Consolidated Portfolio of Investments – as of March 31, 2020 (Unaudited)

ASG Managed Futures Strategy Fund*

Principal Amount		Description	Value (†)
	Short-Term Investments – 96.6% of Net Assets
		Certificates of Deposit – 64.0%
	$    30,000,000	National Bank of Kuwait (NY), 1.400%, 4/01/2020	$	30,000,716
	30,000,000	Bank of Montreal (IL), 1-month LIBOR + 0.180%, 1.695%, 4/03/2020(a)		30,002,871
	63,000,000	Landesbank Baden Wurttemberg (NY), 0.250%, 4/06/2020		62,999,748
	15,000,000	National Bank of Kuwait (NY), 2.050%, 4/06/2020		15,003,388
	65,000,000	Mizuho Bank Ltd. (NY), 1-month LIBOR + 0.200%, 0.950%, 4/20/2020(a)		65,009,305
	15,000,000	Landesbank Hessen (NY), 1.300%, 4/27/2020		15,004,293
	50,000,000	Landesbank Hessen (NY), 1.640%, 5/06/2020		50,029,841
	32,000,000	DNB Nor Bank ASA (NY), 1.630%, 5/12/2020		32,030,519
	45,500,000	Svenska Handelsbanken (NY), 1-month LIBOR + 0.190%, 0.802%, 5/18/2020(a)		45,506,348
	60,000,000	Credit Industriel et Commercial (NY), 1.620%, 5/19/2020		60,041,809
	30,000,000	Sumitomo Mitsui Trust Bank (NY), 3-month LIBOR + 0.070%, 1.763%, 5/19/2020(a)		29,983,454
	50,000,000	National Australia Bank (NY), 1-month LIBOR + 0.150%, 0.923%, 5/20/2020(a)(b)		49,998,315
	58,000,000	Sumitomo Mitsui Banking Corp. (NY), 1-month LIBOR + 0.050%, 0.913%, 6/10/2020(a)		57,985,316
	15,500,000	Mitsubishi UFJ Trust & Banking Corp. (NY), 1-month LIBOR + 0.070%, 0.933%, 6/10/2020(a)		15,496,900
	60,000,000	Nordea Bank ABP (NY), 3-month LIBOR + 0.060%, 0.828%, 6/11/2020(a)		59,948,651
	20,000,000	Royal Bank of Canada (NY), 1-month LIBOR + 0.180%, 0.991%, 6/12/2020(a)(b)		19,993,559
	50,000,000	Oversea-Chinese Banking Corp. Ltd. (NY), 3-month LIBOR + 0.070%, 0.811%, 6/16/2020(a)		49,955,244
	44,000,000	Norinchukin Bank (NY), 1.640%, 6/18/2020		44,042,935
	60,000,000	DZ Bank (NY), 1.250%, 6/25/2020		60,002,977
	30,000,000	Royal Bank of Canada (NY), 1-month LIBOR + 0.210%, 1.073%, 7/10/2020(a)(b)		29,977,432
	25,000,000	MUFG Bank Ltd. (NY), 0.980%, 8/28/2020		24,955,366
	20,000,000	Toronto-Dominion Bank (NY), FEDL01 + 0.360%, 0.450%, 9/04/2020(a)(b)		19,907,822
	30,000,000	Bank of Montreal (IL), 0.800%, 9/04/2020		29,905,922
	60,000,000	Bank of Nova Scotia (TX), 0.730%, 9/10/2020		59,858,576
	16,500,000	Toronto-Dominion Bank (NY), 1.020%, 9/11/2020(b)		16,466,561

Principal Amount		Description	Value (†)
		Certificates of Deposit – continued
	$    30,000,000	Toronto-Dominion Bank (NY), 1-month LIBOR + 0.310%, 1.083%, 10/20/2020(a)(b)	$	29,965,162
				1,004,073,030
		Commercial Paper – 13.6%
	50,000,000	ING U.S. Funding LLC, (Credit Support: ING Bank NV), 1.791%, 5/06/2020(c)		49,939,000
	18,300,000	Santander UK PLC, 1.758%, 4/16/2020(c)		18,293,087
	40,000,000	Santander UK PLC, 1.738%, 4/21/2020(c)		39,974,333
	23,580,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 1.602%, 4/15/2020(c)		23,564,771
	20,000,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 1.103%, 6/02/2020(c)		19,944,000
	43,000,000	Credit Agricole Corporate & Investment Bank (NY), 0.090%, 4/03/2020(c)		42,999,957
	19,060,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 1.801%, 4/08/2020(c)		19,055,104
				213,770,252
		Time Deposits – 9.1%
	38,000,000	Canadian Imperial Bank of Commerce, 0.020%, 4/01/2020		38,000,000
	75,000,000	Skandinaviska Enskilda Banken (NY), 0.030%, 4/01/2020(c)		75,000,000
	30,000,000	National Bank of Kuwait (NY), 0.070%, 4/01/2020(c)		30,000,000
				143,000,000
		Treasuries – 5.7%
	31,300,000	U.S. Treasury Bills, 0.780%-1.530%, 5/07/2020(c)(d)(e)		31,298,005
	32,200,000	U.S. Treasury Bills, 1.502%, 6/11/2020(c)(d)		32,194,189
	26,400,000	U.S. Treasury Bills, 1.500%, 4/02/2020(c)(d)		26,400,000
				89,892,194
		Other Notes – 4.2%
	15,000,000	Bank of America NA, 1.840%, 6/15/2020		15,055,066
	50,000,000	Bank of America NA, 1.155%, 7/08/2020		49,908,288
				64,963,354
		Repurchase Agreement – 0.0%
	488,575	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2020 at 0.000% to be repurchased at $488,575 on 4/01/2020 collateralized by $485,000 U.S. Treasury Note, 1.375% due 10/15/2022 valued at $501,753 including accrued interest(f)		488,575
		Total Short-Term Investments (Identified Cost $1,516,481,510)	$	1,516,187,405
		Total Investments – 96.6% (Identified Cost $1,516,481,510)		1,516,187,405
		Other assets less liabilities – 3.4%		53,802,903
		Net Assets – 100.0%	$	1,569,990,308

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Managed Futures Strategy 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 March 31, 2020, the value of the Fund’s investment in the Subsidiary was $65,954,514, representing 4.20% of the Fund’s net assets.

* Subsequent Event. The Board of Trustees approved a change in the name of the Fund to AlphaSimplex Managed Futures Strategy Fund. This change will be effective at the close of business on April 30, 2020.

(†) 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: Debt 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 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.

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 March 31, 2020, 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
$32,529,022	$	2,462,096		0.16	%

* Amount represents 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) Variable rate security. Rate as of March 31, 2020 is disclosed.

(b) Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

(c) Interest rate represents discount rate at time of purchase; not a coupon rate.

(d) Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

(e) 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 Portfolio of Investments.

(f) The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of March 31, 2020, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

FEDL01 Federal Funds Rate

LIBOR London Interbank Offered Rate

CHF Swiss Franc

CNH Chinese Yuan Renminbi Offshore

MXN Mexican Peso

NOK Norwegian Krone

NZD New Zealand Dollar

PLN Polish Zloty

SEK Swedish Krona

SGD Singapore Dollar

TRY Turkish Lira

ZAR South African Rand

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 appreciation (depreciation). 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 March 31, 2020, 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		6/17/2020		CHF		B	20,250,000	$	21,874,581	$	21,115,305	$	(759,276	)
UBS AG		6/17/2020		CHF		S	4,000,000		4,254,721		4,170,924		83,797
UBS AG		6/17/2020		CHF		S	11,500,000		11,836,555		11,991,408		(154,853	)
UBS AG		6/17/2020		CNH		S	33,000,000		4,700,264		4,648,575		51,689
UBS AG		6/17/2020		CNH		S	34,000,000		4,781,330		4,789,441		(8,111	)
UBS AG		6/17/2020		MXN		B	439,500,000		20,635,950		18,319,637		(2,316,313	)
UBS AG		6/17/2020		MXN		S	514,500,000		23,353,482		21,445,855		1,907,627
UBS AG		6/17/2020		MXN		S	179,500,000		7,269,746		7,482,082		(212,336	)
UBS AG		6/17/2020		NOK		B	108,000,000		9,602,275		10,391,180		788,905
UBS AG		6/17/2020		NOK		B	262,000,000		26,589,253		25,208,233		(1,381,020	)
UBS AG		6/17/2020		NOK		S	550,000,000		57,537,188		52,918,045		4,619,143
UBS AG		6/17/2020		NZD		B	18,800,000		10,774,586		11,211,192		436,606
UBS AG		6/17/2020		NZD		B	43,300,000		26,767,594		25,821,522		(946,072	)
UBS AG		6/17/2020		NZD		S	114,200,000		72,025,711		68,102,028		3,923,683
UBS AG		6/17/2020		PLN		B	18,000,000		4,676,184		4,349,801		(326,383	)
UBS AG		6/17/2020		PLN		S	93,500,000		24,573,047		22,594,802		1,978,245
UBS AG		6/17/2020		PLN		S	22,500,000		5,357,623		5,437,252		(79,629	)
UBS AG		6/17/2020		SEK		B	142,000,000		14,878,771		14,378,240		(500,531	)
UBS AG		6/17/2020		SEK		S	394,000,000		41,578,993		39,894,553		1,684,440

Counterparty	Delivery Date		Currency Bought/ Sold (B/S)	Units of Currency			In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
UBS AG		6/17/2020	SEK		S	26,000,000	$	2,538,391	$	2,632,635	$	(94,244	)
UBS AG		6/17/2020	SGD		B	25,500,000		17,577,593		17,961,604		384,011
UBS AG		6/17/2020	SGD		B	51,750,000		36,871,839		36,451,491		(420,348	)
UBS AG		6/17/2020	SGD		S	223,750,000		161,117,272		157,604,274		3,512,998
UBS AG		6/17/2020	TRY		B	38,700,000		6,172,177		5,724,521		(447,656	)
UBS AG		6/17/2020	TRY		S	79,500,000		12,085,934		11,759,675		326,259
UBS AG		6/17/2020	TRY		S	9,900,000		1,462,814		1,464,412		(1,598	)
UBS AG		6/17/2020	ZAR		B	75,500,000		4,561,147		4,179,098		(382,049	)
UBS AG		6/17/2020	ZAR		S	510,500,000		31,112,681		28,257,344		2,855,337
UBS AG		6/17/2020	ZAR		S	32,500,000		1,781,703		1,798,949		(17,246	)
Total											$	14,505,075

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 March 31, 2020, open long futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
2 Year U.S. Treasury Note		6/30/2020		4,117	$	898,382,417	$	907,316,037	$	8,933,620
3 Year Australia Government Bond		6/15/2020		3,344		240,268,389		240,880,998		612,609
5 Year U.S. Treasury Note		6/30/2020		1,565		189,602,445		196,187,422		6,584,977
10 Year Australia Government Bond		6/15/2020		792		73,482,280		73,371,418		(110,862	)
10 Year Canada Government Bond		6/19/2020		694		69,839,075		72,561,046		2,721,971
10 Year U.S. Treasury Note		6/19/2020		742		98,068,437		102,906,125		4,837,688
30 Year U.S. Treasury Bond		6/19/2020		182		30,024,281		32,589,375		2,565,094
E-mini NASDAQ 100		6/19/2020		19		3,036,878		2,958,775		(78,103	)
Euro Schatz		6/08/2020		2,794		346,173,909		345,713,592		(460,317	)
Euro-BTP		6/08/2020		55		8,912,089		8,577,855		(334,234	)
Euro-Buxl® 30 Year Bond		6/08/2020		123		29,229,106		28,474,326		(754,780	)
Euro-OAT		6/08/2020		195		36,695,515		35,961,083		(734,432	)
Eurodollar		6/15/2020		1,423		351,894,349		353,882,312		1,987,963
Eurodollar		9/14/2020		2,697		671,577,138		671,856,413		279,275
German Euro BOBL		6/08/2020		892		133,624,965		133,017,742		(607,223	)
German Euro Bund		6/08/2020		427		81,970,948		81,241,523		(729,425	)
Short-Term Euro-BTP		6/08/2020		195		24,222,814		23,992,694		(230,120	)

Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Long Futures Contracts - continued
Sterling		6/17/2020		3,926	$	606,661,003	$	606,878,627	$	217,624
UK Long Gilt		6/26/2020		416		69,420,486		70,371,239		950,753
Ultra Long U.S. Treasury Bond		6/19/2020		79		15,906,750		17,528,125		1,621,375
Total									$	27,273,453

Commodity Futures1	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Aluminum LME		6/17/2020		452	$	18,974,547	$	17,204,250	$	(1,770,297	)
Copper LME		6/17/2020		184		25,903,651		22,773,450		(3,130,201	)
Gold		6/26/2020		133		21,189,560		21,234,780		45,220
Nickel LME		6/17/2020		128		9,629,514		8,816,256		(813,258	)
Wheat		7/14/2020		56		1,589,200		1,575,000		(14,200	)
Zinc LME		6/17/2020		360		17,820,569		17,142,750		(677,819	)
Total									$	(6,360,555	)

At March 31, 2020, open short futures contracts were as follows:

Financial and Currency Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
AEX-Index®		4/17/2020		22	$	1,976,208	$	2,342,329	$	(366,121	)
ASX SPI 200™		6/18/2020		22		1,764,322		1,728,400		35,922
Australian Dollar		6/15/2020		549		34,842,320		33,725,070		1,117,250
Brazilian Real		4/30/2020		186		3,613,705		3,578,640		35,065
British Pound		6/15/2020		452		34,288,959		35,188,200		(899,241	)
Canadian Dollar		6/16/2020		904		66,313,488		64,224,680		2,088,808
DAX		6/19/2020		10		2,341,097		2,731,744		(390,647	)
E-mini Dow		6/19/2020		39		3,993,775		4,241,445		(247,670	)
E-mini Russell 2000		6/19/2020		75		4,531,275		4,303,500		227,775
E-mini S&P 500®		6/19/2020		9		1,017,362		1,156,365		(139,003	)
E-mini S&P MidCap 400®		6/19/2020		27		3,857,895		3,882,060		(24,165	)
Euribor		6/15/2020		767		212,246,926		212,263,442		(16,516	)
Euro		6/15/2020		523		73,025,854		72,236,106		789,748
EURO STOXX 50®		6/19/2020		67		1,721,769		2,029,875		(308,106	)
FTSE 100 Index		6/19/2020		42		2,589,747		2,939,939		(350,192	)
FTSE China A50 Index		4/29/2020		137		1,707,445		1,726,200		(18,755	)
FTSE/JSE Top 40 Index		6/18/2020		63		1,245,171		1,445,596		(200,425	)
Hang Seng China Enterprises Index		4/28/2020		85		5,170,004		5,281,287		(111,283	)
Hang Seng Index®		4/28/2020		28		4,203,747		4,283,383		(79,636	)
IBEX 35		4/17/2020		24		1,580,973		1,790,297		(209,324	)
Indian Rupee		4/28/2020		1,156		29,926,914		30,384,304		(457,390	)
Japanese Yen		6/15/2020		395		45,204,355		46,015,031		(810,676	)
MSCI EAFE Index		6/19/2020		81		5,722,870		6,315,165		(592,295	)
MSCI Emerging Markets Index		6/19/2020		158		6,553,075		6,658,910		(105,835	)
MSCI Singapore		4/29/2020		155		3,033,260		3,068,702		(35,442	)
MSCI Taiwan Index		4/29/2020		30		1,122,110		1,107,392		14,718
Nikkei 225™		6/11/2020		11		1,689,003		1,935,550		(246,547	)

Financial and Currency Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Short Futures Contracts - continued
S&P/TSX 60 Index		6/18/2020		19	$	1,960,620	$	2,198,508	$	(237,888	)
TOPIX		6/11/2020		19		2,384,166		2,479,144		(94,978	)
Total									$	(1,632,849	)

Commodity Futures1	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Aluminum LME		6/17/2020		1,058	$	45,579,901	$	40,270,125	$	5,309,776
Brent Crude Oil		5/29/2020		723		22,193,550		21,444,180		749,370
Cocoa		7/16/2020		16		361,240		361,440		(200	)
Copper		5/27/2020		588		36,183,650		32,751,600		3,432,050
Copper LME		6/17/2020		293		41,486,969		36,264,244		5,222,725
Corn		7/14/2020		814		16,078,288		14,082,200		1,996,088
Cotton		7/09/2020		214		5,706,585		5,446,300		260,285
Gasoline		4/30/2020		306		12,330,393		7,617,380		4,713,013
Lean Hog		6/12/2020		191		6,068,230		4,608,830		1,459,400
Live Cattle		6/30/2020		262		10,464,390		9,649,460		814,930
Low Sulfur Gasoil		5/12/2020		479		16,022,575		14,118,525		1,904,050
Natural Gas		4/28/2020		570		10,789,710		9,348,000		1,441,710
New York Harbor ULSD		4/30/2020		223		11,357,678		9,380,049		1,977,629
Nickel LME		6/17/2020		251		19,174,452		17,288,127		1,886,325
Platinum		7/29/2020		35		1,076,295		1,277,325		(201,030	)
Silver		5/27/2020		35		2,206,625		2,477,300		(270,675	)
Soybean		7/14/2020		368		16,605,500		16,366,800		238,700
Soybean Meal		7/14/2020		167		4,989,020		5,325,630		(336,610	)
Soybean Oil		7/14/2020		422		7,645,356		6,927,552		717,804
Sugar		6/30/2020		1,646		20,341,608		19,356,960		984,648
WTI Crude Oil		5/19/2020		599		14,448,830		14,681,490		(232,660	)
Zinc LME		6/17/2020		532		28,419,040		25,333,175		3,085,865
Total									$	35,153,193

¹  Commodity futures are held by ASG Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary.

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 March 31, 2020, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Short-Term Investments*	$	—	$	1,516,187,405	$	—	$	1,516,187,405
Forward Foreign Currency Contracts (unrealized appreciation)		—		22,552,740		—		22,552,740
Futures Contracts (unrealized appreciation)		71,811,183		50,640		—		71,861,823
Total	$	71,811,183	$	1,538,790,785	$	—	$	1,610,601,968

Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(8,047,665	)	$	—	$	(8,047,665	)
Futures Contracts (unrealized depreciation)		(15,017,125	)		(2,411,456	)		—		(17,428,581	)
Total	$	(15,017,125	)	$	(10,459,121	)	$	—	$	(25,476,246	)

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

Derivatives

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

The Fund seeks to generate positive absolute returns over time. The Fund uses a set of proprietary quantitative models to identify price trends in equity, fixed income, currency and commodity instruments, and may have both short and long exposures within an asset class based on an analysis of asset price trends. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategy while also adding value through volatility management. These market exposures, which are expected to change over time, may include exposures to global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the period ended March 31, 2020, the Fund used long and short contracts on U.S. and foreign government bonds, U.S. and foreign equity market indices, foreign currencies, short-term interest rates, and commodities (through investments in the Subsidiary) to capture the exposures suggested by the quantitative investment models.

The following is a summary of derivative instruments for the Fund, as of March 31, 2020:

Assets	Unrealized appreciation on forward foreign currency contracts		Unrealized appreciation on futures contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	22,552,740	$	—
Exchange-traded asset derivatives
Interest rate contracts	$	—	$	31,312,949
Foreign exchange contracts		—		4,030,871
Commodity contracts		—		36,239,588
Equity contracts		—		278,415
Total exchange-traded asset derivatives	$	—	$	71,861,823
Total asset derivatives	$	22,552,740	$	71,861,823

Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	(8,047,665	)	$	—
Exchange-traded liability derivatives
Interest rate contracts	$	—		$	(3,977,909	)
Foreign exchange contracts		—			(2,167,307	)
Commodity contracts		—			(7,446,950	)
Equity contracts		—			(3,836,415	)
Total exchange-traded liability derivatives	$	—		$	(17,428,581	)
Total liability derivatives	$	(8,047,665	)	$	(17,428,581	)

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, 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 March 31, 2020, the Fund did not hold any derivative positions subject to these provisions that are in a net liability position by counterparty.

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 clearing house, 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 March 31, 2020:

	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Over-the-counter counterparty credit risk
Forward foreign currency contracts	$	22,552,740	$	14,505,075
Total over-the-counter counterparty credit risk		22,552,740		14,505,075
Exchange-traded counterparty credit risk
Futures contracts		71,861,823		71,861,823
Margin with brokers		168,902,904		168,902,904
Total exchange-traded counterparty credit risk		240,764,727		240,764,727
Total counterparty credit risk	$	263,317,467	$	255,269,802

Investment Summary at March 31, 2020 (Unaudited)

Certificates of Deposit	64.0	%
Commercial Paper	13.6
Time Deposits	9.1
Treasuries	5.7
Other Notes	4.2
Repurchase Agreements	0.0
Total Investments	96.6
Other assets less liabilities (including forward foreign currency and futures contracts)	3.4
Net Assets	100.0	%