NPORT-EX 2 spectrum_nport.htm SPECTRUM NQ 6.30.23

 

SPECTRUM LOW VOLATILITY FUND
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
 
Shares             Fair Value
    OPEN-END FUNDS — 73.0%      
    FIXED INCOME - 73.0%      
4,108,761     AB High Income Fund, Inc., Class Z       $   27,200,000  
4,551,351     Aristotle Floating Rate Income Fund, Class I       42,646,162  
3,282,811     Axonic Strategic Income Fund, Class I       28,823,082  
976,715     Easterly Income Opportunities Fund, Class R6       9,610,876  
4,014,599     Invesco Rochester Municipal Opportunities Fund, Class R6       27,459,854  
4,340,491     Invesco Senior Floating Rate Fund, Class R6       28,560,429  
1,965,035     Nuveen Preferred Securities Fund, Class I       28,060,699  
910,525     Semper MBS Total Return Fund, Institutional Class       7,311,516  
              199,672,618  
               
    TOTAL OPEN-END FUNDS (Cost $198,878,632)     199,672,618  
               
Principal Amount ($)         Coupon Rate (%) Maturity  
    U.S. GOVERNMENT & AGENCIES — 17.5%      
    U.S. TREASURY BILLS — 17.5%      
15,189,000   United States Treasury Bill(a)   4.9100 08/15/23 15,095,642  
23,382,000   United States Treasury Bill(a)   4.9400 08/17/23 23,231,171  
9,692,000   United States Treasury Bill(a)   5.0000 08/24/23 9,619,541  
            47,946,354  
  TOTAL U.S. GOVERNMENT & AGENCIES (Cost $47,937,239)     47,946,354  
             
Shares              
    SHORT-TERM INVESTMENTS — 15.5%      
    MONEY MARKET FUND - 15.5%      
42,463,348     Fidelity Government Portfolio, Class I, 4.98% (Cost $42,463,348)(b)       42,463,348  
             
 
    TOTAL INVESTMENTS - 106.0% (Cost $289,279,219)     $   290,082,320  
    LIABILITIES IN EXCESS OF OTHER ASSETS - (6.0)%         (16,540,545)
    NET ASSETS - 100.0%         $   273,541,775
           

 

 

 

 

(a) Zero coupon bond; rate disclosed is the effective yield as of June 30, 2023.
(b) Rate disclosed is the seven-day effective yield as of June 30, 2023.
 
 

 

 

 

SPECTRUM LOW VOLATILITY FUND        
SCHEDULE OF INVESTMENTS (Unaudited)  
June 30, 2023        
             
               

                               
CENTRALLY CLEARED CREDIT DEFAULT SWAP AGREEMENTS - SELL PROTECTION: (1)(2)(3)            
Reference Entity     Counterparty   Termination Date   Interest Rate Receivable(4)   Notional Amount at June 30, 2023   Fair Value   Upfront Premiums Paid   Unrealized Appreciation
CDX North American High Yield Series 40   BRC   6/20/2028   500 bps    $    (54,500,000)    $    1,603,580    $   1,180,664    $       422,916
                               
BRC - Barclays Capital                             
(1) For centrally cleared swaps, when a credit event occurs as defined under the terms of the swap contract, the Fund as a seller of credit protection will either (i) pay a net amount equal to the par value of the defaulted reference entity and receive the reference entity or (ii) pay a net amount equal to the par value of the defaulted reference entity less its recovery value.
(2) For centrally cleared swaps, implied credit spread, represented in absolute terms, utilized in determining the market value of the credit default swap contracts as of period will serve as an indicator of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the contract.  Generally, wider credit spreads represent a perceived deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap contract.
(3)  For centrally cleared swaps, the notional amounts represents the maximum potential the Fund may pay as a seller of credit protection if a credit event occurs, as defined under the terms of the swap contract, for each security included in the reference entity.
(4)  Interest rate is based upon predetermined notional amounts, which may be a multiple of the number of shares plus a specified spread.

 

             
TOTAL RETURN SWAPS           
Number of Shares Reference Entity Notional Amount at June 30, 2023 Interest Rate Payable (1) Termination Date Counterparty Unrealized Appreciation (Depreciation)
Long Position:            
           2,844,037   Eaton Vance Floating-Rate Advantage Fund Class R6*  $     28,070,642 USD SOFR plus 165 bp 6/9/2026 BRC  $                -   
           5,645,161   Eaton Vance Income Fund of Boston Class R6*         28,056,452 USD SOFR plus 165 bp 6/8/2026 BRC                    -   
              366,100   iShares iBoxx $ High Yield Corporate Bond ETF         27,483,127 O/N USD SOFR plus 35 bp 7/25/2024 BRC          203,017
           3,637,549   PIMCO High Yield Fund Institutional Class*         27,900,000 USD FED plus 165 bp 6/28/2024 CIBC                    -   
          Total:    $      203,017
  BRC - Barclays Capital           
  CIBC - Canadian Imperial Bank of Commerce          
  FED - Federal Funds Effective Rate          
  O/N - Overnight, Daily Fixings          
  SOFR - Secured Overnight Financing Rate          
(1) Interest rate is based upon predetermined notional amounts, which may be a multiple of the number of shares plus a specified spread.  
  * Swap contract reset at June 30, 2023.          

 

 

 
 

 

 

 

SPECTRUM ACTIVE ADVANTAGE FUND
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
 
Principal Amount ($)         Coupon Rate (%) Maturity Fair Value
    U.S. GOVERNMENT & AGENCIES — 86.6%      
    U.S. TREASURY BILLS — 86.6%      
607,000   United States Treasury Bill(a)   5.1000 09/21/23 $   600,038  
5,975,000   United States Treasury Bill(a)   5.1200 09/28/23 5,900,438  
            6,500,476  
  TOTAL U.S. GOVERNMENT & AGENCIES (Cost $6,500,154)     6,500,476  
             
Shares              
    SHORT-TERM INVESTMENTS — 84.4%      
    MONEY MARKET FUNDS - 84.4%      
3,165,840     Fidelity Government Portfolio, Class I, 4.98%(b)       3,165,840  
3,165,840     First American Government Obligations Fund, Class Z, 4.97%(b)       3,165,840  
    TOTAL MONEY MARKET FUNDS (Cost $6,331,680)   6,331,680  
               
    TOTAL SHORT-TERM INVESTMENTS (Cost $6,331,680)   6,331,680  
         
    TOTAL INVESTMENTS - 171.0% (Cost $12,831,834)     $   12,832,156  
    LIABILITIES IN EXCESS OF OTHER ASSETS - (71.0)%         (5,326,364 )
    NET ASSETS - 100.0%         $   7,505,792  
           
OPEN FUTURES CONTRACTS        
Number of Contracts   Open Long Futures Contracts     Expiration Notional Amount Unrealized Appreciation (Depreciation)
2     CME E-Mini NASDAQ 100 Index Futures   09/15/2023 $   613,480   $   5,987  
24     CME E-Mini-Russell 2000 Index Futures   09/15/2023 2,284,440   21,252  
4     CME E-Mini Standard & Poor's 500 Index Futures   09/15/2023 897,650   13,285  
5     CME E-Mini Standard & Poor's Midcap 400 Index Futures   09/15/2023 1,322,050   11,310  
7     ICE US MSCI Emerging Markets EM Index Futures   09/15/2023 349,265       (10,325 )
    TOTAL FUTURES CONTRACTS   $   41,509  
         
   

 

 

 

(a) Zero coupon bond; rate disclosed is the effective yield as of June 30, 2023.
(b) Rate disclosed is the seven-day effective yield as of June 30, 2023.
   

 

 

 

 

 

 

 

 

 

SPECTRUM ACTIVE ADVANTAGE FUND        
SCHEDULE OF INVESTMENTS (Unaudited)  
June 30, 2023  
             
 
               

 

             
TOTAL RETURN SWAPS           
Number of Shares Reference Entity Notional Amount at June 30, 2023 Interest Rate Payable (1) Termination Date Counterparty Unrealized Appreciation (Depreciation)
Long Position:            
                       62   Adobe, Inc.  $             30,317 O/N USD SOFR plus 35 bp 7/25/2024 BRC  $             (60)
                     209   Applied Materials, Inc.                 30,210 O/N USD SOFR plus 35 bp 7/25/2024 BRC               (393)
                       42   ASML Holding NV                 30,440 O/N USD SOFR plus 35 bp 7/25/2024 BRC                 (52)
                     148   Autodesk, Inc.                 30,282 O/N USD SOFR plus 35 bp 7/25/2024 BRC               (354)
                  7,200   First Trust NASDAQ-100 Equal Weighted Index Fund ETF               769,680 O/N USD SOFR plus 35 bp 7/2/2024 BRC            32,263
                       63   IDEXX Laboratories, Inc.                 31,640 O/N USD SOFR plus 35 bp 7/25/2024 BRC              1,101
                       67   Intuit, Inc.                 30,699 O/N USD SOFR plus 35 bp 7/25/2024 BRC               (138)
                10,200   Invesco S&P 500 Eql Wght ETF            1,526,328 O/N USD SOFR plus 35 bp 8/1/2024 BRC            47,355
                28,700   Invesco Senior Loan ETF               603,848 O/N USD SOFR plus 35 bp 7/10/2024 BRC              8,519
                  5,600   iShares National Muni Bond ETF               597,688 O/N USD SOFR plus 35 bp 7/18/2024 BRC            (1,466)
                       64   KLA Corp.                 31,041 O/N USD SOFR plus 35 bp 7/25/2024 BRC                 451
                     505   Marvell Technology, Inc.                 30,189 O/N USD SOFR plus 35 bp 7/25/2024 BRC               (426)
                       73   NVIDIA Corp.                 30,880 O/N USD SOFR plus 35 bp 7/25/2024 BRC                 307
                     334   ON Semiconductor Corp.                 31,590 O/N USD SOFR plus 35 bp 7/25/2024 BRC                 954
                     123   Tesla, Inc.                 32,198 O/N USD SOFR plus 35 bp 7/25/2024 BRC              1,539
                     448   Zoom Video Communications, Inc.                 30,410 O/N USD SOFR plus 35 bp 7/25/2024 BRC               (182)
             
          Total:    $        89,418
  BRC - Barclays Capital           
  CIBC - Canadian Imperial Bank of Commerce          
  CS - Credit Suisse Securities (Europe) Limited          
  LIBOR - London Interbank Offered Rate           
  SOFR - Secured Overnight Financing Rate          
  O/N - Overnight, Daily Fixings          
(1) Interest rate is based upon predetermined notional amounts, which may be a multiple of the number of shares plus a specified spread.

 

 
 

 

 

SPECTRUM UNCONSTRAINED FUND
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2023
 
Shares             Fair Value
    OPEN-END FUNDS — 39.4%      
    FIXED INCOME - 39.4%      
117,427   Braddock Multi-Strategy Income Fund, Institutional Class       $ 736,270
359,764   DWS High Income Fund, Class A         1,521,801
92,317   Semper MBS Total Return Fund, Institutional Class         741,306
             

2,999,377

               
    TOTAL OPEN-END FUNDS (Cost $2,987,852)    

  2,999,377

               
Principal Amount ($)         Coupon Rate (%) Maturity  
    U.S. GOVERNMENT & AGENCIES — 36.6%      
    U.S. TREASURY BILLS — 36.6%      
1,315,000   United States Treasury Bill(a)   4.3200 07/20/23   1,311,892
749,000   United States Treasury Bill(a)   4.7300 08/03/23   745,717
354,000   United States Treasury Bill(a)   4.9400 08/17/23   351,716
374,000   United States Treasury Bill(a)   5.0000 08/24/23   371,204
              2,780,529
  TOTAL U.S. GOVERNMENT & AGENCIES (Cost $2,780,018)    

2,780,529

             
Shares              
    SHORT-TERM INVESTMENTS — 28.0%      
    MONEY MARKET FUNDS - 28.0%      
1,067,076   Fidelity Government Portfolio, Class I, 4.98%(b)         1,067,076
1,067,076   First American Government Obligations Fund, Class Z, 4.97%(b)         1,067,076
    TOTAL MONEY MARKET FUNDS (Cost $2,134,152)  

2,134,152

               
    TOTAL SHORT-TERM INVESTMENTS (Cost $2,134,152)  

2,134,152

         
    TOTAL INVESTMENTS - 104.0% (Cost $7,902,022)     $ 7,914,058
    LIABILITIES IN EXCESS OF OTHER ASSETS - (4.0)%    

(303,268)

    NET ASSETS - 100.0%        

$ 7,610,790

           
   

 

 

 

(a) Zero coupon bond; rate disclosed is the effective yield as of June 30, 2023.
(b) Rate disclosed is the seven-day effective yield as of June 30, 2023.

 

 

 

 

 

 

 

SPECTRUM UNCONSTRAINED FUND        
SCHEDULE OF INVESTMENTS (Unaudited)  
June 30, 2023  
 
           

 

 

                               
CENTRALLY CLEARED CREDIT DEFAULT SWAP AGREEMENTS - SELL PROTECTION: (1)(2)(3)        
Reference Entity     Counterparty   Termination Date   Interest Rate Received (4)   Notional Amount at June 30, 2023   Fair Value   Upfront Premiums Paid   Unrealized Appreciation
CDX North American High Yield Series 40    BRC   6/20/2028   500 bps    $       (1,900,000)    $  54,451    $   52,535    $        1,916
                               
BRC - Barclays Capital                             
(1) For centrally cleared swaps, when a credit event occurs as defined under the terms of the swap contract, the Fund as a seller of credit protection will either (i) pay a net amount equal to the par value of the defaulted reference entity and receive the reference entity or (ii) pay a net amount equal to the par value of the defaulted reference entity less its recovery value.
(2) For centrally cleared swaps, implied credit spread, represented in absolute terms, utilized in determining the market value of the credit default swap contracts as of period will serve as an indicator of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the contract.  Generally, wider credit spreads represent a perceived deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap contract.
(3)  For centrally cleared swaps, the notional amounts represents the maximum potential the Fund may pay as a seller of credit protection if a credit event occurs, as defined under the terms of the swap contract, for each security included in the reference entity.
(4)  Interest rate is based upon predetermined notional amounts, which may be a multiple of the number of shares plus a specified spread.

 

               
TOTAL RETURN SWAPS             
Number of Shares Reference Entity Notional Amount at June 30, 2023 Interest Rate Payable (1) Termination Date Counterparty Unrealized Appreciation   
Long Position:              
          183,500   Invesco Senior Loan ETF  $          3,860,840 O/N USD SOFR plus 35 bp 7/3/2024 BRC  $        26,907  
            25,400   iShares iBoxx $ High Yield Corporate Bond ETF              1,906,778 O/N USD SOFR plus 35 bp 7/25/2024 BRC            14,097  
            36,800   iShares Preferred and Income Securities ETF              1,138,224 O/N USD SOFR plus 35 bp 8/1/2024 BRC              1,288  
            10,900   SPDR Bloomberg Convertible Securities ETF                 762,455 O/N USD SOFR plus 35 bp 7/25/2024 BRC              7,249  
          Total:    $        49,541  
  BRC - Barclays Capital             
  CIBC - Canadian Imperial Bank of Commerce            
  CS - Credit Suisse Securities (Europe) Limited            
  LIBOR - London Interbank Offered Rate             
  SOFR - Secured Overnight Financing Rate            
  O/N - Overnight, Daily Fixings            
(1) Interest rate is based upon predetermined notional amounts, which may be a multiple of the number of shares plus a specified spread.