WAVELENGTH FUND | ||
SCHEDULE OF INVESTMENTS | ||
February 29, 2024 (Unaudited) | ||
EXCHANGE-TRADED FUNDS - 91.6% | Shares | Value |
Emerging Markets Debt - 16.7% | ||
iShares J.P. Morgan USD Emerging Markets Bond ETF | 25,900 | $ 2,286,970 |
VanEck Emerging Markets High Yield Bond ETF (a) | 225,282 | 4,255,577 |
VanEck J.P. Morgan EM Local Currency Bond ETF | 83,541 | 2,070,981 |
Vanguard Emerging Markets Government Bond ETF | 50,626 | 3,186,401 |
11,799,929 | ||
Master Limited Partnerships - 2.4% | ||
Global X MLP ETF | 36,087 | 1,678,406 |
Real Estate Investment Trusts (REITs) - 0.5% | ||
Vanguard Real Estate ETF (a) | 4,087 | 349,643 |
U.S. Fixed Income - 72.0% | ||
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (a) |
49,899 | 661,661 |
Invesco Senior Loan ETF | 485,303 | 10,249,599 |
iShares Broad USD High Yield Corporate Bond ETF | 168,515 | 6,127,206 |
iShares National Muni Bond ETF (a) | 35,282 | 3,809,398 |
iShares Preferred & Income Securities ETF (a) | 25,968 | 835,650 |
iShares TIPS Bond ETF | 45,711 | 4,878,278 |
SPDR Bloomberg Convertible Securities ETF | 19,793 | 1,418,762 |
SPDR Bloomberg Short Term High Yield Bond ETF | 305,947 | 7,703,746 |
Vanguard Mortgage-Backed Securities ETF | 176,455 | 8,000,470 |
Vanguard Short-Term Inflation-Protected Securities ETF | 146,076 | 6,956,139 |
50,640,909 | ||
Total Exchange-Traded Funds (Cost $65,291,281) | $ 64,468,887 | |
MONEY MARKET FUNDS - 4.6% | Shares | Value |
DWS Government Money Market Series - Institutional Class, 5.27% (b) | 809,169 | $ 809,169 |
Fidelity Institutional Money Market Government Portfolio - Class I, 5.20% (b) | 809,166 | 809,166 |
Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class, 5.19% (b) | 817,747 | 817,747 |
WAVELENGTH FUND | ||
SCHEDULE OF INVESTMENTS (Continued) | ||
MONEY MARKET FUNDS - 4.6% (Continued) | Shares | Value |
Invesco Treasury Portfolio- Institutional Class, 5.24% (b) | 800,589 | $ 800,589 |
Total Money Market Funds (Cost $3,236,671) | $ 3,236,671 | |
COLLATERAL FOR SECURITIES LOANED - 13.9% | Shares | Value |
First American Government Obligations Fund - Class X, 5.23% (b)(c) (Cost $9,791,603) |
9,791,603 | $ 9,791,603 |
Investments at Value - 110.1% (Cost $78,319,555) | $ 77,497,161 | |
Other Liabilities in Excess of Assets - (10.1%) | (7,132,186) | |
Net Assets - 100.0% | $ 70,364,975 | |
(a) | All or a portion of the security is on loan. The total value of the securities on loan as of February 29, 2024 was $9,535,971. |
(b) | The rate shown is the 7-day effective yield as of February 29, 2024. |
(c) | This security was purchased with cash collateral held from securities on loan. |
WAVELENGTH FUND | ||||
SCHEDULE OF FUTURES CONTRACTS | ||||
February 29, 2024 (Unaudited) | ||||
FUTURES CONTRACTS | Contracts | Expiration Date | Notional Value | Value/Unrealized Appreciation (Depreciation) |
Commodity Futures | ||||
E-Mini Gold Future | 17 | 4/30/2024 | $ 1,746,495 | $ 1,615 |
Index Futures | ||||
E-Mini Dow CBOT DJIA Future | 4 | 3/18/2024 | 780,860 | 18,561 |
E-Mini Nasdaq 100 Future | 6 | 3/18/2024 | 2,169,930 | 9,467 |
E-Mini S&P 500 Future | 7 | 3/22/2024 | 1,786,312 | 24,322 |
MSCI Emerging Markets Future | 38 | 3/18/2024 | 1,931,920 | 18,006 |
Total Index Futures | 6,669,022 | 70,356 | ||
Treasury Futures | ||||
10-Year U.S. Treasury Note Future | 39 | 6/19/2024 | 4,307,063 | (315) |
2-Year U.S. Treasury Note Future | 35 | 6/29/2024 | 7,166,250 | (873) |
5-Year U.S. Treasury Note Future | 65 | 6/29/2024 | 6,948,906 | (1,052) |
U.S. Treasury Long Bond Future | 30 | 6/19/2024 | 3,577,500 | 4,854 |
Total Treasury Futures | 21,999,719 | 2,614 | ||
Total Futures Contracts | $ 30,415,236 | $ 74,585 | ||
The average monthly notional value of futures contracts during the nine months ended February 29, 2024 was $32,312,493. |