Short-Term Investments — 0.9% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.27%(3) | 5,244,892 | $ 5,244,892 | |
Total Short-Term Investments (identified cost $5,244,892) | $ 5,244,892 | ||
Total Purchased Put Options — 1.2% (identified cost $2,583,132) | $ 6,465,425 | ||
Total Investments — 100.1% (identified cost $372,447,005) | $554,616,050 | ||
Total Written Call Options — (0.1)% (premiums received $2,875,800) | $ (602,565) | ||
Other Assets, Less Liabilities — 0.0%(4) | $ 15,303 | ||
Net Assets — 100.0% | $554,028,788 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Security (or a portion thereof) has been pledged as collateral for written options. |
(2) | Non-income producing security. |
(3) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of September 30, 2023. |
(4) | Amount is less than 0.05%. |
Purchased Put Options (Exchange-Traded) — 1.2% | |||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
S&P 500 Index | 102 | $ | 43,738,110 | $ | 4,370 | 10/2/23 | $ 827,730 |
S&P 500 Index | 102 | 43,738,110 | 4,300 | 10/4/23 | 354,450 | ||
S&P 500 Index | 102 | 43,738,110 | 4,330 | 10/6/23 | 576,810 | ||
S&P 500 Index | 102 | 43,738,110 | 4,340 | 10/9/23 | 701,760 | ||
S&P 500 Index | 102 | 43,738,110 | 4,330 | 10/11/23 | 670,140 | ||
S&P 500 Index | 102 | 43,738,110 | 4,350 | 10/13/23 | 827,730 | ||
S&P 500 Index | 102 | 43,738,110 | 4,320 | 10/16/23 | 685,440 | ||
S&P 500 Index | 102 | 43,738,110 | 4,320 | 10/18/23 | 723,180 | ||
S&P 500 Index | 102 | 43,738,110 | 4,195 | 10/20/23 | 317,730 | ||
S&P 500 Index | 102 | 43,738,110 | 4,150 | 10/23/23 | 243,270 | ||
S&P 500 Index | 103 | 44,166,915 | 4,110 | 10/25/23 | 226,085 | ||
S&P 500 Index | 102 | 43,738,110 | 4,170 | 10/27/23 | 311,100 | ||
Total | $6,465,425 |
Written Call Options (Exchange-Traded) — (0.1)% | |||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
S&P 500 Index | 102 | $43,738,110 | $4,595 | 10/2/23 | $ (255) | ||
S&P 500 Index | 102 | 43,738,110 | 4,550 | 10/4/23 | (510) | ||
S&P 500 Index | 102 | 43,738,110 | 4,565 | 10/6/23 | (510) | ||
S&P 500 Index | 102 | 43,738,110 | 4,575 | 10/9/23 | (765) | ||
S&P 500 Index | 102 | 43,738,110 | 4,550 | 10/11/23 | (1,275) | ||
S&P 500 Index | 102 | 43,738,110 | 4,565 | 10/13/23 | (2,040) | ||
S&P 500 Index | 102 | 43,738,110 | 4,540 | 10/16/23 | (5,355) | ||
S&P 500 Index | 102 | 43,738,110 | 4,540 | 10/18/23 | (8,925) | ||
S&P 500 Index | 102 | 43,738,110 | 4,460 | 10/20/23 | (77,010) | ||
S&P 500 Index | 102 | 43,738,110 | 4,430 | 10/23/23 | (137,190) | ||
S&P 500 Index | 103 | 44,166,915 | 4,400 | 10/25/23 | (262,650) | ||
S&P 500 Index | 102 | 43,738,110 | 4,430 | 10/27/23 | (106,080) | ||
Total | $(602,565) |
Abbreviations: | |
ADR | – American Depositary Receipt |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund, Institutional Class(1) | $1,728,958 | $88,256,626 | $(84,740,692) | $ — | $ — | $5,244,892 | $87,296 | 5,244,892 |
(1) | Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio. |
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments) |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks: | ||||
Communication Services | $ 54,640,029 | $ — | $ — | $ 54,640,029 |
Consumer Discretionary | 50,191,827 | — | — | 50,191,827 |
Consumer Staples | 40,513,140 | — | — | 40,513,140 |
Energy | 23,766,320 | — | — | 23,766,320 |
Financials | 71,438,593 | — | — | 71,438,593 |
Health Care | 66,816,484 | 4,595,231 | — | 71,411,715 |
Industrials | 55,182,950 | — | — | 55,182,950 |
Information Technology | 153,003,502 | — | — | 153,003,502 |
Materials | 12,752,695 | — | — | 12,752,695 |
Utilities | 10,004,962 | — | — | 10,004,962 |
Total Common Stocks | $538,310,502 | $4,595,231* | $ — | $542,905,733 |
Short-Term Investments | $ 5,244,892 | $ — | $ — | $ 5,244,892 |
Purchased Put Options | 6,465,425 | — | — | 6,465,425 |
Total Investments | $550,020,819 | $4,595,231 | $ — | $554,616,050 |
Liability Description | ||||
Written Call Options | $ (602,565) | $ — | $ — | $ (602,565) |
Total | $ (602,565) | $ — | $ — | $ (602,565) |
* | Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets. |