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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

 

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