NPORT-EX 2 NPORT_IAHC_24536308_0922.htm HTML

Consolidated Portfolio of Investments – as of September 30, 2022 (Unaudited)

AlphaSimplex Managed Futures Strategy Fund

 

Principal
Amount		     

Description

    Value (†)  
               
 

Short-Term Investments – 94.8% of Net Assets

  
   Certificates of Deposit – 48.6%   
  $120,000,000      DNB Nor Bank ASA (NY),
3.000%, 10/04/2022		    $ 119,999,897  
  30,000,000      Cooperatieve Rabobank U.A.,
1.500%, 10/11/2022		      29,985,288  
  42,000,000      Sumitomo Mitsui Banking Corp. (NY),
2.500%, 10/17/2022		      41,987,845  
  40,000,000      Toronto-Dominion Bank (NY),
1.860%, 10/24/2022		      39,965,538  
  42,000,000      Mitsubishi UFJ Trust & Banking Corp. (NY),
2.860%, 11/03/2022		      41,987,182  
  50,000,000      Sumitomo Mitsui Trust (NY),
2.730%, 11/10/2022		      49,972,332  
  50,500,000      Westpac Banking Corp. (NY),
1.700%, 11/15/2022		      50,400,409  
  75,000,000      Bank of Nova Scotia,
2.070%, 11/17/2022		      74,880,580  
  52,000,000      Oversea-Chinese Banking Corp. Ltd. (NY),
SOFR + 0.400%, 3.380%, 11/23/2022(a)		      52,013,864  
  100,000,000      Mizuho Bank Ltd. (NY),
3.000%, 11/28/2022		      99,947,376  
  45,000,000      Nordea Bank ABP (NY),
2.970%, 12/07/2022		      44,973,963  
  50,000,000      Oversea-Chinese Banking Corp. Ltd. (NY),
3.250%, 12/09/2022		      49,982,665  
  50,000,000      Skandinaviska Enskilda Banken (NY),
3.080%, 12/15/2022		      49,968,004  
  20,000,000      Sumitomo Mitsui Trust (NY),
3.120%, 12/15/2022		      19,982,858  
  35,000,000      Canadian Imperial Bank of Commerce (NY),
2.910%, 12/21/2022		      34,953,385  
  40,000,000      Skandinaviska Enskilda Banken (NY),
3.220%, 12/22/2022		      39,976,428  
  50,000,000      Sumitomo Mitsui Trust (NY),
3.200%, 12/28/2022		      49,942,329  
  51,000,000      Bank of America N.A.,
3.250%, 1/13/2023		      50,938,036  
  22,500,000      Mizuho Bank Ltd. (NY),
SOFR + 0.300%, 3.280%, 1/20/2023(a)		      22,499,909  
  42,000,000      Skandinaviska Enskilda Banken (NY),
4.080%, 2/06/2023		      42,007,350  
  50,000,000      Cooperatieve Rabobank U.A.,
3.350%, 2/13/2023		      49,912,995  
  31,000,000      Oversea-Chinese Banking Corp. Ltd. (NY),
SOFR + 0.320%, 3.300%, 2/23/2023(a)		      31,001,759  
  40,000,000      Canadian Imperial Bank of Commerce (NY),
3.530%, 2/24/2023		      39,929,995  
  40,000,000      Sumitomo Mitsui Banking Corp. (NY),
SOFR + 0.400%, 3.380%, 3/16/2023(a)		      39,995,696  
  50,000,000      Commonwealth Bank of Australia (NY),
SOFR + 0.360%, 3.340%, 4/20/2023(a)		      49,986,874  

Principal
Amount		     

Description

    Value (†)  
               
 

Certificates of Deposit – continued

  
  $40,000,000      Mitsubishi UFJ Trust & Banking Corp. (NY),
4.520%, 4/21/2023		    $ 40,039,994  
  45,000,000      Mitsubishi UFJ Trust & Banking Corp. (NY),
4.520%, 4/21/2023		      45,045,128  
  45,000,000      Svenska Handelsbanken (NY),
SOFR + 0.350%, 3.310%, 4/26/2023(a)		      44,995,623  
  50,000,000      Royal Bank of Canada (NY),
3.890%, 5/08/2023		      49,810,936  
  50,000,000      Royal Bank of Canada (NY),
3.000%, 6/05/2023		      49,475,575  
  15,000,000      Toronto-Dominion Bank (NY),
3.010%, 6/07/2023		      14,832,921  
  30,000,000      Nordea Bank ABP (NY),
2.970%, 6/08/2023		      29,691,866  
  46,000,000      Svenska Handelsbanken (NY),
3.460%, 6/13/2023		      45,659,544  
  55,000,000      Bank of Montreal (IL),
3.600%, 6/23/2023		      54,598,529  
  35,000,000      Canadian Imperial Bank of Commerce (NY),
3.590%, 6/26/2023		      34,731,748  
  46,000,000      Bank of Nova Scotia,
SOFR + 0.680%, 3.640%, 8/16/2023(a)		      46,055,333  
  31,000,000      Toronto-Dominion Bank (NY),
4.020%, 8/22/2023		      30,788,828  
     

 

 

  
        1,702,918,582  
     

 

 

  
  

Treasuries – 43.1%

   
  35,000,000      U.S. Treasury Bills,
2.110%, 10/04/2022(b)		      34,997,651  
  70,000,000      U.S. Treasury Bills,
2.007%-2.260%, 10/06/2022(b)(c)(d)(e)		      69,985,693  
  50,000,000      U.S. Treasury Bills,
2.000%-2.387%, 10/11/2022(b)(c)		      49,972,778  
  25,000,000      U.S. Treasury Bills,
2.220%, 10/13/2022(b)		      24,981,927  
  105,000,000      U.S. Treasury Bills,
2.410%-2.498%, 10/18/2022(b)(c)		      104,889,247  
  70,000,000      U.S. Treasury Bills,
2.300%-2.420%, 10/20/2022(b)(c)		      69,915,584  
  70,000,000      U.S. Treasury Bills,
2.560%-2.590%, 10/25/2022(b)(c)		      69,891,558  
  60,000,000      U.S. Treasury Bills,
2.300%-2.425%, 10/27/2022(b)(c)		      59,897,050  
  90,000,000      U.S. Treasury Bills,
2.375%-2.575%, 11/01/2022(b)(c)		      89,806,515  
  107,000,000      U.S. Treasury Bills,
2.445%-2.502%, 11/03/2022(b)(c)(d)(e)		      106,754,649  
  50,000,000      U.S. Treasury Bills,
2.415%, 11/08/2022(b)		      49,864,563  
  55,000,000      U.S. Treasury Bills,
2.493%, 11/10/2022(b)		      54,843,032  
  65,000,000      U.S. Treasury Bills,
2.800%, 11/15/2022(b)		      64,780,088  
  20,000,000      U.S. Treasury Bills,
2.550%, 11/17/2022(b)		      19,928,750  

Principal
Amount		     

Description

    Value (†)  
               
 

Treasuries – continued

   
  $170,000,000      U.S. Treasury Bills,
2.645%-2.930%, 11/22/2022(b)(c)		    $ 169,307,310  
  30,000,000      U.S. Treasury Bills,
2.775%, 11/25/2022(b)		      29,875,726  
  115,000,000      U.S. Treasury Bills,
2.680%-2.800%, 11/29/2022(b)(c)		      114,454,205  
  130,000,000      U.S. Treasury Bills,
2.820%-2.843%, 12/01/2022(b)(c)		      129,380,541  
  36,000,000      U.S. Treasury Bills,
2.957%, 12/08/2022(b)(d)(e)		      35,805,217  
  10,000,000      U.S. Treasury Bills,
2.765%, 12/13/2022(b)		      9,940,459  
  20,000,000      U.S. Treasury Bills,
3.105%, 12/22/2022(b)		      19,857,867  
  55,000,000      U.S. Treasury Bills,
3.235%, 12/29/2022(b)		      54,574,484  
  15,000,000      U.S. Treasury Bills,
3.735%, 3/16/2023(b)		      14,747,759  
  60,000,000      U.S. Treasury Bills,
3.750%, 3/30/2023(b)		      58,865,942  
     

 

 

  
        1,507,318,595  
     

 

 

  
  

Repurchase Agreements – 3.1%

   
  110,064,905      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2022 at 1.100% to be repurchased at $110,074,995 on 10/03/2022 collateralized by $95,599,900 U.S. Treasury Bill, 0.000% due 3/30/2023 valued at $93,787,135; $18,842,800 U.S. Treasury Note, 3.500% due 9/15/2025 valued at $18,479,190 including accrued interest(e)(f)
(Identified Cost $110,064,905)		      110,064,905  
     

 

 

  
   Total Short-Term Investments
(Identified Cost $3,323,374,309)		      3,320,302,082  
     

 

 

  
   Total Investments – 94.8%
(Identified Cost $3,323,374,309)		      3,320,302,082  
   Other assets less liabilities – 5.2%      181,402,285  
     

 

 

  
   Net Assets – 100.0%    $ 3,501,704,367  
     

 

 

  

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, 2022, the value of the Fund’s investment in the Subsidiary was $69,734,609, representing 1.99% of the Fund’s net assets.

(†)

Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. The Fund obtains readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are not available are priced at fair value pursuant to the Fund’s Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Board’s oversight.

Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Futures contracts are valued at the closing settlement price on the exchange on which the valuation designee believes that, over time, they are traded most extensively. Shares of open-end investment companies are valued at net asset value per share.

Exchange traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation as reported by an independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair 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 fair valued using evaluated bids furnished by an independent pricing service, if available.

Debt securities and unlisted preferred equity securities are fair 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 fair value debt and unlisted equities where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment. Forward foreign currency contracts are fair valued utilizing interpolated rates determined based on information provided by an independent pricing service.

The Fund may also fair value investments 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 a Fund’s investments, the valuation designee may, among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related market activity and/or information that occurred after the close of the foreign market but before the time the Fund’s net asset value (“NAV”) is calculated. Fair valuation by the Fund’s valuation designee may require subjective determinations about the value of the investment, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same investments. In addition, the use of fair value pricing may not always result in adjustments to the prices of investments held by a Fund.

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, 2022 is disclosed.

(b)

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

(c)

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.

(d)

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

(e)

A portion of the security is held by AlphaSimplex Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary.

(f)

The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of September 30, 2022, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

 

SOFR   Secured Overnight Financing 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, 2022, 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

      12/21/2022      CHF      B        7,500,000      $ 7,859,707      $ 7,662,369      $ (197,338 ) 

UBS AG

      12/21/2022      CHF      S        102,250,000        108,505,332        104,463,626        4,041,706  

UBS AG

      12/21/2022      CNH      B        155,000,000        21,989,616        21,740,226        (249,390 ) 

UBS AG

      12/21/2022      CNH      S        1,499,000,000        215,609,309        210,249,026        5,360,283  

UBS AG

      12/21/2022      MXN      B        2,182,500,000        107,430,282        106,855,845        (574,437 ) 

UBS AG

      12/21/2022      MXN      S        461,500,000        22,420,430        22,595,176        (174,746 ) 

UBS AG

      12/21/2022      NOK      S        652,000,000        65,581,514        59,992,340        5,589,174  

UBS AG

      12/21/2022      NZD      B        19,700,000        11,533,285        11,030,012        (503,273 ) 

UBS AG

      12/21/2022      NZD      S        323,300,000        194,634,687        181,015,371        13,619,316  

UBS AG

      12/21/2022      PLN      S        430,000,000        91,917,463        85,611,451        6,306,012  

UBS AG

      12/21/2022      SEK      B        178,000,000        15,904,625        16,118,674        214,049  

UBS AG

      12/21/2022      SEK      B        92,000,000        8,655,395        8,331,000        (324,395 ) 

UBS AG

      12/21/2022      SEK      S        1,446,000,000        140,545,269        130,941,588        9,603,681  

UBS AG

      12/21/2022      SGD      S        272,875,000        195,296,435        190,190,874        5,105,561  

UBS AG

      12/21/2022      SGD      S        14,375,000        10,017,159        10,019,217        (2,058 ) 

UBS AG

      12/21/2022      TRY      S        124,500,000        6,311,374        6,087,246        224,128  

UBS AG

      12/21/2022      ZAR      S        1,673,000,000        97,487,242        91,799,297        5,687,945  
                    

 

 

  

Total

 

    $ 53,726,218  
                    

 

 

  

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, 2022, open long futures contracts were as follows:

 

Currency Futures

    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

Brazilian Real

      10/31/2022        245      $ 4,527,601      $ 4,534,951      $ 7,350  
              

 

 

  

Commodity Futures1

    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

Aluminum LME

      12/21/2022        310      $ 18,788,834      $ 16,747,750      $ (2,041,084 ) 

Brent Crude Oil

      11/30/2022        154        13,212,720        12,862,080        (350,640 ) 

Coffee

      12/19/2022        159        13,341,678        13,209,919        (131,759 ) 

Copper LME

      12/21/2022        33        6,409,625        6,252,675        (156,950 ) 

Corn

      12/14/2022        603        20,618,244        20,426,625        (191,619 ) 

Gasoline

      11/30/2022        88        8,685,167        8,422,814        (262,353 ) 

KC Wheat

      12/14/2022        34        1,629,738        1,685,550        55,812  

Lean Hog

      12/14/2022        82        2,717,601        2,500,180        (217,421 ) 

Live Cattle

      12/30/2022        204        12,349,509        11,999,280        (350,229 ) 

Low Sulfur Gasoil

      11/10/2022        151        15,496,200        14,220,425        (1,275,775 ) 

Natural Gas

      10/27/2022        191        16,360,141        12,923,060        (3,437,081 ) 

New York Harbor ULSD

      11/30/2022        115        15,548,422        15,103,410        (445,012 ) 

Nickel LME

      12/21/2022        15        1,775,790        1,898,280        122,490  

Palladium

      12/28/2022        3        656,813        654,660        (2,153 ) 

Soybean

      11/14/2022        203        15,482,406        13,852,212        (1,630,194 ) 

Soybean Meal

      12/14/2022        359        14,548,186        14,467,700        (80,486 ) 

Soybean Oil

      12/14/2022        54        2,123,350        1,994,544        (128,806 ) 

WTI Crude Oil

      11/21/2022        63        5,066,460        4,959,360        (107,100 ) 

Zinc LME

      12/21/2022        147        12,607,991        10,962,525        (1,645,466 ) 
              

 

 

  

Total

 

    $ (12,275,826 ) 
              

 

 

  

At September 30, 2022, open short futures contracts were as follows:

 

Financial and Currency Futures

    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

2 Year U.S. Treasury Note

      12/30/2022        4,547      $ 945,435,523      $ 933,911,176      $ 11,524,347  

3 Year Australia Government Bond

      12/15/2022        3,065        211,349,537        208,918,013        2,431,524  

3-month CDOR Index

      3/13/2023        819        141,620,679        141,598,925        21,754  

3-month SOFR Index

      6/20/2023        4,053        972,456,095        968,464,350        3,991,745  

3-month SONIA Index

      3/14/2023        2,408        650,599,652        638,554,916        12,044,736  

5 Year U.S. Treasury Note

      12/30/2022        3,084        341,045,187        331,554,095        9,491,092  

10 Year Australia Government Bond

      12/15/2022        1,882        143,895,158        140,987,322        2,907,836  

10 Year Canada Government Bond

      12/19/2022        779        70,324,748        69,697,477        627,271  

10 Year U.S. Treasury Note

      12/20/2022        1,815        211,317,934        203,393,438        7,924,496  

30 Year U.S. Treasury Bond

      12/20/2022        780        105,532,830        98,596,875        6,935,955  

90 day Australian Bank Accepted Bills

      3/09/2023        1,326        839,293,627        839,482,067        (188,440 ) 

AEX-Index®

      10/21/2022        61        7,944,649        7,660,003        284,646  

ASX SPI 200™

      12/15/2022        112        11,676,315        11,580,735        95,580  

Australian Dollar

      12/19/2022        1,848        127,070,990        118,558,440        8,512,550  

British Pound

      12/19/2022        2,547        186,278,347        177,987,544        8,290,803  

CAC 40®

      10/21/2022        203        11,625,648        11,466,493        159,155  

Canadian Dollar

      12/20/2022        3,288        249,801,926        238,034,760        11,767,166  

DAX

      12/16/2022        49        15,765,210        14,567,612        1,197,598  

E-mini Dow

      12/16/2022        258        40,098,623        37,153,290        2,945,333  

E-mini NASDAQ 100

      12/16/2022        147        36,524,790        32,444,370        4,080,420  

E-mini Russell 2000

      12/16/2022        314        28,145,565        26,215,860        1,929,705  

E-mini S&P 500®

      12/16/2022        253        49,421,392        45,558,975        3,862,417  

E-mini S&P MidCap 400®

      12/16/2022        104        24,552,035        22,965,280        1,586,755  

Euribor

      3/13/2023        5,578        1,326,079,004        1,328,412,828        (2,333,824 ) 

Euro

      12/19/2022        1,757        223,711,343        216,583,194        7,128,149  

Euro Schatz

      12/08/2022        7,895        833,944,180        829,188,710        4,755,470  

EURO STOXX 50®

      12/16/2022        357        12,224,039        11,598,452        625,587  

Euro-BTP

      12/08/2022        512        58,896,983        56,189,957        2,707,026  

Euro-Buxl® 30 Year Bond

      12/08/2022        321        50,163,173        46,132,369        4,030,804  

Euro-OAT

      12/08/2022        1,227        165,477,704        158,877,137        6,600,567  

FTSE China A50

      10/28/2022        2,199        28,399,717        28,402,284        (2,567 ) 

FTSE MIB

      12/16/2022        156        16,748,860        15,693,170        1,055,690  

FTSE Taiwan Index

      10/28/2022        162        7,842,770        7,565,400        277,370  

FTSE/JSE Top 40 Index

      12/15/2022        40        1,263,873        1,277,591        (13,718 ) 

German Euro BOBL

      12/08/2022        1,831        218,622,872        214,887,990        3,734,882  

German Euro Bund

      12/08/2022        824        116,952,740        111,839,162        5,113,578  

Hang Seng China Enterprises Index

      10/28/2022        634        24,739,492        23,883,078        856,414  

Hang Seng Index®

      10/28/2022        232        26,228,176        25,432,472        795,704  

IBEX 35

      10/21/2022        198        15,076,478        14,288,672        787,806  

Indian Rupee

      10/27/2022        1,532        38,424,092        37,488,040        936,052  

Japanese Yen

      12/19/2022        2,533        224,031,892        220,481,819        3,550,073  

MSCI EAFE Index

      12/16/2022        690        65,022,240        57,290,700        7,731,540  

MSCI Emerging Markets Index

      12/16/2022        1,225        57,954,439        53,379,375        4,575,064  

MSCI Singapore

      10/28/2022        534        10,474,580        10,434,611        39,969  

Nikkei 225™

      12/08/2022        22        4,020,452        3,943,066        77,386  

OMXS30®

      10/21/2022        948        16,268,312        15,632,499        635,813  

S&P/TSX 60 Index

      12/15/2022        145        24,147,824        23,429,254        718,570  

Financial and Currency Futures

    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

Futures Contracts Sold – continued

 

Short-Term Euro-BTP

      12/08/2022        1,233        128,353,808      $ 127,268,875      $ 1,084,933  

STOXX Europe 600

      12/16/2022        367        7,198,421        6,968,769        229,652  

TOPIX

      12/08/2022        31        3,981,275        3,937,648        43,627  

UK Long Gilt

      12/28/2022        1,267        154,887,606        136,374,071        18,513,535  

Ultra 10 Year U.S. Treasury Note

      12/20/2022        1,098        136,705,289        130,095,844        6,609,445  

Ultra Long U.S. Treasury Bond

      12/20/2022        444        66,369,970        60,828,000        5,541,970  
              

 

 

  

Total

                $ 188,831,011  
              

 

 

  

Commodity Futures1

    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

Aluminum LME

      12/21/2022        724      $ 42,726,325      $ 39,114,100      $ 3,612,225  

Cocoa

      12/14/2022        446        10,628,779        10,498,840        129,939  

Copper

      12/28/2022        674        61,076,204        57,500,625        3,575,579  

Copper LME

      12/21/2022        90        16,565,715        17,052,750        (487,035 ) 

Gold

      12/28/2022        764        131,155,380        127,740,800        3,414,580  

Iron Ore

      11/30/2022        469        4,767,385        4,419,856        347,529  

Nickel LME

      12/21/2022        15        1,698,795        1,898,280        (199,485 ) 

Platinum

      1/27/2023        223        10,044,431        9,578,965        465,466  

Silver

      12/28/2022        460        42,501,646        43,789,700        (1,288,054 ) 

Sugar

      2/28/2023        806        16,260,183        15,960,090        300,093  

Zinc LME

      12/21/2022        160        11,748,056        11,932,000        (183,944 ) 
              

 

 

  

Total

                $ 9,686,893  
              

 

 

  

 

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 Fund’s pricing policies have been approved by the Board of Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized are categorized in Level 2. Broker-dealer bid prices for which the Fund has knowledge of the inputs used by the broker-dealer are categorized in Level 2. All other investments, including broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer, as well as investments fair valued by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.

Under certain conditions and based upon specific facts and circumstances, the Fund’s valuation designee may determine that a fair valuation should be made for portfolio investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3 inputs.

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2022, at value:

Asset Valuation Inputs

 

Description

    Level 1      Level 2      Level 3      Total  

Short-Term Investments*

    $ —        $ 3,320,302,082      $ —        $ 3,320,302,082  

Forward Foreign Currency Contracts (unrealized appreciation)

      —          55,751,855        —          55,751,855  

Futures Contracts (unrealized appreciation)

      196,745,648        6,654,975        —          203,400,623  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 196,745,648      $ 3,382,708,912      $ —        $ 3,579,454,560  
  

 

 

     

 

 

     

 

 

     

 

 

  

Liability Valuation Inputs

 

Description

    Level 1      Level 2      Level 3      Total  

Forward Foreign Currency Contracts (unrealized depreciation)

    $ —        $ (2,025,637 )     $ —        $ (2,025,637 ) 

Futures Contracts (unrealized depreciation)

      (17,134,910 )       (16,285 )       —          (17,151,195 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ (17,134,910 )     $ (2,041,922 )     $ —        $ (19,176,832 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

*

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

Derivatives

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used at period end 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. As of September 30, 2022, the Fund used long and short contracts on U.S. and foreign government bonds, short-term interest rates, foreign currencies, and commodities (through investments in the Subsidiary), and long contracts on U.S. and foreign equity market indices 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, 2022:

 

Assets

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

Over-the-counter asset derivatives

      

Foreign exchange contracts

    $ 55,751,855      $ —    
  

 

 

     

 

 

  

Exchange-traded asset derivatives

      

Interest rate contracts

    $ —        $ 116,592,966  

Foreign exchange contracts

      —          40,192,143  

Commodity contracts

      —          12,023,713  

Equity contracts

      —          34,591,801  
  

 

 

     

 

 

  

Total exchange-traded asset derivatives

    $ —        $ 203,400,623  
  

 

 

     

 

 

  

Total asset derivatives

    $ 55,751,855      $ 203,400,623  
  

 

 

     

 

 

  

Liabilities

    Unrealized depreciation
on forward foreign
currency contracts		      Unrealized depreciation
on futures
contracts		  

Over-the-counter liability derivatives

      

Foreign exchange contracts

    $ (2,025,637 )     $ —    
  

 

 

     

 

 

  

Exchange-traded liability derivatives

      

Interest rate contracts

    $ —        $ (2,522,264 ) 

Commodity contracts

      —          (14,612,646 ) 

Equity contracts

      —          (16,285 ) 
  

 

 

     

 

 

  

Total exchange-traded liability derivatives

    $ —        $ (17,151,195 ) 
  

 

 

     

 

 

  

Total liability derivatives

    $ (2,025,637 )     $ (17,151,195 ) 
  

 

 

     

 

 

  

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, 2022, 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, 2022:

 

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

Over-the-counter counterparty credit risk

      

Forward foreign currency contracts

    $ 55,751,855      $ 53,726,218  

Collateral pledged to UBS AG

      20,424,222        20,424,222  
  

 

 

     

 

 

  

Total over-the-counter counterparty credit risk

      76,176,077        74,150,440  
  

 

 

     

 

 

  

Exchange-traded counterparty credit risk

      

Futures contracts

      203,400,623        203,400,623  

Margin with brokers

      161,514,149        161,514,149  
  

 

 

     

 

 

  

Total exchange-traded counterparty credit risk

      364,914,772        364,914,772  
  

 

 

     

 

 

  

Total counterparty credit risk

    $ 441,090,849      $ 439,065,212  
  

 

 

     

 

 

  

Investment Summary at September 30, 2022 (Unaudited)

 

Certificates of Deposit

      48.6 % 

Treasuries

      43.1  

Repurchase Agreements

      3.1  
  

 

 

  

Total Investments

      94.8  

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

      5.2  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

Net Exposures by Asset Class as a Percentage of Net Assets at September 30, 20221

 

Equity

      (14.7 )% 

Fixed Income

      (110.2 ) 

Short-Term Interest Rate

      (111.8 ) 

Commodity

      (4.4 ) 

Currency

      (55.0 ) 

 

1

The Fund gains its investment exposures primarily through the use of futures contracts and forward contracts and may have net exposure that is materially less than or greater than its net asset value. Portfolio exposures presented above are intended to illustrate the Fund’s exposure to certain asset classes. The portfolio exposure percentage represents the notional contract value in U.S. dollars of the Fund’s futures and/or forward positions divided by the Fund’s total net assets. Notional contract values represent the aggregate exposure that a futures or forward currency contract provides to the underlying reference asset or currency, respectively.