NPORT-EX 2 tm233863d1_nportex.htm 7.31 PART F

 

Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) July 31, 2023

 

Investments  Shares   Value ($) 
         
LONG POSITIONS - 91.4%
         
COMMON STOCKS - 37.8%          
           
Automobile Components - 0.0%(a)          
Garrett Motion, Inc. (Switzerland)*   718    5,586 
           
Banks - 0.2%          
American National Bankshares, Inc.   3,826    157,937 
First Horizon Corp.   8,977    122,357 
         280,294 
Biotechnology - 2.3%          
Chinook Therapeutics, Inc.*   6,650    260,547 
Grifols SA, ADR (Spain)*   3,800    41,458 
Horizon Therapeutics plc*   17,050    1,709,603 
Seagen, Inc.*   4,010    769,038 
         2,780,646 
Broadline Retail - 3.6%          
Alibaba Group Holding Ltd., ADR (China)*   8,577    876,226 
Alibaba Group Holding Ltd. (China)*   23,212    290,191 
Amazon.com, Inc.*   4,857    649,284 
eBay, Inc.   5,438    242,046 
JD.com, Inc., Class A (China)   723    14,814 
MercadoLibre, Inc. (Brazil)*   600    742,830 
Prosus NV (China)*   19,926    1,578,079 
         4,393,470 
Capital Markets - 1.0%          
Canaccord Genuity Group, Inc. (Canada)   26,200    164,911 
Focus Financial Partners, Inc., Class A*   18,767    982,077 
Greenhill & Co., Inc.   658    9,673 
Pegasus Acquisition Co. Europe BV, Class A (Netherlands)*(b)   12,042     
Pershing Square, Escrow*(b)(c)   6,100    610 
Sculptor Capital Management, Inc.   7,350    80,482 
         1,237,753 
Chemicals - 0.0%(a)          
Chase Corp.   350    44,062 
           
Commercial Services & Supplies - 0.1%          
Heritage-Crystal Clean, Inc.*   1,271    58,555 
           
Communications Equipment - 0.0%(a)          
Comtech Telecommunications Corp.   3,250    33,020 
           
Consumer Staples Distribution & Retail - 1.0%          
Albertsons Cos., Inc., Class A   41,823    908,814 
Cia Brasileira de Distribuicao, ADR (Brazil)*   3,851    16,713 
Fix Price Group plc, GDR (Russia)*(b)(c)(d)   144     
Magnit PJSC, GDR (Russia)*(b)(c)(d)   1,638     
Sendas Distribuidora SA, ADR (Brazil)   4,116    59,106 
Wal-Mart de Mexico SAB de CV (Mexico)   48,867    203,435 
X5 Retail Group NV, GDR (Russia)*(b)(c)(d)   4,390     
         1,188,068 
Distributors - 0.8%          
Uni-Select, Inc. (Canada)*   27,450    997,122 
           
Diversified Telecommunication Services - 0.8%          
Altaba, Inc. Escrow*(b)   128,456    300,585 
Radius Global Infrastructure, Inc., Class A*   42,967    640,638 
Telesat Corp. (Canada)*   4,885    46,066 
         987,289 
Electric Utilities - 1.1%          
PNM Resources, Inc.   30,277    1,357,015 
           
Electronic Equipment, Instruments & Components - 1.1%          
National Instruments Corp.   21,771    1,284,489 
           
Entertainment - 2.0%          
Activision Blizzard, Inc.*   21,799    2,022,075 
Atlanta Braves Holdings, Inc., Class C*   6,804    277,059 
Sciplay Corp., Class A*   10,513    206,055 
         2,505,189 
Financial Services - 0.3%          
PayPal Holdings, Inc.*   5,438    412,309 
           
Food Products - 1.3%          
Nestle SA (Registered)   12,835    1,573,080 
           
Gas Utilities - 0.1%          
Southwest Gas Holdings, Inc.   1,300    85,722 
           
Health Care Equipment & Supplies - 0.3%          
NuVasive, Inc.*   9,932    409,298 
           
Health Care Providers & Services - 0.4%          
Amedisys, Inc.*   3,500    317,940 
Dialogue Health Technologies, Inc. (Canada)*   5,800    22,344 
Shanghai Pharmaceuticals Holding Co. Ltd., Class H (China)   30,284    54,829 
Sinopharm Group Co. Ltd., Class H (China)   16,945    53,124 
         448,237 
Hotels, Restaurants & Leisure - 1.1%          
Booking Holdings, Inc.*   202    600,102 
Deliveroo plc, Class A (United Kingdom)*(d)   11,689    19,711 
Expedia Group, Inc.*   2,518    308,530 
NEOGAMES SA (Israel)*   11,511    313,560 
Playtech plc (United Kingdom)*   18,594    133,869 
         1,375,772 
Household Durables - 0.3%          
iRobot Corp.*   825    33,000 
Lennar Corp., Class B   2,800    321,748 
         354,748 
Household Products - 0.3%          
Spectrum Brands Holdings, Inc.   4,436    347,827 
           
Insurance - 0.8%          
AIA Group Ltd. (Hong Kong)   77,699    771,122 

 

See Notes to Consolidated Schedule of Investments

 

1 

 

 

Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)

 

Investments  Shares   Value ($) 
Argo Group International Holdings Ltd.   7,414    220,196 
         991,318 
Interactive Media & Services - 2.3%          
Alphabet, Inc., Class A*   9,745    1,293,356 
Baidu, Inc., ADR (China)*   803    125,260 
Baidu, Inc., Class A (China)*   1,931    37,858 
Meta Platforms, Inc., Class A*   4,266    1,359,148 
VK Co. Ltd., GDR (Russia)*(b)(c) (d)   1,305     
Yandex NV, Class A (Russia)*(b)(c)   1,428     
         2,815,622 
IT Services - 0.1%          
Chindata Group Holdings Ltd., ADR (China)*   14,791    119,215 
           
Life Sciences Tools & Services - 1.5%          
Eurofins Scientific SE (Luxembourg)   11,557    795,199 
Gerresheimer AG (Germany)   3,705    438,732 
Syneos Health, Inc.*   13,537    574,104 
         1,808,035 
Machinery - 0.4%          
CIRCOR International, Inc.*   7,600    423,320 
Velan, Inc. (Canada)   2,750    26,256 
         449,576 
Media - 1.3%          
Aimia, Inc. (Canada)*   14,300    36,112 
Deluxe Television GmbH (Germany)*   16,063    884 
Quotient Technology, Inc.*   58,661    231,124 
Stroeer SE & Co. KGaA (Germany)   7,211    349,012 
TEGNA, Inc.   56,870    961,103 
WideOpenWest, Inc.*   2,582    21,276 
         1,599,511 
Metals & Mining - 1.2%          
Allkem Ltd. (Australia)*   15,983    159,104 
ArcelorMittal SA (Luxembourg)   4,832    139,726 
Arconic Corp.*   18,928    565,758 
Artemis Gold, Inc. (Canada)*   605    2,395 
Newcrest Mining Ltd. (Australia)   27,089    480,548 
Vale SA, Class B, ADR (Brazil)   9,292    135,942 
         1,483,473 
Oil, Gas & Consumable Fuels - 1.0%          
Denbury, Inc.*   9,666    849,738 
LUKOIL PJSC, ADR (Russia)*(b)(c)   661     
PDC Energy, Inc.   3,457    262,352 
Petroleo Brasileiro SA, ADR (Brazil)   10,548    154,844 
         1,266,934 
Passenger Airlines - 0.1%          
American Airlines Group, Inc.*   768    12,864 
American Airlines Group, Inc. Escrow*(b)(c)   14,383    144 
Spirit Airlines, Inc.   7,246    132,602 
         145,610 
Pharmaceuticals - 2.5%          
Aralez Pharmaceuticals, Inc. (Canada)*(b)   345     
DICE Therapeutics, Inc.*   17,079    802,713 
Dr Reddy's Laboratories Ltd., ADR (India)   3,222    221,287 
Hikma Pharmaceuticals plc (Jordan)   8,121    217,717 
Reata Pharmaceuticals, Inc., Class A*   3,200    529,856 
Roche Holding AG   4,050    1,256,728 
Teva Pharmaceutical Industries Ltd., ADR (Israel)*   1,671    14,035 
         3,042,336 
Professional Services - 0.3%          
SGS SA (Registered) (Switzerland)   3,825    370,372 
           
Real Estate Management & Development - 0.2%          
Seritage Growth Properties, Class A, REIT*   27,473    257,971 
           
Retail REITs - 0.2%          
Urstadt Biddle Properties, Inc., Class A, REIT   8,061    182,824 
           
Semiconductors & Semiconductor Equipment - 0.9%          
ASML Holding NV (Netherlands)   118    84,617 
Magnachip Semiconductor Corp. (South Korea)*   11,350    104,987 
Silicon Motion Technology Corp., ADR (Taiwan)   3,262    206,811 
SunEdison, Inc.*(b)(c)   16,689     
Tower Semiconductor Ltd. (Israel)*   18,380    693,845 
         1,090,260 
Software - 2.9%          
Black Knight, Inc.*   4,861    341,826 
ForgeRock, Inc., Class A*   14,428    297,938 
New Relic, Inc.*   3,550    298,129 
SAP SE (Germany)   11,341    1,551,197 
VMware, Inc., Class A*   6,330    997,798 
         3,486,888 
Specialty Retail - 0.3%          
ASOS plc (United Kingdom)*   1,085    5,857 
Franchise Group, Inc.   4,600    136,896 
GNC Holdings, Inc. Escrow*(b)(c)   5,700     
Sportsman's Warehouse Holdings, Inc.*   35,645    224,563 
Toys R Us, Inc.*(b)   1,040    5,200 
         372,516 
Technology Hardware, Storage & Peripherals - 1.2%          
Apple, Inc.   5,082    998,359 
Samsung Electronics Co. Ltd., GDR (South Korea)(d)   382    519,902 
Stratasys Ltd.*   100    1,813 
         1,520,074 
Textiles, Apparel & Luxury Goods - 0.4%          
Capri Holdings Ltd.*   4,735    174,769 
Tapestry, Inc.   7,785    335,923 
         510,692 
Trading Companies & Distributors - 2.0%          
Brenntag SE (Germany)   5,452    422,491 
IMCD NV (Netherlands)   1,440    218,413 
Triton International Ltd. (Bermuda)   6,471    545,570 
Univar Solutions, Inc.*   35,690    1,289,837 
         2,476,311 

 

See Notes to Consolidated Schedule of Investments

 

2 

 

 

Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)

 

Investments  Shares   Value ($) 
Wireless Telecommunication Services - 0.1%          
Millicom International Cellular SA (Guatemala)*   4,950    77,319 
TOTAL COMMON STOCKS
(Cost $43,965,624)
        46,226,408 
           
PREFERRED STOCKS - 0.1%          
           
Broadline Retail - 0.0%(a)          
Qurate Retail, Inc. 8.00%, 3/15/2031   991    35,478 
           
Entertainment - 0.1%          
AMC Entertainment Holdings, Inc., Preference*   57,850    107,022 
TOTAL PREFERRED STOCKS
(Cost $140,940)
        142,500 

 

Investments 

Principal
Amount ($)

  

Value ($)

 
CORPORATE BONDS - 0.0%          
           
Independent Power and Renewable Electricity Producers - 0.0%          
GenOn Energy, Inc. Escrow,          
9.50%, 10/15/2018 (b)(c)(e)   354,000     
9.88%, 10/15/2020 (b)(c)(e)   1,655,000     
TOTAL CORPORATE BONDS
(Cost $—)
         
           
INSURANCE LINKED SECURITIES - 5.4%          
           
2001 Cat RE Ltd. (Bermuda)          
Series A, (3 Month Treasury Bill Rate + 12.66%), 18.00%, 1/8/2024 (f)(g)   750,000    742,200 
Atlas Capital Reinsurance 2020 DAC (Ireland)          
Series 2020, (3 Month Treasury Bill Rate + 8.30%), 13.64%, 6/10/2024 (f)(g)   700,000    697,690 
Gateway Re Ltd.          
Series A, (1 Month Treasury Bill Rate + 13.00%), 18.35%, 2/24/2026 (f)(g)   250,000    260,325 
Herbie Re Ltd. (Bermuda)          
Series B, (3 Month Treasury Bill Rate + 9.72%), 14.99%, 1/8/2025 (f)(g)   750,000    727,050 
Hestia Re Ltd. (Bermuda)          
Series A, (1 Month Treasury Bill Rate + 9.75%), 15.16%, 4/7/2026 (f)(g)   500,000    504,550 
Kilimanjaro III Re Ltd. (Bermuda)          
Series B, (3 Month Treasury Bill Rate + 9.91%), 15.25%, 12/19/2024 (f)(g)   250,000    244,100 
Lightning Re          
Series 2023-1, (3 Month Treasury Bill Rate + 11.00%), 16.19%, 3/31/2026 (f)(g)   500,000    513,900 
Matterhorn Re Ltd. (Bermuda)          
(SOFR + 7.75%), 13.08%, 3/24/2025 (f)(g)   500,000    478,550 
Mystic Re IV Ltd. (Bermuda)          
Series A, (3 Month Treasury Bill Rate + 9.75%), 15.09%, 1/8/2024 (f)(g)   750,000    730,800 
Purple Re Ltd. (Bermuda)          
Series A, (1 Month Treasury Bill Rate + 10.00%), 15.27%, 6/5/2026 (f)(g)   250,000    249,700 
Tailwind RE Ltd. (Bermuda)          
Series B, (3 Month Treasury Bill Rate + 8.75%), 14.03%, 1/8/2025 (f)(g)   750,000    704,100 
Titania RE Ltd. (Bermuda)          
Series A, (1 Month Treasury Bill Rate + 12.25%), 17.61%, 2/27/2026 (f)(g)   750,000    793,050 
TOTAL INSURANCE LINKED SECURITIES
(COST $6,407,698)
        6,646,015 
           
LOAN ASSIGNMENTS - 0.0%(a)          
           
Media - 0.0%(a)          
Deluxe Entertainment Services Group, Inc., 1st Lien Term Loan,          
(ICE LIBOR USD 3 Month + 5.00%), 10.54% Cash/1.50% PIK, due 3/25/2024 (b)(c)(f)(h)   14,109    5,611 
Deluxe Entertainment Services Group, Inc., 2nd Lien Term Loan,          
(ICE LIBOR USD 3 Month + 6.00%), 11.54% Cash/2.50% PIK, due 9/25/2024 (b)(c)(f)(h)   152,555     
TOTAL LOAN ASSIGNMENTS
(Cost $103,111)
        5,611 

 

Investments 

No. of Rights

  

Value ($)

 
RIGHTS - 0.2%          
           
Biotechnology - 0.2%          
Achillion Pharmaceuticals, Inc., CVR*(b)   23,300    11,650 
Adamas Pharmaceuticals, Inc., CVR*(b)   24,600    1,230 
Akouos, Inc., CVR*(b)(c)   38,850    29,138 
Ambit Biosciences Corp., CVR*(b)(c)   70,000    118,300 
Clementia Pharmaceuticals, Inc., CVR (France)*(b)(c)   3,200     
Tobira Therapeutics, Inc., CVR*(b)(c)   6,900     
         160,318 

 

See Notes to Consolidated Schedule of Investments

 

3 

 

 

Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)

 

Investments 

No. of Rights

  

Value ($)

 
Financial Services - 0.0%(a)          
Contra Costa County Board of Education, CVR*(b)(c)   5,750    11,500 
           
Health Care Equipment & Supplies - 0.0%(a)          
ABIOMED, Inc., CVR*(b)(c)   3,300    5,775 
           
IT Services - 0.0%(a)          
Flexion Therapeutics, Inc., CVR*(b)   18,500    12,025 
           
Metals & Mining - 0.0%(a)          
Kinross Gold Corp., CVR (Canada)*(b)(c)   4,800    4 
Pan American Silver Corp., CVR, expiring 2/22/2029 (Canada)*   39,600    21,855 
         21,859 
TOTAL RIGHTS
(Cost $71,472)
        211,477 

 

Investments 

No. of Warrants

  

Value ($)

 
WARRANTS - 0.0%(a)          
           
Capital Markets - 0.0%(a)          
FinTech Acquisition Corp. III, expiring 12/1/2023*(b)(c)   1,770    4 
           
Leisure Products - 0.0%(a)          
Tonies SE, expiring 4/30/2026 (Germany)*   4,329    716 
           
TOTAL WARRANTS
(Cost $14)
        720 
           
TOTAL OPTIONS PURCHASED 0.0%(a)(i)
(Cost $56,091)
        15,706 

 

Investments 

Shares

  

Value ($)

 
SHORT-TERM INVESTMENTS - 47.9%          
           
INVESTMENT COMPANIES - 47.9%          
Fidelity Treasury Only Portfolio, Institutional Class, 5.14%(j)   58,741,518    58,741,518 
Morgan Stanley Institutional Liquidity Funds Treasury Securities Portfolio, Institutional Class, 5.11%(j)   1    1 
TOTAL INVESTMENT COMPANIES
(Cost $58,741,519)
        58,741,519 
           
TOTAL LONG POSITIONS
(Cost $109,486,469)
        111,989,956 
           
SHORT POSITIONS - (2.8)%(k)          
           
COMMON STOCKS SOLD SHORT - (2.8)%          
           
Banks - (0.1)%          
Atlantic Union Bankshares Corp.   (5,169)   (165,305)
           
Capital Markets - (0.0)%(a)          
Intercontinental Exchange, Inc.   (76)   (8,725)
           
Chemicals - (0.1)%          
Livent Corp.   (5,282)   (130,043)
           
Gas Utilities - (0.1)%          
Brookfield Infrastructure Corp., Class A (Canada)   (1,443)   (67,417)
           
Health Care Equipment & Supplies - (0.4)%          
Globus Medical, Inc., Class A   (7,545)   (454,737)
           
Household Durables - (0.2)%          
Lennar Corp., Class A   (2,240)   (284,099)
           
Metals & Mining - (0.4)%          
Newmont Corp.   (10,835)   (465,038)
           
Oil, Gas & Consumable Fuels - (0.9)%          
Chevron Corp.   (1,434)   (234,688)
Exxon Mobil Corp.   (8,116)   (870,360)
         (1,105,048)
Retail REITs - (0.1)%          
Regency Centers Corp., REIT   (2,753)   (180,404)
           
Semiconductors & Semiconductor Equipment - (0.5)%          
Broadcom, Inc.   (672)   (603,893)
TOTAL COMMON STOCKS SOLD SHORT
(Proceeds $(3,038,636))
        (3,464,709)
           
TOTAL SHORT POSITIONS
 (Proceeds $(3,038,636))
        (3,464,709)
           
Total Investments - 88.6%
 (Cost $106,447,833)
        108,525,247 
Other Assets Less Liabilities - 11.4%(l)        13,915,338 
Net Assets - 100.0%        122,440,585 

 

All bonds are denominated in US dollars, unless noted otherwise.

 

* Non-income producing security.
(a) Represents less than 0.05% of net assets of the Fund.
(b) Value determined using significant unobservable inputs.
(c) Security fair valued as of July 31, 2023, in accordance with procedures approved by the valuation designee. Total value of all such securities at July 31, 2023, amounted to $171,086, which represents 0.1% of net assets of the Fund.
(d) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve directed selling efforts in the United States and as such may have restrictions on resale. At July 31, 2023, these securities amounted to $539,613 of long positions, which represents 0.4% of net assets of the Fund.
(e) Defaulted security.
(f) Variable or floating rate security. The interest rate shown was the current rate as of July 31, 2023, and changes periodically.
(g) Securities were purchased or sold short under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At July 31, 2023, these securities amounted to $6,646,015 of long positions, which represents 5.4% of net assets of the Fund.
(h) Payment in-kind security.
(i) See "Purchased option contracts" under Derivative Instruments.

 

See Notes to Consolidated Schedule of Investments

 

4 

 

 

Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)

 

(j) Represents 7-day effective yield as of July 31, 2023.
(k) At July 31, 2023, the Fund had approximately $3,415,699 deposited in one or more accounts to satisfy collateral requirements for borrowing in connection with securities sold short.
(l) Includes the impact of the Fund’s open positions in derivatives at July 31, 2023.

 

Abbreviations
 
ADR American Depositary Receipt
CVR Contingent Value Rights
GDR Global Depositary Receipt
ICE Intercontinental Exchange
LIBOR London Interbank Offered Rate
PJSC Public Joint Stock Company
SA Société Anonyme
SOFR Secured Overnight Financing Rate
USD United States Dollar
 

 

See Notes to Consolidated Schedule of Investments

 

5 

 

 

Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)

 

LONG POSITIONS BY COUNTRY

 

Country  Investments at
Value
   Percentage of
Net Assets
 
United States  $32,693,469    26.7%
Bermuda   5,719,670    4.7%
China   3,149,596    2.6%
Germany   2,763,032    2.3%
Canada   1,317,065    1.1%
Brazil   1,109,435    0.9%
Israel   1,021,440    0.8%
Luxembourg   934,925    0.8%
Hong Kong   771,122    0.6%
Ireland   697,690    0.6%
Australia   639,652    0.5%
South Korea   624,889    0.5%
Switzerland   375,958    0.3%
Netherlands   303,030    0.3%
India   221,287    0.2%
Jordan   217,717    0.2%
Taiwan   206,811    0.2%
Mexico   203,435    0.2%
United Kingdom   159,437    0.1%
Guatemala   77,319    0.1%
Spain   41,458    0.0%(a)
Short-Term Investments and Other Assets-Net   72,656,857    59.3%
Short Positions (See summary below)   (3,464,709)   (2.8)%
   $122,440,585    100.0%

 

SHORT POSITIONS BY COUNTRY

 

Country  Investments at
Value
   Percentage of
Net Assets
 
United States  $(3,397,292)   (2.8)%
Canada   (67,417)   (0.1)%
Total Short Positions  $(3,464,709)   (2.8)%

 

(a) Represents less than 0.05% of net assets of the Fund.

 

See Notes to Consolidated Schedule of Investments

 

6 

 

 

Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)

 

Derivative Instruments

 

Futures contracts ("futures")

 

At July 31, 2023, open positions in futures for the Fund were as follows:

 

Description  Number of
Contracts
   Expiration
Date
  Notional
Amount
   Value and
Unrealized
Appreciation/
(Depreciation)
 
Long Contracts
Brent Crude Oil   5   8/2023  $427,150   $14,003 
CAC 40 10 Euro Index   4   8/2023   330,444    1,820 
HSCEI   1   8/2023   44,526    (238)
IFSC NIFTY 50 Index   10   8/2023   396,840    130 
MSCI Singapore Index   4   8/2023   91,882    1,195 
NY Harbor ULSD   3   8/2023   376,173    17,941 
OMXS30 Index   3   8/2023   64,281    (295)
RBOB Gasoline   6   8/2023   729,666    25,574 
SGX FTSE China A50 Index   10   8/2023   133,270    1,567 
SGX FTSE Taiwan Index   4   8/2023   237,160    (1,844)
WTI Crude Oil   4   8/2023   327,200    10,452 
Brent Crude Oil   3   9/2023   254,850    10,386 
Cocoa   26   9/2023   922,480    77,461 
Copper   2   9/2023   200,400    3,371 
EURO STOXX 50 Index   7   9/2023   346,035    5,029 
Euro-BTP   2   9/2023   255,084    (47)
Euro-Bund   1   9/2023   146,234    (728)
Euro-OAT   1   9/2023   140,230    (1,847)
FCOJ-A   1   9/2023   47,430    7,805 
Foreign Exchange USD/NOK   1   9/2023   99,805    (4,883)
Foreign Exchange ZAR/USD   2   9/2023   55,800    2,351 
FTSE 100 Index   2   9/2023   197,354    611 
FTSE/JSE Top 40 Index   1   9/2023   41,311    501 
Japan 10 Year Bond   1   9/2023   1,031,877    (10,024)
KC HRW Wheat   2   9/2023   81,275    (6,905)
MSCI Emerging Markets E-Mini Index   2   9/2023   105,430    1,646 
Nikkei 225 Index   10   9/2023   233,789    4,465 
Robusta Coffee   4   9/2023   104,840    (5,501)
Russell 2000 E-Mini Index   2   9/2023   201,360    1,612 
S&P 500 E-Mini Index   2   9/2023   461,450    7,847 
Silver   1   9/2023   124,860    (917)
SPI 200 Index   1   9/2023   123,559    1,020 
Sugar No. 11   17   9/2023   459,054    (3,831)
TOPIX Index   3   9/2023   490,704    5,493 
Brent Crude Oil   3   10/2023   253,380    9,296 
Lean Hogs   3   10/2023   103,200    1,942 
Live Cattle   14   10/2023   1,005,340    (4,116)
Canola   21   11/2023   249,710    (6,530)
Robusta Coffee   5   11/2023   123,800    (811)
Soybean   5   11/2023   332,937    (18,600)
WTI Crude Oil   3   11/2023   241,050    12,844 
100 oz Gold   3   12/2023   602,760    434 
Cotton No. 2   2   12/2023   84,720    (1,370)
Low Sulphur Gasoil   5   12/2023   406,500    22,619 
Soybean Meal   2   12/2023   79,180    (3,645)
Soybean Oil   11   12/2023   395,934    (4,612)
Total Long Contracts          $13,162,314   $172,671 

 

See Notes to Consolidated Schedule of Investments

 

 

 

 

Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)

 

Description  Number of
Contracts
   Expiration
Date
  Notional
Amount
   Value and
Unrealized
Appreciation/
(Depreciation)
 
Short Contracts
Natural Gas   (1)  8/2023  $(26,340)  $8 
Australia 10 Year Bond   (13)  9/2023   (1,011,698)   3,006 
Australia 3 Year Bond   (49)  9/2023   (3,489,064)   (470)
Canada 10 Year Bond   (13)  9/2023   (1,184,014)   6,063 
Canada 10 Year Bond   (5)  9/2023   (455,390)   6,664 
Coffee 'C'   (4)  9/2023   (246,975)   (7,848)
Euro-Bobl   (14)  9/2023   (1,783,895)   (3,337)
Euro-Bund   (7)  9/2023   (1,023,635)   749 
Euro-Buxl   (3)  9/2023   (443,912)   4,719 
Euro-OAT   (4)  9/2023   (560,921)   2,230 
Euro-Schatz   (23)  9/2023   (2,656,557)   1,541 
Foreign Exchange AUD/USD   (136)  9/2023   (9,151,440)   93,851 
Foreign Exchange CAD/USD   (6)  9/2023   (455,670)   (3,818)
Foreign Exchange CHF/USD   (8)  9/2023   (1,153,150)   (22,360)
Foreign Exchange EUR/USD   (72)  9/2023   (9,922,050)   (153,125)
Foreign Exchange GBP/USD   (16)  9/2023   (1,284,100)   (19,931)
Foreign Exchange JPY/USD   (38)  9/2023   (3,363,950)   73,030 
Foreign Exchange NZD/USD   (3)  9/2023   (186,450)   (1,667)
Long Gilt   (8)  9/2023   (986,948)   1,927 
Long Gilt   (5)  9/2023   (616,842)   (1,507)
Palladium   (2)  9/2023   (255,120)   1,024 
S&P 500 E-Mini Index   (9)  9/2023   (2,076,525)   (88,562)
S&P/TSX 60 Index   (1)  9/2023   (188,071)   (805)
Short-Term Euro-BTP   (2)  9/2023   (231,511)   (552)
U.S. Treasury 2 Year Note   (10)  9/2023   (2,030,312)   13,332 
U.S. Treasury 5 Year Note   (19)  9/2023   (2,029,586)   11,181 
U.S. Treasury 10 Year Note   (28)  9/2023   (3,119,375)   51,768 
U.S. Treasury Long Bond   (10)  9/2023   (1,244,375)   11,237 
U.S. Treasury Ultra Bond   (6)  9/2023   (793,313)   11,773 
CBOE Volatility Index   (8)  10/2023   (138,215)   (23)
Platinum   (1)  10/2023   (47,930)   (388)
3 Month Canadian Bankers Acceptance   (32)  12/2023   (5,726,159)   5,936 
Corn   (1)  12/2023   (25,650)   (540)
3 Month Canadian Bankers Acceptance   (16)  3/2024   (2,865,051)   7,537 
3 Month Canadian Bankers Acceptance   (13)  6/2024   (2,331,674)   4,506 
3 Month EURIBOR   (28)  6/2024   (7,417,502)   (10,076)
3 Month SONIA   (18)  6/2024   (5,439,543)   1,600 
3 Month SOFR   (22)  9/2024   (5,233,800)   14,916 
3 Month SONIA   (16)  9/2024   (4,841,053)   (19,133)
3 Month EURIBOR   (21)  12/2024   (5,586,793)   (12,115)
3 Month SOFR   (18)  12/2024   (4,299,075)   13,399 
3 Month SONIA   (8)  12/2024   (2,425,532)   (12,956)
3 Month SOFR   (18)  3/2025   (4,314,150)   8,487 
3 Month SONIA   (15)  3/2025   (4,559,422)   (16,285)
3 Month SOFR   (8)  6/2025   (1,922,600)   1,370 
3 Month SONIA   (7)  6/2025   (2,132,446)   (10,799)
3 Month SOFR   (16)  9/2025   (3,852,000)   1,754 
3 Month SONIA   (11)  9/2025   (3,357,516)   (10,152)
3 Month EURIBOR   (5)  12/2025   (1,335,343)   149 
3 Month SOFR   (5)  12/2025   (1,205,000)   (11)
3 Month SONIA   (3)  12/2025   (917,226)   (646)
3 Month SOFR   (16)  3/2026   (3,858,800)   (159)
3 Month SONIA   (12)  3/2026   (3,674,295)   (5,128)
3 Month SOFR   (25)  3/2027   (6,036,875)   1,059 
Total Short Contracts          $(135,514,839)  $(47,577)
Total Futures               $125,094 

 

See Notes to Consolidated Schedule of Investments

 

 

 

 

Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)

 

Forward foreign currency contracts ("forward contracts")

 

At July 31, 2023, open forward contracts for the Fund were as follows:

 

Currency Purchased  Currency Sold  Counterparty  Settlement
Date
  Net Unrealized
Appreciation/
(Depreciation)
 
USD   3,204,054  CHF   2,773,914  JPM  8/18/2023  $17,324 
USD   5,271,691  EUR   4,742,293  JPM  8/18/2023   53,161 
USD   127,337  GBP   98,015  JPM  8/18/2023   1,538 
AUD   450,000  JPY   42,496,960  JPM  9/20/2023   1,695 
AUD   3,400,000  JPY   319,389,915  SG  9/20/2023   24,831 
AUD   360,000  USD   241,138  SG  9/20/2023   1,100 
BRL**   12,210,000  USD   2,487,607  SG  9/20/2023   72,350 
CAD   20,000  USD   15,150  JPM  9/20/2023   27 
CAD   1,670,000  USD   1,262,001  SG  9/20/2023   5,311 
CHF   2,790,000  USD   3,149,617  SG  9/20/2023   67,218 
CZK   37,980,000  USD   1,731,858  SG  9/20/2023   12,571 
EUR   400,000  TRY   11,332,847  JPM  9/20/2023   32,377 
EUR   470,000  TRY   13,497,531  SG  9/20/2023   31,504 
EUR   2,880,000  USD   3,155,614  SG  9/20/2023   18,825 
GBP   10,000  USD   12,792  JPM  9/20/2023   44 
GBP   2,580,000  USD   3,281,060  SG  9/20/2023   30,696 
ILS   190,000  USD   51,508  SG  9/20/2023   269 
INR**   158,340,000  USD   1,920,835  SG  9/20/2023   1,612 
JPY   27,704,881  AUD   290,000  JPM  9/20/2023   1,160 
JPY   31,524,017  AUD   330,000  SG  9/20/2023   1,305 
JPY   44,490,000  USD   312,236  SG  9/20/2023   2,988 
KRW**   969,900,000  USD   750,068  SG  9/20/2023   11,189 
MXN   17,276,700  USD   993,396  JPM  9/20/2023   28,870 
MXN   22,043,300  USD   1,261,902  SG  9/20/2023   42,407 
NOK   13,960,000  USD   1,331,821  SG  9/20/2023   47,801 
NZD   330,000  USD   203,865  JPM  9/20/2023   1,112 
NZD   1,380,000  USD   853,884  SG  9/20/2023   3,289 
PHP**   41,310,000  USD   740,989  SG  9/20/2023   13,280 
PLN   6,670,000  EUR   1,482,591  SG  9/20/2023   26,793 
PLN   6,820,000  USD   1,649,450  SG  9/20/2023   48,862 
SEK   7,550,000  USD   707,765  SG  9/20/2023   11,248 
SGD   4,080,000  USD   3,048,779  SG  9/20/2023   26,898 
THB   19,570,000  USD   566,689  SG  9/20/2023   7,808 
TRY   938,110  EUR   30,000  JPM  9/20/2023   750 
TRY   4,377,982  EUR   140,000  SG  9/20/2023   3,502 
USD   540,863  AUD   800,000  SG  9/20/2023   2,556 
USD   14,693  BRL**   70,000  SG  9/20/2023   17 
USD   531,775  CAD   700,000  SG  9/20/2023   566 
USD   990,348  CHF   850,000  SG  9/20/2023   10,308 
USD   1,414,165  CLP**   1,163,360,000  SG  9/20/2023   34,961 
USD   245,079  CZK   5,300,000  SG  9/20/2023   1,649 
USD   788,416  EUR   710,000  SG  9/20/2023   5,828 
USD   505,499  GBP   390,000  SG  9/20/2023   4,885 
USD   263,122  HUF   91,930,000  JPM  9/20/2023   4,999 
USD   880,756  HUF   307,720,000  SG  9/20/2023   16,743 
USD   80,985  ILS   290,000  JPM  9/20/2023   1,958 
USD   501,419  ILS   1,820,000  SG  9/20/2023   5,454 
USD   943,827  INR**   77,630,000  SG  9/20/2023   1,303 
USD   3,452,226  JPY   476,710,000  SG  9/20/2023   74,593 
USD   81,935  NZD   130,000  JPM  9/20/2023   1,187 
USD   847,937  NZD   1,360,000  SG  9/20/2023   3,187 
USD   41,416  PHP**   2,260,000  SG  9/20/2023   151 
USD   95,139  PLN   380,000  SG  9/20/2023   510 
USD   915,185  SEK   9,480,000  SG  9/20/2023   12,371 
USD   110,990  TRY   2,910,000  JPM  9/20/2023   6,092 
USD   693,874  TRY   17,990,000  SG  9/20/2023   45,385 
ZAR   9,070,000  USD   495,805  JPM  9/20/2023   9,019 
ZAR   20,060,000  USD   1,093,082  SG  9/20/2023   23,429 

 

See Notes to Consolidated Schedule of Investments

 

 

 

 

Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)

 

Currency Purchased  Currency Sold  Counterparty  Settlement
Date
  Net Unrealized
Appreciation/
(Depreciation)
 
AUD   382,605  USD   253,750  JPM  9/29/2023  $3,771 
GBP   3,440  USD   4,384  JPM  9/29/2023   32 
USD   145,125  CAD   190,973  JPM  9/29/2023   183 
Total unrealized appreciation               $922,852 

 

Currency Purchased  Currency Sold  Counterparty  Settlement
Date
  Net Unrealized
Appreciation/
(Depreciation)
 
SEK   217,054  USD   20,802  JPM  8/18/2023  $(165)
AUD   270,000  JPY   25,690,231  JPM  9/20/2023   (344)
AUD   740,000  JPY   70,463,412  SG  9/20/2023   (1,321)
AUD   3,430,000  USD   2,346,062  SG  9/20/2023   (38,072)
CAD   1,400,000  USD   1,065,140  SG  9/20/2023   (2,721)
CHF   850,000  USD   993,979  SG  9/20/2023   (13,941)
CLP**   1,109,970,000  USD   1,370,102  SG  9/20/2023   (54,194)
CZK   28,300,000  USD   1,319,342  SG  9/20/2023   (19,518)
EUR   75,854  PLN   340,000  SG  9/20/2023   (1,057)
EUR   60,000  TRY   1,884,721  JPM  9/20/2023   (1,805)
EUR   80,000  TRY   2,504,235  SG  9/20/2023   (2,091)
EUR   970,000  USD   1,084,573  SG  9/20/2023   (15,405)
GBP   350,000  USD   452,212  SG  9/20/2023   (2,944)
HUF   185,059,800  USD   528,840  JPM  9/20/2023   (9,230)
HUF   627,870,200  USD   1,796,079  SG  9/20/2023   (33,148)
ILS   290,000  USD   81,163  JPM  9/20/2023   (2,135)
ILS   3,710,000  USD   1,032,548  SG  9/20/2023   (21,543)
INR**   320,400,000  USD   3,898,937  SG  9/20/2023   (8,882)
JPY   50,769,081  AUD   540,000  JPM  9/20/2023   (3,643)
JPY   171,926,554  AUD   1,840,000  SG  9/20/2023   (19,956)
JPY   190,020,000  USD   1,369,779  SG  9/20/2023   (23,428)
KRW**   1,234,590,000  USD   973,073  SG  9/20/2023   (4,067)
MXN   210,000  USD   12,499  JPM  9/20/2023   (73)
MXN   60,000  USD   3,558  SG  9/20/2023   (8)
NOK   4,810,000  USD   479,948  SG  9/20/2023   (4,593)
NZD   1,030,000  USD   647,696  JPM  9/20/2023   (7,922)
NZD   530,000  USD   331,975  SG  9/20/2023   (2,771)
PHP**   69,520,000  USD   1,275,904  SG  9/20/2023   (6,557)
PLN   290,000  USD   72,816  SG  9/20/2023   (601)
SEK   20,280,000  USD   1,979,182  SG  9/20/2023   (47,851)
SGD   1,600,000  USD   1,210,778  SG  9/20/2023   (4,632)
THB   18,200,000  USD   536,271  SG  9/20/2023   (1,993)
TRY   604,583  EUR   20,000  JPM  9/20/2023   (252)
TRY   13,064,562  EUR   450,000  SG  9/20/2023   (25,064)
TRY   780,000  USD   29,692  JPM  9/20/2023   (1,575)
TRY   14,850,000  USD   558,173  SG  9/20/2023   (22,872)
USD   2,005,541  AUD   3,010,000  SG  9/20/2023   (19,839)
USD   14,675  BRL**   70,000  JPM  9/20/2023   (1)
USD   838,157  BRL**   4,110,000  SG  9/20/2023   (23,546)
USD   731,621  CAD   970,000  SG  9/20/2023   (4,481)
USD   1,144,948  CHF   1,020,000  SG  9/20/2023   (31,099)
USD   53,349  CLP**   45,030,000  SG  9/20/2023   (36)
USD   59,698  CZK   1,310,000  JPM  9/20/2023   (471)
USD   2,368,088  CZK   51,900,000  SG  9/20/2023   (15,687)
USD   1,377,969  EUR   1,260,000  SG  9/20/2023   (10,851)
USD   495,127  GBP   390,000  SG  9/20/2023   (5,486)
USD   58,343  HUF   21,160,000  JPM  9/20/2023   (1,070)
USD   600,518  HUF   216,380,000  SG  9/20/2023   (7,031)
USD   295,128  ILS   1,090,000  JPM  9/20/2023   (1,906)
USD   1,087,510  ILS   4,020,000  SG  9/20/2023   (7,971)
USD   5,196,621  INR**   428,940,000  SG  9/20/2023   (11,246)
USD   328,805  JPY   46,600,000  SG  9/20/2023   (1,370)
USD   1,349,929  KRW**   1,752,320,000  SG  9/20/2023   (25,437)
USD   486,394  MXN   8,440,000  JPM  9/20/2023   (13,005)

 

See Notes to Consolidated Schedule of Investments

 

 

 

 

Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)

 

Currency Purchased  Currency Sold  Counterparty  Settlement
Date
  Net Unrealized
Appreciation/
(Depreciation)
 
USD   444,022  MXN   7,710,000  SG  9/20/2023  $(12,180)
USD   10,299  NOK   110,000  JPM  9/20/2023   (572)
USD   1,305,473  NOK   13,850,000  SG  9/20/2023   (63,278)
USD   353,958  NZD   580,000  JPM  9/20/2023   (6,301)
USD   679,592  NZD   1,110,000  SG  9/20/2023   (9,874)
USD   683,009  PHP**   38,090,000  SG  9/20/2023   (12,467)
USD   271,230  PLN   1,110,000  SG  9/20/2023   (5,182)
USD   1,817,395  SEK   19,400,000  SG  9/20/2023   (30,135)
USD   3,282,935  SGD   4,410,000  SG  9/20/2023   (41,507)
USD   1,071,199  THB   36,930,000  SG  9/20/2023   (12,917)
USD   120,896  TRY   3,370,000  SG  9/20/2023   (584)
USD   20,701  ZAR   390,000  JPM  9/20/2023   (1,006)
USD   1,343,691  ZAR   25,250,000  SG  9/20/2023   (61,684)
ZAR   1,580,000  USD   88,927  JPM  9/20/2023   (988)
ZAR   2,230,000  USD   125,284  SG  9/20/2023   (1,167)
USD   1,119,105  CAD   1,480,415  JPM  9/29/2023   (4,473)
USD   137,778  GBP   109,147  JPM  9/29/2023   (2,330)
Total unrealized depreciation               $(853,552)
Net unrealized appreciation               $69,300 

 

** Non-deliverable forward.

 

Equity swap contracts ("equity swaps")

 

At July 31, 2023, the Fund had outstanding equity swaps as follows:

 

Over the counter equity swaps — Long(a)

 

Counterparty  Reference
Entity
  Notional
Amount
   Maturity
Date
   Variable-
Rate(b)
   Spread   Reference Rate  Frequency
of Fund
Receipt/
Payment
   Value
and
Unrealized
Appreciation/
(Depreciation)
 
MS  adidas AG  EUR  634,248   2/15/2024   4.05%  0.60%  1M EURIBOR  T/1M   $169,774 
JPM  Alliance Aviation Services Ltd.  AUD  37,720   7/15/2024   4.72%  0.65%  1D RBACR  T/1M    3,552 
MS  Amundi SA  EUR  1,584,385   2/15/2024   4.05%  0.60%  1M EURIBOR  T/1M    (223,379)
MS  Anima Holding SpA  EUR  321,767   2/15/2024   4.05%  0.60%  1M EURIBOR  T/1M    (52,466)
JPM  Applus Services SA  EUR  86,405   7/5/2024   4.04%  0.65%  1D ESTR  T/1M    (651)
MS  Aspen Pharmacare Holdings Ltd.  USD  71,767   12/15/2023   6.23%  0.90%  1D FEDEF  T/1M    2,643 
MS  Brenntag SE  EUR  644,610   2/15/2024   4.05%  0.60%  1M EURIBOR  T/1M    (503)
MS  Bureau Veritas SA  EUR  698,840   2/15/2024   4.05%  0.60%  1M EURIBOR  T/1M    (28,690)
JPM  Chr Hansen Holding A/S  DKK  1,333,248   1/2/2024   3.94%  0.40%  1M CIBOR  T/1M    4,003 
MS  Croda International plc  GBP  55,307   12/4/2023   5.57%  0.64%  1D SONIA  T/1M    (4,207)
JPM  Curtis Banks Group plc  GBP  25,120   2/27/2024   5.33%  0.40%  1D SONIA  T/1M    (2,849)
MS  Danone SA  EUR  1,104,547   2/15/2024   4.05%  0.60%  1M EURIBOR  T/1M    104,595 
JPM  Dechra Pharmaceuticals plc  GBP  691,361   6/6/2024   5.33%  0.40%  1D SONIA  T/1M    16,199 
MS  Elis SA  EUR  538,991   2/15/2024   4.05%  0.60%  1M EURIBOR  T/1M    68,332 
JPM  EMIS Group plc  GBP  141,686   6/28/2024   5.33%  0.40%  1D SONIA  T/1M    11,284 
JPM  Entain plc  GBP  140,485   2/8/2024   5.33%  0.40%  1D SONIA  T/1M    (1,904)
MS  Eurofins Scientific SE  EUR  282,486   2/15/2024   4.05%  0.60%  1M EURIBOR  T/1M    (22,984)
MS  Gerresheimer AG  EUR  57,296   2/15/2024   4.05%  0.60%  1M EURIBOR  T/1M    20,365 
JPM  Gresham House plc  GBP  30,062   7/24/2024   5.33%  0.40%  1D SONIA  T/1M    52 
MS  Heidelberg Materials AG  EUR  632,493   2/15/2024   4.05%  0.60%  1M EURIBOR  T/1M    102,064 
MS  Hermes International  EUR  274,244   2/15/2024   4.05%  0.60%  1M EURIBOR  T/1M    45,260 
MS  Holcim Ltd.  CHF  454,076   2/15/2024   2.29%  0.58%  1D SARON  T/1M    40,608 
MS  Hypera SA  USD  134,590   7/15/2024   5.98%  0.65%  1D FEDEF  T/1M    (2,622)
JPM  IMAX China Holding, Inc.  HKD  863,864   7/17/2024   5.50%  0.00%  1D HONIA  T/1M    430 

 

See Notes to Consolidated Schedule of Investments

 

 

 

 

Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)

 

Counterparty  Reference
Entity
  Notional
Amount
   Maturity
Date
   Variable-
Rate(b)
   Spread   Reference Rate  Frequency
of Fund
Receipt/
Payment
   Value
and
Unrealized
Appreciation/
(Depreciation)
 
MS  ITV plc  GBP  119,359   12/4/2023   5.57%  0.64%  1D SONIA  T/1M   $(24,677)
JPM  JSR Corp.  JPY  73,296,000   7/16/2024   0.29%  0.35%  1D MUTSC  T/1M    191 
MS  Kering SA  EUR  821,005   2/15/2024   4.05%  0.60%  1M EURIBOR  T/1M    (61,573)
JPM  Link Administration Holdings Ltd.  AUD  13,424   12/29/2023   4.72%  0.65%  1D RBACR  T/1M    (10,420)
JPM  Lookers plc  GBP  191,092   6/24/2024   5.33%  0.40%  1D SONIA  T/1M    12,320 
MS  LVMH Moet Hennessy Louis Vuitton SE  EUR  247,645   2/15/2024   4.05%  0.60%  1M EURIBOR  T/1M    12,465 
JPM  Majorel Group Luxembourg SA  EUR  384,266   4/29/2024   4.04%  0.65%  1D ESTR  T/1M    370 
MS  NAVER Corp.  USD  83,879   9/15/2023   6.83%  1.50%  1D FEDEF  T/1M    4,645 
JPM  Network International Holdings plc  GBP  635,029   5/7/2024   5.33%  0.40%  1D SONIA  T/1M    6,778 
JPM  Numis Corp. plc  GBP  213,346   5/16/2024   5.33%  0.40%  1D SONIA  T/1M    (711)
JPM  Orange Belgium SA  EUR  13,868   12/11/2023   3.79% - 3.89  0.40% - 0.50  1D ESTR  T/1M    (3,600)
JPM  Ordina NV  EUR  99,796   3/25/2024   4.04%  0.65%  1D ESTR  T/1M    (984)
JPM  Origin Energy Ltd.  AUD  1,080,221   3/28/2024   4.72%  0.65%  1D RBACR  T/1M    16,047 
JPM  R&Q Insurance Holdings Ltd.  GBP  2,734   4/11/2024   5.33%  0.40%  1D SONIA  T/1M    (1,228)
MS  Ryanair Holdings plc  EUR  244,760   2/15/2024   4.05%  0.60%  1M EURIBOR  T/1M    11,182 
MS  SAP SE  EUR  601,474   2/15/2024   4.05%  0.60%  1M EURIBOR  T/1M    76,064 
JPM  Siltronic AG  EUR  82,080   2/7/2024   4.04%  0.65%  1D ESTR  T/1M    2,382 
JPM  SimCorp A/S  DKK  3,332,678   5/2/2024   3.94%  0.40%  1M CIBOR  T/1M    2,624 
MS  Smith & Nephew plc  GBP  579,666   12/4/2023   5.57%  0.64%  1D SONIA  T/1M    587 
JPM  SOHO China Ltd.  HKD  98,454   6/24/2024   5.90%  0.40%  1D HONIA  T/1M    986 
JPM  Spire Healthcare Group plc  GBP  19,927   6/20/2024   5.33%  0.40%  1D SONIA  T/1M    (933)
MS  Stroeer SE & Co. KGaA  EUR  140,116   2/15/2024   4.05%  0.60%  1M EURIBOR  T/1M    (26,421)
JPM  Telecom Italia SpA  EUR  14,276   11/24/2023   4.04%  0.65%  1D ESTR  T/1M    2,400 
JPM  Toshiba Corp.  JPY  65,911,807   3/29/2024   0.29%  0.35%  1D MUTSC  T/1M    17,630 
Total Long Positions of equity swaps                         $285,030 

 

Over the counter equity swaps — Short(c)

 

Counterparty  Reference
Entity
  Notional
Amount
   Maturity
Date
    Variable-
Rate(b)
   Spread    Reference Rate   Frequency
of Fund
Receipt/
Payment
    Value
and
Unrealized
Appreciation/
(Depreciation)
 
MS  Air Liquide SA  EUR  (605,412)  2/15/2024    3.04%  (0.35)%   1D ESTR   1M/T    $(76,916)
MS  Allianz SE (Registered)  EUR  (456,540)  2/15/2024    3.04%  (0.35)%   1D ESTR   1M/T     4,920 
MS  AXA SA  EUR  (300,957)  2/15/2024    3.04%  (0.35)%   1D ESTR   1M/T     2,077 
MS  BASF SE  EUR  (221,416)  2/15/2024    3.04%  (0.35)%   1D ESTR   1M/T     10,226 
MS  Bayerische Motoren Werke AG  EUR  (169,727)  2/15/2024    3.04%  (0.35)%   1D ESTR   1M/T     (21,985)
MS  Deutsche Telekom AG (Registered)  EUR  (404,638)  2/15/2024    3.04%  (0.35)%   1D ESTR   1M/T     14,679 
MS  DHL Group  EUR  (353,670)  2/15/2024    3.04%  (0.35)%   1D ESTR   1M/T     (47,347)
MS  Enel SpA  EUR  (151,412)  2/15/2024    2.99%  (0.40)%   1D ESTR   1M/T     (23,633)
MS  Engie SA  EUR  (290,486)  2/15/2024    3.04%  (0.35)%   1D ESTR   1M/T     (35,429)
JPM  Grifols SA  USD  (35,712)  4/15/2024    4.92%  (0.40)%   1D OBFR   1M/T     (10,444)
MS  H & M Hennes & Mauritz AB  SEK  (2,438,779)  10/19/2023    3.35%  (0.40)%   1W STIBOR   1M/T     (10,734)
MS  Hannover Rueck SE  EUR  (293,749)  2/15/2024    3.04%  (0.35)%   1D ESTR   1M/T     (25,454)
MS  Marks & Spencer Group plc  GBP  (253,198)  12/4/2023    4.63%  (0.30)%   1D SONIA   1M/T     (66,637)
MS  Meituan  USD  (11,255)  10/17/2023-7/23/2025    5.33%  0.00%   1D FEDEF   1M/T     (11,255)
MS  Merck & Co., Inc.  USD  (221,619)  12/15/2023    4.98%  (0.35)%   1D FEDEF   1M/T     4,670 
MS  Next plc  GBP  (213,977)  12/4/2023    4.63%  (0.30)%   1D SONIA   1M/T     (16,016)
JPM  Novozymes A/S  DKK  (1,356,940)  1/2/2024    2.79% - 2.94  (0.75)% - (0.60)   1M CIBOR   1M/T     6,971 
MS  Pfizer, Inc.  USD  (125,345)  12/15/2023    4.98%  (0.35)%   1D FEDEF   1M/T     54,356 
MS  Schneider Electric SE  EUR  (434,591)  2/15/2024    3.04%  (0.35)%   1D ESTR   1M/T     (31,445)
MS  Swisscom AG (Registered)  CHF  (290,848)  2/15/2024    1.36%  (0.35)%   1D SARON   1M/T     5,498 
MS  Telefonica SA  EUR  (116,050)  2/15/2024    2.99%  (0.40)%   1D ESTR   1M/T     (7,135)

 

See Notes to Consolidated Schedule of Investments

 

 

 

 

Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)

 

Counterparty   Reference
Entity
  Notional
Amount
    Maturity
Date
    Variable-
Rate(b)
    Spread     Reference Rate   Frequency
of Fund
Receipt/
Payment
    Value
and
Unrealized
Appreciation/
(Depreciation)
 
MS   Tencent Holdings Ltd.   USD   (272,654 )   10/17/2023-7/23/2025     4.93 %   (0.40 )%   1D FEDEF   1M/T     $ (41,588 )
MS   Vinci SA   EUR   (399,678 )   2/15/2024     3.04 %   (0.35 )%   1D ESTR   1M/T       2,284  
Total Short Positions of equity swaps                         $ (320,337 )
Total Long and Short Positions of equity swaps                         $ (35,307 )
Total Financing Costs and Other Receivables/(Payables) of equity swaps                         $ (31,272 )
Total Long and Short Positions including Financing Costs and Other Receivables/(Payables) of equity swaps         $ (66,579 )

 

(a) The Fund pays a specified rate based on a reference rate plus or minus a spread, and receives the total return on the reference entity.
(b) Effective rate at July 31, 2023.
(c) The Fund receives a specified rate based on a reference rate plus or minus a spread, and pays the total return on the reference entity.

 

Purchased option contracts ("options purchased")

 

At July 31, 2023, the Fund had outstanding options purchased as follows:

 

Description  Number of Contracts   Notional
Amount
   Exercise
Price
   Expiration
Date
  Value 
Puts                   
Entertainment                   
AMC Entertainment Holdings, Inc.   60   $29,820   $3.00   8/18/2023  $750 
AMC Entertainment Holdings, Inc.   321    159,537    4.00   8/18/2023   13,643 
AMC Entertainment Holdings, Inc.   26    12,922    3.00   9/15/2023   1,313 
                        
Total options purchased (cost $56,091)                    $15,706 

 

See Notes to Consolidated Schedule of Investments

 

 

 

 

Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)

 

Abbreviations
 
CBOE Chicago Board Options Exchange
CIBOR Copenhagen Interbank Offered Rate
ESTR Euro Short-Term Rate
EURIBOR       Euro Interbank Offered Rate
FEDEF           Federal Funds Floating Rate
FTSE Financial Times Stock Exchange
HONIA Hong Kong Overnight Index Average
JPM               JPMorgan Chase Bank, NA
JSE Johannesburg Stock Exchange
MS                 Morgan Stanley Capital Services LLC
MSCI Morgan Stanley Capital International
MUTSC Bank of Japan Unsecured Overnight Call Rate
OBFR Overnight Bank Funding Rate
OMX Stockholm Stock Exchange
RBACR Reserve Bank of Australia Cash Rate
SARON           Swiss Average Overnight Rate
SG                   Societe Generale
SGX Singapore Exchange
SOFR Secured Overnight Financing Rate
SONIA           Sterling Overnight Index Average Rate
SPI Australian Social Progress Index
STIBOR         Stockholm Interbank Offered Rate
T Termination Date
TOPIX Tokyo Stock Price Index
TSX Toronto Stock Exchange
1D                 One Day
1M                 One Month
1W                 One Week

 

Currency Abbreviations
 
AUD   Australian Dollar
BRL   Brazilian Real
CAD   Canadian Dollar
CHF   Swiss Franc
CLP   Chilean Peso
CZK   Czech Republic Koruna
DKK   Danish Krone
EUR   Euro
GBP   Pound Sterling
HKD   Hong Kong Dollar
HUF   Hungarian Forint
ILS   Israeli New Shekel
INR   Indian Rupee
JPY   Japanese Yen
KRW   Korean Won
MXN   Mexican Peso
NOK   Norwegian Krone
NZD   New Zealand Dollar
PHP   Philippine Peso
PLN   Polish Zloty
SEK   Swedish Krona
SGD   Singapore Dollar
THB   Thailand Baht
TRY   Turkish Lira
USD   United States Dollar
ZAR   South African Rand

 

See Notes to Consolidated Schedule of Investments

 

 

 

 

Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)

 

The following is a summary, categorized by Level (See Note A of the Notes to Consolidated Schedule of Investments), of inputs used to value the Fund's investments as of July 31, 2023:

 

Asset Valuation Inputs

 

   Level 1   Level 2   Level 3*   Total 
Investments:                    
Common Stocks                    
Capital Markets  $1,237,143   $   $610   $1,237,753 
Consumer Staples Distribution & Retail   1,188,068            1,188,068 
Diversified Telecommunication Services   686,704        300,585    987,289 
Interactive Media & Services   2,815,622            2,815,622 
Media   1,598,627    884        1,599,511 
Oil, Gas & Consumable Fuels   1,266,934            1,266,934 
Passenger Airlines   145,466        144    145,610 
Pharmaceuticals   3,042,336            3,042,336 
Semiconductors & Semiconductor Equipment   1,090,260            1,090,260 
Specialty Retail   367,316        5,200    372,516 
Other Common Stocks(a)   32,480,509            32,480,509 
Total Common Stocks   45,918,985    884    306,539    46,226,408 
Preferred Stocks(a)   142,500            142,500 
Corporate Bonds(a)                
Insurance Linked Securities(a)       6,646,015        6,646,015 
Loan Assignments(a)           5,611    5,611 
Rights                    
Biotechnology           160,318    160,318 
Financial Services           11,500    11,500 
Health Care Equipment & Supplies           5,775    5,775 
IT Services           12,025    12,025 
Metals & Mining   21,855        4    21,859 
Total Rights   21,855        189,622    211,477 
Warrants                    
Capital Markets           4    4 
Leisure Products   716            716 
Total Warrants   716        4    720 
Options Purchased(b)   15,706            15,706 
Short-Term Investments       58,741,519        58,741,519 
Total Long Positions  $46,099,762   $65,388,418   $501,776   $111,989,956 

 

(a) The Consolidated Schedule of Investments provides information on the industry or sector categorization as well as a Positions by Country summary.

(b) The “Purchased option contracts” table under Derivative Instruments provides information on the industry or sector categorization.

 

See Notes to Consolidated Schedule of Investments

 

 

 

 

Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)

 

*The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:

 

   Common
Stocks(a)(b)
   Corporate
Bonds(a)(c)
   Loan
Assignments(a)(b)
   Rights(a)(b)   Warrants(a)(b)   Total 
Assets:                        
Investments in Securities:                              
Beginning Balance as of November 1, 2022  $248,739   $   $5,738   $149,146   $8   $403,631 
Transfers into Level 3   114,840                    114,840 
Transfers out of Level 3   (1,606)                   (1,606)
Accrued discounts/(premiums)                        
Realized gain/(loss)   198,582        (199)   12,900        211,283 
Change in unrealized appreciation/(depreciation)   (157,833)       (2,464)   (1,747)   (4)   (162,048)
Purchases   154,783        2,973    42,223        199,979 
Sales   (250,966)       (437)   (12,900)       (264,303)
Balance as of July 31, 2023  $306,539   $   $5,611   $189,622   $4   $501,776 
Net change in unrealized appreciation/(depreciation) on investments still held as of July 31, 2023  $(248,561)  $   $(2,464)  $4,191   $(4)  $(246,838)

 

(a) As of the period ended July 31, 2023, these securities were fair valued in accordance with procedures approved by the valuation designee. These investments did not have a material impact on the Fund’s net assets; therefore, disclosure is not presented.
(b) These securities were valued based on a single quotation obtained from a dealer. The Fund does not have access to unobservable inputs and therefore cannot disclose such inputs used in formulating such quotation.
(c) The reconciliation between beginning and ending balances of investments in which unobservable inputs (Level 3) were used is not presented as all values are zero.

 

The following is a summary, categorized by Level (See Note A of the Notes to Consolidated Schedule of Investments), of inputs used to value the Fund's short investments as of July 31, 2023:

 

Liability Valuation Inputs

 

   Level 1   Level 2   Level 3   Total 
Investments:                    
Common Stocks Sold Short(a)  $(3,464,709)  $   $   $(3,464,709)
Total Short Positions  $(3,464,709)  $   $   $(3,464,709)

 

(a)   The Consolidated Schedule of Investments provides information on the industry or sector categorization as well as a Positions by Country    summary.

 

The following is a summary, categorized by level (See Note A of the Notes to Consolidated Schedule of Investments), of inputs used to value the Fund's derivatives as of July 31, 2023:

 

Other Financial Instruments

 

   Level 1   Level 2   Level 3   Total 
Futures(a)                    
Assets  $604,231   $   $   $604,231 
Liabilities   (479,137)           (479,137)
Forward contracts(a)                    
Assets       922,852        922,852 
Liabilities       (853,552)       (853,552)
Swaps                    
Assets       861,513        861,513 
Liabilities       (928,092)       (928,092)
Total  $125,094   $2,721   $   $127,815 

 

(a) Futures and forward contracts are reported at the cumulative unrealized appreciation/(depreciation) of the instruments.

 

^ A balance indicated with a "-", reflects either a zero balance or an amount that rounds to less than 1.

 

See Notes to Consolidated Schedule of Investments

 

 

 

 

July 31, 2023

Notes to Consolidated Schedule of Investments Absolute Return Multi-Manager Fund (Unaudited)

 

In accordance with ASC 820 “Fair Value Measurement” (“ASC 820”), all investments held by Neuberger Berman Absolute Return Multi-Manager Fund (the “Fund”) are carried at the value that Neuberger Berman Investment Advisers LLC (“Management”) believes the Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Fund’s investments, some of which are discussed below. At times, Management may need to apply significant judgment to value investments in accordance with ASC 820.

 

ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.

 

Level 1 – unadjusted quoted prices in active markets for identical investments

Level 2 – other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)

Level 3 – unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

 

The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.

 

The value of the Fund’s investments (long and short positions) in equity securities, preferred stocks, rights, warrants and exchange-traded options purchased for which market quotations are available, is generally determined by Management by obtaining valuations from independent pricing services based on the latest sale price quoted on a principal exchange or market for that security (Level 1 inputs). Securities traded primarily on the NASDAQ Stock Market are normally valued at the NASDAQ Official Closing Price (“NOCP”) provided by NASDAQ each business day. The NOCP is the most recently reported price as of 4:00:02 p.m., Eastern Time, unless that price is outside the range of the “inside” bid and asked prices (i.e., the bid and asked prices that dealers quote to each other when trading for their own accounts); in that case, NASDAQ will adjust the price to equal the inside bid or asked price, whichever is closer. Because of delays in reporting trades, the NOCP may not be based on the price of the last trade to occur before the market closes. If there is no sale of a security on a particular day, the independent pricing services may value the security based on market quotations.

 

The value of the Fund’s investments for long positions in debt securities is determined by Management primarily by obtaining valuations from independent pricing services based on bid quotations, or if quotations are not available, by methods which include various considerations based on security type (generally Level 2 inputs). In addition to the consideration of yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions, the following is a description of other Level 2 inputs and related valuation techniques used by independent pricing services to value certain types of debt securities held by the Fund:

 

Corporate Bonds. Inputs used to value corporate debt securities generally include relevant credit information, observed market movements, sector news, U.S. Treasury yield curve or relevant benchmark curve and other market information, which may include benchmark yield curves, reported trades, broker-dealer quotes, issuer spreads, comparable securities, and reference data, such as market research publications, when available (“Other Market Information”).

 

High Yield Securities. Inputs used to value high yield securities generally include a number of observations of equity and credit default swap curves related to the issuer and Other Market Information.

 

The value of insurance-linked securities is determined by Management primarily by obtaining valuations from an independent third-party pricing service based on bid quotations (Level 2 or 3 inputs).

 

The value of loan assignments is determined by Management primarily by obtaining valuations from independent pricing services based on broker quotes (generally Level 2 or Level 3 inputs depending on the number of quotes available).

 

The value of futures contracts is determined by Management by obtaining valuations from independent pricing services at the settlement price at the market close (Level 1 inputs).

 

The value of forward foreign currency contracts is determined by Management by obtaining valuations from independent pricing services based on actual traded currency rates on independent pricing services’ networks, along with other traded and quoted currency rates provided to the pricing services by leading market participants (Level 2 inputs).

 

The value of equity swaps is determined by Management by obtaining valuations from independent pricing services using the underlying asset and stated benchmark interest rate (Level 2 inputs).

 

For information on the Fund’s significant accounting policies, please refer to the Fund’s most recent shareholder reports.

 

 

 

 

Notes to Consolidated Schedule of Investments Absolute Return Multi-Manager Fund (Unaudited) (cont’d)

 

Management has developed a process to periodically review information provided by independent pricing services for all types of securities.

 

Investments in non-exchange traded investment companies are valued using the respective fund’s daily calculated net asset value (“NAV”) per share (Level 2 inputs), when available.

 

If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount the Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not available, the security is valued using methods Management has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Pursuant to Rule 2a-5 under the 1940 Act, the Board designated Management as the Fund’s valuation designee. As the Fund’s valuation designee, Management is responsible for determining fair value in good faith for any and all Fund investments. Inputs and assumptions considered in determining the fair value of a security based on Level 2 or Level 3 inputs may include, but are not limited to, the type of the security; the initial cost of the security; the existence of any contractual restrictions on the security’s disposition; the price and extent of public trading in similar securities of the issuer or of comparable companies; quotations or evaluated prices from broker-dealers and/or pricing services; information obtained from the issuer and/or analysts; an analysis of the company’s or issuer’s financial statements; an evaluation of the inputs that influence the issuer and the market(s) in which the security is purchased and sold.

 

The value of the Fund’s investments in foreign securities is generally determined using the same valuation methods and inputs as other Fund investments, as discussed above. Foreign security prices expressed in local currency values are normally translated from the local currency into U.S. dollars using the exchange rates as of 4:00 p.m. Eastern Time on days the New York Stock Exchange (“NYSE”)is open for business. Management has approved the use of ICE Data Services (“ICE”) to assist in determining the fair value of foreign equity securities when changes in the value of a certain index suggest that the closing prices on the foreign exchanges may no longer represent the amount that the Fund could expect to receive for those securities or on days when foreign markets are closed and U.S. markets are open. In each of these events, ICE will provide adjusted prices for certain foreign equity securities using a statistical analysis of historical correlations of multiple factors (Level 2 inputs). Management has also approved the use of ICE to evaluate the prices of foreign debt securities as of the time as of which the Fund’s share price is calculated. ICE utilizes benchmark spread and yield curves and evaluates available market activity from the local close to the time as of which the Fund’s share price is calculated (Level 2 inputs) to assist in determining prices for certain foreign debt securities. In the case of both foreign equity and foreign debt securities, in the absence of precise information about the market values of these foreign securities as of the time as of which the Fund’s share price is calculated, Management has determined on the basis of available data that prices adjusted or evaluated in this way are likely to be closer to the prices the Fund could realize on a current sale than are the prices of those securities established at the close of the foreign markets in which the securities primarily trade.

 

Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.

 

The Fund invests in commodity-related instruments through Neuberger Berman Cayman ARMM Fund I Ltd. (the “Subsidiary”), which is organized under the laws of the Cayman Islands. The Fund is and expects to remain the sole shareholder of the Subsidiary. The Subsidiary is governed by its own Board of Directors. As of July 31, 2023, the Fund's investment in the Subsidiary was $23,564,770, which represents 19.2% of the Fund’s net assets.

 

For information on the Fund’s significant accounting policies, please refer to the Fund’s most recent shareholder reports.