MSCI Emerging Markets Future 3/15/2024

0001752724-24-095829.txt : 20240513 0001752724-24-095829.hdr.sgml : 20240513 20240513094746 ACCESSION NUMBER: 0001752724-24-095829 CONFORMED SUBMISSION TYPE: NPORT-P/A PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20240229 FILED AS OF DATE: 20240513 DATE AS OF CHANGE: 20240513 PERIOD START: 20240531 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Ultimus Managers Trust CENTRAL INDEX KEY: 0001545440 ORGANIZATION NAME: IRS NUMBER: 000000000 STATE OF INCORPORATION: OH FILING VALUES: FORM TYPE: NPORT-P/A SEC ACT: 1940 Act SEC FILE NUMBER: 811-22680 FILM NUMBER: 24937246 BUSINESS ADDRESS: STREET 1: 225 PICTORIA DRIVE STREET 2: SUITE 450 CITY: CINCINNATI STATE: OH ZIP: 45246 BUSINESS PHONE: 513-587-3400 MAIL ADDRESS: STREET 1: 225 PICTORIA DRIVE STREET 2: SUITE 450 CITY: CINCINNATI STATE: OH ZIP: 45246

0001545440 S000042074 Wavelength Fund

C000130673 Wavelength Fund WAVLX

NPORT-P/A 1 primary_doc.xml NPORT-P/A false 0001752724-24-084795 0001545440 XXXXXXXX S000042074 C000130673 Ultimus Managers Trust 811-22680 0001545440 549300FU214TAR7BFY91 225 Pictoria Drive Suite 450 Cincinnati 45246 513-587-3400 WAVELENGTH FUND S000042074 549300P8Q6IFOHV2AT44 2024-05-31 2024-02-29 N 70712723.18 347748.52 70364974.66 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 2505968.44 N S&P Target Risk Moderate Index TR (USD) SPTGTSPTGMUT ICE FUTURES U.S. 5493004R83R1LVX2IL36 MSCI Emerging Markets Future 3/15/2024 N/A 38.00000000 NS USD 18006.34000000 0.025589918971 Long DE CORP US N 1 INTERACTIVE BROKERS N/A Long ICE FUTURES U.S. MSCI Emerging Markets Future 3/15/2024 2024-03-18 1931920.00000000 USD 18006.34000000 N N N Vanguard Index Funds N/A VANGUARD REAL ESTATE ETF 922908553 4087.00000000 NS USD 349642.85000000 0.496898992274 Long EC RF US N 1 N N COMMODITIES EXCHANGE CENTER N/A E-Mini Gold Future 4/29/2024 N/A 17.00000000 NS USD 1615.21000000 0.002295474428 Long DCO CORP US N 1 INTERACTIVE BROKERS N/A Long COMMODITIES EXCHANGE CENTER E-Mini Gold Future 4/29/2024 2024-04-30 1746495.00000000 USD 1615.21000000 N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 E-Mini Dow CBOT DJIA Future 3/15/2024 N/A 4.00000000 NS USD 18561.20000000 0.026378464697 Long DE CORP US N 1 INTERACTIVE BROKERS N/A Long CHICAGO BOARD OF TRADE E-Mini Dow CBOT DJIA Future 3/15/2024 2024-03-18 780860.00000000 USD 18561.20000000 N N N Spdr Series Trust 5493004JVD6CQEEJSS37 SPDR BLOOMBERG BARCLAYS SHORT TERM HIGH YIELD BOND ETF 78468R408 305947.00000000 NS USD 7703745.46000000 10.94826722701 Long EC RF US N 1 N N N Invesco 549300UJV6OHYATSFU27 Invesco Treasury Portfolio Institutional Class 825252406 800588.80000000 PA USD 800588.80000000 1.137766060271 Long STIV RF US N 1 N N N Invesco Exchange Traded Fund Trust II O540V2L4S174Y60FMD36 Invesco Senior Loan ETF 46138G508 485303.00000000 NS USD 10249599.36000000 14.56633702992 Long EC RF US N 1 N N N iShare Trust 5493000860OXIC4B5K91 iShares JPMorgan USD Emerging Markets Bond ETF 464288281 25900.00000000 NS USD 2286970.00000000 3.250153945269 Long EC RF US N 1 N N N Invesco Actively Managed Exchange-Traded Commodity Fund Trust 549300J84F1VGX03MG06 Invesco Optimum Yield 46090F100 49899.00000000 NS USD 661660.74000000 0.940326836181 Long EC RF US N 1 N N Deutsche Dws Money Market Tr 549300LJHPNV587EFB75 DWS Government Money Market Series Institutional Class 25160K207 809169.52000000 PA USD 809169.52000000 1.149960650039 Long STIV RF US N 1 N N N iShare Trust 5493000860OXIC4B5K91 iShares TIPS Bond ETF 464287176 45711.00000000 NS USD 4878277.92000000 6.932821255989 Long EC RF US N 1 N N N Vanguard Whitehall Funds 5493006QD7VQBS2FQD13 Vanguard Emerging Markets Government Bond Fund ETF 921946885 50626.00000000 NS USD 3186400.44000000 4.528389948829 Long EC RF US N 1 N N N Global X Funds 5493003RA4QUTSYF1N15 Global X MLP ETF 37954Y343 36087.00000000 NS USD 1678406.37000000 2.385286682912 Long EC RF US N 1 N N N Spdr Series Trust 5493004JVD6CQEEJSS37 Spdr Bloomberg Barclays Convertible Securities Etf 78464A359 19793.00000000 NS USD 1418762.24000000 2.016290415587 Long EC RF US N 1 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 U.S. Treasury Long Bond Future 6/18/2024 N/A 30.00000000 NS USD 4854.05000000 0.006898389466 Long DE CORP US N 1 INTERACTIVE BROKERS N/A Long CHICAGO BOARD OF TRADE U.S. Treasury Long Bond Future 3/19/2024 2024-06-19 3577500.00000000 USD 4854.05000000 N N N CHICAGO MERCANTILE EXCHANGE (FLOOR) N/A E-MINI S&P 500 FUTURE 3/22/2024 N/A 7.00000000 NS USD 24321.75000000 0.034565137154 Long DE CORP US N 1 INTERACTIVE BROKERS N/A Long CHICAGO MERCANTILE EXCHANGE (FLOOR) E-MINI S&P 500 FUTURE 3/22/2024 2024-03-22 1786312.50000000 USD 24321.75000000 N N N First American Funds N/A FIRST AM GOVT OB FD CL X 31846V336 9791602.50 PA USD 9791602.50 13.91544947939 Long STIV RF US N 1 N N Vanguard Malvern Funds 549300EW16IGZDA38J20 Vanguard Short-Term Inflation-Protected Securities ETF 922020805 146076.00000000 NS USD 6956139.12000000 9.885797804393 Long EC RF US N 1 N N N iShare Trust 5493000860OXIC4B5K91 IShares Broad USD High Yield Corporate Bond ETF 46435U853 168515.00000000 NS USD 6127205.40000000 8.707749032251 Long EC RF US N 1 N N N Vanguard Scottsdale Funds 549300Y88GQ3VLJIBX57 Vanguard Mortgage-Backed Securities ETF 92206C771 176455.00000000 NS USD 8000469.70000000 11.36996032281 Long EC RF US N 1 N N N VanEck ETF Trust 549300ZLFKNTXC51ZN76 Vaneck Vectors Emerging Market High Yield Bond ETF 92189F353 225282.00000000 NS USD 4255576.98000000 6.047862591527 Long EC RF US N 1 N N Fidelity Institutional Cash Portfolios 549300SHPEJB1OPRCV46 Fidelity Institutional Money Market Government Portfolio 316175108 809166.16000000 PA USD 809166.16000000 1.149955874936 Long STIV RF US N 1 N N N iShare Trust 5493000860OXIC4B5K91 ISHARES NATIONAL MUNI BOND ETF 464288414 35282.00000000 NS USD 3809397.54000000 5.413769504511 Long EC RF US N 1 N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 U.S. 2 Year Note (CBT) 6/28/2024 N/A 35.00000000 NS USD -873.52000000 -0.00124141308 Long DE CORP US N 1 INTERACTIVE BROKERS N/A Long CHICAGO BOARD OF TRADE U.S. 2 Year Note (CBT) 3/28/2024 2024-06-29 7166250.00000000 USD -873.52000000 N N N CHICAGO MERCANTILE EXCHANGE (FLOOR) N/A E-MINI NASDAQ 100 FUTURE 3/15/2024 N/A 6.00000000 NS USD 9466.80000000 0.013453852638 Long DE CORP US N 1 INTERACTIVE BROKERS N/A Long CHICAGO MERCANTILE EXCHANGE (FLOOR) E-MINI NASDAQ 100 FUTURE 3/15/2024 2024-03-18 2169930.00000000 USD 9466.80000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 5-Year U.S. Treasury Note Future 6/28/2024 N/A 65.00000000 NS USD -1051.95000000 -0.00149499094 Long DE CORP US N 1 INTERACTIVE BROKERS N/A Long CHICAGO BOARD OF TRADE 5-Year U.S. Treasury Note Future 3/28/2024 2024-06-29 6948906.25000000 USD -1051.95000000 N N N iShare Trust 5493000860OXIC4B5K91 ISHARES S&P US PREFERRED STOCK INDEX FUND 464288687 25968.00000000 NS USD 835650.24000000 1.187594032454 Long EC RF US N 1 N N VanEck ETF Trust 549300ZLFKNTXC51ZN76 VANECK VECTORS J.P. MORGAN EM LOCAL CURRENCY BOND ETF 92189H300 83541.00000000 NS USD 2070981.39000000 2.943199226613 Long EC RF US N 1 N N N Goldman Sachs Trust S2FHCT8U6D2VORP0J605 Goldman Sachs Treasury Obligations Fund Institutional Class 38141W323 817746.92000000 PA USD 817746.92000000 1.162150521550 Long STIV RF US N 1 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 10-Year U.S. Treasury Note Future 6/18/2024 N/A 39.00000000 NS USD -315.13000000 -0.00044785065 Long DE CORP US N 1 INTERACTIVE BROKERS N/A Long CHICAGO BOARD OF TRADE 10-Year U.S. Treasury Note Future 3/19/2024 2024-06-19 4307062.50000000 USD -315.13000000 N N N 2024-03-18 Wavelength Fund Daniel D. Bauer Daniel D. Bauer Treasurer XXXX NPORT-EX 2 wavelengthnport.htm WAVELENGTH SOI 02-29-24

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.