NPORT-EX 2 spectrumnport.htm NPORT 6.30.24

 

SPECTRUM LOW VOLATILITY FUND
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
 
Shares             Fair Value
    OPEN END FUNDS — 66.9%      
    FIXED INCOME - 66.9%      
2,240,735     American High-Income Trust, Class F-3       $   21,421,429  
1,263,695     Axonic Strategic Income Fund, Class I       11,335,344  
4,580,341     BlackRock High Yield Bond Portfolio, Class K       32,199,794  
1,194,354     BlackRock High Yield Municipal Fund, Class K       10,940,282  
2,320,451     Fidelity Advisor Floating Rate High Income Fund, Class Z       21,487,371  
2,571,354     First Eagle Funds - First Eagle High Income Fund, Class I       21,985,080  
615,763     Holbrook Structured Income Fund, Class I       6,046,797  
3,356,799     JPMorgan High Yield Fund, Class R6       21,416,377  
              146,832,474  
               
    TOTAL OPEN-END FUNDS (Cost $146,316,499)     146,832,474  
               
Principal Amount ($)         Coupon Rate (%) Maturity  
    U.S. GOVERNMENT & AGENCIES — 7.6%      
    U.S. TREASURY BILL — 7.6%      
16,736,000   United States Treasury Bill(a)   5.0400 07/18/24 16,694,469  
             
  TOTAL U.S. GOVERNMENT & AGENCIES (Cost $16,694,319)     16,694,469  
             
Shares              
    SHORT-TERM INVESTMENTS — 8.3%      
    MONEY MARKET FUNDS - 8.3%      
18,132,255     Fidelity Government Portfolio, Class I, 5.20% (Cost $18,132,255)(b)       18,132,255  
             
    TOTAL INVESTMENTS - 82.8% (Cost $181,143,073)     $   181,659,198  
    OTHER ASSETS IN EXCESS OF LIABILITIES- 17.2%     37,652,547  
    NET ASSETS - 100.0%         $   219,311,745  
           

 

 

 

 

 

 

(a) Zero coupon bond; rate disclosed is the effective yield as of June 30, 2024.
(b) Rate disclosed is the seven-day effective yield as of June 30, 2024.
 
 

 

SPECTRUM LOW VOLATILITY FUND        

SCHEDULE OF INVESTMENTS (Unaudited)(Continued)

June 30,2024

        
 
TOTAL RETURN SWAPS             
Number of Shares   Reference Entity Notional Amount at June 30, 2024   Interest Rate Payable (1) Termination Date Counterparty Unrealized Appreciation (Depreciation)
Long Position:                
           2,341,357   American Beacon SiM High Yield Opportunities Fund Class R5*  $     21,353,173   USD SOFR plus 165 bp 5/17/2027 BRC  $                -   
           1,151,833   Aristotle Floating Rate Income Fund Class I*         10,965,445   USD FED plus 165 bp 3/31/2025 CIBC                    -   
           2,571,650   Credit Suisse Floating Rate High Income Fund Institutional Class*         16,304,263   USD SOFR plus 165 bp 11/3/2026 BRC                    -   
              315,790   Credit Suisse Strategic Income Fund Class I*           2,993,684   USD SOFR plus 165 bp 6/14/2027 BRC                    -   
           2,246,835   MainStay MacKay Short Duration High Income Fund Class I*         21,300,000   USD SOFR plus 165 bp 5/3/2027 BRC                    -   
              607,224   Nuveen Floating Rate Income Fund Class R6*         11,081,831   USD FED plus 165 bp 6/30/2025 CIBC                    -   
           1,434,316   Nuveen High Yield Municipal Bond Fund Class R6*         21,873,324   USD SOFR plus 165 bp 5/10/2027 BRC                    -   
              708,140   Nuveen High Yield Municipal Bond Fund Class R6*         10,799,140   USD SOFR plus 165 bp 5/17/2027 BRC                    -   
              700,720   Nuveen Preferred Securities & Income Fund Class R6*         10,749,050   USD SOFR plus 165 bp 5/7/2027 BRC                    -   
           2,075,829   PIMCO Income Fund Institutional Class*         21,754,692   USD SOFR plus 165 bp 6/7/2027 BRC                    -   
           2,402,229   PIMCO Preferred and Capital Securities Fund Institutional Class*         21,860,283   USD FED plus 165 bp 6/30/2025 CIBC                    -   
              Total:    $                -   
    BRC - Barclays Capital             
    CIBC - Canadian Imperial Bank of Commerce            
    FED - Federal Funds Effective Rate            
    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, 2024.            

 

 
 

SPECTRUM ACTIVE ADVANTAGE FUND
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
 
Shares             Fair Value
    EXCHANGE-TRADED FUND — 20.7%      
    EQUITY - 20.7%      
23,000     Invesco S&P 500 Low Volatility ETF       $   1,493,850  
             
    TOTAL EXCHANGE-TRADED FUND (Cost $1,514,051)     1,493,850  
               
Principal Amount ($)         Coupon Rate (%) Maturity  
    U.S. GOVERNMENT & AGENCIES — 49.1%      
    U.S. TREASURY BILLS — 49.1%      
102,000   United States Treasury Bill(a)   4.8300 07/11/24 101,852  
422,000   United States Treasury Bill(a)   5.0400 07/18/24 420,953  
145,000   United States Treasury Bill(a)   5.1600 08/01/24 144,348  
1,318,000   United States Treasury Bill(a)   5.2300 08/22/24 1,308,063  
1,598,000   United States Treasury Bill(a)   5.2800 09/19/24 1,579,505  
            3,554,721  
  TOTAL U.S. GOVERNMENT & AGENCIES (Cost $3,554,876)     3,554,721  
             
Shares              
    SHORT-TERM INVESTMENTS — 25.1%      
    MONEY MARKET FUNDS - 25.1%      
908,407     Fidelity Government Portfolio, Class I, 5.20%(b)       908,407  
908,406     First American Government Obligations Fund, Class Z, 5.19%(b)       908,406  
    TOTAL MONEY MARKET FUNDS (Cost $1,816,813)   1,816,813  
               
    TOTAL SHORT-TERM INVESTMENTS (Cost $1,816,813)   1,816,813  
         
    TOTAL INVESTMENTS - 94.9% (Cost $6,885,740)     $   6,865,384  
    OTHER ASSETS IN EXCESS OF LIABILITIES- 5.1%     369,059  
    NET ASSETS - 100.0%         $   7,234,443  
           
OPEN FUTURES CONTRACTS        
Number of Contracts   Open Long Futures Contracts     Expiration Notional Amount Unrealized (Depreciation)
7     CME E-Mini NASDAQ 100 Index   09/23/2024 $2,789,815 $   (8,388 )
17     CME E-Mini Standard & Poor's 500 Index   09/23/2024 4,693,275     (14,608 )
    TOTAL FUTURES CONTRACTS   $   (22,996 )
         
 
 

 

SPECTRUM ACTIVE ADVANTAGE FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
June 30, 2024
         
OPEN FUTURES CONTRACTS (Continued)        
Number of Contracts   Open Short Futures Contracts     Expiration Notional Amount Unrealized (Depreciation)
5     CME E-Mini Standard & Poor's MidCap 400 Index   09/23/2024 $1,479,050 $   (4,650 )
    TOTAL FUTURES CONTRACTS  
         
               

 

ETF  - Exchange-Traded Fund
   
 

 

 

 

(a) Zero coupon bond, rate disclosed is the effective yield as of June 30, 2024.
(b) Rate disclosed is the seven-day effective yield as of June 30, 2024.
   

 

 
 

 

SPECTRUM UNCONSTRAINED FUND
SCHEDULE OF INVESTMENTS (Unaudited)
June 30, 2024
 
Shares             Fair Value
    OPEN END FUNDS — 61.1%      
    FIXED INCOME - 61.1%      
125,268   Bramshill Multi Strategy Income Fund, Institutional Class       $ 819,257
77,003   Buffalo High Yield Fund, Inc., Institutional Class         815,461
191,716   First Eagle Funds - First Eagle High Income Fund, Class I         1,639,172
165,581   Holbrook Structured Income Fund, Class I         1,626,003
             

4,899,893

               
    TOTAL OPEN-END FUNDS (Cost $4,849,785)    

  4,899,893

               
Principal Amount ($)         Coupon Rate (%) Maturity  
    U.S. GOVERNMENT & AGENCIES — 13.3%      
    U.S. TREASURY BILLS — 13.3%      
122,000   United States Treasury Bill(a)   5.100 07/25/24   121,575
952,000   United States Treasury Bill(a)   5.230 08/22/24   944,823
              1,066,398
  TOTAL U.S. GOVERNMENT & AGENCIES (Cost $1,066,426)    

1,066,398

             
Shares              
    SHORT-TERM INVESTMENTS — 4.8%      
    MONEY MARKET FUNDS - 4.8%      
190,183   Fidelity Government Portfolio, Class I, 5.20%(b)         190,183
190,184   First American Government Obligations Fund, Class Z, 5.19%(b)         190,184
    TOTAL MONEY MARKET FUNDS (Cost $380,367)  

380,367

               
    TOTAL SHORT-TERM INVESTMENTS (Cost $380,367)  

380,367

         
    TOTAL INVESTMENTS - 79.2% (Cost $6,296,578)     $ 6,346,658
    OTHER ASSETS IN EXCESS OF LIABILITIES- 20.8%    

1,666,916

    NET ASSETS - 100.0%        

$ 8,013,574

           
   

 

 

 

(a) Zero coupon bond; rate disclosed is the effective yield as of June 30, 2024.
(b) Rate disclosed is the seven-day effective yield as of June 30, 2024.

 

 
 

 

SPECTRUM UNCONSTRAINED FUND
SCHEDULE OF INVESTMENTS (Unaudited)(Continued)
June 30, 2024

 

TOTAL RETURN SWAPS               
Number of Shares   Reference Entity   Notional Amount at June 30, 2024   Interest Rate Payable (1) Termination Date Counterparty Unrealized (Depreciation) 
Long Position:                  
            26,200   iShares iBoxx $ High Yield Corporate Bond ETF    $2,021,068   USD Overnight Bank Funding Rate plus 55 bp 4/1/2025 Nomura  $       (17,293)
            16,700   SPDR Bloomberg Convertible Securities ETF   1,203,402   USD Overnight Bank Funding Rate plus 55 bp 4/1/2025 Nomua             (1,841)
                   $       (19,134)
                   
    OBFR - Overnight Bank Funding Rate              
(1)   Interest rate is based upon predetermined notional amounts, which may be a multiple of the number of shares plus a specified spread.