NPORT-EX 2 IAGC.HTM FOR VALIDATION PURPOSES ONLY - [839856.IAGC]

Consolidated Portfolio of Investments – as of September 30, 2019 (Unaudited)

ASG Global Alternatives Fund

 

Shares     

Description

    Value (†)  
 

Common Stocks – 20.1% of Net Assets

  
   Aerospace & Defense – 0.3%

 

  37,722     

Arconic, Inc.

    $ 980,772  
  10,294     

United Technologies Corp.

      1,405,337  
     

 

 

  
        2,386,109  
     

 

 

  
   Banks – 0.8%

 

  20,204     

Citigroup, Inc.

      1,395,692  
  107,629     

Investors Bancorp, Inc.

      1,222,666  
  64,631     

LegacyTexas Financial Group, Inc.

      2,813,388  
  21,651     

U.S. Bancorp

      1,198,166  
     

 

 

  
        6,629,912  
     

 

 

  
   Beverages – 0.2%

 

  20,534     

Coca-Cola European Partners PLC

      1,138,610  
  3,668     

PepsiCo, Inc.

      502,883  
     

 

 

  
        1,641,493  
     

 

 

  
   Biotechnology – 0.3%

 

  37,537     

Genomic Health, Inc.(a)

      2,545,759  
     

 

 

  
   Building Products – 0.1%

 

  26,024     

Apogee Enterprises, Inc.

      1,014,676  
     

 

 

  
   Capital Markets – 0.4%

 

  30,758     

Bank of New York Mellon Corp. (The)

      1,390,569  
  22,882     

Brookfield Asset Management, Inc., Class A

      1,214,805  
  54,467     

TPG Specialty Lending, Inc.

      1,142,718  
     

 

 

  
        3,748,092  
     

 

 

  
   Chemicals – 0.3%

 

  5,592     

Ecolab, Inc.

      1,107,439  
  12,119     

PPG Industries, Inc.

      1,436,223  
     

 

 

  
        2,543,662  
     

 

 

  
   Commercial Services & Supplies – 0.1%

 

  12,770     

Republic Services, Inc.

      1,105,244  
     

 

 

  
   Construction & Engineering – 0.2%

 

  37,302     

AECOM(a)

      1,401,063  
     

 

 

  
   Construction Materials – 0.1%

 

  9,948     

Eagle Materials, Inc.

      895,419  
     

 

 

  
   Consumer Finance – 0.1%

 

  132,827     

SLM Corp.

      1,172,198  
     

 

 

  
   Containers & Packaging – 0.3%

 

  9,332     

AptarGroup, Inc.

      1,105,376  
  19,372     

Sonoco Products Co.

      1,127,644  
     

 

 

  
        2,233,020  
     

 

 

  
Shares     

Description

    Value (†)  
 

Common Stocks – continued

  
   Diversified Consumer Services – 0.3%

 

  7,385     

Bright Horizons Family Solutions, Inc.(a)

    $ 1,126,212  
  73,196     

OneSpaWorld Holdings Ltd.(a)

      1,136,734  
     

 

 

  
        2,262,946  
     

 

 

  
   Diversified Financial Services – 0.1%

 

  3     

Berkshire Hathaway, Inc., Class A(a)

      935,496  
     

 

 

  
   Electric Utilities – 1.1%

 

  5,230     

ALLETE, Inc.

      457,154  
  8,522     

Alliant Energy Corp.

      459,591  
  5,223     

American Electric Power Co., Inc.

      489,343  
  4,886     

Duke Energy Corp.

      468,372  
  4,035     

Entergy Corp.

      473,548  
  6,808     

Evergy, Inc.

      453,140  
  5,610     

Eversource Energy

      479,487  
  10,618     

Exelon Corp.

      512,956  
  38,841     

FirstEnergy Corp.

      1,873,301  
  9,917     

Hawaiian Electric Industries, Inc.

      452,314  
  4,092     

IDACORP, Inc.

      461,046  
  2,023     

NextEra Energy, Inc.

      471,339  
  10,264     

OGE Energy Corp.

      465,780  
  4,665     

Pinnacle West Capital Corp.

      452,832  
  7,883     

Portland General Electric Co.

      444,365  
  8,159     

Southern Co. (The)

      503,981  
  7,128     

Xcel Energy, Inc.

      462,536  
     

 

 

  
        9,381,085  
     

 

 

  
   Entertainment – 0.2%

 

  63,965     

Lions Gate Entertainment Corp., Class A(a)

      591,676  
  5,202     

Madison Square Garden Co. (The), Class A(a)

      1,370,831  
     

 

 

  
        1,962,507  
     

 

 

  
   Food & Staples Retailing – 0.5%

 

  35,775     

Sysco Corp.

      2,840,535  
  30,489     

US Foods Holding Corp.(a)

      1,253,098  
     

 

 

  
        4,093,633  
     

 

 

  
   Food Products – 0.6%

 

  23,683     

Campbell Soup Co.

      1,111,206  
  31,616     

Conagra Brands, Inc.

      969,979  
  38,787     

Hain Celestial Group, Inc. (The)(a)

      832,951  
  48,663     

Mondelez International, Inc., Class A

      2,692,037  
     

 

 

  
        5,606,173  
     

 

 

  
   Gas Utilities – 0.3%

 

  3,995     

Atmos Energy Corp.

      454,991  
  4,864     

ONE Gas, Inc.

      467,479  
  49,813     

Suburban Propane Partners LP

      1,177,081  
  9,874     

UGI Corp.

      496,366  
     

 

 

  
        2,595,917  
     

 

 

  
Shares     

Description

    Value (†)  
 

Common Stocks – continued

  
   Health Care Equipment & Supplies – 0.5%

 

  16,391     

Baxter International, Inc.

    $ 1,433,721  
  10,191     

Danaher Corp.

      1,471,886  
  8,883     

Zimmer Biomet Holdings, Inc.

      1,219,369  
     

 

 

  
        4,124,976  
     

 

 

  
   Health Care Providers & Services – 0.1%

 

  14,983     

Magellan Health, Inc.(a)

      930,444  
     

 

 

  
   Health Care Technology – 0.1%

 

  17,274     

Cerner Corp.

      1,177,569  
     

 

 

  
   Hotels, Restaurants & Leisure – 1.1%

 

  1,249     

Chipotle Mexican Grill, Inc.(a)

      1,049,747  
  14,365     

Hilton Worldwide Holdings, Inc.

      1,337,525  
  13,812     

Jack in the Box, Inc.

      1,258,550  
  5,259     

McDonald’s Corp.

      1,129,160  
  36,140     

MGM Resorts International

      1,001,801  
  16,610     

Starbucks Corp.

      1,468,656  
  68,670     

Wendy’s Co. (The)

      1,372,027  
  9,773     

Yum! Brands, Inc.

      1,108,551  
     

 

 

  
        9,726,017  
     

 

 

  
   Household Products – 0.2%

 

  14,460     

Procter & Gamble Co. (The)

      1,798,535  
     

 

 

  
   Independent Power & Renewable Electricity Producers – 0.1%

 

  47,787     

Atlantica Yield PLC

      1,151,189  
     

 

 

  
   Industrial Conglomerates – 0.2%

 

  83,255     

General Electric Co.

      744,300  
  7,098     

Honeywell International, Inc.

      1,200,981  
     

 

 

  
        1,945,281  
     

 

 

  
   Insurance – 1.7%

 

  21,683     

Aflac, Inc.

      1,134,455  
  10,889     

Allstate Corp. (The)

      1,183,416  
  11,103     

American Financial Group, Inc.

      1,197,459  
  12,712     

Arthur J. Gallagher & Co.

      1,138,614  
  31,150     

Brown & Brown, Inc.

      1,123,269  
  7,267     

Chubb Ltd.

      1,173,184  
  14,109     

Globe Life, Inc.

      1,351,078  
  8,939     

Hanover Insurance Group, Inc. (The)

      1,211,592  
  22,781     

Loews Corp.

      1,172,766  
  998     

Markel Corp.(a)

      1,179,536  
  11,505     

Marsh & McLennan Cos., Inc.

      1,151,075  
  7,810     

Travelers Cos., Inc. (The)

      1,161,269  
  1,056     

White Mountains Insurance Group Ltd.

      1,140,480  
     

 

 

  
        15,318,193  
     

 

 

  
   Interactive Media & Services – 0.2%

 

  48,724     

Cars.com, Inc.(a)

      437,541  
Shares     

Description

    Value (†)  
 

Common Stocks – continued

  
   Interactive Media & Services – continued

 

  4,445     

IAC/InterActiveCorp(a)

    $ 968,877  
     

 

 

  
        1,406,418  
     

 

 

  
   Internet & Direct Marketing Retail – 0.1%

 

  32,526     

eBay, Inc.

      1,267,864  
     

 

 

  
   IT Services – 1.0%

 

  6,485     

Alliance Data Systems Corp.

      830,923  
  17,630     

Amdocs Ltd.

      1,165,519  
  9,449     

Automatic Data Processing, Inc.

      1,525,258  
  8,153     

Fidelity National Information Services, Inc.

      1,082,392  
  27,359     

Genpact Ltd.

      1,060,161  
  8,142     

Jack Henry & Associates, Inc.

      1,188,488  
  14,878     

MAXIMUS, Inc.

      1,149,474  
  10,415     

PayPal Holdings, Inc.(a)

      1,078,890  
     

 

 

  
        9,081,105  
     

 

 

  
   Leisure Products – 0.1%

 

  51,138     

Callaway Golf Co.

      992,589  
     

 

 

  
   Machinery – 0.5%

 

  137,235     

Milacron Holdings Corp.(a)

      2,287,707  
  34,548     

Terex Corp.

      897,212  
  50,700     

Trinity Industries, Inc.

      997,776  
     

 

 

  
        4,182,695  
     

 

 

  
   Media – 0.1%

 

  11,955     

Loral Space & Communications, Inc.(a)

      494,937  
     

 

 

  
   Multi-Utilities – 0.6%

 

  5,755     

Ameren Corp.

      460,688  
  25,965     

Brookfield Infrastructure Partners LP

      1,288,124  
  16,706     

CenterPoint Energy, Inc.

      504,187  
  7,195     

CMS Energy Corp.

      460,120  
  5,026     

Consolidated Edison, Inc.

      474,806  
  5,695     

Dominion Energy, Inc.

      461,523  
  3,387     

DTE Energy Co.

      450,335  
  6,551     

NorthWestern Corp.

      491,653  
  7,566     

Public Service Enterprise Group, Inc.

      469,697  
  4,849     

WEC Energy Group, Inc.

      461,140  
     

 

 

  
        5,522,273  
     

 

 

  
   Oil, Gas & Consumable Fuels – 1.0%

 

  206,648     

Carrizo Oil & Gas, Inc.(a)

      1,774,073  
  19,973     

Cheniere Energy, Inc.(a)

      1,259,497  
  21,014     

CVR Energy, Inc.

      925,246  
  33,110     

Devon Energy Corp.

      796,627  
  9,705     

Diamondback Energy, Inc.

      872,577  
  14,619     

Hess Corp.

      884,157  
  27,287     

Occidental Petroleum Corp.

      1,213,453  
Shares     

Description

    Value (†)  
 

Common Stocks – continued

  
   Oil, Gas & Consumable Fuels – continued

 

  53,813     

Peabody Energy Corp.

    $ 792,127  
     

 

 

  
        8,517,757  
     

 

 

  
   Pharmaceuticals – 0.5%

 

  17,135     

Allergan PLC

      2,883,649  
  8,707     

Johnson & Johnson

      1,126,512  
     

 

 

  
        4,010,161  
     

 

 

  
   Professional Services – 0.1%

 

  7,342     

Verisk Analytics, Inc.

      1,161,064  
     

 

 

  
   Real Estate Management & Development – 0.1%

 

  25,516     

CBRE Group, Inc., Class A(a)

      1,352,603  
     

 

 

  
   REITs - Apartments – 0.4%

 

  17,559     

American Homes 4 Rent, Class A

      454,603  
  8,688     

Apartment Investment & Management Co., Class A

      452,992  
  2,294     

AvalonBay Communities, Inc.

      493,967  
  4,136     

Camden Property Trust

      459,137  
  5,352     

Equity Residential

      461,664  
  17,750     

Invitation Homes, Inc.

      525,578  
  3,506     

Mid-America Apartment Communities, Inc.

      455,815  
  9,278     

UDR, Inc.

      449,797  
     

 

 

  
        3,753,553  
     

 

 

  
   REITs - Diversified – 0.2%

 

  11,863     

Gaming and Leisure Properties, Inc.

      453,641  
  75,091     

New Residential Investment Corp.

      1,177,427  
  5,451     

W.P. Carey, Inc.

      487,865  
     

 

 

  
        2,118,933  
     

 

 

  
   REITs - Health Care – 0.1%

 

  5,821     

National Health Investors, Inc.

      479,592  
     

 

 

  
   REITs - Hotels – 0.1%

 

  73,929     

Apple Hospitality REIT, Inc.

      1,225,743  
     

 

 

  
   REITs - Manufactured Homes – 0.1%

 

  3,248     

Equity LifeStyle Properties, Inc.

      433,933  
  3,019     

Sun Communities, Inc.

      448,170  
     

 

 

  
        882,103  
     

 

 

  
   REITs - Mortgage – 1.3%

 

  29,372     

AG Mortgage Investment Trust, Inc.

      444,986  
  31,832     

AGNC Investment Corp.

      512,177  
  57,689     

Annaly Capital Management, Inc.

      507,663  
  25,922     

ARMOUR Residential REIT, Inc.

      434,194  
  13,261     

Blackstone Mortgage Trust, Inc., Class A

      475,407  
  23,869     

Chimera Investment Corp.

      466,878  
  64,929     

Ellington Financial, Inc.

      1,173,267  
  61,383     

Granite Point Mortgage Trust, Inc.

      1,150,317  
  28,724     

Invesco Mortgage Capital, Inc.

      439,764  
Shares     

Description

    Value (†)  
 

Common Stocks – continued

  
   REITs - Mortgage – continued

 

  58,153     

KKR Real Estate Finance Trust, Inc.

    $ 1,135,728  
  60,688     

MFA Financial, Inc.

      446,664  
  54,195     

Ready Capital Corp.

      862,784  
  66,704     

Redwood Trust, Inc.

      1,094,613  
  19,863     

Starwood Property Trust, Inc.

      481,082  
  58,205     

TPG RE Finance Trust, Inc.

      1,154,787  
  35,433     

Two Harbors Investment Corp.

      465,235  
     

 

 

  
        11,245,546  
     

 

 

  
   REITs - Office Property – 0.3%

 

  10,468     

Douglas Emmett, Inc.

      448,344  
  22,619     

Easterly Government Properties, Inc.

      481,785  
  13,719     

Equity Commonwealth

      469,876  
  10,591     

Highwoods Properties, Inc.

      475,959  
  23,060     

Piedmont Office Realty Trust, Inc., Class A

      481,493  
     

 

 

  
        2,357,457  
     

 

 

  
   REITs - Shopping Centers – 0.1%

 

  3,460     

Alexander’s, Inc.

      1,205,499  
     

 

 

  
   REITs - Single Tenant – 0.1%

 

  13,624     

STORE Capital Corp.

      509,674  
     

 

 

  
   REITs - Storage – 0.1%

 

  4,603     

Life Storage, Inc.

      485,202  
  1,741     

Public Storage

      427,015  
     

 

 

  
        912,217  
     

 

 

  
   REITs - Warehouse/Industrials – 0.1%

 

  8,390     

Liberty Property Trust

      430,659  
  9,033     

Terreno Realty Corp.

      461,496  
     

 

 

  
        892,155  
     

 

 

  
   Semiconductors & Semiconductor Equipment – 0.3%

 

  46,779     

ON Semiconductor Corp.(a)

      898,624  
  58,524     

Rudolph Technologies, Inc.(a)

      1,542,693  
     

 

 

  
        2,441,317  
     

 

 

  
   Software – 0.7%

 

  29,473     

Citrix Systems, Inc.

      2,844,734  
  39,095     

Open Text Corp.

      1,595,467  
  6,241     

salesforce.com, inc.(a)

      926,414  
  37,003     

Symantec Corp.

      874,381  
     

 

 

  
        6,240,996  
     

 

 

  
   Specialty Retail – 0.4%

 

  8,235     

Advance Auto Parts, Inc.

      1,362,069  
  11,621     

Lowe’s Cos., Inc.

      1,277,845  
  39,090     

Rent-A-Center, Inc.

      1,008,131  
     

 

 

  
        3,648,045  
     

 

 

  
Shares     

Description

    Value (†)  
 

Common Stocks – continued

  
   Thrifts & Mortgage Finance – 0.6%

 

  83,570     

Capitol Federal Financial, Inc.

    $ 1,151,595  
  66,955     

Columbia Financial, Inc.(a)

      1,057,219  
  53,780     

Oritani Financial Corp.

      951,637  
  55,902     

TFS Financial Corp.

      1,007,354  
  74,030     

United Financial Bancorp, Inc.

      1,009,029  
     

 

 

  
        5,176,834  
     

 

 

  
   Trading Companies & Distributors – 0.3%

 

  40,799     

HD Supply Holdings, Inc.(a)

      1,598,301  
  26,028     

WESCO International, Inc.(a)

      1,243,357  
     

 

 

  
        2,841,658  
     

 

 

  
   Water Utilities – 0.1%

 

  3,573     

American Water Works Co., Inc.

      443,874  
     

 

 

  
   Wireless Telecommunication Services – 0.2%

 

  18,491     

T-Mobile US, Inc.(a)

      1,456,536  
     

 

 

  
  

Total Common Stocks
(Identified Cost $167,439,357)

      176,147,806  
     

 

 

  
 

Exchange-Traded Funds – 3.7%

  
  371,962     

iShares® iBoxx $ High Yield Corporate Bond ETF
(Identified Cost $32,284,590)

      32,423,928  
     

 

 

  
 

Closed-End Investment Companies – 1.1%

  
  70,217     

Apollo Investment Corp.

      1,129,792  
  61,581     

Ares Capital Corp.

      1,147,562  
  37,162     

Barings BDC, Inc.

      377,194  
  75,111     

BlackRock TCP Capital Corp.

      1,018,130  
  53,249     

Golub Capital BDC, Inc.

      1,003,211  
  87,065     

Hercules Capital, Inc.

      1,164,059  
  26,859     

Main Street Capital Corp.

      1,160,577  
  84,748     

New Mountain Finance Corp.

      1,155,115  
  25,014     

Solar Capital Ltd.

      516,539  
  86,537     

TCG BDC, Inc.

      1,246,133  
     

 

 

  
  

Total Closed-End Investment Companies
(Identified Cost $9,547,775)

      9,918,312  
     

 

 

  
Principal
Amount		              
 

Short-Term Investments – 72.2%

  
   Certificates of Deposit – 54.5%

 

$ 25,000,000     

National Bank of Kuwait (NY),
2.180%, 10/03/2019

      25,000,091  
  15,000,000     

Bank of Montreal (IL),
3-month LIBOR + 0.110%, 2.399%, 10/04/2019(b)

      15,000,082  
  20,000,000     

Commonwealth Bank of Australia (NY),
1-month LIBOR + 0.320%, 2.402%, 10/04/2019(b)

      20,000,498  
  15,000,000     

State Street Bank & Trust,
1-month LIBOR + 0.100%, 2.142%, 10/07/2019(b)

      14,999,910  
  25,000,000     

Commonwealth Bank of Australia (NY),
1-month LIBOR + 0.110%, 2.152%, 10/08/2019(b)

      24,999,891  
Principal
Amount		     

Description

    Value (†)  
   Certificates of Deposit – continued   
$ 40,000,000     

National Bank of Canada (NY),
1-month LIBOR + 0.100%, 2.149%, 10/10/2019(b)

    $ 39,999,782  
  25,000,000     

Svenska Handelsbanken (NY),
2.275%, 10/16/2019

      25,001,667  
  30,000,000     

Credit Industriel et Commercial (NY),
2.160%, 11/04/2019

      30,001,001  
  31,000,000     

Norinchukin Bank (NY),
2.540%, 11/15/2019

      31,016,175  
  10,000,000     

Svenska Handelsbanken (NY),
1-month LIBOR + 0.080%, 2.121%, 11/18/2019(b)

      9,998,226  
  20,000,000     

Oversea-Chinese Banking Corp. Ltd. (NY),
2.080%, 11/22/2019

      19,997,362  
  15,000,000     

DZ Bank (NY),
2.070%, 11/27/2019

      14,996,838  
  11,000,000     

Banco Del Estado De Chile (NY),
2.430%, 12/06/2019

      11,006,430  
  40,000,000     

Nordea Bank ABP (NY),
2.280%, 12/11/2019

      40,015,732  
  30,000,000     

Mizuho Bank Ltd. (NY),
2.160%, 12/19/2019

      30,001,698  
  15,000,000     

DZ Bank (NY),
2.090%, 1/24/2020

      15,000,157  
  15,000,000     

Bank of Nova Scotia (TX),
2.000%, 3/10/2020

      14,997,173  
  30,000,000     

National Australia Bank,
1-month LIBOR + 0.150%, 2.194%, 5/20/2020(b)(c)

      29,977,853  
  20,000,000     

Royal Bank of Canada (NY),
1-month LIBOR + 0.180%, 2.219%, 6/12/2020(b)(c)

      19,986,131  
  20,000,000     

Royal Bank of Canada (NY),
1-month LIBOR + 0.210%, 2.259%, 7/10/2020(b)(c)

      19,987,738  
  25,000,000     

Toronto-Dominion Bank (NY),
1-month LIBOR + 0.310%, 2.356%, 10/20/2020(b)(c)

      24,992,109  
     

 

 

  
        476,976,544  
     

 

 

  
   Time Deposits – 8.8%

 

  36,000,000     

Skandinaviska Enskilda Banken (NY),
1.760%, 10/01/2019(d)

      36,000,000  
  41,000,000     

Canadian Imperial Bank of Commerce,
1.800%, 10/01/2019

      41,000,000  
     

 

 

  
        77,000,000  
     

 

 

  
   Other Notes – 3.4%

 

  30,000,000     

Bank of America NA,
2.350%, 12/13/2019(d)

      30,026,967  
   Commercial Paper – 2.9%

 

  10,000,000     

Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.),
2.174%, 10/02/2019(e)

      9,998,917  
  15,000,000     

Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.),
2.154%, 10/23/2019(e)

      14,980,114  
     

 

 

  
        24,979,031  
     

 

 

  
Principal
Amount		     

Description

    Value (†)  
   Treasuries – 2.6%

 

$ 9,000,000     

U.S. Treasury Bills,
1.928%-1.929%, 11/07/2019(e)(f)(g)

    $ 8,984,090  
  13,300,000     

U.S. Treasury Bills,
1.946%, 10/03/2019(e)(f)

      13,298,790  
     

 

 

  
        22,282,880  
     

 

 

  
  

Total Short-Term Investments
(Identified Cost $631,262,230)

      631,265,422  
     

 

 

  
  

Total Investments – 97.1%
(Identified Cost $840,533,952)

      849,755,468  
  

Other assets less liabilities – 2.9%

      25,623,774  
     

 

 

  
  

Net Assets – 100.0%

    $ 875,379,242  
     

 

 

  

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of September 30, 2019, the value of the Fund’s investment in the Subsidiary was $21,426,915, representing 2.45% of the Fund’s net assets.

(†)

Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

 

 

Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.

 

 

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.

 

 

Broker-dealer bid prices may be used to value debt and unlisted equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.

 

 

Futures contracts are valued at the most recent settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively.

 

 

Equity basket total return swaps are valued based on the value of the underlying listed equity securities as reported by an independent pricing service. If prices from an independent pricing service are not available, prices from a broker-dealer may be used.

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

As of September 30, 2019, futures contracts were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of the contracts, as follows:

 

Notional Value   Unrealized Appreciation/
Depreciation*		   Unrealized as a Percentage
of Net Assets
$187,961,661   $2,436,694   0.28%

 

*

Amounts represent gross unrealized appreciation/(depreciation) at absolute value.

The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

 

(a)    Non-income producing security.
(b)    Variable rate security. Rate as of September 30, 2019 is disclosed.
(c)    Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
(d)    Variable rate security. The interest rate adjusts periodically based on changes in current interest rates. Rate as of September 30, 2019 is disclosed.
(e)    Interest rate represents discount rate at time of purchase; not a coupon rate.
(f)    Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
(g)    The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Consolidated Portfolio of Investments.
ETF    Exchange-Traded Fund
LIBOR    London Interbank Offered Rate
REITs    Real Estate Investment Trusts
SLM    Sallie Mae
CHF    Swiss Franc
NOK    Norwegian Krone
NZD    New Zealand Dollar
SEK    Swedish Krona

Forward Foreign Currency Contracts

The Fund may enter into forward foreign currency contracts including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. When the Fund enters into a forward foreign currency contract, it is required to pledge cash or high-quality securities equal to a percentage of the notional amount of the contract to the counterparty as an independent amount of collateral. The Fund may pledge additional collateral to the counterparty to the extent of mark-to-market losses on open contracts. At September 30, 2019, the Fund had the following open forward foreign currency contracts:

 

Counterparty

    Delivery
Date		      Currency
Bought/
Sold (B/S)		      Units
of
Currency		      In Exchange
for		      Notional
Value		      Unrealized
Appreciation
(Depreciation)		  

UBS AG

      12/18/2019        CHF        B        57,000,000      $ 57,977,590      $ 57,500,252      $ (477,338 ) 

UBS AG

      12/18/2019        NOK        S        176,000,000        19,665,202        19,369,363        295,839  

UBS AG

      12/18/2019        NZD        B        37,500,000        24,131,100        23,523,558        (607,542 ) 

UBS AG

      12/18/2019        NZD        S        21,900,000        13,750,660        13,737,758        12,902  

UBS AG

      12/18/2019        SEK        B        242,000,000        25,081,972        24,713,248        (368,724 ) 
                    

 

 

  

Total

 

    $ (1,144,863 ) 
                    

 

 

  

Futures Contracts

The Fund and the Subsidiary may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.

When the Fund or the Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by the Fund or the Subsidiary, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund or the Subsidiary enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s or the Subsidiary’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund and the Subsidiary are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

At September 30, 2019, open long futures contracts were as follows:

 

Financial Futures

    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

2 Year U.S. Treasury Note

      12/31/2019        1,560      $ 336,824,811      $ 336,180,000      $ (644,811 ) 

5 Year U.S. Treasury Note

      12/31/2019        319        38,138,328        38,008,352        (129,976 ) 

10 Year Australia Government Bond

      12/16/2019        698        69,214,908        69,418,491        203,583  

10 Year U.S. Treasury Note

      12/19/2019        742        96,943,766        96,691,875        (251,891 ) 

ASX SPI 200™

      12/19/2019        16        1,798,068        1,804,007        5,939  

Australian Dollar

      12/16/2019        558        38,129,440        37,765,440        (364,000 ) 

DAX

      12/20/2019        205        68,742,690        69,327,789        585,099  

E-mini Russell 2000

      12/20/2019        24        1,883,545        1,830,000        (53,545 ) 

Euro Schatz

      12/06/2019        257        31,562,912        31,465,569        (97,343 ) 

EURO STOXX 50®

      12/20/2019        343        13,211,964        13,290,473        78,509  

Eurodollar

      3/16/2020        1,389        341,184,288        341,450,925        266,637  

FTSE 100 Index

      12/20/2019        872        78,010,811        79,163,464        1,152,653  

German Euro Bund

      12/06/2019        240        46,244,162        45,581,723        (662,439 ) 

Hang Seng Index®

      10/30/2019        61        10,248,810        10,134,108        (114,702 ) 

Japanese Yen

      12/16/2019        484        56,519,069        56,252,900        (266,169 ) 

MSCI Emerging Markets Index

      12/20/2019        246        12,579,825        12,323,370        (256,455 ) 

S&P/TSX 60 Index

      12/19/2019        15        2,239,539        2,255,576        16,037  

TOPIX

      12/12/2019        112        15,949,318        16,449,110        499,792  

UK Long Gilt

      12/27/2019        533        87,991,814        87,974,170        (17,644 ) 
              

 

 

  

Total

 

    $ (50,726 ) 
              

 

 

  

Commodity Futures1

    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

Aluminum LME

      12/18/2019        543      $ 24,472,184      $ 23,457,600      $ (1,014,584 ) 

Brent Crude Oil

      10/31/2019        771        46,397,080        45,681,750        (715,330 ) 

Copper LME

      12/18/2019        92        13,205,771        13,164,625        (41,146 ) 

Gasoline

      10/31/2019        110        6,713,784        7,237,230        523,446  

Gold

      12/27/2019        185        27,766,440        27,248,650        (517,790 ) 

Low Sulfur Gasoil

      11/12/2019        225        13,382,850        13,196,250        (186,600 ) 

Natural Gas

      10/29/2019        139        3,331,830        3,238,700        (93,130 ) 

Nickel LME

      12/18/2019        75        7,210,575        7,679,250        468,675  

Wheat

      12/13/2019        389        10,328,375        9,642,338        (686,037 ) 

Zinc LME

      12/18/2019        326        18,223,400        19,490,725        1,267,325  
              

 

 

  

Total

 

    $ (995,171 ) 
              

 

 

  

At September 30, 2019, open short futures contracts were as follows:

 

Financial Futures

    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

10 Year Canada Government Bond

      12/18/2019        524      $ 56,430,517      $ 56,400,649      $ 29,868  

30 Year U.S. Treasury Bond

      12/19/2019        182        29,743,477        29,540,875        202,602  

British Pound

      12/16/2019        157        12,184,706        12,100,775        83,931  

Canadian Dollar

      12/17/2019        186        14,142,110        14,067,180        74,930  

Financial Futures

    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

E-mini S&P 500®

      12/20/2019        48      $ 7,209,240      $ 7,148,400      $ 60,840  

Euro

      12/16/2019        854        118,688,963        117,024,688        1,664,275  

Euro-BTP

      12/06/2019        89        14,062,125        14,147,294        (85,169 ) 

Euro-OAT

      12/06/2019        109        20,205,477        20,233,609        (28,132 ) 
              

 

 

  

Total

 

    $ 2,003,145  
              

 

 

  

Commodity Futures1

    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

Aluminum LME

      12/18/2019        179      $ 8,038,219      $ 7,732,800      $ 305,419  

Cocoa

      12/13/2019        317        7,617,060        7,741,140        (124,080 ) 

Coffee

      12/18/2019        61        2,273,531        2,313,806        (40,275 ) 

Copper

      12/27/2019        65        4,235,662        4,190,063        45,599  

Copper LME

      12/18/2019        40        5,772,550        5,723,750        48,800  

Corn

      12/13/2019        437        8,497,700        8,477,800        19,900  

Cotton

      12/06/2019        153        5,106,210        4,653,495        452,715  

Live Cattle

      12/31/2019        55        2,187,260        2,426,600        (239,340 ) 

New York Harbor ULSD

      10/31/2019        400        31,677,723        31,872,960        (195,237 ) 

Nickel LME

      12/18/2019        17        1,740,528        1,740,630        (102 ) 

Silver

      12/27/2019        28        2,416,120        2,379,720        36,400  

Soybean

      11/14/2019        216        9,531,650        9,784,800        (253,150 ) 

Sugar

      2/28/2020        131        1,853,802        1,856,008        (2,206 ) 

WTI Crude Oil

      10/22/2019        85        4,857,270        4,595,950        261,320  

Zinc LME

      12/18/2019        162        9,356,790        9,685,575        (328,785 ) 
              

 

 

  

Total

 

    $ (13,022 ) 
              

 

 

  

 

1 

Commodity futures are held by ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary.

Bilateral Equity Basket Total Return Swaps (a)

 

Reference Entity

    Counterparty      Expiration
Date		      Notional
Amount		     Unrealized
Appreciation
(Depreciation)		      Value of
Reference
Entities		     Notional
Amount
Net Asset
Percentage		  

Equity Securities Short

 

    



 Morgan
Stanley
Capital
Services
LLC		  
 
 
 
 		      5/19/2020      $ (15,004,211 )    $ —        $ (15,004,211 )      (1.71 %) 
        

 

 

    

 

 

     

 

 

    

 

(a)

The Fund receives or pays, on a monthly basis, the total return on a portfolio of short equity positions net of one day U.S. Federal Funds Effective Rate minus a spread of 0.45%-0.60% as calculated on the notional amount.

The following table represents the reference entities underlying the total return swap with Morgan Stanley Capital Services LLC as of September 30, 2019:

 

Common Stocks - Short

    Shares      Value      % of Basket Value  

Banks

         

People’s United Financial

      (61,512 )     $ (961,740 )       (6.41 %) 

Prosperity Bancshares, Inc.

      (32,601 )       (2,302,609 )       (15.35 %) 

SVB Financial Group

      (139 )       (29,044 )       (0.19 %) 

Valley National Bancorp

      (81,855 )       (889,764 )       (5.93 %) 
     

 

 

     
     (4,183,157 )    

Biotechnology

         

AbbVie, Inc.

      (16,827 )       (1,274,140 )       (8.49 %) 

Alder Biopharmaceuticals, Inc.

      (2,511 )       (47,358 )       (0.32 %) 

Exact Sciences Corp.

      (13,284 )       (1,200,475 )       (8.00 %) 

Common Stocks - Short

    Shares      Value      % of Basket Value  

Mirati Therapeutics, Inc.

      (928 )     $ (72,301 )       (0.48 %) 

Sage Therapeutics, Inc.

      (518 )       (72,670 )       (0.48 %) 

Sangamo Therapeutics, Inc.

      (59,129 )       (535,117 )       (3.57 %) 

Spectrum Pharmaceuticals, Inc.

      (106,104 )       (880,133 )       (5.87 %) 

Ultragenyx Pharmaceutical, Inc.

      (1,449 )       (61,988 )       (0.41 %) 

Vericel Corp.

      (36,988 )       (559,998 )       (3.73 %) 
     

 

 

     
     (4,704,180 )    

Capital Markets

         

WisdomTree Investments, Inc.

      (13,102 )       (68,458 )       (0.46 %) 
     

 

 

     

Containers & Packaging

         

CAI International, Inc.

      (16,252 )       (353,806 )       (2.36 %) 

Triton International Ltd.

      (10,055 )       (340,261 )       (2.27 %) 
     

 

 

     
     (694,067 )    

Health Care Equipment & Supplies

         

Tandem Diabetes Care, Inc.

      (2,988 )       (176,232 )       (1.17 %) 
     

 

 

     

Machinery

         

Hillenbrand, Inc.

      (19,393 )       (598,856 )       (3.99 %) 
     

 

 

     

Metals & Mining

         

Freeport-McMoRan, Inc.

      (6,415 )       (61,392 )       (0.41 %) 
     

 

 

     

Oil, Gas & Consumable Fuels

         

Callon Petroleum Co.

      (406,761 )       (1,765,343 )       (11.77 %) 

Kosmos Energy Ltd.

      (38,163 )       (238,137 )       (1.59 %) 

Northern Oil and Gas, Inc.

      (428,206 )       (839,284 )       (5.59 %) 

W&T Offshore, Inc.

      (18,509 )       (80,884 )       (0.54 %) 
     

 

 

     
     (2,923,648 )    

Semiconductors & Semiconductor Equipment

         

Micron Technology, Inc.

      (3,130 )       (134,121 )       (0.89 %) 

Nanometrics, Inc.

      (43,104 )       (1,406,052 )       (9.37 %) 

Skyworks Solutions, Inc.

      (682 )       (54,048 )       (0.36 %) 
     

 

 

     
     (1,594,221 )    
     

 

 

     

Total Common Stocks - Short

 

    $ (15,004,211 )    
     

 

 

     

Fair Value Measurements

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

 

  •  

Level 1 — quoted prices in active markets for identical assets or liabilities;

 

  •  

Level 2 — prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

 

  •  

Level 3 — prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2019, at value:

Asset Valuation Inputs

 

Description

    Level 1     Level 2      Level 3      Total  

Common Stocks*

    $ 176,147,806     $ —         $  —        $ 176,147,806  

Exchange-Traded Funds

      32,423,928       —           —          32,423,928  

Closed-End Investment Companies

      9,918,312       —           —          9,918,312  

Short-Term Investments*

      —          631,265,422        —          631,265,422  

Equity Basket Total Return Swaps

      —   (a)      —           —          —     

Forward Foreign Currency Contracts (unrealized appreciation)

      —          308,741        —          308,741  

Futures Contracts (unrealized appreciation)

      6,032,302       2,321,992        —          8,354,294  
  

 

 

    

 

 

     

 

 

     

 

 

  

Total

    $ 224,522,348     $ 633,896,155      $ —        $ 858,418,503  
  

 

 

    

 

 

     

 

 

     

 

 

  

Liability Valuation Inputs

 

Description

    Level 1      Level 2      Level 3      Total  

Forward Foreign Currency Contracts (unrealized depreciation)

    $ —         $ (1,453,604 )     $  —        $ (1,453,604 ) 

Futures Contracts (unrealized depreciation)

      (7,295,366 )       (114,702 )       —          (7,410,068 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ (7,295,366 )     $ (1,568,306 )     $ —        $ (8,863,672 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

*

Details of the major categories of the Fund’s investments are reflected within the Consolidated Portfolio of Investments.

 

(a)

Represents net unrealized appreciation (depreciation) of $0, as reflected within the Consolidated Portfolio of Investments.

For the period ended September 30, 2019, there were no transfers among Levels 1, 2 and 3.

Derivatives

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of and underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include forward foreign currency contracts, futures contracts and swap agreements.

The Fund seeks to achieve long and short exposure to global equity, bond, currency and commodity markets through a wide range of derivative instruments and direct investments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified portfolio of hedge funds. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge funds, and seeks to use a variety of derivative instruments to capture such exposures in the aggregate. The Fund may also use various strategies commonly used by hedge funds that seek to profit from underlying risk factors, such as merger arbitrage. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts on global equity and fixed income securities, securities indices, currencies, commodities and other instruments and equity basket total return swap agreements. During the period ended September 30, 2019, the Fund used long and short contracts on U.S. and foreign government bonds, U.S. equity market indices, foreign currencies, commodities (through investments in the Subsidiary) and short-term interest rates, long contracts on foreign equity market indices, and short contracts on equity basket total return swaps in accordance with these objectives.

The following is a summary of derivative instruments for the Fund, as of September 30, 2019:

 

Assets

    Unrealized
appreciation on
forward foreign
currency contracts		      Unrealized
appreciation on
futures contracts		  

Over-the-counter asset derivatives

      

Foreign exchange contracts

    $ 308,741      $ —     
  

 

 

     

 

 

  

Exchange-traded asset derivatives

      

Interest rate contracts

    $ —         $ 702,690  

Foreign exchange contracts

      —           1,823,136  

Commodity contracts

      —           3,429,599  

Equity contracts

      —           2,398,869  
  

 

 

     

 

 

  

Total exchange-traded asset derivatives

    $ —         $ 8,354,294  
  

 

 

     

 

 

  

Total asset derivatives

    $ 308,741      $ 8,354,294  
  

 

 

     

 

 

  

Liabilities

    Unrealized
depreciation on
forward foreign
currency contracts		      Unrealized
depreciation on
futures contracts		      Swap agreements
at value1		  

Over-the-counter liability derivatives

         

Foreign exchange contracts

    $ (1,453,604 )     $ —         $ —     

Equity Contracts

      —           —           (15,004,211 ) 
  

 

 

     

 

 

     

 

 

  

Total over-the-counter liability derivatives

    $ (1,453,604 )     $ —         $ (15,004,211 ) 
  

 

 

     

 

 

     

 

 

  

Exchange-traded liability derivatives

         

Interest rate contracts

    $ —         $ (1,917,405 )     $ —     

Foreign exchange contracts

      —           (630,169 )       —     

Commodity contracts

      —           (4,437,792 )       —     

Equity contracts

      —           (424,702 )       —     
  

 

 

     

 

 

     

 

 

  

Total exchange-traded liability derivatives

    $ —         $ (7,410,068 )     $ —     
  

 

 

     

 

 

     

 

 

  

Total liability derivatives

    $ (1,453,604 )     $ (7,410,068 )     $ (15,004,211 ) 
  

 

 

     

 

 

     

 

 

  

1 Represents swap agreements, at value. Market value of swap agreements is reported in the Consolidated Portfolio of Investments.

The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.

Over-the-counter (“OTC”) derivatives, including forward foreign currency contracts and swap agreements, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. As of September 30, 2019, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:

 

Counterparty

    Derivatives      Collateral
Pledged		  

UBS AG

    $ (1,144,863 )     $ 6,286,968  

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of September 30, 2019:

 

     Maximum
Amount of
Loss - Gross		      Maximum
Amount of
Loss - Net		  

Over-the-counter counterparty credit risk

      

Forward foreign currency contracts

    $ 308,741      $ —     

Collateral pledged to UBS AG

      6,286,968        6,286,968  

Collateral pledged to Morgan Stanley

      6,703,211        6,703,211  
  

 

 

     

 

 

  

Total over-the-counter counterparty credit risk

      13,298,920        12,990,179  
  

 

 

     

 

 

  

Exchange-traded counterparty credit risk

      

Futures contracts

      8,354,294        8,354,294  

Margin with brokers

      35,384,552        35,384,552  
  

 

 

     

 

 

  

Total exchange-traded counterparty credit risk

      43,738,846        43,738,846  
  

 

 

     

 

 

  

Total counterparty credit risk

    $  57,037,766      $  56,729,025  
  

 

 

     

 

 

  

Investment Summary at September 30, 2019 (Unaudited)

 

Certificates of Deposit

      54.5 % 

Common Stocks

      20.1  

Time Deposits

      8.8  

Exchange-Traded Funds

      3.7  

Other Notes

      3.4  

Commercial Paper

      2.9  

Treasuries

      2.6  

Closed-End Investment Companies

      1.1  
  

 

 

  

Total Investments

      97.1  

Other assets less liabilities (including swap agreements, forward foreign currency and futures contracts)

      2.9  
  

 

 

  

Net Assets

      100.0 %