | Federal Funds | Hulic Co Ltd — | 588 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.33% — | | |
| | | | | Monthly | | |
| 16,726 | 16,160 | — | 1/28/25 | Federal Funds | Huntington | 585 |
| | | | | Effective Rate US | Bancshares Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 7,685 | 7,291 | — | 1/28/25 | Federal Funds | Husqvarna Ab — | 402 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 26,616 | 25,661 | — | 1/28/25 | Federal Funds | Hyatt Hotels Corp — | 917 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 11,609 | 11,359 | — | 1/28/25 | Federal Funds | Hyundai Heavy | (552) |
| | | | | Effective Rate US | Industries Holdings | |
| | | | | minus 0.40% — | Co Ltd — Monthly | |
| | | | | Monthly | | |
| 56,731 | 55,729 | — | 1/28/25 | Federal Funds | Ichor Holdings Ltd — | 1,071 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 24,388 | 23,924 | — | 1/28/25 | Federal Funds | Idexx Laboratories | 492 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 10,100 | 7,662 | — | 1/28/25 | Federal Funds | Ignis Ltd — Monthly | 2,405 |
| | | | | Effective Rate US | | |
| | | | | minus 7.38% — | | |
| | | | | Monthly | | |
| 8,767 | 8,729 | — | 1/28/25 | Federal Funds | Ii-Vi Inc — Monthly | 49 |
| | | | | Effective Rate US | | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 25,009 | 23,340 | — | 1/28/25 | Federal Funds | Immersion Corp — | 1,696 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
|
| 104 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $10,473 | $9,123 | $— | 1/28/25 | Federal Funds | Impact Hd Inc — | $997 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 40.00% — | | |
| | | | | Monthly | | |
| 11,070 | 10,291 | — | 1/28/25 | Federal Funds | Infineon | 644 |
| | | | | Effective Rate US | Technologies Ag — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
| 2,605 | 2,364 | — | 1/28/25 | Federal Funds | Insource Co Ltd — | 229 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 6.50% — | | |
| | | | | Monthly | | |
| 4,278 | 3,087 | — | 1/28/25 | Federal Funds | Inspec Inc — | 1,174 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 7.13% — | | |
| | | | | Monthly | | |
| 30,814 | 29,127 | — | 11/21/23 | Federal Funds | Interactive Brokers | 1,658 |
| | | | | Effective Rate US | Group Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 2,534 | 2,342 | — | 1/28/25 | Federal Funds | Intercure Ltd — | 140 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 24.63% — | | |
| | | | | Monthly | | |
| 7,309 | 6,756 | — | 1/27/20 | Federal Funds | International Game | 561 |
| | | | | Effective Rate US | Technology Plc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 30,745 | 28,633 | — | 1/28/25 | Federal Funds | International | 1,787 |
| | | | | Effective Rate US | Business Machines | |
| | | | | minus 0.23% — | Corp — Monthly | |
| | | | | Monthly | | |
| 27,937 | 27,809 | — | 1/28/25 | Federal Funds | Invocare Ltd — | 104 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 2.75% — | | |
| | | | | Monthly | | |
| 25,599 | 25,783 | — | 1/28/25 | Federal Funds | Ipg Photonics | (157) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 15,146 | 14,164 | — | 1/28/25 | Federal Funds | Iqe Plc — Monthly | 848 |
| | | | | Effective Rate US | | |
| | | | | minus 12.75% — | | |
| | | | | Monthly | | |
| 9,509 | 9,177 | — | 1/28/25 | Federal Funds | Isetan Mitsukoshi | 343 |
| | | | | Effective Rate US | Holdings Ltd — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 105 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $173,173 | $169,171 | $— | 1/28/25 | Federal Funds | Ishares Msci Saudi | $4,194 |
| | | | | Effective Rate US | Arabia Etf — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 20,022 | 18,746 | — | 1/28/25 | Federal Funds | Istar Inc — Monthly | 1,171 |
| | | | | Effective Rate US | | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 6,787 | 6,342 | — | 1/28/25 | Federal Funds | Itokuro Inc — | 407 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 9.38% — | | |
| | | | | Monthly | | |
| 8,489 | 8,401 | — | 1/28/25 | Federal Funds | Ituran Location | 97 |
| | | | | Effective Rate US | And Control Ltd — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 14,289 | 13,735 | — | 1/28/25 | Federal Funds | Izumi Co Ltd — | 387 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 19,567 | 18,099 | — | 1/28/25 | Federal Funds | Jacobs Engineering | 1,475 |
| | | | | Effective Rate US | Group Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 18,053 | 17,397 | — | 1/28/25 | Federal Funds | James Hardie | 673 |
| | | | | Effective Rate US | Industries Plc — | |
| | | | | minus 0.50% — | Monthly | |
| | | | | Monthly | | |
| 3,829 | 3,846 | — | 1/28/25 | Federal Funds | Japan Elevator | (31) |
| | | | | Effective Rate US | Service Holdings Co | |
| | | | | minus 5.50% — | Ltd — Monthly | |
| | | | | Monthly | | |
| 22,139 | 21,434 | — | 1/28/25 | Federal Funds | Jardine Matheson | 726 |
| | | | | Effective Rate US | Hldgs Ltd — Monthly | |
| | | | | minus 0.35% — | | |
| | | | | Monthly | | |
| 45,474 | 42,004 | — | 1/28/25 | Federal Funds | Jernigan Capital | 3,517 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 14,784 | 13,540 | — | 1/28/25 | Federal Funds | Jollibee Foods | 1,232 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 2.50% — | | |
| | | | | Monthly | | |
| 3,760 | 3,595 | — | 1/28/25 | Federal Funds | Juventus Football | 110 |
| | | | | Effective Rate US | Club Spa — Monthly | |
| | | | | minus 18.00% — | | |
| | | | | Monthly | | |
|
| 106 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $4,627 | $4,283 | $— | 1/28/25 | Federal Funds | Kakaku.com Inc — | $349 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 21,405 | 19,420 | — | 1/28/25 | Federal Funds | Kaleido Biosciences | 1,720 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 11.28% — | | |
| | | | | Monthly | | |
| 26,848 | 25,900 | — | 1/28/25 | Federal Funds | Kaman Corp — | 979 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 10,243 | 9,316 | — | 1/28/25 | Federal Funds | Kambi Group Plc — | 913 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 3.63% — | | |
| | | | | Monthly | | |
| 11,217 | 10,751 | — | 1/28/25 | Federal Funds | Kansai Paint Co | 477 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 14,683 | 13,529 | — | 1/28/25 | Federal Funds | Kawasaki Kisen | 1,122 |
| | | | | Effective Rate US | Kaisha Ltd — | |
| | | | | minus 4.00% — | Monthly | |
| | | | | Monthly | | |
| 18,655 | 17,838 | — | 1/28/25 | Federal Funds | Kearny Financial | 839 |
| | | | | Effective Rate US | Corp/Md — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 12,641 | 12,318 | — | 1/28/25 | Federal Funds | Keio Corp — | 337 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 26,773 | 25,391 | — | 1/28/25 | Federal Funds | Kerry Group Plc — | 1,407 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 29,276 | 28,410 | — | 1/28/25 | Federal Funds | Keurig Dr Pepper | 896 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 19,909 | 18,891 | — | 1/28/25 | Federal Funds | Kimberly-Clark | 1,039 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 29,816 | 32,121 | — | 1/28/25 | Federal Funds | Kindred Biosciences | (2,277) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 107 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $33,558 | $33,255 | $— | 1/28/25 | Federal Funds | Kingdee | $322 |
| | | | | Effective Rate US | International | |
| | | | | minus 0.75% — | Software Group Co | |
| | | | | Monthly | Ltd — Monthly | |
| 17,021 | 16,375 | — | 1/28/25 | Federal Funds | Kingspan Group | 656 |
| | | | | Effective Rate US | Plc — Monthly | |
| | | | | minus 0.75% — | | |
| | | | | Monthly | | |
| 22,811 | 21,420 | — | 1/28/25 | Federal Funds | Kirby Corp — | 1,420 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 22,631 | 21,272 | — | 1/28/25 | Federal Funds | Knight-Swift | 1,384 |
| | | | | Effective Rate US | Transportation | |
| | | | | minus 0.23% — | Holdings Inc — | |
| | | | | Monthly | Monthly | |
| 11,978 | 11,679 | — | 1/28/25 | Federal Funds | Knorr-Bremse Ag — | 312 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 3,943 | 3,648 | — | 1/28/25 | Federal Funds | Kobe Bussan Co | 298 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 1,435 | 1,471 | — | 1/28/25 | Federal Funds | Kodiak Sciences | (35) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 12,158 | 17,913 | — | 1/28/25 | Federal Funds | Komipharm | (5,778) |
| | | | | Effective Rate US | International Co — | |
| | | | | minus 3.88% — | Monthly | |
| | | | | Monthly | | |
| 29,914 | 29,011 | — | 1/28/25 | Federal Funds | Kornit Digital Ltd — | 934 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 3,454 | 3,224 | — | 1/28/25 | Federal Funds | Kotobuki Spirits Co | 234 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 21,759 | 21,853 | — | 1/28/25 | Federal Funds | Kratos Defense & | (68) |
| | | | | Effective Rate US | Security Solutions | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 10,568 | 10,083 | — | 1/28/25 | Federal Funds | Kumiai Chemical | 497 |
| | | | | Effective Rate US | Industry Co Ltd — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
|
| 108 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $7,552 | $7,295 | $— | 1/28/25 | Federal Funds | Kuraray Co Ltd — | $125 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 4,938 | 5,140 | — | 1/28/25 | Federal Funds | Kusuri No Aoki | (197) |
| | | | | Effective Rate US | Holdings Co Ltd — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
| 4,589 | 4,374 | — | 1/28/25 | Federal Funds | Kyowa Exeo Corp — | 219 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 10,520 | 10,235 | — | 1/28/25 | Federal Funds | Ldc Sa — Monthly | 297 |
| | | | | Effective Rate US | | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 3,391 | 3,231 | — | 1/28/25 | Federal Funds | Lacto Japan Co | 153 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 4.25% — | | |
| | | | | Monthly | | |
| 9,613 | 8,743 | — | 1/28/25 | Federal Funds | Lec Inc — Monthly | 878 |
| | | | | Effective Rate US | | |
| | | | | minus 0.75% — | | |
| | | | | Monthly | | |
| 23,105 | 20,655 | — | 1/28/25 | Federal Funds | Legal & General | 2,468 |
| | | | | Effective Rate US | Group Plc — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 3,720 | 3,931 | — | 1/28/25 | Federal Funds | Lendingclub Corp — | (206) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 17,674 | 16,825 | — | 1/28/25 | Federal Funds | Lendingtree Inc — | 869 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 7,637 | 7,369 | — | 1/28/25 | Federal Funds | Lifestyle | 276 |
| | | | | Effective Rate US | International | |
| | | | | minus 0.40% — | Holdings Ltd — | |
| | | | | Monthly | Monthly | |
| 48,642 | 47,435 | — | 1/28/25 | Federal Funds | Lindsay Corp — | 1,109 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 6,945 | 6,202 | — | 1/28/25 | Federal Funds | Link And Motivation | 685 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 7.25% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 109 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $25,466 | $24,112 | $— | 1/28/25 | Federal Funds | Littelfuse Inc — | $1,310 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 38,101 | 35,151 | — | 1/28/25 | Federal Funds | Live Oak Bancshares | 2,924 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 18,256 | 18,464 | — | 1/28/25 | Federal Funds | Liveramp Holdings | (186) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 11,162 | 11,528 | — | 1/28/25 | Federal Funds | Livexlive Media | (463) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 9.41% — | | |
| | | | | Monthly | | |
| 9,518 | 9,012 | — | 1/28/25 | Federal Funds | Lixil Group Corp — | 516 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 18,042 | 17,402 | — | 1/28/25 | Federal Funds | Lotte Shopping | (66) |
| | | | | Effective Rate US | Co — Monthly | |
| | | | | minus 0.40% — | | |
| | | | | Monthly | | |
| 18,262 | 16,705 | — | 1/28/25 | Federal Funds | M & T Bank Corp — | 1,446 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 13,461 | 12,915 | — | 1/28/25 | Federal Funds | M3 Inc — Monthly | 561 |
| | | | | Effective Rate US | | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 49,200 | 47,381 | — | 1/28/25 | Federal Funds | Macom Technology | 1,878 |
| | | | | Effective Rate US | Solutions Holdings | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 27,486 | 26,782 | — | 1/28/25 | Federal Funds | Madison Square | 735 |
| | | | | Effective Rate US | Garden Co/The — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 9,392 | 9,267 | — | 1/28/25 | Federal Funds | Maeda Kosen Co | 120 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 2.25% — | | |
| | | | | Monthly | | |
| 26,122 | 26,436 | — | 1/28/25 | Federal Funds | Magenta | (284) |
| | | | | Effective Rate US | Therapeutics Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
|
| 110 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $13,659 | $12,273 | $— | 1/28/25 | Federal Funds | Magnit Pjsc — | $868 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.50% — | | |
| | | | | Monthly | | |
| 10,878 | 9,519 | — | 1/29/20 | Federal Funds | Mail.Ru Group — | 1,368 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.50% — | | |
| | | | | Monthly | | |
| 27,602 | 26,405 | — | 1/28/25 | Federal Funds | Mainstreet | 1,229 |
| | | | | Effective Rate US | Bancshares Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 27,256 | 25,697 | — | 1/28/25 | Federal Funds | Malvern Bancorp | 1,588 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 20,707 | 20,875 | — | 1/28/25 | Federal Funds | Manitowoc Co Inc/ | (142) |
| | | | | Effective Rate US | The — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 23,798 | 24,552 | — | 1/28/25 | Federal Funds | Marriott | (820) |
| | | | | Effective Rate US | International Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 3,390 | 3,238 | — | 1/28/25 | Federal Funds | Maruwa Unyu Kikan | 144 |
| | | | | Effective Rate US | Co Ltd — Monthly | |
| | | | | minus 4.00% — | | |
| | | | | Monthly | | |
| 15,205 | 14,484 | — | 1/28/25 | Federal Funds | Marvell Technology | 738 |
| | | | | Effective Rate US | Group Ltd — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 6,239 | 6,070 | — | 1/28/25 | Federal Funds | Materialise Nv — | 155 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 3.83% — | | |
| | | | | Monthly | | |
| 5,032 | 4,613 | — | 1/28/25 | Federal Funds | Maui Land & | 424 |
| | | | | Effective Rate US | Pineapple Co — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 5,345 | 5,324 | — | 1/28/25 | Federal Funds | Maxar Technologies | 24 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.68% — | | |
| | | | | Monthly | | |
| 7,877 | 7,422 | — | 1/28/25 | Federal Funds | Meiko Electronics | 414 |
| | | | | Effective Rate US | Co Ltd — Monthly | |
| | | | | minus 7.75% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 111 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $4,325 | $4,530 | $— | 1/28/25 | Federal Funds | Mercari Inc — | $(212) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 4.00% — | | |
| | | | | Monthly | | |
| 28,996 | 26,309 | — | 1/28/25 | Federal Funds | Merchants Bancorp/ | 2,709 |
| | | | | Effective Rate US | In — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 22,412 | 22,454 | — | 1/28/25 | Federal Funds | Mettler-Toledo | (16) |
| | | | | Effective Rate US | International Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 11,270 | 10,776 | — | 1/28/25 | Federal Funds | Mgm China Holdings | 505 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.40% — | | |
| | | | | Monthly | | |
| 14,921 | 15,099 | — | 1/28/25 | Federal Funds | Mgp Ingredients | (160) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 17,177 | 17,240 | — | 1/28/25 | Federal Funds | Micron Technology | (55) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 29,970 | 29,071 | — | 1/28/25 | Federal Funds | Middleby Corp — | 930 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 38,293 | 36,326 | — | 1/28/25 | Federal Funds | Midland States | 1,601 |
| | | | | Effective Rate US | Bancorp Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 5,722 | 5,296 | — | 1/28/25 | Federal Funds | Minebea Mitsumi | 432 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 7,993 | 7,600 | — | 1/28/25 | Federal Funds | Misumi Group Inc — | 402 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 8,843 | 9,011 | — | 1/28/25 | Federal Funds | Mj Gleeson Plc — | (159) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 27,466 | 26,751 | — | 1/28/25 | Federal Funds | Mks Instruments | 692 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
|
| 112 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $14,638 | $13,017 | $— | 1/28/25 | Federal Funds | Moderna Inc — | $1,638 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.58% — | | |
| | | | | Monthly | | |
| 18,623 | 17,930 | — | 1/28/25 | Federal Funds | Mohawk Industries | 713 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 18,280 | 17,402 | — | 1/27/20 | Federal Funds | Molina Healthcare | 896 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 8,717 | 8,589 | — | 1/28/25 | Federal Funds | Monotaro Co Ltd — | 106 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.88% — | | |
| | | | | Monthly | | |
| 29,756 | 28,776 | — | 1/28/25 | Federal Funds | Motorcar Parts | 1,017 |
| | | | | Effective Rate US | Of America Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 20,974 | 19,314 | — | 1/28/25 | Federal Funds | Mowi Asa — Monthly | 1,425 |
| | | | | Effective Rate US | | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 9,100 | 7,991 | — | 1/28/25 | Federal Funds | Mtg Co Ltd — | 1,051 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 8.88% — | | |
| | | | | Monthly | | |
| 5,505 | 5,304 | — | 1/28/25 | Federal Funds | Murata | 207 |
| | | | | Effective Rate US | Manufacturing Co | |
| | | | | minus 0.30% — | Ltd — Monthly | |
| | | | | Monthly | | |
| 8,826 | 8,344 | — | 1/28/25 | Federal Funds | Mvb Financial | 450 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 5,517 | 5,400 | — | 1/28/25 | Federal Funds | Nabtesco Corp — | 123 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 8,023 | 7,841 | — | 1/28/25 | Federal Funds | Nagoya Railroad Co | 191 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 10,980 | 10,212 | — | 1/28/25 | Federal Funds | Nanya Technology | 768 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.40% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 113 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $22,777 | $23,213 | $— | 1/28/25 | Federal Funds | National Express | $(419) |
| | | | | Effective Rate US | Group Plc — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 54,531 | 49,024 | — | 1/28/25 | Federal Funds | National Storage | 5,559 |
| | | | | Effective Rate US | Affiliates Trust — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 15,733 | 14,717 | — | 1/28/25 | Federal Funds | Ncr Corp — Monthly | 1,023 |
| | | | | Effective Rate US | | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 5,500 | 5,053 | — | 1/28/25 | Federal Funds | Nearmap Ltd — | 435 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 3.64% — | | |
| | | | | Monthly | | |
| 6,892 | 7,497 | — | 1/28/25 | Federal Funds | Neinor Homes Sa — | (598) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 22,982 | 22,396 | — | 1/28/25 | Federal Funds | Netmarble Corp — | 390 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 12.16% — | | |
| | | | | Monthly | | |
| 13,971 | 12,655 | — | 1/28/25 | Federal Funds | New Age Beverages | 1,202 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 14.00% — | | |
| | | | | Monthly | | |
| 23,040 | 22,139 | — | 1/28/25 | Federal Funds | New York | 576 |
| | | | | Effective Rate US | Community | |
| | | | | minus 0.23% — | Bancorp Inc — | |
| | | | | Monthly | Monthly | |
| 23,208 | 21,523 | — | 1/28/25 | Federal Funds | Next Plc — Monthly | 1,704 |
| | | | | Effective Rate US | | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 7,578 | 7,084 | — | 1/28/25 | Federal Funds | Nextage Co Ltd — | 411 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 6.50% — | | |
| | | | | Monthly | | |
| 7,877 | 7,500 | — | 1/28/25 | Federal Funds | Nippon Building | 384 |
| | | | | Effective Rate US | Fund Inc — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 7,441 | 7,302 | — | 1/28/25 | Federal Funds | Nippon Densetsu | 147 |
| | | | | Effective Rate US | Kogyo Co Ltd — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
|
| 114 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $13,728 | $13,823 | $— | 1/28/25 | Federal Funds | Nissan Shatai Co | $(81) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 9,387 | 8,761 | — | 1/28/25 | Federal Funds | Nittoku Co Ltd — | 511 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 16.00% — | | |
| | | | | Monthly | | |
| 40,222 | 39,409 | — | 1/28/25 | Federal Funds | Nn Inc — Monthly | 860 |
| | | | | Effective Rate US | | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 18,494 | 17,291 | — | 1/28/25 | Federal Funds | Nordson Corp — | 1,179 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 24,095 | 22,622 | — | 1/28/25 | Federal Funds | Northfield Bancorp | 1,323 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 52,831 | 51,207 | — | 1/28/25 | Federal Funds | Novanta Inc — | 1,680 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 12,662 | 12,266 | — | 1/28/25 | Federal Funds | Novozymes As — | 222 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 25,981 | 21,680 | — | 1/28/25 | Federal Funds | Nv5 Global Inc — | 4,327 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 10,018 | 9,781 | — | 1/28/25 | Federal Funds | Nws Holdings Ltd — | 247 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40% — | | |
| | | | | Monthly | | |
| 24,550 | 23,967 | — | 1/28/25 | Federal Funds | O’Reilly Automotive | 611 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 12,081 | 11,377 | — | 1/28/25 | Federal Funds | Ocado Group Plc — | 707 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 31,645 | 30,018 | — | 1/28/25 | Federal Funds | Ocular Therapeutix | 1,521 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 5.25% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 115 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $3,977 | $3,864 | $— | 1/28/25 | Federal Funds | Odakyu Electric | $117 |
| | | | | Effective Rate US | Railway Co — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
| 31,371 | 29,620 | — | 1/28/25 | Federal Funds | Odonate | 1,783 |
| | | | | Effective Rate US | Therapeutics Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 16,526 | 15,922 | — | 1/28/25 | Federal Funds | Ollie’s Bargain | 622 |
| | | | | Effective Rate US | Outlet Holdings | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 12,730 | 11,910 | — | 1/28/25 | Federal Funds | Omeros Corp — | 796 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 3.38% — | | |
| | | | | Monthly | | |
| 16,689 | 16,962 | — | 1/28/25 | Federal Funds | On Semiconductor | (265) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 7,836 | 7,528 | — | 1/28/25 | Federal Funds | Onespaworld | 293 |
| | | | | Effective Rate US | Holdings Ltd — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 26,588 | 24,694 | — | 1/28/25 | Federal Funds | Optim Corp — | 1,671 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 12.63% — | | |
| | | | | Monthly | | |
| 8,311 | 7,825 | — | 1/28/25 | Federal Funds | Oracle Corp | 495 |
| | | | | Effective Rate US | Japan — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 6,113 | 6,857 | — | 1/28/25 | Federal Funds | Orchard | (737) |
| | | | | Effective Rate US | Therapeutics Plc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 28,479 | 26,084 | — | 1/28/25 | Federal Funds | Organogenesis | 2,399 |
| | | | | Effective Rate US | Holdings Inc — | |
| | | | | minus 0.73% — | Monthly | |
| | | | | Monthly | | |
| 26,175 | 24,162 | — | 1/28/25 | Federal Funds | Origin Bancorp | 1,969 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 6,785 | 6,159 | — | 1/28/25 | Federal Funds | Orrstown Financial | 575 |
| | | | | Effective Rate US | Services Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
|
| 116 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $37,455 | $35,921 | $— | 1/28/25 | Federal Funds | Osi Systems Inc — | $1,576 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 18,126 | 17,597 | — | 1/28/25 | Federal Funds | Ottogi Corp — | 265 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.68% — | | |
| | | | | Monthly | | |
| 29,727 | 28,866 | — | 1/28/25 | Federal Funds | Oxford Industries | 719 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 5,855 | 5,090 | — | 1/28/25 | Federal Funds | Pact Group Holdings | 772 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.45% — | | |
| | | | | Monthly | | |
| 16,579 | 16,113 | — | 1/28/25 | Federal Funds | Pan Pacific | 454 |
| | | | | Effective Rate US | International | |
| | | | | minus 0.37% — | Holdings Corp — | |
| | | | | Monthly | Monthly | |
| 28,794 | 27,417 | — | 1/28/25 | Federal Funds | Par Technology | 1,362 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 1.73% — | | |
| | | | | Monthly | | |
| 8,045 | 7,597 | — | 1/28/25 | Federal Funds | Park National | 439 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 13,517 | 12,322 | — | 1/28/25 | Federal Funds | Park24 Co Ltd — | (32) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 8,068 | 7,910 | — | 1/28/25 | Federal Funds | Pdl Community | 166 |
| | | | | Effective Rate US | Bancorp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 23,935 | 23,636 | — | 1/28/25 | Federal Funds | Pearl Abyss Corp — | 155 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 8.76% — | | |
| | | | | Monthly | | |
| 13,395 | 12,510 | — | 1/28/25 | Federal Funds | Pebblebrook Hotel | 901 |
| | | | | Effective Rate US | Trust — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 9,252 | 8,463 | — | 1/28/25 | Federal Funds | Pennsylvania Real | (121) |
| | | | | Effective Rate US | Estate Investment | |
| | | | | minus 19.75% — | Trust — Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 117 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $22,046 | $21,399 | $— | 1/28/25 | Federal Funds | Penske Automotive | $460 |
| | | | | Effective Rate US | Group Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 18,174 | 17,770 | — | 1/28/25 | Federal Funds | Pepkor Holdings | 412 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.90% — | | |
| | | | | Monthly | | |
| 7,316 | 6,471 | — | 1/28/25 | Federal Funds | Pepper Food | 686 |
| | | | | Effective Rate US | Service Co Ltd — | |
| | | | | minus 25.00% — | Monthly | |
| | | | | Monthly | | |
| 4,223 | 3,987 | — | 1/28/25 | Federal Funds | Peptidream Inc — | 242 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 16,942 | 17,029 | — | 1/28/25 | Federal Funds | Perkinelmer Inc — | (80) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 67,517 | 65,894 | — | 1/28/25 | Federal Funds | Petmed Express | 921 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 1.28% — | | |
| | | | | Monthly | | |
| 16,670 | 15,151 | — | 1/28/25 | Federal Funds | Pf Bakkafrost — | 1,536 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 17,360 | 16,710 | — | 1/28/25 | Federal Funds | Pfizer Inc — Monthly | 479 |
| | | | | Effective Rate US | | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 54,857 | 51,016 | — | 1/28/25 | Federal Funds | Physicians Realty | 3,896 |
| | | | | Effective Rate US | Trust — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 10,623 | 10,301 | — | 1/28/25 | Federal Funds | Pirelli & C Spa — | 333 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 9,666 | 8,889 | — | 1/28/25 | Federal Funds | Pksha Technology | 648 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 15.00% — | | |
| | | | | Monthly | | |
| 7,072 | 7,020 | — | 1/28/25 | Federal Funds | Polarityte Inc — | (114) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 16.78% — | | |
| | | | | Monthly | | |
|
| 118 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $9,677 | $9,179 | $— | 1/28/25 | Federal Funds | Polynovo Ltd — | $509 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.45% — | | |
| | | | | Monthly | | |
| 8,422 | 7,792 | — | 1/28/25 | Federal Funds | Polypipe Group | 638 |
| | | | | Effective Rate US | Plc — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 20,815 | 18,895 | — | 1/28/25 | Federal Funds | Posco Chemical Co | 1,553 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 15.00% — | | |
| | | | | Monthly | | |
| 23,771 | 22,632 | — | 1/28/25 | Federal Funds | Potlatchdeltic | 1,167 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 10,920 | 9,196 | — | 1/28/25 | Federal Funds | Powercell Sweden | 1,549 |
| | | | | Effective Rate US | Ab — Monthly | |
| | | | | minus 26.63% — | | |
| | | | | Monthly | | |
| 19,301 | 19,311 | — | 1/28/25 | Federal Funds | Pra Health Sciences | 12 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 15,098 | 14,606 | — | 1/28/25 | Federal Funds | Prada Spa — | 508 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40% — | | |
| | | | | Monthly | | |
| 17,118 | 14,645 | — | 1/28/25 | Federal Funds | Precigen Inc. — | 2,414 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.25% — | | |
| | | | | Monthly | | |
| 34,188 | 32,877 | — | 1/28/25 | Federal Funds | Prestige Consumer | 1,349 |
| | | | | Effective Rate US | Healthcare Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 19,776 | 17,934 | — | 1/28/25 | Federal Funds | Principal Financial | 1,639 |
| | | | | Effective Rate US | Group Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 14,235 | 12,980 | — | 1/28/25 | Federal Funds | Prored Partners Co | 1,183 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 8.00% — | | |
| | | | | Monthly | | |
| 23,077 | 22,690 | — | 1/28/25 | Federal Funds | Prudential Bancorp | 408 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 119 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $11,410 | $10,088 | $— | 1/28/25 | Federal Funds | Prudential Plc — | $1,322 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 10,986 | 10,716 | — | 1/28/25 | Federal Funds | Prysmian Spa — | 280 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 23,106 | 23,139 | — | 1/28/25 | Federal Funds | Pulse Biosciences | (106) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 3.38% — | | |
| | | | | Monthly | | |
| 17,687 | 18,188 | — | 1/29/20 | Federal Funds | Quanta Services | (494) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 8,323 | 8,043 | — | 1/28/25 | Federal Funds | Radware Ltd — | 289 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 22,147 | 21,274 | — | 1/28/25 | Federal Funds | Rafael Holdings | 897 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 2,889 | 2,623 | — | 1/28/25 | Federal Funds | Raksul Inc — | 251 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 7.75% — | | |
| | | | | Monthly | | |
| 4,238 | 4,350 | — | 1/28/25 | Federal Funds | Ramsay Generale De | (119) |
| | | | | Effective Rate US | Sante — Monthly | |
| | | | | minus 4.00% — | | |
| | | | | Monthly | | |
| 8,146 | 7,454 | — | 1/28/25 | Federal Funds | Raqualia Pharma | 658 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 6.50% — | | |
| | | | | Monthly | | |
| 28,796 | 28,239 | — | 1/28/25 | Federal Funds | Reata | 585 |
| | | | | Effective Rate US | Pharmaceuticals | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 18,985 | 17,678 | — | 1/28/25 | Federal Funds | Reckitt Benckiser | 1,327 |
| | | | | Effective Rate US | Group Plc — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 3,753 | 3,484 | — | 1/28/25 | Federal Funds | Recruit Holdings Co | 273 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
|
| 120 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $1,152 | $1,069 | $— | 1/28/25 | Federal Funds | Red Lion Hotels | $84 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.25% — | | |
| | | | | Monthly | | |
| 15,673 | 14,364 | — | 1/28/25 | Federal Funds | Redefine Properties | 1,319 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.90% — | | |
| | | | | Monthly | | |
| 57,291 | 52,983 | — | 1/28/25 | Federal Funds | Redfin Corp — | 4,358 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 6,268 | 6,214 | — | 1/28/25 | Federal Funds | Regis Corp — | 62 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 7,715 | 7,669 | — | 1/28/25 | Federal Funds | Reliance Worldwide | 48 |
| | | | | Effective Rate US | Corp Ltd — Monthly | |
| | | | | minus 1.25% — | | |
| | | | | Monthly | | |
| 36,853 | 33,829 | — | 1/28/25 | Federal Funds | Replimune Group | 3,065 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 20,410 | 19,703 | — | 1/28/25 | Federal Funds | Restaurant Group | 724 |
| | | | | Effective Rate US | Plc — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 22,736 | 20,139 | — | 1/28/25 | Federal Funds | Rev Group Inc — | 2,496 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 24,709 | 24,670 | — | 1/28/25 | Federal Funds | Rhythm | 63 |
| | | | | Effective Rate US | Pharmaceuticals | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 5,634 | 4,821 | — | 1/28/25 | Federal Funds | Ricksoft Co Ltd — | 769 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 11.38% — | | |
| | | | | Monthly | | |
| 52,615 | 54,998 | — | 1/28/25 | Federal Funds | Rite Aid Corp — | (2,625) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 8.83% — | | |
| | | | | Monthly | | |
| 16,366 | 17,278 | — | 1/28/25 | Federal Funds | Roadrunner | (947) |
| | | | | Effective Rate US | Transportation | |
| | | | | minus 2.53% — | Systems Inc — | |
| | | | | Monthly | Monthly | |
|
| PanAgora Market Neutral Fund 121 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $19,271 | $17,029 | $— | 1/28/25 | Federal Funds | Rockwell Medical | $2,223 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 2.67% — | | |
| | | | | Monthly | | |
| 23,006 | 22,270 | — | 1/28/25 | Federal Funds | Rsa Insurance Group | 753 |
| | | | | Effective Rate US | Plc — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 15,879 | 16,388 | — | 1/28/25 | Federal Funds | Rubius | (557) |
| | | | | Effective Rate US | Therapeutics Inc — | |
| | | | | minus 5.38% — | Monthly | |
| | | | | Monthly | | |
| 20,540 | 20,998 | — | 1/28/25 | Federal Funds | Ryder System Inc — | (739) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 28,145 | 26,230 | — | 1/28/25 | Federal Funds | S & T Bancorp Inc — | 1,723 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 16,437 | 15,553 | — | 1/28/25 | Federal Funds | S-Pool Inc — | 714 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 10.25% — | | |
| | | | | Monthly | | |
| 10,456 | 9,984 | — | 1/28/25 | Federal Funds | SainsburyJPlc — | 482 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 15,387 | 14,545 | — | 1/28/25 | Federal Funds | Samsung Heavy | 854 |
| | | | | Effective Rate US | Industries Co Ltd — | |
| | | | | minus 0.40% — | Monthly | |
| | | | | Monthly | | |
| 21,792 | 20,646 | — | 1/28/25 | Federal Funds | Samsung Sdi Co | 1,086 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.75% — | | |
| | | | | Monthly | | |
| 69,335 | 64,104 | — | 1/28/25 | Federal Funds | Sandy Spring | 4,680 |
| | | | | Effective Rate US | Bancorp Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 6,446 | 6,052 | — | 1/28/25 | Federal Funds | Sanrio Co Ltd — | 390 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 2.25% — | | |
| | | | | Monthly | | |
| 10,113 | 10,188 | — | 1/28/25 | Federal Funds | Sarepta | (64) |
| | | | | Effective Rate US | Therapeutics Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
|
| 122 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $3,166 | $3,419 | $— | 1/28/25 | Federal Funds | Satsuma | $(251) |
| | | | | Effective Rate US | Pharmaceuticals | |
| | | | | minus 0.58% — | Inc — Monthly | |
| | | | | Monthly | | |
| 3,645 | 3,372 | — | 1/28/25 | Federal Funds | Scholar Rock | 275 |
| | | | | Effective Rate US | Holding Corp — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 73,350 | 73,595 | — | 1/28/25 | Federal Funds | Schwab (Charles) | (355) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 3,935 | 3,753 | — | 1/28/25 | Federal Funds | Screen Holdings Co | 187 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 20,670 | 20,490 | — | 1/28/25 | Federal Funds | Seaboard Corp — | 191 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 27,388 | 26,717 | — | 1/28/25 | Federal Funds | Seazen Group Ltd — | 695 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40% — | | |
| | | | | Monthly | | |
| 7,108 | 6,583 | — | 1/28/25 | Federal Funds | Sec Carbon Ltd — | 468 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 10.75% — | | |
| | | | | Monthly | | |
| 11,817 | 11,299 | — | 1/28/25 | Federal Funds | Sembcorp | 527 |
| | | | | Effective Rate US | Industries Ltd — | |
| | | | | minus 0.75% — | Monthly | |
| | | | | Monthly | | |
| 16,461 | 14,965 | — | 1/28/25 | Federal Funds | Senseonics | 1,432 |
| | | | | Effective Rate US | Holdings Inc — | |
| | | | | minus 11.37% — | Monthly | |
| | | | | Monthly | | |
| 35,032 | 33,521 | — | 1/28/25 | Federal Funds | Seritage Growth | 1,541 |
| | | | | Effective Rate US | Properties — | |
| | | | | minus 0.58% — | Monthly | |
| | | | | Monthly | | |
| 22,163 | 21,028 | — | 1/28/25 | Federal Funds | Service Corp | 1,157 |
| | | | | Effective Rate US | International/Us — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 38,823 | 36,174 | — | 1/28/25 | Federal Funds | Servisfirst | 2,689 |
| | | | | Effective Rate US | Bancshares Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 123 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $12,688 | $12,007 | $— | 1/28/25 | Federal Funds | Shake Shack Inc — | $695 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 8,755 | 8,177 | — | 1/28/25 | Federal Funds | Sharp Corp — | 583 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.88% — | | |
| | | | | Monthly | | |
| 25,259 | 23,222 | — | 1/28/25 | Federal Funds | Sharpspring Inc — | 2,051 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 24,067 | 23,562 | — | 1/28/25 | Federal Funds | Shockwave Medical | 531 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 9,266 | 9,109 | — | 1/28/25 | Federal Funds | Sia Engineering Co | 158 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 1.50% — | | |
| | | | | Monthly | | |
| 15,532 | 15,162 | — | 1/28/25 | Federal Funds | Siebert Financial | 323 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 5.73% — | | |
| | | | | Monthly | | |
| 8,587 | 7,459 | — | 1/28/25 | Federal Funds | Signpost Corp — | 1,053 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 10.63% — | | |
| | | | | Monthly | | |
| 13,600 | 13,598 | — | 1/28/25 | Federal Funds | Sino Land Co — | 14 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40% — | | |
| | | | | Monthly | | |
| 20,533 | 20,428 | — | 1/28/25 | Federal Funds | Sinopec Shanghai | (81) |
| | | | | Effective Rate US | Petrochemical | |
| | | | | minus 15.83% — | Company Ltd — | |
| | | | | Monthly | Monthly | |
| 52,211 | 51,908 | — | 1/28/25 | Federal Funds | Siteone Landscape | 358 |
| | | | | Effective Rate US | Supply Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 16,149 | 15,841 | — | 1/28/25 | Federal Funds | Sjm Holdings Ltd — | 322 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40% — | | |
| | | | | Monthly | | |
| 8,030 | 7,644 | — | 1/28/25 | Federal Funds | Sma Solar | 370 |
| | | | | Effective Rate US | Technology Ag — | |
| | | | | minus 3.75% — | Monthly | |
| | | | | Monthly | | |
|
| 124 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $50,318 | $45,843 | $— | 1/28/25 | Federal Funds | Smart Global | $4,532 |
| | | | | Effective Rate US | Holdings Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 7,396 | 7,085 | — | 1/28/25 | Federal Funds | Smart Metering | 288 |
| | | | | Effective Rate US | Systems Plc — | |
| | | | | minus 5.25% — | Monthly | |
| | | | | Monthly | | |
| 20,158 | 19,168 | — | 1/28/25 | Federal Funds | Smartsheet Inc — | 1,010 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 27,648 | 27,746 | — | 1/28/25 | Federal Funds | Soho China Ltd — | (71) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40% — | | |
| | | | | Monthly | | |
| 3,431 | 3,878 | — | 1/28/25 | Federal Funds | Solid Biosciences | (450) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 2.68% — | | |
| | | | | Monthly | | |
| 738,567 | 702,432 | — | 1/28/25 | Federal Funds | Spdr S&P 500 Etf | 36,516 |
| | | | | Effective Rate US | Trust — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 5,805 | 5,400 | — | 1/28/25 | Federal Funds | Sprix Ltd — Monthly | 381 |
| | | | | Effective Rate US | | |
| | | | | minus 6.13% — | | |
| | | | | Monthly | | |
| 19,034 | 18,675 | — | 1/28/25 | Federal Funds | Ssangyong Cement | 369 |
| | | | | Effective Rate US | Industrial Co Ltd — | |
| | | | | minus 0.71% — | Monthly | |
| | | | | Monthly | | |
| 16,324 | 14,464 | — | 1/28/25 | Federal Funds | Ssp Group Plc — | 1,863 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 29,462 | 29,269 | — | 1/28/25 | Federal Funds | St Joe Co/The — | 226 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 6,620 | 6,369 | — | 1/28/25 | Federal Funds | Stabilus Sa — | 117 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 23,848 | 22,729 | — | 1/28/25 | Federal Funds | Stagecoach Group | 637 |
| | | | | Effective Rate US | Plc — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 125 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $13,443 | $13,202 | $— | 1/28/25 | Federal Funds | Stemline | $256 |
| | | | | Effective Rate US | Therapeutics Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 28,519 | 26,533 | — | 1/28/25 | Federal Funds | Stericycle Inc — | 2,017 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 12,470 | 11,573 | — | 1/28/25 | Federal Funds | Stmicroelectronics | 909 |
| | | | | Effective Rate US | Nv — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 11,931 | 11,448 | — | 1/28/25 | Federal Funds | Stoneco Ltd — | 495 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 8,954 | 7,448 | — | 1/28/25 | Federal Funds | Stoneridge Inc — | 1,516 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 7,469 | 7,013 | — | 1/28/25 | Federal Funds | Storytel Ab — | 358 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 15.38% — | | |
| | | | | Monthly | | |
| 11,636 | 10,919 | — | 1/28/25 | Federal Funds | Stratus Properties | 728 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 36,579 | 35,117 | — | 1/28/25 | Federal Funds | Sturm Ruger & Co | 1,500 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 8,874 | 8,232 | — | 1/28/25 | Federal Funds | Suedzucker Ag — | 606 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 6.88% — | | |
| | | | | Monthly | | |
| 7,596 | 7,441 | — | 1/28/25 | Federal Funds | Suncity Group | 44 |
| | | | | Effective Rate US | Holdings Ltd — | |
| | | | | minus 18.38% — | Monthly | |
| | | | | Monthly | | |
| 21,594 | 20,124 | — | 1/28/25 | Federal Funds | Superdry Plc — | 1,488 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 29,023 | 28,145 | — | 1/28/25 | Federal Funds | Suzano Sa — | 892 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 1.00% — | | |
| | | | | Monthly | | |
|
| 126 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $18,290 | $16,729 | $— | 1/28/25 | Federal Funds | Sysco Corp — | $1,568 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 22,101 | 21,278 | — | 1/28/25 | Federal Funds | T-Mobile Us Inc — | 843 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 28,828 | 28,917 | — | 1/28/25 | Federal Funds | Tailored Brands | (388) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 12.38% — | | |
| | | | | Monthly | | |
| 3,730 | 3,581 | — | 1/28/25 | Federal Funds | Taiyo Nippon Sanso | 153 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 8,994 | 8,400 | — | 1/28/25 | Federal Funds | Taiyo Yuden Co | 582 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 3.25% — | | |
| | | | | Monthly | | |
| 25,115 | 22,471 | — | 1/28/25 | Federal Funds | Ted Baker Plc — | 2,655 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40% — | | |
| | | | | Monthly | | |
| 26,365 | 24,927 | — | 1/28/25 | Federal Funds | Tejon Ranch Co — | 1,466 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 14,400 | 12,752 | — | 1/28/25 | Federal Funds | Teva | 1,660 |
| | | | | Effective Rate US | Pharmaceutical | |
| | | | | minus 0.23% — | Industries Ltd — | |
| | | | | Monthly | Monthly | |
| 12,472 | 11,842 | — | 1/28/25 | Federal Funds | Therapeuticsmd | 596 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 5.37% — | | |
| | | | | Monthly | | |
| 17,931 | 16,866 | — | 1/28/25 | Federal Funds | Thermo Fisher | 1,072 |
| | | | | Effective Rate US | Scientific Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 16,463 | 15,145 | — | 1/28/25 | Federal Funds | Titan Machinery | 1,337 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 13,226 | 11,867 | — | 1/28/25 | Federal Funds | Tkp Corp — Monthly | 1,135 |
| | | | | Effective Rate US | | |
| | | | | minus 17.00% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 127 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $8,025 | $8,052 | $— | 1/28/25 | Federal Funds | Tokai Carbon Co | $(248) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 5.25% — | | |
| | | | | Monthly | | |
| 15,166 | 14,849 | — | 1/28/25 | Federal Funds | Toll Brothers Inc — | 324 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 11,509 | 11,026 | — | 1/28/25 | Federal Funds | Tomra Systems | 493 |
| | | | | Effective Rate US | Asa — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 27,823 | 26,113 | — | 1/28/25 | Federal Funds | Tootsie Roll | 1,728 |
| | | | | Effective Rate US | Industries Inc — | |
| | | | | minus 0.93% — | Monthly | |
| | | | | Monthly | | |
| 9,675 | 9,624 | — | 1/28/25 | Federal Funds | Toyo Seikan Group | 61 |
| | | | | Effective Rate US | Holdings Ltd — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
| 10,034 | 9,319 | — | 1/28/25 | Federal Funds | Toyo Tire Corp — | 563 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 33,628 | 33,236 | — | 1/28/25 | Federal Funds | Tpi Composites | 412 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 9,848 | 9,239 | — | 1/28/25 | Federal Funds | Transcontinental | 584 |
| | | | | Effective Rate US | Realty Investors | |
| | | | | minus 4.78% — | Inc — Monthly | |
| | | | | Monthly | | |
| 1,992 | 1,927 | — | 1/28/25 | Federal Funds | Transenterix Inc — | 49 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 9.24% — | | |
| | | | | Monthly | | |
| 7,288 | 7,257 | — | 1/28/25 | Federal Funds | Treasury Wine | 37 |
| | | | | Effective Rate US | Estates Ltd — | |
| | | | | minus 0.45% — | Monthly | |
| | | | | Monthly | | |
| 28,960 | 28,094 | — | 1/28/25 | Federal Funds | Tricida Inc — | 898 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 24,156 | 23,341 | — | 1/28/25 | Federal Funds | Trinity Industries | 621 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
|
| 128 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $9,944 | $9,234 | $— | 1/28/25 | Federal Funds | Triumph Group | $701 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 10,173 | 9,355 | — | 1/28/25 | Federal Funds | Truecar Inc — | 831 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.24% — | | |
| | | | | Monthly | | |
| 1,964 | 1,739 | — | 1/28/25 | Federal Funds | Tupperware Brands | 230 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 15,001 | 13,148 | — | 1/28/25 | Federal Funds | Turk Hava Yollari | 1,823 |
| | | | | Effective Rate US | Ao — Monthly | |
| | | | | minus 3.93% — | | |
| | | | | Monthly | | |
| 25,190 | 25,119 | — | 1/28/25 | Federal Funds | Twilio Inc — Monthly | 100 |
| | | | | Effective Rate US | | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 2,454 | 2,289 | — | 1/28/25 | Federal Funds | Twin Disc Inc — | 167 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 40,090 | 39,959 | — | 1/28/25 | Federal Funds | Twist Bioscience | 163 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 21,081 | 20,368 | — | 1/28/25 | Federal Funds | Tyler Technologies | 734 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 4,171 | 3,939 | — | 1/28/25 | Federal Funds | Tyme Technologies | 208 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 7.48% — | | |
| | | | | Monthly | | |
| 12,733 | 12,050 | — | 1/28/25 | Federal Funds | Ubisoft | 695 |
| | | | | Effective Rate US | Entertainment Sa — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
| 48,379 | 49,661 | — | 1/28/25 | Federal Funds | Ultra Clean Holdings | (1,225) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 16,153 | 15,219 | — | 1/28/25 | Federal Funds | Umicore Sa — | 950 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 129 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $6,909 | $6,486 | $— | 1/28/25 | Federal Funds | Unicharm Corp — | $430 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 26,947 | 24,463 | — | 1/28/25 | Federal Funds | Unilever Indonesia | 2,425 |
| | | | | Effective Rate US | Tbk Pt — Monthly | |
| | | | | minus 4.00% — | | |
| | | | | Monthly | | |
| 7,717 | 7,465 | — | 1/28/25 | Federal Funds | Union Bankshares | 171 |
| | | | | Effective Rate US | Inc /Morrisville Vt — | |
| | | | | minus 1.88% — | Monthly | |
| | | | | Monthly | | |
| 38,961 | 35,811 | — | 1/28/25 | Federal Funds | United Bankshares | 3,193 |
| | | | | Effective Rate US | Inc/Wv — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 20,750 | 19,701 | — | 1/28/25 | Federal Funds | Unity Biotechnology | 1,039 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 2.13% — | | |
| | | | | Monthly | | |
| 5,625 | 5,413 | — | 1/28/25 | Federal Funds | Universal | 211 |
| | | | | Effective Rate US | Entertainment | |
| | | | | minus 1.88% — | Corp — Monthly | |
| | | | | Monthly | | |
| 14,759 | 15,701 | — | 1/28/25 | Federal Funds | Upwork Inc — | (925) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 8,419 | 7,234 | — | 1/28/25 | Federal Funds | Us Ecology Inc — | 1,195 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 9,414 | 8,041 | — | 1/28/25 | Federal Funds | User Local Inc — | 1,276 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 16.00% — | | |
| | | | | Monthly | | |
| 35,099 | 32,383 | — | 1/28/25 | Federal Funds | Valley National | 2,755 |
| | | | | Effective Rate US | Bancorp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 18,029 | 15,919 | — | 1/28/25 | Federal Funds | Varta Ag — Monthly | 2,127 |
| | | | | Effective Rate US | | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 21,407 | 20,227 | — | 1/28/25 | Federal Funds | Vbi Vaccines Inc — | 1,104 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 4.52% — | | |
| | | | | Monthly | | |
|
| 130 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $4,603 | $4,195 | $— | 1/28/25 | Federal Funds | Vector Inc — | $403 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 2.75% — | | |
| | | | | Monthly | | |
| 26,576 | 24,322 | — | 1/28/25 | Federal Funds | Verrica | 2,283 |
| | | | | Effective Rate US | Pharmaceuticals | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 23,299 | 21,960 | — | 1/28/25 | Federal Funds | Vf Corp — Monthly | 1,365 |
| | | | | Effective Rate US | | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 14,175 | 14,274 | — | 1/28/25 | Federal Funds | Viacomcbs Inc — | (78) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 14,361 | 14,490 | — | 1/28/25 | Federal Funds | Viasat Inc — Monthly | (111) |
| | | | | Effective Rate US | | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 29,467 | 28,411 | — | 1/28/25 | Federal Funds | Viavi Solutions Inc — | 1,088 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 24,869 | 24,179 | — | 1/28/25 | Federal Funds | Virnetx Holding | 681 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 1.83% — | | |
| | | | | Monthly | | |
| 27,905 | 27,670 | — | 1/28/25 | Federal Funds | Virtu Financial Inc — | (94) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 24,595 | 23,675 | — | 1/28/25 | Federal Funds | Visteon Corp — | 953 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 24,959 | 20,850 | — | 1/28/25 | Federal Funds | Vmware Inc — | 4,135 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 11,574 | 10,480 | — | 1/28/25 | Federal Funds | W-Scope Corp — | 969 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 12.50% — | | |
| | | | | Monthly | | |
| 27,281 | 25,366 | — | 1/28/25 | Federal Funds | Washington Trust | 1,944 |
| | | | | Effective Rate US | Bancorp Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 131 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $9,030 | $8,638 | $— | 1/28/25 | Federal Funds | Washtec Ag — | $401 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 12,606 | 12,132 | — | 1/28/25 | Federal Funds | Waste Connections | 463 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.25% — | | |
| | | | | Monthly | | |
| 26,650 | 25,745 | — | 1/28/25 | Federal Funds | Watsco Inc — | 673 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 27,812 | 26,736 | — | 1/28/25 | Federal Funds | Wd–40 Co — | 1,002 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 22,853 | 20,884 | — | 1/28/25 | Federal Funds | Webster Financial | 1,775 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 13,799 | 12,855 | — | 1/28/25 | Federal Funds | Weir Group Plc/ | 957 |
| | | | | Effective Rate US | The — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 23,506 | 23,452 | — | 1/28/25 | Federal Funds | Welbilt Inc — | 81 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 11,359 | 12,053 | — | 1/28/25 | Federal Funds | Welcia Holdings Co | (725) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 16,293 | 14,701 | — | 1/28/25 | Federal Funds | Wh Smith Plc — | 1,593 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 22,385 | 19,230 | — | 1/28/25 | Federal Funds | William Hill Plc — | 3,172 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 33,690 | 32,975 | — | 1/28/25 | Federal Funds | Willscot Corp — | 752 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 21,647 | 19,975 | — | 1/28/25 | Federal Funds | Wintrust Financial | 1,681 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
|
| 132 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $16,165 | $16,352 | $— | 1/28/25 | Federal Funds | Wix.com Ltd — | $(169) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 7,633 | 7,489 | — | 1/28/25 | Federal Funds | Wm Morrison | 152 |
| | | | | Effective Rate US | Supermarkets Plc — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
| 24,678 | 22,129 | — | 1/28/25 | Federal Funds | Workman Co Ltd — | 2,463 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 5.25% — | | |
| | | | | Monthly | | |
| 14,668 | 14,171 | — | 1/28/25 | Federal Funds | World Wrestling | 510 |
| | | | | Effective Rate US | Entertainment Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 26,362 | 25,158 | — | 1/28/25 | Federal Funds | Worldline Sa — | 1,227 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 13,622 | 13,282 | — | 1/28/25 | Federal Funds | Wynn Resorts Ltd — | 233 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 39,581 | 37,405 | — | 1/28/25 | Federal Funds | Xperi Corp — | 2,214 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 27,280 | 23,114 | — | 1/28/25 | Federal Funds | Yageo Corp — | 4,159 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 11.75% — | | |
| | | | | Monthly | | |
| 8,977 | 8,774 | — | 1/28/25 | Federal Funds | Yamashin-Filter | 92 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 16.00% — | | |
| | | | | Monthly | | |
| 4,960 | 4,734 | — | 1/28/25 | Federal Funds | Yamato Holdings Co | 230 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 6,895 | 6,805 | — | 1/28/25 | Federal Funds | Yamazaki Baking Co | 24 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 16,369 | 15,692 | — | 1/28/25 | Federal Funds | Yaskawa Electric | 577 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 133 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/20 (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 PLCcont. | | | | |
| $26,072 | $26,761 | $— | 1/28/25 | Federal Funds | Yihai International | $(673) |
| | | | | Effective Rate US | Holding Ltd — | |
| | | | | minus 0.40% — | Monthly | |
| | | | | Monthly | | |
| 6,265 | 5,469 | — | 1/28/25 | Federal Funds | Youngevity | 738 |
| | | | | Effective Rate US | International Inc — | |
| | | | | minus 12.61% — | Monthly | |
| | | | | Monthly | | |
| 36,025 | 32,982 | — | 1/28/25 | Federal Funds | Zagg Inc — Monthly | 3,071 |
| | | | | Effective Rate US | | |
| | | | | minus 0.68% — | | |
| | | | | Monthly | | |
| 23,450 | 20,990 | — | 1/28/25 | Federal Funds | Zalando Se — | 2,483 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 24,020 | 24,065 | — | 1/28/25 | Federal Funds | Zhenro Properties | (203) |
| | | | | Effective Rate US | Group Ltd — | |
| | | | | minus 10.25% — | Monthly | |
| | | | | Monthly | | |
| 11,886 | 11,187 | — | 1/29/20 | Federal Funds | Zhuzhou Crrc Times | 709 |
| | | | | Effective Rate US | Electric Co Ltd — | |
| | | | | minus 0.40% — | Monthly | |
| | | | | Monthly | | |
| 23,603 | 22,511 | — | 1/28/25 | Federal Funds | Ziopharm Oncology | 1,013 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 2.37% — | | |
| | | | | Monthly | | |
| 6,734 | 6,649 | — | 1/28/25 | Federal Funds | Zooplus Ag — | 82 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 2.00% — | | |
| | | | | Monthly | | |
| 12,408 | 11,643 | — | 1/28/25 | Federal Funds | Zynerba | 673 |
| | | | | Effective Rate US | Pharmaceuticals | |
| | | | | minus 11.71% — | Inc — Monthly | |
| | | | | Monthly | | |
| 48,219 | 49,715 | — | 1/28/25 | Federal Funds | Zynex Inc — Monthly | (2,186) |
| | | | | Effective Rate US | | |
| | | | | minus 14.53% — | | |
| | | | | Monthly | | |
| Upfront premium received | — | | Unrealized appreciation | 701,077 |
| Upfront premium (paid) | | — | | Unrealized (depreciation) | (761,767) |
| Total | | $— | | Total | | $(60,690) |
|
| 134 PanAgora Market Neutral Fund |
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 | $63,456 | $— | $— |
| Units | 231,009 | — | — |
| Short-term investments | — | 9,365,619 | — |
| Totals by level | $294,465 | $9,365,619 | $— |
| | | | |
| | | Valuation inputs |
| Other financial instruments: | Level 1 | Level 2 | Level 3 |
| Total return swap contracts | $— | $(60,690) | $— |
| Totals by level | $— | $(60,690) | $— |
The accompanying notes are an integral part of these financial statements.
|
| PanAgora Market Neutral Fund 135 |
| |
| Statement of assets and liabilities2/29/20 (Unaudited) | |
| ASSETS | |
| Investment in securities, at value (Note 1): | |
| Unaffiliated issuers (identified cost $9,646,610) | $9,660,084 |
| Interest and other receivables | 26,971 |
| Receivable for shares of the fund sold | 1,095 |
| Receivable for investments sold | 1,362,594 |
| Receivable from Manager (Note 2) | 16,243 |
| Unrealized appreciation on OTC swap contracts (Note 1) | 701,077 |
| Prepaid assets | 41,461 |
| Total assets | 11,809,525 |
| |
| LIABILITIES | |
| Payable to custodian | 205,154 |
| Payable for investments purchased | 1,409,321 |
| Payable for custodian fees (Note 2) | 8,538 |
| Payable for investor servicing fees (Note 2) | 735 |
| Payable for Trustee compensation and expenses (Note 2) | 185 |
| Payable for administrative services (Note 2) | 31 |
| Payable for distribution fees (Note 2) | 3,439 |
| Unrealized depreciation on OTC swap contracts (Note 1) | 761,767 |
| Other accrued expenses | 40,802 |
| Total liabilities | 2,429,972 |
| | |
| Net assets | $9,379,553 |
| |
| REPRESENTED BY | |
| Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) | $10,633,630 |
| Total distributable earnings (Note 1) | (1,254,077) |
| Total — Representing net assets applicable to capital shares outstanding | $9,379,553 |
| |
| COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE | |
| Net asset value and redemption price per class A share($8,145,575 divided by 996,639 shares) | $8.17 |
| Offering price per class A share(100/94.25 of $8.17)* | $8.67 |
| Net asset value and offering price per class B share($8,029 divided by 1,000 shares)** | $8.03 |
| Net asset value and offering price per class C share($8,029 divided by 1,000 shares)** | $8.03 |
| Net asset value, offering price and redemption price per class R share | |
| ($8,125 divided by 1,000 shares) | $8.13 |
| Net asset value, offering price and redemption price per class R6 share | |
| ($732,855 divided by 89,124 shares) | $8.22 |
| Net asset value, offering price and redemption price per class Y share | |
| ($476,940 divided by 58,008 shares) | $8.22 |
*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.
The accompanying notes are an integral part of these financial statements.
|
| 136 PanAgora Market Neutral Fund |
| |
| Statement of operationsSix months ended 2/29/20 (Unaudited) | |
| INVESTMENT INCOME | |
| Interest | $64,912 |
| Total investment income | 64,912 |
| |
| EXPENSES | |
| Compensation of Manager (Note 2) | 63,304 |
| Investor servicing fees (Note 2) | 2,180 |
| Custodian fees (Note 2) | 3,086 |
| Trustee compensation and expenses (Note 2) | 212 |
| Distribution fees (Note 2) | 10,707 |
| Administrative services (Note 2) | 150 |
| Reports to shareholders | 9,717 |
| Auditing and tax fees | 27,553 |
| Blue sky expense | 45,198 |
| Other | 1,121 |
| Fees waived and reimbursed by Manager (Note 2) | (77,237) |
| Total expenses | 85,991 |
| | |
| Expense reduction (Note 2) | (9) |
| Net expenses | 85,982 |
| | |
| Net investment loss | (21,070) |
| |
| REALIZED AND UNREALIZED GAIN (LOSS) | |
| Net realized gain (loss) on: | |
| Securities from unaffiliated issuers (Notes 1 and 3) | 951 |
| Foreign currency transactions (Note 1) | (523) |
| Swap contracts (Note 1) | (443,262) |
| Total net realized loss | (442,834) |
| Change in net unrealized appreciation (depreciation) on: | |
| Securities from unaffiliated issuers | 7,287 |
| Swap contracts | (96,571) |
| Total change in net unrealized depreciation | (89,284) |
| | |
| Net loss on investments | (532,118) |
| |
| Net decrease in net assets resulting from operations | $(553,188) |
The accompanying notes are an integral part of these financial statements.
|
| PanAgora Market Neutral Fund 137 |
| | |
| Statement of changes in net assets | | |
| DECREASE IN NET ASSETS | Six months ended 2/29/20* | Year ended 8/31/19 |
| Operations | | |
| Net investment income (loss) | $(21,070) | $68,228 |
| Net realized gain (loss) on investments | | |
| and foreign currency transactions | (442,834) | (884,028) |
| Change in net unrealized appreciation (depreciation) | | |
| of investments | (89,284) | 35,559 |
| Net decrease in net assets resulting from operations | (553,188) | (780,241) |
| Increase (decrease) from capital share transactions (Note 4) | 21,457 | (22,190) |
| Total decrease in net assets | (531,731) | (802,431) |
| |
| NET ASSETS | | |
| Beginning of period | 9,911,284 | 10,713,715 |
| End of period | $9,379,553 | $9,911,284 |
*Unaudited.
The accompanying notes are an integral part of these financial statements.
|
| 138 PanAgora Market Neutral Fund |
|
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|
| PanAgora Market Neutral Fund 139 |
| | | | | | | | | | | | |
| 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 net | | | Total return | Net assets, | Ratio of expenses | income (loss) | |
| | beginning | Net investment | gain (loss) | investment | 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 29, 2020** | $8.66 | (.02) | (.47) | (.49) | — | — | $8.17 | (5.66)* | $8,146 | .89* | (.23)* | — |
| August 31, 2019 | 9.32 | .05 | (.71) | (.66) | — | — | 8.66 | (7.08) | 8,621 | 1.79 | .61 | — |
| August 31, 2018† | 10.00 | (.02) | (.66) | (.68) | — | — | 9.32 | (6.80)* | 9,275 | 1.69* | (.21)* | — |
| Class B | | | | | | | | | | | | |
| February 29, 2020** | $8.53 | (.05) | (.45) | (.50) | — | — | $8.03 | (5.86)* | $8 | 1.27* | (.60)* | — |
| August 31, 2019 | 9.25 | (.01) | (.71) | (.72) | — | — | 8.53 | (7.78) | 9 | 2.54 | (.14) | — |
| August 31, 2018† | 10.00 | (.09) | (.66) | (.75) | — | — | 9.25 | (7.50)* | 9 | 2.40* | (.92)* | — |
| Class C | | | | | | | | | | | | |
| February 29, 2020** | $8.53 | (.05) | (.45) | (.50) | — | — | $8.03 | (5.86)* | $8 | 1.27* | (.60)* | — |
| August 31, 2019 | 9.25 | (.01) | (.71) | (.72) | — | — | 8.53 | (7.78) | 9 | 2.54 | (.14) | — |
| August 31, 2018† | 10.00 | (.09) | (.66) | (.75) | — | — | 9.25 | (7.50)* | 9 | 2.40* | (.92)* | — |
| Class R | | | | | | | | | | | | |
| February 29, 2020** | $8.62 | (.03) | (.46) | (.49) | — | — | $8.13 | (5.68)* | $8 | 1.02* | (.35)* | — |
| August 31, 2019 | 9.30 | .03 | (.71) | (.68) | — | — | 8.62 | (7.31) | 9 | 2.04 | .36 | — |
| August 31, 2018† | 10.00 | (.04) | (.66) | (.70) | — | — | 9.30 | (7.00)* | 9 | 1.93* | (.45)* | — |
| Class R6 | | | | | | | | | | | | |
| February 29, 2020** | $8.70 | (.01) | (.47) | (.48) | — | — | $8.22 | (5.52)* | $733 | .77* | (.09)* | — |
| August 31, 2019 | 9.34 | .08 | (.72) | (.64) | — | — | 8.70 | (6.85) | 858 | 1.55 | .87 | — |
| August 31, 2018† | 10.00 | .01 | (.67) | (.66) | — | — | 9.34 | (6.60)* | 971 | 1.46* | .13* | — |
| Class Y | | | | | | | | | | | | |
| February 29, 2020** | $8.70 | (.01) | (.47) | (.48) | — | — | $8.22 | (5.52)* | $477 | .77* | (.15)* | — |
| August 31, 2019 | 9.34 | .08 | (.72) | (.64) | — | — | 8.70 | (6.85) | 399 | 1.54 | .86 | — |
| August 31, 2018† | 10.00 | .01 | (.67) | (.66) | — | — | 9.34 | (6.60)* | 431 | 1.45* | .11* | — |
*Not annualized.
**Unaudited.
†For the period September 21, 2017 (commencement of operations) to August 31, 2018.
aPer share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.
bTotal return assumes dividend reinvestment and does not reflect the effect of sales charges.
cIncludes amounts paid through expense offset and/or brokerage/service arrangements, if any (Note 2). Also excludes acquired fund fees and expenses, if any.
dReflects 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 the following amounts (Note 2):
| | | | |
| | Percentage of average net assets | | | |
| February 29, 2020 | 0.79% | | | |
| August 31, 2019 | 1.67 | | | |
| August 31, 2018 | 3.71 | | | |
The accompanying notes are an integral part of these financial statements.
| |
| 140 PanAgora Market Neutral Fund | PanAgora Market Neutral Fund 141 |
Notes to financial statements2/29/20 (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 1, 2019 through February 29, 2020.
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 and 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.
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.
PanAgora expects to implement the fund’s strategies primarily through investing in total return swap contracts, although it 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. 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.
In addition, PanAgora may invest up to 25% of the fund’s net assets in stock, rights, warrants, and other securities of special purpose acquisition companies (“SPACs”).
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 R, class R6 and class Y shares. Effective November 25, 2019, all class M shares were converted to class A shares and are no longer available for purchase. 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 shares are sold with a maximum front-end sales charge of 5.75%. Class A shares generally are not subject to a contingent deferred sales charge and class R, class R6 and class Y shares are not subject to a contingent deferred sales charge. Prior to November 25, 2019, class M shares were sold with a maximum front-end sales charge of 3.50% and were not subject to a contingent deferred sales charge. Class B shares, which convert to class A shares after approximately eight years, are not
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| 142 PanAgora Market Neutral Fund |
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. 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 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 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 Amended and Restated 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 valuationPortfolio 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.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under Accounting Standards Codification 820Fair Value Measurements and Disclosures(ASC 820). If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
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.
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
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| PanAgora Market Neutral Fund 143 |
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.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
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 incomeSecurity 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 and including amortization and accretion of premiums and discounts on debt securities, is recorded on the accrual basis.
Foreign currency translationThe accounting records of the fund are maintained in U.S. dollars. The fair value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.
Total return swap contractsThe 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
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| 144 PanAgora Market Neutral Fund |
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 agreementsThe 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 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 had a net liability position of $60,690 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $4,218,788 and may include amounts related to unsettled agreements.
Interfund lendingThe 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 creditThe 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 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.
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| PanAgora Market Neutral Fund 145 |
Federal taxesIt 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 740Income 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. Each of the fund’s federal tax returns for the prior periods remains subject to examination by the Internal Revenue Service.
The fund may also be subject to taxes imposed by governments of countries in which it invests. Such taxes are generally based on either income or gains earned or repatriated. The fund accrues and applies such taxes to net investment income, net realized gains and net unrealized gains as income and/or capital gains are earned. In some cases, the fund may be entitled to reclaim all or a portion of such taxes, and such reclaim amounts, if any, are reflected as an asset on the fund’s books. In many cases, however, the fund may not receive such amounts for an extended period of time, depending on the country of investment.
Pursuant to federal income tax regulations applicable to regulated investment companies, the fund has elected to defer $707,076 to its fiscal year ending August 31, 2020 of late year ordinary losses ((i) ordinary losses recognized between January 1, 2019 and August 31, 2019, and (ii) specified ordinary and currency losses recognized between November 1, 2018 and August 31, 2019).
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 $9,682,491, resulting in gross unrealized appreciation and depreciation of $679,401 and $762,498, respectively, or net unrealized depreciation of $83,097.
Distributions to shareholdersDistributions 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 TrustExpenses 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.
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 0.646% of the fund’s average net assets.
Putnam Management has contractually agreed, through December 30, 2020, to waive fees and/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
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| 146 PanAgora Market Neutral Fund |
year-to-date period. During the reporting period, the fund’s expenses were reduced by $77,237 as a result of this limit.
PanAgora, an affiliate of Putnam Management, 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. Effective November 25, 2019, the fund converted all of its class M shares to class A shares and class M shares were no longer able to be purchased.
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 | $1,870 | | Class R | 2 |
| Class B | 2 | | Class R6 | 206 |
| Class C | 2 | | Class Y | 97 |
| Class M | 1 | | Total | $2,180 |
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 $9 under the expense offset arrangements.
Each Independent Trustee of the fund receives an annual Trustee fee, of which $7, 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
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| PanAgora Market Neutral Fund 147 |
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% | $10,587 |
| Class B | 1.00% | 1.00% | 42 |
| Class C | 1.00% | 1.00% | 42 |
| ClassM* | 1.00% | 0.75% | 15 |
| Class R | 1.00% | 0.50% | 21 |
| Total | | | $10,707 |
*Effective November 25, 2019, the fund converted all of its class M shares to class A shares and class M shares were no longer able to be purchased.
For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $69 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) | $270,634 | $— |
| U.S. government securities (Long-term) | — | — |
| Total | $270,634 | $— |
Note 4: Capital shares
At the close of the reporting period, there were an unlimited number of shares of beneficial interest authorized. Transactions, including, if applicable, direct exchanges pursuant to share conversions, in capital shares were as follows:
| | | | |
| | SIX MONTHS ENDED 2/29/20 | YEAR ENDED 8/31/19 |
| Class A | Shares | Amount | Shares | Amount |
| Shares sold | 1,485 | $12,784 | 477 | $4,247 |
| Shares issued in connection with | | | | |
| reinvestment of distributions | — | — | — | — |
| | 1,485 | 12,784 | 477 | 4,247 |
| Shares repurchased | (858) | (7,402) | (37) | (331) |
| Net increase | 627 | $5,382 | 440 | $3,916 |
| |
| | SIX MONTHS ENDED 2/29/20 | YEAR ENDED 8/31/19 |
| Class B | Shares | Amount | Shares | Amount |
| Shares sold | — | $— | — | $— |
| Shares issued in connection with | | | | |
| reinvestment of distributions | — | — | — | — |
| | — | — | — | — |
| Shares repurchased | — | — | — | — |
| Net increase (decrease) | — | $— | — | $— |
|
| 148 PanAgora Market Neutral Fund |
| | | | |
| | SIX MONTHS ENDED 2/29/20 | YEAR ENDED 8/31/19 |
| Class C | Shares | Amount | Shares | Amount |
| Shares sold | — | $— | — | $— |
| Shares issued in connection with | | | | |
| reinvestment of distributions | — | — | — | — |
| | — | — | — | — |
| Shares repurchased | — | — | — | — |
| Net increase (decrease) | — | $— | — | $— |
| |
| | SIX MONTHS ENDED 2/29/20* | YEAR ENDED 8/31/19 |
| Class M | Shares | Amount | Shares | Amount |
| Shares sold | — | $— | — | $— |
| Shares issued in connection with | | | | |
| reinvestment of distributions | — | — | — | — |
| | — | — | — | — |
| Shares repurchased | (1,000) | (8,516) | — | — |
| Net increase (decrease) | (1,000) | $(8,516) | — | $— |
| |
| | SIX MONTHS ENDED 2/29/20 | YEAR ENDED 8/31/19 |
| Class R | Shares | Amount | Shares | Amount |
| Shares sold | — | $— | — | $— |
| Shares issued in connection with | | | | |
| reinvestment of distributions | — | — | — | — |
| | — | — | — | — |
| Shares repurchased | — | — | — | — |
| Net increase (decrease) | — | $— | — | $— |
| |
| | SIX MONTHS ENDED 2/29/20 | YEAR ENDED 8/31/19 |
| Class R6 | Shares | Amount | Shares | Amount |
| Shares sold | 5,901 | $49,979 | 64,196 | $593,268 |
| Shares issued in connection with | | | | |
| reinvestment of distributions | — | — | — | — |
| | 5,901 | 49,979 | 64,196 | 593,268 |
| Shares repurchased | (15,407) | (130,719) | (69,593) | (616,521) |
| Net decrease | (9,506) | $(80,740) | (5,397) | $(23,253) |
| |
| | SIX MONTHS ENDED 2/29/20 | YEAR ENDED 8/31/19 |
| Class Y | Shares | Amount | Shares | Amount |
| Shares sold | 13,040 | $112,817 | 5,555 | $50,070 |
| Shares issued in connection with | | | | |
| reinvestment of distributions | — | — | — | — |
| | 13,040 | 112,817 | 5,555 | 50,070 |
| Shares repurchased | (863) | (7,486) | (5,834) | (52,923) |
| Net increase (decrease) | 12,177 | $105,331 | (279) | $(2,853) |
*Effective November 25, 2019, the fund converted all of its class M shares to class A shares and class M shares were no longer able to be purchased.
|
| PanAgora Market Neutral Fund 149 |
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 | 99.74% | $8,120,980 |
| Class B | 1,000 | 100.00 | 8,029 |
| Class C | 1,000 | 100.00 | 8,029 |
| Class R | 1,000 | 100.00 | 8,125 |
At the close of the reporting period, a shareholder of record owned 7.8% of the outstanding shares of the fund.
Note 5: 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. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations.
Beginning in January 2020, global financial markets have experienced, and may continue, to experience significant volatility resulting from the spread of a virus known as COVID–19. The outbreak of COVID–19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand, and general market uncertainty. The effects of COVID–19 have adversely affected, and may continue to adversely affect, the global economy, the economies of certain nations, and individual issuers, all of which may negatively impact the fund’s performance.
Note 6: 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) | $31,200,000 |
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 | $701,077 | Payables | $761,767 |
| Total | | $701,077 | | $761,767 |
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 | $(443,262) | $(443,262) |
| Total | $(443,262) | $(443,262) |
|
| 150 PanAgora Market Neutral Fund |
| | |
| 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 | $(96,571) | $(96,571) |
| Total | $(96,571) | $(96,571) |
Note 7: 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*# | $701,077 | $701,077 |
| Total Assets | $701,077 | $701,077 |
| Liabilities: | | |
| OTC Total return swap contracts*# | $761,767 | $761,767 |
| Total Liabilities | $761,767 | $761,767 |
| Total Financial and Derivative Net Assets | $(60,690) | $(60,690) |
| Total collateral received (pledged)†## | $(60,690) | |
| Net amount | $— | |
| Controlled collateral received (including | | |
| TBA commitments)** | $— | $— |
| Uncontrolled collateral received | $— | $— |
| Collateral (pledged) (including TBA commitments)** | $(4,218,788) | $(4,218,788) |
*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 151 |
Services for shareholders
Investor services
Systematic investment planTell us how much you wish to invest regularly — weekly, semimonthly, or monthly — and the amount you choose will be transferred automatically from your checking or savings account. There’s no additional fee for this service, and you can suspend it at any time. This plan may be a great way to save for college expenses or to plan for your retirement.
Please note that regular investing does not guarantee a profit or protect against loss in a declining market. Before arranging a systematic investment plan, consider your financial ability to continue making purchases in periods when prices are low.
Systematic exchangeYou can make regular transfers from one Putnam fund to another Putnam fund. There are no additional fees for this service, and you can cancel or change your options at any time.
Dividends PLUSYou can choose to have the dividend distributions from one of your Putnam funds automatically reinvested in another Putnam fund at no additional charge.
Free exchange privilegeYou can exchange money between Putnam funds free of charge, as long as they are the same class of shares. A signature guarantee is required if you are exchanging more than $500,000. The fund reserves the right to revise or terminate the exchange privilege.
Reinstatement privilegeIf you’ve sold Putnam shares or received a check for a dividend or capital gain, you may reinvest the proceeds with Putnam within 90 days of thetransaction and they will be reinvested at the fund’s current net asset value — with no sales charge. However, reinstatement of class B shares may have special tax consequences. Ask your financial or tax representative for details.
Check-writing serviceYou have ready access to many Putnam accounts. It’s as simple as writing a check, and there are no special fees or service charges. For more information about the check-writing service, call Putnam or visit our website.
Dollar cost averagingWhen you’re investing for long-term goals, it’s time, not timing, that counts. Investing on a systematic basis is a better strategy than trying to figure out when the markets will go up or down. This means investing the same amount of money regularly over a long period. This method of investing is called dollar cost averaging. When a fund’s share price declines, your investment dollars buy more shares at lower prices. When it increases, they buy fewer shares. Over time, you will pay a lower average price per share.
For more information
Visit the Individual Investors section at putnam.comA secure section of our website contains complete information on your account, including balances and transactions, updated daily. You may also conduct transactions, such as exchanges, additional investments, and address changes. Log on today to get your password.
Call us toll free at 1-800-225-1581Ask a helpful Putnam representative or your financial advisor for details about any of these or other services, or see your prospectus.
|
| 152 PanAgora Market Neutral Fund |
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 funds across income, value, blend, growth, sustainable, asset allocation, absolute return, and global sector categories.
| | |
| Investment Manager | Trustees | Michael J. Higgins |
| Putnam Investment | Kenneth R. Leibler,Chair | Vice President, Treasurer, |
| Management, LLC | Liaquat Ahamed | and Clerk |
| 100 Federal Street | Ravi Akhoury | |
| Boston, MA 02110 | Barbara M. Baumann | Jonathan S. Horwitz |
| | Katinka Domotorffy | Executive Vice President, |
| Investment Sub-Advisor | Catharine Bond Hill | Principal Executive Officer, |
| PanAgora Asset Management, Inc. | Paul L. Joskow | and Compliance Liaison |
| 470 Atlantic Ave. | Robert E. Patterson | |
| Boston, MA 02210 | George Putnam, III | Richard T. Kircher |
| | Robert L. Reynolds | Vice President and BSA |
| Marketing Services | Manoj P. Singh | Compliance Officer |
| Putnam Retail Management | Mona K. Sutphen | |
| 100 Federal Street | | Susan G. Malloy |
| Boston, MA 02110 | Officers | Vice President and |
| | Robert L. Reynolds | Assistant Treasurer |
| Custodian | President | |
| State Street Bank | | Denere P. Poulack |
| and Trust Company | Robert T. Burns | Assistant Vice President, Assistant |
| Vice President and | Clerk, and Assistant Treasurer |
| Legal Counsel | Chief Legal Officer | |
| Ropes & Gray LLP | | Janet C. Smith |
| James F. Clark | Vice President, |
| | Vice President, Chief Compliance | Principal Financial Officer, |
| | Officer, and Chief Risk Officer | Principal Accounting Officer, |
| | | and Assistant Treasurer |
| | Nancy E. Florek | |
| | Vice President, Director of | Mark C. Trenchard |
| | Proxy Voting and Corporate | Vice President |
| | Governance, Assistant Clerk, | |
| | and Assistant Treasurer | |
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 carefully 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.
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Item 3. Audit Committee Financial Expert: |
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Item 4. Principal Accountant Fees and Services: |
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Item 5. Audit Committee of Listed Registrants |
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Item 6. Schedule of Investments: |
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| The registrant's schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above. |
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| Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies: |
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Item 8. Portfolio Managers of Closed-End Investment Companies |
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Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers: |
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Item 10. Submission of Matters to a Vote of Security Holders: |
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Item 11. Controls and Procedures: |
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(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 180 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. |
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| (b) Changes in internal control over financial reporting: Effective September 2019, the fund's investment manager, Putnam Investment Management, LLC has delegated to State Street Bank and Trust Company ("State Street"), responsibility for providing certain swap bookkeeping services to the fund. |
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Item 12. Disclosures of Securities Lending Activities for Closed-End Investment Companies: |
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| 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. |
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| By (Signature and Title): |
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| /s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
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| 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. |
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| By (Signature and Title): |
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| /s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
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| By (Signature and Title): |
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| /s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer
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