NPORT-EX 2 NPORT_262019861225580.htm HTML

Consolidated Portfolio of Investments – as of September 30, 2020 (Unaudited)

AlphaSimplex Managed Futures Strategy Fund

 

Principal
Amount

     

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
Amount

     

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%