0001752724-21-213142.txt : 20210929 0001752724-21-213142.hdr.sgml : 20210929 20210928173126 ACCESSION NUMBER: 0001752724-21-213142 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20210731 FILED AS OF DATE: 20210929 PERIOD START: 20211031 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Advisors' Inner Circle Fund II CENTRAL INDEX KEY: 0000890540 IRS NUMBER: 233040006 STATE OF INCORPORATION: MA FISCAL YEAR END: 0131 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-07102 FILM NUMBER: 211288506 BUSINESS ADDRESS: STREET 1: ONE FREEDOM VALLEY DRIVE CITY: OAKS STATE: PA ZIP: 19456 BUSINESS PHONE: 6106761000 MAIL ADDRESS: STREET 1: ONE FREEDOM VALLEY DRIVE CITY: OAKS STATE: PA ZIP: 19456 FORMER COMPANY: FORMER CONFORMED NAME: Advisors Inner Circle Fund II DATE OF NAME CHANGE: 20041029 FORMER COMPANY: FORMER CONFORMED NAME: ARBOR FUND DATE OF NAME CHANGE: 19920929 0000890540 S000060897 RQSI GAA SYSTEMATIC GLOBAL MACRO FUND C000197724 INSTITUTIONAL SHARES RQSGX C000198418 Retail Shares RQSRX NPORT-P 1 primary_doc.xml NPORT-P false 0000890540 XXXXXXXX S000060897 C000197724 C000198418 ADVISORS' INNER CIRCLE FUND II 811-07102 0000890540 549300OEHDTB2ALCAX69 ONE FREEDOM VALLEY DRIVE OAKS 19456 8774463863 RQSI GAA SYSTEMATIC GLOBAL MACRO FUND S000060897 54930070CYZIEKFY3Y73 2021-10-31 2021-07-31 N 48298904.43 1244489.68 47054414.75 0.00000000 10488659.24000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 3311317.65000000 N N/A N/A LME COPPER FUTURE AUG 21 (LPQ21) N/A -7.00000000 NC USD -1699031.25000000 -3.61077968778 N/A DCO GB N 1 LME COPPER FUTURE AUG 21 (LPQ21) N/A Short Copper LME COPPER FUTURE Aug 2021 2021-08-18 -1695612.50000000 USD -3418.75000000 N N N N/A N/A LME PRI ALUM AUG 21 (LAQ21) N/A 43.00000000 NC USD 2798225.00000000 5.946785258868 N/A DCO GB N 1 LME PRI ALUM AUG 21 (LAQ21) N/A Long Aluminum LME ALUM HG FUTUR Aug 2021 2021-08-18 2657852.50000000 USD 140372.50000000 N N N N/A N/A NY HARB ULSD FUT SEP21 PHYSICAL COMMODITY FUTURE. 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N/A 29.00000000 NC USD 1135060.00000000 2.412228493395 N/A DCO US N 1 NATURAL GAS FUTR SEP21 N/A Long Natural Gas Natural Gas Future Sep 2021 2021-08-30 1137720.00000000 USD -2660.00000000 N N N N/A N/A BROWN BROTHERS HARRIMAN SWEEP INTEREST N/A 4000000.00000000 PA USD 4000000.00000000 8.500796410394 Long STIV US N 2 N N N United States of America 254900HROIFWPRGM1V77 TREASURY BILL 0.000000% 10/21/2021 912796G60 4000000.00000000 PA USD 3999555.56000000 8.499851886905 Long DBT UST US N 2 2021-10-21 None 0.00000000 N N N N N N N/A N/A LME COPPER FUTURE SEP21 (LPU21) N/A -8.00000000 NC USD -1943550.00000000 -4.13043071585 N/A DCO GB N 1 LME COPPER FUTURE SEP21 (LPU21) N/A Short Copper LME COPPER FUTURE Sep 2021 2021-09-15 -1870012.50000000 USD -73537.50000000 N N N Canada N/A CAN 10YR BOND FUT SEP21 FINANCIAL COMMODITY FUTURE. N/A 63.00000000 NC 7474054.14000000 15.88385315110 N/A DIR CA N 1 CAN 10YR BOND FUT SEP21 N/A Long Canada Govt. Bond Futures Canadian Govt 10 Year Bond Future Sep 2021 2021-09-23 7384795.44000000 CAD 89258.70000000 N N N 2021-07-31 THE ADVISORS' INNER CIRCLE FUND II Eric Olsen Eric Olsen CFO XXXX NPORT-EX 2 AIC_II_RQSI_7.31.21_SF.htm SCHEDULE F HTML
THE ADVISORS’ INNER CIRCLE FUND II   

RQSI GAA SYSTEMATIC

GLOBAL MACRO FUND

JULY 31, 2021 (Unaudited)

 

 

 

 

  CONSOLIDATED SCHEDULE OF INVESTMENTS

  U.S. TREASURY OBLIGATION — 12.8%

 

 

             Face Amount                          Value              

U.S. Treasury Bills (A)(B)^
     0.0303%, 10/21/21

      $6,000,000                            $5,999,333  

TOTAL U.S. TREASURY OBLIGATION

         
        

 

 

  

         (Cost $5,999,595)

                        5,999,333  
        

 

 

  

TOTAL INVESTMENTS — 12.8%
     (Cost $5,999,595)

            $5,999,333  
        

 

 

  

A list of the open futures contracts held by the Fund at July 31, 2021, is as follows:

 

 

  
    Type of Contract    Number of
Contracts
Long/(Short)		      Expiration Date        Notional Amount‡        Value          Unrealized
Appreciation/
(Depreciation)    		  

 

  

Amsterdam Index

      (7)        Aug-2021        $ (1,221,833)        $ (1,247,626)        $ (22,921)  

AUDUSD Currency

      (25)        Sep-2021        (1,868,270)        (1,834,000)        34,270  

Australian 10-Year Bond

      12        Sep-2021        1,285,726        1,280,397        139  

Brent Crude^

      (11)        Sep-2021        (816,200)        (829,510)        (13,310)  

British Pound

      (24)        Sep-2021        (2,044,569)        (2,083,950)        (39,381)  

CAC40 10 Euro Index

      (28)        Aug-2021        (2,165,541)        (2,195,352)        (23,639)  

CAD Currency

      30        Sep-2021        2,362,400        2,403,900        41,500  

Canadian 10-Year Bond

      63        Sep-2021        7,384,795        7,474,054        7,397  

Coffee C^

      (9)        Sep-2021        (555,356)        (605,981)        (50,625)  

Copper^

      8        Oct-2021        894,550        896,500        1,950  

Corn^

      15        Dec-2021        419,412        408,937        (10,475)  

Cotton No. 2^

      4        Dec-2021        175,865        178,780        2,915  

DAX Index

      (5)        Sep-2021        (2,297,025)        (2,305,632)        (5,468)  

Euro

      19        Sep-2021        2,820,544        2,818,175        (2,369)  

Euro STOXX 50

      (20)        Sep-2021        (959,788)        (969,881)        (7,866)  

Euro-BTP

      65        Sep-2021        11,750,866        11,895,989        68,607  

Euro-Bund

      22        Sep-2021        4,551,210        4,608,050        35,463  

Euro-OAT

      85        Sep-2021        16,263,972        16,342,780        220,244  

FTSE 100 Index

      (14)        Sep-2021        (1,342,323)        (1,355,689)        (8,978)  

FTSE MIB Index

      7        Sep-2021        1,024,770        1,052,794        29,539  

Gasoline^

      (3)        Sep-2021        (284,638)        (294,172)        (9,534)  

Gold^

      19        Jan-2022        3,434,740        3,452,680        17,940  

Hang Seng Index

      20        Sep-2021        3,343,503        3,332,454        (16,772)  

IBEX

      9        Aug-2021        922,634        926,136        1,271  

Japanese 10-Year Bond

      (5)        Sep-2021        (6,878,024)        (6,941,343)        (15,256)  

Japanese Yen

      26        Sep-2021        2,960,494        2,961,887        1,393  

Lean Hogs^

      (28)        Oct-2021        (1,005,630)        (985,880)        19,750  

Live Cattle^

      26        Nov-2021        1,322,000        1,322,880        880  

LME Aluminum^

      (43)        Aug-2021        (2,653,806)        (2,798,225)        (144,419)  

LME Aluminum^

      43        Aug-2021        2,657,853        2,798,225        140,372  

LME Aluminum^

      (28)        Sep-2021        (1,750,930)        (1,816,500)        (65,570)  

 

1

THE ADVISORS’ INNER CIRCLE FUND II   

RQSI GAA SYSTEMATIC

GLOBAL MACRO FUND

JULY 31, 2021 (Unaudited)

 

 

 

    Type of Contract    Number of
Contracts
Long/(Short)		      Expiration Date        Notional Amount‡        Value          Unrealized
Appreciation/
(Depreciation)    		  

 

  

LME Aluminum^

      9        Sep-2021        $558,709        $583,875        $25,166  

LME Copper^

      (7)        Aug-2021        (1,695,613)        (1,699,031)        (3,418)  

LME Copper^

      7        Aug-2021        1,650,321        1,699,031        48,710  

LME Copper^

      (8)        Sep-2021        (1,870,013)        (1,943,550)        (73,537)  

LME Copper^

      2        Sep-2021        467,944        485,887        17,943  

LME Lead^

      (33)        Aug-2021        (1,872,710)        (1,986,394)        (113,684)  

LME Lead^

      33        Aug-2021        1,829,208        1,986,394        157,186  

LME Lead^

      (19)        Sep-2021        (1,104,619)        (1,137,031)        (32,412)  

LME Lead^

      33        Sep-2021        1,909,413        1,974,844        65,431  

LME Nickel^

      (12)        Aug-2021        (1,311,248)        (1,407,672)        (96,424)  

LME Nickel^

      12        Aug-2021        1,314,886        1,407,672        92,786  

LME Nickel^

      (18)        Sep-2021        (2,055,137)        (2,111,508)        (56,371)  

LME Nickel^

      12        Sep-2021        1,371,533        1,407,672        36,139  

LME Zinc^

      (27)        Aug-2021        (1,992,649)        (2,046,263)        (53,614)  

LME Zinc^

      27        Aug-2021        1,985,429        2,046,262        60,833  

LME Zinc^

      (26)        Sep-2021        (1,926,101)        (1,972,750)        (46,649)  

LME Zinc^

      20        Sep-2021        1,481,416        1,517,500        36,084  

Long Gilt 10-Year Bond

      (25)        Oct-2021        (4,491,582)        (4,510,230)        (3,670)  

NASDAQ 100 Index E-MINI

      (3)        Sep-2021        (873,640)        (897,345)        (23,705)  

Natural Gas^

      29        Aug-2021        1,137,720        1,135,060        (2,660)  

Nikkei 225 Index

      18        Sep-2021        4,666,124        4,487,489        (226,706)  

NY Harbor ULSD^

      8        Sep-2021        712,131        737,722        25,591  

NYMEX Cocoa^

      6        Sep-2021        145,280        141,960        (3,320)  

Platinum^

      18        Oct-2021        980,515        943,560        (36,955)  

S&P 500 Index E-MINI

      (11)        Sep-2021        (2,382,550)        (2,414,225)        (31,675)  

S&P TSX 60 Index

      (11)        Sep-2021        (2,115,144)        (2,137,400)        (16,594)  

Silver^

      (11)        Oct-2021        (1,423,400)        (1,405,085)        18,315  

Soybean^

      (2)        Nov-2021        (137,175)        (134,925)        2,250  

Soybean Meal^

      (28)        Dec-2021        (1,014,280)        (990,920)        23,360  

Soybean Oil^

      33        Dec-2021        1,208,826        1,248,192        39,366  

SPI 200 Index

      (1)        Sep-2021        (134,916)        (133,927)        344  

Sugar No. 11^

      41        Oct-2021        826,672        822,427        (4,245)  

U.S. 10-Year Treasury Notes

      148        Sep-2021        19,821,000        19,899,063        78,063  

Wheat^

      (26)        Sep-2021        (896,238)        (914,875)        (18,637)  

WTI Crude Oil^

      (2)        Aug-2021        (140,230)        (147,900)        (7,670)  
        

 

 

     

 

 

     

 

 

  
           $52,361,283                $52,424,456        $62,668  
        

 

 

     

 

 

     

 

 

  

‡ The foreign exchange rate for the contract notional amounts are based on prevailing exchange rates on the date the respective contracts were opened.

For the period ended July 31, 2021, the quarterly average notional value of long contracts held was $109,335,123 and the quarterly average notional value of short contracts held was $(72,012,171).

 

2

THE ADVISORS’ INNER CIRCLE FUND II   

RQSI GAA SYSTEMATIC

GLOBAL MACRO FUND

JULY 31, 2021 (Unaudited)

 

 

 

Percentages are based on Net Assets of $47,040,024.

(A)

Security, or a portion thereof, has been pledged as collateral on open futures contracts.

(B)

The rate shown is the security’s effective yield at time of purchase.

^

Security, or a portion thereof, is held by the RQSI GAA Systematic Global Macro Fund, Ltd., a wholly owned subsidiary of the Fund, as of July 31, 2021.

AUD — Australian Dollar

BTP — Buoni del Tesoro Poliennali

CAC — Cotation Assistee en Continu (continuous assisted quotation)

CAD — Canadian Dollar

DAX — Deutscher Aktien 30 Index

FTSE — Financial Times Stock Exchange

IBEX — International Business Exchange

LME — London Metal Exchange

MIB — Milano Indice di Borsa

NASDAQ — National Association of Securities Dealers and Automated Quotation

NYMEX — New York Mercantile Exchange

OAT — Obligations Assimilables du Trésor

S&P — Standard & Poors

SPI — Share Price Index

STOXX — Eurozone Stock Index

TSX — Toronto Stock Exchange

ULSD — Ultra-Low Sulfur Diesel

USD — United States Dollar

WTI — West Texas Intermediate

The following is a list of the level of inputs used as of July 31, 2021, in valuing the Fund’s investments and other financial instruments carried at value:

 

Investments in Securities                                                                                            Level 1                     Level 2                     Level 3                         Total              

 

  

 

 

    

 

 

    

 

 

    

 

 

  

U.S. Treasury Obligation

     $                —         $        5,999,333       $                —       $        5,999,333  

 

  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

     $                —         $        5,999,333       $                —       $        5,999,333  

 

  

 

 

    

 

 

    

 

 

    

 

 

  

 

Other Financial Instruments

             Level 1                       Level 2                       Level 3                       Total          

 Futures Contracts*

        

  Unrealized Appreciation

     $    1,351,197       $                 –       $                 –       $    1,351,197  

  Unrealized Depreciation

     (1,288,529 )      –       –       (1,288,529 ) 
 

 

 

 

  

 

 

 

  

 

 

 

  

 

 

 

Total Other Financial Instruments

     $         62,668         $                 –         $                 –         $        62,668      
 

 

 

 

  

 

 

 

  

 

 

 

  

 

 

 

* Futures are valued at the unrealized appreciation (depreciation) on the instrument.

For the period ended July 31, 2021, there were no transfers in or out of Level 3.

For more information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to the Fund’s most recent financial statements.

RQS-QH-002-0700

 

3