Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
U.S. TREASURY BILLS — 133.0%
|
|||||
$123,811,200
|
U.S. Treasury Bill (a)
|
(b)
|
11/29/24
|
$119,759,630
|
|
|
(Cost $119,712,932)
|
|
|
|
Shares
|
Description
|
Value
|
|||
MONEY MARKET FUNDS — 1.0%
|
|||||
908,967
|
Dreyfus Government Cash Management Fund, Institutional Shares - 5.20% (c)
|
908,967
|
|||
|
(Cost $908,967)
|
|
|||
|
Total Investments — 134.0%
|
120,668,597
|
|||
|
(Cost $120,621,899)
|
|
Number of
Contracts
|
Description
|
Notional
Amount
|
Exercise
Price
|
Expiration
Date
|
Value
|
PURCHASED OPTIONS — 0.3%
|
|||||
|
Call Options Purchased — 0.3%
|
|
|||
4,348
|
SPDR® Gold Shares
|
$89,447,056
|
$283.50
|
11/29/24
|
247,836
|
|
(Cost $456,452)
|
|
|
|
|
WRITTEN OPTIONS — (34.1)%
|
|||||
|
Call Options Written — (0.8)%
|
|
|||
(2,117)
|
SPDR® Gold Shares
|
(43,550,924
)
|
205.72
|
04/30/24
|
(745,184
)
|
|
(Premiums received $742,433)
|
|
|
|
|
|
Put Options Written — (33.3)%
|
|
|||
(4,348)
|
SPDR® Gold Shares
|
(89,447,056
)
|
283.50
|
11/29/24
|
(29,988,156
)
|
|
(Premiums received $35,765,380)
|
|
|
|
|
|
Total Written Options
|
(30,733,340
)
|
|||
|
(Premiums received $36,507,813)
|
|
|||
|
Net Other Assets and Liabilities — (0.2)%
|
(156,938
)
|
|||
|
Net Assets — 100.0%
|
$90,026,155
|
(a)
|
All or a portion of this security is segregated as collateral for the options written.
At March 31, 2024, the segregated value of this
security amounts to $56,594,468.
|
(b)
|
Zero coupon security.
|
(c)
|
Rate shown reflects yield as of March 31, 2024.
|
ASSETS TABLE
|
||||
|
Total
Value at
3/31/2024
|
Level 1
Quoted
Prices
|
Level 2
Significant
Observable
Inputs
|
Level 3
Significant
Unobservable
Inputs
|
U.S. Treasury Bills
|
$119,759,630
|
$—
|
$119,759,630
|
$—
|
Money Market Funds
|
908,967
|
908,967
|
—
|
—
|
Total Investments
|
120,668,597
|
908,967
|
119,759,630
|
—
|
Purchased Options
|
247,836
|
—
|
247,836
|
—
|
Total
|
$120,916,433
|
$908,967
|
$120,007,466
|
$—
|
LIABILITIES TABLE
|
||||
|
Total
Value at
3/31/2024
|
Level 1
Quoted
Prices
|
Level 2
Significant
Observable
Inputs
|
Level 3
Significant
Unobservable
Inputs
|
Written Options
|
$(30,733,340
)
|
$—
|
$(30,733,340
)
|
$—
|