NPORT-EX 2 NPORT_WIX2_53525230_0821.htm

 

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)