NPORT-EX 2 MW30MWAlTrak500Fund.htm DOS

AlphaTrak 500 Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		      Principal
Amount		        Value  

BONDS – 53.46%

 

     

ASSET-BACKED SECURITIES — 7.85%**

 

     

Access Group, Inc., Series 2015-1, Class A

 

     

(LIBOR USD 1-Month plus 0.70%)

 

     

0.88%

      07/25/56 1,2     $ 15,689        $ 15,216  

AMMC CLO XIV Ltd., Series 2014-14A,

 

     

Class A1LR (Cayman Islands)

 

     

(LIBOR USD 3-Month plus 1.25%)

 

     

2.24%

      07/25/29 1,2,3       35,000          34,423  

Atrium XII, Series 12A, Class AR

 

     

(Cayman Islands)

 

     

(LIBOR USD 3-Month plus 0.83%)

 

     

1.93%

      04/22/27 1,2,3       89,262          87,911  

Barings BDC Static CLO Ltd.,

 

     

Series 2019-1A, Class A1

 

     

(Cayman Islands)

 

     

(LIBOR USD 3-Month plus 1.02%)

 

     

2.24%

      04/15/27 1,2,3       38,314          38,175  

Barings CLO Ltd., Series 2013-IA,

 

     

Class AR (Cayman Islands)

 

     

(LIBOR USD 3-Month plus 0.80%)

 

     

1.94%

      01/20/28 1,2,3       70,914          70,274  

Barings CLO Ltd., Series 2018-3A,

 

     

Class A1 (Cayman Islands)

 

     

(LIBOR USD 3-Month plus 0.95%)

 

     

2.09%

      07/20/29 1,2,3       85,000          83,849  

Bayview Commercial Asset Trust,

 

     

Series 2004-3, Class A1

 

     

(LIBOR USD 1-Month plus 0.56%)

 

     

0.74%

      01/25/35 1,2       11,570          10,731  

BlueMountain CLO Ltd., Series 2013-2A,

 

     

Class A1R (Cayman Islands)

 

     

(LIBOR USD 3-Month plus 1.18%)

 

     

2.28%

      10/22/30 1,2,3       49,802          49,183  

Brazos Higher Education Authority, Inc.,

 

     

Series 2010-1, Class A2

 

     

(LIBOR USD 3-Month plus 1.20%)

 

     

1.56%

      02/25/35 1       215,000          206,086  

Dryden XXVI Senior Loan Fund,

 

     

Series 2013-26A, Class AR

 

     

(Cayman Islands)

 

     

(LIBOR USD 3-Month plus 0.90%)

 

     

2.12%

      04/15/29 1,2,3       50,000          49,083  

Educational Funding of the South, Inc.,

 

     

Series 2011-1, Class A2

 

     

(LIBOR USD 3-Month plus 0.65%)

 

     

1.64%

      04/25/35 1       2,971          2,898  

Educational Funding of the South, Inc.,

 

     

Series 2012-1, Class A

 

     

(LIBOR USD 1-Month plus 1.05%)

 

     

1.23%

      03/25/36 1       31,891          30,990  
Issues    Maturity
Date		      Principal
Amount		        Value  

ASSET-BACKED SECURITIES (continued)

 

     

Higher Education Funding I,

 

     

Series 2014-1, Class A

 

     

(LIBOR USD 3-Month plus 1.05%)

 

     

1.41%

      05/25/34 1,2     $ 158,362        $ 156,925  

LCM XIII LP, Series 2013A, Class ARR

 

     

(Cayman Islands)

 

     

(LIBOR USD 3-Month plus 1.14%)

 

     

2.28%

      07/19/27 1,2,3       80,000          78,704  

Madison Park Funding XXX Ltd.,

 

     

Series 2018-30A, Class A (Cayman Islands)

 

     

(LIBOR USD 3-Month plus 0.75%)

 

     

1.97%

      04/15/29 1,2,3       100,000          97,680  

Magnetite XXI Ltd., Series 2019-21A,

 

     

Class A (Cayman Islands)

 

     

(LIBOR USD 3-Month plus 1.28%)

 

     

2.42%

      04/20/30 1,2,3       85,000          83,858  

Navient Student Loan Trust, Series 2014-1,

 

     

Class A3

 

     

(LIBOR USD 1-Month plus 0.51%)

 

     

0.69%

      06/25/31 1       106,073          101,935  

Navient Student Loan Trust, Series 2016-7A,

 

     

Class A

 

     

(LIBOR USD 1-Month plus 1.15%)

 

     

1.33%

      03/25/66 1,2       77,808          76,145  

Navient Student Loan Trust, Series 2017-2A,

 

     

Class A

 

     

(LIBOR USD 1-Month plus 1.05%)

 

     

1.23%

      12/27/66 1,2       71,961          69,951  

Navient Student Loan Trust, Series 2017-4A,

 

     

Class A2

 

     

(LIBOR USD 1-Month plus 0.50%)

 

     

0.68%

      09/27/66 1,2       88,573          87,927  

Nelnet Student Loan Trust, Series 2014-3A,

 

     

Class A

 

     

(LIBOR USD 1-Month plus 0.58%)

 

     

0.76%

      06/25/41 1,2       17,053          15,683  

North Carolina State Education Authority,

 

     

Series 2011-1, Class A3

 

     

(LIBOR USD 3-Month plus 0.90%)

 

     

1.89%

      10/25/41 1       10,866          10,423  

Northstar Education Finance, Inc.,

 

     

Series 2007-1, Class A2

 

     

1.64%

      01/29/46 1       8,232          8,086  

PHEAA Student Loan Trust, Series 2016-1A,

 

     

Class A

 

     

(LIBOR USD 1-Month plus 1.15%)

 

     

1.33%

      09/25/65 1,2       75,615          74,157  

SLM Student Loan Trust, Series 2003-10A,

 

     

Class A3

 

     

(LIBOR USD 3-Month plus 0.47%)

 

     

0.78%

      12/15/27 1,2       42,548          42,221  
 

 

June 2020  / 1

AlphaTrak 500 Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		        Principal
Amount		        Value  

ASSET-BACKED SECURITIES (continued)

 

     

SLM Student Loan Trust, Series 2003-11,

 

     

Class A6

 

     

(LIBOR USD 3-Month plus 0.55%)

 

     

0.86%

      12/15/25 1,2       $ 46,761        $ 46,418  

SLM Student Loan Trust, Series 2004-1,

 

     

Class A4

 

     

(LIBOR USD 3-Month plus 0.26%)

 

     

1.25%

      10/27/25 1         59,385          58,874  

SLM Student Loan Trust, Series 2005-4,

 

     

Class A3

 

     

(LIBOR USD 3-Month plus 0.12%)

 

     

1.11%

      01/25/27 1         81,055          79,914  

SLM Student Loan Trust, Series 2005-5,

 

     

Class A4

 

     

(LIBOR USD 3-Month plus 0.14%)

 

     

1.13%

      10/25/28 1         153,947          150,703  

SLM Student Loan Trust, Series 2005-8,

 

     

Class A4

 

     

(LIBOR USD 3-Month plus 0.55%)

 

     

1.54%

      01/25/28 1         27,600          27,550  

SLM Student Loan Trust, Series 2007-6,

 

     

Class A4

 

     

(LIBOR USD 3-Month plus 0.38%)

 

     

1.37%

      10/25/24 1         23,230          23,165  

SLM Student Loan Trust, Series 2008-5,

 

     

Class A4

 

     

(LIBOR USD 3-Month plus 1.70%)

 

     

2.69%

      07/25/23 1         124,071          122,156  

SLM Student Loan Trust, Series 2008-6,

 

     

Class A4

 

     

(LIBOR USD 3-Month plus 1.10%)

 

     

2.09%

      07/25/23 1         167,490          159,559  

SLM Student Loan Trust, Series 2008-9,

 

     

Class A

 

     

(LIBOR USD 3-Month plus 1.50%)

 

     

2.49%

      04/25/23 1         46,533          45,539  

SLM Student Loan Trust, Series 2011-1,

 

     

Class A1

 

     

(LIBOR USD 1-Month plus 0.52%)

 

     

0.70%

      03/25/26 1         684          683  

SLM Student Loan Trust, Series 2011-2,

 

     

Class A1

 

     

(LIBOR USD 1-Month plus 0.60%)

 

     

0.78%

      11/25/27 1         4,417          4,410  

SLM Student Loan Trust, Series 2012-1,

 

     

Class A3

 

     

(LIBOR USD 1-Month plus 0.95%)

 

     

1.13%

      09/25/28 1         163,866          155,537  

SLM Student Loan Trust, Series 2012-2,

 

     

Class A

 

     

(LIBOR USD 1-Month plus 0.70%)

 

     

0.88%

      01/25/29 1         94,627          87,940  
Issues    Maturity
Date		      Principal
Amount		        Value  

ASSET-BACKED SECURITIES (continued)

 

     

SLM Student Loan Trust, Series 2013-4,

 

     

Class A

 

     

(LIBOR USD 1-Month plus 0.55%)

 

     

0.73%

      06/25/43 1     $ 6,770        $ 6,483  

TCI-Flatiron CLO Ltd., Series 2016-1A,

 

     

Class AR (Cayman Islands)

 

     

(LIBOR USD 3-Month plus 1.22%)

 

     

2.35%

      07/17/28 1,2,3       35,000          34,576  

Voya CLO Ltd., Series 2014-3A, Class A1R

 

     

(Cayman Islands)

 

     

(LIBOR USD 3-Month plus 0.72%)

 

     

1.71%

      07/25/26 1,2,3       16,035          15,951  
    

 

 

  

Total Asset-Backed Securities

 

     

(Cost $2,665,094)

 

          2,601,972  
    

 

 

  

CORPORATES — 29.43%*

 

     

Banking — 3.92%

 

     

Bank of America Corp.

 

     

2.74%

      01/23/22 4       325,000          328,660  

3.00%

      12/20/23 4       91,000          95,633  

JPMorgan Chase & Co.

 

     

3.21%

      04/01/23 4       200,000          208,285  

Lloyds Banking Group PLC

 

     

(United Kingdom)

 

     

2.91%

      11/07/23 3,4       200,000          207,721  

Santander UK Group Holdings PLC

 

     

(United Kingdom)

 

     

2.88%

      08/05/21 3       75,000          76,721  

3.13%

      01/08/21 3       125,000          126,574  

Wells Fargo Bank N.A. (BKNT)

 

     

2.08%

      09/09/22 4       250,000          254,026  
    

 

 

  
       1,297,620  
    

 

 

  

Communications — 1.87%

 

     

AT&T, Inc.

 

     

(LIBOR USD 3-Month plus 1.18%)

 

     

1.50%

      06/12/24 1       175,000          175,667  

CCO Holdings LLC/CCO Holdings

 

     

Capital Corp.

 

     

4.50%

      08/15/30 2       25,000          25,750  

4.50%

      05/01/32 2       19,000          19,291  

5.38%

      06/01/29 2       14,000          14,786  

CSC Holdings LLC

 

     

5.38%

      02/01/28 2       5,000          5,240  

Intelsat Jackson Holdings SA (Luxembourg)5

 

     

8.50%

      10/15/24 2,3,6       20,000          12,225  

9.75%

      07/15/25 2,3,6       61,000          37,573  

Level 3 Financing, Inc.

 

     

4.63%

      09/15/27 2       13,000          13,134  

5.38%

      05/01/25        12,000          12,375  

Sprint Corp.

 

     

7.88%

      09/15/23        3,000          3,382  
 

 

2 /  June 2020

AlphaTrak 500 Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		        Principal
Amount		        Value  

CORPORATES (continued)

 

     

Communications (continued)

 

     

Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint

 

Spectrum Co. III LLC

 

     

3.36%

      09/20/21 2       $ 114,063        $ 115,880  

4.74%

      03/20/25 2         50,000          54,443  

Virgin Media Secured Finance PLC

 

     

(United Kingdom)

 

     

5.50%

      05/15/29 2,3         5,000          5,234  

Vodafone Group PLC (United Kingdom)

 

     

(LIBOR USD 3-Month plus 0.99%)

 

     

2.17%

      01/16/24 1,3         125,000          124,483  
    

 

 

  
       619,463  
    

 

 

  

Consumer Discretionary — 0.70%

 

     

BAT Capital Corp.

 

     

2.76%

      08/15/22          165,000          170,919  

Colt Merger Sub, Inc.

 

     

6.25%

      07/01/25 2         10,000          9,979  

Constellation Brands, Inc.

 

     

(LIBOR USD 3-Month plus 0.70%)

 

     

1.09%

      11/15/21 1         50,000          50,008  
    

 

 

  
       230,906  
    

 

 

  

Electric — 1.85%

 

     

Dominion Energy, Inc., Series B

 

     

2.75%

      09/15/22          150,000          155,484  

Duquesne Light Holdings, Inc.

 

     

5.90%

      12/01/21 2         50,000          52,766  

Evergy, Inc.

 

     

4.85%

      06/01/21          100,000          102,762  

NextEra Energy Capital Holdings, Inc.

 

     

2.40%

      09/01/21          30,000          30,685  

(LIBOR USD 3-Month plus 0.48%)

 

     

1.04%

      05/04/21 1         55,000          55,136  

(LIBOR USD 3-Month plus 0.55%)

 

     

0.92%

      08/28/21 1         40,000          40,015  

PNM Resources, Inc.

 

     

3.25%

      03/09/21          175,000          177,632  
    

 

 

  
       614,480  
    

 

 

  

Energy — 0.62%

 

     

Antero Resources Corp.

 

     

5.00%

      03/01/25          28,000          16,607  

5.13%

      12/01/22          11,000          7,972  

5.63%

      06/01/23          15,000          9,600  

Cheniere Energy Partners LP

 

     

5.25%

      10/01/25          5,000          4,989  

Energy Transfer Operating LP

 

     

5.50%

      06/01/27          12,000          13,394  

NGPL PipeCo LLC

 

     

4.38%

      08/15/22 2         100,000          103,212  
Issues    Maturity
Date		        Principal
Amount		        Value  

CORPORATES (continued)

 

     

Energy (continued)

 

     

Targa Resources Partners LP/Targa Resources Partners

 

Finance Corp.

 

     

6.88%

      01/15/29        $ 4,000        $ 4,198  

Transocean Phoenix 2 Ltd.

 

     

(Cayman Islands)

 

     

7.75%

      10/15/24 2,3         13,650          12,933  

Transocean Pontus Ltd. (Cayman Islands)

 

     

6.13%

      08/01/25 2,3         5,010          4,409  

Transocean Poseidon Ltd. (Cayman Islands)

 

     

6.88%

      02/01/27 2,3         18,000          15,570  

Transocean Proteus Ltd. (Cayman Islands)

 

     

6.25%

      12/01/24 2,3         2,600          2,405  

USA Compression Partners LP/USA

 

     

Compression Finance Corp.

 

     

6.88%

      04/01/26          5,000          4,843  

6.88%

      09/01/27          5,000          4,780  
    

 

 

  
       204,912  
    

 

 

  

Entertainment — 0.03%

 

     

Live Nation Entertainment, Inc.

 

     

4.75%

      10/15/27 2         11,000          9,489  
    

 

 

  

Finance — 6.04%

 

     

AerCap Ireland Capital DAC/AerCap Global Aviation Trust

 

(Ireland)

 

     

4.45%

      12/16/21 3         150,000          151,520  

Air Lease Corp.

 

     

2.25%

      01/15/23          75,000          74,194  

3.50%

      01/15/22          65,000          65,691  

Avolon Holdings Funding Ltd.

 

     

(Cayman Islands)

 

     

5.13%

      10/01/23 2,3         5,000          4,631  

5.25%

      05/15/24 2,3         5,000          4,578  

Citigroup, Inc.

 

     

2.88%

      07/24/23 4         225,000          234,342  

(LIBOR USD 3-Month plus 0.95%)

 

     

1.97%

      07/24/23 1         30,000          30,018  

Daimler Finance North America LLC

 

     

(LIBOR USD 3-Month plus 0.90%)

 

     

1.29%

      02/15/22 1,2         150,000          148,254  

Ford Motor Credit Co. LLC

 

     

3.20%

      01/15/21          160,000          158,400  

3.81%

      10/12/21          35,000          34,792  

5.75%

      02/01/21          75,000          75,726  

(LIBOR USD 3-Month plus 0.81%)

 

     

1.11%

      04/05/21 1         45,000          43,340  

General Motors Financial Co., Inc.

 

     

4.20%

      11/06/21          60,000          61,675  

4.38%

      09/25/21          135,000          138,682  

Goldman Sachs Group, Inc. (The)

 

     

2.88%

      10/31/22 4         170,000          174,440  
 

 

June 2020 / 3

AlphaTrak 500 Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		      Principal
Amount		        Value  

CORPORATES (continued)

 

     

Finance (continued)

 

     

Goldman Sachs Group, Inc. (The) (MTN)

 

     

(LIBOR USD 3-Month plus 1.60%)

 

     

1.96%

      11/29/23 1     $ 75,000        $ 76,290  

Morgan Stanley

 

     

(LIBOR USD 3-Month plus 0.93%)

 

     

2.03%

      07/22/22 1       200,000          201,054  

Nationwide Building Society

 

     

(United Kingdom)

 

     

3.62%

      04/26/23 2,3,4       75,000          77,969  

4.36%

      08/01/24 2,3,4       75,000          81,208  

Park Aerospace Holdings Ltd.

 

     

(Cayman Islands)

 

     

4.50%

      03/15/23 2,3       175,000          159,750  

5.25%

      08/15/22 2,3       5,000          4,696  
    

 

 

  
       2,001,250  
    

 

 

  

Food — 0.86%

 

     

Conagra Brands, Inc.

 

     

(LIBOR USD 3-Month plus 0.50%)

 

     

0.77%

      10/09/20 1       60,000          60,036  

JBS USA LUX SA/JBS USA

 

     

Food Co./JBS USA Finance, Inc. (Canada)

 

     

5.50%

      01/15/30 2,3       5,000          5,133  

Kraft Heinz Foods Co.

 

     

4.00%

      06/15/23        150,000          158,981  

Pilgrim’s Pride Corp.

 

     

5.88%

      09/30/27 2       5,000          5,011  

Post Holdings, Inc.

 

     

4.63%

      04/15/30 2       5,000          4,903  

Tyson Foods, Inc.

 

     

(LIBOR USD 3-Month plus 0.45%)

 

     

0.82%

      08/21/20 1       50,000          50,006  
    

 

 

  
       284,070  
    

 

 

  

Gaming — 0.12%

 

     

Churchill Downs, Inc.

 

     

4.75%

      01/15/28 2       10,000          9,673  

5.50%

      04/01/27 2       31,000          30,359  
    

 

 

  
       40,032  
    

 

 

  

Health Care — 4.43%

 

     

AbbVie, Inc.

 

     

3.45%

      03/15/22 2       50,000          52,023  

3.75%

      11/14/23        125,000          135,950  

5.00%

      12/15/21 2       40,000          42,036  

Bausch Health Americas, Inc.

 

     

9.25%

      04/01/26 2       5,000          5,437  

Bausch Health Cos., Inc. (Canada)

 

     

5.75%

      08/15/27 2,3       10,000          10,623  

7.00%

      03/15/24 2,3       95,000          98,759  
Issues    Maturity
Date		        Principal
Amount		        Value  

CORPORATES (continued)

 

     

Health Care (continued)

 

     

Bayer U.S. Finance II LLC

 

     

2.20%

      07/15/22 2       $ 150,000        $ 153,715  

2.75%

      07/15/21 2         90,000          91,589  

3.88%

      12/15/23 2         50,000          54,888  

Becton Dickinson and Co.

 

     

3.25%

      11/12/20          28,000          28,245  

Centene Corp.

 

     

3.38%

      02/15/30          3,000          3,033  

5.38%

      08/15/26 2         10,000          10,443  

Cigna Corp., Series WI

 

     

(LIBOR USD 3-Month plus 0.65%)

 

     

0.95%

      09/17/21 1         100,000          100,005  

CVS Health Corp.

 

     

4.00%

      12/05/23          125,000          137,262  

(LIBOR USD 3-Month plus 0.72%)

 

     

1.03%

      03/09/21 1         32,000          32,125  

Encompass Health Corp.

 

     

4.75%

      02/01/30          20,000          19,134  

Fresenius Medical Care U.S. Finance II, Inc.

 

     

5.88%

      01/31/22 2         100,000          106,186  

HCA, Inc.

 

     

5.00%

      03/15/24          75,000          83,375  

5.88%

      02/01/29          7,000          7,933  

Hologic, Inc.

 

     

4.63%

      02/01/28 2         2,000          2,105  

Humana, Inc.

 

     

3.85%

      10/01/24          130,000          142,561  

Tenet Healthcare Corp.

 

     

4.63%

      07/15/24          10,000          9,811  

Upjohn, Inc.

 

     

1.13%

      06/22/22 2         100,000          100,628  

Zimmer Biomet Holdings, Inc.

 

     

(LIBOR USD 3-Month plus 0.75%)

 

     

1.07%

      03/19/21 1         40,000          39,996  
    

 

 

  
       1,467,862  
    

 

 

  

Industrials — 1.36%

 

     

BAE Systems Holdings, Inc.

 

     

2.85%

      12/15/20 2         100,000          100,663  

Bemis Co., Inc.

 

     

4.50%

      10/15/21          160,000          164,057  

Berry Global, Inc.

 

     

4.88%

      07/15/26 2         11,000          11,177  

General Electric Co. (MTN)

 

     

(LIBOR USD 3-Month plus 0.38%)

 

     

0.92%

      05/05/26 1         30,000          26,315  

(LIBOR USD 3-Month plus 0.48%)

 

     

0.87%

      08/15/36 1         75,000          48,543  
 

 

4 /  June 2020

AlphaTrak 500 Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		        Principal
Amount		        Value  

CORPORATES (continued)

 

     

Industrials (continued)

 

     

General Electric Co., Series NOTZ

 

     

(LIBOR USD 3-Month plus 1.00%)

 

     

2.22%

      04/15/23 1       $ 50,000        $ 48,543  

Matthews International Corp.

 

     

5.25%

      12/01/25 2         6,000          5,520  

Mauser Packaging Solutions Holding Co.

 

     

5.50%

      04/15/24 2         5,000          4,922  

PowerTeam Services LLC

 

     

9.03%

      12/04/25 2         31,000          31,635  

Sealed Air Corp.

 

     

4.00%

      12/01/27 2         5,000          5,025  

Trivium Packaging Finance BV (Netherlands)

 

     

5.50%

      08/15/26 2,3         5,000          5,092  
    

 

 

  
       451,492  
    

 

 

  

Information Technology — 1.02%

 

     

Broadcom Corp./Broadcom Cayman

 

     

Finance Ltd.

 

     

3.63%

      01/15/24          40,000          43,057  

Change Healthcare Holdings LLC/Change

 

     

Healthcare Finance, Inc.

 

     

5.75%

      03/01/25 2         5,000          4,963  

Dell International LLC/EMC Corp.

 

     

4.42%

      06/15/21 2         95,000          97,664  

NXP BV/NXP Funding LLC (Netherlands)

 

     

4.13%

      06/01/21 2,3         160,000          164,811  

4.63%

      06/01/23 2,3         10,000          10,958  

SS&C Technologies, Inc.

 

     

5.50%

      09/30/27 2         16,000          16,307  
    

 

 

  
       337,760  
    

 

 

  

Insurance — 0.09%

 

     

Allstate Corp. (The)

 

     

(LIBOR USD 3-Month plus 0.43%)

 

     

0.74%

      03/29/21 1         30,000          30,048  
    

 

 

  

Materials — 0.46%

 

     

Georgia-Pacific LLC

 

     

5.40%

      11/01/20 2         50,000          50,807  

International Flavors & Fragrances, Inc.

 

     

3.40%

      09/25/20          100,000          100,452  
    

 

 

  
       151,259  
    

 

 

  

Real Estate Investment Trust (REIT) — 3.65%

 

     

Boston Properties LP

 

     

4.13%

      05/15/21          150,000          152,632  

Camden Property Trust

 

     

2.95%

      12/15/22          55,000          57,351  

CubeSmart LP

 

     

4.80%

      07/15/22          75,000          79,206  
Issues    Maturity
Date		        Principal
Amount		        Value  

CORPORATES (continued)

 

     

Real Estate Investment Trust (REIT) (continued)

 

     

CyrusOne LP/CyrusOne Finance Corp.

 

     

2.90%

      11/15/24        $ 140,000        $ 147,257  

Essex Portfolio LP

 

     

3.63%

      08/15/22          100,000          104,907  

5.20%

      03/15/21          50,000          50,811  

GLP Capital LP/GLP Financing II, Inc.

 

     

5.38%

      11/01/23          85,000          90,885  

Healthcare Realty Trust, Inc.

 

     

3.75%

      04/15/23          150,000          156,276  

Healthpeak Properties, Inc.

 

     

4.25%

      11/15/23          3,000          3,269  

Kimco Realty Corp.

 

     

3.40%

      11/01/22          100,000          104,137  

MGM Growth Properties Operating Partnership LP/MGP

 

Finance Co.-Issuer, Inc.

 

     

4.50%

      01/15/28          6,000          5,721  

SL Green Operating Partnership LP

 

     

(LIBOR USD 3-Month plus 0.98%)

 

     

1.37%

      08/16/21 1         100,000          98,556  

WEA Finance LLC

 

     

3.15%

      04/05/22 2         50,000          50,755  

Welltower, Inc.

 

     

3.75%

      03/15/23          100,000          105,924  
    

 

 

  
       1,207,687  
    

 

 

  

Retail — 0.13%

 

     

Alimentation Couche-Tard, Inc. (Canada)

 

     

2.70%

      07/26/22 2,3         30,000          30,734  

Rite Aid Corp.

 

     

6.13%

      04/01/23 2         13,000          12,664  
    

 

 

  
       43,398  
    

 

 

  

Services — 0.80%

 

     

GFL Environmental, Inc. (Canada)

 

     

5.13%

      12/15/26 2,3         22,000          22,795  

Global Payments, Inc.

 

     

3.80%

      04/01/21          100,000          101,818  

IHS Markit Ltd. (Bermuda)

 

     

5.00%

      11/01/22 2,3         115,000          123,489  

Waste Pro USA, Inc.

 

     

5.50%

      02/15/26 2         17,000          16,276  
    

 

 

  
       264,378  
    

 

 

  

Transportation — 1.48%

 

     

American Airlines Pass-Through Trust,

 

     

Series 2013-2, Class A

 

     

4.95%

      01/15/23          165,135          134,156  

Aviation Capital Group LLC

 

     

(LIBOR USD 3-Month plus 0.95%)

 

     

1.30%

      06/01/21 1,2         100,000          95,123  
 

 

June 2020 / 5

AlphaTrak 500 Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		        Principal
Amount		        Value  

CORPORATES (continued)

 

     

Transportation (continued)

 

     

Continental Airlines Pass-Through Trust,

 

     

Series 2000-1, Class A1

 

     

8.05%

      11/01/20        $ 8        $ 8  

Continental Airlines Pass-Through Trust,

 

     

Series 2000-2, Class A

 

     

7.71%

      04/02/21          7,569          7,571  

Continental Airlines Pass-Through Trust,

 

     

Series 2007-1, Class A

 

     

5.98%

      04/19/22          121,428          115,103  

Northwest Airlines Pass-Through Trust,

 

     

Series 2001-1, Class A1

 

     

7.04%

      04/01/22          81,312          77,949  

U.S. Airways Pass-Through Trust,

 

     

Series 2001-1, Class G

 

     

7.08%

      03/20/21          22,849          22,349  

U.S. Airways Pass-Through Trust,

 

     

Series 2012-1, Class A

 

     

5.90%

      10/01/24          42,452          38,928  
    

 

 

  
       491,187  
    

 

 

  

Total Corporates

 

     

(Cost $9,757,528)

 

        9,747,293  
    

 

 

  

MORTGAGE-BACKED — 12.60%**

 

     

Non-Agency Commercial

 

     

Mortgage-Backed — 3.37%

 

     

1345 Avenue of the Americas & Park Avenue

 

     

Plaza Trust, Series 2005-1, Class A3

 

     

5.28%

      08/10/35 2         50,000          53,533  

Citigroup Commercial Mortgage Trust,

 

     

Series 2012-GC8, Class AAB

 

     

2.61%

      09/10/45          60,354          61,009  

Citigroup Commercial Mortgage Trust,

 

     

Series 2013-GC11, Class AAB

 

     

2.69%

      04/10/46          67,920          69,120  

Citigroup Commercial Mortgage Trust,

 

     

Series 2015-GC29, Class AAB

 

     

2.98%

      04/10/48          86,793          89,718  

Commercial Mortgage Trust,

 

     

Series 2012-CR4, Class XA (IO)

 

     

1.85%

      10/15/45 4         328,269          11,067  

Commercial Mortgage Trust,

 

     

Series 2013-CR11, Class ASB

 

     

3.66%

      08/10/50          14,138          14,672  

Commercial Mortgage Trust,

 

     

Series 2013-CR7, Class XA (IO)

 

     

1.37%

      03/10/46 4         1,308,407          35,308  

Commercial Mortgage Trust,

 

     

Series 2013-LC6, Class XB (IO)

 

     

0.53%

      01/10/46 2,4         1,750,000          17,539  

GS Mortgage Securities Trust,

 

     

Series 2010-C1, Class X (IO)

 

     

1.23%

      08/10/43 2,4         5,007,006          60,596  
Issues    Maturity
Date		      Principal
Amount		        Value  

MORTGAGE-BACKED (continued)

 

     

Non-Agency Commercial

 

     

Mortgage-Backed (continued)

 

     

GS Mortgage Securities Trust,

 

     

Series 2010-C2, Class A1

 

     

3.85%

      12/10/43 2     $ 2,242        $ 2,242  

GS Mortgage Securities Trust,

 

     

Series 2011-GC3, Class X (IO)

 

     

0.81%

      03/10/44 2,4       7,212,945          13,002  

GS Mortgage Securities Trust,

 

     

Series 2012-GCJ7, Class A4

 

     

3.38%

      05/10/45        69,039          70,201  

JPMBB Commercial Mortgage Securities

 

     

Trust, Series 2013-C17, Class XA (IO)

 

     

0.92%

      01/15/47 4       1,702,949          36,783  

JPMorgan Chase Commercial Mortgage

 

     

Securities Trust, Series 2012-C6,

 

     

Class ASB

 

     

3.14%

      05/15/45        77,576          79,034  

JPMorgan Chase Commercial Mortgage

 

     

Securities Trust, Series 2013-C13,

 

     

Class XA (IO)

 

     

0.24%

      01/15/46 4       8,792,461          30,687  

JPMorgan Chase Commercial Mortgage

 

     

Securities Trust, Series 2013-LC11,

 

     

Class XA (IO)

 

     

1.39%

      04/15/46 4       3,337,594          95,783  

JPMorgan Chase Commercial Mortgage

 

     

Securities Trust, Series 2015-JP1,

 

     

Class XA (IO)

 

     

1.23%

      01/15/49 4,7,8       951,860          30,218  

LB-UBS Commercial Mortgage Trust,

 

     

Series 2006-C6, Class XCL (IO)

 

     

0.77%

      09/15/39 2,4       531,375          2,918  

Morgan Stanley Bank of America Merrill

 

     

Lynch Trust, Series 2013-C13, Class ASB

 

     

3.56%

      11/15/46        18,281          18,869  

Morgan Stanley Bank of America Merrill

 

     

Lynch Trust, Series 2014-C14, Class XA (IO)

 

     

1.15%

      02/15/47 4       1,841,074          40,910  

Morgan Stanley Bank of America Merrill

 

     

Lynch Trust, Series 2015-C26, Class ASB

 

     

3.32%

      10/15/48        80,000          83,889  

TMSQ Mortgage Trust, Series 2014-1500,

 

     

Class XA (IO)

 

     

0.28%

      10/10/36 2,4       14,000,000          102,553  

UBS-Barclays Commercial Mortgage Trust,

 

     

Series 2012-C3, Class XB (IO)

 

     

0.31%

      08/10/49 2,4,7,8       3,000,000          14,817  

WF-RBS Commercial Mortgage Trust,

 

     

Series 2011-C5, Class XA (IO)

 

     

1.84%

      11/15/44 2,4       5,644,657          82,770  
    

 

 

  
       1,117,238  
    

 

 

  
 

 

6 /  June 2020

AlphaTrak 500 Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		        Principal
Amount		        Value  

MORTGAGE-BACKED (continued)

 

     

Non-Agency Mortgage-Backed — 7.09%

 

     

Alternative Loan Trust,

 

     

Series 2005-J4, Class M2

 

     

(LIBOR USD 1-Month plus 0.64%)

 

     

0.82%

      07/25/35 1       $ 145,349        $ 142,415  

Alternative Loan Trust,

 

     

Series 2007-22, Class 2A16

 

     

6.50%

      09/25/37          226,008          136,832  

Ameriquest Mortgage Securities, Inc.,

 

     

Asset-Backed Pass-Through Certificates,

 

     

Series 2005-R3, Class M2

 

     

(LIBOR USD 1-Month plus 0.71%)

 

     

0.89%

      05/25/35 1         163          163  

Asset-Backed Funding Certificates,

 

     

Series 2006-OPT1, Class A2

 

     

(LIBOR USD 1-Month plus 0.14%)

 

     

0.32%

      09/25/36 1         17,948          17,638  

Banc of America Funding Trust,

 

     

Series 2006-G, Class 2A4

 

     

(LIBOR USD 1-Month plus 0.58%)

 

     

0.77%

      07/20/36 1         30,038          29,941  

Banc of America Funding Trust,

 

     

Series 2014-R7, Class 1A1

 

     

(LIBOR USD 1-Month plus 0.15%)

 

     

0.33%

      05/26/36 1,2         80,774          78,339  

Banc of America Funding Trust,

 

     

Series 2015-R7, Class 1A1

 

     

(Federal Reserve US 12-Month Cumulative

 

     

Average plus 0.92%)

 

     

2.54%

      09/26/46 1,2         128,150          124,929  

CIM Trust, Series 2019-R1, Class A

 

     

3.25%

      10/25/58 2,4         144,787          134,590  

Countrywide Asset-Backed Certificates Trust,

 

     

Series 2007-13, Class 2A1

 

     

(LIBOR USD 1-Month plus 0.90%)

 

     

1.08%

      10/25/47 1         95,095          89,762  

Countrywide Home Loan Mortgage

 

     

Pass-Through Trust, Series 2005-9,

 

     

Class 1A1

 

     

(LIBOR USD 1-Month plus 0.60%)

 

     

0.78%

      05/25/35 1         61,545          50,655  

Credit-Based Asset Servicing and

 

     

Securitization LLC, Series 2003-CB1,

 

     

Class AF (STEP-reset date 08/25/20)

 

     

3.95%

      01/25/33          10,895          11,181  

Credit-Based Asset Servicing and

 

     

Securitization LLC, Series 2003-CB5,

 

     

Class M1

 

     

(LIBOR USD 1-Month plus 1.02%)

 

     

1.20%

      11/25/33 1         14,298          13,810  

DSLA Mortgage Loan Trust,

 

     

Series 2004-AR3, Class 2A2A

 

     

(LIBOR USD 1-Month plus 0.74%)

 

     

0.93%

      07/19/44 1         3,515          3,216  
Issues    Maturity
Date		        Principal
Amount		        Value  

MORTGAGE-BACKED (continued)

 

     

Non-Agency Mortgage-Backed

 

     

(continued)

 

     

First Franklin Mortgage Loan Trust,

 

     

Series 2006-FF4, Class A3

 

     

(LIBOR USD 1-Month plus 0.28%)

 

     

0.73%

      03/25/36 1       $ 100,638        $ 96,572  

GMACM Mortgage Corp. Loan Trust,

 

     

Series 2006-AR1, Class 1A1

 

     

3.74%

      04/19/36 4         92,465          78,676  

HarborView Mortgage Loan Trust,

 

     

Series 2005-4, Class 2A

 

     

3.91%

      07/19/35 4         1,261          1,155  

HarborView Mortgage Loan Trust,

 

     

Series 2005-9, Class 2A1A

 

     

(LIBOR USD 1-Month plus 0.34%)

 

     

0.53%

      06/20/35 1         158,454          141,752  

HSI Asset Securitization Corp. Trust,

 

     

Series 2006-OPT1, Class 2A4

 

     

(LIBOR USD 1-Month plus 0.30%)

 

     

0.48%

      12/25/35 1         29,909          29,487  

HSI Asset Securitization Corp. Trust,

 

     

Series 2007-WF1, Class 1A1

 

     

(LIBOR USD 1-Month plus 0.16%)

 

     

0.34%

      05/25/37 1         117,429          113,930  

IndyMac Index Mortgage Loan Trust,

 

     

Series 2004-AR5, Class 2A1A

 

     

(LIBOR USD 1-Month plus 0.86%)

 

     

1.04%

      08/25/34 1         8,084          7,130  

IndyMac Index Mortgage Loan Trust,

 

     

Series 2006-AR4, Class A1A

 

     

(LIBOR USD 1-Month plus 0.21%)

 

     

0.39%

      05/25/46 1         117,148          107,289  

IndyMac Index Mortgage Loan Trust,

 

     

Series 2007, Class AR1

 

     

3.43%

      06/25/37 4         77,779          62,102  

Legacy Mortgage Asset Trust,

 

     

Series 2019-GS1, Class A1

 

     

(STEP-reset date 07/25/20)

 

     

4.00%

      01/25/59 2         137,078          140,597  

Long Beach Mortgage Loan Trust,

 

     

Series 2004-4, Class 1A1

 

     

(LIBOR USD 1-Month plus 0.56%)

 

     

0.74%

      10/25/34 1         100,360          88,842  

Option One Mortgage Loan Trust,

 

     

Series 2006-1, Class 1A1

 

     

(LIBOR USD 1-Month plus 0.22%)

 

     

0.40%

      01/25/36 1         151,630          141,916  

Park Place Securities, Inc., Asset-Backed

 

     

Pass-Through Certificates,

 

     

Series 2005-WCW3, Class M1

 

     

(LIBOR USD 1-Month plus 0.48%)

 

     

0.66%

      08/25/35 1         129,210          127,947  
 

 

June 2020 / 7

AlphaTrak 500 Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		      Principal
Amount		        Value  

MORTGAGE-BACKED (continued)

 

     

Non-Agency Mortgage-Backed (continued)

 

     

Residential Asset Mortgage Products Trust,

 

     

Series 2004-SL1, Class A2

 

     

8.50%

      11/25/31      $ 4,097        $ 1  

Residential Asset Mortgage Products Trust,

 

     

Series 2005-RZ3, Class M3

 

     

(LIBOR USD 1-Month plus 0.55%)

 

     

0.73%

      09/25/35 1       100,000          99,342  

Structured Asset Mortgage Investments II

 

     

Trust, Series 2006-AR1, Class 3A1

 

     

(LIBOR USD 1-Month plus 0.23%)

 

     

0.41%

      02/25/36 1       83,090          74,560  

Terwin NIMs Trust, Series 2004-13AL,

 

     

Class 2PX (IO)

 

     

0.34%

      08/25/34 2,7,8       2,408,321          35,124  

WaMu Mortgage Pass-Through Certificates,

 

     

Series 2002-AR6, Class A

 

     

(Federal Reserve US 12-Month Cumulative

 

     

Average plus 1.40%)

 

     

2.90%

      06/25/42 1       2,800          2,602  

WaMu Mortgage Pass-Through Certificates,

 

     

Series 2005-AR8, Class 2AB2

 

     

(LIBOR USD 1-Month plus 0.84%)

 

     

1.02%

      07/25/45 1       140,552          132,374  

Wells Fargo Alternative Loan Trust,

 

     

Series 2005-2, Class M1

 

     

(LIBOR USD 1-Month plus 0.68%)

 

     

0.86%

      10/25/35 1       21,966          22,078  

Wells Fargo Mortgage-Backed Securities

 

     

Trust, Series 2003-I, Class A1

 

     

4.62%

      09/25/33 4       12,123          12,038  
    

 

 

  
       2,348,985  
    

 

 

  

U.S. Agency Commercial

 

     

Mortgage-Backed — 2.01%

 

     

Fannie Mae-Aces, Series 2014-M2,

 

     

Class ASV2

 

     

2.78%

      06/25/21 4       5,558          5,589  

Fannie Mae-Aces, Series 2015-M4,

 

     

Class X2 (IO)

 

     

0.48%

      07/25/22 4       11,255,303          54,671  

Fannie Mae-Aces, Series 2019-M32,

 

     

Class X2 (IO)

 

     

1.19%

      10/25/29 4       1,000,000          74,990  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series K031,

 

     

Class X1 (IO)

 

     

0.32%

      04/25/23 4       7,956,198          45,359  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series K033,

 

     

Class X1 (IO)

 

     

0.41%

      07/25/23 4       4,164,637          35,372  
Issues    Maturity
Date		        Principal
Amount		        Value  

MORTGAGE-BACKED (continued)

 

     

U.S. Agency Commercial

 

     

Mortgage-Backed (continued)

 

     

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series K036,

 

     

Class X1 (IO)

 

     

0.87%

      10/25/23 4       $ 5,378,095        $ 113,829  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series K044,

 

     

Class X1 (IO)

 

     

0.86%

      01/25/25 4         1,442,994          39,130  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series K732,

 

     

Class X3 (IO)

 

     

2.25%

      05/25/46 4         250,000          23,544  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series KAIV,

 

     

Class X2 (IO)

 

     

3.61%

      06/25/41 4         250,000          7,921  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series KC01,

 

     

Class X1 (IO)

 

     

0.82%

      12/25/22 4         11,131,318          65,084  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series KC05,

 

     

Class X1 (IO)

 

     

1.20%

      06/25/27 4         999,004          60,005  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series KIR1,

 

     

Class X (IO)

 

     

1.21%

      03/25/26 4         929,214          46,278  

Freddie Mac Multifamily Structured

 

     

Pass-Through Certificates, Series KS07,

 

     

Class X (IO)

 

     

0.78%

      09/25/25 4         3,000,000          89,692  

Ginnie Mae, Series 2010-140, Class IO (IO)

 

     

0.05%

      10/16/43 4         1,283,748          3,070  
    

 

 

  
       664,534  
    

 

 

  

U.S. Agency Mortgage-Backed — 0.13%

 

     

Fannie Mae Pool 802665

 

     

(LIBOR USD 6-Month plus 1.74%)

 

     

2.86%

      12/01/34 1         674          680  

Fannie Mae Pool AL0851

 

     

6.00%

      10/01/40          3,285          3,919  

Fannie Mae REMICS, Series 1997-91,

 

     

Class SL (IO)

 

     

(-2.00 X LIBOR USD 1-Month plus 16.00%, 7.50% Cap)

 

     

7.50%

      11/25/23 1         16,860          1,395  

Fannie Mae REMICS, Series 2003-11,

 

     

Class FA

 

     

(LIBOR USD 1-Month plus 1.00%)

 

     

1.18%

      09/25/32 1         6,291          6,407  
 

 

8 /  June 2020

AlphaTrak 500 Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		        Principal
Amount		        Value  

MORTGAGE-BACKED (continued)

 

     

U.S. Agency Mortgage-Backed
(continued)

 

     

Fannie Mae REMICS, Series 2010-109,

 

     

Class PF

 

     

(LIBOR USD 1-Month plus 0.40%)

 

     

0.58%

      10/25/40 1       $ 5,709        $ 5,728  

Fannie Mae REMICS, Series G-36,

 

     

Class ZB

 

     

7.00%

      11/25/21          7          7  

Freddie Mac REMICS, Series 2684,

 

     

Class F

 

     

(LIBOR USD 1-Month plus 0.90%)

 

     

1.08%

      01/15/33 1         6,033          6,145  

Freddie Mac Strips, Series 263,

 

     

Class F5

 

     

(LIBOR USD 1-Month plus 0.50%)

 

     

0.68%

      06/15/42 1         19,731          19,820  
    

 

 

  
       44,101  
    

 

 

  

Total Mortgage-Backed

 

     

(Cost $4,648,318)

 

        4,174,858  
    

 

 

  

U.S. TREASURY SECURITIES — 3.58%

 

     

U.S. Treasury Notes — 3.58%

 

     

U.S. Treasury Floating Rate Notes

 

     

0.37%

      07/31/21 1         700,000          701,578  

U.S. Treasury Notes

 

     

0.13%

      05/31/22          485,000          484,687  
    

 

 

  
       1,186,265  
    

 

 

  

Total U.S. Treasury Securities

 

     

(Cost $1,184,289)

 

        1,186,265  
    

 

 

  

Total Bonds – 53.46%

 

     

(Cost $18,255,229)

 

        17,710,388  
    

 

 

  
    
Issues             Shares        Value  

MUTUAL FUNDS — 8.66%

 

     

Mutual Funds — 8.66%

iShares Core S&P 500 ETF

 

 

        3,845          1,190,758  

SPDR S&P 500 ETF Trust9

 

        5,439          1,677,170  
    

 

 

  

Total Mutual Funds

 

     

(Cost $2,790,415)

 

        2,867,928  
    

 

 

  
Issues    Maturity
Date		        Principal
Amount/Shares		        Value  

SHORT-TERM INVESTMENTS — 36.76%

 

     

Commercial Paper — 0.40%

 

     

Ford Motor Credit Co. LLC

 

     

2.88%10

      01/08/21        $ 75,000        $ 73,064  

3.20%10

      10/08/20          60,000          59,504  
    

 

 

  
       132,568  
    

 

 

  

Money Market Funds — 2.84%

 

     

Dreyfus Government Cash Management Fund

 

     

8.42%11

 

        500,000          500,000  

Fidelity Investments Money Market Funds -

 

     

Government Portfolio

 

     

5.23%11

 

        441,210          441,210  
    

 

 

  
       941,210  
    

 

 

  

U.S. Treasury Bills — 33.52%

 

     

U.S. Cash Management Bills

 

     

0.16%10

      11/03/20          800,000          799,542  

U.S. Cash Management Bills (WI)

 

     

0.16%10

      10/27/20          1,000,000          999,574  

U.S. Treasury Bills

 

     

0.14%10

      11/12/20          3,000,000          2,998,269  

0.14%10

      11/19/20          1,500,000          1,499,104  

0.16%10

      11/27/20          800,000          799,470  

0.17%10

      12/03/20          1,300,000          1,299,188  

0.22%10,12

      09/10/20          2,708,000          2,707,332  
    

 

 

  
       11,102,479  
    

 

 

  

Total Short-Term Investments

 

     

(Cost $12,176,536)

 

        12,176,257  
    

 

 

  

Total Investments – 98.88%

 

     

(Cost $33,222,180)

 

        32,754,573  
    

 

 

  

Cash and Other Assets, Less

 

     

Liabilities – 1.12%

 

        369,877  
    

 

 

  

Net Assets – 100.00%

 

      $ 33,124,450  
    

 

 

  
 

 

June 2020 / 9

AlphaTrak 500 Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

1 

Floating rate security. The rate disclosed was in effect at June 30, 2020.

 

2 

Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

 

3 

U.S. dollar-denominated security issued by foreign-domiciled entity.

 

4 

Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

 

5 

Non-income producing security.

 

6 

Security is currently in default with regard to scheduled interest or principal payments.

 

7 

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

 

8 

Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $80,159, which is 0.24% of total net assets.

 

9 

SPDR S&P 500 ETF Trust (the “S&P 500 ETF”) is a unit investment trust created under the laws of the State of New York and registered under the Investment Company Act of 1940, as amended. The S&P 500 ETF was created to provide investors with the opportunity to purchase a security representing a proportionate undivided interest in a portfolio of securities consisting of substantially all of the component common stocks, in substantially the same weighting, which comprise the Standard & Poor’s 500 Index (the “S&P 500 Index”). Each unit of fractional undivided interest in the S&P 500 ETF is referred to as a “Unit”. The S&P 500 ETF seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of the S&P 500 Index. You can access the financial statements of this ETF by going to its homepage at
(https://us.spdrs.com/en/etf/spdr-sp-500-etf-SPY).

 

10 

Represents annualized yield at date of purchase.

11 

Represents the current yield as of June 30, 2020.

 

12 

Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $2,707,332.

 

*

Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity.

 

**

Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date.

Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.

(BKNT): Banker’s Note, Inc.

(CLO): Collateralized loan obligation

(ETF): Exchange-traded fund (IO): Interest only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(S&P): Standard and Poor’s

(SPDR): Standard and Poor’s Depositary Receipts

(STEP): Step coupon bond

(USD): U.S. dollar

(WI): When issued

 

 

Description Number
of Contracts		 Expiration Date Notional Amount Value Unrealized
Appreciation

FUTURES CONTRACTS: LONG POSITIONS

S&P 500 Emini Index

   196   09/18/20 $ 30,225,650 $ 592,024 $ 592,024

 

 

  

 

 

  

 

 

  

SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently followed by the Fund:

Net Asset Value:

The Net Asset Value (“NAV”) of each class of the Fund is determined by dividing the net assets attributable to each class of shares of the Fund by the number of issued and outstanding shares of the class of the Fund on each business day as of 4 p.m. ET.

Security Valuation:

Fixed-income securities for which market quotations are readily available are valued at prices as provided by independent pricing vendors or broker quotes. The Fund receives pricing information from independent pricing vendors approved by the Board of Trustees (the “Board” or the “Board of Trustees”). Securities with a demand feature exercisable within one to seven days are valued at par. The Fund also uses a benchmark pricing system to the extent vendors’ prices for their securities are either inaccurate (such as when the reported prices are different from recent known market transactions) or are not available from another pricing source. For a security priced using this system, the Adviser initially selects a proxy composed of a relevant security (i.e., U.S. Treasury Note) or benchmark (e.g., LIBOR) and a multiplier, divisor or margin that the Adviser believes would together best reflect changes in the market value of the security. The value of the security changes daily based on changes to the market price of the assigned benchmark. The benchmark pricing system is continuously reviewed by the Adviser and implemented according to the pricing policy reviewed by the Board. S&P 500 Index futures contracts are valued at the first sale price after 4 p.m. ET on the Chicago Mercantile Exchange. All other futures contracts are valued at the official settlement price of the exchange where it is traded. Equity securities, including depository receipts, are valued at the last reported sale price or the market’s closing price on the exchange or market on which such securities are traded, as of the close of business on the day the securities are being valued or, lacking any sales, at the average of the bid and asked prices. In cases where equity securities are traded on more than one exchange, the securities are valued on the exchange or market determined by the Adviser to be the broadest and most representative market, which may be either a securities exchange or the over-the-counter market. Equity options are valued at the average of the bid and asked prices. Securities and other assets that cannot be valued as described above will be valued at their fair value as determined by the Adviser under guidelines established by and under the general supervision and responsibility of the Board.

Investments in registered open-ended investment companies, including those classified as money market funds, are valued based upon

 

10 /  June 2020

AlphaTrak 500 Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

the reported NAV of such investments.

Fair value methods approved by the Board of Trustees include, but are not limited to, obtaining market quotations from secondary pricing services, broker-dealers, or widely used quotation systems. General factors considered in determining the fair value of securities include fundamental analytical data, the nature and duration of any restrictions on disposition of the securities, and an evaluation of the forces that influenced the market in which the investments are purchased and sold. These securities are either categorized as Level 2 or 3 depending on the relevant inputs used. In the event that the security or asset cannot be valued pursuant to one of the valuation methods established by the Board, the value of the security or asset will be determined in good faith by the Pricing Committee of the Board, generally based upon recommendation provided by the Adviser. When the Fund uses these fair valuation methods applied by the Adviser that use significant unobservable inputs to determine its NAV, securities will be priced by a method that the Board or persons acting at their direction believe accurately reflect fair value and are categorized as Level 3 of the fair value hierarchy. These methods may require subjective determinations about the value of a security. While the Fund’s policy is intended to result in a calculation of its NAV that fairly reflects security values as of the time of pricing, the Fund cannot guarantee that values determined by the Board or persons acting at their direction would accurately reflect the price that the Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Fund may differ from the value that would be realized if the securities were sold.

Fair Value Measurements:

Various inputs are used in determining the fair value of investments, which are as follows:

* Level 1 - unadjusted quoted prices in active markets for identical securities

* Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

* Level 3 - significant unobservable inputs that are not corroborated by observable market data

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

The summary of inputs used to value the Fund’s investments and other financial instruments carried at fair value as of June 30, 2020 is as follows:

 

June 2020 / 11

AlphaTrak 500 Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

    ALPHATRAK 500 FUND    LEVEL 1      LEVEL 2      LEVEL 3      TOTAL  
                           

Investments in Securities

                        

Assets

                        

Short-Term Investments:

                                                                            

Commercial Paper

       $ —           $ 132,568         $ —           $ 132,568  

Money Market Funds

         941,210           —             —             941,210  

U.S. Treasury Bills

         11,102,479           —             —             11,102,479  

Long-Term Investments:

                        

Asset-Backed Securities

         —             2,601,972           —             2,601,972  

Corporates

         —             9,747,293           —             9,747,293  

Mortgage-Backed

         —             4,094,699           80,159           4,174,858  

Mutual Funds

         2,867,928           —             —             2,867,928  

U.S. Treasury Securities

         1,186,265           —             —             1,186,265  

Other Financial Instruments *

                        

Assets:

                        

Equity contracts

         592,024           —             —             592,024  
     

 

 

        

 

 

        

 

 

        

 

 

  

Total

       $ 16,689,906         $ 16,576,532         $ 80,159         $ 33,346,597  
     

 

 

        

 

 

        

 

 

        

 

 

  

*Other financial instruments include futures. Equity contracts include futures.

Certain of the Fund’s investments are categorized as Level 3 investments with values derived utilizing prices from prior transactions or third party pricing information without adjustment for which such inputs are unobservable. A significant change in the unobservable inputs could result in a significantly lower or higher value in such Level 3 investments.

 

12 /  June 2020

AlphaTrak 500 Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

For the period ended June 30, 2020, a reconciliation of Level 3 investments is presented when the Fund had a significant amount of 1evel 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

    ALPHATRAK 500 FUND MORTGAGE-BACKED
SECURITIES		    

Balance as of

April 1, 2020

 $ 84,531

Accrued discounts/premiums

   (2,753 )

Realized gain/(loss)

   —  

Change in unrealized (depreciation)*

   (1,619 )

Purchases

   —  

Sales

   —  

Transfers into Level 3**

   —  

Transfers out of Level 3**

   —  

 

 

  

Balance as of

June 30, 2020

 $ 80,159

 

 

  

* The change in unrealized appreciation/(depreciation) on securities still held at June 30, 2020 was $(1,619) and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** There were no transfers between level 2 and 3 for the period ended June 30, 2020.

Significant unobservable valuations inputs for Level 3 investments as of June 30, 2020, are as follows:

 

    ALPHATRAK 500 FUND    FAIR VALUE
AT 6/30/20		    VALUATION
TECHNIQUE*		   

UNOBSERVABLE

INPUT

    RANGE        WEIGHTED    
AVERAGE

Mortgage-Backed Securities -

Commercial Mortgage-Backed

    $45,035    Third-party Vendor    Vendor Prices    $0.49 - $3.17    $2.29

Mortgage-Backed Securities-Non Agency

    $35,124    Third-party Vendor    Vendor Prices    1.46    1.46

* The valuation technique employed on the Level 3 securities involves the use of vendor prices, broker quotes and benchmark pricing. The Adviser monitors the third-party brokers and vendors using the valuation process.

 

June 2020 / 13