0001752724-23-038573.txt : 20230224 0001752724-23-038573.hdr.sgml : 20230224 20230224113205 ACCESSION NUMBER: 0001752724-23-038573 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20221230 FILED AS OF DATE: 20230224 DATE AS OF CHANGE: 20230224 PERIOD START: 20230331 FILER: COMPANY DATA: COMPANY CONFORMED NAME: METROPOLITAN WEST FUNDS CENTRAL INDEX KEY: 0001028621 IRS NUMBER: 000000000 FISCAL YEAR END: 0331 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-07989 FILM NUMBER: 23664512 BUSINESS ADDRESS: STREET 1: METROPOLITAN WEST ASSET MANAGEMENT STREET 2: 865 S. FIGUEROA STREET, SUITE 1800 CITY: LOS ANGELES STATE: CA ZIP: 90017 BUSINESS PHONE: 213-244-0000 MAIL ADDRESS: STREET 1: METROPOLITAN WEST ASSET MANAGEMENT STREET 2: 865 S. 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549300V2JRLO5DIFGE82 T-Mobile USA Inc 87264ABR5 113000.00000000 PA USD 102982.42000000 0.361761454139 Long DBT CORP US N 2 2026-02-15 Fixed 2.25000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FUZN7 56079.97000000 PA USD 55067.16000000 0.193442491222 Long ABS-MBS USGSE US N 2 2025-01-25 Fixed 0.52600000 N N N N N N HSI Asset Securitization Corpo N/A HSI Asset Securitization Corp Trust 2007-WF1 40431RAA3 40165.36000000 PA USD 39925.68000000 0.140252793188 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.70871000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 Energy Transfer LP 86765BAN9 150000.00000000 PA USD 147373.60000000 0.517700864261 Long DBT CORP US N 2 2024-04-01 Fixed 4.25000000 N N N N N N SLM Student Loan Trust 549300H0EHPP0GTD9V95 SLM Student Loan Trust 2005-7 78442GQJ8 114203.88000000 PA USD 113463.14000000 0.398578616793 Long ABS-O CORP US N 2 2029-10-25 Floating 4.50843000 N N N N N N BX Trust N/A BX Trust 2021-SDMF 12434CAA2 121000.00000000 PA USD 115887.57000000 0.407095267715 Long ABS-MBS CORP US N 2 2034-09-15 Floating 4.90700000 N N N N N N Brazos Higher Education Author N/A Brazos Higher Education Authority Inc 10620NCE6 191922.09000000 PA USD 190847.15000000 0.670416780867 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.89871000 N N N N N N IndyMac IMSC Mortgage Loan Tru N/A IndyMac IMSC Mortgage Loan Trust 2007-AR1 456672AC8 57794.44000000 PA USD 36730.21000000 0.129027596947 Long ABS-MBS CORP US N 2 2037-06-25 Variable 3.32436000 N N N N N N Exeter Automobile Receivables N/A Exeter Automobile Receivables Trust 2021-2 30166RAF4 145000.00000000 PA USD 135625.92000000 0.476433065354 Long ABS-O CORP US N 2 2026-11-16 Fixed 1.08000000 N N N N N N PARK AEROSPACE HOLDINGS 635400CPI3EOIFF6OC33 Park Aerospace Holdings Ltd 70014LAC4 110000.00000000 PA USD 109736.69000000 0.385488169212 Long DBT CORP KY N 2 2023-03-15 Fixed 4.50000000 N N N N N N Wells Fargo 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5493004WA7G168XIR344 SLM Student Loan Trust 2013-4 78448AAA1 4940.21000000 PA USD 4741.13000000 0.016654862869 Long ABS-O CORP US N 2 2043-06-25 Floating 4.93871000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 General Electric Co 36962GX74 75000.00000000 PA USD 62006.39000000 0.217818942420 Long DBT CORP US N 2 2036-08-15 Floating 5.08614000 N N N N N N SPRINT SPECTRUM / SPEC I N/A Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC 85208NAD2 180000.00000000 PA USD 177963.65000000 0.625159020422 Long DBT CORP US N 2 2025-03-20 Fixed 4.73800000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 United States Treasury Bill 912796ZE2 2000000.00000000 PA USD 1968018.20000000 6.913346237199 Long DBT UST US N 1 2023-05-11 None 0.00000000 N N N N N N Vericrest Opportunity Loan Tra N/A VOLT CIII LLC 92873JAA7 102536.73000000 PA USD 92177.89000000 0.323806796595 Long ABS-O CORP US N 2 2051-08-25 Variable 1.99180000 N N N N N N BACARDI LTD 549300R32WTQNHNN5055 Bacardi Ltd 067316AE9 100000.00000000 PA USD 97119.85000000 0.341167144467 Long DBT CORP BM N 2 2025-05-15 Fixed 4.45000000 N N N N N N COMM Mortgage Trust N/A COMM 2013-LC6 Mortgage Trust 20048EAA9 1407810.36000000 PA USD 379.40000000 0.001332774037 Long ABS-MBS CORP US N 2 2046-01-10 Variable 0.35882500 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU 549300UVB571ELWL8972 WFRBS Commercial Mortgage Trust 2014-C20 92890FAT3 112801.49000000 PA USD 110395.52000000 0.387802538002 Long ABS-MBS CORP US N 2 2047-05-15 Fixed 3.72300000 N N N N N N Nyack Park CLO, Ltd. N/A NYACK Park CLO Ltd 67080PAA4 75000.00000000 PA USD 73742.25000000 0.259045219480 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 4.89257000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 31394L2X9 3100.15000000 PA USD 3132.71000000 0.011004729982 Long ABS-MBS USGSE US N 2 2033-01-15 Floating 5.21786000 N N N N N N CarMax Auto Owner Trust N/A Carmax Auto Owner Trust 2020-1 14315XAF5 135000.00000000 PA USD 129914.86000000 0.456370987086 Long ABS-O CORP US N 2 2025-11-17 Fixed 2.34000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 Oracle Corp 68389XCF0 140000.00000000 PA USD 143036.53000000 0.502465402229 Long DBT CORP US N 2 2025-11-10 Fixed 5.80000000 N N N N N N ARTERA SERVICES LLC 549300J2G34D0WX8Z443 Artera Services LLC 73939VAA2 9000.00000000 PA USD 7552.32000000 0.026530142380 Long DBT CORP US N 2 2025-12-04 Fixed 9.03300000 N N N N N N Madison Park Funding Ltd N/A Madison Park Funding XVII Ltd 55818YBN0 168513.58000000 PA USD 166653.86000000 0.585429461956 Long ABS-CBDO CORP KY N 2 2030-07-21 Floating 5.27757000 N N N N N N AmeriCredit Automobile Receiva N/A Americredit Automobile Receivables Trust 2019-1 03066GAG4 175000.00000000 PA USD 172205.93000000 0.604933032727 Long ABS-O CORP US N 2 2025-03-18 Fixed 3.62000000 N N N N N N SPDR S&P 500 ETF Trust 549300NZAMSJ8FXPQQ63 SPDR S&P 500 ETF Trust 78462F103 91.00000000 NS USD 34801.13000000 0.122251034637 Long EC RF US N 1 N N N CHICAGO MERCANTILE EXCHANGE INC. 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N N N TRANSOCEAN PROTEUS LTD 5493000CTMQ2LH21VM89 Transocean Proteus Ltd 893829AA9 1600.00000000 PA USD 1578.60000000 0.005545379798 Long DBT CORP KY N 2 2024-12-01 Fixed 6.25000000 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 ING Groep NV 456837BA0 200000.00000000 PA USD 192167.13000000 0.675053668253 Long DBT CORP NL N 2 2026-03-28 Fixed 3.86900000 N N N N N N COMM Mortgage Trust 549300FVY7JUBJ0PIH53 COMM 2013-CCRE7 Mortgage Trust 12625FAF3 878728.20000000 PA USD 25.48000000 0.000089507333 Long ABS-MBS CORP US N 2 2046-03-10 Variable 1.11676300 N N N N N N Long Beach Mortgage Loan Trust N/A Long Beach Mortgage Loan Trust 2004-4 542514HN7 100359.55600000 PA USD 94531.36000000 0.332074175916 Long ABS-MBS CORP US N 2 2034-10-25 Floating 4.94871000 N N N N N N SLM Student Loan Trust N/A SLM Student Loan Trust 2012-2 78446YAA1 75088.01000000 PA USD 69815.34000000 0.245250586649 Long ABS-O CORP US N 2 2029-01-25 Floating 5.08871000 N N N N N N Exeter Automobile Receivables N/A Exeter Automobile Receivables Trust 2021-1 30165XAD7 75897.74000000 PA USD 75386.53000000 0.264821323050 Long ABS-O CORP US N 2 2025-09-15 Fixed 0.57000000 N N N N N N HarborView Mortgage Loan Trust N/A HarborView Mortgage Loan Trust 2005-4 41161PMW0 764.86000000 PA USD 669.51000000 0.002351885993 Long ABS-MBS CORP US N 2 2035-07-19 Variable 3.86612500 N N N N N N MICHAELS COS INC/THE 549300H9LWMBP7HYLR98 Michaels Cos Inc/The 55916AAA2 20000.00000000 PA USD 16114.71000000 0.056608505826 Long DBT CORP US N 2 2028-05-01 Fixed 5.25000000 N N N N N N Cedar Funding Ltd N/A Cedar Funding XII CLO Ltd 15033TAN5 100000.00000000 PA USD 97000.00000000 0.340746129791 Long ABS-CBDO CORP KY N 2 2034-10-25 Floating 5.48843000 N N N N N N Morgan Stanley BAML Trust N/A Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14 61690GAG6 881014.58000000 PA USD 4810.43000000 0.016898303145 Long ABS-MBS CORP US N 2 2047-02-15 Variable 0.91131200 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137BS6G3 2887104.81000000 PA USD 44127.38000000 0.155012721163 Long ABS-MBS USGSE US N 2 2025-09-25 Variable 0.62643000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 Capital One Financial Corp 14040HCK9 120000.00000000 PA USD 114958.12000000 0.403830252351 Long DBT CORP US N 2 2024-12-06 Fixed 1.34300000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Wells Fargo & Co 95000U2K8 330000.00000000 PA USD 307895.13000000 1.081588391020 Long DBT CORP US N 2 2026-02-11 Fixed 2.16400000 N N N N N N Dryden Senior Loan Fund 549300AS2O1RYPD2ED41 Dryden 30 Senior Loan Fund 26249BAQ4 84075.51000000 PA USD 83177.00000000 0.292188049872 Long ABS-CBDO CORP KY N 2 2028-11-15 Floating 5.42614000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137B3NY0 18529085.21000000 PA USD 5294.69000000 0.018599434288 Long ABS-MBS USGSE US N 2 2023-04-25 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Chan Eric Chan Managing Director XXXX NPORT-EX 2 MW30TCW123122.htm
AlphaTrak
500
Fund
Schedule
of
Portfolio
Investments
December
31,
2022
(Unaudited)
1
/
December
2022
Issues
Maturity
Date
Principal
Amount
Value
BONDS
79.33%
ASSET-BACKED
SECURITIES
14.47%**  
Access
Group,
Inc.,
Series
2015-1,
Class
A
(LIBOR
USD
1-Month
plus
0.70%)
5.09%
07/25/56
1,2
$
9,337‌
$
9,000‌
Aimco
CLO
11
Ltd.,
Series
2020-11A,
Class
AR
(Cayman
Islands)
(LIBOR
USD
3-Month
plus
1.13%)
5.21%
10/17/34
1,2,3
100,000‌
97,541‌
Americredit
Automobile
Receivables
Trust,
Series
2019-1,
Class
D
3.62%
03/18/25
175,000‌
172,206‌
Apidos
CLO
XXII,
Series
2015-22A,
Class
A1R
(Cayman
Islands)
(LIBOR
USD
3-Month
plus
1.06%)
5.30%
04/20/31
1,2,3
200,000‌
197,220‌
Barings
CLO
Ltd.,
Series
2013-IA,
Class
AR
(Cayman
Islands)
(LIBOR
USD
3-Month
plus
0.80%)
5.04%
01/20/28
1,2,3
49,379‌
49,058‌
Barings
CLO
Ltd.,
Series
2018-3A,
Class
A1
(Cayman
Islands)
(LIBOR
USD
3-Month
plus
0.95%)
5.19%
07/20/29
1,2,3
49,707‌
49,365‌
Bayview
Commercial
Asset
Trust,
Series
2004-3,
Class
A1
(LIBOR
USD
1-Month
plus
0.56%)
4.94%
01/25/35
1,2
6,742‌
6,729‌
Brazos
Higher
Education
Authority,
Inc.,
Series
2010-1,
Class
A2
(LIBOR
USD
3-Month
plus
1.20%)
5.90%
02/25/35
2
191,922‌
190,847‌
Brazos
Higher
Education
Authority,
Inc.,
Series
2011-1,
Class
A2
(LIBOR
USD
3-Month
plus
0.80%)
5.50%
02/25/30
2
42,493‌
42,305‌
Carmax
Auto
Owner
Trust,
Series
2020-1,
Class
C
2.34%
11/17/25
135,000‌
129,915‌
Carvana
Auto
Receivables
Trust,
Series
2022-P3,
Class
A3
4.61%
11/10/27
165,000‌
160,223‌
Cedar
Funding
XII
CLO
Ltd.,
Series
2020-12A,
Class
A1R
(Cayman
Islands)
(LIBOR
USD
3-Month
plus
1.13%)
5.49%
10/25/34
1,2,3
100,000‌
97,000‌
Dryden
30
Senior
Loan
Fund,
Series
2013-30A,
Class
AR
(Cayman
Islands)
(LIBOR
USD
3-Month
plus
0.82%)
5.43%
11/15/28
1,2,3
84,076‌
83,177‌
Issues
Maturity
Date
Principal
Amount
Value
ASSET-BACKED
SECURITIES
(continued)
Dryden
XXVI
Senior
Loan
Fund,
Series
2013-26A,
Class
AR
(Cayman
Islands)
(LIBOR
USD
3-Month
plus
0.90%)
4.98%
04/15/29
1,2,3
$
45,039‌
$
44,496‌
Eaton
Vance
CLO
Ltd.,
Series
2020-1A,
Class
AR
(Cayman
Islands)
(LIBOR
USD
3-Month
plus
1.17%)
5.25%
10/15/34
1,2,3
150,000‌
145,875‌
Educational
Funding
of
the
South,
Inc.,
Series
2011-1,
Class
A2
(LIBOR
USD
3-Month
plus
0.65%)
5.01%
04/25/35
2
1,076‌
1,066‌
Educational
Funding
of
the
South,
Inc.,
Series
2012-1,
Class
A
(LIBOR
USD
1-Month
plus
1.05%)
5.09%
03/25/36
2
14,421‌
14,407‌
Exeter
Automobile
Receivables
Trust,
Series
2021-1A,
Class
D
1.08%
11/16/26
145,000‌
135,626‌
Exeter
Automobile
Receivables
Trust,
Series
2021-2A,
Class
B
0.57%
09/15/25
75,898‌
75,386‌
Exeter
Automobile
Receivables
Trust,
Series
2022-6A,
Class
C
6.32%
05/15/28
130,000‌
130,185‌
GoldenTree
Loan
Management
U.S.
CLO
8
Ltd.,
Series
2020-8A,
Class
AR
(Cayman
Islands)
(LIBOR
USD
3-Month
plus
1.15%)
5.39%
10/20/34
1,2,3
140,000‌
136,561‌
Higher
Education
Funding
I,
Series
2014-1,
Class
A
(LIBOR
USD
3-Month
plus
1.05%)
5.81%
05/25/34
1,2
25,607‌
25,591‌
LCM
29
Ltd.,
Series
29A,
Class
XR
(Cayman
Islands)
(LIBOR
USD
3-Month
plus
0.80%)
4.88%
04/15/31
1,2,3
68,182‌
67,576‌
Madison
Park
Funding
XVII
Ltd.,
Series
2015-17A,
Class
AR2
(Cayman
Islands)
(LIBOR
USD
3-Month
plus
1.00%)
5.28%
07/21/30
1,2,3
168,514‌
166,654‌
Navient
Student
Loan
Trust,
Series
2014-1,
Class
A3
(LIBOR
USD
1-Month
plus
0.51%)
4.90%
06/25/31
2
71,109‌
67,328‌
Navient
Student
Loan
Trust,
Series
2017-2A,
Class
A
(LIBOR
USD
1-Month
plus
1.05%)
5.44%
12/27/66
1,2
61,760‌
59,578‌
AlphaTrak
500
Fund
Schedule
of
Portfolio
Investments
December
31,
2022
(Unaudited)
December
2022
/
2
Issues
Maturity
Date
Principal
Amount
Value
ASSET-BACKED
SECURITIES
(continued)
Navient
Student
Loan
Trust,
Series
2017-4A,
Class
A2
(LIBOR
USD
1-Month
plus
0.50%)
4.89%
09/27/66
1,2
$
3,185‌
$
3,184‌
Nelnet
Student
Loan
Trust,
Series
2014-3A,
Class
A
(LIBOR
USD
1-Month
plus
0.58%)
4.97%
06/25/41
1,2
10,096‌
9,805‌
NYACK
Park
CLO
Ltd.,
Series
2021-1A,
Class
X
(Cayman
Islands)
(LIBOR
USD
3-Month
plus
0.65%)
4.89%
10/20/34
1,2,3
75,000‌
73,742‌
Oak
Street
Investment
Grade
Net
Lease
Fund,
Series
2020-1A,
Class
A1
1.85%
11/20/50
1
96,367‌
85,814‌
OCP
CLO
Ltd.,
Series
2017-14A,
Class
A1A
(Cayman
Islands)
(LIBOR
USD
3-Month
plus
1.15%)
5.83%
11/20/30
1,2,3
85,000‌
83,916‌
OHA
Credit
Funding
7
Ltd.,
Series
2020-7A,
Class
AR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.30%)
5.26%
02/24/37
1,2,3
115,000‌
111,578‌
Palmer
Square
CLO
Ltd.,
Series
2014-1A,
Class
A1R2
(Cayman
Islands)
(LIBOR
USD
3-Month
plus
1.13%)
5.21%
01/17/31
1,2,3
85,000‌
84,204‌
PHEAA
Student
Loan
Trust,
Series
2016-1A,
Class
A
(LIBOR
USD
1-Month
plus
1.15%)
5.54%
09/25/65
1,2
43,289‌
42,399‌
Progress
Residential
Trust,
Series
2019-SFR3,
Class
A
2.27%
09/17/36
1
118,808‌
112,464‌
Progress
Residential
Trust,
Series
2019-SFR4,
Class
A
2.69%
10/17/36
1
100,000‌
94,755‌
Rockford
Tower
CLO
Ltd.,
Series
2017-3A,
Class
A
(Cayman
Islands)
(LIBOR
USD
3-Month
plus
1.19%)
5.43%
10/20/30
1,2,3
130,000‌
128,409‌
SLM
Student
Loan
Trust,
Series
2005-4,
Class
A3
(LIBOR
USD
3-Month
plus
0.12%)
4.48%
01/25/27
2
8,567‌
8,555‌
SLM
Student
Loan
Trust,
Series
2005-5,
Class
A4
(LIBOR
USD
3-Month
plus
0.14%)
4.50%
10/25/28
2
38,700‌
38,508‌
Issues
Maturity
Date
Principal
Amount
Value
ASSET-BACKED
SECURITIES
(continued)
SLM
Student
Loan
Trust,
Series
2005-7,
Class
A4
(LIBOR
USD
3-Month
plus
0.15%)
4.51%
10/25/29
2
$
114,204‌
$
113,463‌
SLM
Student
Loan
Trust,
Series
2008-5,
Class
A4
(LIBOR
USD
3-Month
plus
1.70%)
6.06%
07/25/23
2
85,013‌
84,157‌
SLM
Student
Loan
Trust,
Series
2008-6,
Class
A4
(LIBOR
USD
3-Month
plus
1.10%)
5.46%
07/25/23
2
124,937‌
120,268‌
SLM
Student
Loan
Trust,
Series
2008-9,
Class
A
(LIBOR
USD
3-Month
plus
1.50%)
5.86%
04/25/23
2
32,127‌
31,559‌
SLM
Student
Loan
Trust,
Series
2012-1,
Class
A3
(LIBOR
USD
1-Month
plus
0.95%)
5.34%
09/25/28
2
124,820‌
116,953‌
SLM
Student
Loan
Trust,
Series
2012-2,
Class
A
(LIBOR
USD
1-Month
plus
0.70%)
5.09%
01/25/29
2
72,826‌
67,712‌
SLM
Student
Loan
Trust,
Series
2013-4,
Class
A
(LIBOR
USD
1-Month
plus
0.55%)
4.94%
06/25/43
2
4,940‌
4,741‌
Sofi
Professional
Loan
Program
Trust,
Series
2021-B,
Class
AFX
1.14%
02/15/47
1
207,070‌
170,530‌
Sofi
Professional
Loan
Program,
LLC,
Series
2019-A,
Class
A2FX
3.69%
06/15/48
1
147,883‌
144,779‌
Stack
Infrastructure
Issuer
LLC,
Series
2019-2A,
Class
A2
3.08%
10/25/44
1
60,000‌
56,386‌
Total
Asset-Backed
Securities
(Cost
$4,240,564)
4,142,796‌
CORPORATES
32.35%*  
Banking
9.27%
Bank
of
America
Corp.
(MTN)
0.98%
09/25/25
4
550,000‌
507,726‌
Credit
Suisse
Group
AG
(Switzerland)
1.31%
02/02/27
1,3,4
145,000‌
115,631‌
2.59%
09/11/25
1,3,4
220,000‌
195,493‌
DNB
Bank
ASA
(Norway)
0.86%
09/30/25
1,3,4
200,000‌
183,909‌
HSBC
Holdings
PLC
(United
Kingdom)
0.98%
05/24/25
3,4
395,000‌
365,624‌
AlphaTrak
500
Fund
Schedule
of
Portfolio
Investments
December
31,
2022
(Unaudited)
3
/
December
2022
Issues
Maturity
Date
Principal
Amount
Value
CORPORATES
(continued)
Banking
(continued)
ING
Groep
NV
(Netherlands)
3.87%
03/28/26
3,4
$
200,000‌
$
192,167‌
Lloyds
Banking
Group
PLC
(United
Kingdom)
3.87%
07/09/25
3,4
60,000‌
58,107‌
Macquarie
Group
Ltd.
(Australia)
1.20%
10/14/25
1,3,4
90,000‌
82,651‌
1.34%
01/12/27
1,3,4
70,000‌
61,082‌
NatWest
Group
PLC
(United
Kingdom)
4.27%
03/22/25
3,4
105,000‌
102,616‌
4.52%
06/25/24
3,4
75,000‌
74,317‌
Santander
UK
Group
Holdings
PLC
(United
Kingdom)
1.53%
08/21/26
3,4
200,000‌
176,361‌
3.37%
01/05/24
3,4
155,000‌
154,991‌
4.80%
11/15/24
3,4
75,000‌
73,765‌
Wells
Fargo
&
Co.
(MTN)
2.16%
02/11/26
4
330,000‌
307,895‌
2,652,335‌
Communications
3.16%
AT&T,
Inc.
(LIBOR
USD
3-Month
plus
1.18%)
5.92%
06/12/24
2
175,000‌
176,177‌
Charter
Communications
Operating
LLC/Charter
Communications
Operating
Capital
(LIBOR
USD
3-Month
plus
1.65%)
6.09%
02/01/24
2
125,000‌
125,595‌
Intelsat
Jackson
Holdings
SA
(Luxembourg)
6.50%
03/15/30
1,3
66,000‌
59,313‌
Intelsat
Jackson
Holdings
SA,
Class
B
(Luxembourg)
8.50%
10/15/24
†,1,3,5,6,7,8
20,000‌
—‌
9.75%
07/15/25
†,1,3,5,6,7,8
61,000‌
—‌
Qwest
Corp.
7.25%
09/15/25
100,000‌
100,500‌
Sprint
Spectrum
Co.
LLC/Sprint
Spectrum
Co.
II
LLC/Sprint
Spectrum
Co.
III
LLC
4.74%
03/20/25
1
180,000‌
177,964‌
5.15%
03/20/28
1
50,000‌
49,329‌
T-Mobile
USA,
Inc.
2.25%
02/15/26
113,000‌
102,982‌
2.63%
04/15/26
124,000‌
113,675‌
905,535‌
Consumer
Discretionary
1.17%
Bacardi
Ltd.
(Bermuda)
4.45%
05/15/25
1,3
100,000‌
97,120‌
Issues
Maturity
Date
Principal
Amount
Value
CORPORATES
(continued)
Consumer
Discretionary
(continued)
Imperial
Brands
Finance
PLC
(United
Kingdom)
6.13%
07/27/27
1,3
$
35,000‌
$
34,851‌
WarnerMedia
Holdings,
Inc.
3.43%
03/15/24
1
210,000‌
203,963‌
335,934‌
Electric
1.45%
Alliant
Energy
Finance
LLC
3.75%
06/15/23
1
140,000‌
139,057‌
American
Electric
Power
Co.,
Inc.
2.03%
03/15/24
120,000‌
115,637‌
FirstEnergy
Transmission
LLC
2.87%
09/15/28
1
128,000‌
111,924‌
Pennsylvania
Electric
Co.
4.15%
04/15/25
1
50,000‌
47,925‌
414,543‌
Energy
1.45%
Energy
Transfer
LP
4.25%
04/01/24
150,000‌
147,374‌
5.50%
06/01/27
12,000‌
11,934‌
Occidental
Petroleum
Corp.
0.00%
10/10/36
9
25,000‌
12,787‌
Plains
All
American
Pipeline
LP/PAA
Finance
Corp.
4.65%
10/15/25
125,000‌
122,522‌
Southern
Co.
Gas
Capital
Corp.
3.88%
11/15/25
100,000‌
96,571‌
Transocean
Phoenix
2
Ltd.
(Cayman
Islands)
7.75%
10/15/24
1,3
8,400‌
8,356‌
Transocean
Poseidon
Ltd.
(Cayman
Islands)
6.88%
02/01/27
1,3
15,750‌
15,351‌
Transocean
Proteus
Ltd.
(Cayman
Islands)
6.25%
12/01/24
1,3
1,600‌
1,579‌
416,474‌
Finance
7.17%
AerCap
Ireland
Capital
DAC/AerCap
Global
Aviation
Trust
(Ireland)
3.15%
02/15/24
3
150,000‌
145,644‌
Air
Lease
Corp.
2.25%
01/15/23
75,000‌
74,930‌
Avolon
Holdings
Funding
Ltd.
(Cayman
Islands)
2.53%
11/18/27
1,3
5,000‌
4,004‌
Capital
One
Financial
Corp.
1.34%
12/06/24
4
120,000‌
114,958‌
Citigroup,
Inc.
3.29%
03/17/26
4
290,000‌
275,913‌
Goldman
Sachs
Group,
Inc.
(The)
1.22%
12/06/23
90,000‌
86,904‌
1.95%
10/21/27
4
25,000‌
21,840‌
AlphaTrak
500
Fund
Schedule
of
Portfolio
Investments
December
31,
2022
(Unaudited)
December
2022
/
4
Issues
Maturity
Date
Principal
Amount
Value
CORPORATES
(continued)
Finance
(continued)
Goldman
Sachs
Group,
Inc.
(The)
(MTN)
(LIBOR
USD
3-Month
plus
1.60%)
6.33%
11/29/23
2
$
75,000‌
$
75,628‌
JPMorgan
Chase
&
Co.
0.56%
02/16/25
4
290,000‌
273,649‌
0.82%
06/01/25
4
110,000‌
102,747‌
2.60%
02/24/26
4
50,000‌
47,061‌
Morgan
Stanley
(GMTN)
1.51%
07/20/27
4
260,000‌
226,065‌
Morgan
Stanley
(MTN)
0.53%
01/25/24
4
150,000‌
149,082‌
Nationwide
Building
Society
(United
Kingdom)
3.77%
03/08/24
1,3,4
75,000‌
74,594‌
4.36%
08/01/24
1,3,4
75,000‌
74,036‌
Park
Aerospace
Holdings
Ltd.
(Cayman
Islands)
4.50%
03/15/23
1,3
110,000‌
109,737‌
UBS
Group
AG
(Switzerland)
4.49%
05/12/26
1,3,4
200,000‌
195,565‌
2,052,357‌
Health
Care
2.90%
AbbVie,
Inc.
3.75%
11/14/23
125,000‌
123,792‌
Bayer
U.S.
Finance
II
LLC
4.25%
12/15/25
1
165,000‌
160,055‌
Catalent
Pharma
Solutions,
Inc.
3.50%
04/01/30
1
57,000‌
45,079‌
Embecta
Corp.
5.00%
02/15/30
1
45,000‌
37,872‌
HCA,
Inc.
5.00%
03/15/24
75,000‌
74,609‌
5.25%
06/15/26
185,000‌
183,078‌
Illumina,
Inc.
5.80%
12/12/25
75,000‌
75,715‌
Organon
&
Co./Organon
Foreign
Debt
Co.-Issuer
BV
5.13%
04/30/31
1
16,000‌
13,909‌
Prestige
Brands,
Inc.
3.75%
04/01/31
1
40,000‌
33,038‌
Royalty
Pharma
PLC
(United
Kingdom)
0.75%
09/02/23
3
85,000‌
82,275‌
829,422‌
Industrials
1.25%
Artera
Services
LLC
9.03%
12/04/25
1
9,000‌
7,552‌
Berry
Global,
Inc.
0.95%
02/15/24
110,000‌
104,594‌
Issues
Maturity
Date
Principal
Amount
Value
CORPORATES
(continued)
Industrials
(continued)
General
Electric
Co.
(MTN)
(LIBOR
USD
3-Month
plus
0.38%)
4.91%
05/05/26
2
$
29,000‌
$
28,171‌
(LIBOR
USD
3-Month
plus
0.48%)
5.09%
08/15/36
2
75,000‌
62,006‌
Mauser
Packaging
Solutions
Holding
Co.
5.50%
04/15/24
1
5,000‌
4,872‌
Sydney
Airport
Finance
Co.
Pty
Ltd.
(Australia)
3.90%
03/22/23
1,3
150,000‌
149,492‌
356,687‌
Information
Technology
1.26%
NCR
Corp.
5.13%
04/15/29
1
8,000‌
6,699‌
Oracle
Corp.
5.80%
11/10/25
140,000‌
143,037‌
Skyworks
Solutions,
Inc.
0.90%
06/01/23
110,000‌
107,793‌
VMware,
Inc.
1.00%
08/15/24
110,000‌
102,367‌
359,896‌
Insurance
1.00%
Athene
Global
Funding
(SOFR
Index
plus
0.70%)
4.90%
05/24/24
1,2
85,000‌
83,508‌
Nationwide
Mutual
Insurance
Co.
7.06%
12/15/24
1,4
90,000‌
89,789‌
Trinity
Acquisition
PLC
(United
Kingdom)
4.63%
08/15/23
3
110,000‌
109,446‌
Willis
North
America,
Inc.
4.65%
06/15/27
5,000‌
4,843‌
287,586‌
Materials
0.39%
Georgia-Pacific
LLC
3.60%
03/01/25
1
115,000‌
111,389‌
Real
Estate
Investment
Trust
(REIT)
1.65%
GLP
Capital
LP/GLP
Financing
II,
Inc.
3.25%
01/15/32
6,000‌
4,821‌
5.38%
11/01/23
190,000‌
189,535‌
Healthpeak
Properties,
Inc.
4.00%
06/01/25
60,000‌
58,485‌
Piedmont
Operating
Partnership
LP
3.40%
06/01/23
125,000‌
123,824‌
VICI
Properties
LP/VICI
Note
Co.,
Inc.
4.50%
01/15/28
1
6,000‌
5,539‌
4.63%
06/15/25
1
95,000‌
91,150‌
473,354‌
Retail
0.06%
Michaels
Cos.,
Inc.
(The)
5.25%
05/01/28
1
20,000‌
16,115‌
AlphaTrak
500
Fund
Schedule
of
Portfolio
Investments
December
31,
2022
(Unaudited)
5
/
December
2022
Issues
Maturity
Date
Principal
Amount
Value
CORPORATES
(continued)
Services
0.07%
Waste
Pro
USA,
Inc.
5.50%
02/15/26
1
$
23,000‌
$
20,363‌
Transportation
0.10%
U.S.
Airways
Pass-Through
Trust,
Series
2012-1,
Class
A
5.90%
10/01/24
30,486‌
29,392‌
Total
Corporates
(Cost
$9,617,700)
9,261,382‌
MORTGAGE-BACKED
31.28%**  
Non-Agency
Commercial
Mortgage-Backed
10.44%
1345
Avenue
of
the
Americas
&
Park
Avenue
Plaza
Trust,
Series
2005-1,
Class
A3
5.28%
08/10/35
1
32,780‌
31,400‌
ACAM
Ltd.,
Series
2019-FL1,
Class
A
(Cayman
Islands)
(CME
Term
SOFR
1-Month
plus
1.51%)
5.84%
11/17/34
1,2,3
79,180‌
78,810‌
AREIT
Trust,
Series
2019-CRE3,
Class
A
(CME
Term
SOFR
1-Month
plus
1.38%)
5.71%
09/14/36
1,2
18,780‌
18,467‌
BANK,
Series
2018-BN14,
Class
A2
4.13%
09/15/60
61,168‌
59,715‌
Barclays
Commercial
Mortgage
Securities
Trust,
Series
2018-BXH,
Class
A
(LIBOR
USD
1-Month
plus
1.00%)
5.32%
10/15/37
1,2
119,346‌
115,135‌
Beast
Mortgage
Trust,
Series
2021-SSCP,
Class
A
(LIBOR
USD
1-Month
plus
0.75%)
5.07%
04/15/36
1,2
250,000‌
239,874‌
BFLD
Trust,
Series
2020-EYP,
Class
A
(LIBOR
USD
1-Month
plus
1.15%)
5.47%
10/15/35
1,2
125,000‌
118,984‌
BX
Commercial
Mortgage
Trust,
Series
2021-CIP,
Class
A
(LIBOR
USD
1-Month
plus
0.92%)
5.24%
12/15/38
1,2
130,000‌
125,647‌
BX
Trust,
Series
2021-SDMF,
Class
A
(LIBOR
USD
1-Month
plus
0.59%)
4.91%
09/15/34
1,2
121,000‌
115,888‌
BXMT
Ltd.,
Series
2020-FL3,
Class
A
(Cayman
Islands)
(SOFR30A
plus
1.51%)
5.32%
11/15/37
1,2,3
410,000‌
403,718‌
Citigroup
Commercial
Mortgage
Trust,
Series
2015-GC29,
Class
AAB
2.98%
04/10/48
35,725‌
34,903‌
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Commercial
Mortgage-Backed
(continued)
Citigroup
Commercial
Mortgage
Trust,
Series
2015-P1,
Class
AAB
3.47%
09/15/48
$
29,202‌
$
28,436‌
Cold
Storage
Trust,
Series
2020-ICE5,
Class
A
(LIBOR
USD
1-Month
plus
0.90%)
5.22%
11/15/37
1,2
108,129‌
105,276‌
Commercial
Mortgage
Trust,
Series
2012-CR4,
Class
XA
(IO)
1.26%
10/15/45
4
80,060‌
3‌
Commercial
Mortgage
Trust,
Series
2013-CR11,
Class
ASB
3.66%
08/10/50
2,844‌
2,827‌
Commercial
Mortgage
Trust,
Series
2013-CR7,
Class
XA
(IO)
1.12%
03/10/46
4
878,728‌
26‌
Commercial
Mortgage
Trust,
Series
2013-LC6,
Class
XB
(IO)
0.36%
01/10/46
1,4
1,407,810‌
379‌
Commercial
Mortgage
Trust,
Series
2015-LC23,
Class
A2
3.22%
10/10/48
37,887‌
36,075‌
Commercial
Mortgage
Trust,
Series
2015-PC1,
Class
A4
3.62%
07/10/50
76,416‌
73,674‌
Credit
Suisse
Mortgage
Capital
Certificates,
Series
2019-ICE4,
Class
A
(LIBOR
USD
1-Month
plus
0.98%)
5.30%
05/15/36
1,2
245,000‌
242,266‌
GS
Mortgage
Securities
Trust,
Series
2010-C1,
Class
X
(IO)
0.46%
08/10/43
1,4
1,539,901‌
2,592‌
GS
Mortgage
Securities
Trust,
Series
2011-GC3,
Class
X
(IO)
0.00%
03/10/44
1,4
327,855‌
3‌
JPMBB
Commercial
Mortgage
Securities
Trust,
Series
2013-C17,
Class
XA
(IO)
0.69%
01/15/47
4
1,452,444‌
5,679‌
JPMBB
Commercial
Mortgage
Securities
Trust,
Series
2014-C19,
Class
A3
3.67%
04/15/47
41,948‌
41,189‌
JPMorgan
Chase
Commercial
Mortgage
Securities
Trust,
Series
2013-C13,
Class
XA
(IO)
0.10%
01/15/46
4
6,207,737‌
1,008‌
JPMorgan
Chase
Commercial
Mortgage
Securities
Trust,
Series
2013-LC11,
Class
XA
(IO)
1.22%
04/15/46
4
2,065,435‌
565‌
JPMorgan
Chase
Commercial
Mortgage
Securities
Trust,
Series
2015-JP1,
Class
XA
(IO)
0.89%
01/15/49
4,5,8
638,676‌
13,937‌
LB-UBS
Commercial
Mortgage
Trust,
Series
2006-C6,
Class
XCL
(IO)
0.43%
09/15/39
1,4
303,520‌
40‌
AlphaTrak
500
Fund
Schedule
of
Portfolio
Investments
December
31,
2022
(Unaudited)
December
2022
/
6
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Commercial
Mortgage-Backed
(continued)
MF1
Ltd.,
Series
2020-FL4,
Class
A
(CME
Term
SOFR
1-Month
plus
1.81%)
6.15%
11/15/35
1,2
$
159,308‌
$
156,743‌
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust,
Series
2013-C13,
Class
ASB
3.56%
11/15/46
3,349‌
3,325‌
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust,
Series
2014-C14,
Class
XA
(IO)
0.91%
02/15/47
4
881,015‌
4,810‌
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust,
Series
2015-C26,
Class
ASB
3.32%
10/15/48
43,156‌
41,836‌
One
New
York
Plaza
Trust,
Series
2020-1NYP,
Class
A
(LIBOR
USD
1-Month
plus
0.95%)
5.27%
01/15/36
1,2
94,000‌
88,858‌
SREIT
Trust,
Series
2021-MFP,
Class
A
(LIBOR
USD
1-Month
plus
0.73%)
5.05%
11/15/38
1,2
250,000‌
240,622‌
TMSQ
Mortgage
Trust,
Series
2014-1500,
Class
XA
(IO)
0.15%
10/10/36
1,4
14,000,000‌
35,604‌
TRTX
Issuer
Ltd.,
Series
2019-FL3,
Class
A
(Cayman
Islands)
(CME
Term
SOFR
1-Month
plus
1.26%)
5.59%
10/15/34
1,2,3
33,234‌
33,239‌
UBS-Barclays
Commercial
Mortgage
Trust,
Series
2012-C3,
Class
XB
(IO)
0.17%
08/10/49
1,4,5,8
249,393‌
67‌
Wells
Fargo
Commercial
Mortgage
Trust,
Series
2014-LC16,
Class
A4
3.55%
08/15/50
113,014‌
109,919‌
Wells
Fargo
Commercial
Mortgage
Trust,
Series
2017-SMP,
Class
A
(LIBOR
USD
1-Month
plus
0.88%)
5.19%
12/15/34
1,2
200,000‌
185,001‌
WF-RBS
Commercial
Mortgage
Trust,
Series
2014-C20,
Class
A4
3.72%
05/15/47
112,801‌
110,396‌
WF-RBS
Commercial
Mortgage
Trust,
Series
2014-C21,
Class
ASB
3.39%
08/15/47
14,553‌
14,350‌
WF-RBS
Commercial
Mortgage
Trust,
Series
2014-C25,
Class
XA
(IO)
0.79%
11/15/47
4
4,970,820‌
56,724‌
WF-RBS
Commercial
Mortgage
Trust,
Series
2014-LC14,
Class
ASB
3.52%
03/15/47
9,224‌
9,142‌
2,987,152‌
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
8.64%
Alternative
Loan
Trust,
Series
2007-22,
Class
2A16
6.50%
09/25/37
$
195,079‌
$
82,704‌
Asset-Backed
Funding
Certificates,
Series
2004-OPT4,
Class
M1
(LIBOR
USD
1-Month
plus
0.90%)
5.29%
02/25/34
2
88,050‌
84,579‌
Banc
of
America
Funding
Trust,
Series
2014-R7,
Class
1A1
(LIBOR
USD
1-Month
plus
0.15%)
4.54%
05/26/36
1,2
7,293‌
7,340‌
Banc
of
America
Funding
Trust,
Series
2015-R7,
Class
1A1
(Federal
Reserve
US
12-Month
Cumulative
Average
plus
0.92%)
2.61%
09/26/46
1,2
58,268‌
57,609‌
Centex
Home
Equity
Loan
Trust,
Series
2005-B,
Class
M2
(LIBOR
USD
1-Month
plus
0.65%)
5.03%
03/25/35
2
111,293‌
109,551‌
Centex
Home
Equity
Loan
Trust,
Series
2005-D,
Class
M4
(LIBOR
USD
1-Month
plus
0.92%)
5.30%
10/25/35
2
65,714‌
65,559‌
CIM
Trust,
Series
2019-R1,
Class
A
3.25%
10/25/58
1,4
91,292‌
80,526‌
CIM
Trust,
Series
2021-R3,
Class
A1A
1.95%
06/25/57
1,4
118,295‌
104,848‌
Citigroup
Mortgage
Loan
Trust,
Inc.,
Series
2005-HE4,
Class
M2
(LIBOR
USD
1-Month
plus
0.68%)
5.06%
10/25/35
2
153,934‌
147,286‌
Citigroup
Mortgage
Loan
Trust,
Inc.,
Series
2007-WFH3,
Class
M1
(LIBOR
USD
1-Month
plus
0.39%)
4.78%
06/25/37
2
103,414‌
101,852‌
Countrywide
Asset-Backed
Certificates
Trust,
Series
2007-13,
Class
2A1
(LIBOR
USD
1-Month
plus
0.90%)
5.29%
10/25/47
2
61,222‌
57,201‌
Countrywide
Home
Loan
Mortgage
Pass-Through
Trust,
Series
2005-9,
Class
1A1
(LIBOR
USD
1-Month
plus
0.60%)
4.99%
05/25/35
2
40,874‌
33,764‌
Credit-Based
Asset
Servicing
and
Securitization
LLC,
Series
2003-CB1,
Class
AF
(STEP-reset
date
02/25/23)
3.95%
01/25/33
5,237‌
4,786‌
DSLA
Mortgage
Loan
Trust,
Series
2004-AR3,
Class
2A2A
(LIBOR
USD
1-Month
plus
0.74%)
5.08%
07/19/44
2
2,055‌
1,813‌
AlphaTrak
500
Fund
Schedule
of
Portfolio
Investments
December
31,
2022
(Unaudited)
7
/
December
2022
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
First
Franklin
Mortgage
Loan
Trust,
Series
2006-FF4,
Class
A3
(LIBOR
USD
1-Month
plus
0.56%)
4.13%
03/25/36
2
$
22,369‌
$
22,065‌
GMACM
Mortgage
Corp.
Loan
Trust,
Series
2006-AR1,
Class
1A1
2.98%
04/19/36
4
61,053‌
46,071‌
HarborView
Mortgage
Loan
Trust,
Series
2005-4,
Class
2A
3.87%
07/19/35
4
765‌
669‌
HarborView
Mortgage
Loan
Trust,
Series
2005-9,
Class
2A1A
(LIBOR
USD
1-Month
plus
0.68%)
5.03%
06/20/35
2
106,455‌
94,049‌
HSI
Asset
Securitization
Corp.
Trust,
Series
2007-WF1,
Class
1A1
(LIBOR
USD
1-Month
plus
0.32%)
4.71%
05/25/37
2
40,165‌
39,926‌
IndyMac
Index
Mortgage
Loan
Trust,
Series
2004-AR5,
Class
2A1A
(LIBOR
USD
1-Month
plus
0.86%)
5.25%
08/25/34
2
6,270‌
5,204‌
IndyMac
Index
Mortgage
Loan
Trust,
Series
2006-AR4,
Class
A1A
(LIBOR
USD
1-Month
plus
0.42%)
4.81%
05/25/46
2
72,911‌
65,321‌
IndyMac
Index
Mortgage
Loan
Trust,
Series
2007-AR1,
Class
2A1
3.32%
06/25/37
4
57,794‌
36,730‌
JPMorgan
Mortgage
Acquisition
Trust,
Series
2005-WMC1,
Class
M3
(LIBOR
USD
1-Month
plus
0.71%)
5.09%
09/25/35
2
157,303‌
152,435‌
Long
Beach
Mortgage
Loan
Trust,
Series
2004-4,
Class
1A1
(LIBOR
USD
1-Month
plus
0.56%)
4.95%
10/25/34
2
100,360‌
94,531‌
Morgan
Stanley
ABS
Capital
I,
Inc.
Trust,
Series
2007-HE7,
Class
A2B
(LIBOR
USD
1-Month
plus
1.00%)
5.39%
07/25/37
2
67,734‌
65,699‌
Option
One
Mortgage
Loan
Trust
2005-4
Asset-Backed
Certificates,
Series
2005-4,
Class
M2
(LIBOR
USD
1-Month
plus
0.69%)
5.08%
11/25/35
2
79,179‌
73,761‌
PRPM
LLC,
Series
2021-3,
Class
A1
(STEP-reset
date
01/25/23)
1.87%
04/25/26
1
167,437‌
151,667‌
PRPM
LLC,
Series
2021-6,
Class
A1
(STEP-reset
date
01/25/23)
1.79%
07/25/26
1
70,679‌
64,161‌
Residential
Asset
Mortgage
Products
Trust,
Series
2004-SL1,
Class
A2
8.50%
11/25/31
4,097‌
1,374‌
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
Residential
Asset
Mortgage
Products
Trust,
Series
2006-NC3,
Class
M1
(LIBOR
USD
1-Month
plus
0.34%)
4.90%
03/25/36
2
$
84,567‌
$
80,322‌
Residential
Asset
Securities
Corp.,
Series
2005-AHL2,
Class
M1
(LIBOR
USD
1-Month
plus
0.63%)
5.02%
10/25/35
2
26,115‌
26,024‌
Structured
Asset
Mortgage
Investments
II
Trust,
Series
2006-AR1,
Class
3A1
(LIBOR
USD
1-Month
plus
0.46%)
4.85%
02/25/36
2
39,983‌
31,394‌
Terwin
NIMs
Trust,
Series
2004-13AL,
Class
2PX
(IO)
0.34%
08/25/34
1,5,8
1,495,451‌
19,399‌
VOLT
CIII
LLC,
Series
2021-CF1,
Class
A1
(STEP-reset
date
01/25/23)
1.99%
08/25/51
1
102,537‌
92,178‌
VOLT
XCIX,
LLC,
Series
2021-NPL8,
Class
A1
(STEP-reset
date
01/25/23)
2.12%
04/25/51
1
203,524‌
180,923‌
WaMu
Mortgage
Pass-Through
Certificates,
Series
2002-AR6,
Class
A
(Federal
Reserve
US
12-Month
Cumulative
Average
plus
1.40%)
3.45%
06/25/42
2
1,099‌
990‌
WaMu
Mortgage
Pass-Through
Certificates,
Series
2005-AR8,
Class
2AB2
(LIBOR
USD
1-Month
plus
0.84%)
5.23%
07/25/45
2
93,879‌
85,815‌
Wells
Fargo
Home
Equity
Asset-Backed
Securities
Trust,
Series
2005-4,
Class
M3
(LIBOR
USD
1-Month
plus
0.75%)
5.14%
12/25/35
2
100,000‌
97,559‌
Wells
Fargo
Mortgage-Backed
Securities
Trust,
Series
2003-I,
Class
A1
4.07%
09/25/33
4
5,752‌
5,533‌
2,473,218‌
U.S.
Agency
Commercial
Mortgage-Backed
1.76%
Freddie
Mac
Multifamily
Structured
Pass-Through
Certificates,
Series
K031,
Class
X1
(IO)
0.17%
04/25/23
4
18,529,085‌
5,295‌
Freddie
Mac
Multifamily
Structured
Pass-Through
Certificates,
Series
K033,
Class
X1
(IO)
0.28%
07/25/23
4
3,870,509‌
3,795‌
Freddie
Mac
Multifamily
Structured
Pass-Through
Certificates,
Series
K036,
Class
X1
(IO)
0.69%
10/25/23
4
4,950,635‌
19,765‌
Freddie
Mac
Multifamily
Structured
Pass-Through
Certificates,
Series
K044,
Class
X1
(IO)
0.74%
01/25/25
4
1,110,138‌
13,650‌
AlphaTrak
500
Fund
Schedule
of
Portfolio
Investments
December
31,
2022
(Unaudited)
December
2022
/
8
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Commercial
Mortgage-Backed
(continued)
Freddie
Mac
Multifamily
Structured
Pass-Through
Certificates,
Series
K732,
Class
X3
(IO)
2.17%
05/25/46
4
$
250,000‌
$
12,321‌
Freddie
Mac
Multifamily
Structured
Pass-Through
Certificates,
Series
KC05,
Class
X1
(IO)
1.21%
06/25/27
4
965,686‌
31,297‌
Freddie
Mac
Multifamily
Structured
Pass-Through
Certificates,
Series
KF88,
Class
AL
(LIBOR
USD
1-Month
plus
0.33%)
4.47%
09/25/30
2
118,056‌
116,008‌
Freddie
Mac
Multifamily
Structured
Pass-Through
Certificates,
Series
KJ30,
Class
A1
0.53%
01/25/25
56,080‌
55,067‌
Freddie
Mac
Multifamily
Structured
Pass-Through
Certificates,
Series
KJ31,
Class
A1
0.57%
05/25/26
47,385‌
45,768‌
Freddie
Mac
Multifamily
Structured
Pass-Through
Certificates,
Series
KJ32,
Class
A1
0.52%
06/25/25
57,955‌
54,758‌
Freddie
Mac
Multifamily
Structured
Pass-Through
Certificates,
Series
KS07,
Class
X
(IO)
0.63%
09/25/25
4
2,887,105‌
44,127‌
Ginnie
Mae,
Series
2014-157,
Class
C
3.15%
10/16/54
4
104,932‌
102,078‌
503,929‌
U.S.
Agency
Mortgage-Backed
10.44%
Fannie
Mae
Pool
802665
(LIBOR
USD
6-Month
plus
1.74%)
3.86%
12/01/34
2
579‌
568‌
Fannie
Mae
Pool
AL0851
6.00%
10/01/40
1,763‌
1,849‌
Fannie
Mae
REMICS,
Series
1997-91,
Class
SL
(IO)
(-2.00
X
LIBOR
USD
1-Month
plus
16.00%,
7.50%
Cap)
7.50%
11/25/23
2
1,456‌
17‌
Fannie
Mae
REMICS,
Series
2002-21,
Class
FB
(LIBOR
USD
1-Month
plus
0.90%)
5.29%
04/25/32
2
20,501‌
20,570‌
Fannie
Mae
REMICS,
Series
2002-53,
Class
FY
(LIBOR
USD
1-Month
plus
0.50%)
4.89%
08/25/32
2
72,026‌
71,880‌
Fannie
Mae
REMICS,
Series
2003-11,
Class
FA
(LIBOR
USD
1-Month
plus
1.00%)
5.39%
09/25/32
2
3,417‌
3,444‌
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Mortgage-Backed
(continued)
Fannie
Mae
REMICS,
Series
2003-81,
Class
FE
(LIBOR
USD
1-Month
plus
0.50%)
4.89%
09/25/33
2
$
24,869‌
$
24,684‌
Fannie
Mae
REMICS,
Series
2006-48,
Class
FL
(LIBOR
USD
1-Month
plus
0.40%)
4.79%
06/25/36
2
32,622‌
32,163‌
Fannie
Mae
REMICS,
Series
2006-8,
Class
NF
(LIBOR
USD
1-Month
plus
0.37%)
4.76%
03/25/36
2
27,943‌
27,462‌
Fannie
Mae
REMICS,
Series
2008-12,
Class
FA
(LIBOR
USD
1-Month
plus
0.67%)
5.06%
03/25/38
2
87,960‌
87,477‌
Fannie
Mae
REMICS,
Series
2010-109,
Class
PF
(LIBOR
USD
1-Month
plus
0.40%)
4.79%
10/25/40
2
2,944‌
2,919‌
Fannie
Mae
REMICS,
Series
2010-74,
Class
AF
(LIBOR
USD
1-Month
plus
0.54%)
4.93%
07/25/37
2
28,680‌
28,384‌
Freddie
Mac
REMICS,
Series
2684,
Class
F
(LIBOR
USD
1-Month
plus
0.90%)
5.22%
01/15/33
2
3,100‌
3,133‌
Freddie
Mac
REMICS,
Series
3231,
Class
FB
(LIBOR
USD
1-Month
plus
0.35%)
4.67%
10/15/36
2
55,353‌
54,322‌
Freddie
Mac
Strips,
Series
263,
Class
F5
(LIBOR
USD
1-Month
plus
0.50%)
4.82%
06/15/42
2
8,115‌
7,950‌
UMBS
(TBA)
2.50%
01/01/53
150,000‌
126,926‌
3.00%
01/01/53
575,000‌
504,393‌
3.50%
01/01/53
50,000‌
45,406‌
4.00%
01/01/53
225,000‌
210,976‌
4.50%
01/01/53
650,000‌
625,902‌
5.00%
01/01/53
1,125,000‌
1,108,521‌
2,988,946‌
Total
Mortgage-Backed
(Cost
$9,942,905)
8,953,245‌
MUNICIPAL
BONDS
1.23%*  
Colorado
0.46%
City
&
County
of
Denver
Airport
System
Revenue
Bonds,
Series
C
0.88%
11/15/23
135,000‌
130,387‌
AlphaTrak
500
Fund
Schedule
of
Portfolio
Investments
December
31,
2022
(Unaudited)
9
/
December
2022
Issues
Maturity
Date
Principal
Amount
Value
MUNICIPAL
BONDS
(continued)
Maryland
0.28%
City
of
Baltimore
General
Obligation,
School
Improvements,
Series
C
5.00%
10/15/25
$
80,000‌
$
80,254‌
New
York
0.49%
New
York
City
Transitional
Finance
Authority
Future
Tax
Secured
Revenue
Bonds,
Public
Improvements,
Series
A2
2.15%
05/01/25
150,000‌
141,239‌
Total
Municipal
Bonds
(Cost
$375,077)
351,880‌
Total
Bonds
79.33%
(Cost
$24,176,246)
22,709,303‌
Issues
Shares
Value
COMMON
STOCK
0.07%
Communications
0.07%
Intelsat
Emergence
SA
3,5,6,8
(Luxembourg)
772‌
18,682‌
Total
Common
Stock
(Cost
$25,862)
RIGHTS
0.00%
Communications
0.00%
Intelsat
Jackson
Holdings
SA,
Series
A
†,3,5,6,8
(Luxembourg)
80‌
—‌
Intelsat
Jackson
Holdings
SA,
Series
B
†,3,5,6,8
(Luxembourg)
80‌
—‌
—‌
Total
Rights
(Cost
$–)
—‌
Issues
Shares
Value
MUTUAL
FUNDS
0.12%
Mutual
Funds
0.12%
SPDR
S&P
500
ETF
Trust
10
91‌
34,801‌
Total
Mutual
Funds
(Cost
$34,970)
Issues
Maturity
Date
Principal
Amount
/
Shares
Value
SHORT-TERM
INVESTMENTS
20.55%
Money
Market
Funds
3.74%
Dreyfus
Government
Cash
Management
Fund
4.19%
11
575,000‌
575,000‌
Fidelity
Investments
Money
Market
Funds
-
Government
Portfolio
4.06%
11
495,947‌
495,947‌
1,070,947‌
Issues
Maturity
Date
Principal
Amount/Shares
Value
SHORT-TERM
INVESTMENTS
(continued)
U.S.
Agency
Discount
Notes
3.65%
Federal
Home
Loan
Bank
1.04%
12
06/14/24
$
500,000‌
$
473,722‌
1.20%
12
12/23/24
495,000‌
462,424‌
1.61%
12
09/04/24
115,000‌
109,235‌
1,045,381‌
U.S.
Treasury
Bills
13.16%
U.S.
Treasury
Bills
2.83%
12
01/05/23
1,800,000‌
1,799,637‌
4.50%
12
05/11/23
2,000,000‌
1,968,018‌
3,767,655‌
Total
Short-Term
Investments
(Cost
$5,949,229)
5,883,983‌
Total
Investments
-
100.07%
(Cost
$30,186,307)
28,646,769‌
Liabilities
in
Excess
of
Other
Assets
-
(0.07)%
(18,722‌)
Net
Assets
-
100.00%
$
28,628,047‌
1
Securities
exempt
from
registration
under
Rule
144A
of
the
Securities
Act
of
1933,
as
amended.
The
securities
may
be
resold
in
transactions
exempt
from
registration,
normally
to
qualified
institutional
buyers.
2
Floating
rate
security.
The
rate
disclosed
was
in
effect
at
December
31,
2022.
3
Foreign
denominated
security
issued
by
foreign
domiciled
entity.
4
Variable
rate
security.
Interest
rate
disclosed
is
as
of
the
most
recent
information
available.
Certain
variable
rate
securities
are
not
based
on
a
published
reference
rate
and
spread
but
are
determined
by
the
issuer
or
agent
and
are
based
on
current
market
conditions.
5
Security
is
valued
using
significant
unobservable
inputs
and
is
classified
as
Level
3
in
the
fair
value
hierarchy.
6
Non-income producing
security.
7
Security
is
currently
in
default
with
regard
to
scheduled
interest
or
principal
payments.
8
Illiquid
security
as
determined
under
procedures
approved
by
the
Board
of
Trustees.
The
aggregate
value
of
illiquid
securities
is
$52,085,
which
is
0.18%
of
total
net
assets.
9
Zero
coupon
bond.
The
rate
shown
is
the
effective
yield
as
of
December
31,
2022.
10
SPDR
S&P
500
ETF
Trust
(the
“S&P
500
ETF”)
is
a
unit
investment
trust
created
under
the
laws
of
the
State
of
New
York
and
registered
under
the
Investment
Company
Act
of
1940,
as
amended.
The
S&P
500
ETF
was
created
to
provide
investors
with
the
opportunity
to
purchase
a
security
representing
a
proportionate
undivided
interest
in
a
portfolio
of
securities
consisting
of
substantially
all
of
the
component
common
stocks,
in
substantially
the
same
weighting,
which
comprise
the
Standard
&
Poor’s
500
Index
(the
“S&P
500
Index”).
Each
unit
of
fractional
undivided
interest
in
the
S&P
500
ETF
is
referred
to
as
a
“Unit”.
The
S&P
500
ETF
seeks
to
provide
investment
results
that,
before
expenses,
correspond
generally
to
the
price
and
yield
performance
of
the
S&P
500
Index.
You
can
access
the
financial
statements
of
this
ETF
by
going
to
its
homepage
at
https://us.spdrs.com/en/etf/spdr-sp-500-etf-SPY.
11
Represents
the
current
yield
as
of
December
31,
2022.
12
Represents
annualized
yield
at
date
of
purchase.
Fair
valued
security.
The
aggregate
value
of
fair
valued
securities
is
$0,
which
is
0.00%
of
total
net
assets.
Fair
valued
securities
were
not
valued
utilizing
an
independent
quote
but
were
valued
pursuant
to
guidelines
approved
by
the
Board
of
Trustees.
See
Notes
to
Financial
Statements.
*
Securities
with
a
call
or
reset
feature
will
have
an
effective
maturity
date
sooner
than
the
stated
maturity.
**
Securities
backed
by
mortgage
or
consumer
loans
where
payment
is
periodically
made
will
have
an
effective
maturity
date
sooner
than
the
stated
maturity
date.
AlphaTrak
500
Fund
Schedule
of
Portfolio
Investments
December
31,
2022
(Unaudited)
December
2022
/
10
Note:
For
Fund
compliance
purposes,
the
Fund's
industry
classifications
refer
to
any
one
or
more
of
the
industry
sub-classifications
used
by
one
or
more
widely
recognized
market
indexes
or
ratings
group
indexes,
and/or
as
defined
by
Fund
management.
This
definition
may
not
apply
for
purposes
of
this
report,
which
may
combine
industry
sub-classifications
for
more
meaningful
presentation
for
investors.
(CLO):
Collateralized
Loan
Obligation
(ETF):
Exchange-Traded
Fund
(GMTN):
Global
Medium-Term
Note
(IO):
Interest
Only
(LIBOR):
London
InterBank
Offer
Rate
(MTN):
Medium-Term
Note
(S&P):
Standard
&
Poor’s
(SOFR):
Secured
Overnight
Financing
Rate
(SPDR):
Standard
&
Poor’s
Depositary
Receipts
(STEP):
Step
Coupon
Bond
(TBA):
To-Be-Announced
(USD):
U.S.
Dollar
Description
Number
of
Contracts
Expiration
Date
Notional
Amount
Value
Unrealized
(Depreciation)
FUTURES
CONTRACTS:
LONG
POSITIONS
S&P
500
E-mini
Index
148
03/17/23
$
28,575,100‌
$
(1,206,554‌)
$
(1,206,554‌)
AlphaTrak
500
Fund
Schedule
of
Portfolio
Investments
December
31,
2022
(Unaudited)
11
/
December
2022
SIGNIFICANT
ACCOUNTING
POLICIES
The
following
is
a
summary
of
significant
accounting
policies
consistently
followed
by
the
Fund:
Net
Asset
Value
The
Net
Asset
Value
(“NAV”)
of
each
class
of
the
Fund
is
determined
by
dividing
the
net
assets
attributable
to
each
class
of
shares
of
the
Fund
by
the
number
of
issued
and
outstanding
shares
of
the
class
of
the
Fund
on
each
business
day
as
of
4
p.m.
ET.
Security
Valuation
Pursuant
to
Rule
2a-5
under
the
1940
Act,
the
Board
of
Trustees
(the
"Board"
or
the
"Board
of
Trustees")
has
designated
the
Adviser
as
the
"valuation
designee"
with
respect
to
the
fair
valuation
of
the
Fund's
portfolio
securities,
subject
to
oversight
by
and
periodic
reporting
to
the
Board. Fixed
income
securities
for
which
market
quotations
are
readily
available were
valued
during
the
period at
prices
as
provided
by
independent
pricing
vendors
or
broker
quotes.
The
Fund
received
pricing
information
from
independent
pricing
vendors
selected
and
overseen
by
the
valuation
designee.
Securities
with
a
demand
feature
exercisable
within
one
to
seven
days
are
valued
at
par.
The
Fund
also
uses
a
benchmark
pricing
system
to
the
extent
vendors’
prices
for
their
securities
are
either
inaccurate
(such
as
when
the
reported
prices
are
different
from
recent
known
market
transactions)
or
are
not
available
from
another
pricing
source.
For
a
security
priced
using
this
system,
the
Adviser
initially
selects
a
proxy
composed
of
a
relevant
security
(e.g.,
U.S.
Treasury
Note)
or
benchmark
(e.g.,
LIBOR)
and
a
multiplier,
divisor
or
margin
that
the
Adviser
believes
would
together
best
reflect
changes
in
the
market
value
of
the
security.
The
value
of
the
security
changes
daily
based
on
changes
to
the
market
price
of
the
assigned
benchmark.
The
benchmark
pricing
system
is
continuously
reviewed
by
the
Adviser
and
implemented
according
to
the
pricing
policy
reviewed
by
the
Board.
S&P
500
Index
futures
contracts
are
valued
at
the
first
sale
price
after
4
p.m.
ET
on
the
Chicago
Mercantile
Exchange.
All
other
futures
contracts
are
valued
at
the
official
settlement
price
of
the
exchange
on
which
those
securities
are
traded.
Equity
securities,
including
depository
receipts,
are
valued
at
the
last
reported
sale
price
or
the
market’s
closing
price
on
the
exchange
or
market
on
which
such
securities
are
traded,
as
of
the
close
of
business
on
the
day
the
securities
are
being
valued
or,
lacking
any
sales,
at
the
average
of
the
bid
and
ask
prices.
In
cases
where
equity
securities
are
traded
on
more
than
one
exchange,
the
securities
are
valued
on
the
exchange
or
market
determined
by
the
Adviser
to
be
the
broadest
and
most
representative
market,
which
may
be
either
a
securities
exchange
or
the
over-the-counter
market.
Equity
options
are
valued
at
the
average
of
the
bid
and
ask
prices.
Securities
and
other
assets
that
could
not be
valued
as
described
above were
valued
for
the
period at
their
fair
value
as
determined
by
the
Adviser
in
accordance
with
procedures
approved by
and
under
the
general
oversight
of
the
Board.
Investments
in
registered
open-ended
investment
companies,
including
those
classified
as
money
market
funds,
are
valued
based
upon
the
reported
NAV
of
such
investments.
Fair
value
methods
approved
by
the
Board
of
Trustees
for
the
period included,
but were
not
limited
to,
obtaining
market
quotations
from
secondary
pricing
services,
broker-dealers,
or
widely
used
quotation
systems.
General
factors
considered
in
determining
the
fair
value
of
securities
include
fundamental
analytical
data,
the
nature
and
duration
of
any
restrictions
on
disposition
of
the
securities,
and
an
evaluation
of
the
forces
that
influence
the
market
in
which
the
investments
are
purchased
and
sold.
These
securities
are
either
categorized
as
Level
2
or
3
depending
on
the
relevant
inputs
used.
In
the
event
that
the
security
or
asset
could
not be
valued
pursuant
to
one
of
the
valuation
methods
approved
by
the
Board,
the
value
of
the
security
or
asset was
determined
in
good
faith
by
the Adviser,
as
the
valuation
designee.
When
the
Fund
uses
these
fair
valuation
methods that
use
significant
unobservable
inputs
to
determine
NAV,
securities
will
be
priced
by
a
method
that
the
Adviser
believes
accurately
reflects
fair
value
and
are
categorized
as
Level
3
of
the
fair
value
hierarchy.
These
methods
may
require
subjective
determinations
about
the
value
of
a
security.
While
the
Fund’s
policy
is
intended
to
result
in
a
calculation
of
its
NAV
that
fairly
reflects
security
values
as
of
the
time
of
pricing,
the
Fund
cannot
guarantee
that
values
determined
by
the
Adviser
would
accurately
reflect
the
price
that
the
Fund
could
obtain
for
a
security
if
it
were
to
dispose
of
that
security
as
of
the
time
of
pricing
(for
instance,
in
a
forced
or
distressed
sale).
The
prices
used
by
the
Fund
may
differ
from
the
value
that
would
be
realized
if
the
securities
were
sold.
Fair
Value
Measurements
Various
inputs
are
used
in
determining
the
fair
value
of
investments,
which
are
as
follows:
*
Level
1
-
unadjusted
quoted
prices
in
active
markets
for
identical
securities
*
Level
2
-
other
significant
observable
inputs
(including
quoted
prices
for
similar
securities,
interest
rates,
prepayment
speeds,
credit
risk,
etc.)
*
Level
3
-
significant
unobservable
inputs
that
are
not
corroborated
by
observable
market
data
AlphaTrak
500
Fund
Schedule
of
Portfolio
Investments
December
31,
2022
(Unaudited)
December
2022
/
12
The
inputs
or
methodology
used
for
valuing
investments
are
not
necessarily
an
indication
of
the
risk
associated
with
investing
in
those
investments
and
the
determination
of
the
significance
of
a
particular
input
to
the
fair
value
measurement
in
its
entirety
requires
judgment
and
consideration
of
factors
specific
to
each
security.
The
availability
of
observable
inputs
can
vary
from
security
to
security
and
is
affected
by
a
wide
variety
of
factors,
including,
for
example,
the
type
of
security,
whether
the
security
is
new
and
not
yet
established
in
the
marketplace,
the
liquidity
of
markets,
and
other
characteristics
particular
to
the
security.
To
the
extent
that
valuation
is
based
on
models
or
inputs
that
are
less
observable
or
unobservable
in
the
market,
the
determination
of
fair
value
requires
more
judgment.
Accordingly,
the
degree
of
judgment
exercised
in
determining
fair
value
is
greatest
for
instruments
categorized as
Level
3.
In
periods
of
market
dislocation,
the
observability
of
prices
and
inputs
may
be
reduced
for
many
instruments.
This
condition,
as
well
as
changes
related
to
liquidity
of
investments,
could
cause
a
security
to
be
reclassified
between
Level
1,
Level
2,
or
Level
3.
In
certain
cases,
the
inputs
used
to
measure
fair
value
may
fall
into
different
levels
of
the
fair
value
hierarchy.
In
such
cases,
for
disclosure
purposes
the
level
in
the
fair
value
hierarchy
within
which
the
fair
value
measurement
falls
in
its
entirety
is
determined
based
on
the
lowest
level
input
that
is
significant
to
the
fair
value
measurement
in
its
entirety.
The
summary
of
inputs
used
to
value
the
Fund’s
investments
and
other
financial
instruments
carried
at
fair
value
as
of
December
31,
2022
is
as
follows:
ALPHATRAK
500
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTAL
Investments
in
Securities
Assets:
Short-Term
Investments:
Money
Market
Funds
$
1,070,947‌
$
—‌
$
—‌
$
1,070,947‌
U.S.
Agency
Discount
Notes
—‌
1,045,381‌
—‌
1,045,381‌
U.S.
Treasury
Bills
3,767,655‌
—‌
—‌
3,767,655‌
Long-Term
Investments:
Asset-Backed
Securities
—‌
4,142,796‌
—‌
4,142,796‌
Common
Stock
—‌
—‌
18,682‌
18,682‌
Corporates
—‌
9,261,382‌
—‌
9,261,382‌
Mortgage-Backed
Securities
—‌
8,919,842‌
33,403‌
8,953,245‌
Municipal
Bonds
—‌
351,880‌
—‌
351,880‌
Mutual
Funds
34,801‌
—‌
—‌
34,801‌
Rights
—‌
—‌
—‌
—‌
Other
Financial
Instruments
*
Liabilities:
Equity
contracts
(
1,206,554‌
)
—‌
—‌
(
1,206,554‌
)
Total
$
3,666,849‌
$
23,721,281‌
$
52,085‌
$
27,440,215‌
*Other
financial
instruments
include
futures.
Equity
contracts
include
futures.
AlphaTrak
500
Fund
Schedule
of
Portfolio
Investments
December
31,
2022
(Unaudited)
13
/
December
2022
Certain
securities
held
by
the
Funds
are
categorized
as
Level
3
investments.
Their
prices
may
be
derived
by
utilizing
unobservable
prior
transaction
values
or
information
from
third
party
valuation
services.
The
value
of
Level
3
investments
could
be
significantly
affected
by
changes
in
these
unobservable
inputs.
For
the
period
ended
December
31,
2022
a
reconciliation
of
Level
3
investments
is
presented
when
the
Fund
had
a
significant
amount
of
Level
3
investments
at
the
beginning
and/or
end
of
the
period
in
relation
to
net
assets.
The
following
table
is
a
reconciliation
of
Level
3
investments
for
which
significant
unobservable
inputs
were
used
in
determining
fair
value:
ALPHATRAK
500
FUND
COMMON
STOCK
MORTGAGE-
BACKED
SECURITIES
Balance
as
of
April
1,
2022
$
23,160‌
$
42,950‌
Accrued
discounts/premiums
—‌
(
9,207‌
)
Realized
gain
(loss)
—‌
—‌
Change
in
unrealized
(depreciation)*
(
4,478‌
)
(
340‌
)
Purchases
—‌
—‌
Sales
—‌
—‌
Transfers
into
Level
3**
—‌
—‌
Transfers
out
of
Level
3**
—‌
—‌
Balance
as
of
December
31,
2022
$
18,682‌
$
33,403‌
*The
change
in
unrealized
appreciation
(depreciation)
on
securities
still
held
at
December
31,
2022
was
$(4,818)
and
is
included
in
the
related
net
realized
gains
(losses)
and
net
change
in
appreciation
(depreciation)
in
the
Statements
of
Operations.
**There
were
no
transfers
between
level
2
and
3
for
the
period
ended
December
31,
2022.
Significant
unobservable
valuations
inputs
for
Level
3
investments
as
of
December
31,
2022,
are
as
follows:
ALPHATRAK
500
FUND
FAIR
VALUE
AT
12/31/22
VALUATION
TECHNIQUE
*
UNOBSERVABLE
INPUT
RANGE
WEIGHTED
AVERAGE
INPUT
TO
VALUATION
IF
INPUT
INCREASES
Common
Stock
$18,682
Third-Party
Vendor
Vendor
Prices
$24.20
$24.20
Increase
Corporate
Securities
$—
Broker
Quote
Offered
Quote
$—
$—
Increase
Mortgage-Backed
Securities-Non-Agency
$19,399
Third-Party
Vendor
Vendor
Prices
$1.30
$1.30
Increase
Mortgage-Backed
Securities-
Non-Agency
Commercial
$14,004
Third-Party
Vendor
Vendor
Prices
$0.03
-
$2.18
$2.17
Increase
Mortgage-Backed
Securities-
U.S.
Agency
Commercial
$—
Broker
Quote
Offered
Quote
$—
$—
Increase
Rights
$—
Broker
Quote
Offered
Quote
$—
$—
Increase
*
The
valuation
technique
employed
on
the
Level
3
securities
involves
the
use
of
vendor
prices,
broker
quotes
and
benchmark
pricing.
The
Adviser
monitors
the
third-party
brokers
and
vendors
using
the
valuation
process.