Futures
Contracts
(continued)
Description
and
Expiration
Date
Type
Contracts
Notional
Amount
Value
and
Unrealized
Appreciation/(Depreciation)
Nasdaq
100
E-Mini;
June
2020
Long
17
$
3,251
$
409
Natural
Gas;
July
2020
(a)
Short
45
832
124
Nikkei
225
OSE;
June
2020
Long
1
202
—
Nikkei
225
OSE;
June
2020
Short
15
3,034
(364)
NY
Harb
ULSD;
July
2020
(a)
Short
18
784
(105)
Russell
2000
Emini;
June
2020
Long
3
209
(5)
Russell
2000
Emini;
June
2020
Short
205
14,276
(3,105)
S&P
500
Emini;
June
2020
Long
22
3,346
346
S&P
500
Emini;
June
2020
Short
62
9,430
(535)
S&P
Mid
400
Emini;
June
2020
Short
37
6,520
(1,649)
S&P/TSX
60
Index;
June
2020
Short
10
1,330
(253)
Silver;
July
2020
(a)
Long
10
925
55
Soybean
Meal;
July
2020
(a)
Short
17
481
20
Soybean
Oil;
July
2020
(a)
Short
9
148
(4)
Soybean;
July
2020
(a)
Short
42
1,766
32
SPI
200
Index;
June
2020
Short
2
192
(16)
Sugar
#11;
July
2020
(a)
Short
31
379
(25)
Sugar
#11;
October
2020
(a)
Short
8
98
—
UK
10
Year
Gilt;
September
2020
Long
78
13,240
24
US
10
Year
Note;
June
2020
Short
14
1,951
(4)
US
10
Year
Note;
September
2020
Long
21
2,920
5
US
10
Year
Note;
September
2020
Short
410
57,016
(96)
US
2
Year
Note;
September
2020
Long
180
39,752
5
US
5
Year
Note;
June
2020
Short
116
14,595
(44)
US
5
Year
Note;
September
2020
Long
284
35,678
73
US
5
Year
Note;
September
2020
Long
107
13,442
18
US
5
Year
Note;
September
2020
Short
39
4,899
(9)
US
Long
Bond;
September
2020
Short
108
19,264
58
US
Long
Bond;
September
2020
Long
8
1,427
5
US
Long
Bond;
September
2020
Short
97
17,302
(100)
US
Ultra
Bond;
June
2020
Short
4
879
(42)
US
Ultra
Bond;
September
2020
Short
19
4,143
(2)
Wheat;
July
2020
(a)
Short
33
859
(17)
WTI
Crude;
July
2020
(a)
Short
14
497
(147)
Total
$
(8,240)
Amounts
in
thousands
except
contracts.
(a)
All
or
a
portion
of
this
security
is
owned
by
the
GMS
Cayman
Corporation,
which
is
a
100%
owned
subsidiary
of
the
fund.
Foreign
Currency
Contracts
Unrealized
Appreciation/(Depreciation)
Counterparty
Settlement
Date
Currency
to
Accept
Currency
to
Deliver
Asset
Liability
Bank
of
America
NA
06/17/2020
$
1,083
CAD
1,520
$
—
$
(21)
Bank
of
America
NA
06/19/2020
$
12,110
AUD
19,233
—
(708)
Bank
of
America
NA
06/19/2020
AUD
10,937
$
7,007
282
—
Bank
of
America
NA
06/19/2020
GBP
1,237
$
1,507
21
—
Bank
of
America
NA
06/19/2020
$
8,677
GBP
6,984
52
—
Bank
of
America
NA
06/19/2020
GBP
5,509
$
6,894
—
(91)
Bank
of
America
NA
06/19/2020
$
3,855
GBP
3,141
—
(24)
Bank
of
America
NA
06/19/2020
CAD
11,552
$
8,304
87
—
Bank
of
America
NA
06/19/2020
CAD
323
$
235
—
—
Bank
of
America
NA
06/19/2020
$
15,324
CAD
21,494
—
(289)
Bank
of
America
NA
06/19/2020
$
16,684
EUR
14,969
63
—
Bank
of
America
NA
06/19/2020
EUR
5,958
$
6,680
—
(65)
Bank
of
America
NA
06/19/2020
EUR
13,264
$
14,510
218
—
Bank
of
America
NA
06/19/2020
$
7,437
EUR
6,803
—
(117)
Bank
of
America
NA
06/19/2020
$
24,446
JPY
2,602,101
309
—
Bank
of
America
NA
06/19/2020
JPY
2,401,305
$
22,487
—
(213)
Bank
of
America
NA
06/19/2020
$
1,146
JPY
123,991
—
(4)
Bank
of
America
NA
06/19/2020
JPY
272,983
$
2,506
26
—
Bank
of
America
NA
06/19/2020
MXN
5,219
$
235
—
—
Bank
of
America
NA
06/19/2020
MXN
87,446
$
3,820
115
—
Bank
of
America
NA
06/19/2020
$
4,839
MXN
117,654
—
(455)
Bank
of
America
NA
06/19/2020
$
375
MXN
8,168
7
—
Bank
of
America
NA
06/19/2020
NZD
688
$
428
—
(1)
Bank
of
America
NA
06/19/2020
NZD
1,668
$
1,012
23
—
Bank
of
America
NA
06/19/2020
$
3
NZD
5
—
—
Bank
of
America
NA
06/19/2020
$
4,875
NZD
8,054
—
(123)