NPORT-EX 2 macro.htm

LoCorr Macro Strategies Fund
  
Consolidated Schedule of Investments
  
as of March 31, 2024 (Unaudited)
  
   
U.S. TREASURY OBLIGATIONS - 29.8%
Par
  
Value
  
United States Treasury Note
  
7.63%, 02/15/2025
  
$
1,500,000
    
$
1,534,570
  
0.25%, 08/31/2025
    
3,715,000
      
3,483,683
  
4.25%, 01/31/2026
    
63,880,000
      
63,388,424
  
3.75%, 04/15/2026
    
12,340,000
      
12,129,834
  
0.75%, 05/31/2026
    
43,190,000
      
39,800,597
  
4.50%, 07/15/2026
    
29,605,000
      
29,569,150
  
1.50%, 08/15/2026
    
16,175,000
      
15,078,133
  
4.13%, 02/15/2027
    
135,425,000
      
134,335,252
  
1.88%, 02/28/2027
    
21,075,000
      
19,617,038
  
3.88%, 11/30/2027
    
36,210,000
      
35,641,390
  
3.50%, 01/31/2028
    
5,520,000
      
5,361,084
  
3.63%, 03/31/2028
    
26,735,000
      
26,076,024
  
1.38%, 10/31/2028
    
33,490,000
      
29,518,295
  
3.75%, 12/31/2028
    
27,240,000
      
26,673,919
  
4.25%, 02/28/2029
    
35,095,000
      
35,160,803
  
TOTAL U.S. TREASURY OBLIGATIONS (Cost $479,179,834)
      
477,368,196
  
                 
CORPORATE BONDS - 12.7%
Par
  
Value
  
Aerospace & Defense - 0.4%
  
Boeing Co., 3.25%, 02/01/2028
    
3,110,000
      
2,862,783
  
L3Harris Technologies, Inc., 5.40%, 01/15/2027
    
2,150,000
      
2,166,334
  
RTX Corp., 4.13%, 11/16/2028
    
1,040,000
      
1,006,581
  
             
6,035,698
  
                 
Agriculture - 0.1%
  
Philip Morris International, Inc., 4.88%, 02/15/2028
    
1,855,000
      
1,851,201
  
                 
Auto Manufacturers - 0.4%
  
Daimler Truck Finance North America LLC, 5.00%, 01/15/2027  (a)
    
1,650,000
      
1,646,062
  
General Motors Financial Co., Inc., 5.80%, 06/23/2028
    
2,510,000
      
2,560,332
  
Toyota Motor Credit Corp., 5.60%, 09/11/2025
    
1,380,000
      
1,389,521
  
Volkswagen Group of America Finance LLC, 1.25%, 11/24/2025  (a)
    
1,655,000
      
1,546,688
  
             
7,142,603
  
                 
Banks - 4.9%
  
Banco Santander SA
  
3.50%, 03/24/2025
    
2,040,000
      
2,002,583
  
2.75%, 05/28/2025
    
390,000
      
376,832
  
Bank of America Corp.
  
 4.38% to 04/27/2027 then SOFR + 1.58%, 04/27/2028
    
4,500,000
      
4,394,399
  
 5.82% to 09/15/2028 then SOFR + 1.57%, 09/15/2029
    
3,295,000
      
3,380,659
  
Bank of America NA, 5.53%, 08/18/2026
    
9,500,000
      
9,599,978
  
Barclays PLC, 6.49% to 09/13/2028 then SOFR + 2.22%, 09/13/2029
    
2,995,000
      
3,113,108
  
Canadian Imperial Bank of Commerce, 3.45%, 04/07/2027
    
1,605,000
      
1,535,725
  
Citibank NA, 5.80%, 09/29/2028
    
5,070,000
      
5,247,985
  
Citigroup, Inc., 4.14% to 05/24/2024 then SOFR + 1.37%, 05/24/2025
    
2,610,000
      
2,602,541
  
Credit Suisse AG, 5.00%, 07/09/2027
    
1,650,000
      
1,635,673
  
Federation des Caisses Desjardins du Quebec, 5.70%, 03/14/2028  (a)
    
1,840,000
      
1,864,966
  
Goldman Sachs Group, Inc.
  
 5.80% to 08/10/2025 then SOFR + 1.08%, 08/10/2026
    
6,265,000
      
6,286,594
  
 6.48% to 10/24/2028 then SOFR + 1.77%, 10/24/2029
    
1,335,000
      
1,405,662
  
HSBC Holdings PLC, 6.16% to 03/09/2028 then SOFR + 1.97%, 03/09/2029
    
1,505,000
      
1,546,988
  
ING Groep NV
  
3.55%, 04/09/2024
    
1,465,000
      
1,464,372
  
 3.87% to 03/28/2025 then SOFR + 1.64%, 03/28/2026
    
1,890,000
      
1,856,197
  
JPMorgan Chase & Co., 5.30% to 07/24/2028 then SOFR + 1.45%, 07/24/2029
    
6,240,000
      
6,288,216
  
JPMorgan Chase Bank NA, 5.11%, 12/08/2026
    
3,160,000
      
3,169,802
  
Morgan Stanley
  
 0.79% to 05/30/2024 then SOFR + 0.53%, 05/30/2025
    
520,000
      
515,172
  
 5.45% to 07/20/2028 then SOFR + 1.63%, 07/20/2029
    
1,310,000
      
1,321,396
  
Morgan Stanley Bank NA, 4.95% to 01/14/2027 then SOFR + 1.08%, 01/14/2028
    
5,780,000
      
5,759,069
  
Toronto-Dominion Bank
  
3.77%, 06/06/2025
    
1,990,000
      
1,955,199
  
1.25%, 09/10/2026
    
3,175,000
      
2,897,578
  
UBS Group AG
  
 4.49% to 05/12/2025 then 1 yr. CMT Rate + 1.55%, 05/12/2026  (a)
    
685,000
      
675,396
  
 6.33% to 12/22/2026 then 1 yr. CMT Rate + 1.60%, 12/22/2027  (a)
    
1,600,000
      
1,635,047
  
Wells Fargo & Co., 5.57% to 07/25/2028 then SOFR + 1.74%, 07/25/2029
    
3,040,000
      
3,076,882
  
Wells Fargo Bank NA, 5.45%, 08/07/2026
    
4,400,000
      
4,430,909
  
             
80,038,928
  
                 
Beverages - 0.2%
  
PepsiCo, Inc., 5.13%, 11/10/2026
    
2,930,000
      
2,954,683
  
                 
Biotechnology - 0.2%
  
Amgen, Inc., 5.15%, 03/02/2028
    
2,865,000
      
2,884,828
  
                 
Building Materials - 0.2%
  
Carrier Global Corp., 5.80%, 11/30/2025
    
1,310,000
      
1,318,927
  
Trane Technologies Financing Ltd., 3.50%, 03/21/2026
    
1,160,000
      
1,122,441
  
             
2,441,368
  
                 
Chemicals - 0.1%
  
Nutrien Ltd., 4.90%, 03/27/2028
    
1,010,000
      
1,005,220
  
                 
Cosmetics & Personal Care - 0.3%
  
Haleon US Capital LLC, 3.38%, 03/24/2027
    
4,665,000
      
4,464,927
  
                 
Diversified Financial Services - 0.7%
  
AerCap Ireland Capital/Global Aviation Trust, 6.10%, 01/15/2027
    
4,475,000
      
4,551,070
  
Air Lease Corp., 5.85%, 12/15/2027
    
2,405,000
      
2,444,182
  
Capital One Financial Corp., 4.17% to 05/09/2024 then SOFR + 1.37%, 05/09/2025
    
1,420,000
      
1,417,172
  
OMERS Finance Trust, 2.50%, 05/02/2024  (a)
    
1,030,000
      
1,027,341
  
Private Export Funding Corp., 3.25%, 06/15/2025
    
1,255,000
      
1,230,044
  
             
10,669,809
  
                 
Electric - 0.8%
  
Florida Power & Light Co.
  
5.05%, 04/01/2028
    
3,025,000
      
3,059,162
  
4.40%, 05/15/2028
    
1,650,000
      
1,632,676
  
Georgia Power Co., 5.00%, 02/23/2027
    
2,655,000
      
2,659,394
  
NSTAR Electric Co., 3.20%, 05/15/2027
    
2,345,000
      
2,240,050
  
Southern California Edison Co., 1.20%, 02/01/2026
    
655,000
      
608,363
  
Virginia Power Fuel Securitization LLC, 5.09%, 05/01/2027
    
2,830,000
      
2,790,736
  
             
12,990,381
  
                 
Entertainment - 0.3%
  
Warnermedia Holdings, Inc., 3.76%, 03/15/2027
    
5,570,000
      
5,317,888
  
                 
Food - 0.1%
  
Sysco Corp., 3.25%, 07/15/2027
    
1,835,000
      
1,734,447
  
                 
Healthcare-Products - 0.4%
  
Baxter International, Inc., 1.32%, 11/29/2024
    
3,400,000
      
3,302,811
  
Revvity, Inc., 0.85%, 09/15/2024
    
3,150,000
      
3,076,973
  
             
6,379,784
  
                 
Healthcare-Services - 0.1%
  
HCA, Inc., 3.13%, 03/15/2027
    
2,440,000
      
2,308,503
  
                 
Insurance - 0.5%
  
Equitable Financial Life Global, 1.40%, 07/07/2025  (a)
    
1,750,000
      
1,659,490
  
Metropolitan Life Global Funding I, 5.05%, 01/06/2028  (a)
    
805,000
      
805,956
  
Principal Life Global Funding II, 0.88%, 01/12/2026  (a)
    
1,795,000
      
1,657,962
  
Protective Life Global Funding, 0.78%, 07/05/2024  (a)
    
3,150,000
      
3,110,958
  
             
7,234,366
  
                 
Machinery-Diversified - 0.1%
  
John Deere Capital Corp., 4.95%, 07/14/2028
    
1,120,000
      
1,129,024
  
                 
Media - 0.2%
  
Charter Communications Operating LLC, 4.91%, 07/23/2025
    
3,315,000
      
3,275,117
  
                 
Oil & Gas - 0.0%(b)
  
Marathon Oil Corp., 5.30%, 04/01/2029
    
370,000
      
369,595
  
                 
Pharmaceuticals - 0.6%
  
AbbVie, Inc., 4.80%, 03/15/2029
    
920,000
      
921,063
  
Astrazeneca Finance LLC, 4.80%, 02/26/2027
    
1,100,000
      
1,099,952
  
CVS Health Corp.
  
2.88%, 06/01/2026
    
3,025,000
      
2,884,651
  
5.00%, 01/30/2029
    
715,000
      
717,328
  
Pfizer Investment Enterprises Pte Ltd., 4.45%, 05/19/2028
    
4,235,000
      
4,174,705
  
             
9,797,699
  
                 
Pipelines - 0.6%
  
Enbridge, Inc.
  
2.50%, 02/14/2025
    
1,385,000
      
1,348,975
  
6.00%, 11/15/2028
    
1,170,000
      
1,217,004
  
Energy Transfer LP, 6.05%, 12/01/2026
    
3,100,000
      
3,163,399
  
Williams Cos., Inc.
  
5.40%, 03/02/2026
    
2,885,000
      
2,893,318
  
4.90%, 03/15/2029
    
1,395,000
      
1,385,896
  
             
10,008,592
  
                 
REITS - 0.5%
  
Brixmor Operating Partnership LP, 4.13%, 06/15/2026
    
1,405,000
      
1,368,396
  
Prologis Targeted US Logistics Fund LP, 5.25%, 04/01/2029  (a)
    
2,280,000
      
2,273,585
  
SITE Centers Corp.
  
3.63%, 02/01/2025
    
1,115,000
      
1,097,737
  
4.70%, 06/01/2027
    
2,775,000
      
2,736,019
  
             
7,475,737
  
                 
Retail - 0.2%
  
O'Reilly Automotive, Inc., 5.75%, 11/20/2026
    
2,395,000
      
2,435,203
  
                 
Semiconductors - 0.1%
  
Texas Instruments, Inc., 4.60%, 02/08/2027
    
1,545,000
      
1,543,365
  
                 
Software - 0.1%
  
Oracle Corp., 2.30%, 03/25/2028
    
1,695,000
      
1,530,657
  
                 
Telecommunications - 0.6%
  
AT&T, Inc., 2.30%, 06/01/2027
    
2,565,000
      
2,365,209
  
T-Mobile USA, Inc.
  
4.80%, 07/15/2028
    
2,080,000
      
2,063,201
  
4.85%, 01/15/2029
    
2,800,000
      
2,780,324
  
Verizon Communications, Inc., 2.10%, 03/22/2028
    
2,635,000
      
2,372,348
  
             
9,581,082
  
TOTAL CORPORATE BONDS (Cost $202,854,882)
      
202,600,705
  
                 
MORTGAGE-BACKED SECURITIES - 10.0%
Par
  
Value
  
Alen Mortgage Trust, Series 2021-ACEN, Class A, 6.59% (1 mo. Term SOFR + 1.26%), 04/15/2034  (a)
    
3,150,000
      
2,878,185
  
Ares Commercial Real Estate Corp., Series 2021-FL4, Class A, 6.27% (1 mo. Term SOFR + 0.94%), 12/18/2037  (a)
    
40,928
      
40,833
  
BBCMS Trust, Series 2015-VFM, Class A1, 2.47%, 03/10/2036  (a)
    
509,385
      
487,550
  
BHP Trust, Series 2019-BXHP, Class A, 6.35% (1 mo. Term SOFR + 1.02%), 08/15/2036  (a)
    
422,278
      
421,527
  
BX Trust
  
Series 2021-CIP, Class A, 6.36% (1 mo. Term SOFR + 1.04%), 12/15/2038  (a)
    
6,050,000
      
5,985,718
  
Series 2021-XL2, Class B, 6.44% (1 mo. Term SOFR + 1.11%), 10/15/2038  (a)
    
4,300,616
      
4,260,298
  
Series 2022-PSB, Class B, 8.27% (1 mo. Term SOFR + 2.95%), 08/15/2039  (a)
    
958,388
      
965,535
  
Series 2024-WPT, Class A, 6.89% (1 mo. Term SOFR + 1.54%), 03/15/2034  (a)
    
3,000,000
      
2,992,491
  
Series 2024-XL5, Class A, 6.69% (1 mo. Term SOFR + 1.39%), 03/15/2041  (a)
    
3,500,000
      
3,501,762
  
Citigroup Commercial Mortgage Trust
  
Series 2014-GC25, Class A4, 3.64%, 10/10/2047
    
2,500,000
      
2,468,813
  
Series 2021-PRM2, Class A, 6.39% (1 mo. Term SOFR + 1.06%), 10/15/2038  (a)
    
5,250,000
      
5,212,266
  
Cold Storage Trust, Series 2020-ICE5, Class A, 6.33% (1 mo. Term SOFR + 1.01%), 11/15/2037  (a)
    
5,667,923
      
5,655,525
  
Computershare Corporate Trust, Series 2015-NXS1, Class A5, 3.15%, 05/15/2048
    
2,450,000
      
2,379,760
  
ELP Commercial Mortgage Trust, Series 2021-ELP, Class B, 6.56% (1 mo. Term SOFR + 1.23%), 11/15/2038  (a)
    
5,393,722
      
5,343,156
  
Fannie Mae Connecticut Avenue Securities
  
Series 2018-C01, Class 1EB1, 5.88% (30 day avg SOFR US + 0.56%), 07/25/2030
    
75,733
      
75,770
  
Series 2018-C05, Class 1M2, 7.78% (30 day avg SOFR US + 2.46%), 01/25/2031
    
944,892
      
967,302
  
Series 2021-R03, Class 1M2, 6.97% (30 day avg SOFR US + 1.65%), 12/25/2041  (a)
    
100,000
      
100,431
  
Series 2022-R01, Class 1M2, 7.22% (30 day avg SOFR US + 1.90%), 12/25/2041  (a)
    
875,000
      
881,043
  
Series 2022-R03, Class 1M2, 8.82% (30 day avg SOFR US + 3.50%), 03/25/2042  (a)
    
5,000,000
      
5,240,163
  
Series 2022-R04, Class 1M2, 8.42% (30 day avg SOFR US + 3.10%), 03/25/2042  (a)
    
1,825,000
      
1,896,704
  
Series 2022-R05, Class 2M2, 8.32% (30 day avg SOFR US + 3.00%), 04/25/2042  (a)
    
340,000
      
350,598
  
Series 2022-R06, Class 1M2, 9.17% (30 day avg SOFR US + 3.85%), 05/25/2042  (a)
    
1,245,000
      
1,320,177
  
Series 2022-R07, Class 1M2, 9.97% (30 day avg SOFR US + 4.65%), 06/25/2042  (a)
    
3,214,706
      
3,493,703
  
Series 2022-R08, Class 1M2, 8.92% (30 day avg SOFR US + 3.60%), 07/25/2042  (a)
    
3,075,000
      
3,245,907
  
Series 2023-R01, Class 1M2, 9.07% (30 day avg SOFR US + 3.75%), 12/25/2042  (a)
    
4,400,000
      
4,702,248
  
Series 2023-R02, Class 1M2, 8.67% (30 day avg SOFR US + 3.35%), 01/25/2043  (a)
    
5,000,000
      
5,275,304
  
Series 2023-R04, Class 1M2, 8.87% (30 day avg SOFR US + 3.55%), 05/25/2043  (a)
    
4,407,000
      
4,691,486
  
Fannie Mae Pool, Pool MA5149, 5.50%, 09/01/2038
    
2,323,484
      
2,342,549
  
Freddie Mac Multifamily Structured Pass Through Certificates, Series K059, Class A1, 2.76%, 09/25/2025
    
1,129,811
      
1,098,673
  
Freddie Mac Pool, Pool SB8261, 5.50%, 10/01/2038
    
10,417,849
      
10,503,330
  
Freddie Mac Structured Agency Credit Risk Debt Notes
  
Series 2021-DNA2, Class M2, 7.62% (30 day avg SOFR US + 2.30%), 08/25/2033  (a)
    
2,083,667
      
2,124,861
  
Series 2021-DNA5, Class M2, 6.97% (30 day avg SOFR US + 1.65%), 01/25/2034  (a)
    
273,406
      
274,374
  
Series 2021-DNA7, Class M2, 7.12% (30 day avg SOFR US + 1.80%), 11/25/2041  (a)
    
3,590,000
      
3,610,407
  
Series 2022-DNA2, Class M1B, 7.72% (30 day avg SOFR US + 2.40%), 02/25/2042  (a)
    
579,196
      
589,670
  
Series 2022-DNA3, Class M1B, 8.22% (30 day avg SOFR US + 2.90%), 04/25/2042  (a)
    
4,800,000
      
4,962,265
  
Series 2022-DNA4, Class M1B, 8.67% (30 day avg SOFR US + 3.35%), 05/25/2042  (a)
    
2,685,000
      
2,804,873
  
Series 2022-DNA5, Class M1B, 9.82% (30 day avg SOFR US + 4.50%), 06/25/2042  (a)
    
7,680,000
      
8,304,837
  
Series 2022-DNA6, Class M1B, 9.02% (30 day avg SOFR US + 3.70%), 09/25/2042  (a)
    
2,670,000
      
2,830,035
  
Series 2023-DNA1, Class M1B, 8.42% (30 day avg SOFR US + 3.10%), 03/25/2043  (a)
    
385,000
      
403,676
  
Series 2023-DNA2, Class M1B, 8.57% (30 day avg SOFR US + 3.25%), 04/25/2043  (a)
    
440,000
      
461,194
  
FRESB Multifamily Structured Pass Through Certificates
  
Series 2016-SB23, Class A10F, 2.31%, 09/25/2026  (c)
    
1,032,401
      
979,966
  
Series 2019-SB67, Class A5F, 2.09%, 07/25/2024  (c)
    
1,281,008
      
1,266,337
  
Series 2019-SB69, Class A5F, 2.25%, 10/25/2024  (c)
    
4,015,800
      
3,940,907
  
GCT Commercial Mortgage Trust, Series 2021-GCT, Class A, 6.24% (1 mo. Term SOFR + 0.91%), 02/15/2038  (a)
    
3,850,000
      
3,215,777
  
GS Mortgage Securities Corp. II, Series 2021-ARDN, Class A, 6.69% (1 mo. Term SOFR + 1.36%), 11/15/2036  (a)
    
6,000,000
      
5,899,041
  
GS Mortgage-Backed Securities Trust, Series 2021-NQM1, Class A3, 1.53%, 07/25/2061  (a)(c)
    
1,167,373
      
992,012
  
GSCG Trust, Series 2019-600C, Class A, 2.94%, 09/06/2034  (a)
    
2,065,000
      
1,575,970
  
JP Morgan Chase Commercial Mortgage Securities, Series 2021-MHC, Class A, 6.24% (1 mo. Term SOFR + 0.91%), 04/15/2038  (a)
    
850,407
      
849,344
  
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class ASB, 3.66%, 09/15/2047
    
265,388
      
264,056
  
Ladder Capital Commercial Mortgage Securities LLC, Series 2013-GCP, Class A1, 3.57%, 02/15/2036  (a)
    
1,426,926
      
1,333,707
  
MCR Mortgage Trust, Series 2024-HTL, Class A, 7.08% (1 mo. Term SOFR + 1.76%), 02/15/2037  (a)
    
1,175,000
      
1,177,528
  
MHC Commercial Mortgage Trust, Series 2021-MHC, Class B, 6.54% (1 mo. Term SOFR + 1.22%), 04/15/2038  (a)
    
2,894,125
      
2,874,227
  
Morgan Stanley Capital I Trust 2014-MP, Series 2015-MS1, Class A4, 3.78%, 05/15/2048  (c)
    
1,000,000
      
972,578
  
Natixis Commercial Mortgage Securities Trust, Series 2018-285M, Class A, 3.79%, 11/15/2032  (a)(c)
    
1,000,000
      
881,441
  
New Residential Mortgage Loan Trust
  
Series 2016-1A, Class A1, 3.75%, 03/25/2056  (a)(c)
    
571,875
      
534,755
  
Series 2017-2A, Class A3, 4.00%, 03/25/2057  (a)(c)
    
875,861
      
826,994
  
NRTH PARK Mortgage Trust, Series 2024-PARK, Class A, 6.94% (1 mo. Term SOFR + 1.64%), 03/15/2041  (a)
    
3,270,000
      
3,274,094
  
Onslow Bay Mortgage Loan Trust, Series 2018-1, Class A2, 6.09% (1 mo. Term SOFR + 0.76%), 06/25/2057  (a)
    
482,103
      
463,076
  
PKHL Commercial Mortgage Trust, Series 2021-MF, Class A, 6.32% (1 mo. Term SOFR + 0.99%), 07/15/2038  (a)
    
5,750,000
      
5,469,756
  
SMR Mortgage Trust, Series 2022-IND, Class A, 6.98% (1 mo. Term SOFR + 1.65%), 02/15/2039  (a)
    
1,948,222
      
1,896,128
  
SREIT Trust, Series 2021-MFP2, Class A, 6.26% (1 mo. Term SOFR + 0.94%), 11/15/2036  (a)
    
4,625,000
      
4,600,430
  
Verus Securitization Trust, Series 2020-1, Class A1, 3.42%, 01/25/2060  (a)(d)
    
316,617
      
301,843
  
WF-RBS Commercial Mortgage Trust
  
Series 2014-C22, Class AS, 4.07%, 09/15/2057  (c)
    
350,000
      
317,717
  
Series 2014-C24, Class A5, 3.61%, 11/15/2047
    
1,000,000
      
982,973
  
TOTAL MORTGAGE-BACKED SECURITIES (Cost $162,374,580)
      
160,035,656
  
                 
U.S. GOVERNMENT AGENCY ISSUES - 6.7%
Par
  
Value
  
Federal Farm Credit Banks Funding Corp.
  
4.63%, 03/05/2026
    
20,625,000
      
20,603,281
  
4.50%, 08/14/2026
    
11,900,000
      
11,885,177
  
4.38%, 03/08/2027
    
29,840,000
      
29,767,925
  
Federal Home Loan Banks, 1.10%, 02/25/2028
    
11,160,000
      
9,805,695
  
Federal National Mortgage Association
  
1.75%, 07/02/2024
    
5,000,000
      
4,954,404
  
0.63%, 04/22/2025
    
6,045,000
      
5,771,835
  
1.88%, 09/24/2026
    
26,835,000
      
25,163,951
  
TOTAL U.S. GOVERNMENT AGENCY ISSUES (Cost $108,121,923)
      
107,952,268
  
                 
ASSET-BACKED SECURITIES - 5.3%
Par
  
Value
  
321 Henderson Receivables I LLC, Series 2004-A, Class A1, 5.79% (1 mo. Term SOFR + 0.46%), 09/15/2045  (a)
    
11,939
      
11,887
  
Angel Oak Mortgage Trust LLC, Series 2020-5, Class A3, 2.04%, 05/25/2065  (a)(e)
    
94,923
      
88,765
  
BA Credit Card Trust, Series 2021-A1, Class A1, 0.44%, 09/15/2026
    
2,120,000
      
2,115,621
  
CarMax Auto Owner Trust, Series 2021-4, Class A3, 0.56%, 09/15/2026
    
2,112,626
      
2,045,197
  
Carvana Auto Receivables Trust
  
Series 2021-P2, Class A3, 0.49%, 03/10/2026
    
1,044,501
      
1,035,469
  
Series 2021-P4, Class A3, 1.31%, 01/11/2027
    
4,584,242
      
4,455,057
  
Series 2022-P3, Class A3, 4.61%, 11/10/2027
    
4,800,000
      
4,750,718
  
DB Master Finance Parent LLC, Series 2021-1A, Class A2I, 2.05%, 11/20/2051  (a)
    
4,007,750
      
3,669,288
  
Diamond Resorts Owner Trust, Series 2021-1A, Class A, 1.51%, 11/21/2033  (a)
    
717,338
      
672,154
  
Elara Depositor LLC, Series 2021-A, Class A, 1.36%, 08/27/2035  (a)
    
1,230,467
      
1,124,939
  
Entergy New Orleans LLC, Series 2015-1, Class A, 2.67%, 06/01/2027
    
114,813
      
114,189
  
Ford Credit Auto Owner Trust, Series 2024-A, Class A3, 5.09%, 12/15/2028
    
3,825,000
      
3,831,938
  
General Motors Financial Co., Inc., Series 2021-2, Class A3, 0.34%, 12/18/2026
    
449,738
      
447,530
  
GM Financial Consumer Automobile Receivables Trust
  
Series 2021-1, Class A3, 0.35%, 10/16/2025
    
386,588
      
383,536
  
Series 2021-3, Class A3, 0.48%, 06/16/2026
    
2,272,421
      
2,218,426
  
Hilton Grand Vacations, Inc., Series 2019-AA, Class A, 2.34%, 07/25/2033  (a)
    
739,614
      
707,508
  
Honda Auto Receivables Owner Trust, Series 2024-1, Class A3, 5.21%, 08/15/2028
    
3,410,000
      
3,426,611
  
Invitation Homes Trust, Series 2018-SFR4, Class A, 6.54% (1 mo. Term SOFR + 1.21%), 01/17/2038  (a)
    
842,053
      
844,107
  
IPFS Corp., Series 2021-B, Class A, 0.77%, 08/15/2026  (a)
    
3,550,000
      
3,483,511
  
John Deere Owner Trust 2022, Series 2022-C, Class A2, 4.98%, 08/15/2025
    
1,939,244
      
1,936,808
  
Marriott Vacations Worldwide Corp.
  
Series 2019-2A, Class A, 2.22%, 10/20/2038  (a)
    
489,755
      
465,384
  
Series 2021-1WA, Class A, 1.14%, 01/22/2041  (a)
    
1,198,860
      
1,115,174
  
MVW Owner Trust
  
Series 2019-1A, Class A, 2.89%, 11/20/2036  (a)
    
328,036
      
318,545
  
Series 2024-1A, Class A, 5.32%, 02/20/2043  (a)
    
5,570,000
      
5,592,781
  
Navient Student Loan Trust, Series 2021-A, Class A, 0.84%, 05/15/2069  (a)
    
1,564,780
      
1,372,565
  
Planet Fitness SPV Guarantor LLC, Series 2022-1A, Class A2I, 3.25%, 12/05/2051  (a)
    
2,508,800
      
2,337,096
  
Santander Consumer USA, Inc., Series 2022-6, Class A3, 4.49%, 11/16/2026
    
2,259,112
      
2,251,802
  
SoFi Professional Loan Program LLC, Series 2021-B, Class AFX, 1.14%, 02/15/2047  (a)
    
1,397,222
      
1,188,515
  
Synchrony Bank, Series 2024-A1, Class A, 5.04%, 03/15/2030
    
1,300,000
      
1,300,639
  
Taco Bell Corp., Series 2021-1A, Class A2I, 1.95%, 08/25/2051  (a)
    
5,767,275
      
5,218,683
  
Tesla Auto Lease Trust, Series 2024-A, Class A3, 5.30%, 06/21/2027  (a)
    
3,790,000
      
3,789,817
  
T-Mobile US Trust 2024-1, Series 2024-1A, Class A, 5.05%, 09/20/2029  (a)
    
2,140,000
      
2,139,174
  
Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.35%, 05/25/2033  (a)
    
1,950,000
      
1,861,363
  
Toyota Auto Receivables Owner Trust, Series 2022-C, Class A3, 3.76%, 04/15/2027
    
3,000,000
      
2,949,287
  
Toyota Lease Owner Trust, Series 2024-A, Class A3, 5.25%, 04/20/2027  (a)
    
7,650,000
      
7,642,198
  
Volkswagen Auto Lease Trust, Series 2024-A, Class A3, 5.21%, 06/21/2027
    
4,750,000
      
4,760,718
  
Volkswagen Auto Loan Enhanced Trust, Series 2021-1, Class A3, 1.02%, 06/22/2026
    
2,869,928
      
2,802,982
  
TOTAL ASSET-BACKED SECURITIES (Cost $86,568,203)
      
84,469,982
  
                 
MUNICIPAL BONDS - 0.3%
Par
  
Value
  
State of Hawaii, 1.03%, 08/01/2025
    
4,220,000
      
4,005,158
  
TOTAL MUNICIPAL BONDS (Cost $4,220,000)
      
4,005,158
  
                 
SHORT-TERM INVESTMENTS - 22.3%
                
U.S. Treasury Bills - 22.3%
Par
          
5.40%, 04/18/2024(f)
    
184,228,000
      
183,770,398
  
5.31%, 05/09/2024(f)
    
51,341,000
      
51,060,821
  
5.21%, 06/06/2024(f)
    
85,187,000
      
84,372,150
  
5.08%, 07/18/2024(f)
    
38,975,000
      
38,371,316
  
             
357,574,685
  
TOTAL SHORT-TERM INVESTMENTS (Cost $357,621,065)
      
357,574,685
  
                 
TOTAL INVESTMENTS - 87.1% (Cost $1,400,940,487)
    
$
1,394,006,650
  
Money Market Deposit Account - 3.7%(g)(h)
      
58,842,821
  
Other Assets in Excess of Liabilities - 9.2%(i)
      
147,512,362
  
TOTAL NET ASSETS - 100.0%
          
$
1,600,361,833
  
                 
Percentages are stated as a percent of net assets.
          

AG - Aktiengesellschaft
CMT - Constant Maturity Treasury Rate
NV - Naamloze Vennootschap
PLC - Public Limited Company
SA - Sociedad Anónima
SOFR - Secured Overnight Financing Rate

(a)
Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of March 31, 2024, the value of these securities total $193,021,830 or 12.1% of the Fund’s net assets.
(b)
Represents less than 0.05% of net assets.
(c)
Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate disclosed is as of March 31, 2024.
(d)
Step coupon bond. The rate disclosed is as of March 31, 2024.
(e)
Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of March 31, 2024.
(f)
The rate shown is the effective yield as of March 31, 2024.
(g)
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of March 31, 2024 was 5.24%.
(h)
All or a portion of security has been pledged as collateral. The total value of assets committed as collateral as of March 31, 2024 is $13,173.
(i)
Includes assets pledged as collateral and due to broker for derivatives. As of the reporting date, the net value of these assets totals $136,766,546.

LoCorr Macro Strategies Fund
  
Consolidated Schedule of Open Futures Contracts
  
as of March 31, 2024 (Unaudited)
  
   
Description
  
Contracts
Purchased
  
Expiration Date
  
Notional
    
Value / Unrealized
Appreciation
(Depreciation)
  
   10 Year U.S. Ultra Treasury Notes
    
47
  
06/18/2024
  
$
5,386,641
    
$
(1,326
)
   Aluminum
    
221
  
06/17/2024
    
12,898,886
      
338,193
  
   Aluminum - 90 day settlement(a)
    
2
  
04/04/2024
    
114,955
      
2,465
  
   Aluminum - 90 day settlement(a)
    
1
  
04/05/2024
    
57,497
      
1,231
  
   Aluminum - 90 day settlement(a)
    
1
  
04/24/2024
    
57,743
      
874
  
   Aluminum - 90 day settlement(a)
    
2
  
05/02/2024
    
115,851
      
4,578
  
   Aluminum - 90 day settlement(a)
    
1
  
05/10/2024
    
58,012
      
2,015
  
   Aluminum - 90 day settlement(a)
    
1
  
05/13/2024
    
58,025
      
2,132
  
   Aluminum - 90 day settlement(a)
    
1
  
05/16/2024
    
58,025
      
2,861
  
   Aluminum - 90 day settlement(a)
    
1
  
05/17/2024
    
58,031
      
2,299
  
   Aluminum - 90 day settlement(a)
    
1
  
06/07/2024
    
58,291
      
2,011
  
   Aluminum - 90 day settlement(a)
    
1
  
06/12/2024
    
58,329
      
1,977
  
   Aluminum - 90 day settlement(a)
    
1
  
06/28/2024
    
58,425
      
76
  
   Arabica Coffee
    
189
  
05/20/2024
    
13,384,744
      
(1,981
)
   ASX SPI 200 Index
    
51
  
06/20/2024
    
6,606,101
      
42,208
  
   Australian Government 10 Year Bonds
    
124
  
06/17/2024
    
9,419,958
      
29,042
  
   Australian Government 3 Year Bonds
    
1
  
06/17/2024
    
69,670
      
190
  
   Brent Crude Oil
    
677
  
04/30/2024
    
58,899,000
      
1,634,090
  
   Brent Crude Oil
    
119
  
05/31/2024
    
10,251,850
      
241,776
  
   Brent Crude Oil
    
32
  
06/28/2024
    
2,731,200
      
75,544
  
   Brent Crude Oil
    
23
  
07/31/2024
    
1,945,110
      
47,834
  
   Brent Crude Oil
    
13
  
08/30/2024
    
1,089,530
      
31,505
  
   Brent Crude Oil
    
8
  
09/30/2024
    
664,880
      
9,151
  
   CAC40 10 Euro Index
    
540
  
04/19/2024
    
48,380,674
      
472,139
  
   Canadian Dollar
    
32
  
06/18/2024
    
2,366,080
      
6,669
  
   CBOE Volatility Index
    
19
  
04/17/2024
    
273,005
      
(9,029
)
   Copper
    
80
  
05/29/2024
    
8,014,000
      
(126,383
)
   Copper
    
147
  
06/17/2024
    
32,557,964
      
530,571
  
   Copper - 90 day settlement(a)
    
1
  
04/03/2024
    
219,244
      
7,621
  
   Copper - 90 day settlement(a)
    
1
  
04/26/2024
    
220,162
      
4,983
  
   Copper - 90 day settlement(a)
    
2
  
05/02/2024
    
440,965
      
19,818
  
   Copper - 90 day settlement(a)
    
1
  
05/13/2024
    
220,664
      
12,911
  
   Copper - 90 day settlement(a)
    
1
  
05/24/2024
    
221,082
      
8,800
  
   Copper - 90 day settlement(a)
    
5
  
06/12/2024
    
1,107,539
      
(12,567
)
   Copper - 90 day settlement(a)
    
1
  
06/17/2024
    
221,483
      
(3,606
)
   Corn No. 2 Yellow
    
192
  
05/14/2024
    
4,243,200
      
83,024
  
   Cotton No.2
    
135
  
05/08/2024
    
6,168,150
      
(157,928
)
   Crude Oil
    
573
  
04/22/2024
    
47,656,410
      
2,075,553
  
   Crude Oil
    
86
  
05/21/2024
    
7,088,120
      
236,124
  
   Crude Oil
    
28
  
06/20/2024
    
2,286,760
      
71,029
  
   Crude Oil
    
11
  
07/22/2024
    
889,790
      
34,750
  
   Crude Oil
    
9
  
08/20/2024
    
720,810
      
19,004
  
   Crude Oil
    
4
  
09/20/2024
    
317,160
      
5,243
  
   Dollar Index
    
125
  
06/17/2024
    
13,033,625
      
221,594
  
   Dow Jones Industrial Average Index
    
418
  
06/21/2024
    
85,516,425
      
1,548,585
  
   Euro BUXL 30 Year Bonds
    
16
  
06/06/2024
    
2,344,133
      
14,433
  
   Euro STOXX 50 Quanto Index
    
1,660
  
06/21/2024
    
92,333,195
      
1,982,460
  
   Euro-Bund
    
224
  
06/06/2024
    
32,257,860
      
24,827
  
   French Government Bonds
    
65
  
06/06/2024
    
8,987,982
      
(2,803
)
   FTSE 100 Index
    
1,161
  
06/21/2024
    
119,541,021
      
1,244,271
  
   FTSE China A50 Index
    
103
  
04/29/2024
    
1,248,578
      
(4,159
)
   German Stock Index
    
271
  
06/21/2024
    
142,041,423
      
2,401,64
  
   Gold
    
555
  
06/26/2024
    
124,231,200
      
1,442,063
  
   Hang Seng China Enterprises Index
    
66
  
04/29/2024
    
2,451,315
      
(15,296
)
   Hang Seng Index
    
25
  
04/29/2024
    
2,646,322
      
(7,224
)
   Hard Red Winter Wheat
    
24
  
05/14/2024
    
702,300
      
9,142
  
   IBEX 35 Index
    
20
  
04/19/2024
    
2,387,956
      
97,803
  
   Japanese 10 Year Government Bonds
    
5
  
06/13/2024
    
4,816,232
      
1,118
  
   KOSPI 200 Index
    
161
  
06/13/2024
    
11,248,891
      
4,528
  
   Lead
    
17
  
06/17/2024
    
872,321
      
(13,423
)
   Lean Hogs
    
4
  
06/14/2024
    
162,320
      
(1,221
)
   Live Cattle
    
17
  
06/28/2024
    
1,225,700
      
(3,071
)
   London Cocoa
    
35
  
05/15/2024
    
3,655,938
      
1,546,918
  
   Long Gilt
    
99
  
06/26/2024
    
12,518,313
      
30,543
  
   Low Sulphur Gas Oil
    
270
  
05/10/2024
    
21,816,000
      
(2,657
)
   Mexican Peso
    
71
  
06/17/2024
    
2,110,475
      
22,894
  
   MSCI Singapore Index
    
1
  
04/29/2024
    
21,540
      
(87
)
   Nasdaq 100 Index
    
130
  
06/21/2024
    
48,430,115
      
395,115
  
   Natural Gas
    
79
  
04/26/2024
    
1,392,770
      
(10,293
)
   Natural Gas
    
40
  
04/29/2024
    
877,797
      
(15,963
)
   Natural Gas
    
22
  
05/29/2024
    
439,340
      
2,260
  
   Nickel
    
6
  
06/17/2024
    
602,652
      
(24,481
)
   Nickel - 90 day settlement(a)
    
1
  
05/31/2024
    
100,388
      
(7,324
)
   Nikkei 225 Index
    
70
  
06/13/2024
    
9,232,584
      
(56,157
)
   Nikkei 225 Index
    
233
  
06/13/2024
    
62,149,887
      
189,913
  
   NY Harbor ULSD
    
90
  
04/30/2024
    
9,913,806
      
(142,643
)
   Platinum
    
2
  
07/29/2024
    
92,110
      
(64
)
   Reformulated Gasoline Blendstock
    
197
  
04/30/2024
    
22,510,244
      
481,957
  
   Reformulated Gasoline Blendstock
    
12
  
05/31/2024
    
1,355,004
      
7,316
  
   Reformulated Gasoline Blendstock
    
9
  
06/28/2024
    
1,000,150
      
14,428
  
   Reformulated Gasoline Blendstock
    
5
  
07/31/2024
    
543,984
      
12,654
  
   Russell 2000 Index
    
795
  
06/21/2024
    
86,710,511
      
705,493
  
   S&P 500 Index
    
249
  
06/21/2024
    
67,416,597
      
2,651,543
  
   S&P Toronto Stock Exchange 60 Index
    
9
  
06/20/2024
    
1,782,526
      
1,325,772
  
   SGX FTSE Taiwan Index
    
33
  
04/29/2024
    
2,283,409
      
615
  
   SGX TSI Iron Ore
    
1
  
05/31/2024
    
10,104
      
(639
)
   Silver
    
52
  
05/29/2024
    
6,478,160
      
28,266
  
   Soybeans
    
41
  
05/14/2024
    
2,442,575
      
31,670
  
   TAIEX Index
    
30
  
04/17/2024
    
3,795,115
      
(1,396
)
   TOPIX Index
    
406
  
06/13/2024
    
74,379,185
      
577,807
  
   U.S. Treasury Long Bonds
    
11
  
06/18/2024
    
1,325,744
      
932
  
   U.S. Treasury Ultra Bonds
    
43
  
06/18/2024
    
5,547,000
      
24,986
  
   US Cocoa
    
4
  
05/15/2024
    
390,640
      
9,628
  
   Zinc
    
130
  
06/17/2024
    
7,914,303
      
(326,624
)
   Zinc - 90 day settlement(a)
    
1
  
04/04/2024
    
59,938
      
(2,815
)
   Zinc - 90 day settlement(a)
    
2
  
05/02/2024
    
120,750
      
(401
)
   Zinc - 90 day settlement(a)
    
1
  
06/10/2024
    
60,808
      
(3,416
)
   Zinc - 90 day settlement(a)
    
1
  
06/12/2024
    
60,831
      
(3,118
)
                     
$
19,516,945
  
                       
–
  
Description
  
Contracts
Sold
  
Expiration Date
  
Notional
    
Value / Unrealized
Appreciation
 (Depreciation)
  
   3 Month Euribor
    
(259)
12/16/2024
  
$
67,742,620
    
$
77,271
  
   3 Month Euribor
    
(281)
03/17/2025
    
73,678,715
      
45,614
  
   3 Month Euribor
    
(923)
06/16/2025
    
242,535,726
      
(50,439
)
   3 Month Euribor
    
(135)
09/15/2025
    
35,515,584
      
(15,302
)
   3 Month Euribor
    
(110)
12/15/2025
    
28,963,842
      
(22,106
)
   3 Month Euribor
    
(61)
03/16/2026
    
16,069,171
      
(12,990
)
   3 Month Euribor
    
(20)
06/15/2026
    
5,269,929
      
(5,764
)
   3-Month Secured Overnight Financing Rate
    
(138)
03/18/2025
    
32,923,350
      
90,242
  
   3-Month Secured Overnight Financing Rate
    
(161)
06/17/2025
    
38,519,250
      
73,155
  
   3-Month Secured Overnight Financing Rate
    
(1,958)
09/16/2025
    
467,738,600
      
1,863,225
  
   3-Month Secured Overnight Financing Rate
    
(141)
12/16/2025
    
33,882,300
      
28,515
  
   3-Month Secured Overnight Financing Rate
    
(66)
03/17/2026
    
15,880,425
      
8,028
  
   3-Month Secured Overnight Financing Rate
    
(64)
06/16/2026
    
15,412,000
      
(6,652
)
   3-Month Secured Overnight Financing Rate
    
(61)
09/15/2026
    
14,697,188
      
(5,673
)
   3-Month Secured Overnight Financing Rate
    
(80)
12/15/2026
    
19,281,000
      
(23,789
)
   Aluminum
    
(235)
06/17/2024
    
13,716,010
      
(554,103
)
   Aluminum - 90 day settlement(a)
    
(2)
04/04/2024
    
114,955
      
(3,124
)
   Aluminum - 90 day settlement(a)
    
(1)
04/05/2024
    
57,497
      
(1,483
)
   Aluminum - 90 day settlement(a)
    
(1)
04/24/2024
    
57,743
      
(1,842
)
   Aluminum - 90 day settlement(a)
    
(2)
05/02/2024
    
115,851
      
(5,308
)
   Aluminum - 90 day settlement(a)
    
(1)
05/10/2024
    
58,012
      
(2,693
)
   Aluminum - 90 day settlement(a)
    
(1)
05/13/2024
    
58,025
      
(2,412
)
   Aluminum - 90 day settlement(a)
    
(1)
05/16/2024
    
58,025
      
(3,124
)
   Aluminum - 90 day settlement(a)
    
(1)
05/17/2024
    
58,031
      
(1,562
)
   Aluminum - 90 day settlement(a)
    
(1)
06/07/2024
    
58,291
      
(2,333
)
   Aluminum - 90 day settlement(a)
    
(1)
06/12/2024
    
58,329
      
(2,078
)
   Aluminum - 90 day settlement(a)
    
(1)
06/28/2024
    
58,425
      
(1,020
)
   Australian Dollar
    
(540)
06/17/2024
    
35,351,426
      
(36,613
)
   Australian Government 10 Year Bonds
    
(183)
06/17/2024
    
14,054,229
      
(153,372
)
   Australian Government 3 Year Bonds
    
(140)
06/17/2024
    
9,753,860
      
(38,594
)
   British Pound
    
(1,117)
06/17/2024
    
88,059,915
      
46,164
  
   CAC40 10 Euro Index
    
(18)
04/19/2024
    
1,596,951
      
2,476
  
   Canadian 10 Year Government Bonds
    
(400)
06/19/2024
    
35,671,005
      
(134,480
)
   Canadian Dollar
    
(546)
06/18/2024
    
40,496,794
      
(125,554
)
   CBOE Volatility Index
    
(45)
05/22/2024
    
693,833
      
(10,164
)
   CBOE Volatility Index
    
(23)
06/18/2024
    
371,416
      
(3,057
)
   Copper
    
(96)
05/29/2024
    
9,616,800
      
57,984
  
   Copper
    
(75)
06/17/2024
    
16,611,206
      
(557,090
)
   Copper - 90 day settlement(a)
    
(1)
04/03/2024
    
219,244
      
(7,878
)
   Copper - 90 day settlement(a)
    
(1)
04/26/2024
    
220,162
      
(5,845
)
   Copper - 90 day settlement(a)
    
(2)
05/02/2024
    
440,965
      
(21,142
)
   Copper - 90 day settlement(a)
    
(1)
05/13/2024
    
220,664
      
(14,590
)
   Copper - 90 day settlement(a)
    
(1)
05/24/2024
    
221,082
      
(9,117
)
   Copper - 90 day settlement(a)
    
(5)
06/12/2024
    
1,107,539
      
8,554
  
   Copper - 90 day settlement(a)
    
(1)
06/17/2024
    
221,483
      
2,913
  
   Corn No. 2 Yellow
    
(814)
05/14/2024
    
17,989,400
      
(198,447
)
   Crude Soybean Oil
    
(195)
05/14/2024
    
5,610,150
      
(101,485
)
   Dow Jones Industrial Average Index
    
(21)
06/21/2024
    
4,218,480
      
(40,715
)
   Euro
    
(643)
06/17/2024
    
86,660,853
      
158,477
  
   Euro BUXL 30 Year Bonds
    
(96)
06/06/2024
    
14,064,796
      
(177,909
)
   Euro STOXX 50 Quanto Index
    
(172)
06/21/2024
    
9,361,643
      
(85,185
)
   Euro-BOBL
    
(1,659)
06/06/2024
    
213,954,277
      
(769,441
)
   Euro-BTP Italian Government Bonds
    
(228)
06/06/2024
    
29,282,699
      
(8,788
)
   Euro-Bund
    
(354)
06/06/2024
    
51,347,598
      
(407,895
)
   Euro-Schatz
    
(4,707)
06/06/2024
    
537,437,252
      
(225,143
)
   French Government Bonds
    
(90)
06/06/2024
    
12,444,898
      
(21,763
)
   FTSE China A50 Index
    
(1)
04/29/2024
    
12,120
      
(9
)
   FTSE/JSE Top 40 Index
    
(16)
06/20/2024
    
582,277
      
(23,198
)
   FTSE/MIB Index
    
(15)
06/21/2024
    
2,768,149
      
(56,766
)
   Hang Seng Index
    
(328)
04/29/2024
    
34,731,229
      
(11,908
)
   Hard Red Winter Wheat
    
(250)
07/12/2024
    
7,246,875
      
(61,194
)
   ICE 3 Month SONIA Rate
    
(36)
03/18/2025
    
10,860,091
      
(10,129
)
   ICE 3 Month SONIA Rate
    
(5)
06/17/2025
    
1,512,369
      
90
  
   ICE 3 Month SONIA Rate
    
(138)
09/16/2025
    
41,898,414
      
(69,940
)
   ICE 3 Month SONIA Rate
    
(12)
12/16/2025
    
3,642,938
      
(3,702
)
   ICE 3 Month SONIA Rate
    
(13)
03/17/2026
    
3,951,234
      
(690
)
   ICE 3 Month SONIA Rate
    
(9)
06/16/2026
    
2,737,741
      
(3,589
)
   ICE 3 Month SONIA Rate
    
(7)
09/15/2026
    
2,130,680
      
(2,215
)
   ICE European Climate Exchange Emissions
    
(22)
12/16/2024
    
1,466,809
      
7,438
  
   Japanese Yen/US Dollar Cross Currency Rate
    
(1,309)
06/17/2024
    
109,078,752
      
156,371
  
   Lead
    
(24)
06/17/2024
    
1,231,512
      
23,896
  
   Lean Hogs
    
(15)
06/14/2024
    
608,700
      
1,494
  
   Live Cattle
    
(2)
06/28/2024
    
144,200
      
(505
)
   Long Gilt
    
(104)
06/26/2024
    
13,260,491
      
(142,026
)
   Low Sulphur Gas Oil
    
(73)
05/10/2024
    
5,898,400
      
(36,865
)
   Low Sulphur Gas Oil
    
(55)
06/12/2024
    
4,411,000
      
(31,037
)
   Low Sulphur Gas Oil
    
(8)
07/11/2024
    
638,200
      
(6,184
)
   MSCI EAFE Index
    
(49)
06/21/2024
    
5,774,895
      
(16,579
)
   MSCI Emerging Markets Index
    
(98)
06/21/2024
    
5,140,100
      
(40,461
)
   Nasdaq 100 Index
    
(35)
06/21/2024
    
12,932,500
      
(15,066
)
   Natural Gas
    
(353)
04/26/2024
    
6,223,390
      
204,917
  
   Natural Gas
    
(8)
06/26/2024
    
187,200
      
(2,684
)
   Natural Gas
    
(10)
07/29/2024
    
244,200
      
(2,018
)
   Natural Gas
    
(8)
08/28/2024
    
194,960
      
(1,934
)
   New Zealand Dollar
    
(98)
06/17/2024
    
5,832,393
      
23,107
  
   Nickel
    
(7)
06/17/2024
    
703,093
      
2,484
  
   Nickel - 90 day settlement(a)
    
(1)
05/31/2024
    
100,388
      
6,376
  
   Nifty 50 Index
    
(6)
04/25/2024
    
275,657
      
(7,187
)
   NY Harbor ULSD
    
(38)
04/30/2024
    
4,185,829
      
(19,774
)
   NY Harbor ULSD
    
(19)
05/31/2024
    
2,090,521
      
(13,890
)
   NY Harbor ULSD
    
(4)
06/28/2024
    
439,908
      
(3,502
)
   NY Harbor ULSD
    
(3)
07/31/2024
    
329,855
      
(2,122
)
   Platinum
    
(5)
07/29/2024
    
230,275
      
(3,917
)
   S&P 500 Index
    
(32)
06/21/2024
    
8,493,600
      
1,125
  
   S&P Mid Cap 400 Index
    
(20)
06/21/2024
    
6,154,800
      
(111,383
)
   Sao Paulo Stock Exchange Index(Bovespa)
    
(250)
04/17/2024
    
6,419,927
      
10,872
  
   SET50 Index
    
(420)
06/27/2024
    
1,918,389
      
8,046
  
   SGX FTSE Taiwan Index
    
(1)
04/29/2024
    
69,390
      
18
  
   Silver
    
(71)
05/29/2024
    
8,845,180
      
28,066
  
   Soybean Meal
    
(233)
05/14/2024
    
7,868,410
      
25,987
  
   Soybeans
    
(476)
05/14/2024
    
28,357,700
      
(138,043
)
   Sugar #11
    
(127)
04/30/2024
    
3,203,245
      
(105,359
)
   Swiss Franc
    
(565)
06/17/2024
    
78,557,809
      
207,533
  
   U.S. Treasury 10 Year Notes
    
(807)
06/18/2024
    
90,540,644
      
(375,855
)
   U.S. Treasury 2 Year Notes
    
(3,298)
06/28/2024
    
672,754,232
      
545,080
  
   U.S. Treasury 5 Year Note
    
(2,158)
06/28/2024
    
232,071,996
      
(377,425
)
   U.S. Treasury Long Bonds
    
(348)
06/18/2024
    
42,360,121
      
(447,871
)
   U.S. Treasury Ultra Bonds
    
(338)
06/18/2024
    
43,602,000
      
(592,260
)
   US Cocoa
    
(3)
05/15/2024
    
292,980
      
(4,897
)
   Wheat
    
(393)
05/14/2024
    
11,008,913
      
377,805
  
   Zinc
    
(131)
06/17/2024
    
7,975,182
      
(185,320
)
   Zinc - 90 day settlement(a)
    
(1)
04/04/2024
    
59,938
      
2,670
  
   Zinc - 90 day settlement(a)
    
(2)
05/02/2024
    
120,750
      
43
  
   Zinc - 90 day settlement(a)
    
(1)
06/10/2024
    
60,808
      
3,221
  
   Zinc - 90 day settlement(a)
    
(1)
06/12/2024
    
60,831
      
2,785
  
                     
$
(2,702,532
)
Total Unrealized Appreciation (Depreciation)
    
$
16,814,413
  

(a)
London Metal Exchange (“LME”) futures contracts settle on their respective maturity date, and do not have daily cash movements like other futures contracts. The unrealized appreciation on these contracts is a receivable for unsettled open futures contracts and the unrealized depreciation is a payable for unsettled open futures contracts on the Fund’s consolidated statement of assets and liabilities.
LoCorr Macro Strategies Fund
  
Schedule of Forward Currency Contracts
  
as of March 31, 2024 (Unaudited)
  
   
Settlement
Date
Currency Purchased
  
Currency Sold
  
Counterparty
  
Value / Unrealized
Appreciation
(Depreciation)
  
                         
04/02/2024
AUD
    
11,290,000
  
USD
    
7,366,007
  
Deutsche Bank
  
$
(7,887
)
04/03/2024
AUD
    
4,250,000
  
USD
    
2,771,774
  
Deutsche Bank
    
(1,812
)
04/17/2024
AUD
    
50,350,000
  
USD
    
32,953,912
  
Deutsche Bank
    
(124,652
)
06/21/2024
AUD
    
6,318,000
  
USD
    
4,194,149
  
Bank of America Securities, Inc.
    
(67,135
)
04/17/2024
BRL
    
119,400,000
  
USD
    
23,960,568
  
Deutsche Bank
    
(202,314
)
04/17/2024
CAD
    
64,270,000
  
USD
    
47,444,344
  
Merrill Lynch
    
17,004
  
06/21/2024
CAD
    
10,562,000
  
USD
    
7,831,177
  
Bank of America Securities, Inc.
    
(24,095
)
04/02/2024
CHF
    
4,970,000
  
USD
    
5,487,368
  
Deutsche Bank
    
26,552
  
04/03/2024
CHF
    
6,870,000
  
USD
    
7,609,006
  
Deutsche Bank
    
13,690
  
04/17/2024
CHF
    
54,020,000
  
USD
    
60,976,427
  
Deutsche Bank
    
(944,591
)
05/15/2024
CHF
    
9,730,000
  
USD
    
10,836,128
  
Deutsche Bank
    
11,012
  
04/17/2024
CLP
    
2,288,000,000
  
USD
    
2,350,880
  
Deutsche Bank
    
(17,103
)
04/02/2024
EUR
    
6,380,000
  
USD
    
6,906,413
  
Merrill Lynch
    
(22,029
)
04/03/2024
EUR
    
1,200,000
  
USD
    
1,296,079
  
Merrill Lynch
    
(1,162
)
04/17/2024
EUR
    
55,530,000
  
USD
    
60,484,003
  
Merrill Lynch
    
(527,801
)
06/21/2024
EUR
    
8,224,000
  
USD
    
9,027,686
  
Bank of America Securities, Inc.
    
(124,121
)
04/02/2024
GBP
    
9,290,000
  
USD
    
11,728,779
  
Merrill Lynch
    
(3,106
)
04/03/2024
GBP
    
1,550,000
  
USD
    
1,956,739
  
Merrill Lynch
    
(346
)
04/17/2024
GBP
    
53,150,000
  
USD
    
67,516,444
  
Merrill Lynch
    
(425,942
)
05/15/2024
GBP
    
7,800,000
  
USD
    
9,854,118
  
Merrill Lynch
    
(6,702
)
06/21/2024
GBP
    
53,032,000
  
USD
    
67,933,945
  
Bank of America Securities, Inc.
    
(969,488
)
04/17/2024
ILS
    
15,090,000
  
USD
    
4,145,838
  
Deutsche Bank
    
(38,703
)
04/18/2024
INR
    
39,230,000
  
USD
    
472,701
  
Deutsche Bank
    
(2,596
)
04/17/2024
JPY
    
6,600,000,000
  
USD
    
44,230,157
  
Merrill Lynch
    
(498,107
)
06/21/2024
JPY
    
1,477,251,000
  
USD
    
10,057,825
  
Bank of America Securities, Inc.
    
(170,407
)
04/17/2024
KRW
    
7,670,000,000
  
USD
    
5,777,298
  
Deutsche Bank
    
(73,664
)
04/01/2024
MXN
    
32,280,000
  
USD
    
1,935,438
  
Merrill Lynch
    
5,074
  
04/02/2024
MXN
    
7,170,000
  
USD
    
432,617
  
Merrill Lynch
    
(1,660
)
04/17/2024
MXN
    
368,140,000
  
USD
    
21,874,305
  
Merrill Lynch
    
201,560
  
06/21/2024
MXN
    
623,945,000
  
USD
    
36,690,253
  
Bank of America Securities, Inc.
    
337,549
  
04/02/2024
NOK
    
31,680,000
  
USD
    
2,956,901
  
Deutsche Bank
    
(38,443
)
04/03/2024
NOK
    
30,020,000
  
USD
    
2,774,266
  
Deutsche Bank
    
(8,659
)
04/17/2024
NOK
    
202,530,000
  
USD
    
19,031,902
  
Deutsche Bank
    
(367,078
)
04/02/2024
NZD
    
11,130,000
  
USD
    
6,677,293
  
Deutsche Bank
    
(27,660
)
04/03/2024
NZD
    
2,600,000
  
USD
    
1,555,532
  
Deutsche Bank
    
(2,158
)
04/17/2024
NZD
    
60,280,000
  
USD
    
36,562,775
  
Deutsche Bank
    
(547,646
)
06/21/2024
NZD
    
35,020,000
  
USD
    
21,584,756
  
Bank of America Securities, Inc.
    
(661,127
)
04/17/2024
PLN
    
71,320,000
  
USD
    
17,903,984
  
Deutsche Bank
    
(51,557
)
04/02/2024
SEK
    
22,700,000
  
USD
    
2,139,835
  
Deutsche Bank
    
(18,710
)
04/03/2024
SEK
    
9,880,000
  
USD
    
924,558
  
Deutsche Bank
    
(1,318
)
04/17/2024
SEK
    
147,930,000
  
USD
    
14,256,045
  
Deutsche Bank
    
(424,916
)
05/15/2024
SEK
    
18,670,000
  
USD
    
1,761,908
  
Deutsche Bank
    
(14,231
)
04/17/2024
SGD
    
28,920,000
  
USD
    
21,595,402
  
Deutsche Bank
    
(157,256
)
04/02/2024
USD
    
7,367,840
  
AUD
    
11,290,000
  
Deutsche Bank
    
9,719
  
04/03/2024
USD
    
2,764,669
  
AUD
    
4,250,000
  
Deutsche Bank
    
(5,293
)
04/17/2024
USD
    
52,769,727
  
AUD
    
80,310,000
  
Deutsche Bank
    
405,916
  
06/21/2024
USD
    
31,848,533
  
AUD
    
48,179,000
  
Bank of America Securities, Inc.
    
377,280
  
04/17/2024
USD
    
11,834,471
  
BRL
    
59,260,000
  
Deutsche Bank
    
42,895
  
04/17/2024
USD
    
46,673,538
  
CAD
    
63,040,000
  
Merrill Lynch
    
120,506
  
06/21/2024
USD
    
60,737,135
  
CAD
    
81,795,000
  
Bank of America Securities, Inc.
    
276,974
  
04/02/2024
USD
    
5,488,692
  
CHF
    
4,970,000
  
Deutsche Bank
    
(25,228
)
04/03/2024
USD
    
7,625,318
  
CHF
    
6,870,000
  
Deutsche Bank
    
2,623
  
04/17/2024
USD
    
60,732,887
  
CHF
    
54,020,000
  
Deutsche Bank
    
701,051
  
06/21/2024
USD
    
74,057,922
  
CHF
    
64,971,000
  
Bank of America Securities, Inc.
    
1,325,676
  
04/17/2024
USD
    
2,613,422
  
CLP
    
2,547,000,000
  
Deutsche Bank
    
15,464
  
04/02/2024
USD
    
6,904,748
  
EUR
    
6,380,000
  
Merrill Lynch
    
20,364
  
04/03/2024
USD
    
1,294,770
  
EUR
    
1,200,000
  
Merrill Lynch
    
(147
)
04/17/2024
USD
    
85,533,269
  
EUR
    
78,740,000
  
Merrill Lynch
    
517,038
  
06/21/2024
USD
    
18,764,125
  
EUR
    
17,181,000
  
Bank of America Securities, Inc.
    
163,427
  
04/02/2024
USD
    
11,731,496
  
GBP
    
9,290,000
  
Merrill Lynch
    
5,823
  
04/03/2024
USD
    
1,958,292
  
GBP
    
1,550,000
  
Merrill Lynch
    
1,899
  
04/17/2024
USD
    
67,454,191
  
GBP
    
53,150,000
  
Merrill Lynch
    
363,689
  
06/21/2024
USD
    
29,563,631
  
GBP
    
23,355,000
  
Bank of America Securities, Inc.
    
72,854
  
04/17/2024
USD
    
2,292,956
  
ILS
    
8,390,000
  
Deutsche Bank
    
9,400
  
04/18/2024
USD
    
10,367,488
  
INR
    
863,580,000
  
Deutsche Bank
    
18,949
  
04/17/2024
USD
    
79,547,705
  
JPY
    
11,761,000,000
  
Merrill Lynch
    
1,618,516
  
06/21/2024
USD
    
88,134,153
  
JPY
    
12,862,457,000
  
Bank of America Securities, Inc.
    
2,044,193
  
04/17/2024
USD
    
7,574,964
  
KRW
    
10,065,000,000
  
Deutsche Bank
    
90,338
  
04/01/2024
USD
    
1,937,563
  
MXN
    
32,280,000
  
Merrill Lynch
    
(2,949
)
04/02/2024
USD
    
433,286
  
MXN
    
7,170,000
  
Merrill Lynch
    
2,328
  
04/17/2024
USD
    
7,163,271
  
MXN
    
121,210,000
  
Merrill Lynch
    
(105,202
)
04/02/2024
USD
    
2,946,755
  
NOK
    
31,680,000
  
Deutsche Bank
    
28,298
  
04/03/2024
USD
    
2,774,238
  
NOK
    
30,020,000
  
Deutsche Bank
    
8,631
  
04/17/2024
USD
    
28,383,939
  
NOK
    
299,570,000
  
Deutsche Bank
    
776,073
  
04/02/2024
USD
    
6,677,510
  
NZD
    
11,130,000
  
Deutsche Bank
    
27,877
  
04/03/2024
USD
    
1,553,173
  
NZD
    
2,600,000
  
Deutsche Bank
    
(201
)
04/17/2024
USD
    
36,725,639
  
NZD
    
60,280,000
  
Deutsche Bank
    
710,511
  
05/15/2024
USD
    
23,918
  
NZD
    
40,000
  
Deutsche Bank
    
18
  
06/21/2024
USD
    
28,789,349
  
NZD
    
47,728,000
  
Bank of America Securities, Inc.
    
272,988
  
04/17/2024
USD
    
6,245,717
  
PLN
    
24,540,000
  
Deutsche Bank
    
103,001
  
04/02/2024
USD
    
2,138,534
  
SEK
    
22,700,000
  
Deutsche Bank
    
17,409
  
04/03/2024
USD
    
924,029
  
SEK
    
9,880,000
  
Deutsche Bank
    
789
  
04/17/2024
USD
    
14,375,961
  
SEK
    
147,930,000
  
Deutsche Bank
    
544,833
  
05/15/2024
USD
    
1,136,232
  
SEK
    
12,080,000
  
Deutsche Bank
    
5,437
  
04/17/2024
USD
    
21,595,525
  
SGD
    
28,920,000
  
Deutsche Bank
    
157,379
  
05/15/2024
USD
    
3,390,262
  
SGD
    
4,560,000
  
Deutsche Bank
    
5,513
  
04/02/2024
USD
    
628,668
  
ZAR
    
11,880,000
  
Deutsche Bank
    
1,663
  
04/03/2024
USD
    
1,961,194
  
ZAR
    
37,290,000
  
Deutsche Bank
    
(6,751
)
04/17/2024
USD
    
5,621,240
  
ZAR
    
105,840,000
  
Deutsche Bank
    
41,921
  
05/15/2024
USD
    
1,958,936
  
ZAR
    
37,290,000
  
Deutsche Bank
    
(2,219
)
04/02/2024
ZAR
    
11,880,000
  
USD
    
627,965
  
Deutsche Bank
    
(961
)
04/03/2024
ZAR
    
37,290,000
  
USD
    
1,965,632
  
Deutsche Bank
    
2,312
  
04/17/2024
ZAR
    
105,840,000
  
USD
    
5,619,011
  
Deutsche Bank
    
(39,692
)
05/15/2024
ZAR
    
13,750,000
  
USD
    
724,657
  
Deutsche Bank
    
(1,518
)
                              
$
4,757,673
  

AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
EUR - Euro
GBP - British Pound
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - South Korean Won
MXN - Mexican Peso
NOK - Norwegian Krone
NZD - New Zealand Dollar
PLN - Polish Zloty
SEK - Swedish Krona
SGD - Singapore Dollar
USD - United States Dollar
ZAR - South African Rand
Investment Valuation

Fair Value Measurement Summary

March 31, 2024 (Unaudited)

The LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Market Trend Fund, LoCorr Dynamic Opportunity Fund and the LoCorr Spectrum Income Fund (individually a ''Fund'' and collectively the ''Funds'') follow fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and changes in valuation techniques and related inputs during the period. These inputs are summarized in three broad levels listed below:

Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access.

Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

Generally, the Funds’ investments are valued each day at the last quoted sales price on each investment’s primary exchange. Investments traded or dealt in upon one or more exchanges (whether domestic or foreign) for which market quotations are readily available and not subject to restrictions against resale shall be valued at the last quoted sales price on the primary exchange or, in the absence of a sale on the primary exchange, at the last bid on the primary exchange. Investments primarily traded in the National Association of Securities Dealers’ Automated Quotation System (“NASDAQ”) National Market System for which market quotations are readily available shall be valued using the NASDAQ Official Closing Price.

The Funds may use independent pricing services to assist in calculating the value of the Funds’ investments. In addition, market prices for foreign investments are not determined at the same time of day as the net asset value (“NAV”) for the Funds. Because the Funds may invest in portfolio investments primarily listed on foreign exchanges, and these exchanges may trade on weekends or other days when the Funds do not price their shares, the value of some of the Funds’ portfolio investments may change on days when you may not be able to buy or sell the Funds’ shares. In computing the NAV, the Funds value foreign investments held by the Funds at the latest closing price on the exchange in which they are traded immediately prior to closing of the NYSE. Prices of foreign investments quoted in foreign currencies are translated into U.S. dollars at current rates. If events materially affecting the value of an investment in the Funds’ portfolio, particularly foreign investments, occur after the close of trading on a foreign market but before the Funds price their shares, the investment will be valued at fair value.
Certain investments such as commodity pools are measured based upon NAV as a practical expedient to determine fair value and are not required to be categorized in the fair value hierarchy.

American Depositary Receipts
The Funds may invest in sponsored and unsponsored American Depositary Receipts (“ADRs”), which are receipts issued by an American bank or trust company evidencing ownership of underlying securities issued by a foreign issuer. ADRs, in registered form, are designed for use in U.S. securities markets. Unsponsored ADRs may be created without the participation of the foreign issuer. Holders of unsponsored ADRs generally bear all the costs of the ADR facility, whereas foreign issuers typically bear certain costs in a sponsored ADR. The bank or trust company depositary of an unsponsored ADR may be under no obligation to distribute shareholder communications received from the foreign issuer or to pass through voting rights. ADRs are generally categorized in Level 1 or Level 2 of the fair value hierarchy depending on inputs used and market activity levels for specific securities.

Equity Securities
Equity securities, including common stocks, preferred stocks, securities convertible into common stocks, such as convertible bonds, warrants, rights, options, master limited partnership (“MLP”) interests, real estate investment trusts (“REITs”), business development companies and royalty trusts, generally are valued by using market quotations, but may be valued on the basis of prices furnished by a pricing service when the Adviser believes such prices accurately reflect the fair market value of such securities. MLP interests are limited partnerships, the interests in which (known as “units”) typically trade publicly, like stock. Master limited partnerships are also called publicly traded partnerships and public limited partnerships. Securities that are traded on any stock exchange or on the NASDAQ over-the-counter market are generally valued by the pricing service at the last quoted sale price. Lacking a last sale price, an equity security is generally valued by the pricing service at its last bid price. Equity securities are generally categorized in Level 1 or Level 2 of the fair value hierarchy depending on inputs used and market activity levels for specific securities.

Exchange Traded Funds
The Funds may invest in Exchange Traded Funds (“ETFs”). They are managed by professionals and provide the investor with diversification, cost and tax efficiency, liquidity, marginability, are useful for hedging, have the ability to go long and short, and some provide quarterly dividends. Additionally, some ETFs are unit investment trusts (“UITs”), which are unmanaged portfolios overseen by trustees. ETFs generally have two markets. The primary market is where institutions swap “creation units” in block-multiples of shares, typically 25,000 or 50,000, for in-kind securities and cash in the form of dividends. The secondary market is where individual investors can trade as little as a single share during trading hours on the exchange. This is different from open-ended mutual funds that are traded after hours once the NAV is calculated. ETFs share many similar risks with open-end and closed-end funds. ETFs are generally categorized in Level 1 of the fair value hierarchy.

The Funds may invest in ETFs and other investment companies that hold a portfolio of foreign securities. Investing in securities of foreign companies and countries involves certain considerations and risks that are not typically associated with investing in U.S. government securities and securities of domestic companies. There may be less publicly available information about a foreign issuer than a domestic one, and foreign companies are not generally subject to uniform accounting, auditing and financial standards and requirements comparable to those applicable to U.S. companies. There may also be less government supervision and regulation of foreign securities exchanges, brokers and listed companies than exists in the United States. Interest and dividends paid by foreign issuers may be subject to withholding and other foreign taxes, which may decrease the net return on such investments as compared to dividends and interest paid to the Fund by domestic companies or the U.S. government. There may be the possibility of expropriations, seizure or nationalization of foreign deposits, confiscatory taxation, political, economic or social instability or diplomatic developments that could affect assets of the Fund held in foreign countries. Finally, the establishment of exchange controls or other foreign governmental laws or restrictions could adversely affect the payment of obligations.

Fixed Income Securities
Fixed income securities and certificates of deposit with maturities more than 60 days when acquired generally are valued using an evaluated price supplied by an independent pricing service. Inputs used by the pricing service for U.S. government and treasury securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker dealer quotes, yields, bids, offers, and reference data. Agency issued debt securities, foreign issued bonds and municipal bonds are generally valued in a manner similar to U.S. government securities. Evaluations for corporate bonds are typically based on valuation methodologies such as market pricing and other analytical pricing models as well as market transactions and dealer quotations based on observable inputs. Fixed income securities are generally categorized in Level 1 or Level 2 of the fair value hierarchy depending on inputs used and market activity levels for specific securities.

The fair value of asset backed securities and mortgage-backed securities is estimated on models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield, and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche. Additional inputs such as creditworthiness of the underlying collateral and quotes from outside brokers for the same or similar issuance may also be considered in the development of fair value. Asset backed and mortgage-backed securities are generally categorized in Level 2 of the fair value hierarchy.

Short-term investments in fixed income securities and certificates of deposit with maturities of less than 60 days when acquired, or which subsequently are within 60 days of maturity, are valued using an amortized cost method of valuation, and are generally categorized in Level 2.

Investment Companies
With respect to any portion of the Funds’ assets that are invested in one or more open-end management investment companies, including money market funds, registered under the 1940 Act, the Funds’ net asset value is calculated based upon the net asset values of those open-end management investment companies, and the prospectuses for these companies explain the circumstances under which those companies will use fair value pricing and the effects of using fair value pricing.

The Funds generally will purchase shares of closed-end investment companies only in the secondary market. The shares of many closed-end investment companies, after their initial public offering, frequently trade at a price per share that is less than the net asset value per share, the difference representing the “market discount” of such shares. This market discount may be due in part to the investment objective of long-term appreciation, which is sought by many closed-end investment companies, as well as to the fact that the shares of closed-end investment companies are not redeemable by the holder upon demand to the issuer at the next determined net asset value but rather are subject to the principles of supply and demand in the secondary market. A relative lack of secondary market purchasers of closed-end investment company shares also may contribute to such shares trading at a discount to their net asset value. Closed-end investment companies are generally categorized in Level 1 or Level 2 of the fair value hierarchy depending on inputs used and market activity levels for specific securities.

Financial Derivative Instruments
Financial derivative instruments, such as forward currency contracts, futures contracts, swap agreements or options contracts, derive their value from underlying asset prices, indices, reference rates and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker-dealer quotations, a pricing service at the settlement price determined by the relevant exchange or by the counterparty. Depending on the product and the terms of the transaction, the value of the derivative contracts can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, dividends and exchange rates.

Forward currency contracts represent the purchase or sale of a specific quantity of a foreign currency at the current or spot price, with delivery and settlement at a specified future date. Forward currency contracts are presented at fair value using spot currency rates and are adjusted for the time value of money (forward points) and contractual prices of the underlying financial instruments. Forward currency contracts are generally categorized in Level 2.

Futures contracts are carried at fair value using the primary exchange’s closing (settlement) price, and are generally categorized in Level 1.

Total return swap contracts are stated at fair value daily based on the fair value of the underlying futures and forward currency contracts constituting the contract’s stated index, taking into account any fees and expenses associated with the swap agreement. Total return swap contracts are generally categorized in Level 2.

Fund-linked options are stated at fair value based on the fair value of Galaxy Plus Fund – East Alpha Feeder Fund (548) LLC and Galaxy Plus Fund - CoreCommodity Feeder Fund (558) LLC, taking into account any fees and expenses associated with the fund-linked option. Fund-linked options are generally categorized in Level 2.

Fair Value Pricing
If market quotations are not readily available, investments will be valued at their fair value as determined in good faith by the Adviser in accordance with procedures approved by the Board of Trustees (the “Board”) and evaluated by the Board as to the reliability of the fair value method used. In these cases, a Fund’s NAV will reflect certain portfolio investments’ fair value rather than their market price. Fair value pricing involves subjective judgments and it is possible that the fair value determined for an investment is materially different than the value that could be realized upon the sale of that investment. The fair value prices can differ from market prices when they become available or when a price becomes available.

Fair value determinations are required for the following securities:

● securities for which market quotations are not readily available at the valuation time on a particular business day (including without limitation securities for which there is a short and temporary lapse in the provision of a price by the regular pricing source);

● securities for which, in the opinion of the Adviser/relevant Sub-Adviser, the prices or values available do not represent the fair value of the instrument, based upon factors that may include, but are not limited to, the following: the availability of only a bid price or an ask price; the spread between bid and ask prices; the frequency of sales; the thinness of the market; the size of reported trades; and actions of the securities markets or regulators, such as the suspension or limitation of trading;

● securities determined to be illiquid in accordance with the Trust’s Liquidity Procedures; and

● securities with respect to which an event that will affect the value thereof has occurred subsequent to the determination by the Adviser/relevant Sub-Adviser of the closing prices reported on the principal exchange on which the securities are traded, but prior to the relevant Fund’s calculation of its NAV.

● For any open-end mutual funds that do not provide timely NAV information, the Adviser/relevant Sub-Adviser shall evaluate those ‘similar’ funds and determine which are most appropriate based on funds having similar benchmarks or similar objectives. The Adviser/relevant Sub-Adviser shall then calculate the NAV percentage move of those ‘similar’ funds for the day to create an aggregate average percentage move, which it shall use to calculate the price movement for the day of the Fund at issue. For closed-end funds, the aforementioned practice shall be utilized, in addition to monitoring secondary market activity during the day.
Performing Fair Value Pricing
The Adviser considers all appropriate factors relevant to the value of securities for which market quotations are not readily available. No single standard for determining fair value can be established, since fair value depends upon the circumstances of each individual case. As a general principle, the current fair value of an issue of securities being valued by the Adviser would appear to be the amount that the owner might reasonably expect to receive for them upon their current sale.

As a general matter, the Funds’ Adviser will value the portfolio security or other asset primarily by reference to the public market if there is a public market for securities of the same class or similar securities; primarily by reference to private transactions if public market reference is not available and private transaction reports are available; and primarily by use of one or more analytical methods or models if public and private market references are not available or not reliable. The Adviser will use cost only if no better method of valuation is available.

The Adviser regularly evaluates whether its pricing methodologies continue to result in values that the Fund might reasonably expect to receive upon a current sale. In order to do this, the Adviser compares its fair value prices with values that are available from other sources (if there are any). The next actual sales price of a security might be one such source. However, the next-day opening prices or next actual sales prices for a security may differ from the fair value of that security as of the time for NAV calculation, given the subjectivity inherent in fair valuation and the fact that events could occur after NAV calculation. Thus, discrepancies between fair values and next-day opening prices or next actual sales prices may occur on a regular and recurring basis. These discrepancies do not necessarily indicate that the Adviser’s fair value methodology is inappropriate. Nonetheless, systematic comparisons of fair values to the next-day opening prices or next actual sales prices are useful to assist the Adviser with ongoing monitoring and evaluation of the appropriateness of its fair value methodologies.

The above guidance does not purport to delineate all factors that may be considered. The Adviser takes into consideration all indications of value available to it in determining the fair value assigned to a particular security.

The following table summarizes LoCorr Macro Strategies Fund’s consolidated investments and other financial instruments as of March 31, 2024:

LoCorr Macro Strategies Fund
  
   
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets:
                        
  U.S. Treasury Obligations
    
–
      
477,368,196
      
–
      
477,368,196
  
  Corporate Bonds
    
–
      
202,600,705
      
–
      
202,600,705
  
  Mortgage-Backed Securities
    
–
      
160,035,656
      
–
      
160,035,656
  
  U.S. Government Agency Issues
    
–
      
107,952,268
      
–
      
107,952,268
  
  Asset-Backed Securities
    
–
      
84,469,982
      
–
      
84,469,982
  
  Municipal Bonds
    
–
      
4,005,158
      
–
      
4,005,158
  
  U.S. Treasury Bills
    
–
      
357,574,685
      
–
      
357,574,685
  
Total Assets
    
–
      
1,394,006,650
      
–
      
1,394,006,650
  
                                 
Other Financial Instruments*:
                                
Assets
                                
  Futures
    
19,516,945
      
–
      
–
      
19,516,945
  
  Forwards
    
–
      
11,524,017
      
–
      
11,524,017
  
Total Assets
    
19,516,945
      
11,524,017
      
–
      
31,040,962
  
                                 
Liabilities
                                
  Forwards
    
–
      
(6,766,344
)
    
–
      
(6,766,344
)
  Futures
    
(2,702,532
)
    
–
      
–
      
(2,702,532
)
Total Liabilities
    
(2,702,532
)
    
(6,766,344
)
    
–
      
(9,468,876
)
                                 
* The fair value of the Fund's investment represents the net unrealized appreciation (depreciation) as of March 31, 2024.
  
   
Refer to the Schedule of Investments for industry classifications.