UNITED STATES SECURITIES AND EXCHANGE COMMISSION |
Washington, D.C. 20549 |
FORM N-CSR |
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES |
Investment Company Act file number: | (811–07237) |
Exact name of registrant as specified in charter: | Putnam Investment Funds |
Address of principal executive offices: | 100 Federal Street, Boston, Massachusetts 02110 |
Name and address of agent for service: | Robert T. Burns, Vice President 100 Federal Street Boston, Massachusetts 02110 |
Copy to: | Bryan Chegwidden, Esq. Ropes & Gray LLP 1211 Avenue of the Americas New York, New York 10036 |
Registrant's telephone number, including area code: | (617) 292–1000 |
Date of fiscal year end: | August 31, 2020 |
Date of reporting period: | September 1, 2019 — August 31, 2020 |
Item 1. Report to Stockholders: |
The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940: |
Putnam PanAgora
Market Neutral
Fund
Annual report
8 | 31 | 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
October 14, 2020
Dear Fellow Shareholder:
As the world continues to confront the challenges of the COVID-19 pandemic, financial markets, it seems, are enjoying a respite from fear. U.S. markets rallied this summer despite many challenges that weighed down economic activity, including the public health impact of the pandemic, high unemployment, and tensions related to calls for racial equity. In this context, Putnam continues to pursue superior investment performance for you and your fellow shareholders while also working toward its goals of improving diversity and inclusion within its organization.
We would like to take this opportunity to thank Robert E. Patterson, who retired as a Trustee on June 30, 2020, for his 36 years of service. We will miss Bob’s experienced judgment and insights, and we wish him well. We are also pleased to welcome Mona K. Sutphen to the Board. Ms. Sutphen brings extensive professional and directorship experience to her role as a Trustee.
As always, 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 7–9 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.
* Source: Lipper, a Refinitiv company.
This comparison shows your fund’s performance in the context of broad market indexes for the 12 months ended 8/31/20. See above and pages 7–9 for additional fund performance information. Index descriptions can be found on pages 12–13.
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Can you describe the global investing environment for the reporting period?
Global equities finished calendar-year 2019 on a strong note. Returns were robust across different regions, with the United States leading the way. A “phase one” trade agreement between the United States and China, an accommodative U.S. Federal Reserve [the Fed], and improving global economic conditions helped drive major stock indices to all-time highs in the fourth quarter of calendar 2019.
After a relatively calm start to 2020, developed and emerging equity markets fell sharply in late February and early March. The impact of the COVID-19 pandemic, including fears of a prolonged global economic slowdown, sent equity markets into a tailspin. The CBOE Volatility Index, which measures future equity volatility using options of the S&P 500 Index, surpassed levels last seen during the 2008 global financial crisis. Investors grew more risk averse, focusing on higher quality names and safe-haven assets. Central banks worldwide intervened to provide fiscal and monetary stimulus. The Fed responded with a historic $2 billion in emergency relief and moved interest rates to near zero.
Equities rallied considerably in April 2020 and sustained their gains through the end of the period. Investor confidence rose as countries around the world started to cautiously reopen
PanAgora Market Neutral Fund 3 |
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 8/31/20. 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.
their economies. The Consumer Price Index [CPI], which represents consumption expenditures, increased by 0.59% in July 2020. This was the CPI’s strongest monthly increase since 1991, and signaled signs of a U.S. economic recovery. The S&P 500 Index, a broad measure of stocks, rallied to a record level in the month of August, recouping its losses from earlier in the year. For the 12-month reporting period, the S&P 500 Index posted a return of 21.94%.
For the 12-month reporting period, international developed equity markets posted a more modest increase of 5.96%, as measured by the MSCI World ex-U.S. Index [ND]. Increased fiscal support across Europe helped boost equity performance following pandemic-related sell-offs.
Emerging markets, as measured by the MSCI Emerging Markets Index [ND], advanced 14.49% for the reporting period. Promising economic data from China helped lift emerging-market stocks. China’s GDP [gross domestic product] expanded 3.2% in the second quarter of calendar 2020 from the same period one year ago, which exceeded an anticipated expansion of 2.5%.
Bonds ended 2019 on the decline as investors’ appetite for risk accelerated. In March 2020, the pandemic triggered the fastest onset of a bear market [a decline of 20% or more from a recent high] in history. The resulting flight to safety was a boon for U.S. and non-U.S. government debt. Record-high unemployment, weaker corporate earnings, and a drop in U.S. quarterly GDP contributed to a decline in U.S. Treasury yields and higher bond prices. The Bloomberg Barclays U.S. Treasury Index rose 6.98%, while the FTSE World Government Bond Index ex-U.S. [Hedged] gained a more modest 0.28%, for the 12-month reporting period.
Following historic volatility in the first calendar quarter of 2020, credit spreads narrowed toward the end of the reporting period. Demand persisted for investment-grade credit, pushing the Bloomberg Barclays U.S. Credit Index up 7.26% for the 12-month reporting period. Inflation-linked bonds were supported by improved inflation expectations [following fiscal and monetary stimulus] and a decline in longer-term yields. The Bloomberg Barclays World Government Inflation-Linked Bond Index [Hedged] increased 3.41% for the reporting period.
Commodity prices rallied in the fourth quarter of calendar 2019 to finish the year strong. By the first quarter of calendar 2020, prices
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began to plunge as the pandemic caused disruptions to global demand. The more heavily energy-weighted S&P GSCI posted a loss of 23.81% for the reporting period. The more balanced Bloomberg Commodity Index declined 3.90% for the period. The U.S. dollar weakened against other major currencies in the final months of the period. This helped support commodity prices toward the end of the period.
How did the fund perform? Could you discuss some detractors and contributors to results?
Putnam PanAgora Market Neutral Fund declined 6.12% for the 12-month reporting period. The long-term portfolio was the largest detractor with the majority of losses coming from U.S. small-cap stock positions. Intermediate-term and short-term strategies contributed for the period.
The long-term portfolio was down due to stock selection within U.S. small-cap stocks. The alpha model did not perform well due to poor performance of top-alpha-quintile stocks in the management capabilities [earnings growth and financial strength] and market intelligence [momentum and sentiment] factor groups. During the period, external forces [industry] factors were positive. On a sector basis within U.S. small caps, consumer staples and industrials detracted most. Financials was the top contributing sector, primarily from gains in the banks industry group. The alpha model within the financials sector benefited from the positive performance of the industry-specific model.
While U.S. small caps detracted, U.S. large caps were positive for the reporting period. The alpha model performed very well with strong factor performance coming from all three factor groups: management capabilities, external forces, and market intelligence. Within U.S. large caps, health care was the top sector contrib-utor. The pharmaceutical, biotechnology, and life sciences industry groups within this sector contributed most due to strong performance within the industry-specific model.
International positions slightly detracted for the period. Underperformance came mostly from positions within developed countries in Mideast–Africa and Japan. Within the Mideast–Africa region, Israel was the top country detractor. Europe was a bright spot within the international portfolio. We attribute this to good stock selection in the Netherlands and the United Kingdom, with Europe being the largest international contributor by region.
Our intermediate strategies contributed, with a majority of positive performance coming from U.S. merger arbitrage-related trades within the technology and health-care sectors. Our short-term strategies also contributed due to solid performance of the index reconstitution strategy.
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 horizons. The fund uses a diversified set of strategies that have low correlation to one another. Their combination is expected to result in more stable returns over time than any individual strategy in and of itself.
The majority of the fund’s allocation is within the long-term portfolio, which utilizes fundamentally based signals applied across a broad universe of stocks. We believe this will provide the majority of return over a market cycle. Intermediate- and short-term strategies provide additional alpha based on the number of corporate and market events.
PanAgora Market Neutral Fund 5 |
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 is derived from an underlying security, index, currency, or other area of the capital markets. Derivatives employed by the fund’s managers generally serve one purpose: to take long or short 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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Your fund’s performance
This section shows your fund’s performance, price, and distribution information for the periods ended August 31, 2020, the end of its most recent fiscal year. In accordance with regulatory requirements for mutual funds, we also include performance information as of the most recent calendar quarter-end and expense information taken from the fund’s current prospectus. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance information does not reflect any deduction for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. For the most recent month-end performance, please visit the Individual Investors section at putnam.com or call Putnam at 1-800-225-1581. Class R, R6, and Y shares are not available to all investors. See the Terms and definitions section in this report for definitions of the share classes offered by your fund.
Fund performance Total return for periods ended 8/31/20 | |||
Life of fund | Annual average | 1 year | |
Class A (9/21/17) | |||
Before sales charge | –18.70% | –6.79% | –6.12% |
After sales charge | –23.37 | –8.64 | –11.52 |
Class B (9/21/17) | |||
Before CDSC | –20.50 | –7.49 | –6.80 |
After CDSC | –22.89 | –8.44 | –11.46 |
Class C (9/21/17) | |||
Before CDSC | –20.50 | –7.49 | –6.80 |
After CDSC | –20.50 | –7.49 | –7.73 |
Class R (9/21/17) | |||
Net asset value | –19.30 | –7.02 | –6.38 |
Class R6 (9/21/17) | |||
Net asset value | –18.10 | –6.55 | –5.86 |
Class Y (9/21/17) | |||
Net asset value | –18.10 | –6.55 | –5.86 |
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.
PanAgora Market Neutral Fund 7 |
Comparative index returns For periods ended 8/31/20 | |||
Life of fund | Annual average | 1 year | |
ICE BofA U.S. | |||
Treasury Bill Index | 5.29% | 1.77% | 1.35% |
Lipper Alternative | |||
Equity Market | |||
Neutral Funds | –8.34 | –3.74 | –6.75 |
category average* |
Index and Lipper results should be compared with fund performance before sales charge, before CDSC, or at net asset value.
* Over the 1-year and life-of-fund periods ended 8/31/20, there were 63 and 60 funds, respectively, in this Lipper category.
Past performance does not indicate future results. At the end of the same time period, a $10,000 investment in the fund’s class B shares would have been valued at $7,950 ($7,711 after contingent deferred sales charge). A $10,000 investment in the fund’s class C shares would be valued at $7,950, and no contingent deferred sales charge would apply. A $10,000 investment in the fund’s class R, R6, and Y shares would have been valued at $8,070, $8,190, and $8,190, respectively.
Fund price and distribution information For the 12-month period ended 8/31/20 | |||||||
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 |
8/31/20 | 8.13 | 8.63 | 7.95 | 7.95 | 8.07 | 8.19 | 8.19 |
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.
8 PanAgora Market Neutral Fund |
Fund performance as of most recent calendar quarter Total return for periods ended 9/30/20 | |||||
Life of fund | Annual average | 3 years | Annual average | 1 year | |
Class A (9/21/17) | |||||
Before sales charge | –17.60% | –6.20% | –17.19% | –6.09% | –4.85% |
After sales charge | –22.34 | –8.01 | –21.95 | –7.93 | –10.32 |
Class B (9/21/17) | |||||
Before CDSC | –19.50 | –6.92 | –19.10 | –6.82 | –5.63 |
After CDSC | –21.92 | –7.85 | –21.52 | –7.76 | –10.35 |
Class C (9/21/17) | |||||
Before CDSC | –19.50 | –6.92 | –19.10 | –6.82 | –5.63 |
After CDSC | –19.50 | –6.92 | –19.10 | –6.82 | –6.57 |
Class R (9/21/17) | |||||
Net asset value | –18.20 | –6.42 | –17.79 | –6.32 | –5.10 |
Class R6 (9/21/17) | |||||
Net asset value | –17.00 | –5.97 | –16.58 | –5.86 | –4.60 |
Class Y (9/21/17) | |||||
Net asset value | –17.00 | –5.97 | –16.58 | –5.86 | –4.60 |
See the discussion following the fund performance table on page 7 for information about the calculation of fund performance.
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.
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 8/31/20 ‡ | 1.80% | 2.55% | 2.55% | 2.05% | 1.56% | 1.55% |
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.
‡ Expense ratios for each class are for the fund’s most recent fiscal half year. As a result of this, ratios may differ from expense ratios based on one-year data in the financial highlights.
PanAgora Market Neutral Fund 9 |
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 3/1/20 to 8/31/20. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Class A | Class B | Class C | Class R | Class R6 | Class Y | |
Expenses paid per $1,000 *† | $9.03 | $12.76 | $12.76 | $10.27 | $7.83 | $7.78 |
Ending value (after expenses) | $995.10 | $990.00 | $990.00 | $992.60 | $996.40 | $996.40 |
* 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 8/31/20. 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.
Estimate the expenses you paid
To estimate the ongoing expenses you paid for the six months ended 8/31/20, use the following calculation method. To find the value of your investment on 3/1/20, call Putnam at 1-800-225-1581.
Compare expenses using the SEC’s method
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the following table shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total costs) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Class A | Class B | Class C | Class R | Class R6 | Class Y | |
Expenses paid per $1,000 *† | $9.12 | $12.90 | $12.90 | $10.38 | $7.91 | $7.86 |
Ending value (after expenses) | $1,016.09 | $1,012.32 | $1,012.32 | $1,014.83 | $1,017.29 | $1,017.34 |
* 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 8/31/20. 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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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.
PanAgora Market Neutral Fund 11 |
Terms and definitions
Important terms
Total return shows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.
Before sales charge, or net asset value, is the price, or value, of one share of a mutual fund, without a sales charge. Before-sales-charge figures fluctuate with market conditions, and are calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class.
After sales charge is the price of a mutual fund share plus the maximum sales charge levied at the time of purchase. After-sales-charge performance figures shown here assume the 5.75% maximum sales charge for class A shares.
Contingent deferred sales charge (CDSC) is generally a charge applied at the time of the redemption of class B or C shares and assumes redemption at the end of the period. Your fund’s class B CDSC declines over time from a 5% maximum during the first year to 1% during the sixth year. After the sixth year, the CDSC no longer applies. The CDSC for class C shares is 1% for one year after purchase.
Share classes
Class A shares are generally subject to an initial sales charge and no CDSC (except on certain redemptions of shares bought without an initial sales charge).
Class B shares are closed to new investments and are only available by exchange from another Putnam fund or through dividend and/ or capital gains reinvestment. They are not subject to an initial sales charge and may be subject to a CDSC.
Class C shares are not subject to an initial sales charge and are subject to a CDSC only if the shares are redeemed during the first year.
Class R shares are not subject to an initial sales charge or CDSC and are only available to employer-sponsored retirement plans.
Class R6 shares are not subject to an initial sales charge or CDSC and carry no 12b-1 fee. They are generally only available to employer-sponsored retirement plans, corporate and institutional clients, and clients in other approved programs.
Class Y shares are not subject to an initial sales charge or CDSC and carry no 12b-1 fee. They are generally only available to corporate and institutional clients and clients in other approved programs.
Comparative indexes
Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.
Bloomberg Barclays U.S. Credit Index is an unmanaged index of U.S. dollar-denominated, investment-grade, fixed-rate, taxable corporate and government-related bonds.
Bloomberg Barclays U.S. Treasury Index is 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 Index (Hedged) is an unmanaged index that tracks the performance of government inflation-protected securities.
Bloomberg Commodity Index is a broadly diversified index that measures the prices of commodities.
CBOE (Chicago Board Options Exchange) Volatility Index is a measure of market expectations of near-term volatility conveyed by S&P 500 stock index option prices.
FTSE World Government Bond Index (WGBI) ex-U.S. (Hedged) is an unmanaged index that represents the world bond market, excluding the United States.
12 PanAgora Market Neutral Fund |
ICE BofA (Intercontinental Exchange Bank of America) U.S. Treasury Bill Index is an unmanaged index that tracks the performance of U.S. dollar-denominated U.S. Treasury bills publicly issued in the U.S. domestic market. Qualifying securities must have a remaining term of at least one month to final maturity and a minimum amount outstanding of $1 billion.
MSCI Emerging Markets Index (ND) is a free float-adjusted market capitalization index that is designed to measure equity market performance in 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 World ex-U.S. Index [ND] is an unmanaged index of equity securities from developed countries, excluding the United States. Calculated with net dividends (ND), this total return index reflects the reinvestment of dividends after the deduction of withholding taxes, using a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties.
S&P 500 Index is an unmanaged index of common stock performance.
S&P GSCI is 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.
Lipper, a Refinitiv company, is a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund’s category assignment at its discretion. Lipper category averages reflect performance trends for funds within a category.
Other information for shareholders
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, 2020, are available in the Individual Investors section of putnam.com and on the Securities and Exchange Commission (SEC) website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.
Fund portfolio holdings
The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT within 60 days of the end of such fiscal quarter. Shareholders may obtain
PanAgora Market Neutral Fund 13 |
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 August 31, 2020, Putnam employees had approximately $505,000,000 and the Trustees had approximately $78,000,000 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.
Liquidity risk management program
Putnam, as the administrator of the fund’s liquidity risk management program (appointed by the Board of Trustees), presented the first annual report on the program to the Trustees in April 2020. The report covered the structure of the program, including the program documents and related policies and procedures adopted to comply with Rule 22e-4 under the Investment Company Act of 1940, and reviewed the operation of the program from December 2018 through March 2020. The report included a description of the annual liquidity assessment of the fund that Putnam performed in November 2019. The report noted that there were no material compliance exceptions identified under Rule 22e-4 during the period. The report included a review of the governance of the program and the methodology for classification of the fund’s investments. The report also included a discussion of liquidity monitoring during the period, including during the market liquidity challenges caused by the COVID-19 pandemic, and the impact those challenges had on the liquidity of the fund’s investments. Putnam concluded that the program has been operating effectively and adequately to ensure compliance with Rule 22e-4.
Important notice regarding Putnam’s privacy policy
In order to conduct business with our shareholders, we must obtain certain personal information such as account holders’ names, addresses, Social Security numbers, and dates of birth. Using this information, we are able to maintain accurate records of accounts and transactions.
It is our policy to protect the confidentiality of our shareholder information, whether or not a shareholder currently owns shares of our funds. In particular, it is our policy not to sell information about you or your accounts to outside marketing firms. We have safeguards in place designed to prevent unauthorized access to our computer systems and procedures to protect personal information from unauthorized use.
Under certain circumstances, we must share account information with outside vendors who provide services to us, such as mailings and proxy solicitations. In these cases, the service providers enter into confidentiality agreements with us, and we provide only the information necessary to process transactions and perform other services related to your account. Finally, it is our policy to share account information with your financial representative, if you’ve listed one on your Putnam account.
14 PanAgora Market Neutral Fund |
Trustee approval of management contract
General conclusions
The Board of Trustees of The Putnam Funds oversees the management of each fund and, as required by law, determines annually whether to approve the continuance of your fund’s management contract with Putnam Investment Management, LLC (“Putnam Management”) and the sub-advisory contract with respect to your fund between Putnam Management and its affiliate, PanAgora Asset Management, Inc. (“PanAgora”). The Board, with the assistance of its Contract Committee, requests and evaluates all information it deems reasonably necessary under the circumstances in connection with its annual contract review. The Contract Committee consists solely of Trustees who are not “interested persons” (as this term is defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) of The Putnam Funds (“Independent Trustees”).
At the outset of the review process, members of the Board’s independent staff and independent legal counsel considered any possible changes to the annual contract review materials furnished to the Contract Committee during the course of the previous year’s review and, as applicable, identified those changes to Putnam Management. Following these discussions and in consultation with the Contract Committee, the Independent Trustees’ independent legal counsel requested that Putnam Management and its affiliates, including PanAgora, furnish specified information, together with any additional information that Putnam Management and PanAgora considered relevant, to the Contract Committee. Over the course of several months ending in June 2020, the Contract Committee met on a number of occasions with representatives of Putnam Management, and separately in executive session, to consider the information that Putnam Management and PanAgora provided. Throughout this process, the Contract Committee was assisted by the members of the Board’s independent staff and by independent legal counsel for The Putnam Funds and the Independent Trustees.
In May 2020, the Contract Committee met in executive session to discuss and consider its recommendations with respect to the continuance of the contracts. At the Trustees’ June 2020 meeting, the Contract Committee met in executive session with the other Independent
Trustees to review a summary of the key financial, performance and other data that the Contract Committee considered in the course of its review. The Contract Committee then presented its written report, which summarized the key factors that the Committee had considered and set forth its recommendations. The Contract Committee recommended, and the Independent Trustees approved, the continuance of your fund’s management contract (as well as the management and sub-advisory contracts of its wholly-owned subsidiary) and sub-advisory contract with respect to your fund between Putnam Management and PanAgora, effective July 1, 2020.
The Independent Trustees’ approval was based on the following conclusions:
• That the fee schedule in effect for your fund represented reasonable compensation in light of the nature and quality of the services being provided to the fund, the fees paid by competitive funds, the costs incurred by Putnam Management and PanAgora in providing services to the fund, and the application of certain reductions and waivers noted below; and
• That the fee schedule in effect for your fund represented an appropriate sharing between fund shareholders and Putnam Management and PanAgora of such economies of scale as may exist in the management of the fund at current asset levels.
These conclusions were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations and how the Trustees considered these factors are described below, although individual Trustees may have evaluated the information presented differently, giving different weights to various factors.
Management fee schedules and total expenses
The Trustees reviewed the management fee schedules in effect for all Putnam funds, including fee levels and breakpoints. The Trustees also reviewed the total expenses of each Putnam fund, recognizing that in most cases management fees represented the major, but not the sole, determinant of total costs to fund shareholders. (Two funds have implemented so-called “all-in”
PanAgora Market Neutral Fund 15 |
management fees covering substantially all routine fund operating costs.) In reviewing fees and expenses, the Trustees generally focus their attention on material changes in circumstances — for example, changes in assets under management, changes in a fund’s investment strategy, changes in Putnam Management’s operating costs or profitability, or changes in competitive practices in the mutual fund industry — that suggest that consideration of fee changes might be warranted. The Trustees concluded that the circumstances did not indicate that changes to the management fee schedule for your fund would be appropriate at this time.
Under its management contract, your fund has the benefit of breakpoints in its management fee schedule that provide shareholders with economies of scale in the form of reduced fee levels as assets under management of all open-end funds sponsored by Putnam Management for which PanAgora acts as sub-adviser increase. The Trustees concluded that the fee schedule in effect for your fund represented an appropriate sharing of economies of scale between fund shareholders, Putnam Management and PanAgora.
As in the past, the Trustees also focused on the competitiveness of each fund’s total expense ratio. In order to support the effort to have fund expenses meet competitive standards, the Trustees and Putnam Management and the funds’ investor servicing agent, Putnam Investor Services, Inc. (“PSERV”), have implemented expense limitations that were in effect during your fund’s fiscal year ending in 2019. These expense limitations were: (i) a contractual expense limitation applicable to specified open-end funds, including your fund, of 25 basis points on investor servicing fees and expenses and (ii) a contractual expense limitation applicable to specified open-end funds, including your fund, of 20 basis points on so-called “other expenses” (i.e., all expenses exclusive of management fees, distribution fees, investor servicing fees, investment-related expenses, interest, taxes, brokerage commissions, acquired fund fees and expenses and extraordinary expenses). These expense limitations attempt to maintain competitive expense levels for the funds. Most funds had sufficiently low expenses that these expense limitations were not operative during their fiscal years ending in 2019. However, in the case of your fund, the second expense limitation applied during its fiscal year ending in 2019. Putnam Management and PSERV have agreed to maintain these expense limitations until at least December 30, 2021. The support of Putnam Management and PSERV for these expense limitation arrangements was an important factor in the Trustees’ decision to approve the continuance of your fund’s management and sub-advisory contracts.
The Trustees reviewed comparative fee and expense information for a custom group of competitive funds selected by Broadridge Financial Solutions, Inc. (“Broadridge”). This comparative information included your fund’s percentile ranking for effective management fees and total expenses (excluding any applicable 12b-1 fees), which provides a general indication of your fund’s relative standing. In the custom peer group, your fund ranked in the fourth quintile in effective management fees (determined for your fund and the other funds in the custom peer group based on fund asset size and the applicable contractual management fee schedule) and in the fourth quintile in total expenses (excluding any applicable 12b-1 fees) as of December 31, 2019. The first quintile represents the least expensive funds and the fifth quintile the most expensive funds. The fee and expense data reported by Broadridge as of December 31, 2019 reflected the most recent fiscal year-end data available in Broadridge’s database at that time.
In connection with their review of fund management fees and total expenses, the Trustees also reviewed the costs of the services provided and the profits realized by Putnam Management and its affiliates, including PanAgora, from their contractual relationships with the funds. This information included trends in revenues, expenses and profitability of Putnam Management and its affiliates relating to the investment management, investor servicing and distribution services provided to the funds. In this regard, the Trustees also reviewed an analysis of the revenues, expenses and profitability of Putnam Management and its affiliates, allocated on a fund-by-fund basis, with respect to the funds’ management, distribution, and investor servicing contracts. For each fund, the analysis presented information about revenues, expenses and profitability for each of the agreements separately and for the agreements taken together on a combined basis. The Trustees also reviewed the costs incurred by PanAgora in providing its services under the sub-advisory contract and the resulting profitability to it in respect of your fund. The
16 PanAgora Market Neutral Fund |
Trustees concluded that, at current asset levels, the fee schedules in place represented reasonable compensation for the services being provided and represented an appropriate sharing between fund shareholders, Putnam Management and PanAgora of such economies of scale as may exist in the management of the fund at that time.
The information examined by the Trustees in connection with their annual contract review for the Putnam funds included information regarding services provided and fees charged by Putnam Management and its affiliates (including PanAgora) to other clients, including defined benefit pension and profit-sharing plans, sub-advised mutual funds, private funds sponsored by affiliates of Putnam Management, and model-only separately managed accounts. This information included, in cases where a product’s investment strategy corresponds with a fund’s strategy, comparisons of those fees with fees charged to the Putnam funds, as well as an assessment of the differences in the services provided to these clients as compared to the services provided to the Putnam funds. The Trustees observed that the differences in fee rates between these clients and the Putnam funds are by no means uniform when examined by individual asset sectors, suggesting that differences in the pricing of investment management services to these types of clients may reflect, among other things, historical competitive forces operating in separate marketplaces. The Trustees considered the fact that in many cases fee rates across different asset classes are higher on average for mutual funds than for other clients, and the Trustees also considered differences between the services that Putnam Management and PanAgora provide to the Putnam funds and those that they provide to their other clients. The Trustees did not rely on these comparisons to any significant extent in concluding that the management fees paid by your fund are reasonable.
Investment performance
The quality of the investment process provided by Putnam Management and PanAgora, and the quality of services provided by Putnam Management and PanAgora with respect to your fund, represented major factors in the Trustees’ evaluation of the quality of services provided by Putnam Management under your fund’s management contract and by PanAgora under your fund’s sub-advisory contract. The Trustees were assisted in their review of Putnam Management’s and PanAgora’s investment processes and performance by the work of the investment oversight committees of the Trustees and the full Board of Trustees, which meet on a regular basis with individual portfolio managers and with senior management of Putnam Management’s Investment Division throughout the year. The Trustees also met with senior personnel of PanAgora during the year. The Trustees concluded that Putnam Management and PanAgora generally provide a high-quality investment process — based on the experience and skills of the individuals assigned to the management of fund portfolios, the resources made available to them, and in general Putnam Management’s and PanAgora’s ability to attract and retain high-quality personnel — but also recognized that this does not guarantee favorable investment results for every fund in every time period. With respect to its review of your fund’s investment performance, the Contract Committee, along with other members of the Board, discussed with representatives of Putnam Management your fund’s investment performance and outlook.
The Trustees considered that, in the aggregate, 2019 was a strong year of performance for The Putnam Funds, with the Putnam funds, on an asset-weighted basis, ranking in the top quartile of their Lipper Inc. (“Lipper”) peers for the year ended December 31, 2019. For those funds that are evaluated based on their total returns versus selected investment benchmarks, the Trustees observed that the funds, on an asset-weighted-basis, delivered a gross return that was 2.3% ahead of their benchmarks in 2019. In addition to the performance of the individual Putnam funds, the Trustees considered, as they had in prior years, the performance of The Putnam Fund complex versus competitor fund complexes. In this regard, the Trustees observed that The Putnam Funds’ relative performance, as reported in the Barron’s/Lipper Fund Families survey, was exceptionally strong over both the short and long term, with The Putnam Funds ranking as the 8th best performing mutual fund complex out of 55 complexes for the one-year period ended December 31, 2019 and the 8th best performing mutual fund complex out of 45 complexes for the ten-year period, with 2019 marking the third consecutive year that The Putnam Funds have ranked in the top ten fund complexes for the ten-year period. The Trustees also noted that The Putnam Funds ranked 26th out of 52 complexes for the five-year period ended December 31, 2019.
PanAgora Market Neutral Fund 17 |
In addition to the Barron’s/Lipper Fund Families Survey, the Trustees also considered the funds’ ratings assigned by Morningstar Inc., noting that 22 of the funds were four- or five-star rated at the end of 2019 and that this included five funds that had achieved a five-star rating. They also noted, however, the disappointing investment performance of some funds for periods ended December 31, 2019 and considered information provided by Putnam Management regarding the factors contributing to the underperformance and actions being taken to improve the performance of these particular funds. The Trustees indicated their intention to continue to monitor closely the performance of those funds, including the effectiveness of any efforts Putnam Management has undertaken to address underperformance and whether additional actions to address areas of underperformance are warranted.
For purposes of the Trustees’ evaluation of the Putnam funds’ investment performance, the Trustees generally focus on a competitive industry ranking of each fund’s total net return over a one-year, three-year and five-year period. For a number of Putnam funds with relatively unique investment mandates for which Putnam Management informed the Trustees that meaningful competitive performance rankings are not considered to be available, the Trustees evaluated performance based on their total gross and net returns and comparisons of those returns with the returns of selected investment benchmarks. In the case of your fund, the Trustees considered information about your fund’s total return and its performance relative to its benchmark over the one-year and since-inception periods ended December 31, 2019. Your fund’s class A shares’ return, net of fees and expenses, was negative and trailed the return of its benchmark over the one-year and since-inception periods ended December 31, 2019. (When considering performance information, shareholders should be mindful that past performance is not a guarantee of future results.)
The Trustees expressed concern about your fund’s underperformance relative to its benchmark over the one-year and since-inception periods ended December 31, 2019 and considered the circumstances that may have contributed to this disappointing performance. The Trustees noted Putnam Management’s observation that the fund’s diversified, quantitative strategy, which is based on the view that companies with strong fundamentals will outperform over time, performed less favorably in the recent later stage market, in which strong returns were concentrated in fewer securities and driven to a lesser extent by a company’s fundamentals. The Trustees considered that Putnam Management remained confident in the fund’s portfolio managers. The Trustees also noted that the fund was launched in September 2017, that its performance track record was somewhat limited, and that the portfolio managers sought to deliver strong performance over a full economic cycle. The Trustees considered Putnam Management’s continued efforts to support fund performance through initiatives including structuring compensation for portfolio managers and research analysts to enhance accountability for fund performance, emphasizing accountability in the portfolio management process, and affirming its commitment to a fundamental-driven approach to investing. The Trustees noted further that Putnam Management had made selective hires and internal promotions in 2019 to strengthen its investment team. The Trustees will continue to closely monitor your fund and its investment performance.
As a general matter, the Trustees believe that cooperative efforts between the Trustees and Putnam Management represent the most effective way to address investment performance concerns that may arise from time to time. The Trustees noted that investors in the Putnam funds have, in effect, placed their trust in the Putnam organization, under the oversight of the funds’ Trustees, to make appropriate decisions regarding the management of the funds. Based on Putnam Management’s willingness to take appropriate measures to address fund performance issues and Putnam Management’s responsiveness to Trustee concerns about investment performance, the Trustees concluded that it continued to be advisable to seek change within Putnam Management to address performance shortcomings. In the Trustees’ view, the alternative of engaging a new investment adviser for an underperforming fund, with all the attendant risks and disruptions, would not likely provide any greater assurance of improved investment performance.
Brokerage and soft-dollar allocations; investor servicing
The Trustees considered various potential benefits that Putnam Management and PanAgora may receive in connection with the services they provide under the management and sub-advisory contracts with your fund. These include benefits
18 PanAgora Market Neutral Fund |
related to brokerage allocation and the use of soft dollars, whereby a portion of the commissions paid by a fund for brokerage may be used to acquire research services that are expected to be useful to PanAgora in managing the assets of the fund and of other clients. Subject to policies established by the Trustees, soft dollars generated by these means are used predominantly to acquire brokerage and research services (including third-party research and market data) that enhance PanAgora’s investment capabilities and supplement PanAgora’s internal research efforts. The Trustees noted that, in 2019, they had approved the elimination of a fund expense recapture program, whereby a portion of available soft dollars were used to pay fund expenses, and that the amount of commissions allocated to that program were instead used to increase, by a corresponding amount, the budget allocated for execution services. The Trustees indicated their continued intent to monitor regulatory and industry developments in this area with the assistance of their Brokerage Committee. In addition, with the assistance of their Brokerage Committee, the Trustees indicated their continued intent to monitor the allocation of the Putnam funds’ brokerage in order to ensure that the principle of seeking best price and execution remains paramount in the portfolio trading process.
Putnam Management may also receive benefits from payments that the funds make to Putnam Management’s affiliates for investor or distribution services. In conjunction with the annual review of your fund’s management and sub-advisory contracts, the Trustees reviewed your fund’s investor servicing agreement with PSERV and its distributor’s contracts and distribution plans with Putnam Retail Management Limited Partnership (“PRM”), both of which are affiliates of Putnam Management. The Trustees concluded that the fees payable by the funds to PSERV and PRM, as applicable, for such services are fair and reasonable in relation to the nature and quality of such services, the fees paid by competitive funds, and the costs incurred by PSERV and PRM, as applicable, in providing such services. Furthermore, the Trustees were of the view that the services provided were required for the operation of the funds, and that they were of a quality at least equal to those provided by other providers.
PanAgora Market Neutral Fund 19 |
Audited financial statements
These sections of the report, as well as the accompanying Notes, preceded by the Report of Independent Registered Public Accounting Firm, constitute the fund’s audited financial statements.
The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.
Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)
Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal year.
Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned.
Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.
20 PanAgora Market Neutral Fund |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Putnam Investment Funds and Shareholders of
Putnam PanAgora Market Neutral Fund:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the fund’s portfolio, of Putnam PanAgora Market Neutral Fund (one of the funds constituting Putnam Investment Funds, referred to hereafter as the “Fund”) as of August 31, 2020, the related statement of operations for the year ended August 31, 2020, the statement of changes in net assets for each of the two years in the period ended August 31, 2020, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of August 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended August 31, 2020 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2020 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
October 14, 2020
We have served as the auditor of one or more investment companies in the Putnam Investments family of mutual funds since at least 1957. We have not been able to determine the specific year we began serving as auditor.
PanAgora Market Neutral Fund 21 |
The fund’s portfolio 8/31/20 | ||
UNITS (11.7%)* | Units | Value |
ACE Convergence Acquisition Corp. † | 2,553 | $25,428 |
Ascendant Digital Acquisition Corp. † | 334 | 3,390 |
BowX Acquisition Corp. † | 2,587 | 25,922 |
Capstar Special Purpose Acquisition Corp. † | 2,526 | 25,740 |
CC Neuberger Principal Holdings II † | 2,583 | 26,256 |
CF Finance Acquisition Corp. II † | 2,587 | 25,663 |
Churchill Capital Corp. IV † | 2,569 | 25,536 |
Collective Growth Corp. † | 1 | 10 |
D8 Holdings Corp. (Hong Kong) † | 2,539 | 25,213 |
Deerfield Healthcare Technology Acquisitions Corp. † | 337 | 3,474 |
DFP Healthcare Acquisitions Corp. † | 2 | 22 |
dMY Technology Group, Inc. II † | 2,539 | 25,466 |
Dragoneer Growth Opportunities Corp. † | 332 | 4,004 |
E.Merge Technology Acquisition Corp. † | 2,554 | 25,540 |
East Resources Acquisition Co. † | 2,546 | 25,129 |
Foley Trasimene Acquisition Corp. † | 1 | 11 |
Foley Trasimene Acquisition Corp. II † | 2,582 | 25,872 |
Foley Trasimene Acquisition Corp. Class A † | 2,625 | 26,513 |
Fortress Value Acquisition Corp. II † | 2,566 | 26,045 |
Forum Merger III Corp. † | 2,583 | 25,778 |
FTAC Olympus Acquisition Corp. † | 2,587 | 25,767 |
Fusion Acquisition Corp. † | 2,541 | 25,486 |
GigCapital3, Inc. † | 3 | 31 |
GO Acquisition Corp. † | 2,552 | 25,392 |
Gores Holdings V, Inc. † | 2,564 | 25,896 |
Greencity Acquisition Corp. (China) † | 2,516 | 25,009 |
Holicity, Inc. † | 2,587 | 25,999 |
Horizon Acquisition Corp. † | 2,572 | 25,951 |
HPX Corp. † | 2,555 | 25,422 |
Jaws Acquisition Corp. † | 1 | 11 |
Kensington Capital Acquisition Corp. † | 2,534 | 26,354 |
Kismet Acquisition One Corp. (Russia) † | 2,783 | 27,468 |
Lionheart Acquisition Corp. II † | 2,576 | 25,580 |
Live Oak Acquisition Corp. † | 1 | 10 |
Longview Acquisition Corp. † | 2,611 | 26,397 |
Malacca Straits Acquisition Co., Ltd. (Hong Kong) † | 2,539 | 25,009 |
Mountain Crest Acquisition Corp. † | 3,221 | 33,015 |
NewHold Investment Corp. † | 2,554 | 25,157 |
Northern Genesis Acquisition Corp. † | 2,794 | 27,716 |
Novus Capital Corp. † | 2,639 | 29,029 |
One † | 2,576 | 26,018 |
Property Solutions Acquisition Corp. † | 2,546 | 25,078 |
PTK Acquisition Corp. † | 2,527 | 25,068 |
RedBall Acquisition Corp. † | 2,576 | 26,404 |
Roth CH Acquisition I Co. † | 3 | 30 |
Star Peak Energy Transition Corp. † | 2,582 | 25,717 |
Vistas Media Acquisition Co., Inc. † | 2,554 | 25,489 |
Yucaipa Acquisition Corp. † | 2,587 | 26,127 |
Total units (cost $998,890) | $1,001,642 |
22 PanAgora Market Neutral Fund |
COMMON STOCKS (7.3%)* | Shares | Value |
Capital markets (0.1%) | ||
Morgan Stanley | 219 | $11,445 |
11,445 | ||
Diversified financial services (7.1%) | ||
Alussa Energy Acquisition Corp. Class A (Cayman Islands) † | 856 | 8,432 |
Amplitude Healthcare Acquisition Corp. Class A † | 2,946 | 29,313 |
B. Riley Principal Merger Corp. II Class A † | 2,620 | 26,357 |
Brilliant Acquisition Corp. (China) † | 2,626 | 25,840 |
Brilliant Acquisition Corp. (Rights) (China) † | 2,626 | 486 |
Chardan Healthcare Acquisition 2 Corp. † | 2,652 | 25,990 |
CHP Merger Corp. Class A † | 1,373 | 14,073 |
CIIG Merger Corp. Class A † | 4,528 | 45,869 |
CITIC Capital Acquisition Corp. Class A (China) † | 226 | 2,210 |
Collective Growth Corp. Class A † | 2,802 | 27,600 |
DFP Healthcare Acquisitions Corp. Class A † | 2,864 | 29,127 |
East Stone Acquisition Corp. † | 2,115 | 20,939 |
East Stone Acquisition Corp. (Rights) † | 4,230 | 888 |
FinServ Acquisition Corp. Class A † | 830 | 8,300 |
Galileo Acquisition Corp. † | 888 | 8,765 |
GigCapital3, Inc. † | 3,264 | 32,216 |
Gores Holdings IV, Inc. Class A † | 1,304 | 13,848 |
Hudson Executive Investment Corp. Class A † | 2,554 | 25,080 |
InterPrivate Acquisition Corp. † | 2,918 | 28,859 |
Jaws Acquisition Corp. Class A † | 2,619 | 26,400 |
Juniper Industrial Holdings, Inc. Class A † | 840 | 8,350 |
LGL Systems Acquisition Corp. Class A † | 1,284 | 12,737 |
Lifesci Acquisition Corp. † | 1,433 | 14,402 |
LIV Capital Acquisition Corp. Class A (Mexico) † | 2,822 | 27,797 |
Live Oak Acquisition Corp. Class A † | 3,040 | 29,883 |
Osprey Technology Acquisition Corp. Class A † | 870 | 8,717 |
Pivotal Investment Corp. II Class A † | 2,046 | 20,644 |
Roth CH Acquisition I Co. † | 2,784 | 27,562 |
SCVX Corp. Class A † | 1,059 | 10,474 |
Software Acquisition Group, Inc. Class A † | 432 | 4,307 |
South Mountain Merger Corp. Class A † | 428 | 4,331 |
Tuscan Holdings Corp. II † | 440 | 4,387 |
Union Acquisition Corp. II † | 3,543 | 35,040 |
Yunhong International (Rights) (China) † | 904 | 172 |
609,395 | ||
Software (0.1%) | ||
Tenable Holdings, Inc. † | 86 | 3,237 |
3,237 | ||
Total common stocks (cost $593,289) | $624,077 |
Expiration | Strike | |||
WARRANTS (0.6%)* † | date | price | Warrants | Value |
Acamar Partners Acquisition Corp. Class A | 2/26/26 | $11.50 | 556 | $523 |
Alussa Energy Acquisition Corp. Class A | ||||
(Cayman Islands) | 10/31/26 | 11.50 | 428 | 260 |
Amplitude Healthcare Acquisition Corp. Class A | 12/1/26 | 11.50 | 1,473 | 1,414 |
B. Riley Principal Merger Corp. II Class A | 5/6/26 | 11.50 | 1,310 | 1,572 |
PanAgora Market Neutral Fund 23 |
Expiration | Strike | |||
WARRANTS (0.6%)* † cont. | date | price | Warrants | Value |
Brilliant Acquisition Corp. (China) | 12/31/25 | $11.50 | 2,626 | $446 |
CC Neuberger Principal Holdings I Class A | 12/31/25 | 11.50 | 3,536 | 4,597 |
Chardan Healthcare Acquisition 2 Corp. | 3/5/25 | 11.50 | 2,652 | 1,591 |
CHP Merger Corp. Class A | 11/22/24 | 11.50 | 2,746 | 2,499 |
CIIG Merger Corp. Class A | 12/31/26 | 11.50 | 2,264 | 1,856 |
CITIC Capital Acquisition Corp. Class A (China) | 1/17/27 | 11.50 | 113 | 90 |
Collective Growth Corp. Class A | 12/31/24 | 11.50 | 1,401 | 995 |
DFP Healthcare Acquisitions Corp. Class A | 4/1/25 | 11.50 | 716 | 916 |
East Stone Acquisition Corp. | 12/31/26 | 11.50 | 6,345 | 1,079 |
FinServ Acquisition Corp. Class A | 12/31/26 | 11.50 | 415 | 337 |
Foley Trasimene Acquisition Corp. Class A | 7/17/25 | 11.50 | 875 | 1,356 |
Galileo Acquisition Corp. | 10/31/26 | 11.50 | 888 | 382 |
GigCapital3, Inc. | 7/2/25 | 11.50 | 2,448 | 1,346 |
Gores Holdings IV, Inc. Class A | 1/24/25 | 11.50 | 326 | 678 |
Greenrose Acquisition Corp. | 5/11/24 | 11.50 | 7,240 | 1,448 |
GX Acquisition Corp. Class A | 5/24/26 | 11.50 | 624 | 1,061 |
Hudson Executive Investment Corp. Class A | 6/21/25 | 11.50 | 1,277 | 1,022 |
InterPrivate Acquisition Corp. | 10/29/24 | 11.50 | 1,459 | 730 |
Jaws Acquisition Corp. Class A | 7/6/25 | 11.50 | 873 | 1,440 |
Juniper Industrial Holdings, Inc. Class A | 11/13/26 | 11.50 | 420 | 399 |
LGL Systems Acquisition Corp. Class A | 11/12/26 | 11.50 | 2,568 | 2,532 |
Lifesci Acquisition Corp. | 2/14/25 | 11.50 | 4,299 | 3,138 |
LIV Capital Acquisition Corp. Class A (Mexico) | 1/10/25 | 11.50 | 2,822 | 1,411 |
Live Oak Acquisition Corp. Class A | 5/8/27 | 11.50 | 1,520 | 1,307 |
Osprey Technology Acquisition Corp. Class A | 10/30/24 | 11.50 | 435 | 479 |
Pivotal Investment Corp. II Class A | 6/1/25 | 11.50 | 682 | 647 |
Replay Acquisition Corp. | 4/8/24 | 11.50 | 1,263 | 1,200 |
RMG Acquisition Corp. Class A | 2/21/26 | 11.50 | 1,144 | 1,464 |
Roth CH Acquisition I Co. | 1/28/25 | 11.50 | 2,088 | 1,775 |
SCVX Corp. Class A | 1/24/25 | 11.50 | 5,298 | 6,834 |
Software Acquisition Group, Inc. Class A | 10/1/26 | 11.50 | 216 | 177 |
South Mountain Merger Corp. Class A | 6/20/24 | 11.50 | 214 | 278 |
Tuscan Holdings Corp. II | 7/16/25 | 11.50 | 220 | 106 |
Union Acquisition Corp. II | 4/1/25 | 11.50 | 3,543 | 1,063 |
Yunhong International Class A (China) | 1/31/27 | 11.50 | 1,356 | 210 |
Total warrants (cost $50,871) | $50,658 |
INVESTMENT COMPANIES (—%)* | Shares | Value |
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc. | 640 | $3,712 |
Total investment companies (cost $4,494) | $3,712 | |
SHORT-TERM INVESTMENTS (38.2%) | Shares | Value |
State Street Institutional U.S. Government Money Market Fund, | ||
Investor Class zero % | 3,278,554 | $3,278,554 |
Total Short-term investments (cost $3,278,554) | $3,278,554 | |
TOTAL INVESTMENTS | ||
Total investments (cost $4,926,098) | $4,958,643 |
24 PanAgora Market Neutral Fund |
Key to holding’s abbreviations | |
CVR | Contingent Value Rights |
ETF | Exchange Traded Fund |
OTC | Over-the-counter |
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 August 31, 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 820 Fair Value Measurements and Disclosures.
* Percentages indicated are based on net assets of $8,588,464.
† This security is non-income-producing.
At the close of the reporting period, the fund maintained liquid assets totaling $41,066 to cover certain derivative contracts.
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 | ||||||
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 | ||||||
$77,171 | $74,556 | $— | 1/28/25 | (Federal Funds | 1–800-Flowers.com | $(2,636) |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
22,111 | 22,111 | — | 1/28/25 | (Federal Funds | 1Life Healthcare | (7) |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
8,905 | 8,864 | — | 1/28/25 | (Federal Funds | A O Smith Corp — | (2) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
6,277 | 6,178 | — | 1/28/25 | (Federal Funds | Aberdeen Income | 47 |
Effective Rate US | Credit Strategies | |||||
plus 0.25%) — | Fund — Monthly | |||||
Monthly | ||||||
11,140 | 10,893 | — | 1/28/25 | (Federal Funds | Abivax SA — Monthly | (251) |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
41,758 | 41,703 | — | 1/28/25 | (Federal Funds | Acacia | (69) |
Effective Rate US | Communications | |||||
plus 0.25%) — | Inc — Monthly | |||||
Monthly | ||||||
2,905 | — | — | 1/28/25 | (Federal Funds | Achillion | (2,905) |
Effective Rate US | Pharmaceutical — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
42,784 | 45,727 | — | 1/28/25 | (Federal Funds | Adaptimmune | 2,929 |
Effective Rate US | Therapeutics PLC — | |||||
plus 0.25%) — | Monthly | |||||
Monthly |
PanAgora Market Neutral Fund 25 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$40,130 | $40,103 | $— | 1/28/25 | (Federal Funds | Advanced Disposal | $(39) |
Effective Rate US | Services Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
6,404 | 6,461 | — | 1/28/25 | (Federal Funds | Advent Convertible | 160 |
Effective Rate US | and Income Fund — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
31,923 | 32,392 | — | 1/28/25 | (Federal Funds | Affimed NV — | 460 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
33,966 | 33,451 | — | 1/28/25 | (Federal Funds | Aflac Inc — Monthly | (520) |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
34,924 | 37,740 | — | 1/28/25 | (Federal Funds | Agenus Inc — | 2,809 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
21,245 | 21,215 | — | 1/28/25 | (Federal Funds | Agility Public | 115 |
Effective Rate US | Warehousing Co | |||||
plus 1.20%) — | KSC — Monthly | |||||
Monthly | ||||||
15,647 | 15,653 | — | 1/28/25 | (Federal Funds | Agilysys Inc — | 3 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
14,521 | 13,845 | — | 1/28/25 | (Federal Funds | Airtac International | (682) |
Effective Rate US | Group — Monthly | |||||
plus 0.35%) — | ||||||
Monthly | ||||||
12,009 | 11,976 | — | 1/28/25 | (Federal Funds | Akzo Nobel NV — | (37) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
46,063 | 44,625 | — | 1/28/25 | (Federal Funds | Alexander & Baldwin | (1,448) |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
6,797 | 6,632 | — | 1/28/25 | (Federal Funds | Alexander’s Inc — | (51) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
26,712 | 26,981 | — | 1/28/25 | (Federal Funds | Alibaba Group | 262 |
Effective Rate US | Holding Ltd — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
6,100 | 6,190 | — | 1/28/25 | (Federal Funds | Alliance Global | 90 |
Effective Rate US | Group Inc — | |||||
plus 0.75%) — | Monthly | |||||
Monthly |
26 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$9,229 | $9,267 | $— | 1/28/25 | (Federal Funds | AllianzGI | $196 |
Effective Rate US | Convertible & | |||||
plus 0.25%) — | Income Fund — | |||||
Monthly | Monthly | |||||
4,767 | 4,800 | — | 1/28/25 | (Federal Funds | AllianzGI | 115 |
Effective Rate US | Convertible & | |||||
plus 0.25%) — | Income Fund II — | |||||
Monthly | Monthly | |||||
3,778 | 3,792 | — | 1/28/25 | (Federal Funds | AllianzGI Diversified | 59 |
Effective Rate US | Income & | |||||
plus 0.25%) — | Convertible Fund — | |||||
Monthly | Monthly | |||||
18,350 | 18,365 | — | 1/28/25 | (Federal Funds | Allison Transmission | 96 |
Effective Rate US | Holdings Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
14,778 | 14,601 | — | 1/28/25 | (Federal Funds | Allstate Corp/The — | (96) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
21,171 | 21,184 | — | 1/28/25 | (Federal Funds | Alphabet Inc — | 7 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
35,415 | 35,763 | — | 1/28/25 | (Federal Funds | Altium Ltd — | 339 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
9,231 | 9,229 | — | 1/28/25 | (Federal Funds | Altria Group Inc — | (5) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
13,829 | 14,260 | — | 1/28/25 | (Federal Funds | Amada Co Ltd — | 429 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
23,800 | 24,157 | — | 1/28/25 | (Federal Funds | Amazon.com Inc — | 351 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
15,751 | 15,523 | — | 1/28/25 | (Federal Funds | Ameriprise Financial | (130) |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
43,940 | 42,731 | — | 1/28/25 | (Federal Funds | Amkor Technology | (1,224) |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
PanAgora Market Neutral Fund 27 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$35,464 | $35,584 | $— | 1/28/25 | (Federal Funds | Andersons Inc/ | $120 |
Effective Rate US | The — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
14,267 | 14,413 | — | 1/28/25 | (Federal Funds | AngioDynamics | 142 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
25,621 | 27,570 | — | 1/28/25 | (Federal Funds | Antares Pharma | 1,941 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
19,664 | 19,636 | — | 1/28/25 | (Federal Funds | AO World PLC — | (28) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
3,068 | 3,061 | — | 1/28/25 | (Federal Funds | Apollo Senior | 24 |
Effective Rate US | Floating Rate Fund | |||||
plus 0.25%) — | Inc — Monthly | |||||
Monthly | ||||||
18,001 | 18,582 | — | 1/28/25 | (Federal Funds | Apple Inc — Monthly | 606 |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
8,192 | 8,233 | — | 1/28/25 | (Federal Funds | Arata Corp — | 39 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
74,528 | 72,409 | — | 1/28/25 | (Federal Funds | ArcBest Corp — | (1,969) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
15,993 | 15,612 | — | 1/28/25 | (Federal Funds | Arch Capital Group | (386) |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
27,574 | 29,012 | — | 1/28/25 | (Federal Funds | Arcus Biosciences | 1,431 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
39,128 | 39,518 | — | 1/28/25 | (Federal Funds | Arena | 381 |
Effective Rate US | Pharmaceuticals | |||||
plus 0.25%) — | Inc — Monthly | |||||
Monthly | ||||||
9,921 | 9,928 | — | 1/28/25 | (Federal Funds | Argo Graphics Inc — | 4 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
28 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$67,491 | $67,859 | $— | 1/28/25 | (Federal Funds | Artisan Partners | $1,524 |
Effective Rate US | Asset Management | |||||
plus 0.25%) — | Inc — Monthly | |||||
Monthly | ||||||
29,615 | 29,007 | — | 1/28/25 | (Federal Funds | Ashtead Group | (243) |
Effective Rate US | PLC — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
44,513 | 44,543 | — | 1/28/25 | (Federal Funds | ASM International | 16 |
Effective Rate US | NV — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
32,030 | 32,980 | — | 1/28/25 | (Federal Funds | Assembly | 942 |
Effective Rate US | Biosciences Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
34,217 | 34,295 | — | 1/28/25 | (Federal Funds | Asta Funding Inc — | 69 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
6,375 | 6,286 | — | 1/28/25 | (Federal Funds | Astellas Pharma | (91) |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
11,299 | 11,506 | — | 1/28/25 | (Federal Funds | Atlassian Corp | 204 |
Effective Rate US | PLC — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
13,866 | 14,075 | — | 1/28/25 | (Federal Funds | Aurizon Holdings | 636 |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
7,694 | 7,810 | — | 1/28/25 | (Federal Funds | Australian | 115 |
Effective Rate US | Pharmaceutical | |||||
plus 0.25%) — | Industries Ltd — | |||||
Monthly | Monthly | |||||
48,305 | 49,648 | — | 1/28/25 | (Federal Funds | Avaya Holdings | 1,336 |
Effective Rate US | Corp — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
3,925 | 3,934 | — | 1/28/25 | (Federal Funds | Avnet Inc — Monthly | 8 |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
8,027 | 8,054 | — | 1/28/25 | (Federal Funds | Axon Enterprise | 25 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
PanAgora Market Neutral Fund 29 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$9,704 | $9,574 | $— | 1/28/25 | (Federal Funds | BAIC Motor Corp | $347 |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
16,724 | 16,503 | — | 1/28/25 | (Federal Funds | Balfour Beatty | (222) |
Effective Rate US | PLC — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
6,252 | 6,346 | — | 1/28/25 | (Federal Funds | Bancorp Inc/The — | 94 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
20,475 | 20,232 | — | 1/28/25 | (Federal Funds | Bank of America | (250) |
Effective Rate US | Corp — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
8,305 | 8,085 | — | 1/28/25 | (Federal Funds | Bank of Commerce | (223) |
Effective Rate US | Holdings — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
34,099 | 33,676 | — | 1/28/25 | (Federal Funds | Bank of Marin | (190) |
Effective Rate US | Bancorp — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
9,050 | 8,912 | — | 1/28/25 | (Federal Funds | Bank of New York | (65) |
Effective Rate US | Mellon Corp/The — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
44,304 | 43,344 | — | 1/28/25 | (Federal Funds | Banner Corp — | (481) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
44,048 | 44,732 | — | 1/28/25 | (Federal Funds | Barrett Business | 905 |
Effective Rate US | Services Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
17,330 | 18,459 | — | 1/28/25 | (Federal Funds | Bavarian Nordic | 1,124 |
Effective Rate US | A/S — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
46,336 | 50,358 | — | 1/28/25 | (Federal Funds | BBX Capital Corp — | 4,007 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
7,809 | 7,836 | — | 1/28/25 | (Federal Funds | Beauty Garage Inc — | 51 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
30 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$14,849 | $14,942 | $— | 1/28/25 | (Federal Funds | Bechtle AG — | $91 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
17,608 | 17,393 | — | 1/28/25 | (Federal Funds | BeiGene Ltd — | (220) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
12,193 | 12,727 | — | 1/28/25 | (Federal Funds | Beijing Capital | 919 |
Effective Rate US | International | |||||
plus 0.25%) — | Airport Co Ltd — | |||||
Monthly | Monthly | |||||
10,411 | 10,640 | — | 1/28/25 | (Federal Funds | Bergenbio ASA — | 225 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
18,654 | 18,770 | — | 1/28/25 | (Federal Funds | Berkeley Group | 549 |
Effective Rate US | Holdings PLC — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
12,956 | 13,011 | — | 1/28/25 | (Federal Funds | Bilia AB — Monthly | 52 |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
12,091 | 11,284 | — | 1/28/25 | (Federal Funds | Bill.com Holdings | (810) |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
31,313 | 32,582 | — | 1/28/25 | (Federal Funds | Biohaven | 1,260 |
Effective Rate US | Pharmaceutical | |||||
plus 0.25%) — | Holding Co Ltd — | |||||
Monthly | Monthly | |||||
28,769 | 32,087 | — | 1/28/25 | (Federal Funds | BJ’s Restaurants | 3,472 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
6,512 | 6,513 | — | 1/28/25 | (Federal Funds | Blackbaud Inc — | 1 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
41,397 | 42,637 | — | 1/28/25 | (Federal Funds | Blackline Inc — | 1,227 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
4,128 | 4,119 | — | 1/28/25 | (Federal Funds | BlackRock | 13 |
Effective Rate US | California Municipal | |||||
plus 0.25%) — | Income Trust — | |||||
Monthly | Monthly |
PanAgora Market Neutral Fund 31 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$25,384 | $25,475 | $— | 1/28/25 | (Federal Funds | BlackRock | $442 |
Effective Rate US | Corporate High | |||||
plus 0.25%) — | Yield Fund Inc — | |||||
Monthly | Monthly | |||||
5,753 | 5,770 | — | 1/28/25 | (Federal Funds | BlackRock Debt | 97 |
Effective Rate US | Strategies Fund | |||||
plus 0.25%) — | Inc — Monthly | |||||
Monthly | ||||||
12,221 | 12,201 | — | 1/28/25 | (Federal Funds | BlackRock Floating | 139 |
Effective Rate US | Rate Income | |||||
plus 0.25%) — | Strategies Fund | |||||
Monthly | Inc — Monthly | |||||
3,546 | 3,543 | — | 1/28/25 | (Federal Funds | BlackRock Floating | 43 |
Effective Rate US | Rate Income Trust — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
2,015 | 2,043 | — | 1/28/25 | (Federal Funds | BlackRock | 42 |
Effective Rate US | Municipal Income | |||||
plus 0.25%) — | Quality Trust — | |||||
Monthly | Monthly | |||||
3,759 | 3,803 | — | 1/28/25 | (Federal Funds | BlackRock | 74 |
Effective Rate US | Municipal Income | |||||
plus 0.25%) — | Trust — Monthly | |||||
Monthly | ||||||
2,611 | 2,672 | — | 1/28/25 | (Federal Funds | BlackRock | 80 |
Effective Rate US | MuniEnhanced | |||||
plus 0.25%) — | Fund Inc — Monthly | |||||
Monthly | ||||||
6,211 | 6,281 | — | 1/28/25 | (Federal Funds | BlackRock | 111 |
Effective Rate US | MuniHoldings | |||||
plus 0.25%) — | Investment Quality | |||||
Monthly | Fund — Monthly | |||||
2,714 | 2,734 | — | 1/28/25 | (Federal Funds | BlackRock | 42 |
Effective Rate US | MuniHoldings New | |||||
plus 0.25%) — | Jersey Quality Fund | |||||
Monthly | Inc — Monthly | |||||
2,523 | 2,565 | — | 1/28/25 | (Federal Funds | BlackRock | 61 |
Effective Rate US | MuniHoldings | |||||
plus 0.25%) — | Quality Fund II Inc — | |||||
Monthly | Monthly | |||||
1,913 | 1,932 | — | 1/28/25 | (Federal Funds | BlackRock | 33 |
Effective Rate US | MuniHoldings | |||||
plus 0.25%) — | Quality Fund Inc — | |||||
Monthly | Monthly | |||||
2,040 | 2,048 | — | 1/28/25 | (Federal Funds | BlackRock MuniVest | 24 |
Effective Rate US | Fund II Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly |
32 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$4,443 | $4,525 | $— | 1/28/25 | (Federal Funds | BlackRock MuniVest | $117 |
Effective Rate US | Fund Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
3,666 | 3,719 | — | 1/28/25 | (Federal Funds | BlackRock | 79 |
Effective Rate US | MuniYield California | |||||
plus 0.25%) — | Quality Fund Inc — | |||||
Monthly | Monthly | |||||
4,113 | 4,149 | — | 1/28/25 | (Federal Funds | BlackRock | 69 |
Effective Rate US | MuniYield Fund | |||||
plus 0.25%) — | Inc — Monthly | |||||
Monthly | ||||||
1,894 | 1,907 | — | 1/28/25 | (Federal Funds | BlackRock | 25 |
Effective Rate US | MuniYield Michigan | |||||
plus 0.25%) — | Quality Fund Inc — | |||||
Monthly | Monthly | |||||
2,135 | 2,147 | — | 1/28/25 | (Federal Funds | BlackRock | 29 |
Effective Rate US | MuniYield New | |||||
plus 0.25%) — | Jersey Fund Inc — | |||||
Monthly | Monthly | |||||
5,041 | 5,094 | — | 1/28/25 | (Federal Funds | BlackRock | 85 |
Effective Rate US | MuniYield Quality | |||||
plus 0.25%) — | Fund III Inc — | |||||
Monthly | Monthly | |||||
2,765 | 2,786 | — | 1/28/25 | (Federal Funds | BlackRock | 41 |
Effective Rate US | MuniYield Quality | |||||
plus 0.25%) — | Fund Inc — Monthly | |||||
Monthly | ||||||
16,052 | 16,236 | — | 1/28/25 | (Federal Funds | BlackRock Taxable | 318 |
Effective Rate US | Municipal Bond | |||||
plus 0.25%) — | Trust — Monthly | |||||
Monthly | ||||||
9,257 | 9,265 | — | 1/28/25 | (Federal Funds | Blackstone / GSO | 151 |
Effective Rate US | Strategic Credit | |||||
plus 0.25%) — | Fund — Monthly | |||||
Monthly | ||||||
9,333 | 10,310 | — | 1/28/25 | (Federal Funds | Bloomin’ Brands | 976 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
3,663 | 3,722 | — | 1/28/25 | (Federal Funds | BNY Mellon | 88 |
Effective Rate US | Strategic Municipal | |||||
plus 0.25%) — | Bond Fund Inc — | |||||
Monthly | Monthly | |||||
3,304 | 3,407 | — | 1/28/25 | (Federal Funds | BNY Mellon | 131 |
Effective Rate US | Strategic Municipals | |||||
plus 0.25%) — | Inc — Monthly | |||||
Monthly |
PanAgora Market Neutral Fund 33 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$8,979 | $8,866 | $— | 1/28/25 | (Federal Funds | Bogota Financial | $(116) |
Effective Rate US | Corp — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
10,421 | 10,357 | — | 1/28/25 | (Federal Funds | Bollore SA — | (67) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
19,487 | 18,107 | — | 1/28/25 | (Federal Funds | boohoo Group | (1,379) |
Effective Rate US | PLC — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
21,165 | 21,539 | — | 1/28/25 | (Federal Funds | Boubyan Bank | 351 |
Effective Rate US | KSCP — Monthly | |||||
plus 1.20%) — | ||||||
Monthly | ||||||
13,422 | 13,249 | — | 1/28/25 | (Federal Funds | Boubyan | 673 |
Effective Rate US | Petrochemicals Co | |||||
plus 1.20%) — | KSCP — Monthly | |||||
Monthly | ||||||
64,262 | 62,325 | — | 1/28/25 | (Federal Funds | Box Inc — Monthly | (1,954) |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
23,547 | 23,459 | — | 1/28/25 | (Federal Funds | Boyd Gaming | (94) |
Effective Rate US | Corp — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
16,124 | 16,080 | — | 1/28/25 | (Federal Funds | bpost SA — Monthly | (46) |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
2,688 | 2,721 | — | 1/28/25 | (Federal Funds | BrandywineGLOBAL | 63 |
Effective Rate US | Global Income | |||||
plus 0.25%) — | Opportunities Fund | |||||
Monthly | Inc — Monthly | |||||
9,419 | 9,520 | — | 1/28/25 | (Federal Funds | Bridgestone Corp — | 223 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
11,687 | 13,062 | — | 1/28/25 | (Federal Funds | Brinker | 1,373 |
Effective Rate US | International Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
18,065 | 17,976 | — | 1/28/25 | (Federal Funds | Bristol-Myers | 35 |
Effective Rate US | Squibb Co — | |||||
plus 0.25%) — | Monthly | |||||
Monthly |
34 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$1,199 | $1,203 | $— | 1/28/25 | (Federal Funds | Bristol-Myers | $4 |
Effective Rate US | Squibb Co CVR — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
17,675 | 17,675 | — | 1/28/25 | (Federal Funds | Brookfield Real | 203 |
Effective Rate US | Assets Income Fund | |||||
plus 0.25%) — | Inc — Monthly | |||||
Monthly | ||||||
6,460 | 6,628 | — | 1/28/25 | (Federal Funds | Brother Industries | 168 |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
14,731 | 14,665 | — | 1/28/25 | (Federal Funds | Bruker Corp — | (57) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
18,203 | 18,381 | — | 1/28/25 | (Federal Funds | Brunswick Corp/ | 243 |
Effective Rate US | DE — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
80,650 | 81,664 | — | 1/28/25 | (Federal Funds | Builders FirstSource | 992 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
12,395 | 12,294 | — | 1/28/25 | (Federal Funds | Burgan Bank SAK — | (114) |
Effective Rate US | Monthly | |||||
plus 1.20%) — | ||||||
Monthly | ||||||
5,102 | 5,232 | — | 1/28/25 | (Federal Funds | C&C Group PLC — | 130 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
19,685 | 19,964 | — | 1/28/25 | (Federal Funds | Cadence Design | 273 |
Effective Rate US | Systems Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
4,669 | 4,703 | — | 1/28/25 | (Federal Funds | Calamos Dynamic | 66 |
Effective Rate US | Convertible & | |||||
plus 0.25%) — | Income Fund — | |||||
Monthly | Monthly | |||||
19,877 | 19,624 | — | 1/28/25 | (Federal Funds | Campbell Soup | (129) |
Effective Rate US | Co — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
16,515 | 15,547 | — | 1/28/25 | (Federal Funds | Camping World | (969) |
Effective Rate US | Holdings Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly |
PanAgora Market Neutral Fund 35 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$6,905 | $6,919 | $— | 1/28/25 | (Federal Funds | Canon Inc — | $112 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
39,001 | 38,432 | — | 1/28/25 | (Federal Funds | Capital City Bank | (580) |
Effective Rate US | Group Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
23,528 | 23,332 | — | 1/28/25 | (Federal Funds | Capital One | (169) |
Effective Rate US | Financial Corp — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
9,178 | 9,297 | — | 1/28/25 | (Federal Funds | Carlisle Cos Inc — | 154 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
14,210 | 14,194 | — | 1/28/25 | (Federal Funds | Carlsberg AS — | (20) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
19,107 | 18,835 | — | 1/28/25 | (Federal Funds | Carrier Global | (276) |
Effective Rate US | Corp — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
13,901 | 13,667 | — | 1/28/25 | (Federal Funds | Catcher Technology | (241) |
Effective Rate US | Co Ltd — Monthly | |||||
plus 0.35%) — | ||||||
Monthly | ||||||
11,518 | 11,386 | — | 1/28/25 | (Federal Funds | Cawachi Ltd — | (135) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
25,731 | 24,884 | — | 1/28/25 | (Federal Funds | CD Projekt SA — | (862) |
Effective Rate US | Monthly | |||||
plus 0.70%) — | ||||||
Monthly | ||||||
23,427 | 23,185 | — | 1/28/25 | (Federal Funds | CDW Corp/DE — | (172) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
12,334 | 12,001 | — | 1/28/25 | (Federal Funds | Celltrion Inc — | (338) |
Effective Rate US | Monthly | |||||
plus 0.35%) — | ||||||
Monthly | ||||||
30,393 | 29,702 | — | 1/28/25 | (Federal Funds | Central Valley | (430) |
Effective Rate US | Community | |||||
plus 0.25%) — | Bancorp — Monthly | |||||
Monthly |
36 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$38,032 | $38,043 | $— | 1/28/25 | (Federal Funds | Century Bancorp | $75 |
Effective Rate US | Inc/MA — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
33,396 | 31,648 | — | 1/28/25 | (Federal Funds | Century | (1,757) |
Effective Rate US | Communities Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
13,110 | 13,133 | — | 1/28/25 | (Federal Funds | Cerner Corp — | 22 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
9,160 | 9,432 | — | 1/28/25 | (Federal Funds | Charm Care Corp | 324 |
Effective Rate US | KK — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
24,532 | 23,522 | — | 1/28/25 | (Federal Funds | Charoen Pokphand | (737) |
Effective Rate US | Foods PCL — | |||||
plus 0.75%) — | Monthly | |||||
Monthly | ||||||
9,550 | 9,365 | — | 1/28/25 | (Federal Funds | Chegg Inc — | (188) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
8,683 | 8,791 | — | 1/28/25 | (Federal Funds | Chemed Corp — | 112 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
13,670 | 14,211 | — | 1/28/25 | (Federal Funds | Chemometec A/S — | 537 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
12,797 | 12,967 | — | 1/28/25 | (Federal Funds | China Energy | 745 |
Effective Rate US | Engineering Corp | |||||
plus 0.25%) — | Ltd — Monthly | |||||
Monthly | ||||||
11,117 | 10,947 | — | 1/28/25 | (Federal Funds | China Grand | (173) |
Effective Rate US | Pharmaceutical and | |||||
plus 0.25%) — | Healthcare Holdings | |||||
Monthly | Ltd — Monthly | |||||
18,297 | 18,658 | — | 1/28/25 | (Federal Funds | China Lesso Group | 355 |
Effective Rate US | Holdings Ltd — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
16,324 | 17,311 | — | 1/28/25 | (Federal Funds | Chong Kun Dang | 982 |
Effective Rate US | Pharmaceutical | |||||
plus 0.35%) — | Corp — Monthly | |||||
Monthly |
PanAgora Market Neutral Fund 37 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$8,736 | $8,862 | $— | 1/28/25 | (Federal Funds | Chongkundang | $122 |
Effective Rate US | Holdings Corp — | |||||
plus 0.35%) — | Monthly | |||||
Monthly | ||||||
7,481 | 7,510 | — | 1/28/25 | (Federal Funds | CIE Automotive | 27 |
Effective Rate US | SA — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
12,206 | 12,376 | — | 1/28/25 | (Federal Funds | Ciena Corp — | 166 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
18,850 | 18,825 | — | 1/28/25 | (Federal Funds | Cincinnati Bell Inc — | (31) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
61,608 | 61,802 | — | 1/28/25 | (Federal Funds | Cirrus Logic Inc — | 174 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
18,491 | 18,876 | — | 1/28/25 | (Federal Funds | Citrix Systems Inc — | 380 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
35,119 | 34,884 | — | 1/28/25 | (Federal Funds | Civista Bancshares | 41 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
5,400 | 5,432 | — | 1/28/25 | (Federal Funds | CK Asset Holdings | 30 |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
6,535 | 6,548 | — | 1/28/25 | (Federal Funds | CK Hutchison | 11 |
Effective Rate US | Holdings Ltd — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
10,115 | 10,204 | — | 1/28/25 | (Federal Funds | Clean Harbors Inc — | 89 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
56,900 | 55,176 | — | 1/28/25 | (Federal Funds | Clearfield Inc — | (1,741) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
32,392 | 33,026 | — | 1/28/25 | (Federal Funds | Clovis Oncology | 629 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
38 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$4,908 | $4,947 | $— | 1/28/25 | (Federal Funds | CMIC Holdings Co | $39 |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
44,859 | 44,548 | — | 1/28/25 | (Federal Funds | Coca-Cola | (281) |
Effective Rate US | Consolidated Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
6,439 | 6,477 | — | 1/28/25 | (Federal Funds | Coca-Cola HBC | 38 |
Effective Rate US | AG — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
19,268 | 19,103 | — | 1/28/25 | (Federal Funds | Comfort Systems | (130) |
Effective Rate US | USA Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
11,850 | 11,748 | — | 1/28/25 | (Federal Funds | ComfortDelGro | (108) |
Effective Rate US | Corp Ltd — Monthly | |||||
plus 0.55%) — | ||||||
Monthly | ||||||
37,206 | 35,425 | — | 1/28/25 | (Federal Funds | Community Health | (1,786) |
Effective Rate US | Systems Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
6,704 | 6,657 | — | 1/28/25 | (Federal Funds | CommVault | (46) |
Effective Rate US | Systems Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
29,730 | 30,216 | — | 1/28/25 | (Federal Funds | Computacenter | 485 |
Effective Rate US | PLC — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
48,349 | 48,208 | — | 1/28/25 | (Federal Funds | Computer Programs | 22 |
Effective Rate US | and Systems Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
15,748 | 16,463 | — | 1/28/25 | (Federal Funds | Condor Hospitality | 712 |
Effective Rate US | Trust Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
33,215 | 32,970 | — | 1/28/25 | (Federal Funds | CONMED Corp — | (252) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
35,561 | 36,187 | — | 1/28/25 | (Federal Funds | Cornerstone | 615 |
Effective Rate US | OnDemand Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly |
PanAgora Market Neutral Fund 39 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$19,510 | $19,583 | $— | 1/28/25 | (Federal Funds | Corp Industrial | $480 |
Effective Rate US | Carabobo SACA — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
54,718 | 54,876 | — | 1/28/25 | (Federal Funds | CorVel Corp — | 143 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
27,927 | 28,004 | — | 1/28/25 | (Federal Funds | CoStar Group Inc — | 69 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
18,372 | 17,600 | — | 1/28/25 | (Federal Funds | Coway Co Ltd — | (779) |
Effective Rate US | Monthly | |||||
plus 0.35%) — | ||||||
Monthly | ||||||
38,009 | 37,363 | — | 1/28/25 | (Federal Funds | Craft Brew Alliance | (657) |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
16,727 | 16,340 | — | 1/28/25 | (Federal Funds | Crane Co — Monthly | (268) |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
36,488 | 37,305 | — | 1/28/25 | (Federal Funds | Cross Country | 805 |
Effective Rate US | Healthcare Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
25,959 | 25,906 | — | 1/28/25 | (Federal Funds | Cummins Inc — | 104 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
8,310 | 8,008 | — | 1/28/25 | (Federal Funds | Curo Group | (247) |
Effective Rate US | Holdings Corp — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
31,774 | 32,901 | — | 1/28/25 | (Federal Funds | CytomX | 1,119 |
Effective Rate US | Therapeutics Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
18,704 | 20,630 | — | 1/28/25 | (Federal Funds | Daelim Industrial Co | 1,917 |
Effective Rate US | Ltd — Monthly | |||||
plus 0.35%) — | ||||||
Monthly | ||||||
7,470 | 7,311 | — | 1/28/25 | (Federal Funds | Daifuku Co Ltd — | (161) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
40 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$7,771 | $7,991 | $— | 1/28/25 | (Federal Funds | Daiwa Securities | $218 |
Effective Rate US | Living Investments | |||||
plus 0.25%) — | Corp — Monthly | |||||
Monthly | ||||||
20,354 | 20,225 | — | 1/28/25 | (Federal Funds | Dali Foods Group Co | (135) |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
19,738 | 19,695 | — | 1/28/25 | (Federal Funds | DaVita Inc — | (49) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
14,091 | 14,232 | — | 1/28/25 | (Federal Funds | De’ Longhi SpA — | 140 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
13,219 | 13,234 | — | 1/28/25 | (Federal Funds | Deere & Co — | 13 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
69,364 | 69,324 | — | 1/28/25 | (Federal Funds | Delphi Technologies | (60) |
Effective Rate US | PLC — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
14,798 | 14,466 | — | 1/28/25 | (Federal Funds | Deutsche Post AG — | 99 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
14,464 | 14,650 | — | 1/28/25 | (Federal Funds | Deutsche Wohnen | 185 |
Effective Rate US | SE — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
9,535 | 10,017 | — | 1/28/25 | (Federal Funds | Dexerials Corp — | 479 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
12,995 | 12,732 | — | 1/28/25 | (Federal Funds | Dialog | (264) |
Effective Rate US | Semiconductor | |||||
plus 0.25%) — | PLC — Monthly | |||||
Monthly | ||||||
5,876 | 6,099 | — | 1/28/25 | (Federal Funds | Digital Holdings | 221 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
11,146 | 11,877 | — | 1/28/25 | (Federal Funds | Digital Turbine Inc — | 730 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
PanAgora Market Neutral Fund 41 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$6,496 | $6,651 | $— | 1/28/25 | (Federal Funds | Dip Corp — Monthly | $203 |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
6,857 | 6,771 | — | 1/28/25 | (Federal Funds | Disco Corp — | (88) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
19,997 | 20,078 | — | 1/28/25 | (Federal Funds | Dixons Carphone | 81 |
Effective Rate US | PLC — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
20,821 | 21,301 | — | 1/28/25 | (Federal Funds | Domino’s Pizza | 827 |
Effective Rate US | Group PLC — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
66,743 | 71,016 | — | 1/28/25 | (Federal Funds | Domo Inc — Monthly | 4,257 |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
5,600 | 5,505 | — | 1/28/25 | (Federal Funds | Donnelley Financial | (96) |
Effective Rate US | Solutions Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
12,118 | 12,066 | — | 1/28/25 | (Federal Funds | Doosan Bobcat | (57) |
Effective Rate US | Inc — Monthly | |||||
plus 0.35%) — | ||||||
Monthly | ||||||
20,520 | 20,211 | — | 1/28/25 | (Federal Funds | Dover Corp — | (224) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
7,555 | 7,875 | — | 1/28/25 | (Federal Funds | Dropbox Inc — | 318 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
3,560 | 3,614 | — | 1/28/25 | (Federal Funds | DWS Municipal | 80 |
Effective Rate US | Income Trust — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
38,455 | 39,851 | — | 1/28/25 | (Federal Funds | Dynatrace Inc — | 1,393 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
9,740 | 9,452 | — | 1/28/25 | (Federal Funds | East West Bancorp | (220) |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
42 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$19,402 | $20,348 | $— | 1/28/25 | (Federal Funds | easyJet PLC — | $946 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
2,700 | 2,710 | — | 1/28/25 | (Federal Funds | Eaton Vance | 28 |
Effective Rate US | California Municipal | |||||
plus 0.25%) — | Bond Fund — | |||||
Monthly | Monthly | |||||
20,403 | 20,018 | — | 1/28/25 | (Federal Funds | Eaton Vance Corp — | (208) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
9,182 | 9,174 | — | 1/28/25 | (Federal Funds | Eaton Vance | 79 |
Effective Rate US | Floating-Rate | |||||
plus 0.25%) — | Income Trust — | |||||
Monthly | Monthly | |||||
14,895 | 14,933 | — | 1/28/25 | (Federal Funds | Eaton Vance Ltd | 161 |
Effective Rate US | Duration Income | |||||
plus 0.25%) — | Fund — Monthly | |||||
Monthly | ||||||
4,455 | 4,513 | — | 1/28/25 | (Federal Funds | Eaton Vance | 73 |
Effective Rate US | Municipal Income | |||||
plus 0.25%) — | Trust — Monthly | |||||
Monthly | ||||||
10,705 | 10,787 | — | 1/28/25 | (Federal Funds | Eaton Vance Senior | 197 |
Effective Rate US | Floating-Rate | |||||
plus 0.25%) — | Trust — Monthly | |||||
Monthly | ||||||
1,827 | 1,834 | — | 1/28/25 | (Federal Funds | Eaton Vance Short | 29 |
Effective Rate US | Duration Diversified | |||||
plus 0.25%) — | Income Fund — | |||||
Monthly | Monthly | |||||
21,961 | 21,364 | — | 1/28/25 | (Federal Funds | eBay Inc — Monthly | (541) |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
14,395 | 14,099 | — | 1/28/25 | (Federal Funds | Eiffage SA — | (297) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | �� | |||||
13,718 | 13,778 | — | 1/28/25 | (Federal Funds | Emaar | 45 |
Effective Rate US | Development — | |||||
plus 1.20%) — | Monthly | |||||
Monthly | ||||||
12,039 | 12,018 | — | 1/28/25 | (Federal Funds | Emerson Electric | 63 |
Effective Rate US | Co — Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
PanAgora Market Neutral Fund 43 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$13,582 | $13,379 | $— | 1/28/25 | (Federal Funds | Empire Co Ltd — | $(159) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
17,085 | 16,992 | — | 1/28/25 | (Federal Funds | Ennis Inc — Monthly | (96) |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
40,957 | 40,719 | — | 1/28/25 | (Federal Funds | Enova International | (249) |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
32,607 | 34,290 | — | 1/28/25 | (Federal Funds | Enphase Energy | 1,675 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
56,318 | 56,784 | — | 1/28/25 | (Federal Funds | Ensign Group Inc/ | 507 |
Effective Rate US | The — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
7,396 | 7,475 | — | 1/28/25 | (Federal Funds | Enterprise Bancorp | 100 |
Effective Rate US | Inc/MA — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
6,155 | 6,141 | — | 1/28/25 | (Federal Funds | Envestnet Inc — | (16) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
22,460 | 24,011 | — | 1/28/25 | (Federal Funds | Epizyme Inc — | 1,544 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
44,298 | 43,742 | — | 1/28/25 | (Federal Funds | Esquire Financial | (570) |
Effective Rate US | Holdings Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
25,848 | 25,740 | — | 1/28/25 | (Federal Funds | Essent Group Ltd — | (1) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
22,076 | 21,744 | — | 1/28/25 | (Federal Funds | Essity AB — Monthly | (338) |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
7,813 | 7,703 | — | 1/28/25 | (Federal Funds | Eureka Homestead | (112) |
Effective Rate US | Bancorp Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly |
44 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$9,154 | $9,097 | $— | 1/28/25 | (Federal Funds | Euronet Worldwide | $(56) |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
8,267 | 8,471 | — | 1/28/25 | (Federal Funds | Everbridge Inc — | 204 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
4,011 | 4,028 | — | 1/28/25 | (Federal Funds | Exedy Corp — | 16 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
7,358 | 7,510 | — | 1/28/25 | (Federal Funds | Exelixis Inc — | 150 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
59,192 | 58,964 | — | 1/28/25 | (Federal Funds | Fabrinet — Monthly | (246) |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
14,661 | 14,660 | — | 1/28/25 | (Federal Funds | Facebook Inc — | (5) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
6,426 | 6,543 | — | 1/28/25 | (Federal Funds | Fancl Corp — | 115 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
10,329 | 10,239 | — | 1/28/25 | (Federal Funds | Fastighets AB | (93) |
Effective Rate US | Balder — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
45,991 | 45,707 | — | 1/28/25 | (Federal Funds | Federal Signal | (184) |
Effective Rate US | Corp — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
9,485 | 9,134 | — | 1/28/25 | (Federal Funds | Federated Hermes | (328) |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
14,055 | 14,111 | — | 1/28/25 | (Federal Funds | Fielmann AG — | 54 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
8,381 | 8,359 | — | 1/28/25 | (Federal Funds | First American | (25) |
Effective Rate US | Financial Corp — | |||||
plus 0.25%) — | Monthly | |||||
Monthly |
PanAgora Market Neutral Fund 45 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$29,674 | $28,814 | $— | 1/28/25 | (Federal Funds | First Bancorp/ | $(868) |
Effective Rate US | Southern Pines | |||||
plus 0.25%) — | NC — Monthly | |||||
Monthly | ||||||
17,852 | 17,702 | — | 1/28/25 | (Federal Funds | First Choice | 157 |
Effective Rate US | Bancorp — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
1,501 | 1,505 | — | 1/28/25 | (Federal Funds | First Eagle Senior | 25 |
Effective Rate US | Loan Fund — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
43,864 | 42,536 | — | 1/28/25 | (Federal Funds | First Financial | (1,341) |
Effective Rate US | Bankshares Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
7,403 | 7,434 | — | 1/28/25 | (Federal Funds | First Trust High | 30 |
Effective Rate US | Income Long/Short | |||||
plus 0.25%) — | Fund — Monthly | |||||
Monthly | ||||||
3,988 | 4,002 | — | 1/28/25 | (Federal Funds | First Trust Senior | 50 |
Effective Rate US | Floating Rate | |||||
plus 0.25%) — | Income Fund II — | |||||
Monthly | Monthly | |||||
6,621 | 6,463 | — | 1/28/25 | (Federal Funds | First Western | (158) |
Effective Rate US | Financial Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
16,615 | 16,383 | — | 1/28/25 | (Federal Funds | Fitbit Inc — Monthly | (237) |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
27,828 | 28,225 | — | 1/28/25 | (Federal Funds | Five Prime | 389 |
Effective Rate US | Therapeutics Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
72,662 | 73,405 | — | 1/28/25 | (Federal Funds | Five9 Inc — Monthly | 718 |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
30,368 | 30,013 | — | 1/28/25 | (Federal Funds | FONAR Corp — | (360) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
10,187 | 10,110 | — | 1/28/25 | (Federal Funds | Formula Systems | (84) |
Effective Rate US | 1985 Ltd — Monthly | |||||
plus 0.70%) — | ||||||
Monthly |
46 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$19,282 | $19,273 | $— | 1/28/25 | (Federal Funds | Fortinet Inc — | $(15) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
33,699 | 40,266 | — | 1/28/25 | (Federal Funds | Fortress Biotech | 6,561 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
32,120 | 32,256 | — | 1/28/25 | (Federal Funds | Franklin Financial | 531 |
Effective Rate US | Services Corp — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
3,415 | 3,361 | — | 1/28/25 | (Federal Funds | Franklin Ltd | 4 |
Effective Rate US | Duration Income | |||||
plus 0.25%) — | Trust — Monthly | |||||
Monthly | ||||||
9,363 | 9,243 | — | 1/28/25 | (Federal Funds | Fresenius Medical | 33 |
Effective Rate US | Care AG & Co | |||||
plus 0.25%) — | KGaA — Monthly | |||||
Monthly | ||||||
9,216 | 9,390 | — | 1/28/25 | (Federal Funds | Fuji Electric Co | 172 |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
7,304 | 7,177 | — | 1/28/25 | (Federal Funds | Fujitsu Ltd — | (128) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
5,032 | 5,176 | — | 1/28/25 | (Federal Funds | Fukui Computer | 143 |
Effective Rate US | Holdings Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
8,117 | 8,005 | — | 1/28/25 | (Federal Funds | Furuno Electric Co | (38) |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
14,554 | 14,646 | — | 1/28/25 | (Federal Funds | Galenica AG — | 92 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
27,507 | 27,120 | — | 1/28/25 | (Federal Funds | GAMCO Investors | (395) |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
17,545 | 17,858 | — | 1/28/25 | (Federal Funds | Generac Holdings | 309 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
PanAgora Market Neutral Fund 47 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$8,288 | $8,109 | $— | 1/28/25 | (Federal Funds | General Electric | $(182) |
Effective Rate US | Co — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
33,905 | 34,359 | — | 1/28/25 | (Federal Funds | Genexine Co Ltd — | 445 |
Effective Rate US | Monthly | |||||
plus 0.35%) — | ||||||
Monthly | ||||||
19,824 | 19,598 | — | 1/28/25 | (Federal Funds | GenMark | (234) |
Effective Rate US | Diagnostics Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
10,432 | 10,493 | — | 1/28/25 | (Federal Funds | Genomma Lab | 52 |
Effective Rate US | Internacional SAB | |||||
plus 0.90%) — | de CV — Monthly | |||||
Monthly | ||||||
24,365 | 23,966 | — | 1/28/25 | (Federal Funds | Gentex Corp — | (406) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
14,325 | 14,669 | — | 1/28/25 | (Federal Funds | Genting Malaysia | 344 |
Effective Rate US | Bhd — Monthly | |||||
plus 0.75%) — | ||||||
Monthly | ||||||
9,076 | 9,055 | — | 1/28/25 | (Federal Funds | Genting Singapore | (27) |
Effective Rate US | Ltd — Monthly | |||||
plus 0.55%) — | ||||||
Monthly | ||||||
13,903 | 13,569 | — | 1/28/25 | (Federal Funds | Getinge AB — | (334) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
7,407 | 7,543 | — | 1/28/25 | (Federal Funds | Gilead Sciences | 134 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
12,929 | 13,185 | — | 1/28/25 | (Federal Funds | GN Store Nord A/S — | 253 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
16,247 | 16,318 | — | 1/28/25 | (Federal Funds | GoDaddy Inc — | 66 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
5,948 | 5,836 | — | 1/28/25 | (Federal Funds | Gray Television | (113) |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
48 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$7,796 | $7,648 | $— | 1/28/25 | (Federal Funds | Gree Inc — Monthly | $— |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
10,505 | 10,834 | — | 1/28/25 | (Federal Funds | Green Cross | 325 |
Effective Rate US | Holdings Corp — | |||||
plus 0.35%) — | Monthly | |||||
Monthly | ||||||
17,404 | 16,736 | — | 1/28/25 | (Federal Funds | Gruma SAB de CV — | (682) |
Effective Rate US | Monthly | |||||
plus 0.90%) — | ||||||
Monthly | ||||||
17,794 | 18,363 | — | 1/28/25 | (Federal Funds | Grupo | 564 |
Effective Rate US | Aeroportuario del | |||||
plus 0.25%) — | Pacifico SAB de | |||||
Monthly | CV — Monthly | |||||
8,256 | 8,283 | — | 1/28/25 | (Federal Funds | Grupo | 24 |
Effective Rate US | Aeroportuario del | |||||
plus 0.25%) — | Sureste SAB de CV — | |||||
Monthly | Monthly | |||||
5,858 | 6,075 | — | 1/28/25 | (Federal Funds | GS Retail Co Ltd — | 214 |
Effective Rate US | Monthly | |||||
plus 0.35%) — | ||||||
Monthly | ||||||
3,126 | 3,140 | — | 1/28/25 | (Federal Funds | Guggenheim Credit | 76 |
Effective Rate US | Allocation Fund — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
17,490 | 17,558 | — | 1/28/25 | (Federal Funds | Guggenheim | 416 |
Effective Rate US | Strategic | |||||
plus 0.25%) — | Opportunities | |||||
Monthly | Fund — Monthly | |||||
4,292 | 4,294 | — | 1/28/25 | (Federal Funds | Guggenheim | 46 |
Effective Rate US | Taxable Municipal | |||||
plus 0.25%) — | Managed Duration | |||||
Monthly | Trust — Monthly | |||||
16,254 | 16,207 | — | 1/28/25 | (Federal Funds | Gulf Bank KSCP — | (64) |
Effective Rate US | Monthly | |||||
plus 1.20%) — | ||||||
Monthly | ||||||
812 | 790 | — | 1/28/25 | (Federal Funds | H&E Equipment | (11) |
Effective Rate US | Services Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
6,426 | 6,231 | — | 1/28/25 | (Federal Funds | Hakuhodo DY | (196) |
Effective Rate US | Holdings Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly |
PanAgora Market Neutral Fund 49 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$19,535 | $19,747 | $— | 1/28/25 | (Federal Funds | Halfords Group | $212 |
Effective Rate US | PLC — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
43,603 | 43,274 | — | 1/28/25 | (Federal Funds | Hanger Inc — | (341) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
8,751 | 8,977 | — | 1/28/25 | (Federal Funds | Hankyu Hanshin | 224 |
Effective Rate US | Holdings Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
26,166 | 26,318 | — | 1/28/25 | (Federal Funds | Hanmi Pharm Co | 143 |
Effective Rate US | Ltd — Monthly | |||||
plus 0.35%) — | ||||||
Monthly | ||||||
20,816 | 20,498 | — | 1/28/25 | (Federal Funds | Hanover Insurance | (324) |
Effective Rate US | Group Inc/The — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
5,837 | 6,056 | — | 1/28/25 | (Federal Funds | Hanwa Co Ltd — | 217 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
11,650 | 12,293 | — | 1/28/25 | (Federal Funds | Hanwha Corp — | 639 |
Effective Rate US | Monthly | |||||
plus 0.35%) — | ||||||
Monthly | ||||||
32,063 | 34,441 | — | 1/28/25 | (Federal Funds | Harpoon | 2,374 |
Effective Rate US | Therapeutics Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
19,957 | 19,456 | — | 1/28/25 | (Federal Funds | Hartford Financial | (350) |
Effective Rate US | Services Group Inc/ | |||||
plus 0.25%) — | The — Monthly | |||||
Monthly | ||||||
14,136 | 14,125 | — | 1/28/25 | (Federal Funds | Hawaiian Holdings | (15) |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
29,352 | 29,602 | — | 1/28/25 | (Federal Funds | HealthStream Inc — | 241 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
10,568 | 10,733 | — | 1/28/25 | (Federal Funds | HeidelbergCement | 162 |
Effective Rate US | AG — Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
50 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$12,668 | $12,533 | $— | 1/28/25 | (Federal Funds | Herbalife Nutrition | $(139) |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
46,806 | 45,825 | — | 1/28/25 | (Federal Funds | Herman Miller Inc — | (995) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
52,860 | 53,496 | — | 1/28/25 | (Federal Funds | Heron Therapeutics | 618 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
7,966 | 7,681 | — | 1/28/25 | (Federal Funds | Hexcel Corp — | (287) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
13,439 | 13,409 | — | 1/28/25 | (Federal Funds | Highland Income | 199 |
Effective Rate US | Fund — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
7,952 | 7,878 | — | 1/28/25 | (Federal Funds | Hill-Rom Holdings | (77) |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
50,455 | 50,676 | — | 1/28/25 | (Federal Funds | Hilltop Holdings | 428 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
18,352 | 18,793 | — | 1/28/25 | (Federal Funds | Hiscox Ltd — | 441 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
47,207 | 45,907 | — | 1/28/25 | (Federal Funds | HMS Holdings | (1,316) |
Effective Rate US | Corp — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
23,878 | 23,171 | — | 1/28/25 | (Federal Funds | Hologic Inc — | (713) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
15,297 | 15,107 | — | 1/28/25 | (Federal Funds | Home Depot Inc/ | (194) |
Effective Rate US | The — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
16,479 | 16,053 | — | 1/28/25 | (Federal Funds | Hotai Motor Co | (96) |
Effective Rate US | Ltd — Monthly | |||||
plus 0.35%) — | ||||||
Monthly |
PanAgora Market Neutral Fund 51 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$9,464 | $9,513 | $— | 1/28/25 | (Federal Funds | Howmet Aerospace | $46 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
10,319 | 10,144 | — | 1/28/25 | (Federal Funds | Hubbell Inc — | (114) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
62,773 | 63,532 | — | 1/28/25 | (Federal Funds | HubSpot Inc — | 751 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
34,518 | 34,563 | — | 1/28/25 | (Federal Funds | Hudson Ltd — | 45 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
10,186 | 10,379 | — | 1/28/25 | (Federal Funds | Humana Inc — | 190 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
18,678 | 19,234 | — | 1/28/25 | (Federal Funds | Hyundai Mobis Co | 549 |
Effective Rate US | Ltd — Monthly | |||||
plus 0.35%) — | ||||||
Monthly | ||||||
6,539 | 6,279 | — | 1/28/25 | (Federal Funds | Ibiden Co Ltd — | (262) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
8,558 | 8,582 | — | 1/28/25 | (Federal Funds | IBJ Inc — Monthly | 22 |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
8,012 | 8,173 | — | 1/28/25 | (Federal Funds | IDOM Inc — Monthly | 231 |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
16,912 | 17,800 | — | 1/28/25 | (Federal Funds | II-VI Inc — Monthly | 883 |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
49,519 | 48,729 | — | 1/28/25 | (Federal Funds | ImmunoGen Inc — | (807) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
7,356 | 7,449 | — | 1/28/25 | (Federal Funds | Inaba Denki Sangyo | 91 |
Effective Rate US | Co Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
52 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$12,779 | $12,873 | $— | 1/28/25 | (Federal Funds | Inchcape PLC — | $94 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
20,935 | 21,390 | — | 1/28/25 | (Federal Funds | Incyte Corp — | 448 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
12,534 | 12,517 | — | 1/28/25 | (Federal Funds | Indah Kiat Pulp & | (25) |
Effective Rate US | Paper Corp Tbk | |||||
plus 0.75%) — | PT — Monthly | |||||
Monthly | ||||||
38,268 | 38,276 | — | 1/28/25 | (Federal Funds | Indofood Sukses | 1,375 |
Effective Rate US | Makmur Tbk PT — | |||||
plus 0.75%) — | Monthly | |||||
Monthly | ||||||
5,439 | 5,344 | — | 1/28/25 | (Federal Funds | Information | (62) |
Effective Rate US | Services | |||||
plus 0.25%) — | International- | |||||
Monthly | Dentsu Ltd — | |||||
Monthly | ||||||
9,828 | 10,196 | — | 1/28/25 | (Federal Funds | Ingenia | 457 |
Effective Rate US | Communities | |||||
plus 0.25%) — | Group — Monthly | |||||
Monthly | ||||||
35,235 | 35,111 | — | 1/28/25 | (Federal Funds | InnerWorkings Inc — | (134) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
27,871 | 26,657 | — | 1/28/25 | (Federal Funds | Innovent Biologics | (1,221) |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
20,884 | 21,314 | — | 1/28/25 | (Federal Funds | Inphi Corp — | 423 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
25,454 | 24,994 | — | 1/28/25 | (Federal Funds | Insperity Inc — | (468) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
73,115 | 72,061 | — | 1/28/25 | (Federal Funds | Installed Building | (1,074) |
Effective Rate US | Products Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
25,563 | 25,207 | — | 1/28/25 | (Federal Funds | Insteel Industries | (361) |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
PanAgora Market Neutral Fund 53 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$44,056 | $42,980 | $— | 1/28/25 | (Federal Funds | International | $(1,088) |
Effective Rate US | Bancshares Corp — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
10,012 | 10,652 | — | 1/28/25 | (Federal Funds | International | 640 |
Effective Rate US | Consolidated | |||||
plus 0.25%) — | Airlines Group SA — | |||||
Monthly | Monthly | |||||
3,491 | 3,578 | — | 1/28/25 | (Federal Funds | Invesco Advantage | 116 |
Effective Rate US | Municipal Income | |||||
plus 0.25%) — | Trust II — Monthly | |||||
Monthly | ||||||
3,955 | 4,037 | — | 1/28/25 | (Federal Funds | Invesco California | 109 |
Effective Rate US | Value Municipal | |||||
plus 0.25%) — | Income Trust — | |||||
Monthly | Monthly | |||||
15,586 | 15,484 | — | 1/28/25 | (Federal Funds | Invesco | 148 |
Effective Rate US | Dynamic Credit | |||||
plus 0.25%) — | Opportunities | |||||
Monthly | Fund — Monthly | |||||
2,288 | 2,299 | — | 1/28/25 | (Federal Funds | Invesco High | 45 |
Effective Rate US | Income Trust II — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
6,611 | 6,708 | — | 1/28/25 | (Federal Funds | Invesco Municipal | 149 |
Effective Rate US | Opportunity Trust — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
6,169 | 6,229 | — | 1/28/25 | (Federal Funds | Invesco Municipal | 107 |
Effective Rate US | Trust — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
3,651 | 3,683 | — | 1/28/25 | (Federal Funds | Invesco Quality | 62 |
Effective Rate US | Municipal Income | |||||
plus 0.25%) — | Trust — Monthly | |||||
Monthly | ||||||
23,622 | 23,751 | — | 1/28/25 | (Federal Funds | Invesco Senior | 380 |
Effective Rate US | Income Trust — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
5,700 | 5,787 | — | 1/28/25 | (Federal Funds | Invesco Trust for | 132 |
Effective Rate US | Investment Grade | |||||
plus 0.25%) — | Municipals — | |||||
Monthly | Monthly | |||||
4,884 | 4,940 | — | 1/28/25 | (Federal Funds | Invesco Value | 93 |
Effective Rate US | Municipal Income | |||||
plus 0.25%) — | Trust — Monthly | |||||
Monthly |
54 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$14,282 | $14,398 | $— | 1/28/25 | (Federal Funds | Ipsen SA — Monthly | $112 |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
7,481 | 7,437 | — | 1/28/25 | (Federal Funds | IPSOS — Monthly | (46) |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
18,545 | 19,159 | — | 1/28/25 | (Federal Funds | IQVIA Holdings Inc — | 608 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
25,594 | 25,501 | — | 1/28/25 | (Federal Funds | ITT Inc — Monthly | (100) |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
8,029 | 7,894 | — | 1/28/25 | (Federal Funds | J Alexander’s | (137) |
Effective Rate US | Holdings Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
18,915 | 20,286 | — | 1/28/25 | (Federal Funds | J D Wetherspoon | 1,371 |
Effective Rate US | PLC — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
11,409 | 11,406 | — | 1/28/25 | (Federal Funds | Jabil Inc — Monthly | 21 |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
1,437 | 1,401 | — | 1/28/25 | (Federal Funds | Jack in the Box Inc — | (29) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
11,104 | 11,217 | — | 1/28/25 | (Federal Funds | Japan Real Estate | 111 |
Effective Rate US | Investment Corp — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
4,185 | 4,529 | — | 1/28/25 | (Federal Funds | Japan Retail Fund | 458 |
Effective Rate US | Investment Corp — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
13,993 | 13,928 | — | 1/28/25 | (Federal Funds | Jardine Cycle & | (67) |
Effective Rate US | Carriage Ltd — | |||||
plus 0.55%) — | Monthly | |||||
Monthly | ||||||
24,841 | 25,668 | — | 1/28/25 | (Federal Funds | Jazz | 820 |
Effective Rate US | Pharmaceuticals | |||||
plus 0.25%) — | PLC — Monthly | |||||
Monthly |
PanAgora Market Neutral Fund 55 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$51,466 | $51,037 | $— | 1/28/25 | (Federal Funds | JD.com Inc — | $(440) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
12,418 | 12,015 | — | 1/28/25 | (Federal Funds | Jiangsu Expressway | 373 |
Effective Rate US | Co Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
13,613 | 13,325 | — | 1/28/25 | (Federal Funds | JPMorgan Chase & | (171) |
Effective Rate US | Co — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
36,821 | 39,850 | — | 1/28/25 | (Federal Funds | Kadmon Holdings | 3,020 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
13,340 | 12,798 | — | 1/28/25 | (Federal Funds | Kadokawa Corp — | (545) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
7,136 | 7,070 | — | 1/28/25 | (Federal Funds | Kandenko Co Ltd — | (68) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
6,783 | 6,892 | — | 1/28/25 | (Federal Funds | Kato Sangyo Co | 107 |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
42,355 | 41,875 | — | 1/28/25 | (Federal Funds | KB Home — Monthly | (426) |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
11,369 | 11,332 | — | 1/28/25 | (Federal Funds | Kemira Oyj — | (41) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
14,471 | 14,309 | — | 1/28/25 | (Federal Funds | Kesko Oyj — | (164) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
7,171 | 6,973 | — | 1/28/25 | (Federal Funds | KeyCorp — Monthly | (95) |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
7,990 | 8,220 | — | 1/28/25 | (Federal Funds | KFC Holdings Japan | 228 |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
56 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$61,207 | $59,374 | $— | 1/28/25 | (Federal Funds | Kforce Inc — | $(1,848) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
20,049 | 20,119 | — | 1/28/25 | (Federal Funds | Kia Motors Corp — | 63 |
Effective Rate US | Monthly | |||||
plus 0.35%) — | ||||||
Monthly | ||||||
7,371 | 8,048 | — | 1/28/25 | (Federal Funds | Kingboard Holdings | 675 |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
22,554 | 27,103 | — | 1/28/25 | (Federal Funds | Kingboard | 4,543 |
Effective Rate US | Laminates Holdings | |||||
plus 0.25%) — | Ltd — Monthly | |||||
Monthly | ||||||
19,672 | 19,161 | — | 1/28/25 | (Federal Funds | Kingfisher PLC — | (511) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
6,601 | 6,549 | — | 1/28/25 | (Federal Funds | Kissei | (54) |
Effective Rate US | Pharmaceutical Co | |||||
plus 0.25%) — | Ltd — Monthly | |||||
Monthly | ||||||
21,263 | 21,335 | — | 1/28/25 | (Federal Funds | KLA Corp — Monthly | 160 |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
19,559 | 19,702 | — | 1/28/25 | (Federal Funds | Klabin SA — Monthly | 132 |
Effective Rate US | ||||||
plus 0.65%) — | ||||||
Monthly | ||||||
15,259 | 15,167 | — | 1/28/25 | (Federal Funds | KLCCP Stapled | 54 |
Effective Rate US | Group — Monthly | |||||
plus 0.75%) — | ||||||
Monthly | ||||||
9,045 | 8,379 | — | 1/28/25 | (Federal Funds | Kobe Bussan Co | (666) |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
13,996 | 13,232 | — | 1/28/25 | (Federal Funds | KOC Holding AS — | (776) |
Effective Rate US | Monthly | |||||
plus 0.70%) — | ||||||
Monthly | ||||||
4,772 | 4,853 | — | 1/28/25 | (Federal Funds | Koito Manufacturing | 80 |
Effective Rate US | Co Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
PanAgora Market Neutral Fund 57 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$9,258 | $9,305 | $— | 1/28/25 | (Federal Funds | Komeri Co Ltd — | $43 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
5,648 | 5,829 | — | 1/28/25 | (Federal Funds | Konica Minolta | 179 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
23,922 | 23,505 | — | 1/28/25 | (Federal Funds | Koninklijke Ahold | 36 |
Effective Rate US | Delhaize NV — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
35,637 | 35,533 | — | 1/28/25 | (Federal Funds | Korn Ferry — | 2 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
33,335 | 33,603 | — | 1/28/25 | (Federal Funds | Kraft Heinz Co/ | 649 |
Effective Rate US | The — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
22,023 | 22,134 | — | 1/28/25 | (Federal Funds | Kuwait Finance | 87 |
Effective Rate US | House KSCP — | |||||
plus 1.20%) — | Monthly | |||||
Monthly | ||||||
18,347 | 18,022 | — | 1/28/25 | (Federal Funds | L Brands Inc — | (330) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
55,627 | 54,340 | — | 1/28/25 | (Federal Funds | La-Z-Boy Inc — | (1,301) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
13,970 | 14,000 | — | 1/28/25 | (Federal Funds | LafargeHolcim | 29 |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
24,992 | 25,780 | — | 1/28/25 | (Federal Funds | Lantheus Holdings | 779 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
11,690 | 11,991 | — | 1/28/25 | (Federal Funds | Lawson Products | 298 |
Effective Rate US | Inc/DE — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
2,734 | 2,727 | — | 1/28/25 | (Federal Funds | LCNB Corp — | 25 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
58 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$4,699 | $4,572 | $— | 1/28/25 | (Federal Funds | Leonardo SpA — | $(128) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
30,649 | 30,475 | — | 1/28/25 | (Federal Funds | Lexicon | (180) |
Effective Rate US | Pharmaceuticals | |||||
plus 0.25%) — | Inc — Monthly | |||||
Monthly | ||||||
10,149 | 9,816 | — | 1/28/25 | (Federal Funds | LG Corp — Monthly | (336) |
Effective Rate US | ||||||
plus 0.35%) — | ||||||
Monthly | ||||||
9,031 | 8,874 | — | 1/28/25 | (Federal Funds | Life Healthcare | (163) |
Effective Rate US | Group Holdings | |||||
plus 0.60%) — | Ltd — Monthly | |||||
Monthly | ||||||
7,071 | 7,115 | — | 1/28/25 | (Federal Funds | Lintec Corp — | 42 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
32,661 | 32,395 | — | 1/28/25 | (Federal Funds | LivePerson Inc — | (273) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
34,853 | 35,012 | — | 1/28/25 | (Federal Funds | Livongo Health | 150 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
34,841 | 34,819 | — | 1/28/25 | (Federal Funds | LKQ Corp — Monthly | (24) |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
38,116 | 38,116 | — | 1/28/25 | (Federal Funds | LogMeIn Inc — | (11) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
17,913 | 18,260 | — | 1/28/25 | (Federal Funds | Lojas Americanas | 333 |
Effective Rate US | SA — Monthly | |||||
plus 0.65%) — | ||||||
Monthly | ||||||
31,084 | 31,780 | — | 1/28/25 | (Federal Funds | Longfor Group | 687 |
Effective Rate US | Holdings Ltd — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
14,138 | 14,259 | — | 1/28/25 | (Federal Funds | Lonza Group AG — | 119 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
PanAgora Market Neutral Fund 59 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$17,629 | $17,457 | $— | 1/28/25 | (Federal Funds | Lowe’s Cos Inc — | $(119) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
24,566 | 24,566 | — | 1/28/25 | (Federal Funds | LPL Financial | 68 |
Effective Rate US | Holdings Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
13,860 | 13,982 | — | 1/28/25 | (Federal Funds | LS Electric Co Ltd — | 116 |
Effective Rate US | Monthly | |||||
plus 0.35%) — | ||||||
Monthly | ||||||
193 | 185 | — | 1/28/25 | (Federal Funds | LSC | (8) |
Effective Rate US | Communications | |||||
plus 0.25%) — | Inc — Monthly | |||||
Monthly | ||||||
55,670 | 54,094 | — | 1/28/25 | (Federal Funds | M/I Homes Inc — | (1,592) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
18,191 | 17,859 | — | 1/28/25 | (Federal Funds | Mabanee Co SAK — | (351) |
Effective Rate US | Monthly | |||||
plus 1.20%) — | ||||||
Monthly | ||||||
41,080 | 44,510 | — | 1/28/25 | (Federal Funds | MacroGenics Inc — | 3,418 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
11,347 | 11,006 | — | 1/28/25 | (Federal Funds | Magna International | (254) |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
4,225 | 4,367 | — | 1/28/25 | (Federal Funds | MainStay MacKay | 175 |
Effective Rate US | DefinedTerm | |||||
plus 0.25%) — | Municipal | |||||
Monthly | Opportunities | |||||
Fund — Monthly | ||||||
26,187 | 24,007 | — | 1/28/25 | (Federal Funds | Malibu Boats Inc — | (2,190) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
15,454 | 15,248 | — | 1/28/25 | (Federal Funds | ManpowerGroup | (211) |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
61,031 | 61,199 | — | 1/28/25 | (Federal Funds | Marten Transport | 151 |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
60 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$15,410 | $15,596 | $— | 1/28/25 | (Federal Funds | Mastech Digital | $180 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
19,224 | 19,342 | — | 1/28/25 | (Federal Funds | Mastercard Inc — | 135 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
17,287 | 17,310 | — | 1/28/25 | (Federal Funds | Match Group Inc — | 18 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
6,708 | 6,721 | — | 1/28/25 | (Federal Funds | Maxell Holdings | 12 |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
3,572 | 3,907 | — | 1/28/25 | (Federal Funds | Maxeon Solar | 335 |
Effective Rate US | Technologies Ltd — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
33,549 | 32,783 | — | 1/28/25 | (Federal Funds | Maxim Integrated | (546) |
Effective Rate US | Products Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
45,542 | 44,793 | — | 1/28/25 | (Federal Funds | McGrath | (477) |
Effective Rate US | RentCorp — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
15,272 | 15,191 | — | 1/28/25 | (Federal Funds | McKesson Corp — | (44) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
18,679 | 19,051 | — | 1/28/25 | (Federal Funds | McKesson Europe | 366 |
Effective Rate US | AG — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
17,525 | 17,625 | — | 1/28/25 | (Federal Funds | Medtronic PLC — | 95 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
19,026 | 19,240 | — | 1/28/25 | (Federal Funds | Meet Group Inc/ | 208 |
Effective Rate US | The — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
17,885 | 17,285 | — | 1/28/25 | (Federal Funds | Megaworld Corp — | (599) |
Effective Rate US | Monthly | |||||
plus 0.75%) — | ||||||
Monthly |
PanAgora Market Neutral Fund 61 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$6,812 | $6,798 | $— | 1/28/25 | (Federal Funds | Megmilk Snow | $(16) |
Effective Rate US | Brand Co Ltd — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
42,624 | 44,763 | — | 1/28/25 | (Federal Funds | MEI Pharma Inc — | 2,126 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
51,832 | 49,470 | — | 1/28/25 | (Federal Funds | Meituan Dianping — | (2,373) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
24,030 | 23,876 | — | 1/28/25 | (Federal Funds | Merck & Co Inc — | (161) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
72,262 | 70,486 | — | 1/28/25 | (Federal Funds | Meritage Homes | (1,805) |
Effective Rate US | Corp — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
9,990 | 10,296 | — | 1/28/25 | (Federal Funds | Metallurgical Corp | 913 |
Effective Rate US | of China Ltd — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
31,776 | 31,729 | — | 1/28/25 | (Federal Funds | Metso Outotec | (56) |
Effective Rate US | Corp — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
8,532 | 8,487 | — | 1/28/25 | (Federal Funds | MFS Intermediate | 80 |
Effective Rate US | Income Trust — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
1,666 | 1,690 | — | 1/28/25 | (Federal Funds | MFS Municipal | 37 |
Effective Rate US | Income Trust — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
12,417 | 12,499 | — | 1/28/25 | (Federal Funds | MGIC Investment | 161 |
Effective Rate US | Corp — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
19,148 | 18,472 | — | 1/28/25 | (Federal Funds | Micro-Star | (168) |
Effective Rate US | International Co | |||||
plus 0.35%) — | Ltd — Monthly | |||||
Monthly | ||||||
21,072 | 20,974 | — | 1/28/25 | (Federal Funds | Microsoft Corp — | (57) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
62 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$41,598 | $41,691 | $— | 1/28/25 | (Federal Funds | Miller Industries Inc/ | $81 |
Effective Rate US | TN — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
9,930 | 10,121 | — | 1/28/25 | (Federal Funds | Mimasu | 255 |
Effective Rate US | Semiconductor | |||||
plus 0.25%) — | Industry Co Ltd — | |||||
Monthly | Monthly | |||||
1,009 | 1,034 | — | 1/28/25 | (Federal Funds | Mimecast Ltd — | 25 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
9,671 | 9,500 | — | 1/28/25 | (Federal Funds | MISC Bhd — Monthly | (84) |
Effective Rate US | ||||||
plus 0.75%) — | ||||||
Monthly | ||||||
8,981 | 8,941 | — | 1/28/25 | (Federal Funds | Mitsubishi Gas | (42) |
Effective Rate US | Chemical Co Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
6,659 | 6,700 | — | 1/28/25 | (Federal Funds | Mitsui-Soko | 39 |
Effective Rate US | Holdings Co Ltd — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
8,808 | 8,867 | — | 1/28/25 | (Federal Funds | Mixi Inc — Monthly | 56 |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
5,403 | 5,385 | — | 1/28/25 | (Federal Funds | Mizuno Corp — | (20) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
23,867 | 23,909 | — | 1/28/25 | (Federal Funds | Mobile Telecommu- | 18 |
Effective Rate US | nications Co KSC — | |||||
plus 1.20%) — | Monthly | |||||
Monthly | ||||||
48,971 | 49,732 | — | 1/28/25 | (Federal Funds | MobileIron Inc — | 748 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
51,019 | 54,846 | — | 1/28/25 | (Federal Funds | Molecular | 3,810 |
Effective Rate US | Templates Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
34,490 | 34,537 | — | 1/28/25 | (Federal Funds | Momenta | 44 |
Effective Rate US | Pharmaceuticals | |||||
plus 0.25%) — | Inc — Monthly | |||||
Monthly |
PanAgora Market Neutral Fund 63 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$20,646 | $21,046 | $— | 1/28/25 | (Federal Funds | Motorola Solutions | $394 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
14,095 | 14,422 | — | 1/28/25 | (Federal Funds | Mr Cooper Group | 324 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
16,088 | 14,964 | — | 1/28/25 | (Federal Funds | Mr Price Group | (1,134) |
Effective Rate US | Ltd — Monthly | |||||
plus 0.60%) — | ||||||
Monthly | ||||||
13,053 | 12,921 | — | 1/28/25 | (Federal Funds | Multiplan | 262 |
Effective Rate US | Empreendimentos | |||||
plus 0.65%) — | Imobiliarios SA — | |||||
Monthly | Monthly | |||||
6,969 | 6,819 | — | 1/28/25 | (Federal Funds | Murata | (151) |
Effective Rate US | Manufacturing Co | |||||
plus 0.25%) — | Ltd — Monthly | |||||
Monthly | ||||||
35,024 | 35,639 | — | 1/28/25 | (Federal Funds | MVC Capital Inc — | 613 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
20,562 | 20,671 | — | 1/28/25 | (Federal Funds | National Bank of | 88 |
Effective Rate US | Kuwait SAKP — | |||||
plus 1.20%) — | Monthly | |||||
Monthly | ||||||
30,236 | 30,016 | — | 1/28/25 | (Federal Funds | National Research | (229) |
Effective Rate US | Corp — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
3,109 | 3,219 | — | 1/28/25 | (Federal Funds | NCS Multistage | 109 |
Effective Rate US | Holdings Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
56,307 | 53,593 | — | 1/28/25 | (Federal Funds | NetEase Inc — | (2,566) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
5,604 | 5,603 | — | 1/28/25 | (Federal Funds | NETGEAR Inc — | (2) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
2,087 | 2,081 | — | 1/28/25 | (Federal Funds | Neuberger Berman | 26 |
Effective Rate US | High Yield Strategies | |||||
plus 0.25%) — | Fund Inc — Monthly | |||||
Monthly |
64 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$2,208 | $2,250 | $— | 1/28/25 | (Federal Funds | Neuberger Berman | $60 |
Effective Rate US | Municipal Fund | |||||
plus 0.25%) — | Inc — Monthly | |||||
Monthly | ||||||
2,388 | 2,385 | — | 1/28/25 | (Federal Funds | New America High | 25 |
Effective Rate US | Income Fund Inc/ | |||||
plus 0.25%) — | The — Monthly | |||||
Monthly | ||||||
17,827 | 17,889 | — | 1/28/25 | (Federal Funds | New Oriental | 57 |
Effective Rate US | Education & | |||||
plus 0.25%) — | Technology Group | |||||
Monthly | Inc — Monthly | |||||
9,845 | 9,645 | — | 1/28/25 | (Federal Funds | New Relic Inc — | (203) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
21,144 | 20,870 | — | 1/28/25 | (Federal Funds | Newell Brands Inc — | 19 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
7,992 | 8,019 | — | 1/28/25 | (Federal Funds | NextCure Inc — | 25 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
947 | 941 | — | 1/28/25 | (Federal Funds | NextGen Healthcare | (6) |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
9,943 | 9,960 | — | 1/28/25 | (Federal Funds | NGK Insulators | 16 |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
6,911 | 6,892 | — | 1/28/25 | (Federal Funds | NGK Spark Plug Co | (20) |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
12,730 | 12,836 | — | 1/28/25 | (Federal Funds | Nifco Inc/Japan — | 103 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
6,867 | 6,845 | — | 1/28/25 | (Federal Funds | Nihon Kohden | (24) |
Effective Rate US | Corp — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
9,681 | 9,643 | — | 1/28/25 | (Federal Funds | Nintendo Co Ltd — | (40) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
PanAgora Market Neutral Fund 65 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$6,182 | $6,165 | $— | 1/28/25 | (Federal Funds | Nippon | $66 |
Effective Rate US | Accommodations | |||||
plus 0.25%) — | Fund Inc — Monthly | |||||
Monthly | ||||||
8,258 | 8,261 | — | 1/28/25 | (Federal Funds | Nippon Shinyaku Co | 2 |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
8,662 | 8,830 | — | 1/28/25 | (Federal Funds | Nishio Rent All Co | 166 |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
4,960 | 4,960 | — | 1/28/25 | (Federal Funds | Nisshin Seifun | (2) |
Effective Rate US | Group Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
7,841 | 7,806 | — | 1/28/25 | (Federal Funds | Nissin Foods | (36) |
Effective Rate US | Holdings Co Ltd — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
9,291 | 9,578 | — | 1/28/25 | (Federal Funds | Nomura Real Estate | 286 |
Effective Rate US | Holdings Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
9,474 | 9,501 | — | 1/28/25 | (Federal Funds | Nova Measuring | 24 |
Effective Rate US | Instruments Ltd — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
8,998 | 9,029 | — | 1/28/25 | (Federal Funds | Nu Skin Enterprises | 100 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
17,472 | 17,756 | — | 1/28/25 | (Federal Funds | Nuveen AMT-Free | 428 |
Effective Rate US | Municipal Credit | |||||
plus 0.25%) — | Income Fund — | |||||
Monthly | Monthly | |||||
23,162 | 23,293 | — | 1/28/25 | (Federal Funds | Nuveen AMT-Free | 311 |
Effective Rate US | Quality Municipal | |||||
plus 0.25%) — | Income Fund — | |||||
Monthly | Monthly | |||||
23,467 | 23,467 | — | 1/28/25 | (Federal Funds | Nuveen Credit | 616 |
Effective Rate US | Strategies Income | |||||
plus 0.25%) — | Fund — Monthly | |||||
Monthly | ||||||
3,072 | 3,146 | — | 1/28/25 | (Federal Funds | Nuveen Enhanced | 99 |
Effective Rate US | Municipal Value | |||||
plus 0.25%) — | Fund — Monthly | |||||
Monthly |
66 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$13,297 | $13,297 | $— | 1/28/25 | (Federal Funds | Nuveen Floating | $144 |
Effective Rate US | Rate Income Fund — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
11,673 | 11,784 | — | 1/28/25 | (Federal Funds | Nuveen Municipal | 206 |
Effective Rate US | Credit Income | |||||
plus 0.25%) — | Fund — Monthly | |||||
Monthly | ||||||
17,146 | 17,456 | — | 1/28/25 | (Federal Funds | Nuveen Municipal | 466 |
Effective Rate US | High Income | |||||
plus 0.25%) — | Opportunity Fund — | |||||
Monthly | Monthly | |||||
2,800 | 2,826 | — | 1/28/25 | (Federal Funds | Nuveen New Jersey | 49 |
Effective Rate US | Quality Municipal | |||||
plus 0.25%) — | Income Fund — | |||||
Monthly | Monthly | |||||
2,117 | 2,134 | — | 1/28/25 | (Federal Funds | Nuveen | 33 |
Effective Rate US | Pennsylvania | |||||
plus 0.25%) — | Quality Municipal | |||||
Monthly | Income Fund — | |||||
Monthly | ||||||
17,902 | 18,039 | — | 1/28/25 | (Federal Funds | Nuveen Quality | 275 |
Effective Rate US | Municipal Income | |||||
plus 0.25%) — | Fund — Monthly | |||||
Monthly | ||||||
14,410 | 14,322 | — | 1/28/25 | (Federal Funds | Nuveen Senior | 88 |
Effective Rate US | Income Fund — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
2,678 | 2,665 | — | 1/28/25 | (Federal Funds | Nuveen Short | 17 |
Effective Rate US | Duration Credit | |||||
plus 0.25%) — | Opportunities | |||||
Monthly | Fund — Monthly | |||||
5,167 | 5,244 | — | 1/28/25 | (Federal Funds | Nuveen Taxable | 117 |
Effective Rate US | Municipal Income | |||||
plus 0.25%) — | Fund — Monthly | |||||
Monthly | ||||||
12,655 | 12,505 | — | 1/28/25 | (Federal Funds | NVR Inc — Monthly | (154) |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
7,541 | 7,452 | — | 1/28/25 | (Federal Funds | Oak Valley | (89) |
Effective Rate US | Bancorp — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
9,489 | 9,791 | — | 1/28/25 | (Federal Funds | Obayashi Corp — | 299 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
PanAgora Market Neutral Fund 67 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$8,177 | $8,145 | $— | 1/28/25 | (Federal Funds | OBI Pharma Inc — | $(35) |
Effective Rate US | Monthly | |||||
plus 0.35%) — | ||||||
Monthly | ||||||
47,314 | 46,296 | — | 1/28/25 | (Federal Funds | Oil-Dri Corp of | (688) |
Effective Rate US | America — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
7,356 | 7,336 | — | 1/28/25 | (Federal Funds | Omron Corp — | (22) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
14,421 | 14,859 | — | 1/28/25 | (Federal Funds | OncoTherapy | 434 |
Effective Rate US | Science Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
9,061 | 9,061 | — | 1/28/25 | (Federal Funds | Ono Pharmaceutical | (3) |
Effective Rate US | Co Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
6,062 | 5,912 | — | 1/28/25 | (Federal Funds | Oppenheimer | (150) |
Effective Rate US | Holdings Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
14,343 | 14,690 | — | 1/28/25 | (Federal Funds | Osmotica | 342 |
Effective Rate US | Pharmaceuticals | |||||
plus 0.25%) — | PLC — Monthly | |||||
Monthly | ||||||
12,808 | 12,451 | — | 1/28/25 | (Federal Funds | Osotspa PCL — | (223) |
Effective Rate US | Monthly | |||||
plus 0.75%) — | ||||||
Monthly | ||||||
17,135 | 17,046 | — | 1/28/25 | (Federal Funds | Otis Worldwide | (40) |
Effective Rate US | Corp — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
20,734 | 18,900 | — | 1/28/25 | (Federal Funds | Overstock.com | (1,838) |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
14,639 | 14,340 | — | 1/28/25 | (Federal Funds | Owens Corning — | (252) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
5,848 | 5,745 | — | 1/28/25 | (Federal Funds | Oyo Corp — Monthly | (38) |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly |
68 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$17,904 | $17,600 | $— | 1/28/25 | (Federal Funds | Pakuwon Jati Tbk | $(317) |
Effective Rate US | PT — Monthly | |||||
plus 0.75%) — | ||||||
Monthly | ||||||
9,940 | 10,156 | — | 1/28/25 | (Federal Funds | Panasonic Corp — | 215 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
8,060 | 7,704 | — | 1/28/25 | (Federal Funds | PAPYLESS Co Ltd — | (358) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
53,816 | 54,344 | — | 1/28/25 | (Federal Funds | PC Connection | 512 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
53,825 | 53,799 | — | 1/28/25 | (Federal Funds | PDF Solutions Inc — | (41) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
81,717 | 75,730 | — | 1/28/25 | (Federal Funds | Penn National | (6,004) |
Effective Rate US | Gaming Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
21,285 | 22,090 | — | 1/28/25 | (Federal Funds | PennyMac Financial | 861 |
Effective Rate US | Services Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
11,806 | 11,764 | — | 1/28/25 | (Federal Funds | Peoples Bancorp of | (44) |
Effective Rate US | North Carolina Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
42,545 | 42,693 | — | 1/28/25 | (Federal Funds | Perdoceo Education | 135 |
Effective Rate US | Corp — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
19,518 | 20,255 | — | 1/28/25 | (Federal Funds | Petrobras | 1,709 |
Effective Rate US | Distribuidora SA — | |||||
plus 0.65%) — | Monthly | |||||
Monthly | ||||||
19,331 | 19,299 | — | 1/28/25 | (Federal Funds | Pets at Home Group | (31) |
Effective Rate US | PLC — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
17,151 | 17,119 | — | 1/28/25 | (Federal Funds | Pfizer Inc — Monthly | (34) |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly |
PanAgora Market Neutral Fund 69 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$7,697 | $7,720 | $— | 1/28/25 | (Federal Funds | PGIM Global High | $142 |
Effective Rate US | Yield Fund Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
7,919 | 7,930 | — | 1/28/25 | (Federal Funds | PGIM High Yield | 127 |
Effective Rate US | Bond Fund Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
56,610 | 58,429 | — | 1/28/25 | (Federal Funds | Pharma Mar SA — | 1,804 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
1,929 | 1,929 | — | 1/28/25 | (Federal Funds | Pharmally | (1) |
Effective Rate US | International | |||||
plus 0.35%) — | Holding Co Ltd — | |||||
Monthly | Monthly | |||||
17,190 | 17,257 | — | 1/28/25 | (Federal Funds | Phison Electronics | 790 |
Effective Rate US | Corp — Monthly | |||||
plus 0.35%) — | ||||||
Monthly | ||||||
20,803 | 20,721 | — | 1/28/25 | (Federal Funds | Phoenix Group | 603 |
Effective Rate US | Holdings PLC — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
13,510 | 13,398 | — | 1/28/25 | (Federal Funds | PhosAgro — | 286 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
13,858 | 13,738 | — | 1/28/25 | (Federal Funds | Piaggio & C SpA — | (124) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
3,301 | 3,302 | — | 1/28/25 | (Federal Funds | PIMCO California | 25 |
Effective Rate US | Municipal Income | |||||
plus 0.25%) — | Fund — Monthly | |||||
Monthly | ||||||
20,254 | 20,367 | — | 1/28/25 | (Federal Funds | PIMCO Corporate & | 434 |
Effective Rate US | Income Opportunity | |||||
plus 0.25%) — | Fund — Monthly | |||||
Monthly | ||||||
1,949 | 1,960 | — | 1/28/25 | (Federal Funds | PIMCO Global | 43 |
Effective Rate US | StocksPLUS & | |||||
plus 0.25%) — | Income Fund — | |||||
Monthly | Monthly | |||||
3,720 | 3,757 | — | 1/28/25 | (Federal Funds | PIMCO Income | 103 |
Effective Rate US | Strategy Fund — | |||||
plus 0.25%) — | Monthly | |||||
Monthly |
70 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$7,567 | $7,609 | $— | 1/28/25 | (Federal Funds | PIMCO Income | $174 |
Effective Rate US | Strategy Fund II — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
3,382 | 3,364 | — | 1/28/25 | (Federal Funds | PIMCO Municipal | 8 |
Effective Rate US | Income Fund — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
6,176 | 6,227 | — | 1/28/25 | (Federal Funds | PIMCO Municipal | 104 |
Effective Rate US | Income Fund II — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
2,817 | 2,857 | — | 1/28/25 | (Federal Funds | PIMCO Municipal | 62 |
Effective Rate US | Income Fund III — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
8,295 | 7,911 | — | 1/28/25 | (Federal Funds | Pioneer Bancorp | (387) |
Effective Rate US | Inc/NY — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
3,891 | 3,940 | — | 1/28/25 | (Federal Funds | Pioneer High | 112 |
Effective Rate US | Income Trust — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
3,723 | 3,812 | — | 1/28/25 | (Federal Funds | Pioneer Municipal | 119 |
Effective Rate US | High Income | |||||
plus 0.25%) — | Advantage Trust — | |||||
Monthly | Monthly | |||||
2,472 | 2,497 | — | 1/28/25 | (Federal Funds | Pioneer Municipal | 44 |
Effective Rate US | High Income Trust — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
6,842 | 6,620 | — | 1/28/25 | (Federal Funds | Plumas Bancorp — | (223) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
19,679 | 19,097 | — | 1/28/25 | (Federal Funds | Polaris Inc — | (471) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
12,118 | 11,999 | — | 1/28/25 | (Federal Funds | Porsche Automobil | (123) |
Effective Rate US | Holding SE — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
8,672 | 8,495 | — | 1/28/25 | (Federal Funds | Posco International | (180) |
Effective Rate US | Corp — Monthly | |||||
plus 0.35%) — | ||||||
Monthly |
PanAgora Market Neutral Fund 71 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$24,360 | $24,588 | $— | 1/28/25 | (Federal Funds | Powell Industries | $460 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
12,089 | 11,779 | — | 1/28/25 | (Federal Funds | Powertech | 238 |
Effective Rate US | Technology Inc — | |||||
plus 0.35%) — | Monthly | |||||
Monthly | ||||||
13,164 | 13,187 | — | 1/28/25 | (Federal Funds | Premier | 249 |
Effective Rate US | Investments Ltd — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
7,694 | 7,914 | — | 1/28/25 | (Federal Funds | Pressance Corp — | 218 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
21,008 | 21,026 | — | 1/28/25 | (Federal Funds | Procter & Gamble | 132 |
Effective Rate US | Co/The — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
17,262 | 17,582 | — | 1/28/25 | (Federal Funds | Progressive Corp/ | 315 |
Effective Rate US | The — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
18,580 | 18,315 | — | 1/28/25 | (Federal Funds | Proofpoint Inc — | (272) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
90,892 | 92,714 | — | 1/28/25 | (Federal Funds | Protagonist | 1,801 |
Effective Rate US | Therapeutics Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
39,589 | 39,258 | — | 1/28/25 | (Federal Funds | Providence Service | (341) |
Effective Rate US | Corp/The — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
33,726 | 33,670 | — | 1/28/25 | (Federal Funds | Provident Financial | 328 |
Effective Rate US | Holdings Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
19,370 | 19,855 | — | 1/28/25 | (Federal Funds | Prudential PLC — | 550 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
49,195 | 50,414 | — | 1/28/25 | (Federal Funds | PTC Therapeutics | 1,205 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
72 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$21,320 | $20,779 | $— | 1/28/25 | (Federal Funds | PulteGroup Inc — | $(547) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
33,189 | 34,050 | — | 1/28/25 | (Federal Funds | Puma | 853 |
Effective Rate US | Biotechnology Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
14,753 | 14,944 | — | 1/28/25 | (Federal Funds | PVH Corp — Monthly | 186 |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
45,334 | 44,436 | — | 1/28/25 | (Federal Funds | Pzena Investment | (643) |
Effective Rate US | Management Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
54,237 | 53,899 | — | 1/28/25 | (Federal Funds | Q2 Holdings Inc — | (354) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
29,237 | 30,013 | — | 1/28/25 | (Federal Funds | QUALCOMM Inc — | 769 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
37,352 | 37,149 | — | 1/28/25 | (Federal Funds | Qualys Inc — | (214) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
1,198 | 1,210 | — | 1/28/25 | (Federal Funds | Quanex Building | 12 |
Effective Rate US | Products Corp — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
67,112 | 66,355 | — | 1/28/25 | (Federal Funds | QuinStreet Inc — | (775) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
29,731 | 29,508 | — | 1/28/25 | (Federal Funds | R1 RCM Inc — | (228) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
25,988 | 26,294 | — | 1/28/25 | (Federal Funds | Radian Group Inc — | 512 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
49,166 | 47,139 | — | 1/28/25 | (Federal Funds | RadNet Inc — | (2,042) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
PanAgora Market Neutral Fund 73 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$10,714 | $10,806 | $— | 1/28/25 | (Federal Funds | Ralph Lauren | $90 |
Effective Rate US | Corp — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
11,644 | 11,677 | — | 1/28/25 | (Federal Funds | Rami Levy Chain | 141 |
Effective Rate US | Stores Hashikma | |||||
plus 0.70%) — | Marketing 2006 | |||||
Monthly | Ltd — Monthly | |||||
30,710 | 30,994 | — | 1/28/25 | (Federal Funds | Rapid7 Inc — | 274 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
29,083 | 30,171 | — | 1/28/25 | (Federal Funds | RCI Hospitality | 1,083 |
Effective Rate US | Holdings Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
3,890 | 4,007 | — | 1/28/25 | (Federal Funds | Recro Pharma Inc — | 115 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
8,772 | 10,090 | — | 1/28/25 | (Federal Funds | Red Robin Gourmet | 1,316 |
Effective Rate US | Burgers Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
10,493 | 10,820 | — | 1/28/25 | (Federal Funds | Redrow PLC — | 326 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
24,563 | 24,320 | — | 1/28/25 | (Federal Funds | Regal Beloit Corp — | (251) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
17,834 | 17,978 | — | 1/28/25 | (Federal Funds | Regeneron | 138 |
Effective Rate US | Pharmaceuticals | |||||
plus 0.25%) — | Inc — Monthly | |||||
Monthly | ||||||
29,779 | 30,642 | — | 1/28/25 | (Federal Funds | REGENXBIO Inc — | 854 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
35,683 | 34,550 | — | 1/28/25 | (Federal Funds | Regional | (1,142) |
Effective Rate US | Management | |||||
plus 0.25%) — | Corp — Monthly | |||||
Monthly | ||||||
8,108 | 8,327 | — | 1/28/25 | (Federal Funds | Relia Inc — Monthly | 217 |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly |
74 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$6,663 | $6,653 | $— | 1/28/25 | (Federal Funds | Rengo Co Ltd — | $(11) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
5,547 | 5,703 | — | 1/28/25 | (Federal Funds | Resorttrust Inc — | 155 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
17,854 | 19,093 | — | 1/28/25 | (Federal Funds | Retractable | 1,228 |
Effective Rate US | Technologies Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
22,257 | 22,685 | — | 1/28/25 | (Federal Funds | Retrophin Inc — | 421 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
8,248 | 8,143 | — | 1/28/25 | (Federal Funds | Rheinmetall AG — | (108) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
11,051 | 10,935 | — | 1/28/25 | (Federal Funds | Richmond Mutual | (119) |
Effective Rate US | BanCorp Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
7,968 | 8,236 | — | 1/28/25 | (Federal Funds | Ricoh Co Ltd — | 267 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
28,859 | 30,067 | — | 1/28/25 | (Federal Funds | Rigel | 1,200 |
Effective Rate US | Pharmaceuticals | |||||
plus 0.25%) — | Inc — Monthly | |||||
Monthly | ||||||
6,416 | 6,461 | — | 1/28/25 | (Federal Funds | RiverNorth/ | 208 |
Effective Rate US | DoubleLine | |||||
plus 0.25%) — | Strategic | |||||
Monthly | Opportunity Fund | |||||
Inc — Monthly | ||||||
27,535 | 27,403 | — | 1/28/25 | (Federal Funds | Riverview Bancorp | (143) |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
8,854 | 8,725 | — | 1/28/25 | (Federal Funds | Robert Half | (76) |
Effective Rate US | International Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
20,540 | 20,605 | — | 1/28/25 | (Federal Funds | Roche Holding AG — | 59 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
PanAgora Market Neutral Fund 75 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$12,065 | $11,988 | $— | 1/28/25 | (Federal Funds | Rockwell | $(27) |
Effective Rate US | Automation Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
13,636 | 14,111 | — | 1/28/25 | (Federal Funds | Rocky Brands Inc — | 470 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
6,576 | 6,439 | — | 1/28/25 | (Federal Funds | Rohm Co Ltd — | (139) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
19,960 | 21,512 | — | 1/28/25 | (Federal Funds | Roku Inc — Monthly | 1,545 |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
10,501 | 10,724 | — | 1/28/25 | (Federal Funds | Roland DG Corp — | 219 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
9,645 | 10,420 | — | 1/28/25 | (Federal Funds | Rosetta Stone Inc — | 775 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
19,638 | 19,685 | — | 1/28/25 | (Federal Funds | Royal Mail PLC — | 47 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
23,105 | 22,752 | — | 1/28/25 | (Federal Funds | Royal Unibrew | 2 |
Effective Rate US | A/S — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
8,033 | 7,924 | — | 1/28/25 | (Federal Funds | Rush Enterprises | (108) |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
7,578 | 7,341 | — | 1/28/25 | (Federal Funds | S–1 Corp — Monthly | (240) |
Effective Rate US | ||||||
plus 0.35%) — | ||||||
Monthly | ||||||
8,736 | 8,794 | — | 1/28/25 | (Federal Funds | S&P Global Inc — | 72 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
5,423 | 5,631 | — | 1/28/25 | (Federal Funds | Saizeriya Co Ltd — | 252 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
76 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$34,816 | $34,354 | $— | 1/28/25 | (Federal Funds | salesforce.com | $(469) |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
24,022 | 23,275 | — | 1/28/25 | (Federal Funds | Samsung | (628) |
Effective Rate US | Electronics Co Ltd — | |||||
plus 0.35%) — | Monthly | |||||
Monthly | ||||||
7,662 | 7,543 | — | 1/28/25 | (Federal Funds | Samsung | (121) |
Effective Rate US | Engineering Co | |||||
plus 0.35%) — | Ltd — Monthly | |||||
Monthly | ||||||
44,520 | 45,530 | — | 1/28/25 | (Federal Funds | Sangamo | 999 |
Effective Rate US | Therapeutics Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
6,494 | 6,441 | — | 1/28/25 | (Federal Funds | Sanki Engineering | (54) |
Effective Rate US | Co Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
14,563 | 14,496 | — | 1/28/25 | (Federal Funds | SAP SE — Monthly | (67) |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
28,569 | 28,356 | — | 1/28/25 | (Federal Funds | Saul Centers Inc — | 313 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
10,139 | 10,232 | — | 1/28/25 | (Federal Funds | Savills PLC — | 93 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
6,178 | 6,058 | — | 1/28/25 | (Federal Funds | Scala Inc — Monthly | (27) |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
14,544 | 14,877 | — | 1/28/25 | (Federal Funds | Scandinavian | 330 |
Effective Rate US | Tobacco Group | |||||
plus 0.25%) — | A/S — Monthly | |||||
Monthly | ||||||
7,343 | 7,316 | — | 1/28/25 | (Federal Funds | SCSK Corp — | (28) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
62,305 | 64,206 | — | 1/28/25 | (Federal Funds | Seegene Inc — | 1,879 |
Effective Rate US | Monthly | |||||
plus 0.35%) — | ||||||
Monthly |
PanAgora Market Neutral Fund 77 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$12,746 | $12,619 | $— | 1/28/25 | (Federal Funds | SEI Investments | $(132) |
Effective Rate US | Co — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
6,995 | 7,172 | — | 1/28/25 | (Federal Funds | Seiko Epson Corp — | 175 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
7,136 | 7,959 | — | 1/28/25 | (Federal Funds | Seiren Co Ltd — | 821 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
7,916 | 7,916 | — | 1/28/25 | (Federal Funds | Sekisui House Ltd — | 152 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
45,165 | 45,278 | — | 1/28/25 | (Federal Funds | Select Medical | 102 |
Effective Rate US | Holdings Corp — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
32,680 | 33,057 | — | 1/28/25 | (Federal Funds | Seneca Foods | 373 |
Effective Rate US | Corp — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
20,728 | 20,903 | — | 1/28/25 | (Federal Funds | Sensata | 170 |
Effective Rate US | Technologies | |||||
plus 0.25%) — | Holding PLC — | |||||
Monthly | Monthly | |||||
13,190 | 12,717 | — | 1/28/25 | (Federal Funds | Service Properties | (472) |
Effective Rate US | Trust — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
20,765 | 21,301 | — | 1/28/25 | (Federal Funds | Sesa SpA — Monthly | 532 |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
16,357 | 16,507 | — | 1/28/25 | (Federal Funds | Seven Group | 146 |
Effective Rate US | Holdings Ltd — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
13,703 | 13,517 | — | 1/28/25 | (Federal Funds | Shanghai Industrial | (190) |
Effective Rate US | Holdings Ltd — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
8,723 | 8,916 | — | 1/28/25 | (Federal Funds | Shanghai | 500 |
Effective Rate US | Pharmaceuticals | |||||
plus 0.25%) — | Holding Co Ltd — | |||||
Monthly | Monthly |
78 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$5,975 | $5,976 | $— | 1/28/25 | (Federal Funds | Shimadzu Corp — | $— |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
3,530 | 3,588 | — | 1/28/25 | (Federal Funds | Shindengen Electric | 56 |
Effective Rate US | Manufacturing Co | |||||
plus 0.25%) — | Ltd — Monthly | |||||
Monthly | ||||||
7,898 | 7,865 | — | 1/28/25 | (Federal Funds | Ship Healthcare | (35) |
Effective Rate US | Holdings Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
10,514 | 9,718 | — | 1/28/25 | (Federal Funds | Shun Tak Holdings | (799) |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
41,228 | 40,547 | — | 1/28/25 | (Federal Funds | Sierra Bancorp — | (240) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
9,650 | 9,729 | — | 1/28/25 | (Federal Funds | Silicon Laboratories | 76 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
11,123 | 11,188 | — | 1/28/25 | (Federal Funds | SimCorp A/S — | 61 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
12,181 | 12,252 | — | 1/28/25�� | (Federal Funds | SKF AB — Monthly | 67 |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
6,103 | 6,118 | — | 1/28/25 | (Federal Funds | SKY Perfect JSAT | 13 |
Effective Rate US | Holdings Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
34,829 | 34,289 | — | 1/28/25 | (Federal Funds | SkyWest Inc — | (549) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
23,257 | 24,045 | — | 1/28/25 | (Federal Funds | Skyworks Solutions | 865 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
14,367 | 14,459 | — | 1/28/25 | (Federal Funds | Software AG — | 91 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
PanAgora Market Neutral Fund 79 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$8,841 | $8,729 | $— | 1/28/25 | (Federal Funds | Sonae SGPS SA — | $(115) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
41,635 | 40,823 | — | 1/28/25 | (Federal Funds | Sonic Automotive | (824) |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
27,485 | 27,323 | — | 1/28/25 | (Federal Funds | Sonova Holding | (170) |
Effective Rate US | AG — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
9,006 | 8,786 | — | 1/28/25 | (Federal Funds | Sony Corp — | (221) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
38,619 | 38,727 | — | 1/28/25 | (Federal Funds | South Plains | 178 |
Effective Rate US | Financial Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
9,488 | 9,470 | — | 1/28/25 | (Federal Funds | Southwest Airlines | (20) |
Effective Rate US | Co — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
21,748 | 21,873 | — | 1/28/25 | (Federal Funds | Spectrum Brands | 273 |
Effective Rate US | Holdings Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
13,735 | 14,063 | — | 1/28/25 | (Federal Funds | Spirent | 406 |
Effective Rate US | Communications | |||||
plus 0.25%) — | PLC — Monthly | |||||
Monthly | ||||||
12,306 | 12,048 | — | 1/28/25 | (Federal Funds | Spirit AeroSystems | (262) |
Effective Rate US | Holdings Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
4,535 | 4,614 | — | 1/28/25 | (Federal Funds | St Marc Holdings Co | 78 |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
13,022 | 13,026 | — | 1/28/25 | (Federal Funds | Standard Foods | 485 |
Effective Rate US | Corp — Monthly | |||||
plus 0.35%) — | ||||||
Monthly | ||||||
20,821 | 20,533 | — | 1/28/25 | (Federal Funds | Standex | (292) |
Effective Rate US | International | |||||
plus 0.25%) — | Corp — Monthly | |||||
Monthly |
80 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$9,903 | $9,737 | $— | 1/28/25 | (Federal Funds | State Street Corp — | $(169) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
42,531 | 41,810 | — | 1/28/25 | (Federal Funds | Steelcase Inc — | (733) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
1,325 | 1,344 | — | 1/28/25 | (Federal Funds | Stone Harbor | 46 |
Effective Rate US | Emerging Markets | |||||
plus 0.25%) — | Total Income | |||||
Monthly | Fund — Monthly | |||||
10,201 | 10,093 | — | 1/28/25 | (Federal Funds | StoneX Group Inc — | (111) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
6,065 | 6,238 | — | 1/28/25 | (Federal Funds | Subaru Corp — | 171 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
6,826 | 6,840 | — | 1/28/25 | (Federal Funds | Sumitomo Chemical | 12 |
Effective Rate US | Co Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
9,009 | 8,869 | — | 1/28/25 | (Federal Funds | Sumitomo | (142) |
Effective Rate US | Dainippon Pharma | |||||
plus 0.25%) — | Co Ltd — Monthly | |||||
Monthly | ||||||
9,256 | 9,434 | — | 1/28/25 | (Federal Funds | Sumitomo Electric | 177 |
Effective Rate US | Industries Ltd — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
18,695 | 18,623 | — | 1/28/25 | (Federal Funds | Sundrug Co Ltd — | (77) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
16,612 | 16,830 | — | 1/28/25 | (Federal Funds | SunPower Corp — | 216 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
36,915 | 36,219 | — | 1/28/25 | (Federal Funds | Sunstone Hotel | (706) |
Effective Rate US | Investors Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
29,927 | 29,503 | — | 1/28/25 | (Federal Funds | Surmodics Inc — | (428) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
PanAgora Market Neutral Fund 81 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$33,239 | $33,527 | $— | 1/28/25 | (Federal Funds | Sushiro Global | $279 |
Effective Rate US | Holdings Ltd — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
24,700 | 25,027 | — | 1/28/25 | (Federal Funds | SVB Financial | 320 |
Effective Rate US | Group — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
72,912 | 72,853 | — | 1/28/25 | (Federal Funds | SVMK Inc — Monthly | (80) |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
15,274 | 15,619 | — | 1/28/25 | (Federal Funds | Sweco AB — | 341 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
34,235 | 33,552 | — | 1/28/25 | (Federal Funds | Swedish Match AB — | (694) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
20,413 | 19,798 | — | 1/28/25 | (Federal Funds | Synchrony | (444) |
Effective Rate US | Financial — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
21,283 | 21,687 | — | 1/28/25 | (Federal Funds | Synopsys Inc — | 399 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
5,629 | 5,519 | — | 1/28/25 | (Federal Funds | Syuppin Co Ltd — | (112) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
29,983 | 29,481 | — | 1/28/25 | (Federal Funds | Taiwan | (511) |
Effective Rate US | Semiconductor | |||||
plus 0.25%) — | Manufacturing Co | |||||
Monthly | Ltd — Monthly | |||||
17,612 | 17,461 | — | 1/28/25 | (Federal Funds | Take-Two | (156) |
Effective Rate US | Interactive Software | |||||
plus 0.25%) — | Inc — Monthly | |||||
Monthly | ||||||
8,253 | 8,526 | — | 1/28/25 | (Federal Funds | Tama Home Co | 271 |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
9,813 | 9,707 | — | 1/28/25 | (Federal Funds | Tapestry Inc — | (108) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
82 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$10,822 | $10,887 | $— | 1/28/25 | (Federal Funds | Target Corp — | $111 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
29,391 | 29,491 | — | 1/28/25 | (Federal Funds | Taubman Centers | 91 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
65,096 | 63,979 | — | 1/28/25 | (Federal Funds | TD Ameritrade | (619) |
Effective Rate US | Holding Corp — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
7,200 | 7,069 | — | 1/28/25 | (Federal Funds | TDK Corp — Monthly | (132) |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
11,740 | 11,882 | — | 1/28/25 | (Federal Funds | TE Connectivity | 197 |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
16,461 | 15,982 | — | 1/28/25 | (Federal Funds | Telefonaktiebolaget | (484) |
Effective Rate US | LM Ericsson — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
48,523 | 47,387 | — | 1/28/25 | (Federal Funds | Telenav Inc — | (1,153) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
11,719 | 11,719 | — | 1/28/25 | (Federal Funds | Templeton | 129 |
Effective Rate US | Emerging Markets | |||||
plus 0.25%) — | Income Fund — | |||||
Monthly | Monthly | |||||
16,691 | 16,509 | — | 1/28/25 | (Federal Funds | Tempur Sealy | (186) |
Effective Rate US | International Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
61,553 | 63,913 | — | 1/28/25 | (Federal Funds | Tenable Holdings | 2,342 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
15,671 | 17,441 | — | 1/28/25 | (Federal Funds | Tesla Inc — Monthly | 1,767 |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
38,349 | 36,957 | — | 1/28/25 | (Federal Funds | Texas Capital | (1,404) |
Effective Rate US | Bancshares Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly |
PanAgora Market Neutral Fund 83 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$49,306 | $49,573 | $— | 1/28/25 | (Federal Funds | Texas Roadhouse | $255 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
11,988 | 12,292 | — | 1/28/25 | (Federal Funds | Textainer Group | 301 |
Effective Rate US | Holdings Ltd — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
32,357 | 34,827 | — | 1/28/25 | (Federal Funds | Theravance | 2,461 |
Effective Rate US | Biopharma Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
36,230 | 36,015 | — | 1/28/25 | (Federal Funds | Tiffany & Co — | (226) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
10,435 | 10,459 | — | 1/28/25 | (Federal Funds | Timberland | 141 |
Effective Rate US | Bancorp Inc/WA — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
6,097 | 6,250 | — | 1/28/25 | (Federal Funds | Tobu Railway Co | 151 |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
8,430 | 8,452 | — | 1/28/25 | (Federal Funds | Tokyo Electron | 19 |
Effective Rate US | Device Ltd — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
36,740 | 35,631 | — | 1/28/25 | (Federal Funds | Tokyo Electron | (1,121) |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
9,160 | 9,253 | — | 1/28/25 | (Federal Funds | Tokyotokeiba Co | 133 |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
73,799 | 73,209 | — | 1/28/25 | (Federal Funds | TopBuild Corp — | (610) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
10,417 | 10,409 | — | 1/28/25 | (Federal Funds | Tosoh Corp — | (9) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
20,409 | 20,979 | — | 1/28/25 | (Federal Funds | Toyo Construction | 564 |
Effective Rate US | Co Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
84 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$29,264 | $28,419 | $— | 1/28/25 | (Federal Funds | Toyo Suisan Kaisha | $(854) |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
7,243 | 7,213 | — | 1/28/25 | (Federal Funds | Toyobo Co Ltd — | (32) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
11,297 | 11,247 | — | 1/28/25 | (Federal Funds | Trane Technologies | (53) |
Effective Rate US | PLC — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
18,464 | 18,558 | — | 1/28/25 | (Federal Funds | TransUnion — | 104 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
9,930 | 9,655 | — | 1/28/25 | (Federal Funds | TRI Pointe Group | (277) |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
46,567 | 45,467 | — | 1/28/25 | (Federal Funds | TriCo Bancshares — | (1,115) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
8,258 | 8,141 | — | 1/28/25 | (Federal Funds | TriNet Group Inc — | (118) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
15,810 | 15,814 | — | 1/28/25 | (Federal Funds | Tripod Technology | 884 |
Effective Rate US | Corp — Monthly | |||||
plus 0.35%) — | ||||||
Monthly | ||||||
4,740 | 4,696 | — | 1/28/25 | (Federal Funds | Tsubakimoto Chain | (45) |
Effective Rate US | Co — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
9,444 | 9,653 | — | 1/28/25 | (Federal Funds | Tsugami Corp — | 207 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
15,146 | 15,218 | — | 1/28/25 | (Federal Funds | Twitter Inc — | 67 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
7,099 | 7,157 | — | 1/28/25 | (Federal Funds | Ube Industries | 56 |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
PanAgora Market Neutral Fund 85 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$21,093 | $20,873 | $— | 1/28/25 | (Federal Funds | UBS AG/London — | $(220) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
52,773 | 51,753 | — | 1/28/25 | (Federal Funds | UFP Industries Inc — | (926) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
13,024 | 12,753 | — | 1/28/25 | (Federal Funds | Uni-President China | (276) |
Effective Rate US | Holdings Ltd — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
28,972 | 27,592 | — | 1/28/25 | (Federal Funds | Unimicron | (1,021) |
Effective Rate US | Technology Corp — | |||||
plus 0.35%) — | Monthly | |||||
Monthly | ||||||
8,779 | 8,704 | — | 1/28/25 | (Federal Funds | UNITED Inc/ | (77) |
Effective Rate US | Japan — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
39,290 | 39,098 | — | 1/28/25 | (Federal Funds | United Security | (206) |
Effective Rate US | Bancshares/Fresno | |||||
plus 0.25%) — | CA — Monthly | |||||
Monthly | ||||||
9,088 | 9,199 | — | 1/28/25 | (Federal Funds | United Therapeutics | 111 |
Effective Rate US | Corp — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
41,619 | 39,807 | — | 1/28/25 | (Federal Funds | Universal | (1,826) |
Effective Rate US | Electronics Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
10,298 | 10,152 | — | 1/28/25 | (Federal Funds | Universal Health | (149) |
Effective Rate US | Services Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
13,979 | 14,246 | — | 1/28/25 | (Federal Funds | Uponor Oyj — | 263 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
25,332 | 24,541 | — | 1/28/25 | (Federal Funds | Urban Edge | (795) |
Effective Rate US | Properties — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
11,340 | 11,214 | — | 1/28/25 | (Federal Funds | Valmet Oyj — | (130) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
86 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$10,696 | $10,013 | $— | 1/28/25 | (Federal Funds | ValueCommerce Co | $(646) |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
34,086 | 34,387 | — | 1/28/25 | (Federal Funds | Varian Medical | 292 |
Effective Rate US | Systems Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
22,158 | 23,146 | — | 1/28/25 | (Federal Funds | Veeva Systems Inc — | 982 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
60,171 | 58,883 | — | 1/28/25 | (Federal Funds | Veritiv Corp — | (1,298) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
28,152 | 26,944 | — | 1/28/25 | (Federal Funds | Vipshop Holdings | (1,219) |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
18,149 | 18,231 | — | 1/28/25 | (Federal Funds | Visa Inc — Monthly | 104 |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
15,694 | 15,797 | — | 1/28/25 | (Federal Funds | Volkswagen AG — | 98 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
14,100 | 13,837 | — | 1/28/25 | (Federal Funds | W R Berkley Corp — | (267) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
5,225 | 5,339 | — | 1/28/25 | (Federal Funds | Wacoal Holdings | 112 |
Effective Rate US | Corp — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
5,614 | 5,650 | — | 1/28/25 | (Federal Funds | Warabeya Nichiyo | 34 |
Effective Rate US | Holdings Co Ltd — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
29,481 | 28,288 | — | 1/28/25 | (Federal Funds | Weichai Power Co | (933) |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
18,115 | 17,720 | — | 1/28/25 | (Federal Funds | Wells Fargo C&B Mid | (395) |
Effective Rate US | Cap Value Fund — | |||||
plus 0.25%) — | Monthly | |||||
Monthly |
PanAgora Market Neutral Fund 87 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$4,369 | $4,381 | $— | 1/28/25 | (Federal Funds | Wells Fargo Multi- | $85 |
Effective Rate US | Sector Income | |||||
plus 0.25%) — | Fund — Monthly | |||||
Monthly | ||||||
19,036 | 18,250 | — | 1/28/25 | (Federal Funds | Western Alliance | (663) |
Effective Rate US | Bancorp — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
14,094 | 14,083 | — | 1/28/25 | (Federal Funds | Western Asset | 202 |
Effective Rate US | Emerging Markets | |||||
plus 0.25%) — | Debt Fund Inc — | |||||
Monthly | Monthly | |||||
14,735 | 14,802 | — | 1/28/25 | (Federal Funds | Western Asset High | 282 |
Effective Rate US | Income Fund II Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
4,029 | 4,069 | — | 1/28/25 | (Federal Funds | Western Asset | 69 |
Effective Rate US | Managed Municipals | |||||
plus 0.25%) — | Fund Inc — Monthly | |||||
Monthly | ||||||
9,660 | 9,288 | — | 1/28/25 | (Federal Funds | Westports Holdings | (244) |
Effective Rate US | Bhd — Monthly | |||||
plus 0.75%) — | ||||||
Monthly | ||||||
30,303 | 29,349 | — | 1/28/25 | (Federal Funds | Westwood Holdings | (962) |
Effective Rate US | Group Inc — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
9,648 | 9,586 | — | 1/28/25 | (Federal Funds | Will Group Inc — | (64) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
20,281 | 20,785 | — | 1/28/25 | (Federal Funds | William Hill PLC — | 504 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
8,748 | 8,425 | — | 1/28/25 | (Federal Funds | Williams-Sonoma | (326) |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
39,262 | 39,256 | — | 1/28/25 | (Federal Funds | Willis Towers | (18) |
Effective Rate US | Watson PLC — | |||||
plus 0.25%) — | Monthly | |||||
Monthly | ||||||
12,565 | 13,903 | — | 1/28/25 | (Federal Funds | Workday Inc — | 1,336 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
88 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$14,546 | $15,249 | $— | 1/28/25 | (Federal Funds | WPP PLC — Monthly | $704 |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
21,979 | 22,038 | — | 1/28/25 | (Federal Funds | Wright Medical | 51 |
Effective Rate US | Group NV — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
30,728 | 31,106 | — | 1/28/25 | (Federal Funds | WuXi AppTec Co | 370 |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
11,237 | 11,328 | — | 1/28/25 | (Federal Funds | WW Grainger Inc — | 136 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
30,087 | 31,635 | — | 1/28/25 | (Federal Funds | X4 Pharmaceuticals | 1,539 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
2,709 | 2,732 | — | 1/28/25 | (Federal Funds | XAI Octagon | 76 |
Effective Rate US | Floating Rate | |||||
plus 0.25%) — | Alternative Income | |||||
Monthly | Term Trust — | |||||
Monthly | ||||||
9,798 | 9,675 | — | 1/28/25 | (Federal Funds | Xerox Holdings | (125) |
Effective Rate US | Corp — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
23,544 | 23,644 | — | 1/28/25 | (Federal Funds | Xilinx Inc — Monthly | 179 |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
9,323 | 9,466 | — | 1/28/25 | (Federal Funds | Yamaha Motor Co | 142 |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
13,633 | 13,700 | — | 1/28/25 | (Federal Funds | Yara International | 64 |
Effective Rate US | ASA — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
6,505 | 6,545 | — | 1/28/25 | (Federal Funds | Yokogawa Electric | 38 |
Effective Rate US | Corp — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
15,688 | 15,277 | — | 1/28/25 | (Federal Funds | Yuexiu Property Co | (415) |
Effective Rate US | Ltd — Monthly | |||||
plus 0.25%) — | ||||||
Monthly |
PanAgora Market Neutral Fund 89 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$11,529 | $11,450 | $— | 1/28/25 | (Federal Funds | Yuhan Corp — | $(83) |
Effective Rate US | Monthly | |||||
plus 0.35%) — | ||||||
Monthly | ||||||
13,956 | 13,959 | — | 1/28/25 | (Federal Funds | Yulon Nissan Motor | 1,082 |
Effective Rate US | Co Ltd — Monthly | |||||
plus 0.35%) — | ||||||
Monthly | ||||||
16,174 | 16,909 | — | 1/28/25 | (Federal Funds | Yum China Holdings | 730 |
Effective Rate US | Inc — Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
10,868 | 10,650 | — | 1/28/25 | (Federal Funds | Z Holdings Corp — | (219) |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
9,855 | 9,892 | — | 1/28/25 | (Federal Funds | Zillow Group Inc — | 37 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
13,799 | 14,746 | — | 1/28/25 | (Federal Funds | Zogenix Inc — | 942 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
17,559 | 16,821 | — | 1/28/25 | (Federal Funds | Zoomlion Heavy | (743) |
Effective Rate US | Industry Science | |||||
plus 0.25%) — | and Technology Co | |||||
Monthly | Ltd — Monthly | |||||
9,436 | 9,747 | — | 1/28/25 | (Federal Funds | Zscaler Inc — | 308 |
Effective Rate US | Monthly | |||||
plus 0.25%) — | ||||||
Monthly | ||||||
12,275 | 12,220 | — | 1/28/25 | (Federal Funds | ZTE Corp — Monthly | 60 |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
5,646 | 5,912 | — | 1/28/25 | (Federal Funds | Zuora Inc — Monthly | 263 |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
8,415 | 8,480 | — | 1/28/25 | (Federal Funds | Zynga Inc — Monthly | 66 |
Effective Rate US | ||||||
plus 0.25%) — | ||||||
Monthly | ||||||
8,311 | 7,731 | — | 1/28/25 | Federal Funds | 22nd Century Group | 535 |
Effective Rate US | Inc — Monthly | |||||
minus 5.19% — | ||||||
Monthly |
90 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$17,620 | $18,874 | $— | 1/28/25 | Federal Funds | 2U Inc — Monthly | $(1,254) |
Effective Rate US | ||||||
minus 0.23% — | ||||||
Monthly | ||||||
15,171 | 15,685 | — | 1/28/25 | Federal Funds | 3D Systems Corp — | (522) |
Effective Rate US | Monthly | |||||
minus 0.64% — | ||||||
Monthly | ||||||
33,858 | 34,650 | — | 1/28/25 | Federal Funds | 89bio Inc — Monthly | (817) |
Effective Rate US | ||||||
minus 1.44% — | ||||||
Monthly | ||||||
12,852 | 12,619 | — | 1/28/25 | Federal Funds | AAC Technologies | 223 |
Effective Rate US | Holdings Inc — | |||||
minus 0.88% — | Monthly | |||||
Monthly | ||||||
33,276 | 32,732 | — | 1/28/25 | Federal Funds | Abbott | 433 |
Effective Rate US | Laboratories — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
18,102 | 19,545 | — | 1/28/25 | Federal Funds | ABLBio Inc — | (1,447) |
Effective Rate US | Monthly | |||||
minus 0.40% — | ||||||
Monthly | ||||||
10,349 | 10,201 | — | 1/28/25 | Federal Funds | Acacia Research | 145 |
Effective Rate US | Corp — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
22,257 | 22,905 | — | 1/28/25 | Federal Funds | Acceleron Pharma | (651) |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
14,434 | 14,315 | — | 1/28/25 | Federal Funds | Accton Technology | (296) |
Effective Rate US | Corp — Monthly | |||||
minus 3.00% — | ||||||
Monthly | ||||||
15,840 | 16,639 | — | 1/28/25 | Federal Funds | AcelRx | (888) |
Effective Rate US | Pharmaceuticals | |||||
minus 7.00% — | Inc — Monthly | |||||
Monthly | ||||||
18,142 | 18,303 | — | 1/28/25 | Federal Funds | Acer Inc — Monthly | (776) |
Effective Rate US | ||||||
minus 0.75% — | ||||||
Monthly | ||||||
27,875 | 27,703 | — | 1/28/25 | Federal Funds | Acushnet Holdings | 173 |
Effective Rate US | Corp — Monthly | |||||
minus 0.23% — | ||||||
Monthly |
PanAgora Market Neutral Fund 91 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$6,772 | $7,307 | $— | 1/28/25 | Federal Funds | Adbri Ltd — Monthly | $(537) |
Effective Rate US | ||||||
minus 0.45% — | ||||||
Monthly | ||||||
8,828 | 8,853 | — | 1/28/25 | Federal Funds | ADO Properties | (30) |
Effective Rate US | SA — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
14,729 | 14,471 | — | 1/28/25 | Federal Funds | Advantech Co Ltd — | (94) |
Effective Rate US | Monthly | |||||
minus 1.25% — | ||||||
Monthly | ||||||
17,279 | 17,582 | — | 1/28/25 | Federal Funds | AECOM — Monthly | (303) |
Effective Rate US | ||||||
minus 0.23% — | ||||||
Monthly | ||||||
22,268 | 22,303 | — | 1/28/25 | Federal Funds | Aegion Corp — | (37) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
8,701 | 8,191 | — | 1/28/25 | Federal Funds | AerCap Holdings | 510 |
Effective Rate US | NV — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
5,702 | 5,674 | — | 1/28/25 | Federal Funds | AGC Inc/Japan — | (84) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
13,550 | 14,550 | — | 1/28/25 | Federal Funds | Agile Therapeutics | (1,022) |
Effective Rate US | Inc — Monthly | |||||
minus 2.58% — | ||||||
Monthly | ||||||
7,582 | 7,495 | — | 1/28/25 | Federal Funds | Agree Realty Corp — | 87 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
5,539 | 15,810 | — | 1/28/25 | Federal Funds | Aimmune | (10,273) |
Effective Rate US | Therapeutics Inc — | |||||
minus 0.74% — | Monthly | |||||
Monthly | ||||||
34,869 | 34,597 | — | 1/28/25 | Federal Funds | Air Transport | 268 |
Effective Rate US | Services Group | |||||
minus 0.23% — | Inc — Monthly | |||||
Monthly | ||||||
6,716 | 6,490 | — | 1/28/25 | Federal Funds | Airbus SE — Monthly | 226 |
Effective Rate US | ||||||
minus 0.30% — | ||||||
Monthly |
92 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$14,595 | $22,667 | $— | 1/28/25 | Federal Funds | Akcea Therapeutics | $(8,087) |
Effective Rate US | Inc — Monthly | |||||
minus 0.99% — | ||||||
Monthly | ||||||
35,344 | 34,432 | — | 1/28/25 | Federal Funds | Akoustis | 534 |
Effective Rate US | Technologies Inc — | |||||
minus 12.29% — | Monthly | |||||
Monthly | ||||||
13,122 | 12,774 | — | 1/28/25 | Federal Funds | Alibaba Pictures | 339 |
Effective Rate US | Group Ltd — | |||||
minus 0.88% — | Monthly | |||||
Monthly | ||||||
6,798 | 6,898 | — | 1/28/25 | Federal Funds | Allakos Inc — | (103) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
8,103 | 7,959 | — | 1/28/25 | Federal Funds | Alps Alpine Co Ltd — | 143 |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
2,062 | 2,209 | — | 1/28/25 | Federal Funds | Altisource Portfolio | (147) |
Effective Rate US | Solutions SA — | |||||
minus 0.59% — | Monthly | |||||
Monthly | ||||||
8,456 | 9,054 | — | 1/28/25 | Federal Funds | AMA Group Ltd — | (599) |
Effective Rate US | Monthly | |||||
minus 0.45% — | ||||||
Monthly | ||||||
3,820 | 3,880 | — | 1/28/25 | Federal Funds | Amarin Corp PLC — | (62) |
Effective Rate US | Monthly | |||||
minus 0.69% — | ||||||
Monthly | ||||||
7,786 | 7,755 | — | 1/28/25 | Federal Funds | Ambac Financial | 30 |
Effective Rate US | Group Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
6,049 | 5,998 | — | 1/28/25 | Federal Funds | Ambu A/S — | 50 |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
7,774 | 7,798 | — | 1/28/25 | Federal Funds | Amerant Bancorp | (24) |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
14,179 | 14,196 | — | 1/28/25 | Federal Funds | AMERCO — Monthly | (17) |
Effective Rate US | ||||||
minus 0.23% — | ||||||
Monthly |
PanAgora Market Neutral Fund 93 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$24,486 | $24,041 | $— | 1/28/25 | Federal Funds | American | $444 |
Effective Rate US | International Group | |||||
minus 0.23% — | Inc — Monthly | |||||
Monthly | ||||||
4,804 | 4,999 | — | 1/28/25 | Federal Funds | ANA Holdings Inc — | (206) |
Effective Rate US | Monthly | |||||
minus 6.50% — | ||||||
Monthly | ||||||
64,639 | 63,466 | — | 1/28/25 | Federal Funds | Analog Devices | 829 |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
17,020 | 16,844 | — | 1/28/25 | Federal Funds | Anaplan Inc — | 175 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
5,164 | 5,206 | — | 1/28/25 | Federal Funds | ANI | (43) |
Effective Rate US | Pharmaceuticals | |||||
minus 0.23% — | Inc — Monthly | |||||
Monthly | ||||||
20,886 | 21,388 | — | 1/28/25 | Federal Funds | Anika Therapeutics | (504) |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
41,113 | 41,198 | — | 1/28/25 | Federal Funds | Aon Plc — Monthly | (180) |
Effective Rate US | ||||||
minus 0.23% — | ||||||
Monthly | ||||||
33,670 | 35,948 | — | 1/28/25 | Federal Funds | Appian Corp — | (2,363) |
Effective Rate US | Monthly | |||||
minus 2.69% — | ||||||
Monthly | ||||||
14,355 | 14,238 | — | 1/28/25 | Federal Funds | Ares Management | 114 |
Effective Rate US | Corp — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
12,383 | 12,597 | — | 1/28/25 | Federal Funds | Artiza Networks | (292) |
Effective Rate US | Inc — Monthly | |||||
minus 3.75% — | ||||||
Monthly | ||||||
11,518 | 11,877 | — | 1/28/25 | Federal Funds | Asahi Intecc Co | (377) |
Effective Rate US | Ltd — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
18,606 | 20,004 | — | 1/28/25 | Federal Funds | Ascendis Pharma | (1,401) |
Effective Rate US | A/S — Monthly | |||||
minus 0.23% — | ||||||
Monthly |
94 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$12,049 | $11,601 | $— | 1/28/25 | Federal Funds | Aselsan Elektronik | $340 |
Effective Rate US | Sanayi Ve Ticaret | |||||
minus 6.50% — | AS — Monthly | |||||
Monthly | ||||||
19,370 | 19,227 | — | 1/28/25 | Federal Funds | ASOS PLC — | 143 |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
7,223 | 7,173 | — | 1/28/25 | Federal Funds | Assetmark Financial | 50 |
Effective Rate US | Holdings Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
6,934 | 6,996 | — | 1/28/25 | Federal Funds | Associated Capital | (62) |
Effective Rate US | Group Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
18,545 | 17,975 | — | 1/28/25 | Federal Funds | Assured Guaranty | 451 |
Effective Rate US | Ltd — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
833 | 851 | — | 1/28/25 | Federal Funds | Aston Martin | (18) |
Effective Rate US | Lagonda Global | |||||
minus 9.63% — | Holdings PLC — | |||||
Monthly | Monthly | |||||
7,700 | 7,636 | — | 1/28/25 | Federal Funds | Asukanet Co Ltd — | 15 |
Effective Rate US | Monthly | |||||
minus 6.88% — | ||||||
Monthly | ||||||
4,929 | 5,088 | — | 1/28/25 | Federal Funds | Asure Software | (159) |
Effective Rate US | Inc — Monthly | |||||
minus 1.64% — | ||||||
Monthly | ||||||
26,640 | 25,563 | — | 1/28/25 | Federal Funds | Atlantic Union | 799 |
Effective Rate US | Bankshares Corp — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
12,316 | 12,746 | — | 1/28/25 | Federal Funds | Atom Corp — | (454) |
Effective Rate US | Monthly | |||||
minus 2.63% — | ||||||
Monthly | ||||||
8,379 | 7,945 | — | 1/28/25 | Federal Funds | Atrium Ljungberg | 433 |
Effective Rate US | AB — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
18,959 | 18,520 | — | 1/28/25 | Federal Funds | AU Optronics | 421 |
Effective Rate US | Corp — Monthly | |||||
minus 1.38% — | ||||||
Monthly |
PanAgora Market Neutral Fund 95 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$8,824 | $8,768 | $— | 1/28/25 | Federal Funds | Auburn National | $56 |
Effective Rate US | BanCorp Inc — | |||||
minus 10.04% — | Monthly | |||||
Monthly | ||||||
7,129 | 7,326 | — | 1/28/25 | Federal Funds | Audinate Group | (283) |
Effective Rate US | Ltd — Monthly | |||||
minus 13.63% — | ||||||
Monthly | ||||||
501 | 463 | — | 1/28/25 | Federal Funds | AusGroup Ltd — | 34 |
Effective Rate US | Monthly | |||||
minus 10.25% — | ||||||
Monthly | ||||||
2,353 | 2,511 | — | 1/28/25 | Federal Funds | Autonomous | (191) |
Effective Rate US | Control Systems | |||||
minus 19.13% — | Laboratory Ltd — | |||||
Monthly | Monthly | |||||
27,070 | 27,241 | — | 1/28/25 | Federal Funds | AVEO | (217) |
Effective Rate US | Pharmaceuticals | |||||
minus 3.79% — | Inc — Monthly | |||||
Monthly | ||||||
30,537 | 30,601 | — | 1/28/25 | Federal Funds | AviChina Industry | (279) |
Effective Rate US | & Technology Co | |||||
minus 0.40% — | Ltd — Monthly | |||||
Monthly | ||||||
7,693 | 7,593 | — | 1/28/25 | Federal Funds | Avid Bioservices | 99 |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
4,232 | 4,844 | — | 1/28/25 | Federal Funds | Avita Therapeutics | (612) |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
30,822 | 30,047 | — | 1/28/25 | Federal Funds | Axonics Modulation | 756 |
Effective Rate US | Technologies Inc — | |||||
minus 0.59% — | Monthly | |||||
Monthly | ||||||
38,287 | 38,561 | — | 1/28/25 | Federal Funds | AXT Inc — Monthly | (277) |
Effective Rate US | ||||||
minus 0.23% — | ||||||
Monthly | ||||||
15,429 | 15,372 | — | 1/28/25 | Federal Funds | B Riley Financial | (146) |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
5,438 | 5,408 | — | 1/28/25 | Federal Funds | B&M European | (31) |
Effective Rate US | Value Retail SA — | |||||
minus 0.30% — | Monthly | |||||
Monthly |
96 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$14,740 | $15,091 | $— | 1/28/25 | Federal Funds | Bakkafrost P/F — | $(354) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
34,914 | 33,926 | — | 1/28/25 | Federal Funds | Banc of California | 984 |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
27,859 | 27,394 | — | 1/28/25 | Federal Funds | Bank First Corp — | 395 |
Effective Rate US | Monthly | |||||
minus 2.99% — | ||||||
Monthly | ||||||
18,585 | 17,943 | — | 1/28/25 | Federal Funds | Bank of Hawaii | 422 |
Effective Rate US | Corp — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
21,086 | 20,883 | — | 1/28/25 | Federal Funds | Bank of Princeton/ | 93 |
Effective Rate US | The — Monthly | |||||
minus 0.59% — | ||||||
Monthly | ||||||
26,645 | 26,645 | — | 1/28/25 | Federal Funds | Bankwell Financial | (242) |
Effective Rate US | Group Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
19,173 | 19,062 | — | 1/28/25 | Federal Funds | Baozun Inc — | 91 |
Effective Rate US | Monthly | |||||
minus 1.19% — | ||||||
Monthly | ||||||
21,268 | 21,091 | — | 1/28/25 | Federal Funds | Bar Harbor | (57) |
Effective Rate US | Bankshares — | |||||
minus 0.84% — | Monthly | |||||
Monthly | ||||||
34,419 | 33,594 | — | 1/28/25 | Federal Funds | Barings BDC Inc — | 825 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
17,032 | 16,825 | — | 1/28/25 | Federal Funds | BBMG Corp — | 150 |
Effective Rate US | Monthly | |||||
minus 2.75% — | ||||||
Monthly | ||||||
25,330 | 25,502 | — | 1/28/25 | Federal Funds | BCB Bancorp Inc — | (497) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
16,520 | 16,266 | — | 1/28/25 | Federal Funds | Becton Dickinson | 254 |
Effective Rate US | and Co — Monthly | |||||
minus 0.23% — | ||||||
Monthly |
PanAgora Market Neutral Fund 97 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$14,716 | $14,495 | $— | 1/28/25 | Federal Funds | Berkshire Hills | $219 |
Effective Rate US | Bancorp Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
11,758 | 11,413 | — | 1/28/25 | Federal Funds | Berli Jucker PCL — | 276 |
Effective Rate US | Monthly | |||||
minus 1.50% — | ||||||
Monthly | ||||||
10,208 | 9,452 | — | 1/28/25 | Federal Funds | BEST Inc — Monthly | 754 |
Effective Rate US | ||||||
minus 0.23% — | ||||||
Monthly | ||||||
14,585 | 18,148 | — | 1/28/25 | Federal Funds | Beyondspring Inc — | (3,629) |
Effective Rate US | Monthly | |||||
minus 3.99% — | ||||||
Monthly | ||||||
8,619 | 8,581 | — | 1/28/25 | Federal Funds | Bilfinger SE — | 27 |
Effective Rate US | Monthly | |||||
minus 1.75% — | ||||||
Monthly | ||||||
18,025 | 17,265 | — | 1/28/25 | Federal Funds | BIM Birlesik | 749 |
Effective Rate US | Magazalar AS — | |||||
minus 0.75% — | Monthly | |||||
Monthly | ||||||
7,708 | 7,928 | — | 1/28/25 | Federal Funds | Biocartis Group | (323) |
Effective Rate US | NV — Monthly | |||||
minus 21.00% — | ||||||
Monthly | ||||||
9,518 | 9,303 | — | 1/28/25 | Federal Funds | Blackmores Ltd — | 203 |
Effective Rate US | Monthly | |||||
minus 1.50% — | ||||||
Monthly | ||||||
9,527 | 9,411 | — | 1/28/25 | Federal Funds | Blue Bird Corp — | 116 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
11,184 | 12,848 | — | 1/28/25 | Federal Funds | Blue Prism Group | (1,664) |
Effective Rate US | PLC — Monthly | |||||
minus 2.75% — | ||||||
Monthly | ||||||
31,298 | 30,727 | — | 1/28/25 | Federal Funds | BlueLinx Holdings | 555 |
Effective Rate US | Inc — Monthly | |||||
minus 0.79% — | ||||||
Monthly | ||||||
8,023 | 8,274 | — | 1/28/25 | Federal Funds | BMO Commercial | (281) |
Effective Rate US | Property Trust Ltd — | |||||
minus 0.30% — | Monthly | |||||
Monthly |
98 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$15,504 | $15,292 | $— | 1/28/25 | Federal Funds | Boeing Co/The — | $210 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
13,947 | 13,698 | — | 1/28/25 | Federal Funds | BOK Financial | 123 |
Effective Rate US | Corp — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
70,066 | 69,774 | — | 1/28/25 | Federal Funds | BorgWarner Inc — | (7) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
19,248 | 17,908 | — | 1/28/25 | Federal Funds | Boston Omaha | 1,338 |
Effective Rate US | Corp — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
10,717 | 10,492 | — | 1/28/25 | Federal Funds | Braskem SA — | 199 |
Effective Rate US | Monthly | |||||
minus 1.00% — | ||||||
Monthly | ||||||
24,276 | 24,075 | — | 1/28/25 | Federal Funds | Bright Horizons | 199 |
Effective Rate US | Family Solutions | |||||
minus 0.23% — | Inc — Monthly | |||||
Monthly | ||||||
9,220 | 9,198 | — | 1/28/25 | Federal Funds | BrightView Holdings | 21 |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
21,793 | 21,572 | — | 1/28/25 | Federal Funds | Broadridge | 219 |
Effective Rate US | Financial Solutions | |||||
minus 0.23% — | Inc — Monthly | |||||
Monthly | ||||||
4,078 | 4,003 | — | 1/28/25 | Federal Funds | Brookline Bancorp | 27 |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
8,344 | 8,582 | — | 1/28/25 | Federal Funds | Brunello Cucinelli | (239) |
Effective Rate US | SpA — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
19,262 | 17,979 | — | 1/28/25 | Federal Funds | Bukwang | 1,261 |
Effective Rate US | Pharmaceutical Co | |||||
minus 1.25% — | Ltd — Monthly | |||||
Monthly | ||||||
10,083 | 10,028 | — | 1/28/25 | Federal Funds | Business First | 55 |
Effective Rate US | Bancshares Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly |
PanAgora Market Neutral Fund 99 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$13,659 | $13,736 | $— | 1/28/25 | Federal Funds | BWX Technologies | $(167) |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
21,196 | 20,452 | — | 1/28/25 | Federal Funds | Byline Bancorp | 742 |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
50,475 | 48,830 | — | 1/28/25 | Federal Funds | Cadence BanCorp — | 1,383 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
27,268 | 24,929 | — | 1/28/25 | Federal Funds | Cal-Maine Foods | 2,336 |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
53,608 | 54,737 | — | 1/28/25 | Federal Funds | Callaway Golf Co — | (1,133) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
24,833 | 24,648 | — | 1/28/25 | Federal Funds | Capitol Federal | (42) |
Effective Rate US | Financial Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
18,117 | 18,585 | — | 1/28/25 | Federal Funds | Cara Therapeutics | (473) |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
5,696 | 5,385 | — | 1/28/25 | Federal Funds | Cardlytics Inc — | 310 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
19,592 | 18,996 | — | 1/28/25 | Federal Funds | Carlyle Group Inc/ | 440 |
Effective Rate US | The — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
24,930 | 25,022 | — | 1/28/25 | Federal Funds | CarMax Inc — | (93) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
25,812 | 25,489 | — | 1/28/25 | Federal Funds | Carter Bank & | 322 |
Effective Rate US | Trust — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
20,476 | 20,631 | — | 1/28/25 | Federal Funds | Casey’s General | (193) |
Effective Rate US | Stores Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly |
100 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$10,581 | $10,417 | $— | 1/28/25 | Federal Funds | Cass Information | $165 |
Effective Rate US | Systems Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
24,623 | 25,349 | — | 1/28/25 | Federal Funds | Cassava Sciences | (894) |
Effective Rate US | Inc — Monthly | |||||
minus 7.01% — | ||||||
Monthly | ||||||
25,436 | 26,825 | — | 1/28/25 | Federal Funds | Catalent Inc — | (1,392) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
17,491 | 17,362 | — | 1/28/25 | Federal Funds | Caterpillar Inc — | 129 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
17,424 | 17,951 | — | 1/28/25 | Federal Funds | CCC SA — Monthly | (629) |
Effective Rate US | ||||||
minus 5.50% — | ||||||
Monthly | ||||||
56,923 | 53,172 | — | 1/28/25 | Federal Funds | Celsius Holdings | 3,696 |
Effective Rate US | Inc — Monthly | |||||
minus 0.99% — | ||||||
Monthly | ||||||
16,269 | 15,315 | — | 1/28/25 | Federal Funds | Cemex SAB de CV — | 952 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
16,030 | 16,250 | — | 1/28/25 | Federal Funds | Centene Corp — | (222) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
23,670 | 22,934 | — | 1/28/25 | Federal Funds | Center Laboratories | 285 |
Effective Rate US | Inc — Monthly | |||||
minus 3.38% — | ||||||
Monthly | ||||||
4,999 | 5,065 | — | 1/28/25 | Federal Funds | Ceragon Networks | (68) |
Effective Rate US | Ltd — Monthly | |||||
minus 0.64% — | ||||||
Monthly | ||||||
9,479 | 9,453 | — | 1/28/25 | Federal Funds | Ceres Power | 26 |
Effective Rate US | Holdings PLC — | |||||
minus 0.75% — | Monthly | |||||
Monthly | ||||||
22,164 | 22,902 | — | 1/28/25 | Federal Funds | Ceridian HCM | (739) |
Effective Rate US | Holding Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly |
PanAgora Market Neutral Fund 101 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$10,121 | $10,125 | $— | 1/28/25 | Federal Funds | CH Robinson | $(5) |
Effective Rate US | Worldwide Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
65,160 | 64,167 | — | 1/28/25 | Federal Funds | Charles Schwab | 661 |
Effective Rate US | Corp/The — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
19,034 | 20,672 | — | 1/28/25 | Federal Funds | Chembio | (1,805) |
Effective Rate US | Diagnostics Inc — | |||||
minus 11.47% — | Monthly | |||||
Monthly | ||||||
13,980 | 13,496 | — | 1/28/25 | Federal Funds | Cheng Shin Rubber | 103 |
Effective Rate US | Industry Co Ltd — | |||||
minus 0.75% — | Monthly | |||||
Monthly | ||||||
10,860 | 10,664 | — | 1/28/25 | Federal Funds | China | (432) |
Effective Rate US | Communications | |||||
minus 0.40% — | Construction Co | |||||
Monthly | Ltd — Monthly | |||||
13,818 | 14,038 | — | 1/28/25 | Federal Funds | China Eastern | (465) |
Effective Rate US | Airlines Corp Ltd — | |||||
minus 0.40% — | Monthly | |||||
Monthly | ||||||
24,077 | 23,354 | — | 1/28/25 | Federal Funds | China Evergrande | 696 |
Effective Rate US | Group — Monthly | |||||
minus 1.25% — | ||||||
Monthly | ||||||
18,452 | 19,664 | — | 1/28/25 | Federal Funds | China Mengniu Dairy | (1,217) |
Effective Rate US | Co Ltd — Monthly | |||||
minus 0.40% — | ||||||
Monthly | ||||||
13,342 | 13,006 | — | 1/28/25 | Federal Funds | China Resources | 332 |
Effective Rate US | Beer Holdings Co | |||||
minus 0.40% — | Ltd — Monthly | |||||
Monthly | ||||||
17,503 | 17,943 | — | 1/28/25 | Federal Funds | China Southern | (457) |
Effective Rate US | Airlines Co Ltd — | |||||
minus 1.38% — | Monthly | |||||
Monthly | ||||||
14,566 | 14,521 | — | 1/28/25 | Federal Funds | China Traditional | 41 |
Effective Rate US | Chinese Medicine | |||||
minus 0.40% — | Holdings Co Ltd — | |||||
Monthly | Monthly | |||||
7,834 | 8,107 | — | 1/28/25 | Federal Funds | Chiyoda Corp — | (296) |
Effective Rate US | Monthly | |||||
minus 3.50% — | ||||||
Monthly |
102 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$21,488 | $21,816 | $— | 1/28/25 | Federal Funds | Chr Hansen Holding | $(331) |
Effective Rate US | A/S — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
15,329 | 14,956 | — | 1/28/25 | Federal Funds | Cia Cervecerias | 372 |
Effective Rate US | Unidas SA — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
22,767 | 22,767 | — | 1/28/25 | Federal Funds | CIM Commercial | (3) |
Effective Rate US | Trust Corp — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
7,752 | 7,666 | — | 1/28/25 | Federal Funds | CIMIC Group Ltd — | 84 |
Effective Rate US | Monthly | |||||
minus 0.45% — | ||||||
Monthly | ||||||
2,981 | 2,965 | — | 1/28/25 | Federal Funds | CIRCOR | 16 |
Effective Rate US | International Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
4,227 | 4,131 | — | 1/28/25 | Federal Funds | CIT Group Inc — | 97 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
21,294 | 21,219 | — | 1/28/25 | Federal Funds | Citizens & Northern | 73 |
Effective Rate US | Corp — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
6,702 | 6,510 | — | 1/28/25 | Federal Funds | CJ CheilJedang | 190 |
Effective Rate US | Corp — Monthly | |||||
minus 0.40% — | ||||||
Monthly | ||||||
9,714 | 9,820 | — | 1/28/25 | Federal Funds | CJ Logistics Corp — | (118) |
Effective Rate US | Monthly | |||||
minus 1.50% — | ||||||
Monthly | ||||||
13,935 | 13,544 | — | 1/28/25 | Federal Funds | CNA Financial | 234 |
Effective Rate US | Corp — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
11,219 | 11,685 | — | 1/28/25 | Federal Funds | Coca-Cola Bottlers | (467) |
Effective Rate US | Japan Holdings | |||||
minus 0.30% — | Inc — Monthly | |||||
Monthly | ||||||
15,392 | 15,164 | — | 1/28/25 | Federal Funds | Cochlear Ltd — | 227 |
Effective Rate US | Monthly | |||||
minus 0.45% — | ||||||
Monthly |
PanAgora Market Neutral Fund 103 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$16,475 | $15,815 | $— | 1/28/25 | Federal Funds | Cogna Educacao — | $530 |
Effective Rate US | Monthly | |||||
minus 4.13% — | ||||||
Monthly | ||||||
15,456 | 16,052 | — | 1/28/25 | Federal Funds | Cognex Corp — | (611) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
10,739 | 11,030 | — | 1/28/25 | Federal Funds | Coloplast A/S — | (294) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
4,141 | 4,065 | — | 1/28/25 | Federal Funds | Columbia Financial | 75 |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
27,633 | 27,257 | — | 1/28/25 | Federal Funds | Community Bank | 373 |
Effective Rate US | System Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
10,341 | 10,433 | — | 1/28/25 | Federal Funds | Companhia | (103) |
Effective Rate US | Brasileira de | |||||
minus 1.00% — | Distribuicao — | |||||
Monthly | Monthly | |||||
23,574 | 24,569 | — | 1/28/25 | Federal Funds | Compugen Ltd — | (1,054) |
Effective Rate US | Monthly | |||||
minus 3.29% — | ||||||
Monthly | ||||||
39,624 | 39,493 | — | 1/28/25 | Federal Funds | ConnectOne | (108) |
Effective Rate US | Bancorp Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
24,682 | 24,836 | — | 1/28/25 | Federal Funds | Cooper Cos Inc/ | (157) |
Effective Rate US | The — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
10,984 | 12,633 | — | 1/28/25 | Federal Funds | Copro-Holdings Co | (1,672) |
Effective Rate US | Ltd — Monthly | |||||
minus 2.75% — | ||||||
Monthly | ||||||
35,284 | 38,273 | — | 1/28/25 | Federal Funds | Corbus | (3,021) |
Effective Rate US | Pharmaceuticals | |||||
minus 1.29% — | Holdings Inc — | |||||
Monthly | Monthly | |||||
4,630 | 4,600 | — | 1/28/25 | Federal Funds | CorMedix Inc — | (25) |
Effective Rate US | Monthly | |||||
minus 11.16% — | ||||||
Monthly |
104 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$21,155 | $21,194 | $— | 1/28/25 | Federal Funds | Cortexyme Inc — | $(95) |
Effective Rate US | Monthly | |||||
minus 2.99% — | ||||||
Monthly | ||||||
17,046 | 17,690 | — | 1/28/25 | Federal Funds | COSCO SHIPPING | (649) |
Effective Rate US | Ports Ltd — Monthly | |||||
minus 0.40% — | ||||||
Monthly | ||||||
14,792 | 12,378 | — | 1/28/25 | Federal Funds | Credit Acceptance | 2,404 |
Effective Rate US | Corp — Monthly | |||||
minus 0.84% — | ||||||
Monthly | ||||||
14,703 | 14,892 | — | 1/28/25 | Federal Funds | Cree Inc — Monthly | (190) |
Effective Rate US | ||||||
minus 0.23% — | ||||||
Monthly | ||||||
8,521 | 8,758 | — | 1/28/25 | Federal Funds | Cronos Group Inc — | (275) |
Effective Rate US | Monthly | |||||
minus 3.99% — | ||||||
Monthly | ||||||
7,299 | 7,190 | — | 1/28/25 | Federal Funds | CrossFirst | 108 |
Effective Rate US | Bankshares Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
60,794 | 62,914 | — | 1/28/25 | Federal Funds | CryoPort Inc — | (2,139) |
Effective Rate US | Monthly | |||||
minus 0.59% — | ||||||
Monthly | ||||||
9,077 | 8,942 | — | 1/28/25 | Federal Funds | CStone | 94 |
Effective Rate US | Pharmaceuticals — | |||||
minus 5.00% — | Monthly | |||||
Monthly | ||||||
29,678 | 29,237 | — | 1/28/25 | Federal Funds | Cubic Corp — | 354 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
37,864 | 37,992 | — | 1/28/25 | Federal Funds | Cue Biopharma | (132) |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
17,191 | 17,087 | — | 1/28/25 | Federal Funds | Curtiss-Wright | 104 |
Effective Rate US | Corp — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
8,708 | 8,619 | — | 1/28/25 | Federal Funds | CyberArk Software | 88 |
Effective Rate US | Ltd — Monthly | |||||
minus 0.23% — | ||||||
Monthly |
PanAgora Market Neutral Fund 105 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$11,724 | $13,454 | $— | 1/28/25 | Federal Funds | CYBERDYNE Inc — | $(1,789) |
Effective Rate US | Monthly | |||||
minus 6.00% — | ||||||
Monthly | ||||||
24,846 | 25,683 | — | 1/28/25 | Federal Funds | CytoSorbents | (848) |
Effective Rate US | Corp — Monthly | |||||
minus 0.64% — | ||||||
Monthly | ||||||
13,307 | 13,077 | — | 1/28/25 | Federal Funds | Daiwa House REIT | (24) |
Effective Rate US | Investment Corp — | |||||
minus 0.30% — | Monthly | |||||
Monthly | ||||||
20,047 | 20,260 | — | 1/28/25 | Federal Funds | Davide Campari- | (217) |
Effective Rate US | Milano NV — | |||||
minus 0.30% — | Monthly | |||||
Monthly | ||||||
2,079 | 2,119 | — | 1/28/25 | Federal Funds | DBV Technologies | (55) |
Effective Rate US | SA — Monthly | |||||
minus 4.63% — | ||||||
Monthly | ||||||
17,025 | 17,081 | — | 1/28/25 | Federal Funds | Delivery Hero SE — | (58) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
30,029 | 31,784 | — | 1/28/25 | Federal Funds | Dell Technologies | (1,759) |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
6,906 | 7,050 | — | 1/28/25 | Federal Funds | Denali Therapeutics | (145) |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
5,167 | 5,257 | — | 1/28/25 | Federal Funds | Dentsu Group Inc — | (179) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
18,767 | 18,756 | — | 1/28/25 | Federal Funds | Direct Line | (1,347) |
Effective Rate US | Insurance Group | |||||
minus 0.30% — | PLC — Monthly | |||||
Monthly | ||||||
40,171 | 40,397 | — | 1/28/25 | Federal Funds | Dorman Products | (231) |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
16,535 | 16,018 | — | 1/28/25 | Federal Funds | DS Smith PLC — | 517 |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly |
106 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$9,306 | $10,641 | $— | 1/28/25 | Federal Funds | Dycom Industries | $(1,337) |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
51,682 | 51,881 | — | 1/28/25 | Federal Funds | DZS Inc — Monthly | (199) |
Effective Rate US | ||||||
minus 0.23% — | ||||||
Monthly | ||||||
22,352 | 21,873 | — | 1/28/25 | Federal Funds | Eagle Bancorp Inc — | 309 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
11,882 | 12,350 | — | 1/28/25 | Federal Funds | Eagle Bulk Shipping | (499) |
Effective Rate US | Inc — Monthly | |||||
minus 2.88% — | ||||||
Monthly | ||||||
4,176 | 4,363 | — | 1/28/25 | Federal Funds | East Japan Railway | (188) |
Effective Rate US | Co — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
40,333 | 40,142 | — | 1/28/25 | Federal Funds | Ebix Inc — Monthly | 187 |
Effective Rate US | ||||||
minus 0.23% — | ||||||
Monthly | ||||||
36,279 | 37,132 | — | 1/28/25 | Federal Funds | Editas Medicine | (857) |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
13,509 | 14,861 | — | 1/28/25 | Federal Funds | Edulab Inc — | (1,479) |
Effective Rate US | Monthly | |||||
minus 13.88% — | ||||||
Monthly | ||||||
10,019 | 9,985 | — | 1/28/25 | Federal Funds | El Puerto de | 21 |
Effective Rate US | Liverpool SAB de | |||||
minus 1.63% — | CV — Monthly | |||||
Monthly | ||||||
9,746 | 9,858 | — | 1/28/25 | Federal Funds | Embraer SA — | (113) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
38,010 | 39,495 | — | 1/28/25 | Federal Funds | Energy Recovery | (1,489) |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
36,798 | 36,275 | — | 1/28/25 | Federal Funds | Enerpac Tool Group | 519 |
Effective Rate US | Corp — Monthly | |||||
minus 0.23% — | ||||||
Monthly |
PanAgora Market Neutral Fund 107 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$17,451 | $17,777 | $— | 1/28/25 | Federal Funds | Envista Holdings | $(326) |
Effective Rate US | Corp — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
17,616 | 17,837 | — | 1/28/25 | Federal Funds | Equifax Inc — | (263) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
16,284 | 16,345 | — | 1/28/25 | Federal Funds | Equity Bancshares | (64) |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
24,531 | 24,759 | — | 1/28/25 | Federal Funds | Erie Indemnity Co — | (232) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
16,597 | 17,799 | — | 1/28/25 | Federal Funds | Eros International | (1,272) |
Effective Rate US | PLC — Monthly | |||||
minus 2.94% — | ||||||
Monthly | ||||||
4,114 | 4,368 | — | 1/28/25 | Federal Funds | Esperion | (314) |
Effective Rate US | Therapeutics Inc — | |||||
minus 13.34% — | Monthly | |||||
Monthly | ||||||
42,703 | 41,310 | — | 1/28/25 | Federal Funds | Ethan Allen Interiors | 1,388 |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
28,687 | 33,618 | — | 1/28/25 | Federal Funds | Eton | (5,154) |
Effective Rate US | Pharmaceuticals | |||||
minus 10.64% — | Inc — Monthly | |||||
Monthly | ||||||
8,793 | 8,951 | — | 1/28/25 | Federal Funds | euglena Co Ltd — | (188) |
Effective Rate US | Monthly | |||||
minus 4.50% — | ||||||
Monthly | ||||||
16,539 | 16,831 | — | 1/28/25 | Federal Funds | Eurofins Scientific | (294) |
Effective Rate US | SE — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
881 | 903 | — | 1/28/25 | Federal Funds | Eventbrite Inc — | (22) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
34,656 | 34,114 | — | 1/28/25 | Federal Funds | EVI Industries Inc — | 452 |
Effective Rate US | Monthly | |||||
minus 3.14% — | ||||||
Monthly |
108 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$44,084 | $44,675 | $— | 1/28/25 | Federal Funds | Evo Payments Inc — | $(595) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
25,344 | 27,679 | — | 1/28/25 | Federal Funds | Evofem Biosciences | (2,429) |
Effective Rate US | Inc — Monthly | |||||
minus 4.68% — | ||||||
Monthly | ||||||
8,487 | 9,469 | — | 1/28/25 | Federal Funds | Evolus Inc — | (1,221) |
Effective Rate US | Monthly | |||||
minus 31.67% — | ||||||
Monthly | ||||||
34,728 | 33,493 | — | 1/28/25 | Federal Funds | EW Scripps Co/ | 1,231 |
Effective Rate US | The — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
8,362 | 8,508 | — | 1/28/25 | Federal Funds | Exact Sciences | (147) |
Effective Rate US | Corp — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
2,844 | 3,458 | — | 1/28/25 | Federal Funds | ExOne Co/The — | (614) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
18,573 | 18,722 | — | 1/28/25 | Federal Funds | Experian PLC — | (149) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
7,250 | 7,550 | — | 1/28/25 | Federal Funds | FACC AG — Monthly | (333) |
Effective Rate US | ||||||
minus 5.50% — | ||||||
Monthly | ||||||
21,725 | 21,820 | — | 1/28/25 | Federal Funds | Farfetch Ltd — | (97) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
31,987 | 32,130 | — | 1/28/25 | Federal Funds | FB Financial Corp — | (253) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
12,219 | 12,861 | — | 1/28/25 | Federal Funds | FDK Corp — Monthly | (670) |
Effective Rate US | ||||||
minus 4.00% — | ||||||
Monthly | ||||||
8,787 | 8,637 | — | 1/28/25 | Federal Funds | Fidelity D&D | 150 |
Effective Rate US | Bancorp Inc — | |||||
minus 2.99% — | Monthly | |||||
Monthly |
PanAgora Market Neutral Fund 109 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$18,446 | $18,404 | $— | 1/28/25 | Federal Funds | Fidelity National | $41 |
Effective Rate US | Information | |||||
minus 0.23% — | Services Inc — | |||||
Monthly | Monthly | |||||
7,652 | 7,703 | — | 1/28/25 | Federal Funds | Fila SpA — Monthly | (58) |
Effective Rate US | ||||||
minus 0.88% — | ||||||
Monthly | ||||||
20,720 | 21,280 | — | 1/28/25 | Federal Funds | First Bancorp Inc/ | (563) |
Effective Rate US | The — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
39,444 | 38,442 | — | 1/28/25 | Federal Funds | First Bank/Hamilton | 881 |
Effective Rate US | NJ — Monthly | |||||
minus 0.84% — | ||||||
Monthly | ||||||
8,928 | 8,733 | — | 1/28/25 | Federal Funds | First Capital Inc — | 195 |
Effective Rate US | Monthly | |||||
minus 3.39% — | ||||||
Monthly | ||||||
32,074 | 31,741 | — | 1/28/25 | Federal Funds | Five Below Inc — | 331 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
24,434 | 25,152 | — | 1/28/25 | Federal Funds | Flex Ltd — Monthly | (721) |
Effective Rate US | ||||||
minus 0.23% — | ||||||
Monthly | ||||||
9,141 | 9,478 | — | 1/28/25 | Federal Funds | Flughafen Zurich | (338) |
Effective Rate US | AG — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
21,076 | 21,017 | — | 1/28/25 | Federal Funds | Flutter | 59 |
Effective Rate US | Entertainment | |||||
minus 0.30% — | PLC — Monthly | |||||
Monthly | ||||||
10,788 | 10,849 | — | 1/28/25 | Federal Funds | Fomento | (192) |
Effective Rate US | Economico | |||||
minus 0.23% — | Mexicano SAB de | |||||
Monthly | CV — Monthly | |||||
11,840 | 11,554 | — | 1/28/25 | Federal Funds | Formosa Chemicals | (361) |
Effective Rate US | & Fibre Corp — | |||||
minus 0.40% — | Monthly | |||||
Monthly | ||||||
8,783 | 8,707 | — | 1/28/25 | Federal Funds | Formosa Plastics | (417) |
Effective Rate US | Corp — Monthly | |||||
minus 0.75% — | ||||||
Monthly |
110 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$42,300 | $41,534 | $— | 1/28/25 | Federal Funds | Fox Factory Holding | $763 |
Effective Rate US | Corp — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
22,546 | 22,239 | — | 1/28/25 | Federal Funds | Franklin Resources | 304 |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
8,715 | 9,108 | — | 1/28/25 | Federal Funds | Fraport AG Frankfurt | (396) |
Effective Rate US | Airport Services | |||||
minus 2.75% — | Worldwide — | |||||
Monthly | Monthly | |||||
19,491 | 19,922 | — | 1/28/25 | Federal Funds | Frasers Group PLC — | (430) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
8,278 | 8,379 | — | 1/28/25 | Federal Funds | Freni Brembo SpA — | (102) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
55,365 | 57,141 | — | 1/28/25 | Federal Funds | Freshpet Inc — | (1,781) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
7,337 | 7,223 | — | 1/28/25 | Federal Funds | Fronteo Inc — | 64 |
Effective Rate US | Monthly | |||||
minus 8.88% — | ||||||
Monthly | ||||||
13,866 | 14,757 | — | 1/28/25 | Federal Funds | Frontier | (964) |
Effective Rate US | Management Inc — | |||||
minus 7.88% — | Monthly | |||||
Monthly | ||||||
17,280 | 17,588 | — | 1/28/25 | Federal Funds | FUCHS PETROLUB | (309) |
Effective Rate US | SE — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
15,055 | 15,909 | — | 1/28/25 | Federal Funds | Fuji Kyuko Co Ltd — | (867) |
Effective Rate US | Monthly | |||||
minus 1.13% — | ||||||
Monthly | ||||||
7,057 | 7,427 | — | 1/28/25 | Federal Funds | Fujio Food Group | (396) |
Effective Rate US | Inc — Monthly | |||||
minus 4.38% — | ||||||
Monthly | ||||||
12,023 | 11,590 | — | 1/28/25 | Federal Funds | Furuya Metal Co | 186 |
Effective Rate US | Ltd — Monthly | |||||
minus 9.13% — | ||||||
Monthly |
PanAgora Market Neutral Fund 111 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$9,723 | $9,454 | $— | 1/28/25 | Federal Funds | FVCBankcorp Inc — | $264 |
Effective Rate US | Monthly | |||||
minus 0.84% — | ||||||
Monthly | ||||||
31,193 | 29,842 | — | 1/28/25 | Federal Funds | Galectin | 1,115 |
Effective Rate US | Therapeutics Inc — | |||||
minus 9.09% — | Monthly | |||||
Monthly | ||||||
19,673 | 20,582 | — | 1/28/25 | Federal Funds | Games Workshop | (975) |
Effective Rate US | Group PLC — | |||||
minus 0.30% — | Monthly | |||||
Monthly | ||||||
9,248 | 9,426 | — | 1/28/25 | Federal Funds | GCP Student Living | (274) |
Effective Rate US | PLC — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
23,429 | 24,003 | — | 1/28/25 | Federal Funds | Genco Shipping | (648) |
Effective Rate US | & Trading Ltd — | |||||
minus 0.59% — | Monthly | |||||
Monthly | ||||||
25,153 | 24,643 | — | 1/28/25 | Federal Funds | General Dynamics | 325 |
Effective Rate US | Corp — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
9,188 | 9,758 | — | 1/28/25 | Federal Funds | Genky DrugStores | (607) |
Effective Rate US | Co Ltd — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
18,939 | 18,939 | — | 1/28/25 | Federal Funds | Genpact Ltd — | (2) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
28,712 | 28,860 | — | 1/28/25 | Federal Funds | Genting Plantations | (147) |
Effective Rate US | Bhd — Monthly | |||||
minus 4.75% — | ||||||
Monthly | ||||||
18,659 | 18,342 | — | 1/28/25 | Federal Funds | German American | 192 |
Effective Rate US | Bancorp Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
31,610 | 34,286 | — | 1/28/25 | Federal Funds | Geron Corp — | (2,698) |
Effective Rate US | Monthly | |||||
minus 0.89% — | ||||||
Monthly | ||||||
7,166 | 7,357 | — | 1/28/25 | Federal Funds | Glenveagh | (193) |
Effective Rate US | Properties PLC — | |||||
minus 0.30% — | Monthly | |||||
Monthly |
112 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$29,559 | $29,656 | $— | 1/28/25 | Federal Funds | Globant SA — | $(100) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
12,253 | 11,877 | — | 1/28/25 | Federal Funds | Globe Life Inc — | 324 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
13,416 | 13,018 | — | 1/28/25 | Federal Funds | GMO Payment | 390 |
Effective Rate US | Gateway Inc — | |||||
minus 0.75% — | Monthly | |||||
Monthly | ||||||
18,200 | 18,235 | — | 1/28/25 | Federal Funds | Go-Ahead Group | (35) |
Effective Rate US | PLC/The — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
31,016 | 29,933 | — | 1/28/25 | Federal Funds | GOME Retail | 843 |
Effective Rate US | Holdings Ltd — | |||||
minus 10.25% — | Monthly | |||||
Monthly | ||||||
5,927 | 6,227 | — | 1/28/25 | Federal Funds | Gossamer Bio Inc — | (301) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
26,597 | 26,286 | — | 1/28/25 | Federal Funds | Granite | 308 |
Effective Rate US | Construction Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
18,774 | 17,900 | — | 1/28/25 | Federal Funds | Great Western | 859 |
Effective Rate US | Bancorp Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
14,183 | 15,793 | — | 1/28/25 | Federal Funds | Greentown China | (2,122) |
Effective Rate US | Holdings Ltd — | |||||
minus 0.40% — | Monthly | |||||
Monthly | ||||||
21 | 20 | — | 1/28/25 | Federal Funds | Greentown | 1 |
Effective Rate US | Management | |||||
minus 0.40% — | Holdings Co Ltd — | |||||
Monthly | Monthly | |||||
23,690 | 24,201 | — | 1/28/25 | Federal Funds | Greentown Service | (518) |
Effective Rate US | Group Co Ltd — | |||||
minus 0.40% — | Monthly | |||||
Monthly | ||||||
6,190 | 6,328 | — | 1/28/25 | Federal Funds | Griffin Industrial | (138) |
Effective Rate US | Realty Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly |
PanAgora Market Neutral Fund 113 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$41,765 | $39,614 | $— | 1/28/25 | Federal Funds | Griffon Corp — | $2,010 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
11,266 | 10,158 | — | 1/28/25 | Federal Funds | Growthpoint | 1,100 |
Effective Rate US | Properties Ltd — | |||||
minus 0.90% — | Monthly | |||||
Monthly | ||||||
13,674 | 13,740 | — | 1/28/25 | Federal Funds | Grupo Televisa | (67) |
Effective Rate US | SAB — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
2,852 | 3,063 | — | 1/28/25 | Federal Funds | GTY Technology | (211) |
Effective Rate US | Holdings Inc — | |||||
minus 0.81% — | Monthly | |||||
Monthly | ||||||
11,449 | 11,300 | — | 1/28/25 | Federal Funds | Guangshen Railway | (346) |
Effective Rate US | Co Ltd — Monthly | |||||
minus 0.40% — | ||||||
Monthly | ||||||
7,020 | 7,069 | — | 1/28/25 | Federal Funds | GW | (53) |
Effective Rate US | Pharmaceuticals | |||||
minus 0.64% — | PLC — Monthly | |||||
Monthly | ||||||
26,818 | 27,183 | — | 1/28/25 | Federal Funds | Hain Celestial Group | (368) |
Effective Rate US | Inc/The — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
8,902 | 9,164 | — | 1/28/25 | Federal Funds | Hamborner REIT | (264) |
Effective Rate US | AG — Monthly | |||||
minus 0.63% — | ||||||
Monthly | ||||||
14,340 | 14,140 | — | 1/28/25 | Federal Funds | Hanjaya Mandala | 125 |
Effective Rate US | Sampoerna Tbk | |||||
minus 5.88% — | PT — Monthly | |||||
Monthly | ||||||
22,830 | 22,453 | — | 1/28/25 | Federal Funds | Hanmi Financial | 187 |
Effective Rate US | Corp — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
8,017 | 8,385 | — | 1/28/25 | Federal Funds | Harvey Norman | (374) |
Effective Rate US | Holdings Ltd — | |||||
minus 0.75% — | Monthly | |||||
Monthly | ||||||
17,427 | 17,051 | — | 1/28/25 | Federal Funds | Hasbro Inc — | 376 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly |
114 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$11,856 | $11,450 | $— | 1/28/25 | Federal Funds | Hawthorn | $405 |
Effective Rate US | Bancshares Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
36,860 | 37,040 | — | 1/28/25 | Federal Funds | Helios Technologies | (184) |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
17,172 | 17,271 | — | 1/28/25 | Federal Funds | Hella GmbH & Co | (101) |
Effective Rate US | KGaA — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
6,092 | 6,343 | — | 1/28/25 | Federal Funds | Helloworld Travel | (283) |
Effective Rate US | Ltd — Monthly | |||||
minus 0.45% — | ||||||
Monthly | ||||||
7,871 | 7,884 | — | 1/28/25 | Federal Funds | Henderson Land | (15) |
Effective Rate US | Development Co | |||||
minus 0.40% — | Ltd — Monthly | |||||
Monthly | ||||||
6,971 | 7,279 | — | 1/28/25 | Federal Funds | Heroz Inc — Monthly | (418) |
Effective Rate US | ||||||
minus 20.88% — | ||||||
Monthly | ||||||
13,643 | 13,956 | — | 1/28/25 | Federal Funds | Hexagon | (352) |
Effective Rate US | Composites ASA — | |||||
minus 3.63% — | Monthly | |||||
Monthly | ||||||
3,036 | 2,922 | — | 1/28/25 | Federal Funds | HF Foods Group | 75 |
Effective Rate US | Inc — Monthly | |||||
minus 9.64% — | ||||||
Monthly | ||||||
18,604 | 18,977 | — | 1/28/25 | Federal Funds | Highwealth | (388) |
Effective Rate US | Construction | |||||
minus 1.13% — | Corp — Monthly | |||||
Monthly | ||||||
3,325 | 3,333 | — | 1/28/25 | Federal Funds | Hitachi Ltd — | (9) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
18,618 | 18,341 | — | 1/28/25 | Federal Funds | HLB Inc — Monthly | 153 |
Effective Rate US | ||||||
minus 6.63% — | ||||||
Monthly | ||||||
9,768 | 9,758 | — | 1/28/25 | Federal Funds | Homology | 8 |
Effective Rate US | Medicines Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly |
PanAgora Market Neutral Fund 115 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$23,511 | $25,741 | $— | 1/28/25 | Federal Funds | Hong Kong | $(2,461) |
Effective Rate US | Television Network | |||||
minus 14.50% — | Ltd — Monthly | |||||
Monthly | ||||||
28,595 | 29,703 | — | 1/28/25 | Federal Funds | Hooker Furniture | (1,109) |
Effective Rate US | Corp — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
22,386 | 22,021 | — | 1/28/25 | Federal Funds | Hope Bancorp Inc — | (2) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
19,344 | 19,219 | — | 1/28/25 | Federal Funds | Hormel Foods | 34 |
Effective Rate US | Corp — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
45,086 | 44,876 | — | 1/28/25 | Federal Funds | Hostess Brands | 205 |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
8,168 | 8,412 | — | 1/28/25 | Federal Funds | House Do Co Ltd — | (451) |
Effective Rate US | Monthly | |||||
minus 8.13% — | ||||||
Monthly | ||||||
15,384 | 15,790 | — | 1/28/25 | Federal Funds | Huazhu Group Ltd — | (407) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
8,133 | 8,118 | — | 1/28/25 | Federal Funds | Hufvudstaden AB — | 15 |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
16,904 | 17,329 | — | 1/28/25 | Federal Funds | Hulic Co Ltd — | (737) |
Effective Rate US | Monthly | |||||
minus 0.33% — | ||||||
Monthly | ||||||
5,101 | 4,947 | — | 1/28/25 | Federal Funds | Hyundai Heavy | 154 |
Effective Rate US | Industries Holdings | |||||
minus 0.40% — | Co Ltd — Monthly | |||||
Monthly | ||||||
5,879 | 5,826 | — | 1/28/25 | Federal Funds | I’rom Group Co | 21 |
Effective Rate US | Ltd — Monthly | |||||
minus 6.38% — | ||||||
Monthly | ||||||
43,154 | 42,923 | — | 1/28/25 | Federal Funds | I3 Verticals Inc — | 228 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly |
116 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$12,960 | $12,911 | $— | 1/28/25 | Federal Funds | ICF International | $48 |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
46,283 | 46,320 | — | 1/28/25 | Federal Funds | Ichor Holdings Ltd — | (43) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
8,652 | 8,606 | — | 1/28/25 | Federal Funds | IDEA Consultants | 35 |
Effective Rate US | Inc — Monthly | |||||
minus 1.63% — | ||||||
Monthly | ||||||
27,040 | 27,374 | — | 1/28/25 | Federal Funds | IDEXX Laboratories | (336) |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
21,096 | 23,377 | — | 1/28/25 | Federal Funds | IGNIS Ltd — Monthly | (2,373) |
Effective Rate US | ||||||
minus 8.38% — | ||||||
Monthly | ||||||
23,430 | 23,337 | — | 1/28/25 | Federal Funds | IHS Markit Ltd — | 55 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
32,536 | 33,111 | — | 1/28/25 | Federal Funds | Immunovant Inc — | (577) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
55,672 | 54,684 | — | 1/28/25 | Federal Funds | Independent | 688 |
Effective Rate US | Bank Group Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
14,943 | 14,737 | — | 1/28/25 | Federal Funds | Industries Qatar | 168 |
Effective Rate US | QSC — Monthly | |||||
minus 3.50% — | ||||||
Monthly | ||||||
17,257 | 17,144 | — | 1/28/25 | Federal Funds | Ingersoll Rand Inc — | 110 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
7,601 | 7,508 | — | 1/28/25 | Federal Funds | Innovative Industrial | 93 |
Effective Rate US | Properties Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
4,734 | 4,754 | — | 1/28/25 | Federal Funds | Innoviva Inc — | (21) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly |
PanAgora Market Neutral Fund 117 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$28,531 | $29,722 | $— | 1/28/25 | Federal Funds | Inseego Corp — | $(1,920) |
Effective Rate US | Monthly | |||||
minus 25.44% — | ||||||
Monthly | ||||||
2,642 | 2,832 | — | 1/28/25 | Federal Funds | Inspec Inc — | (229) |
Effective Rate US | Monthly | |||||
minus 17.00% — | ||||||
Monthly | ||||||
16,158 | 16,525 | — | 1/28/25 | Federal Funds | Intellicheck Inc — | (408) |
Effective Rate US | Monthly | |||||
minus 3.29% — | ||||||
Monthly | ||||||
20,902 | 21,321 | — | 1/28/25 | Federal Funds | InterContinental | (418) |
Effective Rate US | Hotels Group PLC — | |||||
minus 0.30% — | Monthly | |||||
Monthly | ||||||
2,407 | 2,334 | — | 1/28/25 | Federal Funds | Intercure Ltd — | 13 |
Effective Rate US | Monthly | |||||
minus 32.63% — | ||||||
Monthly | ||||||
27,423 | 27,128 | — | 1/28/25 | Federal Funds | International | (67) |
Effective Rate US | Business Machines | |||||
minus 0.23% — | Corp — Monthly | |||||
Monthly | ||||||
22,019 | 20,757 | — | 1/28/25 | Federal Funds | Invesco Ltd — | 1,050 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
9,375 | 9,153 | — | 1/28/25 | Federal Funds | Investar Holding | 103 |
Effective Rate US | Corp — Monthly | |||||
minus 1.24% — | ||||||
Monthly | ||||||
10,926 | 11,572 | — | 1/28/25 | Federal Funds | Invitae Corp — | (650) |
Effective Rate US | Monthly | |||||
minus 0.59% — | ||||||
Monthly | ||||||
17,444 | 19,898 | — | 1/28/25 | Federal Funds | Iovance | (2,454) |
Effective Rate US | Biotherapeutics | |||||
minus 0.23% — | Inc — Monthly | |||||
Monthly | ||||||
7,027 | 7,393 | — | 1/28/25 | Federal Funds | Iriso Electronics Co | (367) |
Effective Rate US | Ltd — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
12,295 | 12,682 | — | 1/28/25 | Federal Funds | Isetan Mitsukoshi | (388) |
Effective Rate US | Holdings Ltd — | |||||
minus 0.30% — | Monthly | |||||
Monthly |
118 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$179,240 | $180,553 | $— | 1/28/25 | Federal Funds | iShares MSCI Saudi | $(1,368) |
Effective Rate US | Arabia ETF — | |||||
minus 0.64% — | Monthly | |||||
Monthly | ||||||
15,549 | 15,339 | — | 1/28/25 | Federal Funds | iStar Inc — Monthly | 73 |
Effective Rate US | ||||||
minus 0.23% — | ||||||
Monthly | ||||||
7,736 | 7,487 | — | 1/28/25 | Federal Funds | ITM Power PLC — | 249 |
Effective Rate US | Monthly | |||||
minus 7.75% — | ||||||
Monthly | ||||||
4,918 | 4,820 | — | 1/28/25 | Federal Funds | Itokuro Inc — | 49 |
Effective Rate US | Monthly | |||||
minus 11.38% — | ||||||
Monthly | ||||||
24,426 | 24,276 | — | 1/28/25 | Federal Funds | J M Smucker Co/ | (35) |
Effective Rate US | The — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
9,741 | 9,774 | — | 1/28/25 | Federal Funds | J Sainsbury PLC — | (33) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
53,268 | 51,233 | — | 1/28/25 | Federal Funds | J2 Global Inc — | 2,031 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
26,635 | 26,991 | — | 1/28/25 | Federal Funds | Jacobs Engineering | (416) |
Effective Rate US | Group Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
11,045 | 10,801 | — | 1/28/25 | Federal Funds | James Hardie | 241 |
Effective Rate US | Industries PLC — | |||||
minus 0.50% — | Monthly | |||||
Monthly | ||||||
16,619 | 16,548 | — | 1/28/25 | Federal Funds | Jardine Matheson | (106) |
Effective Rate US | Holdings Ltd — | |||||
minus 0.35% — | Monthly | |||||
Monthly | ||||||
2,338 | 2,387 | — | 1/28/25 | Federal Funds | JG Summit Holdings | (49) |
Effective Rate US | Inc — Monthly | |||||
minus 2.50% — | ||||||
Monthly | ||||||
13,987 | 14,116 | — | 1/28/25 | Federal Funds | Jinxin Fertility | (258) |
Effective Rate US | Group Ltd — | |||||
minus 3.50% — | Monthly | |||||
Monthly |
PanAgora Market Neutral Fund 119 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$9,397 | $9,328 | $— | 1/28/25 | Federal Funds | John Bean | $58 |
Effective Rate US | Technologies | |||||
minus 0.23% — | Corp — Monthly | |||||
Monthly | ||||||
13,024 | 12,483 | — | 1/28/25 | Federal Funds | Jollibee Foods | 541 |
Effective Rate US | Corp — Monthly | |||||
minus 5.00% — | ||||||
Monthly | ||||||
5,366 | 5,413 | — | 1/28/25 | Federal Funds | JTEKT Corp — | (48) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
13,871 | 14,070 | — | 1/28/25 | Federal Funds | Jumia Technologies | (315) |
Effective Rate US | AG — Monthly | |||||
minus 5.64% — | ||||||
Monthly | ||||||
3,640 | 3,636 | — | 1/28/25 | Federal Funds | Juventus Football | (22) |
Effective Rate US | Club SpA — Monthly | |||||
minus 8.50% — | ||||||
Monthly | ||||||
12,950 | 13,346 | — | 1/28/25 | Federal Funds | Kakaku.com Inc — | (396) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
18,901 | 19,073 | — | 1/28/25 | Federal Funds | Kala | (189) |
Effective Rate US | Pharmaceuticals | |||||
minus 0.99% — | Inc — Monthly | |||||
Monthly | ||||||
21,687 | 21,599 | — | 1/28/25 | Federal Funds | Kaman Corp — | 87 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
12,884 | 12,688 | — | 1/28/25 | Federal Funds | Kearny Financial | 195 |
Effective Rate US | Corp/MD — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
5,753 | 5,975 | — | 1/28/25 | Federal Funds | Keikyu Corp — | (221) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
30,499 | 30,397 | — | 1/28/25 | Federal Funds | Keurig Dr Pepper | 99 |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
7,541 | 7,493 | — | 1/28/25 | Federal Funds | KeyHolder Inc — | (48) |
Effective Rate US | Monthly | |||||
minus 14.63% — | ||||||
Monthly |
120 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$48,568 | $50,992 | $— | 1/28/25 | Federal Funds | Kingdee | $(2,438) |
Effective Rate US | International | |||||
minus 0.40% — | Software Group Co | |||||
Monthly | Ltd — Monthly | |||||
17,090 | 16,064 | — | 1/28/25 | Federal Funds | Kingsoft Corp Ltd — | 1,022 |
Effective Rate US | Monthly | |||||
minus 0.40% — | ||||||
Monthly | ||||||
22,071 | 22,324 | — | 1/28/25 | Federal Funds | Kingspan Group | (256) |
Effective Rate US | PLC — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
30,649 | 30,276 | — | 1/28/25 | Federal Funds | Knight-Swift | 370 |
Effective Rate US | Transportation | |||||
minus 0.23% — | Holdings Inc — | |||||
Monthly | Monthly | |||||
14,407 | 14,613 | — | 1/28/25 | Federal Funds | Knorr-Bremse AG — | (208) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
8,920 | 8,639 | — | 1/28/25 | Federal Funds | Koei Chemical Co | 275 |
Effective Rate US | Ltd — Monthly | |||||
minus 0.88% — | ||||||
Monthly | ||||||
9,154 | 9,460 | — | 1/28/25 | Federal Funds | Komax Holding | (339) |
Effective Rate US | AG — Monthly | |||||
minus 4.00% — | ||||||
Monthly | ||||||
14,196 | 14,255 | — | 1/28/25 | Federal Funds | Komipharm | (95) |
Effective Rate US | International Co | |||||
minus 2.63% — | Ltd — Monthly | |||||
Monthly | ||||||
49,838 | 48,244 | — | 1/28/25 | Federal Funds | Kontoor Brands | 1,591 |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
22,254 | 22,604 | — | 1/28/25 | Federal Funds | Kornit Digital Ltd — | (352) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
29,395 | 29,305 | — | 1/28/25 | Federal Funds | Kratos Defense & | 87 |
Effective Rate US | Security Solutions | |||||
minus 0.23% — | Inc — Monthly | |||||
Monthly | ||||||
5,621 | 5,881 | — | 1/28/25 | Federal Funds | Krystal Biotech | (261) |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly |
PanAgora Market Neutral Fund 121 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$6,297 | $6,038 | $— | 1/28/25 | Federal Funds | Kudan Inc — | $139 |
Effective Rate US | Monthly | |||||
minus 20.38% — | ||||||
Monthly | ||||||
14,951 | 14,615 | — | 1/28/25 | Federal Funds | Kumiai Chemical | 333 |
Effective Rate US | Industry Co Ltd — | |||||
minus 0.30% — | Monthly | |||||
Monthly | ||||||
7,076 | 7,171 | — | 1/28/25 | Federal Funds | Kuraray Co Ltd — | (232) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
58,813 | 62,752 | — | 1/28/25 | Federal Funds | Lands’ End Inc — | (3,943) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
3,571 | 3,640 | — | 1/28/25 | Federal Funds | Lannett Co Inc — | (69) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
11,901 | 11,812 | — | 1/28/25 | Federal Funds | LDC SA — Monthly | (71) |
Effective Rate US | ||||||
minus 2.75% — | ||||||
Monthly | ||||||
15,680 | 15,833 | — | 1/28/25 | Federal Funds | LEC Inc — Monthly | (162) |
Effective Rate US | ||||||
minus 0.75% — | ||||||
Monthly | ||||||
20,989 | 20,867 | — | 1/28/25 | Federal Funds | Liberty Broadband | 120 |
Effective Rate US | Corp — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
9,425 | 10,091 | — | 1/28/25 | Federal Funds | Lifestyle | (669) |
Effective Rate US | International | |||||
minus 0.40% — | Holdings Ltd — | |||||
Monthly | Monthly | |||||
42,242 | 41,271 | — | 1/28/25 | Federal Funds | Lindsay Corp — | 835 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
4,763 | 5,028 | — | 1/28/25 | Federal Funds | Link And Motivation | (319) |
Effective Rate US | Inc — Monthly | |||||
minus 7.25% — | ||||||
Monthly | ||||||
27,444 | 27,307 | — | 1/28/25 | Federal Funds | Littelfuse Inc — | 62 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly |
122 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$24,736 | $24,538 | $— | 1/28/25 | Federal Funds | Live Nation | $198 |
Effective Rate US | Entertainment Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
46,277 | 50,726 | — | 1/28/25 | Federal Funds | Live Oak Bancshares | (4,452) |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
28,509 | 29,093 | — | 1/28/25 | Federal Funds | LiveRamp Holdings | (587) |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
28,044 | 28,253 | — | 1/28/25 | Federal Funds | LiveXLive Media | (294) |
Effective Rate US | Inc — Monthly | |||||
minus 2.79% — | ||||||
Monthly | ||||||
10,417 | 11,047 | — | 1/28/25 | Federal Funds | LIXIL Group Corp — | (631) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
20,781 | 20,261 | — | 1/28/25 | Federal Funds | Loews Corp — | 483 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
14,219 | 14,203 | — | 1/28/25 | Federal Funds | Lotte Shopping Co | 11 |
Effective Rate US | Ltd — Monthly | |||||
minus 0.40% — | ||||||
Monthly | ||||||
12,599 | 12,288 | — | 1/28/25 | Federal Funds | M&T Bank Corp — | 179 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
5,906 | 5,747 | — | 1/28/25 | Federal Funds | Mack-Cali Realty | 159 |
Effective Rate US | Corp — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
50,480 | 50,381 | — | 1/28/25 | Federal Funds | MACOM Technology | 93 |
Effective Rate US | Solutions Holdings | |||||
minus 0.23% — | Inc — Monthly | |||||
Monthly | ||||||
20,555 | 20,172 | — | 1/28/25 | Federal Funds | Madison Square | 381 |
Effective Rate US | Garden Sports | |||||
minus 0.23% — | Corp — Monthly | |||||
Monthly | ||||||
9,507 | 9,630 | — | 1/28/25 | Federal Funds | Maeda Kosen Co | (141) |
Effective Rate US | Ltd — Monthly | |||||
minus 2.25% — | ||||||
Monthly |
PanAgora Market Neutral Fund 123 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$17,130 | $16,533 | $— | 1/28/25 | Federal Funds | Magnit — Monthly | $591 |
Effective Rate US | ||||||
minus 0.50% — | ||||||
Monthly | ||||||
19,869 | 19,837 | — | 1/28/25 | Federal Funds | Mail.Ru Group Ltd — | 26 |
Effective Rate US | Monthly | |||||
minus 0.50% — | ||||||
Monthly | ||||||
16,330 | 16,598 | — | 1/28/25 | Federal Funds | Malvern Bancorp | (308) |
Effective Rate US | Inc — Monthly | |||||
minus 5.74% — | ||||||
Monthly | ||||||
4,955 | 5,076 | — | 1/28/25 | Federal Funds | Mani Inc — Monthly | (143) |
Effective Rate US | ||||||
minus 0.30% — | ||||||
Monthly | ||||||
28,206 | 28,870 | — | 1/28/25 | Federal Funds | MannKind Corp — | (713) |
Effective Rate US | Monthly | |||||
minus 2.77% — | ||||||
Monthly | ||||||
20,688 | 22,846 | — | 1/28/25 | Federal Funds | Marker | (2,493) |
Effective Rate US | Therapeutics Inc — | |||||
minus 17.27% — | Monthly | |||||
Monthly | ||||||
28,501 | 28,815 | — | 1/28/25 | Federal Funds | Marriott | (317) |
Effective Rate US | International Inc/ | |||||
minus 0.23% — | MD — Monthly | |||||
Monthly | ||||||
7,863 | 7,761 | — | 1/28/25 | Federal Funds | Maruwa Unyu Kikan | 80 |
Effective Rate US | Co Ltd — Monthly | |||||
minus 4.00% — | ||||||
Monthly | ||||||
16,950 | 18,304 | — | 1/28/25 | Federal Funds | Marvell Technology | (1,356) |
Effective Rate US | Group Ltd — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
33,350 | 32,285 | — | 1/28/25 | Federal Funds | MasterCraft Boat | 1,061 |
Effective Rate US | Holdings Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
13,150 | 14,922 | — | 1/28/25 | Federal Funds | Materialise NV — | (1,825) |
Effective Rate US | Monthly | |||||
minus 28.49% — | ||||||
Monthly | ||||||
8,154 | 8,235 | — | 1/28/25 | Federal Funds | Matsuya Co Ltd — | (115) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly |
124 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$8,225 | $8,103 | $— | 1/28/25 | Federal Funds | Maxar Technologies | $120 |
Effective Rate US | Inc — Monthly | |||||
minus 0.54% — | ||||||
Monthly | ||||||
17,187 | 17,295 | — | 1/28/25 | Federal Funds | McDonald’s Corp — | (209) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
10,961 | 11,145 | — | 1/28/25 | Federal Funds | McDonald’s | (183) |
Effective Rate US | Holdings Co Japan | |||||
minus 0.30% — | Ltd — Monthly | |||||
Monthly | ||||||
28,599 | 29,965 | — | 1/28/25 | Federal Funds | Medallia Inc — | (1,369) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
58,887 | 57,766 | — | 1/28/25 | Federal Funds | Medifast Inc — | 710 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
16,375 | 16,427 | — | 1/28/25 | Federal Funds | Melexis NV — | (54) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
29,638 | 29,755 | — | 1/28/25 | Federal Funds | Merchants Bancorp/ | (146) |
Effective Rate US | IN — Monthly | |||||
minus 2.09% — | ||||||
Monthly | ||||||
33,795 | 32,600 | — | 1/28/25 | Federal Funds | Metrocity | 1,145 |
Effective Rate US | Bankshares Inc — | |||||
minus 2.64% — | Monthly | |||||
Monthly | ||||||
10,777 | 11,644 | — | 1/28/25 | Federal Funds | MGM China Holdings | (886) |
Effective Rate US | Ltd — Monthly | |||||
minus 2.40% — | ||||||
Monthly | ||||||
18,932 | 18,664 | — | 1/28/25 | Federal Funds | MGP Ingredients | 203 |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
14,973 | 15,175 | — | 1/28/25 | Federal Funds | Middleby Corp/ | (203) |
Effective Rate US | The — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
22,692 | 22,280 | — | 1/28/25 | Federal Funds | Midland States | 2 |
Effective Rate US | Bancorp Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly |
PanAgora Market Neutral Fund 125 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$5,149 | $5,209 | $— | 1/28/25 | Federal Funds | MINEBEA MITSUMI | $(61) |
Effective Rate US | Inc — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
9,328 | 9,456 | — | 1/28/25 | Federal Funds | MISUMI Group Inc — | (130) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
14,085 | 15,535 | — | 1/28/25 | Federal Funds | Mitchells & Butlers | (1,450) |
Effective Rate US | PLC — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
11,602 | 12,038 | — | 1/28/25 | Federal Funds | Mitsubishi Motors | (436) |
Effective Rate US | Corp — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
3,150 | 3,121 | — | 1/28/25 | Federal Funds | MJ Gleeson PLC — | 29 |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
24,311 | 25,017 | — | 1/28/25 | Federal Funds | MongoDB Inc — | (707) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
15,539 | 15,270 | — | 1/28/25 | Federal Funds | MonotaRO Co Ltd — | 227 |
Effective Rate US | Monthly | |||||
minus 0.88% — | ||||||
Monthly | ||||||
34,459 | 34,982 | — | 1/28/25 | Federal Funds | Monro Inc — | (696) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
29,773 | 29,928 | — | 1/28/25 | Federal Funds | Motorcar Parts | (158) |
Effective Rate US | of America Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
17,584 | 17,954 | — | 1/28/25 | Federal Funds | Mowi ASA — | (373) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
14,975 | 15,114 | — | 1/28/25 | Federal Funds | MSA Safety Inc — | (193) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
16,060 | 14,667 | — | 1/28/25 | Federal Funds | MTG Co Ltd — | 1,327 |
Effective Rate US | Monthly | |||||
minus 8.88% — | ||||||
Monthly |
126 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$9,459 | $9,263 | $— | 1/28/25 | Federal Funds | MTU Aero Engines | $191 |
Effective Rate US | AG — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
21,564 | 21,099 | — | 1/28/25 | Federal Funds | NantHealth Inc — | 360 |
Effective Rate US | Monthly | |||||
minus 10.92% — | ||||||
Monthly | ||||||
7,360 | 7,075 | — | 1/28/25 | Federal Funds | Nanya Technology | 273 |
Effective Rate US | Corp — Monthly | |||||
minus 1.75% — | ||||||
Monthly | ||||||
17,845 | 17,555 | — | 1/28/25 | Federal Funds | National | 285 |
Effective Rate US | Bankshares Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
18,935 | 18,413 | — | 1/28/25 | Federal Funds | National Express | 523 |
Effective Rate US | Group PLC — | |||||
minus 0.30% — | Monthly | |||||
Monthly | ||||||
17,557 | 17,730 | — | 1/28/25 | Federal Funds | National | (173) |
Effective Rate US | Instruments Corp — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
12,346 | 11,937 | — | 1/28/25 | Federal Funds | NCR Corp — Monthly | 408 |
Effective Rate US | ||||||
minus 0.23% — | ||||||
Monthly | ||||||
13,150 | 13,410 | — | 1/28/25 | Federal Funds | nearmap Ltd — | (289) |
Effective Rate US | Monthly | |||||
minus 3.59% — | ||||||
Monthly | ||||||
38,989 | 43,030 | — | 1/28/25 | Federal Funds | Netmarble Corp — | (4,118) |
Effective Rate US | Monthly | |||||
minus 2.75% — | ||||||
Monthly | ||||||
25,459 | 25,129 | — | 1/28/25 | Federal Funds | NeuroBo | 276 |
Effective Rate US | Pharmaceuticals | |||||
minus 5.99% — | Inc — Monthly | |||||
Monthly | ||||||
27,462 | 28,243 | — | 1/28/25 | Federal Funds | NewAge Inc — | (880) |
Effective Rate US | Monthly | |||||
minus 3.77% — | ||||||
Monthly | ||||||
13,641 | 13,729 | — | 1/28/25 | Federal Funds | Nexstar Media | (90) |
Effective Rate US | Group Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly |
PanAgora Market Neutral Fund 127 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$19,729 | $19,533 | $— | 1/28/25 | Federal Funds | Next PLC — Monthly | $197 |
Effective Rate US | ||||||
minus 0.30% — | ||||||
Monthly | ||||||
9,005 | 8,650 | — | 1/28/25 | Federal Funds | Nextage Co Ltd — | 352 |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
5,990 | 6,315 | — | 1/28/25 | Federal Funds | Nexyz Group Corp — | (339) |
Effective Rate US | Monthly | |||||
minus 2.75% — | ||||||
Monthly | ||||||
17,922 | 17,469 | — | 1/28/25 | Federal Funds | Nice Ltd — Monthly | 453 |
Effective Rate US | ||||||
minus 0.23% — | ||||||
Monthly | ||||||
7,963 | 7,969 | — | 1/28/25 | Federal Funds | Nippon Densetsu | (8) |
Effective Rate US | Kogyo Co Ltd — | |||||
minus 0.30% — | Monthly | |||||
Monthly | ||||||
11,007 | 10,862 | — | 1/28/25 | Federal Funds | Nippon Rietec Co | 72 |
Effective Rate US | Ltd — Monthly | |||||
minus 7.50% — | ||||||
Monthly | ||||||
11,899 | 12,222 | — | 1/28/25 | Federal Funds | Nissan Motor Co | (324) |
Effective Rate US | Ltd — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
12,513 | 13,525 | — | 1/28/25 | Federal Funds | Nissan Shatai Co | (1,014) |
Effective Rate US | Ltd — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
21,967 | 23,137 | — | 1/28/25 | Federal Funds | NN Inc — Monthly | (1,173) |
Effective Rate US | ||||||
minus 0.25% — | ||||||
Monthly | ||||||
10,306 | 10,079 | — | 1/28/25 | Federal Funds | Nokia Oyj — Monthly | 223 |
Effective Rate US | ||||||
minus 0.23% — | ||||||
Monthly | ||||||
22,505 | 22,192 | — | 1/28/25 | Federal Funds | Nordson Corp — | 264 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
15,626 | 15,466 | — | 1/28/25 | Federal Funds | Northfield Bancorp | (18) |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly |
128 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$8,954 | $8,927 | $— | 1/28/25 | Federal Funds | Northwest | $26 |
Effective Rate US | Bancshares Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
17,963 | 17,573 | — | 1/28/25 | Federal Funds | Norwood Financial | 386 |
Effective Rate US | Corp — Monthly | |||||
minus 0.59% — | ||||||
Monthly | ||||||
54,855 | 54,550 | — | 1/28/25 | Federal Funds | Novanta Inc — | 299 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
7,061 | 7,160 | — | 1/28/25 | Federal Funds | Novozymes A/S — | (100) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
5,801 | 5,722 | — | 1/28/25 | Federal Funds | NTT Data Corp — | 79 |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
29,499 | 28,370 | — | 1/28/25 | Federal Funds | NV5 Global Inc — | 1,126 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
6,773 | 6,817 | — | 1/28/25 | Federal Funds | Obara Group Inc — | (53) |
Effective Rate US | Monthly | |||||
minus 1.88% — | ||||||
Monthly | ||||||
233 | 234 | — | 1/28/25 | Federal Funds | Ocado Group PLC — | (1) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
52,029 | 48,155 | — | 1/28/25 | Federal Funds | Ocular Therapeutix | 3,860 |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
4,806 | 4,953 | — | 1/28/25 | Federal Funds | Odakyu Electric | (148) |
Effective Rate US | Railway Co Ltd — | |||||
minus 0.30% — | Monthly | |||||
Monthly | ||||||
11,893 | 11,569 | — | 1/28/25 | Federal Funds | OFG Bancorp — | 323 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
12,288 | 12,671 | — | 1/28/25 | Federal Funds | Oisix ra daichi Inc — | (448) |
Effective Rate US | Monthly | |||||
minus 9.50% — | ||||||
Monthly |
PanAgora Market Neutral Fund 129 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$23,217 | $20,732 | $— | 1/28/25 | Federal Funds | Ollie’s Bargain | $2,482 |
Effective Rate US | Outlet Holdings | |||||
minus 0.23% — | Inc — Monthly | |||||
Monthly | ||||||
10,164 | 10,373 | — | 1/28/25 | Federal Funds | Omeros Corp — | (227) |
Effective Rate US | Monthly | |||||
minus 1.79% — | ||||||
Monthly | ||||||
22,503 | 22,545 | — | 1/28/25 | Federal Funds | ON Semiconductor | (44) |
Effective Rate US | Corp — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
9,459 | 9,525 | — | 1/28/25 | Federal Funds | OneSpan Inc — | (66) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
24,437 | 25,052 | — | 1/28/25 | Federal Funds | OneSpaWorld | (616) |
Effective Rate US | Holdings Ltd — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
33,834 | 33,364 | — | 1/28/25 | Federal Funds | Onto Innovation | 466 |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
9,187 | 9,061 | — | 1/28/25 | Federal Funds | Open Door Inc — | 102 |
Effective Rate US | Monthly | |||||
minus 4.38% — | ||||||
Monthly | ||||||
11,586 | 12,123 | — | 1/28/25 | Federal Funds | Opera Ltd — | (669) |
Effective Rate US | Monthly | |||||
minus 10.89% — | ||||||
Monthly | ||||||
11,959 | 11,745 | — | 1/28/25 | Federal Funds | Oracle Corp | 74 |
Effective Rate US | Japan — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
2,894 | 3,155 | — | 1/28/25 | Federal Funds | Orchard | (261) |
Effective Rate US | Therapeutics PLC — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
24,221 | 24,827 | — | 1/28/25 | Federal Funds | Organogenesis | (609) |
Effective Rate US | Holdings Inc — | |||||
minus 0.24% — | Monthly | |||||
Monthly | ||||||
24,127 | 24,358 | — | 1/28/25 | Federal Funds | Orgenesis Inc — | (283) |
Effective Rate US | Monthly | |||||
minus 2.34% — | ||||||
Monthly |
130 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$11,447 | $11,820 | $— | 1/28/25 | Federal Funds | Oriental Land | $(375) |
Effective Rate US | Co Ltd/Japan — | |||||
minus 0.30% — | Monthly | |||||
Monthly | ||||||
19,320 | 18,920 | — | 1/28/25 | Federal Funds | Origin Bancorp | 324 |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
7,201 | 7,402 | — | 1/28/25 | Federal Funds | OSG Corp — | (202) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
21,046 | 21,791 | — | 1/28/25 | Federal Funds | Ottogi Corp — | (756) |
Effective Rate US | Monthly | |||||
minus 0.68% — | ||||||
Monthly | ||||||
49,509 | 48,936 | — | 1/28/25 | Federal Funds | Oxford Industries | 321 |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
9,484 | 10,083 | — | 1/28/25 | Federal Funds | Pact Group Holdings | (722) |
Effective Rate US | Ltd — Monthly | |||||
minus 0.45% — | ||||||
Monthly | ||||||
10,963 | 10,690 | — | 1/28/25 | Federal Funds | PAE Inc — Monthly | 268 |
Effective Rate US | ||||||
minus 0.54% — | ||||||
Monthly | ||||||
22,929 | 22,860 | — | 1/28/25 | Federal Funds | Pan Pacific | (44) |
Effective Rate US | International | |||||
minus 0.37% — | Holdings Corp — | |||||
Monthly | Monthly | |||||
57,457 | 58,474 | — | 1/28/25 | Federal Funds | PAR Technology | (1,059) |
Effective Rate US | Corp — Monthly | |||||
minus 0.99% — | ||||||
Monthly | ||||||
10,663 | 11,433 | — | 1/28/25 | Federal Funds | Park24 Co Ltd — | (771) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
7,539 | 7,360 | — | 1/28/25 | Federal Funds | Partners Bancorp — | 179 |
Effective Rate US | Monthly | |||||
minus 0.99% — | ||||||
Monthly | ||||||
24,242 | 25,003 | — | 1/28/25 | Federal Funds | PAVmed Inc — | (982) |
Effective Rate US | Monthly | |||||
minus 13.28% — | ||||||
Monthly |
PanAgora Market Neutral Fund 131 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$9,607 | $9,125 | $— | 1/28/25 | Federal Funds | Paysign Inc — | $482 |
Effective Rate US | Monthly | |||||
minus 2.54% — | ||||||
Monthly | ||||||
4,791 | 4,566 | — | 1/28/25 | Federal Funds | PDL Community | 222 |
Effective Rate US | Bancorp — Monthly | |||||
minus 0.94% — | ||||||
Monthly | ||||||
25,358 | 24,820 | — | 1/28/25 | Federal Funds | Pearl Abyss Corp — | 478 |
Effective Rate US | Monthly | |||||
minus 2.75% — | ||||||
Monthly | ||||||
9,462 | 9,255 | — | 1/28/25 | Federal Funds | Penns Woods | 208 |
Effective Rate US | Bancorp Inc — | |||||
minus 1.49% — | Monthly | |||||
Monthly | ||||||
11,673 | 11,274 | — | 1/28/25 | Federal Funds | Penske Automotive | 398 |
Effective Rate US | Group Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
18,138 | 17,901 | — | 1/28/25 | Federal Funds | People’s United | (70) |
Effective Rate US | Financial Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
13,512 | 12,576 | — | 1/28/25 | Federal Funds | Pepkor Holdings | 925 |
Effective Rate US | Ltd — Monthly | |||||
minus 0.90% — | ||||||
Monthly | ||||||
4,134 | 4,088 | — | 1/28/25 | Federal Funds | Pepper Food | (46) |
Effective Rate US | Service Co Ltd — | |||||
minus 25.00% — | Monthly | |||||
Monthly | ||||||
4,035 | 4,065 | — | 1/28/25 | Federal Funds | PeptiDream Inc — | (31) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
6,347 | 6,250 | — | 1/28/25 | Federal Funds | Persol Holdings Co | 96 |
Effective Rate US | Ltd — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
10,805 | 10,172 | — | 1/28/25 | Federal Funds | Pick n Pay Stores | 625 |
Effective Rate US | Ltd — Monthly | |||||
minus 0.90% — | ||||||
Monthly | ||||||
6,291 | 6,392 | — | 1/28/25 | Federal Funds | PICO Holdings Inc — | (101) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly |
132 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$21,259 | $20,640 | $— | 1/28/25 | Federal Funds | Pilgrim’s Pride | $618 |
Effective Rate US | Corp — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
9,597 | 9,481 | — | 1/28/25 | Federal Funds | Pirelli & C SpA — | 114 |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
17,922 | 17,872 | — | 1/28/25 | Federal Funds | Planet Fitness Inc — | 50 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
32,553 | 27,390 | — | 1/28/25 | Federal Funds | Plantronics Inc — | 5,158 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
58,819 | 58,773 | — | 1/28/25 | Federal Funds | Plug Power Inc — | 14 |
Effective Rate US | Monthly | |||||
minus 0.64% — | ||||||
Monthly | ||||||
8,990 | 10,029 | — | 1/28/25 | Federal Funds | PolyNovo Ltd — | (1,043) |
Effective Rate US | Monthly | |||||
minus 0.45% — | ||||||
Monthly | ||||||
31,816 | 31,317 | — | 1/28/25 | Federal Funds | POSCO Chemical Co | 441 |
Effective Rate US | Ltd — Monthly | |||||
minus 2.75% — | ||||||
Monthly | ||||||
12,588 | 12,302 | — | 1/28/25 | Federal Funds | PowerCell Sweden | 74 |
Effective Rate US | AB — Monthly | |||||
minus 18.00% — | ||||||
Monthly | ||||||
16,528 | 16,999 | — | 1/28/25 | Federal Funds | PRA Health Sciences | (472) |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
18,174 | 17,651 | — | 1/28/25 | Federal Funds | PRADA SpA — | 519 |
Effective Rate US | Monthly | |||||
minus 0.40% — | ||||||
Monthly | ||||||
28,406 | 27,796 | — | 1/28/25 | Federal Funds | Prestige Consumer | 607 |
Effective Rate US | Healthcare Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
22,392 | 21,266 | — | 1/28/25 | Federal Funds | Principal Financial | 841 |
Effective Rate US | Group Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly |
PanAgora Market Neutral Fund 133 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$10,578 | $10,688 | $— | 1/28/25 | Federal Funds | Prored Partners Co | $(152) |
Effective Rate US | Ltd — Monthly | |||||
minus 5.25% — | ||||||
Monthly | ||||||
27,527 | 26,874 | — | 1/28/25 | Federal Funds | Provident Financial | (451) |
Effective Rate US | Services Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
14,583 | 13,658 | — | 1/28/25 | Federal Funds | Prudential Bancorp | 908 |
Effective Rate US | Inc — Monthly | |||||
minus 1.49% — | ||||||
Monthly | ||||||
24,271 | 24,415 | — | 1/28/25 | Federal Funds | QTS Realty Trust | (147) |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
17,706 | 16,784 | — | 1/28/25 | Federal Funds | Quantum Corp — | 918 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
8,775 | 8,348 | — | 1/28/25 | Federal Funds | Radiant Logistics | 427 |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
9,939 | 9,927 | — | 1/28/25 | Federal Funds | Radware Ltd — | 10 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
24,629 | 28,133 | — | 1/28/25 | Federal Funds | Rafael Holdings | (3,509) |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
2,783 | 2,946 | — | 1/28/25 | Federal Funds | Raksul Inc — | (182) |
Effective Rate US | Monthly | |||||
minus 7.75% — | ||||||
Monthly | ||||||
3,754 | 3,990 | — | 1/28/25 | Federal Funds | Ramsay Generale de | (254) |
Effective Rate US | Sante — Monthly | |||||
minus 5.25% — | ||||||
Monthly | ||||||
27,776 | 29,180 | — | 1/28/25 | Federal Funds | RAPT Therapeutics | (1,579) |
Effective Rate US | Inc — Monthly | |||||
minus 8.09% — | ||||||
Monthly | ||||||
6,772 | 6,866 | — | 1/28/25 | Federal Funds | RaQualia Pharma | (135) |
Effective Rate US | Inc — Monthly | |||||
minus 6.50% — | ||||||
Monthly |
134 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$17,605 | $17,737 | $— | 1/28/25 | Federal Funds | Reata | $(132) |
Effective Rate US | Pharmaceuticals | |||||
minus 0.23% — | Inc — Monthly | |||||
Monthly | ||||||
12,149 | 12,147 | — | 1/28/25 | Federal Funds | Reckitt Benckiser | (114) |
Effective Rate US | Group PLC — | |||||
minus 0.30% — | Monthly | |||||
Monthly | ||||||
3,741 | 3,801 | — | 1/28/25 | Federal Funds | Recruit Holdings Co | (61) |
Effective Rate US | Ltd — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
5,183 | 5,509 | — | 1/28/25 | Federal Funds | Red Violet Inc — | (326) |
Effective Rate US | Monthly | |||||
minus 2.69% — | ||||||
Monthly | ||||||
27,892 | 24,136 | — | 1/28/25 | Federal Funds | Regis Corp — | 3,754 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
10,974 | 11,309 | — | 1/28/25 | Federal Funds | Reliance Worldwide | (444) |
Effective Rate US | Corp Ltd — Monthly | |||||
minus 1.14% — | ||||||
Monthly | ||||||
13,672 | 13,225 | — | 1/28/25 | Federal Funds | Renesas Electronics | 446 |
Effective Rate US | Corp — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
13,758 | 14,062 | — | 1/28/25 | Federal Funds | Research Frontiers | (362) |
Effective Rate US | Inc — Monthly | |||||
minus 5.35% — | ||||||
Monthly | ||||||
6,876 | 7,735 | — | 1/28/25 | Federal Funds | Restaurant Group | (859) |
Effective Rate US | PLC/The — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
8,274 | 8,404 | — | 1/28/25 | Federal Funds | Retail Estates NV — | (748) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
39,919 | 39,161 | — | 1/28/25 | Federal Funds | REV Group Inc — | 754 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
5,223 | 5,212 | — | 1/28/25 | Federal Funds | Ricksoft Co Ltd — | (44) |
Effective Rate US | Monthly | |||||
minus 13.38% — | ||||||
Monthly |
PanAgora Market Neutral Fund 135 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$6,804 | $6,663 | $— | 1/28/25 | Federal Funds | Roadrunner | $123 |
Effective Rate US | Transportation | |||||
minus 2.52% — | Systems Inc — | |||||
Monthly | Monthly | |||||
7,197 | 6,881 | — | 1/28/25 | Federal Funds | Rockwell Medical | 293 |
Effective Rate US | Inc — Monthly | |||||
minus 3.04% — | ||||||
Monthly | ||||||
4,445 | 4,344 | — | 1/28/25 | Federal Funds | Rolls-Royce | 101 |
Effective Rate US | Holdings PLC — | |||||
minus 0.30% — | Monthly | |||||
Monthly | ||||||
19,196 | 19,381 | — | 1/28/25 | Federal Funds | RSA Insurance | (185) |
Effective Rate US | Group PLC — | |||||
minus 0.30% — | Monthly | |||||
Monthly | ||||||
8,218 | 8,210 | — | 1/28/25 | Federal Funds | Rubius | (5) |
Effective Rate US | Therapeutics Inc — | |||||
minus 1.99% — | Monthly | |||||
Monthly | ||||||
11,500 | 11,860 | — | 1/28/25 | Federal Funds | Ruentex Industries | (1,236) |
Effective Rate US | Ltd — Monthly | |||||
minus 2.85% — | ||||||
Monthly | ||||||
20,979 | 21,210 | — | 1/28/25 | Federal Funds | Ryanair Holdings | (233) |
Effective Rate US | PLC — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
26,858 | 26,052 | — | 1/28/25 | Federal Funds | S&T Bancorp Inc — | 442 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
7,375 | 7,599 | — | 1/28/25 | Federal Funds | Safehold Inc — | (225) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
13,347 | 13,162 | — | 1/28/25 | Federal Funds | Samsung Heavy | 181 |
Effective Rate US | Industries Co Ltd — | |||||
minus 0.40% — | Monthly | |||||
Monthly | ||||||
17,018 | 16,380 | — | 1/28/25 | Federal Funds | Samsung SDI Co | 630 |
Effective Rate US | Ltd — Monthly | |||||
minus 0.75% — | ||||||
Monthly | ||||||
29,145 | 28,537 | — | 1/28/25 | Federal Funds | Sandy Spring | 247 |
Effective Rate US | Bancorp Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly |
136 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$7,362 | $7,478 | $— | 1/28/25 | Federal Funds | Sanoh Industrial Co | $(125) |
Effective Rate US | Ltd — Monthly | |||||
minus 1.50% — | ||||||
Monthly | ||||||
8,220 | 8,375 | — | 1/28/25 | Federal Funds | Sanrio Co Ltd — | (167) |
Effective Rate US | Monthly | |||||
minus 2.03% — | ||||||
Monthly | ||||||
13,291 | 13,031 | — | 1/28/25 | Federal Funds | Sarepta | 259 |
Effective Rate US | Therapeutics Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
5,026 | 5,117 | — | 1/28/25 | Federal Funds | Sawai | (92) |
Effective Rate US | Pharmaceutical Co | |||||
minus 0.30% — | Ltd — Monthly | |||||
Monthly | ||||||
26,073 | 27,452 | — | 1/28/25 | Federal Funds | scPharmaceuticals | (1,387) |
Effective Rate US | Inc — Monthly | |||||
minus 1.09% — | ||||||
Monthly | ||||||
16,441 | 16,098 | — | 1/28/25 | Federal Funds | Seaboard Corp — | 327 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
5,430 | 5,740 | — | 1/28/25 | Federal Funds | SEC Carbon Ltd — | (363) |
Effective Rate US | Monthly | |||||
minus 10.75% — | ||||||
Monthly | ||||||
7,185 | 7,045 | — | 1/28/25 | Federal Funds | Securitas AB — | 140 |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
11,700 | 11,820 | — | 1/28/25 | Federal Funds | Sembcorp | (181) |
Effective Rate US | Industries Ltd — | |||||
minus 6.50% — | Monthly | |||||
Monthly | ||||||
2,304 | 2,260 | — | 1/28/25 | Federal Funds | Sembcorp Marine | (75) |
Effective Rate US | Ltd — Monthly | |||||
minus 30.75% — | ||||||
Monthly | ||||||
23,391 | 25,086 | — | 1/28/25 | Federal Funds | Seres Therapeutics | (1,706) |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
13,094 | 13,679 | — | 1/28/25 | Federal Funds | Seritage Growth | (610) |
Effective Rate US | Properties — | |||||
minus 3.14% — | Monthly | |||||
Monthly |
PanAgora Market Neutral Fund 137 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$6,677 | $6,263 | $— | 1/28/25 | Federal Funds | Serverworks Co | $354 |
Effective Rate US | Ltd — Monthly | |||||
minus 11.13% — | ||||||
Monthly | ||||||
39,388 | 38,373 | — | 1/28/25 | Federal Funds | ServisFirst | 1,012 |
Effective Rate US | Bancshares Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
44,138 | 47,366 | — | 1/28/25 | Federal Funds | Shake Shack Inc — | (3,231) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
8,260 | 8,704 | — | 1/28/25 | Federal Funds | Sharp Corp/ | (450) |
Effective Rate US | Japan — Monthly | |||||
minus 0.88% — | ||||||
Monthly | ||||||
37,169 | 35,894 | — | 1/28/25 | Federal Funds | SharpSpring Inc — | 1,240 |
Effective Rate US | Monthly | |||||
minus 1.49% — | ||||||
Monthly | ||||||
30,840 | 32,342 | — | 1/28/25 | Federal Funds | Shockwave Medical | (1,505) |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
10,004 | 9,642 | — | 1/28/25 | Federal Funds | Shui On Land Ltd — | 322 |
Effective Rate US | Monthly | |||||
minus 9.00% — | ||||||
Monthly | ||||||
12,584 | 12,485 | — | 1/28/25 | Federal Funds | Siebert Financial | 58 |
Effective Rate US | Corp — Monthly | |||||
minus 3.56% — | ||||||
Monthly | ||||||
12,642 | 12,934 | — | 1/28/25 | Federal Funds | Siemens Gamesa | (323) |
Effective Rate US | Renewable Energy | |||||
minus 0.30% — | SA — Monthly | |||||
Monthly | ||||||
6,783 | 6,658 | — | 1/28/25 | Federal Funds | SIGA Technologies | 123 |
Effective Rate US | Inc — Monthly | |||||
minus 0.54% — | ||||||
Monthly | ||||||
6,581 | 6,604 | — | 1/28/25 | Federal Funds | Signpost Corp — | (57) |
Effective Rate US | Monthly | |||||
minus 6.25% — | ||||||
Monthly | ||||||
10,948 | 11,736 | — | 1/28/25 | Federal Funds | Silverlake Axis Ltd — | (802) |
Effective Rate US | Monthly | |||||
minus 1.50% — | ||||||
Monthly |
138 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$8,497 | $8,585 | $— | 1/28/25 | Federal Funds | Singapore Airlines | $(88) |
Effective Rate US | Ltd — Monthly | |||||
minus 0.35% — | ||||||
Monthly | ||||||
17,152 | 16,494 | — | 1/28/25 | Federal Funds | Sinopec Shanghai | (1,006) |
Effective Rate US | Petrochemical Co | |||||
minus 19.44% — | Ltd — Monthly | |||||
Monthly | ||||||
8,145 | 7,874 | — | 1/28/25 | Federal Funds | sinops Inc — | 207 |
Effective Rate US | Monthly | |||||
minus 7.88% — | ||||||
Monthly | ||||||
19,148 | 19,256 | — | 1/28/25 | Federal Funds | SJM Holdings Ltd — | (112) |
Effective Rate US | Monthly | |||||
minus 0.40% — | ||||||
Monthly | ||||||
9,909 | 9,811 | — | 1/28/25 | Federal Funds | SkiStar AB — | 96 |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
7,253 | 7,166 | — | 1/28/25 | Federal Funds | Smaregi Inc — | 40 |
Effective Rate US | Monthly | |||||
minus 8.25% — | ||||||
Monthly | ||||||
39,631 | 41,303 | — | 1/28/25 | Federal Funds | SMART Global | (1,677) |
Effective Rate US | Holdings Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
9,230 | 9,813 | — | 1/28/25 | Federal Funds | Smart Metering | (583) |
Effective Rate US | Systems PLC — | |||||
minus 3.00% — | Monthly | |||||
Monthly | ||||||
23,340 | 24,266 | — | 1/28/25 | Federal Funds | Smartsheet Inc — | (928) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
6,133 | 6,050 | — | 1/28/25 | Federal Funds | SMC Corp/Japan — | 83 |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
12,683 | 12,933 | — | 1/28/25 | Federal Funds | Snow Peak Inc — | (282) |
Effective Rate US | Monthly | |||||
minus 4.00% — | ||||||
Monthly | ||||||
27,794 | 30,979 | — | 1/28/25 | Federal Funds | Soleno | (3,199) |
Effective Rate US | Therapeutics Inc — | |||||
minus 1.29% — | Monthly | |||||
Monthly |
PanAgora Market Neutral Fund 139 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation)�� |
Morgan Stanley & Co. International PLC cont. | ||||||
$2,631 | $2,665 | $— | 1/28/25 | Federal Funds | Solid Biosciences | $(37) |
Effective Rate US | Inc — Monthly | |||||
minus 0.89% — | ||||||
Monthly | ||||||
333,352 | 334,290 | — | 1/28/25 | Federal Funds | SPDR S&P 500 ETF | (1,508) |
Effective Rate US | Trust — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
17,877 | 18,204 | — | 1/28/25 | Federal Funds | Splunk Inc — | (329) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
17,953 | 18,623 | — | 1/28/25 | Federal Funds | Spotify Technology | (670) |
Effective Rate US | SA — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
5,754 | 5,671 | — | 1/28/25 | Federal Funds | Sprix Ltd — Monthly | 60 |
Effective Rate US | ||||||
minus 6.13% — | ||||||
Monthly | ||||||
21,602 | 21,821 | — | 1/28/25 | Federal Funds | Ssangyong Cement | (651) |
Effective Rate US | Industrial Co Ltd — | |||||
minus 0.71% — | Monthly | |||||
Monthly | ||||||
8,168 | 8,193 | — | 1/28/25 | Federal Funds | St Joe Co/The — | (25) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
7,250 | 7,196 | — | 1/28/25 | Federal Funds | Standard AVB | 50 |
Effective Rate US | Financial Corp — | |||||
minus 1.64% — | Monthly | |||||
Monthly | ||||||
19,287 | 19,117 | — | 1/28/25 | Federal Funds | Standard Life | (342) |
Effective Rate US | Aberdeen PLC — | |||||
minus 0.30% — | Monthly | |||||
Monthly | ||||||
24,879 | 25,163 | — | 1/28/25 | Federal Funds | Stanley Black | (395) |
Effective Rate US | & Decker Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
5,873 | 5,680 | — | 1/28/25 | Federal Funds | StarTek Inc — | 193 |
Effective Rate US | Monthly | |||||
minus 0.54% — | ||||||
Monthly | ||||||
29,517 | 29,619 | — | 1/28/25 | Federal Funds | Stericycle Inc — | (105) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly |
140 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$33,256 | $32,861 | $— | 1/28/25 | Federal Funds | Sterling | $392 |
Effective Rate US | Construction Co | |||||
minus 0.23% — | Inc — Monthly | |||||
Monthly | ||||||
49,219 | 50,111 | — | 1/28/25 | Federal Funds | Stitch Fix Inc — | (987) |
Effective Rate US | Monthly | |||||
minus 2.09% — | ||||||
Monthly | ||||||
28,256 | 28,430 | — | 1/28/25 | Federal Funds | Stoke Therapeutics | (176) |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
43,482 | 43,860 | — | 1/28/25 | Federal Funds | StoneCo Ltd — | (382) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
14,172 | 14,829 | — | 1/28/25 | Federal Funds | Storytel AB — | (761) |
Effective Rate US | Monthly | |||||
minus 8.38% — | ||||||
Monthly | ||||||
16,283 | 16,167 | — | 1/28/25 | Federal Funds | Sumitomo Bakelite | 5 |
Effective Rate US | Co Ltd — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
4,440 | 4,335 | — | 1/28/25 | Federal Funds | Suncity Group | 39 |
Effective Rate US | Holdings Ltd — | |||||
minus 18.38% — | Monthly | |||||
Monthly | ||||||
11,935 | 11,390 | — | 1/28/25 | Federal Funds | SWK Holdings | 531 |
Effective Rate US | Corp — Monthly | |||||
minus 2.64% — | ||||||
Monthly | ||||||
22,176 | 23,095 | — | 1/28/25 | Federal Funds | Syneos Health Inc — | (921) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
18,309 | 18,343 | — | 1/28/25 | Federal Funds | Sysco Corp — | (36) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
10,219 | 10,571 | — | 1/28/25 | Federal Funds | Taiyo Nippon Sanso | (352) |
Effective Rate US | Corp — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
5,394 | 5,402 | — | 1/28/25 | Federal Funds | Takara Bio Inc — | (9) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly |
PanAgora Market Neutral Fund 141 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$5,562 | $5,589 | $— | 1/28/25 | Federal Funds | Taki Chemical Co | $(53) |
Effective Rate US | Ltd — Monthly | |||||
minus 4.50% — | ||||||
Monthly | ||||||
9,182 | 9,891 | — | 1/28/25 | Federal Funds | Tateru Inc — | (751) |
Effective Rate US | Monthly | |||||
minus 6.13% — | ||||||
Monthly | ||||||
21,343 | 24,339 | — | 1/28/25 | Federal Funds | Ted Baker PLC — | (2,996) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
32,581 | 32,569 | — | 1/28/25 | Federal Funds | Teladoc Health | 7 |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
19,394 | 20,040 | — | 1/28/25 | Federal Funds | Teleflex Inc — | (665) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
20,939 | 21,084 | — | 1/28/25 | Federal Funds | TherapeuticsMD | (716) |
Effective Rate US | Inc — Monthly | |||||
minus 27.58% — | ||||||
Monthly | ||||||
25,652 | 26,168 | — | 1/28/25 | Federal Funds | Thermo Fisher | (518) |
Effective Rate US | Scientific Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
8,125 | 8,455 | — | 1/28/25 | Federal Funds | Tokai Carbon Co | (463) |
Effective Rate US | Ltd — Monthly | |||||
minus 1.25% — | ||||||
Monthly | ||||||
9,055 | 9,101 | — | 1/28/25 | Federal Funds | Tokyo Base Co Ltd — | (66) |
Effective Rate US | Monthly | |||||
minus 3.50% — | ||||||
Monthly | ||||||
7,756 | 8,135 | — | 1/28/25 | Federal Funds | Tokyu REIT Inc — | (578) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
27,218 | 26,808 | — | 1/28/25 | Federal Funds | Tootsie Roll | 399 |
Effective Rate US | Industries Inc — | |||||
minus 0.59% — | Monthly | |||||
Monthly | ||||||
6,618 | 6,719 | — | 1/28/25 | Federal Funds | Toyo Seikan Group | (102) |
Effective Rate US | Holdings Ltd — | |||||
minus 0.30% — | Monthly | |||||
Monthly |
142 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$43,428 | $42,994 | $— | 1/28/25 | Federal Funds | TPI Composites | $430 |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
17,594 | 17,588 | — | 1/28/25 | Federal Funds | Tradeweb Markets | (19) |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
23,423 | 23,322 | — | 1/28/25 | Federal Funds | Transcontinental | 98 |
Effective Rate US | Realty Investors | |||||
minus 0.23% — | Inc — Monthly | |||||
Monthly | ||||||
9,695 | 9,859 | — | 1/28/25 | Federal Funds | Traton SE — Monthly | (176) |
Effective Rate US | ||||||
minus 1.50% — | ||||||
Monthly | ||||||
6,830 | 6,891 | — | 1/28/25 | Federal Funds | Treasury Wine | (63) |
Effective Rate US | Estates Ltd — | |||||
minus 0.45% — | Monthly | |||||
Monthly | ||||||
17,440 | 17,081 | — | 1/28/25 | Federal Funds | TreeHouse Foods | 357 |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
15,268 | 15,547 | — | 1/28/25 | Federal Funds | Trex Co Inc — | (280) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
7,969 | 8,107 | — | 1/28/25 | Federal Funds | Tricida Inc — | (139) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
22,637 | 22,798 | — | 1/28/25 | Federal Funds | Trimble Inc — | (163) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
23,938 | 23,479 | — | 1/28/25 | Federal Funds | Trinity Industries | 238 |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
5,032 | 5,039 | — | 1/28/25 | Federal Funds | Triumph Group | (7) |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
39,857 | 39,133 | — | 1/28/25 | Federal Funds | Tucows Inc — | 695 |
Effective Rate US | Monthly | |||||
minus 1.19% — | ||||||
Monthly |
PanAgora Market Neutral Fund 143 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$10,521 | $10,029 | $— | 1/28/25 | Federal Funds | Turk Hava Yollari | $382 |
Effective Rate US | AO — Monthly | |||||
minus 15.93% — | ||||||
Monthly | ||||||
26,120 | 26,106 | — | 1/28/25 | Federal Funds | Turtle Beach Corp — | 13 |
Effective Rate US | Monthly | |||||
minus 1.14% — | ||||||
Monthly | ||||||
52,615 | 54,196 | — | 1/28/25 | Federal Funds | Twist Bioscience | (1,586) |
Effective Rate US | Corp — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
17,359 | 17,611 | — | 1/28/25 | Federal Funds | Tyler Technologies | (251) |
Effective Rate US | Inc — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
16,637 | 16,765 | — | 1/28/25 | Federal Funds | Umicore SA — | (238) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
8,731 | 8,713 | — | 1/28/25 | Federal Funds | Unicharm Corp — | (13) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
26,409 | 26,504 | — | 1/28/25 | Federal Funds | Unilever Indonesia | (530) |
Effective Rate US | Tbk PT — Monthly | |||||
minus 4.00% — | ||||||
Monthly | ||||||
5,753 | 5,947 | — | 1/28/25 | Federal Funds | Union Bankshares | (312) |
Effective Rate US | Inc/Morrisville VT — | |||||
minus 5.69% — | Monthly | |||||
Monthly | ||||||
7,347 | 7,818 | — | 1/28/25 | Federal Funds | Unipres Corp — | (702) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
33,046 | 32,414 | — | 1/28/25 | Federal Funds | United Bankshares | 628 |
Effective Rate US | Inc/WV — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
8,839 | 8,924 | — | 1/28/25 | Federal Funds | UNITY | (116) |
Effective Rate US | Biotechnology Inc — | |||||
minus 1.30% — | Monthly | |||||
Monthly | ||||||
26,691 | 27,597 | — | 1/28/25 | Federal Funds | Upwork Inc — | (909) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly |
144 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$4,071 | $5,143 | $— | 1/28/25 | Federal Funds | UroGen Pharma | $(1,078) |
Effective Rate US | Ltd — Monthly | |||||
minus 1.69% — | ||||||
Monthly | ||||||
7,684 | 7,649 | — | 1/28/25 | Federal Funds | US Ecology Inc — | 34 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
27,334 | 26,150 | — | 1/28/25 | Federal Funds | Valley National | 1,181 |
Effective Rate US | Bancorp — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
15,922 | 16,367 | — | 1/28/25 | Federal Funds | Verrica | (454) |
Effective Rate US | Pharmaceuticals | |||||
minus 1.19% — | Inc — Monthly | |||||
Monthly | ||||||
16,397 | 16,153 | — | 1/28/25 | Federal Funds | ViacomCBS Inc — | 242 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
28,390 | 28,724 | — | 1/28/25 | Federal Funds | Viavi Solutions Inc — | (337) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
40,908 | 40,744 | — | 1/28/25 | Federal Funds | VirnetX Holding | 130 |
Effective Rate US | Corp — Monthly | |||||
minus 1.47% — | ||||||
Monthly | ||||||
18,973 | 18,856 | — | 1/28/25 | Federal Funds | Virtu Financial Inc — | (60) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
7,093 | 7,128 | — | 1/28/25 | Federal Funds | Visionary Holdings | (98) |
Effective Rate US | Co Ltd — Monthly | |||||
minus 10.00% — | ||||||
Monthly | ||||||
45,346 | 45,107 | — | 1/28/25 | Federal Funds | Visteon Corp — | 234 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
18,850 | 18,952 | — | 1/28/25 | Federal Funds | Viva Biotech | (486) |
Effective Rate US | Holdings — Monthly | |||||
minus 23.38% — | ||||||
Monthly | ||||||
28,041 | 27,395 | — | 1/28/25 | Federal Funds | VolitionRX Ltd — | 596 |
Effective Rate US | Monthly | |||||
minus 5.23% — | ||||||
Monthly |
PanAgora Market Neutral Fund 145 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$14,813 | $14,615 | $— | 1/28/25 | Federal Funds | W-Scope Corp — | $91 |
Effective Rate US | Monthly | |||||
minus 10.75% — | ||||||
Monthly | ||||||
21,675 | 20,931 | — | 1/28/25 | Federal Funds | Washington Real | 742 |
Effective Rate US | Estate Investment | |||||
minus 0.23% — | Trust — Monthly | |||||
Monthly | ||||||
20,076 | 19,728 | — | 1/28/25 | Federal Funds | Washington Trust | 347 |
Effective Rate US | Bancorp Inc — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
8,392 | 8,738 | — | 1/28/25 | Federal Funds | Washtec AG — | (347) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
12,710 | 12,600 | — | 1/28/25 | Federal Funds | Waste Connections | 85 |
Effective Rate US | Inc — Monthly | |||||
minus 0.25% — | ||||||
Monthly | ||||||
7,548 | 8,066 | — | 1/28/25 | Federal Funds | Webjet Ltd — | (524) |
Effective Rate US | Monthly | |||||
minus 1.25% — | ||||||
Monthly | ||||||
15,670 | 15,125 | — | 1/28/25 | Federal Funds | Webster Financial | 323 |
Effective Rate US | Corp — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
13,171 | 13,023 | — | 1/28/25 | Federal Funds | Weir Group PLC/ | 148 |
Effective Rate US | The — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
38,065 | 37,158 | — | 1/28/25 | Federal Funds | Welbilt Inc — | 902 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
17,585 | 19,172 | — | 1/28/25 | Federal Funds | Western Digital | (1,587) |
Effective Rate US | Corp — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
19,940 | 21,083 | — | 1/28/25 | Federal Funds | WH Smith PLC — | (1,143) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
16,671 | 16,645 | — | 1/28/25 | Federal Funds | Wharf Real Estate | 24 |
Effective Rate US | Investment Co Ltd — | |||||
minus 0.75% — | Monthly | |||||
Monthly |
146 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$18,807 | $20,115 | $— | 1/28/25 | Federal Funds | Whitbread PLC — | $(1,308) |
Effective Rate US | Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
34,479 | 33,652 | — | 1/28/25 | Federal Funds | WillScot Mobile Mini | 824 |
Effective Rate US | Holdings Corp — | |||||
minus 0.23% — | Monthly | |||||
Monthly | ||||||
16,886 | 16,276 | — | 1/28/25 | Federal Funds | Wintrust Financial | 503 |
Effective Rate US | Corp — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
11,630 | 11,300 | — | 1/28/25 | Federal Funds | Wiwynn Corp — | (31) |
Effective Rate US | Monthly | |||||
minus 3.13% — | ||||||
Monthly | ||||||
17,754 | 17,972 | — | 1/28/25 | Federal Funds | Wix.com Ltd — | (220) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
14,352 | 13,512 | — | 1/28/25 | Federal Funds | Woolworths | 831 |
Effective Rate US | Holdings Ltd/South | |||||
minus 0.90% — | Africa — Monthly | |||||
Monthly | ||||||
16,557 | 17,417 | — | 1/28/25 | Federal Funds | Wrap Technologies | (1,191) |
Effective Rate US | Inc — Monthly | |||||
minus 28.04% — | ||||||
Monthly | ||||||
17,284 | 17,307 | — | 1/28/25 | Federal Funds | Wynn Macau Ltd — | (24) |
Effective Rate US | Monthly | |||||
minus 0.40% — | ||||||
Monthly | ||||||
25,404 | 26,337 | — | 1/28/25 | Federal Funds | XBiotech Inc — | (1,022) |
Effective Rate US | Monthly | |||||
minus 4.94% — | ||||||
Monthly | ||||||
28,669 | 27,693 | — | 1/28/25 | Federal Funds | XOMA Corp — | 928 |
Effective Rate US | Monthly | |||||
minus 5.04% — | ||||||
Monthly | ||||||
42,620 | 41,462 | — | 1/28/25 | Federal Funds | Xperi Holding | 986 |
Effective Rate US | Corp — Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
21,039 | 21,008 | — | 1/28/25 | Federal Funds | XPO Logistics Inc — | 29 |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly |
PanAgora Market Neutral Fund 147 |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$19,571 | $19,373 | $— | 1/28/25 | Federal Funds | Yageo Corp — | $99 |
Effective Rate US | Monthly | |||||
minus 4.50% — | ||||||
Monthly | ||||||
10,138 | 10,120 | — | 1/28/25 | Federal Funds | Yamashin-Filter | (31) |
Effective Rate US | Corp — Monthly | |||||
minus 4.38% — | ||||||
Monthly | ||||||
7,852 | 7,852 | — | 1/28/25 | Federal Funds | Yamato Holdings Co | (1) |
Effective Rate US | Ltd — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
6,550 | 6,518 | — | 1/28/25 | Federal Funds | Yamazaki Baking Co | 30 |
Effective Rate US | Ltd — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
17,803 | 18,010 | — | 1/28/25 | Federal Funds | Yaskawa Electric | (267) |
Effective Rate US | Corp — Monthly | |||||
minus 0.30% — | ||||||
Monthly | ||||||
57,882 | 59,296 | — | 1/28/25 | Federal Funds | YETI Holdings Inc — | (1,420) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
31,071 | 31,431 | — | 1/28/25 | Federal Funds | Yihai International | (367) |
Effective Rate US | Holding Ltd — | |||||
minus 0.40% — | Monthly | |||||
Monthly | ||||||
17,375 | 17,412 | — | 1/28/25 | Federal Funds | Ypsomed Holding | (49) |
�� | Effective Rate US | AG — Monthly | ||||
minus 1.50% — | ||||||
Monthly | ||||||
17,089 | 17,157 | — | 1/28/25 | Federal Funds | Yum! Brands Inc — | (68) |
Effective Rate US | Monthly | |||||
minus 0.23% — | ||||||
Monthly | ||||||
30,054 | 30,054 | — | 1/28/25 | Federal Funds | ZAGG Inc — Monthly | (13) |
Effective Rate US | ||||||
minus 0.23% — | ||||||
Monthly | ||||||
22,152 | 21,627 | — | 1/28/25 | Federal Funds | Zhenro Properties | 519 |
Effective Rate US | Group Ltd — | |||||
minus 0.40% — | Monthly | |||||
Monthly | ||||||
10,116 | 10,281 | — | 1/28/25 | Federal Funds | Zhuzhou CRRC | (371) |
Effective Rate US | Times Electric Co | |||||
minus 0.40% — | Ltd — Monthly | |||||
Monthly |
148 PanAgora Market Neutral Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/20 cont. | ||||||
Upfront | ||||||
premium | Termina- | Payments | Total return | Unrealized | ||
Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
Morgan Stanley & Co. International PLC cont. | ||||||
$16,932 | $17,754 | $— | 1/28/25 | Federal Funds | ZIOPHARM | $(832) |
Effective Rate US | Oncology Inc — | |||||
minus 0.79% — | Monthly | |||||
Monthly | ||||||
29,447 | 28,919 | — | 1/28/25 | Federal Funds | Zynex Inc — Monthly | 446 |
Effective Rate US | ||||||
minus 2.44% — | ||||||
Monthly | ||||||
Upfront premium received | — | Unrealized appreciation | 316,327 | |||
Upfront premium (paid) | — | Unrealized (depreciation) | (375,368) | |||
Total | $— | Total | $(59,041) |
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 |
Common stocks * : | |||
Financials | $620,840 | $— | $— |
Information technology | 3,237 | — | — |
Total common stocks | 624,077 | — | — |
Investment companies | 3,712 | — | — |
Units | 1,001,642 | — | — |
Warrants | 50,658 | — | — |
Short-term investments | 3,278,554 | — | — |
Totals by level | $4,958,643 | $— | $— |
Valuation inputs | |||
Other financial instruments: | Level 1 | Level 2 | Level 3 |
Total return swap contracts | $— | $(59,041) | $— |
Totals by level | $— | $(59,041) | $— |
* Common stock classifications are presented at the sector level, which may differ from the fund’s portfolio presentation.
The accompanying notes are an integral part of these financial statements.
PanAgora Market Neutral Fund 149 |
Statement of assets and liabilities 8/31/20 | |
ASSETS | |
Investment in securities, at value (Note 1): | |
Unaffiliated issuers (identified cost $4,926,098) | $4,958,643 |
Dividends, interest and other receivables | 13,358 |
Receivable for shares of the fund sold | 1,096 |
Receivable for investments sold | 1,294,360 |
Receivable from Manager (Note 2) | 37,317 |
Unrealized appreciation on OTC swap contracts (Note 1) | 316,327 |
Deposits with broker | 3,545,595 |
Prepaid assets | 52,762 |
Total assets | 10,219,458 |
LIABILITIES | |
Payable for investments purchased | 1,159,307 |
Payable for custodian fees (Note 2) | 6,951 |
Payable for investor servicing fees (Note 2) | 533 |
Payable for Trustee compensation and expenses (Note 2) | 209 |
Payable for administrative services (Note 2) | 15 |
Payable for distribution fees (Note 2) | 3,450 |
Unrealized depreciation on OTC swap contracts (Note 1) | 375,368 |
Other accrued expenses | 85,161 |
Total liabilities | 1,630,994 |
Net assets | $8,588,464 |
REPRESENTED BY | |
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) | $9,230,833 |
Total distributable earnings (Note 1) | (642,369) |
Total — Representing net assets applicable to capital shares outstanding | $8,588,464 |
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE | |
Net asset value and redemption price per class A share ($8,100,387 divided by 996,653 shares) | $8.13 |
Offering price per class A share (100/94.25 of $8.13)* | $8.63 |
Net asset value and offering price per class B share ($7,953 divided by 1,000 shares)** | $7.95 |
Net asset value and offering price per class C share ($7,953 divided by 1,000 shares)** | $7.95 |
Net asset value, offering price and redemption price per class R share | |
($8,070 divided by 1,000 shares) | $8.07 |
Net asset value, offering price and redemption price per class R6 share | |
($345,552 divided by 42,203 shares) | $8.19 |
Net asset value, offering price and redemption price per class Y share | |
($118,549 divided by 14,481 shares) | $8.19 |
* 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.
150 PanAgora Market Neutral Fund |
Statement of operations Year ended 8/31/20 | |
INVESTMENT INCOME | |
Interest | $109,554 |
Dividends | 294 |
Total investment income | 109,848 |
EXPENSES | |
Compensation of Manager (Note 2) | 119,694 |
Investor servicing fees (Note 2) | 3,838 |
Custodian fees (Note 2) | 6,272 |
Trustee compensation and expenses (Note 2) | 424 |
Distribution fees (Note 2) | 20,914 |
Administrative services (Note 2) | 245 |
Reports to shareholders | 38,650 |
Auditing and tax fees | 58,280 |
Blue sky expense | 91,101 |
Other | 2,509 |
Fees waived and reimbursed by Manager (Note 2) | (178,973) |
Total expenses | 162,954 |
Expense reduction (Note 2) | (15) |
Net expenses | 162,939 |
Net investment loss | (53,091) |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Securities from unaffiliated issuers (Notes 1 and 3) | 60,569 |
Foreign currency transactions (Note 1) | (1,455) |
Swap contracts (Note 1) | (544,264) |
Total net realized loss | (485,150) |
Change in net unrealized appreciation (depreciation) on: | |
Securities from unaffiliated issuers | 26,358 |
Swap contracts | (94,922) |
Total change in net unrealized depreciation | (68,564) |
Net loss on investments | (553,714) |
Net decrease in net assets resulting from operations | $(606,805) |
The accompanying notes are an integral part of these financial statements.
PanAgora Market Neutral Fund 151 |
Statement of changes in net assets | ||
DECREASE IN NET ASSETS | Year ended 8/31/20 | Year ended 8/31/19 |
Operations | ||
Net investment income (loss) | $(53,091) | $68,228 |
Net realized loss on investments | ||
and foreign currency transactions | (485,150) | (884,028) |
Change in net unrealized appreciation (depreciation) | ||
of investments | (68,564) | 35,559 |
Net decrease in net assets resulting from operations | (606,805) | (780,241) |
Decrease from capital share transactions (Note 4) | (716,015) | (22,190) |
Total decrease in net assets | (1,322,820) | (802,431) |
NET ASSETS | ||
Beginning of year | 9,911,284 | 10,713,715 |
End of period | $8,588,464 | $9,911,284 |
The accompanying notes are an integral part of these financial statements.
152 PanAgora Market Neutral Fund |
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PanAgora Market Neutral Fund 153 |
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 | ||||||||||||
August 31, 2020 | $8.66 | (.05) | (.48) | (.53) | — | — | $8.13 | (6.12) | $8,100 | 1.79 | (.63) | 84 |
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 | ||||||||||||
August 31, 2020 | $8.53 | (.11) | (.47) | (.58) | — | — | $7.95 | (6.80) | $8 | 2.54 | (1.38) | 84 |
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 | ||||||||||||
August 31, 2020 | $8.53 | (.11) | (.47) | (.58) | — | — | $7.95 | (6.80) | $8 | 2.54 | (1.38) | 84 |
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 | ||||||||||||
August 31, 2020 | $8.62 | (.07) | (.48) | (.55) | — | — | $8.07 | (6.38) | $8 | 2.04 | (.88) | 84 |
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 | ||||||||||||
August 31, 2020 | $8.70 | (.01)e | (.50) | (.51) | — | — | $8.19 | (5.86) | $346 | 1.55 | (.13)e | 84 |
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 | ||||||||||||
August 31, 2020 | $8.70 | —e,f | (.51) | (.51) | — | — | $8.19 | (5.86) | $119 | 1.54 | .02e | 84 |
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.
† For the period September 21, 2017 (commencement of operations) to August 31, 2018.
a Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.
b Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
c Includes amounts paid through expense offset and/or brokerage/service arrangements, if any (Note 2). Also excludes acquired fund fees and expenses, if any.
d Reflects an involuntary contractual expense limitation in effect during the period. As a result of such limitation, the expenses of each class reflect a reduction of the following amounts (Note 2):
Percentage of average net assets | ||||
August 31, 2020 | 1.94% | |||
August 31, 2019 | 1.67 | |||
August 31, 2018 | 3.71 |
e The net investment income ratio and per share amount shown for the period ending may not correspond with the expected class specific differences for the period due to the timing of subscriptions into the class or redemptions out of the class.
f Amount represents less than $0.01 per share.
The accompanying notes are an integral part of these financial statements.
154 PanAgora Market Neutral Fund | PanAgora Market Neutral Fund 155 |
Notes to financial statements 8/31/20
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 August 31, 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, units, 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
156 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 valuation Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
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 820 Fair 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
PanAgora Market Neutral Fund 157 |
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 income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.
Interest income, net of any applicable withholding taxes, if any, and including amortization and accretion of premiums and discounts on debt securities, is recorded on the accrual basis. Dividend income, net of any applicable withholding taxes, is recognized on the ex-dividend date except that certain dividends from foreign securities, if any, are recognized as soon as the fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Dividends representing a return of capital or capital gains, if any, are reflected as a reduction of cost and/or as a realized gain.
Foreign currency translation The 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 contracts The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to take long or short positions in equity securities.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a
158 PanAgora Market Neutral Fund |
payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.
OTC and/or centrally cleared total return swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
Master agreements The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and, with respect to those amounts which can be sold or repledged, is presented in the fund’s portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other 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 $59,041 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $3,545,595 and may include amounts related to unsettled agreements.
Interfund lending The fund, along with other Putnam funds, may participate in an interfund lending program pursuant to an exemptive order issued by the SEC. This program allows the fund to borrow from or lend to other Putnam funds that permit such transactions. Interfund lending transactions are subject to each fund’s investment policies and borrowing and lending limits. Interest earned or paid on the interfund lending transaction will be based on the average of certain current market rates. During the reporting period, the fund did not utilize the program.
Lines of credit The fund participates, along with other Putnam funds, in a $317.5 million unsecured committed line of credit and a $235.5 million unsecured uncommitted line of credit, both provided by State Street. Borrowings may be made for temporary or emergency purposes, including the funding of shareholder redemption requests and trade settlements. Interest is charged to the fund based on the fund’s borrowing at a rate equal to 1.25% plus the higher of (1) the Federal Funds rate and (2) the overnight LIBOR for the committed line of credit and the Federal Funds rate plus 1.30% for the uncommitted line of credit. A closing fee equal to 0.04% of the committed line of credit 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.
PanAgora Market Neutral Fund 159 |
Federal taxes It is the policy of the fund to distribute all of its taxable income within the prescribed time period and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the Code), applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code.
The fund is subject to the provisions of Accounting Standards Codification 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The fund did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. 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 $673,196 to its fiscal year ending August 31, 2021 of late year ordinary losses ((i) ordinary losses recognized between January 1, 2020 and August 31, 2020, and (ii) specified ordinary and currency losses recognized between November 1, 2019 and August 31, 2020).
Distributions to shareholders Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. These differences include temporary and/or permanent differences from late year loss deferrals, from net operating loss and from income on swap contracts. 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. At the close of the reporting period, the fund reclassified $181,893 to decrease accumulated net investment loss, $665,325 to decrease paid-in capital and $483,432 to decrease accumulated net realized loss.
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 tax basis components of distributable earnings and the federal tax cost as of the close of the reporting period were as follows:
Unrealized appreciation | $99,027 |
Unrealized depreciation | (68,200) |
Net unrealized appreciation | 30,827 |
Late year ordinary loss deferral | (673,196) |
Cost for federal income tax purposes | $4,868,775 |
Expenses of the Trust Expenses directly charged or attributable to any fund will be paid from the assets of that fund. Generally, expenses of the Trust will be allocated among and charged to the assets of each fund on a basis that the Trustees deem fair and equitable, which may be based on the relative assets of each fund or the nature of the services performed and relative applicability to each fund.
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 |
160 PanAgora Market Neutral Fund |
For the reporting period, the fee represented an effective rate (excluding the impact from any expense waivers in effect) of 1.301% of the fund’s average net assets.
Putnam Management has contractually agreed, through December 30, 2021, 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 year-to-date period. During the reporting period, the fund’s expenses were reduced by $178,973 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 | $3,392 | Class R | 3 | |
Class B | 3 | Class R6 | 314 | |
Class C | 3 | Class Y | 122 | |
Class M | 1 | Total | $3,838 |
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 $15 under the expense offset arrangements.
Each Independent Trustee of the fund receives an annual Trustee fee, of which $6, 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.
PanAgora Market Neutral Fund 161 |
The fund has adopted distribution plans (the Plans) with respect to the following share classes pursuant to Rule 12b–1 under the Investment Company Act of 1940. The purpose of the Plans is to compensate Putnam Retail Management Limited Partnership, an indirect wholly-owned subsidiary of Putnam Investments, LLC, for services provided and expenses incurred in distributing shares of the fund. The Plans provide payments by the fund to Putnam Retail Management Limited Partnership at an annual rate of up to the following amounts (Maximum %) of the average net assets attributable to each class. The Trustees have approved payment by the fund at the following annual rate (Approved %) of the average net assets attributable to each class. During the reporting period, the class-specific expenses related to distribution fees were as follows:
Maximum % | Approved % | Amount | |
Class A | 0.35% | 0.25% | $20,694 |
Class B | 1.00% | 1.00% | 82 |
Class C | 1.00% | 1.00% | 82 |
ClassM * | 1.00% | 0.75% | 15 |
Class R | 1.00% | 0.50% | 41 |
Total | $20,914 |
* 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 $70 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) | $2,113,602 | $461,055 |
U.S. government securities (Long-term) | — | — |
Total | $2,113,602 | $461,055 |
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:
YEAR ENDED 8/31/20 | YEAR ENDED 8/31/19 | |||
Class A | Shares | Amount | Shares | Amount |
Shares sold | 2,898 | $23,611 | 477 | $4,247 |
Shares issued in connection with | ||||
reinvestment of distributions | — | — | — | — |
2,898 | 23,611 | 477 | 4,247 | |
Shares repurchased | (2,257) | (18,768) | (37) | (331) |
Net increase | 641 | $4,843 | 440 | $3,916 |
162 PanAgora Market Neutral Fund |
YEAR ENDED 8/31/20 | 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) | — | $— | — | $— |
YEAR ENDED 8/31/20 | 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) | — | $— | — | $— |
YEAR ENDED 8/31/20 * | 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 decrease | (1,000) | $(8,516) | — | $— |
YEAR ENDED 8/31/20 | 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) | — | $— | — | $— |
YEAR ENDED 8/31/20 | YEAR ENDED 8/31/19 | |||
Class R6 | Shares | Amount | Shares | Amount |
Shares sold | 32,036 | $264,080 | 64,196 | $593,268 |
Shares issued in connection with | ||||
reinvestment of distributions | — | — | — | — |
32,036 | 264,080 | 64,196 | 593,268 | |
Shares repurchased | (88,463) | (725,462) | (69,593) | (616,521) |
Net decrease | (56,427) | $(461,382) | (5,397) | $(23,253) |
PanAgora Market Neutral Fund 163 |
YEAR ENDED 8/31/20 | YEAR ENDED 8/31/19 | |||
Class Y | Shares | Amount | Shares | Amount |
Shares sold | 13,132 | $113,557 | 5,555 | $50,070 |
Shares issued in connection with | ||||
reinvestment of distributions | — | — | — | — |
13,132 | 113,557 | 5,555 | 50,070 | |
Shares repurchased | (44,482) | (364,517) | (5,834) | (52,923) |
Net decrease | (31,350) | $(250,960) | (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.
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 | 99.73% | $8,081,220 |
Class B | 1,000 | 100.00 | 7,953 |
Class C | 1,000 | 100.00 | 7,953 |
Class R | 1,000 | 100.00 | 8,070 |
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. The fund may invest in higher-yielding, lower-rated bonds that may have a higher rate of default.
On July 27, 2017, the United Kingdom’s Financial Conduct Authority (“FCA”), which regulates LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. LIBOR has historically been a common benchmark interest rate index used to make adjustments to variable-rate loans. It is used throughout global banking and financial industries to determine interest rates for a variety of financial instruments and borrowing arrangements. The transition process might lead to increased volatility and illiquidity in markets that currently rely on LIBOR to determine interest rates. It could also lead to a reduction in the value of some LIBOR-based investments and reduce the effectiveness of new hedges placed against existing LIBOR-based investments. While some LIBOR-based instruments may contemplate a scenario where LIBOR is no longer available by providing for an alternative rate-setting methodology, not all may have such provisions and there may be significant uncertainty regarding the effectiveness of any such alternative methodologies. Since the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the end of 2021.
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) | $29,600,000 |
Warrants (number of warrants) | 16,000 |
164 PanAgora Market Neutral Fund |
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 | Investments, Receivables | $366,985 | Payables | $375,368 |
Total | $366,985 | $375,368 |
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 | Warrants | Swaps | Total |
Equity contracts | $974 | $(544,264) | $(543,290) |
Total | $974 | $(544,264) | $(543,290) |
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 | Warrants | Swaps | Total |
Equity contracts | $(213) | $(94,922) | $(95,135) |
Total | $(213) | $(94,922) | $(95,135) |
PanAgora Market Neutral Fund 165 |
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*# | $316,327 | $316,327 |
Total Assets | $316,327 | $316,327 |
Liabilities: | ||
OTC Total return swap contracts*# | $375,368 | $375,368 |
Total Liabilities | $375,368 | $375,368 |
Total Financial and Derivative Net Assets | $(59,041) | $(59,041) |
Total collateral received (pledged)†## | $(59,041) | |
Net amount | $— | |
Controlled collateral received (including | ||
TBA commitments)** | $— | $— |
Uncontrolled collateral received | $— | $— |
Collateral (pledged) (including TBA commitments)** | $(3,545,595) | $(3,545,595) |
* 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 and/or Deposits with broker on the Statement of assets and liabilities. This amount represents collateral on margin requirements for outstanding OTC total return swap contracts.
† 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.
166 PanAgora Market Neutral Fund |
Federal tax information (Unaudited)
The Form 1099 that will be mailed to you in January 2021 will show the tax status of all distributions paid to your account in calendar 2020.
PanAgora Market Neutral Fund 167 |
168 PanAgora Market Neutral Fund |
* Mr. Reynolds is an “interested person” (as defined in the Investment Company Act of 1940) of the fund and Putnam Investments. He is President and Chief Executive Officer of Putnam Investments, as well as the President of your fund and each of the other Putnam funds.
The address of each Trustee is 100 Federal Street, Boston, MA 02110.
As of August 31, 2020, there were 98 Putnam funds. All Trustees serve as Trustees of all Putnam funds.
Each Trustee serves for an indefinite term, until his or her resignation, retirement at age 75, removal, or death.
PanAgora Market Neutral Fund 169 |
Officers
In addition to Robert L. Reynolds, the other officers of the fund are shown below:
Robert T. Burns (Born 1961) | Richard T. Kircher (Born 1962) |
Vice President and Chief Legal Officer | Vice President and BSA Compliance Officer |
Since 2011 | Since 2019 |
General Counsel, Putnam Investments, | Assistant Director, Operational Compliance, Putnam |
Putnam Management, and Putnam Retail Management | Investments and Putnam Retail Management |
James F. Clark (Born 1974) | Susan G. Malloy (Born 1957) |
Vice President and Chief Compliance Officer | Vice President and Assistant Treasurer |
Since 2016 | Since 2007 |
Chief Compliance Officer and Chief Risk Officer, | Head of Accounting and Middle Office Services, |
Putnam Investments and Chief Compliance Officer, | Putnam Investments and Putnam Management |
Putnam Management | |
Denere P. Poulack (Born 1968) | |
Nancy E. Florek (Born 1957) | Assistant Vice President, Assistant Clerk, |
Vice President, Director of Proxy Voting and Corporate | and Assistant Treasurer |
Governance, Assistant Clerk, and Assistant Treasurer | Since 2004 |
Since 2000 | |
Janet C. Smith (Born 1965) | |
Michael J. Higgins (Born 1976) | Vice President, Principal Financial Officer, Principal |
Vice President, Treasurer, and Clerk | Accounting Officer, and Assistant Treasurer |
Since 2010 | Since 2007 |
Head of Fund Administration Services, | |
Jonathan S. Horwitz (Born 1955) | Putnam Investments and Putnam Management |
Executive Vice President, Principal Executive Officer, | |
and Compliance Liaison | Mark C. Trenchard (Born 1962) |
Since 2004 | Vice President |
Since 2002 | |
Director of Operational Compliance, Putnam | |
Investments and Putnam Retail Management |
The principal occupations of the officers for the past five years have been with the employers as shown above, although in some cases they have held different positions with such employers. The address of each officer is 100 Federal Street, Boston, MA 02110.
170 PanAgora Market Neutral Fund |
Putnam family of funds
The following is a list of Putnam’s open-end mutual funds offered to the public. Investors should carefully consider the investment objective, risks, charges, and expenses of a fund before investing. For a prospectus, or a summary prospectus if available, containing this and other information for any Putnam fund or product, contact your financial advisor or call Putnam Investor Services at 1-800-225-1581. Please read the prospectus carefully before investing.
Blend | Income |
Emerging Markets Equity Fund | Convertible Securities Fund |
Focused Equity Fund | Diversified Income Trust |
Global Equity Fund | Floating Rate Income Fund |
International Capital Opportunities Fund | Global Income Trust |
International Equity Fund | Government Money Market Fund* |
Multi-Cap Core Fund | High Yield Fund |
Research Fund | Income Fund |
Money Market Fund† | |
Global Sector | Mortgage Opportunities Fund |
Global Health Care Fund | Mortgage Securities Fund |
Global Technology Fund | Short Duration Bond Fund |
Ultra Short Duration Income Fund | |
Growth | |
Growth Opportunities Fund | Tax-free Income |
Small Cap Growth Fund | Intermediate-Term Municipal Income Fund |
Sustainable Future Fund | Short-Term Municipal Income Fund |
Sustainable Leaders Fund | Strategic Intermediate Municipal Fund |
Tax Exempt Income Fund | |
Value | Tax-Free High Yield Fund |
Equity Income Fund | |
International Value Fund | State tax-free income funds‡: |
Small Cap Value Fund | California, Massachusetts, Minnesota, |
New Jersey, New York, Ohio, and Pennsylvania. | |
PanAgora Market Neutral Fund 171 |
Absolute Return | Asset Allocation (cont.) |
Fixed Income Absolute Return Fund | Putnam Retirement Advantage Maturity Fund |
Multi-Asset Absolute Return Fund | Putnam Retirement Advantage 2060 Fund |
Putnam Retirement Advantage 2055 Fund | |
Putnam PanAgora** | Putnam Retirement Advantage 2050 Fund |
Putnam PanAgora Managed Futures Strategy | Putnam Retirement Advantage 2045 Fund |
Putnam PanAgora Market Neutral Fund | Putnam Retirement Advantage 2040 Fund |
Putnam PanAgora Risk Parity Fund | Putnam Retirement Advantage 2045 Fund |
Putnam Retirement Advantage 2040 Fund | |
Asset Allocation | Putnam Retirement Advantage 2035 Fund |
Dynamic Risk Allocation Fund | Putnam Retirement Advantage 2030 Fund |
George Putnam Balanced Fund | Putnam Retirement Advantage 2025 Fund |
Putnam Retirement Advantage 2020 Fund | |
Dynamic Asset Allocation Balanced Fund | |
Dynamic Asset Allocation Conservative Fund | RetirementReady® Maturity Fund |
Dynamic Asset Allocation Growth Fund | RetirementReady® 2060 Fund |
RetirementReady® 2055 Fund | |
RetirementReady® 2050 Fund | |
RetirementReady® 2045 Fund | |
RetirementReady® 2040 Fund | |
RetirementReady® 2035 Fund | |
RetirementReady® 2030 Fund | |
RetirementReady® 2025 Fund | |
RetirementReady® 2020 Fund |
* You could lose money by investing in the fund. Although the fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The fund’s sponsor has no legal obligation to provide financial support to the fund, and you should not expect that the sponsor will provide financial support to the fund at any time.
† You could lose money by investing in the fund. Although the fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The fund’s sponsor has no legal obligation to provide financial support to the fund, and you should not expect that the sponsor will provide financial support to the fund at any time.
‡ Not available in all states.
** Sub-advised by PanAgora Asset Management.
Check your account balances and the most recent month-end performance in the Individual Investors section at putnam.com.
172 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 |
One International Place, 24th Floor | George Putnam, III | |
Boston, MA 02110 | Robert L. Reynolds | Richard T. Kircher |
Manoj P. Singh | Vice President and BSA | |
Marketing Services | Mona K. Sutphen | Compliance Officer |
Putnam Retail Management | ||
100 Federal Street | Officers | Susan G. Malloy |
Boston, MA 02110 | Robert L. Reynolds | Vice President and |
President | Assistant Treasurer | |
Custodian | ||
State Street Bank | Robert T. Burns | Denere P. Poulack |
and Trust Company | Vice President and | Assistant Vice President, Assistant |
Chief Legal Officer | Clerk, and Assistant Treasurer | |
Legal Counsel | ||
Ropes & Gray LLP | James F. Clark | Janet C. Smith |
Vice President, Chief Compliance | Vice President, | |
Independent Registered Public | Officer, and Chief Risk Officer | Principal Financial Officer, |
Accounting Firm | Principal Accounting Officer, | |
PricewaterhouseCoopers LLP | Nancy E. Florek | and Assistant Treasurer |
Vice President, Director of | ||
Proxy Voting and Corporate | Mark C. Trenchard | |
Governance, Assistant Clerk, | Vice President | |
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.
Item 2. Code of Ethics: |
(a) The fund's principal executive, financial and accounting officers are employees of Putnam Investment Management, LLC, the Fund's investment manager. As such they are subject to a comprehensive Code of Ethics adopted and administered by Putnam Investments which is designed to protect the interests of the firm and its clients. The Fund has adopted a Code of Ethics which incorporates the Code of Ethics of Putnam Investments with respect to all of its officers and Trustees who are employees of Putnam Investment Management, LLC. For this reason, the Fund has not adopted a separate code of ethics governing its principal executive, financial and accounting officers. |
(c) In October 2019, the Code of Ethics of Putnam Investments was amended. The key changes to the Code of Ethics are as follows: (i) Employee notification to the Code of Ethics Officer before acting as a public official for any government entity (ii) Clarifying changes to the Insider Trading provisions and to the rules for trading in securities issued by Great-West Lifeco. |
In December 2019, the Code of Ethics of PanAgora Asset Management, Inc. was amended to remove a previous exemption from the preclearance requirements of personal trades in certain “broad based” closed-end funds and legacy references to Marsh & McLennan Companies. |
Item 3. Audit Committee Financial Expert: |
The Funds' Audit, Compliance and Risk Committee is comprised solely of Trustees who are “independent” (as such term has been defined by the Securities and Exchange Commission (“SEC”) in regulations implementing Section 407 of the Sarbanes-Oxley Act (the “Regulations”)). The Trustees believe that each member of the Audit, Compliance and Distributions Committee also possesses a combination of knowledge and experience with respect to financial accounting matters, as well as other attributes, that qualifies him or her for service on the Committee. In addition, the Trustees have determined that each of Dr. Hill, Dr. Joskow, and Mr. Singh qualifies as an “audit committee financial expert” (as such term has been defined by the Regulations) based on their review of his or her pertinent experience and education; in the case of Dr. Joskow, including his experience serving on the audit committees of several public companies and institutions and his education and experience as an economist who studies companies and industries, routinely using public company financial statements in his research. The SEC has stated, and the funds' amended and restated agreement and Declaration of Trust provides, that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liability that are greater than the duties, obligations and liability imposed on such person as a member of the Audit, Compliance and Risk Committee and the Board of Trustees in the absence of such designation or identification. |
Item 4. Principal Accountant Fees and Services: |
The following table presents fees billed in each of the last two fiscal years for services rendered to the fund by the fund's independent auditor: |
Fiscal year ended | Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
August 31, 2020 | $51,044 | $ — | $7,296 | $ — | |
August 31, 2019 | $49,452 | $ — | $5,670 | $ — |
For the fiscal years ended August 31, 2020 and August 31, 2019, the fund's independent auditor billed aggregate non-audit fees in the amounts of $353,138 and $552,654 respectively, to the fund, Putnam Management and any entity controlling, controlled by or under common control with Putnam Management that provides ongoing services to the fund. |
Audit Fees represent fees billed for the fund's last two fiscal years relating to the audit and review of the financial statements included in annual reports and registration statements, and other services that are normally provided in connection with statutory and regulatory filings or engagements. |
Audit-Related Fees represent fees billed in the fund's last two fiscal years for services traditionally performed by the fund's auditor, including accounting consultation for proposed transactions or concerning financial accounting and reporting standards and other audit or attest services not required by statute or regulation. |
Tax Fees represent fees billed in the fund's last two fiscal years for tax compliance, tax planning and tax advice services. Tax planning and tax advice services include assistance with tax audits, employee benefit plans and requests for rulings or technical advice from taxing authorities. |
Pre-Approval Policies of the Audit, Compliance and Distributions Committee. The Audit, Compliance and Distributions Committee of the Putnam funds has determined that, as a matter of policy, all work performed for the funds by the funds' independent auditors will be pre-approved by the Committee itself and thus will generally not be subject to pre-approval procedures. |
The Audit, Compliance and Distributions Committee also has adopted a policy to pre-approve the engagement by Putnam Management and certain of its affiliates of the funds' independent auditors, even in circumstances where pre-approval is not required by applicable law. Any such requests by Putnam Management or certain of its affiliates are typically submitted in writing to the Committee and explain, among other things, the nature of the proposed engagement, the estimated fees, and why this work should be performed by that particular audit firm as opposed to another one. In reviewing such requests, the Committee considers, among other things, whether the provision of such services by the audit firm are compatible with the independence of the audit firm. |
The following table presents fees billed by the fund's independent auditor for services required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2–01 of Regulation S-X. |
Fiscal year ended | Audit-Related Fees | Tax Fees | All Other Fees | Total Non-Audit Fees | |
August 31, 2020 | $ — | $345,842 | $ — | $ — | |
August 31, 2019 | $ — | $546,984 | $ — | $ — |
Item 5. Audit Committee of Listed Registrants |
Not applicable |
Item 6. Schedule of Investments: |
The registrant's schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above. |
Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies: |
Not applicable |
Item 8. Portfolio Managers of Closed-End Investment Companies |
Not Applicable |
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers: |
Not applicable |
Item 10. Submission of Matters to a Vote of Security Holders: |
Not applicable |
Item 11. Controls and Procedures: |
(a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 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. |
(b) Changes in internal control over financial reporting: Not applicable |
Item 12. Disclosures of Securities Lending Activities for Closed-End Management Investment Companies: |
Not Applicable |
Item 13. Exhibits: |
(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith. |
SIGNATURES |
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. |
Putnam Investment Funds |
By (Signature and Title): |
/s/ Janet C. Smith Janet C. Smith Principal Accounting Officer |
Date: October 29, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. |
By (Signature and Title): |
/s/ Jonathan S. Horwitz Jonathan S. Horwitz Principal Executive Officer |
Date: October 29, 2020 |
By (Signature and Title): |
/s/ Janet C. Smith Janet C. Smith Principal Financial Officer |
Date: October 29, 2020 |