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Hunt Transport Services, Inc. -250.00000000 USD -49812.50000000 USD Paycor HCM, Inc. -7218.00000000 USD -140317.92000000 USD Piedmont Lithium, Inc. -5410.00000000 USD -72061.20000000 USD Compass Minerals International, Inc. -3566.00000000 USD -56128.84000000 USD Antero Resources Corp. -5107.00000000 USD -148103.00000000 USD Boeing Co. -402.00000000 USD -77581.98000000 USD Boston Omaha Corp. -4484.00000000 USD -69322.64000000 USD KKR & Company, Inc. -1428.00000000 USD -143628.24000000 USD Arcadium Lithium plc -2.16920000 USD -9.35000000 USD Novagold Resources, Inc. -24086.00000000 USD -72258.00000000 USD TFS Financial Corp. -10242.00000000 USD -128639.52000000 USD Pinnacle West Capital Corp. -1082.00000000 USD -80857.86000000 USD Braze, Inc. -2468.00000000 USD -109332.40000000 USD DoorDash, Inc. -549.00000000 USD -75608.28000000 USD Moelis & Co. -1633.00000000 USD -92705.41000000 USD UMH Properties, Inc. -4367.00000000 USD -70920.08000000 USD Pilgrim's Pride Corp. -4580.00000000 USD -157185.60000000 USD Tesla, Inc. -254.00000000 USD -44650.66000000 USD Portland General Electric Co. -3375.00000000 USD -141750.00000000 USD Dollar Tree, Inc. -516.00000000 USD -68705.40000000 USD Utz Brands, Inc. -4091.00000000 USD -75438.04000000 USD RB Global, Inc. -1263.00000000 USD -96202.71000000 USD U-Haul Holding Co. -871.00000000 USD -58827.34000000 USD State Street Corp. -1595.00000000 USD -123325.40000000 USD Vulcan Materials Co. -161.00000000 USD -43940.12000000 USD Sitio Royalties Corp. -4088.00000000 USD -101055.36000000 USD Knight-Swift Transportation Holdings, Inc. -1063.00000000 USD -58486.26000000 USD Cannae Holdings, Inc. -3977.00000000 USD -88448.48000000 USD ATI, Inc. -1395.00000000 USD -71382.15000000 USD Allstate Corp. -204.00000000 USD -35294.04000000 USD Macerich Co. -5831.00000000 USD -100468.13000000 USD Steven Madden Ltd. -0.50000000 USD -21.14000000 USD Ellington Financial, Inc. -9971.00000000 USD -117757.51000000 USD Equinix, Inc. -150.00000000 USD -123799.50000000 USD Avangrid, Inc. -4646.00000000 USD -169300.24000000 USD MarineMax, Inc. -2446.00000000 USD -81353.96000000 USD Walgreens Boots Alliance, Inc. -4662.00000000 USD -101118.78000000 USD Parsons Corp. -1165.00000000 USD -96636.75000000 USD American Tower Corp. -445.00000000 USD -87927.55000000 USD American Electric Power Company, Inc. -1642.00000000 USD -141376.20000000 USD Equity LifeStyle Properties, Inc. -472.00000000 USD -30396.80000000 USD Iron Mountain, Inc. -1540.00000000 USD -123523.40000000 USD Archrock, Inc. -6230.00000000 USD -122544.10000000 USD FirstEnergy Corp. -2220.00000000 USD -85736.40000000 USD Carlyle Group, Inc. -2778.00000000 USD -130315.98000000 USD PNM Resources, Inc. -1417.00000000 USD -53335.88000000 USD Spectrum Brands Holdings, Inc. -1836.00000000 USD -163422.36000000 USD Dollar General Corp. -331.00000000 USD -51655.86000000 USD NOV, Inc. -9382.00000000 USD -183136.64000000 USD Take-Two Interactive Software, Inc. -1122.00000000 USD -166605.78000000 USD Eversource Energy -2514.00000000 USD -150261.78000000 USD Micron Technology, Inc. -936.00000000 USD -110345.04000000 USD Y MS Long/Short Equity Custom Basket - Tenor At Maturity 2028-08-31 0.00000000 USD 0.00000000 USD -11732918.66000000 USD -544889.01000000 N N N Voya Infrastructure Industrial CDDOXZNDBE7I8PJXIJ33 Voya Infrastructure Industrials and Materials Fund 92912X101 966.00000000 NS USD 10162.32000000 0.011696191933 Long EC RF US N 1 N N N Pioneer High Income Fund Inc GRH7C46DLKO4V5KVBT29 Pioneer High Income Fund, Inc. 72369H106 1772.00000000 NS USD 13573.52000000 0.015622268845 Long EC RF US N 1 N N N MFS High Yield Municipal Trust A8WLLLHJKX1MW5QPZU93 MFS High Yield Municipal Trust 59318E102 3397.00000000 NS USD 11312.01000000 0.013019412901 Long EC RF US N 1 N N N New Germany Fund Inc/The 549300TPS2RTTJ8O3C08 New Germany Fund, Inc. 644465106 3531.00000000 NS USD 30755.01000000 0.035397084512 Long EC RF US N 1 N N N Gabelli Global Small and Mid C 54930027RS7HE8UD3187 Gabelli Global Small and Mid Capital Value Trust 36249W104 1606.00000000 NS USD 19304.12000000 0.022217829455 Long EC RF US N 1 N N N Transphorm Inc 549300P3H6NZD06TZ064 Transphorm, Inc. 89386L100 99247.00000000 NS USD 487302.77000000 0.560854876426 Long EC CORP US N 1 N N N Chord Energy Corp 529900FA4V2YNIKZ0M71 Chord Energy Corp. 674215207 -3767.00000000 NS USD -671430.08000000 -0.77277384355 Short EC CORP US N 1 N N N Ellsworth Growth and Income Fu 549300GYFOXHCDQTI772 Ellsworth Growth and Income Fund Ltd. 289074106 9987.00000000 NS USD 81094.44000000 0.093334606173 Long EC RF US N 1 N N N Highland Global Allocation Fun 549300Y627XJ58WI3L10 Highland Global Allocation Fund 43010T104 547.00000000 NS USD 4190.02000000 0.004822449807 Long EC RF US N 1 N N N Masonite International Corp 549300H0H07ZFT4JYM32 Masonite International Corp. 575385109 9267.00000000 NS USD 1218147.15000000 1.402010846936 Long EC CORP US N 1 N N N Alexion Pharmaceuticals, Inc. N/A Alexion Pharmaceuticals, Inc. N/A 34843.00000000 NS USD 0.03000000 0.000000034528 Long CORP US N 3 N N N Neuberger Berman Energy Infras 549300P5ICT7WWGP8224 Neuberger Berman Energy Infrastructure and Income Fund, Inc. 64129H104 1206.00000000 NS USD 8888.22000000 0.010229782871 Long EC RF US N 1 N N N VanEck Gold Miners ETF/USA 54930031TORTKAM9TJ98 VanEck Gold Miners ETF 92189F106 -342.00000000 NS USD -10814.04000000 -0.01244628071 Short EC RF US N 1 N N N BlackRock MuniHoldings Quality V04K6JK5YHD4O5SHSC34 BlackRock MuniHoldings Quality Fund II, Inc. 09254C107 1315.00000000 NS USD 13386.70000000 0.015407250761 Long EC RF US N 1 N N N Nuveen AMT-Free Municipal Cred 549300LBMO1C0IG71T03 Nuveen AMT-Free Municipal Credit Income Fund 67071L106 13033.00000000 NS USD 158350.95000000 0.182251996011 Long EC RF US N 1 N N N Virtus Dividend Interest & Pre 549300535GECAFITZP67 Virtus Dividend Interest & Premium Strategy Fund 92840R101 690.00000000 NS USD 8818.20000000 0.010149194250 Long EC RF US N 1 N N N ICE Futures US Softs N/A Cocoa Futures Contracts N/A 4.00000000 NC USD 166307.40000000 0.191409370145 N/A DCO US N 1 Goldman Sachs & Co. 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LLC FOR8UP27PHTHYVLBNG30 Long S&P/TSX 60 Index N/A 2024-06-20 583832.78000000 CAD 14320.80000000 N N N Eaton Vance National Municipal 54930084Z1GHZMB5XL81 Eaton Vance National Municipal Opportunities Trust 27829L105 869.00000000 NS USD 14416.71000000 0.016592727567 Long EC RF US N 1 N N N WillScot Mobile Mini Holdings 549300HJ4VIXF476Q166 WillScot Mobile Mini Holdings Corp. 971378104 -8978.00000000 NS USD -417477.00000000 -0.48048980153 Short EC CORP US N 1 N N N ICE Futures US Softs N/A Cotton #2 Futures Contracts N/A -25.00000000 NC USD 27912.40000000 0.032125418972 N/A DCO US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Short N/A Cotton 2024-05-08 -1170787.40000000 USD 27912.40000000 N N N SP Plus Corp 0IDE18EMH1CUKQCUYE69 SP Plus Corp. 78469C103 31250.00000000 NS USD 1631875.00000000 1.878185612341 Long EC CORP US N 1 N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 J.P. Morgan Securities LLC N/A 7263420.37000000 PA USD 7263420.37000000 8.359740565495 Long RA CORP US N 2 Repurchase Y 5.31000000 2024-04-01 7540108.65000000 USD 7408688.82000000 USD UST N N N Nuveen Real Estate Income Fund LXJVVL0330BRT3R7PH61 Nuveen Real Estate Income Fund 67071B108 1801.00000000 NS USD 14227.90000000 0.016375419118 Long EC RF US N 1 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 MS Equity Market Neutral Custom Basket N/A 0.00000000 NC USD 1661841.72000000 1.912675424583 N/A DE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 MS Equity Market Neutral Long Custom Basket N/A Vornado Realty Trust 19321.00000000 USD 555865.17000000 USD Host Hotels & Resorts, Inc. 40594.00000000 USD 839483.92000000 USD Americold Realty Trust, Inc. 14407.00000000 USD 359022.44000000 USD Healthpeak Properties, Inc. 26308.00000000 USD 493275.00000000 USD Kimco Realty Corp. 25619.00000000 USD 502388.59000000 USD Retail Opportunity Investments Corp. 37472.00000000 USD 480391.04000000 USD Digital Realty Trust, Inc. 5603.00000000 USD 807056.12000000 USD Alexandria Real Estate Equities, Inc. 6883.00000000 USD 887287.53000000 USD Orion Office REIT, Inc. 0.01000000 USD 0.04000000 USD Equinix, Inc. 483.00000000 USD 398634.39000000 USD CareTrust REIT, Inc. 27488.00000000 USD 669882.56000000 USD Invitation Homes, Inc. 29803.00000000 USD 1061284.83000000 USD InvenTrust Properties Corp. 20652.00000000 USD 530962.92000000 USD Ventas, Inc. 19182.00000000 USD 835184.28000000 USD Brixmor Property Group, Inc. 22975.00000000 USD 538763.75000000 USD Highwoods Properties, Inc. 11078.00000000 USD 290022.04000000 USD Kilroy Realty Corp. 11582.00000000 USD 421932.26000000 USD Sabra Health Care REIT, Inc. 56654.00000000 USD 836779.58000000 USD Extra Space Storage, Inc. 2641.00000000 USD 388227.00000000 USD Gaming and Leisure Properties, Inc. 17195.00000000 USD 792173.65000000 USD American Homes 4 Rent 11596.00000000 USD 426500.88000000 USD Sun Communities, Inc. 3688.00000000 USD 474203.04000000 USD VICI Properties, Inc. 27462.97600000 USD 818122.06000000 USD Equity Residential 6804.00000000 USD 429400.44000000 USD Ryman Hospitality Properties, Inc. 11168.00000000 USD 1291132.48000000 USD Simon Property Group, Inc. 4992.00000000 USD 781198.08000000 USD Kite Realty Group Trust 24147.00000000 USD 523506.96000000 USD Rexford Industrial Realty, Inc. 19051.00000000 USD 958265.30000000 USD Boston Properties, Inc. 8228.00000000 USD 537370.68000000 USD Realty Income Corp. 0.14100000 USD 7.63000000 USD Y MS Equity Market Neutral Custom Basket - Tenor At Maturity 2028-08-31 0.00000000 USD 0.00000000 USD 17928324.66000000 USD 1661841.72000000 N N N Western Asset High Income Oppo 549300S7N70O2ERKYG47 Western Asset High Income Opportunity Fund, Inc. 95766K109 4574.00000000 NS USD 17838.60000000 0.020531107998 Long EC RF US N 1 N N N Voya Global Advantage and Prem 549300P8MCGWLP88NI42 Voya Global Advantage and Premium Opportunity Fund 92912R104 1132.00000000 NS USD 10233.28000000 0.011777862436 Long EC RF US N 1 N N N London Metal Exchange N/A LME Primary Aluminum Futures Contracts N/A -9.00000000 NC USD -20255.14000000 -0.02331239373 N/A DCO GB N 1 Goldman Sachs & Co. 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LLC FOR8UP27PHTHYVLBNG30 Long N/A Japanese Yen 2024-06-17 4606834.30000000 USD -94121.80000000 N N N Invesco Quality Municipal Inco WLEGDSEH0E242WVNUY02 Invesco Quality Municipal Income Trust 46133G107 1906.00000000 NS USD 18450.08000000 0.021234883065 Long EC RF US N 1 N N N Liberty All Star Growth Fund I 54930046Y8IF3CB2AL60 Liberty All Star Growth Fund, Inc. 529900102 1794.00000000 NS USD 9849.06000000 0.011335649352 Long EC RF US N 1 N N N Invesco Trust for Investment G FNS6N81D3V131ZZWNT79 Invesco Trust for Investment Grade New York Municipals 46131T101 1189.00000000 NS USD 12781.75000000 0.014710991314 Long EC RF US N 1 N N N Highland Opportunities and Inc 254900CMUE9FRYL2UR80 Highland Opportunities and Income Fund 43010E404 1301.00000000 NS USD 9146.03000000 0.010526505986 Long EC RF US N 1 N N N BlackRock MuniHoldings Califor NKJSRCJXMS5PZYPXY795 BlackRock MuniHoldings California Quality Fund, Inc. 09254L107 1662.00000000 NS USD 18298.62000000 0.021060562120 Long EC RF US N 1 N N N Sterling Check Corp N/A Sterling Check Corp. 85917T109 46587.00000000 NS USD 749118.96000000 0.862188864100 Long EC CORP US N 1 N N N First Trust High Income Long/S JUEVI6DHENZLPUBV7E49 First Trust High Income Long/Short Fund 33738E109 819.00000000 NS USD 9770.67000000 0.011245427386 Long EC RF US N 1 N N N Adams Diversified Equity Fund 5493005W7G81BNPP7M23 Adams Diversified Equity Fund, Inc. 006212104 508.00000000 NS USD 9916.16000000 0.011412877237 Long EC RF US N 1 N N N Chicago Board of Trade N/A U.S. Treasury Ultra Long Bond Futures Contracts N/A 2.00000000 NC USD 246.42000000 0.000283613940 N/A DIR US N 1 Goldman Sachs & Co. 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LLC FOR8UP27PHTHYVLBNG30 Short N/A Corn 2024-05-14 -2162445.27000000 USD -26692.23000000 N N N Olink Holding AB 8945004Z7ZHV3LML4J27 Olink Holding AB 680710100 69974.00000000 NS USD 1645088.74000000 1.893393797007 Long EC CORP SE N 1 N N N RiverNorth Capital and Income 54930061II7PXY87SC72 RiverNorth Capital and Income Fund 76882B108 96.00000000 NS USD 1522.56000000 0.001752370914 Long EC RF US N 1 N N N Nuveen New York AMT-Free Quali 549300V4X2BF3UXSCQ58 Nuveen New York AMT-Free Quality Municipal Income Fund 670656107 1680.00000000 NS USD 18261.60000000 0.021017954425 Long EC RF US N 1 N N N Western Asset Inflation-Linked 549300BKG7Y2MQAORR48 Western Asset Inflation-Linked Income Fund 95766Q106 1468.00000000 NS USD 11949.52000000 0.013753146863 Long EC RF US N 1 N N NOVN_C N/A Novartis AG N/A 9562.00000000 NS USD 0.01000000 0.000000011509 Long CORP US N 3 N N N Voya Asia Pacific High Dividen 549300GNK7F1VWTNPE94 Voya Asia Pacific High Dividend Equity Income Fund 92912J102 2394.00000000 NS USD 15154.02000000 0.017441325060 Long EC RF US N 1 N N N BNY Mellon Municipal Income In 549300BKYDDROJTY1E24 BNY Mellon Municipal Income, Inc. 05589T104 1869.00000000 NS USD 12765.27000000 0.014692023869 Long EC RF US N 1 N N N Synopsys Inc QG7T915N9S0NY5UKNE63 Synopsys, Inc. 871607107 -508.00000000 NS USD -290322.00000000 -0.33414238427 Short EC CORP US N 1 N N N Flaherty & Crumrine Total Retu 254900OFZ9J1RLHWZQ22 Flaherty & Crumrine Total Return Fund, Inc. 338479108 859.00000000 NS USD 13280.14000000 0.015284606895 Long EC RF US N 1 N N N New York Mercantile Exchange N/A WTI Crude Futures Contracts N/A 12.00000000 NC USD 54929.40000000 0.063220288793 N/A DCO US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long N/A WTI Crude 2024-04-22 940950.60000000 USD 54929.40000000 N N N London Metal Exchange N/A LME Nickel Futures Contracts N/A -3.00000000 NC USD 11951.79000000 0.013755759491 N/A DCO GB N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Short N/A LME Nickel 2024-05-13 -311141.13000000 USD 11951.79000000 N N N European Equity Fund Inc/The 5493008XBHSH29XH9329 European Equity Fund, Inc. 298768102 1282.00000000 NS USD 11422.62000000 0.013146718063 Long EC RF US N 1 N N N 2024-04-30 Rydex Series Funds James Howley James Howley CFO XXXX NPORT-EX 2 fp0087644-1_nportex.htm RYDEX SERIES FUNDS - NQ

 

Commodities Strategy Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)  March 31, 2024
   

 

   Shares   Value 
MUTUAL FUNDS† - 36.6%          
Guggenheim Ultra Short Duration Fund — Institutional Class1   101,218   $1,003,071 
Guggenheim Strategy Fund II1   40,205    989,046 
Total Mutual Funds          
(Cost $2,010,290)        1,992,117 

 

   Face
Amount		    
U.S. TREASURY BILLS†† - 3.7%
U.S. Treasury Bills          
5.17% due 04/16/242,3  $200,000   199,561 
Total U.S. Treasury Bills          
(Cost $199,561)        199,561 
           
REPURCHASE AGREEMENTS††,4 - 73.7%          
J.P. Morgan Securities LLC
issued 03/28/24 at 5.31%
due 04/01/24		   2,317,566    2,317,566 
BofA Securities, Inc.
issued 03/28/24 at 5.31%
due 04/01/24		   891,372    891,372 
Barclays Capital, Inc.
issued 03/28/24 at 5.30%
due 04/01/24		   807,951    807,951 
Total Repurchase Agreements          
(Cost $4,016,889)        4,016,889 
Total Investments - 114.0%          
(Cost $6,226,740)       $6,208,567 
Other Assets & Liabilities, net - (14.0)%        (761,120)
Total Net Assets - 100.0%       $5,447,447 

 

Futures Contracts      

Description  Number of Contracts   Expiration Date  Notional Amount   Value and
Unrealized
Appreciation**		 
Commodity Futures Contracts Purchased†                  
Goldman Sachs Commodity Index Futures Contracts   38   Apr 2024  $5,526,150   $183,107 

 

** Includes cumulative appreciation (depreciation).
† Value determined based on Level 1 inputs — See Note 3.
†† Value determined based on Level 2 inputs — See Note 3.
1 Affiliated issuer.
2 All or a portion of this security is pledged as futures collateral at March 31, 2024.
3 Rate indicated is the effective yield at the time of purchase.
4 Repurchase Agreements — See Note 4.

 

See Sector Classification in Other Information section.

 

The following table summarizes the inputs used to value the Fund's investments at March 31, 2024 (See Note 3 in the Notes to Consolidated Schedule of Investments):

 

Investments in Securities (Assets)  Level 1 Quoted Prices   Level 2 Significant Observable Inputs   Level 3 Significant Unobservable Inputs   Total 
Mutual Funds  $1,992,117   $—   $—   $1,992,117 
U.S. Treasury Bills   —    199,561    —    199,561 
Repurchase Agreements   —    4,016,889    —    4,016,889 
Commodity Futures Contracts**   183,107    —    —    183,107 
Total Assets  $2,175,224   $4,216,450   $—   $6,391,674 

 

**This derivative is reported as unrealized appreciation/depreciation at period end.

 

 

Commodities Strategy Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)     March 31, 2024
   

 

Affiliated Transactions

 

Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments ("GI"), result in that company being considered an affiliated issuer, as defined in the 1940 Act.

 

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II and Guggenheim Strategy Fund III (collectively, the “Guggenheim Strategy Funds”), each of which are open-end management investment companies managed by GI. The Guggenheim Strategy Funds, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Guggenheim Strategy Funds pay no investment management fees. The Guggenheim Strategy Funds annual report on Form N-CSR dated September 30, 2023 is available publicly or upon request. This information is available from the EDGAR database on the SEC's website at https://www.sec.gov/Archives/edgar/data/1601445/000182126823000217/gug86449-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.

 

Transactions during the period ended March 31, 2024, in which the company is an affiliated issuer, were as follows:

 

Security Name  Value
12/31/23		   Additions   Reductions   Realized Gain (Loss)   Change in Unrealized Appreciation (Depreciation)   Value
03/31/24		  

Shares

03/31/24

   Investment Income 
Mutual Funds                                        
  Guggenheim Strategy Fund II  $1,384,699   $–   $(400,000)  $(7,926)  $12,273   $989,046    40,205   $16,868 
  Guggenheim Ultra Short Duration Fund — Institutional Class   1,395,784    –    (400,000)   (4,075)   11,362    1,003,071    101,218    15,737 
   $2,780,483   $–   $(800,000)  $(12,001)  $23,635   $1,992,117        $32,605 

 

 

Managed Futures Strategy Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)     March 31, 2024
   

 

   Shares   Value 
MUTUAL FUNDS† - 16.8%          
Guggenheim Strategy Fund III1   235,195   $5,802,265 
Guggenheim Strategy Fund II1   166,856    4,104,655 
Guggenheim Ultra Short Duration Fund — Institutional Class1   257,497    2,551,793 
Total Mutual Funds          
(Cost $12,548,781)        12,458,713 
           
   Face
Amount		    
U.S. TREASURY BILLS†† - 17.8%
U.S. Treasury Bills          
5.17% due 04/16/242,3  $13,212,000   13,182,991 
Total U.S. Treasury Bills          
(Cost $13,183,016)        13,182,991 
           
REPURCHASE AGREEMENTS††,4 - 64.5%          
J.P. Morgan Securities LLC
issued 03/28/24 at 5.31%
due 04/01/24		   27,651,516    27,651,516 
BofA Securities, Inc.
issued 03/28/24 at 5.31%
due 04/01/24		   10,635,198    10,635,198 
Barclays Capital, Inc.
issued 03/28/24 at 5.30%
due 04/01/24		   9,639,887    9,639,887 
Total Repurchase Agreements          
(Cost $47,926,601)        47,926,601 
Total Investments - 99.1%          
(Cost $73,658,398)       $73,568,305 
Other Assets & Liabilities, net - 0.9%        693,695 
Total Net Assets - 100.0%       $74,262,000 
           

Futures Contracts      

Description  Number of Contracts   Expiration Date  Notional Amount   Value and Unrealized
Appreciation (Depreciation)**		 
Equity Futures Contracts Purchased†                  
Tokyo Stock Price Index Futures Contracts   25   Jun 2024  $4,561,984   $191,458 
Dow Jones Industrial Average Index Mini Futures Contracts   94   Jun 2024   18,873,320    186,989 
DAX Index Futures Contracts   14   Jun 2024   7,093,278    170,886 
Euro STOXX 50 Index Futures Contracts   106   Jun 2024   5,774,644    110,620 
S&P 500 Index Mini Futures Contracts   69   Jun 2024   18,303,975    103,799 
S&P/TSX 60 IX Index Futures Contracts   19   Jun 2024   3,764,582    80,563 
Russell 2000 Index Mini Futures Contracts   71   Jun 2024   7,615,105    54,386 
FTSE 100 Index Futures Contracts   22   Jun 2024   2,220,659    43,991 
S&P MidCap 400 Index Mini Futures Contracts   19   Jun 2024   5,844,020    30,585 
CAC 40 10 Euro Index Futures Contracts   19   Apr 2024   1,688,638    21,690 
IBEX 35 Index Futures Contracts††   2   Apr 2024  238,952   17,135 
Nikkei 225 (OSE) Index Futures Contracts   1   Jun 2024   266,668    10,143 
FTSE MIB Index Futures Contracts   1   Jun 2024   184,668    7,252 
OMX Stockholm 30 Index Futures Contracts††   8   Apr 2024   190,770    6,397 
NASDAQ-100 Index Mini Futures Contracts   26   Jun 2024   9,600,500    5,786 
SPI 200 Index Futures Contracts   2   Jun 2024   258,358    5,249 
MSCI EAFE Index Futures Contracts   41   Jun 2024   4,830,210    2,493 
CBOE Volatility Index Futures Contracts   26   Jun 2024   420,420    2,309 
FTSE Taiwan Index Futures Contracts   2   Apr 2024   138,140    73 
CBOE Volatility Index Futures Contracts   20   Sep 2024   360,183    (54)
CBOE Volatility Index Futures Contracts   143   May 2024   2,209,350    (12,836)
           $94,438,424   $1,038,914 
                   
Commodity Futures Contracts Purchased†                  
Cocoa Futures Contracts   8   May 2024  $779,360   $335,045 
Gold 100 oz. Futures Contracts   8   Jun 2024   1,793,920    41,195 
Hard Red Winter Wheat Futures Contracts   77   Jul 2024   2,238,775    40,557 

 

 

Managed Futures Strategy Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)     March 31, 2024
   

 

Description  Number of Contracts   Expiration Date  Notional Amount   Value and Unrealized
Appreciation (Depreciation)**		 
Commodity Futures Contracts Purchased† (continued)                  
Soybean Futures Contracts   67   Nov 2024  $3,976,450   $39,228 
Live Cattle Futures Contracts   41   Aug 2024   2,926,990    20,186 
Brent Crude Futures Contracts   5   Apr 2024   434,200    16,185 
Coffee 'C' Futures Contracts   3   May 2024   212,006    13,997 
WTI Crude Futures Contracts   3   Apr 2024   248,970    11,396 
LME Primary Aluminum Futures Contracts   9   May 2024   522,230    10,253 
Gasoline RBOB Futures Contracts   4   Apr 2024   456,590    10,229 
Cotton #2 Futures Contracts   41   Dec 2024   1,720,975    7,025 
Silver Futures Contracts   4   May 2024   499,900    6,291 
Lean Hogs Futures Contracts   98   Jun 2024   3,974,880    5,006 
Wheat Futures Contracts   72   May 2024   2,021,400    3,767 
Low Sulphur Gas Oil Futures Contracts   31   May 2024   2,509,450    2,807 
Soybean Oil Futures Contracts   6   May 2024   173,376    1,043 
Sugar #11 Futures Contracts   3   Apr 2024   75,600    730 
Soybean Futures Contracts   4   May 2024   238,400    581 
Copper Futures Contracts   1   May 2024   100,213    (3,133)
Canadian Canola (WCE) Futures Contracts   39   May 2024   360,845    (4,626)
Cotton #2 Futures Contracts   12   May 2024   548,580    (11,773)
NY Harbor ULSD Futures Contracts   8   Apr 2024   878,506    (14,607)
Live Cattle Futures Contracts   13   Jun 2024   938,860    (22,011)
Natural Gas Futures Contracts   61   May 2024   1,210,240    (28,178)
LME Zinc Futures Contracts   35   May 2024   2,118,104    (33,189)
           $30,958,820   $448,004 
                   
Interest Rate Futures Contracts Purchased†                  
Euro - Bund Futures Contracts   24   Jun 2024  $3,450,583   $39,622 
Long Gilt Futures Contracts††   17   Jun 2024   2,140,261    39,389 
Euro - OATS Futures Contracts   25   Jun 2024   3,453,550    28,022 
Euro - BTP Italian Government Bond Futures Contracts††   15   Jun 2024   1,922,745    16,440 
Euro - 30 year Bond Futures Contracts   2   Jun 2024   292,404    7,881 
U.S. Treasury 10 Year Note Futures Contracts   119   Jun 2024   13,175,531    2,649 
U.S. Treasury 5 Year Note Futures Contracts   64   Jun 2024   6,845,500    (7,328)
           $31,280,574   $126,675 
                   
Currency Futures Contracts Purchased†                  
Mexican Peso Futures Contracts   181   Jun 2024  $5,377,510   $59,237 
New Zealand Dollar Futures Contracts   18   Jun 2024   1,075,320    (21,840)
Japanese Yen Futures Contracts   35   Jun 2024   2,924,906    (56,193)
British Pound Futures Contracts   54   Jun 2024   4,260,937    (65,849)
           $13,638,673   $(84,645)
                   
Currency Futures Contracts Sold Short†                  
Japanese Yen Futures Contracts   199   Jun 2024  $16,630,181   $255,505 
Swiss Franc Futures Contracts   76   Jun 2024   10,624,800    220,180 
Australian Dollar Futures Contracts   63   Jun 2024   4,114,215    43,171 
Euro FX Futures Contracts   28   Jun 2024   3,787,700    30,131 
New Zealand Dollar Futures Contracts   16   Jun 2024   955,840    12,072 
British Pound Futures Contracts   16   Jun 2024   1,262,500    1,788 
Canadian Dollar Futures Contracts   57   Jun 2024   4,213,155    1,686 
           $41,588,391   $564,533 
                   
Interest Rate Futures Contracts Sold Short†                  
U.S. Treasury 2 Year Note Futures Contracts   197   Jun 2024  $40,275,726   $76,916 
Canadian Government 10 Year Bond Futures Contracts   19   Jun 2024   1,686,120    5,370 
Australian Government 10 Year Bond Futures Contracts   54   Jun 2024   4,090,120    4,904 
Australian Government 3 Year Bond Futures Contracts   19   Jun 2024   1,320,862    1,849 
Euro - Bund Futures Contracts   6   Jun 2024   862,646    551 

 

 

Managed Futures Strategy Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)     March 31, 2024
   

 

Description  Number of Contracts   Expiration Date  Notional Amount   Value and Unrealized
Appreciation (Depreciation)**		 
Interest Rate Futures Contracts Sold Short† (continued)                  
U.S. Treasury 5 Year Note Futures Contracts   21   Jun 2024  $2,246,180   $(1,816)
U.S. Treasury 10 Year Note Futures Contracts   51   Jun 2024   5,646,656    (6,116)
U.S. Treasury Ultra Long Bond Futures Contracts   21   Jun 2024   2,702,437    (6,864)
Euro - Bobl Futures Contracts   24   Jun 2024   3,060,337    (10,255)
Long Gilt Futures Contracts††   7   Jun 2024   881,284    (12,364)
U.S. Treasury Long Bond Futures Contracts   32   Jun 2024   3,849,000    (16,627)
Euro - Schatz Futures Contracts   268   Jun 2024   30,557,725    (27,762)
           $97,179,093   $7,786 
                   
Commodity Futures Contracts Sold Short†                  
Natural Gas Futures Contracts   68   Apr 2024  $1,185,240   $108,060 
Natural Gas Futures Contracts   70   Jun 2024   1,631,000    59,804 
Red Spring Wheat Futures Contracts   62   May 2024   2,004,150    49,704 
Copper Futures Contracts   31   May 2024   3,106,588    22,102 
Wheat Futures Contracts   43   May 2024   1,207,225    19,704 
Cattle Feeder Futures Contracts   4   May 2024   497,850    14,235 
Euro – Mill Wheat Futures Contracts   37   May 2024   406,709    9,863 
Coffee ‘C’ Futures Contracts   61   May 2024   4,310,794    9,741 
Gasoline RBOB Futures Contracts   6   Apr 2024   684,886    5,356 
Cotton #2 Futures Contracts   2   Jul 2024   92,080    4,154 
Cotton #2 Futures Contracts   6   May 2024   274,290    3,899 
LME Zinc Futures Contracts   3   May 2024   181,552    3,462 
Soybean Futures Contracts   24   May 2024   1,430,400    2,279 
SGX Iron Ore 62% Futures Contracts   119   May 2024   1,195,355    609 
Platinum Futures Contracts   3   Jul 2024   138,300    (948)
ICE Endex Dutch TTF Natural Gas Futures Contracts   5   May 2024   107,013    (1,501)
LME Nickel Futures Contracts   8   May 2024   797,838    (1,609)
Silver Futures Contracts   7   May 2024   874,825    (4,473)
Phelix DE Base Q Futures Contracts   1   Jun 2024   159,501    (4,899)
Sugar #11 Futures Contracts   18   Apr 2024   453,600    (5,623)
Brent Crude Futures Contracts   8   Apr 2024   694,720    (7,937)
Soybean Meal Futures Contracts   13   May 2024   438,750    (8,628)
Palladium Futures Contracts   3   Jun 2024   306,750    (9,958)
Hard Red Winter Wheat Futures Contracts   9   May 2024   264,150    (10,578)
Soybean Futures Contracts   52   Jul 2024   3,134,950    (12,507)
Soybean Oil Futures Contracts   9   May 2024   260,064    (16,066)
LME Lead Futures Contracts   25   May 2024   1,278,400    (16,884)
Live Cattle Futures Contracts   47   Oct 2024   3,414,080    (23,094)
WTI Crude Futures Contracts   12   Apr 2024   995,880    (23,137)
Corn Futures Contracts   219   May 2024   4,842,637    (32,183)
Gold 100 oz. Futures Contracts   7   Jun 2024   1,569,680    (32,772)
LME Primary Aluminum Futures Contracts   46   May 2024   2,669,173    (34,083)
Hard Red Winter Wheat Futures Contracts   80   Sep 2024   2,371,000    (73,792)
           $42,979,430   $(7,700)
                   
Equity Futures Contracts Sold Short†                  
CBOE Volatility Index Futures Contracts   127   Apr 2024  $1,828,800   $490 
CBOE Volatility Index Futures Contracts   35   Jul 2024   591,500    (1,421)
SPI 200 Index Futures Contracts   2   Jun 2024   258,358    (2,076)
FTSE/JSE TOP 40 Index Futures Contracts††   15   Jun 2024   545,167    (6,999)
IBEX 35 Index Futures Contracts††   2   Apr 2024   238,953    (16,889)
           $3,462,778   $(26,895)

 

** Includes cumulative appreciation (depreciation).
† Value determined based on Level 1 inputs, unless otherwise noted — See Note 3.
†† Value determined based on Level 2 inputs — See Note 3.

 

 

Managed Futures Strategy Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)     March 31, 2024
   

 

1 Affiliated issuer.
2 All or a portion of this security is pledged as futures collateral at March 31, 2024.
3 Rate indicated is the effective yield at the time of purchase.
4 Repurchase Agreements — See Note 4.

 

ICE — Intercontinental Exchange

 

See Sector Classification in Other Information section.

 

The following table summarizes the inputs used to value the Fund's investments at March 31, 2024 (See Note 3 in the Notes to Consolidated Schedule of Investments):

 

Investments in Securities (Assets)  Level 1 Quoted Prices   Level 2 Significant Observable Inputs   Level 3 Significant Unobservable Inputs   Total 
Mutual Funds  $12,458,713   $—   $—   $12,458,713 
U.S. Treasury Bills   —    13,182,991    —    13,182,991 
Repurchase Agreements   —    47,926,601    —    47,926,601 
Equity Futures Contracts**   1,028,762    23,532    —    1,052,294 
Commodity Futures Contracts**   878,493    —    —    878,493 
Currency Futures Contracts**   623,770    —    —    623,770 
Interest Rate Futures Contracts**   167,764    55,829    —    223,593 
Total Assets  $15,157,502   $61,188,953   $—   $76,346,455 

 

Investments in Securities (Liabilities)  Level 1 Quoted Prices   Level 2 Significant Observable Inputs   Level 3 Significant Unobservable Inputs   Total 
Commodity Futures Contracts**  $438,189   $—   $—   $438,189 
Currency Futures Contracts**   143,882    —    —    143,882 
Interest Rate Futures Contracts**   76,768    12,364    —    89,132 
Equity Futures Contracts**   16,387    23,888    —    40,275 
Total Liabilities  $675,226   $36,252   $—   $711,478 

 

**This derivative is reported as unrealized appreciation/depreciation at period end.

 

Affiliated Transactions

 

Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments ("GI"), result in that company being considered an affiliated issuer, as defined in the 1940 Act.

 

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II and Guggenheim Strategy Fund III (collectively, the “Guggenheim Strategy Funds”), each of which are open-end management investment companies managed by GI. The Guggenheim Strategy Funds, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Guggenheim Strategy Funds pay no investment management fees. The Guggenheim Strategy Funds annual report on Form N-CSR dated September 30, 2023 is available publicly or upon request. This information is available from the EDGAR database on the SEC's website at https://www.sec.gov/Archives/edgar/data/1601445/000182126823000217/gug86449-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.

 

Transactions during the period ended March 31, 2024, in which the company is an affiliated issuer, were as follows:

 

Security Name  Value
12/31/23		   Additions   Reductions   Realized Gain (Loss)   Change in Unrealized Appreciation (Depreciation)   Value
03/31/24		   Shares
03/31/24		   Investment Income 
Mutual Funds                                        
  Guggenheim Strategy Fund II  $4,087,969   $–   $–   $–   $16,686   $4,104,655    166,856   $57,695 
  Guggenheim Strategy Fund III   5,774,042    –    –    –    28,223    5,802,265    235,195    77,837 
  Guggenheim Ultra Short Duration Fund — Institutional Class   2,536,343    –    –    –    15,450    2,551,793    257,497    33,154 
   $12,398,354   $–   $–   $–   $60,359   $12,458,713        $168,686 

 

 

Multi-Hedge Strategies Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) March 31, 2024
   

 

   Shares   Value 
COMMON STOCKS† - 32.9%
Consumer, Non-cyclical - 10.8%
Olink Holding AB ADR*,8   69,974   $1,645,089 
SP Plus Corp.*   31,250    1,631,875 
Cerevel Therapeutics Holdings, Inc.*   29,819    1,260,449 
Amedisys, Inc.*,8   13,013    1,199,278 
Axonics, Inc.*   13,881    957,373 
Agiliti, Inc.*   75,823    767,329 
Sterling Check Corp.*   46,587    749,119 
Catalent, Inc.*   12,886    727,414 
Taro Pharmaceutical Industries Ltd.*   11,397    482,549 
Total Consumer, Non-cyclical        9,420,475 
Consumer, Cyclical - 5.9%
Capri Holdings Ltd.*,8   53,140    2,407,249 
Vizio Holding Corp. — Class A*   88,969    973,321 
NEOGAMES S.A.*   19,035    551,254 
MDC Holdings, Inc.   7,947    499,946 
Carrols Restaurant Group, Inc.   51,073    485,704 
Hawaiian Holdings, Inc.*   18,937    252,430 
Total Consumer, Cyclical        5,169,904 
Financial - 5.5%
National Western Life Group, Inc. — Class A8   2,967    1,459,645 
McGrath RentCorp   7,956    981,532 
Cambridge Bancorp   13,406    913,753 
Tricon Residential, Inc.*   68,336    761,946 
Lakeland Bancorp, Inc.   36,286    439,060 
Discover Financial Services   1,205    157,964 
Total Financial        4,713,900 
Energy - 4.8%
Pioneer Natural Resources Co.8   4,957    1,301,219 
Hess Corp.   7,182    1,096,260 
Enerplus Corp.   37,201    731,372 
Equitrans Midstream Corp.   43,298    540,792 
Southwestern Energy Co.*   70,761    536,368 
Total Energy        4,206,011 
Industrial - 2.8%
Masonite International Corp.*   9,267    1,218,147 
Kaman Corp.   10,644    488,240 
Transphorm, Inc.*   99,247    487,303 
Daseke, Inc.*   29,512    244,950 
Total Industrial        2,438,640 
Technology - 1.3%
Everbridge, Inc.*   17,823    620,775 
ANSYS, Inc.*   1,472    511,393 
Total Technology        1,132,168 
Communications - 1.0%
Juniper Networks, Inc.   22,298    826,364 
Basic Materials - 0.8%
Haynes International, Inc.   11,881    714,286 
Total Common Stocks          
(Cost $28,287,984)        28,621,748 
 
RIGHTS††† - 0.0%
Consumer, Non-cyclical - 0.0%
Alexion Pharmaceuticals, Inc.*   34,843    – 
Novartis AG*   9,562    – 
Johnson & Johnson*   3,841    – 
Total Consumer, Non-cyclical        – 
Total Rights          
(Cost $3,729)        – 
 
MUTUAL FUNDS† - 15.8%
Guggenheim Strategy Fund II1   269,618    6,632,605 
Guggenheim Ultra Short Duration Fund — Institutional Class1   522,178    5,174,785 
Guggenheim Strategy Fund III1   79,031    1,949,701 
Total Mutual Funds          
(Cost $13,872,533)        13,757,091 
 
CLOSED-END FUNDS† - 6.9%
Nuveen AMT-Free Municipal Credit Income Fund   13,033    158,351 
abrdn Total Dynamic Dividend Fund   19,038    157,825 
BlackRock Enhanced Global Dividend Trust   15,087    157,810 
Western Asset Inflation-Linked Opportunities & Income Fund   18,191    156,988 
Nuveen Quality Municipal Income Fund   13,662    156,566 
Nuveen AMT-Free Quality Municipal Income Fund   14,076    155,821 
General American Investors Company, Inc.   3,252    151,250 
Gabelli Dividend & Income Trust   6,562    150,795 
Nuveen Pennsylvania Quality Municipal Income Fund   12,540    148,223 
SRH Total Return Fund, Inc.   9,841    148,205 
Clough Global Equity Fund   18,769    122,186 
abrdn National Municipal Income Fund   11,175    115,773 
abrdn Healthcare Opportunities Fund   5,719    114,952 
Gabelli Healthcare & WellnessRx Trust2   10,484    107,356 
abrdn Life Sciences Investors   7,776    105,987 
abrdn Healthcare Investors   6,248    105,341 
BNY Mellon Strategic Municipals, Inc.   17,198    104,908 
BNY Mellon Strategic Municipal Bond Fund, Inc.   17,779    104,185 
Neuberger Berman Municipal Fund, Inc.   9,294    97,308 
AllianceBernstein National Municipal Income Fund, Inc.   7,383    81,139 
Ellsworth Growth and Income Fund Ltd.   9,987    81,094 

 

 

Multi-Hedge Strategies Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) March 31, 2024
   

 

    Shares    Value 
CLOSED-END FUNDS† - 6.9% (continued)
Nuveen California Quality Municipal Income Fund   6,977   $76,887 
Bancroft Fund Ltd.   4,480    71,635 
Allspring Global Dividend Opportunity Fund   13,336    64,013 
Nuveen New Jersey Quality Municipal Income Fund   5,058    61,101 
abrdn Emerging Markets Equity Income Fund, Inc.   12,038    60,792 
Mexico Fund, Inc.   3,150    60,543 
Invesco Dynamic Credit Opportunities Fund   5,262    58,355 
abrdn Japan Equity Fund, Inc.   7,386    46,014 
Pioneer Municipal High Income Advantage Fund, Inc.   5,129    41,801 
abrdn Global Dynamic Dividend Fund   4,140    40,200 
Pioneer Municipal High Income Fund Trust   4,457    39,400 
DWS Municipal Income Trust   4,331    39,109 
Invesco California Value Municipal Income Trust   3,274    32,609 
Swiss Helvetia Fund, Inc.   3,891    30,856 
New Germany Fund, Inc.   3,531    30,755 
Herzfeld Caribbean Basin Fund, Inc.   10,094    26,143 
BNY Mellon Municipal Bond Infrastructure Fund, Inc.   2,216    23,024 
Duff & Phelps Utility and Infrastructure Fund, Inc.   2,332    22,294 
GAMCO Natural Resources Gold & Income Trust   3,989    20,783 
CBRE Global Real Estate Income Fund   3,593    19,330 
Gabelli Global Small and Mid Capital Value Trust   1,606    19,304 
Nuveen California AMT-Free Quality Municipal Income Fund   1,566    19,027 
Western Asset Emerging Markets Debt Fund, Inc.   1,978    19,009 
Eaton Vance Tax-Advantaged Dividend Income Fund   804    18,974 
Virtus Total Return Fund, Inc.   3,406    18,971 
Virtus Convertible & Income Fund II   6,332    18,933 
Cohen & Steers Quality Income Realty Fund, Inc.   1,558    18,821 
Virtus Convertible & Income Fund   5,613    18,747 
Eaton Vance Tax-Managed Global Diversified Equity Income Fund   2,296    18,735 
PGIM Global High Yield Fund, Inc.   1,563    18,693 
abrdn Global Premier Properties Fund   4,716    18,675 
Western Asset Managed Municipals Fund, Inc.   1,787    18,674 
BlackRock Municipal Income Fund, Inc.   1,548    18,669 
Nuveen Municipal Credit Income Fund   1,525    18,666 
Eaton Vance Tax Managed Global Buy Write Opportunities Fund   2,274    18,647 
John Hancock Tax-Advantaged Dividend Income Fund   948    18,638 
BlackRock Enhanced Equity Dividend Trust   2,257    18,620 
Eaton Vance Tax-Managed Diversified Equity Income Fund   1,393    18,611 
Eaton Vance Tax-Advantaged Global Dividend Income Fund   1,019    18,597 
Nuveen Dow 30sm Dynamic Overwrite Fund   1,267    18,574 
Nuveen NASDAQ 100 Dynamic Overwrite Fund   768    18,540 
Invesco Municipal Trust   1,911    18,537 
Nuveen Floating Rate Income Fund   2,121    18,516 
Tri-Continental Corp.   601    18,511 
Blackstone Strategic Credit Fund   1,555    18,505 
Nuveen Municipal High Income Opportunity Fund   1,752    18,501 
Flaherty & Crumrine Preferred and Income Securities Fund, Inc.   1,245    18,488 
BlackRock MuniHoldings Fund, Inc.   1,530    18,482 
Nuveen Credit Strategies Income Fund   3,317    18,476 
Nuveen S&P 500 Buy-Write Income Fund   1,395    18,456 
Invesco Quality Municipal Income Trust   1,906    18,450 
Invesco Municipal Opportunity Trust   1,895    18,438 
Nuveen Municipal Value Fund, Inc.   2,116    18,430 
BlackRock MuniYield Quality Fund III, Inc.   1,608    18,428 
PGIM High Yield Bond Fund, Inc.2   1,418    18,420 
BlackRock Municipal 2030 Target Term Trust   874    18,406 
Eaton Vance Risk-Managed Diversified Equity Income Fund   2,198    18,353 
Eaton Vance Enhanced Equity Income Fund II   909    18,335 
Eaton Vance Municipal Bond Fund   1,770    18,319 
Invesco Trust for Investment Grade Municipals   1,857    18,310 
BlackRock MuniHoldings California Quality Fund, Inc.   1,662    18,299 

 

 

Multi-Hedge Strategies Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) March 31, 2024
   

 

    Shares    Value 
CLOSED-END FUNDS† - 6.9% (continued)
BlackRock Taxable Municipal Bond Trust   1,119   $18,284 
BlackRock MuniYield Fund, Inc.   1,653    18,282 
BlackRock MuniYield Quality Fund, Inc.   1,491    18,265 
Nuveen New York AMT-Free Quality Municipal Income Fund   1,680    18,262 
Eaton Vance Tax-Managed Buy-Write Opportunities Fund   1,412    18,257 
Western Asset High Income Opportunity Fund, Inc.   4,574    17,839 
Invesco Value Municipal Income Trust   1,473    17,676 
BNY Mellon High Yield Strategies Fund   7,260    17,569 
BlackRock Enhanced International Dividend Trust   3,171    17,536 
LMP Capital and Income Fund, Inc.   1,112    17,392 
BlackRock Municipal Income Trust II   1,586    17,224 
BlackRock MuniHoldings New Jersey Quality Fund, Inc.   1,453    16,898 
RiverNorth Opportunities Fund, Inc.   1,354    16,302 
Nuveen Real Asset Income and Growth Fund   1,362    16,153 
Allspring Income Opportunities   2,427    16,115 
BlackRock MuniVest Fund, Inc.   2,263    15,977 
Putnam Municipal Opportunities Trust   1,570    15,951 
Invesco Advantage Municipal Income Trust II   1,840    15,640 
Franklin Limited Duration Income Trust   2,485    15,581 
BlackRock California Municipal Income Trust   1,307    15,449 
Eaton Vance Tax-Managed Buy-Write Income Fund   1,131    15,438 
Nuveen New York Quality Municipal Income Fund   1,391    15,231 
Voya Asia Pacific High Dividend Equity Income Fund   2,394    15,154 
Nuveen S&P 500 Dynamic Overwrite Fund   943    14,777 
Blackstone Long-Short Credit Income Fund   1,194    14,698 
Putnam Managed Municipal Income Trust   2,450    14,675 
Eaton Vance National Municipal Opportunities Trust   869    14,417 
PIMCO California Municipal Income Fund   1,538    14,396 
Nuveen Real Estate Income Fund   1,801    14,228 
PIMCO Municipal Income Fund III   1,890    14,118 
Eaton Vance Tax-Advantaged Global Dividend Opportunities Fund   565    14,114 
BlackRock MuniYield New York Quality Fund, Inc.   1,309    13,771 
MFS Intermediate Income Trust   5,171    13,755 
BlackRock MuniYield Michigan Quality Fund, Inc.   1,194    13,743 
Allspring Multi-Sector Income Fund   1,462    13,640 
Pioneer High Income Fund, Inc.   1,772    13,573 
Franklin Universal Trust   2,027    13,459 
BlackRock MuniHoldings Quality Fund II, Inc.   1,315    13,387 
Nuveen California Municipal Value Fund, Inc.2   1,485    13,365 
Flaherty & Crumrine Total Return Fund, Inc.   859    13,280 
abrdn Australia Equity Fund, Inc.   3,069    13,074 
MFS Municipal Income Trust   2,425    13,022 
Western Asset Municipal High Income Fund, Inc.   1,913    12,989 
Nuveen Missouri Quality Municipal Income Fund   1,268    12,883 
Cohen & Steers Select Preferred and Income Fund, Inc.   640    12,794 
Invesco Trust for Investment Grade New York Municipals   1,189    12,782 
BNY Mellon Municipal Income, Inc.   1,869    12,765 
John Hancock Hedged Equity & Income Fund   1,215    12,745 
BlackRock MuniHoldings New York Quality Fund, Inc.   1,201    12,719 
BlackRock New York Municipal Income Trust   1,199    12,709 
Nuveen New York Municipal Value Fund   1,524    12,680 
Nuveen Virginia Quality Municipal Income Fund   1,132    12,531 
MFS Charter Income Trust2   1,966    12,464 
Pioneer Diversified High Income Fund, Inc.   1,042    12,373 
MFS Multimarket Income Trust   2,666    12,344 
Invesco Pennsylvania Value Municipal Income Trust   1,196    12,259 
BrandywineGLOBAL Global Income Opportunities Fund, Inc.2   1,433    12,152 

 

 

Multi-Hedge Strategies Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) March 31, 2024
   

 

    Shares    Value 
CLOSED-END FUNDS† - 6.9% (continued)
Flaherty & Crumrine Preferred & Income Fund, Inc.   1,141   $12,106 
PIMCO California Municipal Income Fund II   2,094    12,082 
John Hancock Income Securities Trust   1,070    11,963 
Western Asset Inflation-Linked Income Fund2   1,468    11,949 
DWS Strategic Municipal Income Trust   1,332    11,908 
MFS Government Markets Income Trust   3,705    11,856 
Eaton Vance New York Municipal Bond Fund   1,215    11,798 
Western Asset Intermediate Muni Fund, Inc.   1,485    11,761 
John Hancock Investors Trust   889    11,726 
Nuveen Municipal Income Fund, Inc.   1,237    11,690 
Source Capital, Inc.   273    11,600 
Tortoise Power and Energy Infrastructure Fund, Inc.   742    11,565 
Nuveen Select Maturities Municipal Fund   1,286    11,561 
Sprott Focus Trust, Inc.   1,433    11,507 
Western Asset Investment Grade Income Fund, Inc.   943    11,495 
Flaherty & Crumrine Preferred and Income Opportunity Fund, Inc.   1,361    11,487 
MFS High Income Municipal Trust   3,164    11,485 
European Equity Fund, Inc.   1,282    11,423 
BlackRock MuniYield Pennsylvania Quality Fund   938    11,359 
Allspring Utilities and High Income Fund   1,203    11,356 
MFS High Yield Municipal Trust   3,397    11,312 
Principal Real Estate Income Fund   1,092    11,280 
Nuveen Massachusetts Quality Municipal Income Fund   1,026    11,204 
Federated Hermes Premier Municipal Income Fund   1,010    11,181 
MFS Investment Grade Municipal Trust   1,459    11,118 
Invesco High Income Trust II   1,028    11,030 
DTF Tax-Free Income 2028 Term Fund, Inc.   1,025    11,019 
Nuveen Arizona Quality Municipal Income Fund   989    10,859 
PIMCO New York Municipal Income Fund   1,398    10,793 
Gabelli Global Utility & Income Trust   729    10,629 
PIMCO New York Municipal Income Fund II2   1,431    10,618 
Nuveen Minnesota Quality Municipal Income Fund   943    10,603 
Nuveen Multi-Market Income Fund   1,701    10,359 
Nuveen New York Select Tax-Free Income Portfolio   888    10,336 
BlackRock Enhanced Government Fund, Inc.   1,079    10,240 
Voya Global Advantage and Premium Opportunity Fund   1,132    10,233 
Insight Select Income Fund   618    10,191 
Voya Infrastructure Industrials and Materials Fund   966    10,162 
Templeton Emerging Markets Fund/United States   842    10,053 
Credit Suisse High Yield Bond Fund   4,976    10,051 
MFS Intermediate High Income Fund   5,826    10,050 
Royce Value Trust, Inc.   661    10,027 
Lazard Global Total Return and Income Fund, Inc.   614    10,027 
Ares Dynamic Credit Allocation Fund, Inc.   704    10,018 
TCW Strategic Income Fund, Inc.   2,078    9,995 
First Trust Specialty Finance and Financial Opportunities Fund   2,644    9,968 
Macquarie/First Trust Global Infrastructure/Utilities Dividend & Income Fund   1,297    9,961 
Nuveen California Select Tax-Free Income Portfolio   740    9,938 
Adams Diversified Equity Fund, Inc.   508    9,916 
Eaton Vance California Municipal Income Trust   933    9,899 
Voya Emerging Markets High Dividend Equity Fund   1,877    9,892 
Neuberger Berman Real Estate Securities Income Fund, Inc.   2,949    9,850 
Liberty All Star Growth Fund, Inc.   1,794    9,849 
First Trust Intermediate Duration Preferred & Income Fund   549    9,838 
Royce Micro-Capital Trust, Inc.   1,041    9,837 
First Trust Senior Floating Rate Income Fund II   948    9,812 
Eaton Vance Municipal Income Trust   956    9,799 
Royce Global Value Trust, Inc.   916    9,792 
First Trust High Income Long/Short Fund   819    9,771 
Morgan Stanley Emerging Markets Debt Fund, Inc.   1,351    9,768 
Apollo Senior Floating Rate Fund, Inc.   683    9,733 

 

 

Multi-Hedge Strategies Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) March 31, 2024
   

 

    Shares    Value 
CLOSED-END FUNDS† - 6.9% (continued)
Eaton Vance Municipal Income 2028 Term Trust   539   $9,616 
Highland Opportunities and Income Fund   1,301    9,146 
Neuberger Berman Energy Infrastructure and Income Fund, Inc.   1,206    8,888 
Aberdeen Asia-Pacific Income Fund, Inc.   3,166    8,865 
Virtus Dividend Interest & Premium Strategy Fund   690    8,818 
BlackRock Resources & Commodities Strategy Trust   970    8,808 
BlackRock Health Sciences Trust   211    8,744 
Saba Capital Income & Opportunities Fund   1,199    8,741 
Virtus Equity & Convertible Income Fund   390    8,732 
Nuveen Preferred & Income Opportunities Fund   1,211    8,707 
BlackRock Enhanced Capital and Income Fund, Inc.   446    8,693 
Cohen & Steers Limited Duration Preferred and Income Fund, Inc.   432    8,675 
Flaherty & Crumrine Dynamic Preferred and Income Fund, Inc.   382    7,323 
Barings Global Short Duration High Yield Fund   453    6,478 
Saba Capital Income & Opportunities Fund II   1,680    6,418 
Nuveen Multi-Asset Income Fund   486    6,046 
BlackRock Energy and Resources Trust   444    5,883 
Nuveen Global High Income Fund   433    5,534 
Western Asset Premier Bond Fund   492    5,235 
Clough Global Opportunities Fund   1,015    5,156 
Templeton Emerging Markets Income Fund   923    5,012 
Eaton Vance California Municipal Bond Fund   454    4,290 
Highland Global Allocation Fund   547    4,190 
Western Asset Mortgage Opportunity Fund, Inc.   338    3,958 
Putnam Premier Income Trust   990    3,485 
High Income Securities Fund   418    2,830 
Clough Global Dividend and Income Fund   436    2,437 
Special Opportunities Fund, Inc.   166    2,098 
Nuveen Mortgage and Income Fund   117    2,078 
New America High Income Fund, Inc.   277    2,017 
RiverNorth Capital and Income Fund   96    1,523 
Putnam Master Intermediate Income Trust   401    1,283 
BlackRock Virginia Municipal Bond Trust   25    274 
Nuveen Intermediate Duration Municipal Term Fund Liquidating Trust*   955    – 
Total Closed-End Funds          
(Cost $5,524,550)        5,994,317 

 

    Face
Amount		      
U.S. TREASURY BILLS†† - 15.8%
U.S. Treasury Bills
5.17% due 04/16/243,4  $7,363,000    7,346,834 
5.18% due 04/09/244,8   6,400,000    6,392,545 
Total U.S. Treasury Bills          
(Cost $13,739,349)        13,739,379 
 
REPURCHASE AGREEMENTS††,5 - 14.5%
J.P. Morgan Securities LLC
issued 03/28/24 at 5.31%
due 04/01/24		   7,263,420    7,263,420 
BofA Securities, Inc.
issued 03/28/24 at 5.31%
due 04/01/24		   2,793,623    2,793,623 
Barclays Capital, Inc.
issued 03/28/24 at 5.30%
due 04/01/24		   2,532,178    2,532,178 
Total Repurchase Agreements          
(Cost $12,589,221)        12,589,221 

 

    Shares      
SECURITIES LENDING COLLATERAL†,6 - 0.1%
Money Market Fund          
First American Government Obligations Fund - Class X, 5.23%7   78,246    78,246 
Total Securities Lending Collateral          
(Cost $78,246)        78,246 
Total Investments - 86.0%          
(Cost $74,095,612)       $74,780,002 
           
COMMON STOCKS SOLD SHORT† - (7.7)%
Technology - (0.3)%
Synopsys, Inc.*   508    (290,322)
Consumer, Non-cyclical - (0.7)%
First Advantage Corp.   12,756    (206,902)
WillScot Mobile Mini Holdings Corp.*   8,978    (417,477)
Total Consumer, Non-cyclical        (624,379)
Financial - (1.8)%
Capital One Financial Corp.   1,228    (182,837)
Provident Financial Services, Inc.   30,186    (439,810)
Eastern Bankshares, Inc.   66,440    (915,543)
Total Financial        (1,538,190)

 

 

Multi-Hedge Strategies Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) March 31, 2024
   

 

    Shares    Value 
COMMON STOCKS SOLD SHORT† - (7.7)% (continued)
Energy - (4.9)%
Chesapeake Energy Corp.   6,135   $(544,972)
Equities Corp.   15,172    (562,426)
Chord Energy Corp.   3,767    (671,430)
Chevron Corp.   7,362    (1,161,282)
Exxon Mobil Corp.   11,517    (1,338,736)
Total Energy        (4,278,846)
Total Common Stocks Sold Short          
(Proceeds $6,306,171)        (6,731,737)
 
EXCHANGE-TRADED FUNDS SOLD SHORT† - (6.6)%
iShares MBS ETF   30    (2,773)
SPDR Gold Shares — Class D   15    (3,086)
Financial Select Sector SPDR Fund   86    (3,622)
Energy Select Sector SPDR Fund   40    (3,776)
iShares Mortgage Real Estate ETF   217    (5,043)
iShares Agency Bond ETF   64    (6,915)
Materials Select Sector SPDR Fund   79    (7,338)
VanEck Gold Miners ETF   342    (10,814)
iShares 7-10 Year Treasury Bond ETF   169    (15,998)
iShares MSCI All Country Asia ex Japan ETF   284    (19,241)
iShares Latin America 40 ETF   888    (25,255)
Utilities Select Sector SPDR Fund   458    (30,068)
iShares Floating Rate Bond ETF   937    (47,843)
iShares U.S. Real Estate ETF   571    (51,333)
iShares Preferred & Income Securities ETF   1,594    (51,375)
iShares MSCI Emerging Markets ETF   1,317    (54,102)
iShares Core High Dividend ETF   519    (57,199)
iShares iBoxx $ Investment Grade Corporate Bond ETF   528    (57,510)
SPDR S&P Biotech ETF   669    (63,481)
Schwab U.S. Aggregate Bond ETF   1,741    (80,086)
iShares JP Morgan USD Emerging Markets Bond ETF   981    (87,966)
iShares Russell 1000 Growth ETF   291    (98,082)
Invesco Senior Loan ETF   4,988    (105,496)
iShares TIPS Bond ETF   1,364    (146,507)
SPDR Bloomberg Convertible Securities ETF   2,446    (178,656)
iShares Russell 2000 Index ETF   1,075    (226,072)
VanEck High Yield Muni ETF   4,842    (253,043)
Health Care Select Sector SPDR Fund   1,900    (280,687)
SPDR S&P 500 ETF Trust   636    (332,673)
iShares Russell 1000 Value ETF   2,291    (410,341)
SPDR Nuveen Bloomberg High Yield Municipal Bond ETF   17,550    (450,860)
iShares National Muni Bond ETF   4,660    (501,416)
iShares MSCI EAFE ETF   6,298    (502,958)
SPDR Nuveen Bloomberg Municipal Bond ETF   16,178    (751,953)
iShares iBoxx High Yield Corporate Bond ETF   9,814    (762,842)
Total Exchange-Traded Funds Sold Short          
(Proceeds $5,734,293)        (5,686,410)
Total Securities Sold Short - (14.3)%          
(Proceeds $12,040,464)       $(12,418,147)
Other Assets & Liabilities, net - 28.3%        24,591,482 
Total Net Assets - 100.0%       $86,953,337 

 

Futures Contracts           
Description 

Number of

Contracts

   Expiration Date  Notional Amount   Value and Unrealized
Appreciation (Depreciation)**		 
Commodity Futures Contracts Purchased†                  
Cocoa Futures Contracts   4   May 2024  $389,680   $166,307 
Soybean Futures Contracts   193   Nov 2024   11,454,550    162,127 
Hard Red Winter Wheat Futures Contracts   222   Jul 2024   6,454,650    136,929 
Live Cattle Futures Contracts   117   Aug 2024   8,352,630    83,258 
Coffee 'C' Futures Contracts   16   May 2024   1,130,700    66,756 
WTI Crude Futures Contracts   12   Apr 2024   995,880    54,929 
Brent Crude Futures Contracts   13   Apr 2024   1,128,920    45,929 
Cotton #2 Futures Contracts   117   Dec 2024   4,911,075    33,630 
Gold 100 oz. Futures Contracts   6   Jun 2024   1,345,440    24,721 
Gasoline RBOB Futures Contracts   8   Apr 2024   913,181    15,402 
Silver Futures Contracts   2   May 2024   249,950    10,194 
Sugar #11 Futures Contracts   19   Apr 2024   478,800    4,622 
Low Sulphur Gas Oil Futures Contracts   13   May 2024   1,052,350    3,879 
Live Cattle Futures Contracts   3   Jun 2024   216,660    (5,079)
Copper Futures Contracts   4   May 2024   400,850    (10,320)

 

 

Multi-Hedge Strategies Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) March 31, 2024
   

 

Description 

Number of

Contracts

   Expiration Date  Notional Amount   Value and Unrealized
Appreciation (Depreciation)**		 
Commodity Futures Contracts Purchased (continued)†               
NY Harbor ULSD Futures Contracts   9   Apr 2024  $988,319   $(15,483)
Natural Gas Futures Contracts   176   May 2024   3,491,840    (106,535)
           $43,955,475   $671,266 
                   
Interest Rate Futures Contracts Purchased†                  
Long Gilt Futures Contracts††   83   Jun 2024  $10,449,508   $207,990 
Euro - Bund Futures Contracts   90   Jun 2024   12,939,685    143,906 
Euro - OATS Futures Contracts   78   Jun 2024   10,775,076    84,876 
Euro - 30 year Bond Futures Contracts   6   Jun 2024   877,212    23,552 
Euro - BTP Italian Government Bond Futures Contracts††   11   Jun 2024   1,410,013    803 
           $36,451,494   $461,127 
                   
Equity Futures Contracts Purchased†                  
Russell 2000 Index Mini Futures Contracts   29   Jun 2024  $3,110,395   $129,261 
NASDAQ-100 Index Mini Futures Contracts   11   Jun 2024   4,061,750    51,992 
IBEX 35 Index Futures Contracts††   4   Apr 2024   477,905    33,718 
Tokyo Stock Price Index Futures Contracts   3   Jun 2024   547,438    23,801 
FTSE MIB Index Futures Contracts   3   Jun 2024   554,003    21,756 
Nikkei 225 (OSE) Index Futures Contracts   2   Jun 2024   533,335    20,295 
OMX Stockholm 30 Index Futures Contracts††   23   Apr 2024   548,463    18,390 
SPI 200 Index Futures Contracts   6   Jun 2024   775,074    15,747 
S&P/TSX 60 IX Index Futures Contracts   3   Jun 2024   594,408    14,321 
CAC 40 10 Euro Index Futures Contracts   7   Apr 2024   622,130    13,288 
CBOE Volatility Index Futures Contracts   76   Jun 2024   1,228,920    6,279 
Dow Jones Industrial Average Index Mini Futures Contracts   30   Jun 2024   6,023,400    1,853 
FTSE 100 Index Futures Contracts   6   Jun 2024   605,634    680 
Euro STOXX 50 Index Futures Contracts   10   Jun 2024   544,778    351 
DAX Index Futures Contracts   1   Jun 2024   506,662    209 
CBOE Volatility Index Futures Contracts   58   Sep 2024   1,044,532    (155)
S&P 500 Index Mini Futures Contracts   19   Jun 2024   5,040,225    (3,463)
CBOE Volatility Index Futures Contracts   416   May 2024   6,427,200    (39,195)
           $33,246,252   $309,128 
                   
Currency Futures Contracts Purchased†                  
Japanese Yen Futures Contracts   70   Jun 2024  $5,849,813   $(94,293)
New Zealand Dollar Futures Contracts   101   Jun 2024   6,033,740    (149,700)
British Pound Futures Contracts   120   Jun 2024   9,468,750    (153,968)
           $21,352,303   $(397,961)
                   
Currency Futures Contracts Sold Short†                  
Swiss Franc Futures Contracts   187   Jun 2024  $26,142,600   $544,044 
Australian Dollar Futures Contracts   47   Jun 2024   3,069,335    43,663 
Euro FX Futures Contracts   22   Jun 2024   2,976,050    40,569 
Canadian Dollar Futures Contracts   14   Jun 2024   1,034,810    3,442 
           $33,222,795   $631,718 
                   
Interest Rate Futures Contracts Sold Short†                  
Australian Government 10 Year Bond Futures Contracts   197   Jun 2024  $14,921,363   $29,733 
U.S. Treasury 10 Year Note Futures Contracts   135   Jun 2024   14,947,031    13,517 
U.S. Treasury Ultra Long Bond Futures Contracts   17   Jun 2024   2,187,688    5,149 
U.S. Treasury Long Bond Futures Contracts   22   Jun 2024   2,646,188    3,176 
Canadian Government 10 Year Bond Futures Contracts   13   Jun 2024   1,153,661    1,690 
           $35,855,931   $53,265 
                   
Equity Futures Contracts Sold Short†                  
CBOE Volatility Index Futures Contracts   369   Apr 2024  $5,313,600   $2,194 
CBOE Volatility Index Futures Contracts   101   Jul 2024   1,706,900    (4,101)
           $7,020,500   $(1,907)

 

 

Multi-Hedge Strategies Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) March 31, 2024
   

 

Description 

Number of

Contracts

   Expiration Date  Notional Amount   Value and Unrealized
Appreciation (Depreciation)**		 
Commodity Futures Contracts Sold Short†                  
Natural Gas Futures Contracts   201   Jun 2024  $4,683,300   $262,617 
Cattle Feeder Futures Contracts   18   May 2024   2,240,325    70,493 
Wheat Futures Contracts   43   May 2024   1,207,225    39,013 
Cotton #2 Futures Contracts   26   May 2024   1,188,590    27,904 
LME Zinc Futures Contracts   7   May 2024   423,621    12,282 
LME Nickel Futures Contracts   3   May 2024   299,189    11,952 
Cotton #2 Futures Contracts   6   Jul 2024   276,240    9,139 
LME Lead Futures Contracts   9   May 2024   460,224    (1,217)
Natural Gas Futures Contracts   28   Apr 2024   488,040    (7,071)
LME Primary Aluminum Futures Contracts   9   May 2024   522,230    (20,255)
Corn Futures Contracts   99   May 2024   2,189,137    (26,692)
Soybean Futures Contracts   28   May 2024   1,668,800    (34,076)
Soybean Meal Futures Contracts   42   May 2024   1,417,500    (38,407)
Soybean Futures Contracts   150   Jul 2024   9,043,125    (56,702)
Hard Red Winter Wheat Futures Contracts   40   May 2024   1,174,000    (57,738)
Soybean Oil Futures Contracts   42   May 2024   1,213,632    (72,186)
Live Cattle Futures Contracts   135   Oct 2024   9,806,400    (95,662)
Hard Red Winter Wheat Futures Contracts   229   Sep 2024   6,786,988    (142,728)
           $45,088,566   $(119,334)

 

Custom Basket Swap Agreements              
Counterparty 

Reference

Obligation

  Type  Financing Rate  Payment Frequency  Maturity Date  Notional Amount   Value and Unrealized Appreciation (Depreciation) 
OTC Custom Basket Swap Agreements††                
Goldman Sachs International  GS Equity Market Neutral Custom Basket  Pay  5.78% (Federal Funds Rate + 0.45%)  At Maturity  05/06/24  $17,928,332   $1,962,568 
                          
Goldman Sachs International  GS Long/Short Equity Custom Basket  Pay  5.78% (Federal Funds Rate + 0.45%)  At Maturity  05/06/24   16,312,304    1,959,205 
                          
Morgan Stanley Capital Services LLC  MS Equity Market Neutral Custom Basket  Pay  5.73% (Federal Funds Rate + 0.40%)  At Maturity  08/31/28   17,928,325    1,661,842 
                          
Morgan Stanley Capital Services LLC  MS Long/Short Equity Custom Basket  Pay  5.73% (Federal Funds Rate + 0.40%)  At Maturity  08/31/28   16,312,334    1,658,175 
                  $68,481,295   $7,241,790 
OTC Custom Basket Swap Agreements Sold Short††                
Goldman Sachs International  GS Equity Market Neutral Custom Basket  Receive  5.13% (Federal Funds Rate - 0.20%)  At Maturity  05/06/24  $17,431,224   $787,395 
Goldman Sachs International  GS Long/Short Equity Custom Basket  Receive  5.12% (Federal Funds Rate - 0.21%)  At Maturity  05/06/24   11,616,798    (427,796)
Morgan Stanley Capital Services LLC  MS Long/Short Equity Custom Basket  Receive  5.02% (Federal Funds Rate - 0.31%)  At Maturity  08/31/28   11,732,919    (544,889)
Morgan Stanley Capital Services LLC  MS Equity Market Neutral Custom Basket  Receive  5.00% (Federal Funds Rate - 0.33%)  At Maturity  08/31/28   17,431,217    (964,116)
                  $58,212,158   $(1,149,406)

 

 

 

Multi-Hedge Strategies Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) March 31, 2024

 

GS EQUITY MARKET NEUTRAL  LONG CUSTOM BASKET               
    Shares    

Percentage Notional

Amount

    Value and Unrealized
Appreciation (Depreciation)		 
Financial               
Ryman Hospitality Properties, Inc.   11,168    7.20%  $443,234 
Simon Property Group, Inc.   4,992    4.36%   220,420 
CareTrust REIT, Inc.   27,488    3.74%   191,447 
Host Hotels & Resorts, Inc.   40,594    4.68%   184,524 
Digital Realty Trust, Inc.   5,603    4.50%   107,081 
Invitation Homes, Inc.   29,803    5.92%   100,204 
Boston Properties, Inc.   8,228    3.00%   92,902 
Sun Communities, Inc.   3,688    2.64%   85,779 
Brixmor Property Group, Inc.   22,975    3.01%   80,892 
Vornado Realty Trust   19,321    3.10%   71,886 
InvenTrust Properties Corp.   20,652    2.96%   71,662 
Kimco Realty Corp.   25,619    2.80%   59,923 
Extra Space Storage, Inc.   2,641    2.17%   58,915 
Gaming and Leisure Properties, Inc.   17,195    4.42%   57,278 
Sabra Health Care REIT, Inc.   56,654    4.67%   51,726 
Ventas, Inc.   19,182    4.66%   47,882 
Highwoods Properties, Inc.   11,078    1.62%   46,723 
VICI Properties, Inc.   27,463    4.56%   37,220 
American Homes 4 Rent — Class A   11,596    2.38%   35,569 
Kilroy Realty Corp.   11,582    2.35%   24,248 
Kite Realty Group Trust   24,147    2.92%   24,080 
Alexandria Real Estate Equities, Inc.   6,883    4.95%   21,295 
Equinix, Inc.   483    2.22%   10,715 
Equity Residential   6,804    2.40%   5,713 
Americold Realty Trust, Inc.   14,407    2.00%   (25,727)
Retail Opportunity Investments Corp.   37,472    2.68%   (35,201)
Healthpeak Properties, Inc.   26,308    2.75%   (52,540)
Rexford Industrial Realty, Inc.   19,051    5.34%   (55,282)
Total Financial             1,962,568 
Total GS Equity Market Neutral  Long Custom Basket            $1,962,568 
                
GS EQUITY MARKET NEUTRAL  SHORT CUSTOM BASKET               
Financial               
Douglas Emmett, Inc.   75,553    (6.01)%   581,471 
Mid-America Apartment Communities, Inc.   5,989    (4.52)%   248,274 
Realty Income Corp.   20,850    (6.47)%   246,532 
Broadstone Net Lease, Inc.   36,373    (3.27)%   211,666 
Camden Property Trust   8,117    (4.58)%   173,004 
Apartment Income REIT Corp.   17,115    (3.19)%   147,933 
Service Properties Trust   36,373    (1.41)%   84,935 
JBG SMITH Properties   65,100    (5.99)%   67,154 
LTC Properties, Inc.   19,924    (3.72)%   2,913 
Cousins Properties, Inc.   11,967    (1.65)%   (26,000)
Pebblebrook Hotel Trust   39,903    (3.53)%   (47,779)
Federal Realty Investment Trust   11,809    (6.92)%   (49,503)
EastGroup Properties, Inc.   2,449    (2.53)%   (53,386)
STAG Industrial, Inc.   26,797    (5.91)%   (69,806)
Phillips Edison & Company, Inc.   39,076    (8.04)%   (92,669)
Sunstone Hotel Investors, Inc.   82,898    (5.30)%   (113,897)
Omega Healthcare Investors, Inc.   35,364    (6.43)%   (118,768)
National Health Investors, Inc.   12,427    (4.48)%   (128,091)
Macerich Co.   49,779    (4.92)%   (281,038)
Total Financial             782,945 
Exchange-Traded Funds               
Vanguard Real Estate ETF   22,447     (11.13)%   4,450 
Total GS Equity Market Neutral  Short Custom Basket            $787,395 

 

 

 

 

 

Multi-Hedge Strategies Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) March 31, 2024

 

GS LONG/SHORT EQUITY LONG CUSTOM BASKET 
    Shares    Percentage Notional Amount    Value and Unrealized
Appreciation (Depreciation)		 
Industrial               
Boise Cascade Co.   877    0.82%  $69,331 
Mueller Industries, Inc.   2,763    0.91%   58,455 
Encore Wire Corp.   449    0.72%   39,984 
Apogee Enterprises, Inc.   2,839    1.03%   33,383 
Owens Corning   1,049    1.07%   33,232 
Scorpio Tankers, Inc.   1,640    0.72%   33,116 
International Seaways, Inc.   2,739    0.89%   31,065 
Atkore, Inc.   453    0.53%   26,467 
Snap-on, Inc.   277    0.50%   25,551 
TD SYNNEX Corp.   1,120    0.78%   21,213 
Ardmore Shipping Corp.   5,789    0.58%   21,173 
Teekay Tankers Ltd. — Class A   1,403    0.50%   20,658 
UFP Industries, Inc.   1,300    0.98%   20,296 
Argan, Inc.   1,548    0.48%   15,919 
Masco Corp.   2,055    0.99%   14,799 
Caterpillar, Inc.   474    1.06%   14,711 
Teekay Corp.   15,630    0.70%   12,813 
Deere & Co.   211    0.53%   8,992 
Terex Corp.   571    0.23%   8,983 
Fortune Brands Innovations, Inc.   646    0.34%   5,274 
AGCO Corp.   1,030    0.78%   5,113 
Frontdoor, Inc.   1,190    0.24%   2,495 
Mettler-Toledo International, Inc.   27    0.22%   1,078 
Keysight Technologies, Inc.   384    0.37%   64 
Vishay Intertechnology, Inc.   1,564    0.22%   (281)
Total Industrial             523,884 
Communications               
IDT Corp. — Class B   3,372    0.78%   43,979 
InterDigital, Inc.   1,510    0.99%   36,884 
eBay, Inc.   2,566    0.83%   29,407 
Verizon Communications, Inc.   3,938    1.01%   26,276 
AT&T, Inc.   8,030    0.87%   21,213 
Alphabet, Inc. — Class C   1,008    0.94%   18,708 
T-Mobile US, Inc.   771    0.77%   13,036 
Motorola Solutions, Inc.   479    1.04%   11,198 
Cisco Systems, Inc.   3,276    1.00%   6,150 
A10 Networks, Inc.   2,697    0.23%   4,906 
Match Group, Inc.   1,224    0.27%   1,461 
Spok Holdings, Inc.   2,443    0.24%   (949)
VeriSign, Inc.   316    0.37%   (3,444)
Comcast Corp. — Class A   2,662    0.71%   (4,490)
Gogo, Inc.   11,706    0.63%   (8,796)
Ooma, Inc.   8,657    0.45%   (23,680)
Total Communications             171,859 
Consumer, Non-cyclical               
Merck & Company, Inc.   1,297    1.05%   37,452 
Perdoceo Education Corp.   5,297    0.57%   33,003 
Exelixis, Inc.   6,970    1.01%   27,694 
Innoviva, Inc.   4,956    0.46%   17,408 
PayPal Holdings, Inc.   1,796    0.74%   14,470 
Molina Healthcare, Inc.   201    0.51%   12,793 
Alarm.com Holdings, Inc.   696    0.31%   10,161 
Viatris, Inc.   4,294    0.31%   9,923 
HCA Healthcare, Inc.   504    1.03%   9,915 
Hologic, Inc.   1,248    0.60%   9,520 
Collegium Pharmaceutical, Inc.   1,292    0.31%   9,336 
Supernus Pharmaceuticals, Inc.   1,541    0.32%   8,822 
AbbVie, Inc.   446    0.50%   7,994 
Royalty Pharma plc — Class A   3,940    0.73%   4,807 
Dynavax Technologies Corp.   5,409    0.41%   3,836 
United Therapeutics Corp.   694    0.98%   3,521 
Agilent Technologies, Inc.   240    0.21%   3,448 
Organon & Co.   2,561    0.30%   2,463 
Abbott Laboratories   1,337    0.93%   2,166 
Alkermes plc   1,084    0.18%   2,157 
Johnson & Johnson   800    0.78%   1,680 
Amgen, Inc.   230    0.40%   1,625 
Neurocrine Biosciences, Inc.   284    0.24%   1,201 
Vertex Pharmaceuticals, Inc.   110    0.28%   228 
Thermo Fisher Scientific, Inc.   55    0.20%   (161)
Biogen, Inc.   370    0.49%   (525)
Lantheus Holdings, Inc.   498    0.19%   (1,176)
Jazz Pharmaceuticals plc   655    0.48%   (1,568)
Cross Country Healthcare, Inc.   1,765    0.20%   (5,969)
Incyte Corp.   2,709    0.95%   (11,262)
Bristol-Myers Squibb Co.   3,080    1.02%   (13,990)
Total Consumer, Non-cyclical             200,972 
Technology               
Applied Materials, Inc.   446    0.56%   23,247 
Skyworks Solutions, Inc.   905    0.60%   12,261 
Amdocs Ltd.   1,743    0.97%   9,521 
Immersion Corp.   11,577    0.53%   7,627 
Cirrus Logic, Inc.   376    0.21%   5,973 
NetScout Systems, Inc.   2,784    0.37%   2,398 
Accenture plc — Class A   255    0.54%   2,311 
Dropbox, Inc. — Class A   4,893    0.73%   1,715 
Box, Inc. — Class A   1,656    0.29%   1,612 
Playtika Holding Corp.   5,528    0.24%   1,264 
Crane NXT Co.   547    0.21%   1,233 
Zoom Video Communications, Inc. — Class A   710    0.28%   1,134 
Progress Software Corp.   862    0.28%   903 
Insight Enterprises, Inc.   389    0.44%   666 
Xerox Holdings Corp.   1,685    0.18%   50 
Photronics, Inc.   1,517    0.26%   (411)
Adeia, Inc.   3,444    0.23%   (1,288)
Teradata Corp.   884    0.21%   (3,655)
Adobe, Inc.   133    0.41%   (16,256)
Total Technology             50,305 
Financial               
MGIC Investment Corp.   8,074    1.11%   65,793 
Essent Group Ltd.   2,972    1.08%   45,999 
Ambac Financial Group, Inc.   9,294    0.89%   26,214 
International Bancshares Corp.   1,711    0.59%   19,990 

 

 

Multi-Hedge Strategies Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) March 31, 2024
   

 

   Shares   Percentage
Notional
Amount		   Value and Unrealized
Appreciation (Depreciation)		 
Preferred Bank/Los Angeles CA   1,157    0.54%  $17,847 
Mr Cooper Group, Inc.   1,106    0.53%   16,575 
Synchrony Financial   3,323    0.88%   16,399 
Enact Holdings, Inc.   4,548    0.87%   14,998 
NMI Holdings, Inc. — Class A   5,370    1.06%   13,803 
Regions Financial Corp.   4,423    0.57%   13,569 
Hartford Financial Services Group, Inc.   1,672    1.06%   12,065 
Affiliated Managers Group, Inc.   441    0.45%   11,511 
Walker & Dunlop, Inc.   1,326    0.82%   9,655 
Travelers Companies, Inc.   729    1.03%   7,738 
Everest Group Ltd.   217    0.53%   6,268 
OneMain Holdings, Inc.   1,950    0.61%   5,686 
Innovative Industrial Properties, Inc.   891    0.57%   5,542 
Bread Financial Holdings, Inc.   2,782    0.64%   2,572 
Janus Henderson Group plc   3,263    0.66%   2,219 
Raymond James Financial, Inc.   1    0.00%   21 
Employers Holdings, Inc.   1,372    0.38%   (284)
Hanmi Financial Corp.   2,104    0.21%   (6,251)
Apartment Income REIT Corp.   5,115    1.02%   (8,503)
Total Financial             299,426 
Consumer, Cyclical               
Allison Transmission Holdings, Inc.   1,730    0.86%   76,365 
Taylor Morrison Home Corp. — Class A   2,758    1.05%   42,621 
Lennar Corp. — Class A   993    1.05%   41,721 
M/I Homes, Inc.   714    0.60%   34,461 
PulteGroup, Inc.   629    0.47%   27,420 
Brunswick Corp.   1,044    0.62%   24,870 
KB Home   1,048    0.46%   23,606 
PACCAR, Inc.   986    0.75%   19,565 
Monarch Casino & Resort, Inc.   2,004    0.92%   19,100 
Build-A-Bear Workshop, Inc. — Class A   2,248    0.41%   16,611 
Tri Pointe Homes, Inc.   2,087    0.49%   16,260 
GMS, Inc.   1,659    0.99%   15,213 
MSC Industrial Direct Company, Inc. — Class A   1,574    0.94%   14,683 
Ethan Allen Interiors, Inc.   2,795    0.59%   11,839 
Autoliv, Inc.   867    0.64%   9,596 
Wabash National Corp.   3,296    0.60%   9,350 
Harley-Davidson, Inc.   2,169    0.58%   8,766 
Oxford Industries, Inc.   517    0.36%   8,184 
Lowe's Companies, Inc.   659    1.03%   8,171 
Boyd Gaming Corp.   1,205    0.50%   6,549 
BorgWarner, Inc.   1,506    0.32%   4,653 
Buckle, Inc.   1,503    0.37%   3,569 
Polaris, Inc.   973    0.60%   2,368 
MasterCraft Boat Holdings, Inc.   2,501    0.36%   370 
Visteon Corp.   412    0.30%   367 
Golden Entertainment, Inc.   2,596    0.59%   216 
Aptiv plc   771    0.38%   (511)
Dine Brands Global, Inc.   750    0.21%   (2,650)
Standard Motor Products, Inc.   1,388    0.29%   (2,871)
McDonald's Corp.   546    0.94%   (5,905)
Total Consumer, Cyclical             434,557 
Utilities               
Public Service Enterprise Group, Inc.   2,461    1.01%   19,158 
Atmos Energy Corp.   1,387    1.01%   9,880 
Black Hills Corp.   2,762    0.92%   5,565 
National Fuel Gas Co.   3,160    1.04%   5,535 
OGE Energy Corp.   4,710    0.99%   2,680 
Total Utilities             42,818 
Energy               
Marathon Petroleum Corp.   910    1.12%   66,506 
Valero Energy Corp.   702    0.73%   41,235 
PBF Energy, Inc. — Class A   1,659    0.59%   28,346 
CNX Resources Corp.   6,072    0.88%   16,111 
Devon Energy Corp.   3,129    0.96%   15,198 
CVR Energy, Inc.   3,462    0.76%   14,030 
Cheniere Energy, Inc.   1,041    1.03%   5,905 
Chevron Corp.   522    0.50%   3,862 
RPC, Inc.   4,346    0.21%   3,317 
SandRidge Energy, Inc.   4,902    0.44%   2,269 
Par Pacific Holdings, Inc.   1,661    0.38%   486 
SolarEdge Technologies, Inc.   479    0.21%   (1,873)
Total Energy             195,392 
Basic Materials               
Olin Corp.   1,397    0.50%   9,713 
Government               
Banco Latinoamericano de Comercio Exterior S.A. — Class E   4,359    0.80%   30,279 
Total GS Long/Short Equity Long Custom Basket            $1,959,205 
                
GS LONG/SHORT EQUITY SHORT CUSTOM BASKET 
Utilities               
AES Corp.   8,280    (1.28)%   $24,393 
Portland General Electric Co.   3,375    (1.22)%   16,492 
California Water Service Group   2,998    (1.20)%   12,869 
Middlesex Water Co.   1,843    (0.83)%   12,371 
Alliant Energy Corp.   1,218    (0.53)%   1,850 
Ormat Technologies, Inc.   1,526    (0.87)%   (2,163)
American Electric Power Company, Inc.   1,642    (1.22)%   (2,223)
PNM Resources, Inc.   1,417    (0.46)%   (3,419)
FirstEnergy Corp.   2,220    (0.74)%   (4,759)
Pinnacle West Capital Corp.   1,082    (0.70)%   (7,219)
Eversource Energy   2,514    (1.29)%   (7,418)
NRG Energy, Inc.   2,656    (1.55)%   (20,703)
Avangrid, Inc.   4,646    (1.46)%   (27,609)
Total Utilities             (7,538)

 

 

Multi-Hedge Strategies Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) March 31, 2024
   

 

   Shares   Percentage
Notional
Amount		   Value and
Unrealized
Appreciation
(Depreciation)		 
Consumer, Non-cyclical               
ICF International, Inc.   348    (0.45)%  $1,430 
Acadia Healthcare Company, Inc.   1,108    (0.76)%   (516)
Insmed, Inc.   2,604    (0.61)%   (829)
Tyson Foods, Inc. — Class A   894    (0.45)%   (969)
Flowers Foods, Inc.   2,977    (0.61)%   (1,514)
CBIZ, Inc.   714    (0.48)%   (1,662)
Paylocity Holding Corp.   378    (0.56)%   (2,627)
U-Haul Holding Co.   871    (0.51)%   (6,239)
Clorox Co.   701    (0.92)%   (6,566)
Utz Brands, Inc.   4,091    (0.65)%   (6,782)
RB Global, Inc.   1,263    (0.83)%   (13,483)
GXO Logistics, Inc.   3,255    (1.51)%   (15,368)
RxSight, Inc.   1,002    (0.44)%   (15,524)
Spectrum Brands Holdings, Inc.   1,836    (1.41)%   (23,649)
TransUnion   1,381    (0.95)%   (24,835)
Pilgrim's Pride Corp.   4,580    (1.35)%   (46,715)
Total Consumer, Non-cyclical             (165,848)
Basic Materials               
Piedmont Lithium, Inc.   5,410    (0.62)%   105,672 
Compass Minerals International, Inc.   3,566    (0.48)%   27,651 
Novagold Resources, Inc.   24,086    (0.62)%   25,473 
Hecla Mining Co.   16,919    (0.70)%   14,640 
Air Products and Chemicals, Inc.   233    (0.49)%   (594)
Ecolab, Inc.   151    (0.30)%   (5,222)
Kaiser Aluminum Corp.   717    (0.55)%   (7,043)
Stepan Co.   955    (0.74)%   (8,332)
ATI, Inc.   1,395    (0.61)%   (9,597)
Element Solutions, Inc.   4,457    (0.96)%   (14,520)
Kronos Worldwide, Inc.   10,122    (1.03)%   (26,660)
Century Aluminum Co.   7,733    (1.02)%   (62,068)
Total Basic Materials             39,400 
Financial               
Kennedy-Wilson Holdings, Inc.   15,547    (1.15)%   103,821 
Sun Communities, Inc.   1,135    (1.26)%   39,252 
Americold Realty Trust, Inc.   5,286    (1.13)%   38,186 
New York Mortgage Trust, Inc.   12,747    (0.79)%   22,052 
Marcus & Millichap, Inc.   4,584    (1.35)%   11,052 
Ellington Financial, Inc.   9,971    (1.01)%   9,638 
TFS Financial Corp.   10,242    (1.11)%   6,711 
Ventas, Inc.   1,595    (0.60)%   1,831 
Equity LifeStyle Properties, Inc.   472    (0.26)%   1,640 
UMH Properties, Inc.   4,367    (0.61)%   (588)
Terreno Realty Corp.   801    (0.46)%   (1,442)
PotlatchDeltic Corp.   3,047    (1.23)%   (1,481)
Iron Mountain, Inc.   1,540    (1.06)%   (2,103)
Elme Communities   8,450    (1.01)%   (2,122)
Allstate Corp.   204    (0.30)%   (3,268)
Moelis & Co. — Class A   1,633    (0.80)%   (3,974)
American Tower Corp. — Class A   445    (0.76)%   (4,037)
Equinix, Inc.   150    (1.07)%   (5,039)
Howard Hughes Holdings, Inc.   1,826    (1.14)%   (5,651)
State Street Corp.   1,595    (1.06)%   (6,957)
Digital Realty Trust, Inc.   767    (0.95)%   (6,984)
Jones Lang LaSalle, Inc.   272    (0.46)%   (7,164)
Cannae Holdings, Inc.   3,977    (0.76)%   (7,480)
Macerich Co.   5,831    (0.86)%   (8,030)
Brighthouse Financial, Inc.   3,461    (1.54)%   (8,258)
Global Net Lease, Inc.   16,175    (1.08)%   (9,252)
Apartment Investment and Management Co. — Class A   17,695    (1.25)%   (14,360)
CBRE Group, Inc. — Class A   829    (0.69)%   (17,423)
Welltower, Inc.   1,716    (1.38)%   (18,136)
FTAI Infrastructure, Inc.   8,727    (0.47)%   (23,361)
Carlyle Group, Inc.   2,778    (1.12)%   (29,967)
PennyMac Financial Services, Inc.   1,339    (1.05)%   (31,668)
KKR & Company, Inc. — Class A   1,428    (1.24)%   (61,163)
Total Financial             (45,725)
Energy               
NOV, Inc.   9,382    (1.58)%   717 
Dril-Quip, Inc.   6,262    (1.21)%   (4,353)
Sitio Royalties Corp. — Class A   4,088    (0.87)%   (9,879)
Antero Resources Corp.   5,107    (1.27)%   (10,582)
Valaris Ltd.   2,415    (1.56)%   (16,025)
TechnipFMC plc   7,326    (1.58)%   (37,943)
Archrock, Inc.   6,230    (1.05)%   (40,519)
Total Energy             (118,584)
Industrial               
NV5 Global, Inc.   592    (0.50)%   4,130 
Knight-Swift Transportation Holdings, Inc.   1,063    (0.50)%   2,006 
Boeing Co.   402    (0.67)%   1,735 
XPO, Inc.   653    (0.69)%   1,470 
RXO, Inc.   6,145    (1.16)%   1,236 
Exponent, Inc.   1,225    (0.87)%   855 
J.B. Hunt Transport Services, Inc.   250    (0.43)%   605 
Stericycle, Inc.   2,162    (0.98)%   61 
General Electric Co.   1    0.00%   (72)
Tetra Tech, Inc.   292    (0.46)%   (470)
Norfolk Southern Corp.   273    (0.60)%   (1,006)
Republic Services, Inc. — Class A   695    (1.15)%   (5,530)
Vulcan Materials Co.   161    (0.38)%   (9,335)
Trinity Industries, Inc.   3,391    (0.81)%   (13,400)
Casella Waste Systems, Inc. — Class A   1,509    (1.28)%   (24,620)
Total Industrial             (42,335)
Communications               
Boston Omaha Corp. — Class A   4,484    (0.60)%   (2,876)
DoorDash, Inc. — Class A   549    (0.65)%   (23,888)
Total Communications             (26,764)
Technology               
Paycor HCM, Inc.   7,218    (1.21)%   20,456 
Braze, Inc. — Class A   2,468    (0.94)%   8,238 

 

 

Multi-Hedge Strategies Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) March 31, 2024
   

 

   Shares   Percentage
Notional
Amount		   Value and
Unrealized
Appreciation (Depreciation)		 
Take-Two Interactive Software, Inc.   1,122    (1.43)%  $6,007 
ROBLOX Corp. — Class A   1,297    (0.43)%   3,408 
KBR, Inc.   1,824    (1.00)%   (5,837)
Evolent Health, Inc. — Class A   2,590    (0.73)%   (11,219)
Micron Technology, Inc.   936    (0.95)%   (22,410)
Parsons Corp.   1,165    (0.83)%   (30,582)
Total Technology             (31,939)
Consumer, Cyclical               
Walgreens Boots Alliance, Inc.   4,662    (0.87)%   23,755 
Tesla, Inc.   254    (0.38)%   8,910 
Dollar Tree, Inc.   516    (0.59)%   3,513 
Hyatt Hotels Corp. — Class A   491    (0.67)%   (718)
MarineMax, Inc.   2,446    (0.70)%   (2,931)
Dollar General Corp.   331    (0.44)%   (7,281)
DraftKings, Inc. — Class A   1,475    (0.58)%   (8,679)
Copart, Inc.   2,251    (1.12)%   (9,197)
CarMax, Inc.   1,705    (1.31)%   (35,835)
Total Consumer, Cyclical             (28,463)
Total GS Long/Short Equity Short Custom Basket            $(427,796)

 

MS EQUITY MARKET NEUTRAL  LONG CUSTOM BASKET            
Financial               
Ryman Hospitality Properties, Inc.   11,168    7.20%  $340,650 
Simon Property Group, Inc.   4,992    4.36%   215,382 
Host Hotels & Resorts, Inc.   40,594    4.68%   184,283 
CareTrust REIT, Inc.   27,488    3.74%   116,221 
Alexandria Real Estate Equities, Inc.   6,883    4.95%   112,707 
Digital Realty Trust, Inc.   5,603    4.50%   106,549 
Invitation Homes, Inc.   29,803    5.92%   103,140 
Boston Properties, Inc.   8,228    3.00%   88,615 
Sun Communities, Inc.   3,688    2.64%   86,012 
Vornado Realty Trust   19,321    3.10%   72,829 
Kimco Realty Corp.   25,619    2.80%   59,487 
Extra Space Storage, Inc.   2,641    2.17%   58,770 
Sabra Health Care REIT, Inc.   56,654    4.67%   53,868 
Brixmor Property Group, Inc.   22,975    3.01%   41,424 
Highwoods Properties, Inc.   11,078    1.62%   40,987 
VICI Properties, Inc.   27,463    4.56%   38,693 
InvenTrust Properties Corp.   20,652    2.96%   37,174 
American Homes 4 Rent — Class A   11,596    2.38%   36,250 
Kilroy Realty Corp.   11,582    2.35%   25,741 
Equinix, Inc.   483    2.22%   11,099 
Ventas, Inc.   19,182    4.66%   7,905 
Equity Residential   6,804    2.40%   5,236 
Kite Realty Group Trust   24,147    2.92%   (12,616)
Gaming and Leisure Properties, Inc.   17,195    4.42%   (20,176)
Americold Realty Trust, Inc.   14,407    2.00%   (27,970)
Retail Opportunity Investments Corp.   37,472    2.68%   (28,805)
Healthpeak Properties, Inc.   26,308    2.75%   (37,189)
Rexford Industrial Realty, Inc.   19,051    5.34%   (54,424)
Total Financial             1,661,842 
Total MS Equity Market Neutral  Long Custom Basket            $1,661,842 
                
MS EQUITY MARKET NEUTRAL  SHORT CUSTOM BASKET               
Financial               
Service Properties Trust   36,373    (1.41)%   $53,467 
Mid-America Apartment Communities, Inc.   5,989    (4.52)%   53,078 
Camden Property Trust   8,117    (4.58)%   27,506 
Realty Income Corp.   20,850    (6.47)%   27,141 
Apartment Income REIT Corp.   17,115    (3.19)%   11,213 
Broadstone Net Lease, Inc.   36,373    (3.27)%   2,084 
LTC Properties, Inc.   19,924    (3.72)%   (4,814)
Douglas Emmett, Inc.   75,553    (6.01)%   (14,943)
Cousins Properties, Inc.   11,967    (1.65)%   (26,027)
JBG SMITH Properties   65,100    (5.99)%   (38,819)
Pebblebrook Hotel Trust   39,903    (3.53)%   (39,850)
STAG Industrial, Inc.   26,797    (5.91)%   (49,479)
EastGroup Properties, Inc.   2,449    (2.53)%   (52,892)
Omega Healthcare Investors, Inc.   35,364    (6.43)%   (64,102)
Federal Realty Investment Trust   11,809    (6.92)%   (69,415)
Phillips Edison & Company, Inc.   39,076    (8.04)%   (73,834)
National Health Investors, Inc.   12,427    (4.48)%   (137,380)
Sunstone Hotel Investors, Inc.   82,898    (5.30)%   (165,845)
Macerich Co.   49,779    (4.92)%   (263,062)
Total Financial             (825,973)
Exchange-Traded Funds               
Vanguard Real Estate ETF   22,447    (11.13)%   (138,143)
Total MS Equity Market Neutral  Short Custom Basket            $(964,116)

 

 

 

Multi-Hedge Strategies Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) March 31, 2024

 

MS LONG/SHORT EQUITY LONG CUSTOM BASKET            
   Shares  

Percentage

Notional

Amount

   Value and Unrealized
Appreciation (Depreciation)		 
Industrial               
Boise Cascade Co.   877    0.83%  $43,629 
Mueller Industries, Inc.   2,763    0.91%   43,183 
Encore Wire Corp.   449    0.72%   40,059 
Owens Corning   1,049    1.07%   33,130 
Scorpio Tankers, Inc.   1,640    0.72%   29,008 
Apogee Enterprises, Inc.   2,839    1.03%   27,092 
Atkore, Inc.   453    0.53%   26,493 
International Seaways, Inc.   2,739    0.89%   23,878 
TD SYNNEX Corp.   1,120    0.78%   20,937 
Teekay Tankers Ltd. — Class A   1,403    0.50%   20,762 
Ardmore Shipping Corp.   5,789    0.58%   20,239 
UFP Industries, Inc.   1,300    0.98%   15,296 
Caterpillar, Inc.   474    1.06%   14,848 
Masco Corp.   2,055    0.99%   14,790 
Teekay Corp.   15,630    0.70%   13,675 
Argan, Inc.   1,548    0.48%   12,781 
Snap-on, Inc.   277    0.50%   9,314 
Deere & Co.   211    0.53%   8,947 
Terex Corp.   571    0.23%   8,845 
Fortune Brands Innovations, Inc.   646    0.34%   5,290 
AGCO Corp.   1,030    0.78%   5,166 
Frontdoor, Inc.   1,190    0.24%   2,683 
Mettler-Toledo International, Inc.   27    0.22%   1,120 
Keysight Technologies, Inc.   384    0.37%   108 
Vishay Intertechnology, Inc.   1,564    0.22%   (249)
Total Industrial             441,024 
Communications               
IDT Corp. — Class B   3,372    0.78%   44,081 
InterDigital, Inc.   1,510    0.99%   36,388 
eBay, Inc.   2,566    0.83%   29,527 
Verizon Communications, Inc.   3,938    1.01%   28,771 
AT&T, Inc.   8,030    0.87%   24,054 
Alphabet, Inc. — Class C   1,008    0.94%   18,700 
T-Mobile US, Inc.   771    0.77%   13,089 
Motorola Solutions, Inc.   479    1.04%   11,357 
A10 Networks, Inc.   2,697    0.23%   5,120 
Match Group, Inc.   1,224    0.27%   1,576 
Spok Holdings, Inc.   2,443    0.24%   (457)
VeriSign, Inc.   316    0.37%   (3,348)
Comcast Corp. — Class A   2,662    0.71%   (4,526)
Cisco Systems, Inc.   3,276    1.00%   (4,847)
Gogo, Inc.   11,706    0.63%   (8,133)
Ooma, Inc.   8,657    0.45%   (23,742)
Total Communications             167,610 
Consumer, Non-cyclical               
Merck & Company, Inc.   1,297    1.05%   37,394 
PayPal Holdings, Inc.   1,796    0.74%   13,203 
Molina Healthcare, Inc.   201    0.51%   12,566 
Innoviva, Inc.   4,956    0.46%   12,485 
Alarm.com Holdings, Inc.   696    0.31%   10,060 
HCA Healthcare, Inc.   504    1.03%   9,850 
Viatris, Inc.   4,294    0.31%   9,759 
Hologic, Inc.   1,248    0.60%   9,481 
Collegium Pharmaceutical, Inc.   1,292    0.31%   9,053 
Supernus Pharmaceuticals, Inc.   1,541    0.32%   8,741 
AbbVie, Inc.   446    0.50%   7,934 
Exelixis, Inc.   6,970    1.01%   7,738 
Royalty Pharma plc — Class A   3,940    0.73%   6,093 
Perdoceo Education Corp.   5,297    0.57%   4,839 
Agilent Technologies, Inc.   240    0.21%   3,463 
United Therapeutics Corp.   694    0.98%   3,341 
Organon & Co.   2,561    0.30%   2,650 
Abbott Laboratories   1,337    0.93%   2,012 
Johnson & Johnson   800    0.78%   1,830 
Amgen, Inc.   230    0.40%   1,656 
Neurocrine Biosciences, Inc.   284    0.24%   1,233 
Alkermes plc   1,084    0.18%   1,175 
Vertex Pharmaceuticals, Inc.   110    0.28%   211 
Thermo Fisher Scientific, Inc.   55    0.20%   (164)
Biogen, Inc.   370    0.49%   (580)
Lantheus Holdings, Inc.   498    0.19%   (1,116)
Jazz Pharmaceuticals plc   655    0.48%   (1,687)
Cross Country Healthcare, Inc.   1,765    0.20%   (5,767)
Dynavax Technologies Corp.   5,409    0.41%   (7,040)
Incyte Corp.   2,709    0.95%   (9,255)
Bristol-Myers Squibb Co.   3,080    1.02%   (12,252)
Total Consumer, Non-cyclical             138,906 
Technology               
Applied Materials, Inc.   446    0.56%   23,257 
Skyworks Solutions, Inc.   905    0.60%   12,091 
Amdocs Ltd.   1,743    0.97%   9,534 
Immersion Corp.   11,577    0.53%   7,674 
Cirrus Logic, Inc.   376    0.21%   5,907 
NetScout Systems, Inc.   2,784    0.37%   2,359 
Accenture plc — Class A   255    0.54%   2,278 
Dropbox, Inc. — Class A   4,893    0.73%   1,858 
Box, Inc. — Class A   1,656    0.29%   1,636 
Crane NXT Co.   547    0.21%   1,423 
Zoom Video Communications, Inc. — Class A   710    0.28%   1,211 
Playtika Holding Corp.   5,528    0.24%   1,144 
Progress Software Corp.   862    0.28%   831 
Insight Enterprises, Inc.   389    0.44%   585 
Xerox Holdings Corp.   1,685    0.18%   48 
Photronics, Inc.   1,517    0.26%   (226)
Adeia, Inc.   3,444    0.23%   (1,310)
Teradata Corp.   884    0.21%   (3,592)
Adobe, Inc.   133    0.41%   (16,281)
Total Technology             50,427 
Financial               
MGIC Investment Corp.   8,074    1.11%   39,579 
Essent Group Ltd.   2,972    1.08%   33,131 
Ambac Financial Group, Inc.   9,294    0.89%   26,213 
International Bancshares Corp.   1,711    0.59%   19,168 

 

 

Multi-Hedge Strategies Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) March 31, 2024
   

 

    Shares    

Percentage

Notional

Amount

  

 

 

Value and

Unrealized
Appreciation (Depreciation)

 
Mr Cooper Group, Inc.   1,106    0.53%  $16,555 
Synchrony Financial   3,323    0.88%   16,175 
Enact Holdings, Inc.   4,548    0.87%   14,925 
NMI Holdings, Inc. — Class A   5,370    1.06%   14,273 
Regions Financial Corp.   4,423    0.57%   13,480 
Hartford Financial Services Group, Inc.   1,672    1.06%   12,064 
Affiliated Managers Group, Inc.   441    0.45%   11,497 
Preferred Bank/Los Angeles CA   1,157    0.54%   10,201 
Walker & Dunlop, Inc.   1,326    0.82%   10,053 
Travelers Companies, Inc.   729    1.03%   7,840 
Everest Group Ltd.   217    0.53%   6,303 
Innovative Industrial Properties, Inc.   891    0.57%   5,981 
OneMain Holdings, Inc.   1,950    0.61%   5,831 
Bread Financial Holdings, Inc.   2,782    0.64%   3,430 
Janus Henderson Group plc   3,263    0.66%   2,518 
Raymond James Financial, Inc.   1    0.00%   21 
Employers Holdings, Inc.   1,372    0.38%   (265)
Hanmi Financial Corp.   2,104    0.21%   (6,243)
Apartment Income REIT Corp.   5,115    1.02%   (9,299)
Total Financial             253,431 
Consumer, Cyclical               
Allison Transmission Holdings, Inc.   1,730    0.86%   42,848 
Taylor Morrison Home Corp. — Class A   2,758    1.05%   42,627 
Lennar Corp. — Class A   993    1.05%   41,584 
M/I Homes, Inc.   714    0.60%   33,823 
PulteGroup, Inc.   629    0.47%   27,334 
KB Home   1,048    0.46%   22,931 
Brunswick Corp.   1,044    0.62%   20,591 
PACCAR, Inc.   986    0.75%   19,542 
Monarch Casino & Resort, Inc.   2,004    0.92%   19,320 
Build-A-Bear Workshop, Inc. — Class A   2,248    0.41%   16,518 
Tri Pointe Homes, Inc.   2,087    0.49%   15,951 
GMS, Inc.   1,659    0.99%   15,364 
Ethan Allen Interiors, Inc.   2,795    0.59%   12,056 
Autoliv, Inc.   867    0.64%   9,692 
Wabash National Corp.   3,296    0.60%   9,305 
Harley-Davidson, Inc.   2,169    0.58%   8,291 
Lowe's Companies, Inc.   659    1.03%   8,268 
Oxford Industries, Inc.   517    0.36%   7,923 
Boyd Gaming Corp.   1,205    0.50%   6,352 
MasterCraft Boat Holdings, Inc.   2,501    0.36%   5,260 
BorgWarner, Inc.   1,506    0.32%   4,630 
Buckle, Inc.   1,503    0.37%   3,478 
Polaris, Inc.   973    0.60%   2,378 
Visteon Corp.   412    0.30%   372 
Golden Entertainment, Inc.   2,596    0.59%   133 
Steven Madden Ltd.   1    0.00%   21 
Aptiv plc   771    0.38%   (528)
Dine Brands Global, Inc.   750    0.21%   (2,696)
Standard Motor Products, Inc.   1,388    0.29%  (2,829)
McDonald's Corp.   546    0.94%   (5,832)
MSC Industrial Direct Company, Inc. — Class A   1,574    0.94%   (5,919)
Total Consumer, Cyclical             378,788 
Utilities               
Public Service Enterprise Group, Inc.   2,461    1.01%   18,936 
Atmos Energy Corp.   1,387    1.01%   9,704 
Black Hills Corp.   2,762    0.92%   6,086 
National Fuel Gas Co.   3,160    1.04%   3,724 
OGE Energy Corp.   4,710    0.99%   3,090 
Total Utilities             41,540 
Energy               
Marathon Petroleum Corp.   910    1.12%   46,508 
Valero Energy Corp.   702    0.73%   30,053 
PBF Energy, Inc. — Class A   1,659    0.59%   19,209 
CNX Resources Corp.   6,072    0.88%   16,322 
Devon Energy Corp.   3,129    0.96%   15,415 
CVR Energy, Inc.   3,462    0.76%   14,030 
Chevron Corp.   522    0.50%   3,948 
RPC, Inc.   4,346    0.21%   3,416 
SandRidge Energy, Inc.   4,902    0.44%   2,365 
Par Pacific Holdings, Inc.   1,661    0.38%   85 
SolarEdge Technologies, Inc.   479    0.21%   (1,896)
Cheniere Energy, Inc.   1,041    1.03%   (3,135)
Total Energy             146,320 
Basic Materials               
Olin Corp.   1,397    0.50%   9,727 
Arcadium Lithium plc   2    0.00%   9 
Total Basic Materials             9,736 
Government               
Banco Latinoamericano de Comercio Exterior S.A. — Class E   4,359    0.79%   30,393 
Total MS Long/Short Equity Long Custom Basket            $1,658,175 
                
MS LONG/SHORT EQUITY SHORT CUSTOM BASKET               
Utilities               
California Water Service Group   2,998    (1.19)%   12,960 
Middlesex Water Co.   1,843    (0.82)%   12,352 
Portland General Electric Co.   3,375    (1.21)%   6,208 
Alliant Energy Corp.   1,218    (0.52)%   1,859 
AES Corp.   8,280    (1.27)%   (512)
Ormat Technologies, Inc.   1,526    (0.86)%   (2,433)
American Electric Power Company, Inc.   1,642    (1.20)%   (2,459)
PNM Resources, Inc.   1,417    (0.45)%   (3,458)
FirstEnergy Corp.   2,220    (0.73)%   (4,592)
Eversource Energy   2,514    (1.28)%   (6,929)
Pinnacle West Capital Corp.   1,082    (0.69)%   (7,098)
NRG Energy, Inc.   2,656    (1.53)%   (20,244)

 

 

Multi-Hedge Strategies Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) March 31, 2024
   

 

   Shares   Percentage
Notional
Amount		   Value and
Unrealized
Appreciation (Depreciation)		 
Avangrid, Inc.   4,646    (1.44)%  $(27,894)
Total Utilities             (42,240)
Consumer, Non-cyclical               
ICF International, Inc.   348    (0.45)%   1,454 
Acadia Healthcare Company, Inc.   1,108    (0.75)%   (513)
Insmed, Inc.   2,604    (0.60)%   (797)
Tyson Foods, Inc. — Class A   894    (0.45)%   (1,077)
Flowers Foods, Inc.   2,977    (0.60)%   (1,594)
CBIZ, Inc.   714    (0.48)%   (1,932)
Paylocity Holding Corp.   378    (0.55)%   (2,865)
U-Haul Holding Co.   871    (0.50)%   (6,353)
Clorox Co.   701    (0.91)%   (6,478)
Utz Brands, Inc.   4,091    (0.64)%   (12,428)
RB Global, Inc.   1,263    (0.82)%   (13,414)
RxSight, Inc.   1,002    (0.44)%   (15,849)
GXO Logistics, Inc.   3,255    (1.49)%   (16,564)
Spectrum Brands Holdings, Inc.   1,836    (1.39)%   (23,330)
TransUnion   1,381    (0.94)%   (24,824)
Pilgrim's Pride Corp.   4,580    (1.34)%   (46,624)
Total Consumer, Non-cyclical             (173,188)
Basic Materials               
Piedmont Lithium, Inc.   5,410    (0.61)%   89,664 
Compass Minerals International, Inc.   3,566    (0.48)%   27,950 
Novagold Resources, Inc.   24,086    (0.62)%   23,535 
Arcadium Lithium plc   2    0.00%   2 
Air Products and Chemicals, Inc.   233    (0.48)%   (644)
Ecolab, Inc.   151    (0.30)%   (5,217)
Hecla Mining Co.   16,919    (0.69)%   (7,202)
Stepan Co.   955    (0.73)%   (8,287)
Kaiser Aluminum Corp.   717    (0.55)%   (9,636)
ATI, Inc.   1,395    (0.61)%   (9,728)
Element Solutions, Inc.   4,457    (0.95)%   (14,387)
Kronos Worldwide, Inc.   10,122    (1.02)%   (26,433)
Century Aluminum Co.   7,733    (1.01)%   (61,746)
Total Basic Materials             (2,129)
Financial               
Kennedy-Wilson Holdings, Inc.   15,547    (1.14)%   88,592 
Americold Realty Trust, Inc.   5,286    (1.12)%   41,514 
New York Mortgage Trust, Inc.   12,747    (0.78)%   22,211 
Marcus & Millichap, Inc.   4,584    (1.34)%   11,206 
TFS Financial Corp.   10,242    (1.10)%   11,064 
Ellington Financial, Inc.   9,971    (1.00)%   9,677 
Ventas, Inc.   1,595    (0.59)%   2,061 
Equity LifeStyle Properties, Inc.   472    (0.26)%   1,569 
PotlatchDeltic Corp.   3,047    (1.22)%   (1,598)
Terreno Realty Corp.   801    (0.45)%   (1,856)
Iron Mountain, Inc.   1,540    (1.05)%   (2,261)
Elme Communities   8,450    (1.00)%   (2,314)
Allstate Corp.   204    (0.30)%   (3,242)
American Tower Corp. — Class A   445    (0.75)%   (4,019)
Moelis & Co. — Class A   1,633    (0.79)%   (4,098)
Sun Communities, Inc.   1,135    (1.24)%   (5,065)
UMH Properties, Inc.   4,367    (0.60)%   (5,633)
Jones Lang LaSalle, Inc.   272    (0.45)%   (5,690)
Howard Hughes Holdings, Inc.   1,826    (1.13)%   (5,741)
Equinix, Inc.   150    (1.06)%   (6,492)
Digital Realty Trust, Inc.   767    (0.94)%   (6,733)
State Street Corp.   1,595    (1.05)%   (6,954)
Cannae Holdings, Inc.   3,977    (0.75)%   (7,441)
Macerich Co.   5,831    (0.86)%   (7,824)
Global Net Lease, Inc.   16,175    (1.07)%   (9,204)
Brighthouse Financial, Inc.   3,461    (1.52)%   (9,793)
Apartment Investment and Management Co. — Class A   17,695    (1.24)%   (14,110)
Welltower, Inc.   1,716    (1.37)%   (14,152)
CBRE Group, Inc. — Class A   829    (0.69)%   (17,422)
FTAI Infrastructure, Inc.   8,727    (0.47)%   (23,366)
PennyMac Financial Services, Inc.   1,339    (1.04)%   (23,562)
Carlyle Group, Inc.   2,778    (1.11)%   (29,661)
KKR & Company, Inc. — Class A   1,428    (1.22)%   (53,936)
Total Financial             (84,273)
Energy               
Dril-Quip, Inc.   6,262    (1.20)%   (4,205)
NOV, Inc.   9,382    (1.56)%   (4,478)
Valaris Ltd.   2,415    (1.55)%   (9,622)
Sitio Royalties Corp. — Class A   4,088    (0.86)%   (9,866)
Antero Resources Corp.   5,107    (1.26)%   (10,358)
TechnipFMC plc   7,326    (1.57)%   (37,079)
Archrock, Inc.   6,230    (1.04)%   (40,362)
Total Energy             (115,970)
Industrial               
NV5 Global, Inc.   592    (0.49)%   4,241 
Knight-Swift Transportation Holdings, Inc.   1,063    (0.50)%   2,030 
Boeing Co.   402    (0.66)%   1,694 
RXO, Inc.   6,145    (1.15)%   1,623 
XPO, Inc.   653    (0.68)%   924 
Exponent, Inc.   1,225    (0.86)%   451 
J.B. Hunt Transport Services, Inc.   250    (0.42)%   353 
Stericycle, Inc.   2,162    (0.97)%   (52)
General Electric Co.   1    0.00%   (72)
Tetra Tech, Inc.   292    (0.46)%   (668)
Norfolk Southern Corp.   273    (0.59)%   (1,019)
Republic Services, Inc. — Class A   695    (1.13)%   (5,658)
Vulcan Materials Co.   161    (0.37)%   (9,358)
Trinity Industries, Inc.   3,391    (0.80)%   (13,405)
Casella Waste Systems, Inc. — Class A   1,509    (1.27)%   (30,325)
Total Industrial             (49,241)
Communications               
Boston Omaha Corp. — Class A   4,484    (0.59)%   (2,549)
DoorDash, Inc. — Class A   549    (0.64)%   (23,933)
Total Communications             (26,482)

 

 

Multi-Hedge Strategies Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) March 31, 2024
   

 

   Shares   Percentage
Notional
Amount		   Value and
Unrealized
Appreciation (Depreciation)		 
Technology               
Paycor HCM, Inc.   7,218    (1.22)%  $23,830 
Privia Health Group, Inc.   5,926    (0.99)%   14,258 
Braze, Inc. — Class A   2,468    (0.93)%   8,043 
Take-Two Interactive Software, Inc.   1,122    (1.44)%   6,009 
ROBLOX Corp. — Class A   1,297    (0.42)%   3,204 
KBR, Inc.   1,824    (0.99)%   (5,520)
Evolent Health, Inc. — Class A   2,590    (0.72)%   (11,237)
Micron Technology, Inc.   936    (0.94)%   (22,432)
Parsons Corp.   1,165    (0.82)%   (30,569)
Total Technology             (14,414)
Consumer, Cyclical               
Walgreens Boots Alliance, Inc.   4,662    (0.86)%   12,388 
Tesla, Inc.   254    (0.38)%   11,793 
Dollar Tree, Inc.   516    (0.59)%   3,425 
Steven Madden Ltd.   1    0.00%   (2)
Hyatt Hotels Corp. — Class A   491    (0.67)%   (895)
MarineMax, Inc.   2,446    (0.69)%   (2,577)
Dollar General Corp.   331    (0.44)%   (7,267)
DraftKings, Inc. — Class A   1,475    (0.57)%   (8,718)
Copart, Inc.   2,251    (1.13)%   (9,348)
CarMax, Inc.   1,705    (1.29)%   (35,751)
Total Consumer, Cyclical             (36,952)
Total MS Long/Short Equity Short Custom Basket            $(544,889)

 

 

 

Multi-Hedge Strategies Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) March 31, 2024
   

 

* Non-income producing security.
** Includes cumulative appreciation (depreciation).
† Value determined based on Level 1 inputs, unless otherwise noted — See Note 3.
†† Value determined based on Level 2 inputs — See Note 3.
††† Value determined based on Level 3 inputs — See Note 3.
1 Affiliated issuer.
2 All or a portion of this security is on loan at March 31, 2024 — See Note 5.
3 All or a portion of this security is pledged as futures collateral at March 31, 2024.
4 Rate indicated is the effective yield at the time of purchase.
5 Repurchase Agreements — See Note 4.
6 Securities lending collateral — See Note 5.
7 Rate indicated is the 7-day yield as of March 31, 2024.
8 All or a portion of this security is pledged as short security and equity custom basket swap collateral at March 31, 2024.

 

ADR — American Depositary Receipt

GS — Goldman Sachs International

MS — Morgan Stanley Capital Services LLC

 

See Sector Classification in Other Information section.

 

The following table summarizes the inputs used to value the Fund's investments at March 31, 2024 (See Note 3 in the Notes to Consolidated Schedule of Investments):

 

Investments in Securities (Assets) 

Level 1 Quoted

Prices

  

Level 2

Significant

Observable

Inputs

  

Level 3

Significant

Unobservable

Inputs

   Total 
Common Stocks  $28,621,748   $—   $—   $28,621,748 
Rights   —    —    —*   — 
Mutual Funds   13,757,091    —    —    13,757,091 
Closed-End Funds   5,994,317   —    —    5,994,317 
U.S. Treasury Bills   —    13,739,379    —    13,739,379 
Repurchase Agreements   —    12,589,221    —    12,589,221 
Securities Lending Collateral   78,246    —    —    78,246 
Commodity Futures Contracts**   1,242,083    —    —    1,242,083 
Currency Futures Contracts**   631,718    —    —    631,718 
Interest Rate Futures Contracts**   305,599    208,793    —    514,392 
Equity Futures Contracts**   302,027    52,108    —    354,135 
Equity Custom Basket Swap Agreements**   —    8,029,185    —    8,029,185 
Total Assets  $50,932,829   $34,618,686   $—   $85,551,515 

 

Investments in Securities (Liabilities) 

Level 1 Quoted

Prices

  

Level 2

Significant

Observable

Inputs

  

Level 3

Significant

Unobservable

Inputs

   Total  
Common Stocks Sold Short  $6,731,737   $—   $—   $6,731,737 
Exchange-Traded Funds Sold Short   5,686,410    —    —    5,686,410 
Commodity Futures Contracts**   690,151    —    —    690,151 
Currency Futures Contracts**   397,961    —    —    397,961 
Equity Futures Contracts**   46,914    —    —    46,914 
Equity Custom Basket Swap Agreements**   —    1,936,801    —    1,936,801 
Total Liabilities  $13,553,173   $1,936,801   $—   $15,489,974 

 

 

Multi-Hedge Strategies Fund  
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) March 31, 2024
   

 

*Includes securities with a market value of $0.
**This derivative is reported as unrealized appreciation/depreciation at period end.

 

Affiliated Transactions

 

Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments ("GI"), result in that company being considered an affiliated issuer, as defined in the 1940 Act.

 

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II and Guggenheim Strategy Fund III (collectively, the “Guggenheim Strategy Funds”), each of which are open-end management investment companies managed by GI. The Guggenheim Strategy Funds, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Guggenheim Strategy Funds pay no investment management fees. The Guggenheim Strategy Funds annual report on Form N-CSR dated September 30, 2023 is available publicly or upon request. This information is available from the EDGAR database on the SEC's website at https://www.sec.gov/Archives/edgar/data/1601445/000182126823000217/gug86449-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.

 

Transactions during the period ended March 31, 2024, in which the company is an affiliated issuer, were as follows:

 

Security Name 

Value

12/31/23

   Additions   Reductions   Realized Gain (Loss)   Change in Unrealized Appreciation (Depreciation)   Value
03/31/24		  

Shares

03/31/24

   Investment Income 
Mutual Funds                                        
  Guggenheim Strategy Fund II  $6,605,643   $      –   $      –   $      –   $26,962   $6,632,605    269,618   $93,227 
  Guggenheim Strategy Fund III   1,940,217    –    –    –    9,484    1,949,701    79,031    26,155 
  Guggenheim Ultra Short Duration Fund — Institutional Class   5,143,454    –    –    –    31,331    5,174,785    522,178    67,234 
   $13,689,314   $–   $–   $–   $67,777   $13,757,091        $186,616 

 

 

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) 

 

 

Note 1 – Organization, Consolidation of Subsidiaries and Significant Accounting Policies

 

Organization 

The Rydex Series Funds (the “Trust”), a Delaware statutory trust, is registered with the U.S. Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940 (the “1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund (each, a “Fund”). The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each Fund separately.

 

This report covers the following funds (collectively, the “Funds”):

 

Fund Name Investment Company Type
Commodities Strategy Fund Non-diversified
Managed Futures Strategy Fund Diversified
Multi-Hedge Strategies Fund Diversified

 

For information on the Funds’ policy regarding valuation of investments and other significant accounting policies, please refer to the Funds’ most recent semi-annual or annual shareholder report.

 

Consolidation of Subsidiaries  

The consolidated schedules of investments of each Fund include the accounts of a wholly-owned and controlled Cayman Islands subsidiary (each, a “Subsidiary” and together, the “Subsidiaries”). Significant intercompany accounts and transactions have been eliminated in consolidation for the Funds.

 

Each Fund may invest up to 25% of its total assets in its Subsidiary, which acts as an investment vehicle in order to effect certain investments consistent with the Fund’s investment objective and policies.

 

Significant Accounting Policies

The Funds operate as investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

 

The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the consolidated financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.

 

(a) Valuation of Investments 

The Board of Trustees of the Trust (the “Board”) adopted policies and procedures for the valuation of the Funds’ investments (the “Fund Valuation Procedures”). The SEC adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.

 

Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Funds with respect to all Fund investments and other assets. As the Funds’ valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures” and collectively with the Fund Valuation Procedures, the “Valuation Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Funds’ securities and other assets.

 

Valuations of the Funds’ securities and other assets are supplied primarily by pricing service providers appointed pursuant to the processes set forth in the Valuation Procedures. The Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly reviews the appropriateness of the inputs, methods, models and assumptions employed by the pricing service provider. If the pricing service provider cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Adviser.

 

 

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) 

 

 

Equity securities listed or traded on a recognized U.S. securities exchange or the Nasdaq Stock Market (“NASDAQ”) will generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ official closing price, which may not necessarily represent the last sale price.

 

Open-end investment companies are valued at their net asset value as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are generally valued at the last quoted sale price.

 

U.S. Government securities are valued by pricing service providers, using the last traded fill price, or at the reported bid price at the close of business on the valuation date.

 

Commercial paper and discount notes with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from pricing service providers, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Commercial paper and discount notes with a maturity of 60 days or less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using a pricing service provider.

 

Repurchase agreements are generally valued at amortized cost, provided such amounts approximate market value.

 

Futures contracts are valued on the basis of the last sale price as of 4:00 p.m. on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the official settlement price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation of the underlying securities would provide a more accurate valuation of the futures contract.

 

Swap agreements entered into by a Fund are generally valued using an evaluated price provided by a pricing service provider.

 

Investments for which market quotations are not readily available are fair valued as determined in good faith by the Adviser. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis. In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.

 

Note 2 – Financial Instruments and Derivatives

As part of their investment strategies, the Funds utilize short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Consolidated Schedule of Investments.

 

Short Sales

A short sale is a transaction in which a Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.

 

Derivatives

Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment purposes (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to seek to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.

 

The Funds may utilize derivatives for the following purposes:

 

Duration: the use of an instrument to manage the interest rate risk of a portfolio.

 

 

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) 

 

 

Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.

 

Index Exposure: the use of an instrument to obtain exposure to a listed or other type of index.

 

Leverage: gaining total exposure to equities or other assets on the long and short sides at greater than 100% of invested capital.

 

Liquidity: the ability to buy or sell exposure with little price/market impact.

 

Speculation: the use of an instrument to express macro-economic and other investment views. 

 

If a Fund’s investment strategy consistently involves applying leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase or decrease in the underlying index or other asset. In addition, because an investment in derivative instruments generally requires a small investment relative to the amount of investment exposure assumed, an opportunity for increased net income is created; but, at the same time, leverage risk will increase. The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile and riskier than if the Fund had not been leveraged.

 

Futures Contracts 

A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s use of futures contracts, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to a Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Securities held as collateral are noted on the Funds’ Consolidated Schedules of Investments.

 

Swap Agreements

A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. When utilizing over-the-counter swaps, a Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. For a Fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. There is no guarantee that a Fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.

 

Custom basket swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as a custom basket of securities) or a fixed or variable interest rate. Custom basket swaps will usually be computed based on the current index value as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. When utilizing custom basket swaps, a Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying index declines in value.

 

In conjunction with short sales and the use of derivative instruments, the Funds are required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Funds use margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Funds as collateral.

 

The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions rated/identified as investment grade or better. The Trust monitors the counterparty credit risk associated with each such financial institution.

 

 

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) 

 

 

Note 3 – Fair Value Measurement  

In accordance with U.S. GAAP, fair value is defined as the price that the Funds would receive to sell an investment or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:

 

Level 1 — unadjusted quoted prices in active markets for identical assets or liabilities.

 

Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).

 

Level 3 — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.

 

Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”

 

Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.

 

The inputs or methodologies selected and applied for valuing securities or other assets are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed and subject to change.

 

Note 4 – Repurchase Agreements

The Funds transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by obligations of the U.S. Treasury and U.S. government agencies.  The joint account includes other funds in the Guggenheim complex not covered in this report. The collateral is in the possession of the Funds’ custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements. Each Fund holds a pro rata share of the collateral based on the dollar amount of the repurchase agreement entered into by each Fund.

 

At March 31, 2024, the repurchase agreements in the joint account were as follows:

 

Counterparty and Terms of Agreement Face Value  Repurchase Price   Collateral  Par Value  Fair Value 
J.P. Morgan Securities LLC
5.31%
Due 04/01/24		 $166,514,975  $166,588,658   U.S. Treasury Notes 0.25% - 5.00%
Due 03/31/24 - 02/15/33		  $172,847,100  $169,834,991 
           U.S. Treasury Strips 0.00%
Due 11/15/27 - 05/15/48		   4,894   4,141 
           U.S. Treasury Bills 0.00%
Due 04/11/24 - 05/02/24		   4,500   4,480 
           U.S. Treasury Bond 4.50%
Due 05/15/38		   800   840 
           U.S. Treasury Inflation Indexed Bond 0.13%
Due 04/15/27		   874   823 
               172,858,168   169,845,275 
BofA Securities, Inc.
5.31%
Due 04/01/24		  64,044,221   64,072,561   U.S. Treasury Note 0.75%
Due 03/31/26		   70,171,700   65,325,118 
Barclays Capital, Inc.
5.30%
Due 04/01/24		  58,050,546   58,076,185   U.S. Treasury Notes 0.63% - 3.50%
Due 11/30/27 - 02/15/33		   64,598,100   59,211,567 

 

In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. GI, acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds enter into repurchase agreements to evaluate potential risks.

 

Note 5 – Portfolio Securities Loaned

The Funds may lend their securities to approved brokers to earn additional income. Securities lending income is net of rebates paid to the borrowers and earnings on cash collateral investments shared with the lending agent. Within this arrangement, the Funds act as the lender, U.S. Bank acts as the lending agent, and other approved registered broker dealers act as the borrowers. The Funds receive cash collateral, valued at 102% of the value of the securities on loan. Under the terms of the Funds’ securities lending agreement with U.S. Bank, cash collateral and proceeds are invested in the First American Government Obligations Fund – Class X. The Funds bear the risk of loss on cash collateral investments. Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of Fund business each day; any additional collateral required due to changes in security values is delivered to the Funds the next business day. Although the collateral mitigates the risk, the Funds could experience a delay in recovering its securities and a possible loss of income or value if the borrower fails to return the securities. The Funds have the right under the securities lending agreement to recover the securities from the borrower on demand. Securities lending transactions are accounted for as secured borrowings. The remaining contractual maturity of the securities lending agreement is overnight and continuous.

 

 

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) 

 

 

At March 31, 2024, the Funds participated in securities lending transactions, which are subject to enforceable netting arrangements, as follows:

 

Fund  Value of
Securities Loaned		    Collateral Received  
Multi-Hedge Strategies Fund   $73,854    $78,246  

 

In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. GI, acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers to evaluate potential risks.

 

Note 6 – Federal Income Tax Information

The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”), applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax or federal excise tax is required.

 

Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken, or to be taken, on U.S. federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Funds’ financial statements. The Funds’ U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.

 

Each Fund intends to invest up to 25% of its assets in its respective Subsidiary, which is expected to provide the Funds with exposure to the commodities markets within the limitations of the U.S. federal income tax requirements under Subchapter M of the Internal Revenue Code. The Funds have received a private letter ruling from the IRS that concludes that the income each Fund receives from its Subsidiary will constitute qualifying income for purposes of Subchapter M of the Internal Revenue Code. Each Subsidiary will be classified as a corporation for U.S. federal income tax purposes. Foreign corporations, such as the Subsidiaries, will generally not be subject to U.S. federal income taxation unless they are deemed to be engaged in a U.S. trade or business. If, during a taxable year, a Subsidiary’s taxable losses (and other deductible items) exceed its income and gains, the net loss will not pass through to the applicable Fund as a deductible amount for U.S. federal income tax purposes and cannot be carried forward to reduce future income from the Subsidiary in subsequent years.

 

At March 31, 2024, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

 

Fund  Tax Cost   Tax Unrealized Appreciation   Tax Unrealized Depreciation   Net Tax Unrealized Appreciation (Depreciation) 
Commodities Strategy Fund  $6,653,327   $183,107   $(444,760)  $(261,653)
Managed Futures Strategy Fund   73,903,444    2,777,700    (1,046,167)   1,731,533 
Multi-Hedge Strategies Fund   62,525,445    12,227,855    (4,691,759)   7,536,096 

 

Note 7 – Market Risks

The value of, or income generated by, the investments held by the Funds are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which may change at any time based on changes in monetary policies and various market and other economic conditions), changes in inflation rates or expectations about inflation rates, adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the ongoing Russia-Ukraine conflict and its collateral economic and other effects, including, but not limited to, sanctions and other international trade barriers) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country, geographic region or industry could adversely affect the value, yield and return of the investments held by the Funds in a different country, geographic region, economy, industry or market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Funds’ investments and performance of the Funds.

 

 

OTHER INFORMATION (Unaudited)

 

 

Sector Classification

Information in the Consolidated Schedule of Investments is categorized by sectors using sector-level classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.