NPORT-EX 2 acmaf.htm NPORT-EX

ABBEY CAPITAL MULTI ASSET FUND
        
         
CONSOLIDATED PORTFOLIO OF INVESTMENTS
        
May 31, 2021
        
(UNAUDITED)
        
                                 
                                 
     
COUPON*
          
MATURITY DATE
    
PAR (000's)
    
VALUE
  
SHORT-TERM INVESTMENTS - 82.1%
                                
U.S. TREASURY OBLIGATIONS - 79.1%
                                
U.S. Treasury Bills
          
0.079
%
        
06/03/21
    
$
539
    
$
539,000
  
U.S. Treasury Bills
          
0.061
%
        
06/10/21
      
284
      
284,000
  
U.S. Treasury Bills
          
0.079
%
        
06/17/21
      
3,657
      
3,657,004
  
U.S. Treasury Bills
          
0.032
%
        
06/24/21
      
977
      
977,002
  
U.S. Treasury Bills
          
0.063
%
        
07/01/21
      
931
      
930,996
  
U.S. Treasury Bills
          
0.071
%
        
07/08/21
      
1,153
      
1,152,994
  
U.S. Treasury Bills
          
0.076
%
        
07/15/21
      
437
      
436,997
  
U.S. Treasury Bills
          
0.071
%
        
07/22/21
      
10,195
      
10,195,036
  
U.S. Treasury Bills
          
0.030
%
        
07/29/21
      
762
      
761,994
  
U.S. Treasury Bills
          
0.034
%
        
08/05/21
      
932
      
931,988
  
U.S. Treasury Bills
          
0.045
%
        
08/12/21
      
3,007
      
3,006,947
  
U.S. Treasury Bills
          
0.029
%
        
08/19/21
      
2,963
      
2,962,967
  
U.S. Treasury Bills
          
0.041
%
        
08/26/21
      
4,991
      
4,990,911
  
U.S. Treasury Bills
          
0.048
%
        
09/02/21
      
961
      
960,982
  
U.S. Treasury Bills
          
0.030
%
        
09/09/21
      
1,006
      
1,005,979
  
U.S. Treasury Bills
          
0.020
%
        
09/16/21
      
1,641
      
1,640,975
  
U.S. Treasury Bills
          
0.021
%
        
09/23/21
      
1,864
      
1,863,941
  
U.S. Treasury Bills
          
0.020
%
        
09/30/21
      
2,777
      
2,776,883
  
U.S. Treasury Bills
          
0.013
%
        
10/07/21
      
3,102
      
3,101,876
  
U.S. Treasury Bills
          
0.029
%
        
10/14/21
      
369
      
368,982
  
U.S. Treasury Bills
          
0.018
%
        
10/21/21
      
1,281
      
1,280,936
  
U.S. Treasury Bills
          
0.015
%
        
10/28/21
      
337
      
336,983
  
U.S. Treasury Bills
          
0.020
%
        
11/04/21
      
2,455
      
2,454,841
  
U.S. Treasury Bills
          
0.020
%
        
11/12/21
      
2,519
      
2,518,828
  
U.S. Treasury Bills
          
0.010
%
        
11/18/21
      
585
      
584,945
  
U.S. Treasury Bills
          
0.015
%
        
11/26/21
      
2,076
      
2,075,718
  
TOTAL U.S. TREASURY OBLIGATIONS ($51,797,116)
                                  
51,799,705
  
                             
NUMBER OF
          
                             
SHARES
          
MONEY MARKET DEPOSIT ACCOUNT - 3.6%
                        
(000's)
          
U.S. Bank Money Market Deposit Account, 0.01% (United States)(a)
                          
2,385
      
2,385,333
  
TOTAL MONEY MARKET DEPOSIT ACCOUNT ($2,385,333)
                                  
2,385,333
  
                                           
TOTAL SHORT-TERM INVESTMENTS
                                      
(Cost $54,182,449)
                                  
54,185,038
  
TOTAL INVESTMENTS - 82.1%
                                      
(Cost $54,182,449)
                                  
54,185,038
  
                                           
OTHER ASSETS IN EXCESS OF LIABILITIES - 17.9%
                                  
11,785,324
  
NET ASSETS - 100.0%
                                
$
65,970,362
  
 
                                          
* Short-term investments' coupon reflect the annualized effective yield on the date of purchase for discounted investments.
                  
(a) The rate shown is as of May 31, 2021.
                                          
Futures contracts outstanding as of May 31, 2021 were as follows:
                                      
                                           
LONG CONTRACTS
    
EXPIRATION DATE
    
NUMBER OF CONTRACTS
    
NOTIONAL AMOUNT
    
VALUE AND UNREALIZED APPRECIATION/ (DEPRECIATION)
          
10-Year Mini Japanese Government Bond Futures
        
Jun-21
      
4
    
$
551,627
    
$
109
          
3-Month Euro Euribor
        
Mar-22
      
35
      
10,725,163
      
(1,860
)
        
3-Month Euro Euribor
        
Jun-23
      
1
      
306,037
      
(122
)
        
90-DAY Bank Bill
        
Dec-21
      
24
      
18,498,337
      
665
          
90-DAY Bank Bill
        
Mar-22
      
1
      
770,707
      
76
          
90-DAY Bank Bill
        
Jun-22
      
1
      
770,612
      
(19
)
        
90-DAY Bank Bill
        
Sep-22
      
1
      
770,460
      
38
          
90-DAY Bank Bill
        
Dec-22
      
1
      
770,232
      
19
          
90-DAY Eurodollar Futures
        
Dec-21
      
5
      
1,247,813
      
388
          
90-DAY Eurodollar Futures
        
Mar-22
      
150
      
37,440,000
      
12,938
          
90-DAY Eurodollar Futures
        
Jun-22
      
5
      
1,247,500
      
788
          
90-DAY Eurodollar Futures
        
Sep-22
      
16
      
3,989,200
      
1,000
          
90-DAY Eurodollar Futures
        
Dec-22
      
6
      
1,494,225
      
(150
)
        
90-DAY Eurodollar Futures
        
Mar-23
      
18
      
4,479,750
      
(213
)
        
90-DAY Eurodollar Futures
        
Jun-23
      
3
      
745,650
      
813
          
90-DAY Eurodollar Futures
        
Sep-23
      
1
      
247,988
      
263
          
90-DAY Sterling Futures
        
Dec-21
      
1
      
177,198
      
(302
)
        
90-DAY Sterling Futures
        
Mar-22
      
33
      
5,841,384
      
(1,109
)
        
90-DAY Sterling Futures
        
Jun-22
      
2
      
249,408
      
71
          
90-DAY Sterling Futures
        
Sep-22
      
6
      
1,061,005
      
222
          
Amsterdam Index Futures
        
Jun-21
      
5
      
869,104
      
17,999
          
AUD/USD Currency Futures
        
Jun-21
      
56
      
4,319,840
      
(18,777
)
        
Australian 10-Year Bond Futures
        
Jun-21
      
2
      
216,119
      
(693
)
        
Australian 3-Year Bond Futures
        
Jun-21
      
147
      
13,289,645
      
9,888
          
Bank Acceptance Futures
        
Dec-21
      
4
      
823,848
      
155
          
Bank Acceptance Futures
        
Mar-22
      
5
      
1,029,190
      
41
          
Bank Acceptance Futures
        
Jun-22
      
6
      
1,233,413
      
(445
)
        
Bank Acceptance Futures
        
Sep-22
      
3
      
615,651
      
(331
)
        
Brent Crude Futures
        
Aug-21
      
12
      
824,640
      
20,280
          
Brent Crude Futures
        
Sep-21
      
2
      
136,680
      
4,770
          
CAC40 10 Euro Futures
        
Jun-21
      
42
      
3,314,509
      
12,458
          
CAD Currency Futures
        
Jun-21
      
48
      
3,971,520
      
107,343
          
Canola Futures (Winnipeg Commodity Exchange)
        
Jul-21
      
1
      
14,734
      
2,275
          
Cattle Feeder Futures
        
Aug-21
      
1
      
75,675
      
(3,413
)
        
CHF Currency Futures
        
Jun-21
      
29
      
4,031,363
      
37,125
          
Coffee 'C' Futures
        
Jul-21
      
4
      
243,525
      
36,919
          
Coffee 'C' Futures
        
Sep-21
      
2
      
123,225
      
17,400
          
Coffee 'C' Futures
        
Dec-21
      
1
      
62,625
      
6,113
          
Coffee Robusta Futures
        
Sep-21
      
1
      
16,050
      
1,870
          
Copper Futures
        
Jul-21
      
2
      
233,875
      
14,988
          
Corn Futures
        
Jul-21
      
11
      
361,213
      
16,075
          
Corn Futures
        
Sep-21
      
3
      
85,988
      
763
          
Corn Futures
        
Dec-21
      
3
      
81,825
      
2,275
          
Cotton No.2 Futures
        
Dec-21
      
12
      
499,920
      
(14,075
)
        
DAX Index Futures
        
Jun-21
      
7
      
3,310,326
      
130,039
          
DAX-Mini Futures
        
Jun-21
      
1
      
94,581
      
(884
)
        
DJIA Mini E-CBOT
        
Jun-21
      
5
      
862,825
      
49,100
          
E-Mini Energy Select Futures
        
Jun-21
      
1
      
54,130
      
2,040
          
Emissions ICE
        
Dec-21
      
6
      
372,292
      
137,926
          
EUR Foreign Exchange Currency Futures
        
Jun-21
      
50
      
7,627,813
      
41,063
          
Euro STOXX 50
        
Jun-21
      
22
      
1,090,825
      
27,291
          
Euro/JPY Futures
        
Jun-21
      
4
      
609,915
      
16,388
          
Euro-Bobl Futures
        
Jun-21
      
59
      
9,694,234
      
5,219
          
Euro-BTP Futures
        
Jun-21
      
4
      
718,697
      
(1,256
)
        
Euro-Bund Futures
        
Jun-21
      
25
      
5,180,845
      
22,231
          
FTSE 100 Index Futures
        
Jun-21
      
18
      
1,794,125
      
15,816
          
FTSE China A50 Index
        
Jun-21
      
17
      
309,978
      
492
          
FTSE/JSE TOP 40
        
Jun-21
      
3
      
133,930
      
(960
)
        
FTSE/MIB Index Futures
        
Jun-21
      
2
      
306,912
      
8,317
          
Gasoline RBOB Futures
        
Jul-21
      
6
      
538,499
      
35,066
          
Gasoline RBOB Futures
        
Aug-21
      
2
      
178,828
      
(2,054
)
        
GBP Currency Futures
        
Jun-21
      
36
      
3,194,100
      
56,816
          
Gold 100 Oz Futures
        
Aug-21
      
11
      
2,095,830
      
17,190
          
Hang Seng China Enterprises Index Futures
        
Jun-21
      
2
      
138,012
      
1,669
          
Hang Seng Index Futures
        
Jun-21
      
19
      
3,548,132
      
6,434
          
Kansas City Hard Red Winter Wheat Futures
        
Jul-21
      
1
      
30,663
      
(3,375
)
        
Lean Hogs Futures
        
Jul-21
      
3
      
143,220
      
19,330
          
Lean Hogs Futures
        
Aug-21
      
9
      
418,410
      
58,360
          
Live Cattle Futures
        
Oct-21
      
1
      
49,480
      
(270
)
        
Live Cattle Futures
        
Dec-21
      
1
      
51,220
      
680
          
LME Aluminum Forward
        
Jun-21
      
169
      
10,422,061
      
1,211,017
          
LME Aluminum Forward
        
Sep-21
      
71
      
4,414,869
      
34,526
          
LME Aluminum Forward - 90 Day Settlement
        
Jun-21
      
1
      
61,281
      
7,087
          
LME Aluminum Forward - 90 Day Settlement
        
Jun-21
      
1
      
61,557
      
7,131
          
LME Aluminum Forward - 90 Day Settlement
        
Jun-21
      
1
      
61,669
      
6,604
          
LME Aluminum Forward - 90 Day Settlement
        
Jun-21
      
1
      
61,706
      
4,354
          
LME Copper Forward
        
Jun-21
      
38
      
9,738,213
      
1,390,625
          
LME Copper Forward
        
Sep-21
      
22
      
5,645,063
      
9,971
          
LME Copper Forward - 90 Day Settlement
        
Aug-21
      
1
      
256,467
      
(6,246
)
        
LME Copper Forward - 90 Day Settlement
        
Aug-21
      
1
      
256,494
      
414
          
LME Copper Forward - 90 Day Settlement
        
Aug-21
      
1
      
256,444
      
8,443
          
LME Lead Forward
        
Jun-21
      
9
      
489,881
      
23,832
          
LME Lead Forward
        
Sep-21
      
4
      
219,825
      
(1,361
)
        
LME Nickel Forward
        
Jun-21
      
9
      
976,482
      
(3,731
)
        
LME Nickel Forward
        
Sep-21
      
4
      
434,892
      
7,113
          
LME Palladium Forward - 90 Day Settlement
        
Jul-21
      
1
      
54,664
      
1,702
          
LME Palladium Forward - 90 Day Settlement
        
Aug-21
      
1
      
54,708
      
(329
)
        
LME Palladium Forward - 90 Day Settlement
        
Aug-21
      
3
      
164,144
      
(1,056
)
        
LME Palladium Forward - 90 Day Settlement
        
Aug-21
      
5
      
273,936
      
(204
)
        
LME Palladium Forward - 90 Day Settlement
        
Aug-21
      
4
      
219,317
      
1,597
          
LME Zinc Forward
        
Jun-21
      
7
      
532,796
      
41,387
          
LME Zinc Forward
        
Sep-21
      
9
      
689,456
      
8,563
          
LME Zinc Forward - 90 Day Settlement
        
Jun-21
      
1
      
76,157
      
5,857
          
LME Zinc Forward - 90 Day Settlement
        
Jul-21
      
1
      
76,238
      
5,408
          
LME Zinc Forward - 90 Day Settlement
        
Jul-21
      
1
      
76,306
      
4,888
          
LME Zinc Forward - 90 Day Settlement
        
Jul-21
      
1
      
76,294
      
5,681
          
LME Zinc Forward - 90 Day Settlement
        
Jul-21
      
2
      
152,700
      
6,728
          
LME Zinc Forward - 90 Day Settlement
        
Aug-21
      
2
      
152,938
      
2,228
          
LME Zinc Forward - 90 Day Settlement
        
Aug-21
      
1
      
76,500
      
2,263
          
Low Sulphur Gasoil G Futures
        
Jul-21
      
10
      
567,250
      
15,450
          
Low Sulphur Gasoil G Futures
        
Aug-21
      
1
      
56,850
      
975
          
MAIZE Futures
        
Aug-21
      
2
      
31,828
      
1,738
          
Mini TOPIX Index Futures
        
Jun-21
      
3
      
53,207
      
694
          
MSCI EAFE Index Futures
        
Jun-21
      
3
      
350,550
      
7,360
          
MSCI Emerging Markets Index Futures
        
Jun-21
      
5
      
340,225
      
6,285
          
MSCI Singapore Exchange ETS
        
Jun-21
      
2
      
54,669
      
496
          
MXN Currency Futures
        
Jun-21
      
43
      
1,077,795
      
32,460
          
Nasdaq 100 E-Mini
        
Jun-21
      
13
      
3,558,490
      
76,895
          
Natural Gas Futures
        
Jul-21
      
16
      
477,760
      
(8,620
)
        
Natural Gas Futures
        
Aug-21
      
8
      
240,560
      
(960
)
        
Natural Gas Futures
        
Sep-21
      
1
      
30,020
      
(490
)
        
Nikkei 225 (Singapore Exchange)
        
Jun-21
      
29
      
18,187,383
      
(9,423
)
        
Nikkei 225 Mini
        
Jun-21
      
3
      
79,538
      
487
          
Nikkei/Yen Futures
        
Jun-21
      
1
      
132,107
      
4,962
          
NY Harbor Ultra-Low Sulfur Diesel Futures
        
Jul-21
      
10
      
856,086
      
64,558
          
NY Harbor Ultra-Low Sulfur Diesel Futures
        
Aug-21
      
2
      
171,310
      
4,624
          
NZD Currency Futures
        
Jun-21
      
24
      
1,741,920
      
14,640
          
OMX Stockholm 30 Index Futures
        
Jun-21
      
31
      
843,675
      
7,399
          
Palm Oil Futures
        
Aug-21
      
2
      
48,506
      
1,446
          
Palm Oil Futures
        
Sep-21
      
1
      
23,551
      
(1,911
)
        
Platinum Futures
        
Jul-21
      
1
      
59,120
      
(420
)
        
Rapeseed Euro
        
Aug-21
      
1
      
31,691
      
(1,890
)
        
Rough Rice Futures
        
Jul-21
      
1
      
26,600
      
(2,340
)
        
Russell 2000 E-Mini
        
Jun-21
      
3
      
340,290
      
(12,078
)
        
S&P 500 E-Mini Futures
        
Jun-21
      
153
      
32,148,360
      
1,723,365
          
S&P Mid 400 E-Mini
        
Jun-21
      
2
      
545,340
      
13,930
          
S&P/TSX 60 IX Futures
        
Jun-21
      
3
      
589,942
      
30,444
          
SGX Iron Ore 62% Futures
        
Jul-21
      
1
      
18,873
      
1,048
          
SGX Nifty 50
        
Jun-21
      
16
      
495,760
      
9,150
          
Short BTP Future
        
Jun-21
      
5
      
689,783
      
451
          
Silver Futures
        
Jul-21
      
11
      
1,540,770
      
80,065
          
Soybean Futures
        
Jul-21
      
7
      
535,675
      
16,738
          
Soybean Futures
        
Nov-21
      
10
      
686,375
      
30,488
          
Soybean Meal Futures
        
Jul-21
      
1
      
39,550
      
(2,770
)
        
Soybean Oil Futures
        
Jul-21
      
1
      
39,474
      
3,558
          
Soybean Oil Futures
        
Dec-21
      
2
      
70,548
      
6,054
          
SPI 200 Futures
        
Jun-21
      
10
      
1,382,797
      
52,575
          
STOXX Europe 600 Banks Index
        
Jun-21
      
3
      
25,682
      
1,494
          
STOXX Europe 600 Index
        
Jun-21
      
2
      
54,729
      
1,732
          
Sugar No. 11 (World)
        
Jul-21
      
14
      
272,205
      
9,946
          
Sugar No. 11 (World)
        
Oct-21
      
25
      
486,920
      
13,709
          
Sugar No. 11 (World)
        
Mar-22
      
4
      
78,355
      
1,288
          
Topix Index Futures
        
Jun-21
      
3
      
532,071
      
8,908
          
U.S. Treasury 10-Year Notes (Chicago Board of Trade)
        
Sep-21
      
6
      
791,625
      
(719
)
        
U.S. Treasury 2-Year Notes (Chicago Board of Trade)
        
Sep-21
      
66
      
14,568,468
      
3,874
          
U.S. Treasury 5-Year Notes (Chicago Board of Trade)
        
Sep-21
      
24
      
2,972,437
      
1,233
          
Wheat (Chicago Board of Trade)
        
Jul-21
      
4
      
132,700
      
(9,481
)
        
Wheat (Chicago Board of Trade)
        
Sep-21
      
1
      
33,362
      
(3,589
)
        
Wheat (Chicago Board of Trade)
        
Dec-21
      
7
      
236,162
      
(12,075
)
        
White Sugar ICE
        
Aug-21
      
1
      
22,980
      
(200
)
        
WTI Crude Futures
        
Jul-21
      
5
      
331,600
      
11,410
          
WTI Crude Futures
        
Aug-21
      
2
      
132,200
      
3,050
          
WTI Crude Futures
        
Sep-21
      
8
      
524,800
      
23,010
          
WTI Crude Futures IPE
        
Aug-21
      
1
      
66,100
      
1,080
          
                                 
$
5,933,881
          
                                               
SHORT CONTRACTS
    
EXPIRATION DATE
    
NUMBER OF CONTRACTS
    
NOTIONAL AMOUNT
    
VALUE AND UNREALIZED APPRECIATION/ (DEPRECIATION)
          
10-Year Mini Japanese Government Bond Futures
        
Jun-21
      
1
    
$
(137,907
)
  
$
(164
)
        
3-Month Euro Euribor
        
Sep-22
      
56
      
(17,155,139
)
    
(1,707
)
        
3-Month Euro Euribor
        
Sep-23
      
1
      
(305,930
)
    
(107
)
        
3-Month Euro Euribor
        
Sep-24
      
1
      
(305,381
)
    
(198
)
        
90-DAY Eurodollar Futures
        
Mar-22
      
1
      
(249,600
)
    
(75
)
        
90-DAY Eurodollar Futures
        
Mar-24
      
8
      
(1,977,700
)
    
(2,600
)
        
90-DAY Eurodollar Futures
        
Jun-25
      
1
      
(245,588
)
    
(75
)
        
90-DAY Sterling Futures
        
Mar-22
      
40
      
(7,080,465
)
    
390
          
90-DAY Sterling Futures
        
Jun-22
      
11
      
(1,946,152
)
    
275
          
90-DAY Sterling Futures
        
Sep-22
      
15
      
(2,652,514
)
    
213
          
90-DAY Sterling Futures
        
Dec-22
      
13
      
(2,297,462
)
    
(115
)
        
90-DAY Sterling Futures
        
Mar-23
      
26
      
(4,591,925
)
    
(71
)
        
90-DAY Sterling Futures
        
Jun-23
      
13
      
(2,294,348
)
    
(568
)
        
90-DAY Sterling Futures
        
Sep-23
      
12
      
(2,116,263
)
    
(568
)
        
90-DAY Sterling Futures
        
Mar-24
      
12
      
(2,113,496
)
    
(98
)
        
Australian 10-Year Bond Futures
        
Jun-21
      
16
      
(1,728,953
)
    
(14,767
)
        
CAD Currency Futures
        
Jun-21
      
32
      
(2,647,680
)
    
(570
)
        
Canadian 10-Year Bond Futures
        
Sep-21
      
21
      
(2,507,554
)
    
(4,040
)
        
CHF Currency Futures
        
Jun-21
      
2
      
(278,025
)
    
(825
)
        
Cocoa Futures
        
Sep-21
      
1
      
(24,560
)
    
(340
)
        
Cocoa Futures ICE
        
Jul-21
      
1
      
(22,948
)
    
312
          
Corn Futures
        
Dec-21
      
1
      
(27,275
)
    
(1,875
)
        
Dollar Index
        
Jun-21
      
49
      
(4,409,657
)
    
41,026
          
Euro BUXL 30-Year Bond Futures
        
Jun-21
      
3
      
(735,257
)
    
12,999
          
Euro-Bobl Futures
        
Jun-21
      
29
      
(4,764,963
)
    
(5,378
)
        
Euro-Bund Futures
        
Jun-21
      
25
      
(5,180,845
)
    
11,536
          
Euro-Oat Futures
        
Jun-21
      
17
      
(3,325,618
)
    
(23,548
)
        
Euro-Schatz Futures
        
Jun-21
      
94
      
(12,843,556
)
    
5,994
          
Gasoline RBOB Futures
        
Jul-21
      
4
      
(358,999
)
    
(3,062
)
        
Gold 100 Oz Futures
        
Aug-21
      
3
      
(571,590
)
    
(2,310
)
        
JPN 10-Year Bond (Osaka Securities Exchange)
        
Jun-21
      
6
      
(8,272,227
)
    
(28,953
)
        
JPY Currency Futures
        
Jun-21
      
98
      
(11,159,138
)
    
39,326
          
Kansas City Hard Red Winter Wheat Futures
        
Sep-21
      
1
      
(31,025
)
    
588
          
Live Cattle Futures
        
Aug-21
      
1
      
(47,440
)
    
190
          
LME Aluminum Forward
        
Jun-21
      
169
      
(10,422,061
)
    
(891,121
)
        
LME Aluminum Forward
        
Sep-21
      
34
      
(2,114,163
)
    
(25,339
)
        
LME Aluminum Forward - 90 Day Settlement
        
Jun-21
      
1
      
(61,281
)
    
(7,056
)
        
LME Aluminum Forward - 90 Day Settlement
        
Jun-21
      
1
      
(61,557
)
    
(6,520
)
        
LME Aluminum Forward - 90 Day Settlement
        
Jun-21
      
1
      
(61,669
)
    
(4,367
)
        
LME Aluminum Forward - 90 Day Settlement
        
Jun-21
      
1
      
(61,706
)
    
(5,043
)
        
LME Copper Forward
        
Jun-21
      
38
      
(9,738,213
)
    
(781,475
)
        
LME Copper Forward
        
Sep-21
      
10
      
(2,565,938
)
    
(50,090
)
        
LME Copper Forward - 90 Day Settlement
        
Aug-21
      
1
      
(256,467
)
    
(470
)
        
LME Copper Forward - 90 Day Settlement
        
Aug-21
      
1
      
(256,494
)
    
(8,554
)
        
LME Lead Forward
        
Jun-21
      
9
      
(489,881
)
    
(25,347
)
        
LME Nickel Forward
        
Jun-21
      
9
      
(976,482
)
    
(46,395
)
        
LME Palladium Forward - 90 Day Settlement
        
Jul-21
      
1
      
(54,664
)
    
(56
)
        
LME Palladium Forward - 90 Day Settlement
        
Aug-21
      
1
      
(54,708
)
    
(60
)
        
LME Palladium Forward - 90 Day Settlement
        
Aug-21
      
3
      
(164,144
)
    
(179
)
        
LME Palladium Forward - 90 Day Settlement
        
Aug-21
      
4
      
(219,149
)
    
(1,649
)
        
LME Palladium Forward - 90 Day Settlement
        
Aug-21
      
1
      
(54,800
)
    
188
          
LME Palladium Forward - 90 Day Settlement
        
Aug-21
      
1
      
(54,829
)
    
(379
)
        
LME Zinc Forward
        
Jun-21
      
7
      
(532,796
)
    
(22,571
)
        
LME Zinc Forward - 90 Day Settlement
        
Jun-21
      
1
      
(76,157
)
    
(5,406
)
        
LME Zinc Forward - 90 Day Settlement
        
Jul-21
      
1
      
(76,238
)
    
(4,901
)
        
LME Zinc Forward - 90 Day Settlement
        
Jul-21
      
1
      
(76,306
)
    
(3,331
)
        
LME Zinc Forward - 90 Day Settlement
        
Jul-21
      
1
      
(76,294
)
    
(3,330
)
        
LME Zinc Forward - 90 Day Settlement
        
Jul-21
      
2
      
(152,700
)
    
(2,210
)
        
LME Zinc Forward - 90 Day Settlement
        
Aug-21
      
1
      
(76,469
)
    
(2,306
)
        
LME Zinc Forward - 90 Day Settlement
        
Aug-21
      
1
      
(76,463
)
    
(2,813
)
        
Long Gilt Futures
        
Sep-21
      
31
      
(5,598,169
)
    
(4,967
)
        
Mill Wheat Euro
        
Sep-21
      
1
      
(12,880
)
    
(290
)
        
Mill Wheat Euro
        
Dec-21
      
1
      
(10,666
)
    
(229
)
        
Mini H-Shares Index Futures
        
Jun-21
      
1
      
(13,801
)
    
(53
)
        
Mini HSI Index Futures
        
Jun-21
      
1
      
(37,349
)
    
(35
)
        
Natural Gas Futures
        
Jul-21
      
5
      
(149,300
)
    
270
          
Natural Gas Futures
        
Aug-21
      
1
      
(30,070
)
    
(30
)
        
Red Wheat Futures (Minneapolis Grain Exchange)
        
Jul-21
      
1
      
(36,375
)
    
(2,000
)
        
Russell 2000 E-Mini
        
Jun-21
      
1
      
(113,430
)
    
(1,390
)
        
Soybean Meal Futures
        
Jul-21
      
1
      
(39,550
)
    
(1,600
)
        
Soybean Meal Futures
        
Dec-21
      
1
      
(39,350
)
    
1
          
U.S. Treasury 10-Year Notes (Chicago Board of Trade)
        
Sep-21
      
27
      
(3,562,312
)
    
(999
)
        
U.S. Treasury 5-Year Notes (Chicago Board of Trade)
        
Sep-21
      
16
      
(1,981,624
)
    
(2,015
)
        
U.S. Treasury Long Bond (Chicago Board of Trade)
        
Sep-21
      
15
      
(2,347,969
)
    
2,579
          
U.S. Treasury Ultra 10-Year Notes
        
Sep-21
      
6
      
(869,719
)
    
751
          
U.S. Treasury Ultra Long Bond (Chicago Board of Trade)
        
Sep-21
      
5
      
(926,250
)
    
(226
)
        
Wheat (Chicago Board of Trade)
        
Jul-21
      
4
      
(132,700
)
    
1,401
          
WTI Crude Futures
        
Jul-21
      
7
      
(464,240
)
    
(1,200
)
        
                             
$
(1,889,977
)
        
Total Futures Contracts
                            
$
4,043,904
          
                                               
Forward foreign currency contracts outstanding as of May 31, 2021 were as follows:
  
                                               
CURRENCY PURCHASED
    
CURRENCY SOLD
    
EXPIRATION DATE
    
COUNTERPARTY
    
UNREALIZED APPRECIATION/ (DEPRECIATION)
  
AUD
    
196,988
    
EUR
      
125,000
    
Jun 01 2021
    
SOCIETE GENERALE
    
$
(583
)
AUD
    
4
    
USD
      
3
    
Jun 01 2021
    
SOCIETE GENERALE
      
0
  
AUD
    
1,200,000
    
CAD
      
1,123,330
    
Jun 23 2021
    
SOCIETE GENERALE
      
(4,648
)
AUD
    
983,976
    
EUR
      
625,000
    
Jun 23 2021
    
SOCIETE GENERALE
      
(3,903
)
AUD
    
455,569
    
GBP
      
250,000
    
Jun 23 2021
    
SOCIETE GENERALE
      
(3,560
)
AUD
    
800,000
    
JPY
      
67,589,520
    
Jun 23 2021
    
SOCIETE GENERALE
      
1,295
  
AUD
    
2,000,000
    
NZD
      
2,138,600
    
Jun 23 2021
    
SOCIETE GENERALE
      
(7,121
)
AUD
    
600,000
    
USD
      
465,648
    
Jun 23 2021
    
SOCIETE GENERALE
      
(3,054
)
BRL
    
1,081,336
    
USD
      
200,000
    
Jun 16 2021
    
SOCIETE GENERALE
      
7,117
  
CAD
    
2,145,323
    
USD
      
1,778,064
    
Jun 01 2021
    
SOCIETE GENERALE
      
(2,220
)
CAD
    
2,145,323
    
USD
      
1,776,075
    
Jun 02 2021
    
SOCIETE GENERALE
      
(235
)
CAD
    
1,293,582
    
EUR
      
875,000
    
Jun 23 2021
    
SOCIETE GENERALE
      
3,207
  
CAD
    
800,000
    
JPY
      
72,005,080
    
Jun 23 2021
    
SOCIETE GENERALE
      
6,492
  
CAD
    
1,100,000
    
USD
      
913,135
    
Jun 23 2021
    
SOCIETE GENERALE
      
(2,610
)
CHF
    
159,000
    
GBP
      
125,000
    
Jun 01 2021
    
SOCIETE GENERALE
      
(612
)
CHF
    
972,984
    
USD
      
1,083,944
    
Jun 01 2021
    
SOCIETE GENERALE
      
(2,143
)
CHF
    
74,926
    
USD
      
83,260
    
Jun 02 2021
    
SOCIETE GENERALE
      
47
  
CHF
    
847,984
    
USD
      
943,067
    
Jun 03 2021
    
SOCIETE GENERALE
      
(199
)
CHF
    
250,000
    
JPY
      
30,246,300
    
Jun 23 2021
    
SOCIETE GENERALE
      
2,684
  
CHF
    
375,000
    
USD
      
416,738
    
Jun 23 2021
    
SOCIETE GENERALE
      
441
  
CLP
    
138,629,712
    
USD
      
200,000
    
Jun 14 2021
    
SOCIETE GENERALE
      
(8,689
)
CLP
    
288,653,986
    
USD
      
400,000
    
Jun 16 2021
    
SOCIETE GENERALE
      
(1,661
)
CLP
    
143,006,000
    
USD
      
200,000
    
Jun 21 2021
    
SOCIETE GENERALE
      
(2,663
)
CNH
    
3,920,294
    
USD
      
600,000
    
Jun 16 2021
    
SOCIETE GENERALE
      
15,654
  
CNH
    
5,806,681
    
USD
      
900,000
    
Jun 23 2021
    
SOCIETE GENERALE
      
11,473
  
COP
    
544,062,188
    
USD
      
150,000
    
Jun 16 2021
    
SOCIETE GENERALE
      
(3,451
)
CZK
    
5,193,874
    
EUR
      
200,000
    
Jun 16 2021
    
SOCIETE GENERALE
      
4,774
  
EUR
    
125,000
    
AUD
      
196,993
    
Jun 01 2021
    
SOCIETE GENERALE
      
580
  
EUR
    
936,160
    
USD
      
1,141,736
    
Jun 01 2021
    
SOCIETE GENERALE
      
(50
)
EUR
    
13,009
    
GBP
      
11,160
    
Jun 02 2021
    
SOCIETE GENERALE
      
27
  
EUR
    
718,902
    
USD
      
876,789
    
Jun 03 2021
    
SOCIETE GENERALE
      
(26
)
EUR
    
300,000
    
HUF
      
109,979,682
    
Jun 16 2021
    
SOCIETE GENERALE
      
(19,064
)
EUR
    
250,000
    
NOK
      
2,541,693
    
Jun 16 2021
    
SOCIETE GENERALE
      
1,040
  
EUR
    
200,000
    
PLN
      
918,840
    
Jun 16 2021
    
SOCIETE GENERALE
      
(5,971
)
EUR
    
400,000
    
SEK
      
4,074,352
    
Jun 16 2021
    
SOCIETE GENERALE
      
(2,756
)
EUR
    
500,000
    
CHF
      
549,319
    
Jun 23 2021
    
SOCIETE GENERALE
      
(1,073
)
EUR
    
100,000
    
HUF
      
35,066,900
    
Jun 23 2021
    
SOCIETE GENERALE
      
(747
)
EUR
    
500,000
    
JPY
      
66,474,605
    
Jun 23 2021
    
SOCIETE GENERALE
      
4,687
  
EUR
    
500,000
    
USD
      
610,080
    
Jun 23 2021
    
SOCIETE GENERALE
      
(48
)
GBP
    
125,000
    
CHF
      
159,229
    
Jun 01 2021
    
SOCIETE GENERALE
      
357
  
GBP
    
5,932,222
    
USD
      
8,379,299
    
Jun 01 2021
    
SOCIETE GENERALE
      
39,414
  
GBP
    
5,932,222
    
USD
      
8,430,880
    
Jun 02 2021
    
SOCIETE GENERALE
      
(12,158
)
GBP
    
5,921,062
    
USD
      
8,402,585
    
Jun 03 2021
    
SOCIETE GENERALE
      
307
  
GBP
    
125,000
    
CHF
      
158,961
    
Jun 23 2021
    
SOCIETE GENERALE
      
560
  
GBP
    
950,229
    
EUR
      
1,100,000
    
Jun 23 2021
    
SOCIETE GENERALE
      
6,491
  
GBP
    
250,000
    
JPY
      
38,487,375
    
Jun 23 2021
    
SOCIETE GENERALE
      
4,317
  
GBP
    
437,500
    
USD
      
618,154
    
Jun 23 2021
    
SOCIETE GENERALE
      
2,744
  
HUF
    
178,448,257
    
EUR
      
500,000
    
Jun 16 2021
    
SOCIETE GENERALE
      
14,789
  
HUF
    
34,925,810
    
EUR
      
100,000
    
Jun 23 2021
    
SOCIETE GENERALE
      
253
  
HUF
    
201,043,220
    
USD
      
700,000
    
Jun 23 2021
    
SOCIETE GENERALE
      
3,763
  
ILS
    
653,623
    
USD
      
200,000
    
Jun 16 2021
    
SOCIETE GENERALE
      
1,200
  
ILS
    
978,273
    
USD
      
300,000
    
Jun 23 2021
    
SOCIETE GENERALE
      
1,148
  
INR
    
36,886,250
    
USD
      
500,000
    
Jun 07 2021
    
SOCIETE GENERALE
      
8,418
  
INR
    
36,678,750
    
USD
      
500,000
    
Jun 14 2021
    
SOCIETE GENERALE
      
5,012
  
INR
    
55,460,195
    
USD
      
750,000
    
Jun 16 2021
    
SOCIETE GENERALE
      
13,369
  
INR
    
36,540,000
    
USD
      
500,000
    
Jun 21 2021
    
SOCIETE GENERALE
      
2,559
  
INR
    
43,909,273
    
USD
      
600,000
    
Jun 25 2021
    
SOCIETE GENERALE
      
3,542
  
INR
    
7,320,120
    
USD
      
100,000
    
Jun 30 2021
    
SOCIETE GENERALE
      
534
  
JPY
    
29,108,350
    
EUR
      
217,258
    
Jun 01 2021
    
SOCIETE GENERALE
      
71
  
JPY
    
631,324,720
    
USD
      
5,749,233
    
Jun 01 2021
    
SOCIETE GENERALE
      
(1,139
)
KRW
    
897,075,830
    
USD
      
800,000
    
Jun 07 2021
    
SOCIETE GENERALE
      
4,358
  
KRW
    
895,000,000
    
USD
      
800,000
    
Jun 14 2021
    
SOCIETE GENERALE
      
2,514
  
KRW
    
506,639,839
    
USD
      
450,000
    
Jun 16 2021
    
SOCIETE GENERALE
      
4,289
  
KRW
    
906,304,000
    
USD
      
800,000
    
Jun 21 2021
    
SOCIETE GENERALE
      
12,668
  
KRW
    
893,768,000
    
USD
      
800,000
    
Jun 30 2021
    
SOCIETE GENERALE
      
1,449
  
MXN
    
5,500,000
    
USD
      
275,596
    
Jun 23 2021
    
SOCIETE GENERALE
      
(298
)
NOK
    
8,128,980
    
EUR
      
800,000
    
Jun 16 2021
    
SOCIETE GENERALE
      
(3,860
)
NOK
    
2,540,858
    
EUR
      
250,000
    
Jun 23 2021
    
SOCIETE GENERALE
      
(1,178
)
NOK
    
1,500,000
    
SEK
      
1,502,811
    
Jun 23 2021
    
SOCIETE GENERALE
      
(1,637
)
NOK
    
2,497,428
    
USD
      
300,000
    
Jun 23 2021
    
SOCIETE GENERALE
      
(1,356
)
NZD
    
1,000,000
    
JPY
      
78,225,800
    
Jun 23 2021
    
SOCIETE GENERALE
      
11,997
  
NZD
    
600,000
    
USD
      
430,846
    
Jun 23 2021
    
SOCIETE GENERALE
      
3,766
  
PHP
    
9,736,386
    
USD
      
200,000
    
Jun 16 2021
    
SOCIETE GENERALE
      
3,600
  
PLN
    
905,568
    
EUR
      
200,000
    
Jun 16 2021
    
SOCIETE GENERALE
      
2,361
  
PLN
    
1,478,487
    
USD
      
400,000
    
Jun 23 2021
    
SOCIETE GENERALE
      
2,207
  
RUB
    
22,288,624
    
USD
      
300,000
    
Jun 16 2021
    
SOCIETE GENERALE
      
3,631
  
SEK
    
9,139,188
    
EUR
      
900,000
    
Jun 16 2021
    
SOCIETE GENERALE
      
2,817
  
SEK
    
3,819,289
    
EUR
      
375,000
    
Jun 23 2021
    
SOCIETE GENERALE
      
2,497
  
SEK
    
497,092
    
NOK
      
500,000
    
Jun 23 2021
    
SOCIETE GENERALE
      
83
  
SEK
    
3,337,199
    
USD
      
400,000
    
Jun 23 2021
    
SOCIETE GENERALE
      
1,955
  
SGD
    
933,885
    
USD
      
700,000
    
Jun 16 2021
    
SOCIETE GENERALE
      
6,118
  
SGD
    
1,066,248
    
USD
      
800,000
    
Jun 23 2021
    
SOCIETE GENERALE
      
6,184
  
THB
    
6,101,170
    
USD
      
200,000
    
Jun 16 2021
    
SOCIETE GENERALE
      
(4,777
)
TWD
    
5,562,200
    
USD
      
200,000
    
Jun 07 2021
    
SOCIETE GENERALE
      
513
  
TWD
    
5,532,000
    
USD
      
200,000
    
Jun 15 2021
    
SOCIETE GENERALE
      
(569
)
TWD
    
13,888,010
    
USD
      
500,000
    
Jun 16 2021
    
SOCIETE GENERALE
      
671
  
TWD
    
5,573,600
    
USD
      
200,000
    
Jun 21 2021
    
SOCIETE GENERALE
      
936
  
TWD
    
5,533,200
    
USD
      
200,000
    
Jun 30 2021
    
SOCIETE GENERALE
      
(513
)
USD
    
150,000
    
BRL
      
841,871
    
Jun 16 2021
    
SOCIETE GENERALE
      
(11,250
)
USD
    
1,776,077
    
CAD
      
2,145,323
    
Jun 01 2021
    
SOCIETE GENERALE
      
233
  
USD
    
1,082,198
    
CHF
      
973,213
    
Jun 01 2021
    
SOCIETE GENERALE
      
143
  
USD
    
200,000
    
CLP
      
143,010,000
    
Jun 14 2021
    
SOCIETE GENERALE
      
2,644
  
USD
    
250,000
    
CLP
      
181,243,030
    
Jun 16 2021
    
SOCIETE GENERALE
      
(113
)
USD
    
150,000
    
CNH
      
981,185
    
Jun 16 2021
    
SOCIETE GENERALE
      
(4,088
)
USD
    
150,000
    
COP
      
564,799,100
    
Jun 16 2021
    
SOCIETE GENERALE
      
(2,134
)
USD
    
876,773
    
EUR
      
718,902
    
Jun 01 2021
    
SOCIETE GENERALE
      
42
  
USD
    
8,430,874
    
GBP
      
5,932,222
    
Jun 01 2021
    
SOCIETE GENERALE
      
12,161
  
USD
    
8,402,579
    
GBP
      
5,921,062
    
Jun 02 2021
    
SOCIETE GENERALE
      
(305
)
USD
    
100,000
    
ILS
      
326,179
    
Jun 16 2021
    
SOCIETE GENERALE
      
(405
)
USD
    
500,000
    
INR
      
37,250,000
    
Jun 07 2021
    
SOCIETE GENERALE
      
(13,431
)
USD
    
500,000
    
INR
      
36,938,750
    
Jun 14 2021
    
SOCIETE GENERALE
      
(8,592
)
USD
    
250,000
    
INR
      
18,709,079
    
Jun 16 2021
    
SOCIETE GENERALE
      
(7,517
)
USD
    
500,000
    
INR
      
36,738,750
    
Jun 21 2021
    
SOCIETE GENERALE
      
(5,293
)
USD
    
600,000
    
INR
      
43,891,870
    
Jun 25 2021
    
SOCIETE GENERALE
      
(3,303
)
USD
    
6,051,957
    
JPY
      
660,433,070
    
Jun 01 2021
    
SOCIETE GENERALE
      
38,836
  
USD
    
5,701,650
    
JPY
      
626,094,740
    
Jun 03 2021
    
SOCIETE GENERALE
      
1,095
  
USD
    
573,663
    
JPY
      
62,500,000
    
Jun 23 2021
    
SOCIETE GENERALE
      
4,512
  
USD
    
800,000
    
KRW
      
895,344,000
    
Jun 07 2021
    
SOCIETE GENERALE
      
(2,805
)
USD
    
800,000
    
KRW
      
906,648,000
    
Jun 14 2021
    
SOCIETE GENERALE
      
(12,958
)
USD
    
250,000
    
KRW
      
281,985,574
    
Jun 16 2021
    
SOCIETE GENERALE
      
(2,848
)
USD
    
800,000
    
KRW
      
894,096,000
    
Jun 21 2021
    
SOCIETE GENERALE
      
(1,721
)
USD
    
50,000
    
PHP
      
2,449,913
    
Jun 16 2021
    
SOCIETE GENERALE
      
(1,231
)
USD
    
150,000
    
RUB
      
11,532,824
    
Jun 16 2021
    
SOCIETE GENERALE
      
(7,108
)
USD
    
300,000
    
SGD
      
401,647
    
Jun 16 2021
    
SOCIETE GENERALE
      
(3,689
)
USD
    
350,000
    
THB
      
10,930,594
    
Jun 16 2021
    
SOCIETE GENERALE
      
247
  
USD
    
200,000
    
TRY
      
1,700,509
    
Jun 23 2021
    
SOCIETE GENERALE
      
4,289
  
USD
    
200,000
    
TWD
      
5,541,400
    
Jun 07 2021
    
SOCIETE GENERALE
      
237
  
USD
    
200,000
    
TWD
      
5,584,000
    
Jun 15 2021
    
SOCIETE GENERALE
      
(1,306
)
USD
    
400,000
    
TWD
      
11,227,790
    
Jun 16 2021
    
SOCIETE GENERALE
      
(4,770
)
USD
    
200,000
    
TWD
      
5,542,600
    
Jun 21 2021
    
SOCIETE GENERALE
      
182
  
ZAR
    
3,722,921
    
USD
      
250,000
    
Jun 17 2021
    
SOCIETE GENERALE
      
19,429
  
ZAR
    
7,052,194
    
USD
      
500,000
    
Jun 23 2021
    
SOCIETE GENERALE
      
9,962
  
Total Forward Foreign Currency Contracts
            
$
137,553
  
                                                 
                                                 
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
MAY 31, 2021 (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 May 31, 2021, the net assets of the Cayman Subsidiary and SPC were $15,502,231, which represented 23.50% 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 May 31, 2021, in valuing the Fund's investments carried at fair value:
    

ASSETS
  
TOTAL
    
LEVEL 1
    
LEVEL 2
    
LEVEL 3
  
Short-Term Investments
  
$
54,185,038
    
$
54,185,038
    
$
-
    
$
-
  
Commodity Contracts
                                
Futures Contracts
    
3,482,884
      
3,482,884
      
-
      
-
  
Equity Contracts
                                
Futures Contracts
    
2,217,831
      
2,217,831
      
-
      
-
  
Foreign Currency Contracts
                                
Forward Foreign Currency Contracts
    
336,992
      
-
      
336,992
      
-
  
Futures Contracts
    
386,187
      
386,187
      
-
      
-
  
Interest Rate Contracts
                                
Futures Contracts
    
95,219
      
95,219
      
-
      
-
  
Total Assets
  
$
60,704,151
    
$
60,367,159
    
$
336,992
    
$
-
  
                                 
                                 
LIABILITIES
  
TOTAL
    
LEVEL 1
    
LEVEL 2
    
LEVEL 3
  
Commodity Contracts
                                
Futures Contracts
  
$
(1,994,764
)
  
$
(1,994,764
)
  
$
-
    
$
-
  
Equity Contracts
                                
Futures Contracts
    
(24,823
)
    
(24,823
)
    
-
      
-
  
Foreign Currency Contracts
                                
Forward Foreign Currency Contracts
    
(199,439
)
    
-
      
(199,439
)
    
-
  
Futures Contracts
    
(20,172
)
    
(20,172
)
    
-
      
-
  
Interest Rate Contracts
                                
Futures Contracts
    
(98,458
)
    
(98,458
)
    
-
      
-
  
Total Liabilities
  
$
(2,337,656
)
  
$
(2,138,217
)
  
$
(199,439
)
  
$
-
  

  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 May 31, 2021, 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.