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| UNITED STATES
SECURITIES AND EXCHANGE COMMISSION |
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| CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
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| Investment Company Act file number: | (811-07237) |
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| Exact name of registrant as specified in charter: | Putnam Investment Funds |
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| Address of principal executive offices: | 100 Federal Street, Boston, Massachusetts 02110 |
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| Name and address of agent for service: | Robert T. Burns, Vice President
100 Federal Street
Boston, Massachusetts 02110 |
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| Copy to: | Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036 |
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| Registrant's telephone number, including area code: | (617) 292-1000 |
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| Date of fiscal year end: | August 31, 2021 |
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| Date of reporting period: | September 1, 2020 — February 28, 2021 |
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Item 1. Report to Stockholders: | |
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| The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940: | |
Putnam PanAgora
Market Neutral
Fund
Semiannual report
2 | 28 | 21
Message from the Trustees
April 7, 2021
Dear Fellow Shareholder:
Optimism about society emerging from the Covid-19 pandemic remains tempered by concern about newer, more aggressive strains of the virus. On the plus side, the U.S. infection rate has declined and the pace of vaccinations is accelerating. The economy registered growth above 4% in the fourth quarter of 2020, and recent employment data is encouraging.
Investors must keep in mind that when the bond market sees stronger economic growth and the chance of inflation ahead, bond prices typically fall and yields rise. In such conditions, stock prices might also weaken as investors consider how rising yields could change borrowing costs.
No matter how markets move, Putnam remains active with strategies that seek superior investment performance. The portfolio managers and analysts keep their focus on research and potential risks, a discipline intended to serve you through changing conditions.
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 7–8 for additional performance information. For a portion of the periods, the fund had expense limitations, without which returns would have been lower. To obtain the most recent month-end performance, visit putnam.com.
* Source: Lipper, a Refinitiv company.
† Returns for the six-month period are not annualized, but cumulative.
This comparison shows your fund’s performance in the context of broad market indexes for the six months ended 2/28/21. See above and pages 7–8 for additional fund performance information. Index descriptions can be found on pages 12–13.
* Source: Bloomberg Index Services Limited.
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| 2 PanAgora Market Neutral Fund |
Please describe the global investing environment for the reporting period.
Global equity markets made a remarkable comeback, recouping losses sustained during the pandemic-driven downturn in early 2020. During the six-month reporting period, the global economic recovery was bolstered by promising vaccine-development news and U.S. election results. The removal of political uncertainty in the United States renewed demand for equities, and stock markets rallied strongly in November 2020. Equity investors also were encouraged by a U.K.–European trade deal in late 2020, which solidified the United Kingdom’s exit from the European Union [EU]. Similarly, after seven years of talks, the EU and China agreed to an investment treaty that resulted in mutually improved access to select markets.
Sentiment continued to improve in 2021 when the Biden administration announced an increase in the supply of Covid-19 vaccinations, and investors saw progress toward ending the pandemic. Across the Atlantic, Eurostat, the EU’s statistics office, confirmed that consumer prices across 19 EU-member countries had risen 0.90% year-over-year in January 2021. This brought inflation back to the eurozone for the first time in months. An increase in the prices of commodities, such as copper and aluminum, also aided certain emerging-market countries,
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| 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 2/28/21. 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.
including Argentina and the world’s leading exporter of copper, Chile.
Within the United States, small-cap equities largely outperformed the broader stock market. The Russell 2000 Index posted a return of 41.69% compared with 9.74% for the S&P 500 Index for the period. Emerging markets also reported gains, with the MSCI Emerging Markets Index [ND] returning 22.32% for the period. International developed-market equities also posted a solid increase, with the MSCI World ex-U.S. Index [ND] returning 14.23% for the period.
Investor demand for safe-haven assets persisted toward the end of 2020, against concerns over rising global Covid-19 infection rates. As the rollout of Covid-19 vaccines improved, the global economic recovery quickened and triggered inflationary concerns. Bonds began to broadly sell off in January and February 2021. Better-than-expected U.S. economic data, along with plans for more fiscal stimulus, helped push bond yields back up to pre-pandemic levels. The yield on the benchmark 10-year U.S. Treasury note rose 72 basis points to close the period at 1.44%. As prices fell, yields for developed-market government debt also rose. For the period, the FTSE World Government Bond ex-U.S. [Hedged] Index declined 0.80% compared with a decline of 3.43% for the Bloomberg Barclays U.S. Treasury Index. Investment-grade credit fared somewhat better as spreads continued to tighten during the period. For the period, the Bloomberg Barclays U.S. Credit Index reported a loss of 0.47%.
Inflationary concerns and the prospects of an accelerated global economic recovery proved to be a boon for commodities, particularly energy. The price of West Texas Intermediate crude oil rose by more than 45% to $62.40 per barrel at period-end — its highest level since December 2019. Each of the main commodity sectors, with the exception of safe-haven precious metals, posted gains over the six-month period. Commodity prices also were boosted by a weaker U.S. dollar, which depreciated against other major currencies. The more heavily energy-weighted S&P GSCI reported a gain of 28.03%, while the more balanced Bloomberg Commodity Index increased 16.32% for the period.
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| 4 PanAgora Market Neutral Fund |
How did the fund perform during the reporting period? Could you discuss some detractors and contributors to results?
On an absolute basis, Putnam PanAgora Market Neutral Fund returned 3.32% for the reporting period. Intermediate-term strategies were a top contributor to positive performance, largely from the special purpose acquisition company strategy. U.S. merger arbitrage-related trades also contributed to the fund’s positive performance. In addition, short-term strategies benefited results, particularly our analyst-day strategies.
The long-term portfolio detracted from performance due to poor stock selection within the United States. The alpha model had negative performance in the U.S. region. Growth, quality, and momentum factors struggled, and value metrics performed poorly, particularly in large-cap stocks. Within U.S. sectors, consumer staples and information technology were detractors from performance, and healthcare was the top contributor. The alpha model within the health-care sector benefited from the positive performance of top quintile names within the large-cap industry-specific model.
International positions slightly detracted from performance for the six-month period due to stock selection within developed regions. Positions in the euro region, most notably the United Kingdom and Germany, detracted the most. Emerging-market positions were positive for the period. The Asia-Pacific region was a bright spot for the fund, with strong performance from our stock selections in China and Taiwan.
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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| PanAgora Market Neutral Fund 5 |
How did the fund use derivatives during the reporting period?
We used total return swaps to take long or short positions in equity securities.
What is your outlook and portfolio strategy for the coming months?
The fund is designed to generate attractive, absolute returns under different market conditions and over different time horizons. The fund uses a diversified set of strategies that have low correlation to one another. We believe their combination can result in more stable returns over time than any individual strategy in and of itself.
A majority of the fund’s allocation is within the long-term portfolio, which utilizes fundamental-based signals applied across a broad universe of stocks. The long-term portfolio also is likely to generate 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.
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.
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| 6 PanAgora Market Neutral Fund |
Your fund’s performance
This section shows your fund’s performance, price, and distribution information for periods ended February 28, 2021, the end of the first half of its current fiscal year. In accordance with regulatory requirements for mutual funds, we also include performance information as of the most recent calendar quarter-end and expense information taken from the fund’s current prospectus. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance information does not reflect any deduction for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. For the most recent month-end performance, please visit the Individual Investors section at putnam.com or call Putnam at 1-800-225-1581. Class R, R6, and Y shares are not available to all investors. See the Terms and definitions section in this report for definitions of the share classes offered by your fund.
Fund performance Total return for periods ended 2/28/21
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| | Life of fund | Annual average | 3 years | Annual average | 1 year | 6 months |
| Class A (9/21/17) | | | | | | |
| Before sales charge | –16.00% | –4.94% | –15.07% | –5.30% | 2.82% | 3.32% |
| After sales charge | –20.83 | –6.57 | –19.95 | –7.15 | –3.10 | –2.62 |
| Class B (9/21/17) | | | | | | |
| Before CDSC | –18.10 | –5.64 | –16.85 | –5.97 | 1.99 | 3.02 |
| After CDSC | –20.56 | –6.47 | –19.35 | –6.92 | –3.01 | –1.98 |
| Class C (9/21/17) | | | | | | |
| Before CDSC | –18.10 | –5.64 | –16.85 | –5.97 | 1.99 | 3.02 |
| After CDSC | –18.10 | –5.64 | –16.85 | –5.97 | 0.99 | 2.02 |
| Class R (9/21/17) | | | | | | |
| Net asset value | –16.70 | –5.18 | –15.60 | –5.50 | 2.46 | 3.22 |
| Class R6 (9/21/17) | | | | | | |
| Net asset value | –15.30 | –4.71 | –14.44 | –5.07 | 3.04 | 3.42 |
| Class Y (9/21/17) | | | | | | |
| Net asset value | –15.30 | –4.71 | –14.44 | –5.07 | 3.04 | 3.42 |
Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. After-sales-charge returns for class A shares reflect the deduction of the maximum 5.75% sales charge levied at the time of purchase. Class B share returns after contingent deferred sales charge (CDSC) reflect the applicable CDSC, which is 5% in the first year, declining over time to 1% in the sixth year, and is eliminated thereafter. Class C share returns after CDSC reflect a 1% CDSC for the first year that is eliminated thereafter. Class R, R6, and Y shares have no initial sales charge or CDSC.
For a portion of the periods, the fund had expense limitations, without which returns would have been lower.
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| PanAgora Market Neutral Fund 7 |
Comparative index returns For periods ended 2/28/21
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| | Life of fund | Annual average | 3 years | Annual average | 1 year | 6 months |
| ICE BofA U.S. | | | | | | |
| Treasury Bill Index | 5.36% | 1.53% | 4.86% | 1.59% | 0.44% | 0.06% |
| Lipper Alternative | | | | | | |
| Equity Market | | | | | | |
| Neutral Funds | –7.78 | –3.36 | –8.78 | –3.90 | –3.88 | –1.36 |
| category average* | | | | | | |
Index and Lipper results should be compared with fund performance before sales charge, before CDSC, or at net asset value.
* Over the 6-month, 1-year, 3-year, and life-of-fund periods ended 2/28/21, there were 55, 52, 49, and 49 funds, respectively, in this Lipper category.
Fund price and distribution information For the six-month period ended 2/28/21
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| | 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 |
| 8/31/20 | $8.13 | $8.63 | $7.95 | $7.95 | $8.07 | $8.19 | $8.19 |
| 2/28/21 | 8.40 | 8.91 | 8.19 | 8.19 | 8.33 | 8.47 | 8.47 |
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.
Fund performance as of most recent calendar quarter Total return for periods ended 3/31/21
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| | Life of fund | Annual average | 3 years | Annual average | 1 year | 6 months |
| Class A (9/21/17) | | | | | | |
| Before sales charge | –12.60% | –3.74% | –10.08% | –3.48% | 8.03% | 6.07% |
| After sales charge | –17.63 | –5.35 | –15.25 | –5.37 | 1.82 | –0.03 |
| Class B (9/21/17) | | | | | | |
| Before CDSC | –14.80 | –4.44 | –11.98 | –4.17 | 7.30 | 5.84 |
| After CDSC | –17.36 | –5.26 | –14.62 | –5.13 | 2.30 | 0.84 |
| Class C (9/21/17) | | | | | | |
| Before CDSC | –14.80 | –4.44 | –11.98 | –4.17 | 7.30 | 5.84 |
| After CDSC | –14.80 | –4.44 | –11.98 | –4.17 | 6.30 | 4.84 |
| Class R (9/21/17) | | | | | | |
| Net asset value | –13.30 | –3.96 | –10.71 | –3.71 | 7.84 | 5.99 |
| Class R6 (9/21/17) | | | | | | |
| Net asset value | –11.80 | –3.49 | –9.35 | –3.22 | 8.35 | 6.27 |
| Class Y (9/21/17) | | | | | | |
| Net asset value | –11.80 | –3.49 | –9.35 | –3.22 | 8.35 | 6.27 |
See the discussion following the fund performance table on page 7 for information about the calculation of fund performance.
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| 8 PanAgora Market Neutral Fund |
Your fund’s expenses
As a mutual fund investor, you pay ongoing expenses, such as management fees, distribution fees (12b-1 fees), and other expenses. In the most recent six-month period, your fund’s expenses were limited; had expenses not been limited, they would have been higher. Using the following information, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You may also pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial representative.
Expense ratios
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| | Class A | Class B | Class C | Class R | Class R6 | Class Y |
| Net expenses for the fiscal year | | | | | | |
| ended 8/31/20* | 1.83% | 2.58% | 2.58% | 2.08% | 1.59% | 1.58% |
| Total annual operating expenses for the | | | | | | |
| fiscal year ended 8/31/20 | 3.77% | 4.52% | 4.52% | 4.02% | 3.53% | 3.52% |
| Annualized expense ratio for the | | | | | | |
| six-month period ended 2/28/21 | 1.79% | 2.54% | 2.54% | 2.04% | 1.55% | 1.54% |
Fiscal year expense information in this table is taken from the most recent prospectus, is subject to change, and may differ from that shown for the annualized expense ratio and in the financial highlights of this report.
Prospectus expense information also includes the impact of acquired fund fees and expenses of 0.04%, which is not included in the financial highlights or annualized expense ratios. Expenses are shown as a percentage of average net assets.
* Reflects Putnam Management’s contractual obligation to limit certain fund expenses through 12/30/21.
Expenses per $1,000
The following table shows the expenses you would have paid on a $1,000 investment in each class of the fund from 9/1/20 to 2/28/21. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
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| | Class A | Class B | Class C | Class R | Class R6 | Class Y |
| Expenses paid per $1,000*† | $9.02 | $12.79 | $12.79 | $10.28 | $7.82 | $7.77 |
| Ending value (after expenses) | $1,033.20 | $1,030.20 | $1,030.20 | $1,032.20 | $1,034.20 | $1,034.20 |
* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 2/28/21. The expense ratio may differ for each share class.
† Expenses are calculated by multiplying the expense ratio by the average account value for the period; then multiplying the result by the number of days in the period; and then dividing that result by the number of days in the year.
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| PanAgora Market Neutral Fund 9 |
Estimate the expenses you paid
To estimate the ongoing expenses you paid for the six months ended 2/28/21, use the following calculation method. To find the value of your investment on 9/1/20, 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.
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| | Class A | Class B | Class C | Class R | Class R6 | Class Y |
| Expenses paid per $1,000*† | $8.95 | $12.67 | $12.67 | $10.19 | $7.75 | $7.70 |
| Ending value (after expenses) | $1,015.92 | $1,012.20 | $1,012.20 | $1,014.68 | $1,017.11 | $1,017.16 |
* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 2/28/21. The expense ratio may differ for each share class.
† Expenses are calculated by multiplying the expense ratio by the average account value for the six-month period; then multiplying the result by the number of days in the six-month period; and then dividing that result by the number of days in the year.
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| 10 PanAgora Market Neutral Fund |
Consider these risks before investing
There can be no assurance that the fund’s strategies will achieve any particular level of return. The fund’s allocation of assets may hurt performance, and efforts to generate returns under different market conditions and over different time horizons may be unsuccessful. Quantitative models or data may be incorrect or incomplete, and reliance on those models or data may not produce the desired results. The value of investments in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political, or financial market conditions; investor sentiment and market perceptions; government actions; geopolitical events or changes; and factors related to a specific issuer, asset class, geography, industry, or sector. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings. Investments in small and/or midsize companies increase the risk of greater price fluctuations. Bond investments in which the fund invests (or has exposure to) are subject to interest-rate risk and credit risk. Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Risks associated with derivatives (including “short” derivatives) include losses caused by unexpected market movements (which are potentially unlimited), imperfect correlation between the price of the derivative and the price of the underlying asset, increased investment exposure (which may be considered leverage), the potential inability to terminate or sell derivatives positions, the potential need to sell securities at disadvantageous times to meet margin or segregation requirements, the potential inability to recover margin or other amounts deposited from a counterparty, and the potential failure of the other party to the instrument to meet its obligations. Leveraging can result in volatility in the fund’s performance and losses in excess of the amounts invested. International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Exposure to REITs subjects the fund to the risks associated with direct ownership in real estate, including economic downturns that have an adverse effect on real estate markets. By investing in open-end or closed-end investment companies and ETFs, the fund is indirectly exposed to the risks associated with direct ownership of the securities held by those investment companies or ETFs. Certain investments are not as readily traded as conventional securities, and the fund may be unable to sell these investments when it considers it desirable to do so. Frequent trading may cause the fund to experience increased brokerage commissions and other transaction costs, and the fund may be more likely to realize capital gains that must be distributed to shareholders as taxable ordinary income. Our investment techniques, analyses, and judgments may not produce the outcome we intend. The investments we select for the fund may not perform as well as other securities that we do not select for the fund. We, or the fund’s other service providers, may experience disruptions or operating errors that could have a negative effect on the fund. You can lose money by investing in the fund.
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| 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 Commodity Index is a broadly diversified index that measures the prices of commodities.
FTSE World Government Bond Index ex-U.S. (Hedged) is an unmanaged index that represents the world bond market, excluding the United States.
ICE BofA (Intercontinental Exchange Bank of America) U.S. 3-Month Treasury Bill Index is an unmanaged index that seeks to measure the performance of U.S. Treasury bills available in the marketplace.
MSCI Emerging Markets Index (ND) is a free float-adjusted market capitalization index that
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| 12 PanAgora Market Neutral Fund |
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.
Russell 2000 Index is an unmanaged index comprised of approximately 2,000 of the smallest companies in the Russell 3000 Index as measured by their market capitalization.
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.
BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). BARCLAYS® is a trademark and service mark of Barclays Bank Plc (collectively with its affiliates, “Barclays”), used under license. Bloomberg or Bloomberg’s licensors, including Barclays, own all proprietary rights in the Bloomberg Barclays Indices. Neither Bloomberg nor Barclays approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or limited, as to the results to be obtained therefrom, and to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.
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.
FTSE Russell is the source and owner of the trademarks, service marks, and copyrights related to the FTSE Indexes. FTSE® is a trademark of FTSE Russell.
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.
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| PanAgora Market Neutral Fund 13 |
Other information for shareholders
Important notice regarding delivery of shareholder documents
In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single copy of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581, and Putnam will begin sending individual copies within 30 days.
Proxy voting
Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2020, are available in the Individual Investors section of putnam.com and on the SEC’s website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines 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 the fund’s Form N-PORT on the SEC’s website at www.sec.gov.
Prior to its use of Form N-PORT, the fund filed its complete schedule of its portfolio holdings with the SEC on Form N-Q, which is available online at www.sec.gov.
Trustee and employee fund ownership
Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of February 28, 2021, Putnam employees had approximately $555,000,000 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.
|
| 14 PanAgora Market Neutral Fund |
Financial statements
These sections of the report, as well as the accompanying Notes, constitute the fund’s financial statements.
The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.
Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)
Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal period.
Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year.
Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.
|
| PanAgora Market Neutral Fund 15 |
The fund’s portfolio 2/28/21 (Unaudited)
| | |
| UNITS (10.0%)* † | Units | Value |
| 10X Capital Venture Acquisition Corp. | 1,281 | $15,782 |
| ACON S2 Acquisition Corp. | 2,000 | 21,920 |
| AEA-Bridges Impact Corp. (Cayman Islands) | 2,562 | 29,207 |
| Aequi Acquisition Corp. | 2,566 | 27,585 |
| Alpha Healthcare Acquisition Corp. | 900 | 11,808 |
| Altimar Acquisition Corp. II | 278 | 2,863 |
| Altimeter Growth Corp. | 269 | 3,629 |
| Apollo Strategic Growth Capital | 2,422 | 26,860 |
| Astrea Acquisition Corp. | 1,377 | 13,866 |
| Athlon Acquisition Corp. | 138 | 1,421 |
| Atlas Crest Investment Corp. | 1,293 | 17,132 |
| Avanti Acquisition Corp. (Cayman Islands) | 2,576 | 29,289 |
| BlueRiver Acquisition Corp. | 278 | 2,866 |
| Broadscale Acquisition Corp. | 278 | 2,891 |
| Brookline Capital Acquisition Corp. | 1,613 | 18,566 |
| Carney Technology Acquisition Corp. II | 1,493 | 15,677 |
| Cascade Acquisition Corp. | 2,563 | 28,065 |
| Consonance-HFW Acquisition Corp. | 2,107 | 22,903 |
| Duddell Street Acquisition Corp. (Hong Kong) | 400 | 4,652 |
| Empower, Ltd. | 801 | 8,370 |
| EQ Health Acquisition Corp. | 278 | 2,813 |
| Eucrates Biomedical Acquisition Corp. | 1,980 | 21,780 |
| G Squared Ascend I, Inc. | 278 | 2,905 |
| Genesis Park Acquisition Corp. | 2,563 | 28,270 |
| Global Synergy Acquisition Corp. | 274 | 2,850 |
| Golden Falcon Acquisition Corp. | 270 | 2,930 |
| Gores Holdings VI, Inc. | 161 | 3,059 |
| HIG Acquisition Corp. | 2,571 | 27,844 |
| Horizon Acquisition Corp. II | 2,571 | 28,230 |
| Hudson Executive Investment Corp. II | 274 | 2,863 |
| IG Acquisition Corp. | 2,381 | 26,429 |
| Ignyte Acquisition Corp. | 689 | 7,235 |
| Jack Creek Investment Corp. | 322 | 3,317 |
| KINS Technology Group, Inc. | 1,605 | 17,206 |
| L&F Acquisition Corp. (IL) | 2,126 | 23,046 |
| Legato Merger Corp. | 1,607 | 16,488 |
| LightJump Acquisition Corp. | 1,370 | 14,166 |
| Mallard Acquisition Corp. | 2,570 | 27,268 |
| Marlin Technology Corp. | 269 | 2,798 |
| Motion Acquisition Corp. | 2,563 | 27,501 |
| NextGen Acquisition Corp. | 481 | 5,801 |
| North Mountain Merger Corp. | 2,321 | 25,160 |
| Petra Acquisition, Inc. | 2,583 | 28,645 |
| Progress Acquisition Corp. | 2,352 | 23,708 |
| Qell Acquisition Corp. | 2,391 | 30,748 |
| Recharge Acquisition Corp. | 2,381 | 25,381 |
| Roth CH Acquisition II Co. | 1,760 | 20,240 |
| SCP & CO Healthcare Acquisition Co. | 321 | 3,274 |
| Senior Connect Acquisition Corp. I | 269 | 2,833 |
|
| 16 PanAgora Market Neutral Fund |
| | |
| UNITS (10.0%)* † cont. | Units | Value |
| Social Leverage Acquisition Corp. I | 279 | $2,969 |
| Sports Entertainment Acquisition Corp. | 2,408 | 26,488 |
| Thimble Point Acquisition Corp. | 278 | 2,877 |
| TLG Acquisition One Corp. | 2,312 | 23,212 |
| Vector Acquisition Corp. | 2,172 | 23,544 |
| VG Acquisition Corp. | 1,211 | 14,883 |
| Viveon Health Acquisition Corp. | 674 | 7,272 |
| Yellowstone Acquisition Co. | 2,563 | 28,116 |
| Total units (cost $840,350) | | $889,501 |
| | |
| COMMON STOCKS (6.1%)* | Shares | Value |
| Capital markets (0.2%) | | |
| Morgan Stanley | 219 | $16,835 |
| | | 16,835 |
| Diversified financial services (5.9%) | | |
| 5:01 Acquisition Corp. Class A † | 2,563 | 27,193 |
| Alussa Energy Acquisition Corp. Class A (Cayman Islands) † | 428 | 4,708 |
| Amplitude Healthcare Acquisition Corp. Class A † | 2,946 | 30,152 |
| Ascendant Digital Acquisition Corp. Class A † | 334 | 3,570 |
| BCTG Acquisition Corp. † | 1,936 | 22,632 |
| Brilliant Acquisition Corp. (Rights) (China) † | 2,626 | 1,129 |
| Broadstone Acquisition Corp. Class A (United Kingdom) † | 2,560 | 26,496 |
| Capstar Special Purpose Acquisition Corp. Class A † | 2,526 | 25,892 |
| Churchill Capital Corp. IV Class A † | 641 | 19,711 |
| CM Life Sciences, Inc. Class A † | 961 | 19,230 |
| Dragoneer Growth Opportunities Corp. Class A † | 165 | 1,742 |
| E.Merge Technology Acquisition Corp. Class A † | 2,553 | 25,938 |
| East Resources Acquisition Co. Class A † | 2,546 | 25,766 |
| EDOC Acquisition Corp. (Rights) † | 2,576 | 1,275 |
| EDOC Acquisition Corp. Class A † | 2,576 | 26,172 |
| Executive Network Partnering Corp. Class A † | 435 | 10,932 |
| Fortress Value Acquisition Corp. II Class A † | 1,282 | 13,153 |
| FTAC Olympus Acquisition Corp. Class A † | 646 | 7,623 |
| HealthCor Catalio Acquisition Corp. Class A † | 2,219 | 22,989 |
| Highcape Capital Acquisition Corp. Class A † | 1,290 | 18,473 |
| Jiya Acquisition Corp. Class A † | 1,672 | 17,589 |
| LGL Systems Acquisition Corp. Class A † | 1,284 | 13,289 |
| LifeSci Acquisition II Corp. † | 2,126 | 23,407 |
| NavSight Holdings, Inc. Class A † | 2,566 | 26,866 |
| Omega Alpha SPAC Class A † | 137 | 1,436 |
| Peridot Acquisition Corp. Class A † | 1,258 | 15,096 |
| Property Solutions Acquisition Corp. † | 636 | 8,961 |
| Software Acquisition Group, Inc. II Class A † | 1,406 | 16,042 |
| Starboard Value Acquisition Corp. Class A † | 1,293 | 13,202 |
| TWC Tech Holdings II Corp. Class A † | 2,478 | 25,821 |
| Yucaipa Acquisition Corp. Class A † | 2,586 | 27,153 |
| Yunhong International (Rights) (China) † | 452 | 189 |
| | | 523,827 |
|
| PanAgora Market Neutral Fund 17 |
| | |
| COMMON STOCKS (6.1%)* cont. | Shares | Value |
| Software (—%) | | |
| Tenable Holdings, Inc. † | 86 | $3,514 |
| | | 3,514 |
| Total common stocks (cost $473,948) | | $544,176 |
| | | | |
| | Expiration | Strike | | |
| WARRANTS (3.0%)*† | date | price | Warrants | Value |
| Alussa Energy Acquisition Corp. Class A | | | | |
| (Cayman Islands) | 10/31/26 | $11.50 | 214 | $610 |
| Amplitude Healthcare Acquisition Corp. Class A | 12/1/26 | 11.50 | 1,473 | 2,607 |
| Ascendant Digital Acquisition Corp. Class A | 12/31/25 | 11.50 | 167 | 284 |
| Aspirational Consumer Lifestyle Corp. | | | | |
| Class A (Singapore) | 9/19/25 | 11.50 | 1,678 | 3,331 |
| Atlantic Avenue Acquisition Corp. Class A | 12/31/25 | 11.50 | 3,843 | 5,188 |
| Big Cypress Acquisition Corp. Class A | 12/7/25 | 11.50 | 2,027 | 2,513 |
| BowX Acquisition Corp. Class A | 12/31/25 | 11.50 | 3,448 | 6,137 |
| Brilliant Acquisition Corp. (China) | 12/31/25 | 11.50 | 5,252 | 4,779 |
| Broadstone Acquisition Corp. Class A | | | | |
| (United Kingdom) | 9/15/28 | 11.50 | 1,280 | 1,574 |
| Capstar Special Purpose Acquisition | | | | |
| Corp. Class A | 7/9/27 | 11.50 | 1,263 | 1,756 |
| CC Neuberger Principal Holdings II Class A | 7/29/25 | 11.50 | 2,420 | 4,719 |
| Chardan Healthcare Acquisition 2 Corp. | 3/5/25 | 11.50 | 7,956 | 8,911 |
| CHP Merger Corp. Class A | 11/22/24 | 11.50 | 4,119 | 6,055 |
| Churchill Capital Corp. IV Class A | 9/18/25 | 11.50 | 128 | 2,003 |
| CITIC Capital Acquisition Corp. Class A (China) | 1/17/27 | 11.50 | 339 | 712 |
| CM Life Sciences, Inc. Class A | 9/24/27 | 11.50 | 320 | 2,333 |
| D8 Holdings Corp. Class A (Hong Kong) | 8/5/27 | 11.50 | 3,807 | 4,849 |
| DFP Healthcare Acquisitions Corp. Class A | 4/1/25 | 11.50 | 2,747 | 5,879 |
| Dragoneer Growth Opportunities Corp. Class A | 8/14/25 | 11.50 | 66 | 152 |
| E.Merge Technology Acquisition Corp. Class A | 7/30/25 | 11.50 | 851 | 1,438 |
| East Resources Acquisition Co. Class A | 7/1/27 | 11.50 | 1,273 | 1,846 |
| EDOC Acquisition Corp. Class A | 11/30/27 | 11.50 | 2,576 | 1,430 |
| Empower, Ltd. Class A | 11/30/27 | 11.50 | 1,069 | 1,368 |
| Executive Network Partnering Corp. Class A | 9/25/28 | 11.50 | 652 | 1,935 |
| Fast Acquisition Corp. Class A | 8/25/27 | 11.50 | 2,023 | 4,228 |
| FinServ Acquisition Corp. Class A | 12/31/26 | 11.50 | 623 | 2,492 |
| Fortress Value Acquisition Corp. II Class A | 8/10/27 | 11.50 | 256 | 392 |
| FTAC Olympus Acquisition Corp. Class A | 8/28/25 | 11.50 | 215 | 550 |
| Fusion Acquisition Corp. Class A | 6/1/27 | 11.50 | 1,905 | 3,391 |
| Galileo Acquisition Corp. | 10/31/26 | 11.50 | 1,776 | 1,776 |
| GO Acquisition Corp. Class A | 8/31/27 | 11.50 | 3,400 | 5,100 |
| Good Works Acquisition Corp. | 10/22/25 | 11.50 | 3,723 | 5,324 |
| Gores Holdings V, Inc. Class A | 8/10/27 | 11.50 | 1,536 | 2,611 |
| Greencity Acquisition Corp. (China) | 8/28/21 | 11.50 | 13,431 | 8,730 |
| Greenrose Acquisition Corp. | 5/11/24 | 11.50 | 7,240 | 11,186 |
| Highcape Capital Acquisition Corp. Class A | 9/30/27 | 11.50 | 470 | 2,374 |
| Holicity, Inc. Class A | 8/4/27 | 11.50 | 1,724 | 6,405 |
| Horizon Acquisition Corp. Class A | 8/19/25 | 11.50 | 3,428 | 6,170 |
| HPX Corp. Class A | 7/14/25 | 11.50 | 3,831 | 5,402 |
| Industrial Tech Acquisitions, Inc. Class A | 6/8/27 | 11.50 | 5,174 | 7,658 |
|
| 18 PanAgora Market Neutral Fund |
| | | | |
| | Expiration | Strike | | |
| WARRANTS (3.0%)*† cont. | date | price | Warrants | Value |
| Kismet Acquisition One Corp. (Russia) | 8/6/25 | $11.50 | 2,086 | $2,128 |
| LGL Systems Acquisition Corp. Class A | 11/12/26 | 11.50 | 2,568 | 5,008 |
| Lionheart Acquisition Corp. II Class A | 2/14/26 | 11.50 | 3,864 | 5,410 |
| LIV Capital Acquisition Corp. Class A (Mexico) | 1/10/25 | 11.50 | 5,644 | 7,337 |
| Malacca Straits Acquisition Co., Ltd. Class A | | | | |
| (Hong Kong) | 6/30/27 | 11.50 | 3,807 | 5,406 |
| NavSight Holdings, Inc. Class A | 1/1/30 | 11.50 | 1,283 | 2,091 |
| NewHold Investment Corp. Class A | 3/10/25 | 11.50 | 3,831 | 5,095 |
| One Class A | 8/17/25 | 11.50 | 1,225 | 3,859 |
| Osprey Technology Acquisition Corp. Class A | 10/30/24 | 11.50 | 652 | 1,800 |
| Peridot Acquisition Corp. Class A | 11/30/27 | 11.50 | 629 | 1,705 |
| PMV Consumer Acquisition Corp. Class A | 8/31/27 | 11.50 | 3,738 | 4,747 |
| Prime Impact Acquisition I Class A | 10/1/30 | 11.50 | 3,456 | 5,704 |
| Property Solutions Acquisition Corp. | 8/28/27 | 11.50 | 636 | 2,315 |
| PTK Acquisition Corp. | 12/31/25 | 11.50 | 7,581 | 6,747 |
| RedBall Acquisition Corp. Class A | 8/17/22 | 11.50 | 1,300 | 2,431 |
| Roman DBDR Tech Acquisition Corp. Class A | 10/31/25 | 11.50 | 3,849 | 5,042 |
| Sandbridge Acquisition Corp. Class A | 9/14/27 | 11.50 | 1,861 | 2,593 |
| SCVX Corp. Class A | 1/24/25 | 11.50 | 6,357 | 12,333 |
| Software Acquisition Group, Inc. II Class A | 3/17/27 | 11.50 | 703 | 1,301 |
| Spartacus Acquisition Corp. Class A | 10/31/27 | 11.50 | 3,857 | 4,918 |
| Starboard Value Acquisition Corp. Class A | 9/10/27 | 11.50 | 215 | 430 |
| Tailwind Acquisition Corp. Class A | 9/7/27 | 11.50 | 1,011 | 1,982 |
| Turmeric Acquisition Corp. Class A | 10/8/25 | 11.50 | 3,428 | 5,793 |
| Tuscan Holdings Corp. II | 7/16/25 | 11.50 | 660 | 1,129 |
| TWC Tech Holdings II Corp. Class A | 9/15/27 | 11.50 | 826 | 1,503 |
| Union Acquisition Corp. II | 4/1/25 | 11.50 | 8,063 | 10,079 |
| Vistas Media Acquisition Co., Inc. Class A | 8/1/26 | 11.50 | 5,108 | 4,968 |
| Yellowstone Acquisition Co. Class A | 10/21/25 | 11.50 | 4,042 | 6,629 |
| Yucaipa Acquisition Corp. Class A | 8/6/25 | 11.50 | 862 | 1,866 |
| Yunhong International Class A (China) | 1/31/27 | 11.50 | 678 | 671 |
| Total warrants (cost $188,488) | | | | $269,218 |
| | | |
| | Principal amount/ | |
| SHORT-TERM INVESTMENTS (38.8%)* | | shares | Value |
| State Street Institutional U.S. Government Money Market Fund, | | | |
| Investor Class 0.01% | Shares | 1,898,545 | $1,898,545 |
| U.S. Treasury Bills with an effective yield of 0.083%, 4/15/21 | | $1,536,000 | 1,535,923 |
| Total short-term investments (cost $3,434,386) | | | $3,434,468 |
| |
| TOTAL INVESTMENTS | |
| Total investments (cost $4,937,172) | $5,137,363 |
Key to holding’s abbreviations
| |
| ADR | American Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank |
| ETF | Exchange Traded Fund |
| GDR | Global Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank |
| NVDR | Non-voting Depository Receipts |
| OTC | Over-the-counter |
| PJSC | Public Joint Stock Company |
| SPDR | S&P Depository Receipts |
|
| PanAgora Market Neutral Fund 19 |
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, 2020 through February 28, 2021 (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 $8,859,063.
† This security is non-income-producing.
The dates shown on debt obligations are the original maturity dates.
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) | | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC | | | | |
| $35,403 | $32,402 | $— | 1/28/25 | (Federal Funds | 1Life Healthcare | $(3,009) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 2,905 | — | — | 1/28/25 | (Federal Funds | Achillion | (2,905) |
| | | | | Effective Rate US plus | Pharmaceuticals | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 18,311 | 17,893 | — | 1/28/25 | (Federal Funds | Abivax SA — | (423) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 10,473 | 10,111 | — | 1/28/25 | (Federal Funds | Acuity Brands | (355) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 15,772 | 14,587 | — | 1/28/25 | (Federal Funds | Adaptimmune | (1,188) |
| | | | | Effective Rate US plus | Therapeutics PLC | |
| | | | | 0.25%) — Monthly | ADR — Monthly | |
| 4,719 | 4,636 | — | 1/28/25 | (Federal Funds | Adesso SE — | (84) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 11,417 | 10,605 | — | 1/28/25 | (Federal Funds | Adient PLC — | (815) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 10,372 | 10,435 | — | 1/28/25 | (Federal Funds | Advanced Info | 292 |
| | | | | Effective Rate US plus | Service PCL | |
| | | | | 0.75%) — Monthly | NVDR — Monthly | |
| 2,702 | 2,478 | — | 1/28/25 | (Federal Funds | AeroGrow | (224) |
| | | | | Effective Rate US plus | International | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 34,949 | 34,659 | — | 1/28/25 | (Federal Funds | Aerojet | (300) |
| | | | | Effective Rate US plus | Rocketdyne | |
| | | | | 0.25%) — Monthly | Holdings Inc — | |
| | | | | | Monthly | |
| 13,727 | 13,017 | — | 1/28/25 | (Federal Funds | Affiliated | (710) |
| | | | | Effective Rate US plus | Managers Group | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 51,358 | 53,236 | — | 1/28/25 | (Federal Funds | Affimed NV — | 1,864 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 36,224 | 34,664 | — | 1/28/25 | (Federal Funds | Agenus Inc — | (1,568) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
|
| 20 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $21,893 | $21,732 | $— | 1/28/25 | (Federal Funds | Airtac | $(170) |
| | | | | Effective Rate US plus | International | |
| | | | | 0.35%) — Monthly | Group — Monthly | |
| 4,111 | 3,893 | — | 1/28/25 | (Federal Funds | Akatsuki Inc — | (218) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 12,785 | 12,491 | — | 1/28/25 | (Federal Funds | Akzo Nobel NV — | (297) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 20,977 | 20,221 | — | 1/28/25 | (Federal Funds | Alaska Air Group | (760) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 35,135 | 34,816 | — | 1/28/25 | (Federal Funds | Alaska | (328) |
| | | | | Effective Rate US plus | Communications | |
| | | | | 0.25%) — Monthly | Systems Group | |
| | | | | | Inc — Monthly | |
| 61,313 | 57,931 | — | 1/28/25 | (Federal Funds | Alexander & | (3,395) |
| | | | | Effective Rate US plus | Baldwin Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 68,594 | 67,821 | — | 1/28/25 | (Federal Funds | Alexion | (789) |
| | | | | Effective Rate US plus | Pharmaceuticals | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 52,422 | 51,447 | — | 1/28/25 | (Federal Funds | Allegiant Travel | (984) |
| | | | | Effective Rate US plus | Co — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 20,416 | 20,748 | — | 1/28/25 | (Federal Funds | Alliance Data | 373 |
| | | | | Effective Rate US plus | Systems Corp — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 19,476 | 19,415 | — | 1/28/25 | (Federal Funds | Allison | 30 |
| | | | | Effective Rate US plus | Transmission | |
| | | | | 0.25%) — Monthly | Holdings Inc — | |
| | | | | | Monthly | |
| 31,877 | 30,475 | — | 1/28/25 | (Federal Funds | Alpha & Omega | (1,409) |
| | | | | Effective Rate US plus | Semiconductor | |
| | | | | 0.25%) — Monthly | Ltd — Monthly | |
| 27,090 | 26,285 | — | 1/28/25 | (Federal Funds | Alphabet Inc — | (811) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 15,355 | 14,436 | — | 1/28/25 | (Federal Funds | Alteryx Inc — | (920) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 19,438 | 19,378 | — | 1/28/25 | (Federal Funds | Amada Co Ltd — | (65) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 22,117 | 21,651 | — | 1/28/25 | (Federal Funds | Amazon.com | (472) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 11,769 | 11,841 | — | 1/28/25 | (Federal Funds | American Axle & | 70 |
| | | | | Effective Rate US plus | Manufacturing | |
| | | | | 0.25%) — Monthly | Holdings Inc — | |
| | | | | | Monthly | |
|
| PanAgora Market Neutral Fund 21 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $11,777 | $10,905 | $— | 1/28/25 | (Federal Funds | American | $(875) |
| | | | | Effective Rate US plus | Outdoor Brands | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 9,554 | 9,480 | — | 1/28/25 | (Federal Funds | American Public | (76) |
| | | | | Effective Rate US plus | Education Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 22,978 | 21,903 | — | 1/28/25 | (Federal Funds | Ameriprise | (977) |
| | | | | Effective Rate US plus | Financial Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 75,744 | 75,397 | — | 1/28/25 | (Federal Funds | Amkor | (234) |
| | | | | Effective Rate US plus | Technology Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 2,829 | 2,840 | — | 1/28/25 | (Federal Funds | AnGes Inc — | 10 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 31,565 | 32,242 | — | 1/28/25 | (Federal Funds | AngioDynamics | 670 |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 43,644 | 41,404 | — | 1/28/25 | (Federal Funds | Antares Pharma | (2,252) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 36,389 | 36,080 | — | 1/28/25 | (Federal Funds | Anthem Inc — | (313) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 36,741 | 36,631 | — | 1/28/25 | (Federal Funds | AO World PLC — | (116) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 18,050 | 17,461 | — | 1/28/25 | (Federal Funds | Apple Inc — | (565) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 18,232 | 16,297 | — | 1/28/25 | (Federal Funds | ARCA biopharma | (1,939) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 73,613 | 73,738 | — | 1/28/25 | (Federal Funds | ArcBest Corp — | 210 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 67,940 | 67,805 | — | 1/28/25 | (Federal Funds | Arcus Biosciences | (152) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 8,538 | 8,263 | — | 1/28/25 | (Federal Funds | Argo Graphics | (278) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 59,108 | 56,858 | — | 1/28/25 | (Federal Funds | Artisan | (733) |
| | | | | Effective Rate US plus | Partners Asset | |
| | | | | 0.25%) — Monthly | Management | |
| | | | | | Inc — Monthly | |
| 5,467 | 5,382 | — | 1/28/25 | (Federal Funds | As One Corp — | (85) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 47,644 | 45,029 | — | 1/28/25 | (Federal Funds | Ashtead Group | (2,544) |
| | | | | Effective Rate US plus | PLC — Monthly | |
| | | | | 0.25%) — Monthly | | |
|
| 22 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $3,398 | $3,307 | $— | 1/28/25 | (Federal Funds | ASKUL Corp — | $(92) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 80,628 | 79,856 | — | 1/28/25 | (Federal Funds | ASM International | (791) |
| | | | | Effective Rate US plus | NV — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 41,697 | 40,726 | — | 1/28/25 | (Federal Funds | ASOS PLC — | (979) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 11,675 | 10,516 | — | 1/28/25 | (Federal Funds | Assembly | (1,162) |
| | | | | Effective Rate US plus | Biosciences Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 6,653 | 6,282 | — | 1/28/25 | (Federal Funds | Astellas Pharma | (373) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 10,473 | 9,063 | — | 1/28/25 | (Federal Funds | Astra | (1,414) |
| | | | | Effective Rate US plus | International Tbk | |
| | | | | 0.75%) — Monthly | PT — Monthly | |
| 22,478 | 22,735 | — | 1/28/25 | (Federal Funds | Asustek | 250 |
| | | | | Effective Rate US plus | Computer Inc — | |
| | | | | 0.35%) — Monthly | Monthly | |
| 35,426 | 33,831 | — | 1/28/25 | (Federal Funds | AT&T Inc — | (1,596) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 8,758 | 8,141 | — | 1/28/25 | (Federal Funds | Atacadao SA — | (622) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.65%) — Monthly | | |
| 8,216 | 8,186 | — | 1/28/25 | (Federal Funds | Atkore Inc — | (32) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 52,845 | 53,663 | — | 1/28/25 | (Federal Funds | Atlantic Capital | 805 |
| | | | | Effective Rate US plus | Bancshares Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 11,980 | 11,432 | — | 1/28/25 | (Federal Funds | Atlanticus | (551) |
| | | | | Effective Rate US plus | Holdings Corp — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 4,920 | 5,028 | — | 1/28/25 | (Federal Funds | Atresmedia Corp | 108 |
| | | | | Effective Rate US plus | de Medios de | |
| | | | | 0.25%) — Monthly | Comunicacion | |
| | | | | | SA — Monthly | |
| 13,722 | 12,861 | — | 1/28/25 | (Federal Funds | Aurizon Holdings | (864) |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 5,019 | 4,856 | — | 1/28/25 | (Federal Funds | Australian | (165) |
| | | | | Effective Rate US plus | Pharmaceutical | |
| | | | | 0.25%) — Monthly | Industries Ltd — | |
| | | | | | Monthly | |
| 77,840 | 75,302 | — | 1/28/25 | (Federal Funds | Avaya Holdings | (2,553) |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.25%) — Monthly | | |
|
| PanAgora Market Neutral Fund 23 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $36,465 | $35,392 | $— | 1/28/25 | (Federal Funds | Avery Dennison | $(1,077) |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 10,560 | 10,060 | — | 1/28/25 | (Federal Funds | AVI Ltd — Monthly | (506) |
| | | | | Effective Rate US plus | | |
| | | | | 0.60%) — Monthly | | |
| 5,454 | 5,444 | — | 1/28/25 | (Federal Funds | Avnet Inc — | (11) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 18,305 | 17,874 | — | 1/28/25 | (Federal Funds | B&M European | 207 |
| | | | | Effective Rate US plus | Value Retail SA — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 21,338 | 21,241 | — | 1/28/25 | (Federal Funds | Balfour Beatty | (102) |
| | | | | Effective Rate US plus | PLC — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 10,097 | 9,858 | — | 1/28/25 | (Federal Funds | Banco | (80) |
| | | | | Effective Rate US plus | Latinoamericano | |
| | | | | 0.25%) — Monthly | de Comercio | |
| | | | | | Exterior SA — | |
| | | | | | Monthly | |
| 64,773 | 61,641 | — | 1/28/25 | (Federal Funds | Bancorp Inc/ | (3,145) |
| | | | | Effective Rate US plus | The — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 28,595 | 27,282 | — | 1/28/25 | (Federal Funds | Bank of America | (1,319) |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 10,475 | 10,772 | — | 1/28/25 | (Federal Funds | Bank of | 295 |
| | | | | Effective Rate US plus | Commerce | |
| | | | | 0.25%) — Monthly | Holdings — | |
| | | | | | Monthly | |
| 36,471 | 35,224 | — | 1/28/25 | (Federal Funds | Bank of Marin | (1,037) |
| | | | | Effective Rate US plus | Bancorp — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 19,828 | 18,888 | — | 1/28/25 | (Federal Funds | Bank of New York | (869) |
| | | | | Effective Rate US plus | Mellon Corp/ | |
| | | | | 0.25%) — Monthly | The — Monthly | |
| 1,630 | 1,649 | — | 1/28/25 | (Federal Funds | Barings BDC Inc — | 18 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 43,407 | 42,930 | — | 1/28/25 | (Federal Funds | BayCom Corp — | (487) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 18,411 | 18,675 | — | 1/28/25 | (Federal Funds | BBX Capital Inc — | 261 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 12,341 | 11,839 | — | 1/28/25 | (Federal Funds | Beazer Homes | (506) |
| | | | | Effective Rate US plus | USA Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 14,093 | 13,955 | — | 1/28/25 | (Federal Funds | Bechtle AG — | (142) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
|
| 24 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $24,113 | $23,040 | $— | 1/28/25 | (Federal Funds | BeiGene Ltd | $(1,079) |
| | | | | Effective Rate US plus | ADR — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 3,485 | 3,222 | — | 1/28/25 | (Federal Funds | Bell System24 | (229) |
| | | | | Effective Rate US plus | Holdings Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 10,589 | 10,201 | — | 1/28/25 | (Federal Funds | Bergenbio ASA — | (390) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 18,745 | 17,392 | — | 1/28/25 | (Federal Funds | Berkeley Group | (1,358) |
| | | | | Effective Rate US plus | Holdings PLC — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 13,048 | 11,540 | — | 1/28/25 | (Federal Funds | Best Buy Co Inc — | (1,508) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 5,562 | 5,464 | — | 1/28/25 | (Federal Funds | BGSF Inc — | (21) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 9,451 | 8,786 | — | 1/28/25 | (Federal Funds | Biglari Holdings | (667) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 13,806 | 14,720 | — | 1/28/25 | (Federal Funds | Bilia AB — | 910 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 17,281 | 16,831 | — | 1/28/25 | (Federal Funds | Bill.com Holdings | (453) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 44,076 | 43,680 | — | 1/28/25 | (Federal Funds | Biohaven | (407) |
| | | | | Effective Rate US plus | Pharmaceutical | |
| | | | | 0.25%) — Monthly | Holding Co Ltd — | |
| | | | | | Monthly | |
| 50,536 | 50,921 | — | 1/28/25 | (Federal Funds | BJ’s Restaurants | 534 |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 17,690 | 16,930 | — | 1/28/25 | (Federal Funds | Blackbaud Inc — | (760) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 71,847 | 71,312 | — | 1/28/25 | (Federal Funds | Blackline Inc — | (550) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 2,038 | 2,029 | — | 1/28/25 | (Federal Funds | BlackRock | 1 |
| | | | | Effective Rate US plus | Floating Rate | |
| | | | | 0.25%) — Monthly | Income Strategies | |
| | | | | | Fund Inc — | |
| | | | | | Monthly | |
| 559 | 558 | — | 1/28/25 | (Federal Funds | BlackRock | 2 |
| | | | | Effective Rate US plus | Floating Rate | |
| | | | | 0.25%) — Monthly | Income Trust — | |
| | | | | | Monthly | |
|
| PanAgora Market Neutral Fund 25 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $636 | $632 | $— | 1/28/25 | (Federal Funds | BlackRock | $(4) |
| | | | | Effective Rate US plus | Limited Duration | |
| | | | | 0.25%) — Monthly | Income Trust — | |
| | | | | | Monthly | |
| 443 | 445 | — | 1/28/25 | (Federal Funds | BlackRock Muni | 1 |
| | | | | Effective Rate US plus | Intermediate | |
| | | | | 0.25%) — Monthly | Duration Fund | |
| | | | | | Inc — Monthly | |
| 272 | 272 | — | 1/28/25 | (Federal Funds | BlackRock | — |
| | | | | Effective Rate US plus | MuniHoldings | |
| | | | | 0.25%) — Monthly | New Jersey | |
| | | | | | Quality Fund | |
| | | | | | Inc — Monthly | |
| 691 | 690 | — | 1/28/25 | (Federal Funds | BlackRock | 4 |
| | | | | Effective Rate US plus | MuniVest Fund | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 608 | 606 | — | 1/28/25 | (Federal Funds | BlackRock | 3 |
| | | | | Effective Rate US plus | MuniYield Fund | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 2,253 | 2,242 | — | 1/28/25 | (Federal Funds | BlackRock | (1) |
| | | | | Effective Rate US plus | Taxable Municipal | |
| | | | | 0.25%) — Monthly | Bond Trust — | |
| | | | | | Monthly | |
| 1,534 | 1,540 | — | 1/28/25 | (Federal Funds | Blackstone/GSO | 24 |
| | | | | Effective Rate US plus | Strategic Credit | |
| | | | | 0.25%) — Monthly | Fund — Monthly | |
| 22,905 | 21,462 | — | 1/28/25 | (Federal Funds | Bloomin’ Brands | (1,447) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 47,811 | 46,751 | — | 1/28/25 | (Federal Funds | Bluegreen | (1,070) |
| | | | | Effective Rate US plus | Vacations | |
| | | | | 0.25%) — Monthly | Holding Corp — | |
| | | | | | Monthly | |
| 1,712 | 1,696 | — | 1/28/25 | (Federal Funds | BNY Mellon High | (17) |
| | | | | Effective Rate US plus | Yield Strategies | |
| | | | | 0.25%) — Monthly | Fund — Monthly | |
| 526 | 530 | — | 1/28/25 | (Federal Funds | BNY Mellon | 7 |
| | | | | Effective Rate US plus | Strategic | |
| | | | | 0.25%) — Monthly | Municipal Bond | |
| | | | | | Fund Inc — | |
| | | | | | Monthly | |
| 362 | 361 | — | 1/28/25 | (Federal Funds | BNY Mellon | (1) |
| | | | | Effective Rate US plus | Strategic | |
| | | | | 0.25%) — Monthly | Municipals Inc — | |
| | | | | | Monthly | |
| 10,308 | 10,274 | — | 1/28/25 | (Federal Funds | Bogota Financial | (37) |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 10,777 | 10,487 | — | 1/28/25 | (Federal Funds | Boise Cascade | (271) |
| | | | | Effective Rate US plus | Co — Monthly | |
| | | | | 0.25%) — Monthly | | |
|
| 26 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $13,469 | $13,193 | $— | 1/28/25 | (Federal Funds | Bollore SA — | $(279) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 4,886 | 4,772 | — | 1/28/25 | (Federal Funds | Bonava AB — | (114) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 37,644 | 36,916 | — | 1/28/25 | (Federal Funds | boohoo Group | (733) |
| | | | | Effective Rate US plus | PLC — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 2,555 | 2,356 | — | 1/28/25 | (Federal Funds | Boot Barn | (199) |
| | | | | Effective Rate US plus | Holdings Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 11,466 | 11,340 | — | 1/28/25 | (Federal Funds | Booz Allen | (76) |
| | | | | Effective Rate US plus | Hamilton Holding | |
| | | | | 0.25%) — Monthly | Corp — Monthly | |
| 14,214 | 13,905 | — | 1/28/25 | (Federal Funds | BorgWarner Inc — | (258) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 54,702 | 52,444 | — | 1/28/25 | (Federal Funds | Box Inc — Monthly | (2,272) |
| | | | | Effective Rate US plus | | |
| | | | | 0.25%) — Monthly | | |
| 47,611 | 46,256 | — | 1/28/25 | (Federal Funds | Boyd Gaming | (1,365) |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 18,244 | 17,402 | — | 1/28/25 | (Federal Funds | bpost SA — | (847) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 11,826 | 11,711 | — | 1/28/25 | (Federal Funds | Bridgestone | 38 |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 18,954 | 17,833 | — | 1/28/25 | (Federal Funds | Brinker | (1,124) |
| | | | | Effective Rate US plus | International | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 18,089 | 17,724 | — | 1/28/25 | (Federal Funds | Bristol-Myers | (227) |
| | | | | Effective Rate US plus | Squibb Co — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 1,708 | 1,700 | — | 1/28/25 | (Federal Funds | Brookfield Real | 54 |
| | | | | Effective Rate US plus | Assets Income | |
| | | | | 0.25%) — Monthly | Fund Inc — | |
| | | | | | Monthly | |
| 8,152 | 7,854 | — | 1/28/25 | (Federal Funds | Brother Industries | (300) |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 22,427 | 21,282 | — | 1/28/25 | (Federal Funds | Bruker Corp — | (1,150) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 28,212 | 26,246 | — | 1/28/25 | (Federal Funds | Brunswick Corp/ | (1,893) |
| | | | | Effective Rate US plus | DE — Monthly | |
| | | | | 0.25%) — Monthly | | |
|
| PanAgora Market Neutral Fund 27 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $7,068 | $6,926 | $— | 1/28/25 | (Federal Funds | Buzzi Unicem | $67 |
| | | | | Effective Rate US plus | SpA — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 25,096 | 25,396 | — | 1/28/25 | (Federal Funds | Cadence Design | 295 |
| | | | | Effective Rate US plus | Systems Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 909 | 894 | — | 1/28/25 | (Federal Funds | Calamos Dynamic | (10) |
| | | | | Effective Rate US plus | Convertible & | |
| | | | | 0.25%) — Monthly | Income Fund — | |
| | | | | | Monthly | |
| 11,304 | 10,671 | — | 1/28/25 | (Federal Funds | Cambridge | (558) |
| | | | | Effective Rate US plus | Bancorp — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 8,836 | 8,603 | — | 1/28/25 | (Federal Funds | Canon Inc — | (96) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 44,425 | 42,171 | — | 1/28/25 | (Federal Funds | Capital City Bank | (2,264) |
| | | | | Effective Rate US plus | Group Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 31,369 | 30,288 | — | 1/28/25 | (Federal Funds | Capital One | (978) |
| | | | | Effective Rate US plus | Financial Corp — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 27,025 | 27,572 | — | 1/28/25 | (Federal Funds | Card Factory | 547 |
| | | | | Effective Rate US plus | PLC — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 16,256 | 15,896 | — | 1/28/25 | (Federal Funds | Carlsberg A/S — | (364) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 7,854 | 7,652 | — | 1/28/25 | (Federal Funds | Castellum AB — | (203) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 14,506 | 14,117 | — | 1/28/25 | (Federal Funds | Cato Corp/The — | (392) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 10,920 | 10,736 | — | 1/28/25 | (Federal Funds | Cawachi Ltd — | (187) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 36,432 | 35,839 | — | 1/28/25 | (Federal Funds | Celanese Corp — | (593) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 38,468 | 39,245 | — | 1/28/25 | (Federal Funds | Central Valley | 1,013 |
| | | | | Effective Rate US plus | Community | |
| | | | | 0.25%) — Monthly | Bancorp — | |
| | | | | | Monthly | |
| 45,406 | 44,153 | — | 1/28/25 | (Federal Funds | Century | (1,263) |
| | | | | Effective Rate US plus | Communities | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 2,111 | 2,113 | — | 1/28/25 | (Federal Funds | Cerence Inc — | 2 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
|
| 28 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $13,285 | $13,067 | $— | 1/28/25 | (Federal Funds | Cerner Corp — | $(217) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 33,866 | 33,413 | — | 1/28/25 | (Federal Funds | Change | (462) |
| | | | | Effective Rate US plus | Healthcare Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 21,724 | 21,657 | — | 1/28/25 | (Federal Funds | Charoen | (81) |
| | | | | Effective Rate US plus | Pokphand Foods | |
| | | | | 0.75%) — Monthly | PCL NVDR — | |
| | | | | | Monthly | |
| 4,523 | 4,280 | — | 1/28/25 | (Federal Funds | Charter Hall | (244) |
| | | | | Effective Rate US plus | Group — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 21,010 | 20,588 | — | 1/28/25 | (Federal Funds | Chemometec | (427) |
| | | | | Effective Rate US plus | A/S — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 40,807 | 39,500 | — | 1/28/25 | (Federal Funds | Chevron Corp — | (803) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 19,586 | 20,206 | — | 1/28/25 | (Federal Funds | Chicony | 614 |
| | | | | Effective Rate US plus | Electronics Co | |
| | | | | 0.35%) — Monthly | Ltd — Monthly | |
| 18,647 | 18,488 | — | 1/28/25 | (Federal Funds | China Lesso | (164) |
| | | | | Effective Rate US plus | Group Holdings | |
| | | | | 0.25%) — Monthly | Ltd — Monthly | |
| 19,665 | 21,632 | — | 1/28/25 | (Federal Funds | China Vanke Co | 1,963 |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 16,566 | 16,895 | — | 1/28/25 | (Federal Funds | Chong Kun Dang | 321 |
| | | | | Effective Rate US plus | Pharmaceutical | |
| | | | | 0.35%) — Monthly | Corp — Monthly | |
| 18,431 | 17,559 | — | 1/28/25 | (Federal Funds | Chubb Ltd — | (874) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 17,625 | 17,212 | — | 1/28/25 | (Federal Funds | Cigna Corp — | (416) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 19,113 | 19,100 | — | 1/28/25 | (Federal Funds | Cincinnati Bell | (17) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 77,027 | 72,539 | — | 1/28/25 | (Federal Funds | Cirrus Logic Inc — | (4,510) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 3,176 | 2,960 | — | 1/28/25 | (Federal Funds | Citi Trends Inc — | (217) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 19,277 | 18,512 | — | 1/28/25 | (Federal Funds | Citigroup Inc — | (766) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
|
| PanAgora Market Neutral Fund 29 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $11,911 | $10,932 | $— | 1/28/25 | (Federal Funds | City Office REIT | $(982) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 47,252 | 45,229 | — | 1/28/25 | (Federal Funds | Civista | (1,719) |
| | | | | Effective Rate US plus | Bancshares Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 5,926 | 5,873 | — | 1/28/25 | (Federal Funds | CK Asset Holdings | (54) |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 7,621 | 7,555 | — | 1/28/25 | (Federal Funds | CK Hutchison | (68) |
| | | | | Effective Rate US plus | Holdings Ltd — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 6,638 | 6,451 | — | 1/28/25 | (Federal Funds | CKD Corp — | (189) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 21,668 | 20,691 | — | 1/28/25 | (Federal Funds | Clean Harbors | (982) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 62,598 | 59,829 | — | 1/28/25 | (Federal Funds | Clearfield Inc — | (2,785) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 39,302 | 37,971 | — | 1/28/25 | (Federal Funds | Clovis Oncology | (1,344) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 6,234 | 6,143 | — | 1/28/25 | (Federal Funds | CMIC Holdings Co | (93) |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 59,625 | 63,000 | — | 1/28/25 | (Federal Funds | Coastal Financial | 3,363 |
| | | | | Effective Rate US plus | Corp/WA — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 38,624 | 37,729 | — | 1/28/25 | (Federal Funds | Coca-Cola | (869) |
| | | | | Effective Rate US plus | Consolidated | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 7,859 | 7,577 | — | 1/28/25 | (Federal Funds | Coca-Cola HBC | (284) |
| | | | | Effective Rate US plus | AG — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 21,285 | 20,807 | — | 1/28/25 | (Federal Funds | Coherent Inc — | (483) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 22,033 | 21,155 | — | 1/28/25 | (Federal Funds | Colfax Corp — | (878) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 6,812 | 6,524 | — | 1/28/25 | (Federal Funds | Collins Foods | (290) |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 25,513 | 24,107 | — | 1/28/25 | (Federal Funds | Comerica Inc — | (1,411) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 36,406 | 35,306 | — | 1/28/25 | (Federal Funds | Comfort Systems | (1,108) |
| | | | | Effective Rate US plus | USA Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
|
| 30 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $13,009 | $13,040 | $— | 1/28/25 | (Federal Funds | ComfortDelGro | $25 |
| | | | | Effective Rate US plus | Corp Ltd — | |
| | | | | 0.55%) — Monthly | Monthly | |
| 61,599 | 58,653 | — | 1/28/25 | (Federal Funds | Community | (2,965) |
| | | | | Effective Rate US plus | Health Systems | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 12,116 | 11,599 | — | 1/28/25 | (Federal Funds | CommVault | (520) |
| | | | | Effective Rate US plus | Systems Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 22,022 | 22,318 | — | 1/28/25 | (Federal Funds | Compal | 288 |
| | | | | Effective Rate US plus | Electronics Inc — | |
| | | | | 0.35%) — Monthly | Monthly | |
| 33,728 | 32,521 | — | 1/28/25 | (Federal Funds | Computacenter | (1,217) |
| | | | | Effective Rate US plus | PLC — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 54,199 | 55,415 | — | 1/28/25 | (Federal Funds | Computer | 1,202 |
| | | | | Effective Rate US plus | Programs and | |
| | | | | 0.25%) — Monthly | Systems Inc — | |
| | | | | | Monthly | |
| 7,981 | 8,646 | — | 1/28/25 | (Federal Funds | Concentrix | 663 |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 18,074 | 17,573 | — | 1/28/25 | (Federal Funds | Condor | (505) |
| | | | | Effective Rate US plus | Hospitality Trust | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 8,316 | 8,324 | — | 1/28/25 | (Federal Funds | Conzzeta AG — | 6 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 24,426 | 23,894 | — | 1/28/25 | (Federal Funds | COSCO SHIPPING | (539) |
| | | | | Effective Rate US plus | Holdings Co Ltd — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 23,414 | 23,065 | — | 1/28/25 | (Federal Funds | CoStar Group | (356) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 1,595 | 1,600 | — | 1/28/25 | (Federal Funds | Credit | 5 |
| | | | | Effective Rate US plus | Suisse Asset | |
| | | | | 0.25%) — Monthly | Management | |
| | | | | | Income Fund | |
| | | | | | Inc — Monthly | |
| 2,186 | 2,159 | — | 1/28/25 | (Federal Funds | Credit Suisse | (27) |
| | | | | Effective Rate US plus | High Yield Bond | |
| | | | | 0.25%) — Monthly | Fund — Monthly | |
| 58,730 | 64,860 | — | 1/28/25 | (Federal Funds | Cross Country | 6,117 |
| | | | | Effective Rate US plus | Healthcare Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 2,295 | 2,284 | — | 1/28/25 | (Federal Funds | CTS Corp — | (11) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 27,726 | 27,092 | — | 1/28/25 | (Federal Funds | Cummins Inc — | (496) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
|
| PanAgora Market Neutral Fund 31 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $16,496 | $15,714 | $— | 1/28/25 | (Federal Funds | Curo Group | $(726) |
| | | | | Effective Rate US plus | Holdings Corp — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 3,899 | 3,799 | — | 1/28/25 | (Federal Funds | Cybernet Systems | (37) |
| | | | | Effective Rate US plus | Co Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 10,048 | 10,410 | — | 1/28/25 | (Federal Funds | Cyfrowy Polsat | 358 |
| | | | | Effective Rate US plus | SA — Monthly | |
| | | | | 0.70%) — Monthly | | |
| 5,061 | 5,225 | — | 1/28/25 | (Federal Funds | D/S Norden A/S — | 163 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 5,890 | 5,854 | — | 1/28/25 | (Federal Funds | Daicel Corp — | (37) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 8,180 | 7,927 | — | 1/28/25 | (Federal Funds | Daifuku Co Ltd — | (256) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 20,044 | 20,081 | — | 1/28/25 | (Federal Funds | Dali Foods Group | 32 |
| | | | | Effective Rate US plus | Co Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 8,644 | 8,301 | — | 1/28/25 | (Federal Funds | Datadog Inc — | (346) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 15,903 | 15,849 | — | 1/28/25 | (Federal Funds | De’ Longhi SpA — | (58) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 21,777 | 21,995 | — | 1/28/25 | (Federal Funds | Deere & Co — | 261 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 16,121 | 15,754 | — | 1/28/25 | (Federal Funds | Deutsche Post | (371) |
| | | | | Effective Rate US plus | AG — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 13,098 | 12,924 | — | 1/28/25 | (Federal Funds | Deutsche | (178) |
| | | | | Effective Rate US plus | Wohnen SE — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 14,197 | 14,513 | — | 1/28/25 | (Federal Funds | Dexerials Corp — | 312 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 22,909 | 22,844 | — | 1/28/25 | (Federal Funds | Dialog | (70) |
| | | | | Effective Rate US plus | Semiconductor | |
| | | | | 0.25%) — Monthly | PLC — Monthly | |
| 53,630 | 51,640 | — | 1/28/25 | (Federal Funds | Dicerna | (2,003) |
| | | | | Effective Rate US plus | Pharmaceuticals | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 29,732 | 28,263 | — | 1/28/25 | (Federal Funds | Dick’s Sporting | (1,475) |
| | | | | Effective Rate US plus | Goods Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 10,386 | 9,767 | — | 1/28/25 | (Federal Funds | Dicker Data Ltd — | (524) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
|
| 32 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $8,515 | $8,490 | $— | 1/28/25 | (Federal Funds | Digital Holdings | $125 |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 34,922 | 36,496 | — | 1/28/25 | (Federal Funds | Digital Turbine | 1,567 |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 8,680 | 8,156 | — | 1/28/25 | (Federal Funds | Dip Corp — | (452) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 9,458 | 9,087 | — | 1/28/25 | (Federal Funds | Disco Corp — | (374) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 35,332 | 33,546 | — | 1/28/25 | (Federal Funds | DocuSign Inc — | (1,786) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 10,076 | 10,154 | — | 1/28/25 | (Federal Funds | Dolby | 78 |
| | | | | Effective Rate US plus | Laboratories | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 38,142 | 36,363 | — | 1/28/25 | (Federal Funds | Domino’s Pizza | (1,787) |
| | | | | Effective Rate US plus | Group PLC — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 58,768 | 55,126 | — | 1/28/25 | (Federal Funds | Domo Inc — | (3,656) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 8,411 | 8,363 | — | 1/28/25 | (Federal Funds | Dong-A Socio | 12 |
| | | | | Effective Rate US plus | Holdings Co Ltd — | |
| | | | | 0.35%) — Monthly | Monthly | |
| 48,236 | 55,203 | — | 1/28/25 | (Federal Funds | Donnelley | 6,957 |
| | | | | Effective Rate US plus | Financial | |
| | | | | 0.25%) — Monthly | Solutions Inc — | |
| | | | | | Monthly | |
| 5,103 | 4,973 | — | 1/28/25 | (Federal Funds | Doshisha Co | (130) |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 2,529 | 2,516 | — | 1/28/25 | (Federal Funds | DoubleLine | (13) |
| | | | | Effective Rate US plus | Income Solutions | |
| | | | | 0.25%) — Monthly | Fund — Monthly | |
| 10,704 | 10,529 | — | 1/28/25 | (Federal Funds | Dropbox Inc — | (178) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 2,179 | 2,102 | — | 1/28/25 | (Federal Funds | DSP Group Inc — | (77) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 39,476 | 38,370 | — | 1/28/25 | (Federal Funds | Dunelm Group | (1,113) |
| | | | | Effective Rate US plus | PLC — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 543 | 533 | — | 1/28/25 | (Federal Funds | DWS Municipal | (6) |
| | | | | Effective Rate US plus | Income Trust — | |
| | | | | 0.25%) — Monthly | Monthly | |
|
| PanAgora Market Neutral Fund 33 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $74,524 | $69,519 | $— | 1/28/25 | (Federal Funds | Dynavax | $(5,018) |
| | | | | Effective Rate US plus | Technologies | |
| | | | | 0.25%) — Monthly | Corp — Monthly | |
| 8,657 | 8,488 | — | 1/28/25 | (Federal Funds | Eastern | (171) |
| | | | | Effective Rate US plus | Bankshares Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 2,386 | 2,356 | — | 1/28/25 | (Federal Funds | Eaton Vance Ltd | (12) |
| | | | | Effective Rate US plus | Duration Income | |
| | | | | 0.25%) — Monthly | Fund — Monthly | |
| 476 | 473 | — | 1/28/25 | (Federal Funds | Eaton Vance | (1) |
| | | | | Effective Rate US plus | Municipal Bond | |
| | | | | 0.25%) — Monthly | Fund — Monthly | |
| 727 | 727 | — | 1/28/25 | (Federal Funds | Eaton Vance | 2 |
| | | | | Effective Rate US plus | Municipal Income | |
| | | | | 0.25%) — Monthly | Trust — Monthly | |
| 3,804 | 3,743 | — | 1/28/25 | (Federal Funds | Ebara Corp — | (10) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 16,044 | 15,721 | — | 1/28/25 | (Federal Funds | Eiffage SA — | (326) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 8,948 | 8,641 | — | 1/28/25 | (Federal Funds | El.En. SpA — | (310) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 5,060 | 4,927 | — | 1/28/25 | (Federal Funds | Elan Corp — | (133) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 4,911 | 4,686 | — | 1/28/25 | (Federal Funds | Elco Ltd — | (225) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.70%) — Monthly | | |
| 9,842 | 10,020 | — | 1/28/25 | (Federal Funds | Emaar Malls | 173 |
| | | | | Effective Rate US plus | PJSC — Monthly | |
| | | | | 1.20%) — Monthly | | |
| 14,194 | 14,286 | — | 1/28/25 | (Federal Funds | Empire Co Ltd — | 141 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 54,623 | 53,170 | — | 1/28/25 | (Federal Funds | Enphase Energy | (1,467) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 82,877 | 79,559 | — | 1/28/25 | (Federal Funds | Ensign Group Inc/ | (3,287) |
| | | | | Effective Rate US plus | The — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 41,679 | 40,397 | — | 1/28/25 | (Federal Funds | Enterprise | (1,033) |
| | | | | Effective Rate US plus | Bancorp Inc/ | |
| | | | | 0.25%) — Monthly | MA — Monthly | |
| 19,695 | 18,996 | — | 1/28/25 | (Federal Funds | Essity AB — | (705) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 10,008 | 9,719 | — | 1/28/25 | (Federal Funds | Estee Lauder | (272) |
| | | | | Effective Rate US plus | Cos Inc/The — | |
| | | | | 0.25%) — Monthly | Monthly | |
|
| 34 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $7,737 | $8,150 | $— | 1/28/25 | (Federal Funds | Etsy Inc — | $413 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 6,159 | 6,373 | — | 1/28/25 | (Federal Funds | Eubiologics Co | 211 |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.35%) — Monthly | | |
| 4,650 | 4,565 | — | 1/28/25 | (Federal Funds | Exedy Corp — | (86) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 18,165 | 17,512 | — | 1/28/25 | (Federal Funds | Experian PLC — | (654) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 44,736 | 42,898 | — | 1/28/25 | (Federal Funds | Exxon Mobil | (1,159) |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 63,653 | 62,361 | — | 1/28/25 | (Federal Funds | Fabrinet — | (1,307) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 13,216 | 12,881 | — | 1/28/25 | (Federal Funds | Facebook Inc — | (338) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 7,401 | 7,120 | — | 1/28/25 | (Federal Funds | Fancl Corp — | (282) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 10,709 | 10,186 | — | 1/28/25 | (Federal Funds | Farmers National | (525) |
| | | | | Effective Rate US plus | Banc Corp — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 48,857 | 46,678 | — | 1/28/25 | (Federal Funds | Federal Signal | (2,190) |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 35,811 | 33,908 | — | 1/28/25 | (Federal Funds | Federated | (1,570) |
| | | | | Effective Rate US plus | Hermes Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 13,523 | 13,234 | — | 1/28/25 | (Federal Funds | FedEx Corp �� | (289) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 15,616 | 15,285 | — | 1/28/25 | (Federal Funds | Fielmann AG — | (335) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 17,644 | 16,760 | — | 1/28/25 | (Federal Funds | First American | (887) |
| | | | | Effective Rate US plus | Financial Corp — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 52,905 | 51,103 | — | 1/28/25 | (Federal Funds | First Bancorp/ | (1,813) |
| | | | | Effective Rate US plus | Southern Pines | |
| | | | | 0.25%) — Monthly | NC — Monthly | |
| 40,989 | 39,263 | — | 1/28/25 | (Federal Funds | First Choice | (1,240) |
| | | | | Effective Rate US plus | Bancorp — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 58,966 | 56,450 | — | 1/28/25 | (Federal Funds | First Financial | (2,528) |
| | | | | Effective Rate US plus | Bankshares Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
|
| PanAgora Market Neutral Fund 35 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $11,587 | $11,082 | $— | 1/28/25 | (Federal Funds | First Foundation | $(463) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 1,217 | 1,205 | — | 1/28/25 | (Federal Funds | First Trust High | (12) |
| | | | | Effective Rate US plus | Income Long/ | |
| | | | | 0.25%) — Monthly | Short Fund — | |
| | | | | | Monthly | |
| 636 | 635 | — | 1/28/25 | (Federal Funds | First Trust Senior | 5 |
| | | | | Effective Rate US plus | Floating Rate | |
| | | | | 0.25%) — Monthly | Income Fund II — | |
| | | | | | Monthly | |
| 10,384 | 10,238 | — | 1/28/25 | (Federal Funds | First Western | (149) |
| | | | | Effective Rate US plus | Financial Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 63,256 | 64,464 | — | 1/28/25 | (Federal Funds | Five9 Inc — | 1,193 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 2,321 | 2,213 | — | 1/28/25 | (Federal Funds | Flagstar Bancorp | (105) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 36,382 | 35,511 | — | 1/28/25 | (Federal Funds | FLIR Systems | (880) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 41,112 | 40,048 | — | 1/28/25 | (Federal Funds | Flutter | (1,069) |
| | | | | Effective Rate US plus | Entertainment | |
| | | | | 0.25%) — Monthly | PLC — Monthly | |
| 35,893 | 35,581 | — | 1/28/25 | (Federal Funds | FONAR Corp — | (320) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 22,074 | 21,048 | — | 1/28/25 | (Federal Funds | Ford Motor Co — | (1,030) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 30,445 | 28,127 | — | 1/28/25 | (Federal Funds | Ford Otomotiv | (2,332) |
| | | | | Effective Rate US plus | Sanayi A/S — | |
| | | | | 0.70%) — Monthly | Monthly | |
| 9,700 | 9,132 | — | 1/28/25 | (Federal Funds | Formula Systems | (496) |
| | | | | Effective Rate US plus | (1985) Ltd — | |
| | | | | 0.70%) — Monthly | Monthly | |
| 36,324 | 36,324 | — | 1/28/25 | (Federal Funds | Forterra Inc — | (1) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 24,798 | 24,652 | — | 1/28/25 | (Federal Funds | Fortinet Inc — | (151) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 8,184 | 7,964 | — | 1/28/25 | (Federal Funds | Fortive Corp — | (214) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 8,900 | 8,480 | — | 1/28/25 | (Federal Funds | Fortune Brands | (395) |
| | | | | Effective Rate US plus | Home & Security | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
|
| 36 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $363 | $355 | $— | 1/28/25 | (Federal Funds | Franklin Ltd | $(5) |
| | | | | Effective Rate US plus | Duration Income | |
| | | | | 0.25%) — Monthly | Trust — Monthly | |
| 7,645 | 7,544 | — | 1/28/25 | (Federal Funds | Fresenius Medical | (104) |
| | | | | Effective Rate US plus | Care AG & Co | |
| | | | | 0.25%) — Monthly | KGaA — Monthly | |
| 4,837 | 4,704 | — | 1/28/25 | (Federal Funds | Fuji Corp/Aichi — | (133) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 12,829 | 12,440 | — | 1/28/25 | (Federal Funds | Fuji Electric Co | (392) |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 3,790 | 3,687 | — | 1/28/25 | (Federal Funds | Fujimi Inc — | (104) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 7,897 | 7,925 | — | 1/28/25 | (Federal Funds | Fujitsu Ltd — | 26 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 6,551 | 6,276 | — | 1/28/25 | (Federal Funds | Fukui Computer | (277) |
| | | | | Effective Rate US plus | Holdings Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 9,481 | 8,891 | — | 1/28/25 | (Federal Funds | Furuno Electric | (517) |
| | | | | Effective Rate US plus | Co Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 23,607 | 22,093 | — | 1/28/25 | (Federal Funds | Fuyao | (1,521) |
| | | | | Effective Rate US plus | Glass Industry | |
| | | | | 0.25%) — Monthly | Group Co Ltd — | |
| | | | | | Monthly | |
| 13,284 | 13,108 | — | 1/28/25 | (Federal Funds | Galenica AG — | (180) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 52,369 | 49,093 | — | 1/28/25 | (Federal Funds | Galera | (3,288) |
| | | | | Effective Rate US plus | Therapeutics | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 41,647 | 41,192 | — | 1/28/25 | (Federal Funds | GAMCO Investors | (465) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 21,980 | 21,133 | — | 1/28/25 | (Federal Funds | Gap Inc/The — | (851) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 11,603 | 11,731 | — | 1/28/25 | (Federal Funds | Genexine Inc — | 123 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.35%) — Monthly | | |
| 47,704 | 48,347 | — | 1/28/25 | (Federal Funds | GenMark | 634 |
| | | | | Effective Rate US plus | Diagnostics Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 11,266 | 11,285 | — | 1/28/25 | (Federal Funds | Genting | 14 |
| | | | | Effective Rate US plus | Singapore Ltd — | |
| | | | | 0.55%) — Monthly | Monthly | |
|
| PanAgora Market Neutral Fund 37 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $23,817 | $23,106 | $— | 1/28/25 | (Federal Funds | Getinge AB — | $(716) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 20,613 | 20,178 | — | 1/28/25 | (Federal Funds | Giant | (442) |
| | | | | Effective Rate US plus | Manufacturing Co | |
| | | | | 0.35%) — Monthly | Ltd — Monthly | |
| 7,199 | 6,938 | — | 1/28/25 | (Federal Funds | Gilead Sciences | (263) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 15,480 | 15,297 | — | 1/28/25 | (Federal Funds | GN Store Nord | (187) |
| | | | | Effective Rate US plus | A/S — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 5,341 | 5,660 | — | 1/28/25 | (Federal Funds | GNI Group Ltd — | 319 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 15,896 | 15,818 | — | 1/28/25 | (Federal Funds | GoDaddy Inc — | (82) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 36,320 | 36,423 | — | 1/28/25 | (Federal Funds | Golar LNG | 304 |
| | | | | Effective Rate US plus | Partners LP — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 11,626 | 11,134 | — | 1/28/25 | (Federal Funds | GP Strategies | (494) |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 36,001 | 32,852 | — | 1/28/25 | (Federal Funds | Gray Television | (3,158) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 9,787 | 9,355 | — | 1/28/25 | (Federal Funds | Gree Inc — | (435) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 9,795 | 9,530 | — | 1/28/25 | (Federal Funds | Green Brick | (268) |
| | | | | Effective Rate US plus | Partners Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 15,584 | 15,422 | — | 1/28/25 | (Federal Funds | Gruma SAB de | (174) |
| | | | | Effective Rate US plus | CV — Monthly | |
| | | | | 0.90%) — Monthly | | |
| 9,303 | 9,205 | — | 1/28/25 | (Federal Funds | Grupo Bimbo SAB | (106) |
| | | | | Effective Rate US plus | de CV — Monthly | |
| | | | | 0.90%) — Monthly | | |
| 2,434 | 2,363 | — | 1/28/25 | (Federal Funds | GSI Technology | (71) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 408 | 403 | — | 1/28/25 | (Federal Funds | Guggenheim | (5) |
| | | | | Effective Rate US plus | Credit Allocation | |
| | | | | 0.25%) — Monthly | Fund — Monthly | |
| 3,019 | 3,017 | — | 1/28/25 | (Federal Funds | Guggenheim | 51 |
| | | | | Effective Rate US plus | Strategic | |
| | | | | 0.25%) — Monthly | Opportunities | |
| | | | | | Fund — Monthly | |
|
| 38 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $689 | $679 | $— | 1/28/25 | (Federal Funds | Guggenheim | $(3) |
| | | | | Effective Rate US plus | Taxable | |
| | | | | 0.25%) — Monthly | Municipal Bond & | |
| | | | | | Investment Grade | |
| | | | | | Debt Trust — | |
| | | | | | Monthly | |
| 3,497 | 3,410 | — | 1/28/25 | (Federal Funds | Gunze Ltd — | (88) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 20,855 | 20,782 | — | 1/28/25 | (Federal Funds | GW | (76) |
| | | | | Effective Rate US plus | Pharmaceuticals | |
| | | | | 0.25%) — Monthly | PLC ADR — | |
| | | | | | Monthly | |
| 8,383 | 8,227 | — | 1/28/25 | (Federal Funds | Hakuhodo DY | (157) |
| | | | | Effective Rate US plus | Holdings Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 4,847 | 4,787 | — | 1/28/25 | (Federal Funds | Hamborner REIT | (60) |
| | | | | Effective Rate US plus | AG — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 49,122 | 48,136 | — | 1/28/25 | (Federal Funds | Hanger Inc — | (998) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 9,353 | 9,153 | — | 1/28/25 | (Federal Funds | Hankyu Hanshin | (203) |
| | | | | Effective Rate US plus | Holdings Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 23,776 | 23,070 | — | 1/28/25 | (Federal Funds | Hanover | (712) |
| | | | | Effective Rate US plus | Insurance Group | |
| | | | | 0.25%) — Monthly | Inc/The — | |
| | | | | | Monthly | |
| 7,867 | 7,801 | — | 1/28/25 | (Federal Funds | Hanwa Co Ltd — | (68) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 14,155 | 13,872 | — | 1/28/25 | (Federal Funds | Hanwha Corp — | — |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.35%) — Monthly | | |
| 5,668 | 5,588 | — | 1/28/25 | (Federal Funds | Happinet Corp — | (80) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 25,565 | 24,382 | — | 1/28/25 | (Federal Funds | Hartford | (1,021) |
| | | | | Effective Rate US plus | Financial Services | |
| | | | | 0.25%) — Monthly | Group Inc/The — | |
| | | | | | Monthly | |
| 2,482 | 2,437 | — | 1/28/25 | (Federal Funds | HBT Financial | (23) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 18,771 | 18,407 | — | 1/28/25 | (Federal Funds | HCA Healthcare | (368) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 10,003 | 9,582 | — | 1/28/25 | (Federal Funds | Healthcare | (324) |
| | | | | Effective Rate US plus | Realty Trust Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
|
| PanAgora Market Neutral Fund 39 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $33,967 | $33,296 | $— | 1/28/25 | (Federal Funds | HealthStream | $(681) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 13,849 | 13,352 | — | 1/28/25 | (Federal Funds | Heidelberg- | (501) |
| | | | | Effective Rate US plus | Cement AG — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 63,875 | 61,867 | — | 1/28/25 | (Federal Funds | Herman Miller | (1,720) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 36,110 | 33,810 | — | 1/28/25 | (Federal Funds | Heron | (2,309) |
| | | | | Effective Rate US plus | Therapeutics | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 2,313 | 2,273 | — | 1/28/25 | (Federal Funds | Highland Income | (6) |
| | | | | Effective Rate US plus | Fund — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 13,394 | 13,227 | — | 1/28/25 | (Federal Funds | Hill-Rom | (167) |
| | | | | Effective Rate US plus | Holdings Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 9,907 | 9,360 | — | 1/28/25 | (Federal Funds | HNI Corp — | (469) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 16,683 | 16,004 | — | 1/28/25 | (Federal Funds | Hologic Inc — | (681) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 13,778 | 13,692 | — | 1/28/25 | (Federal Funds | Home Depot Inc/ | (90) |
| | | | | Effective Rate US plus | The — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 4,953 | 4,879 | — | 1/28/25 | (Federal Funds | Hornbach | (74) |
| | | | | Effective Rate US plus | Baumarkt AG — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 4,884 | 4,777 | — | 1/28/25 | (Federal Funds | Hua Medicine — | (108) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 28,011 | 27,810 | — | 1/28/25 | (Federal Funds | HubSpot Inc — | (206) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 14,951 | 14,111 | — | 1/28/25 | (Federal Funds | Hutchison China | (844) |
| | | | | Effective Rate US plus | MediTech Ltd | |
| | | | | 0.25%) — Monthly | ADR — Monthly | |
| 3,738 | 3,730 | — | 1/28/25 | (Federal Funds | I-PEX Inc — | 26 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 8,411 | 8,124 | — | 1/28/25 | (Federal Funds | Ibiden Co Ltd — | (289) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 9,500 | 9,291 | — | 1/28/25 | (Federal Funds | IDOM Inc — | (140) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 35,005 | 34,621 | — | 1/28/25 | (Federal Funds | IHS Markit Ltd — | (316) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
|
| 40 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $32,152 | $30,348 | $— | 1/28/25 | (Federal Funds | II-VI Inc — Monthly | $(1,812) |
| | | | | Effective Rate US plus | | |
| | | | | 0.25%) — Monthly | | |
| 9,193 | 8,808 | — | 1/28/25 | (Federal Funds | IMI PLC — Monthly | (386) |
| | | | | Effective Rate US plus | | |
| | | | | 0.25%) — Monthly | | |
| 94,514 | 90,580 | — | 1/28/25 | (Federal Funds | ImmunoGen | (3,953) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 7,383 | 7,109 | — | 1/28/25 | (Federal Funds | Inaba Denki | (276) |
| | | | | Effective Rate US plus | Sangyo Co Ltd — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 19,511 | 18,817 | — | 1/28/25 | (Federal Funds | Inchcape PLC — | (699) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 17,895 | 17,463 | — | 1/28/25 | (Federal Funds | Incyte Corp — | (438) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 23,491 | 23,223 | — | 1/28/25 | (Federal Funds | Indah Kiat Pulp & | (283) |
| | | | | Effective Rate US plus | Paper Corp Tbk | |
| | | | | 0.75%) — Monthly | PT — Monthly | |
| 45,090 | 43,572 | — | 1/28/25 | (Federal Funds | Independent | (1,085) |
| | | | | Effective Rate US plus | Bank Corp/MI — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 4,589 | 4,545 | — | 1/28/25 | (Federal Funds | Indivior PLC — | (44) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 26,154 | 23,835 | — | 1/28/25 | (Federal Funds | Indofood Sukses | (2,336) |
| | | | | Effective Rate US plus | Makmur Tbk PT — | |
| | | | | 0.75%) — Monthly | Monthly | |
| 3,840 | 3,715 | — | 1/28/25 | (Federal Funds | Ines Corp — | (126) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 7,269 | 7,027 | — | 1/28/25 | (Federal Funds | Information | (201) |
| | | | | Effective Rate US plus | Services | |
| | | | | 0.25%) — Monthly | International- | |
| | | | | | Dentsu Ltd — | |
| | | | | | Monthly | |
| 46,097 | 43,162 | — | 1/28/25 | (Federal Funds | InfuSystem | (2,946) |
| | | | | Effective Rate US plus | Holdings Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 11,272 | 10,976 | — | 1/28/25 | (Federal Funds | Ingenia | (184) |
| | | | | Effective Rate US plus | Communities | |
| | | | | 0.25%) — Monthly | Group — Monthly | |
| 60,689 | 60,075 | — | 1/28/25 | (Federal Funds | Inphi Corp — | (629) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 29,105 | 29,626 | — | 1/28/25 | (Federal Funds | Insperity Inc — | 514 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
|
| PanAgora Market Neutral Fund 41 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $39,288 | $38,044 | $— | 1/28/25 | (Federal Funds | Insteel Industries | $(1,253) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 5,404 | 5,343 | — | 1/28/25 | (Federal Funds | Intage Holdings | (62) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 13,712 | 13,189 | — | 1/28/25 | (Federal Funds | Intel Corp — | (523) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 55,750 | 53,386 | — | 1/28/25 | (Federal Funds | International | (1,703) |
| | | | | Effective Rate US plus | Bancshares | |
| | | | | 0.25%) — Monthly | Corp — Monthly | |
| 39,281 | 39,445 | — | 1/28/25 | (Federal Funds | International | 159 |
| | | | | Effective Rate US plus | Consolidated | |
| | | | | 0.25%) — Monthly | Airlines Group | |
| | | | | | SA — Monthly | |
| 63,522 | 65,964 | — | 1/28/25 | (Federal Funds | IntriCon Corp — | 2,428 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 524 | 529 | — | 1/28/25 | (Federal Funds | Invesco | 9 |
| | | | | Effective Rate US plus | Advantage | |
| | | | | 0.25%) — Monthly | Municipal Income | |
| | | | | | Trust II — Monthly | |
| 653 | 656 | — | 1/28/25 | (Federal Funds | Invesco California | 8 |
| | | | | Effective Rate US plus | Value Municipal | |
| | | | | 0.25%) — Monthly | Income Trust — | |
| | | | | | Monthly | |
| 2,780 | 2,783 | — | 1/28/25 | (Federal Funds | Invesco | 40 |
| | | | | Effective Rate US plus | Dynamic Credit | |
| | | | | 0.25%) — Monthly | Opportunities | |
| | | | | | Fund — Monthly | |
| 1,014 | 1,015 | — | 1/28/25 | (Federal Funds | Invesco Municipal | 9 |
| | | | | Effective Rate US plus | Opportunity | |
| | | | | 0.25%) — Monthly | Trust — Monthly | |
| 941 | 936 | — | 1/28/25 | (Federal Funds | Invesco Municipal | 2 |
| | | | | Effective Rate US plus | Trust — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 557 | 556 | — | 1/28/25 | (Federal Funds | Invesco Quality | 3 |
| | | | | Effective Rate US plus | Municipal Income | |
| | | | | 0.25%) — Monthly | Trust — Monthly | |
| 865 | 873 | — | 1/28/25 | (Federal Funds | Invesco Trust for | 15 |
| | | | | Effective Rate US plus | Investment Grade | |
| | | | | 0.25%) — Monthly | Municipals — | |
| | | | | | Monthly | |
| 745 | 746 | — | 1/28/25 | (Federal Funds | Invesco Value | 7 |
| | | | | Effective Rate US plus | Municipal Income | |
| | | | | 0.25%) — Monthly | Trust — Monthly | |
| 12,048 | 11,849 | — | 1/28/25 | (Federal Funds | Ipsen SA — | (202) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
|
| 42 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $10,358 | $10,905 | $— | 1/28/25 | (Federal Funds | IPSOS — Monthly | $544 |
| | | | | Effective Rate US plus | | |
| | | | | 0.25%) — Monthly | | |
| 22,767 | 22,556 | — | 1/28/25 | (Federal Funds | IQVIA Holdings | (216) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 2,237 | 2,225 | — | 1/28/25 | (Federal Funds | ISB Corp — | 42 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 2,178 | 2,044 | — | 1/28/25 | (Federal Funds | Iteris Inc — | (134) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 28,790 | 28,628 | — | 1/28/25 | (Federal Funds | ITT Inc — Monthly | (169) |
| | | | | Effective Rate US plus | | |
| | | | | 0.25%) — Monthly | | |
| 16,617 | 16,888 | — | 1/28/25 | (Federal Funds | J Alexander’s | 267 |
| | | | | Effective Rate US plus | Holdings Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 23,567 | 22,042 | — | 1/28/25 | (Federal Funds | J D Wetherspoon | (1,531) |
| | | | | Effective Rate US plus | PLC — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 1,715 | 1,740 | — | 1/28/25 | (Federal Funds | Jack in the Box | 25 |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 12,744 | 12,177 | — | 1/28/25 | (Federal Funds | Japan Real Estate | (570) |
| | | | | Effective Rate US plus | Investment | |
| | | | | 0.25%) — Monthly | Corp — Monthly | |
| 6,312 | 5,927 | — | 1/28/25 | (Federal Funds | Japan Retail | (272) |
| | | | | Effective Rate US plus | Fund Investment | |
| | | | | 0.25%) — Monthly | Corp — Monthly | |
| 7,915 | 7,655 | — | 1/28/25 | (Federal Funds | Japan Steel | (262) |
| | | | | Effective Rate US plus | Works Ltd/The — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 9,753 | 9,990 | — | 1/28/25 | (Federal Funds | Japfa Ltd — | 231 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.55%) — Monthly | | |
| 16,234 | 15,779 | — | 1/28/25 | (Federal Funds | Jardine Cycle & | (463) |
| | | | | Effective Rate US plus | Carriage Ltd — | |
| | | | | 0.55%) — Monthly | Monthly | |
| 19,149 | 19,241 | — | 1/28/25 | (Federal Funds | Jarir Marketing | 72 |
| | | | | Effective Rate US plus | Co — Monthly | |
| | | | | 1.20%) — Monthly | | |
| 28,107 | 27,222 | — | 1/28/25 | (Federal Funds | Jazz | (891) |
| | | | | Effective Rate US plus | Pharmaceuticals | |
| | | | | 0.25%) — Monthly | PLC — Monthly | |
| 6,784 | 6,046 | — | 1/28/25 | (Federal Funds | JB Hi-Fi Ltd — | (480) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 26,694 | 26,002 | — | 1/28/25 | (Federal Funds | JD.com Inc ADR — | (699) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
|
| PanAgora Market Neutral Fund 43 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $10,903 | $10,512 | $— | 1/28/25 | (Federal Funds | Jefferies Financial | $(321) |
| | | | | Effective Rate US plus | Group Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 4,882 | 4,864 | — | 1/28/25 | (Federal Funds | JM AB — Monthly | (18) |
| | | | | Effective Rate US plus | | |
| | | | | 0.25%) — Monthly | | |
| 4,526 | 4,332 | — | 1/28/25 | (Federal Funds | Johnson Electric | (195) |
| | | | | Effective Rate US plus | Holdings Ltd — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 9,324 | 8,959 | — | 1/28/25 | (Federal Funds | Jungheinrich AG | (367) |
| | | | | Effective Rate US plus | (Preference) — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 5,709 | 5,554 | — | 1/28/25 | (Federal Funds | JVCKENWOOD | (156) |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 38,694 | 36,582 | — | 1/28/25 | (Federal Funds | Kadmon Holdings | (2,122) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 19,304 | 18,340 | — | 1/28/25 | (Federal Funds | Kadokawa | (968) |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 4,403 | 4,330 | — | 1/28/25 | (Federal Funds | Kaga Electronics | (74) |
| | | | | Effective Rate US plus | Co Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 7,476 | 7,379 | — | 1/28/25 | (Federal Funds | Kandenko Co | (99) |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 6,712 | 6,708 | — | 1/28/25 | (Federal Funds | Kato Sangyo Co | (6) |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 13,678 | 13,228 | — | 1/28/25 | (Federal Funds | Kemira Oyj — | (454) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 16,561 | 16,374 | — | 1/28/25 | (Federal Funds | Kesko Oyj — | (191) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 25,180 | 23,544 | — | 1/28/25 | (Federal Funds | KeyCorp — | (1,642) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 8,119 | 8,044 | — | 1/28/25 | (Federal Funds | KFC Holdings | (78) |
| | | | | Effective Rate US plus | Japan Ltd — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 70,062 | 69,682 | — | 1/28/25 | (Federal Funds | Kforce Inc — | (395) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 17,599 | 18,445 | — | 1/28/25 | (Federal Funds | Kia Motors | 1,277 |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.35%) — Monthly | | |
| 23,103 | 23,558 | — | 1/28/25 | (Federal Funds | Kingboard | 449 |
| | | | | Effective Rate US plus | Holdings Ltd — | |
| | | | | 0.25%) — Monthly | Monthly | |
|
| 44 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $27,277 | $27,311 | $— | 1/28/25 | (Federal Funds | Kingboard | $28 |
| | | | | Effective Rate US plus | Laminates | |
| | | | | 0.25%) — Monthly | Holdings Ltd — | |
| | | | | | Monthly | |
| 39,495 | 38,898 | — | 1/28/25 | (Federal Funds | Kingfisher PLC — | (605) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 13,359 | 13,395 | — | 1/28/25 | (Federal Funds | KKR & Co Inc — | 35 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 474 | 475 | — | 1/28/25 | (Federal Funds | KKR Income | 1 |
| | | | | Effective Rate US plus | Opportunities | |
| | | | | 0.25%) — Monthly | Fund — Monthly | |
| 24,135 | 22,086 | — | 1/28/25 | (Federal Funds | Klabin SA | (2,062) |
| | | | | Effective Rate US plus | (Units) — Monthly | |
| | | | | 0.65%) — Monthly | | |
| 7,563 | 7,287 | — | 1/28/25 | (Federal Funds | Kobe Bussan Co | (241) |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 2,780 | 2,721 | — | 1/28/25 | (Federal Funds | Kohnan Shoji Co | (36) |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 6,882 | 6,661 | — | 1/28/25 | (Federal Funds | Koito | (223) |
| | | | | Effective Rate US plus | Manufacturing Co | |
| | | | | 0.25%) — Monthly | Ltd — Monthly | |
| 8,074 | 8,077 | — | 1/28/25 | (Federal Funds | Komeri Co Ltd — | 1 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 9,277 | 9,102 | — | 1/28/25 | (Federal Funds | Konica Minolta | (178) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 20,943 | 20,580 | — | 1/28/25 | (Federal Funds | Koninklijke Ahold | (368) |
| | | | | Effective Rate US plus | Delhaize NV — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 13,429 | 14,212 | — | 1/28/25 | (Federal Funds | L Brands Inc — | 783 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 16,744 | 16,267 | — | 1/28/25 | (Federal Funds | LafargeHolcim | (481) |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 15,652 | 15,953 | — | 1/28/25 | (Federal Funds | Lawson Products | 297 |
| | | | | Effective Rate US plus | Inc/DE — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 28,821 | 27,809 | — | 1/28/25 | (Federal Funds | Lee & Man Paper | (1,018) |
| | | | | Effective Rate US plus | Manufacturing | |
| | | | | 0.25%) — Monthly | Ltd — Monthly | |
| 11,683 | 10,997 | — | 1/28/25 | (Federal Funds | Legacy Housing | (689) |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.25%) — Monthly | | |
|
| PanAgora Market Neutral Fund 45 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $41,096 | $38,391 | $— | 1/28/25 | (Federal Funds | Legal & General | $(2,713) |
| | | | | Effective Rate US plus | Group PLC — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 5,679 | 5,408 | — | 1/28/25 | (Federal Funds | Leonardo SpA — | (273) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 2,348 | 2,268 | — | 1/28/25 | (Federal Funds | Level One | (80) |
| | | | | Effective Rate US plus | Bancorp Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 47,918 | 44,485 | — | 1/28/25 | (Federal Funds | Lexicon | (3,446) |
| | | | | Effective Rate US plus | Pharmaceuticals | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 11,904 | 11,785 | — | 1/28/25 | (Federal Funds | LG Corp — | 151 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.35%) — Monthly | | |
| 17,273 | 16,344 | — | 1/28/25 | (Federal Funds | Liberty | (932) |
| | | | | Effective Rate US plus | TripAdvisor | |
| | | | | 0.25%) — Monthly | Holdings Inc — | |
| | | | | | Monthly | |
| 6,780 | 6,538 | — | 1/28/25 | (Federal Funds | Lintec Corp — | (244) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 9,027 | 8,742 | — | 1/28/25 | (Federal Funds | Liquidity Services | (288) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 37,341 | 40,750 | — | 1/28/25 | (Federal Funds | LivePerson Inc — | 3,399 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 23 | — | — | 1/28/25 | (Federal Funds | Lojas Americanas | (23) |
| | | | | Effective Rate US plus | SA (Rights) — | |
| | | | | 0.65%) — Monthly | Monthly | |
| 14,988 | 14,508 | — | 1/28/25 | (Federal Funds | Lonza Group | (483) |
| | | | | Effective Rate US plus | AG — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 17,205 | 16,934 | — | 1/28/25 | (Federal Funds | Lowe’s Cos Inc — | (212) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 30,869 | 29,991 | — | 1/28/25 | (Federal Funds | LPL Financial | (885) |
| | | | | Effective Rate US plus | Holdings Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 139 | 139 | — | 1/28/25 | (Federal Funds | LSC | (1) |
| | | | | Effective Rate US plus | Communications | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 1,923 | 1,883 | — | 1/28/25 | (Federal Funds | Lumber | (41) |
| | | | | Effective Rate US plus | Liquidators | |
| | | | | 0.25%) — Monthly | Holdings Inc — | |
| | | | | | Monthly | |
| 9,914 | 9,540 | — | 1/28/25 | (Federal Funds | Lumentum | (376) |
| | | | | Effective Rate US plus | Holdings Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
|
| 46 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $60,197 | $57,086 | $— | 1/28/25 | (Federal Funds | M/I Homes Inc — | $(3,126) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 32,406 | 38,465 | — | 1/28/25 | (Federal Funds | MacroGenics | 6,052 |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 19,540 | 19,036 | — | 1/28/25 | (Federal Funds | Magna | (508) |
| | | | | Effective Rate US plus | International | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 33,877 | 31,083 | — | 1/28/25 | (Federal Funds | Malibu Boats | (2,802) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 20,467 | 19,644 | — | 1/28/25 | (Federal Funds | ManpowerGroup | (828) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 49,849 | 49,090 | — | 1/28/25 | (Federal Funds | Marten Transport | (771) |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 18,782 | 17,884 | — | 1/28/25 | (Federal Funds | Masonite | (898) |
| | | | | Effective Rate US plus | International | |
| | | | | 0.25%) — Monthly | Corp — Monthly | |
| 25,952 | 25,616 | — | 1/28/25 | (Federal Funds | Mastech Digital | (343) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 5,776 | 5,800 | — | 1/28/25 | (Federal Funds | Matrix IT Ltd — | 25 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.70%) — Monthly | | |
| 9,495 | 9,108 | — | 1/28/25 | (Federal Funds | Maxell Holdings | (390) |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 7,539 | 7,104 | — | 1/28/25 | (Federal Funds | Maxeon Solar | (437) |
| | | | | Effective Rate US plus | Technologies | |
| | | | | 0.25%) — Monthly | Ltd — Monthly | |
| 46,343 | 44,628 | — | 1/28/25 | (Federal Funds | Maxim Integrated | (1,726) |
| | | | | Effective Rate US plus | Products Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 47,716 | 47,140 | — | 1/28/25 | (Federal Funds | McGrath | (304) |
| | | | | Effective Rate US plus | RentCorp — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 25,381 | 23,733 | — | 1/28/25 | (Federal Funds | McKesson Corp — | (1,654) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 19,279 | 19,115 | — | 1/28/25 | (Federal Funds | McKesson Europe | (169) |
| | | | | Effective Rate US plus | AG — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 31,833 | 31,827 | — | 1/28/25 | (Federal Funds | Medigen Vaccine | (13) |
| | | | | Effective Rate US plus | Biologics Corp — | |
| | | | | 0.35%) — Monthly | Monthly | |
| 10,515 | 10,684 | — | 1/28/25 | (Federal Funds | Mega Lifesciences | 165 |
| | | | | Effective Rate US plus | PCL NVDR — | |
| | | | | 0.75%) — Monthly | Monthly | |
|
| PanAgora Market Neutral Fund 47 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $10,013 | $9,668 | $— | 1/28/25 | (Federal Funds | Megacable | $(349) |
| | | | | Effective Rate US plus | Holdings SAB | |
| | | | | 0.90%) — Monthly | de CV (Units) — | |
| | | | | | Monthly | |
| 22,435 | 21,487 | — | 1/28/25 | (Federal Funds | Megaworld | (963) |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.75%) — Monthly | | |
| 63,853 | 61,714 | — | 1/28/25 | (Federal Funds | MEI Pharma Inc — | (2,152) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 6,856 | 6,552 | — | 1/28/25 | (Federal Funds | MercadoLibre | (305) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 49,379 | 48,057 | — | 1/28/25 | (Federal Funds | Meritage Homes | (1,336) |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 5,464 | 5,407 | — | 1/28/25 | (Federal Funds | Merlin Properties | (57) |
| | | | | Effective Rate US plus | Socimi SA — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 27,015 | 28,638 | — | 1/28/25 | (Federal Funds | Metallurgical | 1,619 |
| | | | | Effective Rate US plus | Corp of China | |
| | | | | 0.25%) — Monthly | Ltd — Monthly | |
| 26,445 | 25,574 | — | 1/28/25 | (Federal Funds | MetLife Inc — | (672) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 49,034 | 48,081 | — | 1/28/25 | (Federal Funds | Metso Outotec | (964) |
| | | | | Effective Rate US plus | Oyj — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 17,786 | 16,833 | — | 1/28/25 | (Federal Funds | MGIC Investment | (954) |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 22,408 | 21,398 | — | 1/28/25 | (Federal Funds | Micro-Star | (1,017) |
| | | | | Effective Rate US plus | International Co | |
| | | | | 0.35%) — Monthly | Ltd — Monthly | |
| 21,813 | 21,611 | — | 1/28/25 | (Federal Funds | Microsoft Corp — | (155) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 50,226 | 47,246 | — | 1/28/25 | (Federal Funds | Miller Industries | (2,993) |
| | | | | Effective Rate US plus | Inc/TN — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 12,031 | 11,525 | — | 1/28/25 | (Federal Funds | Mimasu | (440) |
| | | | | Effective Rate US plus | Semiconductor | |
| | | | | 0.25%) — Monthly | Industry Co Ltd — | |
| | | | | | Monthly | |
| 914 | 900 | — | 1/28/25 | (Federal Funds | Mimecast Ltd — | (14) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 6,427 | 6,282 | — | 1/28/25 | (Federal Funds | Mirait Holdings | (145) |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.25%) — Monthly | | |
|
| 48 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $9,567 | $9,229 | $— | 1/28/25 | (Federal Funds | Mitek Systems | $(341) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 11,918 | 11,628 | — | 1/28/25 | (Federal Funds | Mitsubishi Gas | (293) |
| | | | | Effective Rate US plus | Chemical Co | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 8,586 | 8,139 | — | 1/28/25 | (Federal Funds | Mitsui-Soko | (449) |
| | | | | Effective Rate US plus | Holdings Co Ltd — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 6,242 | 6,099 | — | 1/28/25 | (Federal Funds | Mizuno Corp — | (144) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 9,789 | 9,445 | — | 1/28/25 | (Federal Funds | Mobile | (346) |
| | | | | Effective Rate US plus | TeleSystems PJSC | |
| | | | | 0.25%) — Monthly | ADR — Monthly | |
| 3,851 | 3,715 | — | 1/28/25 | (Federal Funds | Mochida | (137) |
| | | | | Effective Rate US plus | Pharmaceutical | |
| | | | | 0.25%) — Monthly | Co Ltd — Monthly | |
| 10,793 | 10,389 | — | 1/28/25 | (Federal Funds | Modine | (407) |
| | | | | Effective Rate US plus | Manufacturing | |
| | | | | 0.25%) — Monthly | Co — Monthly | |
| 23,238 | 22,224 | — | 1/28/25 | (Federal Funds | Mohawk | (1,019) |
| | | | | Effective Rate US plus | Industries Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 54,657 | 51,492 | — | 1/28/25 | (Federal Funds | Molecular | (3,179) |
| | | | | Effective Rate US plus | Templates Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 5,056 | 5,540 | — | 1/28/25 | (Federal Funds | Morgan Sindall | 484 |
| | | | | Effective Rate US plus | Group PLC — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 8,318 | 8,297 | — | 1/28/25 | (Federal Funds | Morningstar Inc — | (23) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 24,627 | 23,865 | — | 1/28/25 | (Federal Funds | Motorola | (768) |
| | | | | Effective Rate US plus | Solutions Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 10,096 | 9,797 | — | 1/28/25 | (Federal Funds | Murata | (302) |
| | | | | Effective Rate US plus | Manufacturing Co | |
| | | | | 0.25%) — Monthly | Ltd — Monthly | |
| 11,820 | 11,318 | — | 1/28/25 | (Federal Funds | MYR Group Inc — | (504) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 14,919 | 14,105 | — | 1/28/25 | (Federal Funds | N Brown Group | (814) |
| | | | | Effective Rate US plus | PLC — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 37,895 | 37,549 | — | 1/28/25 | (Federal Funds | Naked Wines | (348) |
| | | | | Effective Rate US plus | PLC — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 37,863 | 35,721 | — | 1/28/25 | (Federal Funds | National Express | (2,150) |
| | | | | Effective Rate US plus | Group PLC — | |
| | | | | 0.25%) — Monthly | Monthly | |
|
| PanAgora Market Neutral Fund 49 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $33,959 | $33,882 | $— | 1/28/25 | (Federal Funds | Navistar | $(86) |
| | | | | Effective Rate US plus | International | |
| | | | | 0.25%) — Monthly | Corp — Monthly | |
| 3,143 | 3,101 | — | 1/28/25 | (Federal Funds | NET One Systems | (44) |
| | | | | Effective Rate US plus | Co Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 12,624 | 12,280 | — | 1/28/25 | (Federal Funds | NETGEAR Inc — | (347) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 16,130 | 16,080 | — | 1/28/25 | (Federal Funds | New Relic Inc — | (54) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 13,175 | 12,895 | — | 1/28/25 | (Federal Funds | New York Times | (280) |
| | | | | Effective Rate US plus | Co/The — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 14,536 | 13,809 | — | 1/28/25 | (Federal Funds | Newell Brands | (590) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 8,905 | 8,770 | — | 1/28/25 | (Federal Funds | News Corp — | (135) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 5,202 | 5,419 | — | 1/28/25 | (Federal Funds | Nexity SA — | 216 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 1,337 | 1,328 | — | 1/28/25 | (Federal Funds | NextGen | (10) |
| | | | | Effective Rate US plus | Healthcare Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 12,509 | 12,346 | — | 1/28/25 | (Federal Funds | NGK Insulators | (166) |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 7,038 | 6,762 | — | 1/28/25 | (Federal Funds | NGK Spark Plug | (278) |
| | | | | Effective Rate US plus | Co Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 17,723 | 17,144 | — | 1/28/25 | (Federal Funds | Nifco Inc/Japan — | (583) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 5,530 | 5,421 | — | 1/28/25 | (Federal Funds | Nihon Kohden | (111) |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 11,289 | 10,934 | — | 1/28/25 | (Federal Funds | Nintendo Co | (358) |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 3,956 | 3,918 | — | 1/28/25 | (Federal Funds | Nippon Paper | (40) |
| | | | | Effective Rate US plus | Industries Co | |
| | | | | 0.25%) — Monthly | Ltd — Monthly | |
| 7,231 | 6,783 | — | 1/28/25 | (Federal Funds | Nippon Shinyaku | (450) |
| | | | | Effective Rate US plus | Co Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 3,639 | 3,499 | — | 1/28/25 | (Federal Funds | Nippon Steel | (141) |
| | | | | Effective Rate US plus | Trading Corp — | |
| | | | | 0.25%) — Monthly | Monthly | |
|
| 50 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $9,931 | $9,817 | $— | 1/28/25 | (Federal Funds | Nishio Rent All Co | $(116) |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 4,950 | 4,821 | — | 1/28/25 | (Federal Funds | Nisshin Seifun | (130) |
| | | | | Effective Rate US plus | Group Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 6,104 | 5,891 | — | 1/28/25 | (Federal Funds | Nissin Foods | (215) |
| | | | | Effective Rate US plus | Holdings Co Ltd — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 11,625 | 11,253 | — | 1/28/25 | (Federal Funds | Nomura Real | (375) |
| | | | | Effective Rate US plus | Estate Holdings | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 106,533 | 102,666 | — | 1/28/25 | (Federal Funds | Novavax Inc — | (3,882) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 71,928 | 69,382 | — | 1/28/25 | (Federal Funds | NOW Inc — | (2,559) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 3,595 | 3,415 | — | 1/28/25 | (Federal Funds | NSD Co Ltd — | (181) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 2,730 | 2,734 | — | 1/28/25 | (Federal Funds | Nuveen AMT-Free | 25 |
| | | | | Effective Rate US plus | Municipal Credit | |
| | | | | 0.25%) — Monthly | Income Fund — | |
| | | | | | Monthly | |
| 3,494 | 3,509 | — | 1/28/25 | (Federal Funds | Nuveen AMT-Free | 42 |
| | | | | Effective Rate US plus | Quality Municipal | |
| | | | | 0.25%) — Monthly | Income Fund — | |
| | | | | | Monthly | |
| 963 | 962 | — | 1/28/25 | (Federal Funds | Nuveen California | (1) |
| | | | | Effective Rate US plus | Quality Municipal | |
| | | | | 0.25%) — Monthly | Income Fund — | |
| | | | | | Monthly | |
| 3,702 | 3,717 | — | 1/28/25 | (Federal Funds | Nuveen Credit | 100 |
| | | | | Effective Rate US plus | Strategies Income | |
| | | | | 0.25%) — Monthly | Fund — Monthly | |
| 249 | 251 | — | 1/28/25 | (Federal Funds | Nuveen | 2 |
| | | | | Effective Rate US plus | Enhanced | |
| | | | | 0.25%) — Monthly | Municipal Value | |
| | | | | | Fund — Monthly | |
| 1,908 | 1,915 | — | 1/28/25 | (Federal Funds | Nuveen Municipal | 23 |
| | | | | Effective Rate US plus | Credit Income | |
| | | | | 0.25%) — Monthly | Fund — Monthly | |
| 2,747 | 2,749 | — | 1/28/25 | (Federal Funds | Nuveen Municipal | 25 |
| | | | | Effective Rate US plus | High Income | |
| | | | | 0.25%) — Monthly | Opportunity | |
| | | | | | Fund — Monthly | |
| 325 | 324 | — | 1/28/25 | (Federal Funds | Nuveen New | (1) |
| | | | | Effective Rate US plus | Jersey Quality | |
| | | | | 0.25%) — Monthly | Municipal Income | |
| | | | | | Fund — Monthly | |
|
| PanAgora Market Neutral Fund 51 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $773 | $766 | $— | 1/28/25 | (Federal Funds | Nuveen New York | $(7) |
| | | | | Effective Rate US plus | AMT-Free Quality | |
| | | | | 0.25%) — Monthly | Municipal Income | |
| | | | | | Fund — Monthly | |
| 2,725 | 2,745 | — | 1/28/25 | (Federal Funds | Nuveen Quality | 41 |
| | | | | Effective Rate US plus | Municipal Income | |
| | | | | 0.25%) — Monthly | Fund — Monthly | |
| 746 | 739 | — | 1/28/25 | (Federal Funds | Nuveen Taxable | — |
| | | | | Effective Rate US plus | Municipal Income | |
| | | | | 0.25%) — Monthly | Fund — Monthly | |
| 27,654 | 26,195 | — | 1/28/25 | (Federal Funds | Oak Valley | (1,230) |
| | | | | Effective Rate US plus | Bancorp — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 8,694 | 8,565 | — | 1/28/25 | (Federal Funds | Obayashi Corp — | (131) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 42,400 | 39,994 | — | 1/28/25 | (Federal Funds | Oil-Dri Corp | (2,107) |
| | | | | Effective Rate US plus | of America — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 18,623 | 18,040 | — | 1/28/25 | (Federal Funds | Okta Inc — | (588) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 5,250 | 5,040 | — | 1/28/25 | (Federal Funds | Olam | (210) |
| | | | | Effective Rate US plus | International | |
| | | | | 0.55%) — Monthly | Ltd — Monthly | |
| 8,515 | 8,049 | — | 1/28/25 | (Federal Funds | Omron Corp — | (468) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 15,831 | 15,732 | — | 1/28/25 | (Federal Funds | OncoTherapy | (103) |
| | | | | Effective Rate US plus | Science Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 8,552 | 8,060 | — | 1/28/25 | (Federal Funds | Ono | (494) |
| | | | | Effective Rate US plus | Pharmaceutical | |
| | | | | 0.25%) — Monthly | Co Ltd — Monthly | |
| 3,851 | 3,828 | — | 1/28/25 | (Federal Funds | Open House Co | (24) |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 2,897 | 2,830 | — | 1/28/25 | (Federal Funds | OraSure | (68) |
| | | | | Effective Rate US plus | Technologies | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 13,667 | 12,826 | — | 1/28/25 | (Federal Funds | Oshkosh Corp — | (841) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 17,641 | 17,176 | — | 1/28/25 | (Federal Funds | Owens Corning — | (468) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 3,449 | 3,410 | — | 1/28/25 | (Federal Funds | PALTAC Corp — | (40) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
|
| 52 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $14,792 | $14,091 | $— | 1/28/25 | (Federal Funds | Panasonic Corp — | $(704) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 35,356 | 35,819 | — | 1/28/25 | (Federal Funds | Pandion | 463 |
| | | | | Effective Rate US plus | Therapeutics | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 19,689 | 19,229 | — | 1/28/25 | (Federal Funds | PayPal Holdings | (465) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 5,078 | 5,038 | — | 1/28/25 | (Federal Funds | Peab AB — | (40) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 65,585 | 63,100 | — | 1/28/25 | (Federal Funds | Penn National | (2,499) |
| | | | | Effective Rate US plus | Gaming Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 5,906 | 5,944 | — | 1/28/25 | (Federal Funds | Penta-Ocean | 38 |
| | | | | Effective Rate US plus | Construction Co | |
| | | | | 0.25%) — Monthly | Ltd — Monthly | |
| 15,438 | 14,566 | — | 1/28/25 | (Federal Funds | Peoples Bancorp | (875) |
| | | | | Effective Rate US plus | of North Carolina | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 4,692 | 4,863 | — | 1/28/25 | (Federal Funds | Per Aarsleff | 171 |
| | | | | Effective Rate US plus | Holding A/S — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 20,221 | 18,483 | — | 1/28/25 | (Federal Funds | Petrobras | (1,751) |
| | | | | Effective Rate US plus | Distribuidora | |
| | | | | 0.65%) — Monthly | SA — Monthly | |
| 39,066 | 38,392 | — | 1/28/25 | (Federal Funds | Pets at Home | (682) |
| | | | | Effective Rate US plus | Group PLC — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 1,296 | 1,284 | — | 1/28/25 | (Federal Funds | PGIM Global High | (3) |
| | | | | Effective Rate US plus | Yield Fund Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 1,336 | 1,327 | — | 1/28/25 | (Federal Funds | PGIM High Yield | — |
| | | | | Effective Rate US plus | Bond Fund Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 47,480 | 47,473 | — | 1/28/25 | (Federal Funds | Pharma Mar SA — | (19) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 2,033 | — | — | 1/28/25 | (Federal Funds | Pharmally | (2,033) |
| | | | | Effective Rate US plus | International | |
| | | | | 0.35%) — Monthly | Holding Co Ltd — | |
| | | | | | Monthly | |
| 18,212 | 18,325 | — | 1/28/25 | (Federal Funds | Piaggio & C SpA — | 109 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 3,314 | 3,288 | — | 1/28/25 | (Federal Funds | PIMCO Corporate | 21 |
| | | | | Effective Rate US plus | & Income | |
| | | | | 0.25%) — Monthly | Opportunity | |
| | | | | | Fund — Monthly | |
|
| PanAgora Market Neutral Fund 53 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $456 | $449 | $— | 1/28/25 | (Federal Funds | PIMCO Corporate | $(7) |
| | | | | Effective Rate US plus | & Income | |
| | | | | 0.25%) — Monthly | Strategy Fund — | |
| | | | | | Monthly | |
| 3,865 | 3,857 | — | 1/28/25 | (Federal Funds | PIMCO Dynamic | (7) |
| | | | | Effective Rate US plus | Credit and | |
| | | | | 0.25%) — Monthly | Mortgage Income | |
| | | | | | Fund — Monthly | |
| 3,223 | 3,212 | — | 1/28/25 | (Federal Funds | Pimco Dynamic | (12) |
| | | | | Effective Rate US plus | Income Fund — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 1,125 | 1,114 | — | 1/28/25 | (Federal Funds | PIMCO High | (11) |
| | | | | Effective Rate US plus | Income Fund — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 699 | 687 | — | 1/28/25 | (Federal Funds | PIMCO Income | (1) |
| | | | | Effective Rate US plus | Strategy Fund — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 1,308 | 1,294 | — | 1/28/25 | (Federal Funds | PIMCO Income | 6 |
| | | | | Effective Rate US plus | Strategy Fund II — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 266 | 264 | — | 1/28/25 | (Federal Funds | PIMCO Municipal | (2) |
| | | | | Effective Rate US plus | Income Fund — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 1,018 | 1,001 | — | 1/28/25 | (Federal Funds | PIMCO Municipal | (9) |
| | | | | Effective Rate US plus | Income Fund II — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 343 | 341 | — | 1/28/25 | (Federal Funds | PIMCO Strategic | (2) |
| | | | | Effective Rate US plus | Income Fund | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 11,952 | 11,442 | — | 1/28/25 | (Federal Funds | Pinterest Inc — | (512) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 647 | 643 | — | 1/28/25 | (Federal Funds | Pioneer High | 1 |
| | | | | Effective Rate US plus | Income Trust — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 33,777 | 33,463 | — | 1/28/25 | (Federal Funds | PNM Resources | (94) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 23,835 | 22,257 | — | 1/28/25 | (Federal Funds | Polaris Inc — | (1,465) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 15,663 | 15,698 | — | 1/28/25 | (Federal Funds | Porsche | 32 |
| | | | | Effective Rate US plus | Automobil | |
| | | | | 0.25%) — Monthly | Holding SE | |
| | | | | | (Preference) — | |
| | | | | | Monthly | |
| 14,210 | 14,761 | — | 1/28/25 | (Federal Funds | Posco | 952 |
| | | | | Effective Rate US plus | International | |
| | | | | 0.35%) — Monthly | Corp — Monthly | |
| 2,494 | 2,428 | — | 1/28/25 | (Federal Funds | Powell Industries | (46) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
|
| 54 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $4,204 | $3,820 | $— | 1/28/25 | (Federal Funds | PowerCell | $(384) |
| | | | | Effective Rate US plus | Sweden AB — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 22,301 | 21,542 | — | 1/28/25 | (Federal Funds | Powertech | (766) |
| | | | | Effective Rate US plus | Technology Inc — | |
| | | | | 0.35%) — Monthly | Monthly | |
| 34,882 | 33,904 | — | 1/28/25 | (Federal Funds | PRA Health | (978) |
| | | | | Effective Rate US plus | Sciences Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 15,939 | 15,342 | — | 1/28/25 | (Federal Funds | Premier | (336) |
| | | | | Effective Rate US plus | Investments | |
| | | | | 0.25%) — Monthly | Ltd — Monthly | |
| 3,320 | 3,236 | — | 1/28/25 | (Federal Funds | Pressance Corp — | (85) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 21,770 | 21,950 | — | 1/28/25 | (Federal Funds | PROG Holdings | 175 |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| — | — | — | 1/28/25 | (Federal Funds | Progenics | — |
| | | | | Effective Rate US plus | Pharmaceuticals | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 8,500 | 8,480 | — | 1/28/25 | (Federal Funds | Prosegur Cia de | 66 |
| | | | | Effective Rate US plus | Seguridad SA — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 93,318 | 86,903 | — | 1/28/25 | (Federal Funds | Protagonist | (6,435) |
| | | | | Effective Rate US plus | Therapeutics | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 9,530 | 9,347 | — | 1/28/25 | (Federal Funds | Provident | (162) |
| | | | | Effective Rate US plus | Bancorp Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 42,519 | 40,052 | — | 1/28/25 | (Federal Funds | Provident | (2,122) |
| | | | | Effective Rate US plus | Financial | |
| | | | | 0.25%) — Monthly | Holdings Inc — | |
| | | | | | Monthly | |
| 42,003 | 40,856 | — | 1/28/25 | (Federal Funds | Prudential PLC — | (1,149) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 58,783 | 58,242 | — | 1/28/25 | (Federal Funds | PTC Therapeutics | (555) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 21,865 | 21,021 | — | 1/28/25 | (Federal Funds | PulteGroup Inc — | (849) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 37,425 | 32,958 | — | 1/28/25 | (Federal Funds | Puma | (4,477) |
| | | | | Effective Rate US plus | Biotechnology | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 10,024 | 9,796 | — | 1/28/25 | (Federal Funds | PVH Corp — | (230) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
|
| PanAgora Market Neutral Fund 55 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $65,762 | $63,756 | $— | 1/28/25 | (Federal Funds | Pzena Investment | $(291) |
| | | | | Effective Rate US plus | Management | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 57,621 | 53,749 | — | 1/28/25 | (Federal Funds | Q2 Holdings Inc — | (3,887) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 20,065 | 19,570 | — | 1/28/25 | (Federal Funds | Qorvo Inc — | (500) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 8,909 | 8,550 | — | 1/28/25 | (Federal Funds | Qualys Inc — | (362) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 45,400 | 44,183 | — | 1/28/25 | (Federal Funds | Quanex Building | (1,227) |
| | | | | Effective Rate US plus | Products Corp — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 13,792 | 14,255 | — | 1/28/25 | (Federal Funds | Quanta Services | 462 |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 12,957 | 12,744 | — | 1/28/25 | (Federal Funds | Quantum Corp — | (217) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 32,639 | 32,596 | — | 1/28/25 | (Federal Funds | Quest | (45) |
| | | | | Effective Rate US plus | Diagnostics Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 65,151 | 65,124 | — | 1/28/25 | (Federal Funds | QuinStreet Inc — | (42) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 63,909 | 60,280 | — | 1/28/25 | (Federal Funds | RadNet Inc — | (3,644) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 14,386 | 14,050 | — | 1/28/25 | (Federal Funds | Ralph Lauren | (338) |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 54,201 | 52,453 | — | 1/28/25 | (Federal Funds | Rapid7 Inc — | (1,763) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 92,498 | 89,436 | — | 1/28/25 | (Federal Funds | RCI Hospitality | (3,077) |
| | | | | Effective Rate US plus | Holdings Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 25,211 | 25,104 | — | 1/28/25 | (Federal Funds | Red Robin | (111) |
| | | | | Effective Rate US plus | Gourmet Burgers | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 52,229 | 43,172 | — | 1/28/25 | (Federal Funds | Redfin Corp — | (9,068) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 14,139 | 13,477 | — | 1/28/25 | (Federal Funds | Redrow PLC — | (514) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 13,299 | 13,067 | — | 1/28/25 | (Federal Funds | Regeneron | (237) |
| | | | | Effective Rate US plus | Pharmaceuticals | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
|
| 56 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $17,962 | $17,234 | $— | 1/28/25 | (Federal Funds | Reinsurance | $(633) |
| | | | | Effective Rate US plus | Group of America | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 9,172 | 8,760 | — | 1/28/25 | (Federal Funds | Relia Inc — | (414) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 20,308 | 16,838 | — | 1/28/25 | (Federal Funds | Resideo | (3,470) |
| | | | | Effective Rate US plus | Technologies | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 6,868 | 6,863 | — | 1/28/25 | (Federal Funds | Resorttrust Inc — | (6) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 2,546 | 2,452 | — | 1/28/25 | (Federal Funds | RH — Monthly | (95) |
| | | | | Effective Rate US plus | | |
| | | | | 0.25%) — Monthly | | |
| 9,059 | 8,772 | — | 1/28/25 | (Federal Funds | Rheinmetall AG — | (289) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 5,002 | 4,923 | — | 1/28/25 | (Federal Funds | RHI Magnesita | (79) |
| | | | | Effective Rate US plus | NV — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 9,906 | 9,515 | — | 1/28/25 | (Federal Funds | Ricoh Co Ltd — | (394) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 68,041 | 64,616 | — | 1/28/25 | (Federal Funds | Rigel | (3,440) |
| | | | | Effective Rate US plus | Pharmaceuticals | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 987 | 973 | — | 1/28/25 | (Federal Funds | RiverNorth/ | 7 |
| | | | | Effective Rate US plus | DoubleLine | |
| | | | | 0.25%) — Monthly | Strategic | |
| | | | | | Opportunity Fund | |
| | | | | | Inc — Monthly | |
| 38,996 | 39,475 | — | 1/28/25 | (Federal Funds | Riverview | 470 |
| | | | | Effective Rate US plus | Bancorp Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 13,473 | 12,758 | — | 1/28/25 | (Federal Funds | Robert Half | (655) |
| | | | | Effective Rate US plus | International | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 19,635 | 19,325 | — | 1/28/25 | (Federal Funds | Roche Holding | (316) |
| | | | | Effective Rate US plus | AG — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 19,033 | 23,059 | — | 1/28/25 | (Federal Funds | Rocky Brands | 4,021 |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 10,185 | 9,822 | — | 1/28/25 | (Federal Funds | Rohm Co Ltd — | (366) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 5,485 | 5,344 | — | 1/28/25 | (Federal Funds | Rohto | (141) |
| | | | | Effective Rate US plus | Pharmaceutical | |
| | | | | 0.25%) — Monthly | Co Ltd — Monthly | |
|
| PanAgora Market Neutral Fund 57 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $26,483 | $25,311 | $— | 1/28/25 | (Federal Funds | Roku Inc — | $(1,178) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 15,743 | 15,046 | — | 1/28/25 | (Federal Funds | Roland DG | (623) |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 5,727 | 5,447 | — | 1/28/25 | (Federal Funds | Rolls-Royce | (281) |
| | | | | Effective Rate US plus | Holdings PLC — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 39,258 | 38,271 | — | 1/28/25 | (Federal Funds | Royal Mail PLC — | (995) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 23,027 | 22,344 | — | 1/28/25 | (Federal Funds | Royal Unibrew | (689) |
| | | | | Effective Rate US plus | A/S — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 39,002 | 37,593 | — | 1/28/25 | (Federal Funds | Rush Enterprises | (1,259) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 9,069 | 8,878 | — | 1/28/25 | (Federal Funds | Ryder System | (120) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 6,438 | 6,135 | — | 1/28/25 | (Federal Funds | S Foods Inc — | (249) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 5,191 | 4,965 | — | 1/28/25 | (Federal Funds | Safestore | (226) |
| | | | | Effective Rate US plus | Holdings PLC — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 52,910 | 52,398 | — | 1/28/25 | (Federal Funds | Saga PLC — | (520) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 4,987 | 4,774 | — | 1/28/25 | (Federal Funds | Samhallsbyggna- | (213) |
| | | | | Effective Rate US plus | dsbolaget i | |
| | | | | 0.25%) — Monthly | Norden AB — | |
| | | | | | Monthly | |
| 26,098 | 25,995 | — | 1/28/25 | (Federal Funds | Samsung | 657 |
| | | | | Effective Rate US plus | Electronics Co | |
| | | | | 0.35%) — Monthly | Ltd — Monthly | |
| 51,658 | 47,408 | — | 1/28/25 | (Federal Funds | Sangamo | (4,265) |
| | | | | Effective Rate US plus | Therapeutics | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 7,391 | 7,295 | — | 1/28/25 | (Federal Funds | Sanki Engineering | (98) |
| | | | | Effective Rate US plus | Co Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 11,011 | 10,836 | — | 1/28/25 | (Federal Funds | SAP SE — Monthly | (178) |
| | | | | Effective Rate US plus | | |
| | | | | 0.25%) — Monthly | | |
| 34,707 | 32,232 | — | 1/28/25 | (Federal Funds | Saul Centers | (1,946) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
|
| 58 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $14,943 | $15,094 | $— | 1/28/25 | (Federal Funds | Savills PLC — | $147 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 5,415 | 5,389 | — | 1/28/25 | (Federal Funds | Scala Inc — | 84 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 4,919 | 4,905 | — | 1/28/25 | (Federal Funds | Scandinavian | (14) |
| | | | | Effective Rate US plus | Tobacco Group | |
| | | | | 0.25%) — Monthly | A/S — Monthly | |
| 14,006 | 13,922 | — | 1/28/25 | (Federal Funds | ScinoPharm | (88) |
| | | | | Effective Rate US plus | Taiwan Ltd — | |
| | | | | 0.35%) — Monthly | Monthly | |
| 5,988 | 5,684 | — | 1/28/25 | (Federal Funds | SCREEN Holdings | (306) |
| | | | | Effective Rate US plus | Co Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 8,283 | 7,941 | — | 1/28/25 | (Federal Funds | SCSK Corp — | (345) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 10,105 | 10,082 | — | 1/28/25 | (Federal Funds | Security National | (25) |
| | | | | Effective Rate US plus | Financial Corp — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 9,906 | 9,817 | — | 1/28/25 | (Federal Funds | Seiko Epson | (92) |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 7,829 | 7,494 | — | 1/28/25 | (Federal Funds | Sekisui House | (210) |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 64,589 | 71,402 | — | 1/28/25 | (Federal Funds | Select Medical | 6,797 |
| | | | | Effective Rate US plus | Holdings Corp — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 42,634 | 42,315 | — | 1/28/25 | (Federal Funds | Seneca Foods | (326) |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 5,815 | 5,766 | — | 1/28/25 | (Federal Funds | Septeni Holdings | (49) |
| | | | | Effective Rate US plus | Co Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 66,520 | 62,942 | — | 1/28/25 | (Federal Funds | Service | (3,543) |
| | | | | Effective Rate US plus | Properties | |
| | | | | 0.25%) — Monthly | Trust — Monthly | |
| 33,006 | 32,334 | — | 1/28/25 | (Federal Funds | Sesa SpA — | (679) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 20,472 | 19,577 | — | 1/28/25 | (Federal Funds | Seven Group | (900) |
| | | | | Effective Rate US plus | Holdings Ltd — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 8,731 | 9,167 | — | 1/28/25 | (Federal Funds | Shanghai | 434 |
| | | | | Effective Rate US plus | Pharmaceuticals | |
| | | | | 0.25%) — Monthly | Holding Co Ltd — | |
| | | | | | Monthly | |
|
| PanAgora Market Neutral Fund 59 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $7,646 | $7,186 | $— | 1/28/25 | (Federal Funds | Shimadzu Corp — | $(462) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 11,684 | 13,176 | — | 1/28/25 | (Federal Funds | Shimao Group | 1,489 |
| | | | | Effective Rate US plus | Holdings Ltd — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 5,796 | 5,770 | — | 1/28/25 | (Federal Funds | Shindengen | (28) |
| | | | | Effective Rate US plus | Electric | |
| | | | | 0.25%) — Monthly | Manufacturing Co | |
| | | | | | Ltd — Monthly | |
| 9,452 | 9,425 | — | 1/28/25 | (Federal Funds | Ship Healthcare | (29) |
| | | | | Effective Rate US plus | Holdings Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 12,665 | 11,750 | — | 1/28/25 | (Federal Funds | Shoe Carnival | (917) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 10,919 | 10,114 | — | 1/28/25 | (Federal Funds | Shoprite Holdings | (809) |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.60%) — Monthly | | |
| 2,258 | 2,057 | — | 1/28/25 | (Federal Funds | ShotSpotter | (201) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 21,929 | 21,862 | — | 1/28/25 | (Federal Funds | Siam Cement | (82) |
| | | | | Effective Rate US plus | PCL/The NVDR — | |
| | | | | 0.75%) — Monthly | Monthly | |
| 50,927 | 48,702 | — | 1/28/25 | (Federal Funds | Sierra Bancorp — | (1,809) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 13,815 | 13,238 | — | 1/28/25 | (Federal Funds | Silicon | (580) |
| | | | | Effective Rate US plus | Laboratories | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 2,212 | 2,120 | — | 1/28/25 | (Federal Funds | Silvercrest Asset | (92) |
| | | | | Effective Rate US plus | Management | |
| | | | | 0.25%) — Monthly | Group Inc — | |
| | | | | | Monthly | |
| 57,192 | 51,917 | — | 1/28/25 | (Federal Funds | Silvergate Capital | (5,283) |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 10,830 | 10,694 | — | 1/28/25 | (Federal Funds | SimCorp A/S — | (139) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 10,199 | 10,656 | — | 1/28/25 | (Federal Funds | Sime Darby | 453 |
| | | | | Effective Rate US plus | Bhd — Monthly | |
| | | | | 0.75%) — Monthly | | |
| 18,190 | 17,835 | — | 1/28/25 | (Federal Funds | Simpson | (355) |
| | | | | Effective Rate US plus | Manufacturing Co | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 14,079 | 13,632 | — | 1/28/25 | (Federal Funds | SiteOne | (451) |
| | | | | Effective Rate US plus | Landscape | |
| | | | | 0.25%) — Monthly | Supply Inc — | |
| | | | | | Monthly | |
|
| 60 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $17,236 | $16,732 | $— | 1/28/25 | (Federal Funds | SKF AB — Monthly | $(508) |
| | | | | Effective Rate US plus | | |
| | | | | 0.25%) — Monthly | | |
| 6,932 | 6,755 | — | 1/28/25 | (Federal Funds | SKY Perfect JSAT | (180) |
| | | | | Effective Rate US plus | Holdings Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 76,231 | 72,379 | — | 1/28/25 | (Federal Funds | SkyWest Inc — | (3,865) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 68,819 | 66,511 | — | 1/28/25 | (Federal Funds | Slack | (2,317) |
| | | | | Effective Rate US plus | Technologies | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 18,790 | 19,335 | — | 1/28/25 | (Federal Funds | Sleep Number | 542 |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 2,391 | 2,289 | — | 1/28/25 | (Federal Funds | Smith & Wesson | (103) |
| | | | | Effective Rate US plus | Brands Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 23,203 | 21,930 | — | 1/28/25 | (Federal Funds | Snap Inc — | (1,277) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 13,387 | 12,890 | — | 1/28/25 | (Federal Funds | Software AG — | (500) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 5,498 | 5,396 | — | 1/28/25 | (Federal Funds | Solasto Corp — | (102) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 9,981 | 10,060 | — | 1/28/25 | (Federal Funds | Sonae SGPS SA — | 77 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 30,553 | 29,943 | — | 1/28/25 | (Federal Funds | Sonova Holding | (618) |
| | | | | Effective Rate US plus | AG — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 11,973 | 11,684 | — | 1/28/25 | (Federal Funds | Sony Corp — | (292) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 49,434 | 47,092 | — | 1/28/25 | (Federal Funds | South Plains | (2,232) |
| | | | | Effective Rate US plus | Financial Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 14,941 | 14,649 | — | 1/28/25 | (Federal Funds | Southwest | (295) |
| | | | | Effective Rate US plus | Airlines Co — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 29,621 | 28,461 | — | 1/28/25 | (Federal Funds | Spectrum Brands | (1,013) |
| | | | | Effective Rate US plus | Holdings Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 5,075 | 5,032 | — | 1/28/25 | (Federal Funds | SPIE SA — | (43) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 12,109 | 11,841 | — | 1/28/25 | (Federal Funds | Spirent | (271) |
| | | | | Effective Rate US plus | Communications | |
| | | | | 0.25%) — Monthly | PLC — Monthly | |
|
| PanAgora Market Neutral Fund 61 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $41,171 | $40,186 | $— | 1/28/25 | (Federal Funds | Spirit Airlines | $(993) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 55,926 | 53,976 | — | 1/28/25 | (Federal Funds | Spirit of Texas | (1,962) |
| | | | | Effective Rate US plus | Bancshares Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 19,296 | 18,960 | — | 1/28/25 | (Federal Funds | SPX FLOW Inc — | (338) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 9,036 | 8,683 | — | 1/28/25 | (Federal Funds | SS&C | (335) |
| | | | | Effective Rate US plus | Technologies | |
| | | | | 0.25%) — Monthly | Holdings Inc — | |
| | | | | | Monthly | |
| 12,196 | 11,848 | — | 1/28/25 | (Federal Funds | Standard Foods | (352) |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.35%) — Monthly | | |
| 40,540 | 38,113 | — | 1/28/25 | (Federal Funds | Standard Life | (2,432) |
| | | | | Effective Rate US plus | Aberdeen PLC — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 21,049 | 19,939 | — | 1/28/25 | (Federal Funds | State Street | (1,115) |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 10,915 | 10,616 | — | 1/28/25 | (Federal Funds | Steven Madden | (301) |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 327 | 321 | — | 1/28/25 | (Federal Funds | Stone Harbor | (6) |
| | | | | Effective Rate US plus | Emerging Markets | |
| | | | | 0.25%) — Monthly | Income Fund — | |
| | | | | | Monthly | |
| 9,774 | 9,230 | — | 1/28/25 | (Federal Funds | StoneX Group | (546) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 5,780 | 5,596 | — | 1/28/25 | (Federal Funds | Subaru Corp — | (185) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 10,229 | 10,146 | — | 1/28/25 | (Federal Funds | Sumitomo | (86) |
| | | | | Effective Rate US plus | Chemical Co | |
| | | | | 0.25%) — Monthly | Ltd — Monthly | |
| 11,372 | 11,052 | — | 1/28/25 | (Federal Funds | Sumitomo | (323) |
| | | | | Effective Rate US plus | Dainippon | |
| | | | | 0.25%) — Monthly | Pharma Co Ltd — | |
| | | | | | Monthly | |
| 11,656 | 11,607 | — | 1/28/25 | (Federal Funds | Sumitomo | (53) |
| | | | | Effective Rate US plus | Electric Industries | |
| | | | | 0.25%) — Monthly | Ltd — Monthly | |
| 5,701 | 5,375 | — | 1/28/25 | (Federal Funds | Sumitomo | (325) |
| | | | | Effective Rate US plus | Forestry Co Ltd — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 20,405 | 19,951 | — | 1/28/25 | (Federal Funds | Summit Materials | (455) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
|
| 62 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $18,998 | $18,763 | $— | 1/28/25 | (Federal Funds | Sundrug Co Ltd — | $(240) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 53,140 | 51,730 | — | 1/28/25 | (Federal Funds | Sunstone Hotel | (1,420) |
| | | | | Effective Rate US plus | Investors Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 44,970 | 44,575 | — | 1/28/25 | (Federal Funds | Superdry PLC — | (402) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 10,479 | 10,362 | — | 1/28/25 | (Federal Funds | Superior Group of | (77) |
| | | | | Effective Rate US plus | Cos Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 43,635 | 44,015 | — | 1/28/25 | (Federal Funds | Surmodics Inc — | 370 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 32,312 | 31,403 | — | 1/28/25 | (Federal Funds | Sushiro Global | (917) |
| | | | | Effective Rate US plus | Holdings Ltd — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 45,025 | 42,621 | — | 1/28/25 | (Federal Funds | SVMK Inc — | (2,418) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 4,769 | 4,599 | — | 1/28/25 | (Federal Funds | SWCC Showa | (170) |
| | | | | Effective Rate US plus | Holdings Co Ltd — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 32,452 | 31,784 | — | 1/28/25 | (Federal Funds | Swedish Match | (677) |
| | | | | Effective Rate US plus | AB — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 74,040 | 73,499 | — | 1/28/25 | (Federal Funds | Syndax | (557) |
| | | | | Effective Rate US plus | Pharmaceuticals | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 9,083 | 8,916 | — | 1/28/25 | (Federal Funds | SYNNEX Corp — | (149) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 25,547 | 24,031 | — | 1/28/25 | (Federal Funds | Synopsys Inc — | (1,522) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 26,035 | 24,709 | — | 1/28/25 | (Federal Funds | Synovus Financial | (1,331) |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 11,922 | 11,588 | — | 1/28/25 | (Federal Funds | Systemax Inc — | (337) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 5,276 | 5,125 | — | 1/28/25 | (Federal Funds | T-Gaia Corp — | (151) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 19,073 | 18,815 | — | 1/28/25 | (Federal Funds | Take-Two | (263) |
| | | | | Effective Rate US plus | Interactive | |
| | | | | 0.25%) — Monthly | Software Inc — | |
| | | | | | Monthly | |
|
| PanAgora Market Neutral Fund 63 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $27,474 | $27,770 | $— | 1/28/25 | (Federal Funds | Tapestry Inc — | $291 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 13,470 | 13,208 | — | 1/28/25 | (Federal Funds | Target Corp — | (216) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 10,065 | 9,722 | — | 1/28/25 | (Federal Funds | TDK Corp — | (346) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 16,079 | 15,994 | — | 1/28/25 | (Federal Funds | TE Connectivity | (30) |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 17,231 | 17,213 | — | 1/28/25 | (Federal Funds | Telefonaktie- | (22) |
| | | | | Effective Rate US plus | bolaget LM | |
| | | | | 0.25%) — Monthly | Ericsson — | |
| | | | | | Monthly | |
| 13,569 | 13,382 | — | 1/28/25 | (Federal Funds | Telephone and | (187) |
| | | | | Effective Rate US plus | Data Systems | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 26,372 | 25,793 | — | 1/28/25 | (Federal Funds | Tempur Sealy | (530) |
| | | | | Effective Rate US plus | International | |
| | | | | 0.25%) — Monthly | Inc — Monthly | |
| 50,239 | 48,519 | — | 1/28/25 | (Federal Funds | Tenable Holdings | (1,734) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 22,015 | 20,210 | — | 1/28/25 | (Federal Funds | Teradata Corp — | (1,808) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 25,971 | 23,643 | — | 1/28/25 | (Federal Funds | Tesla Inc — | (2,336) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 90,949 | 86,944 | — | 1/28/25 | (Federal Funds | Texas Capital | (4,023) |
| | | | | Effective Rate US plus | Bancshares Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 67,281 | 64,343 | — | 1/28/25 | (Federal Funds | Texas Roadhouse | (2,952) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 10,729 | 10,417 | — | 1/28/25 | (Federal Funds | TG Therapeutics | (315) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 8,994 | 8,966 | — | 1/28/25 | (Federal Funds | Thai Union Group | (33) |
| | | | | Effective Rate US plus | PCL NVDR — | |
| | | | | 0.75%) — Monthly | Monthly | |
| 33,231 | 31,483 | — | 1/28/25 | (Federal Funds | Theravance | (1,757) |
| | | | | Effective Rate US plus | Biopharma Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 10,875 | 10,813 | — | 1/28/25 | (Federal Funds | Tianjin ZhongXin | (66) |
| | | | | Effective Rate US plus | Pharmaceutical | |
| | | | | 0.55%) — Monthly | Group Corp Ltd — | |
| | | | | | Monthly | |
|
| 64 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $5,542 | $5,243 | $— | 1/28/25 | (Federal Funds | Tilly’s Inc — | $(301) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 15,161 | 14,930 | — | 1/28/25 | (Federal Funds | Timberland | (68) |
| | | | | Effective Rate US plus | Bancorp Inc/ | |
| | | | | 0.25%) — Monthly | WA — Monthly | |
| 13,489 | 15,084 | — | 1/28/25 | (Federal Funds | Times China | 1,592 |
| | | | | Effective Rate US plus | Holdings Ltd — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 16,363 | 16,140 | — | 1/28/25 | (Federal Funds | Timken Co/The — | (167) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 8,900 | 9,242 | — | 1/28/25 | (Federal Funds | Tingyi Cayman | 340 |
| | | | | Effective Rate US plus | Islands Holding | |
| | | | | 0.25%) — Monthly | Corp — Monthly | |
| 5,853 | 5,685 | — | 1/28/25 | (Federal Funds | Tobu Railway Co | (169) |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 25,426 | 23,465 | — | 1/28/25 | (Federal Funds | Tofas Turk | (1,975) |
| | | | | Effective Rate US plus | Otomobil | |
| | | | | 0.70%) — Monthly | Fabrikasi A/S — | |
| | | | | | Monthly | |
| 2,564 | 2,492 | — | 1/28/25 | (Federal Funds | Tokuyama | (73) |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 59,085 | 56,789 | — | 1/28/25 | (Federal Funds | Tokyo Electron | (2,311) |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 5,082 | 5,051 | — | 1/28/25 | (Federal Funds | Tokyo Ohka | (32) |
| | | | | Effective Rate US plus | Kogyo Co Ltd — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 9,242 | 9,344 | — | 1/28/25 | (Federal Funds | Tokyotokeiba Co | 152 |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 13,123 | 12,805 | — | 1/28/25 | (Federal Funds | Tosoh Corp — | (321) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 7,140 | 7,124 | — | 1/28/25 | (Federal Funds | Total Produce | (17) |
| | | | | Effective Rate US plus | PLC — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 7,820 | 7,392 | — | 1/28/25 | (Federal Funds | Towa Corp — | (429) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 21,641 | 21,296 | — | 1/28/25 | (Federal Funds | Toyo Suisan | (352) |
| | | | | Effective Rate US plus | Kaisha Ltd — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 6,523 | 6,295 | — | 1/28/25 | (Federal Funds | Toyobo Co Ltd — | (230) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
|
| PanAgora Market Neutral Fund 65 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $14,758 | $14,558 | $— | 1/28/25 | (Federal Funds | Trane | $(204) |
| | | | | Effective Rate US plus | Technologies | |
| | | | | 0.25%) — Monthly | PLC — Monthly | |
| 2,569 | 2,506 | — | 1/28/25 | (Federal Funds | Transcosmos | (63) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 11,481 | 11,210 | — | 1/28/25 | (Federal Funds | TRI Pointe Homes | (275) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 65,741 | 63,657 | — | 1/28/25 | (Federal Funds | TriCo | (2,098) |
| | | | | Effective Rate US plus | Bancshares — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 13,058 | 12,943 | — | 1/28/25 | (Federal Funds | Tsugami Corp — | (119) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 15,071 | 14,999 | — | 1/28/25 | (Federal Funds | TTY Biopharm Co | (77) |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.35%) — Monthly | | |
| 10,109 | 9,538 | — | 1/28/25 | (Federal Funds | Tupperware | (573) |
| | | | | Effective Rate US plus | Brands Corp — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 26,970 | 28,898 | — | 1/28/25 | (Federal Funds | Twitter Inc — | 1,913 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 41,375 | 39,474 | — | 1/28/25 | (Federal Funds | UBS AG/ | (1,909) |
| | | | | Effective Rate US plus | London — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 19,523 | 18,453 | — | 1/28/25 | (Federal Funds | Umpqua | (901) |
| | | | | Effective Rate US plus | Holdings Corp — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 4,715 | 4,806 | — | 1/28/25 | (Federal Funds | Uni-President | 90 |
| | | | | Effective Rate US plus | China Holdings | |
| | | | | 0.25%) — Monthly | Ltd — Monthly | |
| 38,317 | 38,506 | — | 1/28/25 | (Federal Funds | Unimicron | 177 |
| | | | | Effective Rate US plus | Technology | |
| | | | | 0.35%) — Monthly | Corp — Monthly | |
| 8,524 | 8,544 | — | 1/28/25 | (Federal Funds | UNITED Inc/ | 17 |
| | | | | Effective Rate US plus | Japan — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 44,082 | 43,156 | — | 1/28/25 | (Federal Funds | United Security | (936) |
| | | | | Effective Rate US plus | Bancshares/ | |
| | | | | 0.25%) — Monthly | Fresno CA — | |
| | | | | | Monthly | |
| 52,895 | 50,800 | — | 1/28/25 | (Federal Funds | Universal | (2,108) |
| | | | | Effective Rate US plus | Electronics Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 12,690 | 11,530 | — | 1/28/25 | (Federal Funds | Universal Health | (1,163) |
| | | | | Effective Rate US plus | Services Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
|
| 66 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $18,859 | $17,936 | $— | 1/28/25 | (Federal Funds | Urban Edge | $(928) |
| | | | | Effective Rate US plus | Properties — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 2,666 | 2,579 | — | 1/28/25 | (Federal Funds | Urstadt Biddle | (87) |
| | | | | Effective Rate US plus | Properties Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 6,192 | 6,323 | — | 1/28/25 | (Federal Funds | UT Group Co | 130 |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 13,907 | 13,762 | — | 1/28/25 | (Federal Funds | Valmet Oyj — | (148) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 4,386 | 4,223 | — | 1/28/25 | (Federal Funds | Valor Holdings Co | (162) |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 8,524 | 8,165 | — | 1/28/25 | (Federal Funds | ValueCommerce | (297) |
| | | | | Effective Rate US plus | Co Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 34,808 | 34,703 | — | 1/28/25 | (Federal Funds | Varian Medical | (114) |
| | | | | Effective Rate US plus | Systems Inc — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 23,873 | 22,969 | — | 1/28/25 | (Federal Funds | Veeva Systems | (910) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 71,149 | 70,175 | — | 1/28/25 | (Federal Funds | Veritiv Corp — | (988) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 5,220 | 5,168 | — | 1/28/25 | (Federal Funds | Vesuvius PLC — | (52) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 19,880 | 19,832 | — | 1/28/25 | (Federal Funds | Volkswagen AG | (52) |
| | | | | Effective Rate US plus | (Preference) — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 17,343 | 17,609 | — | 1/28/25 | (Federal Funds | Vonage Holdings | 266 |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 8,364 | 8,101 | — | 1/28/25 | (Federal Funds | Vontier Corp — | (265) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 10,768 | 9,722 | — | 1/28/25 | (Federal Funds | VOXX | (1,048) |
| | | | | Effective Rate US plus | International | |
| | | | | 0.25%) — Monthly | Corp — Monthly | |
| 5,990 | 5,896 | — | 1/28/25 | (Federal Funds | VT Holdings Co | (94) |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 34,966 | 34,976 | — | 1/28/25 | (Federal Funds | Watford Holdings | 1 |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 12,907 | 14,449 | — | 1/28/25 | (Federal Funds | Wayfair Inc — | 1,539 |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
|
| PanAgora Market Neutral Fund 67 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $16,720 | $16,078 | $— | 1/28/25 | (Federal Funds | Wells Fargo C&B | $(647) |
| | | | | Effective Rate US plus | Mid Cap Value | |
| | | | | 0.25%) — Monthly | Fund — Monthly | |
| 494 | 486 | — | 1/28/25 | (Federal Funds | Wells Fargo | (8) |
| | | | | Effective Rate US plus | Income | |
| | | | | 0.25%) — Monthly | Opportunities | |
| | | | | | Fund — Monthly | |
| 32,309 | 30,290 | — | 1/28/25 | (Federal Funds | Western Alliance | (1,924) |
| | | | | Effective Rate US plus | Bancorp — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 621 | 620 | — | 1/28/25 | (Federal Funds | Western Asset | 3 |
| | | | | Effective Rate US plus | Managed | |
| | | | | 0.25%) — Monthly | Municipals Fund | |
| | | | | | Inc — Monthly | |
| 350 | 355 | — | 1/28/25 | (Federal Funds | Western Asset | 7 |
| | | | | Effective Rate US plus | Mortgage | |
| | | | | 0.25%) — Monthly | Opportunity Fund | |
| | | | | | Inc — Monthly | |
| 11,144 | 10,685 | — | 1/28/25 | (Federal Funds | Westports | (296) |
| | | | | Effective Rate US plus | Holdings Bhd — | |
| | | | | 0.75%) — Monthly | Monthly | |
| 12,135 | 11,472 | — | 1/28/25 | (Federal Funds | Whitestone | (622) |
| | | | | Effective Rate US plus | REIT — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 4,961 | 4,776 | — | 1/28/25 | (Federal Funds | Wienerberger | (186) |
| | | | | Effective Rate US plus | AG — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 11,609 | 11,257 | — | 1/28/25 | (Federal Funds | Will Group Inc — | (356) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 12,394 | 12,604 | — | 1/28/25 | (Federal Funds | Williams-Sonoma | 257 |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 80,553 | 78,768 | — | 1/28/25 | (Federal Funds | Willis Towers | (1,804) |
| | | | | Effective Rate US plus | Watson PLC — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 18,293 | 17,899 | — | 1/28/25 | (Federal Funds | Wintrust Financial | (394) |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 41,034 | 40,362 | — | 1/28/25 | (Federal Funds | Wm Morrison | (673) |
| | | | | Effective Rate US plus | Supermarkets | |
| | | | | 0.25%) — Monthly | PLC — Monthly | |
| 25,490 | 23,782 | — | 1/28/25 | (Federal Funds | Workday Inc — | (1,713) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 21,737 | 21,019 | — | 1/28/25 | (Federal Funds | WPP PLC — | (724) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
|
| 68 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $374 | $344 | $— | 1/28/25 | (Federal Funds | XAI Octagon | $(29) |
| | | | | Effective Rate US plus | Floating Rate | |
| | | | | 0.25%) — Monthly | Alternative | |
| | | | | | Income Term | |
| | | | | | Trust — Monthly | |
| 36,396 | 35,442 | — | 1/28/25 | (Federal Funds | Xilinx Inc — | (964) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 13,791 | 13,053 | — | 1/28/25 | (Federal Funds | Yamaha Motor Co | (429) |
| | | | | Effective Rate US plus | Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 6,506 | 6,555 | — | 1/28/25 | (Federal Funds | Yanlord Land | 46 |
| | | | | Effective Rate US plus | Group Ltd — | |
| | | | | 0.55%) — Monthly | Monthly | |
| 16,531 | 15,712 | — | 1/28/25 | (Federal Funds | Yara International | (824) |
| | | | | Effective Rate US plus | ASA — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 7,907 | 7,565 | — | 1/28/25 | (Federal Funds | Yokogawa | (344) |
| | | | | Effective Rate US plus | Electric Corp — | |
| | | | | 0.25%) — Monthly | Monthly | |
| 4,302 | 4,265 | — | 1/28/25 | (Federal Funds | Yue Yuen | (37) |
| | | | | Effective Rate US plus | Industrial | |
| | | | | 0.25%) — Monthly | Holdings Ltd — | |
| | | | | | Monthly | |
| 17,232 | 17,740 | — | 1/28/25 | (Federal Funds | Yuexiu Property | 504 |
| | | | | Effective Rate US plus | Co Ltd — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 15,396 | 15,303 | — | 1/28/25 | (Federal Funds | Yulon Nissan | (98) |
| | | | | Effective Rate US plus | Motor Co Ltd — | |
| | | | | 0.35%) — Monthly | Monthly | |
| 9,884 | 9,734 | — | 1/28/25 | (Federal Funds | Z Holdings | (153) |
| | | | | Effective Rate US plus | Corp — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 5,620 | 5,669 | — | 1/28/25 | (Federal Funds | Zealand Pharma | 48 |
| | | | | Effective Rate US plus | A/S — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 6,230 | 5,854 | — | 1/28/25 | (Federal Funds | Zeon Corp — | (377) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 10,754 | 10,474 | — | 1/28/25 | (Federal Funds | Zhejiang | (282) |
| | | | | Effective Rate US plus | Expressway Co | |
| | | | | 0.25%) — Monthly | Ltd — Monthly | |
| 19,978 | 19,699 | — | 1/28/25 | (Federal Funds | Zillow Group | (282) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 12,978 | 12,745 | — | 1/28/25 | (Federal Funds | Zillow Group | (233) |
| | | | | Effective Rate US plus | Inc — Monthly | |
| | | | | 0.25%) — Monthly | | |
| 26,084 | 25,601 | — | 1/28/25 | (Federal Funds | Zoomlion Heavy | (488) |
| | | | | Effective Rate US plus | Industry Science | |
| | | | | 0.25%) — Monthly | and Technology | |
| | | | | | Co Ltd — Monthly | |
|
| PanAgora Market Neutral Fund 69 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $8,728 | $8,611 | $— | 1/28/25 | (Federal Funds | Zscaler Inc — | $(119) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 1,104 | 1,037 | — | 1/28/25 | (Federal Funds | Zumiez Inc — | (67) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 14,361 | 12,855 | — | 1/28/25 | (Federal Funds | Zuora Inc — | (1,510) |
| | | | | Effective Rate US plus | Monthly | |
| | | | | 0.25%) — Monthly | | |
| 47,124 | 39,466 | — | 1/28/25 | Federal Funds | 22nd Century | 7,604 |
| | | | | Effective Rate US | Group Inc — | |
| | | | | minus 2.12% — | Monthly | |
| | | | | Monthly | | |
| 9,554 | 9,512 | — | 1/28/25 | Federal Funds | 51job Inc ADR — | 41 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 22,500 | 22,104 | — | 1/28/25 | Federal Funds | 89bio Inc — | 394 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 11,039 | 10,778 | — | 1/28/25 | Federal Funds | AAC Technologies | 257 |
| | | | | Effective Rate US | Holdings Inc — | |
| | | | | minus 0.40% — | Monthly | |
| | | | | Monthly | | |
| 1,558 | 1,542 | — | 1/28/25 | Federal Funds | AAON Inc — | 15 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 984 | 915 | — | 1/28/25 | Federal Funds | AAR Corp — | 69 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 28,882 | 28,268 | — | 1/28/25 | Federal Funds | Abbott | 504 |
| | | | | Effective Rate US | Laboratories — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 13,762 | 14,001 | — | 1/28/25 | Federal Funds | Abu Dhabi | (254) |
| | | | | Effective Rate US | National Oil Co | |
| | | | | minus 2.75% — | for Distribution | |
| | | | | Monthly | PJSC — Monthly | |
| 32,143 | 31,998 | — | 1/28/25 | Federal Funds | Acceleron | 143 |
| | | | | Effective Rate US | Pharma Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 17,308 | 16,917 | — | 1/28/25 | Federal Funds | Accton | 383 |
| | | | | Effective Rate US | Technology | |
| | | | | minus 0.40% — | Corp — Monthly | |
| | | | | Monthly | | |
|
| 70 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $27,687 | $25,025 | $— | 1/28/25 | Federal Funds | AcelRx | $2,599 |
| | | | | Effective Rate US | Pharmaceuticals | |
| | | | | minus 2.42% — | Inc — Monthly | |
| | | | | Monthly | | |
| 1,511 | 1,463 | — | 1/28/25 | Federal Funds | ACNB Corp — | 34 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 46,673 | 44,795 | — | 1/28/25 | Federal Funds | Acushnet | 1,873 |
| | | | | Effective Rate US | Holdings Corp — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 10,152 | 9,715 | — | 1/28/25 | Federal Funds | Adbri Ltd — | 434 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.45% — | | |
| | | | | Monthly | | |
| 8,205 | 8,166 | — | 1/28/25 | Federal Funds | Adler Group SA — | 37 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 40,396 | 39,881 | — | 1/28/25 | Federal Funds | Admiral Group | 509 |
| | | | | Effective Rate US | PLC — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 40,775 | 39,635 | — | 1/28/25 | Federal Funds | Advanced Micro | 1,135 |
| | | | | Effective Rate US | Devices Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 18,513 | 18,208 | — | 1/28/25 | Federal Funds | Advantech Co | 292 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 1.00% — | | |
| | | | | Monthly | | |
| 26,647 | 25,761 | — | 1/28/25 | Federal Funds | AECOM — | 885 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 13,833 | 13,346 | — | 1/28/25 | Federal Funds | AerCap Holdings | 486 |
| | | | | Effective Rate US | NV — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 7,523 | 7,317 | — | 1/28/25 | Federal Funds | AGC Inc — | 89 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 6,577 | 6,521 | — | 1/28/25 | Federal Funds | Agree Realty | 14 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 9,459 | 9,292 | — | 1/28/25 | Federal Funds | Ai Holdings | 123 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 71 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $4,860 | $4,604 | $— | 1/28/25 | Federal Funds | Aiming Inc — | $249 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 11.50% — | | |
| | | | | Monthly | | |
| 4,361 | 4,254 | — | 1/28/25 | Federal Funds | Ain Holdings | 107 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 35,297 | 32,538 | — | 1/28/25 | Federal Funds | Air Transport | 2,755 |
| | | | | Effective Rate US | Services Group | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 9,837 | 9,142 | — | 1/28/25 | Federal Funds | Airbus SE — | 694 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 1,415 | 1,200 | — | 1/28/25 | Federal Funds | Akerna Corp — | 189 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 25.97% — | | |
| | | | | Monthly | | |
| 41,958 | 39,498 | — | 1/28/25 | Federal Funds | Akoustis | 2,243 |
| | | | | Effective Rate US | Technologies | |
| | | | | minus 3.62% — | Inc — Monthly | |
| | | | | Monthly | | |
| 12,654 | 12,532 | — | 1/28/25 | Federal Funds | Alibaba Pictures | 119 |
| | | | | Effective Rate US | Group Ltd — | |
| | | | | minus 0.40% — | Monthly | |
| | | | | Monthly | | |
| 846 | 830 | — | 1/28/25 | Federal Funds | Alico Inc — | 16 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.62% — | | |
| | | | | Monthly | | |
| 9,317 | 9,331 | — | 1/28/25 | Federal Funds | Allakos Inc — | (15) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 14,344 | 14,221 | — | 1/28/25 | Federal Funds | Alleghany Corp — | 122 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 6,811 | 6,576 | — | 1/28/25 | Federal Funds | Alps Alpine Co | 233 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 10,493 | 10,195 | — | 1/28/25 | Federal Funds | AMA Group Ltd — | 295 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.45% — | | |
| | | | | Monthly | | |
| 3,650 | 3,370 | — | 1/28/25 | Federal Funds | Amarin Corp PLC | 279 |
| | | | | Effective Rate US | ADR — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
|
| 72 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $9,545 | $9,390 | $— | 1/28/25 | Federal Funds | Ambac Financial | $154 |
| | | | | Effective Rate US | Group Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 9,108 | 9,447 | — | 1/28/25 | Federal Funds | Ambu A/S — | (340) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 4,917 | 4,792 | — | 1/28/25 | Federal Funds | ANA Holdings | 122 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 78,939 | 76,040 | — | 1/28/25 | Federal Funds | Analog Devices | 2,554 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 21,849 | 17,872 | — | 1/28/25 | Federal Funds | Anaplan Inc — | 3,975 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 4,943 | 4,831 | — | 1/28/25 | Federal Funds | ANI | 112 |
| | | | | Effective Rate US | Pharmaceuticals | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 89,975 | 87,668 | — | 1/28/25 | Federal Funds | Aon PLC — | 2,084 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 13,824 | 13,404 | — | 1/28/25 | Federal Funds | Apollo Global | 256 |
| | | | | Effective Rate US | Management | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 3,008 | 3,061 | — | 1/28/25 | Federal Funds | Apollo Power | (53) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 6.50% — | | |
| | | | | Monthly | | |
| 14,454 | 13,549 | — | 1/28/25 | Federal Funds | Aramark — | 864 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 18,371 | 18,297 | — | 1/28/25 | Federal Funds | Ares Management | 72 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 11,988 | 11,464 | — | 1/28/25 | Federal Funds | Asahi Intecc Co | 522 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 20,768 | 20,921 | — | 1/28/25 | Federal Funds | Ascendis Pharma | (155) |
| | | | | Effective Rate US | A/S ADR — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 73 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $— | $— | $— | 1/28/25 | Federal Funds | Ascent Global | $— |
| | | | | Effective Rate US | Logistics | |
| | | | | minus 0.00% — | Holdings Inc — | |
| | | | | Monthly | Monthly | |
| 6,794 | 6,427 | — | 1/28/25 | Federal Funds | Ascential PLC — | 367 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 22,866 | 21,663 | — | 1/28/25 | Federal Funds | Aselsan | 1,196 |
| | | | | Effective Rate US | Elektronik Sanayi | |
| | | | | minus 0.75% — | Ve Ticaret A/S — | |
| | | | | Monthly | Monthly | |
| 42,809 | 41,107 | — | 1/28/25 | Federal Funds | Associated British | 1,701 |
| | | | | Effective Rate US | Foods PLC — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
| 5,647 | 5,524 | — | 1/28/25 | Federal Funds | Associated | 122 |
| | | | | Effective Rate US | Capital Group | |
| | | | | minus 0.62% — | Inc — Monthly | |
| | | | | Monthly | | |
| 24,910 | 25,029 | — | 1/28/25 | Federal Funds | Assured Guaranty | (121) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 1,580 | 1,567 | — | 1/28/25 | Federal Funds | Aston Martin | 3 |
| | | | | Effective Rate US | Lagonda Global | |
| | | | | minus 8.00% — | Holdings PLC — | |
| | | | | Monthly | Monthly | |
| 47,244 | 45,622 | — | 1/28/25 | Federal Funds | AstraZeneca PLC | 721 |
| | | | | Effective Rate US | ADR — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 5,845 | 5,860 | — | 1/28/25 | Federal Funds | Asukanet Co | (40) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 5.25% — | | |
| | | | | Monthly | | |
| 5,441 | 5,305 | — | 1/28/25 | Federal Funds | Asure Software | 136 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 21,358 | 20,379 | — | 1/28/25 | Federal Funds | Athene Holding | 977 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 4,621 | 4,360 | — | 1/28/25 | Federal Funds | Atlantic Sapphire | 258 |
| | | | | Effective Rate US | ASA — Monthly | |
| | | | | minus 5.25% — | | |
| | | | | Monthly | | |
| 37,937 | 36,363 | — | 1/28/25 | Federal Funds | Atlantic Union | 1,323 |
| | | | | Effective Rate US | Bankshares | |
| | | | | minus 0.23% — | Corp — Monthly | |
| | | | | Monthly | | |
|
| 74 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $13,381 | $13,425 | $— | 1/28/25 | Federal Funds | Atom Corp — | $(61) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 1.80% — | | |
| | | | | Monthly | | |
| 2,861 | 2,602 | — | 1/28/25 | Federal Funds | Atomera Inc — | 250 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 3.62% — | | |
| | | | | Monthly | | |
| 34,081 | 35,286 | — | 1/28/25 | Federal Funds | AU Optronics | (1,364) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 8.38% — | | |
| | | | | Monthly | | |
| 26,393 | 25,806 | — | 1/28/25 | Federal Funds | Auburn National | 481 |
| | | | | Effective Rate US | BanCorp Inc — | |
| | | | | minus 4.47% — | Monthly | |
| | | | | Monthly | | |
| 12,225 | 11,952 | — | 1/28/25 | Federal Funds | Audinate Group | 165 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 12.50% — | | |
| | | | | Monthly | | |
| 2,572 | 2,518 | — | 1/28/25 | Federal Funds | Autonomous | 20 |
| | | | | Effective Rate US | Control Systems | |
| | | | | minus 14.13% — | Laboratory Ltd — | |
| | | | | Monthly | Monthly | |
| 49,618 | 47,272 | — | 1/28/25 | Federal Funds | AVEO | 2,267 |
| | | | | Effective Rate US | Pharmaceuticals | |
| | | | | minus 2.02% — | Inc — Monthly | |
| | | | | Monthly | | |
| 16,833 | 18,625 | — | 1/28/25 | Federal Funds | Avid Bioservices | (1,793) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 37,591 | 35,770 | — | 1/28/25 | Federal Funds | Axonics | 1,816 |
| | | | | Effective Rate US | Modulation | |
| | | | | minus 0.23% — | Technologies | |
| | | | | Monthly | Inc — Monthly | |
| 61,673 | 56,737 | — | 1/28/25 | Federal Funds | AXT Inc — | 4,931 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 4,104 | 3,997 | — | 1/28/25 | Federal Funds | Azelio AB — | 87 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 37.25% — | | |
| | | | | Monthly | | |
| 30,177 | 34,029 | — | 1/28/25 | Federal Funds | B. Riley Financial | (3,854) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 7,953 | 7,316 | — | 1/28/25 | Federal Funds | B2W Cia Digital — | 633 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 1.00% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 75 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $17,391 | $17,122 | $— | 1/28/25 | Federal Funds | Bakkafrost P/F — | $266 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 3,740 | 3,407 | — | 1/28/25 | Federal Funds | Bambuser AB — | 316 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 35.50% — | | |
| | | | | Monthly | | |
| 52,501 | 50,724 | — | 1/28/25 | Federal Funds | Banc of California | 1,771 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 4,335 | 4,190 | — | 1/28/25 | Federal Funds | Bang & Olufsen | 144 |
| | | | | Effective Rate US | A/S — Monthly | |
| | | | | minus 0.75% — | | |
| | | | | Monthly | | |
| 28,934 | 27,611 | — | 1/28/25 | Federal Funds | Bank First Corp — | 1,297 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 1.12% — | | |
| | | | | Monthly | | |
| 19,618 | 18,375 | — | 1/28/25 | Federal Funds | Bank of Hawaii | 1,101 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 44,436 | 44,169 | — | 1/28/25 | Federal Funds | Bankwell | 13 |
| | | | | Effective Rate US | Financial Group | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 21,597 | 21,128 | — | 1/28/25 | Federal Funds | Baozun Inc ADR — | 461 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.57% — | | |
| | | | | Monthly | | |
| 26,480 | 26,255 | — | 1/28/25 | Federal Funds | Bar Harbor | 13 |
| | | | | Effective Rate US | Bankshares — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 4,978 | 5,019 | — | 1/28/25 | Federal Funds | Basic-Fit NV — | (41) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 4,034 | 3,953 | — | 1/28/25 | Federal Funds | Bayn Group AB — | 75 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 13.00% — | | |
| | | | | Monthly | | |
| 16,400 | 16,606 | — | 1/28/25 | Federal Funds | BBMG Corp — | (227) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 1.63% — | | |
| | | | | Monthly | | |
| 46,271 | 43,355 | — | 1/28/25 | Federal Funds | BCB Bancorp | 2,454 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
|
| 76 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $20,775 | $20,190 | $— | 1/28/25 | Federal Funds | Beijing Tong Ren | $570 |
| | | | | Effective Rate US | Tang Chinese | |
| | | | | minus 0.40% — | Medicine Co | |
| | | | | Monthly | Ltd — Monthly | |
| 30,012 | 28,647 | — | 1/28/25 | Federal Funds | Berkshire Hills | 1,361 |
| | | | | Effective Rate US | Bancorp Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 5,766 | 5,175 | — | 1/28/25 | Federal Funds | BEST Inc ADR — | 584 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.82% — | | |
| | | | | Monthly | | |
| 32,285 | 31,079 | — | 1/28/25 | Federal Funds | Beyond Air Inc — | 1,015 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 8.12% — | | |
| | | | | Monthly | | |
| 20,031 | 18,951 | — | 1/28/25 | Federal Funds | Beyondspring | 1,060 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 1.22% — | | |
| | | | | Monthly | | |
| 14,706 | 13,999 | — | 1/28/25 | Federal Funds | Bidvest Group | 702 |
| | | | | Effective Rate US | Ltd/The — | |
| | | | | minus 0.90% — | Monthly | |
| | | | | Monthly | | |
| 7,764 | 7,465 | — | 1/28/25 | Federal Funds | Biocartis Group | 195 |
| | | | | Effective Rate US | NV — Monthly | |
| | | | | minus 17.50% — | | |
| | | | | Monthly | | |
| 19,825 | 19,403 | — | 1/28/25 | Federal Funds | Black Knight | 420 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 12,468 | 12,465 | — | 1/28/25 | Federal Funds | Blackmores Ltd — | (9) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 1.50% — | | |
| | | | | Monthly | | |
| 12,866 | 12,926 | — | 1/28/25 | Federal Funds | Blue Prism Group | (70) |
| | | | | Effective Rate US | PLC — Monthly | |
| | | | | minus 1.25% — | | |
| | | | | Monthly | | |
| 50,680 | 48,561 | — | 1/28/25 | Federal Funds | BlueLinx Holdings | 2,115 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 9,006 | 8,912 | — | 1/28/25 | Federal Funds | BMO Commercial | 5 |
| | | | | Effective Rate US | Property Trust | |
| | | | | minus 0.30% — | Ltd — Monthly | |
| | | | | Monthly | | |
| 20,411 | 18,869 | — | 1/28/25 | Federal Funds | Boeing Co/The — | 1,540 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 77 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $19,548 | $18,628 | $— | 1/28/25 | Federal Funds | Booking Holdings | $919 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 45,392 | 41,434 | — | 1/28/25 | Federal Funds | Boston Omaha | 3,955 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 16,524 | 16,210 | — | 1/28/25 | Federal Funds | Boston Scientific | 312 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 4,591 | 4,462 | — | 1/28/25 | Federal Funds | BrainChip | 124 |
| | | | | Effective Rate US | Holdings Ltd — | |
| | | | | minus 10.25% — | Monthly | |
| | | | | Monthly | | |
| 16,491 | 15,060 | — | 1/28/25 | Federal Funds | Braskem SA | 1,408 |
| | | | | Effective Rate US | (Preference) — | |
| | | | | minus 2.50% — | Monthly | |
| | | | | Monthly | | |
| 11,484 | 10,692 | — | 1/28/25 | Federal Funds | BrightView | 792 |
| | | | | Effective Rate US | Holdings Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 3,013 | 2,972 | — | 1/28/25 | Federal Funds | Broadband Tower | (3) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 10.13% — | | |
| | | | | Monthly | | |
| 22,778 | 22,371 | — | 1/28/25 | Federal Funds | Broadridge | 404 |
| | | | | Effective Rate US | Financial | |
| | | | | minus 0.23% — | Solutions Inc — | |
| | | | | Monthly | Monthly | |
| 43,580 | 42,505 | — | 1/28/25 | Federal Funds | Brookline | 728 |
| | | | | Effective Rate US | Bancorp Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 18,638 | 17,901 | — | 1/28/25 | Federal Funds | Brown & Brown | 736 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 11,343 | 11,198 | — | 1/28/25 | Federal Funds | Brunello Cucinelli | 140 |
| | | | | Effective Rate US | SpA — Monthly | |
| | | | | minus 0.75% — | | |
| | | | | Monthly | | |
| 14,433 | 14,162 | — | 1/28/25 | Federal Funds | BTS Group | 103 |
| | | | | Effective Rate US | Holdings PCL — | |
| | | | | minus 1.50% — | Monthly | |
| | | | | Monthly | | |
| 890 | 909 | — | 1/28/25 | Federal Funds | Builders | (18) |
| | | | | Effective Rate US | FirstSource Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
|
| 78 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $17,965 | $17,631 | $— | 1/28/25 | Federal Funds | Bumrungrad | $313 |
| | | | | Effective Rate US | Hospital PCL — | |
| | | | | minus 1.63% — | Monthly | |
| | | | | Monthly | | |
| 28,042 | 26,917 | — | 1/28/25 | Federal Funds | Burlington Stores | 1,121 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 46,282 | 43,435 | — | 1/28/25 | Federal Funds | Business First | 2,645 |
| | | | | Effective Rate US | Bancshares Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 2,391 | 2,332 | — | 1/28/25 | Federal Funds | BuySell | 56 |
| | | | | Effective Rate US | Technologies Co | |
| | | | | minus 7.63% — | Ltd — Monthly | |
| | | | | Monthly | | |
| 68,670 | 65,418 | — | 1/28/25 | Federal Funds | Cadence | 2,745 |
| | | | | Effective Rate US | BanCorp — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 6,298 | 6,166 | — | 1/28/25 | Federal Funds | Caesarstone | 126 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 1.52% — | | |
| | | | | Monthly | | |
| 5,443 | 5,043 | — | 1/28/25 | Federal Funds | Capital & | 400 |
| | | | | Effective Rate US | Counties | |
| | | | | minus 0.30% — | Properties PLC — | |
| | | | | Monthly | Monthly | |
| 35,763 | 35,365 | — | 1/28/25 | Federal Funds | Capitol Federal | 169 |
| | | | | Effective Rate US | Financial Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 23,764 | 22,002 | — | 1/28/25 | Federal Funds | Cara | 1,760 |
| | | | | Effective Rate US | Therapeutics | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 3,988 | 3,699 | — | 1/28/25 | Federal Funds | Carbios — | 280 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 19.25% — | | |
| | | | | Monthly | | |
| 8,957 | 8,476 | — | 1/28/25 | Federal Funds | Cardlytics Inc — | 481 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 26,194 | 25,208 | — | 1/28/25 | Federal Funds | Carlyle Group Inc/ | 986 |
| | | | | Effective Rate US | The — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 4,426 | 4,301 | — | 1/28/25 | Federal Funds | Carmat SA — | 125 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 79 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $28,511 | $27,965 | $— | 1/28/25 | Federal Funds | CarMax Inc — | $542 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 46,200 | 45,356 | — | 1/28/25 | Federal Funds | Carter | 839 |
| | | | | Effective Rate US | Bankshares Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 17,951 | 17,861 | — | 1/28/25 | Federal Funds | Carvana Co — | 89 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 7,588 | 6,947 | — | 1/28/25 | Federal Funds | Cassava Sciences | 634 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 2.12% — | | |
| | | | | Monthly | | |
| 15,545 | 15,351 | — | 1/28/25 | Federal Funds | Catalent Inc — | 193 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 15,257 | 14,842 | — | 1/28/25 | Federal Funds | CCC SA — Monthly | 367 |
| | | | | Effective Rate US | | |
| | | | | minus 5.00% — | | |
| | | | | Monthly | | |
| 4,445 | 4,402 | — | 1/28/25 | Federal Funds | CDON AB — | 39 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 7.75% — | | |
| | | | | Monthly | | |
| 48,097 | 48,636 | — | 1/28/25 | Federal Funds | Celsius Holdings | (544) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 24,452 | 24,118 | — | 1/28/25 | Federal Funds | Centene Corp — | 331 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 19,861 | 20,249 | — | 1/28/25 | Federal Funds | Center | (427) |
| | | | | Effective Rate US | Laboratories | |
| | | | | minus 2.75% — | Inc — Monthly | |
| | | | | Monthly | | |
| 17,135 | 17,342 | — | 1/28/25 | Federal Funds | Central Retail | (227) |
| | | | | Effective Rate US | Corp PCL — | |
| | | | | minus 2.75% — | Monthly | |
| | | | | Monthly | | |
| 6,027 | 5,857 | �� | 1/28/25 | Federal Funds | Centuria Office | 49 |
| | | | | Effective Rate US | REIT — Monthly | |
| | | | | minus 0.45% — | | |
| | | | | Monthly | | |
| 10,526 | 9,689 | — | 1/28/25 | Federal Funds | Ceragon | 836 |
| | | | | Effective Rate US | Networks Ltd — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
|
| 80 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $15,322 | $14,536 | $— | 1/28/25 | Federal Funds | Ceres Power | $783 |
| | | | | Effective Rate US | Holdings PLC — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
| 25,969 | 25,822 | — | 1/28/25 | Federal Funds | Ceridian HCM | 144 |
| | | | | Effective Rate US | Holding Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 16,295 | 16,444 | — | 1/28/25 | Federal Funds | CH Robinson | (150) |
| | | | | Effective Rate US | Worldwide Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 20,879 | 19,997 | — | 1/28/25 | Federal Funds | Charles Schwab | 881 |
| | | | | Effective Rate US | Corp/The — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 20,689 | 20,856 | — | 1/28/25 | Federal Funds | Charter | (167) |
| | | | | Effective Rate US | Communications | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 4,699 | 4,508 | — | 1/28/25 | Federal Funds | Charter Hall Long | 191 |
| | | | | Effective Rate US | Wale REIT — | |
| | | | | minus 0.45% — | Monthly | |
| | | | | Monthly | | |
| 8,491 | 8,701 | — | 1/28/25 | Federal Funds | Chatwork Co | (217) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 6.50% — | | |
| | | | | Monthly | | |
| 1,270 | 1,183 | — | 1/28/25 | Federal Funds | Chefs’ Warehouse | 86 |
| | | | | Effective Rate US | Inc/The — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 29,168 | 28,034 | — | 1/28/25 | Federal Funds | Chembio | 1,040 |
| | | | | Effective Rate US | Diagnostics Inc — | |
| | | | | minus 3.67% — | Monthly | |
| | | | | Monthly | | |
| 17,540 | 17,042 | — | 1/28/25 | Federal Funds | Cheng Shin | 491 |
| | | | | Effective Rate US | Rubber Industry | |
| | | | | minus 0.63% — | Co Ltd — Monthly | |
| | | | | Monthly | | |
| 11,786 | 11,375 | — | 1/28/25 | Federal Funds | Chewy Inc — | 411 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 1,803 | 1,662 | — | 1/28/25 | Federal Funds | Children’s Place | 141 |
| | | | | Effective Rate US | Inc/The — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 16,221 | 15,517 | — | 1/28/25 | Federal Funds | China Eastern | 649 |
| | | | | Effective Rate US | Airlines Corp | |
| | | | | minus 5.25% — | Ltd — Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 81 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $14,949 | $14,262 | $— | 1/28/25 | Federal Funds | Choice Hotels | $685 |
| | | | | Effective Rate US | International | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 16,179 | 16,302 | — | 1/28/25 | Federal Funds | Chr Hansen | (126) |
| | | | | Effective Rate US | Holding A/S — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
| 10,819 | 10,710 | — | 1/28/25 | Federal Funds | Church & Dwight | 73 |
| | | | | Effective Rate US | Co Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 11,152 | 11,159 | — | 1/28/25 | Federal Funds | Cia Cervecerias | (19) |
| | | | | Effective Rate US | Unidas SA ADR — | |
| | | | | minus 1.57% — | Monthly | |
| | | | | Monthly | | |
| 8,363 | 8,043 | — | 1/28/25 | Federal Funds | CIMIC Group | 317 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.45% — | | |
| | | | | Monthly | | |
| 35,900 | 34,915 | — | 1/28/25 | Federal Funds | Citizens & | 530 |
| | | | | Effective Rate US | Northern Corp — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 840 | 822 | — | 1/28/25 | Federal Funds | Citizens Holding | 17 |
| | | | | Effective Rate US | Co — Monthly | |
| | | | | minus 2.57% — | | |
| | | | | Monthly | | |
| 20,101 | 19,454 | — | 1/28/25 | Federal Funds | Cloudflare Inc — | 647 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 17,461 | 17,374 | — | 1/28/25 | Federal Funds | CME Group Inc — | 85 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 18,112 | 17,271 | — | 1/28/25 | Federal Funds | CNA Financial | 380 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 12,423 | 12,017 | — | 1/28/25 | Federal Funds | Coca-Cola | 235 |
| | | | | Effective Rate US | Bottlers Japan | |
| | | | | minus 0.30% — | Holdings Inc — | |
| | | | | Monthly | Monthly | |
| 17,817 | 17,406 | — | 1/28/25 | Federal Funds | Cochlear Ltd — | 407 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.45% — | | |
| | | | | Monthly | | |
| 10,926 | 10,144 | — | 1/28/25 | Federal Funds | Cogna | 757 |
| | | | | Effective Rate US | Educacao — | |
| | | | | minus 1.50% — | Monthly | |
| | | | | Monthly | | |
|
| 82 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $41,609 | $37,894 | $— | 1/28/25 | Federal Funds | Cohbar Inc — | $3,577 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 4.52% — | | |
| | | | | Monthly | | |
| 1,020 | 989 | — | 1/28/25 | Federal Funds | Colony Capital | 32 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 9,892 | 9,901 | — | 1/28/25 | Federal Funds | Coloplast A/S — | (11) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 35,398 | 34,347 | — | 1/28/25 | Federal Funds | Columbia | 1,047 |
| | | | | Effective Rate US | Financial Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 6,155 | 5,948 | — | 1/28/25 | Federal Funds | Comforia | 204 |
| | | | | Effective Rate US | Residential REIT | |
| | | | | minus 4.00% — | Inc — Monthly | |
| | | | | Monthly | | |
| 13,679 | 13,029 | — | 1/28/25 | Federal Funds | Commerce | 649 |
| | | | | Effective Rate US | Bancshares Inc/ | |
| | | | | minus 0.23% — | MO — Monthly | |
| | | | | Monthly | | |
| 33,000 | 31,893 | — | 1/28/25 | Federal Funds | Community Bank | 1,103 |
| | | | | Effective Rate US | System Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 7,335 | 6,606 | — | 1/28/25 | Federal Funds | Compugen Ltd — | 718 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 1.62% — | | |
| | | | | Monthly | | |
| 53,133 | 50,154 | — | 1/28/25 | Federal Funds | ConnectOne | 2,780 |
| | | | | Effective Rate US | Bancorp Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 31,013 | 30,504 | — | 1/28/25 | Federal Funds | Cooper Cos Inc/ | 503 |
| | | | | Effective Rate US | The — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 4,803 | 4,791 | — | 1/28/25 | Federal Funds | Corem Property | 13 |
| | | | | Effective Rate US | Group AB — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
| 16,282 | 14,775 | — | 1/28/25 | Federal Funds | CorMedix Inc — | 1,492 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 2.37% — | | |
| | | | | Monthly | | |
| 15,843 | 16,422 | — | 1/28/25 | Federal Funds | Cortexyme Inc — | (595) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 1.22% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 83 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $918 | $904 | $— | 1/28/25 | Federal Funds | County Bancorp | $13 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.72% — | | |
| | | | | Monthly | | |
| 17,931 | 16,513 | — | 1/28/25 | Federal Funds | Cronos Group | 1,403 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.77% — | | |
| | | | | Monthly | | |
| 9,035 | 9,372 | — | 1/28/25 | Federal Funds | CrossFirst | (338) |
| | | | | Effective Rate US | Bankshares Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 54,911 | 53,437 | — | 1/28/25 | Federal Funds | CryoPort Inc — | 1,467 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 23,716 | 23,254 | — | 1/28/25 | Federal Funds | CSX Corp — | 389 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 38,725 | 38,753 | — | 1/28/25 | Federal Funds | Cubic Corp — | (32) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 28,425 | 28,935 | — | 1/28/25 | Federal Funds | Cue Biopharma | (519) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 16,568 | 15,869 | — | 1/28/25 | Federal Funds | Cullen/Frost | 588 |
| | | | | Effective Rate US | Bankers Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 11,898 | 11,453 | — | 1/28/25 | Federal Funds | CyberArk | 444 |
| | | | | Effective Rate US | Software Ltd — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 19,342 | 18,097 | — | 1/28/25 | Federal Funds | CYBERDYNE Inc — | 1,194 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 3.25% — | | |
| | | | | Monthly | | |
| 3,923 | 3,719 | — | 1/28/25 | Federal Funds | Daio Paper | 204 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 13,806 | 13,115 | — | 1/28/25 | Federal Funds | Daiwa House | 418 |
| | | | | Effective Rate US | REIT Investment | |
| | | | | minus 0.30% — | Corp — Monthly | |
| | | | | Monthly | | |
| 1,429 | 1,374 | — | 1/28/25 | Federal Funds | Daseke Inc — | 55 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
|
| 84 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $23,106 | $22,359 | $— | 1/28/25 | Federal Funds | Davide Campari- | $744 |
| | | | | Effective Rate US | Milano NV — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
| 5,205 | 5,063 | — | 1/28/25 | Federal Funds | DBV Technologies | 113 |
| | | | | Effective Rate US | SA — Monthly | |
| | | | | minus 8.63% — | | |
| | | | | Monthly | | |
| 2,413 | 2,420 | — | 1/28/25 | Federal Funds | DDS Inc — | (13) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 2.75% — | | |
| | | | | Monthly | | |
| 21,029 | 20,278 | — | 1/28/25 | Federal Funds | Delivery Hero | 747 |
| | | | | Effective Rate US | SE — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 7,004 | 6,886 | — | 1/28/25 | Federal Funds | Dentsu Group | 72 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 4,885 | 3,784 | — | 1/28/25 | Federal Funds | Digital Media | 1,096 |
| | | | | Effective Rate US | Solutions Inc — | |
| | | | | minus 5.97% — | Monthly | |
| | | | | Monthly | | |
| 40,915 | 40,700 | — | 1/28/25 | Federal Funds | Direct Line | 212 |
| | | | | Effective Rate US | Insurance Group | |
| | | | | minus 0.30% — | PLC — Monthly | |
| | | | | Monthly | | |
| 4,863 | 4,608 | — | 1/28/25 | Federal Funds | DLE Inc — | 248 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 13.63% — | | |
| | | | | Monthly | | |
| 43,710 | 42,875 | — | 1/28/25 | Federal Funds | Dorman Products | 830 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 25,076 | 25,645 | — | 1/28/25 | Federal Funds | DS Smith PLC — | (574) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 2,946 | 2,801 | — | 1/28/25 | Federal Funds | DyDo Group | 127 |
| | | | | Effective Rate US | Holdings Inc — | |
| | | | | minus 0.79% — | Monthly | |
| | | | | Monthly | | |
| 1,403 | 1,364 | — | 1/28/25 | Federal Funds | DZS Inc — | 38 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 54,292 | 52,655 | — | 1/28/25 | Federal Funds | Eagle Bancorp | 1,369 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 85 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $20,760 | $19,423 | $— | 1/28/25 | Federal Funds | Eagle Bulk | $1,326 |
| | | | | Effective Rate US | Shipping Inc — | |
| | | | | minus 0.97% — | Monthly | |
| | | | | Monthly | | |
| 4,861 | 4,939 | — | 1/28/25 | Federal Funds | East Japan | (78) |
| | | | | Effective Rate US | Railway Co — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
| 37,506 | 36,937 | — | 1/28/25 | Federal Funds | easyJet PLC — | 564 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 25,829 | 25,038 | — | 1/28/25 | Federal Funds | Ebix Inc — | 784 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 13,329 | 13,096 | — | 1/28/25 | Federal Funds | Edulab Inc — | 101 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 14.50% — | | |
| | | | | Monthly | | |
| 12,800 | 12,411 | — | 1/28/25 | Federal Funds | El Puerto de | 373 |
| | | | | Effective Rate US | Liverpool SAB de | |
| | | | | minus 1.63% — | CV — Monthly | |
| | | | | Monthly | | |
| 18,078 | 18,829 | — | 1/28/25 | Federal Funds | Elanco Animal | (753) |
| | | | | Effective Rate US | Health Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 18,023 | 16,368 | — | 1/28/25 | Federal Funds | Embraer SA | 1,654 |
| | | | | Effective Rate US | ADR — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 4,214 | 4,047 | — | 1/28/25 | Federal Funds | Enad Global 7 | 152 |
| | | | | Effective Rate US | AB — Monthly | |
| | | | | minus 28.88% — | | |
| | | | | Monthly | | |
| 5,233 | 5,124 | — | 1/28/25 | Federal Funds | Ence Energia y | 107 |
| | | | | Effective Rate US | Celulosa SA — | |
| | | | | minus 3.50% — | Monthly | |
| | | | | Monthly | | |
| 40,548 | 38,804 | — | 1/28/25 | Federal Funds | Enerpac Tool | 1,740 |
| | | | | Effective Rate US | Group Corp — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 4,939 | 4,700 | — | 1/28/25 | Federal Funds | Eneti Inc — | 239 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 18,094 | 17,159 | — | 1/28/25 | Federal Funds | Equifax Inc — | 891 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
|
| 86 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $28,318 | $28,084 | $— | 1/28/25 | Federal Funds | Erie Indemnity | $231 |
| | | | | Effective Rate US | Co — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 10,632 | 9,445 | — | 1/28/25 | Federal Funds | Eros STX Global | 1,172 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 1.67% — | | |
| | | | | Monthly | | |
| 3,455 | 3,314 | — | 1/28/25 | Federal Funds | Esperion | 126 |
| | | | | Effective Rate US | Therapeutics | |
| | | | | minus 3.77% — | Inc — Monthly | |
| | | | | Monthly | | |
| 50,890 | 50,830 | — | 1/28/25 | Federal Funds | Ethan Allen | 54 |
| | | | | Effective Rate US | Interiors Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 37,177 | 33,918 | — | 1/28/25 | Federal Funds | Eton | 3,129 |
| | | | | Effective Rate US | Pharmaceuticals | |
| | | | | minus 5.37% — | Inc — Monthly | |
| | | | | Monthly | | |
| 10,829 | 9,985 | — | 1/28/25 | Federal Funds | euglena Co Ltd — | 830 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 1.63% — | | |
| | | | | Monthly | | |
| 19,090 | 18,659 | — | 1/28/25 | Federal Funds | Eurofins Scientific | 428 |
| | | | | Effective Rate US | SE — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 1,754 | 1,669 | — | 1/28/25 | Federal Funds | Eventbrite Inc — | 85 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 11,257 | 11,123 | — | 1/28/25 | Federal Funds | Everest Re Group | 133 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 50,268 | 45,823 | — | 1/28/25 | Federal Funds | EVI Industries | 4,379 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 2.12% — | | |
| | | | | Monthly | | |
| 38,560 | 36,866 | — | 1/28/25 | Federal Funds | Evo Payments | 1,690 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 16,766 | 16,583 | — | 1/28/25 | Federal Funds | Expedia Group | 182 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 14,512 | 14,362 | — | 1/28/25 | Federal Funds | Farfetch Ltd — | 149 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 87 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $36,695 | $36,633 | $— | 1/28/25 | Federal Funds | Farmland | $43 |
| | | | | Effective Rate US | Partners Inc — | |
| | | | | minus 0.77% — | Monthly | |
| | | | | Monthly | | |
| 16,061 | 15,599 | — | 1/28/25 | Federal Funds | Fastly Inc — | 460 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 47,231 | 45,421 | — | 1/28/25 | Federal Funds | FB Financial | 1,688 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 18,436 | 17,954 | — | 1/28/25 | Federal Funds | FDK Corp — | 414 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 4.25% — | | |
| | | | | Monthly | | |
| 30,845 | 25,857 | — | 1/28/25 | Federal Funds | Fidelity D&D | 4,783 |
| | | | | Effective Rate US | Bancorp Inc — | |
| | | | | minus 2.57% — | Monthly | |
| | | | | Monthly | | |
| 26,633 | 26,358 | — | 1/28/25 | Federal Funds | Fidelity National | 272 |
| | | | | Effective Rate US | Information | |
| | | | | minus 0.23% — | Services Inc — | |
| | | | | Monthly | Monthly | |
| 10,308 | 9,727 | — | 1/28/25 | Federal Funds | Fila SpA — | 578 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 4,361 | 4,278 | — | 1/28/25 | Federal Funds | FINDEX Inc — | 83 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 1.38% — | | |
| | | | | Monthly | | |
| 34,899 | 33,509 | — | 1/28/25 | Federal Funds | First Bancorp Inc/ | 1,379 |
| | | | | Effective Rate US | The — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 984 | 934 | — | 1/28/25 | Federal Funds | First BanCorp/ | 44 |
| | | | | Effective Rate US | Puerto Rico — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 56,408 | 51,748 | — | 1/28/25 | Federal Funds | First Bank/ | 4,502 |
| | | | | Effective Rate US | Hamilton NJ — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 883 | 845 | — | 1/28/25 | Federal Funds | First Guaranty | 39 |
| | | | | Effective Rate US | Bancshares Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 42,989 | 44,125 | — | 1/28/25 | Federal Funds | FirstGroup PLC — | (1,141) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
|
| 88 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $20,956 | $20,305 | $— | 1/28/25 | Federal Funds | Fiserv Inc — | $651 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 32,304 | 30,896 | — | 1/28/25 | Federal Funds | Five Below Inc — | 1,404 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 17,130 | 16,736 | — | 1/28/25 | Federal Funds | Floor & Decor | 392 |
| | | | | Effective Rate US | Holdings Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 11,351 | 11,123 | — | 1/28/25 | Federal Funds | Flughafen Zurich | 227 |
| | | | | Effective Rate US | AG — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 13,078 | 12,741 | — | 1/28/25 | Federal Funds | Fomento | 335 |
| | | | | Effective Rate US | Economico | |
| | | | | minus 0.23% — | Mexicano SAB de | |
| | | | | Monthly | CV ADR — Monthly | |
| 15,424 | 15,438 | — | 1/28/25 | Federal Funds | Formosa | (18) |
| | | | | Effective Rate US | Chemicals & Fibre | |
| | | | | minus 0.40% — | Corp — Monthly | |
| | | | | Monthly | | |
| 16,052 | 16,157 | — | 1/28/25 | Federal Funds | Formosa Sumco | (298) |
| | | | | Effective Rate US | Technology | |
| | | | | minus 17.00% — | Corp — Monthly | |
| | | | | Monthly | | |
| 4,738 | 4,593 | — | 1/28/25 | Federal Funds | Forterra PLC — | 144 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 26,439 | 25,708 | — | 1/28/25 | Federal Funds | Four Corners | 728 |
| | | | | Effective Rate US | Property Trust | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 52,589 | 47,173 | — | 1/28/25 | Federal Funds | Fox Factory | 5,411 |
| | | | | Effective Rate US | Holding Corp — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 29,494 | 27,636 | — | 1/28/25 | Federal Funds | Franklin | 1,855 |
| | | | | Effective Rate US | Resources Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 13,080 | 12,621 | — | 1/28/25 | Federal Funds | Fraport AG | 451 |
| | | | | Effective Rate US | Frankfurt | |
| | | | | minus 1.00% — | Airport Services | |
| | | | | Monthly | Worldwide — | |
| | | | | | Monthly | |
|
| PanAgora Market Neutral Fund 89 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $41,178 | $40,163 | $— | 1/28/25 | Federal Funds | Frasers Group | $1,011 |
| | | | | Effective Rate US | PLC — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 11,430 | 11,292 | — | 1/28/25 | Federal Funds | Freni Brembo | 136 |
| | | | | Effective Rate US | SpA — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 6,712 | 6,689 | — | 1/28/25 | Federal Funds | Fronteo Inc — | (23) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 9.63% — | | |
| | | | | Monthly | | |
| 10,218 | 9,856 | — | 1/28/25 | Federal Funds | Frontier | 206 |
| | | | | Effective Rate US | Management | |
| | | | | minus 8.75% — | Inc — Monthly | |
| | | | | Monthly | | |
| 20,825 | 20,350 | — | 1/28/25 | Federal Funds | FUCHS | 471 |
| | | | | Effective Rate US | PETROLUB SE | |
| | | | | minus 0.30% — | (Preference) — | |
| | | | | Monthly | Monthly | |
| 1,652 | 1,525 | — | 1/28/25 | Federal Funds | FuelCell Energy | 126 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.62% — | | |
| | | | | Monthly | | |
| 18,101 | 17,325 | — | 1/28/25 | Federal Funds | Fuji Kyuko Co | 766 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.88% — | | |
| | | | | Monthly | | |
| 7,488 | 7,531 | — | 1/28/25 | Federal Funds | Fujio Food Group | (78) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 3.38% — | | |
| | | | | Monthly | | |
| 5,494 | 5,375 | — | 1/28/25 | Federal Funds | Fujita Kanko | 118 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.88% — | | |
| | | | | Monthly | | |
| 4,525 | 4,340 | — | 1/28/25 | Federal Funds | Furukawa Battery | 180 |
| | | | | Effective Rate US | Co Ltd/The — | |
| | | | | minus 10.25% — | Monthly | |
| | | | | Monthly | | |
| 13,825 | 12,766 | — | 1/28/25 | Federal Funds | FVCBankcorp | 1,057 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 25,450 | 25,225 | — | 1/28/25 | Federal Funds | Galectin | 131 |
| | | | | Effective Rate US | Therapeutics | |
| | | | | minus 5.82% — | Inc — Monthly | |
| | | | | Monthly | | |
| 38,705 | 37,274 | — | 1/28/25 | Federal Funds | Games Workshop | 1,426 |
| | | | | Effective Rate US | Group PLC — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
|
| 90 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $3,302 | $3,663 | $— | 1/28/25 | Federal Funds | GameStop | $(439) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 1.77% — | | |
| | | | | Monthly | | |
| 906 | 843 | — | 1/28/25 | Federal Funds | GAN Ltd — | 63 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 10,563 | 10,114 | — | 1/28/25 | Federal Funds | GDS Holdings Ltd | 449 |
| | | | | Effective Rate US | ADR — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 1,380 | 1,360 | — | 1/28/25 | Federal Funds | Genasys Inc — | 19 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.57% — | | |
| | | | | Monthly | | |
| 31,079 | 31,931 | — | 1/28/25 | Federal Funds | Genco Shipping | (854) |
| | | | | Effective Rate US | & Trading Ltd — | |
| | | | | minus 0.57% — | Monthly | |
| | | | | Monthly | | |
| 27,730 | 26,973 | — | 1/28/25 | Federal Funds | General | 573 |
| | | | | Effective Rate US | Dynamics Corp — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 9,378 | 10,350 | — | 1/28/25 | Federal Funds | Genscript Biotech | (975) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.40% — | | |
| | | | | Monthly | | |
| 27,823 | 28,386 | — | 1/28/25 | Federal Funds | Genting | (702) |
| | | | | Effective Rate US | Plantations | |
| | | | | minus 6.25% — | Bhd — Monthly | |
| | | | | Monthly | | |
| 23,332 | 22,970 | — | 1/28/25 | Federal Funds | German American | 237 |
| | | | | Effective Rate US | Bancorp Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 4,890 | 4,813 | — | 1/28/25 | Federal Funds | Giken Ltd — | 44 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 5,108 | 5,037 | — | 1/28/25 | Federal Funds | GL events — | 71 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 17,363 | 16,829 | — | 1/28/25 | Federal Funds | Global Payments | 532 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 17,242 | 16,282 | — | 1/28/25 | Federal Funds | GMO Payment | 956 |
| | | | | Effective Rate US | Gateway Inc — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 91 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $43,646 | $42,624 | $— | 1/28/25 | Federal Funds | Go-Ahead Group | $1,017 |
| | | | | Effective Rate US | PLC/The — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
| 4,490 | 4,284 | — | 1/28/25 | Federal Funds | GomSpace Group | 188 |
| | | | | Effective Rate US | AB — Monthly | |
| | | | | minus 34.00% — | | |
| | | | | Monthly | | |
| 5,566 | 5,693 | — | 1/28/25 | Federal Funds | Good Com Asset | (130) |
| | | | | Effective Rate US | Co Ltd — Monthly | |
| | | | | minus 5.25% — | | |
| | | | | Monthly | | |
| 4,646 | 4,211 | — | 1/28/25 | Federal Funds | Gossamer Bio | 434 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 46,221 | 43,800 | — | 1/28/25 | Federal Funds | Granite | 2,416 |
| | | | | Effective Rate US | Construction | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 42,293 | 40,540 | — | 1/28/25 | Federal Funds | Great Western | 1,734 |
| | | | | Effective Rate US | Bancorp Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 1,135 | 1,048 | — | 1/28/25 | Federal Funds | GreenSky Inc — | 86 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 1.27% — | | |
| | | | | Monthly | | |
| 20,954 | 19,181 | — | 1/28/25 | Federal Funds | Greggs PLC — | 1,773 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 1,322 | 1,252 | — | 1/28/25 | Federal Funds | Grid Dynamics | 68 |
| | | | | Effective Rate US | Holdings Inc — | |
| | | | | minus 1.27% — | Monthly | |
| | | | | Monthly | | |
| 12,500 | 11,805 | — | 1/28/25 | Federal Funds | Grocery Outlet | 694 |
| | | | | Effective Rate US | Holding Corp — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 1,041 | 1,172 | — | 1/28/25 | Federal Funds | Groupon Inc — | (131) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 13,353 | 12,740 | — | 1/28/25 | Federal Funds | Growthpoint | 606 |
| | | | | Effective Rate US | Properties Ltd — | |
| | | | | minus 0.90% — | Monthly | |
| | | | | Monthly | | |
| 886 | 801 | — | 1/28/25 | Federal Funds | GTT | 45 |
| | | | | Effective Rate US | Communications | |
| | | | | minus 21.77% — | Inc — Monthly | |
| | | | | Monthly | | |
|
| 92 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $6,426 | $6,231 | $— | 1/28/25 | Federal Funds | GTY Technology | $195 |
| | | | | Effective Rate US | Holdings Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 9,811 | 9,128 | — | 1/28/25 | Federal Funds | Haier Smart | 681 |
| | | | | Effective Rate US | Home Co Ltd — | |
| | | | | minus 0.40% — | Monthly | |
| | | | | Monthly | | |
| 33,528 | 32,542 | — | 1/28/25 | Federal Funds | Hamilton Lane | 983 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 10,814 | 10,370 | — | 1/28/25 | Federal Funds | Harvey Norman | 441 |
| | | | | Effective Rate US | Holdings Ltd — | |
| | | | | minus 0.45% — | Monthly | |
| | | | | Monthly | | |
| 11,508 | 11,339 | — | 1/28/25 | Federal Funds | Hawthorn | 168 |
| | | | | Effective Rate US | Bancshares Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 1,027 | 931 | — | 1/28/25 | Federal Funds | HC2 Holdings | 95 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.57% — | | |
| | | | | Monthly | | |
| 12,772 | 12,075 | — | 1/28/25 | Federal Funds | HEICO Corp — | 696 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 15,512 | 14,933 | — | 1/28/25 | Federal Funds | HEICO Corp — | 578 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 4,534 | 4,526 | — | 1/28/25 | Federal Funds | Heiwa Corp — | 8 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 54,363 | 53,105 | — | 1/28/25 | Federal Funds | Helios | 1,254 |
| | | | | Effective Rate US | Technologies | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 21,717 | 20,878 | — | 1/28/25 | Federal Funds | Hella GmbH & Co | 835 |
| | | | | Effective Rate US | KGaA — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 8,067 | 8,246 | — | 1/28/25 | Federal Funds | Helloworld Travel | (297) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 20.63% — | | |
| | | | | Monthly | | |
| 8,705 | 8,690 | — | 1/28/25 | Federal Funds | Henderson Land | 13 |
| | | | | Effective Rate US | Development Co | |
| | | | | minus 0.40% — | Ltd — Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 93 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $6,287 | $5,985 | $— | 1/28/25 | Federal Funds | Heroz Inc — | $232 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 16.25% — | | |
| | | | | Monthly | | |
| 2,904 | 2,712 | — | 1/28/25 | Federal Funds | HF Foods Group | 185 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 2.37% — | | |
| | | | | Monthly | | |
| 21,117 | 21,421 | — | 1/28/25 | Federal Funds | Highwealth | (322) |
| | | | | Effective Rate US | Construction | |
| | | | | minus 1.24% — | Corp — Monthly | |
| | | | | Monthly | | |
| 4,684 | 4,574 | — | 1/28/25 | Federal Funds | Hitachi Ltd — | 109 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 14,149 | 15,326 | — | 1/28/25 | Federal Funds | HLB Inc — | (1,260) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 5.25% — | | |
| | | | | Monthly | | |
| 1,582 | 1,520 | — | 1/28/25 | Federal Funds | Home Bancorp | 51 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 10,300 | 9,859 | — | 1/28/25 | Federal Funds | Homology | 439 |
| | | | | Effective Rate US | Medicines Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 38,745 | 36,684 | — | 1/28/25 | Federal Funds | Hooker Furniture | 2,058 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 17,674 | 17,481 | — | 1/28/25 | Federal Funds | Hormel Foods | 98 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 47,600 | 45,242 | — | 1/28/25 | Federal Funds | Hostess Brands | 2,353 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 9,515 | 9,212 | — | 1/28/25 | Federal Funds | House Do Co | 262 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 5.25% — | | |
| | | | | Monthly | | |
| 20,778 | 20,523 | — | 1/28/25 | Federal Funds | Huazhu Group Ltd | 252 |
| | | | | Effective Rate US | ADR — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 9,442 | 9,316 | — | 1/28/25 | Federal Funds | Hufvudstaden | 124 |
| | | | | Effective Rate US | AB — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
|
| 94 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $22,025 | $21,175 | $— | 1/28/25 | Federal Funds | Hulic Co Ltd — | $506 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 17,319 | 16,711 | — | 1/28/25 | Federal Funds | Hyatt Hotels | 607 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 6,347 | 6,260 | — | 1/28/25 | Federal Funds | Hyundai Heavy | (355) |
| | | | | Effective Rate US | Industries | |
| | | | | minus 0.40% — | Holdings Co Ltd — | |
| | | | | Monthly | Monthly | |
| 47,575 | 45,982 | — | 1/28/25 | Federal Funds | I3 Verticals Inc — | 1,588 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 17,849 | 17,354 | — | 1/28/25 | Federal Funds | IAA Inc — Monthly | 493 |
| | | | | Effective Rate US | | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 4,790 | 4,608 | — | 1/28/25 | Federal Funds | Ibstock PLC — | 182 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 57,431 | 51,440 | — | 1/28/25 | Federal Funds | Ichor Holdings | 5,986 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 18,279 | 17,165 | — | 1/28/25 | Federal Funds | ICON PLC — | 1,114 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 8,066 | 7,801 | — | 1/28/25�� | Federal Funds | IDEA Consultants | 110 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 1.75% — | | |
| | | | | Monthly | | |
| 17,407 | 17,577 | — | 1/28/25 | Federal Funds | IGNIS Ltd — | (258) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 8.25% — | | |
| | | | | Monthly | | |
| 1,016 | 985 | — | 1/28/25 | Federal Funds | iHeartMedia | 31 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 13,069 | 13,053 | — | 1/28/25 | Federal Funds | IHH Healthcare | (1) |
| | | | | Effective Rate US | Bhd — Monthly | |
| | | | | minus 3.00% — | | |
| | | | | Monthly | | |
| 4,349 | 4,563 | — | 1/28/25 | Federal Funds | Immunovia AB — | (233) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 35.38% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 95 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $87,930 | $81,955 | $— | 1/28/25 | Federal Funds | Independent | $5,613 |
| | | | | Effective Rate US | Bank Group Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 6,944 | 6,493 | — | 1/28/25 | Federal Funds | Indus Realty Trust | 238 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 17,203 | 17,275 | — | 1/28/25 | Federal Funds | Industries Qatar | (104) |
| | | | | Effective Rate US | QSC — Monthly | |
| | | | | minus 1.50% — | | |
| | | | | Monthly | | |
| 12,109 | 10,725 | — | 1/28/25 | Federal Funds | Innovative | 1,383 |
| | | | | Effective Rate US | Industrial | |
| | | | | minus 0.23% — | Properties Inc — | |
| | | | | Monthly | Monthly | |
| 4,791 | 4,641 | — | 1/28/25 | Federal Funds | Innoviva Inc — | 150 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 40,039 | 37,161 | — | 1/28/25 | Federal Funds | Inseego Corp — | 2,782 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 2.07% — | | |
| | | | | Monthly | | |
| 51,247 | 47,865 | — | 1/28/25 | Federal Funds | Intellicheck Inc — | 3,342 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 1.17% — | | |
| | | | | Monthly | | |
| 9,727 | 9,393 | — | 1/28/25 | Federal Funds | Inter Action | 330 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 4.00% — | | |
| | | | | Monthly | | |
| 40,586 | 38,956 | — | 1/28/25 | Federal Funds | InterContinental | 1,625 |
| | | | | Effective Rate US | Hotels Group | |
| | | | | minus 0.30% — | PLC — Monthly | |
| | | | | Monthly | | |
| 4,042 | 4,078 | — | 1/28/25 | Federal Funds | Intercure Ltd — | (36) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 6.50% — | | |
| | | | | Monthly | | |
| 13,800 | 13,320 | — | 1/28/25 | Federal Funds | International | 119 |
| | | | | Effective Rate US | Business | |
| | | | | minus 0.23% — | Machines Corp — | |
| | | | | Monthly | Monthly | |
| 12,340 | 11,654 | — | 1/28/25 | Federal Funds | Investar Holding | 641 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 23,534 | 22,268 | — | 1/28/25 | Federal Funds | Iovance | 1,263 |
| | | | | Effective Rate US | Biotherapeutics | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
|
| 96 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $20,566 | $20,234 | $— | 1/28/25 | Federal Funds | IPG Photonics | $332 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 6,914 | 7,042 | — | 1/28/25 | Federal Funds | iQIYI Inc ADR — | (129) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 9,430 | 9,062 | — | 1/28/25 | Federal Funds | Iriso Electronics | 366 |
| | | | | Effective Rate US | Co Ltd — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 4,960 | 4,754 | — | 1/28/25 | Federal Funds | Irongate Group — | 205 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 1.00% — | | |
| | | | | Monthly | | |
| 21,806 | 21,868 | — | 1/28/25 | Federal Funds | Isetan Mitsukoshi | (65) |
| | | | | Effective Rate US | Holdings Ltd — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
| 3,185 | 3,177 | — | 1/28/25 | Federal Funds | Ishikawa | (21) |
| | | | | Effective Rate US | Seisakusho Ltd — | |
| | | | | minus 10.00% — | Monthly | |
| | | | | Monthly | | |
| 19,733 | 19,722 | — | 1/28/25 | Federal Funds | iStar Inc — | (113) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 15,284 | 14,537 | — | 1/28/25 | Federal Funds | ITM Power PLC — | 738 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 5,343 | 5,310 | — | 1/28/25 | Federal Funds | Itokuro Inc — | (3) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 8.75% — | | |
| | | | | Monthly | | |
| 53,159 | 51,822 | — | 1/28/25 | Federal Funds | J Sainsbury | 1,333 |
| | | | | Effective Rate US | PLC — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 4,998 | 4,770 | — | 1/28/25 | Federal Funds | J. Front Retailing | 143 |
| | | | | Effective Rate US | Co Ltd — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 14,248 | 13,344 | — | 1/28/25 | Federal Funds | James Hardie | 564 |
| | | | | Effective Rate US | Industries PLC — | |
| | | | | minus 0.79% — | Monthly | |
| | | | | Monthly | | |
| 2,673 | 2,601 | — | 1/28/25 | Federal Funds | Japan Display | 67 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 2.25% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 97 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $21,166 | $20,614 | $— | 1/28/25 | Federal Funds | Jardine Matheson | $542 |
| | | | | Effective Rate US | Holdings Ltd — | |
| | | | | minus 0.68% — | Monthly | |
| | | | | Monthly | | |
| 40,806 | 39,358 | — | 1/28/25 | Federal Funds | JD Sports Fashion | 1,446 |
| | | | | Effective Rate US | PLC — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 3,155 | 3,085 | — | 1/28/25 | Federal Funds | JDC Corp — | 12 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 2,883 | 2,823 | — | 1/28/25 | Federal Funds | JINS Holdings | 53 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 3,520 | 3,531 | — | 1/28/25 | Federal Funds | Jollibee Foods | (18) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 2.50% — | | |
| | | | | Monthly | | |
| 7,526 | 7,335 | — | 1/28/25 | Federal Funds | JTEKT Corp — | 190 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 4,964 | 4,924 | — | 1/28/25 | Federal Funds | Juventus Football | 17 |
| | | | | Effective Rate US | Club SpA — | |
| | | | | minus 4.75% — | Monthly | |
| | | | | Monthly | | |
| 16,166 | 15,854 | — | 1/28/25 | Federal Funds | Kakaku.com | 309 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 24,318 | 20,437 | — | 1/28/25 | Federal Funds | Kaman Corp — | 3,878 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 6,725 | 6,319 | — | 1/28/25 | Federal Funds | Keikyu Corp — | 405 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 953 | 897 | — | 1/28/25 | Federal Funds | Kennametal Inc — | 52 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 30,233 | 29,330 | — | 1/28/25 | Federal Funds | Keurig Dr Pepper | 900 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 5,872 | 5,714 | — | 1/28/25 | Federal Funds | KeyHolder Inc — | 48 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 11.50% — | | |
| | | | | Monthly | | |
|
| 98 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $19,242 | $18,901 | $— | 1/28/25 | Federal Funds | Kingspan Group | $338 |
| | | | | Effective Rate US | PLC — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 14,655 | 14,644 | — | 1/28/25 | Federal Funds | Knorr-Bremse | 8 |
| | | | | Effective Rate US | AG — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 7,808 | 7,661 | — | 1/28/25 | Federal Funds | Koei Chemical Co | 144 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 14,821 | 14,492 | — | 1/28/25 | Federal Funds | Komax Holding | 296 |
| | | | | Effective Rate US | AG — Monthly | |
| | | | | minus 3.25% — | | |
| | | | | Monthly | | |
| 9,903 | 9,853 | — | 1/28/25 | Federal Funds | Komipharm | 46 |
| | | | | Effective Rate US | International Co | |
| | | | | minus 0.40% — | Ltd — Monthly | |
| | | | | Monthly | | |
| 56,731 | 53,827 | — | 1/28/25 | Federal Funds | Kontoor Brands | 2,899 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 5,932 | 5,595 | — | 1/28/25 | Federal Funds | Koolearn | 252 |
| | | | | Effective Rate US | Technology | |
| | | | | minus 12.75% — | Holding Ltd — | |
| | | | | Monthly | Monthly | |
| 10,695 | 10,521 | — | 1/28/25 | Federal Funds | Kornit Digital | 173 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 4,886 | 4,890 | — | 1/28/25 | Federal Funds | Kotobuki Spirits | (4) |
| | | | | Effective Rate US | Co Ltd — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 3,362 | 3,298 | — | 1/28/25 | Federal Funds | Kourakuen | 59 |
| | | | | Effective Rate US | Holdings Corp — | |
| | | | | minus 2.00% — | Monthly | |
| | | | | Monthly | | |
| 9,977 | 9,703 | — | 1/28/25 | Federal Funds | Krystal Biotech | 272 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 5,278 | 5,133 | — | 1/28/25 | Federal Funds | Kudan Inc — | 90 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 14.00% — | | |
| | | | | Monthly | | |
| 12,149 | 11,905 | — | 1/28/25 | Federal Funds | Kumiai Chemical | 127 |
| | | | | Effective Rate US | Industry Co Ltd — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 99 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $8,108 | $7,828 | $— | 1/28/25 | Federal Funds | Kuraray Co Ltd — | $150 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 22,525 | 22,183 | — | 1/28/25 | Federal Funds | Lancaster Colony | 339 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 4,214 | 4,194 | — | 1/28/25 | Federal Funds | Lannett Co Inc — | 20 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 13,351 | 12,896 | — | 1/28/25 | Federal Funds | Las Vegas Sands | 455 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 11,642 | 11,588 | — | 1/28/25 | Federal Funds | LDC SA — Monthly | 53 |
| | | | | Effective Rate US | | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 13,534 | 11,024 | — | 1/28/25 | Federal Funds | LendingTree Inc — | 2,508 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 2,182 | 2,137 | — | 1/28/25 | Federal Funds | Leopalace21 | 41 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 2.13% — | | |
| | | | | Monthly | | |
| 21,646 | 21,949 | — | 1/28/25 | Federal Funds | Liberty | (306) |
| | | | | Effective Rate US | Broadband | |
| | | | | minus 0.23% — | Corp — Monthly | |
| | | | | Monthly | | |
| 14,387 | 13,945 | — | 1/28/25 | Federal Funds | Liberty Media | 441 |
| | | | | Effective Rate US | Corp-Liberty | |
| | | | | minus 0.23% — | SiriusXM — | |
| | | | | Monthly | Monthly | |
| 9,930 | 9,828 | — | 1/28/25 | Federal Funds | Lifestyle | 100 |
| | | | | Effective Rate US | International | |
| | | | | minus 0.40% — | Holdings Ltd — | |
| | | | | Monthly | Monthly | |
| 1,176 | 1,125 | — | 1/28/25 | Federal Funds | Limelight | 51 |
| | | | | Effective Rate US | Networks Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 52,591 | 52,402 | — | 1/28/25 | Federal Funds | Lindsay Corp — | 80 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 14,087 | 13,531 | — | 1/28/25 | Federal Funds | Littelfuse Inc — | 555 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
|
| 100 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $30,857 | $30,301 | $— | 1/28/25 | Federal Funds | Live Nation | $553 |
| | | | | Effective Rate US | Entertainment | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 68,104 | 65,250 | — | 1/28/25 | Federal Funds | Live Oak | 2,848 |
| | | | | Effective Rate US | Bancshares Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 36,605 | 37,358 | — | 1/28/25 | Federal Funds | LiveXLive Media | (805) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 1.72% — | | |
| | | | | Monthly | | |
| 16,748 | 16,813 | — | 1/28/25 | Federal Funds | LIXIL Corp — | (68) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 18,238 | 17,307 | — | 1/28/25 | Federal Funds | Loews Corp — | 906 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 23,752 | 23,415 | — | 1/28/25 | Federal Funds | Lotte Shopping | (238) |
| | | | | Effective Rate US | Co Ltd — Monthly | |
| | | | | minus 0.40% — | | |
| | | | | Monthly | | |
| 19,293 | 17,962 | — | 1/28/25 | Federal Funds | M&T Bank Corp — | 1,199 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 23,808 | 21,458 | — | 1/28/25 | Federal Funds | Mack-Cali Realty | 2,348 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 52,980 | 50,515 | — | 1/28/25 | Federal Funds | MACOM | 2,460 |
| | | | | Effective Rate US | Technology | |
| | | | | minus 0.23% — | Solutions | |
| | | | | Monthly | Holdings Inc — | |
| | | | | | Monthly | |
| 24,021 | 23,659 | — | 1/28/25 | Federal Funds | Madison Square | 359 |
| | | | | Effective Rate US | Garden Sports | |
| | | | | minus 0.23% — | Corp — Monthly | |
| | | | | Monthly | | |
| 11,052 | 10,777 | — | 1/28/25 | Federal Funds | Maeda Kosen Co | 270 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.79% — | | |
| | | | | Monthly | | |
| 20,420 | 20,976 | — | 1/28/25 | Federal Funds | Malvern Bancorp | (580) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.62% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 101 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $4,884 | $4,638 | $— | 1/28/25 | Federal Funds | Mani Inc — | $224 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 51,978 | 49,631 | — | 1/28/25 | Federal Funds | MannKind Corp — | 2,343 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 32,999 | 30,715 | — | 1/28/25 | Federal Funds | Marker | 2,096 |
| | | | | Effective Rate US | Therapeutics | |
| | | | | minus 9.68% — | Inc — Monthly | |
| | | | | Monthly | | |
| 7,559 | 7,265 | — | 1/28/25 | Federal Funds | Maruwa Unyu | 282 |
| | | | | Effective Rate US | Kikan Co Ltd — | |
| | | | | minus 2.03% — | Monthly | |
| | | | | Monthly | | |
| 58,964 | 57,791 | — | 1/28/25 | Federal Funds | Marvell | 1,166 |
| | | | | Effective Rate US | Technology | |
| | | | | minus 0.23% — | Group Ltd — | |
| | | | | Monthly | Monthly | |
| 12,885 | 12,451 | — | 1/28/25 | Federal Funds | Matsuya Co Ltd — | 432 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 843 | 839 | — | 1/28/25 | Federal Funds | Maui Land & | 3 |
| | | | | Effective Rate US | Pineapple Co | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 14,364 | 15,073 | — | 1/28/25 | Federal Funds | Maxar | (710) |
| | | | | Effective Rate US | Technologies | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 14,077 | 13,990 | — | 1/28/25 | Federal Funds | McCormick & Co | 85 |
| | | | | Effective Rate US | Inc/MD — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 17,275 | 16,697 | — | 1/28/25 | Federal Funds | McDonald’s | 471 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 11,207 | 11,244 | — | 1/28/25 | Federal Funds | McDonald’s | (118) |
| | | | | Effective Rate US | Holdings Co | |
| | | | | minus 0.30% — | Japan Ltd — | |
| | | | | Monthly | Monthly | |
| 27,312 | 25,070 | — | 1/28/25 | Federal Funds | Medallia Inc — | 2,238 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 51,617 | 49,586 | — | 1/28/25 | Federal Funds | Medifast Inc — | 1,681 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
|
| 102 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $23,783 | $24,240 | $— | 1/28/25 | Federal Funds | Melexis NV — | $(461) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 5,511 | 5,333 | — | 1/28/25 | Federal Funds | Mereo Biopharma | 154 |
| | | | | Effective Rate US | Group PLC ADR — | |
| | | | | minus 25.57% — | Monthly | |
| | | | | Monthly | | |
| 32,978 | 31,438 | — | 1/28/25 | Federal Funds | Metrocity | 1,289 |
| | | | | Effective Rate US | Bankshares Inc — | |
| | | | | minus 1.17% — | Monthly | |
| | | | | Monthly | | |
| 12,519 | 12,118 | — | 1/28/25 | Federal Funds | Meyer Burger | 386 |
| | | | | Effective Rate US | Technology AG — | |
| | | | | minus 2.13% — | Monthly | |
| | | | | Monthly | | |
| 13,638 | 14,275 | — | 1/28/25 | Federal Funds | MGM China | (651) |
| | | | | Effective Rate US | Holdings Ltd — | |
| | | | | minus 1.50% — | Monthly | |
| | | | | Monthly | | |
| 44,600 | 41,011 | — | 1/28/25 | Federal Funds | MGP Ingredients | 3,585 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 33,323 | 33,639 | — | 1/28/25 | Federal Funds | Midland States | (703) |
| | | | | Effective Rate US | Bancorp Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 55,199 | 53,692 | — | 1/28/25 | Federal Funds | Milestone | 1,268 |
| | | | | Effective Rate US | Scientific Inc — | |
| | | | | minus 5.88% — | Monthly | |
| | | | | Monthly | | |
| 7,536 | 7,360 | — | 1/28/25 | Federal Funds | MinebeaMitsumi | 175 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 10,050 | 9,938 | — | 1/28/25 | Federal Funds | Minor | 103 |
| | | | | Effective Rate US | International | |
| | | | | minus 1.50% — | PCL — Monthly | |
| | | | | Monthly | | |
| 11,248 | 10,976 | — | 1/28/25 | Federal Funds | MISUMI Group | 270 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 38,729 | 36,021 | — | 1/28/25 | Federal Funds | Mitchells & | 2,704 |
| | | | | Effective Rate US | Butlers PLC — | |
| | | | | minus 0.56% — | Monthly | |
| | | | | Monthly | | |
| 5,268 | 4,331 | — | 1/28/25 | Federal Funds | Mitchells & | 938 |
| | | | | Effective Rate US | Butlers PLC | |
| | | | | minus 0.00% — | (Rights) — | |
| | | | | Monthly | Monthly | |
|
| PanAgora Market Neutral Fund 103 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $14,065 | $14,166 | $— | 1/28/25 | Federal Funds | Mitsubishi Motors | $(103) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 4,499 | 4,245 | — | 1/28/25 | Federal Funds | MJ Gleeson PLC — | 253 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 15,919 | 15,576 | — | 1/28/25 | Federal Funds | Mondelez | 341 |
| | | | | Effective Rate US | International | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 27,472 | 26,629 | — | 1/28/25 | Federal Funds | MongoDB Inc — | 840 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 22,628 | 22,162 | — | 1/28/25 | Federal Funds | MonotaRO Co | 425 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 51,870 | 49,468 | — | 1/28/25 | Federal Funds | Monro Inc — | 2,397 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 23,053 | 22,170 | — | 1/28/25 | Federal Funds | Mowi ASA — | 845 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 12,553 | 11,885 | — | 1/28/25 | Federal Funds | MTU Aero Engines | 666 |
| | | | | Effective Rate US | AG — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 2,531 | 2,458 | — | 1/28/25 | Federal Funds | Nagaileben Co | 72 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 2,450 | 2,411 | — | 1/28/25 | Federal Funds | Nankai Electric | 38 |
| | | | | Effective Rate US | Railway Co Ltd — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
| 27,535 | 25,346 | — | 1/28/25 | Federal Funds | NantHealth Inc — | 2,074 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 5.91% — | | |
| | | | | Monthly | | |
| 13,876 | 13,859 | — | 1/28/25 | Federal Funds | Nanya | 12 |
| | | | | Effective Rate US | Technology | |
| | | | | minus 0.40% — | Corp — Monthly | |
| | | | | Monthly | | |
| 36,526 | 35,415 | — | 1/28/25 | Federal Funds | National | 1,107 |
| | | | | Effective Rate US | Bankshares Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
|
| 104 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $22,635 | $21,934 | $— | 1/28/25 | Federal Funds | National | $566 |
| | | | | Effective Rate US | Instruments | |
| | | | | minus 0.23% — | Corp — Monthly | |
| | | | | Monthly | | |
| 4,526 | 4,385 | — | 1/28/25 | Federal Funds | Natuzzi SpA | 112 |
| | | | | Effective Rate US | ADR — Monthly | |
| | | | | minus 32.37% — | | |
| | | | | Monthly | | |
| 21,450 | 20,300 | — | 1/28/25 | Federal Funds | NCR Corp — | 1,148 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 18,876 | 18,687 | — | 1/28/25 | Federal Funds | Netmarble | 28 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 2.75% — | | |
| | | | | Monthly | | |
| 5,134 | 4,760 | — | 1/28/25 | Federal Funds | Network | 373 |
| | | | | Effective Rate US | International | |
| | | | | minus 0.30% — | Holdings PLC — | |
| | | | | Monthly | Monthly | |
| 33,282 | 30,821 | — | 1/28/25 | Federal Funds | NewAge Inc — | 2,408 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 2.32% — | | |
| | | | | Monthly | | |
| 19,453 | 19,257 | — | 1/28/25 | Federal Funds | Nexstar Media | 97 |
| | | | | Effective Rate US | Group Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 39,561 | 38,444 | — | 1/28/25 | Federal Funds | Next PLC — | 1,111 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 17,682 | 17,445 | — | 1/28/25 | Federal Funds | Nice Ltd ADR — | 235 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 4,929 | 4,676 | — | 1/28/25 | Federal Funds | Niitaka Co Ltd — | 253 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 1.88% — | | |
| | | | | Monthly | | |
| 7,227 | 7,058 | — | 1/28/25 | Federal Funds | Nippon Densetsu | 167 |
| | | | | Effective Rate US | Kogyo Co Ltd — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
| 9,115 | 9,287 | — | 1/28/25 | Federal Funds | Nippon Rietec Co | (228) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 8.00% — | | |
| | | | | Monthly | | |
| 11,617 | 11,252 | — | 1/28/25 | Federal Funds | Nippon Sanso | 363 |
| | | | | Effective Rate US | Holdings Corp — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 105 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $16,595 | $16,174 | $— | 1/28/25 | Federal Funds | Nissan Motor Co | $418 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 32,285 | 27,941 | — | 1/28/25 | Federal Funds | NN Inc — Monthly | 4,341 |
| | | | | Effective Rate US | | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 8,310 | 8,063 | — | 1/28/25 | Federal Funds | Nokia Oyj ADR — | 231 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 20,362 | 19,714 | — | 1/28/25 | Federal Funds | Northfield | 488 |
| | | | | Effective Rate US | Bancorp Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 39,170 | 38,223 | — | 1/28/25 | Federal Funds | Northwest | 429 |
| | | | | Effective Rate US | Bancshares Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 16,109 | 16,320 | — | 1/28/25 | Federal Funds | Norwood | (403) |
| | | | | Effective Rate US | Financial Corp — | |
| | | | | minus 0.57% — | Monthly | |
| | | | | Monthly | | |
| 4,911 | 4,704 | — | 1/28/25 | Federal Funds | Nova Measuring | 207 |
| | | | | Effective Rate US | Instruments | |
| | | | | minus 0.23% — | Ltd — Monthly | |
| | | | | Monthly | | |
| 51,698 | 49,491 | — | 1/28/25 | Federal Funds | Novanta Inc — | 2,201 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 7,452 | 7,476 | — | 1/28/25 | Federal Funds | Novozymes A/S — | (26) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 7,660 | 7,622 | — | 1/28/25 | Federal Funds | NTT Data Corp — | 37 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 53,269 | 50,907 | — | 1/28/25 | Federal Funds | NV5 Global Inc — | 2,356 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 7,184 | 7,139 | — | 1/28/25 | Federal Funds | Obara Group | 37 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 1.13% — | | |
| | | | | Monthly | | |
| 19,120 | 18,176 | — | 1/28/25 | Federal Funds | Ocado Group | 940 |
| | | | | Effective Rate US | PLC — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
|
| 106 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $1,197 | $1,152 | $— | 1/28/25 | Federal Funds | OceanFirst | $36 |
| | | | | Effective Rate US | Financial Corp — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 6,051 | 5,845 | — | 1/28/25 | Federal Funds | Odakyu Electric | 205 |
| | | | | Effective Rate US | Railway Co Ltd — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
| 2,903 | 2,767 | — | 1/28/25 | Federal Funds | Odawara | 133 |
| | | | | Effective Rate US | Engineering Co | |
| | | | | minus 7.25% — | Ltd — Monthly | |
| | | | | Monthly | | |
| 41,902 | 40,783 | — | 1/28/25 | Federal Funds | OFG Bancorp — | 1,115 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 18,966 | 17,942 | — | 1/28/25 | Federal Funds | Ollie’s Bargain | 1,022 |
| | | | | Effective Rate US | Outlet Holdings | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 19,521 | 17,308 | — | 1/28/25 | Federal Funds | Omeros Corp — | 2,196 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 1.42% — | | |
| | | | | Monthly | | |
| 18,996 | 18,420 | — | 1/28/25 | Federal Funds | Omnicom Group | 575 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 17,484 | 17,316 | — | 1/28/25 | Federal Funds | ON | 166 |
| | | | | Effective Rate US | Semiconductor | |
| | | | | minus 0.23% — | Corp — Monthly | |
| | | | | Monthly | | |
| 37,083 | 35,458 | — | 1/28/25 | Federal Funds | OneSpaWorld | 1,622 |
| | | | | Effective Rate US | Holdings Ltd — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 54,227 | 51,592 | — | 1/28/25 | Federal Funds | Onto Innovation | 2,630 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 16,493 | 16,181 | — | 1/28/25 | Federal Funds | Open Door Inc — | 283 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 3.00% — | | |
| | | | | Monthly | | |
| 10,657 | 10,132 | — | 1/28/25 | Federal Funds | Oracle Corp | 524 |
| | | | | Effective Rate US | Japan — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 3,692 | 3,708 | — | 1/28/25 | Federal Funds | Orchard | (16) |
| | | | | Effective Rate US | Therapeutics PLC | |
| | | | | minus 0.23% — | ADR — Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 107 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $51,444 | $53,630 | $— | 1/28/25 | Federal Funds | Organogenesis | $(2,230) |
| | | | | Effective Rate US | Holdings Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 32,816 | 30,921 | — | 1/28/25 | Federal Funds | Orgenesis Inc — | 1,863 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 1.37% — | | |
| | | | | Monthly | | |
| 15,013 | 14,561 | — | 1/28/25 | Federal Funds | Oriental Land | 450 |
| | | | | Effective Rate US | Co Ltd/Japan — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
| 754 | 689 | — | 1/28/25 | Federal Funds | Orion Energy | 65 |
| | | | | Effective Rate US | Systems Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 9,350 | 8,932 | — | 1/28/25 | Federal Funds | Oro Co Ltd — | 412 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 4.63% — | | |
| | | | | Monthly | | |
| 9,166 | 8,954 | — | 1/28/25 | Federal Funds | OSG Corp — | 157 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 58,618 | 55,884 | — | 1/28/25 | Federal Funds | Oxford Industries | 2,522 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 5,041 | 4,841 | — | 1/28/25 | Federal Funds | Pack Corp/The — | 200 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 8,922 | 8,723 | — | 1/28/25 | Federal Funds | Pact Group | 59 |
| | | | | Effective Rate US | Holdings Ltd — | |
| | | | | minus 0.45% — | Monthly | |
| | | | | Monthly | | |
| 1,417 | 1,392 | — | 1/28/25 | Federal Funds | PAM | 24 |
| | | | | Effective Rate US | Transportation | |
| | | | | minus 0.23% — | Services Inc — | |
| | | | | Monthly | Monthly | |
| 22,911 | 22,751 | — | 1/28/25 | Federal Funds | Pan Pacific | 128 |
| | | | | Effective Rate US | International | |
| | | | | minus 0.30% — | Holdings Corp — | |
| | | | | Monthly | Monthly | |
| 54,721 | 55,082 | — | 1/28/25 | Federal Funds | PAR Technology | (366) |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 13,662 | 13,583 | — | 1/28/25 | Federal Funds | Park24 Co Ltd — | 77 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
|
| 108 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $956 | $929 | $— | 1/28/25 | Federal Funds | Parsons Corp — | $27 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 19,079 | 18,920 | — | 1/28/25 | Federal Funds | Partners | 135 |
| | | | | Effective Rate US | Bancorp — | |
| | | | | minus 2.57% — | Monthly | |
| | | | | Monthly | | |
| 47,736 | 42,840 | — | 1/28/25 | Federal Funds | PAVmed Inc — | 4,771 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 7.08% — | | |
| | | | | Monthly | | |
| 5,429 | 5,141 | — | 1/28/25 | Federal Funds | PDL Community | 287 |
| | | | | Effective Rate US | Bancorp — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 30,640 | 29,454 | — | 1/28/25 | Federal Funds | Penns Woods | 1,183 |
| | | | | Effective Rate US | Bancorp Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 27,155 | 26,580 | — | 1/28/25 | Federal Funds | Penske | 404 |
| | | | | Effective Rate US | Automotive | |
| | | | | minus 0.23% — | Group Inc — | |
| | | | | Monthly | Monthly | |
| 4,890 | 4,756 | — | 1/28/25 | Federal Funds | PeptiDream Inc — | 133 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 8,284 | 7,907 | — | 1/28/25 | Federal Funds | Persol Holdings | 376 |
| | | | | Effective Rate US | Co Ltd — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 18,037 | 17,308 | — | 1/28/25 | Federal Funds | Philip Morris | 728 |
| | | | | Effective Rate US | International | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 40,659 | 39,567 | — | 1/28/25 | Federal Funds | Phoenix Group | 1,087 |
| | | | | Effective Rate US | Holdings PLC — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
| 6,157 | 5,886 | — | 1/28/25 | Federal Funds | PICO Holdings | 270 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 11,656 | 11,125 | — | 1/28/25 | Federal Funds | Pinduoduo Inc | 529 |
| | | | | Effective Rate US | ADR — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 13,556 | 13,007 | — | 1/28/25 | Federal Funds | Ping An | 544 |
| | | | | Effective Rate US | Healthcare and | |
| | | | | minus 1.00% — | Technology Co | |
| | | | | Monthly | Ltd — Monthly | |
|
| PanAgora Market Neutral Fund 109 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $875 | $633 | $— | 1/28/25 | Federal Funds | Ping Identity | $242 |
| | | | | Effective Rate US | Holding Corp — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 1,737 | 1,587 | — | 1/28/25 | Federal Funds | Pixelworks Inc — | 150 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 26,072 | 25,310 | — | 1/28/25 | Federal Funds | Planet Fitness | 759 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 7,411 | 6,556 | — | 1/28/25 | Federal Funds | PointsBet | 843 |
| | | | | Effective Rate US | Holdings Ltd — | |
| | | | | minus 2.13% — | Monthly | |
| | | | | Monthly | | |
| 175 | 158 | — | 1/28/25 | Federal Funds | PointsBet | 16 |
| | | | | Effective Rate US | Holdings Ltd | |
| | | | | minus 7.13% — | (Warrants) — | |
| | | | | Monthly | Monthly | |
| 11,791 | 11,410 | — | 1/28/25 | Federal Funds | PolyNovo Ltd — | 377 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.45% — | | |
| | | | | Monthly | | |
| 18,183 | 18,001 | — | 1/28/25 | Federal Funds | POSCO Chemical | 33 |
| | | | | Effective Rate US | Co Ltd — Monthly | |
| | | | | minus 2.75% — | | |
| | | | | Monthly | | |
| 9,127 | 8,934 | — | 1/28/25 | Federal Funds | Post Holdings | 192 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 26,433 | 26,774 | — | 1/28/25 | Federal Funds | PRADA SpA — | (349) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.40% — | | |
| | | | | Monthly | | |
| 17,158 | 16,978 | — | 1/28/25 | Federal Funds | Premier Inc — | 83 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 32,099 | 31,825 | — | 1/28/25 | Federal Funds | Prestige | 271 |
| | | | | Effective Rate US | Consumer | |
| | | | | minus 0.23% — | Healthcare Inc — | |
| | | | | Monthly | Monthly | |
| 19,888 | 18,615 | — | 1/28/25 | Federal Funds | Principal | 1,087 |
| | | | | Effective Rate US | Financial Group | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 6,608 | 6,529 | — | 1/28/25 | Federal Funds | Prored Partners | 49 |
| | | | | Effective Rate US | Co Ltd — Monthly | |
| | | | | minus 5.25% — | | |
| | | | | Monthly | | |
|
| 110 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $44,711 | $43,717 | $— | 1/28/25 | Federal Funds | Provident | $493 |
| | | | | Effective Rate US | Financial Services | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 18,254 | 16,883 | — | 1/28/25 | Federal Funds | Prudential | 1,364 |
| | | | | Effective Rate US | Bancorp Inc — | |
| | | | | minus 0.57% — | Monthly | |
| | | | | Monthly | | |
| 20,387 | 20,500 | — | 1/28/25 | Federal Funds | QTS Realty Trust | (115) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 1,201 | 1,181 | — | 1/28/25 | Federal Funds | Quotient | 20 |
| | | | | Effective Rate US | Technology Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 52,380 | 52,060 | — | 1/28/25 | Federal Funds | Rafael Holdings | 316 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 3,597 | 3,480 | — | 1/28/25 | Federal Funds | Raksul Inc — | 105 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 4.00% — | | |
| | | | | Monthly | | |
| 4,234 | 4,226 | — | 1/28/25 | Federal Funds | Ramsay Generale | (9) |
| | | | | Effective Rate US | de Sante — | |
| | | | | minus 5.25% — | Monthly | |
| | | | | Monthly | | |
| 21,775 | 19,911 | — | 1/28/25 | Federal Funds | RAPT | 1,862 |
| | | | | Effective Rate US | Therapeutics | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 51,527 | 50,518 | — | 1/28/25 | Federal Funds | RealReal Inc/ | 1,004 |
| | | | | Effective Rate US | The — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 21,348 | 20,662 | — | 1/28/25 | Federal Funds | Reata | 684 |
| | | | | Effective Rate US | Pharmaceuticals | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 10,034 | 10,115 | — | 1/28/25 | Federal Funds | Reckitt Benckiser | (83) |
| | | | | Effective Rate US | Group PLC — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
| 5,189 | 4,954 | — | 1/28/25 | Federal Funds | Recruit Holdings | 234 |
| | | | | Effective Rate US | Co Ltd — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 24,523 | 23,432 | — | 1/28/25 | Federal Funds | Red Violet Inc — | 1,054 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 2.27% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 111 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $63,415 | $58,950 | $— | 1/28/25 | Federal Funds | Regis Corp — | $4,453 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 24,891 | 24,138 | — | 1/28/25 | Federal Funds | Relmada | 744 |
| | | | | Effective Rate US | Therapeutics | |
| | | | | minus 0.72% — | Inc — Monthly | |
| | | | | Monthly | | |
| 23,729 | 23,030 | — | 1/28/25 | Federal Funds | Renesas | 694 |
| | | | | Effective Rate US | Electronics | |
| | | | | minus 0.30% — | Corp — Monthly | |
| | | | | Monthly | | |
| 11,210 | 11,044 | — | 1/28/25 | Federal Funds | Repligen Corp — | 165 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 42,844 | 39,025 | — | 1/28/25 | Federal Funds | Resonant Inc — | 3,674 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 4.17% — | | |
| | | | | Monthly | | |
| 65,527 | 63,018 | — | 1/28/25 | Federal Funds | Restaurant | 2,503 |
| | | | | Effective Rate US | Group PLC/The — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
| 9,534 | 9,198 | — | 1/28/25 | Federal Funds | Retail Estates | 335 |
| | | | | Effective Rate US | NV — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 58,619 | 55,704 | — | 1/28/25 | Federal Funds | REV Group Inc — | 2,910 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 2,581 | 2,209 | — | 1/28/25 | Federal Funds | Roadrunner | 368 |
| | | | | Effective Rate US | Transportation | |
| | | | | minus 2.55% — | Systems Inc — | |
| | | | | Monthly | Monthly | |
| 4,355 | 4,247 | — | 1/28/25 | Federal Funds | Rock Field Co | 106 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.75% — | | |
| | | | | Monthly | | |
| 15,811 | 15,570 | — | 1/28/25 | Federal Funds | Rockwell | 170 |
| | | | | Effective Rate US | Automation Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 7,827 | 7,092 | — | 1/28/25 | Federal Funds | Rockwell Medical | 726 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 1.82% — | | |
| | | | | Monthly | | |
| 16,524 | 15,457 | — | 1/28/25 | Federal Funds | Rollins Inc — | 1,066 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
|
| 112 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $17,426 | $17,371 | $— | 1/28/25 | Federal Funds | Roper | $53 |
| | | | | Effective Rate US | Technologies | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 27,404 | 27,081 | — | 1/28/25 | Federal Funds | RSA Insurance | 318 |
| | | | | Effective Rate US | Group PLC — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
| 19,062 | 17,698 | — | 1/28/25 | Federal Funds | Rubius | 1,347 |
| | | | | Effective Rate US | Therapeutics | |
| | | | | minus 0.82% — | Inc — Monthly | |
| | | | | Monthly | | |
| 13,251 | 13,446 | — | 1/28/25 | Federal Funds | Ruentex | (211) |
| | | | | Effective Rate US | Industries Ltd — | |
| | | | | minus 1.50% — | Monthly | |
| | | | | Monthly | | |
| 30,217 | 29,347 | — | 1/28/25 | Federal Funds | Ryanair Holdings | 866 |
| | | | | Effective Rate US | PLC — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 19,907 | 19,762 | — | 1/28/25 | Federal Funds | S&P Global Inc — | 98 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 34,447 | 33,530 | — | 1/28/25 | Federal Funds | S&T Bancorp | 589 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 820 | 826 | — | 1/28/25 | Federal Funds | Safeguard | (7) |
| | | | | Effective Rate US | Scientifics Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 32,046 | 29,814 | — | 1/28/25 | Federal Funds | Safehold Inc — | 2,229 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 14,428 | 12,990 | — | 1/28/25 | Federal Funds | salesforce.com | 1,438 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 1,737 | 1,674 | — | 1/28/25 | Federal Funds | Sally Beauty | 62 |
| | | | | Effective Rate US | Holdings Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 17,735 | 17,692 | — | 1/28/25 | Federal Funds | Samsung Heavy | 38 |
| | | | | Effective Rate US | Industries Co | |
| | | | | minus 0.40% — | Ltd — Monthly | |
| | | | | Monthly | | |
| 46,427 | 44,645 | — | 1/28/25 | Federal Funds | Sandy Spring | 1,397 |
| | | | | Effective Rate US | Bancorp Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 113 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $8,401 | $8,166 | $— | 1/28/25 | Federal Funds | Sanrio Co Ltd — | $232 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 5,420 | 4,989 | — | 1/28/25 | Federal Funds | SAS AB — Monthly | 429 |
| | | | | Effective Rate US | | |
| | | | | minus 5.00% — | | |
| | | | | Monthly | | |
| 4,574 | 4,484 | — | 1/28/25 | Federal Funds | Sawai | 89 |
| | | | | Effective Rate US | Pharmaceutical | |
| | | | | minus 0.30% — | Co Ltd — Monthly | |
| | | | | Monthly | | |
| 4,608 | 4,276 | — | 1/28/25 | Federal Funds | Scandinavian | 316 |
| | | | | Effective Rate US | Enviro Systems | |
| | | | | minus 32.63% — | AB — Monthly | |
| | | | | Monthly | | |
| 13,082 | 13,262 | — | 1/28/25 | Federal Funds | scPharmaceu- | (181) |
| | | | | Effective Rate US | ticals Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 6,410 | 6,098 | — | 1/28/25 | Federal Funds | SEC Carbon Ltd — | 283 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 5.25% — | | |
| | | | | Monthly | | |
| 7,764 | 7,589 | — | 1/28/25 | Federal Funds | Securitas AB — | 174 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 4,338 | 4,337 | — | 1/28/25 | Federal Funds | Sedana Medical | 2 |
| | | | | Effective Rate US | AB — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 10,815 | 11,158 | — | 1/28/25 | Federal Funds | Sembcorp | (361) |
| | | | | Effective Rate US | Industries Ltd — | |
| | | | | minus 2.13% — | Monthly | |
| | | | | Monthly | | |
| 6,588 | 6,567 | — | 1/28/25 | Federal Funds | Sembcorp Marine | 8 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 2.25% — | | |
| | | | | Monthly | | |
| 11,453 | 11,027 | — | 1/28/25 | Federal Funds | Senior PLC — | 424 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 9,881 | 9,550 | — | 1/28/25 | Federal Funds | Seritage Growth | 322 |
| | | | | Effective Rate US | Properties — | |
| | | | | minus 1.17% — | Monthly | |
| | | | | Monthly | | |
| 4,234 | 3,875 | — | 1/28/25 | Federal Funds | Serverworks Co | 313 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 10.88% — | | |
| | | | | Monthly | | |
|
| 114 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $4,403 | $4,107 | $— | 1/28/25 | Federal Funds | SFC Energy AG — | $293 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 7.13% — | | |
| | | | | Monthly | | |
| 13,156 | 13,219 | — | 1/28/25 | Federal Funds | Sharp Corp/ | (67) |
| | | | | Effective Rate US | Japan — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 13,450 | 13,555 | — | 1/28/25 | Federal Funds | Shenzhen | (120) |
| | | | | Effective Rate US | Expressway Co | |
| | | | | minus 1.50% — | Ltd — Monthly | |
| | | | | Monthly | | |
| 4,382 | 4,312 | — | 1/28/25 | Federal Funds | Shima Seiki | 70 |
| | | | | Effective Rate US | Manufacturing | |
| | | | | minus 0.30% — | Ltd — Monthly | |
| | | | | Monthly | | |
| 50,290 | 46,587 | — | 1/28/25 | Federal Funds | Shockwave | 3,697 |
| | | | | Effective Rate US | Medical Inc — | |
| | | | | minus 0.62% — | Monthly | |
| | | | | Monthly | | |
| 2,707 | 2,648 | — | 1/28/25 | Federal Funds | Shoei Foods | 39 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 1.13% — | | |
| | | | | Monthly | | |
| 6,687 | 6,807 | — | 1/28/25 | Federal Funds | Shop Apotheke | (128) |
| | | | | Effective Rate US | Europe NV — | |
| | | | | minus 1.50% — | Monthly | |
| | | | | Monthly | | |
| 15,601 | 15,726 | — | 1/28/25 | Federal Funds | Shui On Land | (131) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.40% — | | |
| | | | | Monthly | | |
| 17,800 | 17,949 | — | 1/28/25 | Federal Funds | Siemens Gamesa | (153) |
| | | | | Effective Rate US | Renewable | |
| | | | | minus 0.30% — | Energy SA — | |
| | | | | Monthly | Monthly | |
| 6,227 | 6,055 | — | 1/28/25 | Federal Funds | SIGA | 172 |
| | | | | Effective Rate US | Technologies | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 14,015 | 13,537 | — | 1/28/25 | Federal Funds | Signature Bank/ | 478 |
| | | | | Effective Rate US | New York NY — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 928 | 900 | — | 1/28/25 | Federal Funds | Silverlake Axis | 27 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 1.50% — | | |
| | | | | Monthly | | |
| 1,270 | 1,230 | — | 1/28/25 | Federal Funds | Simmons First | 40 |
| | | | | Effective Rate US | National Corp — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 115 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $30,350 | $30,133 | $— | 1/28/25 | Federal Funds | Simply Good | $214 |
| | | | | Effective Rate US | Foods Co/The — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 11,369 | 11,951 | — | 1/28/25 | Federal Funds | Singapore Airlines | (587) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.79% — | | |
| | | | | Monthly | | |
| 20,203 | 19,320 | — | 1/28/25 | Federal Funds | Sinopec Shanghai | 685 |
| | | | | Effective Rate US | Petrochemical | |
| | | | | minus 16.17% — | Co Ltd ADR — | |
| | | | | Monthly | Monthly | |
| 697 | 585 | — | 1/28/25 | Federal Funds | SiTime Corp — | 112 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 20,220 | 19,493 | — | 1/28/25 | Federal Funds | SJM Holdings | 723 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.40% — | | |
| | | | | Monthly | | |
| 19,010 | 18,300 | — | 1/28/25 | Federal Funds | Skechers USA | 709 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 12,568 | 12,215 | — | 1/28/25 | Federal Funds | SkiStar AB — | 350 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 3,699 | 3,461 | — | 1/28/25 | Federal Funds | SLM Solutions | 236 |
| | | | | Effective Rate US | Group AG — | |
| | | | | minus 3.75% — | Monthly | |
| | | | | Monthly | | |
| 9,345 | 9,475 | — | 1/28/25 | Federal Funds | Smaregi Inc — | (237) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 15.00% — | | |
| | | | | Monthly | | |
| 60,971 | 57,382 | — | 1/28/25 | Federal Funds | SMART Global | 3,583 |
| | | | | Effective Rate US | Holdings Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 10,818 | 11,122 | — | 1/28/25 | Federal Funds | Smart Metering | (423) |
| | | | | Effective Rate US | Systems PLC — | |
| | | | | minus 2.75% — | Monthly | |
| | | | | Monthly | | |
| 25,525 | 23,822 | — | 1/28/25 | Federal Funds | Smartsheet Inc — | 1,700 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 6,696 | 6,491 | — | 1/28/25 | Federal Funds | SMC Corp — | 204 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
|
| 116 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $19,989 | $20,160 | $— | 1/28/25 | Federal Funds | Snow Peak Inc — | $(308) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 2.50% — | | |
| | | | | Monthly | | |
| 11,463 | 11,507 | — | 1/28/25 | Federal Funds | SOHO China | (66) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 2.75% — | | |
| | | | | Monthly | | |
| 16,332 | 15,810 | — | 1/28/25 | Federal Funds | SolarEdge | 520 |
| | | | | Effective Rate US | Technologies | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 5,041 | 5,025 | — | 1/28/25 | Federal Funds | SOSiLA Logistics | 16 |
| | | | | Effective Rate US | REIT Inc — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
| 2,349 | 2,315 | — | 1/28/25 | Federal Funds | Sotetsu Holdings | 33 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 3,645 | 3,478 | — | 1/28/25 | Federal Funds | Sourcenext | 158 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 3.75% — | | |
| | | | | Monthly | | |
| 45,817 | 45,752 | — | 1/28/25 | Federal Funds | Southern | (263) |
| | | | | Effective Rate US | National Bancorp | |
| | | | | minus 0.23% — | of Virginia Inc — | |
| | | | | Monthly | Monthly | |
| 631,486 | 613,140 | — | 1/28/25 | Federal Funds | SPDR S&P 500 | 18,120 |
| | | | | Effective Rate US | ETF Trust — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 3,678 | 3,512 | — | 1/28/25 | Federal Funds | Splitit Ltd — | 132 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 10.00% — | | |
| | | | | Monthly | | |
| 22,090 | 20,287 | — | 1/28/25 | Federal Funds | Spotify | 1,800 |
| | | | | Effective Rate US | Technology SA — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 46,400 | 46,015 | — | 1/28/25 | Federal Funds | SSP Group Plc — | 380 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 49,475 | 48,266 | — | 1/28/25 | Federal Funds | St Joe Co/The — | 1,203 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 19,287 | 18,808 | — | 1/28/25 | Federal Funds | Stagecoach | 477 |
| | | | | Effective Rate US | Group PLC — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 117 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $18,580 | $19,229 | $— | 1/28/25 | Federal Funds | Starbucks Corp — | $(732) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 46,830 | 46,487 | — | 1/28/25 | Federal Funds | StarTek Inc — | 336 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 24,464 | 23,094 | — | 1/28/25 | Federal Funds | Stericycle Inc — | 1,368 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 1,165 | 1,151 | — | 1/28/25 | Federal Funds | Sterling Bancorp | 13 |
| | | | | Effective Rate US | Inc/MI — Monthly | |
| | | | | minus 0.57% — | | |
| | | | | Monthly | | |
| 10,062 | 9,583 | — | 1/28/25 | Federal Funds | Sterling Bancorp/ | 478 |
| | | | | Effective Rate US | DE — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 50,289 | 47,633 | — | 1/28/25 | Federal Funds | Sterling | 2,651 |
| | | | | Effective Rate US | Construction Co | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 45,316 | 47,770 | — | 1/28/25 | Federal Funds | Stitch Fix Inc — | (2,461) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 38,251 | 37,791 | — | 1/28/25 | Federal Funds | Stoke | 456 |
| | | | | Effective Rate US | Therapeutics | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 32,028 | 31,235 | — | 1/28/25 | Federal Funds | StoneCo Ltd — | 791 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 13,290 | 13,021 | — | 1/28/25 | Federal Funds | Storytel AB — | 230 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 3.75% — | | |
| | | | | Monthly | | |
| 1,420 | 1,312 | — | 1/28/25 | Federal Funds | Stratus | 108 |
| | | | | Effective Rate US | Properties Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 22,939 | 22,621 | — | 1/28/25 | Federal Funds | Sumitomo | 314 |
| | | | | Effective Rate US | Bakelite Co Ltd — | |
| | | | | minus 0.30% — | Monthly | |
| | | | | Monthly | | |
| 4,180 | 3,852 | — | 1/28/25 | Federal Funds | Summit Ascent | 327 |
| | | | | Effective Rate US | Holdings Ltd — | |
| | | | | minus 1.38% — | Monthly | |
| | | | | Monthly | | |
|
| 118 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $4,965 | $4,706 | $— | 1/28/25 | Federal Funds | Suncity Group | $206 |
| | | | | Effective Rate US | Holdings Ltd — | |
| | | | | minus 20.35% — | Monthly | |
| | | | | Monthly | | |
| 2,284 | 2,227 | — | 1/28/25 | Federal Funds | SuRaLa Net Co | 44 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 6.38% — | | |
| | | | | Monthly | | |
| 11,326 | 11,069 | — | 1/28/25 | Federal Funds | SWK Holdings | 253 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 13,211 | 13,304 | — | 1/28/25 | Federal Funds | Syneos Health | (94) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 19,817 | 19,915 | — | 1/28/25 | Federal Funds | T-Mobile US Inc — | (100) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 11,007 | 10,825 | — | 1/28/25 | Federal Funds | Taiwan High | 164 |
| | | | | Effective Rate US | Speed Rail | |
| | | | | minus 2.50% — | Corp — Monthly | |
| | | | | Monthly | | |
| 4,899 | 4,796 | — | 1/28/25 | Federal Funds | Takara & Co Ltd — | 103 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 5,590 | 5,436 | — | 1/28/25 | Federal Funds | Takara Bio Inc — | 154 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 5,692 | 5,638 | — | 1/28/25 | Federal Funds | Taki Chemical Co | (6) |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 3.63% — | | |
| | | | | Monthly | | |
| 8,921 | 9,271 | — | 1/28/25 | Federal Funds | Tateru Inc — | (366) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 2.38% — | | |
| | | | | Monthly | | |
| 10,750 | 10,890 | — | 1/28/25 | Federal Funds | TAV Havalimanlari | (190) |
| | | | | Effective Rate US | Holding A/S — | |
| | | | | minus 6.50% — | Monthly | |
| | | | | Monthly | | |
| 44,952 | 46,061 | — | 1/28/25 | Federal Funds | Ted Baker PLC — | (1,123) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 3.13% — | | |
| | | | | Monthly | | |
| 27,364 | 26,504 | — | 1/28/25 | Federal Funds | Tejon Ranch Co — | 858 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 119 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $18,759 | $17,808 | $— | 1/28/25 | Federal Funds | Teledyne | $949 |
| | | | | Effective Rate US | Technologies | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 20,420 | 20,304 | — | 1/28/25 | Federal Funds | Teleflex Inc — | 114 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 23,539 | 21,950 | — | 1/28/25 | Federal Funds | TherapeuticsMD | 1,542 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 2.52% — | | |
| | | | | Monthly | | |
| 10,539 | 10,409 | — | 1/28/25 | Federal Funds | Tobila Systems | 114 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 5.91% — | | |
| | | | | Monthly | | |
| 12,854 | 12,167 | — | 1/28/25 | Federal Funds | Tokai Carbon Co | 553 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 18,249 | 18,085 | — | 1/28/25 | Federal Funds | Tokyo Base Co | 136 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 2.88% — | | |
| | | | | Monthly | | |
| 10,557 | 10,205 | — | 1/28/25 | Federal Funds | Tokyu REIT Inc — | 136 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 23,826 | 23,231 | — | 1/28/25 | Federal Funds | Tootsie Roll | 591 |
| | | | | Effective Rate US | Industries Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 5,137 | 4,981 | — | 1/28/25 | Federal Funds | Torikizoku | 151 |
| | | | | Effective Rate US | Holdings Co Ltd — | |
| | | | | minus 8.25% — | Monthly | |
| | | | | Monthly | | |
| 7,754 | 7,498 | — | 1/28/25 | Federal Funds | Toyo Seikan | 255 |
| | | | | Effective Rate US | Group Holdings | |
| | | | | minus 0.30% — | Ltd — Monthly | |
| | | | | Monthly | | |
| 46,049 | 33,553 | — | 1/28/25 | Federal Funds | TPI Composites | 12,491 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 21,683 | 22,347 | — | 1/28/25 | Federal Funds | Tradeweb | (690) |
| | | | | Effective Rate US | Markets Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 7,463 | 7,347 | — | 1/28/25 | Federal Funds | Trainline PLC — | 115 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
|
| 120 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $21,013 | $19,011 | $— | 1/28/25 | Federal Funds | Transcontinental | $1,997 |
| | | | | Effective Rate US | Realty Investors | |
| | | | | minus 0.82% — | Inc — Monthly | |
| | | | | Monthly | | |
| 13,641 | 13,405 | — | 1/28/25 | Federal Funds | Traton SE — | 221 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 1.50% — | | |
| | | | | Monthly | | |
| 8,925 | 8,471 | — | 1/28/25 | Federal Funds | Treasury Wine | 452 |
| | | | | Effective Rate US | Estates Ltd — | |
| | | | | minus 0.45% — | Monthly | |
| | | | | Monthly | | |
| 19,311 | 19,061 | — | 1/28/25 | Federal Funds | Trex Co Inc — | 247 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 25,713 | 26,868 | — | 1/28/25 | Federal Funds | Trinity Industries | (1,399) |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 9,772 | 9,121 | — | 1/28/25 | Federal Funds | Triumph Group | 650 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 6,204 | 5,668 | — | 1/28/25 | Federal Funds | Trivago NV ADR — | 533 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 2.31% — | | |
| | | | | Monthly | | |
| 17,448 | 16,412 | — | 1/28/25 | Federal Funds | Tsingtao Brewery | 1,033 |
| | | | | Effective Rate US | Co Ltd — Monthly | |
| | | | | minus 0.40% — | | |
| | | | | Monthly | | |
| 45,282 | 44,093 | — | 1/28/25 | Federal Funds | Tucows Inc — | 1,146 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 1.12% — | | |
| | | | | Monthly | | |
| 6,115 | 6,273 | — | 1/28/25 | Federal Funds | Tufin Software | (159) |
| | | | | Effective Rate US | Technologies | |
| | | | | minus 0.23% — | Ltd — Monthly | |
| | | | | Monthly | | |
| 12,406 | 12,664 | — | 1/28/25 | Federal Funds | Turk Hava | (398) |
| | | | | Effective Rate US | Yollari Anonim | |
| | | | | minus 15.75% — | Ortakligi — | |
| | | | | Monthly | Monthly | |
| 38,813 | 35,940 | — | 1/28/25 | Federal Funds | Turtle Beach | 2,869 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 4,975 | 4,867 | — | 1/28/25 | Federal Funds | UK Commercial | 108 |
| | | | | Effective Rate US | Property REIT | |
| | | | | minus 0.30% — | Ltd — Monthly | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 121 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $21,504 | $21,429 | $— | 1/28/25 | Federal Funds | Umicore SA — | $71 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 8,384 | 7,910 | — | 1/28/25 | Federal Funds | Unicharm Corp — | 442 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 18,566 | 17,893 | — | 1/28/25 | Federal Funds | Unilever | 641 |
| | | | | Effective Rate US | Indonesia Tbk | |
| | | | | minus 4.00% — | PT — Monthly | |
| | | | | Monthly | | |
| 7,590 | 7,596 | — | 1/28/25 | Federal Funds | Union | (136) |
| | | | | Effective Rate US | Bankshares Inc/ | |
| | | | | minus 7.32% — | Morrisville VT — | |
| | | | | Monthly | Monthly | |
| 15,203 | 14,829 | — | 1/28/25 | Federal Funds | Union Pacific | 302 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 8,062 | 7,726 | — | 1/28/25 | Federal Funds | Unipres Corp — | 336 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 43,557 | 41,236 | — | 1/28/25 | Federal Funds | United | 2,317 |
| | | | | Effective Rate US | Bankshares Inc/ | |
| | | | | minus 0.23% — | WV — Monthly | |
| | | | | Monthly | | |
| 20,462 | 19,354 | — | 1/28/25 | Federal Funds | UNITY | 1,099 |
| | | | | Effective Rate US | Biotechnology | |
| | | | | minus 0.67% — | Inc — Monthly | |
| | | | | Monthly | | |
| 54,374 | 54,904 | — | 1/28/25 | Federal Funds | Upwork Inc — | (535) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 4,383 | 3,905 | — | 1/28/25 | Federal Funds | UroGen Pharma | 473 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 1.22% — | | |
| | | | | Monthly | | |
| 7,619 | 7,107 | — | 1/28/25 | Federal Funds | US Ecology Inc — | 511 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 1,036 | 999 | — | 1/28/25 | Federal Funds | US Xpress | 37 |
| | | | | Effective Rate US | Enterprises Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 14,707 | 14,222 | — | 1/28/25 | Federal Funds | Vail Resorts Inc — | 483 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
|
| 122 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $52,241 | $49,686 | $— | 1/28/25 | Federal Funds | Valley National | $2,551 |
| | | | | Effective Rate US | Bancorp — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 3,693 | 3,732 | — | 1/28/25 | Federal Funds | Veltra Corp — | (84) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 19.38% — | | |
| | | | | Monthly | | |
| 15,822 | 15,318 | — | 1/28/25 | Federal Funds | Verizon | 329 |
| | | | | Effective Rate US | Communications | |
| | | | | minus 0.23% — | Inc — Monthly | |
| | | | | Monthly | | |
| 27,000 | 24,418 | — | 1/28/25 | Federal Funds | Verrica | 2,564 |
| | | | | Effective Rate US | Pharmaceuticals | |
| | | | | minus 1.22% — | Inc — Monthly | |
| | | | | Monthly | | |
| 1,253 | 1,172 | — | 1/28/25 | Federal Funds | Viad Corp — | 82 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 50,498 | 48,247 | — | 1/28/25 | Federal Funds | Viavi Solutions | 2,245 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 25,873 | 20,886 | — | 1/28/25 | Federal Funds | Virgin Galactic | 4,941 |
| | | | | Effective Rate US | Holdings Inc — | |
| | | | | minus 1.27% — | Monthly | |
| | | | | Monthly | | |
| 55,483 | 51,351 | — | 1/28/25 | Federal Funds | VirnetX Holding | 4,093 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 1.17% — | | |
| | | | | Monthly | | |
| 10,101 | 10,859 | — | 1/28/25 | Federal Funds | Visionary | (845) |
| | | | | Effective Rate US | Holdings Co Ltd — | |
| | | | | minus 10.25% — | Monthly | |
| | | | | Monthly | | |
| 45,572 | 44,382 | — | 1/28/25 | Federal Funds | Visteon Corp — | 1,185 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 14,237 | 13,841 | — | 1/28/25 | Federal Funds | Viva Biotech | 258 |
| | | | | Effective Rate US | Holdings — | |
| | | | | minus 10.25% — | Monthly | |
| | | | | Monthly | | |
| 4,653 | 4,308 | — | 1/28/25 | Federal Funds | Vow ASA — | 340 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 9.13% — | | |
| | | | | Monthly | | |
| 14,496 | 13,939 | — | 1/28/25 | Federal Funds | Vroom Inc — | 556 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 123 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $12,727 | $12,800 | $— | 1/28/25 | Federal Funds | W-Scope Corp — | $(140) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 4.00% — | | |
| | | | | Monthly | | |
| 20,195 | 19,345 | — | 1/28/25 | Federal Funds | Washington Real | 848 |
| | | | | Effective Rate US | Estate Investment | |
| | | | | minus 0.23% — | Trust — Monthly | |
| | | | | Monthly | | |
| 11,678 | 11,482 | — | 1/28/25 | Federal Funds | Washtec AG — | 194 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 12,375 | 12,304 | — | 1/28/25 | Federal Funds | Waste | 69 |
| | | | | Effective Rate US | Connections | |
| | | | | minus 0.25% — | Inc — Monthly | |
| | | | | Monthly | | |
| 3,942 | 3,786 | — | 1/28/25 | Federal Funds | WATAMI Co Ltd — | 153 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 1.24% — | | |
| | | | | Monthly | | |
| 13,738 | 13,274 | — | 1/28/25 | Federal Funds | Webster Financial | 463 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 22,153 | 21,207 | — | 1/28/25 | Federal Funds | Weir Group PLC/ | 942 |
| | | | | Effective Rate US | The — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 54,350 | 54,012 | — | 1/28/25 | Federal Funds | Welbilt Inc — | 333 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 47,520 | 45,530 | — | 1/28/25 | Federal Funds | WH Smith PLC — | 1,984 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 24,553 | 23,903 | — | 1/28/25 | Federal Funds | Wharf Real Estate | 644 |
| | | | | Effective Rate US | Investment Co | |
| | | | | minus 0.40% — | Ltd — Monthly | |
| | | | | Monthly | | |
| 42,117 | 39,637 | — | 1/28/25 | Federal Funds | Whitbread PLC — | 2,476 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 46,705 | 46,891 | — | 1/28/25 | Federal Funds | WillScot Mobile | (190) |
| | | | | Effective Rate US | Mini Holdings | |
| | | | | minus 0.23% — | Corp — Monthly | |
| | | | | Monthly | | |
| 16,180 | 15,369 | — | 1/28/25 | Federal Funds | Win | 767 |
| | | | | Effective Rate US | Semiconductors | |
| | | | | minus 2.25% — | Corp — Monthly | |
| | | | | Monthly | | |
|
| 124 PanAgora Market Neutral Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $12,592 | $12,239 | $— | 1/28/25 | Federal Funds | Wiwynn Corp — | $304 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 5.25% — | | |
| | | | | Monthly | | |
| 21,421 | 21,263 | — | 1/28/25 | Federal Funds | Wix.com Ltd — | 157 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 10,329 | 9,515 | — | 1/28/25 | Federal Funds | Wrap | 717 |
| | | | | Effective Rate US | Technologies | |
| | | | | minus 12.97% — | Inc — Monthly | |
| | | | | Monthly | | |
| 9,924 | 9,325 | — | 1/28/25 | Federal Funds | Wuxi Biologics | 597 |
| | | | | Effective Rate US | Cayman Inc — | |
| | | | | minus 0.40% — | Monthly | |
| | | | | Monthly | | |
| 18,745 | 17,365 | — | 1/28/25 | Federal Funds | Wynn Macau | 1,377 |
| | | | | Effective Rate US | Ltd — Monthly | |
| | | | | minus 0.40% — | | |
| | | | | Monthly | | |
| 12,451 | 12,277 | — | 1/28/25 | Federal Funds | X5 Retail Group | 174 |
| | | | | Effective Rate US | NV GDR — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 26,364 | 26,448 | — | 1/28/25 | Federal Funds | XBiotech Inc — | (164) |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 4.17% — | | |
| | | | | Monthly | | |
| 34,484 | 33,630 | — | 1/28/25 | Federal Funds | XOMA Corp — | 785 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 2.57% — | | |
| | | | | Monthly | | |
| 50,998 | 50,746 | — | 1/28/25 | Federal Funds | Xperi Holding | 247 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 28,115 | 27,751 | — | 1/28/25 | Federal Funds | XPO Logistics | 361 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 7,204 | 7,177 | — | 1/28/25 | Federal Funds | Yamashin-Filter | 3 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 3.50% — | | |
| | | | | Monthly | | |
| 7,929 | 7,886 | — | 1/28/25 | Federal Funds | Yamato Holdings | 42 |
| | | | | Effective Rate US | Co Ltd — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 7,057 | 6,728 | — | 1/28/25 | Federal Funds | Yamazaki Baking | 243 |
| | | | | Effective Rate US | Co Ltd — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
|
| PanAgora Market Neutral Fund 125 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited) cont. | |
| Swap | | Upfront | Termina- | Payments | Total return | Unrealized |
| counterparty/ | | premium | tion | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | | | | |
| $25,723 | $24,954 | $— | 1/28/25 | Federal Funds | Yaskawa Electric | $708 |
| | | | | Effective Rate US | Corp — Monthly | |
| | | | | minus 0.30% — | | |
| | | | | Monthly | | |
| 4,573 | 4,419 | — | 1/28/25 | Federal Funds | Yellow Cake | 151 |
| | | | | Effective Rate US | PLC — Monthly | |
| | | | | minus 4.00% — | | |
| | | | | Monthly | | |
| 18,681 | 18,401 | — | 1/28/25 | Federal Funds | Ypsomed Holding | 268 |
| | | | | Effective Rate US | AG — Monthly | |
| | | | | minus 0.88% — | | |
| | | | | Monthly | | |
| 15,867 | 15,738 | — | 1/28/25 | Federal Funds | Yum China | 128 |
| | | | | Effective Rate US | Holdings Inc — | |
| | | | | minus 0.23% — | Monthly | |
| | | | | Monthly | | |
| 18,738 | 18,532 | — | 1/28/25 | Federal Funds | Yum! Brands | 114 |
| | | | | Effective Rate US | Inc — Monthly | |
| | | | | minus 0.23% — | | |
| | | | | Monthly | | |
| 13,594 | 13,705 | — | 1/28/25 | Federal Funds | Zhen Ding | (128) |
| | | | | Effective Rate US | Technology | |
| | | | | minus 1.63% — | Holding Ltd — | |
| | | | | Monthly | Monthly | |
| 22,711 | 24,328 | — | 1/28/25 | Federal Funds | Zhenro | (1,650) |
| | | | | Effective Rate US | Properties Group | |
| | | | | minus 1.91% — | Ltd — Monthly | |
| | | | | Monthly | | |
| 30,958 | 33,675 | — | 1/28/25 | Federal Funds | ZIOPHARM | (2,729) |
| | | | | Effective Rate US | Oncology Inc — | |
| | | | | minus 0.84% — | Monthly | |
| | | | | Monthly | | |
| 3,385 | 3,223 | — | 1/28/25 | Federal Funds | Zojirushi Corp — | 135 |
| | | | | Effective Rate US | Monthly | |
| | | | | minus 0.75% — | | |
| | | | | Monthly | | |
| 18,579 | 18,118 | — | 1/28/25 | Federal Funds | ZTO Express | 459 |
| | | | | Effective Rate US | Cayman Inc | |
| | | | | minus 0.23% — | ADR — Monthly | |
| | | | | Monthly | | |
| |
| Upfront premium received | — | | Unrealized appreciation | 576,559 |
| Upfront premium (paid) | — | | Unrealized (depreciation) | (524,493) |
| Total | | $— | | Total | | $52,066 |
|
| 126 PanAgora Market Neutral Fund |
ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period:
| | | |
| | | | Valuation inputs | |
| Investments in securities: | Level 1 | Level 2 | Level 3 |
| Common stocks*: | | | |
| Financials | $540,662 | $— | $— |
| Information technology | 3,514 | — | — |
| Total common stocks | 544,176 | — | — |
| | | | |
| Units | 889,501 | — | — |
| Warrants | 269,218 | — | — |
| Short-term investments | 1,898,545 | 1,535,923 | — |
| Totals by level | $3,601,440 | $1,535,923 | $— |
| | | | |
| | | | Valuation inputs | |
| Other financial instruments: | Level 1 | Level 2 | Level 3 |
| Total return swap contracts | $— | $52,066 | $— |
| Totals by level | $— | $52,066 | $— |
* 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 127 |
Statement of assets and liabilities 2/28/21 (Unaudited)
| |
| ASSETS | |
| Investment in securities, at value, (Note 1): | |
| Unaffiliated issuers (identified cost $4,937,172) | $5,137,363 |
| Dividends, interest and other receivables | 3,255 |
| Receivable for shares of the fund sold | 1,109 |
| Receivable for investments sold | 1,895,659 |
| Receivable from Manager (Note 2) | 33,318 |
| Unrealized appreciation on OTC swap contracts (Note 1) | 576,559 |
| Deposits with broker | 3,455,595 |
| Prepaid assets | 35,359 |
| Total assets | 11,138,217 |
| |
| LIABILITIES | |
| Payable for investments purchased | 1,696,827 |
| Payable for custodian fees (Note 2) | 5,163 |
| Payable for investor servicing fees (Note 2) | 542 |
| Payable for Trustee compensation and expenses (Note 2) | 233 |
| Payable for administrative services (Note 2) | 26 |
| Payable for distribution fees (Note 2) | 3,396 |
| Unrealized depreciation on OTC swap contracts (Note 1) | 524,493 |
| Other accrued expenses | 48,474 |
| Total liabilities | 2,279,154 |
| | |
| Net assets | $8,859,063 |
| |
| REPRESENTED BY | |
| Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) | $9,211,878 |
| Total distributable earnings (Note 1) | (352,815) |
| Total — Representing net assets applicable to capital shares outstanding | $8,859,063 |
| |
| COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE | |
| Net asset value and redemption price per class A share ($8,365,102 divided by 995,675 shares) | $8.40 |
| Offering price per class A share (100/94.25 of $8.40)* | $8.91 |
| Net asset value and offering price per class B share ($8,191 divided by 1,000 shares)** | $8.19 |
| Net asset value and offering price per class C share ($8,191 divided by 1,000 shares)** | $8.19 |
| Net asset value, offering price and redemption price per class R share | |
| ($8,332 divided by 1,000 shares) | $8.33 |
| Net asset value, offering price and redemption price per class R6 share | |
| ($346,552 divided by 40,899 shares) | $8.47 |
| Net asset value, offering price and redemption price per class Y share | |
| ($122,695 divided by 14,481 shares) | $8.47 |
*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.
|
| 128 PanAgora Market Neutral Fund |
Statement of operations Six months ended 2/28/21 (Unaudited)
| |
| INVESTMENT INCOME | |
| Interest | $1,034 |
| Dividends | 233 |
| Total investment income | 1,267 |
| |
| EXPENSES | |
| Compensation of Manager (Note 2) | 56,187 |
| Investor servicing fees (Note 2) | 1,606 |
| Custodian fees (Note 2) | 4,415 |
| Trustee compensation and expenses (Note 2) | 182 |
| Distribution fees (Note 2) | 10,278 |
| Administrative services (Note 2) | 147 |
| Reports to shareholders | 19,219 |
| Auditing and tax fees | 31,618 |
| Blue sky expense | 41,218 |
| Other | 990 |
| Fees waived and reimbursed by Manager (Note 2) | (89,091) |
| Total expenses | 76,769 |
| Expense reduction (Note 2) | (675) |
| Net expenses | 76,094 |
| | |
| Net investment loss | (74,827) |
| |
| REALIZED AND UNREALIZED GAIN (LOSS) | |
| Net realized gain (loss) on: | |
| Securities from unaffiliated issuers (Notes 1 and 3) | 497,324 |
| Foreign currency transactions (Note 1) | (2,099) |
| Swap contracts (Note 1) | (409,597) |
| Total net realized gain | 85,628 |
| Change in net unrealized appreciation (depreciation) on: | |
| Securities from unaffiliated issuers | 167,646 |
| Swap contracts | 111,107 |
| Total change in net unrealized appreciation | 278,753 |
| | |
| Net gain on investments | 364,381 |
| |
| Net increase in net assets resulting from operations | $289,554 |
The accompanying notes are an integral part of these financial statements.
|
| PanAgora Market Neutral Fund 129 |
Statement of changes in net assets
| | |
| INCREASE (DECREASE) IN NET ASSETS | Six months ended 2/28/21* | Year ended 8/31/20 |
| Operations | | |
| Net investment loss | $(74,827) | $(53,091) |
| Net realized gain (loss) on investments | | |
| and foreign currency transactions | 85,628 | (485,150) |
| Change in net unrealized appreciation (depreciation) | | |
| of investments | 278,753 | (68,564) |
| Net increase (decrease) in net assets resulting | | |
| from operations | 289,554 | (606,805) |
| Decrease from capital share transactions (Note 4) | (18,955) | (716,015) |
| Total increase (decrease) in net assets | 270,599 | (1,322,820) |
| |
| NET ASSETS | | |
| Beginning of period | 8,588,464 | 9,911,284 |
| End of period | $8,859,063 | $8,588,464 |
*Unaudited.
The accompanying notes are an integral part of these financial statements.
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| 130 PanAgora Market Neutral Fund |
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| PanAgora Market Neutral Fund 131 |
Financial highlights (For a common share outstanding throughout the period)
| | | | | | | | | | | | |
| | INVESTMENT OPERATIONS | | | LESS DISTRIBUTIONS | | | | RATIOS AND SUPPLEMENTAL DATA | | |
| | | | | | | | | | | | Ratio | |
| | | | Net realized | | | | | | | | of net investment | |
| | Net asset value, | | and unrealized | Total from | From | | | Total return | Net assets, | Ratio of expenses | income (loss) | |
| | beginning | Net investment | gain (loss) | investment | net investment | Total | Net asset value, | at net asset value | end of period | to average | to average | Portfolio |
| Period ended | of period | income (loss)a | on investments | operations | income | distributions | end of period | (%)b | (in thousands) | net assets (%)c,d | net assets (%)d | turnover (%) |
| Class A | | | | | | | | | | | | |
| February 28, 2021** | $8.13 | (.07) | .34 | .27 | — | — | $8.40 | 3.32* | $8,365 | .89* | (.86)* | 99* |
| 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 | | | | | | | | | | | | |
| February 28, 2021** | $7.95 | (.10) | .34 | .24 | — | — | $8.19 | 3.02* | $8 | 1.26* | (1.23)* | 99* |
| 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 | | | | | | | | | | | | |
| February 28, 2021** | $7.95 | (.10) | .34 | .24 | — | — | $8.19 | 3.02* | $8 | 1.26* | (1.23)* | 99* |
| 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 | | | | | | | | | | | | |
| February 28, 2021** | $8.07 | (.08) | .34 | .26 | — | — | $8.33 | 3.22* | $8 | 1.01* | (.98)* | 99* |
| 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 | | | | | | | | | | | | |
| February 28, 2021** | $8.19 | (.06) | .34 | .28 | — | — | $8.47 | 3.42* | $347 | .77* | (.75)* | 99* |
| 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 | | | | | | | | | | | | |
| February 28, 2021** | $8.19 | (.06) | .34 | .28 | — | — | $8.47 | 3.42* | $123 | .76* | (.74)* | 99* |
| 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* | — |
See notes to financial highlights at the end of this section.
The accompanying notes are an integral part of these financial statements.
| |
| 132 PanAgora Market Neutral Fund | PanAgora Market Neutral Fund 133 |
Financial highlights cont.
* Not annualized.
** Unaudited.
† 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 |
| February 28, 2021 | 1.02% |
| 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.
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| 134 PanAgora Market Neutral Fund |
Notes to financial statements 2/28/21 (Unaudited)
Within the following Notes to financial statements, references to “State Street” represent State Street Bank and Trust Company, references to “the SEC” represent the Securities and Exchange Commission, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter. Unless otherwise noted, the “reporting period” represents the period from September 1, 2020 through February 28, 2021.
Putnam PanAgora Market Neutral Fund (the fund) is a diversified series of Putnam Investment Funds (the Trust), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The goal of the fund is to seek absolute return (i.e. positive total return in diverse market environments over time). The fund pursues its goal by investing through a diversified set of long and short equity strategies that seek to identify and exploit multiple price inefficiencies that exist in global equity markets. PanAgora Asset Management, Inc. (“PanAgora”), the subadviser to the fund and an affiliate of Putnam Management, believes that these inefficiencies create investment opportunities in different market segments, at different times, and for different reasons, before they are ultimately arbitraged away. By using a diversified set of strategies that PanAgora believes have low correlation to one another, the fund seeks to generate returns under different market conditions and over different time horizons that are more stable over time than the returns of any individual strategy.
The fund’s strategies rely on quantitative models and information and data inputs to those models in an effort to capitalize on investment opportunities that exist when the prospects of a company’s likely success or failure are not fully recognized by market participants.
The fund’s strategies are managed within three distinct sleeves of the fund designed to capitalize on long-term, intermediate-term, and short-term price inefficiencies. PanAgora strategically allocates the fund’s investments among the various strategies, varying the allocations from time to time based upon its assessment of the attractiveness of the available opportunity set, to seek to increase the potential for higher returns.
Although the fund may have net long or short exposure to the stock market at any time, PanAgora expects that, over time, the fund’s returns will not closely correlate with stock market movements. PanAgora may adjust the fund’s portfolio from time to time, and may use derivatives, to minimize exposure to stock market movements. The fund’s portfolio is also adjusted on a regular basis in an effort to manage risk from systematic factors (such as market or interest rate movements), risk from sector, country and region exposure, as well as excessive risk from any one security, by using derivatives, exchange traded funds (ETFs) and other risk management and portfolio construction techniques.
PanAgora expects to implement the fund’s strategies primarily through investing in total return swap contracts, although it may also use other derivatives (such as futures contracts, options, currency swaps and other swap contracts), to take long or short positions in equity securities (principally common stocks, American Depositary Receipts (ADRs), and real estate investment trusts (REITs)), fixed-income securities, and other investment companies. The fund may have exposure to U.S. and non-U.S. (including both developed and emerging market) companies, to companies of any market capitalization and to fixed-income securities of any credit quality, duration or maturity (principally government-issued instruments, money market instruments and investment-grade corporate instruments). At times, the fund may also hold these instruments directly. The fund may take “short” derivatives positions and may use derivatives to hedge and for speculative purposes.
In addition, PanAgora may invest up to 25% of the fund’s net assets in stock, rights, warrants, and other securities of special purpose acquisition companies (“SPACs”).
A significant portion of the assets of the fund will be invested in short-term instruments, including cash and cash equivalents generally with one year or less term to maturity. These investments serve as collateral for the derivative positions the fund takes and also may earn income for the fund.
The fund offers class A, class B, class C, class R, class R6 and class Y shares. 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. Class B shares, which convert to class A shares after approximately eight years, are not subject to a front-end sales charge and are subject to a contingent deferred sales charge if those shares are redeemed within six years of purchase. Class C shares are subject to a one-year 1.00% contingent deferred sales charge and generally convert to class A shares after approximately
|
| PanAgora Market Neutral Fund 135 |
ten years. Effective March 1, 2021, class C shares will generally convert to class A shares after approximately eight 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 of such securities using methods based on market transactions for comparable securities and various
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| 136 PanAgora Market Neutral Fund |
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.
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| PanAgora Market Neutral Fund 137 |
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.
OTC and/or centrally cleared total return swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
Master agreements The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral pledged 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 did not have a net liability position on open derivative contracts subject to the Master Agreements.
Interfund lending The fund, along with other Putnam funds, may participate in an interfund lending program pursuant to an exemptive order issued by the SEC. This program allows the fund to borrow from or lend to other Putnam funds that permit such transactions. Interfund lending transactions are subject to each fund’s investment policies and borrowing and lending limits. Interest earned or paid on the interfund lending transaction will be based on the average of certain current market rates. During the reporting period, the fund did not utilize the program.
Lines of credit The fund participates, along with other Putnam funds, in a $317.5 million unsecured committed line of credit and a $235.5 million unsecured uncommitted line of credit, both provided by State Street. Borrowings may be made for temporary or emergency purposes, including the funding of shareholder redemption requests and trade settlements. Interest is charged to the fund based on the fund’s borrowing at a rate equal to 1.25% plus the higher of (1) the Federal Funds rate and (2) the Overnight Bank Funding Rate (overnight LIBOR prior to October 16, 2020) for the committed line of credit and 1.30% plus the higher of (1) the Federal Funds rate and (2) the Overnight Bank Funding Rate (1.30% prior to October 16, 2020) 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
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| 138 PanAgora Market Neutral Fund |
the committed line of credit is allocated to the participating funds based on their relative net assets and paid quarterly. During the reporting period, the fund had no borrowings against these arrangements.
Federal taxes It is the policy of the fund to distribute all of its taxable income within the prescribed time period and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the Code), applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code.
The fund is subject to the provisions of Accounting Standards Codification 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The fund did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. Each of the fund’s federal tax returns for the prior three fiscal years 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).
Tax cost of investments includes adjustments to net unrealized appreciation (depreciation) which may not necessarily be final tax cost basis adjustments, but closely approximate the tax basis unrealized gains and losses that may be realized and distributed to shareholders. The aggregate identified cost on a tax basis is $4,879,849, resulting in gross unrealized appreciation and depreciation of $846,821 and $537,241, respectively, or net unrealized appreciation of $309,580.
Distributions to shareholders Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year. Reclassifications are made to the fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations.
Expenses of the Trust Expenses directly charged or attributable to any fund will be paid from the assets of that fund. Generally, expenses of the Trust will be allocated among and charged to the assets of each fund on a basis that the Trustees deem fair and equitable, which may be based on the relative assets of each fund or the nature of the services performed and relative applicability to each fund.
Note 2: Management fee, administrative services and other transactions
The fund pays Putnam Management a management fee (based on the fund’s average net assets and computed and paid monthly) at annual rates that may vary based on the monthly average of the aggregate net assets of all open-end funds sponsored by Putnam Management for which PanAgora is acting as sub-adviser launched on or after the date of the fund’s management contract, as determined at the close of each business day during the month. Such annual rates may vary as follows:
| | | | |
| 1.300% | of the first $1 billion, | | 1.280% | of the next $2 billion and |
| 1.290% | of the next $2 billion, | | 1.270% | of any excess thereafter. |
For the reporting period, the fee represented an effective rate (excluding the impact from any expense waivers in effect) of 0.645% 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,
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| PanAgora Market Neutral Fund 139 |
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 $89,091 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 R and class Y shares that included (1) a per account fee for each direct and underlying non-defined contribution account (retail account) of the fund; (2) a specified rate of the fund’s assets attributable to defined contribution plan accounts; and (3) a specified rate based on the average net assets in retail accounts. Putnam Investor Services, Inc. has agreed that the aggregate investor servicing fees for each fund’s retail and defined contribution accounts for these share classes will not exceed an annual rate of 0.25% of the fund’s average assets attributable to such accounts.
Class R6 shares paid a monthly fee based on the average net assets of class R6 shares at an annual rate of 0.05%.
During the reporting period, the expenses for each class of shares related to investor servicing fees were as follows:
| | | | |
| Class A | $1,493 | | Class R6 | 87 |
| Class B | 1 | | Class Y | 22 |
| Class C | 1 | | Total | $1,606 |
| Class R | 2 | | | |
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 $675 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.
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
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| 140 PanAgora Market Neutral Fund |
Putnam Retail Management Limited Partnership at an annual rate of up to the following amounts (Maximum %) of the average net assets attributable to each class. The Trustees have approved payment by the fund at the following annual rate (Approved %) of the average net assets attributable to each class. During the reporting period, the class-specific expenses related to distribution fees were as follows:
| | | |
| | Maximum % | Approved % | Amount |
| Class A | 0.35% | 0.25% | $10,178 |
| Class B | 1.00% | 1.00% | 40 |
| Class C | 1.00% | 1.00% | 40 |
| Class R | 1.00% | 0.50% | 20 |
| Total | | | $10,278 |
For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $2 from the sale of class A shares 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) | $1,899,075 | $2,537,424 |
| U.S. government securities (Long-term) | — | — |
| Total | $1,899,075 | $2,537,424 |
Note 4: Capital shares
At the close of the reporting period, there were an unlimited number of shares of beneficial interest authorized. Transactions, including, if applicable, direct exchanges pursuant to share conversions, in capital shares were as follows:
| | | | |
| | SIX MONTHS ENDED 2/28/21 | YEAR ENDED 8/31/20 |
| Class A | Shares | Amount | Shares | Amount |
| Shares sold | 90 | $745 | 2,898 | $23,611 |
| Shares issued in connection with | | | | |
| reinvestment of distributions | — | — | — | — |
| | 90 | 745 | 2,898 | 23,611 |
| Shares repurchased | (1,068) | (8,897) | (2,257) | (18,768) |
| Net increase (decrease) | (978) | $(8,152) | 641 | $4,843 |
| |
| | SIX MONTHS ENDED 2/28/21 | YEAR ENDED 8/31/20 |
| Class B | Shares | Amount | Shares | Amount |
| Shares sold | — | $— | — | $— |
| Shares issued in connection with | | | | |
| reinvestment of distributions | — | — | — | — |
| | — | — | — | — |
| Shares repurchased | — | — | — | — |
| Net increase (decrease) | — | $— | — | $— |
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| PanAgora Market Neutral Fund 141 |
| | | | |
| | SIX MONTHS ENDED 2/28/21 | YEAR ENDED 8/31/20 |
| 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 * |
| Class M | Shares | Amount |
| Shares sold | — | $— |
| Shares issued in connection with reinvestment of distributions | — | — |
| | — | — |
| Shares repurchased | (1,000) | (8,516) |
| Net decrease | (1,000) | $(8,516) |
| | | | |
| | SIX MONTHS ENDED 2/28/21 | YEAR ENDED 8/31/20 |
| Class R | Shares | Amount | Shares | Amount |
| Shares sold | — | $— | — | $— |
| Shares issued in connection with | | | | |
| reinvestment of distributions | — | — | — | — |
| | — | — | — | — |
| Shares repurchased | — | — | — | — |
| Net increase (decrease) | — | $— | — | $— |
| |
| | SIX MONTHS ENDED 2/28/21 | YEAR ENDED 8/31/20 |
| Class R6 | Shares | Amount | Shares | Amount |
| Shares sold | 3,756 | $31,499 | 32,036 | $264,080 |
| Shares issued in connection with | | | | |
| reinvestment of distributions | — | — | — | — |
| | 3,756 | 31,499 | 32,036 | 264,080 |
| Shares repurchased | (5,060) | (42,302) | (88,463) | (725,462) |
| Net decrease | (1,304) | $(10,803) | (56,427) | $(461,382) |
| |
| | SIX MONTHS ENDED 2/28/21 | YEAR ENDED 8/31/20 |
| Class Y | Shares | Amount | Shares | Amount |
| Shares sold | — | $— | 13,132 | $113,557 |
| Shares issued in connection with | | | | |
| reinvestment of distributions | — | — | — | — |
| | — | — | 13,132 | 113,557 |
| Shares repurchased | — | — | (44,482) | (364,517) |
| Net decrease | — | $— | (31,350) | $(250,960) |
* 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.
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| 142 PanAgora Market Neutral Fund |
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 | 99.83% | $8,349,600 |
| Class B | 1,000 | 100.00 | 8,191 |
| Class C | 1,000 | 100.00 | 8,191 |
| Class R | 1,000 | 100.00 | 8,332 |
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) | $30,200,000 |
| Warrants (number of warrants) | 140,000 |
|
| PanAgora Market Neutral Fund 143 |
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 | $845,777 | Payables | $524,493 |
| Total | | $845,777 | | $524,493 |
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 | $138,719 | $(409,597) | $(270,878) |
| Total | $138,719 | $(409,597) | $(270,878) |
| | | |
| 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 | $80,943 | $111,107 | $192,050 |
| Total | $80,943 | $111,107 | $192,050 |
|
| 144 PanAgora Market Neutral Fund |
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*# | $576,559 | $576,559 |
| Total Assets | $576,559 | $576,559 |
| Liabilities: | | |
| OTC Total return swap contracts*# | $524,493 | $524,493 |
| Total Liabilities | $524,493 | $524,493 |
| Total Financial and Derivative Net Assets | $52,066 | $52,066 |
| Total collateral received (pledged)†## | $(3,455,595) | |
| Net amount | $3,507,661 | |
| Controlled collateral received (including TBA | | |
| commitments)** | $— | $— |
| Uncontrolled collateral received | $— | $— |
| Collateral (pledged) (including TBA commitments)** | $(3,455,595) | $(3,455,595) |
* 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.
Note 8: New accounting pronouncements
In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2020–04, Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020–04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. ASU 2020–04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying this provision.
Note 9: Actions by Trustees
At a meeting held on March 26, 2021, the fund’s Board of Trustees approved a plan to liquidate the fund upon recommendation by Putnam Management. The liquidation is expected to occur on or about May 21, 2021.
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| PanAgora Market Neutral Fund 145 |
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 |
| Focused International 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 |
| International Value Fund | |
| Large Cap Value Fund | State tax-free income funds‡: |
| Small Cap Value Fund | California, Massachusetts, Minnesota, |
| | New Jersey, New York, Ohio, and Pennsylvania. |
|
| 146 PanAgora Market Neutral Fund |
| |
| Absolute Return | Asset Allocation (cont.) |
| Fixed Income Absolute Return Fund | Putnam Retirement Advantage Maturity Fund |
| Multi-Asset Absolute Return Fund | Putnam Retirement Advantage 2065 Fund |
| | Putnam Retirement Advantage 2060 Fund |
| Putnam PanAgora§ | Putnam Retirement Advantage 2055 Fund |
| Putnam PanAgora Risk Parity Fund | Putnam Retirement Advantage 2050 Fund |
| | Putnam Retirement Advantage 2045 Fund |
| Asset Allocation | Putnam Retirement Advantage 2040 Fund |
| Dynamic Risk Allocation Fund | Putnam Retirement Advantage 2035 Fund |
| George Putnam Balanced Fund | Putnam Retirement Advantage 2030 Fund |
| | Putnam Retirement Advantage 2025 Fund |
| Dynamic Asset Allocation Balanced Fund | |
| Dynamic Asset Allocation Conservative Fund | RetirementReady® Maturity Fund |
| Dynamic Asset Allocation Growth Fund | RetirementReady® 2065 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 |
* 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.
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| PanAgora Market Neutral Fund 147 |
Services for shareholders
Investor services
Systematic investment plan Tell us how much you wish to invest regularly — weekly, semimonthly, or monthly — and the amount you choose will be transferred automatically from your checking or savings account. There’s no additional fee for this service, and you can suspend it at any time. This plan may be a great way to save for college expenses or to plan for your retirement.
Please note that regular investing does not guarantee a profit or protect against loss in a declining market. Before arranging a systematic investment plan, consider your financial ability to continue making purchases in periods when prices are low.
Systematic exchange You can make regular transfers from one Putnam fund to another Putnam fund. There are no additional fees for this service, and you can cancel or change your options at any time.
Dividends PLUS You can choose to have the dividend distributions from one of your Putnam funds automatically reinvested in another Putnam fund at no additional charge.
Free exchange privilege You can exchange money between Putnam funds free of charge, as long as they are the same class of shares. A signature guarantee is required if you are exchanging more than $500,000. The fund reserves the right to revise or terminate the exchange privilege.
Reinstatement privilege If you’ve sold Putnam shares or received a check for a dividend or capital gain, you may reinvest the proceeds with Putnam within 90 days of the transaction and they will be reinvested at the fund’s current net asset value — with no sales charge. However, reinstatement of class B shares may have special tax consequences. Ask your financial or tax representative for details.
Check-writing service You have ready access to many Putnam accounts. It’s as simple as writing a check, and there are no special fees or service charges. For more information about the check-writing service, call Putnam or visit our website.
Dollar cost averaging When you’re investing for long-term goals, it’s time, not timing, that counts. Investing on a systematic basis is a better strategy than trying to figure out when the markets will go up or down. This means investing the same amount of money regularly over a long period. This method of investing is called dollar cost averaging. When a fund’s share price declines, your investment dollars buy more shares at lower prices. When it increases, they buy fewer shares. Over time, you will pay a lower average price per share.
For more information
Visit the Individual Investors section at putnam.com A secure section of our website contains complete information on your account, including balances and transactions, updated daily. You may also conduct transactions, such as exchanges, additional investments, and address changes. Log on today to get your password.
Call us toll free at 1-800-225-1581 Ask a helpful Putnam representative or your financial advisor for details about any of these or other services, or see your prospectus.
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| 148 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, |
| | Officer, and Chief Risk Officer | Principal Financial Officer, |
| | | Principal Accounting Officer, |
| | 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 3. Audit Committee Financial Expert: |
| |
| Item 4. Principal Accountant Fees and Services: |
| |
| Item 5. Audit Committee of Listed Registrants |
| |
| Item 6. Schedule of Investments: |
| |
| The registrant's schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above. |
| |
| Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies: |
| |
| Item 8. Portfolio Managers of Closed-End Investment Companies |
| |
| Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers: |
| |
| Item 10. Submission of Matters to a Vote of Security Holders: |
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| Item 11. Controls and Procedures: |
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| (a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 180 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms. |
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| (b) Changes in internal control over financial reporting: Not applicable |
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| Item 12. Disclosures of Securities Lending Activities for Closed-End Investment Companies: |
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| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. |
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| By (Signature and Title): |
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| /s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
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| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. |
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| By (Signature and Title): |
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| /s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
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| By (Signature and Title): |
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| /s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer
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