NPORT-EX 2 NPORT_IAGC_65736989_0921.htm HTML

Consolidated Portfolio of Investments – as of September 30, 2021 (Unaudited)

AlphaSimplex Global Alternatives Fund

 

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Description

    Value (†)  

Common Stocks – 31.3% of Net Assets

 

   Aerospace & Defense – 0.3%

 

            10,240    Howmet Aerospace, Inc.    $        319,488  
1,767    Lockheed Martin Corp.      609,792  
456    Northrop Grumman Corp.      164,228  
     

 

 

  
        1,093,508  
     

 

 

  
   Air Freight & Logistics – 0.3%

 

4,960    C.H. Robinson Worldwide, Inc.      431,520  
6,919    Expeditors International of Washington, Inc.      824,260  
     

 

 

  
        1,255,780  
     

 

 

  
   Auto Components – 0.1%

 

13,831    Gentex Corp.      456,146  
     

 

 

  
   Automobiles – 0.1%

 

2,515    Ferrari NV      525,937  
     

 

 

  
   Banks – 2.7%

 

26,013    Altabancorp      1,148,734  
50,154    Atlantic Capital Bancshares, Inc.(a)      1,328,580  
30,483    Bryn Mawr Bank Corp.      1,400,694  
5,081    Citigroup, Inc.      356,585  
77,398    First Midwest Bancorp, Inc.      1,471,336  
98,409    Investors Bancorp, Inc.      1,486,960  
85,705    People’s United Financial, Inc.      1,497,266  
62,568    Sterling Bancorp      1,561,697  
7,917    Westamerica BanCorp.      445,410  
     

 

 

  
        10,697,262  
     

 

 

  
   Beverages – 0.9%

 

602    Boston Beer Co., Inc. (The), Class A(a)      306,870  
2,993    Brown-Forman Corp., Class B      200,561  
5,969    Coca-Cola Co. (The)      313,193  
17,282    Keurig Dr Pepper, Inc.      590,353  
6,359    Monster Beverage Corp.(a)      564,870  
7,527    PepsiCo, Inc.      1,132,136  
36,969    Primo Water Corp.      581,153  
     

 

 

  
        3,689,136  
     

 

 

  
   Biotechnology – 0.4%

 

10,839    AbbVie, Inc.      1,169,203  
6,177    Gilead Sciences, Inc.      431,463  
     

 

 

  
        1,600,666  
     

 

 

  
   Building Products – 0.2%

 

7,250    Masco Corp.      402,737  
2,875    Masonite International Corp.(a)      305,124  
6,578    Resideo Technologies, Inc.(a)      163,069  
     

 

 

  
        870,930  
     

 

 

  

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Description

    Value (†)  

Common Stocks – continued

 

   Capital Markets – 0.7%

 

8,405    Houlihan Lokey, Inc.    $        774,100  
1,511    Intercontinental Exchange, Inc.      173,493  
            24,434    Invesco Ltd.      589,104  
7,987    Janus Henderson Group PLC      330,103  
2,002    LPL Financial Holdings, Inc.      313,834  
1,347    Morningstar, Inc.      348,913  
916    Nasdaq, Inc.      176,806  
     

 

 

  
        2,706,353  
     

 

 

  
   Chemicals – 1.1%

 

58,002    Atotech Ltd.(a)      1,400,748  
10,622    Corteva, Inc.      446,974  
2,891    International Flavors & Fragrances, Inc.      386,584  
1,412    Linde PLC      414,252  
1,827    NewMarket Corp.      618,933  
5,279    Olin Corp.      254,712  
5,121    RPM International, Inc.      397,646  
2,196    Sherwin-Williams Co. (The)      614,287  
     

 

 

  
        4,534,136  
     

 

 

  
   Commercial Services & Supplies – 0.4%

 

7,317    Copart, Inc.(a)      1,015,014  
4,920    Republic Services, Inc.      590,695  
1,138    Waste Management, Inc.      169,972  
     

 

 

  
        1,775,681  
     

 

 

  
   Communications Equipment – 0.4%

 

8,138    Cisco Systems, Inc.      442,951  
30,195    Radware Ltd.(a)      1,018,176  
     

 

 

  
        1,461,127  
     

 

 

  
   Construction & Engineering – 0.1%

 

6,984    AECOM(a)      441,040  
     

 

 

  
   Consumer Finance – 0.2%

 

2,405    Green Dot Corp., Class A(a)      121,044  
5,393    Nelnet, Inc., Class A      427,341  
20,591    SLM Corp.      362,402  
     

 

 

  
        910,787  
     

 

 

  
   Containers & Packaging – 0.2%

 

4,857    AptarGroup, Inc.      579,683  
6,259    Silgan Holdings, Inc.      240,095  
     

 

 

  
        819,778  
     

 

 

  
   Distributors – 0.2%

 

3,646    Genuine Parts Co.      442,005  
8,681    LKQ Corp.(a)      436,828  
     

 

 

  
        878,833  
     

 

 

  

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Description

    Value (†)  

Common Stocks – continued

 

   Diversified Consumer Services – 0.1%

 

6,931    Service Corp. International    $        417,662  
     

 

 

  
   Diversified Financial Services – 0.2%

 

2    Berkshire Hathaway, Inc., Class A(a)      822,758  
     

 

 

  
   Diversified Telecommunication Services – 0.2%

 

5,347    AT&T, Inc.      144,422  
11,272    Verizon Communications, Inc.      608,801  
     

 

 

  
        753,223  
     

 

 

  
   Electric Utilities – 0.7%

 

3,704    Alliant Energy Corp.      207,350  
6,882    American Electric Power Co., Inc.      558,681  
3,008    Avangrid, Inc.      146,189  
2,148    Duke Energy Corp.      209,623  
2,462    Eversource Energy      201,293  
            17,715    Exelon Corp.      856,343  
1,494    IDACORP, Inc.      154,450  
3,270    Southern Co. (The)      202,642  
3,264    Xcel Energy, Inc.      204,000  
     

 

 

  
        2,740,571  
     

 

 

  
   Electrical Equipment – 0.1%

 

3,309    AMETEK, Inc.      410,349  
     

 

 

  
   Electronic Equipment, Instruments & Components – 0.1%

 

2,950    Amphenol Corp., Class A      216,028  
18,672    Flex Ltd.(a)      330,121  
     

 

 

  
        546,149  
     

 

 

  
   Energy Equipment & Services – 0.0%

 

8,154    Helix Energy Solutions Group, Inc.(a)      31,638  
     

 

 

  
   Entertainment – 0.3%

 

2,974    Electronic Arts, Inc.      423,051  
18,493    Lions Gate Entertainment Corp., Class A(a)      262,416  
2,235    Walt Disney Co. (The)(a)      378,095  
     

 

 

  
        1,063,562  
     

 

 

  
   Food & Staples Retailing – 0.4%

 

1,095    Costco Wholesale Corp.      492,038  
4,837    Sysco Corp.      379,705  
8,281    U.S. Foods Holding Corp.(a)      287,019  
2,532    Walmart, Inc.      352,910  
     

 

 

  
        1,511,672  
     

 

 

  
   Food Products – 1.4%

 

12,440    Cal-Maine Foods, Inc.      449,830  
4,163    Campbell Soup Co.      174,055  
14,942    Conagra Brands, Inc.      506,086  
7,628    Flowers Foods, Inc.      180,250  
3,074    General Mills, Inc.      183,887  

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Description

    Value (†)  

Common Stocks – continued

 

   Food Products – continued

 

9,896    Hain Celestial Group, Inc. (The)(a)    $        423,351  
964    Hershey Co. (The)      163,157  
4,245    Hormel Foods Corp.      174,045  
            27,238    Hostess Brands, Inc.(a)      473,124  
1,483    J.M. Smucker Co. (The)      178,005  
2,808    Kellogg Co.      179,487  
840    Lancaster Colony Corp.      141,800  
2,099    McCormick & Co., Inc.      170,082  
21,974    Mondelez International, Inc., Class A      1,278,447  
16,674    Nomad Foods Ltd.(a)      459,535  
4,095    Post Holdings, Inc.(a)      451,105  
26,200    SunOpta, Inc.(a)      233,966  
     

 

 

  
        5,820,212  
     

 

 

  
   Gas Utilities – 0.1%

 

6,564    Atmos Energy Corp.      578,945  
     

 

 

  
   Health Care Equipment & Supplies – 1.0%

 

7,554    Baxter International, Inc.      607,568  
658    Becton Dickinson & Co.      161,749  
831    Cooper Cos., Inc. (The)      343,461  
3,415    Danaher Corp.      1,039,663  
4,752    Medtronic PLC      595,663  
5,883    Merit Medical Systems, Inc.(a)      422,399  
2,026    Novocure Ltd.(a)      235,360  
1,094    ResMed, Inc.      288,324  
749    STERIS PLC      153,006  
     

 

 

  
        3,847,193  
     

 

 

  
   Health Care Providers & Services – 0.4%

 

2,287    Encompass Health Corp.      171,616  
640    Laboratory Corp. of America Holdings(a)      180,122  
7,763    MEDNAX, Inc.(a)      220,702  
6,999    Quest Diagnostics, Inc.      1,017,025  
     

 

 

  
        1,589,465  
     

 

 

  
   Health Care Technology – 0.5%

 

23,057    Cerner Corp.      1,625,980  
10,709    Evolent Health, Inc., Class A(a)      331,979  
     

 

 

  
        1,957,959  
     

 

 

  
   Hotels, Restaurants & Leisure – 0.9%

 

222    Chipotle Mexican Grill, Inc.(a)      403,489  
1,185    Domino’s Pizza, Inc.      565,198  
3,117    Hilton Worldwide Holdings, Inc.(a)      411,787  
4,829    McDonald’s Corp.      1,164,320  
2,743    Papa John’s International, Inc.      348,334  
14,540    Wendy’s Co. (The)      315,227  
3,376    Yum! Brands, Inc.      412,918  
     

 

 

  
        3,621,273  
     

 

 

  

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Description

    Value (†)  

Common Stocks – continued

 

   Household Durables – 0.3%

 

5,042    Garmin Ltd.    $        783,829  
            16,904    Newell Brands, Inc.      374,255  
     

 

 

  
        1,158,084  
     

 

 

  
   Household Products – 0.5%

 

2,099    Church & Dwight Co., Inc.      173,314  
2,265    Clorox Co. (The)      375,107  
7,935    Colgate-Palmolive Co.      599,727  
1,221    Kimberly-Clark Corp.      161,709  
5,117    Procter & Gamble Co. (The)      715,357  
     

 

 

  
        2,025,214  
     

 

 

  
   Independent Power & Renewable Electricity Producers – 0.1%

 

5,383    NextEra Energy Partners LP      405,663  
     

 

 

  
   Industrial Conglomerates – 0.4%

 

5,648    3M Co.      990,772  
3,540    General Electric Co.      364,726  
320    Roper Technologies, Inc.      142,762  
     

 

 

  
        1,498,260  
     

 

 

  
   Insurance – 1.2%

 

3,494    Aon PLC, Class A      998,480  
1,246    Arthur J. Gallagher & Co.      185,218  
19,728    Athene Holding Ltd., Class A(a)      1,358,667  
3,109    Brown & Brown, Inc.      172,394  
8,039    Marsh & McLennan Cos., Inc.      1,217,346  
4,832    Progressive Corp. (The)      436,765  
402    White Mountains Insurance Group Ltd.      429,983  
     

 

 

  
        4,798,853  
     

 

 

  
   Interactive Media & Services – 0.6%

 

471    Alphabet, Inc., Class A(a)      1,259,228  
1,099    Facebook, Inc., Class A(a)      372,990  
1,995    IAC/InterActiveCorp.(a)      259,929  
6,650    Pinterest, Inc., Class A(a)      338,817  
3,305    Snap, Inc., Class A(a)      244,140  
     

 

 

  
        2,475,104  
     

 

 

  
   Internet & Direct Marketing Retail – 0.4%

 

366    Amazon.com, Inc.(a)      1,202,325  
4,965    Farfetch Ltd., Class A(a)      186,088  
142    MercadoLibre, Inc.(a)      238,475  
     

 

 

  
        1,626,888  
     

 

 

  
   IT Services – 1.4%

 

1,282    Accenture PLC, Class A      410,138  
11,232    Amdocs Ltd.      850,375  
3,919    Broadridge Financial Solutions, Inc.      653,062  
9,292    CSG Systems International, Inc.      447,874  
6,137    Fiserv, Inc.(a)      665,865  
83,563    GreenSky, Inc., Class A(a)      934,234  

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Description

    Value (†)  

Common Stocks – continued

 

   IT Services – continued

 

5,281    MAXIMUS, Inc.    $        439,379  
2,965    Paychex, Inc.      333,414  
2,817    VeriSign, Inc.(a)      577,513  
1,454    Visa, Inc., Class A      323,879  
102    Wix.com Ltd.(a)      19,989  
     

 

 

  
        5,655,722  
     

 

 

  
   Leisure Products – 0.1%

 

8,502    Acushnet Holdings Corp.      397,043  
2,159    Brunswick Corp.      205,688  
     

 

 

  
        602,731  
     

 

 

  
   Life Sciences Tools & Services – 0.4%

 

10,011    Agilent Technologies, Inc.      1,577,033  
     

 

 

  
   Machinery – 0.6%

 

5,696    Graco, Inc.      398,549  
669    IDEX Corp.      138,449  
3,106    Illinois Tool Works, Inc.      641,793  
            28,125    Titan International, Inc.(a)      201,375  
8,116    Toro Co. (The)      790,580  
11,430    Trinity Industries, Inc.      310,553  
     

 

 

  
        2,481,299  
     

 

 

  
   Media – 0.7%

 

16,004    Altice USA, Inc., Class A(a)      331,603  
476    Charter Communications, Inc., Class A(a)      346,318  
20,377    Comcast Corp., Class A      1,139,686  
4,862    Liberty Broadband Corp.(a)      818,518  
     

 

 

  
        2,636,125  
     

 

 

  
   Multi-Utilities – 0.4%

 

2,449    Ameren Corp.      198,369  
3,341    CMS Energy Corp.      199,558  
8,184    Consolidated Edison, Inc.      594,077  
2,324    Dominion Energy, Inc.      169,699  
2,707    Public Service Enterprise Group, Inc.      164,856  
2,346    WEC Energy Group, Inc.      206,917  
     

 

 

  
        1,533,476  
     

 

 

  
   Multiline Retail – 0.3%

 

3,365    Dollar General Corp.      713,851  
1,936    Target Corp.      442,899  
     

 

 

  
        1,156,750  
     

 

 

  
   Oil, Gas & Consumable Fuels – 0.9%

 

4,928    Cheniere Energy, Inc.(a)      481,318  
18,563    Cimarex Energy Co.      1,618,693  
16,868    Enviva Partners LP      912,390  
10,183    New Fortress Energy, Inc.      282,578  

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Description

    Value (†)  

Common Stocks – continued

 

   Oil, Gas & Consumable Fuels – continued

 

263    Texas Pacific Land Corp.    $        318,062  
     

 

 

  
        3,613,041  
     

 

 

  
   Personal Products – 0.1%

 

1,981    Estee Lauder Cos., Inc. (The), Class A      594,161  
     

 

 

  
   Pharmaceuticals – 0.7%

 

9,871    Bristol-Myers Squibb Co.      584,067  
            10,115    Elanco Animal Health, Inc.(a)      322,567  
3,661    Johnson & Johnson      591,251  
2,445    Merck & Co., Inc.      183,644  
13,669    Pfizer, Inc.      587,904  
2,118    Zoetis, Inc.      411,189  
     

 

 

  
        2,680,622  
     

 

 

  
   Professional Services – 0.6%

 

14,467    Booz Allen Hamilton Holding Corp.      1,147,956  
18,468    Nielsen Holdings PLC      354,401  
5,399    Upwork, Inc.(a)      243,117  
3,473    Verisk Analytics, Inc.      695,538  
     

 

 

  
        2,441,012  
     

 

 

  
   Real Estate Management & Development – 0.1%

 

3,895    CBRE Group, Inc., Class A(a)      379,217  
945    Howard Hughes Corp. (The)(a)      82,981  
     

 

 

  
        462,198  
     

 

 

  
   REITs - Diversified – 0.1%

 

5,865    CyrusOne, Inc.      454,010  
     

 

 

  
   REITs - Mortgage – 0.1%

 

25,009    AGNC Investment Corp.      394,392  
     

 

 

  
   REITs - Office Property – 0.6%

 

1,088    Alexandria Real Estate Equities, Inc.      207,884  
10,069    Easterly Government Properties, Inc.      208,026  
33,677    Equity Commonwealth(a)      874,929  
28,106    VEREIT, Inc.      1,271,234  
     

 

 

  
        2,562,073  
     

 

 

  
   REITs - Shopping Centers – 0.5%

 

18,023    NETSTREIT Corp.      426,244  
108,678    Retail Properties of America, Inc., Class A      1,399,773  
     

 

 

  
        1,826,017  
     

 

 

  
   REITs - Storage – 0.1%

 

3,364    CubeSmart      162,986  
555    Public Storage      164,890  
     

 

 

  
        327,876  
     

 

 

  
   REITs - Warehouse/Industrials – 0.1%

 

6,655    Terreno Realty Corp.      420,796  
     

 

 

  

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Description

    Value (†)  

Common Stocks – continued

 

   Road & Rail – 0.2%

 

            22,710    Heartland Express, Inc.    $        363,814  
1,574    Union Pacific Corp.      308,520  
     

 

 

  
        672,334  
     

 

 

  
   Semiconductors & Semiconductor Equipment – 0.6%

 

1,391    Enphase Energy, Inc.(a)      208,608  
7,282    Intel Corp.      387,985  
1,715    ON Semiconductor Corp.(a)      78,496  
1,080    SolarEdge Technologies, Inc.(a)      286,438  
1,096    Texas Instruments, Inc.      210,662  
7,765    Xilinx, Inc.      1,172,437  
     

 

 

  
        2,344,626  
     

 

 

  
   Software – 2.2%

 

13,217    ACI Worldwide, Inc.(a)      406,158  
5,909    Black Knight, Inc.(a)      425,448  
14,233    Box, Inc., Class A(a)      336,895  
7,184    Check Point Software Technologies Ltd.(a)      812,079  
5,212    CommVault Systems, Inc.(a)      392,516  
8,451    Five9, Inc.(a)      1,349,963  
1,083    Intuit, Inc.      584,289  
2,761    Microsoft Corp.      778,381  
7,001    NCR Corp.(a)      271,359  
3,637    New Relic, Inc.(a)      261,028  
16,303    NortonLifeLock, Inc.      412,466  
7,054    Open Text Corp.      343,812  
6,781    Oracle Corp.      590,829  
3,023    Pegasystems, Inc.      384,223  
2,691    PTC, Inc.(a)      322,355  
571    ServiceNow, Inc.(a)      355,316  
338    Tyler Technologies, Inc.(a)      155,024  
6,954    Vonage Holdings Corp.(a)      112,098  
2,072    Workiva, Inc.(a)      292,069  
1,164    Zscaler, Inc.(a)      305,224  
     

 

 

  
        8,891,532  
     

 

 

  
   Specialty Retail – 0.6%

 

241    AutoZone, Inc.(a)      409,216  
2,976    Best Buy Co., Inc.      314,593  
1,877    Home Depot, Inc. (The)      616,144  
1,899    Lowe’s Cos., Inc.      385,231  
859    O’Reilly Automotive, Inc.(a)      524,900  
     

 

 

  
        2,250,084  
     

 

 

  
   Technology Hardware, Storage & Peripherals – 0.1%

 

4,134    Seagate Technology Holdings PLC      341,138  
     

 

 

  
   Textiles, Apparel & Luxury Goods – 0.1%

 

3,335    NIKE, Inc., Class B      484,342  
     

 

 

  

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Description

    Value (†)  

Common Stocks – continued

 

   Thrifts & Mortgage Finance – 0.8%

 

            19,835    Columbia Financial, Inc.(a)    $        366,948  
27,921    Flagstar Bancorp, Inc.      1,417,828  
73,549    Meridian Bancorp, Inc.      1,526,877  
     

 

 

  
        3,311,653  
     

 

 

  
   Tobacco – 0.1%

 

5,027    Philip Morris International, Inc.      476,509  
     

 

 

  
   Trading Companies & Distributors – 0.3%

 

787    W.W. Grainger, Inc.      309,338  
3,081    Watsco, Inc.      815,294  
     

 

 

  
        1,124,632  
     

 

 

  
   Water Utilities – 0.0%

 

972    American Water Works Co., Inc.      164,307  
     

 

 

  
   Wireless Telecommunication Services – 0.3%

 

10,546    T-Mobile US, Inc.(a)      1,347,357  
     

 

 

  
   Total Common Stocks
(Identified Cost $117,019,932)		      126,245,645  
     

 

 

  

Closed-End Investment Companies – 0.3%

 

76,458    Golub Capital BDC, Inc.
(Identified Cost $1,116,808)		      1,208,801  
     

 

 

  

Principal
Amount

            

Short-Term Investments – 53.3%

 

   Certificates of Deposit – 32.0%

 

$   19,000,000    Sumitomo Mitsui Trust (NY),
0.060%, 10/06/2021		      18,999,937  
15,000,000    DNB Nor Bank ASA (NY),
0.050%, 10/07/2021		      15,000,000  
6,000,000    Nordea Bank ABP (NY),
0.090%, 10/14/2021		      6,000,039  
10,000,000    Nordea Bank ABP (NY),
0.150%, 11/08/2021(b)		      10,000,758  
16,000,000    Skandinaviska Enskilda Banken (NY),
0.110%, 11/17/2021		      16,000,725  
15,000,000    Sumitomo Mitsui Banking Corp. (NY),
0.120%, 1/18/2022(b)		      14,999,541  
10,000,000    Canadian Imperial Bank of Commerce (NY),
0.210%, 1/26/2022(b)		      10,003,273  
10,000,000    Cooperatieve Rabobank U.A.,
0.120%, 2/15/2022		      10,000,152  
3,000,000    Cooperatieve Rabobank U.A.,
0.120%, 2/15/2022		      3,000,046  
15,000,000    Toronto-Dominion Bank (NY),
0.140%, 2/17/2022(b)		      15,001,748  
5,000,000    Bank of Nova Scotia (NY),
0.220%, 4/14/2022(b)		      5,002,254  

Principal
Amount

   

Description

    Value (†)  

Certificates of Deposit – continued

 

$     5,000,000    Bank of Montreal (IL),
0.200%, 6/23/2022		    $     5,001,140  
     

 

 

  
        129,009,613  
     

 

 

  
   Treasuries – 1.3%

 

4,500,000    U.S. Treasury Bills,
0.040%-0.045%, 10/07/2021(c)(d)(e)(f)		      4,499,972  
1,000,000    U.S. Treasury Bills,
0.045%, 11/04/2021(c)(d)(f)		      999,929  
     

 

 

  
        5,499,901  
     

 

 

  
   Repurchase Agreements – 20.0%

 

     80,614,969    Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2021 at 0.000% to be repurchased at $ 80,614,969 on 10/01/2021 collateralized by $76,499,000 U.S. Treasury Note, 1.625% due 12/15/2022 valued at $78,237,033; $3,564,400 U.S. Treasury Inflation Indexed Note, 0.125% due 7/15/2031 valued at $3,990,391 including accrued interest(f)(g)      80,614,969  
     

 

 

  
   Total Short-Term Investments
(Identified Cost $215,114,895)		      215,124,483  
     

 

 

  
   Total Investments – 84.9%
(Identified Cost $333,251,635)		      342,578,929  
   Other assets less liabilities – 15.1%      60,995,028  
     

 

 

  
   Net Assets – 100.0%    $ 403,573,957  
     

 

 

  

Consolidation

The Fund invests in commodity-related derivatives through its investment in the AlphaSimplex Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of September 30, 2021, the value of the Fund’s investment in the Subsidiary was $9,869,070, representing 2.45% of the Fund’s net assets.

(†)

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

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

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

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

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

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

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

As of September 30, 2021, 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

$50,582,110    $778,439    0.19%

 

*

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)

Non-income producing security.

(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)

A portion of the security is held by AlphaSimplex Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary.

(g)

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, 2021, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

REITs

Real Estate Investment Trusts

SLM

Sallie Mae

CHF

Swiss Franc

NOK

Norwegian Krone

NZD

New Zealand Dollar

PLN

Polish Zloty

SEK

Swedish Krona

SGD

Singapore Dollar

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, 2021, 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

    12/15/2021    CHF    B      36,000,000      $ 39,407,151      $ 38,699,362      $ (707,789 ) 

UBS AG

    12/15/2021    CHF    S      14,250,000        15,399,249        15,318,497        80,752  

UBS AG

    12/15/2021    CHF    S      11,375,000        12,223,649        12,227,923        (4,274 ) 

UBS AG

    12/15/2021    NOK    B      132,000,000        15,217,980        15,091,030        (126,950 ) 

UBS AG

    12/15/2021    NOK    S      36,000,000        4,144,632        4,115,735        28,897  

UBS AG

    12/15/2021    NOK    S      6,000,000        685,239        685,956        (717 ) 

UBS AG

    12/15/2021    NZD    B      3,900,000        2,677,806        2,690,889        13,083  

UBS AG

    12/15/2021    NZD    B      22,500,000        15,949,543        15,524,360        (425,183 ) 

UBS AG

    12/15/2021    NZD    S      80,100,000        56,929,854        55,266,725        1,663,129  

UBS AG

    12/15/2021    PLN    S      3,500,000        918,672        879,796        38,876  

UBS AG

    12/15/2021    SEK    B      200,000,000        23,383,548        22,860,559        (522,989 ) 

UBS AG

    12/15/2021    SEK    S      170,000,000        19,641,466        19,431,475        209,991  

UBS AG

    12/15/2021    SGD    S      2,750,000        2,019,572        2,025,023        (5,451 ) 

UBS AG

    12/15/2021    ZAR    B      9,000,000        620,111        591,813        (28,298 ) 

UBS AG

    12/15/2021    ZAR    S      9,000,000        596,734        591,813        4,921  

UBS AG

    12/15/2021    ZAR    S      7,000,000        458,188        460,298        (2,110 ) 
                    

 

 

  

Total

 

    $ 215,888  
                    

 

 

  

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, 2021, 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

      12/15/2021        384      $ 40,087,011      $ 39,274,582      $ (812,429 ) 

2 Year U.S. Treasury Note

      12/31/2021        941        207,186,592        207,071,461        (115,131 ) 

3 Year Australia Government Bond

      12/15/2021        156        13,157,319        13,131,904        (25,415 ) 

5 Year U.S. Treasury Note

      12/31/2021        263        32,503,422        32,281,196        (222,226 ) 

AEX-Index®

      10/15/2021        10        1,830,193        1,784,623        (45,570 ) 

ASX SPI 200™

      12/16/2021        10        1,336,047        1,318,118        (17,929 ) 

Australian Dollar

      12/13/2021        389        28,448,660        28,140,260        (308,400 ) 

Brazilian Real

      10/29/2021        66        1,229,905        1,206,480        (23,425 ) 

British Pound

      12/13/2021        205        17,739,275        17,264,844        (474,431 ) 

CAC 40®

      10/15/2021        20        1,529,705        1,510,025        (19,680 ) 

Canadian Dollar

      12/14/2021        563        44,407,405        44,471,370        63,965  

DAX

      12/17/2021        24        10,878,093        10,625,312        (252,781 ) 

E-mini NASDAQ 100

      12/17/2021        5        1,555,141        1,468,250        (86,891 ) 

E-mini Russell 2000

      12/17/2021        1,099        123,367,760        120,933,960        (2,433,800 ) 

E-mini S&P MidCap 400®

      12/17/2021        4        1,084,620        1,053,280        (31,340 ) 

Euribor

      3/14/2022        49        14,262,864        14,262,864        —    

Euro Schatz

      12/08/2021        97        12,616,898        12,607,347        (9,551 ) 

EURO STOXX 50®

      12/17/2021        97        4,660,409        4,548,330        (112,079 ) 

Euro-BTP

      12/08/2021        341        60,715,756        60,019,842        (695,914 ) 

Euro-Buxl® 30 Year Bond

      12/08/2021        7        1,707,709        1,648,772        (58,937 ) 

Euro-OAT

      12/08/2021        62        12,049,225        11,918,146        (131,079 ) 

Eurodollar

      3/14/2022        32        7,988,000        7,988,400        400  

FTSE 100 Index

      12/17/2021        150        14,210,882        14,296,253        85,371  

FTSE MIB

      12/17/2021        7        1,039,625        1,028,679        (10,946 ) 

FTSE Taiwan Index

      10/28/2021        16        970,210        946,560        (23,650 ) 

FTSE/JSE Top 40 Index

      12/15/2021        26        1,012,265        1,004,536        (7,729 ) 

German Euro BOBL

      12/08/2021        50        7,866,644        7,814,808        (51,836 ) 

German Euro Bund

      12/08/2021        267        53,051,835        52,521,832        (530,003 ) 

Hang Seng Index®

      10/28/2021        20        3,125,381        3,150,302        24,921  

IBEX 35

      10/15/2021        10        1,019,684        1,021,248        1,564  

Indian Rupee

      10/27/2021        211        5,719,788        5,664,928        (54,860 ) 

                                                                                                        

Financial and Currency Futures

    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

MSCI EAFE Index

      12/17/2021        14      $ 1,661,538      $ 1,586,900      $ (74,638 ) 

MSCI Emerging Markets Index

      12/17/2021        158        10,405,590        9,840,240        (565,350 ) 

MSCI Singapore

      10/28/2021        50        1,314,166        1,301,738        (12,428 ) 

Nikkei 225™

      12/09/2021        4        1,033,739        1,058,807        25,068  

OMXS30®

      10/15/2021        63        1,677,599        1,621,525        (56,074 ) 

S&P/TSX 60 Index

      12/16/2021        9        1,749,034        1,699,811        (49,223 ) 

Short-Term Euro-BTP

      12/08/2021        50        6,594,486        6,585,798        (8,688 ) 

TOPIX

      12/09/2021        33        5,914,322        6,020,621        106,299  

U.S. Dollar Index

      12/13/2021        245        22,543,690        23,088,800        545,110  
              

 

 

  

Total

 

    $ (6,469,735 ) 
              

 

 

  

Commodity Futures1

    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

Aluminum LME

      12/15/2021        135      $ 8,735,167      $ 9,643,219      $ 908,052  

Brent Crude Oil

      10/29/2021        182        12,939,390        14,252,420        1,313,030  

Copper LME

      12/15/2021        107        25,483,006        23,904,469        (1,578,537 ) 

Corn

      12/14/2021        251        6,560,800        6,736,212        175,412  

Gasoline

      11/30/2021        22        1,958,644        1,992,236        33,592  

Gold

      12/29/2021        46        8,094,120        8,082,200        (11,920 ) 

Live Cattle

      12/31/2021        86        4,371,680        4,324,940        (46,740 ) 

Low Sulfur Gasoil

      11/11/2021        62        3,940,375        4,188,100        247,725  

Nickel LME

      12/15/2021        58        6,791,876        6,241,902        (549,974 ) 

Silver

      12/29/2021        31        3,660,300        3,417,285        (243,015 ) 

Soybean

      11/12/2021        28        1,794,337        1,758,400        (35,937 ) 

Soybean Oil

      12/14/2021        147        5,080,848        5,176,458        95,610  

WTI Crude Oil

      11/19/2021        64        4,796,840        4,780,800        (16,040 ) 

Zinc LME

      12/15/2021        157        11,944,790        11,723,975        (220,815 ) 
              

 

 

  

Total

 

    $ 70,443  
              

 

 

  

At September 30, 2021, open short futures contracts were as follows:

 

                                                                                                        

Financial and Currency Futures

    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

10 Year Canada Government Bond

      12/20/2021        336      $ 38,574,814      $ 37,974,419      $ 600,395  

10 Year U.S. Treasury Note

      12/21/2021        524        69,859,422        68,963,313        896,109  

3-month SONIA Index

      6/14/2022        26        8,726,134        8,725,696        438  

30 Year U.S. Treasury Bond

      12/21/2021        116        18,937,398        18,469,375        468,023  

E-mini S&P 500®

      12/17/2021        62        13,637,810        13,323,025        314,785  

Euro

      12/13/2021        10        1,465,188        1,450,000        15,188  

Japanese Yen

      12/13/2021        145        16,437,356        16,278,062        159,294  

Mexican Peso

      12/13/2021        497        12,342,065        11,925,515        416,550  

UK Long Gilt

      12/29/2021        251        43,240,807        42,325,410        915,397  
              

 

 

  

Total

 

    $ 3,786,179   
              

 

 

  

                                                                                                        

Commodity Futures1

    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

Aluminum LME

      12/15/2021        37      $ 2,676,325      $ 2,642,956      $ 33,369  

Cocoa

      12/15/2021        106        2,722,750        2,811,120        (88,370 ) 

Coffee

      12/20/2021        9        600,487        654,750        (54,263 ) 

Copper

      12/29/2021        25        2,593,025        2,555,625        37,400  

Copper LME

      12/15/2021        47        11,018,230        10,500,094        518,136  

Cotton

      12/08/2021        45        2,046,840        2,380,500        (333,660 ) 

Natural Gas

      10/27/2021        23        1,161,800        1,349,410        (187,610 ) 

New York Harbor ULSD

      10/29/2021        70        6,378,007        6,875,190        (497,183 ) 

Nickel LME

      12/15/2021        33        3,834,762        3,551,427        283,335  

Soybean Meal

      12/14/2021        284        9,948,070        9,335,080        612,990  

Sugar

      2/28/2022        123        2,830,688        2,802,038        28,650  

Wheat

      12/14/2021        105        3,852,837        3,808,875        43,962  

Zinc LME

      12/15/2021        160        12,110,101        11,948,000        162,101  
              

 

 

  

Total

 

    $ 558,857  
              

 

 

  

 

1 

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

Swap Agreements

The Fund may enter into equity basket total return swap agreements. An equity basket total return swap is an agreement between two parties to exchange, for a specified period and based on the notional amount, the total return on an underlying basket of equity securities for, typically, fixed or floating interest payments. When a Fund pays interest in exchange for the total return of an underlying asset and the value of the underlying asset decreases, the Fund may be required to pay the change in value to the counterparty in addition to the interest payment; conversely, when a Fund receives interest in exchange for the total return of an underlying asset and the value of the underlying asset decreases, the Fund may receive the change in value in addition to the interest payment. The Fund receives net interest or pays net total return depending on whether the values of the underlying assets decrease or increase. Dividends declared on short reference entity common stocks are accrued and paid to the counterparty. Equity basket total return swap agreements typically reset on a monthly basis.

Equity basket total return swap agreements are valued daily, and fluctuations in value are recorded as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement. Payments made or received by the Fund as a result of a reset or termination of the agreement are recorded as realized gain or loss.

Equity basket total return swap agreements are privately negotiated in the over-the-counter market and are entered into as bilateral contracts. Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. Bilateral swap agreements may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts. The Fund covers its net obligations under outstanding equity basket total return swap agreements by segregating or earmarking cash or securities.

At September 30, 2021, the Fund had the following open swap agreements:

Bilateral Equity Basket Total Return Swaps (a)

 

Reference Entity

   

Counterparty

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

Equity Securities Short

    Morgan Stanley Capital Services LLC      5/19/2022      $ (133,170,715 )    $ —        $ (133,170,715 )      (33.0 %) 
        

 

 

    

 

 

     

 

 

    

 

(a)

The Fund receives or pays, on a monthly basis, the total return on a portfolio of short equity positions net of one day U.S. Federal Funds Effective Rate minus a spread of 0.45%-0.83% as calculated on the notional amount.

The following table represents the reference entities underlying the total return swap with Morgan Stanley Capital Services LLC as of September 30, 2021:

 

                                                                                         

Common Stocks – Short

    Shares      Value      % of Basket Value  

Aerospace & Defense

         

Boeing Co. (The)

      (2,463 )     $ (541,712 )       (0.4 %) 

Hexcel Corp.

      (5,981 )       (355,212 )       (0.3 %) 

Huntington Ingalls Industries, Inc.

      (2,751 )       (531,108 )       (0.4 %) 

Maxar Technologies, Inc.

      (28,606 )       (810,122 )       (0.6 %) 

Spirit AeroSystems Holdings, Inc., Class A

      (12,925 )       (571,156 )       (0.4 %) 

Triumph Group, Inc.

      (8,164 )       (152,095 )       (0.1 %) 
     

 

 

     
        (2,961,405 )    

Airlines

         

Copa Holdings S.A., Class A

      (4,820 )       (392,252 )       (0.3 %) 

Delta Air Lines, Inc.

      (16,815 )       (716,487 )       (0.5 %) 

JetBlue Airways Corp.

      (48,231 )       (737,452 )       (0.6 %) 

United Airlines Holdings, Inc.

      (18,419 )       (876,192 )       (0.7 %) 
     

 

 

     
     (2,722,383 )    

Auto Components

         

American Axle & Manufacturing Holdings, Inc.

      (22,141 )       (195,062 )       (0.1 %) 

Patrick Industries, Inc.

      (2,006 )       (167,100 )       (0.1 %) 
     

 

 

     
     (362,162 )    

Automobiles

         

Harley-Davidson, Inc.

      (11,971 )       (438,258 )       (0.3 %) 
     

 

 

     

Banks

         

Berkshire Hills Bancorp, Inc.

      (15,350 )       (414,143 )       (0.3 %) 

Citizens Financial Group, Inc.

      (29,227 )       (1,373,084 )       (1.0 %) 

Dime Community Bancshares, Inc.

      (11,353 )       (370,789 )       (0.3 %) 

Glacier Bancorp, Inc.

      (21,008 )       (1,162,793 )       (0.9 %) 

Independent Bank Corp.

      (20,128 )       (1,532,747 )       (1.2 %) 

M & T Bank Corp.

      (10,152 )       (1,516,100 )       (1.1 %) 

Old National Bancorp

      (87,738 )       (1,487,159 )       (1.1 %) 

Pacific Premier Bancorp, Inc.

      (16,206 )       (671,577 )       (0.5 %) 

South State Corp.

      (24,883 )       (1,858,014 )       (1.4 %) 

Webster Financial Corp.

      (28,968 )       (1,577,597 )       (1.2 %) 

Wells Fargo & Co.

      (11,067 )       (513,619 )       (0.4 %) 
     

 

 

     
     (12,477,622 )    

Biotechnology

         

Allogene Therapeutics, Inc.

      (12,644 )       (324,951 )       (0.2 %) 

Arena Pharmaceuticals, Inc.

      (4,772 )       (284,173 )       (0.2 %) 

Biogen, Inc.

      (1,296 )       (366,755 )       (0.3 %) 

Emergent BioSolutions, Inc.

      (7,614 )       (381,233 )       (0.3 %) 

Exelixis, Inc.

      (27,318 )       (577,502 )       (0.4 %) 

Insmed, Inc.

      (27,652 )       (761,536 )       (0.6 %) 

Iovance Biotherapeutics, Inc.

      (19,998 )       (493,151 )       (0.4 %) 

TG Therapeutics, Inc.

      (46,336 )       (1,542,062 )       (1.2 %) 
     

 

 

     
     (4,731,363 )    

                                                                                         

Common Stocks – Short

    Shares      Value      % of Basket Value  

Building Products

         

JELD-WEN Holding, Inc.

      (63,030 )       (1,577,641 )       (1.2 %) 
     

 

 

     

Capital Markets

         

Ameriprise Financial, Inc.

      (2,315 )       (611,438 )       (0.5 %) 

Apollo Global Management, Inc.

      (22,667 )       (1,396,061 )       (1.0 %) 

AssetMark Financial Holdings, Inc.

      (24,475 )       (608,693 )       (0.5 %) 

Focus Financial Partners, Inc., Class A

      (5,540 )       (290,130 )       (0.2 %) 

Goldman Sachs Group, Inc. (The)

      (2,506 )       (947,343 )       (0.7 %) 
     

 

 

     
     (3,853,665 )    

Chemicals

         

Albemarle Corp.

      (2,070 )       (453,268 )       (0.3 %) 

Chemours Co. (The)

      (28,150 )       (818,039 )       (0.6 %) 

Livent Corp.

      (11,158 )       (257,861 )       (0.2 %) 

Mosaic Co. (The)

      (12,378 )       (442,142 )       (0.3 %) 

Tronox Holdings PLC, Class A

      (11,341 )       (279,556 )       (0.2 %) 
     

 

 

     
     (2,250,866 )    

Commercial Services & Supplies

         

Deluxe Corp.

      (16,298 )       (584,935 )       (0.4 %) 
     

 

 

     

Communications Equipment

         

ViaSat, Inc.

      (10,833 )       (596,573 )       (0.4 %) 
     

 

 

     

Consumer Finance

         

LendingClub Corp.

      (13,203 )       (372,853 )       (0.3 %) 
     

 

 

     

Diversified Consumer Services

         

2U, Inc.

      (19,685 )       (660,826 )       (0.5 %) 

Strategic Education, Inc.

      (7,872 )       (554,976 )       (0.4 %) 
     

 

 

     
     (1,215,802 )    

Electric Utilities

         

PG&E Corp.

      (54,397 )       (522,211 )       (0.4 %) 
     

 

 

     

Electrical Equipment

         

Bloom Energy Corp., Class A

      (52,486 )       (982,538 )       (0.7 %) 

GrafTech International Ltd.

      (33,061 )       (341,189 )       (0.3 %) 

Plug Power, Inc.

      (11,946 )       (305,101 )       (0.2 %) 

Sunrun, Inc.

      (13,036 )       (573,584 )       (0.4 %) 
     

 

 

     
     (2,202,412 )    

Energy Equipment & Services

         

Helmerich & Payne, Inc.

      (15,795 )       (432,941 )       (0.3 %) 

NOV, Inc.

      (26,923 )       (352,960 )       (0.3 %) 

Patterson-UTI Energy, Inc.

      (33,680 )       (303,120 )       (0.2 %) 

Schlumberger Ltd.

      (25,623 )       (759,466 )       (0.6 %) 

TechnipFMC PLC

      (216,438 )       (1,629,778 )       (1.2 %) 
     

 

 

     
     (3,478,265 )    

Entertainment

         

Cinemark Holdings, Inc.

      (16,104 )       (309,358 )       (0.2 %) 

Madison Square Garden Entertainment Corp.

      (3,399 )       (247,005 )       (0.2 %) 

Spotify Technology S.A.

      (1,593 )       (358,967 )       (0.3 %) 
     

 

 

     
     (915,330 )    

                                                                                         

Common Stocks – Short

    Shares      Value      % of Basket Value  

Equity Real Estate Investment Trusts

         

Acadia Realty Trust

      (56,970 )       (1,162,758 )       (0.9 %) 

Apple Hospitality REIT, Inc.

      (42,185 )       (663,570 )       (0.5 %) 

Boston Properties, Inc.

      (4,829 )       (523,222 )       (0.4 %) 

DiamondRock Hospitality Co.

      (29,317 )       (277,046 )       (0.2 %) 

Digitalbridge Group, Inc.

      (104,998 )       (633,138 )       (0.5 %) 

Douglas Emmett, Inc.

      (16,841 )       (532,344 )       (0.4 %) 

Host Hotels & Resorts, Inc.

      (38,495 )       (628,623 )       (0.5 %) 

Kilroy Realty Corp.

      (8,777 )       (581,125 )       (0.4 %) 

Kite Realty Group Trust

      (69,302 )       (1,410,989 )       (1.1 %) 

Park Hotels & Resorts, Inc.

      (33,341 )       (638,147 )       (0.5 %) 

Pebblebrook Hotel Trust

      (29,019 )       (650,316 )       (0.5 %) 

Piedmont Office Realty Trust, Inc., Class A

      (26,001 )       (453,198 )       (0.3 %) 

Realty Income Corp.

      (19,891 )       (1,290,130 )       (1.0 %) 

RLJ Lodging Trust

      (39,686 )       (589,734 )       (0.4 %) 

Service Properties Trust

      (57,415 )       (643,622 )       (0.5 %) 

Sunstone Hotel Investors, Inc.

      (52,095 )       (622,014 )       (0.5 %) 

Vornado Realty Trust

      (13,609 )       (571,714 )       (0.4 %) 

Welltower, Inc.

      (6,123 )       (504,535 )       (0.4 %) 

Xenia Hotels & Resorts, Inc.

      (36,966 )       (655,777 )       (0.5 %) 
     

 

 

     
        (13,032,002 )    

Food & Staples Retailing

         

Walgreens Boots Alliance, Inc.

      (11,026 )       (518,773 )       (0.4 %) 
     

 

 

     

Food Products

         

Darling Ingredients, Inc.

      (3,860 )       (277,534 )       (0.2 %) 

Pilgrim’s Pride Corp.

      (23,568 )       (685,357 )       (0.5 %) 

Tyson Foods, Inc., Class A

      (7,757 )       (612,338 )       (0.5 %) 
     

 

 

     
        (1,575,229 )    

Health Care Equipment & Supplies

         

Align Technology, Inc.

      (1,268 )       (843,765 )       (0.6 %) 

NuVasive, Inc.

      (9,169 )       (548,765 )       (0.4 %) 

Penumbra, Inc.

      (1,967 )       (524,205 )       (0.4 %) 

Tandem Diabetes Care, Inc.

      (4,855 )       (579,590 )       (0.4 %) 
     

 

 

     
        (2,496,325 )    

Health Care Providers & Services

         

1Life Healthcare, Inc.

      (25,376 )       (513,864 )       (0.4 %) 

Accolade, Inc.

      (14,398 )       (607,164 )       (0.5 %) 

Centene Corp.

      (8,924 )       (556,054 )       (0.4 %) 

National Research Corp.

      (6,541 )       (275,834 )       (0.2 %) 

Oak Street Health, Inc.

      (12,859 )       (546,893 )       (0.4 %) 

Tenet Healthcare Corp.

      (7,141 )       (474,448 )       (0.4 %) 
     

 

 

     
        (2,974,257 )    

Hotels, Restaurants & Leisure

         

Carnival Corp.

      (11,777 )       (294,543 )       (0.2 %) 

Everi Holdings, Inc.

      (6,009 )       (145,298 )       (0.1 %) 

Golden Entertainment, Inc.

      (15,328 )       (752,451 )       (0.6 %) 

Hyatt Hotels Corp., Class A

      (8,529 )       (657,586 )       (0.5 %) 

Las Vegas Sands Corp.

      (9,430 )       (345,138 )       (0.3 %) 

MGM Resorts International

      (2,695 )       (116,289 )       (0.1 %) 

                                                                                         

Common Stocks – Short

    Shares      Value      % of Basket Value  

Hotels, Restaurants & Leisure – continued

         

Norwegian Cruise Line Holdings Ltd.

      (10,993 )       (293,623 )       (0.2 %) 

RCI Hospitality Holdings, Inc.

      (3,257 )       (223,137 )       (0.2 %) 

Royal Caribbean Cruises Ltd.

      (15,404 )       (1,370,186 )       (1.0 %) 

Wynn Resorts Ltd.

      (3,187 )       (270,098 )       (0.2 %) 
     

 

 

     
        (4,468,349 )    

Household Durables

         

Hovnanian Enterprises, Inc., Class A

      (10,658 )       (1,027,325 )       (0.8 %) 

Lennar Corp., Class A

      (1,782 )       (166,938 )       (0.1 %) 

Meritage Homes Corp.

      (5,477 )       (531,269 )       (0.4 %) 

Taylor Morrison Home Corp.

      (18,476 )       (476,311 )       (0.4 %) 
     

 

 

     
        (2,201,843 )    

Independent Power & Renewable Electricity Producers

         

Brookfield Renewable Corp., Class A

      (15,839 )       (614,712 )       (0.5 %) 

Ormat Technologies, Inc.

      (7,054 )       (469,867 )       (0.4 %) 

Sunnova Energy International, Inc.

      (11,268 )       (371,168 )       (0.3 %) 

Vistra Corp.

      (26,403 )       (451,491 )       (0.3 %) 
     

 

 

     
        (1,907,238 )    

Insurance

         

Arch Captial Group Ltd.

      (13,853 )       (528,907 )       (0.4 %) 

Argo Group International Holdings Ltd.

      (9,840 )       (513,845 )       (0.4 %) 

Brighthouse Financial, Inc.

      (14,845 )       (671,439 )       (0.5 %) 

RenaissanceRe Holdings Ltd.

      (3,549 )       (494,731 )       (0.4 %) 
     

 

 

     
        (2,208,922 )    

Interactive Media & Entertainment

         

TripAdvisor, Inc.

      (17,689 )       (598,773 )       (0.4 %) 

Twitter, Inc.

      (2,146 )       (129,597 )       (0.1 %) 
     

 

 

     
        (728,370 )    

Internet & Direct Marketing Retail

         

Expedia Group, Inc.

      (6,237 )       (1,022,244 )       (0.8 %) 

Overstock.com, Inc.

      (12,903 )       (1,005,402 )       (0.8 %) 

Wayfair, Inc., Class A

      (3,267 )       (834,751 )       (0.6 %) 
     

 

 

     
        (2,862,397 )    

IT Services

         

Sabre Corp.

      (50,450 )       (597,328 )       (0.4 %) 

SolarWinds Corp.

      (50,650 )       (847,374 )       (0.6 %) 

Stoneco Ltd., Class A

      (14,355 )       (498,406 )       (0.4 %) 

Twilio, Inc., Class A

      (723 )       (230,673 )       (0.2 %) 
     

 

 

     
        (2,173,781 )    

                                                                                         

Common Stocks – Short

    Shares      Value      % of Basket Value  

Leisure Products

         

Mattel, Inc.

      (48,438 )       (899,009 )       (0.7 %) 
     

 

 

     

Life Sciences Tools & Services

         

Adaptive Biotechnologies Corp.

      (14,307 )       (486,295 )       (0.4 %) 
     

 

 

     

Marine

         

Kirby Corp.

      (11,125 )       (533,555 )       (0.4 %) 
     

 

 

     

Media

         

Cardlytics, Inc.

      (6,659 )       (558,956 )       (0.4 %) 

Fox Corp., Class A

      (24,354 )       (976,839 )       (0.7 %) 

Magnite, Inc.

      (29,696 )       (831,488 )       (0.6 %) 
     

 

 

     
        (2,367,283 )    

Metals & Mining

         

Barrick Gold Corp.

      (51,858 )       (936,037 )       (0.7 %) 

Carpenter Technology Corp.

      (22,629 )       (740,873 )       (0.6 %) 

Century Aluminum Co.

      (17,975 )       (241,764 )       (0.2 %) 

Cleveland-Cliffs, Inc.

      (9,867 )       (195,465 )       (0.1 %) 

Constellium SE

      (11,730 )       (220,289 )       (0.2 %) 

Hecla Mining Co.

      (64,577 )       (355,174 )       (0.3 %) 

Kinross Gold Corp.

      (65,605 )       (351,643 )       (0.3 %) 

Newmont Corp.

      (112 )       (6,082 )       (0.0 %) 

Pan American Silver Corp.

      (22,919 )       (533,325 )       (0.4 %) 
     

 

 

     
        (3,580,652 )    

Mortgage Real Estate Investment Trusts (REITs)

         

Biohaven Pharmaceutical Holding Co. Ltd.

      (4,052 )       (562,863 )       (0.4 %) 

Brightspire Capital, Inc.

      (38,160 )       (358,323 )       (0.3 %) 
     

 

 

     
        (921,186 )    

Multi-Utilities

         

NiSource, Inc.

      (19,936 )       (483,049 )       (0.4 %) 
     

 

 

     

Multiline Retail

         

Kohl’s Corp.

      (8,875 )       (417,924 )       (0.3 %) 

Nordstrom, Inc.

      (23,234 )       (614,539 )       (0.5 %) 

Ollie’s Bargain Outlet Holdings, Inc.

      (7,735 )       (466,266 )       (0.4 %) 
     

 

 

     
        (1,498,729 )    

Oil, Gas & Consumable Fuels

         

APA Corp.

      (12,942 )       (277,347 )       (0.2 %) 

Cabot Oil & Gas Corp.

      (74,525 )       (1,621,664 )       (1.2 %) 

Continental Resources, Inc.

      (8,525 )       (393,429 )       (0.3 %) 

CVR Energy, Inc.

      (10,538 )       (175,563 )       (0.1 %) 

Devon Energy Corp.

      (8,837 )       (313,802 )       (0.2 %) 

Energy Transfer LP

      (96,312 )       (922,669 )       (0.7 %) 

EOG Resources, Inc.

      (4,903 )       (393,564 )       (0.3 %) 

EQT Corp.

      (45,820 )       (937,477 )       (0.7 %) 

Equitrans Midstream Corp.

      (52,379 )       (531,123 )       (0.4 %) 

Exxon Mobil Corp

      (10,101 )       (594,141 )       (0.4 %) 

HollyFrontier Corp.

      (26,168 )       (866,946 )       (0.7 %) 

Kinder Morgan, Inc.

      (33,297 )       (557,059 )       (0.4 %) 

                                                                                         

Common Stocks – Short

    Shares      Value      % of Basket Value  

Oil, Gas & Consumable Fuels – continued

         

Kosmos Energy Ltd.

      (120,833 )       (357,666 )       (0.3 %) 

Marathon Oil Corp.

      (76,740 )       (1,049,036 )       (0.8 %) 

Marathon Petroleum Corp.

      (3,193 )       (197,359 )       (0.1 %) 

Matador Resources Co.

      (4,953 )       (188,412 )       (0.1 %) 

Murphy Oil Corp.

      (11,603 )       (289,727 )       (0.2 %) 

Occidental Petroleum Corp.

      (16,527 )       (488,868 )       (0.4 %) 

Phillips 66

      (18,850 )       (1,320,065 )       (1.0 %) 

Pioneer Natural Resources Co.

      (2,327 )       (387,469 )       (0.3 %) 

Plains All American Pipeline LP

      (82,263 )       (836,615 )       (0.6 %) 

Valero Energy Corp.

      (20,214 )       (1,426,502 )       (1.1 %) 
     

 

 

     
        (14,126,503 )    

Personal Products

         

Coty, Inc., Class A

      (60,685 )       (476,984 )       (0.4 %) 

Herbalife Nutrition Ltd.

      (17,611 )       (746,354 )       (0.6 %) 
     

 

 

     
        (1,223,338 )    

Pharmaceuticals

         

Perrigo Co.

      (12,480 )       (590,678 )       (0.4 %) 
     

 

 

     

Professional Services

         

CACI International, Inc., Class A

      (2,131 )       (558,535 )       (0.4 %) 

Huron Consulting Group, Inc.

      (9,992 )       (519,584 )       (0.4 %) 

TriNet Group, Inc.

      (5,926 )       (560,481 )       (0.4 %) 
     

 

 

     
        (1,638,600 )    

Real Estate Management & Development

         

Realogy Holdings Corp.

      (11,045 )       (193,729 )       (0.1 %) 
     

 

 

     

Road & Rail

         

Lyft, Inc., Class A

      (12,918 )       (692,276 )       (0.5 %) 
     

 

 

     

Semiconductors & Semiconductor Equipment

         

Advanced Micro Devices, Inc.

      (13,382 )       (1,377,008 )       (1.0 %) 

Applied Materials, Inc.

      (5,132 )       (660,642 )       (0.5 %) 

Cree, Inc.

      (2,798 )       (225,883 )       (0.2 %) 

Ichor Holdings Ltd.

      (13,233 )       (543,744 )       (0.4 %) 

Lam Research Corp.

      (329 )       (187,250 )       (0.1 %) 

MKS Instruments, Inc.

      (5,040 )       (760,587 )       (0.6 %) 

Monolithic Power Systems, Inc.

      (2,009 )       (973,722 )       (0.7 %) 

NVIDIA Corp.

      (4,649 )       (963,087 )       (0.7 %) 

Ultra Clean Holdings, Inc.

      (3,815 )       (162,519 )       (0.1 %) 

Veeco Instruments, Inc.

      (48,329 )       (1,073,387 )       (0.8 %) 
     

 

 

     
        (6,927,829 )    

Software

         

Blackbaud, Inc.

      (15,760 )       (1,108,716 )       (0.8 %) 

Ceridian HCM Holding, Inc.

      (8,053 )       (906,929 )       (0.7 %) 

Digital Turbine, Inc.

      (5,658 )       (388,987 )       (0.3 %) 

Paycom Software, Inc.

      (1,853 )       (918,625 )       (0.7 %) 

PROS Holdings, Inc.

      (14,271 )       (506,335 )       (0.4 %) 

Verint Systems, Inc.

      (11,478 )       (514,100 )       (0.4 %) 

                                                                                         

Common Stocks – Short

    Shares      Value      % of Basket Value  

Software – continued

         

Zoom Video Communications, Inc., Class A

      (4,676 )       (1,222,774 )       (0.9 %) 
     

 

 

     
        (5,566,466 )    

Specialty Retail

         

Carvana Co.

      (2,060 )       (621,172 )       (0.5 %) 

Conn’s, Inc.

      (7,081 )       (161,659 )       (0.1 %) 

Designer Brands, Inc., Class A

      (37,637 )       (524,283 )       (0.4 %) 

Gap, Inc. (The)

      (33,439 )       (759,065 )       (0.6 %) 

Guess?, Inc.

      (27,264 )       (572,817 )       (0.4 %) 

Monro, Inc.

      (10,025 )       (576,538 )       (0.4 %) 

Party City Holdings, Inc.

      (22,920 )       (162,732 )       (0.1 %) 

RH

      (578 )       (385,474 )       (0.3 %) 

Vroom, Inc.

      (17,951 )       (396,179 )       (0.3 %) 

Williams-Sonoma, Inc.

      (3,281 )       (581,820 )       (0.4 %) 
     

 

 

     
        (4,741,739 )    

Technology Hardware, Storage & Peripherals

         

Western Digital Corp.

      (10,419 )       (588,049 )       (0.4 %) 

Xerox Holdings Corp.

      (14,260 )       (287,624 )       (0.2 %) 
     

 

 

     
        (875,673 )    

Textiles, Apparel & Luxury Goods

         

Hanesbrands, Inc.

      (27,389 )       (469,995 )       (0.4 %) 

Lululemon Athletica, Inc.

      (2,305 )       (932,833 )       (0.7 %) 

PVH Corp.

      (9,130 )       (938,473 )       (0.7 %) 

Ralph Lauren Corp.

      (8,023 )       (890,874 )       (0.7 %) 
     

 

 

     
        (3,232,175 )    

Thrifts & Mortgage Finance

         

New York Community Bancorp, Inc.

      (154,867 )       (1,993,138 )       (1.5 %) 

WSFS Financial Corp.

      (27,798 )       (1,426,316 )       (1.0 %) 
     

 

 

     
        (3,419,454 )    

Trading Companies & Distributors

         

Veritiv Corp.

      (2,550 )       (228,378 )       (0.2 %) 
     

 

 

     

Wireless Telecommunication Services

         

Millicom International Cellular S.A.

      (14,741 )       (532,887 )       (0.4 %) 
     

 

 

     

Total Common Stocks - Short

       $ (133,170,715 )    
     

 

 

     

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, 2021, at value:

Asset Valuation Inputs

 

                                                                                   

Description

   Level 1     Level 2     Level 3     Total  

Common Stocks*

   $ 126,245,645          $ —       $ —       $ 126,245,645  

Closed-End Investment Companies

     1,208,801       —         —         1,208,801  

Short-Term Investments*

     —         215,124,483       —         215,124,483  

Forward Foreign Currency Contracts (unrealized appreciation)

     —         2,039,649       —         2,039,649  

Futures Contracts (unrealized appreciation)

     8,889,018       243,223       —         9,132,241  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 136,343,464      $ 217,407,355      $ —       $ 353,750,819   
 

 

 

    

 

 

    

 

 

    

 

 

  

Liability Valuation Inputs

 

                                                                                   

Description

   Level 1     Level 2     Level 3     Total  

Equity Basket Total Return Swap

   $ —   (a)    $ —       $ —       $ —    

Forward Foreign Currency Contracts (unrealized depreciation)

     —         (1,823,761 )      —         (1,823,761 ) 

Futures Contracts (unrealized depreciation)

     (10,651,281 )      (535,216 )      —         (11,186,497 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ (10,651,281 )    $ (2,358,977 )    $ —       $ (13,010,258 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

 

*

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

(a)

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

Derivatives

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

The Fund seeks to achieve long and short exposure to global equity, bond, currency and commodity markets through a wide range of derivative instruments and direct investments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified portfolio of hedge funds. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge funds, and seeks to use a variety of derivative instruments to capture such exposures in the aggregate. The Fund may also use various strategies commonly used by hedge funds that seek to profit from underlying risk factors, such as merger arbitrage. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts on global equity and fixed income securities, securities indices, currencies, commodities and other instruments and equity basket total return swap agreements. During the period ended September 30, 2021, the Fund used long and short contracts on U.S. and foreign government bonds, U.S. equity market indices, foreign currencies, short term interest rates, and commodities (through investments in the Subsidiary), long contracts on foreign equity market indices, and short contracts on equity basket total return swaps in accordance with these objectives.

The following is a summary of derivative instruments for the Fund, as of September 30, 2021:

 

Assets

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

Over-the-counter asset derivatives

      

Foreign exchange contracts

    $ 2,039,649      $ —    
  

 

 

     

 

 

  

Exchange-traded asset derivatives

      

Interest rate contracts

    $ —        $ 2,880,762  

Foreign exchange contracts

      —          1,200,107  

Commodity contracts

      —          4,493,364  

Equity contracts

      —          558,008  
  

 

 

     

 

 

  

Total exchange-traded asset derivatives

    $ —        $ 9,132,241  
  

 

 

     

 

 

  

Total asset derivatives

    $ 2,039,649      $ 9,132,241  
  

 

 

     

 

 

  
  

 

 

     

 

 

  

 

Liabilities

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

Over-the-counter liability derivatives

         

Foreign exchange contracts

    $ (1,823,761 )     $ —        $ —    

Equity Contracts

      —          —          (133,170,715 ) 
  

 

 

     

 

 

     

 

 

  

Total over-the-counter liability derivatives

    $ (1,823,761 )     $ —        $ (133,170,715 ) 
  

 

 

     

 

 

     

 

 

  

Exchange-traded liability derivatives

         

Interest rate contracts

    $ —        $ (2,661,209 )     $ —    

Foreign exchange contracts

      —          (861,116 )       —    

Commodity contracts

      —          (3,864,064 )       —    

Equity contracts

      —          (3,800,108 )       —    
  

 

 

     

 

 

     

 

 

  

Total exchange-traded liability derivatives

    $ —        $ (11,186,497 )     $ —    
  

 

 

     

 

 

     

 

 

  

Total liability derivatives

    $ (1,823,761 )     $ (11,186,497 )     $ (133,170,715 ) 
  

 

 

     

 

 

     

 

 

  

 

1 

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

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

Over-the-counter (“OTC”) derivatives, including forward foreign currency contracts and swap agreements, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. As of September 30, 2021, 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 typically are required to segregate customer margin for exchange-traded derivatives 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 customers, 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, 2021:

 

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

Over-the-counter counterparty credit risk

      

Forward foreign currency contracts

    $ 2,039,649      $ 215,888  

Collateral pledged to UBS AG

      2,393,013        2,393,013  

Collateral pledged to Morgan Stanley

      35,148,425        35,148,425  
  

 

 

     

 

 

  

Total over-the-counter counterparty credit risk

      39,581,087        37,757,326  
  

 

 

     

 

 

  

Exchange-traded counterparty credit risk

      

Futures contracts

      9,132,241        9,132,241  

Margin with brokers

      32,480,889        32,480,889  
  

 

 

     

 

 

  

Total exchange-traded counterparty credit risk

      41,613,130        41,613,130  
  

 

 

     

 

 

  

Total counterparty credit risk

    $ 81,194,217      $ 79,370,456  
  

 

 

     

 

 

  

Investment Summary at September 30, 2021 (Unaudited)

 

Certificates of Deposit

      32.0 % 

Common Stocks

      31.3  

Repurchase Agreements

      20.0  

Other Investments, less than 2% each

      1.6  
  

 

 

  

Total Investments

      84.9  

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

      15.1  
  

 

 

  

Net Assets

      100.0 %