NPORT-EX 2 wealthfrontnport.htm WEALTHFRONT EX
Wealthfront Risk Parity Fund
PORTFOLIO OF INVESTMENTS (Unaudited)
July 31, 2023
                             
    Principal Amount   SHORT-TERM INVESTMENTS - 97.8 %           Fair Value        
        U.S. TREASURY SECURITIES - 88.7 %   Yield Rate (%)   Maturity            
     $        167,500,000   U.S. Treasury Bill                3.55   8/3/2023    $      167,451,100        
               105,500,000   U.S. Treasury Bill                4.80   8/10/2023            105,361,399        
                 75,000,000   U.S. Treasury Bill*                5.02   8/17/2023              74,825,161        
                 15,000,000   U.S. Treasury Bill*                5.12   8/24/2023              14,949,632        
               132,000,000   U.S. Treasury Bill*                5.18   8/31/2023            131,422,225        
                 70,000,000   U.S. Treasury Bill*                5.22   9/7/2023              69,621,572        
                   1,000,000   U.S. Treasury Bill                5.26   9/21/2023                   992,558        
               137,500,000   U.S. Treasury Bill*                5.30   9/28/2023            136,331,220        
                 76,000,000   U.S. Treasury Bill*                5.30   10/5/2023              75,278,177        
               135,000,000   U.S. Treasury Bill                5.33   10/12/2023            133,576,874        
               175,000,000   U.S. Treasury Bill*                5.33   10/19/2023            172,980,495        
                 45,000,000   U.S. Treasury Bill                5.34   10/26/2023              44,434,622        
        TOTAL U.S. TREASURY SECURITIES (Cost - $1,127,340,241)               1,127,225,035        
                             
    Shares                        
        MONEY MARKET FUND - 9.1 %                    
               115,816,980   First American Treasury Obligations Fund - Institutional Shares, 5.16% + (Cost - $115,816,980)            115,816,980        
                             
        TOTAL INVESTMENTS - 97.8 % (Cost - $1,243,157,221)          $   1,243,042,015        
        OTHER ASSETS IN EXCESS OF LIABILITIES - NET - 2.2 %                    28,465,518        
        NET ASSETS - 100.0 %            $   1,271,507,533        
                             
    + Money market fund; interest rate reflects seven-day effective yield on July 31, 2023.                    
    * All or a portion of this security is segregated as collateral for swap contracts.                    
                             
    TOTAL RETURN SWAPS                       
     Notional Amount at July 31, 2023   Number of Shares   Description#  Index Average Financing Spread   Termination Date Counterparty Upfront payments/
receipts		   Unrealized Appreciation/ (Depreciation)^    
     $            7,457,885          77,254 iShares Core U.S. Aggregate Bond ETF OBFR 29 bps   12/15/2023 JPM  $                        -    $             (36,463)    
                   9,951,927          99,260 iShares Core U.S. Aggregate Bond ETF OBFR 29 bps   2/29/2024 JPM                            -                 (368,434)    
                 18,624,101        189,723 iShares Core U.S. Aggregate Bond ETF OBFR 29 bps   3/18/2024 JPM                            -                 (302,299)    
                 12,639,293        125,779 iShares Core U.S. Aggregate Bond ETF OBFR 29 bps   5/13/2024 JPM                            -                 (467,497)    
                 30,113,314        303,197 iShares Core U.S. Aggregate Bond ETF OBFR 29 bps   5/24/2024 JPM                            -                 (710,379)    
                 15,525,308        155,318 iShares Core U.S. Aggregate Bond ETF OBFR 29 bps   6/17/2024 JPM                            -                 (453,126)    
                 22,707,811        231,842 iShares Core U.S. Aggregate Bond ETF OBFR 29 bps   6/26/2024 JPM                            -                 (170,261)    
               253,833,104     2,598,619 iShares Core U.S. Aggregate Bond ETF OBFR 29 bps   7/9/2024 JPM                            -              (1,351,138)    
                 60,735,207        619,692 iShares Core U.S. Aggregate Bond ETF OBFR 29 bps   7/15/2024 JPM                            -                 (453,687)    
                   8,941,216          92,605 iShares Core U.S. Aggregate Bond ETF OBFR 32 bps   8/12/2024 JPM                            -                    76,327    
                 20,381,009        208,257 iShares Core U.S. Aggregate Bond ETF OBFR 32 bps   8/26/2024 JPM                            -                   (38,465)    
                 14,218,104        165,542 iShares JPMorgan USD Emerging Markets Bond ETF OBFR 39 bps   3/18/2024 JPM                            -                  254,751    
                 19,695,179        232,465 iShares JPMorgan USD Emerging Markets Bond ETF OBFR 39 bps    4/17/2024 JPM                            -                  616,879    
                 20,952,496        243,201 iShares JPMorgan USD Emerging Markets Bond ETF OBFR 39 bps   5/13/2024 JPM                            -                  223,642    
                 47,805,276        562,917 iShares JPMorgan USD Emerging Markets Bond ETF OBFR 39 bps   5/24/2024 JPM                            -               1,433,617    
                   7,456,500          87,569 iShares JPMorgan USD Emerging Markets Bond ETF OBFR 39 bps   6/10/2024 JPM                            -                  188,550    
               108,986,670     1,293,833 iShares JPMorgan USD Emerging Markets Bond ETF OBFR 39 bps   6/26/2024 JPM                            -               4,256,584    
                 62,954,286        742,473 iShares JPMorgan USD Emerging Markets Bond ETF OBFR 39 bps   7/9/2024 JPM                            -               1,898,754    
                   3,863,812          44,318 iShares JPMorgan USD Emerging Markets Bond ETF OBFR 30 bps   8/26/2024 JPM                            -                    21,991    
                 83,061,176        713,952 iShares TIPS Bond ETF OBFR 34 bps   9/8/2023 JPM                            -              (7,515,199)    
                   6,802,774          63,515 iShares TIPS Bond ETF OBFR 34 bps   12/15/2023 JPM                            -                 (108,554)    
                 28,965,551        264,593 iShares TIPS Bond ETF OBFR 34 bps   2/29/2024 JPM                            -                 (949,632)    
                 27,773,295        258,469 iShares TIPS Bond ETF OBFR 34 bps   3/18/2024 JPM                            -                 (318,012)    
                 20,854,963        187,603 iShares TIPS Bond ETF OBFR 34 bps   5/13/2024 JPM                            -                 (831,161)    
                 29,623,628        269,884 iShares TIPS Bond ETF OBFR 34 bps   5/24/2024 JPM                            -                 (753,978)    
                 49,310,372        448,887 iShares TIPS Bond ETF OBFR 34 bps   6/17/2024 JPM                            -              (1,402,263)    
                 67,553,927        620,216 iShares TIPS Bond ETF OBFR 34 bps   6/20/2024 JPM                            -              (1,285,896)    
                 19,789,620        182,292 iShares TIPS Bond ETF OBFR 34 bps   6/24/2024 JPM                            -                 (311,641)    
                   7,342,462          67,899 iShares TIPS Bond ETF OBFR 34 bps   6/26/2024 JPM                            -                   (79,587)    
                 27,039,523        251,486 iShares TIPS Bond ETF OBFR 34 bps   7/15/2024 JPM                            -                 (143,044)    
                 58,561,657        549,978 iShares TIPS Bond ETF OBFR 34 bps   8/7/2024 JPM                            -                  189,174    
                 30,118,141        284,146 iShares TIPS Bond ETF OBFR 16 bps   8/12/2024 JPM                            -                  239,059    
                 35,123,879        326,210 iShares TIPS Bond ETF OBFR 16 bps   8/26/2024 JPM                            -                 (167,215)    
                   2,544,341            6,142 SPDR S&P 500 ETF Trust OBFR 44 bps   9/8/2023 JPM                            -                  198,042    
                 11,837,101          29,860 SPDR S&P 500 ETF Trust OBFR 44 bps   10/6/2023 JPM                            -               1,534,606    
                 10,493,624          28,919 SPDR S&P 500 ETF Trust OBFR 44 bps   11/3/2023 JPM                            -               2,434,964    
                   9,088,788          22,933 SPDR S&P 500 ETF Trust OBFR 44 bps   1/12/2024 JPM                            -               1,228,686    
                 22,787,765          56,366 SPDR S&P 500 ETF Trust OBFR 44 bps   2/29/2024 JPM                            -               2,595,532    
                   2,413,986            5,830 SPDR S&P 500 ETF Trust OBFR 44 bps   3/18/2024 JPM                            -                  217,767    
                 14,693,956          37,863 SPDR S&P 500 ETF Trust OBFR 44 bps   4/17/2024 JPM                            -               2,458,219    
                      409,681            1,001 SPDR S&P 500 ETF Trust OBFR 44 bps   5/13/2024 JPM                            -                    43,482    
                   7,236,532          17,566 SPDR S&P 500 ETF Trust OBFR 44 bps   5/24/2024 JPM                            -                  729,113    
                 15,504,969          37,631 SPDR S&P 500 ETF Trust OBFR 44 bps   6/17/2024 JPM                            -               1,606,114    
                   6,811,890          16,567 SPDR S&P 500 ETF Trust OBFR 44 bps   6/26/2024 JPM                            -                  735,339    
                 14,805,551          34,710 SPDR S&P 500 ETF Trust OBFR 44 bps   7/9/2024 JPM                            -               1,022,738    
 
 

 

 

 

Wealthfront Risk Parity Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
July 31, 2023
                             
    TOTAL RETURN SWAPS (Continued)                    
     Notional Amount at July 31, 2023   Number of Shares   Description#  Index Average Financing Spread   Termination Date Counterparty Upfront payments/
receipts		   Unrealized Appreciation/ (Depreciation)^    
     $          13,404,499          30,894 SPDR S&P 500 ETF Trust OBFR 44 bps   7/15/2024 JPM  $                        -    $            693,005    
                 46,009,484        103,674 SPDR S&P 500 ETF Trust OBFR 44 bps   8/6/2024 JPM                            -               1,275,386    
                 11,279,568          25,715 SPDR S&P 500 ETF Trust OBFR 19 bps   8/12/2024 JPM                            -                  457,892    
                        83,625               189 SPDR S&P 500 ETF Trust OBFR 44 bps   8/13/2024 JPM                            -                      2,718    
                 34,780,731          76,605 SPDR S&P 500 ETF Trust OBFR 19 bps   8/26/2024 JPM                            -                  288,272    
                   6,806,452        159,056 Vanguard FTSE Developed Markets Index ETF OBFR 49 bps   9/8/2023 JPM                            -                  661,453    
                   2,113,859          57,839 Vanguard FTSE Developed Markets Index ETF OBFR 49 bps   11/3/2023 JPM                            -                  619,419    
                   5,448,424        126,704 Vanguard FTSE Developed Markets Index ETF OBFR 49 bps   1/12/2024 JPM                            -                  538,581    
                 59,049,782     1,290,810 Vanguard FTSE Developed Markets Index ETF OBFR 49 bps   2/29/2024 JPM                            -               1,647,513    
                 41,001,488        905,240 Vanguard FTSE Developed Markets Index ETF OBFR 49 bps   3/18/2024 JPM                            -               1,668,660    
                   1,644,528          36,964 Vanguard FTSE Developed Markets Index ETF OBFR 49 bps   4/1/2024 JPM                            -                  102,539    
                   3,048,579          67,656 Vanguard FTSE Developed Markets Index ETF OBFR 49 bps   4/8/2024 JPM                            -                  151,167    
                   5,685,012        126,446 Vanguard FTSE Developed Markets Index ETF OBFR 49 bps   5/3/2024 JPM                            -                  291,630    
                   5,766,673        127,666 Vanguard FTSE Developed Markets Index ETF OBFR 49 bps   5/6/2024 JPM                            -                  267,105    
                   5,047,871        111,728 Vanguard FTSE Developed Markets Index ETF OBFR 49 bps   5/10/2024 JPM                            -                  237,679    
                   5,345,445        115,684 Vanguard FTSE Developed Markets Index ETF OBFR 49 bps   5/24/2024 JPM                            -                  135,912    
                   6,852,868        149,528 Vanguard FTSE Developed Markets Index ETF OBFR 49 bps   6/4/2024 JPM                            -                  246,569    
                 29,375,677        636,889 Vanguard FTSE Developed Markets Index ETF OBFR 49 bps   6/17/2024 JPM                            -                  891,572    
                   1,187,874          25,706 Vanguard FTSE Developed Markets Index ETF OBFR 49 bps   6/20/2024 JPM                            -                    38,313    
                   2,611,238          57,836 Vanguard FTSE Developed Markets Index ETF OBFR 49 bps   6/26/2024 JPM                            -                  143,478    
                   3,069,051          66,733 Vanguard FTSE Developed Markets Index ETF OBFR 49 bps   7/8/2024 JPM                            -                  115,339    
                      743,186          15,729 Vanguard FTSE Developed Markets Index ETF OBFR 49 bps   8/26/2024 JPM                            -                      5,986    
                 43,212,295     1,043,304 Vanguard FTSE Emerging Markets Stock Index ETF OBFR 44 bps   9/8/2023 JPM                            -               1,308,802    
                 15,191,248        419,416 Vanguard FTSE Emerging Markets Stock Index ETF OBFR 44 bps   11/24/2023 JPM                            -               2,617,229    
                 16,469,577        406,830 Vanguard FTSE Emerging Markets Stock Index ETF OBFR 44 bps   1/12/2024 JPM                            -                  880,138    
                   4,141,564        104,956 Vanguard FTSE Emerging Markets Stock Index ETF OBFR 44 bps   2/5/2024 JPM                            -                  297,209    
                 18,868,161        458,990 Vanguard FTSE Emerging Markets Stock Index ETF OBFR 44 bps   3/18/2024 JPM                            -                  576,058    
                 24,855,824        646,871 Vanguard FTSE Emerging Markets Stock Index ETF OBFR 44 bps   4/17/2024 JPM                            -               2,681,792    
                 37,759,642        931,541 Vanguard FTSE Emerging Markets Stock Index ETF OBFR 44 bps   5/13/2024 JPM                            -               1,942,853    
                      758,417          19,309 Vanguard FTSE Emerging Markets Stock Index ETF OBFR 44 bps   6/26/2024 JPM                            -                    70,365    
                 18,642,661        469,352 Vanguard FTSE Emerging Markets Stock Index ETF OBFR 44 bps   7/5/2024 JPM                            -               1,520,336    
                   2,447,746          58,421 Vanguard FTSE Emerging Markets Stock Index ETF OBFR 44 bps   8/26/2024 JPM                            -                    68,446    
                   3,447,629          36,960 Vanguard Real Estate Index ETF OBFR 29 bps   8/22/2023 JPM                            -                 (300,054)    
                   4,948,685          51,031 Vanguard Real Estate Index ETF OBFR 29 bps   9/8/2023 JPM                            -                 (599,917)    
                 10,554,459        130,835 Vanguard Real Estate Index ETF OBFR 29 bps   12/4/2023 JPM                            -                  574,699    
                 26,360,882        306,441 Vanguard Real Estate Index ETF OBFR 29 bps   1/12/2024 JPM                            -                 (188,141)    
                 13,865,464        155,448 Vanguard Real Estate Index ETF OBFR 29 bps   2/29/2024 JPM                            -                 (692,717)    
                   6,673,951          73,894 Vanguard Real Estate Index ETF OBFR 29 bps   3/18/2024 JPM                            -                 (397,069)    
                   5,768,303          70,033 Vanguard Real Estate Index ETF OBFR 29 bps   4/17/2024 JPM                            -                  208,436    
                   6,074,327          73,817 Vanguard Real Estate Index ETF OBFR 29 bps   5/13/2024 JPM                            -                  188,662    
                 10,851,606        132,091 Vanguard Real Estate Index ETF OBFR 29 bps   5/24/2024 JPM                            -                  377,299    
                   9,250,392        112,823 Vanguard Real Estate Index ETF OBFR 29 bps   6/17/2024 JPM                            -                  368,453    
                   5,085,523          64,757 Vanguard Real Estate Index ETF OBFR 29 bps   6/26/2024 JPM                            -                  445,410    
                 16,070,430        194,393 Vanguard Real Estate Index ETF OBFR 29 bps   7/15/2024 JPM                            -                  576,795    
                 34,917,541        413,813 Vanguard Real Estate Index ETF OBFR 29 bps   8/6/2024 JPM                            -                  234,185    
                 14,242,720        169,878 Vanguard Real Estate Index ETF OBFR 24 bps   8/12/2024 JPM                            -                  196,824    
                 65,203,827        750,698 Vanguard Real Estate Index ETF OBFR 24 bps   8/26/2024 JPM                            -              (1,199,315)    
                     $                        -    $       28,222,965    
    # Each total return swap accesses a single exchange-traded fund as referenced below and settles to cash upon termination of the swap.            
    ^ Includes accrued dividend and interest income, and swap fees.                    
    ETF - Exchange-Traded Fund                    
    JPM - JP Morgan                        
    OBFR - Overnight Bank Funding Rate