NPORT-EX 2 abbey-multi.htm NPORT-EX

ABBEY CAPITAL MULTI ASSET FUND
 
CONSOLIDATED PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2020
(UNAUDITED)

                                 
                                 
     
COUPON*
          
MATURITY DATE
    
PAR (000's)
    
VALUE
  
SHORT-TERM INVESTMENTS - 80.6%
                                
U.S. TREASURY OBLIGATIONS - 77.5%
                                
U.S. Treasury Bills
          
0.203
%
        
12/03/20
    
$
400
    
$
399,999
  
U.S. Treasury Bills
          
0.157
%
        
12/10/20
      
600
      
599,994
  
U.S. Treasury Bills
          
0.142
%
        
12/17/20
      
2,878
      
2,877,930
  
U.S. Treasury Bills
          
0.122
%
        
12/24/20
      
502
      
501,978
  
U.S. Treasury Bills
          
0.138
%
        
12/31/20
      
582
      
581,964
  
U.S. Treasury Bills
          
0.132
%
        
01/07/21
      
969
      
968,928
  
U.S. Treasury Bills
          
0.112
%
        
01/14/21
      
508
      
507,958
  
U.S. Treasury Bills
          
0.087
%
        
01/28/21
      
1,005
      
1,004,874
  
U.S. Treasury Bills
          
0.097
%
        
02/04/21
      
1,231
      
1,230,827
  
U.S. Treasury Bills
          
0.096
%
        
02/11/21
      
2,232
      
2,231,677
  
U.S. Treasury Bills
          
0.098
%
        
02/18/21
      
1,068
      
1,067,830
  
U.S. Treasury Bills
          
0.091
%
        
02/25/21
      
2,708
      
2,707,497
  
U.S. Treasury Bills
          
0.101
%
        
03/04/21
      
1,364
      
1,363,737
  
U.S. Treasury Bills
          
0.103
%
        
03/11/21
      
1,110
      
1,109,761
  
U.S. Treasury Bills
          
0.095
%
        
03/18/21
      
1,444
      
1,443,635
  
U.S. Treasury Bills
          
0.086
%
        
03/25/21
      
1,289
      
1,288,657
  
U.S. Treasury Bills
          
0.091
%
        
04/01/21
      
1,102
      
1,101,676
  
U.S. Treasury Bills
          
0.100
%
        
04/08/21
      
2,187
      
2,186,378
  
U.S. Treasury Bills
          
0.096
%
        
04/15/21
      
478
      
477,857
  
U.S. Treasury Bills
          
0.096
%
        
04/22/21
      
527
      
526,831
  
U.S. Treasury Bills
          
0.086
%
        
04/29/21
      
172
      
171,943
  
U.S. Treasury Bills
          
0.074
%
        
05/06/21
      
1,359
      
1,358,536
  
U.S. Treasury Bills
          
0.083
%
        
05/13/21
      
3,763
      
3,761,655
  
U.S. Treasury Bills
          
0.068
%
        
05/20/21
      
762
      
761,717
  
U.S. Treasury Bills
          
0.071
%
        
05/27/21
      
2,391
      
2,389,971
  
TOTAL U.S. TREASURY OBLIGATIONS ($32,623,074)
                                  
32,623,810
  
                             
NUMBER OF
          
                             
SHARES
          
MONEY MARKET DEPOSIT ACCOUNT - 3.1%
                        
(000's)
    
VALUE
  
U.S. Bank Money Market Deposit Account, 0.03% (United States)(a)
                          
1,285
      
1,285,044
  
TOTAL MONEY MARKET DEPOSIT ACCOUNT ($1,285,044)
                                  
1,285,044
  
                                           
TOTAL SHORT-TERM INVESTMENTS
                                      
(Cost $33,908,118)
                                  
33,908,854
  
TOTAL INVESTMENTS - 80.6%
                                      
(Cost $33,908,118)
                                  
33,908,854
  
                                           
OTHER ASSETS IN EXCESS OF LIABILITIES - 19.4%
                                  
8,181,353
  
NET ASSETS - 100.0%
                                
$
42,090,207
  
 
                                          
* Short-term investments' coupon reflect the annualized effective yield on the date of purchase for discounted investments.
                  
(a) The rate shown is as of November 30, 2020.
                                          
Futures contracts outstanding as of November 30, 2020 were as follows:
                                      
                                           
LONG CONTRACTS
    
EXPIRATION DATE
    
NUMBER OF CONTRACTS
    
NOTIONAL AMOUNT
    
VALUE AND UNREALIZED APPRECIATION/ (DEPRECIATION)
          
10-Year Mini Japanese Government Bond Futures
        
Dec-20
      
2
    
$
291,188
    
$
(335
)
        
3-Month Euro Euribor
        
Jun-21
      
3
      
899,467
      
671
          
3-Month Euro Euribor
        
Sep-21
      
21
      
6,296,581
      
(45
)
        
3-Month Euro Euribor
        
Mar-22
      
37
      
11,093,976
      
(507
)
        
3-Month Euro Euribor
        
Sep-22
      
1
      
299,822
      
(89
)
        
3-Month Euro Euribor
        
Dec-22
      
2
      
599,585
      
(134
)
        
3-Month Euro Euribor
        
Mar-23
      
2
      
599,525
      
(89
)
        
3-Month Euro Euribor
        
Jun-23
      
2
      
599,436
      
567
          
3-Month Euro Euribor
        
Dec-23
      
1
      
299,614
      
45
          
90-DAY Bank Bill
        
Jun-21
      
17
      
12,477,881
      
1,990
          
90-DAY Bank Bill
        
Sep-21
      
3
      
2,201,870
      
163
          
90-DAY Bank Bill
        
Dec-21
      
2
      
1,467,805
      
(18
)
        
90-DAY Bank Bill
        
Mar-22
      
2
      
1,467,733
      
109
          
90-DAY Bank Bill
        
Jun-22
      
1
      
733,812
      
18
          
90-DAY Eurodollar Futures
        
Mar-21
      
21
      
5,238,975
      
200
          
90-DAY Eurodollar Futures
        
Jun-21
      
9
      
2,245,388
      
(188
)
        
90-DAY Eurodollar Futures
        
Sep-21
      
14
      
3,492,650
      
(313
)
        
90-DAY Eurodollar Futures
        
Dec-21
      
3
      
748,200
      
(188
)
        
90-DAY Eurodollar Futures
        
Mar-22
      
3
      
748,238
      
250
          
90-DAY Eurodollar Futures
        
Jun-22
      
3
      
748,163
      
(300
)
        
90-DAY Eurodollar Futures
        
Sep-22
      
14
      
3,490,900
      
650
          
90-DAY Eurodollar Futures
        
Dec-22
      
4
      
997,000
      
250
          
90-DAY Eurodollar Futures
        
Mar-23
      
4
      
996,900
      
100
          
90-DAY Eurodollar Futures
        
Sep-23
      
6
      
1,493,550
      
(25
)
        
90-DAY Eurodollar Futures
        
Dec-23
      
1
      
248,788
      
225
          
90-DAY Sterling Futures
        
Mar-21
      
50
      
8,329,723
      
183
          
90-DAY Sterling Futures
        
Jun-21
      
5
      
833,139
      
(133
)
        
90-DAY Sterling Futures
        
Sep-21
      
35
      
5,832,556
      
(1,325
)
        
90-DAY Sterling Futures
        
Dec-21
      
13
      
2,166,486
      
(400
)
        
90-DAY Sterling Futures
        
Mar-22
      
27
      
4,497,150
      
(2,250
)
        
90-DAY Sterling Futures
        
Jun-22
      
11
      
1,831,989
      
(825
)
        
90-DAY Sterling Futures
        
Sep-22
      
24
      
3,996,467
      
(1,350
)
        
90-DAY Sterling Futures
        
Dec-22
      
9
      
1,498,525
      
(333
)
        
90-DAY Sterling Futures
        
Mar-23
      
9
      
1,498,300
      
(125
)
        
90-DAY Sterling Futures
        
Sep-23
      
14
      
2,329,406
      
(633
)
        
Amsterdam Index Futures
        
Dec-20
      
4
      
577,997
      
2,436
          
AUD/USD Currency Futures
        
Dec-20
      
28
      
2,059,260
      
15,490
          
Australian 10-Year Bond Futures
        
Dec-20
      
22
      
2,401,815
      
(863
)
        
Australian 3-Year Bond Futures
        
Dec-20
      
102
      
8,792,921
      
21,104
          
Bank Acceptance Futures
        
Jun-21
      
6
      
1,149,226
      
183
          
Bank Acceptance Futures
        
Sep-21
      
5
      
957,592
      
212
          
Bank Acceptance Futures
        
Dec-21
      
4
      
765,881
      
144
          
Bank Acceptance Futures
        
Mar-22
      
3
      
574,180
      
87
          
Bank Acceptance Futures
        
Jun-22
      
2
      
382,613
      
10
          
Brent Crude Futures
        
Feb-21
      
7
      
335,160
      
6,280
          
Brent Crude Futures
        
Apr-21
      
1
      
48,030
      
3,150
          
Brent Crude Oil Last Day
        
Feb-21
      
1
      
47,880
      
1,590
          
CAC40 10 Euro Futures
        
Dec-20
      
16
      
985,710
      
(5,331
)
        
CAD Currency Futures
        
Dec-20
      
28
      
2,160,340
      
16,655
          
Canadian 10-Year Bond Futures
        
Mar-21
      
14
      
1,604,497
      
2,672
          
Canola Futures (Winnipeg Commodity Exchange)
        
Jan-21
      
1
      
8,903
      
(59
)
        
CHF Currency Futures
        
Dec-20
      
4
      
551,850
      
(400
)
        
Cocoa Futures
        
Mar-21
      
4
      
109,560
      
370
          
Cocoa Futures
        
May-21
      
1
      
26,750
      
(360
)
        
Cocoa Futures ICE
        
Mar-21
      
1
      
24,770
      
413
          
Cocoa Futures ICE
        
May-21
      
1
      
23,810
      
-
          
Copper Futures
        
Mar-21
      
12
      
1,031,400
      
37,038
          
Copper Futures
        
May-21
      
1
      
86,075
      
2,975
          
Corn Futures
        
Mar-21
      
29
      
617,700
      
2,413
          
Corn Futures
        
May-21
      
5
      
107,250
      
1,863
          
Corn Futures
        
Jul-21
      
1
      
21,488
      
(100
)
        
Corn Futures
        
Dec-21
      
3
      
61,200
      
(500
)
        
Cotton No.2 Futures
        
Mar-21
      
14
      
505,050
      
1,945
          
DAX Index Futures
        
Dec-20
      
5
      
1,987,881
      
20,964
          
DJIA Mini E-CBOT
        
Dec-20
      
4
      
444,435
      
20,055
          
E-Mini Consumer Staples Future
        
Dec-20
      
1
      
67,090
      
690
          
Emissions ICE
        
Dec-20
      
4
      
139,038
      
11,797
          
EUR Foreign Exchange Currency Futures
        
Dec-20
      
31
      
4,630,819
      
36,481
          
Euro BUXL 30-Year Bond Futures
        
Dec-20
      
2
      
540,408
      
4,581
          
Euro STOXX 50
        
Dec-20
      
18
      
752,568
      
907
          
Euro/JPY Futures
        
Dec-20
      
2
      
298,515
      
(2,730
)
        
Euro-Bobl Futures
        
Dec-20
      
35
      
5,652,905
      
(5,785
)
        
Euro-BTP Futures
        
Dec-20
      
14
      
2,524,352
      
77,690
          
Euro-Bund Futures
        
Dec-20
      
22
      
4,599,024
      
4,163
          
Euro-Oat Futures
        
Dec-20
      
16
      
3,240,919
      
25,491
          
Euro-Schatz Futures
        
Dec-20
      
33
      
4,421,558
      
(3,328
)
        
FTSE 100 Index Futures
        
Dec-20
      
9
      
754,999
      
(5,259
)
        
FTSE China A50 Index
        
Dec-20
      
19
      
317,623
      
4,358
          
FTSE/JSE TOP 40
        
Dec-20
      
1
      
33,866
      
(393
)
        
Gasoline RBOB Futures
        
Jan-21
      
14
      
730,061
      
21,748
          
GBP Currency Futures
        
Dec-20
      
7
      
583,800
      
11,494
          
Hang Seng China Enterprises Index Futures
        
Dec-20
      
4
      
204,708
      
(3,238
)
        
Hang Seng Index Futures
        
Dec-20
      
12
      
1,705,059
      
(24,010
)
        
JPN 10-Year Bond (Osaka Securities Exchange)
        
Dec-20
      
2
      
2,912,452
      
(2,682
)
        
JPY Currency Futures
        
Dec-20
      
16
      
1,917,300
      
14,056
          
Kansas City Hard Red Winter Wheat Futures
        
Mar-21
      
3
      
82,050
      
(2,500
)
        
Lean Hogs Futures
        
Feb-21
      
3
      
82,290
      
3,350
          
Live Cattle Futures
        
Feb-21
      
2
      
90,300
      
(600
)
        
LME Aluminum Forward
        
Dec-20
      
187
      
9,547,519
      
1,145,291
          
LME Aluminum Forward
        
Mar-21
      
62
      
3,171,300
      
144,543
          
LME Aluminum Forward - 90 Day Settlement
        
Dec-20
      
1
      
50,956
      
6,264
          
LME Aluminum Forward - 90 Day Settlement
        
Dec-20
      
1
      
51,025
      
5,987
          
LME Aluminum Forward - 90 Day Settlement
        
Dec-20
      
1
      
51,053
      
6,665
          
LME Aluminum Forward - 90 Day Settlement
        
Jan-21
      
1
      
51,095
      
6,674
          
LME Aluminum Forward - 90 Day Settlement
        
Jan-21
      
1
      
51,096
      
6,670
          
LME Aluminum Forward - 90 Day Settlement
        
Jan-21
      
1
      
51,096
      
5,996
          
LME Aluminum Forward - 90 Day Settlement
        
Jan-21
      
3
      
153,295
      
15,111
          
LME Aluminum Forward - 90 Day Settlement
        
Jan-21
      
1
      
51,099
      
4,749
          
LME Aluminum Forward - 90 Day Settlement
        
Jan-21
      
3
      
153,300
      
14,000
          
LME Aluminum Forward - 90 Day Settlement
        
Jan-21
      
1
      
51,100
      
4,925
          
LME Aluminum Forward - 90 Day Settlement
        
Jan-21
      
1
      
51,058
      
3,046
          
LME Aluminum Forward - 90 Day Settlement
        
Feb-21
      
3
      
153,208
      
14,420
          
LME Aluminum Forward - 90 Day Settlement
        
Feb-21
      
3
      
153,281
      
10,140
          
LME Aluminum Forward - 90 Day Settlement
        
Feb-21
      
2
      
102,150
      
2,525
          
LME Copper Forward
        
Dec-20
      
39
      
7,384,406
      
928,213
          
LME Copper Forward
        
Mar-21
      
25
      
4,740,000
      
310,199
          
LME Copper Forward - 90 Day Settlement
        
Dec-20
      
1
      
189,298
      
21,552
          
LME Copper Forward - 90 Day Settlement
        
Dec-20
      
1
      
189,344
      
20,826
          
LME Copper Forward - 90 Day Settlement
        
Dec-20
      
1
      
189,181
      
19,676
          
LME Copper Forward - 90 Day Settlement
        
Jan-21
      
1
      
189,358
      
26,090
          
LME Copper Forward - 90 Day Settlement
        
Jan-21
      
1
      
189,419
      
20,346
          
LME Copper Forward - 90 Day Settlement
        
Jan-21
      
1
      
189,425
      
22,144
          
LME Lead Forward
        
Dec-20
      
8
      
413,600
      
48,109
          
LME Lead Forward
        
Mar-21
      
10
      
518,625
      
23,867
          
LME Nickel Forward
        
Dec-20
      
6
      
575,748
      
31,810
          
LME Nickel Forward
        
Mar-21
      
5
      
481,200
      
7,785
          
LME Nickel Forward - 90 Day Settlement
        
Dec-20
      
1
      
95,916
      
4,296
          
LME Nickel Forward - 90 Day Settlement
        
Dec-20
      
1
      
95,933
      
4,948
          
LME Nickel Forward - 90 Day Settlement
        
Dec-20
      
1
      
95,964
      
4,295
          
LME Nickel Forward - 90 Day Settlement
        
Dec-20
      
1
      
95,979
      
10,515
          
LME Nickel Forward - 90 Day Settlement
        
Dec-20
      
1
      
95,988
      
8,895
          
LME Nickel Forward - 90 Day Settlement
        
Dec-20
      
1
      
96,010
      
8,986
          
LME Nickel Forward - 90 Day Settlement
        
Jan-21
      
1
      
96,048
      
4,600
          
LME Nickel Forward - 90 Day Settlement
        
Jan-21
      
1
      
96,051
      
5,871
          
LME Nickel Forward - 90 Day Settlement
        
Jan-21
      
1
      
96,064
      
627
          
LME Nickel Forward - 90 Day Settlement
        
Jan-21
      
1
      
96,070
      
2,080
          
LME Nickel Forward - 90 Day Settlement
        
Jan-21
      
1
      
96,081
      
2,151
          
LME Nickel Forward - 90 Day Settlement
        
Jan-21
      
1
      
96,072
      
3,732
          
LME Nickel Forward - 90 Day Settlement
        
Feb-21
      
1
      
96,093
      
1,508
          
LME Nickel Forward - 90 Day Settlement
        
Feb-21
      
1
      
96,099
      
5,129
          
LME Nickel Forward - 90 Day Settlement
        
Feb-21
      
1
      
96,143
      
81
          
LME Nickel Forward - 90 Day Settlement
        
Feb-21
      
1
      
96,198
      
(1,440
)
        
LME Palladium Forward - 90 Day Settlement
        
Dec-20
      
1
      
51,619
      
3,719
          
LME Palladium Forward - 90 Day Settlement
        
Dec-20
      
1
      
51,689
      
3,469
          
LME Palladium Forward - 90 Day Settlement
        
Dec-20
      
1
      
51,679
      
4,518
          
LME Palladium Forward - 90 Day Settlement
        
Jan-21
      
1
      
51,699
      
6,649
          
LME Silver Forward - 90 Day Settlement
        
Dec-20
      
1
      
69,424
      
7,236
          
LME Silver Forward - 90 Day Settlement
        
Dec-20
      
1
      
69,424
      
9,315
          
LME Silver Forward - 90 Day Settlement
        
Dec-20
      
1
      
69,492
      
9,361
          
LME Silver Forward - 90 Day Settlement
        
Jan-21
      
1
      
69,549
      
11,686
          
LME Silver Forward - 90 Day Settlement
        
Jan-21
      
1
      
69,559
      
10,479
          
LME Silver Forward - 90 Day Settlement
        
Jan-21
      
1
      
69,579
      
8,530
          
LME Silver Forward - 90 Day Settlement
        
Jan-21
      
1
      
69,599
      
7,305
          
LME Silver Forward - 90 Day Settlement
        
Jan-21
      
1
      
69,606
      
6,339
          
LME Zinc Forward
        
Dec-20
      
6
      
416,655
      
40,663
          
LME Zinc Forward
        
Mar-21
      
6
      
419,130
      
17,588
          
Long Gilt Futures
        
Mar-21
      
7
      
1,252,273
      
1,426
          
Low Sulphur Gasoil G Futures
        
Jan-21
      
3
      
117,000
      
3,075
          
MAIZE Futures
        
Jan-21
      
1
      
11,541
      
447
          
Mill Wheat Euro
        
Mar-21
      
2
      
24,692
      
2,028
          
Mill Wheat Euro
        
May-21
      
2
      
24,453
      
(298
)
        
Mini H-Shares Index Futures
        
Dec-20
      
1
      
13,647
      
(36
)
        
Mini HSI Index Futures
        
Dec-20
      
2
      
68,202
      
(603
)
        
Mini TOPIX Index Futures
        
Dec-20
      
1
      
16,815
      
1,489
          
MSCI Emerging Markets Index Futures
        
Dec-20
      
3
      
180,345
      
13,825
          
MXN Currency Futures
        
Dec-20
      
17
      
421,005
      
5,960
          
Nasdaq 100 E-Mini
        
Dec-20
      
7
      
1,718,780
      
54,978
          
Natural Gas Futures
        
Jan-21
      
2
      
57,640
      
1,610
          
Nikkei 225 (Singapore Exchange)
        
Dec-20
      
11
      
1,394,756
      
51,973
          
Nikkei 225 Mini
        
Dec-20
      
4
      
101,379
      
11,547
          
NY Harbor Ultra-Low Sulfur Diesel Futures
        
Jan-21
      
15
      
863,982
      
37,729
          
NY Harbor Ultra-Low Sulfur Diesel Futures
        
Dec-21
      
1
      
60,787
      
269
          
NZD Currency Futures
        
Dec-20
      
17
      
1,193,910
      
53,360
          
OMX Stockholm 30 Index Futures
        
Dec-20
      
30
      
669,035
      
(2,360
)
        
Palm Oil Futures
        
Feb-21
      
3
      
60,843
      
2,792
          
Palm Oil Futures
        
Mar-21
      
1
      
19,919
      
(6
)
        
Russell 2000 E-Mini
        
Dec-20
      
2
      
182,010
      
33,070
          
S&P 500 E-Mini Futures
        
Dec-20
      
115
      
20,833,400
      
1,229,764
          
S&P Mid 400 E-Mini
        
Dec-20
      
1
      
216,840
      
18,480
          
S&P/TSX 60 IX Futures
        
Dec-20
      
4
      
629,553
      
22,290
          
SGX Iron Ore 62% Futures
        
Dec-20
      
1
      
12,936
      
209
          
SGX Iron Ore 62% Futures
        
Jan-21
      
2
      
25,224
      
424
          
SGX Nifty 50
        
Dec-20
      
8
      
207,888
      
(2,058
)
        
Short BTP Future
        
Dec-20
      
5
      
679,804
      
1,801
          
Silver Futures
        
Mar-21
      
1
      
112,965
      
(10,145
)
        
Soybean Futures
        
Jan-21
      
33
      
1,928,025
      
15,888
          
Soybean Futures
        
Mar-21
      
11
      
643,225
      
81,500
          
Soybean Futures
        
May-21
      
1
      
58,388
      
5,575
          
Soybean Futures
        
Nov-21
      
2
      
104,175
      
6,188
          
Soybean Meal Futures
        
Jan-21
      
6
      
234,300
      
1,510
          
Soybean Meal Futures
        
Mar-21
      
1
      
38,920
      
(100
)
        
Soybean Oil Futures
        
Jan-21
      
4
      
89,976
      
(1,080
)
        
Soybean Oil Futures
        
Dec-21
      
1
      
20,982
      
(132
)
        
SPI 200 Futures
        
Dec-20
      
6
      
718,889
      
29,839
          
STOXX Dividend Futures
        
Dec-21
      
2
      
19,825
      
(24
)
        
STOXX Europe 600 Banks Index
        
Dec-20
      
1
      
6,495
      
441
          
STOXX Europe 600 Index
        
Dec-20
      
2
      
46,545
      
895
          
Sugar No. 11 (World)
        
Mar-21
      
23
      
373,778
      
2,094
          
Sugar No. 11 (World)
        
May-21
      
15
      
232,176
      
(1,870
)
        
Sugar No. 11 (World)
        
Oct-21
      
1
      
14,840
      
526
          
Topix Index Futures
        
Dec-20
      
3
      
504,454
      
27,347
          
U.S. Treasury 10-Year Notes (Chicago Board of Trade)
        
Mar-21
      
23
      
3,177,953
      
6,430
          
U.S. Treasury 2-Year Notes (Chicago Board of Trade)
        
Mar-21
      
21
      
4,637,883
      
1,453
          
U.S. Treasury 5-Year Notes (Chicago Board of Trade)
        
Mar-21
      
32
      
4,033,000
      
4,687
          
U.S. Treasury Long Bond (Chicago Board of Trade)
        
Mar-21
      
3
      
524,719
      
1,438
          
U.S. Treasury Ultra 10-Year Notes
        
Mar-21
      
3
      
471,375
      
1,641
          
Wheat (Chicago Board of Trade)
        
Mar-21
      
32
      
936,000
      
(24,325
)
        
Wheat (Chicago Board of Trade)
        
May-21
      
1
      
29,438
      
(1,425
)
        
White Sugar ICE
        
Mar-21
      
1
      
19,940
      
(955
)
        
WTI Crude Futures - IPE
        
Jan-21
      
10
      
453,400
      
15,140
          
WTI Crude Futures
        
Jan-21
      
1
      
45,340
      
4,060
          
WTI Crude Futures
        
Feb-21
      
5
      
227,550
      
40
          
Yellow Maize Futures
        
Mar-21
      
1
      
22,213
      
509
          
                                 
$
5,113,617
          
                                               
SHORT CONTRACTS
    
EXPIRATION DATE
    
NUMBER OF CONTRACTS
    
NOTIONAL AMOUNT
    
VALUE AND UNREALIZED APPRECIATION/ (DEPRECIATION)
          
3-Month Euro Euribor
        
Mar-21
      
10
    
$
(2,998,074
)
  
$
(179
)
        
90-DAY Eurodollar Futures
        
Mar-22
      
18
      
(4,489,425
)
    
(1,250
)
        
90-DAY Eurodollar Futures
        
Sep-21
      
6
      
(1,496,850
)
    
450
          
Brent Crude Futures
        
Feb-21
      
1
      
(47,880
)
    
(7,090
)
        
Coffee 'C' Futures
        
Mar-21
      
1
      
(46,238
)
    
(4,669
)
        
DAX-Mini Futures
        
Dec-20
      
1
      
(79,515
)
    
(1,461
)
        
Dollar Index
        
Dec-20
      
6
      
(551,148
)
    
72
          
E-Mini Natural Gas
        
Jan-21
      
1
      
(7,205
)
    
(93
)
        
EUR Foreign Exchange Currency Futures
        
Dec-20
      
2
      
(298,763
)
    
(2,694
)
        
Euro-Bobl Futures
        
Dec-20
      
4
      
(646,046
)
    
227
          
FTSE 100 Index Futures
        
Dec-20
      
4
      
(335,555
)
    
4,606
          
Gasoline RBOB Futures
        
Jan-21
      
1
      
(52,147
)
    
(8,711
)
        
Gold 100 Oz Futures
        
Feb-21
      
5
      
(890,450
)
    
13,840
          
Hang Seng Index Futures
        
Dec-20
      
2
      
(341,012
)
    
4,309
          
JPY Currency Futures
        
Dec-20
      
11
      
(1,318,144
)
    
1,881
          
Lean Hogs Futures
        
Feb-21
      
1
      
(27,430
)
    
(2,090
)
        
Lean Hogs Futures
        
Apr-21
      
1
      
(28,560
)
    
(1,060
)
        
Live Cattle Futures
        
Feb-21
      
4
      
(180,600
)
    
230
          
Live Cattle Futures
        
Apr-21
      
1
      
(46,560
)
    
(630
)
        
Live Cattle Futures
        
Jun-21
      
2
      
(89,220
)
    
(650
)
        
LME Aluminum Forward
        
Mar-21
      
29
      
(1,483,350
)
    
(74,229
)
        
LME Aluminum Forward
        
Dec-20
      
187
      
(9,547,519
)
    
(1,128,682
)
        
LME Aluminum Forward - 90 Day Settlement
        
Dec-20
      
1
      
(50,956
)
    
(5,844
)
        
LME Aluminum Forward - 90 Day Settlement
        
Dec-20
      
1
      
(51,025
)
    
(6,716
)
        
LME Aluminum Forward - 90 Day Settlement
        
Dec-20
      
1
      
(51,053
)
    
(6,053
)
        
LME Aluminum Forward - 90 Day Settlement
        
Jan-21
      
1
      
(51,095
)
    
(5,075
)
        
LME Aluminum Forward - 90 Day Settlement
        
Jan-21
      
1
      
(51,096
)
    
(5,072
)
        
LME Aluminum Forward - 90 Day Settlement
        
Jan-21
      
1
      
(51,096
)
    
(5,070
)
        
LME Aluminum Forward - 90 Day Settlement
        
Jan-21
      
3
      
(153,295
)
    
(14,494
)
        
LME Aluminum Forward - 90 Day Settlement
        
Jan-21
      
1
      
(51,099
)
    
(4,661
)
        
LME Aluminum Forward - 90 Day Settlement
        
Jan-21
      
3
      
(153,300
)
    
(12,650
)
        
LME Aluminum Forward - 90 Day Settlement
        
Jan-21
      
1
      
(51,100
)
    
(4,819
)
        
LME Aluminum Forward - 90 Day Settlement
        
Jan-21
      
1
      
(51,058
)
    
(5,171
)
        
LME Aluminum Forward - 90 Day Settlement
        
Feb-21
      
3
      
(153,208
)
    
(10,273
)
        
LME Aluminum Forward - 90 Day Settlement
        
Feb-21
      
3
      
(153,281
)
    
(5,643
)
        
LME Aluminum Forward - 90 Day Settlement
        
Feb-21
      
1
      
(51,111
)
    
(1,661
)
        
LME Copper Forward
        
Mar-21
      
13
      
(2,464,800
)
    
(149,352
)
        
LME Copper Forward
        
Dec-20
      
39
      
(7,384,406
)
    
(818,271
)
        
LME Copper Forward - 90 Day Settlement
        
Dec-20
      
1
      
(189,298
)
    
(20,869
)
        
LME Copper Forward - 90 Day Settlement
        
Dec-20
      
1
      
(189,344
)
    
(19,769
)
        
LME Copper Forward - 90 Day Settlement
        
Dec-20
      
1
      
(189,181
)
    
(26,207
)
        
LME Copper Forward - 90 Day Settlement
        
Jan-21
      
1
      
(189,358
)
    
(20,344
)
        
LME Copper Forward - 90 Day Settlement
        
Jan-21
      
1
      
(189,419
)
    
(22,163
)
        
LME Copper Forward - 90 Day Settlement
        
Jan-21
      
1
      
(189,425
)
    
(21,863
)
        
LME Lead Forward
        
Mar-21
      
7
      
(363,038
)
    
(39,921
)
        
LME Lead Forward
        
Dec-20
      
8
      
(413,600
)
    
(40,322
)
        
LME Nickel Forward
        
Dec-20
      
6
      
(575,748
)
    
(25,100
)
        
LME Nickel Forward - 90 Day Settlement
        
Dec-20
      
1
      
(95,916
)
    
(4,980
)
        
LME Nickel Forward - 90 Day Settlement
        
Dec-20
      
1
      
(95,933
)
    
(4,312
)
        
LME Nickel Forward - 90 Day Settlement
        
Dec-20
      
1
      
(95,964
)
    
(10,536
)
        
LME Nickel Forward - 90 Day Settlement
        
Dec-20
      
1
      
(95,979
)
    
(8,409
)
        
LME Nickel Forward - 90 Day Settlement
        
Dec-20
      
1
      
(95,988
)
    
(8,988
)
        
LME Nickel Forward - 90 Day Settlement
        
Dec-20
      
1
      
(96,010
)
    
(9,310
)
        
LME Nickel Forward - 90 Day Settlement
        
Jan-21
      
1
      
(96,048
)
    
(8,954
)
        
LME Nickel Forward - 90 Day Settlement
        
Jan-21
      
1
      
(96,051
)
    
(4,600
)
        
LME Nickel Forward - 90 Day Settlement
        
Jan-21
      
1
      
(96,064
)
    
(2,171
)
        
LME Nickel Forward - 90 Day Settlement
        
Jan-21
      
1
      
(96,070
)
    
(631
)
        
LME Nickel Forward - 90 Day Settlement
        
Jan-21
      
1
      
(96,081
)
    
(1,722
)
        
LME Nickel Forward - 90 Day Settlement
        
Jan-21
      
1
      
(96,072
)
    
(5,142
)
        
LME Nickel Forward - 90 Day Settlement
        
Feb-21
      
1
      
(96,093
)
    
(5,193
)
        
LME Nickel Forward - 90 Day Settlement
        
Feb-21
      
1
      
(96,099
)
    
(99
)
        
LME Nickel Forward - 90 Day Settlement
        
Feb-21
      
1
      
(96,143
)
    
1,421
          
LME Palladium Forward - 90 Day Settlement
        
Dec-20
      
1
      
(51,619
)
    
(3,457
)
        
LME Palladium Forward - 90 Day Settlement
        
Dec-20
      
1
      
(51,689
)
    
(4,642
)
        
LME Palladium Forward - 90 Day Settlement
        
Dec-20
      
1
      
(51,679
)
    
(6,705
)
        
LME Palladium Forward - 90 Day Settlement
        
Jan-21
      
1
      
(51,699
)
    
(6,062
)
        
LME Silver Forward - 90 Day Settlement
        
Dec-20
      
1
      
(69,424
)
    
(9,343
)
        
LME Silver Forward - 90 Day Settlement
        
Dec-20
      
1
      
(69,424
)
    
(9,386
)
        
LME Silver Forward - 90 Day Settlement
        
Dec-20
      
1
      
(69,492
)
    
(8,867
)
        
LME Silver Forward - 90 Day Settlement
        
Jan-21
      
1
      
(69,549
)
    
(10,488
)
        
LME Silver Forward - 90 Day Settlement
        
Jan-21
      
1
      
(69,559
)
    
(8,634
)
        
LME Silver Forward - 90 Day Settlement
        
Jan-21
      
1
      
(69,579
)
    
(7,336
)
        
LME Silver Forward - 90 Day Settlement
        
Jan-21
      
1
      
(69,599
)
    
(6,429
)
        
LME Silver Forward - 90 Day Settlement
        
Jan-21
      
1
      
(69,606
)
    
(6,306
)
        
LME Zinc Forward
        
Dec-20
      
6
      
(416,655
)
    
(37,928
)
        
Low Sulphur Gasoil G Futures
        
Jan-21
      
1
      
(39,000
)
    
(3,850
)
        
Low Sulphur Gasoil G Futures
        
Feb-21
      
1
      
(39,350
)
    
(3,925
)
        
Natural Gas Futures
        
Jan-21
      
10
      
(288,200
)
    
3,640
          
Natural Gas Futures
        
Feb-21
      
10
      
(286,500
)
    
(1,470
)
        
Natural Gas Futures
        
Mar-21
      
2
      
(55,980
)
    
(310
)
        
Natural Gas Futures
        
Oct-21
      
1
      
(28,330
)
    
30
          
NY Harbor Ultra-Low Sulfur Diesel Futures
        
Jan-21
      
1
      
(57,599
)
    
(11,672
)
        
NY Harbor Ultra-Low Sulfur Diesel Futures
        
Apr-21
      
1
      
(58,359
)
    
(5,174
)
        
NZD Currency Futures
        
Dec-20
      
1
      
(70,230
)
    
(900
)
        
Red Wheat Futures (Minneapolis Grain Exchange)
        
Mar-21
      
1
      
(27,650
)
    
600
          
Silver Futures
        
Mar-21
      
1
      
(112,965
)
    
1,260
          
U.S. Treasury 10-Year Notes (Chicago Board of Trade)
        
Mar-21
      
26
      
(3,592,469
)
    
(5,539
)
        
U.S. Treasury 2-Year Notes (Chicago Board of Trade)
        
Mar-21
      
5
      
(1,104,258
)
    
(469
)
        
U.S. Treasury 5-Year Notes (Chicago Board of Trade)
        
Mar-21
      
45
      
(5,671,406
)
    
(7,336
)
        
U.S. Treasury Long Bond (Chicago Board of Trade)
        
Mar-21
      
2
      
(349,813
)
    
(1,133
)
        
Wheat (Chicago Board of Trade)
        
May-21
      
1
      
(29,438
)
    
850
          
WTI Crude Futures
        
Jan-21
      
1
      
(45,340
)
    
(7,870
)
        
                             
$
(2,747,733
)
        
Total Futures Contracts
                            
$
2,365,884
          
                                               
Forward foreign currency contracts outstanding as of November 30, 2020 were as follows:
  
                                               
CURRENCY PURCHASED
    
CURRENCY SOLD
    
EXPIRATION DATE
    
COUNTERPARTY
    
UNREALIZED APPRECIATION/ (DEPRECIATION)
  
AUD
    
202,012
    
EUR
      
125,000
    
Dec 01 2020
    
SOCIETE GENERALE
      
(822
)
AUD
    
1,190,454
    
USD
      
877,530
    
Dec 01 2020
    
SOCIETE GENERALE
    
$
(3,672
)
AUD
    
1,189,796
    
USD
      
878,914
    
Dec 02 2020
    
SOCIETE GENERALE
      
(5,531
)
AUD
    
1,189,796
    
USD
      
874,749
    
Dec 03 2020
    
SOCIETE GENERALE
      
(1,357
)
AUD
    
800,000
    
CAD
      
762,098
    
Jan 20 2021
    
SOCIETE GENERALE
      
532
  
AUD
    
406,602
    
EUR
      
250,000
    
Jan 20 2021
    
SOCIETE GENERALE
      
(68
)
AUD
    
682,320
    
GBP
      
375,000
    
Jan 20 2021
    
SOCIETE GENERALE
      
830
  
AUD
    
200,000
    
JPY
      
15,363,120
    
Jan 20 2021
    
SOCIETE GENERALE
      
(428
)
AUD
    
800,000
    
NZD
      
844,089
    
Jan 20 2021
    
SOCIETE GENERALE
      
(4,369
)
AUD
    
400,000
    
USD
      
290,744
    
Jan 20 2021
    
SOCIETE GENERALE
      
3,032
  
BRL
    
801,550
    
USD
      
150,000
    
Dec 16 2020
    
SOCIETE GENERALE
      
(423
)
CAD
    
272,844
    
USD
      
210,141
    
Dec 01 2020
    
SOCIETE GENERALE
      
(51
)
CAD
    
272,844
    
USD
      
210,237
    
Dec 02 2020
    
SOCIETE GENERALE
      
(146
)
CAD
    
400,000
    
USD
      
306,332
    
Jan 20 2021
    
SOCIETE GENERALE
      
1,774
  
CHF
    
151,268
    
GBP
      
125,000
    
Dec 01 2020
    
SOCIETE GENERALE
      
(183
)
CHF
    
1,898,643
    
USD
      
2,090,125
    
Dec 01 2020
    
SOCIETE GENERALE
      
(773
)
CHF
    
1,872,801
    
USD
      
2,069,229
    
Dec 02 2020
    
SOCIETE GENERALE
      
(8,255
)
CHF
    
1,868,933
    
USD
      
2,062,446
    
Dec 03 2020
    
SOCIETE GENERALE
      
(5,669
)
CHF
    
269,914
    
EUR
      
250,000
    
Jan 20 2021
    
SOCIETE GENERALE
      
(1,080
)
CHF
    
150,285
    
GBP
      
125,000
    
Jan 20 2021
    
SOCIETE GENERALE
      
(1,057
)
CHF
    
250,000
    
JPY
      
28,537,725
    
Jan 20 2021
    
SOCIETE GENERALE
      
2,010
  
CHF
    
125,000
    
USD
      
137,180
    
Jan 20 2021
    
SOCIETE GENERALE
      
647
  
CLP
    
153,213,894
    
USD
      
200,000
    
Dec 16 2020
    
SOCIETE GENERALE
      
1,200
  
CNH
    
3,436,750
    
USD
      
500,000
    
Dec 16 2020
    
SOCIETE GENERALE
      
21,342
  
CNH
    
5,284,354
    
USD
      
800,000
    
Jan 20 2021
    
SOCIETE GENERALE
      
(517
)
COP
    
929,466,800
    
USD
      
250,000
    
Dec 16 2020
    
SOCIETE GENERALE
      
8,266
  
CZK
    
7,966,004
    
EUR
      
300,000
    
Dec 16 2020
    
SOCIETE GENERALE
      
3,997
  
EUR
    
125,000
    
AUD
      
202,670
    
Dec 01 2020
    
SOCIETE GENERALE
      
338
  
EUR
    
2,239,198
    
USD
      
2,668,363
    
Dec 01 2020
    
SOCIETE GENERALE
      
2,721
  
EUR
    
2,600,402
    
USD
      
3,108,236
    
Dec 02 2020
    
SOCIETE GENERALE
      
(6,210
)
EUR
    
2,596,647
    
USD
      
3,102,544
    
Dec 03 2020
    
SOCIETE GENERALE
      
(4,926
)
EUR
    
350,000
    
CZK
      
9,369,756
    
Dec 16 2020
    
SOCIETE GENERALE
      
(8,120
)
EUR
    
400,000
    
HUF
      
143,525,363
    
Dec 16 2020
    
SOCIETE GENERALE
      
135
  
EUR
    
450,000
    
NOK
      
4,883,155
    
Dec 16 2020
    
SOCIETE GENERALE
      
(11,900
)
EUR
    
350,000
    
PLN
      
1,576,056
    
Dec 16 2020
    
SOCIETE GENERALE
      
(2,239
)
EUR
    
500,000
    
SEK
      
5,243,221
    
Dec 16 2020
    
SOCIETE GENERALE
      
(14,809
)
EUR
    
500,000
    
CAD
      
776,311
    
Jan 20 2021
    
SOCIETE GENERALE
      
(582
)
EUR
    
200,000
    
GBP
      
179,079
    
Jan 20 2021
    
SOCIETE GENERALE
      
42
  
EUR
    
200,000
    
JPY
      
24,642,880
    
Jan 20 2021
    
SOCIETE GENERALE
      
2,656
  
EUR
    
125,000
    
NOK
      
1,342,853
    
Jan 20 2021
    
SOCIETE GENERALE
      
(1,643
)
EUR
    
250,000
    
USD
      
296,209
    
Jan 20 2021
    
SOCIETE GENERALE
      
2,482
  
GBP
    
125,000
    
CHF
      
150,471
    
Dec 01 2020
    
SOCIETE GENERALE
      
1,060
  
GBP
    
843,011
    
USD
      
1,127,348
    
Dec 01 2020
    
SOCIETE GENERALE
      
(3,478
)
GBP
    
3,377
    
EUR
      
3,755
    
Dec 02 2020
    
SOCIETE GENERALE
      
22
  
GBP
    
843,011
    
USD
      
1,121,380
    
Dec 02 2020
    
SOCIETE GENERALE
      
2,496
  
GBP
    
846,388
    
USD
      
1,129,596
    
Dec 03 2020
    
SOCIETE GENERALE
      
(1,213
)
GBP
    
125,000
    
AUD
      
227,246
    
Jan 20 2021
    
SOCIETE GENERALE
      
(134
)
GBP
    
125,000
    
USD
      
165,650
    
Jan 20 2021
    
SOCIETE GENERALE
      
1,114
  
HUF
    
71,943,540
    
EUR
      
200,000
    
Dec 16 2020
    
SOCIETE GENERALE
      
534
  
ILS
    
1,008,825
    
USD
      
300,000
    
Dec 16 2020
    
SOCIETE GENERALE
      
4,996
  
ILS
    
671,147
    
USD
      
200,000
    
Jan 20 2021
    
SOCIETE GENERALE
      
2,965
  
INR
    
29,807,520
    
USD
      
400,000
    
Dec 02 2020
    
SOCIETE GENERALE
      
2,429
  
INR
    
29,747,000
    
USD
      
400,000
    
Dec 07 2020
    
SOCIETE GENERALE
      
1,437
  
INR
    
29,891,520
    
USD
      
400,000
    
Dec 14 2020
    
SOCIETE GENERALE
      
3,090
  
INR
    
18,495,534
    
USD
      
250,000
    
Dec 16 2020
    
SOCIETE GENERALE
      
(639
)
INR
    
29,666,000
    
USD
      
400,000
    
Dec 21 2020
    
SOCIETE GENERALE
      
(247
)
JPY
    
7,798,630
    
USD
      
74,667
    
Dec 01 2020
    
SOCIETE GENERALE
      
33
  
JPY
    
7,798,630
    
USD
      
74,952
    
Dec 02 2020
    
SOCIETE GENERALE
      
(251
)
JPY
    
4,729,050
    
USD
      
45,328
    
Dec 03 2020
    
SOCIETE GENERALE
      
(29
)
JPY
    
15,114,840
    
AUD
      
200,000
    
Jan 20 2021
    
SOCIETE GENERALE
      
(1,953
)
JPY
    
12,500,000
    
USD
      
120,156
    
Jan 20 2021
    
SOCIETE GENERALE
      
(296
)
KRW
    
566,315,000
    
USD
      
500,000
    
Dec 07 2020
    
SOCIETE GENERALE
      
11,747
  
KRW
    
559,205,000
    
USD
      
500,000
    
Dec 14 2020
    
SOCIETE GENERALE
      
5,299
  
KRW
    
400,477,096
    
USD
      
350,000
    
Dec 16 2020
    
SOCIETE GENERALE
      
11,867
  
KRW
    
553,190,000
    
USD
      
500,000
    
Dec 18 2020
    
SOCIETE GENERALE
      
(150
)
MXN
    
1,500,000
    
USD
      
74,355
    
Jan 20 2021
    
SOCIETE GENERALE
      
(551
)
NOK
    
3,212,132
    
EUR
      
300,000
    
Dec 16 2020
    
SOCIETE GENERALE
      
3,065
  
NZD
    
100,000
    
USD
      
70,265
    
Dec 01 2020
    
SOCIETE GENERALE
      
(145
)
NZD
    
1,682,762
    
AUD
      
1,600,000
    
Jan 20 2021
    
SOCIETE GENERALE
      
4,939
  
NZD
    
400,000
    
JPY
      
28,663,160
    
Jan 20 2021
    
SOCIETE GENERALE
      
5,653
  
NZD
    
500,000
    
USD
      
345,739
    
Jan 20 2021
    
SOCIETE GENERALE
      
4,887
  
PHP
    
21,928,041
    
USD
      
450,000
    
Dec 16 2020
    
SOCIETE GENERALE
      
5,938
  
PLN
    
675,877
    
EUR
      
150,000
    
Dec 16 2020
    
SOCIETE GENERALE
      
1,073
  
PLN
    
378,763
    
USD
      
100,000
    
Jan 20 2021
    
SOCIETE GENERALE
      
957
  
RUB
    
7,646,677
    
USD
      
100,000
    
Dec 16 2020
    
SOCIETE GENERALE
      
(21
)
SEK
    
11,381,349
    
EUR
      
1,100,000
    
Dec 16 2020
    
SOCIETE GENERALE
      
14,648
  
SEK
    
2,558,270
    
EUR
      
250,000
    
Jan 20 2021
    
SOCIETE GENERALE
      
(71
)
SEK
    
1,906,866
    
NOK
      
2,000,000
    
Jan 20 2021
    
SOCIETE GENERALE
      
(2,294
)
SEK
    
1,725,799
    
USD
      
200,000
    
Jan 20 2021
    
SOCIETE GENERALE
      
1,448
  
SGD
    
473,685
    
USD
      
350,000
    
Dec 16 2020
    
SOCIETE GENERALE
      
3,193
  
SGD
    
1,076,941
    
USD
      
800,000
    
Jan 20 2021
    
SOCIETE GENERALE
      
3,020
  
THB
    
10,778,957
    
USD
      
350,000
    
Dec 16 2020
    
SOCIETE GENERALE
      
6,288
  
TRY
    
2,366,286
    
USD
      
300,000
    
Jan 20 2021
    
SOCIETE GENERALE
      
(3,225
)
TWD
    
5,687,400
    
USD
      
200,000
    
Dec 07 2020
    
SOCIETE GENERALE
      
(454
)
TWD
    
5,684,200
    
USD
      
200,000
    
Dec 14 2020
    
SOCIETE GENERALE
      
(551
)
TWD
    
10,093,764
    
USD
      
350,000
    
Dec 16 2020
    
SOCIETE GENERALE
      
4,181
  
TWD
    
5,676,200
    
USD
      
200,000
    
Dec 18 2020
    
SOCIETE GENERALE
      
(823
)
TWD
    
2,845,300
    
USD
      
100,000
    
Dec 21 2020
    
SOCIETE GENERALE
      
(155
)
TWD
    
2,842,700
    
USD
      
100,000
    
Dec 28 2020
    
SOCIETE GENERALE
      
(239
)
USD
    
878,902
    
AUD
      
1,189,796
    
Dec 01 2020
    
SOCIETE GENERALE
      
5,528
  
USD
    
874,738
    
AUD
      
1,189,796
    
Dec 02 2020
    
SOCIETE GENERALE
      
1,355
  
USD
    
146,522
    
AUD
      
200,000
    
Jan 20 2021
    
SOCIETE GENERALE
      
(366
)
USD
    
200,000
    
BRL
      
1,086,846
    
Dec 16 2020
    
SOCIETE GENERALE
      
(2,816
)
USD
    
210,236
    
CAD
      
272,844
    
Dec 01 2020
    
SOCIETE GENERALE
      
145
  
USD
    
2,096,805
    
CHF
      
1,897,846
    
Dec 01 2020
    
SOCIETE GENERALE
      
8,331
  
USD
    
2,066,662
    
CHF
      
1,872,801
    
Dec 02 2020
    
SOCIETE GENERALE
      
5,688
  
USD
    
100,000
    
CLP
      
78,180,152
    
Dec 16 2020
    
SOCIETE GENERALE
      
(2,666
)
USD
    
250,000
    
CNH
      
1,678,859
    
Dec 16 2020
    
SOCIETE GENERALE
      
(4,677
)
USD
    
200,000
    
CNH
      
1,319,804
    
Jan 20 2021
    
SOCIETE GENERALE
      
323
  
USD
    
250,000
    
COP
      
955,188,625
    
Dec 16 2020
    
SOCIETE GENERALE
      
(15,413
)
USD
    
2,676,453
    
EUR
      
2,239,198
    
Dec 01 2020
    
SOCIETE GENERALE
      
5,369
  
USD
    
3,102,474
    
EUR
      
2,596,647
    
Dec 02 2020
    
SOCIETE GENERALE
      
4,927
  
USD
    
1,121,373
    
GBP
      
843,011
    
Dec 01 2020
    
SOCIETE GENERALE
      
(2,497
)
USD
    
1,129,589
    
GBP
      
846,388
    
Dec 02 2020
    
SOCIETE GENERALE
      
1,212
  
USD
    
100,000
    
HUF
      
30,546,090
    
Jan 20 2021
    
SOCIETE GENERALE
      
(1,563
)
USD
    
200,000
    
ILS
      
685,673
    
Dec 16 2020
    
SOCIETE GENERALE
      
(7,298
)
USD
    
402,731
    
INR
      
29,807,520
    
Dec 02 2020
    
SOCIETE GENERALE
      
302
  
USD
    
400,000
    
INR
      
29,829,520
    
Dec 07 2020
    
SOCIETE GENERALE
      
(2,551
)
USD
    
400,000
    
INR
      
29,777,000
    
Dec 14 2020
    
SOCIETE GENERALE
      
(1,545
)
USD
    
100,000
    
INR
      
7,452,580
    
Dec 16 2020
    
SOCIETE GENERALE
      
(477
)
USD
    
400,000
    
INR
      
29,919,520
    
Dec 21 2020
    
SOCIETE GENERALE
      
(3,169
)
USD
    
500,000
    
INR
      
37,118,113
    
Dec 31 2020
    
SOCIETE GENERALE
      
352
  
USD
    
74,951
    
JPY
      
7,798,630
    
Dec 01 2020
    
SOCIETE GENERALE
      
250
  
USD
    
74,846
    
JPY
      
7,798,630
    
Dec 02 2020
    
SOCIETE GENERALE
      
145
  
USD
    
500,000
    
KRW
      
559,365,000
    
Dec 07 2020
    
SOCIETE GENERALE
      
(5,467
)
USD
    
500,000
    
KRW
      
553,370,000
    
Dec 14 2020
    
SOCIETE GENERALE
      
(26
)
USD
    
50,000
    
KRW
      
55,909,565
    
Dec 16 2020
    
SOCIETE GENERALE
      
(519
)
USD
    
100,000
    
NOK
      
908,389
    
Jan 20 2021
    
SOCIETE GENERALE
      
(2,138
)
USD
    
70,290
    
NZD
      
100,000
    
Dec 01 2020
    
SOCIETE GENERALE
      
170
  
USD
    
350,000
    
PHP
      
16,976,425
    
Dec 16 2020
    
SOCIETE GENERALE
      
(2,981
)
USD
    
250,000
    
RUB
      
18,941,875
    
Dec 16 2020
    
SOCIETE GENERALE
      
2,338
  
USD
    
100,000
    
SGD
      
137,094
    
Dec 16 2020
    
SOCIETE GENERALE
      
(2,221
)
USD
    
200,000
    
THB
      
6,312,275
    
Dec 16 2020
    
SOCIETE GENERALE
      
(8,646
)
USD
    
400,000
    
TRY
      
3,411,960
    
Jan 20 2021
    
SOCIETE GENERALE
      
(27,921
)
USD
    
200,000
    
TWD
      
5,694,200
    
Dec 07 2020
    
SOCIETE GENERALE
      
215
  
USD
    
200,000
    
TWD
      
5,683,400
    
Dec 14 2020
    
SOCIETE GENERALE
      
579
  
USD
    
150,000
    
TWD
      
4,266,489
    
Dec 16 2020
    
SOCIETE GENERALE
      
293
  
USD
    
200,000
    
TWD
      
5,695,600
    
Dec 18 2020
    
SOCIETE GENERALE
      
142
  
USD
    
100,000
    
ZAR
      
1,717,653
    
Dec 17 2020
    
SOCIETE GENERALE
      
(10,650
)
ZAR
    
2,411,031
    
USD
      
150,000
    
Dec 17 2020
    
SOCIETE GENERALE
      
5,317
  
ZAR
    
1,566,900
    
USD
      
100,000
    
Jan 20 2021
    
SOCIETE GENERALE
      
486
  
Total Forward Foreign Currency Contracts
            
$
(3,506
)
                                                 
                                                 
AUD
  
Australian Dollar
            
LME
    
London Mercantile Exchange
          
BRL
  
Brazilian Real
            
MIB
    
Milano Indice di Borsa
                  
CAD
  
Canadian Dollar
            
MXN
    
Mexican Peso
                  
CHF
  
Swiss Franc
            
NOK
    
Norwegian Krone
                  
CLP
  
Chilean Peso
            
NZD
    
New Zealand Dollar
                  
CNH
  
Chinese Yuan Renminbi
    
OMX
    
Stockholm Stock Exchange
          
COP
  
Colombian Peso
            
PHP
    
Philippine Peso
                  
CZK
  
Czech Koruna
            
PLN
    
Polish Zloty
                  
DAX
  
Deutscher Aktienindex
    
RBOB
    
Reformulated Blendstock for Oxygenate Blending
          
DJIA
  
Dow Jones Industrial Average
    
RUB
    
Russian Ruble
                  
EUR
  
Euro
            
SEK
    
Swedish Krona
                  
FTSE
  
Financial Times Stock Exchange
    
SGD
    
Singapore Dollar
                  
GBP
  
British Pound
            
THB
    
Thai Baht
                  
HUF
  
Hungarian Forint
            
TRY
    
Turkish Lira
                  
ILS
  
Israeli New Shekel
            
TWD
    
Taiwan Dollar
                  
INR
  
Indian Rupee
            
USD
    
United States Dollar
                  
JPY
  
Japanese Yen
            
WTI
    
West Texas Intermediate
                  
KRW
  
Korean Won
            
ZAR
    
South African Rand
                  

 The accompanying notes are an integral part of the consolidated portfolio of investments.


ABBEY CAPITAL MULTI ASSET FUND
 
NOTES TO CONSOLIDATED PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2020 (UNAUDITED)
 

   CONSOLIDATION OF SUBSIDIARIES –  The Abbey Capital Mulit-Asset Fund (the "ACMAF" or "Fund") seeks to achieve its investment objective by allocating its assets between a “Managed Futures” strategy, a "Long U.S. Equity" strategy and a “Fixed Income” strategy. The Managed Futures strategy will be achieved by the ACMAF investing up to 25% of its total assets in ACMAF Master Offshore Limited (the "Cayman Subsidiary"), a wholly-owned and controlled subsidiary of the ACMAF organized under the laws of the Cayman Islands. Effective on or about November 12, 2020, the Fund's previous wholly-owned subsidiary, the Abbey Capital Multi Asset Offshore Fund Limited became a wholly-owned subsidiary of the Cayman Subsidiary through a share exchange between the Fund and the Cayman Subsidiary and registered as a segregated portfolio company under the laws of the Cayman Islands under the name ACMAF Offshore SPC (the "SPC").  The Cayman Subsidiary serves soley as an intermediate entity through which the ACMAF invests in the SPC and makes no independent decisions and has no investment or other discretion over the Fund's investable assets. The consolidated financial statements of the ACMAF include the financial statements of the Cayman Subsidiary and SPC. The ACMAF consolidates the results of subsidiaries in which the Fund holds a controlling financial interest. All inter-company accounts and transactions have been eliminated. As of November 30, 2020, the net assets of the Cayman Subsidiary and SPC were $9,389,413, which represented 22.31% of the ACMAF's net assets.

   PORTFOLIO VALUATION — The Fund's net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Forward exchange contracts are valued by interpolating between spot and forward currency rates as quoted by an independent pricing service. Futures contracts are generally valued using the settlement price determined by the relevant exchange. Options for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, will be valued at the mean of the last bid and ask prices prior to the market close. Options not traded on a national securities exchange are valued at the last quoted bid price for long option positions and the closing ask price for short option positions. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.

   FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Fund's investments are summarized into three levels as described in the hierarchy below:
                 
•  Level 1 – Prices are determined using quoted prices in active markets for identical securities.
    
•  Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
•  Level 3 – Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
                 
The inputs or methodologies 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, as of November 30, 2020, in valuing the Fund's investments carried at fair value:
                 

ASSETS
  
TOTAL
    
LEVEL 1
    
LEVEL 2
    
LEVEL 3
  
Short-Term Investments
  
$
33,908,854
    
$
33,908,854
    
$
-
    
$
-
  
Commodity Contracts
                                
Futures Contracts
    
3,390,610
      
3,390,610
      
-
      
-
  
Equity Contracts
                                
Futures Contracts
    
1,554,269
      
1,554,269
      
-
      
-
  
Foreign Currency Contracts
                                
Forward Foreign Currency Contracts
    
203,850
      
-
      
203,850
      
-
  
Futures Contracts
    
155,449
      
155,449
      
-
      
-
  
Interest Rate Contracts
                                
Futures Contracts
    
161,311
      
161,311
      
-
      
-
  
Total Assets
  
$
39,374,343
    
$
39,170,493
    
$
203,850
    
$
-
  
                                 
                                 
LIABILITIES
  
TOTAL
    
LEVEL 1
    
LEVEL 2
    
LEVEL 3
  
Commodity Contracts
                                
Futures Contracts
  
$
(2,806,094
)
  
$
(2,806,094
)
  
$
-
    
$
-
  
Equity Contracts
                                
Futures Contracts
    
(44,773
)
    
(44,773
)
    
-
      
-
  
Foreign Currency Contracts
                                
Forward Foreign Currency Contracts
    
(207,356
)
    
-
      
(207,356
)
    
-
  
Futures Contracts
    
(6,724
)
    
(6,724
)
    
-
      
-
  
Interest Rate Contracts
                                
Futures Contracts
    
(38,169
)
    
(38,169
)
    
-
      
-
  
Total Liabilities
  
$
(3,103,116
)
  
$
(2,895,760
)
  
$
(207,356
)
  
$
-
  

   At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

   Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund's investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

   For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only if the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

   For the period ended November 30, 2020, the Fund had no Level 3 transfers.
      
                 
   For more information with regard to significant accounting policies, see the most recent semi-annual or annual report filed with the Securities and Exchange Commission.