| Arbitrage Fund | Portfolio of Investments |
| August 31, 2021 (unaudited) |
| Shares | Value | |||||||
| COMMON STOCKS - 83.69% | ||||||||
| Aerospace & Defense - 1.51% | ||||||||
| Aerojet Rocketdyne Holdings, Inc. | 595,012 | $ | 24,704,898 | |||||
| Auto Parts & Equipment - 0.38% | ||||||||
| Veoneer, Inc.(a)(b) | 171,162 | 6,127,600 | ||||||
| Banks - 1.00% | ||||||||
| Bank Norwegian ASA | 410,690 | 4,855,960 | ||||||
| Sbanken ASA(c) | 973,692 | 11,400,851 | ||||||
| 16,256,811 | ||||||||
| Biotechnology - 0.54% | ||||||||
| Translate Bio, Inc.(a) | 107,057 | 4,003,932 | ||||||
| Trillium Therapeutics, Inc.(a)(d) | 274,633 | 4,731,926 | ||||||
| 8,735,858 | ||||||||
| Chemicals - 5.75% | ||||||||
| Atotech Ltd.(a)(b) | 818,756 | 19,609,206 | ||||||
| Ferro Corp.(a) | 1,228,924 | 25,561,619 | ||||||
| W R Grace & Co.(b) | 699,107 | 48,685,812 | ||||||
| 93,856,637 | ||||||||
| Commercial Services - 7.74% | ||||||||
| Afterpay Ltd., ADR(a) | 85,696 | 8,340,363 | ||||||
| CAI International, Inc. | 440,374 | 24,647,733 | ||||||
| Europcar Mobility Group(a)(c) | 13,799,346 | 8,143,534 | ||||||
| IHS Markit Ltd. | 705,607 | 85,096,204 | ||||||
| 126,227,834 | ||||||||
| Computers & Computer Services - 0.25% | ||||||||
| Avast Plc(c) | 500,000 | 4,109,427 | ||||||
| Construction Materials - 0.92% | ||||||||
| Forterra, Inc.(a) | 654,034 | 15,068,943 | ||||||
| Electronics - 3.34% | ||||||||
| Coherent, Inc.(a) | 215,944 | 54,562,571 | ||||||
| Energy - Alternate Sources - 0.54% | ||||||||
| Solarpack Corp. Tecnologica SA(a) | 282,747 | 8,763,658 | ||||||
| Engineering & Construction - 1.79% | ||||||||
| Aegion Corp.(a)(e) | 692,403 | 21,049,051 | ||||||
| Akka Technologies(a) | 73,852 | 4,098,437 | ||||||
| Sydney Airport(a) | 696,046 | 4,058,263 | ||||||
| 29,205,751 | ||||||||
| Entertainment - 0.55% | ||||||||
| Golden Nugget Online Gaming, Inc.(a) | 417,424 | 9,016,358 | ||||||
| Environmental Control - 0.97% | ||||||||
| Covanta Holding Corp.(b) | 785,901 | 15,757,315 | ||||||
| Food - 0.67% | ||||||||
| Sanderson Farms, Inc. | 49,219 | 9,671,533 | ||||||
| Arbitrage Fund | Portfolio of Investments (Continued) |
| August 31, 2021 (unaudited) |
| Shares | Value | |||||||
| COMMON STOCKS - 83.69% (Continued) | ||||||||
| Food - 0.67% (Continued) | ||||||||
| Stryve Foods, Inc., Class A(a) | 171,198 | $ | 1,290,833 | |||||
| 10,962,366 | ||||||||
| Forest Products & Paper - 0.22% | ||||||||
| Domtar Corp.(a) | 64,205 | 3,520,360 | ||||||
| Healthcare - Services - 4.10% | ||||||||
| PPD, Inc.(a)(b) | 1,438,137 | 66,600,125 | ||||||
| UpHealth, Inc.(a) | 48,973 | 247,803 | ||||||
| 66,847,928 | ||||||||
| Insurance - 5.76% | ||||||||
| American National Group, Inc. | 21,741 | 4,185,142 | ||||||
| Athene Holding Ltd., Class A(a) | 57,345 | 3,840,395 | ||||||
| TOWER Ltd. | 8,008,907 | 3,950,434 | ||||||
| Willis Towers Watson Plc(b) | 371,136 | 81,917,138 | ||||||
| 93,893,109 | ||||||||
| Internet - 2.81% | ||||||||
| 51job, Inc., ADR(a)(b) | 167,255 | 12,845,184 | ||||||
| Score Media and Gaming, Inc., Class A(a) | 123,278 | 4,397,326 | ||||||
| Stamps.com, Inc.(a)(b) | 66,937 | 22,015,579 | ||||||
| zooplus AG(a) | 14,131 | 6,650,715 | ||||||
| 45,908,804 | ||||||||
| Machinery - Diversified - 3.01% | ||||||||
| Neles Oyj | 186,855 | 2,890,242 | ||||||
| Welbilt, Inc.(a)(b) | 1,977,228 | 46,267,135 | ||||||
| 49,157,377 | ||||||||
| Miscellaneous Manufacturing - 2.46% | ||||||||
| Lydall, Inc.(a)(b) | 381,906 | 23,670,534 | ||||||
| Raven Industries, Inc.(a)(b) | 281,333 | 16,415,781 | ||||||
| 40,086,315 | ||||||||
| Oil & Gas - 0.96% | ||||||||
| Cimarex Energy Co.(b) | 244,455 | 15,698,900 | ||||||
| Real Estate - 1.03% | ||||||||
| Deutsche Wohnen SE | 271,447 | 16,846,067 | ||||||
| Real Estate Investment Trusts - 6.29% | ||||||||
| MGM Growth Properties LLC, Class A | 199,271 | 8,261,776 | ||||||
| Monmouth Real Estate Investment Corp. | 1,094,140 | 20,766,777 | ||||||
| New Senior Investment Group, Inc.(b) | 1,368,199 | 11,944,377 | ||||||
| QTS Realty Trust, Inc., Class A(b) | 686,309 | 53,532,102 | ||||||
| WPT Industrial Real Estate Investment Trust | 373,283 | 8,122,638 | ||||||
| 102,627,670 | ||||||||
| Retail - 0.27% | ||||||||
| GrandVision N.V.(c) | 131,148 | 4,390,084 | ||||||
| Arbitrage Fund | Portfolio of Investments (Continued) |
| August 31, 2021 (unaudited) |
| Shares | Value | |||||||
| COMMON STOCKS - 83.69% (Continued) | ||||||||
| Semiconductors - 9.87% | ||||||||
| Analog Devices, Inc. | 481,416 | $ | 78,446,698 | |||||
| Dialog Semiconductor Plc(a) | 197,794 | 15,764,312 | ||||||
| DSP Group, Inc.(a) | 186,819 | 4,091,336 | ||||||
| Magnachip Semiconductor Corp.(a) | 680,675 | 12,422,319 | ||||||
| Xilinx, Inc.(b) | 323,595 | 50,348,146 | ||||||
| 161,072,811 | ||||||||
| Software - 15.39% | ||||||||
| Change Healthcare, Inc.(a) | 1,707,604 | 37,276,995 | ||||||
| Cornerstone OnDemand, Inc.(a)(b) | 282,272 | 16,174,186 | ||||||
| Five9, Inc.(a)(b) | 260,374 | 41,198,978 | ||||||
| Inovalon Holdings, Inc., Class A(a) | 302,131 | 12,342,051 | ||||||
| Kaleyra, Inc.(a) | 134,591 | 1,646,048 | ||||||
| Medallia, Inc.(a)(b) | 120,034 | 4,053,548 | ||||||
| MINDBODY, Inc., Class A(a)(e) | 843,793 | 30,798,445 | ||||||
| Nuance Communications, Inc.(a)(b) | 1,177,342 | 64,812,677 | ||||||
| Onemarket Ltd.(a)(e) | 111,800 | — | ||||||
| Pluralsight, Inc., Class A(a)(e) | 1,000,062 | 22,501,395 | ||||||
| QAD, Inc., Class A(b) | 232,603 | 20,238,787 | ||||||
| 251,043,110 | ||||||||
| Transportation - 4.61% | ||||||||
| Kansas City Southern | 268,118 | 75,252,679 | ||||||
| Water - 0.96% | ||||||||
| Suez SA | 674,971 | 15,660,506 | ||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $1,323,789,188) | 1,365,361,747 | |||||||
| RIGHTS(a) - 0.11% | ||||||||
| Bristol-Myers Squibb Co. CVR | 857,631 | 857,631 | ||||||
| CA Immobilien Anlagen AG CVR(e) | 221,534 | — | ||||||
| Contra Pfenex, Inc. CVR(e) | 1,108,177 | 907,043 | ||||||
| Elanco Animal Health, Inc. CVR(e) | 1,124,589 | — | ||||||
| Media General, Inc. CVR(e) | 613,589 | — | ||||||
| NewStar Financial, Inc. CVR(e) | 1,514,945 | — | ||||||
| TOTAL RIGHTS | ||||||||
| (Cost $2,045,233) | 1,764,674 | |||||||
| Maturity Date | Rate | Principal Amount | Value | |||||||||||
| CONVERTIBLE CORPORATE BONDS - 0.54% | ||||||||||||||
| Auto Manufacturers - 0.12% | ||||||||||||||
| Lightning eMotors, Inc.(c) | 05/15/2024 | 7.500 | % | $ | 2,596,000 | $ | 2,014,913 | |||||||
| Healthcare - Services - 0.19% | ||||||||||||||
| UpHealth, Inc.(c) | 06/15/2026 | 6.250 | % | 3,613,000 | 3,063,187 | |||||||||
| Arbitrage Fund | Portfolio of Investments (Continued) |
| August 31, 2021 (unaudited) |
| Maturity Date | Rate | Principal Amount | Value | |||||||||||
| CONVERTIBLE CORPORATE BONDS - 0.54% (Continued) | ||||||||||||||
| Software - 0.23% | ||||||||||||||
| Kaleyra, Inc.(c) | 06/01/2026 | 6.125 | % | $ | 3,525,000 | $ | 3,767,375 | |||||||
| TOTAL CONVERTIBLE CORPORATE BONDS | ||||||||||||||
| (Cost $9,736,131) | 8,845,475 | |||||||||||||
| Shares | Value | |||||||
| MUTUAL FUNDS - 4.51% | ||||||||
| Water Island Event-Driven Fund, Class I(f) | 6,605,365 | $ | 73,583,769 | |||||
| TOTAL MUTUAL FUNDS | ||||||||
| (Cost $60,632,644) | 73,583,769 | |||||||
| PRIVATE INVESTMENTS(a) - 0.06% | ||||||||
| Fast Capital LLC(e)(g) | 290,700 | 290,700 | ||||||
| Fuse LLC(e)(g) | 725,800 | 659,817 | ||||||
| Fuse Sponsor Capital, Z2 Shares(e)(g) | 72,580 | 65,982 | ||||||
| TOTAL PRIVATE INVESTMENTS | ||||||||
| (Cost $1,036,875) | 1,016,499 | |||||||
| WARRANTS(a) - 0.03% | ||||||||
| Auto Manufacturers - 0.03% | ||||||||
| Lightning eMotors, Inc., Exercise Price $11.50, Expires 05/18/2025 | 225,739 | 374,727 | ||||||
| Healthcare - Services - 0.00%(h) | ||||||||
| UpHealth, Inc., Exercise Price $11.50, Expires 07/01/2024 | 4,897 | 2,692 | ||||||
| TOTAL WARRANTS | ||||||||
| (Cost $0) | 377,419 | |||||||
| Expiration Date | Exercise Price | Notional Amount | Contracts | Value | ||||||||||||||
| PURCHASED OPTIONS(a) - 0.45% | ||||||||||||||||||
| Call Options Purchased - 0.45% | ||||||||||||||||||
| Aon Plc | 09/2021 | $ | 280.00 | $ | 115,030,860 | 4,010 | $ | 3,588,950 | ||||||||||
| Canadian National Railway Co. | ||||||||||||||||||
| 09/2021 | 105.00 | 19,103,112 | 1,624 | 2,135,560 | ||||||||||||||
| 09/2021 | 110.00 | 12,609,936 | 1,072 | 900,480 | ||||||||||||||
| Canadian Pacific Railway Ltd. | ||||||||||||||||||
| 09/2021 | 70.00 | 1,320,768 | 192 | 20,160 | ||||||||||||||
| 09/2021 | 72.00 | 7,959,003 | 1,157 | 101,238 | ||||||||||||||
| 09/2021 | 74.00 | 11,501,688 | 1,672 | 104,500 | ||||||||||||||
| 09/2021 | 75.00 | 7,319,256 | 1,064 | 37,240 | ||||||||||||||
| DraftKings, Inc. | 09/2021 | 60.00 | 4,517,898 | 762 | 143,637 | |||||||||||||
| Intersect ENT, Inc. | 09/2021 | 30.00 | 7,893,621 | 2,901 | 29,010 | |||||||||||||
| Penn National Gaming, Inc. | 09/2021 | 80.00 | 2,400,560 | 296 | 119,880 | |||||||||||||
| Trillium Therapeutics, Inc. | 12/2021 | 20.00 | 3,177,212 | 1,844 | 23,050 | |||||||||||||
| Arbitrage Fund | Portfolio of Investments (Continued) |
| August 31, 2021 (unaudited) |
| Expiration Date | Exercise Price | Notional Amount | Contracts | Value | ||||||||||||||
| PURCHASED OPTIONS(a) - 0.45% (Continued) | ||||||||||||||||||
| Call Options Purchased - 0.45% (Continued) | ||||||||||||||||||
| Zoom Video Communications, Inc. | 10/2021 | $ | 310.00 | $ | 3,502,950 | 121 | $ | 113,135 | ||||||||||
| TOTAL CALL OPTIONS PURCHASED | ||||||||||||||||||
| (Cost $4,719,295) | 7,316,840 | |||||||||||||||||
| TOTAL PURCHASED OPTIONS | ||||||||||||||||||
| (Cost $4,719,295) | 7,316,840 | |||||||||||||||||
| Yield | Shares | Value | ||||||||||
| SHORT-TERM INVESTMENTS - 7.60% | ||||||||||||
| Money Market Funds | ||||||||||||
| Morgan Stanley Institutional Liquidity Fund - Government Portfolio | 0.026 | %(i) | 61,983,281 | $ | 61,983,281 | |||||||
| State Street Institutional U.S. Government Money Market Fund, Premier Class | 0.069 | %(i) | 61,983,281 | 61,983,281 | ||||||||
| 123,966,562 | ||||||||||||
| TOTAL SHORT-TERM INVESTMENTS | ||||||||||||
| (Cost $123,966,562) | 123,966,562 | |||||||||||
| Total Investments - 96.99% | ||||||||||||
| (Cost $1,525,925,928) | 1,582,232,985 | |||||||||||
| Other Assets in Excess of Liabilities - 3.01%(j) | 49,164,817 | |||||||||||
| NET ASSETS - 100.00% | $ | 1,631,397,802 | ||||||||||
Portfolio Footnotes
| (a) | Non-income-producing security. |
| (b) | Security, or a portion of security, is being held as collateral for short sales or forward foreign currency exchange contracts. At August 31, 2021, the aggregate fair market value of those securities was $345,756,530, representing 21.19% of net assets. |
| (c) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of August 31, 2021, these securities had a total value of $36,889,371 or 2.26% of net assets. |
| (d) | Underlying security for a written/purchased call/put option. |
| (e) | Security fair valued using significant unobservable inputs and classified as a Level 3 security. As of August 31, 2021, the total fair market value of these securities was $76,272,433, representing 4.68% of net assets. |
| (f) | Affiliated investment. |
| (g) | Represents a holding that is a direct investment into a private company and is not a listed or publicly traded entity. |
| (h) | Less than 0.005% of net assets. |
| (i) | Rate shown is the 7-day effective yield as of August 31, 2021. |
| (j) | Includes cash held as collateral for short sales. |
| Arbitrage Fund | Portfolio of Investments (Continued) |
| August 31, 2021 (unaudited) |
| SCHEDULE OF SECURITIES SOLD SHORT | Shares | Value | ||||||
| COMMON STOCKS - (20.41%) | ||||||||
| Commercial Services - (0.53%) | ||||||||
| Square, Inc., Class A | (32,136 | ) | $ | (8,614,698 | ) | |||
| Diversified Financial Services - (0.19%) | ||||||||
| Apollo Global Management, Inc. | (51,398 | ) | (3,072,572 | ) | ||||
| Electronics - (0.76%) | ||||||||
| II-VI, Inc. | (196,509 | ) | (12,376,137 | ) | ||||
| Entertainment - (0.70%) | ||||||||
| DraftKings, Inc., Class A | (152,360 | ) | (9,033,425 | ) | ||||
| Penn National Gaming, Inc. | (29,562 | ) | (2,397,478 | ) | ||||
| (11,430,903 | ) | |||||||
| Insurance - (7.05%) | ||||||||
| Aon Plc, Class A | (400,835 | ) | (114,983,528 | ) | ||||
| Internet - (0.02%) | ||||||||
| NortonLifeLock, Inc. | (15,100 | ) | (401,056 | ) | ||||
| Machinery - Diversified - (0.15%) | ||||||||
| Valmet Oyj | (61,233 | ) | (2,455,338 | ) | ||||
| Real Estate Investment Trusts - (1.00%) | ||||||||
| Ventas, Inc. | (141,779 | ) | (7,931,117 | ) | ||||
| VICI Properties, Inc. | (272,204 | ) | (8,413,826 | ) | ||||
| (16,344,943 | ) | |||||||
| Semiconductors - (3.78%) | ||||||||
| Advanced Micro Devices, Inc. | (557,683 | ) | (61,746,662 | ) | ||||
| Software - (2.56%) | ||||||||
| Zoom Video Communications, Inc., Class A | (144,054 | ) | (41,703,633 | ) | ||||
| Transportation - (3.67%) | ||||||||
| Canadian National Railway Co. | (269,610 | ) | (31,714,224 | ) | ||||
| Canadian Pacific Railway Ltd. | (408,158 | ) | (28,077,189 | ) | ||||
| (59,791,413 | ) | |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Proceeds $322,065,458) | (332,920,883 | ) | ||||||
| TOTAL SECURITIES SOLD SHORT | ||||||||
| (Proceeds $322,065,458) | $ | (332,920,883 | ) | |||||
| Arbitrage Fund | Portfolio of Investments (Continued) |
| August 31, 2021 (unaudited) |
EQUITY SWAP CONTRACTS
| Swap Counterparty/ Payment Frequency | Reference Obligation | Rate
Paid/Received by the Fund | Termination Date | Upfront Payments Paid | Upfront Payments Received | Market Value | Notional Amount | Unrealized Appreciation | ||||||||||||||
| Goldman Sachs & Co./ Monthly | Gamesys Group Plc | Paid 1 Month GBP LIBOR Plus 75 bps (0.804%) | 03/29/2022 | $ | — | $ | — | $ | — | GBP | 7,750,827 | $ | — | |||||||||
| Goldman Sachs & Co./ Monthly | Arrow Global Group Plc | Paid 1 Month GBP LIBOR Plus 85 bps (0.904%) | 04/04/2022 | — | — | — | GBP | 4,538,780 | — | |||||||||||||
| Goldman Sachs & Co./ Monthly | Equiniti Group Plc | Paid 1 Month SONIA Plus 95 bps (1.000%) | 05/10/2022 | — | — | — | GBP | 5,463,742 | — | |||||||||||||
| Goldman Sachs & Co./ Monthly | John Laing Group Plc | Paid 1 Month SONIA Plus 49 bps (0.540%) | 05/19/2022 | — | — | — | GBP | 21,165,693 | — | |||||||||||||
| Goldman Sachs & Co./ Monthly | Spire Healthcare Group Plc | Paid 1 Month SONIA Plus 90 bps (0.950%) | 05/26/2022 | — | — | — | GBP | 5,730,642 | — | |||||||||||||
| Goldman Sachs & Co./ Monthly | Dialog Semiconductor Plc | Paid 1 Month EONIA Plus 50 bps (0.015%) | 06/11/2022 | — | — | 6,866 | EUR | 4,900,760 | 6,866 | |||||||||||||
| Goldman Sachs & Co./ Monthly | Wm Morrison Supermarkets Plc | Paid 1 Month SONIA Plus 47 bps (0.520%) | 07/08/2022 | — | — | — | GBP | 7,495,622 | — | |||||||||||||
| Goldman Sachs & Co./ Monthly | GCP Student Living Plc | Paid 1 Month SONIA Plus 47 bps (0.520%) | 07/20/2022 | — | — | — | GBP | 3,513,830 | — | |||||||||||||
| Goldman Sachs & Co./ Monthly | Iliad SA | Paid 1 Month-EUR LIBOR plus 45 bps (1.000%) | 08/03/2022 | — | — | — | EUR | 5,451,810 | — | |||||||||||||
| Goldman Sachs & Co./ Monthly | Stock Spirits Group Plc | Paid 1 Month SONIA Plus 70 bps (0.750%) | 08/17/2022 | — | — | — | GBP | 5,428,509 | — | |||||||||||||
| Goldman Sachs & Co./ Monthly | Ultra Electronics Holdings Plc | Paid 1 Month SONIA Plus 60 bps (0.650%) | 08/18/2022 | — | — | — | GBP | 2,859,674 | — | |||||||||||||
| Arbitrage Fund | Portfolio of Investments (Continued) |
| August 31, 2021 (unaudited) |
| Swap Counterparty/ Payment Frequency | Reference Obligation | Rate
Paid/Received by the Fund | Termination Date | Upfront Payments Paid | Upfront Payments Received | Market Value | Notional Amount | Unrealized Appreciation | ||||||||||||||
| Goldman Sachs & Co./ Monthly | Sanne Group Plc | Paid 1 Month SONIA Plus 45 bps (0.500%) | 08/31/2022 | $ | — | $ | — | $ | — | GBP | 5,774,565 | $ | — | |||||||||
| Morgan Stanley & Co./ Monthly | Analog Devices, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 08/11/2023 | — | — | — | USD | 78,446,737 | — | |||||||||||||
| Morgan Stanley & Co./ Monthly | Apollo Global Management, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 08/11/2023 | — | — | — | USD | 866,332 | — | |||||||||||||
| Morgan Stanley & Co./ Monthly | Cabot Oil & Gas Corp. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 08/11/2023 | — | — | — | USD | 15,594,271 | — | |||||||||||||
| Morgan Stanley & Co./ Monthly | iShares MSCI Australia ETF | Received 1 Month-Federal Rate Minus 63 bps (-0.320%) | 08/11/2023 | — | — | — | USD | 1,467,668 | — | |||||||||||||
| Morgan Stanley & Co./ Monthly | iShares Russell 2000 ETF | Received 1 Month-Federal Rate Minus 78 bps (-0.770%) | 08/11/2023 | — | — | — | USD | 3,544,685 | — | |||||||||||||
| Morgan Stanley & Co./ Monthly | MKS Instruments, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 08/11/2023 | — | — | — | USD | 6,651,653 | — | |||||||||||||
| Morgan Stanley & Co./ Monthly | S&P Global, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 08/11/2023 | — | — | — | USD | 88,875,399 | — | |||||||||||||
| Morgan Stanley & Co./ Monthly | Ventas, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 08/11/2023 | — | — | — | USD | 4,012,632 | — | |||||||||||||
| $ | 6,866 | $ | 6,866 | |||||||||||||||||||
| Arbitrage Fund | Portfolio of Investments (Continued) |
| August 31, 2021 (unaudited) |
| Swap Counterparty/ Payment Frequency | Reference Obligation | Rate Paid/Received by the Fund | Termination Date | Upfront Payments Paid | Upfront Payments Received | Market Value | Notional Amount | Unrealized Depreciation | ||||||||||||||
| Goldman Sachs & Co./ Monthly | Meggitt Plc | Paid 1 Month SONIA Plus 55 bps (0.600%) | 08/22/2022 | $ | — | $ | — | $ | (107 | ) | GBP | 5,013,097 | $ | (107 | ) | |||||||
| $ | (107 | ) | $ | (107 | ) | |||||||||||||||||
| Arbitrage Fund | Portfolio of Investments (Continued) |
| August 31, 2021 (unaudited) |
OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||||||
| AUD | 62,600 | USD | 44,778 | Morgan Stanley & Co. | 09/15/2021 | $ | 1,020 | |||||||||
| USD | 4,022,631 | AUD | 5,491,800 | Morgan Stanley & Co. | 09/15/2021 | 4,802 | ||||||||||
| EUR | 15,949,800 | USD | 18,778,041 | Morgan Stanley & Co. | 09/15/2021 | 59,380 | ||||||||||
| USD | 137,338,498 | EUR | 113,079,700 | Morgan Stanley & Co. | 09/15/2021 | 3,786,352 | ||||||||||
| USD | 12,716,205 | NOK | 104,897,900 | Morgan Stanley & Co. | 09/15/2021 | 650,648 | ||||||||||
| NZD | 120,200 | USD | 82,271 | Goldman Sachs & Co. | 09/15/2021 | 2,428 | ||||||||||
| NZD | 1,481,400 | USD | 1,033,770 | Morgan Stanley & Co. | 09/15/2021 | 10,099 | ||||||||||
| USD | 4,524,965 | NZD | 6,287,000 | Morgan Stanley & Co. | 09/15/2021 | 94,829 | ||||||||||
| USD | 1,277,094 | SEK | 10,978,800 | Morgan Stanley & Co. | 09/15/2021 | 4,724 | ||||||||||
| $ | 4,614,282 | |||||||||||||||
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Depreciation | ||||||||||||
| AUD | 139,200 | USD | 102,719 | Morgan Stanley & Co. | 09/15/2021 | $ | (878 | ) | ||||||||
| USD | 152,056 | AUD | 208,800 | Morgan Stanley & Co. | 09/15/2021 | (703 | ) | |||||||||
| CAD | 25,169,600 | USD | 19,961,208 | Morgan Stanley & Co. | 09/15/2021 | (11,968 | ) | |||||||||
| USD | 19,577,362 | CAD | 25,169,600 | Morgan Stanley & Co. | 09/15/2021 | (371,878 | ) | |||||||||
| EUR | 36,658,500 | USD | 43,797,348 | Morgan Stanley & Co. | 09/15/2021 | (502,033 | ) | |||||||||
| USD | 2,329,936 | EUR | 1,993,300 | Goldman Sachs & Co. | 09/15/2021 | (24,240 | ) | |||||||||
| USD | 6,483,432 | EUR | 5,501,300 | Morgan Stanley & Co. | 09/15/2021 | (13,848 | ) | |||||||||
| USD | 4,918,680 | NOK | 43,122,400 | Morgan Stanley & Co. | 09/15/2021 | (41,341 | ) | |||||||||
| NZD | 280,300 | USD | 199,777 | Morgan Stanley & Co. | 09/15/2021 | (2,264 | ) | |||||||||
| USD | 839,249 | NZD | 1,201,100 | Morgan Stanley & Co. | 09/15/2021 | (7,103 | ) | |||||||||
| SEK | 10,978,800 | USD | 1,274,188 | Morgan Stanley & Co. | 09/15/2021 | (1,819 | ) | |||||||||
| $ | (978,075 | ) | ||||||||||||||
| Arbitrage Fund | Portfolio of Investments |
| August 31, 2021 (unaudited) |
The following is a summary of investments classified by country exposure:
| Country | % of Net Assets(a) | |||
| United Kingdom | 12.41 | % | ||
| France | 1.46 | % | ||
| Germany | 1.44 | % | ||
| Canada | 1.06 | % | ||
| Norway | 1.00 | % | ||
| China | 0.78 | % | ||
| Republic of Korea | 0.76 | % | ||
| Australia | 0.76 | % | ||
| Spain | 0.54 | % | ||
| Sweden | 0.38 | % | ||
| Netherlands | 0.27 | % | ||
| Czech Republic | 0.25 | % | ||
| Belgium | 0.25 | % | ||
| New Zealand | 0.24 | % | ||
| Bermuda | 0.24 | % | ||
| Finland | 0.18 | % | ||
| Italy | 0.10 | % | ||
| Austria | 0.00 | %(b) | ||
| United States | 74.87 | % | ||
| Other Assets in Excess of Liabilities | 3.01 | % | ||
| 100.00 | % | |||
| (a) | These percentages represent long positions only and are not net of short positions. |
| (b) | Less than 0.005% of net assets. |
Abbreviations:
ADR - American Depositary Receipt
AG - Aktiengesellschaft is a German term that refers to a corporation that is limited by shares, i.e., owned by shareholders.
ASA - Allmennaksjeselskap is the Norwegian term for public limited company.
AUD - Australian dollar
bps - Basis Points. 100 Basis Points is equal to 1 percentage point.
CAD - Canadian dollar
CVR - Contingent Value Rights
EONIA - Euro OverNight Index Average
ETF - Exchange-Traded Fund
EUR - Euro
EUR LIBOR - London Interbank Offered Rate denominated in Euro
GBP - British pound
GBP LIBOR - London Interbank Offered Rate denominated in British Pounds
LLC - Limited Liability Company
Ltd. - Limited
NOK - Norwegian krone
N.V. - Naamloze Vennootschap is the Dutch term for a public limited liability corporation.
NZD - New Zealand dollar
Oyj - Osakeyhtio is the Finnish equivalent of a public limited company.
Plc - Public Limited Company
SA - Generally designates corporations in various countries, mostly those employing civil law. This translates literally in all languages mentioned as anonymous company.
SE - SE Regulation. A European Company which can operate on a Europe-wide basis and be governed by Community law directly applicable in all Member States
SEK - Swedish krona
SONIA - Sterling OverNight Index Average
S&P - Standard & Poor's
USD - United States Dollar
Arbitrage Fund
| Affiliated Issuer | Beginning Value as of May 31, 2021 | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ Depreciation | Ending Value as of August 31, 2021 | Shares as of August 31, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
| Water Island Event-Driven Fund | $ | 75,829,593 | $ | - | $ | - | $ | - | $ | (2,245,824 | ) | $ | 73,583,769 | 6,605,365 | $ | - | $ | - | ||||||||||||||||||
| Arbitrage Fund | Portfolio of Investments |
| August 31, 2021 (unaudited) |
| Investments in Securities at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Assets | ||||||||||||||||
| Common Stocks | ||||||||||||||||
| Aerospace & Defense | $ | 24,704,898 | $ | — | $ | — | $ | 24,704,898 | ||||||||
| Auto Parts & Equipment | 6,127,600 | — | — | 6,127,600 | ||||||||||||
| Banks | 16,256,811 | — | — | 16,256,811 | ||||||||||||
| Biotechnology | 8,735,858 | — | — | 8,735,858 | ||||||||||||
| Chemicals | 93,856,637 | — | — | 93,856,637 | ||||||||||||
| Commercial Services | 126,227,834 | — | — | 126,227,834 | ||||||||||||
| Computers & Computer Services | 4,109,427 | — | — | 4,109,427 | ||||||||||||
| Construction Materials | 15,068,943 | — | — | 15,068,943 | ||||||||||||
| Electronics | 54,562,571 | — | — | 54,562,571 | ||||||||||||
| Energy - Alternate Sources | 8,763,658 | — | — | 8,763,658 | ||||||||||||
| Engineering & Construction | 8,156,700 | — | 21,049,051 | 29,205,751 | ||||||||||||
| Entertainment | 9,016,358 | — | — | 9,016,358 | ||||||||||||
| Environmental Control | 15,757,315 | — | — | 15,757,315 | ||||||||||||
| Food | 10,962,366 | — | — | 10,962,366 | ||||||||||||
| Forest Products & Paper | 3,520,360 | — | — | 3,520,360 | ||||||||||||
| Healthcare - Services | 66,847,928 | — | — | 66,847,928 | ||||||||||||
| Insurance | 93,893,109 | — | — | 93,893,109 | ||||||||||||
| Internet | 45,908,804 | — | — | 45,908,804 | ||||||||||||
| Machinery - Diversified | 49,157,377 | — | — | 49,157,377 | ||||||||||||
| Miscellaneous Manufacturing | 40,086,315 | — | — | 40,086,315 | ||||||||||||
| Oil & Gas | 15,698,900 | — | — | 15,698,900 | ||||||||||||
| Real Estate | 16,846,067 | — | — | 16,846,067 | ||||||||||||
| Real Estate Investment Trusts | 49,095,568 | 53,532,102 | — | 102,627,670 | ||||||||||||
| Retail | 4,390,084 | — | — | 4,390,084 | ||||||||||||
| Semiconductors | 145,308,499 | 15,764,312 | — | 161,072,811 | ||||||||||||
| Software | 197,743,270 | — | 53,299,840 | 251,043,110 | ||||||||||||
| Transportation | 75,252,679 | — | — | 75,252,679 | ||||||||||||
| Water | 15,660,506 | — | — | 15,660,506 | ||||||||||||
| Rights | — | 857,631 | 907,043 | 1,764,674 | ||||||||||||
| Convertible Corporate Bonds* | — | 8,845,475 | — | 8,845,475 | ||||||||||||
| Mutual Funds | 73,583,769 | — | — | 73,583,769 | ||||||||||||
| Private Investments | — | — | 1,016,499 | 1,016,499 | ||||||||||||
| Warrants | 377,419 | — | — | 377,419 | ||||||||||||
| Purchased Options | 7,316,840 | — | — | 7,316,840 | ||||||||||||
| Short-Term Investments | 123,966,562 | — | — | 123,966,562 | ||||||||||||
| TOTAL | $ | 1,426,961,032 | $ | 78,999,520 | $ | 76,272,433 | $ | 1,582,232,985 | ||||||||
| Other Financial Instruments** | ||||||||||||||||
| Assets | ||||||||||||||||
| Forward Foreign Currency Exchange Contracts | $ | — | $ | 4,614,282 | $ | — | $ | 4,614,282 | ||||||||
| Equity Swaps | 6,866 | — | — | 6,866 | ||||||||||||
| Liabilities | ||||||||||||||||
| Common Stocks* | (332,920,883 | ) | — | — | (332,920,883 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts | — | (978,075 | ) | — | (978,075 | ) | ||||||||||
| Equity Swaps | (107 | ) | — | — | (107 | ) | ||||||||||
| TOTAL | $ | (332,914,124 | ) | $ | 3,636,207 | $ | — | $ | (329,277,917 | ) | ||||||
| * | Refer to Portfolio of Investments for sector information. |
| ** | Other financial instruments are instruments such as securities sold short, equity swaps and forward foreign currency exchange contracts. |
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund’s assets and liabilities during the period ended August 31, 2021:
| Investments in Securities | Balance
as of May 31, 2021 | Realized
Gain (Loss) | Change
in Unrealized Appreciation (Depreciation) | Purchases | Sales Proceeds | Transfers
into Level 3 | Transfers
out of Level 3 | Balance
as of August 31, 2021 | Net
change in Unrealized Appreciation (Depreciation) from investments still held as of August 31, 2021 | |||||||||||||||||||||||||||
| Common Stocks | $ | 85,217,245 | $ | 528,980 | $ | (253,584 | ) | $ | - | $ | (11,143,750 | ) | $ | - | $ | - | $ | 74,348,891 | $ | 276,961 | ||||||||||||||||
| Rights | 1,135,875 | 464,602 | 1 | - | (693,435 | ) | - | - | 907,043 | 22,053 | ||||||||||||||||||||||||||
| Convertible Corporate Bonds | 6,433,715 | - | 328,097 | - | - | - | (6,761,812 | ) | - | - | ||||||||||||||||||||||||||
| Private Investments | 1,016,499 | - | (3,390 | ) | 3,390 | - | - | - | 1,016,499 | (3,390 | ) | |||||||||||||||||||||||||
| Total | $ | 93,803,334 | $ | 993,582 | $ | 71,124 | $ | 3,390 | $ | (11,837,185 | ) | $ | - | $ | (6,761,812 | ) | $ | 76,272,433 | $ | 295,624 | ||||||||||||||||
| Water Island Event-Driven Fund | Portfolio of Investments |
| August 31, 2021 (unaudited) |
| Shares | Value | |||||||
| COMMON STOCKS - 90.80% | ||||||||
| Aerospace & Defense - 2.28% | ||||||||
| Aerojet Rocketdyne Holdings, Inc. | 71,960 | $ | 2,987,779 | |||||
| Auto Parts & Equipment - 0.43% | ||||||||
| Veoneer, Inc.(a)(b) | 15,862 | 567,860 | ||||||
| Biotechnology - 0.58% | ||||||||
| Translate Bio, Inc.(a) | 9,975 | 373,065 | ||||||
| Trillium Therapeutics, Inc.(a)(c) | 22,111 | 380,972 | ||||||
| 754,037 | ||||||||
| Chemicals - 2.60% | ||||||||
| Ferro Corp.(a)(b) | 125,292 | 2,606,073 | ||||||
| Recticel SA | 45,589 | 800,979 | ||||||
| 3,407,052 | ||||||||
| Commercial Services - 9.05% | ||||||||
| Afterpay Ltd., ADR(a)(b) | 6,899 | 671,445 | ||||||
| CAI International, Inc. | 44,798 | 2,507,344 | ||||||
| IHS Markit Ltd.(b) | 71,806 | 8,659,804 | ||||||
| 11,838,593 | ||||||||
| Construction Materials - 0.93% | ||||||||
| Forterra, Inc.(a) | 53,067 | 1,222,664 | ||||||
| Electronics - 4.40% | ||||||||
| Coherent, Inc.(a)(b) | 22,805 | 5,762,139 | ||||||
| Engineering & Construction - 1.47% | ||||||||
| Aegion Corp.(a)(d) | 49,381 | 1,501,182 | ||||||
| Sydney Airport(a) | 71,874 | 419,058 | ||||||
| 1,920,240 | ||||||||
| Entertainment - 0.18% | ||||||||
| Cineplex, Inc.(a) | 23,133 | 240,929 | ||||||
| Environmental Control - 1.23% | ||||||||
| Covanta Holding Corp.(b) | 79,961 | 1,603,218 | ||||||
| Food - 0.85% | ||||||||
| Sanderson Farms, Inc.(b) | 4,555 | 895,058 | ||||||
| Stryve Foods, Inc., Class A(a) | 29,191 | 220,100 | ||||||
| 1,115,158 | ||||||||
| Healthcare - Services - 4.10% | ||||||||
| PPD, Inc.(a)(b) | 114,817 | 5,317,175 | ||||||
| UpHealth, Inc.(a) | 8,340 | 42,201 | ||||||
| 5,359,376 | ||||||||
| Insurance - 6.46% | ||||||||
| Hartford Financial Services Group, Inc. (The)(b) | 5,343 | 359,156 | ||||||
| Willis Towers Watson Plc | 36,658 | 8,091,154 | ||||||
| 8,450,310 | ||||||||
| Water Island Event-Driven Fund | Portfolio of Investments (Continued) |
| August 31, 2021 (unaudited) |
| Shares | Value | |||||||
| COMMON STOCKS - 90.80% (Continued) | ||||||||
| Internet - 3.40% | ||||||||
| 51job, Inc., ADR(a)(b) | 17,084 | $ | 1,312,051 | |||||
| Just Eat Takeaway.com N.V.(a)(e) | 7,623 | 690,546 | ||||||
| Score Media and Gaming, Inc., Class A(a)(b) | 11,487 | 409,741 | ||||||
| Stamps.com, Inc.(a)(b) | 6,207 | 2,041,483 | ||||||
| 4,453,821 | ||||||||
| Lodging - 0.18% | ||||||||
| Crown Resorts Ltd.(a) | 33,674 | 229,344 | ||||||
| Machinery - Diversified - 3.05% | ||||||||
| Neles Oyj | 15,045 | 232,714 | ||||||
| Welbilt, Inc.(a)(b) | 160,838 | 3,763,609 | ||||||
| 3,996,323 | ||||||||
| Miscellaneous Manufacturing - 3.12% | ||||||||
| Lydall, Inc.(a)(b) | 38,936 | 2,413,253 | ||||||
| Raven Industries, Inc.(a)(b) | 28,677 | 1,673,303 | ||||||
| 4,086,556 | ||||||||
| Oil & Gas - 1.29% | ||||||||
| Cimarex Energy Co.(b) | 26,258 | 1,686,289 | ||||||
| Real Estate - 1.03% | ||||||||
| Deutsche Wohnen SE | 21,807 | 1,353,348 | ||||||
| Real Estate Investment Trusts - 4.89% | ||||||||
| MGM Growth Properties LLC, Class A(b) | 10,172 | 421,731 | ||||||
| Monmouth Real Estate Investment Corp. | 115,489 | 2,191,981 | ||||||
| QTS Realty Trust, Inc., Class A(b) | 48,518 | 3,784,404 | ||||||
| 6,398,116 | ||||||||
| Semiconductors - 14.25% | ||||||||
| Analog Devices, Inc. | 48,994 | 7,983,649 | ||||||
| Dialog Semiconductor Plc(a) | 21,600 | 1,721,534 | ||||||
| DSP Group, Inc.(a) | 17,266 | 378,125 | ||||||
| Magnachip Semiconductor Corp.(a) | 68,775 | 1,255,144 | ||||||
| Xilinx, Inc.(b) | 46,952 | 7,305,262 | ||||||
| 18,643,714 | ||||||||
| Software - 17.07% | ||||||||
| Change Healthcare, Inc.(a)(b) | 238,624 | 5,209,162 | ||||||
| Cornerstone OnDemand, Inc.(a)(b) | 26,298 | 1,506,875 | ||||||
| Five9, Inc.(a)(b) | 26,146 | 4,137,082 | ||||||
| Inovalon Holdings, Inc., Class A(a) | 27,923 | 1,140,655 | ||||||
| Kaleyra, Inc.(a) | 22,292 | 272,631 | ||||||
| Medallia, Inc.(a) | 11,184 | 377,684 | ||||||
| MINDBODY, Inc., Class A(a)(d) | 48,463 | 1,768,899 | ||||||
| Nuance Communications, Inc.(a)(b) | 108,712 | 5,984,596 | ||||||
| Pluralsight, Inc., Class A(a)(d) | 85,955 | 1,933,987 | ||||||
| 22,331,571 | ||||||||
| Water Island Event-Driven Fund | Portfolio of Investments |
| August 31, 2021 (unaudited) |
| Share | Value | |||||||
| COMMON STOCKS - 90.80% (Continued) | ||||||||
| Special Purpose Acquisition Companies - 0.31% | ||||||||
| Bull Horn Holdings Corp.(a) | 40,295 | $ | 405,368 | |||||
| Transportation - 6.46% | ||||||||
| Kansas City Southern(b) | 30,136 | 8,458,271 | ||||||
| Water - 1.19% | ||||||||
| Suez SA | 66,922 | 1,552,707 | ||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $116,199,322) | 118,824,783 | |||||||
| RIGHTS(a) - 0.05% | ||||||||
| Bristol-Myers Squibb Co. CVR | 67,803 | 67,803 | ||||||
| CA Immobilien Anlagen AG CVR(d) | 18,714 | — | ||||||
| TOTAL RIGHTS | ||||||||
| (Cost $110,781) | 67,803 | |||||||
| Maturity Date |
Rate | Principal Amount |
Value | |||||||||||
| CORPORATE BONDS - 1.02% | ||||||||||||||
| Telecommunications - 1.02% | ||||||||||||||
| Cincinnati Bell, Inc.(e) | 07/15/2024 | 7.000 | % | $ | 1,305,000 | $ | 1,329,469 | |||||||
| TOTAL CORPORATE BONDS | ||||||||||||||
| (Cost $1,349,720) | 1,329,469 | |||||||||||||
| CONVERTIBLE CORPORATE BONDS - 2.53% | ||||||||||||||
| Auto Manufacturers - 0.24% | ||||||||||||||
| Lightning eMotors, Inc.(e) | 05/15/2024 | 7.500 | % | 403,000 | 312,793 | |||||||||
| Entertainment - 0.31% | ||||||||||||||
| Cineplex, Inc.(e) | 09/30/2025 | 5.750 | % | 392,000 | 408,576 | |||||||||
| Healthcare - Services - 0.40% | ||||||||||||||
| UpHealth, Inc.(e) | 06/15/2026 | 6.250 | % | 616,000 | 522,259 | |||||||||
| Pharmaceuticals - 1.10% | ||||||||||||||
| Dermira, Inc. | 05/15/2022 | 3.000 | % | 1,430,000 | 1,444,300 | |||||||||
| Software - 0.48% | ||||||||||||||
| Kaleyra, Inc.(e) | 06/01/2026 | 6.125 | % | 584,000 | 624,155 | |||||||||
| TOTAL CONVERTIBLE CORPORATE BONDS | ||||||||||||||
| (Cost $3,306,393) | 3,312,083 | |||||||||||||
| Shares | Value | |||||||
| WARRANTS(a) - 0.04% | ||||||||
| Auto Manufacturers - 0.04% | ||||||||
| Lightning eMotors, Inc., Exercise Price $11.50, Expires 05/18/2025 | 35,043 | $ | 58,171 | |||||
| Water Island Event-Driven Fund | Portfolio of Investments (Continued) |
| August 31, 2021 (unaudited) |
| Shares | Value | |||||||
| WARRANTS(a) - 0.04% (Continued) | ||||||||
| Healthcare - Services - 0.00%(f) | ||||||||
| UpHealth, Inc., Exercise Price $11.50, Expires 07/01/2024 | 834 | $ | 458 | |||||
| TOTAL WARRANTS | ||||||||
| (Cost $0) | 58,629 | |||||||
| PRIVATE INVESTMENTS(a) - 0.06% | ||||||||
| Fast Capital LLC(d)(g) | 22,800 | 22,800 | ||||||
| Fuse LLC(d)(g) | 56,600 | 51,455 | ||||||
| Fuse Sponsor Capital, Z2 Shares(d)(g) | 5,660 | 5,145 | ||||||
| TOTAL PRIVATE INVESTMENTS | ||||||||
| (Cost $80,993) | 79,400 | |||||||
| Expiration Date |
Exercise Price |
Notional Amount |
Contracts | Value | |||||||||||||||
| PURCHASED OPTIONS(a) - 0.58% | |||||||||||||||||||
| Call Options Purchased - 0.58% | |||||||||||||||||||
| Aon Plc | 09/2021 | $ | 280.00 | $ | 11,359,656 | 396 | $ | 354,420 | |||||||||||
| Canadian National Railway Co. | |||||||||||||||||||
| 09/2021 | 105.00 | 2,199,681 | 187 | 245,905 | |||||||||||||||
| 09/2021 | 110.00 | 1,458,612 | 124 | 104,160 | |||||||||||||||
| Canadian Pacific Railway Ltd. | |||||||||||||||||||
| 09/2021 | 70.00 | 151,338 | 22 | 2,310 | |||||||||||||||
| 09/2021 | 72.00 | 894,270 | 130 | 11,375 | |||||||||||||||
| 09/2021 | 74.00 | 1,327,647 | 193 | 12,063 | |||||||||||||||
| 09/2021 | 75.00 | 846,117 | 123 | 4,305 | |||||||||||||||
| Intersect ENT, Inc. | 09/2021 | 30.00 | 731,949 | 269 | 2,690 | ||||||||||||||
| Penn National Gaming, Inc. | 09/2021 | 80.00 | 227,080 | 28 | 11,340 | ||||||||||||||
| Trillium Therapeutics, Inc. | 12/2021 | 20.00 | 255,004 | 148 | 1,850 | ||||||||||||||
| Zoom Video Communications, Inc. | 10/2021 | 310.00 | 347,400 | 12 | 11,220 | ||||||||||||||
| TOTAL CALL OPTIONS PURCHASED | |||||||||||||||||||
| (Cost $491,336) | 761,638 | ||||||||||||||||||
| TOTAL PURCHASED OPTIONS | |||||||||||||||||||
| (Cost $491,336) | 761,638 | ||||||||||||||||||
| Yield | Shares | Value | ||||||||||
| SHORT-TERM INVESTMENTS - 2.92% | ||||||||||||
| Money Market Funds | ||||||||||||
| Morgan Stanley Institutional Liquidity Fund - Government Portfolio | 0.026 | %(h) | 1,908,257 | $ | 1,908,257 | |||||||
| State Street Institutional U.S. Government Money Market Fund, Premier Class | 0.069 | %(h) | 1,908,256 | 1,908,256 | ||||||||
| 3,816,513 | ||||||||||||
| TOTAL SHORT-TERM INVESTMENTS | ||||||||||||
| (Cost $3,816,513) | 3,816,513 | |||||||||||
| Total Investments - 98.00% | ||||||||||||
| (Cost $125,355,058) | $ | 128,250,318 | ||||||||||
| Other Assets in Excess of Liabilities - 2.00%(i) | 2,614,715 | |||||||||||
| NET ASSETS - 100.00% | $ | 130,865,033 |
Portfolio Footnotes
| (a) | Non-income-producing security. |
| (b) | Security, or a portion of security, is being held as collateral for short sales or forward foreign currency exchange contracts. At August 31, 2021, the aggregate fair market value of those securities was $56,338,277, representing 43.05% of net assets. |
| (c) | Underlying security for a written/purchased call/put option. |
| (d) | Security fair valued using significant unobservable inputs and classified as a Level 3 security. As of August 31, 2021, the total fair market value of these securities was $5,283,468, representing 4.04% of net assets. |
| (e) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of August 31, 2021, these securities had a total value of $3,887,798 or 2.97% of net assets. |
| (f) | Less than 0.005% of net assets. |
| (g) | Represents a holding that is a direct investment into a private company and is not a listed or publicly traded entity. |
| (h) | Rate shown is the 7-day effective yield as of August 31, 2021. |
| (i) | Includes cash held as collateral for short sales. |
| Water Island Event-Driven Fund | Portfolio of Investments (Continued) |
| August 31, 2021 (unaudited) |
| SCHEDULE OF SECURITIES SOLD SHORT | Shares | Value | ||||||
| COMMON STOCKS - (26.25%) | ||||||||
| Commercial Services - (0.53%) | ||||||||
| Square, Inc., Class A | (2,587 | ) | $ | (693,497 | ) | |||
| Electronics - (1.00%) | ||||||||
| II-VI, Inc. | (20,753 | ) | (1,307,024 | ) | ||||
| Entertainment - (0.17%) | ||||||||
| Penn National Gaming, Inc. | (2,755 | ) | (223,431 | ) | ||||
| Insurance - (8.68%) | ||||||||
| Aon Plc, Class A | (39,591 | ) | (11,357,074 | ) | ||||
| Machinery - Diversified - (0.15%) | ||||||||
| Valmet Oyj | (4,930 | ) | (197,685 | ) | ||||
| Real Estate Investment Trusts - (0.33%) | ||||||||
| VICI Properties, Inc. | (13,895 | ) | (429,494 | ) | ||||
| Semiconductors - (6.84%) | ||||||||
| Advanced Micro Devices, Inc. | (80,917 | ) | (8,959,130 | ) | ||||
| Software - (3.20%) | ||||||||
| Zoom Video Communications, Inc., Class A | (14,466 | ) | (4,187,907 | ) | ||||
| Telecommunications - (0.14%) | ||||||||
| Cincinnati Bell, Inc. | (12,017 | ) | (186,143 | ) | ||||
| Transportation - (5.21%) | ||||||||
| Canadian National Railway Co. | (31,109 | ) | (3,659,352 | ) | ||||
| Canadian Pacific Railway Ltd. | (45,876 | ) | (3,155,810 | ) | ||||
| (6,815,162 | ) | |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Proceeds $32,928,504) | (34,356,547 | ) | ||||||
| TOTAL SECURITIES SOLD SHORT | ||||||||
| (Proceeds $32,928,504) | $ | (34,356,547 | ) | |||||
| Water Island Event-Driven Fund | Portfolio of Investments (Continued) |
| August 31, 2021 (unaudited) |
EQUITY SWAP CONTRACTS
| Swap Counterparty/ Payment Frequency | Reference Obligation | Rate Paid/Received by the Fund | Termination Date | Upfront Payments Paid | Upfront Payments Received | Market Value | Notional Amount | Unrealized Appreciation | ||||||||||||||
| Goldman Sachs & Co./ Monthly | Equiniti Group Plc | Paid 1 Month SONIA Plus 95 bps (1.000%) | 03/10/2022 | $ | — | $ | — | $ | — | GBP | 448,575 | $ | — | |||||||||
| Goldman Sachs & Co./ Monthly | Gamesys Group Plc | Paid 1 Month GBP LIBOR Plus 75 bps (0.804%) | 04/05/2022 | — | — | — | GBP | 437,247 | — | |||||||||||||
| Goldman Sachs & Co./ Monthly | John Laing Group Plc | Paid 1 Month SONIA Plus 49 bps (0.540%) | 05/24/2022 | — | — | — | GBP | 699,672 | — | |||||||||||||
| Goldman Sachs & Co./ Monthly | Spire Healthcare Group Plc | Paid 1 Month SONIA Plus 90 bps (0.950%) | 05/30/2022 | — | — | — | GBP | 461,695 | — | |||||||||||||
| Goldman Sachs & Co./ Monthly | Dialog Semiconductor Plc | Paid 1 Month EONIA Plus 50 bps (0.015%) | 06/11/2022 | — | — | 67 | EUR | 48,003 | 67 | |||||||||||||
| Goldman Sachs & Co./ Monthly | Sanne Group Plc | Paid 1 Month SONIA Plus 45 bps (0.500%) | 06/16/2022 | — | — | — | GBP | 464,675 | — | |||||||||||||
| Goldman Sachs & Co./ Monthly | Wm Morrison Supermarkets Plc | Paid 1 Month SONIA Plus 47 bps (0.520%) | 07/08/2022 | — | — | — | GBP | 754,397 | — | |||||||||||||
| Goldman Sachs & Co./ Monthly | GCP Student Living Plc | Paid 1 Month SONIA Plus 47 bps (0.520%) | 07/20/2022 | — | — | — | GBP | 285,000 | — | |||||||||||||
| Morgan Stanley & Co./ Monthly | Gamesys Group Plc | Paid 1 Month SONIA Plus 94 bps (0.950%) | 11/04/2022 | — | — | — | GBP | 226,917 | — | |||||||||||||
| Morgan Stanley & Co./ Monthly | Analog Devices, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 08/18/2023 | — | — | — | USD | 7,983,735 | — | |||||||||||||
| Morgan Stanley & Co./ Monthly | Cabot Oil & Gas Corp. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 08/18/2023 | — | — | — | USD | 1,675,044 | — | |||||||||||||
| Morgan Stanley & Co./ Monthly | iShares Russell 2000 ETF | Received 1 Month-Federal Rate Minus 78 bps (-0.700%) | 08/18/2023 | — | — | — | USD | 541,756 | — | |||||||||||||
| Morgan Stanley & Co./ Monthly | S&P Global, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 08/18/2023 | — | — | — | USD | 9,044,164 | — | |||||||||||||
| Goldman Sachs & Co./ Monthly | Ultra Electronics Holdings Plc | Paid 1 Month SONIA Plus 60 bps (0.650%) | 08/18/2023 | — | — | — | GBP | 230,864 | — | |||||||||||||
| $ | 67 | $ | 67 | |||||||||||||||||||
| Water Island Event-Driven Fund | Portfolio of Investments |
| August 31, 2021 (unaudited) |
| Swap Counterparty/ Payment Frequency |
Reference Obligation |
Rate Paid/Received by the Fund |
Termination Date |
Upfront Payments Paid | Upfront Payments Received | Market Value | Notional Amount |
Unrealized Depreciation |
||||||||||||||
| Goldman Sachs & Co./ Monthly | Meggitt Plc | Paid 1 Month SONIA Plus 55 bps (0.600%) | 08/14/2022 | $ | — | $ | — | $ | (8 | ) | GBP | 402,723 | $ | (8 | ) | |||||||
| Water Island Event-Driven Fund | Portfolio of Investments |
| August 31, 2021 (unaudited) |
OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||||
| AUD | 10,600 | USD | 7,700 | Morgan Stanley & Co. | 09/15/2021 | $ | 55 | |||||||
| USD | 770,728 | AUD | 1,026,800 | Morgan Stanley & Co. | 09/15/2021 | 19,517 | ||||||||
| CAD | 14,200 | USD | 11,103 | Goldman Sachs & Co. | 09/15/2021 | 152 | ||||||||
| CAD | 81,100 | USD | 63,647 | Morgan Stanley & Co. | 09/15/2021 | 631 | ||||||||
| USD | 2,346,552 | CAD | 2,844,100 | Morgan Stanley & Co. | 09/15/2021 | 92,340 | ||||||||
| EUR | 1,722,200 | USD | 2,030,754 | Morgan Stanley & Co. | 09/15/2021 | 3,241 | ||||||||
| USD | 11,635,801 | EUR | 9,545,700 | Morgan Stanley & Co. | 09/15/2021 | 361,905 | ||||||||
| $ | 477,841 | |||||||||||||
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Depreciation | ||||||||||
| AUD | 163,800 | USD | 121,934 | Morgan Stanley & Co. | 09/15/2021 | $ | (2,097 | ) | ||||||
| USD | 21,254 | AUD | 29,200 | Morgan Stanley & Co. | 09/15/2021 | (109 | ) | |||||||
| CAD | 1,950,800 | USD | 1,569,896 | Morgan Stanley & Co. | 09/15/2021 | (23,707 | ) | |||||||
| USD | 9,637 | CAD | 12,200 | Morgan Stanley & Co. | 09/15/2021 | (32 | ) | |||||||
| EUR | 3,390,500 | USD | 4,042,393 | Morgan Stanley & Co. | 09/15/2021 | (38,063 | ) | |||||||
| USD | 917,724 | EUR | 783,000 | Morgan Stanley & Co. | 09/15/2021 | (7,034 | ) | |||||||
| $ | (71,042 | ) | ||||||||||||
| Water Island Event-Driven Fund | Portfolio of Investments (Continued) |
| August 31, 2021 (unaudited) |
The following is a summary of investments classified by country exposure:
| Country | % of Net Assets(a) | |||
| United Kingdom | 14.12 | % | ||
| France | 1.19 | % | ||
| Canada | 1.09 | % | ||
| Germany | 1.03 | % | ||
| Australia | 1.01 | % | ||
| China | 1.00 | % | ||
| Republic of Korea | 0.96 | % | ||
| Belgium | 0.61 | % | ||
| Netherlands | 0.53 | % | ||
| Sweden | 0.43 | % | ||
| Italy | 0.21 | % | ||
| Finland | 0.18 | % | ||
| Austria | 0.00 | %(b) | ||
| United States | 75.64 | % | ||
| Other Assets in Excess of Liabilities | 2.00 | % | ||
| 100.00 | % | |||
| (a) | These percentages represent long positions only and are not net of short positions. |
| (b) | Less than 0.005% of net assets. |
| Abbreviations: |
| ADR - American Depositary Receipt |
| AG - Aktiengesellschaft is a German term that refers to a corporation that is limited by shares, i.e., owned by shareholders. |
| AUD - Australian dollar |
| bps - Basis Points. 100 Basis Points is equal to 1 percentage point. |
| CAD - Canadian dollar |
| CVR - Contingent Value Rights |
| EONIA - Euro OverNight Index Average |
| ETF - Exchange-Traded Fund |
| EUR - Euro |
| GBP - British pound |
| GBP LIBOR - London Interbank Offered Rate denominated in British Pounds |
| LLC - Limited Liability Company |
| Ltd. - Limited |
| N.V. - Naamloze Vennootschap is the Dutch term for a public limited liability corporation. |
| Oyj - Osakeyhtio is the Finnish equivalent of a public limited company. |
| Plc - Public Limited Company |
| SA - Generally designates corporations in various countries, mostly those employing civil law. This translates literally in all languages mentioned as anonymous company. |
| SE - SE Regulation. A European Company which can operate on a Europe-wide basis and be governed by Community law directly applicable in all Member States |
| SONIA - Sterling OverNight Index Average |
| S&P - Standard & Poor's |
| USD - United States Dollar |
| Water Island Event-Driven Fund | Portfolio of Investments |
| August 31, 2021 (unaudited) |
| Investments in Securities at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Assets | ||||||||||||||||
| Common Stocks | ||||||||||||||||
| Aerospace & Defense | $ | 2,987,779 | $ | — | $ | — | $ | 2,987,779 | ||||||||
| Auto Parts & Equipment | 567,860 | — | — | 567,860 | ||||||||||||
| Biotechnology | 754,037 | — | — | 754,037 | ||||||||||||
| Chemicals | 3,407,052 | — | — | 3,407,052 | ||||||||||||
| Commercial Services | 11,838,593 | — | — | 11,838,593 | ||||||||||||
| Construction Materials | 1,222,664 | — | — | 1,222,664 | ||||||||||||
| Electronics | 5,762,139 | — | — | 5,762,139 | ||||||||||||
| Engineering & Construction | 419,058 | — | 1,501,182 | 1,920,240 | ||||||||||||
| Entertainment | 240,929 | — | — | 240,929 | ||||||||||||
| Environmental Control | 1,603,218 | — | — | 1,603,218 | ||||||||||||
| Food | 1,115,158 | — | — | 1,115,158 | ||||||||||||
| Healthcare - Services | 5,359,376 | — | — | 5,359,376 | ||||||||||||
| Insurance | 8,450,310 | — | — | 8,450,310 | ||||||||||||
| Internet | 4,453,821 | — | — | 4,453,821 | ||||||||||||
| Lodging | 229,344 | — | — | 229,344 | ||||||||||||
| Machinery - Diversified | 3,996,323 | — | — | 3,996,323 | ||||||||||||
| Miscellaneous Manufacturing | 4,086,556 | — | — | 4,086,556 | ||||||||||||
| Oil & Gas | 1,686,289 | — | — | 1,686,289 | ||||||||||||
| Real Estate | 1,353,348 | — | — | 1,353,348 | ||||||||||||
| Real Estate Investment Trusts | 2,613,712 | 3,784,404 | — | 6,398,116 | ||||||||||||
| Semiconductors | 16,922,180 | 1,721,534 | — | 18,643,714 | ||||||||||||
| Software | 18,628,685 | — | 3,702,886 | 22,331,571 | ||||||||||||
| Special Purpose Acquisition Companies | 405,368 | — | — | 405,368 | ||||||||||||
| Transportation | 8,458,271 | — | — | 8,458,271 | ||||||||||||
| Water | 1,552,707 | — | — | 1,552,707 | ||||||||||||
| Rights | — | 67,803 | — | 67,803 | ||||||||||||
| Corporate Bonds* | — | 1,329,469 | — | 1,329,469 | ||||||||||||
| Convertible Corporate Bonds* | — | 3,312,083 | — | 3,312,083 | ||||||||||||
| Warrants | 58,629 | — | — | 58,629 | ||||||||||||
| Private Investments | — | — | 79,400 | 79,400 | ||||||||||||
| Purchased Options | 761,638 | — | — | 761,638 | ||||||||||||
| Short-Term Investments | 3,816,513 | — | — | 3,816,513 | ||||||||||||
| TOTAL | $ | 112,751,557 | $ | 10,215,293 | $ | 5,283,468 | $ | 128,250,318 | ||||||||
| Other Financial Instruments** | ||||||||||||||||
| Assets | ||||||||||||||||
| Forward Foreign Currency Exchange Contracts | $ | — | $ | 477,841 | $ | — | $ | 477,841 | ||||||||
| Equity Swaps | 67 | — | — | 67 | ||||||||||||
| Liabilities | ||||||||||||||||
| Common Stocks* | (34,356,547 | ) | — | — | (34,356,547 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts | — | (71,042 | ) | — | (71,042 | ) | ||||||||||
| Equity Swaps | (8 | ) | — | — | (8 | ) | ||||||||||
| TOTAL | $ | (34,356,488 | ) | $ | 406,799 | $ | — | $ | (33,949,689 | ) | ||||||
| * | Refer to Portfolio of Investments for sector information. |
| ** | Other financial instruments are instruments such as securities sold short, equity swaps and forward foreign currency exchange contracts. |
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund’s assets and liabilities during the period ended August 31, 2021:
| Investments in Securities | Balance
as of May 31, 2021 | Realized
Gain (Loss) | Change
in Unrealized Appreciation (Depreciation) | Purchases | Sales Proceeds | Transfers
into Level 3 | Transfers
out of Level 3 | Balance
as of August 31, 2021 | Net
change in Unrealized Appreciation (Depreciation) from investments still held as of August 31, 2021 | |||||||||||||||||||||||||||
| Common Stocks | $ | 6,055,654 | $ | 41,293 | $ | (21,663 | ) | $ | - | $ | (871,216 | ) | $ | - | $ | - | $ | 5,204,068 | $ | 19,752 | ||||||||||||||||
| Rights | 43,889 | 81,275 | (3,858 | ) | - | (121,306 | ) | - | - | - | - | |||||||||||||||||||||||||
| Convertible Corporate Bonds | 1,081,737 | - | 55,939 | - | - | - | (1,137,676 | ) | - | - | ||||||||||||||||||||||||||
| Private Investments | 79,400 | - | (266 | ) | 266 | - | - | - | 79,400 | (266 | ) | |||||||||||||||||||||||||
| Total | $ | 7,260,680 | $ | 122,568 | $ | 30,152 | $ | 266 | $ | (992,522 | ) | $ | - | $ | (1,137,676 | ) | $ | 5,283,468 | $ | 19,486 | ||||||||||||||||
| Water Island Credit Opportunities Fund | Portfolio of Investments |
| August 31, 2021 (unaudited) |
| Maturity Date | Rate | Principal Amount | Value | |||||||||||
| BANK LOAN - 1.56% | ||||||||||||||
| Chemicals - 1.56% | ||||||||||||||
| Zep Inc., 2017 1st Lien Term Loan, Variable Rate, (3 mo. USD LIBOR plus 4.00%) | 08/12/2024 | 5.000 | % | $ | 1,989,664 | $ | 1,932,461 | |||||||
| TOTAL BANK LOANS | ||||||||||||||
| (Cost $1,980,825) | 1,932,461 | |||||||||||||
| CORPORATE BONDS - 69.51% | ||||||||||||||
| Aerospace & Defense - 1.37% | ||||||||||||||
| Boeing Co. (The)(a) | 05/01/2050 | 5.805 | % | 1,250,000 | 1,697,757 | |||||||||
| Banks - 0.82% | ||||||||||||||
| CIT Group, Inc. | 08/01/2023 | 5.000 | % | 50,000 | 53,875 | |||||||||
| Truist Bank, Variable Rate, (3 mo. USD LIBOR plus 0.65%) | 03/15/2028 | 0.769 | % | 1,000,000 | 969,887 | |||||||||
| 1,023,762 | ||||||||||||||
| Chemicals - 1.35% | ||||||||||||||
| Kraton Polymers LLC / Kraton Polymers Capital Corp.(b) | 12/15/2025 | 4.250 | % | 1,633,000 | 1,677,238 | |||||||||
| Commercial Services - 5.00% | ||||||||||||||
| Jaguar Holding Co. II / PPD Development LP(a)(b) | 06/15/2028 | 5.000 | % | 2,500,000 | 2,693,750 | |||||||||
| Modulaire Global Finance Plc(b) | 02/15/2023 | 8.000 | % | 3,425,000 | 3,514,461 | |||||||||
| 6,208,211 | ||||||||||||||
| Computers & Computer Services - 2.99% | ||||||||||||||
| Dell International LLC / EMC Corp.(a)(b) | 06/15/2024 | 7.125 | % | 2,500,000 | 2,553,125 | |||||||||
| Dell International LLC / EMC Corp. | 10/01/2026 | 4.900 | % | 1,000,000 | 1,157,228 | |||||||||
| 3,710,353 | ||||||||||||||
| Construction Materials - 4.08% | ||||||||||||||
| Forterra Finance LLC / FRTA Finance Corp.(b) | 07/15/2025 | 6.500 | % | 1,663,000 | 1,781,489 | |||||||||
| US Concrete, Inc.(a)(b) | 03/01/2029 | 5.125 | % | 3,000,000 | 3,278,752 | |||||||||
| 5,060,241 | ||||||||||||||
| Distribution/Wholesale - 1.65% | ||||||||||||||
| KAR Auction Services, Inc.(b) | 06/01/2025 | 5.125 | % | 2,000,000 | 2,045,000 | |||||||||
| Entertainment - 1.24% | ||||||||||||||
| Scientific Games International, Inc.(b) | 10/15/2025 | 5.000 | % | 1,500,000 | 1,542,825 | |||||||||
| Food - 6.09% | ||||||||||||||
| B&G Foods, Inc.(a) | 04/01/2025 | 5.250 | % | 1,500,000 | 1,539,375 | |||||||||
| Chobani LLC / Chobani Finance Corp., Inc.(a)(b) | 04/15/2025 | 7.500 | % | 2,597,000 | 2,713,346 | |||||||||
| Fresh Market, Inc. (The)(b) | 05/01/2023 | 9.750 | % | 1,733,000 | 1,780,588 | |||||||||
| US Foods, Inc.(b) | 04/15/2025 | 6.250 | % | 1,451,000 | 1,528,991 | |||||||||
| 7,562,300 | ||||||||||||||
| Hand/Machine Tools - 2.51% | ||||||||||||||
| Werner FinCo LP / Werner FinCo, Inc.(a)(b) | 07/15/2025 | 8.750 | % | 3,000,000 | 3,120,000 | |||||||||
| Water Island Credit Opportunities Fund | Portfolio of Investments (Continued) |
| August 31, 2021 (unaudited) |
| Maturity Date | Rate | Principal Amount | Value | |||||||||||
| CORPORATE BONDS - 69.51% (Continued) | ||||||||||||||
| Lodging - 3.43% | ||||||||||||||
| Diamond Resorts International, Inc.(b) | ||||||||||||||
| 09/01/2023 | 7.750 | % | $ | 143,000 | $ | 145,771 | ||||||||
| 09/01/2024 | 10.750 | % | 4,000,000 | 4,107,520 | ||||||||||
| 4,253,291 | ||||||||||||||
| Machinery - Diversified - 4.79% | ||||||||||||||
| JPW Industries Holding Corp.(b) | 10/01/2024 | 9.000 | % | 2,000,000 | 2,098,000 | |||||||||
| RBS Global, Inc. / Rexnord LLC(a)(b) | 12/15/2025 | 4.875 | % | 1,240,000 | 1,264,800 | |||||||||
| Welbilt, Inc.(a) | 02/15/2024 | 9.500 | % | 2,500,000 | 2,582,500 | |||||||||
| 5,945,300 | ||||||||||||||
| Media - 4.17% | ||||||||||||||
| Cengage Learning, Inc.(b) | 06/15/2024 | 9.500 | % | 1,000,000 | 1,027,500 | |||||||||
| Meredith Corp.(a) | 02/01/2026 | 6.875 | % | 4,000,000 | 4,145,000 | |||||||||
| 5,172,500 | ||||||||||||||
| Office/Business Equip - 2.33% | ||||||||||||||
| Xerox Holdings Corp.(b) | 08/15/2025 | 5.000 | % | 2,745,000 | 2,895,117 | |||||||||
| Oil & Gas - 2.94% | ||||||||||||||
| Chevron USA, Inc. | 11/15/2043 | 5.250 | % | 520,000 | 715,691 | |||||||||
| Devon Energy Corp.(b) | ||||||||||||||
| 10/15/2027 | 5.250 | % | 85,000 | 90,432 | ||||||||||
| 06/15/2028 | 5.875 | % | 504,000 | 554,865 | ||||||||||
| Par Petroleum LLC / Par Petroleum Finance Corp.(a)(b) | 12/15/2025 | 7.750 | % | 2,300,000 | 2,285,625 | |||||||||
| 3,646,613 | ||||||||||||||
| Packaging & Containers - 3.25% | ||||||||||||||
| LABL, Inc.(a)(b) | 07/15/2026 | 6.750 | % | 2,500,000 | 2,625,000 | |||||||||
| LABL, Inc.(b) | 07/15/2027 | 10.500 | % | 1,293,000 | 1,407,754 | |||||||||
| 4,032,754 | ||||||||||||||
| Pipelines - 1.61% | ||||||||||||||
| Enable Midstream Partners LP(a) | 05/15/2024 | 3.900 | % | 1,250,000 | 1,328,998 | |||||||||
| Enable Midstream Partners LP | 05/15/2028 | 4.950 | % | 125,000 | 142,221 | |||||||||
| Midwest Connector Capital Co. LLC(b) | 04/01/2024 | 3.900 | % | 500,000 | 524,032 | |||||||||
| 1,995,251 | ||||||||||||||
| Retail - 2.13% | ||||||||||||||
| Golden Nugget, Inc.(b) | 10/15/2024 | 6.750 | % | 2,645,000 | 2,651,084 | |||||||||
| Software - 6.82% | ||||||||||||||
| BY Crown Parent LLC / BY Bond Finance, Inc.(b) | 01/31/2026 | 4.250 | % | 4,066,000 | 4,279,465 | |||||||||
| Change Healthcare Holdings LLC / Change Healthcare Finance, Inc.(a)(b) | 03/01/2025 | 5.750 | % | 2,000,000 | 2,020,000 | |||||||||
| Dun & Bradstreet Corp. (The)(a)(b) | 02/15/2027 | 10.250 | % | 2,000,000 | 2,170,000 | |||||||||
| 8,469,465 | ||||||||||||||
| Telecommunications - 9.50% | ||||||||||||||
| Altice France SA(b) | 05/01/2026 | 7.375 | % | 4,500,000 | 4,670,865 | |||||||||
| Water Island Credit Opportunities Fund | Portfolio of Investments |
| August 31, 2021 (unaudited) |
| Maturity Date | Rate | Principal Amount | Value | |||||||||||
| CORPORATE BONDS - 69.51% (Continued) | ||||||||||||||
| Telecommunications - 9.50% (Continued) | ||||||||||||||
| Cincinnati Bell, Inc.(b) | ||||||||||||||
| 07/15/2024 | 7.000 | % | $ | 2,300,000 | $ | 2,343,125 | ||||||||
| 10/15/2025 | 8.000 | % | 2,000,000 | 2,091,880 | ||||||||||
| QualityTech LP / QTS Finance Corp.(b) | 10/01/2028 | 3.875 | % | 2,500,000 | 2,682,087 | |||||||||
| 11,787,957 | ||||||||||||||
| Transportation - 1.44% | ||||||||||||||
| GasLog Ltd. | 03/22/2022 | 8.875 | % | 1,748,000 | 1,782,960 | |||||||||
| TOTAL CORPORATE BONDS | ||||||||||||||
| (Cost $85,969,222) | 86,279,979 | |||||||||||||
| CONVERTIBLE CORPORATE BONDS - 16.50% | ||||||||||||||
| Auto Manufacturers - 0.70% | ||||||||||||||
| Lightning eMotors, Inc.(b) | 05/15/2024 | 7.500 | % | 1,120,000 | 869,300 | |||||||||
| Computers & Computer Services - 1.41% | ||||||||||||||
| Pure Storage, Inc.(a) | 04/15/2023 | 0.125 | % | 1,500,000 | 1,748,298 | |||||||||
| Diversified Financial Services - 1.16% | ||||||||||||||
| WisdomTree Investments, Inc.(b) | 06/15/2026 | 3.250 | % | 1,500,000 | 1,440,000 | |||||||||
| Entertainment - 0.48% | ||||||||||||||
| Cineplex, Inc.(b) | 09/30/2025 | 5.750 | % | 567,000 | 590,976 | |||||||||
| Healthcare - Services - 0.65% | ||||||||||||||
| UpHealth, Inc.(b) | 06/15/2026 | 6.250 | % | 951,000 | 806,280 | |||||||||
| Internet - 1.58% | ||||||||||||||
| Twitter, Inc. | 06/15/2024 | 0.250 | % | 1,500,000 | 1,964,100 | |||||||||
| Pharmaceuticals - 3.19% | ||||||||||||||
| Dermira, Inc. | 05/15/2022 | 3.000 | % | 1,938,000 | 1,957,380 | |||||||||
| Paratek Pharmaceuticals, Inc.(a) | 05/01/2024 | 4.750 | % | 2,250,000 | 2,005,425 | |||||||||
| 3,962,805 | ||||||||||||||
| Software - 7.33% | ||||||||||||||
| Kaleyra, Inc.(b) | 06/01/2026 | 6.125 | % | 1,400,000 | 1,496,262 | |||||||||
| Nuance Communications, Inc. | 12/15/2035 | 1.000 | % | 1,000,000 | 2,275,000 | |||||||||
| Medallia, Inc.(b) | 09/15/2025 | 0.125 | % | 5,000,000 | 5,331,500 | |||||||||
| 9,102,762 | ||||||||||||||
| TOTAL CONVERTIBLE CORPORATE BONDS | ||||||||||||||
| (Cost $18,648,800) | 20,484,521 | |||||||||||||
| Water Island Credit Opportunities Fund | Portfolio of Investments (Continued) |
| August 31, 2021 (unaudited) |
| Shares | Value | |||||||
| WARRANTS(c) - 0.07% | ||||||||
| Auto Manufacturers - 0.07% | ||||||||
| Lightning eMotors, Inc., Exercise Price $11.50, Expires 05/18/2025 | 53,913 | $ | 89,496 | |||||
| TOTAL WARRANTS | ||||||||
| (Cost $0) | 89,496 | |||||||
| PREFERRED STOCKS - 1.02% | ||||||||
| Real Estate Investment Trusts - 1.02% | ||||||||
| Monmouth Real Estate Investment Corp., Series C | 50,000 | $ | 1,263,000 | |||||
| TOTAL PREFERRED STOCKS | ||||||||
| (Cost $1,268,710) | 1,263,000 | |||||||
| Expiration Date | Exercise Price | Notional Amount | Contracts | Value | ||||||||||||||||
| PURCHASED OPTIONS(c) - 0.08% | ||||||||||||||||||||
| Call Options Purchased - 0.08% | ||||||||||||||||||||
| Diversey Holdings Ltd. | 09/2021 | $ | 17.50 | $ | 218,375 | 125 | $ | 5,313 | ||||||||||||
| Kraton Corp. | 10/2021 | 45.00 | 555,984 | 132 | 28,380 | |||||||||||||||
| Meredith Corp. | 09/2021 | 45.00 | 494,615 | 115 | 6,038 | |||||||||||||||
| Par Pacific Holdings, Inc. | 09/2021 | 15.00 | 164,900 | 100 | 18,250 | |||||||||||||||
| Scientific Games Corp. | 10/2021 | 80.00 | 832,025 | 115 | 28,462 | |||||||||||||||
| SPDR S&P 500 ETF Trust | 10/2021 | 460.00 | 2,257,800 | 50 | 15,650 | |||||||||||||||
| US Concrete, Inc. | 11/2021 | 75.00 | 1,479,800 | 200 | 500 | |||||||||||||||
| TOTAL CALL OPTIONS PURCHASED | ||||||||||||||||||||
| (Cost $167,514) | 102,593 | |||||||||||||||||||
| TOTAL PURCHASED OPTIONS | ||||||||||||||||||||
| (Cost $167,514) | 102,593 | |||||||||||||||||||
| Yield | Shares | Value | ||||||||||
| SHORT-TERM INVESTMENTS - 6.15% | ||||||||||||
| Money Market Funds | ||||||||||||
| Morgan Stanley Institutional Liquidity Fund - Government Portfolio | 0.026 | %(d) | 3,820,719 | 3,820,719 | ||||||||
| State Street Institutional U.S. Government Money Market Fund, Premier Class | 0.069 | %(d) | 3,820,718 | 3,820,718 | ||||||||
| 7,641,437 | ||||||||||||
| TOTAL SHORT-TERM INVESTMENTS | ||||||||||||
| (Cost $7,641,437) | 7,641,437 | |||||||||||
| Total Investments - 94.89% | ||||||||||||
| (Cost $115,676,508) | 117,793,487 | |||||||||||
| Other Assets in Excess of Liabilities - 5.11%(e) | 6,338,753 | |||||||||||
| NET ASSETS - 100.00% | $ | 124,132,240 | ||||||||||
Portfolio Footnotes
| (a) | Security, or a portion of security, is being held as collateral for short sales, written option contracts or forward foreign currency exchange contracts. At August 31, 2021, the aggregate fair market value of those securities was $30,700,474, representing 24.73% of net assets. |
| (b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of August 31, 2021, these securities had a total value of $80,698,805 or 65.01% of net assets. |
| (c) | Non-income-producing security. |
| (d) | Rate shown is the 7-day effective yield as of August 31, 2021. |
| (e) | Includes cash held as collateral for short sales and written option contracts. |
| Water Island Credit Opportunities Fund | Portfolio of Investments (Continued) |
| August 31, 2021 (unaudited) |
| SCHEDULE OF SECURITIES SOLD SHORT | Shares | Value | ||||||
| COMMON STOCKS - (7.31%) | ||||||||
| Chemicals - (0.22%) | ||||||||
| Diversey Holdings Ltd. | (3,900 | ) | $ | (68,133 | ) | |||
| Kraton Corp. | (4,700 | ) | (197,964 | ) | ||||
| (266,097 | ) | |||||||
| Computers & Computer Services - (0.63%) | ||||||||
| Pure Storage, Inc., Class A | (30,300 | ) | (782,649 | ) | ||||
| Distribution/Wholesale - (0.16%) | ||||||||
| KAR Auction Services, Inc. | (11,500 | ) | (194,465 | ) | ||||
| Diversified Financial Services - (0.21%) | ||||||||
| WisdomTree Investments, Inc. | (42,100 | ) | (265,651 | ) | ||||
| Entertainment - (0.54%) | ||||||||
| Cineplex, Inc. | (33,300 | ) | (346,817 | ) | ||||
| Scientific Games Corp., Class A | (4,500 | ) | (325,575 | ) | ||||
| (672,392 | ) | |||||||
| Internet - (0.98%) | ||||||||
| Twitter, Inc. | (18,900 | ) | (1,219,050 | ) | ||||
| Media - (0.19%) | ||||||||
| Meredith Corp. | (5,600 | ) | (240,856 | ) | ||||
| Metal Fabricate & Hardware - (0.09%) | ||||||||
| Rexnord Corp. | (1,800 | ) | (109,368 | ) | ||||
| Oil & Gas - (0.10%) | ||||||||
| Par Pacific Holdings, Inc. | (7,260 | ) | (119,718 | ) | ||||
| Pharmaceuticals - (0.12%) | ||||||||
| Paratek Pharmaceuticals, Inc. | (27,450 | ) | (152,622 | ) | ||||
| Software - (3.53%) | ||||||||
| Medallia, Inc. | (68,100 | ) | (2,299,737 | ) | ||||
| Nuance Communications, Inc. | (37,700 | ) | (2,075,385 | ) | ||||
| (4,375,122 | ) | |||||||
| Telecommunications - (0.54%) | ||||||||
| Cincinnati Bell, Inc. | (43,400 | ) | (672,266 | ) | ||||
| TOTAL COMMON STOCKS | ||||||||
| (Proceeds $7,533,657) | (9,070,256 | ) | ||||||
| Maturity Date | Rate | Principal Amount | Value | |||||||||||
| U.S. TREASURY & GOVERNMENT AGENCIES - (2.79%) | ||||||||||||||
| Sovereign - (2.79%) | ||||||||||||||
| U.S. Treasury Bond | 02/15/2050 | 2.000 | % | (1,240,000 | ) | $ | (1,259,956 | ) | ||||||
| U.S. Treasury Note | 02/28/2025 | 1.125 | % | (1,080,000 | ) | (1,102,781 | ) | |||||||
| U.S. Treasury Note | 04/30/2026 | 0.750 | % | (1,100,000 | ) | (1,100,860 | ) | |||||||
| (3,463,597 | ) | |||||||||||||
| TOTAL U.S. TREASURY & GOVERNMENT AGENCIES | ||||||||||||||
| (Proceeds $3,631,266) | (3,463,597 | ) | ||||||||||||
| TOTAL SECURITIES SOLD SHORT | ||||||||||||||
| (Proceeds $11,164,923) | $ | (12,533,853 | ) | |||||||||||
| Water Island Credit Opportunities Fund | Portfolio of Investments |
| August 31, 2021 (unaudited) |
| WRITTEN OPTIONS | Expiration Date | Exercise Price | Notional Amount | Contracts | Value | |||||||||||||
| Written Call Options | ||||||||||||||||||
| KAR Auction Services, Inc. | 01/2022 | $ | 17.50 | $ | (363,565 | ) | (215 | ) | $ | (32,250 | ) | |||||||
| TOTAL WRITTEN CALL OPTIONS | ||||||||||||||||||
| (Premiums received $38,800) | (32,250 | ) | ||||||||||||||||
| TOTAL WRITTEN OPTIONS | ||||||||||||||||||
| (Premiums received $38,800) | $ | (32,250 | ) | |||||||||||||||
EQUITY SWAP CONTRACTS
| Swap Counterparty/ Payment Frequency | Reference Obligation | Rate Paid/Received by the Fund | Termination Date | Upfront Payments Paid | Upfront Payments Received | Market Value | Notional Amount | Unrealized Appreciation | ||||||||||||||||
| Morgan Stanley & Co./ Monthly | SPDR Bloomberg Barclays High Yield Bond ETF | Received 1 Month-Federal Rate Minus 68 bps (-0.630%) | 08/18/2023 | $ | — | $ | — | $ | — | USD 1,529,000 | $ | — | ||||||||||||
| Morgan Stanley & Co./ Monthly | iShares iBoxx $ Investment Grade Corporate Bond ETF | Received 1 Month-Federal Rate Minus 258 bps (-2.530%) | 08/18/2023 | — | — | — | USD 1,501,830 | — | ||||||||||||||||
| $ | — | $ | — |
| Water Island Credit Opportunities Fund | Portfolio of Investments (Continued) |
| August 31, 2021 (unaudited) |
| OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS |
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||||||
| CAD | 50,300 | USD | 39,635 | Morgan Stanley & Co. | 09/15/2021 | $ | 231 | |||||||||
| USD | 605,107 | CAD | 744,400 | Morgan Stanley & Co. | 09/15/2021 | 15,100 | ||||||||||
| $ | 15,331 | |||||||||||||||
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Depreciation | ||||||||||||
| CAD | 481,000 | USD | 385,418 | Morgan Stanley & Co. | 09/15/2021 | $ | (4,180 | ) | ||||||||
| USD | 15,169 | CAD | 19,400 | Goldman Sachs & Co. | 09/15/2021 | (207 | ) | |||||||||
| USD | 52,037 | CAD | 66,200 | Morgan Stanley & Co. | 09/15/2021 | (431 | ) | |||||||||
| $ | (4,818 | ) | ||||||||||||||
The following is a summary of investments classified by country exposure:
| Country | % of Net Assets(a) | |||
| France | 3.76 | % | ||
| United Kingdom | 2.83 | % | ||
| Greece | 1.44 | % | ||
| Canada | 0.48 | % | ||
| United States | 86.38 | % | ||
| Other Assets in Excess of Liabilities | 5.11 | % | ||
| 100.00 | % | |||
(a) These percentages represent long positions only and are not net of short positions.
Abbreviations:
bps - Basis Points. 100 Basis Points is equal to 1 percentage point.
CAD - Canadian dollar
ETF - Exchange-Traded Fund
LIBOR - London Interbank Offered Rate
LLC - Limited Liability Company
LP - Limited Partnership
Ltd. - Limited
Plc - Public Limited Company
SA - Generally designates corporations in various countries, mostly those employing civil law. This translates literally in all languages mentioned as anonymous company.
S&P - Standard & Poor's
SPDR - Standard & Poor's Depositary Receipt
USD - United States Dollar
| Water Island Credit Opportunities Fund | Portfolio of Investments |
| August 31, 2021 (unaudited) |
| Investments in Securities at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Assets | ||||||||||||||||
| Bank Loans | $ | — | $ | 1,932,461 | $ | — | $ | 1,932,461 | ||||||||
| Corporate Bonds* | — | 86,279,979 | — | 86,279,979 | ||||||||||||
| Convertible Corporate Bonds* | — | 20,484,521 | — | 20,484,521 | ||||||||||||
| Warrants | 89,496 | — | — | 89,496 | ||||||||||||
| Preferred Stocks* | 1,263,000 | — | — | 1,263,000 | ||||||||||||
| Purchased Options | 102,593 | — | — | 102,593 | ||||||||||||
| Short-Term Investments | 7,641,437 | — | — | 7,641,437 | ||||||||||||
| TOTAL | $ | 9,096,526 | $ | 108,696,961 | $ | — | $ | 117,793,487 | ||||||||
| Other Financial Instruments** | ||||||||||||||||
| Assets | ||||||||||||||||
| Forward Foreign Currency Exchange Contracts | $ | — | $ | 15,331 | $ | — | $ | 15,331 | ||||||||
| Equity Swaps | 0 | — | — | 0 | ||||||||||||
| Liabilities | ||||||||||||||||
| Common Stocks* | (9,070,256 | ) | — | — | (9,070,256 | ) | ||||||||||
| U.S. Treasury & Government Agencies | — | (3,463,597 | ) | — | (3,463,597 | ) | ||||||||||
| Written Options | (32,250 | ) | — | — | (32,250 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts | — | (4,818 | ) | — | (4,818 | ) | ||||||||||
| TOTAL | $ | (9,102,506 | ) | $ | (3,453,084 | ) | $ | — | $ | (12,555,590 | ) | |||||
* Refer to Portfolio of Investments for sector information.
** Other financial instruments are instruments such as written options, securities sold short, equity swaps and forward foreign currency exchange contracts.
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund’s assets and liabilities during the period ended August 31, 2021:
| Investments in Securities | Balance
as of May 31, 2021 | Accrued Discounts/ (Premiums) | Realized Gain/(Loss) | Change
in Unrealized Appreciation (Depreciation) | Purchases | Sales Proceeds | Amortization Premium/ Discount | Transfers
into Level 3 | Transfers
out of Level 3 | Balance
as of August 31, 2021 | Net
change in Unrealized Appreciation (Depreciation) from investments still held as of August 31, 2021 | |||||||||||||||||||||||||||||||||
| Convertible Corporate Bonds | $ | 1,668,592 | $ | - | $ | - | $ | 86,360 | $ | - | $ | - | $ | - | $ | - | $ | (1,754,952 | ) | $ | - | $ | - | |||||||||||||||||||||
| Total | $ | 1,668,592 | $ | - | $ | - | $ | 86,360 | $ | - | $ | - | $ | - | $ | - | $ | (1,754,952 | ) | $ | - | $ | - | |||||||||||||||||||||
| Water Island Long/Short Fund | Portfolio of Investments |
| August 31, 2021 (unaudited) |
| Shares | Value | |||||||
| COMMON STOCKS - 103.46% | ||||||||
| Aerospace & Defense - 3.03% | ||||||||
| Aerojet Rocketdyne Holdings, Inc.(a) | 2,500 | $ | 103,800 | |||||
| Biotechnology - 0.30% | ||||||||
| Trillium Therapeutics, Inc.(b)(c) | 593 | 10,217 | ||||||
| Chemicals - 5.36% | ||||||||
| Ferro Corp.(b) | 3,194 | 66,435 | ||||||
| W R Grace & Co.(a) | 1,685 | 117,343 | ||||||
| 183,778 | ||||||||
| Commercial Services - 7.23% | ||||||||
| CAI International, Inc. | 660 | 36,940 | ||||||
| IHS Markit Ltd.(a) | 1,750 | 211,050 | ||||||
| 247,990 | ||||||||
| Distribution/Wholesale - 1.12% | ||||||||
| Core-Mark Holding Co., Inc. | 835 | 38,410 | ||||||
| Electronics - 3.95% | ||||||||
| Coherent, Inc.(a)(b) | 537 | 135,684 | ||||||
| Entertainment - 1.97% | ||||||||
| Cineplex, Inc.(b) | 6,500 | 67,697 | ||||||
| Environmental Control - 1.06% | ||||||||
| Covanta Holding Corp.(a) | 1,818 | 36,451 | ||||||
| Food - 1.92% | ||||||||
| Pilgrim's Pride Corp.(b) | 500 | 13,920 | ||||||
| Sanderson Farms, Inc.(a) | 104 | 20,436 | ||||||
| Stryve Foods, Inc., Class A(b) | 4,198 | 31,653 | ||||||
| 66,009 | ||||||||
| Forest Products & Paper - 3.28% | ||||||||
| Domtar Corp.(a)(b) | 2,055 | 112,676 | ||||||
| Healthcare - Services - 5.95% | ||||||||
| Magellan Health, Inc.(a)(b) | 600 | 56,772 | ||||||
| PPD, Inc.(a)(b) | 3,052 | 141,338 | ||||||
| UpHealth, Inc.(b) | 1,176 | 5,951 | ||||||
| 204,061 | ||||||||
| Holding Companies-Diversified - 0.93% | ||||||||
| VPC Impact Acquisition Holdings, Class A(a)(b) | 3,200 | 31,968 | ||||||
| Insurance - 8.26% | ||||||||
| Hartford Financial Services Group, Inc. (The)(a) | 1,095 | 73,606 | ||||||
| Willis Towers Watson Plc | 950 | 209,684 | ||||||
| 283,290 | ||||||||
| Internet - 3.98% | ||||||||
| 51job, Inc., ADR(a)(b) | 500 | 38,400 | ||||||
| Proofpoint, Inc.(a)(b) | 557 | 98,032 | ||||||
| 136,432 | ||||||||
| Water Island Long/Short Fund | Portfolio of Investments (Continued) |
| August 31, 2021 (unaudited) |
| Shares | Value | |||||||
| COMMON STOCKS - 103.46% (Continued) | ||||||||
| Machinery - Diversified - 1.43% | ||||||||
| Welbilt, Inc.(a)(b) | 2,104 | $ | 49,234 | |||||
| Media - 2.02% | ||||||||
| Discovery, Inc., Class A(a)(b) | 2,200 | 63,448 | ||||||
| ViacomCBS, Inc., Class B(a) | 140 | 5,803 | ||||||
| 69,251 | ||||||||
| Miscellaneous Manufacturing - 2.18% | ||||||||
| Lydall, Inc.(a)(b) | 604 | 37,436 | ||||||
| Raven Industries, Inc.(a)(b) | 642 | 37,461 | ||||||
| 74,897 | ||||||||
| Oil & Gas - 0.59% | ||||||||
| Cimarex Energy Co.(a) | 313 | 20,101 | ||||||
| Pharmaceuticals - 1.13% | ||||||||
| Paratek Pharmaceuticals, Inc.(b) | 7,000 | 38,920 | ||||||
| Real Estate Investment Trusts - 9.13% | ||||||||
| Monmouth Real Estate Investment Corp. | 2,886 | 54,776 | ||||||
| QTS Realty Trust, Inc., Class A(a) | 1,417 | 110,526 | ||||||
| VEREIT, Inc.(a) | 2,925 | 147,800 | ||||||
| 313,102 | ||||||||
| Semiconductors - 12.73% | ||||||||
| Analog Devices, Inc. | 755 | 123,087 | ||||||
| Magnachip Semiconductor Corp.(a)(b) | 1,000 | 18,250 | ||||||
| Xilinx, Inc.(a) | 1,900 | 295,621 | ||||||
| 436,958 | ||||||||
| Software - 14.76% | ||||||||
| Change Healthcare, Inc.(b) | 3,725 | 81,317 | ||||||
| Cornerstone OnDemand, Inc.(a)(b) | 707 | 40,511 | ||||||
| Five9, Inc.(a)(b) | 693 | 109,653 | ||||||
| Inovalon Holdings, Inc., Class A(b) | 725 | 29,616 | ||||||
| Kaleyra, Inc.(b) | 3,315 | 40,543 | ||||||
| Medallia, Inc.(a)(b) | 1,055 | 35,627 | ||||||
| Nuance Communications, Inc.(a)(b) | 2,409 | 132,616 | ||||||
| QAD, Inc., Class A(a) | 422 | 36,718 | ||||||
| 506,601 | ||||||||
| Special Purpose Acquisition Companies - 0.78% | ||||||||
| Bull Horn Holdings Corp.(a)(b) | 2,645 | 26,609 | ||||||
| Telecommunications - 1.37% | ||||||||
| ORBCOMM, Inc.(a)(b) | 4,100 | 47,109 | ||||||
| Transportation - 9.00% | ||||||||
| Kansas City Southern(a) | 1,100 | 308,737 | ||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $3,521,369) | 3,549,982 | |||||||
| Water Island Long/Short Fund | Portfolio of Investments |
| August 31, 2021 (unaudited) |
| Maturity Date |
Rate | Principal Amount |
Value | |||||||||||
| CONVERTIBLE CORPORATE BONDS - 5.74% | ||||||||||||||
| Auto Manufacturers - 0.88% | ||||||||||||||
| Lightning eMotors, Inc.(d) | 05/15/2024 | 7.500 | % | $ | 39,000 | $ | 30,270 | |||||||
| Healthcare - Services - 2.15% | ||||||||||||||
| UpHealth, Inc.(d) | 06/15/2026 | 6.250 | % | 87,000 | 73,761 | |||||||||
| Software - 2.71% | ||||||||||||||
| Kaleyra, Inc.(d) | 06/01/2026 | 6.125 | % | 87,000 | 92,982 | |||||||||
| TOTAL CONVERTIBLE CORPORATE BONDS | ||||||||||||||
| (Cost $213,032) | 197,013 | |||||||||||||
| Shares | Value | |||||||
| WARRANTS(b) - 0.17% | ||||||||
| Auto Manufacturers - 0.17% | ||||||||
| Lightning eMotors, Inc., Exercise Price $11.50, Expires 05/18/2025 | 3,391 | $ | 5,629 | |||||
| Healthcare - Services - 0.00%(e) | ||||||||
| UpHealth, Inc., Exercise Price $11.50, Expires 07/01/2024 | 117 | 64 | ||||||
| TOTAL WARRANTS | ||||||||
| (Cost $0) | 5,693 | |||||||
| PRIVATE INVESTMENTS(b) - 0.04% | ||||||||
| Fast Capital LLC(f)(g) | 400 | 400 | ||||||
| Fuse LLC(f)(g) | 1,100 | 1,000 | ||||||
| Fuse Sponsor Capital, Z2 Shares(f)(g) | 110 | 100 | ||||||
| TOTAL PRIVATE INVESTMENTS | ||||||||
| (Cost $1,529) | 1,500 | |||||||
| Expiration Date | Exercise Price | Notional Amount | Contracts | Value | |||||||||||||||
| PURCHASED OPTIONS(b) - 0.00%(e) | |||||||||||||||||||
| Call Option Purchased - 0.00%(e) | |||||||||||||||||||
| Trillium Therapeutics, Inc. | 12/2021 | $ | 20.00 | $ | 6,892 | 4 | $ | 50 | |||||||||||
| TOTAL CALL OPTIONS PURCHASED | |||||||||||||||||||
| (Cost $125) | 50 | ||||||||||||||||||
| TOTAL PURCHASED OPTIONS | |||||||||||||||||||
| (Cost $125) | 50 | ||||||||||||||||||
| Total Investments - 109.41% | |||||||||||||||||||
| (Cost $3,736,055) | 3,754,238 | ||||||||||||||||||
| Liabilities in Excess of Other Assets - (9.41)%(h) | (322,936 | ) | |||||||||||||||||
| NET ASSETS - 100.00% | $ | 3,431,302 | |||||||||||||||||
Portfolio Footnotes
| (a) | Security, or a portion of security, is being held as collateral for short sales or forward foreign currency exchange contracts. At August 31, 2021, the aggregate fair market value of those securities was $2,139,227, representing 62.34% of net assets. |
| (b) | Non-income-producing security. |
| (c) | Underlying security for a written/purchased call/put option. |
| (d) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of August 31, 2021, these securities had a total value of $197,013 or 5.74% of net assets. |
| (e) | Less than 0.005% of net assets. |
| (f) | Represents a holding that is a direct investment into a private company and is not a listed or publicly traded entity. |
| (g) | Security fair valued using significant unobservable inputs and classified as a Level 3 security. As of August 31, 2021, the total fair market value of these securities was $1,500, representing 0.04% of net assets. |
| (h) | Includes cash held as collateral for short sales and written option contracts. |
| Water Island Long/Short Fund | Portfolio of Investments |
| August 31, 2021 (unaudited) |
| SCHEDULE OF SECURITIES SOLD SHORT | Shares | Value | ||||||
| COMMON STOCKS - (23.23%) | ||||||||
| Electronics - (0.90%) | ||||||||
| II-VI, Inc. | (488 | ) | $ | (30,734 | ) | |||
| Food - (0.40%) | ||||||||
| Performance Food Group Co. | (272 | ) | (13,660 | ) | ||||
| Insurance - (8.57%) | ||||||||
| Aon Plc, Class A | (1,025 | ) | (294,032 | ) | ||||
| Semiconductors - (10.56%) | ||||||||
| Advanced Micro Devices, Inc. | (3,272 | ) | (362,276 | ) | ||||
| Software - (2.29%) | ||||||||
| Zoom Video Communications, Inc., Class A | (272 | ) | (78,744 | ) | ||||
| Transportation - (0.51%) | ||||||||
| Canadian National Railway Co. | (150 | ) | (17,644 | ) | ||||
| TOTAL COMMON STOCKS | ||||||||
| (Proceeds $747,675) | (797,090 | ) | ||||||
| EXCHANGE-TRADED FUNDS - (11.24%) | ||||||||
| Equity Funds - (11.24%) | ||||||||
| Invesco QQQ Trust Series 1 | (350 | ) | (132,983 | ) | ||||
| SPDR S&P 500 ETF Trust | (350 | ) | (158,046 | ) | ||||
| VanEck Vectors Semiconductor ETF | (350 | ) | (94,790 | ) | ||||
| (385,819 | ) | |||||||
| TOTAL EXCHANGE-TRADED FUNDS | ||||||||
| (Proceeds $355,521) | (385,819 | ) | ||||||
| TOTAL SECURITIES SOLD SHORT | ||||||||
| (Proceeds $1,103,196) | $ | (1,182,909 | ) | |||||
| EQUITY SWAP CONTRACTS |
| Swap Counterparty/ Payment Frequency |
Reference Obligation |
Rate Paid/Received by the Fund |
Termination Date |
Upfront Payments Paid |
Upfront Payments Received |
Market Value |
Notional Amount |
Unrealized Appreciation |
||||||||||||||
| Morgan Stanley & Co./ Monthly | Analog Devices, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 03/11/2022 | $ | — | $ | — | $ | — | USD | 123,027 | $ | — | |||||||||
| Morgan Stanley & Co./ Monthly | Cabot Oil & Gas Corp. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 03/11/2022 | — | — | — | USD | 9,852 | — | |||||||||||||
| Morgan Stanley & Co./ Monthly | Realty Income Corp. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 03/11/2022 | — | — | — | USD | 148,845 | — | |||||||||||||
| Morgan Stanley & Co./ Monthly | S&P Global, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 03/11/2022 | — | — | — | USD | 220,135 | — | |||||||||||||
| $ | — | $ | — | |||||||||||||||||||
| Water Island Long/Short Fund | Portfolio of Investments |
| August 31, 2021 (unaudited) |
OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||||||
| AUD | 500 | USD | 366 | Morgan Stanley & Co. | 09/15/2021 | $ | 0 | |||||||||
| USD | 30,264 | AUD | 39,600 | Morgan Stanley & Co. | 09/15/2021 | 1,291 | ||||||||||
| CAD | 3,650 | USD | 2,854 | Goldman Sachs & Co. | 09/15/2021 | 39 | ||||||||||
| CAD | 950 | USD | 752 | Morgan Stanley & Co. | 09/15/2021 | 1 | ||||||||||
| USD | 98,878 | CAD | 121,860 | Morgan Stanley & Co. | 09/15/2021 | 2,294 | ||||||||||
| $ | 3,625 | |||||||||||||||
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Depreciation | ||||||||||||
| AUD | 39,100 | USD | 28,959 | Morgan Stanley & Co. | 09/15/2021 | $ | (351 | ) | ||||||||
| CAD | 55,950 | USD | 44,768 | Morgan Stanley & Co. | 09/15/2021 | (425 | ) | |||||||||
| USD | 18,316 | CAD | 23,320 | Morgan Stanley & Co. | 09/15/2021 | (167 | ) | |||||||||
| $ | (943 | ) | ||||||||||||||
The following is a summary of investments classified by country exposure:
| Country | % of Net Assets(a) | |||
| United Kingdom | 12.26 | % | ||
| Canada | 2.27 | % | ||
| Italy | 1.18 | % | ||
| China | 1.12 | % | ||
| Republic of Korea | 0.53 | % | ||
| United States | 92.05 | % | ||
| Liabilities in Excess of Other Assets | (9.41 | )% | ||
| 100.00 | % | |||
(a) These percentages represent long positions only and are not net of short positions.
| Abbreviations: |
| ADR - American Depositary Receipt |
| AUD - Australian dollar |
| bps - Basis Points. 100 Basis Points is equal to 1 percentage point. |
| CAD - Canadian dollar |
| ETF - Exchange-Traded Fund |
| LLC - Limited Liability Company |
| Ltd. - Limited |
| Plc - Public Limited Company |
| S&P - Standard & Poor's |
| SPDR - Standard & Poor's Depositary Receipt |
| USD - United States Dollar |
| Water Island Long/Short Fund | Portfolio of Investments |
| August 31, 2021 (unaudited) |
| Investments in Securities at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Assets | ||||||||||||||||
| Common Stocks | ||||||||||||||||
| Aerospace & Defense | $ | 103,800 | $ | — | $ | — | $ | 103,800 | ||||||||
| Biotechnology | 10,217 | — | — | 10,217 | ||||||||||||
| Chemicals | 183,778 | — | — | 183,778 | ||||||||||||
| Commercial Services | 247,990 | — | — | 247,990 | ||||||||||||
| Distribution/Wholesale | 38,410 | — | — | 38,410 | ||||||||||||
| Electronics | 135,684 | — | — | 135,684 | ||||||||||||
| Entertainment | 67,697 | — | — | 67,697 | ||||||||||||
| Environmental Control | 36,451 | — | — | 36,451 | ||||||||||||
| Food | 66,009 | — | — | 66,009 | ||||||||||||
| Forest Products & Paper | 112,676 | — | — | 112,676 | ||||||||||||
| Healthcare - Services | 204,061 | — | — | 204,061 | ||||||||||||
| Holding Companies-Diversified | 31,968 | — | — | 31,968 | ||||||||||||
| Insurance | 283,290 | — | — | 283,290 | ||||||||||||
| Internet | 38,400 | 98,032 | — | 136,432 | ||||||||||||
| Machinery - Diversified | 49,234 | — | — | 49,234 | ||||||||||||
| Media | 69,251 | — | — | 69,251 | ||||||||||||
| Miscellaneous Manufacturing | 74,897 | — | — | 74,897 | ||||||||||||
| Oil & Gas | 20,101 | — | — | 20,101 | ||||||||||||
| Pharmaceuticals | 38,920 | — | — | 38,920 | ||||||||||||
| Real Estate Investment Trusts | 202,576 | 110,526 | — | 313,102 | ||||||||||||
| Semiconductors | 436,958 | — | — | 436,958 | ||||||||||||
| Software | 506,601 | — | — | 506,601 | ||||||||||||
| Special Purpose Acquisition Companies | 26,609 | — | — | 26,609 | ||||||||||||
| Telecommunications | 47,109 | — | — | 47,109 | ||||||||||||
| Transportation | 308,737 | — | — | 308,737 | ||||||||||||
| Convertible Corporate Bonds** | — | 197,013 | — | 197,013 | ||||||||||||
| Warrants | 5,693 | — | — | 5,693 | ||||||||||||
| Private Investments | — | — | 1,500 | 1,500 | ||||||||||||
| Purchased Options | 50 | — | — | 50 | ||||||||||||
| TOTAL | $ | 3,347,167 | $ | 405,571 | $ | 1,500 | $ | 3,754,238 | ||||||||
| Other Financial Instruments** | ||||||||||||||||
| Assets | ||||||||||||||||
| Forward Foreign Currency Exchange Contracts | $ | — | $ | 3,625 | $ | — | $ | 3,625 | ||||||||
| Equity Swaps | 0 | — | — | 0 | ||||||||||||
| Liabilities | ||||||||||||||||
| Common Stocks* | (797,090 | ) | — | — | (797,090 | ) | ||||||||||
| Exchange-Traded Funds* | (385,819 | ) | — | — | (385,819 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts | — | (943 | ) | — | (943 | ) | ||||||||||
| TOTAL | $ | (1,182,909 | ) | $ | 2,682 | $ | — | $ | (1,180,227 | ) | ||||||
| * | Refer to Portfolio of Investments for sector information. |
| ** | Other financial instruments are instruments such as securities sold short, equity swaps and forward foreign currency exchange contracts. |
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund’s assets and liabilities during the period ended August 31, 2021:
| Investments in Securities | Balance
as of May 31, 2021 | Realized
Gain (Loss) | Change
in Unrealized Appreciation (Depreciation) | Purchases | Sales Proceeds | Transfers
into Level 3 | Transfers
out of Level 3 | Balance
as of August 31, 2021 | Net
change in Unrealized Appreciation (Depreciation) from investments still held as of August 31, 2021 | |||||||||||||||||||||||||||
| Convertible Corporate Bonds | $ | 156,815 | $ | - | $ | 7,900 | $ | - | $ | - | $ | - | $ | (164,715 | ) | $ | - | $ | - | |||||||||||||||||
| Private Investments | 1,500 | - | (5 | ) | 5 | - | - | - | 1,500 | (5 | ) | |||||||||||||||||||||||||
| Total | $ | 158,315 | $ | - | $ | 7,895 | $ | 5 | $ | - | $ | - | $ | (164,715 | ) | $ | 1,500 | $ | (5 | ) | ||||||||||||||||