GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments
December 31, 2020
(Unaudited)
1
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
2
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
3
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Over-the-counter total return swaps outstanding as of December 31, 2020
The Fund maintains a portfolio of short positions and receives/pays a rebate based upon the Fed Funds 1-Day Rate less a specified spread as negotiated by the parties. The notional gain or loss, dividends payable and rebates are payable the earlier of maturity of the swaps or upon termination. The portfolio matures between June 3, 2021 and November 2, 2022, however underlying individual contracts are entered into and closed (terminated) on a daily basis. The cash amounts payable/receivable due to individual contracts being closed are settled, on a net basis, once a week. The value of total return swaps represents (149.4)% of net assets as of December 31. 2020.
The following table represents the individual short positions and related values of total return swaps as of December 31, 2020:
Total Return Swaps
| Number of | Unrealized | |||||||||||||||||||||
| Contracts | Notional | Appreciation/ | ||||||||||||||||||||
| Reference Entity |
Counterparty |
(Short) | Amount | Value | (Depreciation)* | |||||||||||||||||
| Short |
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| Automobiles & Components |
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| Tesla, Inc. |
Morgan Stanley | (9 | ) | $ | (5,959 | ) | $ | (6,351 | ) | $ | (394 | ) | ||||||||||
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| Capital Goods |
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| Aerojet Rocketdyne Holdings, Inc. |
Morgan Stanley | (134 | ) | (6,912 | ) | (7,082 | ) | (172 | ) | |||||||||||||
| Bloom Energy Corp., Class A |
Morgan Stanley | (515 | ) | (13,415 | ) | (14,760 | ) | (1,348 | ) | |||||||||||||
| Boeing Co. (The) |
Morgan Stanley | (375 | ) | (81,325 | ) | (80,272 | ) | 1,034 | ||||||||||||||
| Builders FirstSource, Inc. |
Morgan Stanley | (59 | ) | (2,446 | ) | (2,408 | ) | 37 | ||||||||||||||
| BWX Technologies, Inc. |
Morgan Stanley | (466 | ) | (27,119 | ) | (28,090 | ) | (1,006 | ) | |||||||||||||
| Carlisle Cos, Inc. |
Morgan Stanley | (3 | ) | (463 | ) | (469 | ) | (7 | ) | |||||||||||||
| Flowserve Corp. |
Morgan Stanley | (1,042 | ) | (36,619 | ) | (38,398 | ) | (2,010 | ) | |||||||||||||
| Huntington Ingalls Industries, Inc. |
Morgan Stanley | (97 | ) | (17,008 | ) | (16,537 | ) | 513 | ||||||||||||||
| Mercury Systems, Inc. |
Morgan Stanley | (1 | ) | (88 | ) | (88 | ) | (1 | ) | |||||||||||||
| Navistar International Corp. |
Morgan Stanley | (321 | ) | (14,131 | ) | (14,111 | ) | 17 | ||||||||||||||
| Oshkosh Corp. |
Morgan Stanley | (608 | ) | (49,940 | ) | (52,331 | ) | (2,402 | ) | |||||||||||||
| Parsons Corp. |
Morgan Stanley | (509 | ) | (17,570 | ) | (18,533 | ) | (967 | ) | |||||||||||||
| Proto Labs, Inc. |
Morgan Stanley | (209 | ) | (31,741 | ) | (32,061 | ) | (327 | ) | |||||||||||||
| Rexnord Corp |
Morgan Stanley | (5 | ) | (199 | ) | (197 | ) | 1 | ||||||||||||||
| Spirit AeroSystems Holdings, Inc., Class A |
Morgan Stanley | (132 | ) | (4,882 | ) | (5,160 | ) | (280 | ) | |||||||||||||
| Sunrun, Inc. |
Morgan Stanley | (49 | ) | (3,196 | ) | (3,400 | ) | (205 | ) | |||||||||||||
| Trex Co., Inc. |
Morgan Stanley | (525 | ) | (41,571 | ) | (43,953 | ) | (2,392 | ) | |||||||||||||
| Woodward, Inc. |
Morgan Stanley | (275 | ) | (31,652 | ) | (33,421 | ) | (1,776 | ) | |||||||||||||
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| (5,325 | ) | (380,277 | ) | (391,271 | ) | (11,291 | ) | |||||||||||||||
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| Commercial & Professional Services |
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| Equifax, Inc. |
Morgan Stanley | (388 | ) | (74,753 | ) | (74,822 | ) | (92 | ) | |||||||||||||
| MSA Safety, Inc. |
Morgan Stanley | (134 | ) | (19,602 | ) | (20,018 | ) | (421 | ) | |||||||||||||
| TransUnion |
Morgan Stanley | (169 | ) | (16,293 | ) | (16,768 | ) | (491 | ) | |||||||||||||
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| (691 | ) | (110,648 | ) | (111,608 | ) | (1,004 | ) | |||||||||||||||
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4
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
| Number of | Unrealized | ||||||||||||||||||||||
| Contracts | Notional | Appreciation/ | |||||||||||||||||||||
| Reference Entity |
Counterparty |
(Short) | Amount | Value | (Depreciation)* | ||||||||||||||||||
| Consumer Durables & Apparel |
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| Capri Holdings Ltd. (British Virgin |
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| Islands) |
Morgan Stanley | (311 | ) | $ | (12,189 | ) | $ | (13,062 | ) | $ | (876 | ) | |||||||||||
| Skechers U.S.A., Inc., Class A |
Morgan Stanley | (560 | ) | (21,031 | ) | (20,126 | ) | 899 | |||||||||||||||
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| (871 | ) | (33,220 | ) | (33,188 | ) | 23 | |||||||||||||||||
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| Consumer Services |
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| Aramark |
Morgan Stanley | (492 | ) | (18,685 | ) | (18,932 | ) | (252 | ) | ||||||||||||||
| Bright Horizons Family Solutions, Inc. |
Morgan Stanley | (7 | ) | (1,183 | ) | (1,211 | ) | (29 | ) | ||||||||||||||
| Caesars Entertainment, Inc. |
Morgan Stanley | (17 | ) | (1,149 | ) | (1,263 | ) | (114 | ) | ||||||||||||||
| Churchill Downs, Inc. |
Morgan Stanley | (14 | ) | (2,520 | ) | (2,727 | ) | (214 | ) | ||||||||||||||
| frontdoor, Inc. |
Morgan Stanley | (8 | ) | (401 | ) | (402 | ) | (1 | ) | ||||||||||||||
| Hilton Worldwide Holdings, Inc. |
Morgan Stanley | (6 | ) | (661 | ) | (668 | ) | (8 | ) | ||||||||||||||
| Hyatt Hotels Corp., Class A |
Morgan Stanley | (103 | ) | (7,290 | ) | (7,648 | ) | (360 | ) | ||||||||||||||
| Planet Fitness, Inc., Class A |
Morgan Stanley | (5 | ) | (382 | ) | (388 | ) | (6 | ) | ||||||||||||||
| Starbucks Corp. |
Morgan Stanley | (11 | ) | (1,168 | ) | (1,177 | ) | (9 | ) | ||||||||||||||
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| (663 | ) | (33,439 | ) | (34,416 | ) | (993 | ) | ||||||||||||||||
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| Energy |
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| Cabot Oil & Gas Corp. |
Morgan Stanley | (1,359 | ) | (28,808 | ) | (22,125 | ) | 6,269 | |||||||||||||||
| Cameco Corp. (Canada) |
Morgan Stanley | (36 | ) | (393 | ) | (482 | ) | (90 | ) | ||||||||||||||
| Cenovus Energy, Inc. (Canada) |
Morgan Stanley | (150 | ) | (878 | ) | (906 | ) | (29 | ) | ||||||||||||||
| Exxon Mobil Corp. |
Morgan Stanley | (16 | ) | (667 | ) | (660 | ) | 7 | |||||||||||||||
| HollyFrontier Corp. |
Morgan Stanley | (208 | ) | (4,871 | ) | (5,377 | ) | (508 | ) | ||||||||||||||
| Pembina Pipeline Corp. (Canada) |
Morgan Stanley | (1,323 | ) | (46,914 | ) | (31,302 | ) | 13,413 | |||||||||||||||
| Renewable Energy Group, Inc. |
Morgan Stanley | (8 | ) | (604 | ) | (567 | ) | 37 | |||||||||||||||
| Suncor Energy, Inc. (Canada) |
Morgan Stanley | (3,175 | ) | (56,571 | ) | (53,276 | ) | 2,868 | |||||||||||||||
| TC Energy Corp. (Canada) |
Morgan Stanley | (765 | ) | (33,722 | ) | (31,151 | ) | 2,103 | |||||||||||||||
| TechnipFMC PLC (United Kingdom) |
Morgan Stanley | (176 | ) | (1,587 | ) | (1,654 | ) | (68 | ) | ||||||||||||||
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| (7,216 | ) | (175,015 | ) | (147,500 | ) | 24,002 | |||||||||||||||||
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| Food & Staples Retailing |
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| Grocery Outlet Holding Corp. |
Morgan Stanley | (953 | ) | (41,982 | ) | (37,405 | ) | 4,567 | |||||||||||||||
| Performance Food Group Co. |
Morgan Stanley | (44 | ) | (2,070 | ) | (2,095 | ) | (26 | ) | ||||||||||||||
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| (997 | ) | (44,052 | ) | (39,500 | ) | 4,541 | |||||||||||||||||
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| Food, Beverage & Tobacco |
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| Beyond Meat, Inc. |
Morgan Stanley | (763 | ) | (107,457 | ) | (95,375 | ) | 12,058 | |||||||||||||||
| Darling Ingredients, Inc. |
Morgan Stanley | (159 | ) | (8,813 | ) | (9,171 | ) | (360 | ) | ||||||||||||||
| Hormel Foods Corp. |
Morgan Stanley | (1,694 | ) | (79,809 | ) | (78,957 | ) | 895 | |||||||||||||||
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| (2,616 | ) | (196,079 | ) | (183,503 | ) | 12,593 | |||||||||||||||||
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| Health Care Equipment & Services |
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| ABIOMED, Inc. |
Morgan Stanley | (26 | ) | (8,309 | ) | (8,429 | ) | (122 | ) | ||||||||||||||
| Alcon, Inc. (Switzerland) |
Morgan Stanley | (13 | ) | (842 | ) | (858 | ) | (17 | ) | ||||||||||||||
| Covetrus, Inc. |
Morgan Stanley | (61 | ) | (1,786 | ) | (1,753 | ) | 32 | |||||||||||||||
| DexCom, Inc. |
Morgan Stanley | (86 | ) | (30,377 | ) | (31,796 | ) | (1,426 | ) | ||||||||||||||
| Edwards Lifesciences Corp. |
Morgan Stanley | (386 | ) | (33,901 | ) | (35,215 | ) | (1,322 | ) | ||||||||||||||
| Encompass Health Corp. |
Morgan Stanley | (578 | ) | (47,374 | ) | (47,795 | ) | (610 | ) | ||||||||||||||
| Globus Medical, Inc., Class A |
Morgan Stanley | (637 | ) | (35,701 | ) | (41,545 | ) | (5,853 | ) | ||||||||||||||
5
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
| Number of | Unrealized | |||||||||||||||||
| Contracts | Notional | Appreciation/ | ||||||||||||||||
| Reference Entity |
Counterparty | (Short) | Amount | Value | (Depreciation)* | |||||||||||||
| Health Care Equipment & Services — (continued) |
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| Guardant Health, Inc. |
Morgan Stanley | (11 | ) | $ | (1,390 | ) | $ | (1,418 | ) | $ | (28 | ) | ||||||
| Haemonetics Corp. |
Morgan Stanley | (368 | ) | (39,314 | ) | (43,700 | ) | (4,395 | ) | |||||||||
| ICU Medical, Inc. |
Morgan Stanley | (2 | ) | (429 | ) | (429 | ) | (1 | ) | |||||||||
| IDEXX Laboratories, Inc. |
Morgan Stanley | (1 | ) | (499 | ) | (500 | ) | (2 | ) | |||||||||
| Inari Medical, Inc. |
Morgan Stanley | (20 | ) | (1,719 | ) | (1,746 | ) | (28 | ) | |||||||||
| Integra LifeSciences Holdings Corp. |
Morgan Stanley | (488 | ) | (27,199 | ) | (31,681 | ) | (4,489 | ) | |||||||||
| Intuitive Surgical, Inc. |
Morgan Stanley | (20 | ) | (16,139 | ) | (16,362 | ) | (227 | ) | |||||||||
| SmileDirectClub, Inc. |
Morgan Stanley | (91 | ) | (1,178 | ) | (1,087 | ) | 91 | ||||||||||
| Tandem Diabetes Care, Inc. |
Morgan Stanley | (7 | ) | (623 | ) | (670 | ) | (47 | ) | |||||||||
| Teleflex, Inc. |
Morgan Stanley | (195 | ) | (73,705 | ) | (80,256 | ) | (6,568 | ) | |||||||||
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| (2,990 | ) | (320,485 | ) | (345,240 | ) | (25,012 | ) | |||||||||||
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| Materials |
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| Air Products & Chemicals, Inc. |
Morgan Stanley | (273 | ) | (78,132 | ) | (74,589 | ) | 3,160 | ||||||||||
| Balchem Corp. |
Morgan Stanley | (29 | ) | (2,995 | ) | (3,341 | ) | (364 | ) | |||||||||
| CF Industries Holdings, Inc. |
Morgan Stanley | (844 | ) | (32,840 | ) | (32,671 | ) | 161 | ||||||||||
| Element Solutions, Inc. |
Morgan Stanley | (1,389 | ) | (19,869 | ) | (24,627 | ) | (4,787 | ) | |||||||||
| Equinox Gold Corp. (Canada) |
Morgan Stanley | (1,090 | ) | (14,078 | ) | (11,271 | ) | 2,804 | ||||||||||
| Graphic Packaging Holding Co. |
Morgan Stanley | (72 | ) | (1,219 | ) | (1,220 | ) | (1 | ) | |||||||||
| Kirkland Lake Gold Ltd. (Canada) |
Morgan Stanley | (1,813 | ) | (80,096 | ) | (74,823 | ) | 4,915 | ||||||||||
| Nutrien Ltd. (Canada) |
Morgan Stanley | (684 | ) | (33,914 | ) | (32,941 | ) | 657 | ||||||||||
| SSR Mining, Inc. (Canada) |
Morgan Stanley | (33 | ) | (660 | ) | (664 | ) | (4 | ) | |||||||||
| Steel Dynamics, Inc. |
Morgan Stanley | (476 | ) | (18,029 | ) | (17,550 | ) | 356 | ||||||||||
| Teck Resources Ltd., Class B (Canada) |
Morgan Stanley | (4,957 | ) | (80,962 | ) | (89,970 | ) | (9,233 | ) | |||||||||
| Westlake Chemical Corp. |
Morgan Stanley | (136 | ) | (10,719 | ) | (11,098 | ) | (381 | ) | |||||||||
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| (11,796 | ) | (373,513 | ) | (374,765 | ) | (2,717 | ) | |||||||||||
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| Media & Entertainment |
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| ANGI Homeservices, Inc., Class A |
Morgan Stanley | (2,743 | ) | (33,575 | ) | (36,194 | ) | (2,626 | ) | |||||||||
| Discovery, Inc., Class A |
Morgan Stanley | (1,533 | ) | (43,130 | ) | (46,128 | ) | (3,008 | ) | |||||||||
| Live Nation Entertainment, Inc. |
Morgan Stanley | (222 | ) | (12,383 | ) | (16,313 | ) | (3,933 | ) | |||||||||
| New York Times Co. (The), Class A |
Morgan Stanley | (253 | ) | (13,023 | ) | (13,098 | ) | (78 | ) | |||||||||
| TripAdvisor, Inc. |
Morgan Stanley | (1,590 | ) | (38,924 | ) | (45,760 | ) | (6,845 | ) | |||||||||
| Walt Disney Co. (The) |
Morgan Stanley | (367 | ) | (53,044 | ) | (66,493 | ) | (13,461 | ) | |||||||||
| Zynga, Inc., Class A |
Morgan Stanley | (10,904 | ) | (100,920 | ) | (107,622 | ) | (6,724 | ) | |||||||||
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| (17,612 | ) | (294,999 | ) | (331,608 | ) | (36,675 | ) | |||||||||||
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| Pharmaceuticals, Biotechnology & Life Sciences |
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| 10X Genomics, Inc., Class A |
Morgan Stanley | (295 | ) | (43,676 | ) | (41,772 | ) | 1,894 | ||||||||||
| Adaptive Biotechnologies Corp. |
Morgan Stanley | (5 | ) | (297 | ) | (296 | ) | — | ||||||||||
| Allogene Therapeutics, Inc. |
Morgan Stanley | (742 | ) | (26,220 | ) | (18,728 | ) | 7,485 | ||||||||||
| Alnylam Pharmaceuticals, Inc. |
Morgan Stanley | (5 | ) | (653 | ) | (650 | ) | 2 | ||||||||||
| Arrowhead Pharmaceuticals, Inc. |
Morgan Stanley | (308 | ) | (13,308 | ) | (23,633 | ) | (10,328 | ) | |||||||||
| Bruker Corp. |
Morgan Stanley | (603 | ) | (30,192 | ) | (32,640 | ) | (2,473 | ) | |||||||||
| Elanco Animal Health, Inc. |
Morgan Stanley | (3,520 | ) | (109,099 | ) | (107,958 | ) | 1,117 | ||||||||||
| Eli Lilly & Co. |
Morgan Stanley | (534 | ) | (86,963 | ) | (90,161 | ) | (3,217 | ) | |||||||||
| Exelixis, Inc. |
Morgan Stanley | (1,156 | ) | (23,613 | ) | (23,201 | ) | 407 | ||||||||||
| Ionis Pharmaceuticals, Inc. |
Morgan Stanley | (112 | ) | (6,347 | ) | (6,332 | ) | 12 | ||||||||||
6
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
| Number of | Unrealized | ||||||||||||||||||||||
| Contracts | Notional | Appreciation/ | |||||||||||||||||||||
| Reference Entity |
Counterparty |
(Short) | Amount | Value | (Depreciation)* | ||||||||||||||||||
| Pharmaceuticals, Biotechnology & Life Sciences — (continued) |
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| Jazz Pharmaceuticals PLC (Ireland) |
Morgan Stanley | (14 | ) | $ | (2,296 | ) | $ | (2,311 | ) | $ | (16 | ) | |||||||||||
| Medpace Holdings, Inc. |
Morgan Stanley | (210 | ) | (29,634 | ) | (29,232 | ) | 408 | |||||||||||||||
| Novavax, Inc. |
Morgan Stanley | (372 | ) | (40,082 | ) | (41,482 | ) | (1,409 | ) | ||||||||||||||
| Perrigo Co. PLC (Ireland) |
Morgan Stanley | (355 | ) | (17,348 | ) | (15,876 | ) | 1,405 | |||||||||||||||
| PRA Health Sciences, Inc. |
Morgan Stanley | (1 | ) | (124 | ) | (125 | ) | (2 | ) | ||||||||||||||
| QIAGEN NV (Netherlands) |
Morgan Stanley | (6 | ) | (314 | ) | (317 | ) | (4 | ) | ||||||||||||||
| Vir Biotechnology, Inc. |
Morgan Stanley | (839 | ) | (24,684 | ) | (22,468 | ) | 2,210 | |||||||||||||||
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| (9,077 | ) | (454,850 | ) | (457,182 | ) | (2,509 | ) | ||||||||||||||||
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| Retailing |
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| Booking Holdings, Inc. |
Morgan Stanley | (9 | ) | (19,816 | ) | (20,045 | ) | (235 | ) | ||||||||||||||
| Burlington Stores, Inc. |
Morgan Stanley | (419 | ) | (92,875 | ) | (109,589 | ) | (16,735 | ) | ||||||||||||||
| Carvana Co. |
Morgan Stanley | (139 | ) | (34,538 | ) | (33,296 | ) | 1,234 | |||||||||||||||
| Expedia Group, Inc. |
Morgan Stanley | (7 | ) | (863 | ) | (927 | ) | (64 | ) | ||||||||||||||
| Floor & Decor Holdings, Inc., Class A |
Morgan Stanley | (171 | ) | (14,050 | ) | (15,877 | ) | (1,831 | ) | ||||||||||||||
| Grubhub, Inc. |
Morgan Stanley | (32 | ) | (2,301 | ) | (2,377 | ) | (77 | ) | ||||||||||||||
| Ollie’s Bargain Outlet Holdings, Inc. |
Morgan Stanley | (1 | ) | (85 | ) | (82 | ) | 3 | |||||||||||||||
| RH |
Morgan Stanley | (112 | ) | (51,287 | ) | (50,122 | ) | 1,153 | |||||||||||||||
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| (890 | ) | (215,815 | ) | (232,315 | ) | (16,552 | ) | ||||||||||||||||
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| Semiconductors & Semiconductor Equipment |
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| Amkor Technology, Inc. |
Morgan Stanley | (910 | ) | (13,875 | ) | (13,723 | ) | 112 | |||||||||||||||
| Cirrus Logic, Inc. |
Morgan Stanley | (440 | ) | (34,322 | ) | (36,168 | ) | (1,854 | ) | ||||||||||||||
| Diodes, Inc. |
Morgan Stanley | (39 | ) | (2,750 | ) | (2,750 | ) | — | |||||||||||||||
| Enphase Energy, Inc. |
Morgan Stanley | (9 | ) | (1,570 | ) | (1,579 | ) | (10 | ) | ||||||||||||||
| ON Semiconductor Corp. |
Morgan Stanley | (2,214 | ) | (64,993 | ) | (72,464 | ) | (7,486 | ) | ||||||||||||||
| Power Integrations, Inc. |
Morgan Stanley | (361 | ) | (24,781 | ) | (29,551 | ) | (4,808 | ) | ||||||||||||||
| Skyworks Solutions, Inc. |
Morgan Stanley | (52 | ) | (7,907 | ) | (7,950 | ) | (45 | ) | ||||||||||||||
| Universal Display Corp. |
Morgan Stanley | (47 | ) | (9,564 | ) | (10,801 | ) | (1,930 | ) | ||||||||||||||
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| (4,072 | ) | (159,762 | ) | (174,986 | ) | (16,021 | ) | ||||||||||||||||
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|
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| Software & Services |
|||||||||||||||||||||||
| Alarm.com Holdings, Inc. |
Morgan Stanley | (22 | ) | (2,227 | ) | (2,276 | ) | (50 | ) | ||||||||||||||
| Alteryx, Inc., Class A |
Morgan Stanley | (580 | ) | (82,405 | ) | (70,638 | ) | 11,749 | |||||||||||||||
| Appfolio, Inc., Class A |
Morgan Stanley | (107 | ) | (18,792 | ) | (19,264 | ) | (477 | ) | ||||||||||||||
| Ceridian HCM Holding, Inc. |
Morgan Stanley | (63 | ) | (6,699 | ) | (6,713 | ) | (16 | ) | ||||||||||||||
| Coupa Software, Inc. |
Morgan Stanley | (8 | ) | (2,734 | ) | (2,711 | ) | 22 | |||||||||||||||
| Digital Turbine, Inc. |
Morgan Stanley | (271 | ) | (14,451 | ) | (15,328 | ) | (881 | ) | ||||||||||||||
| DXC Technology Co. |
Morgan Stanley | (11 | ) | (270 | ) | (283 | ) | (14 | ) | ||||||||||||||
| Dynatrace, Inc. |
Morgan Stanley | (19 | ) | (831 | ) | (822 | ) | 8 | |||||||||||||||
| Euronet Worldwide, Inc. |
Morgan Stanley | (55 | ) | (7,611 | ) | (7,971 | ) | (361 | ) | ||||||||||||||
| Fortinet, Inc. |
Morgan Stanley | (550 | ) | (72,669 | ) | (81,691 | ) | (9,039 | ) | ||||||||||||||
| GoDaddy, Inc., Class A |
Morgan Stanley | (152 | ) | (12,959 | ) | (12,608 | ) | 476 | |||||||||||||||
| Guidewire Software, Inc. |
Morgan Stanley | (21 | ) | (2,671 | ) | (2,703 | ) | (33 | ) | ||||||||||||||
| Medallia, Inc. |
Morgan Stanley | (42 | ) | (1,388 | ) | (1,395 | ) | (9 | ) | ||||||||||||||
| New Relic, Inc. |
Morgan Stanley | (520 | ) | (32,618 | ) | (34,008 | ) | (1,398 | ) | ||||||||||||||
| Paychex, Inc. |
Morgan Stanley | (57 | ) | (5,369 | ) | (5,311 | ) | 56 | |||||||||||||||
7
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
| Number of | Unrealized | ||||||||||||||||||||||
| Contracts | Notional | Appreciation/ | |||||||||||||||||||||
| Reference Entity |
Counterparty |
(Short) | Amount | Value | (Depreciation)* | ||||||||||||||||||
| Software & Services — (continued) |
|||||||||||||||||||||||
| Paycom Software, Inc. |
Morgan Stanley | (106 | ) | $ | (44,666 | ) | $ | (47,938 | ) | $ | (3,282 | ) | |||||||||||
| Pegasystems, Inc. |
Morgan Stanley | (269 | ) | (33,996 | ) | (35,847 | ) | (1,867 | ) | ||||||||||||||
| Qualys, Inc. |
Morgan Stanley | (338 | ) | (34,786 | ) | (41,192 | ) | (6,415 | ) | ||||||||||||||
| RealPage, Inc. |
Morgan Stanley | (69 | ) | (6,025 | ) | (6,020 | ) | 4 | |||||||||||||||
| RingCentral, Inc., Class A |
Morgan Stanley | (4 | ) | (1,564 | ) | (1,516 | ) | 47 | |||||||||||||||
| Splunk, Inc. |
Morgan Stanley | (597 | ) | (102,313 | ) | (101,424 | ) | 866 | |||||||||||||||
| Switch, Inc., Class A |
Morgan Stanley | (164 | ) | (2,909 | ) | (2,685 | ) | 207 | |||||||||||||||
| WEX, Inc. |
Morgan Stanley | (113 | ) | (21,028 | ) | (22,999 | ) | (1,976 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
||||||||||||||||
| (4,138 | ) | (510,981 | ) | (523,343 | ) | (12,383 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Technology Hardware & Equipment |
|||||||||||||||||||||||
| Apple, Inc. |
Morgan Stanley | (338 | ) | (45,963 | ) | (44,849 | ) | 1,104 | |||||||||||||||
| Ciena Corp. |
Morgan Stanley | (1,078 | ) | (51,517 | ) | (56,972 | ) | (5,467 | ) | ||||||||||||||
| Coherent, Inc. |
Morgan Stanley | (3 | ) | (454 | ) | (450 | ) | 4 | |||||||||||||||
| FLIR Systems, Inc. |
Morgan Stanley | (9 | ) | (392 | ) | (394 | ) | (3 | ) | ||||||||||||||
| Hewlett Packard Enterprise Co. |
Morgan Stanley | (1,733 | ) | (20,846 | ) | (20,536 | ) | 326 | |||||||||||||||
| Itron, Inc. |
Morgan Stanley | (20 | ) | (1,905 | ) | (1,918 | ) | (14 | ) | ||||||||||||||
| National Instruments Corp. |
Morgan Stanley | (767 | ) | (29,767 | ) | (33,702 | ) | (3,942 | ) | ||||||||||||||
| NCR Corp. |
Morgan Stanley | (6 | ) | (223 | ) | (225 | ) | (3 | ) | ||||||||||||||
| Pure Storage, Inc., Class A |
Morgan Stanley | (670 | ) | (13,455 | ) | (15,149 | ) | (1,698 | ) | ||||||||||||||
| Seagate Technology PLC (Ireland) |
Morgan Stanley | (798 | ) | (51,292 | ) | (49,604 | ) | 1,543 | |||||||||||||||
| TE Connectivity Ltd. (Switzerland) |
Morgan Stanley | (132 | ) | (14,346 | ) | (15,981 | ) | (1,699 | ) | ||||||||||||||
| Western Digital Corp. |
Morgan Stanley | (1,623 | ) | (72,549 | ) | (89,898 | ) | (17,365 | ) | ||||||||||||||
| Xerox Holdings Corp. |
Morgan Stanley | (2,530 | ) | (56,907 | ) | (58,671 | ) | (2,409 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
||||||||||||||||
| (9,707 | ) | (359,616 | ) | (388,349 | ) | (29,623 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Transportation |
|||||||||||||||||||||||
| JetBlue Airways Corp. |
Morgan Stanley | (403 | ) | (5,282 | ) | (5,860 | ) | (579 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Utilities |
|||||||||||||||||||||||
| Algonquin Power & Utilities Corp. |
|||||||||||||||||||||||
| (Canada) |
Morgan Stanley | (630 | ) | (9,973 | ) | (10,370 | ) | (497 | ) | ||||||||||||||
| Alliant Energy Corp. |
Morgan Stanley | (36 | ) | (1,811 | ) | (1,855 | ) | (45 | ) | ||||||||||||||
| Ameren Corp. |
Morgan Stanley | (1,364 | ) | (113,216 | ) | (106,474 | ) | 6,015 | |||||||||||||||
| Atmos Energy Corp. |
Morgan Stanley | (294 | ) | (30,700 | ) | (28,056 | ) | 2,308 | |||||||||||||||
| Avangrid, Inc. |
Morgan Stanley | (730 | ) | (37,537 | ) | (33,178 | ) | 4,029 | |||||||||||||||
| CMS Energy Corp. |
Morgan Stanley | (44 | ) | (2,592 | ) | (2,684 | ) | (94 | ) | ||||||||||||||
| Dominion Energy, Inc. |
Morgan Stanley | (272 | ) | (20,243 | ) | (20,454 | ) | (217 | ) | ||||||||||||||
| Edison International |
Morgan Stanley | (767 | ) | (54,857 | ) | (48,183 | ) | 4,669 | |||||||||||||||
| Entergy Corp. |
Morgan Stanley | (894 | ) | (98,208 | ) | (89,257 | ) | 8,929 | |||||||||||||||
| Essential Utilities, Inc. |
Morgan Stanley | (1,105 | ) | (50,515 | ) | (52,255 | ) | (2,315 | ) | ||||||||||||||
| MDU Resources Group, Inc. |
Morgan Stanley | (17 | ) | (441 | ) | (448 | ) | (7 | ) | ||||||||||||||
| National Fuel Gas Co. |
Morgan Stanley | (477 | ) | (20,357 | ) | (19,619 | ) | 521 | |||||||||||||||
| New Jersey Resources Corp. |
Morgan Stanley | (561 | ) | (22,739 | ) | (19,944 | ) | 2,087 | |||||||||||||||
| NextEra Energy, Inc. |
Morgan Stanley | (728 | ) | (54,985 | ) | (56,165 | ) | (1,348 | ) | ||||||||||||||
| Ormat Technologies, Inc. |
Morgan Stanley | (538 | ) | (41,105 | ) | (48,571 | ) | (7,491 | ) | ||||||||||||||
| PNM Resources, Inc. |
Morgan Stanley | (36 | ) | (1,752 | ) | (1,747 | ) | 4 | |||||||||||||||
| PPL Corp. |
Morgan Stanley | (3,857 | ) | (114,865 | ) | (108,767 | ) | 4,472 | |||||||||||||||
8
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Concluded)
December 31, 2020
(Unaudited)
Total Return Swaps (concluded)
| Number of | Unrealized | |||||||||||||||||
| Contracts | Notional | Appreciation/ | ||||||||||||||||
| Reference Entity |
Counterparty | (Short) | Amount | Value | (Depreciation)* | |||||||||||||
| Utilities — (continued) |
||||||||||||||||||
| Sempra Energy |
Morgan Stanley | (754 | ) | $ | (101,352 | ) | $ | (96,067 | ) | $ | 4,475 | |||||||
| Southern Co. (The) |
Morgan Stanley | (11 | ) | (659 | ) | (676 | ) | (17 | ) | |||||||||
| Xcel Energy, Inc. |
Morgan Stanley | (75 | ) | (4,899 | ) | (5,000 | ) | (116 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| (13,190 | ) | (782,806 | ) | (749,770 | ) | 25,362 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Reference Entity — Short |
$ | (4,456,798 | ) | $ | (4,530,755 | ) | $ | (89,232 | ) | |||||||||
|
|
|
|
|
|
|
|||||||||||||
| * | Includes $(15,275) related to open trades, dividends receivables/payables and swap receivables/payables activities. |
All financial instruments listed in the Portfolio of Investments are considered Level 1, measured at fair value on a recurring basis based on quoted prices for identical assets in active markets, except for total return swaps with end of period unrealized depreciation of $(89,232), which are considered Level 2 as of and for the period ended December 31, 2020.
For additional information about significant accounting policies, including valuation of investments, refer to the Fund’s most recent annual or semi-annual report.
9