Consolidated Portfolio of Investments – as of September 30, 2020 (Unaudited)
AlphaSimplex Managed Futures Strategy Fund
| Principal |
Description |
Value (†) | ||||||
| Short-Term Investments – 90.4% of Net Assets |
||||||||
| Certificates of Deposit – 60.6% |
| |||||||
| $65,000,000 | National Bank of Kuwait (NY), 0.210%, 10/01/2020 |
$ | 65,000,233 | |||||
| 5,000,000 | Sumitomo Mitsui Trust Bank (NY), 0.090%, 10/06/2020 |
4,999,984 | ||||||
| 60,500,000 | Landesbank Baden-Wuerttemberg (NY), 0.190%, 10/06/2020 |
60,500,574 | ||||||
| 19,300,000 | DNB Nor Bank ASA (NY), 0.080%, 10/08/2020 |
19,299,914 | ||||||
| 50,000,000 | Sumitomo Mitsui Banking Corp. (NY), 1-month LIBOR + 0.150%, 0.301%, 10/13/2020(a) |
50,002,872 | ||||||
| 20,500,000 | Oversea-Chinese Banking Corp. Ltd. (NY), 0.950%, 10/15/2020 |
20,507,016 | ||||||
| 30,000,000 | Toronto-Dominion Bank (NY), 1-month LIBOR + 0.310%, 0.466%, 10/20/2020(a) |
30,005,354 | ||||||
| 32,000,000 | DZ Bank (NY), 0.210%, 10/22/2020 |
32,002,072 | ||||||
| 19,000,000 | Landesbank Hessen-Thueringen Girozentrale (NY), 0.200%, 10/27/2020 |
19,001,267 | ||||||
| 38,800,000 | Landesbank Hessen-Thueringen Girozentrale (NY), 0.160%, 11/05/2020 |
38,801,784 | ||||||
| 5,501,000 | Sumitomo Mitsui Banking Corp. (NY), 0.220%, 11/30/2020 |
5,501,736 | ||||||
| 26,500,000 | KBC Bank NV (NY), 0.120%, 12/01/2020 |
26,499,042 | ||||||
| 50,000,000 | Credit Industriel et Commercial (NY), 0.140%, 12/01/2020 |
50,003,959 | ||||||
| 60,000,000 | BNP Paribas (NY), 0.220%, 12/01/2020(b) |
60,008,982 | ||||||
| 60,000,000 | Mizuho Bank Ltd. (NY), 0.240%, 12/02/2020(b) |
60,008,390 | ||||||
| 30,000,000 | DZ Bank (NY), 0.160%, 12/03/2020 |
30,000,852 | ||||||
| 60,000,000 | Norinchukin Bank (NY), 0.200%, 12/08/2020 |
60,003,907 | ||||||
| 50,000,000 | Nordea Bank ABP (NY), 0.150%, 12/11/2020 |
50,001,799 | ||||||
| 50,000,000 | Bank of Montreal (IL), 0.170%, 12/18/2020 |
50,001,864 | ||||||
| 50,000,000 | Sumitomo Mitsui Trust Bank (NY), 0.210%, 1/15/2021 |
50,003,265 | ||||||
| 58,000,000 | Mitsubishi UFJ Trust & Banking Corp. (NY), 0.230%, 2/10/2021 |
58,003,848 | ||||||
| 30,000,000 | Royal Bank of Canada (NY), 3-month LIBOR + 0.110%, 0.360%, 6/11/2021(a)(b) |
30,022,890 | ||||||
|
|
|
|||||||
| 870,181,604 | ||||||||
|
|
|
|||||||
| Commercial Paper – 13.5% |
| |||||||
| 65,000,000 | Cooperatieve Rabobank UA, 0.080%, 10/06/2020(c) |
64,998,949 | ||||||
| Principal |
Description |
Value (†) | ||||||
| Commercial Paper – continued |
| |||||||
| $8,160,000 | Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 0.230%, 10/06/2020(c) |
$ | 8,159,837 | |||||
| 6,600,000 | Swedbank (NY), 0.100%, 10/19/2020(c) |
6,599,652 | ||||||
| 27,000,000 | Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 0.220%, 10/20/2020(c) |
26,997,750 | ||||||
| 25,000,000 | Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 0.200%, 10/27/2020(c) |
24,997,037 | ||||||
| 61,500,000 | Santander UK PLC, 0.200%, 11/02/2020(c) |
61,491,994 | ||||||
|
|
|
|||||||
| 193,245,219 | ||||||||
|
|
|
|||||||
| Time Deposits – 8.1% |
| |||||||
| 50,900,000 | Skandinaviska Enskilda Banken (NY), 0.040%, 10/01/2020 |
50,900,000 | ||||||
| 65,000,000 | Canadian Imperial Bank of Commerce, 0.080%, 10/01/2020 |
65,000,000 | ||||||
|
|
|
|||||||
| 115,900,000 | ||||||||
|
|
|
|||||||
| Treasuries – 6.2% |
| |||||||
| 30,500,000 | U.S. Treasury Bills, 0.080%, 10/08/2020(c)(d) |
30,499,622 | ||||||
| 23,900,000 | U.S. Treasury Bills, 0.090%, 11/05/2020(c)(d) |
23,897,967 | ||||||
| 25,000,000 | U.S. Treasury Bills, 0.080%, 11/19/2020(c) |
24,996,937 | ||||||
| 10,200,000 | U.S. Treasury Bills, 0.105%, 12/03/2020(c)(d) |
10,198,304 | ||||||
|
|
|
|||||||
| 89,592,830 | ||||||||
|
|
|
|||||||
| Other Notes – 2.0% |
| |||||||
| 29,000,000 | Bank of America NA, 0.226%, 11/09/2020 |
28,999,702 | ||||||
|
|
|
|||||||
| Repurchase Agreements – 0.0% |
| |||||||
| 269,921 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, 9/30/2020 at 0.000% to be repurchased at $269,921 on 10/01/2020 collateralized by $275,700 U.S. Treasury Bills, Zero Coupon due 9/09/2021 valued at $275,394 including accrued interest(e) | 269,921 | ||||||
|
|
|
|||||||
| Total Short-Term Investments (Identified Cost $1,298,106,275) |
1,298,189,276 | |||||||
|
|
|
|||||||
| Total Investments – 90.4% (Identified Cost $1,298,106,275) |
1,298,189,276 | |||||||
| Other assets less liabilities – 9.6% | 138,558,680 | |||||||
|
|
|
|||||||
| Net Assets – 100.0% | $ | 1,436,747,956 | ||||||
|
|
|
|||||||
Consolidation
The Fund invests in commodity-related derivatives through its investment in the AlphaSimplex 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 September 30, 2020, the value of the Fund’s investment in the Subsidiary was $56,036,801, representing 3.90% 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 or subadviser 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 or subadviser 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, 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 |
||||||
| $307,186,728 |
$ | 2,304,467 | 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 September 30, 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 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 September 30, 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. |
| 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 September 30, 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 |
12/16/2020 | CHF | B | 129,250,000 | $ | 141,495,938 | $ | 140,645,573 | $ | (850,365 | ) | |||||||||||||||
| UBS AG |
12/16/2020 | CHF | S | 25,375,000 | 27,799,068 | 27,612,235 | 186,833 | |||||||||||||||||||
| UBS AG |
12/16/2020 | CHF | S | 18,500,000 | 19,983,795 | 20,131,088 | (147,293 | ) | ||||||||||||||||||
| UBS AG |
12/16/2020 | CNH | B | 757,000,000 | 109,835,851 | 111,090,620 | 1,254,769 | |||||||||||||||||||
| UBS AG |
12/16/2020 | CNH | S | 53,000,000 | 7,728,001 | 7,777,811 | (49,810 | ) | ||||||||||||||||||
| UBS AG |
12/16/2020 | MXN | B | 378,500,000 | 17,752,155 | 16,972,805 | (779,350 | ) | ||||||||||||||||||
| UBS AG |
12/16/2020 | MXN | S | 173,500,000 | 7,866,212 | 7,780,137 | 86,075 | |||||||||||||||||||
| UBS AG |
12/16/2020 | MXN | S | 238,000,000 | 10,598,368 | 10,672,464 | (74,096 | ) | ||||||||||||||||||
| UBS AG |
12/16/2020 | NOK | B | 38,000,000 | 4,022,372 | 4,074,757 | 52,385 | |||||||||||||||||||
| UBS AG |
12/16/2020 | NOK | B | 260,000,000 | 28,761,997 | 27,879,914 | (882,083 | ) | ||||||||||||||||||
| UBS AG |
12/16/2020 | NOK | S | 22,000,000 | 2,398,527 | 2,359,070 | 39,457 | |||||||||||||||||||
| UBS AG |
12/16/2020 | NOK | S | 572,000,000 | 60,239,469 | 61,335,811 | (1,096,342 | ) | ||||||||||||||||||
| UBS AG |
12/16/2020 | NZD | B | 4,400,000 | 2,879,589 | 2,910,633 | 31,044 | |||||||||||||||||||
| UBS AG |
12/16/2020 | NZD | B | 137,100,000 | 91,198,981 | 90,692,671 | (506,310 | ) | ||||||||||||||||||
| UBS AG |
12/16/2020 | PLN | B | 265,000,000 | 70,507,226 | 68,571,315 | (1,935,911 | ) | ||||||||||||||||||
| UBS AG |
12/16/2020 | PLN | S | 27,000,000 | 7,020,339 | 6,986,511 | 33,828 | |||||||||||||||||||
| UBS AG |
12/16/2020 | PLN | S | 74,000,000 | 18,912,861 | 19,148,216 | (235,355 | ) | ||||||||||||||||||
| UBS AG |
12/16/2020 | SEK | B | 34,000,000 | 3,785,855 | 3,799,940 | 14,085 | |||||||||||||||||||
| UBS AG |
12/16/2020 | SEK | B | 748,000,000 | 85,296,600 | 83,598,686 | (1,697,914 | ) | ||||||||||||||||||
| UBS AG |
12/16/2020 | SEK | S | 84,000,000 | 9,549,745 | 9,388,088 | 161,657 | |||||||||||||||||||
| UBS AG |
12/16/2020 | SEK | S | 364,000,000 | 40,088,562 | 40,681,713 | (593,151 | ) | ||||||||||||||||||
| UBS AG |
12/16/2020 | SGD | B | 188,125,000 | 137,374,573 | 137,828,988 | 454,415 | |||||||||||||||||||
| UBS AG |
12/16/2020 | SGD | B | 19,625,000 | 14,463,136 | 14,378,174 | (84,962 | ) | ||||||||||||||||||
| UBS AG |
12/16/2020 | SGD | S | 14,375,000 | 10,452,849 | 10,531,783 | (78,934 | ) | ||||||||||||||||||
| UBS AG |
12/16/2020 | TRY | S | 180,600,000 | 23,109,517 | 22,875,580 | 233,937 | |||||||||||||||||||
| UBS AG |
12/17/2020 | ZAR | B | 85,000,000 | 5,183,648 | 5,029,394 | (154,254 | ) | ||||||||||||||||||
| UBS AG |
12/17/2020 | ZAR | S | 339,000,000 | 19,737,071 | 20,058,406 | (321,335 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
| Total |
|
$ | (6,938,980 | ) | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
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, 2020, open long futures contracts were as follows:
| Financial and Currency Futures |
Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
| 10 Year Australia Government Bond |
12/15/2020 | 1,477 | $ | 157,073,135 | $ | 158,042,801 | $ | 969,666 | ||||||||||||
| 10 Year Canada Government Bond |
12/18/2020 | 1,905 | 217,455,236 | 217,189,027 | (266,209 | ) | ||||||||||||||
| 10 Year U.S. Treasury Note |
12/21/2020 | 2,945 | 410,658,897 | 410,919,531 | 260,634 | |||||||||||||||
| 2 Year U.S. Treasury Note |
12/31/2020 | 4,786 | 1,057,178,842 | 1,057,519,049 | 340,207 | |||||||||||||||
| 3 Year Australia Government Bond |
12/15/2020 | 6,151 | 515,935,064 | 516,811,085 | 876,021 | |||||||||||||||
| 30 Year U.S. Treasury Bond |
12/21/2020 | 622 | 110,425,906 | 109,646,937 | (778,969 | ) | ||||||||||||||
| 5 Year U.S. Treasury Note |
12/31/2020 | 6,198 | 780,964,906 | 781,141,688 | 176,782 | |||||||||||||||
|
AEX-Index® |
10/16/2020 | 35 | 4,559,071 | 4,494,070 | (65,001 | ) | ||||||||||||||
| Australian Dollar |
12/14/2020 | 1,428 | 104,241,754 | 102,287,640 | (1,954,114 | ) | ||||||||||||||
| British Pound |
12/14/2020 | 730 | 59,481,313 | 58,874,500 | (606,813 | ) | ||||||||||||||
| Canadian Dollar |
12/15/2020 | 615 | 46,628,512 | 46,204,950 | (423,562 | ) | ||||||||||||||
| DAX |
12/18/2020 | 43 | 16,581,371 | 16,106,441 | (474,930 | ) | ||||||||||||||
| E-mini Dow |
12/18/2020 | 270 | 37,116,470 | 37,346,400 | 229,930 | |||||||||||||||
| E-mini NASDAQ 100 |
12/18/2020 | 220 | 48,654,455 | 50,191,900 | 1,537,445 | |||||||||||||||
| E-mini Russell 2000 |
12/18/2020 | 242 | 18,176,015 | 18,203,240 | 27,225 | |||||||||||||||
| E-mini S&P 500® |
12/18/2020 | 257 | 43,782,520 | 43,073,200 | (709,320 | ) | ||||||||||||||
| E-mini S&P MidCap 400® |
12/18/2020 | 98 | 18,147,010 | 18,187,820 | 40,810 | |||||||||||||||
| Euribor |
12/14/2020 | 1,773 | 522,248,847 | 522,312,789 | 63,942 | |||||||||||||||
| Euro |
12/14/2020 | 1,791 | 265,213,462 | 262,728,506 | (2,484,956 | ) | ||||||||||||||
| Euro Schatz |
12/08/2020 | 376 | 49,508,925 | 49,502,049 | (6,876 | ) | ||||||||||||||
| EURO STOXX 50® |
12/18/2020 | 88 | 3,410,469 | 3,295,428 | (115,041 | ) | ||||||||||||||
| Euro-BTP |
12/08/2020 | 1,414 | 243,638,839 | 244,664,615 | 1,025,776 | |||||||||||||||
| Euro-Buxl® 30 Year Bond |
12/08/2020 | 187 | 47,586,946 | 48,822,169 | 1,235,223 | |||||||||||||||
| Euro-OAT |
12/08/2020 | 876 | 171,773,436 | 173,111,975 | 1,338,539 | |||||||||||||||
| Eurodollar |
3/15/2021 | 9,642 | 2,405,409,337 | 2,405,799,525 | 390,188 | |||||||||||||||
| FTSE China A50 Index |
10/29/2020 | 2,079 | 31,330,304 | 31,434,480 | 104,176 | |||||||||||||||
| FTSE/JSE Top 40 Index |
12/17/2020 | 100 | 3,128,466 | 3,007,881 | (120,585 | ) | ||||||||||||||
| German Euro BOBL |
12/08/2020 | 759 | 120,177,086 | 120,286,347 | 109,261 | |||||||||||||||
| German Euro Bund |
12/08/2020 | 490 | 99,658,758 | 100,261,808 | 603,050 | |||||||||||||||
| Indian Rupee |
10/27/2020 | 1,095 | 29,679,975 | 29,630,700 | (49,275 | ) | ||||||||||||||
| Japanese Yen |
12/14/2020 | 2,022 | 241,493,850 | 239,796,562 | (1,697,288 | ) | ||||||||||||||
| MSCI EAFE Index |
12/18/2020 | 259 | 24,406,035 | 23,998,940 | (407,095 | ) | ||||||||||||||
| Financial and Currency Futures |
Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
| Long Futures Contracts – continued |
| |||||||||||||||||||
| MSCI Emerging Markets Index |
12/18/2020 | 629 | $ | 34,344,935 | $ | 34,233,325 | $ | (111,610 | ) | |||||||||||
| Nikkei 225™ |
12/10/2020 | 106 | 23,186,578 | 23,307,637 | 121,059 | |||||||||||||||
| OMXS30® |
10/16/2020 | 1,198 | 24,274,631 | 24,496,139 | 221,508 | |||||||||||||||
| S&P/TSX 60 Index |
12/17/2020 | 138 | 19,954,262 | 19,929,706 | (24,556 | ) | ||||||||||||||
| Short-Term Euro-BTP |
12/08/2020 | 800 | 105,940,991 | 106,242,709 | 301,718 | |||||||||||||||
| Sterling |
12/16/2020 | 6,071 | 978,482,321 | 978,430,393 | (51,928 | ) | ||||||||||||||
| TOPIX |
12/10/2020 | 202 | 31,172,597 | 31,133,646 | (38,951 | ) | ||||||||||||||
| UK Long Gilt |
12/29/2020 | 1,043 | 183,458,884 | 183,181,498 | (277,386 | ) | ||||||||||||||
| Ultra Long U.S. Treasury Bond |
12/21/2020 | 275 | 61,830,937 | 60,998,437 | (832,500 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total |
|
$ | (1,523,805 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||||
| Commodity Futures1 |
Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
| Aluminum LME |
12/16/2020 | 756 | $ | 33,622,225 | $ | 33,344,325 | $ | (277,900 | ) | |||||||||||
| Cocoa |
12/15/2020 | 458 | 11,937,180 | 11,660,680 | (276,500 | ) | ||||||||||||||
| Coffee |
12/18/2020 | 220 | 10,587,431 | 9,153,375 | (1,434,056 | ) | ||||||||||||||
| Copper |
12/29/2020 | 1,054 | 77,530,887 | 79,906,375 | 2,375,488 | |||||||||||||||
| Copper LME |
12/16/2020 | 351 | 56,767,742 | 58,570,931 | 1,803,189 | |||||||||||||||
| Corn |
12/14/2020 | 624 | 11,538,150 | 11,824,800 | 286,650 | |||||||||||||||
| Cotton |
12/08/2020 | 239 | 7,766,310 | 7,861,905 | 95,595 | |||||||||||||||
| Gold |
12/29/2020 | 451 | 84,103,520 | 85,487,050 | 1,383,530 | |||||||||||||||
| Nickel LME |
12/16/2020 | 159 | 14,169,659 | 13,847,310 | (322,349 | ) | ||||||||||||||
| Platinum |
1/27/2021 | 90 | 4,413,805 | 4,091,400 | (322,405 | ) | ||||||||||||||
| Silver |
12/29/2020 | 249 | 34,504,260 | 29,250,030 | (5,254,230 | ) | ||||||||||||||
| Soybean |
11/13/2020 | 1,101 | 53,179,175 | 56,343,675 | 3,164,500 | |||||||||||||||
| Soybean Meal |
12/14/2020 | 1,230 | 39,069,130 | 42,164,400 | 3,095,270 | |||||||||||||||
| Soybean Oil |
12/14/2020 | 1,090 | 21,714,666 | 21,667,020 | (47,646 | ) | ||||||||||||||
| Sugar |
2/26/2021 | 839 | 12,697,014 | 12,695,076 | (1,938 | ) | ||||||||||||||
| Wheat |
12/14/2020 | 487 | 13,584,025 | 14,074,300 | 490,275 | |||||||||||||||
| Zinc LME |
12/16/2020 | 317 | 18,862,786 | 19,037,831 | 175,045 | |||||||||||||||
|
|
|
|||||||||||||||||||
| Total |
|
$ | 4,932,518 | |||||||||||||||||
|
|
|
|||||||||||||||||||
At September 30, 2020, open short futures contracts were as follows:
| Financial and Currency Futures |
Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
| ASX SPI 200™ |
12/17/2020 | 15 | $ | 1,567,924 | $ | 1,558,380 | $ | 9,544 | ||||||||||||
| Brazilian Real |
10/30/2020 | 257 | 4,605,015 | 4,569,460 | 35,555 | |||||||||||||||
| CAC 40® |
10/16/2020 | 104 | 6,019,005 | 5,854,088 | 164,917 | |||||||||||||||
| FTSE 100 Index |
12/18/2020 | 166 | 12,872,272 | 12,512,374 | 359,898 | |||||||||||||||
| FTSE MIB |
12/18/2020 | 37 | 4,063,124 | 4,113,569 | (50,445 | ) | ||||||||||||||
| Hang Seng China Enterprises Index |
10/29/2020 | 923 | 55,974,716 | 55,856,026 | 118,690 | |||||||||||||||
| Hang Seng Index® |
10/29/2020 | 343 | 51,765,537 | 51,847,988 | (82,451 | ) | ||||||||||||||
| IBEX 35 |
10/16/2020 | 380 | 29,735,507 | 29,986,013 | (250,506 | ) | ||||||||||||||
| MSCI Singapore |
10/29/2020 | 364 | 7,545,156 | 7,538,391 | 6,765 | |||||||||||||||
|
|
|
|||||||||||||||||||
| Total |
|
$ | 311,967 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Commodity Futures1 |
Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
| Aluminum LME |
12/16/2020 | 235 | $ | 10,400,656 | $ | 10,364,969 | $ | 35,687 | ||||||||||||
| Brent Crude Oil |
10/30/2020 | 565 | 22,963,960 | 23,899,500 | (935,540 | ) | ||||||||||||||
| Copper LME |
12/16/2020 | 65 | 10,478,813 | 10,846,469 | (367,656 | ) | ||||||||||||||
| Gasoline |
11/30/2020 | 86 | 4,208,702 | 4,208,702 | — | |||||||||||||||
| Lean Hog |
12/14/2020 | 144 | 3,216,620 | 3,634,560 | (417,940 | ) | ||||||||||||||
| Live Cattle |
12/31/2020 | 148 | 6,453,100 | 6,651,120 | (198,020 | ) | ||||||||||||||
| Low Sulfur Gasoil |
11/12/2020 | 748 | 24,644,400 | 24,964,500 | (320,100 | ) | ||||||||||||||
| Natural Gas |
10/28/2020 | 328 | 9,536,190 | 8,288,560 | 1,247,630 | |||||||||||||||
| New York Harbor ULSD |
10/30/2020 | 421 | 19,543,490 | 20,373,200 | (829,710 | ) | ||||||||||||||
| WTI Crude Oil |
10/20/2020 | 525 | 19,961,130 | 21,115,500 | (1,154,370 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total |
|
$ | (2,940,019 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||||
| 1 | Commodity futures are held by AlphaSimplex 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 September 30, 2020, at value:
Asset Valuation Inputs
| Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Short-Term Investments* |
$ | — | $ | 1,298,189,276 | $ | — | $ | 1,298,189,276 | ||||||||
| Forward Foreign Currency Contracts (unrealized appreciation) |
— | 2,548,485 | — | 2,548,485 | ||||||||||||
| Futures Contracts (unrealized appreciation) |
23,714,831 | 1,106,557 | — | 24,821,388 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 23,714,831 | $ | 1,301,844,318 | $ | — | $ | 1,325,559,149 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
Liability Valuation Inputs
| Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Forward Foreign Currency Contracts (unrealized depreciation) |
$ | — | $ | (9,487,465 | ) | $ | — | $ | (9,487,465 | ) | ||||||
| Futures Contracts (unrealized depreciation) |
(22,842,817 | ) | (1,197,910 | ) | — | (24,040,727 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (22,842,817 | ) | $ | (10,685,375 | ) | $ | — | $ | (33,528,192 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| * | Details of the major categories of the Fund’s investments are reflected within the 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 September 30, 2020, the Fund used long and short contracts on U.S. and foreign equity market indices, foreign currencies, and commodities (through investments in the Subsidiary), and long contracts on U.S. and foreign government bonds and short-term interest rates to capture the exposures suggested by the quantitative investment models.
The following is a summary of derivative instruments for the Fund, as of September 30, 2020:
| Assets |
Unrealized appreciation on forward foreign currency contracts |
Unrealized appreciation on futures contracts |
||||||
| Over-the-counter asset derivatives |
||||||||
| Foreign exchange contracts |
$ | 2,548,485 | $ | — | ||||
|
|
|
|
|
|||||
| Exchange-traded asset derivatives |
||||||||
| Interest rate contracts |
$ | — | $ | 7,691,007 | ||||
| Foreign exchange contracts |
— | 35,555 | ||||||
| Commodity contracts |
— | 14,152,859 | ||||||
| Equity contracts |
— | 2,941,967 | ||||||
|
|
|
|
|
|||||
| Total exchange-traded asset derivatives |
$ | — | $ | 24,821,388 | ||||
|
|
|
|
|
|||||
| Total asset derivatives |
$ | 2,548,485 | $ | 24,821,388 | ||||
|
|
|
|
|
|||||
| Liabilities |
Unrealized depreciation on forward foreign currency contracts |
Unrealized depreciation on futures contracts |
||||||
| Over-the-counter liability derivatives |
||||||||
| Foreign exchange contracts |
$ | (9,487,465 | ) | $ | — | |||
|
|
|
|
|
|||||
| Exchange-traded liability derivatives |
||||||||
| Interest rate contracts |
$ | — | $ | (2,213,868 | ) | |||
| Foreign exchange contracts |
— | (7,216,008 | ) | |||||
| Commodity contracts |
— | (12,160,360 | ) | |||||
| Equity contracts |
— | (2,450,491 | ) | |||||
|
|
|
|
|
|||||
| Total exchange-traded liability derivatives |
$ | — | $ | (24,040,727 | ) | |||
|
|
|
|
|
|||||
| Total liability derivatives |
$ | (9,487,465 | ) | $ | (24,040,727 | ) | ||
|
|
|
|
|
|||||
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 September 30, 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 September 30, 2020:
| Maximum Amount of Loss - Gross |
Maximum Amount of Loss - Net |
|||||||
| Over-the-counter counterparty credit risk |
||||||||
| Forward foreign currency contracts |
$ | 2,548,485 | $ | — | ||||
| Collateral pledged to UBS AG |
41,466,909 | 41,466,909 | ||||||
|
|
|
|
|
|||||
| Total over-the-counter counterparty credit risk |
44,015,394 | 41,466,909 | ||||||
|
|
|
|
|
|||||
| Exchange-traded counterparty credit risk |
||||||||
| Futures contracts |
24,821,388 | 24,821,388 | ||||||
| Margin with brokers |
158,864,125 | 158,864,125 | ||||||
|
|
|
|
|
|||||
| Total exchange-traded counterparty credit risk |
183,685,513 | 183,685,513 | ||||||
|
|
|
|
|
|||||
| Total counterparty credit risk |
$ | 227,700,907 | $ | 225,125,422 | ||||
|
|
|
|
|
|||||
Investment Summary at September 30, 2020 (Unaudited)
| Certificates of Deposit |
60.6 | % | ||
| Commercial Paper |
13.5 | |||
| Time Deposits |
8.1 | |||
| Treasuries |
6.2 | |||
| Other Notes |
2.0 | |||
| Repurchase Agreements |
0.0 | * | ||
|
|
|
|||
| Total Investments |
90.4 | |||
| Other assets less liabilities (including forward foreign currency and futures contracts) |
9.6 | |||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
| * | Less than 0.1% |